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GuideStone Funds – ‘N-30D’ for 12/31/02

On: Thursday, 2/27/03, at 3:22pm ET · Effective: 2/27/03 · For: 12/31/02 · Accession #: 893220-3-220 · File #: 811-10263

  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 2/27/03  GuideStone Funds                  N-30D      12/31/02    1:470K                                   Bowne - Bop/FA

Annual or Semi-Annual Report Mailed to Shareholders — Rule 30d-1
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       N-30D for Annuity Board Funds Trust                  292±   987K

Document Table of Contents

Page	(sequential)	\|	(alphabetic)	Top
			Alternative Formats (Word, et al.) Blended Funds Fund Money Market Fund
1	1st Page - Filing Submission
"	Blended Funds
28	Money Market Fund
150	Fund

N-30D 1st “Page” of 154 TOC ↑Top Previous Next ↓Bottom Just 1st
 
[AB FUNDS LOGO]                                                         

[AB FUNDS TRUST LOGO]                                       

Annual Report                                               

DECEMBER 31, 2002                                           

                BLENDED FUNDS:

                               -  FLEXIBLE INCOME FUND
                               -  GROWTH & INCOME FUND
                                     -  CAPITAL OPPORTUNITIES FUND
                             -  GLOBAL EQUITY FUND
               SELECT FUNDS:

                            -  MONEY MARKET FUND
                                 -  LOW-DURATION BOND FUND
                                    -  MEDIUM-DURATION BOND FUND
                                      -  EXTENDED-DURATION BOND FUND
                            -  EQUITY INDEX FUND
                            -  VALUE EQUITY FUND
                             -  GROWTH EQUITY FUND
                                -  SMALL CAP EQUITY FUND
                                    -  INTERNATIONAL EQUITY FUND

N-30D 2nd “Page” of 154 TOC 1st Previous Next ↓Bottom Just 2nd
AB Funds Trust
Annuity Board of the Southern Baptist Convention ("Annuity Board")
SBC Financial Services, Inc. ("SBC Financial")
SBC Trust Services, Inc. ("SBC Trust")
PFPC Distributors, Inc. ("PFPC")

NOTICE CONCERNING YOUR PRIVACY RIGHTS 

    This notice will provide you with information concerning our policies with
respect to nonpublic personal information that we collect about you in          
connection with the following financial products and services provided and/or   
serviced by the entities listed above: individual retirement accounts ("IRAs")  
and/or personal mutual fund accounts.                                           

    The confidentiality of your information is important to us as we recognize
that you depend on us to keep your information confidential, as described in    
this notice.                                                                    

     We collect nonpublic personal information about you with regard to your IRA
and/or personal mutual fund accounts from the following sources:                

- Information we receive from you on applications or other forms;     

 - Information about your transactions with us, our affiliates or others
(including our third-party service providers);                    

- Information we receive from others such as service providers,       
broker-dealers and your personal agents or representatives; and   

  - Information you and others provide to us in correspondence sent to us,
whether written, electronic or by telephone.                      

    We may disclose such nonpublic personal financial information about you to
one or more of our affiliates. An affiliate of an organization means any entity 
that controls, is controlled by, or is under common control with that           
organization. For example, the Annuity Board, SBC Financial and SBC Trust are   
affiliates of one another. AB Funds Trust, Annuity Board, SBC Financial, SBC    
Trust and PFPC do not sell your personal information to nonaffiliated third     
parties.                                                                        

    We may also disclose any of the personal information that we collect about
you to nonaffiliated third parties as permitted by law. For example, we may     
provide your information to nonaffiliated companies that provide account        
services or that perform marketing services on our behalf and to other financial
institutions with whom we have joint marketing agreements. We restrict access to
nonpublic personal information about you to those of our employees who need to  
know that information in order for us to provide and/or service products or     
services to you. We also maintain physical, electronic, and procedural          
safeguards to guard your personal information.                                  

These procedures will continue to remain in effect after you cease to 
receive financial products and services from us.                                

If you have any questions concerning our customer information policy, 
please contact a customer service representative at 1-800-262-0511.             

N-30D 3rd “Page” of 154 TOC 1st Previous Next ↓Bottom Just 3rd
TABLE OF CONTENTS                                                               

                                                                [Download Table]
                                                
Letter from the President                      2
From the Chief Investment Officer              3
Blended Funds:                                  
   Flexible Income                             7
   Growth & Income                            10
   Capital Opportunities                      13
   Global Equity                              16
Financial Statements                          19
Select Funds:                                   
Money Market                                  26
Low-Duration Bond                             30
Medium-Duration Bond                          38
Extended-Duration Bond                        53
Equity Index                                  59
Value Equity                                  67
Growth Equity                                 78
Small Cap Equity                              87
International Equity                         106
Financial Statements                         116
Notes to Financial Statements                133
Report of Independent Accountants            149
Fund Management                              150

                                                                               1

N-30D 4th “Page” of 154 TOC 1st Previous Next ↓Bottom Just 4th
LETTER FROM THE PRESIDENT                                                       

                                                               February 20, 2003

[O. S. HAWKINS PHOTO]                                                           

Dear Fellow Shareholder,                                                        

We are pleased to bring you the AB Funds Trust annual report for 2002 covering  
the first full calendar year of financial operations for AB Funds Trust. We hope
that you will find the information valuable.                                    

This report covers a period of the greatest economic, political, and investment 
uncertainty that we have seen in decades. We remain convinced as to the United  
States' leading role in the global economy and are confident that better days   
lie ahead for investors. While we are encouraged by recent market trends,       
predicting the direction of market movements is as unpredictable as the times in
which we live. In these times of uncertain markets, investors should remember   
their long-term goals and the basic principles of investing including           
diversification of their portfolio and a regular investment plan.               

In good times as well as bad, we are committed to the disciplined and rigorous  
investment process that has become a valued hallmark of AB Funds Trust. This    
process results in diversified investment portfolios that bring to bear, for the
benefit of our shareholders, the world's best intellectual capital to navigate  
your portfolios through these rough waters.                                     

Thank you for choosing to invest in AB Funds Trust. If you have questions       
regarding the content of this report, please call us at 1-800-262-0511 or visit 
our Web site at www.absbc.org. Our customer service specialists are ready to    
serve you.                                                                      

Sincerely,                                                                      

/s/ O. S. Hawkins                                                               

O. S. Hawkins                                                                   

2                                                                             

N-30D 5th “Page” of 154 TOC 1st Previous Next ↓Bottom Just 5th
FROM THE CHIEF INVESTMENT OFFICER                                               

[RODRIC E. CUMMINS PHOTO]                                                       

Rodric E. Cummins, CFA                                                          
                   Throughout the past few years, there have been frequent
                debates about the nature and duration of the current
               equity bear market. Volumes of commentary have been
                     written suggesting that on a time-served basis, this bear
            market should be over, yet 2002 marked the third
                 consecutive year of negative returns in global equity
                      markets. Unfortunately, bear markets, particularly the big
                      ones, are not a slave to time. Rather they patiently await
                   fundamental investment and economic change before being
                      laid to rest. We, as do all investors, hope that a turning
  point in the investment cycle is near.

                      Equity investors found a reprieve in the fourth quarter as
                    global equity markets posted a strong rally to close out
              the year. However, despite an 8.44% return for the
               quarter, the S&P 500 Index still posted a return of
                   -22.10% for the year, making 2002 the worst year in the
              current 3-year bear market. During that time, bond
                    investments have provided an important refuge to protect
                  asset accumulations for investors who followed a well-
                      diversified portfolio strategy. Since December 1999, bonds
                    have outperformed stocks by 87%, the widest margin since
                      the Great Depression. In 2002, bonds once again provided a
                  much needed balance to equity investments by posting a
             10.25% return, as measured by the Lehman Brothers
Aggregate Bond Index.               

ASSET CLASS PERFORMANCE COMPARISON                                              

The following graph illustrates the performance of the major asset classes      
during 2002. As evidenced by the graph, bonds were the best performing asset    
class during the year, materially outperforming their equity counterparts.      
Regarding the equity markets, international stocks, as measured by the MSCI     
ACWI(R) Free -- Ex U.S., were the best performing segment outpacing both        
large-cap and small-cap U.S. stocks.                                            

[ASSET CLASS BAR CHART]                                                         

                                                                [Download Table]

                            4TH QTR  1 YEAR
                            -------  ------
                                           
S&P 500(R)(1)                 8.44    -22.1
Russell 3000(R)(2)            8.02   -21.54
MSCI ACWI(R) Free Ex-US(3)    6.86   -14.67
LB Aggregate(4)               1.57    10.25

(1)The S&P 500(R) Index includes 500 of the largest stocks (in terms of market  
value) in the United States.                                                    

(2)The Russell 3000(R) Index is composed of 3,000 large U.S. companies, as      
determined by market capitalization.                                            

(3)The MSCI ACWI(R) (All Country World Index) Free Ex-US is a free              
float-adjusted market capitalization index that is designed to measure equity   
market performance in the global developed and emerging markets excluding the   
US.                                                                             

(4)The Lehman Brothers Aggregate Bond Index includes fixed rate debt issues     
rated investment grade or higher by Moody's Investor's Service, Standard and    
Poor's(R) Corporation, or Fitch Investor's Service, in that order.              

                                                                               3

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On the economic front, monetary and fiscal policies continued to be very        
aggressive toward economic stimulus. Had there been any doubt before, the       
Federal Reserve ("Fed") showed its hand during the fourth quarter by signaling  
that deflation is the operative macro-risk shaping stimulus policies. The Fed   
provided a surprising .50% cut in the Fed Funds rate, the twelfth reduction     
since the beginning of the bear market. This action, combined with the Bush     
Administration's economic stimulus package, communicates a consistent message   
that deflation will not be tolerated, even at the risk of future inflationary   
pressures.                                                                      

OUTLOOK                                                                         

The numerous economic, social and political factors that shaped the investment  
climate in 2002 pose as much uncertainty today as a year ago. Issues such as a  
potential war with Iraq; escalating tensions in North Korea; terrorism; high oil
prices; the risk of a double-dip recession; corporate malfeasance; and          
debt-ladened consumers need not be mentioned except for the fact that in doing  
so we recognize just how familiar these well-worn issues have become in everyday
life. It is in this familiarity that investors may find hope that markets have  
at least partially discounted current prices to reflect the uncertainty and     
downside risks of these occurrences. Unfortunately, market discounts are not as 
evident as one would hope. Current U.S. equity valuations are not cheap by      
historical standards and current equity prices are still well above historic    
bear market lows.                                                               

Market consensus indicates that economic growth will continue throughout 2003   
(albeit at modest rates), corporate profits will rise, and monetary and fiscal  
policy will remain very stimulative. With the absence of further geopolitical   
shocks, these factors may signal an end to the long-term secular decline in     
interest rates for bond investors as economic growth and aggressive stimulative 
policies heighten the risk of future inflationary pressures. For equity         
investors, a number of uncertainties cloud the outlook for 2003. Against the    
existing geopolitical background, it is unlikely that we will see in the coming 
year a return to the glory days of double-digit equity gains.                   

U.S. ECONOMY -- GROSS DOMESTIC PRODUCT                                          

As measured by GDP, the U.S. economy has generated positive growth for four     
consecutive quarters through period ending 3Q02. Third quarter GDP grew at a    
4.0% annual rate which was faster than the 1.3% second quarter pace, but slower 
than the 5.0% rate experienced during the first quarter. The economy continues  
to be primarily driven and supported by consumer spending. Contrarily, business 
investment has been slowed due to concerns related to economic uncertainty,     
earnings pressure and geopolitical risks.                                       
[U.S. ECONOMY GRAPH]                                                            

                                                                [Download Table]

       REAL GROSS DOMESTIC PRODUCT
       ---------------------------
                                  
12/90             -3.20           
                  -2.00           
                   2.30           
9/91               1.00           
                   2.20           
                   3.80           
                   3.80           
9/92               3.10           
                   5.40           
                  -0.10           
                   2.50           
9/93               1.80           
                   6.20           
                   3.40           
                   5.70           
9/94               2.20           
                   5.00           
                   1.50           
                   0.80           
9/95               3.10           
                   3.20           
                   2.90           
                   6.80           
9/96               2.00           
                   4.60           
                   4.40           
                   5.90           
9/97               4.20           
                   2.80           
                   6.10           
                   2.20           
9/98               4.10           
                   6.70           
                   3.00           
                   2.00           
9/99               5.20           
                   7.10           
                   2.60           
                   4.80           
9/00               0.60           
                   1.10           
                  -0.60           
                  -1.60           
9/01              -0.30           
                   2.70           
                   5.00           
                   1.30           
9/02               4.00           

Gross Domestic Product ("GDP") is one of, if not the most widely used economic  
measures for the overall U.S. economy. GDP measures the total market value of   
all final goods and services produced within the U.S. during a specific period. 
The index is the percent change from quarter to quarter of GDP and is often     
presented as an annualized rate. Generally, it is viewed as positive for the    
equity markets as GDP expands reflecting an environment of economic growth and  
profitability. The converse is true when GDP is contracting.                    

Data Source: Bloomberg                                                          

U.S. EQUITY MARKET                                                              

In spite of a strong equity rally during the fourth quarter, the broad U.S.     
equity market, as measured by the S&P 500(R) Index, posted a negative return of 
-22.10%. The year 2002 marked the first time the equity markets had generated   
negative returns for three consecutive years since 1939 through 1941.           
[LINE GRAPH]                                                                    

                                                                [Download Table]
                                    
       S&P 500 Index(R)(TotalReturn)
12/72            18.98              
12/73           -14.66              
12/74           -26.47              
12/75             37.2              
12/76            23.84              
12/77            -7.18              
12/78             6.56              
12/79            18.44              
12/80            32.42              
12/81            -4.91              
12/82            21.41              
12/83            22.51              
12/84             6.27              
12/85            32.16              
12/86            18.47              
12/87             5.23              
12/88            16.81              
12/89            31.49              
12/90            -3.17              
12/91            30.55              
12/92             7.67              
12/93             9.99              
12/94             1.31              
12/95            37.43              
12/96            23.07              
12/97            33.36              
12/98            28.58              
12/99            21.04              
12/00            -9.11              
12/01           -11.88              
12/02            -22.1              

The S&P 500(R) Index is used as a measure for the performance of large-cap, U.S.
stocks.                                                                         

4                                                                             

N-30D 7th “Page” of 154 TOC 1st Previous Next ↓Bottom Just 7th
S&P 500(R) INDEX PRICE/EARNINGS RATIO (P/E)                                     

The P/E ratio for the S&P 500(R) Index indicates that stock valuations are not  
cheap based on historical standards and well above other bear market lows.      
[LINE GRAPH]                                                                    

                                                                [Download Table]

            S&P 500 TR INDEX P/E RATIO  AVERAGE
            --------------------------  -------
                                               
3/31/1926              9.242             15.590
4/30/1926              9.452             15.590
5/31/1926              9.524             15.590
6/30/1926              9.935             15.590
7/31/1926             10.387             15.590
8/31/1926             10.565             15.590
9/30/1926             10.806             15.590
10/31/1926            10.468             15.590
11/30/1926            10.702             15.590
12/31/1926            10.879             15.590
1/31/1927             10.653             15.590
2/28/1927             11.161             15.590
3/31/1927             11.512             15.590
4/30/1927             11.711             15.590
5/31/1927             12.322             15.590
6/30/1927             12.517             15.590
7/31/1927             13.331             15.590
8/31/1927             13.924             15.590
9/30/1927             15.035             15.590
10/31/1927            14.237             15.590
11/30/1927            15.202             15.590
12/31/1927            15.910             15.590
1/31/1928             15.829             15.590
2/29/1928             15.550             15.590
3/31/1928             16.635             15.590
4/30/1928             17.174             15.590
5/31/1928             17.391             15.590
6/30/1928             15.992             15.590
7/31/1928             16.192             15.590
8/31/1928             17.392             15.590
9/30/1928             16.827             15.590
10/31/1928            17.071             15.590
11/30/1928            19.118             15.590
12/31/1928            17.645             15.590
1/31/1929             18.652             15.590
2/28/1929             18.543             15.590
3/31/1929             17.607             15.590
4/30/1929             17.890             15.590
5/31/1929             17.124             15.590
6/30/1929             18.413             15.590
7/31/1929             19.253             15.590
8/31/1929             21.140             15.590
9/30/1929             19.458             15.590
10/31/1929            15.581             15.590
11/30/1929            13.497             15.590
12/31/1929            13.323             15.590
1/31/1930             14.155             15.590
2/28/1930             14.460             15.590
3/31/1930             17.338             15.590
4/30/1930             17.172             15.590
5/31/1930             16.890             15.590
6/30/1930             15.738             15.590
7/31/1930             16.315             15.590
8/31/1930             16.438             15.590
9/30/1930             16.165             15.590
10/31/1930            14.730             15.590
11/30/1930            14.409             15.590
12/31/1930            15.814             15.590
1/31/1931             16.588             15.590
2/28/1931             18.485             15.590
3/31/1931             18.966             15.590
4/30/1931             17.148             15.590
5/31/1931             14.795             15.590
6/30/1931             18.537             15.590
7/31/1931             17.162             15.590
8/31/1931             17.325             15.590
9/30/1931             13.871             15.590
10/31/1931            15.043             15.590
11/30/1931            13.571             15.590
12/31/1931            13.311             15.590
1/31/1932             12.934             15.590
2/29/1932             13.590             15.590
3/31/1932             13.291             15.590
4/30/1932             10.600             15.590
5/31/1932              8.127             15.590
6/30/1932              8.860             15.590
7/31/1932             12.200             15.590
8/31/1932             16.780             15.590
9/30/1932             17.565             15.590
10/31/1932            15.130             15.590
11/30/1932            14.239             15.590
12/31/1932            16.805             15.590
1/31/1933             16.927             15.590
2/28/1933             13.805             15.590
3/31/1933             13.929             15.590
4/30/1933             19.810             15.590
5/31/1933             22.952             15.590
6/30/1933             25.976             15.590
7/31/1933             23.690             15.590
8/31/1933             26.405             15.590
9/30/1933             22.860             15.590
10/31/1933            20.837             15.590
11/30/1933            22.977             15.590
12/31/1933            22.955             15.590
1/31/1934             25.386             15.590
2/28/1934             24.455             15.590
3/31/1934             23.889             15.590
4/30/1934             23.244             15.590
5/31/1934             21.356             15.590
6/30/1934             21.326             15.590
7/31/1934             18.870             15.590
8/31/1934             19.891             15.590
9/30/1934             18.958             15.590
10/31/1934            18.354             15.590
11/30/1934            19.875             15.590
12/31/1934            19.388             15.590
1/31/1935             18.571             15.590
2/28/1935             17.837             15.590
3/31/1935             15.400             15.590
4/30/1935             16.873             15.590
5/31/1935             17.418             15.590
6/30/1935             16.500             15.590
7/31/1935             17.871             15.590
8/31/1935             18.258             15.590
9/30/1935             16.797             15.590
10/31/1935            18.058             15.590
11/30/1935            18.768             15.590
12/31/1935            17.671             15.590
1/31/1936             18.829             15.590
2/29/1936             19.145             15.590
3/31/1936             18.886             15.590
4/30/1936             17.430             15.590
5/31/1936             18.228             15.590
6/30/1936             16.864             15.590
7/31/1936             18.011             15.590
8/31/1936             18.170             15.590
9/30/1936             17.032             15.590
10/31/1936            18.309             15.590
11/30/1936            18.383             15.590
12/31/1936            16.843             15.590
1/31/1937             17.480             15.590
2/28/1937             17.735             15.590
3/31/1937             16.144             15.590
4/30/1937             14.802             15.590
5/31/1937             14.649             15.590
6/30/1937             13.162             15.590
7/31/1937             14.513             15.590
8/31/1937             13.709             15.590
9/30/1937             11.279             15.590
10/31/1937            10.131             15.590
11/30/1937             9.107             15.590
12/31/1937             9.336             15.590
1/31/1938              9.460             15.590
2/28/1938             10.035             15.590
3/31/1938              8.763             15.590
4/30/1938             10.000             15.590
5/31/1938              9.557             15.590
6/30/1938             15.013             15.590
7/31/1938             16.104             15.590
8/31/1938             15.662             15.590
9/30/1938             19.742             15.590
10/31/1938            21.242             15.590
11/30/1938            20.532             15.590
12/31/1938            20.641             15.590
1/31/1939             19.219             15.590
2/28/1939             19.844             15.590
3/31/1939             15.465             15.590
4/30/1939             15.380             15.590
5/31/1939             16.338             15.590
6/30/1939             14.289             15.590
7/31/1939             15.842             15.590
8/31/1939             14.711             15.590
9/30/1939             16.074             15.590
10/31/1939            15.840             15.590
11/30/1939            15.062             15.590
12/31/1939            13.878             15.590
1/31/1940             13.389             15.590
2/29/1940             13.478             15.590
3/31/1940             12.374             15.590
4/30/1940             12.313             15.590
5/31/1940              9.364             15.590
6/30/1940              9.596             15.590
7/31/1940              9.894             15.590
8/31/1940             10.154             15.590
9/30/1940              9.870             15.590
10/31/1940            10.259             15.590
11/30/1940             9.824             15.590
12/31/1940            10.076             15.590
1/31/1941              9.590             15.590
2/28/1941              9.448             15.590
3/31/1941              9.396             15.590
4/30/1941              8.783             15.590
5/31/1941              8.821             15.590
6/30/1941              9.037             15.590
7/31/1941              9.532             15.590
8/31/1941              9.450             15.590
9/30/1941              8.571             15.590
10/31/1941             7.983             15.590
11/30/1941             7.647             15.590
12/31/1941             7.491             15.590
1/31/1942              7.595             15.590
2/28/1942              7.405             15.590
3/31/1942              7.702             15.590
4/30/1942              7.365             15.590
5/31/1942              7.837             15.590
6/30/1942              8.469             15.590
7/31/1942              8.735             15.590
8/31/1942              8.796             15.590
9/30/1942              9.415             15.590
10/31/1942            10.021             15.590
11/30/1942             9.883             15.590
12/31/1942             9.485             15.590
1/31/1943             10.165             15.590
2/28/1943             10.680             15.590
3/31/1943             10.822             15.590
4/30/1943             10.832             15.590
5/31/1943             11.318             15.590
6/30/1943             11.227             15.590
7/31/1943             10.618             15.590
8/31/1943             10.727             15.590
9/30/1943             11.185             15.590
10/31/1943            11.037             15.590
11/30/1943            10.204             15.590
12/31/1943            12.415             15.590
1/31/1944             12.606             15.590
2/29/1944             12.574             15.590
3/31/1944             12.925             15.590
4/30/1944             12.763             15.590
5/31/1944             13.280             15.590
6/30/1944             14.109             15.590
7/31/1944             13.815             15.590
8/31/1944             13.935             15.590
9/30/1944             14.200             15.590
10/31/1944            14.200             15.590
11/30/1944            14.256             15.590
12/31/1944            14.280             15.590
1/31/1945             14.484             15.590
2/28/1945             15.376             15.590
3/31/1945             14.208             15.590
4/30/1945             15.458             15.590
5/31/1945             15.635             15.590
6/30/1945             14.960             15.590
7/31/1945             14.660             15.590
8/31/1945             15.510             15.590
9/30/1945             16.323             15.590
10/31/1945            16.818             15.590
11/30/1945            17.364             15.590
12/31/1945            18.083             15.590
1/31/1946             19.344             15.590
2/28/1946             18.000             15.590
3/31/1946             20.089             15.590
4/30/1946             20.844             15.590
5/31/1946             21.311             15.590
6/30/1946             21.940             15.590
7/31/1946             21.381             15.590
8/31/1946             19.821             15.590
9/30/1946             16.809             15.590
10/31/1946            16.674             15.590
11/30/1946            16.483             15.590
12/31/1946            14.434             15.590
1/31/1947             14.774             15.590
2/28/1947             14.557             15.590
3/31/1947             11.945             15.590
4/30/1947             11.480             15.590
5/31/1947             11.378             15.590
6/30/1947             10.563             15.590
7/31/1947             10.944             15.590
8/31/1947             10.639             15.590
9/30/1947              9.748             15.590
10/31/1947             9.955             15.590
11/30/1947             9.671             15.590
12/31/1947             9.503             15.590
1/31/1948              9.124             15.590
2/29/1948              8.696             15.590
3/31/1948              8.819             15.590
4/30/1948              9.053             15.590
5/31/1948              9.760             15.590
6/30/1948              9.000             15.590
7/31/1948              8.522             15.590
8/31/1948              8.586             15.590
9/30/1948              7.483             15.590
10/31/1948             7.990             15.590
11/30/1948             7.126             15.590
12/31/1948             6.638             15.590
1/31/1949              6.646             15.590
2/28/1949              6.384             15.590
3/31/1949              6.328             15.590
4/30/1949              6.193             15.590
5/31/1949              5.962             15.590
6/30/1949              5.900             15.590
7/31/1949              6.267             15.590
8/31/1949              6.342             15.590
9/30/1949              6.519             15.590
10/31/1949             6.711             15.590
11/30/1949             6.720             15.590
12/31/1949             7.224             15.590
1/31/1950              7.349             15.590
2/28/1950              7.422             15.590
3/31/1950              7.295             15.590
4/30/1950              7.624             15.590
5/31/1950              7.924             15.590
6/30/1950              6.965             15.590
7/31/1950              7.024             15.590
8/31/1950              7.252             15.590
9/30/1950              7.151             15.590
10/31/1950             7.180             15.590
11/30/1950             7.173             15.590
12/31/1950             7.187             15.590
1/31/1951              7.627             15.590
2/28/1951              7.676             15.590
3/31/1951              7.562             15.590
4/30/1951              7.926             15.590
5/31/1951              7.604             15.590
6/30/1951              7.706             15.590
7/31/1951              8.235             15.590
8/31/1951              8.559             15.590
9/30/1951              9.267             15.590
10/31/1951             9.139             15.590
11/30/1951             9.116             15.590
12/31/1951             9.742             15.590
1/31/1952              9.893             15.590
2/29/1952              9.533             15.590
3/31/1952             10.154             15.590
4/30/1952              9.717             15.590
5/31/1952              9.942             15.590
6/30/1952             10.667             15.590
7/31/1952             10.855             15.590
8/31/1952             10.697             15.590
9/30/1952             10.398             15.590
10/31/1952            10.390             15.590
11/30/1952            10.873             15.590
12/31/1952            11.071             15.590
1/31/1953             10.992             15.590
2/28/1953             10.792             15.590
3/31/1953             10.407             15.590
4/30/1953             10.132             15.590
5/31/1953             10.099             15.590
6/30/1953              9.618             15.590
7/31/1953              9.861             15.590
8/31/1953              9.291             15.590
9/30/1953              9.157             15.590
10/31/1953             9.624             15.590
11/30/1953             9.710             15.590
12/31/1953             9.884             15.590
1/31/1954             10.390             15.590
2/28/1954             10.418             15.590
3/31/1954             10.565             15.590
4/30/1954             11.082             15.590
5/31/1954             11.447             15.590
6/30/1954             11.149             15.590
7/31/1954             11.786             15.590
8/31/1954             11.385             15.590
9/30/1954             12.285             15.590
10/31/1954            12.046             15.590
11/30/1954            13.019             15.590
12/31/1954            12.989             15.590
1/31/1955             13.224             15.590
2/28/1955             13.271             15.590
3/31/1955             12.358             15.590
4/30/1955             12.824             15.590
5/31/1955             12.807             15.590
6/30/1955             12.742             15.590
7/31/1955             13.516             15.590
8/31/1955             13.410             15.590
9/30/1955             12.695             15.590
10/31/1955            12.308             15.590
11/30/1955            13.230             15.590
12/31/1955            12.564             15.590
1/31/1956             12.105             15.590
2/29/1956             12.525             15.590
3/31/1956             13.138             15.590
4/30/1956             13.111             15.590
5/31/1956             12.249             15.590
6/30/1956             13.047             15.590
7/31/1956             13.719             15.590
8/31/1956             13.197             15.590
9/30/1956             13.107             15.590
10/31/1956            13.173             15.590
11/30/1956            13.029             15.590
12/31/1956            13.686             15.590
1/31/1957             13.114             15.590
2/28/1957             12.686             15.590
3/31/1957             12.974             15.590
4/30/1957             13.453             15.590
5/31/1957             13.950             15.590
6/30/1957             13.851             15.590
7/31/1957             14.009             15.590
8/31/1957             13.222             15.590
9/30/1957             12.225             15.590
10/31/1957            11.833             15.590
11/30/1957            12.023             15.590
12/31/1957            11.866             15.590
1/31/1958             12.374             15.590
2/28/1958             12.119             15.590
3/31/1958             13.408             15.590
4/30/1958             13.834             15.590
5/31/1958             14.041             15.590
6/30/1958             15.440             15.590
7/31/1958             16.106             15.590
8/31/1958             16.297             15.590
9/30/1958             17.382             15.590
10/31/1958            17.823             15.590
11/30/1958            18.222             15.590
12/31/1958            19.104             15.590
1/31/1959             19.176             15.590
2/28/1959             19.173             15.590
3/31/1959             17.826             15.590
4/30/1959             18.518             15.590
5/31/1959             18.868             15.590
6/30/1959             17.197             15.590
7/31/1959             17.797             15.590
8/31/1959             17.529             15.590
9/30/1959             16.583             15.590
10/31/1959            16.770             15.590
11/30/1959            16.991             15.590
12/31/1959            17.667             15.590
1/31/1960             16.404             15.590
2/29/1960             16.555             15.590
3/31/1960             16.324             15.590
4/30/1960             16.038             15.590
5/31/1960             16.469             15.590
6/30/1960             17.460             15.590
7/31/1960             17.028             15.590
8/31/1960             17.472             15.590
9/30/1960             16.367             15.590
10/31/1960            16.327             15.590
11/30/1960            16.985             15.590
12/31/1960            17.771             15.590
1/31/1961             18.893             15.590
2/28/1961             19.401             15.590
3/31/1961             21.055             15.590
4/30/1961             21.136             15.590
5/31/1961             21.540             15.590
6/30/1961             21.333             15.590
7/31/1961             22.033             15.590
8/31/1961             22.465             15.590
9/30/1961             21.879             15.590
10/31/1961            22.498             15.590
11/30/1961            23.384             15.590
12/31/1961            22.429             15.590
1/31/1962             21.580             15.590
2/28/1962             21.931             15.590
3/31/1962             20.638             15.590
4/30/1962             19.359             15.590
5/31/1962             17.694             15.590
6/30/1962             15.778             15.590
7/31/1962             16.781             15.590
8/31/1962             17.037             15.590
9/30/1962             15.941             15.590
10/31/1962            16.011             15.590
11/30/1962            17.637             15.590
12/31/1962            17.193             15.590
1/31/1963             18.038             15.590
2/28/1963             17.518             15.590
3/31/1963             17.943             15.590
4/30/1963             18.814             15.590
5/31/1963             19.084             15.590
6/30/1963             18.065             15.590
7/31/1963             18.003             15.590
8/31/1963             18.880             15.590
9/30/1963             18.106             15.590
10/31/1963            18.689             15.590
11/30/1963            18.492             15.590
12/31/1963            18.662             15.590
1/31/1964             19.164             15.590
2/29/1964             19.353             15.590
3/31/1964             18.895             15.590
4/30/1964             19.010             15.590
5/31/1964             19.227             15.590
6/30/1964             18.866             15.590
7/31/1964             19.210             15.590
8/31/1964             18.898             15.590
9/30/1964             18.832             15.590
10/31/1964            18.984             15.590
11/30/1964            18.886             15.590
12/31/1964            18.626             15.590
1/31/1965             19.244             15.590
2/28/1965             19.215             15.590
3/31/1965             18.410             15.590
4/30/1965             19.041             15.590
5/31/1965             18.893             15.590
6/30/1965             17.380             15.590
7/31/1965             17.614             15.590
8/31/1965             18.010             15.590
9/30/1965             18.064             15.590
10/31/1965            18.558             15.590
11/30/1965            18.396             15.590
12/31/1965            17.809             15.590
1/31/1966             17.896             15.590
2/28/1966             17.576             15.590
3/31/1966             16.710             15.590
4/30/1966             17.052             15.590
5/31/1966             16.129             15.590
6/30/1966             15.520             15.590
7/31/1966             15.311             15.590
8/31/1966             14.121             15.590
9/30/1966             13.895             15.590
10/31/1966            14.555             15.590
11/30/1966            14.601             15.590
12/31/1966            14.474             15.590
1/31/1967             15.605             15.590
2/28/1967             15.636             15.590
3/31/1967             16.550             15.590
4/30/1967             17.250             15.590
5/31/1967             16.345             15.590
6/30/1967             17.006             15.590
7/31/1967             17.777             15.590
8/31/1967             17.568             15.590
9/30/1967             18.247             15.590
10/31/1967            17.717             15.590
11/30/1967            17.736             15.590
12/31/1967            18.099             15.590
1/31/1968             17.306             15.590
2/29/1968             16.765             15.590
3/31/1968             16.581             15.590
4/30/1968             17.939             15.590
5/31/1968             18.140             15.590
6/30/1968             17.878             15.590
7/31/1968             17.548             15.590
8/31/1968             17.749             15.590
9/30/1968             18.140             15.590
10/31/1968            18.270             15.590
11/30/1968            19.147             15.590
12/31/1968            18.031             15.590
1/31/1969             17.884             15.590
2/28/1969             17.036             15.590
3/31/1969             17.442             15.590
4/30/1969             17.816             15.590
5/31/1969             17.777             15.590
6/30/1969             16.731             15.590
7/31/1969             15.724             15.590
8/31/1969             16.354             15.590
9/30/1969             15.810             15.590
10/31/1969            16.509             15.590
11/30/1969            16.776             15.590
12/31/1969            15.927             15.590
1/31/1970             14.709             15.590
2/28/1970             15.484             15.590
3/31/1970             15.920             15.590
4/30/1970             14.480             15.590
5/31/1970             13.597             15.590
6/30/1970             13.174             15.590
7/31/1970             14.139             15.590
8/31/1970             14.768             15.590
9/30/1970             15.711             15.590
10/31/1970            15.532             15.590
11/30/1970            16.269             15.590
12/31/1970            17.963             15.590
1/31/1971             18.690             15.590
2/28/1971             18.860             15.590
3/31/1971             19.216             15.590
4/30/1971             19.914             15.590
5/31/1971             19.086             15.590
6/30/1971             18.741             15.590
7/31/1971             17.966             15.590
8/31/1971             18.615             15.590
9/30/1971             18.110             15.590
10/31/1971            17.354             15.590
11/30/1971            17.309             15.590
12/31/1971            17.911             15.590
1/31/1972             18.235             15.590
2/29/1972             18.696             15.590
3/31/1972             18.451             15.590
4/30/1972             18.532             15.590
5/31/1972             18.852             15.590
6/30/1972             17.946             15.590
7/31/1972             17.988             15.590
8/31/1972             18.608             15.590
9/30/1972             18.005             15.590
10/31/1972            18.173             15.590
11/30/1972            19.002             15.590
12/31/1972            18.388             15.590
1/31/1973             18.073             15.590
2/28/1973             17.396             15.590
3/31/1973             16.400             15.590
4/30/1973             15.731             15.590
5/31/1973             15.434             15.590
6/30/1973             14.420             15.590
7/31/1973             14.968             15.590
8/31/1973             14.419             15.590
9/30/1973             14.100             15.590
10/31/1973            14.082             15.590
11/30/1973            12.479             15.590
12/31/1973            11.955             15.590
1/31/1974             11.835             15.590
2/28/1974             11.792             15.590
3/31/1974             11.242             15.590
4/30/1974             10.803             15.590
5/31/1974             10.440             15.590
6/30/1974              9.840             15.590
7/31/1974              9.074             15.590
8/31/1974              8.255             15.590
9/30/1974              6.975             15.590
10/31/1974             8.112             15.590
11/30/1974             7.681             15.590
12/31/1974             7.712             15.590
1/31/1975              8.659             15.590
2/28/1975              9.178             15.590
3/31/1975              9.865             15.590
4/30/1975             10.331             15.590
5/31/1975             10.787             15.590
6/30/1975             11.959             15.590
7/31/1975             11.149             15.590
8/31/1975             10.915             15.590
9/30/1975             10.808             15.590
10/31/1975            11.474             15.590
11/30/1975            11.758             15.590
12/31/1975            11.330             15.590
1/31/1976             12.671             15.590
2/29/1976             12.526             15.590
3/31/1976             11.867             15.590
4/30/1976             11.737             15.590
5/31/1976             11.568             15.590
6/30/1976             11.274             15.590
7/31/1976             11.183             15.590
8/31/1976             11.125             15.590
9/30/1976             11.020             15.590
10/31/1976            10.775             15.590
11/30/1976            10.691             15.590
12/31/1976            10.844             15.590
1/31/1977             10.296             15.590
2/28/1977             10.073             15.590
3/31/1977              9.764             15.590
4/30/1977              9.766             15.590
5/31/1977              9.536             15.590
6/30/1977              9.643             15.590
7/31/1977              9.487             15.590
8/31/1977              9.287             15.590
9/30/1977              9.013             15.590
10/31/1977             8.622             15.590
11/30/1977             8.854             15.590
12/31/1977             8.733             15.590
1/31/1978              8.196             15.590
2/28/1978              7.993             15.590
3/31/1978              8.169             15.590
4/30/1978              8.867             15.590
5/31/1978              8.909             15.590
6/30/1978              8.507             15.590
7/31/1978              8.965             15.590
8/31/1978              9.198             15.590
9/30/1978              8.863             15.590
10/31/1978             8.051             15.590
11/30/1978             8.185             15.590
12/31/1978             7.795             15.590
1/31/1979              8.105             15.590
2/28/1979              7.809             15.590
3/31/1979              7.638             15.590
4/30/1979              7.651             15.590
5/31/1979              7.450             15.590
6/30/1979              7.361             15.590
7/31/1979              7.426             15.590
8/31/1979              7.820             15.590
9/30/1979              7.472             15.590
10/31/1979             6.960             15.590
11/30/1979             7.256             15.590
12/31/1979             7.264             15.590
1/31/1980              7.682             15.590
2/29/1980              7.649             15.590
3/31/1980              6.677             15.590
4/30/1980              6.952             15.590
5/31/1980              7.275             15.590
6/30/1980              7.647             15.590
7/31/1980              8.144             15.590
8/31/1980              8.191             15.590
9/30/1980              8.570             15.590
10/31/1980             8.707             15.590
11/30/1980             9.598             15.590
12/31/1980             9.161             15.590
1/31/1981              8.742             15.590
2/28/1981              8.858             15.590
3/31/1981              9.328             15.590
4/30/1981              9.109             15.590
5/31/1981              9.094             15.590
6/30/1981              8.742             15.590
7/31/1981              8.722             15.590
8/31/1981              8.181             15.590
9/30/1981              7.608             15.590
10/31/1981             7.982             15.590
11/30/1981             8.274             15.590
12/31/1981             7.979             15.590
1/31/1982              7.839             15.590
2/28/1982              7.364             15.590
3/31/1982              7.560             15.590
4/30/1982              7.862             15.590
5/31/1982              7.554             15.590
6/30/1982              7.735             15.590
7/31/1982              7.558             15.590
8/31/1982              8.434             15.590
9/30/1982              8.881             15.590
10/31/1982             9.861             15.590
11/30/1982            10.217             15.590
12/31/1982            11.127             15.590
1/31/1983             11.495             15.590
2/28/1983             11.714             15.590
3/31/1983             12.316             15.590
4/30/1983             13.238             15.590
5/31/1983             13.075             15.590
6/30/1983             13.353             15.590
7/31/1983             12.912             15.590
8/31/1983             13.058             15.590
9/30/1983             12.486             15.590
10/31/1983            12.297             15.590
11/30/1983            12.511             15.590
12/31/1983            11.756             15.590
1/31/1984             11.647             15.590
2/29/1984             11.195             15.590
3/31/1984             10.431             15.590
4/30/1984             10.488             15.590
5/31/1984              9.866             15.590
6/30/1984              9.456             15.590
7/31/1984              9.300             15.590
8/31/1984             10.289             15.590
9/30/1984             10.030             15.590
10/31/1984            10.030             15.590
11/30/1984             9.878             15.590
12/31/1984            10.050             15.590
1/31/1985             10.795             15.590
2/28/1985             10.888             15.590
3/31/1985             11.023             15.590
4/30/1985             10.972             15.590
5/31/1985             11.565             15.590
6/30/1985             12.290             15.590
7/31/1985             12.231             15.590
8/31/1985             12.084             15.590
9/30/1985             11.955             15.590
10/31/1985            12.464             15.590
11/30/1985            13.274             15.590
12/31/1985            14.461             15.590
1/31/1986             14.496             15.590
2/28/1986             15.532             15.590
3/31/1986             16.453             15.590
4/30/1986             16.220             15.590
5/31/1986             17.035             15.590
6/30/1986             17.052             15.590
7/31/1986             16.052             15.590
8/31/1986             17.194             15.590
9/30/1986             15.577             15.590
10/31/1986            16.430             15.590
11/30/1986            16.782             15.590
12/31/1986            16.724             15.590
1/31/1987             18.928             15.590
2/28/1987             19.627             15.590
3/31/1987             19.318             15.590
4/30/1987             19.097             15.590
5/31/1987             19.212             15.590
6/30/1987             21.082             15.590
7/31/1987             22.098             15.590
8/31/1987             22.871             15.590
9/30/1987             20.292             15.590
10/31/1987            15.876             15.590
11/30/1987            14.521             15.590
12/31/1987            14.119             15.590
1/31/1988             14.690             15.590
2/29/1988             15.304             15.590
3/31/1988             13.926             15.590
4/30/1988             14.058             15.590
5/31/1988             14.102             15.590
6/30/1988             12.621             15.590
7/31/1988             12.553             15.590
8/31/1988             12.068             15.590
9/30/1988             11.963             15.590
10/31/1988            12.273             15.590
11/30/1988            12.041             15.590
12/31/1988            11.693             15.590
1/31/1989             12.525             15.590
2/28/1989             12.163             15.590
3/31/1989             11.814             15.590
4/30/1989             12.405             15.590
5/31/1989             12.841             15.590
6/30/1989             12.608             15.590
7/31/1989             13.722             15.590
8/31/1989             13.935             15.590
9/30/1989             14.738             15.590
10/31/1989            14.367             15.590
11/30/1989            14.605             15.590
12/31/1989            15.453             15.590
1/31/1990             14.389             15.590
2/28/1990             14.512             15.590
3/31/1990             15.687             15.590
4/30/1990             15.265             15.590
5/31/1990             16.670             15.590
6/30/1990             16.840             15.590
7/31/1990             16.752             15.590
8/31/1990             15.172             15.590
9/30/1990             14.078             15.590
10/31/1990            13.983             15.590
11/30/1990            14.822             15.590
12/31/1990            15.474             15.590
1/31/1991             16.117             15.590
2/28/1991             17.201             15.590
3/31/1991             17.979             15.590
4/30/1991             17.985             15.590
5/31/1991             18.679             15.590
6/30/1991             19.181             15.590
7/31/1991             20.042             15.590
8/31/1991             20.436             15.590
9/30/1991             21.765             15.590
10/31/1991            22.024             15.590
11/30/1991            21.056             15.590
12/31/1991            26.216             15.590
1/31/1992             25.694             15.590
2/29/1992             25.940             15.590
3/31/1992             24.919             15.590
4/30/1992             25.614             15.590
5/31/1992             25.639             15.590
6/30/1992             23.938             15.590
7/31/1992             24.880             15.590
8/31/1992             24.283             15.590
9/30/1992             23.160             15.590
10/31/1992            23.208             15.590
11/30/1992            23.911             15.590
12/31/1992            22.824             15.590
1/31/1993             22.985             15.590
2/28/1993             23.226             15.590
3/31/1993             22.766             15.590
4/30/1993             22.187             15.590
5/31/1993             22.691             15.590
6/30/1993             23.307             15.590
7/31/1993             23.183             15.590
8/31/1993             23.981             15.590
9/30/1993             22.486             15.590
10/31/1993            22.922             15.590
11/30/1993            22.626             15.590
12/31/1993            21.309             15.590
1/31/1994             22.001             15.590
2/28/1994             21.340             15.590
3/31/1994             19.629             15.590
4/30/1994             19.855             15.590
5/31/1994             20.101             15.590
6/30/1994             17.630             15.590
7/31/1994             18.185             15.590
8/31/1994             18.869             15.590
9/30/1994             16.930             15.590
10/31/1994            17.283             15.590
11/30/1994            16.600             15.590
12/31/1994            15.009             15.590
1/31/1995             15.373             15.590
2/28/1995             15.928             15.590
3/31/1995             15.383             15.590
4/30/1995             15.813             15.590
5/31/1995             16.387             15.590
6/30/1995             15.822             15.590
7/31/1995             16.325             15.590
8/31/1995             16.319             15.590
9/30/1995             16.612             15.590
10/31/1995            16.529             15.590
11/30/1995            17.208             15.590
12/31/1995            18.137             15.590
1/31/1996             18.729             15.590
2/29/1996             18.858             15.590
3/31/1996             18.963             15.590
4/30/1996             19.218             15.590
5/31/1996             19.657             15.590
6/30/1996             19.210             15.590
7/31/1996             18.331             15.590
8/31/1996             18.676             15.590
9/30/1996             19.092             15.590
10/31/1996            19.591             15.590
11/30/1996            21.028             15.590
12/31/1996            19.126             15.590
1/31/1997             20.298             15.590
2/28/1997             20.419             15.590
3/31/1997             18.815             15.590
4/30/1997             19.914             15.590
5/31/1997             21.081             15.590
6/30/1997             21.828             15.590
7/31/1997             23.534             15.590
8/31/1997             22.182             15.590
9/30/1997             23.309             15.590
10/31/1997            22.505             15.590
11/30/1997            23.509             15.590
12/31/1997            24.432             15.590
1/31/1998             24.680             15.590
2/28/1998             26.418             15.590
3/31/1998             27.864             15.590
4/30/1998             28.117             15.590
5/31/1998             27.588             15.590
6/30/1998             29.095             15.590
7/31/1998             28.757             15.590
8/31/1998             24.565             15.590
9/30/1998             26.700             15.590
10/31/1998            28.844             15.590
11/30/1998            30.549             15.590
12/31/1998            32.606             15.590
1/31/1999             33.943             15.590
2/28/1999             32.847             15.590
3/31/1999             33.517             15.590
4/30/1999             34.788             15.590
5/31/1999             33.920             15.590
6/30/1999             33.464             15.590
7/31/1999             32.392             15.590
8/31/1999             32.189             15.590
9/30/1999             29.179             15.590
10/31/1999            31.004             15.590
11/30/1999            31.595             15.590
12/31/1999            30.501             15.590
1/31/2000             28.949             15.590
2/29/2000             28.367             15.590
3/31/2000             29.413             15.590
4/30/2000             28.507             15.590
5/31/2000             27.882             15.590
6/30/2000             28.016             15.590
7/31/2000             27.558             15.590
8/31/2000             29.231             15.590
9/30/2000             26.751             15.590
10/31/2000            26.618             15.590
11/30/2000            24.487             15.590
12/31/2000            26.406             15.590
1/31/2001             27.320             15.590
2/28/2001             24.799             15.590
3/31/2001             25.535             15.590
4/30/2001             27.497             15.590
5/31/2001             27.637             15.590
6/30/2001             33.281             15.590
7/31/2001             32.923             15.590
8/31/2001             30.812             15.590
9/30/2001             36.769             15.590
10/31/2001            37.435             15.590
11/30/2001            40.249             15.590
12/31/2001            46.500             15.590
1/31/2002             45.776             15.590
2/28/2002             44.825             15.590
3/31/2002             46.453             15.590
4/30/2002             43.600             15.590
5/31/2002             43.204             15.590
6/30/2002             37.016             15.590
7/31/2002             34.092             15.590
8/31/2002             34.258             15.590
9/30/2002             26.871             15.590
10/31/2002            29.194             15.590
11/30/2002            30.861             15.590
12/31/2002            28.700             15.590

P/E is the ratio of a stock's price divided by its earnings per share. In this  
case, the P/E ratio is represented for the entire index. The ratio, or multiple,
reflects the price an investor is willing to pay for a dollar of expected       
earnings per share.                                                             

Data Source: Stockval and Barra                                                 

FEDERAL RESERVE BANK                                                            

Following numerous rate cuts during 2001, the Federal Reserve Bank ("Fed") left 
rates unchanged at 1.75% through the first three quarters of 2002. In the fourth
quarter, they continued their concerted efforts to stimulate a struggling       
economy and hold-off deflation with a substantial .50% cut in November. The year
ended with the Fed Funds rate at 1.25% -- its lowest level in over four decades.
[LINE GRAPH]                                                                    

                                                                [Download Table]

       FEDERAL FUNDS TARGET INTEREST RATE
       ----------------------------------
                                         
9/91                  5.28               
                         5               
                      4.75               
                         4               
                         4               
                         4               
                         4               
                      3.75               
                      3.75               
                      3.75               
                      3.25               
                      3.25               
                         3               
                         3               
                         3               
                         3               
                         3               
                         3               
                         3               
                         3               
                         3               
6/93                     3               
                         3               
                         3               
                         3               
                         3               
                         3               
                         3               
                         3               
                      3.25               
                       3.5               
                      3.75               
                      4.25               
                      4.25               
                      4.25               
                      4.75               
                      4.75               
                      4.75               
                       5.5               
                       5.5               
                       5.5               
                         6               
                         6               
                         6               
                         6               
6/95                     6               
                      5.75               
                      5.75               
                      5.75               
                      5.75               
                      5.75               
                       5.5               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                      5.25               
                       5.5               
                       5.5               
                       5.5               
6/97                   5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                       5.5               
                      5.25               
                         5               
                      4.75               
                      4.75               
                      4.75               
                      4.75               
                      4.75               
                      4.75               
                      4.75               
6/99                     5               
                         5               
                      5.25               
                      5.25               
                      5.25               
                       5.5               
                       5.5               
                       5.5               
                      5.75               
                         6               
                         6               
                       6.5               
                       6.5               
                       6.5               
                       6.5               
                       6.5               
                       6.5               
                       6.5               
                       6.5               
                       5.5               
                       5.5               
                         5               
                       4.5               
                         4               
6/01                  3.75               
                      3.75               
                       3.5               
                         3               
                       2.5               
                         2               
                      1.75               
                      1.75               
                      1.75               
                      1.75               
                      1.75               
                      1.75               
                      1.75               
                      1.75               
                      1.75               
                      1.75               
                      1.25               
12/02                 1.25               

The Federal Reserve Bank is the central bank of the U.S. with the responsibility
of implementing monetary policy. The federal funds rate is the rate banks with  
excess reserves loan funds to banks needing additional reserves. The fed funds  
rate is one tool the Fed can use in their efforts of controlling money supply.  
It is viewed as a stimulus to the economy and to equity markets when the Fed    
lowers the federal funds rate given money supply increases. Contrarily, the     
opposite is true when the Fed increases the fed funds rate creating an          
environment for money supply contraction.                                       

Data Source: Bloomberg                                                          

CONSUMER CONFIDENCE                                                             

Consumer confidence dropped six of the last seven months of 2002 reflecting     
concerns related to a struggling economy, geopolitical risks as well as an      
increase in unemployment, which reached an eight year high of 6.0%. Since       
peaking in May 2000, the Consumer Confidence Index has declined rather          
consistently, reaching a nine year low during the fourth quarter.               
[LINE GRAPH]                                                                    

                                                                [Download Table]

       CONSUMER CONFIDENCE INDEX
       -------------------------
                                
10/90            62.60          
                 61.70          
12/90            61.20          
                 55.10          
                 59.40          
                 81.10          
                 79.40          
                 76.40          
                 78.00          
                 77.70          
                 76.10          
                 72.90          
                 60.10          
                 52.70          
12/91            52.50          
                 50.20          
                 47.30          
                 56.50          
                 65.10          
                 71.90          
                 72.60          
                 61.20          
                 59.00          
                 57.30          
                 54.60          
                 65.60          
12/92            78.10          
                 76.70          
                 68.50          
                 63.20          
                 67.60          
                 61.90          
                 58.60          
                 59.20          
                 59.30          
                 63.80          
                 60.50          
                 71.90          
12/93            79.80          
                 82.60          
                 79.90          
                 86.70          
                 92.10          
                 88.90          
                 92.50          
                 91.30          
                 90.40          
                 89.50          
                 89.10          
                100.40          
12/94           103.40          
                101.40          
                 99.40          
                100.20          
                104.60          
                102.00          
                 94.60          
                101.40          
                102.40          
                 97.30          
                 96.30          
                101.60          
12/95            99.20          
                 88.40          
                 98.00          
                 98.40          
                104.80          
                103.50          
                100.10          
                107.00          
                112.00          
                111.80          
                107.30          
                109.50          
12/96           114.20          
                118.70          
                118.90          
                118.50          
                118.50          
                127.90          
                129.90          
                126.30          
                127.60          
                130.20          
                123.40          
                128.10          
12/97           136.20          
                128.30          
                137.40          
                133.80          
                137.20          
                136.30          
                138.20          
                137.20          
                133.10          
                126.40          
                119.30          
                126.40          
12/98           126.70          
                128.90          
                133.10          
                134.00          
                135.50          
                137.70          
                139.00          
                136.20          
                136.00          
                134.20          
                130.50          
                137.00          
12/99           141.70          
                144.70          
                140.80          
                137.10          
                137.70          
                144.70          
                139.20          
                143.00          
                140.80          
                142.50          
                135.80          
                132.60          
12/00           128.60          
                115.70          
                109.20          
                116.90          
                109.90          
                116.10          
                118.90          
                116.30          
                114.00          
                 97.00          
                 85.30          
                 84.90          
12/01            94.60          
                 97.80          
                 95.00          
                110.70          
                108.50          
                110.30          
                106.30          
                 97.40          
                 94.50          
                 93.70          
                 79.60          
                 84.90          
12/02            80.30          

The Consumer Confidence Index is computed on a monthly basis for the purpose of 
measuring consumers' attitude toward the economy. The trend in this economic    
measure is closely monitored given consumers comprise approximately two-thirds  
of the U.S. economy. Generally, it is viewed as positive to the economy and     
equity markets when the index increases. This reflects the fact that consumers  
are positive regarding their economic outlook and that they are more willing to 
spend money providing further economic stimulus.                                

Data Source: Bloomberg                                                          

U.S. UNEMPLOYMENT                                                               

The unemployment rate in the U.S. continued to climb throughout most of 2002.   
Beginning the year at 5.8%, the unemployment rate declined to a low of 5.6% in  
February before ending the year at 6.0%. Prior to 2002, the unemployment rate   
had not reached 6.0% since August 1994. The rise in unemployment has contributed
to a decline in consumer confidence.                                            
[LINE GRAPH]                                                                    

                                                                [Download Table]

       U.S. UNEMPLOYMENT RATE
       ----------------------
                             
10/90           5.90         
                6.20         
12/90           6.30         
                6.40         
                6.60         
                6.80         
                6.70         
                6.90         
                6.90         
                6.80         
                6.90         
                6.90         
                7.00         
                7.00         
12/91           7.30         
                7.30         
                7.40         
                7.40         
                7.40         
                7.60         
                7.80         
                7.70         
                7.60         
                7.60         
                7.30         
                7.40         
12/92           7.40         
                7.30         
                7.10         
                7.00         
                7.10         
                7.10         
                7.00         
                6.90         
                6.80         
                6.70         
                6.80         
                6.60         
12/93           6.50         
                6.80         
                6.60         
                6.50         
                6.40         
                6.10         
                6.10         
                6.30         
                6.00         
                5.80         
                5.80         
                5.60         
12/94           5.50         
                5.60         
                5.40         
                5.40         
                5.80         
                5.60         
                5.60         
                5.70         
                5.70         
                5.60         
                5.50         
                5.60         
12/95           5.60         
                5.60         
                5.50         
                5.50         
                5.60         
                5.60         
                5.30         
                5.50         
                5.10         
                5.20         
                5.20         
                5.40         
12/96           5.40         
                5.30         
                5.20         
                5.20         
                5.10         
                4.90         
                5.00         
                4.90         
                4.80         
                4.90         
                4.70         
                4.60         
12/97           4.70         
                4.60         
                4.60         
                4.70         
                4.40         
                4.40         
                4.50         
                4.60         
                4.50         
                4.50         
                4.50         
                4.40         
12/98           4.40         
                4.30         
                4.30         
                4.20         
                4.40         
                4.20         
                4.30         
                4.30         
                4.20         
                4.20         
                4.10         
                4.10         
12/99           4.10         
                4.00         
                4.10         
                4.00         
                3.90         
                4.10         
                4.00         
                4.10         
                4.10         
                4.00         
                3.90         
                4.00         
12/00           4.00         
                4.20         
                4.20         
                4.30         
                4.50         
                4.40         
                4.60         
                4.60         
                4.90         
                5.00         
                5.40         
                5.60         
12/01           5.80         
                5.60         
                5.50         
                5.70         
                6.00         
                5.80         
                5.90         
                5.90         
                5.70         
                5.60         
                5.70         
                6.00         
12/02           6.00         

The U.S. unemployment rate measures the numbers of persons unemployed as a      
percentage of the labor force. Typically, unemployment tends to increase during 
and be associated with difficult economic periods. Conversely, the unemployment 
rate generally declines during and is accompanied by expansionary economic      
times. Additionally, very low unemployment can place inflationary pressure on   
the economy as labor markets become very competitive and expensive.             

Data Source: Bloomberg                                                          

                                                                               5

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U.S. TREASURY YIELD CURVE                                                       

The U.S. Treasury yield curve maintained its upward sloping position during 2002
but shifted downward across the entire maturity spectrum with the majority of   
the decline occurring between the two to ten-year segment of the curve. The     
short end of the curve declined in response to a substantial rate cut by the Fed
while the long end of the curve also dropped reflecting the lack of inflationary
pressures. The yield on the bellwether 30-year Treasury Bond ended the year at  
4.78%.                                                                          
[LINE GRAPH]                                                                    

                                                                [Download Table]

      12/31/01  12/31/02  SPREAD 
      --------  --------  ------ 
                                 
3mo.   1.7200    1.1900   -0.5306
6mo.   1.7900    1.2040   -0.5861
2yr.   3.0220    1.5980   -1.4241
5yr.   4.3000    2.7340   -1.5663
10yr.  5.0490    3.8140   -1.2351
30yr.  5.4650    4.7790   -0.6861

The Treasury yield curve illustrates the relationship between yields on         
short-term, intermediate-term and long-term Treasury securities. Normally, the  
shape of the yield curve is upward sloping with rates increasing from the short 
end of the curve moving higher to the long end. The short end of the curve is   
impacted more by monetary policy (demand for money) while inflationary          
expectations and market forces impact the long end of the curve.                

Data Source: Bloomberg                                                          

6                                                                             

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FLEXIBLE INCOME FUND                                                            

Utilizing investments in the underlying Select Funds, the Fund maintained       
allocations to the major asset classes during the reporting period that were    
approximating the strategic target allocations of 75% fixed income, 19% domestic
equity and 6% international equity. The Fund's composite benchmark for the      
quarter returned 2.66%.                                                         

The Fund posted a positive return that was below its composite benchmark for the
fourth quarter. The Fund's relative outperformance in November and December was 
not sufficient to offset its relative underperformance in October. As to be     
expected, the Fund's performance was materially impacted by its targeted        
allocation of 75% to the Low-Duration Bond Fund. This allocation added to the   
Fund's returns while also positively impacting its relative performance given   
the Low-Duration Bond Fund outpaced its respective benchmark during the fourth  
quarter. Exposure to each of the Equity Select Funds also added to the return   
during the period reflecting the strong equity rally in both domestic and       
international markets; however, several of the equity funds detracted from      
relative performance, most notably the Value Equity Fund and the International  
Equity Fund.                                                                    

                                                                               7

N-30D 10th “Page” of 154 TOC 1st Previous Next ↓Bottom Just 10th
FLEXIBLE INCOME FUND                                                            

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                                [Download Table]

                                                                         BENCHMARK
                                       RETIREMENT CLASS*  RETAIL CLASS*   INDEX** 
                                       -----------------  -------------  ---------
                                                                                  
One Year                                    (1.10%)          (1.27%)      (0.89%) 
Since Inception (8/27/01 -- 12/31/02)       (0.23%)          (0.42%)        0.38% 

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         
[LINE GRAPH]                                                                    

                                                                [Download Table]

          RETIREMENT CLASS  BENCHMARK INDEX**
          ----------------  -----------------
                                             
8/27/01       10000.00           10000.00    
9/30/01        9789.00            9819.00    
10/31/01       9947.00            9948.00    
11/30/01      10068.00           10105.00    
12/31/01      10079.00           10142.00    
1/31/02       10072.00           10107.00    
2/28/02       10079.00           10109.00    
3/31/02       10133.00           10175.00    
4/30/02       10133.00           10163.00    
5/31/02       10156.00           10178.00    
6/30/02       10033.00           10076.00    
7/31/02        9842.00            9957.00    
8/31/02        9911.00            9992.00    
9/30/02        9719.00            9791.00    
10/31/02       9880.00            9987.00    
11/30/02      10018.00           10108.00    
12/31/02       9968.00           10051.00    

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Fund's weighted composite      
benchmark index.                                                                

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**Represents a weighted composite benchmark index consisting of the Russell     
3000(R) Index, the Morgan Stanley Capital International All Country World Free  
Index ex-U.S. Index and the Merrill Lynch 1-3 Year Treasury Index.              

The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.    
companies based on total market capitalization, which represents approximately  
98% of the investable U.S. equity market.                                       

The Morgan Stanley Capital International All Country World Free ex-U.S. Index is
a market-capitalization weighted index composed of companies representative of  
the market structure of developed and emerging market countries in the Americas 
(excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes 
closed markets and those shares in otherwise free markets that are not          
purchasable by foreigners.                                                      

The Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury Notes
and Bonds with maturities greater than or equal to one year and less than three 
years.                                                                          

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

8                                                                             

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FLEXIBLE INCOME FUND                                                            
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

DECEMBER 31, 2002                   SHARES        VALUE    
-----------------                 ----------   ------------
                                                           
MUTUAL FUNDS -- 98.8%                                      
  AB Funds Trust -- Equity Index                           
    Fund                             247,369   $  2,951,112
  AB Funds Trust -- Growth                                 
    Equity Fund                    1,871,534     21,017,332
  AB Funds                                                 
    Trust -- International                                 
    Equity Fund                    1,749,441     16,899,603
  AB Funds Trust -- Low-Duration                           
    Bond Fund                     15,676,263    206,299,620
  AB Funds Trust -- Money Market                           
    Fund                           3,244,146      3,244,146
  AB Funds Trust -- Small Cap                              
    Equity Fund                      372,781      3,821,008
  AB Funds Trust -- Value Equity                           
    Fund                           1,891,474     22,413,965
                                               ------------
TOTAL MUTUAL FUNDS                                         
  (Cost $242,495,129)                           276,646,786
                                               ------------

                                                                [Download Table]

                                   PAR                     
                               -----------                 
                                                           
U.S. TREASURY OBLIGATIONS -- 1.2%                          
  U.S. Treasury Bills                                      
    1.17%, 01/16/03++++        $    20,000          19,991 
    1.48%, 01/16/03++++             20,000          19,991 
    1.64%, 01/16/03++++             50,000          49,977 
                                              ------------ 
                                                    89,959 
                                              ------------ 
  U.S. Treasury Notes                                      
    2.88%, 06/30/04              3,200,000       3,271,749 
                                              ------------ 
TOTAL U.S. TREASURY OBLIGATIONS                            
  (Cost $3,341,987)                              3,361,708 
                                              ------------ 
TOTAL INVESTMENTS -- 100.0%                                
  (Cost $245,837,116)                          280,008,494 
LIABILITIES IN EXCESS OF                                   
  OTHER ASSETS -- 0.0%                            (128,357)
                                              ------------ 
NET ASSETS -- 100.0%                          $279,880,137 
                                              ============ 

See Notes to Financial Statements.

                                                                               9

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GROWTH & INCOME FUND                                                            

Utilizing investments in the underlying Select Funds, the Fund maintained       
allocations to the major asset classes during the reporting period that were    
approximating the strategic target allocations of 50% fixed income, 37% domestic
equity and 13% international equity. The Fund's composite benchmark for the     
quarter returned 4.79%.                                                         

The Fund generated a positive return but slightly underperformed its composite  
benchmark for the fourth quarter. The Fund generated relative outperformance    
during November and December, but it was not enough to offset October's relative
underperformance. The Fund's allocation to the Equity Select Funds generated the
majority of its return as the equity markets, both domestic and international,  
rebounded and generated very strong returns during the quarter. However,        
allocations to several of the Equity Select Funds detracted from relative       
performance, most notably the Value Equity Fund and the International Equity    
Fund. The Fund's 50% allocation to the Fixed Income Select Funds also added to  
the Fund's return while also benefiting its relative performance as all three of
the Fixed Income Select Funds outperformed their respective benchmarks during   
the quarter.                                                                    

10                                                                            

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GROWTH & INCOME FUND                                                            

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                       RETIREMENT CLASS*  RETAIL CLASS*  BENCHMARK INDEX**
                                       -----------------  -------------  -----------------
                                                                                          
One Year                                 (6.37%)           (6.59%)         (5.29%)        
Since Inception (8/27/01 -- 12/31/02)    (5.10%)           (5.30%)         (4.23%)        

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         
[LINE GRAPH]                                                                    

                                                                [Download Table]

          RETIREMENT CLASS  BENCHMARK INDEX*
          ----------------  ----------------
                                            
8/27/01       10000.00          10000.00    
9/30/01        9410.00           9443.00    
10/31/01       9643.00           9658.00    
11/30/01       9920.00           9924.00    
12/31/01       9953.00           9961.00    
1/31/02        9901.00           9900.00    
2/28/02        9901.00           9882.00    
3/31/02       10049.00          10030.00    
4/30/02        9953.00           9941.00    
5/31/02        9960.00           9955.00    
6/30/02        9664.00           9677.00    
7/31/02        9234.00           9328.00    
8/31/02        9345.00           9423.00    
9/30/02        8916.00           9003.00    
10/31/02       9160.00           9311.00    
11/30/02       9442.00           9576.00    
12/31/02       9319.00           9434.00    

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Fund's weighted composite      
benchmark index.                                                                

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**Represents a weighted composite benchmark index consisting of the Russell     
3000(R) Index, the Morgan Stanley Capital International All Country World Free  
ex-U.S. Index and the Lehman Brothers Aggregate Bond Index.                     

The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.    
companies based on total market capitalization, which represents approximately  
98% of the investable U.S. equity market.                                       

The Morgan Stanley Capital International All Country World Free ex-U.S. Index is
a market-capitalization weighted index composed of companies representative of  
the market structure of developed and emerging market countries in the Americas 
(excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes 
closed markets and those shares in otherwise free markets that are not purchased
by foreigners.                                                                  

The Lehman Brothers Aggregate Bond Index is composed of investment grade        
securities from the Lehman Brothers Government/Credit Bond Index,               
Mortgage-Backed Securities Index, and Asset Backed Securities Index.            

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

                                                                              11

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GROWTH & INCOME FUND                                                            
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

DECEMBER 31, 2002                SHARES          VALUE     
-----------------              -----------   --------------
                                                           
MUTUAL FUNDS -- 99.1%                                      
  AB Funds Trust -- Equity                                 
    Index Fund                   1,656,259   $   19,759,171
  AB Funds Trust -- Extended-                              
    Duration Bond Fund           7,815,929      114,268,879
  AB Funds Trust -- Growth                                 
    Equity Fund                 13,943,481      156,585,289
  AB Funds Trust --                                        
    International Equity Fund   13,447,242      129,900,360
  AB Funds Trust -- Low-                                   
    Duration Bond Fund          12,108,580      159,348,915
  AB Funds Trust -- Medium-                                
    Duration Bond Fund          18,393,214      249,044,119
  AB Funds Trust -- Money                                  
    Market Fund                 12,899,648       12,899,648
  AB Funds Trust -- Small Cap                              
    Equity Fund                  2,568,384       26,325,938
  AB Funds Trust -- Value                                  
    Equity Fund                 13,445,515      159,329,349
                                             --------------
TOTAL MUTUAL FUNDS                                         
  (Cost $993,589,699)                         1,027,461,668
                                             --------------

                                   PAR                     
                               -----------                 
                                                           
U.S. TREASURY OBLIGATIONS -- 0.9%                          
  U.S. Treasury Bills                                      
    1.48%, 01/16/03++++        $   140,000          139,935
    1.64%, 01/16/03++++            430,000          429,799
                                             --------------
                                                    569,734
                                             --------------
  U.S. Treasury Notes                                      
    6.63%, 05/15/07              7,150,000        8,348,189
                                             --------------
TOTAL U.S. TREASURY OBLIGATIONS                            
  (Cost $8,845,103)                               8,917,923
                                             --------------
TOTAL INVESTMENTS -- 100.0%                                
  (Cost $1,002,434,802)                       1,036,379,591
OTHER ASSETS LESS LIABILITIES -- 0.0%               328,863
                                             --------------
NET ASSETS -- 100.0%                         $1,036,708,454
                                             ==============

See Notes to Financial Statements.

12                                                                            

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CAPITAL OPPORTUNITIES FUND                                                      

Utilizing investments in the underlying Select Funds, the Fund maintained       
allocations to the major asset classes during the reporting period that were    
approximating the strategic target allocations of 56% domestic equity, 19%      
international equity and 25% fixed income. The Fund's composite benchmark for   
the quarter returned 6.30%.                                                     

The Fund generated a positive return but underperformed its composite benchmark 
for the fourth quarter. The Fund generated relative outperformance during       
November and December, but it was not enough to offset October's relative       
underperformance. With a 75% allocation to the Equity Select Funds, the         
performance of the Fund benefited from the strong rebound in the equity markets,
both domestic and international. However, allocations to several of the Equity  
Select Funds, specifically the Value Equity and International Equity Fund,      
detracted from the Fund's relative performance for the reporting period. The    
Fund's 25% allocation to the Fixed Income Select Funds contributed to the Fund's
return and benefited its relative performance as all three Fixed Income Select  
Funds outpaced their respective benchmarks during the quarter.                  

                                                                              13

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CAPITAL OPPORTUNITIES FUND                                                      

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                       RETIREMENT CLASS*  RETAIL CLASS*  BENCHMARK INDEX**
                                       -----------------  -------------  -----------------
                                                                                          
One Year                                   (13.25%)         (13.56%)         (12.70%)     
Since Inception (8/27/01 -- 12/31/02)      (11.13%)         (11.34%)         (10.68%)     

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

          CAPITAL OPP. RETIREMENT CLASS  BENCHMARK INDEX*
          -----------------------------  ----------------
                                                         
8/27/01              10000.00                10000.00    
9/30/01               9081.00                 9087.00    
10/31/01              9314.00                 9301.00    
11/30/01              9759.00                 9751.00    
12/31/01              9832.00                 9837.00    
1/31/02               9714.00                 9708.00    
2/28/02               9663.00                 9633.00    
3/31/02               9972.00                 9929.00    
4/30/02               9751.00                 9698.00    
5/31/02               9722.00                 9676.00    
6/30/02               9288.00                 9227.00    
7/31/02               8655.00                 8673.00    
8/31/02               8721.00                 8733.00    
9/30/02               8067.00                 8079.00    
10/31/02              8435.00                 8512.00    
11/30/02              8802.00                 8878.00    
12/31/02              8529.00                 8588.00    

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Fund's weighted composite      
benchmark index.                                                                

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**Represents a weighted composite benchmark index consisting of the Russell     
3000(R) Index, the Morgan Stanley Capital International All Country World Free  
ex-U.S. Index and the Lehman Brothers Aggregate Bond Index.                     

The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.    
companies based on total market capitalization, which represents approximately  
98% of the investable U.S. equity market.                                       

The Morgan Stanley Capital International All Country World Free ex-U.S. Index is
a market-capitalization weighted index composed of companies representative of  
the market structure of developed and emerging market countries in the Americas 
(excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes 
closed markets and those shares in otherwise free markets that are not          
purchasable by foreigners.                                                      

The Lehman Brothers Aggregate Bond Index is composed of investment grade        
securities from the Lehman Brothers Government/Credit Bond Index,               
Mortgage-Backed Securities Index, and Asset Backed Securities Index.            

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

14                                                                            

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CAPITAL OPPORTUNITIES FUND                                                      
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

       DECEMBER 31, 2002            SHARES        VALUE    
       -----------------          ----------   ------------
                                                           
MUTUAL FUNDS -- 99.4%                                      
  AB Funds Trust -- Equity Index                           
    Fund                           1,856,205   $ 22,144,526
  AB Funds Trust -- Extended-                              
    Duration Bond Fund             3,081,091     45,045,548
  AB Funds Trust -- Growth                                 
    Equity Fund                   15,421,611    173,184,695
  AB Funds                                                 
    Trust -- International                                 
    Equity Fund                   14,597,721    141,013,985
  AB Funds Trust -- Low-Duration                           
    Bond Fund                      4,430,857     58,310,080
  AB Funds Trust -- Medium-                                
    Duration Bond Fund             6,744,456     91,319,939
  AB Funds Trust -- Money Market                           
    Fund                          13,564,027     13,564,027
  AB Funds Trust -- Small Cap                              
    Equity Fund                    2,841,530     29,125,681
  AB Funds Trust -- Value Equity                           
    Fund                          14,982,359    177,540,955
                                               ------------
TOTAL MUTUAL FUNDS                                         
  (Cost $801,828,009)                           751,249,436
                                               ------------

                                     PAR                   
                                  ----------               
                                                           
U.S. TREASURY OBLIGATIONS -- 0.6%                          
  U.S. Treasury Bills                                      
  1.17%, 01/16/03++++             $   20,000         19,990
  1.64%, 01/16/03++++                600,000        599,720
  1.17%, 04/17/03++++                120,000        119,594
                                               ------------
                                                    739,304
                                               ------------
  U.S. Treasury Notes                                      
  6.63%, 05/15/07                  3,050,000      3,561,116
                                               ------------
TOTAL U.S. TREASURY OBLIGATIONS                            
  (Cost $4,251,732)                               4,300,420
                                               ------------
TOTAL INVESTMENTS -- 100.0%                                
  (Cost $806,079,741)                           755,549,856
OTHER ASSETS LESS                                          
  LIABILITIES -- 0.0%                               277,224
                                               ------------
NET ASSETS -- 100.0%                           $755,827,080
                                               ============

See Notes to Financial Statements.

                                                                              15

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GLOBAL EQUITY FUND                                                              

Utilizing investments in the underlying Select Funds, the Fund maintained       
allocations to the major asset classes during the reporting period that were    
approximating the strategic target allocations of 75% domestic equity and 25%   
international equity. The Fund's composite benchmark for the quarter returned   
7.75%.                                                                          

The Fund, being fully allocated to equities, posted a positive quarterly return 
for the fourth quarter but underperformed its composite benchmark with the      
majority of the relative underperformance taking place in October. The Fund's   
quarterly return directly reflected the strong rebound in the equity markets,   
both domestic and international, during the fourth quarter. Equity markets      
rallied across-the-board during the first two months of the period in response  
to prospects of an economic recovery coupled with improving equity valuations.  
As a result of the equity rally, the Global Equity Fund posted the highest      
quarterly return of the four Blended Fund options as investors were compensated 
for taking the additional risk associated with equities during the period.      
Primary detractors from relative performance during the fourth quarter were     
allocations to the Value Equity Fund and the International Equity Fund. The Fund
was positively impacted by its allocation to the Growth Equity Fund, which      
outperformed its respective benchmark for the quarter.                          

16                                                                            

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GLOBAL EQUITY FUND                                                              

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                       RETIREMENT CLASS*  RETAIL CLASS*  BENCHMARK INDEX**
                                       -----------------  -------------  -----------------
                                                                                          
One Year                                   (20.04%)         (20.25%)         (19.81%)     
Since Inception (8/27/01 -- 12/31/02)    (17.15%)           (17.19%)         (17.00%)     

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

          RETIREMENT CLASS  BENCHMARK INDEX**
          ----------------  -----------------
                                             
08/27/01      10000.00           10000.00    
09/30/01       8747.00            8737.00    
10/31/01       8968.00            8950.00    
11/30/01       9587.00            9570.00    
12/31/01       9704.00            9701.00    
01/31/02       9527.00            9506.00    
02/28/02       9424.00            9377.00    
03/31/02       9896.00            9813.00    
04/30/02       9542.00            9443.00    
05/31/02       9475.00            9386.00    
06/30/02       8899.00            8778.00    
07/31/02       8080.00            8041.00    
08/31/02       8109.00            8070.00    
09/30/02       7252.00            7220.00    
10/31/02       7732.00            7748.00    
11/30/02       8161.00            8193.00    
12/31/02       7760.00            7779.00    

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Fund's weighted composite      
benchmark index.                                                                

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**Represents a weighted composite benchmark index consisting of the Russell     
3000(R) Index and the Morgan Stanley Capital International All Country World    
Free ex-U.S. Index.                                                             

The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.    
companies based on total market capitalization, which represents approximately  
98% of the investable U.S. equity market.                                       

The Morgan Stanley Capital International All Country World Free ex-U.S. Index is
a market-capitalization weighted index composed of companies representative of  
the market structure of developed and emerging market countries in the Americas 
(excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes 
closed markets and those shares in otherwise free markets that are not          
purchasable by foreigners.                                                      

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

                                                                              17

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GLOBAL EQUITY FUND                                                              
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

       DECEMBER 31, 2002            SHARES        VALUE    
       -----------------          ----------   ------------
                                                           
MUTUAL FUNDS -- 99.9%                                      
  AB Funds Trust -- Equity Index                           
    Fund                           2,091,720   $ 24,954,214
  AB Funds Trust -- Growth                                 
    Equity Fund                   17,339,304    194,720,384
  AB Funds Trust --                                        
    International Equity Fund     16,641,861    160,760,382
  AB Funds Trust -- Money Market                           
    Fund                          15,628,334     15,628,334
  AB Funds Trust -- Small Cap                              
    Equity Fund                    3,234,024     33,148,747
  AB Funds Trust -- Value Equity                           
    Fund                          16,753,386    198,527,621
                                               ------------
TOTAL MUTUAL FUNDS                                         
  (Cost $721,662,714)                           627,739,682
                                               ------------

                                                                [Download Table]

                                     PAR                  
                                   --------               
                                                          
U.S. TREASURY OBLIGATIONS -- 0.1%                         
  U.S. Treasury Bills                                     
    1.14%, 01/16/03++++            $ 50,000         49,976
    1.17%, 01/16/03++++              20,000         19,990
    1.64%, 01/16/03++++             810,000        809,622
    1.18%, 04/17/03                  60,000         59,797
                                              ------------
TOTAL U.S. TREASURY OBLIGATIONS                           
  (Cost $939,205)                                  939,385
                                              ------------
TOTAL INVESTMENTS -- 100.0%                               
  (Cost $722,601,919)                          628,679,067
OTHER ASSETS LESS                                         
  LIABILITIES -- 0.0%                              169,149
                                              ------------
NET ASSETS -- 100.0%                          $628,848,216
                                              ============

---------------                                                                 

++++ All or a portion of the security was held as collateral for open futures   
contracts.                                                            

See Notes to Financial Statements.

18                                                                            

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STATEMENTS OF ASSETS AND LIABILITIES                                            

                                                        [Enlarge/Download Table]

                                                 FLEXIBLE       GROWTH &          CAPITAL           GLOBAL    
              DECEMBER 31, 2002                INCOME FUND    INCOME FUND    OPPORTUNITIES FUND  EQUITY FUND  
              -----------------                ------------  --------------  ------------------  ------------ 
                                                                                                              
ASSETS                                                                                                        
  Investments at value (1)                     $280,008,494  $1,036,379,591     $755,549,856     $628,679,067 
Receivables:                                                                                                  
  Dividends                                           2,769          12,318           12,735           14,190 
  Interest                                              252          61,500           26,235               -- 
  Fund shares sold                                   88,025         383,665          317,282          212,056 
  Variation margin receivable                         1,750          12,950           17,150           21,350 
Prepaid expenses and other assets                    10,780          10,725           10,713           10,690 
                                               ------------  --------------     ------------     ------------ 
  Total Assets                                  280,112,070   1,036,860,749      755,933,971      628,937,353 
                                               ------------  --------------     ------------     ------------ 
LIABILITIES                                                                                                   
Payables:                                                                                                     
  Fund shares redeemed                              183,399          19,020              897               -- 
Accrued expenses:                                                                                             
  Advisory fee payable                               13,370          77,209           56,973           43,600 
  Distribution fee payable                              817             853              505              664 
  Other accrued expenses payable                     34,347          55,213           48,516           44,873 
                                               ------------  --------------     ------------     ------------ 
  Total Liabilities                                 231,933         152,295          106,891           89,137 
                                               ------------  --------------     ------------     ------------ 
NET ASSETS                                     $279,880,137  $1,036,708,454     $755,827,080     $628,848,216 
                                               ============  ==============     ============     ============ 
NET ASSETS CONSIST OF:                                                                                        
Paid-in-capital                                $244,773,612  $  998,954,851     $805,172,335     $725,957,263 
Undistributed net investment income                 256,761       2,403,833        1,184,631           62,062 
Accumulated net realized gain (loss) on                                                                       
  investments                                       699,714       1,545,615          169,392       (2,978,443)
Net unrealized appreciation (depreciation) on                                                                 
  investments and futures transactions           34,150,050      33,804,155      (50,699,278)     (94,192,666)
                                               ------------  --------------     ------------     ------------ 
NET ASSETS                                     $279,880,137  $1,036,708,454     $755,827,080     $628,848,216 
                                               ============  ==============     ============     ============ 
NET ASSET VALUE:                                                                                              
$0.001 par value, unlimited shares authorized                                                                 
Net assets applicable to the Retail Class      $ 16,234,087  $   17,008,686     $  9,858,845     $ 12,805,343 
                                               ------------  --------------     ------------     ------------ 
Retail shares outstanding                         1,780,632       2,038,807        1,230,185        1,674,197 
                                               ------------  --------------     ------------     ------------ 
  Net asset value, offering price and                                                                         
     redemption price per Retail share         $       9.12  $         8.34     $       8.01     $       7.65 
                                               ============  ==============     ============     ============ 
Net assets applicable to the Retirement Class  $263,646,050  $1,019,699,768     $745,968,235     $616,042,873 
                                               ------------  --------------     ------------     ------------ 
Retirement shares outstanding                    21,260,736      86,264,229       66,806,593       59,257,516 
                                               ------------  --------------     ------------     ------------ 
  Net asset value, offering and redemption                                                                    
     price per Retirement share                $      12.40  $        11.82     $      11.17     $      10.40 
                                               ============  ==============     ============     ============ 
---------------                                                                                               
(1) Investments at cost                        $245,837,116  $1,002,434,802     $806,079,741     $722,601,919 
                                               ============  ==============     ============     ============ 

See Notes to Financial Statements.

                                                                              19

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STATEMENTS OF OPERATIONS                                                        

                                                        [Enlarge/Download Table]

                                                FLEXIBLE       GROWTH &           CAPITAL           GLOBAL     
FOR THE YEAR ENDED DECEMBER 31, 2002          INCOME FUND     INCOME FUND    OPPORTUNITIES FUND   EQUITY FUND  
------------------------------------          ------------   -------------   ------------------  ------------- 
                                                                                                               
INVESTMENT INCOME                                                                                              
  Income distributions received from                                                                           
     affiliated funds                         $ 10,155,416   $  38,264,682     $  17,848,884     $   5,796,797 
  Interest                                         119,844         400,439           235,614            24,573 
                                              ------------   -------------     -------------     ------------- 
Total Investment Income                         10,275,260      38,665,121        18,084,498         5,821,370 
                                              ------------   -------------     -------------     ------------- 
EXPENSES                                                                                                       
  Investment advisory fees                         286,581       1,109,501           833,860           733,037 
  Transfer agent fees                                                                                          
     Retail shares                                  29,516          35,891            32,766            31,211 
     Retirement shares                              18,791          19,526            19,275            19,480 
  Custodian fees                                     7,381          17,704             7,533            21,413 
  Distribution fees -- Retail shares                 9,069           9,560             5,889             8,107 
  Accounting and administration fees                84,177         187,129           159,537           149,561 
  Professional fees                                 45,132          45,187            45,132            45,131 
  Registration fees                                  8,750           9,505             8,439             7,709 
  Shareholder reporting fees                                                                                   
     Retail shares                                     613           4,610             1,734             1,460 
     Retirement shares                               6,045          22,036            16,639            14,895 
  Trustee fees                                       1,034           3,932             2,930             2,537 
  Line of credit facility fees                       2,301           8,853             6,592             5,793 
  Other expenses                                    17,437          17,437            17,437            17,438 
                                              ------------   -------------     -------------     ------------- 
Total Expenses                                     516,827       1,490,871         1,157,763         1,057,772 
Expenses waived                                   (120,609)        (38,337)          (74,710)          (93,343)
Fees paid indirectly                                  (479)            (90)           (1,210)             (467)
                                              ------------   -------------     -------------     ------------- 
Net expenses                                       395,739       1,452,444         1,081,843           963,962 
                                              ------------   -------------     -------------     ------------- 
NET INVESTMENT INCOME                            9,879,521      37,212,677        17,002,655         4,857,408 
                                              ------------   -------------     -------------     ------------- 
REALIZED AND UNREALIZED GAIN (LOSS)                                                                            
  Net realized gain on investment securities     3,817,030      27,877,957        13,416,930         1,985,807 
  Net realized loss on futures transactions       (355,316)     (3,077,472)       (4,397,130)       (4,855,528)
  Capital gain distributions received from                                                                     
     affiliated funds                              501,183       2,779,107         1,058,627            30,678 
                                              ------------   -------------     -------------     ------------- 
Net realized gain (loss)                         3,962,897      27,579,592        10,078,427        (2,839,043)
                                              ------------   -------------     -------------     ------------- 
  Change in net unrealized appreciation                                                                        
     (depreciation) on investment securities   (17,119,337)   (138,942,963)     (144,980,121)     (164,245,985)
  Change in net unrealized appreciation                                                                        
     (depreciation) on futures transactions        (44,010)       (200,808)         (285,765)         (409,212)
                                              ------------   -------------     -------------     ------------- 
Net change in unrealized appreciation                                                                          
  (depreciation)                               (17,163,347)   (139,143,771)     (145,265,886)     (164,655,197)
                                              ------------   -------------     -------------     ------------- 
NET REALIZED AND UNREALIZED LOSS               (13,200,450)   (111,564,179)     (135,187,459)     (167,494,240)
                                              ------------   -------------     -------------     ------------- 
NET DECREASE IN NET ASSETS RESULTING FROM                                                                      
  OPERATIONS                                  $ (3,320,929)  $ (74,351,502)    $(118,184,804)    $(162,636,832)
                                              ============   =============     =============     ============= 

See Notes to Financial Statements.

20                                                                            

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                                                                              21

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STATEMENTS OF CHANGES IN NET ASSETS                                             

                                                        [Enlarge/Download Table]

                                                     FLEXIBLE INCOME FUND             GROWTH & INCOME FUND       
                                                -------------------------------  ------------------------------- 
                                                                 FOR THE PERIOD                   FOR THE PERIOD 
                                                 FOR THE YEAR     08/27/01* TO    FOR THE YEAR     08/27/01* TO  
                                                ENDED 12/31/02      12/31/01     ENDED 12/31/02      12/31/01    
                                                --------------   --------------  --------------   -------------- 
                                                                                                                 
INCREASE/(DECREASE) IN NET ASSETS                                                                                
OPERATIONS:                                                                                                      
  Net investment income                          $  9,879,521     $  4,688,555   $   37,212,677   $   16,215,271 
  Net realized gain (loss) on investment                                                                         
     securities and futures transactions            3,962,897          931,493       27,579,592        6,226,180 
  Net change in unrealized appreciation                                                                          
     (depreciation) on investment securities                                                                     
     and future transactions                      (17,163,347)      (3,199,993)    (139,143,771)     (28,433,984)
                                                 ------------     ------------   --------------   -------------- 
Net increase (decrease) in net assets                                                                            
  resulting from operations                        (3,320,929)       2,420,055      (74,351,502)      (5,992,533)
                                                 ------------     ------------   --------------   -------------- 
DISTRIBUTIONS TO SHAREHOLDERS FROM NET                                                                           
  INVESTMENT INCOME                                                                                              
  Retail shares                                      (703,267)          (3,948)        (742,069)         (23,349)
  Retirement shares                                (8,918,457)      (4,684,904)     (34,065,901)     (16,193,125)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL                                                                   
  GAINS                                                                                                          
  Retail shares                                      (277,139)            (491)        (647,836)          (5,183)
  Retirement shares                                (3,345,180)        (572,902)     (27,969,982)      (3,638,030)
                                                 ------------     ------------   --------------   -------------- 
Total dividends and distributions                 (13,244,043)      (5,262,245)     (63,425,788)     (19,859,687)
                                                 ------------     ------------   --------------   -------------- 
NET INCREASE (DECREASE) FROM CAPITAL SHARE                                                                       
  TRANSACTIONS                                      9,491,230      289,796,069       17,107,697    1,183,230,267 
                                                 ------------     ------------   --------------   -------------- 
Total increase (decrease) in net assets            (7,073,742)     286,953,879     (120,669,593)   1,157,378,047 
                                                 ------------     ------------   --------------   -------------- 
NET ASSETS:                                                                                                      
  Beginning of the Period                         286,953,879               --    1,157,378,047               -- 
                                                 ------------     ------------   --------------   -------------- 
  End of the Period                              $279,880,137     $286,953,879   $1,036,708,454   $1,157,378,047 
                                                 ============     ============   ==============   ============== 

---------------                                                                 

*Commencement of operations.                                                    

See Notes to Financial Statements.

22                                                                            

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                                                                [Download Table]

  CAPITAL OPPORTUNITIES FUND            GLOBAL EQUITY FUND       
-------------------------------   -------------------------------
                 FOR THE PERIOD                    FOR THE PERIOD
 FOR THE YEAR     08/27/01* TO     FOR THE YEAR     08/27/01* TO 
ENDED 12/31/02      12/31/01      ENDED 12/31/02      12/31/01   
--------------   --------------   --------------   --------------
                                                                  
 $ 17,002,655     $  7,169,732     $  4,857,408     $  1,744,939 
                     2,483,795       (2,839,043)       1,540,017 
   10,078,427                                                    
             )     (25,398,598)    (164,655,197)     (26,950,795)
 (145,265,886                                                    
 ------------     ------------     ------------     ------------ 
             )     (15,745,071)    (162,636,832)     (23,665,839)
 (118,184,804                                                    
 ------------     ------------     ------------     ------------ 
     (250,945)          (3,186)         (97,128)            (520)
  (15,568,234)      (7,167,418)      (4,698,218)      (1,745,206)
     (221,031)             (12)         (45,607)              (7)
  (12,144,045)         (26,587)      (1,611,830)         (21,973)
 ------------     ------------     ------------     ------------ 
  (28,184,255)      (7,197,203)      (6,452,783)      (1,767,706)
 ------------     ------------     ------------     ------------ 
                   906,921,462      (12,776,613)     836,147,989 
   18,216,951                                                    
 ------------     ------------     ------------     ------------ 
 (128,152,108)     883,979,188     (181,866,228)     810,714,444 
 ------------     ------------     ------------     ------------ 
  883,979,188               --      810,714,444               -- 
 ------------     ------------     ------------     ------------ 
 $755,827,080     $883,979,188     $628,848,216     $810,714,444 
 ============     ============     ============     ============ 

See Notes to Financial Statements.

                                                                              23

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FINANCIAL HIGHLIGHTS                                                            

                                                        [Enlarge/Download Table]

                                            FLEXIBLE INCOME FUND                  GROWTH & INCOME FUND  
                              -------------------------------------------------  -----------------------
                                   RETAIL CLASS            RETIREMENT CLASS           RETAIL CLASS      
                              -----------------------   -----------------------  -----------------------
                              FOR THE      FOR THE      FOR THE      FOR THE     FOR THE      FOR THE   
                                YEAR        PERIOD        YEAR        PERIOD       YEAR        PERIOD   
                               ENDED     08/27/01* TO    ENDED     08/27/01* TO   ENDED     08/27/01* TO
                              12/31/02     12/31/01     12/31/02     12/31/01    12/31/02     12/31/01  
                              --------   ------------   --------   ------------  --------   ------------
                                                                                                        
PER SHARE OPERATING                                                                                     
  PERFORMANCE:                                                                                          
NET ASSET VALUE -- BEGINNING                                                                            
  OF PERIOD                   $  9.83       $10.00      $  13.15     $  13.29    $  9.72       $10.00   
                              -------       ------      --------     --------    -------       ------   
INCOME FROM INVESTMENT                                                                                  
  OPERATIONS                                                                                            
  Net investment income (1)      0.31         0.15          0.46         0.22       0.30         0.12   
  Capital gain distributions                                                                            
    received                     0.02         0.01          0.02         0.01       0.03         0.01   
  Realized and unrealized                                                                               
    loss on investments                                                                                 
    securities and futures                                                                              
    transactions -- net         (0.45)       (0.08)        (0.62)       (0.12)     (0.96)       (0.18)  
                              -------       ------      --------     --------    -------       ------   
    Total from investment                                                                               
       operations               (0.12)        0.08         (0.14)        0.11      (0.63)       (0.05)  
                              -------       ------      --------     --------    -------       ------   
LESS DIVIDENDS AND                                                                                      
  DISTRIBUTIONS                                                                                         
  Dividends from net                                                                                    
    investment income           (0.42)       (0.22)        (0.44)       (0.22)     (0.40)       (0.19)  
  Distributions from capital                                                                            
    gains                       (0.17)       (0.03)        (0.17)       (0.03)     (0.35)       (0.04)  
                              -------       ------      --------     --------    -------       ------   
    Total dividends and                                                                                 
       distributions            (0.59)       (0.25)        (0.61)       (0.25)     (0.75)       (0.23)  
                              -------       ------      --------     --------    -------       ------   
NET ASSET VALUE -- END OF                                                                               
  PERIOD                      $  9.12       $ 9.83      $  12.40     $  13.15    $  8.34       $ 9.72   
                              =======       ======      ========     ========    =======       ======   
TOTAL RETURN (2)                (1.27%)       0.72%        (1.10%)       0.79%     (6.59%)      (0.52%) 
RATIOS/SUPPLEMENTAL DATA:                                                                               
Ratios to average net assets                                                                            
  of:                                                                                                   
  Expenses -- net (3)(4)         0.32%        0.48%         0.13%        0.13%      0.37%        0.48%  
  Expenses -- including                                                                                 
    expense reduction (3)(4)     0.32%        0.48%         0.13%        0.13%      0.37%        0.48%  
  Expenses -- before waivers                                                                            
    and expense reductions                                                                              
    (3)(4)                       0.43%       66.47%         0.17%        0.18%      0.45%        6.53%  
  Investment income -- net                                                                              
    (1)(3)                       3.46%        7.69%         3.50%        4.67%      3.36%        5.62%  
  Investment income --                                                                                  
    excluding waivers and                                                                               
    expense reduction (1)(3)     3.46%        7.69%         3.50%        4.67%      3.36%        5.62%  
  Portfolio turnover rate                                                                               
    (2)                         13.56%        4.02%        13.56%        4.02%     12.04%        4.27%  
Net Assets -- end of the                                                                                
  period (000's)              $16,234       $  325      $263,646     $286,628    $17,009       $1,334   
                              =======       ======      ========     ========    =======       ======   


                                GROWTH & INCOME FUND                                                    
                              -------------------------                                                 
                                  RETIREMENT CLASS                                                      
                              -------------------------                                                 
                               FOR THE       FOR THE                                                    
                                 YEAR         PERIOD                                                    
                                ENDED      08/27/01* TO                                                 
                               12/31/02      12/31/01                                                   
                              ----------   ------------                                                 
                                                                                                        
PER SHARE OPERATING                                                                                     
  PERFORMANCE:                                                                                          
NET ASSET VALUE -- BEGINNING                                                                            
  OF PERIOD                   $    13.44    $    13.74                                                  
                              ----------    ----------                                                  
INCOME FROM INVESTMENT                                                                                  
  OPERATIONS                                                                                            
  Net investment income (1)         0.45          0.19                                                  
  Capital gain distributions                                                                            
    received                        0.03          0.01                                                  
  Realized and unrealized                                                                               
    loss on investments                                                                                 
    securities and futures                                                                              
    transactions -- net            (1.33)        (0.27)                                                 
                              ----------    ----------                                                  
    Total from investment                                                                               
       operations                  (0.85)        (0.07)                                                 
                              ----------    ----------                                                  
LESS DIVIDENDS AND                                                                                      
  DISTRIBUTIONS                                                                                         
  Dividends from net                                                                                    
    investment income              (0.42)        (0.19)                                                 
  Distributions from capital                                                                            
    gains                          (0.35)        (0.04)                                                 
                              ----------    ----------                                                  
    Total dividends and                                                                                 
       distributions               (0.77)        (0.23)                                                 
                              ----------    ----------                                                  
NET ASSET VALUE -- END OF                                                                               
  PERIOD                      $    11.82    $    13.44                                                  
                              ==========    ==========                                                  
TOTAL RETURN (2)                   (6.37%)       (0.47%)                                                
RATIOS/SUPPLEMENTAL DATA:                                                                               
Ratios to average net assets                                                                            
  of:                                                                                                   
  Expenses -- net (3)(4)            0.13%         0.13%                                                 
  Expenses -- including                                                                                 
    expense reduction (3)(4)        0.13%         0.13%                                                 
  Expenses -- before waivers                                                                            
    and expense reductions                                                                              
    (3)(4)                          0.13%         0.17%                                                 
  Investment income -- net                                                                              
    (1)(3)                          3.40%         4.05%                                                 
  Investment income --                                                                                  
    excluding waivers and                                                                               
    expense reduction (1)(3)        3.40%         4.05%                                                 
  Portfolio turnover rate                                                                               
    (2)                            12.04%         4.27%                                                 
Net Assets -- end of the                                                                                
  period (000's)              $1,019,700    $1,156,044                                                  
                              ==========    ==========                                                  

---------------                                                                 

*  Commencement of operations                                                 
(1) Recognition of net investment income by the Fund is affected by the timing  
 of the declaration of dividends by the underlying investment companies in
which the Fund invests.                                                 
(2) Non-annualized.                                                             
(3) Annualized.                                                                 
(4) Does not include expenses of the investment companies in which the Fund     
invests.                                                                
++  Amount represents less than $0.01 per share.                                

See Notes to Financial Statements.

24                                                                            

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                                                        [Enlarge/Download Table]

           CAPITAL OPPORTUNITIES FUND                             GLOBAL EQUITY FUND                
-------------------------------------------------  -------------------------------------------------
     RETAIL CLASS            RETIREMENT CLASS           RETAIL CLASS            RETIREMENT CLASS    
-----------------------   -----------------------  -----------------------   -----------------------
FOR THE      FOR THE      FOR THE      FOR THE     FOR THE      FOR THE      FOR THE      FOR THE   
  YEAR        PERIOD        YEAR        PERIOD       YEAR        PERIOD        YEAR        PERIOD   
 ENDED     08/27/01* TO    ENDED     08/27/01* TO   ENDED     08/27/01* TO    ENDED     08/27/01* TO
12/31/02     12/31/01     12/31/02     12/31/01    12/31/02     12/31/01     12/31/02     12/31/01  
--------   ------------   --------   ------------  --------   ------------   --------   ------------
                                                                                                     
$  9.73       $10.00      $  13.37     $  13.71    $  9.70       $10.00      $  13.14     $  13.57  
-------       ------      --------     --------    -------       ------      --------     --------  
   0.16         0.06          0.26         0.11       0.04         0.02          0.08         0.03  
   0.02           --++        0.02           --++       --++         --            --++         --  
  (1.50)       (0.22)        (2.05)       (0.34)     (2.00)       (0.29)        (2.71)       (0.43) 
-------       ------      --------     --------    -------       ------      --------     --------  
  (1.32)       (0.16)        (1.77)       (0.23)     (1.96)       (0.27)        (2.63)       (0.40) 
-------       ------      --------     --------    -------       ------      --------     --------  
  (0.21)       (0.11)        (0.24)       (0.11)     (0.06)       (0.03)        (0.08)       (0.03) 
  (0.19)          --++       (0.19)          --++    (0.03)          --++       (0.03)          --++
-------       ------      --------     --------    -------       ------      --------     --------  
  (0.40)       (0.11)        (0.43)       (0.11)     (0.09)       (0.03)        (0.11)       (0.03) 
-------       ------      --------     --------    -------       ------      --------     --------  
$  8.01       $ 9.73      $  11.17     $  13.37    $  7.65       $ 9.70      $  10.40     $  13.14  
=======       ======      ========     ========    =======       ======      ========     ========  
 (13.56%)      (1.64%)      (13.25%)      (1.68%)   (20.25%)      (2.75%)      (20.04%)      (2.96%)
   0.42%        0.48%         0.13%        0.13%      0.35%        0.48%         0.13%        0.13% 
   0.42%        0.48%         0.13%        0.13%      0.35%        0.48%         0.13%        0.13% 
   0.55%       43.03%         0.14%        0.17%      0.44%       66.34%         0.14%        0.17% 
   1.90%        4.49%         2.08%        2.38%      0.53%        1.60%         0.68%        0.64% 
   1.90%        4.49%         2.08%        2.38%      0.53%        1.60%         0.68%        0.64% 
  10.33%        3.42%        10.33%        3.42%      6.33%        2.70%         6.33%        2.70% 
$ 9,859       $  331      $745,968     $883,648    $12,805       $  207      $616,043     $810,507  
=======       ======      ========     ========    =======       ======      ========     ========  

See Notes to Financial Statements.

                                                                              25

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MONEY MARKET FUND                                                               

The year of 2002 concluded much the same way it started with "the only certainty
being uncertainty". An array of factors created a lack of predictability in the 
capital markets including: concerns over corporate earnings, higher             
unemployment, issues surrounding corporate governance and fraud, lack of        
corporate reinvestment, mixed economic reports and the reliance of consumer     
spending for economic growth. The stormy seas were augmented late in the year   
with heightening geopolitical risks related to a potential war with Iraq and    
concerns with North Korea's nuclear capabilities. Generally speaking, capital   
markets prefer some level of clarity, but in aggregate, these factors created   
apprehension among investors resulting in a large discounting of riskier assets,
especially in the equity markets. As a result, investors fled to the perceived  
"safe-haven" of U.S. Treasuries and money market securities during much of the  
year. By the end of the year, the primary concern facing monetary and fiscal    
policy makers was the risk of continued economic weakness leading to deflation. 
Deflation, although on the surface may appear attractive for the consumer, is an
economic detriment as it dampens corporate profits, elevates unemployment and   
eventually reduces consumer and corporate spending and consumption. Throughout  
this recessionary period, the Fed, as the central bank of the U.S., has         
vehemently attempted to spur the economy and fight deflation through proactive, 
aggressive monetary policy. The Fed, during November, continued this pattern by 
surprising the capital markets with a substantial 50 basis point cut, driving   
the Fed Funds rate downward to 1.25%, the lowest level in over forty years.     
Although frustrating to investors seeking capital preservation and interest     
income, money market yields followed suit on an absolute basis, as yields       
reached low levels not experienced by investors in over four decades. At year   
end, the LIBOR curve was positively sloped (short rates lower relative to longer
rates), albeit slightly, indicating that the market perceived the Fed has       
completed its easing efforts over the foreseeable future.                       

The Fund is comprised of a broad range of high quality, short-term money market 
instruments and utilizes a disciplined approach for the purpose of maintaining a
constant $1.00 net asset value(1). In efforts to pick-up additional yield and   
take advantage of stable or possibly lower rates, a relatively long average     
weighted maturity of approximately 60-70 days was maintained early in the fourth
quarter. With the decrease in the slope of the LIBOR curve in December, coupled 
with the expectation of stable monetary policy by the Fed, the average weighted 
maturity of the Fund declined to the 55-65 day range as investors were not      
compensated to invest at the longer end of the maturity spectrum. At            
quarter-end, the weighted average maturity of the Fund was 56 days. During the  
period, the Fund generated a quarterly return that was in-line with its         
benchmark index, the Salomon Brothers 90-Day Treasury Bill Index. Major         
categories of holdings at quarter end included commercial paper, asset-backed   
commercial paper, variable rate obligations and certificates of deposit.        

---------------                                                                 
(1) An investment in the Fund is not insured or guaranteed by the FDIC or any   
 other governmental agency. Although the Fund seeks to maintain a value of
$1.00 per share, it is possible to lose money. The current yield more   
closely reflects the current earnings of the Fund than total return.    

26                                                                            

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MONEY MARKET FUND                                                               

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                                        SALOMON BROTHERS      
                          RETIREMENT CLASS*  INSTITUTIONAL CLASS*  RETAIL CLASS*  90 DAY TREASURY BILL INDEX**
                          -----------------  --------------------  -------------  ----------------------------
                                                                                                              
One Year                        1.60%               1.80%              1.38%                  1.70%           
Since Inception                                                                                               
   (8/27/01 -- 12/31/02)        1.89%               1.82%              1.63%                  2.02%           

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

                            SALOMON BROTHERS 90 DAY TREASURY
          RETIREMENT CLASS            BILL INDEX**          
          ----------------  --------------------------------
                                                            
08/27/01      10000.00                  10000.00            
09/30/01      10033.00                  10036.00            
10/31/01      10057.00                  10063.00            
11/30/01      10079.00                  10084.00            
12/31/01      10094.00                  10102.00            
01/31/02      10108.00                  10118.00            
02/28/02      10122.00                  10131.00            
03/31/02      10138.00                  10146.00            
04/30/02      10153.00                  10161.00            
05/31/02      10167.00                  10176.00            
06/30/02      10180.00                  10191.00            
07/31/02      10194.00                  10206.00            
08/31/02      10207.00                  10220.00            
09/30/02      10220.00                  10234.00            
10/31/02      10232.00                  10249.00            
11/30/02      10243.00                  10262.00            
12/31/02      10255.00                  10274.00            

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Salomon Brothers 90-Day        
Treasury Bill Index.                                                            

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**The Salomon Brothers 90-Day Treasury Bill Index is composed of the monthly    
return equivalents of yield averages that are not marked to market. The 3-Month 
Treasury Bill Index consists of the last three 3-month Treasury bill issues.    

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

                                                                              27

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MONEY MARKET FUND                                                               
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

DECEMBER 31, 2002                    PAR          VALUE    
-----------------                -----------   ------------
                                                           
AGENCY OBLIGATIONS -- 10.4%                                
  Federal Home Loan Bank                                   
    2.80%, 04/11/03              $10,000,000   $ 10,000,000
    2.65%, 06/16/03                6,000,000      5,999,411
    4.50%, 07/07/03               18,000,000     18,191,144
    1.70%, 12/08/03               20,000,000     20,000,000
  Federal Home Loan Mortgage                               
    Corporation                                            
    1.61%, 10/09/03               17,000,000     16,787,025
  Federal National Mortgage                                
    Association                                            
    5.00%, 02/14/03               15,000,000     15,047,056
    4.75%, 11/14/03               10,000,000     10,246,050
                                               ------------
TOTAL AGENCY OBLIGATIONS                                   
  (Cost $96,270,686)                             96,270,686
                                               ------------
CERTIFICATES OF DEPOSIT -- 11.8%                           
  ABN AMRO Bank NV Chicago                                 
    2.64%, 04/08/03               15,000,000     15,000,000
  Barclays Bank PLC                                        
    2.10%, 07/14/03               15,000,000     15,000,000
  Canadian Imperial Bank of                                
    Commerce NY                                            
    2.01%, 08/22/03               10,000,000     10,000,000
  Citibank N.A.                                            
    1.71%, 01/31/03               14,000,000     14,000,000
  Royal Bank of Canada NY                                  
    2.42%, 04/01/03               12,500,000     12,500,000
  Washington Mutual Bank                                   
    1.38%, 02/10/03               15,000,000     15,000,000
    1.37%, 02/13/03               28,000,000     28,000,000
                                               ------------
TOTAL CERTIFICATES OF DEPOSIT                              
  (Cost $109,500,000)                           109,500,000
                                               ------------
COMMERCIAL PAPER -- 54.3%                                  
  Bear Stearns Co., Inc.                                   
    1.55%, 02/06/03               10,000,000      9,984,500
    1.52%, 02/12/03                6,000,000      5,989,360
    1.35%, 02/18/03                5,500,000      5,490,100
  Breeds Hill Capital Co.                                  
    1.39%, 03/17/03               45,000,000     44,869,687
  Concord Minutemen Capital Co.                            
    1.58%, 02/07/03                7,000,000      6,988,633
    1.34%, 02/10/03               17,000,000     16,974,689
  Credit Suisse First Boston                               
    1.35%, 02/14/03               20,000,000     19,967,000
  Crown Point Capital Co.                                  
    1.60%, 01/21/03                9,000,000      8,992,000
    1.80%, 01/21/03               23,000,000     22,977,000
    1.81%, 01/22/03                6,000,000      5,993,665
  General Electric Capital                                 
    Services                                               
    1.33%, 03/24/03               19,000,000     18,942,440
  General Electric Co.                                     
    1.34%, 03/28/03               10,000,000      9,967,989

                                                                [Download Table]

                                     PAR          VALUE    
                                 -----------   ------------
                                                           
  HBOs Treasury Services PLC                               
    1.68%, 01/13/03              $15,000,000   $ 14,991,600
    1.70%, 01/13/03               20,000,000     19,988,667
    1.54%, 02/05/03                7,000,000      6,989,519
  Jupiter Securitization                                   
    Corporation                                            
    1.36%, 01/24/03                8,000,000      7,993,049
  Kitty Hawk Funding                                       
    Corporation                                            
    1.37%, 01/21/03               47,000,000     46,964,228
  Koch Industries, Inc.                                    
    1.32%, 01/16/03               15,000,000     14,991,750
  Lexington Parker Capital                                 
    1.75%, 01/10/03               20,000,000     19,991,250
    1.35%, 03/05/03               15,000,000     14,964,563
  Moriarty LLC                                             
    1.80%, 01/15/03                9,000,000      8,993,700
  Ness LLC                                                 
    1.75%, 01/02/03               23,844,000     23,842,841
    1.37%, 02/25/03               12,000,000     11,974,883
  Nestle Capital Corporation                               
    1.76%, 02/10/03                5,000,000      4,990,222
    1.73%, 02/11/03                5,000,000      4,990,149
  Scaldis Capital LLC                                      
    1.77%, 01/15/03               25,000,000     24,982,791
  Toyota Credit Puerto Rico                                
    1.35%, 01/23/03               40,000,000     39,967,000
  UBS Finance                                              
    1.20%, 01/02/03               24,785,000     24,784,174
  Wyeth                                                    
    1.80%, 01/09/03               16,000,000     15,993,600
    1.78%, 01/13/03                5,000,000      4,997,033
    1.75%, 01/22/03               15,000,000     14,984,688
                                               ------------
TOTAL COMMERCIAL PAPER                                     
  (Cost $504,512,770)                           504,512,770
                                               ------------
VARIABLE RATE OBLIGATIONS -- 23.3%                         
  Bear Stearns Companies, Inc.                             
    (The)                                                  
    1.36%, 01/02/03++             15,000,000     15,000,000
  Donaldson Lufkin & Jenrette,                             
    Inc.                                                   
    2.34%, 01/21/03++             10,000,000     10,028,495
  General Electric Capital                                 
    Corporation                                            
    1.76%, 02/03/03++             17,000,000     17,010,141
  John Hancock Global Funding                              
    II                                                     
    1.54%, 01/02/03++             15,000,000     15,004,479
    1.56%, 03/17/03++              8,000,000      8,010,032
    1.49%, 03/28/03++             13,000,000     13,010,908
  Lehman Brothers Holdings,                                
    Inc.                                                   
    1.34%, 01/02/03++             15,000,000     15,000,000
  Merrill Lynch & Co., Inc.                                
    1.40%, 01/10/03++             25,000,000     24,997,304
    2.00%, 01/27/03++              8,000,000      8,001,113
    1.42%, 01/30/03++              5,000,000      4,999,589

See Notes to Financial Statements.

28                                                                            

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                                                                [Download Table]

                                     PAR          VALUE    
                                 -----------   ------------
                                                           
  Morgan Stanley Dean Witter &                             
    Co.                                                    
    1.94%, 01/07/03++            $ 5,200,000   $  5,203,367
    1.86%, 02/05/03++              8,000,000      8,006,224
    1.62%, 02/21/03++              5,000,000      5,001,697
  Salomon Smith Barney                                     
    Holdings, Inc.                                         
    1.79%, 01/27/03++             27,000,000     27,000,000
    1.65%, 02/18/03++              4,800,000      4,809,518
  Toronto Dominion Bank NY                                 
    1.38%, 01/23/03+              25,000,000     25,000,000
  Wells Fargo Bank N.A.                                    
    1.30%, 01/02/03++             10,000,000     10,000,000
                                               ------------
TOTAL VARIABLE RATE OBLIGATIONS                            
  (Cost $216,082,867)                           216,082,867
                                               ------------
TOTAL INVESTMENTS -- 99.8%                                 
  (Cost $926,366,323)                           926,366,323
OTHER ASSETS LESS LIABILITIES -- 0.2%             1,966,215
                                               ------------
NET ASSETS -- 100.0%                           $928,332,538
                                               ============

See Notes to Financial Statements.

                                                                              29

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LOW-DURATION BOND FUND                                                          

Prior to the fourth quarter, a predominant theme was embedded throughout the    
fixed income markets during most of the year -- Treasuries, the most risk-free  
asset, had outperformed other sectors in the bond market, most notably the      
corporate sector. The source of the overall trend was simple to                 
identify -- investors had remained less focused on fundamentals and valuations  
but more concerned with safety and capital preservation given the instability   
and uncertainty prevailing throughout the economic and geopolitical             
environments. This trend reversed in the first two months of the fourth quarter 
as investors became more amenable to risk due to the prospects of an economic   
recovery, which was coupled with the Fed's aggressive 50 basis point cut during 
November, and an improving stock market. In general, the shape of the yield     
curve remained positive for shorter-maturity bonds as the curve steepened as    
yields on the shorter end of the curve declined during the quarter while longer 
yields increased. Given the inverse relationship between yields and bond prices,
short-duration bonds produced positive absolute returns for the period as       
evidenced by the Merrill Lynch 1-3 Year Treasury Index, which was up 0.87% for  
the quarter, with most of the performance generated during the month of         
December.                                                                       

The Fund, comprised of high quality, fixed income securities primarily with     
shorter maturities, produced a positive absolute return for the quarter and     
generated relative outperformance versus its all Treasury benchmark index, the  
Merrill Lynch 1-3 Year Treasury Index. The relative outperformance was primarily
due to the Fund's exposure to non-Treasury sectors, most notably the corporate  
sector. Earlier in the year, the Fund's sub-advisers selectively purchased      
corporate bonds to take advantage of their yield premiums and inexpensive       
valuations relative to Treasuries. The strategy paid off in the fourth quarter  
as corporate spreads narrowed and prices rallied. The corporate bond rally      
reflected a reduction in investor's risk aversion, greater liquidity in the     
market, improving corporate balance sheets and a renewed focus by investors on  
fundamentals and valuations. Exposure to mortgage securities and small          
allocations to both non-dollar and emerging markets bonds also benefited the    
Fund's relative performance. All three sub-advisers within the manager          
composite, BlackRock, Payden & Rygel and PIMCO, generated excess returns        
relative to the benchmark during the quarter. At period end, approximately 66%  
of the Fund was rated AAA with major categories of holdings including           
Treasuries/agencies, corporates and mortgages.                                  

30                                                                            

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LOW-DURATION BOND FUND                                                          

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                                                 MERRILL LYNCH 1-3  
                                       RETIREMENT CLASS*  INSTITUTIONAL CLASS*  RETAIL CLASS*  YEAR TREASURY INDEX**
                                       -----------------  --------------------  -------------  ---------------------
                                                                                                                    
One Year                                     5.71%               5.89%              5.70%               5.76%       
Since Inception (8/27/01 -- 12/31/02)        5.72%               5.52%              5.39%               6.30%       

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

                            MERRILL LYNCH 1-3 YEAR TREASURY
          RETIREMENT CLASS               INDEX*            
          ----------------  -------------------------------
                                                           
08/27/01      10000.00                  10000.00           
09/30/01      10150.00                  10190.00           
10/31/01      10256.00                  10286.00           
11/30/01      10217.00                  10264.00           
12/31/01      10196.00                  10268.00           
01/31/02      10242.00                  10289.00           
02/28/02      10288.00                  10339.00           
03/31/02      10208.00                  10269.00           
04/30/02      10334.00                  10383.00           
05/31/02      10381.00                  10425.00           
06/30/02      10402.00                  10513.00           
07/31/02      10459.00                  10641.00           
08/31/02      10550.00                  10678.00           
09/30/02      10633.00                  10766.00           
10/31/02      10661.00                  10790.00           
11/30/02      10663.00                  10758.00           
12/31/02      10778.00                  10859.00           

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Merrill Lynch 1-3 Year Treasury
Index.                                                                          

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**The Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury    
Notes and Bonds with maturities greater than or equal to one year and less than 
three years.                                                                    

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

                                                                              31

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LOW-DURATION BOND FUND                                                          
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

      DECEMBER 31, 2002            PAR           VALUE    
      -----------------        -----------    ------------
                                                          
AGENCY OBLIGATIONS -- 9.8%                                
  Federal Home Loan Mortgage                              
    Corporation                                           
    1.28%, 02/11/03            $ 9,700,000    $  9,685,860
    1.29%, 05/21/03                900,000         896,004
    4.25%, 06/15/05              3,300,000       3,476,309
    7.00%, 07/15/05              4,000,000       4,489,836
    5.25%, 01/15/06              1,610,000       1,750,265
    4.25%, 03/22/06 STEP+        3,850,000       3,959,217
                                              ------------
                                                24,257,491
                                              ------------
  Federal National Mortgage                               
    Association                                           
    1.29%, 03/27/03              1,600,000       1,595,632
    1.28%, 05/21/03             12,800,000      12,743,168
    1.25%, 05/27/03             23,400,000      23,291,611
    3.70%, 08/27/04              2,850,000       2,860,314
    4.45%, 05/03/05              3,325,000       3,458,961
    5.50%, 02/15/06              5,765,000       6,309,210
                                              ------------
                                                50,258,896
                                              ------------
  Small Business                                          
    Administration                                        
    6.95%, 11/10/16              2,816,072       3,165,178
                                              ------------
TOTAL AGENCY OBLIGATIONS                                  
  (Cost $76,795,748)                            77,681,565
                                              ------------
ASSET-BACKED SECURITIES -- 13.5%                          
  Aames Mortgage Trust                                    
    1.83%, 01/15/03 STEP++         502,377         501,297
  Aerco, Ltd.                                             
    2.38%, 01/15/03++            1,931,625       1,918,669
  AmeriCredit Automobile                                  
    Receivables Trust                                     
    5.37%, 05/17/04              1,800,000       1,902,556
    5.28%, 05/30/05              1,500,000       1,579,528
  Bank One Issuance Trust                                 
    4.16%, 01/15/08              2,725,000       2,852,202
  Bayview Financial                                       
    Acquisition Trust                                     
    7.01%, 05/25/29 144A         1,037,640       1,066,544
  Business Loan Express                                   
    3.75%, 01/15/03 144A++       1,241,467       1,216,638
  Capital Auto Receivables                                
    Asset Trust                                           
    3.58%, 10/16/06              2,400,000       2,475,469
  Capital One Auto Finance                                
    Trust                                                 
    5.40%, 05/15/08              2,000,000       2,128,118
  Capital One Master Trust                                
    3.85%, 10/12/04              2,300,000       2,377,009
    4.55%, 04/24/05                750,000         778,331
  Chase Funding Mortgage Loan                             
    Asset-Backed Certificates                             
    5.04%, 05/30/05              1,200,000       1,252,013
  CIT Equipment Collateral                                
    4.03%, 05/30/04              3,200,000       3,284,923

                                                                [Download Table]

                                 PAR           VALUE    
                             -----------    ------------
                                                        
Citibank Credit Card                                    
  Issuance Trust                                        
  4.10%, 12/07/06            $ 4,350,000    $  4,528,078
Citibank Credit Card Master                             
  Trust I                                               
  0.00%, 08/15/06 PO           2,600,000       2,528,775
Conseco Finance                                         
  Securitizations                                       
  Corporation                                           
  1.79%, 01/15/03+               564,204         560,322
  8.07%, 12/01/30              3,100,000       3,200,140
  7.30%, 05/01/31              1,956,995       1,991,000
Daimler Chrysler Master                                 
  Owner Trust                                           
  1.48%, 01/15/03+             3,000,000       3,000,758
Dealer Auto Receivables                                 
  Trust                                                 
  7.07%, 05/17/04                239,437         240,428
Equity One ABS, Inc.                                    
  7.55%, 02/25/32              1,178,943       1,209,893
Federal National Mortgage                               
  Association Grantor Trust                             
  3.31%, 03/25/32              1,805,383       1,774,918
FMAC Loan Receivables Trust                             
  5.99%, 11/15/04 144A           749,170         734,186
Ford Credit Auto Owner                                  
  Trust                                                 
  4.83%, 02/15/05              3,770,299       3,821,660
  4.01%, 03/18/05                750,000         776,514
Green Tree Financial                                    
  Corporation                                           
  6.06%, 04/01/18              2,316,606       2,394,957
  6.04%, 11/01/29                372,807         373,530
MBNA Master Credit Card                                 
  Trust 6.35%, 07/13/04        4,100,000       4,386,982
Mellon Auto Grantor Trust                               
  7.18%, 10/15/06              1,064,407       1,096,308
MMCA Automobile Trust                                   
  7.55%, 05/30/03              1,500,000       1,544,354
Nissan Auto Receivables                                 
  Owner Trust                                           
  4.31%, 05/16/05              3,100,000       3,154,734
  3.58%, 09/15/05              3,500,000       3,578,750
  3.99%, 12/15/05              4,000,000       4,123,438
  5.35%, 10/15/06              3,275,000       3,431,647
  4.80%, 02/15/07              4,225,000       4,424,367
PBG Equipment Trust                                     
  6.27%, 01/20/12 144A         1,565,461       1,650,638
Residential Asset                                       
  Securities Corporation                                
  4.99%, 05/30/05              1,300,000       1,349,355
Ryder Vehicle Lease Trust                               
  6.10%, 09/15/08 144A           265,050         267,535
Sears Credit Account Master                             
  Trust                                                 
  6.35%, 02/16/07              1,516,667       1,519,520
  5.25%, 10/16/08              2,497,917       2,581,483

See Notes to Financial Statements.

32                                                                            

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                                                                [Download Table]

                                   PAR           VALUE    
                               -----------    ------------
                                                          
  Sequoia Mortgage Trust                                  
    3.27%, 10/25/24++          $ 1,592,782    $  1,586,809
    1.82%, 10/20/27++            1,978,122       1,966,290
    1.87%, 10/20/33++            1,487,406       1,477,888
  SLM Student Loan Trust                                  
    1.93%, 01/25/07++            1,365,585       1,366,556
    1.90%, 01/25/09++            3,687,192       3,687,580
    1.89%, 01/25/11++            3,036,360       3,039,617
  SVO Timeshare Mortgage                                  
    Corporation                                           
    5.47%, 10/20/13 144A         5,170,778       5,376,749
  The Money Store Business                                
    Loan Backed Certificates                              
    2.15%, 04/15/28++              858,988         924,168
  TMS SBA Loan Trust                                      
    2.11%, 04/15/24++              762,717         784,439
    2.00%, 01/15/25++              950,391         949,089
    2.48%, 01/25/25++              570,235         566,939
  WFS Financial Owner Trust                               
    2.76%, 02/20/07              1,200,000       1,214,966
                                              ------------
TOTAL ASSET-BACKED SECURITIES                             
  (Cost $103,985,819)                          106,518,657
                                              ------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 24.7%              
  Asset Securitization                                    
    Corporation                                           
    7.32%, 01/13/30              1,298,125       1,397,791
  Bank One Mortgage-Backed                                
    Pass-Through Certificates                             
    5.63%, 03/15/30++              813,930         828,012
  Bayview Financial                                       
    Acquisition Trust                                     
    1.77%, 01/27/03 144A++         950,186         948,598
  Bear Stearns Adjustable                                 
    Rate Mortgage Trust                                   
    6.62%, 01/01/03++            1,594,679       1,604,554
    6.84%, 01/01/03++              608,509         618,914
    6.93%, 01/01/03++              949,184         969,837
    6.54%, 01/25/32++              521,705         523,531
  Chase Commercial Mortgage                               
    Securities Corporation                                
    7.03%, 10/15/08                947,216       1,053,277
  Countrywide Funding                                     
    Corporation                                           
    6.50%, 11/25/08              2,465,829       2,501,535
  Countrywide Home Loans,                                 
    Inc.                                                  
    7.25%, 12/25/27              3,000,000       3,004,270
    6.05%, 04/25/29              6,000,000       6,149,647
    4.63%, 06/19/31++              808,684         820,309
  Credit-Based Asset                                      
    Servicing and                                         
    Securitization LLC                                    
    1.74%, 01/25/03++            1,797,667       1,788,993
  CS First Boston Mortgage                                
    Securities Corporation                                
    1.82%, 02/25/32++            1,494,773       1,494,567

                                                                [Download Table]

                                 PAR           VALUE    
                             -----------    ------------
                                                        
DLJ Mortgage Acceptance                                 
  Corporation                                           
  6.82%, 10/15/30 144A       $ 3,250,000    $  3,614,214
Federal Home Loan Bank                                  
  3.88%, 12/15/04              8,000,000       8,325,696
Federal Home Loan Mortgage                              
  Corporation                                           
  4.70%, 01/01/03++              240,879         248,343
  1.92%, 01/28/04++            1,231,275       1,234,563
  9.50%, 10/01/04                 36,529          38,082
  9.50%, 12/01/04                 40,659          42,387
  9.50%, 01/01/05                 31,280          32,609
  9.50%, 06/01/05                 31,882          33,834
  5.73%, 07/28/05++            6,422,269       6,616,944
  10.00%, 12/01/05                 7,777           7,794
  8.00%, 03/01/06                 10,788          11,415
  7.00%, 05/01/06                  7,790           8,053
  8.75%, 08/01/06                 13,268          13,704
  6.50%, 08/15/07              1,474,144       1,510,238
  8.50%, 12/01/07                 33,618          35,887
  8.50%, 01/01/08                 28,450          30,361
  8.00%, 05/01/08                 46,756          48,991
  8.50%, 06/01/08                 44,619          46,696
  8.25%, 07/01/08                 48,075          51,034
  8.75%, 07/01/08                 26,186          28,379
  8.00%, 01/01/09                 15,780          16,914
  7.50%, 03/01/09                146,880         152,572
  5.50%, 04/01/09              2,774,887       2,920,568
  6.00%, 06/01/09              1,127,295       1,192,819
  6.00%, 07/01/10              2,494,525       2,639,519
  6.50%, 06/01/11              2,769,099       2,938,707
  16.25%, 07/01/11                 2,581           3,215
  15.25%, 08/01/11                 4,197           5,146
  10.75%, 02/01/19               239,439         271,464
  5.59%, 09/01/23++            1,750,562       1,807,369
  6.93%, 06/01/28 STRIP++      1,018,213       1,018,213
  7.31%, 03/01/31++              652,686         667,815
Federal Housing Authority                               
  7.43%, 09/01/22                463,120         499,268
Federal National Mortgage                               
  Association                                           
  5.11%, 01/02/03 CONV++         496,190         508,428
  7.00%, 06/01/04                 10,620          10,730
  3.15%, 07/15/04              4,025,000       4,064,139
  5.00%, 01/15/07              9,125,000       9,900,169
  5.25%, 03/22/07              4,575,000       4,791,594
  6.00%, 08/01/08              1,126,268       1,191,732
  6.50%, 11/01/08              1,596,875       1,692,687
  5.50%, 06/01/09              1,873,787       1,972,161
  5.50%, 07/01/09              1,358,071       1,429,370
  6.00%, 11/01/10              2,884,629       3,051,396
  6.00%, 12/01/10              1,450,701       1,535,023
  6.00%, 03/01/11                801,691         846,787
  6.00%, 08/01/11              1,433,921       1,514,579
  5.50%, 04/01/13              1,613,271       1,685,868
  6.00%, 05/01/13              1,292,803       1,365,523

See Notes to Financial Statements.

                                                                              33

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LOW-DURATION BOND FUND                                                          
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                 PAR           VALUE    
                             -----------    ------------
                                                        
  6.00%, 12/01/14            $ 2,481,136    $  2,594,350
  6.00%, 01/01/18              3,100,000       3,239,500
  5.63%, 08/01/22++            1,187,669       1,220,315
  5.59%, 02/01/24++            2,260,638       2,336,227
  6.80%, 03/01/24++              285,100         294,112
  9.00%, 05/01/25                696,412         774,976
  9.00%, 07/01/25                998,721       1,112,950
  6.54%, 12/01/30++              225,954         234,179
  5.50%, 01/01/31              2,500,000       2,549,219
  6.68%, 02/01/31++            1,474,652       1,545,295
FFCA Secured Lending                                    
  Corporation                                           
  7.27%, 02/18/11 144A         3,297,550       3,488,935
First Republic Mortgage                                 
  Loan Trust                                            
  4.84%, 06/25/30++            1,946,355       1,979,748
General Motors Acceptance                               
  Corporation                                           
  6.38%, 01/30/04                700,000         718,888
Government National                                     
  Mortgage Association                                  
  6.63%, 01/01/03++              546,544         564,003
  1.62%, 01/16/03++            2,899,160       2,885,429
  2.02%, 01/16/03++            2,038,145       2,019,550
  7.25%, 11/15/03                  4,180           4,232
  8.25%, 08/15/04                  6,425           6,642
  8.25%, 03/15/06                  9,060           9,645
  8.25%, 04/15/06                    480             511
  8.25%, 05/15/06                 22,463          23,917
  7.00%, 10/15/07                  7,812           8,368
  7.00%, 11/15/07                159,246         170,592
  7.00%, 12/15/07                 87,278          93,498
  7.00%, 01/15/08                  6,369           6,843
  7.00%, 05/15/08                 76,776          82,487
  7.00%, 06/15/08                 16,309          17,522
  7.00%, 07/15/08                346,957         372,762
  7.00%, 08/15/08                221,405         237,871
  7.00%, 09/15/08                380,971         409,305
  7.00%, 09/18/08                213,319         229,185
  7.00%, 11/15/08                380,055         408,321
  6.00%, 12/15/08              1,017,395       1,084,480
  7.00%, 04/15/09                108,155         116,233
  6.00%, 02/15/11              1,564,844       1,663,624
  13.50%, 02/15/11                 4,696           5,608
  7.00%, 05/12/12              1,005,409       1,079,557
  5.38%, 06/20/17++               78,710          80,917
  5.38%, 06/20/21++               58,964          60,662
  8.50%, 10/15/29                260,893         283,232
  8.50%, 01/15/30                134,802         146,260
  8.50%, 03/15/30                105,687         114,670
  8.50%, 04/15/30                384,576         417,265
  8.50%, 05/15/30              1,342,003       1,456,075
  8.50%, 06/15/30                740,902         803,879
  8.50%, 07/15/30              1,918,216       2,081,265
  8.50%, 08/15/30                517,738         561,746
  8.50%, 09/15/30                 60,435          65,572

                                                                [Download Table]

                                 PAR           VALUE    
                             -----------    ------------
                                                        
  7.50%, 09/20/30            $ 2,550,037    $  2,717,383
  8.50%, 10/15/30                567,990         616,269
  8.50%, 11/15/30              1,181,666       1,282,107
  8.50%, 12/15/30              1,082,759       1,174,793
  8.50%, 01/15/31                339,448         367,770
  8.50%, 02/15/31                739,027         800,689
  7.50%, 07/20/31              4,380,533       4,666,637
  7.00%, 01/22/33             11,000,000      11,653,125
  6.75%, 10/16/40              3,311,939       3,559,449
GS Mortgage Securities                                  
  Corporation II                                        
  6.04%, 08/16/31 144A           633,460         694,592
IFC SBA Loan-Backed                                     
  Adjustable Rate                                       
  Certificate                                           
  2.75%, 01/15/24 144A++       1,150,767       1,127,752
Mellon Residential Funding                              
  Corporation                                           
  6.75%, 01/25/13                662,824         679,914
MLCC Mortgage Investors,                                
  Inc.                                                  
  1.80%, 01/15/03 STEP++       2,008,900       2,006,642
Morgan Stanley Capital I                                
  6.22%, 02/07/04              2,534,860       2,715,026
PNC Mortgage Securities                                 
  Corporation                                           
  1.87%, 01/25/03++              635,747         636,224
  7.50%, 02/25/31                931,009         946,277
Residential Accredit Loans,                             
  Inc.                                                  
  6.00%, 12/25/16              2,335,932       2,431,559
  7.75%, 10/25/30                545,442         557,070
Residential Asset                                       
  Securitization Trust                                  
  8.00%, 02/25/30                836,041         859,035
Residential Funding                                     
  Mortgage Security I                                   
  6.29%, 01/01/03++              715,599         716,460
Salomon Brothers Mortgage                               
  Securities                                            
  7.15%, 03/25/25 144A         5,287,219       5,703,567
Security National Mortgage                              
  Loan Trust                                            
  5.79%, 01/25/03 144A@        1,336,502       1,348,873
Structured Asset Mortgage                               
  Investments, Inc.                                     
  6.13%, 11/25/13              1,270,155       1,307,082
Structured Asset Securities                             
  Corporation                                           
  7.50%, 06/28/31              1,485,785       1,550,628
United Mortgage Securities                              
  Corporation                                           
  4.84%, 01/01/03++            1,338,104       1,375,292
Wachovia Asset                                          
  Securitization, Inc.                                  
  6.25%, 10/25/33              1,687,216       1,747,955

See Notes to Financial Statements.

34                                                                            

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                                                                [Download Table]

                                   PAR           VALUE    
                               -----------    ------------
                                                          
  Washington Mutual                                       
    4.51%, 01/01/03++          $ 1,870,947    $  1,880,243
    1.71%, 06/25/24++              915,971         910,710
  Washington Mutual Mortgage                              
    Securities Corporation                                
    5.90%, 07/25/31++              919,819         934,766
  Washington Mutual MSC                                   
    Mortgage Pass-Through                                 
    Certificates                                          
    5.62%, 03/25/32++            1,788,898       1,820,204
  Wells Fargo Mortgage Backed                             
    Securities Trust                                      
    6.13%, 07/25/31              1,285,595       1,300,663
                                              ------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS                 
  (Cost $190,036,171)                          195,126,012
                                              ------------
COMMERCIAL PAPER -- 5.6%                                  
  CBA Finance                                             
    1.33%, 02/06/03              9,300,000       9,287,632
  Eksportfinans ASA                                       
    1.25%, 01/02/03              2,800,000       2,799,903
    1.31%, 02/10/03              1,100,000       1,098,399
  HBOs Treasury Services                                  
    1.33%, 02/11/03              7,800,000       7,788,451
    1.77%, 03/27/03              5,700,000       5,682,843
  Pfizer, Inc.                                            
    1.31%, 02/04/03              2,600,000       2,596,808
  Swedish National Housing                                
    Finance                                               
    1.36%, 03/17/03              1,000,000         997,369
  UBS Finance LLC                                         
    1.32%, 03/05/03              5,700,000       5,687,434
    1.31%, 03/06/03              1,900,000       1,895,744
    1.32%, 03/12/03              5,500,000       5,486,506
  Westpac Capital Corporation                             
    1.34%, 03/25/03              1,000,000         997,084
                                              ------------
TOTAL COMMERCIAL PAPER                                    
  (Cost $44,309,502)                            44,318,173
                                              ------------
CORPORATE BONDS -- 18.8%                                  
  Abbott Laboratories                                     
    5.13%, 07/01/04              1,230,000       1,291,653
  AIF, Inc.                                               
    3.50%, 06/15/26              1,764,309       1,764,309
  Alcoa, Inc.                                             
    1.70%, 12/06/04++              930,000         932,917
  American Express Credit                                 
    Corporation                                           
    1.54%, 01/16/03++            1,200,000       1,200,054
  AOL Time Warner, Inc.                                   
    6.88%, 05/01/12              5,000,000       5,291,460
  AT&T Corporation                                        
    5.09%, 11/21/03 144A                                  
      (E)++                      3,000,000       3,127,591
    6.38%, 03/15/04              5,000,000       5,126,830
  Bank of America Corporation                             
    6.63%, 06/15/04              1,200,000       1,280,814

                                                                [Download Table]

                                 PAR           VALUE    
                             -----------    ------------
                                                        
Bank One Corporation                                    
  7.63%, 08/01/05            $ 1,200,000    $  1,352,876
Capital One Bank                                        
  6.62%, 08/04/03              5,770,000       5,706,258
Centerior Energy                                        
  Corporation                                           
  7.67%, 07/01/04              1,500,000       1,564,202
Citigroup, Inc.                                         
  6.75%, 12/01/05              2,475,000       2,753,970
Coca-Cola Co. (The)                                     
  4.00%, 06/01/05              1,240,000       1,298,912
Conagra Foods, Inc.                                     
  7.50%, 09/15/05              2,500,000       2,803,855
Conoco, Inc.                                            
  5.90%, 04/15/04              1,045,000       1,094,237
Consolidated Natural Gas                                
  7.25%, 10/01/04                645,000         695,036
Countrywide Home Loans,                                 
  Inc.                                                  
  5.25%, 06/15/04              1,180,000       1,227,702
Dominion Resources, Inc.                                
  7.60%, 07/15/03              6,000,000       6,140,562
Duke Capital Corporation                                
  7.25%, 10/01/04              1,200,000       1,226,417
Duke Energy Field Services                              
  LLC                                                   
  7.50%, 08/16/05              1,800,000       1,898,782
Ford Motor Co.                                          
  7.45%, 07/16/31                600,000         523,325
Ford Motor Credit Co.                                   
  2.30%, 01/21/03++            1,500,000       1,353,474
  1.92%, 03/21/03++            1,000,000         994,297
  2.25%, 03/31/03++            2,000,000       1,812,782
  7.50%, 03/15/05                390,000         398,102
  6.88%, 02/01/06              2,500,000       2,506,088
Fred Meyer Holding Co.,                                 
  Inc.                                                  
  7.38%, 03/01/05              2,000,000       2,172,050
General Electric Capital                                
  Corporation                                           
  4.25%, 01/28/05              1,500,000       1,567,463
  5.00%, 06/15/07              2,905,000       3,079,343
General Motors Acceptance                               
  Corporation                                           
  2.56%, 01/21/03++           11,400,000      11,239,156
  7.63%, 06/15/04++++            800,000         840,327
  6.13%, 09/15/06              1,650,000       1,677,981
Golden West Financial                                   
  Corporation                                           
  5.50%, 08/08/06              3,000,000       3,238,656
Household Finance                                       
  Corporation                                           
  1.86%, 02/03/03++            1,470,000       1,465,716
IBM Corporation                                         
  1.55%, 09/10/04++            1,200,000       1,201,109
JP Morgan Chase & Co.                                   
  5.63%, 08/15/06                975,000       1,043,890

See Notes to Financial Statements.

                                                                              35

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LOW-DURATION BOND FUND                                                          
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                 PAR           VALUE    
                             -----------    ------------
                                                        
Kellogg Co.                                             
  5.50%, 04/01/03            $ 4,800,000    $  4,837,248
KFW International Finance                               
  5.25%, 03/09/06              1,525,000       1,643,426
Kraft Foods, Inc.                                       
  1.63%, 02/26/03++            1,000,000       1,000,286
Masco Corporation                                       
  6.00%, 05/03/04                645,000         673,532
Merrill Lynch & Co., Inc.                               
  5.46%, 05/07/04              1,400,000       1,461,601
Morgan Stanley TRACER                                   
  5.89%, 03/01/07 144A@       11,600,000      12,373,813
National Rural Utilities                                
  Cooperative Finance                                   
  Corporation                                           
  5.25%, 07/15/04              1,120,000       1,169,075
New York Telephone Co.                                  
  6.50%, 03/01/05              2,300,000       2,492,671
Niagara Mohawk Power                                    
  Corporation                                           
  7.75%, 05/15/06              5,000,000       5,670,720
Paine Webber Group, Inc.                                
  7.88%, 02/15/03              2,300,000       2,315,808
Premium Asset Trust                                     
  1.76%, 02/27/03 144A++       4,000,000       4,015,580
Procter & Gamble Co.                                    
  6.60%, 12/15/04              1,200,000       1,308,767
Qwest Capital Funding, Inc.                             
  5.88%, 08/03/04              3,000,000       2,535,000
Raytheon Co.                                            
  8.20%, 03/01/06                900,000         993,375
Safeway, Inc.                                           
  7.25%, 09/15/04                645,000         694,466
Southtrust Bank NA                                      
  1.50%, 05/24/04++            1,200,000       1,202,069
SPARC International Paper,                              
  Inc.                                                  
  3.07%, 06/20/04              2,250,000       2,223,281
Sprint Capital Corporation                              
  7.13%, 01/30/06              3,000,000       2,972,439
Time Warner, Inc.                                       
  7.75%, 06/15/05              3,200,000       3,411,744
TRW, Inc.                                               
  6.63%, 06/01/04                645,000         670,603
Unilever Capital                                        
  Corporation                                           
  6.88%, 11/01/05              1,200,000       1,346,509
US Bancorp                                              
  6.63%, 05/15/03              1,200,000       1,219,625
Virginia Electric & Power                               
  Co.                                                   
  5.75%, 03/31/06              3,000,000       3,225,132
Wachovia Corporation                                    
  7.55%, 08/18/05                950,000       1,071,029
Washington Mutual Bank FA                               
  1.71%, 02/18/03++            1,500,000       1,502,000

                                                                [Download Table]

                                   PAR           VALUE    
                               -----------    ------------
                                                          
  Wells Fargo Financial, Inc.                             
    5.45%, 05/03/04            $ 1,300,000    $  1,360,650
  Weyerhaeuser Co.                                        
    2.54%, 03/17/03++              700,000         700,676
    5.50%, 03/15/05 144A           865,000         905,966
  Worldcom, Inc.-WorldCom                                 
    Group                                                 
    7.38%, 01/15/11 144A#@       3,900,000         936,000
                                              ------------
TOTAL CORPORATE BONDS                                     
  (Cost $147,775,069)                          148,825,287
                                              ------------
FOREIGN BONDS -- 3.5%                                     
BERMUDA -- 0.1%                                           
  Tyco International Group SA                             
    6.38%, 06/15/05                860,000         834,754
                                              ------------
CAYMAN ISLANDS -- 0.1%                                    
  Wharf International                                     
    Finance, Ltd.                                         
    7.63%, 03/13/07                400,000         447,726
                                              ------------
CHILE -- 0.1%                                             
  Republic of Chile                                       
    5.63%, 07/23/07                400,000         422,515
                                              ------------
CROATIA -- 0.1%                                           
  Croatia Government                                      
    2.69%, 01/31/03++            1,090,909       1,084,091
                                              ------------
FINLAND -- 0.1%                                           
  Republic of Finland                                     
    7.88%, 07/28/04                780,000         853,013
                                              ------------
FRANCE -- 0.8%                                            
  France Telecom                                          
    4.16%, 03/14/03++            4,700,000       4,702,186
  Total Fina Elf SA                                       
    7.00%, 10/05/05              1,470,000       1,642,018
                                              ------------
                                                 6,344,204
                                              ------------
MALAYSIA -- 0.0%                                          
  Petroliam Nasional BHD                                  
    8.88%, 08/01/04                350,000         384,762
                                              ------------
MEXICO -- 0.6%                                            
  Grupo Televisa SA                                       
    8.63%, 08/08/05                350,000         386,750
  Petroleos Mexicanos                                     
    6.50%, 02/01/05                400,000         424,500
  United Mexican States                                   
    8.63%, 03/12/08                350,000         403,025
    11.38%, 09/15/16               700,000         939,750
    8.00%, 09/24/22              2,700,000       2,794,500
                                              ------------
                                                 4,948,525
                                              ------------
NETHERLANDS -- 0.4%                                       
  Deutsche Telekom                                        
    International Finance BV                              
    8.25%, 06/15/05              3,000,000       3,282,408
                                              ------------

See Notes to Financial Statements.

36                                                                            

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                                                                [Download Table]

                                   PAR           VALUE     
                               -----------    ------------ 
                                                           
SOUTH KOREA -- 0.2%                                        
  Export-Import Bank of Korea                              
    (The)                                                  
    6.38%, 02/15/06            $   400,000    $    436,932 
  Korea Development Bank                                   
    7.38%, 09/17/04                350,000         378,846 
  Korea Electric Power                                     
    Corporation                                            
    6.38%, 12/01/03                420,000         435,040 
                                              ------------ 
                                                 1,250,818 
                                              ------------ 
SUPRANATIONAL -- 1.0%                                      
  European Investment Bank                                 
    5.63%, 02/03/05              4,300,000       4,624,860 
    5.63%, 01/24/06              1,850,000       2,002,451 
  International Bank for                                   
    Reconstruction and                                     
    Development                                            
    6.02%, 06/21/04              1,200,000       1,273,500 
                                              ------------ 
                                                 7,900,811 
                                              ------------ 
TOTAL FOREIGN BONDS                                        
  (Cost $26,788,645)                            27,753,627 
                                              ------------ 
MUNICIPAL BONDS -- 0.3%                                    
  California Department of                                 
    Water Reserve, Power                                   
    Supply Revenue Bonds                                   
    3.59%, 05/01/04                975,000         982,927 
  Missouri Higher Education                                
    Loan Authority, Student                                
    Loan Revenue Bonds                                     
    2.27%, 07/25/08++            1,194,781       1,196,274 
                                              ------------ 
TOTAL MUNICIPAL BONDS                                      
  (Cost $2,151,470)                              2,179,201 
                                              ------------ 

                                 SHARES                    
                               -----------                 
                                                           
SHORT-TERM INVESTMENT -- 4.1%                              
  AB Funds Trust -- Money                                  
    Market Fund                                            
    (Cost $32,170,995)          32,170,995      32,170,995 
                                              ------------ 
RIGHTS -- 0.0%                                             
  United Mexican States                                    
    Recovery Rights Series B     2,700,000          10,125 
  United Mexican States                                    
    Recovery Rights Series C     2,700,000           1,485 
  United Mexican States                                    
    Recovery Rights Series D     2,700,000           1,485 
  United Mexican States                                    
    Recovery Rights Series E     2,700,000           1,485 
                                              ------------ 
TOTAL RIGHTS                                               
  (Cost $0)                                         14,580 
                                              ------------ 

                                   PAR           VALUE     
                               -----------    ------------ 
                                                           
U.S. TREASURY OBLIGATIONS -- 21.4%                         
  U.S. Treasury Bills                                      
    1.19%, 02/13/03++++        $   525,000    $    524,309 
    1.20%, 02/13/03                260,000         259,658 
    1.35%, 03/05/03                700,000         698,445 
                                              ------------ 
                                                 1,482,412 
                                              ------------ 
  U.S. Treasury Bonds                                      
    6.75%, 05/15/05             22,590,000      25,192,277 
    8.75%, 11/15/08              1,649,000       1,752,514 
    6.00%, 08/15/09                605,000         703,596 
    10.38%, 11/15/09             2,700,000       3,128,838 
                                              ------------ 
                                                30,777,225 
                                              ------------ 
  U.S. Treasury Inflationary                               
    Index Bonds                                            
    3.63%, 01/15/08             15,500,000      19,089,362 
                                              ------------ 
  U.S. Treasury Notes                                      
    3.00%, 02/29/04              4,825,000       4,922,634 
    3.38%, 04/30/04             20,225,000      20,778,821 
    3.25%, 05/31/04             12,100,000      12,426,143 
    6.00%, 08/15/04++++          1,100,000       1,181,469 
    2.13%, 08/31/04              8,170,000       8,263,514 
    1.88%, 09/30/04              8,350,000       8,410,997 
    5.88%, 11/15/04              4,890,000       5,282,921 
    2.00%, 11/30/04             24,895,000      25,108,948 
    5.75%, 11/15/05             14,230,000      15,734,723 
    5.63%, 02/15/06             10,900,000      12,073,461 
    4.38%, 05/15/07              3,900,000       4,189,150 
                                              ------------ 
                                               118,372,781 
                                              ------------ 
TOTAL U.S. TREASURY OBLIGATIONS                            
  (Cost $166,278,488)                          169,721,780 
                                              ------------ 
TOTAL INVESTMENTS -- 101.7%                                
  (Cost $790,291,907)                          804,309,877 
LIABILITIES IN EXCESS OF                                   
  OTHER ASSETS -- (1.7%)                       (13,017,827)
                                              ------------ 
  NET ASSETS -- 100.0%                        $791,292,050 
                                              ============ 

Interest rate swap agreement outstanding at                                     
December 31, 2002:                                                              

                                                                [Download Table]

                          EXPIRATION    NOTIONAL     UNREALIZED 
      DESCRIPTION            DATE        VALUE      APPRECIATION
      -----------         ----------   ----------   ------------
                                                                
U.S. DOLLARS                                                    
Receive fixed rate                                              
payments of 5.00% and                                           
pay variable rate                                               
payments on the three                                           
month LIBOR floating                                            
rate(f)                    06/18/08    $4,400,000     $305,875  
                                                      ========  

See Notes to Financial Statements.

                                                                              37

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MEDIUM-DURATION BOND FUND                                                       

The broad fixed income market, as measured by the Lehman Brothers Aggregate Bond
Index, posted a positive absolute return during the quarter of 1.57%, with all  
of the positive return generated in the month of December. Earlier in the year, 
the broad fixed income market was primarily driven by the Treasury sector and a 
declining interest rate environment as apprehension continued regarding future  
economic growth and mounting geopolitical risks in the Middle East. Furthermore,
investors had concerns over the creditworthiness and governance of corporations,
as the market absorbed a record level of corporate defaults, elevated corporate 
spreads to historically wide levels and pushed bond prices lower. However,      
sentiment in the fixed income markets reversed during the first two months of   
the fourth quarter. Treasury yields, in general, sold off in October and        
November in response to some prospects of economic recovery, an aggressive 50   
basis point rate cut by the Fed, a rally in the equity markets -- both          
domestically and globally, and a renewed risk appetite by investors. December   
saw a return to flight-to-quality as weaker economic data (including higher     
unemployment and lower consumer confidence) was released and tensions elevated  
regarding relations with both Iraq and North Korea. The quarter ended with      
riskier assets, including BBB-rated corporates and non-benchmark sectors, such  
as high yield and emerging market debt, being the best performers during the    
three month period. Although the broad fixed income market underperformed the   
broad equity market during the fourth quarter, bonds have played a very         
important role within well diversified portfolios. They have outpaced stocks by 
32.5% as illustrated by comparing the S&P 500(R) Index with the Lehman Brothers 
Aggregate Bond Index.                                                           

The Fund, a high quality, core fixed income portfolio, generated positive       
absolute returns and outpaced its benchmark index, the Lehman Brothers Aggregate
Bond Index, during the fourth quarter. The Fund's relative outperformance       
resulted primarily due to its exposure to the corporate bond sector. Earlier in 
2002, the sub-advisers had begun to increase corporate exposure within the Fund 
in an attempt to take advantage of relatively inexpensive valuations, higher    
yields and improving fundamentals. While negatively impacting relative          
performance in most recent periods, the strategy paid off well during the fourth
quarter as investors became more focused on valuations, fundamentals and        
improving corporate balance sheets. Investors' appetite for risk and their      
renewed focus caused corporate spreads to narrow, most notably in November,     
pushing corporate bond prices higher. The allocation to mortgages, coupled with 
small exposure to high yield and emerging markets debt also benefited the Fund's
relative performance. All three of the fund's sub-advisers generated excess     
returns relative to the benchmark during the fourth quarter. At period end, the 
average credit quality of the fund remained at AA with the primary sector       
exposure to mortgages, corporates and Treasuries/agencies.                      

38                                                                            

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MEDIUM-DURATION BOND FUND                                                       

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                                                  LEHMAN BROTHERS    
                                       RETIREMENT CLASS*  INSTITUTIONAL CLASS*  RETAIL CLASS*  AGGREGATE BOND INDEX**
                                       -----------------  --------------------  -------------  ----------------------
                                                                                                                     
One Year                                     9.15%               9.25%              8.90%              10.25%        
Since Inception (8/27/01 -- 12/31/02)        7.90%               7.49%              7.55%               8.92%        

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

                            LEHMAN BROTHERS AGGREGATE BOND
          RETIREMENT CLASS              INDEX*            
          ----------------  ------------------------------
                                                          
08/27/01      10000.00                 10000.00           
09/30/01      10123.00                 10173.00           
10/31/01      10364.00                 10386.00           
11/30/01      10223.00                 10243.00           
12/31/01      10149.00                 10177.00           
01/31/02      10253.00                 10259.00           
02/28/02      10387.00                 10359.00           
03/31/02      10223.00                 10187.00           
04/30/02      10422.00                 10384.00           
05/31/02      10479.00                 10472.00           
06/30/02      10453.00                 10563.00           
07/31/02      10466.00                 10690.00           
08/31/02      10685.00                 10871.00           
09/30/02      10774.00                 11047.00           
10/31/02      10752.00                 10996.00           
11/30/02      10833.00                 10994.00           
12/31/02      11079.00                 11221.00           

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Lehman Brothers Aggregate Bond 
Index.                                                                          

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**The Lehman Brothers Aggregate Bond Index is composed of investment grade      
securities from the Lehman Brothers Government/Credit Bond Index,               
Mortgage-Backed Securities Index, and Asset Backed Securities Index.            

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

                                                                              39

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MEDIUM-DURATION BOND FUND                                                       
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

DECEMBER 31, 2002                   PAR           VALUE    
-----------------               -----------   -------------
                                                           
AGENCY OBLIGATIONS -- 1.2%                                 
  Federal National Mortgage                                
    Association                                            
    1.24%, 02/12/03++++         $    50,000   $      49,931
    1.53%, 02/12/03++++           1,900,000       1,897,385
    1.27%, 03/05/03++++             100,000          99,683
    1.29%, 03/27/03               2,000,000       1,994,540
    3.32%, 09/27/06               2,500,000       2,553,374
                                              -------------
                                                  6,594,913
                                              -------------
  Financing Corporation                                    
    Principle STRIPS                                       
    6.59%, 11/30/17               1,130,000         501,099
    6.44%, 04/05/19                 620,000         250,240
                                              -------------
                                                    751,339
                                              -------------
  Resolution Funding                                       
    Corporation STRIPS                                     
    11.27%, 01/15/17              5,176,000       2,490,319
                                              -------------
TOTAL AGENCY OBLIGATIONS                                   
  (Cost $8,301,046)                               9,836,571
                                              -------------
ASSET-BACKED SECURITIES -- 8.4%                            
  AmeriCredit Automobile                                   
    Receivables Trust                                      
    7.15%, 08/12/04                 583,996         590,448
    5.96%, 03/12/06               1,339,920       1,356,036
  Amortizing Residential                                   
    Collateral Trust                                       
    1.90% 01/05/03++              1,992,991       1,994,406
    1.70%, 01/27/03++               962,370         959,059
  AQ Finance NIM Trust                                     
    2.07%, 12/25/07 144A++        3,000,000       3,000,000
    9.50%, 06/25/32 144A@           345,502         345,571
  Associates Automobile                                    
    Receivables Trust                                      
    6.82%, 02/15/05               1,843,037       1,866,922
  Bayview Financial                                        
    Acquisition Trust                                      
    1.80%, 01/27/03 144A++        3,123,420       3,121,413
  Bear Stearns Asset Backed                                
    Securities, Inc.                                       
    5.29%, 06/15/16                 734,073         738,385
  Case Equipment Loan Trust                                
    5.77%, 08/15/05               1,766,921       1,769,641
  Centex Home Equity                                       
    1.85%, 12/25/32++             3,000,000       3,003,750
  Citibank Credit Card                                     
    Issuance Trust                                         
    2.61%, 02/07/03++               670,000         666,465
  Conseco Finance                                          
    Securitizations                                        
    Corporation                                            
    6.77%, 09/01/32               2,000,000       2,064,091
    0.00%, 02/01/33 IO@          16,182,000       1,264,300
  Countrywide Asset-Backed                                 
    Certificates                                           
    6.89%, 08/25/27                 622,770         665,463
    1.85%, 12/01/32++             2,000,000       2,000,000

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
Countrywide Home Equity Loan                             
  Trust                                                  
  1.68%, 01/15/03++           $   896,187   $     893,748
CS First Boston Mortgage                                 
  Securities Corporation                                 
  1.68%, 01/15/03++               390,772         390,995
Daimler Chrysler Master                                  
  Owner Trust                                            
  1.48%, 01/15/03++               910,000         910,230
Embarcadero Aircraft                                     
  Securitization Trust                                   
  1.90%, 08/15/25 144A++        2,600,000       2,132,000
EQCC Trust                                               
  1.72%, 01/25/03++             1,613,633       1,612,055
First Franklin Mortgage Loan                             
  1.84%, 08/25/32++             1,994,375       1,999,361
Fleet Home Equity Loan Trust                             
  1.63%, 05/30/31++             2,117,028       2,109,485
Fremont Home Loan Trust                                  
  1.76%, 12/01/32++             2,000,000       1,997,188
Green Tree Home Improvement                              
  Loan Trust                                             
  1.59%, 01/15/03 STEP++          461,088         460,901
HFC Home Equity Loan Trust                               
  1.97%, 01/20/03++             3,927,464       3,937,764
Madison Avenue Manufactured                              
  Housing Contract                                       
  1.77%, 01/25/03++             2,957,971       2,947,655
Metropolitan Asset Funding,                              
  Inc.                                                   
  1.88%, 01/25/03                                        
    STEP 144A++@                  601,898         599,792
New Century Home Equity Loan                             
  Trust                                                  
  7.22%, 11/25/27                 999,836       1,032,807
Nextcard Credit Card Master                              
  Note Trust                                             
  1.62%, 01/15/03 144A++          246,752         247,189
Option One Mortgage                                      
  Securities Corporation NIM                             
  Trust                                                  
  1.72%, 04/26/09 144A++        2,137,846       2,138,264
  8.83%, 06/26/32 144A@           574,675         574,905
Provident Bank Home Equity                               
  Loan Trust                                             
  1.65%, 08/25/31++             1,236,338       1,230,915
Residential Asset Securities                             
  Corporation                                            
  1.66%, 04/25/28++               239,529         239,603
Residential Funding Mortgage                             
  Securities II                                          
  8.09%, 03/25/20               1,700,000       1,783,007
  7.18%, 12/25/22                 641,523         673,562

See Notes to Financial Statements.

40                                                                            

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                                                                [Download Table]

                                    PAR           VALUE    
                                -----------   -------------
                                                           
  Salomon Brothers Mortgage                                
    Securities VII                                         
    1.78%, 01/25/03++           $ 1,452,481   $   1,452,692
    1.66%, 01/27/03 STEP++          193,149         190,858
  Saxon Asset Securities Trust                             
    7.55%, 10/25/26                 977,865       1,001,928
    1.82%, 12/25/32++             3,477,815       3,477,173
  SLM Student Loan Trust                                   
    1.89%, 01/27/03++                55,626          55,671
  Spiegel Credit Card Master                               
    Note Trust                                             
    1.70%, 03/10/05++             6,000,000       6,009,316
  SVO Timeshare Mortgage                                   
    Corporation                                            
    5.47%, 10/20/13 144A            900,721         936,599
  Xerox Equipment Lease Owner                              
    Trust                                                  
    3.42%, 02/15/08 144A++          181,302         182,443
                                              -------------
TOTAL ASSET-BACKED SECURITIES                              
  (Cost $67,140,620)                             66,624,056
                                              -------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 41.0%               
  ARC NIM Trust                                            
    7.75%, 01/27/32 144A@           286,774         283,906
    7.75%, 07/27/32 144A@           316,176         313,267
  Bear Stearns Adjustable Rate                             
    Mortgage Trust                                         
    6.33%, 01/01/03++             1,217,173       1,227,095
  Commercial Mortgage Pass-                                
    Through Certificates                                   
    1.63%, 01/15/03 144A++          536,152         535,951
    1.66%, 01/15/03 144A++        1,110,000       1,108,553
  Commerical Mortgage Asset                                
    Trust                                                  
    7.55%, 01/17/10                 440,000         519,392
  Countrywide Alternative Loan                             
    Trust                                                  
    6.75%, 08/25/28 STEP++          408,917         409,839
  Countrywide Funding                                      
    Corporation                                            
    6.63%, 02/25/24                 180,000         185,306
  Credit-Based Asset Servicing                             
    and Securitization                                     
    1.71%, 08/25/33++             1,915,761       1,903,691
  CS First Boston Mortgage                                 
    Securities Corporation                                 
    1.87%, 01/15/03 144A++        2,300,000       2,298,448
    1.77%, 01/25/03++               356,840         354,794
    7.29%, 09/15/41               2,000,000       2,333,880
  Deutsche Mortgage and Asset                              
    Receiving Corporation                                  
    6.54%, 06/15/31               2,900,000       3,186,154
  Federal Home Loan Mortgage                               
    Corporation                                            
    8.00%, 10/01/07                   3,202           3,308
    6.90%, 12/01/10               4,415,000       4,922,724

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
  7.00%, 11/01/14             $   759,767   $     808,440
  7.00%, 04/01/15                 731,450         778,309
  8.00%, 06/01/15                  38,728          40,011
  7.00%, 12/01/15                 521,689         555,272
  8.50%, 06/01/16                  56,520          61,589
  8.50%, 06/01/18                  56,220          61,262
  5.00%, 02/15/21                 406,243         408,081
  0.00%, 04/15/22 PO@             209,538         198,869
  0.00%, 03/15/24 IO@           2,151,499          77,634
  8.00%, 08/01/24                  57,204          61,959
  7.50%, 11/01/29                 243,370         259,037
  7.50%, 12/01/29                 395,640         421,109
  7.50%, 02/01/31                 707,206         752,168
  6.00%, 07/15/31               2,176,973       2,207,350
  7.50%, 11/01/31                 324,018         344,573
  5.00%, 03/19/32              12,000,000      12,191,255
  7.00%, 01/16/33               1,000,000       1,050,938
Federal Housing                                          
  Administration                                         
  7.43%, 01/01/03                 739,121         752,055
Federal National Mortgage                                
  Association                                            
  1.87%, 01/18/03++               633,592         634,865
  6.50%, 04/26/06                 500,000         549,529
  8.00%, 06/01/15                 375,455         405,609
  8.00%, 06/15/15                 226,940         245,166
  8.00%, 07/01/15                 429,148         463,613
  8.00%, 09/01/15                 519,016         560,699
  5.00%, 03/19/17               4,000,000       4,065,000
  5.00%, 02/19/18               3,000,000       3,060,936
  5.00%, 02/20/18              10,000,000      10,203,119
  8.00%, 09/25/19               1,613,498       1,668,287
  0.00%, 08/25/21 IO@               1,599          37,553
  0.00%, 10/25/21 IO@               2,489          51,427
  3.30%, 10/25/21++             4,261,653       4,290,513
  20.22%, 01/25/22++@           1,339,767       1,735,652
  3.60%, 03/25/22++             2,528,439       2,572,953
  9.50%, 05/01/22                  33,179          36,942
  9.50%, 07/01/24                  66,831          74,412
  6.50%, 11/25/25               3,000,000       3,068,564
  6.50%, 06/01/28                  25,937          27,015
  8.00%, 10/01/30                 926,211         998,571
  6.50%, 01/31/31               1,000,000       1,041,875
  5.50%, 01/01/32                 300,000         305,906
  6.00%, 01/01/32               2,002,579       2,071,233
  7.00%, 01/01/32               2,400,000       2,523,750
  6.00%, 03/01/32               3,535,878       3,664,136
  6.00%, 04/01/32               3,818,116       3,952,943
  4.49%, 05/01/36++             1,761,283       1,807,121
FFCA Secured Lending                                     
  Corporation                                            
  0.00%, 07/18/20 IO 144A@      4,617,514         334,539
First Nationwide Trust                                   
  8.50%, 09/25/31               1,048,048       1,087,861

See Notes to Financial Statements.

                                                                              41

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MEDIUM-DURATION BOND FUND                                                       
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
First Union Commercial                                   
  Mortgage Securities, Inc.                              
  7.38%, 04/18/07             $ 6,500,000   $   7,414,896
First Union National Bank                                
  Commercial Mortgage Trust                              
  7.20%, 09/15/10               1,500,000       1,751,158
GMAC Commercial Mortgage                                 
  Securities, Inc.                                       
  2.14%, 01/20/03 144A++          831,855         830,774
  6.87%, 08/15/07                 600,000         679,065
  2.15%, 09/15/15               1,500,000       1,440,000
  6.70%, 05/15/30               2,900,000       3,175,042
Government National Mortgage                             
  Association                                            
  30.94%, 02/08/06++@           1,525,499       2,051,335
  7.00%, 10/15/25                 234,561         249,955
  7.00%, 01/15/26                 307,145         327,013
  7.00%, 07/15/27               1,750,005       1,861,021
  7.00%, 12/15/27                  18,992          20,197
  6.50%, 01/01/28                       1               1
  7.00%, 01/15/28                 171,494         182,105
  7.00%, 03/15/28               2,585,287       2,745,251
  7.00%, 07/15/28                 397,390         421,978
  7.50%, 07/15/28                 221,514         236,535
  6.50%, 08/15/28                 444,769         467,803
  7.00%, 08/15/28                 347,695         369,209
  7.50%, 08/15/28                 336,824         359,665
  6.50%, 09/15/28                 990,524       1,041,289
  7.00%, 10/15/28                 410,307         435,694
  7.00%, 12/15/28                 309,724         328,888
  7.50%, 12/15/28                 173,407         185,166
  6.50%, 01/15/29                 284,466         298,956
  6.50%, 03/15/29                 131,860         138,577
  7.50%, 03/15/29                 594,510         634,639
  7.00%, 06/15/29                 316,838         336,145
  6.50%, 07/15/29                 376,880         396,078
  7.50%, 11/15/29                 757,351         808,472
  6.00%, 11/20/29++             1,056,121       1,082,235
  6.50%, 01/25/30              99,000,000     103,826,250
  7.00%, 01/25/30               4,000,000       4,237,500
  7.50%, 02/15/30                 267,914         285,831
  8.50%, 08/15/30                  92,594         100,465
  7.00%, 09/15/30                 271,350         287,716
  8.50%, 11/20/30                 608,477         658,106
  7.00%, 12/15/30                 194,578         206,314
  6.00%, 01/23/31              12,430,000      12,927,200
  6.50%, 01/23/31               8,000,000       8,357,500
  7.00%, 01/23/31               3,000,000       3,166,875
  6.50%, 02/15/31                 290,195         304,795
  7.50%, 02/15/31                 645,823         689,012
  6.50%, 03/15/31                 285,278         299,631
  6.50%, 05/15/31                 222,763         233,970
  7.00%, 05/15/31                 289,773         307,159
  6.50%, 06/15/31                 190,000         199,560
  7.00%, 06/15/31               1,163,206       1,233,000
  6.50%, 07/15/31                 278,616         292,634

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
  7.00%, 07/15/31             $ 3,420,902   $   3,626,157
  7.00%, 08/15/31                 331,192         351,063
  7.50%, 08/15/31               1,861,889       1,986,403
  6.50%, 09/15/31                 845,250         887,772
  7.00%, 09/15/31               1,032,474       1,094,422
  7.00%, 09/20/31               2,458,787       2,590,179
  6.50%, 10/15/31               1,093,535       1,148,553
  6.50%, 11/15/31                 730,323         767,067
  7.00%, 11/15/31               3,392,537       3,596,090
  6.50%, 12/15/31                 465,486         488,906
  7.00%, 12/15/31                  30,381          32,204
  5.50%, 01/01/32                 300,000         307,500
  6.00%, 01/15/32               2,992,988       3,120,190
  6.50%, 01/15/32                 278,665         292,686
  7.00%, 01/15/32                 134,584         142,659
  6.50%, 02/15/32               1,632,261       1,714,384
  7.00%, 02/15/32                 665,887         705,840
  7.50%, 02/15/32                 721,428         769,673
  6.50%, 03/15/32                 685,021         719,486
  6.00%, 04/15/32               2,930,197       3,054,731
  7.00%, 04/15/32                 664,036         703,878
  7.50%, 04/15/32               2,790,684       2,977,312
  6.50%, 05/15/32                 891,321         936,166
  7.00%, 05/15/32                 842,619         893,176
  6.50%, 06/15/32               2,007,413       2,108,412
  6.50%, 07/15/32                 978,463       1,027,691
  6.00%, 11/15/32                 899,110         937,322
Impac CMB Trust                                          
  1.66%, 07/25/31++             2,014,072       2,008,656
  1.66%, 08/25/32++             2,958,049       2,947,302
Indymac ARM Trust                                        
  6.47%, 09/28/31++             1,159,654       1,178,168
LB-UBS Commercial Mortgage                               
  Trust                                                  
  7.95%, 01/15/10               1,400,000       1,695,230
  0.00%, 06/15/36 IO 144A@      5,437,517         318,478
Lehman Brothers Commercial                               
  Conduit Mortgage Trust                                 
  6.48%, 01/18/08               2,000,000       2,243,319
Lehman Brothers Floating                                 
  Rate Commercial Mortgage                               
  Trust                                                  
  1.65%, 01/17/03 144A++        1,690,346       1,690,116
Lomas & Nettleton Mortgage I                             
  9.50%, 03/01/03                   8,588           8,709
Merrill Lynch Mortgage                                   
  Investors, Inc.                                        
  1.74%, 08/25/09++               633,271         631,644
Nomura Asset Securities                                  
  Corporation                                            
  7.07%, 04/13/36               1,384,608       1,434,283
  7.12%, 04/13/36               2,000,000       2,232,794
PNC Mortgage Securities                                  
  Corporation                                            
  1.83%, 01/25/03++               194,616         194,762
  7.50%, 02/25/31                 310,336         315,426

See Notes to Financial Statements.

42                                                                            

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                                                                [Download Table]

                                    PAR           VALUE    
                                -----------   -------------
                                                           
  Residential Funding Mortgage                             
    Securities                                             
    6.00%, 04/25/17             $ 1,702,673   $   1,738,882
  Residential Funding Mortgage                             
    Securities I                                           
    6.50%, 12/25/08                 396,648         397,224
  Salomon Brothers Mortgage                                
    Securities VII                                         
    1.80%, 01/25/03 STEP++          265,583         265,625
    0.00%, 10/25/23 IO              832,749           1,198
    0.00%, 06/25/24 IO              569,302             968
    7.60%, 08/25/30++                41,686          41,855
  Securitized Asset Sales,                                 
    Inc.                                                   
    7.25%, 11/25/25                 757,733         756,278
  Structured Asset Securities                              
    Corporation                                            
    7.50%, 07/25/16               1,485,785       1,550,628
  Trizec Hahn Office Properties Trust                      
    1.70%, 01/15/03 144A++        3,107,731       3,076,647
  Washington Mutual                                        
    4.51%, 01/01/03               1,309,663       1,316,170
    6.53%, 01/01/03               2,660,880       2,699,022
                                              -------------
TOTAL COLLATERALIZED MORTGAGE                              
  OBLIGATIONS                                              
  (Cost $318,987,408)                           325,761,974
                                              -------------
COMMERCIAL PAPER -- 2.6%                                   
  ANZ, Inc.                                                
    1.75%, 01/15/03                 300,000         299,853
  HBOs Treasury Services                                   
    1.35%, 03/06/03                 500,000         498,871
    1.33%, 03/11/03                 500,000         498,782
    1.77%, 03/27/03               7,500,000       7,477,425
  Svenska Handelsbanken                                    
    1.33%, 02/13/03               2,300,000       2,296,346
    1.32%, 03/24/03               2,200,000       2,193,516
  Swedish National Housing                                 
    Finance                                                
    1.36%, 03/17/03               3,200,000       3,191,580
  UBS Finance                                              
    1.35%, 03/19/03               1,600,000       1,595,676
  Westpac Capital Corporation                              
    1.34%, 03/26/03               2,500,000       2,492,622
                                              -------------
TOTAL COMMERCIAL PAPER                                     
  (Cost $20,534,242)                             20,544,671
                                              -------------
CORPORATE BONDS -- 24.1%                                   
  Ace Capital Trust II                                     
    9.70%, 04/01/30                 380,000         463,068
  Ace INA Holdings, Inc.                                   
    8.20%, 08/15/04                 550,000         594,480
    8.30%, 08/15/06                 550,000         622,579
  Adelphia Communications                                  
    9.25%, 10/01/04#                250,000          92,500
    9.38%, 11/15/09#                250,000          97,500
  AES Corporation (The)                                    
    9.50%, 06/01/09                  77,000          47,548

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
AGCO Corporation                                         
  9.50%, 05/01/08             $    67,000   $      72,695
AK Steel Corporation                                     
  7.88%, 02/15/09 144A            239,000         242,585
  7.75%, 06/15/12                 116,000         117,450
Allied Waste North America                               
  8.88%, 04/01/08                 715,000         729,300
Allstate Financial Global                                
  Funding                                                
  6.50%, 06/14/11 144A            500,000         561,397
American Airlines, Inc.                                  
  10.19%, 05/26/16                700,000         463,064
American Axle &                                          
  Manufacturing, Inc.                                    
  9.75%, 03/01/09                 133,000         143,308
American Standard, Inc.                                  
  7.38%, 02/01/08                 247,000         259,350
  8.25%, 06/01/09                  72,000          77,760
American Tower Corporation                               
  9.38%, 02/01/09                 250,000         196,250
AMFM, Inc.                                               
  8.13%, 12/15/07                 408,000         426,870
  8.00%, 11/01/08                 147,000         161,149
Anthem Insurance Cos., Inc.                              
  9.13%, 04/01/10 144A            250,000         300,486
Anthem, Inc.                                             
  6.80%, 08/01/12                 500,000         545,018
AOL Time Warner, Inc.                                    
  7.63%, 04/15/31                 500,000         515,706
  7.70%, 05/01/32               1,010,000       1,054,896
Apache Corporation                                       
  6.25%, 04/15/12                 410,000         460,411
Astoria Financial                                        
  Corporation                                            
  5.75%, 10/15/12 144A            450,000         444,052
AT&T Broadband                                           
  8.38%, 03/15/13               1,100,000       1,252,155
AT&T Corporation                                         
  7.30%, 11/15/11 144A          5,000,000       5,475,644
AT&T Wireless Services, Inc.                             
  7.88%, 03/01/11                 500,000         503,397
  8.13%, 05/01/12                 200,000         201,390
  8.75%, 03/01/31                 150,000         147,454
Avis Group Holdings, Inc.                                
  11.00%, 05/01/09                415,000         456,500
AXA Financial, Inc.                                      
  7.75%, 08/01/10                 500,000         566,597
Bank of America Corporation                              
  7.40%, 01/15/11               1,670,000       1,970,259
Bank One Corporation                                     
  4.13%, 09/01/07               1,100,000       1,132,495
BB&T Corporation                                         
  6.50%, 08/01/11                 290,000         328,082
Bear Stearns Cos., Inc.                                  
  (The)                                                  
  2.02%, 05/24/04++             1,500,000       1,506,799
Beazer Homes USA, Inc.                                   
  8.38%, 04/15/12                  81,000          83,835

See Notes to Financial Statements.

                                                                              43

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MEDIUM-DURATION BOND FUND                                                       
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
BellSouth Corporation                                    
  6.88%, 10/15/31             $ 1,550,000   $   1,744,322
Boeing Co. (The)                                         
  6.63%, 02/15/38                 210,000         210,266
Bristol-Myers Squibb Co.                                 
  6.88%, 08/01/47                 190,000         202,633
Calpine Corporation                                      
  7.75%, 04/15/09                  96,000          40,800
  8.50%, 02/15/11                 519,000         228,360
Cendant Corporation                                      
  6.88%, 08/15/06                 800,000         830,789
CenturyTel, Inc.                                         
  7.88%, 08/15/12 144A            400,000         474,255
Charter Communications                                   
  Holdings LLC                                           
  8.25%, 04/01/07                 500,000         225,000
Chesapeake Corporation                                   
  9.88%, 05/01/03                 500,000         522,500
Chrysler Corporation                                     
  7.45%, 02/01/49                 320,000         333,616
CIT Group, Inc.                                          
  7.63%, 08/16/05                  40,000          43,060
  6.50%, 02/07/06                 900,000         948,467
Citigroup, Inc.                                          
  5.00%, 03/06/07               2,200,000       2,350,169
  7.25%, 10/01/10                 500,000         581,314
Citizens Communications Co.                              
  7.63%, 08/15/08                 500,000         554,346
  9.25%, 05/15/11                 100,000         119,317
  9.00%, 08/15/31                 600,000         704,672
Clear Channel                                            
  Communications, Inc.                                   
  7.65%, 09/15/10               1,000,000       1,134,864
Cleveland Electric                                       
  Illuminating Co. (The)                                 
  7.88%, 11/01/17               2,050,000       2,379,358
CMS Energy Corporation                                   
  7.50%, 01/15/09                 217,000         184,705
CMS Panhandle Holding Co.                                
  6.13%, 03/15/04                 720,000         715,185
  7.00%, 07/15/29                 900,000         800,172
Comcast Cable Communications                             
  8.38%, 05/01/07                 650,000         730,077
  6.75%, 01/30/11                 740,000         771,393
Commonwealth Edison Co.                                  
  2.03%, 03/30/03 144A++          500,000         498,448
Conoco Funding Co.                                       
  7.25%, 10/15/31                 660,000         775,893
Conoco, Inc.                                             
  6.95%, 04/15/29                 530,000         602,624
ConocoPhillips                                           
  8.75%, 05/25/10               1,375,000       1,723,153
  5.90%, 10/15/32 144A            440,000         439,027
Consolidated Rail                                        
  Corporation                                            
  7.88%, 05/15/43                 330,000         388,962

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
Continental Airlines, Inc.                               
  6.70%, 06/15/21             $   446,955   $     388,157
Countrywide Home Loans, Inc.                             
  5.50%, 08/01/06               1,150,000       1,223,793
  5.63%, 05/15/07                 300,000         321,198
Cox Communications, Inc.                                 
  7.75%, 11/01/10               1,100,000       1,254,723
Credit Suisse First Boston                               
  USA, Inc.                                              
  5.75%, 04/15/07                 440,000         471,459
  4.63%, 01/15/08                 450,000         456,656
  6.13%, 11/15/11                 310,000         324,003
CRH America, Inc.                                        
  6.95%, 03/15/12                 200,000         224,442
CSC Holdings, Inc.                                       
  7.63%, 04/01/11                  30,000          28,313
  7.63%, 07/15/18                  30,000          26,738
DaimlerChrysler NA Holding                               
  Corporation                                            
  7.30%, 01/15/12                 760,000         854,268
Delta Air Lines, Inc.                                    
  6.42%, 07/02/12                 400,000         423,423
  6.72%, 01/02/23                 840,000         887,250
Devon Energy Corporation                                 
  7.95%, 04/15/32                 700,000         844,217
Dominion Resources Inc                                   
  5.13%, 12/15/09                 230,000         233,426
  5.70%, 09/17/12                 310,000         322,236
Dryden Investor Trust                                    
  7.16%, 07/23/08 144A@         2,032,741       2,193,530
Dynegy Holdings, Inc.                                    
  8.75%, 02/15/12               1,030,000         365,650
Echostar DBS Corporation                                 
  9.38%, 02/01/09                 508,000         539,750
El Paso CGP Co.                                          
  7.75%, 06/15/10               1,000,000         786,233
El Paso Corporation                                      
  0.00%, 02/28/21 CONV          2,750,000         866,250
  8.05%, 10/15/30               2,000,000       1,242,868
  7.80%, 08/01/31               1,150,000         714,702
  7.75%, 01/15/32               1,100,000         683,638
El Paso Natural Gas Co.                                  
  8.38%, 06/15/32 144A            150,000         112,043
Entergy Mississippi, Inc.                                
  2.36%, 02/01/03+              2,100,000       2,081,920
EOP Operating LP                                         
  7.75%, 11/15/07                 100,000         113,533
Firstar Bank NA                                          
  7.13%, 12/01/09                 170,000         201,200
FirstEnergy Corporation                                  
  6.45%, 11/15/11                 420,000         418,670
  7.38%, 11/15/31                 390,000         379,386
Fisher Scientific                                        
  International                                          
  7.13%, 12/15/05                 500,000         510,000

See Notes to Financial Statements.

44                                                                            

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                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
Ford Motor Co.                                           
  6.63%, 10/01/28             $   700,000   $     559,640
  7.45%, 07/16/31               4,365,000       3,807,191
  8.90%, 01/15/32               1,180,000       1,161,291
  7.70%, 05/15/49               2,020,000       1,698,679
Ford Motor Credit Co.                                    
  7.38%, 10/28/09                 500,000         496,215
  7.88%, 06/15/10                 590,000         594,522
  7.38%, 02/01/11                 320,000         311,629
  7.25%, 10/25/11               2,500,000       2,433,068
Forest Oil Corporation                                   
  7.75%, 05/01/14                 115,000         117,875
Fort James Corporation                                   
  4.75%, 06/29/04(E)              500,000         493,528
Fred Meyer, Inc. Holding Co.                             
  7.45%, 03/01/08                 300,000         341,358
Fresenius Medical Care                                   
  Capital Trust                                          
  7.88%, 02/01/08                 170,000         167,875
General Electric Capital                                 
  Corporation                                            
  6.00%, 06/15/12               1,010,000       1,092,452
  6.75%, 03/15/32               1,700,000       1,885,827
General Motors Acceptance                                
  Corporation                                            
  2.49%, 12/31/02+              2,500,000       2,449,780
  2.56%, 01/20/03+              4,000,000       3,943,563
  2.12%, 01/21/03+              1,600,000       1,588,192
  7.25%, 03/02/11                 310,000         316,383
  6.88%, 09/15/11                 800,000         799,098
Georgia Gulf Corporation                                 
  10.38%, 11/01/07                123,000         130,995
Georgia-Pacific Corporation                              
  9.50%, 12/01/11                  46,000          45,310
  8.88%, 05/15/31                  22,000          19,030
Hasbro, Inc.                                             
  5.60%, 11/01/05                 173,000         168,675
HCA, Inc.                                                
  6.87%, 09/15/03                 250,000         255,357
  6.30%, 10/01/12                 750,000         757,772
Healthsouth Corporation                                  
  3.25%, 04/01/03 CONV            250,000         245,313
Hitachi Credit America                                   
  Corporation                                            
  1.79%, 01/15/03 144A+         1,000,000       1,001,132
Host Marriot Corporation                                 
  7.88%, 08/01/05                 217,000         214,830
Host Marriott LP                                         
  9.50%, 01/15/07                 500,000         510,000
  9.25%, 10/01/07                  32,000          32,480
Household Finance                                        
  Corporation                                            
  5.75%, 01/30/07                 590,000         618,061
  8.00%, 07/15/10                 780,000         882,423
  7.00%, 05/15/12                 660,000         724,147
  6.38%, 11/27/12                 340,000         355,589

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
Huntsman International LLC                               
  10.13%, 07/01/09            $   250,000   $     208,750
IMC Global, Inc.                                         
  10.88%, 06/01/08                119,000         129,710
Indiana Michigan Power Co.                               
  6.88%, 07/01/04               2,000,000       2,084,940
Insight Midwest LP/Insight                               
  Capital, Inc.                                          
  10.50%, 11/01/10                179,000         174,973
Intelsat, Ltd.                                           
  7.63%, 04/15/12 144A            300,000         308,368
International Flavors and                                
  Fragrances, Inc.                                       
  6.45%, 05/15/06                 300,000         324,297
J.P. Morgan Chase & Co.                                  
  6.63%, 03/15/12                 905,000         982,558
  5.75%, 01/02/13                 270,000         273,932
JPM Capital Trust II                                     
  7.95%, 02/01/27                 700,000         742,262
Kansas City Southern Railway                             
  9.50%, 10/01/08                  99,000         109,519
Kellogg Co.                                              
  6.60%, 04/01/11                 500,000         564,032
KeySpan Corporation                                      
  7.25%, 11/15/05                 370,000         415,223
Kinder Morgan Energy                                     
  Partners LP                                            
  6.75%, 03/15/11                 700,000         761,580
  7.75%, 03/15/32                 100,000         113,863
Kroger Co.                                               
  7.25%, 06/01/09                 300,000         340,569
Lear Corporation                                         
  7.96%, 05/15/05                 218,000         224,813
Lehman Brothers Holdings,                                
  Inc.                                                   
  6.13%, 07/15/03                 290,000         296,803
  6.63%, 04/01/04                 550,000         580,003
  8.25%, 06/15/07                 100,000         117,651
Liberty Media Corporation                                
  3.75%, 02/15/30 CONV            400,000         208,500
Liberty Property Trust                                   
  6.38%, 08/15/12                 450,000         468,744
Lockheed Martin Corporation                              
  8.50%, 12/01/29                 840,000       1,130,510
Lyondell Chemical Co.                                    
  9.88%, 05/01/07                 500,000         482,500
MacDermid, Inc.                                          
  9.13%, 07/15/11                 111,000         119,048
Manor Care, Inc.                                         
  8.00%, 03/01/08                 153,000         162,180
MeadWestvaco Corporation                                 
  6.85%, 04/01/12                 610,000         678,050
Mediacom LLC/Mediacom                                    
  Capital Corporation                                    
  9.50%, 01/15/13                 500,000         452,500

See Notes to Financial Statements.

                                                                              45

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MEDIUM-DURATION BOND FUND                                                       
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
Midamerican Energy                                       
  Holdings Co.                                           
  7.52%, 09/15/08             $ 1,075,000   $   1,214,792
Mirant Americas Generation,                              
  Inc.                                                   
  8.30%, 05/01/11               1,000,000         480,000
Morgan Stanley                                           
  6.75%, 04/15/11                 150,000         166,958
  6.60%, 04/01/12                 685,000         760,529
Nabisco, Inc.                                            
  7.55%, 06/15/15               1,530,000       1,903,490
News America Holdings                                    
  8.88%, 04/26/23               2,730,000       3,036,614
Nextcard Credit                                          
  3.59%, 12/15/06                 910,000          45,500
Nextel Communications, Inc.                              
  9.38%, 11/15/09                 524,000         476,840
  9.50%, 02/01/11                 160,000         144,800
Niagara Mohawk Power                                     
  Corporation                                            
  8.00%, 06/01/04                 500,000         537,244
  7.75%, 10/01/08               1,340,000       1,550,262
Nortek, Inc.                                             
  9.25%, 03/15/07                 605,000         624,663
  8.88%, 08/01/08                 490,000         503,475
Northwest Airlines                                       
  Corporation                                            
  7.58%, 03/01/19                 823,203         771,944
NRG Energy, Inc.                                         
  7.75%, 04/01/11#                530,000         140,450
  8.63%, 04/01/31#                100,000          26,500
NTL Communications                                       
  Corporation                                            
  11.88%, 10/01/10#               550,000          55,000
Ocean Energy, Inc.                                       
  8.38%, 07/01/08                 132,000         139,590
Omnicare, Inc.                                           
  8.13%, 03/15/11                 239,000         256,925
Oncor Electric Delivery Co.                              
  6.38%, 01/15/15 144A            140,000         143,172
Orion Power Holdings, Inc.                               
  12.00%, 05/01/10                277,000         200,825
Packaging Corporation of                                 
  America, Inc.                                          
  9.63%, 04/01/09                 154,000         165,935
Peabody Energy Corporation                               
  8.88%, 05/15/08                 143,000         150,865
  9.63%, 05/15/08                 177,000         187,841
Pemex Project Funding Master                             
  Trust                                                  
  9.13%, 10/13/10               1,500,000       1,721,249
Pepsi Bottling Group, Inc.                               
  7.00%, 03/01/29                 910,000       1,060,753
Pioneer Natural Resources                                
  Co.                                                    
  9.63%, 04/01/10                  53,000          63,153
  7.50%, 04/15/12                 200,000         216,695

                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
Popular North America, Inc.                              
  6.13%, 10/15/06             $   600,000   $     649,776
Premium Asset Trust                                      
  1.76%, 02/27/03 144A+         3,000,000       3,011,685
Progress Energy, Inc.                                    
  7.10%, 03/01/11                 600,000         662,500
Prudential Funding LLC                                   
  6.60%, 05/15/08 144A            600,000         664,810
Public Service Co. of                                    
  Colorado                                               
  7.88%, 10/01/12 144A            300,000         335,469
Puerto Quetzal Power LLC                                 
  6.47%, 06/15/12               4,130,411       4,559,089
Pulte Homes, Inc.                                        
  7.88%, 08/01/11                  42,000          46,676
PVNGS II Funding                                         
  Corporation, Inc.                                      
  8.00%, 12/30/15               1,800,000       1,903,104
Qwest Capital Funding, Inc.                              
  7.00%, 08/03/09                 700,000         451,500
  7.25%, 02/15/11               1,000,000         645,000
Qwest Corporation                                        
  8.88%, 03/15/12 144A@         1,800,000       1,755,000
  7.50%, 06/15/23                 500,000         400,000
  6.88%, 09/15/33                 250,000         193,750
Raytheon Co.                                             
  8.30%, 03/01/10               1,700,000       2,023,498
Reliant Energy Resources                                 
  Corporation                                            
  6.38%, 05/01/03               2,000,000       1,920,466
Ryland Group, Inc.                                       
  9.75%, 09/01/10                 136,000         149,600
Safeway, Inc.                                            
  4.80%, 07/16/07                 700,000         722,940
Sara Lee Corporation                                     
  6.25%, 09/15/11               1,160,000       1,303,218
Schuler Homes, Inc.                                      
  9.38%, 07/15/09                  38,000          38,950
Service Corporation                                      
  International                                          
  6.30%, 03/15/03                 500,000         497,500
Simon Property Group LP                                  
  7.38%, 01/20/06                 900,000         995,848
Six Flags, Inc.                                          
  0.00%, 04/01/08 STEP+           303,000         294,668
Sonat, Inc.                                              
  7.63%, 07/15/11                 460,000         308,709
Southern California Edison                               
  6.38%, 01/15/06                 500,000         467,500
Southern Natural Gas Co.                                 
  8.00%, 03/01/32                 370,000         326,608
SPARC International Paper,                               
  Inc.                                                   
  3.07%, 06/20/04               1,875,000       1,852,734
Spieker Properties, Inc.                                 
  7.65%, 12/15/10                 250,000         282,137

See Notes to Financial Statements.

46                                                                            

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                                                                [Download Table]

                                  PAR           VALUE    
                              -----------   -------------
                                                         
Sprint Capital Corporation                               
  5.70%, 11/15/03             $   500,000   $     497,628
  6.00%, 01/15/07                 300,000         283,799
  6.13%, 11/15/08                 510,000         464,768
  7.63%, 01/30/11                 400,000         380,672
  8.38%, 03/15/12                 900,000         897,204
  6.90%, 05/01/19                 280,000         230,218
  6.88%, 11/15/28                 790,000         637,973
  8.75%, 03/15/32                 750,000         714,670
System Energy Rescouces,                                 
  Inc.                                                   
  7.43%, 01/15/11               1,297,341       1,354,783
Systems 2001 Asset Trust LLC                             
  6.66%, 09/15/13 144A          1,192,446       1,285,098
Target Corporation                                       
  5.88%, 03/01/12                 560,000         608,233
TCI Communications Financing                             
  III                                                    
  9.65%, 03/31/27               4,590,000       4,227,853
TCI Communications, Inc.                                 
  6.38%, 05/01/03               1,610,000       1,610,240
Teco Energy Inc.                                         
  10.50%, 12/01/07 144A@          400,000         392,442
Tennessee Gas Pipeline Co.                               
  8.38%, 06/15/32                  90,000          78,532
Tennessee Valley Authority                               
  6.75%, 11/01/25               1,420,000       1,670,032
  7.13%, 05/01/30               3,360,000       4,189,386
Terex Corporation                                        
  8.88%, 04/01/08                 316,000         286,375
  10.38%, 04/01/11                220,000         207,900
Time Warner Entertainment                                
  Co. LP                                                 
  7.25%, 09/01/08               1,050,000       1,140,574
Triton PCS, Inc.                                         
  8.75%, 11/15/11                 500,000         407,500
TXU Corporation                                          
  6.38%, 06/15/06                 235,000         215,219
Tyson Foods, Inc.                                        
  7.25%, 10/01/06 144A             50,000          55,609
  8.25%, 10/01/11 144A            700,000         828,952
Unilever Capital Corporation                             
  7.13%, 11/01/10                 760,000         898,686
Union Pacific Corporation                                
  6.65%, 01/15/11                 260,000         293,288
  6.63%, 02/01/29                 200,000         220,162
United Air Lines, Inc.                                   
  9.21%, 01/21/17                 700,000         170,086
  9.56%, 10/19/18                 300,000          74,760
United Television of Kansas                              
  6.89%, 07/01/08@                500,000         426,103
Ventas Realty LP/Ventas                                  
  Capital Corporation                                    
  8.75%, 05/01/09                  50,000          52,000
  9.00%, 05/01/12                  20,000          21,000

                                                                [Download Table]

                                    PAR           VALUE    
                                -----------   -------------
                                                           
  Verizon Global Funding                                   
    Corporation                                            
    5.75%, 04/01/03 CONV 144A   $ 1,860,000   $   1,885,112
    0.00%, 05/15/04 CONV          1,300,000         757,251
    4.25%, 09/15/05 CONV          1,650,000       1,737,797
    7.25%, 12/01/10               1,000,000       1,138,621
  Verizon Wireless Capital LLC                             
    5.38%, 12/15/06 144A            550,000         575,188
  Vintage Petroleum, Inc.                                  
    9.00%, 12/15/05                 250,000         252,500
    8.25%, 05/01/12                 250,000         261,250
  Wal-Mart Stores, Inc.                                    
    7.55%, 02/15/30               1,200,000       1,521,262
  Washington Mutual, Inc.                                  
    8.25%, 04/01/10               1,500,000       1,789,011
  Wells Fargo Bank NA                                      
    6.45%, 02/01/11               2,160,000       2,428,669
  Western Oil Sands, Inc.                                  
    8.38%, 05/01/12                 135,000         135,000
  Weyerhaeuser Co.                                         
    6.75%, 03/15/12 144A          1,240,000       1,354,359
    7.38%, 03/15/32               1,240,000       1,349,037
  Williams Cos., Inc.                                      
    7.50%, 01/15/31               1,020,000         642,600
    7.75%, 06/15/31                 200,000         126,000
    8.75%, 03/15/32 144A@         1,730,000       1,141,800
  WorldCom, Inc.-WorldCom                                  
    Group                                                  
    7.50%, 05/15/11#                700,000         168,000
    8.25%, 05/15/31#                800,000         192,000
  XTO Energy, Inc.                                         
    7.50%, 04/15/12                  83,000          88,603
                                              -------------
TOTAL CORPORATE BONDS                                      
  (Cost $190,731,128)                           191,315,213
                                              -------------
FOREIGN BONDS -- 14.7%                                     
ARGENTINA -- 0.0%                                          
  Republic of Argentina                                    
    0.00%, 10/15/04               1,080,000         243,000
                                              -------------
AUSTRALIA -- 0.0%                                          
  Cortecs International, Ltd.                              
    6.86%, 01/31/03++               300,000         299,982
                                              -------------
BAHAMAS -- 0.0%                                            
  Teekay Shipping Corporation                              
    8.88%, 07/15/11                 313,000         322,781
                                              -------------
BERMUDA -- 0.6%                                            
  Tyco International Group SA                              
    2.23%, 01/30/03++               110,000         106,733
    6.38%, 06/15/05               1,330,000       1,290,957
    5.80%, 08/01/06                 800,000         756,714
    6.13%, 11/01/08                  90,000          84,271
    6.75%, 02/15/11               1,000,000         946,726
    6.38%, 10/15/11               1,520,000       1,423,991
    6.88%, 01/15/29                 100,000          88,994
                                              -------------
                                                  4,698,386
                                              -------------

See Notes to Financial Statements.

                                                                              47

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MEDIUM-DURATION BOND FUND                                                       
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    PAR           VALUE    
                                -----------   -------------
                                                           
BRAZIL -- 1.1%                                             
  Federal Republic of Brazil                               
    8.00%, 04/15/03             $   997,442   $     656,442
    2.63%, 04/15/09++               240,000         158,400
    14.50%, 10/15/09                600,000         498,000
    12.00%, 04/15/10                520,000         378,300
    2.63%, 04/15/12++             1,020,000         555,900
    8.00%, 04/15/14               8,933,880       5,879,610
    11.00%, 08/17/40                755,000         471,875
                                              -------------
                                                  8,598,527
                                              -------------
BULGARIA -- 0.1%                                           
  Republic of Bulgaria                                     
    2.69%, 07/28/11++               649,900         603,595
    8.25%, 01/15/15 144A            260,000         284,050
                                              -------------
                                                    887,645
                                              -------------
CANADA -- 1.6%                                             
  Abitibi Consolidated, Inc.                               
    8.55%, 08/01/10                  32,000          35,576
  Alliance Atlantis                                        
    Communications, Inc.                                   
    13.00%, 12/15/09                 74,000          81,030
  Biovail Corporation                                      
    7.88%, 04/01/10                 110,000         110,550
  Burlington Resources                                     
    Finance Co.                                            
    7.40%, 12/01/31                 100,000         117,627
  Canadian Government                                      
    5.25%, 06/01/12(C)           11,900,000       7,807,638
  General Motors Nova Scotia                               
    Finance Co.                                            
    6.85%, 10/15/08               1,670,000       1,729,662
  Hydro Quebec                                             
    6.30%, 05/11/11                 860,000         981,058
  Province of Quebec                                       
    7.13%, 02/09/24                 830,000         981,088
    7.50%, 09/15/29                 702,000         878,908
  Tembec Industries, Inc.                                  
    8.50%, 02/01/11                  69,000          69,863
                                              -------------
                                                 12,793,000
                                              -------------
CAYMAN ISLANDS -- 0.7%                                     
  Alpine Partners LP                                       
    2.21%, 01/08/03 144A++        3,689,595       3,661,923
  G-Wing, Ltd.                                             
    4.09%, 11/06/11 144A++@       1,350,000       1,335,234
  PDVSA Finance, Ltd.                                      
    8.50%, 11/16/12                 730,000         578,525
  PRIME Capital Hurricane,                                 
    Ltd.                                                   
    8.26%, 01/07/04 144A++          290,000         290,000
                                              -------------
                                                  5,865,682
                                              -------------

                                                                [Download Table]

                                    PAR           VALUE    
                                -----------   -------------
                                                           
COLOMBIA -- 0.2%                                           
  Republic of Colombia                                     
    10.50%, 07/09/10            $   570,000   $     599,925
    11.75%, 02/25/20                865,000         927,713
                                              -------------
                                                  1,527,638
                                              -------------
DOMINICAN REPUBLIC -- 0.1%                                 
  Dominican Republic                                       
    9.50%, 09/27/06                 380,000         411,830
                                              -------------
FRANCE -- 0.6%                                             
  Compagnie Generale de                                    
    Geophysique SA                                         
    10.63%, 11/15/07                148,000         130,980
  France Telecom                                           
    10.00%, 03/01/31 STEP++       3,700,000       4,518,691
                                              -------------
                                                  4,649,671
                                              -------------
GERMANY -- 5.5%                                            
  Deutsche Bundesrepublik                                  
    5.38%, 01/04/10               3,800,000       4,342,024
    5.25%, 01/04/11(E)           12,500,000      14,150,497
    5.00%, 01/04/12(E)            6,000,000       6,692,030
    6.25%, 01/04/30               6,400,000       8,095,281
    5.50%, 01/04/31(E)            8,600,000       9,937,815
                                              -------------
                                                 43,217,647
                                              -------------
MALAYSIA -- 0.1%                                           
  Petroliam Nasional BHD                                   
    7.63%, 10/15/26 144A++           90,000          93,458
  Petronas Capital, Ltd.                                   
    7.88%, 05/22/22 144A            430,000         463,418
                                              -------------
                                                    556,876
                                              -------------
MEXICO -- 1.8%                                             
  United Mexican States                                    
    9.75%, 04/06/05                 750,000         859,875
    9.88%, 02/01/10                 200,000         246,020
    8.38%, 01/14/11               2,500,000       2,831,250
    7.50%, 01/14/12                 750,000         804,375
    11.38%, 09/15/16              1,370,000       1,839,225
    6.25%, 12/31/19               1,100,000       1,086,938
    11.50%, 05/15/26              4,605,000       6,297,338
                                              -------------
                                                 13,965,021
                                              -------------
NETHERLANDS -- 0.2%                                        
  Deutsche Telekom                                         
    International Finance BV                               
    8.25%, 06/15/30                 700,000         811,365
  Royal KPN NV                                             
    8.00%, 10/01/10                 500,000         586,578
                                              -------------
                                                  1,397,943
                                              -------------
NORWAY -- 0.0%                                             
  Petroleum Geo-Services ASA                               
    7.13%, 03/30/28                 905,000         239,825
                                              -------------

See Notes to Financial Statements.

48                                                                            

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                                                                [Download Table]

                                    PAR           VALUE    
                                -----------   -------------
                                                           
PANAMA -- 0.6%                                             
  Republic of Panama                                       
    2.75%, 01/17/03+            $   572,715   $     459,962
    8.25%, 04/22/08               2,300,000       2,406,374
    9.63%, 08/08/11                 623,000         682,185
    10.75%, 05/15/20                517,000         575,163
    9.38%, 01/16/23                 420,000         433,650
                                              -------------
                                                  4,557,334
                                              -------------
PERU -- 0.2%                                               
  Republic of Peru                                         
    4.00%, 03/07/03                 620,000         444,850
    4.50%, 03/07/03 144A            646,800         512,589
    4.50%, 03/07/17                 303,800         240,192
                                              -------------
                                                  1,197,631
                                              -------------
PHILIPPINES -- 0.1%                                        
  Republic of Philippines                                  
    9.88%, 01/15/19                 895,000         888,288
    10.63%, 03/16/25                 50,000          51,625
                                              -------------
                                                    939,913
                                              -------------
POLAND -- 0.1%                                             
  Republic of Poland                                       
    8.50%, 05/12/07(P)            2,920,000         845,763
                                              -------------
RUSSIA -- 0.3%                                             
  Russian Federation                                       
    12.75%, 06/24/08                360,000         477,900
    8.25%, 03/31/10                 430,000         456,338
    5.00%, 03/31/30               2,070,000       1,645,650
                                              -------------
                                                  2,579,888
                                              -------------
SINGAPORE -- 0.0%                                          
  Flextronics International,                               
    Ltd.                                                   
    9.88%, 07/01/10                 149,000         161,293
                                              -------------
SOUTH KOREA -- 0.0%                                        
  Korea Asset Funding, Ltd.                                
    3.71%, 02/10/03 144A+           255,246         254,302
                                              -------------
UKRAINE -- 0.0%                                            
  Ukraine Government                                       
    11.00%, 03/15/07                210,000         217,715
                                              -------------
UNITED KINGDOM -- 0.8%                                     
  Avecia Group PLC                                         
    11.00%, 07/01/09                 96,000          75,360
  BP Capital Markets PLC                                   
    4.63%, 05/27/05               1,670,000       1,773,398
  British Sky Broadcasting                                 
    Group PLC                                              
    7.30%, 10/15/06                 197,000         205,082
    6.88%, 02/23/09                 124,000         126,980
  British Telecommunications                               
    PLC                                                    
    8.38%, 12/15/10               2,020,000       2,426,133
    8.88%, 12/15/30                 870,000       1,113,162

                                                                [Download Table]

                                    PAR           VALUE    
                                -----------   -------------
                                                           
  Telewest Communications PLC                              
    9.88%, 02/01/10             $   145,000   $      26,825
  XL Capital Europe PLC                                    
    6.50%, 01/15/12                 400,000         433,863
                                              -------------
                                                  6,180,803
                                              -------------
VENEZUELA -- 0.0%                                          
  Petrozuata Finance, Inc.                                 
    8.22%, 04/01/17 144A            140,000          85,400
                                              -------------
TOTAL FOREIGN BONDS                                        
  (Cost $111,211,696)                           116,695,496
                                              -------------
MUNICIPAL BONDS -- 1.5%                                    
  Florida Board of Education,                              
    Series A General                                       
    Obligation Bond (Callable                              
    06/01/12 @ 100)                                        
    5.00%, 06/01/32               1,200,000       1,218,432
  Las Vegas Valley Water                                   
    District, Series A General                             
    Obligation Bond (FGIC                                  
    Insured) (Callable                                     
    12/01/12 @ 100)                                        
    5.00%, 06/01/32               1,000,000       1,012,420
  Massachusetts State Special                              
    Obligation, Series A                                   
    Revenue Bond (FGIC                                     
    Insured) (Callable                                     
    06/01/12 @ $100)                                       
    5.00%, 06/01/21               2,945,000       3,027,166
  Massachusetts Water                                      
    Resources Authority,                                   
    Series J                                               
    Revenue Bond (FSA Insured)                             
    (Callable 08/01/12 @ 100)                              
    5.00%, 08/01/32               1,250,000       1,263,225
  Minnesota State, General                                 
    Obligation Bond (Callable                              
    10/01/11 @ $100)                                       
    5.00%, 10/01/20                 200,000         207,584
  New York State, Urban                                    
    Development Corporation,                               
    Series A Revenue Bond                                  
    (Callable 03/15/12 @ $100)                             
    5.13%, 03/15/22               1,500,000       1,541,400
  South Carolina,                                          
    Transportation                                         
    Infrastructure Bank,                                   
    Series A Revenue Bond                                  
    (AMBAC Insured) (Callable                              
    10/01/11 @ $100)                                       
    5.00%, 10/01/23               2,700,000       2,768,958

See Notes to Financial Statements.

                                                                              49

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MEDIUM-DURATION BOND FUND                                                       
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    PAR           VALUE    
                                -----------   -------------
                                                           
  Virginia State Housing                                   
    Development Authority,                                 
    Commonwealth Mortgage,                                 
    Series H Revenue Bond                                  
    (MBIA Insured) (Callable                               
    07/01/11 @ $100)                                       
    5.38%, 07/01/36             $ 1,000,000   $   1,018,050
                                              -------------
TOTAL MUNICIPAL BONDS                                      
  (Cost $11,668,796)                             12,057,235
                                              -------------

                                 NUMBER OF                 
                                 CONTRACTS                 
                                -----------                
                                                           
OPTIONS -- 0.0%                                            
PUT OPTIONS                                                
  90-Day Eurodollar Futures,                               
    Strike Price 102.50,                                   
    Expires 02/21/03                    190           1,994
  90-Day Eurodollar Futures,                               
    Strike Price 94.00,                                    
    Expires 03/03/03                    180           1,800
  90-Day Eurodollar Futures,                               
    Strike Price 98.00,                                    
    Expires 03/03/03                    110           1,154
  Government National Mortgage                             
    Association TBA                                        
    Eurodollar, Strike Price                               
    95.75, Expires 03/13/03           3,200             210
  U.S. Treasury Note Futures,                              
    Strike Price 103.00,                                   
    Expires 02/22/03                     26             406
  U.S. Treasury Note Futures,                              
    Strike Price 114.00,                                   
    Expires 02/22/03                    150         145,312
                                              -------------
TOTAL OPTIONS                                              
  (Cost $151,356)                                   150,876
                                              -------------

                                                                [Download Table]

                                SHARES                    
                              -----------                 
                                                          
RIGHTS -- 0.0%                                            
  United Mexican States                                   
    Recovery Rights Series B    1,100,000            4,125
  United Mexican States                                   
    Recovery Rights Series C    1,100,000              605
  United Mexican States                                   
    Recovery Rights Series D    1,100,000              605
  United Mexican States                                   
    Recovery Rights Series E    1,100,000              605
                                             -------------
TOTAL RIGHTS                                              
  (Cost $0)                                          5,940
                                             -------------
SHORT-TERM INVESTMENTS -- 9.5%                            
MUTUAL FUNDS -- 9.4%                                      
  AB Funds Trust -- Money                                 
    Market Fund                74,613,354       74,613,354
                                             -------------

                                                                [Download Table]

                                  PAR            VALUE    
                              -----------    -------------
                                                          
REPURCHASE AGREEMENT -- 0.1%                              
  Credit Suisse First Boston                              
    Corporation, 1.13% dated                              
    12/31/02, maturing                                    
    01/02/03 to be                                        
    repurchased at                                        
    $1,000,063                                            
    (Collateralized by                                    
    $847,000 U.S. Treasury                                
    Note 6.25%, 05/15/30                                  
    with a market value of                                
    $1,021,880)               $ 1,000,000    $   1,000,000
                                             -------------
TOTAL SHORT-TERM INVESTMENTS                              
  (Cost $75,613,354)                            75,613,354
                                             -------------
U.S. TREASURY OBLIGATIONS -- 17.7%                        
  U.S. Treasury Bills                                     
    1.19%, 02/13/03++++         1,330,000        1,328,249
    1.20%, 02/13/03               750,000          749,012
    1.21%, 02/13/03             3,000,000        2,995,580
    1.12%, 02/20/03             1,000,000          998,451
    1.14%, 02/20/03++++            65,000           64,897
    1.16%, 02/20/03++++         1,310,000        1,307,922
    1.17%, 02/20/03               550,000          549,172
                                             -------------
                                                 7,993,283
                                             -------------
  U.S. Treasury Bonds                                     
    2.00%, 11/30/04             4,600,000        4,639,532
    6.50%, 02/15/10             5,100,000        6,097,693
    10.63%, 08/15/15           10,200,000       16,472,602
    7.50%, 11/15/16            21,500,000       28,123,010
    8.75%, 05/15/17             2,500,000        3,615,235
    8.88%, 08/15/17            13,100,000       19,150,051
    9.00%, 11/15/18               700,000        1,042,399
    5.50%, 08/15/28               800,000          864,626
                                             -------------
                                                80,005,148
                                             -------------
  U.S. Treasury Inflationary                              
    Index Bonds                                           
    3.38%, 01/15/07++++           850,000        1,053,614
    3.63%, 01/15/08             4,000,000        4,926,287
    4.25%, 01/15/10             4,050,000        4,978,415
    3.63%, 04/15/28             4,100,000        5,378,969
    3.88%, 04/15/29            15,488,000       20,890,816
                                             -------------
                                                37,228,101
                                             -------------
  U.S. Treasury STRIPS                                    
    4.70%, 02/15/14             4,000,000        2,427,816
    5.93%, 05/15/16             1,000,000          527,552
    6.23%, 05/15/21             9,500,000        3,646,699
    5.55%, 11/15/21             4,000,000        1,490,468
    6.03%, 11/15/24             7,700,000        2,431,637
    5.28%, 08/15/25               600,000          180,140
    5.49%, 08/15/25             4,790,000        1,454,043

See Notes to Financial Statements.

50                                                                            

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                                                                [Download Table]

                                  PAR            VALUE    
                              -----------    -------------
                                                          
    5.24%, 11/15/26           $ 2,800,000    $     849,962
    5.85%, 11/15/27             8,480,000        2,303,024
                                             -------------
                                                15,311,341
                                             -------------
TOTAL U.S. TREASURY OBLIGATIONS                           
  (Cost $135,662,405)                          140,537,873
                                             -------------
TOTAL INVESTMENTS -- 120.7%                               
  (Cost $940,002,051)                          959,143,259
                                             -------------

                                                                [Download Table]

                              NUMBER OF                    
                              CONTRACTS                    
                             -----------                   
                                                           
WRITTEN OPTIONS -- (0.3)%                                  
CALL SWAPTIONS -- (0.2)%                                   
  3-Month LIBOR, Strike                                    
    Price 3.00, Expires                                    
    11/12/03                         840           (66,007)
  3-Month LIBOR, Strike                                    
    Price 3.25, Expires                                    
    05/30/03                         550           (62,276)
  3-Month LIBOR, Strike                                    
    Price 5.50, Expires                                    
    01/07/05                         900          (604,494)
  3-Month LIBOR, Strike                                    
    Price 5.97, Expires                                    
    10/04/04                         890          (816,611)
  3-Month LIBOR, Strike                                    
    Price 6.00, Expires                                    
    10/19/04                         260          (240,217)
                                            -------------- 
                                                (1,789,605)
                                            -------------- 
PUT SWAPTIONS -- (0.1)%                                    
  3-Month LIBOR, Strike                                    
    Price 5.97, Expires                                    
    10/04/04                         890          (164,650)
  3-Month LIBOR, Strike                                    
    Price 6.00, Expires                                    
    10/19/04                         260           (48,492)
  3-Month LIBOR, Strike                                    
    Price 7.00, Expires                                    
    01/07/05                         900          (103,014)
                                            -------------- 
                                                  (316,156)
                                            -------------- 
TOTAL WRITTEN OPTIONS                                      
  (Cost $(1,553,865))                           (2,105,761)
                                            -------------- 
LIABILITIES IN EXCESS OF                                   
  OTHER                                                    
  ASSETS -- (20.4%)                           (162,604,434)
                                            -------------- 
NET ASSETS -- 100.0%                        $  794,433,064 
                                            ============== 

Swap agreements outstanding at December 31, 2002:                               

                                                                [Download Table]

                                                         UNREALIZED    
                       EXPIRATION                       APPRECIATION/  
     DESCRIPTION          DATE       NOTIONAL VALUE    (DEPRECIATION)  
     -----------       ----------    --------------    --------------- 
                                                                       
BRITISH POUNDS                                                         
  Receive fixed rate                                                   
    payments of 5.25%                                                  
    and pay variable                                                   
    rate payments on                                                   
    the six month                                                      
    LIBOR floating                                                     
    rate(a)             03/15/04          6,700,000    $       166,370 
  Receive fixed rate                                                   
    payments of 5.25%                                                  
    and pay variable                                                   
    rate payments on                                                   
    the six month                                                      
    LIBOR floating                                                     
    rate(b)             03/15/04         15,000,000            368,413 
                                                       --------------- 
                                                               534,783 
                                                       --------------- 
EURODOLLARS                                                            
  Receive fixed rate                                                   
    payments of 4.50%                                                  
    and pay variable                                                   
    rate payments on                                                   
    the six month                                                      
    LIBOR floating                                                     
    rate(i)             06/18/07         13,700,000            456,240 
  Receive variable                                                     
    rate payments on                                                   
    the six month                                                      
    LIBOR floating                                                     
    rate and pay                                                       
    fixed rate                                                         
    payments of                                                        
    5.00%(c)            06/18/12         10,900,000           (595,230)
  Receive variable                                                     
    rate payments on                                                   
    the six month                                                      
    LIBOR floating                                                     
    rate and pay                                                       
    fixed rate                                                         
    payments of                                                        
    5.00%(h)            06/18/12         22,200,000         (1,212,303)
  Receive variable                                                     
    rate payments on                                                   
    the six month                                                      
    LIBOR floating                                                     
    rate and pay                                                       
    fixed rate                                                         
    payments of                                                        
    5.50%(e)            12/15/31          7,000,000           (688,071)
                                                       --------------- 
                                                            (2,039,364)
                                                       --------------- 
JAPANESE YEN                                                           
  Receive variable                                                     
    rate payments on                                                   
    the six month                                                      
    LIBOR floating                                                     
    rate and pay                                                       
    fixed rate                                                         
    payments of                                                        
    0.20%(h)            03/17/03      3,010,000,000             (5,986)
  Receive variable                                                     
    rate payments on                                                   
    the six month                                                      
    LIBOR floating                                                     
    rate and pay                                                       
    fixed rate                                                         
    payments of                                                        
    0.238%(d)           05/17/04      2,660,000,000            (38,330)
                                                       --------------- 
                                                               (44,316)
                                                       --------------- 

See Notes to Financial Statements.

                                                                              51

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MEDIUM-DURATION BOND FUND                                                       
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                                         UNREALIZED    
                       EXPIRATION                       APPRECIATION/  
     DESCRIPTION          DATE       NOTIONAL VALUE    (DEPRECIATION)  
     -----------       ----------    --------------    --------------- 
                                                                       
U.S. DOLLARS                                                           
  Receive fixed rate                                                   
    payments of .30%                                                   
    and pay floating                                                   
    par in event of                                                    
    default on                                                         
    General Electric                                                   
    Capital Corp.,                                                     
    5.875%, due                                                        
    02/15/12(d)         06/17/03     $    3,250,000    $           790 
  Receive fixed rate                                                   
    payments of 1.40%                                                  
    and pay floating                                                   
    par in event of                                                    
    default on                                                         
    Republic of Peru,                                                  
    9.125% due                                                         
    02/21/12(a)         12/13/03            500,000               (415)
  Receive fixed rate                                                   
    payments of 4.00%                                                  
    and pay variable                                                   
    rate payments on                                                   
    the three month                                                    
    LIBOR floating                                                     
    rate(i)             06/20/05          8,800,000            287,506 
  Receive fixed rate                                                   
    payments of 6.00%                                                  
    and pay variable                                                   
    rate payments on                                                   
    the three month                                                    
    LIBOR floating                                                     
    rate(d)             06/17/05         20,000,000          1,853,080 
  Receive variable                                                     
    rate payments on                                                   
    the thee month                                                     
    LIBOR floating                                                     
    rate and pay                                                       
    fixed rate                                                         
    payments of                                                        
    5.00%(a)            06/18/08          6,300,000           (437,957)
  Receive variable                                                     
    rate payments on                                                   
    the thee month                                                     
    LIBOR floating                                                     
    rate and pay                                                       
    fixed rate                                                         
    payments of                                                        
    5.00%(f)            06/18/08         10,900,000           (757,735)

                                                                [Download Table]

                                                       UNREALIZED    
                     EXPIRATION                       APPRECIATION/  
   DESCRIPTION          DATE       NOTIONAL VALUE    (DEPRECIATION)  
   -----------       ----------    --------------    --------------- 
                                                                     
Receive variable                                                     
  rate payments on                                                   
  the thee month                                                     
  LIBOR floating                                                     
  rate and pay                                                       
  fixed rate                                                         
  payments of                                                        
  5.00%(f)            06/18/13            500,000    $       (22,588)
Receive variable                                                     
  rate payments on                                                   
  the thee month                                                     
  LIBOR floating                                                     
  rate and pay                                                       
  fixed rate                                                         
  payments of                                                        
  5.00%(b)            06/18/13         10,600,000           (478,866)
Receive variable                                                     
  rate payments on                                                   
  the thee month                                                     
  LIBOR floating                                                     
  rate and pay                                                       
  fixed rate                                                         
  payments of                                                        
  5.00%(a)            06/18/13         32,600,000         (1,472,738)
Receive variable                                                     
  rate payments on                                                   
  the thee month                                                     
  LIBOR floating                                                     
  rate and pay                                                       
  fixed rate                                                         
  payments of                                                        
  6.00%(i)            06/18/23         17,300,000         (1,895,803)
                                                     --------------- 
                                                          (2,924,726)
                                                     --------------- 
                                                     $    (4,473,623)
                                                     =============== 

See Notes to Financial Statements.

52                                                                            

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EXTENDED-DURATION BOND FUND                                                     

While both sectors posted positive absolute returns for the fourth quarter,     
longer-duration corporate bonds materially outpaced longer-duration Treasury    
bonds by 4.52%. During most of 2002, longer-duration Treasuries had been the    
beneficiary of a lower interest rate and flattening yield curve environment.    
However, this trend reversed as the yield curve steepened during the fourth     
quarter reflecting a decline in short-term yields while long-term yields        
increased. Due to this shift in the yield curve, short-duration Treasuries      
actually outperformed their longer-duration Treasury counterparts during the    
quarter. Interest income earned from the long-duration Treasury securities was  
enough to barely offset price decline. Long-term Treasuries, as measured by the 
Lehman Brothers Long-Term Government Index, posted a modest quarterly return of 
0.07%. Contrarily, longer-duration corporate bonds, as measured by the Lehman   
Brothers Long-Term Credit Index, produced an impressive quarterly return of     
4.59%. Corporate spreads materially narrowed pushing the sector's prices higher 
reflecting prospects for an economic recovery, improving liquidity and increased
focus by investors on valuations. Although counterintuitive, long-term          
Treasuries were by far the best performing segment of the publicly traded       
capital markets during 2002, posting an annual return of 16.99% compared to     
11.92% for long-term corporates.                                                

The Fund, primarily comprised of fixed income securities with longer maturities,
produced positive returns and outpaced its composite benchmark index during the 
quarter. The Fund, which is the most volatile of the fixed income options,      
compensated investors for the risk taken as it produced the highest absolute    
return of all the Fixed Income Select Funds during the final three months of the
year. Contrary to previous quarters, the Fund's relative performance versus the 
composite benchmark was positively impacted by a material overweight position to
the corporate sector. At the end of the fourth quarter, the Fund maintained an  
approximate 70% allocation to corporates reflecting the sub-advisers' efforts to
take advantage of the sector's inexpensive valuations, higher yields and        
improving fundamentals. Corporate spreads materially narrowed, especially during
November, pushing corporate bond prices higher. The fund's two sub-advisers     
outpaced the composite benchmark for the fourth quarter. At period end, the fund
maintained an average credit quality of A.                                      

                                                                              53

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EXTENDED-DURATION BOND FUND                                                     

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                       RETIREMENT CLASS*  INSTITUTIONAL CLASS*  RETAIL CLASS*  BENCHMARK INDEX**
                                       -----------------  --------------------  -------------  -----------------
                                                                                                                
One Year                                    10.03%               10.27%             9.93%           14.49%      
Since Inception (8/27/01 -- 12/31/02)        9.32%               9.21%              8.79%           11.08%      

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

          RETIREMENT CLASS  BENCHMARK INDEX*
          ----------------  ----------------
                                            
8/31/01       10097.00           9986.00    
9/30/01        9943.00           9903.00    
10/31/01      10364.00          10386.00    
11/30/01      10281.00          10076.00    
12/31/01      10248.00           9939.00    
1/31/02       10349.00          10077.00    
2/28/02       10439.00          10173.00    
3/31/02       10143.00           9826.00    
4/30/02       10251.00          10082.00    
5/31/02       10390.00          10159.00    
6/30/02       10290.00          10223.00    
7/31/02       10295.00          10315.00    
8/31/02       10680.00          10793.00    
9/30/02       10896.00          11121.00    
10/31/02      10574.00          10831.00    
11/30/02      10777.00          10930.00    
12/31/02      11276.00          11380.00    

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the weighted composite benchmark   
index.                                                                          

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**Represents a weighted composite benchmark index consisting of the Lehman      
Brothers Long-Term Government Bond Index and the Lehman Brothers Long-Term      
Credit Bond Index.                                                              

The Lehman Brothers Long-Term Government Index is composed of all bonds covered 
by the Lehman Brothers Government Bond Index with maturities of 10 years or     
greater.                                                                        

The Lehman Brothers Long-Term Credit Index is composed of a subset of the Lehman
Brothers Credit Bond Index covering all corporate, publicly issued, fixed-rate, 
nonconvertible U.S. debt issues rated at least Baa with at least $50 million    
principal outstanding and maturity greater than 10 years.                       

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

54                                                                            

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EXTENDED-DURATION BOND FUND                                                     
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

DECEMBER 31, 2002                    PAR            VALUE    
-----------------               --------------   ------------
                                                             
AGENCY OBLIGATIONS -- 6.4%                                   
  Federal Home Loan Mortgage                                 
    Corporation                                              
    5.25%, 01/15/06              $ 3,500,000     $  3,804,924
    4.63%, 02/15/07(E)             2,250,000        2,464,113
    6.25%, 07/15/32                3,000,000        3,410,682
                                                 ------------
                                                    9,679,719
                                                 ------------
  Federal National Mortgage                                  
    Association                                              
    5.25%, 04/15/07                2,000,000        2,191,686
    0.00%, 10/29/07(N)             4,815,000        1,893,089
    3.25%, 11/15/07                2,600,000        2,622,651
    5.50%, 03/15/11                5,000,000        5,489,150
    6.63%, 11/15/30                4,990,000        5,874,238
                                                 ------------
                                                   18,070,814
                                                 ------------
TOTAL AGENCY OBLIGATIONS                                     
  (Cost $26,262,993)                               27,750,533
                                                 ------------
ASSET-BACKED SECURITIES -- 5.3%                              
  Community Program Loan Trust                               
    4.50%, 04/01/29                1,000,000          962,568
  Consumer Funding LLC                                       
    5.43%, 04/20/15                2,550,000        2,735,966
  Detroit Edison                                             
    Securitization                                           
    6.42%, 03/01/15                1,500,000        1,699,379
  PP&L Transition Bond Co. LLC                               
    7.15%, 06/25/09                7,000,000        8,169,191
  PSE&G Transition Funding LLC                               
    6.45%, 03/15/13                8,325,000        9,507,229
                                                 ------------
TOTAL ASSET-BACKED SECURITIES                                
  (Cost $20,776,007)                               23,074,333
                                                 ------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.6%                  
  Federal Home Loan Mortgage                                 
    Corporation                                              
    5.00%, 12/01/31                  486,822          484,693
  Federal National Mortgage                                  
    Association                                              
    5.00%, 07/25/23                2,000,000        2,075,911
                                                 ------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS                    
  (Cost $2,199,537)                                 2,560,604
                                                 ------------
CORPORATE BONDS -- 58.6%                                     
  AIG SunAmerica Global                                      
    Finance IX                                               
    6.90%, 03/15/32 144A          12,000,000       14,006,519
  American Airlines, Inc.                                    
    8.61%, 10/01/11                1,000,000          807,761
  Analog Devices, Inc.                                       
    4.75%, 10/01/05 CONV           3,300,000        3,295,875
    4.75%, 10/01/05 CONV 144A        250,000          249,688

                                                                [Download Table]

                                   PAR            VALUE    
                              --------------   ------------
                                                           
AT&T Corporation                                           
  6.50%, 03/15/13              $ 3,500,000     $  3,518,725
Atlas Air, Inc.                                            
  7.20%, 01/02/19                  473,790          319,491
Bank One Corporation                                       
  7.75%, 07/15/25                2,000,000        2,447,760
  8.00%, 04/29/27                7,720,000        9,721,841
Bausch & Lomb, Inc.                                        
  7.13%, 08/01/28                1,500,000        1,250,504
BellSouth Capital Funding                                  
  7.88%, 02/15/30                9,000,000       11,093,102
BellSouth Corporation                                      
  6.88%, 10/15/31                2,250,000        2,532,080
Borden, Inc.                                               
  7.88%, 02/15/23                1,200,000          726,000
Chesapeake Energy                                          
  Corporation                                              
  8.13%, 04/01/11                  150,000          155,250
  9.00%, 08/15/12                  700,000          745,500
CIT Group, Inc.                                            
  6.50%, 02/07/06                  600,000          632,311
  7.75%, 04/02/12                4,455,000        5,012,071
Citigroup, Inc.                                            
  6.63%, 01/15/28                2,000,000        2,178,668
Commonwealth Edison Co.                                    
  4.75%, 12/01/11                  672,000          656,221
Constellation Energy Group,                                
  Inc.                                                     
  6.13%, 09/01/09                  500,000          511,980
  7.00%, 04/01/12                  250,000          263,199
Continental Airlines, Inc.                                 
  6.70%, 06/15/21                  465,578          404,330
COX Communications, Inc.                                   
  6.75%, 03/15/11                  250,000          269,422
Dana Corporation                                           
  6.50%, 03/01/09                  250,000          218,750
Delphi Auto Systems                                        
  Corporation                                              
  7.13%, 05/01/29                2,500,000        2,430,305
Delta Air Lines, Inc.                                      
  8.30%, 12/15/29                  500,000          295,633
Devon Energy Corporation                                   
  4.95%, 08/15/08 CONV             963,000          973,834
Dresdner Funding Trust I                                   
  8.15%, 06/30/31 144A           9,250,000        9,445,692
Duke Energy Corporation                                    
  6.45%, 10/15/32                2,660,000        2,595,096
Edison Mission Energy                                      
  7.73%, 06/15/09                  925,000          430,125
El Paso CGP Co.                                            
  6.38%, 02/01/09                  250,000          184,007
  6.95%, 06/02/28                  750,000          481,286
El Paso Corporation                                        
  6.75%, 05/15/09                  500,000          345,486
  7.00%, 05/15/11                  400,000          272,459
EOP Operating LP                                           
  7.25%, 06/15/28                  500,000          507,853

See Notes to Financial Statements.

                                                                              55

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EXTENDED-DURATION BOND FUND                                                     
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                   PAR            VALUE    
                              --------------   ------------
                                                           
Federal Realty Investment                                  
  Trust                                                    
  5.25%, 10/28/03 CONV         $   500,000     $    480,841
First Industrial LP                                        
  7.60%, 07/15/28                1,000,000        1,058,477
Foot Locker, Inc.                                          
  8.50%, 01/15/22                1,000,000        1,011,750
Ford Motor Co.                                             
  6.63%, 02/15/28                6,600,000        5,286,309
  6.63%, 10/01/28                1,500,000        1,199,231
  6.38%, 02/01/29                1,500,000        1,159,422
  9.98%, 02/15/47                5,000,000        4,852,435
Ford Motor Credit Co.                                      
  5.80%, 01/12/09                  500,000          464,321
General Electric Capital                                   
  Corporation                                              
  6.75%, 03/15/32               10,000,000       11,093,099
General Motors Acceptance                                  
  Corporation                                              
  6.88%, 08/28/12                  250,000          246,866
  8.00%, 11/01/31                9,000,000        9,074,492
Georgia-Pacific Corporation                                
  7.75%, 11/15/29                2,950,000        2,419,000
GTE Corporation                                            
  6.94%, 04/15/28                2,800,000        2,948,649
HCA, Inc.                                                  
  6.30%, 10/01/12                1,500,000        1,515,543
  7.58%, 09/15/25                1,000,000          974,608
  7.05%, 12/01/27                  500,000          460,813
Highwoods Properties, Inc.                                 
  7.50%, 04/15/18                1,500,000        1,439,646
Household Finance                                          
  Corporation                                              
  6.75%, 05/15/11                4,000,000        4,271,592
  7.63%, 05/17/32                3,750,000        4,210,894
  7.35%, 11/27/32                5,000,000        5,406,645
HVB Funding Trust III                                      
  9.00%, 10/22/31 144A           8,300,000        7,336,975
IMC Global Inc.                                            
  7.38%, 08/01/18                  500,000          398,495
Intelsat, Ltd.                                             
  7.63%, 04/15/12                2,900,000        2,980,887
International Paper Co.                                    
  6.88%, 11/01/23                  300,000          316,764
Kinder Morgan, Inc.                                        
  7.25%, 03/01/28                  500,000          512,530
May Department Stores Co.                                  
  (The)                                                    
  8.75%, 05/15/29                4,750,000        5,968,717
  7.88%, 03/01/30                2,225,000        2,607,184
Midamerican Energy Holdings                                
  Co.                                                      
  5.88%, 10/01/12 144A           1,000,000        1,015,598
Missouri Pacific Railroad                                  
  4.25%, 01/01/05                   90,000           92,736

                                                                [Download Table]

                                   PAR            VALUE    
                              --------------   ------------
                                                           
Motorola, Inc.                                             
  6.75%, 02/01/06              $   250,000     $    258,966
  5.80%, 10/15/08                  500,000          483,827
  7.63%, 11/15/10                  500,000          512,780
  6.50%, 11/15/28                  500,000          426,455
Murphy Oil Corporation                                     
  7.05%, 05/01/29                3,100,000        3,390,169
National Rural Utilities                                   
  Cooperative Finance                                      
  Corporation                                              
  8.00%, 03/01/32                9,650,000       11,684,123
Nextel Communications, Inc.                                
  9.38%, 11/15/09                1,000,000          910,000
Oasis Residential, Inc.                                    
  7.25%, 11/15/06                2,000,000        2,215,850
Pemex Master Trust Series                                  
  8.63%, 02/01/22 144A           1,000,000        1,057,500
Penney (JC) Co., Inc.                                      
  7.60%, 04/01/07                  250,000          254,375
  7.95%, 04/01/17                  500,000          452,500
  7.13%, 11/15/23                  500,000          422,500
Phillips Van-Huesen                                        
  Corporation                                              
  7.75%, 11/15/23                  450,000          398,250
Pioneer Natural Resources                                  
  Co.                                                      
  7.20%, 01/15/28                2,500,000        2,416,310
Pioneer Standard                                           
  Electronics, Inc.                                        
  9.50%, 08/01/06                  500,000          448,252
Principal Life Global                                      
  Funding I                                                
  6.25%, 02/15/12 144A           5,000,000        5,309,190
Prologis Trust                                             
  7.63%, 07/01/17                1,000,000        1,104,939
Pulte Homes, Inc.                                          
  7.30%, 10/24/05                1,000,000        1,069,705
  7.63%, 10/15/17                1,000,000        1,055,548
  7.88%, 06/15/32                1,500,000        1,545,429
Raytheon Co.                                               
  6.40%, 12/15/18                2,600,000        2,583,727
  7.20%, 08/15/27                  250,000          274,100
  7.00%, 11/01/28                  750,000          804,902
SBC Communications, Inc.                                   
  5.88%, 08/15/12                3,450,000        3,733,714
Sears Roebuck Acceptance                                   
  Corporation                                              
  6.75%, 08/15/11                3,300,000        3,151,332
  6.75%, 01/15/28                  500,000          419,020
  6.50%, 12/01/28                1,500,000        1,206,885
Solutia, Inc.                                              
  7.38%, 10/15/27                  250,000          151,563
Southern California Edison                                 
  7.25%, 03/01/26                  500,000          467,500
Southern Natural Gas Co.                                   
  7.35%, 02/15/31                1,500,000        1,264,004
Sprint Capital Corporation                                 
  6.88%, 11/15/28                3,450,000        2,786,085

See Notes to Financial Statements.

56                                                                            

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                                                                [Download Table]

                                     PAR            VALUE    
                                --------------   ------------
                                                             
  Susa Partnership LP                                        
    7.50%, 12/01/27              $   325,000     $    375,250
  Swift Energy Co.                                           
    9.38%, 05/01/12                  250,000          243,750
  Tennessee Gas Pipeline Co.                                 
    7.00%, 10/15/28                  750,000          579,259
  Transocean, Inc.                                           
    7.38%, 04/15/18                1,000,000        1,102,089
  Trinet Corporate Realty                                    
    Trust, Inc.                                              
    7.70%, 07/15/17                1,000,000          929,502
  TRW, Inc.                                                  
    6.65%, 01/15/28                2,000,000        2,083,660
    7.75%, 06/01/29                  500,000          591,566
  Union Pacific Resources                                    
    Group                                                    
    7.15%, 05/15/28                  250,000          277,898
  UnumProvident Corporation                                  
    6.75%, 12/15/28                1,500,000        1,179,731
  Verizon Global Funding                                     
    Corporation                                              
    7.75%, 12/01/30                9,500,000       11,104,692
  Wachovia Bank NA                                           
    6.50%, 12/01/28               10,075,000       10,739,173
  Weyerhaeuser Co.                                           
    7.13%, 07/15/23                  500,000          536,884
    7.38%, 03/15/32 144A             250,000          271,984
  Wisconsin Electric Power                                   
    6.88%, 12/01/49                6,295,000        6,692,599
  WorldCom, Inc.-WorldCom                                    
    Group                                                    
    8.25%, 05/15/31#              12,000,000        2,880,000
  Xerox Corporation                                          
    0.57%, 04/21/18 CONV           2,750,000        1,746,250
  Yellow Corp.                                               
    7.00%, 05/01/11 CONV             250,000          208,125
                                                 ------------
TOTAL CORPORATE BONDS                                        
  (Cost $246,583,634)                             253,585,255
                                                 ------------
FOREIGN BONDS -- 23.9%                                       
BRAZIL -- 0.5%                                               
  Federal Republic of Brazil                                 
    8.00%, 04/15/14                3,447,948        2,269,181
                                                 ------------
CANADA -- 7.5%                                               
  British Columbia Generic                                   
    Residual                                                 
    0.00%, 08/23/13 STRIP(C)       2,500,000          864,836
    0.00%, 06/09/14 STRIP(C)      11,500,000        3,934,567
    0.00%, 09/05/20 STRIP(C)       1,750,000          392,143
  Canada Generic Residual                                    
    0.00%, 06/01/22 STRIP(C)      18,900,000        4,115,510
    0.00%, 06/01/25 STRIP(C)       4,110,000          770,082
  Canada Government                                          
    3.50%, 06/01/04(C)               525,000          335,648
    6.00%, 09/01/05(C)             3,000,000        2,029,004
  Hydro Quebec                                               
    8.50%, 12/01/29                  908,000        1,270,417

                                                                [Download Table]

                                     PAR            VALUE    
                                --------------   ------------
                                                             
  Macmillan Bloedel, Ltd.                                    
    7.70%, 02/15/26              $   500,000     $    539,265
  Ontario Residual                                           
    0.00%, 07/13/22 STRIP(C)       3,900,000          783,812
    0.00%, 03/08/29 STRIP(C)       7,000,000          950,449
  Province of Quebec                                         
    7.50%, 09/15/29                9,790,000       12,257,138
  Rogers Cablevision Ltd.                                    
    9.65%, 01/15/14(C)             2,370,000        1,443,951
  Saskatchewan Generic                                       
    Residual                                                 
    0.00%, 04/10/14 STRIP(C)       7,500,000        2,573,143
    0.00%, 02/04/22 STRIP(C)       3,000,000          587,037
                                                 ------------
                                                   32,847,002
                                                 ------------
COLOMBIA -- 0.1%                                             
  Transgas de Occidente SA                                   
    9.79%, 11/01/10 144A             428,200          382,169
                                                 ------------
FRANCE -- 2.3%                                               
  France Telecom                                             
    9.00%, 03/01/31                8,000,000        9,770,143
                                                 ------------
GERMANY -- 1.9%                                              
  Landesbank Rheinland-Pfalz                                 
    Girozentrale                                             
    6.88%, 02/23/28 144A           7,100,000        8,126,873
                                                 ------------
HONG KONG -- 1.0%                                            
  Bangkok Bank Public Co.                                    
    9.03%, 03/15/29 144A           4,000,000        4,138,652
                                                 ------------
MALAYSIA -- 0.4%                                             
  Telekom Malaysia BHD                                       
    7.88%, 08/01/25 144A             225,000          232,351
  Tenaga Nasional BHD                                        
    7.50%, 11/01/25 144A           1,500,000        1,441,344
                                                 ------------
                                                    1,673,695
                                                 ------------
MEXICO -- 0.3%                                               
  Petro Mexicanos 144A                                       
    8.63%, 12/01/23                1,000,000        1,053,750
  TFM SA de CV                                               
    11.75%, 06/15/09                 250,000          245,625
                                                 ------------
                                                    1,299,375
                                                 ------------
NETHERLANDS -- 1.8%                                          
  Deutsche Telekom                                           
    International Finance BV                                 
    8.75%, 06/15/30                2,500,000        2,897,733
  Telefonica Europe BV                                       
    8.25%, 09/15/30                3,950,000        4,868,845
                                                 ------------
                                                    7,766,578
                                                 ------------
NORWAY -- 2.8%                                               
  Norsk Hydro ASA                                            
    7.15%, 11/15/25                4,000,000        4,601,712
  Norway Government                                          
    6.75%, 01/15/07(K)            24,000,000        3,623,687
  Statoil ASA 144A                                           
    6.50%, 12/01/28                3,500,000        3,710,179
                                                 ------------
                                                   11,935,578
                                                 ------------

See Notes to Financial Statements.

                                                                              57

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EXTENDED-DURATION BOND FUND                                                     
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                     PAR            VALUE    
                                --------------   ------------
                                                             
PHILIPPINES -- 0.3%                                          
  Bangko Sentral Pilipinas                                   
    8.60%, 06/15/27              $ 1,000,000     $    812,500
  Philippine Long Distance                                   
    Telephone Co.                                            
    8.35%, 03/06/17                  500,000          347,383
  Quezon Power (Philippines),                                
    Ltd. 144A@                                               
    8.86%, 06/15/17                  485,000          291,546
                                                 ------------
                                                    1,451,429
                                                 ------------
SUPRANATIONAL -- 1.4%                                        
  European Bank for                                          
    Reconstruction &                                         
    Development                                              
    0.00%, 02/10/28(A)             5,000,000          703,550
  International Bank for                                     
    Reconstruction &                                         
    Development                                              
    0.00%, 08/20/07(N)            13,625,000        5,435,035
                                                 ------------
                                                    6,138,585
                                                 ------------
UNITED KINGDOM -- 3.5%                                       
  Abbey National PLC                                         
    7.95%, 10/26/29                9,515,000       11,708,578
  Vodafone Group PLC                                         
    7.88%, 02/15/30                3,000,000        3,628,998
                                                 ------------
                                                   15,337,576
                                                 ------------
VENEZUELA -- 0.1%                                            
  Petrozuata Finance, Inc.                                   
    8.37%, 10/01/22 144A             450,000          239,625
                                                 ------------
TOTAL FOREIGN BONDS                                          
  (Cost $92,468,428)                              103,376,461
                                                 ------------
MUNICIPAL BONDS -- 1.4%                                      
  Coppell, Texas Independent                                 
    School District, General                                 
    Obligation Bond (PSF-GTD                                 
    Insured) (Non-Callable)                                  
    0.00%, 08/15/23                2,195,000          746,893
  Granbury, Texas Independent                                
    School District, General                                 
    Obligation Bond (PSF-GTD                                 
    Insured) (Non-Callable)                                  
    0.00%, 08/01/20                1,000,000          414,920

                                                                [Download Table]

                                     PAR            VALUE    
                                --------------   ------------
                                                             
  Mchenry & Kane Counties,                                   
    Illinois Community School                                
    District No. 158, General                                
    Obligation Bond (FGIC                                    
    Insured) (Non-Callable)                                  
    0.00%, 01/01/12              $ 3,340,000     $  2,321,332
  Northern Illinois                                          
    University, Auxiliary                                    
    Facilities System, Revenue                               
    Bond (FGIC Insured)                                      
    (Non-Callable)                                           
    0.00%, 10/01/13                1,225,000          778,279
  San Jose Unified School                                    
    District, Santa Clara                                    
    County, General Obligation                               
    Bond (PSF-GTD Insured)                                   
    (Non-Callable)                                           
    0.00%, 08/01/18                2,055,000          981,941
  Union Elementary School                                    
    District, California,                                    
    Series A General                                         
    Obligation Bond (FGIC                                    
    Insured) (Non-Callable)                                  
    0.00%, 09/01/19                1,750,000          781,498
                                                 ------------
TOTAL MUNICIPAL BONDS                                        
  (Cost $5,124,066)                                 6,024,863
                                                 ------------

                                    SHARES                   
                                --------------               
                                                             
SHORT-TERM INVESTMENT -- 2.5%                                
  AB Funds Trust -- Money                                    
    Market Fund                                              
    (Cost $10,608,917)            10,608,917       10,608,917
                                                 ------------
PREFERRED STOCK -- 0.3%                                      
  EVI, Inc.                                                  
    5.00%, 11/01/27 CONV                                     
    (Cost $954,185)                   22,000        1,127,500
                                                 ------------
TOTAL INVESTMENTS -- 99.0%                                   
  (Cost $404,977,767)                             428,108,466
                                                 ------------
OTHER ASSETS LESS LIABILITIES -- 1.0%               4,407,205
                                                 ------------
NET ASSETS -- 100.0%                             $432,515,671
                                                 ============

See Notes to Financial Statements.

58                                                                            

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EQUITY INDEX FUND                                                               

During the fourth quarter the broad equity market experienced a substantial     
rebound but failed to recapture losses from earlier in the year as the S&P      
500(R) Index returned 8.44% for the quarter but was still down -22.10% for the  
year. This year marked the first time since the period from 1939-1941 that the  
index suffered three consecutive years of negative returns. Poor returns for the
year were the combination of weaker than expected corporate profits exacerbated 
by numerous corporate accounting and governance scandals, investors' fears of   
terrorist activity, a possible war with Iraq and escalating tensions with North 
Korea. A strong rally in the fourth quarter erased some of the negative returns 
experienced over the prior three quarters as all sectors posted positive        
performance. The strength of the information technology and telecommunication   
services stocks in October and November left these sectors as the best          
performers for the quarter.                                                     

The Equity Index Fund is a passively managed fund benchmarked against the S&P   
500(R) Index. The Fund is comprised of domestic, large-cap equity stocks with   
both value and growth-style orientations. The differential between the benchmark
and the Fund is a result of both fund expenses and social restrictions within   
the portfolio.                                                                  

                                                                              59

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EQUITY INDEX FUND                                                               

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                                               S&P 500(R)
                                       RETIREMENT CLASS*  INSTITUTIONAL CLASS*  RETAIL CLASS*   INDEX**  
                                       -----------------  --------------------  -------------  ----------
                                                                                                         
One Year                                   (22.59%)             (22.57%)          (22.71%)      (22.10%) 
Since Inception (8/27/01 -- 12/31/02)      (18.87%)             (19.22%)          (19.03%)      (18.54%) 

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

          RETIREMENT CLASS  S&P 500(R) INDEX**
          ----------------  ------------------
                                              
8/27/01       10000.00           10000.00     
9/30/01        8817.00            8796.00     
10/31/01       8985.00            8964.00     
11/30/01       9666.00            9652.00     
12/31/01       9745.00            9736.00     
1/31/02        9589.00            9594.00     
2/28/02        9378.00            9409.00     
3/31/02        9726.00            9764.00     
4/30/02        9116.00            9171.00     
5/31/02        9041.00            9103.00     
6/30/02        8428.00            8455.00     
7/31/02        7757.00            7796.00     
8/31/02        7801.00            7847.00     
9/30/02        6955.00            6994.00     
10/31/02       7569.00            7609.00     
11/30/02       8046.00            8057.00     
12/31/02       7544.00            7584.00     

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the S&P 500(R) Index.              

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**The S&P 500(R) Index is an unmanaged index (with no defined investment        
objective) of common stocks, includes reinvestment of dividends, and is a       
registered trademark of McGraw-Hill Co., Inc. The S&P 500(R) Index includes 500 
of the largest stocks (in terms of market value) in the United States.          

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

60                                                                            

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EQUITY INDEX FUND                                                               
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

        DECEMBER 31, 2002           SHARES        VALUE    
        -----------------          ---------   ------------
                                                           
COMMON STOCK -- 96.9%                                      
AUTO & TRANSPORTATION -- 2.6%                              
  AMR Corporation*                     6,000   $     39,600
  Burlington Northern Santa Fe                             
    Corporation                       14,600        379,746
  Cooper Tire & Rubber Co.             2,800         42,952
  CSX Corporation                      8,200        232,142
  Dana Corporation                     5,700         67,032
  Delphi Corporation                  21,600        173,880
  Delta Air Lines, Inc.                4,800         58,080
  FedEx Corporation                   11,500        623,530
  Ford Motor Co.                      71,027        660,551
  General Motors Corporation          21,700        799,862
  Goodyear Tire & Rubber Co.                               
    (The)                              6,800         46,308
  Harley-Davidson, Inc.               11,700        540,540
  Navistar International                                   
    Corporation*                       2,300         55,913
  Norfolk Southern Corporation        15,000        299,850
  Paccar, Inc.                         4,450        205,279
  Ryder System, Inc.                   2,400         53,856
  Southwest Airlines Co.              30,000        417,000
  Union Pacific Corporation            9,800        586,726
  United Parcel Service, Inc.                              
    Class B                           43,200      2,725,056
  Visteon Corporation                  5,018         34,925
                                               ------------
                                                  8,042,828
                                               ------------
CONSUMER DISCRETIONARY -- 13.5%                            
  Alberto-Culver Co. Class B           2,200        110,880
  American Greetings Corporation                           
    Class A*                           2,500         39,500
  AOL Time Warner, Inc.*             172,900      2,264,990
  Apollo Group, Inc. Class A*          6,700        294,800
  Autozone, Inc.*                      3,800        268,470
  Avon Products, Inc.                  9,100        490,217
  Bed Bath & Beyond, Inc.*            11,300        390,189
  Best Buy Co., Inc.*                 12,450        300,668
  Big Lots, Inc.*                      4,500         59,535
  Brunswick Corporation                3,500         69,510
  Carnival Corporation                22,700        566,365
  Cendant Corporation*                40,100        420,248
  Circuit City Stores,                                     
    Inc.-Circuit City Group            8,100         60,102
  Clear Channel Communications,                            
    Inc.*                             23,700        883,773
  Clorox Co.                           8,500        350,625
  Colgate-Palmolive Co.               20,800      1,090,544
  Convergys Corporation*               6,700        101,505
  Costco Wholesale Corporation*       17,600        493,856
  Darden Restaurants, Inc.             6,650        135,993
  Dillard's, Inc. Class A              3,300         52,338
  Dollar General Corporation          12,900        154,155
  Donnelley (R.R.) & Sons Co.          4,400         95,788
  Dow Jones & Co., Inc.                3,154        136,347
  Eastman Kodak Co.                   11,300        395,952
  eBay, Inc.*                         11,900        807,058
  Family Dollar Stores, Inc.           6,700        209,107

                                                                [Download Table]

                                  SHARES        VALUE    
                                 ---------   ------------
                                                         
Federated Department Stores,                             
  Inc.*                              7,600   $    218,576
Gannett Co., Inc.                   10,300        739,540
Gap, Inc. (The)                     34,200        530,784
Genuine Parts Co.                    6,800        209,440
Gillette Co. (The)                  40,800      1,238,688
Grainger (W.W.), Inc.                3,500        180,425
Hasbro, Inc.                         6,700         77,385
Hilton Hotels Corporation           14,600        185,566
Home Depot, Inc. (The)              89,950      2,155,202
Interpublic Group Cos., Inc.        14,900        209,792
Jones Apparel Group, Inc.*           5,000        177,200
Kimberly-Clark Corporation          19,900        944,653
Knight-Ridder, Inc.                  3,200        202,400
Kohl's Corporation*                 13,000        727,350
Leggett & Platt, Inc.                7,500        168,300
Limited Brands                      20,200        281,386
Liz Claiborne, Inc.                  4,108        121,802
Lowe's Cos., Inc.                   30,200      1,132,500
Marriott International, Inc.                             
  Class A                            9,200        302,404
Mattel, Inc.                        16,900        323,635
May Department Stores Co. (The)     11,200        257,376
Maytag Corporation                   3,000         85,500
McDonald's Corporation              49,100        789,528
McGraw Hill Co., Inc. (The)          7,500        453,300
Meredith Corporation                 1,900         78,109
New York Times Co. Class A           5,900        269,807
Newell Rubbermaid, Inc.             10,300        312,399
Nike, Inc. Class B                  10,300        458,041
Nordstrom, Inc.                      5,200         98,644
Office Depot, Inc.*                 11,900        175,644
Omnicom Group, Inc.                  7,300        471,580
Penney (JC) Co., Inc.               10,400        239,304
Procter & Gamble Co.                50,300      4,322,783
Quintiles Transnational                                  
  Corporation*                       4,600         55,660
RadioShack Corporation               6,500        121,810
Reebok International, Ltd.*          2,300         67,620
Robert Half International,                               
  Inc.*                              6,700        107,937
Sabre Holdings Corporation*          5,500         99,605
Sears, Roebuck & Co.                12,200        292,190
Staples, Inc.*                      18,200        333,060
Starbucks Corporation*              15,000        305,700
Starwood Hotels & Resorts                                
  Worldwide, Inc.                    7,700        182,798
Target Corporation                  35,100      1,053,000
Tiffany & Co.                        5,600        133,896
TJX Cos., Inc.                      20,400        398,208
TMP Worldwide, Inc.*                 4,300         48,633
Toys "R" Us, Inc .*                  8,200         82,000
Tribune Co.                         11,800        536,428
Tupperware Corporation               2,300         34,684
Univision Communications, Inc.                           
  Class A*                           8,900        218,050
VF Corporation                       4,200        151,410

See Notes to Financial Statements.

                                                                              61

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EQUITY INDEX FUND                                                               
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    SHARES        VALUE    
                                   ---------   ------------
                                                           
  Wal-Mart Stores, Inc.              170,800   $  8,627,108
  Wendy's International, Inc.          4,500        121,815
  Whirlpool Corporation                2,600        135,772
  Yahoo!, Inc.*                       22,900        374,415
  Yum! Brands, Inc.*                  11,400        276,108
                                               ------------
                                                 42,139,465
                                               ------------
CONSUMER STAPLES -- 5.0%                                   
  Albertson's, Inc.                   14,700        327,222
  Archer-Daniels-Midland Co.          25,027        310,335
  Campbell Soup Co.                   15,900        373,173
  Coca-Cola Co. (The)                 95,900      4,202,338
  Coca-Cola Enterprises, Inc.         17,400        377,928
  Conagra Foods, Inc.                 20,800        520,208
  CVS Corporation                     15,200        379,544
  General Mills, Inc.                 14,200        666,690
  Heinz (H.J.) Co.                    13,500        443,745
  Hershey Foods Corporation            5,300        357,432
  Kellogg Co.                         15,800        541,466
  Kroger Co.*                         29,900        461,955
  Pepsi Bottling Group, Inc.          10,800        277,560
  PepsiCo, Inc.                       66,840      2,821,985
  Safeway, Inc.*                      17,100        399,456
  Sara Lee Corporation                30,200        679,802
  Supervalu, Inc.                      5,200         85,852
  Sysco Corporation                   25,400        756,666
  Walgreen Co.                        39,600      1,155,924
  Winn-Dixie Stores, Inc.              5,400         82,512
  Wrigley (W.M.), Jr. Co.              8,700        477,456
                                               ------------
                                                 15,699,249
                                               ------------
ENERGY -- 1.7%                                             
  Anadarko Petroleum Corporation       9,600        459,840
  Apache Corporation                   5,580        318,004
  Baker Hughes, Inc.                  13,000        418,470
  BJ Services Co.*                     6,100        197,091
  Burlington Resources, Inc.           7,800        332,670
  Devon Energy Corporation             6,100        279,990
  Dynegy, Inc. Class A                14,400         16,992
  El Paso Corporation                 23,200        161,472
  EOG Resources, Inc.                  4,500        179,640
  Halliburton Co.                     16,900        316,199
  Kerr-McGee Corporation               3,930        174,099
  Kinder Morgan, Inc.                  4,700        198,669
  Nabors Industries, Ltd.*             5,600        197,512
  Noble Corporation*                   5,200        182,780
  Rowan Cos., Inc.                     3,600         81,720
  Schlumberger, Ltd.                  22,500        947,025
  Sunoco, Inc.                         3,000         99,540
  Transocean, Inc.                    12,300        285,360
  Unocal Corporation                  10,000        305,800
  Williams Cos., Inc.                 20,000         54,000
                                               ------------
                                                  5,206,873
                                               ------------
FINANCIAL SERVICES -- 20.7%                                
  ACE, Ltd.                           10,200        299,268
  AFLAC, Inc.                         20,000        602,400
  Allstate Corporation (The)          27,152      1,004,352

                                                                [Download Table]

                                  SHARES        VALUE    
                                 ---------   ------------
                                                         
AMBAC Financial Group, Inc.          4,100   $    230,584
American Express Co.                50,800      1,795,780
American International Group,                            
  Inc.                             100,892      5,836,601
AmSouth Bancorporation              13,700        263,040
AON Corporation                     12,000        226,680
Bank of America Corporation         57,943      4,031,094
Bank of New York Co., Inc.                               
  (The)                             28,100        673,276
Bank One Corporation                45,100      1,648,405
BB&T Corporation                    18,500        684,315
Bear Stearns Cos., Inc. (The)        3,700        219,780
Block (H&R), Inc.                    7,000        281,400
Capital One Financial                                    
  Corporation                        8,600        255,592
Charter One Financial, Inc.          8,761        251,704
Chubb Corporation                    6,600        344,520
Cigna Corporation                    5,400        222,048
Cincinnati Financial                                     
  Corporation                        6,200        232,810
Citigroup, Inc.                    198,730      6,993,308
Comerica, Inc.                       6,800        294,032
Concord EFS, Inc.*                  19,700        310,078
Countrywide Credit Industries,                           
  Inc.                               4,927        254,480
Deluxe Corporation                   2,400        101,040
Equifax, Inc.                        5,500        127,270
Equity Office Properties Trust                           
  REIT                              15,900        397,182
Equity Residential REIT             10,500        258,090
Fannie Mae                          38,500      2,476,705
Fifth Third Bancorp                 22,394      1,311,169
First Tennessee National                                 
  Corporation                        4,900        176,106
FleetBoston Financial                                    
  Corporation                       40,600        986,580
Franklin Resources, Inc.            10,100        344,208
Freddie Mac                         26,900      1,588,445
Golden West Financial                                    
  Corporation                        5,900        423,679
Goldman Sachs Group, Inc.           18,500      1,259,850
Hartford Financial Services                              
  Group, Inc.                        9,900        449,757
Household International, Inc.       18,300        508,923
Huntington Bancshares, Inc.          9,100        170,261
Janus Capital Group, Inc.            8,600        112,402
Jefferson-Pilot Corporation          5,600        213,416
John Hancock Financial                                   
  Services, Inc.                    11,100        309,690
JP Morgan Chase & Co.               77,190      1,852,560
KeyCorp                             16,400        412,296
Lehman Brothers Holdings, Inc.       9,200        490,268
Lincoln National Corporation         6,800        214,744
Marsh & McLennan Cos., Inc.         20,800        961,168
Marshall & Ilsley Corporation        8,400        229,992
MBIA, Inc.                           5,600        245,616
MBNA Corporation                    49,450        940,539
Mellon Financial Corporation        16,700        436,037
Merrill Lynch & Co., Inc.           33,400      1,267,530
Metlife, Inc.                       27,100        732,784
MGIC Investment Corporation          3,900        161,070
Moody's Corporation                  5,800        239,482

See Notes to Financial Statements.

62                                                                            

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                                                                [Download Table]

                                    SHARES        VALUE    
                                   ---------   ------------
                                                           
  Morgan Stanley                      42,000   $  1,676,640
  National City Corporation           23,700        647,484
  North Fork Bancorporation, Inc.      6,200        209,188
  Northern Trust Corporation           8,500        297,925
  Paychex, Inc.                       14,500        404,550
  PNC Financial Services Group,                            
    Inc.                              11,000        460,900
  Principal Financial Group           13,000        391,690
  Progressive Corporation (The)        8,400        416,892
  Providian Financial                                      
    Corporation*                      11,200         72,688
  Prudential Financial, Inc.          21,900        695,106
  Regions Financial Corporation        8,600        286,896
  Safeco Corporation                   5,300        183,751
  Schwab (Charles) Corporation                             
    (The)                             51,950        563,658
  Simon Property Group, Inc. REIT      7,300        248,711
  SLM Corporation                      5,900        612,774
  SouthTrust Corporation              13,400        332,990
  St. Paul Cos., Inc.                  8,800        299,640
  State Street Corporation            12,500        487,500
  SunTrust Banks, Inc.                11,000        626,120
  Synovus Financial Corporation       11,600        225,040
  T Rowe Price Group, Inc.             4,700        128,216
  Torchmark Corporation                4,600        168,038
  Travelers Property Casualty                              
    Corporation Class B*              38,824        568,772
  Union Planters Corporation           7,650        215,271
  UnumProvident Corporation            9,300        163,122
  US Bancorp                          74,100      1,572,402
  Wachovia Corporation                52,600      1,916,744
  Washington Mutual, Inc.             36,600      1,263,798
  Wells Fargo & Co.                   65,430      3,066,704
  XL Capital, Ltd. Class A             5,300        409,425
  Zions Bancorporation                 3,500        137,722
                                               ------------
                                                 65,104,763
                                               ------------
HEALTHCARE -- 14.8%                                        
  Abbott Laboratories                 60,400      2,416,000
  Aetna, Inc.                          5,800        238,496
  Allergan, Inc.                       5,000        288,100
  AmerisourceBergen Corporation        4,072        221,150
  Amgen, Inc.*                        49,828      2,408,686
  Anthem, Inc.*                        5,500        345,950
  Bard (C.R.), Inc.                    2,000        116,000
  Bausch & Lomb, Inc.                  2,100         75,600
  Baxter International, Inc.          23,000        644,000
  Becton Dickinson & Co.               9,900        303,831
  Biogen, Inc.*                        5,800        232,348
  Biomet, Inc.                        10,000        286,600
  Boston Scientific Corporation*      15,800        671,816
  Bristol-Myers Squibb Co.            74,900      1,733,935
  Cardinal Health, Inc.               17,100      1,012,149
  Chiron Corporation*                  7,300        274,480
  Forest Laboratories, Inc.*           7,000        687,540
  Genzyme Corporation*                 8,300        245,431
  Guidant Corporation*                11,800        364,030
  HCA, Inc.                           19,900        825,850

                                                                [Download Table]

                                    SHARES        VALUE    
                                   ---------   ------------
                                                           
  Health Management Associates,                            
    Inc. Class A                       9,200   $    164,680
  Healthsouth Corporation*            15,300         64,260
  Humana, Inc.*                        6,300         63,000
  IMS Health, Inc.                    10,900        174,400
  Johnson & Johnson                  114,890      6,170,742
  King Pharmaceuticals, Inc.*          9,300        159,867
  Lilly (Eli) & Co.                   43,500      2,762,250
  Manor Care, Inc.*                    3,700         68,857
  McKesson Corporation                11,300        305,439
  Medimmune, Inc.*                     9,700        263,549
  Medtronic, Inc.                     47,200      2,152,320
  Merck & Co., Inc.                   86,900      4,919,409
  Millipore Corporation                1,900         64,600
  Pfizer, Inc.                       238,375      7,287,123
  Pharmacia Corporation               49,992      2,089,666
  Quest Diagnostics, Inc.*             3,800        216,220
  Schering-Plough Corporation         56,700      1,258,740
  St. Jude Medical, Inc.*              6,900        274,068
  Stryker Corporation                  7,700        516,824
  Tenet Healthcare Corporation*       18,850        309,140
  UnitedHealth Group, Inc.            11,800        985,300
  Watson Pharmaceuticals, Inc.*        4,100        115,907
  Wellpoint Health Networks,                               
    Inc.*                              5,800        412,728
  Wyeth                               51,300      1,918,620
  Zimmer Holdings, Inc.*               7,520        312,230
                                               ------------
                                                 46,421,931
                                               ------------
INTEGRATED OILS -- 4.5%                                    
  Amerada Hess Corporation             3,500        192,675
  ChevronTexaco Corporation           41,340      2,748,283
  Conocophillips                      26,150      1,265,399
  Exxon Mobil Corporation            260,344      9,096,419
  Marathon Oil Corporation            12,107        257,758
  Occidental Petroleum                                     
    Corporation                       14,600        415,370
                                               ------------
                                                 13,975,904
                                               ------------
MATERIALS & PROCESSING -- 3.6%                             
  Air Products & Chemicals, Inc.       8,800        376,200
  Alcoa, Inc.                         32,700        744,906
  Allegheny Technologies, Inc.         3,100         19,313
  Allied Waste Industries, Inc.*       7,600         76,000
  American Standard Cos., Inc.*        2,800        199,192
  Ashland, Inc.                        2,600         74,178
  Avery Dennison Corporation           4,200        256,536
  Ball Corporation                     2,196        112,413
  Bemis Co.                            2,000         99,260
  Boise Cascade Corporation            2,300         58,006
  Cintas Corporation                   6,600        301,950
  Dow Chemical Co. (The)              35,200      1,045,440
  Du Pont (E.I.) de Nemours & Co.     38,455      1,630,492
  Eastman Chemical Co.                 3,000        110,310
  Ecolab, Inc.                         5,000        247,500
  Engelhard Corporation                4,900        109,515
  Fluor Corporation                    3,100         86,800
  Freeport-McMoRan Copper & Gold,                          
    Inc. Class B*                      5,600         93,968

See Notes to Financial Statements.

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EQUITY INDEX FUND                                                               
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    SHARES        VALUE    
                                   ---------   ------------
                                                           
  Georgia-Pacific Corporation          9,700   $    156,752
  Great Lakes Chemical                                     
    Corporation                        1,900         45,372
  Hercules, Inc.*                      4,200         36,960
  International Flavors &                                  
    Fragrances, Inc.                   3,600        126,360
  International Paper Co.             18,600        650,442
  Louisiana-Pacific Corporation*       4,000         32,240
  Masco Corporation                   19,000        399,950
  McDermott International, Inc.*       2,500         10,950
  MeadWestvaco Corporation             7,783        192,318
  Monsanto Co.                        10,160        195,580
  Newmont Mining Corporation          15,500        449,965
  Nucor Corporation                    3,000        123,900
  Pactiv Corporation*                  6,100        133,346
  Phelps Dodge Corporation*            3,400        107,610
  Plum Creek Timber Co., Inc.                              
    REIT                               7,200        169,920
  PPG Industries, Inc.                 6,600        330,990
  Praxair, Inc.                        6,240        360,485
  Rohm & Haas Co.                      8,600        279,328
  Sealed Air Corporation*              3,200        119,360
  Sherwin-Williams Co. (The)           5,800        163,850
  Sigma-Aldrich Corporation            2,800        136,360
  Temple-Inland, Inc.                  2,100         94,101
  United States Steel Corporation      4,000         52,480
  Vulcan Materials Co.                 3,900        146,250
  Waste Management, Inc.              23,500        538,620
  Weyerhaeuser Co.                     8,500        418,285
  Worthington Industries, Inc.         3,300         50,292
                                               ------------
                                                 11,164,045
                                               ------------
PRODUCER DURABLES -- 9.1%                                  
  3M Co.                              15,100      1,861,830
  ADC Telecommunications, Inc.*       30,800         64,372
  Agilent Technologies, Inc.*         18,100        325,076
  American Power Conversion                                
    Corporation*                       7,600        115,140
  Andrew Corporation*                  3,800         39,064
  Avaya, Inc.*                        14,048         34,418
  Black & Decker Corporation           3,100        132,959
  Boeing Co. (The)                    32,500      1,072,175
  Caterpillar, Inc.                   13,300        608,076
  Centex Corporation                   2,400        120,480
  CIENA Corporation*                  16,700         85,838
  Comverse Technology, Inc.*           7,300         73,146
  Cooper Industries, Ltd. Class A      3,600        131,220
  Corning, Inc.*                      44,400        146,964
  Crane Co.                            2,300         45,839
  Cummins, Inc.                        1,600         45,008
  Danaher Corporation                  5,900        387,630
  Deere & Co.                          9,200        421,820
  Dover Corporation                    7,800        227,448
  Eaton Corporation                    2,700        210,897
  Emerson Electric Co.                16,300        828,855
  General Dynamics Corporation         7,800        619,086
  General Electric Co.               385,000      9,374,750
  Goodrich Corporation                 4,500         82,440

                                                                [Download Table]

                                    SHARES        VALUE    
                                   ---------   ------------
                                                           
  Honeywell International, Inc.       31,800   $    763,200
  IIIinois Tool Works, Inc.           11,900        771,834
  Ingersoll-Rand Co. Class A           6,500        279,890
  ITT Industries, Inc.                 3,600        218,484
  JDS Uniphase Corporation*           54,700        135,109
  Johnson Controls, Inc.               3,396        272,257
  KB HOME                              1,900         81,415
  Lockheed Martin Corporation         17,600      1,016,400
  Molex, Inc.                          7,450        171,648
  Motorola, Inc.                      89,000        769,850
  Northrop Grumman Corporation         7,079        686,615
  Pall Corporation                     4,800         80,064
  Parker Hannifin Corporation          4,600        212,198
  Pitney Bowes, Inc.                   9,200        300,472
  Power-One, Inc.*                     3,100         17,577
  Pulte Homes, Inc.                    2,352        112,590
  Qualcomm, Inc.*                     30,400      1,106,256
  Raytheon Co.                        15,700        482,775
  Rockwell Automation, Inc.            7,200        149,112
  Rockwell Collins, Inc.               7,100        165,146
  Scientific-Atlanta, Inc.             6,000         71,160
  Snap-On, Inc.                        2,300         64,653
  Stanley Works (The)                  3,400        117,572
  Symbol Technologies, Inc.            8,950         73,569
  Tektronix, Inc.*                     3,400         61,846
  Tellabs, Inc.*                      15,900        115,593
  Textron, Inc.                        5,300        227,847
  Thermo Electron Corporation*         6,310        126,957
  Tyco International, Ltd.            77,184      1,318,303
  United Technologies Corporation     18,300      1,133,502
  Xerox Corporation*                  28,400        228,620
                                               ------------
                                                 28,387,045
                                               ------------
TECHNOLOGY -- 13.8%                                        
  Adobe Systems, Inc.                  9,100        225,689
  Advanced Micro Devices, Inc.*       13,300         85,918
  Altera Corporation*                 14,800        182,484
  Analog Devices, Inc.*               14,100        336,567
  Apple Computer, Inc.*               13,900        199,187
  Applera Corporation-Applied                              
    Biosystems Group                   8,100        142,074
  Applied Materials, Inc.*            63,800        831,314
  Applied Micro Circuits                                   
    Corporation*                      11,700         43,173
  Autodesk, Inc.                       4,380         62,634
  Automatic Data Processing, Inc.     23,200        910,600
  BMC Software, Inc.*                  9,100        155,701
  Broadcom Corporation Class A*       10,700        161,142
  Cisco Systems, Inc.*               279,500      3,661,450
  Citrix Systems, Inc.*                6,600         81,312
  Computer Associates                                      
    International, Inc.               22,200        299,700
  Computer Sciences Corporation*       6,600        227,370
  Compuware Corporation*              14,600         70,080
  Dell Computer Corporation*         100,200      2,679,348
  Electronic Arts, Inc.*               5,500        273,735

See Notes to Financial Statements.

64                                                                            

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                                                                [Download Table]

                                    SHARES        VALUE    
                                   ---------   ------------
                                                           
  Electronic Data Systems                                  
    Corporation                       18,400   $    339,112
  EMC Corporation*                    85,100        522,514
  First Data Corporation              29,100      1,030,431
  Fiserv, Inc.*                        7,400        251,230
  Gateway, Inc.*                      12,500         39,250
  Hewlett-Packard Co.                118,002      2,048,515
  Intel Corporation                  256,300      3,990,591
  International Business Machines                          
    Corporation                       65,400      5,068,500
  Intuit, Inc.*                        7,900        370,668
  Jabil Circuit, Inc.*                 7,700        137,984
  KLA-Tencor Corporation*              7,300        258,201
  Lexmark International, Inc.*         4,900        296,450
  Linear Technology Corporation       12,100        311,212
  LSI Logic Corporation*              14,400         83,088
  Lucent Technologies, Inc.*         132,776        167,298
  Maxim Integrated Products, Inc.     12,400        409,696
  Mercury Interactive                                      
    Corporation*                       3,300         97,845
  Micron Technology, Inc.*            23,400        227,916
  Microsoft Corporation*             206,800     10,691,559
  National Semiconductor                                   
    Corporation*                       7,000        105,070
  NCR Corporation*                     3,800         90,212
  Network Appliance, Inc.*            13,000        130,000
  Novell, Inc.*                       14,100         47,094
  Novellus Systems, Inc.*              5,800        162,864
  Nvidia Corporation*                  5,900         67,909
  Oracle Corporation*                207,200      2,237,760
  Parametric Technology                                    
    Corporation*                      10,100         25,452
  Peoplesoft, Inc.*                   12,100        221,430
  PerkinElmer, Inc.                    4,900         40,425
  PMC-Sierra, Inc.*                    6,500         36,140
  QLogic Corporation*                  3,600        124,236
  Rational Software Corporation*       7,600         78,964
  Sanmina-SCI Corporation*            20,400         91,596
  Siebel Systems, Inc.*               18,700        139,876
  Solectron Corporation*              32,000        113,600
  Sun Microsystems, Inc.*            120,500        374,755
  Sungard Data Systems, Inc.*         11,000        259,160
  Teradyne, Inc.*                      7,100         92,371
  Texas Instruments, Inc.             67,000      1,005,670
  Thomas & Betts Corporation*          2,300         38,870
  Unisys Corporation*                 12,600        124,740
  Veritas Software Corporation*       15,875        247,968
  Waters Corporation*                  5,000        108,900
  Xilinx, Inc.*                       13,000        267,800
                                               ------------
                                                 43,204,400
                                               ------------
UTILITIES -- 7.6%                                          
  AES Corporation (The)*              21,000         63,420
  Allegheny Energy, Inc.               4,900         37,044
  Alltel Corporation                  12,000        612,000
  Ameren Corporation                   5,900        245,263

                                                                [Download Table]

                                    SHARES        VALUE    
                                   ---------   ------------
                                                           
  American Electric Power Co.,                             
    Inc.                              13,100   $    358,023
  AT&T Corporation                    29,785        777,686
  AT&T Wireless Services, Inc.*      104,764        591,917
  BellSouth Corporation               71,900      1,860,053
  Calpine Corporation*                14,600         47,596
  Centerpoint Energy, Inc.            11,800        100,300
  CenturyTel, Inc.                     5,500        161,590
  Cinergy Corporation                  6,500        219,180
  Citizens Communications Co.*        10,900        114,995
  CMS Energy Corporation               5,600         52,864
  Comcast Corp*                       89,315      2,105,155
  Consolidated Edison, Inc.            8,300        355,406
  Constellation Energy Group,                              
    Inc.                               6,400        178,048
  Dominion Resources, Inc.            11,900        653,310
  DTE Energy Co.                       6,500        301,600
  Duke Energy Corporation             34,500        674,130
  Edison International*               12,600        149,310
  Entergy Corporation                  8,552        389,886
  Exelon Corporation                  12,512        660,258
  FirstEnergy Corporation             11,484        378,627
  FPL Group, Inc.                      7,100        426,923
  KeySpan Corporation                  5,500        193,820
  Mirant Corporation*                 15,631         29,543
  Nextel Communications, Inc.                              
    Class A*                          37,300        430,815
  Nicor, Inc.                          1,700         57,851
  NiSource, Inc.                       9,400        188,000
  People's Energy Corporation          1,400         54,110
  PG&E Corporation*                   15,700        218,230
  Pinnacle West Capital                                    
    Corporation                        3,500        119,315
  PPL Corporation                      6,400        221,952
  Progress Energy, Inc.                9,200        398,820
  Public Service Enterprise                                
    Group, Inc.                        8,600        276,060
  Qwest Communications                                     
    International, Inc.               65,600        328,000
  SBC Communications, Inc.           128,434      3,481,846
  Sempra Energy                        7,900        186,835
  Southern Co. (The)                  27,600        783,564
  Sprint Corporation (FON Group)      34,600        501,008
  Sprint Corporation (PCS Group)*     38,600        169,068
  TECO Energy, Inc.                    6,800        105,196
  TXU Corporation                     12,500        233,500
  Verizon Communications, Inc.       105,834      4,101,067
  Xcel Energy, Inc.                   15,400        169,400
                                               ------------
                                                 23,762,584
                                               ------------
TOTAL COMMON STOCK                                         
  (Cost $354,252,445)                           303,109,087
                                               ------------
SHORT-TERM INVESTMENT -- 2.7%                              
  AB Funds Trust -- Money Market                           
    Fund                                                   
    (Cost $8,567,655)              8,567,655      8,567,655
                                               ------------

See Notes to Financial Statements.

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EQUITY INDEX FUND                                                               
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                      PAR         VALUE    
                                   ---------   ------------
                                                           
U.S. TREASURY OBLIGATIONS -- 0.2%                          
  U.S. Treasury Bills                                      
    1.17%, 01/16/03++++               80,000   $     79,962
    1.64%, 01/16/03++++              625,000        624,708
                                               ------------
TOTAL U.S. TREASURY OBLIGATIONS                            
  (Cost $704,534)                                   704,670
                                               ------------
TOTAL INVESTMENTS -- 99.8%                                 
  (Cost $363,524,634)                           312,381,412
OTHER ASSETS LESS LIABILITIES -- 0.2%               506,896
                                               ------------
NET ASSETS -- 100.0%                           $312,888,308
                                               ============

See Notes to Financial Statements.

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VALUE EQUITY FUND                                                               

During the fourth quarter, value stocks outperformed growth stocks as the       
Russell 1000(R) Value Index returned 9.22%, while its growth counterpart, the   
Russell 1000(R) Growth Index, returned 7.15%. All sectors within the Russell    
1000(R) Value Index posted positive returns in the quarter; with the financial  
services, utilities, materials & processing and technology sectors among the    
largest contributors.                                                           

The Value Equity Fund is comprised primarily of domestic, large-cap value       
oriented stocks. The Fund lagged its benchmark, the Russell 1000(R) Value Index,
during the fourth quarter. Security selection within the consumer discretionary 
sector detracted from benchmark-relative performance, while the Fund benefited  
from its security selection in the financial services sector. At the sub-adviser
level, Equinox delivered the strongest benchmark-relative performance primarily 
as a result of good security selection in the financial services sector.        
Security selection in the consumer staples and materials & processing sectors   
also added value for this sub-adviser.                                          

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VALUE EQUITY FUND                                                               

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                                  RUSSELL 1000(R) VALUE
                          RETIREMENT CLASS*  INSTITUTIONAL CLASS*  RETAIL CLASS*         INDEX**       
                          -----------------  --------------------  -------------  ---------------------
                                                                                                       
One Year                      (17.37%)             (17.22%)          (17.48%)           (15.52%)       
Since Inception                                                                                        
   (8/27/01 -- 12/31/02)      (15.65%)             (14.94%)          (15.37%)           (13.84%)       

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

          RETIREMENT CLASS  RUSSELL 1000(R) VALUE INDEX*
          ----------------  ----------------------------
                                                        
08/27/01      10000.00                10000.00          
09/30/01       9027.00                 9019.00          
10/31/01       8948.00                 8942.00          
11/30/01       9408.00                 9462.00          
12/31/01       9621.00                 9684.00          
01/31/02       9529.00                 9609.00          
02/28/02       9535.00                 9625.00          
03/31/02      10031.00                10080.00          
04/30/02       9747.00                 9735.00          
05/31/02       9734.00                 9783.00          
06/30/02       9157.00                 9222.00          
07/31/02       8273.00                 8364.00          
08/31/02       8366.00                 8427.00          
09/30/02       7382.00                 7490.00          
10/31/02       7807.00                 8045.00          
11/30/02       8306.00                 8552.00          
12/31/02       7950.00                 8181.00          

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Russell 1000(R) Value Index.   

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**The Russell 1000(R) Value Index is a large-cap index consisting of those      
Russell 1000(R) index securities with a less-than-average growth orientation.   
Companies in this index tend to exhibit lower price-to-book and                 
price-earnings-ratios, higher dividend yields and lower forecasted growth values
than the growth universe.                                                       

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

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VALUE EQUITY FUND                                                               
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

DECEMBER 31, 2002                   SHARES        VALUE    
-----------------                 ----------   ------------
                                                           
COMMON STOCK -- 94.9%                                      
AUTO & TRANSPORTATION -- 2.6%                              
  American Axle & Manufacturing                            
    Holdings, Inc.*                    1,600   $     37,472
  AMR Corporation*                     9,400         62,040
  ArvinMeritor, Inc.                  58,000        966,860
  Autoliv, Inc.                        5,900        123,487
  BorgWarner, Inc.                     1,600         80,672
  Burlington Northern Santa Fe                             
    Corporation                      354,400      9,217,943
  CNF, Inc.                            2,700         89,748
  Continental Airlines, Inc.                               
    Class B*                           3,900         28,275
  Cooper Tire & Rubber Co.             3,900         59,826
  CSX Corporation                     12,900        365,199
  Dana Corporation                     9,000        105,840
  Delphi Corporation                 526,700      4,239,935
  Delta Air Lines, Inc.                7,500         90,750
  FedEx Corporation                   18,100        981,382
  Ford Motor Co.                     109,995      1,022,954
  GATX Corporation                     2,500         57,050
  General Motors Corporation          56,900      2,097,334
  Goodyear Tire & Rubber Co.                               
    (The)                              9,300         63,333
  Jetblue Airways Corporation*           350          9,450
  Lear Corporation*                   55,300      1,840,384
  Navistar International                                   
    Corporation*                       3,700         89,947
  Norfolk Southern Corporation        23,600        471,764
  Northwest Airlines                                       
    Corporation*                       3,300         24,222
  Oshkosh Truck Corporation            7,600        467,400
  Paccar, Inc.                         6,600        304,458
  Ryder System, Inc.                   9,200        206,448
  Skywest, Inc.                        1,200         15,684
  Southwest Airlines Co.              23,450        325,955
  Swift Transportation Co.,                                
    Inc.*                              1,600         32,029
  Union Pacific Corporation           15,300        916,011
  Visteon Corporation                 84,700        589,512
                                               ------------
                                                 24,983,364
                                               ------------
CONSUMER DISCRETIONARY -- 9.0%                             
  Alberto-Culver Co. Class B           2,000        100,800
  Alliance Data Systems                                    
    Corporation*                         800         14,176
  American Eagle Outfitters,                               
    Inc.*                                300          4,134
  American Greetings Corporation                           
    Class A*                          29,200        461,360
  AOL Time Warner, Inc.*             562,600      7,370,060
  Aramark Corporation Class B*        26,800        629,800
  AutoNation, Inc.*                   12,100        151,976
  Avon Products, Inc.                 14,400        775,728
  Barnes & Noble, Inc.*                1,900         34,333
  Belo Corporation Class A             5,300        112,996
  Big Lots, Inc.*                      3,200         42,336
  Blockbuster, Inc. Class A            1,100         13,475
  Borders Group, Inc.*                 4,400         70,840
  Brinker International, Inc.*           500         16,125

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Brunswick Corporation                5,500   $    109,230
Callaway Golf Co.                    3,100         41,075
Carmax, Inc.*                        2,084         37,263
Carnival Corporation               201,900      5,037,405
CBRL Group, Inc.                    22,095        665,722
Cendant Corporation*               431,930      4,526,626
Circuit City Stores, Inc.-                               
  Circuit City Group                11,100         82,362
Clear Channel Communications,                            
  Inc.*                             15,525        578,927
Clorox Co.                           5,200        214,500
Colgate-Palmolive Co.                3,900        204,477
Costco Wholesale Corporation*       13,600        381,616
COX Communications, Inc. Class                           
  A*                                11,900        337,960
Cox Radio, Inc. Class A*               700         15,967
Cumulus Media, Inc. Class A*           900         13,383
Dial Corporation (The)              22,000        448,140
Dillard's, Inc. Class A              4,200         66,612
Donnelley (R.R.) & Sons Co.          5,400        117,558
Dow Jones & Co., Inc.                1,000         43,230
Eastman Kodak Co.                  285,500     10,003,920
Emmis Communications                                     
  Corporation Class A*               2,000         41,660
Energizer Holdings, Inc.*           21,000        585,900
Entercom Communications                                  
  Corporation*                         200          9,384
Entravision Communications                               
  Corporation Class A*               2,600         25,948
Estee Lauder Cos., Inc. (The)                            
  Class A                            1,700         44,880
Ethan Allen Interiors, Inc.            900         30,933
Extended Stay America, Inc.*         3,400         50,150
Federated Department Stores,                             
  Inc.*                             11,500        330,740
Foot Locker, Inc.                    5,300         55,650
Furniture Brands                                         
  International, Inc.*               1,000         23,850
Gamestop Corporation*                  400          3,920
Gannett Co., Inc.                   16,200      1,163,160
Gemstar-TV Guide                                         
  International, Inc.*               6,800         22,100
Genuine Parts Co.                   10,600        326,480
Getty Images, Inc.*                    300          9,165
Gillette Co. (The)                  26,300        798,468
Grainger (W.W.), Inc.                4,700        242,285
Harte-Hanks, Inc.                      950         17,737
Hasbro, Inc.                         8,525         98,464
Hearst-Argyle Television,                                
  Inc.*                             46,000      1,109,060
Hilton Hotels Corporation           16,100        204,631
Hispanic Broadcasting                                    
  Corporation*                       1,200         24,660
i2 Technologies, Inc.*               8,400          9,660
Ingram Micro, Inc. Class A*         35,400        437,190
International Speedway                                   
  Corporation Class A                  800         29,832

See Notes to Financial Statements.

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VALUE EQUITY FUND                                                               
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Iron Mountain, Inc.*                 1,300   $     42,913
Jones Apparel Group, Inc.*           6,700        237,448
Kimberly-Clark Corporation          15,600        740,532
Knight-Ridder, Inc.                  5,100        322,575
La-Z-Boy Chair Co.                   2,700         64,746
Lamar Advertising Co.*               1,400         47,110
Lancaster Colony Corporation         1,700         66,436
Lee Enterprises,Inc.                 2,700         90,504
Leggett & Platt, Inc.                8,200        184,008
Liberty Media Corporation                                
  Class A*                         157,500      1,408,050
Limited Brands                      15,800        220,094
Lin TV Corporation Class A*            400          9,740
Liz Claiborne, Inc.                  6,500        192,725
Manpower, Inc.                       1,500         47,850
Marriott International, Inc.                             
  Class A                            5,400        177,498
Mattel, Inc.                        92,025      1,762,279
May Department Stores Co.                                
  (The)                             17,500        402,150
McClatchy Co. Class A                1,100         62,403
McDonald's Corporation             606,300      9,749,304
McGraw Hill Co., Inc. (The)          1,800        108,792
Media General, Inc. Class A            800         47,960
Meredith Corporation                 2,200         90,442
Metro-Goldwyn-Mayer, Inc.*           1,400         18,200
MSC Industrial Direct Co.,                               
  Inc.*                                500          8,875
Neiman-Marcus Group, Inc.                                
  Class A*                           2,200         66,858
New York Times Co. Class A           2,500        114,325
Newell Rubbermaid, Inc.             15,400        467,082
Nike, Inc. Class B                   1,200         53,364
Nordstrom, Inc.                      5,700        108,129
O'Reilly Automotive, Inc.*             300          7,587
Office Depot, Inc.*                 18,700        276,012
Outback Steakhouse, Inc.             1,700         58,548
Penney (JC) Co., Inc.               60,600      1,394,406
Pier 1 Imports, Inc.                 3,800         71,934
Polo Ralph Lauren Corporation*       1,900         41,344
Procter & Gamble Co.                32,075      2,756,526
Quintiles Transnational                                  
  Corporation*                       3,600         43,560
Radio One, Inc. Class D*             2,100         30,303
Reader's Digest Association,                             
  Inc. (The) Class A                 4,200         63,420
Reebok International, Ltd.*          3,000         88,200
Regal Entertainment Group              600         12,852
Rent-A-Center, Inc.*                18,475        922,826
Royal Caribbean Cruises, Ltd.       99,400      1,659,980
Saks, Inc.*                          7,300         85,702
Scholastic Corporation*                900         32,355
Scotts (The) Co.*                      900         44,136
Scripps Co. (E.W.) Class A             200         15,390
Sears, Roebuck & Co.               429,700     10,291,315
Servicemaster Co.                   18,300        203,130

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Six Flags, Inc.*                     5,200   $     29,692
  Sonic Automotive, Inc.*                600          8,922
  Staples, Inc.*                       9,700        177,510
  Starwood Hotels & Resorts                                
    Worldwide, Inc.                    6,800        161,432
  Talbots, Inc.                          100          2,753
  Tech Data Corporation*               2,100         56,616
  Ticketmaster Class B*                  600         12,732
  TMP Worldwide, Inc.*                 1,700         19,227
  Toys "R" Us, Inc.*                 169,600      1,696,000
  Tribune Co.                         11,800        536,428
  United Rentals, Inc.*                2,500         26,900
  UnitedGlobalCom, Inc. Class A*       4,100          9,840
  USA Interactive*                     1,900         43,548
  Valassis Communications, Inc.*       3,100         91,233
  VF Corporation                      62,600      2,256,730
  Viad Corporation                     1,000         22,350
  Washington Post Co. Class B            200        147,600
  WebMD Corporation*                   8,700         74,385
  Wendy's International, Inc.        239,600      6,485,972
  Westwood One, Inc.*                 17,600        657,536
  Whirlpool Corporation                3,900        203,658
  Yum! Brands, Inc.*                   3,600         87,192
  Zale Corporation*                    1,400         44,660
                                               ------------
                                                 86,284,853
                                               ------------
CONSUMER STAPLES -- 5.0%                                   
  Albertson's, Inc.                   21,400        476,364
  Archer-Daniels-Midland Co.         239,389      2,968,424
  Campbell Soup Co.                   13,700        321,539
  Church and Dwight Co., Inc.            900         27,387
  Coca-Cola Co. (The)                 18,400        806,288
  Coca-Cola Enterprises, Inc.            900         19,548
  ConAgra Foods, Inc.                504,800     12,625,048
  CVS Corporation                    141,300      3,528,261
  Dean Foods Co.*                      5,500        204,050
  Del Monte Foods Co.*                76,816        591,484
  Dole Food Co., Inc.                  2,500         81,450
  Fresh Del Monte Produce, Inc.       31,300        591,883
  General Mills, Inc.                  9,300        436,635
  Heinz (H.J.) Co.                   183,000      6,015,210
  Hershey Foods Corporation            2,900        195,576
  Hormel Foods Corporation             4,500        104,985
  Kellogg Co.                          7,200        246,744
  Kraft Foods, Inc. Class A           12,600        490,518
  Kroger Co.*                         11,200        173,040
  McCormick & Co., Inc.                4,000         92,800
  PepsiAmericas, Inc.                  5,100         68,493
  Performance Food Group Co.*            700         23,771
  Rite Aid Corporation*               14,800         36,260
  Safeway, Inc.*                     219,100      5,118,176
  Sara Lee Corporation               463,615     10,435,974
  Smithfield Foods, Inc.*              6,700        132,928
  Supervalu, Inc.                     71,500      1,180,465
  Tyson Foods, Inc. Class A           13,681        153,501

See Notes to Financial Statements.

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                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Winn-Dixie Stores, Inc.             15,200   $    232,256
  Wrigley (W.M.), Jr. Co.              3,100        170,128
                                               ------------
                                                 47,549,186
                                               ------------
ENERGY -- 3.0%                                             
  Anadarko Petroleum Corporation       8,200        392,780
  Apache Corporation                  63,730      3,631,973
  Aquila, Inc.                        10,982         19,438
  Baker Hughes, Inc.                  48,000      1,545,120
  Burlington Resources, Inc.          34,600      1,475,690
  Cimarex Energy Co.*                  1,295         23,172
  Consol Energy, Inc.                 11,300        195,264
  Cooper Cameron Corporation*            200          9,964
  Devon Energy Corporation             8,736        400,982
  Diamond Offshore Drilling,                               
    Inc.                               1,200         26,220
  Dynegy, Inc. Class A                16,400         19,352
  El Paso Corporation                 35,472        246,885
  ENSCO International, Inc.            1,600         47,120
  EOG Resources, Inc.                  7,000        279,440
  Equitable Resources, Inc.            3,800        133,152
  FMC Technologies, Inc.*              3,035         62,005
  Forest Oil Corporation*                900         24,885
  Halliburton Co.                     13,200        246,972
  Hanover Compressor Co.*            421,700      3,871,206
  Helmerich & Payne, Inc.              3,000         83,730
  Kerr-McGee Corporation              14,300        633,490
  Kinder Morgan, Inc.                 17,700        748,179
  Murphy Oil Corporation               1,000         42,850
  National Fuel Gas Co.                4,300         89,139
  National-Oilwell, Inc.*              1,800         39,312
  Newfield Exploration Co.*            1,300         46,865
  Noble Energy, Inc.                   1,500         56,325
  Ocean Energy, Inc.                   3,100         61,907
  Patterson-UTI Energy, Inc.*            200          6,034
  Peabody Energy Corporation           1,400         40,922
  Pioneer Natural Resources Co.*       5,800        146,450
  Pogo Producing Co.                   3,000        111,750
  Premcor, Inc.*                       1,100         24,453
  Pride International, Inc.*           3,400         50,660
  Questar Corporation                  4,700        130,754
  Rowan Cos., Inc.                     2,400         54,480
  Sunoco, Inc.                        25,500        846,090
  Tidewater, Inc.                     39,800      1,237,780
  Transocean, Inc.                   287,300      6,665,360
  Unocal Corporation                  50,200      1,535,116
  Valero Energy Corporation           56,700      2,094,498
  Varco International, Inc.*          37,200        647,280
  Williams Cos., Inc.                 26,700         72,090
  XTO Energy, Inc.                    32,000        790,400
                                               ------------
                                                 28,907,534
                                               ------------
FINANCIAL SERVICES -- 29.1%                                
  21st Century Insurance Group         1,900         23,788
  ACE, Ltd.                          280,300      8,224,002
  Affiliated Managers Group,                               
    Inc.*                                300         15,090
  AFLAC, Inc.                         16,300        490,956
  AG Edwards, Inc                      4,900        161,504

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Alleghany Corporation*                 306   $     54,315
Allied Capital Corporation           1,200         26,196
Allmerica Financial                                      
  Corporation*                       3,200         32,320
Allstate Corporation (The)         253,000      9,358,470
AMB Property Corporation REIT        5,100        139,536
AMBAC Financial Group, Inc.          4,750        267,140
American Express Co.                26,900        950,915
American Financial Group, Inc.       1,800         41,526
American International Group,                            
  Inc.                              78,433      4,537,349
American National Insurance            600         49,212
AmeriCredit Corporation*             2,100         16,254
AmerUs Group Co.                     2,500         70,675
AmSouth Bancorporation              37,300        716,160
Annaly Mortgage Management,                              
  Inc.                               5,000         94,000
AON Corporation                     16,500        311,685
Apartment Investment &                                   
  Management Co. Class A                                 
  REIT                              16,800        629,664
Archstone-Smith Trust REIT          10,700        251,878
Arden Realty, Inc. REIT              3,500         77,525
Associated Banc-Corporation          4,600        156,124
Astoria Financial Corporation        5,100        138,465
AvalonBay Communities, Inc.                              
  REIT                               3,600        140,904
Bancorpsouth, Inc.                   4,900         95,158
Bank of America Corporation        326,124     22,688,447
Bank of Hawaii Corporation           4,100        124,599
Bank of New York Co., Inc.                               
  (The)                             28,900        692,444
Bank One Corporation                71,300      2,606,015
Banknorth Group, Inc.               37,600        849,760
BB&T Corporation                    29,100      1,076,409
Bear Stearns Cos., Inc. (The)        5,700        338,580
BearingPoint, Inc.*                213,900      1,475,910
Block (H&R), Inc.                   50,400      2,026,080
BOK Financial Corporation*             900         29,151
Boston Properties, Inc. REIT         4,000        147,440
BRE Properties, Inc. Class A                             
  REIT                               2,800         87,360
Camden Property Trust REIT           2,200         72,600
Capital One Financial                                    
  Corporation                       21,900        650,868
Capitol Federal Financial            1,400         40,320
Carramerica Realty Corporation                           
  REIT                               3,200         80,160
Centerpoint Properties                                   
  Corporation REIT                   1,400         80,010
Charter One Financial, Inc.         14,008        402,450
Chubb Corporation                    9,800        511,560
Cigna Corporation                  116,900      4,806,928
Cincinnati Financial                                     
  Corporation                        8,400        315,420
Citigroup, Inc.                    622,200     21,895,218
Citizens Banking Corporation         2,700         66,906
City National Corporation            2,400        105,576

See Notes to Financial Statements.

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VALUE EQUITY FUND                                                               
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
CNA Financial Corporation*          16,700   $    427,520
Colonial Bancgroup, Inc.             7,300         87,089
Comerica, Inc.                      71,600      3,095,984
Commerce Bancshares, Inc.            3,759        147,691
Compass Bancshares, Inc.             7,700        240,779
Countrywide Financial                                    
  Corporation                        6,300        325,395
Cousins Properties, Inc. REIT        2,200         54,340
Crescent Real Estate Equities                            
  Co. REIT                         261,200      4,346,368
Cullen Frost Bankers, Inc.           3,100        101,370
Developers Diversified Realty                            
  Corporation REIT                   3,300         72,567
Doral Financial Corporation         34,100        975,260
Downey Financial Corporation         1,300         50,700
Duke Realty Corporation REIT         8,200        208,690
E*TRADE Group, Inc.*                 9,100         44,226
Equifax, Inc.                          700         16,198
Equity Office Properties Trust                           
  REIT                              25,285        631,619
Equity Residential REIT             16,700        410,486
Erie Indemnity Co. Class A           1,400         50,764
Fannie Mae                          39,200      2,521,736
Fidelity National Financial,                             
  Inc.                               5,755        188,937
First American Corporation           4,300         95,460
First Industrial Realty Trust,                           
  Inc. REIT                          2,400         67,200
First Midwest Bancorp, Inc.          2,900         77,459
First Tennessee National                                 
  Corporation                       72,500      2,605,650
First Virginia Banks, Inc.           4,350        161,951
FirstMerit Corporation               5,200        112,632
FleetBoston Financial                                    
  Corporation                      716,216     17,404,049
FNB Corporation                      2,700         74,331
Forest City Enterprises, Inc.        1,300         43,355
Franklin Resources, Inc.            10,300        351,024
Freddie Mac                          2,900        171,245
Fulton Financial Corporation         6,300        111,258
General Growth Properties,                               
  Inc. REIT                         20,900      1,086,800
Golden West Financial                                    
  Corporation                        7,600        545,756
Goldman Sachs Group, Inc.           14,600        994,260
Greater Bay Bancorp                 21,400        370,006
Greenpoint Financial                                     
  Corporation                       54,700      2,471,346
Hartford Financial Services                              
  Group, Inc.                      322,100     14,633,003
HCC Insurance Holdings, Inc.         3,200         78,720
Health Care Property                                     
  Investors, Inc. REIT               3,500        134,050
Hibernia Corporation Class A        37,100        714,546
Highwoods Properties, Inc.                               
  REIT                               3,200         70,720
Hospitality Properties Trust                             
  REIT                               3,800        133,760
Host Marriott Corporation                                
  REIT*                             14,300        126,555
Household International, Inc.       23,100        642,411
Hudson City Bancorp, Inc.            4,500         83,835

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Hudson United Bancorp                2,000   $     62,200
Huntington Bancshares, Inc.         15,000        280,650
Independence Community Bank                              
  Corporation                        3,100         78,678
IndyMac Bancorp, Inc.*               3,500         64,715
Instinet Group, Inc.                 3,300         13,959
Interactive Data Corporation*        2,100         28,875
iStar Financial, Inc. REIT           3,000         84,150
Janus Capital Group, Inc.           11,900        155,533
Jefferson-Pilot Corporation          9,100        346,801
John Hancock Financial                                   
  Services, Inc.                    17,900        499,410
JP Morgan Chase & Co.              709,522     17,028,528
KeyCorp                            251,150      6,313,911
Kimco Realty Corporation REIT        5,600        171,584
LaBranche & Co., Inc.*               2,500         66,600
Legg Mason, Inc.                     1,700         82,518
Lehman Brothers Holdings, Inc.      14,800        788,692
Leucadia National Corporation        2,200         82,082
Liberty Property Trust REIT          4,500        143,730
Lincoln National Corporation        10,700        337,906
M & T Bank Corporation               4,800        380,880
Mack-Cali Realty Corporation                             
  REIT                               2,600         78,780
Markel Corporation*                    500        102,750
Marsh & McLennan Cos., Inc.          1,800         83,178
Marshall & Ilsley Corporation       13,500        369,630
MBIA, Inc.                          52,250      2,291,685
Mellon Financial Corporation        13,800        360,318
Mercantile Bankshares                                    
  Corporation                        4,200        162,078
Mercury General Corporation          1,600         60,128
Merrill Lynch & Co., Inc.          201,267      7,638,083
Metlife, Inc.                       18,000        486,720
MGIC Investment Corporation        126,300      5,216,190
Mony Group, Inc.                     2,700         64,638
Morgan Stanley                     138,400      5,524,928
National City Corporation           82,300      2,248,436
National Commerce Financial                              
  Corporation                       12,500        298,125
Nationwide Financial Services                            
  Class A                            1,500         42,975
Neuberger Berman, Inc.                 200          6,698
New Plan Excel Realty Trust                              
  REIT                               5,800        110,722
New York Community Bancorp,                              
  Inc.                              62,684      1,810,314
North Fork Bancorporation,                               
  Inc.                               7,400        249,676
Northern Trust Corporation           6,000        210,300
Old National Bancorp                 3,669         89,157
Old Republic International                               
  Corporation                       81,500      2,282,000
Park National Corporation              700         69,160
Peoples Bank Bridgeport              1,500         37,710
Phoenix Cos., Inc.                   5,700         43,320
PMI Group, Inc. (The)                5,500        165,220

See Notes to Financial Statements.

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                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
PNC Financial Services Group,                            
  Inc.                              17,200   $    720,680
Popular, Inc.                       30,500      1,030,900
Principal Financial Group           17,500        527,275
Progressive Corporation (The)        4,800        238,224
Prologis Trust REIT                  9,789        246,193
Protective Life Corporation          4,200        115,584
Provident Financial Group,                               
  Inc.                               1,300         33,839
Providian Financial                                      
  Corporation*                       9,700         62,953
Prudential Financial, Inc.          35,600      1,129,944
Public Storage, Inc. REIT            6,000        193,860
Radian Group, Inc.                   5,500        204,325
Raymond James Financial, Inc.        2,400         70,992
Reckson Associates Realty                                
  Corporation REIT                   3,200         67,360
Regency Centers Corporation                              
  REIT                               1,400         45,360
Regions Financial Corporation       13,900        463,704
Reinsurance Group of America         1,000         27,080
Roslyn Bancorp, Inc.                 4,500         81,135
Rouse Co. REIT                       3,800        120,460
Safeco Corporation                   8,300        287,761
Silicon Valley Bancshares*           2,400         43,800
Simon Property Group, Inc.                               
  REIT                               8,500        289,595
Sky Financial Group, Inc.            4,500         89,595
SLM Corporation                     52,900      5,494,194
SouthTrust Corporation              21,000        521,850
Sovereign Bancorp, Inc.             15,800        221,990
St. Paul Cos., Inc.                 13,600        463,080
Stancorp Financial Group, Inc.       1,800         87,930
State Street Corporation             6,400        249,600
Student Loan Corporation               200         19,560
SunTrust Banks, Inc.                15,100        859,492
T Rowe Price Group, Inc.             4,300        117,304
TCF Financial Corporation            1,900         83,011
Torchmark Corporation               65,400      2,389,062
Transatlantic Holdings, Inc.         1,300         86,710
Travelers Property Casualty                              
  Corporation Class A*              23,353        342,121
Travelers Property Casualty                              
  Corporation Class B*              57,534        842,873
Trizec Properties, Inc. REIT         5,500         51,645
Trustmark Corporation                2,600         61,698
Union Planters Corporation          84,800      2,386,272
UnionBanCal Corporation              3,100        121,737
United Dominion Realty Trust                             
  REIT                               6,500        106,340
Unitrin, Inc.                        2,800         81,816
UnumProvident Corporation           67,800      1,189,212
US Bancorp                         581,626     12,342,103
Valley National Bancorp              5,725        150,968
Vornado Realty Trust REIT            4,400        163,680
W.R. Berkley Corporation             2,450         97,045
Wachovia Corporation               317,150     11,556,946
Washington Federal, Inc.            20,960        520,856

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Washington Mutual, Inc.            397,414   $ 13,722,705
  Webster Financial Corporation        8,100        281,880
  Weingarten Realty Investors                              
    REIT                               2,800        103,208
  Wells Fargo & Co.                  197,672      9,264,887
  Wesco Financial Corporation            100         30,995
  Westamerica Bancorporation           1,600         64,288
  Whitney Holding Corporation          2,400         79,992
  Wilmington Trust Corporation         4,000        126,720
  XL Capital, Ltd. Class A            67,300      5,198,925
  Zions Bancorporation                 5,600        220,354
                                               ------------
                                                278,508,112
                                               ------------
HEALTHCARE -- 6.3%                                         
  Abbott Laboratories                 62,800      2,512,000
  Advanced Medical Optics*               400          4,788
  Aetna, Inc.                          8,900        365,968
  AmerisourceBergen Corporation        1,446         78,532
  Anthem, Inc.*                        1,631        102,590
  Apogent Technologies, Inc.*          2,800         58,240
  Bard (C.R.), Inc.                    3,200        185,600
  Bausch & Lomb, Inc.                  3,000        108,000
  Baxter International, Inc.          97,300      2,724,400
  Becton Dickinson & Co.              81,700      2,507,373
  Bristol-Myers Squibb Co.           362,800      8,398,820
  Caremark Rx, Inc.*                 331,500      5,386,875
  Community Health Systems,                                
    Inc.*                                900         18,531
  Conventry Health Care, Inc.*         1,200         34,836
  Edwards Lifesciences                                     
    Corporation*                       1,100         28,017
  Genentech, Inc.*                     1,300         43,108
  Genzyme Corporation*                 1,700         50,269
  Health Net, Inc.*                  191,600      5,058,240
  Healthsouth Corporation*            22,200         93,240
  Henry Schein, Inc.*                    800         36,000
  Hillenbrand Industries, Inc.         9,700        468,607
  Human Genome Sciences, Inc.*         3,700         32,597
  Humana, Inc.*                       10,300        103,000
  ICN Pharmaceuticals, Inc.            3,700         40,367
  ICOS Corporation*                    3,100         72,571
  IMS Health, Inc.                   210,400      3,366,400
  Invitrogen Corporation*              1,800         56,322
  IVAX Corporation*                  130,200      1,579,326
  Lilly (Eli) & Co.                    6,000        381,000
  Manor Care, Inc.*                    3,600         66,996
  McKesson Corporation                 2,500         67,575
  Medicis Pharmaceutical Class                             
    A*                                   400         19,868
  Merck & Co., Inc.                   96,500      5,462,865
  Millennium Pharmeceuticals,                              
    Inc.*                              7,400         58,756
  Mylan Laboratories, Inc.               500         17,450
  Omnicare, Inc.                       2,200         52,426
  Orthodontic Centers of                                   
    America, Inc.*                       200          2,182
  Oxford Health Plans, Inc.*           6,200        225,990
  Pfizer, Inc.                        35,400      1,082,178

See Notes to Financial Statements.

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VALUE EQUITY FUND                                                               
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Renal Care Group, Inc.*                800   $     25,312
  Ribapharm, Inc.*                       300          1,965
  Schering-Plough Corporation        350,900      7,789,980
  SICOR, Inc.*                           500          7,925
  St. Jude Medical, Inc.*              5,900        234,348
  Steris Corporation*                    200          4,850
  Triad Hospitals, Inc.*               2,100         62,643
  UnitedHealth Group, Inc.            16,200      1,352,700
  Universal Health Services,                               
    Inc. Class B*                     93,800      4,230,380
  Varian Medical Systems, Inc.*       13,900        689,440
  Vertex Pharmaceuticals, Inc.*        4,400         69,740
  Watson Pharmaceuticals, Inc.*        3,900        110,253
  Wellpoint Health Networks,                               
    Inc.*                             25,900      1,843,044
  Wyeth                               66,900      2,502,060
                                               ------------
                                                 59,876,543
                                               ------------
INTEGRATED OILS -- 8.2%                                    
  Amerada Hess Corporation            42,400      2,334,120
  BP PLC ADR                         173,768      7,063,669
  ChevronTexaco Corporation          269,798     17,936,171
  Conocophillips                     463,288     22,418,507
  Exxon Mobil Corporation            411,600     14,381,304
  Marathon Oil Corporation            87,200      1,856,488
  Occidental Petroleum                                     
    Corporation                      429,700     12,224,965
                                               ------------
                                                 78,215,224
                                               ------------
MATERIALS & PROCESSING -- 7.1%                             
  Air Products & Chemicals, Inc.      13,800        589,950
  AK Steel Holding Corporation*        5,800         46,400
  Albemarle Corporation                1,700         48,365
  Alcoa, Inc.                        114,500      2,608,310
  Allegheny Technologies, Inc.         4,900         30,527
  Allied Waste Industries, Inc.*       1,300         13,000
  American Standard Cos., Inc.*          600         42,684
  Ashland, Inc.                       32,700        932,931
  Avery Dennison Corporation           1,700        103,836
  Ball Corporation                     2,700        138,213
  Bemis Co.                            3,000        148,890
  Boise Cascade Corporation            3,100         78,182
  Bowater, Inc.                        3,200        134,240
  Cabot Corporation                    3,300         87,582
  Catellus Development                                     
    Corporation*                       1,100         21,835
  Dow Chemical Co. (The)             269,682      8,009,555
  Du Pont (E.I.) de Nemours &                              
    Co.                               60,300      2,556,720
  Eastman Chemical Co.               194,900      7,166,473
  Engelhard Corporation                7,900        176,565
  Fluor Corporation                   13,200        369,600
  Georgia-Pacific Corporation        361,771      5,846,219
  Hercules, Inc.*                      4,900         43,120
  IMC Global, Inc.                     6,600         70,422
  International Flavors &                                  
    Fragrances, Inc.                   2,400         84,240
  International Paper Co.            227,900      7,969,663
  Jacobs Engineering Group,                                
    Inc.*                                800         28,480

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Lafarge North America, Inc.          1,900   $     62,415
  Lubrizol Corporation                 3,100         94,550
  Lyondell Chemical Co.              227,100      2,870,544
  Martin Marietta Materials            2,900         88,914
  Masco Corporation                   15,900        334,695
  MeadWestvaco Corporation            12,147        300,152
  Monsanto Co.                       468,200      9,012,851
  Newmont Mining Corporation           2,000         58,060
  Nucor Corporation                    4,700        194,110
  OM Group, Inc.                       1,500         10,320
  Owens-Illinois, Inc.*               49,300        718,794
  Packaging Corporation of                                 
    America*                           3,600         65,664
  Pactiv Corporation*                  9,600        209,856
  Phelps Dodge Corporation*            5,100        161,415
  Plum Creek Timber Co., Inc.                              
    REIT                              11,162        263,423
  PPG Industries, Inc.                10,200        511,530
  Praxair, Inc.                        9,900        571,923
  Precision Castparts                                      
    Corporation                       19,000        460,750
  Rayonier, Inc.                       1,700         76,925
  Rohm & Haas Co.                      9,500        308,560
  RPM International, Inc.             43,800        669,264
  Sealed Air Corporation*                500         18,650
  Shaw Group, Inc. (The)*                900         14,805
  Sherwin-Williams Co. (The)          72,700      2,053,775
  Sigma-Aldrich Corporation            3,600        175,320
  Smurfit-Stone Container                                  
    Corporation*                      10,500        161,606
  Sonoco Products Co.                  5,900        135,287
  Temple-Inland, Inc.                  2,900        129,949
  Timken Co.                           3,200         61,120
  United States Steel                                      
    Corporation                      114,100      1,496,992
  Valspar Corporation                  2,100         92,778
  Vulcan Materials Co.                 5,400        202,500
  Waste Management, Inc.             339,457      7,780,354
  Weyerhaeuser Co.                    13,300        654,493
  York International Corporation      14,500        370,765
                                               ------------
                                                 67,739,111
                                               ------------
PRODUCER DURABLES -- 7.8%                                  
  3M Co.                               6,500        801,450
  ADC Telecommunications, Inc.*       28,600         59,774
  Advanced Fibre Communications,                           
    Inc.*                              2,400         40,032
  AGCO Corporation                     2,200         48,620
  Agilent Technologies, Inc.*         14,800        265,808
  American Power Conversion                                
    Corporation*                       8,600        130,290
  Andrew Corporation*                  6,000         61,680
  Aptargroup, Inc.                     2,200         68,728
  Arrow Electronics, Inc.*             4,600         58,834
  Avaya, Inc.*                        19,100         46,795
  Black & Decker Corporation          22,700        973,603
  Boeing Co. (The)                   318,900     10,520,511
  Caterpillar, Inc.                   20,900        955,548
  Celestica, Inc.*                   261,800      3,691,380

See Notes to Financial Statements.

74                                                                            

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                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Centex Corporation                   3,700   $    185,740
CIENA Corporation*                  12,891         66,260
Clayton Homes, Inc.                  5,600         68,208
Comverse Technology, Inc.*           5,700         57,114
Corning, Inc.*                      39,400        130,414
Crane Co.                            3,100         61,783
Cummins, Inc.                        2,100         59,073
Deere & Co.                         14,400        660,240
Donaldson Co., Inc.                    800         28,800
Dover Corporation                   12,300        358,668
DR Horton, Inc.                      5,800        100,630
Eaton Corporation                    4,300        335,873
Emerson Electric Co.               199,700     10,154,744
Flowserve Corporation*                 400          5,916
General Dynamics Corporation         8,400        666,708
General Electric Co.                 7,300        177,755
Goodrich Corporation                 6,600        120,912
Harris Corporation                   1,700         44,710
Harsco Corporation                   2,400         76,536
HON Industries, Inc.                 3,200         90,496
Honeywell International, Inc.       45,300      1,087,200
Hubbell, Inc. Class B               17,400        611,436
Illinois Tool Works, Inc.          115,800      7,510,788
IKON Office Solutions, Inc.         30,300        216,645
ITT Industries, Inc.                 5,000        303,450
JDS Uniphase Corporation*           36,700         90,649
Johnson Controls, Inc.               5,400        432,918
KB HOME                             40,500      1,735,425
Lennar Corporation                   3,000        154,800
Lockheed Martin Corporation         17,800      1,027,950
Molex, Inc.                          1,200         27,648
Motorola, Inc.                      47,100        407,415
Northrop Grumman Corporation         9,335        905,542
NVR, Inc.*                             600        195,300
Pall Corporation                     6,500        108,420
Parker Hannifin Corporation          7,100        327,523
Pentair, Inc.                        3,000        103,650
Pitney Bowes, Inc.                   5,800        189,428
Pittston Brink's Group               3,300         60,984
Pulte Homes, Inc.                    3,000        143,610
Qualcomm, Inc.*                     14,520        528,383
Raytheon Co.                       215,800      6,635,850
Republic Services, Inc.*            61,900      1,298,662
Rockwell Automation, Inc.            9,900        205,029
Rockwell Collins, Inc.              10,000        232,600
Ryland Group, Inc.                   1,600         53,360
Scientific-Atlanta, Inc.             9,500        112,670
Snap-On, Inc.                        3,500         98,385
SPX Corporation*                     2,800        104,860
Stanley Works (The)                  1,500         51,870
Steelcase, Inc. Class A              1,800         19,728
Symbol Technologies, Inc.            7,000         57,540
Tektronix, Inc.*                     4,200         76,398
Teleflex, Inc.                       1,500         64,335
Tellabs, Inc.*                      13,700         99,599
Textron, Inc.                      147,000      6,319,530

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Thermo Electron Corporation*         7,400   $    148,888
  Titan Corporation*                     500          5,200
  Toll Brothers, Inc.*                 2,700         54,540
  Tyco International, Ltd.           125,400      2,141,832
  United Defense Industries,                               
    Inc.*                              5,800        135,140
  United Technologies                                      
    Corporation                      152,250      9,430,365
  Xerox Corporation*                  43,700        351,785
  Zebra Technologies Corporation                           
    Class A*                             100          5,730
                                               ------------
                                                 75,046,693
                                               ------------
TECHNOLOGY -- 3.2%                                         
  3Com Corporation*                   21,600        100,008
  Activision, Inc.*                   18,000        262,620
  Acxiom Corporation*                  1,400         21,532
  Adaptec, Inc.*                       3,200         18,080
  Advanced Micro Devices, Inc.*       14,300         92,378
  Advent Software, Inc.*                 100          1,363
  Agere Systems, Inc. Class B*        44,550         62,370
  Amkor Technology, Inc.*              1,900          9,044
  Apple Computer, Inc.*               21,600        309,528
  Applera Corporation-Applied                              
    Biosystems Group                     800         14,032
  Applied Micro Circuits                                   
    Corporation*                       9,100         33,579
  Atmel Corporation*                   7,300         16,279
  Autodesk, Inc.                       5,000         71,500
  Avnet, Inc.                          6,900         74,727
  AVX Corporation                      3,200         31,360
  BMC Software, Inc.*                  6,600        112,926
  Broadcom Corporation Class A*        5,600         84,336
  Ceridian Corporation*                1,900         27,398
  Checkfree Corporation*               1,900         30,402
  Citrix Systems, Inc.*                1,300         16,016
  Computer Associates                                      
    International, Inc.               24,300        328,050
  Computer Sciences Corporation*       8,900        306,605
  Compuware Corporation*              11,300         54,240
  Conexant Systems, Inc.*              7,800         12,558
  Cypress Semiconductor                                    
    Corporation*                       1,700          9,724
  Diebold, Inc.                        4,400        181,368
  Dun & Bradstreet Corporation*          950         32,766
  Electronic Arts, Inc.*              10,800        537,516
  Electronic Data Systems                                  
    Corporation                        4,600         84,778
  EMC Corporation*                    59,400        364,716
  Emulex Corporation*                  1,000         18,550
  Fairchild Semicoductor                                   
    International, Inc. Class A*         400          4,284
  Fisher Scientific                                        
    International, Inc.*              11,600        348,928
  Gateway, Inc.*                      10,700         33,598
  Global Payments, Inc.               11,000        352,110
  Hawaiian Electric Industries         2,200         96,756
  Hewlett-Packard Co.                698,350     12,123,355

See Notes to Financial Statements.

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VALUE EQUITY FUND                                                               
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Integrated Device Technology,                            
    Inc.*                              3,100   $     25,947
  International Business                                   
    Machines Corporation              61,500      4,766,250
  International Rectifier                                  
    Corporation*                         500          9,230
  Intersil Corporation Class A*        2,600         36,244
  Jabil Circuit, Inc.*                   800         14,336
  Juniper Networks, Inc.*              2,400         16,320
  Kemet Corporation*                   5,200         45,448
  Lexmark International, Inc.*        10,000        605,000
  LSI Logic Corporation*              84,200        485,834
  Lucent Technologies, Inc.*         219,000        275,940
  Macromedia, Inc.*                      700          7,455
  Micron Technology, Inc.*           156,500      1,524,310
  MKS Instruments, Inc.*                 100          1,643
  National Semiconductor                                   
    Corporation*                       1,700         25,517
  NCR Corporation*                     5,000        118,700
  Novellus Systems, Inc.*              1,000         28,080
  PerkinElmer, Inc.                    4,100         33,825
  Perot Systems Corporation                                
    Class A*                             200          2,144
  Polycom, Inc.*                       1,500         14,280
  QLogic Corporation*                  6,700        231,217
  Rational Software Corporation*       1,500         15,585
  RealNetworks, Inc.*                    900          3,429
  Sanmina-SCI Corporation*            14,776         66,344
  Solectron Corporation*              25,000         88,750
  Storage Technology                                       
    Corporation*                       5,300        113,526
  Sun Microsystems, Inc.*            101,500        315,665
  Sybase, Inc.*                        3,000         40,200
  Symantec Corporation*               34,100      1,381,391
  Take-Two Interactive Software*      27,690        650,438
  Teradyne, Inc.*                     30,900        402,009
  Texas Instruments, Inc.            205,100      3,078,551
  Unisys Corporation*                 16,200        160,380
  VeriSign, Inc.*                      6,700         53,734
  Veritas Software Corporation*        3,601         56,248
  Vishay Intertechnology, Inc.*        7,500         83,850
                                               ------------
                                                 31,057,200
                                               ------------
UTILITIES -- 13.6%                                         
  AES Corporation (The)*              15,000         45,300
  Agl Resources, Inc.                 24,800        602,640
  Allegheny Energy, Inc.               7,600         57,456
  Allete, Inc.                         4,600        104,328
  Alliant Energy Corporation           5,500         91,025
  Alltel Corporation                  56,400      2,876,400
  Ameren Corporation                   9,200        382,444
  American Electric Power Co.,                             
    Inc.                             150,300      4,107,699
  American Water Works Co., Inc.       3,100        140,988
  AT&T Corporation                    46,260      1,207,849
  AT&T Wireless Services, Inc.*       67,900        383,635
  BellSouth Corporation              113,800      2,944,006

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Cablevision Systems                                      
  Corporation Class A*               8,275   $    138,524
Calpine Corporation*                15,000         48,900
Centerpoint Energy, Inc.           418,300      3,555,550
CenturyTel, Inc.                    74,100      2,177,058
Charter Communications, Inc.                             
  Class A*                           7,700          9,086
Cinergy Corporation                 10,100        340,572
Citizens Communications Co.*        29,400        310,170
CMS Energy Corporation              68,900        650,416
Comcast Corp*                      263,863      6,219,251
Consolidated Edison, Inc.           12,900        552,378
Constellation Energy Group,                              
  Inc.                              10,000        278,200
Dominion Resources, Inc.            18,519      1,016,693
DPL, Inc.                           71,500      1,096,810
DTE Energy Co.                       9,800        454,720
Duke Energy Corporation             54,000      1,055,160
Edison International*               56,700        671,895
Energy East Corporation              8,800        194,392
Entergy Corporation                290,800     13,257,572
Exelon Corporation                 102,587      5,413,516
FirstEnergy Corporation            305,512     10,072,731
FPL Group, Inc.                     10,700        643,391
General Motors-Hughes                                    
  Electronics Corporation                                
  Class H*                          27,900        298,530
Great Plains Energy, Inc.            4,100         93,808
Idacorp, Inc.                        2,300         57,109
IDT Corporation*                     3,000         51,870
KeySpan Corporation                  8,500        299,540
MDU Resources Group, Inc.            4,300        110,983
Mirant Corporation*                 20,488         38,722
Nextel Communications, Inc.                              
  Class A*                          89,302      1,031,438
Nicor, Inc.                          2,700         91,881
NiSource, Inc.                      14,800        296,000
Northeast Utilities                242,100      3,672,657
NSTAR                                3,200        142,048
Oklahoma Gas & Electric                                  
  Corporation                        4,700         82,720
PanAmSat Corporation*               16,632        243,492
Peoples Energy Corporation           2,200         85,030
Pepco Holdings, Inc.                 9,298        180,288
PG&E Corporation*                  165,800      2,304,620
Philadelphia Suburban                                    
  Corporation                        3,500         72,100
Pinnacle West Capital                                    
  Corporation                        5,000        170,450
PPL Corporation                    230,600      7,997,208
Progress Energy, Inc.               14,400        624,240
Progress Energy, Inc.                                    
  Contingent Value Obligation+       3,100          1,209
Public Service Enterprise                                
  Group, Inc.                       76,300      2,449,230
Puget Energy, Inc.                   5,300        116,865

See Notes to Financial Statements.

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                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Qwest Communications                                     
    International, Inc.               41,200   $    206,000
  Reliant Resources, Inc.*           276,473        884,715
  SBC Communications, Inc.           508,600     13,788,146
  SCANA Corporation                    6,400        198,144
  Sempra Energy                       27,500        650,375
  Southern Co. (The)                  42,700      1,212,253
  Sprint Corporation (FON Group)     246,200      3,564,976
  TECO Energy, Inc.                  127,500      1,972,425
  Telephone & Data Systems, Inc.       3,200        150,464
  TXU Corporation                     19,300        360,524
  US Cellular Corporation*             1,000         25,020
  Vectren Corporation                  4,100         94,300
  Verizon Communications, Inc.       644,998     24,993,672
  West Corporation*                      100          1,660
  Wisconsin Energy Corporation        24,600        619,920
  Xcel Energy, Inc.                   24,040        264,440
                                               ------------
                                                130,599,827
                                               ------------
TOTAL COMMON STOCK                                         
  (Cost $1,026,291,634)                         908,767,647
                                               ------------
RIGHTS -- 0.0%                                             
  TECHNOLOGY                                               
  Seagate Technology, Inc.*+                               
  (Cost $0)                            4,600              0
                                               ------------

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
SHORT-TERM INVESTMENT -- 4.8%                              
  AB Funds Trust -- Money Market                           
    Fund                                                   
    (Cost $45,735,332)            45,735,332   $ 45,735,332
                                               ------------

                                                                [Download Table]

                                     PAR                    
                                  ----------                
                                                            
U.S. TREASURY OBLIGATIONS -- 0.4%                           
  U.S. Treasury Bills                                       
    1.64%, 01/16/03++++                                     
    (Cost $3,937,308)             $3,940,000      3,938,158 
                                               ------------ 
TOTAL INVESTMENTS -- 100.1%                                 
  (Cost $1,075,964,274)                         958,441,137 
LIABILITIES IN EXCESS OF OTHER                              
  ASSETS -- (0.1%)                                 (606,724)
                                               ------------ 
NET ASSETS -- 100.0%                           $957,834,413 
                                               ============ 

See Notes to Financial Statements.

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GROWTH EQUITY FUND                                                              

Growth stocks underperformed value stocks during the fourth quarter as the      
Russell 1000(R) Growth Index underperformed the Russell 1000(R) Value Index by  
2.07%. The majority of the economic sectors within the Russell 1000(R) Growth   
Index posted positive returns during the quarter. In a reversal of the prior    
three quarters of the year, the technology and healthcare sectors rebounded and 
were large contributors to the performance of the Russell 1000(R) Growth Index. 

The Growth Equity Fund is comprised primarily of domestic, large-cap growth     
oriented stocks. The Fund outperformed its benchmark, the Russell 1000(R) Growth
Index, during the fourth quarter. Security selection in the healthcare sector   
and a slight overweight position in the technology sector contributed to        
positive benchmark-relative performance. At the sub-adviser level, TCW delivered
the strongest benchmark-relative performance primarily as a result of its large 
overweight position and strong security selection in the technology sector. TCW 
also added value through good security selection in the healthcare sector.      

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GROWTH EQUITY FUND                                                              

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                                  RUSSELL 1000(R) GROWTH   
                       RETIREMENT CLASS*  INSTITUTIONAL CLASS*  RETAIL CLASS*            INDEX**           
                       -----------------  --------------------  -------------  ----------------------------
                                                                                                           
One Year                   (28.15%)             (28.08%)          (28.34%)               (27.88%)          
Since Inception                                                                                            
(8/27/01 -- 12/31/02)      (22.85%)             (22.68%)          (23.01%)               (22.55%)          

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

          RETIREMENT CLASS  RUSSELL 1000(R) GROWTH INDEX**
          ----------------  ------------------------------
                                                          
08/27/01       10000                    10000             
09/30/01        8506                     8535             
10/31/01        8945                     8982             
11/30/01        9837                     9845             
12/31/01        9812                     9827             
01/31/02        9642                     9653             
02/28/02        9266                     9253             
03/31/02        9642                     9573             
04/30/02        8858                     8791             
05/31/02        8619                     8579             
06/30/02        7954                     7785             
07/31/02        7345                     7357             
08/31/02        7351                     7379             
09/30/02        6566                     6614             
10/31/02        7207                     7220             
11/30/02        7646                     7613             
12/31/02        7050                     7087             

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Russell 1000(R) Growth Index.  

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**The Russell 1000(R) Growth Index is a large-cap index consisting of those     
Russell 1000(R) Index securities with greater-than-average growth orientation.  
Companies in this index tend to exhibit higher price-to-book and                
price-earnings-ratios, lower dividend yields and higher forecasted growth values
than the value universe.                                                        

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

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GROWTH EQUITY FUND                                                              
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

DECEMBER 31, 2002                 SHARES         VALUE     
-----------------               ----------   --------------
                                                           
COMMON STOCK -- 95.6%                                      
AUTO & TRANSPORTATION -- 2.0%                              
  ArvinMeritor, Inc.                   200   $        3,334
  C.H. Robinson Worldwide,                                 
    Inc.                             2,700           84,240
  Expeditors International of                              
    Washington, Inc.                 3,800          124,070
  Harley-Davidson, Inc.             12,100          559,020
  Jetblue Airways Corporation*          50            1,350
  Ryanair Holdings Plc ADR*         88,400        3,461,744
  Skywest, Inc.                      1,400           18,298
  Southwest Airlines Co.           605,900        8,422,010
  Swift Transportation Co.,                                
    Inc.*                            1,400           28,025
  United Parcel Service, Inc.                              
    Class B                        140,600        8,869,048
                                             --------------
                                                 21,571,139
                                             --------------
CONSUMER DISCRETIONARY --12.5%                             
  99 Cents Only Stores*              1,700           45,662
  Advance Auto Parts*                  600           29,340
  Alberto-Culver Co. Class B           100            5,040
  Alliance Data Sysems                                     
    Corporation*                     1,800           31,896
  Amazon.com, Inc.*                262,600        4,960,514
  American Eagle Outfitters,                               
    Inc.*                            1,900           26,182
  AOL Time Warner, Inc.*            80,900        1,059,790
  Apollo Group, Inc. Class A*       81,275        3,576,100
  Applebee's International,                                
    Inc.                             2,200           51,020
  Aramark Corporation Class B*       1,200           28,200
  Autozone, Inc.*                    2,700          190,755
  Barnes & Noble, Inc.*                500            9,035
  Bed Bath & Beyond, Inc.*         173,100        5,977,143
  Best Buy Co., Inc.*               10,300          248,745
  Big Lots, Inc.*                    2,600           34,398
  BJ's Wholesale Club, Inc.*         2,800           51,240
  Blockbuster, Inc. Class A            500            6,125
  Borders Group, Inc.*                 300            4,830
  Brinker International, Inc.*      92,100        2,970,225
  Callaway Golf Co.                    600            7,950
  Career Education                                         
    Corporation*                     1,800           72,000
  Carmax, Inc.*                      2,745           49,081
  Catalina Marketing                                       
    Corporation*                     1,500           27,750
  CBRL Group, Inc.                     300            9,039
  CDW Computer Centers, Inc.*        2,400          105,240
  CEC Entertainment, Inc.*           1,000           30,700
  Cheesecake Factory (The)*          2,000           72,300
  Chico's FAS, Inc.*                 2,900           54,839
  Circuit City Stores, Inc.-                               
    Circuit City Group               1,000            7,420
  Clear Channel                                            
    Communications, Inc.*           10,425          388,748
  Clorox Co.                         3,300          136,125
  Coach, Inc.*                       3,500          115,220
  Colgate-Palmolive Co.            179,300        9,400,699
  Columbia Sportswear Co.*             500           22,210
  Convergys Corporation*             6,900          104,535
  Copart, Inc.*                      2,700           31,968

                                                                [Download Table]

                                SHARES         VALUE     
                              ----------   --------------
                                                         
Costco Wholesale                                         
  Corporation*                    89,200   $    2,502,952
COX Communications, Inc.                                 
  Class A*                           400           11,360
Cox Radio, Inc. Class A*             900           20,529
Cumulus Media, Inc. Class A*         600            8,922
Darden Restaurants, Inc.           6,950          142,128
DeVry, Inc.*                       2,300           38,203
Dial Corporation (The)             2,000           40,740
Dollar General Corporation        11,243          134,354
Dollar Tree Stores, Inc.*        135,050        3,318,179
Donnelley (R.R.) & Sons Co.          600           13,062
Dow Jones & Co., Inc.              1,300           56,199
eBay, Inc.*                       18,178        1,232,832
Education Management                                     
  Corporation*                     1,000           37,600
Emmis Communications                                     
  Corporation Class A*               100            2,083
Energizer Holdings, Inc.*            500           13,950
Entercom Communications                                  
  Corporation*                     1,300           60,996
Estee Lauder Cos., Inc.                                  
  (The) Class A                    3,100           81,840
Ethan Allen Interiors, Inc.          700           24,059
Expedia, Inc. Class A*               400           26,772
Extended Stay America, Inc.*         600            8,850
Family Dollar Stores, Inc.         6,400          199,744
Fastenal Co.                       2,300           85,997
Foot Locker, Inc.                  2,100           22,050
Furniture Brands                                         
  International, Inc.*             1,300           31,005
Gamestop Corporation*                500            4,900
Gap, Inc. (The)                   24,600          381,792
Gemstar-TV Guide                                         
  International, Inc.*             4,500           14,625
Getty Images, Inc.*                1,000           30,550
Gillette Co. (The)               149,900        4,550,964
Harman International                                     
  Industries, Inc.                 1,000           59,500
Harte-Hanks, Inc.                  1,850           34,540
Hilton Hotels Corporation          2,700           34,317
Hispanic Broadcasting                                    
  Corporation*                     1,600           32,880
Home Depot, Inc. (The)           461,645       11,061,014
Hotels.com Class A*                  400           21,852
I2 Technologies, Inc.*             6,100            7,015
Ingram Micro, Inc. Class A*          900           11,115
International Speedway                                   
  Corporation Class A                500           18,645
Interpublic Group Cos., Inc.      15,228          214,410
Iron Mountain, Inc.*               1,650           54,467
Jones Apparel Group, Inc.*           400           14,176
Kimberly-Clark Corporation        50,500        2,397,235
Kohl's Corporation*              105,400        5,897,130
Krispy Kreme Doughnuts,                                  
  Inc.*                            1,700           57,409
La-Z-Boy Chair Co.                   100            2,398
Lamar Advertising Co.*             2,000           67,300

See Notes to Financial Statements.

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                                                                [Download Table]

                                SHARES         VALUE     
                              ----------   --------------
                                                         
Leggett & Platt, Inc.              2,500   $       56,100
Limited Brands                     6,610           92,077
Lin TV Corporation Class A*          400            9,740
Lowe's Cos., Inc.                103,800        3,892,500
Manpower, Inc.                     2,000           63,800
Marriott International, Inc.                             
  Class A                          4,100          134,767
Mattel, Inc.                     116,000        2,221,400
Maytag Corporation                 3,100           88,350
McGraw Hill Co., Inc. (The)        6,600          398,904
Meredith Corporation                 200            8,222
Metro-Goldwyn-Mayer, Inc.*           900           11,700
Michaels Stores, Inc.*            89,820        2,811,366
Mohawk Industries, Inc.*           2,100          119,595
MSC Industrial Direct Co.,                               
  Inc.*                              700           12,425
New York Times Co. Class A         3,700          169,201
Newell Rubbermaid, Inc.              500           15,165
Nike, Inc. Class B                 2,100           93,387
O'Reilly Automotive, Inc.*         1,400           35,406
Omnicom Group, Inc.                7,500          484,500
Outback Steakhouse, Inc.           1,200           41,328
Petco Animal Supplies, Inc.*         600           14,063
Petsmart, Inc.*                    5,300           90,789
Pier 1 Imports, Inc.               1,200           22,716
Polaris Industries, Inc.             900           52,740
Procter & Gamble Co.             130,800       11,240,952
Quintiles Transnational                                  
  Corporation*                     2,400           29,040
Radio One, Inc. Class D*           1,600           23,088
RadioShack Corporation             7,000          131,180
Reader's Digest Association,                             
  Inc. (The) Class A               1,100           16,610
Regal Entertainment Group            300            6,426
Rent-A-Center, Inc.*               1,300           64,935
Robert Half International,                               
  Inc.*                            6,100           98,271
Ross Stores, Inc.                  3,200          135,648
Ruby Tuesday, Inc.                 2,600           44,954
Sabre Holdings Corporation*        5,800          105,038
Scholastic Corporation*              600           21,570
Scotts (The) Co.*                    200            9,808
Scripps Co. (E.W.) Class A         1,100           84,645
Sonic Automotive, Inc.*              700           10,409
Staples, Inc.*                    18,700          342,210
Starbucks Corporation*            15,400          313,852
Starwood Hotels & Resorts                                
  Worldwide, Inc.                  3,500           83,090
Talbots, Inc.                        900           24,777
Target Corporation                96,300        2,889,000
Tech Data Corporation*               600           16,176
Ticketmaster Class B*                900           19,098
Tiffany & Co.                      4,500          107,595
Timberland Co. Class A*              700           24,927
TJX Cos., Inc.                    21,600          421,632
TMP Worldwide, Inc.*               2,100           23,751
Tractor Supply Co.*               45,300        1,703,280

                                                                [Download Table]

                                  SHARES         VALUE     
                                ----------   --------------
                                                           
  United Rentals, Inc.*                400   $        4,304
  UnitedGlobalCom, Inc. Class                              
    A*                                 200              480
  University of Phoenix                                    
    Online*                            633           22,687
  Univision Communications,                                
    Inc. Class A*                    6,100          149,450
  USA Interactive*                   6,400          146,688
  Viad Corporation                   2,900           64,815
  Wal-Mart Stores, Inc.            754,890       38,129,494
  WebMD Corporation*                 5,700           48,735
  Weight Watchers                                          
    International, Inc.*            50,400        2,316,888
  Wendy's International, Inc.        2,800           75,796
  Westwood One, Inc.*                3,100          115,816
  Wiley (John) & Sons, Inc.                                
    Class A                          1,900           45,619
  Williams-Sonoma, Inc.*             3,600           97,740
  Yahoo!, Inc.*                     15,644          255,779
  Yum! Brands, Inc.*                 9,500          230,090
  Zale Corporation*                    300            9,570
                                             --------------
                                                133,670,858
                                             --------------
CONSUMER STAPLES -- 5.6%                                   
  Church and Dwight Co., Inc.          800           24,344
  Coca-Cola Co. (The)              209,100        9,162,762
  Coca-Cola Enterprises, Inc.      158,700        3,446,964
  Del Monte Foods Co.*                   1                7
  Dreyer's Grand Ice Cream,                                
    Inc.                               700           49,672
  General Mills, Inc.               10,400          488,280
  Heinz (H.J.) Co.                   6,800          223,516
  Hershey Foods Corporation          1,800          121,392
  Kellogg Co.                        5,100          174,777
  Kraft Foods, Inc. Class A        328,000       12,769,040
  Kroger Co.*                       24,400          376,980
  McCormick & Co., Inc.              2,900           67,280
  Pepsi Bottling Group, Inc.         7,000          179,900
  PepsiCo, Inc.                    370,680       15,650,109
  Performance Food Group Co.*        1,300           44,147
  Rite Aid Corporation*              6,400           15,680
  Safeway, Inc.*                     7,100          165,856
  Sara Lee Corporation              15,700          353,407
  Sysco Corporation                191,500        5,704,785
  Tootsie Roll Industries,                                 
    Inc.                             1,018           31,232
  Walgreen Co.                     340,900        9,950,871
  Whole Foods Market, Inc.*          2,100          110,733
  Wrigley (W.M.), Jr. Co.            4,400          241,472
                                             --------------
                                                 59,353,206
                                             --------------
ENERGY -- 3.1%                                             
  Anadarko Petroleum                                       
    Corporation                     84,600        4,052,340
  Baker Hughes, Inc.               152,700        4,915,413
  BJ Services Co.*                 159,100        5,140,521
  Burlington Resources, Inc.         1,700           72,505
  Cimarex Energy Co.*                  800           14,320
  Consol Energy, Inc.                  800           13,824
  Cooper Cameron Corporation*        1,700           84,694

See Notes to Financial Statements.

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GROWTH EQUITY FUND                                                              
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES         VALUE     
                                ----------   --------------
                                                           
  Diamond Offshore Drilling,                               
    Inc.                             1,400   $       30,590
  ENSCO International, Inc.          4,900          144,305
  EOG Resources, Inc.              100,000        3,992,000
  FMC Technologies, Inc.*              300            6,129
  Forest Oil Corporation*              600           16,590
  GlobalSantaFe Corporation        100,000        2,432,000
  Grant Prideco, Inc.*               3,500           40,740
  Halliburton Co.                    8,700          162,777
  Kinder Morgan, Inc.                2,200           92,994
  Murphy Oil Corporation             2,200           94,270
  Nabors Industries, Ltd.*         174,000        6,136,980
  National-Oilwell, Inc.*            2,000           43,680
  Newfield Exploration Co.*          1,200           43,260
  Noble Corporation*                75,000        2,636,250
  Noble Energy, Inc.                 1,300           48,815
  Ocean Energy, Inc.                 5,000           99,850
  Patterson-UTI Energy, Inc.*        2,700           81,459
  Pioneer Natural Resources                                
    Co.*                               700           17,675
  Pogo Producing Co.                   300           11,175
  Pride International, Inc.*         2,200           32,780
  Rowan Cos., Inc.                   2,200           49,940
  Smith International, Inc.*         4,100          133,742
  Tidewater, Inc.                    1,100           34,210
  Varco International, Inc.*         1,900           33,060
  Weatherford International,                               
    Ltd.*                           60,000        2,395,800
  Williams Cos., Inc.                1,520            4,104
  XTO Energy, Inc.                     300            7,410
                                             --------------
                                                 33,116,202
                                             --------------
FINANCIAL SERVICES -- 14.8%                                
  Accenture, Ltd. Class A*         250,000        4,497,500
  Affiliated Managers Group,                               
    Inc.*                              700           35,210
  AFLAC, Inc.                      306,100        9,219,732
  Allied Capital Corporation         3,300           72,039
  AMBAC Financial Group, Inc.          200           11,248
  American Express Co.              29,400        1,039,290
  American International                                   
    Group, Inc.                    328,600       19,009,509
  AmeriCredit Corporation*           4,700           36,378
  Arthur J. Gallagher & Co.          3,400           99,892
  Bank of New York Co., Inc.                               
    (The)                           10,100          241,996
  Bearingpoint, Inc.*                6,800           46,920
  Block (H&R), Inc.                  7,300          293,460
  Brown & Brown, Inc.                1,900           61,408
  Capital One Financial                                    
    Corporation                     78,800        2,341,936
  Citigroup, Inc.                  138,200        4,863,258
  Commerce Bancorp, Inc.             2,300           99,337
  Concord EFS, Inc.*                20,400          321,096
  Deluxe Corporation                 2,600          109,460
  Doral Financial Corporation        1,750           50,050
  E*trade Group, Inc.*               5,300           25,758
  Eaton Vance Corporation            2,300           64,975
  Equifax, Inc.                      5,300          122,642
  Fannie Mae                       239,800       15,426,334

                                                                [Download Table]

                                  SHARES         VALUE     
                                ----------   --------------
                                                           
  Federated Investors, Inc.                                
    Class B                          3,250   $       82,453
  Fifth Third Bancorp               20,350        1,191,493
  Franklin Resources, Inc.          70,000        2,385,600
  Freddie Mac                      163,000        9,625,150
  Goldman Sachs Group, Inc.         75,200        5,121,120
  Greater Bay Bancorp                  300            5,187
  HCC Insurance Holdings, Inc.         400            9,840
  Household International,                                 
    Inc.                             3,100           86,211
  Hudson United Bancorp                500           15,550
  Investment Technology Group,                             
    Inc.*                            1,950           43,602
  Investors Financial Services                             
    Corporation                      2,600           71,214
  Janus Capital Group, Inc.        418,990        5,476,199
  John Nuveen Co. (The) Class                              
    A                                  900           22,815
  LaBranche & Co., Inc.*               200            5,328
  Legg Mason, Inc.                   1,500           72,810
  Marsh & McLennan Cos., Inc.       90,700        4,191,247
  MBNA Corporation                  42,450          807,399
  Mellon Financial Corporation       8,600          224,546
  Moody's Corporation                5,200          214,708
  National Processing, Inc.*           300            4,815
  Neuberger Berman, Inc.             2,100           70,329
  New York Community Bancorp,                              
    Inc.                             1,400           40,432
  North Fork Bancorporation,                               
    Inc.                             1,700           57,358
  Northern Trust Corporation         3,800          133,190
  Paychex, Inc.                    386,725       10,789,628
  Progressive Corporation                                  
    (The)                          618,300       30,686,228
  Provident Financial Group,                               
    Inc.                               800           20,824
  Providian Financial                                      
    Corporation*                     4,100           26,609
  Radian Group, Inc.               138,200        5,134,130
  Rouse Co. REIT                       500           15,850
  Schwab (Charles) Corporation                             
    (The)                          846,076        9,179,925
  Silicon Valley Bancshares*           200            3,650
  SLM Corporation                   44,400        4,611,384
  State Street Corporation           8,800          343,200
  Synovus Financial                                        
    Corporation                     11,800          228,920
  T Rowe Price Group, Inc.           1,400           38,192
  TCF Financial Corporation          1,800           78,642
  Waddell & Reed Financial,                                
    Inc. Class A                     2,900           57,043
  Wells Fargo & Co.                131,100        6,144,657
  Westamerica Bancorporation           300           12,054
  Willis Group Holdings, Ltd.*      86,700        2,485,689
                                             --------------
                                                157,904,649
                                             --------------
HEALTHCARE -- 25.4%                                        
  Abbott Laboratories              172,400        6,896,000
  Accredo Health, Inc.*              1,750           61,688
  Advanced Medical Optics*             955           11,431
  AdvancePCS*                        2,900           64,409
  Affymetrix, Inc.*                  2,000           45,780

See Notes to Financial Statements.

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                                                                [Download Table]

                                SHARES         VALUE     
                              ----------   --------------
                                                         
Allergan, Inc.                     5,400   $      311,148
AmerisourceBergen                                        
  Corporation                    128,255        6,965,529
Amgen, Inc.*                     491,736       23,770,518
AMN Healthcare Services,                                 
  Inc.*                              600           10,146
Andrx Corporation*                 2,500           36,675
Anthem, Inc.*                      4,580          288,082
Apogent Technologies, Inc.*        2,200           45,760
Barr Laboratories, Inc.*           1,100           71,599
Baxter International, Inc.        99,000        2,772,000
Beckman Coulter, Inc.              2,300           67,896
Becton Dickinson & Co.             1,500           46,035
Biogen, Inc.*                    216,100        8,656,966
Biomet, Inc.                      10,700          306,662
Boston Scientific                                        
  Corporation*                    12,700          540,004
Bristol-Myers Squibb Co.          28,700          664,405
Cardinal Health, Inc.            153,100        9,061,989
Caremark Rx, Inc.*                 9,700          157,625
Celgene Corporation*               3,000           64,410
Cephalon, Inc.*                    1,800           87,602
Cerner Corporation*                1,100           34,386
Charles River Laboratories                               
  International, Inc.*             1,800           69,264
Chiron Corporation*                3,700          139,120
Community Health Systems,                                
  Inc.*                            1,400           28,826
Conventry Health Care, Inc.*         700           20,321
Cytyc Corporation*                 4,600           46,920
DaVita, Inc.*                      2,200           54,274
Dentsply International, Inc.       2,800          104,160
Diagnostic Products                                      
  Corporation                        900           34,758
Edwards Lifesciences                                     
  Corporation*                     1,700           43,299
Express Scripts, Inc. Class                              
  A*                               2,500          120,100
First Health Group                                       
  Corporation*                     4,000           97,400
Forest Laboratories, Inc.*         6,400          628,608
Genentech, Inc.*                 352,980       11,704,817
Genzyme Corporation*               6,700          198,119
Gilead Sciences, Inc.*            61,700        2,097,800
Guidant Corporation*              12,200          376,370
HCA, Inc.                         19,700          817,550
Health Management                                        
  Associates, Inc. Class A*        9,600          171,840
Health Net, Inc.*                    800           21,120
Healthsouth Corporation*           1,100            4,620
Henry Schein, Inc.*                1,100           49,500
Human Genome Sciences, Inc.*       2,400           21,144
ICN Pharmaceuticals, Inc.            900            9,819
Idec Pharmaceuticals                                     
  Corporation*                    54,500        1,807,765
IMS Health, Inc.                  11,500          184,000
Invitrogen Corporation*              900           28,161
IVAX Corporation*                  6,050           73,387
Johnson & Johnson                512,992       27,552,800
King Pharmaceuticals, Inc.*        9,966          171,315

                                                                [Download Table]

                                SHARES         VALUE     
                              ----------   --------------
                                                         
Laboratory Corporation of                                
  America Holdings*                5,700   $      132,468
LifePoint Hospitals, Inc.*         1,600           47,890
Lilly (Eli) & Co.                171,500       10,890,250
Lincare Holdings, Inc.*            4,300          135,966
Manor Care, Inc.*                  1,700           31,637
McKesson Corporation               9,259          250,271
Medicis Pharmaceutical Class                             
  A*                                 800           39,736
Medimmune, Inc.*                 137,310        3,730,713
Medtronic, Inc.                  328,546       14,981,698
Merck & Co., Inc.                239,100       13,535,451
Mid Atlantic Medical                                     
  Services, Inc.*                  1,900           61,560
Millennium Pharmeceuticals,                              
  Inc.*                          217,473        1,726,736
Millipore Corporation              1,900           64,600
Mylan Laboratories, Inc.           4,700          164,030
Omnicare, Inc.                     1,800           42,894
Orthodontic Centers of                                   
  America, Inc.*                   1,700           18,547
Oxford Health Plans, Inc.*         3,500          127,575
Patterson Dental Co.*              2,000           87,480
Pfizer, Inc.                   1,697,950       51,906,331
Pharmaceutical Product                                   
  Development, Inc.*               1,900           55,613
Pharmacia Corporation            401,700       16,791,060
Quest Diagnostics, Inc.*           3,000          170,700
Renal Care Group, Inc.*            1,500           47,460
Ribapharm, Inc.*                     800            5,240
Schering-Plough Corporation      423,500        9,401,700
SICOR, Inc.*                       2,700           42,795
St. Jude Medical, Inc.*           97,300        3,864,756
Steris Corporation*                2,600           63,050
Stryker Corporation                5,400          362,448
Tenet Healthcare                                         
  Corporation*                    19,550          320,620
Teva Pharmaceutical                                      
  Industries, Ltd. ADR           192,400        7,428,564
Triad Hospitals, Inc.*             1,500           44,745
UnitedHealth Group, Inc.          83,500        6,972,250
Universal Health Services,                               
  Inc. Class B*                    2,000           90,200
Varian Medical Systems,                                  
  Inc.*                            2,700          133,920
Watson Pharmaceuticals,                                  
  Inc.*                            1,500           42,405
Wellpoint Health Networks,                               
  Inc.*                           55,800        3,970,728
Wyeth                            403,000       15,072,200
Zimmer Holdings, Inc.*             7,750          321,780
                                           --------------
                                              270,893,989
                                           --------------
INTEGRATED OILS -- 1.1%                                  
Amerada Hess Corporation           1,400           77,070
BP PLC ADR                        70,000        2,845,500
ChevronTexaco Corporation         25,000        1,662,000
Exxon Mobil Corporation          200,000        6,988,000
                                           --------------
                                               11,572,570
                                           --------------

See Notes to Financial Statements.

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GROWTH EQUITY FUND                                                              
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES         VALUE     
                                ----------   --------------
                                                           
MATERIALS & PROCESSING -- 0.4%                             
  Alcoa, Inc.                        5,000   $      113,900
  Allied Waste Industries,                                 
    Inc.*                            4,400           44,000
  American Standard Cos.,                                  
    Inc.*                            2,100          149,394
  Avery Dennison Corporation         2,800          171,024
  Ball Corporation                     500           25,595
  Cabot Corporation                    300            7,962
  Catellus Development                                     
    Corporation*                     2,500           49,625
  Cintas Corporation                 4,700          215,025
  Ecolab, Inc.                       5,200          257,400
  Fluor Corporation                    500           14,000
  Freeport-McMoRan Copper &                                
    Gold, Inc. Class B*              2,900           48,662
  International Flavors &                                  
    Fragrances, Inc.                 1,300           45,630
  Jacobs Engineering Group,                                
    Inc.*                            1,400           49,840
  Masco Corporation                  8,900          187,345
  Mettler Toledo                                           
    International, Inc.*             1,400           44,884
  Newmont Mining Corporation        12,300          357,069
  OM Group, Inc.                       100              688
  Praxair, Inc.                     41,900        2,420,563
  Sealed Air Corporation*            3,000          111,900
  Shaw Group, Inc. (The)*              900           14,805
  Sigma-Aldrich Corporation            500           24,350
  St. Joe Co. (The)                  1,200           36,000
  Valspar Corporation                  600           26,508
  Vulcan Materials Co.                 200            7,500
  Waste Management, Inc.             4,500          103,140
                                             --------------
                                                  4,526,809
                                             --------------
PRODUCER DURABLES -- 8.2%                                  
  3M Co.                            41,300        5,092,290
  ADC Telecommunications,                                  
    Inc.*                           12,900           26,961
  Advanced Fibre                                           
    Communications, Inc.*            1,700           28,356
  AGCO Corporation                   1,600           35,360
  Agilent Technologies, Inc.*        8,823          158,461
  Alliant Techsystems, Inc.*         1,300           81,055
  American Power Conversion                                
    Corporation*                       900           13,635
  Arrow Electronics, Inc.*           1,000           12,790
  Avaya, Inc.*                       1,883            4,613
  Black & Decker Corporation         3,100          132,959
  Boeing Co. (The)                  20,400          672,996
  CIENA Corporation*                 8,718           44,811
  Comverse Technology, Inc.*         3,700           37,074
  Corning, Inc.*                    19,900           65,869
  Danaher Corporation                4,500          295,650
  Donaldson Co., Inc.                1,000           36,000
  DR Horton, Inc.                      800           13,880
  Flowserve Corporation*             1,900           28,101
  General Dynamics Corporation     101,700        8,071,929
  General Electric Co.           1,428,300       34,779,104
  Graco, Inc.                        1,900           54,435

                                                                [Download Table]

                                  SHARES         VALUE     
                                ----------   --------------
                                                           
  Harris Corporation                 1,300   $       34,190
  Herman Miller, Inc.                3,000           55,200
  HON Industries, Inc.                 200            5,656
  Honeywell International,                                 
    Inc.                             2,900           69,600
  IIIinois Tool Works, Inc.          4,200          272,412
  ITT Industries, Inc.                 300           18,207
  JDS Uniphase Corporation*         24,180           59,725
  L-3 Communications Holdings,                             
    Inc.*                            2,700          121,257
  Lennar Corporation                   100            5,160
  Lockheed Martin Corporation      130,100        7,513,275
  Molex, Inc.                        4,450          102,528
  Motorola, Inc.                    59,721          516,587
  Nokia Corporation ADR            163,200        2,529,600
  Northrop Grumman Corporation      20,000        1,940,000
  NVR, Inc.*                           200           65,100
  Pall Corporation                     300            5,004
  Pitney Bowes, Inc.                 5,800          189,428
  Qualcomm, Inc.*                  477,400       17,372,586
  RF Micro Devices, Inc.*            5,700           41,781
  Rockwell Collins, Inc.               700           16,282
  SPX Corporation*                   1,200           44,940
  Stanley Works (The)                1,800           62,244
  Symbol Technologies, Inc.          4,600           37,812
  Tektronix, Inc.*                     600           10,914
  Teleflex, Inc.                       400           17,156
  Tellabs, Inc.*                     7,400           53,798
  Thermo Electron Corporation*       2,000           40,240
  Titan Corporation*                 2,600           27,040
  United Technologies                                      
    Corporation                    107,000        6,627,580
  Utstarcom, Inc.*                   2,500           49,575
  Zebra Technologies                                       
    Corporation Class A*               900           51,570
                                             --------------
                                                 87,642,776
                                             --------------
TECHNOLOGY -- 21.7%                                        
  Activision, Inc.*                  2,200           32,098
  Acxiom Corporation*                2,200           33,836
  Adaptec, Inc.*                     2,100           11,865
  Adobe Systems, Inc.                9,500          235,610
  Advanced Micro Devices,                                  
    Inc.*                            4,300           27,778
  Advent Software, Inc.*             1,200           16,356
  Affiliated Computer                                      
    Services, Inc. Class A*          3,900          205,335
  Agere Systems, Inc. Class B*      36,000           50,400
  Altera Corporation*               15,400          189,882
  Amkor Technology, Inc.*            2,200           10,472
  Amphenol Corporation Class                               
    A*                                 800           30,400
  Analog Devices, Inc.*             14,600          348,502
  Applera Corporation-Applied                              
    Biosystems Group                 8,000          140,320
  Applied Materials, Inc.*       1,120,050       14,594,252
  Applied Micro Circuits                                   
    Corporation*                     6,000           22,140
  Atmel Corporation*                11,500           25,645
  Autodesk, Inc.                     1,300           18,590

See Notes to Financial Statements.

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                                                                [Download Table]

                                SHARES         VALUE     
                              ----------   --------------
                                                         
Automatic Data Processing,                               
  Inc.                            74,800   $    2,935,900
BEA Systems, Inc.*                14,400          165,168
BISYS Group, Inc. (The)*           4,400           69,960
BMC Software, Inc.*                5,400           92,394
Broadcom Corporation Class                               
  A*                               4,000           60,240
Brocade Communications                                   
  Systems, Inc.*                   9,300           38,502
Cadence Design Systems,                                  
  Inc.*                           10,600          124,974
Ceridian Corporation*              4,600           66,332
Certegy, Inc.*                     2,550           62,603
Checkfree Corporation*             1,200           19,201
ChoicePoint, Inc.*                 3,433          135,569
Cisco Systems, Inc.*           1,712,500       22,433,750
Citrix Systems, Inc.*              6,000           73,920
Computer Associates                                      
  International, Inc.              2,200           29,700
Computer Sciences                                        
  Corporation*                       600           20,670
Compuware Corporation*             5,900           28,320
Conexant Systems, Inc.*            5,200            8,372
CSG Systems International,                               
  Inc.*                            2,100           28,665
Cymer, Inc.*                       1,400           45,150
Cypress Semiconductor                                    
  Corporation*                     3,800           21,736
Dell Computer Corporation*       978,100       26,154,393
DST Systems, Inc.*                 4,800          170,640
Dun & Bradstreet                                         
  Corporation*                     2,400           82,776
Electronic Arts, Inc.*            24,800        1,234,296
Electronic Data Systems                                  
  Corporation                     16,100          296,723
EMC Corporation*                  49,800          305,772
Emulex Corporation*                2,600           48,230
Fair Isaac & Co., Inc.             2,000           85,400
Fairchild Semicoductor                                   
  International, Inc. Class                              
  A*                               4,300           46,053
First Data Corporation            30,600        1,083,546
Fiserv, Inc.*                      7,625          258,869
Fisher Scientific                                        
  International, Inc.*             2,200           66,176
Gentex Corporation*                3,000           94,920
Global Payments, Inc.              1,400           44,814
Henry (Jack) & Associates,                               
  Inc.                             2,700           32,508
Integrated Circuit Systems,                              
  Inc.*                            1,900           34,675
Integrated Device                                        
  Technology, Inc.*                2,100           17,577
Intel Corporation              1,422,540       22,148,948
International Business                                   
  Machines Corporation            31,700        2,456,750
International Rectifier                                  
  Corporation*                     2,200           40,612
Intersil Corporation Class                               
  A*                               3,100           43,214
Intuit, Inc.*                      7,600          356,592
J.D. Edwards & Co.*                4,000           45,120

                                                                [Download Table]

                                SHARES         VALUE     
                              ----------   --------------
                                                         
Jabil Circuit, Inc.*               5,700   $      102,144
Juniper Networks, Inc.*          158,880        1,080,384
KLA-Tencor Corporation*            7,600          268,812
Lam Research Corporation*          5,100           55,080
Lexmark International, Inc.*       5,200          314,600
Linear Technology                                        
  Corporation                     12,700          326,644
LSI Logic Corporation*             7,400           42,698
Macromedia, Inc.*                  1,900           20,235
Maxim Integrated Products,                               
  Inc.                           578,959       19,128,805
Mercury Interactive                                      
  Corporation*                     3,100           91,915
Micrel, Inc.*                      2,500           22,450
Microchip Technology, Inc.*        8,012          195,893
Micron Technology, Inc.*          11,100          108,114
Microsoft Corporation*         1,179,300       60,969,809
MKS Instruments, Inc.*               900           14,787
National Instruments                                     
  Corporation*                     1,200           38,988
National Semiconductor                                   
  Corporation*                     6,000           90,060
Network Appliance, Inc.*       1,128,000       11,280,000
Network Associates, Inc.*          6,200           99,758
Novellus Systems, Inc.*            5,400          151,632
Nvidia Corporation*                5,100           58,701
Oracle Corporation*              364,700        3,938,760
Peoplesoft, Inc.*                 11,000          201,300
PerkinElmer, Inc.                  1,800           14,850
Perot Systems Corporation                                
  Class A*                         2,600           27,872
Pixar, Inc.*                     164,600        8,722,154
PMC-Sierra, Inc.*                  6,700           37,252
Polycom, Inc.*                     3,000           28,560
QLogic Corporation*                3,500          120,785
Rational Software                                        
  Corporation*                     6,000           62,340
RealNetworks, Inc.*                3,000           11,430
Reynolds & Reynolds Co.                                  
  (The) Class A                    2,600           66,222
Sanmina-SCI Corporation*          11,208           50,324
SEI Investments Co.                3,000           81,540
Semtech Corporation*               2,400           26,208
Siebel Systems, Inc.*            992,540        7,424,199
Solectron Corporation*            16,500           58,575
Storage Technology                                       
  Corporation*                       800           17,136
Sun Microsystems, Inc.*           63,000          195,930
Sungard Data Systems, Inc.*       11,300          266,228
Sybase, Inc.*                      1,700           22,780
Symantec Corporation*              5,800          234,958
Synopsys, Inc.*                    3,000          138,450
Taiwan Semiconductor                                     
  Manufacturing Co., Ltd.                                
  ADR*                           277,776        1,958,321
Teradyne, Inc.*                    5,700           74,157
Texas Instruments, Inc.           69,400        1,041,694
Total System Services, Inc.        1,500           20,250

See Notes to Financial Statements.

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GROWTH EQUITY FUND                                                              
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                SHARES         VALUE     
                              ----------   --------------
                                                         
Unisys Corporation*                2,200   $       21,780
VeriSign, Inc.*                    4,390           35,208
Veritas Software                                         
  Corporation*                   114,025        1,781,071
Vishay Intertechnology,                                  
  Inc.*                            1,400           15,652
Waters Corporation*                5,300          115,434
Xilinx, Inc.*                    612,300       12,613,380
                                           --------------
                                              231,489,520
                                           --------------
UTILITIES -- 0.8%                                        
AES Corporation (The)*             6,600           19,932
AT&T Wireless Services,                                  
  Inc.*                           44,735          252,753
Calpine Corporation*               4,200           13,692
Citizens Communications Co.*       5,200           54,860
Comcast Corp*                      5,200          122,564
EchoStar Communications                                  
  Corporation Class A*             9,700          215,922
General Motors-Hughes                                    
  Electronics Corporation                                
  Class H*                        20,000          214,000
Level 3 Communications,                                  
  Inc.*                           13,700           67,130
Mirant Corporation*                2,600            4,914
Nextel Communications, Inc.                              
  Class A*                        26,800          309,540
PanAmSat Corporation*                600            8,784
Qwest Communications                                     
  International, Inc.             27,157          135,785
SBC Communications, Inc.          75,000        2,033,250
Sprint Corporation (PCS                                  
  Group)*                        432,600        1,894,788

                                                                [Download Table]

                                  SHARES         VALUE      
                                ----------   -------------- 
                                                            
  Vodafone Group PLC ADR           150,000   $    2,718,000 
  West Corporation*                    700           11,620 
                                             -------------- 
                                                  8,077,534 
                                             -------------- 
TOTAL COMMON STOCK                                          
  (Cost $1,265,517,465)                       1,019,819,252 
                                             -------------- 
SHORT-TERM INVESTMENT -- 4.3%                               
  AB Funds Trust -- Money                                   
    Market Fund                                             
    (Cost $45,974,081)          45,974,081       45,974,081 
                                             -------------- 

                                   PAR                      
                                ----------                  
                                                            
U.S. TREASURY OBLIGATIONS -- 0.4%                           
  U.S. Treasury Bills                                       
    1.18%, 01/16/03++++         $   80,000           79,963 
    1.19%, 01/16/03++++            525,000          524,755 
    1.64%, 01/16/03++++          3,200,000        3,198,503 
                                             -------------- 
TOTAL U.S. TREASURY OBLIGATIONS                             
  (Cost $3,802,514)                               3,803,221 
                                             -------------- 

                                  SHARES                    
                                ----------                  
                                                            
RIGHTS/WARRANTS -- 0.0%                                     
TECHNOLOGY                                                  
  Orbital Sciences Corporation                              
    Wts., Strike Price $4.82,                               
    8/31/04*                           328              485 
  Seagate Technology, Inc.                                  
    Rts.*+                           5,600                0 
                                             -------------- 
TOTAL RIGHTS/WARRANTS                                       
  (Cost $0)                                             485 
                                             -------------- 
TOTAL INVESTMENTS -- 100.3%                                 
  (Cost $1,315,294,060)                       1,069,597,039 
LIABILITIES IN EXCESS OF OTHER                              
  ASSETS -- (0.3%)                               (2,832,592)
                                             -------------- 
NET ASSETS -- 100.0%                         $1,066,764,447 
                                             ============== 

See Notes to Financial Statements.

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SMALL CAP EQUITY FUND                                                           

During the quarter, small-cap stocks underperformed large-cap stocks as the     
Russell 2000(R) Index returned 6.16%, while its large-cap counterpart, the      
Russell 1000(R) Index, returned 8.16%. The fourth quarter saw a reversal in much
of the year's sector performance patterns as the technology and producer        
durables sectors rallied strongly while the financial services and consumer     
discretionary sectors lagged.                                                   

The Small Cap Equity Fund is comprised primarily of domestic, small-cap stocks  
with both value and growth style orientations.(1) The Fund underperformed its   
benchmark, the Russell 2000(R) Index, during the fourth quarter. Security       
selection within the technology sector had a dampening effect on                
benchmark-relative performance, while the Fund benefited from its underweight   
exposure and good security selection in the financial services sector. At the   
sub-adviser level, HighRock delivered strong performance and was rewarded for   
its exposure in the technology sector. Security selection in the autos &        
transportation and consumer discretionary sectors and an underweight position in
the financial services sector also contributed to relative performance.         
TimesSquare also had strong performance due primarily to good security selection
in the financial services and producer durables sectors.                        

---------------                                                                 
(1) Small company stocks are generally riskier than large company stocks due to 
greater volatility and less liquidity.                                  

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SMALL CAP EQUITY FUND                                                           

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                                               RUSSELL 2000(R)
                                       RETIREMENT CLASS*  INSTITUTIONAL CLASS*  RETAIL CLASS*      INDEX**    
                                       -----------------  --------------------  -------------  ---------------
                                                                                                              
One Year                                    (22.23%)            (22.13%)           (22.40%)       (20.48%)    
Since Inception (8/27/02 -- 12/31/01)       (16.50%)            (16.20%)           (16.60%)       (14.30%)    

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

          RETIREMENT CLASS  RUSSELL 2000(R) INDEX**
          ----------------  -----------------------
                                                   
08/27/01      10000.00              10000.00       
09/30/01       8317.00               8436.00       
10/31/01       8845.00               8929.00       
11/30/01       9541.00               9621.00       
12/31/01      10084.00              10214.00       
01/31/02      10000.00              10108.00       
02/28/02       9656.00               9831.00       
03/31/02      10543.00              10621.00       
04/30/02      10497.00              10718.00       
05/31/02      10122.00              10242.00       
06/30/02       9587.00               9734.00       
07/31/02       8125.00               8264.00       
08/31/02       8148.00               8243.00       
09/30/02       7445.00               7651.00       
10/31/02       7682.00               7896.00       
11/30/02       8363.00               8601.00       
12/31/02       7842.00               8122.00       

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Russell 2000(R) Index.         

**These returns reflect expense waivers by the Fund's investment advisor.       
Without these waivers, returns would have been lower. Returns shown do not      
reflect the deduction of taxes that a shareholder would pay on fund             
distributions or the redemption of fund shares.                                 

**The Russell 2000(R) Index is a small-cap equity index comprised of the 2,000  
smallest companies in the Russell 3000(R) Index, which represents approximately 
8% of the total market capitalization of the Russell 3000(R) Index.             

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

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SMALL CAP EQUITY FUND                                                           
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

DECEMBER 31, 2002                   SHARES        VALUE    
-----------------                 ----------   ------------
                                                           
COMMON STOCK -- 93.4%                                      
AUTO & TRANSPORTATION -- 5.0%                              
  Aftermarket Technology               5,200   $     75,400
    Corporation*                                           
  Airborne, Inc.                       3,800         56,354
  Alaska Air Group, Inc.*              1,900         41,135
  Alexander & Baldwin, Inc.            3,200         82,528
  Amerco, Inc.*                          800          3,536
  Arctic Cat, Inc.                       700         11,200
  Arkansas Best Corporation*           1,700         44,168
  ArvinMeritor, Inc.                  18,700        311,729
  Atah Holdings Corporation*             200            914
  Atlas Air Worldwide Holdings,        1,200          1,812
    Inc.*                                                  
  Autoliv, Inc.                       36,700        768,131
  Bandag, Inc.                           800         30,944
  BorgWarner, Inc.                     6,200        312,604
  CNF, Inc.                            7,700        255,948
  Collins & Aikman Corporation*        1,000          4,450
  Continental Airlines, Inc.          25,300        183,425
    Class B*                                               
  Cooper Tire & Rubber Co.            31,900        489,346
  Covenant Transportation, Inc.          500          9,480
    Class A*                                               
  Dura Automotive Systems, Inc.*      27,500        276,100
  EGL, Inc.*                          34,800        495,900
  Expressjet Holdings, Inc.*          51,800        530,950
  Florida East Coast Industries,       1,800         41,760
    Inc.                                                   
  Forward Air Corporation*             1,800         34,938
  Frontier Airlines, Inc.*               500          3,380
  Genesee Wyoming, Inc.*                 600         12,210
  Gulfmark Offshore, Inc.*            14,900        219,775
  Heartland Express, Inc.*             1,100         25,202
  Hunt (J.B.) Transport               13,300        389,690
    Services, Inc.*                                        
  Impco Technologies, Inc.*              900          4,221
  Interpool, Inc.                        400          6,424
  Kansas City Southern*                4,700         56,400
  Keystone Automotive                    700         10,514
    Industries, Inc.*                                      
  Kirby Corporation*                  17,100        468,369
  Mesaba Holdings, Inc.*                 700          4,284
  Midas, Inc.*                           400          2,572
  Midwest Express Holdings,            1,000          5,350
    Inc.*                                                  
  Modine Manufacturing Co.             2,200         38,896
  Offshore Logistics, Inc.*           13,600        298,112
  Old Dominion*                       11,300        320,355
  Oshkosh Truck Corporation              500         30,750
  Overseas Shipholding Group,         42,500        760,750
    Inc.                                                   
  Pacer International, Inc.*          20,900        277,970
  P.A.M. Transportation               26,600        670,586
    Services, Inc.*                                        
  Petroleum Helicopters, Inc.*           200          5,928
  RailAmerica, Inc.*                   2,200         15,774
  Raytech Corporation*                 3,300         18,810
  Roadway Corporation                 14,700        541,107

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Ryder System, Inc.                  47,100   $  1,056,924
  SCS Transportation, Inc.*            7,500         74,325
  Skywest, Inc.                       20,000        261,400
  Standard Motor Products, Inc.          500          6,500
    Class A                                                
  Stolt-Nielsen SA ADR                21,000        131,250
  Superior Industries                    700         28,952
    International, Inc.                                    
  Teekay Shipping Corporation         37,400      1,522,180
  Tenneco Automotive, Inc.*            2,900         11,716
  Tower Automotive, Inc.*             33,700        151,650
  U.S. Xpress Enterprises, Inc.*         400          3,504
  UAL Corporation*                     5,200          7,436
  USFreightways Corporation            7,400        212,750
  Wabash National Corporation*         2,000         16,760
  Werner Enterprises, Inc.             3,000         64,590
  Yellow Corporation*                 30,700        773,364
                                               ------------
                                                 12,573,482
                                               ------------
CONSUMER DISCRETIONARY -- 22.1%                            
  1-800-Flowers.Com, Inc. Class       20,900        130,625
    A*                                                     
  4 Kids Entertainment, Inc.*            700         15,456
  7-Eleven, Inc.*                     27,500        206,250
  99 Cents Only Stores*               19,432        521,944
  Aaron Rents, Inc.                   11,600        253,808
  Acme Communications, Inc.*             200          1,594
  Advance Auto Parts*                 10,400        508,560
  Advanced Marketing Services,           200          2,940
    Inc.                                                   
  Advo, Inc.*                            200          6,566
  Aeropostale, Inc.*                     400          4,228
  Alaska Communications Systems          500            920
    Holdings, Inc.*                                        
  Alberto-Culver Co. Class A          14,000        680,260
  Alderwoods Group, Inc.*              3,100         14,660
  Alliance Data Sysems                55,900        990,548
    Corporation*                                           
  Alloy, Inc.*                         9,600        105,120
  AMC Entertainment, Inc.*            54,900        485,865
  American Eagle Outfitters,          29,300        403,754
    Inc.*                                                  
  American Management Systems,         1,600         19,184
    Inc.*                                                  
  American Woodmark Corporation        5,200        247,000
  Angelica Corporation                   700         14,455
  AnnTaylor Stores Corporation*       20,400        416,568
  Answerthink Inc.*                    2,700          6,750
  Applica, Inc.*                       1,200          6,000
  Arbitron, Inc.*                     27,700        927,950
  Ariba, Inc.*                         9,800         24,304
  Asbury Automotive Group, Inc.*         600          5,046
  Ascent Media Group, Inc.*              400            448
  Avenue A, Inc.*                      2,600          7,540
  Aviall, Inc.*                        1,500         12,075
  Bally Total Fitness Holding          2,200         15,598
    Corporation*                                           
  Banta Corporation                    1,100         34,397

See Notes to Financial Statements.

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                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Barnes & Noble, Inc.*               34,900   $    630,643
Bassett Furniture Industries,          800         11,456
  Inc.                                                   
Beasley Broadcasting Group,         29,700        355,212
  Inc. Class A*                                          
Bell Microproducts, Inc.*            1,300          7,202
Belo Corporation Class A            19,900        424,268
Big 5 Sporting Goods                 4,700         50,713
  Corporation*                                           
BJ's Wholesale Club, Inc.*          24,800        453,840
Blair Corporation                      600         13,992
Blyth, Inc.                          1,500         40,140
Bob Evans Farms, Inc.                2,500         58,375
Boca Resorts, Inc. Class A*          2,200         23,540
Bombay (The) Co., Inc.*              2,600         13,000
Borders Group, Inc.*                21,100        339,710
Bowne & Co., Inc.                   26,300        314,285
Brookstone, Inc.*                      700         10,122
Brown Shoe Co., Inc.                 1,400         33,362
Buckle (The), Inc.*                    500          9,000
Burlington Coat Factory              1,400         25,130
  Warehouse Corporation                                  
Bush Industries, Inc. Class A          600          2,904
California Pizza Kitchen,           11,850        298,620
  Inc.*                                                  
Callaway Golf Co.                   19,900        263,675
Carmax, Inc.*                       19,000        339,720
Carmike Cinemas, Inc.*                 200          3,930
Casey's General Stores, Inc.         3,100         37,851
Catalina Marketing                  15,800        292,300
  Corporation*                                           
CDI Corporation*                       900         24,282
Central Garden & Pet Co.*           21,100        390,561
Central Parking Corporation          5,300         99,958
Championship Auto Racing               800          2,960
  Teams, Inc.*                                           
Charming Shoppes, Inc.*             64,000        267,520
Chattem, Inc.*                       8,600        176,730
Checkers Drive-In Restaurants,         100            626
  Inc.*                                                  
Chemed Corporation                     800         28,280
Cherokee, Inc.*                        300          4,380
Choice Hotels International,        29,600        671,920
  Inc.*                                                  
CKE Restaurants, Inc.*               3,400         14,620
Claires Stores, Inc.                35,300        779,071
Coldwater Creek, Inc.*                 300          5,760
Cole National Corporation*             700          7,980
Cole National Corporation           14,200        288,260
  Class A*                                               
Convergys Corporation*              19,700        298,455
Corinthian Colleges, Inc.*          16,100        609,546
Cornell Co., Inc.*                   1,000          9,000
Cost Plus, Inc.*                     5,200        149,084
CoStar Group, Inc.*                 10,250        189,113
CPI Corporation                        200          2,898
Crown Media Holdings, Inc.*          1,900          4,294
CSK Auto Corporation*                  700          7,700
CSS Industries, Inc.*                  300          9,930
Cumulus Media, Inc. Class A*        12,800        190,336

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Daisytek International               1,400   $     11,102
  Corporation*                                           
Dave & Busters, Inc.*                  900          7,785
Deb Shops, Inc.                     11,300        250,973
Department 56, Inc.*                   900         11,610
DHB Industries, Inc.*                  900          1,494
Diamondcluster International,        1,000          3,140
  Inc.*                                                  
Digitas, Inc.*                         300          1,038
Dollar Thrifty Automotive           26,700        564,705
  Group, Inc.*                                           
DoubleClick, Inc.*                   2,600         14,716
Dover Motorsports, Inc.              1,200          5,580
Dress Barn (The), Inc.*              1,800         23,940
Drugstore.com, Inc.*                 1,900          4,560
E.Piphany, Inc.*                     2,200          9,174
EarthLink, Inc.*                   184,000      1,002,800
Education Management                36,900      1,387,440
  Corporation*                                           
Electro Rental Corporation*          1,100         13,333
Elizabeth Arden, Inc.*                 200          2,960
Emmis Communications                10,400        216,632
  Corporation Class A*                                   
Energizer Holdings, Inc.*           14,500        404,550
Entercom Communications              4,400        206,448
  Corporation*                                           
Entravision Communications          47,500        474,050
  Corporation Class A*                                   
EUniverse, Inc.*                       300          1,704
Finish Line (The), Inc. Class        1,500         15,825
  A*                                                     
Finlay Enterprises, Inc.*              400          4,824
First Consulting Group, Inc.*       37,000        213,120
Fisher Communications, Inc.            400         21,088
Foot Locker, Inc.                   78,100        820,050
Footstar, Inc.*                     67,200        467,712
Fred's, Inc.                        17,900        460,030
Friedman's, Inc. Class A             1,300         11,284
Furniture Brands                    28,600        682,110
  International, Inc.*                                   
Galyan's Trading Co.*                  100          1,000
Gamestop Corporation*               12,900        126,420
Gaylord Entertainment Co.            1,700         35,020
  Class A*                                               
Genesco, Inc.*                      21,600        402,408
Getty Images, Inc.*                 40,600      1,240,330
Goody's Family Clothing, Inc.*       1,200          5,328
Gray Television, Inc.                  600          7,110
Group 1 Automotive, Inc.*              300          7,164
Guess, Inc.*                           600          2,514
Gymboree Corporation*                9,400        149,084
Hall Kinion & Associates,              600          3,355
  Inc.*                                                  
Hancock Fabrics, Inc.                  600          9,150
Handleman Co.*                       1,900         21,850
Haverty Furniture Cos., Inc.           700          9,730
Hiedrick & Struggles                 1,200         17,604
  International, Inc.*                                   

See Notes to Financial Statements.

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                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Hollinger International, Inc         1,200   $     12,192
Hollywood Entertainment             18,700        282,370
  Corporation*                                           
Homestore, Inc.*                     5,700          4,845
Hot Topic, Inc.*                    11,500        263,120
Hughes Supply, Inc.                  1,900         51,908
Icon PLC ADR*                       13,500        363,285
IHOP Corporation*                      200          4,800
Ingram Micro, Inc. Class A*         22,000        271,700
Insight Communications Co.,          3,000         37,140
  Inc.*                                                  
Insurance Auto Auctions, Inc.*         800         13,272
Intertan, Inc.*                        400          2,860
Intrawest Corporation               23,000        285,200
ITT Educational Services,           31,200        734,760
  Inc.*                                                  
J2 Global Communications,            9,550        181,832
  Inc.*                                                  
Jack in the Box, Inc.*               1,600         27,664
Jakks Pacific, Inc.*                 1,800         24,246
Jo-Ann Stores, Inc.                  1,100         25,267
John H. Harland Co.                  1,000         22,130
Johnson Outdoors, Inc.*                300          2,961
Journal Register Co.*                2,100         37,338
K-Swiss, Inc. Class A               11,300        245,323
K2, Inc.*                            1,400         13,160
Kellwood Co.                         2,000         52,000
Kelly Services, Inc.                   700         17,297
Kendle International, Inc.*            700          6,161
Keynote Systems, Inc.*              43,700        337,364
Kforce, Inc.*                        1,400          5,908
Kimball International, Inc.          2,700         38,475
  Class B                                                
Kirkland's, Inc.*                   16,700        188,710
Korn/Ferry International*            3,000         22,440
Kroll, Inc.*                         6,400        122,112
Landry's Restaurants, Inc.          34,900        741,276
Leapfrog Enterprises, Inc.*          8,300        208,745
Libbey, Inc.                         7,500        195,000
Liberty Corporation                  1,300         50,440
Lin TV Corporation Class A*         20,200        491,870
Linens 'N Things, Inc.*             13,200        298,320
Lithia Motors, Inc. Class A*           900         14,121
Lodgenet Entertainment              47,200        504,096
  Corporation*                                           
Lone Star Steakhouse & Saloon,       1,400         27,076
  Inc.                                                   
Long's Drug Stores Corporation       2,400         49,776
Luby's Cafeterias, Inc.*             1,700          4,947
Macrovision Corporation*            33,200        532,528
Madden Steven Ltd.*                    700         12,649
Mail-Well, Inc.*                     2,100          5,250
Marcus Corporation                   1,500         21,300
Marinemax, Inc.*                       600          7,086
Maximus, Inc.*                         200          5,220
Maxwell Shoe Company, Inc.           1,100         12,782
  Class A*                                               
Memberworks, Inc.*                     400          7,192

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Mens Warehouse, Inc.*                1,600   $     27,440
Mobile Mini, Inc.*                     900         14,103
Mohawk Industries, Inc.*             5,800        330,310
Monro Muffler Brake, Inc.*             400          6,760
Mossimo, Inc.*                         300          1,650
Movado Group, Inc.                     700         13,167
Movie Gallery, Inc.*                32,800        426,400
MPS Group, Inc.*                     7,300         40,442
MSC Industrial Direct Co.,          14,100        250,275
  Inc.*                                                  
National Presto Industries,            400         11,752
  Inc.                                                   
Nautica Enterprises, Inc.*          45,900        509,949
Navigant International, Inc.*          900         11,097
Neiman-Marcus Group, Inc.            7,900        215,907
  Class B*                                               
Net2Phone, Inc.*                     1,300          5,265
Netflix.Com, Inc.*                     100          1,101
NetRatings, Inc.*                      600          4,319
O'Charley's, Inc.*                     100          2,053
Office Max, Inc.*                  171,200        856,000
Oneida Ltd.                            600          6,618
Overstock.Com, Inc.*                   100          1,300
Owens & Minor, Inc.                  1,300         21,346
Oxford Industries, Inc.                500         12,825
Panera Bread Company*                6,700        233,227
Papa John's International,          16,900        471,172
  Inc.*                                                  
Paxson Communications                1,000          2,060
  Corporation*                                           
Payless Shoesource, Inc.*           12,700        653,669
PC Connection, Inc.*                   400          2,028
Pegasus Systems, Inc.*               1,900         19,057
Penton Media, Inc.*                    500            340
Pep Boys-Manny, Moe & Jack          57,200        663,520
  (The)                                                  
PF Chang's China Bistro, Inc.*       5,500        199,650
Phillips-Van Heusen                  1,800         20,808
  Corporation                                            
Playtex Products, Inc.*             64,800        640,224
Polaris Industries, Inc.             5,700        334,020
Pricesmart, Inc.*                      300          6,969
Prime Hospitality Corporation*      15,800        128,770
Primedia, Inc.*                    234,600        483,276
Proquest Co.*                       44,000        862,400
Protection One, Inc.*                  900          1,800
Pulitzer, Inc.                      12,000        539,400
Quanta Services, Inc.*               2,400          8,400
Quicksilver, Inc.*                  26,000        693,160
Quintiles Transnational             61,600        745,360
  Corporation*                                           
R.H. Donnelley Corporation*          1,000         29,310
Radio One, Inc. Class D*            33,800        487,734
Rare Hospitality                    24,300        671,166
  International, Inc.*                                   
Regent Communications, Inc.*           900          5,319
Regis Corporation                    1,000         25,990
Remedytemp, Inc. Class A*              400          5,600
Rent-A-Center, Inc.*                30,900      1,543,454
Rent-Way, Inc.*                      1,900          6,650

See Notes to Financial Statements.

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SMALL CAP EQUITY FUND                                                           
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Resources Connection, Inc.*         17,600   $    408,496
Revlon, Inc. Class A*                  600          1,836
Rex Stores Corporation*                700          7,147
Right Management Consultants,          150          1,988
  Inc.*                                                  
Russ Berrie & Co., Inc.                600         20,268
Russell Corporation                 29,100        487,134
Ryan's Family Steak Houses,          9,700        110,095
  Inc.*                                                  
Salton, Inc.*                       22,600        217,412
Sapient Corporation*                 3,500          7,175
Scholastic Corporation*             15,200        546,440
School Specialty, Inc.*             27,900        557,442
Scotts (The) Co.*                   11,400        559,056
SCP Pool Corporation*               44,500      1,299,400
Service Corporation                 23,000         76,360
  International*                                         
Sharper Image Corporation*             100          1,743
Shoe Carnival, Inc.*                   400          5,604
ShopKo Stores, Inc.*                34,900        434,505
Sinclair Broadcasting Group,        26,200        304,706
  Inc.*                                                  
Sirius Satellite Radio, Inc.*        5,100          3,264
Sitel Corporation*                   4,200          5,040
Six Flags, Inc.*                    15,200         86,792
Skechers USA, Inc. Class A*            100            849
Smart & Final Inc.*                    900          4,680
Sotheby's Holdings, Inc. Class      46,600        419,400
  A*                                                     
Source Corporation*                 17,900        332,761
Spanish Broadcasting Systems,       58,900        424,080
  Inc. Class A*                                          
Speedway Motorsports, Inc.             100          2,578
Spherion Corporation*                4,600         30,820
Sports Authority (The), Inc.*       27,500        192,500
Stage Stores, Inc.*                    900         18,936
Stamps.Com, Inc.*                    2,700         12,609
Steak N Shake (The) Co.*             1,200         12,000
Stein Mart, Inc.*                      700          4,270
Steinway Musical Instruments,          300          4,881
  Inc.*                                                  
Stewart Enterprises, Inc.*         156,400        871,304
Strayer Education, Inc.              5,700        327,750
Stride Rite Corporation (The)        3,100         22,227
Summit America Television,           1,200          3,204
  Inc.*                                                  
Sylvan Learning Systems, Inc.*         400          6,560
TBC Corporation*                     1,300         15,613
Thomas Nelson, Inc.*                   600          6,012
Ticketmaster Class B*               11,500        244,030
Tommy Hilfiger Corporation*         84,500        587,275
Topps (The), Co.*                   17,300        150,510
Toro Co.                            10,000        639,000
Tractor Supply Co.*                  7,300        274,480
Trans World Entertainment            1,200          4,356
  Corporation*                                           
Triarc Companies, Inc.*              1,000         26,240
Tupperware Corporation              16,400        247,312

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Tweeter Home Entertainment          37,400   $    219,164
    Group, Inc.*                                           
  Unifi, Inc.*                         3,900         20,475
  UniFirst Corporation                   600         12,120
  United Auto Group, Inc.*             1,300         16,211
  United Stationers, Inc.*             1,800         51,842
  Vail Resorts, Inc.*                    700         10,619
  Valassis Communications, Inc.*      23,000        676,890
  Valueclick, Inc.*                    5,100         14,229
  Valuevision International,           5,600         83,888
    Inc.*                                                  
  Vans, Inc.*                         27,600        156,768
  Vitro SA de CV ADR                  54,300        129,777
  Volt Information Sciences,             600         10,260
    Inc.*                                                  
  Wackenhut Corrections               46,600        517,726
    Corporation*                                           
  Wallace Computer Services,          17,500        376,425
    Inc.                                                   
  Water PIK Technologies, Inc.*          800          5,880
  Watsco, Inc.                         1,300         21,294
  Watson Wyatt & Co. Holdings*           400          8,700
  WESCO International, Inc.*          27,000        148,230
  West Marine, Inc.*                     800         10,952
  Wet Seal, Inc.*                        200          2,152
  Wilsons Leather Experts, Inc.*       1,100          5,500
  Wireless Facilities, Inc.*           1,000          6,010
  Wolverine World Wide, Inc.           3,300         49,863
  World Fuel Services                    500         10,250
    Corporation                                            
  Wyndham International, Inc.*        11,100          2,553
  XM Satellite Radio Holdings,         4,200         11,298
    Inc.*                                                  
  Young Broadcasting Inc. Class          700          9,219
    A*                                                     
  Zomax, Inc.*                         1,400          5,950
                                               ------------
                                                 55,475,022
                                               ------------
CONSUMER STAPLES -- 1.8%                                   
  American Italian Pasta Co.*         17,900        644,042
  Aurora Foods, Inc.*                  1,700          1,326
  Chiquita Brands International,      11,700        155,142
    Inc.*                                                  
  Corn Products International,         2,600         78,338
    Inc.                                                   
  Del Monte Foods Co.*                 6,400         49,280
  Duane Reade, Inc.*                  18,900        321,300
  Farmer Brothers Co.                    100         30,900
  Fleming Cos., Inc.                     400          2,628
  Flowers Foods, Inc.                 18,300        357,033
  Fresh Del Monte Produce, Inc.       22,600        427,366
  Great Atlantic & Pacific Tea         1,300         10,478
    Co., Inc.*                                             
  Hain Celestial Group, Inc.*         34,600        525,920
  Ingles Markets, Inc.                   800          9,415
  International Multifoods             1,100         23,309
    Corporation*                                           
  Interstate Bakeries                 27,300        416,325
    Corporation                                            
  J & J Snack Foods Corporation*         200          7,142
  J.M. Smucker Co. (The)               2,000         79,620
  Nash Finch Co.                         100            773
  Pathmark Stores, Inc.*              39,800        201,786

See Notes to Financial Statements.

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                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Penn Traffic Co.*                      800   $      2,800
  Pilgrim's Pride Corporation-        18,900        111,510
    Class A                                                
  Pilgrim's Pride Corporation-         1,200          9,840
    Class B                                                
  Ralcorp Holdings, Inc.*             26,100        656,154
  Ruddick Corporation                  2,500         34,225
  Seaboard Corporation                    30          7,200
  Sensient Technologies                2,700         60,669
    Corporation                                            
  Tasty Baking Co.                       300          2,610
  United Natural Foods, Inc.*         13,800        349,830
  Weis Markets, Inc.                     800         24,840
                                               ------------
                                                  4,601,801
                                               ------------
ENERGY -- 3.9%                                             
  3Tec Energy Corporation*            17,000        241,230
  Arch Coal, Inc.                      1,700         36,703
  Atwood Oceanics, Inc.*               6,100        183,610
  Berry Petroleum Corporation         23,300        397,265
    Class A                                                
  Brown (Tom) Inc.*                    5,900        148,090
  Cabot Oil & Gas Corporation          2,200         54,516
  Cal Dive International, Inc.*       13,600        319,600
  Chesapeake Energy Corporation          800          6,192
  Comstock Resources, Inc.*            1,800         16,722
  Denbury Resources, Inc*              1,900         21,470
  Dril-Quip, Inc.*                    11,600        196,040
  Encore Acquisition Co.*                700         12,894
  Energy Partners, Ltd*                1,500         16,050
  Evergreen Resources, Inc.*          17,000        762,450
  Fuel Cell Energy, Inc.*              1,000          6,552
  Global Industries, Ltd.*            46,000        191,820
  Gulf Island Fabrication, Inc.*         400          6,500
  Hanover Compressor Co.*              3,400         31,212
  Harvest Natural Resources,           1,300          8,385
    Inc.*                                                  
  Headwaters, Inc.*                   17,100        265,221
  Holly Corporation                      800         17,480
  Horizon Offshore, Inc.*                600          2,988
  Houston Exploration Co.*               200          6,120
  Hydril Company*                     11,200        263,984
  Input/Output, Inc.*                  3,500         14,875
  Key Energy Services, Inc.*             500          4,485
  Lone Star Technologies, Inc.*       34,400        512,216
  Lufkin Industries, Inc.                400          9,380
  Massey Energy Co.                   22,800        221,616
  Meridian Resource Corporation*       2,300          2,070
  NATCO Group, Inc.*                     300          1,884
  Newfield Exploration Co.*           15,700        565,985
  Newpark Resources, Inc.*               400          1,740
  Nuevo Energy Co.*                   44,600        495,060
  Oceaneering International,          25,300        625,922
    Inc.*                                                  
  Oil States International,            1,300         16,770
    Inc.*                                                  
  Parker Drilling Co.*                 6,100         13,542
  Patina Oil & Gas Corporation        19,000        601,350
  Patterson-UTI Energy, Inc.*         10,700        322,819
  Penn Virginia Corporation              600         21,810

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Pride International, Inc.*           7,600   $    113,240
  Quicksilver Resources, Inc.*           200          4,486
  Range Resources Corporation*         4,000         21,600
  Remington Oil & Gas                    400          6,564
    Corporation*                                           
  Rowan Cos., Inc.                    13,400        304,180
  Seacor Smit, Inc.*                   1,400         62,300
  Southwestern Energy Co.*             5,800         66,410
  Spinnaker Exploration Co.*             100          2,205
  St. Mary Land & Exploration          2,100         52,500
    Co.                                                    
  Stone Energy Corporation*              900         30,024
  Swift Energy Co.*                   33,800        326,846
  Syntroleum Corporation*                200            346
  Tesoro Petroleum Corporation*       82,100        371,092
  Tetra Technologies, Inc.*            8,400        179,508
  Transmontaigne, Inc.*                1,400          6,496
  Trico Marine Services, Inc.*        44,200        147,186
  Universal Compression                1,300         24,869
    Holdings, Inc.*                                        
  Valero Energy Corporation            6,000        221,640
  Varco International, Inc.*          15,700        273,180
  Veritas DGC, Inc.*                  38,200        301,780
  Vintage Petroleum, Inc.              3,300         34,815
  Western Gas Resources, Inc.          1,200         44,220
  Westport Resources                   7,100        147,680
    Corporation*                                           
  XTO Energy, Inc.                    12,800        316,160
                                               ------------
                                                  9,703,945
                                               ------------
FINANCIAL SERVICES -- 17.1%                                
  ABC Bancorp                            800         10,360
  Acadia Realty Trust REIT             1,000          7,420
  Advanta Corporation Class B          1,700         15,963
  Affiliated Managers Group,          10,800        543,240
    Inc.*                                                  
  Alabama National                       600         26,100
    Bancorporation                                         
  Alfa Corporation                     1,300         15,614
  Allegiant Bancorp, Inc.                800         14,583
  Amcore Financial, Inc.               1,900         41,230
  American Capital Strategies          2,200         47,498
    Ltd.                                                   
  American Financial Group, Inc.      27,300        629,811
  American Financial Holdings,         1,700         50,796
    Inc.                                                   
  American National Bankshares,          300          7,800
    Inc.                                                   
  American Physicians Capital,           700         13,167
    Inc.*                                                  
  Amli Residential Properties          1,100         23,408
    Trust REIT                                             
  Anthracite Capital, Inc. REIT        3,600         39,240
  Anworth Mortgage Asset               1,900         23,883
    Corporation REIT                                       
  Apex Mortgage Capital, Inc.          2,100         13,734
    REIT                                                   
  Argonaut Group, Inc.                 1,700         25,075
  Associated Banc-Corporation          7,530        255,568
  Associated Estates Realty REIT       1,200          8,100
  Astoria Financial Corporation       19,600        532,140
  Baldwin & Lyons, Inc. Class B          400          9,420

See Notes to Financial Statements.

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SMALL CAP EQUITY FUND                                                           
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Banc (The) Corporation               1,000   $      7,760
Bancfirst Corporation                  300         14,100
Bancorpsouth, Inc.                  34,300        666,106
Bank Mutual Corporation                900         20,817
Bank of Granite Corporation            900         15,750
Bank of The Ozarks, Inc.               100          2,344
Bankatlantic Bancorp, Inc.           3,300         31,185
Bankunited Financial                15,200        245,936
  Corporation Class A*                                   
Banner Corporation                     800         15,088
Bay View Capital Corporation*        4,900         28,175
Bedford Property Investors,          1,100         28,259
  Inc. REIT                                              
Berkshire Hills Bancorp, Inc.          500         11,775
BKF Capital Group, Inc.*               400          7,060
Boston Private Financial            31,000        615,660
  Holdings, Inc.                                         
Bostonfed Bancorp, Inc.                300          8,010
Boykin Lodging Co., REIT             1,300         12,129
Brandywine Realty Trust REIT         2,100         45,801
Brookfield Properties               13,200        266,640
  Corporation                                            
BSB Bancorp, Inc.                      600         12,582
California First National              300          3,840
  Bancorp                                                
Camden National Corporation            500         12,100
Capital Automotive REIT              1,700         40,290
Capital City Bank Group, Inc.          600         23,514
Capitol Federal Financial           22,700        653,760
Capstead Mortgage Corporation          800         19,720
  REIT                                                   
Cascade Bancorp                        400          5,528
Cash America International,          1,700         16,184
  Inc.                                                   
CB Bancshares, Inc.                    300         12,756
CBL & Associates Properties,         1,500         60,075
  Inc. REIT                                              
CCBT Financial Cos., Inc.              600         15,408
Center Trust, Inc.                     800          6,240
Ceres Group, Inc.*                   1,400          2,688
Century Bancorp, Inc. Class A          100          2,652
Century Business Services,          86,100        228,165
  Inc.*                                                  
CFS Bancorp, Inc.                      900         12,870
Charles River Associates,              500          7,080
  Inc.*                                                  
Charter Financial Corporation          200          6,216
Charter Municipal Mortgage           3,200         55,584
  Acceptance Co.                                         
Chemical Financial Corporation       1,600         51,440
Chicago Mercantile Exchange          5,500        240,130
Citizens First Bancorp, Inc.           700         14,741
City Bank Lynwood                      200          4,950
City Holdings Co.                      500         14,125
Clark Bardes, Inc.*                    800         15,400
CNA Surety Corporation               1,200          9,420
Coastal Bancorp, Inc.                  300          9,705
Colonial Properties Trust REIT       1,100         37,334
Columbia Banking System, Inc.*       1,000         12,610
Commerce Bancshares, Inc.           21,735        853,968
Commerce Group, Inc.                15,700        588,593

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Commercial Federal Corporation      39,500   $    922,325
Commercial Net Lease Realty          2,900         44,457
  REIT                                                   
Commonwealth Bancorp, Inc.             500         23,185
Community Banks, Inc.                  200          5,540
Community Bank Systems, Inc.           900         28,215
Community First Bankshares,          1,900         50,274
  Inc.                                                   
Community Trust Bancorp, Inc.          990         24,889
CompuCredit Corporation*             1,000          7,070
Connecticut Bancshares Inc.            900         34,605
Cornerstone Realty Income            3,800         30,248
  Trust, Inc. REIT                                       
Corporate Executive Board Co.*      40,000      1,276,799
Corporate Office Properties          1,300         18,239
  Trust REIT                                             
Correctional Properties Trust          600         13,020
  REIT                                                   
Corus Bankshares, Inc.                 700         30,562
CPB, Inc.                              100          2,745
Credit Acceptance Corporation*         200          1,276
CVB Financial Corporation           19,700        500,971
Delphi Financial Group, Inc.        16,700        633,932
  Class A                                                
Deluxe Corporation                  11,700        492,570
Dime Community Bancshares           18,600        356,190
Doral Financial Corporation         22,500        643,500
DVI Inc.*                            1,000          7,550
East West Bancorp, Inc.              3,400        122,672
Eastgroup Properties REIT            1,100         28,050
EMC Insurance Group, Inc.              200          3,574
Entertainment Properties Trust       1,300         30,576
  REIT                                                   
Equity Inns, Inc. REIT               3,200         19,264
Equity One, Inc. REIT                  500          6,675
Espirito Santo Financial Group      21,412        358,437
  SA ADR                                                 
F&M Bancorp                            700         22,400
Farmers Capital Bank                   400         13,300
  Corporation                                            
FBL Financial Group, Inc.              900         17,523
  Class A                                                
FBR Asset Investment                 1,600         54,240
  Corporation REIT                                       
Federated Investors, Inc.           18,500        469,345
  Class B                                                
Felcor Lodging Trust, Inc.           3,900         44,616
  REIT                                                   
Fidelity Bankshares, Inc.            1,200         21,480
Fidelity National Financial,        27,200        892,976
  Inc.                                                   
Financial Industries                   600          8,544
  Corporation                                            
First American Corporation          30,500        677,100
First Bancorp North Carolina           600         14,106
First Banks America, Inc.*             100          4,054
First Charter Corporation            2,400         43,200
First Citizens BancShares,             500         48,300
  Inc.                                                   
First Commonwealth Financial         4,600         52,900
  Corporation                                            

See Notes to Financial Statements.

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                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
First Community BancShares,            400   $     12,304
  Inc.                                                   
First Defiance Financial               400          7,560
  Corporation                                            
First Essex Bancorp, Inc.              500         16,700
First Federal Capital                1,300         25,102
  Corporation                                            
First Financial Corporation            500         24,315
First Financial Bancorp              2,600         42,617
First Financial Bankshares,            600         22,800
  Inc.                                                   
First Financial Holdings, Inc.         900         22,284
First Indiana Corporation              900         16,668
First Merchants Corporation          1,120         25,525
First National Corporation             220          5,280
First Oak Brook Bancshares,            200          6,284
  Inc.                                                   
First of Long Island                   200          7,300
  Corporation (The)                                      
First Place Financial of Ohio        1,000         16,630
First Republic Bank*                   700         13,993
First Source Corporation             1,100         18,425
Firstfed America Bancorp, Inc.         600         14,910
Firstfed Financial Corporation      23,500        680,325
Flagstar Bancorp, Inc.              29,650        640,440
Flushing Financial Corporation         700         11,465
FNB Corporation                        400          9,492
FPIC Insurance Group, Inc.*            700          4,830
Fremont General Corporation          4,600         20,654
Friedman, Billings, Ramsey             200          1,872
  Group, Inc.*                                           
FTI Consulting, Inc.*                6,250        250,938
Gabelli Asset Management Inc.*      10,800        324,432
Gables Residential Trust REIT        1,700         42,381
Gartner, Inc. Class B*              83,500        789,075
GBC Bancorp                            600         11,616
German American Bancorp                735         11,429
Glacier Bancorp, Inc.                  400          9,428
Glenborough Realty Trust, Inc.       1,200         21,384
  REIT                                                   
Glimcher Realty Trust REIT             400          7,100
Gold Banc Corporation, Inc.          2,500         24,803
Granite State Bankshares, Inc.         200          8,738
Great American Financial               600         10,320
  Resources, Inc.                                        
Great Lakes Reit, Inc. REIT          1,000         16,650
Greater Bay Bancorp                 14,000        242,060
Hancock Holding Co.                  1,000         44,650
Harbor Florida Bancshares,           1,300         29,276
  Inc.                                                   
Harleysville Group, Inc.             2,300         60,789
Hawthorne Financial                    600         17,124
  Corporation*                                           
HCC Insurance Holdings, Inc.        12,800        314,880
Health Care Reit, Inc. REIT          3,100         83,855
Healthcare Realty Trust, Inc.        3,300         96,525
  REIT                                                   
Heritage Property Investment         1,400         34,958
  Trust REIT                                             
Hibernia Corporation Class A        42,500        818,550

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Hilb, Rogal & Hamilton Co.           4,000   $    163,600
Home Properties of New York,         2,000         68,900
  Inc. REIT                                              
Horace Mann Educators                2,800         42,924
  Corporation*                                           
HRPT Properties Trust REIT          10,100         83,224
Hudson River Bancorp, Inc.           1,200         29,700
Iberiabank Corporation                 500         20,080
Impac Mortgage Holdings, Inc.        3,500         40,250
  REIT                                                   
Independence Community Bank         23,200        588,816
  Corporation                                            
Independence Holding Co.               300          6,441
Independent Bank Corporation           630         19,064
IndyMac Bancorp, Inc.*              34,800        643,452
Innkeepers USA Trust REIT            2,000         15,320
Insignia Financial Group,            1,500         10,875
  Inc.*                                                  
Integra Bank Corporation             1,200         21,384
Investment Technology Group,        33,700        753,532
  Inc.*                                                  
Investors Financial Services        46,300      1,268,157
  Corporation                                            
Investors Real Estate Trust          1,800         17,964
  REIT                                                   
IPC Holdings, Ltd.*                 16,400        517,256
IRT Property Co. REIT                2,600         30,862
Irwin Financial Corporation          1,100         18,150
Itla Capital Corporation*              400         13,292
JDN Realty Corporation REIT          2,700         29,565
Jefferies Group, Inc.                9,650        405,011
Kansas City Life Insurance Co.         300         11,370
Keystone Property Trust REIT         1,300         22,061
Kilroy Realty Corporation REIT       1,900         43,795
Knight Trading Group, Inc.*          5,900         28,261
Koger Equity, Inc. REIT              1,500         23,400
Kramont Realty Trust REIT            1,400         20,510
La Quinta Corporation REIT*         59,000        259,600
LaBranche & Co., Inc.*              20,000        532,800
Lakeland Financial Corporation         100          2,345
Landamerica Financial Group,        17,300        613,285
  Inc.                                                   
Lasalle Hotel Properties REIT        1,300         18,200
Lawson Products, Inc.                  400         12,392
Lendingtree, Inc.*                     300          3,864
Lexington Corporate Properties       2,000         31,800
  Trust REIT                                             
Local Financial Corporation*         1,400         20,510
LSB Bancshares, Inc.                   600          9,720
LTC Properties, Inc. REIT            1,100          7,392
Macatawa Bank Corporation              500          9,925
MAF Bancorp, Inc.                    1,000         33,930
MainSource Financial Group,            420         10,085
  Inc.                                                   
Markel Corporation*                  6,600      1,356,299
Massbank Corporation                   300          8,490
MB Financial, Inc.                     800         27,832
MCG Capital Corporation              1,200         12,888
Meemic Holdings, Inc.*                 100          2,894

See Notes to Financial Statements.

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SMALL CAP EQUITY FUND                                                           
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Merchant Bancshares, Inc.              100   $      2,254
MeriStar Hospitality                 3,200         21,120
  Corporation REIT                                       
Metris Cos., Inc.                    2,400          5,928
MFA Mortgage Investments, Inc.       2,700         22,680
Mid-America Apartment                1,100         26,895
  Communities, Inc. REIT                                 
Mid-Atlantic Realty Trust REIT         200          3,480
Mid-State Bancshares                 1,700         27,917
Midland Co.                            600         11,400
Mission West Properties, Inc.          700          6,930
  REIT                                                   
Montpelier Re Holdings Ltd.*        11,500        331,200
NASB Financial, Inc.                   100          2,300
National Health Investors,           1,800         28,944
  Inc. REIT                                              
National Health Realty, Inc.           500          7,300
  REIT                                                   
National Western Life                  200         19,200
  Insurance Co. Class A*                                 
Nationwide Health Properties,        3,500         52,255
  Inc.                                                   
Navigators Group, Inc.*                300          6,885
NBC Capital Corporation                400         10,080
NBT Bancorp, Inc.                    1,200         20,484
NCO Group, Inc.*                     1,500         23,925
NetBank, Inc.*                       2,600         25,168
New Century Financial               26,300        667,757
  Corporation                                            
Novastar Financial, Inc. REIT          800         24,824
NYMAGIC, Inc.*                         100          1,945
OceanFirst Financial                   400          8,980
  Corporation                                            
Ocwen Financial Corporation*         2,800          7,840
Odyssey Re Holdings                 37,400        661,980
  Corporation                                            
Ohio Casualty Corporation*           4,000         51,800
Old Republic International          20,100        562,800
  Corporation                                            
Old Second Bancorp, Inc.               400         14,800
Omega Financial Corporation            600         21,510
Omega Healthcare Investors,          1,200          4,488
  Inc. REIT*                                             
Pacific Northwest Bancorp              200          5,000
Pacific Union Bank*                    300          3,453
Pan Pacific Retail Properties,       2,600         94,978
  Inc. REIT                                              
Parkvale Financial Corporation         400          9,220
Parkway Properties, Inc. REIT          600         21,048
Partners Trust Financial               400          6,448
  Group, Inc.                                            
Pennfed Financial Services,            400         10,860
  Inc.                                                   
Peoples Bancorp, Inc.                  400         10,240
Peoples Holding Co.                    400         16,300
PFF Bancorp, Inc.                      900         28,125
Philadelphia Consolidated            1,300         46,020
  Holdings Corporation*                                  
Pico Holdings, Inc.*                   500          6,715

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
PMA Capital Corporation Class       18,500   $    265,105
  A                                                      
PMI Group, Inc. (The)               16,100        483,644
Port Financial Corporation             400         17,848
Post Properties, Inc. REIT           2,600         62,140
Prentiss Property Trust REIT         2,400         67,872
Presidential Life Corporation        1,600         15,888
PRG-Schultz International,          54,000        480,600
  Inc.*                                                  
Price Legacy Corporation REIT*       1,400          3,920
ProAssurance Corporation*            1,900         39,900
Prosperity Bancshares, Inc.            500          9,500
Provident Bankshares                 1,700         39,289
  Corporation                                            
PS Business Parks, Inc. REIT           800         25,440
Quaker City Bancorp, Inc.*             400         13,172
R&G Financial Corporation           16,400        381,300
  Class B                                                
Rait Investment Trust REIT           1,200         25,920
Ramco-Gershens Properties REIT         700         13,825
Raymond James Financial, Inc.       12,300        363,834
Realty Income Corporation REIT       2,600         91,000
Redwood Trust, Inc. REIT               900         24,930
RenaissanceRe Holdings, Ltd.        14,000        554,400
Republic Bancorp, Inc.               3,790         44,308
Republic Bancshares, Inc.*             400          7,860
RFS Hotel Investors, Inc. REIT       2,300         24,978
Riggs National Corporation           1,100         17,039
RLI Corporation                      1,200         33,480
Royal Bancshares of                    200          4,280
  Pennsylvania, Inc.                                     
S&T Bancorp, Inc.                      200          5,010
Sandy Spring Bancorp, Inc.             600         18,900
Santander Bancorp                      700          9,100
Saul Centers, Inc. REIT                700         16,660
Saxon Capital Acquisition            2,000         25,020
  144A*                                                  
Scottish Annuity & Life             30,950        540,078
  Holdings, Ltd.                                         
Seacoast Banking Corporation           700         13,188
  of Florida                                             
Seacoast Financial Services          1,800         36,020
  Corporation                                            
Second Bancorp, Inc.                   500         13,250
Selective Insurance Group,           2,000         50,360
  Inc.                                                   
Senior Housing Properties            3,600         38,196
  Trust REIT                                             
Sentenial Bancorp, Inc.              1,800         25,902
Shurgard Storage Centers, Inc.         600         18,804
  REIT                                                   
Simmons Firsy National                 600         21,990
  Corporation                                            
Sizeler Property Investments           700          6,503
  REIT                                                   
SL Green Realty Corporation          2,100         66,360
  REIT                                                   
South Financial Group. Inc.          3,500         72,310
Southwest Bancorp, Inc.                400         10,396

See Notes to Financial Statements.

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                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Southwest Bancorporation of          4,300   $    123,883
  Texas, Inc.*                                           
Sovereign Bancorp, Inc.             42,900        602,745
Sovran Self-Storage, Inc. REIT       1,000         28,360
St. Francis Capital                    600         14,052
  Corporation                                            
Stancorp Financial Group, Inc.      12,900        630,165
State Auto Financial                 1,000         15,500
  Corporation                                            
State Bancorp, Inc.                    500          9,000
Staten Island Bancorp, Inc.         25,700        517,598
Sterling Bancorp                       600         15,792
Sterling Bancshares, Inc.            1,500         18,330
Sterling Financial Corporation       1,200         24,033
Stewart Information Services        21,700        464,163
  Corporation Class A*                                   
Summit Bancshares, Inc.                300          5,850
Summit Properties, Inc. REIT         1,700         30,260
Sun Bancorp, Inc.                      900         13,962
Sun Communities, Inc. REIT             500         18,285
Superior Financial Corporation         500          9,186
Susquehanna Bancshares, Inc.         2,700         56,271
SWS Group, Inc.                      1,100         14,916
Taubman Centers, Inc. REIT           2,300         37,329
Texas Regional Banchshares,          1,000         35,541
  Inc.                                                   
Thornburg Mortgage, Inc. REIT        4,100         82,410
Tompkins Trustco, Inc.                 100          4,410
Trammell Crow Co.*                   2,300         20,700
Transcontinental Realty                200          3,528
  Investors Inc., REIT*                                  
Triad Guaranty, Inc.*                  400         14,744
Trico Bancshares                       200          4,920
Troy Financial Corporation             700         18,886
Trust Co. of New Jersey              1,100         30,614
U.S. Restaurant Properties,          1,500         21,120
  Inc. REIT                                              
U.S.B. Holding Co, Inc.                500          8,850
UCBH Holdings, Inc.                 25,900      1,099,455
UICI*                               39,000        606,450
UMB Financial Corporation            1,300         49,739
Umpqua Holdings Corporation            748         13,651
Union Bankshares Corporation           600         16,350
United Community Financial           2,400         20,760
  Corporation                                            
United Fire & Casualty Co.             600         20,070
United National Bancorp                300          6,915
Universal American Financial         1,800         10,474
  Corporation*                                           
Universal Health Realty Income         700         18,375
  Trust REIT                                             
Unizan Financial Corporation         1,700         33,575
Urstadt Biddle Properties            1,400         15,512
  Class A REIT                                           
Ventas, Inc. REIT                    3,800         43,510
Vesta Insurance Group, Inc.          2,500          6,875
Virginia Financial Group, Inc.         100          2,980
W Holding Co., Inc.                  1,800         29,538
W.R. Berkley Corporation            13,450        532,755

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Walter Industries, Inc.              8,900   $     96,387
  Warwick Community Bancorp,             300          8,499
    Inc.                                                   
  Washington Federal, Inc.            13,915        345,788
  Waypoint Financial Corporation       3,000         53,400
  Webster Financial Corporation       19,500        678,600
  Wellsford Real Properties,             400          6,304
    Inc.*                                                  
  Wesbanco, Inc.                       1,700         39,763
  West Coast Bancorp                   1,200         18,180
  Westcorp                               600         12,600
  Westfield Financial, Inc.              400          6,200
  WFS Financial, Inc.*                   100          2,091
  Willow Grove Bancorp, Inc.             400          5,560
  Winston Hotels, Inc. REIT            1,300         10,140
  Wintrust Financial Corporation      22,400        701,568
  Wit Soundview Group, Inc.*           5,500          8,250
  World Acceptance Corporation*          800          6,088
  WSFS Financial Corporation             100          3,297
  Yardville National Bancorp             500          8,620
  Zenith National Insurance              500         11,760
    Corporation                                            
                                               ------------
                                                 42,906,587
                                               ------------
HEALTHCARE -- 10.4%                                        
  Abgenix, Inc.*                       6,100         44,957
  Abiomed, Inc.*                         900          3,276
  Accredo Health, Inc.*                7,350        259,088
  Affymetrix, Inc.*                   20,700        473,823
  Alaris Medical, Inc.                   200          1,220
  Alexion Pharmaceuticals, Inc.*       1,400         19,768
  Align Tech, Inc.*                    2,300          6,350
  Alliance Imaging, Inc.*                800          4,240
  Allscripts Healthcare                  200            478
    Solutions, Inc.*                                       
  Alpharma, Inc.                      30,200        359,682
  American Medical Security              500          6,990
    Group, Inc.*                                           
  American Pharmaceutical             11,400        202,920
    Partners, Inc.*                                        
  Ameripath, Inc.*                       600         12,900
  Amylin Pharmaceuticals, Inc.*        1,300         20,982
  Angiotech Pharmaceuticals,          12,650        430,859
    Inc.*                                                  
  Applied Molecular Evolution,         1,100          2,255
    Inc.*                                                  
  Apria Healthcare Group, Inc.*       28,800        640,512
  Arena Pharmaceuticals, Inc.*         1,500          9,765
  Arqule, Inc.*                        1,600          4,880
  Arrow International, Inc.              400         16,268
  Arthrocare Corporation*                200          1,970
  Atrix Laboratories, Inc.*           23,400        358,933
  Avanir Pharmaceuticals Class         1,200          1,200
    A*                                                     
  Avigen, Inc.*                        1,500          8,565
  Beverly Enterprises, Inc.*           2,900          8,265
  Bio-Rad Laboratories, Inc.          20,700        801,090
    Class A*                                               
  Bio-Reference Laboratories,            100            617
    Inc.*                                                  

See Notes to Financial Statements.

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SMALL CAP EQUITY FUND                                                           
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Bio-Technology General               4,600   $     14,725
  Corporation*                                           
Bone Care International, Inc.*         200          1,946
Bruker Axs, Inc.*                      100            181
Cambrex Corporation                    700         21,147
Cardiac Science, Inc.*                 800          1,768
Celera Genomics Group-Applera        2,500         23,875
  Corporation*                                           
Cell Genesys, Inc.*                  2,600         28,993
Cell Therapeutics, Inc.*             2,600         18,902
Centene Corporation*                   100          3,359
Charles River Laboratories          24,700        950,456
  International, Inc.*                                   
Cima Labs, Inc.*                       700         16,934
Ciphergen Biosystems, Inc.*            600          2,070
Columbia Laboratories, Inc.*           500          1,680
Conmed Corporation*                  1,000         19,590
Conventry Health Care, Inc.*        10,000        290,300
Corixa Corporation*                  3,600         23,004
Covance, Inc.*                      23,200        570,488
CTI Molecular Imaging, Inc.*         2,500         61,650
CuraGen Corporation*                 1,500          6,975
CV Therapeutics, Inc.*               2,100         38,262
Datascope Corporation                  900         22,321
DaVita, Inc.*                       58,200      1,435,793
Decode Genetics, Inc.*               2,700          4,995
Deltagen, Inc.*                        500            240
Discovery Partners                   1,300          3,614
  International*                                         
Diversa Corporation*                   600          5,430
DJ Orthopedics, Inc.*                  500          1,880
Eon Labs, Inc.*                     13,400        253,394
Epix Medical, Inc.*                    200          1,446
Esperion Therapeutics, Inc.*         1,200          8,530
Exelixis, Inc.*                      3,300         26,400
First Health Group                  26,500        645,275
  Corporation*                                           
Gene Logic, Inc.*                    2,100         13,209
Genesis Health Ventures, Inc.*      12,800        197,760
Gentiva Health Services, Inc.        1,800         15,858
Genzyme Corporation -- Genzyme       2,800          7,140
  BioSurgery Division*                                   
Guilford Pharmaceuticals,            1,800          7,164
  Inc.*                                                  
Haemonetics Corporation*             3,300         70,818
Hanger Orthopedic Group Inc.*        1,300         17,095
Hologic, Inc.*                         100          1,221
IGEN International, Inc.*              200          8,570
ILEX Oncology, Inc.*                   300          2,118
Illumina, Inc.*                      1,500          5,055
ImClone Systems, Inc.*               1,500         15,932
Immunogen, Inc.*                     3,400         10,540
Incyte Genomics, Inc.*               5,300         24,168
Inhale Therapeutic Systems,          4,300         34,744
  Inc.*                                                  
Intermune, Inc.*                     4,400        112,244
Invacare Corp.                       6,000        199,800
Invitrogen Corporation*             18,200        569,478
Kindred Healthcare, Inc.*              900         16,336
KOS Pharmaceuticals, Inc.*          14,800        281,200

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
KV Pharmaceutical Co. Class A*      22,975   $    533,020
Kyphon, Inc.*                          100            854
Lexicom Genetics, Inc.*              2,600         12,298
Ligand Pharmaceuticals, Inc.         1,100          5,907
  Class B*                                               
Martek Biosciences                  12,800        322,048
  Corporation*                                           
Matria Healthcare, Inc.*               200          1,738
Maxygen, Inc.*                       2,200         16,764
Medarex, Inc.*                       5,400         21,330
Medcath Corporation*                   500          5,000
Medical Staffing Network            10,900        174,400
  Holdings, Inc.*                                        
Medicines Co.*                      12,350        197,847
Medicis Pharmaceutical Class        26,800      1,331,155
  A*                                                     
MedQuist, Inc.*                     15,500        314,030
Mid Atlantic Medical Services,       3,300        106,920
  Inc.*                                                  
Millipore Corporation                9,600        326,400
Myriad Genetics, Inc.*              14,400        210,240
Nabi BioPharmaceuticals*             3,000         18,600
National Data Corporation           44,700        889,530
National Healthcare                    400          7,000
  Corporation*                                           
Nature's Sunshine Products,            800          7,768
  Inc.                                                   
NBTY, Inc.*                         13,100        230,298
Neopharm, Inc.*                        900          9,126
Neose Technologies, Inc.*              800          7,096
Neurocrine Biosciences, Inc.*        2,700        123,282
Neurogen Corporation*                  700          2,541
NPS Pharmaceuticals, Inc.            5,000        125,850
Nu Skin Enterprises, Inc.           25,100        300,447
  Class A                                                
Ocular Sciences, Inc.*              36,100        560,272
Odyssey Healthcare, Inc.*            3,500        121,450
Omnicare, Inc.                      36,300        865,029
Onyx Pharmaceuticals, Inc.*          1,000          5,810
Option Care, Inc.*                     100            796
OSI Pharmaceuticals, Inc.*           2,400         39,360
Oxford Health Plans, Inc.*          14,400        524,880
PacifiCare Health Systems,          17,400        488,940
  Inc.*                                                  
PAREXEL International                1,300         14,287
  Corporation*                                           
PDI, Inc.*                             300          3,237
Pediatrix Medical Group Inc.*          300         12,018
Pharmaceutical Resources,           20,400        607,920
  Inc.*                                                  
Pharmacopeia, Inc.*                  1,800         16,056
Pozen, Inc.*                         1,700          8,755
Praecis Pharmaceuticals, Inc.*       4,000         13,000
Prime Medical Services, Inc.*        1,100          9,537
Priority Healthcare                 23,400        542,880
  Corporation Class B*                                   
Protein Design Labs, Inc.*          59,800        508,300
Province Healthcare Co.*            20,900        203,357
ProxyMed, Inc.*                        400          4,176
PSS World Medical, Inc.*             5,600         38,304
RehabCare Corporation*                 500          9,540
Res-Care, Inc.*                      1,100          3,992
Respironics, Inc.*                  46,400      1,411,997

See Notes to Financial Statements.

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                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Sangamo Biosciences, Inc.*             100   $        301
  Scios, Inc.*                        14,300        465,894
  Seattle Genetics, Inc.*                500          1,550
  Sepracor, Inc.*                      1,500         14,505
  Sequenom, Inc.*                      2,800          5,040
  Sierra Health Services, Inc.*       20,800        249,808
  Sola International Inc*              5,300         68,900
  Specialty Laboratories, Inc.*          400          3,864
  Steris Corporation*                 12,100        293,425
  Sunrise Assisted Living, Inc.*       1,400         34,846
  Supergen, Inc.*                      2,200          7,986
  Surmodics, Inc.*                    10,700        306,876
  Sybron Dental Specialties,           1,300         19,305
    Inc.*                                                  
  Tanox, Inc.*                         1,200         10,860
  Taro Pharmaceuticals                15,800        594,080
    Industries, Ltd.*                                      
  Techne Corporation*                  5,700        162,838
  Texas Biotechnology                    200            280
    Corporation*                                           
  Theragenics Corporation*             2,100          8,463
  Thoratec Corporation*                3,800         28,994
  Trimeris, Inc.*                      1,700         73,253
  Tripath Imaging, Inc.*               1,600          4,288
  U.S. Oncology Resources, Inc.*      97,400        844,458
  United Surgical Partners            14,800        231,191
    International, Inc.*                                   
  United Therapeutics                  1,200         20,040
    Corporation*                                           
  VCA Antech, Inc.*                   54,600        819,000
  Viasys Healthcare, Inc.*             2,000         29,780
  Vical, Inc.*                         1,400          4,858
  West Pharmaceutical Services,        7,800        190,320
    Inc.                                                   
  Zoll Medical Corporation*           12,225        436,066
  Zymogenetics, Inc.*                    300          2,970
                                               ------------
                                                 26,067,347
                                               ------------
MATERIALS & PROCESSING -- 7.5%                             
  Agrium, Inc.                        10,900        123,279
  Airgas, Inc.*                       33,700        581,325
  AK Steel Holding Corporation*       88,800        710,400
  Albemarle Corporation               19,800        563,310
  Alico, Inc.                            300          7,980
  Allegheny Technologies, Inc.        39,700        247,331
  Amcol International                  1,500          8,700
    Corporation                                            
  Apogee Enterprises, Inc.               200          1,790
  Arch Chemicals, Inc.                 1,600         29,200
  Ashland, Inc.                       11,700        333,801
  Avatar Holdings, Inc.*                 300          6,900
  Baker, (Michael) Corporation*          300          3,285
  Barnes Group, Inc.                     700         14,245
  Boise Cascade Corporation           10,400        262,288
  Brush Engineered Materials,          1,300          7,150
    Inc.*                                                  
  Buckeye Technologies, Inc.*          2,000         12,300
  Building Material Holding            1,000         14,300
    Corporation                                            
  Butler Manufacturing Co.               400          7,740
  Calgon Carbon Corporation            2,600         12,844
  Caraustar Industries, Inc.*          2,100         19,908

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Carpenter Technology                 4,100   $     51,045
  Corporation                                            
Casella Waste Systems, Inc.          1,300         11,557
  Class A*                                               
Castle (A.M.) & Co.*                   500          2,275
Catellus Development                25,500        506,175
  Corporation*                                           
Centex Construction Products,          400         14,060
  Inc.                                                   
Century Aluminum Co.                   900          6,669
Chesapeake Corporation              20,800        371,280
Circor International, Inc.             800         12,720
Cleveland Cliffs, Inc.                 700         13,895
Comfort Systems USA, Inc.*           3,000         10,050
Commercial Metals Co.               30,700        498,568
Concord Camera Corporation*          1,900         10,317
Consolidated Graphics, Inc.*           900         20,025
Corrections Corporation of           2,200         37,730
  America*                                               
Crompton Corporation                30,400        180,880
Crown Cork & Seal Co., Inc.*        12,500         99,375
Culp, Inc.*                            500          4,250
Cytec Industries, Inc.*             13,000        354,640
Delta & Pine Land Co.                1,300         26,533
Deltic Timber Corporation              400         10,680
Drew Industries, Inc.*                 400          6,420
Dycom Industries, Inc.*              3,800         50,350
EMCO Group, Inc.*                    1,100         58,311
Encore Wire Corporation*               700          6,335
Ferro Corporation                    1,200         29,316
Florida Rock Industries, Inc.        1,300         49,465
FMC Corporation*                    11,500        314,180
Fuller (H.B.) Co.                    2,200         56,936
G & D Services, Inc.                 1,000         35,401
Gartner, Inc. Class A*               4,400         40,480
Georgia Gulf Corporation             1,000         23,140
Gibraltar Steel Corporation            700         13,328
Glatfelter, (P.H.) Co.               5,600         73,696
Grace, (W.R.) & Co.*                 3,300          6,468
Granite Construction, Inc.          17,100        265,050
Graphic Packaging                    1,800         10,152
  International Corporation*                             
Great Lakes Chemical                10,300        245,964
  Corporation                                            
Greif Bros Corporation Class A      20,600        490,280
Healthcare Services Group,             700          9,128
  Inc.*                                                  
Hercules, Inc.*                     13,200        116,160
IMCO Recycling, Inc.*                  500          4,065
Inco, Ltd.*                         32,500        689,650
Insituform Technology, Inc.*           100          1,705
Integrated Electical Services,       2,500          9,625
  Inc.*                                                  
Intermet Corporation                 1,600          6,720
International Speciality               800          8,168
  Products, Inc.*                                        
Jones Lang Lasalle, Inc.*            2,000         30,760

See Notes to Financial Statements.

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SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Kadant, Inc.*                        1,100   $     16,500
Kaydon Corporation                   1,600         33,936
Ladish Co., Inc.*                      700          5,642
Lennox International, Inc.           3,300         41,415
Liquid Metal Technologies*             300          3,084
LNR Property Corporation            20,600        729,240
Longview Fibre Co.                  17,700        127,971
Louisiana-Pacific Corporation*      34,700        279,682
LSI Industries, Inc.                   300          4,155
Lubrizol Corporation                10,100        308,050
MacDermid, Inc.                     16,300        372,455
Material Sciences Corporation*         800         10,352
Maui Land & Pineapple Co.,             200          3,168
  Inc.*                                                  
Maverick Tube Corporation*          19,800        257,994
Mestek, Inc.*                          200          3,586
Millennium Chemicals, Inc.           4,900         46,648
Minerals Technologies, Inc.          1,600         69,040
Mueller Industries, Inc.*            7,300        198,925
Myers Industries, Inc.               1,475         15,783
NCI Building Systems, Inc.*          1,400         30,548
NL Industries, Inc.                    700         11,900
Nortek Holdings Inc*                10,400        475,800
Northwest Pipe Co.*                    300          5,190
NS Group, Inc.*                      1,300          8,476
Octel Corporation                      800         12,640
Olin Corporation                       320          4,976
Omnova Solutions, Inc.*              3,100         12,493
Oregon Steel Mills, Inc.*            2,000          8,040
Owens-Illinois, Inc.*               38,400        559,872
Penford Corporation                    200          2,818
Penn Engineering &                     900          9,585
  Manufacturing Corporation                              
PolyOne Corporation                 17,800         69,776
Pope & Talbot, Inc.                  1,200         17,112
Potlatch Corporation                 5,500        131,340
Precision Castparts                 28,600        693,550
  Corporation                                            
Quaker Fabric Corporation*             900          6,255
Quanex Corporation                  16,300        546,050
Rayonier, Inc.                      18,900        855,225
Reliance Steel & Aluminum Co.       13,800        287,592
Roanoke Electric Steel                 800          7,600
  Corporation                                            
Rock-Tenn Co. Class A                  900         12,132
RTI International Metals,            1,600         16,160
  Inc.*                                                  
Ryerson Tull, Inc.                   1,700         10,370
Schnitzer Steel Industries,            300          6,270
  Inc.                                                   
Schulman (A.), Inc.                 21,800        405,698
Seminis, Inc. Class A*               1,000          2,880
Silgan Holdings, Inc.*               7,600        187,568
Solutia, Inc.                        8,200         29,766
Southern Peru Copper                 1,100         15,840
  Corporation                                            
Spartech Corporation                12,900        266,127
Standard Register Co.                  400          7,200
Steel Dynamics, Inc.*               27,900        335,637

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Stepan Co.                             500   $     12,500
  Stericycle, Inc.*                   16,600        537,491
  Stillwater Mining Co.*               3,400         18,190
  Terra Industries, Inc.*              2,900          4,437
  Texas Industries, Inc.               1,600         38,880
  Timken Co.                           9,500        181,450
  Tremont Corporation                    100          2,980
  Trex Co., Inc.*                        100          3,530
  U.S. Concrete, Inc.*                 1,500          8,205
  United States Steel                 42,200        553,664
    Corporation                                            
  Universal Forest Products,           1,100         23,453
    Inc.                                                   
  USEC, Inc.                          31,200        187,824
  USG Corporation*                     2,900         24,505
  Valhi, Inc.                          1,400         11,620
  Waste Connections, Inc.*               300         11,583
  Wausau-Mosinee Paper                30,100        337,722
    Corporation                                            
  Wellman, Inc.                       29,100        392,559
  West Point Stevens, Inc.*            1,600            944
  Worthington Industries, Inc.        43,600        664,464
  York International Corporation       9,500        242,915
                                               ------------
                                                 18,701,081
                                               ------------
PRODUCER DURABLES -- 8.6%                                  
  AAR Corporation                      1,900          9,785
  Acterna Corporation*                 1,400            224
  Active Power, Inc.*                  1,100          1,958
  Actuant Corporation Class A*           700         32,515
  Acuity Brands, Inc.                  2,300         31,142
  Adtran, Inc.*                       18,700        615,230
  Advanced Energy Industries,         34,000        432,480
    Inc.*                                                  
  Aether Systems, Inc.*                1,300          4,888
  Alamo Group, Inc.                      500          6,125
  Allen Telecom, Inc.*                 6,100         57,767
  American Tower Corporation           7,500         26,475
    Class A*                                               
  Ameron International                   300         16,545
    Corporation                                            
  Analogic Corporation                 7,800        392,246
  Anaren, Inc.*                       23,600        207,680
  Andrew Corporation*                  4,400         45,232
  Anixter International, Inc.*         2,500         58,125
  Applied Films Corporation*             600         11,994
  Applied Industrial                   1,500         28,350
    Technologies, Inc.                                     
  Arris Group, Inc.*                   4,300         15,351
  Artesyn Technologies, Inc.*          2,200          8,448
  Astec Industries, Inc.*              1,200         11,916
  Audiovox Corporation*                1,300         13,443
  Avanex Corporation*                  3,000          3,144
  BE Aerospace, Inc.*                  1,800          6,552
  Beazer Homes USA, Inc.*             17,900      1,084,740
  Bel Fuse, Inc. Class B                 100          2,015
  Belden, Inc.                        10,700        162,854
  Black Box Corporation               13,000        582,400
  Briggs & Stratton Corporation       21,600        917,352
  Brooks Automation, Inc.              1,900         21,774

See Notes to Financial Statements.

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                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
C & D Technologies, Inc.             1,800   $     31,806
C-COR.net Corporation*               1,200          3,984
Capstone Turbine Corporation*        2,700          2,430
Carlisle Co., Inc.                   1,400         57,932
Cascade Corporation                    700         11,165
Centex Corporation                  17,500        878,500
Champion Enterprises, Inc.*          3,800         10,830
Coachmen Industries, Inc.            1,100         17,380
Columbus McKinnon Corporation*         900          3,439
Commscope, Inc.*                     4,000         31,600
CompX International, Inc.              300          2,511
Crane Co.                            5,800        115,594
Crown Castle International          11,000         41,250
  Corporation*                                           
CUNO, Inc.*                            400         13,248
Curtiss-Wright Corporation             500         31,910
Dionex Corporation*                    400         11,884
Dominion Homes, Inc.*                  200          2,850
Ducommun, Inc.*                        500          7,925
EDO Corporation                     18,000        374,040
ESCO Technologies, Inc.*               900         33,300
Esterline Technologies              15,300        270,351
  Corporation*                                           
Federal Signal Corporation           9,400        182,548
Finisar Corporation*                 4,600          4,370
Fleetwood Enterprises, Inc.*        39,700        311,645
FLIR Systems, Inc.*                  8,600        419,680
Flow International                     600          1,530
  Corporation*                                           
Flowserve Corporation*               8,500        125,715
Foamex International, Inc.*          1,100          3,476
Gardner Denver, Inc.*                1,200         24,360
GenCorp, Inc.                        2,400         19,008
General Cable Corporation           33,500        127,300
Genlyte Group, Inc.*                   300          9,348
Gorman-Rupp Co.                        200          4,700
Graftech International, Ltd.*        3,900         23,244
Griffon Corporation*                 1,800         24,516
Harsco Corporation                  10,000        318,900
Heico Corporation                    1,100         11,671
Hexel Corporation*                     800          2,400
HON Industries, Inc.                19,100        540,148
Hovnanian Enterprises, Inc.         16,300        516,710
  Class A*                                               
IDEX Corporation                     1,200         39,240
Ikon Office Solutions, Inc.         36,400        260,260
Imagistics International,            1,400         28,000
  Inc.*                                                  
Interface, Inc. Class A              3,400         10,438
Ionics, Inc.*                        1,400         31,920
JLG Industries, Inc.                 3,300         24,849
Joy Global, Inc.*                    3,600         40,536
Kaman Corporation                    1,800         19,800
KB HOME                              6,200        265,670
Kennametal, Inc.                    28,800        993,024
Lancaster Colony Corporation           700         27,356
LeCroy Corporation*                    400          4,440

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Lydall, Inc.*                          700   $      7,945
M/I Schottenstein Homes, Inc.       19,300        536,540
Manitowoc Co., Inc.                    800         20,400
MDC Holdings, Inc.                   9,000        344,340
Medis Technologies, Ltd.*              100            500
Meritage Corporation*                7,500        252,375
Mettler Toledo International,       26,200        839,972
  Inc.*                                                  
Milacron, Inc.                       1,300          7,735
Modtech Holdings, Inc.*                700          6,790
Molecular Devices Corporation*         200          3,294
Monaco Coach Corporation*              600          9,930
Moog, Inc. Class A*                  1,200         37,248
MRV Communications, Inc.*            2,700          2,889
MTC Technologies, Inc.*              7,200        182,160
Nacco Industries, Inc. Class A       7,900        345,783
Netro Corporation*                   2,300          6,279
New Focus, Inc.*                     2,900         11,136
Newport Corporation*                 1,300         16,328
Next Level Communications,           1,200            972
  Inc.*                                                  
Nordson Corporation                    900         22,347
NVR, Inc.*                           1,700        553,350
Oplink Communications, Inc.*         7,600          6,004
Optical Communication                  600            648
  Products, Inc.*                                        
Osmonics, Inc.*                        800         13,552
Palm Harbor Homes, Inc.*               300          5,241
Pentair, Inc.                        6,500        224,575
Pittston Brink's Group              32,800        606,144
Plantronics, Inc.*                  63,200        956,216
Powell Industries, Inc.*               400          6,832
Power-One, Inc.*                    24,100        136,647
Powerwave Technologies, Inc.*       32,700        176,580
Proton Energy Systems, Inc.*         1,800          5,400
Proxim Corporation Class A*          9,300          8,091
PTEK Holdings, Inc.*                 3,700         16,280
Rayovac Corporation*                   800         10,664
Regal-Beloit Corporation             7,200        149,040
REMEC, Inc.*                         2,900         11,252
Resource America, Inc.               1,200         10,813
Robbins & Myers, Inc.                  800         14,720
Sauer-Danfoss, Inc.                    700          5,530
Scientific-Atlanta, Inc.            21,300        252,618
Sequa Corporation Class A*             500         19,555
Skyline Corporation                    500         14,750
Smith, (A.O.) Corporation           17,600        475,376
Somera Communications, Inc.*           300            810
SPS Technologies, Inc.*              1,000         23,750
Standard-Pacific Corporation         2,500         61,875
Standex International                  800         19,072
  Corporation                                            
Starrett (L.S.) Co. (The)              500          8,300
  Class A                                                
Stewart & Stevenson Services,        2,200         31,108
  Inc.                                                   
Stratex Networks, Inc.*              6,500         14,365

See Notes to Financial Statements.

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SMALL CAP EQUITY FUND                                                           
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Sturm Ruger & Co., Inc.                200   $      1,914
  Surebeam Corporation*                4,200         16,968
  Sycamore Networks, Inc.*            99,600        287,844
  Technical Olympic USA, Inc.*           200          2,962
  Tecumseh Products Co. Class A        1,200         52,956
  Tekelec*                            40,500        423,225
  Teledyne Technologies, Inc.*         1,000         15,680
  Tennant Co.                          5,900        192,340
  Terayon Communication Systems,       5,100         10,455
    Inc.*                                                  
  Terex Corporation*                   3,400         37,876
  Tetra Tech, Inc.*                   50,300        613,660
  Thomas Industries, Inc.              1,100         28,666
  Titan Corporation*                  24,500        254,800
  Toll Brothers, Inc.*                 8,700        175,740
  Tollgrade Communications Inc.*       6,700         78,591
  Tredegar Corporation*                1,900         28,500
  Trimble Navigation, Ltd.*           19,800        247,302
  Trinity Industries, Inc.             6,100        115,656
  Triumph Group, Inc.*                 1,100         35,134
  Turnstone Systems, Inc.*             2,600          7,020
  United Defense Industries,           1,700         39,610
    Inc.*                                                  
  Unova, Inc.*                         3,200         19,200
  URS Corporation                      1,800         25,614
  U.S. Industries, Inc.*               5,200         13,676
  Valmont Industries, Inc.               700         13,580
  Veridian Corporation*                7,400        157,916
  Viasat, Inc.                           500          5,770
  Virco Manufacturing                    330          3,366
    Corporation                                            
  Wabtec Corporation                   2,200         30,888
  Watts Industries, Inc. Class A      19,200        302,208
  William Lyon Homes, Inc.*              400          8,732
  Wilson Greatbatch                   17,100        499,320
    Technologies, Inc.*                                    
  Woodward Governor Co.                5,900        256,650
  X-Rite, Inc.                         1,200          8,388
  Zygo Corporation*                      300          2,097
                                               ------------
                                                 21,687,906
                                               ------------
TECHNOLOGY -- 13.1%                                        
  3D Systems Corporation*                600          4,680
  Acxiom Corporation*                 17,000        261,460
  ADE Corporation*                       700          4,179
  Advanced Digital Information        40,700        273,097
    Corporation*                                           
  Aeroflex, Inc.*                     82,800        571,320
  Agile Software Corporation*          1,600         12,384
  Alliance Semiconductor               1,800          7,074
    Corporation*                                           
  Altiris, Inc.*                         100          1,592
  American Superconductor                700          2,107
    Corporation*                                           
  Anadigics, Inc.*                       900          2,322
  Anteon International                10,000        240,000
    Corporation*                                           
  Ascential Software                 208,700        500,880
    Corporation*                                           
  ASM International NV*               56,900        734,010
  Aspen Technology, Inc.*                800          2,264

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Asyst Technologies, Inc.*              200   $      1,470
Avid Technology, Inc.*                 200          4,590
Avocent Corporation*                 5,300        117,766
Axcelis Technologies, Inc.*         43,900        246,235
AXT, Inc.*                             700          1,260
Benchmark Electronics, Inc.*        28,200        808,212
BISYS Group, Inc. (The)*            54,400        864,960
Borland Software Corporation*       13,100        161,130
Business Objects S.A. ADR*          30,400        456,000
Cable Design Technologies            3,500         20,650
  Corporation*                                           
Caliper Technologies                   800          2,400
  Corporation*                                           
Caminus Corporation*                   300            702
CCC Information Services               200          3,550
  Group*                                                 
Centillium Communications,          23,400         52,884
  Inc.*                                                  
Certegy, Inc.*                      12,800        314,240
Checkpoint Systems, Inc.*            2,400         24,816
ChipPAC, Inc. Class A*              38,600        137,030
CIBER, Inc.*                         4,400         22,660
Cirrus Logic, Inc.*                  5,000         14,400
CNET Networks, Inc.*                 4,600         12,466
Cognizant Technology Solutions       1,700        122,791
  Corporation*                                           
Cognos, Inc.*                       35,300        827,785
Coherent, Inc.*                      9,000        179,550
CompuCom Systems, Inc.*              1,700          9,537
Computer Horizons Corporation*       2,300          7,521
Computer Network Technology          1,000          7,100
  Corporation*                                           
Computer Programs and Systems,         100          2,476
  Inc.*                                                  
Credence Systems Corporation*       69,400        647,502
Cree, Inc.*                         17,300        282,855
CTS Corporation                        700          5,425
Cymer, Inc.*                        20,300        654,675
Cypress Semiconductor               40,500        231,660
  Corporation*                                           
Datastream Systems, Inc.*              300          1,920
DDI Corporation*                     2,800            616
Digimarc Corporation*                  100          1,134
Digital Insight Corporation*        36,650        318,489
Documentum, Inc.*                   27,800        435,348
DSP Group, Inc.*                       700         11,074
Dupont Photomasks, Inc.*            36,200        841,650
Dynamics Research Corporation*         100          1,401
eFunds Corporation*                 11,900        108,409
Electoglas, Inc.*                      300            462
Electro Scientific Industries,       8,900        178,000
  Inc.*                                                  
Electronics For Imaging, Inc.*      13,400        217,897
EMCore Corporation*                    900          1,971
EMS Technologies, Inc.*                300          4,683
Emulex Corporation*                 15,600        289,380
Enterasys Networks, Inc.*           10,600         16,536
Entrust Technologies, Inc.*            200            672

See Notes to Financial Statements.

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                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Exar Corporation*                   17,000   $    210,800
F5 Networks, Inc.*                  16,100        172,914
Fairchild Semicoductor              63,900        684,369
  International, Inc. Class A*                           
Filenet Corporation*                14,800        180,560
Foundry Networks, Inc.*             24,200        170,368
FreeMarkets, Inc.*                  44,100        283,960
FSI International, Inc.*             2,200          9,900
Genesis Microchip, Inc.*            16,700        217,935
Gentex Corporation*                 10,800        341,712
Global Payments, Inc.               22,400        717,024
Globespan Virata, Inc.*              4,400         19,404
Handspring, Inc.*                      800            760
Harris Interactive, Inc.*            2,900          8,555
Henry (Jack) & Associates,          48,000        577,920
  Inc.                                                   
Hutchinson Technology, Inc.*         2,000         41,400
Hypercom Corporation*                2,500          9,325
Hyperion Solutions Corp*            11,300        290,071
iGate Corporation*                   1,500          3,930
II-VI, Inc.*                           200          3,212
Imation Corporation*                 2,800         98,224
InFocus Corporation*                95,600        588,896
Infogrames, Inc.*                      100            177
Informatica Corporation*           101,400        584,064
Information Resources, Inc.*         2,000          3,200
Inforte Corporation*                   100            775
Inktomi Corporation*                 5,100          8,160
Integrated Circuit Systems,         37,400        682,550
  Inc.*                                                  
Integrated Device Technology,       52,800        441,936
  Inc.*                                                  
Integrated Silicon Solution,         2,000          8,720
  Inc.*                                                  
Interland, Inc.                      9,600         12,480
Inter-Tel, Inc.                     17,900        374,289
International Rectifier              5,700        105,222
  Corporation*                                           
Internet Security Systems,           8,100        148,473
  Inc.*                                                  
Intertrust Technologies              5,700         24,111
  Corporation*                                           
Interwoven, Inc.*                  202,000        525,200
Iomega Corporation*                 68,000        533,800
J.D. Edwards & Co.*                 20,700        233,496
Keane, Inc.*                           800          7,192
Kemet Corporation*                  18,800        164,312
Lattice Semiconductor               40,900        358,693
  Corporation*                                           
Lawson Software, Inc.*              58,200        334,650
Liberate Technologies, Inc.*         3,700          5,291
Littelfuse, Inc.*                      700         11,802
LTX Corporation*                    68,200        411,246
Magma Design Automation, Inc.*         400          3,832
Magnetek, Inc.*                      1,500          6,660
Mantech International                  600         11,442
  Corporation Class A*                                   
Manufacturers Services, Ltd.*          700          3,878
Manugistics Group, Inc.*             2,000          4,800
Mapinfo Corporation*                   100            555

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
MatrixOne, Inc.*                       800   $      3,440
Mattson Technology, Inc.*            1,500          4,290
Maxtor Corporation*                 13,600         68,816
MCSi, Inc.*                          1,300          6,175
Memc Electronic Materials,           1,300          9,841
  Inc.*                                                  
Mentor Graphics Corporation*       105,200        826,872
Mercury Computer Systems,            4,700        143,444
  Inc.*                                                  
Merix Corporation*                     300          2,520
MetaSolv, Inc.*                      1,800          2,466
Methode Electronics, Inc.            5,300         58,141
  Class A                                                
Microtune, Inc.*                     3,200         10,016
MTS Systems Corporation              1,700         17,034
Mykrolis Corporation*                  700          5,110
Nanometrics, Inc.*                     500          2,095
National Instruments                14,400        467,856
  Corporation*                                           
Neoforma, Inc.*                        600          7,170
Netegrity, Inc.*                       800          2,602
NETIQ Corporation*                   1,500         18,525
Netscout Systems Inc.*              16,200         70,470
Netscreen Technologies, Inc.*       22,000        370,480
Novell, Inc.*                       28,400         94,856
NU Horizons Electronics             48,050        277,729
  Corporation*                                           
Nuance Communications, Inc.*         1,000          2,480
Numerical Technologies, Inc.*        1,800          6,228
On Semiconductor Corporation           600            822
Openwave Systems, Inc.*            178,000        356,000
Palm, Inc.*                         12,375        194,288
Paradyne Networks, Inc.*             1,300          1,664
Parametric Technology               46,700        117,684
  Corporation*                                           
Park Electrochemical                 1,000         19,200
  Corporation                                            
Paxar Corporation*                  21,100        311,225
PC-Tel, Inc.*                        1,500         10,170
Pec Soulutions, Inc.*                8,850        264,615
Per-Se Technologies, Inc.*             500          4,485
Pericom Semiconductor                1,400         11,634
  Corporation*                                           
Perot Systems Corporation           32,600        349,472
  Class A*                                               
Photronics, Inc.*                   92,000      1,260,399
Pinnacle Systems, Inc.*             40,500        551,205
Pioneer Standard Electronics,        2,300         21,114
  Inc.                                                   
Pixelworks, Inc.*                   18,600        107,880
Plato Learning, Inc.*                  200          1,188
Pomeroy Computer Resources*            800          9,360
Precise Software Solutions,         21,000        346,710
  Ltd.*                                                  
ProcureNet, Inc.*+                   7,600              0
Progress Software Corporation*      17,600        227,920
Quantum Corporation*                10,100         26,967
Quovadx, Inc.*                       1,500          3,630
Radisys Corporation*                   500          3,990
Rainbow Technologies, Inc.*          1,900         13,623

See Notes to Financial Statements.

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SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Raindance Communications,            3,000   $      9,690
  Inc.*                                                  
Read-Rite Corporation*               8,900          3,115
Red Hat, Inc.*                       1,000          5,910
Register.com, Inc.*                  2,200          9,900
Richardson Electronics, Ltd.           500          4,330
Riverstone Networks, Inc.*           1,200          2,544
Roxio, Inc.*                           200            954
RSA Security, Inc.*                  3,896         23,337
Safeguard Scientifics, Inc.*         9,300         12,648
SafeNet, Inc.*                       4,700        119,145
Sandisk Corporation*                17,300        351,190
SBS Technologies, Inc.*                900          8,244
SCM Microsystems, Inc.*              1,200          5,100
Seachange International, Inc.*         600          3,690
Semtech Corporation*                19,000        207,480
Serena Software, Inc.*              17,400        274,746
SI International, Inc.*             10,000        108,100
Silicon Graphics, Inc.*             14,800         16,724
Siliconix, Inc.*                    11,200        262,080
Sipex Corporation*                   1,900          7,030
Skyworks Solutions, Inc.*           53,300        459,446
Sonicblue, Inc.*                     6,300          2,835
SonicWall, Inc.*                    45,400        164,802
Speechworks International,             900          2,502
  Inc.*                                                  
SPSS, Inc.*                            700          9,793
SRA International, Inc. Class          100          2,709
  A*                                                     
Standard Microsystems                1,000         19,470
  Corporation*                                           
Stoneridge, Inc.*                    1,000         11,900
StorageNetworks, Inc.*               2,300          2,668
Stratos Lightwave, Inc.*               280          1,232
Suntron Corporation*                   100            467
Sybase, Inc.*                       36,900        494,460
SYKES Enterprises, Inc.*             4,800         15,744
Synaptics Inc.*                        200          1,520
Systems & Computer Technology        1,000          8,600
  Corporation*                                           
Take-Two Interactive Software*      10,700        251,343
Technitrol, Inc.                     1,700         27,438
Tellium, Inc.*                       2,700          1,728
Therma-Wave, Inc.*                     200            210
Thomas & Betts Corporation*         12,100        204,490
THQ, Inc.*                          22,200        294,150
Three-Five Systems Inc.*            31,000        199,950
TIBCO Software, Inc*                 1,700         10,506
Tier Technologies, Inc.*             8,700        139,200
Transactions Systems                   800          5,200
  Architects, Inc.*                                      
Transmeta Corporation*               3,400          3,978
Trikon Technologies, Inc.*             100            500
Triquint Semiconductor, Inc.*       28,400        120,416
TriZetto Group, Inc.*                  500          3,070
TTM Technologies, Inc.*                100            331
Ulticom, Inc.*                         300          2,247
Ultratech Stepper, Inc.*             1,700         16,726
United Online, Inc.*                 1,300         20,723

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Varian, Inc.*                        6,600   $    189,354
  Vastera, Inc.*                         400          2,260
  Veeco Instruments, Inc.*               200          2,312
  Verint Systems, Inc.*                  100          2,018
  Verity, Inc.*                          800         10,713
  Vicor Corporation*                     900          7,426
  Vignette Corporation*                9,000         11,043
  Vitesse Semiconductor               96,300        210,416
    Corporation*                                           
  Vitria Technology, Inc.*             2,600          1,950
  Watchguard Technologies, Inc.*       1,000          6,381
  webMethods, Inc.*                   17,700        145,494
  Websense, Inc.*                     11,700        249,924
  Western Digital Corporation*        34,100        217,899
  Wind River Systems, Inc.*            1,400          5,740
  Woodhead Industries, Inc.              600          6,780
  Zoran Corporation*                  20,400        287,028
                                               ------------
                                                 32,922,504
                                               ------------
UTILITIES -- 3.9%                                          
  AES Corporation (The)*             166,200        501,924
  Agl Resources, Inc.                  4,400        106,920
  Alamosa Holdings, Inc.*              3,800          1,976
  Allegiance Telecom, Inc.*            3,600          2,412
  Amdocs Ltd.*                        40,000        392,800
  American States Water Co.            1,000         23,150
  Aspect Telecomunications             3,900         11,076
    Corporation*                                           
  Atmosphere Energy Corporation        3,200         74,624
  Avista Corporation                  34,800        402,288
  Black Hills Corporation              1,200         31,824
  Boston Communications Group,        11,100        141,081
    Inc.*                                                  
  Broadwing, Inc.*                    15,000         52,800
  California Water Service Group       1,000         23,650
  Calpine Corporation*                90,700        295,682
  Cascade Natural Gas                    400          8,000
    Corporation                                            
  Centennial Communications              300            783
    Corporation*                                           
  Central Vermont Public Service         900         16,452
    Corporation                                            
  CH Energy Group, Inc.                1,300         60,619
  Citizens Communications Co.*        50,700        534,885
  Cleco Corporation                   36,100        505,400
  CT Communications, Inc.              1,300         14,690
  DQE, Inc.                            5,600         85,344
  Edison International*               48,700        577,095
  El Paso Electric Co.*                3,700         40,700
  Empire District Electric Co.         1,700         30,940
  Energen Corporation                  2,700         78,570
  Energy East Corporation             24,800        547,832
  Energysouth, Inc.                      100          2,820
  Golden Telecom, Inc.*                1,100         13,915
  Infonet Services Corporation         4,900          9,702
    Class B*                                               
  ITXC Corporation*                    1,400          3,248
  Laclede Group, Inc.                  1,500         36,300

See Notes to Financial Statements.

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                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Lightbridge, Inc.*                   2,000   $     12,300
Mastec, Inc.*                        1,500          4,425
MGE Energy, Inc.                       500         13,386
New Jersey Resources                 1,900         60,021
  Corporation                                            
Northeast Utilities                 25,800        391,386
Northwest Natural Gas Co.            2,000         54,120
Northwestern Corporation             2,900         14,732
Nui Corporation                      1,200         20,712
Oneok, Inc.                         34,700        666,240
Piedmont Natural Gas Co., Inc.       2,400         84,840
Pinnacle West Capital               23,600        804,524
  Corporation                                            
PNM Resources, Inc.                 18,700        445,434
Puget Energy, Inc.                  13,200        291,060
RCN Corporation*                     2,000          1,060
Semco Energy, Inc.                   1,400          8,540
Sierra Pacific Resources             8,000         52,000
SJW Corporation                        200         15,610
South Jersey Industries, Inc.          900         29,718
Southern Union Co.*                  3,200         52,800
Southwest Gas Corporation            2,600         60,970
Talk America Holdings, Inc.*         1,800         10,080
Time Warner Telecom, Inc.            1,700          3,587
  Class A*                                               
Touch America Holding, Inc.*         7,700          3,003
Ubiquitel, Inc.*                     4,300          1,720
UGI Corporation                      1,200         44,868
UIL Holdings Corporation               900         31,383
Unisource Energy Corporation        24,500        423,605
Unitil Corporation                     300          7,440
West Corporation*                   27,900        463,140
Westar Energy, Inc.                 39,300        389,070
WGL Holdings, Inc.                   3,800         90,896

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Wisconsin Energy Corporation        19,900   $    501,480
  WPS Resource Corporation             2,500         97,050
                                               ------------
                                                  9,780,702
                                               ------------
TOTAL COMMON STOCK                                         
  (Cost $245,469,457)                           234,420,377
                                               ------------
SHORT-TERM INVESTMENT -- 5.6%                              
  AB Funds Trust -- Money Market                           
    Fund                                                   
    (Cost $13,942,218)            13,942,218     13,942,218
                                               ------------
MUTUAL FUNDS -- 0.9%                                       
  Gladstone Capital Corporation          500          8,235
  IShares Russell 2000                30,191      2,288,780
                                               ------------
TOTAL MUTUAL FUNDS                                         
  (Cost $2,378,581)                               2,297,015
                                               ------------

                                                                [Download Table]

                                   PAR                     
                               -----------                 
                                                           
U.S. TREASURY OBLIGATIONS -- 0.5%                          
U.S. Treasury Bills                                        
  1.63%, 01/16/03++++          $   270,000         269,868 
  1.64%, 01/16/03++++              930,000         929,565 
                                              ------------ 
TOTAL U.S. TREASURY OBLIGATIONS                            
  (Cost $1,199,232)                              1,199,433 
                                              ------------ 

                                 SHARES                    
                               -----------                 
                                                           
RIGHTS -- 0.0%                                             
FINANCIAL SERVICES                                         
  Interpool, Inc.                                          
    (Cost $0)                           16               0 
                                              ------------ 
TOTAL INVESTMENTS -- 100.4%                                
  (Cost $262,989,488)                          251,859,043 
LIABILITIES IN EXCESS OF OTHER                             
  ASSETS -- (0.4%)                              (1,120,141)
                                              ------------ 
NET ASSETS -- 100.0%                          $250,738,902 
                                              ============ 

See Notes to Financial Statements.

                                                                             105

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INTERNATIONAL EQUITY FUND                                                       

International equity markets rebounded to post solid gains for the fourth       
quarter, although returns were still negative in most markets for the year. The 
MSCI EAFE(R) Index, a representation of developed non-U.S. markets, returned    
6.45% for the quarter but was down -15.94% for the year. European markets led   
the rebound while the Japanese market missed the rally entirely, representing a 
reversal of the year's earlier trend in which the Japanese market held up better
than European markets. Some of the year's most battered industries, such as     
telecommunication services and information technology, enjoyed the strongest    
gains during the quarter while consumer staples and other defensive industries  
were relatively weaker. Emerging markets outperformed the developed world during
the quarter as the MSCI Emerging Markets Free(R) Index advanced 10.04%. Emerging
markets have now outperformed developed markets for two consecutive years.      

The International Equity Fund is primarily comprised of international stocks    
located in developed countries, and to a much lesser extent, in international   
stocks located in emerging markets (economies not deemed to be developed).(1)   
The Fund underperformed its benchmark, the MSCI ACWI(R) Free ex-US, during the  
fourth quarter. An underweight position to the financial sector and a slight    
overweight position to the information technology sector detracted from relative
Fund performance. At the sub-adviser level, Capital Guardian delivered strong   
performance largely due to security selection within the healthcare and         
information technology sectors and an overweight position to the                
telecommunication services sector.                                              

---------------                                                                 

(1) Foreign securities may involve additional risks, social and political       
instability, reduced market liquidity and currency volatility.          

106                                                                           

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INTERNATIONAL EQUITY FUND                                                       

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/02 
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                       RETIREMENT  INSTITUTIONAL                    MSCI AC WORLD    
                                         CLASS*       CLASS*      RETAIL CLASS*  FREE EX-U.S. INDEX**
                                       ----------  -------------  -------------  --------------------
                                                                                                     
One Year                                (11.94%)     (11.72%)      (12.18%)            (14.67%)      
Since Inception (8/27/01 -- 12/31/02)   (12.13%)     (12.02%)      (12.85%)            (14.77%)      

Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.                         

[LINE GRAPH]                                                                    

                                                                [Download Table]

                            MSCI ALL COUNTRY WORLD FREE EX-
          RETIREMENT CLASS            U.S. INDEX**         
          ----------------  -------------------------------
                                                           
8/27/01       10000.00                  10000.00           
9/30/01        8731.00                   8677.00           
10/31/01       9014.00                   8920.00           
11/30/01       9460.00                   9328.00           
12/31/01       9539.00                   9448.00           
1/31/02        9203.00                   9043.00           
2/28/02        9375.00                   9108.00           
3/31/02        9891.00                   9603.00           
4/30/02        9994.00                   9666.00           
5/31/02       10149.00                   9771.00           
6/30/02        9728.00                   9349.00           
7/31/02        8773.00                   8438.00           
8/31/02        8765.00                   8439.00           
9/30/02        7939.00                   7544.00           
10/31/02       8274.00                   7949.00           
11/30/02       8541.00                   8331.00           
12/31/02       8400.00                   8062.00           

The graph compares the results of a $10,000 investment in the Retirement Class  
of the Fund since August 27, 2001 (commencement of operations), with all        
dividends and capital gains reinvested, with the Morgan Stanley Capital         
International All Country World Free ex-U.S. Index.                             

*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the  
deduction of taxes that a shareholder would pay on fund distributions or the    
redemption of fund shares.                                                      

**The Morgan Stanley Capital International All Country World Free ex-U.S. Index 
is a market-capitalization weighted index composed of companies representative  
of the market structure of developed and emerging market countries in the       
Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It 
excludes closed markets and those shares in otherwise free markets that are not 
purchasable by foreigners.                                                      

Unlike a mutual fund, the performance of an index assumes no taxes, transaction 
costs, management fees or other expenses.                                       

                                                                             107

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INTERNATIONAL EQUITY FUND                                                       
SCHEDULE OF INVESTMENTS                                                         

                                                                [Download Table]

DECEMBER 31, 2002                   SHARES        VALUE    
-----------------                 ----------   ------------
                                                           
COMMON STOCK -- 0.1%                                       
UNITED STATES                                              
  UTStarcom, Inc.*                                         
  (Cost $420,544)                     20,400   $    404,532
                                               ------------
FOREIGN COMMON STOCK -- 96.5%                              
AUSTRALIA -- 5.1%                                          
  Alumina, Ltd.*                      98,500        271,781
  Amcor, Ltd.                        794,675      3,799,125
  Australia and New Zealand                                
    Banking Group, Ltd.               54,100        528,546
  BHP Billiton, Ltd.                 890,744      5,091,024
  BHP Steel, Ltd.                     68,913        125,340
  Brambles Industries, Ltd.           45,100        119,361
  Coles Myer, Ltd.                   359,970      1,277,007
  Commonwealth Bank of Australia      94,000      1,429,150
  CSR, Ltd.                          374,503      1,332,781
  Goodman Fielder, Ltd.            4,270,648      4,280,554
  InterOil Corporation*              180,000        131,766
  Lend Lease Corporation, Ltd.       460,470      2,520,310
  Mayne Group, Ltd.                  467,000        857,276
  National Australia Bank, Ltd.      221,340      3,957,218
  Orica, Ltd.                        201,526      1,191,535
  QBE Insurance Group, Ltd.           71,663        328,881
  Telstra Corporation, Ltd.          927,164      2,302,404
  WMC Resources, Ltd.                 98,500        234,064
  Woodside Petroleum, Ltd.           850,000      5,925,511
  Woolworths, Ltd.                   141,000        905,129
                                               ------------
                                                 36,608,763
                                               ------------
BELGIUM -- 1.6%                                            
  Colruyt SA                          56,600      3,118,146
  Electrabel SA                        7,700      1,870,521
  Fortis                             168,647      2,962,774
  UCB SA                             107,900      3,396,749
                                               ------------
                                                 11,348,190
                                               ------------
BRAZIL -- 0.4%                                             
  Aracruz Celulose SA ADR             30,550        567,008
  Brasil Telecom Participacoes                             
    SA ADR                            18,000        454,500
  Companhia Brasileira de                                  
    Distribuicao Grupo Pao de                              
    Acucar ADR                        65,800      1,006,740
  Compania Paranaense de Energia                           
    ADR                               40,600        114,086
  Petroleo Brasileiro SA --                                
    Petrobras                         44,000        656,266
  Telecomunicacoes Brasileiras                             
    SA                                    12              0
  Uniao de Bancos Brasileiros SA                           
    GDR                               28,700        314,265
                                               ------------
                                                  3,112,865
                                               ------------
CANADA -- 1.2%                                             
  Abitibi-Consolidated, Inc.          44,000        337,845
  Alcan, Inc.                          8,800        258,076
  Bank of Nova Scotia                 13,000        433,339
  BCE, Inc.                           68,000      1,226,753

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  Manulife Financial Corporation     118,000   $  2,568,724
  Suncor Energy, Inc.                 27,400        428,401
  Talisman Energy, Inc.               36,000      1,295,497
  TELUS Corporation                   50,500        516,259
  Thomson Corporation (The)           66,200      1,761,000
                                               ------------
                                                  8,825,894
                                               ------------
CHILE -- 0.3%                                              
  AFP Provida SA ADR                  40,000        923,600
  Distribucion y Servicio D&S SA                           
    ADR                               14,200        142,000
  Embotelladora Andina SA ADR                              
    Class A                           30,100        210,098
  Embotelladora Andina SA ADR                              
    Class B                           40,000        276,000
  Lan Chile SA ADR                    42,000        243,600
                                               ------------
                                                  1,795,298
                                               ------------
CHINA -- 0.2%                                              
  China Development Financial                              
    Holding Corporation*             647,000        246,556
  China Petroleum & Chemical                               
    Corporation Class H            2,070,000        347,727
  China Telecom Corporation,                               
    Ltd.*                            458,000         80,460
  Jiangsu Expressway Co., Ltd.                             
    Class H                        1,434,100        422,964
  PetroChina Co., Ltd. Class H       680,000        135,156
  Travelsky Technology, Ltd.                               
    Class H                          601,000        416,164
                                               ------------
                                                  1,649,027
                                               ------------
CROATIA -- 0.1%                                            
  Pliva DD GDR                        57,700        819,340
                                               ------------
CZECH REPUBLIC -- 0.2%                                     
  Komercni Banka AS                   17,700      1,222,795
                                               ------------
DENMARK -- 0.6%                                            
  Novo-Nordisk AS Class B            117,300      3,388,919
  TDC AS                              48,600      1,180,958
                                               ------------
                                                  4,569,877
                                               ------------
ECUADOR -- 0.0%                                            
  La Cemento Nacional Ecuador                              
    GDR                               26,250        218,749
                                               ------------
EGYPT -- 0.1%                                              
  Egyptian Co. for Mobile                                  
    Services                          35,995        241,079
  Orascom Construction                                     
    Industries                        63,667        318,471
                                               ------------
                                                    559,550
                                               ------------
ESTONIA -- 0.1%                                            
  Hansabank, Ltd.                     52,000        871,969
                                               ------------
FINLAND -- 0.9%                                            
  Nokia OYJ                          245,500      3,902,878
  Sonera Group OYJ                         1              3
  UPM-Kymmene OYJ                     72,300      2,321,563
                                               ------------
                                                  6,224,444
                                               ------------

See Notes to Financial Statements.

108                                                                           

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                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
FRANCE -- 8.2%                                             
  Accor SA                            16,000   $    484,548
  Air Liquide SA                       9,412      1,241,475
  Alcatel SA                         134,932        591,850
  Assurances Generales de France      42,500      1,422,658
  Aventis SA                          31,898      1,733,860
  BNP Paribas SA                      45,500      1,853,957
  Bouygues SA                         69,200      1,933,014
  Carrefour SA                       136,991      6,099,382
  Compagnie de Saint-Gobain          119,200      3,497,311
  Essilor International SA                                 
    Compagnie Generale D'Optique      14,100        580,737
  Groupe Danone                        6,900        928,235
  L'Oreal SA                          37,367      2,844,765
  Lafarge SA                          16,500      1,243,166
  Pechiney SA Class A                  9,600        336,867
  Renault SA                          29,600      1,390,902
  Sanofi-Synthelabo SA               179,593     10,977,567
  Schneider Electric SA               40,120      1,898,287
  Societe BIC SA                      14,600        503,279
  Societe Generale Class A            75,300      4,385,395
  Societe Television Francaise 1      94,100      2,514,020
  Suez SA                             51,342        891,105
  Total Fina Elf SA                   61,300      8,754,662
  Valeo SA                            34,399      1,079,289
  Vivendi Universal SA                93,500      1,509,979
                                               ------------
                                                 58,696,310
                                               ------------
GERMANY -- 3.2%                                            
  Aixtron AG                          20,300         96,923
  Allianz AG                           4,700        447,081
  Bayer AG                           144,600      3,103,004
  Bayerische Hypo-und                                      
    Vereinsbank AG                   118,771      1,896,906
  Bayerische Motoren Werke AG         15,600        473,417
  Continental AG                      93,500      1,461,903
  DaimlerChrysler AG                  16,100        495,855
  Deutsche Telekom AG                 88,600      1,138,913
  E.ON AG                             32,600      1,315,330
  Epcos AG                            15,400        159,499
  Metro AG                            69,100      1,649,606
  Muenchener Rueckversicherungs                            
    AG                                 4,700        562,242
  RWE AG                             110,764      2,870,889
  SAP AG                               5,100        404,160
  Schering AG                         16,000        695,930
  Siemens AG                          34,050      1,447,081
  ThyssenKrupp AG                     31,300        349,796
  Volkswagen AG                      123,024      4,484,773
                                               ------------
                                                 23,053,308
                                               ------------
GHANA -- 0.2%                                              
  Ashanti Goldfields Co., Ltd.                             
    GDR 144A*                        184,100      1,076,985
                                               ------------

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
GREECE -- 0.3%                                             
  Commercial Bank of Greece           12,196   $    185,569
  Hellenic Tellecommunications                             
    Organization SA                  144,511      1,592,249
  Piraeus Bank SA                     50,000        315,855
                                               ------------
                                                  2,093,673
                                               ------------
HONG KONG -- 3.9%                                          
  BOC Hong Kong Holdings, Ltd.*      193,000        197,990
  Cheung Kong Holdings, Ltd.         150,000        976,166
  China Mobile, Ltd.*              1,368,000      3,254,065
  China Mobile, Ltd. ADR*             16,300        196,904
  China Unicom, Ltd.*                264,000        179,422
  CLP Holdings, Ltd.               1,150,000      4,630,455
  Hang Lung Properties, Ltd.         423,000        409,528
  Hang Seng Bank, Ltd.                78,100        831,238
  Hong Kong & China Gas Co.,                               
    Ltd.                           4,290,000      5,556,160
  Hongkong Electric Holdings,                              
    Ltd.                             827,500      3,130,302
  Hongkong Land Holdings, Ltd.       283,000        390,540
  Hutchison Whampoa, Ltd.            119,000        744,668
  Jardine Matheson Holdings,                               
    Ltd.*                            263,600      1,647,500
  Johnson Electric Holdings,                               
    Ltd.                             542,000        594,240
  Li & Fung, Ltd.                    516,000        489,641
  Shangri-La Asia, Ltd.              463,000        302,794
  Sun Hung Kai Properties, Ltd.      279,485      1,655,757
  Swire Pacific, Ltd. Class A         88,500        338,186
  Wharf Holdings, Ltd.             1,308,000      2,465,592
                                               ------------
                                                 27,991,148
                                               ------------
HUNGARY -- 0.4%                                            
  Delmagyarorszagi Aramszol GDR       35,000        337,750
  Gedeon Richter Rt. GDR               7,500        496,125
  Matav Rt. ADR                       30,700        546,460
  Mol Magyar Olaj-es Gazipari                              
    Rt.                                3,419         79,768
  Mol Magyar Olaj-es Gazipari                              
    Rt. GDR                           24,681        577,535
  OTP Bank Rt.                        86,000        845,425
                                               ------------
                                                  2,883,063
                                               ------------
INDIA -- 0.6%                                              
  Gail India Ltd. GDR*               175,000      1,537,217
  Hindalco Industries, Ltd. GDR                            
    144A                              18,600        228,036
  Infosys Technologies, Ltd. ADR       3,661        254,623
  Mahanagar Telephone Nigam,                               
    Ltd. ADR                         130,000        513,500
  Ranbaxy Laboratories, Ltd. GDR      74,000        945,720
  Reliance Industries, Ltd. GDR                            
    144A                              27,100        336,040
  Satyam Computer Services, Ltd.                           
    ADR                               13,200        169,620
  State Bank of India, Ltd. GDR       12,900        167,700
                                               ------------
                                                  4,152,456
                                               ------------

See Notes to Financial Statements.

                                                                             109

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INTERNATIONAL EQUITY FUND                                                       
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
INDONESIA -- 0.3%                                          
  PT Ramayana Lestari Sentosa                              
    TBK                            1,362,700   $    384,449
  PT Telekomunikasi Indonesia                              
    TBK                            2,640,900      1,136,029
  PT Unilever Indonesia TBK          300,000        610,056
                                               ------------
                                                  2,130,534
                                               ------------
IRELAND -- 0.5%                                            
  Allied Irish Banks PLC             105,000      1,441,178
  CRH PLC                            152,862      1,889,364
  Irish Life & Permanent PLC          21,500        232,379
                                               ------------
                                                  3,562,921
                                               ------------
ISRAEL -- 0.2%                                             
  Check Point Software                                     
    Technologies, Ltd.*               92,800      1,203,616
  Orbotech, Ltd.*                     24,000        330,216
  Teva Pharmaceutical                                      
    Industries, Ltd. ADR               4,400        169,884
                                               ------------
                                                  1,703,716
                                               ------------
ITALY -- 2.5%                                              
  Assicurazioni Generali SpA          14,100        289,999
  ENI SpA                            491,800      7,818,472
  IntesaBci SpA                    1,914,356      4,037,751
  Mediaset SpA                       475,659      3,623,707
  Telecomm Italia Mobile SpA         517,205      2,360,874
                                               ------------
                                                 18,130,803
                                               ------------
JAPAN -- 21.3%                                             
  Acom Co., Ltd.                      14,300        469,959
  Advantest Corporation               60,000      2,689,811
  Aeon Co., Ltd.                      64,000      1,515,463
  Aiful Corporation                   10,605        398,570
  Bridgestone Corporation            208,000      2,576,556
  Canon, Inc.                        332,000     12,505,598
  Chubu Electric Power Co., Inc.       4,900         87,537
  Chugai Pharmaceutical Co.,                               
    Ltd.                              35,400        337,086
  Dai Nippon Printing Co., Ltd.      161,000      1,781,351
  Daiichi Pharmaceutical Co.,                              
    Ltd.                              75,000      1,076,304
  Daiwa Securities Group, Inc.       134,000        595,079
  Denso Corporation                  208,200      3,415,903
  East Japan Railway Co.                 312      1,548,563
  Eisai Co., Ltd.                    127,000      2,852,068
  Fanuc, Ltd.                         71,900      3,180,879
  Fuji Machine Manufacturing                               
    Co., Ltd.                         65,000        613,466
  Fuji Photo Film Co., Ltd.          143,000      4,663,435
  Fuji Soft ABC, Inc.                  1,100         17,380
  Fujisawa Pharmaceutical Co.,                             
    Ltd.                             140,000      3,202,999
  Futaba Corporation                  65,000      1,292,660
  Hirose Electric Co., Ltd.           41,000      3,130,192
  Hitachi, Ltd.                      594,000      2,277,491
  Honda Motor Co., Ltd.              209,200      7,739,004
  Hoya Corporation                    11,900        833,311
  Ito-Yokado Co., Ltd.               129,000      3,804,667

                                                                [Download Table]

                                  SHARES        VALUE    
                                ----------   ------------
                                                         
Japan Airlines Co., Ltd.           102,000   $    217,460
Japan Telecom Co., Ltd.                532      1,649,751
Kansai Electric Power Co.,                               
  Inc. (The)                        25,000        377,728
Kao Corporation                    180,000      3,951,292
Keyence Corporation                 22,200      3,863,064
Konica Corporation                 139,000      1,008,502
Kubota Corporation                 399,000      1,082,649
Matsushita Electric Industrial                           
  Co., Ltd.                        392,686      3,871,597
Millea Holdings, Inc.                  535      3,850,087
Mitsubishi Estate Co., Ltd.        573,000      4,364,977
Mitsubishi Heavy Industries,                             
  Ltd.                             315,000        769,781
Mitsubishi Motors Corporation*     180,000        386,787
Mitsubishi Tokyo Financial                               
  Group, Inc.                          370      2,011,038
Mitsui Fudosan Co., Ltd.           120,000        778,630
Mitsui Sumitomo Insurance Co.,                           
  Ltd.                              78,000        358,877
Murata Manufacturing Co., Ltd.      76,700      3,005,434
NEC Corporation                    170,000        636,049
Nikko Cordial Corporation          662,000      2,231,397
Nikon Corporation                    4,000         30,067
Nintendo Co., Ltd.                   4,300        401,845
Nippon Telegraph & Telephone                             
  Corporation                          834      3,029,021
Nippon Television Network                                
  Corporation                       13,290      1,982,244
Nissan Motor Co., Ltd.             688,500      5,372,467
Nitto Denko Corporation             16,700        475,655
Nomura Holdings, Inc.              117,000      1,315,227
NTT DoCoMo, Inc.                     1,666      3,074,525
ORIX Corporation                    35,600      2,294,935
Pioneer Corporation                 98,900      1,854,322
Rohm Co., Ltd.                      41,110      5,234,448
Sankyo Co. Ltd.                     37,000        464,254
Secom Co., Ltd.                     70,000      2,400,774
Sekisui House, Ltd.                113,000        799,865
Shimamura Co., Ltd.                  1,200         76,447
Shin-Etsu Chemical Co., Ltd.       155,500      5,097,285
Shionogi & Co., Ltd.                87,000      1,230,184
Sony Corporation                    71,900      3,005,173
Sumitomo Chemical Co., Ltd.        252,000        995,938
Suzuki Motor Corporation            96,000      1,043,566
Takeda Chemical Industries,                              
  Ltd.                             114,000      4,764,808
TDK Corporation                     17,000        684,756
Terumo Corporation                  50,200        694,602
THK Co., Ltd.                        1,000         11,014
Tokyo Electron, Ltd.                39,500      1,787,435
Tokyu Corporation                  161,000        567,102
Toray Industries, Inc.             239,000        507,525
Toyota Motor Corporation            31,000        833,319
West Japan Railway Co.                 483      1,713,516
Yamanouchi Pharmaceutical Co.,                           
  Ltd.                             125,000      3,623,493
                                             ------------
                                              152,386,244
                                             ------------

See Notes to Financial Statements.

110                                                                           

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                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
JORDAN -- 0.0%                                             
  Arab Bank PLC                        1,050   $    272,266
                                               ------------
LUXEMBOURG -- 0.1%                                         
  Millicom International                                   
    Cellular SA*                      51,600         91,848
  SES Global FDR                      30,800        206,849
  Tenaris SA ADR*                      7,043        135,364
                                               ------------
                                                    434,061
                                               ------------
MALAYSIA -- 0.4%                                           
  Hong Leong Bank BHD                229,000        271,186
  Malayan Banking BHD                104,000        202,527
  Malaysian Oxygen BHD               167,000        439,476
  OYL Industries BHD                 109,000        588,029
  Public Bank BHD                  1,324,375        816,404
  Transmile Group BHD                420,000        269,686
                                               ------------
                                                  2,587,308
                                               ------------
MEXICO -- 1.2%                                             
  Alfa SA de CV Class A              104,000        166,277
  America Movil SA de CV ADR                               
    Series L                          76,300      1,095,668
  Apasco SA de CV                     75,800        454,192
  Cemex SA de CV                     203,729        874,765
  Coca-Cola Femsa SA de CV ADR        37,100        664,090
  Grupo Financiero Bancomer SA                             
    de CV*                         1,505,600      1,138,121
  Grupo Mexico SA de CV Series B     121,000        132,980
  Grupo Televisa SA ADR*              17,300        483,189
  Kimberly-Clark de Mexico SA de                           
    CV Class A                       177,400        406,881
  Telefonos de Mexico SA de CV                             
    ADR Class L                       96,600      3,089,267
  Walmart de Mexico SA de CV         136,600        310,692
                                               ------------
                                                  8,816,122
                                               ------------
NETHERLANDS -- 7.3%                                        
  ABN AMRO Holding NV                227,429      3,718,211
  Aegon NV                           235,307      3,027,235
  Akzo Nobel NV                       41,000      1,300,597
  ASML Holding NV*                    41,800        349,148
  CSM NV                             160,000      3,354,565
  Gucci Group NV                      23,473      2,150,127
  Hagemeyer NV                       164,000      1,187,446
  IHC Caland NV                       55,000      2,903,029
  ING Groep NV                       198,799      3,366,964
  Koninklijke Ahold NV                53,530        679,678
  Koninklijke Numico NV               74,600        939,379
  Koninklijke Philips                                      
    Electronics NV                    88,800      1,556,520
  Reed Elsevier NV                   224,074      2,739,291
  Royal Dutch Petroleum Co.          246,388     10,846,065
  Royal KPN NV                       479,482      3,119,498
  TPG NV                              76,000      1,232,148
  Unilever NV                         46,971      2,885,875

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  VNU NV                             140,180   $  3,655,386
  Wolters Kluwer NV                  158,117      2,754,276
                                               ------------
                                                 51,765,438
                                               ------------
NEW ZEALAND -- 0.5%                                        
  Carter Holt Harvey, Ltd.           329,216        301,345
  Telecom Corporation of New                               
    Zealand, Ltd.                  1,439,089      3,409,821
                                               ------------
                                                  3,711,166
                                               ------------
NORWAY -- 0.5%                                             
  Norsk Hydro ASA                     40,500      1,815,200
  Norske Skogindustrier ASA           19,100        270,189
  Statoil ASA                        144,000      1,215,979
                                               ------------
                                                  3,301,368
                                               ------------
PERU -- 0.1%                                               
  Compania de Minas Buenaventura                           
    SA                                56,600        747,853
  Compania de Minas Buenaventura                           
    SA ADR                            11,900        314,041
  Sociedad Minera el Brocal SA*          566            338
                                               ------------
                                                  1,062,232
                                               ------------
PHILIPPINES -- 0.1%                                        
  ABS-CBN Broadcasting                                     
    Corporation PDR*                 466,900        142,121
  Ayala Land, Inc.                 1,368,000        116,595
  Bank of the Philippine Islands     347,800        218,250
                                               ------------
                                                    476,966
                                               ------------
POLAND -- 0.0%                                             
  Bank Pekao SA                        8,680        213,915
                                               ------------
RUSSIA -- 0.7%                                             
  Gazprom ADR                         11,000        129,800
  LUKOIL ADR                          28,400      1,744,918
  Mining and Metallurgical Co.                             
    Norilsk Nickel ADR                38,700        782,522
  Mobile Telesystems ADR              29,200      1,084,488
  Vimpel-Communications ADR*          12,700        406,527
  Wimm-Bill-Dann Foods OJSC ADR*      11,500        206,425
  YUKOS ADR                            4,900        684,775
                                               ------------
                                                  5,039,455
                                               ------------
SINGAPORE -- 1.1%                                          
  City Developments, Ltd.             26,000         62,358
  DBS Group Holdings, Ltd. 144A                            
    ADR                              233,000      1,477,639
  Haw Par Corporation, Ltd.            2,759          5,186
  Oversea-Chinese Banking                                  
    Corporation, Ltd.                346,000      1,924,981
  Singapore Airlines, Ltd.            78,000        458,689
  Singapore Telecommunications,                            
    Ltd.                           2,431,800      1,738,492
  United Overseas Bank, Ltd.         244,000      1,659,950
  Venture Manufacturing Ltd.          42,000        336,579
                                               ------------
                                                  7,663,874
                                               ------------

See Notes to Financial Statements.

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INTERNATIONAL EQUITY FUND                                                       
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
SOUTH AFRICA -- 1.5%                                       
  Alexander Forbes, Ltd.             400,000   $    650,309
  Anglo American Platinum                                  
    Corporation, Ltd.                  7,930        292,043
  Anglo American PLC                 126,568      1,865,951
  Gold Fields, Ltd.                   26,900        375,887
  Impala Platinum Holdings, Ltd.       4,570        290,268
  MTN Group, Ltd.*                   373,500        533,228
  Sasol, Ltd.                        540,200      6,610,430
  Venfin, Ltd.*                      199,900        410,259
                                               ------------
                                                 11,028,375
                                               ------------
SOUTH KOREA -- 2.7%                                        
  Hyundai Motor Co., Ltd.*            14,560        340,660
  Kookmin Bank ADR                    18,988        671,226
  Kookmin Bank*                       55,414      1,962,302
  Kookmin Credit Card Co., Ltd.*      14,000        341,132
  KorAm Bank*                         14,760         92,091
  Korea Electric Power                                     
    Corporation*                      67,690      1,041,560
  Korea Electric Power                                     
    Corporation ADR                   88,900        755,650
  KT Corporation*                     17,970        768,162
  KT Corporation ADR                  66,951      1,442,794
  KT Freetel*                         24,000        570,634
  LG Chemical Investment, Ltd.             8             50
  LG Chemical, Ltd.*                   9,120        312,189
  LG Electronics, Inc.*                5,160        179,679
  POSCO                                2,850        283,546
  POSCO ADR                            5,100        126,123
  S-Oil Corporation*                  37,700        516,525
  S1 Corporation                      39,284        688,931
  Samsung Electronics Co., Ltd.        6,261      1,657,564
  Samsung Electronics Co., Ltd.                            
    GDR                               43,866      4,335,811
  Samsung Fire & Marine                                    
    Insurance                         11,400        622,841
  Shinhan Financial Group Co.,                             
    Ltd.*                             14,960        156,405
  Shinsegae Co., Ltd.*                 1,870        235,711
  SK Telecom Co., Ltd.*                3,230        623,641
  SK Telecom Co., Ltd. ADR            61,872      1,320,967
  Tae Young Corporation*              10,000        320,391
                                               ------------
                                                 19,366,585
                                               ------------
SPAIN -- 2.5%                                              
  Acerinox SA                         14,628        537,093
  Banco Bilbao Vizcaya                                     
    Argentaria SA                    167,300      1,601,075
  Banco Santander Central                                  
    Hispano SA                       367,608      2,522,804
  Endesa SA                          170,570      1,995,714
  Grupo Dragados SA                  100,000      1,699,949
  Iberdrola SA                       205,800      2,883,018
  Inditex SA                          63,100      1,490,478
  Telefonica SA*                     616,291      5,516,398
                                               ------------
                                                 18,246,529
                                               ------------

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
SRI LANKA -- 0.0%                                          
  DFCC Bank                          168,000   $    269,245
                                               ------------
SWEDEN -- 1.9%                                             
  Assa Abloy AB Class B               79,374        906,394
  Electrolux AB Class B               91,900      1,450,221
  ForeningsSparbanken AB              81,600        964,591
  Hennes & Mauritz AB Class B        144,200      2,780,292
  Nordbanken Holding Co. AB          255,601      1,126,444
  Nordea AB                          400,000      1,797,037
  Svenska Handelsbanken Class A       24,900        331,492
  Telefonaktiebolaget LM                                   
    Ericsson Class B               2,285,516      1,600,037
  Telia AB                           163,799        616,596
  Teliasonera AB                     337,434      1,257,009
  Volvo AB Class B                    69,500      1,132,632
                                               ------------
                                                 13,962,745
                                               ------------
SWITZERLAND -- 3.8%                                        
  Adecco SA                           30,109      1,180,241
  Compagnie Financiere Richemont                           
    AG Class A                       102,109      1,905,280
  Credit Suisse Group                 70,053      1,519,929
  Holcim, Ltd. Class B                 7,813      1,418,295
  Nestle SA                           32,600      6,908,129
  Novartis AG                        181,732      6,630,829
  Roche Holding AG                    12,500        871,038
  STMicroelectronics NV               66,400      1,296,318
  Swiss Reinsurance                   41,584      2,727,776
  Swisscom AG                          7,070      2,047,845
  Synthes-Stratec, Inc.                  542        332,407
  UBS AG                              15,580        757,202
                                               ------------
                                                 27,595,289
                                               ------------
TAIWAN -- 0.8%                                             
  China Steel Corporation            768,060        428,540
  Chinatrust Financial Holding                             
    Co., Ltd.*                       310,000        252,315
  Compal Electronics, Inc.           379,500        392,924
  Faraday Technology                                       
    Corporation*                     190,340        416,043
  Formosa Chemical & Fibre Co.       293,400        310,529
  Phoenixtec Power Co., Ltd.         514,402        389,093
  President Chain Store Corp          55,000         83,046
  Quanta Computer, Inc.               42,550         69,754
  Realtek Semiconductor                                    
    Corporation                       40,300        104,314
  Sunplus Technology Co., Ltd.       165,693        309,751
  Synnex Technology                                        
    International Corporation        139,000        209,879
  Taiwan Semiconductor                                     
    Manufacturing Co., Ltd.*       1,653,795      2,026,219
  United Microelectronics                                  
    Corporation*                     526,119        319,272
  Yamato Transport Co., Ltd.          22,000        287,351
                                               ------------
                                                  5,599,030
                                               ------------

See Notes to Financial Statements.

112                                                                           

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                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
THAILAND -- 0.2%                                           
  Advanced Info Service Public                             
    Co., Ltd.                        220,000   $    182,297
  Bangkok Bank Public Co., Ltd.*     100,400        139,768
  BEC World Public Co., Ltd.          62,500        295,824
  PTT Exploration and Production                           
    Public Co., Ltd.                 197,900        652,014
  PTT Public Co., Ltd.               151,400        148,414
  Siam Cement Public Co., Ltd.         6,700        194,316
  Thai Farmers Bank PLC*             193,600        134,756
                                               ------------
                                                  1,747,389
                                               ------------
TURKEY -- 0.1%                                             
  Akbank TAS*                     23,142,780         76,678
  Arcelik AS                      11,571,000         90,616
  Enka Insaat Ve Sanayi AS*        2,880,327         71,141
  Galatasaray Sportif Sinai ve                             
    Ticari Yatirimlar AS           4,000,000         78,313
  KOC Holding AS                   7,465,000         77,573
  Migros Turk TAS                 48,090,000        420,063
  Tupras-Turkiye Petrol                                    
    Rafinerileri AS               25,107,000        117,973
  Turkcell Iletisim Hizmetleri                             
    AS ADR*                            4,358         67,549
                                               ------------
                                                    999,906
                                               ------------
UNITED KINGDOM -- 18.6%                                    
  Abbey National PLC                 124,000      1,034,082
  Amvescap PLC                       189,100      1,211,653
  Antofagasta PLC                    175,000      1,760,847
  ARM Holdings PLC*                  110,000         85,004
  AstraZeneca PLC                    245,915      8,684,743
  BAA PLC                            307,755      2,497,118
  BAE Systems PLC                  1,023,143      2,042,497
  Barclays PLC                       117,200        726,427
  BG Group PLC                     2,413,600     10,413,663
  BHP Billiton PLC                   198,163      1,058,369
  BOC Group PLC                      145,100      2,074,359
  Boots Co. PLC                      554,500      5,231,216
  BP PLC                             271,283      1,864,893
  Brambles Industries PLC            702,924      1,720,107
  British Airways PLC              1,259,400      2,737,165
  British Sky Broadcasting PLC*      283,525      2,916,726
  BT Group PLC                       382,142      1,199,673
  Cable & Wireless PLC               815,418        587,458
  Cadbury Schweppes PLC              660,494      4,115,128
  Centrica PLC                       181,500        499,662
  Compass Group PLC                   70,500        374,547
  Dimension Data Holdings PLC*       436,700        203,885
  GKN PLC                            503,116      1,626,025
  GlaxoSmithKline PLC                367,100      7,044,725
  GUS PLC                            420,400      3,905,189
  Hays PLC                           589,300        879,942
  HBOS PLC                           430,100      4,535,386

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
  HSBC Holdings PLC                  195,911   $  2,165,224
  Johnson Matthey PLC                125,000      1,609,917
  Kingfisher PLC                   1,085,630      3,888,798
  Lloyds TSB Group PLC               600,600      4,312,446
  Logica CMG PLC                     340,400        822,024
  Marks & Spencer Group PLC          511,858      2,595,754
  National Grid Group PLC            135,500        995,826
  Next PLC                           303,434      3,597,829
  Pearson PLC                        141,300      1,306,880
  Peninsular & Oriental Steam                              
    Navigation Co. (The)             176,400        467,162
  Prudential PLC                     143,300      1,012,778
  Reckitt Benckiser PLC              157,800      3,061,241
  Reed Elsevier PLC                  347,462      2,975,928
  Reuters Group PLC                  228,800        653,819
  Rio Tinto PLC                      204,477      4,081,968
  Royal Bank of Scotland Group                             
    PLC                              198,704      4,760,066
  Safeway PLC                        268,000        920,084
  Scottish Power PLC                 206,000      1,202,206
  Shell Transport & Trading                                
    Company PLC                      640,000      4,214,119
  Smiths Group PLC                   151,700      1,698,581
  Standard Chartered PLC              99,600      1,132,055
  Trinity Mirror PLC                 310,000      2,160,992
  Unilever PLC                       295,500      2,811,567
  Vodafone Group PLC               4,952,068      9,028,763
  Xstrata PLC*                        44,000        459,728
                                               ------------
                                                132,966,244
                                               ------------
VENEZUELA -- 0.0%                                          
  Compania Anonima Nacional                                
    Telefonos de Venezuela ADR        18,017        227,014
                                               ------------
TOTAL FOREIGN COMMON STOCK                                 
  (Cost $813,914,602)                           693,040,444
                                               ------------
FOREIGN PREFERRED STOCK -- 0.2%                            
BRAZIL                                                     
  Banco Itau SA                    3,300,000        159,872
  Centrais Eletricas Brasileiras                           
    SA Class B                    15,500,000        102,632
  Companhia de Tecidos do Norte                            
    de Minas                       4,986,860        363,446
  Companhia Vale do Rio Doce           6,000        165,439
  Telecomunicacoes Brasileiras                             
    SA ADR                             8,100        151,065
  Telecomunicacoes de Sao Paulo                            
    SA                                     4              0
  Telefonica Data Brasil Holding                           
    SA*                                    4              0
  Telemar Norte Leste SA Class A  34,000,000        432,200
                                               ------------
TOTAL FOREIGN PREFERRED STOCK                              
  (Cost $1,935,869)                               1,374,654
                                               ------------

See Notes to Financial Statements.

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INTERNATIONAL EQUITY FUND                                                       
SCHEDULE OF INVESTMENTS CONTINUED                                               

                                                                [Download Table]

                                    SHARES        VALUE    
                                  ----------   ------------
                                                           
RIGHTS -- 0.0%                                             
BRAZIL -- 0.0%                                             
  Telecomunicacoes Brasileiras                             
    SA*                                   12   $          0
                                               ------------
PERU -- 0.0%                                               
  Sociedad Minera el Brocal SA           566              0
                                               ------------
TOTAL RIGHTS                                               
  (Cost $0)                                               0
                                               ------------
SHORT-TERM INVESTMENT -- 3.0%                              
  AB Funds Trust -- Money Market                           
    Fund                                                   
    (Cost $21,785,896)            21,785,896     21,785,896
                                               ------------
TOTAL INVESTMENTS -- 99.8%                                 
  (Cost $838,056,911)                           716,605,526
OTHER ASSETS LESS                                          
  LIABILITIES -- 0.2%                             1,592,759
                                               ------------
NET ASSETS -- 100.0%                           $718,198,285
                                               ============

See Notes to Financial Statements.

114                                                                           

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SCHEDULE OF INVESTMENTS DEFINITIONS AND ABBREVIATIONS                           

                                                                [Download Table]
                                                   
ADR     --   American Depository Receipt           
CONV    --   Convertible                           
GDR     --   Global Depository Receipt             
IO      --   Interest Only. Principal amount shown 
             is notional.                          
PO      --   Principal Only                        
REIT    --   Real Estate Investment Trust          
STEP    --   Stepped Coupon Bonds(1)               
STRIP   --   Stripped Security.                    
TRACER  --   Tracking Certificate                  
*       --   Non-income producing security.        
#       --   Security in default.                  
++      --   Variable rate security(1).            
++++    --   All or a portion of the security was  
             held as collateral for open futures,  
             options and/or swap contracts.        
@       --   Illiquid.                             
+       --   Security is valued at fair value.     
(A)     --   Par is denominated in Australian      
             dollars.                              
(C)     --   Par is denominated in Canadian        
             dollars.                              
(E)     --   Par is denominated in European Euros. 
(K)     --   Par is denominated in Norwegian Krone.
(N)     --   Par is denominated in New Zealand     
             dollars.                              
(P)     --   Par is denominated in Polish Zloty.   
144A    --   Security was purchased pursuant to    
             Rule 144A under the Securities Act of 
             1933 and may not be resold subject to 
             that rule except to qualified         
             institutional buyers.                 
(a)     --   Counterparty to contract is Goldman   
             Sachs Capital Markets, LP.            
(b)     --   Counterparty to contract is UBS AG.   
(c)     --   Counterparty to contract is Salomon   
             Brothers, Inc.                        
(d)     --   Counterparty to contract is Morgan    
             Stanley Capital Services, Inc.        
(e)     --   Counterparty to contract is Lehman    
             Brothers Special Financing, Inc.      
(f)     --   Counterparty to contract is Bank of   
             America, NA.                          
(g)     --   Counterparty to contract is Citibank  
             NA. London.                           
(h)     --   Counterparty to contract is JPMorgan  
             Chase Bank.                           
(i)     --   Counterparty to contract is Merrill   
             Lynch Capital Services, Inc.          

(1) Interest rates shown reflect the rates currently in effect.                 

                                                                             115

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STATEMENTS OF ASSETS AND LIABILITIES                                            

                                                        [Enlarge/Download Table]

                                                                 MONEY      LOW-DURATION  MEDIUM-DURATION
                     DECEMBER 31, 2002                        MARKET FUND    BOND FUND       BOND FUND   
                     -----------------                        ------------  ------------  ---------------
                                                                                                         
ASSETS                                                                                                   
Investments at value (1)                                      $926,366,323  $804,309,877  $  958,992,383 
Options purchased at value (2)                                          --           --          150,876 
Collateral held for securities on loan at value                 28,073,200  157,776,664       64,909,827 
Cash                                                                   434      290,324        1,863,894 
Foreign currency (3)                                                    --    1,971,407        3,578,065 
Receivables:                                                                                             
  Dividends and reclaims                                                --       27,502           76,704 
  Interest                                                       2,241,957    5,811,001        9,337,350 
  Interest on swaps                                                     --           --          259,443 
  Investment securities sold                                            --      370,275      147,897,570 
  Maturities                                                            --      327,518           21,985 
  Fund shares sold                                               2,719,823       40,598           87,839 
  Variation margin                                                      --       15,882           53,220 
  Securities lending                                                 5,863       41,260           24,432 
Unrealized appreciation on foreign currency exchange                                                     
  contracts                                                             --           --          131,928 
Unrealized appreciation on swap agreements                              --      305,875        3,132,399 
Prepaid expenses and other assets                                   12,498       11,705           11,043 
                                                              ------------  ------------  -------------- 
  Total Assets                                                 959,420,098  971,299,888    1,190,528,958 
                                                              ------------  ------------  -------------- 
LIABILITIES                                                                                              
Options written at value (4)                                            --           --        2,105,761 
Unrealized depreciation on foreign currency exchange                                                     
  contracts                                                             --      222,517        1,706,730 
Unrealized depreciation on swap agreements                              --           --        7,606,022 
Collateral held for securities on loan at value                 28,073,200  157,776,664       64,909,827 
Payables:                                                                                                
  Investment securities purchased                                       --   21,547,773      318,921,158 
  Fund shares purchased                                          2,338,547           --               -- 
  Interest on swaps                                                     --           --          341,399 
  Variation margin                                                      --        1,922           29,625 
  Distributions                                                    311,087           --               -- 
  Securities lending                                                 1,759       12,378            7,330 
Accrued expenses:                                                                                        
  Advisory fee payable                                              87,194       97,918           88,018 
  Distribution fee payable                                           1,401        1,767            1,612 
  Other accrued expenses                                           274,372      346,899          378,412 
                                                              ------------  ------------  -------------- 
  Total Liabilities                                             31,087,560  180,007,838      396,095,894 
                                                              ------------  ------------  -------------- 
NET ASSETS                                                    $928,332,538  $791,292,050  $  794,433,064 
                                                              ============  ============  ============== 
NET ASSETS CONSIST OF:                                                                                   
Paid-in-capital                                               $928,331,861  $776,367,845  $  777,475,566 
Undistributed net investment income (loss)                              --     (523,719)         358,616 
Accumulated net realized gain (loss) on investments, foreign                                             
  currency related items and derivative transactions                   677      836,455          466,748 
Net unrealized appreciation (depreciation) on investments,                                               
  foreign currency translations and derivative transactions             --   14,611,469       16,132,134 
                                                              ------------  ------------  -------------- 
NET ASSETS                                                    $928,332,538  $791,292,050  $  794,433,064 
                                                              ============  ============  ============== 
NET ASSET VALUE:                                                                                         
$0.001 par value, unlimited shares authorized                                                            
Net assets applicable to the Retail Class                     $ 16,537,688  $20,984,771   $   19,289,106 
                                                              ------------  ------------  -------------- 
Retail shares outstanding                                       16,539,703    2,142,988        2,024,491 
                                                              ------------  ------------  -------------- 
  Net asset value, offering price and redemption price per                                               
    retail share                                              $       1.00  $      9.79   $         9.53 
                                                              ============  ============  ============== 
Net assets applicable to the Retirement Class                 $906,302,177  $763,987,195  $  767,925,689 
                                                              ------------  ------------  -------------- 
Retirement shares outstanding                                  906,264,288   58,037,078       56,724,881 
                                                              ------------  ------------  -------------- 
  Net asset value, offering price and redemption price per                                               
    retirement share                                          $       1.00  $     13.16   $        13.54 
                                                              ============  ============  ============== 
Net assets applicable to the Institutional class              $  5,492,673  $ 6,320,084   $    7,218,269 
                                                              ------------  ------------  -------------- 
Institutional shares outstanding                                 5,493,364      647,655          761,873 
                                                              ------------  ------------  -------------- 
  Net asset value, offering price and redemption price per                                               
    institutional share                                       $       1.00  $      9.76   $         9.47 
                                                              ============  ============  ============== 
---------------                                                                                          
(1) Investments at cost                                       $926,366,323  $790,291,907  $  939,850,695 
                                                              ============  ============  ============== 
(2) Premiums paid on options purchased                                  --           --   $      151,356 
                                                              ============  ============  ============== 
(3) Foreign currency at cost                                            --  $ 1,855,798   $    3,453,514 
                                                              ============  ============  ============== 
(4) Premiums received on options written                                --           --   $   (1,553,865)
                                                              ============  ============  ============== 

See Notes to Financial Statements.

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                                                        [Enlarge/Download Table]

EXTENDED-DURATION     EQUITY          VALUE            GROWTH        SMALL CAP     INTERNATIONAL 
    BOND FUND       INDEX FUND     EQUITY FUND      EQUITY FUND     EQUITY FUND     EQUITY FUND  
-----------------  ------------   --------------   --------------   ------------   ------------- 
                                                                                                  
  $428,108,466     $312,381,412   $  958,441,137   $1,069,597,039   $251,859,043   $ 716,605,526 
            --               --               --               --             --              -- 
    39,550,235       12,936,315       64,692,119       56,463,790     76,537,587      53,236,132 
       750,530               --               --               --             --              -- 
            --               --               --               --             --         655,230 
        11,830          457,837        2,099,555          818,172        162,748       1,128,935 
     6,082,709               --               --               --             --              -- 
            --               --               --               --             --              -- 
            --           46,052        1,299,471        2,510,491        522,065         448,197 
            --               --               --               --             --              -- 
        57,447          116,553           77,333          177,787         65,936          36,056 
            --           10,500           64,950           61,800         12,650              -- 
        12,714            7,684           22,712           23,311         27,449          36,354 
            --               --               --               --             --         274,744 
            --               --               --               --             --              -- 
        10,647           10,575           10,876           10,709         10,755          10,645 
  ------------     ------------   --------------   --------------   ------------   ------------- 
   474,584,578      325,966,928    1,026,708,153    1,129,663,099    329,198,233     772,431,819 
  ------------     ------------   --------------   --------------   ------------   ------------- 
            --               --               --               --             --              -- 
            --               --               --               --             --           6,657 
            --               --               --               --             --              -- 
    39,550,235       12,936,315       64,692,119       56,463,790     76,537,587      53,236,132 
     2,212,798               --        3,325,641        5,502,343      1,583,510         133,934 
        11,000               --               --               --             --              -- 
            --               --               --               --             --              -- 
            --               --               --               --             --              -- 
            --               --               --               --             --              -- 
            --               --               --               --             --              -- 
         3,814            2,305            6,814            6,993          8,235          10,906 
        89,174           30,771          371,989          393,621         39,466         194,617 
         2,058            1,119            1,202            1,092          1,113           1,190 
       199,828          108,110          475,975          530,813        289,420         650,098 
  ------------     ------------   --------------   --------------   ------------   ------------- 
    42,068,907       13,078,620       68,873,740       62,898,652     78,459,331      54,233,534 
  ------------     ------------   --------------   --------------   ------------   ------------- 
  $432,515,671     $312,888,308   $  957,834,413   $1,066,764,447   $250,738,902   $ 718,198,285 
  ============     ============   ==============   ==============   ============   ============= 
  $409,058,254     $373,699,544   $1,165,978,955   $1,562,092,087   $310,480,128   $ 925,035,206 
      (338,265)          49,868          374,439               --         15,656         (53,440)
       644,548       (9,595,856)     (90,194,351)    (248,817,924)   (48,365,889)    (85,700,903)
    23,151,134      (51,265,248)    (118,324,630)    (246,509,716)   (11,390,993)   (121,082,578)
  ------------     ------------   --------------   --------------   ------------   ------------- 
  $432,515,671     $312,888,308   $  957,834,413   $1,066,764,447   $250,738,902   $ 718,198,285 
  ============     ============   ==============   ==============   ============   ============= 
  $ 24,811,692     $ 12,890,316   $   13,986,535   $   12,502,999   $ 12,877,943   $  14,078,075 
  ------------     ------------   --------------   --------------   ------------   ------------- 
     2,576,164        1,774,574        1,805,405        1,779,029      1,645,594       1,718,573 
  ------------     ------------   --------------   --------------   ------------   ------------- 
  $       9.63     $       7.26   $         7.75   $         7.03   $       7.83   $        8.19 
  ============     ============   ==============   ==============   ============   ============= 
  $401,197,856     $295,260,983   $  938,583,263   $1,049,708,860   $232,992,430   $ 698,703,963 
  ------------     ------------   --------------   --------------   ------------   ------------- 
    27,439,171       24,740,666       79,195,606       93,495,400     22,734,435      72,300,951 
  ------------     ------------   --------------   --------------   ------------   ------------- 
  $      14.62     $      11.93   $        11.85   $        11.23   $      10.25   $        9.66 
  ============     ============   ==============   ==============   ============   ============= 
  $  6,506,123     $  4,737,009   $    5,264,615   $    4,552,588   $  4,868,529   $   5,416,247 
  ------------     ------------   --------------   --------------   ------------   ------------- 
       675,140          655,771          677,301          644,374        618,225         655,776 
  ------------     ------------   --------------   --------------   ------------   ------------- 
  $       9.64     $       7.22   $         7.77   $         7.07   $       7.88   $        8.26 
  ============     ============   ==============   ==============   ============   ============= 
  $404,977,767     $363,524,634   $1,075,964,274   $1,315,294,060   $262,989,488   $ 838,056,911 
  ============     ============   ==============   ==============   ============   ============= 
            --               --               --               --             --              -- 
  ============     ============   ==============   ==============   ============   ============= 
            --               --               --               --             --   $     656,339 
  ============     ============   ==============   ==============   ============   ============= 
            --               --               --               --             --              -- 
  ============     ============   ==============   ==============   ============   ============= 

See Notes to Financial Statements.

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STATEMENTS OF OPERATIONS                                                        

                                                        [Enlarge/Download Table]

                                                             MONEY      LOW-DURATION  MEDIUM-DURATION
FOR THE YEAR ENDED DECEMBER 31, 2002                      MARKET FUND    BOND FUND       BOND FUND   
------------------------------------                      -----------   ------------  ---------------
                                                                                                     
INVESTMENT INCOME                                                                                    
  Dividends                                               $        --   $   349,431     $   962,930  
  Interest                                                 18,454,235    32,207,937      41,283,408  
  Securities Lending                                           23,297       299,731         229,277  
     Less foreign taxes withheld                                   --            --              --  
                                                          -----------   -----------     -----------  
Total Investment Income                                    18,477,532    32,857,099      42,475,615  
                                                          -----------   -----------     -----------  
EXPENSES                                                                                             
  Investment advisory fees                                  1,876,003     3,270,997       3,570,002  
  Transfer agent fees                                                                                
     Retail shares                                             32,172        27,908          28,480  
     Retirement shares                                         26,618        18,705          18,983  
     Institutional shares                                      13,780        13,783          13,708  
  Custodian fees                                               50,223        77,990         223,062  
  Distribution fees                                            15,835        18,673          16,001  
  Shareholders servicing fees:                                                                       
     Retail shares                                             23,499        27,638          23,663  
     Retirement shares                                      1,698,303     1,474,811       1,510,899  
  Accounting and administration fees                          705,844       703,251         736,839  
  Professional fees                                            52,277        52,192          52,320  
  Registration fees                                             9,463         7,694           7,682  
  Shareholder reporting fees                                                                         
     Retail shares                                              3,011           266           1,936  
     Retirement shares                                         19,406        15,883          15,946  
     Institutional shares                                         335           336             337  
  Trustee fees                                                  3,107         2,880           2,936  
  Line of credit facility fees                                  7,434         6,512           6,687  
  Other expenses                                               17,437        20,731          20,602  
                                                          -----------   -----------     -----------  
Total expenses                                              4,554,747     5,740,250       6,250,083  
Expenses waived                                              (461,962)     (836,228)     (1,149,846) 
Fees paid indirectly                                           (4,663)      (51,708)        (61,191) 
                                                          -----------   -----------     -----------  
Net expenses                                                4,088,122     4,852,314       5,039,046  
                                                          -----------   -----------     -----------  
NET INVESTMENT INCOME (LOSS)                               14,389,410    28,004,785      37,436,569  
                                                          -----------   -----------     -----------  
REALIZED AND UNREALIZED GAIN (LOSS)                                                                  
Net realized gain (loss) from:                                                                       
  Investment securities                                           677     8,740,991      31,965,942  
  Futures transactions                                             --     1,357,254       3,946,875  
  Swap agreements                                                  --       497,542      (5,532,369) 
  Option contracts                                                 --        13,403      (1,367,776) 
  Foreign currency transactions                                    --      (481,801)       (534,211) 
                                                          -----------   -----------     -----------  
Net realized gain (loss)                                          677    10,127,389      28,478,461  
                                                          -----------   -----------     -----------  
Net change in unrealized appreciation (depreciation) on:                                             
  Investment securities                                            --     5,690,831       6,722,450  
  Futures transactions                                             --       744,945       1,077,611  
  Swap agreements                                                  --        85,875      (1,929,861) 
  Option contracts                                                 --       (10,028)       (407,954) 
  Foreign currency translations                                    --       (75,292)     (1,340,515) 
                                                          -----------   -----------     -----------  
Net change in unrealized appreciation (depreciation)               --     6,436,331       4,121,731  
                                                          -----------   -----------     -----------  
NET REALIZED AND UNREALIZED GAIN (LOSS)                           677    16,563,720      32,600,192  
                                                          -----------   -----------     -----------  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM                                                 
  OPERATIONS                                              $14,390,087   $44,568,505     $70,036,761  
                                                          ===========   ===========     ===========  

See Notes to Financial Statements.

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                                                        [Enlarge/Download Table]

EXTENDED-DURATION     EQUITY          VALUE          GROWTH        SMALL CAP     INTERNATIONAL 
    BOND FUND       INDEX FUND     EQUITY FUND     EQUITY FUND    EQUITY FUND     EQUITY FUND  
-----------------  ------------   -------------   -------------   ------------   ------------- 
                                                                                                
   $   225,042     $  5,572,974   $  25,602,425   $   9,601,523   $  2,544,861   $  17,318,487 
    28,646,874           12,406          99,585          77,818         29,027          46,265 
        86,267           49,690         190,470         141,736        277,171         353,924 
            --           (8,770)        (12,460)        (32,010)        (6,806)     (1,469,514)
   -----------     ------------   -------------   -------------   ------------   ------------- 
    28,958,183        5,626,300      25,880,020       9,789,067      2,844,253      16,249,162 
   -----------     ------------   -------------   -------------   ------------   ------------- 
     2,040,102          578,550       7,312,151       8,886,732      3,136,192       7,460,413 
        28,248           30,071          30,308          31,332         29,866          27,208 
        18,468           18,624          18,940          18,624         18,346          18,897 
        13,698           13,697          13,773          13,711         13,788          13,629 
        31,633           35,858         126,835          66,270        174,870         623,938 
        22,203           13,531          14,210          13,102         13,789          14,285 
        32,892           19,988          21,000          19,340         20,373          21,118 
       730,306          627,996       1,977,295       2,215,815        507,266       1,423,849 
       431,868          378,071         792,672         822,984        351,206         725,512 
        52,192           52,192          52,192          52,192         52,192          52,192 
         8,515            8,765           8,015          11,124          8,050           8,597 
         3,099            2,556           2,936           2,177          1,692           2,997 
         8,155            7,537          21,570          23,756          6,329          15,762 
           330              322             357             304            366             362 
         1,484            1,180           3,790           4,104            989           2,817 
         3,345            2,787           8,479           9,503          2,334           6,239 
        17,537           17,438          17,437          17,436         17,437          41,164 
   -----------     ------------   -------------   -------------   ------------   ------------- 
     3,444,075        1,809,163      10,421,960      12,208,506      4,355,085      10,458,979 
      (403,336)        (415,565)       (799,349)     (1,527,054)      (751,391)     (1,630,911)
          (884)            (811)       (355,038)       (283,347)      (174,902)       (232,784)
   -----------     ------------   -------------   -------------   ------------   ------------- 
     3,039,855        1,392,787       9,267,573      10,398,105      3,428,792       8,595,284 
   -----------     ------------   -------------   -------------   ------------   ------------- 
    25,918,328        4,233,513      16,612,447        (609,038)      (584,539)      7,653,878 
   -----------     ------------   -------------   -------------   ------------   ------------- 
     6,923,125       (7,009,024)    (56,154,277)   (157,744,653)   (35,854,038)    (60,969,047)
            --       (1,328,099)     (7,759,792)    (12,924,475)    (2,985,168)             -- 
            --               --              --              --             --              -- 
            --               --              --              --             --              -- 
      (473,775)              --              --              --             --       2,396,265 
   -----------     ------------   -------------   -------------   ------------   ------------- 
     6,449,350       (8,337,123)    (63,914,069)   (170,669,128)   (38,839,206)    (58,572,782)
   -----------     ------------   -------------   -------------   ------------   ------------- 
     7,183,095      (86,342,905)   (151,917,888)   (220,419,633)   (31,357,569)    (45,455,871)
            --         (145,928)     (1,145,421)     (1,481,994)      (324,587)             -- 
            --               --              --              --             --              -- 
            --               --              --              --             --              -- 
            --               --              --              --             --        (657,770)
   -----------     ------------   -------------   -------------   ------------   ------------- 
     7,183,095      (86,488,833)   (153,063,309)   (221,901,627)   (31,682,156)    (46,113,641)
   -----------     ------------   -------------   -------------   ------------   ------------- 
    13,632,445      (94,825,956)   (216,977,378)   (392,570,755)   (70,521,362)   (104,686,423)
   -----------     ------------   -------------   -------------   ------------   ------------- 
   $39,550,773     $(90,592,443)  $(200,364,931)  $(393,179,793)  $(71,105,901)  $ (97,032,545)
   ===========     ============   =============   =============   ============   ============= 

See Notes to Financial Statements.

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STATEMENT OF CHANGES IN NET ASSETS                                              

                                                        [Enlarge/Download Table]

                                                                 MONEY MARKET FUND       
                                                           ------------------------------
                                                           FOR THE YEAR    FOR THE PERIOD
                                                              ENDED         08/27/01 TO* 
                                                            12/31/2002        12/31/01   
                                                           ------------    --------------
                                                                                         
INCREASE/(DECREASE) IN NET ASSETS                                                        
OPERATIONS:                                                                              
  Net investment income                                    $ 14,389,410     $  9,627,050 
  Net realized gain on investment securities and futures                                 
     transactions                                                   677          125,067 
  Net change in unrealized appreciation (depreciation) on                                
     investment securities and futures transactions                  --               -- 
                                                           ------------     ------------ 
Net increase in net assets resulting from operations         14,390,087        9,752,117 
                                                           ------------     ------------ 
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME                                     
  Retail shares                                                (211,879)          (1,994)
  Retirement shares                                         (14,080,267)      (9,624,892)
  Institutional shares                                          (98,374)            (165)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS                                     
  Retail shares                                                  (2,139)              -- 
  Retirement shares                                            (122,219)              -- 
  Institutional shares                                             (709)              -- 
RETURN OF CAPITAL                                                                        
  Retail shares                                                      --               -- 
  Retirement shares                                                  --               -- 
  Institutional shares                                               --               -- 
                                                           ------------     ------------ 
Total dividends and distributions                           (14,515,587)      (9,627,051)
                                                           ------------     ------------ 
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS                (68,734,603)     997,067,575 
                                                           ------------     ------------ 
Total increase (decrease) in net assets                     (68,860,103)     997,192,641 
                                                           ------------     ------------ 
NET ASSETS:                                                                              
  Beginning of the Period                                  $997,192,641     $         -- 
                                                           ------------     ------------ 
  End of the Period                                        $928,332,538     $997,192,641 
                                                           ============     ============ 

---------------                                                                 

* Commencement of operations                                                    

See Notes to Financial Statements.

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                                                        [Enlarge/Download Table]

   LOW-DURATION BOND FUND        MEDIUM-DURATION BOND FUND     EXTENDED-DURATION BOND FUND 
-----------------------------  -----------------------------  -----------------------------
FOR THE YEAR   FOR THE PERIOD  FOR THE YEAR   FOR THE PERIOD  FOR THE YEAR   FOR THE PERIOD
   ENDED        08/27/01 TO*      ENDED        08/27/01 TO*      ENDED        08/27/01 TO* 
 12/31/2002       12/31/01      12/31/2002       12/31/01      12/31/2002       12/31/01   
------------   --------------  ------------   --------------  ------------   --------------
                                                                                            
$ 28,004,785    $ 12,999,898   $ 37,436,569    $ 13,656,210   $ 25,918,328    $  9,084,573 
  10,127,389       6,103,991     28,478,461       8,465,188      6,449,350       2,621,269 
   6,436,331      (3,312,895)     4,121,731      (8,649,653)     7,183,095      (1,860,969)
------------    ------------   ------------    ------------   ------------    ------------ 
  44,568,505      15,790,994     70,036,761      13,471,745     39,550,773       9,844,873 
------------    ------------   ------------    ------------   ------------    ------------ 
    (891,700)         (1,482)    (1,019,885)         (1,671)    (2,004,286)         (4,837)
 (28,377,608)    (13,521,823)   (37,167,512)    (14,176,685)   (23,749,846)     (9,079,567)
    (300,705)           (441)      (413,967)           (475)      (539,205)           (666)
    (314,466)           (915)      (749,228)         (2,002)      (608,575)           (829)
  (8,567,498)     (4,852,115)   (21,292,911)    (12,104,297)    (6,527,530)     (1,092,622)
     (95,235)           (198)      (282,811)           (503)      (159,603)            (99)
          --              --             --             (22)            --              -- 
          --              --             --        (133,095)            --              -- 
          --              --             --              (6)            --              -- 
------------    ------------   ------------    ------------   ------------    ------------ 
 (38,547,212)    (18,376,974)   (60,926,314)    (26,418,756)   (33,589,045)    (10,178,620)
------------    ------------   ------------    ------------   ------------    ------------ 
 (30,599,815)    818,456,552    (42,599,829)    840,869,457     13,696,928     413,190,762 
------------    ------------   ------------    ------------   ------------    ------------ 
 (24,578,522)    815,870,572    (33,489,382)    827,922,446     19,658,656     412,857,015 
------------    ------------   ------------    ------------   ------------    ------------ 
$815,870,572    $         --   $827,922,446    $         --   $412,857,015    $         -- 
------------    ------------   ------------    ------------   ------------    ------------ 
$791,292,050    $815,870,572   $794,433,064    $827,922,446   $432,515,671    $412,857,015 
============    ============   ============    ============   ============    ============ 

See Notes to Financial Statements.

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STATEMENT OF CHANGES IN NET ASSETS                                              

                                                        [Enlarge/Download Table]

                                                                 EQUITY INDEX FUND       
                                                           ------------------------------
                                                           FOR THE YEAR    FOR THE PERIOD
                                                              ENDED         08/27/01 TO* 
                                                            12/31/2002        12/31/01   
                                                           ------------    --------------
                                                                                         
INCREASE/(DECREASE) IN NET ASSETS                                                        
OPERATIONS:                                                                              
  Net investment income (loss)                             $  4,233,513     $  1,442,219 
  Net realized gain (loss) on investment securities and                                  
     futures transactions                                    (8,337,123)         738,625 
  Net change in unrealized appreciation (depreciation) on                                
     investment securities and futures transactions         (86,488,833)     (15,997,236)
                                                           ------------     ------------ 
Net increase (decrease) in net assets resulting from                                     
  operations                                                (90,592,443)     (13,816,392)
                                                           ------------     ------------ 
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME                                     
  Retail shares                                                (284,510)          (2,070)
  Retirement shares                                          (3,810,917)      (1,402,825)
  Institutional shares                                         (114,879)            (174)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS                                     
  Retail shares                                                 (51,388)          (1,700)
  Retirement shares                                            (723,900)      (1,212,172)
  Institutional shares                                          (18,967)            (131)
RETURN OF CAPITAL                                                                        
  Retail shares                                                      --               -- 
  Retirement shares                                                  --               -- 
  Institutional shares                                               --               -- 
                                                           ------------     ------------ 
Total dividends and distributions                            (5,004,561)      (2,619,072)
                                                           ------------     ------------ 
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS                  6,619,642      418,301,134 
                                                           ------------     ------------ 
Total increase (decrease) in net assets                     (88,977,362)     401,865,670 
                                                           ------------     ------------ 
NET ASSETS:                                                                              
  Beginning of the Period                                  $401,865,670     $         -- 
                                                           ------------     ------------ 
  End of the Period                                        $312,888,308     $401,865,670 
                                                           ============     ============ 

---------------                                                                 

* Commencement of operations                                                    

See Notes to Financial Statements.

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                                                        [Enlarge/Download Table]

       VALUE EQUITY FUND                GROWTH EQUITY FUND              SMALL CAP EQUITY FUND    
-------------------------------   -------------------------------   -----------------------------
 FOR THE YEAR    FOR THE PERIOD    FOR THE YEAR    FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
    ENDED         08/27/01 TO*        ENDED         08/27/01 TO*       ENDED        08/27/01 TO* 
  12/31/2002        12/31/01        12/31/2002        12/31/01       12/31/2002       12/31/01   
--------------   --------------   --------------   --------------   ------------   --------------
                                                                                                  
$   16,612,447   $    5,136,392   $     (609,038)  $     (526,303)  $   (584,539)   $   (138,921)
   (63,914,069)     (26,405,694)    (170,669,128)     (78,149,114)   (38,839,206)     (9,565,700)
  (153,063,309)     (24,139,371)    (221,901,627)      55,642,968    (31,682,156)     13,284,681 
--------------   --------------   --------------   --------------   ------------    ------------ 
  (200,364,931)     (45,408,673)    (393,179,793)     (23,032,449)   (71,105,901)      3,580,060 
--------------   --------------   --------------   --------------   ------------    ------------ 
      (335,450)          (1,028)              --               --             --              -- 
   (15,700,497)      (5,063,466)              --               --             --              -- 
      (149,517)            (195)              --               --             --              -- 
            --               --               --               --             --              -- 
            --               --               --               --             --              -- 
            --               --               --               --             --              -- 
        (3,045)              --               --               --             --              -- 
      (134,245)              --               --               --             --              -- 
        (1,142)              --               --               --             --              -- 
--------------   --------------   --------------   --------------   ------------    ------------ 
   (16,323,896)      (5,064,689)              --               --             --              -- 
--------------   --------------   --------------   --------------   ------------    ------------ 
    15,069,203    1,209,927,399      105,305,231    1,377,671,458        (94,482)    318,359,225 
--------------   --------------   --------------   --------------   ------------    ------------ 
  (201,619,624)   1,159,454,037     (287,874,562)   1,354,639,009    (71,200,383)    321,939,285 
--------------   --------------   --------------   --------------   ------------    ------------ 
$1,159,454,037   $           --   $1,354,639,009   $           --   $321,939,285    $         -- 
--------------   --------------   --------------   --------------   ------------    ------------ 
$  957,834,413   $1,159,454,037   $1,066,764,447   $1,354,639,009   $250,738,902    $321,939,285 
==============   ==============   ==============   ==============   ============    ============ 


   INTERNATIONAL EQUITY FUND                                                                     
 -----------------------------                                                                   
 FOR THE YEAR   FOR THE PERIOD                                                                   
    ENDED        08/27/01 TO*                                                                    
  12/31/2002       12/31/01                                                                      
 ------------   --------------                                                                   
                                                                                                 
 $  7,653,878    $    751,640                                                                    
  (58,572,782)    (25,722,073)                                                                   
  (46,113,641)    (13,054,721)                                                                   
 ------------    ------------                                                                    
  (97,032,545)    (38,025,154)                                                                   
 ------------    ------------                                                                    
     (149,912)           (127)                                                                   
   (7,393,223)     (2,242,578)                                                                   
      (79,869)            (86)                                                                   
           --              --                                                                    
           --              --                                                                    
           --              --                                                                    
       (4,136)             --                                                                    
     (174,185)             --                                                                    
       (1,573)             --                                                                    
 ------------    ------------                                                                    
   (7,802,898)     (2,242,791)                                                                   
 ------------    ------------                                                                    
   27,592,506     835,709,167                                                                    
 ------------    ------------                                                                    
  (77,242,937)    795,441,222                                                                    
 ------------    ------------                                                                    
 $795,441,222    $         --                                                                    
 ------------    ------------                                                                    
 $718,198,285    $795,441,222                                                                    
 ============    ============                                                                    

See Notes to Financial Statements.

                                                                             123

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FINANCIAL HIGHLIGHTS                                                            

                                                        [Enlarge/Download Table]

                                                                      MONEY MARKET FUND                                      
                                ---------------------------------------------------------------------------------------------
                                        RETAIL CLASS                  RETIREMENT CLASS               INSTITUTIONAL CLASS     
                                -----------------------------   -----------------------------   -----------------------------
                                FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
                                   ENDED        08/27/01* TO       ENDED        08/27/01* TO       ENDED        08/27/01* TO 
                                  12/31/02        12/31/01        12/31/02        12/31/01        12/31/02        12/31/01   
                                ------------   --------------   ------------   --------------   ------------   --------------
                                                                                                                             
PER SHARE OPERATING                                                                                                          
  PERFORMANCE:                                                                                                               
NET ASSET VALUE -- BEGINNING                                                                                                 
  OF PERIOD                       $  1.00          $ 1.00         $   1.00        $   1.00         $ 1.00          $ 1.00    
                                  -------          ------         --------        --------         ------          ------    
INCOME FROM INVESTMENT                                                                                                       
  OPERATIONS                                                                                                                 
  Net investment income              0.01            0.01             0.02            0.01           0.02            0.01    
  Realized and unrealized gain                                                                                               
     (loss) on                                                                                                               
     investments -- net                --              --               --              --             --              --    
                                  -------          ------         --------        --------         ------          ------    
     Total from investment                                                                                                   
       operations                    0.01            0.01             0.02            0.01           0.02            0.01    
                                  -------          ------         --------        --------         ------          ------    
LESS DIVIDENDS AND                                                                                                           
  DISTRIBUTIONS                                                                                                              
  Dividends from net                                                                                                         
     investment income              (0.01)          (0.01)           (0.02)          (0.01)         (0.02)          (0.01)   
  Distributions from capital                                                                                                 
     gains                             --++            --               --++            --             --++            --    
  Return of capital                    --              --               --              --             --              --    
                                  -------          ------         --------        --------         ------          ------    
     Total dividends and                                                                                                     
       distributions                (0.01)          (0.01)           (0.02)          (0.01)         (0.02)          (0.01)   
                                  -------          ------         --------        --------         ------          ------    
NET ASSET VALUE -- END OF THE                                                                                                
  PERIOD                          $  1.00          $ 1.00         $   1.00        $   1.00         $ 1.00          $ 1.00    
                                  =======          ======         ========        ========         ======          ======    
Total Return (1)                     1.38%           0.81%            1.60%           0.94%          1.80%           0.66%   
RATIOS/SUPPLEMENTAL DATA:                                                                                                    
Ratios to average net assets:                                                                                                
  Expenses -- net (2)                0.65%           0.75%            0.45%           0.44%          0.25%           0.25%   
  Expenses -- including                                                                                                      
     expense reduction (2)           0.65%           0.75%            0.44%           0.44%          0.25%           0.25%   
  Expenses -- before waivers                                                                                                 
     and expense reduction (2)       0.77%          16.37%            0.50%           0.49%          0.55%          90.37%   
  Investment income -- net (2)       1.35%           1.98%            1.58%           2.72%          1.75%           2.60%   
  Investment income (loss) --                                                                                                
     excluding waivers and                                                                                                   
     expense reduction (2)           1.23%         (13.64)%           1.52%           2.67%          1.45%         (87.52)%  
  Portfolio turnover rate (1)         N/A             N/A              N/A             N/A            N/A             N/A    
Net Assets -- end of the                                                                                                     
  period (000's)                  $16,538          $  788         $906,302        $996,380         $5,493          $   25    
                                  =======          ======         ========        ========         ======          ======    

---------------                                                                 

*  Commencement of operations                                                 

#   Calculated using the average shares outstanding method.                 
(1) Non-annualized.                                                             
(2) Annualized.                                                                 
++  Amount represents less than $0.01 per share.                                

See Notes to Financial Statements.

124                                                                           

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                                                        [Enlarge/Download Table]

                                   LOW-DURATION BOND FUND                                    
---------------------------------------------------------------------------------------------
        RETAIL CLASS                  RETIREMENT CLASS               INSTITUTIONAL CLASS     
-----------------------------   -----------------------------   -----------------------------
FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
   ENDED        08/27/01* TO       ENDED        08/27/01* TO       ENDED        08/27/01* TO 
  12/31/02        12/31/01        12/31/02        12/31/01        12/31/02        12/31/01   
------------   --------------   ------------   --------------   ------------   --------------
                                                                                              
  $  9.86          $10.00         $  13.06        $  13.10         $ 9.85          $10.00    
  -------          ------         --------        --------         ------          ------    
     0.33#           0.22             0.46#           0.21           0.37#           0.15    
     0.22           (0.06)            0.27            0.05           0.19              --    
  -------          ------         --------        --------         ------          ------    
     0.55            0.16             0.73            0.26           0.56            0.15    
  -------          ------         --------        --------         ------          ------    
    (0.47)          (0.22)           (0.48)          (0.22)         (0.50)          (0.22)   
    (0.15)          (0.08)           (0.15)          (0.08)         (0.15)          (0.08)   
       --              --               --              --             --              --    
  -------          ------         --------        --------         ------          ------    
    (0.62)          (0.30)           (0.63)          (0.30)         (0.65)          (0.30)   
  -------          ------         --------        --------         ------          ------    
  $  9.79          $ 9.86         $  13.16        $  13.06         $ 9.76          $ 9.85    
  =======          ======         ========        ========         ======          ======    
     5.70%           1.54%            5.71%           1.96%          5.89%           1.54%   
     0.79%           0.85%            0.62%           0.61%          0.46%           0.45%   
     0.79%           0.85%            0.61%           0.61%          0.45%           0.45%   
     0.93%          74.57%            0.72%           0.72%          0.78%          57.60%   
     3.21%         (69.54)%           3.39%           4.36%          3.38%         (52.42)%  
     3.35%           4.18%            3.50%           4.47%          3.71%           4.73%   
   181.96%          79.53%          181.96%          79.53%        181.96%          79.53%   
  $20,985          $3,458         $763,987        $812,387         $6,320          $   25    
  =======          ======         ========        ========         ======          ======    

See Notes to Financial Statements.

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                                                                      MEDIUM-DURATION BOND FUND                                  
                                    ---------------------------------------------------------------------------------------------
                                            RETAIL CLASS                  RETIREMENT CLASS               INSTITUTIONAL CLASS     
                                    -----------------------------   -----------------------------   -----------------------------
                                    FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
                                       ENDED        08/27/01* TO       ENDED        08/27/01* TO       ENDED        08/27/01* TO 
                                      12/31/02        12/31/01        12/31/02        12/31/01        12/31/02        12/31/01   
                                    ------------   --------------   ------------   --------------   ------------   --------------
                                                                                                                                 
PER SHARE OPERATING PERFORMANCE:                                                                                                 
NET ASSET VALUE -- BEGINNING OF                                                                                                  
  PERIOD                              $  9.70         $ 10.00         $  13.37        $  13.60        $  9.65         $ 10.00    
                                      -------         -------         --------        --------        -------         -------    
INCOME FROM INVESTMENT OPERATIONS                                                                                                
  Net investment income                  0.42#           0.17             0.62#           0.22           0.46#           0.16    
  Realized and unrealized gain                                                                                                   
    (loss) on investments -- net         0.41           (0.04)            0.57           (0.02)          0.40           (0.08)   
                                      -------         -------         --------        --------        -------         -------    
    Total from investment                                                                                                        
       operations                        0.83            0.13             1.19            0.20           0.86            0.08    
                                      -------         -------         --------        --------        -------         -------    
LESS DIVIDENDS AND DISTRIBUTIONS                                                                                                 
  Dividends from net investment                                                                                                  
    income                              (0.63)          (0.23)           (0.65)          (0.23)         (0.67)          (0.23)   
  Distributions from capital gains      (0.37)          (0.20)           (0.37)          (0.20)         (0.37)          (0.20)   
  Return of capital                        --              --++             --              --++           --              --++  
                                      -------         -------         --------        --------        -------         -------    
    Total dividends and                                                                                                          
       distributions                    (1.00)          (0.43)           (1.02)          (0.43)         (1.04)          (0.43)   
                                      -------         -------         --------        --------        -------         -------    
NET ASSET VALUE -- END OF THE                                                                                                    
  PERIOD                              $  9.53         $  9.70         $  13.54        $  13.37        $  9.47         $  9.65    
                                      =======         =======         ========        ========        =======         =======    
Total Return (1)                         8.90%           1.30%            9.15%           1.49%          9.25%           0.89%   
RATIOS/SUPPLEMENTAL DATA:                                                                                                        
Ratios to average net assets:                                                                                                    
  Expenses -- net (2)                    0.90%           0.92%            0.63%           0.64%          0.51%           0.52%   
  Expenses -- including expense                                                                                                  
    reduction (2)                        0.90%           0.90%            0.62%           0.62%          0.50%           0.50%   
  Expenses -- before waivers and                                                                                                 
    expense reduction (2)                1.03%          58.64%            0.77%           0.77%          0.82%          92.28%   
  Investment income                                                                                                              
    (loss) -- excluding waivers                                                                                                  
    and expense reduction (2)            4.20%         (53.26)%           4.43%           4.46%          4.41%         (86.80)%  
  Investment income -- net (2)           4.33%           4.48%            4.58%           4.61%          4.73%           4.98%   
  Portfolio turnover rate (1)          542.94%         247.20%          542.94%         247.20%        542.94%         247.20%   
Net Assets -- end of the period                                                                                                  
  (000's)                             $19,289         $   123         $767,926        $827,774        $ 7,218         $    25    
                                      =======         =======         ========        ========        =======         =======    

---------------                                                                 
*  Commencement of operations                                                 

#   Calculated using the average shares outstanding method.                 
(1) Non-annualized.                                                             
(2) Annualized.                                                                 
++  Amount represents less than $0.01 per share.                                

See Notes to Financial Statements.

126                                                                           

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                                   EXTENDED-DURATION BOND FUND                                   
-------------------------------------------------------------------------------------------------
            RETAIL CLASS                  RETIREMENT CLASS               INSTITUTIONAL CLASS     
    -----------------------------   -----------------------------   -----------------------------
    FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
       ENDED        08/27/01* TO       ENDED        08/27/01* TO       ENDED        08/27/01* TO 
      12/31/02        12/31/01        12/31/02        12/31/01        12/31/02        12/31/01   
    ------------   --------------   ------------   --------------   ------------   --------------
                                                                                                 
      $  9.83          $10.00         $  14.37        $  14.38         $ 9.84          $10.00    
      -------          ------         --------        --------         ------          ------    
         0.62            0.32             0.90            0.32           0.65            0.24    
                        (0.13)            0.47            0.03           0.29           (0.03)   
         0.29                                                                                    
      -------          ------         --------        --------         ------          ------    
         0.91            0.19             1.37            0.35           0.94            0.21    
      -------          ------         --------        --------         ------          ------    
        (0.87)          (0.32)           (0.88)          (0.32)         (0.90)          (0.33)   
        (0.24)          (0.04)           (0.24)          (0.04)         (0.24)          (0.04)   
           --              --               --              --             --              --    
      -------          ------         --------        --------         ------          ------    
        (1.11)          (0.36)           (1.12)          (0.36)         (1.14)          (0.37)   
      -------          ------         --------        --------         ------          ------    
      $  9.63          $ 9.83         $  14.62        $  14.37         $ 9.64          $ 9.84    
      =======          ======         ========        ========         ======          ======    
         9.93%           1.91%           10.03%           2.48%         10.27%           2.13%   
         0.91%           1.06%            0.73%           0.74%          0.64%           0.66%   
         0.91%           1.05%            0.73%           0.73%          0.64%           0.65%   
             %          28.96%            0.82%           0.84%          0.88%          90.75%   
         1.03                                                                                    
         6.06%         (21.77)%           6.20%           6.21%          6.23%         (83.48)%  
         6.18%           6.14%            6.29%           6.32%          6.47%           6.62%   
        45.17%          21.95%           45.17%          21.95%         45.17%          21.95%   
      $24,812          $8,553         $401,198        $404,278         $6,506          $   26    
      =======          ======         ========        ========         ======          ======    

See Notes to Financial Statements.

                                                                             127

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                                                                          EQUITY INDEX FUND                                      
                                    ---------------------------------------------------------------------------------------------
                                            RETAIL CLASS                  RETIREMENT CLASS               INSTITUTIONAL CLASS     
                                    -----------------------------   -----------------------------   -----------------------------
                                    FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
                                       ENDED        08/27/01* TO       ENDED        08/27/01* TO       ENDED        08/27/01* TO 
                                      12/31/02        12/31/01        12/31/02        12/31/01        12/31/02        12/31/01   
                                    ------------   --------------   ------------   --------------   ------------   --------------
                                                                                                                                 
PER SHARE OPERATING PERFORMANCE:                                                                                                 
NET ASSET VALUE -- BEGINNING OF                                                                                                  
  PERIOD                              $  9.63          $10.00         $  15.64        $  16.15        $  9.58          $10.00    
                                      -------          ------         --------        --------        -------          ------    
INCOME FROM INVESTMENT OPERATIONS                                                                                                
  Net investment income                  0.13            0.02             0.17            0.05           0.14            0.03    
  Realized and unrealized loss on                                                                                                
     investments -- net                 (2.31)          (0.28)           (3.69)          (0.46)         (2.29)          (0.34)   
                                      -------          ------         --------        --------        -------          ------    
     Total from investment                                                                                                       
       operations                       (2.18)          (0.26)           (3.52)          (0.41)         (2.15)          (0.31)   
                                      -------          ------         --------        --------        -------          ------    
LESS DIVIDENDS AND DISTRIBUTIONS                                                                                                 
  Dividends from net investment                                                                                                  
     income                             (0.16)          (0.06)           (0.16)          (0.05)         (0.18)          (0.06)   
  Distributions from capital gains      (0.03)          (0.05)           (0.03)          (0.05)         (0.03)          (0.05)   
  Return of capital                        --              --               --              --             --              --    
                                      -------          ------         --------        --------        -------          ------    
     Total dividends and                                                                                                         
       distributions                    (0.19)          (0.11)           (0.19)          (0.10)         (0.21)          (0.11)   
                                      -------          ------         --------        --------        -------          ------    
NET ASSET VALUE -- END OF THE                                                                                                    
  PERIOD                              $  7.26          $ 9.63         $  11.93        $  15.64        $  7.22          $ 9.58    
                                      =======          ======         ========        ========        =======          ======    
Total Return (1)                       (22.71)%         (2.65)%         (22.59)%         (2.55)%       (22.57)%         (3.14)%  
RATIOS/SUPPLEMENTAL DATA:                                                                                                        
Ratios to average net assets:                                                                                                    
  Expenses -- net (2)                    0.45%           0.45%            0.40%           0.40%          0.25%           0.25%   
  Expenses -- including expense                                                                                                  
     reduction (2)                       0.45%           0.45%            0.40%           0.40%          0.25%           0.25%   
  Expenses -- before waivers and                                                                                                 
     reimbursements (2)                  0.81%          28.52%            0.51%           0.53%          0.60%          86.25%   
  Investment income -- net (2)           1.21%           0.95%            1.21%           0.98%          1.40%           1.19%   
  Investment income (loss) --                                                                                                    
     excluding waivers and expense                                                                                               
     reduction (2)                       0.85%         (27.12)%           1.10%           0.85%          1.05%         (84.81)%  
  Portfolio turnover rate (1)            3.17%           2.81%            3.17%           2.81%          3.17%           2.81%   
Net Assets -- end of the period                                                                                                  
  (000's)                             $12,890          $  367         $295,261        $401,471        $ 4,737          $   28    
                                      =======          ======         ========        ========        =======          ======    

---------------                                                                 
*  Commencement of operations                                                 

(1) Non-annualized.                                                             
(2) Annualized.                                                                 

See Notes to Financial Statements.

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                                      VALUE EQUITY FUND                                      
---------------------------------------------------------------------------------------------
        RETAIL CLASS                  RETIREMENT CLASS               INSTITUTIONAL CLASS     
-----------------------------   -----------------------------   -----------------------------
FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
   ENDED        08/27/01* TO       ENDED        08/27/01* TO       ENDED        08/27/01* TO 
  12/31/02        12/31/01        12/31/02        12/31/01        12/31/02        12/31/01   
------------   --------------   ------------   --------------   ------------   --------------
                                                                                              
  $  9.61         $ 10.00         $  14.57       $    15.21       $  9.64          $10.00    
  -------         -------         --------       ----------       -------          ------    
     0.15            0.03             0.21             0.06          0.16            0.06    
    (1.82)          (0.35)           (2.73)           (0.64)        (1.80)          (0.35)   
  -------         -------         --------       ----------       -------          ------    
    (1.67)          (0.32)           (2.52)           (0.58)        (1.64)          (0.29)   
  -------         -------         --------       ----------       -------          ------    
    (0.19)          (0.07)           (0.20)           (0.06)        (0.23)          (0.07)   
       --              --               --               --            --              --    
       --+             --               --+              --            --+             --    
  -------         -------         --------       ----------       -------          ------    
    (0.19)          (0.07)           (0.20)           (0.06)        (0.23)          (0.07)   
  -------         -------         --------       ----------       -------          ------    
  $  7.75         $  9.61         $  11.85       $    14.57       $  7.77          $ 9.64    
  =======         =======         ========       ==========       =======          ======    
   (17.48)%         (3.23)%         (17.37)%          (3.79)%      (17.22)%         (2.88)%  
     1.15%           1.15%            0.90%            0.90%         0.76%           0.76%   
     1.11%           1.15%            0.87%            0.90%         0.72%           0.76%   
     1.29%          65.50%            0.98%            1.00%         1.06%          81.37%   
     1.38%           1.12%            1.57%            1.29%         1.77%           1.60%   
     1.20%         (63.23)%           1.46%            1.19%         1.43%         (79.01)%  
    70.42%          21.09%           70.42%           21.09%        70.42%          21.09%   
  $13,987         $   168         $938,583       $1,159,209       $ 5,265          $   77    
  =======         =======         ========       ==========       =======          ======    

See Notes to Financial Statements.

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                                                                        GROWTH EQUITY FUND                                      
                                   ---------------------------------------------------------------------------------------------
                                           RETAIL CLASS                  RETIREMENT CLASS               INSTITUTIONAL CLASS     
                                   -----------------------------   -----------------------------   -----------------------------
                                   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
                                      ENDED        08/27/01* TO       ENDED        08/27/01* TO       ENDED        08/27/01* TO 
                                     12/31/02        12/31/01        12/31/02        12/31/01        12/31/02        12/31/01   
                                   ------------   --------------   ------------   --------------   ------------   --------------
                                                                                                                                
PER SHARE OPERATING PERFORMANCE:                                                                                                
NET ASSET VALUE -- BEGINNING OF                                                                                                 
  PERIOD                             $  9.81          $10.00        $    15.63      $    15.93       $  9.83          $10.00    
                                     -------          ------        ----------      ----------       -------          ------    
INCOME FROM INVESTMENT OPERATIONS                                                                                               
  Net investment income (loss)         (0.02)             --++           (0.01)          (0.01)         0.01              --++  
  Realized and unrealized gain                                                                                                  
     (loss) on investments -- net      (2.76)          (0.19)            (4.39)          (0.29)        (2.77)          (0.17)   
                                     -------          ------        ----------      ----------       -------          ------    
     Total from investment                                                                                                      
       operations                      (2.78)          (0.19)            (4.40)          (0.30)        (2.76)          (0.17)   
                                     -------          ------        ----------      ----------       -------          ------    
LESS DIVIDENDS AND DISTRIBUTIONS                                                                                                
  Dividends from net investment                                                                                                 
     income                               --              --                --              --            --              --    
  Distributions from capital                                                                                                    
     gains                                --              --                --              --            --              --    
                                     -------          ------        ----------      ----------       -------          ------    
     Total dividends and                                                                                                        
       distributions                      --              --                --              --            --              --    
                                     -------          ------        ----------      ----------       -------          ------    
NET ASSET VALUE -- END OF THE                                                                                                   
  PERIOD                             $  7.03          $ 9.81        $    11.23      $    15.63       $  7.07          $ 9.83    
                                     =======          ======        ==========      ==========       =======          ======    
Total Return (1)                      (28.34)%         (1.90)%          (28.15)%         (1.88)%      (28.08)%         (1.70)%  
RATIOS/SUPPLEMENTAL DATA:                                                                                                       
Ratios to average net assets:                                                                                                   
  Expenses -- net (2)                   1.15%           1.15%             0.90%           0.90%         0.78%           0.78%   
  Expenses -- including expense                                                                                                 
     reduction (2)                      1.12%           1.15%             0.88%           0.90%         0.75%           0.78%   
  Expenses -- before waivers and                                                                                                
     expense reduction (2)              1.36%          47.77%             1.02%           1.05%         1.14%          83.19%   
  Investment income (loss) -- net                                                                                               
     (2)                               (0.28)%         (0.32)%           (0.05)%         (0.11)%        0.09%           0.02%   
  Investment income (loss) --                                                                                                   
     excluding waivers and                                                                                                      
     expense reduction (2)             (0.52)%        (46.94)%           (0.19)%         (0.26)%       (0.30)%        (82.39)%  
  Portfolio turnover rate (1)          41.41%           8.71%            41.41%           8.71%        41.41%           8.71%   
Net Assets -- end of the period                                                                                                 
  (000's)                            $12,503          $  309        $1,049,709      $1,354,301       $ 4,553          $   29    
                                     =======          ======        ==========      ==========       =======          ======    

---------------                                                                 
*  Commencement of operations                                                 

++  Amount represents less than $0.01 per share.                              
(1) Non-annualized.                                                             
(2) Annualized.                                                                 

See Notes to Financial Statements.

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                                                        [Enlarge/Download Table]

                                    SMALL CAP EQUITY FUND                                    
---------------------------------------------------------------------------------------------
        RETAIL CLASS                  RETIREMENT CLASS               INSTITUTIONAL CLASS     
-----------------------------   -----------------------------   -----------------------------
FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
   ENDED        08/27/01* TO       ENDED        08/27/01* TO       ENDED        08/27/01* TO 
  12/31/02        12/31/01        12/31/02        12/31/01        12/31/02        12/31/01   
------------   --------------   ------------   --------------   ------------   --------------
                                                                                              
  $ 10.09         $ 10.00         $  13.18        $  13.07        $  10.12         $10.00    
  -------         -------         --------        --------        --------         ------    
    (0.04)             --++          (0.02)          (0.01)          (0.01)            --    
    (2.22)           0.09            (2.91)           0.12           (2.23)          0.12    
  -------         -------         --------        --------        --------         ------    
    (2.26)           0.09            (2.93)           0.11           (2.24)          0.12    
  -------         -------         --------        --------        --------         ------    
       --              --               --              --              --             --    
       --              --               --              --              --             --    
  -------         -------         --------        --------        --------         ------    
       --              --               --              --              --             --    
  -------         -------         --------        --------        --------         ------    
  $  7.83         $ 10.09         $  10.25        $  13.18        $   7.88         $10.12    
  =======         =======         ========        ========        ========         ======    
   (22.40)%          0.90%          (22.23)%          0.84%         (22.13)%         1.20%   
     1.50%           1.50%            1.25%           1.25%           1.18%          1.18%   
     1.43%           1.50%            1.19%           1.25%           1.11%          1.18%   
     1.82%         123.38%            1.51%           1.52%           1.60%         76.30%   
    (0.44)%         (0.28)%          (0.19)%         (0.13)%         (0.12)%         0.12%   
    (0.83)%       (122.16)%          (0.51)%         (0.40)%         (0.61)%       (75.00)%  
   160.46%          91.89%          160.46%          91.89%         160.46%         91.89%   
  $12,878         $   115         $232,992        $321,743        $  4,869         $   81    
  =======         =======         ========        ========        ========         ======    

See Notes to Financial Statements.

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                                                        [Enlarge/Download Table]

                                                                  INTERNATIONAL EQUITY FUND                                  
                                ---------------------------------------------------------------------------------------------
                                        RETAIL CLASS                  RETIREMENT CLASS               INSTITUTIONAL CLASS     
                                -----------------------------   -----------------------------   -----------------------------
                                FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD   FOR THE YEAR   FOR THE PERIOD
                                   ENDED        08/27/01* TO       ENDED        08/27/01* TO       ENDED        08/27/01* TO 
                                  12/31/02        12/31/01        12/31/02        12/31/01        12/31/02        12/31/01   
                                ------------   --------------   ------------   --------------   ------------   --------------
                                                                                                                             
PER SHARE OPERATING                                                                                                          
  PERFORMANCE:                                                                                                               
NET ASSET VALUE -- BEGINNING                                                                                                 
  OF PERIOD                       $  9.43         $ 10.00         $  11.09        $  11.66        $  9.50          $10.00    
                                  -------         -------         --------        --------        -------          ------    
INCOME FROM INVESTMENT                                                                                                       
  OPERATIONS                                                                                                                 
  Net investment income (loss)       0.06           (0.01)#           0.11            0.01           0.11              --++  
  Realized and unrealized loss                                                                                               
     on investments -- net          (1.21)          (0.53)           (1.43)          (0.55)         (1.22)          (0.47)   
                                  -------         -------         --------        --------        -------          ------    
     Total from investment                                                                                                   
       operations                   (1.15)          (0.54)           (1.32)          (0.54)         (1.11)          (0.47)   
                                  -------         -------         --------        --------        -------          ------    
LESS DIVIDENDS AND                                                                                                           
  DISTRIBUTIONS                                                                                                              
  Dividends from net                                                                                                         
     investment income              (0.09)          (0.03)           (0.11)          (0.03)         (0.13)          (0.03)   
  Distributions from capital                                                                                                 
     gains                             --              --               --              --             --              --    
  Return of capital                    --+             --               --+             --             --+             --    
                                  -------         -------         --------        --------        -------          ------    
     Total dividends and                                                                                                     
       distributions                (0.09)          (0.03)           (0.11)          (0.03)         (0.13)          (0.03)   
                                  -------         -------         --------        --------        -------          ------    
NET ASSET VALUE -- END OF THE                                                                                                
  PERIOD                          $  8.19         $  9.43         $   9.66        $  11.09        $  8.26          $ 9.50    
                                  =======         =======         ========        ========        =======          ======    
Total Return (1)                   (12.18)%         (5.40)%         (11.94)%         (4.61)%       (11.72)%         (4.69)%  
RATIOS/SUPPLEMENTAL DATA:                                                                                                    
Ratios to average net assets:                                                                                                
  Expenses -- net (2)                1.37%           1.45%            1.15%           1.15%          0.96%           0.96%   
  Expenses -- including                                                                                                      
     expense reduction (2)           1.34%           1.45%            1.12%           1.15%          0.93%           0.96%   
  Expenses -- before waivers                                                                                                 
     and reimbursements (2)          1.64%         256.83%            1.35%           1.37%          1.43%          88.97%   
  Investment income (loss) --                                                                                                
     net (2)                         0.88%          (0.32)%           1.00%           0.28%          1.29%           0.11%   
  Investment income (loss) --                                                                                                
     excluding waivers and                                                                                                   
     expense reduction (2)           0.58%        (255.70)%           0.77%           0.06%          0.79%         (87.90)%  
  Portfolio turnover rate (1)       30.13%          20.05%           30.13%          20.05%         30.13%          20.05%   
Net Assets -- end of the                                                                                                     
  period (000's)                  $14,078         $    51         $698,704        $795,363        $ 5,416          $   27    
                                  =======         =======         ========        ========        =======          ======    

---------------                                                                 

*  Commencement of operations                                                 

++  Amount represents less than $0.01 per share.                                
#   Calculated using the average shares outstanding method.                 
(1) Non-annualized.                                                             
(2) Annualized.                                                                 

See Notes to Financial Statements.

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NOTES TO FINANCIAL STATEMENTS                                                   

1. DESCRIPTION OF THE FUNDS                                                     

AB Funds Trust (the "Trust") was organized as a Delaware business trust on March
2, 2000. The Trust has established thirteen series (each a "Fund" and together, 
the "Funds"). Each Fund is a diversified, open-end management investment company
and registered under the Investment Company Act of 1940, as amended (the "1940  
Act"). The Flexible Income Fund, Growth & Income Fund, Capital Opportunities    
Fund and Global Equity Fund are each referred to as a "Blended Fund" and        
together are referred to as the "Blended Funds." The remaining Funds are each   
referred to as a "Select Fund" and are together referred to as the "Select      
Funds." The Low-Duration Bond Fund, Medium-Duration Bond Fund and               
Extended-Duration Bond Fund are together referred to as the "Bond Funds." The   
Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund,
and International Equity Fund are together referred to as the "Equity Funds."   
The Money Market Fund is referred to as the "Money Market Fund." There are three
classes of shares issued by the Trust -- the Retail Class, Retirement Class and 
Institutional Class. The Blended Funds consist of a Retail Class and Retirement 
Class. All classes of shares have identical voting, dividend and liquidation    
rights. The distribution fee (class specific expense) differs among classes.    
Income, expenses (other than class specific expenses) and realized and          
unrealized gains or losses on investments are allocated to each class of shares 
based upon its relative net assets.                                             

Each Fund is a separate mutual fund with its own investment objective,          
strategies and risks. The Select Funds invest directly in particular types of   
fixed income obligations, stocks and other investments and the Blended Funds    
primarily invest in a different mix of the Select Funds to meet a specified     
investment strategy. The Blended Funds are commonly referred to as "Fund of     
Funds".                                                                         

2. SIGNIFICANT ACCOUNTING POLICIES                                              

The following significant accounting policies are in conformity with generally  
accepted accounting principles in the United States of America which requires   
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosures of contingent assets and liabilities at  
the date of the financial statements and the reported amounts of income and     
expenses during the reporting period. Actual results could differ from those    
estimates.                                                                      

A. VALUATION OF SECURITIES                                                      

The Funds (except the Money Market Fund) each value securities traded on        
national securities exchanges or included in national market systems at the last
quoted sale price on the principal exchange on which they were traded, or, in   
the absence of any sale, at the closing bid price. Securities which are         
primarily traded on foreign exchanges are generally valued at the closing values
of such securities on their respective exchanges, except that when an occurrence
subsequent to the time when the foreign security is valued is likely to have    
changed such value, then the fair value of those securities will be determined  
through procedures established by or under the direction of the Board of        
Trustees. Non-exchange traded securities for which an over-the-counter quotation
is readily available are valued at the last quoted bid price. Debt securities,  
excluding asset-backed and mortgage-backed securities, are valued at the mean of
the last bid and asked prices available. Asset-backed and mortgage-backed       
securities are valued at the last bid price. Options and warrants for which the 
primary market is a national securities exchange are valued at the last sale    
price on the exchange on which they are traded, or, in the absence of any sale, 
at the closing bid price. Options and warrants not traded on a national         
securities exchange are valued at the last quoted bid price. Short-term         
securities maturing in more than 60 days from the valuation date are valued at  
the mean of the last bid and asked prices; those maturing in 60 days or less are
valued at amortized cost. Futures contracts are valued at the closing settlement
price on the exchange on which they are primarily traded. Forward foreign       
exchange contracts are valued based upon closing exchange rates from each       
respective foreign market. Swap agreements are valued daily based upon the terms
specific to each agreement with its counterparty. To the extent available,      
valuations of portfolio securities are provided by independent pricing services 
approved by the Board of Trustees. Debt securities                              

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are valued on the basis of broker quotations or valuations provided by a pricing
service which may use a matrix, formula or other objective method that takes    
into consideration market indices, matrices, yield curves and other specific    
adjustments. Securities for which market quotations are not readily available   
are valued at fair value according to methods established in good faith by the  
Board of Trustees.                                                              

The Money Market Fund uses the amortized cost method to determine the value of  
its portfolio securities, which approximates market value.                      

The Blended Funds value their investments in the underlying Select Funds daily  
at the closing net asset value of each respective Select Fund.                  

B. REPURCHASE AGREEMENTS                                                        

Each Fund may agree to purchase securities from financial institutions subject  
to the seller's agreement to repurchase them at a mutually agreed upon date and 
price. It is the Fund's policy that repurchase agreements are fully             
collateralized by U.S. Treasury and Government Agency securities. All collateral
is held by the Fund's custodian bank or a bank with which the custodian bank has
entered into a subcustodian agreement, or is segregated in the Federal Reserve  
Book Entry System. In connection with transactions in repurchase agreements, if 
the seller defaults and the value of the collateral declines, or if the seller  
enters an insolvency proceeding, realization of the collateral by the Fund may  
be delayed or limited.                                                          

C. DERIVATIVE FINANCIAL INSTRUMENTS                                             

The Funds may engage in various portfolio strategies to seek to increase its    
return by hedging its portfolio against adverse movements in the equity, debt   
and currency markets. Losses may arise due to changes in the value of the       
contract if the counterparty does not perform under the contract.               

     FINANCIAL FUTURES CONTRACTS -- The Funds (except the Money Market Fund) may
purchase or sell financial futures contracts and the options on such  
   futures contracts for the purpose of hedging risk on existing securities,
the intended purchase of securities or to gain market exposure on cash
 balances. Financial futures contracts are contracts for the delivery of
 securities at a specified future date at an agreed upon price or yield.
     Upon entering into a contract, the Funds deposit and maintain as collateral
     such initial margin as required by the exchange on which the transaction is
  effected. Pursuant to the contract, the Funds agree to pay to or receive
 from the broker an amount of cash equal to the daily fluctuation in the
 value of the contract. Such payments or receipts are known as variation
  margin and are recorded by the Funds as unrealized gains or losses until
the contract is closed or settled.                                    

     Risks of entering into futures contracts include the possibility that there
will be an imperfect price correlation between the futures and the    
    underlying securities. Second, it is possible that a lack of liquidity for
futures contracts could exist in the secondary market, resulting in an
  inability to close a futures position prior to its maturity date. Third,
     the purchase of a futures contract involves the risk that a fund could lose
more than the original margin deposit required to initiate a futures  
transaction.                                                          

OPTIONS -- The Funds are authorized to write and purchase put and call
  options. The risk in writing a call option is that the Funds give up the
   opportunity for profit if the market price of the security increases. The
risk in writing a put option is that the Funds may incur a loss if the
 market price of the security decreases and the option is exercised. The
     risk in purchasing an option is that the Funds pay a premium whether or not
   the option is exercised. The Funds also have the additional risk of being
unable to enter into a closing transaction at an acceptable price if a
liquid secondary market does not exist. The Funds also may write      
   over-the-counter options where completing the obligation depends upon the
 credit standing of the other party and this party's ability to perform.
   Option contracts also involve the risk that they may not work as intended
 due to unanticipated developments in market conditions or other causes.

     Options purchased are recorded as an asset and written options are recorded
   as liabilities to the extent of premiums paid or received. Each Fund will
realize                                                               

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a gain or loss when the option transaction expires or closes. When an 
   option is exercised, the proceeds on sales for a written call option, the
purchase cost for a written put option or the cost of a security for a
purchased put or call option is adjusted by the amount of the premium 
received or paid.                                                     

   The Funds may write swaption contracts to manage exposure to fluctuations
in interest rates and to enhance portfolio yield. Swaption contracts  
written by the Funds represent an option that gives the purchaser the 
    right, but not the obligation, to enter into a previously agreed upon swap
 contract on a future date. If a written call swaption is exercised, the
     writer will enter a swap and is obligated to pay the fixed rate and receive
  a floating rate in exchange. If a written put swaption is exercised, the
writer will enter a swap and is obligated to pay the floating rate and
receive a fixed rate in exchange. Swaptions are marked to market daily
  based upon quotations from market makers. When a Fund writes a swaption,
the premium received is recorded as a liability and is subsequently   
adjusted to the current market value of the swaption.                 

Entering into a swaption contract involves, to varying degrees, the   
    elements of credit, market and interest rate risk in excess of the amounts
   reported in the Statement of Assets and Liabilities, associated with both
     option contracts and swap contracts. The Funds bear the market risk arising
from any change in index values or interest rates.                    

     FORWARD FOREIGN EXCHANGE CONTRACTS -- The International Equity Fund and the
  Bond Funds may enter into forward foreign currency exchange contracts to
hedge against adverse exchange rate fluctuation to the U.S. dollar or 
 between different foreign currencies in connection with either specific
     security transactions or portfolio positions. Each contract is valued daily
     and the change in value is recorded as an unrealized gain or loss. When the
contract is closed, a realized gain or loss is recorded equal to the  
     difference between the opening value and the closing value of the contract.
   The International Equity Fund and the Bond Funds could be exposed to risk
    if the counterparties to the contracts are unable to meet the terms of the
contract and from unanticipated movements in the value of a foreign   
currency relative to the U.S. dollar.                                 

   FOREIGN CURRENCY OPTIONS AND FUTURES -- The International Equity Fund and
    the Bond Funds may also enter into futures contracts on foreign currencies
and related options on transactions as a short or long hedge against  
possible variations in foreign exchange rates.                        

TBAS -- The Bond Funds may enter into "TBA" (to be announced) purchase
commitments to purchase securities for a fixed price at a future date,
typically not exceeding 45 days. TBAs may be considered securities in 
   themselves, and involve a risk of loss if the value of the security to be
  purchased declines prior to settlement date. This risk is in addition to
    the risk of decline in each Fund's other assets. Unsettled TBAs are valued
    at the current market value of the underlying securities, according to the
procedures described under "Valuation of Securities" above.           

 SWAP AGREEMENTS -- Each Select Fund may enter into swap agreements. The
     Equity Funds may enter into equity swap contracts, the Bond Funds may enter
   into interest rate and credit default swaps, the International Equity and
 Bond Funds may enter into currency swaps and each Select Fund may enter
   into total return swaps. Swap agreements are the exchange of one security
   or asset for another. A swap may be entered into in order to, among other
things, change the maturity of a fund's portfolio, to protect a fund's
value from changes in interest rates, to expose a fund to a different 
 security or market, or to help a fund achieve a strategy relative to an
index or other benchmark. By entering into a swap agreement, a fund is
    exposed to the risk of unanticipated movements in interest rates or in the
     value of an underlying security or index, or that the counterparty will not
  fulfill its obligation under the agreement. Credit default swaps involve
   the payment of amounts based on a specified rate multiplied by a notional
amount as well as upon an event of default. In                        

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     connection with these agreements, securities may be set aside as collateral
by the funds custodian.                                               

D. FOREIGN CURRENCY TRANSLATIONS AND FOREIGN CURRENCY CONTRACTS                 

Securities and other assets and liabilities denominated in foreign currencies   
are translated daily into U.S. dollars. Foreign currency amounts related to the 
purchase or sale of securities and income and expenses are translated at the    
exchange rate on the transaction date. The effect of changes in foreign exchange
rates on realized and unrealized security gains or losses is reflected as a     
component of such gains or losses. In the statement of operations, net realized 
gains or losses from foreign currency transactions, if any, may arise from sales
of foreign currency, closed forward contracts, exchange gains or losses realized
between the trade date and settlement date on securities transactions, and other
translation gains or losses on dividends, interest income and foreign           
withholding taxes.                                                              

E. FEDERAL INCOME TAXES                                                         

Each Fund's policy is to comply with all sections of the Internal Revenue Code  
that apply to regulated investment companies and to distribute substantially all
of its taxable income to shareholders. No provision for income or excise taxes  
is thus required. Each Fund is treated as a separate entity for federal income  
tax purposes.                                                                   

Net investment income (loss) and net realized gains (losses) may differ for     
financial statement and tax purposes primarily because of deferred losses on    
certain futures contracts and losses deferred due to "wash sale" transactions.  
The character of distributions made during the year from net investment income  
or net realized gains may differ from their ultimate characterization for       
federal income tax purposes. Also, due to the timing of dividend distributions, 
the fiscal year in which amounts are distributed may differ from the year that  
the income or realized gains (losses) were recorded by the Funds.               

F. DIVIDENDS TO SHAREHOLDERS                                                    

The Money Market Fund declares a dividend daily and payable monthly equal to its
net investment income for that day. The Bond Funds declare and pay dividends    
from net investment income monthly. The Equity Index Fund, Value Equity Fund and
Growth Equity Fund declare and pay dividends from net investment income         
semi-annually. The Small Cap Equity Fund, International Equity Fund and the     
Blended Funds declare and pay dividends from net investment income annually. The
Funds declare and pay distributions from capital gains, if available, annually. 
Distributions to shareholders are recorded on the ex-dividend date.             

G. SECURITY TRANSACTIONS, INCOME AND REALIZED GAINS AND LOSSES                  

Security transactions are accounted for on the date securities are purchased or 
sold (the trade date). Dividend income is recognized on the ex-dividend date and
interest income is accrued daily, including the amortization of market premium  
and the accretion of market discount. Realized gains and losses from security   
transactions are identified on an identified cost basis.                        

H. EXPENSES                                                                     

Expenses arising in connection with a Fund are charged directly to that Fund.   
Expenses common to all Funds of the Trust are generally allocated to each Fund  
in proportion to their relative net assets. Each class of shares bears its      
pro-rata portion of expenses attributable to its class, except that each class  
separately bears expenses related specifically to that class, such as printing, 
transfer agent, service and distribution fees.                                  

3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES                                  

A. INVESTMENT ADVISORY FEES                                                     

Pursuant to a separate investment advisory agreement, SBC Financial Services,   
Inc. ("SBCFS" or "Investment Advisor") acts as the Investment Advisor to the    
Funds. As Investment Advisor it supervises the investments of the Funds and for 
such services is paid a fee.                                                    

SBCFS and the Trust have entered into sub-advisory agreements with various      
sub-advisers to manage each Select Fund's investments. Under the general        
supervision of SBCFS, the sub-advisers make the day-to-day invest-              

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ment decisions for the Select Funds and for such services each sub-adviser      
receives a fee from the Funds.                                                  

The advisory fees paid to SBCFS and aggregate sub-advisory fees paid to the     
sub-advisers are computed daily based upon the net assets of each Fund. The     
actual advisory and sub-advisory fees accrued during the year ended December 31,
2002, based upon average daily net assets, were as follows:                     

                                                                [Download Table]

FUND                      ADVISORY FEES    SUB-ADVISOR FEES
----                      -------------    ----------------
                                                           
Flexible Income                .10%               --       
Growth & Income                .10%               --       
Capital Opportunities          .10%               --       
Global Equity                  .10%               --       
Money Market                   .14%              .07%      
Low-Duration Bond              .20%              .21%      
Medium-Duration Bond           .23%              .21%      
Extended-Duration Bond         .27%              .23%      
Equity Index                   .14%              .03%      
Value Equity                   .43%              .26%      
Growth Equity                  .48%              .27%      
Small Cap Equity               .30%              .80%      
International Equity           .47%              .50%      

For the year ended December 31, 2002, advisory fees and waivers for each Fund   
were as follows:                                                                

                                                                [Download Table]

                          GROSS                     NET ADVISORY
                       ADVISORY FEE     WAIVERS         FEE     
                       ------------   -----------   ------------
                                                                
Flexible Income         $  282,483    $  (109,960)   $  172,523 
Growth & Income          1,095,029        (26,334)    1,068,695 
Capital Opportunities      818,608        (63,707)      754,901 
Global Equity              720,202        (81,477)      638,725 
Money Market             1,281,173        (84,126)    1,197,047 
Low-Duration Bond        1,600,792       (507,920)    1,092,872 
Medium-Duration Bond     1,879,036       (830,794)    1,048,242 
Extended-Duration                                               
  Bond                   1,112,377       (123,825)      988,552 
Equity Index               488,262       (166,090)      322,172 
Value Equity             4,558,595       (423,135)    4,135,460 
Growth Equity            5,682,637     (1,156,668)    4,525,969 
Small Cap Equity           857,575       (532,340)      325,235 
International Equity     3,594,515     (1,255,540)    2,338,975 

B. DISTRIBUTION AND SHAREHOLDER SERVICING FEES                                  

The Board of Trustees has adopted Shareholder Service Plans for the Retirement  
and Retail Class of each Select Fund ("Service Plans") and a separate Plan of   
Distribution for the Retail Class of each Select Fund and Blended Fund pursuant 
to Rule 12b-1 under the 1940 Act ("12b-1 Plan"). Under the Service Plans, the   
Retail Class and Retirement Class of each Select Fund are authorized to pay fees
to parties that provide services for and maintain shareholder accounts. The     
Retail Class and the Retirement Class of each Select Fund are authorized to pay 
service fees of 0.15% and 0.19% of average daily net assets, respectively. Under
the 12b-1 Plan, the assets of each Select Fund and Blended Fund may be used to  
compensate the Annuity Board, the Distributor or others for certain expenses    
relating to the distribution of shares of the Funds to investors. Under the     
12b-1 Plan, the maximum amount payable as a percentage of average daily net     
assets on an annual basis is 0.10% by the Retail Class of each Select Fund and  
0.06% by the Retail Class of each Blended Fund.                                 

C. EXPENSE LIMITATION                                                           

SBCFS has agreed, through July 15, 2003, to waive fees and reimburse expenses of
the Retail Class, Retirement Class and the Institutional Class of each Fund     
(excluding interest, taxes, brokerage commissions and extraordinary expenses)   
which exceed, in the aggregate, the annual percentage rate of each class's      
average daily net assets as follows:                                            

                                                                [Download Table]

                            RETAIL   RETIREMENT   INSTITUTIONAL
FUND                        CLASS      CLASS          CLASS    
----                        ------   ----------   -------------
                                                               
Flexible Income               .48%       .13%           --     
Growth & Income               .48%       .13%           --     
Capital Opportunities         .48%       .13%           --     
Global Equity                 .48%       .13%           --     
Money Market                  .75%       .46%          .25%    
Low-Duration Bond             .85%       .61%          .45%    
Medium-Duration Bond          .90%       .62%          .50%    
Extended-Duration Bond       1.05%       .73%          .65%    
Equity Index                  .45%       .40%          .25%    
Value Equity                 1.15%       .90%          .76%    
Growth Equity                1.15%       .90%          .78%    
Small Cap Equity             1.50%      1.25%         1.18%    
International Equity         1.45%      1.15%          .96%    

                                                                             137

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D. BROKERAGE SERVICE AND OTHER ARRANGEMENTS                                     

The Investment Advisor directs the sub-advisers to place security trades with   
designated brokers who have agreed to pay certain custody, transfer agency or   
other operating expenses through the use of Brokerage Service Arrangements on   
behalf of the Equity Funds. The amount of expenses paid through Brokerage       
Service Arrangements for the year ended December 31, 2002 were as follows:      

                                                                [Download Table]

                                       EXPENSES PAID    
                                     THROUGH BROKERAGE  
FUND                                SERVICE ARRANGEMENTS
----                                --------------------
                                                        
Value Equity                              $353,186      
Growth Equity                              282,817      
Small Cap Equity                           173,941      
International Equity                       232,242      

In addition, the Funds have entered into arrangements with its custodian whereby
interest earned on uninvested cash balances was used to offset a portion of each
Fund's expenses. During the year ended December 31, 2002, expenses reduced were 
as follows:                                                                     

                                                                [Download Table]

                                          REDUCTION TO
FUND                                        EXPENSES  
----                                      ------------
                                                      
Flexible Income                             $    479  
Growth & Income                                   90  
Capital Opportunities                          1,210  
Global Equity                                    467  
Money Market                                   4,663  
Low-Duration Bond                             51,708  
Medium-Duration Bond                          61,191  
Extended-Duration Bond                           884  
Equity Index                                     811  
Value Equity                                   1,852  
Growth Equity                                    530  
Small Cap Equity                                 961  
International Equity                             542  

E. ADMINISTRATOR, TRANSFER AGENT AND DISTRIBUTOR                                

Certain employees of PFPC Inc. ("PFPC"), an indirect, wholly-owned subsidiary of
The PNC Financial Services Group, Inc., are officers of the Funds. PFPC serves  
as Administrator and Transfer agent of the Funds. For its services as           
Administrator, PFPC is entitled to receive fees, computed daily and paid        
monthly, based upon the average daily net assets of each Fund. The fees         
currently range between .008% and .11% of average net assets, excluding out of  
pocket expenses. Certain fee waivers may apply. For its services as Transfer    
Agent, PFPC receives a fee based mainly upon the number of accounts serviced.   
Certain minimum fees, transaction charges and fee waivers may apply. For the    
year ended December 31, 2002, PFPC received $3,934,359 in aggregate fees and    
expenses (net of waivers of $3,066,113) for services rendered under the various 
agreements described above.                                                     

PFPC Distributors, Inc. ("PDI"), also an indirect, wholly-owned subsidiary of   
The PNC Financial Services Group, Inc., serves as the Distributor for the Funds.
The Funds do not pay any fees to PDI in its capacity as distributor.            

4. SECURITIES LENDING                                                           

Through an agreement with Northern Trust (the Funds' custodian) the Select Funds
may lend portfolio securities to certain brokers, dealers and other financial   
institutions that pay the Select Funds a negotiated fee. The Select Funds       
receive cash, letters of credit or U.S. Government securities as collateral     
against the loaned securities in an amount at least equal to the market value of
the loaned securities. The Funds continue to own the loaned securities and the  
securities remain in the investment portfolio. However, in the event of default 
or bankruptcy by the other party to the agreement, realization and/or retention 
of the collateral may be subject to legal proceedings. Cash collateral has been 
invested in a short-term money market fund of Northern Trust. At December 31,   
2002, the market values of loaned securities and collateral received were as    
follows:                                                                        

                                                                [Download Table]

                           MARKET VALUE OF    MARKET VALUE OF
FUND                      SECURITIES LOANED     COLLATERAL   
----                      -----------------   ---------------
                                                             
Money Market                $ 27,426,753       $ 28,073,200  
Low-Duration Bond            219,596,239        223,287,706  
Medium-Duration Bond         140,538,471        143,310,447  
Extended-Duration Bond        45,126,437         45,950,784  
Equity Index                  13,376,682         13,598,715  
Value Equity                  65,284,464         67,128,010  
Growth Equity                 57,308,285         58,541,974  
Small Cap Equity              75,231,438         76,764,174  
International Equity          54,669,834         56,380,175  

138                                                                           

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5. INVESTMENT TRANSACTIONS                                                      
For the year ended December 31, 2002, the cost of purchases and proceeds from   
sales and maturities (other than short-term and U.S. Government obligations)    
aggregated for each Fund are as follows:                                        

                                                                [Download Table]

                                        SALE AND MATURITY
FUND                      PURCHASES         PROCEEDS     
----                     ------------   -----------------
                                                         
Flexible Income          $ 17,100,000     $ 18,250,000   
Growth & Income            79,800,000      117,300,000   
Capital Opportunities      65,700,000       65,500,000   
Global Equity              44,450,000       53,550,000   
Low-Duration Bond         197,814,448      288,871,604   
Medium-Duration Bond      426,546,376      472,133,724   
Extended-Duration Bond    137,588,705      137,744,825   
Equity Index               16,997,825       10,810,348   
Value Equity              712,012,240      708,459,209   
Growth Equity             576,906,812      465,966,733   

                                                                [Download Table]

                                        SALE AND MATURITY
FUND                      PURCHASES         PROCEEDS     
----                     ------------   -----------------
                                                         
Small Cap Equity         $456,926,486     $438,687,383   
International Equity      261,371,899      222,042,744   

For the year ended December 31, 2002, the cost of purchases and proceeds from   
sales and maturities of long-term U.S. Government obligations aggregated for    
each Fund are as follows:                                                       

                                                                [Download Table]

                                        SALE AND MATURITY
FUND                     PURCHASES          PROCEEDS     
----                   --------------   -----------------
                                                         
Flexible Income        $   20,859,369    $   23,705,039  
Growth & Income            50,504,832        56,411,611  
Capital Opportunities      17,145,958        20,561,232  
Low-Duration Bond       1,140,168,658     1,190,659,147  
Medium-Duration Bond    4,660,856,831     4,789,308,419  
Extended-Duration                                        
  Bond                     44,335,541        40,998,395  

FUTURES CONTRACTS                                                               

Investments in securities as of December 31, 2002, included securities that were
valued and pledged as collateral to cover initial margin deposits. The market   
value of this collateral and open futures contracts is as follows:              

                                                        [Enlarge/Download Table]

                                         MARKET VALUE OF   OPEN PURCHASE    NOTIONAL MARKET   NET UNREALIZED GAIN
                                           COLLATERAL     (SALE) CONTRACTS  VALUE ON FUTURES   (LOSS) ON FUTURES 
                                         ---------------  ----------------  ----------------  -------------------
                                                                                                                 
FLEXIBLE INCOME FUND                                                                                             
  March 2003 S&P 500                       $   89,959              5          $ 1,098,625         $  (21,328)    
                                                                                                  ==========     
GROWTH & INCOME FUND                                                                                             
  March 2003 S&P 500                          569,734             37            8,129,825         $ (140,634)    
                                                                                                  ==========     
CAPITAL OPPORTUNITIES FUND                                                                                       
  March 2003 S&P 500                          739,304             49           10,766,525         $ (169,392)    
                                                                                                  ==========     
GLOBAL EQUITY FUND                                                                                               
  March 2003 S&P 500                          879,588             61           13,403,225         $ (269,813)    
                                                                                                  ==========     
LOW-DURATION BOND FUND                                                                                           
  March 2003 90-Day Euribor                   163,069             56           14,301,604         $  132,433     
  March 2003 2-Year U.S. Treasury Note        214,813            123           26,468,063            314,322     
  March 2003 5-Year Euro Bobl                  63,824             48            5,597,490            107,055     
  March 2003 10-Year U.S. Treasury Note       840,327            (13)           1,495,609            (56,213)    
  June 2003 90-Day Euribor                    297,416            102           26,084,137            114,175     
                                                                                                  ----------     
                                                                                                  $  611,772     
                                                                                                  ==========     
MEDIUM-DURATION BOND FUND                                                                                        
  March 2003 U.S. Treasury Bond                 8,411            (13)           1,464,938         $  (51,253)    
  March 2003 5-Year U.S. Treasury Note         64,373            (99)          11,211,750           (266,612)    
  March 2003 10-Year Euro-Bund                607,233            484           57,665,362          1,301,249     
  March 2003 10-Year U.S. Treasury Note     1,398,073           (153)          17,602,172           (346,843)    

                                                                             139

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                                                        [Enlarge/Download Table]

                                         MARKET VALUE OF   OPEN PURCHASE    NOTIONAL MARKET   NET UNREALIZED GAIN
                                           COLLATERAL     (SALE) CONTRACTS  VALUE ON FUTURES   (LOSS) ON FUTURES 
                                         ---------------  ----------------  ----------------  -------------------
                                                                                                                 
  March 2003 10-Year U.S. Treasury Note    $  203,068            134          $15,416,281         $  366,688     
  December 2003 90-Day Euro                    49,931             38            9,331,375             80,750     
  March 2004 90-Day Euro                      262,429            110           26,918,375            187,763     
  June 2004 90-Day Euribor                    295,096            119           30,269,159             30,145     
                                                                                                  ----------     
                                                                                                  $1,301,887     
                                                                                                  ==========     
EQUITY INDEX FUND                                                                                                
  March 2003 S&P 500                          704,670             30            6,591,750         $ (122,028)    
                                                                                                  ==========     
VALUE EQUITY FUND                                                                                                
  March 2003 Russell 1000                     129,939              2              465,650         $   (1,966)    
  March 2003 S&P 500                        3,808,219            183           40,209,675           (799,527)    
                                                                                                  ----------     
                                                                                                  $  801,493     
                                                                                                  ==========     
GROWTH EQUITY FUND                                                                                               
  March 2003 Russell 1000                      45,764              2              465,650         $   (7,841)    
  March 2003 S&P 500                        3,757,457            174           38,232,150           (804,855)    
                                                                                                  ----------     
                                                                                                  $ (812,696)    
                                                                                                  ==========     
SMALL CAP EQUITY FUND                                                                                            
  March 2003 Russell 2000                     609,591             32            6,131,200         $ (140,281)    
  March 2003 S&P 500                          589,842             27            5,932,575           (120,266)    
                                                                                                  ----------     
                                                                                                  $ (260,547)    
                                                                                                  ==========     

FOREIGN CURRENCY CONTRACTS                                                      

As of December 31, 2002, the following Funds have foreign currency exchange     
contracts that obligate it to deliver currencies at specified future dates. The 
unrealized appreciation and/or depreciation on these contracts is included in   
the accompanying financial statements. The terms of the open contracts are as   
follows:                                                                        

                                                        [Enlarge/Download Table]

                                                 AMOUNT OF                              AMOUNT OF      NET UNREALIZED
                           CURRENCY TO BE     CURRENCY TO BE      CURRENCY TO BE     CURRENCY TO BE    APPRECIATION/ 
FUND/EXPIRATION DATE          DELIVERED          DELIVERED           RECEIVED           RECEIVED       (DEPRECIATION)
--------------------      -----------------  -----------------  ------------------  -----------------  --------------
                                                                                                                     
LOW-DURATION BOND FUND                                                                                               
  02/10/2003              European Euro              4,440,000  US Dollars               4,426,680      $  (222,517) 
                                                                                                        ===========  
MEDIUM-DURATION BOND FUND                                                                                            
  01/24/2003              European Euro                660,192  US Dollars                 660,192      $   (31,569) 
  01/29/2003              Polish Zloty               3,110,989  US Dollars                 769,437          (37,774) 
  02/10/2003              European Euro             22,309,000  US Dollars              22,242,074       (1,118,045) 
  02/20/2003              European Euro             12,983,423  US Dollars              13,070,591         (519,342) 
  03/19/2003              Canadian Dollars          12,417,160  US Dollars               7,971,344          131,928  
                                                                                                        -----------  
                                                                                                        $(1,574,802) 
                                                                                                        ===========  
INTERNATIONAL EQUITY                                                                                                 
  01/02/2003              Hong Kong Dollars            165,529  US Dollars                  21,224      $        (2) 
  01/02/2003              Euro                          76,846  US Dollars                  78,575           (2,063) 
  01/02/2003              Singapore Dollars             17,115  US Dollars                   9,855              (12) 
  01/02/2003              US Dollars                    13,080  British Pounds               8,153               46  

140                                                                           

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                                                        [Enlarge/Download Table]

                                             AMOUNT OF                              AMOUNT OF      NET UNREALIZED
                       CURRENCY TO BE     CURRENCY TO BE      CURRENCY TO BE     CURRENCY TO BE    APPRECIATION/ 
FUND/EXPIRATION DATE      DELIVERED          DELIVERED           RECEIVED           RECEIVED       (DEPRECIATION)
--------------------  -----------------  -----------------  ------------------  -----------------  --------------
                                                                                                                 
INTERNATIONAL EQUITY                                                                                             
  01/02/2003          US Dollars                    59,583  Euro                        56,934      $       161  
  01/03/2003          US Dollars                     6,378  Swiss Francs                 8,864               33  
  01/03/2003          US Dollars                     9,003  Norwegian Krone             62,840               68  
  01/06/2003          Japanese Yen              21,292,092  US Dollars                 177,360           (2,062) 
  01/06/2003          Singapore Dollars              3,888  US Dollars                   2,240               (2) 
  01/06/2003          US Dollars                    10,307  British Pounds               6,424               35  
  01/07/2003          Japanese Yen              11,247,053  US Dollars                  93,686           (1,089) 
  01/07/2003          US Dollars                     5,967  Swedish Krona               52,229               27  
  01/15/2003          Japanese Yen              70,430,360  European Euro              582,647           16,687  
  02/21/2003          Canadian Dollar            1,374,106  European Euro              863,402           35,288  
  02/24/2003          Japanese Yen              98,070,390  European Euro              803,789           12,809  
  02/26/2003          Japanese Yen             168,407,250  European Euro            1,385,383           27,131  
  03/12/2003          Japanese Yen              32,035,157  European Euro              274,208           15,838  
  03/31/2003          Japanese Yen             373,387,535  European Euro            3,165,643          150,014  
  04/22/2003          Japanese Yen              71,432,250  European Euro              595,070           16,607  
  06/09/2003          Japanese Yen              78,854,300  European Euro              640,311           (1,427) 
                                                                                                    -----------  
                                                                                                    $   268,087  
                                                                                                    ===========  

OPTIONS WRITTEN                                                                 

Transactions in options written for the year ended December 31, 2002, were as   
follows:                                                                        

                                                                [Download Table]

                           NUMBER OF   PREMIUMS   
LOW-DURATION BOND FUND     CONTRACTS   RECEIVED   
----------------------     ---------  ----------- 
                                                  
Options written, 12/31/01       18    $    13,403 
                            ------    ----------- 
Options written                 --             -- 
Option expired                 (18)       (13,403)
Options closed                  --             -- 
                            ------    ----------- 
Options written, 12/31/02       --    $        -- 
                            ======    =========== 

                                                                [Download Table]

                           NUMBER OF   PREMIUMS   
MEDIUM-DURATION BOND FUND  CONTRACTS   RECEIVED   
-------------------------  ---------  ----------- 
                                                  
Options written, 12/31/01    3,686    $ 1,145,578 
                            ------    ----------- 
Options written              7,597      1,961,251 
Option expired              (1,386)      (214,748)
Options closed              (4,407)    (1,338,216)
                            ------    ----------- 
Options written, 12/31/02    5,490    $ 1,553,865 
                            ======    =========== 

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6. CAPITAL SHARE TRANSACTIONS                                                   

Transactions in shares of capital stock for the year ended December 31, 2002 and
the period ended December 31, 2001, are as follows:                             

                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
FLEXIBLE INCOME FUND                  SHARES             VALUE             SHARES               VALUE      
--------------------              --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,670,545    $    16,393,393           32,681       $      324,171  
Retirement Class                       3,611,419         46,311,965       23,462,107          311,476,166  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                             107,505            980,449              430                4,226  
Retirement Class                         987,456         12,264,206          399,833            5,257,806  
SHARES REDEEMED:                                                                                           
Retail Class                             (30,529)          (292,173)              --                   --  
Retirement Class                      (5,132,185)       (66,166,610)      (2,067,894)         (27,266,300) 
                                  --------------    ---------------    -------------       --------------  
Net increase                           1,214,211    $     9,491,230       21,827,157       $  289,796,069  
                                  ==============    ===============    =============       ==============  

                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
GROWTH & INCOME FUND                  SHARES             VALUE             SHARES               VALUE      
--------------------              --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,804,916    $    17,382,391          136,021       $    1,303,931  
Retirement Class                      10,191,589        126,341,627       91,378,087        1,253,171,503  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                             165,812          1,385,998            2,912               28,340  
Retirement Class                       5,235,297         62,038,270        1,474,435           19,831,156  
SHARES REDEEMED:                                                                                           
Retail Class                             (69,225)          (640,608)          (1,629)             (16,113) 
Retirement Class                     (15,192,703)      (189,399,981)      (6,822,476)         (91,088,550) 
                                  --------------    ---------------    -------------       --------------  
Net increase                           2,135,686    $    17,107,697       86,167,350       $1,183,230,267  
                                  ==============    ===============    =============       ==============  

                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
CAPITAL OPPORTUNITIES FUND            SHARES             VALUE             SHARES               VALUE      
--------------------------        --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,164,775    $    11,131,515           33,758       $      325,853  
Retirement Class                       6,015,900         72,058,224       70,081,086          959,163,600  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                              58,034            467,756              325                3,170  
Retirement Class                       2,467,745         27,712,780          536,066            7,194,005  
SHARES REDEEMED:                                                                                           
Retail Class                             (26,707)          (232,493)              --                   --  
Retirement Class                      (7,786,137)       (92,920,831)      (4,508,067)         (59,765,166) 
                                  --------------    ---------------    -------------       --------------  
Net increase                           1,893,610    $    18,216,951       66,143,168       $  906,921,462  
                                  ==============    ===============    =============       ==============  

142                                                                           

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                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
GLOBAL EQUITY FUND                    SHARES             VALUE             SHARES               VALUE      
------------------                --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,668,192    $    15,788,091           21,306       $      201,726  
Retirement Class                       4,934,351         56,608,076       66,069,047          892,935,217  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                              18,489            142,735               53                  517  
Retirement Class                         601,538          6,310,135          133,473            1,767,179  
SHARES REDEEMED:                                                                                           
Retail Class                             (33,843)          (271,873)              --                   --  
Retirement Class                      (7,942,881)       (91,353,777)      (4,538,012)         (58,756,650) 
                                  --------------    ---------------    -------------       --------------  
Net increase (decrease)                 (754,154)   $   (12,776,613)      61,685,867       $  836,147,989  
                                  ==============    ===============    =============       ==============  

                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
MONEY MARKET FUND                     SHARES             VALUE             SHARES               VALUE      
-----------------                 --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                          18,106,642    $    18,106,642          961,236       $      961,236  
Retirement Class                   2,391,998,542      2,391,998,542    1,934,765,473        1,934,801,090  
Institutional Class                    6,411,127          6,411,127           25,010               25,010  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                             213,286            213,286            1,982                1,982  
Retirement Class                       9,311,070          9,311,070        7,543,463            7,543,463  
Institutional Class                       98,177             98,177              163                  163  
SHARES REDEEMED:                                                                                           
Retail Class                          (2,568,089)        (2,568,089)        (175,354)            (175,354) 
Retirement Class                  (2,491,264,245)    (2,491,264,245)    (946,090,015)        (946,090,015) 
Institutional Class                   (1,041,113)        (1,041,113)              --                   --  
                                  --------------    ---------------    -------------       --------------  
Net increase (decrease)              (68,734,603)   $   (68,734,603)     997,031,958       $  997,067,575  
                                  ==============    ===============    =============       ==============  

                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
LOW-DURATION BOND FUND                SHARES             VALUE             SHARES               VALUE      
----------------------            --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,793,207    $    17,762,300          358,357       $    3,535,620  
Retirement Class                      10,218,265        134,402,258       66,179,657          867,335,378  
Institutional Class                      607,288          6,000,000            2,486               25,010  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                             122,635          1,206,161              242                2,397  
Retirement Class                       2,813,339         36,945,105        1,398,658           18,373,938  
Institutional Class                       40,373            395,941               64                  638  
SHARES REDEEMED:                                                                                           
Retail Class                            (123,568)        (1,220,973)          (7,885)             (77,893) 
Retirement Class                     (17,206,689)      (226,065,358)      (5,366,152)         (70,738,536) 
Institutional Class                       (2,556)           (25,249)              --                   --  
                                  --------------    ---------------    -------------       --------------  
Net increase (decrease)               (1,737,706)   $   (30,599,815)      62,565,427       $  818,456,552  
                                  ==============    ===============    =============       ==============  

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                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
MEDIUM-DURATION BOND FUND             SHARES             VALUE             SHARES               VALUE      
-------------------------         --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,906,394    $    18,677,236           20,268       $      202,813  
Retirement Class                      16,093,582        218,282,492       63,292,088          859,444,272  
Institutional Class                      689,176          6,727,106            2,501               25,010  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                             183,456          1,767,411              371                3,624  
Retirement Class                       4,320,283         58,449,894        1,960,327           26,414,149  
Institutional Class                       72,704            696,779              101                  984  
SHARES REDEEMED:                                                                                           
Retail Class                             (78,013)          (760,212)          (7,985)             (80,329) 
Retirement Class                     (25,611,700)      (346,415,094)      (3,329,699)         (45,141,066) 
Institutional Class                       (2,609)           (25,441)              --                   --  
                                  --------------    ---------------    -------------       --------------  
Net increase (decrease)               (2,426,727)   $   (42,599,829)      61,937,972       $  840,869,457  
                                  ==============    ===============    =============       ==============  

                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
EXTENDED-DURATION BOND FUND           SHARES             VALUE             SHARES               VALUE      
---------------------------       --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,780,621    $    17,558,639          893,745       $    8,785,829  
Retirement Class                       9,912,940        141,473,893       31,293,941          449,964,265  
Institutional Class                      602,410          6,000,000            2,541               25,010  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                             272,045          2,612,870              576                5,666  
Retirement Class                       2,110,905         30,277,376          712,974           10,172,189  
Institutional Class                       72,741            698,808               78                  765  
SHARES REDEEMED:                                                                                           
Retail Class                            (346,633)        (3,336,503)         (24,190)            (238,049) 
Retirement Class                     (12,725,946)      (181,561,981)      (3,865,643)         (55,524,913) 
Institutional Class                       (2,630)           (26,174)              --                   --  
                                  --------------    ---------------    -------------       --------------  
Net increase                           1,676,453    $    13,696,928       29,014,022       $  413,190,762  
                                  ==============    ===============    =============       ==============  

144                                                                           

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                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
EQUITY INDEX FUND                     SHARES             VALUE             SHARES               VALUE      
-----------------                 --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,723,247    $    16,231,143           37,845       $      357,819  
Retirement Class                       4,534,401         59,262,983       30,249,421          486,916,130  
Institutional Class                      638,298          6,000,000            2,855               25,010  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                              43,629            335,885              394                3,817  
Retirement Class                         359,710          4,534,816          166,366            2,614,997  
Institutional Class                       17,473            133,846               31                  305  
SHARES REDEEMED:                                                                                           
Retail Class                             (30,424)          (244,278)            (117)                (999) 
Retirement Class                      (5,822,653)       (79,608,284)      (4,746,579)         (71,615,945) 
Institutional Class                       (2,887)           (26,469)              --                   --  
                                  --------------    ---------------    -------------       --------------  
Net increase                           1,460,794    $     6,619,642       25,710,216       $  418,301,134  
                                  ==============    ===============    =============       ==============  

                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
VALUE EQUITY FUND                     SHARES             VALUE             SHARES               VALUE      
-----------------                 --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,792,054    $    16,791,746           17,388       $      162,463  
Retirement Class                       5,902,283         76,944,949       82,702,775        1,254,555,266  
Institutional Class                      682,607          6,440,400            7,992               75,010  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                              40,519            338,252              113                1,028  
Retirement Class                       1,234,129         15,730,370          352,364            5,063,466  
Institutional Class                       17,310            145,231               20                  195  
SHARES REDEEMED:                                                                                           
Retail Class                             (44,669)          (369,131)              --                   (1) 
Retirement Class                      (7,492,522)      (100,715,917)      (3,503,423)         (49,930,028) 
Institutional Class                      (30,628)          (236,697)              --                   --  
                                  --------------    ---------------    -------------       --------------  
Net increase                           2,101,083    $    15,069,203       79,577,229       $1,209,927,399  
                                  ==============    ===============    =============       ==============  

                                                        [Enlarge/Download Table]

                                                         FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                        FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                     ---------------------------------   -------------------------------------
GROWTH EQUITY FUND       SHARES             VALUE             SHARES               VALUE      
------------------   --------------    ---------------   ----------------    -----------------
                                                                                              
SHARES SOLD:                                                                                  
Retail Class              1,802,792    $    17,029,868           31,531       $      297,875  
Retirement Class         17,230,594        217,156,015       91,254,249        1,448,096,078  
Institutional Class         644,374          6,165,400            2,935               25,010  
SHARES REDEEMED:                                                                              
Retail Class                (55,258)          (429,932)             (36)                (300) 
Retirement Class        (10,369,145)      (134,588,500)      (4,620,298)         (70,747,205) 
Institutional Class          (2,935)           (27,620)              --                   --  
                     --------------    ---------------    -------------       --------------  
Net increase              9,250,422    $   105,305,231       86,668,381       $1,377,671,458  
                     ==============    ===============    =============       ==============  

                                                                             145

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                                                             FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                            FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                         ---------------------------------   -------------------------------------
SMALL CAP EQUITY FUND        SHARES             VALUE             SHARES               VALUE      
---------------------    --------------    ---------------   ----------------    -----------------
                                                                                                  
SHARES SOLD:                                                                                      
Retail Class                  1,677,766    $    16,348,685           11,387       $      108,700  
Retirement Class              8,191,337         98,180,698       26,809,369          348,635,485  
Institutional Class             639,470          6,285,000            7,994               75,010  
SHARES REDEEMED:                                                                                  
Retail Class                    (43,559)          (364,433)              --                   --  
Retirement Class             (9,860,076)      (120,314,748)      (2,406,195)         (30,459,970) 
Institutional Class             (29,239)          (229,684)              --                   --  
                         --------------    ---------------    -------------       --------------  
Net increase (decrease)         575,699    $       (94,482)      24,422,555       $  318,359,225  
                         ==============    ===============    =============       ==============  

                                                        [Enlarge/Download Table]

                                                                      FOR THE PERIOD 8/27/01 (COMMENCEMENT 
                                     FOR THE YEAR ENDED 12/31/02         OF OPERATIONS) THROUGH 12/31/01   
                                  ---------------------------------   -------------------------------------
INTERNATIONAL EQUITY FUND             SHARES             VALUE             SHARES               VALUE      
-------------------------         --------------    ---------------   ----------------    -----------------
                                                                                                           
SHARES SOLD:                                                                                               
Retail Class                           1,716,277    $    15,791,132            5,391       $       49,841  
Retirement Class                       9,250,407         97,896,260       73,765,697          858,155,144  
Institutional Class                      645,856          6,000,000            2,872               25,010  
SHARES ISSUED IN REINVESTMENT OF                                                                           
  DIVIDENDS:                                                                                               
Retail Class                              18,906            154,094               14                  127  
Retirement Class                         787,451          7,567,407          207,071            2,242,578  
Institutional Class                        9,920             81,443                9                   86  
SHARES REDEEMED:                                                                                           
Retail Class                             (21,992)          (188,156)             (23)                (200) 
Retirement Class                      (9,425,678)       (99,683,230)      (2,283,997)         (24,763,419) 
Institutional Class                       (2,881)           (26,444)              --                   --  
                                  --------------    ---------------    -------------       --------------  
Net increase                           2,978,266    $    27,592,506       71,697,034       $  835,709,167  
                                  ==============    ===============    =============       ==============  

7. BANK BORROWINGS                                                              

The Trust, on behalf of and for the benefit of the Funds, has a credit agreement
with Bank of America, N.A., dated October 22, 2002, whereby each Fund is        
permitted to have bank borrowings for temporary or emergency purposes to fund   
Shareholder redemptions. The agreement permits borrowings up to $50 million,    
collectively. Interest is charged to each Fund based on its borrowings at a rate
equal to the Bank prime rate minus two percent or the Wall Street Journal LIBOR 
One Month Floating Rate plus 0.50%. Each Fund also pays a facility fee equal to 
its pro rata share of the amount of the credit facility at a rate of 0.15% per  
annum. Each Fund had no borrowings outstanding during the period ended December 
31, 2002.                                                                       

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8. FEDERAL INCOME TAXES                                                         

Income and capital gain distributions are determined in accordance with federal 
income tax regulations, which may differ from GAAP. These differences are       
primarily due to differing treatments for futures and options transactions,     
foreign currency transactions, paydowns, losses deferred due to wash sales,     
investments in passive foreign investment companies ("PFIC") and excise tax     
regulations. Distributions paid during 2002 and 2001 were characterized as      
follows for tax purposes:                                                       

                                                                [Download Table]

                        ORDINARY      LONG-TERM     RETURN OF      TOTAL    
FUND                     INCOME      CAPITAL GAIN    CAPITAL    DISTRIBUTION
----                   -----------   ------------   ---------   ------------
                                                                            
Flexible Income                                                             
  2002                 $ 9,781,693   $ 3,462,350          --    $13,244,043 
  2001                   5,262,245            --          --      5,262,245 
Growth & Income                                                             
  2002                  37,309,441    26,116,347          --     63,425,788 
  2001                  19,859,687            --          --     19,859,687 
Capital Opportunities                                                       
  2002                  18,417,652     9,766,603          --     28,184,255 
  2001                   7,197,203            --          --      7,197,203 
Global Equity                                                               
  2002                   6,452,783            --          --      6,452,783 
  2001                   1,767,706            --          --      1,767,706 
Money Market                                                                
  2002                  14,515,587            --          --     14,515,587 
  2001                   9,627,051            --          --      9,627,051 
Low-Duration Bond                                                           
  2002                  36,617,084     1,930,128          --     38,547,212 
  2001                  17,519,939       857,035          --     18,376,974 
Medium-Duration Bond                                                        
  2002                  55,633,960     5,292,354          --     60,926,314 
  2001                  24,823,427     1,462,206    $133,123     26,418,756 
Extended-Duration Bond                                                      
  2002                  30,750,822     2,838,223          --     33,589,045 
  2001                  10,178,620            --          --     10,178,620 
Equity Index                                                                
  2002                   4,604,015       400,546          --      5,004,561 
  2001                   2,619,072            --          --      2,619,072 
Value Equity                                                                
  2002                  16,185,464            --     138,432     16,323,896 
  2001                   5,064,689            --          --      5,064,689 
International Equity                                                        
  2002                   7,623,004            --     179,894      7,802,898 
  2001                   2,242,791            --          --      2,242,791 

At December 31, 2002, the components of distributable earnings on a tax basis   
were as follows:                                                                

                                                                [Download Table]

                         UNDISTRIBUTED   UNDISTRIBUTED     UNREALIZED  
                           ORDINARY        LONG-TERM      APPRECIATION 
FUND                        INCOME       CAPITAL GAIN    (DEPRECIATION)
----                     -------------   -------------   --------------
                                                                       
Flexible Income           $   256,761    $   1,000,540   $  33,849,224 
Growth & Income             2,403,833        1,676,036      33,673,734 
Capital Opportunities       1,184,631               --     (50,529,886)
Global Equity                  62,062       (3,248,256)    (93,922,853)
Money Market                      677               --              -- 
Low-Duration Bond             694,345           33,766      14,196,094 
Medium-Duration Bond       (1,007,669)       2,645,878      15,319,289 
Extended-Duration Bond        280,593          794,441      22,382,383 
Equity Index                   47,048       (8,362,710)    (52,495,574)
Value Equity                       --      (77,865,680)   (130,278,862)
Growth Equity                      --     (220,583,639)   (274,744,001)
Small Cap Equity                   --      (42,666,278)    (17,074,948)
International Equity          (45,034)     (79,907,298)   (126,884,589)

For federal income tax purposes, capital loss carryovers, and their expiration  
dates, were as follows as of December 31, 2002:                                 

                                                                [Download Table]

                          EXPIRING       EXPIRING                 
                         12/31/2009     12/31/2010       TOTAL    
                         -----------   ------------   ------------
                                                                  
Global Equity                     --   $  1,756,387   $  1,756,387
Equity Index                      --      7,742,596      7,742,596
Value Equity             $23,196,868     52,021,529     75,218,397
Growth Equity             65,899,400    125,035,753    190,935,153
Small Cap Equity           8,075,533     31,824,778     39,900,311
International Equity      11,896,098     57,870,668     69,766,766

For federal income tax purposes, post-October loss deferrals, which will reverse
in 2003, were as follows as of December 31, 2002:                               

                                                                [Download Table]

FUND                          CAPITAL     FX AND PFIC      TOTAL   
----                        -----------   -----------   -----------
                                                                   
Global Equity               $ 1,491,869          --     $ 1,491,869
Low-Duration Bond                    --    $234,243         234,243
Medium-Duration Bond                 --     212,934         212,934
Equity Index                    620,114          --         620,114
Value Equity                  2,647,283          --       2,647,283
Growth Equity                29,648,486          --      29,648,486
Small Cap Equity              2,765,967          --       2,765,967
International Equity         10,140,532      45,034      10,185,566

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At December 31, 2002, the net unrealized appreciation from investments for those
securities having an excess of value over cost and net unrealized depreciation  
from investments for those securities having an excess of cost over value (based
on cost for federal income tax purposes) was as follows:                        

                                                                [Download Table]

                       NET UNREALIZED                                
                       APPRECIATION/    APPRECIATED     DEPRECIATED  
FUND                   (DEPRECIATION)    SECURITIES      SECURITIES  
----                   --------------   ------------   --------------
                                                                     
Flexible Income        $  33,849,224    $ 45,002,391   $ (11,153,167)
Growth & Income           33,673,734     110,916,837     (77,243,103)
Capital Opportunities    (50,529,885)     33,284,630     (83,814,515)
Global Equity            (93,922,852)        599,419     (94,522,271)
Money Market                      --              --              -- 
Low-Duration Bond         13,638,187      18,117,785      (4,479,598)
Medium-Duration Bond      18,058,508      32,419,955     (14,361,447)
Extended-Duration                                                    
  Bond                    22,361,948      39,516,533     (17,154,585)
Equity Index             (52,495,576)     41,457,395     (93,952,971)
Value Equity            (130,278,862)     49,693,161    (179,972,023)
Growth Equity           (274,744,002)     38,115,350    (312,859,352)
Small Cap Equity         (17,074,947)     16,431,847     (33,506,794)
International Equity    (126,980,448)     48,474,425    (175,454,873)

The differences between book basis and tax-basis unrealized appreciation is     
attributable primarily to the tax deferral of losses on wash sales and on       
investments in passive foreign investment companies.                            

At December 31, 2002, the aggregate cost for federal income tax purposes was as 
follows (excluding foreign currency and derivative related items):              

                                                                [Download Table]

FUND                                                            
----                                                            
                                                                
Flexible Income                                   $  246,159,270
Growth & Income                                    1,002,705,857
Capital Opportunities                                806,079,741
Global Equity                                        722,601,919
Money Market                                         926,366,323
Low-Duration Bond                                    790,671,690
Medium-Duration Bond                                 941,084,751
Extended-Duration Bond                               405,746,518
Equity Index                                         364,876,988
Value Equity                                       1,088,719,999
Growth Equity                                      1,344,341,041
Small Cap Equity                                     268,933,990
International Equity                                 843,585,974

At December 31, 2002, capital contributions, accumulated undistributed net      
investment income and accumulated net realized gain (loss) from investments have
been adjusted for current period permanent book/tax differences which arose     
principally from differing book/tax treatments of foreign currency transactions.
The following amounts were reclassified within the capital accounts:            

                                                                [Download Table]

                                                     ACCUMULATED NET
                                                      REALIZED GAIN 
                                                        (LOSS) ON   
                                      ACCUMULATED    INVESTMENTS AND
                          PAID IN    UNDISTRIBUTED      CURRENCY    
FUND                      CAPITAL       INCOME        TRANSACTIONS  
----                     ---------   -------------   ---------------
                                                                    
Flexible Income                 --     $   (1,036)     $     1,036  
Growth & Income                 --           (874)             874  
Capital Opportunities           --          1,155           (1,155) 
Low-Duration Bond               --      1,002,511       (1,002,511) 
Medium-Duration Bond            --      1,617,834       (1,617,834) 
Extended-Duration Bond          --         36,744          (36,744) 
Equity Index             $       1        (10,901)          10,900  
Value Equity              (138,433)        13,021          125,412  
Growth Equity             (609,356)       609,038              318  
Small Cap Equity          (639,212)       600,195           39,017  
International Equity      (179,894)       957,329         (777,435) 

Net investment income, net realized gain (loss) on investments and net assets   
were not affected by these reclassifications.                                   

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REPORT OF INDEPENDENT ACCOUNTANTS                                               

To the Board of Trustees and Shareholders of                                    
AB Funds Trust:                                                                 

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 Flexible Income Fund, Growth &     
Income Fund, Capital Opportunities Fund, Global Equity Fund, Money Market Fund, 
Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, 
Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund 
and International Equity Fund (constituting AB Funds Trust, hereafter referred  
to as the "Trust") at December 31, 2002, the results of each of their operations
for the year then ended, and the changes in each of their net assets and the    
financial highlights for the year then ended and for the period August 27, 2001 
(commencement of operations) through December 31, 2001, 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 Trust's 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 auditing standards generally accepted in the United States of America,     
which 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 December 31, 2002 by correspondence with the      
custodian and brokers, provide a reasonable basis for our opinion.              

PricewaterhouseCoopers LLP                                                      

Philadelphia, Pennsylvania                                                      
February 12, 2003                                                               

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FUND MANAGEMENT                                                                 

Information pertaining to the Trustees and officers of the Trust is set forth   
below. The statement of additional information (SAI) includes additional        
information about the Trustees and is available without charge, upon request, by
calling (800) 262-0511.                                                         

                                                        [Enlarge/Download Table]

--------------------------------------------------------------------------------------------------------------------------------
                                                                                   NUMBER OF                                    
                                                                                   PORTFOLIOS                                   
                                                                                    IN FUND                                     
                                    TERM OF OFFICE                                  COMPLEX         OTHER TRUSTEESHIPS/         
NAME, (DATE OF BIRTH), ADDRESS AND  AND LENGTH OF      PRINCIPAL OCCUPATION(S)      OVERSEEN           DIRECTORSHIPS            
POSITION(S) WITH TRUST              TIME SERVED(1)       DURING PAST 5 YEARS       BY TRUSTEE         HELD BY TRUSTEE           
----------------------------------  --------------     -----------------------     ----------       -------------------         
                                                                                                                                
--------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES                                                                                                          
--------------------------------------------------------------------------------------------------------------------------------
 Mr. Michael R. Buster (11/18/57)     Since 2002    Executive Pastor, Prestonwood     13       None                             
 3656 Bridle Road                                   Baptist Church,                                                             
 Prosper, TX 75078                                  1989 - present                                                              
 Trustee                                                                                                                        
--------------------------------------------------------------------------------------------------------------------------------
 Mr. Earl B. Patrick (6/3/44)         Since 2000    President and Chief Operating     13       Earl B. Patrick,                 
 Jim Stewart Realtors, Inc.                         Officer, Jim Stewart,                      Inc. -- President and            
 500 N. Valley Mills Drive                          Realtors, Inc. d/b/a Coldwell              Director, JSR Building           
 Waco, TX 76710                                     Banker Jim Stewart, Realtors,              Partnership -- Managing          
 Trustee                                            1975 - present.                            Partner, JSR Land                
                                                                                               Partnership -- Managing          
                                                                                               Partner, Meadowlake              
                                                                                               Center -- General Partner,       
                                                                                               Waco Assn. of                    
                                                                                               Realtors -- Director, Baylor     
                                                                                               Foundation -- Director, All      
                                                                                               Peoples -- Director, Face to     
                                                                                               Face Ministries,                 
                                                                                               Inc. -- Director                 
--------------------------------------------------------------------------------------------------------------------------------
 Mr. Joseph A. Mack (11/22/39)        Since 2002    Director, Office of Public        13       None                             
 3400 Wilmot Ave.                                   Policy, South Carolina                                                      
 Columbia, SC 29205                                 Baptist Convention,                                                         
 Trustee                                            1999 - present                                                              
--------------------------------------------------------------------------------------------------------------------------------
 Mr. James Ray Taylor (10/19/33)      Since 2002    Retired 12/31/1994,               13       None                             
 3009 Tanglewood Park West                          Trustee -- Annuity Board,                                                   
 Fort Worth, Texas 76109                            1990 - 2000                                                                 
 Trustee                                                                                                                        
--------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES(2)                                                                                                          
--------------------------------------------------------------------------------------------------------------------------------
 Gerald B. Jones (5/24/32)            Since 2000    Owner, Jones Motorcars, Inc.      13       Annuity Board -- Trustee,        
 Jones Motorcars, Inc.                              1957 - Present                             Director, Bank of Arkansas,      
 3535 N. College Avenue                                                                        1996 - Present.                  
 Fayetteville, AR 72703-5108                                                                                                    
 Trustee                                                                                                                        
--------------------------------------------------------------------------------------------------------------------------------
 George Tous Van Nijkerk (8/12/39)    Since 2000    Administrative Services           13       Annuity Board -- Trustee         
 2401 Cedar Springs Road                            Director, Providence Baptist                                                
 Dallas, Texas 75201-1498                           Church, 1991 - Present.                                                     
 Trustee                                                                                                                        
--------------------------------------------------------------------------------------------------------------------------------
OFFICER(S) WHO ARE NOT TRUSTEES                                                                                                 
--------------------------------------------------------------------------------------------------------------------------------
 Jeffrey P. Billinger (12/5/46)       Since 2000    Executive Officer and             N/A                   N/A                 
 2401 Cedar Springs Road                            Treasurer, Annuity Board of                                                 
 Dallas, TX 75201-1407                              the Southern Baptist                                                        
 Vice President and Treasurer                       Convention, 1995 - Present.                                                 
--------------------------------------------------------------------------------------------------------------------------------
 Rodric E. Cummins (6/28/57)          Since 2000    Executive Officer and Chief       N/A                   N/A                 
 2401 Cedar Springs Road                            Investment Officer, Annuity                                                 
 Dallas, TX 75201-1407                              Board of the Southern Baptist                                               
 Vice President and Investment                      Convention, 1998 - Present;                                                 
 Officer                                            Baptist Foundation of Texas                                                 
                                                    1984 - 1998.                                                                
--------------------------------------------------------------------------------------------------------------------------------
 O.S. Hawkins (8/6/47)                Since 2000    President and CEO, Annuity        N/A                   N/A                 
 2401 Cedar Springs Road                            Board of the Southern Baptist                                               
 Dallas, TX 75201-1407                              Convention, 1997 - Present.                                                 
 President                                                                                                                      
--------------------------------------------------------------------------------------------------------------------------------

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                                                        [Enlarge/Download Table]

--------------------------------------------------------------------------------------------------------------------------------
                                                                                   NUMBER OF                                    
                                                                                   PORTFOLIOS                                   
                                                                                    IN FUND                                     
                                    TERM OF OFFICE                                  COMPLEX         OTHER TRUSTEESHIPS/         
NAME, (DATE OF BIRTH), ADDRESS AND  AND LENGTH OF      PRINCIPAL OCCUPATION(S)      OVERSEEN           DIRECTORSHIPS            
POSITION(S) WITH TRUST              TIME SERVED(1)       DURING PAST 5 YEARS       BY TRUSTEE         HELD BY TRUSTEE           
----------------------------------  --------------     -----------------------     ----------       -------------------         
                                                                                                                                
 John R. Jones (12/6/53)              Since 2000    Executive Vice President and      N/A                   N/A                 
 2401 Cedar Springs Road                            Chief Operating Officer,                                                    
 Dallas, TX 75201-1407                              Annuity Board of the Southern                                               
 Senior Vice President                              Baptist Convention,                                                         
                                                    1995 - Present.                                                             
--------------------------------------------------------------------------------------------------------------------------------
 Rodney R. Miller (5/23/53)           Since 2000    General Counsel, Legal and        N/A                   N/A                 
 2401 Cedar Springs Road                            Compliance, Annuity Board of                                                
 Dallas, TX 75201-1407                              the Southern Baptist                                                        
 Vice President and Secretary                       Convention, 1995 - Present.                                                 

                                                        [Enlarge/Download Table]


                                                                                                                               
-------------------------------------------------------------------------------------------------------------------------------

(1) Each Trustee and officer serves for an indefinite term, until his/her       
successor is elected.                                                   

(2) Messrs. Tous Van Nijkerk and Jones serve as trustees and are to be          
  "interested persons" of the Trust as the term is defined in the Investment
Company Act of 1940, as amended.                                        

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[AB FUNDS LOGO]                                           

2401 Cedar Springs Rd., Dallas, TX 75201-1498             
P.O. Box 2190, Dallas, TX 75221-2190                      
1.800.262.0511 - www.absbc.org                            

                                    Funds distributed by PFPC Distributors, Inc.
                                                                  760 Moore Road
                                                       King of Prussia, PA 19406

           Serving Those Who Serve the Lord "...with the integrity of our hearts
and the skillfulness of our hands." Psalm 78:72           
                                                               Rev. 2/03    2233
5279    2/03    2M

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Dates Referenced Herein and Documents Incorporated by Reference

		Referenced-On Page
This ‘N-30D’ Filing	Date	First	Last	Other Filings

	7/15/03	139
Filed on / Effective on:	2/27/03			NSAR-B
	2/20/03	4
	2/12/03	151
For Period End:	12/31/02	1	151	24F-2NT, NSAR-B
	10/22/02	148
	12/31/01	144	151	24F-2NT, N-30D, NSAR-B
	8/27/01	10	151
	3/2/00	135
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Filing Submission 0000893220-03-000220 – Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

GuideStone Funds – ‘N-30D’ for 12/31/02

On: Thursday, 2/27/03, at 3:22pm ET · Effective: 2/27/03 · For: 12/31/02 · Accession #: 893220-3-220 · File #: 811-10263

Previous ‘N-30D’: ‘N-30D’ on 8/26/02 for 6/30/02 · Latest ‘N-30D’: This Filing

Annual or Semi-Annual Report Mailed to Shareholders — Rule 30d-1Filing Table of Contents

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Dates Referenced Herein and Documents Incorporated by Reference

Annual or Semi-Annual Report Mailed to Shareholders — Rule 30d-1
Filing Table of Contents