N-CSR 1 f34040nvcsr.txt FRANK RUSSELL INVESTMENT COMPANY - FORM N-CSR OMB APPROVAL OMB Number: 3235-0570 Expires: Nov. 30, 2005 Estimated average burden hours per response: 5.0 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-3153 FRANK RUSSELL INVESTMENT COMPANY (Exact name of registrant as specified in charter) 909 A STREET, TACOMA WASHINGTON 98402 (Address of principal executive offices) (Zip code) GREGORY J. LYONS, ASSOCIATE GENERAL COUNSEL RUSSELL INVESTMENT FUNDS 909 A STREET TACOMA, WASHINGTON 98402 253-596-2406 (Name and address of agent for service) Registrant's telephone number, including area code: 800-787-7354 Date of fiscal year end: OCTOBER 31 Date of reporting period: APRIL 30, 2003 Item 1. Report to Shareholders FRANK RUSSELL INVESTMENT COMPANY MONEY MARKET FUNDS 2003 Semiannual Report CLASS A AND S SHARES MONEY MARKET FUND CLASS S SHARES US GOVERNMENT MONEY MARKET FUND TAX FREE MONEY MARKET FUND APRIL 30, 2003 (RUSSELL LOGO) Frank Russell Investment Company Frank Russell Investment Company is a "series mutual fund" with 32 different investment portfolios. These financial statements report on three Funds, each of which has distinct investment objectives and strategies. Frank Russell Investment Management Company Responsible for overall management and administration of the Funds. Frank Russell Company Consultant to Frank Russell Investment Management Company. Frank Russell Investment Company Money Market Funds Semiannual Report April 30, 2003 (Unaudited) Table of Contents
Page Money Market Fund.................................................... 2 US Government Money Market Fund...................................... 5 Tax Free Money Market Fund........................................... 6 Statement of Assets and Liabilities.................................. 12 Statement of Operations.............................................. 13 Statement of Changes in Net Assets................................... 14 Financial Highlights................................................. 16 Notes to the Statement of Net Assets................................. 19 Notes to Financial Statements........................................ 20 Disclosure of Information about Fund Directors....................... 24 Manager, Money Managers and Service Providers........................ 28
Frank Russell Investment Company - Money Market Funds Copyright (c) Frank Russell Company 2003. All rights reserved. This material is proprietary and may not be reproduced, transferred, or distributed in any form without prior written permission from Frank Russell Company. It is delivered on an "as is" basis without warranty. The Russell logo is a trademark and service mark of Frank Russell Company. Frank Russell Company and Standard & Poor's Corporation are the owners of the trademarks, service marks, and copyrights related to their respective indexes. This material must be accompanied or preceded by a current Frank Russell Investment Company Prospectus containing complete information concerning the investment objectives and operations of the Company, charges, and expenses. The Prospectus should be read carefully before an investment is made. The performance quoted represents past performance and, except for a money market fund, the investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. An investment in a money market fund is neither insured nor guaranteed by the US government. There can be no assurance that a money market fund will be able to maintain a stable net asset value of $1.00 per share. Investments in securities of non-US issuers and foreign currencies involve investment risks different than those of US issuers; the Prospectus contains further information and details regarding these risks. Income from tax-free funds may be subject to an alternative minimum tax, or state and local taxes. Russell Fund Distributors, Inc., is the distributor of Frank Russell Investment Company. MONEY MARKET FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL DATE AMOUNT ($) RATE OF VALUE OR SHARES % MATURITY# $ -------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES - 30.5% Associates Corp. of NA (E) 12,950 1.360 06/26/03 12,952 Bank One Corp. (E) 10,000 1.460 06/16/03 10,003 Goldman Sachs Group, Inc. (E) 20,000 1.660 09/11/03 20,016 Goldman Sachs Group Inc. (E) 10,000 1.570 10/24/03 10,012 Goldman Sachs Group, Inc. (E) 15,000 1.590 05/03/04 15,036 Goldman Sachs Group, LP 15,000 1.340 10/15/03 14,999 Goldman Sachs Group, LP 30,700 1.490 01/09/04 30,749 Grantor Trust Series 1998-T67 daily call or put (E) 13,670 1.339 12/01/04 13,670 Grantor Trust Series 1997-11, daily call or put (E) 6,698 1.339 07/01/04 6,698 Household Finance Corp. (E) 5,250 1.668 06/10/03 5,252 Household Finance Corp. (E) 5,000 1.730 07/14/03 5,003 Long Lane Master Trust IV (E) 10,000 1.550 05/02/03 10,000 Long Lane Master Trust IV (E) 18,000 1.640 05/02/03 18,000 Merrill Lynch & Co Inc. (E) 13,700 1.440 06/24/03 13,703 Merrill Lynch & Co. Inc. (E) 3,610 5.125 05/19/03 3,616 Morgan Stanley & Co., Inc. (E) 8,850 1.650 02/02/04 8,873 Morgan Stanley & Co., Inc. (E) 10,000 1.600 02/09/04 10,017 Morgan Stanley & Co., Inc. (E) 5,000 1.579 04/22/04 5,013 National Westminster BanCorp., Inc. 14,525 9.375 11/15/03 15,119 New York Life Insurance Co. 5,000 6.400 12/15/03 5,155 New York Life Insurance Co. (E) 45,000 1.400 05/20/03 45,000 New York Life Insurance Co. (E) 50,000 1.420 11/21/03 50,000 Pacific Life Insurance Co. (E) 25,000 1.410 07/25/03 25,000 Pacific Life Insurance Co. (E) 25,000 1.410 01/25/04 25,000 Principal Life Global Funding I (E) 30,000 1.470 11/28/03 30,009 Principal Life Global Funding I (E) 35,000 1.440 02/25/04 35,031 Protective Life Insurance Co., quarterly demand (E) 50,000 1.490 01/02/04 50,000 Salomon Smith Barney Holdings Inc. (E) 10,000 1.461 09/19/03 10,011 Salomon Smith Barney Holdings Inc. (E) 50,000 1.445 01/28/04 50,065 ------------ TOTAL CORPORATE BONDS AND NOTES (amortized cost $554,002) 554,002 ------------ MUNICIPAL BONDS - 4.0% Illinois Health Facilities Authority Revenue weekly demand (E)(n) 45,700 1.350 07/01/24 45,700 Illinois Health Facilities Authority Revenue weekly demand (E)(n) 27,300 1.350 01/01/28 27,300 ------------ TOTAL MUNICIPAL BONDS (amortized cost $73,000) 73,000 ------------ REGISTERED INVESTMENT COMPANY FUNDS - 3.7% Merrill Lynch Premier Institutional Fund 67,103 67,103 Nations Cash Reserves 634 634 ------------ TOTAL REGISTERED INVESTMENT COMPANY FUNDS (amortized cost $67,737) 67,737 ------------ DOMESTIC COMMERCIAL PAPER - 58.5% Bavaria Universal Funding Corp. 41,300 1.400 05/01/03 41,300 Bavaria Universal Funding Corp. 10,000 1.310 05/13/03 9,996 Bavaria Universal Funding Corp. 11,000 1.310 05/22/03 10,992 Bavaria Universal Funding Corp. 20,675 1.280 05/27/03 20,656 Bavaria Universal Funding Corp. 24,400 1.310 07/10/03 24,338 Bavaria Universal Funding Corp. 25,000 1.300 07/14/03 24,933 Black Forest Funding Corp. 24,000 1.300 07/01/03 23,947
2 Money Market Fund MONEY MARKET FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL DATE AMOUNT ($) RATE OF VALUE OR SHARES % MATURITY# $ -------------------------------------------------------------------------------------------------------------------------- Black Forest Funding Corp. 22,000 1.310 07/01/03 21,951 Black Forest Funding Corp. 21,626 1.300 07/08/03 21,573 Black Forest Funding Corp. 17,500 1.300 07/22/03 17,448 Cofco Capital Corp. 20,000 1.300 05/15/03 19,990 Co-Op Association of Tractor Dealers - Series A 7,700 1.400 05/02/03 7,700 Co-Op Association of Tractor Dealers - Series A 5,100 1.400 05/09/03 5,098 Co-Op Association of Tractor Dealers - Series A 9,700 1.300 05/13/03 9,696 Co-Op Association of Tractor Dealers - Series A 5,000 1.380 05/16/03 4,997 Co-Op Association of Tractor Dealers - Series B 5,600 1.400 05/09/03 5,598 Co-Op Association of Tractor Dealers - Series B 8,000 1.300 08/08/03 7,971 Fairway Finance Corp. 5,000 1.320 05/01/03 5,000 Galleon Capital Corp. 75,000 1.380 05/01/03 75,000 Galleon Capital Corp. 5,803 1.290 06/23/03 5,792 Giro Balanced Funding Corp. 9,117 1.320 05/14/03 9,113 Giro Balanced Funding Corp. 6,943 1.320 05/19/03 6,938 Giro Balanced Funding Corp. 8,829 1.320 05/22/03 8,822 Hatteras Funding Corp. 6,152 1.320 05/14/03 6,149 Hatteras Funding Corp. 30,020 1.200 05/30/03 29,991 Household Finance Corp. 50,000 1.300 05/27/03 49,953 Ivory Funding Corp. 20,020 1.280 05/07/03 20,016 Ivory Funding Corp. 5,605 1.300 05/14/03 5,602 Ivory Funding Corp. 27,038 1.290 05/15/03 27,024 Ivory Funding Corp. 35,000 1.290 07/14/03 34,907 Long Lane Master Trust IV 16,132 1.280 05/15/03 16,124 Long Lane Master Trust IV 20,000 1.270 05/15/03 19,990 Long Lane Master Trust IV 8,319 1.300 06/09/03 8,307 L'Oreal USA, Inc. 20,000 1.290 05/22/03 19,985 L'Oreal USA, Inc. 31,000 1.290 05/29/03 30,969 Moat Funding LLC 5,450 1.280 08/05/03 5,431 Principal Financial Services, Inc. 15,000 1.310 05/06/03 14,997 Principal Financial Services, Inc. 34,925 1.330 05/09/03 34,915 Principal Financial Services, Inc. 20,000 1.310 05/15/03 19,990 SK Global America, Inc. 5,200 1.290 05/19/03 5,197 Special Purpose A/R Coop Corp. (SPARC) 10,500 1.250 05/06/03 10,498 Special Purpose A/R Coop Corp. (SPARC) 11,050 1.290 05/14/03 11,045 Special Purpose A/R Coop Corp. (SPARC) 25,800 1.300 05/21/03 25,781 Special Purpose A/R Coop Corp. (SPARC) 22,200 1.310 05/21/03 22,184 Special Purpose A/R Coop Corp. (SPARC) 20,000 1.270 05/28/03 19,981 Starbird Funding Corp. 25,000 1.280 05/01/03 25,000 Stellar Funding Corp. 4,029 1.400 05/15/03 4,027 Stellar Funding Corp. 7,047 1.400 05/19/03 7,042 Stellar Funding Corp. 3,880 1.500 05/22/03 3,877 Stellar Funding Corp. 4,365 1.300 05/27/03 4,361 Tango Finance Corp. 8,000 1.300 05/13/03 7,997 Three Pillars Funding Corp. 3,907 1.300 05/06/03 3,906 Westways Funding IV, Ltd. 8,000 1.250 05/01/03 8,000 Westways Funding IV, Ltd. 18,220 1.290 05/08/03 18,215 Westways Funding IV, Ltd. 39,000 1.295 05/29/03 38,961 Westways Funding IV, Ltd. 30,000 1.295 06/12/03 29,955 Westways Funding V, Ltd. 13,000 1.290 05/15/03 12,993 Westways Funding V, Ltd. 29,473 1.290 05/19/03 29,454
Money Market Fund 3 MONEY MARKET FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL DATE AMOUNT ($) RATE OF VALUE OR SHARES % MATURITY# $ -------------------------------------------------------------------------------------------------------------------------- Westways Funding V, Ltd. 16,523 1.290 05/22/03 16,511 Westways Funding V, Ltd. 24,000 1.300 06/16/03 23,960 ------------ TOTAL DOMESTIC COMMERCIAL PAPER (amortized cost $1,062,144) 1,062,144 ------------ UNITED STATES GOVERNMENT AGENCIES - 1.1% Aid to INH Portugal Guaranteed Note, weekly demand (LIBOR Floater) (E) 9,375 1.500 12/01/17 9,492 Federal National Mortgage Association Discount Notes 10,000 1.470 05/14/04 10,000 ------------ TOTAL UNITED STATES GOVERNMENT AGENCIES (amortized cost $19,492) 19,492 ------------ CERTIFICATE OF DEPOSIT - 2.2% State Street Bank & Trust Co. 40,000 1.490 05/17/04 40,000 ------------ TOTAL CERTIFICATE OF DEPOSIT (amortized cost $40,000) 40,000 ------------ TOTAL INVESTMENTS - 100.0% (amortized cost $1,816,375) (+) 1,816,375 OTHER ASSETS AND LIABILITIES - 0.0% 554 ------------ NET ASSETS - 100.0% 1,816,929 ============
See accompanying notes which are an integral part of the financial statements. 4 Money Market Fund US GOVERNMENT MONEY MARKET FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL DATE AMOUNT ($) RATE OF VALUE OR SHARES % MATURITY# $ -------------------------------------------------------------------------------------------------------------------------- UNITED STATES GOVERNMENT AGENCIES - 63.4% Aid to Sri Lanka Guaranteed Note, weekly demand (LIBOR Floater) (E) 2,375 1.520 06/15/12 2,390 Federal Farm Credit Bank 1,500 4.250 07/01/03 1,507 Federal Home Loan Bank 3,600 1.500 12/16/03 3,600 Federal Home Loan Bank 2,000 3.125 11/14/03 2,018 Federal Home Loan Bank 4,160 4.500 07/07/03 4,185 Federal Home Loan Bank 600 5.600 09/02/03 609 Federal Home Loan Bank 1,000 6.000 06/23/03 1,007 Federal Home Loan Bank 1,250 6.875 08/15/03 1,270 Federal Home Loan Mortgage Corp. 2,715 4.500 06/15/03 2,725 Federal National Mortgage Association (E) 27,000 1.168 06/09/03 26,999 Federal National Mortgage Association 10,000 1.400 04/28/04 10,000 ------------ TOTAL INVESTMENTS - 63.4% (amortized cost $56,310) 56,310 ------------ REPURCHASE AGREEMENTS - 36.5% Agreement with HSBC Securities, Inc. and J.P. Morgan Chase & Co. (Tri-Party) of $22,000 acquired April 30, 2003 at 1.330% to be repurchased on May 1, 2003, collateralized by: $35,066 United States Agency Obligations, valued at $22,440 22,000 Agreement with Lehman Brothers, Inc. and J.P. Morgan Chase & Co. (Tri-Party) of $10,473 acquired April 30, 2003 at 1.180% to be repurchased on May 1, 2003, collateralized by: $10,393 United States Agency Obligations, valued at $10,680 10,473 ------------ TOTAL REPURCHASE AGREEMENTS (identified cost $32,473) 32,473 ------------ TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS - 99.9% (cost $88,783) (+) 88,783 OTHER ASSETS AND LIABILITIES, NET - 0.1% 298 ------------ NET ASSETS - 100.0% 89,081 ============
See accompanying notes which are an integral part of the financial statements. US Government Money Market Fund 5 TAX FREE MONEY MARKET FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL DATE AMOUNT ($) RATE OF VALUE OR SHARES % MATURITY# $ -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM TAX-EXEMPT OBLIGATIONS - 99.7% Alabama - 1.5% Lauderdale County Public Park Recreation Board Revenue Bonds, weekly demand (E) 700 1.350 12/01/20 700 Mobile Industrial Development Board Revenue Bonds, weekly demand (E) 1,200 1.400 06/01/04 1,200 ------------ 1,900 ------------ Arizona - 0.1% Maricopa County Industrial Development Authority Revenue Bonds, weekly demand (E) 200 1.900 10/01/04 200 ------------ California - 0.8% California Higher Education Loan Authority Revenue Bonds, annual demand 1,000 2.900 07/01/03 1,002 ------------ Colorado - 4.4% Castle Pines North Metropolitan District General Obligation Limited, weekly demand (E) 905 1.500 12/01/28 905 One Horse Business Improvement District Revenue Bonds, weekly demand (E) 2,780 1.340 12/01/25 2,780 SBC Metropolitan District General Obligation Limited, weekly demand (E) 2,000 1.340 12/01/17 2,000 ------------ 5,685 ------------ Delaware - 0.8% Delaware State Economic Development Authority Economic Development Revenue Bonds, weekly demand (E) 650 1.400 12/01/15 650 Delaware State Economic Development Authority Economic Development Revenue Bonds, weekly demand (E) 400 1.400 05/01/15 400 ------------ 1,050 ------------ District of Columbia - 0.5% District of Columbia Revenue Bonds, weekly demand (E) 700 1.350 12/01/23 700 ------------ Florida - 5.5% Alachua County Florida Revenue Bonds, monthly demand (E) 670 1.250 01/01/12 670 Florida Rural Utility Financing Commission Revenue Notes 975 2.750 10/15/03 980 Fort Pierce Florida Revenue Bonds, weekly demand (E) 300 1.350 10/01/17 300 Highlands County Health Facilities Authority Revenue Bonds, weekly demand (E) (u) 1,600 1.350 12/01/26 1,600 Orange County Industrial Development Authority Revenue Bonds, monthly demand (E) 850 1.250 01/01/11 850 Orange County Industrial Development Authority Revenue Bonds, semi-annual demand (E) 2,620 1.700 10/01/15 2,620 ------------ 7,020 ------------ Georgia - 3.6% Dalton Georgia Revenue Bonds, weekly demand (E) (u) 1,100 1.460 01/01/12 1,100 Fulton County Development Authority Revenue Bonds, weekly demand (E) 400 1.350 02/01/16 400 Fulton County Housing Authority Revenue Bonds, weekly demand (E) 1,000 1.350 06/01/23 1,000 Gwinnett County Development Authority Revenue Bonds, weekly demand (E) 65 1.350 03/01/17 65 Gwinnett County Development Authority Revenue Bonds, weekly demand (E) 700 1.350 03/01/21 700
6 Tax Free Money Market Fund TAX FREE MONEY MARKET FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL DATE AMOUNT ($) RATE OF VALUE OR SHARES % MATURITY# $ -------------------------------------------------------------------------------------------------------------------------- Private Colleges & Universities Authority Revenue Bonds, weekly demand (E) 100 1.500 10/01/32 100 Thomasville Hospital Authority Revenue Bonds, weekly demand (E) 1,300 1.350 11/01/17 1,300 ------------ 4,665 ------------ Illinois - 8.0% East Peoria Illinois Revenue Bonds, weekly demand (E) 1,265 1.500 06/01/08 1,265 Illinois Development Finance Authority Revenue Bonds, weekly demand (E) 900 1.500 04/01/21 900 Illinois Development Finance Authority Revenue Bonds, weekly demand (E) 700 1.350 08/01/25 700 Illinois Development Finance Authority Revenue Bonds, weekly demand (E) 700 1.500 08/01/26 700 Illinois Educational Facilities Authority Revenue Bonds, weekly demand (E) 1,300 1.350 11/01/25 1,300 Illinois Educational Facilities Authority Revenue Bonds, weekly demand (E) 1,500 1.400 03/01/27 1,500 Oakbrook Terrace Illinois Revenue Bonds, weekly demand (E) 2,100 1.250 12/01/25 2,100 Rockford School District No. 205 Warrants 1,000 2.780 10/30/03 1,003 Troy Grove Illinois Revenue Bonds, weekly demand (E) 750 2.500 05/01/10 750 ------------ 10,218 ------------ Indiana - 4.6% Avon Community School Corp. General Obligation Unlimited Notes 1,000 1.950 12/31/03 1,002 Beech Grove Indiana Notes 1,500 1.950 12/31/03 1,504 Indiana Development Finance Authority Revenue Bonds, weekly demand (E) 2,250 1.400 09/01/26 2,250 Tippecanoe School Corp. General Obligation Unlimited Notes 1,100 2.000 12/30/03 1,104 ------------ 5,860 ------------ Iowa - 8.0% Chillicothe Iowa Revenue Bonds, weekly demand (E) 2,400 1.500 01/01/23 2,400 City of Council Bluffs Iowa Revenue Bonds, weekly demand (E) 1,500 1.500 01/01/25 1,500 Iowa Finance Authority Revenue Bonds, weekly demand (E) 670 1.450 04/01/05 670 Iowa Finance Authority Revenue Bonds, weekly demand (E)(u) 500 1.400 06/01/27 500 Iowa Higher Education Loan Authority, daily demand (E) 100 1.400 03/01/30 100 Louisa County Iowa Revenue Bonds, weekly demand (E) 2,200 1.450 09/01/16 2,200 Storm Lake Iowa Revenue Bonds, weekly demand (E) 2,900 1.450 12/01/03 2,900 ------------ 10,270 ------------ Kansas - 1.0% Kansas Development Finance Authority Revenue Bonds, weekly demand (E) 100 1.400 12/01/18 100 Prairie Village Kansas Revenue Bonds, weekly demand (E) 1,150 1.350 11/01/30 1,150 ------------ 1,250 ------------ Kentucky - 2.5% Jefferson County Kentucky Revenue Bonds, weekly demand (E) 775 1.500 01/01/19 775 Jefferson County Kentucky Revenue Bonds, weekly demand (E) 1,900 1.390 10/01/19 1,900 Kentucky Area Development Districts Revenue Bonds, weekly demand (E) 490 1.550 12/01/31 490 ------------ 3,165 ------------ Maryland - 1.3% Maryland State Economic Development Corporation Revenue Bonds, weekly demand (E) 735 1.350 09/01/24 735 Montgomery County Maryland, monthly demand (E) 890 1.200 04/01/14 890 ------------ 1,625 ------------
Tax Free Money Market Fund 7 TAX FREE MONEY MARKET FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL DATE AMOUNT ($) RATE OF VALUE OR SHARES % MATURITY# $ -------------------------------------------------------------------------------------------------------------------------- Massachusetts - 0.8% Blackstone Valley Vocational Regional School District General Obligation Unlimited Notes 1,000 2.500 07/15/03 1,001 ------------ Michigan - 4.9% Lansing Economic Development Corp. Revenue Bonds, semi-annual demand (E) 1,650 1.400 05/01/15 1,650 Michigan State Housing Development Authority, weekly demand (E) 1,000 1.525 06/01/04 1,000 Michigan State Job Development Authority Revenue Bonds, monthly demand (E) 1,900 1.180 11/01/14 1,900 Northern Michigan University Revenue Bonds, weekly demand (E)(u) 500 1.400 06/01/31 500 Northville Township Economic Development Corp. Revenue Bonds, weekly demand (E) 500 1.325 05/01/14 500 Oakland County Economic Development Corp. Revenue Bonds, semi-annual demand (E) 800 1.650 08/01/15 800 ------------ 6,350 ------------ Minnesota - 4.4% Arden Hills Minnesota Revenue Bonds, weekly demand (E) 715 1.400 09/01/29 715 City of Austin Minnesota Revenue Bonds, weekly demand (E) 1,400 1.450 12/01/13 1,400 Minnesota School District Capital Equipment Borrowing Program Certificate of Participation 2,200 2.250 08/20/03 2,205 St Paul Housing & Redevelopment Authority Revenue Bonds, weekly demand (E) 1,300 1.500 08/01/25 1,300 ------------ 5,620 ------------ Missouri - 7.6% Clayton Industrial Development Authority Revenue Bonds, weekly demand (E) 1,000 1.510 01/01/09 1,000 Kansas City Industrial Development Authority Revenue Bonds, weekly demand (E) 700 1.350 04/01/27 700 Missouri State Health & Educational Facilities Authority Revenue Notes 1,500 2.250 10/24/03 1,505 Missouri State Health & Educational Facilities Authority Revenue Notes 1,625 2.250 10/24/03 1,630 Missouri State Health & Educational Facilities Authority Revenue Notes 1,200 2.250 10/24/03 1,204 Missouri State Health & Educational Facilities Authority Revenue Notes 1,400 2.250 10/24/03 1,404 St Charles County Industrial Development Authority Revenue Bonds, weekly demand (E) 2,300 1.460 12/01/27 2,300 ------------ 9,743 ------------ Multi State and Other - 1.7% Greystone Municipal Lease Certificate Trust Certificate of Participation, weekly demand (E)(a) 725 1.530 07/01/05 725 Greystone Revenue Bond Certificate Trust, weekly demand (E)(e) 900 1.510 05/01/28 900 McDonald Tax Exempt, semi-annual demand (E)(u) 525 2.100 01/15/09 525 ------------ 2,150 ------------ New Hampshire - 2.7% Androscoggin Valley Regional Refuse Disposal District General Obligation Unlimited Notes 1,000 2.000 07/24/03 1,002 Coos County New Hampshire General Obligation Unlimited Notes 2,500 1.625 12/31/03 2,504 ------------ 3,506 ------------
8 Tax Free Money Market Fund TAX FREE MONEY MARKET FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL DATE AMOUNT ($) RATE OF VALUE OR SHARES % MATURITY# $ -------------------------------------------------------------------------------------------------------------------------- New York - 1.0% Board of Cooperative Educational Services Sole Supervisory District Oswego County Revenue Notes 1,000 2.125 12/30/03 1,005 City of New York New York General Obligation Unlimited, weekly demand (E)(u) 300 1.300 08/01/19 300 ------------ 1,305 ------------ North Carolina - 1.6% Mcdowell County Industrial Facilities & Pollution Control Financing Authority Revenue Bonds, weekly demand (E) 2,000 1.350 05/01/22 2,000 ------------ Ohio - 7.2% Allen County Ohio General Obligation Limited Notes 945 1.780 09/10/03 946 American Municipal Power-Ohio Inc. Revenue Notes 525 1.800 07/16/03 525 American Municipal Power-Ohio Inc. Revenue Notes 750 1.650 08/06/03 750 Athens County Port Authority Revenue Bonds, weekly demand (E) 890 1.450 06/01/32 890 Clermont County Ohio Revenue Bonds, semi-annual demand (E) 315 2.000 12/01/09 315 Clermont County Ohio Revenue Bonds, semi-annual demand (E) 490 2.000 05/01/12 490 Kirtland Ohio General Obligation Limited Notes 1,454 1.800 08/07/03 1,455 Ohio State Revenue Bonds, weekly demand (E) 800 1.400 10/01/31 800 Scioto County Ohio Revenue Bonds, weekly demand (E) 565 1.500 12/01/15 565 Shaker Heights Ohio General Obligation Limited Notes 1,000 2.250 07/10/03 1,001 Stark County Ohio Revenue Bonds, weekly demand (E) 1,385 1.300 09/15/16 1,385 Trumbull County Ohio Revenue Bonds, weekly demand (E) 175 1.450 04/01/04 175 ------------ 9,297 ------------ Oregon - 1.8% Hillsboro Oregon Revenue Bonds, weekly demand (E) 1,350 1.420 08/01/11 1,350 Oregon State Revenue Notes 1,000 3.250 05/01/03 1,000 ------------ 2,350 ------------ Pennsylvania - 7.7% Allegheny County Pennsylvania General Obligation Unlimited, annual demand (E) 3,000 2.050 05/01/27 3,000 Berks County Industrial Development Authority, weekly demand (E) 1,350 1.400 12/01/04 1,350 Dauphin County General Authority Revenue Bonds, weekly demand (E)(u) 515 1.450 10/01/27 515 Hazleton Area Industrial Development Authority Revenue Bonds, weekly demand (E) 795 1.400 10/01/24 795 Moon Industrial Development Authority, weekly demand (E) 1,750 1.400 11/01/10 1,750 Pennsylvania State Higher Educational Facilities Authority Revenue Bonds, weekly demand (E) 1,000 1.400 11/01/31 1,000 Philadelphia Hospitals & Higher Education Facilities Authority Revenue Bonds, weekly demand (E) 1,470 1.450 06/01/14 1,470 ------------ 9,880 ------------ Tennessee - 3.8% Franklin County Health & Educational Facilities Board Revenue Bonds, semi-annual demand (E) 1,315 1.200 09/01/10 1,315 Knox County Health Educational & Housing Facilities Board Revenue Bonds, weekly demand (E) 320 1.350 03/01/19 320
Tax Free Money Market Fund 9 TAX FREE MONEY MARKET FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL DATE AMOUNT ($) RATE OF VALUE OR SHARES % MATURITY# $ -------------------------------------------------------------------------------------------------------------------------- Knox County Industrial Development Board Revenue Bonds, weekly demand (E) (u) 2,100 1.250 12/01/14 2,100 Wilson County Industrial Development Board, weekly demand (E) 1,100 1.540 07/01/26 1,100 ------------ 4,835 ------------ Vermont - 3.7% Vermont Educational & Health Buildings Financing Agency Revenue Bonds, weekly demand (E) 1,900 1.450 06/01/22 1,900 Vermont Educational & Health Buildings Financing Agency Revenue Bonds, weekly demand (E) 850 1.450 06/01/27 850 Vermont Educational & Health Buildings Financing Agency Revenue Bonds, weekly demand (E) 1,955 1.400 10/01/25 1,955 ------------ 4,705 ------------ Washington - 1.6% Snohomish County School District No. 2 Everett General Obligation Unlimited 895 4.500 06/01/03 897 Washington State Housing Finance Commission Revenue Bonds, weekly demand (E) 1,190 1.400 08/01/24 1,190 ------------ 2,087 ------------ West Virginia - 0.8% Marshall County West Virginia Revenue Bonds, weekly demand (E) 1,000 1.500 03/01/26 1,000 ------------ Wisconsin - 4.6% Milwaukee Redevelopment Authority Revenue Bonds, weekly demand (E) 1,025 1.450 07/01/21 1,025 Milwaukee Wisconsin Revenue Bonds, weekly demand (E) 650 1.400 06/01/29 650 Wisconsin State Health & Educational Facilities Authority Revenue Bonds, weekly demand (E) 1,800 1.400 06/01/19 1,800 Wisconsin State Health & Educational Facilities Authority Revenue Bonds, weekly demand (E) 900 1.400 10/01/29 900 Wisconsin State Health & Educational Facilities Authority Revenue Bonds, weekly demand (E) 1,350 1.400 08/15/30 1,350 Wisconsin State Health & Educational Facilities Authority Revenue Bonds, weekly demand (E) 200 1.400 11/01/17 200 ------------ 5,925 ------------ Wyoming - 1.2% Campbell County School District No. 1 Gilette General Obligation Unlimited Notes 1,500 2.500 06/26/03 1,501 ------------ TOTAL INVESTMENTS - 99.7% (amortized cost $127,865) (+) 127,865 OTHER ASSETS AND LIABILITIES, NET - 0.3% 426 ------------ NET ASSETS - 100.0% 128,291 ============
See accompanying notes which are an integral part of the financial statements. 10 Tax Free Money Market Fund TAX FREE MONEY MARKET FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands ---------------------------------------------------------------------------- QUALITY RATINGS AS OF % OF VALUE P-1/A-1; MIG1/SP-1/F1 or equivalent 100% === ECONOMIC SECTOR EMPHASIS AS A OF % OF VALUE Cashflow Note 19% Corporate 17 Non-Profit 16 Multi-Family Housing Bond 9 Hospital 8 Education (colleges and universities) 8 Nursing Home 7 Investor Owned Utility 5 General Obligation 3 Bond Anticipation Note 3 Special Tax 2 Asset Backed 2 Annual Appropriation 1 --- 100% ===
See accompanying notes which are an integral part of the financial statements. Tax Free Money Market Fund 11 MONEY MARKET FUNDS STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
MONEY MARKET US GOVERNMENT TAX FREE FUND MONEY MARKET FUND MONEY MARKET FUND --------------------------------------------------------------------------------------------------------------------------------- ASSETS Investments at amortized cost which approximates value $ 1,816,375 $ 56,310 $ 127,865 Repurchase agreements at cost which approximates value -- 32,473 -- Receivables: Dividends and interest 2,359 384 569 Fund shares sold 92 -- -- Prepaid expenses 134 -- -- ------------------- ------------------- -------------------- Total assets 1,818,960 89,167 128,434 ------------------- ------------------- -------------------- LIABILITIES Payables: Accrued fees to affiliates 203 22 32 Other accrued expenses 64 6 2 Dividends 1,764 58 109 ------------------- ------------------- -------------------- Total liabilities 2,031 86 143 ------------------- ------------------- -------------------- NET ASSETS $ 1,816,929 $ 89,081 $ 128,291 =================== =================== ==================== Net Assets Consist of: Accumulated net realized gain (loss) $ (162) $ (42) $ (122) Shares of beneficial interest 18,171 891 1,284 Additional paid-in capital 1,798,920 88,232 127,129 ------------------- ------------------- -------------------- NET ASSETS $ 1,816,929 $ 89,081 $ 128,291 =================== =================== ==================== NET ASSET VALUE, PER SHARE: Net asset value per share: Class A* $ 1.00 $ -- $ -- Class A - Net assets $ 8,010 $ -- $ -- Class A - Shares outstanding ($.01 par value) 8,010 -- -- Net asset value per share: Class S* $ 1.00 $ 1.00 $ 1.00 Class S - Net assets $ 1,816,921,319 $ 89,081,359 $ 128,291,187 Class S - Shares outstanding ($.01 par value) 1,817,084,422 89,123,749 128,413,278 ---------------------------------------------------------------------------------------------------------------------------------
* Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding. See accompanying notes which are an integral part of the financial statements. 12 Frank Russell Investment Company Money Market Funds MONEY MARKET FUNDS STATEMENT OF OPERATIONS -- FOR THE SIX MONTHS ENDED APRIL 30, 2003 (UNAUDITED) Amounts in thousands
MONEY MARKET US GOVERNMENT TAX FREE FUND MONEY MARKET FUND MONEY MARKET FUND --------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ 1,092 $ -- $ -- Interest 13,984 606 1,060 ------------------- ------------------- -------------------- Total investment income 15,076 606 1,060 ------------------- ------------------- -------------------- EXPENSES Advisory fees 1,989 88 153 Administrative fees - Class S 497 22 38 Custodian fees 248 27 26 Transfer agent fees 118 37 20 Professional fees 25 6 6 Registration fees 54 11 11 Trustees' fees 14 5 9 Miscellaneous 41 4 10 ------------------- ------------------- -------------------- Expenses before reductions 2,986 200 273 Expense reductions (1,497) (47) (55) ------------------- ------------------- -------------------- Net expenses 1,489 153 218 ------------------- ------------------- -------------------- Net investment income 13,587 453 842 ------------------- ------------------- -------------------- NET REALIZED GAIN (LOSS) Net realized gain (loss) on investments (36) (16) -- ------------------- ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 13,551 $ 437 $ 842 =================== =================== ====================
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Money Market Funds 13 MONEY MARKET FUNDS STATEMENT OF CHANGES IN NET ASSETS Amounts in thousands
MONEY MARKET US GOVERNMENT TAX FREE FUND MONEY MARKET FUND MONEY MARKET FUND ------------------------------ ------------------------------ ------------------------------ SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 (UNAUDITED) 2002 (UNAUDITED) 2002 --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income $ 13,587 $ 35,669 $ 453 $ 1,394 $ 842 $ 2,672 Net realized gain (loss) (36) 26 (16) (2) -- -- ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets from operations 13,551 35,695 437 1,392 842 2,672 ------------ ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS From net investment income - Class S (13,587) (35,669) (453) (1,394) (842) (2,672) ------------ ------------ ------------ ------------ ------------ ------------ SHARE TRANSACTIONS Net increase (decrease) in net assets from share transactions (87,854) 18,052 (4,085) (15,700) (46,332) (6,076) ------------ ------------ ------------ ------------ ------------ ------------ TOTAL NET INCREASE (DECREASE) IN NET ASSETS (87,890) 18,078 (4,101) (15,702) (46,332) (6,076) NET ASSETS Beginning of period 1,904,819 1,886,741 93,182 108,884 174,623 180,699 ------------ ------------ ------------ ------------ ------------ ------------ End of period $ 1,816,929 $ 1,904,819 $ 89,081 $ 93,182 $ 128,291 $ 174,623 ============ ============ ============ ============ ============ ============
See accompanying notes which are an integral part of the financial statements. 14 Frank Russell Investment Company Money Market Funds This page has been intentionally left blank. MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED (UNAUDITED) For a Share Outstanding Throughout Each Period.
$ $ $ NET $ $ DISTRIBUTIONS NET ASSET VALUE, INVESTMENT NET REALIZED GAIN TOTAL INCOME FROM FROM NET BEGINNING OF PERIOD INCOME (LOSS) (LOSS) OPERATIONS INVESTMENT INCOME --------------------------------------------------------------------------------------------------------------------------------- MONEY MARKET FUND Class A April 30, 2003 (2) 1.0000 .0003 .0000 .0003 (.0003) --------------------------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 1.0000 .0068 .0000 .0068 (.0068) October 31, 2002 1.0000 .0185 .0000 .0185 (.0185) October 31, 2001 1.0000 .0483 .0000 .0483 (.0483) October 31, 2000 (3) 1.0000 .0519 .0000 .0519 (.0519) December 31, 1999 1.0000 .0515 .0000 .0515 (.0515) December 31, 1998 1.0000 .0553 .0000 .0553 (.0553) December 31, 1997 1.0000 .0563 .0000 .0563 (.0563) --------------------------------------------------------------------------------------------------------------------------------- US GOVERNMENT MONEY MARKET FUND Class S April 30, 2003 (1) 1.0000 .0051 .0000 .0051 (.0051) October 31, 2002 1.0000 .0173 .0000 .0173 (.0173) October 31, 2001 1.0000 .0446 .0000 .0446 (.0446) October 31, 2000 (3) 1.0000 .0500 .0000 .0500 (.0500) December 31, 1999 1.0000 .0483 .0000 .0483 (.0483) December 31, 1998 1.0000 .0520 .0000 .0520 (.0520) December 31, 1997 1.0000 .0545 .0000 .0545 (.0545) --------------------------------------------------------------------------------------------------------------------------------- TAX FREE MONEY MARKET FUND Class S April 30, 2003 (1) 1.0000 .0054 .0000 .0054 (.0054) October 31, 2002 1.0000 .0152 .0000 .0152 (.0152) October 31, 2001 1.0000 .0317 .0000 .0317 (.0317) October 31, 2000 (3) 1.0000 .0333 .0000 .0333 (.0333) December 31, 1999 1.0000 .0326 .0000 .0326 (.0326) December 31, 1998 1.0000 .0331 .0000 .0331 (.0331) December 31, 1997 1.0000 .0355 .0000 .0355 (.0355) ---------------------------------------------------------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 16 Frank Russell Investment Company Money Market Funds
% % $ $ RATIO OF EXPENSES RATIO OF EXPENSES $ NET ASSET VALUE, % NET ASSETS TO AVERAGE TO AVERAGE TOTAL END OF TOTAL END OF PERIOD NET ASSETS, NET ASSETS, DISTRIBUTIONS PERIOD RETURN(A) (000) NET(B) GROSS(B) --------------------------------------------------------------------------------------------------------------------- (.0003) 1.0000 0.03 8 0.24 0.39 --------------------------------------------------------------------------------------------------------------------- (.0068) 1.0000 0.69 1,816,921 0.15 0.30 (.0185) 1.0000 1.87 1,904,819 0.14 0.29 (.0483) 1.0000 4.94 1,886,741 0.14 0.29 (.0519) 1.0000 5.32 1,757,430 0.17 0.32 (.0515) 1.0000 5.27 2,026,717 0.17 0.32 (.0553) 1.0000 5.69 1,605,026 0.16 0.31 (.0563) 1.0000 5.79 926,283 0.08 0.30 --------------------------------------------------------------------------------------------------------------------- (.0051) 1.0000 0.52 89,081 0.35 0.45 (.0173) 1.0000 1.74 93,182 0.25 0.45 (.0446) 1.0000 4.55 108,884 0.37 0.63 (.0500) 1.0000 5.12 81,316 0.32 0.58 (.0483) 1.0000 4.93 190,150 0.30 0.54 (.0520) 1.0000 5.34 166,224 0.32 0.55 (.0545) 1.0000 5.59 187,412 0.20 0.41 --------------------------------------------------------------------------------------------------------------------- (.0054) 1.0000 0.55 128,291 0.29 0.36 (.0152) 1.0000 1.53 174,623 0.25 0.35 (.0317) 1.0000 3.22 180,699 0.30 0.40 (.0333) 1.0000 3.38 169,808 0.34 0.44 (.0326) 1.0000 3.31 246,695 0.21 0.31 (.0331) 1.0000 3.36 194,663 0.34 0.44 (.0355) 1.0000 3.61 130,725 0.28 0.38 --------------------------------------------------------------------------------------------------------------------- % RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS(B) ---------------------- 1.20 ---------------------- 1.37 1.84 4.78 6.23 5.15 5.54 5.65 ---------------------- 1.03 1.73 4.43 5.91 4.83 5.20 5.44 ---------------------- 1.10 1.52 3.17 3.96 3.28 3.29 3.55 ----------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Money Market Funds 17 MONEY MARKET FUNDS NOTES TO FINANCIAL HIGHLIGHTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- (1) For the six months ended April 30, 2003 (Unaudited). (2) For the period April 21, 2003 (commencement of operations) to April 30, 2003 (Unaudited). (3) For the ten months ended October 31, 2000. (a) Periods less than one year are not annualized (b) The ratios for periods less than one year are annualized. See accompanying notes which are an integral part of the financial statements. 18 Frank Russell Investment Company Money Market Funds MONEY MARKET FUNDS NOTES TO STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- FOOTNOTES: (E) Adjustable or floating rate security. Rate shown reflects rate in effect at period end. (u) Bond is insured by a guarantor. (ae) Pre-refunded: These bonds are collateralized by US Treasury securities, which are held in escrow by a trustee and used to pay principal and interest in the tax-exempt issue and to retire the bonds in full at the earliest refunding date. The rate noted is for descriptive purposes; effective yield may vary. # All securities with a maturity date greater than thirteen months have a demand feature, or an optional or mandatory put, or are pre-refunded, resulting in an effective maturity of thirteen months or less. Additionally, all daily and weekly demand securities are backed by direct payment letters of credit. n Taxable security. (+) The identified cost for Federal income tax purpose is the same as shown above. a Multi-State bond issue including Alabama, California, Colorado, Connecticut, Florida, Georgia, Illinois, Indiana, Kansas, Kentucky, Massachusetts, Maine, Michigan, Minnesota, New Hampshire, New Jersey, New York, Ohio, Oklahoma, Pennsylvania, South Carolina, Texas, and Virginia. e Multi-State bond issue including Arkansas, Florida, Georgia, Kansas, Kentucky, Tennessee, and Virginia. u Multi-State bond issue including Michigan, Ohio, and Pennsylvania. ABBREVIATIONS: LIBOR - London Interbank Offered Rate A-1 - A short-term obligation rated A-1 is rated in the highest category by Standard & Poor's for commercial paper obligations. The obligor's capacity to meet its financial commitment on the obligation is strong. Within this category, certain obligations are designated with a plus (+) sign. this indicates that the obligor's capacity to meet its financial commitment on these obligations is extremely strong. F-1 - Highest credit quality. Indicates the strongest capacity for timely payment of financial commitments; (may have an added "+" to denote any exceptionally strong credit feature.) MIG1 - This designation denotes superior credit quality. Excellent protection is afforded by established cash flows, highly reliable liquidity support, or demonstrated broad-based access to the markets for refinancing. P-1 - The highest tax-exempt rating given by Moody's Investor Services to commercial paper with a "superior capacity for repayment." SP-1+ - The highest short-term municipal note credit rating given by Standard & Poor's Corporation to notes with a "very strong or strong capacity to pay principal and interest." Notes to Statement of Net Assets 19 MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION Frank Russell Investment Company (the "Investment Company") is a series mutual fund with 32 different investment portfolios, referred to as "Funds." These financial statements report on three Funds, each of which has distinct investment objectives and strategies. The Investment Company is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. It is organized and operates as a Massachusetts business trust under an amended master trust agreement dated July 26, 1984. The Investment Company's master trust agreement permits the Board of Trustees to issue an unlimited number of full and fractional shares of beneficial interest at a $.01 par value. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds' financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP") which require the use of management estimates. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of these financial statements. Security valuation The Money Market, US Government Money Market and the Tax Free Money Market Funds' portfolio investments comply with Rule 2a-7 of the Investment Company Act of 1940, as amended. Accordingly, each portfolio instrument is initially valued at cost, and thereafter a constant accretion/amortization to maturity of any discount/premium is assumed. The Funds may value certain securities for which market quotations are not readily available at "fair value," as determined in good faith pursuant to procedures established by the Board of Trustees. Investment transactions Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the basis of specific identified cost. Investment income Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Federal income taxes As a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund's shareholders without regard to the income and capital gains (or losses) of the other Funds. It is each Fund's intention to qualify as a regulated investment company and distribute all of its taxable income and capital gains. Therefore, no federal income tax provision was required for the Funds. Dividends and distributions to shareholders The Money Market, US Government Money Market and Tax Free Money Market Funds declare and record dividends daily and pay them monthly. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income and excise tax on any remaining undistributed capital gains and net investment income. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from GAAP. As a result, net investment income and net realized gain (or loss) on investment for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and GAAP primarily relate to investments in certain securities sold at a loss. Accordingly, a Fund may periodically make reclassifications among certain of its capital accounts without impacting its net asset value. Expenses The Funds will pay their own expenses other than those expressly assumed by Frank Russell Investment Management Company ("FRIMCo" or "Advisor"). Most expenses can be directly attributed to the individual Funds. Expenses which cannot be directly attributed to a specific Fund are allocated among all Funds principally based on their relative net assets. 20 Notes to Financial Statements MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Class Allocation The Money Market Fund offers the following classes of shares: Class A and Class S. The separate classes of shares differ principally in the applicable sales charges, distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses) and net investment income, other than class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Repurchase agreements The Funds may engage in repurchase agreements with several financial institutions whereby a Fund, through its custodian, receives delivery of underlying securities as collateral. Each Fund's money manager will monitor repurchase agreements daily to determine that the market value (including accrued interest) of the underlying securities at Fedwire closing time remains at least equal to 102% of the repurchase price. The money manager will notify the Seller to immediately increase the collateral on the repurchase agreement to 102% of the repurchase price if collateral value falls below 102%. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Fund may be delayed or limited. Guarantees In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote. 3. RELATED PARTIES Advisor and Administrator FRIMCo advises and administers all of the Funds which comprise the Investment Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company. Frank Russell Company researches and recommends to FRIMCo, and to the Investment Company, one or more investment management organizations to manage the portfolio of each Fund. The Investment Company Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds' objectives) in the Money Market and Tax Free Money Market Funds. As of April 30, 2003, approximately $1,037,220,985 and $2,943,984, respectively, represents the investments of other affiliated Funds not presented herein. In addition, a portion of the collateral received from the Investment Company's securities lending program in the amount of $300,000,000 is invested in the Money Market Fund. The advisory and administrative fees, which are based upon the average daily net assets of each Fund and the rates specified in the table below, are payable monthly and total $2,229,789 and $557,447, respectively, for the period ended April 30, 2003.
ANNUAL RATE ADVISOR ADMINISTRATOR ---------------------------------------------------------------------- Money Market 0.20% 0.05% US Government Money Market 0.20 0.05 Tax Free Money Market 0.20 0.05
The Advisor has contractually agreed to waive 0.15% of its 0.25% combined advisory and administrative fees for the Money Market Fund. The amount of such waiver for the period ended April 30, 2003 was $1,491,583. The Advisor has contractually agreed to waive a portion of its combined advisory and administrative fees for the US Government Money Market Fund, up to the full amount of those fees, equal to the amount by which the Fund's total operating expenses exceed 0.30% of the Fund's average daily net assets on an annual basis through February 27, 2003. The amount of such waiver for the period ended April 30, 2003 was $46,881. The Advisory has contractually agreed to waive 0.10% of its 0.25% combined advisory and administrative fees for the Tax Free Money Market Fund through February 27, 2003. The amount of such waiver for the period ended April 30, 2003 was $53,948. Notes to Financial Statements 21 MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Custodian The Funds have entered into arrangements with their Custodian whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Fund's expenses. During the period ended April 30, 2003, the Fund's custodian fees were reduced by the following amounts under these arrangements: Money Market $ 5,621 US Government Money Market 4 Tax Free Money Market 993
Transfer agent The Investment Company has a contract with FRIMCo to provide transfer agent services to the Funds. Total fees for the Funds listed for the period ended April 30, 2003 were $175,441. Distributor The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the "Plan") under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Russell Fund Distributors (the "Distributor") which is a wholly-owned subsidiary of FRIMCo, or any Selling Agents, as defined in the Plan, for sales support services provided, and related expenses incurred which are primarily intended to result in the sale of the Class A shares subject to the Distribution Plan. The 12b-1 distribution payments shall not exceed 0.15% of the average daily net assets of a Fund's Class A shares on an annual basis. Board of Trustees The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 Funds, and Russell Investment Funds ("RIF"), which has 5 Funds. Each of the Trustees is a Trustee for both FRIC and RIF. The Russell Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer of $52,000 per year, $5,000 for each regular quarterly meeting attended in person, $2,000 for each special meeting attended in person, and $2,000 for each Joint Audit Committee meeting or Nominating and Governance Committee meeting attended in person. The Trustee will receive a $500 fee for attending the meetings by phone instead of receiving the full fee had the member attended in person. Out of pocket expenses are also paid by the Russell Fund Complex. The Lead Trustee is paid a fee of $10,000 per year, and each Committee Chair is paid a fee of $6,000. 4. FEDERAL INCOME TAXES At October 31, 2002, certain Funds had net tax basis capital loss carryforwards which may be applied against any realized net taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. Available capital loss carryforwards and expiration dates are as follows:
10/31/03 10/31/04 10/31/05 ------------------------------------------------------------------------------ Money Market $ 15,247 $ 814 $ -- US Government Money Market 4,913 3,331 1,570 Tax Free Money Market -- -- --
10/31/06 10/31/07 10/31/08 10/31/09 10/31/10 TOTALS ------------------------------------------------------------------------------------------------------------------------ Money Market $ 3,246 $ 12,599 $ 106,731 $ 35,378 $ -- $ 174,015 US Government Money Market 762 1,782 8,484 15,034 2,688 38,564 Tax Free Money Market -- -- 68,310 59,628 19 127,957
22 Notes to Financial Statements MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 5. FUND SHARE TRANSACTIONS Share transactions for the period ended April 30, 2003 and year ended October 31, 2002 were as follows:
CLASS A CLASS S ON A CONSTANT DOLLAR BASIS (000) ON A CONSTANT DOLLAR BASIS (000) 2003(A) 2002 2003 2002 Money Market Proceeds from shares sold 8 $ -- 6,853,330 $ 14,028,061 Proceeds from reinvestment of distributions -- -- 2,699 5,903 Payments for shares redeemed -- -- (6,943,891) (14,015,912) ----------------- ----------------- ----------------- ----------------- Total net increase (decrease) 8 $ -- (87,862) $ 18,052 ================= ================= ================= ================= US Government Money Market Proceeds from shares sold -- -- 48,880 $ 112,986 Proceeds from reinvestment of distributions -- -- 391 1,200 Payments for shares redeemed -- -- (53,356) (129,886) ----------------- ----------------- ----------------- ----------------- Total net increase (decrease) -- $ -- (4,085) $ (15,700) ================= ================= ================= ================= Tax Free Money Market Proceeds from shares sold -- -- 114,268 $ 357,537 Proceeds from reinvestment of distributions -- -- 613 1,625 Payments for shares redeemed -- -- (161,213) (365,238) ----------------- ----------------- ----------------- ----------------- Total net increase (decrease) -- $ -- (46,332) $ (6,076) ================= ================= ================= =================
(a) Share transactions for Money Market Fund Class A are for the period April 21, 2003 (commencement of sale) to April 30, 2003. 6. LINE OF CREDIT Each of the Funds of the Investment Company share in a $75 million revolving credit facility for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Funds are charged an annual commitment fee of .125% on the average daily unused amount of the aggregate commitment, which is allocated among each of the Funds. Interest is calculated at the Federal Fund Rate plus .50% annually. The Funds may borrow up to a maximum of 33.33% of the value of their net assets under the agreement. The agreement will expire December 24, 2003. The Funds did not have any drawdowns during the period ended April 30, 2003. 7. BENEFICIAL INTEREST As of April 30, 2003, the following table includes each shareholder with shares of beneficial interest of greater than 10% of the total outstanding shares of each respective Fund:
% % % ------------------------------------------------------------------------------------------------------ Money Market 16.5 -- -- US Government Money Market 42.4 13.6 10.0 Tax Free Money Market 39.2 37.5 --
Notes to Financial Statements 23 MONEY MARKET FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- The following tables provide information for each officer and trustee of the Russell Fund Complex. The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 funds and Russell Investment Funds ("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and RIF. The first table provides information for trustees who are interested trustees. The second table provides information for the independent trustees. The third table provides information for the officers.
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- *George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 37 None Jr., and Chairman successor is - Chairman Emeritus, FRIC and Born July 3, 1932 Emeritus since duly elected RIF 1999 and qualified - Chairman Emeritus, Frank 909 A Street Russell Securities, Inc., Tacoma, Washington Russell 20/20 Association 98402-1616 Frank Russell Trust Company - Director Emeritus FRIMCo - From 1984 to December 1998, Chairman of the Board of FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 37 - Trustee, The Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds 1939 duly elected Trustee, FRIC and RIF (investment Chairman of the and qualified - CEO and Chairman of the company) 909 A Street Board since 1999 Board, Russell Fund Tacoma, Washington Distributors, Inc. and 98402-1616 FRIMCo - Trustee, President and Chairman of the Board, SSgA Funds (investment company) - Trustee and Chairman of the Board, Frank Russell Trust Company - Director, Frank Russell Investments (Ireland) Limited and Frank Russell Investments (Cayman) Ltd. - Until October 2002, President and CEO, FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Michael J.A. Trustee since Appointed until - Chairman of the Board, 37 None Phillips, 2002 successor is President, CEO and Director, Born January 20, duly elected FRC 1948 and qualified - Trustee, FRIC and RIF - Director, FRTC and Frank 909 A Street Russell Capital Inc. Tacoma, Washington - Director/Chairman, Frank 98402-1616 Russell Investments (Delaware), Inc. - Director, Chairman of the Board and President, Russell 20/20 Association - Director, Frank Russell Company Pty. Limited, Frank Russell Japan Co., Ltd., Frank Russell Investments (Suisse), S.A., and Frank Russell Company Limited ----------------------------------------------------------------------------------------------------------------------------
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an affiliate of FRIC and RIF and is therefore an interested trustee. 24 Disclosure of Information about Fund Directors MONEY MARKET FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 37 None Born October 15, 1984 successor is Anderson Management Group 1931 duly elected LLC (private investments and qualified consulting) 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 37 None Born December 1, since 2003 successor is - Trustee of FRIC and RIF 1919 duly elected until 2002 and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- William E. Baxter, Trustee since Appointed until - Retired since 1986 37 None Born June 8, 1925 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 37 - Trustee WM Group Born January 22, 2000 successor is Blake, P.S. (accounting of Funds 1954 duly elected services) (investment and qualified company); 909 A Street - Director, Avista Tacoma, Washington Corp 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Daniel P. Connealy, Trustee since Appointed until - 2001-2003, Vice President 37 - Director, Gold Born June 6, 1946 April 2003 successor is and Chief Financial Officer, Banc duly elected Janus Capital Group Inc. Corporation, 909 A Street and qualified - 1979-2001, Audit and Inc. Tacoma, Washington Accounting Partner, 98402-1616 PricewaterhouseCoopers LLP ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 37 None Born October 6, 1984 successor is 1930 duly elected and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 37 None Born May 5, 1926 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ----------------------------------------------------------------------------------------------------------------------------
Disclosure of Information about Fund Directors 25 MONEY MARKET FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES (CONTINUED) ---------------------------------------------------------------------------------------------------------------------------- Raymond P. Trustee since Appointed until - Currently, President, 37 None Tennison, Jr., 2000 successor is Simpson Investment Company Born December 21, duly elected and several additional 1955 and qualified subsidiary companies, including Simpson Timber 909 A Street Company, Simpson Paper Tacoma, Washington Company and Simpson Tacoma 98402-1616 Kraft Company ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Julie W. Weston, Trustee since Appointed until - Retired since 2000 37 None Born October 2, 2002 successor is - 1997 to 2000, Arbitrator, 1943 duly elected The American Arbitration and qualified Association Commercial Panel 909 A Street - 1995 to 1999, Hearing Tacoma, Washington Officer, University of 98402-1616 Washington ----------------------------------------------------------------------------------------------------------------------------
26 Disclosure of Information about Fund Directors MONEY MARKET FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------- Position(s) Held Name, with Fund and Term Principal Occupation(s) Age, Length of of During the Address Time Served Office Past 5 Years -------------------------------------------------------------------------------------------------------------------------- OFFICERS -------------------------------------------------------------------------------------------------------------------------- Leonard P. Brennan, President and Until successor - President and CEO, FRIC Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank 909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments Tacoma, Washington (Singapore) Private Limited and Frank Russell 98402-1616 Investments (UK) Limited - Director, President and CEO, FRIMCo - Director and COO, Frank Russell Company Limited and Russell Systems Limited - President, Russell Insurance Agency, Inc. - 1995 to present, Managing Director of International Operations of FRC -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF Born November 26, 1963 Chief Accounting is chosen and 1998 to present Officer since qualified by - Director, Funds Administration, FRIMCo and Frank 909 A Street 1998 Trustees Russell Trust Company Tacoma, Washington - Treasurer, SSgA Funds (investment company) 98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund Distributors, Inc. - April 1996 to August 1998, Assistant Treasurer, FRIC and RIF; November 1995 to July 1998, Assistant Secretary, SSgA Funds; February 1997 to July 1998, Manager, Funds Accounting and Taxes, FRIMCo -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Randall P. Lert, Director of Until removed - Director of Investments, FRIC and RIF Born October 3, 1953 Investments by Trustees - Chief Investment Officer, Frank Russell Trust Company since 1991 - Director, FRIMCo and Russell Fund Distributors, Inc. 909 A Street Tacoma, Washington 98402-1616 -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo, Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund since 1994 Distributors, Inc. 909 A Street - Director, Secretary and General Counsel, Frank Tacoma, Washington Russell Capital Inc. 98402-1616 - Director and Secretary, Russell 20-20 Association -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark D. Amberson Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF, Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF, 909 A Street since 2001 FRIMCo and Frank Russell Trust Company Tacoma, Washington 98402-1616 --------------------------------------------------------------------------------------------------------------------------
Disclosure of Information about Fund Directors 27 MONEY MARKET FUNDS FRANK RUSSELL INVESTMENT COMPANY 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 -------------------------------------------------------------------------------- TRUSTEES Lynn L. Anderson, Chairman Paul E. Anderson William E. Baxter Kristianne Blake Daniel P. Connealy Lee C. Gingrich Eleanor W. Palmer Michael J.A. Phillips Raymond P. Tennison, Jr. Julie W. Weston TRUSTEES EMERITUS George F. Russell, Jr. Paul Anton, PhD OFFICERS Lynn L. Anderson, Chairman of the Board Leonard P. Brennan, President and Chief Executive Officer Karl Ege, Secretary and General Counsel Mark E. Swanson, Treasurer and Chief Accounting Officer Mark Amberson, Director of Short Term Investment Funds Randall P. Lert, Director of Investments Sharon L. Hammel, Director of Portfolio Implementation Gregory J. Lyons, Assistant Secretary and Associate General Counsel Deedra S. Walkey, Assistant Secretary Mary Beth Rhoden, Assistant Secretary Greg S. Korte, Assistant Treasurer David J. Craig, Assistant Treasurer Stephen J. Meyer, Assistant Treasurer Amy L. Osler, Assistant Secretary MANAGER, TRANSFER AND DIVIDEND PAYING AGENT Frank Russell Investment Management Company 909 A Street Tacoma, WA 98402 CONSULTANT Frank Russell Company 909 A Street Tacoma, WA 98402 CUSTODIAN State Street Bank and Trust Company Allan Forbes Building 150 Newport Avenue AFB35 North Quincy, MA 02171 OFFICE OF SHAREHOLDER INQUIRIES 909 A Street Tacoma, WA 98402 (800) 787-7354 LEGAL COUNSEL Stradley, Ronon, Stevens & Young, LLP 2600 One Commerce Square Philadelphia, PA 19103-7098 DISTRIBUTOR Russell Fund Distributors, Inc. 909 A Street Tacoma, WA 98402 MONEY MANAGERS Money Market Fund Frank Russell Investment Management Company, Tacoma, WA US Government Money Market Fund Frank Russell Investment Management Company, Tacoma, WA Tax Free Money Market Fund Weiss, Peck & Greer, LLC, New York, NY This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. 28 Manager, Money Managers and Service Providers This page has been intentionally left blank. This page has been intentionally left blank. (RUSSELL LOGO) Frank Russell Investment Company 909 A Street Tacoma, Washington 98402 253-627-7001 800-787-7354 Fax: 253-591-3495 www.russell.com FRANK RUSSELL INVESTMENT COMPANY RUSSELL FUNDS [Graphic] 2003 Semiannual Report CLASS C, E, AND S SHARES DIVERSIFIED EQUITY FUND SPECIAL GROWTH FUND EQUITY INCOME FUND QUANTITATIVE EQUITY FUND INTERNATIONAL SECURITIES FUND EMERGING MARKETS FUND REAL ESTATE SECURITIES FUND SHORT TERM BOND FUND DIVERSIFIED BOND FUND MULTISTRATEGY BOND FUND TAX EXEMPT BOND FUND TAX-MANAGED LARGE CAP FUND TAX-MANAGED MID & SMALL CAP FUND CLASS C, E, I, AND S SHARES SELECT GROWTH FUND SELECT VALUE FUND APRIL 30, 2003 [FRANK RUSSELL LOGO] Frank Russell Investment Company Frank Russell Investment Company is a "series mutual fund" with 32 different investment portfolios. These financial statements report on fifteen Funds, each of which has distinct investment objectives and strategies. Frank Russell Investment Management Company Responsible for overall management and administration of the Funds. Frank Russell Company Consultant to Frank Russell Investment Management Company. Frank Russell Investment Company Russell Funds Semiannual Report April 30, 2003 Table of Contents
Page Diversified Equity Fund.............................................. 3 Special Growth Fund.................................................. 11 Equity Income Fund................................................... 21 Quantitative Equity Fund............................................. 26 International Securities Fund........................................ 32 Emerging Markets Fund................................................ 45 Real Estate Securities Fund.......................................... 53 Short Term Bond Fund................................................. 55 Diversified Bond Fund................................................ 65 Multistrategy Bond Fund.............................................. 81 Tax Exempt Bond Fund................................................. 97 Tax-Managed Large Cap Fund........................................... 107 Tax-Managed Mid & Small Cap Fund..................................... 110 Select Growth Fund................................................... 116 Select Value Fund.................................................... 120 Statement of Assets and Liabilities.................................. 124 Statement of Operations.............................................. 132 Statement of Changes in Net Assets................................... 136 Financial Highlights................................................. 142 Notes to Statement of Net Assets..................................... 159 Notes to Financial Statements........................................ 160 Disclosure of Information about Fund Directors....................... 179 Manager, Money Managers and Service Providers........................ 183
Frank Russell Investment Company - Russell Funds Copyright (c) Frank Russell Company 2003. All rights reserved. This material is proprietary and may not be reproduced, transferred, or distributed in any form without prior written permission from Frank Russell Company. It is delivered on an "as is" basis without warranty. The Russell logo is a trademark and service mark of Frank Russell Company. Frank Russell Company and Standard & Poor's Corporation are the owners of the trademarks, service marks, and copyrights related to their respective indexes. This material must be accompanied or preceded by a current Frank Russell Investment Company Prospectus containing complete information concerning the investment objectives and operations of the Company, charges, and expenses. The Prospectus should be read carefully before an investment is made. The performance as of April 1, 1995 is reported gross of investment advisory fees. For periods thereafter, performance and yields are reported net of investment advisory fees but gross of investment services fees, descriptions of which can be obtained from the investment advisor. Investment services fees and other account expenses will reduce performance (e.g., an investment services fee of 0.2% off average managed assets will reduce a 10.0% Semiannual return to 9.8%). The performance quoted represents past performance and the investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Investments in securities of non-US issuers and foreign currencies involve investment risks different than those of US issuers; the Prospectus contains further information and details regarding these risks. Russell Fund Distributors, Inc., is the distributor of Frank Russell Investment Company. DIVERSIFIED EQUITY FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 92.9% Auto and Transportation - 2.2% American Axle & Manufacturing Holdings, Inc. (AE) 4 108 Autoliv, Inc. 24 578 Burlington Northern Santa Fe Corp. 53 1,488 Canadian National Railway Co. 5 219 Cooper Tire & Rubber Co. 16 220 CSX Corp. 16 512 Dana Corp. 56 518 Delphi Corp. 71 594 FedEx Corp. 93 5,545 Ford Motor Co. 63 653 General Motors Corp. 34 1,242 Gentex Corp. (AE) 3 91 Genuine Parts Co. 10 317 Goodyear Tire & Rubber Co. (The) 49 282 Harley-Davidson, Inc. 28 1,248 JB Hunt Transport Services, Inc. (AE) 4 145 JetBlue Airways Corp. (AE) 6 189 Norfolk Southern Corp. 34 715 Paccar, Inc. 23 1,357 Ryanair Holdings PLC - ADR (AE) 42 1,656 Skywest, Inc. 22 278 Southwest Airlines Co. 143 2,290 Swift Transportation Co., Inc. (AE) 2 42 Tidewater, Inc. 2 61 Union Pacific Corp. 26 1,527 United Parcel Service, Inc. Class B 65 4,007 Visteon Corp. 15 107 ------------ 25,989 ------------ Consumer Discretionary - 14.6% Abercrombie & Fitch Co. Class A (AE) 58 1,910 Accenture, Ltd. Class A (AE) 16 256 Allied Waste Industries, Inc. (AE) 10 83 AOL Time Warner, Inc. (AE) 160 2,185 Apollo Group, Inc. Class A (AE) 44 2,401 Avon Products, Inc. 18 1,047 Banta Corp. 2 76 BearingPoint, Inc. (AE) 3 28 Bed Bath & Beyond, Inc. (AE) 62 2,430 Belo Corp. Class A 6 127 Best Buy Co., Inc. (AE) 75 2,594 Black & Decker Corp. 5 207 Blyth, Inc. 5 144 Boyd Gaming Corp. (AE) 60 861 Callaway Golf Co. 10 132 Career Education Corp. (AE) 8 499 Carnival Corp. 6 171 Cendant Corp. (AE) 18 263
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Chico's FAS, Inc. (AE) 62 1,509 Claire's Stores, Inc. 5 133 Clear Channel Communications, Inc. (AE) 111 4,332 Coach, Inc. (AE) 39 1,688 Convergys Corp. (AE) 10 168 Corinthian Colleges, Inc. (AE) 15 687 Costco Wholesale Corp. (AE) 60 2,092 Darden Restaurants, Inc. 5 94 Dollar General Corp. 15 213 DoubleClick, Inc. (AE) 5 46 Eastman Kodak Co. 13 389 eBay, Inc. (AE) 56 5,206 EchoStar Communications Corp. (AE) 24 715 Electronic Arts, Inc. (AE) 128 7,569 Family Dollar Stores 28 949 Federated Department Stores 88 2,710 Fisher Scientific International (AE) 7 201 Four Seasons Hotels, Inc. 49 1,485 Fox Entertainment Group, Inc. Class A (AE) 3 88 Gannett Co., Inc. 113 8,519 Gemstar-TV Guide International, Inc. (AE) 26 106 Gillette Co. (The) 178 5,426 Harman International Industries, Inc. 17 1,132 Harrah's Entertainment, Inc. (AE) 10 395 Hearst-Argyle Television, Inc. Class C (AE) 6 148 Hollywood Entertainment Corp. (AE) 6 108 Home Depot, Inc. 219 6,158 Hughes Electronics Corp. Class H (AE) 12 146 International Game Technology (AE) 14 1,165 ITT Educational Services, Inc. (AE) 5 139 JC Penney Co., Inc. Holding Co. 13 215 Jones Apparel Group, Inc. (AE) 10 287 Kimberly-Clark Corp. 52 2,611 Knight-Ridder, Inc. 6 366 Kohl's Corp. (AE) 180 10,248 Landry's Restaurants, Inc. 4 82 Leggett & Platt, Inc. 4 91 Liberty Media Corp. Class A (AE) 115 1,261 Liz Claiborne, Inc. 5 159 Lowe's Cos., Inc. 110 4,828 Manpower, Inc. 10 339 Marriott International, Inc. Class A 67 2,413 Mattel, Inc. 25 550 May Department Stores Co. (The) 49 1,058 McDonald's Corp. 108 1,838 McGraw-Hill Cos., Inc. (The) 12 676 Media General, Inc. Class A 1 80
Diversified Equity Fund 3 DIVERSIFIED EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Meredith Corp. 3 132 MGM Mirage (AE) 50 1,419 New York Times Co. Class A 2 88 Newell Rubbermaid, Inc. 182 5,541 Nike, Inc. Class B 56 3,013 Office Depot, Inc. (AE) 38 482 Omnicom Group 49 3,012 Pacific Sunwear Of California (AE) 13 288 Park Place Entertainment Corp. (AE) 20 147 Petsmart, Inc. (AE) 19 283 PF Chang's China Bistro, Inc. (AE) 6 264 Pittston Brink's Group 2 23 Quiksilver, Inc. (AE) 4 121 Reed Elsevier PLC - ADR 49 1,568 Rent-A-Center, Inc. Class C (AE) 1 90 Ross Stores, Inc. 3 116 RR Donnelley & Sons Co. 18 371 Sears Roebuck and Co. 39 1,097 ServiceMaster Co. (The) 28 254 Snap-On, Inc. Class C 7 205 Sonic Corp. (AE) 3 86 Stanley Works (The) 8 198 Staples, Inc. (AE) 5 102 Starwood Hotels & Resorts Worldwide, Inc. 23 620 Take-Two Interactive Softwar (AE) 11 254 Talbots, Inc. 4 120 Target Corp. 18 599 Tiffany & Co. 87 2,422 TJX Cos., Inc. 25 474 Toro Co. 5 172 Toys R US, Inc. (AE) 7 74 Tribune Co. 83 4,057 Tupperware Corp. 7 100 University of Phoenix Online (AE) 18 772 Univision Communications, Inc. Class A (AE) 37 1,120 USA Interactive (AE) 82 2,450 Valassis Communications, Inc. (AE) 3 73 VF Corp. 25 987 Viacom, Inc. Class B (AE) 284 12,323 Viad Corp. 1 10 Wal-Mart Stores, Inc. 267 15,040 Wallace Computer Services, Inc. 3 71 Walt Disney Co. 529 9,879 Washington Post Class B -- 211 Waste Connections, Inc. (AE) 5 158 Waste Management, Inc. 29 620 Whirlpool Corp. 5 290
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Wynn Resorts, Ltd. (AE) 28 467 Yahoo, Inc. (AE) 45 1,126 Yum! Brands, Inc. (AE) 6 143 ------------ 169,764 ------------ Consumer Staples - 7.1% Albertson's, Inc. 48 953 Altria Group, Inc. 220 6,779 Anheuser-Busch Cos., Inc. Class C 70 3,512 Brown-Forman Corp. Class B 4 306 Campbell Soup Co. 4 93 Clorox Co. 5 213 Coca-Cola Co. (The) 243 9,826 Coca-Cola Enterprises, Inc. 18 360 Colgate-Palmolive Co. 147 8,393 ConAgra Foods, Inc. 91 1,919 Constellation Brands, Inc. Class A (AE) 3 90 Coors (Adolph) Class B 2 128 CVS Corp. 4 85 Del Monte Foods Co. (AE) 11 90 Diageo PLC - ADR 14 630 Dial Corp. (The) 20 410 General Mills, Inc. 9 383 Hershey Foods Corp. 3 215 HJ Heinz Co. 52 1,560 JM Smucker Co. (The) 5 172 Kellogg Co. 113 3,708 Kroger Co. (AE) 103 1,472 Pepsi Bottling Group, Inc. 9 191 PepsiAmericas, Inc. 3 37 PepsiCo, Inc. 261 11,315 Procter & Gamble Co. 242 21,723 RJ Reynolds Tobacco Holdings, Inc. 23 639 Safeway, Inc. (AE) 40 663 Sara Lee Corp. 50 841 Supervalu, Inc. 44 719 Systemco Corp. 16 460 Tyson Foods, Inc. Class A 24 234 Unilever NV Class S 6 353 UST, Inc. 22 690 Walgreen Co. 71 2,189 Whole Foods Market, Inc. (AE) 16 950 WM Wrigley Jr Co. 5 306 ------------ 82,607 ------------ Financial Services - 19.8% ACE, Ltd. 13 425 Affiliated Computer Services, Inc. Class A (AE) 30 1,407 Aflac, Inc. 9 281 Allstate Corp. (The) 150 5,684
4 Diversified Equity Fund DIVERSIFIED EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- AMBAC Financial Group, Inc. 3 170 American Express Co. 154 5,817 American Financial Group, Inc. 1 22 American International Group 201 11,629 AmSouth Bancorp 43 905 Annaly Mortgage Management, Inc. (o) 3 57 AON Corp. 5 100 Archstone-Smith Trust (o) 42 958 Arden Realty, Inc. (o) 6 142 Astoria Financial Corp. 2 39 Automatic Data Processing 12 410 Bank of America Corp. 206 15,271 Bank of New York Co., Inc. (The) 1 39 Bank One Corp. 91 3,291 Banknorth Group, Inc. 4 106 BB&T Corp. 3 108 Bear Stearns Cos., Inc. (The) 13 882 Capital One Financial Corp. 7 293 CarrAmerica Realty Corp. (o) 16 413 Charles Schwab Corp. (The) 152 1,308 Charter One Financial, Inc. 36 1,040 Chubb Corp. 69 3,672 Cigna Corp. 29 1,501 Cincinnati Financial Corp. 4 136 Citigroup, Inc. 889 34,891 CNA Financial Corp. (AE) 3 79 Colonial BancGroup, Inc. (The) 4 47 Comerica, Inc. 14 608 Commerce Bancorp, Inc. 12 496 Compass Bancshares, Inc. 2 65 Countrywide Financial Corp. 11 775 Crescent Real Estate Equities Co. (o) 2 21 Deluxe Corp. 1 57 Doral Financial Corp. 25 1,008 DST Systems, Inc. (AE) 2 72 Duke Realty Corp. (o) 15 402 Equity Office Properties Trust (o) 61 1,576 Equity Residential (o) 26 679 Fannie Mae 142 10,286 Federated Investors, Inc. Class B 16 425 Fidelity National Financial, Inc. 6 209 First American Corp. 7 178 First Data Corp. 91 3,551 First Tennessee National Corp. 9 394 FirstMerit Corp. 1 10 FleetBoston Financial Corp. 294 7,797 Freddie Mac 54 3,128 Golden West Financial Corp. 5 414 Goldman Sachs Group, Inc. 122 9,293 Greenpoint Financial Corp. 6 289 H&R Block, Inc. 16 612
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Hartford Financial Services Group, Inc. 37 1,497 Hibernia Corp. Class A 8 143 Highwoods Properties, Inc. (o) 10 192 HRPT Properties Trust (o) 7 67 Hudson United Bancorp 1 35 Huntington Bancshares, Inc. 38 736 Independence Community Bank -- 11 iStar Financial, Inc. (o) 1 15 Jefferson-Pilot Corp. 6 245 John Hancock Financial Services, Inc. 109 3,151 JP Morgan Chase & Co. 226 6,641 Keycorp 62 1,501 Landamerica Financial Group, Inc. 3 111 Lehman Brothers Holdings, Inc. 81 5,118 Liberty Property Trust (o) 4 115 Lincoln National Corp. 12 397 Loews Corp. 11 437 Macerich Co. (The) (o) 3 109 Marsh & McLennan Cos., Inc. 61 2,904 MBIA, Inc. 10 443 Mellon Financial Corp. 110 2,904 Merrill Lynch & Co., Inc. 97 3,967 Metlife, Inc. 70 2,009 MGIC Investment Corp. 12 546 Mony Group, Inc. 1 21 Moody's Corp. 3 135 Morgan Stanley 176 7,897 National City Corp. 68 2,043 National Commerce Financial Corp. 3 70 Nationwide Financial Services 3 90 New York Community Bancorp, Inc. 10 330 Old Republic International Corp. 17 522 Paychex, Inc. 86 2,673 PMI Group, Inc. (The) 39 1,196 PNC Financial Services Group, Inc. 30 1,333 Popular, Inc. 1 18 Post Properties, Inc. (o) 4 113 Principal Financial Group 23 661 Progressive Corp. (The) 2 120 Protective Life Corp. 3 80 Prudential Financial, Inc. 6 184 Radian Group, Inc. 36 1,437 Regions Financial Corp. 23 775 Rouse Co. (The) (o) 8 263 Ryder System, Inc. 6 141 Safeco Corp. 21 802 Simon Property Group, Inc. (o) 9 314 SLM Corp. 73 8,126 SouthTrust Corp. 62 1,670 St Paul Cos 36 1,225 Sungard Data Systems, Inc. (AE) 8 178
Diversified Equity Fund 5 DIVERSIFIED EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SunTrust Banks, Inc. 48 2,751 TCF Financial Corp. 9 349 Torchmark Corp. 7 287 Travelers Property Casualty Corp. (AE) 18 441 Travelers Property Casualty Corp. Class A 81 1,313 Travelers Property Casualty Corp. Class B 43 705 Trizec Properties, Inc. (o) 12 111 Union Planters Corp. 5 146 UnionBanCal Corp. 14 579 United Rentals, Inc. (AE) 15 150 UnumProvident Corp. 31 352 US Bancorp 173 3,838 Vornado Realty Trust (o) 1 25 Wachovia Corp. 173 6,596 Washington Mutual, Inc. 168 6,654 Wells Fargo & Co. 103 4,965 WR Berkley Corp. 11 515 XL Capital, Ltd. Class A 2 133 ------------ 229,089 ------------ Health Care - 14.9% Abbott Laboratories 55 2,235 Aetna, Inc. 65 3,242 Alcon, Inc. 18 793 Allergan, Inc. 1 91 AmerisourceBergen Corp. 4 212 Amgen, Inc. (AE) 308 18,869 Anthem, Inc. (AE) 12 837 Baxter International, Inc. 5 106 Becton Dickinson & Co. 8 280 Boston Scientific Corp. (AE) 84 3,601 Bristol-Myers Squibb Co. 99 2,526 Cardinal Health, Inc. 5 249 CR Bard, Inc. 3 215 CuraGen Corp. (AE) 2 10 DaVita, Inc. (AE) 2 34 Eli Lilly & Co. 91 5,806 Forest Laboratories, Inc. (AE) 103 5,342 Genentech, Inc. (AE) 61 2,325 Genzyme Corp.-General Division (AE) 41 1,651 Gilead Sciences, Inc. (AE) 69 3,170 Guidant Corp. 16 607 HCA, Inc. 61 1,959 Health Management Associates, Inc. Class A 33 560 Healthsouth Corp. (AE) 10 1 Humana, Inc. (AE) 83 920 Idec Pharmaceuticals Corp. (AE) 32 1,058 Johnson & Johnson 429 24,200
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- King Pharmaceuticals, Inc. (AE) 8 95 Laboratory Corp. of America Holdings (AE) 92 2,716 McKesson Corp. 103 2,867 Medimmune, Inc. (AE) 81 2,842 Medtronic, Inc. 169 8,044 Merck & Co., Inc. 127 7,381 Mid Atlantic Medical Services (AE) 1 30 Mylan Laboratories 2 68 Novartis AG - ADR 39 1,536 Odyssey HealthCare, Inc. (AE) 3 83 Perrigo Co. 4 66 Pfizer, Inc. 1,088 33,459 Pharmaceutical Resources, Inc. (AE) 2 79 Quest Diagnostics (AE) 51 3,018 Quintiles Transnational Corp. (AE) 1 19 Renal Care Group, Inc. (AE) -- 15 Schering-Plough Corp. 113 2,036 St Jude Medical, Inc. (AE) 77 4,043 Stericycle, Inc. (AE) 6 216 Steris Corp. (AE) -- 9 Stryker Corp. 2 154 Teva Pharmaceutical Industries - ADR 50 2,337 Triad Hospitals, Inc. (AE) 4 79 UnitedHealth Group, Inc. 112 10,320 WellPoint Health Networks (AE) 12 930 Wyeth 142 6,171 Zimmer Holdings, Inc. (AE) 66 3,100 ------------ 172,612 ------------ Integrated Oils - 3.9% Amerada Hess Corp. 13 609 BP PLC - ADR 65 2,512 ChevronTexaco Corp. 82 5,170 ConocoPhillips 117 5,864 Exxon Mobil Corp. 734 25,836 Kerr-McGee Corp. 5 202 Marathon Oil Corp. 51 1,167 Occidental Petroleum Corp. 52 1,558 Total Fina Elf SA - ADR 6 394 Unocal Corp. 48 1,318 ------------ 44,630 ------------ Materials and Processing - 3.7% Air Products & Chemicals, Inc. 47 2,043 Albany International Corp. Class A 3 62 Alcoa, Inc. 187 4,281 Allegheny Technologies, Inc. 7 28 American Standard Cos., Inc. (AE) 8 541 Archer-Daniels-Midland Co. 254 2,819 Ashland, Inc. 19 553
6 Diversified Equity Fund DIVERSIFIED EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Avery Dennison Corp. 4 201 Ball Corp. 8 446 Bemis Co. 6 295 Bowater, Inc. 16 635 Dow Chemical Co. (The) 92 3,013 Du Pont EI de Nemours & Co. 42 1,774 Eastman Chemical Co. 23 713 Ecolab, Inc. 12 628 Engelhard Corp. 9 219 Fluor Corp. 8 287 Forest City Enterprises, Inc. Class A 1 23 Glatfelter 1 15 Hercules, Inc. (AE) 38 387 International Paper Co. 64 2,297 Jacobs Engineering Group, Inc. (AE) 5 202 Lafarge North America, Inc. 9 286 Louisiana-Pacific Corp. (AE) 9 75 Lubrizol Corp. 5 174 Lyondell Chemical Co. 70 1,023 Masco Corp. 197 4,151 MeadWestvaco Corp. 19 442 Monsanto Co. 35 615 Nucor Corp. 12 490 Owens-Illinois, Inc. (AE) 3 25 Pactiv Corp. (AE) 24 492 Phelps Dodge Corp. (AE) 23 720 PPG Industries, Inc. 54 2,609 Praxair, Inc. 60 3,498 Precision Castparts Corp. 10 265 Rayonier, Inc. 3 136 Rohm & Haas Co. 4 132 RPM International, Inc. 9 107 Scotts Co. (The) Class A (AE) 4 224 Sealed Air Corp. (AE) 6 244 Sherwin-Williams Co. (The) 38 1,062 Smurfit-Stone Container Corp. (AE) 93 1,306 Sonoco Products Co. 8 177 Syngenta AG Class R - ADR 167 1,709 Temple-Inland, Inc. 4 172 Timken Co. 7 123 United States Steel Corp. 7 100 Weyerhaeuser Co. Series O 6 283 York International Corp. 8 192 ------------ 42,294 ------------ Miscellaneous - 4.3% 3M Co. 81 10,213 Brunswick Corp. 14 297 Carlisle Cos., Inc. 9 389 Crane Co. 14 273 Eaton Corp. 40 3,280
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- FMC Corp. (AE) 10 181 Fortune Brands, Inc. 38 1,837 General Electric Co. 951 28,003 Georgia-Pacific Corp. 15 236 Honeywell International, Inc. 41 971 Illinois Tool Works, Inc. 9 576 ITT Industries, Inc. 11 642 Johnson Controls, Inc. 4 345 SPX Corp. (AE) 66 2,221 St Joe Co. (The) 4 104 Textron, Inc. 8 227 ------------ 49,795 ------------ Other Energy - 2.2% Anadarko Petroleum Corp. 57 2,526 Apache Corp. 18 1,008 Baker Hughes, Inc. 151 4,220 BJ Services Co. (AE) 32 1,168 Burlington Resources, Inc. 19 885 Cooper Cameron Corp. (AE) 3 144 Devon Energy Corp. 41 1,916 Diamond Offshore Drilling 6 117 ENSCO International, Inc. 27 686 Equitable Resources, Inc. 8 304 GlobalSantaFe Corp. 32 679 Halliburton Co. 59 1,254 Nabors Industries, Ltd. (AE) 22 862 Noble Corp. (AE) 39 1,204 Peabody Energy Corp. 2 60 Pioneer Natural Resources Co. (AE) 20 478 Reliant Resources, Inc. (AE) 58 328 Schlumberger, Ltd. 104 4,357 Smith International, Inc. (AE) 27 960 Transocean, Inc. 58 1,108 Williams Cos., Inc. 6 40 XTO Energy, Inc. 67 1,299 ------------ 25,603 ------------ Producer Durables - 3.5% AGCO Corp. (AE) 1 13 American Power Conversion (AE) 13 206 Applied Materials, Inc. (AE) 186 2,723 Boeing Co. (The) 32 868 Caterpillar, Inc. 104 5,495 Centex Corp. 2 132 Cooper Industries, Ltd. Class A 8 289 Cummins, Inc. 24 653 Danaher Corp. 28 1,959 Deere & Co. 122 5,365 DR Horton, Inc. 16 383 Emerson Electric Co. 13 635
Diversified Equity Fund 7 DIVERSIFIED EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Engineered Support Systems, Inc. 2 66 Goodrich Corp. 34 474 Hovnanian Enterprises, Inc. Class A (AE) 9 346 Hubbell, Inc. Class B 7 229 Ingersoll-Rand Co. Class A 10 428 Kla-Tencor Corp. (AE) 9 369 Lennar Corp. Class A 34 1,868 Lennar Corp. Class B 3 184 Lexmark International, Inc. (AE) 3 254 Lockheed Martin Corp. 7 350 MDC Holdings, Inc. 26 1,213 Molex, Inc. Class A 2 33 Nokia OYJ - ADR 282 4,673 Nordson Corp. 2 40 Northrop Grumman Corp. 14 1,251 NVR, Inc. (AE) -- 150 Pall Corp. 119 2,507 Parker Hannifin Corp. 8 321 Pentair, Inc. 7 257 Pulte Homes, Inc. 5 273 Rockwell Collins, Inc. 24 514 Steelcase, Inc. Class A 3 30 Tektronix, Inc. (AE) 15 276 Telefonaktiebolaget LM Ericsson - ADR (AE) 131 1,187 Toll Brothers, Inc. (AE) 18 423 United Defense Industries, Inc. (AE) 2 44 United Technologies Corp. 56 3,475 Waters Corp. (AE) 24 583 Xerox Corp. (AE) 44 436 ------------ 40,975 ------------ Technology - 10.7% 3Com Corp. (AE) 20 101 Acxiom Corp. (AE) 3 43 ADC Telecommunications, Inc. (AE) 64 153 Adobe Systems, Inc. 32 1,106 Adtran, Inc. (AE) -- 11 Advanced Micro Devices, Inc. (AE) 40 298 Altera Corp. (AE) 63 992 Amdocs, Ltd. (AE) 54 954 Analog Devices, Inc. (AE) 97 3,219 Autodesk, Inc. 30 467 Avaya, Inc. (AE) 73 285 Avnet, Inc. (AE) 1 16 BEA Systems, Inc. (AE) 56 600 BMC Software, Inc. (AE) 12 178 Broadcom Corp. Class A (AE) 36 644 Cisco Systems, Inc. (AE) 845 12,708 Citrix Systems, Inc. (AE) 2 42
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Computer Associates International, Inc. 23 371 Computer Sciences Corp. (AE) 2 76 Compuware Corp. (AE) 15 66 Comverse Technology, Inc. (AE) 22 289 Conexant Systems, Inc. (AE) 75 136 Corning, Inc. (AE) 368 1,997 Dell Computer Corp. (AE) 424 12,245 Electronic Data Systems Corp. 6 109 EMC Corp. (AE) 352 3,201 General Dynamics Corp. 1 68 Harris Corp. 11 323 Hewlett-Packard Co. 308 5,026 Ingram Micro, Inc. Class A (AE) 43 428 Intel Corp. 733 13,479 International Business Machines Corp. 134 11,338 International Rectifier Corp. (AE) 99 2,239 Intuit, Inc. (AE) 28 1,071 Jabil Circuit, Inc. (AE) 6 106 JDS Uniphase Corp. (AE) 230 743 Juniper Networks, Inc. (AE) 70 715 Linear Technology Corp. 24 827 LSI Logic Corp. (AE) 50 268 Lucent Technologies, Inc. (AE) 261 469 Maxim Integrated Products 92 3,599 Mercury Interactive Corp. (AE) 25 849 Microchip Technology, Inc. 37 769 Micron Technology, Inc. (AE) 242 2,054 Microsoft Corp. 683 17,463 MicroStrategy, Inc. 2007 Warrants (AE) 1 -- Motorola, Inc. 170 1,347 Motorola, Inc. 20 572 Network Appliance, Inc. (AE) 24 320 Nortel Networks Corp. (AE) 20 52 Oracle Corp. (AE) 356 4,229 PanAmSat Corp. (AE) 6 103 PerkinElmer, Inc. 21 208 Qualcomm, Inc. 103 3,272 Quantum Corp. (AE) 90 311 Raytheon Co. 30 905 Retek, Inc. (AE) 4 25 Rockwell Automation, Inc. 16 371 Sanmina-SCI Corp. (AE) 15 72 SAP AG - ADR 63 1,603 Scientific-Atlanta, Inc. Class C 4 69 Siebel Systems, Inc. (AE) 2 15 Solectron Corp. (AE) 9 29 Storage Technology Corp. (AE) 10 256 Sun MicroSystems, Inc. (AE) 6 21 Sybase, Inc. (AE) 3 34 Symantec Corp. (AE) 29 1,279 Tellabs, Inc. (AE) 1 9
8 Diversified Equity Fund DIVERSIFIED EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Texas Instruments, Inc. 158 2,919 Utstarcom, Inc. (AE) 1 29 VeriSign, Inc. (AE) 15 183 Veritas Software Corp. (AE) 17 374 Vishay Intertechnology, Inc. (AE) 1 17 Western Digital Corp. (AE) 11 98 Xilinx, Inc. (AE) 120 3,252 ------------ 124,115 ------------ Utilities - 6.0% Allegheny Energy, Inc. 10 84 Alliant Energy Corp. 18 321 Alltel Corp. 11 506 Ameren Corp. 19 765 American Electric Power Co., Inc. 37 987 Aquila, Inc. 4 12 AT&T Corp. 169 2,887 AT&T Wireless Services, Inc. (AE) 111 715 Avista Corp. 4 44 BellSouth Corp. 277 7,068 Cablevision Systems Corp. Class A (AE) 9 193 Centerpoint Energy, Inc. 47 374 Cinergy Corp. 4 151 CMS Energy Corp. 35 216 Comcast Corp. Class A (AE) 64 1,918 Comcast Corp. Class A (AE) 143 4,572 Consolidated Edison, Inc. 28 1,104 Constellation Energy Group, Inc. 20 596 COX Communications, Inc. Class A (AE) 37 1,216 Dominion Resources, Inc. 8 494 DPL, Inc. 11 146 DTE Energy Co. 15 587 Duke Energy Corp. 61 1,070 Edison International (AE) 9 129 Energy East Corp. 41 745 Entergy Corp. 34 1,571 Exelon Corp. 26 1,365 FirstEnergy Corp. 9 287 FPL Group, Inc. 24 1,479 KeySpan Corp. 32 1,077 National Fuel Gas Co. 43 1,013
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Nextel Communications, Inc. Class A (AE) 355 5,248 Nicor, Inc. 8 240 NiSource, Inc. 2 37 Northeast Utilities 12 175 NSTAR 37 1,601 Pepco Holdings, Inc. 17 293 PG&E Corp. (AE) 26 386 Pinnacle West Capital Corp. 19 647 PNM Resources, Inc. 4 94 PPL Corp. 38 1,384 Progress Energy, Inc. - CVO (AE) (Y) 6 1 Public Service Enterprise Group, Inc. 1 46 Puget Energy, Inc. 19 401 Qwest Communications International 80 301 SBC Communications, Inc. 358 8,366 Sempra Energy 26 691 Southern Co. (The) 26 746 Sprint Corp. - FON Group 124 1,432 TECO Energy, Inc. 12 128 TXU Corp. 45 895 Verizon Communications, Inc. 281 10,515 Vodafone Group PLC - ADR 52 1,028 WGL Holdings, Inc. 17 450 Wisconsin Energy Corp. 21 543 ------------ 69,340 ------------ TOTAL COMMON STOCKS (cost $1,022,900) 1,076,813 ------------ PREFERRED STOCKS - 0.1% Financial Services - 0.0% Chubb Corp. 6 140 ------------ Technology - 0.0% Northrop Grumman Corp. (AE) 3 336 ------------ Utilities - 0.0% TXU Corp. (AE) 15 461 ------------ TOTAL PREFERRED STOCKS (cost $1,315) 937 ------------
See accompanying notes which are an integral part of the financial statements. Diversified Equity Fund 9 DIVERSIFIED EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 7.4% Frank Russell Investment Company Money Market Fund 80,129 80,129 United States Treasury Bill (c)(y)(s) 1.105% due 06/19/03 1,000 999 1.130% due 06/19/03 5,000 4,992 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $86,120) 86,120 ------------ TOTAL INVESTMENTS - 100.3% (identified cost $1,110,335) 1,163,870 OTHER ASSETS AND LIABILITIES NET - (0.3%) (3,406) ------------ NET ASSETS - 100.0% 1,160,464 ============
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------------ Long Positions Russell 1000 Index expiration date 06/03 (66) 8,256 607 S&P E-Mini Index expiration date 06/03 (334) 15,299 457 S&P 500 Index expiration date 06/03 (272) 62,295 4,235 --------------- Total Unrealized Appreciation (Depreciation) on Open Futures Contracts $ 5,299 ===============
See accompanying notes which are an integral part of the financial statements. 10 Diversified Equity Fund SPECIAL GROWTH FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 95.2% Auto and Transportation - 4.1% AAR Corp. 18 71 Airborne, Inc. 26 514 Alaska Air Group, Inc. (AE) 43 768 American Axle & Manufacturing Holdings, Inc. (AE) 74 1,854 Autoliv, Inc. 21 503 Aviall, Inc. (AE) 14 112 BorgWarner, Inc. 18 1,038 CH Robinson Worldwide, Inc. 8 280 Continental Airlines, Inc. Class B (AE) 65 593 Cooper Tire & Rubber Co. 54 766 EGL, Inc. (AE) 52 828 ExpressJet Holdings, Inc. (AE) 27 307 Genesee & Wyoming, Inc. Class A (AE) 5 83 Gentex Corp. (AE) 32 954 Gulfmark Offshore, Inc. (AE) 69 911 Heartland Express, Inc. (AE) 11 247 JB Hunt Transport Services, Inc. (AE) 55 1,890 JetBlue Airways Corp. (AE) 39 1,238 Kansas City Southern (AE) 51 568 Kirby Corp. (AE) 7 173 Landstar System, Inc. (AE) 2 137 Lear Corp. (AE) 40 1,578 Navistar International Corp. (AE) 19 522 Offshore Logistics, Inc. (AE) 42 806 OMI Corp. (AE) 74 360 Polaris Industries, Inc. 3 148 Roadway Corp. 15 548 Skywest, Inc. 40 509 TBC Corp. (AE) 1 18 Teekay Shipping Corp. 24 911 Tidewater, Inc. 29 780 Usfreightways Corp. 20 582 Visteon Corp. 296 2,077 Wabtec Corp. 76 932 Werner Enterprises, Inc. 21 477 ------------ 24,083 ------------ Consumer Discretionary - 20.9% Abercrombie & Fitch Co. Class A (AE) 39 1,296 Advance Auto Parts (AE) 19 945 Advisory Board Co. (The) (AE) 8 289 Advo, Inc. (AE) 14 531 Aeropostale, Inc. New (AE) 25 454 Alberto-Culver Co. Class B 19 936 Alliance Gaming Corp. (AE) 35 563 American Eagle Outfitters (AE) 47 827 Applebees International, Inc. 12 334 Asbury Automotive Group, Inc. (AE) 13 123
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Aztar Corp. (AE) 16 222 Banta Corp. 25 782 BearingPoint, Inc. (AE) 3 23 Belo Corp. Class A 26 592 Big Lots, Inc. (AE) 58 721 Bob Evans Farms 15 388 Bombay Co., Inc. (The) (AE) 32 267 Brown Shoe Co., Inc. 5 152 Callaway Golf Co. 82 1,139 Career Education Corp. (AE) 7 403 Catalina Marketing Corp. (AE) 25 451 CBRL Group, Inc. 48 1,527 CDI Corp. (AE) 19 528 Charming Shoppes (AE) 61 287 Chico's FAS, Inc. (AE) 17 416 Childrens Place (AE) 5 83 Choice Hotels International, Inc. (AE) 22 538 ChoicePoint, Inc. (AE) 25 883 Christopher & Banks Corp. (AE) 15 382 Claire's Stores, Inc. 118 3,060 Coach, Inc. (AE) 21 924 Coinstar, Inc. (AE) 27 487 Columbia Sportswear Co. (AE) 6 278 Consolidated Graphics, Inc. (AE) 5 88 Corinthian Colleges, Inc. (AE) 10 458 Corporate Executive Board Co. (AE) 68 2,767 COX Radio, Inc. Class A (AE) 35 789 Cumulus Media, Inc. Class A (AE) 32 552 Dick's Sporting Goods, Inc. (AE) 21 620 Dillard's, Inc. Class A 74 1,040 DoubleClick, Inc. (AE) 63 546 Earthlink, Inc. (AE) 71 486 Education Management Corp. (AE) 46 2,221 Entercom Communications Corp. (AE) 38 1,846 Federated Department Stores 29 891 Finish Line Class A (AE) 8 136 Fisher Scientific International (AE) 30 856 Footstar, Inc. (AE) 51 473 FTI Consulting, Inc. (AE) 6 258 GameStop Corp. (AE) 24 284 Getty Images, Inc. (AE) 113 3,818 Global Imaging Systems, Inc. (AE) 15 285 Group 1 Automotive, Inc. (AE) 16 431 Guitar Center, Inc. (AE) 12 273 Gymboree Corp. (AE) 7 110 Handleman Co. (AE) 33 554 Harman International Industries, Inc. 12 826 Harte-Hanks, Inc. Class C 85 1,526 Hearst-Argyle Television, Inc. Class C (AE) 65 1,563 Hollinger International, Inc. 32 299
Special Growth Fund 11 SPECIAL GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Hollywood Entertainment Corp. (AE) 28 497 Hot Topic, Inc. (AE) 12 291 Hotels.com Class A (AE) 8 543 IKON Office Solutions, Inc. 177 1,375 Iron Mountain, Inc. (AE) 33 1,307 ITT Educational Services, Inc. (AE) 50 1,484 J Jill Group, Inc. (The) (AE) 35 499 Jack in the Box, Inc. (AE) 41 732 Jakks Pacific, Inc. (AE) 37 487 Jo-Ann Stores, Inc. Class A (AE) 17 445 John Wiley & Sons Class A 4 96 Jones Apparel Group, Inc. (AE) 31 883 K-Swiss, Inc. Class A 24 705 Kellwood Co. 19 551 Kelly Services, Inc. Class A 7 164 Kroll, Inc. (AE) 25 560 La-Z-Boy, Inc. Class C 45 869 Labor Ready, Inc. (AE) 31 197 Lamar Advertising Co. (AE) 57 2,039 Landry's Restaurants, Inc. 36 679 Leapfrog Enterprises, Inc. (AE) 27 732 Lee Enterprises, Inc. 32 1,148 Lin TV Corp. Class A (AE) 28 674 Lithia Motors, Inc. Class A (AE) 8 108 Liz Claiborne, Inc. 32 1,031 Mandalay Resort Group (AE) 7 185 Manpower, Inc. 35 1,141 May Department Stores Co. (The) 35 757 McClatchy Co. Class A 30 1,774 McGraw-Hill Cos., Inc. (The) 18 1,057 Media General, Inc. Class A 20 1,121 Men's Wearhouse, Inc. (AE) 39 641 MPS Group, Inc. (AE) 103 693 Navigant International, Inc. (AE) 10 105 Neiman-Marcus Group, Inc. Class A (AE) 26 830 Nordstrom, Inc. 49 844 Nu Skin Enterprises, Inc. 66 592 OfficeMax, Inc. (AE) 77 437 On Assignment, Inc. (AE) 28 136 Outback Steakhouse, Inc. 5 182 Pacific Sunwear Of California (AE) 17 387 Papa John's International, Inc. (AE) 2 50 Park Place Entertainment Corp. (AE) 229 1,705 PEP Boys-Manny Moe & Jack 34 289 Petsmart, Inc. (AE) 96 1,456 Pier 1 Imports, Inc. 61 1,136 Pinnacle Entertainment, Inc. (AE) 13 69 Pittston Brink's Group 39 500 Playtex Products, Inc. (AE) 88 646 Pre-Paid Legal Services, Inc. (AE) 46 1,065
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Prime Hospitality Corp. (AE) 19 125 ProQuest Co. (AE) 44 1,104 Pulitzer, Inc. 17 769 Quiksilver, Inc. (AE) 92 3,014 Radio One, Inc. Class D (AE) 109 1,672 Rare Hospitality International, Inc. (AE) 28 813 Reebok International, Ltd. (AE) 26 811 Regal Entertainment Group Class A 65 1,266 Regis Corp. 28 781 Rent-A-Center, Inc. Class C (AE) 42 2,719 Republic Services, Inc. (AE) 59 1,264 Ross Stores, Inc. 46 1,736 Royal Caribbean Cruises, Ltd. 25 456 Ruby Tuesday, Inc. 4 77 Russ Berrie & Co., Inc. 3 92 Ryan's Family Steak Houses, Inc. (AE) 83 1,028 Saks, Inc. (AE) 118 1,052 Salton, Inc. (AE) 11 146 Scholastic Corp. (AE) 13 358 Scientific Games Corp. Class A (AE) 151 982 SCP Pool Corp. (AE) 67 2,198 Sharper Image Corp. (AE) 9 168 ShopKo Stores, Inc. (AE) 140 1,689 Sinclair Broadcast Group, Inc. Class A (AE) 24 257 Skechers U.S.A., Inc. Class A (AE) 15 100 Snap-On, Inc. Class C 5 156 Sonic Automotive, Inc. (AE) 17 292 Spherion Corp. (AE) 13 55 Stage Stores, Inc. (AE) 20 426 Station Casinos, Inc. (AE) 17 376 Steak N Shake Co. (The) (AE) 9 108 Sylvan Learning Systems, Inc. (AE) 23 396 Take-Two Interactive Softwar (AE) 8 173 TeleTech Holdings, Inc. (AE) 22 90 Tetra Tech, Inc. (AE) 41 634 Tiffany & Co. 19 530 Toro Co. 37 1,373 Tractor Supply Co. (AE) 33 1,402 United Auto Group, Inc. (AE) 31 527 United Natural Foods, Inc. (AE) 16 455 United Online, Inc. (AE) 76 1,707 United Stationers, Inc. (AE) 11 290 Valassis Communications, Inc. (AE) 24 638 VCA Antech, Inc. (AE) 123 2,068 Wallace Computer Services, Inc. 4 91 Washington Post Class B 2 1,750 Waste Connections, Inc. (AE) 20 656 Weight Watchers International, Inc. (AE) 11 517 West Corp. (AE) 37 827
12 Special Growth Fund SPECIAL GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Wireless Facilities, Inc. (AE) 86 600 Wolverine World Wide, Inc. 18 339 Zale Corp. (AE) 12 420 ------------ 122,294 ------------ Consumer Staples - 3.6% 7-Eleven, Inc. Class C (AE) 12 111 American Italian Pasta Co. Class A (AE) 31 1,367 Church & Dwight, Inc. 23 730 Coca-Cola Bottling Co. Consolidated 19 958 Constellation Brands, Inc. Class A (AE) 68 1,828 D&K Healthcare Resources, Inc. 9 112 Dean Foods Co. (AE) 33 1,436 Del Monte Foods Co. (AE) 26 209 Dial Corp. (The) 88 1,839 DIMON, Inc. 17 110 Duane Reade, Inc. (AE) 22 289 Flowers Foods, Inc. 24 668 Fresh Brands, Inc. 58 783 Great Atlantic & Pacific Tea Co. (AE) 25 151 Hain Celestial Group, Inc. (AE) 23 397 Hormel Foods Corp. 34 792 International Multifoods Corp. (AE) 5 92 J&J Snack Foods Corp. (AE) 2 69 JM Smucker Co. (The) 3 112 NBTY, Inc. (AE) 17 270 Pathmark Stores, Inc. (AE) 90 626 Pepsi Bottling Group, Inc. 47 974 PepsiAmericas, Inc. 125 1,561 Performance Food Group Co. (AE) 54 1,905 Ralcorp Holdings, Inc. (AE) 10 256 Ruddick Corp. 10 129 Schweitzer-Mauduit International, Inc. 5 101 Sensient Technologies Corp. 33 720 Smithfield Foods, Inc. (AE) 27 529 Standard Commercial Corp. 2 32 Tootsie Roll Industries, Inc. 15 430 Tyson Foods, Inc. Class A 40 382 Universal Corp.-Va 17 672 Whole Foods Market, Inc. (AE) 9 528 ------------ 21,168 ------------ Financial Services - 21.0% Affiliated Computer Services, Inc. Class A (AE) 24 1,126 AG Edwards, Inc. 19 580 Alfa Corp. 8 98 Alliance Data Systems Corp. (AE) 109 2,288 Allmerica Financial Corp. 83 1,262 AMB Property Corp. (o) 12 330
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- American Financial Group, Inc. 13 291 AMLI Residential Properties (o) 4 93 Annaly Mortgage Management, Inc. (o) 7 133 Anthracite Capital, Inc. (o) 67 789 Associated Banc-Corp 27 955 Astoria Financial Corp. 48 1,191 Bancorp Rhode Island, Inc. 22 472 Bancorpsouth, Inc. 15 304 Bank of Hawaii Corp. 54 1,780 BankAtlantic Bancorp, Inc. Class A 61 705 Banknorth Group, Inc. 50 1,187 Bankunited Financial Corp. Class A (AE) 10 181 Bear Stearns Cos., Inc. (The) 19 1,292 Bedford Property Investors (o) 13 336 BISystem Group, Inc. (The) (AE) 76 1,274 Blackrock, Inc. (AE) 8 355 Boston Properties, Inc. (o) 16 608 Boykin Lodging Co. (o) 8 66 Brandywine Realty Trust (o) 7 156 Capital Automotive REIT (o) 19 494 Capitol Federal Financial 7 215 Capstead Mortgage Corp. (o) 10 107 CarrAmerica Realty Corp. (o) 21 556 Cash America International, Inc. 28 288 CBL & Associates Properties, Inc. (o) 25 1,049 CCC Information Services Group (AE) 4 68 Certegy, Inc. (AE) 28 700 Checkfree Corp. (AE) 37 1,016 Chelsea Property Group, Inc. (o) 5 178 Chittenden Corp. 6 168 City Holding Co. 4 103 City National Corp. 18 720 CNA Surety Corp. 64 587 Colonial BancGroup, Inc. (The) 89 1,129 Commerce Bancshares, Inc. 14 542 Commerce Group, Inc. 10 385 Commercial Federal Corp. 47 1,014 Commercial Net Lease Realty (o) 18 292 Community Bank System, Inc. 37 1,285 CPB, Inc. 4 112 Delphi Financial Group Class A 3 110 Deluxe Corp. 39 1,694 Doral Financial Corp. 50 1,994 Dow Jones & Co., Inc. 22 887 Downey Financial Corp. 18 779 Duke Realty Corp. (o) 37 1,017 E*TRADE Group, Inc. (AE) 50 275 East-West Bancorp, Inc. 16 528 Eastgroup Properties (o) 6 161 eFunds Corp. (AE) 38 344
Special Growth Fund 13 SPECIAL GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Entertainment Properties Trust (o) 11 283 Equity Inns, Inc. (o) 42 283 Equity One, Inc. (o) 5 72 eSpeed, Inc. Class A (AE) 56 736 Factset Research Systems, Inc. 15 519 Fair Isaac Corp. 15 756 Federal Realty Investement Trust (o) 9 280 FelCor Lodging Trust, Inc. (o) 21 150 Fidelity National Financial, Inc. 60 2,050 First American Corp. 140 3,698 First Bancorp Puerto Rico 11 338 First Essex Bancorp, Inc. 36 1,243 First Industrial Realty Trust, Inc. (o) 3 92 First Niagara Financial Group, Inc. 10 115 First Republic Bank (AE) 9 233 First Virginia Banks, Inc. 15 617 FirstFed Financial Corp. (AE) 10 338 Flagstar Bancorp, Inc. 26 854 Fremont General Corp. 60 561 Friedman Billings Ramsey Group, Inc. Class A (o) 87 958 Fulton Financial Corp. 10 205 Gabelli Asset Management, Inc. Class A (AE) 8 241 Gables Residential Trust (o) 24 681 GATX Corp. 15 290 General Growth Properties, Inc. (o) 3 161 Glenborough Realty Trust, Inc. (o) 24 400 Global Payments, Inc. 36 1,107 Great Lakes REIT (o) 3 43 Hancock Holding Co. 1 45 Harbor Florida Bancshares, Inc. 8 218 Harland John H. Co. 4 105 Health Care Property Investors, Inc. (o) 7 246 Health Care REIT, Inc. (o) 17 487 Healthcare Realty Trust, Inc. (o) 14 391 Henry (Jack) & Associates 49 633 Hibernia Corp. Class A 52 948 Hospitality Properties Trust (o) 45 1,282 HRPT Properties Trust (o) 193 1,740 IBERIABANK Corp. 2 100 Imperial Credit Industries 2008 Warrants (Y) -- -- Independence Community Bank 35 923 IndyMac Bancorp, Inc. 39 861 Innkeepers USA Trust (o) 19 145 Interactive Data Corp. (AE) 37 589 Investment Technology Group, Inc. (AE) 44 629 Investors Financial Services Corp. 49 1,069 IPC Holdings, Ltd. 37 1,271 Irwin Financial Corp. 17 401
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- iStar Financial, Inc. (o) 38 1,137 Jefferies Group, Inc. 23 873 Keystone Property Trust (o) 9 148 Kimco Realty Corp. (o) 4 148 Koger Equity, Inc. (o) 20 326 LaBranche & Co., Inc. 44 721 Landamerica Financial Group, Inc. 48 1,971 Legg Mason, Inc. 9 505 LendingTree, Inc. (AE) 22 315 Lexington Corporate Properties Trust (o) 13 217 Local Financial Corp. (AE) 4 57 Mack-Cali Realty Corp. (o) 12 382 MAF Bancorp, Inc. 39 1,323 Markel Corp. (AE) 10 2,424 MFA Mortgage Investments, Inc. (o) 51 479 MGIC Investment Corp. 19 868 Mid Atlantic Realty Trust (o) 5 83 Mid-America Apartment Communities, Inc. (o) 6 157 Mony Group, Inc. 55 1,285 Moody's Corp. 26 1,236 Nationwide Health Properties, Inc. (o) 32 442 NDCHealth Corp. 46 893 New Century Financial Corp. 78 2,884 New Plan Excel Realty Trust (o) 56 1,125 New York Community Bancorp, Inc. 60 2,068 North Fork BanCorp., Inc. 31 987 Novastar Financial, Inc. (o) 3 112 Nuveen Investments, Inc. Class A 23 559 OceanFirst Financial Corp. 4 93 Ohio Casualty Corp. (AE) 7 90 Pacific Northwest Bancorp 5 127 Pan Pacific Retail Properties, Inc. (o) 12 458 Parkway Properties, Inc./Md (o) 4 166 Peoples Bank Bridgeport 3 79 PFF Bancorp, Inc. 8 256 Phoenix Cos., Inc. (The) 40 317 Plum Creek Timber Co., Inc. (REIT) 37 849 PMA Capital Corp. Class A 2 15 Post Properties, Inc. (o) 34 884 Prentiss Properties Trust (o) 9 256 ProAssurance Corp. (AE) 1 23 Protective Life Corp. 36 1,020 Provident Bankshares Corp. 7 185 Provident Financial Group, Inc. 11 265 Providian Financial Corp. (AE) 261 1,922 PS Business Parks, Inc. (o) 3 100 R&G Financial Corp. Class B 13 349 Radian Group, Inc. 42 1,655 Raymond James Financial, Inc. 61 1,736
14 Special Growth Fund SPECIAL GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Realty,, Income Corp. (o) 12 462 Reckson Associates Realty Corp. (o) 6 113 Redwood Trust, Inc. (o) 23 751 RenaissanceRe Holdings, Ltd. 44 1,949 Republic Bancorp, Inc. 7 97 RLI Corp. 9 251 Roslyn Bancorp, Inc. 59 1,117 Ryder System, Inc. 87 2,156 Seacoast Financial Services Corp. 6 113 Selective Insurance Group 4 105 Senior Housing Properties Trust (o) 28 354 Silicon Valley Bancshares (AE) 12 276 South Financial Group, Inc. (The) 10 235 Southwest Bancorp of Texas, Inc. (AE) 17 578 Southwest Bancorp, Inc. 30 722 Sovereign Bancorp, Inc. 75 1,162 Sovran Self Storage, Inc. (o) 36 1,069 Stancorp Financial Group, Inc. 19 1,010 Sterling Bancorp 5 130 Stewart Information Services Corp. (AE) 12 315 Susquehanna Bancshares, Inc. 7 168 SWS Group, Inc. 6 103 TCF Financial Corp. 13 503 Texas Regional Bancshares, Inc. Class A 4 156 Thornburg Mortgage, Inc. (o) 35 791 Trizec Properties, Inc. (o) 20 184 UMB Financial Corp. 7 295 Union Planters Corp. 29 838 Unitrin, Inc. 6 136 Universal Health Realty,, Income (o) 4 110 W Holding Co., Inc. 42 823 Washington Mutual, Inc. 2005 Warrants (AE) 238 33 Webster Financial Corp. 36 1,359 Weingarten Realty Investors (o) 11 438 Whitney Holding Corp. 18 622 Willis Group Holdings, Ltd. 10 306 Wilmington Trust Corp. 4 100 Wintrust Financial Corp. 10 289 WSFS Financial Corp. 3 89 XL Capital, Ltd. Class A 16 1,309 Zions BanCorp. 18 887 ------------ 123,110 ------------ Health Care - 10.2% Advanced Neuromodulation Systems, Inc. (AE) 18 749 AdvancePCS (AE) 28 851 Affymetrix, Inc. (AE) 40 740 Albany Molecular Research, Inc. (AE) 5 62
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Alpharma, Inc. Class A 53 992 American Healthcorp, Inc. 10 237 American Medical Security Group, Inc. (AE) 15 250 American Pharmaceutical Partners, Inc. (AE) 36 846 AMERIGROUP Corp. (AE) 15 437 Amylin Pharmaceuticals, Inc. (AE) 35 668 Applera Corp. - Celera Genomics Group Class R (AE) 124 1,299 Apria Healthcare Group, Inc. (AE) 4 98 Bausch & Lomb, Inc. 25 883 Bio-Rad Laboratories, Inc. Class A (AE) 22 1,014 Biosite, Inc. (AE) 8 354 Bradley Pharmaceuticals (AE) 10 143 Celgene Corp. (AE) 18 482 Cell GeneSystem, Inc. (AE) 22 197 Cell Therapeutics, Inc. (AE) 65 584 Centene Corp. (AE) 6 195 Connetics Corp. (AE) 19 316 Cooper Cos., Inc. 18 497 Corixa Corp. (AE) 30 217 Coventry Health Care, Inc. (AE) 9 384 Curative Health Services, Inc. (AE) 13 160 DaVita, Inc. (AE) 92 1,891 Digene Corp. (AE) 22 424 Diversa Corp. (AE) 8 87 Edwards Lifesciences Corp. (AE) 55 1,597 Eon Labs, Inc. (AE) 28 846 Express Scripts, Inc. (AE) 6 336 First Health Group Corp. (AE) 32 792 Gen-Probe, Inc. (AE) 19 581 Genencor International, Inc. (AE) 33 368 Guilford Pharmaceuticals, Inc. (AE) 18 88 Health Net, Inc. (AE) 29 754 Healthsouth Corp. (AE) 186 27 Henry Schein, Inc. (AE) 10 440 Humana, Inc. (AE) 165 1,821 Idexx Laboratories, Inc. (AE) 43 1,694 Immucor, Inc. (AE) 26 524 Inamed Corp. (AE) 14 515 Invitrogen Corp. (AE) 57 1,861 Kos Pharmaceuticals, Inc. (AE) 10 198 Lincare Holdings, Inc. (AE) 68 2,053 Martek Biosciences Corp. (AE) 49 1,650 Medical Action Industries, Inc. (AE) 43 495 Medicis Pharmaceutical Class A (AE) 12 674 Mid Atlantic Medical Services (AE) 27 1,176 Millennium Pharmaceuticals, Inc. (AE) 48 528 Myriad Genetics, Inc. (AE) 42 495 Nektar Therapeutics (AE) 31 249
Special Growth Fund 15 SPECIAL GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Neurocrine Biosciences, Inc. (AE) 6 276 Noven Pharmaceuticals, Inc. (AE) 13 128 Odyssey HealthCare, Inc. (AE) 20 517 Omnicare, Inc. 113 3,005 Orthologic Corp. (AE) -- 1 Owens & Minor, Inc. 18 339 Pacificare Health Systems (AE) 37 1,181 Parexel International Corp. (AE) 33 425 Patterson Dental Co. (AE) 31 1,233 Perrigo Co. 14 217 Pharmaceutical Product Development, Inc. (AE) 10 264 Pharmaceutical Resources, Inc. (AE) 21 914 Pharmacopeia, Inc. (AE) 78 699 Priority Healthcare Corp. Class B (AE) 32 741 Protein Design Labs, Inc. (AE) 45 446 PSS World Medical, Inc. (AE) 64 382 Quintiles Transnational Corp. (AE) 28 398 Resmed, Inc. (AE) 21 767 Respironics, Inc. (AE) 35 1,345 Sepracor, Inc. (AE) 62 1,191 Serologicals Corp. (AE) 18 170 SICOR, Inc. (AE) 68 1,219 Sola International, Inc. (AE) 8 108 Stericycle, Inc. (AE) 46 1,803 Steris Corp. (AE) 32 715 Sybron Dental Specialties, Inc. (AE) 13 272 Taro Pharmaceuticals Industries (AE) 13 577 Techne Corp. (AE) 41 917 Telik, Inc. (AE) 37 489 Triad Hospitals, Inc. (AE) 52 1,134 United Surgical Partners International, Inc. (AE) 31 570 US Oncology, Inc. (AE) 21 151 Varian Medical Systems, Inc. (AE) 14 759 Varian, Inc. (AE) 5 161 ViaSystem Healthcare, Inc. (AE) 7 105 Visx, Inc. (AE) 27 418 WebMD Corp. (AE) 126 1,216 ------------ 60,072 ------------ Integrated Oils - 0.0% Holly Corp. 1 20 ------------ Materials and Processing - 6.1% Airgas, Inc. (AE) 28 566 Albemarle Corp. 13 356 Amcol International Corp. 5 31 Aptargroup, Inc. 28 957 Arch Chemicals, Inc. 12 258 Ashland, Inc. 44 1,308
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Boise Cascade Corp. 22 496 Cabot Corp. 50 1,405 Cabot Microelectronics Corp. (AE) 5 229 Calgon Carbon Corp. 113 578 Caraustar Industries, Inc. (AE) 5 36 Chesapeake Corp. 21 381 Cleveland-Cliffs, Inc. (AE) 6 106 Corn Products International, Inc. 14 412 Crown Holdings, Inc. (AE) 36 193 Cytec Industries, Inc. (AE) 33 1,040 DHB Industries, Inc. (AE) 23 90 Eastern Co. (The) 47 602 EMCOR Group, Inc. (AE) 18 935 Energizer Holdings, Inc. (AE) 40 1,166 Freeport-McMoRan Copper & Gold, Inc. Class B 15 254 Great Lakes Chemical Corp. 4 103 Greif, Inc. Class A 3 51 Griffon Corp. (AE) 10 142 HB Fuller Co. 11 280 Hughes Supply, Inc. 34 952 IMC Global, Inc. 30 275 Jacobs Engineering Group, Inc. (AE) 20 838 Lafarge North America, Inc. 18 576 Lennox International, Inc. 88 1,303 LNR Property Corp. 39 1,359 Longview Fibre Co. 21 156 Louisiana-Pacific Corp. (AE) 143 1,159 Lubrizol Corp. 26 812 Lyondell Chemical Co. 60 873 MacDermid, Inc. 5 107 Maverick Tube Corp. (AE) 24 434 Minerals Technologies, Inc. 12 540 Myers Industries, Inc. 5 54 Octel Corp. 3 43 Pactiv Corp. (AE) 42 870 PolyOne Corp. 26 118 Potash Corp. of Saskatchewan 11 696 Precision Castparts Corp. 72 1,991 Quanex Corp. 3 86 Quanta Services, Inc. (AE) 69 238 Reliance Steel & Aluminum Co. 5 88 Rogers Corp. (AE) 3 103 Schulman (A.), Inc. 24 398 Scotts Co. (The) Class A (AE) 17 991 Sealed Air Corp. (AE) 33 1,431 SIFCO Industries, Inc. (AE) 153 219 Standard Register Co. (The) 20 349 Steel Dynamics, Inc. (AE) 7 81 Temple-Inland, Inc. 24 1,074 Texas Industries, Inc. 29 572
16 Special Growth Fund SPECIAL GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Timken Co. 32 573 Trex Co., Inc. (AE) 6 246 Unifi, Inc. (AE) 50 299 United States Steel Corp. 178 2,549 Universal Forest Products, Inc. -- 2 USEC, Inc. 73 408 USG Corp. (AE) 50 349 Watsco, Inc. 18 271 Wausau-Mosinee Paper Corp. 10 107 ------------ 35,565 ------------ Miscellaneous - 1.3% Brunswick Corp. 74 1,620 Carlisle Cos., Inc. 25 1,116 GenCorp, Inc. 42 317 Johnson Controls, Inc. 13 1,069 Kaman Corp. Class A 5 47 Lancaster Colony Corp. 6 239 St Joe Co. (The) 35 1,014 Textron, Inc. 26 767 US Industries, Inc. (AE) 110 522 Wesco Financial Corp. 4 1,187 ------------ 7,898 ------------ Other Energy - 4.6% BJ Services Co. (AE) 19 701 Cooper Cameron Corp. (AE) 16 775 Denbury Resources Inc. (AE) 80 850 Devon Energy Corp. 6 276 EOG Resources, Inc. 19 721 Equitable Resources, Inc. 8 288 Evergreen Resources, Inc. (AE) 21 1,008 GlobalSantaFe Corp. 42 898 Grant Prideco, Inc. (AE) 41 468 Houston Exploration Co. (AE) 18 495 Hydril Co. (AE) 19 440 Key Energy Services, Inc. (AE) 83 834 National-Oilwell, Inc. Class C (AE) 28 584 Oceaneering International, Inc. (AE) 4 86 Parker Drilling Co. (AE) 75 148 Patina Oil & Gas Corp. 21 716 Patterson-UTI Energy, Inc. (AE) 27 878 Pioneer Natural Resources Co. (AE) 15 366 Pogo Producing Co. 11 447 Premcor, Inc. (AE) 52 1,157 Reliant Resources, Inc. (AE) 192 1,081 Rowan Cos., Inc. 49 1,005 Smith International, Inc. (AE) 21 743 St Mary Land & Exploration Co. 11 292 Stone Energy Corp. (AE) 25 882 Sunoco, Inc. 62 2,318
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Talisman Energy, Inc. 23 901 TEPPCO Partners L.P. 25 795 Tesoro Petroleum Corp. (AE) 59 460 Tom Brown, Inc. (AE) 9 226 Unit Corp. (AE) 30 590 Universal Compression Holdings, Inc. (AE) 9 156 Varco International, Inc. (AE) 25 431 Veritas DGC, Inc. (AE) 62 427 Vintage Petroleum, Inc. 46 447 Westport Resources Corp. (AE) 75 1,555 XTO Energy, Inc. 125 2,430 ------------ 26,875 ------------ Producer Durables - 5.4% Advanced Energy Industries, Inc. (AE) 57 549 AGCO Corp. (AE) 2 31 Allen Telecom, Inc. (AE) 85 1,153 American Bank Note Holographics, Inc. (AE) 4 4 American Power Conversion (AE) 27 427 Ametek, Inc. 9 347 AO Smith Corp. 16 480 Applied Industrial Technologies, Inc. 7 129 Arris Group, Inc. (AE) 69 267 Baldor Electric Co. 4 96 Briggs & Stratton 26 1,151 Cascade Corp. 1 15 Ceradyne, Inc. (AE) 15 178 CNH Global NV 31 269 Crown Castle International Corp. (AE) 65 411 CTS Corp. 23 191 Curtiss-Wright Corp. 14 862 Cymer, Inc. (AE) 30 868 DR Horton, Inc. 49 1,166 Engineered Support Systems, Inc. 8 262 Entegris, Inc. (AE) 22 248 ESCO Technologies, Inc. (AE) 8 314 Esterline Technologies Corp. (AE) 19 334 FEI Co. (AE) 31 565 Hovnanian Enterprises, Inc. Class A (AE) 7 291 Hubbell, Inc. Class B 15 488 Ingersoll-Rand Co. Class A 21 926 Interdigital Communications Corp. (AE) 12 261 Itron, Inc. (AE) 22 439 Kadant, Inc. (AE) 16 267 Lennar Corp. Class A 22 1,210 Lennar Corp. Class B 2 119 LTX Corp. (AE) 58 392 M/I Schottenstein Homes, Inc. 35 1,179
Special Growth Fund 17 SPECIAL GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- MDC Holdings, Inc. 1 59 Mettler Toledo International, Inc. (AE) 35 1,239 Milacron, Inc. 20 105 Millipore Corp. (AE) 30 1,035 Moog, Inc. Class A (AE) 8 245 MTC Technologies, Inc. (AE) 21 349 Mykrolis Corp. (AE) 19 150 Novellus Systems, Inc. (AE) 9 258 NVR, Inc. (AE) 2 572 Orbital Sciences Corp. (AE) 159 889 Pentair, Inc. 17 667 Photronics, Inc. (AE) 74 931 Plantronics, Inc. (AE) 31 570 Ryland Group, Inc. 44 2,364 Standard-Pacific Corp. 33 986 Steelcase, Inc. Class A 20 190 Tecumseh Products Co. Class A 7 274 Teledyne Technologies, Inc. (AE) 40 560 Toll Brothers, Inc. (AE) 104 2,420 Triumph Group, Inc. (AE) 17 449 United Defense Industries, Inc. (AE) 47 1,145 Veridian Corp. (AE) 15 283 William Lyon Homes, Inc. (AE) 5 135 ------------ 31,764 ------------ Technology - 15.3% 3Com Corp. (AE) 241 1,254 ADC Telecommunications, Inc. (AE) 226 539 Adtran, Inc. (AE) 17 668 Advanced Fibre Communication (AE) 28 422 Agere Systems, Inc. Class B (AE) 336 574 Agile Software Corp. (AE) 22 153 American Management Systems (AE) 9 112 Amkor Technology, Inc. (AE) 107 813 Analogic Corp. 7 344 Anixter International, Inc. (AE) 41 935 AnSystem, Inc. (AE) 11 299 Anteon International Corp. (AE) 34 810 Arbitron, Inc. (AE) 38 1,298 Ariba, Inc. (AE) 90 295 Arrow Electronics, Inc. (AE) 165 2,785 Ascential Software Corp. (AE) 232 891 ASM International NV (AE) 72 981 Autodesk, Inc. 86 1,341 Avaya, Inc. (AE) 197 768 Avid Technology, Inc. (AE) 30 824 Avnet, Inc. (AE) 183 2,338 Avocent Corp. (AE) 55 1,635 Benchmark Electronics, Inc. (AE) 53 1,368 Business Objects SA - ADR (AE) 60 1,308 Checkpoint Systems, Inc. (AE) 9 121
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- ChipPAC, Inc. Class A (AE) 94 510 Citrix Systems, Inc. (AE) 119 2,249 Cognizant Technology Solutions Corp. (AE) 7 117 Cognos, Inc. (AE) 25 668 Coherent, Inc. (AE) 45 1,035 Comverse Technology, Inc. (AE) 78 1,023 Conexant Systems, Inc. (AE) 158 287 Cray, Inc. (AE) 65 488 Cree, Inc. (AE) 57 1,141 CSG Systems International (AE) 17 181 Cypress Semiconductor Corp. (AE) 90 786 Digex, Inc. (AE) 196 76 Documentum, Inc. (AE) 98 1,805 DRS Technologies, Inc. (AE) 27 742 E.piphany, Inc. (AE) 48 214 EDO Corp. 55 1,039 Emulex Corp. (AE) 35 707 Exar Corp. (AE) 63 931 F5 Networks, Inc. (AE) 116 1,592 Fairchild Semiconductor International, Inc. Class A (AE) 51 599 Filenet Corp. (AE) 42 648 Flir Systems, Inc. (AE) 22 1,141 Foundry Networks, Inc. (AE) 96 1,047 Gateway, Inc. (AE) 155 446 Genesis Microchip, Inc. (AE) 64 1,093 GlobespanVirata, Inc. (AE) 71 430 Harris Corp. 54 1,551 Hutchinson Technology, Inc. (AE) 13 300 Hyperion Solutions Corp. (AE) 43 1,205 Ii-Vi, Inc. (AE) 38 737 iManage, Inc. 70 236 Imation Corp. (AE) 49 1,664 Informatica Corp. (AE) 146 951 Ingram Micro, Inc. Class A (AE) 117 1,168 Integrated Circuit Systems, Inc. (AE) 59 1,291 Inter-Tel, Inc. 13 206 Intergraph Corp. (AE) 17 339 Internet Security Systems (AE) 11 147 Iomega Corp. (AE) 17 156 Jabil Circuit, Inc. (AE) 20 380 JD Edwards & Co. (AE) 68 812 Juniper Networks, Inc. (AE) 18 188 Keynote Systems, Inc. (AE) 31 294 L-3 Communications Holdings, Inc. (AE) 13 591 Lattice Semiconductor Corp. (AE) 128 1,111 Lawson Software, Inc. (AE) 69 350 Lexar Media, Inc. (AE) 49 239 Loral Space & Communications (AE) 192 52
18 Special Growth Fund SPECIAL GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- LSI Logic Corp. (AE) 125 670 Macromedia, Inc. (AE) 42 535 Macrovision Corp. (AE) 43 755 Mantech International Corp. Class A (AE) 5 78 Maxtor Corp. (AE) 805 4,426 McData Corp. Class A (AE) 56 597 Mercury Computer Systems, Inc. (AE) 6 134 Mercury Interactive Corp. (AE) 44 1,499 Methode Electronics Class A 17 177 Micrel, Inc. (AE) 52 612 Microchip Technology, Inc. 15 308 Micromuse, Inc. (AE) 81 533 MicroStrategy, Inc. Class A (AE) 36 985 National Instruments Corp. (AE) 36 1,158 NetScreen Technologies, Inc. (AE) 15 294 O2Micro International, Ltd. (AE) 84 976 Oak Technology, Inc. (AE) 164 798 Omnivision Technologies, Inc. (AE) 10 238 Open Text Corp. (AE) 6 172 Optimal Robotics Corp. Class A (AE) 14 92 Pinnacle Systems, Inc. (AE) 26 241 Pioneer Standard Electronics 40 388 PMC - Sierra, Inc. (AE) 70 580 Power Integrations, Inc. (AE) 17 383 Quantum Corp. (AE) 179 619 Quest Software, Inc. (AE) 12 127 Red Hat, Inc. (AE) 120 719 Retek, Inc. (AE) 1 6 Sandisk Corp. (AE) 72 1,745 ScanSoft, Inc. (AE) 32 167 Semtech Corp. (AE) 44 700 Serena Software, Inc. (AE) 35 558 Silicon Laboratories, Inc. (AE) 25 700 Skyworks Solutions, Inc. (AE) 54 289 SonicWALL, Inc. (AE) 20 71 SRA International, Inc. Class A (AE) 13 305 Standard MicroSystems Corp. (AE) 6 78 Storage Technology Corp. (AE) 9 225 Systems & Computer Technology Corp. (AE) 13 92 TIBCO Software, Inc. (AE) 98 481 Trimble Navigation, Ltd. (AE) 35 884 UniSystem Corp. (AE) 77 804 United Industrial Corp. 9 125
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- UNOVA, Inc. (AE) 98 723 Utstarcom, Inc. (AE) 56 1,219 Verity, Inc. (AE) 57 948 Wavecom Sa Class R - ADR (AE) 11 132 webMethods, Inc. (AE) 72 726 Western Digital Corp. (AE) 286 2,671 ------------ 89,582 ------------ Utilities - 2.7% AGL Resources, Inc. 24 625 Alliant Energy Corp. 79 1,380 American States Water Co. 5 116 Avista Corp. 77 906 Cleco Corp. 38 576 CMS Energy Corp. 167 1,037 Empire District Electric Co./The 11 205 Energen Corp. 19 613 Energy East Corp. 54 988 Hawaiian Electric Industries 15 612 IDT Corp. (AE) 45 647 Mediacom Communications Corp. (AE) 40 398 National Fuel Gas Co. 2 38 New Jersey Resources Corp. 7 245 Nextel Partners, Inc. Class A (AE) 36 207 Northeast Utilities 57 847 Northwest Natural Gas Co. 5 116 Northwestern Corp. 29 69 NSTAR 10 449 NUI Corp. -- 4 Oneok, Inc. 63 1,195 Pinnacle West Capital Corp. 20 674 PNM Resources, Inc. 15 340 Puget Energy, Inc. 20 420 Southwest Gas Corp. 7 154 Telephone & Data Systems, Inc. 10 444 UGI Corp. 31 967 Western Gas Resources, Inc. 3 110 WGL Holdings, Inc. 24 656 Wisconsin Energy Corp. 16 419 WPS Resources Corp. 14 544 ------------ 16,001 ------------ TOTAL COMMON STOCKS (cost $508,132) 558,432 ------------
Special Growth Fund 19 SPECIAL GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 5.4% Frank Russell Investment Company Money Market Fund 29,425 29,425 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 2,500 2,496 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $31,921) 31,921 ------------ TOTAL INVESTMENTS - 100.6% (identified cost $540,053) 590,353 OTHER ASSETS AND LIABILITIES NET - (0.6%) (3,739) ------------ NET ASSETS - 100.0% 586,614 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Russell 2000 E-Mini Index expiration date 06/03 (10) 399 24 Russell 2000 Index expiration date 06/03 (127) 25,314 3,109 S&P E-Mini Index expiration date 06/03 (36) 1,649 37 S&P 500 Index expiration date 06/03 (18) 4,122 166 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 3,336 ============
See accompanying notes which are an integral part of the financial statements. 20 Special Growth Fund EQUITY INCOME FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 95.2% Auto and Transportation - 2.0% American Axle & Manufacturing Holdings, Inc. (AE) 1 26 Burlington Northern Santa Fe Corp. 16 458 Cooper Tire & Rubber Co. 4 53 Dana Corp. -- 3 Delphi Corp. 10 87 FedEx Corp. 2 127 Ford Motor Co. 25 262 General Motors Corp. 1 38 Harley-Davidson, Inc. 2 84 Paccar, Inc. 1 53 Skywest, Inc. 5 67 Swift Transportation Co., Inc. (AE) 1 10 Tidewater, Inc. 7 194 Union Pacific Corp. 2 121 ------------ 1,583 ------------ Consumer Discretionary - 10.2% Allied Waste Industries, Inc. (AE) 2 20 AOL Time Warner, Inc. (AE) 14 195 Banta Corp. 1 17 BearingPoint, Inc. (AE) 13 106 Belo Corp. Class A 1 31 Black & Decker Corp. 1 50 Blyth, Inc. 1 35 Carnival Corp. 10 281 Cendant Corp. (AE) 16 230 Clear Channel Communications, Inc. (AE) -- 15 Convergys Corp. (AE) 2 40 Darden Restaurants, Inc. 1 23 Dollar General Corp. 2 27 DoubleClick, Inc. (AE) 1 12 Family Dollar Stores 1 43 Federated Department Stores 11 325 Fisher Scientific International (AE) 2 48 Fox Entertainment Group, Inc. Class A (AE) 1 21 Gemstar-TV Guide International, Inc. (AE) 11 45 Gillette Co. (The) 3 104 Harrah's Entertainment, Inc. (AE) 2 95 Hearst-Argyle Television, Inc. Class C (AE) 1 36 Home Depot, Inc. 31 878 Hughes Electronics Corp. Class H (AE) 11 134 Interpublic Group Cos., Inc. 8 93 JC Penney Co., Inc. Holding Co. 6 101 Jones Apparel Group, Inc. (AE) 2 69
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Kimberly-Clark Corp. 4 214 Knight-Ridder, Inc. 1 88 Liberty Media Corp. Class A (AE) 61 675 Limited Brands 13 195 Liz Claiborne, Inc. -- 8 Mattel, Inc. 6 132 May Department Stores Co. (The) 13 286 McDonald's Corp. 11 190 McGraw-Hill Cos., Inc. (The) 2 140 Media General, Inc. Class A -- 22 Meredith Corp. -- 17 Nordstrom, Inc. 8 139 Office Depot, Inc. (AE) 3 35 Park Place Entertainment Corp. (AE) 4 33 Petsmart, Inc. (AE) 1 14 Pittston Brink's Group -- 6 Ross Stores, Inc. 1 28 Service Corp. International (AE) 25 84 ServiceMaster Co. (The) 7 61 Stanley Works (The) 1 16 Staples, Inc. (AE) 1 25 Talbots, Inc. 1 29 TJX Cos., Inc. 7 128 USA Interactive (AE) 12 361 Valassis Communications, Inc. (AE) 1 18 VF Corp. 2 73 Viacom, Inc. Class B (AE) 8 351 Viad Corp. -- 3 Wallace Computer Services, Inc. 1 17 Walt Disney Co. 25 465 Washington Post Class B -- 51 Waste Management, Inc. 25 535 Whirlpool Corp. -- 8 WPP Group PLC - ADR 11 396 Yum! Brands, Inc. (AE) 1 34 ------------ 7,951 ------------ Consumer Staples - 3.3% Albertson's, Inc. 2 35 Altria Group, Inc. 9 286 Anheuser-Busch Cos., Inc. Class C 2 77 Clorox Co. 1 52 Coca-Cola Enterprises, Inc. -- 8 ConAgra Foods, Inc. 19 392 Constellation Brands, Inc. Class A (AE) 1 22 Del Monte Foods Co. (AE) 20 156 Dial Corp. (The) 5 99 HJ Heinz Co. 9 265 Kellogg Co. 1 42 Kraft Foods, Inc. Class A 7 216 Kroger Co. (AE) 4 62
Equity Income Fund 21 EQUITY INCOME FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Pepsi Bottling Group, Inc. 2 46 PepsiAmericas, Inc. 1 9 PepsiCo, Inc. 2 70 Procter & Gamble Co. 5 422 Sara Lee Corp. 9 154 Supervalu, Inc. 5 86 Tyson Foods, Inc. Class A 1 12 UST, Inc. 1 23 ------------ 2,534 ------------ Financial Services - 32.7% ACE, Ltd. 18 591 Aflac, Inc. 4 144 Alliance Capital Management, LP 3 96 Allstate Corp. (The) 6 216 AMBAC Financial Group, Inc. -- 10 American Express Co. 2 81 American Financial Group, Inc. -- 5 American International Group 14 791 AmSouth Bancorp 3 58 Annaly Mortgage Management, Inc. (o) 1 14 AON Corp. -- 2 Arden Realty, Inc. (o) 2 37 Astoria Financial Corp. -- 10 Automatic Data Processing 8 272 Bank of America Corp. 27 2,027 Bank of New York Co., Inc. (The) 8 213 Bank One Corp. 16 590 Banknorth Group, Inc. 1 26 CarrAmerica Realty Corp. (o) 4 97 Charter One Financial, Inc. 6 166 Chubb Corp. -- 25 Cigna Corp. 3 158 Citigroup, Inc. 65 2,555 CNA Financial Corp. (AE) 1 17 Comerica, Inc. 5 228 Compass Bancshares, Inc. -- 16 Crescent Real Estate Equities Co. (o) -- 5 Dow Jones & Co., Inc. 5 198 DST Systems, Inc. (AE) -- 14 Duke Realty Corp. (o) 4 97 E*TRADE Group, Inc. (AE) 19 105 Endurance Specialty Holdings, Ltd. (AE) 3 83 Equity Office Properties Trust (o) 4 104 Fannie Mae 5 389 Federated Investors, Inc. Class B 2 67 Fidelity National Financial, Inc. 2 52 First Data Corp. 10 400 FirstMerit Corp. -- 2 FleetBoston Financial Corp. 43 1,136
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Franklin Resources, Inc. 8 290 Freddie Mac 14 798 Golden West Financial Corp. 1 69 Goldman Sachs Group, Inc. 7 565 Greenpoint Financial Corp. 1 70 H&R Block, Inc. 11 429 Hartford Financial Services Group, Inc. 2 99 Hibernia Corp. Class A 4 78 Highwoods Properties, Inc. (o) 2 46 HSBC Holdings PLC - ADR 7 366 Hudson United Bancorp -- 8 Independence Community Bank -- 3 iStar Financial, Inc. (o) -- 4 John Hancock Financial Services, Inc. 4 127 JP Morgan Chase & Co. 28 829 Keycorp 6 137 Lehman Brothers Holdings, Inc. 8 507 Liberty Property Trust (o) 1 28 Lincoln National Corp. 7 222 Loews Corp. 3 105 Marsh & McLennan Cos., Inc. 16 753 MBNA Corp. 38 717 Mellon Financial Corp. 19 510 Merrill Lynch & Co., Inc. 20 820 Metlife, Inc. 2 45 Morgan Stanley 17 755 National City Corp. 2 50 National Commerce Financial Corp. 1 19 Nationwide Financial Services 1 22 Northern Trust Corp. 6 200 Old Republic International Corp. 4 126 Platinum Underwriters Holdings, Ltd. 9 243 PNC Financial Services Group, Inc. 9 381 Popular, Inc. -- 4 Progressive Corp. (The) -- 29 Protective Life Corp. 1 20 Prudential Financial, Inc. 1 45 Rouse Co. (The) (o) 2 63 Ryder System, Inc. 1 34 Simon Property Group, Inc. (o) 2 76 SouthTrust Corp. 3 88 St Paul Cos 25 872 Sungard Data Systems, Inc. (AE) 2 43 SunTrust Banks, Inc. 3 179 T Rowe Price Group, Inc. 5 146 TCF Financial Corp. 2 84 Travelers Property Casualty Corp. Class A -- 4 Travelers Property Casualty Corp. Class B 14 234 Trizec Properties, Inc. (o) 3 27
22 Equity Income Fund EQUITY INCOME FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- UnionBanCal Corp. 1 57 UnumProvident Corp. 7 85 US Bancorp 31 696 Vornado Realty Trust (o) -- 6 Wachovia Corp. 18 697 Washington Mutual, Inc. 8 303 Wells Fargo & Co. 21 1,027 WR Berkley Corp. 3 124 XL Capital, Ltd. Class A -- 14 ------------ 25,475 ------------ Health Care - 7.6% Aetna, Inc. 1 48 Baxter International, Inc. 8 193 Biogen, Inc. (AE) 10 365 Boston Scientific Corp. (AE) 4 181 Bristol-Myers Squibb Co. 14 366 Cardinal Health, Inc. 1 60 CuraGen Corp. (AE) 1 3 DaVita, Inc. (AE) -- 8 Forest Laboratories, Inc. (AE) -- 8 Genentech, Inc. (AE) 1 36 Genzyme Corp.-General Division (AE) 11 427 Guidant Corp. 21 824 HCA, Inc. 9 299 Humana, Inc. (AE) 2 20 King Pharmaceuticals, Inc. (AE) 2 23 McKesson Corp. 1 36 Medimmune, Inc. (AE) -- 5 Merck & Co., Inc. 7 429 Mid Atlantic Medical Services (AE) -- 7 Novartis AG - ADR 8 320 Pfizer, Inc. 16 492 Quintiles Transnational Corp. (AE) -- 4 Renal Care Group, Inc. (AE) -- 4 Schering-Plough Corp. 11 192 Steris Corp. (AE) -- 2 Tenet Healthcare Corp. (AE) 21 310 UnitedHealth Group, Inc. -- 3 WellPoint Health Networks (AE) 7 560 Wyeth 17 720 ------------ 5,945 ------------ Integrated Oils - 6.5% Amerada Hess Corp. 3 146 BP PLC - ADR 11 427 ChevronTexaco Corp. 23 1,453 ConocoPhillips 17 837 Exxon Mobil Corp. 44 1,567 Kerr-McGee Corp. 5 219
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Marathon Oil Corp. 8 179 Occidental Petroleum Corp. 7 212 ------------ 5,040 ------------ Materials and Processing - 7.9% Alcoa, Inc. 17 385 Allegheny Technologies, Inc. 2 7 Ashland, Inc. 6 175 Ball Corp. 2 107 Bemis Co. 2 71 Boise Cascade Corp. 8 179 Bowater, Inc. 5 175 Dow Chemical Co. (The) 33 1,082 Du Pont EI de Nemours & Co. 12 513 Eastman Chemical Co. 4 109 Engelhard Corp. 2 53 Fluor Corp. 2 69 Forest City Enterprises, Inc. Class A -- 6 Glatfelter -- 4 Imperial Chemical Industries PLC - ADR 14 120 International Paper Co. 19 682 Lafarge North America, Inc. 2 72 Louisiana-Pacific Corp. (AE) 2 18 Lubrizol Corp. 1 42 Lyondell Chemical Co. 3 42 MeadWestvaco Corp. 8 182 Monsanto Co. 17 300 Nucor Corp. 4 143 Owens-Illinois, Inc. (AE) 1 6 Pactiv Corp. (AE) 6 121 PPG Industries, Inc. 1 46 Precision Castparts Corp. 2 64 Rayonier, Inc. 1 33 Rohm & Haas Co. 6 205 RPM International, Inc. 2 26 Scotts Co. (The) Class A (AE) 1 54 Sherwin-Williams Co. (The) 5 137 Sonoco Products Co. 2 42 Timken Co. 2 30 Vulcan Materials Co. 4 140 Washington Group International, Inc. 2003 Warrants (AE) -- 2 Weyerhaeuser Co. Series O 14 698 York International Corp. 2 46 ------------ 6,186 ------------ Miscellaneous - 3.7% 3M Co. 1 90 Berkshire Hathaway, Inc. Class B (AE) -- 443
Equity Income Fund 23 EQUITY INCOME FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Carlisle Cos., Inc. 2 94 Eaton Corp. 2 143 Fortune Brands, Inc. 2 106 General Electric Co. 3 87 Georgia-Pacific Corp. 13 198 Honeywell International, Inc. 22 528 ITT Industries, Inc. 3 155 St Joe Co. (The) 1 25 Textron, Inc. 6 182 Tyco International, Ltd. 51 791 ------------ 2,842 ------------ Other Energy - 2.0% Anadarko Petroleum Corp. 11 479 Apache Corp. -- 17 Baker Hughes, Inc. -- 14 Calpine Corp. (AE) 19 101 Devon Energy Corp. -- -- EL Paso Corp. 16 117 Halliburton Co. 1 30 Peabody Energy Corp. 1 14 Reliant Resources, Inc. (AE) 2 10 Schlumberger, Ltd. 9 385 Transocean, Inc. -- 2 Williams Cos., Inc. 43 299 XTO Energy, Inc. 3 51 ------------ 1,519 ------------ Producer Durables - 6.3% AGCO Corp. (AE) -- 3 Agilent Technologies, Inc. (AE) 8 120 American Power Conversion (AE) 3 50 Boeing Co. (The) 8 223 Clayton Homes, Inc. 20 251 Cooper Industries, Ltd. Class A 4 137 Cummins, Inc. 5 130 Deere & Co. 11 473 Diebold, Inc. 2 96 Emerson Electric Co. -- 19 Goodrich Corp. 17 235 Hubbell, Inc. Class B -- 9 Ingersoll-Rand Co. Class A 3 145 Koninklijke Philips Electronics NV 9 163 Lexmark International, Inc. (AE) 1 61 Lockheed Martin Corp. 8 380 Molex, Inc. Class A 1 10 Nordson Corp. -- 10 Northrop Grumman Corp. 11 963 NVR, Inc. (AE) -- 36 Pall Corp. 7 144 Parker Hannifin Corp. 3 134
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Pentair, Inc. 2 62 Rockwell Collins, Inc. 12 255 Tektronix, Inc. (AE) 4 66 United Technologies Corp. 12 762 ------------ 4,937 ------------ Technology - 4.2% 3Com Corp. (AE) 12 62 Acxiom Corp. (AE) 1 10 Adtran, Inc. (AE) -- 3 Agere Systems, Inc. Class A (AE) 75 135 Altera Corp. (AE) 3 49 Amdocs, Ltd. (AE) 8 141 Avnet, Inc. (AE) -- 4 BMC Software, Inc. (AE) 8 122 Cisco Systems, Inc. (AE) 8 117 Computer Associates International, Inc. 15 239 Compuware Corp. (AE) 4 18 Comverse Technology, Inc. (AE) 3 37 EMC Corp. (AE) 20 179 General Dynamics Corp. 3 199 Harris Corp. 3 78 Hewlett-Packard Co. 28 449 Ingram Micro, Inc. Class A (AE) 3 31 Intel Corp. 2 37 International Business Machines Corp. 10 825 Intuit, Inc. (AE) -- 14 Jabil Circuit, Inc. (AE) 1 26 Maxim Integrated Products -- 9 Motorola, Inc. 17 136 Oracle Corp. (AE) 1 7 PanAmSat Corp. (AE) 1 25 PerkinElmer, Inc. 5 50 Raytheon Co. 5 145 Retek, Inc. (AE) 1 6 Rockwell Automation, Inc. -- 4 Scientific-Atlanta, Inc. Class C 1 17 Siebel Systems, Inc. (AE) -- 4 Solectron Corp. (AE) 3 8 Storage Technology Corp. (AE) 2 62 Sun MicroSystems, Inc. (AE) 2 6 Sybase, Inc. (AE) 1 8 Tellabs, Inc. (AE) -- 2 Texas Instruments, Inc. 1 27 Utstarcom, Inc. (AE) -- 7 Vishay Intertechnology, Inc. (AE) -- 4 ------------ 3,302 ------------ Utilities - 8.8% Allegheny Energy, Inc. 20 164 Alltel Corp. 7 309
24 Equity Income Fund EQUITY INCOME FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- American Electric Power Co., Inc. 7 195 Aquila, Inc. 1 3 AT&T Corp. 9 149 AT&T Wireless Services, Inc. (AE) 8 52 BellSouth Corp. 23 575 Centerpoint Energy, Inc. 1 6 Cinergy Corp. -- 3 Comcast Corp. Class A (AE) 23 718 Constellation Energy Group, Inc. 2 48 COX Communications, Inc. Class A (AE) 4 127 Dominion Resources, Inc. 2 119 DPL, Inc. 3 35 DTE Energy Co. 1 34 Duke Energy Corp. 4 64 Edison International (AE) 24 350 Entergy Corp. 4 207 Exelon Corp. 4 206 FirstEnergy Corp. 2 69 FPL Group, Inc. 1 76 KeySpan Corp. 1 50 Nicor, Inc. -- 9 NiSource, Inc. 6 104 NSTAR -- 10 Pepco Holdings, Inc. 8 142 PG&E Corp. (AE) 20 306 Pinnacle West Capital Corp. 5 156 PNM Resources, Inc. 1 21 Progress Energy, Inc. - CVO (AE) (Y) 1 -- Public Service Enterprise Group, Inc. -- 13 Qwest Communications International 1 5 SBC Communications, Inc. 52 1,226 Sempra Energy 3 93 Southern Co. (The) 4 118 Sprint Corp. - FON Group 12 143 Verizon Communications, Inc. 25 945 Wisconsin Energy Corp. 1 15 ------------ 6,865 ------------ TOTAL COMMON STOCKS (cost $74,731) 74,179 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 5.2% Frank Russell Investment Company Money Market Fund 3,631 3,631 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 450 449 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $4,080) 4,080 ------------ TOTAL INVESTMENTS - 100.4% (identified cost $78,811) 78,259 OTHER ASSETS AND LIABILITIES NET - (0.4%) (274) ------------ NET ASSETS - 100.0% 77,985 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions S&P Barra Value Index expiration date 06/03 (14) 1,542 143 S&P E-Mini Index expiration date 06/03 (8) 366 17 S&P 500 Index expiration date 06/03 (9) 2,061 143 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 303 ============
See accompanying notes which are an integral part of the financial statements. Equity Income Fund 25 QUANTITATIVE EQUITY FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 96.2% Auto and Transportation - 1.7% American Axle & Manufacturing Holdings, Inc. (AE) 43 1,064 Autoliv, Inc. 51 1,249 Burlington Northern Santa Fe Corp. 84 2,363 CH Robinson Worldwide, Inc. 29 1,071 Cooper Tire & Rubber Co. 36 502 CSX Corp. 10 304 Dana Corp. 32 298 Delphi Corp. 150 1,257 FedEx Corp. 54 3,223 General Motors Corp. 18 660 Goodyear Tire & Rubber Co. (The) 107 611 Harley-Davidson, Inc. 72 3,182 JB Hunt Transport Services, Inc. (AE) 14 487 Lear Corp. (AE) 21 850 Norfolk Southern Corp. 6 123 Paccar, Inc. 12 715 Skywest, Inc. 33 426 Swift Transportation Co., Inc. (AE) 4 69 Tidewater, Inc. 2 52 Union Pacific Corp. 7 440 United Parcel Service, Inc. Class B 45 2,814 Visteon Corp. 40 280 Werner Enterprises, Inc. 2 40 ------------ 22,080 ------------ Consumer Discretionary - 15.1% Abercrombie & Fitch Co. Class A (AE) 55 1,792 Activision, Inc. (AE) 79 1,215 AOL Time Warner, Inc. (AE) 149 2,040 Apollo Group, Inc. Class A (AE) 18 959 Autonation, Inc. (AE) 15 208 Banta Corp. 9 288 BearingPoint, Inc. (AE) 13 109 Bed Bath & Beyond, Inc. (AE) 9 360 Best Buy Co., Inc. (AE) 21 723 Black & Decker Corp. 4 144 Blyth, Inc. 20 529 Callaway Golf Co. 28 384 Career Education Corp. (AE) 21 1,269 Carnival Corp. 36 996 CBRL Group, Inc. 9 300 Cendant Corp. (AE) 26 367 Chico's FAS, Inc. (AE) 34 828 Cintas Corp. 6 212 Claire's Stores, Inc. 16 421 Clear Channel Communications, Inc. (AE) 53 2,061 Coach, Inc. (AE) 48 2,088
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Columbia Sportswear Co. (AE) 5 259 Convergys Corp. (AE) 25 400 Darden Restaurants, Inc. 64 1,126 Dillard's, Inc. Class A 26 369 Dollar General Corp. 74 1,079 Eastman Kodak Co. 119 3,565 eBay, Inc. (AE) 19 1,790 Electronic Arts, Inc. (AE) 56 3,337 Expedia, Inc. (AE) 20 1,165 Family Dollar Stores 199 6,790 Federated Department Stores 119 3,650 Fisher Scientific International (AE) 17 502 Fox Entertainment Group, Inc. Class A (AE) 155 3,925 Gannett Co., Inc. 3 227 Gap, Inc. (The) 197 3,269 Gemstar-TV Guide International, Inc. (AE) 86 346 Gillette Co. (The) 105 3,182 Harrah's Entertainment, Inc. (AE) 34 1,330 Harte-Hanks, Inc. Class C 11 203 Hearst-Argyle Television, Inc. Class C (AE) 10 252 Hollywood Entertainment Corp. (AE) 18 312 Home Depot, Inc. 773 21,735 Hughes Electronics Corp. Class H (AE) 125 1,474 ITT Educational Services, Inc. (AE) 13 381 JC Penney Co., Inc. Holding Co. 140 2,385 Jones Apparel Group, Inc. (AE) 175 4,992 Kimberly-Clark Corp. 51 2,548 Kohl's Corp. (AE) 96 5,441 Landry's Restaurants, Inc. 10 178 Liberty Media Corp. Class A (AE) 218 2,395 Lowe's Cos., Inc. 166 7,280 Manpower, Inc. 22 730 Mattel, Inc. 293 6,375 May Department Stores Co. (The) 117 2,524 McDonald's Corp. 129 2,209 McGraw-Hill Cos., Inc. (The) 63 3,667 Media General, Inc. Class A 3 144 Nike, Inc. Class B 31 1,633 Office Depot, Inc. (AE) 69 878 Pacific Sunwear Of California (AE) 36 832 Panera Bread Co. Class A (AE) 2 61 Petsmart, Inc. (AE) 52 790 PF Chang's China Bistro, Inc. (AE) 19 813 Pier 1 Imports, Inc. 23 427 Pittston Brink's Group 5 62 Quiksilver, Inc. (AE) 11 352 RadioShack Corp. 74 1,744 Rent-A-Center, Inc. Class C (AE) 16 1,034
26 Quantitative Equity Fund QUANTITATIVE EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Ross Stores, Inc. 57 2,159 ServiceMaster Co. (The) 64 579 Staples, Inc. (AE) 143 2,714 Starwood Hotels & Resorts Worldwide, Inc. 37 993 Take-Two Interactive Software (AE) 29 657 Talbots, Inc. 50 1,432 Target Corp. 55 1,849 TJX Cos., Inc. 26 505 Toro Co. 22 821 Toys R US, Inc. (AE) 80 820 Tribune Co. 37 1,807 University of Phoenix Online (AE) 20 870 Valassis Communications, Inc. (AE) 2 40 Viacom, Inc. Class B (AE) 514 22,322 Viad Corp. 5 108 Wal-Mart Stores, Inc. 269 15,145 Walt Disney Co. 341 6,371 Washington Post Class B 2 1,198 Waste Connections, Inc. (AE) 14 461 Waste Management, Inc. 49 1,069 Wendy's International, Inc. 14 398 Yum! Brands, Inc. (AE) 67 1,650 ------------ 191,423 ------------ Consumer Staples - 8.2% Albertson's, Inc. 147 2,915 Altria Group, Inc. 354 10,892 Anheuser-Busch Cos., Inc. Class C 40 2,020 Clorox Co. 94 4,260 Coca-Cola Co. (The) 215 8,670 Coca-Cola Enterprises, Inc. 128 2,497 ConAgra Foods, Inc. 415 8,718 Constellation Brands, Inc. Class A (AE) 5 121 Coors (Adolph) Class B 23 1,226 CVS Corp. 128 3,109 Dial Corp. (The) 60 1,259 General Mills, Inc. 40 1,791 HJ Heinz Co. 48 1,446 Kellogg Co. 2 49 Kraft Foods, Inc. Class A 47 1,437 Kroger Co. (AE) 38 536 Pepsi Bottling Group, Inc. 49 1,011 PepsiCo, Inc. 324 14,007 Procter & Gamble Co. 324 29,136 RJ Reynolds Tobacco Holdings, Inc. 56 1,569 Sara Lee Corp. 182 3,052 Sensient Technologies Corp. 1 29 Supervalu, Inc. 156 2,565 Systemco Corp. 26 750
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Tyson Foods, Inc. Class A 68 650 Walgreen Co. 6 179 ------------ 103,894 ------------ Financial Services - 20.3% ACE, Ltd. 21 681 Affiliated Computer Services, Inc. Class A (AE) 40 1,894 Allmerica Financial Corp. 14 211 Allstate Corp. (The) 39 1,484 AMBAC Financial Group, Inc. 47 2,760 American Express Co. 6 213 American International Group 108 6,260 Annaly Mortgage Management, Inc. (o) 12 232 AON Corp. 56 1,241 Archstone-Smith Trust (o) 1 18 Arden Realty, Inc. (o) 3 69 Astoria Financial Corp. 11 265 Bank of America Corp. 300 22,219 Bank One Corp. 49 1,770 Bear Stearns Cos., Inc. (The) 42 2,820 Boston Properties, Inc. (o) 16 631 Capital One Financial Corp. 122 5,108 CarrAmerica Realty Corp. (o) 13 350 Cigna Corp. 74 3,863 Cincinnati Financial Corp. 13 494 CIT Group, Inc. 47 949 Citigroup, Inc. 716 28,085 Commerce Bancorp, Inc. 43 1,757 Compass Bancshares, Inc. 1 34 Concord EFS, Inc. (AE) 15 210 Countrywide Financial Corp. 127 8,572 Developers Diversified Realty Corp. (o) 10 239 DST Systems, Inc. (AE) 3 84 E*TRADE Group, Inc. (AE) 107 589 Everest Re Group, Ltd. 7 477 Fannie Mae 211 15,309 Federated Investors, Inc. Class B 48 1,304 Fidelity National Financial, Inc. 97 3,348 First Data Corp. 129 5,065 First Tennessee National Corp. 61 2,659 FirstMerit Corp. 5 105 Fiserv, Inc. (AE) 41 1,207 FleetBoston Financial Corp. 197 5,223 Freddie Mac 162 9,371 Golden West Financial Corp. -- 8 Goldman Sachs Group, Inc. 32 2,452 Greater Bay Bancorp 17 274 Greenpoint Financial Corp. 32 1,541 H&R Block, Inc. 52 2,016 Hartford Financial Services Group, Inc. 94 3,811
Quantitative Equity Fund 27 QUANTITATIVE EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Hibernia Corp. Class A 23 408 Highwoods Properties, Inc. (o) 5 91 HRPT Properties Trust (o) 10 90 John Hancock Financial Services, Inc. 96 2,773 JP Morgan Chase & Co. 297 8,709 Keycorp 48 1,150 Landamerica Financial Group, Inc. 5 205 Liberty Property Trust (o) 1 28 Loews Corp. 27 1,094 Marsh & McLennan Cos., Inc. 37 1,760 Marshall & Ilsley Corp. 21 627 MBIA, Inc. 36 1,614 MBNA Corp. 43 808 Mellon Financial Corp. 55 1,449 Merrill Lynch & Co., Inc. 68 2,782 Metlife, Inc. 94 2,696 Morgan Stanley 392 17,522 National City Corp. 35 1,040 National Commerce Financial Corp. 46 934 New York Community Bancorp, Inc. 34 1,177 North Fork BanCorp., Inc. 4 129 Old Republic International Corp. 38 1,149 PNC Financial Services Group, Inc. 18 811 Post Properties, Inc. (o) 11 270 Progressive Corp. (The) 22 1,523 Protective Life Corp. 31 882 Rouse Co. (The) (o) 11 368 Ryder System, Inc. 1 29 SouthTrust Corp. 112 3,019 Sungard Data Systems, Inc. (AE) 181 3,895 SunTrust Banks, Inc. 19 1,093 Synovus Financial Corp. 58 1,135 Torchmark Corp. 23 872 Travelers Property Casualty Corp. Class A 144 2,334 Travelers Property Casualty Corp. Class B 44 717 UnumProvident Corp. 61 705 US Bancorp 524 11,600 Wachovia Corp. 164 6,269 Washington Mutual, Inc. 281 11,093 Wells Fargo & Co. 281 13,554 WR Berkley Corp. 42 1,965 ------------ 257,641 ------------ Health Care - 14.9% Abbott Laboratories 81 3,303 Aetna, Inc. 26 1,280 AmerisourceBergen Corp. 34 1,964 Amgen, Inc. (AE) 155 9,483 Anthem, Inc. (AE) 43 2,979
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Barr Laboratories, Inc. (AE) 3 142 Baxter International, Inc. 13 297 Beckman Coulter, Inc. 8 307 Becton Dickinson & Co. 33 1,162 Biogen, Inc. (AE) 16 623 Boston Scientific Corp. (AE) 71 3,069 Bristol-Myers Squibb Co. 273 6,962 Cardinal Health, Inc. 200 11,048 Caremark Rx, Inc. (AE) 10 191 Cephalon, Inc. (AE) 19 792 Chiron Corp. (AE) 24 988 Community Health Systems, Inc. (AE) 1 13 Coventry Health Care, Inc. (AE) 4 151 DaVita, Inc. (AE) 18 367 Dentsply International, Inc. 13 468 Eli Lilly & Co. 28 1,781 First Health Group Corp. (AE) 9 215 Forest Laboratories, Inc. (AE) 71 3,681 Genentech, Inc. (AE) 30 1,132 Gilead Sciences, Inc. (AE) 55 2,516 Guidant Corp. 275 10,726 HCA, Inc. 18 565 Health Management Associates, Inc. Class A 35 602 Healthsouth Corp. (AE) 11 2 ICN Pharmaceuticals, Inc. 23 200 Johnson & Johnson 196 11,050 King Pharmaceuticals, Inc. (AE) 31 387 McKesson Corp. 77 2,146 Medimmune, Inc. (AE) 44 1,561 Medtronic, Inc. 57 2,697 Merck & Co., Inc. 400 23,258 Mid Atlantic Medical Services (AE) 19 827 Mylan Laboratories 39 1,114 Odyssey HealthCare, Inc. (AE) 9 225 Omnicare, Inc. 1 13 Oxford Health Plans (AE) 15 450 Pfizer, Inc. 1,187 36,500 Pharmaceutical Product Development, Inc. (AE) 14 371 Pharmaceutical Resources, Inc. (AE) 11 475 Quest Diagnostics (AE) 1 48 Quintiles Transnational Corp. (AE) 5 72 Renal Care Group, Inc. (AE) 9 306 Schering-Plough Corp. 107 1,933 SICOR, Inc. (AE) 6 100 St Jude Medical, Inc. (AE) 113 5,948 Stericycle, Inc. (AE) 8 318 Steris Corp. (AE) 82 1,871 Stryker Corp. 14 965 Tenet Healthcare Corp. (AE) 56 830
28 Quantitative Equity Fund QUANTITATIVE EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Triad Hospitals, Inc. (AE) 16 359 UnitedHealth Group, Inc. 76 7,046 Universal Health Services, Inc. Class B (AE) 5 182 WebMD Corp. (AE) 142 1,372 WellPoint Health Networks (AE) 38 2,908 Wyeth 359 15,612 Zimmer Holdings, Inc. (AE) 40 1,895 ------------ 189,848 ------------ Integrated Oils - 4.9% Amerada Hess Corp. 44 1,964 ChevronTexaco Corp. 89 5,578 ConocoPhillips 121 6,066 Exxon Mobil Corp. 829 29,164 Marathon Oil Corp. 401 9,129 Occidental Petroleum Corp. 323 9,635 Unocal Corp. 8 224 ------------ 61,760 ------------ Materials and Processing - 2.5% Air Products & Chemicals, Inc. 33 1,404 Albany International Corp. Class A 6 135 Alcoa, Inc. 95 2,181 Aptargroup, Inc. 4 145 Archer-Daniels-Midland Co. 130 1,439 Ashland, Inc. 9 261 Ball Corp. 41 2,308 Bowater, Inc. 14 541 Dow Chemical Co. (The) 17 568 Du Pont EI de Nemours & Co. 15 638 Eastman Chemical Co. 23 702 Ecolab, Inc. 35 1,768 Energizer Holdings, Inc. (AE) 29 821 Fluor Corp. 1 31 Freeport-McMoRan Copper & Gold, Inc. Class B 43 744 Lafarge North America, Inc. 10 310 Masco Corp. 44 917 MeadWestvaco Corp. 20 477 Monsanto Co. 223 3,878 Pactiv Corp. (AE) 172 3,529 PPG Industries, Inc. 9 446 Praxair, Inc. 14 802 Precision Castparts Corp. 43 1,177 Scotts Co. (The) Class A (AE) 4 237 Sealed Air Corp. (AE) 18 754 Sherwin-Williams Co. (The) 128 3,557 Sigma-Aldrich Corp. 1 53 Smurfit-Stone Container Corp. (AE) 7 93 Temple-Inland, Inc. 12 553
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- United States Steel Corp. 25 361 York International Corp. 13 310 ------------ 31,140 ------------ Miscellaneous - 5.4% 3M Co. 26 3,219 Brunswick Corp. 11 244 Carlisle Cos., Inc. 12 543 Eaton Corp. 3 254 Fortune Brands, Inc. 97 4,704 General Electric Co. 1,703 50,164 Georgia-Pacific Corp. 26 395 Honeywell International, Inc. 57 1,350 ITT Industries, Inc. 49 2,834 Johnson Controls, Inc. 7 535 SPX Corp. (AE) 2 81 St Joe Co. (The) 6 167 Textron, Inc. 20 593 Tyco International, Ltd. 202 3,154 ------------ 68,237 ------------ Other Energy - 1.4% Anadarko Petroleum Corp. 140 6,207 Baker Hughes, Inc. 75 2,091 Burlington Resources, Inc. 21 973 Cooper Cameron Corp. (AE) 36 1,709 Devon Energy Corp. 34 1,602 Diamond Offshore Drilling 6 116 Dynegy, Inc. Class A 82 361 EL Paso Corp. 38 281 Halliburton Co. 115 2,453 Pogo Producing Co. 7 285 Reliant Resources, Inc. (AE) 37 207 Rowan Cos., Inc. 42 855 Transocean, Inc. 18 351 Valero Energy Corp. 7 246 ------------ 17,737 ------------ Producer Durables - 2.4% Applied Materials, Inc. (AE) 70 1,022 Boeing Co. (The) 214 5,824 Cooper Industries, Ltd. Class A 3 93 Deere & Co. 1 62 DR Horton, Inc. 127 3,013 Engineered Support Systems, Inc. 2 80 Goodrich Corp. 57 798 Hovnanian Enterprises, Inc. Class A (AE) 21 840 Ingersoll-Rand Co. Class A 27 1,186 Lexmark International, Inc. (AE) 87 6,493 Lockheed Martin Corp. 39 1,932
Quantitative Equity Fund 29 QUANTITATIVE EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Northrop Grumman Corp. 14 1,249 NVR, Inc. (AE) 6 2,114 Pentair, Inc. 7 272 Pitney Bowes, Inc. 8 274 Rockwell Collins, Inc. 4 86 Steelcase, Inc. Class A 8 79 Tektronix, Inc. (AE) 5 101 Teradyne, Inc. (AE) -- 5 Toll Brothers, Inc. (AE) 50 1,153 United Defense Industries, Inc. (AE) 2 54 United Technologies Corp. 47 2,874 WW Grainger, Inc. 4 180 Xerox Corp. (AE) 120 1,181 ------------ 30,965 ------------ Technology - 13.2% 3Com Corp. (AE) 46 238 Acxiom Corp. (AE) 55 773 ADC Telecommunications, Inc. (AE) 163 389 Advanced Micro Devices, Inc. (AE) 113 840 Altera Corp. (AE) 224 3,547 Amkor Technology, Inc. (AE) 28 213 Analog Devices, Inc. (AE) 23 749 Applera Corp. - Applied BioSystems Group Class P 81 1,420 Applied Micro Circuits Corp. (AE) 35 155 Avnet, Inc. (AE) 12 157 BMC Software, Inc. (AE) 197 2,934 Broadcom Corp. Class A (AE) 50 887 Cisco Systems, Inc. (AE) 822 12,357 Citrix Systems, Inc. (AE) 33 622 Computer Associates International, Inc. 53 859 Computer Sciences Corp. (AE) 44 1,433 Compuware Corp. (AE) 117 511 Comverse Technology, Inc. (AE) 29 382 Conexant Systems, Inc. (AE) 36 66 Dell Computer Corp. (AE) 109 3,157 EMC Corp. (AE) 1,045 9,500 Gateway, Inc. (AE) 29 84 Harris Corp. 51 1,445 Hewlett-Packard Co. 490 7,981 Ingram Micro, Inc. Class A (AE) 152 1,522 Intel Corp. 1,102 20,274 International Business Machines Corp. 140 11,861 Intersil Corp. Class A (AE) 14 265 Intuit, Inc. (AE) 61 2,365 Jabil Circuit, Inc. (AE) 55 1,033 Juniper Networks, Inc. (AE) 35 355 L-3 Communications Holdings, Inc. (AE) 65 2,877 Lucent Technologies, Inc. (AE) 765 1,377
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Maxim Integrated Products 39 1,546 Micron Technology, Inc. (AE) 67 571 Microsoft Corp. 1,508 38,571 Motorola, Inc. 294 2,322 NCR Corp. (AE) 29 636 Oracle Corp. (AE) 531 6,307 QLogic Corp. (AE) 9 396 Qualcomm, Inc. 259 8,263 Raytheon Co. 53 1,571 Rockwell Automation, Inc. 45 1,021 Sandisk Corp. (AE) 11 259 Siebel Systems, Inc. (AE) 67 582 Storage Technology Corp. (AE) 139 3,430 Sybase, Inc. (AE) 31 392 SYKES Enterprises, Inc. (AE) 9 40 Symantec Corp. (AE) 35 1,525 Texas Instruments, Inc. 337 6,232 UniSystem Corp. (AE) 16 164 Utstarcom, Inc. (AE) 29 638 VeriSign, Inc. (AE) 34 424 Western Digital Corp. (AE) 2 14 Xilinx, Inc. (AE) 24 642 ------------ 168,174 ------------ Utilities - 6.2% Alltel Corp. 64 3,012 American Electric Power Co., Inc. 42 1,113 AT&T Corp. 177 3,014 AT&T Wireless Services, Inc. (AE) 235 1,519 BellSouth Corp. 60 1,530 Centerpoint Energy, Inc. 111 875 Comcast Corp. Class A (AE) 44 1,391 Comcast Corp. Class A (AE) 74 2,233 Constellation Energy Group, Inc. 2 70 COX Communications, Inc. Class A (AE) 85 2,809 Dominion Resources, Inc. -- 24 DTE Energy Co. 27 1,081 Duke Energy Corp. 115 2,021 Edison International (AE) 107 1,560 Energen Corp. 8 253 Entergy Corp. 71 3,319 Exelon Corp. 48 2,532 FirstEnergy Corp. 4 132 Great Plains Energy, Inc. 8 209 Kinder Morgan, Inc. 8 383 National Fuel Gas Co. 7 157 Nextel Communications, Inc. Class A (AE) 289 4,277 Nicor, Inc. 1 43 NiSource, Inc. 58 1,104
30 Quantitative Equity Fund QUANTITATIVE EQUITY FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Northeast Utilities 17 249 Pepco Holdings, Inc. 49 845 PG&E Corp. (AE) 131 1,955 Pinnacle West Capital Corp. 74 2,457 Progress Energy, Inc. 7 272 Qwest Communications International 44 166 SBC Communications, Inc. 334 7,800 Sempra Energy 36 977 Sprint Corp.-FON Group 543 6,251 Sprint Corp.-PCS Group (AE) 72 252 TECO Energy, Inc. 9 98 Verizon Communications, Inc. 581 21,731 Xcel Energy, Inc. 125 1,687 ------------ 79,401 ------------ TOTAL COMMON STOCKS (cost $1,150,528) 1,222,300 ------------ SHORT-TERM INVESTMENTS - 4.0% Frank Russell Investment Company Money Market Fund 46,155 46,155 United States Treasury Bill (c)(y)(s) 1.090% due 06/19/03 2,000 1,997 1.130% due 06/19/03 3,000 2,995 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $51,147) 51,147 ------------ TOTAL INVESTMENTS - 100.2% (identified cost $1,201,675) 1,273,447 OTHER ASSETS AND LIABILITIES NET - (0.2%) (2,490) ------------ NET ASSETS - 100.0% 1,270,957 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Russell 1000 Index expiration date 06/03 (48) 6,799 534 S&P E-Mini Index expiration date 06/03 (301) 13,787 420 S&P Midcap 400 Index expiration date 06/03 (98) 21,499 1,448 S&P 500 Index expiration date 06/03 (35) 8,016 246 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 2,648 ============
See accompanying notes which are an integral part of the financial statements. Quantitative Equity Fund 31 INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 83.8% Australia - 4.2% Alumina, Ltd. 54 146 Amcor, Ltd. 646 3,359 AMP Diversified Property Trust 12 23 AMP, Ltd. 13 70 Ansell, Ltd. 1 3 Australia & New Zealand Banking Group, Ltd. 347 4,045 Australian Gas Light Co., Ltd. 41 290 Australian Stock Exchange, Ltd. 15 111 BHP Billiton, Ltd. 843 4,766 BHP Steel, Ltd. 13 28 Billabong International, Ltd. 21 73 Boral, Ltd. 28 83 Brambles Industries, Ltd. 16 52 CFS Gandel Retail Trust 86 75 Coca-Cola Amatil, Ltd. 71 252 Coles Myer, Ltd. 302 1,299 Commonwealth Bank of Australia 21 349 Commonwealth Property Office Fund 67 50 CSR, Ltd. 298 332 David Jones, Ltd. 39 26 Deutsche Office Trust 46 32 Foster's Group, Ltd. 1,212 3,398 Futuris Corp., Ltd. 6 5 General Property Trust 46 87 Harvey Norman Holdings, Ltd. 51 73 Iluka Resources, Ltd. 15 39 Insurance Australia Group, Ltd. 20 39 James Hardie Industries NV 1 4 Leighton Holdings, Ltd. 27 165 Lend Lease Corp., Ltd. 6 40 Macquarie Bank, Ltd. 26 407 Macquarie Infrastructure Group 25 50 MIM Holdings, Ltd. 33 35 National Australia Bank, Ltd. 226 4,600 Newcrest Mining, Ltd. 3 14 News Corp., Ltd. 650 4,629 OneSteel, Ltd. 47 51 Orica, Ltd. 152 940 Origin Energy, Ltd. 20 57 PaperlinX, Ltd. 17 54 Publishing & Broadcasting, Ltd. 13 74 Qantas Airways, Ltd. 95 189 QBE Insurance Group, Ltd. 198 1,058 Rinker Group, Ltd. (AE) 298 906 Rio Tinto, Ltd. 9 174 Santos, Ltd. 373 1,352 Sons of Gwalia, Ltd. 18 21 Stockland Trust Group 18 58 Suncorp-Metway, Ltd. 5 33 TABCORP Holdings, Ltd. 6 40
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Telstra Corp., Ltd. 671 1,767 Wesfarmers, Ltd. 4 64 Westfield Holdings, Ltd. 11 103 Westfield Trust 34 72 Westpac Banking Corp. 161 1,605 WMC Resources, Ltd. (AE)(AE) 66 164 Woodside Petroleum, Ltd. 6 41 Woolworths, Ltd. 97 780 ------------ 38,652 ------------ Austria - 0.1% Erste Bank der Oesterreichischen Sparkassen AG 3 198 OMV AG 2 180 Telekom Austria AG (AE) 27 279 ------------ 657 ------------ Belgium - 1.0% AGFA-Gevaert NV 15 289 Delhaize Group 21 450 Dexia 187 2,139 Dexia (AE) 82 1 Electrabel 5 1,292 Fortis 13 213 Fortis 215 3,587 KBC Bancassurance Holding 24 846 Solvay SA 5 385 ------------ 9,202 ------------ Bermuda - 0.0% RenaissanceRe Holdings, Ltd. 9 399 ------------ Brazil - 0.1% Cia Vale do Rio Doce - ADR 7 202 Petroleo Brasileiro SA - Petrobras - ADR 41 769 ------------ 971 ------------ Canada - 1.4% Abitibi-Consolidated, Inc. 25 176 Bank of Montreal 17 474 Bank of Nova Scotia 75 2,911 BCE, Inc. 33 654 Bombardier, Inc. Class B 60 145 Canadian Natural Resources, Ltd. 5 177 Cognos, Inc. (AE) 9 244 Great-West Lifeco, Inc. 3 87 Magna International, Inc. Class A 17 998 Molson, Inc. Class A (AE) 28 653 Nortel Networks Corp. (AE) 480 1,239 Petro-Canada 15 478 Placer Dome, Inc. 14 136
32 International Securities Fund INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Royal Bank of Canada 43 1,776 Suncor Energy, Inc. 13 214 Talisman Energy, Inc. 26 1,017 TELUS Corp. (Non-voting shares) 24 320 Thomson Corp. (The) (AE) 32 949 ------------ 12,648 ------------ China - 0.1% China Petroleum & Chemical Corp. Class H 1,102 218 Huaneng Power International, Inc. Class H 530 503 PetroChina Co., Ltd. Class H 1,787 408 Sinotrans, Ltd. Class H (AE) 701 173 ------------ 1,302 ------------ Denmark - 0.5% Coloplast A/S Class B -- 15 D/S Svendborg Class B -- 591 Danske Bank A/S 65 1,255 FLS Industries A/S Class B 3 29 ISS A/S 18 655 Novo-Nordisk A/S Class B 38 1,392 Novozymes A/S 18 432 TDC A/S 24 590 ------------ 4,959 ------------ Estonia - 0.0% Hansabank, Ltd. 17 310 ------------ Finland - 1.4% Fortum Oyj 125 896 Nokia OYJ 389 6,584 Nokia OYJ - ADR 63 1,045 Sampo Oyj Class A 225 1,635 Stora Enso Oyj Class R 42 460 Stora Enso Oyj Class R 51 553 UPM-Kymmene Oyj 128 1,865 ------------ 13,038 ------------ France - 8.8% Accor SA 52 1,713 Air France 62 694 Air Liquide 5 696 Alcatel SA 173 1,415 Altran Technologies SA 35 127 Aventis SA 112 5,696 AXA 236 3,587 BNP Paribas 139 6,509 Bouygues 37 908 Business Objects SA - ADR (AE) 14 313 Cap Gemini SA 48 1,480 Carrefour SA 71 3,089
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Casino Guichard Perrachon SA 2 157 Christian Dior SA 14 484 Cie de Saint-Gobain 140 4,853 Cie Generale D'Optique Essilor International SA 18 749 CNP Assurances 11 443 France Telecom 62 1,435 France Telecom (AE) 9 207 Groupe Danone 12 1,705 L'Oreal SA 34 2,441 Lafarge SA 2 157 Lagardere S.C.A. 2 65 Michelin (C.G.D.E.) Class B 30 1,121 Orange SA (AE) 32 1,494 Orange SA (AE) 94 754 Pechiney SA Class A 48 1,370 Pernod-Ricard 4 384 Peugeot SA 40 1,883 Pinault-Printemps-Redoute 14 1,012 Renault SA 15 662 Sanofi-Synthelabo SA 41 2,455 Schneider Electric SA 29 1,359 Societe Assurances Generales de France 73 2,424 Societe Generale Class A 100 6,121 Societe Television Francaise 1 46 1,292 Suez SA 56 909 Technip-Coflexip SA 5 426 Thomson/ex-TMM 90 1,320 Total Fina Elf SA 81 10,591 Total Fina Elf SA - ADR 33 2,170 Valeo SA 19 539 Vivendi Universal SA 165 2,694 Wanadoo (AE) 140 953 ------------ 80,856 ------------ Germany - 4.1% Adidas-Salomon AG 6 516 Aixtron AG 6 19 Allianz AG 7 523 Altana AG 21 1,046 AMB Generali Holding AG 7 397 BASF AG 39 1,755 Bayer AG 103 1,878 Bayerische Hypo-und Vereinsbank AG 84 1,114 Bayerische Motoren Werke AG 7 230 Beiersdorf AG 2 215 Continental AG 2 41 DaimlerChrysler AG 21 684 Deutsche Bank AG 18 946 Deutsche Lufthansa AG 73 768 Deutsche Post AG 139 1,659
International Securities Fund 33 INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Deutsche Telekom AG 109 1,456 E.ON AG 69 3,284 Epcos AG (AE) 1 19 Gehe AG 5 194 Hannover Rueckversicherungs AG 18 476 HeidelbergCement AG 26 793 KarstadtQuelle AG 77 1,293 LIndustriese AG 3 94 Medion AG 11 415 Merck KGaA 2 48 Metro AG 59 1,636 Muenchener Rueckversicherungs AG 23 2,260 Puma AG Rudolf Dassler Sport 10 999 RWE AG 97 2,621 SAP AG 5 482 SAP AG - ADR 1 26 Schering AG 15 664 Siemens AG 61 3,048 Singulus Technologies AG 26 443 T-Online International AG (AE) 34 270 TUI AG 4 64 Volkswagen AG 148 5,219 ------------ 37,595 ------------ Greece - 0.2% Hellenic Telecommunications Organization SA 124 1,334 Hellenic Telecommunications Organization SA - ADR 26 138 ------------ 1,472 ------------ Hong Kong - 1.7% Bank of East Asia 433 800 BOC Hong Kong Holdings, Ltd. 39 38 Cathay Pacific Airways, Ltd. 36 43 Cheung Kong Holdings, Ltd. 151 833 Cheung Kong Infrastructure Holdings, Ltd. 25 47 China Mobile, Ltd. 421 844 CLP Holdings, Ltd. 42 172 CNOOC, Ltd. 942 1,238 Cosco Pacific, Ltd. 266 225 Esprit Holdings, Ltd. 29 56 Giordano International, Ltd. 22 6 Hang Lung Properties, Ltd. 87 75 Hang Seng Bank, Ltd. 50 492 Henderson Land Development 8 20 Hong Kong & China Gas 197 232 HongKong Electric Holdings 423 1,706 Hongkong Land Holdings, Ltd. 125 140 Hutchison Whampoa, Ltd. 243 1,352 Hysan Development Co., Ltd. 3 2 Jardine Matheson Holdings, Ltd. 214 1,210
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- JCG Holdings, Ltd. 36 17 Johnson Electric Holdings, Ltd. 378 407 Li & Fung, Ltd. 387 434 MTR Corp. 668 723 New World Development, Ltd. 61 19 Shangri-La Asia, Ltd. 193 121 Sun Hung Kai Properties, Ltd. 317 1,488 Swire Pacific, Ltd. Class 304 1,198 Wharf Holdings, Ltd. 846 1,491 ------------ 15,429 ------------ Hungary - 0.1% Gedeon Richter Rt 8 552 OTP Bank Rt 67 718 ------------ 1,270 ------------ Indonesia - 0.0% Telekomunikasi Industriesonesia Tbk PT 643 304 ------------ Ireland - 0.9% Allied Irish Banks PLC 125 1,926 Bank of Ireland 1 12 Bank of Ireland 409 5,045 CRH PLC 64 987 CRH PLC 1 12 ------------ 7,982 ------------ Israel - 0.1% Check Point Software Technologies (AE) 39 606 Teva Pharmaceutical Industries - ADR 14 654 ------------ 1,260 ------------ Italy - 3.8% Arnoldo Mondadori Editore SpA 9 62 Assicurazioni Generali SpA 7 165 Autostrade Concessioni e Costruzioni Autostrade SpA 49 638 Banca Intesa SpA (AE) 2,598 6,727 Banca Popolare di Bergamo Credito Varesino Scrl 52 1,042 Banca Popolare di Milano SCRL 46 190 Banco Popolare di Verona e Novara Scrl 59 808 Benetton Group SpA 21 182 Enel SpA 56 335 ENI-Ente Nazionale Idrocarburi SpA 596 8,492 Fiat SpA 6 42 Finmeccanica SpA 2,291 1,360 Italcementi SpA 28 297 Luxottica Group SpA 1 6 Mediaset SpA 562 4,803
34 International Securities Fund INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Parmalat Finanziaria SpA 225 576 Riunione Adriatica di Sicurta SpA 52 745 Saipem SpA 71 497 Sanpaolo IMI SpA 141 1,164 Telecom Italia SpA (AE) 210 1,712 Telecom Italia SpA 354 1,743 TIM SpA 665 3,132 UniCredito Italiano SpA 67 294 ------------ 35,012 ------------ Japan - 15.0% 77 Bank, Ltd. (The) 212 899 Acom Co., Ltd. 8 228 Advantest Corp. 7 238 Aeon Co., Ltd. 34 775 Aiful Corp. 31 1,148 Ajinomoto Co., Inc. 48 487 Alps Electric Co., Ltd. 13 140 Amano Corp. 6 29 Aoyama Trading Co., Ltd. 6 81 Asahi Optical Co. 110 439 Autobacs Seven Co., Ltd. 3 66 Bank of Yokohama, Ltd. (The) 49 173 Bridgestone Corp. 203 2,303 Brother Industries, Ltd. 11 74 Canon, Inc. 402 16,247 Central Glass Co., Ltd. 17 86 Central Japan Railway Co. -- 143 Chubu Electric Power Co., Inc. 21 429 Chugai Pharmaceutical Co., Ltd. 39 408 Citizen Watch Co., Ltd. 62 327 Credit Saison Co., Ltd. 116 2,179 Dai Nippon Printing Co., Ltd. 61 592 Daicel Chemical Industries, Ltd. 1 3 Daiichi Pharmaceutical Co., Ltd. 28 355 Daikin Industries, Ltd. 11 183 Daimaru, Inc. 26 94 Dainippon Ink and Chemicals, Inc. 30 47 Dainippon Screen Manufacturing Co., Ltd. 11 38 Daito Trust Construction Co., Ltd. 14 274 Daiwa House Industry Co., Ltd. 145 875 Daiwa Securities Group, Inc. 97 381 Denki Kagaku Kogyo K K 57 127 Denso Corp. 9 134 Dowa Mining Co. 32 106 East Japan Railway Co. 1 2,961 Eisai Co., Ltd. 150 2,644 FamilyMart Co., Ltd. 4 82 Fast Retailing Co., Ltd. 11 311 Fuji Electric Co., Ltd. 88 151 Fuji Heavy Industries, Ltd. 167 598 Fuji Machine Manufacturing Co., Ltd. 41 276 Fuji Photo Film Co., Ltd. 22 561
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Fuji Soft ABC, Inc. 1 7 Fujikura, Ltd. 23 52 Fujitsu Support and Service, Inc. 2 22 Fujitsu, Ltd. 4 11 Funai Electric Co., Ltd. 1 70 Futaba Corp. 8 154 Gunze, Ltd. 21 79 Hankyu Department Stores 2 11 Heiwa Corp. 8 126 Hino Motors, Ltd. 19 90 Hirose Electric Co., Ltd. 3 236 Hitachi Chemical Co., Ltd. 13 116 Hitachi Maxell, Ltd. 14 214 Hitachi Zosen Corp. (AE) 40 25 Hitachi, Ltd. 533 1,779 Honda Motor Co., Ltd. 156 5,164 Hoya Corp. 13 768 Ibiden Co., Ltd. 8 66 Ito-Yokado Co., Ltd. 39 917 Itochu Corp. 65 136 Itochu Techno-Science Corp. 3 47 Jafco Co., Ltd. 3 94 Japan Real Estate Investment Corp. (o) -- 91 Japan Retail Fund Investment (o) -- 19 Japan Telecom Holdings Co., Ltd. -- 150 Japan Tobacco, Inc. -- 169 JFE Holdings, Inc. 97 1,171 JGC Corp. 26 183 JSR Corp. 12 125 Kansai Electric Power Co., Inc. (The) 35 587 Kao Corp. 98 1,787 Kawasaki Heavy Industries, Ltd. 54 44 Kawasaki Kisen Kaisha, Ltd. 88 201 KDDI Corp. -- 261 Keyence Corp. 4 606 Kirin Brewery Co., Ltd. 50 386 Kobayashi Pharmaceutical Co., Ltd. 3 93 Komatsu, Ltd. 51 195 Konami Corp. 52 688 Konica Corp. 112 1,026 Kose Corp. 7 219 Koyo Seiko Co., Ltd. 25 145 Kubota Corp. 8 18 Kyocera Corp. 8 366 Kyushu Electric Power Co., Inc. 31 477 Lawson, Inc. 32 976 Mabuchi Motor Co., Ltd. 20 1,509 Makita Corp. 18 135 Marubeni Corp. 72 68 Matsumotokiyoshi Co., Ltd. 31 1,395 Matsushita Electric Industrial Co., Ltd. 409 3,258 Meitec Corp. 3 64 Millea Holdings, Inc. -- 915
International Securities Fund 35 INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Minebea Co., Ltd. 279 828 Minolta Co., Ltd. 41 227 Mitsubishi Corp. 59 348 Mitsubishi Electric Corp. 93 241 Mitsubishi Estate Co., Ltd. 86 503 Mitsubishi Heavy Industries, Ltd. 245 544 Mitsubishi Motors Corp. (AE) 85 181 Mitsubishi Securities Co., Ltd. 27 119 Mitsubishi Tokyo Financial Group, Inc. -- 400 Mitsui & Co., Ltd. 139 659 Mitsui Chemicals, Inc. 28 114 Mitsui Engineering & Shipbuilding 95 99 Mitsui Fudosan Co., Ltd. 65 350 Mitsui OSK Lines, Ltd. 662 1,732 Mitsui Sumitomo Insurance Co., Ltd. 68 319 Mitsui Trust Holdings, Inc. 49 94 Mitsumi Electric Co., Ltd. 4 33 Mizuho Financial Group, Inc. (AE) -- 121 Murata Manufacturing Co., Ltd. 77 2,740 Namco, Ltd. 4 60 NEC Corp. 82 256 Nichicon Corp. 14 145 Nichii Gakkan Co. 1 56 Nichirei Corp. 4 12 Nidec Corp. 2 105 Nikko Cordial Corp. 173 464 Nikon Corp. (AE) 9 60 Nintendo Co., Ltd. 3 219 Nippon Building Fund, Inc. (o) -- 108 Nippon Express Co., Ltd. 423 1,578 Nippon Meat Packers, Inc. 122 1,096 Nippon Oil Corp. 30 119 Nippon Sanso Corp. 26 73 Nippon Sheet Glass Co., Ltd. 64 131 Nippon Shokubai Kagaku Kogyo Co. 13 67 Nippon Steel Corp. 8 9 Nippon System Development Co., Ltd. 1 12 Nippon Telegraph & Telephone Corp. 1 1,970 Nippon Yusen Kabushiki Kaisha 190 642 Nishimatsu Construction Co., Ltd. 12 34 Nishimatsuya Chain Co., Ltd. 3 68 Nissan Motor Co., Ltd. 948 7,270 Nisshin Seifun Group, Inc. 2 14 Nitto Denko Corp. 15 431 NOK Corp. 38 527 Nomura Holdings, Inc. 106 1,050 NTN Corp. 39 149 NTT DoCoMo, Inc. 2 3,218 Olympus Optical Co., Ltd. 74 1,281 Omron Corp. 1 16 Ono Pharmaceutical Co., Ltd. 2 60 Onward Kashiyama Co., Ltd. 1 7 ORIX Corp. 36 1,645 Pioneer Corp. 46 928
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Promise Co., Ltd. 25 819 Resona Holdings, Inc. 54 26 Ricoh Co., Ltd. 116 1,779 Rinnai Corp. 62 1,360 Rohm Co., Ltd. 21 2,199 Sammy Corp. 4 86 Sanken Electric Co., Ltd. 12 105 Sankyo Co., Ltd. 47 681 Sankyo Co., Ltd./Gunma 4 72 Seino Transportation Co., Ltd. 26 153 Sekisui House, Ltd. 93 681 Seven-Eleven Japan Co., Ltd. 2 48 SFCG Co., Ltd. 8 567 Sharp Corp. 72 755 Shimachu Co., Ltd. 20 324 Shimamura Co. 2 127 Shin-Etsu Chemical Co., Ltd. 110 3,303 Shiseido Co., Ltd. 9 82 Showa Shell Sekiyu KK 16 100 Skylark Co., Ltd. 80 853 SMC Corp./Japan 2 158 Softbank Corp. (AE) 2 21 Sompo Japan Insurance, Inc. 23 105 Sony Corp. 24 593 Stanley Electric Co., Ltd. 37 465 Sumisho Lease Co., Ltd. 7 98 Sumitomo Bakelite Co., Ltd. 177 626 Sumitomo Chemical Co., Ltd. 11 30 Sumitomo Corp. 87 350 Sumitomo Electric Industries, Ltd. 34 190 Sumitomo Heavy Industries, Ltd. 118 96 Sumitomo Mitsui Financial Group, Inc. -- 163 Sumitomo Trust & Banking Co., Ltd. (The) 21 60 Suzuken Co., Ltd. 4 108 Suzuki Motor Corp. 54 639 Takeda Chemical Industries, Ltd. 76 2,770 Takefuji Corp. 20 1,029 Tamron Co., Ltd. 18 398 TDK Corp. 23 785 Terumo Corp. 16 263 THK Co., Ltd. 11 105 TIS, Inc. 8 103 Tohoku Electric Power Co., Inc. 74 1,174 Tokyo Broadcasting System, Inc. -- 5 Tokyo Electric Power Co., Inc. (The) 48 968 Tokyo Electron, Ltd. 25 922 Tokyo Gas Co., Ltd. 447 1,454 Tokyu Corp. 35 95 Toppan Printing Co., Ltd. 22 139 Toray Industries, Inc. 115 278 Toshiba Corp. (AE) 67 179 Tosoh Corp. 74 167 Tostem Inax Holding Corp. 7 75
36 International Securities Fund INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Toyo Seikan Kaisha, Ltd. 10 89 Toyoda Gosei Co., Ltd. 10 182 Toyota Motor Corp. (AE) 189 4,288 UFJ Holdings, Inc. -- 83 UMC Japan (AE) -- 61 Uni-Charm Corp. 5 211 Uniden Corp. 6 47 UNY Co., Ltd. 96 812 Victor Co. of Japan, Ltd. 12 84 West Japan Railway Co. -- 1,014 World Co., Ltd. 2 30 Yahoo Japan Corp. (AE) -- 584 Yakult Honsha Co., Ltd. 5 73 Yamaha Corp. 94 1,060 Yamaha Motor Co., Ltd. 205 1,526 Yamanouchi Pharmaceutical Co., Ltd. 41 1,037 Yamato Transport Co., Ltd. 11 123 ------------ 138,770 ------------ Luxembourg - 0.3% Arcelor 167 1,891 Arcelor 50 569 Arcelor 44 488 ------------ 2,948 ------------ Mexico - 0.3% America Movil SA de CV Class L - ADR 27 444 Telefonos de Mexico SA de CV - ADR 65 1,974 ------------ 2,418 ------------ Netherlands - 5.1% ABN AMRO Holding NV 204 3,447 Aegon NV 288 2,932 Akzo Nobel NV 68 1,503 ASML Holding NV (AE) 99 859 Buhrmann NV 94 314 DSM NV 65 2,830 Euronext NV (AE) 37 814 European Aeronautic Defense and Space Co. 35 325 Hagemeyer NV 12 57 Heineken NV 85 3,161 Hunter Douglas NV 31 915 ING Groep NV 312 5,059 KLM-Koninklijke Luchtvaart Mij NV 2 17 Koninklijke Ahold NV 22 98 Koninklijke Philips Electronics NV 147 2,728 Koninklijke Philips Electronics NV 56 1,043 Numico NV 26 238 OCE NV 6 56 Reed Elsevier NV 146 1,660 Royal Dutch Petroleum Co. 193 7,883
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Royal Dutch Petroleum Co. Class S 4 143 Royal KPN NV (AE) 528 3,513 Stork NV 47 408 TPG NV 9 137 Unilever NV 38 2,425 Vedior NV 79 524 VNU NV 117 3,393 Wolters Kluwer NV 74 958 ------------ 47,440 ------------ New Zealand - 0.4% Carter Holt Harvey, Ltd. 185 168 Telecom Corp. of New Zealand, Ltd. 1,295 3,469 ------------ 3,637 ------------ Norway - 0.5% DnB Holding ASA 115 548 Gjensidige NOR ASA 7 226 Norsk Hydro ASA 32 1,341 Norske Skogindustrier ASA 20 269 Statoil ASA 219 1,733 Tandberg ASA 105 406 ------------ 4,523 ------------ Portugal - 0.3% Electricidade de Portugal SA 590 1,067 Portugal Telecom SGPS SA 238 1,706 ------------ 2,773 ------------ Russia - 0.0% LUKOIL - ADR 3 179 ------------ Singapore - 1.1% CapitaLand, Ltd. 16 9 Creative Technology, Ltd. 69 431 Cycle & Carriage, Ltd. 9 21 DBS Group Holdings, Ltd. 497 2,434 Flextronics International, Ltd. (AE) 20 178 Fraser & Neave, Ltd. 12 54 Guocoland, Ltd. 1 -- Haw Par Corp., Ltd. 1 2 Hotel Properties, Ltd. 1 1 Keppel Corp., Ltd. 26 65 MobileOne, Ltd. 811 576 NatSteel, Ltd. 37 50 Oversea-Chinese Banking Corp. 257 1,368 Overseas Union Enterprise, Ltd. 6 19 SembCorp Marine, Ltd. 36 19 Singapore Airlines, Ltd. 52 277 Singapore Exchange, Ltd. 215 148 Singapore Land, Ltd. 6 11 Singapore Press Holdings, Ltd. 71 661
International Securities Fund 37 INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Singapore Telecommunications, Ltd. 1,064 869 SMRT Corp., Ltd. 4 1 United Overseas Bank, Ltd. 314 1,838 United Overseas Land, Ltd. 24 23 Venture Corp., Ltd. 70 583 ------------ 9,638 ------------ South Korea - 0.5% Hyundai Motor Co. 6 130 Korea Electric Power Corp. - ADR 90 844 KT Corp. 9 374 NHM Corp. 5 467 POSCO - ADR 30 617 Samsung Electronics - GDR 7 851 Samsung Electronics Co., Ltd. 7 1,732 ------------ 5,015 ------------ Spain - 3.8% Acerinox SA 23 854 Altadis SA 97 2,493 Altadis SA 6 147 Amadeus Global Travel Distribution Class A (AE) 77 385 Banco Bilbao Vizcaya Argentaria SA 144 1,454 Banco Popular Espanol 21 1,041 Banco Santander Central Hispano SA 712 5,592 Cia Espanola de Petroleos 1 22 Corp Mapfre SA 55 511 Endesa SA 196 2,777 Fomento de Construcciones Y Contratas SA 18 462 Grupo Dragados SA 56 1,070 Iberdrola SA 167 2,694 Iberia Lineas Aereas de Espana 45 79 Industriesitex SA 31 614 NH Hoteles SA (AE) 5 40 Repsol YPF SA 63 922 Repsol YPF SA - ADR 87 1,266 Sogecable SA (AE) 33 363 Telefonica SA (AE)(Y) 18 187 Telefonica SA 1,117 12,350 Terra Networks SA (AE) 16 86 ------------ 35,409 ------------ Sweden - 2.2% Assa Abloy AB Class B 38 362 Atlas Copco AB Class A 4 107 Atlas Copco AB Class B 4 86 Autoliv, Inc. 69 1,693 Billerud AB 26 346 Electrolux AB Series B 108 2,021
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Eniro AB 57 438 ForeningsSparbanken AB 40 543 Hennes & Mauritz AB Class B 135 3,008 Investor AB Class B 140 917 Modern Times Group AB Class B (AE) 4 46 Nordea AB 691 3,669 Sandvik AB 21 534 Securitas AB Class B 49 577 Skandia Forsakrings AB (AE) 117 341 Skandinaviska Enskilda Banken AB Class A 8 81 Skanska AB Class B 6 37 Svenska Cellulosa AB Class B 40 1,361 Svenska Handelsbanken Class A 67 1,060 Swedish Match AB 65 484 Telefonaktiebolaget LM Ericsson Class B 449 409 TeliaSonera AB 507 1,804 Volvo AB Series A 6 107 Volvo AB Series B 7 144 ------------ 20,175 ------------ Switzerland - 5.1% Adecco SA 57 2,181 Alcon, Inc. 13 573 Barry Callebaut AG 4 562 Ciba Specialty Chemicals AG 1 59 Clariant AG 101 1,123 Compagnie Financiere Richemont AG Class A 49 719 Credit Suisse Group 112 2,672 Givaudan 3 1,062 Holcim, Ltd. 9 318 Holcim, Ltd. Class B 14 2,692 Nestle SA 28 5,804 Novartis AG Class G 258 10,159 PubliGroupe SA -- 15 Roche Holding AG 46 2,952 Serono SA 1 380 SGS Holding 3 954 STMicroelectronics NV 45 938 STMicroelectronics NV Class Y -- 2 Sulzer AG 1 116 Swiss Reinsurance 42 2,747 Swisscom AG 5 1,598 Syngenta AG 7 358 Synthes-Stratec, Inc. (AE) 1 502 UBS AG 120 5,695 Valora Holding AG -- 69 Zurich Financial Services AG 23 2,373 ------------ 46,623 ------------
38 International Securities Fund INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Taiwan - 0.2% Taiwan Semiconductor Manufacturing Co., Ltd. - ADR (AE) 101 842 United Microelectronics Corp. - ADR (AE) 222 721 ------------ 1,563 ------------ Thailand - 0.1% Advanced Info Service PCL 75 79 Bangkok Bank Pcl (AE) 155 217 Kasikornbank PCL (AE) 182 154 Land & House Pub Co., Ltd. 1,396 251 Siam Cement PCL 136 384 ------------ 1,085 ------------ United Kingdom - 20.2% 3i Group PLC 148 1,102 Abbey National PLC 77 548 Alliance & Leicester PLC 11 143 Alliance Unichem PLC 85 624 Allied Domecq PLC 411 2,307 Amdocs, Ltd. (AE) 48 853 Amersham PLC 75 542 Amvescap PLC 6 30 Anglo American PLC (AE) 41 580 ARM Holdings PLC (AE) 72 74 Associated British Foods PLC 29 250 AstraZeneca PLC 90 3,550 AstraZeneca PLC 90 3,542 Aviva PLC 554 3,896 AWG PLC 81 697 BAA PLC 152 1,171 BAE Systems PLC (AE) 1,343 2,726 Barclays PLC 817 5,643 Barratt Developments PLC 44 294 BG Group PLC 914 3,656 BHP Billiton PLC 239 1,220 BOC Group PLC 159 2,006 Boots Group PLC 393 3,598 BP PLC 703 4,452 Bradford & Bingley PLC 31 162 Brambles Industries PLC 577 1,714 British Airways PLC 619 1,252 British American Tobacco PLC 175 1,676 British Land Co. PLC 2 12 British Sky Broadcasting PLC (AE) 603 6,247 BT Group PLC 230 658 Bunzl PLC 203 1,462 Burberry Group PLC 398 1,663 Cable & Wireless PLC 248 298 Cadbury Schweppes PLC 322 1,795 Capita Group PLC 111 451 Carnival PLC 1 14 Centrica PLC 563 1,496
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Compass Group PLC 143 660 Corus Group PLC (AE) 183 41 Davis Service Group PLC 13 78 De La Rue PLC 4 15 Debenhams PLC 303 1,574 Diageo PLC 235 2,612 Dixons Group PLC 11 19 Electrocomponents PLC 35 175 EMI Group PLC (AE) 2 3 Exel PLC 3 29 Firstgroup PLC 33 125 FKI PLC 76 90 Gallaher Group PLC 15 145 GKN PLC 797 2,624 GlaxoSmithKline PLC 700 14,039 GUS PLC 282 2,606 HBOS PLC 483 5,654 Hilton Group PLC 26 63 HSBC Holdings PLC 538 5,889 HSBC Holdings PLC 158 1,722 IMI PLC 23 102 Imperial Chemical Industries PLC 35 73 Imperial Tobacco Group PLC 79 1,325 InterContinental Hotels Group PLC (AE) 497 3,018 J Sainsbury PLC 482 1,823 Kelda Group PLC 60 393 Kingfisher PLC 835 3,263 Land Securities Group PLC 4 42 Lloyds TSB Group PLC 727 4,781 Man Group PLC 46 783 Marks & Spencer Group PLC 311 1,451 mmO2 PLC (AE) 240 214 Morgan Crucible Co. 429 425 MyTravel Group PLC 157 28 National Grid Transco PLC 178 1,168 Next PLC 28 425 Northern Foods PLC 45 92 Old Mutual PLC 520 763 Pearson PLC 165 1,372 Pennon Group PLC 24 248 Persimmon PLC 107 714 Prudential PLC 168 1,026 Rank Group PLC 19 74 Reckitt Benckiser PLC Series C 25 443 Reed Elsevier PLC 371 2,960 Reuters Group PLC 150 324 Rexam PLC 183 1,145 Rio Tinto PLC 225 4,293 RMC Group PLC 6 40 Rolls-Royce PLC 82 118 Royal & Sun Alliance Insurance Group 781 1,363 Royal Bank of Scotland Group PLC 300 7,870 SABMiller PLC 6 42
International Securities Fund 39 INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Safeway PLC 474 2,062 Sage Group PLC 214 474 Schroders PLC (AE) 65 633 Scottish & Newcastle PLC 12 71 Scottish & Southern Energy PLC 116 1,190 Severn Trent PLC 7 75 Shell Transport & Trading Co. PLC 1,043 6,249 Shire Pharmaceuticals PLC (AE) 53 341 Smith & Nephew PLC 361 2,408 Smiths Group PLC 71 757 Stagecoach Group PLC 203 143 Standard Chartered PLC 166 1,848 Tate & Lyle PLC 74 352 Taylor Woodrow PLC 222 695 Tesco PLC 6 17 TI Automotive, Ltd. Class A (Y) -- -- Tomkins PLC 40 135 Trinity Mirror PLC 30 208 Unilever PLC 427 4,195 United Business Media PLC 85 338 United Utilities PLC 49 472 Vodafone Group PLC (AE) 8,824 17,418 Whitbread PLC 111 1,097 Willis Group Holdings, Ltd. 30 929 Wimpey George PLC 227 907 WPP Group PLC 11 76 Xstrata PLC 13 116 ------------ 185,974 ------------ United States - 0.2% Berkeley Group PLC (AE) 2 22 Carnival Corp. -- 7 JDS Uniphase Corp. (AE) 26 84 Mitchells & Butlers PLC 481 1,628 ------------ 1,741 ------------ TOTAL COMMON STOCKS (cost $823,851) 773,229 ------------ LONG-TERM INVESTMENTS - 0.0% United Kingdom - 0.0% Credit Suisse Group Finance Guernsey, Ltd. 6.000% due 12/23/05 93 72 ------------ TOTAL LONG-TERM INVESTMENTS (cost $63) 72 ------------ NOTIONAL MARKET AMOUNT VALUE $ $ OPTIONS PURCHASED - 0.1% (Number of Contracts) Italy - 0.0% Milan Index Futures Jun 2003 22,260 Put (7) 869 20 ------------ Luxembourg - 0.1% Bel20 Index Futures May 2003 1,868.9 Call (57) 2,378 637 ------------ Switzerland - 0.0% Swiss Market Index Futures Jun 2003 4,136 Put (57) 1,738 210 Jun 2003 4,520.62 Put (13) 433 48 ------------ 258 ------------ TOTAL OPTIONS PURCHASED (cost $893) 915 ------------ PRINCIPAL AMOUNT ($) OR SHARES ------------ PREFERRED STOCKS - 0.5% Australia - 0.0% News Corp., Ltd. 32 187 ------------ Brazil - 0.2% Cia Vale do Rio Doce - ADR 9 238 Telecomunicacoes Brasileiras SA - ADR 35 914 Uniao de Bancos Brasileiros SA - ADR 43 784 ------------ 1,936 ------------ Germany - 0.3% Hugo Boss AG 26 359 Porsche AG (AE) 3 958 ProSieben SAT.1 Media AG 26 150 Volkswagen AG 21 541 Wella AG 9 685 ------------ 2,693 ------------ TOTAL PREFERRED STOCKS (cost $4,927) 4,816 ------------
40 International Securities Fund INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 15.3% United States - 15.3% Frank Russell Investment Company Money Market Fund 124,768 124,768 United States Treasury Bill (c)(y) 1.155% due 8/21/03 (s) 3,600 3,579 1.110% due 6/19/03 (s) 2,000 1,997 1.130% due 6/19/03 9,000 8,986 1.135% due 6/19/03 (s) 2,000 1,997 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $141,335) 141,327 ------------ TOTAL INVESTMENTS - 99.7% (identified cost $971,069) 920,359 OTHER ASSETS AND LIABILITIES, NET - 0.3% 2,564 ------------ NET ASSETS - 100.0% 922,923 ============ NOTIONAL MARKET OPTIONS WRITTEN AMOUNT VALUE (NUMBER OF CONTRACTS) $ $ ----------------------------------------------------------------------------- ----------------------------------------------------------------------------- Italy Milan Index Futures June 2003 22,260 Call (7) 869 (93) ------------ Luxembourg Bel20 Index Futures May 2003 1,868.9 Put (57) 2,378 (636) ------------ Switzerland Swiss Market Index Futures June 2003 4,136 Call (57) 1,738 (374) June 2003 4,520.62 Call (13) 433 (49) ------------ (423) ------------ TOTAL LIABILITY FOR OPTIONS WRITTEN (premiums received $891) (1,152) ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- Long Positions CAC-40 Index (France) expiration date 05/03 (125) 4,129 (37) expiration date 06/03 (391) 11,981 605 DAX Index (Germany) expiration date 06/03 (208) 15,002 1,695 DJ STOXX (EMU) expiration date 06/03 (1222) 29,126 1,954 FTSE-100 Index (UK) expiration date 06/03 (692) 40,023 3,266 Hang Seng Index (Hong Kong) expiration date 05/03 (148) 7,938 291 IBEX Plus Index (Spain) expiration date 05/03 (16) 1,172 (26) SPI 200 Index (Australia) expiration date 06/03 (162) 7,256 288 Topix Index (Japan) expiration date 06/03 (550) 36,331 200 Short Positions AEX Index (Germany) expiration date 05/03 (7) 441 (13) CAC-40 Index (France) expiration date 05/03 (105) 3,360 13 MIB-30 Index (Italy) expiration date 06/03 (17) 2,103 (161) SPI 200 Index (Australia) expiration date 06/03 (68) 7,835 (115) ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 7,960 ============
See accompanying notes which are an integral part of the financial statements. International Securities Fund 41 INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 44 AUD 71 05/01/03 1 USD 73 AUD 118 05/02/03 -- USD 42 AUD 68 05/02/03 -- USD 293 AUD 500 06/18/03 19 USD 597 AUD 1,000 06/18/03 25 USD 596 AUD 1,000 06/18/03 27 USD 594 AUD 1,000 06/18/03 29 USD 1,211 AUD 2,000 06/18/03 35 USD 1,001 AUD 1,700 06/18/03 57 USD 2,162 AUD 3,600 06/18/03 79 USD 4,289 AUD 7,300 06/18/03 257 USD 5 CAD 7 05/01/03 -- USD 20 CAD 29 05/01/03 -- USD 8 CAD 11 05/02/03 -- USD 13 CAD 18 05/02/03 -- USD 120 CHF 163 05/02/03 -- USD 66 CHF 89 05/05/03 -- USD 303 CHF 410 05/06/03 3 USD 50 CHF 67 05/06/03 1 USD 127 CHF 173 05/06/03 1 USD 130 EUR 117 05/02/03 1 USD 30 EUR 27 05/02/03 -- USD 30 EUR 27 05/02/03 1 USD 9 EUR 8 05/02/03 -- USD 9 EUR 9 05/02/03 -- USD 59 EUR 54 05/02/03 1 USD 64 EUR 58 05/02/03 1 USD 7 EUR 6 05/05/03 -- USD 9 EUR 8 05/05/03 -- USD 138 EUR 124 05/05/03 1 USD 147 EUR 133 05/05/03 1 USD 146 EUR 133 05/05/03 3 USD 199 EUR 178 05/05/03 -- USD 127 EUR 114 05/06/03 1 USD 188 EUR 168 05/06/03 1 USD 9 EUR 8 05/06/03 -- USD 117 EUR 105 05/06/03 1 USD 1,082 EUR 1,000 06/18/03 32 USD 2,748 EUR 2,500 06/18/03 37 USD 1,067 EUR 1,000 06/18/03 47 USD 1,065 EUR 1,000 06/18/03 49 USD 2,735 EUR 2,500 06/18/03 50 USD 1,612 EUR 1,500 06/18/03 59 USD 1,055 EUR 1,000 06/18/03 59 USD 1,053 EUR 1,000 06/18/03 61 USD 2,144 EUR 2,000 06/18/03 84 USD 3,202 EUR 3,000 06/18/03 140 USD 5,351 EUR 5,000 06/18/03 219
UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 35,999 EUR 34,000 06/18/03 1,879 USD 131 GBP 82 05/01/03 -- USD 37 GBP 23 05/01/03 -- USD 95 GBP 59 05/01/03 -- USD 174 GBP 109 05/01/03 -- USD 95 GBP 59 05/02/03 -- USD 76 GBP 48 05/02/03 -- USD 156 GBP 98 05/02/03 -- USD 99 GBP 62 05/06/03 1 USD 82 GBP 51 05/06/03 -- USD 574 GBP 360 06/12/03 -- USD 16 GBP 10 06/12/03 -- USD 1,583 GBP 1,000 06/18/03 11 USD 785 GBP 500 06/18/03 12 USD 781 GBP 500 06/18/03 15 USD 779 GBP 500 06/18/03 18 USD 777 GBP 500 06/18/03 19 USD 1,566 GBP 1,000 06/18/03 27 USD 3,131 GBP 2,000 06/18/03 56 USD 4,718 GBP 3,000 06/18/03 62 USD 3,893 GBP 2,500 06/18/03 90 USD 19,503 GBP 12,500 06/18/03 415 USD 8 HKD 63 05/02/03 -- USD 56 HKD 434 05/05/03 -- USD 4 JPY 509 05/01/03 -- USD 5 JPY 572 05/01/03 -- USD 8 JPY 938 05/01/03 -- USD 32 JPY 3,900 05/01/03 -- USD 44 JPY 5,293 05/01/03 -- USD 8 JPY 942 05/01/03 -- USD 8 JPY 905 05/02/03 -- USD 5 JPY 573 05/02/03 -- USD 22 JPY 2,699 05/02/03 -- USD 23 JPY 2,782 05/02/03 -- USD 34 JPY 4,071 05/02/03 -- USD 5 JPY 578 05/06/03 -- USD 8 JPY 928 05/06/03 -- USD 844 JPY 100,900 06/12/03 3 USD 14,400 JPY 1,700,000 06/18/03 (121) USD 5,478 JPY 640,000 06/18/03 (102) USD 4,263 JPY 500,000 06/18/03 (63) USD 839 JPY 100,000 06/18/03 1 USD 839 JPY 100,000 06/18/03 1 USD 836 JPY 100,000 06/18/03 4 USD 832 JPY 100,000 06/18/03 8 USD 831 JPY 100,000 06/18/03 9 USD 2,088 JPY 250,000 06/18/03 12 USD 2,506 JPY 300,000 06/18/03 14
See accompanying notes which are an integral part of the financial statements. 42 International Securities Fund INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 1,666 JPY 200,000 06/18/03 14 USD 2,500 JPY 300,000 06/18/03 20 USD 358 JPY 42,965 06/27/03 3 USD 43 SEK 351 05/02/03 -- USD 74 SEK 608 05/05/03 1 USD 310 SEK 2,557 05/05/03 2 USD 178 SEK 1,467 05/05/03 1 USD 156 SEK 1,279 05/06/03 -- USD 1,368 SEK 11,600 06/18/03 45 USD 1,728 SEK 14,700 06/18/03 63 USD 1,204 SGD 2,100 06/18/03 (20) AUD 89 USD 55 05/01/03 (1) AUD 17 USD 11 05/01/03 -- AUD 89 USD 55 05/01/03 (1) AUD 117 USD 73 05/02/03 -- AUD 11 USD 7 05/02/03 -- AUD 1,000 USD 598 06/18/03 (25) AUD 500 USD 309 06/18/03 (2) CAD 4 USD 3 05/01/03 -- CAD 3 USD 2 05/01/03 -- CHF 7 USD 5 05/02/03 -- CHF 25 USD 18 05/02/03 -- CHF 22 USD 16 05/02/03 -- CHF 20 USD 15 05/02/03 -- CHF 100 USD 72 06/12/03 (2) CHF 70 USD 52 06/12/03 -- CHF 600 USD 431 06/18/03 (12) CHF 4,900 USD 3,692 06/18/03 75 DKK 182 USD 27 05/01/03 (1) DKK 1,620 USD 241 05/02/03 (2) EUR 38 USD 42 05/02/03 -- EUR 22 USD 24 05/02/03 -- EUR 8 USD 9 05/02/03 -- EUR 1 USD 1 05/02/03 -- EUR 64 USD 70 05/02/03 (1) EUR 5 USD 6 05/02/03 -- EUR 4 USD 5 05/02/03 -- EUR 90 USD 99 05/05/03 (1) EUR 193 USD 215 05/05/03 -- EUR 5 USD 6 05/05/03 -- EUR 28 USD 30 05/05/03 -- EUR 56 USD 63 05/06/03 -- EUR 640 USD 678 06/12/03 (35) EUR 440 USD 477 06/12/03 (13) EUR 2,000 USD 2,149 06/18/03 (79) EUR 1,500 USD 1,648 06/18/03 (23) EUR 100 USD 107 06/18/03 (4) GBP 17 USD 26 05/01/03 --
UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- GBP 3 USD 5 05/01/03 -- GBP 39 USD 62 05/01/03 -- GBP 27 USD 43 05/02/03 -- GBP 4 USD 7 05/06/03 -- GBP 54 USD 86 05/06/03 -- GBP 67 USD 108 05/06/03 -- GBP 420 USD 648 06/12/03 (22) GBP 360 USD 565 06/12/03 (9) GBP 1,000 USD 1,559 06/18/03 (34) GBP 100 USD 156 06/18/03 (3) GBP 700 USD 1,121 06/18/03 7 HKD 402 USD 52 05/02/03 -- HKD 693 USD 89 05/02/03 -- HUF 30,239 USD 137 05/05/03 -- JPY 4,341 USD 36 05/01/03 (1) JPY 2,777 USD 23 05/01/03 -- JPY 1,699 USD 14 05/01/03 -- JPY 643 USD 5 05/01/03 -- JPY 641 USD 5 05/01/03 -- JPY 623 USD 5 05/01/03 -- JPY 547 USD 5 05/01/03 -- JPY 238 USD 2 05/01/03 -- JPY 625 USD 5 05/02/03 -- JPY 609 USD 5 05/02/03 -- JPY 551 USD 5 05/02/03 -- JPY 503 USD 4 05/02/03 -- JPY 2,560 USD 21 05/02/03 -- JPY 272 USD 2 05/02/03 -- JPY 815 USD 7 05/02/03 -- JPY 12,549 USD 104 05/02/03 (1) JPY 1,035 USD 9 05/06/03 -- JPY 1,924 USD 16 05/06/03 -- JPY 201 USD 2 05/06/03 -- JPY 914 USD 8 05/06/03 -- JPY 563 USD 5 05/06/03 -- JPY 152,410 USD 1,290 06/12/03 11 JPY 120,000 USD 999 06/18/03 (10) JPY 100,000 USD 842 06/18/03 3 JPY 50,000 USD 424 06/18/03 5 JPY 150,000 USD 1,271 06/18/03 12 JPY 42,965 USD 359 06/27/03 (3) NZD 109 USD 60 05/01/03 -- NZD 88 USD 49 05/02/03 -- SEK 58 USD 7 05/02/03 -- SEK 31 USD 4 05/02/03 -- SEK 34 USD 4 05/02/03 -- SEK 5,911 USD 714 05/05/03 (10) SEK 920 USD 106 06/12/03 (7)
See accompanying notes which are an integral part of the financial statements. International Securities Fund 43 INTERNATIONAL SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- SEK 640 USD 75 06/12/03 (4) SGD 5 USD 3 05/02/03 -- SGD 2,500 USD 1,406 06/18/03 (4) THB 151 USD 3 05/02/03 -- -------------- 3,686 ==============
% OF MARKET INDUSTRY DIVERSIFICATION NET VALUE (UNAUDITED) ASSETS $ ----------------------------------------------------------------------------- ----------------------------------------------------------------------------- Auto and Transportation 5.9 54,527 Consumer Discretionary 12.5 115,081 Consumer Staples 5.6 51,973 Financial Services 19.4 178,949 Health Care 6.3 57,964 Integrated Oils 3.0 28,084 Materials -- 21 Materials and Processing 8.1 74,317 Miscellaneous 1.6 15,112 Options 0.1 915 Other Energy 3.9 35,949 Producer Durables 3.8 35,161 Technology 3.2 29,548 Utilities 11.0 101,359 Short-Term Investments 15.3 141,327 Long-Term Investments -- 72 ------------ ------------ Total Investments 99.7 920,359 Other Assets and Liabilities, Net 0.3 2,564 ------------ ------------ Net Assets 100.0 922,923 ============ ============ GEOGRAPHIC DIVERSIFICATION % OF MARKET (UNAUDITED) ASSETS $ ----------------------------------------------------------------------------- ----------------------------------------------------------------------------- Asia 8.3 76,812 Europe 38.5 355,112 Japan 15.0 138,770 Latin America 0.6 5,326 Middle East 0.1 1,259 United Kingdom 20.2 185,974 Options 0.1 915 Other 1.6 14,792 Short-Term Investments 15.3 141,327 Long-Term Investments -- 72 ------------ ------------ Total Investments 99.7 920,359 Other Assets and Liabilities, Net 0.3 2,564 ------------ ------------ Net Assets 100.0 922,923 ============ ============
See accompanying notes which are an integral part of the financial statements. 44 International Securities Fund EMERGING MARKETS FUND STATEMENT OF NET ASSETS APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 84.8% Argentina - 0.5% BBVA Banco Frances SA - ADR (AE) 8 46 Central Costanera SA (AE) 437 453 IRSA Inversiones y Representaciones SA (AE) 390 372 IRSA Inversiones y Representaciones SA - GDR (AE) 3 28 Perez Companc SA - ADR (AE) 11 84 Perez Companc SA Class B (AE) 509 373 Telecom Argentina SA - ADR (AE) 20 111 ------------ 1,467 ------------ Brazil - 2.1% Banco Bradesco SA - ADR 25 519 Brasil Telecom Participacoes SA 18,348 99 Brasil Telecom Participacoes SA ADR 13 172 Brasil Telecom Participacoes SA - ADR 33 1,172 Brasil Telecom SA 212 1 Centrais Eletricas Brasileiras SA 95,313 740 Cia Siderurgica Nacional SA 3,591 72 Cia Vale do Rio Doce - ADR 12 336 Empresa Brasileira de Aeronautica SA 20 59 Gerdau SA - ADR 42 511 Itausa Investimentos Itau S.A. Rights (AE)(Y) 8 2 Petroleo Brasileiro SA - Petrobras - ADR 91 1,682 Souza Cruz SA 128 799 Tele Norte Leste (Y) 162 -- Tele Norte Leste Participacoes SA 8,913 70 Votorantim Celulose e Papel SA - VCP - ADR 9 173 ------------ 6,407 ------------ Chile - 1.3% Banco Santiago SA Class R - ADR (AE) 68 1,481 Cia de Telecomunicaciones de Chile SA - ADR (AE) 39 448 Coca-Cola Embonor SA - ADR (AE) 109 301 Distribucion y Servicio D&S SA - ADR 72 753 Embotelladora Andina SA Class B - ADR 54 436 Empresa Nacional de Electricidad SA/ Chile - ADR (AE) 20 179 Quinenco SA Class R - ADR 47 275 ------------ 3,873 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- China - 3.0% Byd Co., Ltd. Class H 286 567 China Oilfield Services, Ltd. Class H 1,586 336 China Petroleum & Chemical Corp. Class H 7,308 1,443 China Shipping Development Co., Ltd. Class H 922 236 China Southern Airlines Co., Ltd. Class H 1,062 227 China Telecom Corp., Ltd. Class H 1,432 275 Huaneng Power International, Inc. Class H 192 182 Jiangsu Express Class H 1,628 548 Legend Group, Ltd. 1,044 294 PetroChina Co., Ltd. Class H 5,234 1,195 Shandong International Power Development Co., Ltd. Class H 750 163 Sinopec Beijing Yanhua Petrochemical Co., Ltd. Class H 2,350 256 Sinopec Shanghai Petrochemical Co., Ltd. Class H (AE) 6,696 1,039 Sinotrans, Ltd. Class H (AE) 1,411 349 Travelsky Technology, Ltd. Class H 489 293 Yanzhou Co.al Mining Co., Ltd. Class H 1,936 707 Zhejiang Expressway Co., Ltd. Class H 2,638 1,006 ------------ 9,116 ------------ Croatia - 0.4% Pliva D.D. - GDR 92 1,258 ------------ Czech Republic - 0.4% CEZ 105 393 Komercni Banka AS 11 799 ------------ 1,192 ------------ Ecuador - 0.2% La Cemento Nacional Ecuador - GDR (144A) (Y) 11 77 La Cemento Nacional Ecuador - GDR (Y) 72 529 ------------ 606 ------------ Egypt - 0.3% Mobinil-Eqyptian Mobile Netork 50 398 Orascom Construction Industries 74 508 ------------ 906 ------------
Emerging Markets Fund 45 EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Estonia - 0.1% Eesti Telekom - GDR 16 315 Hansabank, Ltd. 5 96 ------------ 411 ------------ Ghana - 0.3% Ashanti Goldfields Co., Ltd. - GDR (AE) 140 741 ------------ Greece - 0.1% Attica Enterprise Holding SA 124 310 ------------ Hong Kong - 2.3% China Eastern Airlines Corp., Ltd. (AE) 654 65 China Insurance International Holdings Co., Ltd. 258 127 China Merchants Holdings International Co., Ltd. 348 274 China Mobile, Ltd. 1,404 2,817 China Overseas Land & Investment, Ltd. 1,431 116 China Pharmaceutical ENT 420 117 China Resources Enterprise 369 293 Citic Pacific, Ltd. (AE) 139 236 CNOOC, Ltd. 1,093 1,436 Cosco Pacific, Ltd. 354 300 Denway Motors, Ltd. 951 317 Giordano International, Ltd. 828 223 Global Bio-Chem Technology Group Co., Ltd. 400 97 TCL International Holdings, Ltd. 224 42 Texwinca Holdings, Ltd. 420 323 Wah Sang Gas Holdings, Ltd. 980 107 ------------ 6,890 ------------ Hungary - 1.4% Egis Rt 5 169 Gedeon Richter Rt 6 427 Gedeon Richter Rt. - GDR 6 451 Matav Rt 50 196 Matav Rt - ADR 35 679 Mol Magyar Olaj- es Gazipari Rt 20 522 Mol Magyar Olaj- es Gazipari Rt. - GDR 30 766 OTP Bank Rt 66 711 OTP Bank Rt - GDR 22 470 ------------ 4,391 ------------ India - 4.7% Bajaj Auto, Ltd. - GDR 83 842 Bses, Ltd. - GDR (144A) 27 385
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Dr. Reddy's Laboratories, Ltd. - ADR 35 656 GAIL Industriesia, Ltd. - GDR 54 520 Genesis India Investment Co. (AE)(Y) 363 3,020 HDFC Bank, Ltd. - ADR 48 791 Hindalco Industries, Ltd. - GDR 59 750 ICICI Bank, Ltd. - ADR (AE) 227 1,197 Indo Gulf Fertilizer Ltd. (Y) 142 65 InfoSystem Technologies, Ltd. - ADR 36 1,467 InfoSystem Technologies, Ltd. 2004 Warrants (AE)(Y) 3 199 ITC, Ltd. - GDR 6 80 Mahanagar Telephone Nigam - ADR 29 113 Ranbaxy Laboratories, Ltd. - GDR (144A) 8 125 Ranbaxy Laboratories, Ltd. - GDR 76 1,183 Reliance Industries, Ltd. - GDR (144A) 148 1,698 Satyam Computer Services, Ltd. - ADR 31 236 State Bank of India, Ltd. - GDR 60 900 Wipro, Ltd. - ADR 2 40 ------------ 14,267 ------------ Indonesia - 2.6% Astra International Tbk PT (AE) 1,212 423 Bank Central Asia Tbk PT 5,217 1,459 Gudang Garam Tbk PT 285 284 Matahari Putra Prima Tbk PT (AE) 2,967 180 Ramayana Lestari Sentosa Tbk PT 1,247 377 Semen Gresik Persero Tbk PT 352 312 Telekomunikasi Indonesia Tbk PT 9,691 4,581 Telekomunikasi Indonesia Tbk PT - ADR 33 302 ------------ 7,918 ------------ Israel - 2.6% Bank Hapoalim, Ltd. (AE) 755 1,307 Bank Leumi Le-Israel (AE) 711 870 Bezeq Israeli Telecommunication Corp., Ltd. (AE) 90 103 Check Point Software Technologies (AE) 89 1,406 Israel Chemicals, Ltd. 715 847 Koor Industries, Ltd. (AE) 1 15 Orbotech, Ltd. (AE) 32 439 Partner Communications - ADR (AE) 101 452 Scitex Corp., Ltd. Class D (AE) 159 277 Super-Sol, Ltd. 13 25 Teva Pharmaceutical Industries - ADR 47 2,217 ------------ 7,958 ------------
46 Emerging Markets Fund EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Jordan - 0.1% Arab Bank PLC 1 390 ------------ Luxembourg - 1.6% F&C Emerging Markets, Ltd. - Taiwan Investment Co. Class A (AE) 110 751 F&C Indian Investment Co. SICAV (AE) 216 808 Formosa Chemicals & Fibre Co. 2005 Warrants (AE)(Y) 354 341 InfoSystem Technologies, Ltd. 2006 Warrants (AE)(Y) 1 59 Millicom International Cellular SA (AE) 7 65 Quilmes Industrial SA Class A (AE) 571 168 Quilmes Industrial SA - ADR 18 179 Taiwan Semiconductor Manufacturing Co., Ltd. 2004 Warrants (AE)(Y) 237 493 Taiwan Semiconductor Manufacturing Co., Ltd. 2006 Warrants (AE)(Y) 637 874 Tenaris SA (AE) 320 745 Tenaris SA - ADR (AE) 16 366 ------------ 4,849 ------------ Malaysia - 3.7% Berjaya Sports Toto BHD 339 280 British American Tobacco Malaysia BHD 52 524 Gamuda BHD 300 411 Genting BHD 287 905 Hong Leong Bank BHD 446 481 IOI Corp. BHD 164 218 Lam Soon Huat Development 196 299 Magnum Corp. BHD 1,463 913 Malakoff BHD 1,013 1,146 Malayan Banking Bhd 225 468 Maxis Communications BHD 457 632 OYL Industries BHD 69 422 Public Bank Berhad (Alien Market) 1,868 1,180 Resorts World BHD 493 1,083 Road Builder M Holdings BHD 708 557 Sime Darby BHD 219 288 SP Setia Bhd 608 347 TAN Chong Motor Holdings BHD 908 258 Tanjong PLC 189 466 UMW Holdings Bhd 262 514 ------------ 11,392 ------------ Mexico - 9.4% Alfa SA de CV Class A 191 326 America Movil SA de CV Class L - ADR 243 4,067
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Cemex SA de CV 533 2,415 Cemex SA de CV - ADR 42 950 Coca-Cola Femsa SA - ADR 49 1,037 Controladora Comercial Mexicana SA de CV 462 281 Corp Durango SA de CV - ADR (AE) 17 3 Cydsa SA de CV (AE) 186 25 Fomento Economico Mexicano SA de CV 76 285 Fomento Economico Mexicano SA de CV - ADR 27 1,036 Grupo Aeroportuario del Sureste SA de CV - ADR 20 259 Grupo Financiero Banorte SA de CV Class O 670 1,864 Grupo Financiero BBVA Bancomer Class B (AE) 3,387 2,945 Grupo Mexico SA de CV Series B (AE) 97 121 Grupo Modelo SA Series C 463 1,034 Grupo Televisa SA - ADR (AE) 79 2,390 Hylsamex SA de CV Class B (AE) 230 111 Kimberly-Clark de Mexico SA de CV Class A 209 514 Telefonos de Mexico SA de CV - ADR 214 6,472 TV Azteca SA de CV - ADR 14 80 Wal-Mart de Mexico SA de CV Series C 220 560 Wal-Mart de Mexico SA de CV Series V 679 1,880 ------------ 28,655 ------------ Peru - 0.3% Cia de Minas Buenaventura SA - ADR 32 859 ------------ Philippines - 0.6% Ayala Land, Inc. 7,050 672 Bank of the Philippine Islands 359 250 Equitable PCI Bank (AE) 257 117 Manila Electric Co. Class B (AE) 1,425 278 Metropolitan Bank & Trust (AE) 748 414 SM Prime Holdings 1,500 140 ------------ 1,871 ------------ Poland - 1.0% Bank Pekao SA 21 464 Bank Zachodni WBK SA 4 64 Computerland Poland SA (AE) 2 54 Polski Koncern Naftowy Orlen 130 613 Polski Koncern Naftowy Orlen - GDR 34 318 Prokom Software - GDR 144A 7 108
Emerging Markets Fund 47 EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Telekomunikacja Polska SA 122 413 Telekomunikacja Polska SA - GDR (AE) 315 1,049 ------------ 3,083 ------------ Russia - 4.8% Gazprom - ADR 10 150 LUKOIL - ADR 89 6,095 LUKOIL Class A - ADR (144A) 2 124 MMC Norilsk Nickel - ADR 44 1,035 Mobile TeleSystems - ADR (AE) 33 1,570 OAO Gazprom - ADR 52 814 Sberbank RF 1 210 Sibneft - ADR 6 149 Surgutneftegaz - ADR 18 358 Unified Energy System - ADR 11 171 Unified Energy System - GDR 6 94 Vimpel-Communications - ADR (AE) 17 692 Wimm-Bill-Dann Foods OJSC - ADR (AE) 11 193 YUKOS - ADR 16 2,826 ------------ 14,481 ------------ Singapore - 0.0% Golden Agri-Resources, Ltd. (AE) 814 69 ------------ South Africa - 7.1% ABSA Group, Ltd. 555 2,431 Aeci, Ltd. 437 1,270 African Bank Investments, Ltd. 303 229 Alexander Forbes, Ltd. 300 412 Anglo American Platinum Corp., Ltd. 10 268 Anglogold, Ltd. 24 696 Anglovaal Industries, Ltd. 110 199 Barloworld, Ltd. 40 274 FirstRand, Ltd. 441 430 Gencor, Ltd. 106 460 Gold Fields, Ltd. 74 752 Harmony Gold Mining Co., Ltd. 41 436 Impala Platinum Holdings, Ltd. 21 1,039 Imperial Holdings, Ltd. 28 187 Kumba Resources, Ltd. 79 265 MTN Group, Ltd. (AE) 599 1,005 Murray & Roberts Holdings, Ltd. 210 303 Nedcor, Ltd. 82 1,108 New Clicks Holdings, Ltd. 461 342 Pick'n Pay Stores, Ltd. 181 324 Primedia, Ltd. 88 50 Primedia, Ltd. 468 241 Remgro, Ltd. 37 266 Sanlam, Ltd. 1,055 874 Sappi, Ltd. 195 2,404
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Sasol, Ltd. 276 2,992 Shoprite Holdings, Ltd. 350 269 Standard Bank Group, Ltd. 206 826 Telkom SA, Ltd. (AE) 130 563 Tongaat-Hulett Group, Ltd. 103 437 Venfin, Ltd. (AE) 173 353 ------------ 21,705 ------------ South Korea - 16.4% Amorepacific Corp. 10 910 CJ Home Shopping 9 417 Daeduck Electronics Co. 31 219 Daelim Industrial Co. 43 701 Hana Bank 109 937 Hanwha Chem Corp. (AE) 63 194 Hite Brewery Co., Ltd. 11 528 Honam Petrochemical Corp. 8 199 Hyundai Development Co. 55 352 Hyundai Mobis 75 1,493 Hyundai Motor Co. 93 2,201 Hyundai Securities Co. (AE) 7 27 Kookmin Bank 207 5,802 Kookmin Bank - ADR 2 47 Kookmin Credit Card Co., Ltd. 11 122 KorAm Bank 74 482 Korea Electric Power Corp. 70 1,178 KT Corp. 20 831 KT Corp. - ADR 45 903 KT Freetel (AE) 44 974 KT&G Corp. 45 692 KT&G Corp. - GDR (144A) 34 255 Kumgang Korea Chemical Co., Ltd. 3 255 Kumgang Korea Chemical Co., Ltd. - GDR (144A) (AE) 10 167 LG Chem, Ltd. 29 961 LG Electronics, Inc. 22 767 LG Engineering & Construction Corp. 38 553 LG Household & Health Care, Ltd. 16 371 LG Petrochemical Co., Ltd. 24 345 Lotte Chilsung Beverage Co., Ltd. 1 342 Lotte Confectionery Co., Ltd. 3 1,125 NCSoft Corp. 3 230 NHM Corp. 3 226 POSCO 35 2,989 POSCO Class R - ADR 10 214 S-Oil Corp. 34 555 S1 Corp. 46 852 Samsung Electro-Mechanics Co., Ltd. 2 62 Samsung Electronics Co., Ltd. 43 10,809 Samsung Electronics Co., Ltd. - GDR (144A) 11 657
48 Emerging Markets Fund EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Samsung Fire & Marine Insurance Co., Ltd. (AE) 45 2,229 Samsung SDI Co., Ltd. 5 332 Samsung Securities Co., Ltd. (AE) 16 329 Seoul City Gas Co., Ltd. 17 231 Shinhan Financial Group Co., Ltd. 220 2,172 Shinsegae Co., Ltd. 6 724 SK Telecom Co., Ltd. 17 2,316 Tae Young Corp. 11 338 ------------ 49,615 ------------ Switzerland - 0.0% Compagnie Financiere Richemont AG - ADR 68 100 ------------ Taiwan - 7.2% Accton Technology Corp. (AE) 263 177 Acer, Inc. - GDR 139 632 Advanced Semiconductor Engineering, Inc. (AE) 974 503 Advantech Co., Ltd. 79 139 Ambit MicroSystems Corp. 176 502 Asia Cement Corp. - GDR (144A) (AE) 190 601 Basso Industry Corp. 117 190 Benq Corp. 106 108 Cathay Financial Holding Co., Ltd. 321 358 China Development Financial Holding Corp. (AE) 37 13 Chinatrust Financial Holding Co. (AE) 2,428 1,894 Chunghwa Telecom Co., Ltd. 171 253 Compal Electronics, Inc. 1,334 1,439 Compal Electronics, Inc. - GDR 75 404 Delta Electronics, Inc. 456 504 Evergreen Marine Corp. 288 176 Faraday Technology Corp. (AE) 213 436 Formosa Chemicals & Fibre Co. 337 325 Formosa Plastics Corp. 1,068 1,317 Fubon Financial Holding Co., Ltd. 1,005 686 Gigabyte Technology Co., Ltd. 425 634 HON HAI Precision Industry - GDR 42 274 HON HAI Precision Industry 451 1,411 International Bank of Taipei 427 175 Mega Financial Holding Co., Ltd. (AE) 256 114 Nan Ya Plastic Corp. 809 701 Phoenixtec Power Co., Ltd. 611 469 Quanta Computer, Inc. 222 388 Realtek Semiconductor Corp. 56 106 Realtek Semiconductor Corp. - GDR 11 82 Ritek Corp. 925 385 Siliconware Precision Industries Co. (AE) 352 167
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Sinopac Holdings Co. (AE) 773 241 Sunplus Technology Co., Ltd. 190 195 Taishin Financial Holdings Co., Ltd. (AE) 468 212 Taiwan Semiconductor Manufacturing Co., Ltd. (AE) 2,449 3,358 Taiwan Semiconductor Manufacturing Co., Ltd. - ADR (AE) 90 749 Test-Rite International Co. 257 160 United Microelectronics Corp. (AE) 950 545 Via Technologies, Inc. (AE) 147 169 Wan Hai Lines, Ltd. 405 328 Winbond Electronics Corp. (AE) 726 248 Yageo Corp. (AE) 405 78 Yuanta Co.re Pacific Securities Co. 253 109 ------------ 21,955 ------------ Thailand - 3.7% Advanced Info Service PCL 458 481 Advanced Info Service PCL 759 796 Bangkok Bank Pcl 310 380 Bangkok Bank Pcl (AE) 247 346 BEC World PLC 127 610 Delta Electronics Thai PCL 170 113 Electricity Generating PCL 103 99 Kasikornbank PCL (AE) 349 258 Kasikornbank PCL (AE) 1,108 937 Land & House Pub Co., Ltd. 3,416 614 Land & House Pub Co., Ltd. 1,040 180 National Petrochemical 594 693 PTT Exploration & Production PCL 308 804 PTT PCL 1,757 1,927 Siam Cement PCL 233 658 Siam Cement PCL 141 398 Siam Commercial Bank PCL (AE) 605 483 Siam Commercial Bank PCL (AE) 1,807 1,444 Thai Union Frozen Products PCL 113 55 ------------ 11,276 ------------ Turkey - 2.3% Akbank TAS 278,256 986 Anadolu Efes Biracilik Ve Malt Sanayii AS 56,203 1,122 Brisa Bridgestone Sabanci 12,650 359 Ford Otomotive Sanayii AS (AE) 61,000 701 Hurriyet Gazeteci (AE) 60,730 138 KOC Holding AS 22,193 224 Migros Turk TAS 72,350 638 Sabanci Holding 74,413 168 Tupras Turkiye Petrol Rafine 146,685 1,021 Turkcell Iletisim Hizmet AS 60,531 363
Emerging Markets Fund 49 EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Turkiye Garanti Bankasi AS (AE) 187,626 226 Turkiye IS Bankasi (AE) 140,266 432 Vestel Elektronik Sanayi (AE) 250,000 599 ------------ 6,977 ------------ United Kingdom - 3.8% Anglo American PLC (AE) 354 5,132 Anglo American PLC (AE) 81 1,165 Antofagasta PLC 184 1,854 Dimension Data Holdings PLC (AE) 506 131 Genesis Smaller Companies Fund (AE)(Y) 124 1,929 Old Mutual PLC 996 1,462 Old Mutual PLC 2 3 ------------ 11,676 ------------ United States - 0.4% Panamerican Beverages, Inc. Class A 43 942 Pepsi International Africa (Y) -- 1 Public Bank of Berhad (AE) 822 476 ------------ 1,419 ------------ Venezuela - 0.0% Cia Anonima Nacional Telefonos de Venezuela - CANTV - ADR 7 74 Siderurgica Venezolana "Sivensa" SACA 1,306 4 ------------ 78 ------------ Zimbabwe - 0.1% Delta Corp., Ltd. 1,020 295 OK Zimbabwe 5,664 34 ------------ 329 ------------ TOTAL COMMON STOCKS (cost $255,669) 258,490 ------------ NOTIONAL AMOUNT $ ------------ OPTIONS PURCHASED - 0.7% (Number of Contracts) Brazil - 0.1% Bovespa Index Futures Jun 2003 12,374 Call (195) 2,509 196 ------------ South Korea - 0.6% Kospi 200 Index Futures Jun 2003 58.379 Call (87) 1,017 1,010
NOTIONAL AMOUNT MARKET $ VALUE ----------------------------------------------------------------------------- Kospi 200 Index Future Jun 2003 61.753 Call (40) 2,090 409 Kospi 200 Index Futures Jun 2003 63.623 Call (20) 524 189 ------------ 1,608 ------------ TOTAL OPTIONS PURCHASED (cost $1,276) 1,804 ------------ PRINCIPAL AMOUNT ($) OR SHARES ------------ PREFERRED STOCKS - 6.3% Brazil - 6.1% Aracruz Celulose SA - ADR 5 101 Banco Bradesco SA 389,648 1,607 Banco Itau Holding Financeira SA 13,830 925 Brasil Telecom Participacoes SA 34,043 242 Celular CRT Participacoes SA 2,501 309 Centrais Eletricas Brasileiras SA 27,666 238 Cia Brasileira de Distribuicao Grupo Pao de Acucar - ADR 48 695 Cia de Bebidas das Americas 2,622 530 Cia de Bebidas das Americas - ADR 81 1,616 Cia de Tecidos do Norte de Minas - Coteminas 6,342 433 Cia Energetica de Minas Gerais 15,595 166 Cia Paranaense de Energia 81,569 270 Cia Vale do Rio Doce 13 344 Cia Vale do Rio Doce - ADR 41 1,075 Empresa Brasileira de Aeronautica SA Class R - ADR 40 550 Gerdau SA 6,268 77 Investimentos Itau SA 322 246 Petroleo Brasileiro SA - Petrobras 132 2,289 Petroleo Brasileiro SA - Petrobras - ADR 153 2,648 Tele Centro Oeste Celular Participacoes SA 35,207 67 Tele Norte Leste Participacoes SA 29,777 322 Tele Norte Leste Participacoes SA - ADR 66 720 Telecomunicacoes Brasileiras SA - ADR 51 1,325 Telemig Celular Participacoes SA 91,870 88 Telemig Celular SA 35 -- Telesp Celular Participacoes SA (AE) 60,938 94 Telesp Celular Participacoes SA - ADR (AE) 51 195 Uniao de Bancos Brasileiros SA 3,521 126
50 Emerging Markets Fund EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Uniao de Bancos Brasileiros SA - ADR 12 211 Votorantim Celulose e Papel SA - VCP 29,887 1,149 ------------ 18,658 ------------ South Korea - 0.2% Hyundai Motor Co. 14 156 Samsung Electronics Co., Ltd. 2 189 ------------ 345 ------------ TOTAL PREFERRED STOCKS (cost $17,393) 19,003 ------------ SHORT-TERM INVESTMENTS - 8.4% United States - 8.4% Frank Russell Investment Company Money Market Fund 21,837 21,837 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 4,000 3,994 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $25,831) 25,831 ------------ TOTAL INVESTMENTS - 100.2% (identified cost $300,169) 305,128 OTHER ASSETS AND LIABILITIES NET - (0.2%) (469) ------------ NET ASSETS - 100.0% 304,659 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- Long Positions DAX Index (Germany) expiration date 06/03 (18) 1,285 149 Hang Seng Index (Hong Kong) expiration date 05/03 (49) 2,636 98
------------------------------------------------------------------------------- -------------------------------------------------------------------------------
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- JSE-40 Index (South Africa) expiration date 06/03 (298) 3,188 (321) expiration date 03/04 (30) 338 (50) SIMEX Index (Taiwan) expiration date 05/03 (315) 5,988 (362) ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts (486) ============ NOTIONAL MARKET OPTIONS WRITTEN AMOUNT VALUE (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- Brazil Bovespa Index Futures Jun 2003 12,374 Put (195) 2,509 (61) South Korea Kospi 200 Index Futures Jun 2003 58.379 Put (87) 2,090 (358) Jun 2003 61.753 Put (40) 1,017 (165) Jun 2003 63.623 Put (20) 524 (82) ------------ Total Liability for Options Written (premiums received $649) (666) ============
FOREIGN CURRENCY EXCHANGE CONTRACTS ------------------------------------------------------------------------- UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 49 BRL 140 05/02/03 -- USD 28 BRL 80 05/05/03 -- USD 28 BRL 100 06/18/03 6 USD 1,092 BRL 3,900 06/18/03 221 USD 625 BRL 2,000 06/18/03 49 USD 1,270 EUR 1,200 06/18/03 67 USD 18 HKD 144 05/02/03 -- USD 19 HKD 151 05/05/03 -- USD 11 ILS 52 05/01/03 -- USD 92 KRW 112,275 05/01/03 -- USD 961 KRW 1,200,000 06/18/03 23 USD 1,922 KRW 2,400,000 06/18/03 45 USD 812 KRW 1,000,000 06/18/03 8 USD 94 ZAR 674 05/05/03 (1) USD 34 ZAR 251 05/05/03 -- USD 56 ZAR 396 05/06/03 (2)
See accompanying notes which are an integral part of the financial statements. Emerging Markets Fund 51 EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 29 ZAR 208 05/06/03 (1) USD 43 ZAR 304 05/07/03 (1) USD 45 ZAR 320 05/07/03 (1) USD 51 ZAR 358 05/07/03 (2) USD 53 ZAR 375 05/07/03 (2) USD 139 ZAR 980 05/07/03 (4) USD 3,642 ZAR 31,000 06/18/03 548 BRL 161 USD 55 05/02/03 (1) BRL 9 USD 3 05/05/03 -- BRL 17 USD 6 05/05/03 -- EUR 500 USD 529 06/18/03 (28) HKD 117 USD 15 05/02/03 -- ZAR 634 USD 86 05/02/03 (1) ZAR 498 USD 71 05/07/03 2 ZAR 12,000 USD 1,414 06/18/03 (208) -------------- 717 ==============
----------------------------------------------------------------------------- -----------------------------------------------------------------------------
% OF MARKET INDUSTRY DIVERSIFICATION NET VALUE (UNAUDITED) ASSETS $ Auto and Transportation 2.9 9,014 Consumer Discretionary 5.2 15,738 Consumer Staples 5.4 16,300 Financial Services 22.2 67,542 Health Care 2.2 6,603 Integrated Oils 5.3 16,146
-----------------------------------------------------------------------------
% OF MARKET INDUSTRY DIVERSIFICATION NET VALUE (UNAUDITED) ASSETS $ Materials and Processing 12.0 36,696 Miscellaneous 2.2 6,766 Options 0.7 1,804 Other Energy 5.9 18,116 Producer Durables 6.5 19,754 Technology 6.6 19,966 Utilities 14.7 44,852 Short-Term Investments 8.4 25,831 ------------ ------------ Total Investments 100.2 305,128 Other Assets and Liabilities, Net (0.2) (469) ------------ ------------ Net Assets 100.0 304,659 ============ ============ % OF MARKET GEOGRAPHIC DIVERSIFICATION NET VALUE (UNAUDITED) ASSETS $ ----------------------------------------------------------------------------- ----------------------------------------------------------------------------- Asia 44.2 134,708 Africa 7.5 22,775 Europe 12.2 37,054 Latin America 19.9 60,606 Middle East 3.0 9,253 United Kingdom 3.8 11,676 Options 0.7 1,804 Other 0.5 1,421 Short-Term Investments 8.4 25,831 ------------ ------------ Total Investments 100.2 305,128 Other Assets and Liabilities, Net (0.2) (469) ------------ ------------ Net Assets 100.0 304,659 ============ ============
See accompanying notes which are an integral part of the financial statements. 52 Emerging Markets Fund REAL ESTATE SECURITIES FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 95.0% Apartment - 19.8% Apartment Investment & Management Co. Class A (o) 334 12,593 Archstone-Smith Trust (o) 1,173 26,733 AvalonBay Communities, Inc. (o) 365 14,560 Boardwalk Equities, Inc. 135 1,407 BRE Properties Class A (o) 342 10,517 Camden Property Trust (o) 212 7,420 Chateau Communities, Inc. (o) 109 2,346 Colonial Properties Trust (o) 40 1,367 Equity Residential (o) 1,139 29,519 Essex Property Trust, Inc. (o) 213 11,720 Summit Properties, Inc. (o) 233 4,502 Sun Communities, Inc. (o) 66 2,544 United Dominion Realty Trust, Inc. (o) 744 12,421 ------------ 137,649 ------------ Health Care - 2.5% Health Care Property Investors, Inc. (o) 114 4,247 Health Care REIT, Inc. (o) 105 2,987 Healthcare Realty Trust, Inc. (o) 205 5,630 Senior Housing Properties Trust (o) 238 2,969 Ventas, Inc. (AE) 106 1,378 ------------ 17,211 ------------ Hotels/Leisure - 4.3% Fairmont Hotels & Resorts, Inc. 107 2,441 Hilton Hotels Corp. 580 7,720 Hospitality Properties Trust (o) 66 1,887 Host Marriott Corp. (AE)(o) 991 7,648 Starwood Hotels & Resorts Worldwide, Inc. 382 10,252 ------------ 29,948 ------------ Office/Industrial - 34.1% Alexandria Real Estate Equities, Inc. (o) 31 1,307 AMB Property Corp. (o) 411 11,220 Arden Realty, Inc. (o) 256 6,098 Boston Properties, Inc. (o) 698 27,366 Brookfield Properties Co. 479 9,706 CarrAmerica Realty Corp. (o) 587 15,301 Catellus Development Corp. (AE) 849 17,990 Centerpoint Properties Trust (o) 162 9,382 Corporate Office Properties Trust (o) 46 695 Cousins Properties, Inc. (o) 65 1,707 Crescent Real Estate Equities Co. (o) 80 1,134 Duke Realty Corp. (o) 81 2,219 Equity Office Properties Trust (o) 609 15,826
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Highwoods Properties, Inc. (o) 271 5,490 Home Properties of NY, Inc. (o) 125 4,352 Kilroy Realty Corp. (o) 206 5,115 Lexington Corporate Properties Trust (o) 53 914 Liberty Property Trust (o) 476 14,907 Mack-Cali Realty Corp. (o) 521 16,455 Plum Creek Timber Co., Inc. (REIT) 108 2,512 Prentiss Properties Trust (o) 290 7,964 Prologis (o) 1,547 39,809 PS Business Parks, Inc. (o) 89 2,753 Reckson Associates Realty Corp. (o) 194 3,647 SL Green Realty Corp. (o) 396 12,760 Trizec Properties, Inc. (o) 36 337 ------------ 236,966 ------------ Outlet Centers - 3.8% Chelsea Property Group, Inc. (o) 668 26,473 ------------ Regional Malls - 16.8% CBL & Associates Properties, Inc. (o) 109 4,610 General Growth Properties, Inc. (o) 639 35,563 Macerich Co. (The) (o) 275 9,075 Mills Corp. (The) (o) 57 1,815 Rouse Co. (The) (o) 490 17,014 Simon Property Group, Inc. (o) 1,142 41,933 Taubman Centers, Inc. (o) 396 6,929 ------------ 116,939 ------------ Self Storage - 1.9% Public Storage, Inc. (o) 306 9,848 Shurgard Storage Centers, Inc. Class A (o) 114 3,734 ------------ 13,582 ------------ Shopping Center - 11.8% Developers Diversified Realty Corp. (o) 694 17,476 Federal Realty Investement Trust (o) 324 9,980 Heritage Property Investment Trust (o) 75 1,905 Kimco Realty Corp. (o) 359 12,978 Pan Pacific Retail Properties, Inc. (o) 465 18,199 Regency Centers Corp. (o) 145 4,785 Urstadt Biddle Properties, Inc. Class A (o) 95 1,153 Vornado Realty Trust (o) 404 15,367 ------------ 81,843 ------------ TOTAL COMMON STOCKS (cost $568,695) 660,611 ------------
Real Estate Securities Fund 53 REAL ESTATE SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 5.0% Frank Russell Investment Company Money Market Fund 34,419 34,419 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $34,419) 34,419 ------------ TOTAL INVESTMENTS - 100.0% (identified cost $603,114) 695,030 OTHER ASSETS AND LIABILITIES NET - 0.0% 133 ------------ NET ASSETS - 100.0% 695,163 ============
See accompanying notes which are an integral part of the financial statements. 54 Real Estate Securities Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- LONG-TERM INVESTMENTS - 83.3% Asset-Backed Securities - 18.6% AmeriCredit Automobile Receivables Trust Series 2001-B Class A4 5.370% due 06/12/08 2,000 2,086 Arcadia Automobile Receivables Trust Series 1998-E Class A3 5.750% due 10/15/06 1,165 1,171 Bay View Auto Trust Series 2002-LJ1 Class A2 2.410% due 08/25/05 1,026 1,027 California Infrastructure SCE-1 Series 1997-1 Class A6 6.380% due 09/25/08 4,400 4,777 Series 1997-1 Class A7 6.420% due 12/26/09 2,450 2,764 California Infrastructure SDG&E-1 Series 1997-1 Class A5 6.190% due 09/25/05 908 918 Capital Auto Receivables Asset Trust Series 2002-3 Class A3 3.580% due 10/16/06 1,050 1,089 Capital One Auto Finance Trust Series 2001-B Class A4 4.880% due 09/15/08 1,100 1,175 Capital One Prime Auto Receivables Trust Series 2003-1 Class A3 1.970% due 04/15/07 1,500 1,505 Caterpillar Financial Asset Trust Series 2002-A Class A3 3.150% due 02/25/08 2,250 2,285 Chase Manhattan Auto Owner Trust Series 2000-A Class A3 6.210% due 12/15/04 159 160 Series 2000-A Class A4 6.260% due 06/15/07 3,540 3,669 Chemical Master Credit Card Trust 1 Series 1996-2 Class A 5.980% due 09/15/08 4,000 4,248 Chevron Trust Fund 8.110% due 12/01/04 885 944 Chevy Chase Auto Receivables Trust Series 2000-1 Class A4 7.470% due 07/15/05 1,202 1,241 Series 2001-3 Class A3 3.950% due 05/16/05 1,000 1,013
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- CIT Marine Trust Series 1999-A Class A4 6.250% due 11/15/19 1,000 1,083 CIT Rv Trust Series 1998-A Class A5 6.120% due 11/15/13 1,000 1,064 Citibank Credit Card Issuance Trust (E) Series 2001-A5 Class A5 1.368% due 06/10/06 1,050 1,050 Series 2001-A6 Class A6 5.650% due 06/16/08 1,500 1,637 Series 2001-A8 Class A8 4.100% due 12/07/06 1,500 1,560 Series 2002-A3 Class A3 4.400% due 05/15/07 4,805 5,059 Series 2003-A3 Class A3 3.100% due 03/10/10 1,000 990 Series 2003-A5 Class A5 2.500% due 04/07/08 1,700 1,707 Citibank Credit Card Master Trust I 6.100% due 05/15/08 1,675 1,852 Series 1997-6 Class A 0.000% due 08/15/06 900 883 Community Program Loan Trust Series 1987-A Class A4 4.500% due 10/01/18 2,244 2,309 Connecticut RRB Special Purpose Trust CL&P Series 2001-1 Class A5 6.210% due 12/30/11 1,000 1,139 Conseco Finance Securitizations Corp. Series 2000-2 Class A3 8.070% due 12/01/30 967 996 Copelco Capital Funding Corp. Series 2000-A Class A4 7.220% due 08/18/05 1,210 1,254 CSXT Trade Receivables Master Trust Series 1998-1 Class A 6.000% due 07/26/04 3,000 3,020 Daimler Chrysler Auto Trust Series 2000-E Class A3 6.110% due 11/08/04 347 351 Series 2001-D Class A4 3.780% due 02/06/07 3,000 3,113 Series 2002-B Class A4 3.530% due 12/06/07 4,000 4,141
Short Term Bond Fund 55 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Discover Card Master Trust I Series 1993-3 Class A 6.200% due 05/16/06 2,125 2,181 Series 1996-3 Class A 6.050% due 08/18/08 1,125 1,237 Series 1998-7 Class A 5.600% due 05/16/06 1,500 1,535 Series 2000-5 Class A 1.490% due 11/15/07 1,000 1,003 Distribution Financial Services Floorplan Master Trust (E)(Y) Series 2003-1 Class A 1.380% due 04/15/07 3,000 3,000 First National Master Note Trust (E) Series 2003-1 Class A 1.400% due 08/15/08 1,000 1,001 Fleet Credit Card Master Trust II Series 2000-C Class A 7.020% due 02/15/08 1,211 1,343 Fleetwood Credit Corp. Grantor Trust Series 1997-B Class A 6.400% due 05/15/13 1,848 1,904 Ford Credit Auto Owner Trust Series 2000-E Class A5 6.770% due 10/15/04 3,455 3,544 Series 2001-B Class A5 5.360% due 06/15/05 5,875 6,073 Series 2001-C Class A4 4.830% due 02/15/05 1,040 1,051 Government Trust Certificate 8.500% due 04/01/06 1,238 1,370 Green Tree Financial Corp. Series 1995-9 Class A5 6.800% due 12/15/25 38 38 Series 1997-3 Class A5 7.140% due 03/15/28 854 878 Series 1998-6 Class A5 6.060% due 04/01/18 609 616 Series 1999-3 Class A4 5.950% due 02/01/31 327 328 Honda Auto Receivables Owner Trust Series 2002-2 Class A3 3.830% due 02/15/06 1,425 1,460 Household Automotive Trust Series 2002-2 Class A3 2.850% due 03/19/07 2,000 2,030 Household Private Label Credit Card Master Note Trust I (E) Series 2002-2 Class A 1.480% due 01/18/11 1,000 1,000
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Hyundai Auto Receivables Trust Series 2002-A Class A3 2.800% due 02/15/07 1,000 1,016 Illinois Power Special Purpose Trust Series 1998-1 Class A5 5.380% due 06/25/07 2,000 2,088 J.C.Penney Master Credit Card Trust Series 1998-E Class A 5.500% due 06/15/07 3,000 3,068 Massachusetts RRB Special Purpose Trust Series 1999-1 Class A2 6.450% due 09/15/05 788 802 MBNA Credit Card Master Note Trust Series 2001-A1 Class A1 5.750% due 10/15/08 1,000 1,094 MBNA Master Credit Card Trust USA Series 1995-C Class A 6.450% due 02/15/08 4,000 4,373 Series 2000-I Class A 6.900% due 01/15/08 3,157 3,490 Mellon Auto Grantor Trust Series 2000-1 Class A 7.180% due 10/15/06 302 308 Series 2000-2 Class A 6.390% due 07/15/07 972 1,008 Missouri Higher Education Loan Authority (E) Series 1997-97 Class P 1.760% due 07/25/08 373 373 National City Auto Receivables Trust Series 2002-A Class A4 4.830% due 08/15/09 2,000 2,123 Navistar Financial Corp. Owner Trust Series 2001-B Class A4 4.370% due 11/17/08 2,500 2,599 Nelnet Student Loan Trust (E) Series 2002-2 Class A3 1.390% due 09/25/13 2,000 1,985 New Century Home Equity Loan Trust (E) Series 2000-NC1 Class A 1.590% due 04/25/30 145 145 Nissan Auto Receivables Owner Trust Series 2000-C Class A3 6.720% due 08/16/04 145 146 Series 2001-B Class A4 5.350% due 10/15/06 925 962 Series 2001-C Class A3 4.310% due 05/16/05 759 769
56 Short Term Bond Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 2001-C Class A4 4.800% due 02/15/07 1,275 1,334 Series 2002-A Class A3 3.580% due 09/15/05 1,150 1,169 Series 2002-B Class A3 3.990% due 12/15/05 1,400 1,433 Nordstrom Private Label Credit Card Master Note Trust Series 2001-1A Class A 4.820% due 04/15/10 1,000 1,064 Onyx Acceptance Grantor Trust Series 2000-D Class A4 6.850% due 08/15/07 3,500 3,623 Series 2002-D Class A4 3.100% due 07/15/09 1,000 1,022 PBG Equipment Trust Series 1998-1A Class A 6.270% due 01/20/12 727 765 Peco Energy Transition Trust Series 1999-A Class A4 5.800% due 03/01/07 2,000 2,105 Peoplefirst.com Auto Receivables Owner Trust Series 2000-1 Class A4 7.405% due 12/15/06 4,948 4,981 Philadelphia Authority for Industrial Development Series 1997-1997 Class A 6.488% due 06/15/04 502 524 PSE&G Transition Funding LLC Series 2001-1 Class A2 5.740% due 03/15/07 732 763 Series 2001-1 Class A3 5.980% due 06/15/08 3,000 3,290 Railcar Trust Series 1992-1 Class A 7.750% due 06/01/04 4,055 4,208 Regions Auto Receivables Trust Series 2002-1 Class A3 2.630% due 01/16/07 1,500 1,525 Sears Credit Account Master Trust Series 1996-3 Class A 7.000% due 07/15/08 953 985 Series 1999-3 Class A 6.450% due 11/17/09 1,000 1,072 Series 2000-1 Class A 7.250% due 11/15/07 948 963 Series 2001-1 Class A 1.490% due 02/15/10 1,375 1,368 Series 2002-3 Class A 1.600% due 05/17/16 1,200 1,168
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SLM Student Loan Trust (E) Series 1996-1 Class A2 1.891% due 07/27/09 757 766 Series 1996-3 Class A2 1.821% due 10/26/09 841 852 Series 2002-1 Class A1 1.350% due 10/25/10 811 811 Series 2002-3 Class A2 1.360% due 10/26/09 893 894 Series 2003-3 Class A1 1.290% due 06/15/07 1,900 1,895 SSB Auto Loan Trust Series 2002-1 Class A3 2.370% due 09/15/06 1,000 1,013 Standard Credit Card Master Trust Series 1995-1 Class A 8.250% due 01/07/07 1,125 1,246 TMS SBA Loan Trust (E) Series 1996-2 Class A 2.110% due 04/15/24 300 309 Series 1997-1 Class A 2.000% due 01/15/25 427 426 Series 1997-1 Class B 2.480% due 01/15/25 285 283 USAA Auto Loan Grantor Trust Series 1999-1 Class A 6.100% due 02/15/06 136 137 Vanderbilt Acquisition Loan Trust Series 2002-1 Class A1 3.280% due 01/07/13 704 711 West Penn Funding LLC Transition Bonds Series 1999-A Class A3 6.810% due 09/25/08 1,000 1,095 WFS Financial Owner Trust Series 2002-2 Class A3 3.810% due 02/20/07 1,500 1,539 Whole Auto Loan Trust Series 2002-1 Class A3 2.600% due 08/15/06 1,000 1,017 World Omni Auto Receivables Trust Series 2001-B Class A3 3.790% due 11/21/05 1,000 1,015 ------------ 168,592 ------------ Corporate Bonds and Notes - 18.5% Abbott Laboratories 5.625% due 07/01/06 500 551 ABN Amro Bank NV 7.250% due 05/31/05 2,000 2,211
Short Term Bond Fund 57 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Altria Group, Inc. 7.650% due 07/01/08 1,500 1,589 AOL Time Warner, Inc. 5.625% due 05/01/05 525 553 Associates Corp. of North America Series MTNH 7.625% due 04/27/05 1,000 1,105 7.250% due 05/08/06 1,700 1,919 AT&T Wireless Services, Inc. 7.350% due 03/01/06 1,000 1,114 Bank of America Corp. (E) 1.590% due 08/26/05 1,000 1,004 5.250% due 02/01/07 1,000 1,086 Bank of Montreal 6.100% due 09/15/05 1,000 1,087 7.800% due 04/01/07 1,000 1,161 Bank One Corp. 7.000% due 07/15/05 2,500 2,765 7.625% due 08/01/05 3,383 3,795 BankAmerica Corp. 6.200% due 02/15/06 750 825 Bayerische Landesbank Girozentrale 2.500% due 03/30/06 1,500 1,518 Bear Stearns Cos., Inc. (The) (E) 1.839% due 07/15/05 1,500 1,512 Boatmen's Bancshares, Inc. 7.625% due 10/01/04 3,058 3,290 Bristol-Myers Squibb Co. 4.750% due 10/01/06 9,400 9,989 CIT Group, Inc. 5.625% due 05/17/04 2,600 2,686 7.125% due 10/15/04 4,800 5,083 7.375% due 04/02/07 1,000 1,120 Citigroup, Inc. 6.750% due 12/01/05 6,525 7,261 Comcast Cable Communications 8.375% due 05/01/07 1,500 1,733 Countrywide Home Loans, Inc. Series MTNJ 5.250% due 06/15/04 7,000 7,274 Series MTNK 3.500% due 12/19/05 3,000 3,072 Deutsche Bank Financial, Inc. 6.700% due 12/13/06 1,000 1,127 DTE Energy Co. 6.000% due 06/01/04 250 261 Entergy Mississippi, Inc. 4.350% due 04/01/08 500 505 Ford Motor Credit Co. 7.600% due 08/01/05 4,000 4,193
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- General Electric Capital Corp. 8.850% due 04/01/05 1,000 1,129 8.500% due 07/24/08 1,000 1,228 Series MTNA 7.250% due 05/03/04 1,000 1,057 1.384% due 03/15/05 2,000 2,001 5.350% due 03/30/06 2,500 2,697 8.125% due 04/01/08 1,000 1,206 General Mills, Inc. 3.875% due 11/30/07 1,000 1,017 General Motors Acceptance Corp. (E) 1.679% due 07/21/04 300 296 6.750% due 01/15/06 2,710 2,858 6.150% due 04/05/07 475 492 Goldman Sachs Group, Inc. 4.125% due 01/15/08 1,700 1,754 GTE Corp. 6.360% due 04/15/06 2,000 2,209 GTE Florida, Inc. Series D 6.250% due 11/15/05 270 295 GTE Hawaiian Telephone Co. Series A 7.000% due 02/01/06 2,000 2,153 GTE North, Inc. Series E 6.400% due 02/15/05 1,200 1,284 Harrah's Operating Co., Inc. 7.125% due 06/01/07 1,500 1,647 Household Finance Corp. 6.000% due 05/01/04 1,000 1,041 8.000% due 05/09/05 4,000 4,475 4.625% due 01/15/08 2,200 2,295 International Game Technology 7.875% due 05/15/04 1,500 1,575 International Lease Finance Corp. Series MTNG 8.260% due 02/15/05 1,875 2,047 John Hancock Global Funding II 6.000% due 12/28/06 2,450 2,651 JP Morgan Chase & Co. 5.250% due 05/30/07 1,500 1,628 KFW International Finance Series DTC 5.250% due 06/28/06 1,000 1,098 Lehman Brothers Holdings, Inc. 7.750% due 01/15/05 2,000 2,187 May Department Stores Co. (The) 7.150% due 08/15/04 6,200 6,605 Merck & Co., Inc. 5.250% due 07/01/06 2,000 2,164
58 Short Term Bond Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Morgan Stanley 6.100% due 04/15/06 1,000 1,097 Morgan Stanley Group, Inc. 6.875% due 03/01/07 1,500 1,690 National Bank of Canada Series B 8.125% due 08/15/04 1,000 1,058 National Rural Utilities Cooperative Finance 3.000% due 02/15/06 6,500 6,599 Norfolk Southern Corp. (E) 2.478% due 02/28/05 700 703 South Africa Government International Bond 9.125% due 05/19/09 800 976 Southwestern Bell Telephone 6.625% due 04/01/05 2,510 2,731 Sprint Capital Corp. 6.125% due 11/15/08 100 102 State Street Capital Trust II (E) 1.869% due 02/15/08 325 325 SunAmerica, Inc. 6.750% due 10/01/07 3,850 4,388 Swiss Bank Corp. NY 7.250% due 09/01/06 1,500 1,735 Time Warner, Inc. 8.110% due 08/15/06 140 156 Tosco Corp. 7.250% due 01/01/07 1,500 1,696 US Bancorp/First Bank 7.625% due 05/01/05 1,000 1,111 Verizon Global Funding Corp. 6.750% due 12/01/05 2,000 2,226 Virginia Electric and Power Co. Series A 5.750% due 03/31/06 420 454 Wachovia Corp. 6.800% due 06/01/05 1,500 1,646 7.550% due 08/18/05 2,000 2,245 Waste Management, Inc. 7.100% due 08/01/26 1,175 1,311 Wells Fargo & Co. Series MTNH 6.750% due 10/01/06 500 564 6.750% due 06/15/07 1,000 1,143 Wells Fargo Financial, Inc. 6.125% due 02/15/06 5,650 6,243 Series MTND 1.363% due 09/12/05 3,000 3,002
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Weyerhaeuser Co. 5.500% due 03/15/05 305 320 6.125% due 03/15/07 1,500 1,631 ------------ 167,630 ------------ Emerging Markets Debt - 0.5% Brazilian Government International Bond (E) 2.125% due 04/15/06 2,208 2,070 Panama Government International Bond 8.250% due 04/22/08 1,100 1,188 Peru Government International Bond 9.125% due 01/15/08 1,000 1,110 ------------ 4,368 ------------ International Debt - 4.4% British Telecommunications PLC 7.875% due 12/15/05 1,100 1,247 Deutsche Telekom International Finance BV 8.250% due 06/15/05 3,550 3,944 European Investment Bank 5.625% due 02/03/05 1,300 1,389 Series DTC 5.625% due 01/24/06 575 628 France Telecom 8.700% due 03/01/06 1,200 1,363 Hydro Quebec Series MTNB 6.520% due 02/23/06 1,000 1,119 Inter-American Development Bank 12.250% due 12/15/08 1,250 1,816 International Bank for Reconstruction & Development 6.015% due 06/21/04 375 395 Italy Government International Bond 7.250% due 02/07/05 2,500 2,730 John Hancock Global Funding, Ltd. 7.500% due 01/31/05 4,080 4,433 Mexico Government International Bond 4.625% due 10/08/08 3,250 3,276 Province of British Columbia/Canada 4.625% due 10/03/06 2,000 2,142 Province of Manitoba 4.250% due 11/20/06 1,000 1,055 Province of Ontario 7.000% due 08/04/05 1,500 1,667 6.000% due 02/21/06 1,000 1,105
Short Term Bond Fund 59 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Province of Quebec 6.500% due 01/17/06 1,000 1,112 Telefonica Europe BV 7.350% due 09/15/05 2,500 2,791 Tyco International Group SA 6.375% due 06/15/05 265 269 Vodafone Group PLC 7.625% due 02/15/05 6,560 7,213 ------------ 39,694 ------------ Mortgage-Backed Securities - 18.8% Asset Securitization Corp. Series 1997-D4 Class A1C 7.420% due 04/14/29 2,000 2,151 Bank of America Mortgage Securities (E) Series 2002-K Class 2A1 5.773% due 10/20/32 574 587 Bank One Mortgage-Backed Pass-Through Series 2000-2 Class 4A 5.109% due 03/15/30 259 262 Bear Stearns Adjustable Rate Mortgage Trust Series 2002-9 Class 2A 5.395% due 10/25/32 162 165 Series 2003-1 Class 5A1 5.464% due 04/25/33 1,763 1,815 Bear Stearns Commercial Mortgage Securities Series 1998-C1 Class A1 6.340% due 06/16/30 861 938 Series 2001-TOP4 Class A1 5.060% due 11/15/16 478 507 Series 2003-T10 Class A1 4.000% due 03/13/40 1,000 1,015 Bear Stearns Mortgage Securities, Inc. Series 1998-1 Class A18 6.750% due 03/25/28 279 285 Chase Commercial Mortgage Securities Corp. Series 1997-2 Class A1 6.450% due 12/19/29 393 410 Chevy Chase Home Loan Trust Series 1996-1 Class A 7.150% due 05/15/15 968 996 Contimortgage Home Equity Trust 1998-3 Series 1998-2 Class A7 6.570% due 03/15/23 1,200 1,275
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Countrywide Alternative Loan Trust (Y) 6.500% due 06/25/33 2,100 2,183 Credit Suisse First Boston Mortgage Securities Corp. (Y) Series 2002 P3 Class A 2.361% due 08/25/33 1,244 1,244 CS First Boston Mortgage Securities Corp. Series 2002-AR27 Class 2A2 (Y) 5.768% due 10/25/32 576 584 Series 2003-CK2 Class A1 3.006% due 03/15/36 1,000 1,006 Federal Home Loan Mortgage Corp. 9.000% due 2005 11 11 6.250% due 2007 3 3 5.500% due 2008 498 525 6.500% due 2008 578 610 5.500% due 2009 1,001 1,050 6.000% due 2009 724 764 6.500% due 2009 1,548 1,645 6.000% due 2010 611 644 8.000% due 2010 277 293 6.000% due 2011 1,859 1,952 6.000% due 2013 535 560 5.500% due 2014 689 719 6.000% due 2016 3,711 3,878 5.500% due 2029 1,948 2,011 7.312% due 2031 148 150 6.500% due 2032 820 856 Series 1993-1645 Class PD 4.500% due 09/15/08 504 525 Series 2002-2441 Class KA 5.750% due 05/15/31 600 612 Series 2003-2557 Class MA 4.500% due 07/15/16 1,000 1,032 Series 2003-2571 Class FB 1.660% due 02/15/18 1,873 1,874 Series 2003-2580 Class QK 4.000% due 04/15/22 1,500 1,508 Federal National Mortgage Association 15 Year TBA 4.500% (o) 7,500 7,640 5.000% (o) 6,000 6,154 6.000% (o) 2,500 2,620 7.000% due 2004 12 12 6.853% due 2005 360 385 6.000% due 2008 385 406 6.500% due 2008 482 514 5.500% due 2009 11,537 12,055 6.000% due 2010 1,174 1,239 6.500% due 2010 520 553
60 Short Term Bond Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 6.000% due 2011 874 927 6.500% due 2011 538 574 5.500% due 2013 962 1,016 6.000% due 2013 2,196 2,304 6.000% due 2014 5,919 6,215 5.500% due 2016 10,365 10,788 6.000% due 2016 3,880 4,068 5.500% due 2017 20,887 21,738 6.000% due 2017 20,731 21,735 6.825% due 2018 459 474 4.518% due 2022 381 392 4.503% due 2024 788 817 7.500% due 2031 342 364 6.393% due 2040 1,863 1,947 Series 1994-1 Class K 6.500% due 06/25/13 866 903 Series 2003-27 Class TJ 4.000% due 10/25/16 2,000 2,054 Series 2003-28 Class PA 5.500% due 05/25/06 2,805 2,840 Federal National Mortgage Association Grantor Trust Series 2002-T6 Class A1 3.310% due 02/25/32 544 543 First Republic Mortgage Loan Trust Series 2000-FRB1 Class A2 4.382% due 06/25/30 315 319 Fleet Mortgage Securities Series 2001-1 Class A1 6.000% due 07/28/29 87 89 GE Capital Commercial Mortgage Corp. Series 2001-2 Class A1 5.260% due 08/11/33 754 800 Series 2001-3 Class A1 5.560% due 06/10/38 948 1,019 Government National Mortgage Association I 7.250% due 2006 254 261 7.000% due 2007 18 19 6.000% due 2008 340 360 7.000% due 2008 332 356 7.000% due 2009 258 278 7.000% due 2011 132 141 7.000% due 2012 147 158 9.500% due 2017 2 2 Government National Mortgage Association II (E) 5.750% due 2027 383 392 5.000% due 2032 910 928
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- GSR Mortgage Loan Trust (E) Series 2002-9 Class A1A 2.882% due 10/25/32 388 388 Irwin Home Equity (E) Series 2002-1 Class 2A1 1.610% due 06/25/29 223 223 JP Morgan Chase Commercial Mortgage Securities Corp. Series 2002-C2 Class A1 4.326% due 12/12/34 982 1,012 Morgan Stanley Capital I Series 1998-WF2 Class A1 6.340% due 07/15/30 503 541 Morgan Stanley Dean Witter Capital I (E) Series 2002-HE1 Class A2 1.650% due 07/25/32 485 485 Series 2002-HQ Class A2 6.090% due 04/15/34 500 556 Series 2002-IQ2 Class A1 4.090% due 12/15/35 1,327 1,380 Residential Accredit Loans, Inc. Series 2000-QS12 Class A1 7.750% due 10/25/30 92 94 Series 2001-QS19 Class A1 6.000% due 12/25/16 725 748 Residential Funding Mortgage Sec I Series 2002-SA2 Class A1 5.650% due 09/25/32 267 272 Residential Funding Mortgage Securities II Series 2003-HS1 Class AI2 2.120% due 02/25/33 2,500 2,495 Resolution Trust Corp. Series 1995-2 Class C1 7.450% due 05/25/29 138 138 Structured Asset Mortgage Investments, Inc. Series 1998-9 Class 2A2 6.125% due 11/25/13 295 304 Series 2002-AR3 Class A1 1.659% due 09/19/32 289 290 Structured Asset Securities Corp. (E) Series 2001-21A Class 1A1 6.250% due 01/25/32 1,047 1,085 Union Planters Mortgage Finance Corp. Series 1999-1 Class A1 6.250% due 04/01/29 182 186
Short Term Bond Fund 61 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- United Mortgage Securities Corp. Series 1993-1 Class AA 5.063% due 09/25/33 350 356 Series 1994-1 Class A2 4.474% due 06/25/32 1,001 1,022 Vendee Mortgage Trust Series 2000-1 Class 2B 7.250% due 12/15/20 232 234 Wachovia Asset Securitization, Inc. Series 2002-1 Class 1A1 6.250% due 10/25/33 543 557 Wachovia Bank Commercial Mortgage Trust Series 2003-C4 Class A1 3.003% due 04/15/35 1,000 1,007 Washington Mutual (E) Series 2000-1 Class A1 1.610% due 06/25/24 105 105 Series 2001-1 Class A 4.055% due 01/25/41 89 89 Washington Mutual Mortgage Securities Corp. (E) Series 2001-9 Class 1A1 4.373% due 04/25/28 218 225 Washington Mutual MSC Mortgage Pass-Through CTFS (E)(Y) 5.799% due 08/25/32 2,084 2,141 Series 2002-AR1 Class 1A1 4.927% due 11/25/30 480 502 Series 2002-AR2 Class 2A1 6.190% due 07/25/32 374 385 ------------ 169,864 ------------ Municipal Bonds - 0.0% California State Department of Water Resources Revenue Bonds 3.585% due 05/01/04 475 482 ------------ United States Government Agencies - 2.5% Federal Home Loan Bank System 0.000% due 04/27/10 1,533 1,427 Federal Home Loan Mortgage Corp. 4.250% due 03/22/06 1,450 1,481 3.500% due 09/15/07 8,500 8,738 Federal National Mortgage Association 4.450% due 05/03/05 1,150 1,192 2.875% due 10/15/05 5,600 5,736
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 6.625% due 10/15/07 2,450 2,832 Vendee Mortgage Trust 6.500% due 05/15/08 806 852 ------------ 22,258 ------------ United States Government Treasuries - 20.0% United States Treasury Bond 10.000% due 05/15/10 1,025 1,195 United States Treasury Inflation Indexed Bonds 3.875% due 01/15/09 1,005 1,128 4.250% due 01/15/10 5,222 6,021 3.875% due 04/15/29 111 135 United States Treasury Note 3.250% due 05/31/04 14,115 14,430 5.875% due 11/15/04 4,945 5,286 2.000% due 11/30/04 18,375 18,566 1.750% due 12/31/04 100 101 1.625% due 03/31/05 81,870 82,114 1.625% due 04/30/05 440 441 6.750% due 05/15/05 4,330 4,783 5.875% due 11/15/05 4,825 5,303 5.625% due 02/15/06 920 1,014 4.625% due 05/15/06 2,140 2,305 6.875% due 05/15/06 115 131 7.000% due 07/15/06 685 789 3.500% due 11/15/06 14,640 15,262 4.375% due 05/15/07 6,825 7,323 3.000% due 11/15/07 4,475 4,536 3.000% due 02/15/08 1,190 1,202 8.750% due 11/15/08 1,700 1,768 9.125% due 05/15/09 750 810 6.000% due 08/15/09 505 585 10.375% due 11/15/09 900 1,022 12.750% due 11/15/10 1,825 2,313 10.375% due 11/15/12 1,075 1,424 8.750% due 05/15/17 800 1,163 ------------ 181,150 ------------ TOTAL LONG-TERM INVESTMENTS (cost $740,756) 754,038 ------------ SHORT-TERM INVESTMENTS - 19.0% African Development Bank 9.750% due 12/15/03 1,720 1,809 AT&T Corp. 7.500% due 04/01/04 3,500 3,639 AvalonBay Communities, Inc. 6.580% due 02/15/04 750 778
62 Short Term Bond Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- British Telecommunications PLC (E) 2.554% due 12/15/03 200 201 Bundesschatzanweisungen 4.250% due 06/13/03 3,700 4,136 Conoco, Inc. 5.900% due 04/15/04 475 494 CSX Corp. Series MTNC 5.850% due 12/01/03 1,000 1,024 DaimlerChrysler Financial Services North America LLC (E) Series MTNR 1.431% due 06/18/03 400 400 Danske Corp. Commercial Paper (c)(y) 1.210% due 07/10/03 9,500 9,470 Duke Realty, LP 7.300% due 06/30/03 2,000 2,017 ERP Operating, LP 6.650% due 11/15/03 1,000 1,025 Evans Withycombe Residential 7.500% due 04/15/04 1,000 1,045 Federal Home Loan Mortgage Corp. Discount Note (c)(y) 1.170% due 07/10/03 5,600 5,583 Federal National Mortgage Association Discount Note (c)(y) 1.220% due 05/21/03 12,700 12,691 1.160% due 07/02/03 5,600 5,585 First Chicago Corp. 6.875% due 06/15/03 1,000 1,006 Ford Motor Credit Co. (E) 1.806% due 06/23/03 500 500 Frank Russell Investment Company Money Market Fund 85,358 85,358 French Treasury Note BTAN 4.500% due 07/12/03 3,476 3,893 General Electric Capital Corp. Series MTNA 5.375% due 04/23/04 3,000 3,114 General Electric Capital Corp. Commercial Paper 1.250% due 07/23/03 300 299 1.250% due 07/25/03 1,800 1,797 General Motors Acceptance Corp. (E) 1.680% due 08/04/03 1,200 1,199 5.750% due 11/10/03 750 763 HBOS Treasury Services PLC Commercial Paper(E) 1.240% due 05/29/03 2,800 2,797
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Italy Buoni Poliennali Del Tesoro 4.500% due 07/15/03 1,876 2,102 ITT Corp. 6.750% due 11/15/03 1,500 1,523 Kimco Realty Corp. 6.500% due 10/01/03 1,000 1,020 Landesbank Baden-Wuerttemberg Girozentrale 7.875% due 04/15/04 2,500 2,662 Morgan Stanley (E) Series MTNC 1.361% due 09/19/03 1,500 1,501 Province of Manitoba 6.125% due 01/19/04 2,000 2,066 RBSG Capital Corp. 10.125% due 03/01/04 1,000 1,068 Sears Roebuck Acceptance Series MTN3 6.560% due 11/20/03 1,000 1,018 Series MTN4 6.720% due 09/17/03 2,550 2,587 Svenska Handlsbank Commercial Paper (c)(y) 1.230% due 06/24/03 3,900 3,893 United States Treasury Bill (c)(y)(s) 1.150% due 05/15/03 100 100 United States Treasury Note 1.087% due 05/15/03 1,650 1,673 Upjohn Co.-Esot 9.790% due 02/01/04 213 226 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $170,892) 172,062 ------------ TOTAL INVESTMENTS - 102.3% (identified cost $911,648) 926,100 OTHER ASSETS AND LIABILITIES NET - (2.3%) (20,680) ------------ NET ASSETS - 100.0% 905,420 ============
See accompanying notes which are an integral part of the financial statements. Short Term Bond Fund 63 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Euribor Futures (UK) expiration date 09/03 (1) 244 -- expiration date 03/04 (1) 244 (1) Eurodollar Futures expiration date 06/04 (13) 3,193 6 expiration date 09/04 (15) 3,671 7 expiration date 12/04 (17) 4,144 7 expiration date 03/05 (15) 3,644 7 Three Month LIBOR Futures (UK) expiration date 12/03 (1) 121 -- expiration date 03/04 (1) 121 (1) ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 25 ============
NOTIONAL MARKET OPTIONS WRITTEN AMOUNT VALUE (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------------ Three Month LIBOR Swap July 03 4.00 Call (1) 2,400 (4) Dec 03 3.50 Call (1) 7,350 (19) Dec 03 5.50 Put (1) 11,550 (7) --------------- Total Liability for Options Written (premiums received $54) (30) ===============
FOREIGN CURRENCY EXCHANGE CONTRACTS ------------------------------------------------------------------------- UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- EUR 4,111 USD 4,413 05/15/03 (173) ==============
See accompanying notes which are an integral part of the financial statements. 64 Short Term Bond Fund DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Long-Term Investments - 101.5% Asset-Backed Securities - 13.8% American Express Master Trust (E) Series 2001-1 Class A 1.400% due 09/15/05 1,555 1,556 Series 2002-1 Class A 1.380% due 12/15/05 910 910 AmeriCredit Automobile Receivables Trust (E) Series 2002-A Class A3 1.500% due 10/12/06 550 550 Series 2002-EM Class A3B 1.560% due 03/06/07 1,595 1,594 Bank One Issuance Trust (E) Series 2003-A2 Class A2 1.388% due 10/15/08 6,390 6,390 Bombardier Receivables Master Trust I (E) Series 2000-1 Class A 1.480% due 09/15/05 1,250 1,249 Capital Auto Receivables Asset Trust (E) Series 2001-1 Class A5 1.390% due 07/15/06 735 735 Series 2002-4 Class A3 1.360% due 01/16/06 1,060 1,060 Series 2002-5 Class A2A 1.370% due 01/18/05 879 879 Capital One Master Trust (E) Series 2002-3A Class A 1.390% due 02/15/08 2,830 2,816 Carco Auto Loan Master Trust (E) Series 2000-B Class A1 1.390% due 10/17/05 1,305 1,305 Case Equipment Loan Trust Series 1999-B Class A4 6.900% due 06/15/06 298 299 Chase Credit Card Master Trust (E) Series 2002-2 Class A 1.360% due 07/16/07 6,955 6,959 Series 2003-1 Class A 1.423% due 04/15/08 3,010 3,010 Chase Funding Mortgage Loan Asset-Backed Certificates (E) Series 2001-4 Class 1A1 1.540% due 04/25/16 102 102 Series 2002-1 Class 1A1 1.460% due 02/25/17 213 213 Chesapeake Funding LLC (E) Series 2002-1 Class A1 1.500% due 06/07/07 835 835
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Citibank Credit Card Issuance Trust Series 2001-A6 Class A6 5.650% due 06/16/08 1,050 1,146 CNH Equipment Trust (E) Series 2001-A Class A3 1.480% due 11/15/05 872 871 Conseco Finance Securitizations Corp. (E) Series 2001-3 Class A1 1.438% due 05/01/33 150 150 Continental Airlines, Inc. 6.545% due 02/02/19 514 447 Countrywide Asset-Backed Certificates (E)(Y) 1.618% due 06/25/33 455 455 Daimler Chrysler Master Owner Trust (E) Series 2003-A Class A 1.388% due 02/15/08 1,225 1,225 Discover Card Master Trust I (E) Series 2000-2 Class A 1.490% due 09/18/07 1,645 1,649 Distribution Financial Services Floorplan Master Trust (E)(Y) Series 2003-2 Class A 1.410% due 04/15/08 1,630 1,630 DVI Receivables Corp. (E) Series 2002-1 Class A3A 1.658% due 06/11/10 880 879 Federal Home Loan Mortgage Corp. Structured Pass Through Securities (E) Series 2000-23 Class A 1.460% due 05/25/30 3,002 3,007 Federal National Mortgage Association Grantor Trust (E) Series 2003-T3 Class 1A (Y) 1.460% due 06/25/33 2,637 2,641 Series 2003-T4 Class 1A 1.425% due 09/26/33 5,085 5,085 First Deposit Master Trust (E) Series 1996-1 Class A 1.480% due 08/15/07 2,600 2,600 First Franklin Mortgage Loan Asset Backed Certificates Series 2002-FF1 Class 1A2 3.790% due 04/25/32 1,990 2,039 First Franklin NIM Trust (Y) Series 2002-FF1 Class A 7.870% due 04/25/32 263 263
Diversified Bond Fund 65 DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- First National Master Note Trust (E) Series 2003-1 Class A 1.400% due 08/15/08 465 466 Fleet Credit Card Master Trust II Series 2001-C Class A 3.860% due 03/15/07 825 851 Series 2002-A Class A 1.360% due 10/15/07 4,540 4,542 Series 2003-A Class A 2.400% due 07/15/08 920 924 Ford Credit Auto Owner Trust (E) Series 2001-E Class A3 1.450% due 03/15/05 2,075 2,075 Series 2002-A Class A3B 1.430% due 01/15/06 1,925 1,925 Ford Credit Floorplan Master Owner Trust (E) Series 2001-1 Class A 1.400% due 07/17/06 865 865 General Motors Acceptance Corp. (E) 1.699% due 07/30/04 800 791 GMAC Mortgage Corp. Loan Trust (E) Series 1999-1 Class A 1.619% due 06/18/27 1,321 1,322 Series 2003-HE1 Class A1 1.410% due 04/25/33 1,465 1,466 Greyhound Funding LLC (E) Series 2001-1 Class A1 1.560% due 09/07/06 521 521 Series 2001-1 Class A2 1.620% due 09/09/13 1,400 1,400 Honda Auto Receivables Owner Trust Series 2002-2 Class A4 4.490% due 09/17/07 760 801 Series 2003-1 Class A31 1.920% due 11/20/06 2,400 2,411 Household Credit Card Master Note Trust I (E) Series 2002-1 Class A 1.440% due 07/15/08 760 759 Long Beach Asset Holdings Corp. (Y) Series 2003-2 Class N1 7.627% due 06/25/33 405 405 MBNA Credit Card Master Note Trust Series 2002-C1 Class C1 6.800% due 07/15/14 740 785 Series 2003-A2 Class A2 1.357% due 08/15/08 6,005 6,003
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- MBNA Master Credit Card Trust USA Series 1998-C Class C 6.350% due 11/15/05 1,330 1,338 Series 2000-C Class A 1.470% due 07/15/07 2,860 2,866 Merrill Lynch Mortgage Investors, Inc. (E) Series 2002-NC1 Class A1 1.640% due 05/25/33 1,256 1,256 Series 2003-WMC2 Class A2 1.660% due 02/25/34 1,321 1,322 Morgan Stanley ABS Capital One Series 2003 NC5 Class A2 1.600% due 05/25/33 740 740 Morgan Stanley Dean Witter Capital I (E)(Y) Series 2003-NC4 Class A2 1.688% due 04/25/33 680 680 National City Auto Receivables Trust Series 2002-A Class A4 4.830% due 08/15/09 1,965 2,085 Nelnet Student Loan Trust (E) Series 2002-2 Class A2 1.320% due 06/25/11 1,200 1,199 Nissan Auto Receivables Owner Trust Series 2003-A Class A3 1.890% due 12/15/06 1,865 1,869 NPF XII, Inc. (Y) Series 2002-1A Class A 2.390% due 05/02/05 1,825 365 Nynex Corp. 9.550% due 05/01/10 233 282 Option One Mortgage Loan Trust (E) Series 2001-4 Class A 1.605% due 01/25/32 2,090 2,091 Series 2003-1 Class A2 1.790% due 02/25/33 1,812 1,819 Option One Mortgage Securities Corp. NIM Trust (Y) 1.630% due 04/25/10 1,025 1,025 Residential Asset Mortgage Products, Inc. (E) Series 2002-RS2 Class AI1 1.480% due 04/25/21 74 74 Series 2002-RS5 Class AII 1.690% due 09/25/32 798 797 Series 2002-RZ2 Class A1 1.460% due 11/25/21 209 209 Series 2003-RS1 Class AII 1.728% due 02/25/33 1,363 1,365
66 Diversified Bond Fund DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 2003-RS2 Class AII 1.660% due 03/25/33 1,236 1,236 Series 2003-RS3 Class AII (Y) 1.670% due 04/25/33 945 945 Series 2003-RZ1 Class AI3 3.490% due 08/25/29 1,095 1,111 Residential Asset Securities Corp. (E) Series 2002-KS3 Class A1B 1.570% due 05/25/32 1,531 1,530 Series 2003-KS1 Class A2 1.710% due 01/25/33 908 909 Residential Funding Mortgage Securities II (E) Series 2003-HI1 Class A1 1.410% due 04/25/10 1,019 1,018 Ryder Vehicle Lease Trust Series 2001-A Class A3 5.520% due 05/16/05 161 162 Saxon Asset Securities Trust (E) Series 2003-1 Class AV1 1.642% due 06/25/33 1,810 1,811 Sears Credit Account Master Trust (E) Series 2001-2 Class A 1.420% due 06/16/08 905 903 Series 2002-1 Class A 1.410% due 02/18/09 2,820 2,809 SLM Student Loan Trust (E) Series 2003-3 Class A2 1.310% due 06/15/10 1,845 1,845 Series 2003-A Class A1 1.339% due 12/15/15 955 957 Small Business Administration 7.449% due 08/01/10 239 272 Specialty Underwriting & Residential (E)(Y) Series 2003-BC1 Class A 1.650% due 01/25/34 913 914 Superior Wholesale Inventory Financing Trust (E) Series 2000-A Class A 1.419% due 04/15/07 1,455 1,458 Series 2001-A7 Class A 1.400% due 03/15/06 1,735 1,735 Systems 2001 AT LLC 7.156% due 12/15/11 252 273 Toyota Auto Receivables Owner Trust (E) Series 2001-A Class A4 1.420% due 09/17/07 1,000 1,000 Series 2002-C Class A4 1.360% due 05/15/09 880 880
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Triad Auto Receivables Owner Trust (E) Series 2003-A Class A3 1.494% due 07/12/07 1,070 1,070 Wal-Mart Stores, Inc. 8.800% due 12/30/14 315 410 WFS Financial Owner Trust Series 2002-2 Class A3 3.810% due 02/20/07 1,095 1,124 Whole Auto Loan Trust Series 2002-1 Class A3 2.600% due 08/15/06 2,290 2,328 William Street Funding Corp. 1.620% due 04/23/06 2,595 2,606 World Financial Network Credit Card Master Trust (E) Series 2001-A Class A 1.550% due 06/16/08 1,075 1,075 ------------ 134,624 ------------ Corporate Bonds and Notes - 16.2% Ahold Finance USA, Inc. 8.250% due 07/15/10 260 229 Alabama Power Co. Series N 4.875% due 09/01/04 540 561 Allegiance Corp. 7.000% due 10/15/26 130 153 Altria Group, Inc. 7.650% due 07/01/08 310 328 Amerada Hess Corp. 7.875% due 10/01/29 100 119 7.300% due 08/15/31 370 414 American Electric Power Co., Inc. Series C 5.375% due 03/15/10 110 114 American General Finance Corp. Series MTNH 5.375% due 10/01/12 850 883 Anadarko Finance Co. Series B 7.500% due 05/01/31 295 363 AOL Time Warner, Inc. 6.125% due 04/15/06 600 639 6.750% due 04/15/11 780 847 7.625% due 04/15/31 1,015 1,119 Archer-Daniels-Midland Co. 8.375% due 04/15/17 665 882 AT&T Broadband 8.375% due 03/15/13 250 305 9.455% due 11/15/22 211 281
Diversified Bond Fund 67 DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- AT&T Corp. 5.360% due 11/21/03 1,600 1,795 7.800% due 11/15/11 300 329 8.500% due 11/15/31 410 456 AT&T Wireless Services, Inc. 8.125% due 05/01/12 2,055 2,416 8.750% due 03/01/31 1,430 1,781 BAE Systems Holdings, Inc. 6.400% due 12/15/11 790 833 Bank of America Corp. 7.800% due 02/15/10 55 67 Bank of New York 5.500% due 12/01/17 410 426 Bank One Corp. 5.250% due 01/30/13 500 526 BankBoston Corp. Series B 8.250% due 12/15/26 180 206 BCI US Funding Trust Step Up Bond 8.010% due 12/29/49 570 647 BellSouth Corp. 6.875% due 10/15/31 830 967 Beneficial Corp. 8.400% due 05/15/08 1,235 1,479 Boeing Capital Corp. 6.100% due 03/01/11 285 300 Boeing Co. (The) 5.125% due 02/15/13 490 494 8.750% due 08/15/21 550 700 Boston Properties, Inc. 6.250% due 01/15/13 645 692 Bristol-Myers Squibb Co. 5.750% due 10/01/11 630 684 Burlington Northern Santa Fe Corp. 6.875% due 12/01/27 265 296 Campbell Soup Co. 5.875% due 10/01/08 160 179 6.750% due 02/15/11 150 172 8.875% due 05/01/21 420 566 Carolina Power & Light Co. 6.875% due 08/15/23 410 424 CarrAmerica Realty Corp. 7.125% due 01/15/12 515 554 Caterpillar Financial Services Corp. Series MTND 9.500% due 02/06/07 420 513 Cendant Corp. 6.250% due 03/15/10 150 159 CenterPoint Energy Houston Electric LLC 5.700% due 03/15/13 160 170
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Champion International Corp. 6.400% due 02/15/26 460 502 Chrysler Corp. 7.450% due 03/01/27 850 944 Cincinnati Gas & Electric 5.700% due 09/15/12 170 181 CIT Group, Inc. 5.625% due 05/17/04 2,535 2,618 6.500% due 02/07/06 250 270 6.875% due 11/01/09 100 111 Citicorp 7.250% due 10/15/11 370 438 CitiFinancial 8.700% due 06/15/10 380 481 Citigroup, Inc. 3.500% due 02/01/08 980 986 7.250% due 10/01/10 1,440 1,707 6.875% due 02/15/98 790 911 Clear Channel Communications, Inc. 6.000% due 11/01/06 55 59 Coca-Cola Enterprises, Inc. 7.000% due 10/01/26 675 774 6.750% due 01/15/38 250 283 Collegiate Funding Services Education Loan Trust I (E) Series A-1 1.400% due 03/30/12 1,530 1,531 Columbus Southern Power Co. 5.500% due 03/01/13 75 78 Comcast Cable Communications 8.375% due 05/01/07 1,245 1,438 7.125% due 06/15/13 1,365 1,548 Comcast Corp. 5.850% due 01/15/10 120 127 7.050% due 03/15/33 395 430 ConAgra Foods, Inc. 7.875% due 09/15/10 1,015 1,232 Conoco, Inc. 6.950% due 04/15/29 800 936 Constellation Energy Group, Inc. 6.125% due 09/01/09 235 260 Countrywide Home Loans, Inc. Series MTNH 6.250% due 04/15/09 500 556 Series MTNJ 5.250% due 06/15/04 500 520 Series MTNK 5.500% due 02/01/07 110 119 COX Communications, Inc. 6.750% due 03/15/11 785 893
68 Diversified Bond Fund DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Credit Suisse First Boston USA, Inc. 5.875% due 08/01/06 720 787 4.625% due 01/15/08 140 147 CSX Corp. 6.750% due 03/15/11 915 1,037 CVS Corp. 5.625% due 03/15/06 320 348 DaimlerChrysler NA Holding Corp. 6.400% due 05/15/06 710 776 4.750% due 01/15/08 1,130 1,168 Deere & Co. 8.100% due 05/15/30 450 588 Detroit Edison Co. 6.125% due 10/01/10 190 210 6.350% due 10/15/32 95 105 Deutsche Bank Financial LLC 5.375% due 03/02/15 650 680 Devon Financing Corp. ULC 6.875% due 09/30/11 200 230 Dominion Resources, Inc. 4.125% due 02/15/08 620 634 Series B 6.250% due 06/30/12 80 88 Dow Chemical Co. (The) 7.375% due 11/01/29 505 572 DPL, Inc. 8.250% due 03/01/07 220 235 Dresdner Funding Trust I 8.151% due 06/30/31 320 333 DTE Energy Co. 6.450% due 06/01/06 265 290 Duke Energy Field Services LLC 7.500% due 08/16/05 275 301 5.750% due 11/15/06 60 63 6.875% due 02/01/11 40 44 Duke Realty, LP 5.875% due 08/15/12 405 426 Eastman Chemical Co. 7.000% due 04/15/12 65 74 Eli Lilly & Co. 6.770% due 01/01/36 545 642 EOP Operating, LP 7.000% due 07/15/11 500 569 5.875% due 01/15/13 100 107 Exelon Corp. 6.750% due 05/01/11 500 564 FedEx Corp. 6.875% due 02/15/06 305 337 7.600% due 07/01/97 155 168 Fifth Third Bank Michigan 7.750% due 08/15/10 330 367
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Fifth Third Capital Trust I Series A 8.136% due 03/15/27 615 734 Financing Corp. Zero Coupon Series 15P 0.000% due 03/07/19 485 207 First Bank National Association 5.700% due 12/15/08 70 77 First Union Institutional Capital I 8.040% due 12/01/26 225 262 FirstEnergy Corp. Series A 5.500% due 11/15/06 75 79 Series B 6.450% due 11/15/11 280 303 Series C 7.375% due 11/15/31 1,630 1,796 FleetBoston Financial Corp. 7.250% due 09/15/05 300 334 4.875% due 12/01/06 430 457 Florida Power & Light Co. 6.875% due 12/01/05 3,000 3,345 Ford Motor Co. 6.375% due 02/01/29 90 72 7.450% due 07/16/31 745 663 8.900% due 01/15/32 475 473 Ford Motor Credit Co. 6.750% due 05/15/05 350 361 6.875% due 02/01/06 2,380 2,462 7.375% due 10/28/09 1,285 1,313 7.375% due 02/01/11 860 872 Fortune Brands, Inc. 7.875% due 01/15/23 380 455 Foster's Finance Corp. 6.875% due 06/15/11 260 298 FPL Group Capital, Inc. 6.125% due 05/15/07 510 553 GE Global Insurance Holding Corp. 6.450% due 03/01/19 650 670 General Electric Capital Corp. 8.300% due 09/20/09 235 288 Series MTNA 6.800% due 11/01/05 625 694 5.875% due 02/15/12 280 306 6.000% due 06/15/12 685 756 5.450% due 01/15/13 1,480 1,572 6.750% due 03/15/32 515 596 General Electric Co. 5.000% due 02/01/13 1,070 1,105
Diversified Bond Fund 69 DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- General Motors Acceptance Corp. (E) 1.759% due 07/20/04 3,300 3,263 6.750% due 01/15/06 440 464 6.125% due 09/15/06 1,550 1,609 7.250% due 03/02/11 2,310 2,383 6.875% due 09/15/11 1,100 1,121 7.000% due 02/01/12 175 179 8.000% due 11/01/31 1,595 1,661 Golden West Financial Corp. 4.125% due 08/15/07 220 229 Goldman Sachs Group, Inc. 4.125% due 01/15/08 100 103 7.350% due 10/01/09 725 850 6.875% due 01/15/11 520 598 6.600% due 01/15/12 705 795 5.250% due 04/01/13 600 616 6.125% due 02/15/33 1,180 1,217 Grand Metropolitan Investment Corp. 7.450% due 04/15/35 300 369 GTE California, Inc. Series F 6.750% due 05/15/27 550 612 Hartford Financial Services Group, Inc. 6.375% due 11/01/08 750 829 Hertz Corp. 9.000% due 11/01/09 230 249 HJ Heinz Co. 6.375% due 07/15/28 50 54 HJ Heinz Finance Co. 6.750% due 03/15/32 220 250 Household Finance Corp. 4.625% due 01/15/08 160 167 6.375% due 10/15/11 935 1,024 7.000% due 05/15/12 630 722 6.375% due 11/27/12 225 248 International Lease Finance Corp. 6.375% due 03/15/09 240 261 Series MTNO 4.000% due 01/17/06 1,100 1,117 International Paper Co. 5.850% due 10/30/12 445 476 ITT Industries, Inc. 7.400% due 11/15/25 800 912 JP Morgan & Co., Inc. Series MTNA 6.000% due 01/15/09 235 256 JP Morgan Chase & Co. 5.350% due 03/01/07 185 201 6.750% due 02/01/11 960 1,093 5.750% due 01/02/13 515 547
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Kellogg Co. Series B 7.450% due 04/01/31 305 379 Kerr-McGee Corp. 7.875% due 09/15/31 435 520 Keycorp 7.500% due 06/15/06 750 854 KeySpan Corp. 6.150% due 06/01/06 290 321 7.625% due 11/15/10 500 604 Kohl's Corp. 6.300% due 03/01/11 505 571 Kroger Co. 6.750% due 04/15/12 1,000 1,114 7.500% due 04/01/31 295 337 Legg Mason, Inc. 6.750% due 07/02/08 245 274 Lehman Brothers Holdings, Inc. 6.625% due 01/18/12 315 358 Liberty Media Corp. 5.700% due 05/15/13 100 100 Liberty Property-LP 7.250% due 03/15/11 425 485 Lincoln National Corp. 7.250% due 05/15/05 450 490 6.500% due 03/15/08 200 223 Lockheed Martin Corp. 8.500% due 12/01/29 645 865 Loral Corp. 7.000% due 09/15/23 675 744 Lowe's Cos., Inc. 6.875% due 02/15/28 680 777 Manufacturers & Traders Trust Co. 8.000% due 10/01/10 720 870 Monumental Global Funding II 3.850% due 03/03/08 415 420 Morgan Stanley 4.250% due 05/15/10 1,935 1,924 6.750% due 04/15/11 320 364 Nabisco, Inc. 6.375% due 02/01/05 480 503 Natexis Ambs Co. LLC 8.440% due 12/29/49 270 320 National Rural Utilities Cooperative Finance 5.750% due 08/28/09 740 803 NB Capital Trust IV 8.250% due 04/15/27 160 193 New England Telephone & Telegraph 7.875% due 11/15/29 235 294
70 Diversified Bond Fund DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- News America Holdings 7.750% due 01/20/24 620 705 8.150% due 10/17/36 360 420 7.750% due 12/01/45 395 449 News America, Inc. 6.750% due 01/09/38 45 49 Nisource Finance Corp. 7.875% due 11/15/10 235 284 Norfolk Southern Corp. 6.200% due 04/15/09 900 1,008 7.700% due 05/15/17 50 62 7.050% due 05/01/37 325 372 Northern States Power Co. Series B 8.000% due 08/28/12 830 1,027 Nynex Capital Funding Co. Series MTNB 8.750% due 12/01/04 450 488 Occidental Petroleum Corp. 9.250% due 08/01/19 185 243 Ocean Energy, Inc. Series B 7.625% due 07/01/05 355 396 Ohio Power Co. 5.500% due 02/15/13 35 37 Oncor Electric Delivery Co. 7.250% due 01/15/33 240 278 Pemex Project Funding Master Trust 7.375% due 12/15/14 2,475 2,685 PNC Funding Corp. 7.500% due 11/01/09 620 741 Procter & Gamble - Esop Series A 9.360% due 01/01/21 90 123 Progress Energy, Inc. 6.750% due 03/01/06 105 116 7.100% due 03/01/11 90 103 7.750% due 03/01/31 170 207 7.000% due 10/30/31 70 78 Progressive Corp. (The) 6.375% due 01/15/12 420 471 6.250% due 12/01/32 535 578 Prudential Funding LLC 6.600% due 05/15/08 175 198 PSEG Power LLC 7.750% due 04/15/11 100 119 Raytheon Co. 6.300% due 03/15/05 880 943 Republic Services, Inc. 6.750% due 08/15/11 360 405
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Resolution Funding Corp. Series A 8.875% due 07/15/20 1,855 2,683 8.625% due 01/15/21 715 987 8.625% due 01/15/30 390 597 Safeway, Inc. 7.250% due 02/01/31 45 50 Sears Roebuck Acceptance 7.000% due 06/01/32 70 71 Sempra Energy ESOP 6.000% due 02/01/13 300 319 Simon Property Group, LP 4.875% due 03/18/10 785 794 Sovereign Bank 5.125% due 03/15/13 450 445 Sprint Capital Corp. 7.125% due 01/30/06 500 528 6.125% due 11/15/08 1,115 1,137 6.875% due 11/15/28 2,240 2,072 8.750% due 03/15/32 625 684 SunTrust Banks, Inc. 6.250% due 06/01/08 150 169 6.000% due 02/15/26 500 542 Target Corp. 5.950% due 05/15/06 535 585 TCI Communications, Inc. 8.000% due 08/01/05 585 638 Tele-Communications-TCI Group 9.800% due 02/01/12 125 161 7.875% due 08/01/13 535 626 Tenet Healthcare Corp. 6.375% due 12/01/11 450 428 7.375% due 02/01/13 370 367 Texaco Capital, Inc. 9.750% due 03/15/20 440 639 8.875% due 09/01/21 220 304 Time Warner Cos 7.570% due 02/01/24 65 70 Time Warner, Inc. 7.975% due 08/15/04 300 319 9.125% due 01/15/13 100 122 6.875% due 06/15/18 950 997 Toys R US, Inc. 7.625% due 08/01/11 80 83 Transocean, Inc. 7.500% due 04/15/31 330 403 Travelers Property Casualty Corp. 5.000% due 03/15/13 160 162 UBS Preferred Funding Trust I (p) 8.622% due 10/29/49 580 721
Diversified Bond Fund 71 DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Unilever Capital Corp. 5.900% due 11/15/32 325 342 Union Oil Co. of California Series MTNB 9.400% due 02/15/11 470 591 Union Pacific Corp. 5.750% due 10/15/07 535 584 6.125% due 01/15/12 315 348 United Technologies Corp. 8.750% due 03/01/21 380 509 Unitrin, Inc. 5.750% due 07/01/07 655 688 US Bank National Association Series BKNT 5.625% due 11/30/05 500 540 Verizon Florida, Inc. Series F 6.125% due 01/15/13 165 183 Verizon Global Funding Corp. 7.750% due 12/01/30 350 432 Verizon Pennsylvania, Inc. 8.350% due 12/15/30 355 461 Verizon Virginia, Inc. 8.375% due 10/01/29 230 300 Verizon Wireless Capital LLC 5.375% due 12/15/06 555 598 Viacom, Inc. 7.700% due 07/30/10 710 861 Vornado Realty Trust 5.625% due 06/15/07 410 422 Wachovia Corp. 6.550% due 10/15/35 275 306 Washington Mutual Financial Corp. 6.875% due 05/15/11 505 582 Weyerhaeuser Co. 6.000% due 08/01/06 1,090 1,181 6.125% due 03/15/07 305 332 5.250% due 12/15/09 140 147 Wyeth 5.250% due 03/15/13 70 73 Zions BanCorp. 6.500% due 10/15/11 240 252 Zurich Capital Trust I 8.376% due 06/01/37 535 523 ------------ 157,719 ------------ International Debt - 6.0% Abbey National PLC Step Up Bond (p) 6.700% due 06/29/49 1,150 1,274 ACE, Ltd. 6.000% due 04/01/07 375 402
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- African Development Bank 6.875% due 10/15/15 705 840 8.800% due 09/01/19 295 406 Amvescap PLC 6.600% due 05/15/05 985 1,063 Asian Development Bank 6.250% due 10/24/05 315 345 AXA 8.600% due 12/15/30 1,285 1,548 Banque Centrale de Tunisie 8.250% due 09/19/27 600 644 British Telecommunications PLC 8.875% due 12/15/30 1,260 1,676 Canadian National Railway Co. 6.800% due 07/15/18 450 525 Chile Government International Bond 5.625% due 07/23/07 675 720 5.500% due 01/15/13 130 133 Conoco Funding Co. 6.350% due 10/15/11 815 924 Corp Andina de Fomento CAF Series EXCH 6.875% due 03/15/12 700 746 Den Norske Bank ASA 7.729% due 06/29/49 535 627 Deutsche Telekom International Finance BV 8.250% due 06/15/05 1,000 1,111 8.500% due 06/15/10 395 476 8.750% due 06/15/30 1,850 2,286 Diageo Capital PLC 6.125% due 08/15/05 600 656 France Telecom 8.700% due 03/01/06 1,295 1,471 9.250% due 03/01/11 1,600 1,957 Granite Mortgages PLC (E) Series 2002-2 Class 1A1 (Y) 1.439% due 01/20/17 1,831 1,831 Series 2003-1 Class 1A2 1.519% due 01/20/20 2,535 2,536 Holmes Financing PLC (E) Series 2001-3 Class 2A 1.449% due 01/15/07 1,405 1,404 Series 2002-6 Class 2A (Y) 1.459% due 04/15/08 3,000 3,002 Hutchison Whampoa International 03/13, Ltd. 6.500% due 02/13/13 380 385 Hydro Quebec Series GH 8.250% due 04/15/26 505 687
72 Diversified Bond Fund DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Inter-American Development Bank 5.375% due 11/18/08 1,100 1,217 6.950% due 08/01/26 155 189 Italy Government International Bond 6.875% due 09/27/23 150 184 Series INTL 6.000% due 02/22/11 1,155 1,313 Korea Development Bank 5.250% due 11/16/06 850 897 4.250% due 11/13/07 95 96 5.500% due 11/13/12 30 31 Medallion Trust (E)(Y) Series 2003-1G Class A 1.476% due 12/21/33 1,175 1,175 Mexico Government International Bond 8.375% due 01/14/11 2,320 2,767 6.375% due 01/16/13 600 629 8.125% due 12/30/19 525 592 8.300% due 08/15/31 1,535 1,737 National Westminster Bank PLC 7.375% due 10/01/09 550 661 National Westminster Bank PLC Step Up Bond (P) 7.750% due 04/29/49 800 920 Pearson PLC 7.000% due 06/15/11 110 125 Permanent Financing PLC 4.200% due 06/10/05 3,245 3,380 Petroleos Mexicanos 9.500% due 09/15/27 260 310 Province of Manitoba 8.800% due 01/15/20 200 285 9.250% due 04/01/20 200 296 Province of New Brunswick 9.750% due 05/15/20 190 292 Province of Newfoundland 10.000% due 12/01/20 90 139 Province of Nova Scotia 9.125% due 05/01/21 690 1,014 Province of Quebec 7.500% due 07/15/23 815 1,030 7.125% due 02/09/24 985 1,204 Province of Saskatchewan/Canada 8.000% due 07/15/04 1,045 1,125 7.375% due 07/15/13 500 628 Royal Bank of Scotland Group PLC (p) 7.648% due 08/31/49 100 121 Royal KPN NV 8.000% due 10/01/10 1,200 1,439
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Santander Central Hispano Issuances, Ltd. 7.625% due 09/14/10 155 184 Santander Financial Issuances 6.800% due 07/15/05 90 99 6.375% due 02/15/11 120 131 Sappi Papier Holding AG 6.750% due 06/15/12 285 321 Skandinaviska Enskilda Banken AB 6.875% due 02/15/09 225 257 Standard Chartered Bank 8.000% due 05/30/31 485 584 Stora Enso Oyj 7.375% due 05/15/11 190 223 Telefonica Europe BV 8.250% due 09/15/30 725 940 TPSA Finance BV 7.750% due 12/10/08 275 290 Vodafone Group PLC 7.750% due 02/15/10 730 882 6.250% due 11/30/32 580 619 XL Capital Europe PLC 6.500% due 01/15/12 280 309 ------------ 58,310 ------------ Mortgage-Backed Securities - 37.9% Asset Backed Funding Corp. NIM Trust Series 2002-NC1 Class N1 8.840% due 08/25/32 177 177 Bank of America Mortgage Securities 6.250% due 03/25/32 553 565 Bear Stearns Adjustable Rate Mortgage Trust 6.165% due 08/25/32 130 133 Series 2002-11 Class 1A1 5.681% due 02/25/33 271 277 Series 2002-11 Class 1A2 5.377% due 02/25/33 749 770 Series 2003-1 Class 6A1 5.235% due 04/25/33 882 903 Bear Stearns Asset Backed Securities, Inc. (E) Series 2002-1 Class 1A1 1.520% due 12/25/34 244 244 Bear Stearns Commercial Mortgage Securities Series 2003-T10 Class A1 4.000% due 03/13/40 1,680 1,705
Diversified Bond Fund 73 DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- CDC Commercial Mortgage Trust Series 2002-FX1 Class A1 5.252% due 05/15/19 1,297 1,376 CDC Mortgage Capital Trust (E) Series 2002-HE2 Class A 1.610% due 01/25/33 982 980 Centex Home Equity (E)(Y) Series 2003-A Class AV1 1.600% due 03/25/33 942 942 Chase Funding Loan Acquisition Trust (E) Series 2002-C1 Class IA1 1.460% due 01/25/19 32 32 Commercial Mortgage Acceptance Corp. Series 1998-C2 Class A2 6.030% due 09/15/30 815 901 Countrywide Asset-Backed Certificates (E) Series 2000-2 Class AV1 1.550% due 06/25/31 218 218 CS First Boston Mortgage Securities Corp. Series 2002-10 Class 2A1 7.500% due 05/25/32 443 468 Series 2002-18 Class 1AIO 7.500% due 06/25/32 900 96 Series 2003-CK2 Class A4 (Y) 4.801% due 03/15/36 780 796 Fannie Mae 6.000% due 02/25/29 155 158 Federal Home Loan Mortgage Corp 15 Year Gold TBA 5.00% (o) 4,695 4,819 5.50% (o) 450 467 30 Year Gold TBA 4.50% (o) 2,440 2,461 5.50% (o) 28,020 28,714 6.00% (o) 13,495 13,998 6.50% (o) 6,800 7,093 7.50% (o) 600 640 6.750% due 2007 21 21 7.000% due 2008 107 115 8.000% due 2008 22 23 8.500% due 2008 18 19 8.000% due 2009 31 33 7.000% due 2010 48 52 8.000% due 2010 5 6 6.000% due 2011 1,284 1,349 7.000% due 2011 16 18
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 8.000% due 2011 80 87 6.000% due 2012 29 31 8.000% due 2012 41 45 7.000% due 2014 263 280 12.000% due 2014 31 35 12.000% due 2015 32 37 6.000% due 2016 73 76 9.000% due 2016 141 157 12.500% due 2016 19 22 6.000% due 2017 3,939 4,118 8.000% due 2017 95 102 9.000% due 2017 1 2 9.000% due 2018 274 309 9.000% due 2020 105 116 9.000% due 2022 38 43 6.500% due 2024 217 228 9.000% due 2024 146 163 6.500% due 2025 158 164 8.500% due 2025 111 121 9.000% due 2025 57 63 9.000% due 2026 2 3 8.500% due 2027 455 497 6.500% due 2028 1,074 1,120 6.500% due 2029 1,141 1,192 7.843% due 2030 43 45 7.500% due 2031 501 533 6.500% due 2032 630 658 7.000% due 2032 4,272 4,505 7.500% due 2032 703 750 Series 1991-1053 Class G 7.000% due 03/15/21 217 222 Series 2002-2504 Class L 5.500% due 03/15/15 77 80 Federal Home Loan Mortgage Corp. Structured Pass Through Securities (E) Series 2001-34 Class A1V 1.440% due 07/25/31 1,433 1,436 Series 2001-35 Class A 1.460% due 09/25/31 955 958 Series 2002-49 Class AV 1.470% due 12/25/32 1,307 1,309 Series 2003-54 Class 3AIO (Y) 0.825% due 02/25/43 10,910 284 Federal National Mortgage Association 15 Year TBA 4.50% (o) 3,295 3,337 5.00% (o) 17,690 18,155 5.50% (o) 18,550 19,284 6.00% (o) 10,010 10,489
74 Diversified Bond Fund DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 30 Year TBA 5.00% (o) 16,075 16,156 5.50% (o) 29,715 30,447 6.00% (o) 16,670 17,283 6.50% (o) 690 720 7.00% (o) 3,940 4,162 6.500% due 2004 2 2 8.000% due 2004 1 1 9.500% due 2005 11 12 9.500% due 2006 15 16 7.000% due 2007 23 25 7.200% due 2007 937 1,066 7.000% due 2008 82 87 7.000% due 2009 139 149 8.000% due 2010 10 11 10.500% due 2010 4 5 7.000% due 2011 52 56 8.000% due 2011 15 16 7.000% due 2012 21 22 7.000% due 2015 58 62 6.000% due 2016 378 396 9.000% due 2016 4 4 5.500% due 2017 3,249 3,382 6.000% due 2017 2,135 2,238 8.000% due 2017 151 166 8.500% due 2017 16 18 9.000% due 2017 140 156 6.000% due 2018 746 782 8.000% due 2020 10 11 7.500% due 2022 258 276 7.000% due 2023 477 508 7.500% due 2023 6 6 6.500% due 2024 1,122 1,179 7.500% due 2024 149 159 8.000% due 2024 434 472 6.500% due 2025 79 83 7.000% due 2025 71 76 7.500% due 2025 57 61 8.500% due 2025 49 53 7.000% due 2026 22 23 9.000% due 2026 70 76 7.500% due 2027 13 14 6.500% due 2028 4,994 5,212 7.500% due 2028 40 43 5.500% due 2029 1,540 1,587 6.500% due 2029 8,958 9,360 6.500% due 2030 709 742 8.000% due 2030 1,295 1,404 6.500% due 2031 888 925 7.500% due 2031 1,990 2,119 7.000% due 2032 5,350 5,650
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 7.500% due 2032 306 325 6.000% due 2033 808 842 6.500% due 2033 2,154 2,251 Series 1992-10 Class ZD 8.000% due 11/25/21 2,511 2,739 Series 1993-134 Class H 6.500% due 08/25/08 1,385 1,538 Series 1993-208 Class SA 0.450% due 02/25/23 7,374 35 Series 1997-81 Class PC 5.000% due 04/18/27 599 611 Federal National Mortgage Association Grantor Trust (E) Series 2001-T13 Class A1 1.480% due 03/25/32 1,247 1,247 Series 2001-T6 Class B 6.088% due 05/25/11 1,530 1,730 Series 2002-T13 Class A1 1.420% due 08/25/32 215 214 Series 2002-T5 Class A1 1.440% due 05/25/32 3,100 3,108 Series 2002-T7 Class A1 1.430% due 07/25/32 1,812 1,810 Federal National Mortgage Association Whole Loan Series 2002-W1 Class 2AIO 0.620% due 04/25/42 10,403 309 Series 2002-W11 Class AV1 1.490% due 11/25/32 6,287 6,297 Series 2002-W2 Class AV1 1.450% due 06/25/32 2,400 2,406 Series 2002-W3 Class A2 5.500% due 10/25/21 2,045 2,135 Series 2002-W6 Class 2AIO 0.397% due 06/25/42 9,438 178 Series 2003-W1 Class 1A1 6.500% due 12/25/42 289 308 Series 2003-W3 Class 2A2 3.730% due 06/25/42 1,845 1,846 Series 2003-W4 Class 1A2 3.063% due 04/25/38 1,240 1,245 Series 2003-W5 Class A 1.391% due 04/25/33 3,120 3,121 Federal National Mortgage Association-Aces Series 1998-M4 Class B 6.424% due 12/25/23 720 751 Series 1999-M4 Class A 7.269% due 12/25/09 462 472 First Horizon Asset Securities, Inc. 6.500% due 11/25/32 797 820
Diversified Bond Fund 75 DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- First Union Commercial Mortgage Securities, Inc. Series 1997-C2 Class A3 6.650% due 11/18/29 455 511 GMAC Commercial Mortgage Securities, Inc. Series 1999-C2 Class A1 6.570% due 09/15/33 775 847 Government National Mortgage Association 30 Year TBA 6.000% (o) 1,500 1,564 7.000% (o) 2,665 2,826 8.500% (o) 270 292 Series 1998-23 Class ZA 6.500% due 09/20/28 6,729 7,244 Series 2002-61 Class A 3.261% due 12/16/16 1,971 2,012 Series 2002-61 Class BA 4.648% due 03/16/26 1,040 1,075 Series 2002-91 Class C 4.655% due 02/16/27 1,190 1,229 Government National Mortgage Association I 30 Year TBA 5.50% (o) 1,650 1,700 6.00% (o) 6,765 7,072 6.50% (o) 8,730 9,171 8.000% due 2007 2 2 6.500% due 2008 44 47 6.500% due 2009 463 495 7.000% due 2011 5 6 8.000% due 2016 2 2 9.500% due 2016 23 26 8.000% due 2017 29 31 10.500% due 2020 46 53 8.000% due 2022 108 118 8.500% due 2022 60 66 7.500% due 2025 72 77 8.000% due 2025 298 324 9.000% due 2025 976 1,088 6.500% due 2028 2,066 2,172 6.500% due 2029 1,161 1,223 7.500% due 2029 23 25 8.500% due 2029 118 128 7.500% due 2030 1,514 1,617 8.000% due 2030 285 308 8.500% due 2030 163 176 6.500% due 2031 474 499 7.000% due 2031 162 171
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 7.500% due 2031 79 84 8.000% due 2031 1,523 1,649 6.500% due 2032 767 806 7.000% due 2032 4,082 4,323 7.500% due 2032 1,182 1,262 8.000% due 2032 173 188 Government National Mortgage Association II (E) 5.375% due 2023 743 767 5.625% due 2023 1,050 1,074 5.375% due 2024 487 501 GS Mortgage Securities Corp. II Series 1997-GL Class A2A 6.940% due 07/13/30 111 113 Series 2003-C1 Class A3 4.608% due 01/10/40 1,655 1,660 GSAMP Trust (Y) Series 2002-NC1N Class NOTE 8.500% due 07/25/32 266 264 GSRPM Mortgage Loan Trust (E)(Y) Series 2003-1 Class A1 1.625% due 01/25/32 688 688 HFC Home Equity Loan Asset Backed Certificates (E) Series 2001-1 Class A 1.610% due 01/20/31 1,270 1,270 Household Mortgage Loan Trust (E) Series 2002-HC1 Class A 1.629% due 05/20/32 207 207 HSBC Mortgage Loan Trust Series 2000-HSB1 Class A3 7.110% due 12/16/30 196 196 Irwin Home Equity (E) Series 2002-A Class 2A1 1.470% due 07/25/14 147 147 JP Morgan Chase Commercial Mortgage Securities Corp. Series 2002-CIB5 Class A1 4.372% due 10/12/37 1,525 1,571 Series 2003-C1 Class A2 4.985% due 01/12/37 695 719 LB-UBS Commercial Mortgage Trust Series 2001-C3 Class A1 6.058% due 06/15/20 472 515 MASTR Alternative Loans Trust 7.000% due 12/25/32 667 695 Merrill Lynch Mortgage Investors, Inc. (E) Series 2003-WMC1 Class A2 1.680% due 11/25/33 1,098 1,099
76 Diversified Bond Fund DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Nationslink Funding Corp. Series 1999-SL Class A4 6.654% due 11/10/30 500 542 Option One Mortgage Loan Trust (E) Series 2003-2 Class A2 1.620% due 04/25/33 756 760 Option One Mortgage Securities Corp. NIM Trust Series 2002-3 Class CTFS 1.620% due 04/26/09 405 405 Pacificamerica Home Equity Loan Series 1998-2 Class AF 6.590% due 06/26/28 253 267 PNC Mortgage Securities Corp. Series 2000-9 Class A3 7.190% due 09/25/05 215 214 Prudential Commercial Mortgage Trust Series 2003-PWR1 Class A2 4.493% due 02/11/36 1,330 1,329 Renaissance Home Equity Loan Trust (E) Series 2002-1 Class AF1 1.480% due 06/25/32 4 4 Residential Asset Mortgage Products, Inc. Series 2002-RZ4 Class AIO 5.750% due 04/25/05 2,015 132 Residential Asset Securities Corp. (E) Series 2002-KS2 Class AI1 1.460% due 10/25/17 205 205 Series 2003-KS2 Class AI1 1.420% due 08/25/19 1,891 1,890 Residential Asset Securitization Trust Series 2002-L8 Class A 1.500% due 08/25/35 317 317 Residential Funding Mortgage Securities I 6.250% due 09/25/32 243 246 Residential Funding Mortgage Securities II Series 2000-HI5 Class AII 7.210% due 12/25/25 159 166 Series 2002-HI4 Class A1 1.450% due 07/25/10 747 747 Saxon Asset Securities Trust (E) Series 2001-3 Class AV2 1.600% due 08/25/31 991 991 Small Business Administration Series 1999-P10B Class 1 7.540% due 08/10/09 3,323 3,797
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 2000-10B Class 1 7.452% due 09/01/10 4,323 4,923 Structured Asset Securities Corp. Series 2002-26 Class 1A12 5.600% due 01/25/33 100 100 Series 2002-HF1 Class A 1.610% due 01/25/33 209 208 Series 2003-BC1 Class A 1.836% due 05/25/32 1,486 1,492 Wells Fargo Mortgage Backed Securities Trust 5.250% due 01/25/33 827 841 ------------ 369,013 ------------ Municipal Bonds - 0.5% Clark County Nevada General Obligation Limited, weekly demand (m) 5.000% due 06/01/26 1,000 1,026 Energy Northwest Revenue Bonds 5.500% due 07/01/13 200 226 5.500% due 07/01/14 100 113 Golden State Tobacco Securitization Corp. Revenue Bonds, weekly demand 5.000% due 06/01/21 1,000 962 Lower Colorado River Authority Revenue Bonds, weekly demand (m) 5.000% due 05/15/31 1,000 1,016 New York City Municipal Water Finance Authority Revenue Bonds, weekly 5.000% due 06/15/34 100 102 Orange County Water District Certificate of Participation, weekly demand (m) 5.000% due 08/15/34 700 723 University of Texas Revenue Bonds, weekly demand 5.000% due 08/15/33 100 102 ------------ 4,270 ------------ United States Government Agencies - 6.9% Federal Home Loan Bank 3.375% due 06/15/04 4,215 4,317 2.500% due 03/15/06 5,695 5,759 5.375% due 02/15/07 2,020 2,217 Federal Home Loan Mortgage Corp. 3.875% due 02/15/05 12,040 12,525 4.875% due 03/15/07 3,600 3,905
Diversified Bond Fund 77 DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 7.000% due 03/15/10 1,855 2,239 5.125% due 07/15/12 3,044 3,269 5.125% due 08/20/12 5,250 5,390 6.750% due 03/15/31 136 166 6.250% due 07/15/32 189 218 Federal National Mortgage Association 1.875% due 12/15/04 4,745 4,777 5.500% due 02/15/06 415 453 5.500% due 07/18/06 4,985 5,025 4.375% due 10/15/06 1,285 1,370 4.750% due 06/18/07 1,215 1,255 6.000% due 05/15/08 2,240 2,542 7.250% due 01/15/10 1,805 2,188 6.000% due 05/15/11 1,885 2,146 6.125% due 03/15/12 1,060 1,218 7.250% due 05/15/30 2,715 3,490 6.210% due 08/06/38 320 369 Financing Corp. STRIP Principal 0.000% due 05/11/18 690 312 0.000% due 12/06/18 1,050 457 0.000% due 12/27/18 1,705 739 0.000% due 04/05/19 875 372 0.000% due 09/26/19 585 241 Tennessee Valley Authority 6.375% due 06/15/05 20 22 ------------ 66,981 ------------ United States Government Treasuries - 20.2% United States Treasury Inflation Indexed Bonds 3.875% due 01/15/09 2,679 3,009 4.250% due 01/15/10 109 125 3.375% due 01/15/12 619 683 3.000% due 07/15/12 4,887 5,249 3.875% due 04/15/29 557 675 United States Treasury Note 6.000% due 08/15/04 5,480 5,815 7.875% due 11/15/04 14,050 15,446 6.750% due 05/15/05 1,635 1,806 6.500% due 08/15/05 11,525 12,789 4.625% due 05/15/06 6,825 7,352 6.875% due 05/15/06 10,995 12,564 7.000% due 07/15/06 3,920 4,513 6.500% due 10/15/06 5,545 6,332 3.500% due 11/15/06 12,855 13,401 4.375% due 05/15/07 12,295 13,194 6.625% due 05/15/07 505 585 6.125% due 08/15/07 4,995 5,714 3.000% due 11/15/07 1,695 1,718 5.625% due 05/15/08 8,500 9,599
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 8.750% due 11/15/08 1,730 1,799 5.500% due 05/15/09 445 503 6.000% due 08/15/09 6,345 7,345 6.500% due 02/15/10 4,650 5,536 5.750% due 08/15/10 3,990 4,574 5.000% due 02/15/11 1,535 1,684 5.000% due 08/15/11 2,170 2,376 4.375% due 08/15/12 1,430 1,493 12.000% due 08/15/13 420 605 13.250% due 05/15/14 680 1,053 12.500% due 08/15/14 1,235 1,877 9.875% due 11/15/15 790 1,223 7.250% due 05/15/16 5 6 7.500% due 11/15/16 1,400 1,844 8.750% due 05/15/17 4,085 5,939 8.875% due 08/15/17 3,310 4,864 9.125% due 05/15/18 85 128 8.875% due 02/15/19 5,210 7,742 8.125% due 08/15/21 630 893 6.000% due 02/15/26 3,340 3,858 6.375% due 08/15/27 5,000 6,051 5.250% due 11/15/28 1,065 1,119 6.250% due 05/15/30 3,720 4,482 United States Treasury Note/Bond 1.625% due 04/30/05 3,300 3,308 United States Treasury STRIP Principal 0.000% due 05/15/16 6,800 3,711 0.000% due 11/15/21 4,835 1,857 ------------ 196,439 ------------ TOTAL LONG-TERM INVESTMENTS (cost $955,146) 987,356 ------------ PREFERRED STOCKS - 0.1% Financial Services - 0.1% Centaur Funding Corp. 550 643 ------------ TOTAL PREFERRED STOCKS (cost $589) 643 ------------ SHORT-TERM INVESTMENTS - 19.7% ANZ Delaware, Inc. (c)(y) 1.230% due 07/22/03 600 598 Associates Corp. of North America 5.750% due 11/01/03 3,000 3,065 Bundesschatzanweisungen 4.250% due 06/13/03 3,500 3,913 CBA Del Finance, Inc. Years 3 & 4 Commercial Paper 1.250% due 05/15/03 1,200 1,199
78 Diversified Bond Fund DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Danske Corp. Commercial Paper (c)(y) 1.220% due 05/12/03 5,400 5,398 1.230% due 06/11/03 800 799 Deutsche Bundesrepublik 6.000% due 09/15/03 3,590 4,056 Federal Home Loan Bank 3.750% due 04/15/04 2,785 2,852 Federal Home Loan Mortgage Corp. 3.250% due 01/15/04 1,050 1,065 7.000% due 2003 5 5 Federal Home Loan Mortgage Corp. Discount Note (c)(y) 1.170% due 07/10/03 4,000 3,988 Federal National Mortgage Association 7.000% due 2003 23 23 7.500% due 2003 41 42 8.000% due 2003 1 1 9.500% due 2003 4 4 Federal National Mortgage Association Discount Note (c)(y) 1.195% due 06/25/03 1,700 1,697 1.170% due 07/02/03 3,600 3,590 Frank Russell Investment Company Money Market Fund, due on demand 124,272 124,272 French Treasury Note BTAN 4.500% due 07/12/03 3,675 4,115 General Electric Capital Corp. Commercial Paper (AE) 1.250% due 07/23/03 1,400 1,396 HBOS Treasury Services PLC Commercial Paper(E) 1.255% due 05/08/03 1,700 1,700 1.250% due 05/14/03 800 800 1.210% due 07/10/03 3,900 3,887 Italy Buoni Poliennali Del Tesoro 4.500% due 07/15/03 3,665 4,107 Pemex Finance, Ltd. 6.125% due 11/15/03 600 609 Royal Bank of Scotland PLC 1.245% due 05/02/03 6,000 6,000 Spieker Properties, Inc. 6.900% due 01/15/04 500 517 Svenska Handlsbn (c)(y) 1.230% due 06/24/03 1,000 998 1.240% due 06/26/03 200 200 1.220% due 06/17/03 2,100 2,094
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- UBS Finance, Inc. Yrs 3&4 Commercial Paper (c)(y) 1.240% due 06/17/03 2,600 2,596 United States Treasury Bill (c)(y) 1.145% due 05/08/03 (s) 10 10 1.146% due 05/08/03 (s) 30 30 1.082% due 05/15/03 (s) 20 20 1.090% due 05/15/03 (s) 50 50 1.105% due 05/15/03 (s) 50 50 1.120% due 05/15/03 (s) 50 50 1.152% due 05/15/03 (s) 135 135 1.155% due 05/15/03 (s) 30 30 1.170% due 05/15/03 (s) 10 10 1.100% due 10/02/03 150 149 Westpac Capital Corp. Years 1 & 2 Commercial Paper (c)(y) 1.280% due 05/14/03 6,000 5,997 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $191,192) 192,117 ------------ TOTAL INVESTMENTS - 121.3% (identified cost $1,146,927) 1,180,116 OTHER ASSETS AND LIABILITIES NET - (21.3%) (206,933) ------------ NET ASSETS - 100.0% 973,183 ============
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (Number of Contracts) $ $ -----------------------------------------------------------------------------
Long Positions Eurodollar Futures expiration date 03/04 (53) 13,055 69 expiration date 06/04 (5) 1,228 3 expiration date 09/04 (5) 1,224 3 expiration date 12/04 (5) 1,219 2 expiration date 03/05 (2) 486 -- Three Month LIBOR Futures (UK) expiration date 03/04 (14) 1,687 (3) United States Treasury Bonds expiration date 06/03 (11) 1,254 28 United States Treasury 2 Year Notes expiration date 06/03 (8) 1,730 6
See accompanying notes which are an integral part of the financial statements. Diversified Bond Fund 79 DIVERSIFIED BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- United States Treasury 5 Year Notes expiration date 06/03 (75) 8,531 40 United States Treasury 10 Year Notes expiration date 06/03 (68) 7,829 49 Short Positions Euribor Futures (Germany) expiration date 12/03 (22) 4 11 expiration date 03/04 (7) 3 1 United States Treasury Bonds expiration date 06/03 (29) 3,307 13 United States Treasury 5 Year Notes expiration date 06/03 (47) 5,346 (25) United States Treasury 10 Year Notes expiration date 06/03 (18) 2,072 (3) ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 194 ============ NOTIONAL MARKET OPTIONS WRITTEN AMOUNT VALUE (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Eurodollar Futures Jul 2003 99.00 Call (7) 18 (1) Dec 2003 98.00 Put (21) 53 (2) Mar 2004 97.75 Put (7) 18 (1) United States Treasury Notes 10 Year Futures May 2003 117.00 Call (7) 7 (1) Aug 2003 117.00 Call (11) 11 (7) May 2003 110.00 Put (49) 49 (2) Aug 2003 110.00 Put (50) 50 (25) ------------ Total Liability for Options Written (premiums received $93) (39) ============
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 258 EUR 235 5/15/03 4 EUR 6,883 USD 7,388 5/15/03 (289) -------------- (285) ==============
See accompanying notes which are an integral part of the financial statements. 80 Diversified Bond Fund MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- LONG-TERM INVESTMENTS - 96.4% Asset-Backed Securities - 3.9% Air 2 US 8.027% due 10/01/19 483 244 American Airlines, Inc. 9.710% due 01/02/07 207 60 6.817% due 05/23/11 255 183 7.379% due 05/23/16 776 225 BMW Vehicle Owner Trust Series 2002-A Class A2 2.830% due 12/27/04 323 324 Chase Funding Mortgage Loan Asset-Backed Certificates Series 2003-1 Class 1A1 2.005% due 02/25/17 868 867 Chase Manhattan Auto Owner Trust Series 2002-A Class A2 2.630% due 10/15/04 194 194 Series 2002-B Class A2 2.700% due 01/18/05 603 605 Citibank Credit Card Issuance Trust Series 2000-A3 Class A3 6.875% due 11/16/09 900 1,036 Series 2001-A6 Class A6 5.650% due 06/16/08 1,775 1,938 Continental Airlines, Inc. 7.033% due 06/15/11 826 433 6.900% due 01/02/18 526 449 6.545% due 02/02/19 314 273 Daimler Chrysler Auto Trust Series 2000-A Class A4 7.230% due 01/06/05 411 419 Series 2000-E Class A3 6.110% due 11/08/04 347 351 Series 2001-C Class A2 3.710% due 07/06/04 132 133 Series 2002-A Class A2 2.900% due 12/06/04 638 641 Delta Air Lines, Inc. 7.299% due 09/18/06 240 155 Fleet Credit Card Master Trust II Series 2001-C Class A 3.860% due 03/15/07 1,400 1,445 Ford Credit Auto Owner Trust Series 2002-B Class A2A 2.970% due 06/15/04 321 322 Series 2003-A Class A2A 1.620% due 08/15/05 700 701 General Motors Acceptance Corp. (E) 1.699% due 07/30/04 2,200 2,174
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust Series 2002-1 Class A1 3.020% due 09/15/06 468 472 Series 2002-2 Class A1 1.910% due 04/15/07 474 476 Series 2003-1 Class A1 1.560% due 05/15/07 639 640 Honda Auto Receivables Owner Trust Series 2002-2 Class A2 2.910% due 09/15/04 552 554 Series 2003-1 Class A2 1.460% due 09/19/05 800 800 International Lease Finance Corp. 5.875% due 05/01/13 370 375 Kern River Funding Corp. 4.893% due 04/30/18 380 382 Lehman ABS Manufactured Housing Contract Series 2001-B Class A1 3.010% due 03/15/10 172 173 MBNA Credit Card Master Note Trust Series 2001-C3 Class C3 6.550% due 12/15/08 425 459 MBNA Master Credit Card Trust USA Series 2000-E Class A 7.800% due 10/15/12 600 724 Niagara Mohawk Power Corp. 7.625% due 10/01/05 510 568 Nissan Auto Receivables Owner Trust Series 2002-B Class A2 3.070% due 08/16/04 386 388 Prudential Holdings LLC 8.695% due 12/18/23 340 413 Sharps Special I LLC Trust (Y) Series 2002 9.500% due 08/25/32 249 249 Small Business Administration 7.449% due 08/01/10 478 544 7.500% due 04/01/17 3,468 3,934 Systems 2001 AT LLC 7.156% due 12/15/11 368 399 6.664% due 09/15/13 366 399 Whole Auto Loan Trust Series 2002-1 Class A2 1.880% due 06/15/05 700 702 World Financial Properties 6.910% due 09/01/13 203 224 6.950% due 09/01/13 242 267 ------------ 26,314 ------------
Multistrategy Bond Fund 81 MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Corporate Bonds and Notes - 21.3% Aetna, Inc. 7.875% due 03/01/11 340 398 Ahold Finance USA, Inc. 8.250% due 07/15/10 490 432 AIG SunAmerica Global Financing IX 6.900% due 03/15/32 265 312 Albertson's, Inc. 7.500% due 02/15/11 150 175 7.450% due 08/01/29 35 40 Allied Waste North America Series B 7.875% due 01/01/09 1,410 1,456 Amerada Hess Corp. 7.300% due 08/15/31 850 952 American Airlines, Inc. Series 90-H 9.800% due 01/02/08 1,190 417 American Electric Power Co., Inc. Series C 5.375% due 03/15/10 170 176 American General Corp. 7.500% due 07/15/25 110 134 American Greetings 11.750% due 07/15/08 250 286 Anthem Insurance Cos., Inc. 9.125% due 04/01/10 290 353 AOL Time Warner, Inc. 6.750% due 04/15/11 160 174 7.625% due 04/15/31 5,085 5,608 7.700% due 05/01/32 375 418 AON Corp. 7.375% due 12/14/12 265 296 ArvinMeritor, Inc. 6.625% due 06/15/07 125 126 8.750% due 03/01/12 160 173 ASIF Global Financing 4.900% due 01/17/13 405 413 AT&T Corp. 5.360% due 11/21/03 2,500 2,805 7.000% due 11/15/06 605 649 7.800% due 11/15/11 415 455 8.125% due 01/15/22 385 389 8.500% due 11/15/31 420 468 AT&T Wireless Services, Inc. 8.125% due 05/01/12 85 100 8.750% due 03/01/31 255 318 Avista Corp. 7.750% due 01/01/07 50 55 9.750% due 06/01/08 610 677
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- AXA Financial, Inc. 6.500% due 04/01/08 120 132 7.000% due 04/01/28 180 195 BAE Systems Holdings, Inc. 6.400% due 12/15/11 1,135 1,197 Bank of America Corp. 7.800% due 02/15/10 65 79 Series MTNI 1.609% due 10/22/04 925 928 Bank One Corp. 7.625% due 10/15/26 205 253 BankBoston Corp. Series B 8.250% due 12/15/26 280 320 BCI US Funding Trust Step Up Bond 8.010% due 12/29/49 730 829 Belo Corp. 8.000% due 11/01/08 110 130 Boeing Capital Corp. 6.100% due 03/01/11 490 516 6.500% due 02/15/12 35 38 5.800% due 01/15/13 205 211 Boston Properties, Inc. 6.250% due 01/15/13 100 107 Burlington Northern Santa Fe Corp. 6.875% due 12/01/27 415 464 Campbell Soup Co. 5.875% due 10/01/08 260 291 Carolina Power & Light Co. 6.500% due 07/15/12 135 153 Cendant Corp. 6.250% due 03/15/10 220 233 7.375% due 01/15/13 580 635 7.125% due 03/15/15 130 143 CenterPoint Energy Houston Electric LLC 5.700% due 03/15/13 240 256 CenterPoint Energy Resources Corp. 7.875% due 04/01/13 2,110 2,421 Cigna Corp. 6.375% due 10/15/11 130 139 Cincinnati Financial Corp. 6.900% due 05/15/28 600 657 Cincinnati Gas & Electric 5.700% due 09/15/12 100 106 CIT Group, Inc. 6.500% due 02/07/06 370 400 6.875% due 11/01/09 140 155 Citicorp Series MTNF 6.375% due 11/15/08 265 299
82 Multistrategy Bond Fund MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Citigroup, Inc. 3.500% due 02/01/08 1,330 1,338 7.250% due 10/01/10 665 788 6.500% due 01/18/11 3,000 3,430 6.000% due 02/21/12 205 228 5.625% due 08/27/12 115 124 5.875% due 02/22/33 490 503 Citizens Communications Co. 6.375% due 08/15/04 435 455 Clear Channel Communications, Inc. 6.000% due 11/01/06 125 135 7.650% due 09/15/10 215 252 Columbus Southern Power Co. 5.500% due 03/01/13 115 120 6.600% due 03/01/33 35 38 Comcast Cable Communications 8.375% due 05/01/07 705 814 6.750% due 01/30/11 140 155 Comcast Corp. 5.850% due 01/15/10 190 202 7.050% due 03/15/33 370 403 Conoco, Inc. 6.950% due 04/15/29 320 374 Consolidated Natural Gas Co. Series C 6.250% due 11/01/11 155 173 Constellation Energy Group, Inc. 7.600% due 04/01/32 190 227 Consumers Energy Co. 6.000% due 03/15/05 250 266 5.375% due 04/15/13 35 36 Countrywide Home Loans, Inc. Series MTNK 5.500% due 02/01/07 135 146 COX Communications, Inc. 7.125% due 10/01/12 185 216 Credit Suisse First Boston USA, Inc. 4.625% due 01/15/08 500 524 CS First Boston Mortgage Securities Corp. 6.500% due 04/25/33 1,250 1,287 CSC Holdings, Inc. Series B 8.125% due 08/15/09 1,000 1,060 DaimlerChrysler NA Holding Corp. 8.000% due 06/15/10 70 82 8.500% due 01/18/31 165 206 Delta Air Lines, Inc. 7.900% due 12/15/09 340 236 9.750% due 05/15/21 130 79
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Detroit Edison Co. 6.125% due 10/01/10 55 61 6.350% due 10/15/32 330 364 Devon Financing Corp. ULC 6.875% due 09/30/11 315 362 7.875% due 09/30/31 75 93 Di Giorgio Corp. Series B 10.000% due 06/15/07 400 400 Dominion Resources, Inc. Series B 6.250% due 06/30/12 120 132 DPL, Inc. 8.250% due 03/01/07 330 352 DR Horton, Inc. 6.875% due 05/01/13 180 184 Dresdner Funding Trust I 8.151% due 06/30/31 440 458 Duke Capital Corp. 7.500% due 10/01/09 485 540 6.250% due 02/15/13 725 746 Duke Energy Field Services LLC 5.750% due 11/15/06 80 84 6.875% due 02/01/11 60 67 Eastman Chemical Co. 7.000% due 04/15/12 95 108 Echostar DBS Corp. 9.375% due 02/01/09 620 672 EL Paso Corp. 6.950% due 12/15/07 2,600 2,321 El Paso Energy Partners, LP 8.500% due 06/01/10 355 383 Eli Lilly & Co. 6.770% due 01/01/36 760 896 Enterprise Products Partners, LP 6.875% due 03/01/33 395 421 EOP Operating, LP 7.500% due 04/19/29 275 314 Equitable Resources, Inc. 5.150% due 03/01/18 660 678 Erac USA Finance Co. 7.350% due 06/15/08 210 238 Evergreen Funding, Ltd. (E)(Y) Series REGS 1.811% due 11/15/10 1,026 667 Exelon Corp. 6.750% due 05/01/11 90 101 Farmers Exchange Capital 7.050% due 07/15/28 400 310 Farmers Insurance Exchange 8.625% due 05/01/24 710 625
Multistrategy Bond Fund 83 MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Federated Department Stores 7.000% due 02/15/28 325 347 FedEx Corp. 7.600% due 07/01/97 225 243 Fifth Third Bank Michigan 7.750% due 08/15/10 540 600 Financing Corp. Zero Coupon Series 15P 0.000% due 03/07/19 825 353 FINOVA Group, Inc. (The) 7.500% due 11/15/09 600 240 First Union Capital I Series A 7.935% due 01/15/27 160 182 FirstEnergy Corp. Series A 5.500% due 11/15/06 60 63 Series B 6.450% due 11/15/11 390 422 Series C 7.375% due 11/15/31 345 380 Florida Power & Light Co. 4.850% due 02/01/13 50 52 FMC Corp. 10.250% due 11/01/09 35 39 Ford Motor Co. 6.625% due 10/01/28 275 224 6.375% due 02/01/29 260 207 7.450% due 07/16/31 820 730 Ford Motor Credit Co. 6.875% due 02/01/06 1,005 1,040 5.800% due 01/12/09 855 814 7.375% due 10/28/09 120 123 7.375% due 02/01/11 1,140 1,156 7.250% due 10/25/11 305 306 Fortune Brands, Inc. 7.125% due 11/01/04 325 351 Foster's Finance Corp. 6.875% due 06/15/11 380 435 FPL Group Capital, Inc. 3.250% due 04/11/06 540 546 Franklin Resources, Inc. 3.700% due 04/15/08 275 276 Fresenius Medical Care Capital Trust 7.875% due 06/15/11 750 784 Gap, Inc. (The) 10.550% due 12/15/08 120 143 General Electric Capital Corp. Series MTNA 5.450% due 01/15/13 315 335 6.750% due 03/15/32 450 521
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- General Electric Co. 5.000% due 02/01/13 885 914 General Motors Acceptance Corp. (E) 1.759% due 07/20/04 1,600 1,582 6.750% due 01/15/06 110 116 6.125% due 09/15/06 340 353 6.875% due 09/15/11 2,020 2,059 7.000% due 02/01/12 740 758 8.000% due 11/01/31 2,635 2,744 Georgia-Pacific Corp. 8.125% due 05/15/11 1,000 990 Golden West Financial Corp. 4.125% due 08/15/07 360 375 Goldman Sachs Group, Inc. 6.875% due 01/15/11 1,045 1,202 5.250% due 04/01/13 380 390 6.125% due 02/15/33 460 475 GTE Corp. 6.940% due 04/15/28 480 534 Harrah's Operating Co., Inc. 8.000% due 02/01/11 225 259 Hartford Financial Services Group, Inc. 7.900% due 06/15/10 80 94 Hartford Life, Inc. 7.650% due 06/15/27 220 251 7.375% due 03/01/31 110 121 HCA - The Healthcare Co. 7.580% due 09/15/25 130 135 HCA, Inc. 6.300% due 10/01/12 115 119 7.500% due 12/15/23 400 413 Health Net, Inc. 8.375% due 04/15/11 295 347 Healthsouth Corp. (ffl) 8.500% due 02/01/08 1,060 676 Hertz Corp. 7.625% due 08/15/07 75 77 7.625% due 06/01/12 215 215 Hilton Hotels Corp. 7.625% due 12/01/12 430 452 HJ Heinz Finance Co. 6.750% due 03/15/32 355 404 HMH Properties, Inc. Series C 8.450% due 12/01/08 1,000 1,025 Honeywell International, Inc. 6.125% due 11/01/11 350 389 Household Finance Corp. 4.625% due 01/15/08 250 261 5.875% due 02/01/09 560 606
84 Multistrategy Bond Fund MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 6.375% due 10/15/11 370 405 6.375% due 11/27/12 350 386 Hyatt Equities LLC 6.875% due 06/15/07 170 172 Illinois Power Co. 11.500% due 12/15/10 180 203 ING Bank NV 5.125% due 05/01/15 830 840 International Lease Finance Corp. 6.375% due 03/15/09 350 380 International Paper Co. 5.850% due 10/30/12 220 235 5.300% due 04/01/15 150 151 Iron Mountain, Inc. 7.750% due 01/15/15 125 134 iStar Financial, Inc. 7.000% due 03/15/08 70 72 ITT Industries, Inc. 7.400% due 11/15/25 450 513 J Crew Group Series B 13.125% due 10/15/08 365 259 John Hancock Funds USA 7.375% due 02/15/24 500 565 JP Morgan & Co., Inc. Series MTNA 6.000% due 01/15/09 355 387 JP Morgan Chase & Co. 5.350% due 03/01/07 160 174 6.750% due 02/01/11 175 199 6.625% due 03/15/12 95 107 Kellogg Co. Series B 7.450% due 04/01/31 445 552 Kennametal, Inc. 7.200% due 06/15/12 250 266 Kerr-McGee Corp. 5.875% due 09/15/06 45 49 6.875% due 09/15/11 85 95 KeySpan Corp. 7.250% due 11/15/05 175 196 7.625% due 11/15/10 525 634 Kraft Foods, Inc. 5.250% due 06/01/07 170 179 5.625% due 11/01/11 450 471 6.250% due 06/01/12 555 605 Kroger Co. 7.250% due 06/01/09 270 310 8.000% due 09/15/29 475 568 7.500% due 04/01/31 125 143
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Lehman Brothers Holdings, Inc. 6.625% due 01/18/12 415 472 Lenfest Communications, Inc. 7.625% due 02/15/08 100 113 Liberty Media Corp. 5.700% due 05/15/13 220 221 8.250% due 02/01/30 145 163 Lockheed Martin Corp. 8.200% due 12/01/09 1,350 1,676 7.750% due 05/01/26 190 233 8.500% due 12/01/29 425 570 Lodgenet Entertainment Corp. 10.250% due 12/15/06 450 455 Lone Star Industries 8.850% due 06/15/05 770 748 Lowe's Cos., Inc. 6.875% due 02/15/28 230 263 Lyondell Chemical Co. Series B 9.875% due 05/01/07 160 165 Manufacturers & Traders Trust Co. 8.000% due 10/01/10 220 266 Marathon Oil Corp. 6.800% due 03/15/32 135 146 Masco Corp. 6.500% due 08/15/32 80 85 May Department Stores Co. (The) 6.700% due 09/15/28 165 170 7.875% due 03/01/30 180 210 MBNA Corp. 6.125% due 03/01/13 320 325 MDC Holdings, Inc. 7.000% due 12/01/12 100 108 MeadWestvaco Corp. 6.850% due 04/01/12 120 136 Merrill Lynch & Co., Inc. Series MTNB 3.700% due 04/21/08 235 237 Metropolitan Life Insurance Co. 7.800% due 11/01/25 670 779 MGM Mirage 8.500% due 09/15/10 225 253 Mizuho Preferred Capital Co. LLC Step Up Bond 8.790% due 12/29/49 305 298 Mohawk Industries, Inc. Series D 7.200% due 04/15/12 80 89 Monsanto Co. 7.375% due 08/15/12 120 138
Multistrategy Bond Fund 85 MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Monumental Global Funding II 3.850% due 03/03/08 490 496 Morgan Stanley 6.750% due 04/15/11 365 415 5.300% due 03/01/13 635 659 Nabors Industries, Inc. 5.375% due 08/15/12 470 493 Natexis Ambs Co. LLC 8.440% due 12/29/49 430 510 National Rural Utilities Cooperative Finance 3.875% due 02/15/08 435 444 5.750% due 08/28/09 200 217 National Wine & Spirits, Inc. 10.125% due 01/15/09 225 205 Nationwide Financial Services 6.250% due 11/15/11 395 423 Nationwide Mutual Insurance Co. 7.875% due 04/01/33 785 867 NB Capital Trust IV 8.250% due 04/15/27 240 290 Nevada Power Co. 10.875% due 10/15/09 120 133 News America Holdings 8.875% due 04/26/23 205 252 7.750% due 12/01/45 585 666 News America, Inc. 7.300% due 04/30/28 250 275 6.750% due 01/09/38 65 71 Nisource Finance Corp. 7.875% due 11/15/10 335 405 Norfolk Southern Corp. 7.700% due 05/15/17 330 407 7.900% due 05/15/97 250 282 Northern Border Pipeline Co. 6.250% due 05/01/07 560 611 Occidental Petroleum Corp. 9.250% due 08/01/19 285 375 Ohio Edison Co. 5.450% due 05/01/15 45 46 Ohio Power Co. 5.500% due 02/15/13 55 58 6.600% due 02/15/33 75 80 Oncor Electric Delivery Co. 7.250% due 01/15/33 325 377 Owens-Brockway 7.750% due 05/15/11 55 55 8.750% due 11/15/12 900 961 PanAmSat Corp. 8.500% due 02/01/12 1,000 1,088
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Peco Energy Co. 3.500% due 05/01/08 500 506 Pemex Project Funding Master Trust 8.625% due 02/01/22 450 501 Phelps Dodge Corp. 8.750% due 06/01/11 125 141 PHH Corp. 7.125% due 03/01/13 115 124 Pinnacle Partners 8.830% due 08/15/04 300 317 PolyOne Corp. 10.625% due 05/15/10 700 700 Popular North America, Inc. 4.250% due 04/01/08 305 309 Portola Packaging, Inc. 10.750% due 10/01/05 470 481 Progress Energy, Inc. 7.100% due 03/01/11 40 46 7.000% due 10/30/31 410 460 Progressive Corp. (The) 6.375% due 01/15/12 25 28 6.250% due 12/01/32 80 86 Prologis 5.500% due 03/01/13 40 42 Prudential Financial, Inc. 3.750% due 05/01/08 310 311 Prudential Funding LLC 6.600% due 05/15/08 230 260 Prudential Holdings LLC Series FSA 7.245% due 12/18/23 760 880 PSEG Energy Holdings, Inc. 7.750% due 04/16/07 600 628 8.625% due 02/15/08 385 412 Pulte Homes, Inc. 7.875% due 08/01/11 170 198 Qwest Capital Funding, Inc. 7.000% due 08/03/09 65 54 6.500% due 11/15/18 30 22 Raytheon Co. 8.200% due 03/01/06 350 402 8.300% due 03/01/10 125 149 Regions Financial Corp. 6.375% due 05/15/12 520 589 Roundy's, Inc. Series B 8.875% due 06/15/12 500 515 Safeway, Inc. 7.250% due 02/01/31 65 73 Sears Roebuck Acceptance 7.000% due 06/01/32 105 107
86 Multistrategy Bond Fund MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Sempra Energy ESOP 6.000% due 02/01/13 70 74 Simon Property Group, LP 6.375% due 11/15/07 250 274 6.350% due 08/28/12 100 108 Smithfield Foods, Inc. Series B 8.000% due 10/15/09 110 113 SOI Funding Corp. 11.250% due 07/15/09 550 418 Southern Co. Capital Funding, Inc. Series A 5.300% due 02/01/07 110 117 Sovereign Bancorp, Inc. 10.500% due 11/15/06 1,270 1,537 Sprint Capital Corp. 6.125% due 11/15/08 160 163 6.375% due 05/01/09 165 168 8.375% due 03/15/12 350 389 6.900% due 05/01/19 200 191 6.875% due 11/15/28 365 338 8.750% due 03/15/32 2,300 2,519 Starwood Hotels & Resorts Worldwide, Inc. 7.375% due 05/01/07 65 68 7.875% due 05/01/12 320 335 Station Casinos, Inc. 8.375% due 02/15/08 95 102 TCI Communications, Inc. 8.000% due 08/01/05 825 899 7.875% due 02/15/26 145 168 Tele-Communications-TCI Group 9.800% due 02/01/12 360 464 7.875% due 08/01/13 570 667 Tenet Healthcare Corp. 7.375% due 02/01/13 710 705 6.875% due 11/15/31 265 241 Tennessee Gas Pipeline Co. 8.375% due 06/15/32 765 792 Tesoro Petroleum Corp. 8.000% due 04/15/08 650 670 Time Warner Cos 7.570% due 02/01/24 120 130 Time Warner, Inc. 7.975% due 08/15/04 225 240 8.180% due 08/15/07 310 353 6.625% due 05/15/29 45 44 Toys R US, Inc. 7.625% due 08/01/11 145 150 Travelers Property Casualty Corp. 5.000% due 03/15/13 250 254
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- TXU Energy Co. 7.000% due 03/15/13 470 519 Union Pacific Corp. 5.750% due 10/15/07 845 923 6.125% due 01/15/12 365 403 Union Planters Corp. 7.750% due 03/01/11 265 314 Univision Communications, Inc. 7.850% due 07/15/11 500 580 US Bancorp/First Bank Series MTNJ 6.875% due 12/01/04 850 918 USA Interactive 6.750% due 11/15/05 555 587 7.000% due 01/15/13 505 555 UST, Inc. 6.625% due 07/15/12 445 503 USX Corp./Consolidated 9.375% due 05/15/22 545 721 Valero Logistics Operations, LP 6.050% due 03/15/13 365 380 Valspar Corp. 6.000% due 05/01/07 435 466 Verizon Florida, Inc. Series F 6.125% due 01/15/13 230 255 Verizon Global Funding Corp. 7.750% due 12/01/30 155 191 Verizon Virginia, Inc. Series A 4.625% due 03/15/13 655 651 Verizon Wireless Capital LLC 5.375% due 12/15/06 310 334 Verizon/New England 6.500% due 09/15/11 70 79 Vintage Petroleum, Inc. 7.875% due 05/15/11 500 513 Vornado Realty Trust 5.625% due 06/15/07 130 134 Wachovia Corp. 7.550% due 08/18/05 875 982 Washington Mutual, Inc. 8.250% due 04/01/10 155 192 Waste Management, Inc. 7.000% due 07/15/28 460 509 Wells Fargo & Co. 3.500% due 04/04/08 165 167 Wells Fargo Bank NA 7.550% due 06/21/10 250 304 Wendy's International, Inc. 6.200% due 06/15/14 560 629
Multistrategy Bond Fund 87 MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Weyerhaeuser Co. 5.250% due 12/15/09 210 220 6.750% due 03/15/12 255 286 Wilmington Trust Corp. 4.875% due 04/15/13 255 255 Wisconsin Energy Corp. 6.200% due 04/01/33 50 51 WorldCom, Inc. - WorldCom Group (ffl) 8.250% due 05/15/31 360 102 Wyeth 5.250% due 03/15/13 100 105 York International Corp. 6.625% due 08/15/06 230 246 Zions BanCorp. 6.500% due 10/15/11 390 409 Zurich Capital Trust I 8.376% due 06/01/37 1,130 1,105 ------------ 148,614 ------------ Emerging Markets Debt - 1.9% Brazilian Government International Bond (E) 2.125% due 04/15/06 96 90 10.000% due 01/16/07 2,735 2,687 11.000% due 01/11/12 1,100 1,067 11.000% due 08/17/40 1,000 873 Bulgaria Government International Bond (E) 2.188% due 07/28/24 480 462 Ecuador Government International Bond 6.000% due 08/15/30 1,410 846 Kyivstar GSM 12.750% due 11/21/05 370 403 OAO Gazprom 9.625% due 03/01/13 3,180 3,387 Panama Government International Bond 8.875% due 09/30/27 1,620 1,685 Peru Government International Bond 4.500% due 03/07/17 1,090 892 Russia Government International Bond 5.000% due 03/31/30 710 642 ------------ 13,034 ------------ International Debt - 6.1% Abbey National PLC Step Up Bond (p) 6.700% due 06/29/49 775 859 Abitibi-Consolidated, Inc. 8.550% due 08/01/10 65 74 8.850% due 08/01/30 125 139
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- AES Drax Energy, Ltd. (ffl) Series B 11.500% due 08/30/10 670 7 Amvescap PLC 6.600% due 05/15/05 710 766 AXA 8.600% due 12/15/30 420 506 Bowater Canada Finance 7.950% due 11/15/11 180 189 British Telecommunications PLC 8.375% due 12/15/10 975 1,200 8.875% due 12/15/30 440 585 Chile Government International Bond 5.500% due 01/15/13 3,180 3,262 Conoco Funding Co. 6.350% due 10/15/11 1,110 1,258 Den Norske Bank ASA 7.729% due 06/29/49 790 927 Deutsche Telekom International Finance BV 8.500% due 06/15/10 380 458 8.750% due 06/15/30 1,085 1,341 Diageo Capital PLC 3.375% due 03/20/08 165 165 France Telecom 8.700% due 03/01/06 1,420 1,613 9.250% due 03/01/11 1,720 2,103 10.000% due 03/01/31 380 505 Great Lakes Power, Inc. 9.000% due 08/01/04 225 239 Hollinger, Inc. 11.875% due 03/01/11 285 305 Hutchison Whampoa International 03/13, Ltd. 6.500% due 02/13/13 715 725 Inco, Ltd. 7.750% due 05/15/12 120 138 7.200% due 09/15/32 45 49 Kazkommerts International BV 8.500% due 04/16/13 310 307 Korea Development Bank 4.250% due 11/13/07 140 141 5.500% due 11/13/12 20 21 Laidlaw, Inc. (ffl) 7.875% due 04/15/05 450 206 Mexico Government International Bond 9.875% due 02/01/10 100 127 8.375% due 01/14/11 170 203 6.375% due 01/16/13 460 482 11.375% due 09/15/16 400 572 8.125% due 12/30/19 2,000 2,257
88 Multistrategy Bond Fund MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 8.000% due 09/24/22 465 515 8.300% due 08/15/31 470 532 7.500% due 04/08/33 1,385 1,423 Mexico Government International Bond Value Recovery Rights (AE)(E)(Y) Series B 0.000% due 06/30/04 600 5 Series C 0.000% due 06/30/05 600 2 Series D 0.000% due 06/30/06 600 1 Series E 0.000% due 06/30/07 600 -- Mobile TeleSystems Finance SA 9.750% due 01/30/08 250 267 National Westminster Bank PLC Step Up Bond (p) 7.750% due 04/29/49 600 690 Newcourt Credit Group, Inc. Series B 6.875% due 02/16/05 145 154 Newmont Yandal Operations, Ltd. 8.875% due 04/01/08 1,130 684 Nordea Bank Sweden AB 5.250% due 11/30/12 725 758 Pearson PLC 7.000% due 06/15/11 155 176 Petroleos Mexicanos 9.500% due 09/15/27 415 495 Placer Dome, Inc. 6.375% due 03/01/33 670 683 Poland Government International Bond 4.500% due 10/27/24 750 698 Province of Quebec 7.500% due 07/15/23 1,165 1,472 Royal Bank of Scotland Group PLC (p) Series 1 9.118% due 03/31/49 2,650 3,346 Royal KPN NV 8.000% due 10/01/10 1,770 2,122 Santander Central Hispano Issuances, Ltd. 7.625% due 09/14/10 250 296 Santander Financial Issuances 6.800% due 07/15/05 155 170 6.375% due 02/15/11 130 142 Sappi Papier Holding AG 6.750% due 06/15/12 605 681 Singapore Telecommunications, Ltd. 6.375% due 12/01/11 325 361 7.375% due 12/01/31 1,310 1,539
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Standard Chartered Bank 8.000% due 05/30/31 265 319 Stora Enso Oyj 7.375% due 05/15/11 255 299 Thomson Corp. (The) 5.750% due 02/01/08 300 331 TPSA Finance BV 7.750% due 12/10/08 415 438 Tyco International Group SA 6.375% due 10/15/11 1,500 1,478 XL Capital Europe PLC 6.500% due 01/15/12 400 442 ------------ 42,248 ------------ Mortgage-Backed Securities - 46.2% ARC Net Interest Margin Trust (Y) Series 2002-5A Class A 7.750% due 07/27/32 86 85 Bank of America Mortgage Securities (Y) Series 2002-3 Class 1B4 6.500% due 03/25/32 306 275 Series 2003-D Class 1A1 3.428% due 05/25/33 390 397 Series 2003-D Class 1A2 3.428% due 05/25/33 145 143 Cendant Mortgage Corp. Series 2002-4 Class A6 6.500% due 07/25/32 612 631 Chase Mortgage Finance Corp. (E) Series 2002-A1 Class 1A1 6.200% due 12/25/29 254 259 Citicorp Mortgage Securities, Inc. (Y) Series 2002-4 Class B4 6.241% due 03/25/32 346 330 Conseco Finance (E) Series 2000-C Class A 1.680% due 12/15/29 852 851 Countrywide Alternative Loan Trust 6.750% due 08/25/32 683 700 Countrywide Asset-Backed Certificates (E) Series 2000-2 Class AV1 1.550% due 06/25/31 371 371 Countrywide Home Loans Series 2002-12 Class 1A20 6.500% due 08/25/32 159 159 CS First Boston Mortgage Securities Corp. (E) Series 2001-S18 Class A2 1.670% due 08/25/31 660 660
Multistrategy Bond Fund 89 MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 2002-10 Class 2A1 7.500% due 05/25/32 1,219 1,288 Series 2002-18 Class 1AIO 7.500% due 06/25/32 1,400 150 Series 2002-22 Class 1AIO 8.000% due 07/25/32 1,800 201 Series 2002-34 Class 1A1 7.500% due 12/25/32 774 808 DLJ Mortgage Acceptance Corp. (E) Series 1996-Q5 Class A1 1.820% due 06/25/26 170 171 Fannie Mae 4.375% due 03/15/13 795 803 Fannie Mae Pool (o) 15 Year TBA 4.50% 1,380 1,391 Fannie Mae Whole Loan 2.115% due 10/25/42 800 800 Federal Home Loan Mortgage Corp (o) 30 Year Gold TBA 6.50% 10,690 11,150 Federal Home Loan Mortgage Corp. 15 Year TBA 4.50% (o) 3,565 3,596 5.00% (o) 8,370 8,626 30 Year TBA 6.00% (o) 7,175 7,442 6.50% (o) 10,550 11,014 30 Year TBA Gold 6.00% (o) 1,775 1,837 7.50% (o) 1,235 1,317 6.000% due 2016 841 879 8.000% due 2020 845 914 11.000% due 2020 219 255 8.500% due 2025 185 201 8.500% due 2027 927 1,010 7.500% due 2028 198 211 7.500% due 2029 516 551 7.843% due 2030 78 80 8.000% due 2030 48 52 8.500% due 2030 2,043 2,196 7.500% due 2031 957 1,019 8.000% due 2031 365 394 6.500% due 2032 946 987 7.500% due 2032 1,816 1,936 Series 1991-1037 Class Z 9.000% due 02/15/21 239 250 Series 2000-2240 Class S 7.790% due 04/15/25 278 15 Series 2000-2247 Class SC 6.190% due 08/15/30 416 33
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 2000-2266 Class F 1.760% due 11/15/30 1,105 1,113 Series 2001-2302 Class NJ 6.500% due 11/15/29 1,100 1,120 Series 2001-2346 Class PC 6.500% due 12/15/13 240 246 Series 2002-2432 Class PI 6.000% due 04/15/23 1,805 40 Series 2002-2463 Class SJ 6.690% due 03/15/32 2,175 182 Federal Home Loan Mortgage Corp. Structured Pass Through Securities Series 2002-42 Class A1 4.750% due 02/25/42 238 239 Series 2002-50 Class A3 2.182% due 09/27/07 404 404 Series 2003-54 Class 2AIO (Y) 0.251% due 02/25/43 35,400 288 Series 2003-54 Class 3AIO (Y) 0.825% due 02/25/43 14,900 388 Federal National Mortgage Association 15 Year TBA 4.50% (o) 17,000 17,030 5.00% (o) 6,310 6,481 5.50% (o) 8,650 8,988 6.00% (o) 13,500 14,144 30 Year TBA 5.50% (o) 14,055 14,368 6.00% (o) 16,835 17,459 6.50% (o) 15,885 16,594 7.00% (o) 31,770 33,564 10.000% due 2005 10 10 6.000% due 2009 48 50 6.000% due 2014 18 19 5.500% due 2016 419 436 6.000% due 2016 4,038 4,231 11.000% due 2016 288 328 5.500% due 2017 10,774 11,215 6.000% due 2017 8,386 8,792 6.500% due 2017 549 582 4.431% due 2023 134 139 4.432% due 2026 859 886 9.000% due 2026 202 225 7.500% due 2027 206 221 7.500% due 2029 1,291 1,376 7.500% due 2030 3,458 3,681 8.000% due 2030 2,628 2,847 8.500% due 2030 1,823 1,969 9.500% due 2030 401 447 7.500% due 2031 2,310 2,465 8.000% due 2031 2,517 2,711
90 Multistrategy Bond Fund MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 8.500% due 2031 3,827 4,113 6.500% due 2032 8,871 9,268 7.000% due 2032 824 877 7.500% due 2032 1,940 2,065 6.000% due 2033 1,168 1,217 6.500% due 2033 3,038 3,174 3.335% due 2040 2,701 2,756 Series 1992-10 Class ZD 8.000% due 11/25/21 2,435 2,657 Series 1997-68 Class SC 7.156% due 05/18/27 627 69 Series 1998-66 Class QK 6.880% due 12/25/28 893 103 Series 2001-4 Class SA 6.230% due 02/17/31 836 91 Series 2002-18 Class PG 5.500% due 06/25/08 261 262 Series 2002-50 Class SC 6.780% due 12/25/29 846 52 Series 2002-70 Class QD 5.500% due 06/25/26 515 535 Series 2003-33 Class IA 6.500% due 05/25/33 3,550 475 Federal National Mortgage Association Interest Strip Series 1997-281 Class 2 9.000% due 11/01/26 200 39 Series 2000-306 Class IO 8.000% due 05/01/30 356 55 Series 2001-317 Class 1 0.000% due 08/01/31 819 759 Series 2001-317 Class 2 8.000% due 08/01/31 819 126 Series 2002-320 Class 2 7.000% due 03/01/32 268 38 Federal National Mortgage Association Whole Loan Series 2002-W1 Class 2AIO 0.620% due 04/25/42 17,312 514 Series 2002-W4 Class A1 4.500% due 05/25/42 441 442 Series 2002-W6 Class 2AIO 0.397% due 06/25/42 15,016 282 Series 2003-W1 Class 1A1 6.500% due 12/25/42 837 891 First Nationwide Trust Series 2000-2 Class IB3 7.500% due 12/19/30 146 151 Series 2001-4 Class 3A5 1.920% due 09/25/31 1,053 1,055
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- First Union-Lehman Brothers-Bank of America Series 1998-C2 Class A2 6.560% due 11/18/35 780 886 Freddie Mac (Gold) Pool 15 Year TBA 5.00% (o) 5,840 5,997 5.50% (o) 565 586 30 Year TBA 5.50% (o) 7,205 7,304 7.000% due 07/01/32 527 556 Freddiemac Strip Series 1998-191 Class IO 8.000% due 01/01/28 184 29 Series 2000-207 Class IO 7.000% due 04/01/30 250 29 Series 2001-215 Class IO 8.000% due 06/01/31 330 49 Government National Mortgage Association 30 Year TBA 6.00% (o) 2,000 2,085 Series 1999-27 Class SE 7.289% due 08/16/29 568 61 Series 1999-44 Class SA 7.239% due 12/16/29 819 104 Series 2001-46 Class SA 6.269% due 09/16/31 501 35 Series 2002-61 Class BA 4.648% due 03/16/26 325 336 Series 2002-62 Class B 4.763% due 01/16/25 325 338 Series 2003-5 Class B 4.486% due 10/16/25 325 332 Government National Mortgage Association I 30 Year TBA 5.50% (o) 3,775 3,892 6.00% (o) 1,300 1,359 6.50% (o) 2,570 2,699 10.000% due 2022 216 248 9.500% due 2023 959 1,082 10.000% due 2025 320 368 6.500% due 2028 834 876 6.500% due 2030 424 447 6.500% due 2031 886 931 7.500% due 2031 716 761 6.500% due 2032 1,715 1,804 Government National Mortgage Association II (E) 5.375% due 2023 349 356
Multistrategy Bond Fund 91 MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 5.625% due 2023 132 135 5.750% due 2023 89 90 5.625% due 2024 588 601 5.750% due 2024 622 636 5.375% due 2025 1,178 1,203 5.625% due 2025 66 67 5.750% due 2025 45 46 5.625% due 2026 323 330 8.500% due 2026 321 347 5.375% due 2027 489 499 5.750% due 2027 797 814 5.000% due 2029 2,305 2,381 GSAMP Trust (Y) Series 2002-WFN Class NOTE 8.250% due 10/20/32 189 188 Impac Secured Assets CMN Owner Trust Series 2001-4 Class A3 6.380% due 04/25/24 93 93 MASTR Alternative Loans Trust 7.000% due 12/25/32 953 992 Merrill Lynch Mortgage Trust (Y) Series 2002-MW1 Class J 5.695% due 07/12/34 365 284 Morgan Stanley Dean Witter Capital I (Y) Series 2001-NC3N Class N 12.750% due 10/25/31 56 56 Nationslink Funding Corp. Series 1999-SL Class A4 6.654% due 11/10/30 500 542 Novastar Caps Trust (Y) Series 2002-C1 Class A 7.150% due 09/25/31 145 145 Option One Mortgage Securities Corp. NIM Trust Series 2002-2A Class CFTS 8.830% due 06/26/32 242 241 PNC Mortgage Securities Corp. (Y) Series 2000-4 Class CB2 6.820% due 06/25/30 248 254 Series 2000-4 Class CB3 6.820% due 06/25/30 138 141 Residential Asset Mortgage Products, Inc. Series 2002-RZ4 Class AIO 5.750% due 04/25/05 3,060 200 Salomon Brothers Mortgage Securities VII Series 1994-16 Class A 6.283% due 08/25/24 99 99
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 1999-C1 Class J (Y) 7.000% due 05/18/32 310 237 Series 1999-NC3 Class A 1.670% due 07/25/29 17 16 Series 1999-NC4 Class A 1.720% due 09/25/29 170 171 Vendee Mortgage Trust Series 2000-1 Class 2G 7.250% due 06/15/09 330 353 Series 2002-1 Class 2IO 0.248% due 08/15/31 36,030 467 Wachovia Bank Commercial Mortgage Trust 4.566% due 04/15/35 995 1,015 Series 2002-C1 Class H (Y) 6.290% due 04/15/34 235 215 Series 2002-C1 Class J (Y) 6.290% due 04/15/34 165 147 Washington Mutual (E) Series 2003-AR4 Class A7 3.950% due 05/25/33 605 614 Series 2003-S1 Class A1 5.000% due 04/25/33 733 758 Washington Mutual Mortgage Securities Corp. Series 2001-2 Class B3 7.222% due 01/25/31 273 277 ------------ 321,986 ------------ Municipal Bonds - 0.4% Clark County Nevada General Obligation Limited, weekly demand (u) 5.000% due 06/01/32 1,900 1,943 Forsyth Montana Revenue Bonds 5.200% due 05/01/33 220 220 Long Island Power Authority Revenue Bonds 5.000% due 06/01/08 355 383 ------------ 2,546 ------------ United States Government Agencies - 0.9% Federal Home Loan Mortgage Corp. 2.750% due 03/15/08 650 644 Federal Housing Authority 7.430% due 07/01/22 1,409 1,457 Federal National Mortgage Association 7.125% due 06/15/10 925 1,119
92 Multistrategy Bond Fund MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Financing Corp. STRIP Principal 0.000% due 12/06/18 1,715 746 0.000% due 12/27/18 2,835 1,228 0.000% due 04/05/19 1,445 614 0.000% due 09/26/19 990 407 Residual Funding - STRIP 0.000% due 10/15/20 400 158 ------------ 6,373 ------------ United States Government Treasuries - 15.7% United States Treasury Inflation Indexed Bonds 3.625% due 01/15/08 1,530 1,691 3.875% due 01/15/09 1,563 1,755 3.375% due 01/15/12 206 228 3.000% due 07/15/12 479 514 3.875% due 04/15/29 4,899 5,938 3.375% due 04/15/32 505 580 United States Treasury Note 6.000% due 08/15/04 1,800 1,910 7.875% due 11/15/04 3,830 4,210 1.500% due 02/28/05 2,450 2,454 1.625% due 04/30/05 32,325 32,402 6.750% due 05/15/05 3,000 3,314 4.625% due 05/15/06 7,160 7,712 3.500% due 11/15/06 1,600 1,668 4.375% due 05/15/07 3,060 3,283 3.000% due 02/15/08 345 349 6.500% due 02/15/10 6,750 8,036 5.000% due 02/15/11 1,930 2,117 5.000% due 08/15/11 1,000 1,095 3.875% due 02/15/13 3,425 3,430 7.500% due 11/15/16 2,100 2,765 8.750% due 05/15/17 2,425 3,525 8.125% due 08/15/19 7,075 9,923 6.000% due 02/15/26 4,965 5,735 5.375% due 02/15/31 3,520 3,841 United States Treasury STRIP Coupon 0.000% due 05/15/17 600 306 United States Treasury STRIP Principal 0.000% due 11/15/09 1,495 1,173 ------------ 109,954 ------------ TOTAL LONG-TERM INVESTMENTS (cost $650,379) 671,069 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 0.8% Financial Services - 0.8% Pacific Investment Management Co. Series High Yield Portfolio Institutional (Y) 686 5,580 ------------ Utilities - 0.0% Proton Opportunity Fund, Ltd. (AE) 1 1 ------------ TOTAL COMMON STOCKS (cost $4,838) 5,581 ------------ PREFERRED STOCKS - 0.2% Financial Services - 0.2% Centaur Funding Corp. 1,535 1,795 ------------ TOTAL PREFERRED STOCKS (cost $1,554) 1,795 ------------ SHORT-TERM INVESTMENTS - 31.8% Bundesschatzanweisungen 4.250% due 06/13/03 3,400 3,801 Capital Auto Receivables Asset Trust Series 2002-2 Class A2 2.890% due 04/15/04 419 420 CBA Del Finance, Inc. Years 3 & 4 Commercial Paper 1.250% due 05/28/03 3,000 2,997 1.230% due 07/23/03 900 897 Danske Corp. Commercial Paper (c)(y) 1.210% due 07/10/03 6,400 6,380 1.240% due 07/14/03 200 199 Deutsche Bundesrepublik 6.000% due 09/15/03 5,210 5,887 Fairfax Financial Holdings, Ltd. 7.750% due 12/15/03 980 975 Federal Home Loan Mortgage Corp. 3.250% due 01/15/04 1,640 1,664 Federal National Mortgage Association Discount Note (c)(y) 1.180% due 07/02/03 4,000 3,990 1.200% due 07/16/03 1,000 997 First Security Corp. 5.875% due 11/01/03 3,000 3,067 Ford Motor Credit Co. (E) 1.806% due 06/23/03 2,175 2,174 Frank Russell Investment Company Money Market Fund, due on demand (c) 155,990 155,990 French Treasury Note BTAN 4.500% due 07/12/03 3,534 3,958
Multistrategy Bond Fund 93 MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- General Electric Capital Corp. 1.250% due 07/23/03 200 199 General Motors Acceptance Corp. (E) 1.440% due 08/18/03 1,900 1,897 1.649% due 11/07/03 1,200 1,197 HBOS Treasury Services PLC Commercial Paper (E) 1.230% due 05/16/03 300 300 1.240% due 05/16/03 300 300 Honda Auto Receivables Owner Trust Series 2002-1 Class A2 2.550% due 04/15/04 91 91 Italy Buoni Poliennali Del Tesoro 4.500% due 07/15/03 3,534 3,961 Lloyds Bank PLC 1.230% due 07/29/03 800 797 Morgan Stanley 5.625% due 01/20/04 900 927 Nisource Finance Corp. 7.500% due 11/15/03 235 242 PSEG Energy Holdings, Inc. 9.125% due 02/10/04 210 217 Svenska Handlsbn (c)(y) 1.230% due 06/02/03 4,300 4,295 UBS Finance, Inc. Yrs 3&4 Commercial Paper (c)(y) 1.240% due 05/28/03 5,900 5,895 United States Treasury Bill (c)(y) 1.180% due 05/08/03 (s) 575 575 1.175% due 05/15/03 (s) 465 465 1.230% due 07/17/03 100 99 1.150% due 09/04/03 25 25 1.170% due 09/25/03 350 348 1.090% due 10/02/03 25 25 1.100% due 10/02/03 300 298 Westpac Capital Corp. Years 1 & 2 Commercial Paper (c)(y) 1.240% due 05/28/03 6,200 6,194 Westpactrust Securities 1.200% due 07/02/03 200 199 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $220,979) 221,942 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- WARRANTS - 0.0% International Debt - 0.0% Mexico Government International Bond 2003 Warrants (AE) 615 2 ------------ Materials and Processing - 0.0% Solutia, Inc. 2009 Warrants (AE)(Y) -- -- ------------ TOTAL WARRANTS (cost $105) 2 ------------ TOTAL INVESTMENTS - 129.2% (identified cost $877,855) 900,389 OTHER ASSETS AND LIABILITIES NET - (29.2%) (203,293) ------------ NET ASSETS - 100.0% 697,096 ============ UNREALIZED FUTURES CONTRACTS NOTIONAL APPRECIATION AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Euribor Futures (UK) expiration date 06/03 (2) 489 4 expiration date 09/03 (15) 3,667 16 expiration date 12/03 (6) 1,466 1 expiration date 03/04 (1) 244 -- Eurodollar Futures expiration date 03/04 (47) 11,577 74 expiration date 06/04 (2) 491 2 expiration date 09/04 (2) 489 1 expiration date 12/04 (5) 1,219 1 expiration date 03/05 (3) 729 -- Three Month LIBOR Futures (UK) expiration date 12/03 (1) 121 -- expiration date 03/04 (1) 120 (1) United States Treasury 2 Year Notes expiration date 06/03 (71) 15,329 55 United States Treasury 5 Year Notes expiration date 06/03 (63) 7,166 47 United States Treasury 10 Year Notes expiration date 06/03 (61) 7,023 40
See accompanying notes which are an integral part of the financial statements. 94 Multistrategy Bond Fund MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- United States Treasury Bonds expiration date 06/03 (26) 2,965 16 Short Positions Euribor Futures (UK) expiration date 06/03 (12) 1 7 expiration date 12/03 (23) 2 23 Eurodollar Futures expiration date 06/03 (4) 988 (9) expiration date 09/03 (4) 988 (13) expiration date 12/03 (4) 987 (15) expiration date 03/04 (4) 985 (17) 10 Year Interest Rate Swap Futures expiration date 06/03 (104) 11,853 33 United States Treasury 2 Year Notes expiration date 06/03 (42) 9,068 (43) United States Treasury 5 Year Notes expiration date 06/03 (484) 55,055 (238) United States Treasury 10 Year Notes expiration date 06/03 (9) 1,036 (7) United States Treasury Bonds expiration date 06/03 (44) 5,017 21 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts (2) ============ OPTIONS WRITTEN NOTIONAL MARKET AMOUNT VALUE (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Eurodollar Futures Jun 2003 98.75 Call (66) 16,294 (17) Jun 2003 97.50 Put (33) 8,044 -- Jun 2003 98.00 Put (12) 2,940 -- Swap Option Three Month LIBOR Oct 2003 6.00 Call (1) 1,200 (114) Oct 2003 6.00 Put (1) 1,200 (15) Nov 2004 5.20 Call (1) 4,000 (233) Nov 2004 6.70 Put (1) 4,000 (29) ------------ Total Liability for Options Written (premiums received $395) (408) ============
FOREIGN CURRENCY EXCHANGE CONTRACTS ------------------------------------------------------------------------- UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- EUR 8,301 USD 8,911 05/15/03 (348) ==============
See accompanying notes which are an integral part of the financial statements. Multistrategy Bond Fund 95 MULTISTRATEGY BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
INDEX SWAPS --------------------------------------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION FUND RECEIVES COUNTER AMOUNT FUND PAYS TERMINATION (DEPRECIATION) UNDERLYING SECURITY PARTY $ FLOATING RATE DATE $ ------------------------------ ---------------- --------- ----------------------- -------------- ---------------- Bear Stearns High Yield 1 Month USD LIBOR- Total Return Index Bear Stearns 1,030 plus 0.35% 04/30/03 62 Bear Stearns High Yield 1 Month USD LIBOR- Total Return Index Bear Stearns 2,100 plus 0.75% 06/30/03 127 Bear Stearns High Yield 1 Month USD LIBOR- Total Return Index Bear Stearns 2,820 plus 0.575% 08/31/03 171 Bear Stearns High Yield 1 Month USD LIBOR- Total Return Index Bear Stearns 3,900 plus 0.10% 09/30/03 238 Bear Stearns High Yield 1 Month USD LIBOR- Total Return Index Bear Stearns 1,490 plus 1.85% 10/31/03 88 Lehman Brothers CMBS ERISA 1 Month USD LIBOR- Eligible Total Return Index Lehman Brothers 1,750 minus 0.35% 04/30/03 20 Lehman Brothers CMBS ERISA 1 Month USD LIBOR- Eligible Total Return Index Bear Stearns 1,440 minus 0.45% 06/30/03 17 Lehman Brothers CMBS ERISA 1 Month USD LIBOR- Eligible Total Return Index Lehman Brothers 2,910 minus 0.33% 07/31/03 34 Lehman Brothers High Yield 1 Month USD LIBOR- Total Return Index Lehman Brothers 900 plus 0.65% 06/30/03 61 Lehman Brothers High Yield 1 Month USD LIBOR- Total Return Index Lehman Brothers 1,080 plus 0.75% 08/31/03 73 Lehman Brothers High Yield 1 Month USD LIBOR- Total Return Index Lehman Brothers 1,760 plus 0.05% 11/30/03 119 Lehman Brothers High Yield 1 Month USD LIBOR- Total Return Index Lehman Brothers 1,690 plus 0.75% 12/31/03 114 ---------------- 1,124 ================
INTEREST RATE SWAPS ---------------------------------------------------------------------------------------------------------------------- NOTIONAL MARKET AMOUNT TERMINATION VALUE $ FUND RECEIVES FUND PAYS DATE $ -------------------------- ---------------------------- -------------------- ---------------- ---------------- USD 300 6.000% Six Month LIBOR 06/18/03 (65) GBP 2,000 4.000% Six Month LIBOR 03/17/05 6 ---------------- Total Market Value of Interest Rate Swaps premiums paid (received) - ($23) (59) ================
See accompanying notes which are an integral part of the financial statements. 96 Multistrategy Bond Fund TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL AMOUNT DATE MARKET ($) RATE OF VALUE OR SHARES % MATURITY $ -------------------------------------------------------------------------------------------------------------------------- MARKET MUNICIPAL BONDS - 97.8% Alabama - 1.6% Birmingham Jefferson Civic Center Authority Special Tax (m) 425 5.250 01/01/05 451 County of Jefferson Alabama General Obligation Unlimited (m) 500 5.000 04/01/10 556 Huntsville Health Care Authority Revenue Bonds 200 4.000 06/01/03 200 Huntsville Health Care Authority Revenue Bonds 200 5.250 06/01/05 211 Marshall County Health Care Authority Revenue Bonds 155 4.500 01/01/05 161 Marshall County Health Care Authority Revenue Bonds 160 4.500 01/01/06 168 Mobile County Board of School Commissioners General Obligation Unlimited, weekly demand (m) 375 5.000 03/01/12 412 Tuscaloosa Alabama General Obligation Unlimited 340 5.000 02/15/07 374 ------------ 2,533 ------------ Alaska - 0.4% Anchorage Alaska General Obligation Unlimited, weekly demand (m) 500 5.750 12/01/16 576 ------------ Arizona - 3.6% Arizona State Transportation Board Revenue Bonds (m) 500 5.750 07/01/04 527 Arizona State Transportation Board Revenue Bonds, weekly demand 500 5.250 07/01/12 562 Phoenix Civic Improvement Corp. Revenue Bonds (m) 250 5.500 07/01/07 283 Phoenix Civic Plaza Building Corp. Revenue Bonds, weekly demand 1,000 5.900 07/01/10 1,101 Salt River Project Agricultural Improvement & Power District Revenue Bonds 750 5.000 01/01/11 834 Salt River Project Agricultural Improvement & Power District Revenue Bonds 1,320 6.000 01/01/08 1,522 Salt River Project Agricultural Improvement & Power District Revenue Bonds 230 5.500 01/01/05 246 Salt River Project Agricultural Improvement & Power District Revenue Bonds 270 5.500 01/01/05 288 University of Arizona Revenue Bonds (m) 430 5.000 06/01/06 473 ------------ 5,836 ------------ Arkansas - 0.1% Fayetteville Ar Revenue Bonds 180 3.200 06/01/07 181 ------------ California - 6.8% Abag Finance Authority for Nonprofit Corp.s Certificate of Participation, weekly demand 600 5.700 08/15/14 639 California Housing Finance Agency Revenue Bonds, weekly demand (m) 1,000 5.850 08/01/16 1,064 California State Department of Water Resources Revenue Bonds 285 5.500 05/01/09 318 California State Department of Water Resources Revenue Bonds 250 5.500 05/01/10 278 California State Department of Water Resources Revenue Bonds (m) 500 5.250 05/01/11 562 California State General Obiligation Unlimited, semiannual demand 250 5.000 02/01/10 271 California State General Obiligation Unlimited, semiannual demand 500 5.000 02/01/13 538 California State General Obiligation Unlimited, semiannual demand 500 5.250 02/01/14 545 California State General Obligation Unlimited 1,000 6.600 02/01/10 1,176 California State General Obligation Unlimited 1,000 5.000 10/01/11 1,084 California State General Obligation Unlimited 550 5.000 02/01/12 593 California Statewide Communities Development Authority Revenue Bonds (E) 1,000 5.200 12/01/29 1,074 California Statewide Communities Development Authority Revenue Bonds, semi-annual demand (E) 900 4.350 11/01/36 937 Golden State Tobacco Securitization Corp. Revenue Bonds, weekly demand 1,000 5.000 06/01/21 962 San Diego County Regional Transportation Commission Revenue Bonds, weekly demand 355 7.000 04/01/06 355 Southern California Public Power Authority Revenue Bonds (m) 405 5.375 01/01/12 462 ------------ 10,858 ------------
Tax Exempt Bond Fund 97 TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL AMOUNT DATE MARKET ($) RATE OF VALUE OR SHARES % MATURITY $ -------------------------------------------------------------------------------------------------------------------------- Colorado - 1.5% Colorado Department of Transportation Revenue Bonds (m) 265 6.000 06/15/08 309 Colorado Health Facilities Authority Revenue Bonds, weekly demand 200 6.625 02/01/13 205 Colorado Housing & Finance Authority Revenue Bonds 13 4.500 11/01/05 13 Colorado Housing & Finance Authority Revenue Bonds (E) 150 6.300 08/01/16 164 Colorado Housing & Finance Authority Revenue Bonds, semi-annual demand 265 6.300 08/01/12 284 Colorado Housing & Finance Authority Revenue Bonds, weekly demand 205 7.250 04/01/10 218 Colorado Housing & Finance Authority Revenue Bonds, weekly demand 115 6.700 10/01/16 122 Denver Health & Hospital Authority Revenue Bonds 1,000 5.000 12/01/04 1,037 ------------ 2,352 ------------ Delaware - 0.9% Delaware State Economic Development Authority Economic Development Revenue Bonds, semi-annual demand (E)(m) 250 4.900 05/01/26 272 Delaware State Economic Development Authority Economic Development Revenue Bonds, weekly demand 1,000 6.500 01/01/08 1,122 ------------ 1,394 ------------ District of Columbia - 2.0% District of Columbia Certificate of Participation (m) 500 5.250 01/01/08 556 District of Columbia General Obligation Unlimited (m) 70 5.500 06/01/09 81 District of Columbia General Obligation Unlimited (m) 930 5.500 06/01/09 1,063 District of Columbia General Obligation Unlimited, weekly demand (pre-refunded 6/1/2006) (ae) 800 6.375 06/01/16 928 District of Columbia Revenue Bonds Zero Coupon (m) 400 0.000 07/01/05 380 District of Columbia TOB Settlement Financing Corporation Revenue Bonds 200 5.200 05/15/08 196 ------------ 3,204 ------------ Florida - 7.7% Escambia County Health Facilities Authority Revenue Bonds 1,000 5.000 11/15/06 1,100 First Governmental Financing Commission Revenue Bonds (m) 1,555 5.500 07/01/14 1,803 Florida State Board of Education General Obligation Unlimited 1,000 6.500 06/01/07 1,168 Florida State Division Of Bond Finance Revenue Bonds (m) 500 5.750 07/01/06 562 Florida State General Obligation Unlimited, weekly demand (pre-refunded 7/1/2005) (ae) 500 5.800 07/01/18 551 Florida Water Pollution Control Financing Corp. Revenue Bonds, weekly demand 500 5.500 01/15/12 569 Hillsborough County Educational Facilities Authority Revenue Revenue Bonds, semi-annual demand (m) 960 5.750 04/01/18 1,064 Hillsborough County Florida Revenue Bonds, semi-annual demand 140 6.200 12/01/08 156 JEA Revenue Bonds 1,500 5.000 10/01/09 1,681 Martin County Health Facilities Authority Revenue Bonds 200 5.250 11/15/08 212 North Miami Fl Revenue Bonds (m) 1,325 5.000 04/01/10 1,472 Orlando Utilities Commission Revenue Bonds 1,225 5.900 10/01/08 1,435 Tallahassee Fl Revenue Bonds (m) 500 5.000 10/01/11 559 ------------ 12,332 ------------ Georgia - 4.4% City of Atlanta Georgia Revenue Bonds (m) 1,000 5.500 11/01/14 1,171 Columbia County Ga Revenue Bonds (m) 750 6.000 06/01/20 905 Dalton Georgia Revenue Bonds (m) 500 5.750 01/01/09 577 Fulton County Development Authority Revenue Bonds 500 5.750 11/01/11 587
98 Tax Exempt Bond Fund TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL AMOUNT DATE MARKET ($) RATE OF VALUE OR SHARES % MATURITY $ -------------------------------------------------------------------------------------------------------------------------- Georgia Municipal Electric Authority Revenue Bonds (m) 850 6.250 01/01/17 1,053 Georgia State General Obligation Unlimited 600 6.500 12/01/09 731 Georgia State General Obligation Unlimited 1,000 5.750 08/01/08 1,162 Georgia State Road & Thruway Authority Revenue Bonds 590 5.250 03/01/11 668 Private Colleges & Universities Authority Revenue Bonds 55 6.000 06/01/04 57 Private Colleges & Universities Authority Revenue Bonds 70 6.000 06/01/05 75 ------------ 6,986 ------------ Hawaii - 1.0% Hawaii State General Obligation Unlimited (m) 1,000 5.750 01/01/10 1,154 Kauai County Hawaii General Obligation Unlimited, weekly demand (pre-refunded 8/1/2010) (m)(ae) 375 6.250 08/01/19 452 ------------ 1,606 ------------ Idaho - 0.2% Idaho Health Facilities Authority Revenue Bonds, daily demand (E)(m) 350 1.280 07/01/30 350 ------------ Illinois - 6.5% Chicago Illinois General Obligation Unlimited (m) 1,050 6.125 01/01/12 1,249 Chicago Illinois General Obligation Unlimited, weekly demand (m) 750 6.000 01/01/11 869 Chicago Illinois Tax Allocation Zero Coupon (m) 700 0.000 12/01/07 620 Cook County Community Consolidated School District No. 15-Palatine General Obligation Limited Zero Coupon (m) 1,000 0.000 12/01/11 706 Cook County Community Consolidated School District No. 15-Palatine General Obligation Limited Zero Coupon (m) 2,235 0.000 12/01/13 1,418 Illinois Development Finance Authority General Obligation Unlimited Zero Coupon (m) 400 0.000 01/01/10 317 Illinois Development Finance Authority Revenue Bonds, weekly demand (pre-refunded 7/1/2006) (ae) 420 7.375 07/01/21 502 Illinois Health Facilities Authority Revenue Bonds 1,000 5.250 09/01/04 1,039 Illinois Health Facilities Authority Revenue Bonds (m) 500 5.000 08/01/03 505 Illinois Health Facilities Authority Revenue Bonds (m) 240 5.500 08/01/07 270 Illinois Health Facilities Authority Revenue Bonds (m) 1,420 5.500 08/15/05 1,539 Illinois Health Facilities Authority Revenue Bonds 440 4.000 10/01/04 454 Lake County Community Unit School District No. 116-Round Lake General Obligation Unlimited (m) 400 7.600 02/01/14 536 Macon County & Decatur Illinois Certificate of Participation (m) 425 6.500 01/01/05 460 ------------ 10,484 ------------ Indiana - 6.3% Allen County Jail Building Corp. Revenue Bonds 300 5.750 10/01/09 348 City of Indianapolis Indiana Revenue Bonds (m) 450 5.000 10/01/06 497 Columbus Multi School Building Corp. Indiana Revenue Bonds (m) 450 5.000 01/10/10 500 Franklin Township School Building Corp./Marion County Indiana Revenue Bonds 500 5.750 07/15/06 563 Indiana Health Facility Financing Authority 560 5.375 12/01/08 638 Indiana Health Facility Financing Authority Revenue Bonds (m) 1,250 5.000 12/01/03 1,277 Indiana Health Facility Financing Authority Revenue Bonds 170 4.500 02/15/05 175 Indiana Health Facility Financing Authority Revenue Bonds 1,000 5.500 11/15/10 1,118 Indiana Health Facility Financing Authority Revenue Bonds (pre-refunded 11/1/2007) (E)(ae) 1,325 5.000 11/01/26 1,449
Tax Exempt Bond Fund 99 TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL AMOUNT DATE MARKET ($) RATE OF VALUE OR SHARES % MATURITY $ -------------------------------------------------------------------------------------------------------------------------- Indiana Health Facility Financing Authority Revenue Bonds, weekly demand (E) 2,200 1.310 03/01/30 2,201 Indiana Housing Finance Authority Revenue Bonds, weekly demand 725 6.600 07/01/05 742 Indiana University Revenue Bonds, weekly demand 500 5.750 08/01/10 567 ------------ 10,075 ------------ Iowa - 0.2% Iowa Finance Authority Revenue Bonds 290 6.000 07/01/10 329 ------------ Kansas - 2.4% Butler & Sedgwick Counties Unified School District No. 385 Andover General Obligation Unlimited (m) 500 5.000 09/01/09 562 Kansas Development Finance Authority Revenue Bonds 1,000 5.500 11/01/11 1,155 Kansas State Department of Transportation Revenue Bonds 300 7.250 03/01/04 315 Kansas State Department of Transportation Revenue Bonds 600 7.250 03/01/05 663 Kansas State Department of Transportation Revenue Bonds, weekly demand (E) 100 1.280 09/01/20 100 La Cygne Kansas Revenue Bonds (E) 1,000 3.900 03/01/15 1,026 ------------ 3,821 ------------ Louisiana - 0.8% Jefferson Parish Hospital Service District No. 2 Revenue Bonds, annual demand (m) 1,000 5.250 12/01/15 1,084 Louisiana Energy & Power Authority Revenue Bonds (m) 200 5.500 01/01/08 227 ------------ 1,311 ------------ Maryland - 0.1% Prince Georges County Maryland Revenue Bonds, annual demand (E) 180 3.150 01/15/14 180 ------------ Massachusetts - 3.6% Massachusetts Bay Transportation Authority Revenue Bonds 500 6.000 03/01/06 559 Massachusetts Bay Transportation Authority Revenue Bonds 1,000 5.250 07/01/10 1,132 Massachusetts Development Finance Agency Revenue Bonds 360 5.750 08/01/05 389 Massachusetts Development Finance Agency Revenue Bonds 205 5.125 12/01/11 218 Massachusetts Health & Educational Facilities Authority Revenue Bonds 145 5.000 07/01/09 156 Massachusetts Health & Educational Facilities Authority Revenue Bonds 190 5.000 07/01/07 201 Massachusetts Health & Educational Facilities Authority Revenue Bonds 315 4.500 10/01/05 327 Massachusetts State General Obligation Limited (m) 1,500 5.000 12/01/07 1,678 Massachusetts State General Obligation Unlimited, weekly demand (pre-refunded 2/1/2010) (ae) 430 6.000 02/01/11 510 Massachusetts State Port Authority Revenue Bonds 200 6.000 07/01/06 223 Massachusetts State Port Authority Revenue Bonds 125 5.250 07/01/07 138 Massachusetts State Port Authority Revenue Bonds 150 5.750 07/01/10 170 ------------ 5,701 ------------ Michigan - 2.8% Bishop International Airport Authority Revenue Bonds (m) 750 5.000 12/01/10 806 Kent Hospital Finance Authority Revenue Bonds 250 5.250 01/15/07 271 Manistee Area Public Schools General Obligation Unlimited (m) 235 6.000 05/01/08 273 Michigan Municipal Bond Authority Revenue Bonds, weekly demand (pre-refunded 10/1/2010) (ae) 500 5.750 10/01/11 592 Michigan State Hospital Finance Authority Revenue Bonds (m) 250 5.000 05/15/07 275
100 Tax Exempt Bond Fund TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL AMOUNT DATE MARKET ($) RATE OF VALUE OR SHARES % MATURITY $ -------------------------------------------------------------------------------------------------------------------------- Michigan State Hospital Finance Authority Revenue Bonds 1,000 5.500 10/01/04 1,060 Michigan State Hospital Finance Authority Revenue Bonds, weekly demand 190 5.500 03/01/13 206 Michigan State Trunk Line Revenue Bonds (m) 900 5.500 11/01/11 1,038 ------------ 4,521 ------------ Minnesota - 0.9% City of State Cloud Minnesota Revenue Bonds (m) 340 5.500 05/01/06 376 Minnesota Housing Finance Agency Revenue Bonds, weekly demand 505 6.700 01/01/18 520 Minnesota State General Obligation Unlimited 500 6.000 08/01/05 551 ------------ 1,447 ------------ Mississippi - 1.0% Mississippi State General Obligation Unlimited 300 5.375 07/01/17 344 Mississippi State General Obligation Unlimited 1,000 6.000 11/01/08 1,174 ------------ 1,518 ------------ Missouri - 0.4% Missouri Housing Development Commission Revenue Bonds 265 4.350 12/01/07 278 Southeast Missouri State University Revenue Bonds (m) 250 5.625 04/01/10 288 ------------ 566 ------------ Nevada - 1.5% Clark County Improvement District Special Assessment, weekly demand (E) 100 1.280 02/01/21 100 Clark County School District General Obligation Limited, weekly demand (m) 1,000 5.250 06/15/10 1,114 Henderson Nevada General Obligation Limited (m) 475 6.000 06/01/06 535 Truckee Meadows Water Authority Revenue Bonds (m) 500 5.500 07/01/11 572 ------------ 2,321 ------------ New Hampshire - 0.4% New Hampshire Health & Education Facilities Authority Revenue Bonds 275 6.500 07/01/10 293 New Hampshire Health & Education Facilities Authority Revenue Bonds 325 4.600 10/01/07 342 ------------ 635 ------------ New Jersey - 3.1% New Jersey State Educational Facilities Authority Revenue Bonds 1,000 5.750 09/01/10 1,163 New Jersey State Transit Corporation Certificate of Participation (m) 1,350 5.500 09/15/07 1,531 New Jersey State Turnpike Authority Revenue Bonds (m) 500 5.500 01/01/09 569 New Jersey Transportation Trust Fund Authority Revenue Bonds 1,000 6.000 06/15/06 1,128 New Jersey Transportation Trust Fund Authority Revenue Bonds 500 6.000 06/15/07 576 ------------ 4,967 ------------ New Mexico - 1.5% New Mexico State Highway Commission Revenue Bonds 1,000 5.750 06/15/09 1,164 New Mexico State Highway Commission Revenue Bonds 570 5.500 06/15/06 636 Rio Rancho New Mexico Revenue Bonds (m) 500 8.000 05/15/04 535 ------------ 2,335 ------------ New York - 9.4% City of New York New York General Obligation Unlimited 500 5.300 08/01/03 505 City of New York New York General Obligation Unlimited 500 5.300 08/01/03 505 City of New York New York General Obligation Unlimited 750 5.250 08/01/03 757
Tax Exempt Bond Fund 101 TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL AMOUNT DATE MARKET ($) RATE OF VALUE OR SHARES % MATURITY $ -------------------------------------------------------------------------------------------------------------------------- City of New York New York General Obligation Unlimited 1,000 5.500 08/15/08 1,103 City of New York New York General Obligation Unlimited 250 5.250 12/01/09 274 City of New York New York General Obligation Unlimited 1,000 5.500 08/01/09 1,105 City of New York New York General Obligation Unlimited 750 5.000 08/01/06 807 City of New York New York General Obligation Unlimited, weekly demand 130 5.000 08/01/10 139 City of New York New York General Obligation Unlimited, weekly demand 125 5.750 08/01/11 139 City of New York New York General Obligation Unlimited, weekly demand 235 5.250 11/01/12 253 Long Island Power Authority Revenue Bonds 250 5.000 06/01/09 269 Metropolitan Transportation Authority Revenue Bonds 500 5.300 07/01/05 542 Metropolitan Transportation Authority Revenue Bonds 650 5.000 07/01/03 654 New York City Municipal Water Finance Authority Revenue Bonds 1,500 5.250 06/15/12 1,698 New York State Dormitory Authority Revenue Bonds (m) 1,900 7.000 07/01/09 2,198 New York State Dormitory Authority Revenue Bonds 375 6.000 08/15/04 397 New York State Dormitory Authority Revenue Bonds 500 5.000 07/01/03 503 New York State Dormitory Authority Revenue Bonds (E)(m) 650 5.250 11/15/29 726 New York State Thruway Authority Revenue Bonds (m) 500 5.250 04/01/10 565 Niagara County Industrial Development Agency Revenue Bonds (E) 350 5.550 11/15/24 364 Suffolk County Judicial Facilities Agency Revenue Bonds (m) 500 5.500 04/15/09 571 TSASC Inc. Revenue Bonds 1,000 5.500 07/15/13 965 ------------ 15,039 ------------ North Carolina - 1.4% North Carolina Eastern Municipal Power Agency Revenue Bonds 250 5.500 01/01/10 271 North Carolina Municipal Power Agency No. 1 Catawba Revenue Bonds 200 5.500 01/01/13 221 North Carolina Municipal Power Agency No. 1 Catawba Revenue Bonds, semi-annual demand (m) 1,500 6.000 01/01/12 1,770 ------------ 2,262 ------------ Ohio - 3.0% Columbus Ohio General Obligation Limited 585 5.250 01/01/11 657 Erie County Ohio Revenue Bonds 275 4.000 08/15/04 282 Hamilton County Oh Revenue Bonds (m) 250 6.000 12/01/05 278 Jackson Local School District Stark & Summit Counties General Obligation Unlimited Zero Coupon (m) 500 0.000 12/01/07 445 Ohio State Building Authority Revenue Bonds 575 5.750 04/01/08 661 Ohio State Building Authority Revenue Bonds (m) 500 6.000 04/01/06 562 Ohio State General Obligation Unlimited 300 5.250 06/15/04 314 Ohio State General Obligation Unlimited 550 5.500 05/01/08 627 Richland County Ohio Revenue Bonds 300 5.400 11/15/03 306 Steubenville Ohio Revenue Bonds 280 5.700 10/01/10 310 University of Cincinnati Revenue Bonds (m) 300 5.500 06/01/08 342 ------------ 4,784 ------------ Oklahoma - 0.2% Oklahoma Housing Finance Agency Revenue Bonds, weekly demand 345 7.600 09/01/15 390 ------------ Oregon - 0.3% Clackamas County School Distrist No. 62C Oregon City General Obligation Unlimited, weekly demand 435 6.000 06/15/11 506 ------------
102 Tax Exempt Bond Fund TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL AMOUNT DATE MARKET ($) RATE OF VALUE OR SHARES % MATURITY $ -------------------------------------------------------------------------------------------------------------------------- Pennsylvania - 2.4% Allegheny County Port Authority Revenue Bonds, weekly demand (m) 250 5.500 03/01/17 279 Norwin School District General Obligation Unlimited, weekly demand (pre-refunded 4/1/2010) (m)(ae) 250 6.000 04/01/20 296 Owen J Roberts School District General Obligation Unlimited (m) 500 5.000 08/15/12 556 Philadelphia Pennsylvania Revenue Bonds (m) 750 5.250 08/01/13 847 Philadelphia Pennsylvania Revenue Bonds (m) 500 5.500 07/01/07 566 Philadelphia Pennsylvania Revenue Bonds (m) 500 6.750 08/01/05 558 Sayre Health Care Facilities Authority Revenue Bonds, weekly demand 750 5.300 12/01/12 802 ------------ 3,904 ------------ Puerto Rico - 0.1% Puerto Rico Commonwealth General Obligation Unlimited (E) 200 6.000 07/01/13 226 ------------ Rhode Island - 0.1% Rhode Island Health & Educational Building Corp. Revenue Bonds 150 5.750 08/15/10 160 ------------ South Carolina - 1.6% Richland-Lexington Airport District Revenue Bonds (m) 250 5.000 01/01/06 270 Richland-Lexington Airport District Revenue Bonds (m) 500 5.000 01/01/09 551 Richland-Lexington Airport District Revenue Bonds (m) 440 5.000 01/01/10 482 Rock Hill South Carolina Revenue Bonds (m) 250 5.000 01/01/10 277 South Carolina State Public Service Authority Revenue Bonds, weekly demand (m) 375 5.500 01/01/11 425 Spartanburg County South Carolina Revenue Bonds (m) 500 6.000 04/15/07 571 ------------ 2,576 ------------ South Dakota - 1.1% Sioux Falls South Dakota Revenue Bonds (m) 250 5.500 11/15/10 288 South Dakota State Building Authority Revenue Bonds (m) 1,330 5.000 09/01/12 1,477 ------------ 1,765 ------------ Tennessee - 1.9% Memphis-Shelby County Airport Authority Revenue Bonds 200 5.050 09/01/12 213 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Bonds 920 5.000 11/01/06 1,020 Metropolitan Government Nashville & Davidson County Tennessee Revenue Bonds (m) 180 5.250 01/01/13 203 Shelby County Tennessee General Obligation Unlimited 1,000 6.750 04/01/05 1,101 Williamson County Tennessee General Obligation Unlimited 500 6.000 03/01/06 560 ------------ 3,097 ------------ Texas - 7.5% Alvin Independent School District General Obligation Unlimited 515 6.750 08/15/09 626 Alvin Independent School District General Obligation Unlimited 545 6.750 08/15/10 666 Bell County Health Facility Development Corp. Revenue Bonds 1,010 5.000 11/15/03 1,028 Brazos River Harbor Navigation District Revenue Bonds (E) 220 4.750 05/15/33 225 City of Houston Texas Revenue Bonds (m) 500 6.000 07/01/04 528 El Paso Independent School District General Obligation Unlimited 1,000 5.375 08/15/09 1,141 Fort Bend County Industrial Development Corp. Revenue Bonds, annual demand 250 3.000 10/01/11 257 Harris County Texas General Obligation Limited 1,435 5.250 08/15/09 1,628
Tax Exempt Bond Fund 103 TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL AMOUNT DATE MARKET ($) RATE OF VALUE OR SHARES % MATURITY $ -------------------------------------------------------------------------------------------------------------------------- North Central Texas Health Facility Development Corp. Revenue Bonds (m) 1,050 5.500 04/01/05 1,127 Port Corpus Christi Authority Revenue Bonds, weekly demand 385 5.350 11/01/10 395 Round Rock Independent School District General Obligation Unlimited 1,000 6.500 08/01/10 1,207 Round Rock Independent School District General Obligation Unlimited 430 5.375 08/01/12 489 Round Rock Independent School District General Obligation Unlimited, weekly demand 750 6.500 08/01/11 892 Texas A & M University Revenue Bonds 1,000 5.000 07/01/08 1,120 University of Texas Permanent University Fund Revenue Bonds 420 5.000 07/01/09 471 Waco Health Facilities Development Corp. Revenue Bonds 250 5.200 11/15/06 275 ------------ 12,075 ------------ Utah - 1.0% Salt Lake City Utah General Obligation Unlimited 1,250 5.500 06/15/07 1,415 Utah County Utah Revenue Bonds 200 5.050 11/01/17 201 ------------ 1,616 ------------ Virginia - 1.1% Fairfax County Virginia Certificate of Participation, weekly demand 200 5.750 04/15/13 225 Prince William County Service Authority Revenue Bonds (m) 555 5.500 07/01/05 603 Virginia Commonwealth Transportation Board Revenue Bonds, weekly demand 360 5.375 05/15/12 408 Virginia Public Building Authority Revenue Bonds 500 5.750 08/01/07 573 ------------ 1,809 ------------ Washington - 3.6% CDP-King County III Washington Revenue Bonds (m) 500 4.600 06/01/03 501 Clallam County Public Utility District No. 1 Revenue Bonds (m) 385 5.000 01/01/08 425 King County School District No. 411 Issaquah General Obligation Unlimited (m) 1,000 5.500 12/01/05 1,099 Kitsap County Washington General Obligation Limited, weekly demand (m) 775 5.750 07/01/14 890 State of Washington General Obligation Unlimited 500 6.500 07/01/04 531 Washington Public Power Supply System Revenue Bonds 375 7.000 07/01/08 455 Washington Public Power Supply System Revenue Bonds 625 7.000 07/01/08 748 Washington Public Power Supply System Revenue Bonds 1,000 5.000 07/01/04 1,042 ------------ 5,691 ------------ West Virginia - 0.1% West Virginia State Hospial Finance Authority Revenue Bonds 120 6.500 09/01/05 134 West Virginia State Hospial Finance Authority Revenue Bonds 30 6.500 09/01/05 33 ------------ 167 ------------ Wisconsin - 1.3% Madison Wisconsin Revenue Bonds 280 4.875 10/01/27 299 Oconto Falls Public School District General Obligation Unlimited, weekly demand (pre-refunded 3/1/2011) (m)(ae) 750 5.750 03/01/13 876 Wisconsin Housing & Economic Development Authority Revenue Bonds, weekly demand 145 6.850 11/01/12 147
104 Tax Exempt Bond Fund TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL AMOUNT DATE MARKET ($) RATE OF VALUE OR SHARES % MATURITY $ -------------------------------------------------------------------------------------------------------------------------- Wisconsin State General Obligation Unlimited 625 5.125 11/01/11 701 Wisconsin State Health & Educational Facilities Authority Revenue Bonds 71 5.000 07/01/06 76 ------------ 2,099 ------------ TOTAL MUNICIPAL BONDS (cost $148,073) 156,585 ------------ SHORT-TERM INVESTMENTS - 1.8% Frank Russell Investment Company Tax Free Money Market Fund 2,944 2,944 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $2,944) 2,944 ------------ TOTAL INVESTMENTS - 99.6% (identified cost $151,017) 159,529 OTHER ASSETS AND LIABILITIES, NET - 0.4% 625 ------------ NET ASSETS - 100.0% 160,154 ============
See accompanying notes which are an integral part of the financial statements. Tax Exempt Bond Fund 105 TAX EXEMPT BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- QUALITY RATINGS AS A % OF VALUE (Unaudited) AAA 50% AA 23 A 20 BBB 6 Other 1 --- 100% === ECONOMIC SECTOR EMPHASIS AS A % OF VALUE (Unaudited) General Obligation 31% Healthcare Revenue 17 Utilities 17 Other 13 State and Community Lease 7 Universities 5 Housing Revenue 4 Pollution Control Revenue 2 Cash Equivalents 2 Refunded and Special Obligations 2 --- 100% ===
See accompanying notes which are an integral part of the financial statements. 106 Tax Exempt Bond Fund TAX-MANAGED LARGE CAP FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 96.6% Auto and Transportation - 2.3% Burlington Northern Santa Fe Corp. 15 414 CSX Corp. 9 275 Delphi Corp. 8 71 FedEx Corp. 10 575 Ford Motor Co. 29 297 Harley-Davidson, Inc. 12 551 Lear Corp. (AE) 49 1,947 Norfolk Southern Corp. 16 335 Union Pacific Corp. 10 589 United Parcel Service, Inc. Class B 42 2,603 ------------ 7,657 ------------ Consumer Discretionary - 13.4% Abercrombie & Fitch Co. Class A (AE) 48 1,575 AOL Time Warner, Inc. (AE) 152 2,074 Bed Bath & Beyond, Inc. (AE) 10 375 Black & Decker Corp. 4 157 eBay, Inc. (AE) 27 2,542 Electronic Arts, Inc. (AE) 5 320 Fox Entertainment Group, Inc. Class A (AE) 4 89 Gannett Co., Inc. 4 318 Gap, Inc. (The) 6 106 Gillette Co. (The) 40 1,224 Home Depot, Inc. 126 3,544 Jones Apparel Group, Inc. (AE) 108 3,074 Kohl's Corp. (AE) 41 2,306 Lowe's Cos., Inc. 52 2,282 Mattel, Inc. 53 1,161 Nike, Inc. Class B 36 1,916 Scripps Co. (E.W.) Class A 6 476 Target Corp. 72 2,394 Tribune Co. 44 2,150 Viacom, Inc. Class B (AE) 112 4,840 Wal-Mart Stores, Inc. 140 7,885 Walt Disney Co. 74 1,385 Waste Management, Inc. 49 1,066 Wendy's International, Inc. 9 253 Yum! Brands, Inc. (AE) 26 632 ------------ 44,144 ------------ Consumer Staples - 7.8% Altria Group, Inc. 118 3,642 Coca-Cola Co. (The) 198 7,995 CVS Corp. 79 1,903 Kraft Foods, Inc. Class A 54 1,659 PepsiCo, Inc. 33 1,420
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Procter & Gamble Co. 91 8,203 Systemco Corp. 25 707 ------------ 25,529 ------------ Financial Services - 20.7% Aflac, Inc. 15 487 Allstate Corp. (The) 10 389 AMBAC Financial Group, Inc. 88 5,120 American International Group 14 817 AON Corp. 8 166 Bank of America Corp. 13 933 Bank One Corp. 36 1,287 Capital One Financial Corp. 90 3,756 CarrAmerica Realty Corp. (o) 14 355 Charles Schwab Corp. (The) 12 107 Cigna Corp. 57 2,965 CIT Group, Inc. 82 1,666 Citigroup, Inc. 273 10,727 City National Corp. 4 161 Compass Bancshares, Inc. 19 651 Countrywide Financial Corp. 66 4,441 E*TRADE Group, Inc. (AE) 212 1,167 Fannie Mae 32 2,324 First Data Corp. 55 2,158 Freddie Mac 37 2,137 Goldman Sachs Group, Inc. 21 1,586 Greenpoint Financial Corp. 67 3,186 Hartford Financial Services Group, Inc. 2 73 Hibernia Corp. Class A 18 333 MBIA, Inc. 39 1,752 Merrill Lynch & Co., Inc. 10 411 Metlife, Inc. 54 1,543 Morgan Stanley 108 4,829 National Commerce Financial Corp. 13 271 North Fork BanCorp., Inc. 11 343 PNC Financial Services Group, Inc. 18 773 Prologis (o) 11 283 Rouse Co. (The) (o) 12 414 SouthTrust Corp. 35 940 SunTrust Banks, Inc. 10 578 Torchmark Corp. 20 787 Travelers Property Casualty Corp. Class A 68 1,097 Travelers Property Casualty Corp. Class B 29 478 US Bancorp 214 4,748 Wachovia Corp. 51 1,941 ------------ 68,180 ------------
Tax-Managed Large Cap Fund 107 TAX-MANAGED LARGE CAP FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Health Care - 14.3% Abbott Laboratories 31 1,251 Aetna, Inc. 31 1,539 AmerisourceBergen Corp. 1 69 Amgen, Inc. (AE) 60 3,703 Anthem, Inc. (AE) 16 1,064 Biomet, Inc. 10 308 Bristol-Myers Squibb Co. 142 3,634 Eli Lilly & Co. 45 2,878 Forest Laboratories, Inc. (AE) 38 1,981 Guidant Corp. 24 936 HCA, Inc. 54 1,740 Johnson & Johnson 88 4,943 Medimmune, Inc. (AE) 21 748 Medtronic, Inc. 54 2,578 Merck & Co., Inc. 76 4,404 Pfizer, Inc. 278 8,535 Schering-Plough Corp. 10 183 St Jude Medical, Inc. (AE) 6 304 Stryker Corp. 8 523 Tenet Healthcare Corp. (AE) 53 781 UnitedHealth Group, Inc. 17 1,548 Wyeth 81 3,543 ------------ 47,193 ------------ Integrated Oils - 4.1% ChevronTexaco Corp. 75 4,679 ConocoPhillips 72 3,634 Exxon Mobil Corp. 148 5,221 ------------ 13,534 ------------ Materials and Processing - 2.9% Air Products & Chemicals, Inc. 17 728 Alcoa, Inc. 158 3,629 Bowater, Inc. 21 798 Eastman Chemical Co. 18 562 Masco Corp. 49 1,035 Monsanto Co. 54 940 Temple-Inland, Inc. 16 738 United States Steel Corp. 85 1,219 ------------ 9,649 ------------ Miscellaneous - 6.1% 3M Co. 7 882 Fortune Brands, Inc. 6 271 General Electric Co. 423 12,442 Georgia-Pacific Corp. 20 315 Honeywell International, Inc. 35 824 Johnson Controls, Inc. 20 1,628
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SPX Corp. (AE) 2 78 Tyco International, Ltd. 233 3,637 ------------ 20,077 ------------ Other Energy - 1.6% Anadarko Petroleum Corp. 47 2,096 Cooper Cameron Corp. (AE) 24 1,144 Dynegy, Inc. Class A 33 145 EL Paso Corp. 29 220 Rowan Cos., Inc. 30 617 Transocean, Inc. 53 1,015 Valero Energy Corp. 5 165 ------------ 5,402 ------------ Producer Durables - 2.7% Applied Materials, Inc. (AE) 58 845 Boeing Co. (The) 32 868 Ingersoll-Rand Co. Class A 33 1,441 Lexmark International, Inc. (AE) 6 455 Lockheed Martin Corp. 1 40 Northrop Grumman Corp. 8 660 Pitney Bowes, Inc. 5 169 Teradyne, Inc. (AE) 13 155 United Technologies Corp. 66 4,073 ------------ 8,706 ------------ Technology - 13.6% Altera Corp. (AE) 161 2,541 Analog Devices, Inc. (AE) 16 537 Cisco Systems, Inc. (AE) 363 5,457 Computer Sciences Corp. (AE) 33 1,074 Dell Computer Corp. (AE) 97 2,813 EMC Corp. (AE) 23 209 Hewlett-Packard Co. 163 2,652 Intel Corp. 246 4,526 International Business Machines Corp. 67 5,714 Juniper Networks, Inc. (AE) 32 323 Microsoft Corp. 527 13,464 Motorola, Inc. 71 562 NCR Corp. (AE) 37 809 Oracle Corp. (AE) 75 889 QLogic Corp. (AE) 11 497 Qualcomm, Inc. 60 1,920 Raytheon Co. 9 281 Xilinx, Inc. (AE) 18 476 ------------ 44,744 ------------ Utilities - 7.1% AT&T Corp. 33 557 AT&T Wireless Services, Inc. (AE) 181 1,167
108 Tax-Managed Large Cap Fund TAX-MANAGED LARGE CAP FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- BellSouth Corp. 65 1,662 Comcast Corp. Class A (AE) 70 2,092 Comcast Corp. Class A (AE) 32 1,029 Consolidated Edison, Inc. 1 51 Constellation Energy Group, Inc. 3 88 DTE Energy Co. 43 1,726 Edison International (AE) 41 603 FirstEnergy Corp. 12 408 Pepco Holdings, Inc. 22 385 PG&E Corp. (AE) 168 2,517 Pinnacle West Capital Corp. 63 2,076 PPL Corp. 2 72 Qwest Communications International 56 210 SBC Communications, Inc. 114 2,665 Sprint Corp.-PCS Group (AE) 34 120 Verizon Communications, Inc. 142 5,320 Xcel Energy, Inc. 37 499 ------------ 23,247 ------------ TOTAL COMMON STOCKS (cost $291,906) 318,062 ------------ SHORT-TERM INVESTMENTS - 3.4% Frank Russell Investment Company Money Market Fund 10,077 10,077 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 1,000 998 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $11,075) 11,075 ------------ TOTAL INVESTMENTS - 100.0% (identified cost $302,981) 329,137 OTHER ASSETS AND LIABILITIES NET - 0.0% (146) ------------ NET ASSETS - 100.0% 328,991 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions S&P E-Mini Index expiration date 06/03 (11) 504 4 S&P 500 Index expiration date 06/03 (45) 10,306 486 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 490 ============
See accompanying notes which are an integral part of the financial statements. Tax-Managed Large Cap Fund 109 TAX-MANAGED MID & SMALL CAP FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 93.0% Auto and Transportation - 3.4% Aftermarket Technology Corp. (AE) 13 136 Arkansas Best Corp. 3 74 ArvinMeritor, Inc. 8 131 Autoliv, Inc. 10 236 Aviall, Inc. (AE) 5 41 CNF, Inc. 6 191 Expeditors International Washington, Inc. 10 364 ExpressJet Holdings, Inc. (AE) 6 74 JB Hunt Transport Services, Inc. (AE) 3 97 Keystone Automotive Industries, Inc. (AE) 4 66 Kirby Corp. (AE) 7 178 Landstar System, Inc. (AE) 3 211 Lear Corp. (AE) 7 282 Offshore Logistics, Inc. (AE) 3 53 Old Dominion Freight Line (AE) 5 166 Oshkosh Truck Corp. 1 67 Pacer International, Inc. (AE) 12 192 RailAmerica, Inc. (AE) 9 66 Roadway Corp. 3 126 Usfreightways Corp. 4 103 Winnebago Industries 3 104 Yellow Corp. (AE) 4 101 ------------ 3,059 ------------ Consumer Discretionary - 21.1% Aaron Rents, Inc. 3 72 Abercrombie & Fitch Co. Class A (AE) 8 270 Advo, Inc. (AE) 5 189 Ameristar Casinos, Inc. (AE) 7 89 AnnTaylor Stores Corp. (AE) 5 109 Applebees International, Inc. 11 299 Autonation, Inc. (AE) 38 525 Aztar Corp. (AE) 4 63 Barnes & Noble, Inc. (AE) 5 91 Big 5 Sporting Goods Corp. (AE) 18 219 Borders Group, Inc. (AE) 10 152 Boyd Gaming Corp. (AE) 7 95 Brinker International, Inc. (AE) 13 403 Brown Shoe Co., Inc. 5 149 Career Education Corp. (AE) 6 337 Casella Waste Systems, Inc. Class A (AE) 24 204 Catalina Marketing Corp. (AE) 5 82 CBRL Group, Inc. 7 210 Central European Distribution Corp. (AE) 4 117 Claire's Stores, Inc. 3 88
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Columbia Sportswear Co. (AE) 2 101 Consolidated Graphics, Inc. (AE) 3 59 Copart, Inc. (AE) 9 74 Courier Corp. 2 88 Dollar Thrifty Automotive Group (AE) 5 82 Dress Barn, Inc. (AE) 7 108 Education Management Corp. (AE) 4 186 Electronics Boutique Holdings Corp. (AE) 4 69 Emerson Radio (AE) 24 154 Ethan Allen Interiors, Inc. 9 296 Exponent, Inc. (AE) 6 82 Extended Stay America, Inc. (AE) 8 95 Fastenal Co. 6 214 Finish Line Class A (AE) 6 93 Fisher Scientific International (AE) 9 245 FTI Consulting, Inc. (AE) 7 312 Furniture Brands International, Inc. (AE) 9 223 Guitar Center, Inc. (AE) 5 118 Hancock Fabrics, Inc. 5 81 Haverty Furniture Cos., Inc. 13 176 Hearst-Argyle Television, Inc. Class C (AE) 2 51 Hughes Electronics Corp. Class H (AE) 55 650 Insight Communications (AE) 5 67 Isle of Capri Casinos, Inc. (AE) 14 178 Jarden Corp. (AE) 4 127 Kroll, Inc. (AE) 7 145 Landry's Restaurants, Inc. 8 150 Leapfrog Enterprises, Inc. (AE) 4 117 Liberty Media Corp. Class A (AE) 177 1,951 Linens 'N Things, Inc. (AE) 8 174 Mandalay Resort Group (AE) 9 227 Matthews International Corp. Class A 7 165 MGM Mirage (AE) 7 193 MPS Group, Inc. (AE) 13 84 MSC Industrial Direct Co. Class A (AE) 6 118 Multimedia Games, Inc. (AE) 4 96 Neiman-Marcus Group, Inc. Class A (AE) 4 141 Nu Skin Enterprises, Inc. 28 250 Outback Steakhouse, Inc. 6 204 Park Place Entertainment Corp. (AE) 31 233 Penn National Gaming, Inc. (AE) 15 293 PEP Boys-Manny Moe & Jack 10 87 Petco Animal Supplies, Inc. (AE) 6 131 Petsmart, Inc. (AE) 18 269 Pier 1 Imports, Inc. 11 197 Polo Ralph Lauren Corp. (AE) 6 136 Rare Hospitality International, Inc. (AE) 5 157
110 Tax-Managed Mid & Small Cap Fund TAX-MANAGED MID & SMALL CAP FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Red Robin Gourmet Burgers, Inc. (AE) 10 145 Regis Corp. 12 351 Rent-A-Center, Inc. Class C (AE) 7 469 Republic Services, Inc. (AE) 18 386 Ross Stores, Inc. 11 409 Russell Corp. 4 78 Saga Communications, Inc. Class A (AE) 4 89 Scholastic Corp. (AE) 2 60 Scientific Games Corp. Class A (AE) 20 128 SCP Pool Corp. (AE) 5 158 ServiceMaster Co. (The) 28 253 ShopKo Stores, Inc. (AE) 9 102 Sinclair Broadcast Group, Inc. Class A (AE) 10 101 Sports Authority, Inc. (AE) 7 59 Station Casinos, Inc. (AE) 26 558 Steven Madden, Ltd. (AE) 4 67 Sylvan Learning Systems, Inc. (AE) 7 130 Talbots, Inc. 2 69 Tech Data Corp. (AE) 5 110 Tetra Tech, Inc. (AE) 6 95 Toro Co. 2 82 Tractor Supply Co. (AE) 3 110 Tuesday Morning Corp. (AE) 3 58 United Auto Group, Inc. (AE) 5 84 United Natural Foods, Inc. (AE) 5 149 United Online, Inc. (AE) 8 172 United Stationers, Inc. (AE) 3 92 USA Interactive (AE) 13 397 Valassis Communications, Inc. (AE) 5 128 Viad Corp. 8 155 Wallace Computer Services, Inc. 4 115 Waste Connections, Inc. (AE) 7 219 Weight Watchers International, Inc. (AE) 5 254 Wolverine World Wide, Inc. 6 116 Zale Corp. (AE) 3 105 ------------ 19,263 ------------ Consumer Staples - 3.7% Casey's General Stores, Inc. 5 66 Church & Dwight, Inc. 5 170 Constellation Brands, Inc. Class A (AE) 12 327 Dial Corp. (The) 15 315 Duane Reade, Inc. (AE) 2 30 Hormel Foods Corp. 10 239 International Multifoods Corp. (AE) 5 100 Kraft Foods, Inc. Class A 17 531 Loews Corp. - Carolina Group 5 96 McCormick & Co., Inc. 14 342 NBTY, Inc. (AE) 12 178
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- PepsiAmericas, Inc. 23 282 Performance Food Group Co. (AE) 8 284 Ralcorp Holdings, Inc. (AE) 4 100 Ruddick Corp. 5 67 Tyson Foods, Inc. Class A 24 235 ------------ 3,362 ------------ Financial Services - 22.4% Acadia Realty Trust (o) 3 31 Affiliated Computer Services, Inc. Class A (AE) 15 701 AG Edwards, Inc. 8 251 Alleghany Corp. (AE) 0 35 Alliance Data Systems Corp. (AE) 5 103 AMB Property Corp. (o) 8 205 American Financial Group, Inc. 6 138 American Home Mortgage Holdings, Inc. 6 74 Anthracite Capital, Inc. (o) 7 87 Anworth Mortgage Asset Corp. 6 89 Arthur J Gallagher & Co. 9 220 Astoria Financial Corp. 10 245 AvalonBay Communities, Inc. (o) 7 267 Bank of Hawaii Corp. 9 283 Bank of the Ozarks, Inc. 5 184 Banknorth Group, Inc. 12 277 Bedford Property Investors (o) 4 101 Brown & Brown, Inc. 5 179 Capital Crossing Bank (AE) 2 66 Cash America International, Inc. 6 60 CBL & Associates Properties, Inc. (o) 3 123 CCC Information Services Group (AE) 3 55 Center Bancorp, Inc. 8 226 Certegy, Inc. (AE) 6 140 CNA Financial Corp. (AE) 3 65 Commerce Bancorp, Inc. 6 228 Commerce Bancshares, Inc. 9 342 Commercial Federal Corp. 8 172 Community First Bankshares, Inc. 5 129 Compass Bancshares, Inc. 16 550 Cullen/Frost Bankers, Inc. 5 154 D&B Corp. (AE) 8 314 Delphi Financial Group Class A 3 115 Doral Financial Corp. 6 252 East-West Bancorp, Inc. 7 230 Eaton Vance Corp. 5 155 Erie Industriesemnity Co. Class A 8 306 Fair Isaac Corp. 4 229 Federal Agricultural Mortgage Corp. Class C (AE) 4 95 Fidelity National Financial, Inc. 8 266
Tax-Managed Mid & Small Cap Fund 111 TAX-MANAGED MID & SMALL CAP FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- First Bancorp Puerto Rico 10 301 First Industrial Realty Trust, Inc. (o) 5 140 FirstFed Financial Corp. (AE) 2 52 Flagstar Bancorp, Inc. 6 189 FloridaFirst Bancorp, Inc. 3 66 Friedman Billings Ramsey Group, Inc. Class A (o) 17 188 Fulton Financial Corp. 10 196 Great Southern Bancorp, Inc. 2 65 Greenpoint Financial Corp. 11 506 Harleysville Group, Inc. 4 97 HCC Insurance Holdings, Inc. 5 132 Hibernia Corp. Class A 21 379 Horace Mann Educators Corp. 6 83 Horizon Financial Corp. 5 72 HRPT Properties Trust (o) 18 163 IMPAC Mortgage Holdings, Inc. (o) 6 77 IndyMac Bancorp, Inc. 8 167 Investment Technology Group, Inc. (AE) 5 77 Investors Financial Services Corp. 5 113 Irwin Financial Corp. 4 90 Itla Capital Corp. (AE) 7 232 Leucadia National Corp. 4 152 Lexington Corp.orate Properties Trust (o) 4 67 Liberty Property Trust (o) 7 219 M&T Bank Corp. 8 634 MB Financial Corp. 3 113 Mercury General Corp. 3 136 MFA Mortgage Investments, Inc. (o) 10 94 Mony Group, Inc. 6 135 Nationwide Health Properties, Inc. (o) 5 64 Navigators Group, Inc. (AE) 4 99 New York Community Bancorp, Inc. 6 222 Newcastle Investment Corp. (o) 10 166 Odyssey Re Holdings Corp. 3 53 Ohio Casualty Corp. (AE) 7 85 Old Republic International Corp. 13 386 Penn-America Group, Inc. Class C 13 130 Phoenix Cos., Inc. (The) 13 106 PMI Group, Inc. (The) 8 259 Popular, Inc. 15 530 Port Financial Corp. 2 107 Portfolio Recovery Associates, Inc. (AE) 6 153 Prosperity Bancshares, Inc. 2 32 Protective Life Corp. 7 198 Provident Bankshares Corp. 3 83 Provident Financial Holdings 2 67 PS Business Parks, Inc. (o) 3 87 Public Storage, Inc. (o) 10 318 Radian Group, Inc. 12 464 RAIT Investment Trust (o) 4 95
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Redwood Trust, Inc. (o) 3 96 Reinsurance Group Of America 2 52 Roslyn Bancorp, Inc. 8 158 Safety Insurance Group, Inc. 5 67 Selective Insurance Group 3 68 Silicon Valley Bancshares (AE) 4 87 Sky Financial Group, Inc. 10 202 Sovereign Bancorp, Inc. 30 464 Sterling Financial Corp. (AE) 3 76 Texas Regional Bancshares, Inc. Class A 2 84 Thornburg Mortgage, Inc. (o) 7 155 Total System Services, Inc. 4 74 Transatlantic Holdings, Inc. 2 102 Trustmark Corp. 7 165 UCBH Holdings, Inc. 7 178 UICI (AE) 5 63 Umpqua Holdings Corp. 8 149 UnionBanCal Corp. 7 291 Universal American Financial Corp. (AE) 9 51 Urstadt Biddle Properties, Inc. (o) 8 100 USI Holdings Corp. (AE) 17 182 Vornado Realty Trust (o) 7 262 W Holding Co., Inc. 18 347 Washington Mutual, Inc. 2005 Warrants (AE) 9 1 Webster Financial Corp. 5 169 Westamerica BanCorp. 2 86 Wintrust Financial Corp. 2 68 WR Berkley Corp. 5 214 ------------ 20,392 ------------ Health Care - 13.4% aaiPharma, Inc. (AE) 6 71 AdvancePCS (AE) 13 385 Alpharma, Inc. Class A 9 159 American Medical Security Group, Inc. (AE) 4 65 American Pharmaceutical Partners, Inc. (AE) 6 131 AMERIGROUP Corp. (AE) 4 108 Amsurg Corp. (AE) 3 88 Apria Healthcare Group, Inc. (AE) 7 157 Barr Laboratories, Inc. (AE) 7 375 Bioreliance Corp. (AE) 3 52 Caremark Rx, Inc. (AE) 30 597 Cell GeneSystem, Inc. (AE) 4 38 Centene Corp. (AE) 2 70 Cephalon, Inc. (AE) 3 123
112 Tax-Managed Mid & Small Cap Fund TAX-MANAGED MID & SMALL CAP FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Charles River Laboratories International, Inc. (AE) 12 320 Chattem, Inc. (AE) 17 235 Conmed Corp. (AE) 5 87 Cyberonics (AE) 8 171 Cytyc Corp. (AE) 23 297 DaVita, Inc. (AE) 10 204 Dentsply International, Inc. 12 442 Endo Pharmaceuticals Holdings, Inc. (AE) 9 140 Enzon Pharmaceuticals, Inc. (AE) 11 148 Express Scripts, Inc. (AE) 8 483 First Health Group Corp. (AE) 12 306 Gen-Probe, Inc. (AE) 9 264 Genentech, Inc. (AE) 21 785 Genesis Health Ventures, Inc. (AE) 9 139 Gentiva Health Services, Inc. 6 56 Health Net, Inc. (AE) 5 117 Idexx Laboratories, Inc. (AE) 5 199 IMPAC Medical Systems, Inc. (AE) 4 73 Inveresk Research Group, Inc. (AE) 10 138 IVAX Corp. (AE) 16 263 KV Pharmaceutical Co. Class A (AE) 7 160 LabOne, Inc. (AE) 2 34 Lincare Holdings, Inc. (AE) 20 604 Medicis Pharmaceutical Class A (AE) 3 156 Mid Atlantic Medical Services (AE) 5 235 MIM Corp. (AE) 4 31 Mylan Laboratories 7 208 Nabi Biopharmaceuticals (AE) 12 75 Option Care, Inc. (AE) 7 63 OSI Pharmaceuticals, Inc. (AE) 4 84 Owens & Minor, Inc. 4 80 Oxford Health Plans (AE) 9 261 Patterson Dental Co. (AE) 5 213 Pharmaceutical Product Development, Inc. (AE) 9 243 Pharmaceutical Resources, Inc. (AE) 5 220 Priority Healthcare Corp. Class B (AE) 9 201 PSS World Medical, Inc. (AE) 11 67 Quality Systems, Inc. (AE) 7 207 Renal Care Group, Inc. (AE) 8 243 Resmed, Inc. (AE) 7 260 Respironics, Inc. (AE) 8 311 Select Medical Corp. (AE) 8 129 Stericycle, Inc. (AE) 6 228 Sunrise Assisted Living, Inc. (AE) 2 62 US Oncology, Inc. (AE) 12 88 Varian Medical Systems, Inc. (AE) 7 366 Varian, Inc. (AE) 5 145 ------------ 12,260 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Materials and Processing - 5.4% Airgas, Inc. (AE) 17 342 Arch Chemicals, Inc. 6 132 Armor Holdings, Inc. (AE) 9 106 Catellus Development Corp. (AE) 15 316 Clarcor, Inc. 6 206 Cytec Industries, Inc. (AE) 6 176 EMCOR Group, Inc. (AE) 2 102 FMC Technologies, Inc. (AE) 3 64 Georgia Gulf Corp. 10 221 Granite Construction, Inc. 4 74 Greif, Inc. Class A 4 76 Griffon Corp. (AE) 6 83 HB Fuller Co. 3 69 Lennox International, Inc. 7 106 LNR Property Corp. 3 113 Lubrizol Corp. 6 177 Lyondell Chemical Co. 10 141 Martin Marietta Materials, Inc. 6 177 NCI Building Systems, Inc. (AE) 7 113 Precision Castparts Corp. 7 188 Quanex Corp. 2 66 Reliance Steel & Aluminum Co. 5 90 Rock-Tenn Co. Class A 3 43 Schulman (A.), Inc. 5 74 Scotts Co. (The) Class A (AE) 4 205 Shaw Group, Inc. (The) (AE) 5 54 Silgan Holdings, Inc. (AE) 5 120 Smurfit-Stone Container Corp. (AE) 17 241 Sonoco Products Co. 13 282 Trammell Crow Co. (AE) 8 70 Tredegar Corp. 6 82 Universal Forest Products, Inc. 4 62 Valspar Corp. 4 164 Wausau-Mosinee Paper Corp. 7 78 Wilson Greatbatch Technologies, Inc. (AE) 5 154 York International Corp. 5 120 ------------ 4,887 ------------ Miscellaneous - 0.7% Carlisle Cos., Inc. 2 95 FMC Corp. (AE) 2 38 SPX Corp. (AE) 11 365 Teleflex, Inc. 3 107 Walter Industries, Inc. 8 79 ------------ 684 ------------ Other Energy - 3.8% Arch Co., Inc. 3 51 Cimarex Energy Co. (AE) 15 292
Tax-Managed Mid & Small Cap Fund 113 TAX-MANAGED MID & SMALL CAP FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Denbury Resources Inc. (AE) 10 106 Devon Energy Corp. 8 360 Encore Acquisition Co. (AE) 2 38 Equitable Resources, Inc. 6 219 Evergreen Resources, Inc. (AE) 5 219 Forest Oil Corp. (AE) 1 21 Helmerich & Payne, Inc. 4 108 Hydril Co. (AE) 2 36 Massey Energy Co. 8 84 Oceaneering International, Inc. (AE) 1 32 Oil States International, Inc. (AE) 7 75 Patina Oil & Gas Corp. 8 266 Pioneer Natural Resources Co. (AE) 8 194 Plains Exploration & Production Co. (AE) 6 47 Pogo Producing Co. 3 115 Remington Oil & Gas Corp. (AE) 7 108 Smith International, Inc. (AE) 15 541 St Mary Land & Exploration Co. 7 182 Universal Compression Holdings, Inc. (AE) 5 89 Varco International, Inc. (AE) 8 132 Vintage Petroleum, Inc. 5 53 XTO Energy, Inc. 5 104 ------------ 3,472 ------------ Producer Durables - 4.7% Actuant Corp. Class A (AE) 3 93 Ametek, Inc. 9 324 AO Smith Corp. 2 72 Applied Industrial Technologies, Inc. 5 92 Beazer Homes USA, Inc. (AE) 1 56 Briggs & Stratton 2 108 Cable Design Technologies Corp. (AE) 12 81 Clayton Homes, Inc. 12 149 Cuno, Inc. (AE) 2 61 Diebold, Inc. 9 376 Dominion Homes, Inc. (AE) 5 84 DR Horton, Inc. 18 433 Engineered Support Systems, Inc. 3 104 Esterline Technologies Corp. (AE) 6 114 Franklin Electric Co., Inc. 2 114 HON Industries, Inc. 5 160 Hubbell, Inc. Class B 6 199 Kennametal, Inc. 5 148 Lennar Corp. Class A 5 260 Lennar Corp. Class B 0 26 MDC Holdings, Inc. 3 124 Meritage Corp. (AE) 2 57 Mettler Toledo International, Inc. (AE) 5 167 Pentair, Inc. 6 224
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Ryland Group, Inc. 4 201 Steelcase, Inc. Class A 9 90 Teledyne Technologies, Inc. (AE) 4 51 Toll Brothers, Inc. (AE) 6 135 United Defense Industries, Inc. (AE) 4 90 Veridian Corp. (AE) 4 70 ------------ 4,263 ------------ Technology - 8.4% Analogic Corp. 4 167 Anixter International, Inc. (AE) 4 99 AnSystem, Inc. (AE) 5 122 Applied Signal Technology, Inc. 10 140 Arrow Electronics, Inc. (AE) 13 221 Avnet, Inc. (AE) 16 200 Avocent Corp. (AE) 14 403 BEA Systems, Inc. (AE) 37 396 Borland Software Corp. (AE) 16 145 CACI International, Inc. Class A (AE) 5 164 Ceridian Corp. (AE) 11 159 Daktronics, Inc. (AE) 5 67 Documentum, Inc. (AE) 8 147 Drexler Technology Corp. (AE) 3 45 Fidelity National Information Solutions, Inc. (AE) 5 95 Flir Systems, Inc. (AE) 4 219 Group 1 Software, Inc. (AE) 11 184 Hutchinson Technology, Inc. (AE) 3 78 Hyperion Solutions Corp. (AE) 4 122 Ingram Micro, Inc. Class A (AE) 8 78 Integrated Circuit Systems, Inc. (AE) 8 169 Inter-Tel, Inc. 4 58 Internet Security Systems (AE) 11 148 Intersil Corp. Class A (AE) 16 292 Invision Technologies, Inc. (AE) 5 119 j2 Global Communications, Inc. (AE) 2 59 L-3 Communications Holdings, Inc. (AE) 10 440 Macrovision Corp. (AE) 9 166 Manhattan Associates, Inc. (AE) 4 92 Mantech International Corp. Class A (AE) 9 145 Microchip Technology, Inc. 26 543 Monolithic System Technology, Inc. (AE) 7 41 Omnivision Technologies, Inc. (AE) 6 155 Pinnacle Systems, Inc. (AE) 16 150 Progress Software Corp. (AE) 6 113 Reynolds & Reynolds Co. (The) Class A 10 285 Serena Software, Inc. (AE) 6 95
114 Tax-Managed Mid & Small Cap Fund TAX-MANAGED MID & SMALL CAP FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Storage Technology Corp. (AE) 8 188 Symantec Corp. (AE) 18 777 Syntel, Inc. (AE) 2 29 Titan Corp. (AE) 5 37 VeriSign, Inc. (AE) 23 288 ------------ 7,640 ------------ Utilities - 6.0% AGL Resources, Inc. 10 252 Allete, Inc. 10 230 Black Hills Corp. 2 51 Cablevision Systems Corp. Class A (AE) 8 185 CH Energy Group, Inc. 2 80 Chesapeake Utilities Corp. 3 65 CT Communications, Inc. 9 89 DPL, Inc. 7 100 El Paso Electric Co. (AE) 7 75 Energen Corp. 4 144 Energy East Corp. 15 281 General Communication Class A (AE) 18 110 Hawaiian Electric Industries 4 157 National Fuel Gas Co. 9 202 New Jersey Resources Corp. 1 48 Northeast Utilities 14 210 Northwest Natural Gas Co. 4 103 NSTAR 7 302 OGE Energy Corp. 11 196 Oneok, Inc. 7 133 Pepco Holdings, Inc. 30 515 Piedmont Natural Gas Co. 3 101 PNM Resources, Inc. 5 113 Puget Energy, Inc. 11 241 SCANA Corp. 10 317 UGI Corp. 9 289 Vectren Corp. 6 146 Western Gas Resources, Inc. 3 114 Wisconsin Energy Corp. 16 429 WPS Resources Corp. 4 165 ------------ 5,443 ------------ TOTAL COMMON STOCKS (cost $83,466) 84,725 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 7.0% Frank Russell Investment Company Money Market Fund 5,928 5,928 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 500 499 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $6,427) 6,427 ------------ TOTAL INVESTMENTS - 100.0% (identified cost $89,893) 91,152 OTHER ASSETS AND LIABILITIES NET - 0.0% (42) ------------ NET ASSETS - 100.0% 91,110 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Russell 2000 Index expiration date 06/03 (22) 4,385 596 S&P E-Mini Index expiration date 06/03 (16) 733 25 S&P 500 Index expiration date 06/03 (5) 1,145 37 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 658 ============
See accompanying notes which are an integral part of the financial statements. Tax Managed Mid & Small Cap Fund 115 SELECT GROWTH FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 94.9% Auto and Transportation - 1.9% FedEx Corp. 2 120 Harley-Davidson, Inc. 2 84 JB Hunt Transport Services, Inc. (AE) 1 41 Mercury Air Group, Inc. (AE) 4 14 OMI Corp. (AE) 10 48 Paccar, Inc. 2 88 Southwest Airlines Co. 36 574 Werner Enterprises, Inc. 2 45 ------------ 1,014 ------------ Consumer Discretionary - 18.1% 3DO Co. (The) (AE) 5 9 Aeropostale, Inc. New (AE) 2 41 Aldila, Inc. (AE) 6 10 Alliance Gaming Corp. (AE) 1 8 Amazon.Com, Inc. (AE) 16 470 Apollo Group, Inc. Class A (AE) 5 282 Ask Jeeves (AE) 8 62 Bed Bath & Beyond, Inc. (AE) 4 146 Best Buy Co., Inc. (AE) 10 356 Bon-Ton Stores, Inc. (The) (AE) 8 34 Carmike Cinemas, Inc. (AE) 2 35 CellStar Corp. (AE) 4 24 Chico's FAS, Inc. (AE) 7 180 Christopher & Banks Corp. (AE) 2 38 Clear Channel Communications, Inc. (AE) 8 294 Coach, Inc. (AE) 2 96 Corinthian Colleges, Inc. (AE) 2 82 Corporate Executive Board Co. (AE) 1 49 Costco Wholesale Corp. (AE) 2 52 DiamondCluster International, Inc. Class A (AE) 16 31 eBay, Inc. (AE) 8 713 Electronic Arts, Inc. (AE) 5 321 Emerson Radio (AE) 4 28 Entercom Communications Corp. (AE) 0 19 Family Dollar Stores 2 82 Getty Images, Inc. (AE) 2 64 Good Guys, Inc. (AE) 10 17 Harman International Industries, Inc. 3 186 Home Depot, Inc. 13 360 infoUSA, Inc. (AE) 12 61 International Game Technology (AE) 1 121 JOS A Bank Clothiers, Inc. (AE) 3 77 K2, Inc. (AE) 4 42 Kohl's Corp. (AE) 11 612 Kroll, Inc. (AE) 2 51 Lamar Advertising Co. (AE) 2 54
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Leapfrog Enterprises, Inc. (AE) 3 69 Lowe's Cos., Inc. 4 167 Magna Entertainment Corp. Class A (AE) 7 36 Midway Games, Inc. (AE) 7 21 Neoforma, Inc. (AE) 3 29 Nike, Inc. Class B 6 343 Omnicom Group 7 444 Perry Ellis International, Inc. (AE) 2 46 Pixar, Inc. (AE) 5 304 Quiksilver, Inc. (AE) 3 82 Radio One, Inc. Class D (AE) 3 49 Rare Hospitality International, Inc. (AE) 1 38 Red Robin Gourmet Burgers, Inc. (AE) 3 43 Restoration Hardware, Inc. 1 4 Rubio's Restaurants, Inc. (AE) 4 20 Scientific Games Corp. Class A (AE) 9 59 Stanley Furniture Co., Inc. (AE) 1 20 Station Casinos, Inc. (AE) 2 35 Sylvan Learning Systems, Inc. (AE) 2 37 Tivo, Inc. (AE) 9 53 Trans World Entertainment Corp. (AE) 7 26 Universal Electronics, Inc. (AE) 3 29 University of Phoenix Online (AE) 2 93 Univision Communications, Inc. Class A (AE) 4 133 USA Interactive (AE) 10 288 Vans, Inc. (AE) 1 5 VCA Antech, Inc. (AE) 2 35 Viacom, Inc. Class B (AE) 3 130 Wal-Mart Stores, Inc. 24 1,338 Water Pik Technologies, Inc. (AE) 3 23 Wireless Facilities, Inc. (AE) 8 56 Yahoo, Inc. (AE) 23 565 ------------ 9,727 ------------ Consumer Staples - 5.4% Coca-Cola Co. (The) 17 704 Colgate-Palmolive Co. 4 206 Hain Celestial Group, Inc. (AE) 2 36 John B. Sanfilippo & SON (AE) 3 53 PepsiCo, Inc. 14 612 Procter & Gamble Co. 7 657 Walgreen Co. 17 539 Whole Foods Market, Inc. (AE) 2 101 ------------ 2,908 ------------ Financial Services- 12.4% Affiliated Computer Services, Inc. Class A (AE) 2 105 Aflac, Inc. 11 343
116 Select Growth Fund SELECT GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- American Express Co. 16 599 American International Group 3 185 Bank of America Corp. 3 207 Charles Schwab Corp. (The) 52 448 Citigroup, Inc. 22 861 Doral Financial Corp. 3 116 E*TRADE Group, Inc. (AE) 5 26 First Data Corp. 9 362 First Tennessee National Corp. 1 44 Goldman Sachs Group, Inc. 4 337 Lehman Brothers Holdings, Inc. 7 460 LendingTree, Inc. (AE) 4 50 MGIC Investment Corp. 1 64 Morgan Stanley 8 340 Paychex, Inc. 19 588 Pico Holdings, Inc. (AE) 2 32 Principal Financial Group 2 49 Progressive Corp. (The) 18 1,235 Republic First Bancorp, Inc. (AE) 3 25 Scottish Annuity & Life Holdings, Ltd. 3 51 SLM Corp. 1 134 ------------ 6,661 ------------ Health Care - 21.8% Abaxis, Inc. (AE) 4 15 Alcon, Inc. 2 97 Amgen, Inc. (AE) 28 1,748 Amylin Pharmaceuticals, Inc. (AE) 3 61 Boston Scientific Corp. (AE) 9 375 Cell Therapeutics, Inc. (AE) 6 54 Connetics Corp. (AE) 5 86 Edwards Lifesciences Corp. (AE) 2 69 Eli Lilly & Co. 7 460 Eon Labs, Inc. (AE) 2 58 Forest Laboratories, Inc. (AE) 13 689 Genelabs Technologies (AE) 14 21 Genentech, Inc. (AE) 13 485 Genzyme Corp. - General Division (AE) 5 201 Gilead Sciences, Inc. (AE) 6 263 Impax Laboratories, Inc. (AE) 5 32 Johnson & Johnson 24 1,330 LCA-Vision, Inc. (AE) 5 28 Martek Biosciences Corp. (AE) 3 112 Medimmune, Inc. (AE) 19 687 Merck & Co., Inc. 2 140 Millennium Pharmaceuticals, Inc. (AE) 5 50 Pfizer, Inc. 85 2,605 Praecis Pharmaceuticals, Inc. (AE) 6 28 Prime Medical Services, Inc. (AE) 3 13 Resmed, Inc. (AE) 2 70 SFBC International, Inc. (AE) 3 44
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SICOR, Inc. (AE) 4 74 St Jude Medical, Inc. (AE) 8 437 Stericycle, Inc. (AE) 1 24 Taro Pharmaceuticals Industries (AE) 1 55 Telik, Inc. (AE) 4 46 Teva Pharmaceutical Industries - ADR 7 348 Transkaryotic Therapies, Inc. (AE) 8 46 UnitedHealth Group, Inc. 4 363 Wyeth 13 556 ------------ 11,770 ------------ Materials and Processing - 0.6% Boise Cascade Corp. 2 46 Culp, Inc. (AE) 4 20 Encore Wire Corp. (AE) 6 47 Griffon Corp. (AE) 2 25 Nucor Corp. 2 61 RTI International Metals, Inc. (AE) 5 46 United States Steel Corp. 4 56 ------------ 301 ------------ Miscellaneous - 4.3% 3M Co. 4 475 Fortune Brands, Inc. 2 73 General Electric Co. 56 1,662 Illinois Tool Works, Inc. 1 70 US Industries, Inc. (AE) 12 57 ------------ 2,337 ------------ Other Energy - 1.5% BJ Services Co. (AE) 4 139 Burlington Resources, Inc. 2 69 ENSCO International, Inc. 3 81 Key Energy Services, Inc. (AE) 4 35 Nabors Industries, Ltd. (AE) 3 98 National-Oilwell, Inc. Class C (AE) 2 31 Patterson-UTI Energy, Inc. (AE) 1 36 Smith International, Inc. (AE) 3 117 Unit Corp. (AE) 3 53 Varco International, Inc. (AE) 2 40 XTO Energy, Inc. 7 131 ------------ 830 ------------ Producer Durables - 3.6% Applied Materials, Inc. (AE) 53 769 Candela Corp. (AE) 4 43 Caterpillar, Inc. 1 42 Danaher Corp. 3 179 General Cable Corp. 9 42 Kla-Tencor Corp. (AE) 1 45
Select Growth Fund 117 SELECT GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Lockheed Martin Corp. 1 45 MTC Technologies, Inc. (AE) 2 32 Nokia OYJ - ADR 21 353 Orbital Sciences Corp. (AE) 4 21 Pall Corp. 3 61 Southern Energy Homes, Inc. (AE) 24 28 Telefonaktiebolaget LM Ericsson - ADR (AE) 21 193 Ultratech Stepper, Inc. (AE) 3 47 United Defense Industries, Inc. (AE) 1 34 Veridian Corp. (AE) 1 27 ------------ 1,961 ------------ Technology - 24.4% ADC Telecommunications, Inc. (AE) 15 35 Adobe Systems, Inc. 4 131 Altera Corp. (AE) 6 93 Amdocs, Ltd. (AE) 6 113 Analog Devices, Inc. (AE) 13 418 Artisan Components, Inc. (AE) 3 59 Aspect Communications Corp. (AE) 11 39 Autodesk, Inc. 6 90 Avid Technology, Inc. (AE) 3 88 Avocent Corp. (AE) 3 92 BEA Systems, Inc. (AE) 7 72 Broadcom Corp. Class A (AE) 4 77 Business Objects SA - ADR (AE) 2 52 Centillium Communications, Inc. (AE) 11 63 Cisco Systems, Inc. (AE) 82 1,234 Coherent, Inc. (AE) 4 85 Concerto Software, Inc. (AE) 4 18 Corning, Inc. (AE) 37 203 Cree, Inc. (AE) 3 64 Cypress Semiconductor Corp. (AE) 8 72 Dell Computer Corp. (AE) 53 1,532 Documentum, Inc. (AE) 3 63 Dot Hill Systems Corp. 7 44 DRS Technologies, Inc. (AE) 3 70 EDO Corp. 5 96 EMC Corp. (AE) 41 375 Epicor Software Corp. (AE) 8 22 Exar Corp. (AE) 6 87 F5 Networks, Inc. (AE) 5 63 Filenet Corp. (AE) 4 60 Flir Systems, Inc. (AE) 2 78 Genesis Microchip, Inc. (AE) 3 48 GlobespanVirata, Inc. (AE) 7 40 Intel Corp. 90 1,647 InterVoice, Inc. (AE) 20 34 Interwoven, Inc. (AE) 13 24
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Jabil Circuit, Inc. (AE) 2 36 JDS Uniphase Corp. (AE) 28 89 Juniper Networks, Inc. (AE) 7 76 L-3 Communications Holdings, Inc. (AE) 1 53 Lantronix, Inc. (AE) 40 22 Linear Technology Corp. 3 100 Maxim Integrated Products 24 924 Mercury Interactive Corp. (AE) 3 102 Microchip Technology, Inc. 5 94 Micron Technology, Inc. (AE) 36 303 Microsoft Corp. 36 921 Netsolve, Inc. (AE) 3 20 Network Appliance, Inc. (AE) 39 521 O2Micro International, Ltd. (AE) 8 90 Oak Technology, Inc. (AE) 15 74 Oracle Corp. (AE) 10 114 Overland Storage, Inc. (AE) 3 44 Planar Systems, Inc. (AE) 3 44 Qualcomm, Inc. 11 351 Red Hat, Inc. (AE) 11 67 Saba Software, Inc. (AE) 21 25 SafeNet, Inc. (AE) 2 50 SAP AG - ADR 12 309 Secure Computing Corp. (AE) 7 38 Seebeyond Technology Corp. (AE) 10 23 Siebel Systems, Inc. (AE) 22 187 SRS Labs, Inc. (AE) 9 22 Symantec Corp. (AE) 2 79 Texas Instruments, Inc. 3 55 Utstarcom, Inc. (AE) 4 76 Veritas Software Corp. (AE) 2 44 webMethods, Inc. (AE) 3 31 Westell Technologies, Inc. Class A (AE) 9 39 Xilinx, Inc. (AE) 28 757 ------------ 13,161 ------------ Utilities - 0.9% Boston Communications Group (AE) 4 67 Comcast Corp. Class A (AE) 2 57 Intrado, Inc. (AE) 5 48 Nextel Communications, Inc. Class A (AE) 11 166 Nextel Partners, Inc. Class A (AE) 3 19 Vodafone Group PLC - ADR 6 123 ------------ 480 ------------ TOTAL COMMON STOCKS (cost $49,264) 51,150 ------------
118 Select Growth Fund SELECT GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 5.3% Frank Russell Investment Company Money Market Fund 2,349 2,349 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 500 499 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $2,848) 2,848 ------------ TOTAL INVESTMENTS - 100.2% (identified cost $52,112) 53,998 OTHER ASSETS AND LIABILITIES NET - (0.2%) (132) ------------ NET ASSETS - 100.0% 53,866 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Nasdaq 100 Index expiration date 06/03 (7) 776 69 S&P Barra Growth Index expiration date 06/03 (10) 1,182 69 S&P E-Mini Index expiration date 06/03 (6) 275 14 S&P 500 Index expiration date 06/03 (3) 687 1 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 152 ============
See accompanying notes which are an integral part of the financial statements. Select Growth Fund 119 SELECT VALUE FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 94.6% Auto and Transportation - 1.3% Canadian National Railway Co. 1 31 Harley-Davidson, Inc. 2 76 Lear Corp. (AE) 9 350 Roadway Corp. 2 59 Tidewater, Inc. 7 186 Union Pacific Corp. 2 96 ------------ 798 ------------ Consumer Discretionary - 9.0% Abercrombie & Fitch Co. Class A (AE) 4 122 Accenture, Ltd. Class A (AE) 2 33 Advance Auto Parts (AE) 2 99 Allied Waste Industries, Inc. (AE) 13 104 AnnTaylor Stores Corp. (AE) 3 78 AOL Time Warner, Inc. (AE) 25 346 Brinker International, Inc. (AE) 8 238 Carnival Corp. 8 223 Clear Channel Communications, Inc. (AE) 5 184 Federated Department Stores 7 224 Fox Entertainment Group, Inc. Class A (AE) 6 160 Gannett Co., Inc. 5 375 GTECH Holdings Corp. (AE) 2 57 Hearst-Argyle Television, Inc. Class C (AE) 5 108 Home Depot, Inc. 19 547 Kimberly-Clark Corp. 5 262 Liz Claiborne, Inc. 1 42 Michaels Stores, Inc. (AE) 6 172 Movado Group, Inc. 2 41 Nike, Inc. Class B 2 83 OfficeMax, Inc. (AE) 9 51 Reebok International, Ltd. (AE) 3 84 Reed Elsevier PLC - ADR 7 215 Royal Caribbean Cruises, Ltd. 6 119 Sears Roebuck and Co. 2 65 Staples, Inc. (AE) 10 188 Starwood Hotels & Resorts Worldwide, Inc. 2 62 Take-Two Interactive Softwar (AE) 1 27 Tribune Co. 4 175 Viacom, Inc. Class B (AE) 8 357 Walt Disney Co. 9 168 Waste Management, Inc. 19 413 WPP Group PLC - ADR 11 385 ------------ 5,807 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Consumer Staples - 4.2% Altria Group, Inc. 18 538 Chiquita Brands International, Inc. (AE) 5 66 Coca-Cola Enterprises, Inc. 7 144 Colgate-Palmolive Co. 1 61 Dean Foods Co. (AE) 6 266 Del Monte Foods Co. (AE) 2 13 Diageo PLC - ADR 2 84 Dial Corp. (The) 5 112 HJ Heinz Co. 4 123 JM Smucker Co. (The) 1 26 Kellogg Co. 13 423 Kroger Co. (AE) 10 138 Loews Corp. - Carolina Group 3 48 PepsiCo, Inc. 6 243 Procter & Gamble Co. 4 352 Safeway, Inc. (AE) 5 88 ------------ 2,725 ------------ Financial Services - 32.2% ACE, Ltd. 15 490 Allstate Corp. (The) 8 311 American Express Co. 11 426 American International Group 5 307 Astoria Financial Corp. 3 78 Automatic Data Processing 9 293 Bank of America Corp. 20 1,504 Bank One Corp. 1 36 Banknorth Group, Inc. 2 57 Bankunited Financial Corp. Class A (AE) 4 70 Bear Stearns Cos., Inc. (The) 4 267 Brown & Brown, Inc. 2 61 CBL & Associates Properties, Inc. (o) 4 149 Chubb Corp. 2 96 Citigroup, Inc. 51 2,005 Countrywide Financial Corp. 4 270 Cullen/Frost Bankers, Inc. 2 59 Dime Community Bancshares 4 96 Doral Financial Corp. 3 110 Equity Office Properties Trust (o) 1 37 Fannie Mae 8 591 First Data Corp. 12 475 FleetBoston Financial Corp. 26 679 Franklin Resources, Inc. 7 258 Freddie Mac 13 769 Goldman Sachs Group, Inc. 7 496 Greater Bay Bancorp 3 40 H&R Block, Inc. 9 359 Hartford Financial Services Group, Inc. 2 99 HSBC Holdings PLC - ADR 7 366
120 Select Value Fund SELECT VALUE FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Innkeepers USA Trust (o) 9 66 JP Morgan Chase & Co. 10 288 Legg Mason, Inc. 2 98 Lehman Brothers Holdings, Inc. 7 409 Lincoln National Corp. 10 316 Marsh & McLennan Cos., Inc. 18 877 MBNA Corp. 34 649 Mellon Financial Corp. 31 817 Mercury General Corp. 3 119 Merrill Lynch & Co., Inc. 10 394 Metlife, Inc. 8 228 MGIC Investment Corp. 7 314 Morgan Stanley 10 461 National City Corp. 6 184 National Commerce Financial Corp. 11 216 RenaissanceRe Holdings, Ltd. 1 44 Republic Bancorp, Inc. 10 129 Safeco Corp. 1 49 Sandy Spring Bancorp, Inc. 4 111 Simon Property Group, Inc. (o) 5 173 SouthTrust Corp. 6 173 Sovereign Bancorp, Inc. 25 382 St Paul Cos 20 693 SunTrust Banks, Inc. 5 311 T Rowe Price Group, Inc. 3 95 Travelers Property Casualty Corp. (AE) 2 58 Travelers Property Casualty Corp. Class A 11 172 Triad Guaranty, Inc. (AE) 3 104 US Bancorp 16 354 Wachovia Corp. 21 812 Wells Fargo & Co. 16 777 Whitney Holding Corp. 2 64 ------------ 20,791 ------------ Health Care - 10.1% Abbott Laboratories 3 103 AdvancePCS (AE) 8 237 Biogen, Inc. (AE) 18 676 Bristol-Myers Squibb Co. 20 511 Cobalt Corp. (AE) 4 63 CR Bard, Inc. 1 57 Edwards Lifesciences Corp. (AE) 2 58 Eli Lilly & Co. 2 137 Genzyme Corp. - General Division (AE) 10 387 Guidant Corp. 16 612 HCA, Inc. 9 273 Johnson & Johnson 4 234 Mid Atlantic Medical Services (AE) 1 61 Novartis AG - ADR 5 205
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Pfizer, Inc. 36 1,114 Priority Healthcare Corp. Class B (AE) 2 50 Quest Diagnostics (AE) 3 191 Schering-Plough Corp. 12 224 Tenet Healthcare Corp. (AE) 19 282 Watson Pharmaceuticals, Inc. (AE) 3 99 WellPoint Health Networks (AE) 7 501 Wyeth 10 448 ------------ 6,523 ------------ Integrated Oils - 5.4% BP PLC - ADR 9 339 ChevronTexaco Corp. 11 690 ConocoPhillips 17 840 Exxon Mobil Corp. 39 1,387 Total Fina Elf SA - ADR 1 53 Unocal Corp. 6 172 ------------ 3,481 ------------ Materials and Processing - 8.1% Air Products & Chemicals, Inc. 5 220 Alcoa, Inc. 25 566 Archer-Daniels-Midland Co. 22 242 Bemis Co. 2 91 Bowater, Inc. 2 85 Chicago Bridge & Iron Co. NV 2 42 Dow Chemical Co. (The) 16 508 Du Pont EI de Nemours & Co. 12 519 International Paper Co. 18 654 Lyondell Chemical Co. 3 41 Newmont Mining Corp. 11 297 Phelps Dodge Corp. (AE) 3 99 Placer Dome, Inc. 5 49 PPG Industries, Inc. 4 212 Praxair, Inc. 2 92 Rohm & Haas Co. 12 411 Schulman (A.), Inc. 5 80 Silgan Holdings, Inc. (AE) 4 101 Smurfit-Stone Container Corp. (AE) 7 97 Syngenta AG Class R - ADR 22 228 Weyerhaeuser Co. Series O 12 575 ------------ 5,209 ------------ Miscellaneous - 1.2% 3M Co. -- 35 Eaton Corp. 2 164 Tyco International, Ltd. 35 544 ------------ 743 ------------
Select Value Fund 121 SELECT VALUE FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Other Energy - 2.9% Anadarko Petroleum Corp. 11 501 Apache Corp. -- 4 Baker Hughes, Inc. 4 99 Devon Energy Corp. 6 281 ENSCO International, Inc. 7 185 Equitable Resources, Inc. 1 38 Noble Corp. (AE) 5 161 Schlumberger, Ltd. 6 231 Sunoco, Inc. 5 197 Valero Energy Corp. 5 173 ------------ 1,870 ------------ Producer Durables - 6.8% AGCO Corp. (AE) 2 35 American Power Conversion (AE) 15 229 AO Smith Corp. 4 113 Caterpillar, Inc. 2 98 Deere & Co. 20 888 Lennar Corp. Class A 6 336 Lockheed Martin Corp. 7 345 Nokia OYJ - ADR 4 73 Northrop Grumman Corp. 10 844 Pall Corp. 18 372 Teradyne, Inc. (AE) 17 193 United Defense Industries, Inc. (AE) 4 90 United Technologies Corp. 11 705 Waters Corp. (AE) 3 79 ------------ 4,400 ------------ Technology - 5.5% Amdocs, Ltd. (AE) 19 341 Analog Devices, Inc. (AE) 9 301 Cadence Design Systems, Inc. (AE) 27 303 Cisco Systems, Inc. (AE) 7 102 EMC Corp. (AE) 31 282 General Dynamics Corp. 3 174 Intel Corp. 20 371 International Business Machines Corp. 6 518 Marvell Technology Group, Ltd. (AE) 2 46 Microsoft Corp. 6 156 Motorola, Inc. 16 123 Motorola, Inc. 3 83 Nvidia Corp. (AE) 2 30 Rockwell Automation, Inc. 16 367 Scientific-Atlanta, Inc. Class C 4 65 Texas Instruments, Inc. 8 145 Western Digital Corp. (AE) 12 107 Zoran Corp. (AE) 3 50 ------------ 3,564 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Utilities - 7.9% AT&T Corp. 7 122 AT&T Wireless Services, Inc. (AE) 37 241 BellSouth Corp. 17 446 Cascade Natural Gas Corp. 4 84 Comcast Corp. Class A (AE) 9 291 Duke Energy Corp. 10 169 Edison International (AE) 21 299 Energen Corp. 3 82 Energy East Corp. 6 102 Exelon Corp. 7 355 FPL Group, Inc. 3 203 Great Plains Energy, Inc. 4 107 KeySpan Corp. 5 160 National Fuel Gas Co. 6 135 Nextel Communications, Inc. Class A (AE) 5 67 NSTAR 5 211 Otter Tail Corp. 3 93 PPL Corp. 11 382 SBC Communications, Inc. 21 492 TXU Corp. 5 106 Verizon Communications, Inc. 16 587 Vodafone Group PLC - ADR 16 320 WGL Holdings, Inc. 2 66 ------------ 5,120 ------------ TOTAL COMMON STOCKS (cost $61,000) 61,031 ------------ PREFERRED STOCKS - 0.2% Financial Services - 0.0% Chubb Corp. 1 17 ------------ Technology - 0.1% Northrop Grumman Corp. (AE) -- 44 ------------ Utilities - 0.1% TXU Corp. (AE) 2 67 ------------ TOTAL PREFERRED STOCKS (cost $172) 128 ------------
122 Select Value Fund SELECT VALUE FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 5.5% Frank Russell Investment Company Money Market Fund 3,067 3,067 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 500 499 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $3,566) 3,566 ------------ TOTAL INVESTMENTS - 100.3% (identified cost $64,738) 64,725 OTHER ASSETS AND LIABILITIES NET - (0.3%) (172) ------------ NET ASSETS - 100.0% 64,553 ============
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions S&P Barra Value Index expiration date 06/03 (20) 2,203 225 S&P E-Mini Index expiration date 06/03 (11) 504 18 S&P 500 Index expiration date 06/03 (5) 1,145 32 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 275 ============
See accompanying notes which are an integral part of the financial statements. Select Value Fund 123 STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
DIVERSIFIED SPECIAL EQUITY FUND GROWTH FUND --------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at identified cost $ 1,110,335 $ 540,053 --------------------------------------------------------------------------------------------------------------------- Investments, at market*** 1,163,870 590,353 Cash -- 221 Foreign currency holdings* -- -- Unrealized appreciation on foreign currency exchange contracts -- -- Receivables: Dividends and interest 1,245 411 Investments sold 13,368 4,924 Fund shares sold 2,015 1,611 Foreign taxes recoverable -- -- From Advisor -- -- Daily variation margin on futures contracts 13 203 Prepaid expenses -- -- Investment of securities lending collateral in money market funds, at cost and market value 76,195 85,175 Unrealized appreciation on index swap contracts -- -- Interest rate swap contracts, at market value**** -- -- ------------------- -------------------- Total assets 1,256,706 682,898 ------------------- -------------------- LIABILITIES Payables: Due to Custodian -- -- Investments purchased 14,472 6,690 Fund shares redeemed 4,396 3,597 Accrued fees to affiliates 1,112 783 Other accrued expenses 67 39 Daily variation margin on futures contracts -- -- Unrealized depreciation on foreign currency exchange contracts -- -- Options written, at market value** -- -- Payable upon return of securities loaned 76,195 85,175 Unrealized depreciation on index swap contracts -- -- Interest rate swap contracts, at market value**** -- -- ------------------- -------------------- Total liabilities 96,242 96,284 ------------------- -------------------- NET ASSETS $ 1,160,464 $ 586,614 =================== ==================== Net Assets Consist of: Undistributed/(overdistributed) net investment income $ 368 $ (475) Accumulated net realized gain (loss) (301,071) (55,479) Unrealized appreciation (depreciation) on: Investments 53,535 50,300 Futures contracts 5,299 3,336 Options written -- -- Index swap contracts -- -- Interest rate swap contracts -- -- Foreign currency-related transactions -- -- Shares of beneficial interest 364 156 Additional paid-in capital 1,401,969 588,776 ------------------- -------------------- NET ASSETS $ 1,160,464 $ 586,614 =================== ====================
See accompanying notes which are an integral part of the financial statements. 124 Frank Russell Investment Company Russell Funds
EQUITY QUANTITATIVE INTERNATIONAL EMERGING REAL ESTATE INCOME FUND EQUITY FUND SECURITIES FUND MARKETS FUND SECURITIES FUND ------------------------------------------------------------------------------------------------------------------- $ 78,811 $ 1,201,675 $ 971,069 $ 300,169 $ 603,114 ------------------------------------------------------------------------------------------------------------------- 78,259 1,273,447 920,359 305,128 695,030 -- -- -- 404 -- -- -- 7,485 2,310 -- -- -- 4,302 969 -- 122 1,298 4,229 1,508 404 625 11,596 4,469 1,387 1,978 72 2,109 1,890 481 1,266 -- -- 578 -- -- -- -- -- -- 53 6 110 478 8 -- -- -- -- -- -- -- 100,522 32,093 -- 38,165 -- -- -- -- -- -- -- -- -- -- ------------------- ------------------- ------------------- ------------------- ------------------- 79,084 1,389,082 975,883 312,195 736,896 ------------------- ------------------- ------------------- ------------------- ------------------- -- -- -- -- -- 772 10,973 7,556 3,296 1,616 178 5,317 10,262 2,571 1,015 124 1,203 1,062 595 903 25 110 219 156 34 -- -- -- -- -- -- -- 616 252 -- -- -- 1,152 666 -- -- 100,522 32,093 -- 38,165 -- -- -- -- -- -- -- -- -- -- ------------------- ------------------- ------------------- ------------------- ------------------- 1,099 118,125 52,960 7,536 41,733 ------------------- ------------------- ------------------- ------------------- ------------------- $ 77,985 $ 1,270,957 $ 922,923 $ 304,659 $ 695,163 =================== =================== =================== =================== =================== $ (4) $ 480 $ 1,245 $ (1,801) $ 1,256 (17,633) (218,434) (238,889) (162,647) 23,397 (552) 71,772 (50,710) 4,959 91,916 303 2,648 7,960 (486) -- -- -- (261) (17) -- -- -- -- -- -- -- -- -- -- -- -- -- 3,931 727 -- 29 451 231 387 237 95,842 1,414,040 1,199,416 463,537 578,357 ------------------- ------------------- ------------------- ------------------- ------------------- $ 77,985 $ 1,270,957 $ 922,923 $ 304,659 $ 695,163 =================== =================== =================== =================== =================== SHORT TERM BOND FUND --- $ 911,648 ---------------------------------------------- 926,100 238 28 -- 7,426 7,307 1,997 -- -- 26 46 -- -- -- -------------------- 943,168 -------------------- -- 32,846 4,200 454 45 -- 173 30 -- -- -- -------------------- 37,748 -------------------- $ 905,420 ==================== $ (2,032) (6,481) 14,452 25 24 -- -- (346) 474 899,304 -------------------- $ 905,420 ====================
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 125 STATEMENT OF ASSETS AND LIABILITIES, CONTINUED -- APRIL 30, 2003 (UNAUDITED)
DIVERSIFIED SPECIAL EQUITY FUND GROWTH FUND --------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, PER SHARE: Net asset value per share: Class C***** $ 31.27 $ 35.72 Class C -- Net assets $ 42,550,152 $ 23,043,825 Class C -- Shares outstanding ($.01 par value) 1,360,726 645,174 Net asset value per share: Class E***** $ 31.92 $ 36.94 Class E -- Net assets $ 26,212,590 $ 13,103,807 Class E -- Shares outstanding ($.01 par value) 821,076 354,749 Net asset value per share: Class I***** $ -- $ -- Class I -- Net assets $ -- $ -- Class I -- Shares outstanding ($.01 par value) -- -- Net asset value per share: Class S***** $ 31.93 $ 37.78 Class S -- Net assets $ 1,091,701,240 $ 550,466,771 Class S -- Shares outstanding ($.01 par value) 34,193,736 14,569,749 --------------------------------------------------------------------------------------------------------------------- Amounts in thousands * Foreign currency holdings - cost $ -- $ -- ** Premiums received on options written $ -- $ -- *** Securities on loan included in investments $ 75,497 $ 82,746 **** Interest rate swap contracts - premiums paid (received) $ -- $ -- ***** Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.
See accompanying notes which are an integral part of the financial statements. 126 Frank Russell Investment Company Russell Funds
EQUITY QUANTITATIVE INTERNATIONAL EMERGING REAL ESTATE INCOME FUND EQUITY FUND SECURITIES FUND MARKETS FUND SECURITIES FUND ------------------------------------------------------------------------------------------------------------------- $ 27.00 $ 27.62 $ 38.59 $ 7.66 $ 28.92 $ 3,778,663 $ 42,841,683 $ 27,813,463 $ 6,797,728 $ 20,881,391 139,929 1,550,929 720,765 887,337 722,143 $ 27.34 $ 28.10 $ 39.63 $ 7.86 $ 29.15 $ 1,418,697 $ 30,249,262 $ 19,183,973 $ 7,214,503 $ 11,775,186 51,886 1,076,313 484,050 918,213 403,911 $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ -- -- -- -- -- -- $ 27.20 $ 28.17 $ 39.97 $ 7.87 $ 29.37 $ 72,787,483 $ 1,197,866,451 $ 875,925,644 $ 290,646,810 $ 662,506,049 2,676,271 42,516,036 21,916,987 36,931,293 22,560,783 $ -- $ -- $ 7,338 $ 2,309 $ -- $ -- $ -- $ 891 $ 649 $ -- $ -- $ 99,315 $ 29,815 $ -- $ 40,388 $ -- $ -- $ -- $ -- $ -- SHORT TERM BOND FUND --- $ 19.07 $ 30,811,676 1,615,292 $ 19.13 $ 18,764,479 980,753 $ -- $ -- -- $ 19.11 $ 855,843,539 44,795,280 $ 28 $ 54 $ -- $ --
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 127 STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands (except per share amounts)
DIVERSIFIED MULTISTRATEGY BOND FUND BOND FUND --------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at identified cost $ 1,146,927 $ 877,855 --------------------------------------------------------------------------------------------------------------------- Investments, at market*** 1,180,116 900,389 Cash -- 321 Foreign currency holdings* -- 708 Unrealized appreciation on foreign currency exchange contracts 4 -- Receivables: Dividends and interest 9,178 6,686 Investments sold 139,016 102,796 Fund shares sold 1,129 966 Foreign taxes recoverable -- -- From Advisor -- -- Daily variation margin on futures contracts 52 98 Prepaid expenses -- -- Investment of securities lending collateral in money market funds, at cost and market value 113,699 39,218 Unrealized appreciation on index swap contracts -- 1,124 Interest rate swap contracts, at market value**** -- 6 ------------------- -------------------- Total assets 1,443,194 1,052,312 ------------------- -------------------- LIABILITIES Payables: Due to Custodian 723 -- Investments purchased 352,134 310,764 Fund shares redeemed 2,484 3,486 Accrued fees to affiliates 620 572 Other accrued expenses 23 16 Daily variation margin on futures contracts -- 339 Unrealized depreciation on foreign currency exchange contracts 289 348 Options written, at market value** 39 408 Payable upon return of securities loaned 113,699 39,218 Unrealized depreciation on index swap contracts -- -- Interest rate swap contracts, at market value**** -- 65 ------------------- -------------------- Total liabilities 470,011 355,216 ------------------- -------------------- NET ASSETS $ 973,183 $ 697,096 =================== ==================== Net Assets Consist of: Undistributed/(overdistributed) net investment income $ 2,146 $ 1,042 Accumulated net realized gain (loss) (4,130) 6,366 Unrealized appreciation (depreciation) on: Investments 33,189 22,534 Futures contracts 194 (2) Options written 54 (13) Index swap contracts -- 1,124 Interest rate swap contracts -- (36) Foreign currency-related transactions (469) (434) Shares of beneficial interest 402 662 Additional paid-in capital 941,797 665,853 ------------------- -------------------- NET ASSETS $ 973,183 $ 697,096 =================== ====================
See accompanying notes which are an integral part of the financial statements. 128 Frank Russell Investment Company Russell Funds
TAX EXEMPT TAX-MANAGED LARGE TAX-MANAGED MID & SELECT SELECT BOND FUND CAP FUND SMALL CAP FUND GROWTH FUND VALUE FUND -------------------------------------------------------------------------------------------------------------------- $ 151,017 $ 302,981 $ 89,893 $ 52,112 $ 64,738 -------------------------------------------------------------------------------------------------------------------- 159,529 329,137 91,152 53,998 64,725 -- -- -- 101 -- -- -- -- -- -- -- -- -- -- -- 2,199 355 115 11 188 571 17,569 -- 773 1,029 1,325 264 63 27 12 -- -- -- -- -- -- -- -- 10 8 -- -- 35 -- 8 -- -- -- -- -- -- 28,956 170 380 5 -- -- -- -- -- -- -- -- -- -- ------------------- ------------------- ------------------- ------------------- -------------------- 163,624 376,281 91,535 55,300 65,975 ------------------- ------------------- ------------------- ------------------- -------------------- -- -- -- -- -- 3,230 17,773 -- 884 972 146 269 103 87 374 74 263 116 56 62 20 29 36 15 9 -- -- -- 12 -- -- -- -- -- -- -- -- -- -- -- -- 28,956 170 380 5 -- -- -- -- -- -- -- -- -- -- ------------------- ------------------- ------------------- ------------------- -------------------- 3,470 47,290 425 1,434 1,422 ------------------- ------------------- ------------------- ------------------- -------------------- $ 160,154 $ 328,991 $ 91,110 $ 53,866 $ 64,553 =================== =================== =================== =================== ==================== $ 325 $ 302 $ (10) $ (104) $ 32 (1,543) (136,849) (40,320) (32,020) (20,323) 8,512 26,156 1,259 1,886 (13) -- 490 658 152 275 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 72 246 119 96 84 152,788 438,646 129,404 83,856 84,498 ------------------- ------------------- ------------------- ------------------- -------------------- $ 160,154 $ 328,991 $ 91,110 $ 53,866 $ 64,553 =================== =================== =================== =================== ====================
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 129 STATEMENT OF ASSETS AND LIABILITIES, CONTINUED -- APRIL 30, 2003 (UNAUDITED)
DIVERSIFIED MULTISTRATEGY BOND FUND BOND FUND --------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, PRICE PER SHARE: Net asset value per share: Class C***** $ 24.69 $ 10.51 Class C -- Net assets $ 31,705,725 $ 30,343,356 Class C -- Shares outstanding ($.01 par value) 1,284,338 2,885,983 Net asset value per share: Class E***** $ 24.75 $ 10.51 Class E -- Net assets $ 30,692,544 $ 13,727,866 Class E -- Shares outstanding ($.01 par value) 1,240,099 1,305,622 Net asset value per share: Class I***** $ -- $ -- Class I -- Net assets $ -- $ -- Class I -- Shares outstanding ($.01 par value) -- -- Net asset value per share: Class S***** $ 24.20 $ 10.52 Class S -- Net assets $ 910,784,606 $ 653,024,323 Class S -- Shares outstanding ($.01 par value) 37,640,386 62,055,037 --------------------------------------------------------------------------------------------------------------------- Amounts in thousands * Foreign currency holdings - cost $ -- $ 638 ** Premiums received on options written $ 93 $ 395 *** Securities on loan included in investments $ 110,670 $ 38,518 **** Interest rate swap contracts - premiums paid (received) $ -- $ (23) ***** Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.
See accompanying notes which are an integral part of the financial statements. 130 Frank Russell Investment Company Russell Funds
TAX EXEMPT TAX-MANAGED LARGE TAX-MANAGED MID & SELECT SELECT BOND FUND CAP FUND SMALL CAP FUND GROWTH FUND VALUE FUND -------------------------------------------------------------------------------------------------------------------- $ 22.15 $ 13.17 $ 7.45 $ 5.49 $ 7.61 $ 9,229,880 $ 8,379,350 $ 3,766,514 $ 1,573,727 $ 2,349,543 416,660 636,128 505,908 286,657 308,797 $ 22.21 $ 13.37 $ 7.64 $ 5.60 $ 7.67 $ 5,334,110 $ 2,953,536 $ 1,036,611 $ 3,005,287 $ 3,518,228 240,219 220,924 135,637 537,034 458,787 $ -- $ -- $ -- $ 5.65 $ 7.67 $ -- $ -- $ -- $ 22,691,881 $ 26,896,319 -- -- -- 4,018,945 3,505,358 $ 22.18 $ 13.39 $ 7.68 $ 5.63 $ 7.66 $ 145,590,093 $ 317,658,304 $ 86,307,325 $ 26,595,588 $ 31,789,092 6,564,426 23,724,944 11,234,823 4,720,149 4,148,609 $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ 28,572 $ 165 $ 352 $ 5 $ -- $ -- $ -- $ -- $ --
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 131 STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2003 (UNAUDITED) Amounts in thousands
DIVERSIFIED SPECIAL EQUITY FUND GROWTH FUND --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ 8,407 $ 3,118 Dividends from money market funds 460 219 Interest 42 21 Securities lending income 22 66 Less foreign taxes withheld -- -- ------------------- -------------------- Total investment income 8,931 3,424 ------------------- -------------------- EXPENSES Advisory fees 3,868 2,483 Administrative fees - Class C 9 5 Administrative fees - Class E 6 3 Administrative fees - Class I -- -- Administrative fees - Class S 247 129 Custodian fees 316 234 Distribution fees - Class C 137 76 Transfer agent fees 714 733 Transfer agent fees - Class C -- -- Transfer agent fees - Class E -- -- Transfer agent fees - Class I -- -- Transfer agent fees - Class S -- -- Professional fees 30 19 Registration fees 19 18 Shareholder servicing fees - Class C 46 25 Shareholder servicing fees - Class E 30 15 Trustees' fees 13 10 LifePoints(R) funds fees 326 118 Miscellaneous 46 31 ------------------- -------------------- Expenses before reductions 5,807 3,899 Expense reductions (1) -- ------------------- -------------------- Net expenses 5,806 3,899 ------------------- -------------------- Net investment income (loss) 3,125 (475) ------------------- -------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Investments (56,798) (24,515) Futures contracts (1,725) (1,418) Options written -- -- Index swap contracts -- -- Interest rate swap contracts -- -- Foreign currency-related transactions -- -- ------------------- -------------------- Net realized gain (loss) (58,523) (25,933) ------------------- -------------------- Net change in unrealized appreciation (depreciation) on: Investments 84,957 62,312 Futures contracts 3,640 3,240 Options written -- -- Index swap contracts -- -- Interest rate swap contracts -- -- Foreign currency-related transactions -- -- ------------------- -------------------- Net change in unrealized appreciation (depreciation) 88,597 65,552 ------------------- -------------------- Net realized and unrealized gain (loss) 30,074 39,619 ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 33,199 $ 39,144 =================== ====================
See accompanying notes which are an integral part of the financial statements. 132 Frank Russell Investment Company Russell Funds
EQUITY QUANTITATIVE INTERNATIONAL EMERGING REAL ESTATE SHORT TERM INCOME FUND EQUITY FUND SECURITIES FUND MARKETS FUND SECURITIES FUND BOND FUND --------------------------------------------------------------------------------------------------------------- $ 883 $ 9,996 $ 10,730 $ 4,442 $ 21,033 $ -- 23 330 565 79 186 428 3 30 102 30 -- 12,965 -- 21 29 -- 18 -- -- -- (1,290) (525) -- -- ------------- -------------- ---------------- ---------------- ---------------- ------------ 909 10,377 10,136 4,026 21,237 13,393 ------------- -------------- ---------------- ---------------- ---------------- ------------ 295 4,257 3,747 1,632 2,592 1,607 1 9 6 1 4 6 -- 7 4 2 3 4 -- -- -- -- -- -- 19 271 193 66 154 163 111 252 1,146 682 140 213 11 137 89 22 68 85 166 756 694 679 -- 133 -- -- -- -- 52 -- -- -- -- -- 30 -- -- -- -- -- -- -- -- -- -- -- 777 -- 11 27 39 30 17 15 16 24 21 16 28 37 4 46 30 7 22 28 2 33 21 8 14 22 8 13 12 14 10 9 -- 337 286 69 91 195 17 42 59 33 33 19 ------------- -------------- ---------------- ---------------- ---------------- ------------ 661 6,211 6,347 3,261 4,035 2,536 -- -- (1) (1) (53) (475) ------------- -------------- ---------------- ---------------- ---------------- ------------ 661 6,211 6,346 3,260 3,982 2,061 ------------- -------------- ---------------- ---------------- ---------------- ------------ 248 4,166 3,790 766 17,255 11,332 ------------- -------------- ---------------- ---------------- ---------------- ------------ (5,358) (55,151) (37,205) (3,552) (10,904) 5,012 (47) (1,097) (12,958) (572) -- 20 -- -- (912) (1,451) -- -- -- -- -- -- -- -- -- -- -- -- -- 716 -- -- 4,678 273 -- (871) ------------- -------------- ---------------- ---------------- ---------------- ------------ (5,405) (56,248) (46,397) (5,302) (10,904) 4,877 ------------- -------------- ---------------- ---------------- ---------------- ------------ 8,566 105,879 45,483 21,783 66,470 1,969 261 2,296 8,518 (383) -- 25 -- -- (70) 655 -- 24 -- -- -- -- -- -- -- -- -- -- -- (740) -- -- 2,989 789 -- (239) ------------- -------------- ---------------- ---------------- ---------------- ------------ 8,827 108,175 56,920 22,844 66,470 1,039 ------------- -------------- ---------------- ---------------- ---------------- ------------ 3,422 51,927 10,523 17,542 55,566 5,916 ------------- -------------- ---------------- ---------------- ---------------- ------------ $ 3,670 $ 56,093 $ 14,313 $ 18,308 $ 72,821 $ 17,248 ============= ============== ================ ================ ================ ============
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 133 STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2003 (UNAUDITED) Amounts in thousands
DIVERSIFIED MULTISTRATEGY BOND FUND BOND FUND --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ 10 $ 85 Dividends from money market funds 726 1,010 Interest 16,631 13,965 Securities lending income 87 43 Less foreign taxes withheld -- -- ------------------- -------------------- Total investment income 17,454 15,103 ------------------- -------------------- EXPENSES Advisory fees 1,764 1,976 Administrative fees - Class C 7 7 Administrative fees - Class E 7 4 Administrative fees - Class I -- -- Administrative fees - Class S 208 158 Custodian fees 298 289 Distribution fees - Class C 108 101 Transfer agent fees 309 396 Transfer agent fees - Class C -- -- Transfer agent fees - Class E -- -- Transfer agent fees - Class I -- -- Transfer agent fees - Class S -- -- Professional fees 24 19 Registration fees 24 12 Shareholder servicing fees - Class C 36 34 Shareholder servicing fees - Class E 35 18 Trustees' fees 11 9 LifePoints(R) funds fees 255 182 Miscellaneous 29 23 ------------------- -------------------- Expenses before reductions 3,115 3,228 Expense reductions (8) (5) ------------------- -------------------- Net expenses 3,107 3,223 ------------------- -------------------- Net investment income (loss) 14,347 11,880 ------------------- -------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Investments 15,417 15,252 Futures contracts (454) (510) Options written 1 207 Index swap contracts -- 2,009 Interest rate swap contracts -- (988) Foreign currency-related transactions (1,814) (1,022) ------------------- -------------------- Net realized gain (loss) 13,150 14,948 ------------------- -------------------- Net change in unrealized appreciation (depreciation) on: Investments 8,094 14,952 Futures contracts 338 486 Options written 54 (182) Index swap contracts -- 1,151 Interest rate swap contracts -- 527 Foreign currency-related transactions (254) (364) ------------------- -------------------- Net change in unrealized appreciation (depreciation) 8,232 16,570 ------------------- -------------------- Net realized and unrealized gain (loss) 21,382 31,518 ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 35,729 $ 43,398 =================== ====================
See accompanying notes which are an integral part of the financial statements. 134 Frank Russell Investment Company Russell Funds
TAX EXEMPT TAX-MANAGED LARGE TAX-MANAGED MID & SELECT GROWTH SELECT VALUE BOND FUND CAP FUND SMALL CAP FUND FUND FUND ----------------------------------------------------------------------------------------------- $ -- $ 2,774 $ 501 $ 124 $ 664 20 55 38 20 27 3,385 7 5 3 3 -- 6 -- -- -- -- -- -- -- -- ------------- ---------------- ---------------- ---------------- ------------ 3,405 2,842 544 147 694 ------------- ---------------- ---------------- ---------------- ------------ 239 1,152 421 196 245 2 2 1 -- 1 1 1 -- 1 1 -- -- -- 5 8 36 72 21 6 8 74 85 75 121 103 31 29 13 6 8 47 124 80 -- -- -- -- -- 1 1 -- -- -- 1 1 -- -- -- 15 18 -- -- -- 13 12 7 16 14 7 13 19 20 20 23 21 10 10 4 2 3 7 3 1 3 4 9 12 6 4 5 -- 45 13 -- -- 14 26 8 13 10 ------------- ---------------- ---------------- ---------------- ------------ 496 1,597 677 417 462 -- -- (123) (166) (132) ------------- ---------------- ---------------- ---------------- ------------ 496 1,597 554 251 330 ------------- ---------------- ---------------- ---------------- ------------ 2,909 1,245 (10) (104) 364 ------------- ---------------- ---------------- ---------------- ------------ 538 (20,378) (3,090) (2,735) (5,116) -- (328) (504) 177 17 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- ------------- ---------------- ---------------- ---------------- ------------ 538 (20,706) (3,594) (2,558) (5,099) ------------- ---------------- ---------------- ---------------- ------------ 1,027 34,242 7,116 5,506 6,294 -- 336 750 68 212 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- ------------- ---------------- ---------------- ---------------- ------------ 1,027 34,578 7,866 5,574 6,506 ------------- ---------------- ---------------- ---------------- ------------ 1,565 13,872 4,272 3,016 1,407 ------------- ---------------- ---------------- ---------------- ------------ $ 4,474 $ 15,117 $ 4,262 $ 2,912 $ 1,771 ============= ================ ================ ================ ============
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 135 STATEMENT OF CHANGES IN NET ASSETS Amounts in thousands
DIVERSIFIED EQUITY FUND ------------------------------------------- SIX MONTHS FISCAL YEAR ENDED ENDED APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 ----------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income (loss) $ 3,125 $ 5,030 Net realized gain (loss) (58,523) (172,601) Net change in unrealized appreciation (depreciation) 88,597 (2,773) ------------------- -------------------- Net increase (decrease) in net assets from operations 33,199 (170,344) ------------------- -------------------- DISTRIBUTIONS From net investment income Class C (1) -- Class E (43) (58) Class I -- -- Class S (2,713) (5,043) From net realized gain Class C -- -- Class E -- -- Class S -- -- Tax return of capital Class C -- -- Class E -- (9) Class S -- (831) ------------------- -------------------- Net decrease in net assets from distributions (2,757) (5,941) ------------------- -------------------- SHARE TRANSACTIONS Net increase (decrease) in net assets from share transactions 100,369 43,010 ------------------- -------------------- TOTAL NET INCREASE (DECREASE) IN NET ASSETS 130,811 (133,275) NET ASSETS Beginning of period 1,029,653 1,162,928 ------------------- -------------------- End of period $ 1,160,464 $ 1,029,653 =================== ==================== Undistributed (overdistributed) net investment income included in net assets $ 368 $ --
See accompanying notes which are an integral part of the financial statements. 136 Frank Russell Investment Company Russell Funds
SPECIAL GROWTH EQUITY INCOME QUANTITATIVE EQUITY FUND FUND FUND ------------------------------ ------------------------------ ------------------------------ SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 (UNAUDITED) 2002 (UNAUDITED) 2002 ---------------------------------------------------------------------------------------------------- $ (475) $ (1,266) $ 248 $ 508 $ 4,166 $ 5,696 (25,933) (24,525) (5,405) (7,174) (56,248) (131,104) 65,552 (28,464) 8,827 (9,947) 108,175 (86,225) ------------- ------------- ------------- ------------- ------------- ------------- 39,144 (54,255) 3,670 (16,613) 56,093 (211,633) ------------- ------------- ------------- ------------- ------------- ------------- -- -- (2) (2) (10) -- -- -- (3) (5) (56) (102) -- -- -- -- -- -- -- (34) (247) (516) (3,620) (7,691) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (1) -- -- -- -- -- (2) -- (8) -- -- -- (270) -- (593) ------------- ------------- ------------- ------------- ------------- ------------- -- (34) (252) (796) (3,686) (8,394) ------------- ------------- ------------- ------------- ------------- ------------- (3,510) (26,365) (6,637) (10,781) 88,097 106,003 ------------- ------------- ------------- ------------- ------------- ------------- 35,634 (80,654) (3,219) (28,190) 140,504 (114,024) 550,980 631,634 81,204 109,394 1,130,453 1,244,477 ------------- ------------- ------------- ------------- ------------- ------------- $ 586,614 $ 550,980 $ 77,985 $ 81,204 $ 1,270,957 $ 1,130,453 ============= ============= ============= ============= ============= ============= $ (475) $ -- $ (4) $ -- $ 480 $ -- INTERNATIONAL SECURITIES FUND ------------------------------ SIX MONTHS FISCAL YEAR ENDED ENDED APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 ------------------------------ $ 3,790 $ 4,554 (46,397) (108,479) 56,920 (9,955) ------------- ------------- 14,313 (113,880) ------------- ------------- (125) -- (176) -- -- -- (10,211) -- -- -- -- -- -- -- -- -- -- -- -- -- ------------- ------------- (10,512) -- ------------- ------------- 106,320 85,458 ------------- ------------- 110,121 (28,422) 812,802 841,224 ------------- ------------- $ 922,923 $ 812,802 ============= ============= $ 1,245 $ 7,967
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 137 STATEMENT OF CHANGES IN NET ASSETS Amounts in thousands
EMERGING MARKETS FUND ------------------------------------------- SIX MONTHS FISCAL YEAR ENDED ENDED APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 ----------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income (loss) $ 766 $ (120) Net realized gain (loss) (5,302) (24,800) Net change in unrealized appreciation (depreciation) 22,844 43,973 ------------------- -------------------- Net increase (decrease) in net assets from operations 18,308 19,053 ------------------- -------------------- DISTRIBUTIONS From net investment income Class C -- -- Class E (10) -- Class I -- -- Class S (1,302) (663) From net realized gain Class C -- -- Class E -- -- Class S -- -- Tax return of capital Class C -- -- Class E -- -- Class S -- -- ------------------- -------------------- Net decrease in net assets from distributions (1,312) (663) ------------------- -------------------- SHARE TRANSACTIONS Net increase (decrease) in net assets from share transactions 12,428 (25,977) ------------------- -------------------- TOTAL NET INCREASE (DECREASE) IN NET ASSETS 29,424 (7,587) NET ASSETS Beginning of period 275,235 282,822 ------------------- -------------------- End of period $ 304,659 $ 275,235 =================== ==================== Undistributed (overdistributed) net investment income included in net assets $ (1,801) $ (1,255)
See accompanying notes which are an integral part of the financial statements. 138 Frank Russell Investment Company Russell Funds
REAL ESTATE SECURITIES SHORT TERM BOND DIVERSIFIED BOND FUND FUND FUND ------------------------------ ------------------------------ ------------------------------ SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 (UNAUDITED) 2002 (UNAUDITED) 2002 ---------------------------------------------------------------------------------------------------- $ 17,255 $ 32,119 $ 11,332 $ 21,381 $ 14,347 $ 31,013 (10,904) 49,018 4,877 2,799 13,150 17,457 66,470 (51,182) 1,039 1,453 8,232 (8,066) ------------- ------------- ------------- ------------- ------------- ------------- 72,821 29,955 17,248 25,633 35,729 40,404 ------------- ------------- ------------- ------------- ------------- ------------- (394) (552) (335) (285) (328) (599) (274) (658) (322) (774) (418) (807) -- -- -- -- -- -- (15,331) (38,630) (12,607) (22,428) (13,511) (31,665) -- -- -- -- (635) -- -- -- -- -- (625) -- -- -- -- -- (18,770) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- ------------- ------------- ------------- ------------- ------------- ------------- (15,999) (39,840) (13,264) (23,487) (34,287) (33,071) ------------- ------------- ------------- ------------- ------------- ------------- 13,835 9,978 267,831 210,928 134,509 52,089 ------------- ------------- ------------- ------------- ------------- ------------- 70,657 93 271,815 213,074 135,951 59,422 624,506 624,413 633,605 420,531 837,232 777,810 ------------- ------------- ------------- ------------- ------------- ------------- $ 695,163 $ 624,506 $ 905,420 $ 633,605 $ 973,183 $ 837,232 ============= ============= ============= ============= ============= ============= $ 1,256 $ -- $ (2,032) $ (100) $ 2,146 $ 2,056 MULTISTRATEGY BOND FUND ------------------------------ SIX MONTHS FISCAL YEAR ENDED ENDED APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 ------------------------------- $ 11,880 $ 26,211 14,948 14,662 16,570 (17,572) ------------- ------------- 43,398 23,301 ------------- ------------- (346) (771) (237) (665) -- -- (11,052) (32,511) -- -- -- -- -- -- -- -- -- -- -- -- ------------- ------------- (11,635) (33,947) ------------- ------------- 31,169 (6,308) ------------- ------------- 62,932 (16,954) 634,164 651,118 ------------- ------------- $ 697,096 $ 634,164 ============= ============= $ 1,042 $ 797
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 139 STATEMENT OF CHANGES IN NET ASSETS Amounts in thousands
TAX EXEMPT BOND FUND ------------------------------------------- SIX MONTHS FISCAL YEAR ENDED ENDED APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 ----------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income (loss) $ 2,909 $ 6,016 Net realized gain (loss) 538 384 Net change in unrealized appreciation (depreciation) 1,027 1,044 ------------------- -------------------- Net increase (decrease) in net assets from operations 4,474 7,444 ------------------- -------------------- DISTRIBUTIONS From net investment income Class C (110) (108) Class E (91) (205) Class I -- -- Class S (2,687) (5,748) From net realized gain Class C -- -- Class E -- -- Class S -- -- Tax return of capital Class C -- -- Class E -- -- Class S -- -- ------------------- -------------------- Net decrease in net assets from distributions (2,888) (6,061) ------------------- -------------------- SHARE TRANSACTIONS Net increase (decrease) in net assets from share transactions (2,337) 10,525 ------------------- -------------------- TOTAL NET INCREASE (DECREASE) IN NET ASSETS (751) 11,908 NET ASSETS Beginning of period 160,905 148,997 ------------------- -------------------- End of period $ 160,154 $ 160,905 =================== ==================== Undistributed/(overdistributed) net investment income included in net assets $ 325 $ 304
See accompanying notes which are an integral part of the financial statements. 140 Frank Russell Investment Company Russell Funds
TAX-MANAGED LARGE CAP TAX-MANAGED MID & SMALL CAP SELECT GROWTH SELECT VALUE FUND FUND FUND FUND ------------------------------ ------------------------------ ------------------------------ -------------- SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS ENDED ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 (UNAUDITED) 2002 (UNAUDITED) 2002 (UNAUDITED) 2002 (UNAUDITED) --------------------------------------------------------------------------------------------------------------------- $ 1,245 $ 2,547 $ (10) $ (159) $ (104) $ (209) $ 364 (20,706) (59,450) (3,594) (14,880) (2,558) (12,307) (5,099) 34,578 (30,147) 7,866 7,097 5,574 465 6,506 ------------- ------------- ------------- ------------- ------------- ------------- ------------- 15,117 (87,050) 4,262 (7,942) 2,912 (12,051) 1,771 ------------- ------------- ------------- ------------- ------------- ------------- ------------- -- -- -- -- -- -- (3) (18) (10) -- -- -- -- (13) -- -- -- -- -- -- (172) (2,876) (2,325) -- (100) -- -- (151) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- ------------- ------------- ------------- ------------- ------------- ------------- ------------- (2,894) (2,335) -- (100) -- -- (339) ------------- ------------- ------------- ------------- ------------- ------------- ------------- (38,925) (14,449) (10) 1,280 4,259 9,899 (9,229) ------------- ------------- ------------- ------------- ------------- ------------- ------------- (26,702) (103,834) 4,252 (6,762) 7,171 (2,152) (7,797) 355,693 459,527 86,858 93,620 46,695 48,847 72,350 ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 328,991 $ 355,693 $ 91,110 $ 86,858 $ 53,866 $ 46,695 $ 64,553 ============= ============= ============= ============= ============= ============= ============= $ 302 $ 1,951 $ (10) $ -- $ (104) $ -- $ 32 SELECT VALUE FUND ------------- FISCAL YEAR ENDED OCTOBER 31, 2002 ------------- $ 692 (10,334) (1,386) ------------- (11,028) ------------- (3) (28) (380) (357) -- -- -- -- -- -- ------------- (768) ------------- 18,876 ------------- 7,080 65,270 ------------- $ 72,350 ============= $ 7
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 141 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME DISTRIBUTIONS BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM FROM NET PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS INVESTMENT INCOME ---------------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED EQUITY FUND Class C April 30, 2003 (1) 30.52 (.06) .81 .75 -- October 31, 2002 35.83 (.18) (5.13) (5.31) -- October 31, 2001 50.12 (.24) (13.82) (14.06) -- October 31, 2000 (2) 54.13 (.24) (2.55) (2.79) -- December 31, 1999 (6) 52.04 (.20) 8.14 7.94 (.03) ---------------------------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 31.10 .06 .82 .88 (.06) October 31, 2002 36.35 .08 (5.23) (5.15) (.09) October 31, 2001 50.55 .07 (13.96) (13.89) (.08) October 31, 2000 (2) 54.43 .08 (2.57) (2.49) (.17) December 31, 1999 51.40 .13 8.81 8.94 (.09) December 31, 1998 43.64 .10 10.34 10.44 (.08) December 31, 1997 (3) 45.55 .06 7.97 8.03 (.07) ---------------------------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 31.09 .10 .82 .92 (.08) October 31, 2002 36.35 .16 (5.23) (5.07) (.16) October 31, 2001 50.55 .18 (13.97) (13.79) (.18) October 31, 2000 (2) 54.33 .19 (2.57) (2.38) (.18) December 31, 1999 51.39 .28 8.79 9.07 (.31) December 31, 1998 43.64 .30 10.34 10.64 (.29) December 31, 1997 41.45 .37 12.06 12.43 (.37) ---------------------------------------------------------------------------------------------------------------------------------- SPECIAL GROWTH FUND Class C April 30, 2003 (1) 33.52 (.19) 2.39 2.20 -- October 31, 2002 37.42 (.45) (3.45) (3.90) -- October 31, 2001 51.05 (.38) (7.12) (7.50) -- October 31, 2000 (2) 48.22 (.38) 4.56 4.18 -- December 31, 1999 (6) 42.17 (.45) 9.72 9.27 -- ---------------------------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 34.53 (.07) 2.48 2.41 -- October 31, 2002 38.27 (.16) (3.58) (3.74) -- October 31, 2001 51.74 (.06) (7.25) (7.31) (.03) October 31, 2000 (2) 48.55 (.07) 4.61 4.54 -- December 31, 1999 42.91 (.16) 9.02 8.86 -- December 31, 1998 45.42 (.17) .09 (.08) -- December 31, 1997 40.75 (.13) 11.05 10.92 -- ---------------------------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 35.28 (.02) 2.52 2.50 -- October 31, 2002 39.01 (.07) (3.66) (3.73) -- October 31, 2001 52.52 .05 (7.37) (7.32) (.06) October 31, 2000 (2) 49.18 .04 4.67 4.71 (.02) December 31, 1999 43.34 (.05) 9.12 9.07 (.01) December 31, 1998 45.72 .01 .08 .09 (.04) December 31, 1997 40.79 .08 11.18 11.26 (.08) ---------------------------------------------------------------------------------------------------------------------------------- $ DISTRIBUTIONS $ FROM NET RETURN OF REALIZED GAIN CAPITAL -------------------------------------------------------------------- DIVERSIFIED EQUITY FUND Class C April 30, 2003 (1) -- -- October 31, 2002 -- -- October 31, 2001 (.23) -- October 31, 2000 (2) (1.22) -- December 31, 1999 (6) (5.82) -- -------------------------------------------------------------------- Class E April 30, 2003 (1) -- -- October 31, 2002 -- (.01) October 31, 2001 (.23) -- October 31, 2000 (2) (1.22) -- December 31, 1999 (5.82) -- December 31, 1998 (2.60) -- December 31, 1997 (3) (9.87) -- -------------------------------------------------------------------- Class S April 30, 2003 (1) -- -- October 31, 2002 -- (.03) October 31, 2001 (.23) -- October 31, 2000 (2) (1.22) -- December 31, 1999 (5.82) -- December 31, 1998 (2.60) -- December 31, 1997 (9.87) -- -------------------------------------------------------------------- SPECIAL GROWTH FUND Class C April 30, 2003 (1) -- -- October 31, 2002 -- -- October 31, 2001 (6.13) -- October 31, 2000 (2) (1.35) -- December 31, 1999 (6) (3.22) -- -------------------------------------------------------------------- Class E April 30, 2003 (1) -- -- October 31, 2002 -- -- October 31, 2001 (6.13) -- October 31, 2000 (2) (1.35) -- December 31, 1999 (3.22) -- December 31, 1998 (2.43) -- December 31, 1997 (6.25) -- -------------------------------------------------------------------- Class S April 30, 2003 (1) -- -- October 31, 2002 -- -- October 31, 2001 (6.13) -- October 31, 2000 (2) (1.35) -- December 31, 1999 (3.22) -- December 31, 1998 (2.43) -- December 31, 1997 (6.25) -- --------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 142 Frank Russell Investment Company Russell Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- -- 31.27 2.50 42,550 -- 30.52 (14.85) 33,858 (.23) 35.83 (28.14) 20,222 (1.22) 50.12 (5.07) 21,526 (5.85) 54.13 15.83 14,787 ----------------------------------------------------------------------------- (.06) 31.92 2.89 26,213 (.10) 31.10 (14.22) 23,656 (.31) 36.35 (27.59) 23,586 (1.39) 50.55 (4.49) 19,666 (5.91) 54.43 17.95 12,958 (2.68) 51.40 24.59 9,007 (9.94) 43.64 15.99 2,839 ----------------------------------------------------------------------------- (.08) 31.93 3.02 1,091,701 (.19) 31.09 (14.02) 972,139 (.41) 36.35 (27.41) 1,119,120 (1.40) 50.55 (4.28) 1,516,448 (6.13) 54.33 18.21 1,569,920 (2.89) 51.39 25.11 1,367,016 (10.24) 43.64 31.32 1,042,620 ----------------------------------------------------------------------------- -- 35.72 6.56 23,044 -- 33.52 (10.42) 18,583 (6.13) 37.42 (15.93) 11,662 (1.35) 51.05 8.83 10,762 (3.22) 48.22 22.53 5,990 ----------------------------------------------------------------------------- -- 36.94 6.98 13,104 -- 34.53 (9.77) 11,731 (6.16) 38.27 (15.29) 11,051 (1.35) 51.74 9.53 9,678 (3.22) 48.55 21.19 5,411 (2.43) 42.91 .04 6,139 (6.25) 45.42 27.90 3,153 ----------------------------------------------------------------------------- -- 37.78 7.09 550,466 -- 35.28 (9.56) 520,666 (6.19) 39.01 (15.05) 608,921 (1.37) 52.52 9.76 759,435 (3.23) 49.18 21.45 697,211 (2.47) 43.34 .42 595,862 (6.33) 45.72 28.77 572,635 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE ------------------------------------------------------------------------------- 2.06 2.06 (.37) 58.55 2.03 2.03 (.51) 128.80 1.99 1.99 (.58) 146.81 1.94 1.94 (.56) 141.75 1.94 1.94 (.41) 110.36 ------------------------------------------------------------------------------- 1.31 1.31 .38 58.55 1.28 1.28 .21 128.80 1.24 1.24 .17 146.81 1.19 1.19 .19 141.75 1.19 1.19 .23 110.36 1.33 1.33 .21 100.31 1.63 1.63 .10 114.11 ------------------------------------------------------------------------------- 1.06 1.06 .63 58.55 1.03 1.03 .46 128.80 .99 .99 .42 146.81 .94 .94 .45 141.75 .93 .93 .51 110.36 .91 .91 .62 100.31 .92 .92 .80 114.11 ------------------------------------------------------------------------------- 2.37 2.37 (1.13) 48.13 2.31 2.31 (1.15) 125.06 2.27 2.27 (.89) 126.83 2.21 2.22 (.91) 136.00 2.23 2.23 (1.10) 111.98 ------------------------------------------------------------------------------- 1.62 1.62 (.38) 48.13 1.56 1.56 (.40) 125.06 1.52 1.52 (.14) 126.83 1.46 1.47 (.16) 136.00 1.49 1.49 (.36) 111.98 1.58 1.58 (.39) 129.19 1.83 1.83 (.51) 97.19 ------------------------------------------------------------------------------- 1.37 1.37 (.13) 48.13 1.32 1.32 (.17) 125.06 1.27 1.27 .11 126.83 1.21 1.22 .08 136.00 1.24 1.24 (.10) 111.98 1.15 1.15 .03 129.19 1.15 1.15 .18 97.19 -------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 143 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- EQUITY INCOME FUND Class C April 30, 2003 (1) 25.83 (.04) 1.23 1.19 October 31, 2002 31.27 (.12) (5.29) (5.41) October 31, 2001 36.72 (.15) (5.30) (5.45) October 31, 2000 (2) 37.02 (.06) (.03) (.09) December 31, 1999 (6) 40.38 .04 .66 .70 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 26.11 .05 1.25 1.30 October 31, 2002 31.55 .09 (5.35) (5.26) October 31, 2001 36.89 .11 (5.35) (5.24) October 31, 2000 (2) 37.20 .15 (.02) .13 December 31, 1999 41.45 .33 (.44) (.11) December 31, 1998 41.43 .37 4.49 4.86 December 31, 1997 40.22 .32 12.20 12.52 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 25.96 .09 1.23 1.32 October 31, 2002 31.38 .16 (5.33) (5.17) October 31, 2001 36.68 .20 (5.31) (5.11) October 31, 2000 (2) 36.92 .23 (.03) .20 December 31, 1999 41.26 .41 (.44) (.03) December 31, 1998 41.08 .55 4.49 5.04 December 31, 1997 40.22 .69 12.11 12.80 -------------------------------------------------------------------------------------------------------------- QUANTITATIVE EQUITY FUND Class C April 30, 2003 (1) 26.53 (.03) 1.13 1.10 October 31, 2002 31.88 (.15) (5.20) (5.35) October 31, 2001 43.88 (.21) (10.47) (10.68) October 31, 2000 (2) 44.94 (.22) .07 (.15) December 31, 1999 (6) 43.02 (.20) 8.00 7.80 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 26.94 .07 1.15 1.22 October 31, 2002 32.28 .07 (5.27) (5.20) October 31, 2001 44.17 .07 (10.57) (10.50) October 31, 2000 (2) 45.19 .06 (.08) (.02) December 31, 1999 42.50 .13 8.50 8.63 December 31, 1998 36.80 .12 8.54 8.66 December 31, 1997 33.05 .14 9.95 10.09 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 27.01 .10 1.15 1.25 October 31, 2002 32.36 .15 (5.28) (5.13) October 31, 2001 44.27 .16 (10.59) (10.43) October 31, 2000 (2) 45.19 .15 (.02) .13 December 31, 1999 42.53 .24 8.50 8.74 December 31, 1998 36.78 .27 8.55 8.82 December 31, 1997 33.05 .38 10.00 10.38 -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ----------------------------------------------------------------------------------------- EQUITY INCOME FUND Class C April 30, 2003 (1) (.02) -- -- October 31, 2002 (.02) -- (.01) October 31, 2001 -- -- -- October 31, 2000 (2) -- (.19) (.02) December 31, 1999 (6) (.17) (3.89) -- ----------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.07) -- -- October 31, 2002 (.12) -- (.06) October 31, 2001 (.10) -- -- October 31, 2000 (2) (.23) (.19) (.02) December 31, 1999 (.25) (3.89) -- December 31, 1998 (.51) (4.33) -- December 31, 1997 (.07) (11.24) -- ----------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.08) -- -- October 31, 2002 (.16) -- (.09) October 31, 2001 (.19) -- -- October 31, 2000 (2) (.23) (.19) (.02) December 31, 1999 (.42) (3.89) -- December 31, 1998 (.53) (4.33) -- December 31, 1997 (.70) (11.24) -- ----------------------------------------------------------------------------------------- QUANTITATIVE EQUITY FUND Class C April 30, 2003 (1) (.01) -- -- October 31, 2002 -- -- -- October 31, 2001 -- (1.32) -- October 31, 2000 (2) -- (.91) -- December 31, 1999 (6) (.04) (5.84) -- ----------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.06) -- -- October 31, 2002 (.13) -- (.01) October 31, 2001 (.07) (1.32) -- October 31, 2000 (2) (.09) (.91) -- December 31, 1999 (.10) (5.84) -- December 31, 1998 (.16) (2.80) -- December 31, 1997 (.07) (6.27) -- ----------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.09) -- -- October 31, 2002 (.20) -- (.02) October 31, 2001 (.16) (1.32) -- October 31, 2000 (2) (.14) (.91) -- December 31, 1999 (.24) (5.84) -- December 31, 1998 (.27) (2.80) -- December 31, 1997 (.38) (6.27) -- -----------------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 144 Frank Russell Investment Company Russell Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.02) 27.00 4.61 3,779 (.03) 25.83 (17.31) 2,701 -- 31.27 (14.84) 1,070 (.21) 36.72 (.17) 1,035 (4.06) 37.02 2.03 995 ----------------------------------------------------------------------------- (.07) 27.34 4.97 1,419 (.18) 26.11 (16.74) 1,117 (.10) 31.55 (14.22) 943 (.44) 36.89 .46 1,095 (4.14) 37.20 .04 1,061 (4.84) 41.45 12.41 745 (11.31) 41.43 32.68 338 ----------------------------------------------------------------------------- (.08) 27.20 5.10 72,787 (.25) 25.96 (16.55) 77,386 (.19) 31.38 (13.97) 107,381 (.44) 36.68 .66 150,057 (4.31) 36.92 .25 186,983 (4.86) 41.26 12.99 250,491 (11.94) 41.08 33.59 226,952 ----------------------------------------------------------------------------- (.01) 27.62 4.14 42,842 -- 26.53 (16.78) 34,113 (1.32) 31.88 (24.87) 20,530 (.91) 43.88 (.16) 20,935 (5.88) 44.94 18.89 13,613 ----------------------------------------------------------------------------- (.06) 28.10 4.56 30,249 (.14) 26.94 (16.16) 25,667 (1.39) 32.28 (24.30) 23,700 (1.00) 44.17 .11 15,314 (5.94) 45.19 21.11 7,987 (2.96) 42.50 24.34 7,479 (6.34) 36.80 31.70 2,344 ----------------------------------------------------------------------------- (.09) 28.17 4.67 1,197,866 (.22) 27.01 (15.94) 1,070,673 (1.48) 32.36 (24.11) 1,200,247 (1.05) 44.27 .47 1,556,534 (6.08) 45.19 21.37 1,545,021 (3.07) 42.53 24.82 1,316,051 (6.65) 36.78 32.70 996,880 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE ------------------------------------------------------------------------------- 2.64 2.64 (.32) 33.52 2.47 2.47 (.40) 112.82 2.36 2.36 (.44) 119.47 2.31 2.31 (.22) 99.20 2.10 2.10 .10 137.94 ------------------------------------------------------------------------------- 1.89 1.89 .43 33.52 1.73 1.73 .29 112.82 1.61 1.61 .30 119.47 1.56 1.56 .53 99.20 1.35 1.35 .80 137.94 1.42 1.42 .90 149.63 1.74 1.74 .77 139.33 ------------------------------------------------------------------------------- 1.64 1.64 .67 33.52 1.48 1.48 .52 112.82 1.37 1.37 .57 119.47 1.31 1.31 .79 99.20 1.11 1.11 1.03 137.94 1.01 1.01 1.30 149.63 1.04 1.04 1.51 139.33 ------------------------------------------------------------------------------- 2.03 2.03 (.25) 41.46 2.02 2.02 (.49) 71.10 1.98 1.98 (.57) 85.00 1.92 1.92 (.60) 59.25 1.93 1.93 (.47) 89.52 ------------------------------------------------------------------------------- 1.28 1.28 .50 41.46 1.27 1.27 .24 71.10 1.22 1.22 .18 85.00 1.17 1.17 .15 59.25 1.18 1.18 .28 89.52 1.31 1.31 .30 77.23 1.59 1.59 .33 87.67 ------------------------------------------------------------------------------- 1.03 1.03 .75 41.46 1.02 1.02 .48 71.10 .98 .98 .43 85.00 .92 .92 .42 59.25 .93 .93 .53 89.52 .91 .91 .69 77.23 .91 .91 1.04 87.67 -------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 145 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- INTERNATIONAL SECURITIES FUND Class C April 30, 2003 (1) 38.51 (.01) .30 .29 October 31, 2002 44.53 (.18) (5.84) (6.02) October 31, 2001 62.46 (.19) (14.94) (15.13) October 31, 2000 (2) 74.51 .17 (9.68) (9.51) December 31, 1999 (6) 60.66 (.32) 17.92 17.60 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 39.61 .13 .30 .43 October 31, 2002 45.47 .13 (5.99) (5.86) October 31, 2001 63.24 .21 (15.18) (14.97) October 31, 2000 (2) 74.95 .57 (9.74) (9.17) December 31, 1999 60.68 .40 17.72 18.12 December 31, 1998 54.64 .28 6.53 6.81 December 31, 1997 58.47 .35 (.64) (.29) -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 39.98 .18 .32 .50 October 31, 2002 45.78 .25 (6.05) (5.80) October 31, 2001 63.51 .34 (15.26) (14.92) October 31, 2000 (2) 75.11 .76 (9.82) (9.06) December 31, 1999 60.86 .51 17.82 18.33 December 31, 1998 54.69 .69 6.32 7.01 December 31, 1997 58.48 .56 (.46) .10 -------------------------------------------------------------------------------------------------------------- EMERGING MARKETS FUND Class C April 30, 2003 (1) 7.22 (.02) .46 .44 October 31, 2002 6.89 (.09) .42 .33 October 31, 2001 9.15 (.04) (2.22) (2.26) October 31, 2000 (2) 12.47 (.10) (3.20) (3.30) December 31, 1999 (6) 8.07 (.12) 4.57 4.45 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 7.41 .01 .45 .46 October 31, 2002 7.01 (.02) .42 .40 October 31, 2001 9.24 .02 (2.25) (2.23) October 31, 2000 (2) 12.51 (.03) (3.20) (3.23) December 31, 1999 8.48 (.04) 4.14 4.10 December 31, 1998 (5) 7.37 (.02) 1.13 1.11 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 7.43 .02 .46 .48 October 31, 2002 7.05 --(e) .40 .40 October 31, 2001 9.25 .04 (2.24) (2.20) October 31, 2000 (2) 12.52 --(e) (3.21) (3.21) December 31, 1999 8.48 .03 4.10 4.13 December 31, 1998 11.79 .12 (3.35) (3.23) December 31, 1997 12.35 .14 (.56) (.42) -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ----------------------------------------------------------------------------------------- INTERNATIONAL SECURITIES FUND Class C April 30, 2003 (1) (.21) -- -- October 31, 2002 -- -- -- October 31, 2001 -- (2.80) -- October 31, 2000 (2) -- (2.54) -- December 31, 1999 (6) (.17) (3.58) -- ----------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.41) -- -- October 31, 2002 -- -- -- October 31, 2001 -- (2.80) -- October 31, 2000 (2) -- (2.54) -- December 31, 1999 (.27) (3.58) -- December 31, 1998 (.57) (.20) -- December 31, 1997 (.29) (3.25) -- ----------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.51) -- -- October 31, 2002 -- -- -- October 31, 2001 (.01) (2.80) -- October 31, 2000 (2) -- (2.54) -- December 31, 1999 (.50) (3.58) -- December 31, 1998 (.64) (.20) -- December 31, 1997 (.64) (3.25) -- ----------------------------------------------------------------------------------------- EMERGING MARKETS FUND Class C April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 -- -- -- October 31, 2000 (2) (.02) -- -- December 31, 1999 (6) (.05) -- -- ----------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.01) -- -- October 31, 2002 -- -- -- October 31, 2001 -- -- -- October 31, 2000 (2) (.04) -- -- December 31, 1999 (.07) -- -- December 31, 1998 (5) -- -- -- ----------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.04) -- -- October 31, 2002 (.02) -- -- October 31, 2001 -- -- -- October 31, 2000 (2) (.06) -- -- December 31, 1999 (.09) -- -- December 31, 1998 (.08) -- -- December 31, 1997 (.14) -- -- -----------------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 146 Frank Russell Investment Company Russell Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.21) 38.59 .75 27,813 -- 38.51 (13.52) 21,860 (2.80) 44.53 (25.29) 12,470 (2.54) 62.46 (13.13) 11,849 (3.75) 74.51 29.39 7,522 ----------------------------------------------------------------------------- (.41) 39.63 1.13 19,184 -- 39.61 (12.91) 16,796 (2.80) 45.47 (24.70) 15,897 (2.54) 63.24 (12.58) 9,964 (3.85) 74.95 30.21 5,552 (.77) 60.68 12.53 4,431 (3.54) 54.64 (.41) 1,271 ----------------------------------------------------------------------------- (.51) 39.97 1.28 875,926 -- 39.98 (12.67) 774,146 (2.81) 45.78 (24.51) 812,857 (2.54) 63.51 (12.40) 1,061,171 (4.08) 75.11 30.52 1,133,495 (.84) 60.86 12.90 940,779 (3.89) 54.69 .26 839,767 ----------------------------------------------------------------------------- -- 7.66 5.95 6,798 -- 7.22 4.94 5,194 -- 6.89 (24.70) 2,377 (.02) 9.15 (26.51) 2,228 (.05) 12.47 55.43 1,631 ----------------------------------------------------------------------------- (.01) 7.86 6.23 7,215 -- 7.41 5.71 6,478 -- 7.01 (24.13) 6,959 (.04) 9.24 (25.90) 6,388 (.07) 12.51 48.71 6,314 -- 8.48 15.06 39 ----------------------------------------------------------------------------- (.04) 7.87 6.27 290,646 (.02) 7.43 5.91 263,563 -- 7.05 (23.89) 273,486 (.06) 9.25 (25.79) 359,201 (.09) 12.52 49.03 430,794 (.08) 8.48 (27.57) 294,349 (.14) 11.79 (3.45) 333,052 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE ------------------------------------------------------------------------------- 2.49 2.49 (.04) 35.66 2.46 2.46 (.42) 79.09 2.41 2.41 (.36) 104.65 2.29 2.30 .30 101.84 2.30 2.30 (.51) 120.52 ------------------------------------------------------------------------------- 1.74 1.74 .70 35.66 1.72 1.72 .30 79.09 1.66 1.66 .41 104.65 1.54 1.55 1.00 101.84 1.55 1.55 .61 120.52 1.64 1.64 .49 68.46 1.96 1.96 .19 73.54 ------------------------------------------------------------------------------- 1.49 1.49 .94 35.66 1.47 1.47 .55 79.09 1.42 1.42 .62 104.65 1.29 1.30 1.31 101.84 1.30 1.30 .79 120.52 1.22 1.22 1.15 68.46 1.26 1.26 .91 73.54 ------------------------------------------------------------------------------- 3.27 3.27 (.47) 41.74 3.12 3.12 (1.08) 90.21 3.08 3.09 (.55) 83.74 2.91 2.92 (1.02) 73.11 2.91 2.91 (1.23) 94.85 ------------------------------------------------------------------------------- 2.52 2.52 .28 41.74 2.38 2.38 (.29) 90.21 2.33 2.33 .21 83.74 2.16 2.17 (.30) 73.11 2.17 2.17 (.40) 94.85 --(d) --(d) --(d) 59.35 ------------------------------------------------------------------------------- 2.27 2.27 .54 41.74 2.14 2.14 (.02) 90.21 2.09 2.09 .44 83.74 1.91 1.92 (.02) 73.11 1.91 1.91 .26 94.85 1.75 1.75 1.20 59.35 1.64 1.64 .87 50.60 -------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 147 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- REAL ESTATE FUND Class C April 30, 2003 (1) 26.52 .59 2.40 2.99 October 31, 2002 26.97 1.07 (.01) 1.06 October 31, 2001 25.93 1.16 1.02 2.18 October 31, 2000 (2) 22.69 .84 3.11 3.95 December 31, 1999 (6) 24.13 1.08 (1.06) .02 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 26.72 .71 2.40 3.11 October 31, 2002 27.14 1.32 (.06) 1.26 October 31, 2001 26.07 1.38 1.03 2.41 October 31, 2000 (2) 22.76 .98 3.14 4.12 December 31, 1999 24.27 1.28 (1.24) .04 December 31, 1998 31.02 1.26 (6.12) (4.86) December 31, 1997 29.18 1.14 3.95 5.09 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 26.89 .75 2.43 3.18 October 31, 2002 27.31 1.41 (.06) 1.35 October 31, 2001 26.22 1.46 1.03 2.49 October 31, 2000 (2) 22.86 1.04 3.15 4.19 December 31, 1999 24.44 1.30 (1.20) .10 December 31, 1998 30.86 1.34 (6.13) (4.79) December 31, 1997 29.19 1.36 3.93 5.29 -------------------------------------------------------------------------------------------------------------- SHORT TERM BOND FUND Class C April 30, 2003 (1) 18.98 .21 .16 .37 October 31, 2002 19.01 .56 .13 .69 October 31, 2001 18.23 .85 .89 1.74 October 31, 2000 (2) 18.13 .79 .04 .83 December 31, 1999 (8) 18.36 .68 (.31) .37 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 19.04 .28 .15 .43 October 31, 2002 19.02 .77 .06 .83 October 31, 2001 18.24 1.02 .85 1.87 October 31, 2000 (2) 18.08 .88 .07 .95 December 31, 1999 (7) 18.51 .80 (.34) .46 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 19.01 .30 .16 .46 October 31, 2002 18.99 .80 .08 .88 October 31, 2001 18.22 1.07 .83 1.90 October 31, 2000 (2) 18.03 .91 .09 1.00 December 31, 1999 18.46 .90 (.36) .54 December 31, 1998 18.35 .99 .11 1.10 December 31, 1997 18.36 1.08 -- 1.08 -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ----------------------------------------------------------------------------------------- REAL ESTATE FUND Class C April 30, 2003 (1) (.59) -- -- October 31, 2002 (1.51) -- -- October 31, 2001 (1.14) -- -- October 31, 2000 (2) (.71) -- -- December 31, 1999 (6) (1.46) -- -- ----------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.68) -- -- October 31, 2002 (1.68) -- -- October 31, 2001 (1.34) -- -- October 31, 2000 (2) (.81) -- -- December 31, 1999 (1.55) -- -- December 31, 1998 (1.43) (.46) -- December 31, 1997 (1.04) (2.21) -- ----------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.70) -- -- October 31, 2002 (1.77) -- -- October 31, 2001 (1.40) -- -- October 31, 2000 (2) (.83) -- -- December 31, 1999 (1.68) -- -- December 31, 1998 (1.17) (.46) -- December 31, 1997 (1.41) (2.21) -- ----------------------------------------------------------------------------------------- SHORT TERM BOND FUND Class C April 30, 2003 (1) (.28) -- -- October 31, 2002 (.72) -- -- October 31, 2001 (.96) -- -- October 31, 2000 (2) (.73) -- -- December 31, 1999 (8) (.60) -- -- ----------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.34) -- -- October 31, 2002 (.81) -- -- October 31, 2001 (1.09) -- -- October 31, 2000 (2) (.79) -- -- December 31, 1999 (7) (.89) -- -- ----------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.36) -- -- October 31, 2002 (.86) -- -- October 31, 2001 (1.13) -- -- October 31, 2000 (2) (.81) -- -- December 31, 1999 (.97) -- -- December 31, 1998 (.99) -- -- December 31, 1997 (1.09) -- -- -----------------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 148 Frank Russell Investment Company Russell Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.59) 28.92 11.36 20,882 (1.51) 26.52 3.56 15,712 (1.14) 26.97 8.41 5,718 (.71) 25.93 17.54 3,393 (1.46) 22.69 .19 1,771 ----------------------------------------------------------------------------- (.68) 29.15 11.74 11,775 (1.68) 26.72 4.27 10,661 (1.34) 27.14 9.23 11,415 (.81) 26.07 18.24 9,094 (1.55) 22.76 .30 7,134 (1.89) 24.27 (16.25) 843 (3.25) 31.02 18.20 388 ----------------------------------------------------------------------------- (.70) 29.37 11.91 662,506 (1.77) 26.89 4.55 598,133 (1.40) 27.31 9.48 607,280 (.83) 26.22 18.53 669,529 (1.68) 22.86 .55 589,300 (1.63) 24.44 (15.94) 576,326 (3.62) 30.86 18.99 615,483 ----------------------------------------------------------------------------- (.28) 19.07 1.94 30,812 (.72) 18.98 3.73 16,294 (.96) 19.01 9.77 1,709 (.73) 18.23 4.67 672 (.60) 18.13 2.02 801 ----------------------------------------------------------------------------- (.34) 19.13 2.28 18,764 (.81) 19.04 4.53 17,516 (1.09) 19.02 10.54 17,685 (.79) 18.24 5.36 9,898 (.89) 18.08 2.53 8,693 ----------------------------------------------------------------------------- (.36) 19.11 2.46 855,844 (.86) 19.01 4.81 599,795 (1.13) 18.99 10.76 401,137 (.81) 18.22 5.64 422,884 (.97) 18.03 3.03 447,590 (.99) 18.46 6.09 260,539 (1.09) 18.35 6.02 229,470 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE -------------------------------------------------------------------------------- 2.20 2.56 4.33 31.95 2.19 2.59 3.74 67.70 2.17 2.17 4.20 44.50 2.16 2.16 4.06 53.30 2.14 2.14 5.12 42.69 -------------------------------------------------------------------------------- 1.45 1.77 5.14 31.95 1.46 1.82 4.54 67.70 1.42 1.42 4.96 44.50 1.41 1.41 4.78 53.30 1.39 1.39 5.42 42.69 1.47 1.47 4.90 42.58 1.71 1.71 3.94 49.40 -------------------------------------------------------------------------------- 1.20 1.20 5.36 31.95 1.19 1.19 4.82 67.70 1.17 1.18 5.19 44.50 1.16 1.16 5.00 53.30 1.14 1.14 5.41 42.69 1.05 1.05 4.93 42.58 1.02 1.02 4.57 49.40 -------------------------------------------------------------------------------- 1.54 1.65 2.20 51.49 1.52 1.70 3.08 163.86 1.52 1.66 4.72 260.94 1.64 1.66 5.01 92.31 1.72 1.72 4.41 177.08 -------------------------------------------------------------------------------- .79 .94 3.01 51.49 .77 .96 4.04 163.86 .77 .91 5.48 260.94 .89 .91 5.77 92.31 .97 .97 5.05 177.08 -------------------------------------------------------------------------------- .54 .67 3.22 51.49 .52 .71 4.26 163.86 .52 .67 5.76 260.94 .64 .66 6.00 92.31 .74 .74 5.22 177.08 .66 .66 5.37 129.85 .66 .66 5.70 213.14 --------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 149 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- DIVERSIFIED BOND FUND Class C April 30, 2003 (1) 24.68 .28 .57 .85 October 31, 2002 24.49 .72 .25 .97 October 31, 2001 22.71 1.06 1.81 2.87 October 31, 2000 (2) 22.24 .99 .41 1.40 December 31, 1999 (6) 24.00 1.03 (1.61) (.58) -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 24.74 .37 .57 .94 October 31, 2002 24.54 .91 .25 1.16 October 31, 2001 22.75 1.22 1.84 3.06 October 31, 2000 (2) 22.23 1.13 .44 1.57 December 31, 1999 23.92 1.30 (1.65) (.35) December 31, 1998 24.06 1.32 .45 1.77 December 31, 1997 22.98 1.22 .66 1.88 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 24.21 .39 .56 .95 October 31, 2002 24.03 .95 .25 1.20 October 31, 2001 22.31 1.29 1.75 3.04 October 31, 2000 (2) 21.77 1.16 .41 1.57 December 31, 1999 23.53 1.31 (1.60) (.29) December 31, 1998 23.43 1.38 .47 1.85 December 31, 1997 22.97 1.45 .56 2.01 -------------------------------------------------------------------------------------------------------------- MULTISTRATEGY BOND FUND Class C April 30, 2003 (1) 10.03 .13 .48 .61 October 31, 2002 10.20 .33(f) (.07)(f) .26 October 31, 2001 9.60 .46 .62 1.08 October 31, 2000 (2) 9.47 .44 .09 .53 December 31, 1999 (6) 10.14 .42 (.63) (.21) -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 10.03 .17 .48 .65 October 31, 2002 10.21 .40(f) (.08)(f) .32 October 31, 2001 9.61 .53 .62 1.15 October 31, 2000 (2) 9.47 .49 .11 .60 December 31, 1999 10.10 .56 (.66) (.10) December 31, 1998 (4) 10.30 .16 .07 .23 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 10.04 .18 .48 .66 October 31, 2002 10.22 .42(f) (.07)(f) .35 October 31, 2001 9.61 .56 .63 1.19 October 31, 2000 (2) 9.46 .52 .08 .60 December 31, 1999 10.11 .57 (.65) (.08) December 31, 1998 10.26 .60 .08 .68 December 31, 1997 10.11 .60 .33 .93 -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ----------------------------------------------------------------------------------------- DIVERSIFIED BOND FUND Class C April 30, 2003 (1) (.28) (.56) -- October 31, 2002 (.78) -- -- October 31, 2001 (1.09) -- -- October 31, 2000 (2) (.93) -- -- December 31, 1999 (6) (1.05) (.13) -- ----------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.37) (.56) -- October 31, 2002 (.96) -- -- October 31, 2001 (1.27) -- -- October 31, 2000 (2) (1.05) -- -- December 31, 1999 (1.21) (.13) -- December 31, 1998 (1.56) (.35) -- December 31, 1997 (.72) (.08) -- ----------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.40) (.56) -- October 31, 2002 (1.02) -- -- October 31, 2001 (1.32) -- -- October 31, 2000 (2) (1.03) -- -- December 31, 1999 (1.32) (.13) (.02) December 31, 1998 (1.40) (.35) -- December 31, 1997 (1.47) (.08) -- ----------------------------------------------------------------------------------------- MULTISTRATEGY BOND FUND Class C April 30, 2003 (1) (.13) -- -- October 31, 2002 (.43) -- -- October 31, 2001 (.48) -- -- October 31, 2000 (2) (.40) -- -- December 31, 1999 (6) (.45) (.01) -- ----------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.17) -- -- October 31, 2002 (.50) -- -- October 31, 2001 (.55) -- -- October 31, 2000 (2) (.46) -- -- December 31, 1999 (.52) (.01) -- December 31, 1998 (4) (.20) (.23) -- ----------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.18) -- -- October 31, 2002 (.53) -- -- October 31, 2001 (.58) -- -- October 31, 2000 (2) (.45) -- -- December 31, 1999 (.56) (.01) -- December 31, 1998 (.60) (.23) -- December 31, 1997 (.61) (.17) -- -----------------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 150 Frank Russell Investment Company Russell Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.84) 24.69 3.56 31,706 (.78) 24.68 4.11 26,915 (1.09) 24.49 13.02 15,027 (.93) 22.71 6.44 7,315 (1.18) 22.24 (2.47) 4,652 ----------------------------------------------------------------------------- (.93) 24.75 3.92 30,693 (.96) 24.74 4.90 26,985 (1.27) 24.54 13.87 17,763 (1.05) 22.75 7.25 5,492 (1.34) 22.23 (1.51) 3,639 (1.91) 23.92 7.63 4,703 (.80) 24.06 8.35 2,469 ----------------------------------------------------------------------------- (.96) 24.20 4.05 910,784 (1.02) 24.21 5.18 783,332 (1.32) 24.03 14.11 745,020 (1.03) 22.31 7.40 714,153 (1.47) 21.77 (1.26) 765,674 (1.75) 23.53 8.09 808,761 (1.55) 23.43 9.09 687,331 ----------------------------------------------------------------------------- (.13) 10.51 6.18 30,343 (.43) 10.03 2.71 24,569 (.48) 10.20 11.58 15,926 (.40) 9.60 5.77 10,879 (.46) 9.47 (2.10) 6,666 ----------------------------------------------------------------------------- (.17) 10.51 6.55 13,728 (.50) 10.03 3.36 14,017 (.55) 10.21 12.40 12,675 (.46) 9.61 6.46 6,182 (.53) 9.47 (1.08) 3,248 (.43) 10.10 1.89 2,610 ----------------------------------------------------------------------------- (.18) 10.52 6.68 653,025 (.53) 10.04 3.72 595,577 (.58) 10.22 12.68 622,518 (.45) 9.61 6.56 593,020 (.57) 9.46 (.81) 556,703 (.83) 10.11 6.79 547,747 (.78) 10.26 9.50 437,312 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE -------------------------------------------------------------------------------- 1.66 1.67 2.29 75.33 1.66 1.66 3.02 156.21 1.64 1.64 4.53 155.87 1.62 1.63 5.37 128.88 1.62 1.62 4.88 152.23 -------------------------------------------------------------------------------- .91 .92 3.04 75.33 .91 .91 3.78 156.21 .89 .89 5.22 155.87 .87 .88 6.13 128.88 .87 .87 5.49 152.23 .98 .98 5.42 216.88 1.29 1.29 5.64 172.43 -------------------------------------------------------------------------------- .66 .67 3.29 75.33 .66 .66 4.04 156.21 .64 .65 5.60 155.87 .62 .63 6.35 128.88 .61 .61 5.78 152.23 .57 .57 5.83 216.88 .60 .60 6.35 172.43 -------------------------------------------------------------------------------- 1.93 1.94 2.59 139.83 1.85 1.85 3.34(f) 252.09 1.89 1.89 4.63 176.44 1.86 1.90 5.56 105.03 1.80 1.84 4.80 134.11 -------------------------------------------------------------------------------- 1.18 1.18 3.35 139.83 1.17 1.17 4.02(f) 252.09 1.14 1.14 5.33 176.44 1.11 1.15 6.31 105.03 1.05 1.11 5.54 134.11 --(d) --(d) --(d) 334.86 -------------------------------------------------------------------------------- .93 .93 3.60 139.83 .92 .92 4.27(f) 252.09 .89 .89 5.66 176.44 .86 .90 6.54 105.03 .80 .86 5.79 134.11 .80 .81 5.76 334.86 .80 .83 5.93 263.75 --------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 151 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- TAX EXEMPT BOND FUND Class C April 30, 2003 (1) 21.94 .30 .21 .51 October 31, 2002 21.76 .60 .22 .82 October 31, 2001 20.83 .68 .95 1.63 October 31, 2000 (2) 20.45 .59 .32 .91 December 31, 1999 (9) 21.38 .45 (.84) (.39) -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 21.99 .38 .21 .59 October 31, 2002 21.81 .78 .18 .96 October 31, 2001 20.87 .84 .95 1.79 October 31, 2000 (2) 20.47 .71 .33 1.04 December 31, 1999 (10) 21.19 .50 (.71) (.21) -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 21.96 .40 .22 .62 October 31, 2002 21.79 .83 .18 1.01 October 31, 2001 20.84 .89 .96 1.85 October 31, 2000 (2) 20.42 .75 .33 1.08 December 31, 1999 21.39 .84 (.95) (.11) December 31, 1998 21.19 .81 .19 1.00 December 31, 1997 21.02 .84 .18 1.02 -------------------------------------------------------------------------------------------------------------- TAX MANAGED LARGE CAP FUND Class C April 30, 2003 (1) 12.61 (.01) .57 .56 October 31, 2002 15.60 (.06) (2.93) (2.99) October 31, 2001 20.68 (.10) (4.98) (5.08) October 31, 2000 (2) 21.17 (.10) (.39) (.49) December 31, 1999 (11) 20.92 --(e) .35 .35 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 12.83 .03 .60 .63 October 31, 2002 15.78 .05 (2.95) (2.90) October 31, 2001 (12) 20.10 .03 (4.25) (4.22) -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 12.87 .05 .58 .63 October 31, 2002 15.81 .09 (2.95) (2.86) October 31, 2001 20.87 .08 (5.04) (4.96) October 31, 2000 (2) 21.17 .08 (.37) (.29) December 31, 1999 18.26 .14 2.88 3.02 December 31, 1998 13.90 .10 4.35 4.45 December 31, 1997 10.61 .08 3.28 3.36 -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL --------------------------------------------------------------------------------------- TAX EXEMPT BOND FUND Class C April 30, 2003 (1) (.30) -- -- October 31, 2002 (.64) -- -- October 31, 2001 (.70) -- -- October 31, 2000 (2) (.53) -- -- December 31, 1999 (9) (.54) -- -- --------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.37) -- -- October 31, 2002 (.78) -- -- October 31, 2001 (.85) -- -- October 31, 2000 (2) (.64) -- -- December 31, 1999 (10) (.51) -- -- --------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.40) -- -- October 31, 2002 (.84) -- -- October 31, 2001 (.90) -- -- October 31, 2000 (2) (.66) -- -- December 31, 1999 (.86) -- -- December 31, 1998 (.80) -- -- December 31, 1997 (.85) -- -- --------------------------------------------------------------------------------------- TAX MANAGED LARGE CAP FUND Class C April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 -- -- -- October 31, 2000 (2) -- -- -- December 31, 1999 (11) (.10) -- -- --------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.09) -- -- October 31, 2002 (.05) -- -- October 31, 2001 (12) (.10) -- -- --------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.11) -- -- October 31, 2002 (.08) -- -- October 31, 2001 (.10) -- -- October 31, 2000 (2) (.01) -- -- December 31, 1999 (.11) -- -- December 31, 1998 (.08) (.01) -- December 31, 1997 (.07) -- -- ---------------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 152 Frank Russell Investment Company Russell Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.30) 22.15 2.35 9,230 (.64) 21.94 3.84 7,179 (.70) 21.76 7.95 2,248 (.53) 20.83 4.53 780 (.54) 20.45 (1.82) 474 ----------------------------------------------------------------------------- (.37) 22.21 2.73 5,334 (.78) 21.99 4.54 5,051 (.85) 21.81 8.77 6,398 (.64) 20.87 5.17 3,445 (.51) 20.47 (.99) 2,854 ----------------------------------------------------------------------------- (.40) 22.18 2.86 145,590 (.84) 21.96 4.77 148,675 (.90) 21.79 9.09 140,352 (.66) 20.84 5.37 129,084 (.86) 20.42 (.52) 123,960 (.80) 21.39 4.82 128,959 (.85) 21.19 4.92 83,076 ----------------------------------------------------------------------------- -- 13.17 4.44 8,379 -- 12.61 (19.17) 7,740 -- 15.60 (24.57) 7,611 -- 20.68 (2.30) 6,596 (.10) 21.17 2.24 308 ----------------------------------------------------------------------------- (.09) 13.37 4.90 2,954 (.05) 12.83 (18.47) 2,618 (.10) 15.78 (21.10) 3,359 ----------------------------------------------------------------------------- (.11) 13.39 4.95 317,658 (.08) 12.87 (18.21) 345,335 (.10) 15.81 (23.86) 448,557 (.01) 20.87 (1.39) 674,460 (.11) 21.17 16.57 566,001 (.09) 18.26 32.08 305,452 (.07) 13.90 31.73 109,735 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE ------------------------------------------------------------------------------- 1.56 1.56 2.71 20.90 1.56 1.56 2.82 39.83 1.53 1.53 3.18 31.16 1.64 1.64 3.48 38.16 1.57 1.57 3.12 119.34 ------------------------------------------------------------------------------- .81 .81 3.46 20.90 .83 .83 3.57 39.83 .78 .78 3.93 31.16 .89 .89 4.08 38.16 .82 .82 3.76 119.34 ------------------------------------------------------------------------------- .56 .56 3.71 20.90 .57 .57 3.84 39.83 .53 .53 4.21 31.16 .64 .64 4.32 38.16 .57 .57 3.99 119.34 .72 .72 3.80 74.42 .71 .71 3.99 40.79 ------------------------------------------------------------------------------- 1.94 1.94 (.22) 23.17 1.91 1.91 (.40) 65.39 1.88 1.88 (.56) 52.57 1.86 1.86 (.58) 43.48 1.57 1.57 (.28) 48.35 ------------------------------------------------------------------------------- 1.19 1.19 .53 23.17 1.16 1.16 .36 65.39 1.15 1.15 .16 52.57 ------------------------------------------------------------------------------- .95 .95 .78 23.17 .91 .91 .58 65.39 .88 .88 .45 52.57 .86 .86 .46 43.48 .85 .85 .71 48.35 .99 .99 .61 50.59 1.00 1.08 .92 39.23 -------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 153 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- TAX MANAGED MID & SMALL CAP FUND Class C April 30, 2003 (1) 7.12 (.03) .36 .33 October 31, 2002 7.88 (.09) (.67) (.76) October 31, 2001 11.07 .12 (3.31) (3.19) October 31, 2000 (2) 10.71 (.10) .47 .37 December 31, 1999 (11) 10.00 --(e) .71 .71 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 7.28 (.01) .37 .36 October 31, 2002 8.00 (.03) (.69) (.72) October 31, 2001 (12) 10.00 (.01) (1.99) (2.00) -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 7.31 --(e) .37 .37 October 31, 2002 8.02 (.01) (.69) (.70) October 31, 2001 11.15 .01 (3.14) (3.13) October 31, 2000 (2) 10.73 --(e) .43 .43 December 31, 1999 10.00 .01 .72 .73 -------------------------------------------------------------------------------------------------------------- SELECT GROWTH FUND Class C April 30, 2003 (1) 5.23 (.04) .30 .26 October 31, 2002 6.65 (.10) (1.32) (1.42) October 31, 2001 (13) 10.00 (.08) (3.27) (3.35) -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 5.31 (.02) .31 .29 October 31, 2002 6.68 (.04) (1.33) (1.37) October 31, 2001 (13) 10.00 (.02) (3.30) (3.32) -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 5.35 (.01) .31 .30 October 31, 2002 6.71 (.02) (1.34) (1.36) October 31, 2001 (13) 10.00 --(e) (3.29) (3.29) -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 5.34 (.01) .30 .29 October 31, 2002 6.71 (.02) (1.35) (1.37) October 31, 2001 (13) 10.00 --(e) (3.29) (3.29) -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ---------------------------------------------------------------------------------------- TAX MANAGED MID & SMALL CAP FUND Class C April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 -- -- -- October 31, 2000 (2) (.01) -- -- December 31, 1999 (11) -- -- -- ---------------------------------------------------------------------------------------- Class E April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 (12) -- -- -- ---------------------------------------------------------------------------------------- Class S April 30, 2003 (1) -- -- -- October 31, 2002 (.01) -- -- October 31, 2001 -- -- -- October 31, 2000 (2) (.01) -- -- December 31, 1999 -- -- -- ---------------------------------------------------------------------------------------- SELECT GROWTH FUND Class C April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 (13) -- -- -- ---------------------------------------------------------------------------------------- Class E April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 (13) -- -- -- ---------------------------------------------------------------------------------------- Class I April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 (13) -- -- -- ---------------------------------------------------------------------------------------- Class S April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 (13) -- -- -- ----------------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 154 Frank Russell Investment Company Russell Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ------------------------------------------------------------------------------------ -- 7.45 4.64 3,767 -- 7.12 (9.65) 3,450 -- 7.88 (28.88) 2,688 (.01) 11.07 3.52 2,414 -- 10.71 7.10 222 ------------------------------------------------------------------------------------ -- 7.64 4.95 1,037 -- 7.28 (9.00) 885 -- 8.00 (20.00) 837 ------------------------------------------------------------------------------------ -- 7.68 5.06 86,306 (.01) 7.31 (8.77) 82,523 -- 8.02 (28.14) 90,095 (.01) 11.15 4.08 105,630 -- 10.73 7.30 29,053 ------------------------------------------------------------------------------------ -- 5.49 4.97 1,574 -- 5.23 (21.35) 1,341 -- 6.65 (33.50) 1,017 ------------------------------------------------------------------------------------ -- 5.60 5.46 3,005 -- 5.31 (20.51) 2,814 -- 6.68 (33.20) 2,714 ------------------------------------------------------------------------------------ -- 5.65 5.61 22,692 -- 5.35 (20.27) 18,150 -- 6.71 (32.90) 21,044 ------------------------------------------------------------------------------------ -- 5.63 5.43 26,595 -- 5.34 (20.42) 24,389 -- 6.71 (32.90) 24,072 ------------------------------------------------------------------------------------ % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE -------------------------------------------------------------------------------------- 2.25 2.54 (.98) 29.96 2.25 2.53 (1.12) 89.13 2.25 2.54 (.93) 105.31 2.25 2.77 (1.05) 71.20 2.18 8.78 .73 3.33 -------------------------------------------------------------------------------------- 1.50 1.78 (.23) 29.96 1.50 1.78 (.37) 89.13 1.50 1.84 (.16) 105.31 -------------------------------------------------------------------------------------- 1.25 1.54 .02 29.96 1.25 1.53 (.13) 89.13 1.25 1.54 .07 105.31 1.25 1.85 (.04) 71.20 1.25 7.95 1.92 3.33 -------------------------------------------------------------------------------------- 2.17 2.86 (1.58) 88.25 2.11 2.82 (1.53) 212.37 2.17 2.97 (1.32) 169.36 -------------------------------------------------------------------------------------- 1.25 1.89 (.65) 88.25 1.16 1.87 (.58) 212.37 1.29 2.05 (.45) 169.36 -------------------------------------------------------------------------------------- .91 1.65 (.31) 88.25 .89 1.65 (.31) 212.37 .89 1.75 (.03) 169.36 -------------------------------------------------------------------------------------- 1.02 1.66 (.42) 88.25 .97 1.68 (.39) 212.37 .94 1.74 (.09) 169.36 --------------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 155 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- SELECT VALUE FUND Class C April 30, 2003 (1) 7.41 --(e) .21 .21 October 31, 2002 8.51 (.02) (1.07) (1.09) October 31, 2001 (13) 10.00 --(e) (1.48) (1.48) -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 7.46 .03 .21 .24 October 31, 2002 8.53 .06 (1.07) (1.01) October 31, 2001 (13) 10.00 .05 (1.48) (1.43) -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 7.46 .04 .21 .25 October 31, 2002 8.54 .08 (1.07) (.99) October 31, 2001 (13) 10.00 .09 (1.48) (1.39) -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 7.45 .04 .21 .25 October 31, 2002 8.53 .07 (1.07) (1.00) October 31, 2001 (13) 10.00 .08 (1.48) (1.40) $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ---------------------------------------------------------------------------------------- SELECT VALUE FUND Class C April 30, 2003 (1) (.01) -- -- October 31, 2002 (.01) -- -- October 31, 2001 (13) (.01) -- -- ---------------------------------------------------------------------------------------- Class E April 30, 2003 (1) (.03) -- -- October 31, 2002 (.06) -- -- October 31, 2001 (13) (.04) -- -- ---------------------------------------------------------------------------------------- Class I April 30, 2003 (1) (.04) -- -- October 31, 2002 (.09) -- -- October 31, 2001 (13) (.07) -- -- ---------------------------------------------------------------------------------------- Class S April 30, 2003 (1) (.04) -- -- October 31, 2002 (.08) -- -- October 31, 2001 (13) (.07) -- --
See accompanying notes which are an integral part of the financial statements. 156 Frank Russell Investment Company Russell Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.01) 7.61 2.81 2,350 (.01) 7.41 (12.82) 2,061 (.01) 8.51 (14.76) 1,844 ----------------------------------------------------------------------------- (.03) 7.67 3.20 3,518 (.06) 7.46 (11.86) 3,314 (.04) 8.53 (14.33) 3,155 ----------------------------------------------------------------------------- (.04) 7.67 3.34 26,896 (.09) 7.46 (11.72) 35,169 (.07) 8.54 (13.92) 28,983 ----------------------------------------------------------------------------- (.04) 7.66 3.31 31,789 (.08) 7.45 (11.78) 31,806 (.07) 8.53 (14.04) 31,288 % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE ------------------------------------------------------------------------------- 2.08 2.43 (.10) 52.28 2.00 2.40 (.27) 92.95 2.00 2.64 -- 71.75 ------------------------------------------------------------------------------- 1.17 1.53 .81 52.28 1.04 1.43 .70 92.95 1.25 1.85 .76 71.75 ------------------------------------------------------------------------------- .84 1.24 1.15 52.28 .79 1.22 .95 92.95 .79 1.48 1.25 71.75 ------------------------------------------------------------------------------- .96 1.31 1.03 52.28 .87 1.27 .86 92.95 .86 1.50 1.18 71.75
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Russell Funds 157 NOTES TO FINANCIAL HIGHLIGHTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- RUSSELL FUNDS (1) For the six months ended April 30, 2003 (Unaudited). (2) For the ten months ended October 31, 2000. (3) For the period May 27, 1997 (commencement of sale) to December 31, 1997. (4) For the period September 11, 1998 (commencement of sale) to December 31, 1998. (5) For the period September 22, 1998 (commencement of sale) to December 31, 1998. (6) For the period January 27, 1999 (commencement of sale) to December 31, 1999. (7) For the period February 18, 1999 (commencement of sale) to December 31, 1999. (8) For the period March 3, 1999 (commencement of sale) to December 31, 1999. (9) For the period March 29, 1999 (commencement of sale) to December 31, 1999. (10) For the period May 14, 1999 (commencement of sale) to December 31, 1999. (11) For the period December 1, 1999 (commencement of operations) to December 31, 1999. (12) For the period December 6, 2000 (commencement of sale) to October 31, 2001. (13) For the period January 31, 2001 (commencement of operations) to October 31, 2001. (a) For the periods subsequent to December 31, 1997, average month-end shares outstanding were used for this calculation. (b) Periods less than one year are not annualized. (c) The ratios for periods less than one year are annualized. (d) The ratio for the period ended December 31, 1998 is not meaningful due to the Class's short period of operation. (e) Less than $.01 per share. (f) Per "Revised AICPA Audit and Accounting Guide", the Funds adopted certain accounting principles that created a reclass between net investment income and net realized and unrealized gain (loss). As a result, the amounts reflected in the Financial Highlights table have been increased (decreased) as follows:
RATIO OF NET NET REALIZED INVESTMENT INCOME NET INVESTMENT AND UNREALIZED TO AVERAGE INCOME (LOSS) GAIN (LOSS) NET ASSETS $ $ % -------------------------------------------------------------------------------------------------------------------- Multistrategy Bond Fund (.02) .02 (.23)
See accompanying notes which are an integral part of the financial statements. 158 Frank Russell Investment Company Russell Funds RUSSELL FUNDS NOTES TO STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- FOOTNOTES: (AE) Nonincome-producing security. (o) Real Estate Investment Trust (REIT). (s) Held as collateral in connection with futures contracts purchased (sold), options written, or swaps entered into by the Fund. (y) Rate noted is yield-to-maturity from date of acquisition. (c) At amortized cost, which approximates market. (E) Adjustable or floating rate security. Rate shown reflects rate in effect at period end. (o) Forward commitment. (p) Perpetual floating rate security. (u) Bond is insured by a guarantor. (ae) Pre-refunded: These bonds are collateralized by US Treasury securities, which are held in escrow by a trustee and used to pay principal and interest in the tax-exempt issue and to retire the bonds in full at the earliest refunding date. The rate noted is for descriptive purposes; effective yield may vary. (ffl) In default. (#) All securities with a maturity date greater than thirteen months have a demand feature or an optional or mandatory put, or are pre-refunded, resulting in an effective maturity of thirteen months or less. Additionally, all daily and weekly demand securities are backed by direct payment letters of credit. (Y) This security has been valued by the Security Valuation Committee. It is possible that the estimated value may differ significantly from the amount that might ultimately be realized. ABBREVIATIONS: ADR - American Depositary Receipt GDR - Global Depositary Receipt ADS - American Depositary Share CMO - Collateralized Mortgage Obligation CVO - Contingent Value Obligation 144A - Represents private placement security for qualified buyers according to rule 144A of the Securities Act of 1933. GDS - Global Depositary Share LIBOR - London Interbank Offered Rate PIK - Payment in Kind FDIC - Federal Deposit Insurance Company REMIC - Real Estate Mortgage Investment Conduit STRIP - Separate Trading of Registered Interest and Principal of Securities TBA - To Be Announced Security FOREIGN CURRENCY ABBREVIATIONS: ARS - Argentine peso GBP - British pound sterling PHP - Philippine peso AUD - Australian dollar HKD - Hong Kong dollar PLN - Polish zloty BRL - Brazilian real HUF - Hungarian forint RUB - Russian ruble CAD - Canadian dollar IDR - Indonesian rupiah SEK - Swedish krona CHF - Swiss franc ILS - Israeli shekel SGD - Singapore dollar CLP - Chilean peso INR - Indian rupee SKK - Slovakian koruna CNY - Chinese renminbi yuan ITL - Italian lira THB - Thai baht COP - Colombian peso JPY - Japanese yen TRL - Turkish lira CRC - Costa Rica colon KES - Kenyan schilling USD - United States dollar CZK - Czech koruna KRW - South Korean won VEB - Venezuelan bolivar DKK - Danish krone MXN - Mexican peso VND - Vietnam dong EGP - Egyptian pound MYR - Malaysian ringgit ZAR - South African rand EUR - Euro PEN - Peruvian nouveau sol
Notes to Statement of Net Assets 159 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION Frank Russell Investment Company (the "Investment Company") is a series mutual fund with 32 different investment portfolios, referred to as "Funds." These financial statements report on fifteen Funds, each of which has distinct investment objectives and strategies. The Investment Company is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. It is organized and operates as a Massachusetts business trust under an amended master trust agreement dated July 26, 1984. The Investment Company's master trust agreement permits the Board of Trustees to issue an unlimited number of full and fractional shares of beneficial interest at a $.01 par value. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds' financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP") which require the use of management estimates. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of these financial statements. Security valuation United States equity and fixed-income securities listed and traded principally on any national securities exchange are valued on the basis of the last sale price or, lacking any sale, at the closing bid price, on the primary exchange on which the security is traded. United States over-the-counter equity and fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Many fixed-income securities do not trade each day and, thus, last sale or bid prices are frequently not available. Fixed-income securities, therefore, may be valued using prices provided by a pricing service when such prices are believed to reflect the fair market value of such securities. The value of swap agreements are equal to the Funds' obligation (or rights) under swap contracts which will generally be equal to the net amounts to be paid or received under the contracts based upon the relative values of the positions held by each party to the contracts. International equity and fixed-income securities traded on a national securities exchange are valued on the basis of the last sale price. International securities traded over the counter are valued on the basis of the mean of bid prices. In the absence of a last sale or mean bid price, respectively, such securities may be valued on the basis of prices provided by a pricing service if those prices are believed to reflect the fair market value of such securities. Short-term investments purchased by the Funds and maturing within 60 days at the time of purchase are valued at "amortized cost" unless the Board of Trustees determines that amortized cost does not represent fair value. The Funds may value certain securities for which market quotations are not readily available at "fair value," as determined in good faith pursuant to procedures established by the Board of Trustees. Investment transactions Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the basis of specific identified cost incurred by each money manager within a particular Fund. Investment income Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. All premiums and discounts, including original issue discounts, are amortized/accreted for using the interest method. Federal income taxes As a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund's shareholders without regard to the income and capital gains (or losses) of the other Funds. It is each Fund's intention to qualify as a regulated investment company and distribute all of its taxable income and capital gains. Therefore, no federal income tax provision was required for the Funds. Dividends and distributions to shareholders For all Funds, income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. Dividends are generally declared and paid quarterly for the equity Funds, annually for the International Securities Fund and monthly for the fixed income Funds. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid 160 Notes to Financial Statements RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- by the Funds to avoid imposition of federal income and excise tax on any remaining undistributed capital gains and net investment income. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from GAAP. As a result, net investment income and net realized gain (or loss) on investment and foreign currency-related transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and GAAP primarily relate to investments in options, futures, forward contracts, passive foreign investment companies, foreign-denominated investments, mortgage-backed securities, certain securities sold at a loss and by recording gains and losses from securities transactions on the basis of specific identified cost incurred by each money manager for financial reporting purposes and on the basis of specific identified cost incurred by each Fund for tax purposes. Expenses The Funds will pay their own expenses other than those expressly assumed by Frank Russell Investment Management Company ("FRIMCo" or "Advisor"). Most expenses can be directly attributed to the individual Funds. Expenses which cannot be directly attributed to a specific Fund are allocated among all Funds principally based on their relative net assets. Class Allocation The Funds offer the following classes of shares: Class C, Class E, Class I and Class S. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses) and net investment income, other than class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Foreign currency translations The books and records of the Funds are maintained in US dollars. Foreign currency amounts and transactions of the Funds are translated into US dollars on the following basis: (a) Market value of investment securities, other assets and liabilities at the closing rate of exchange on the valuation date. (b) Purchases and sales of investment securities and income at the closing rate of exchange prevailing on the respective trade dates of such transactions. Reported net realized gains or losses from foreign currency-related transactions arise from: sales and maturities of short-term securities; sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds' books and the US dollar equivalent of the amounts actually received or paid. Net unrealized gains or losses from foreign currency-related transactions arise from changes in the value of assets and liabilities, other than investments in securities, at year-end, as a result of changes in the exchange rates. The Funds do not isolate that portion of the results of operations of the Funds that arises as a result of changes in exchange rates from that portion that arises from changes in market prices of investments during the year. Such fluctuations are included with the net realized and unrealized gain or loss from investments. However, for federal income tax purposes the Funds do isolate the effects of changes in foreign exchange rates from the fluctuations arising from changes in market prices for realized gain (or loss) on debt obligations. Derivatives To the extent permitted by the investment objectives, restrictions and policies set forth in the Funds' Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. They include options, futures, swaps, forwards, structured notes and stripped securities. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment strategies. The Funds typically use derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by certain Funds through the use of options and futures to earn "market-like" returns with their excess and liquidity reserve cash balances. Hedging is used by some Funds to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in a Fund. By purchasing certain instruments, Funds may more effectively achieve the desired portfolio characteristics that assist them in Notes to Financial Statements 161 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- meeting their investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk. Foreign currency exchange contracts In connection with portfolio purchases and sales of securities denominated in a foreign currency, certain Funds may enter into foreign currency exchange spot contracts and forward foreign currency exchange contracts ("contracts"). The International Securities Fund may enter into forward foreign currency overlays on liquidity reserve balances. Additionally, from time to time the International Securities, Emerging Markets, Short Term Bond, Diversified Bond and Multistrategy Bond Funds may enter into contracts to hedge certain foreign currency-denominated assets. Contracts are recorded at market value. Certain risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contracts, if any, that are recognized in the Statement of Assets and Liabilities. Realized gains or losses arising from such transactions are included in net realized gain (or loss) from foreign currency-related transactions. Open contracts at April 30, 2003 are presented on the Statement of Net Assets for the applicable Funds. Forward commitments The Funds may contract to purchase securities for a fixed price at a future date beyond customary settlement time (not to exceed 120 days) (i.e., a "forward commitment", "delayed settlement" or "when issued" transaction, e.g., to be announced ("TBA")) consistent with a Fund's ability to manage its investment portfolio and meet redemption requests. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The Funds may dispose of a forward commitment transaction prior to settlement if it is appropriate to do so and realize short-term gains (or losses) upon such sale. When effecting such transactions, cash or liquid high-grade debt obligations of the Fund in a dollar amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the Fund's records at the trade date and maintained until the transaction is settled. A forward commitment transaction involves a risk of loss if the value of the security to be purchased declines prior to the settlement date or the other party to the transaction fails to complete the transaction. Options The Funds may purchase and sell (write) call and put options on securities and securities indices, provided such options are traded on a national securities exchange or in an over-the-counter market. The Funds may also purchase and sell call and put options on foreign currencies. The domestic equity Funds may utilize options to equitize liquidity reserve balances. When a Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund's Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option it is exposed to a decline in the price of the underlying security. If an option which the Fund has written either expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments. The Funds' use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Funds' exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities and interest rates. Futures Contracts The domestic and international equity Funds utilize futures to equitize liquidity reserve balances. Multistrategy Bond Fund may utilize futures contracts (i.e., interest rate, foreign currency and index futures contracts) to a limited extent. The face or contract 162 Notes to Financial Statements RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- amounts of these instruments reflect the extent of the Funds' exposure to off balance sheet risk. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Fund and the prices of futures contracts and the possibility of an illiquid market. Changes in the initial settlement values of futures contracts are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Swap Agreements The Emerging Markets, Diversified Equity, Special Growth, Equity Income, Quantitative Equity, Tax-Managed Large Cap, Tax-Managed Mid & Small Cap, Select Growth, Select Value, International Securities, Diversified Bond, Multistrategy Bond and Short Term Bond Funds may enter into swap agreements as an additional equitization vehicle for uninvested cash balances held by those Funds or to effect investment transactions consistent with these Funds' investment objectives and strategies. Swap agreements are two party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard swap transaction, the two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular investments or instruments. The returns to be exchanged between the parties are calculated with respect to a "notional amount" (i.e. a specified dollar amount that is hypothetically invested in a "basket" of securities representing a particular index). Investments in emerging markets Investing in emerging markets may involve special risks and considerations for the Emerging Markets Fund not typically associated with investing in the United States markets. These risks include revaluation of currencies, high rates of inflation, repatriation on income and capital, and future adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, delayed settlements, and their prices more volatile than those of comparable securities in the United States. Guarantees In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote. 3. INVESTMENT TRANSACTIONS Securities During the period ended April 30, 2003, purchases and sales of investment securities (excluding US Government and Agency obligations, short-term investments, options, futures and repurchase agreements) were as follows:
PURCHASES SALES --------------------------------------------------------------- Diversified Equity $ 662,737,605 $ 583,893,867 Special Growth 262,556,956 252,085,626 Equity Income 25,267,037 32,922,616 Quantitative Equity 552,089,588 466,603,549 International Securities 309,272,720 263,205,277 Emerging Markets 112,255,478 110,633,605 Real Estate Securities 207,344,350 199,319,481 Short-Term Bond 275,151,077 166,730,643
---------------------------------------------------------------
PURCHASES SALES Diversified Bond $ 270,561,548 $ 242,100,664 Multistrategy Bond 448,986,036 456,403,658 Tax Exempt Bond 32,593,232 34,980,204 Tax-Managed Large Cap 74,483,510 115,290,225 Tax-Managed Mid & Small Cap 24,158,228 24,987,613 Select Growth 45,528,587 40,265,017 Select Value 34,079,699 42,870,110
Purchases and sales of US Government and Agency obligations (excluding short-term investments, options, futures and repurchase agreements) were as follows:
PURCHASES SALES -------------------------------------------------------------------------------- Short-Term Bond $ 251,326,941 $ 149,873,421 Diversified Bond 484,385,802 450,310,823 Multistrategy Bond 440,860,612 441,156,030
Notes to Financial Statements 163 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Written Options Contracts Fund transactions in written options contracts for the period ended April 30, 2003 were as follows:
DIVERSIFIED BOND MULTISTRATEGY BOND NUMBER OF PREMIUMS NUMBER OF PREMIUMS CONTRACTS RECEIVED CONTRACTS RECEIVED ------------------------------------------------------------------------------------------------------------------------------ Outstanding October 31, 2002 -- $ -- 398 $ 604,594 Opened 152 92,574 -- -- Closed -- -- (130) (107,383) Expired -- -- (153) (102,265) ------------------- ------------------- ------------------- ------------------- Outstanding April 30, 2003 152 $ 92,574 115 $ 394,946 =================== =================== =================== ===================
EMERGING MARKETS INTERNATIONAL SECURITIES NUMBER OF PREMIUMS NUMBER OF PREMIUMS CONTRACTS RECEIVED CONTRACTS RECEIVED ------------------------------------------------------------------------------------------------------------------------------ Outstanding October 31, 2002 415 $ 534,517 157 $ 2,986,896 Opened 879 1,426,880 788 19,630,186 Closed (952) (1,312,961) (811) (21,726,173) Expired -- -- -- -- ------------------- ------------------- ------------------- ------------------- Outstanding April 30, 2003 342 $ 648,436 134 $ 890,909 =================== =================== =================== ===================
SHORT TERM BOND NUMBER OF PREMIUMS CONTRACTS RECEIVED ------------------------------------------------------------------------------------ Outstanding October 31, 2002 -- $ -- Opened 3 54,099 Closed -- -- Expired -- -- ------------------- ------------------- Outstanding April 30, 2003 3 $ 54,099 =================== ===================
Securities Lending The Investment Company has a securities lending program whereby each Fund can loan securities with a value up to 33 1/3% of its total assets to certain brokers. The Fund receives cash (US currency), US Government or US Government agency obligations as collateral against the loaned securities. To the extent that a loan is collateralized by cash, such collateral shall be invested by the securities lending agent in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. The collateral received is recorded on the Fund's statement of assets and liabilities along with the related obligation to return the collateral. Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and the securities lending agent and is recorded as income for the Fund. All collateral received will be in an amount at least equal to 102% (for loans of US securities) or 105% (for non-US securities) of the market value of the loaned securities at the inception of each loan. Should the borrower of the securities fail financially, there is a risk of delay in recovery of the securities or loss of rights in the collateral. Consequently, loans are made only to 164 Notes to Financial Statements RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- borrowers which are deemed to be of good financial standing. As of April 30, 2003, the value of outstanding securities on loan and the value of collateral amounted to as follows:
VALUE OF VALUE OF SECURITIES ON LOAN COLLATERAL ---------------------------------------------------------------- Diversified Equity $ 75,496,887 $ 77,945,660 Special Growth 82,745,627 85,175,242 Equity Income -- -- Quantitative Equity 99,314,540 102,401,039 Real Estate Securities 40,388,020 41,524,858 Diversified Bond 110,670,481 113,698,677 Multistrategy Bond 38,518,262 39,218,250
----------------------------------------------------------------
VALUE OF VALUE OF SECURITIES ON LOAN COLLATERAL Tax-Managed Large Cap $ 28,572,206 $ 29,545,195 Tax-Managed Mid & Small Cap 165,436 169,700 Select Growth 351,803 379,930 Select Value 5,408 5,408 International Securities 29,815,425 32,093,454
As of April 30, 2003, the cash collateral received for the securities on loan are invested as follows:
DEUTSCHE BANK FRIC MONEY MARKET IDA FUND (1) --------------------------------------------------------------- Diversified Equity $ 24,923,088 $ 52,182,862 Special Growth 27,234,750 57,022,919 Equity Income -- -- Quantitative Equity 32,742,684 68,555,189 Real Estate Securities 13,277,556 27,799,962 Diversified Bond 36,355,104 76,118,715 International Securities 10,261,866 21,485,843
---------------------------------------------------------------
DEUTSCHE BANK FRIC MONEY MARKET IDA FUND (1) Multistrategy Bond $ 12,540,018 $ 26,255,737 Tax-Managed Large Cap 9,447,063 19,779,844 Tax-Managed Mid & Small Cap 54,261 113,609 Select Growth 121,482 254,354 Select Value 1,728 3,618
(1) The Deutsche Bank IDA Fund investment balance includes pending items that account for the difference between the total amount invested and the total cash collateral amount. As of April 30, 2003, the value of the non-cash collateral received for the securities on loan in the Diversified Equity Fund, Quantitative Equity Fund, Real Estate Securities Fund and Tax-Managed Large Cap Fund is $1,750,910, $1,879,472, $3,359,785 and $588,924, respectively. The non-cash collateral consists of irrevocable letters of credit. 4. RELATED PARTIES Advisor and Administrator FRIMCo advises and administers all of the Funds which comprise the Investment Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company. Frank Russell Company researches and recommends to FRIMCo, and to the Investment Company, one or more investment management organizations to manage the portfolio of each Fund. The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds' objectives), and a portion of the collateral received from the Investment Company's securities lending program in the Frank Russell Investment Company Money Market Fund (a series of the Investment Company not presented herein). As of April 30, 2003, $950,128,217 of the Money Market Fund's net assets represents investments by these Funds and $387,092,768 represents the investments of other affiliated Funds not presented herein. The advisory and administrative fees, which are based upon the average daily net assets of each Fund and the rates specified in the table below, are payable monthly and total $29,674,287 and $2,001,565, respectively, for the period ended April 30, 2003.
ANNUAL RATE ADVISOR ADMINISTRATOR -------------------------------------------------------------- Diversified Equity 0.73% 0.05% Special Growth 0.90 0.05 Equity Income 0.75 0.05 Quantitative Equity 0.73 0.05 International Securities 0.90 0.05 Emerging Markets 1.15 0.05 Real Estate Securities 0.80 0.05 Short Term Bond 0.45 0.05
--------------------------------------------------------------
ANNUAL RATE ADVISOR ADMINISTRATOR Diversified Bond 0.40% 0.05% Multistrategy Bond 0.60 0.05 Tax Exempt Bond 0.30 0.05 Tax-Managed Large Cap 0.70 0.05 Tax-Managed Mid & Small Cap 0.98 0.05 Select Growth 0.80 0.05 Select Value 0.70 0.05
Notes to Financial Statements 165 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- The Advisor has contractually agreed to waive up to the full amount of its 1.03% combined advisory and administrative fees for the Tax-Managed Mid & Small Cap Fund, and to reimburse the Fund to the extent that Fund level expenses exceed 1.20% of the Fund's average daily net assets on an annual basis. The total amount of the waiver for the period ended April 30, 2003 was $122,840. There were no reimbursements for the period ended April 30, 2003. The Advisor has contractually agreed to waive up to the full amount of its 0.50% combined advisory and administrative fees for the Short Term Bond Fund, and to reimburse the Fund to the extent that Fund level expenses exceed 0.52% of the Fund's average daily net assets on an annual basis. The total amount of the waiver for the period ended April 30, 2003 was $472,588. There were no reimbursements for the period ended April 30, 2003. For the Select Growth Fund, the Advisor has contractually agreed to waive up to the full amount of its transfer agency fees, administrative fees, and advisory fees to the extent that expenses for Class C, Class E, Class I and Class S exceed 2.25%, 1.40%, 0.95% and 1.15%, respectively, of the average daily net assets of each such class on an annual basis. If a waiver of advisory fees is required for any class of shares of the Fund, advisory fees will be waived equally across all classes of the Fund. This may result in a waiver amount that is greater than what is required to reduce total net operating expense for Class C, Class E, Class I and Class S to 2.25%, 1.40%, 0.95% and 1.15%, respectively. The total amount of the waiver for the period ended April 30, 2003 was $156,084. There were no reimbursements for the period ended April 30, 2003. For the Select Value Fund, the Advisor has contractually agreed to waive up to the full amount of its transfer agency fees, administrative fees, and advisory fees to the extent that expenses for Class C, Class E, Class I and Class S exceed 2.25%, 1.40%, 0.95% and 1.15%, respectively, of the average daily net assets of each such class on an annual basis. If a waiver of advisory fees is required for any class of shares of the Fund, advisory fees will be waived equally across all classes of the Fund. This may result in a waiver amount that is greater than what is required to reduce total net operating expense for Class C, Class E, Class I and Class S to 2.25%, 1.40%, 0.95% and 1.15%, respectively. The total amount of the waiver for the period ended April 30, 2003 was $124,211. There were no reimbursements for the period ended April 30, 2003. Special Service Charge In accordance with the special servicing agreement entered into in February 1999 by the Advisor, the Fund of Funds (a group of five LifePoints Funds and the Tax-Managed Global Equity Fund which invest in a combination of Class S shares of the Investment Company's portfolios) and the Funds listed below, the "Underlying Funds" in which the Fund of Funds invest, expenses from the operation of the Fund of Funds are borne by the Underlying Funds based on each Underlying Fund's proportionate share of assets owned by the Fund of Funds. No Underlying Funds will be charged expenses that exceed the estimated savings to each respective Underlying Fund. These estimated savings result from the elimination of separate shareholder accounts which either currently are or have potential to be invested in the Underlying Funds. In the event that the financial benefits to the Underlying Funds do not exceed aggregate expenses of any Fund of Fund, the Advisor will reimburse the respective Underlying Funds. For the period ended April 30, 2003, the special servicing expense charged to the Underlying Funds amounted to:
AMOUNT UNDERLYING FUNDS PAID ------------------------------------------------ Diversified Equity $ 326,271 Special Growth 117,933 Quantitative Equity 337,211 International Securities 286,504 Emerging Markets 68,595 Real Estate Securities 91,388
AMOUNT UNDERLYING FUNDS PAID ------------------------------------------------ Short Term Bond $ 194,489 Diversified Bond 254,573 Multistrategy Bond 182,360 Tax-Managed Large Cap 45,087 Tax-Managed Mid & Small Cap 13,526
166 Notes to Financial Statements RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Custodian The Funds have entered into arrangements with their Custodian whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds' expenses. During the period ended April 30, 2003 the Fund's custodian fees were reduced by the following amounts under these arrangements:
AMOUNT FUND PAID ------------------------------------------------ Diversified Equity $ 662 Special Growth 309 Quantitative Equity 371 International Securities 697 Emerging Markets 1,288 Real Estate Securities 261 Short Term Bond 2,819
AMOUNT FUND PAID ------------------------------------------------ Diversified Bond $ 7,553 Multistrategy Bond 4,917 Tax-Managed Large Cap 174 Tax-Managed Mid & Small Cap 146 Select Growth 35 Select Value 21
Analytic services Fees for analytic services provided to the Funds are paid or accrued to Russell/Mellon Analytical Services, an affiliate of the Investment Company. Russell/Mellon Analytical Services provides TruVP System to the Funds, pursuant to a written Service Agreement. The TruVP System provides analytics used by the investment department. Total fees for the Funds reported herein for the period ended April 30, 2003 were $123,575. Transfer agent The Investment Company has a contract with FRIMCo to provide transfer agent services to the Funds. Total fees for the Funds reported herein for the period ended April 30, 2003 were $5,916,787. In addition, FRIMCo has contractually agreed to waive a portion of its transfer agency fees to the extent that those fees would affect "Other Expenses" of certain Funds by one basis point or more. The total transfer agent fee waiver for the period ended April 30, 2003 were as follows:
TA FEE FUND WAIVER AMOUNT ------------------------------------------------------- Real Estate Securities $ 53,111 Select Growth 9,613 Select Value 7,855
Distributor and Shareholder Servicing The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the "Plan") under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Russell Fund Distributors (the "Distributor") which is a wholly-owned subsidiary of FRIMCo, or any Selling Agents, as defined in the Plan, for sales support services provided, and related expenses incurred which are primarily intended to result in the sale of the Class C shares subject to the Distribution Plan. The 12b-1 distribution payments shall not exceed 0.75% of the average daily net assets of a Fund's Class C shares on an annual basis. In addition, the Investment Company has adopted a Shareholder Services Plan (the "Services Plan") under which the Funds may make payments to the Distributor or any Servicing Agent for any activities or expenses primarily intended to assist, support or service the Servicing Agents' clients who beneficially own Class E and Class C shares of the Funds. The shareholder servicing payments shall not exceed 0.25% of the average daily net assets of a Fund's Class E and Class C shares on an annual basis. Pursuant to the rules of the National Association of Securities Dealers, Inc. ("NASD"), the asset-based sales charges on Shares of the Funds may not exceed 6.25% of total gross sales, subject to certain exclusions. This 6.25% limitation is imposed at the class level of each Fund rather than on a per shareholder basis. Therefore, long-term shareholders may pay more than the economic equivalent of the maximum sales charges permitted by the NASD. Notes to Financial Statements 167 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Brokerage commissions The Funds may effect portfolio transactions through Frank Russell Securities, Inc., an affiliate of the Advisor, when a money manager determines that the Fund will receive competitive execution, price, and commissions. Amounts retained by Frank Russell Securities, Inc. for the period ended April 30, 2003 were as follows:
FUNDS AMOUNT ------------------------------------------------ Diversified Equity $ 24,366 Special Growth 16,205 Equity Income 2,279 Quantitative Equity 4,239 International Securities 37,396 Emerging Markets 27,436
FUNDS AMOUNT ------------------------------------------------ Real Estate Securities $ 13,196 Tax-Managed Large Cap 3,525 Tax-Managed Small Cap 2,544 Select Growth 5,591 Select Value 7,830
Additionally, the Funds paid brokerage commissions to non-affiliated brokers who provided brokerage and research services to the Advisor. Board of Trustees The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 Funds, and Russell Investment Funds ("RIF"), which has 5 Funds. Each of the Trustees is a Trustee for both FRIC and RIF. The Russell Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer of $52,000 per year, $5,000 for each regular quarterly meeting attended in person, $2,000 for each special meeting attended in person, and $2,000 for each Joint Audit Committee meeting or Nominating and Governance Committee meeting attended in person. The Trustee will receive a $500 fee for attending the meetings by phone instead of receiving the full fee had the member attended in person. Out of pocket expenses are also paid by the Russell Fund Complex. The Lead Trustee is paid a fee of $10,000 per year, and each Committee Chair is paid a fee of $6,000 per year. 5. FEDERAL INCOME TAXES At October 31, 2002, the following Funds had net tax basis capital loss carryforwards which may be applied against any net realized taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. Available capital loss carryforwards and expiration dates are as follows:
10/31/03 10/31/04 10/31/05 10/31/06 ---------------------------------------------------------------------------------------------------------------- Diversified Equity $ -- $ -- $ -- $ -- Special Growth -- -- -- -- Equity Income -- -- -- -- Quantitative Equity -- -- -- -- International Securities -- -- -- -- Emerging Markets 2,887,175 348,806 -- 56,335,865 Real Estate Securities -- -- -- -- Short Term Bond 2,834,049 1,947,924 574,853 51,911 Diversified Bond -- -- -- -- Multistrategy Bond -- -- -- -- Tax Exempt Bond -- -- -- -- Tax-Managed Large Cap -- -- -- 655,350 Tax-Managed Mid & Small Cap -- -- -- -- Select Growth -- -- -- -- Select Value -- -- -- --
168 Notes to Financial Statements RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 5. FEDERAL INCOME TAXES (CONTINUED)
10/31/07 10/31/08 10/31/09 10/31/10 ---------------------------------------------------------------------------------------------------------------- Diversified Equity $ -- $ -- $ 172,665,373 $ 144,000,795 Special Growth -- -- 13,896,410 18,929,218 Equity Income -- 11,599,781 451,724 2,518,343 Quantitative Equity -- -- 111,873,333 121,223,058 International Securities -- -- 130,311,494 113,712,063 Emerging Markets 30,325,300 6,163,374 62,678,057 23,661,306 Real Estate Securities -- -- -- -- Short Term Bond 3,481,990 2,691,693 -- -- Diversified Bond -- -- -- -- Multistrategy Bond -- 2,274,068 -- -- Tax Exempt Bond 235,788 1,845,627 -- -- Tax-Managed Large Cap 716,803 15,494,001 40,037,533 59,069,223 Tax-Managed Mid & Small Cap -- 6,468,428 17,757,128 14,180,832 Select Growth -- -- 15,155,988 15,387,117 Select Value -- -- 4,530,474 10,676,285 TOTALS ------------------------------------- Diversified Equity $ 316,666,168 Special Growth 32,825,628 Equity Income 14,569,848 Quantitative Equity 233,096,391 International Securities 244,023,557 Emerging Markets 182,399,883 Real Estate Securities -- Short Term Bond 11,582,420 Diversified Bond -- Multistrategy Bond 2,274,068 Tax Exempt Bond 2,081,415 Tax-Managed Large Cap 115,972,910 Tax-Managed Mid & Small Cap 38,406,388 Select Growth 30,543,105 Select Value 15,206,759
At April 30, 2003, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:
QUANTITATIVE INTERNATIONAL DIVERSIFIED EQUITY SPECIAL GROWTH EQUITY INCOME EQUITY SECURITIES ------------------------------------------------------------------------------------------------------------------------------ Cost of Investments $1,034,557,876 $ 536,677,845 $ 76,426,576 $1,130,412,394 $ 920,297,778 Unrealized Appreciation 161,409,181 86,668,157 7,987,076 191,602,880 479,702 Unrealized Depreciation (32,097,496) (32,993,181) (6,154,771) (48,568,214) (418,562) -------------- -------------- -------------- -------------- -------------- Net Unrealized Appreciation (Depreciation) $ 129,311,685 $ 53,674,976 $ 1,832,305 $ 143,034,666 $ 61,140 ============== ============== ============== ============== ==============
EMERGING REAL ESTATE MULTISTRATEGY MARKETS SECURITIES SHORT TERM BOND DIVERSIFIED BOND BOND ------------------------------------------------------------------------------------------------------------------------------ Cost of Investments $ 277,431,223 $ 568,813,502 $ 911,423,292 $1,163,420,696 $ 884,801,795 Unrealized Appreciation 64,474,179 128,397,117 15,119,310 17,756,155 18,398,823 Unrealized Depreciation (36,777,265) (2,180,200) (442,806) (1,060,466) (2,811,258) -------------- -------------- -------------- -------------- -------------- Net Unrealized Appreciation (Depreciation) $ 27,696,914 $ 126,216,917 $ 14,676,504 $ 16,695,689 $ 15,587,565 ============== ============== ============== ============== ==============
TAX-MANAGED TAX-MANAGED TAX EXEMPT BOND LARGE CAP MID & SMALL CAP SELECT GROWTH SELECT VALUE ------------------------------------------------------------------------------------------------------------------------------ Cost of Investments $ 151,016,881 $ 302,997,459 $ 88,304,242 $ 50,947,197 $ 64,693,059 Unrealized Appreciation 8,611,760 44,095,834 13,646,965 5,225,863 194,144 Unrealized Depreciation (99,370) (17,955,992) (10,799,706) (2,175,359) (161,878) -------------- -------------- -------------- -------------- -------------- Net Unrealized Appreciation (Depreciation) $ 8,512,390 $ 26,139,842 $ 2,847,259 $ 3,050,504 $ 32,266 ============== ============== ============== ============== ==============
Notes to Financial Statements 169 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS Share transactions for the period ended April 30, 2003 and year ended October 31, 2002 were as follows:
SHARES DOLLARS (000) DIVERSIFIED EQUITY 2003 2002 2003 2002 Class C Proceeds from shares sold 398,886 733,487 $ 12,016 $ 25,048 Proceeds from reinvestment of distributions 41 -- 1 -- Payments for shares redeemed (147,613) (188,379) (4,387) (6,322) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 251,314 545,108 7,630 18,726 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 141,178 365,793 4,319 12,768 Proceeds from reinvestment of distributions 1,380 1,987 43 65 Payments for shares redeemed (82,114) (255,938) (2,489) (9,365) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 60,444 111,842 1,873 3,468 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 7,209,276 10,044,480 222,132 359,678 Proceeds from reinvestment of distributions 51,996 111,441 1,606 3,802 Payments for shares redeemed (4,335,432) (9,675,749) (132,872) (342,664) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 2,925,840 480,172 90,866 20,816 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 3,237,598 1,137,122 $ 100,369 $ 43,010 ================= ================= ================= =================
SPECIAL GROWTH Class C Proceeds from shares sold 152,977 327,471 $ 5,169 $ 12,614 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (62,258) (84,651) (2,085) (3,275) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 90,719 242,820 3,084 9,339 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 50,551 173,598 1,750 6,838 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (35,548) (122,593) (1,230) (5,032) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 15,003 51,005 520 1,806 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 2,462,467 4,650,655 87,774 190,277 Proceeds from reinvestment of distributions -- 638 -- 28 Payments for shares redeemed (2,651,303) (5,502,795) (94,888) (227,815) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (188,836) (851,502) (7,114) (37,510) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (83,114) (557,677) $ (3,510) $ (26,365) ================= ================= ================= =================
170 Notes to Financial Statements RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) EQUITY INCOME 2003 2002 2003 2002 Class C Proceeds from shares sold 54,842 86,583 $ 1,425 $ 2,655 Proceeds from reinvestment of distributions 80 100 2 2 Payments for shares redeemed (19,527) (16,367) (500) (494) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 35,395 70,316 927 2,163 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 15,127 22,994 403 710 Proceeds from reinvestment of distributions 111 234 3 7 Payments for shares redeemed (6,141) (10,327) (159) (283) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 9,097 12,901 247 434 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 361,577 739,870 9,551 23,100 Proceeds from reinvestment of distributions 8,113 23,614 214 687 Payments for shares redeemed (674,598) (1,204,745) (17,576) (37,165) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (304,908) (441,261) (7,811) (13,378) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (260,416) (358,044) $ (6,637) $ (10,781) ================= ================= ================= =================
QUANTITATIVE EQUITY Class C Proceeds from shares sold 443,304 857,556 $ 11,706 $ 25,737 Proceeds from reinvestment of distributions 369 -- 10 -- Payments for shares redeemed (178,698) (215,573) (4,675) (6,311) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 264,975 641,983 7,041 19,426 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 206,006 464,652 5,507 14,135 Proceeds from reinvestment of distributions 1,997 3,502 54 106 Payments for shares redeemed (84,387) (249,598) (2,236) (7,871) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 123,616 218,556 3,325 6,370 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 8,959,980 14,318,143 241,500 446,066 Proceeds from reinvestment of distributions 79,422 178,061 2,150 5,494 Payments for shares redeemed (6,170,262) (11,937,553) (165,919) (371,353) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 2,869,140 2,558,651 77,731 80,207 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 3,257,731 3,419,190 $ 88,097 $ 106,003 ================= ================= ================= =================
Notes to Financial Statements 171 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) INTERNATIONAL SECURITIES 2003 2002 2003 2002 Class C Proceeds from shares sold 333,299 395,737 $ 12,545 $ 17,216 Proceeds from reinvestment of distributions 3,184 -- 121 -- Payments for shares redeemed (183,378) (108,115) (6,874) (4,633) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 153,105 287,622 5,792 12,583 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 147,013 203,293 5,599 9,160 Proceeds from reinvestment of distributions 4,454 -- 174 -- Payments for shares redeemed (91,491) (128,838) (3,515) (5,907) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 59,976 74,455 2,258 3,253 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 5,531,473 7,776,329 214,356 350,497 Proceeds from reinvestment of distributions 146,935 -- 5,776 -- Payments for shares redeemed (3,123,548) (6,169,432) (121,862) (280,875) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 2,554,860 1,606,897 98,270 69,622 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 2,767,941 1,968,974 $ 106,320 $ 85,458 ================= ================= ================= =================
EMERGING MARKETS Class C Proceeds from shares sold 859,165 518,161 $ 6,372 $ 4,232 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (691,061) (143,749) (5,172) (1,106) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 168,104 374,412 1,200 3,126 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 400,925 561,418 3,066 4,516 Proceeds from reinvestment of distributions 1,253 -- 10 -- Payments for shares redeemed (358,717) (678,775) (2,761) (5,731) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 43,461 (117,357) 315 (1,215) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 7,912,770 12,590,340 60,061 105,456 Proceeds from reinvestment of distributions 111,995 61,763 885 495 Payments for shares redeemed (6,553,436) (16,003,464) (50,033) (133,839) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 1,471,329 (3,351,361) 10,913 (27,888) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 1,682,894 (3,094,306) $ 12,428 $ (25,977) ================= ================= ================= =================
172 Notes to Financial Statements RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) REAL ESTATE SECURITIES 2003 2002 2003 2002 Class C Proceeds from shares sold 192,946 448,509 $ 5,371 $ 12,958 Proceeds from reinvestment of distributions 13,154 18,264 370 526 Payments for shares redeemed (76,466) (86,309) (2,119) (2,477) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 129,634 380,464 3,622 11,007 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 59,970 166,463 1,677 4,841 Proceeds from reinvestment of distributions 9,565 21,987 272 639 Payments for shares redeemed (64,656) (210,089) (1,801) (6,140) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 4,879 (21,639) 148 (660) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 3,981,726 7,571,337 112,674 222,014 Proceeds from reinvestment of distributions 384,076 1,017,408 10,949 29,793 Payments for shares redeemed (4,050,591) (8,581,654) (113,558) (252,176) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 315,211 7,091 10,065 (369) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 449,724 365,916 $ 13,835 $ 9,978 ================= ================= ================= =================
SHORT TERM BOND Class C Proceeds from shares sold 1,044,554 891,450 $ 19,900 $ 16,803 Proceeds from reinvestment of distributions 15,624 13,764 296 259 Payments for shares redeemed (303,174) (136,826) (5,768) (2,578) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 757,004 768,388 14,428 14,484 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 380,721 615,275 7,270 11,601 Proceeds from reinvestment of distributions 15,121 34,940 287 655 Payments for shares redeemed (335,120) (659,961) (6,396) (12,475) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 60,722 (9,746) 1,161 (219) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 19,543,069 21,888,883 372,378 412,350 Proceeds from reinvestment of distributions 422,126 853,287 7,998 15,967 Payments for shares redeemed (6,722,879) (12,307,894) (128,134) (231,654) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 13,242,316 10,434,276 252,242 196,663 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 14,060,042 11,192,918 $ 267,831 $ 210,928 ================= ================= ================= =================
Notes to Financial Statements 173 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) DIVERSIFIED BOND 2003 2002 2003 2002 Class C Proceeds from shares sold 342,929 669,139 $ 8,387 $ 16,148 Proceeds from reinvestment of distributions 36,869 21,981 892 529 Payments for shares redeemed (185,854) (214,340) (4,541) (5,163) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 193,944 476,780 4,738 11,514 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 424,382 679,409 10,396 16,450 Proceeds from reinvestment of distributions 42,734 33,190 1,036 800 Payments for shares redeemed (317,711) (345,836) (7,784) (8,363) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 149,405 366,763 3,648 8,887 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 9,732,886 11,082,865 232,906 261,165 Proceeds from reinvestment of distributions 742,361 717,581 17,590 16,908 Payments for shares redeemed (5,191,027) (10,444,798) (124,373) (246,385) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 5,284,220 1,355,648 126,123 31,688 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 5,627,569 2,199,191 $ 134,509 $ 52,089 ================= ================= ================= =================
MULTISTRATEGY BOND Class C Proceeds from shares sold 753,333 1,252,849 $ 7,733 $ 12,415 Proceeds from reinvestment of distributions 32,366 74,835 328 740 Payments for shares redeemed (349,793) (438,388) (3,589) (4,355) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 435,906 889,296 4,472 8,800 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 151,657 610,574 1,556 6,043 Proceeds from reinvestment of distributions 23,310 67,221 237 665 Payments for shares redeemed (266,468) (521,954) (2,743) (5,204) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (91,501) 155,841 (950) 1,504 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 11,741,060 16,473,990 120,322 162,935 Proceeds from reinvestment of distributions 621,383 2,092,363 6,310 20,701 Payments for shares redeemed (9,632,739) (20,173,027) (98,985) (200,248) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 2,729,704 (1,606,674) 27,647 (16,612) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 3,074,109 (561,537) $ 31,169 $ (6,308) ================= ================= ================= =================
174 Notes to Financial Statements RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) TAX EXEMPT BOND 2003 2002 2003 2002 Class C Proceeds from shares sold 128,916 252,642 $ 2,835 $ 5,499 Proceeds from reinvestment of distributions 4,495 4,060 99 88 Payments for shares redeemed (43,909) (32,832) (965) (713) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 89,502 223,870 1,969 4,874 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 39,752 124,894 875 2,699 Proceeds from reinvestment of distributions 4,083 8,117 90 176 Payments for shares redeemed (33,350) (196,637) (740) (4,273) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 10,485 (63,626) 225 (1,398) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 904,032 3,345,044 19,903 72,303 Proceeds from reinvestment of distributions 108,945 241,094 2,385 5,206 Payments for shares redeemed (1,218,318) (3,258,951) (26,819) (70,460) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (205,341) 327,187 (4,531) 7,049 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (105,354) 487,431 $ (2,337) $ 10,525 ================= ================= ================= =================
TAX-MANAGED LARGE CAP Class C Proceeds from shares sold 87,459 299,015 $ 1,103 $ 4,483 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (65,199) (173,090) (811) (2,596) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 22,260 125,925 292 1,887 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 34,476 121,476 437 1,796 Proceeds from reinvestment of distributions 1,393 500 18 9 Payments for shares redeemed (18,954) (130,823) (238) (2,131) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 16,915 (8,847) 217 (326) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 5,055,274 14,086,607 64,743 217,145 Proceeds from reinvestment of distributions 197,632 120,308 2,561 2,057 Payments for shares redeemed (8,370,603) (15,735,314) (106,738) (235,212) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (3,117,697) (1,528,399) (39,434) (16,010) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (3,078,522) (1,411,321) $ (38,925) $ (14,449) ================= ================= ================= =================
Notes to Financial Statements 175 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) TAX-MANAGED MID & SMALL CAP 2003 2002 2003 2002 Class C Proceeds from shares sold 116,390 272,612 $ 847 $ 2,185 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (94,938) (129,105) (682) (1,063) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 21,452 143,507 165 1,122 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 69,961 67,013 514 556 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (55,863) (50,102) (414) (428) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 14,098 16,911 100 128 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 3,653,490 7,483,472 26,798 62,130 Proceeds from reinvestment of distributions -- 9,534 -- 84 Payments for shares redeemed (3,707,228) (7,440,489) (27,073) (62,184) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (53,738) 52,517 (275) 30 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (18,188) 212,935 $ (10) $ 1,280 ================= ================= ================= =================
SELECT GROWTH Class C Proceeds from shares sold 79,627 145,960 $ 428 $ 1,008 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (49,161) (42,761) (253) (272) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 30,466 103,199 175 736 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 32,512 136,844 168 854 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (25,277) (13,226) (132) (74) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 7,235 123,618 36 780 ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 832,539 457,782 4,305 2,915 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (206,013) (200,960) (1,098) (1,144) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 626,526 256,822 3,207 1,771 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 721,948 1,779,237 3,846 12,005 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (567,099) (802,599) (3,005) (5,393) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 154,849 976,638 841 6,612 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 819,076 1,460,277 $ 4,259 $ 9,899 ================= ================= ================= =================
176 Notes to Financial Statements RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) SELECT VALUE 2003 2002 2003 2002 Class C Proceeds from shares sold 69,719 130,424 $ 513 $ 1,117 Proceeds from reinvestment of distributions 310 239 2 3 Payments for shares redeemed (39,395) (69,251) (288) (605) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 30,634 61,412 227 515 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 30,218 179,451 219 1,483 Proceeds from reinvestment of distributions 1,661 3,425 12 28 Payments for shares redeemed (17,622) (108,225) (129) (825) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 14,257 74,651 102 686 ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 438,452 1,688,127 3,341 14,913 Proceeds from reinvestment of distributions 17,581 30,461 132 251 Payments for shares redeemed (1,666,532) (398,266) (12,189) (3,014) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (1,210,499) 1,320,322 (8,716) 12,150 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 398,481 1,861,114 2,957 16,038 Proceeds from reinvestment of distributions 20,241 43,099 150 356 Payments for shares redeemed (539,701) (1,303,030) (3,949) (10,869) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (120,979) 601,183 (842) 5,525 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (1,286,587) 2,057,568 $ (9,229) $ 18,876 ================= ================= ================= =================
7. LINE OF CREDIT Each of the Funds of the Investment Company share in a $75 million revolving credit facility for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Funds are charged an annual commitment fee of .125% on the average daily unused amount of the aggregate commitment, which is allocated among each of the Funds. Interest is calculated at the Federal Fund Rate plus .50% annually. The Funds may borrow up to a maximum of 33.33% of the value of their net assets under the agreement. The agreement will expire December 24, 2003. The Funds did not have any drawdowns for the period ended April 30, 2003. Notes to Financial Statements 177 RUSSELL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 8. BENEFICIAL INTEREST As of April 30, 2003, the following table includes each shareholder with shares of beneficial interest greater than 10% of the total outstanding shares of each respective Fund:
% % % ------------------------------------------------------------------------------------------------------ Diversified Equity 15.51 14.43 10.31 Special Growth 23.02 10.71 -- Equity Income 18.12 -- -- Quantitative Equity 17.49 13.20 -- International Securities 16.64 16.02 11.84 Emerging Markets 26.52 10.49 -- Real Estate Securities 26.90 -- Short Term Bond 24.87 24.10 10.73 Diversified Bond 26.98 14.66 -- Multistrategy Bond 24.06 22.00 14.77 Tax Exempt Bond 52.64 -- -- Tax-Managed Large Cap 43.48 11.70 -- Tax-Managed Mid & Small Cap 51.80 -- -- Select Growth 62.76 28.18 -- Select Value 60.73 27.19 --
9. SUBSEQUENT EVENT On May 21, 2003, the Investment Company filed with the Securities Exchange Commission (SEC) a sticker to the prospectus for each of the Equity III, Equity Income, and Select Value Funds indicating the Funds' intention to hold a shareholder meeting with respect to a plan of reorganization. The Board of Trustees approved this plan of reorganization which involves, among other things, the merger of Equity III and Equity Income into Select Value. The reorganization is subject to shareholder approval, and proxy materials have been submitted to the SEC with a planned record date of July 7, 2003. If the reorganization is approved, the merger will happen on or around October 27, 2003. 178 Notes to Financial Statements FRANK RUSSELL INVESTMENT COMPANY RUSSELL FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- The following tables provide information for each officer and trustee of the Russell Fund Complex. The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 funds and Russell Investment Funds ("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and RIF. The first table provides information for trustees who are interested trustees. The second table provides information for the independent trustees. The third table provides information for the officers.
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- *George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 37 None Jr., and Chairman successor is - Chairman Emeritus, FRIC and Born July 3, 1932 Emeritus since duly elected RIF 1999 and qualified - Chairman Emeritus, Frank 909 A Street Russell Securities, Inc., Tacoma, Washington Russell 20/20 Association 98402-1616 Frank Russell Trust Company - Director Emeritus FRIMCo - From 1984 to December 1998, Chairman of the Board of FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 37 - Trustee, The Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds 1939 duly elected Trustee, FRIC and RIF (investment Chairman of the and qualified - CEO and Chairman of the company) 909 A Street Board since 1999 Board, Russell Fund Tacoma, Washington Distributors, Inc. and 98402-1616 FRIMCo - Trustee, President and Chairman of the Board, SSgA Funds (investment company) - Trustee and Chairman of the Board, Frank Russell Trust Company - Director, Frank Russell Investments (Ireland) Limited and Frank Russell Investments (Cayman) Ltd. - Until October 2002, President and CEO, FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Michael J.A. Trustee since Appointed until - Chairman of the Board, 37 None Phillips, 2002 successor is President, CEO and Director, Born January 20, duly elected FRC 1948 and qualified - Trustee, FRIC and RIF - Director, FRTC and Frank 909 A Street Russell Capital Inc. Tacoma, Washington - Director/Chairman, Frank 98402-1616 Russell Investments (Delaware), Inc. - Director, Chairman of the Board and President, Russell 20/20 Association - Director, Frank Russell Company Pty. Limited, Frank Russell Japan Co., Ltd., Frank Russell Investments (Suisse), S.A., and Frank Russell Company Limited ----------------------------------------------------------------------------------------------------------------------------
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an affiliate of FRIC and RIF and is therefore an interested trustee. Disclosure of Information about Fund Directors 179 FRANK RUSSELL INVESTMENT COMPANY RUSSELL FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 37 None Born October 15, 1984 successor is Anderson Management Group 1931 duly elected LLC (private investments and qualified consulting) 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 37 None Born December 1, since 2003 successor is - Trustee of FRIC and RIF 1919 duly elected until 2002 and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- William E. Baxter, Trustee since Appointed until - Retired since 1986 37 None Born June 8, 1925 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 37 - Trustee WM Group Born January 22, 2000 successor is Blake, P.S. (accounting of Funds 1954 duly elected services) (investment and qualified company); 909 A Street - Director, Avista Tacoma, Washington Corp 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Daniel P. Connealy, Trustee since Appointed until - 2001-2003, Vice President 37 - Director, Gold Born June 6, 1946 April 2003 successor is and Chief Financial Officer, Banc duly elected Janus Capital Group Inc. Corporation, 909 A Street and qualified - 1979-2001, Audit and Inc. Tacoma, Washington Accounting Partner, 98402-1616 PricewaterhouseCoopers LLP ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 37 None Born October 6, 1984 successor is 1930 duly elected and qualified 909 A Street Tacoma, Washington 98402-1616 ----------------------------------------------------------------------------------------------------------------------------
180 Disclosure of Information about Fund Directors FRANK RUSSELL INVESTMENT COMPANY RUSSELL FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES (CONTINUED) ---------------------------------------------------------------------------------------------------------------------------- Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 37 None Born May 5, 1926 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Raymond P. Trustee since Appointed until - Currently, President, 37 None Tennison, Jr., 2000 successor is Simpson Investment Company Born December 21, duly elected and several additional 1955 and qualified subsidiary companies, including Simpson Timber 909 A Street Company, Simpson Paper Tacoma, Washington Company and Simpson Tacoma 98402-1616 Kraft Company ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Julie W. Weston, Trustee since Appointed until - Retired since 2000 37 None Born October 2, 2002 successor is - 1997 to 2000, Arbitrator, 1943 duly elected The American Arbitration and qualified Association Commercial Panel 909 A Street - 1995 to 1999, Hearing Tacoma, Washington Officer, University of 98402-1616 Washington ----------------------------------------------------------------------------------------------------------------------------
Disclosure of Information about Fund Directors 181 FRANK RUSSELL INVESTMENT COMPANY RUSSELL FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------- Position(s) Held Name, with Fund and Term Principal Occupation(s) Age, Length of of During the Address Time Served Office Past 5 Years -------------------------------------------------------------------------------------------------------------------------- OFFICERS -------------------------------------------------------------------------------------------------------------------------- Leonard P. Brennan, President and Until successor - President and CEO, FRIC Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank 909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments Tacoma, Washington (Singapore) Private Limited and Frank Russell 98402-1616 Investments (UK) Limited - Director, President and CEO, FRIMCo - Director and COO, Frank Russell Company Limited and Russell Systems Limited - President, Russell Insurance Agency, Inc. - 1995 to present, Managing Director of International Operations of FRC -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF Born November 26, 1963 Chief Accounting is chosen and 1998 to present Officer since qualified by - Director, Funds Administration, FRIMCo and Frank 909 A Street 1998 Trustees Russell Trust Company Tacoma, Washington - Treasurer, SSgA Funds (investment company) 98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund Distributors, Inc. - April 1996 to August 1998, Assistant Treasurer, FRIC and RIF; November 1995 to July 1998, Assistant Secretary, SSgA Funds; February 1997 to July 1998, Manager, Funds Accounting and Taxes, FRIMCo -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Randall P. Lert, Director of Until removed - Director of Investments, FRIC and RIF Born October 3, 1953 Investments by Trustees - Chief Investment Officer, Frank Russell Trust Company since 1991 - Director, FRIMCo and Russell Fund Distributors, Inc. 909 A Street Tacoma, Washington 98402-1616 -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo, Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund since 1994 Distributors, Inc. 909 A Street - Director, Secretary and General Counsel, Frank Tacoma, Washington Russell Capital Inc. 98402-1616 - Director and Secretary, Russell 20-20 Association -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark D. Amberson Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF, Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF, 909 A Street since 2001 FRIMCo and Frank Russell Trust Company Tacoma, Washington 98402-1616 --------------------------------------------------------------------------------------------------------------------------
182 Disclosure of Information about Fund Directors RUSSELL FUNDS FRANK RUSSELL INVESTMENT COMPANY 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 -------------------------------------------------------------------------------- TRUSTEES Lynn L. Anderson, Chairman Paul E. Anderson William E. Baxter Kristianne Blake Daniel P. Connealy Lee C. Gingrich Eleanor W. Palmer Michael J.A. Phillips Raymond P. Tennison, Jr. Julie W. Weston TRUSTEES EMERITUS George F. Russell, Jr. Paul Anton, PhD OFFICERS Lynn L. Anderson, Chairman of the Board Leonard P. Brennan, President and Chief Executive Officer Karl Ege, Secretary and General Counsel Mark E. Swanson, Treasurer and Chief Accounting Officer Mark Amberson, Director of Short Term Investment Funds Randall P. Lert, Director of Investments Sharon L. Hammel, Director of Portfolio Implementation Gregory J. Lyons, Assistant Secretary and Associate General Counsel Deedra S. Walkey, Assistant Secretary Mary Beth Rhoden, Assistant Secretary Greg S. Korte, Assistant Treasurer David J. Craig, Assistant Treasurer Stephen J. Meyer, Assistant Treasurer Amy L. Osler, Assistant Secretary MANAGER, TRANSFER AND DIVIDEND PAYING AGENT Frank Russell Investment Management Company 909 A Street Tacoma, WA 98402 CONSULTANT Frank Russell Company 909 A Street Tacoma, WA 98402 CUSTODIAN State Street Bank and Trust Company Allan Forbes Building 150 Newport Avenue AFB35 North Quincy, MA 02171 OFFICE OF SHAREHOLDER INQUIRIES 909 A Street Tacoma, WA 98402 (800) 787-7354 LEGAL COUNSEL Stradley, Ronon, Stevens & Young, LLP 2600 One Commerce Square Philadelphia, PA 19103-7098 DISTRIBUTOR Russell Fund Distributors, Inc. 909 A Street Tacoma, WA 98402 MONEY MANAGERS Diversified Equity Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY Barclays Global Fund Advisors, San Francisco, CA Jacobs Levy Equity Management, Inc., Florham Park, NJ Marsico Capital Management, LLC, Denver, CO MFS Institutional Advisers, Inc., Boston, MA Montag & Caldwell, Inc., Atlanta, GA Strong Capital Management, Inc., Menomonee Falls, WI Suffolk Capital Management, LLC, New York, NY Turner Investment Partners, Inc., Berwyn, PA Westpeak Global Advisors, L.P., Boulder, CO Special Growth Fund CapitalWorks Investment Partners, LLC, San Diego, CA David J. Greene and Company, LLC, New York, NY Delphi Management, Inc., Boston, MA Goldman Sachs Asset Management, a unit of the Investment Management Division of Goldman Sachs & Co., New York, NY Jacobs Levy Equity Management, Inc., Florham Park, NJ Roxbury Capital Management, LLC, Santa Monica, CA Suffolk Capital Management, LLC, New York, NY TimesSquare Capital Management, Inc., New York, NY Equity Income Fund Barclays Global Fund Advisors, San Francisco, CA Brandywine Asset Management, LLC, Wilmington, DE DePrince, Race & Zollo, Inc., Orlando, FL Iridian Asset Management LLC, Westport, CT This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. Manager, Money Managers and Service Providers 183 RUSSELL FUNDS FRANK RUSSELL INVESTMENT COMPANY 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 -------------------------------------------------------------------------------- Quantitative Equity Fund Aronson + Johnson + Ortiz, LP, Philadelphia, PA Barclays Global Fund Advisors, San Francisco, CA Franklin Portfolio Associates, LLC, Boston, MA Jacobs Levy Equity Management, Inc., Florham Park, NJ International Securities Fund Alliance Capital Management L.P., through its Bernsteinv Investment Research and Management Unit, New York, NY AQR Capital Management, LLC, New York, NY Axiom International Investors LLC, Greenwich, CT Capital International, Inc., Los Angeles, CA Delaware International Advisers Ltd., London, England Fidelity Management & Research Company, Boston, MA Marvin & Palmer Associates, Inc., Wilmington, DE Mastholm Asset Management, LLC, Bellevue, WA Oechsle International Advisors, LLC, Boston, MA The Boston Company Asset Management, LLC, Boston, MA Emerging Markets Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY Arrowstreet Capital, Limited Partnership, Cambridge, MA Foreign & Colonial Emerging Markets Limited, London, England Genesis Asset Managers Limited, London, England T. Rowe Price International, Inc., Baltimore, MD Real Estate Securities Fund AEW Management and Advisors, L.P., Boston, MA INVESCO Realty Advisors, a division of INVESCO Institutional (N.A.), Inc., Dallas, TX RREEF America L.L.C., Chicago, IL Short Term Bond Fund BlackRock Financial Management, Inc., New York, NY Merganser Capital Management L.P., Cambridge, MA Pacific Investment Management Company LLC, Newport Beach, CA STW Fixed Income Management, Santa Barbara, CA Diversified Bond Fund Lincoln Capital Fixed Income Management Company, Chicago, IL Pacific Investment Management Company LLC, Newport Beach, CA TimesSquare Capital Management, Inc., New York, NY Multistrategy Bond Fund Delaware Management Company, a series of Delaware Management Business Trust, Philadelphia, PA Morgan Stanley Investments, LP, West Conshohocken, PA Pacific Investment Management Company LLC, Newport Beach, CA TimesSquare Capital Management, Inc., New York, NY Tax Exempt Bond Fund MFS Institutional Advisors, Inc., Boston, MA Standish Mellon Asset Management Company LLC, Boston, MA Tax-Managed Large Cap Fund J.P. Morgan Investment Management Inc., New York, NY Tax-Managed Mid & Small Cap Fund Geewax, Terker & Company, Chadds Ford, PA Select Growth Fund CapitalWorks Investment Partners, LLC, San Diego, CA Fuller & Thaler Asset Management, Inc., San Mateo, CA Strong Capital Management, Inc., Menomonee Falls, WI TCW Investment Management Co., Los Angeles, CA Turner Investment Partners, Inc., Berwyn, PA Select Value Fund Iridian Asset Management LLC, Westport, CT MFS Institutional Advisors, Inc., Boston, MA Systematic Financial Management, L.P., Teaneck, NJ This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. 184 Manager, Money Managers and Service Providers This page has been intentionally left blank. This page has been intentionally left blank. RUSSELL FUNDS 2003 SEMIANNUAL REPORT FRANK RUSSELL INVESTMENT COMPANY [FRANK RUSSELL LOGO] Frank Russell Investment Company 909 A Street Tacoma, Washington 98402 253-627-7001 800-787-7354 Fax: 253-591-3495 www.russell.com 36-08-067 (1 04/03) FRANK RUSSELL INVESTMENT COMPANY TAX-MANAGED GLOBAL EQUITY FUND 2003 Semiannual Report CLASS C, E, AND S SHARES TAX-MANAGED GLOBAL EQUITY FUND APRIL 30, 2003 (RUSSELL LOGO) Frank Russell Investment Company Frank Russell Investment Company is a "series mutual fund" with 32 different investment portfolios. These financial statements report on one Fund, which has distinct investment objectives and strategies. Frank Russell Investment Management Company Responsible for overall management and administration of the Funds. Frank Russell Company Consultant to Frank Russell Investment Management Company. [Blank Page] Frank Russell Investment Company Tax-Managed Global Equity Fund Semiannual Report April 30, 2003 (Unaudited) Table of Contents
Page Statement of Net Assets.............................................. 2 Statement of Assets and Liabilities.................................. 3 Statement of Operations.............................................. 4 Statement of Changes in Net Assets................................... 5 Financial Highlights - Class C....................................... 6 Financial Highlights - Class S....................................... 7 Notes to Financial Statements........................................ 8 Disclosure of Information about Fund Directors....................... 12 Manager, Money Managers and Service Providers........................ 16
Frank Russell Investment Company - Tax-Managed Global Equity Fund Copyright (c) Frank Russell Company 2003. All rights reserved. This material is proprietary and may not be reproduced, transferred, or distributed in any form without prior written permission from Frank Russell Company. It is delivered on an "as is" basis without warranty. The Russell logo is a trademark and service mark of Frank Russell Company. Frank Russell Company and Standard & Poor's Corporation are the owners of the trademarks, service marks, and copyrights related to their respective indexes. This material must be accompanied or preceded by a current Frank Russell Investment Company Prospectus containing complete information concerning the investment objectives and operations of the Company, charges, and expenses. The Prospectus should be read carefully before an investment is made. Performance and yields are reported net of investment advisory fees but gross of investment services fees, descriptions of which can be obtained from the investment advisor. Investment services fees and other account expenses will reduce performance (e.g., an investment services fee of 0.2% off average managed assets will reduce a 10.0% Semiannual return to 9.8%). The performance quoted represents past performance and the investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Investments in securities of non-US issuers and foreign currencies involve investment risks different than those of US issuers; the Prospectus contains further information and details regarding these risks. Russell Fund Distributors, Inc., is the distributor of Frank Russell Investment Company. TAX-MANAGED GLOBAL EQUITY FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- INVESTMENTS Portfolios of the Frank Russell Investment Company Series Mutual Fund - Class S Shares Domestic Equities - 74.8% Quantitative Equity Fund 137 3,851 Tax-Managed Large Cap Fund 1,439 19,264 Tax-Managed Mid & Small Cap Fund 756 5,809 ------------ 28,924 ------------ International Equities - 25.2% Emerging Markets Fund 246 1,938 International Securities Fund 196 7,817 ------------ 9,755 ------------ TOTAL INVESTMENTS - 100.0% (identified cost $40,324) 38,679 OTHER ASSETS AND LIABILITIES NET - 0.0% 14 ------------ NET ASSETS - 100.0% 38,693 ============
See accompanying notes which are an integral part of the financial statements. 2 Tax-Managed Global Equity Fund TAX-MANAGED GLOBAL EQUITY FUND STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands -------------------------------------------------------------------------------- ASSETS Investments at market (identified cost $40,324)..................................... $ 38,679 Receivables: Investments sold................................................................. 6 Fund shares sold................................................................. 22 ---------------------- Total assets........................................................................ 38,707 LIABILITIES Payables: Due to Custodian...................................... $ 7 Accrued fees to affiliates............................ 7 -------------------- Total liabilities................................................................... 14 ---------------------- NET ASSETS.......................................................................... $ 38,693 ====================== Net Assets Consist of: Undistributed/(overdistributed) net investment income............................... $ 82 Accumulated net realized gain (loss)................................................ (18,049) Unrealized appreciation (depreciation) on investments............................... (1,645) Shares of beneficial interest....................................................... 60 Additional paid-in capital.......................................................... 58,245 ---------------------- NET ASSETS.......................................................................... $ 38,693 ====================== NET ASSET VALUE, PER SHARE: Class C ($9,423,274 divided by 1,477,267 shares of $.01 par value shares of beneficial interest outstanding)............................................... $ 6.38 ====================== Class S ($29,269,396 divided by 4,499,712 shares of $.01 par value shares of beneficial interest outstanding)............................................... $ 6.50 ======================
See accompanying notes which are an integral part of the financial statements. Tax-Managed Global Equity Fund 3 TAX-MANAGED GLOBAL EQUITY FUND STATEMENT OF OPERATIONS -- FOR THE SIX MONTHS ENDED APRIL 30, 2003 (UNAUDITED) Amounts in thousands -------------------------------------------------------------------------------- INVESTMENT INCOME Income distributions from Underlying Funds....................................... $ 293 EXPENSES Advisory fees............................................ $ 37 Distribution fees - Class C.............................. 34 Shareholder servicing fees - Class C..................... 11 -------------------- Expenses before reductions............................... 82 Expense reductions....................................... (37) -------------------- Net expenses........................................................................ 45 ---------------------- Net investment income (loss)........................................................ 248 ---------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on investments............................................. (7,010) Net change in unrealized appreciation (depreciation) on investments................. 8,321 ---------------------- Net realized and unrealized gain (loss)............................................. 1,311 ---------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS............................... $ 1,559 ======================
See accompanying notes which are an integral part of the financial statements. 4 Tax-Managed Global Equity Fund TAX-MANAGED GLOBAL EQUITY FUND STATEMENT OF CHANGES IN NET ASSETS Amounts in thousands
SIX MONTHS FISCAL YEAR ENDED ENDED APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 ---------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income (loss)............................. $ 248 $ 100 Net realized gain (loss)................................. (7,010) (8,495) Net change in unrealized appreciation (depreciation)..... 8,321 906 ------------ ------------ Net increase (decrease) in net assets from operations........................................... 1,559 (7,489) ------------ ------------ DISTRIBUTIONS From net investment income Class S............................................... (166) (157) From net realized gain Class C............................................... -- (71) Class S............................................... -- (417) ------------ ------------ Net decrease in net assets from distributions......... (166) (645) ------------ ------------ SHARE TRANSACTIONS Net increase (decrease) in net assets from share transactions........................................... (2,798) 5,467 ------------ ------------ TOTAL NET INCREASE (DECREASE) IN NET ASSETS................. (1,405) (2,667) NET ASSETS Beginning of period...................................... 40,098 42,765 ------------ ------------ End of period (including undistributed/(overdistributed) net investment income of $82 and $0, respectively)..... $ 38,693 $ 40,098 ============ ============
See accompanying notes which are an integral part of the financial statements. Tax-Managed Global Equity Fund 5 TAX-MANAGED GLOBAL EQUITY FUND FINANCIAL HIGHLIGHTS - CLASS C For a Share Outstanding Throughout each Period.
FISCAL YEAR ENDED OCTOBER 31, ------------------------------------- 2003* 2002 2001 2000** ------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 6.15 $ 7.29 $ 9.73 $ 10.00 --------- --------- --------- ----------- INCOME FROM OPERATIONS Net investment income (loss) (a)(b)...................... .02 (.05) (.06) (.06) Net realized and unrealized gain (loss).................. .21 (1.03) (2.38) (.19) --------- --------- --------- ----------- Total income (loss) from operations................... .23 (1.08) (2.44) (.25) --------- --------- --------- ----------- DISTRIBUTIONS From net investment income............................... -- -- -- (.02) From net realized gain................................... -- (.06) -- -- --------- --------- --------- ----------- Total distributions................................... -- (.06) -- (.02) --------- --------- --------- ----------- NET ASSET VALUE, END OF PERIOD.............................. $ 6.38 $ 6.15 $ 7.29 $ 9.73 ========= ========= ========= =========== TOTAL RETURN (%) (c)........................................ 3.74 (14.94) (25.08) (2.55) RATIOS/SUPPLEMENTAL DATA: Net Assets, end of period (in thousands)................. 9,423 10,130 8,104 7,133 Ratios to average net assets (%): Operating expenses, net (d)........................... 1.00 1.00 1.00 1.00 Operating expenses, gross (d)......................... 1.20 1.20 1.20 1.20 Net investment income (loss) (c)...................... .28 (.68) (.73) (.68) Portfolio turnover rate (%).............................. 51.41 52.55 30.55 44.04
* For the six months ended April 30, 2003 (Unaudited). ** For the period January 31, 2000 (commencement of operations) to October 31, 2000. (a) Average month-end shares outstanding were used for this calculation. (b) Recognition of net investment income by the Fund is affected by the timing of the declarations of dividends by the Underlying Funds in which the Fund invests. (c) Periods less than one year are not annualized. (d) The ratios for periods less than one year are annualized. See accompanying notes which are an integral part of the financial statements. 6 Tax-Managed Global Equity Fund TAX-MANAGED GLOBAL EQUITY FUND FINANCIAL HIGHLIGHTS - CLASS S For a Share Outstanding Throughout each Period.
FISCAL YEAR ENDED OCTOBER 31, ------------------------------------- 2003* 2002 2001 2000** ------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 6.27 $ 7.38 $ 9.77 $ 10.00 --------- --------- --------- ----------- INCOME FROM OPERATIONS Net investment income (loss) (a)(b)...................... .05 .03 .02 .01 Net realized and unrealized gain (loss).................. .22 (1.06) (2.39) (.22) --------- --------- --------- ----------- Total income (loss) from operations................... .27 (1.03) (2.37) (.21) --------- --------- --------- ----------- DISTRIBUTIONS From net investment income............................... (.04) (.02) (.02) (.02) From net realized gain................................... -- (.06) -- -- --------- --------- --------- ----------- Total distributions................................... (.04) (.08) (.02) (.02) --------- --------- --------- ----------- NET ASSET VALUE, END OF PERIOD.............................. $ 6.50 $ 6.27 $ 7.38 $ 9.77 ========= ========= ========= =========== TOTAL RETURN (%) (c)........................................ 4.25 (14.10) (24.27) (2.12) RATIOS/SUPPLEMENTAL DATA: Net Assets, end of period (in thousands)................. 29,270 29,968 34,661 26,802 Ratios to average net assets (%): Operating expenses, net (d)........................... .00 .00 .00 .00 Operating expenses, gross (d)......................... .20 .20 .20 .20 Net investment income (loss) (c)...................... .78 .39 .29 .06 Portfolio turnover rate (%).............................. 51.41 52.55 30.55 44.04
* For the six months ended April 30, 2003 (Unaudited). ** For the period February 1, 2000 (commencement of operations) to October 31, 2000. (a) Average month-end shares outstanding were used for this calculation. (b) Recognition of net investment income by the Fund is affected by the timing of the declarations of dividends by the Underlying Funds in which the Fund invests. (c) Periods less than one year are not annualized. (d) The ratios for periods less than one year are annualized. See accompanying notes which are an integral part of the financial statements. Tax-Managed Global Equity Fund 7 TAX-MANAGED GLOBAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION Frank Russell Investment Company (the "Investment Company") is a series mutual fund with 32 different investment portfolios, referred to as "Funds." These financial statements report on one Fund, which has a distinct investment objective and strategy. The Investment Company is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. It is organized and operates as a Massachusetts business trust under an amended master trust agreement dated July 26, 1984. The Investment Company's master trust agreement permits the Board of Trustees to issue an unlimited number of full and fractional shares of beneficial interest at a $.01 par value. The Fund allocates its assets by investing in a combination of Class S shares of the Investment Company's portfolios (the "Underlying Funds"). The Fund will adjust its investments within set limits based on Frank Russell Investment Management Company's ("FRIMCo" or "Advisor") outlook for the economy, financial markets and relative market valuation of the asset classes represented by each Underlying Fund. However, the Fund may deviate from set limits when, in FRIMCo's opinion, it is necessary to do so to pursue the Fund's investment objective. The amounts allocated to each Underlying Fund by the Fund will generally vary within 10% of the percentages specified below:
ASSET ALLOCATION ASSET CLASS/UNDERLYING FUNDS TARGETS --------------------------------------------------- Equities US Equities Tax-Managed Large Cap 50% Tax-Managed Mid & Small Cap 15 Quantitative Equity 10 International Equities International Securities 20 Emerging Markets 5
Objectives of the Underlying Funds: Tax-Managed Large Cap Fund To provide capital growth on an after-tax basis by investing principally in equity securities. Tax-Managed Mid & Small Cap Fund To provide capital growth on an after-tax basis by investing principally in equity securities of small capitalization companies. Quantitative Equity Fund To provide a total return greater than the total return of the US stock market (as measured by the Russell 1000(R) Index over a market cycle of four to six years), while maintaining volatility and diversification similar to the Index. International Securities Fund To provide favorable total return and additional diversification for US investors by investing primarily in equity securities of non-US companies. Emerging Markets Fund To provide maximum total return, primarily through capital appreciation and by assuming a higher level of volatility than is ordinarily expected from developed market international portfolios by investing primarily in equity securities. Financial statements of the Underlying Funds can be obtained by calling the Office of Shareholder Inquiries at (800) 787-7354. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP") which require the use of management estimates. The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of these financial statements. 8 Notes to Financial Statements TAX-MANAGED GLOBAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Security valuation Investments in Underlying Funds are valued at the net asset value per share of each Underlying Fund as of 4:00 p.m. Eastern time, or the close of regular trading on the New York Stock Exchange, if earlier. Investment transactions Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the basis of specific identified cost. Investment income Distributions of income and capital gains from the Underlying Funds are recorded on the ex-dividend date. Federal income taxes As a Massachusetts business trust, the Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to the Fund's shareholders without regard to the income and capital gains (or losses) of the other Funds. It is the Fund's intention to qualify as a regulated investment company and distribute all of its taxable income and capital gains. Therefore, no federal income tax provision was required for the Fund. Dividends and distributions to shareholders Income dividends are generally declared and paid quarterly. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Fund to avoid imposition of federal income and excise tax on any remaining undistributed capital gains and net investment income. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from GAAP. As a result, net investment income and net realized gain (or loss) from investment transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and GAAP relate primarily to certain securities sold at a loss. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting its net asset value. Expenses Expenses are allocated based upon their relative net assets. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Class Allocation The Fund offers the following classes of shares: Class C and Class S. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses) and net investment income, other than class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Guarantees In the normal course of business the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund expects the risk of loss to be remote. 3. INVESTMENT TRANSACTIONS Securities During the period ended April 30, 2003, purchases and sales of the Underlying Funds were as follows:
PURCHASES SALES -------------------------------------------------------------------------------- Tax-Managed Global Equity $19,299,057 $22,682,510
Notes to Financial Statements 9 TAX-MANAGED GLOBAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 4. RELATED PARTIES Advisor and Administrator FRIMCo advises and administers all of the Funds which comprise the Investment Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company. The Fund is permitted to invest its cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Fund's objectives) in the Frank Russell Investment Company Money Market Fund. As of April 30, 2003, the Fund had no amount invested in the Money Market Fund. The Fund is charged an advisory fee equal to 0.20% and an administrative fee equal to 0.05% of average daily net assets. For the period ended April 30, 2003, the Advisor contractually agreed to waive the advisory fee. The administrative fee was charged to the Underlying Funds in accordance with the Special Servicing Agreements discussed below. The Fund will not bear any operating expenses. Operating expenses include those expenses arising from accounting, administrative custody, auditing, legal and transfer agent services. They do not include expenses attributable to advisory fees (which are currently waived by FRIMCo), any Rule 12b-1 distribution fee, any shareholder service fees, or any nonrecurring extraordinary expenses. The Fund's operating expenses are borne either by the Underlying Funds in which the Fund invests or by FRIMCo. This arrangement is governed by Special Servicing Agreements among each of the affected Funds and FRIMCo. Those agreements are entered into on a yearly basis and must be re-approved annually by the Investment Company's Board of Trustees. Transfer agent The Investment Company has a contract with FRIMCo to provide transfer agent services to the Fund. The Underlying Funds have borne this expense. Distributor and Shareholder Servicing Pursuant to the Distribution Agreement with the Investment Company, Russell Fund Distributors, Inc. ("Distributor"), a wholly-owned subsidiary of FRIMCo, serves as distributor for all Investment Company portfolio shares, including Class C and Class S shares of the Fund. The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the "Plan") under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Distributor or any Selling Agents, as defined in the Plan for sales support services provided, and related expenses incurred which are primarily intended to result in the sale of Class C shares subject to the Distribution Plan. The 12b-1 distribution payments shall not exceed 0.75% of the average daily net assets of the Fund's Class C shares on an annual basis. In addition, the Investment Company has adopted a Shareholder Services Plan (the "Services Plan") under which the Fund may make payments to the Distributor or any Servicing Agent for any activities or expenses primarily intended to assist, support or service the Servicing Agents' clients who beneficially own Class C shares of the Fund. The shareholder servicing payments shall not exceed 0.25% of the average daily net assets of a Fund's Class C shares on an annual basis. Accrued shareholder servicing and distribution fees payable to affiliates as of April 30, 2003 were $7,422. Board of Trustees The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 funds, and Russell Investment Funds ("RIF"), which has 5 funds. Each of the trustees is a trustee for both FRIC and RIF. The Russell Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer of $52,000 per year, $5,000 for each regular quarterly meeting attended in person, $2,000 for each special meeting attended in person, and $2,000 for each Joint Audit Committee meeting or Nominating and Governance Committee meeting attended in person. The Trustee will receive a $500 fee for attending the meetings by phone instead of receiving the full fee had the member attended in person. Out of pocket expenses are also paid by the Russell Fund Complex. The Lead Trustee is paid a fee of $10,000 per year, and each Committee Chair is paid a fee of $6,000 per year. 10 Notes to Financial Statements TAX-MANAGED GLOBAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 5. FEDERAL INCOME TAXES At October 31, 2002, the Fund had a net tax basis capital loss carryforward which may be applied against any net realized taxable gains in each succeeding year or until its expiration date, whichever occurs first. Available capital carryforwards of $3,326,050 expire on October 31, 2010. At April 30, 2003, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:
TAX-MANAGED GLOBAL EQUITY FUND ---------------------------------------------------------- Cost of Investments $ 48,037,319 =================== Unrealized Appreciation $ -- Unrealized Depreciation (9,358,061) ------------------- Net Unrealized Appreciation (Depreciation) $ (9,358,061) ===================
6. FUND SHARE TRANSACTIONS Share transactions for the period ended April 30, 2003 and year ended October 31, 2002 were as follows:
SHARES DOLLARS (000) TAX-MANAGED GLOBAL EQUITY 2003 2002 2003 2002 Class C Proceeds from shares sold 1,016,182 1,112,606 $ 6,338 $ 7,611 Proceeds from reinvestment of distributions -- 8,882 -- 69 Payments for shares redeemed (1,186,672) (585,185) (7,356) (4,057) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (170,490) 536,303 (1,018) 3,623 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 2,609,242 4,356,656 16,442 32,961 Proceeds from reinvestment of distributions 24,551 70,843 155 559 Payments for shares redeemed (2,911,820) (4,347,874) (18,377) (31,676) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (278,027) 79,625 (1,780) 1,844 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (448,517) 615,928 $ (2,798) $ 5,467 ================= ================= ================= =================
7. LINE OF CREDIT Each of the Funds of the Investment Company share in a $75 million revolving credit facility for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Funds are charged an annual commitment fee of .125% on the average daily unused amount of the aggregate commitment, which is allocated among each of the Funds. Interest is calculated at the Federal Fund Rate plus .50% annually. The Fund may borrow up to a maximum of 33.33% of the value of its net assets under the agreement. The agreement will expire December 24, 2003. The Fund did not have any drawdowns during the period ended April 30, 2003. 8. BENEFICIAL INTEREST As of April 30, 2003, the following table includes one shareholder with shares of beneficial interest of greater than 10% of the total outstanding shares of the Fund:
% ---------------------------------------------------------- Tax-Managed Global Equity 19.3
Notes to Financial Statements 11 TAX-MANAGED GLOBAL EQUITY FUND DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- The following tables provide information for each officer and trustee of the Russell Fund Complex. The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 funds and Russell Investment Funds ("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and RIF. The first table provides information for trustees who are interested trustees. The second table provides information for the independent trustees. The third table provides information for the officers.
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- *George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 37 None Jr., and Chairman successor is - Chairman Emeritus, FRIC and Born July 3, 1932 Emeritus since duly elected RIF 1999 and qualified - Chairman Emeritus, Frank 909 A Street Russell Securities, Inc., Tacoma, Washington Russell 20/20 Association 98402-1616 Frank Russell Trust Company - Director Emeritus FRIMCo - From 1984 to December 1998, Chairman of the Board of FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 37 - Trustee, The Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds 1939 duly elected Trustee, FRIC and RIF (investment Chairman of the and qualified - CEO and Chairman of the company) 909 A Street Board since 1999 Board, Russell Fund Tacoma, Washington Distributors, Inc. and 98402-1616 FRIMCo - Trustee, President and Chairman of the Board, SSgA Funds (investment company) - Trustee and Chairman of the Board, Frank Russell Trust Company - Director, Frank Russell Investments (Ireland) Limited and Frank Russell Investments (Cayman) Ltd. - Until October 2002, President and CEO, FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Michael J.A. Trustee since Appointed until - Chairman of the Board, 37 None Phillips, 2002 successor is President, CEO and Director, Born January 20, duly elected FRC 1948 and qualified - Trustee, FRIC and RIF - Director, FRTC and Frank 909 A Street Russell Capital Inc. Tacoma, Washington - Director/Chairman, Frank 98402-1616 Russell Investments (Delaware), Inc. - Director, Chairman of the Board and President, Russell 20/20 Association - Director, Frank Russell Company Pty. Limited, Frank Russell Japan Co., Ltd., Frank Russell Investments (Suisse), S.A., and Frank Russell Company Limited ----------------------------------------------------------------------------------------------------------------------------
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an affiliate of FRIC and RIF and is therefore an interested trustee. 12 Disclosure of Information about Fund Directors TAX-MANAGED GLOBAL EQUITY FUND DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 37 None Born October 15, 1984 successor is Anderson Management Group 1931 duly elected LLC (private investments and qualified consulting) 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 37 None Born December 1, since 2003 successor is - Trustee of FRIC and RIF 1919 duly elected until 2002 and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- William E. Baxter, Trustee since Appointed until - Retired since 1986 37 None Born June 8, 1925 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 37 - Trustee WM Group Born January 22, 2000 successor is Blake, P.S. (accounting of Funds 1954 duly elected services) (investment and qualified company); 909 A Street - Director, Avista Tacoma, Washington Corp 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Daniel P. Connealy, Trustee since Appointed until - 2001-2003, Vice President 37 - Director, Gold Born June 6, 1946 April 2003 successor is and Chief Financial Officer, Banc duly elected Janus Capital Group Inc. Corporation, 909 A Street and qualified - 1979-2001, Audit and Inc. Tacoma, Washington Accounting Partner, 98402-1616 PricewaterhouseCoopers LLP ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 37 None Born October 6, 1984 successor is 1930 duly elected and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 37 None Born May 5, 1926 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ----------------------------------------------------------------------------------------------------------------------------
Disclosure of Information about Fund Directors 13 TAX-MANAGED GLOBAL EQUITY FUND DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES (CONTINUED) ---------------------------------------------------------------------------------------------------------------------------- Raymond P. Trustee since Appointed until - Currently, President, 37 None Tennison, Jr., 2000 successor is Simpson Investment Company Born December 21, duly elected and several additional 1955 and qualified subsidiary companies, including Simpson Timber 909 A Street Company, Simpson Paper Tacoma, Washington Company and Simpson Tacoma 98402-1616 Kraft Company ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Julie W. Weston, Trustee since Appointed until - Retired since 2000 37 None Born October 2, 2002 successor is - 1997 to 2000, Arbitrator, 1943 duly elected The American Arbitration and qualified Association Commercial Panel 909 A Street - 1995 to 1999, Hearing Tacoma, Washington Officer, University of 98402-1616 Washington ----------------------------------------------------------------------------------------------------------------------------
14 Disclosure of Information about Fund Directors TAX-MANAGED GLOBAL EQUITY FUND DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------- Position(s) Held Name, with Fund and Term Principal Occupation(s) Age, Length of of During the Address Time Served Office Past 5 Years -------------------------------------------------------------------------------------------------------------------------- OFFICERS -------------------------------------------------------------------------------------------------------------------------- Leonard P. Brennan, President and Until successor - President and CEO, FRIC Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank 909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments Tacoma, Washington (Singapore) Private Limited and Frank Russell 98402-1616 Investments (UK) Limited - Director, President and CEO, FRIMCo - Director and COO, Frank Russell Company Limited and Russell Systems Limited - President, Russell Insurance Agency, Inc. - 1995 to present, Managing Director of International Operations of FRC -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF Born November 26, 1963 Chief Accounting is chosen and 1998 to present Officer since qualified by - Director, Funds Administration, FRIMCo and Frank 909 A Street 1998 Trustees Russell Trust Company Tacoma, Washington - Treasurer, SSgA Funds (investment company) 98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund Distributors, Inc. - April 1996 to August 1998, Assistant Treasurer, FRIC and RIF; November 1995 to July 1998, Assistant Secretary, SSgA Funds; February 1997 to July 1998, Manager, Funds Accounting and Taxes, FRIMCo -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Randall P. Lert, Director of Until removed - Director of Investments, FRIC and RIF Born October 3, 1953 Investments by Trustees - Chief Investment Officer, Frank Russell Trust Company since 1991 - Director, FRIMCo and Russell Fund Distributors, Inc. 909 A Street Tacoma, Washington 98402-1616 -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo, Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund since 1994 Distributors, Inc. 909 A Street - Director, Secretary and General Counsel, Frank Tacoma, Washington Russell Capital Inc. 98402-1616 - Director and Secretary, Russell 20-20 Association -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark D. Amberson Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF, Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF, 909 A Street since 2001 FRIMCo and Frank Russell Trust Company Tacoma, Washington 98402-1616 --------------------------------------------------------------------------------------------------------------------------
Disclosure of Information about Fund Directors 15 TAX-MANAGED GLOBAL EQUITY FUND FRANK RUSSELL INVESTMENT COMPANY 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 -------------------------------------------------------------------------------- TRUSTEES Lynn L. Anderson, Chairman Paul E. Anderson William E. Baxter Kristianne Blake Daniel P. Connealy Lee C. Gingrich Eleanor W. Palmer Michael J.A. Phillips Raymond P. Tennison, Jr. Julie W. Weston TRUSTEES EMERITUS George F. Russell, Jr. Paul Anton, PhD OFFICERS Lynn L. Anderson, Chairman of the Board Leonard P. Brennan, President and Chief Executive Officer Karl Ege, Secretary and General Counsel Mark E. Swanson, Treasurer and Chief Accounting Officer Mark Amberson, Director of Short Term Investment Funds Randall P. Lert, Director of Investments Sharon L. Hammel, Director of Portfolio Implementation Gregory J. Lyons, Assistant Secretary and Associate General Counsel Deedra S. Walkey, Assistant Secretary Mary Beth Rhoden, Assistant Secretary Greg S. Korte, Assistant Treasurer David J. Craig, Assistant Treasurer Stephen J. Meyer, Assistant Treasurer Amy L. Osler, Assistant Secretary MANAGER, TRANSFER AND DIVIDEND PAYING AGENT Frank Russell Investment Management Company 909 A Street Tacoma, WA 98402 CONSULTANT Frank Russell Company 909 A Street Tacoma, WA 98402 CUSTODIAN State Street Bank and Trust Company Allan Forbes Building 150 Newport Avenue AFB35 North Quincy, MA 02171 OFFICE OF SHAREHOLDER INQUIRIES 909 A Street Tacoma, WA 98402 (800) 787-7354 LEGAL COUNSEL Stradley, Ronon, Stevens & Young, LLP 2600 One Commerce Square Philadelphia, PA 19103-7098 DISTRIBUTOR Russell Fund Distributors, Inc. 909 A Street Tacoma, WA 98402 MONEY MANAGERS OF UNDERLYING FUNDS Quantitative Equity Fund Barclays Global Fund Advisors, San Francisco, CA Franklin Portfolio Associates, LLC, Boston, MA Jacobs Levy Equity Management, Inc., Florham Park, NJ J.P. Morgan Investment Management Inc., New York, NY Tax-Managed Large Cap Fund J.P. Morgan Investment Management Inc., New York, NY Tax-Managed Mid & Small Cap Fund Geewax, Terker & Company, Chadds Ford, PA Emerging Markets Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY Foreign & Colonial Emerging Markets Limited, London, England Genesis Asset Managers Limited, London, England Schroder Investment Management North America Ltd., New York, NY T. Rowe Price International, Inc., Baltimore, MD International Securities Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY AQR Capital Management, LLC, New York, NY Axiom International Investors LLC, Greenwich, CT Capital International, Inc., Los Angeles, CA Delaware International Advisers Ltd., London, England Fidelity Management & Research Company, Boston, MA Marvin & Palmer Associates, Inc., Wilmington, DE Mastholm Asset Management, LLC, Bellevue, WA Oechsle International Advisors, LLC, Boston, MA The Boston Company Asset Management, LLC, Boston, MA This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. 16 Manager, Money Managers and Service Providers This page has been intentionally left blank. This page has been intentionally left blank. (RUSSELL LOGO) Frank Russell Investment Company 909 A Street Tacoma, Washington 98402 253-627-7001 800-787-7354 Fax: 253-591-3495 www.russell.com 36-08-092 (1 04/03) FRANK RUSSELL INVESTMENT COMPANY LIFEPOINTS(R) FUNDS 2003 Semiannual Report CLASS A, C, D, E, AND S SHARES EQUITY AGGRESSIVE STRATEGY FUND AGGRESSIVE STRATEGY FUND BALANCED STRATEGY FUND MODERATE STRATEGY FUND CONSERVATIVE STRATEGY FUND APRIL 30, 2003 (RUSSELL LOGO) Frank Russell Investment Company Frank Russell Investment Company is a "series mutual fund" with 32 different investment portfolios. These financial statements report on five Funds, each of which has distinct investment objectives and strategies. Frank Russell Investment Management Company Responsible for overall management and administration of the Funds. Frank Russell Company Consultant to Frank Russell Investment Management Company. [Blank Page] Frank Russell Investment Company LifePoints(R) Funds Semiannual Report April 30, 2003 (Unaudited) Table of Contents
Page Equity Aggressive Strategy Fund...................................... 3 Aggressive Strategy Fund............................................. 4 Balanced Strategy Fund............................................... 5 Moderate Strategy Fund............................................... 6 Conservative Strategy Fund........................................... 7 Statement of Assets and Liabilities.................................. 8 Statement of Operations.............................................. 10 Statement of Changes in Net Assets................................... 12 Financial Highlights................................................. 14 Notes to Financial Statements........................................ 25 Disclosure of Information about Fund Directors....................... 35 Manager, Money Managers and Service Providers........................ 39
Frank Russell Investment Company - LifePoints Funds Copyright (c) Frank Russell Company 2003. All rights reserved. This material is proprietary and may not be reproduced, transferred, or distributed in any form without prior written permission from Frank Russell Company. It is delivered on an "as is" basis without warranty. The Russell logo is a trademark and service mark of Frank Russell Company. Frank Russell Company and Standard & Poor's Corporation are the owners of the trademarks, service marks, and copyrights related to their respective indexes. This material must be accompanied or preceded by a current Frank Russell Investment Company Prospectus containing complete information concerning the investment objectives and operations of the Company, charges, and expenses. The Prospectus should be read carefully before an investment is made. Performance and yields are reported net of investment advisory fees but gross of investment services fees, descriptions of which can be obtained from the investment advisor. Investment services fees and other account expenses will reduce performance (e.g., an investment services fee of 0.2% off average managed assets will reduce a 10.0% Semiannual return to 9.8%). The performance quoted represents past performance and the investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Investments in securities of non-US issuers and foreign currencies involve investment risks different than those of US issuers; the Prospectus contains further information and details regarding these risks. Russell Fund Distributors, Inc., is the distributor of Frank Russell Investment Company. [Blank Page] LIFEPOINTS(R) FUNDS EQUITY AGGRESSIVE STRATEGY FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- INVESTMENTS Portfolios of the Frank Russell Investment Company Series Mutual Fund - Class S Shares Domestic Equities - 74.8% Diversified Equity Fund 2,945 94,040 Quantitative Equity Fund 3,337 94,040 Real Estate Securities Fund 534 15,674 Special Growth Fund 830 31,347 ------------ 235,101 ------------ International Equities - 24.9% Emerging Markets Fund 1,992 15,674 International Securities Fund 1,569 62,696 ------------ 78,370 ------------ TOTAL INVESTMENTS - 99.7% (identified cost $362,924) 313,471 OTHER ASSETS AND LIABILITIES NET - 0.3% 948 ------------ NET ASSETS - 100.0% 314,419 ============
See accompanying notes which are an integral part of the financial statements. Equity Aggressive Strategy Fund 3 LIFEPOINTS(R) FUNDS AGGRESSIVE STRATEGY FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- INVESTMENTS Portfolios of the Frank Russell Investment Company Series Mutual Fund - Class S Shares Bonds - 18.0% Multistrategy Bond Fund 9,615 101,148 ------------ Domestic Equities - 57.9% Diversified Equity Fund 3,696 118,006 Quantitative Equity Fund 4,188 118,005 Real Estate Securities Fund 957 28,097 Special Growth Fund 1,636 61,812 ------------ 325,920 ------------ International Equities - 23.9% Emerging Markets Fund 3,570 28,097 International Securities Fund 2,671 106,767 ------------ 134,864 ------------ TOTAL INVESTMENTS - 99.8% (identified cost $634,634) 561,932 OTHER ASSETS AND LIABILITIES NET - 0.2% 1,166 ------------ NET ASSETS - 100.0% 563,098 ============
See accompanying notes which are an integral part of the financial statements. 4 Aggressive Strategy Fund LIFEPOINTS(R) FUNDS BALANCED STRATEGY FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- INVESTMENTS Portfolios of the Frank Russell Investment Company Series Mutual Fund - Class S Shares Bonds - 40.8% Diversified Bond Fund 10,806 261,495 Multistrategy Bond Fund 15,909 167,359 ------------ 428,854 ------------ Domestic Equities - 41.8% Diversified Equity Fund 5,241 167,354 Quantitative Equity Fund 5,939 167,360 Real Estate Securities Fund 1,776 52,155 Special Growth Fund 1,385 52,309 ------------ 439,178 ------------ International Equities - 17.0% Emerging Markets Fund 3,989 31,390 International Securities Fund 3,665 146,473 ------------ 177,863 ------------ TOTAL INVESTMENTS - 99.6% (identified cost $1,095,796) 1,045,895 OTHER ASSETS AND LIABILITIES NET - 0.4% 4,399 ------------ NET ASSETS - 100.0% 1,050,294 ============
See accompanying notes which are an integral part of the financial statements. Balanced Strategy Fund 5 LIFEPOINTS(R) FUNDS MODERATE STRATEGY FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- INVESTMENTS Portfolios of the Frank Russell Investment Company Series Mutual Fund - Class S Shares Bonds - 59.7% Diversified Bond Fund 3,281 79,407 Short Term Bond Fund 5,078 97,047 ------------ 176,454 ------------ Domestic Equities - 28.9% Diversified Equity Fund 1,013 32,345 Quantitative Equity Fund 1,148 32,346 Real Estate Securities Fund 498 14,618 Special Growth Fund 156 5,883 ------------ 85,192 ------------ International Equities - 11.0% Emerging Markets Fund 748 5,888 International Securities Fund 663 26,486 ------------ 32,374 ------------ TOTAL INVESTMENTS - 99.6% (identified cost $291,636) 294,020 OTHER ASSETS AND LIABILITIES NET - 0.4% 1,328 ------------ NET ASSETS - 100.0% 295,348 ============
See accompanying notes which are an integral part of the financial statements. 6 Moderate Strategy Fund LIFEPOINTS(R) FUNDS CONSERVATIVE STRATEGY FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- INVESTMENTS Portfolios of the Frank Russell Investment Company Series Mutual Fund - Class S Shares Bonds - 77.8% Diversified Bond Fund 2,697 65,265 Short Term Bond Fund 11,384 217,540 ------------ 282,805 ------------ Domestic Equities - 15.9% Diversified Equity Fund 568 18,127 Quantitative Equity Fund 772 21,752 Real Estate Securities Fund 614 18,048 ------------ 57,927 ------------ International Equities - 6.0% Emerging Markets Fund 461 3,626 International Securities Fund 454 18,137 ------------ 21,763 ------------ TOTAL INVESTMENTS - 99.7% (identified cost $355,165) 362,495 OTHER ASSETS AND LIABILITIES NET - 0.3% 937 ------------ NET ASSETS - 100.0% 363,432 ============
See accompanying notes which are an integral part of the financial statements. Conservative Strategy Fund 7 LIFEPOINTS(R) FUNDS STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
EQUITY AGGRESSIVE AGGRESSIVE STRATEGY FUND STRATEGY FUND --------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at identified cost $ 362,924 $ 634,634 --------------------------------------------------------------------------------------------------------------------- Investments, at market 313,471 561,932 Receivables: Investments sold 5,374 12,187 Fund shares sold 1,928 4,346 ------------------- -------------------- Total assets 320,773 578,465 ------------------- -------------------- LIABILITIES Payables: Due to Custodian 117 211 Fund shares redeemed 6,141 14,966 Accrued fees to affiliates 96 190 ------------------- -------------------- Total liabilities 6,354 15,367 ------------------- -------------------- NET ASSETS $ 314,419 $ 563,098 =================== ==================== Net Assets Consist of: Undistributed/(overdistributed) net investment income $ (123) $ (195) Accumulated net realized gain (loss) (45,857) (26,748) Unrealized appreciation (depreciation) on investments (49,453) (72,702) Shares of beneficial interest 454 720 Additional paid-in capital 409,398 662,023 ------------------- -------------------- NET ASSETS $ 314,419 $ 563,098 =================== ==================== NET ASSET VALUE, PER SHARE: Net asset value per share: Class A* $ 7.03 $ 7.81 Maximum offering price per share (Net asset value plus sales charge of 5.75% of offering price): Class A $ 7.46 $ 8.29 Class A -- Net assets $ 280,107 $ 2,433,060 Class A -- Shares outstanding ($.01 par value) 39,842 311,578 Net asset value per share: Class C* $ 6.83 $ 7.79 Class C -- Net assets $ 56,213,671 $ 135,866,177 Class C -- Shares outstanding ($.01 par value) 8,233,497 17,445,721 Net asset value per share: Class D* $ 6.94 $ 7.84 Class D -- Net assets $ 76,972,706 $ 133,762,145 Class D -- Shares outstanding ($.01 par value) 11,090,668 17,070,570 Net asset value per share: Class E* $ 6.93 $ 7.81 Class E -- Net assets $ 123,995,423 $ 182,523,494 Class E -- Shares outstanding ($.01 par value) 17,897,148 23,359,539 Net asset value per share: Class S* $ 7.00 $ 7.84 Class S -- Net assets $ 56,957,187 $ 108,513,435 Class S -- Shares outstanding ($.01 par value) 8,141,644 13,836,891
---------- * Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding. See accompanying notes which are an integral part of the financial statements. 8 Frank Russell Investment Company LifePoints(R) Fund
BALANCED MODERATE CONSERVATIVE STRATEGY FUND STRATEGY FUND STRATEGY FUND -------------------------------------------------- $ 1,095,796 $ 291,636 $ 355,165 -------------------------------------------------- 1,045,895 294,020 362,495 8,213 1,530 2,202 6,417 2,876 2,236 -------------- -------------- -------------- 1,060,525 298,426 366,933 -------------- -------------- -------------- 127 11 -- 9,734 2,967 3,399 370 100 102 -------------- -------------- -------------- 10,231 3,078 3,501 -------------- -------------- -------------- $ 1,050,294 $ 295,348 $ 363,432 ============== ============== ============== $ (371) $ (100) $ (106) (34,807) (9,389) (4,021) (49,901) 2,384 7,330 1,220 316 360 1,134,153 302,137 359,869 -------------- -------------- -------------- $ 1,050,294 $ 295,348 $ 363,432 ============== ============== ============== $ 8.61 $ 9.34 $ 10.10 $ 9.14 $ 9.91 $ 10.72 $ 6,494,997 $ 1,877,486 $ 770,939 754,725 201,095 76,307 $ 8.58 $ 9.32 $ 10.06 $ 256,717,518 $ 61,342,124 $ 43,776,847 29,917,078 6,580,120 4,351,007 $ 8.62 $ 9.36 $ 10.14 $ 256,824,838 $ 93,177,228 $ 59,965,185 29,796,461 9,949,643 5,914,953 $ 8.61 $ 9.33 $ 10.10 $ 343,224,758 $ 83,931,805 $ 225,747,987 39,869,900 8,995,155 22,347,012 $ 8.64 $ 9.35 $ 10.14 $ 187,031,408 $ 55,019,373 $ 33,170,764 21,656,368 5,884,943 3,272,704
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company LifePoints(R) Fund 9 LIFEPOINTS(R) FUNDS STATEMENT OF OPERATIONS -- FOR THE SIX MONTHS ENDED APRIL 30, 2003 (UNAUDITED) Amounts in thousands
EQUITY AGGRESSIVE AGGRESSIVE STRATEGY FUND STRATEGY FUND --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Income distributions from Underlying Funds $ 1,566 $ 3,906 EXPENSES Advisory fees 272 477 Distribution fees - Class A -- -- Distribution fees - Class C 178 424 Distribution fees - Class D 63 113 Shareholder servicing fees - Class C 59 141 Shareholder servicing fees - Class D 63 113 Shareholder servicing fees - Class E 142 202 ------------------- -------------------- Expenses before reductions 777 1,470 Expense reductions (272) (477) ------------------- -------------------- Net expenses 505 993 ------------------- -------------------- Net investment income (loss) 1,061 2,913 ------------------- -------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on investments (14,642) (12,821) Net change in unrealized appreciation (depreciation) on investments 25,400 34,009 ------------------- -------------------- Net realized and unrealized gain (loss) 10,758 21,188 ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 11,819 $ 24,101 =================== ====================
See accompanying notes which are an integral part of the financial statements. 10 Frank Russell Investment Company LifePoints(R) Fund
BALANCED MODERATE CONSERVATIVE STRATEGY FUND STRATEGY FUND STRATEGY FUND ----------------------------------------------- $ 13,951 $ 4,496 $ 2,839 867 236 172 1 -- -- 796 178 123 232 82 51 266 59 41 231 82 50 371 92 88 ------------- ------------- ------------- 2,764 729 525 (867) (236) (172) ------------- ------------- ------------- 1,897 493 353 ------------- ------------- ------------- 12,054 4,003 2,486 ------------- ------------- ------------- (13,523) (4,171) (1,313) 44,504 9,741 6,387 ------------- ------------- ------------- 30,981 5,570 5,074 ------------- ------------- ------------- $ 43,035 $ 9,573 $ 7,560 ============= ============= =============
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company LifePoints(R) Fund 11 LIFEPOINTS(R) FUNDS STATEMENT OF CHANGES IN NET ASSETS Amounts in thousands
EQUITY AGGRESSIVE AGGRESSIVE STRATEGY FUND STRATEGY FUND ------------------------------------ ------------------------------------- SIX MONTHS ENDED FISCAL SIX MONTHS ENDED FISCAL APRIL 30, 2003 YEAR ENDED APRIL 30, 2003 YEAR ENDED (UNAUDITED) OCTOBER 31, 2002 (UNAUDITED) OCTOBER 31, 2002 --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income (loss) $ 1,061 $ 952 $ 2,913 $ 4,693 Net realized gain (loss) (14,642) (22,687) (12,821) (10,131) Net change in unrealized appreciation (depreciation) 25,400 (13,694) 34,009 (36,828) ---------------- ---------------- ---------------- ----------------- Net increase (decrease) in net assets from operations 11,819 (35,429) 24,101 (42,266) ---------------- ---------------- ---------------- ----------------- DISTRIBUTIONS From net investment income Class A -- -- (2) -- Class C (78) (68) (423) (560) Class D (165) (42) (546) (353) Class E (538) (590) (1,180) (2,270) Class S (403) (328) (957) (1,651) From net realized gain Class C -- (743) -- (1,703) Class D -- (243) -- (336) Class E -- (2,718) -- (3,532) Class S -- (1,106) -- (1,810) ---------------- ---------------- ---------------- ----------------- Net decrease in net assets from distributions (1,184) (5,838) (3,108) (12,215) ---------------- ---------------- ---------------- ----------------- SHARE TRANSACTIONS Net increase (decrease) in net assets from share transactions 52,424 36,710 120,678 115,629 ---------------- ---------------- ---------------- ----------------- TOTAL NET INCREASE (DECREASE) IN NET ASSETS 63,059 (4,557) 141,671 61,148 NET ASSETS Beginning of period 251,360 255,917 421,427 360,279 ---------------- ---------------- ---------------- ----------------- End of period $ 314,419 $ 251,360 $ 563,098 $ 421,427 ================ ================ ================ ================= Undistributed/(overdistributed) net investment income included in net assets $ (123) $ -- $ (195) $ --
See accompanying notes which are an integral part of the financial statements. 12 Frank Russell Investment Company LifePoints(R) Fund
BALANCED MODERATE CONSERVATIVE STRATEGY FUND STRATEGY FUND STRATEGY FUND ----------------------------------- ----------------------------------- ----------------------------------- SIX MONTHS ENDED FISCAL SIX MONTHS ENDED FISCAL SIX MONTHS ENDED FISCAL APRIL 30, 2003 YEAR ENDED APRIL 30, 2003 YEAR ENDED APRIL 30, 2003 YEAR ENDED (UNAUDITED) OCTOBER 31, 2002 (UNAUDITED) OCTOBER 31, 2002 (UNAUDITED) OCTOBER 31, 2002 --------------------------------------------------------------------------------------------------------------- $ 12,054 $ 13,197 $ 4,003 $ 3,796 $ 2,486 $ 2,417 (13,523) (15,440) (4,171) (3,832) (1,313) (2,085) 44,504 (38,858) 9,741 (2,979) 6,387 710 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 43,035 (41,101) 9,573 (3,015) 7,560 1,042 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (10) -- (8) -- (1) -- (2,503) (2,376) (698) (608) (368) (417) (2,592) (1,440) (1,086) (473) (525) (381) (4,495) (6,198) (1,342) (1,672) (1,277) (1,050) (2,825) (3,449) (969) (1,102) (421) (605) -- (1,689) -- (118) -- (11) -- (504) -- (37) -- (4) -- (3,387) -- (310) -- (25) -- (1,461) -- (146) -- (12) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (12,425) (20,504) (4,103) (4,466) (2,592) (2,505) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 286,347 234,848 99,973 89,019 248,242 63,270 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 316,957 173,243 105,443 81,538 253,210 61,807 733,337 560,094 189,905 108,367 110,222 48,415 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,050,294 $ 733,337 $ 295,348 $ 189,905 $ 363,432 $ 110,222 ================ ================ ================ ================ ================ ================ (371) $ $ -- $ (100) $ -- $ (106) $ --
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company LifePoints(R) Fund 13 LIFEPOINTS(R) FUNDS FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ NET ASSET VALUE, NET NET REALIZED $ BEGINNING OF INVESTMENT AND UNREALIZED TOTAL INCOME PERIOD INCOME (LOSS)(a)(d) GAIN (LOSS) FROM OPERATIONS -------------------------------------------------------------------------------------------------------------------- EQUITY AGGRESSIVE STRATEGY FUND Class A April 30, 2003 (3) 6.38 --(f) .66 .66 -------------------------------------------------------------------------------------------------------------------- Class C April 30, 2003 (1) 6.60 --(f) .24 .24 October 31, 2002 7.70 (.02) (.93) (.95) October 31, 2001 10.24 (.04) (2.30) (2.34) October 31, 2000 (6) 11.38 (.04) (.35) (.39) December 31, 1999 (13) 9.80 .06 1.98 2.04 -------------------------------------------------------------------------------------------------------------------- Class D April 30, 2003 (1) 6.70 .02 .24 .26 October 31, 2002 7.79 .01 (.94) (.93) October 31, 2001 10.33 --(f) (2.32) (2.32) October 31, 2000 (6) 11.43 --(f) (.34) (.34) December 31, 1999 9.81 .06 2.01 2.07 December 31, 1998 (11) 9.92 .01 .10 .11 -------------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 6.69 .03 .24 .27 October 31, 2002 7.76 .03 (.93) (.90) October 31, 2001 10.28 .03 (2.32) (2.29) October 31, 2000 (6) 11.39 .03 (.35) (.32) December 31, 1999 9.80 .10 2.00 2.10 December 31, 1998 8.83 .03 1.18 1.21 December 31, 1997 (8) 10.00 .09 (.33) (.24) -------------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 6.75 .04 .25 .29 October 31, 2002 7.83 .06 (.96) (.90) October 31, 2001 10.34 .05 (2.33) (2.28) October 31, 2000 (14) 10.91 .04 .17 .21 -------------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS FROM NET FROM NET INVESTMENT INCOME REALIZED GAIN ---------------------------------------------------------------------------- EQUITY AGGRESSIVE STRATEGY FUND Class A April 30, 2003 (3) (.01) -- ---------------------------------------------------------------------------- Class C April 30, 2003 (1) (.01) -- October 31, 2002 (.01) (.14) October 31, 2001 (.12) (.08) October 31, 2000 (6) (.14) (.61) December 31, 1999 (13) (.30) (.16) ---------------------------------------------------------------------------- Class D April 30, 2003 (1) (.02) -- October 31, 2002 (.02) (.14) October 31, 2001 (.14) (.08) October 31, 2000 (6) (.15) (.61) December 31, 1999 (.29) (.16) December 31, 1998 (11) (.17) (.05) ---------------------------------------------------------------------------- Class E April 30, 2003 (1) (.03) -- October 31, 2002 (.03) (.14) October 31, 2001 (.15) (.08) October 31, 2000 (6) (.18) (.61) December 31, 1999 (.35) (.16) December 31, 1998 (.19) (.05) December 31, 1997 (8) (.33) (.60) ---------------------------------------------------------------------------- Class S April 30, 2003 (1) (.04) -- October 31, 2002 (.04) (.14) October 31, 2001 (.15) (.08) October 31, 2000 (14) (.17) (.61) ----------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 14 Frank Russell Investment Company LifePoints(R) Fund
$ $ $ NET ASSET VALUE, % NET ASSETS, TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(b)(g) (000) ----------------------------------------------------------------------------- (.01) 7.03 10.39 280 ----------------------------------------------------------------------------- (.01) 6.83 3.66 56,214 (.15) 6.60 (12.73) 45,267 (.20) 7.70 (23.24) 40,982 (.75) 10.24 (3.37) 43,005 (.46) 11.38 21.26 15,860 ----------------------------------------------------------------------------- (.02) 6.94 3.97 76,973 (.16) 6.70 (12.34) 36,092 (.22) 7.79 (22.91) 12,208 (.76) 10.33 (2.90) 12,592 (.45) 11.43 21.58 3,732 (.22) 9.81 1.17 4,923 ----------------------------------------------------------------------------- (.03) 6.93 4.08 123,995 (.17) 6.69 (12.05) 111,765 (.23) 7.76 (22.72) 156,698 (.79) 10.28 (2.75) 190,273 (.51) 11.39 21.96 202,066 (.24) 9.80 13.75 91,459 (.93) 8.83 (2.42) 2,985 ----------------------------------------------------------------------------- (.04) 7.00 4.31 56,957 (.18) 6.75 (11.95) 58,236 (.23) 7.83 (22.43) 46,029 (.78) 10.34 1.93 25,524 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO NET(c) GROSS(c) NET ASSETS(b) TURNOVER RATE ------------------------------------------------------------------------------- .25 .45 .04 11.96 ------------------------------------------------------------------------------- 1.00 1.20 .07 11.96 1.00 1.20 (.32) 29.86 1.00 1.20 (.45) 47.86 1.00 1.25 (.35) 58.41 1.00 1.25 .59 76.20 ------------------------------------------------------------------------------- .50 .70 .25 11.96 .50 .70 .20 29.86 .50 .70 .05 47.86 .50 .75 .01 58.41 .50 .75 .64 76.20 .50 .89 .01 73.95 ------------------------------------------------------------------------------- .25 .45 .45 11.96 .25 .45 .44 29.86 .25 .45 .30 47.86 .25 .50 .24 58.41 .25 .50 .99 76.20 .25 .62 .28 73.95 .25 --(e) .45 48.30 ------------------------------------------------------------------------------- .00 .20 .62 11.96 .00 .20 .72 29.86 .00 .20 .59 47.86 .00 .25 .45 58.41 -------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company LifePoints(R) Fund 15 LIFEPOINTS(R) FUNDS FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ NET ASSET VALUE, NET NET REALIZED $ BEGINNING OF INVESTMENT AND UNREALIZED TOTAL INCOME PERIOD INCOME (LOSS)(a)(d) GAIN (LOSS) FROM OPERATIONS -------------------------------------------------------------------------------------------------------------------- AGGRESSIVE STRATEGY FUND Class A April 30, 2003 (5) 7.20 --(f) .63 .63 -------------------------------------------------------------------------------------------------------------------- Class C April 30, 2003 (1) 7.49 .02 .31 .33 October 31, 2002 8.46 .04 (.79) (.75) October 31, 2001 10.35 .05 (1.80) (1.75) October 31, 2000 (6) 11.15 .05 (.29) (.24) December 31, 1999 10.11 .13 1.36 1.49 -------------------------------------------------------------------------------------------------------------------- Class D April 30, 2003 (1) 7.54 .04 .31 .35 October 31, 2002 8.52 .08 (.79) (.71) October 31, 2001 10.41 .10 (1.81) (1.71) October 31, 2000 (6) 11.20 .09 (.28) (.19) December 31, 1999 9.95 .15 1.57 1.72 December 31, 1998 (11) 10.09 .13 (.05) .08 -------------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 7.51 .05 .30 .35 October 31, 2002 8.49 .11 (.81) (.70) October 31, 2001 10.38 .12 (1.80) (1.68) October 31, 2000 (6) 11.17 .11 (.28) (.17) December 31, 1999 9.94 .18 1.56 1.74 December 31, 1998 9.14 .19 .87 1.06 December 31, 1997 (7) 10.00 .10 (.11) (.01) -------------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 7.54 .06 .30 .36 October 31, 2002 8.52 .13 (.81) (.68) October 31, 2001 10.41 .14 (1.80) (1.66) October 31, 2000 (15) 10.82 .11 .09 .20 -------------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS FROM NET FROM NET INVESTMENT INCOME REALIZED GAIN ---------------------------------------------------------------------------- AGGRESSIVE STRATEGY FUND Class A April 30, 2003 (5) (.02) -- ---------------------------------------------------------------------------- Class C April 30, 2003 (1) (.03) -- October 31, 2002 (.05) (.17) October 31, 2001 (.10) (.04) October 31, 2000 (6) (.18) (.38) December 31, 1999 (.29) (.16) ---------------------------------------------------------------------------- Class D April 30, 2003 (1) (.05) -- October 31, 2002 (.10) (.17) October 31, 2001 (.14) (.04) October 31, 2000 (6) (.22) (.38) December 31, 1999 (.31) (.16) December 31, 1998 (11) (.21) (.01) ---------------------------------------------------------------------------- Class E April 30, 2003 (1) (.05) -- October 31, 2002 (.11) (.17) October 31, 2001 (.17) (.04) October 31, 2000 (6) (.24) (.38) December 31, 1999 (.35) (.16) December 31, 1998 (.25) (.01) December 31, 1997 (7) (.31) (.54) ---------------------------------------------------------------------------- Class S April 30, 2003 (1) (.06) -- October 31, 2002 (.13) (.17) October 31, 2001 (.19) (.04) October 31, 2000 (15) (.23) (.38) ----------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 16 Frank Russell Investment Company LifePoints(R) Fund
$ $ $ NET ASSET VALUE, % NET ASSETS, TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(b)(g) (000) ----------------------------------------------------------------------------- (.02) 7.81 8.60 2,433 ----------------------------------------------------------------------------- (.03) 7.79 4.40 135,866 (.22) 7.49 (9.20) 102,324 (.14) 8.46 (17.06) 80,514 (.56) 10.35 (2.15) 67,296 (.45) 11.15 15.21 29,365 ----------------------------------------------------------------------------- (.05) 7.84 4.64 133,762 (.27) 7.54 (8.78) 58,031 (.18) 8.52 (16.58) 15,307 (.60) 10.41 (1.72) 12,628 (.47) 11.20 17.69 6,096 (.22) 9.95 .96 3,649 ----------------------------------------------------------------------------- (.05) 7.81 4.75 182,523 (.28) 7.51 (8.64) 152,805 (.21) 8.49 (16.40) 177,992 (.62) 10.38 (1.50) 193,351 (.51) 11.17 17.95 167,677 (.26) 9.94 11.69 62,188 (.85) 9.14 (.19) 5,307 ----------------------------------------------------------------------------- (.06) 7.84 4.86 108,514 (.30) 7.54 (8.37) 108,267 (.23) 8.52 (16.15) 86,466 (.61) 10.41 1.59 35,585 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO NET(c) GROSS(c) NET ASSETS(b) TURNOVER RATE ------------------------------------------------------------------------------- .25 .45 .08 7.19 ------------------------------------------------------------------------------- 1.00 1.20 .32 7.19 1.00 1.20 .51 11.73 1.00 1.20 .53 13.12 1.00 1.25 .43 40.57 1.00 1.25 1.50 71.44 ------------------------------------------------------------------------------- .50 .70 .50 7.19 .50 .70 .92 11.73 .50 .70 1.02 13.12 .50 .75 .81 40.57 .50 .75 1.48 71.44 .50 .93 1.35 93.08 ------------------------------------------------------------------------------- .25 .45 .70 7.19 .25 .45 1.29 11.73 .25 .45 1.30 13.12 .25 .50 1.04 40.57 .25 .50 1.73 71.44 .25 .66 1.88 93.08 .25 --(e) .97 56.88 ------------------------------------------------------------------------------- .00 .20 .84 7.19 .00 .20 1.51 11.73 .00 .20 1.50 13.12 .00 .25 1.15 40.57 -------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company LifePoints(R) Fund 17 LIFEPOINTS(R) FUNDS FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ NET ASSET VALUE, NET NET REALIZED $ BEGINNING OF INVESTMENT AND UNREALIZED TOTAL INCOME PERIOD INCOME (LOSS)(a)(d) GAIN (LOSS) FROM OPERATIONS -------------------------------------------------------------------------------------------------------------------- BALANCED STRATEGY FUND Class A April 30, 2003 (3) 8.20 .01 .44 .45 -------------------------------------------------------------------------------------------------------------------- Class C April 30, 2003 (1) 8.33 .10 .25 .35 October 31, 2002 9.04 .12 (.59) (.47) October 31, 2001 10.20 .16 (1.09) (.93) October 31, 2000 (6) 10.72 .15 (.11) .04 December 31, 1999 (12) 10.26 .25 .70 .95 -------------------------------------------------------------------------------------------------------------------- Class D April 30, 2003 (1) 8.36 .11 .27 .38 October 31, 2002 9.08 .16 (.59) (.43) October 31, 2001 10.25 .21 (1.10) (.89) October 31, 2000 (6) 10.77 .17 (.09) .08 December 31, 1999 10.13 .30 .84 1.14 December 31, 1998 (11) 10.22 .24 .07 .31 -------------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 8.35 .13 .26 .39 October 31, 2002 9.06 .19 (.60) (.41) October 31, 2001 10.22 .24 (1.11) (.87) October 31, 2000 (6) 10.74 .21 (.11) .10 December 31, 1999 10.12 .30 .86 1.16 December 31, 1998 9.46 .31 .78 1.09 December 31, 1997 (7) 10.00 .09 .02 .11 -------------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 8.38 .14 .26 .40 October 31, 2002 9.09 .22 (.60) (.38) October 31, 2001 10.25 .28 (1.12) (.84) October 31, 2000 (14) 10.45 .19 .23 .42 -------------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS FROM NET FROM NET INVESTMENT INCOME REALIZED GAIN --------------------------------------------------------------------------- BALANCED STRATEGY FUND Class A April 30, 2003 (3) (.04) -- --------------------------------------------------------------------------- Class C April 30, 2003 (1) (.10) -- October 31, 2002 (.13) (.11) October 31, 2001 (.20) (.03) October 31, 2000 (6) (.24) (.32) December 31, 1999 (12) (.37) (.12) --------------------------------------------------------------------------- Class D April 30, 2003 (1) (.12) -- October 31, 2002 (.18) (.11) October 31, 2001 (.25) (.03) October 31, 2000 (6) (.28) (.32) December 31, 1999 (.38) (.12) December 31, 1998 (11) (.37) (.03) --------------------------------------------------------------------------- Class E April 30, 2003 (1) (.13) -- October 31, 2002 (.19) (.11) October 31, 2001 (.26) (.03) October 31, 2000 (6) (.30) (.32) December 31, 1999 (.42) (.12) December 31, 1998 (.40) (.03) December 31, 1997 (7) (.24) (.41) --------------------------------------------------------------------------- Class S April 30, 2003 (1) (.14) -- October 31, 2002 (.22) (.11) October 31, 2001 (.29) (.03) October 31, 2000 (14) (.30) (.32) ---------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 18 Frank Russell Investment Company LifePoints(R) Fund
$ $ $ NET ASSET VALUE, % NET ASSETS, TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(b)(g) (000) ----------------------------------------------------------------------------- (.04) 8.61 5.45 6,495 ----------------------------------------------------------------------------- (.10) 8.58 4.24 256,718 (.24) 8.33 (5.42) 186,825 (.23) 9.04 (9.25) 136,748 (.56) 10.20 .43 81,188 (.49) 10.72 9.53 39,325 ----------------------------------------------------------------------------- (.12) 8.62 4.60 256,825 (.29) 8.36 (5.01) 121,077 (.28) 9.08 (8.83) 38,381 (.60) 10.25 .84 17,296 (.50) 10.77 11.64 9,075 (.40) 10.13 3.23 4,953 ----------------------------------------------------------------------------- (.13) 8.61 4.70 343,225 (.30) 8.35 (4.73) 269,458 (.29) 9.06 (8.59) 288,164 (.62) 10.22 1.04 296,435 (.54) 10.74 11.80 295,542 (.43) 10.12 11.66 161,108 (.65) 9.46 1.04 3,554 ----------------------------------------------------------------------------- (.14) 8.64 4.81 187,031 (.33) 8.38 (4.47) 155,977 (.32) 9.09 (8.35) 96,801 (.62) 10.25 4.09 36,898 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO NET(c) GROSS(c) NET ASSETS(b) TURNOVER RATE ------------------------------------------------------------------------------- .25 .45 .16 4.91 ------------------------------------------------------------------------------- 1.00 1.20 1.13 4.91 1.00 1.20 1.38 12.18 1.00 1.20 1.71 33.42 1.00 1.25 1.43 31.70 1.00 1.25 2.96 64.63 ------------------------------------------------------------------------------- .50 .70 1.21 4.91 .50 .70 1.75 12.18 .50 .70 2.25 33.42 .50 .75 1.67 31.70 .50 .75 3.07 64.63 .50 .86 2.46 78.85 ------------------------------------------------------------------------------- .25 .45 1.51 4.91 .25 .45 2.17 12.18 .25 .45 2.51 33.42 .25 .50 2.02 31.70 .25 .50 2.89 64.63 .25 .61 3.05 78.85 .25 --(e) 1.30 29.58 ------------------------------------------------------------------------------- .00 .20 1.66 4.91 .00 .20 2.40 12.18 .00 .20 2.64 33.42 .00 .25 2.05 31.70 -------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company LifePoints(R) Fund 19 LIFEPOINTS(R) FUNDS FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ NET ASSET VALUE, NET NET REALIZED $ BEGINNING OF INVESTMENT AND UNREALIZED TOTAL INCOME PERIOD INCOME (LOSS)(a)(d) GAIN (LOSS) FROM OPERATIONS -------------------------------------------------------------------------------------------------------------------- MODERATE STRATEGY FUND Class A April 30, 2003 (4) 9.02 .05 .32 .37 -------------------------------------------------------------------------------------------------------------------- Class C April 30, 2003 (1) 9.15 .13 .18 .31 October 31, 2002 9.59 .19 (.38) (.19) October 31, 2001 10.20 .29 (.58) (.29) October 31, 2000 (6) 10.46 .24 (.02) .22 December 31, 1999 (13) 10.15 .32 .48 .80 -------------------------------------------------------------------------------------------------------------------- Class D April 30, 2003 (1) 9.19 .15 .18 .33 October 31, 2002 9.64 .23 (.38) (.15) October 31, 2001 10.24 .33 (.56) (.23) October 31, 2000 (6) 10.49 .28 (.02) .26 December 31, 1999 10.15 .33 .50 .83 December 31, 1998 (11) 10.18 .26 .09 .35 -------------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 9.16 .17 .17 .34 October 31, 2002 9.59 .27 (.38) (.11) October 31, 2001 10.20 .36 (.58) (.22) October 31, 2000 (6) 10.46 .28 --(f) .28 December 31, 1999 10.15 .40 .46 .86 December 31, 1998 9.61 .39 .57 .96 December 31, 1997 (9) 10.00 .07 (.08) (.01) -------------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 9.17 .18 .18 .36 October 31, 2002 9.61 .28 (.38) (.10) October 31, 2001 10.21 .39 (.58) (.19) October 31, 2000 (15) 10.27 .29 .19 .48 -------------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS FROM NET FROM NET INVESTMENT INCOME REALIZED GAIN --------------------------------------------------------------------------- MODERATE STRATEGY FUND Class A April 30, 2003 (4) (.05) -- --------------------------------------------------------------------------- Class C April 30, 2003 (1) (.14) -- October 31, 2002 (.20) (.05) October 31, 2001 (.30) (.02) October 31, 2000 (6) (.28) (.20) December 31, 1999 (13) (.40) (.09) --------------------------------------------------------------------------- Class D April 30, 2003 (1) (.16) -- October 31, 2002 (.25) (.05) October 31, 2001 (.35) (.02) October 31, 2000 (6) (.31) (.20) December 31, 1999 (.40) (.09) December 31, 1998 (11) (.37) (.01) --------------------------------------------------------------------------- Class E April 30, 2003 (1) (.17) -- October 31, 2002 (.27) (.05) October 31, 2001 (.37) (.02) October 31, 2000 (6) (.34) (.20) December 31, 1999 (.46) (.09) December 31, 1998 (.41) (.01) December 31, 1997 (9) (.14) (.24) --------------------------------------------------------------------------- Class S April 30, 2003 (1) (.18) -- October 31, 2002 (.29) (.05) October 31, 2001 (.39) (.02) October 31, 2000 (15) (.34) (.20) ---------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 20 Frank Russell Investment Company LifePoints(R) Fund
$ $ $ NET ASSET VALUE, % NET ASSETS, TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(b)(g) (000) ----------------------------------------------------------------------------- (.05) 9.34 4.13 1,878 ----------------------------------------------------------------------------- (.14) 9.32 3.39 61,342 (.25) 9.15 (2.00) 39,694 (.32) 9.59 (2.87) 20,859 (.48) 10.20 2.20 10,392 (.49) 10.46 8.03 4,139 ----------------------------------------------------------------------------- (.16) 9.36 3.63 93,177 (.30) 9.19 (1.58) 38,170 (.37) 9.64 (2.33) 5,545 (.51) 10.24 2.65 3,157 (.49) 10.49 8.40 1,367 (.38) 10.15 3.57 1,780 ----------------------------------------------------------------------------- (.17) 9.33 3.73 83,932 (.32) 9.16 (1.22) 66,462 (.39) 9.59 (2.19) 57,885 (.54) 10.20 2.81 49,818 (.55) 10.46 8.65 45,350 (.42) 10.15 10.19 18,573 (.38) 9.61 (.06) 385 ----------------------------------------------------------------------------- (.18) 9.35 3.96 55,019 (.34) 9.17 (1.08) 45,579 (.41) 9.61 (1.87) 24,078 (.54) 10.21 4.09 7,584 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO NET(c) GROSS(c) NET ASSETS(b) TURNOVER RATE ------------------------------------------------------------------------------- .24 .44 .61 6.08 ------------------------------------------------------------------------------- 1.00 1.20 1.41 6.08 1.00 1.20 2.05 15.16 1.00 1.20 2.95 42.49 1.00 1.25 2.30 39.55 1.00 1.25 3.35 120.04 ------------------------------------------------------------------------------- .50 .70 1.48 6.08 .50 .70 2.51 15.16 .50 .70 3.39 42.49 .50 .75 2.66 39.55 .50 .75 3.28 120.04 .50 1.01 2.65 175.58 ------------------------------------------------------------------------------- .25 .45 1.84 6.08 .25 .45 2.84 15.16 .25 .45 3.60 42.49 .25 .50 2.77 39.55 .25 .50 3.87 120.04 .25 .94 3.71 175.58 .25 --(e) 1.01 9.66 ------------------------------------------------------------------------------- .00 .20 1.95 6.08 .00 .20 2.97 15.16 .00 .20 3.97 42.49 .00 .25 3.12 39.55 -------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company LifePoints(R) Fund 21 LIFEPOINTS(R) FUNDS FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ NET ASSET VALUE, NET NET REALIZED $ BEGINNING OF INVESTMENT AND UNREALIZED TOTAL INCOME PERIOD INCOME (LOSS)(a)(d) GAIN (LOSS) FROM OPERATIONS -------------------------------------------------------------------------------------------------------------------- CONSERVATIVE STRATEGY FUND Class A April 30, 2003 (2) 9.94 .02 .18 .20 -------------------------------------------------------------------------------------------------------------------- Class C April 30, 2003 (1) 9.90 .11 .17 .28 October 31, 2002 10.10 .28 (.18) .10 October 31, 2001 10.17 .42 (.07) .35 October 31, 2000 (6) 10.12 .31 .07 .38 December 31, 1999 (13) 10.26 .43 .04 .47 -------------------------------------------------------------------------------------------------------------------- Class D April 30, 2003 (1) 9.97 .13 .18 .31 October 31, 2002 10.17 .33 (.18) .15 October 31, 2001 10.21 .44 (.03) .41 October 31, 2000 (6) 10.16 .33 .09 .42 December 31, 1999 10.25 .44 .08 .52 December 31, 1998 (11) 10.20 .32 .06 .38 -------------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 9.94 .18 .14 .32 October 31, 2002 10.13 .36 (.18) .18 October 31, 2001 10.19 .49 (.07) .42 October 31, 2000 (6) 10.14 .34 .10 .44 December 31, 1999 10.24 .49 .06 .55 December 31, 1998 9.88 .46 .29 .75 December 31, 1997 (10) 10.00 .07 .07 .14 -------------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 9.97 .16 .17 .33 October 31, 2002 10.16 .38 (.18) .20 October 31, 2001 10.21 .55 (.10) .45 October 31, 2000 (16) 10.09 .37 .14 .51 -------------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS FROM NET FROM NET INVESTMENT INCOME REALIZED GAIN --------------------------------------------------------------------------- CONSERVATIVE STRATEGY FUND Class A April 30, 2003 (2) (.04) -- --------------------------------------------------------------------------- Class C April 30, 2003 (1) (.12) -- October 31, 2002 (.29) (.01) October 31, 2001 (.42) -- October 31, 2000 (6) (.33) -- December 31, 1999 (13) (.56) (.05) --------------------------------------------------------------------------- Class D April 30, 2003 (1) (.14) -- October 31, 2002 (.34) (.01) October 31, 2001 (.45) -- October 31, 2000 (6) (.37) -- December 31, 1999 (.56) (.05) December 31, 1998 (11) (.33) -- --------------------------------------------------------------------------- Class E April 30, 2003 (1) (.16) -- October 31, 2002 (.36) (.01) October 31, 2001 (.48) -- October 31, 2000 (6) (.39) -- December 31, 1999 (.60) (.05) December 31, 1998 (.39) -- December 31, 1997 (10) (.10) (.16) --------------------------------------------------------------------------- Class S April 30, 2003 (1) (.16) -- October 31, 2002 (.38) (.01) October 31, 2001 (.50) -- October 31, 2000 (16) (.39) -- ---------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 22 Frank Russell Investment Company LifePoints(R) Fund
$ $ $ NET ASSET VALUE, % NET ASSETS, TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(b)(g) (000) ----------------------------------------------------------------------------- (.04) 10.10 1.97 771 ----------------------------------------------------------------------------- (.12) 10.06 2.84 43,777 (.30) 9.90 1.01 24,739 (.42) 10.10 3.49 9,850 (.33) 10.17 3.76 2,500 (.61) 10.12 4.67 1,697 ----------------------------------------------------------------------------- (.14) 10.14 3.16 59,965 (.35) 9.97 1.52 25,145 (.45) 10.17 4.11 3,066 (.37) 10.21 4.20 1,162 (.61) 10.16 5.18 1,001 (.33) 10.25 3.77 618 ----------------------------------------------------------------------------- (.16) 10.10 3.20 225,748 (.37) 9.94 1.79 35,385 (.48) 10.13 4.21 24,070 (.39) 10.19 4.44 14,076 (.65) 10.14 5.54 16,875 (.39) 10.24 7.70 4,411 (.26) 9.88 1.36 23 ----------------------------------------------------------------------------- (.16) 10.14 3.37 33,171 (.39) 9.97 2.02 24,953 (.50) 10.16 4.52 11,429 (.39) 10.21 5.17 2,643 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO NET(c) GROSS(c) NET ASSETS(b) TURNOVER RATE ------------------------------------------------------------------------------- .25 .45 .32 12.61 ------------------------------------------------------------------------------- 1.00 1.20 1.09 12.61 1.00 1.20 2.78 35.08 1.00 1.20 4.20 54.86 1.00 1.25 3.04 53.89 1.00 1.25 4.77 125.01 ------------------------------------------------------------------------------- .50 .70 1.24 12.61 .50 .70 3.33 35.08 .50 .70 4.06 54.86 .50 .75 3.27 53.89 .50 .75 4.24 125.01 .50 1.73 3.09 169.79 ------------------------------------------------------------------------------- .25 .45 1.65 12.61 .25 .45 3.54 35.08 .25 .45 4.83 54.86 .25 .50 3.40 53.89 .25 .50 4.76 125.01 .25 2.50 4.41 169.79 .25 --(e) .67 0.00 ------------------------------------------------------------------------------- .00 .20 1.57 12.61 .00 .20 3.79 35.08 .00 .20 5.49 54.86 .00 .25 3.71 53.89 -------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company LifePoints(R) Fund 23 LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL HIGHLIGHTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- LIFEPOINTS (1) For the six months ended April 30, 2003 (Unaudited). (2) For the period March 3, 2003 (commencement of operations) to April 30, 2003 (Unaudited). (3) For the period March 4, 2003 (commencement of operations) to April 30, 2003 (Unaudited). (4) For the period March 5, 2003 (commencement of operations) to April 30, 2003 (Unaudited). (5) For the period March 10, 2003 (commencement of operations) to April 30, 2003 (Unaudited). (6) For the ten months ended October 31, 2000. (7) For the period September 16, 1997 (commencement of operations) to December 31, 1997. (8) For the period September 30, 1997 (commencement of operations) to December 31, 1997. (9) For the period October 2, 1997 (commencement of operations) to December 31, 1997. (10) For the period November 7, 1997 (commencement of operations) to December 31, 1997. (11) For the period March 24, 1998 (commencement of sale) to December 31, 1998. (12) For the period January 29, 1999 (commencement of sale) to December 31, 1999. (13) For the period February 11, 1999 (commencement of sale) to December 31, 1999. (14) For the period January 31, 2000 (commencement of sale) to October 31, 2000. (15) For the period February 1, 2000 (commencement of sale) to October 31, 2000. (16) For the period February 14, 2000 (commencement of sale) to October 31, 2000. (a) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the Underlying Funds in which the Fund invests. (b) Periods less than one year are not annualized. (c) The ratios for periods less than one year are annualized. (d) For the periods subsequent to December 31, 1997, average month-end shares outstanding were used for this calculation. (e) The ratio for the period ended December 31, 1997 is not meaningful due to the Class's short period of operation. (f) Less than $.01 per share for the period. (g) Class A returns exclude the effects of sales charges. If sales charges were included, the total return would be lower. See accompanying notes which are an integral part of the financial statements. 24 Frank Russell Investment Company LifePoints(R) Fund LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION Frank Russell Investment Company (the "Investment Company") is a series mutual fund with 32 different investment portfolios, referred to as "Funds." These financial statements report on five LifePoints(R) Funds, each of which has distinct investment objectives and strategies. The Investment Company is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. It is organized and operates as a Massachusetts business trust under an amended master trust agreement dated July 26, 1984. The Investment Company's master trust agreement permits the Board of Trustees to issue an unlimited number of full and fractional shares of beneficial interest at a $.01 par value. Each of the LifePoints Funds allocates its assets by investing in a combination of Class S shares of the Investment Company's portfolios (the "Underlying Funds"). Each of the LifePoints Funds will adjust its investments within set limits based on Frank Russell Investment Management Company's ("FRIMCo" or "Advisor") outlook for the economy, financial markets and relative market valuation of the asset classes represented by each Underlying Fund. However, the LifePoints Funds may deviate from set limits when, in FRIMCo's opinion, it is necessary to do so to pursue a LifePoints Fund's investment objective. The amounts allocated to each Underlying Fund by each LifePoints Fund will generally vary within 10% of the percentages specified below:
ASSET ALLOCATION TARGETS ------------------------------------------------------------------------------------------------- EQUITY AGGRESSIVE AGGRESSIVE BALANCED MODERATE CONSERVATIVE STRATEGY STRATEGY STRATEGY STRATEGY STRATEGY ASSET CLASS/UNDERLYING FUNDS FUND FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------------------- Equities US Equities Diversified Equity 30% 21% 16% 11% 5% Special Growth 10 11 5 2 -- Quantitative Equity 30 21 16 11 6 Real Estate Securities 5 5 5 5 5 International Equities International Securities 20 19 14 9 5 Emerging Markets 5 5 3 2 1 Bonds Diversified Bond -- -- 25 27 18 Short Term Bond -- -- -- 33 60 Multistrategy Bond -- 18 16 -- --
Objectives of the Underlying Funds: Diversified Equity Fund To provide income and capital growth by investing principally in equity securities. Special Growth Fund To maximize total return primarily through capital appreciation and assuming a higher level of volatility than the Diversified Equity Fund. Quantitative Equity Fund To provide a total return greater than the total return of the US stock market (as measured by the Russell 1000(R) Index over a market cycle of four to six years), while maintaining volatility and diversification similar to the Index. Real Estate Securities Fund To generate a high level of total return through above average current income while maintaining the potential for capital appreciation by investing primarily in the equity securities of companies in the real estate industry. International Securities Fund To provide favorable total return and additional diversification for US investors by investing primarily in equity securities of non-US companies. Notes to Financial Statements 25 LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Emerging Markets Fund To provide maximum total return, primarily through capital appreciation and by assuming a higher level of volatility than is ordinarily expected from developed market international portfolios by investing primarily in equity securities. Diversified Bond Fund To provide effective diversification against equities and a stable level of cash flow by investing in fixed-income securities. Short Term Bond Fund The preservation of capital and the generation of current income consistent with preservation of capital by investing primarily in fixed-income securities with low-volatility characteristics. Multistrategy Bond Fund To provide maximum total return, primarily through capital appreciation and by assuming a higher level of volatility than is ordinarily expected from broad fixed-income market portfolios, by investing in fixed-income securities. Financial statements of the Underlying Funds can be obtained by calling the Office of Shareholder Inquiries at (800) 787-7354. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds' financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP") which require the use of management estimates. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of these financial statements. Security valuation Investments in Underlying Funds and the Frank Russell Investment Company Money Market Fund are valued at the net asset value per share of each Fund as of 4:00 p.m. Eastern time, or the close of regular trading on the New York Stock Exchange, if earlier. Investment transactions Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the basis of specific identified cost. Investment income Distributions of income and capital gains from the Underlying Funds are recorded on the ex-dividend date. Federal income taxes As a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund's shareholders without regard to the income and capital gains (or losses) of the other Funds. It is each Fund's intention to qualify as a regulated investment company and distribute all of its taxable income and capital gains. Therefore, no federal income tax provision was required for the Funds. Dividends and distributions to shareholders Income dividends are generally declared and paid quarterly. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income and excise tax on any remaining undistributed capital gains and net investment income. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from GAAP. As a result, net investment income and net realized gain (or loss) from investment transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and GAAP relate primarily to investments in the Underlying Funds sold at a loss. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset value. 26 Notes to Financial Statements LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Expenses Expenses are allocated based principally upon their relative net assets. Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds. Class Allocation The Funds offer the following classes of shares: Class A, Class C, Class D, Class E and Class S. The separate classes of shares differ principally in the applicable sales charges, distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses) and net investment income, other than class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Guarantees In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote. 3. INVESTMENT TRANSACTIONS Securities During the period ended April 30, 2003, purchases and sales of the Underlying Funds (excluding the Frank Russell Investment Company Money Market Fund) were as follows:
PURCHASES SALES -------------------------------------------------------------------------------- Equity Aggressive Strategy $ 84,333,263 $ 32,786,193 Aggressive Strategy 154,687,942 34,692,949 Balanced Strategy 325,636,435 42,896,203 Moderate Strategy 113,391,367 14,461,187 Conservative Strategy 268,880,656 21,527,128
4. RELATED PARTIES Advisor and Administrator FRIMCo advises and administers all of the Funds which comprise the Investment Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company. The Funds are charged an advisory fee equal to 0.20% and an administrative fee equal to 0.05% of average daily net assets. For the period ended April 30, 2003, the Advisor contractually agreed to waive the advisory fee. The administrative fees were charged to the Underlying Funds in accordance with the Special Servicing Agreements discussed below. No LifePoints Fund will bear any operating expenses. Operating expenses include those expenses arising from accounting, administrative, custody, auditing, legal and transfer agent services. They do not include expenses attributable to advisor (which are currently waived by FRIMCo), any Rule 12b-1 distribution fee, any shareholder service fees, or any nonrecurring extraordinary expenses. A LifePoints Fund's operating expenses are borne either by the Underlying Funds in which the LifePoints Fund invests or by FRIMCo. This arrangement is governed by Special Servicing Agreements among each of the affected Funds and FRIMCo. Those agreements are entered into on a yearly basis and must be re-approved annually by the Investment Company's Board of Trustees. Transfer agent The Investment Company has a contract with FRIMCo to provide transfer agent services to the Funds. The Underlying Funds have borne this expense. Notes to Financial Statements 27 LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Distributor and Shareholder Servicing Pursuant to the Distribution Agreement with the Investment Company, Russell Fund Distributors, Inc. ("Distributor"), a wholly-owned subsidiary of FRIMCo, serves as distributor for all Investment Company portfolio shares, including Class A, Class C, Class D, and Class E shares of the Funds. The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the "Plan") under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Distributor or any Selling Agents, as defined in the Plan for sales support services provided, and related expenses incurred which are primarily intended to result in the sale of the Class A, Class C and Class D shares subject to the Distribution Plan. The 12b-1 distribution payments shall not exceed 0.25% of the average daily net assets of a Fund's Class A or Class D shares or 0.75% of the average daily net assets of a Fund's Class C shares on an annual basis. In addition, the Investment Company has adopted a Shareholder Services Plan (the "Services Plan") under which the Funds may make payments to the Distributor or any Servicing Agent for any activities or expenses primarily intended to assist, support or service the Servicing Agents' clients who beneficially own Class C, Class D, and Class E shares of the Funds. The shareholder servicing payments shall not exceed 0.25% of the average daily net assets of a Fund's Class C, Class D, and Class E shares on an annual basis. Pursuant to the rules of the National Association of Securities Dealers, Inc. ("NASD"), the aggregate initial sales charges and asset-based sales charges on Shares of the Funds may not exceed 6.25% of total gross sales, subject to certain exclusions. This 6.25% limitation is imposed at the class level on each of the Class A shares, Class C and Class D shares of each Fund rather than on a per shareholder basis. Therefore, long-term shareholders of the Class A, Class C and Class D shares may pay more than the economic equivalent of the maximum sales charges permitted by the NASD. For the period ended April 30, 2003, the sales commissions paid to the distributors for the sale of Class A shares are as follows:
AGGREGATE CLASS A FRONT-END FRONT-END SALES SALES CHARGES CHARGES ON RETAINED BY CLASS A SHARES DISTRIBUTOR --------------------------------------------------------------------- Equity Aggressive Strategy $ 9,985 $ 1,668 Aggressive Strategy 67,694 12,964 Balanced Strategy 140,084 30,544 Moderate Strategy 39,107 9,072 Conservative Strategy 22,743 4,724
Accrued Shareholder Servicing and Distribution fees payable to affiliates as of April 30, 2003 were as follows:
------------------------------------------------------- Equity Aggressive Strategy $ 95,965 Aggressive Strategy 189,520 Balanced Strategy 369,927 Moderate Strategy 99,592 Conservative Strategy 102,317 ---------------- $ 857,321 ================
Board of Trustees The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 funds, and Russell Investment Funds ("RIF"), which has 5 funds. Each of the trustees is a trustee for both FRIC and RIF. The Russell Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer of $52,000 per year, $5,000 for each regular quarterly meeting attended in person, $2,000 for each special meeting attended in person, and $2,000 for each Joint Audit Committee meeting or Nominating and Governance Committee meeting attended in person. The Trustee will receive a $500 fee for attending the meetings by phone instead of receiving the full fee had the member attended in person. Out of pocket expenses are also paid by the Russell Fund Complex. The Lead Trustee is paid a fee of $10,000 per year, and each Committee Chair is paid a fee of $6,000 per year. 28 Notes to Financial Statements LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 5. FEDERAL INCOME TAXES At October 31, 2002, certain Funds had net tax basis capital loss carryforwards which may be applied against any realized net taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. Available capital loss carryforwards and expiration dates are as follows:
10/31/10 ------------------------------------------------------- Equity Aggressive Strategy $ 2,589,445 Aggressive Strategy 1,252,665 Balanced Strategy 1,029,884 Moderate Strategy 76,976 Conservative Strategy 5,909
At April 30, 2003, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:
EQUITY AGGRESSIVE AGGRESSIVE BALANCED MODERATE CONSERVATIVE STRATEGY STRATEGY STRATEGY STRATEGY STRATEGY ------------------------------------------------------------------------------------------------------------------------------ Cost of Investments $ 391,550,882 $ 647,308,777 $ 1,116,050,005 $ 296,777,726 $ 357,867,751 ================ ================ ================ ================ ================ Unrealized Appreciation $ 2,127,300 $ 9,695,131 $ 23,700,499 $ 4,164,550 $ 4,627,671 Unrealized Depreciation (80,206,916) (95,072,266) (93,855,692) (6,922,067) -- ---------------- ---------------- ---------------- ---------------- ---------------- Net Unrealized Appreciation (Depreciation) $ (78,079,616) $ (85,377,135) $ (70,155,193) $ (2,757,517) $ 4,627,671 ================ ================ ================ ================ ================
Notes to Financial Statements 29 LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS Share transactions for the period ended April 30, 2003 and year ended October 31, 2002, were as follows:
SHARES DOLLARS (000) EQUITY AGGRESSIVE STRATEGY 2003 2002 2003 2002 Class A Proceeds from shares sold 39,937 -- $ 263 $ -- Proceeds from reinvestment of distributions 49 -- -- -- Payments for shares redeemed (144) -- (2) -- ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 39,842 -- 261 -- ----------------- ----------------- ----------------- ----------------- Class C Proceeds from shares sold 2,268,447 3,170,588 14,879 24,179 Proceeds from reinvestment of distributions 11,521 97,374 77 794 Payments for shares redeemed (910,178) (1,727,678) (5,923) (12,780) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 1,369,790 1,540,284 9,033 12,193 ----------------- ----------------- ----------------- ----------------- Class D Proceeds from shares sold 6,209,736 4,984,413 41,708 38,431 Proceeds from reinvestment of distributions 24,639 34,497 165 284 Payments for shares redeemed (530,255) (1,199,689) (3,554) (9,646) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 5,704,120 3,819,221 38,319 29,069 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 3,601,277 4,918,866 24,003 38,037 Proceeds from reinvestment of distributions 79,227 399,924 530 3,269 Payments for shares redeemed (2,495,955) (8,791,249) (16,630) (68,638) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 1,184,549 (3,472,459) 7,903 (27,332) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 4,308,003 8,093,826 29,376 64,674 Proceeds from reinvestment of distributions 58,659 174,482 396 1,425 Payments for shares redeemed (4,848,973) (5,526,598) (32,864) (43,319) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (482,311) 2,741,710 (3,092) 22,780 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 7,815,990 4,628,756 $ 52,424 $ 36,710 ================= ================= ================= =================
30 Notes to Financial Statements LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) AGGRESSIVE STRATEGY 2003 2002 2003 2002 Class A Proceeds from shares sold 311,349 -- $ 2,366 $ -- Proceeds from reinvestment of distributions 229 -- 2 -- Payments for shares redeemed -- -- -- -- ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 311,578 -- 2,368 -- ----------------- ----------------- ----------------- ----------------- Class C Proceeds from shares sold 5,199,279 6,638,024 39,087 55,472 Proceeds from reinvestment of distributions 55,234 258,714 418 2,241 Payments for shares redeemed (1,469,038) (2,749,042) (10,904) (22,688) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 3,785,475 4,147,696 28,601 35,025 ----------------- ----------------- ----------------- ----------------- Class D Proceeds from shares sold 10,104,835 7,297,961 76,768 60,867 Proceeds from reinvestment of distributions 72,040 82,110 546 689 Payments for shares redeemed (806,326) (1,477,358) (6,067) (12,466) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 9,370,549 5,902,713 71,247 49,090 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 6,081,608 7,139,018 45,738 59,775 Proceeds from reinvestment of distributions 154,323 667,455 1,165 5,732 Payments for shares redeemed (3,212,538) (8,442,741) (24,039) (70,839) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 3,023,393 (636,268) 22,864 (5,332) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 4,153,888 9,109,560 31,418 77,981 Proceeds from reinvestment of distributions 120,514 387,584 913 3,311 Payments for shares redeemed (4,796,237) (5,287,865) (36,733) (44,446) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (521,835) 4,209,279 (4,402) 36,846 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 15,969,160 13,623,420 $ 120,678 $ 115,629 ================= ================= ================= =================
Notes to Financial Statements 31 LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) BALANCED STRATEGY 2003 2002 2003 2002 Class A Proceeds from shares sold 753,697 -- $ 6,332 $ -- Proceeds from reinvestment of distributions 1,170 -- 10 -- Payments for shares redeemed (141) -- (1) -- ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 754,726 -- 6,341 -- ----------------- ----------------- ----------------- ----------------- Class C Proceeds from shares sold 10,229,338 11,006,385 85,175 98,075 Proceeds from reinvestment of distributions 294,561 445,617 2,459 3,989 Payments for shares redeemed (3,045,652) (4,142,875) (25,372) (36,522) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 7,478,247 7,309,127 62,262 65,542 ----------------- ----------------- ----------------- ----------------- Class D Proceeds from shares sold 16,279,518 13,407,893 136,702 118,861 Proceeds from reinvestment of distributions 309,538 220,441 2,592 1,944 Payments for shares redeemed (1,272,351) (3,376,164) (10,588) (30,151) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 15,316,705 10,252,170 128,706 90,654 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 12,836,318 10,969,457 107,430 99,091 Proceeds from reinvestment of distributions 528,585 1,052,019 4,421 9,433 Payments for shares redeemed (5,764,713) (11,550,666) (48,185) (103,353) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 7,600,190 470,810 63,666 5,171 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 6,972,639 14,378,612 58,593 130,551 Proceeds from reinvestment of distributions 322,022 532,016 2,701 4,758 Payments for shares redeemed (4,260,730) (6,937,213) (35,922) (61,828) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 3,033,931 7,973,415 25,372 73,481 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 34,183,844 26,005,522 $ 286,347 $ 234,848 ================= ================= ================= =================
32 Notes to Financial Statements LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) MODERATE STRATEGY 2003 2002 2003 2002 Class A Proceeds from shares sold 200,826 -- $ 1,830 $ -- Proceeds from reinvestment of distributions 865 -- 8 -- Payments for shares redeemed (596) -- (6) -- ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 201,095 -- 1,832 -- ----------------- ----------------- ----------------- ----------------- Class C Proceeds from shares sold 2,921,042 2,997,562 26,716 28,228 Proceeds from reinvestment of distributions 73,108 74,523 668 703 Payments for shares redeemed (752,601) (908,737) (6,832) (8,549) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 2,241,549 2,163,348 20,552 20,382 ----------------- ----------------- ----------------- ----------------- Class D Proceeds from shares sold 6,793,252 3,920,529 62,498 37,092 Proceeds from reinvestment of distributions 118,433 54,422 1,086 510 Payments for shares redeemed (1,114,611) (397,773) (10,216) (3,748) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 5,797,074 3,577,178 53,368 33,854 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 2,877,989 4,110,364 26,341 38,700 Proceeds from reinvestment of distributions 145,638 206,031 1,332 1,949 Payments for shares redeemed (1,286,128) (3,093,143) (11,730) (29,477) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 1,737,499 1,223,252 15,943 11,172 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 2,546,686 3,994,281 23,307 38,041 Proceeds from reinvestment of distributions 97,858 124,651 896 1,176 Payments for shares redeemed (1,728,363) (1,655,567) (15,925) (15,606) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 916,181 2,463,365 8,278 23,611 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 10,893,398 9,427,143 $ 99,973 $ 89,019 ================= ================= ================= =================
Notes to Financial Statements 33 LIFEPOINTS(R) FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) CONSERVATIVE STRATEGY 2003 2002 2003 2002 Class A Proceeds from shares sold 76,214 -- $ 762 $ -- Proceeds from reinvestment of distributions 96 -- 1 -- Payments for shares redeemed (2) -- -- -- ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 76,308 -- 763 -- ----------------- ----------------- ----------------- ----------------- Class C Proceeds from shares sold 2,371,634 1,978,490 23,517 19,731 Proceeds from reinvestment of distributions 34,456 41,764 341 416 Payments for shares redeemed (553,530) (497,210) (5,490) (4,990) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 1,852,560 1,523,044 18,368 15,157 ----------------- ----------------- ----------------- ----------------- Class D Proceeds from shares sold 3,556,580 3,711,795 35,590 37,214 Proceeds from reinvestment of distributions 52,597 38,474 525 385 Payments for shares redeemed (215,134) (1,530,811) (2,150) (15,263) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 3,394,043 2,219,458 33,965 22,336 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 20,937,268 2,864,835 209,113 28,825 Proceeds from reinvestment of distributions 128,027 107,424 1,275 1,074 Payments for shares redeemed (2,278,950) (1,788,364) (22,859) (17,963) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 18,786,345 1,183,895 187,529 11,936 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 2,066,783 2,333,867 20,639 23,469 Proceeds from reinvestment of distributions 40,411 60,469 403 605 Payments for shares redeemed (1,337,799) (1,016,302) (13,425) (10,233) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 769,395 1,378,034 7,617 13,841 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 24,878,651 6,304,431 $ 248,242 $ 63,270 ================= ================= ================= =================
7. LINE OF CREDIT Each of the Funds of the Investment Company share in a $75 million revolving credit facility for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Funds are charged an annual commitment fee of .125% on the average daily unused amount of the aggregate commitment, which is allocated among each of the Funds. Interest is calculated at the Federal Fund Rate plus .50% annually. The Funds may borrow up to a maximum of 33.33% of the value of their net assets under the agreement. The agreement will expire December 24, 2003. The Investment Company did not have any drawdowns during the period ended April 30, 2003. 8. BENEFICIAL INTEREST As of April 30, 2003, the following table includes each shareholder with shares of beneficial interest of greater than 10% of the total outstanding shares of each respective Fund:
% % -------------------------------------------------------------------------------- Equity Aggressive Strategy 28.0 12.0 Aggressive Strategy 20.6 17.0 Balanced Strategy 19.2 17.2 Moderate Strategy 25.3 13.6 Conservative Strategy 48.9 13.3
34 Notes to Financial Statements LIFEPOINTS(R) FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- The following tables provide information for each officer and trustee of the Russell Fund Complex. The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 funds and Russell Investment Funds ("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and RIF. The first table provides information for trustees who are interested trustees. The second table provides information for the independent trustees. The third table provides information for the officers.
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- *George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 37 None Jr., and Chairman successor is - Chairman Emeritus, FRIC and Born July 3, 1932 Emeritus since duly elected RIF 1999 and qualified - Chairman Emeritus, Frank 909 A Street Russell Securities, Inc., Tacoma, Washington Russell 20/20 Association 98402-1616 Frank Russell Trust Company - Director Emeritus FRIMCo - From 1984 to December 1998, Chairman of the Board of FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 37 - Trustee, The Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds 1939 duly elected Trustee, FRIC and RIF (investment Chairman of the and qualified - CEO and Chairman of the company) 909 A Street Board since 1999 Board, Russell Fund Tacoma, Washington Distributors, Inc. and 98402-1616 FRIMCo - Trustee, President and Chairman of the Board, SSgA Funds (investment company) - Trustee and Chairman of the Board, Frank Russell Trust Company - Director, Frank Russell Investments (Ireland) Limited and Frank Russell Investments (Cayman) Ltd. - Until October 2002, President and CEO, FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Michael J.A. Trustee since Appointed until - Chairman of the Board, 37 None Phillips, 2002 successor is President, CEO and Director, Born January 20, duly elected FRC 1948 and qualified - Trustee, FRIC and RIF - Director, FRTC and Frank 909 A Street Russell Capital Inc. Tacoma, Washington - Director/Chairman, Frank 98402-1616 Russell Investments (Delaware), Inc. - Director, Chairman of the Board and President, Russell 20/20 Association - Director, Frank Russell Company Pty. Limited, Frank Russell Japan Co., Ltd., Frank Russell Investments (Suisse), S.A., and Frank Russell Company Limited ----------------------------------------------------------------------------------------------------------------------------
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an affiliate of FRIC and RIF and is therefore an interested trustee. Disclosure of Information about Fund Directors 35 LIFEPOINTS(R) FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 37 None Born October 15, 1984 successor is Anderson Management Group 1931 duly elected LLC (private investments and qualified consulting) 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 37 None Born December 1, since 2003 successor is - Trustee of FRIC and RIF 1919 duly elected until 2002 and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- William E. Baxter, Trustee since Appointed until - Retired since 1986 37 None Born June 8, 1925 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 37 - Trustee WM Group Born January 22, 2000 successor is Blake, P.S. (accounting of Funds 1954 duly elected services) (investment and qualified company); 909 A Street - Director, Avista Tacoma, Washington Corp 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Daniel P. Connealy, Trustee since Appointed until - 2001-2003, Vice President 37 - Director, Gold Born June 6, 1946 April 2003 successor is and Chief Financial Officer, Banc duly elected Janus Capital Group Inc. Corporation, 909 A Street and qualified - 1979-2001, Audit and Inc. Tacoma, Washington Accounting Partner, 98402-1616 PricewaterhouseCoopers LLP ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 37 None Born October 6, 1984 successor is 1930 duly elected and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 37 None Born May 5, 1926 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ----------------------------------------------------------------------------------------------------------------------------
36 Disclosure of Information about Fund Directors LIFEPOINTS(R) FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES (CONTINUED) ---------------------------------------------------------------------------------------------------------------------------- Raymond P. Trustee since Appointed until - Currently, President, 37 None Tennison, Jr., 2000 successor is Simpson Investment Company Born December 21, duly elected and several additional 1955 and qualified subsidiary companies, including Simpson Timber 909 A Street Company, Simpson Paper Tacoma, Washington Company and Simpson Tacoma 98402-1616 Kraft Company ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Julie W. Weston, Trustee since Appointed until - Retired since 2000 37 None Born October 2, 2002 successor is - 1997 to 2000, Arbitrator, 1943 duly elected The American Arbitration and qualified Association Commercial Panel 909 A Street - 1995 to 1999, Hearing Tacoma, Washington Officer, University of 98402-1616 Washington ----------------------------------------------------------------------------------------------------------------------------
Disclosure of Information about Fund Directors 37 LIFEPOINTS(R) FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------- Position(s) Held Name, with Fund and Term Principal Occupation(s) Age, Length of of During the Address Time Served Office Past 5 Years -------------------------------------------------------------------------------------------------------------------------- OFFICERS -------------------------------------------------------------------------------------------------------------------------- Leonard P. Brennan, President and Until successor - President and CEO, FRIC Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank 909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments Tacoma, Washington (Singapore) Private Limited and Frank Russell 98402-1616 Investments (UK) Limited - Director, President and CEO, FRIMCo - Director and COO, Frank Russell Company Limited and Russell Systems Limited - President, Russell Insurance Agency, Inc. - 1995 to present, Managing Director of International Operations of FRC -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF Born November 26, 1963 Chief Accounting is chosen and 1998 to present Officer since qualified by - Director, Funds Administration, FRIMCo and Frank 909 A Street 1998 Trustees Russell Trust Company Tacoma, Washington - Treasurer, SSgA Funds (investment company) 98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund Distributors, Inc. - April 1996 to August 1998, Assistant Treasurer, FRIC and RIF; November 1995 to July 1998, Assistant Secretary, SSgA Funds; February 1997 to July 1998, Manager, Funds Accounting and Taxes, FRIMCo -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Randall P. Lert, Director of Until removed - Director of Investments, FRIC and RIF Born October 3, 1953 Investments by Trustees - Chief Investment Officer, Frank Russell Trust Company since 1991 - Director, FRIMCo and Russell Fund Distributors, Inc. 909 A Street Tacoma, Washington 98402-1616 -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo, Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund since 1994 Distributors, Inc. 909 A Street - Director, Secretary and General Counsel, Frank Tacoma, Washington Russell Capital Inc. 98402-1616 - Director and Secretary, Russell 20-20 Association -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark D. Amberson Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF, Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF, 909 A Street since 2001 FRIMCo and Frank Russell Trust Company Tacoma, Washington 98402-1616 --------------------------------------------------------------------------------------------------------------------------
38 Disclosure of Information about Fund Directors LIFEPOINTS(R) FUNDS FRANK RUSSELL INVESTMENT COMPANY 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 -------------------------------------------------------------------------------- TRUSTEES Lynn L. Anderson, Chairman Paul E. Anderson William E. Baxter Kristianne Blake Daniel P. Connealy Lee C. Gingrich Eleanor W. Palmer Michael J.A. Phillips Raymond P. Tennison, Jr. Julie W. Weston TRUSTEES EMERITUS George F. Russell, Jr. Paul Anton, PhD OFFICERS Lynn L. Anderson, Chairman of the Board Leonard P. Brennan, President and Chief Executive Officer Karl Ege, Secretary and General Counsel Mark E. Swanson, Treasurer and Chief Accounting Officer Mark Amberson, Director of Short Term Investment Funds Randall P. Lert, Director of Investments Sharon L. Hammel, Director of Portfolio Implementation Gregory J. Lyons, Assistant Secretary and Associate General Counsel Deedra S. Walkey, Assistant Secretary Mary Beth Rhoden, Assistant Secretary Greg S. Korte, Assistant Treasurer David J. Craig, Assistant Treasurer Stephen J. Meyer, Assistant Treasurer Amy L. Osler, Assistant Secretary MANAGER, TRANSFER AND DIVIDEND PAYING AGENT Frank Russell Investment Management Company 909 A Street Tacoma, WA 98402 CONSULTANT Frank Russell Company 909 A Street Tacoma, WA 98402 CUSTODIAN State Street Bank and Trust Company Allan Forbes Building 150 Newport Avenue AFB35 North Quincy, MA 02171 OFFICE OF SHAREHOLDER INQUIRIES 909 A Street Tacoma, WA 98402 (800) 787-7354 LEGAL COUNSEL Stradley, Ronon, Stevens & Young, LLP 2600 One Commerce Square Philadelphia, PA 19103-7098 DISTRIBUTOR Russell Fund Distributors, Inc. 909 A Street Tacoma, WA 98402 MONEY MANAGERS OF UNDERLYING FUNDS Diversified Equity Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY Barclays Global Fund Advisors, San Francisco, CA Jacobs Levy Equity Management, Inc., Florham Park, NJ Marsico Capital Management, LLC, Denver, CO MFS Institutional Advisors, Inc., Boston, MA Montag & Caldwell, Inc., Atlanta, GA Strong Capital Management, Inc., Menomonee Falls, WI Suffolk Capital Management, LLC, New York, NY Turner Investment Partners, Inc., Berwyn, PA Westpeak Global Advisors, L.P., Boulder, CO Special Growth Fund CapitalWorks Investment Partners, LLC, San Diego, CA David J. Greene and Company, LLC, New York, NY Delphi Management, Inc., Boston, MA Goldman Sachs Asset Management, a unit of the Investment Management Division of Goldman Sachs & Co., New York, NY Jacobs Levy Equity Management, Inc., Florham Park, NJ Roxbury Capital Management, LLC, Santa Monica, CA Suffolk Capital Management, LLC, New York, NY TimesSquare Capital Management, Inc., New York, NY Quantitative Equity Fund Aronson + Johnson + Ortiz, LP, Philadelphia, PA Barclays Global Fund Advisors, San Francisco, CA Franklin Portfolio Associates, LLC, Boston, MA Jacobs Levy Equity Management, Inc., Florham Park, NJ This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. Manager, Money Managers and Service Providers 39 LIFEPOINTS(R) FUNDS FRANK RUSSELL INVESTMENT COMPANY 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 -------------------------------------------------------------------------------- International Securities Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY AQR Capital Management, LLC, New York, NY Axiom International Investors LLC, Greenwich, CT Capital International, Inc., Los Angeles, CA Delaware International Advisers Ltd., London, England Fidelity Management & Research Company, Boston, MA Marvin & Palmer Associates, Inc., Wilmington, DE Mastholm Asset Management, LLC, Bellevue, WA Oechsle International Advisors, LLC, Boston, MA The Boston Company Asset Management, LLC, Boston, MA Emerging Markets Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY Arrowstreet Capital, Limited Partnership, Cambridge, MA Foreign & Colonial Emerging Markets Limited, London, England Genesis Asset Managers Limited, London, England T. Rowe Price International, Inc., Baltimore, MD Real Estate Securities Fund AEW Management and Advisors, L.P., Boston, MA INVESCO Realty Advisors, a division of INVESCO Institutional (N.A.), Inc., Dallas, TX RREEF America L.L.C., Chicago, IL Short Term Bond Fund BlackRock Financial Management, Inc., New York, NY Merganser Capital Management L.P., Cambridge, MA Pacific Investment Management Company LLC, Newport Beach, CA STW Fixed Income Management, Santa Barbara, CA Diversified Bond Fund Lincoln Capital Fixed Income Management Company, Chicago, IL Pacific Investment Management Company LLC, Newport Beach, CA TimesSquare Capital Management, Inc., New York, NY Multistrategy Bond Fund Delaware Management Company, a series of Delaware Management Business Trust, Philadelphia, PA Morgan Stanley Investments, LP, West Conshohocken, PA Pacific Investment Management Company LLC, Newport Beach, CA TimesSquare Capital Management, Inc., New York, NY This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. 40 Manager, Money Managers and Service Providers This page has been intentionally left blank. This page has been intentionally left blank. (RUSSELL LOGO) Frank Russell Investment Company 909 A Street Tacoma, Washington 98402 253-627-7001 800-787-7354 Fax: 253-591-3495 www.russell.com 36-08-071 (1 04/03) FRANK RUSSELL INVESTMENT COMPANY [FRANK RUSSELL INVESTMENT COMPANY GRAPHIC] INSTITUTIONAL FUNDS 2003 SEMIANNUAL REPORT CLASS E, I, AND Y SHARES EQUITY I FUND EQUITY II FUND EQUITY III FUND EQUITY Q FUND INTERNATIONAL FUND FIXED INCOME I FUND FIXED INCOME III FUND CLASS C, E, AND S SHARES EMERGING MARKETS FUND REAL ESTATE SECURITIES FUND SHORT TERM BOND FUND CLASS C, E, I, AND S SHARES SELECT GROWTH FUND SELECT VALUE FUND APRIL 30, 2003 (RUSSELL LOGO) Frank Russell Investment Company Frank Russell Investment Company is a "series mutual fund" with 32 different investment portfolios. These financial statements report on twelve Funds, each of which has distinct investment objectives and strategies. Frank Russell Investment Management Company Responsible for overall management and administration of the Funds. Frank Russell Company Consultant to Frank Russell Investment Management Company. Frank Russell Investment Company Institutional Funds Semiannual Report April 30, 2003 Table of Contents
Page Equity I Fund....................................................... 3 Equity II Fund...................................................... 10 Equity III Fund..................................................... 19 Equity Q Fund....................................................... 24 International Fund.................................................. 30 Fixed Income I Fund................................................. 43 Fixed Income III Fund............................................... 60 Emerging Markets Fund............................................... 75 Real Estate Securities Fund......................................... 83 Short Term Bond Fund................................................ 85 Select Growth Fund.................................................. 95 Select Value Fund................................................... 99 Statement of Assets and Liabilities................................. 104 Statement of Operations............................................. 108 Statement of Changes in Net Assets.................................. 110 Financial Highlights................................................ 114 Notes to Statement of Net Assets.................................... 127 Notes to Financial Statements....................................... 128 Disclosure of Information about Fund Directors...................... 145 Manager, Money Managers and Service Providers....................... 149
Frank Russell Investment Company - Institutional Funds Copyright (c) Frank Russell Company 2003. All rights reserved. This material is proprietary and may not be reproduced, transferred, or distributed in any form without prior written permission from Frank Russell Company. It is delivered on an "as is" basis without warranty. The Russell logo is a trademark and service mark of Frank Russell Company. Frank Russell Company and Standard & Poor's Corporation are the owners of the trademarks, service marks, and copyrights related to their respective indexes. This material must be accompanied or preceded by a current Frank Russell Investment Company Prospectus containing complete information concerning the investment objectives and operations of the Company, charges, and expenses. The Prospectus should be read carefully before an investment is made. The performance as of April 1, 1995 is reported gross of investment advisory fees. For periods thereafter, performance and yields are reported net of investment advisory fees but gross of investment services fees, descriptions of which can be obtained from the investment advisor. Investment services fees and other account expenses will reduce performance (e.g., an investment services fee of 0.2% off average managed assets will reduce a 10.0% Semiannual return to 9.8%). The performance quoted represents past performance and the investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Investments in securities of non-US issuers and foreign currencies involve investment risks different than those of US issuers; the Prospectus contains further information and details regarding these risks. Russell Fund Distributors, Inc., is the distributor of Frank Russell Investment Company. EQUITY I FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 95.6% Auto and Transportation - 2.1% American Axle & Manufacturing Holdings, Inc. (AE) 3 67 Autoliv, Inc. 10 248 Burlington Northern Santa Fe Corp. 28 790 Canadian National Railway Co. 3 126 CH Robinson Worldwide, Inc. 4 143 Cooper Tire & Rubber Co. 10 137 CSX Corp. 7 208 Dana Corp. 36 334 Delphi Corp. 43 358 FedEx Corp. 55 3,306 Ford Motor Co. 39 406 General Motors Corp. 13 476 Genuine Parts Co. 4 115 Goodyear Tire & Rubber Co. (The) 21 122 Harley-Davidson, Inc. 16 709 JB Hunt Transport Services, Inc. (AE) 2 83 JetBlue Airways Corp. (AE) 6 192 Norfolk Southern Corp. 25 524 Paccar, Inc. 14 807 Ryanair Holdings PLC - ADR (AE) 10 389 Skywest, Inc. 14 173 Southwest Airlines Co. 79 1,261 Swift Transportation Co., Inc. (AE) 1 26 Tidewater, Inc. 1 38 Union Pacific Corp. 15 880 United Parcel Service, Inc. Class B 31 1,920 Visteon Corp. 56 394 ------------ 14,232 ------------ Consumer Discretionary - 14.9% Abercrombie & Fitch Co. Class A (AE) 38 1,259 Accenture, Ltd. Class A (AE) 9 146 Allied Waste Industries, Inc. (AE) 6 52 AOL Time Warner, Inc. (AE) 96 1,309 Apollo Group, Inc. Class A (AE) 26 1,431 Avon Products, Inc. 14 809 Banta Corp. 2 47 BearingPoint, Inc. (AE) 2 18 Bed Bath & Beyond, Inc. (AE) 32 1,250 Belo Corp. Class A 4 79 Best Buy Co., Inc. (AE) 45 1,566 Black & Decker Corp. 3 129 Blyth, Inc. 3 89 Boyd Gaming Corp. (AE) 45 643 Callaway Golf Co. 6 81 Career Education Corp. (AE) 5 301 Carnival Corp. 3 83 Cendant Corp. (AE) 27 388 Chico's FAS, Inc. (AE) 36 876 Circuit City Stores, Inc. 16 92
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Claire's Stores, Inc. 3 70 Clear Channel Communications, Inc. (AE) 66 2,566 Coach, Inc. (AE) 23 983 Convergys Corp. (AE) 6 104 Corinthian Colleges, Inc. (AE) 9 412 Costco Wholesale Corp. (AE) 33 1,125 Darden Restaurants, Inc. 3 59 Dollar General Corp. 10 148 DoubleClick, Inc. (AE) 4 32 Eastman Kodak Co. 8 248 eBay, Inc. (AE) 33 3,099 EchoStar Communications Corp. (AE) 14 421 Electronic Arts, Inc. (AE) 73 4,353 Family Dollar Stores 14 488 Federated Department Stores 57 1,749 Fisher Scientific International (AE) 4 125 Four Seasons Hotels, Inc. 50 1,501 Fox Entertainment Group, Inc. Class A (AE) 2 55 Gannett Co., Inc. 66 4,980 Gemstar-TV Guide International, Inc. (AE) 22 87 Gillette Co. (The) 84 2,543 Harman International Industries, Inc. 10 666 Harrah's Entertainment, Inc. (AE) 6 246 Hearst-Argyle Television, Inc. Class C (AE) 4 92 Hilton Hotels Corp. 6 83 Hollywood Entertainment Corp. (AE) 2 28 Home Depot, Inc. 133 3,738 Hughes Electronics Corp. Class H (AE) 8 91 International Game Technology (AE) 6 518 ITT Educational Services, Inc. (AE) 3 74 Jones Apparel Group, Inc. (AE) 6 178 Kimberly-Clark Corp. 29 1,448 Knight-Ridder, Inc. 4 228 Kohl's Corp. (AE) 105 5,959 Landry's Restaurants, Inc. 3 47 Liberty Media Corp. Class A (AE) 72 791 Liz Claiborne, Inc. 3 90 Lowe's Cos., Inc. 63 2,783 Manpower, Inc. 6 191 Marriott International, Inc. Class A 36 1,278 Mattel, Inc. 16 342 May Department Stores Co. (The) 22 467 Maytag Corp. 2 40 McDonald's Corp. 54 919 McGraw-Hill Cos., Inc. (The) 8 444 Media General, Inc. Class A 1 50 Meredith Corp. 4 166 MGM Mirage (AE) 31 881 New York Times Co. Class A 1 60 Newell Rubbermaid, Inc. 102 3,121
Equity I Fund 3 EQUITY I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Nike, Inc. Class B 32 1,737 Nordstrom, Inc. 7 114 Office Depot, Inc. (AE) 7 91 Omnicom Group 30 1,870 Pacific Sunwear Of California (AE) 7 151 Park Place Entertainment Corp. (AE) 12 91 Petsmart, Inc. (AE) 2 36 PF Chang's China Bistro, Inc. (AE) 3 134 Pittston Brink's Group 1 14 Reed Elsevier PLC - ADR 27 887 Ross Stores, Inc. 2 72 RR Donnelley & Sons Co. 11 212 Sears Roebuck and Co. 40 1,134 ServiceMaster Co. (The) 23 207 Snap-On, Inc. Class C 4 114 Stanley Works (The) 3 83 Staples, Inc. (AE) 3 63 Starwood Hotels & Resorts Worldwide, Inc. 18 470 Take-Two Interactive Softwar (AE) 5 115 Talbots, Inc. 3 75 Target Corp. 3 110 Tiffany & Co. 52 1,454 TJX Cos., Inc. 11 212 Toro Co. 2 90 Toys R US, Inc. (AE) 9 88 Tribune Co. 54 2,633 University of Phoenix Online (AE) 12 530 Univision Communications, Inc. Class A (AE) 22 666 USA Interactive (AE) 50 1,501 Valassis Communications, Inc. (AE) 2 45 VF Corp. 11 432 Viacom, Inc. Class B (AE) 170 7,386 Viad Corp. -- 6 Wal-Mart Stores, Inc. 159 8,967 Wallace Computer Services, Inc. 2 44 Walt Disney Co. 312 5,829 Washington Post Class B -- 131 Waste Management, Inc. 13 279 Whirlpool Corp. 6 299 Wynn Resorts, Ltd. (AE) -- 2 Yahoo, Inc. (AE) 29 708 Yum! Brands, Inc. (AE) 4 94 ------------ 99,991 ------------ Consumer Staples - 7.2% Albertson's, Inc. 25 503 Altria Group, Inc. 130 4,002 Anheuser-Busch Cos., Inc. Class C 45 2,239 Brown-Forman Corp. Class B 3 191 Campbell Soup Co. 4 90 Clorox Co. 3 132
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Coca-Cola Co. (The) 143 5,760 Coca-Cola Enterprises, Inc. 6 110 Colgate-Palmolive Co. 87 4,997 ConAgra Foods, Inc. 56 1,179 Constellation Brands, Inc. Class A (AE) 2 56 Coors (Adolph) Class B 2 80 CVS Corp. 2 56 Del Monte Foods Co. (AE) 7 54 Diageo PLC - ADR 8 372 Dial Corp. (The) 12 255 General Mills, Inc. 3 126 Hershey Foods Corp. 2 157 HJ Heinz Co. 28 845 JM Smucker Co. (The) 3 108 Kellogg Co. 63 2,069 Kroger Co. (AE) 52 743 Pepsi Bottling Group, Inc. 6 119 PepsiAmericas, Inc. 2 23 PepsiCo, Inc. 155 6,723 Procter & Gamble Co. 140 12,583 RJ Reynolds Tobacco Holdings, Inc. 13 363 Safeway, Inc. (AE) 23 377 Sara Lee Corp. 28 477 Supervalu, Inc. 33 543 Systemco Corp. 9 270 Tyson Foods, Inc. Class A 18 177 Unilever NV Class S 4 252 UST, Inc. 14 435 Walgreen Co. 44 1,371 Whole Foods Market, Inc. (AE) 9 534 WM Wrigley Jr Co. 4 221 ------------ 48,592 ------------ Financial Services - 20.5% ACE, Ltd. 8 275 Affiliated Computer Services, Inc. Class A (AE) 18 840 Aflac, Inc. 5 167 Allstate Corp. (The) 74 2,805 AMBAC Financial Group, Inc. 1 85 American Express Co. 95 3,615 American Financial Group, Inc. 1 14 American International Group 120 6,934 AmSouth Bancorp 21 438 Annaly Mortgage Management, Inc. (o) 2 36 AON Corp. -- 6 Archstone-Smith Trust (o) 24 543 Arden Realty, Inc. (o) 4 88 Astoria Financial Corp. 4 92 Automatic Data Processing 7 232 Bank of America Corp. 128 9,484 Bank of New York Co., Inc. (The) 1 24 Bank One Corp. 67 2,422
4 Equity I Fund EQUITY I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Banknorth Group, Inc. 3 66 BB&T Corp. 9 300 Bear Stearns Cos., Inc. (The) 6 381 Capital One Financial Corp. 6 260 CarrAmerica Realty Corp. (o) 10 250 Charles Schwab Corp. (The) 95 824 Charter One Financial, Inc. 19 539 Chelsea Property Group, Inc. (o) 2 67 Chubb Corp. 43 2,279 Cigna Corp. 18 961 Cincinnati Financial Corp. 2 88 Citigroup, Inc. 535 21,018 CNA Financial Corp. (AE) 2 48 Comerica, Inc. 13 564 Commerce Bancorp, Inc. 8 305 Compass Bancshares, Inc. 1 40 Countrywide Financial Corp. 6 399 Crescent Real Estate Equities Co. (o) 1 13 Doral Financial Corp. 19 760 DST Systems, Inc. (AE) 1 45 Duke Realty Corp. (o) 9 250 Equity Office Properties Trust (o) 36 946 Equity Residential (o) 14 360 Fannie Mae 74 5,369 Federal Realty Investement Trust (o) 2 68 Federated Investors, Inc. Class B 12 341 Fidelity National Financial, Inc. 4 135 First Data Corp. 59 2,313 First Tennessee National Corp. 5 219 FirstMerit Corp. -- 6 FleetBoston Financial Corp. 178 4,715 Freddie Mac 31 1,775 Golden West Financial Corp. 3 253 Goldman Sachs Group, Inc. 68 5,164 Greenpoint Financial Corp. 4 180 H&R Block, Inc. 10 384 Hartford Financial Services Group, Inc. 22 905 Hibernia Corp. Class A 5 89 Highwoods Properties, Inc. (o) 6 119 HRPT Properties Trust (o) 2 21 Hudson United Bancorp 1 22 Huntington Bancshares, Inc. 17 333 Independence Community Bank -- 7 iStar Financial, Inc. (o) -- 10 Jefferson-Pilot Corp. 1 44 John Hancock Financial Services, Inc. 73 2,110 JP Morgan Chase & Co. 142 4,168 Keycorp 36 876 LaBranche & Co., Inc. 4 68 Landamerica Financial Group, Inc. 1 37 Lehman Brothers Holdings, Inc. 49 3,106 Liberty Property Trust (o) 2 71 Lincoln National Corp. 8 251
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Loews Corp. 7 272 Macerich Co. (The) (o) 2 66 Marsh & McLennan Cos., Inc. 31 1,473 MBIA, Inc. 7 304 Mellon Financial Corp. 64 1,690 Merrill Lynch & Co., Inc. 60 2,480 Metlife, Inc. 44 1,259 MGIC Investment Corp. 7 318 Moody's Corp. 2 92 Morgan Stanley 89 3,979 National City Corp. 47 1,410 National Commerce Financial Corp. 2 49 Nationwide Financial Services 2 56 New York Community Bancorp, Inc. 7 240 Old Republic International Corp. 11 324 Paychex, Inc. 56 1,746 PMI Group, Inc. (The) 26 789 PNC Financial Services Group, Inc. 18 788 Popular, Inc. -- 11 Principal Financial Group 17 489 Progressive Corp. (The) 1 75 Protective Life Corp. 2 50 Prudential Financial, Inc. 5 163 Radian Group, Inc. 24 949 Regions Financial Corp. 11 364 Rouse Co. (The) (o) 5 164 Ryder System, Inc. 6 157 Safeco Corp. 11 421 Simon Property Group, Inc. (o) 5 195 SLM Corp. 45 5,054 SouthTrust Corp. 36 975 Sovereign Bancorp, Inc. 14 209 St Paul Cos 17 581 Sungard Data Systems, Inc. (AE) 5 104 SunTrust Banks, Inc. 30 1,690 TCF Financial Corp. 5 217 Torchmark Corp. 3 132 Travelers Property Casualty Corp. (AE) 12 284 Travelers Property Casualty Corp. Class A 50 813 Travelers Property Casualty Corp. Class B 28 450 Trizec Properties, Inc. (o) 7 69 Union Planters Corp. 6 163 UnionBanCal Corp. 8 320 United Rentals, Inc. (AE) 7 72 UnumProvident Corp. 19 219 US Bancorp 98 2,168 Vornado Realty Trust (o) -- 16 Wachovia Corp. 102 3,884 Washington Mutual, Inc. 104 4,117 Wells Fargo & Co. 71 3,445
6 Equity I Fund EQUITY I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- WR Berkley Corp. 7 320 XL Capital, Ltd. Class A 1 119 ------------ 137,816 ------------ Health Care - 15.6% Abbott Laboratories 34 1,400 Aetna, Inc. 37 1,857 Alcon, Inc. 11 485 AmerisourceBergen Corp. 5 302 Amgen, Inc. (AE) 183 11,218 Anthem, Inc. (AE) 7 487 Baxter International, Inc. 3 67 Beckman Coulter, Inc. 5 188 Becton Dickinson & Co. 6 223 Boston Scientific Corp. (AE) 49 2,113 Bristol-Myers Squibb Co. 61 1,547 Cardinal Health, Inc. 3 155 CR Bard, Inc. 2 133 CuraGen Corp. (AE) 1 7 DaVita, Inc. (AE) 1 28 Eli Lilly & Co. 59 3,738 Forest Laboratories, Inc. (AE) 68 3,512 Genentech, Inc. (AE) 45 1,701 Genzyme Corp.-General Division (AE) 25 1,007 Gilead Sciences, Inc. (AE) 41 1,906 Guidant Corp. 10 377 HCA, Inc. 36 1,153 Health Management Associates, Inc. Class A 17 292 Healthsouth Corp. (AE) 12 2 Humana, Inc. (AE) 58 637 Idec Pharmaceuticals Corp. (AE) 19 624 Johnson & Johnson 258 14,565 King Pharmaceuticals, Inc. (AE) 5 59 Laboratory Corp. of America Holdings (AE) 61 1,800 McKesson Corp. 70 1,940 Medimmune, Inc. (AE) 49 1,736 Medtronic, Inc. 94 4,492 Merck & Co., Inc. 73 4,243 Mid Atlantic Medical Services (AE) -- 19 Mylan Laboratories 15 430 Novartis AG - ADR 22 884 Odyssey HealthCare, Inc. (AE) 2 59 Perrigo Co. 3 38 Pfizer, Inc. 648 19,921 Pharmaceutical Resources, Inc. (AE) 2 92 Quest Diagnostics (AE) 30 1,770 Quintiles Transnational Corp. (AE) 1 12 Renal Care Group, Inc. (AE) -- 9 Schering-Plough Corp. 65 1,169 St Jude Medical, Inc. (AE) 47 2,462 Steris Corp. (AE) -- 6
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Stryker Corp. 1 94 Teva Pharmaceutical Industries - ADR 30 1,422 UnitedHealth Group, Inc. 69 6,320 WellPoint Health Networks (AE) 8 585 Wyeth 86 3,742 Zimmer Holdings, Inc. (AE) 39 1,848 ------------ 104,876 ------------ Integrated Oils - 3.9% Amerada Hess Corp. 8 378 BP PLC - ADR 38 1,448 ChevronTexaco Corp. 48 3,023 ConocoPhillips 66 3,336 Exxon Mobil Corp. 428 15,051 Kerr-McGee Corp. 5 189 Marathon Oil Corp. 20 462 Occidental Petroleum Corp. 36 1,072 Total Fina Elf SA - ADR 3 223 Unocal Corp. 25 697 ------------ 25,879 ------------ Materials and Processing - 3.7% Air Products & Chemicals, Inc. 26 1,113 Albany International Corp. Class A 1 31 Alcoa, Inc. 117 2,689 Allegheny Technologies, Inc. 4 19 American Standard Cos., Inc. (AE) 4 306 Archer-Daniels-Midland Co. 125 1,389 Ashland, Inc. 11 333 Avery Dennison Corp. 2 127 Ball Corp. 5 277 Bemis Co. 4 183 Bowater, Inc. 9 366 Dow Chemical Co. (The) 57 1,872 Du Pont EI de Nemours & Co. 27 1,130 Eastman Chemical Co. 13 384 Ecolab, Inc. 7 337 Engelhard Corp. 6 136 Fluor Corp. 5 178 Forest City Enterprises, Inc. Class A -- 15 Glatfelter 1 9 International Paper Co. 38 1,370 Jacobs Engineering Group, Inc. (AE) 3 121 Lafarge North America, Inc. 6 178 Louisiana-Pacific Corp. (AE) 6 46 Lubrizol Corp. 4 115 Lyondell Chemical Co. 32 470 Masco Corp. 108 2,284 MeadWestvaco Corp. 6 143 Monsanto Co. 26 446 Nucor Corp. 7 286 Owens-Illinois, Inc. (AE) 2 16 Pactiv Corp. (AE) 15 306
Equity I Fund 7 EQUITY I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Phelps Dodge Corp. (AE) 13 408 PPG Industries, Inc. 28 1,381 Praxair, Inc. 37 2,150 Precision Castparts Corp. 6 164 Rayonier, Inc. 2 85 Rohm & Haas Co. 3 99 RPM International, Inc. 5 67 Scotts Co. (The) Class A (AE) 2 140 Sherwin-Williams Co. (The) 24 682 Smurfit-Stone Container Corp. (AE) 60 842 Sonoco Products Co. 8 175 Syngenta AG Class R - ADR 96 982 Temple-Inland, Inc. 3 118 Timken Co. 4 76 Weyerhaeuser Co. Series O 6 314 Worthington Industries 5 60 York International Corp. 5 120 ------------ 24,538 ------------ Miscellaneous - 4.6% 3M Co. 52 6,616 Brunswick Corp. 3 68 Carlisle Cos., Inc. 5 235 Crane Co. 9 176 Eaton Corp. 23 1,922 FMC Corp. (AE) 7 120 Fortune Brands, Inc. 24 1,144 General Electric Co. 585 17,219 Georgia-Pacific Corp. 4 64 Honeywell International, Inc. 26 606 Illinois Tool Works, Inc. 5 320 ITT Industries, Inc. 7 399 Johnson Controls, Inc. 3 214 SPX Corp. (AE) 43 1,460 St Joe Co. (The) 2 68 Textron, Inc. 4 110 ------------ 30,741 ------------ Other Energy - 2.1% Anadarko Petroleum Corp. 33 1,474 Apache Corp. 3 181 Baker Hughes, Inc. 82 2,283 BJ Services Co. (AE) 19 694 Burlington Resources, Inc. 18 824 Cooper Cameron Corp. (AE) 1 67 Devon Energy Corp. 16 742 Diamond Offshore Drilling 3 52 Dynegy, Inc. Class A 16 69 ENSCO International, Inc. 16 406 Equitable Resources, Inc. 5 177 GlobalSantaFe Corp. 17 358 Halliburton Co. 35 752
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Nabors Industries, Ltd. (AE) 12 482 Noble Corp. (AE) 22 693 Peabody Energy Corp. 1 37 Pioneer Natural Resources Co. (AE) 12 287 Reliant Resources, Inc. (AE) 5 26 Schlumberger, Ltd. 58 2,432 Smith International, Inc. (AE) 16 569 Transocean, Inc. 31 586 Williams Cos., Inc. 4 25 XTO Energy, Inc. 40 772 ------------ 13,988 ------------ Producer Durables - 3.6% AGCO Corp. (AE) -- 8 American Power Conversion (AE) 8 128 Applied Materials, Inc. (AE) 117 1,713 Boeing Co. (The) 12 326 Caterpillar, Inc. 59 3,117 Cooper Industries, Ltd. Class A 5 186 Cummins, Inc. 14 366 Danaher Corp. 14 966 Deere & Co. 75 3,290 DR Horton, Inc. 8 185 Emerson Electric Co. 7 332 Engineered Support Systems, Inc. 1 31 Goodrich Corp. 20 288 Hovnanian Enterprises, Inc. Class A (AE) 5 203 Hubbell, Inc. Class B 7 238 Ingersoll-Rand Co. Class A 3 123 Kla-Tencor Corp. (AE) 5 205 Lennar Corp. Class A 20 1,100 Lennar Corp. Class B 2 109 Lexmark International, Inc. (AE) 2 157 Lockheed Martin Corp. 12 591 MDC Holdings, Inc. 17 775 Molex, Inc. Class A 1 20 Nokia OYJ - ADR 162 2,679 Nordson Corp. 1 25 Northrop Grumman Corp. 10 852 NVR, Inc. (AE) -- 89 Pall Corp. 76 1,595 Parker Hannifin Corp. 4 175 Pentair, Inc. 4 160 Pitney Bowes, Inc. 2 53 Pulte Homes, Inc. 2 139 Rockwell Collins, Inc. 14 299 Steelcase, Inc. Class A 2 16 Tektronix, Inc. (AE) 9 171 Telefonaktiebolaget LM Ericsson - ADR (AE) 83 747 United Technologies Corp. 34 2,119
8 Equity I Fund EQUITY I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Waters Corp. (AE) 14 336 Xerox Corp. (AE) 37 368 ------------ 24,280 ------------ Technology - 11.2% 3Com Corp. (AE) 9 49 Acxiom Corp. (AE) 2 27 ADC Telecommunications, Inc. (AE) 34 80 Adobe Systems, Inc. 19 657 Adtran, Inc. (AE) -- 7 Advanced Micro Devices, Inc. (AE) 19 141 Altera Corp. (AE) 37 584 Amdocs, Ltd. (AE) 32 565 Amkor Technology, Inc. (AE) 7 53 Analog Devices, Inc. (AE) 60 1,981 Autodesk, Inc. 18 280 Avaya, Inc. (AE) 44 172 Avnet, Inc. (AE) 1 10 BEA Systems, Inc. (AE) 33 353 BMC Software, Inc. (AE) 7 111 Broadcom Corp. Class A (AE) 21 376 Cisco Systems, Inc. (AE) 503 7,568 Cognizant Technology Solutions Corp. (AE) 2 38 Computer Associates International, Inc. 14 222 Computer Sciences Corp. (AE) 2 49 Compuware Corp. (AE) 11 47 Comverse Technology, Inc. (AE) 7 96 Conexant Systems, Inc. (AE) 32 59 Corning, Inc. (AE) 213 1,154 Dell Computer Corp. (AE) 259 7,475 Electronic Data Systems Corp. 2 44 EMC Corp. (AE) 223 2,026 Harris Corp. 7 200 Hewlett-Packard Co. 181 2,949 Ingram Micro, Inc. Class A (AE) 17 170 Intel Corp. 452 8,314 International Business Machines Corp. 82 6,987 International Rectifier Corp. (AE) 66 1,502 Intuit, Inc. (AE) 17 672 Jabil Circuit, Inc. (AE) 4 66 JDS Uniphase Corp. (AE) 135 436 Juniper Networks, Inc. (AE) 41 419 Linear Technology Corp. 14 483 LSI Logic Corp. (AE) 26 139 Lucent Technologies, Inc. (AE) 178 321 Maxim Integrated Products 54 2,131 Mercury Interactive Corp. (AE) 15 509 Microchip Technology, Inc. 22 457 Micron Technology, Inc. (AE) 150 1,274 Microsoft Corp. 409 10,456 MicroStrategy, Inc. 2007 Warrants (AE) 1 -- Motorola, Inc. 12 355
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Motorola, Inc. 83 654 Network Appliance, Inc. (AE) 14 187 Oracle Corp. (AE) 224 2,659 PanAmSat Corp. (AE) 4 64 PerkinElmer, Inc. 13 129 Qualcomm, Inc. 62 1,980 Quantum Corp. (AE) 34 118 Raytheon Co. 18 525 Retek, Inc. (AE) 1 8 Rockwell Automation, Inc. 7 164 Sandisk Corp. (AE) 2 53 Sanmina-SCI Corp. (AE) 16 77 SAP AG - ADR 40 1,008 Scientific-Atlanta, Inc. Class C 3 43 Siebel Systems, Inc. (AE) 1 9 Solectron Corp. (AE) 7 21 Storage Technology Corp. (AE) 6 159 Sun MicroSystems, Inc. (AE) 5 15 Sybase, Inc. (AE) 1 15 Symantec Corp. (AE) 19 848 Tellabs, Inc. (AE) 1 6 Texas Instruments, Inc. 92 1,701 UniSystem Corp. (AE) 11 113 Utstarcom, Inc. (AE) 1 18 VeriSign, Inc. (AE) 8 99 Veritas Software Corp. (AE) 16 352 Vishay Intertechnology, Inc. (AE) 1 10 Xilinx, Inc. (AE) 75 2,031 ------------ 75,130 ------------ Utilities - 6.2% Alliant Energy Corp. 17 300 Alltel Corp. 8 389 Ameren Corp. 7 293 American Electric Power Co., Inc. 31 825 Aquila, Inc. 3 8 AT&T Corp. 92 1,572 AT&T Wireless Services, Inc. (AE) 53 343 Avista Corp. 2 24 BellSouth Corp. 163 4,157 Cablevision Systems Corp. Class A (AE) 4 83 Centerpoint Energy, Inc. 22 176 Cinergy Corp. 4 138 CMS Energy Corp. 9 58 Comcast Corp. Class A (AE) 33 1,004 Comcast Corp. Class A (AE) 93 2,965 Consolidated Edison, Inc. 15 591 Constellation Energy Group, Inc. 11 332 COX Communications, Inc. Class A (AE) 23 745 Dominion Resources, Inc. 5 307 DPL, Inc. 7 91 DTE Energy Co. 8 311
Equity I Fund 9 EQUITY I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Duke Energy Corp. 36 625 Edison International (AE) 6 81 Energy East Corp. 23 421 Entergy Corp. 19 886 Exelon Corp. 16 850 FirstEnergy Corp. 5 178 FPL Group, Inc. 18 1,074 KeySpan Corp. 19 654 National Fuel Gas Co. 25 583 Nextel Communications, Inc. Class A (AE) 208 3,078 Nicor, Inc. 5 137 NiSource, Inc. 1 23 Northeast Utilities 8 116 NSTAR 21 904 Pepco Holdings, Inc. 4 65 PG&E Corp. (AE) 18 266 Pinnacle West Capital Corp. 12 402 PNM Resources, Inc. 2 55 PPL Corp. 18 649 Progress Energy, Inc. 1 38 Progress Energy, Inc. - CVO (AE)(Y) 3 -- Public Service Enterprise Group, Inc. 1 33 Puget Energy, Inc. 7 150 Qwest Communications International 50 189 SBC Communications, Inc. 212 4,945 Sempra Energy 12 316 Southern Co. (The) 17 481 Sprint Corp.-FON Group 77 884 TECO Energy, Inc. 8 87 TXU Corp. 24 478 Verizon Communications, Inc. 169 6,327 Vodafone Group PLC - ADR 30 593 WGL Holdings, Inc. 9 254 Wisconsin Energy Corp. 20 528 ------------ 41,062 ------------ TOTAL COMMON STOCKS (cost $597,836) 641,125 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- PREFERRED STOCKS - 0.0% Financial Services - 0.0% Chubb Corp. 4 87 ------------ Technology - 0.0% Northrop Grumman Corp. (AE) 2 197 ------------ Utilities - 0.0% TXU Corp. (AE) 9 280 ------------ TOTAL PREFERRED STOCKS (cost $794) 564 ------------ SHORT-TERM INVESTMENTS - 4.2% Frank Russell Investment Company Money Market Fund 25,694 25,694 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 2,500 2,496 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $28,190) 28,190 ------------ TOTAL INVESTMENTS - 99.8% (identified cost $626,820) 669,879 OTHER ASSETS AND LIABILITIES NET - 0.2% 1,158 ------------ NET ASSETS - 100.0% 671,037 ============
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------------ Long Positions Russell 1000 Index expiration date 06/03 (43) 4,614 304 S&P E-Mini Index expiration date 06/03 (16) 733 48 S&P 500 Index expiration date 06/03 (106) 24,277 1,988 --------------- Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 2,340 ===============
See accompanying notes which are an integral part of the financial statements. 10 Equity I Fund EQUITY II FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 95.8% Auto and Transportation - 3.4% AAR Corp. 25 97 Airborne, Inc. 35 697 Alaska Air Group, Inc. (AE) 52 918 American Axle & Manufacturing Holdings, Inc. (AE) 85 2,123 Autoliv, Inc. 25 605 Aviall, Inc. (AE) 14 113 CH Robinson Worldwide, Inc. 10 383 Continental Airlines, Inc. Class B (AE) 87 792 Cooper Tire & Rubber Co. 64 897 EGL, Inc. (AE) 57 916 ExpressJet Holdings, Inc. (AE) 28 328 Genesee & Wyoming, Inc. Class A (AE) -- 5 Gentex Corp. (AE) 35 1,048 Gulfmark Offshore, Inc. (AE) 82 1,082 JB Hunt Transport Services, Inc. (AE) 64 2,215 JetBlue Airways Corp. (AE) 43 1,348 Kansas City Southern (AE) 43 474 Kirby Corp. (AE) 8 207 Landstar System, Inc. (AE) 3 180 Lear Corp. (AE) 32 1,284 Midwest Express Holdings, Inc. (AE) 8 22 Navistar International Corp. (AE) 29 812 Polaris Industries, Inc. 4 206 Roadway Corp. 18 667 Skywest, Inc. 14 173 Teekay Shipping Corp. 28 1,074 Tidewater, Inc. 34 901 Usfreightways Corp. 14 405 Visteon Corp. 358 2,506 Wabtec Corp. 97 1,192 Werner Enterprises, Inc. 28 633 ------------ 24,303 ------------ Consumer Discretionary - 21.9% Abercrombie & Fitch Co. Class A (AE) 51 1,687 Advance Auto Parts (AE) 21 1,045 Advisory Board Co. (The) (AE) 11 395 Advo, Inc. (AE) 18 720 Aeropostale, Inc. New (AE) 33 599 Alberto-Culver Co. Class B 12 572 Alliance Gaming Corp. (AE) 42 673 American Eagle Outfitters (AE) 67 1,173 Applebees International, Inc. 16 436 Asbury Automotive Group, Inc. (AE) 18 167 Aztar Corp. (AE) 16 221 Banta Corp. 34 1,043 BearingPoint, Inc. (AE) 3 28 Belo Corp. Class A 36 804 Big Lots, Inc. (AE) 71 886 Bob Evans Farms 21 523 Bombay Co., Inc. (The) (AE) 43 361
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Brown Shoe Co., Inc. 7 208 Callaway Golf Co. 89 1,241 Career Education Corp. (AE) 7 439 Catalina Marketing Corp. (AE) 28 496 CBRL Group, Inc. 51 1,623 CDI Corp. (AE) 26 715 Charming Shoppes (AE) 83 389 Chico's FAS, Inc. (AE) 22 540 Childrens Place (AE) 7 99 Choice Hotels International, Inc. (AE) 26 644 ChoicePoint, Inc. (AE) 28 970 Christopher & Banks Corp. (AE) 20 508 Claire's Stores, Inc. 139 3,616 Coach, Inc. (AE) 27 1,158 Coinstar, Inc. (AE) 35 639 Columbia Sportswear Co. (AE) 7 312 Consolidated Graphics, Inc. (AE) 2 46 Corinthian Colleges, Inc. (AE) 13 600 Corporate Executive Board Co. (AE) 79 3,230 COX Radio, Inc. Class A (AE) 47 1,072 Cumulus Media, Inc. Class A (AE) 38 658 Dick's Sporting Goods, Inc. (AE) 25 739 Dillard's, Inc. Class A 86 1,199 DoubleClick, Inc. (AE) 76 652 Earthlink, Inc. (AE) 138 952 Education Management Corp. (AE) 50 2,441 Entercom Communications Corp. (AE) 43 2,065 Ethan Allen Interiors, Inc. 33 1,127 Federated Department Stores 36 1,115 Finish Line Class A (AE) 11 185 Fisher Scientific International (AE) 40 1,161 Footstar, Inc. (AE) 88 815 FTI Consulting, Inc. (AE) 8 339 GameStop Corp. (AE) 32 386 Getty Images, Inc. (AE) 131 4,448 Global Imaging Systems, Inc. (AE) 20 372 Group 1 Automotive, Inc. (AE) 19 519 Guitar Center, Inc. (AE) 15 354 Gymboree Corp. (AE) 9 150 Handleman Co. (AE) 44 747 Harman International Industries, Inc. 17 1,112 Harte-Hanks, Inc. Class C 109 1,970 Haverty Furniture Cos., Inc. 7 98 Hearst-Argyle Television, Inc. Class C (AE) 92 2,204 Hollinger International, Inc. 40 372 Hot Topic, Inc. (AE) 16 379 Hotels.com Class A (AE) 9 649 IKON Office Solutions, Inc. 206 1,600 Iron Mountain, Inc. (AE) 38 1,506 ITT Educational Services, Inc. (AE) 68 1,994 J Jill Group, Inc. (The) (AE) 35 497 Jack in the Box, Inc. (AE) 51 902 Jakks Pacific, Inc. (AE) 46 600
10 Equity II Fund EQUITY II FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Jo-Ann Stores, Inc. Class A (AE) 24 619 John Wiley & Sons Class A 5 127 Jones Apparel Group, Inc. (AE) 36 1,030 K-Swiss, Inc. Class A 29 865 Kellwood Co. 23 672 Kelly Services, Inc. Class A 10 222 Kroll, Inc. (AE) 32 718 La-Z-Boy, Inc. Class C 27 527 Labor Ready, Inc. (AE) 42 268 Lamar Advertising Co. (AE) 68 2,426 Landry's Restaurants, Inc. 46 860 Leapfrog Enterprises, Inc. (AE) 37 980 Lee Enterprises, Inc. 40 1,438 Lin TV Corp. Class A (AE) 32 775 Lithia Motors, Inc. Class A (AE) 11 146 Liz Claiborne, Inc. 45 1,457 Mandalay Resort Group (AE) 26 687 Manpower, Inc. 47 1,539 May Department Stores Co. (The) 45 962 McClatchy Co. Class A 34 1,992 McGraw-Hill Cos., Inc. (The) 21 1,226 Media General, Inc. Class A 12 682 Men's Wearhouse, Inc. (AE) 50 833 MPS Group, Inc. (AE) 142 960 Navigant International, Inc. (AE) 13 142 Neiman-Marcus Group, Inc. Class A (AE) 38 1,215 Nordstrom, Inc. 53 913 Nu Skin Enterprises, Inc. 90 808 OfficeMax, Inc. (AE) 105 593 On Assignment, Inc. (AE) 45 215 Outback Steakhouse, Inc. 65 2,316 Pacific Sunwear Of California (AE) 22 503 Park Place Entertainment Corp. (AE) 273 2,033 PEP Boys-Manny Moe & Jack 92 788 Petsmart, Inc. (AE) 131 1,974 Pier 1 Imports, Inc. 86 1,589 Pinnacle Entertainment, Inc. (AE) 19 101 Pittston Brink's Group 62 793 Playtex Products, Inc. (AE) 127 936 Pre-Paid Legal Services, Inc. (AE) 57 1,324 Prime Hospitality Corp. (AE) 26 170 ProQuest Co. (AE) 48 1,211 Pulitzer, Inc. 41 1,893 Quiksilver, Inc. (AE) 126 4,110 Radio One, Inc. Class D (AE) 131 1,999 Rare Hospitality International, Inc. (AE) 33 961 Reebok International, Ltd. (AE) 32 1,004 Regal Entertainment Group Class A 48 935 Regis Corp. 36 1,008 Rent-A-Center, Inc. Class C (AE) 52 3,370 Republic Services, Inc. (AE) 80 1,715 Right Management Consultants, Inc. (AE) 16 204
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Ross Stores, Inc. 58 2,194 Royal Caribbean Cruises, Ltd. 29 544 RR Donnelley & Sons Co. 20 411 Ruby Tuesday, Inc. 6 122 Russ Berrie & Co., Inc. 4 128 Russell Corp. 13 250 Ryan's Family Steak Houses, Inc. (AE) 98 1,219 Saks, Inc. (AE) 146 1,308 Salton, Inc. (AE) 12 159 Scholastic Corp. (AE) 14 395 Scientific Games Corp. Class A (AE) 194 1,264 SCP Pool Corp. (AE) 73 2,410 Sharper Image Corp. (AE) 10 190 ShopKo Stores, Inc. (AE) 177 2,126 Sinclair Broadcast Group, Inc. Class A (AE) 33 348 Skechers U.S.A., Inc. Class A (AE) 20 136 Snap-On, Inc. Class C 5 156 Spherion Corp. (AE) 14 59 Stage Stores, Inc. (AE) 24 507 Station Casinos, Inc. (AE) 23 499 Steak N Shake Co. (The) (AE) 13 146 Sylvan Learning Systems, Inc. (AE) 30 526 Take-Two Interactive Software (AE) 11 236 TeleTech Holdings, Inc. (AE) 30 122 Tetra Tech, Inc. (AE) 47 726 Tiffany & Co. 21 580 Toro Co. 41 1,515 Tractor Supply Co. (AE) 36 1,542 United Auto Group, Inc. (AE) 56 950 United Natural Foods, Inc. (AE) 21 616 United Online, Inc. (AE) 99 2,205 United Stationers, Inc. (AE) 15 393 Valassis Communications, Inc. (AE) 26 692 VCA Antech, Inc. (AE) 147 2,471 Wallace Computer Services, Inc. 5 125 Washington Post Class B 3 2,056 Waste Connections, Inc. (AE) 29 979 Watson Wyatt & Co. Holdings (AE) 3 53 Weight Watchers International, Inc. (AE) 12 564 West Corp. (AE) 41 920 Wireless Facilities, Inc. (AE) 110 766 WMS Industries, Inc. (AE) 23 305 Wolverine World Wide, Inc. 25 452 Zale Corp. (AE) 14 501 ------------ 154,885 ------------ Consumer Staples - 3.7% 7-Eleven, Inc. Class C (AE) 15 138 American Italian Pasta Co. Class A (AE) 27 1,208 Church & Dwight, Inc. 28 894 Coca-Cola Bottling Co. Consolidated 22 1,132 Constellation Brands, Inc. Class A (AE) 75 2,019
Equity II Fund 11 EQUITY II FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- D&K Healthcare Resources, Inc. 12 151 Dean Foods Co. (AE) 30 1,306 Del Monte Foods Co. (AE) 36 288 Dial Corp. (The) 122 2,535 DIMON, Inc. 18 119 Duane Reade, Inc. (AE) 34 459 Flowers Foods, Inc. 41 1,157 Fresh Brands, Inc. 65 880 Great Atlantic & Pacific Tea Co. (AE) 34 206 Hain Celestial Group, Inc. (AE) 31 528 Hormel Foods Corp. 35 801 International Multifoods Corp. (AE) 7 126 J&J Snack Foods Corp. (AE) 3 81 JM Smucker Co. (The) 4 149 NBTY, Inc. (AE) 23 350 Pathmark Stores, Inc. (AE) 157 1,095 Pepsi Bottling Group, Inc. 55 1,130 PepsiAmericas, Inc. 172 2,142 Performance Food Group Co. (AE) 69 2,417 Ralcorp Holdings, Inc. (AE) 13 334 Ruddick Corp. 13 174 Schweitzer-Mauduit International, Inc. 6 138 Sensient Technologies Corp. 43 944 Smithfield Foods, Inc. (AE) 15 292 Standard Commercial Corp. 5 80 Tootsie Roll Industries, Inc. 16 472 Tyson Foods, Inc. Class A 83 801 Universal Corp.-Va 19 750 Whole Foods Market, Inc. (AE) 12 718 ------------ 26,014 ------------ Financial Services - 20.3% Affiliated Computer Services, Inc. Class A (AE) 26 1,231 AG Edwards, Inc. 15 451 Alfa Corp. 10 127 Alliance Data Systems Corp. (AE) 121 2,539 Allmerica Financial Corp. 82 1,253 AMB Property Corp. (o) 16 448 American Financial Group, Inc. 24 528 AMLI Residential Properties (o) 6 127 Annaly Mortgage Management, Inc. (o) 81 1,544 Anthracite Capital, Inc. (o) 69 819 Associated Banc-Corp 47 1,632 Bancorpsouth, Inc. 21 412 Bank of Hawaii Corp. 63 2,080 BankAtlantic Bancorp, Inc. Class A 69 797 Banknorth Group, Inc. 56 1,325 Bear Stearns Cos., Inc. (The) 24 1,597 Bedford Property Investors (o) 12 330 BISystem Group, Inc. (The) (AE) 83 1,401 Blackrock, Inc. (AE) 11 482 Boston Properties, Inc. (o) 20 796 Boykin Lodging Co. (o) 12 98 Brandywine Realty Trust (o) 10 212
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Capital Automotive REIT (o) 15 394 Capstead Mortgage Corp. (o) 13 145 CarrAmerica Realty Corp. (o) 11 292 Cash America International, Inc. 45 462 CBL & Associates Properties, Inc. (o) 27 1,146 CCC Information Services Group (AE) 5 80 Certegy, Inc. (AE) 32 792 Checkfree Corp. (AE) 46 1,260 Chelsea Property Group, Inc. (o) 6 242 Chittenden Corp. 9 230 Citizens Banking Corp. 1 23 City Holding Co. 3 88 City National Corp. 19 795 CNA Surety Corp. 84 772 Colonial BancGroup, Inc. (The) 104 1,325 Commerce Bancshares, Inc. 13 485 Commerce Group, Inc. 12 434 Commercial Federal Corp. 51 1,098 Commercial Net Lease Realty (o) 20 328 Community Bank System, Inc. 44 1,535 Cornerstone Realty, Income Trust, Inc. (o) 16 112 CPB, Inc. 5 120 Delphi Financial Group Class A 3 145 Deluxe Corp. 52 2,302 Doral Financial Corp. 54 2,169 Dow Jones & Co., Inc. 31 1,236 Downey Financial Corp. 22 961 Duke Realty Corp. (o) 44 1,196 E*TRADE Group, Inc. (AE) 66 364 East-West Bancorp, Inc. 22 731 Eastgroup Properties (o) 5 127 eFunds Corp. (AE) 59 537 Entertainment Properties Trust (o) 10 267 Equity Inns, Inc. (o) 53 355 Equity One, Inc. (o) 6 102 eSpeed, Inc. Class A (AE) 70 911 Factset Research Systems, Inc. 17 574 Fair Isaac Corp. 16 835 FBL Financial Group, Inc. Class A 2 43 Federal Realty Investement Trust (o) 12 364 FelCor Lodging Trust, Inc. (o) 29 203 Fidelity National Financial, Inc. 80 2,762 First American Corp. 169 4,481 First Bancorp Puerto Rico 15 458 First Essex Bancorp, Inc. 42 1,452 First Industrial Realty Trust, Inc. (o) 4 123 First Niagara Financial Group, Inc. 13 157 First Republic Bank (AE) 11 271 First Virginia Banks, Inc. 20 835 FirstFed Financial Corp. (AE) 17 546 Flagstar Bancorp, Inc. 35 1,163 Fremont General Corp. 81 760
12 Equity II Fund EQUITY II FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Friedman Billings Ramsey Group, Inc. Class A (o) 38 417 Fulton Financial Corp. 12 241 Gabelli Asset Management, Inc. Class A (AE) 11 328 Gables Residential Trust (o) 25 710 GATX Corp. 18 337 General Growth Properties, Inc. (o) 4 217 Glenborough Realty Trust, Inc. (o) 25 410 Global Payments, Inc. 39 1,212 Great Lakes REIT (o) 5 71 Hancock Holding Co. 4 167 Harbor Florida Bancshares, Inc. 10 253 Harland John H. Co. 6 144 Health Care Property Investors, Inc. (o) 9 335 Health Care REIT, Inc. (o) 7 205 Healthcare Realty Trust, Inc. (o) 34 947 Henry (Jack) & Associates 53 694 Hibernia Corp. Class A 71 1,283 Hospitality Properties Trust (o) 58 1,674 HRPT Properties Trust (o) 232 2,091 IBERIABANK Corp. 3 113 Imperial Credit Industries 2008 Warrants -- -- Independence Community Bank 35 923 IndyMac Bancorp, Inc. 53 1,187 Innkeepers USA Trust (o) 27 205 Interactive Data Corp. (AE) 44 710 Investment Technology Group, Inc. (AE) 48 690 Investors Financial Services Corp. 54 1,173 IPC Holdings, Ltd. 45 1,556 Irwin Financial Corp. 18 427 iStar Financial, Inc. (o) 47 1,401 Jefferies Group, Inc. 25 982 Kimco Realty Corp. (o) 6 199 Koger Equity, Inc. (o) 25 406 LaBranche & Co., Inc. 52 857 Landamerica Financial Group, Inc. 59 2,435 Legg Mason, Inc. 10 543 LendingTree, Inc. (AE) 30 427 Local Financial Corp. (AE) 2 24 Mack-Cali Realty Corp. (o) 31 966 MAF Bancorp, Inc. 16 540 Markel Corp. (AE) 11 2,642 MFA Mortgage Investments, Inc. (o) 90 844 MGIC Investment Corp. 23 1,041 Mid Atlantic Realty Trust (o) 7 133 Mid-America Apartment Communities, Inc. (o) 5 134 Mony Group, Inc. 64 1,482 Moody's Corp. 28 1,352 Nationwide Health Properties, Inc. (o) 38 528 NDCHealth Corp. 51 980 New Century Financial Corp. 98 3,598
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- New Plan Excel Realty Trust (o) 68 1,359 New York Community Bancorp, Inc. 64 2,213 North Fork BanCorp., Inc. 37 1,181 Novastar Financial, Inc. (o) 4 155 Nuveen Investments, Inc. Class A 31 757 OceanFirst Financial Corp. 7 153 Odyssey Re Holdings Corp. 14 286 Ohio Casualty Corp. (AE) 10 123 Pacific Northwest Bancorp 5 144 Pan Pacific Retail Properties, Inc. (o) 8 293 Parkway Properties, Inc./Md (o) 4 166 Peoples Bank Bridgeport 4 105 PFF Bancorp, Inc. 12 391 Phoenix Cos., Inc. (The) 54 429 Plum Creek Timber Co., Inc. (REIT) 44 1,012 Post Properties, Inc. (o) 37 948 Prentiss Properties Trust (o) 13 366 ProAssurance Corp. (AE) 6 150 Protective Life Corp. 39 1,106 Provident Bankshares Corp. 12 317 Provident Financial Group, Inc. 15 359 Providian Financial Corp. (AE) 282 2,081 PS Business Parks, Inc. (o) 5 159 R&G Financial Corp. Class B 15 409 Radian Group, Inc. 48 1,886 Raymond James Financial, Inc. 70 2,014 Realty, Income Corp. (o) 14 508 Reckson Associates Realty Corp. (o) 7 132 Redwood Trust, Inc. (o) 22 718 RenaissanceRe Holdings, Ltd. 51 2,243 Republic Bancorp, Inc. 8 104 RLI Corp. 10 296 Roslyn Bancorp, Inc. 68 1,291 Ryder System, Inc. 108 2,693 Seacoast Financial Services Corp. 9 164 Selective Insurance Group 3 73 Senior Housing Properties Trust (o) 43 530 Silicon Valley Bancshares (AE) 16 374 Southwest Bancorp of Texas, Inc. (AE) 21 700 Southwest Bancorp, Inc. 49 1,185 Sovereign Bancorp, Inc. 83 1,287 Sovran Self Storage, Inc. (o) 43 1,248 Stancorp Financial Group, Inc. 24 1,278 Sterling Bancorp 7 180 Stewart Information Services Corp. (AE) 13 344 Susquehanna Bancshares, Inc. 8 180 SWS Group, Inc. 9 141 TCF Financial Corp. 14 550 Texas Regional Bancshares, Inc. Class A 6 222 Thornburg Mortgage, Inc. (o) 43 961 Trizec Properties, Inc. (o) 27 249 Trustmark Corp. 5 118 UMB Financial Corp. 9 365
Equity II Fund 13 EQUITY II FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Union Planters Corp. 35 986 Universal Health Realty, Income (o) 2 47 US Restaurant Properties, Inc. (o) 5 69 W Holding Co., Inc. 37 725 Washington Federal, Inc. 12 260 Washington Mutual, Inc. 2005 Warrants (AE) 264 37 Webster Financial Corp. 39 1,466 Whitney Holding Corp. 24 794 Willis Group Holdings, Ltd. 13 402 Wilmington Trust Corp. 5 135 Wintrust Financial Corp. 11 337 WSFS Financial Corp. 4 134 XL Capital, Ltd. Class A 17 1,416 Zions BanCorp. 21 1,035 ------------ 143,590 ------------ Health Care - 10.5% Advanced Neuromodulation Systems, Inc. (AE) 22 923 AdvancePCS (AE) 31 932 Affymetrix, Inc. (AE) 54 1,002 Albany Molecular Research, Inc. (AE) 7 84 Alpharma, Inc. Class A 78 1,458 American Healthcorp, Inc. 13 309 American Medical Security Group, Inc. (AE) 20 338 American Pharmaceutical Partners, Inc. (AE) 45 1,052 AMERIGROUP Corp. (AE) 20 594 Amylin Pharmaceuticals, Inc. (AE) 46 889 Applera Corp. - Celera Genomics Group Class R (AE) 166 1,743 Apria Healthcare Group, Inc. (AE) 6 134 Bausch & Lomb, Inc. 28 984 Bio-Rad Laboratories, Inc. Class A (AE) 29 1,374 Biosite, Inc. (AE) 11 461 Bradley Pharmaceuticals (AE) 13 184 Celgene Corp. (AE) 25 655 Cell Therapeutics, Inc. (AE) 86 775 Centene Corp. (AE) 8 266 Connetics Corp. (AE) 25 417 Cooper Cos., Inc. 21 594 Corixa Corp. (AE) 38 274 Coventry Health Care, Inc. (AE) 12 502 Curative Health Services, Inc. (AE) 17 209 DaVita, Inc. (AE) 101 2,074 Digene Corp. (AE) 25 466 Edwards Lifesciences Corp. (AE) 48 1,397 Eon Labs, Inc. (AE) 36 1,112 Express Scripts, Inc. (AE) 6 371 First Health Group Corp. (AE) 35 869 Gen-Probe, Inc. (AE) 22 698 Genencor International, Inc. (AE) 54 597 Guilford Pharmaceuticals, Inc. (AE) 21 100
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Health Net, Inc. (AE) 46 1,195 Healthsouth Corp. (AE) 307 44 Henry Schein, Inc. (AE) 14 595 Human Genome Sciences, Inc. (AE) 28 327 Humana, Inc. (AE) 212 2,347 Idexx Laboratories, Inc. (AE) 56 2,179 Immucor, Inc. (AE) 35 710 Inamed Corp. (AE) 18 667 Invitrogen Corp. (AE) 73 2,387 Kos Pharmaceuticals, Inc. (AE) 13 257 Lincare Holdings, Inc. (AE) 74 2,247 Martek Biosciences Corp. (AE) 64 2,175 Medicis Pharmaceutical Class A (AE) 13 744 Mid Atlantic Medical Services (AE) 36 1,568 Millennium Pharmaceuticals, Inc. (AE) 64 701 Myriad Genetics, Inc. (AE) 45 539 Nektar Therapeutics (AE) 27 213 Neurocrine Biosciences, Inc. (AE) 8 357 Noven Pharmaceuticals, Inc. (AE) 17 168 Odyssey HealthCare, Inc. (AE) 25 635 Omnicare, Inc. 127 3,373 Owens & Minor, Inc. 23 433 Pacificare Health Systems (AE) 50 1,602 Parexel International Corp. (AE) 52 674 Patterson Dental Co. (AE) 37 1,486 Perrigo Co. 19 293 Pharmaceutical Product Development, Inc. (AE) 13 345 Pharmaceutical Resources, Inc. (AE) 25 1,081 Pharmacopeia, Inc. (AE) 123 1,099 Praecis Pharmaceuticals, Inc. (AE) 4 18 Priority Healthcare Corp. Class B (AE) 41 926 Protein Design Labs, Inc. (AE) 49 490 PSS World Medical, Inc. (AE) 71 425 Quintiles Transnational Corp. (AE) 38 540 Resmed, Inc. (AE) 28 1,031 Respironics, Inc. (AE) 38 1,475 Sepracor, Inc. (AE) 86 1,649 Serologicals Corp. (AE) 25 231 SICOR, Inc. (AE) 90 1,619 Sola International, Inc. (AE) 10 146 Stericycle, Inc. (AE) 54 2,126 Steris Corp. (AE) 36 822 Sybron Dental Specialties, Inc. (AE) 21 423 Taro Pharmaceuticals Industries (AE) 17 769 Techne Corp. (AE) 56 1,242 Telik, Inc. (AE) 49 648 Triad Hospitals, Inc. (AE) 56 1,222 United Surgical Partners International, Inc. (AE) 37 678 US Oncology, Inc. (AE) 28 204 Varian Medical Systems, Inc. (AE) 19 1,007 Varian, Inc. (AE) 7 218
14 Equity II Fund EQUITY II FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- ViaSystem Healthcare, Inc. (AE) 9 143 Visx, Inc. (AE) 42 659 WebMD Corp. (AE) 162 1,559 ------------ 74,548 ------------ Materials and Processing - 6.5% Airgas, Inc. (AE) 33 659 Albemarle Corp. 18 483 Allegheny Technologies, Inc. 8 34 Amcol International Corp. 4 25 Aptargroup, Inc. 31 1,077 Arch Chemicals, Inc. 16 350 Ashland, Inc. 43 1,263 Boise Cascade Corp. 29 659 Cabot Corp. 62 1,717 Cabot Microelectronics Corp. (AE) 7 298 Calgon Carbon Corp. 187 953 Chesapeake Corp. 22 393 Cleveland-Cliffs, Inc. (AE) 6 106 Corn Products International, Inc. 17 493 Crown Holdings, Inc. (AE) 58 305 Cytec Industries, Inc. (AE) 80 2,545 DHB Industries, Inc. (AE) 31 122 EMCOR Group, Inc. (AE) 15 776 Energizer Holdings, Inc. (AE) 48 1,385 Freeport-McMoRan Copper & Gold, Inc. Class B 20 346 Great Lakes Chemical Corp. 6 140 Greif, Inc. Class A 4 72 Griffon Corp. (AE) 14 192 Hughes Supply, Inc. 46 1,288 IMC Global, Inc. 36 326 Jacobs Engineering Group, Inc. (AE) 25 1,031 Lafarge North America, Inc. 21 653 Lennox International, Inc. 129 1,918 LNR Property Corp. 48 1,684 Longview Fibre Co. 18 140 Louisiana-Pacific Corp. (AE) 126 1,015 Lubrizol Corp. 30 939 Lyondell Chemical Co. 71 1,037 MacDermid, Inc. 6 145 Maverick Tube Corp. (AE) 29 519 Minerals Technologies, Inc. 9 407 Myers Industries, Inc. 15 154 NL Industries 5 80 Octel Corp. 6 84 Pactiv Corp. (AE) 48 991 PolyOne Corp. 35 160 Potash Corp. of Saskatchewan 13 769 Precision Castparts Corp. 92 2,545 Quanex Corp. 4 115 Quanta Services, Inc. (AE) 133 457 Reliance Steel & Aluminum Co. 7 119 Rogers Corp. (AE) 4 139
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- RPM International, Inc. 107 1,326 Schulman (A.), Inc. 32 517 Scotts Co. (The) Class A (AE) 24 1,338 Sealed Air Corp. (AE) 36 1,560 Shaw Group, Inc. (The) (AE) 28 320 Standard Register Co. (The) 27 463 Steel Dynamics, Inc. (AE) 9 110 Temple-Inland, Inc. 23 1,019 Texas Industries, Inc. 36 701 Timken Co. 61 1,083 Trex Co., Inc. (AE) 7 304 Unifi, Inc. (AE) 56 333 United States Steel Corp. 285 4,074 Universal Forest Products, Inc. 4 67 USEC, Inc. 95 530 USG Corp. (AE) 68 473 Watsco, Inc. 24 367 Wausau-Mosinee Paper Corp. 11 113 ------------ 45,806 ------------ Miscellaneous - 1.3% Brunswick Corp. 77 1,690 Carlisle Cos., Inc. 29 1,306 GenCorp, Inc. 38 292 Johnson Controls, Inc. 16 1,275 Kaman Corp. Class A 6 59 Lancaster Colony Corp. 8 325 St Joe Co. (The) 40 1,178 Textron, Inc. 31 899 US Industries, Inc. (AE) 181 860 Wesco Financial Corp. 5 1,368 ------------ 9,252 ------------ Other Energy - 4.6% BJ Services Co. (AE) 23 836 Cooper Cameron Corp. (AE) 31 1,474 Denbury Resources Inc. (AE) 90 955 Devon Energy Corp. 8 360 EOG Resources, Inc. 23 845 Equitable Resources, Inc. 10 388 Evergreen Resources, Inc. (AE) 23 1,108 GlobalSantaFe Corp. 47 996 Grant Prideco, Inc. (AE) 49 560 Houston Exploration Co. (AE) 21 596 Hydril Co. (AE) 20 483 Key Energy Services, Inc. (AE) 104 1,045 National-Oilwell, Inc. Class C (AE) 40 831 Oceaneering International, Inc. (AE) 5 117 Oil States International, Inc. (AE) 6 71 Parker Drilling Co. (AE) 59 116 Patina Oil & Gas Corp. 28 970 Patterson-UTI Energy, Inc. (AE) 33 1,100 Pioneer Natural Resources Co. (AE) 17 407 Pogo Producing Co. 15 598
Equity II Fund 15 EQUITY II FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Premcor, Inc. (AE) 57 1,266 Reliant Resources, Inc. (AE) 164 921 Rowan Cos., Inc. 63 1,292 Smith International, Inc. (AE) 23 818 St Mary Land & Exploration Co. 14 369 Stone Energy Corp. (AE) 32 1,120 Sunoco, Inc. 66 2,471 Talisman Energy, Inc. 28 1,117 TEPPCO Partners L.P. 38 1,217 Tesoro Petroleum Corp. (AE) 80 624 Tom Brown, Inc. (AE) 3 61 Unit Corp. (AE) 40 784 Universal Compression Holdings, Inc. (AE) 12 210 Varco International, Inc. (AE) 55 966 Veritas DGC, Inc. (AE) 72 492 Vintage Petroleum, Inc. 50 489 Westport Resources Corp. (AE) 47 988 XTO Energy, Inc. 191 3,717 ------------ 32,778 ------------ Producer Durables - 5.5% Advanced Energy Industries, Inc. (AE) 63 601 AGCO Corp. (AE) 28 509 Allen Telecom, Inc. (AE) 101 1,371 American Bank Note Holographics, Inc. (AE) 4 3 American Power Conversion (AE) 37 580 Ametek, Inc. 12 452 AO Smith Corp. 22 653 Applied Industrial Technologies, Inc. 8 141 Arris Group, Inc. (AE) 137 533 Baldor Electric Co. 6 129 Briggs & Stratton 28 1,282 Cascade Corp. 5 79 Ceradyne, Inc. (AE) 19 218 CNH Global NV 49 425 Crown Castle International Corp. (AE) 99 633 CTS Corp. 20 166 Curtiss-Wright Corp. 17 994 Cymer, Inc. (AE) 35 999 DR Horton, Inc. 63 1,504 Engineered Support Systems, Inc. 10 344 Entegris, Inc. (AE) 28 322 ESCO Technologies, Inc. (AE) 8 329 Esterline Technologies Corp. (AE) 18 327 FEI Co. (AE) 37 673 Hovnanian Enterprises, Inc. Class A (AE) 10 394 Hubbell, Inc. Class B 5 173 Ingersoll-Rand Co. Class A 25 1,095 Interdigital Communications Corp. (AE) 16 354 Itron, Inc. (AE) 26 526 Kadant, Inc. (AE) 26 414
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- KB Home 8 374 Lennar Corp. Class A 26 1,427 Lennar Corp. Class B 3 141 LTX Corp. (AE) 64 431 M/I Schottenstein Homes, Inc. 44 1,513 Mettler Toledo International, Inc. (AE) 38 1,360 Milacron, Inc. 10 52 Millipore Corp. (AE) 43 1,451 Moog, Inc. Class A (AE) 7 221 MTC Technologies, Inc. (AE) 27 461 Mykrolis Corp. (AE) 29 233 Novellus Systems, Inc. (AE) 10 280 NVR, Inc. (AE) 2 751 Orbital Sciences Corp. (AE) 203 1,131 Pentair, Inc. 17 663 Photronics, Inc. (AE) 81 1,022 Plantronics, Inc. (AE) 34 625 Ryland Group, Inc. 46 2,484 Standard-Pacific Corp. 39 1,177 Steelcase, Inc. Class A 18 168 Tecumseh Products Co. Class A 14 559 Teledyne Technologies, Inc. (AE) 50 705 Toll Brothers, Inc. (AE) 114 2,655 Triumph Group, Inc. (AE) 21 549 United Defense Industries, Inc. (AE) 57 1,402 Veridian Corp. (AE) 20 376 William Lyon Homes, Inc. (AE) 7 182 ------------ 38,616 ------------ Technology - 15.6% 3Com Corp. (AE) 216 1,125 ADC Telecommunications, Inc. (AE) 387 925 Adtran, Inc. (AE) 20 823 Advanced Fibre Communication (AE) 37 572 Agere Systems, Inc. Class B (AE) 368 628 Agile Software Corp. (AE) 11 76 American Management Systems (AE) 12 151 Amkor Technology, Inc. (AE) 104 787 Analogic Corp. -- 17 Anixter International, Inc. (AE) 55 1,266 AnSystem, Inc. (AE) 15 386 Anteon International Corp. (AE) 37 874 Arbitron, Inc. (AE) 57 1,935 Ariba, Inc. (AE) 101 328 Arrow Electronics, Inc. (AE) 212 3,580 Ascential Software Corp. (AE) 315 1,209 ASM International NV (AE) 79 1,078 Autodesk, Inc. 67 1,035 Avaya, Inc. (AE) 349 1,362 Avid Technology, Inc. (AE) 42 1,143 Avnet, Inc. (AE) 217 2,771 Avocent Corp. (AE) 70 2,085 Bell Microproducts, Inc. (AE) 10 45 Benchmark Electronics, Inc. (AE) 71 1,845
16 Equity II Fund EQUITY II FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Business Objects SA - ADR (AE) 72 1,562 Checkpoint Systems, Inc. (AE) 12 164 ChipPAC, Inc. Class A (AE) 118 639 Citrix Systems, Inc. (AE) 149 2,816 Cognizant Technology Solutions Corp. (AE) 9 158 Cognos, Inc. (AE) 27 733 Coherent, Inc. (AE) 60 1,378 Comverse Technology, Inc. (AE) 84 1,094 Conexant Systems, Inc. (AE) 164 298 Cray, Inc. (AE) 78 589 Cree, Inc. (AE) 75 1,490 CSG Systems International (AE) 27 283 Cypress Semiconductor Corp. (AE) 120 1,042 Digex, Inc. (AE) 233 91 Documentum, Inc. (AE) 119 2,188 DRS Technologies, Inc. (AE) 35 983 E.piphany, Inc. (AE) 89 394 EDO Corp. 73 1,380 Emulex Corp. (AE) 38 781 Exar Corp. (AE) 84 1,238 F5 Networks, Inc. (AE) 148 2,034 Fairchild Semiconductor International, Inc. Class A (AE) 83 980 Filenet Corp. (AE) 56 860 Flir Systems, Inc. (AE) 28 1,479 Foundry Networks, Inc. (AE) 120 1,303 Gateway, Inc. (AE) 101 289 Genesis Microchip, Inc. (AE) 80 1,376 GlobespanVirata, Inc. (AE) 94 571 Harris Corp. 72 2,056 Hutchinson Technology, Inc. (AE) 15 352 Hyperion Solutions Corp. (AE) 54 1,526 Ii-Vi, Inc. (AE) 45 881 iManage, Inc. 84 282 Imation Corp. (AE) 17 583 Informatica Corp. (AE) 160 1,045 Ingram Micro, Inc. Class A (AE) 168 1,681 Integrated Circuit Systems, Inc. (AE) 69 1,505 Inter-Tel, Inc. 17 278 Intergraph Corp. (AE) 23 459 Internet Security Systems (AE) 19 244 Iomega Corp. (AE) 23 212 Jabil Circuit, Inc. (AE) 27 505 JD Edwards & Co. (AE) 74 890 Juniper Networks, Inc. (AE) 24 244 Keynote Systems, Inc. (AE) 52 490 L-3 Communications Holdings, Inc. (AE) 18 781 Lattice Semiconductor Corp. (AE) 107 929 Lawson Software, Inc. (AE) 76 383 Lexar Media, Inc. (AE) 67 324 Loral Space & Communications (AE) 219 59
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- LSI Logic Corp. (AE) 146 780 Macromedia, Inc. (AE) 61 764 Macrovision Corp. (AE) 47 829 Mantech International Corp. Class A (AE) 14 212 Maxtor Corp. (AE) 1,020 5,608 McData Corp. Class A (AE) 67 713 Mercury Computer Systems, Inc. (AE) 9 181 Mercury Interactive Corp. (AE) 51 1,746 Methode Electronics Class A 23 240 Micrel, Inc. (AE) 62 731 Microchip Technology, Inc. 16 333 Micromuse, Inc. (AE) 97 636 MicroStrategy, Inc. Class A (AE) 44 1,206 National Instruments Corp. (AE) 40 1,274 NetScreen Technologies, Inc. (AE) 19 383 O2Micro International, Ltd. (AE) 111 1,295 Oak Technology, Inc. (AE) 217 1,058 Omnivision Technologies, Inc. (AE) 13 311 Open Text Corp. (AE) 8 224 Optimal Robotics Corp. Class A (AE) 28 193 Pinnacle Systems, Inc. (AE) 35 326 Pioneer Standard Electronics 54 526 PMC - Sierra, Inc. (AE) 84 692 Power Integrations, Inc. (AE) 23 500 Quantum Corp. (AE) 334 1,153 Quest Software, Inc. (AE) 21 228 Red Hat, Inc. (AE) 159 955 Retek, Inc. (AE) 1 8 Sandisk Corp. (AE) 94 2,280 ScanSoft, Inc. (AE) 44 226 Semtech Corp. (AE) 49 786 Serena Software, Inc. (AE) 42 668 Silicon Laboratories, Inc. (AE) 33 939 Skyworks Solutions, Inc. (AE) 59 317 SonicWALL, Inc. (AE) 34 120 SRA International, Inc. Class A (AE) 19 440 Standard MicroSystems Corp. (AE) 8 96 Storage Technology Corp. (AE) 12 294 Systems & Computer Technology Corp. (AE) 18 125 TIBCO Software, Inc. (AE) 176 867 Trimble Navigation, Ltd. (AE) 37 929 UniSystem Corp. (AE) 120 1,252 United Industrial Corp. 15 199 UNOVA, Inc. (AE) 92 676 Utstarcom, Inc. (AE) 74 1,607 Verity, Inc. (AE) 72 1,191 Wavecom Sa Class R - ADR (AE) 18 222 webMethods, Inc. (AE) 92 923 Western Digital Corp. (AE) 339 3,161 ------------ 110,371 ------------
Equity II Fund 17 EQUITY II FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Utilities - 2.5% AGL Resources, Inc. 23 600 Alliant Energy Corp. 20 349 Atmos Energy Corp. 3 62 Avista Corp. 97 1,146 Broadwing, Inc. (AE) 10 46 Cleco Corp. 42 629 CMS Energy Corp. 191 1,191 Empire District Electric Co./The 12 226 Energen Corp. 18 577 Energy East Corp. 74 1,339 Hawaiian Electric Industries 17 699 IDT Corp. (AE) 61 877 Mediacom Communications Corp. (AE) 48 476 New Jersey Resources Corp. 4 134 Nextel Partners, Inc. Class A (AE) 47 275 Northeast Utilities 77 1,149 NSTAR 14 609 Oneok, Inc. 72 1,362 Pinnacle West Capital Corp. 40 1,342 PNM Resources, Inc. 25 564 Puget Energy, Inc. 27 570 Southwest Gas Corp. 10 208 Telephone & Data Systems, Inc. 22 939 Western Gas Resources, Inc. 4 147 WGL Holdings, Inc. 27 720 Wisconsin Energy Corp. 29 761 WPS Resources Corp. 16 645 ------------ 17,642 ------------ TOTAL COMMON STOCKS (cost $616,229) 677,805 ------------ SHORT-TERM INVESTMENTS - 4.2% Frank Russell Investment Company Money Market Fund 26,686 26,686 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 3,000 2,995 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $29,681) 29,681 ------------ TOTAL INVESTMENTS - 100.0% (identified cost $645,910) 707,486 OTHER ASSETS AND LIABILITIES, NET - 0.0% 87 ------------ NET ASSETS - 100.0% 707,573 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Russell 2000 E-Mini Index expiration date 06/03 (10) 399 24 Russell 2000 Index expiration date 06/03 (107) 21,328 2,618 S&P E-Mini Index expiration date 06/03 (12) 550 10 S&P 500 Index expiration date 06/03 (35) 8,016 192 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 2,844 ============
See accompanying notes which are an integral part of the financial statements. 18 Equity II Fund EQUITY III FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 96.7% Auto and Transportation - 2.1% American Axle & Manufacturing Holdings, Inc. (AE) 1 16 Burlington Northern Santa Fe Corp. 10 278 Cooper Tire & Rubber Co. 2 32 Dana Corp. -- 2 Delphi Corp. 6 53 FedEx Corp. 1 77 Ford Motor Co. 15 158 General Motors Corp. 1 23 Harley-Davidson, Inc. 1 49 Paccar, Inc. 1 32 Skywest, Inc. 3 41 Swift Transportation Co., Inc. (AE) -- 6 Tidewater, Inc. 4 118 Union Pacific Corp. 1 74 ------------ 959 ------------ Consumer Discretionary - 10.3% Allied Waste Industries, Inc. (AE) 1 12 AOL Time Warner, Inc. (AE) 9 116 Banta Corp. -- 12 BearingPoint, Inc. (AE) 8 64 Belo Corp. Class A 1 18 Black & Decker Corp. 1 30 Blyth, Inc. 1 20 Carnival Corp. 7 179 Cendant Corp. (AE) 10 137 Clear Channel Communications, Inc. (AE) -- 9 Convergys Corp. (AE) 2 24 Darden Restaurants, Inc. 1 14 Dollar General Corp. 1 16 DoubleClick, Inc. (AE) 1 7 Family Dollar Stores 1 26 Federated Department Stores 6 191 Fisher Scientific International (AE) 1 29 Fox Entertainment Group, Inc. Class A (AE) 1 13 Gemstar-TV Guide International, Inc. (AE) 7 27 Gillette Co. (The) 2 63 Harrah's Entertainment, Inc. (AE) 1 58 Hearst-Argyle Television, Inc. Class C (AE) 1 22 Home Depot, Inc. 18 513 Hughes Electronics Corp. Class H (AE) 7 80 Interpublic Group Cos., Inc. 5 56 JC Penney Co., Inc. Holding Co. 4 68 Jones Apparel Group, Inc. (AE) 1 42
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Kimberly-Clark Corp. 3 144 Knight-Ridder, Inc. 1 54 Liberty Media Corp. Class A (AE) 37 409 Limited Brands 9 131 Liz Claiborne, Inc. -- 5 Mattel, Inc. 4 80 May Department Stores Co. (The) 8 181 McDonald's Corp. 7 115 McGraw-Hill Cos., Inc. (The) 1 85 Media General, Inc. Class A -- 13 Meredith Corp. -- 10 Nordstrom, Inc. 5 92 Office Depot, Inc. (AE) 2 21 Park Place Entertainment Corp. (AE) 3 20 Petsmart, Inc. (AE) 1 8 Pittston Brink's Group -- 3 Ross Stores, Inc. -- 17 Service Corp. International (AE) 15 50 ServiceMaster Co. (The) 4 37 Stanley Works (The) -- 10 Staples, Inc. (AE) 1 15 Talbots, Inc. 1 17 TJX Cos., Inc. 4 78 USA Interactive (AE) 7 216 Valassis Communications, Inc. (AE) -- 11 VF Corp. 1 44 Viacom, Inc. Class B (AE) 5 213 Viad Corp. -- 2 Wallace Computer Services, Inc. -- 10 Walt Disney Co. 15 279 Washington Post Class B -- 29 Waste Management, Inc. 14 302 Whirlpool Corp. -- 5 WPP Group PLC - ADR 6 228 Yum! Brands, Inc. (AE) 1 22 ------------ 4,802 ------------ Consumer Staples - 3.4% Albertson's, Inc. 1 21 Altria Group, Inc. 6 172 Anheuser-Busch Cos., Inc. Class C 1 48 Clorox Co. 1 31 Coca-Cola Enterprises, Inc. -- 5 ConAgra Foods, Inc. 11 238 Constellation Brands, Inc. Class A (AE) 1 15 Del Monte Foods Co. (AE) 12 95 Dial Corp. (The) 3 60 HJ Heinz Co. 6 173 Kellogg Co. 1 26 Kraft Foods, Inc. Class A 5 145 Kroger Co. (AE) 3 38
Equity III Fund 19 EQUITY III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Pepsi Bottling Group, Inc. 1 28 PepsiAmericas, Inc. -- 5 PepsiCo, Inc. 1 42 Procter & Gamble Co. 3 255 Sara Lee Corp. 6 94 Supervalu, Inc. 3 51 Tyson Foods, Inc. Class A 1 7 UST, Inc. -- 14 ------------ 1,563 ------------ Financial Services - 33.0% ACE, Ltd. 10 334 Aflac, Inc. 3 86 Alliance Capital Management, LP 2 57 Allstate Corp. (The) 3 131 AMBAC Financial Group, Inc. -- 6 American Express Co. 1 49 American Financial Group, Inc. -- 3 American International Group 8 478 AmSouth Bancorp 2 35 Annaly Mortgage Management, Inc. (o) -- 8 AON Corp. -- 1 Arden Realty, Inc. (o) 1 22 Astoria Financial Corp. -- 6 Automatic Data Processing 5 158 Bank of America Corp. 16 1,220 Bank of New York Co., Inc. (The) 5 140 Bank One Corp. 10 355 Banknorth Group, Inc. 1 16 CarrAmerica Realty Corp. (o) 2 60 Charter One Financial, Inc. 3 101 Chubb Corp. -- 16 Cigna Corp. 2 95 Citigroup, Inc. 39 1,517 CNA Financial Corp. (AE) -- 10 Comerica, Inc. 3 148 Compass Bancshares, Inc. -- 9 Crescent Real Estate Equities Co. (o) -- 3 Dow Jones & Co., Inc. 3 135 DST Systems, Inc. (AE) -- 10 Duke Realty Corp. (o) 2 59 E*TRADE Group, Inc. (AE) 12 64 Endurance Specialty Holdings, Ltd. (AE) 2 51 Equity Office Properties Trust (o) 2 63 Fannie Mae 3 231 Federated Investors, Inc. Class B 1 41 Fidelity National Financial, Inc. 1 30 First Data Corp. 6 228 FirstMerit Corp. -- 1 FleetBoston Financial Corp. 27 714
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Franklin Resources, Inc. 5 167 Freddie Mac 8 468 Golden West Financial Corp. 1 42 Goldman Sachs Group, Inc. 4 341 Greenpoint Financial Corp. 1 42 H&R Block, Inc. 7 252 Hartford Financial Services Group, Inc. 1 60 Hibernia Corp. Class A 3 51 Highwoods Properties, Inc. (o) 1 28 HSBC Holdings PLC - ADR 4 219 Hudson United Bancorp -- 5 Independence Community Bank -- 2 iStar Financial, Inc. (o) -- 2 John Hancock Financial Services, Inc. 3 77 JP Morgan Chase & Co. 17 502 Keycorp 4 86 Lehman Brothers Holdings, Inc. 5 327 Liberty Property Trust (o) 1 17 Lincoln National Corp. 5 144 Loews Corp. 2 64 Marsh & McLennan Cos., Inc. 9 434 MBNA Corp. 22 416 Mellon Financial Corp. 11 295 Merrill Lynch & Co., Inc. 12 507 Metlife, Inc. 1 27 Morgan Stanley 10 450 National City Corp. 1 30 National Commerce Financial Corp. 1 11 Nationwide Financial Services -- 13 Northern Trust Corp. 4 133 Old Republic International Corp. 2 76 Platinum Underwriters Holdings, Ltd. 6 148 PNC Financial Services Group, Inc. 6 242 Popular, Inc. -- 3 Progressive Corp. (The) -- 18 Protective Life Corp. -- 12 Prudential Financial, Inc. 1 27 Rouse Co. (The) (o) 1 39 Ryder System, Inc. 1 21 Simon Property Group, Inc. (o) 1 46 SouthTrust Corp. 2 53 St Paul Cos 15 525 Sungard Data Systems, Inc. (AE) 1 26 SunTrust Banks, Inc. 2 122 T Rowe Price Group, Inc. 3 98 TCF Financial Corp. 1 51 Travelers Property Casualty Corp. Class A -- 2 Travelers Property Casualty Corp. Class B 9 142 Trizec Properties, Inc. (o) 2 16
20 Equity III Fund EQUITY III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- UnionBanCal Corp. 1 34 UnumProvident Corp. 4 51 US Bancorp 19 412 Vornado Realty Trust (o) -- 4 Wachovia Corp. 11 419 Washington Mutual, Inc. 5 184 Wells Fargo & Co. 13 613 WR Berkley Corp. 2 75 XL Capital, Ltd. Class A -- 9 ------------ 15,371 ------------ Health Care - 7.6% Aetna, Inc. 1 29 Baxter International, Inc. 6 129 Biogen, Inc. (AE) 6 213 Boston Scientific Corp. (AE) 3 110 Bristol-Myers Squibb Co. 8 214 Cardinal Health, Inc. 1 36 CuraGen Corp. (AE) -- 2 DaVita, Inc. (AE) -- 5 Forest Laboratories, Inc. (AE) -- 5 Genentech, Inc. (AE) 1 24 Genzyme Corp. - General Division (AE) 6 246 Guidant Corp. 12 482 HCA, Inc. 5 170 Humana, Inc. (AE) 1 12 King Pharmaceuticals, Inc. (AE) 1 14 McKesson Corp. 1 22 Medimmune, Inc. (AE) -- 3 Merck & Co., Inc. 4 260 Mid Atlantic Medical Services (AE) -- 4 Novartis AG - ADR 5 190 Pfizer, Inc. 9 283 Quintiles Transnational Corp. (AE) -- 3 Renal Care Group, Inc. (AE) -- 2 Schering-Plough Corp. 7 129 Steris Corp. (AE) -- 1 Tenet Healthcare Corp. (AE) 12 179 UnitedHealth Group, Inc. -- 2 WellPoint Health Networks (AE) 4 332 Wyeth 10 424 ------------ 3,525 ------------ Integrated Oils - 6.6% Amerada Hess Corp. 2 89 BP PLC - ADR 7 257 ChevronTexaco Corp. 14 884 ConocoPhillips 10 497
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Exxon Mobil Corp. 27 950 Kerr-McGee Corp. 4 147 Marathon Oil Corp. 5 108 Occidental Petroleum Corp. 4 129 ------------ 3,061 ------------ Materials and Processing - 8.2% Alcoa, Inc. 11 247 Allegheny Technologies, Inc. 1 4 Ashland, Inc. 4 116 Ball Corp. 1 65 Bemis Co. 1 43 Boise Cascade Corp. 5 119 Bowater, Inc. 3 117 Dow Chemical Co. (The) 20 656 Du Pont EI de Nemours & Co. 7 302 Eastman Chemical Co. 2 66 Engelhard Corp. 1 32 Fluor Corp. 1 42 Forest City Enterprises, Inc. Class A -- 4 Glatfelter -- 2 Imperial Chemical Industries PLC - ADR 10 81 International Paper Co. 11 402 Lafarge North America, Inc. 1 43 Louisiana-Pacific Corp. (AE) 1 11 Lubrizol Corp. 1 25 Lyondell Chemical Co. 2 28 MeadWestvaco Corp. 5 121 Monsanto Co. 11 191 Nucor Corp. 2 94 Owens-Illinois, Inc. (AE) -- 4 Pactiv Corp. (AE) 4 73 PPG Industries, Inc. 1 28 Precision Castparts Corp. 1 38 Rayonier, Inc. -- 20 Rohm & Haas Co. 4 132 RPM International, Inc. 1 16 Scotts Co. (The) Class A (AE) 1 32 Sherwin-Williams Co. (The) 3 83 Sonoco Products Co. 1 26 Timken Co. 1 18 Vulcan Materials Co. 3 94 Washington Group International, Inc. 2003 Warrants (AE) -- 2 Weyerhaeuser Co. Series O 8 403 York International Corp. 1 28 ------------ 3,808 ------------
Equity III Fund 21 EQUITY III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Miscellaneous - 3.7% 3M Co. -- 54 Berkshire Hathaway, Inc. Class B (AE) -- 268 Carlisle Cos., Inc. 1 57 Eaton Corp. 1 87 Fortune Brands, Inc. 1 64 General Electric Co. 2 53 Georgia-Pacific Corp. 8 131 Honeywell International, Inc. 14 336 ITT Industries, Inc. 2 94 St Joe Co. (The) 1 15 Textron, Inc. 4 122 Tyco International, Ltd. 30 462 ------------ 1,743 ------------ Other Energy - 2.0% Anadarko Petroleum Corp. 6 282 Apache Corp. -- 10 Baker Hughes, Inc. -- 8 Calpine Corp. (AE) 11 61 Devon Energy Corp. -- -- EL Paso Corp. 9 71 Halliburton Co. 1 18 Peabody Energy Corp. -- 9 Reliant Resources, Inc. (AE) 1 6 Schlumberger, Ltd. 6 242 Transocean, Inc. -- 2 Williams Cos., Inc. 26 181 XTO Energy, Inc. 2 31 ------------ 921 ------------ Producer Durables - 6.4% AGCO Corp. (AE) -- 2 Agilent Technologies, Inc. (AE) 5 72 American Power Conversion (AE) 2 30 Boeing Co. (The) 5 147 Clayton Homes, Inc. 12 150 Cooper Industries, Ltd. Class A 3 93 Cummins, Inc. 3 79 Deere & Co. 6 276 Diebold, Inc. 2 64 Emerson Electric Co. -- 11 Goodrich Corp. 11 153 Hubbell, Inc. Class B -- 5 Ingersoll-Rand Co. Class A 2 97 Koninklijke Philips Electronics NV 6 110 Lexmark International, Inc. (AE) 1 37 Lockheed Martin Corp. 4 220 Molex, Inc. Class A -- 6 Nordson Corp. -- 6 Northrop Grumman Corp. 6 557
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- NVR, Inc. (AE) -- 21 Pall Corp. 4 78 Parker Hannifin Corp. 2 89 Pentair, Inc. 1 37 Rockwell Collins, Inc. 8 171 Tektronix, Inc. (AE) 2 40 United Technologies Corp. 7 454 ------------ 3,005 ------------ Technology - 4.3% 3Com Corp. (AE) 7 37 Acxiom Corp. (AE) -- 6 Adtran, Inc. (AE) -- 1 Agere Systems, Inc. Class A (AE) 46 82 Altera Corp. (AE) 2 29 Amdocs, Ltd. (AE) 5 85 Avnet, Inc. (AE) -- 2 BMC Software, Inc. (AE) 5 74 Cisco Systems, Inc. (AE) 5 72 Computer Associates International, Inc. 9 144 Compuware Corp. (AE) 3 11 Comverse Technology, Inc. (AE) 2 22 EMC Corp. (AE) 12 109 General Dynamics Corp. 2 118 Harris Corp. 2 47 Hewlett-Packard Co. 17 272 Ingram Micro, Inc. Class A (AE) 2 19 Intel Corp. 1 23 International Business Machines Corp. 6 496 Intuit, Inc. (AE) -- 9 Jabil Circuit, Inc. (AE) 1 16 Maxim Integrated Products -- 6 Motorola, Inc. 12 91 Oracle Corp. (AE) -- 4 PanAmSat Corp. (AE) 1 15 PerkinElmer, Inc. 3 30 Raytheon Co. 3 87 Retek, Inc. (AE) 1 4 Rockwell Automation, Inc. -- 2 Scientific-Atlanta, Inc. Class C 1 10 Siebel Systems, Inc. (AE) -- 2 Solectron Corp. (AE) 2 5 Storage Technology Corp. (AE) 2 37 Sun MicroSystems, Inc. (AE) 1 3 Sybase, Inc. (AE) -- 5 Tellabs, Inc. (AE) -- 1 Texas Instruments, Inc. 1 16 Utstarcom, Inc. (AE) -- 4 Vishay Intertechnology, Inc. (AE) -- 2 ------------ 1,998 ------------
22 Equity III Fund EQUITY III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Utilities - 9.1% Allegheny Energy, Inc. 12 98 Alltel Corp. 4 201 American Electric Power Co., Inc. 5 126 Aquila, Inc. 1 2 AT&T Corp. 5 91 AT&T Wireless Services, Inc. (AE) 5 32 BellSouth Corp. 14 362 Centerpoint Energy, Inc. -- 4 Cinergy Corp. -- 2 Comcast Corp. Class A (AE) 14 432 Constellation Energy Group, Inc. 1 29 COX Communications, Inc. Class A (AE) 2 77 Dominion Resources, Inc. 1 72 DPL, Inc. 2 21 DTE Energy Co. 1 21 Duke Energy Corp. 2 39 Edison International (AE) 15 214 Entergy Corp. 3 126 Exelon Corp. 2 125 FirstEnergy Corp. 1 42 FPL Group, Inc. 1 47 KeySpan Corp. 1 29 Nicor, Inc. -- 5 NiSource, Inc. 4 69 NSTAR -- 7 Pepco Holdings, Inc. 5 94 PG&E Corp. (AE) 13 188 Pinnacle West Capital Corp. 3 94 PNM Resources, Inc. 1 13 Progress Energy, Inc. - CVO (AE)(Y) 1 -- Public Service Enterprise Group, Inc. -- 7 Qwest Communications International 1 3 SBC Communications, Inc. 33 762 Sempra Energy 2 57 Southern Co. (The) 2 72 Sprint Corp. - FON Group 8 87 Verizon Communications, Inc. 16 586 Wisconsin Energy Corp. -- 9 ------------ 4,245 ------------ TOTAL COMMON STOCKS (cost $44,914) 45,001 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 3.5% Frank Russell Investment Company Money Market Fund 1,231 1,231 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 400 399 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $1,630) 1,630 ------------ TOTAL INVESTMENTS - 100.2% (identified cost $46,544) 46,631 OTHER ASSETS AND LIABILITIES NET - (0.2%) (88) ------------ NET ASSETS - 100.0% 46,543 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions S&P Barra Value Index expiration date 06/03 (10) 1,102 112 S&P E-Mini Index expiration date 06/03 (6) 275 10 S&P 500 Index expiration date 06/03 (1) 229 14 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 136 ============
See accompanying notes which are an integral part of the financial statements. Equity III Fund 23 EQUITY Q FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 96.3% Auto and Transportation - 1.8% American Axle & Manufacturing Holdings, Inc. (AE) 51 1,273 Autoliv, Inc. 60 1,464 Burlington Northern Santa Fe Corp. 102 2,871 CH Robinson Worldwide, Inc. 14 526 Cooper Tire & Rubber Co. 43 601 CSX Corp. 10 326 Dana Corp. 21 198 Delphi Corp. 208 1,749 FedEx Corp. 63 3,786 General Motors Corp. 19 696 Goodyear Tire & Rubber Co. (The) 151 861 Harley-Davidson, Inc. 82 3,626 JB Hunt Transport Services, Inc. (AE) 18 612 Lear Corp. (AE) 24 938 Norfolk Southern Corp. 16 335 Paccar, Inc. 15 855 Skywest, Inc. 40 510 Swift Transportation Co., Inc. (AE) 5 82 Tidewater, Inc. 2 62 Union Pacific Corp. 9 506 United Parcel Service, Inc. Class B 55 3,404 Visteon Corp. 50 350 Werner Enterprises, Inc. 2 47 ------------ 25,678 ------------ Consumer Discretionary - 15.2% Abercrombie & Fitch Co. Class A (AE) 60 1,979 Activision, Inc. (AE) 91 1,386 AOL Time Warner, Inc. (AE) 165 2,250 Apollo Group, Inc. Class A (AE) 22 1,171 Autonation, Inc. (AE) 18 242 Banta Corp. 11 344 BearingPoint, Inc. (AE) 14 118 Bed Bath & Beyond, Inc. (AE) 2 67 Best Buy Co., Inc. (AE) 20 692 Black & Decker Corp. 4 161 Blyth, Inc. 24 633 Callaway Golf Co. 32 442 Career Education Corp. (AE) 24 1,455 Carnival Corp. 38 1,048 Cendant Corp. (AE) 28 406 Chico's FAS, Inc. (AE) 20 487 Cintas Corp. 7 237 Claire's Stores, Inc. 20 530 Clear Channel Communications, Inc. (AE) 66 2,589 Coach, Inc. (AE) 56 2,437 Columbia Sportswear Co. (AE) 6 298
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Convergys Corp. (AE) 29 478 Darden Restaurants, Inc. 77 1,347 Dillard's, Inc. Class A 27 383 Dollar General Corp. 89 1,290 Eastman Kodak Co. 135 4,050 eBay, Inc. (AE) 22 2,041 Electronic Arts, Inc. (AE) 64 3,764 Expedia, Inc. (AE) 24 1,394 Family Dollar Stores 237 8,087 Federated Department Stores 141 4,309 Fisher Scientific International (AE) 21 601 Fox Entertainment Group, Inc. Class A (AE) 176 4,482 Gannett Co., Inc. 2 167 Gap, Inc. (The) 224 3,720 Gemstar-TV Guide International, Inc. (AE) 79 317 Gillette Co. (The) 143 4,361 Harrah's Entertainment, Inc. (AE) 40 1,591 Hearst-Argyle Television, Inc. Class C (AE) 10 251 Hollywood Entertainment Corp. (AE) 22 392 Home Depot, Inc. 899 25,302 Hughes Electronics Corp. Class H (AE) 143 1,684 Interpublic Group Cos., Inc. 10 113 JC Penney Co., Inc. Holding Co. 160 2,724 Jones Apparel Group, Inc. (AE) 204 5,830 Kimberly-Clark Corp. 66 3,285 Kohl's Corp. (AE) 110 6,242 Landry's Restaurants, Inc. 10 187 Liberty Media Corp. Class A (AE) 318 3,499 Lowe's Cos., Inc. 189 8,307 Manpower, Inc. 31 1,029 Mattel, Inc. 348 7,574 May Department Stores Co. (The) 144 3,114 McDonald's Corp. 141 2,403 McGraw-Hill Cos., Inc. (The) 75 4,382 Media General, Inc. Class A 3 172 MGM Mirage (AE) 18 517 Nike, Inc. Class B 33 1,783 Nordstrom, Inc. 13 217 Office Depot, Inc. (AE) 83 1,050 Pacific Sunwear Of California (AE) 46 1,048 Petsmart, Inc. (AE) 102 1,545 PF Chang's China Bistro, Inc. (AE) 25 1,043 Pier 1 Imports, Inc. 19 343 Pittston Brink's Group 6 74 Quiksilver, Inc. (AE) 15 482 RadioShack Corp. 88 2,086 Rent-A-Center, Inc. Class C (AE) 18 1,175 Ross Stores, Inc. 68 2,583
24 Equity Q Fund EQUITY Q FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- ServiceMaster Co. (The) 77 697 Sonic Corp. (AE) 16 429 Staples, Inc. (AE) 167 3,180 Starwood Hotels & Resorts Worldwide, Inc. 24 647 Take-Two Interactive Software (AE) 37 824 Talbots, Inc. 60 1,713 Target Corp. 69 2,301 TJX Cos., Inc. 64 1,232 Toro Co. 12 463 Toys R US, Inc. (AE) 54 557 Tribune Co. 41 2,008 University of Phoenix Online (AE) 24 1,041 Valassis Communications, Inc. (AE) 2 48 Viacom, Inc. Class B (AE) 569 24,697 Viad Corp. 6 129 Wal-Mart Stores, Inc. 320 18,033 Walt Disney Co. 370 6,895 Washington Post Class B 2 1,424 Waste Connections, Inc. (AE) 17 555 Waste Management, Inc. 54 1,182 Wendy's International, Inc. 9 258 Yum! Brands, Inc. (AE) 57 1,415 ------------ 221,518 ------------ Consumer Staples - 8.2% Albertson's, Inc. 169 3,348 Altria Group, Inc. 405 12,458 Anheuser-Busch Cos., Inc. Class C 48 2,416 Clorox Co. 113 5,096 Coca-Cola Co. (The) 237 9,563 Coca-Cola Enterprises, Inc. 146 2,853 ConAgra Foods, Inc. 488 10,256 Constellation Brands, Inc. Class A (AE) 5 139 Coors (Adolph) Class B 26 1,402 CVS Corp. 144 3,474 Dial Corp. (The) 72 1,506 General Mills, Inc. 46 2,062 HJ Heinz Co. 46 1,383 Kellogg Co. 2 59 Kraft Foods, Inc. Class A 54 1,656 Kroger Co. (AE) 45 642 Pepsi Bottling Group, Inc. 59 1,210 PepsiCo, Inc. 383 16,576 Procter & Gamble Co. 370 33,220 RJ Reynolds Tobacco Holdings, Inc. 66 1,868 Sara Lee Corp. 218 3,665 Supervalu, Inc. 149 2,453 Systemco Corp. 29 827
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Tyson Foods, Inc. Class A 77 742 Walgreen Co. 31 950 ------------ 119,824 ------------ Financial Services - 20.5% ACE, Ltd. 25 814 Affiliated Computer Services, Inc. Class A (AE) 49 2,323 Allmerica Financial Corp. 35 528 Allstate Corp. (The) 44 1,658 AMBAC Financial Group, Inc. 49 2,882 American Express Co. 7 254 American International Group 125 7,240 Annaly Mortgage Management, Inc. (o) 11 207 AON Corp. 79 1,748 Arden Realty, Inc. (o) 3 79 Astoria Financial Corp. 12 298 Bank of America Corp. 357 26,449 Bank One Corp. 36 1,312 Bear Stearns Cos., Inc. (The) 12 829 Boston Properties, Inc. (o) 19 725 Capital One Financial Corp. 137 5,749 CarrAmerica Realty Corp. (o) 15 392 Chelsea Property Group, Inc. (o) 12 480 Cigna Corp. 81 4,217 Cincinnati Financial Corp. 8 298 CIT Group, Inc. 72 1,467 Citigroup, Inc. 809 31,768 Commerce Bancorp, Inc. 51 2,074 Compass Bancshares, Inc. 2 67 Concord EFS, Inc. (AE) 18 252 Countrywide Financial Corp. 140 9,484 Developers Diversified Realty Corp. (o) 10 260 DST Systems, Inc. (AE) 3 100 E*TRADE Group, Inc. (AE) 118 650 Everest Re Group, Ltd. 8 551 Fannie Mae 250 18,118 Federated Investors, Inc. Class B 52 1,419 Fidelity National Financial, Inc. 107 3,678 First American Corp. 14 360 First Data Corp. 137 5,390 First Tennessee National Corp. 69 3,035 FirstMerit Corp. 6 119 Fiserv, Inc. (AE) 47 1,381 FleetBoston Financial Corp. 256 6,786 Franklin Resources, Inc. 4 150 Freddie Mac 187 10,800 Golden West Financial Corp. 2 121 Goldman Sachs Group, Inc. 49 3,719 Greater Bay Bancorp 20 312 Greenpoint Financial Corp. 37 1,745
Equity Q Fund 25 EQUITY Q FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- H&R Block, Inc. 63 2,423 Hartford Financial Services Group, Inc. 107 4,345 Hibernia Corp. Class A 25 449 Highwoods Properties, Inc. (o) 5 101 HRPT Properties Trust (o) 11 101 John Hancock Financial Services, Inc. 104 3,025 JP Morgan Chase & Co. 355 10,418 Keycorp 64 1,541 LaBranche & Co., Inc. 34 555 Landamerica Financial Group, Inc. 6 259 Liberty Property Trust (o) 1 33 Loews Corp. 32 1,309 Marsh & McLennan Cos., Inc. 44 2,105 Marshall & Ilsley Corp. 24 697 MBIA, Inc. 40 1,784 MBNA Corp. 46 865 Mellon Financial Corp. 59 1,550 Merrill Lynch & Co., Inc. 86 3,538 Metlife, Inc. 103 2,946 Mills Corp. (The) (o) 1 38 Morgan Stanley 462 20,654 National City Corp. 40 1,192 National Commerce Financial Corp. 52 1,052 New York Community Bancorp, Inc. 37 1,295 North Fork BanCorp., Inc. 3 104 Nuveen Investments, Inc. Class A 5 132 Old Republic International Corp. 45 1,363 PNC Financial Services Group, Inc. 22 971 Post Properties, Inc. (o) 14 355 Progressive Corp. (The) 26 1,741 Protective Life Corp. 35 1,000 Rouse Co. (The) (o) 11 396 Ryder System, Inc. 1 35 SouthTrust Corp. 118 3,169 Sovereign Bancorp, Inc. 90 1,395 Sungard Data Systems, Inc. (AE) 216 4,642 SunTrust Banks, Inc. 22 1,230 Synovus Financial Corp. 67 1,297 Torchmark Corp. 24 926 Travelers Property Casualty Corp. Class A 170 2,756 Travelers Property Casualty Corp. Class B 41 671 UnumProvident Corp. 74 853 US Bancorp 639 14,149 Wachovia Corp. 243 9,272 Washington Mutual, Inc. 327 12,900 Wells Fargo & Co. 260 12,555 WR Berkley Corp. 51 2,351 ------------ 298,826 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Health Care - 14.9% Abbott Laboratories 90 3,636 Aetna, Inc. 29 1,424 AmerisourceBergen Corp. 36 2,076 Amgen, Inc. (AE) 176 10,781 Anthem, Inc. (AE) 59 4,057 Baxter International, Inc. 14 331 Becton Dickinson & Co. 40 1,421 Biogen, Inc. (AE) 19 714 Boston Scientific Corp. (AE) 63 2,712 Bristol-Myers Squibb Co. 286 7,297 Cardinal Health, Inc. 235 12,993 Caremark Rx, Inc. (AE) 11 228 Cephalon, Inc. (AE) 22 907 Chiron Corp. (AE) 28 1,131 Community Health Systems, Inc. (AE) 2 34 Coventry Health Care, Inc. (AE) 4 171 DaVita, Inc. (AE) 21 426 Eli Lilly & Co. 30 1,921 First Health Group Corp. (AE) 10 258 Forest Laboratories, Inc. (AE) 82 4,227 Genentech, Inc. (AE) 36 1,354 Gilead Sciences, Inc. (AE) 64 2,975 Guidant Corp. 325 12,690 HCA, Inc. 15 465 Health Management Associates, Inc. Class A 42 718 Healthsouth Corp. (AE) 14 2 Humana, Inc. (AE) 34 375 ICN Pharmaceuticals, Inc. 26 228 Johnson & Johnson 222 12,486 King Pharmaceuticals, Inc. (AE) 37 463 McKesson Corp. 88 2,451 Medimmune, Inc. (AE) 44 1,546 Medtronic, Inc. 63 3,017 Merck & Co., Inc. 489 28,442 Mid Atlantic Medical Services (AE) 23 989 Mylan Laboratories 27 758 Odyssey HealthCare, Inc. (AE) 8 196 Omnicare, Inc. 1 34 Oxford Health Plans (AE) 18 539 Perrigo Co. 13 195 Pfizer, Inc. 1,372 42,187 Pharmaceutical Product Development, Inc. (AE) 17 444 Quest Diagnostics (AE) 1 36 Quintiles Transnational Corp. (AE) 6 85 Renal Care Group, Inc. (AE) 11 366 Schering-Plough Corp. 124 2,239 SICOR, Inc. (AE) 7 117 St Jude Medical, Inc. (AE) 139 7,296
26 Equity Q Fund EQUITY Q FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Stericycle, Inc. (AE) 10 393 Steris Corp. (AE) 96 2,179 Stryker Corp. 17 1,106 Tenet Healthcare Corp. (AE) 63 934 Triad Hospitals, Inc. (AE) 9 202 UnitedHealth Group, Inc. 92 8,464 Universal Health Services, Inc. Class B (AE) 5 209 WebMD Corp. (AE) 163 1,567 WellPoint Health Networks (AE) 46 3,522 Wyeth 395 17,199 Zimmer Holdings, Inc. (AE) 49 2,317 ------------ 217,530 ------------ Integrated Oils - 4.8% Amerada Hess Corp. 52 2,349 ChevronTexaco Corp. 85 5,333 ConocoPhillips 137 6,866 Exxon Mobil Corp. 961 33,840 Marathon Oil Corp. 457 10,411 Occidental Petroleum Corp. 380 11,332 Unocal Corp. 9 258 ------------ 70,389 ------------ Materials and Processing - 2.5% Air Products & Chemicals, Inc. 37 1,611 Albany International Corp. Class A 8 183 Alcoa, Inc. 106 2,431 Aptargroup, Inc. 5 162 Archer-Daniels-Midland Co. 147 1,632 Ashland, Inc. 20 590 Ball Corp. 49 2,761 Bowater, Inc. 16 615 Dow Chemical Co. (The) 20 636 Du Pont EI de Nemours & Co. 17 727 Eastman Chemical Co. 25 766 Ecolab, Inc. 38 1,962 Energizer Holdings, Inc. (AE) 33 937 Fluor Corp. 1 37 Freeport-McMoRan Copper & Gold, Inc. Class B 49 850 Lafarge North America, Inc. 12 371 Masco Corp. 48 1,016 MeadWestvaco Corp. 20 474 Monsanto Co. 259 4,514 Pactiv Corp. (AE) 204 4,190 PPG Industries, Inc. 10 471 Praxair, Inc. 14 831 Precision Castparts Corp. 50 1,379 Rohm & Haas Co. 27 897 Scotts Co. (The) Class A (AE) 5 283
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Sealed Air Corp. (AE) 21 908 Sherwin-Williams Co. (The) 151 4,220 Sigma-Aldrich Corp. 1 64 Smurfit-Stone Container Corp. (AE) 7 101 Temple-Inland, Inc. 13 589 United States Steel Corp. 28 397 York International Corp. 16 371 ------------ 36,976 ------------ Miscellaneous - 5.6% 3M Co. 30 3,763 Brunswick Corp. 28 616 Carlisle Cos., Inc. 15 666 Eaton Corp. 4 319 Fortune Brands, Inc. 111 5,363 General Electric Co. 2,079 61,222 Georgia-Pacific Corp. 17 268 Honeywell International, Inc. 62 1,461 ITT Industries, Inc. 58 3,391 Johnson Controls, Inc. 7 559 SPX Corp. (AE) 3 98 St Joe Co. (The) 7 190 Textron, Inc. 23 672 Tyco International, Ltd. 224 3,494 ------------ 82,082 ------------ Other Energy - 1.2% Anadarko Petroleum Corp. 158 6,993 Baker Hughes, Inc. 85 2,370 Cooper Cameron Corp. (AE) 35 1,675 Devon Energy Corp. 13 605 Diamond Offshore Drilling 6 119 Dynegy, Inc. Class A 99 437 EL Paso Corp. 42 311 Halliburton Co. 143 3,058 Patina Oil & Gas Corp. 11 367 Pogo Producing Co. 8 325 Reliant Resources, Inc. (AE) 53 298 Rowan Cos., Inc. 47 961 Transocean, Inc. 27 509 Valero Energy Corp. 6 228 ------------ 18,256 ------------ Producer Durables - 2.4% Applied Materials, Inc. (AE) 76 1,108 Boeing Co. (The) 257 7,014 Cooper Industries, Ltd. Class A 4 134 Danaher Corp. 4 304 Deere & Co. 2 79 DR Horton, Inc. 135 3,210 Engineered Support Systems, Inc. 6 194
Equity Q Fund 27 EQUITY Q FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Goodrich Corp. 68 954 Hovnanian Enterprises, Inc. Class A (AE) 26 1,039 Ingersoll-Rand Co. Class A 30 1,331 Lexmark International, Inc. (AE) 104 7,767 Lockheed Martin Corp. 41 2,057 Northrop Grumman Corp. 15 1,354 NVR, Inc. (AE) 7 2,529 Pentair, Inc. 8 325 Pitney Bowes, Inc. 9 309 Rockwell Collins, Inc. 5 102 Steelcase, Inc. Class A 9 85 Tektronix, Inc. (AE) 6 121 Teradyne, Inc. (AE) 1 6 Toll Brothers, Inc. (AE) 42 974 United Technologies Corp. 53 3,270 WW Grainger, Inc. 1 65 Xerox Corp. (AE) 141 1,393 ------------ 35,724 ------------ Technology - 12.9% 3Com Corp. (AE) 60 311 Acxiom Corp. (AE) 67 936 ADC Telecommunications, Inc. (AE) 177 422 Advanced Micro Devices, Inc. (AE) 145 1,079 Altera Corp. (AE) 258 4,073 Amkor Technology, Inc. (AE) 48 366 Analog Devices, Inc. (AE) 26 848 Applera Corp. - Applied BioSystems Group Class P 93 1,622 Applied Micro Circuits Corp. (AE) 65 289 BMC Software, Inc. (AE) 223 3,332 Broadcom Corp. Class A (AE) 57 1,014 Cisco Systems, Inc. (AE) 905 13,614 Computer Associates International, Inc. 62 1,000 Computer Sciences Corp. (AE) 49 1,601 Compuware Corp. (AE) 139 608 Comverse Technology, Inc. (AE) 37 481 Conexant Systems, Inc. (AE) 62 112 Dell Computer Corp. (AE) 123 3,544 EMC Corp. (AE) 1,059 9,629 Gateway, Inc. (AE) 35 102 Harris Corp. 60 1,727 Hewlett-Packard Co. 566 9,232 Ingram Micro, Inc. Class A (AE) 161 1,606 Intel Corp. 1,227 22,580 International Business Machines Corp. 162 13,765 Intersil Corp. Class A (AE) 16 292 Intuit, Inc. (AE) 73 2,829 Jabil Circuit, Inc. (AE) 66 1,236 Juniper Networks, Inc. (AE) 42 427
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- L-3 Communications Holdings, Inc. (AE) 73 3,232 Lucent Technologies, Inc. (AE) 910 1,638 Maxim Integrated Products 48 1,877 Micron Technology, Inc. (AE) 84 717 Microsoft Corp. 1,735 44,363 Motorola, Inc. 148 1,169 NCR Corp. (AE) 26 576 Oracle Corp. (AE) 608 7,224 QLogic Corp. (AE) 10 422 Qualcomm, Inc. 303 9,663 Raytheon Co. 28 838 Rockwell Automation, Inc. 51 1,165 Siebel Systems, Inc. (AE) 74 645 Storage Technology Corp. (AE) 162 4,013 Sybase, Inc. (AE) 37 469 SYKES Enterprises, Inc. (AE) 10 47 Symantec Corp. (AE) 41 1,815 Texas Instruments, Inc. 399 7,372 UniSystem Corp. (AE) 34 354 Utstarcom, Inc. (AE) 34 729 VeriSign, Inc. (AE) 43 533 Xilinx, Inc. (AE) 26 712 ------------ 188,250 ------------ Utilities - 6.3% Alltel Corp. 74 3,452 American Electric Power Co., Inc. 47 1,232 AT&T Corp. 193 3,288 AT&T Wireless Services, Inc. (AE) 149 961 BellSouth Corp. 74 1,879 Centerpoint Energy, Inc. 129 1,019 Comcast Corp. Class A (AE) 73 2,194 Comcast Corp. Class A (AE) 53 1,688 Constellation Energy Group, Inc. 3 85 COX Communications, Inc. Class A (AE) 102 3,360 Dominion Resources, Inc. 1 41 DTE Energy Co. 31 1,254 Duke Energy Corp. 131 2,308 Edison International (AE) 107 1,566 Entergy Corp. 85 3,958 Exelon Corp. 56 2,947 FirstEnergy Corp. 10 324 Great Plains Energy, Inc. 9 238 Kinder Morgan, Inc. 9 434 National Fuel Gas Co. 8 181 Nextel Communications, Inc. Class A (AE) 333 4,928 Nicor, Inc. 2 52 NiSource, Inc. 67 1,263
28 Equity Q Fund EQUITY Q FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Northeast Utilities 19 285 Pepco Holdings, Inc. 54 919 PG&E Corp. (AE) 140 2,103 Pinnacle West Capital Corp. 82 2,737 Progress Energy, Inc. 7 292 Qwest Communications International 49 183 SBC Communications, Inc. 400 9,334 Sempra Energy 41 1,111 Sprint Corp. - FON Group 622 7,163 Sprint Corp. - PCS Group (AE) 40 139 TECO Energy, Inc. 11 113 TXU Corp. 26 524 Verizon Communications, Inc. 697 26,059 Xcel Energy, Inc. 137 1,858 ------------ 91,472 ------------ TOTAL COMMON STOCKS (cost $1,340,604) 1,406,525 ------------ SHORT-TERM INVESTMENTS - 1.5% Frank Russell Investment Company Money Market Fund 17,498 17,498 United States Treasury Bill 1.060% due 06/19/03 (c)(y) 999 999 1.130% due 06/19/03 (c)(y)(s) 2,995 2,995 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $21,492) 21,492 ------------ TOTAL INVESTMENTS - 97.8% (identified cost $1,362,096) 1,428,017 OTHER ASSETS AND LIABILITIES NET - 2.2% 32,341 ------------ NET ASSETS - 100.0% 1,460,358 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Russell 1000 Index expiration date 06/03 (108) 10,296 635 S&P E-Mini Index expiration date 06/03 (46) 2,107 11 S&P Midcap 400 Index expiration date 06/03 (78) 17,111 550 S&P 500 Index expiration date 06/03 (102) 23,361 425 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 1,621 ============
See accompanying notes which are an integral part of the financial statements. Equity Q Fund 29 INTERNATIONAL FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 91.2% Australia - 4.6% Alumina, Ltd. 59 161 Amcor, Ltd. 689 3,582 AMP Diversified Property Trust 14 25 AMP, Ltd. 14 78 Ansell, Ltd. 1 4 Australia & New Zealand Banking Group, Ltd. 433 5,055 Australian Gas Light Co., Ltd. 50 360 Australian Stock Exchange, Ltd. 19 140 BHP Billiton, Ltd. 992 5,610 BHP Steel, Ltd. 14 30 Billabong International, Ltd. 26 92 Boral, Ltd. 31 91 Brambles Industries, Ltd. 19 60 CFS Gandel Retail Trust 94 82 Coca-Cola Amatil, Ltd. 87 309 Coles Myer, Ltd. 341 1,466 Commonwealth Bank of Australia 23 383 Commonwealth Property Office Fund 73 54 CSR, Ltd. 303 337 David Jones, Ltd. 43 28 Deutsche Office Trust 50 35 Foster's Group, Ltd. 1,265 3,545 Futuris Corp., Ltd. 6 6 General Property Trust 51 95 Harvey Norman Holdings, Ltd. 65 92 Iluka Resources, Ltd. 17 42 Insurance Australia Group, Ltd. 22 43 James Hardie Industries NV 1 5 Leighton Holdings, Ltd. 33 203 Lend Lease Corp., Ltd. 7 44 Macquarie Bank, Ltd. 32 508 Macquarie Infrastructure Group 27 55 MIM Holdings, Ltd. 36 38 National Australia Bank, Ltd. 214 4,346 Newcrest Mining, Ltd. 4 15 News Corp., Ltd. 790 5,622 OneSteel, Ltd. 52 56 Orica, Ltd. 172 1,064 Origin Energy, Ltd. 22 63 PaperlinX, Ltd. 18 59 Publishing & Broadcasting, Ltd. 17 94 Qantas Airways, Ltd. 120 238 QBE Insurance Group, Ltd. 246 1,316 Rinker Group, Ltd. (AE) 303 921 Rio Tinto, Ltd. 10 206 Santos, Ltd. 437 1,586 Sons of Gwalia, Ltd. 20 23 Stockland Trust Group 20 63 Suncorp-Metway, Ltd. 5 36 TABCORP Holdings, Ltd. 7 44
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Telstra Corp., Ltd. 734 1,934 Wesfarmers, Ltd. 5 71 Westfield Holdings, Ltd. 14 130 Westfield Trust 37 79 Westpac Banking Corp. 171 1,703 WMC Resources, Ltd. (AE) 72 180 Woodside Petroleum, Ltd. 6 44 Woolworths, Ltd. 117 944 ------------ 43,495 ------------ Austria - 0.1% Erste Bank der Oesterreichischen Sparkassen AG 3 237 OMV AG 3 348 Telekom Austria AG (AE) 35 359 ------------ 944 ------------ Belgium - 1.0% AGFA-Gevaert NV 19 370 Delhaize Group 17 355 Dexia (AE) 108 1 Dexia 207 2,372 Electrabel 5 1,280 Fortis 14 233 Fortis 238 3,955 KBC Bancassurance Holding 18 619 Solvay SA 7 468 ------------ 9,653 ------------ Bermuda - 0.0% RenaissanceRe Holdings, Ltd. 10 452 ------------ Brazil - 0.1% Cia Vale do Rio Doce - ADR 9 238 Petroleo Brasileiro SA - Petrobras Class R - ADR 45 836 ------------ 1,074 ------------ Canada - 1.5% Abitibi-Consolidated, Inc. 30 209 Bank of Montreal 20 548 Bank of Nova Scotia 86 3,345 BCE, Inc. 37 735 Bombardier, Inc. Class B 68 164 Canadian Natural Resources, Ltd. 7 237 Cognos, Inc. (AE) 11 290 Great-West Lifeco, Inc. 4 114 Magna International, Inc. Class A 15 881 Molson, Inc. Class A (AE) 38 870 Nortel Networks Corp. (AE) 553 1,427 Petro-Canada 11 369 Placer Dome, Inc. 15 154
30 International Fund INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Royal Bank of Canada 47 1,963 Suncor Energy, Inc. 16 258 Talisman Energy, Inc. 34 1,352 TELUS Corp. (Non-voting shares) 29 383 Thomson Corp. (The) (AE) 36 1,049 ------------ 14,348 ------------ China - 0.2% China Petroleum & Chemical Corp. Class H 1,350 267 Huaneng Power International, Inc. Class H 628 596 PetroChina Co., Ltd. Class H 2,090 477 Sinotrans, Ltd. Class H (AE) 798 197 ------------ 1,537 ------------ Denmark - 0.6% Coloplast A/S Class B -- 15 D/S Svendborg Class B -- 669 Danske Bank A/S 73 1,409 FLS Industries A/S Class B 4 31 ISS A/S 23 843 Novo-Nordisk A/S Class B 46 1,665 Novozymes A/S 20 491 TDC A/S 31 776 ------------ 5,899 ------------ Estonia - 0.0% Hansabank, Ltd. 19 352 ------------ Finland - 1.5% Fortum Oyj 109 783 Nokia OYJ 433 7,321 Nokia OYJ - ADR 66 1,096 Sampo Oyj Class A 292 2,120 Stora Enso Oyj Class R 58 630 Stora Enso Oyj Class R 56 612 UPM-Kymmene Oyj 132 1,934 ------------ 14,496 ------------ France - 9.5% Accor SA 56 1,844 Air France 68 757 Air Liquide 5 743 Alcatel SA 202 1,652 Altran Technologies SA 38 139 Aventis SA 114 5,808 AXA 297 4,506 BNP Paribas 154 7,215 Bouygues 41 1,003 Business Objects SA - ADR (AE) 17 369 Cap Gemini SA 57 1,768 Carrefour SA 75 3,269
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Casino Guichard Perrachon SA 3 170 Christian Dior SA 15 531 Cie de Saint-Gobain 147 5,077 Cie Generale D'Optique Essilor International SA 23 944 CNP Assurances 13 519 France Telecom (AE) 10 235 France Telecom 66 1,532 Groupe Danone 14 1,967 L'Oreal SA 39 2,758 Lafarge SA 3 172 Lagardere S.C.A. 2 73 Michelin (C.G.D.E.) Class B 34 1,276 Orange SA (AE) 145 1,162 Orange SA (AE) 38 1,789 Pechiney SA Class A 54 1,571 Pernod-Ricard 6 493 Peugeot SA 42 1,970 Pinault-Printemps-Redoute 17 1,155 Renault SA 16 692 Sanofi-Synthelabo SA 46 2,747 Schneider Electric SA 33 1,549 Societe Assurances Generales de France 86 2,847 Societe Generale Class A 108 6,626 Societe Television Francaise 1 61 1,706 Suez SA 59 965 Technip-Coflexip SA 7 582 Thomson/ex-TMM 104 1,527 Total Fina Elf SA 91 11,871 Total Fina Elf SA - ADR 31 2,045 Valeo SA 20 571 Vivendi Universal SA 192 3,136 Wanadoo (AE) 162 1,105 ------------ 90,436 ------------ Germany - 4.4% Adidas-Salomon AG 7 585 Aixtron AG 6 19 Allianz AG 8 580 Altana AG 12 571 AMB Generali Holding AG 9 529 BASF AG 24 1,084 Bayer AG 106 1,930 Bayerische Hypo-und Vereinsbank AG 95 1,260 Bayerische Motoren Werke AG 8 280 Beiersdorf AG 2 273 Continental AG 3 45 DaimlerChrysler AG 23 735 Deutsche Bank AG 21 1,091 Deutsche Lufthansa AG 82 859 Deutsche Post AG 159 1,897
International Fund 31 INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Deutsche Telekom AG 120 1,600 E.ON AG 83 3,981 Epcos AG (AE) 2 23 Gehe AG 5 214 Hannover Rueckversicherungs AG 38 1,000 HeidelbergCement AG 26 802 KarstadtQuelle AG 89 1,499 LIndustriese AG 3 102 Medion AG 15 553 Merck KGaA 24 645 Metro AG 63 1,758 Muenchener Rueckversicherungs AG 28 2,780 Puma AG Rudolf Dassler Sport 12 1,133 RWE AG 99 2,655 SAP AG 5 543 SAP AG - ADR 1 28 Schering AG 19 851 Siemens AG 61 3,043 Singulus Technologies AG 29 505 T-Online International AG (AE) 41 321 TUI AG 6 86 Volkswagen AG 168 5,921 ------------ 41,781 ------------ Greece - 0.2% Hellenic Telecommunications Organization SA 141 1,509 Hellenic Telecommunications Organization SA - ADR 30 157 ------------ 1,666 ------------ Hong Kong - 1.8% Bank of East Asia 496 916 BOC Hong Kong Holdings, Ltd. 42 41 Cathay Pacific Airways, Ltd. 40 48 Cheung Kong Holdings, Ltd. 178 985 Cheung Kong Infrastructure Holdings, Ltd. 27 51 China Mobile, Ltd. 483 970 CLP Holdings, Ltd. 47 190 CNOOC, Ltd. 1,234 1,622 Cosco Pacific, Ltd. 304 257 Esprit Holdings, Ltd. 31 61 Giordano International, Ltd. 24 6 Hang Lung Properties, Ltd. 112 97 Hang Seng Bank, Ltd. 55 540 Henderson Land Development 8 20 Hong Kong & China Gas 227 268 HongKong Electric Holdings 430 1,735 Hongkong Land Holdings, Ltd. 149 167 Hutchison Whampoa, Ltd. 264 1,469 Hysan Development Co., Ltd. 4 3 Jardine Matheson Holdings, Ltd. 227 1,284
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- JCG Holdings, Ltd. 49 23 Johnson Electric Holdings, Ltd. 472 508 Li & Fung, Ltd. 477 535 MTR Corp. 777 842 New World Development, Ltd. 67 20 Shangri-La Asia, Ltd. 299 188 Sun Hung Kai Properties, Ltd. 342 1,605 Swire Pacific, Ltd. Class 350 1,384 Wharf Holdings, Ltd. 929 1,637 ------------ 17,472 ------------ Hungary - 0.2% Gedeon Richter Rt 9 632 OTP Bank Rt 76 818 ------------ 1,450 ------------ Indonesia - 0.0% Telekomunikasi Industriesonesia Tbk PT 732 346 ------------ Ireland - 0.8% Allied Irish Banks PLC 117 1,803 Bank of Ireland 1 18 Bank of Ireland 404 4,978 CRH PLC 1 19 CRH PLC 74 1,132 ------------ 7,950 ------------ Israel - 0.2% Check Point Software Technologies (AE) 44 691 Teva Pharmaceutical Industries - ADR 17 785 ------------ 1,476 ------------ Italy - 4.1% Arnoldo Mondadori Editore SpA 10 67 Assicurazioni Generali SpA 9 200 Autostrade Concessioni e Costruzioni Autostrade SpA 63 817 Banca Intesa SpA (AE) 2,792 7,228 Banca Popolare di Bergamo Credito Varesino Scrl 59 1,186 Banca Popolare di Milano SCRL 50 208 Banco Popolare di Verona e Novara Scrl 87 1,181 Benetton Group SpA 23 199 Enel SpA 61 367 ENI-Ente Nazionale Idrocarburi SpA 650 9,261 Fiat SpA 6 46 Finmeccanica SpA 2,581 1,532 Italcementi SpA 31 325 Luxottica Group SpA 1 6 Mediaset SpA 609 5,203
32 International Fund INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Parmalat Finanziaria SpA 90 231 Riunione Adriatica di Sicurta SpA 60 866 Saipem SpA 95 662 Sanpaolo IMI SpA 172 1,416 Telecom Italia SpA (AE) 224 1,827 Telecom Italia SpA 430 2,117 TIM SpA 780 3,672 UniCredito Italiano SpA 74 322 ------------ 38,939 ------------ Japan - 16.4% 77 Bank, Ltd. (The) 245 1,039 Acom Co., Ltd. 9 252 Advantest Corp. 8 272 Aeon Co., Ltd. 40 902 Aiful Corp. 35 1,316 Ajinomoto Co., Inc. 63 639 Alps Electric Co., Ltd. 15 162 Amano Corp. 7 34 Aoyama Trading Co., Ltd. 8 104 Asahi Optical Co. 126 503 Autobacs Seven Co., Ltd. 4 74 Bank of Yokohama, Ltd. (The) 62 219 Bridgestone Corp. 219 2,485 Brother Industries, Ltd. 12 81 Canon, Inc. 438 17,705 Central Glass Co., Ltd. 22 112 Central Japan Railway Co. -- 156 Chubu Electric Power Co., Inc. 24 485 Chugai Pharmaceutical Co., Ltd. 46 484 Citizen Watch Co., Ltd. 73 385 Credit Saison Co., Ltd. 123 2,321 Dai Nippon Printing Co., Ltd. 78 757 Daicel Chemical Industries, Ltd. 1 3 Daiichi Pharmaceutical Co., Ltd. 39 494 Daikin Industries, Ltd. 16 266 Daimaru, Inc. 29 104 Dainippon Ink and Chemicals, Inc. 33 51 Dainippon Screen Manufacturing Co., Ltd. 12 42 Daito Trust Construction Co., Ltd. 17 324 Daiwa House Industry Co., Ltd. 182 1,099 Daiwa Securities Group, Inc. 116 456 Denki Kagaku Kogyo K K 72 160 Denso Corp. 12 170 Dowa Mining Co. 41 136 East Japan Railway Co. 1 2,848 Eisai Co., Ltd. 158 2,782 FamilyMart Co., Ltd. 5 92 Fast Retailing Co., Ltd. 13 370 Fuji Electric Co., Ltd. 97 166 Fuji Heavy Industries, Ltd. 209 749 Fuji Machine Manufacturing Co., Ltd. 54 361 Fuji Photo Film Co., Ltd. 27 688
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Fuji Soft ABC, Inc. 1 7 Fujikura, Ltd. 25 56 Fujitsu Support and Service, Inc. 2 24 Fujitsu, Ltd. 4 11 Funai Electric Co., Ltd. 1 91 Futaba Corp. 22 428 Gunze, Ltd. 23 87 Hankyu Department Stores 3 16 Heiwa Corp. 11 164 Hino Motors, Ltd. 24 114 Hirose Electric Co., Ltd. 4 265 Hitachi Chemical Co., Ltd. 16 147 Hitachi Maxell, Ltd. 28 428 Hitachi Zosen Corp. (AE) 44 28 Hitachi, Ltd. 519 1,732 Honda Motor Co., Ltd. 169 5,584 Hoya Corp. 16 916 Ibiden Co., Ltd. 8 72 Ito-Yokado Co., Ltd. 41 964 Itochu Corp. 71 149 Itochu Techno-Science Corp. 3 50 Jafco Co., Ltd. 3 119 Japan Real Estate Investment Corp. (o) -- 118 Japan Retail Fund Investment (o) -- 19 Japan Telecom Holdings Co., Ltd. -- 178 Japan Tobacco, Inc. -- 181 JFE Holdings, Inc. 103 1,239 JGC Corp. 31 218 JSR Corp. 15 156 Kansai Electric Power Co., Inc. (The) 40 664 Kao Corp. 113 2,061 Kawasaki Heavy Industries, Ltd. 59 48 Kawasaki Kisen Kaisha, Ltd. 97 222 KDDI Corp. -- 328 Keyence Corp. 4 710 Kirin Brewery Co., Ltd. 60 463 Kobayashi Pharmaceutical Co., Ltd. 3 107 Komatsu, Ltd. 61 233 Konami Corp. 63 827 Konica Corp. 149 1,358 Kose Corp. 10 320 Koyo Seiko Co., Ltd. 27 156 Kubota Corp. 9 21 Kyocera Corp. 10 464 Kyushu Electric Power Co., Inc. 6 89 Lawson, Inc. 37 1,120 Mabuchi Motor Co., Ltd. 23 1,711 Makita Corp. 19 143 Marubeni Corp. 79 75 Matsumotokiyoshi Co., Ltd. 36 1,604 Matsushita Electric Industrial Co., Ltd. 415 3,306 Meitec Corp. 3 71 Millea Holdings, Inc. -- 999
International Fund 33 INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Minebea Co., Ltd. 316 938 Minolta Co., Ltd. 59 327 Mitsubishi Corp. 27 159 Mitsubishi Electric Corp. 225 583 Mitsubishi Estate Co., Ltd. 103 603 Mitsubishi Heavy Industries, Ltd. 286 636 Mitsubishi Motors Corp. (AE) 106 226 Mitsubishi Securities Co., Ltd. 35 154 Mitsubishi Tokyo Financial Group, Inc. -- 498 Mitsui & Co., Ltd. 114 540 Mitsui Chemicals, Inc. 31 126 Mitsui Engineering & Shipbuilding 104 108 Mitsui Fudosan Co., Ltd. 71 382 Mitsui OSK Lines, Ltd. 630 1,648 Mitsui Sumitomo Insurance Co., Ltd. 79 371 Mitsui Trust Holdings, Inc. 54 103 Mitsumi Electric Co., Ltd. 5 36 Mizuho Financial Group, Inc. (AE) -- 133 Murata Manufacturing Co., Ltd. 82 2,936 Namco, Ltd. 5 66 NEC Corp. 95 297 Nichicon Corp. 19 190 Nichii Gakkan Co. 2 76 Nichirei Corp. 115 352 Nidec Corp. 2 116 Nikko Cordial Corp. 195 523 Nikon Corp. (AE) 12 80 Nintendo Co., Ltd. 3 258 Nippon Building Fund, Inc. (o) -- 145 Nippon Express Co., Ltd. 515 1,922 Nippon Meat Packers, Inc. 124 1,114 Nippon Oil Corp. 33 131 Nippon Sanso Corp. 29 81 Nippon Sheet Glass Co., Ltd. 81 166 Nippon Shokubai Kagaku Kogyo Co. 14 72 Nippon Steel Corp. 9 10 Nippon System Development Co., Ltd. 1 13 Nippon Telegraph & Telephone Corp. -- 1,738 Nippon Yusen Kabushiki Kaisha 215 727 Nishimatsu Construction Co., Ltd. 13 37 Nishimatsuya Chain Co., Ltd. 4 88 Nissan Motor Co., Ltd. 1,062 8,148 Nisshin Seifun Group, Inc. 2 14 Nitto Denko Corp. 19 541 NOK Corp. 46 638 Nomura Holdings, Inc. 128 1,268 NTN Corp. 49 187 NTT DoCoMo, Inc. 2 3,777 Olympus Optical Co., Ltd. 82 1,420 Omron Corp. 1 16 Ono Pharmaceutical Co., Ltd. 2 60 Onward Kashiyama Co., Ltd. 1 7 ORIX Corp. 39 1,787 Pioneer Corp. 59 1,184
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Promise Co., Ltd. 25 808 Resona Holdings, Inc. 59 28 Ricoh Co., Ltd. 132 2,024 Rinnai Corp. 73 1,591 Rohm Co., Ltd. 24 2,440 Sammy Corp. 5 94 Sanken Electric Co., Ltd. 15 131 Sankyo Co., Ltd. 56 809 Sankyo Co., Ltd./Gunma 5 92 Seino Transportation Co., Ltd. 28 165 Sekisui House, Ltd. 109 803 Seven-Eleven Japan Co., Ltd. 3 71 SFCG Co., Ltd. 9 654 Sharp Corp. 85 891 Shimachu Co., Ltd. 23 383 Shimamura Co. 3 144 Shin-Etsu Chemical Co., Ltd. Class D 120 3,589 Shiseido Co., Ltd. 10 91 Showa Shell Sekiyu KK 17 109 Skylark Co., Ltd. 91 981 SMC Corp./Japan 3 203 Softbank Corp. (AE) 2 24 Sompo Japan Insurance, Inc. 25 114 Sony Corp. 27 659 Stanley Electric Co., Ltd. 44 553 Sumisho Lease Co., Ltd. 9 125 Sumitomo Bakelite Co., Ltd. 196 694 Sumitomo Chemical Co., Ltd. 12 33 Sumitomo Corp. 20 80 Sumitomo Electric Industries, Ltd. 41 229 Sumitomo Heavy Industries, Ltd. 130 106 Sumitomo Mitsui Financial Group, Inc. -- 196 Sumitomo Trust & Banking Co., Ltd. (The) 23 65 Suzuken Co., Ltd. 5 119 Suzuki Motor Corp. 56 663 Takeda Chemical Industries, Ltd. 92 3,371 Takefuji Corp. 28 1,463 Tamron Co., Ltd. 20 443 TDK Corp. 26 906 Terumo Corp. 20 338 THK Co., Ltd. 13 118 TIS, Inc. 8 112 Tohoku Electric Power Co., Inc. 85 1,358 Tokyo Broadcasting System, Inc. -- 5 Tokyo Electric Power Co., Inc. (The) 56 1,130 Tokyo Electron, Ltd. 28 1,061 Tokyo Gas Co., Ltd. 482 1,568 Tokyu Corp. 43 116 Toppan Printing Co., Ltd. 24 152 Toray Industries, Inc. 138 333 Toshiba Corp. (AE) 73 195 Tosoh Corp. 93 210 Tostem Inax Holding Corp. 10 107
34 International Fund INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Toyo Seikan Kaisha, Ltd. 11 98 Toyoda Gosei Co., Ltd. 13 233 Toyota Motor Corp. (AE) 231 5,230 UFJ Holdings, Inc. -- 91 UMC Japan (AE) -- 72 Uni-Charm Corp. 8 299 Uniden Corp. 6 47 UNY Co., Ltd. 54 457 Victor Co. Of Japan, Ltd. 13 91 West Japan Railway Co. -- 1,148 World Co., Ltd. 2 32 Yahoo Japan Corp. (AE) -- 787 Yakult Honsha Co., Ltd. 6 88 Yamaha Corp. 93 1,053 Yamaha Motor Co., Ltd. 235 1,750 Yamanouchi Pharmaceutical Co., Ltd. 48 1,209 Yamato Transport Co., Ltd. 13 145 ------------ 155,842 ------------ Luxembourg - 0.3% Arcelor 216 2,440 ------------ Mexico - 0.3% America Movil SA de CV Class L - ADR 32 537 Telefonos de Mexico SA de CV - ADR 74 2,226 ------------ 2,763 ------------ Netherlands - 5.6% ABN AMRO Holding NV 235 3,978 Aegon NV 321 3,267 Akzo Nobel NV 78 1,725 ASML Holding NV (AE) 115 992 Buhrmann NV 102 342 DSM NV 78 3,430 Euronext NV (AE) 47 1,047 European Aeronautic Defense and Space Co. 38 356 Hagemeyer NV 12 58 Heineken NV 97 3,594 Hunter Douglas NV 34 989 ING Groep NV 349 5,661 KLM-Koninklijke Luchtvaart Mij NV 3 18 Koninklijke Ahold NV 24 108 Koninklijke Philips Electronics NV 67 1,251 Koninklijke Philips Electronics NV 182 3,383 Numico NV 29 268 OCE NV 6 60 Reed Elsevier NV 148 1,686 Royal Dutch Petroleum Co. 203 8,313 Royal Dutch Petroleum Co. Class S 4 180 Royal KPN NV (AE) 562 3,735 Stork NV 64 555
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- TPG NV 10 151 Unilever NV 41 2,594 Vedior NV 97 643 VNU NV 135 3,919 Wolters Kluwer NV 97 1,263 ------------ 53,566 ------------ New Zealand - 0.4% Carter Holt Harvey, Ltd. 246 224 Telecom Corp. of New Zealand, Ltd. 1,317 3,529 ------------ 3,753 ------------ Norway - 0.6% DnB Holding ASA 148 707 Gjensidige NOR ASA 8 290 Norsk Hydro ASA 36 1,531 Norske SkogIndustriesustrier ASA 22 299 Statoil ASA 261 2,068 Tandberg ASA 111 430 ------------ 5,325 ------------ Portugal - 0.3% Electricidade de Portugal SA 732 1,323 Portugal Telecom SGPS SA 278 1,989 ------------ 3,312 ------------ Russia - 0.0% LUKOIL - ADR 3 213 ------------ Singapore - 1.2% CapitaLand, Ltd. 17 10 Creative Technology, Ltd. 90 563 Cycle & Carriage, Ltd. 10 23 DBS Group Holdings, Ltd. 561 2,748 Flextronics International, Ltd. (AE) 24 210 Fraser & Neave, Ltd. 13 59 Guocoland, Ltd. 1 -- Haw Par Corp., Ltd. 1 2 Hotel Properties, Ltd. 1 1 Keppel Corp., Ltd. 28 70 MobileOne, Ltd. 933 662 NatSteel, Ltd. 41 55 Oversea-Chinese Banking Corp. 298 1,588 Overseas Union Enterprise, Ltd. 6 19 SembCorp Marine, Ltd. 39 21 Singapore Airlines, Ltd. 60 319 Singapore Exchange, Ltd. 269 185 Singapore Land, Ltd. 7 13 Singapore Press Holdings, Ltd. 78 722 Singapore Telecommunications, Ltd. 1,312 1,071 SMRT Corp., Ltd. 5 1 United Overseas Bank, Ltd. 360 2,110
International Fund 35 INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- United Overseas Land, Ltd. 27 26 Venture Corp., Ltd. 85 708 ------------ 11,186 ------------ South Korea - 0.6% Hyundai Motor Co. 7 156 Korea Electric Power Corp. - ADR 100 946 KT Corp. 10 427 NHM Corp. 6 531 POSCO Class R - ADR 35 709 Samsung Electronics - GDR 9 1,160 Samsung Electronics Co., Ltd. 7 1,767 ------------ 5,696 ------------ Spain - 4.1% Acerinox SA 28 1,034 Altadis SA 129 3,336 Altadis SA 6 165 Amadeus Global Travel Distribution Class A (AE) 102 512 Banco Bilbao Vizcaya Argentaria SA 161 1,618 Banco Popular Espanol 26 1,281 Banco Santander Central Hispano SA 659 5,178 Cia Espanola de Petroleos 1 24 Corp Mapfre SA 64 600 Endesa SA 220 3,116 Fomento de Construcciones Y Contratas SA 22 570 Grupo Dragados SA 80 1,533 Iberdrola SA 170 2,745 Iberia Lineas Aereas de Espana 49 86 Industriesitex SA 33 666 NH Hoteles SA (AE) 5 45 Repsol YPF SA 72 1,053 Repsol YPF SA - ADR 100 1,459 Sogecable SA (AE) 44 481 Telefonica SA 1,179 13,035 Telefonica SA (AE)(Y) 19 202 Terra Networks SA (AE) 18 93 ------------ 38,832 ------------ Sweden - 2.5% Assa Abloy AB Class B 41 390 Atlas Co.pco AB Class A 5 116 Atlas Co.pco AB Class B 4 95 Autoliv, Inc. 86 2,110 Billerud AB 35 463 Electrolux AB Series B 129 2,425 Eniro AB 76 581 ForeningsSparbanken AB 47 638 Hennes & Mauritz AB Class B 166 3,691 Investor AB Class B 175 1,146 Modern Times Group AB Class B (AE) 6 62
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Nordea AB 806 4,278 Sandvik AB 24 600 Securitas AB Class B 63 738 Skandia Forsakrings AB (AE) 156 453 Skandinaviska Enskilda Banken AB Class A 9 89 Skanska AB Class B 7 42 Svenska Cellulosa AB Class B 40 1,365 Svenska Handelsbanken Class A 81 1,293 Swedish Match AB 85 628 Telefonaktiebolaget LM Ericsson Class B 517 471 TeliaSonera AB 561 1,995 Volvo AB Series A 6 117 Volvo AB Series B 8 158 ------------ 23,944 ------------ Switzerland - 5.6% Adecco SA 63 2,401 Alcon, Inc. 17 762 Barry Callebaut AG 5 685 Ciba Specialty Chemicals AG 1 66 Clariant AG 119 1,333 Compagnie Financiere Richemont AG Class A 54 805 Credit Suisse Group 128 3,063 Givaudan 2 905 Holcim, Ltd. 13 477 Holcim, Ltd. Class B 15 2,811 Nestle SA 34 6,838 Novartis AG Class G 293 11,554 PubliGroupe SA -- 16 Roche Holding AG 52 3,321 Serono SA 1 488 SGS Holding 3 1,070 STMicroelectronics NV 52 1,079 Sulzer AG 1 127 Swiss Reinsurance 49 3,207 Swisscom AG 6 1,829 Syngenta AG 9 459 Synthes-Stratec, Inc. (AE) 1 635 UBS AG 143 6,783 Valora Holding AG -- 76 Zurich Financial Services AG 26 2,735 ------------ 53,525 ------------ Taiwan - 0.2% Taiwan Semiconductor Manufacturing Co., Ltd. - ADR (AE) 117 980 United Microelectronics Corp. Class R - ADR (AE) 270 874 ------------ 1,854 ------------
36 International Fund INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Thailand - 0.1% Advanced Info Service PCL 80 84 Bangkok Bank Pcl (AE) 184 258 Kasikornbank PCL (AE) 216 183 Land & House Pub Co., Ltd. 1,595 287 Siam Cement PCL 156 440 ------------ 1,252 ------------ United Kingdom - 22.0% 3i Group PLC 189 1,406 Abbey National PLC 46 327 Alliance & Leicester PLC 12 157 Alliance Unichem PLC 88 646 Allied Domecq PLC 473 2,654 Amdocs, Ltd. (AE) 55 973 Amersham PLC 99 714 Amvescap PLC 6 33 Anglo American PLC (AE) 51 729 ARM Holdings PLC (AE) 66 67 Associated British Foods PLC 32 275 AstraZeneca PLC 104 4,117 AstraZeneca PLC 103 4,047 Aviva PLC 590 4,148 AWG PLC 93 794 BAA PLC 161 1,241 BAE Systems PLC (AE) 1,515 3,076 Barclays PLC 990 6,842 Barratt Developments PLC 48 322 BG Group PLC 1,007 4,028 BHP Billiton PLC 201 1,027 BOC Group PLC 179 2,263 Boots Group PLC 396 3,626 BP PLC 828 5,245 Bradford & Bingley PLC 34 177 Brambles Industries PLC 597 1,776 British Airways PLC 683 1,380 British American Tobacco PLC 185 1,777 British Land Co. PLC 2 12 British Sky Broadcasting PLC (AE) 699 7,247 BT Group PLC 114 327 Bunzl PLC 236 1,697 Burberry Group PLC 422 1,762 Cable & Wireless PLC 278 334 Cadbury Schweppes PLC 369 2,058 Capita Group PLC 148 598 Carnival PLC 1 15 Centrica PLC 622 1,653 Compass Group PLC 176 812 Corus Group PLC (AE) 200 44 Davis Service Group PLC 14 85 De La Rue PLC 5 17 Debenhams PLC 287 1,491 Diageo PLC 251 2,785 Dixons Group PLC 12 21
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- EMI Group PLC (AE) 2 4 Exel PLC 3 32 Firstgroup PLC 36 137 FKI PLC 83 98 Gallaher Group PLC 20 186 GKN PLC 869 2,860 GlaxoSmithKline PLC 777 15,564 GUS PLC 287 2,655 HBOS PLC 516 6,048 Hilton Group PLC 28 69 HSBC Holdings PLC 198 2,166 HSBC Holdings PLC 605 6,632 IMI PLC 26 112 Imperial Chemical Industries PLC 39 80 Imperial Tobacco Group PLC 84 1,403 InterContinental Hotels Group PLC (AE) 531 3,224 J Sainsbury PLC 554 2,096 Kelda Group PLC 66 431 Kingfisher PLC 917 3,583 Land Securities Group PLC 4 46 Lloyds TSB Group PLC 811 5,335 Man Group PLC 56 939 Marks & Spencer Group PLC 332 1,548 mmO2 PLC (AE) 270 241 Morgan Crucible Co. 648 643 MyTravel Group PLC 171 30 National Grid Transco PLC 249 1,637 Next PLC 37 553 Northern Foods PLC 49 101 Old Mutual PLC 652 956 Pearson PLC 203 1,694 Pennon Group PLC 26 272 Persimmon PLC 109 728 Prudential PLC 197 1,203 Rank Group PLC 21 81 Reckitt Benckiser PLC Series C 29 516 Reed Elsevier PLC 411 3,276 Reuters Group PLC 166 358 Rexam PLC 178 1,111 Rio Tinto PLC 248 4,749 RMC Group PLC 7 44 Rolls-Royce PLC 89 130 Royal & Sun Alliance Insurance Group 982 1,714 Royal Bank of Scotland Group PLC 344 9,021 SABMiller PLC 7 45 Safeway PLC 479 2,083 Sage Group PLC 244 540 Schroders PLC (AE) 74 722 Scottish & Newcastle PLC 14 78 Scottish & Southern Energy PLC 131 1,344 Severn Trent PLC 7 82 Shell Transport & Trading Co. PLC 1,246 7,463 Shire Pharmaceuticals PLC (AE) 20 128
International Fund 37 INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Smith & Nephew PLC 420 2,799 Smiths Group PLC 80 851 Stagecoach Group PLC 222 156 Standard Chartered PLC 195 2,179 Tate & Lyle PLC 81 386 Taylor Woodrow PLC 55 173 Tesco PLC 6 19 TI Automotive, Ltd. Class A (Y) -- -- Tomkins PLC 44 147 Trinity Mirror PLC 33 227 Unilever PLC 522 5,127 United Business Media PLC 104 416 United Utilities PLC 54 516 Vodafone Group PLC (AE) 10,227 20,186 Whitbread PLC 126 1,252 Willis Group Holdings, Ltd. 40 1,235 Wimpey George PLC 231 922 Wolseley PLC 88 851 WPP Group PLC 12 83 Xstrata PLC 16 142 ------------ 209,283 ------------ United States - 0.2% Berkeley Group PLC (AE) 2 24 Carnival Corp. -- 8 JDS Uniphase Corp. (AE) 30 97 Mitchells & Butlers PLC 514 1,740 ------------ 1,869 ------------ TOTAL COMMON STOCKS (cost $918,871) 868,421 ------------ LONG-TERM INVESTMENTS - 0.0% United Kingdom - 0.0% Credit Suisse Group Finance Guernsey, Ltd. 6.000% due 12/23/05 115 89 ------------ TOTAL LONG-TERM INVESTMENTS (cost $77) 89 ------------ NOTIONAL MARKET AMOUNT VALUE $ $ ----------------------------------------------------------------------------- OPTIONS PURCHASED - 0.1% (Number of Contracts) Italy - 0.0% Milan Index Futures Jun 2003 222.60 Put (5) 6 14 ------------ Luxembourg - 0.1% Bel20 Index Futures May 2003 1,868.90 Call (62) 2,586 693 ------------ Switzerland - 0.0% Swiss Market Index Futures Jun 2003 4,136 Put (61) 1,860 225 Jun 2003 4,520.62 Put (16) 533 59 ------------ 284 ------------ TOTAL OPTIONS PURCHASED (cost $966) 991 ------------ PRINCIPAL AMOUNT ($) OR SHARES ------------ PREFERRED STOCKS - 0.5% Australia - 0.0% News Corp., Ltd. 35 204 ------------ Brazil - 0.2% Cia Vale do Rio Doce - ADR 11 290 Telecomunicacoes Brasileiras SA - ADR 44 1,151 Uniao de Bancos Brasileiros SA Class R - ADR 49 895 ------------ 2,336 ------------ Germany - 0.3% Hugo Boss AG 23 324 Porsche AG (AE) 3 1,252 ProSieben SAT.1 Media AG 34 192 Volkswagen AG -- 3 Wella AG 12 882 ------------ 2,653 ------------ TOTAL PREFERRED STOCKS (cost $5,096) 5,193 ------------
38 International Fund INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 7.3% United States - 7.3% Frank Russell Investment Company Money Market Fund 55,763 55,763 United States Treasury Bill 1.130% due 06/19/03 (c)(y)(s) 8,000 7,988 1.177% due 08/21/03 (y)(s) 5,500 5,467 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $69,231) 69,218 ------------ TOTAL INVESTMENTS - 99.1% (identified cost $994,241) 943,912 OTHER ASSETS AND LIABILITIES NET - 0.9% 8,620 ------------ NET ASSETS - 100.0% 952,532 ============ UNREALIZED NOTIONAL APPRECIATION AMOUNT (DEPRECIATION) FUTURES CONTRACTS (000) (000) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions CAC-40 Index (France) expiration date 06/03 (241) 5,929 788 DAX Index (Germany) expiration date 06/03 (142) 8,247 2,761 DJ STOXX 50 Index (EMU) expiration date 06/03 (605) 8,246 151 FTSE-100 Index (UK) expiration date 06/03 (392) 23,531 1,224 Hang Seng Index (Hong Kong) expiration date 05/03 (132) 7,061 331 IBEX Plus Index (Spain) expiration date 05/03 (17) 999 (15) SPI 200 Index (Australia) expiration date 06/03 (83) 4,750 (121) TOPIX Index (Japan) expiration date 06/03 (322) 21,204 (1,046)
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Short Positions AEX Index (Germany) expiration date 05/03 (8) 405 9 CAC-40 Index (France) expiration date 05/03 (113) 2,903 (21) MIB-30 (Italy) expiration date 06/03 (22) 2,185 (238) SPI 200 Index (Australia) expiration date 06/03 (74) 8,527 156 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 3,979 ============ NOTIONAL MARKET OPTIONS WRITTEN AMOUNT VALUE (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Italy Milan Index Futures Jun 2003 222.60 Call (5) 6 (66) Luxembourg Bel20 Index Futures May 2003 1,868.90 Put (62) 2,586 (692) Switzerland Swiss Market Index Futures Jun 2003 4,136 Call (61) 1,860 (401) Jun 2003 4,520.62 Call (16) 533 (59) ------------ Total Liability for Options Written (premiums received $965) (1,218) ============
See accompanying notes which are an integral part of the financial statements. International Fund 39 INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 55 AUD 89 05/01/03 1 USD -- AUD -- 05/01/03 -- USD 92 AUD 149 05/02/03 -- USD 54 AUD 86 05/02/03 -- USD 1,060 AUD 1,800 06/18/03 61 USD 2,403 AUD 4,000 06/18/03 88 USD 3,525 AUD 6,000 06/18/03 211 USD 594 AUD 1,000 06/18/03 29 USD 299 AUD 500 06/18/03 13 USD 908 AUD 1,500 06/18/03 26 USD 617 AUD 1,000 06/18/03 6 USD 5 CAD 7 05/01/03 -- USD 22 CAD 31 05/01/03 -- USD 8 CAD 12 05/02/03 -- USD 18 CAD 26 05/02/03 -- USD 160 CHF 217 05/02/03 1 USD 241 CHF 330 05/02/03 2 USD 75 CHF 102 05/05/03 -- USD 388 CHF 525 05/06/03 -- USD 53 CHF 72 05/06/03 -- USD 149 CHF 201 05/06/03 -- USD 15 EUR 13 05/02/03 -- USD 38 EUR 35 05/02/03 -- USD 38 EUR 35 05/02/03 1 USD 9 EUR 8 05/02/03 -- USD 13 EUR 12 05/02/03 -- USD 68 EUR 62 05/02/03 1 USD 78 EUR 70 05/02/03 1 USD 191 EUR 173 05/05/03 2 USD 148 EUR 134 05/05/03 1 USD 190 EUR 173 05/05/03 3 USD 7 EUR 6 05/05/03 -- USD 9 EUR 8 05/05/03 -- USD 237 EUR 212 05/05/03 -- USD 163 EUR 147 05/05/03 1 USD 166 EUR 148 05/06/03 -- USD 245 EUR 219 05/06/03 -- USD 9 EUR 8 05/06/03 -- USD 139 EUR 124 05/06/03 -- USD 2,968 EUR 2,700 06/18/03 40 USD 37,044 EUR 35,000 06/18/03 1,948 USD 1,055 EUR 1,000 06/18/03 59 USD 1,053 EUR 1,000 06/18/03 61 USD 1,065 EUR 1,000 06/18/03 49 USD 1,067 EUR 1,000 06/18/03 47 USD 1,089 EUR 1,000 06/18/03 26 USD 2,144 EUR 2,000 06/18/03 84 USD 1,070 EUR 1,000 06/18/03 44 USD 3,231 EUR 3,000 06/18/03 111 USD 1,082 EUR 1,000 06/18/03 32
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 1,092 EUR 1,000 06/18/03 22 USD 1,097 EUR 1,000 06/18/03 17 USD 2,735 EUR 2,500 06/18/03 50 USD 161 GBP 101 05/01/03 -- USD 39 GBP 25 05/01/03 -- USD 143 GBP 90 05/01/03 1 USD 212 GBP 133 05/01/03 -- USD 112 GBP 70 05/01/03 -- USD 122 GBP 76 05/02/03 -- USD 112 GBP 70 05/02/03 -- USD 179 GBP 112 05/02/03 -- USD 102 GBP 64 05/06/03 -- USD 686 GBP 430 06/12/03 -- USD 16 GBP 10 06/12/03 -- USD 26,515 GBP 17,000 06/18/03 573 USD 779 GBP 500 06/18/03 18 USD 777 GBP 500 06/18/03 19 USD 782 GBP 500 06/18/03 15 USD 1,565 GBP 1,000 06/18/03 29 USD 1,566 GBP 1,000 06/18/03 28 USD 58 HKD 450 05/05/03 -- USD 4 JPY 501 05/01/03 -- USD 8 JPY 938 05/01/03 -- USD 5 JPY 572 05/01/03 -- USD 8 JPY 1,019 05/01/03 -- USD 40 JPY 4,875 05/01/03 1 USD 38 JPY 4,589 05/01/03 -- USD 358 JPY 43,000 05/01/03 2 USD 9 JPY 1,131 05/01/03 -- USD 8 JPY 905 05/02/03 -- USD 31 JPY 3,711 05/02/03 -- USD 5 JPY 573 05/02/03 -- USD 4 JPY 511 05/02/03 -- USD 4 JPY 504 05/02/03 -- USD 23 JPY 2,782 05/02/03 -- USD 42 JPY 5,028 05/02/03 -- USD 8 JPY 928 05/06/03 -- USD 5 JPY 578 05/06/03 -- USD 995 JPY 118,950 06/12/03 3 USD 5,991 JPY 700,000 06/18/03 (112) USD 17,769 JPY 2,100,000 06/18/03 (130) USD 839 JPY 100,000 06/18/03 1 USD 835 JPY 100,000 06/18/03 5 USD 839 JPY 100,000 06/18/03 1 USD 836 JPY 100,000 06/18/03 4 USD 831 JPY 100,000 06/18/03 9 USD 1,667 JPY 200,000 06/18/03 13 USD 832 JPY 100,000 06/18/03 8 USD 832 JPY 100,000 06/18/03 8 USD 403 JPY 48,351 06/27/03 3
See accompanying notes which are an integral part of the financial statements. 40 International Fund INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 54 SEK 446 05/02/03 -- USD 101 SEK 832 05/05/03 1 USD 236 SEK 1,948 05/05/03 2 USD 367 SEK 3,027 05/05/03 3 USD 208 SEK 1,698 05/06/03 -- USD 1,557 SEK 13,200 06/18/03 52 USD 1,846 SEK 15,700 06/18/03 67 USD 1,318 SGD 2,300 06/18/03 (23) AUD 23 USD 14 05/01/03 -- AUD 84 USD 52 05/01/03 -- AUD 112 USD 69 05/01/03 (1) AUD 14 USD 9 05/02/03 -- AUD 147 USD 92 05/02/03 -- AUD 500 USD 294 06/18/03 (18) AUD 1,000 USD 598 06/18/03 (26) AUD 1,000 USD 618 06/18/03 (4) AUD 1,000 USD 615 06/18/03 (8) CAD 3 USD 2 05/01/03 -- CAD 5 USD 3 05/01/03 -- CHF 8 USD 6 05/02/03 -- CHF 24 USD 18 05/02/03 -- CHF 26 USD 19 05/02/03 -- CHF 33 USD 24 05/02/03 -- CHF 90 USD 66 06/12/03 -- CHF 110 USD 79 06/12/03 (2) CHF 700 USD 503 06/18/03 (14) CHF 5,300 USD 3,994 06/18/03 81 DKK 242 USD 36 05/01/03 (1) DKK 1,839 USD 274 05/02/03 (2) EUR 1 USD 1 05/02/03 -- EUR 5 USD 6 05/02/03 -- EUR 7 USD 8 05/02/03 -- EUR 8 USD 9 05/02/03 -- EUR 28 USD 30 05/02/03 (1) EUR 85 USD 93 05/02/03 (2) EUR 5 USD 6 05/05/03 -- EUR 32 USD 35 05/05/03 -- EUR 57 USD 63 05/05/03 (1) EUR 64 USD 71 05/06/03 -- EUR 520 USD 564 06/12/03 (16) EUR 760 USD 805 06/12/03 (42) EUR 100 USD 107 06/18/03 (4) EUR 1,000 USD 1,059 06/18/03 (55) EUR 1,000 USD 1,071 06/18/03 (44) EUR 1,000 USD 1,099 06/18/03 (15) EUR 1,500 USD 1,630 06/18/03 (41)
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- EUR 2,000 USD 2,149 06/18/03 (79) EUR 3,000 USD 3,298 06/18/03 (44) EUR 10,500 USD 11,117 06/18/03 (581) GBP 3 USD 5 05/01/03 -- GBP 21 USD 34 05/01/03 (1) GBP 52 USD 83 05/01/03 -- GBP 3 USD 5 05/02/03 -- GBP 10 USD 16 05/02/03 -- GBP 23 USD 36 05/02/03 -- GBP 1 USD 1 05/06/03 -- GBP 72 USD 115 05/06/03 -- GBP 77 USD 123 05/06/03 -- GBP 430 USD 675 06/12/03 (11) GBP 500 USD 771 06/12/03 (26) GBP 100 USD 156 06/18/03 (3) GBP 500 USD 785 06/18/03 (11) GBP 800 USD 1,281 06/18/03 6 GBP 1,000 USD 1,559 06/18/03 (35) GBP 1,000 USD 1,566 06/18/03 (27) GBP 1,000 USD 1,565 06/18/03 (28) GBP 1,000 USD 1,596 06/18/03 2 GBP 5,300 USD 8,269 06/18/03 (177) HKD 63 USD 8 05/02/03 -- HKD 466 USD 60 05/02/03 -- HKD 822 USD 105 05/02/03 -- HUF 34,363 USD 156 05/05/03 -- JPY 312 USD 3 05/01/03 -- JPY 547 USD 5 05/01/03 -- JPY 623 USD 5 05/01/03 -- JPY 855 USD 7 05/01/03 -- JPY 965 USD 8 05/01/03 -- JPY 1,699 USD 14 05/01/03 -- JPY 3,395 USD 28 05/01/03 -- JPY 6,077 USD 50 05/01/03 (1) JPY 272 USD 2 05/02/03 -- JPY 503 USD 4 05/02/03 -- JPY 551 USD 5 05/02/03 -- JPY 625 USD 5 05/02/03 -- JPY 812 USD 7 05/02/03 -- JPY 1,086 USD 9 05/02/03 -- JPY 3,414 USD 28 05/02/03 -- JPY 16,096 USD 134 05/02/03 (1) JPY 201 USD 2 05/06/03 -- JPY 914 USD 8 05/06/03 -- JPY 1,125 USD 9 05/06/03 -- JPY 1,293 USD 11 05/06/03 --
See accompanying notes which are an integral part of the financial statements. International Fund 41 INTERNATIONAL FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
FOREIGN CURRENCY EXCHANGE CONTRACTS UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- JPY 2,566 USD 21 05/06/03 -- JPY 180,410 USD 1,527 06/12/03 12 JPY 100,000 USD 838 06/18/03 (2) JPY 100,000 USD 849 06/18/03 9 JPY 100,000 USD 836 06/18/03 (4) JPY 100,000 USD 833 06/18/03 (7) JPY 100,000 USD 842 06/18/03 2 JPY 130,000 USD 1,082 06/18/03 (10) JPY 150,000 USD 1,271 06/18/03 11 JPY 600,000 USD 5,083 06/18/03 43 JPY 48,351 USD 404 06/27/03 (2) NZD 124 USD 69 05/01/03 -- NZD 100 USD 55 05/02/03 -- SEK 31 USD 4 05/02/03 -- SEK 45 USD 5 05/02/03 -- SEK 78 USD 9 05/02/03 -- SEK 835 USD 100 05/02/03 (2) SEK 6,241 USD 754 05/05/03 (9) SEK 760 USD 89 06/12/03 (4) SEK 1,090 USD 126 06/12/03 (7) SGD 6 USD 3 05/02/03 -- SGD 2,800 USD 1,575 06/18/03 (3) THB 171 USD 4 05/02/03 -- -------------- 2,433 ==============
% OF MARKET GEOGRAPHIC DIVERSIFICATION NET VALUE (UNAUDITED) ASSETS $ ----------------------------------------------------------------------------- Asia 9.0 86,798 Europe 41.7 397,371 Japan 16.4 155,842 Latin America 0.6 6,173 Middle East 0.2 1,475 United Kingdom 22.0 209,283 Options 0.1 991 Other 1.8 16,672 Short-Term Investments 7.3 69,218 Long-Term Investments -- 89 ------------ ------------ Total Investments 99.1 943,912 Other Assets and Liabilities, Net 0.9 8,620 ------------ ------------ NET ASSETS 100.0 952,532 ============ ============
% OF MARKET INDUSTRY DIVERSIFICATION NET VALUE (UNAUDITED) ASSETS $ Auto and Transportation 6.3 60,587 Consumer Discretionary 13.6 129,077 Consumer Staples 6.1 57,850 Financial Services 21.3 202,646 Health Care 6.9 66,064 Integrated Oils 3.4 31,973 Materials -- 23 Materials and Processing 8.5 80,737 Miscellaneous 1.8 17,438 Options 0.1 991 Other Energy 4.2 39,932 Producer Durables 4.2 40,449 Technology 3.5 33,735 Utilities 11.9 113,103 Short-Term Investments 7.3 69,218 Long-Term Investments -- 89 ------------ ------------ Total Investments 99.1 943,912 Other Assets and Liabilities, Net 0.9 8,620 ------------ ------------ NET ASSETS 100.0 952,532 ============ ============
See accompanying notes which are an integral part of the financial statements. 42 International Fund FIXED INCOME I FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Long-Term Investments - 107.5% Asset-Backed Securities - 15.5% American Express Master Trust (E) Series 2001-1 Class A 1.400% due 09/15/05 3,580 3,582 Series 2002-1 Class A 1.380% due 12/15/05 945 945 AmeriCredit Automobile Receivables Trust (E) Series 2002-A Class A3 1.500% due 10/12/06 4,370 4,370 Bank One Issuance Trust (E) Series 2003-A2 Class A2 1.388% due 10/15/08 8,870 8,870 Bombardier Receivables Master Trust I (E) Series 2000-1 Class A 1.480% due 09/15/05 7,500 7,494 Capital Auto Receivables Asset Trust (E) Series 2002-5 Class A2A 1.370% due 01/18/05 1,330 1,330 Capital One Master Trust (E) Series 2002-3A Class A 1.390% due 02/15/08 5,105 5,080 Carco Auto Loan Master Trust (E) Series 2000-B Class A1 1.390% due 10/17/05 1,015 1,015 Case Equipment Loan Trust Series 1999-B Class A4 6.900% due 06/15/06 417 418 Chase Credit Card Master Trust (E) Series 2002-2 Class A 1.360% due 07/16/07 2,065 2,066 Series 2003-1 Class A 1.423% due 04/15/08 4,250 4,250 Chase Funding Mortgage Loan Asset-Backed Certificates (E) Series 2001-4 Class 1A1 1.540% due 04/25/16 234 234 Series 2002-1 Class 1A1 1.460% due 02/25/17 438 438 Chesapeake Funding LLC (E) Series 2002-1 Class A1 1.500% due 06/07/07 1,475 1,475 Citibank Credit Card Issuance Trust Series 2001-A6 Class A6 5.650% due 06/16/08 1,875 2,047 CNH Equipment Trust (E) Series 2001-A Class A3 1.480% due 11/15/05 1,370 1,369
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Conseco Finance Securitizations Corp. (E) Series 2001-3 Class A1 1.438% due 05/01/33 341 340 Continental Airlines, Inc. 6.545% due 02/02/19 732 636 Countrywide Asset-Backed Certificates (E)(Y) 1.618% due 06/25/33 640 640 Daimler Chrysler Master Owner Trust (E) Series 2003-A Class A 1.388% due 02/15/08 1,700 1,700 Discover Card Master Trust I (E) Series 2000-2 Class A 1.490% due 09/18/07 3,620 3,629 Series 2002-1 Class A 1.380% due 07/15/07 1,525 1,526 Distribution Financial Services Floorplan Master Trust (E)(Y) Series 2003-2 Class A 1.410% due 04/15/08 2,255 2,255 DVI Receivables Corp. (E) Series 2002-1 Class A3A 1.658% due 06/11/10 1,585 1,584 Federal Home Loan Mortgage Corp. Structured Pass Through Securities (E) Series 2000-23 Class A 1.460% due 05/25/30 815 817 Federal National Mortgage Association Grantor Trust (E) Series 2003-T3 Class 1A (Y) 1.460% due 06/25/33 3,658 3,663 Series 2003-T4 Class 1A 1.425% due 09/26/33 6,985 6,985 First Deposit Master Trust (E) Series 1996-1 Class A 1.480% due 08/15/07 4,100 4,100 First Franklin Mortgage Loan Asset Backed Certificates Series 2002-FF1 Class 1A2 3.790% due 04/25/32 3,473 3,559 First Franklin NIM Trust (Y) Series 2002-FF1 Class A 7.870% due 04/25/32 468 468
Fixed Income I Fund 43 FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- First National Master Note Trust (E) Series 2003-1 Class A 1.400% due 08/15/08 660 661 First USA Credit Card Master Trust (E) Series 1999-1 Class A 1.479% due 10/19/06 700 700 Fleet Credit Card Master Trust II Series 2001-C Class A 3.860% due 03/15/07 1,300 1,342 Series 2003-A Class A 2.400% due 07/15/08 1,275 1,281 Ford Credit Auto Owner Trust (E) Series 2001-E Class A3 1.450% due 03/15/05 4,845 4,846 Series 2002-A Class A3B 1.430% due 01/15/06 1,570 1,570 Ford Credit Floorplan Master Owner Trust (E) Series 2001-1 Class A 1.400% due 07/17/06 3,075 3,076 General Motors Acceptance Corp. (E) 1.699% due 07/30/04 2,000 1,976 GMAC Mortgage Corp. Loan Trust (E) Series 1999-1 Class A 1.619% due 06/18/27 1,816 1,816 Series 2003-HE1 Class A1 1.410% due 04/25/33 2,055 2,056 Greyhound Funding LLC (E) Series 2001-1 Class A1 1.560% due 09/07/06 2,558 2,558 Series 2001-1 Class A2 1.620% due 09/09/13 1,920 1,920 Guaranteed Export Trust 6.550% due 06/15/04 195 200 Honda Auto Receivables Owner Trust Series 2002-2 Class A4 4.490% due 09/17/07 1,350 1,423 Series 2003-1 Class A3 1.920% due 11/20/06 3,335 3,351 Long Beach Asset Holdings Corp. (Y) Series 2003-2 Class N1 7.627% due 06/25/33 555 555 MBNA Credit Card Master Note Trust Series 2002-C1 Class C1 6.800% due 07/15/14 1,375 1,459 Series 2003-A2 Class A2 1.357% due 08/15/08 5,570 5,568 MBNA Master Credit Card Trust USA Series 1998-C Class C 6.350% due 11/15/05 2,500 2,515 Series 2000-C Class A 1.470% due 07/15/07 6,390 6,404
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Inc. (E) Series 2002-NC1 Class A1 1.640% due 05/25/33 1,724 1,724 Series 2003-WMC2 Class A2 1.660% due 02/25/34 1,847 1,848 Morgan Stanley ABS Capital One (Y) 1.600% due 05/25/33 1,015 1,015 Morgan Stanley Dean Witter Capital I (E)(Y) Series 2003-NC4 Class A2 1.688% due 04/25/33 940 940 National City Auto Receivables Trust Series 2002-A Class A4 4.830% due 08/15/09 2,400 2,547 Nelnet Student Loan Trust (E) Series 2002-2 Class A2 1.320% due 06/25/11 1,915 1,913 Nissan Auto Receivables Owner Trust Series 2003-A Class A3 1.890% due 12/15/06 2,595 2,600 North Carolina State Education Authority (E) Series 2000-2000 Class G 1.499% due 06/01/09 347 347 NPF XII, Inc. (Y) Series 2002-1A Class A 2.390% due 05/02/05 3,235 647 Nynex Corp. 9.550% due 05/01/10 361 438 Option One Mortgage Loan Trust (E) Series 2001-4 Class A 1.605% due 01/25/32 2,870 2,871 Series 2003-1 Class A2 1.790% due 02/25/33 2,559 2,568 Option One Mortgage Securities Corp. NIM Trust (Y) 1.630% due 04/25/10 1,410 1,410 Residential Asset Mortgage Products, Inc. (E) Series 2002-RS2 Class AI1 1.480% due 04/25/21 173 173 Series 2002-RS5 Class AII 1.690% due 09/25/32 1,268 1,266 Series 2002-RZ2 Class A1 1.460% due 11/25/21 277 277
44 Fixed Income I Fund FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 2003-RS1 Class AII 1.728% due 02/25/33 1,869 1,871 Series 2003-RS2 Class AII 1.660% due 03/25/33 1,732 1,733 Series 2003-RS3 Class AII (Y) 1.670% due 04/25/33 1,300 1,300 Series 2003-RZ1 Class AI3 3.490% due 08/25/29 1,510 1,532 Residential Asset Securities Corp. (E) Series 2002-KS3 Class A1B 1.570% due 05/25/32 2,106 2,105 Series 2003-KS1 Class A2 1.710% due 01/25/33 1,251 1,252 Residential Funding Mortgage Securities II (E) Series 2003-HI1 Class A1 1.410% due 04/25/10 1,410 1,409 Ryder Vehicle Lease Trust Series 2001-A Class A3 5.520% due 05/16/05 695 699 Saxon Asset Securities Trust (E) Series 2003-1 Class AV1 1.642% due 06/25/33 2,475 2,477 Sears Credit Account Master Trust (E) Series 2001-2 Class A 1.420% due 06/16/08 1,250 1,248 SLM Student Loan Trust (E) Series 2003-3 Class A2 1.310% due 06/15/10 2,595 2,595 Series 2003-A Class A1 1.339% due 12/15/15 1,335 1,337 Small Business Administration 7.449% due 08/01/10 478 545 Specialty Underwriting & Residential (E)(Y) Series 2003-BC1 Class A 1.650% due 01/25/34 1,283 1,283 Superior Wholesale Inventory Financing Trust (E) Series 2000-A Class A 1.419% due 04/15/07 2,530 2,535 Series 2001-A6 Class A 1.400% due 01/16/06 295 295 Series 2001-A7 Class A 1.400% due 03/15/06 3,020 3,020 Systems 2001 AT LLC 7.156% due 12/15/11 509 551 Toyota Auto Receivables Owner Trust (E) Series 2001-A Class A4 1.420% due 09/17/07 2,425 2,425
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Triad Auto Receivables Owner Trust (E) Series 2003-A Class A3 1.494% due 07/12/07 1,505 1,505 Wal-Mart Stores, Inc. 8.800% due 12/30/14 360 469 WFS Financial Owner Trust Series 2002-2 Class A3 3.810% due 02/20/07 1,950 2,001 Whole Auto Loan Trust Series 2002-1 Class A3 2.600% due 08/15/06 3,380 3,436 William Street Funding Corp. 1.620% due 04/23/06 3,545 3,561 World Financial Network Credit Card Master Trust (E) Series 2001-A Class A 1.550% due 06/16/08 6,200 6,201 World Omni Master Owner Trust (E) Series 2001-1 Class A 1.440% due 02/15/06 1,840 1,840 ------------ 193,971 ------------ Corporate Bonds and Notes - 17.5% Ahold Finance USA, Inc. 8.250% due 07/15/10 390 344 Alabama Power Co. Series N 4.875% due 09/01/04 975 1,0130 Allegiance Corp. 7.000% due 10/15/26 100 118 Altria Group, Inc. 7.000% due 07/15/05 1,700 1,738 7.650% due 07/01/08 395 419 Amerada Hess Corp. 7.300% due 08/15/31 305 341 American Electric Power Co., Inc. Series C 5.375% due 03/15/10 160 166 American General Finance Corp. Series MTNH 5.375% due 10/01/12 1,300 1,351 Anadarko Finance Co. Series B 7.500% due 05/01/31 410 504 AOL Time Warner, Inc. 6.125% due 04/15/06 1,340 1,426 6.750% due 04/15/11 970 1,053 7.625% due 04/15/31 3,640 4,014
Fixed Income I Fund 45 FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Archer-Daniels-Midland Co. 8.375% due 04/15/17 900 1,194 Associates Corp. of North America 6.000% due 07/15/05 225 243 AT&T Broadband 8.375% due 03/15/13 384 469 9.455% due 11/15/22 423 564 AT&T Corp. 7.800% due 11/15/11 880 966 8.500% due 11/15/31 2,220 2,472 AT&T Wireless Services, Inc. 8.125% due 05/01/12 3,055 3,592 8.750% due 03/01/31 1,895 2,360 BAE Systems Holdings, Inc. 6.400% due 12/15/11 1,010 1,065 Bank of America Corp. 7.800% due 02/15/10 55 67 Bank of New York 5.500% due 12/01/17 650 676 Bank One Corp. 5.250% due 01/30/13 765 804 BankBoston Corp. Series B 8.250% due 12/15/26 250 286 BCI US Funding Trust Step Up Bond 8.010% due 12/29/49 680 772 Bellsouth Capital Funding 7.875% due 02/15/30 1,000 1,289 Beneficial Corp. 8.400% due 05/15/08 757 907 Boeing Capital Corp. 6.100% due 03/01/11 340 358 Boeing Co. (The) 5.125% due 02/15/13 685 691 Boston Properties, Inc. 6.250% due 01/15/13 900 965 Bristol-Myers Squibb Co. 6.875% due 08/01/97 1,300 1,484 Burlington Northern Santa Fe Corp. 6.875% due 12/01/27 370 414 Campbell Soup Co. 5.875% due 10/01/08 220 246 6.750% due 02/15/11 375 431 8.875% due 05/01/21 500 673 Carolina Power & Light Co. 6.875% due 08/15/23 250 259 CarrAmerica Realty Corp. 7.125% due 01/15/12 840 903 Caterpillar Financial Services Corp. Series MTND 9.500% due 02/06/07 80 98
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Cendant Corp. 6.250% due 03/15/10 220 233 CenterPoint Energy Houston Electric LLC 5.700% due 03/15/13 230 245 Champion International Corp. 6.400% due 02/15/26 570 622 Chrysler Corp. 7.450% due 03/01/27 1,190 1,321 Cincinnati Gas & Electric 5.700% due 09/15/12 275 292 CIT Group, Inc. 5.625% due 05/17/04 670 692 6.500% due 02/07/06 345 373 6.875% due 11/01/09 110 122 7.750% due 04/02/12 4,200 4,870 Citicorp 7.250% due 10/15/11 605 716 CitiFinancial 8.700% due 06/15/10 795 1,007 Citigroup, Inc. 5.750% due 05/10/06 850 930 3.500% due 02/01/08 1,210 1,217 7.250% due 10/01/10 1,765 2,092 6.875% due 02/15/98 920 1,061 Clear Channel Communications, Inc. 6.000% due 11/01/06 120 130 Coca-Cola Enterprises, Inc. 5.375% due 08/15/06 550 596 7.000% due 10/01/26 665 762 6.950% due 11/15/26 100 116 Collegiate Funding Services Education Loan Trust I (E) Series A-1 1.400% due 03/30/12 2,125 2,126 Columbus Southern Power Co. 5.500% due 03/01/13 105 110 Comcast Cable Communications 8.375% due 05/01/07 950 1,097 6.200% due 11/15/08 950 1,047 7.125% due 06/15/13 1,575 1,786 Comcast Corp. 5.850% due 01/15/10 180 191 7.050% due 03/15/33 550 599 ConAgra Foods, Inc. 7.875% due 09/15/10 1,470 1,784 Consolidated Edison Co. of New York Series 98-A 6.250% due 02/01/08 1,015 1,146 Constellation Energy Group, Inc. 6.125% due 09/01/09 380 420
46 Fixed Income I Fund FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Countrywide Home Loans, Inc. Series MTNH 6.250% due 04/15/09 1,390 1,546 Series MTNK 5.500% due 02/01/07 135 146 COX Communications, Inc. 6.750% due 03/15/11 1,035 1,177 Credit Suisse First Boston USA, Inc. 5.875% due 08/01/06 1,240 1,355 4.625% due 01/15/08 210 220 CVS Corp. 5.625% due 03/15/06 440 479 DaimlerChrysler NA Holding Corp. 6.400% due 05/15/06 1,005 1,098 Deere & Co. 8.100% due 05/15/30 415 542 Delphi Corp. 6.125% due 05/01/04 90 92 Detroit Edison Co. 6.125% due 10/01/10 225 249 6.350% due 10/15/32 145 160 Deutsche Bank Financial LLC 5.375% due 03/02/15 830 868 Devon Financing Corp. ULC 6.875% due 09/30/11 70 81 Dominion Resources, Inc. Series B 6.250% due 06/30/12 120 132 Dow Chemical Co. (The) 7.375% due 11/01/29 695 788 DPL, Inc. 8.250% due 03/01/07 310 331 Dresdner Funding Trust I 8.151% due 06/30/31 400 417 DTE Energy Co. 6.450% due 06/01/06 475 520 Duke Energy Field Services LLC 7.500% due 08/16/05 320 350 5.750% due 11/15/06 70 74 6.875% due 02/01/11 50 56 Duke Realty, LP 5.875% due 08/15/12 665 699 Eastman Chemical Co. 7.000% due 04/15/12 90 102 Eli Lilly & Co. 6.770% due 01/01/36 760 896 EOP Operating, LP 7.000% due 07/15/11 850 967 Exelon Corp. 6.750% due 05/01/11 950 1,071
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- FedEx Corp. 6.875% due 02/15/06 440 487 7.600% due 07/01/97 200 216 Fifth Third Bancorp 6.750% due 07/15/05 900 984 Fifth Third Bank Michigan 7.750% due 08/15/10 605 673 Fifth Third Capital Trust I Series A 8.136% due 03/15/27 840 1,002 Financing Corp. Zero Coupon Series 15P 0.000% due 03/07/19 900 385 First Bank National Association 5.700% due 12/15/08 95 105 First Union Institutional Capital I 8.040% due 12/01/26 100 116 FirstEnergy Corp. Series B 6.450% due 11/15/11 370 400 Series C 7.375% due 11/15/31 730 804 FleetBoston Financial Corp. 7.250% due 09/15/05 500 557 4.875% due 12/01/06 515 547 Florida Power & Light Co. 6.875% due 12/01/05 4,000 4,460 Ford Motor Co. 6.375% due 02/01/29 245 195 7.450% due 07/16/31 1,130 1,006 8.900% due 01/15/32 470 468 Ford Motor Credit Co. 6.750% due 05/15/05 550 567 6.875% due 02/01/06 3,520 3,641 7.375% due 10/28/09 1,875 1,915 7.375% due 02/01/11 1,170 1,186 Foster's Finance Corp. 6.875% due 06/15/11 355 406 FPL Group Capital, Inc. 6.125% due 05/15/07 855 926 GE Global Insurance Holding Corp. 6.450% due 03/01/19 900 927 General Electric Capital Corp. 8.300% due 09/20/09 470 576 Series MTNA 6.800% due 11/01/05 1,360 1,511 5.875% due 02/15/12 730 798 6.000% due 06/15/12 1,290 1,423 5.450% due 01/15/13 655 696 6.750% due 03/15/32 945 1,094
Fixed Income I Fund 47 FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- General Electric Co. 5.000% due 02/01/13 1,575 1,627 General Motors Acceptance Corp. (E) 1.759% due 07/20/04 1,500 1,483 6.750% due 01/15/06 1,665 1,756 6.125% due 09/15/06 1,355 1,406 7.250% due 03/02/11 3,015 3,110 6.875% due 09/15/11 1,095 1,116 7.000% due 02/01/12 500 512 8.000% due 11/01/31 2,380 2,479 Golden West Financial Corp. 4.125% due 08/15/07 360 375 Goldman Sachs Group, Inc. 7.350% due 10/01/09 1,445 1,694 6.875% due 01/15/11 645 742 6.600% due 01/15/12 405 457 5.250% due 04/01/13 960 986 6.125% due 02/15/33 1,645 1,697 Grand Metropolitan Investment Corp. 7.450% due 04/15/35 425 522 GTE California, Inc. Series F 6.750% due 05/15/27 700 779 Hartford Financial Services Group, Inc. 7.750% due 06/15/05 70 77 6.375% due 11/01/08 1,200 1,326 Hertz Corp. 9.000% due 11/01/09 390 423 HJ Heinz Finance Co. 6.750% due 03/15/32 360 409 Household Finance Corp. 6.500% due 01/24/06 585 651 4.625% due 01/15/08 230 240 6.375% due 10/15/11 1,210 1,325 7.000% due 05/15/12 1,105 1,266 6.375% due 11/27/12 335 370 International Lease Finance Corp. 6.375% due 03/15/09 335 364 Series MTNO 4.000% due 01/17/06 1,330 1,351 International Paper Co. 5.850% due 10/30/12 955 1,021 ITT Industries, Inc. 7.400% due 11/15/25 1,285 1,466 JP Morgan & Co., Inc. Series MTNA 6.000% due 01/15/09 350 381 JP Morgan Chase & Co. 5.350% due 03/01/07 390 423 6.750% due 02/01/11 1,160 1,321 5.750% due 01/02/13 685 728
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Kellogg Co. Series B 7.450% due 04/01/31 430 534 Kerr-McGee Corp. 7.875% due 09/15/31 600 717 Keycorp 7.500% due 06/15/06 875 997 KeySpan Corp. 7.625% due 11/15/10 960 1,159 Kohl's Corp. 6.300% due 03/01/11 780 882 Kroger Co. 6.800% due 04/01/11 1,425 1,586 7.500% due 04/01/31 410 468 Legg Mason, Inc. 6.750% due 07/02/08 405 454 Lehman Brothers Holdings, Inc. 6.625% due 01/18/12 400 455 Liberty Media Corp. 5.700% due 05/15/13 130 131 Liberty Property-LP 7.250% due 03/15/11 910 1,039 Lincoln National Corp. 7.250% due 05/15/05 450 490 6.500% due 03/15/08 250 278 Lockheed Martin Corp. 8.500% due 12/01/29 825 1,107 Loral Corp. 7.000% due 09/15/23 900 992 8.375% due 06/15/24 75 96 Lowe's Cos., Inc. 6.875% due 02/15/28 520 594 Manufacturers & Traders Trust Co. 8.000% due 10/01/10 1,055 1,275 Monumental Global Funding II 3.850% due 03/03/08 515 521 Morgan Stanley 4.250% due 05/15/10 2,635 2,621 6.750% due 04/15/11 460 523 Motorola, Inc. 7.625% due 11/15/10 670 745 Nabisco, Inc. 6.375% due 02/01/05 855 896 Natexis Ambs Co. LLC 8.440% due 12/29/49 400 474 National Rural Utilities Cooperative Finance 5.750% due 08/28/09 1,205 1,307 Series MTNC 7.250% due 03/01/12 1,350 1,585
48 Fixed Income I Fund FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- NB Capital Trust IV 8.250% due 04/15/27 240 290 New England Telephone & Telegraph 7.875% due 11/15/29 430 538 News America Holdings 8.875% due 04/26/23 575 707 7.750% due 01/20/24 600 682 8.150% due 10/17/36 300 350 7.750% due 12/01/45 555 631 News America, Inc. 6.750% due 01/09/38 65 71 Nisource Finance Corp. 7.875% due 11/15/10 325 393 Norfolk Southern Corp. 6.200% due 04/15/09 1,300 1,456 7.050% due 05/01/37 475 544 Northern States Power Co. Series B 8.000% due 08/28/12 1,360 1,682 Occidental Petroleum Corp. 9.250% due 08/01/19 285 375 Ocean Energy, Inc. Series B 7.625% due 07/01/05 540 602 Ohio Power Co. 5.500% due 02/15/13 55 58 Oncor Electric Delivery Co. 7.250% due 01/15/33 330 383 Pemex Project Funding Master Trust 7.375% due 12/15/14 2,285 2,479 8.625% due 02/01/22 100 111 PNC Funding Corp. 7.500% due 11/01/09 945 1,130 PP&L, Inc. 6.500% due 04/01/05 120 130 Progress Energy, Inc. 6.750% due 03/01/06 685 756 7.750% due 03/01/31 130 159 7.000% due 10/30/31 270 303 Progressive Corp. (The) 6.375% due 01/15/12 590 662 6.250% due 12/01/32 845 914 Prudential Funding LLC 6.600% due 05/15/08 235 266 Raytheon Co. 6.300% due 03/15/05 1,095 1,173 Republic Services, Inc. 6.750% due 08/15/11 640 721 Resolution Funding Corp. Series A 8.125% due 10/15/19 425 574 8.875% due 07/15/20 1,995 2,885
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 8.625% due 01/15/21 880 1,215 8.625% due 01/15/30 240 367 Safeway, Inc. 7.250% due 02/01/31 65 73 Sears Roebuck Acceptance 7.000% due 06/01/32 90 92 Sempra Energy ESOP 6.000% due 02/01/13 410 436 Simon Property Group, LP 4.875% due 03/18/10 1,100 1,113 Sovereign Bank 5.125% due 03/15/13 640 634 Sprint Capital Corp. 7.125% due 01/30/06 625 659 6.125% due 11/15/08 2,015 2,055 8.375% due 03/15/12 100 111 6.875% due 11/15/28 2,360 2,183 8.750% due 03/15/32 900 986 SunTrust Banks, Inc. 6.250% due 06/01/08 160 180 6.000% due 02/15/26 1,100 1,193 Target Corp. 5.950% due 05/15/06 925 1,011 7.500% due 07/15/06 65 75 TCI Communications, Inc. 8.000% due 08/01/05 955 1,041 Tele-Communications-TCI Group 9.800% due 02/01/12 235 303 7.875% due 08/01/13 505 591 Telecomunicaciones de Puerto Rico, Inc. 6.650% due 05/15/06 375 400 Tenet Healthcare Corp. 6.375% due 12/01/11 620 589 7.375% due 02/01/13 470 466 Texaco Capital, Inc. 9.750% due 03/15/20 315 458 8.875% due 09/01/21 440 608 Time Warner, Inc. 7.975% due 08/15/04 450 479 6.875% due 06/15/18 1,050 1,102 Toys R US, Inc. 7.625% due 08/01/11 120 124 Transocean, Inc. 7.500% due 04/15/31 455 556 Travelers Property Casualty Corp. 5.000% due 03/15/13 240 244
Fixed Income I Fund 49 FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- UBS Preferred Funding Trust I (p) 8.622% due 10/29/49 525 652 Unilever Capital Corp. 5.900% due 11/15/32 440 464 Union Oil Co. of California Series MTNB 9.400% due 02/15/11 390 490 Union Pacific Corp. 6.125% due 01/15/12 480 530 United Technologies Corp. 7.000% due 09/15/06 800 910 Unitrin, Inc. 5.750% due 07/01/07 750 787 US Bank National Association Series BKNT 5.625% due 11/30/05 750 810 Verizon Florida, Inc. Series F 6.125% due 01/15/13 220 243 Verizon Pennsylvania, Inc. 8.350% due 12/15/30 645 838 Verizon Virginia, Inc. 8.375% due 10/01/29 405 529 Verizon Wireless Capital LLC 5.375% due 12/15/06 905 975 Viacom, Inc. 7.700% due 07/30/10 1,085 1,316 Virginia Electric and Power Co. Series A 5.375% due 02/01/07 1,300 1,398 Vornado Realty Trust 5.625% due 06/15/07 715 736 Wachovia Corp. 6.550% due 10/15/35 500 556 Washington Mutual Financial Corp. 6.875% due 05/15/11 750 864 Weyerhaeuser Co. 6.000% due 08/01/06 1,610 1,745 6.125% due 03/15/07 340 370 5.250% due 12/15/09 200 210 Wyeth 5.250% due 03/15/13 90 94 Zions BanCorp. 6.500% due 10/15/11 380 399 Zurich Capital Trust I 8.376% due 06/01/37 725 709 ------------ 218,728 ------------ International Debt - 6.9% Abbey National PLC Step Up Bond (p) 6.700% due 06/29/49 1,970 2,183
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- ACE, Ltd. 6.000% due 04/01/07 700 751 African Development Bank 6.875% due 10/15/15 775 924 8.800% due 09/01/19 535 736 Alberta Energy Co., Ltd. 8.125% due 09/15/30 470 611 Amvescap PLC 6.600% due 05/15/05 1,615 1,743 Asian Development Bank 6.250% due 10/24/05 400 438 AXA 8.600% due 12/15/30 1,710 2,060 Banque Centrale de Tunisie 8.250% due 09/19/27 900 965 British Telecommunications PLC 8.375% due 12/15/10 100 123 8.875% due 12/15/30 1,725 2,295 Canadian National Railway Co. 6.800% due 07/15/18 555 647 6.900% due 07/15/28 100 115 Chile Government International Bond 5.625% due 07/23/07 920 982 5.500% due 01/15/13 160 164 Conoco Funding Co. 6.350% due 10/15/11 2,235 2,533 Corp Andina de Fomento CAF Series EXCH 6.875% due 03/15/12 1,300 1,385 Den Norske Bank ASA 7.729% due 06/29/49 765 897 Deutsche Telekom International Finance BV 8.250% due 06/15/05 1,315 1,461 8.500% due 06/15/10 480 579 8.750% due 06/15/30 2,565 3,170 Diageo Capital PLC 6.125% due 08/15/05 825 902 Finland Government International Bond 5.875% due 02/27/06 70 77 France Telecom 8.700% due 03/01/06 850 965 9.250% due 03/01/11 1,700 2,079 Granite Mortgages PLC (E) Series 2002-2 Class 1A1 (Y) 1.439% due 01/20/17 2,561 2,561 Series 2003-1 Class 1A2 1.519% due 01/20/20 3,475 3,476
50 Fixed Income I Fund FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Holmes Financing PLC (E) Series 2001-3 Class 2A 1.449% due 01/15/07 2,485 2,483 Series 2002-6 Class 2A (Y) 1.459% due 04/15/08 4,600 4,603 Hutchison Whampoa International 03/13, Ltd. 6.500% due 02/13/13 500 507 Hydro Quebec Series GH 8.250% due 04/15/26 605 823 Inter-American Development Bank 3.875% due 09/27/04 1,400 1,448 6.950% due 08/01/26 625 764 Italy Government International Bond Series INTL 6.000% due 02/22/11 2,010 2,286 Korea Development Bank 5.250% due 11/16/06 1,290 1,362 4.250% due 11/13/07 140 141 5.500% due 11/13/12 25 26 Medallion Trust (E)(Y) Series 2003-1G Class A 1.476% due 12/21/33 1,650 1,651 Mexico Government International Bond 8.375% due 01/14/11 3,435 4,096 6.375% due 01/16/13 1,100 1,152 11.375% due 09/15/16 1,300 1,859 8.125% due 12/30/19 940 1,061 8.300% due 08/15/31 360 407 National Westminster Bank PLC 7.375% due 10/01/09 880 1,058 National Westminster Bank PLC Step Up Bond (p) 7.750% due 04/29/49 1,175 1,351 Pearson PLC 7.000% due 06/15/11 155 176 Permanent Financing PLC 4.200% due 06/10/05 5,680 5,916 Petroleos Mexicanos 9.500% due 09/15/27 315 376 Province of Manitoba 5.500% due 10/01/08 60 67 9.250% due 04/01/20 335 496 Province of New Brunswick 9.750% due 05/15/20 320 492 Province of Newfoundland 10.000% due 12/01/20 150 231 Province of Nova Scotia 9.125% due 05/01/21 685 1,006
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Province of Ontario 7.625% due 06/22/04 400 428 5.500% due 10/01/08 100 111 Province of Quebec 7.500% due 07/15/23 1,105 1,396 7.125% due 02/09/24 1,145 1,400 Province of Saskatchewan 8.000% due 07/15/04 1,290 1,389 7.375% due 07/15/13 870 1,092 Royal Bank of Scotland Group PLC (p) 7.648% due 08/31/49 150 182 Series 1 9.118% due 03/31/49 300 379 Royal KPN NV 8.000% due 10/01/10 1,725 2,068 Santander Central Hispano Issuances, Ltd. 7.625% due 09/14/10 175 207 Santander Financial Issuances 6.800% due 07/15/05 150 165 6.375% due 02/15/11 160 175 Sappi Papier Holding AG 6.750% due 06/15/12 205 231 Skandinaviska Enskilda Banken AB 6.875% due 02/15/09 520 594 Standard Chartered Bank 8.000% due 05/30/31 600 723 Stora Enso Oyj 7.375% due 05/15/11 225 264 Telefonica Europe BV 8.250% due 09/15/30 820 1,063 TPSA Finance BV 7.750% due 12/10/08 360 380 Vodafone Group PLC 7.750% due 02/15/10 1,375 1,661 6.250% due 11/30/32 860 918 XL Capital Europe PLC 6.500% due 01/15/12 380 420 ------------ 85,906 ------------ Mortgage-Backed Securities - 42.2% Ameriquest Mortgage Securities, Inc. (E) Series 2000-2 Class A 1.610% due 07/15/30 607 607 Asset Backed Funding Corp. NIM Trust Series 2002-NC1 Class N1 8.840% due 08/25/32 296 297
Fixed Income I Fund 51 FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Bear Stearns Adjustable Rate Mortgage Trust (E) Series 2000-2 Class A1 4.406% due 11/25/30 40 41 Bear Stearns Asset Backed Securities, Inc. (E) Series 2002-1 Class 1A1 1.520% due 12/25/34 391 392 Bear Stearns Commercial Mortgage Securities Series 2003-T10 Class A1 4.000% due 03/13/40 2,310 2,344 CDC Commercial Mortgage Trust Series 2002-FX1 Class A1 5.252% due 05/15/19 1,776 1,885 Centex Home Equity (E)(Y) Series 2003-A Class AV1 1.600% due 03/25/33 1,312 1,313 Champion Home Equity Loan Trust (E) Series 1999-3 Class IIA 1.720% due 09/25/29 951 951 Chase Funding Loan Acquisition Trust (E) Series 2002-C1 Class IA1 1.460% due 01/25/19 51 51 COMM Series 1999-1 Class A1 6.145% due 05/15/32 1,598 1,720 Commercial Mortgage Acceptance Corp. Series 1998-C2 Class A2 6.030% due 09/15/30 1,205 1,332 CS First Boston Mortgage Securities Corp. (E) Series 2000-HE1 Class A2 1.570% due 12/15/30 116 116 Series 2002-10 Class 2A1 7.500% due 05/25/32 668 706 Series 2002-18 Class 1AIO 7.500% due 06/25/32 1,600 171 Series 2003-CK2 Class A4 (Y) 4.801% due 03/15/36 1,080 1,103 Federal Home Loan Mortgage Corp. 15 Year Gold TBA 4.50% (eth) 3,240 3,268 30 Year TBA 6.00% (eth) 26,345 27,324 5.50% (eth) 18,460 18,962 6.50% (eth) 9,510 9,920 7.50% (eth) 605 645 7.000% due 2008 82 87
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 8.000% due 2009 29 31 6.000% due 2010 80 84 7.000% due 2010 412 440 8.000% due 2010 55 59 6.000% due 2011 763 801 7.000% due 2011 49 52 6.000% due 2012 22 23 6.000% due 2013 421 441 12.000% due 2014 61 70 6.000% due 2016 4,833 5,050 9.000% due 2016 256 285 12.500% due 2016 38 44 6.000% due 2017 4,780 4,997 9.000% due 2017 3 3 9.000% due 2018 427 481 9.000% due 2020 210 231 6.500% due 2024 1,741 1,828 7.500% due 2024 24 26 6.500% due 2025 108 113 8.000% due 2025 214 232 8.500% due 2025 139 151 9.000% due 2025 33 36 9.000% due 2026 2 3 4.584% due 2027 177 182 8.500% due 2027 393 429 6.500% due 2028 2,208 2,302 6.500% due 2029 2,401 2,509 7.500% due 2029 3 4 7.843% due 2030 61 63 7.500% due 2031 216 230 6.500% due 2032 883 922 7.000% due 2032 3,963 4,179 7.500% due 2032 1,181 1,260 Series 1986-K Class 5 7.760% due 05/01/12 520 555 Series 1993-1606 Class I 6.500% due 11/15/08 634 66 Series 1998-2104 Class ZM 6.000% due 12/15/28 1,296 1,371 Series 2000-2266 Class F 1.760% due 11/15/30 141 142 Federal Home Loan Mortgage Corp. Structured Pass Through Securities (E) Series 2001-34 Class A1V 1.440% due 07/25/31 1,678 1,681 Series 2001-35 Class A 1.460% due 09/25/31 1,208 1,212 Series 2003-54 Class 3AIO (Y) 0.825% due 02/25/43 12,800 333
52 Fixed Income I Fund FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Federal National Mortgage Association 15 Year TBA 4.50% (eth) 3,585 3,630 5.00% (eth) 1,000 1,022 5.50% (eth) 25,810 26,830 6.00% (eth) 12,100 12,679 30 Year TBA 5.00% (eth) 49,410 50,224 5.50% (eth) 37,170 38,088 6.00% (eth) 3,440 3,561 6.00% (eth) 11,740 12,184 7.00% (eth) 5,385 5,688 7.50% (eth) 1,220 1,301 6.500% due 2004 32 33 8.000% due 2006 10 10 7.200% due 2007 937 1,066 10.500% due 2010 1 1 7.000% due 2011 42 44 8.000% due 2011 31 34 5.500% due 2013 53 56 7.000% due 2015 48 51 6.000% due 2016 2,650 2,777 5.500% due 2017 1,697 1,767 6.000% due 2017 36,205 37,946 7.500% due 2017 6 6 8.000% due 2017 8 9 9.000% due 2017 113 126 6.000% due 2018 309 324 8.500% due 2018 55 59 7.500% due 2022 5 5 6.500% due 2023 113 118 7.000% due 2023 834 888 7.500% due 2023 16 17 6.500% due 2024 805 846 7.500% due 2024 415 444 8.000% due 2024 650 711 8.500% due 2024 130 141 9.000% due 2024 24 26 6.500% due 2025 57 60 7.000% due 2025 198 209 7.500% due 2025 159 170 8.000% due 2025 27 30 8.500% due 2025 117 128 7.000% due 2026 220 233 7.500% due 2026 8 8 9.000% due 2026 43 47 7.000% due 2027 61 65 7.500% due 2027 35 37 9.000% due 2027 2 3 6.500% due 2028 5,926 6,187
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 7.500% due 2028 108 116 5.500% due 2029 2,855 2,942 6.500% due 2029 14,120 14,755 7.500% due 2029 466 495 6.500% due 2030 399 416 7.500% due 2030 13 14 8.000% due 2030 1,238 1,342 6.500% due 2031 760 792 7.500% due 2031 1,336 1,421 8.000% due 2031 1,484 1,602 7.000% due 2032 9,746 10,296 7.500% due 2032 1,911 2,032 8.000% due 2032 92 99 6.000% due 2033 1,148 1,196 6.500% due 2033 2,740 2,863 3.335% due 2040 162 166 Series 1992-158 Class ZZ 7.750% due 08/25/22 679 765 Series 1993-134 Class H 6.500% due 08/25/08 1,930 2,143 Series 1997-55 Class ZA 7.000% due 04/18/27 3,417 3,446 Series 1997-81 Class PC 5.000% due 04/18/27 800 817 Federal National Mortgage Association Grantor Trust (E) Series 2001-T13 Class A1 1.480% due 03/25/32 1,189 1,189 Series 2001-T6 Class B 6.088% due 05/25/11 2,460 2,782 Series 2002-T13 Class A1 1.420% due 08/25/32 53 53 Series 2002-T5 Class A1 1.440% due 05/25/32 5,895 5,909 Series 2002-T7 Class A1 1.430% due 07/25/32 1,292 1,291 Federal National Mortgage Association Whole Loan Series 2002-W1 Class 2AIO 0.620% due 04/25/42 18,969 564 Series 2002-W11 Class AV1 1.490% due 11/25/32 4,013 4,020 Series 2002-W2 Class AV1 1.450% due 06/25/32 2,862 2,869 Series 2002-W3 Class A2 5.500% due 10/25/21 5,465 5,706 Series 2002-W6 Class 2AIO 0.397% due 06/25/42 15,016 282 Series 2003-W3 Class 2A2 3.730% due 06/25/42 2,575 2,576
Fixed Income I Fund 53 FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 2003-W4 Class 1A2 3.063% due 04/25/38 1,720 1,727 Series 2003-W5 Class A 1.391% due 04/25/33 4,380 4,381 Federal National Mortgage Association-Aces Series 1998-M4 Class B 6.424% due 12/25/23 1,101 1,148 Series 1999-M4 Class A 7.269% due 12/25/09 611 625 Series 2000-M1 Class A 7.385% due 01/17/13 1,029 1,098 First Nationwide Trust (E) Series 2001-4 Class 3A5 1.920% due 09/25/31 1,029 1,031 First Union Commercial Mortgage Securities, Inc. Series 1997-C2 Class A3 6.650% due 11/18/29 650 730 Freddie Mac 15 Year Gold TBA 5.00% (eth) 6,300 6,466 5.50% (eth) 705 731 30 Year Gold TBA 5.50% (eth) 22,835 23,355 GMAC Commercial Mortgage Securities, Inc. Series 1999-C2 Class A1 6.570% due 09/15/33 1,827 1,995 Government National Mortgage Association 30 Year TBA 6.00% (eth) 2,200 2,294 7.00% (eth) 3,285 3,483 8.50% (eth) 590 638 Series 2002-61 Class A 3.261% due 12/16/16 2,451 2,501 Series 2002-61 Class BA 4.648% due 03/16/26 1,325 1,370 Series 2002-91 Class C 4.655% due 02/16/27 1,760 1,817 Government National Mortgage Association I 30 Year TBA 5.50% (eth) 1,925 1,983 6.00% (eth) 20,635 21,628 8.500% due 2005 6 7 6.500% due 2008 34 37 6.500% due 2009 219 235 6.500% due 2010 28 30
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 7.000% due 2011 59 63 9.500% due 2016 53 60 8.000% due 2017 43 47 10.500% due 2020 234 269 8.000% due 2022 95 104 8.500% due 2022 8 9 8.500% due 2024 57 62 8.000% due 2025 99 108 6.500% due 2027 51 54 6.500% due 2028 3,446 3,621 6.500% due 2029 878 925 8.000% due 2029 312 336 8.500% due 2029 405 438 7.500% due 2030 1,277 1,364 8.000% due 2030 102 110 8.500% due 2030 99 107 6.500% due 2031 707 743 7.000% due 2031 480 508 7.500% due 2031 458 489 8.000% due 2031 762 824 6.500% due 2032 2,337 2,458 7.000% due 2032 5,109 5,414 7.500% due 2032 1,367 1,460 8.000% due 2032 411 444 Government National Mortgage Association II (E) 5.625% due 2023 439 449 5.625% due 2024 438 449 5.625% due 2027 211 216 4.500% due 2030 179 182 5.000% due 2030 952 979 7.500% due 2032 379 402 GS Mortgage Securities Corp. II Series 1997-GL Class A2A 6.940% due 07/13/30 22 22 Series 2003-C1 Class A3 4.608% due 01/10/40 2,320 2,327 GSAMP Trust (Y) Series 2002-NC1N Class NOTE 8.500% due 07/25/32 445 443 GSRPM Mortgage Loan Trust (E)(Y) Series 2003-1 Class A1 1.625% due 01/25/32 972 972 HFC Home Equity Loan Asset Backed Certificates (E) Series 2001-1 Class A 1.610% due 01/20/31 494 494 HSBC Mortgage Loan Trust Series 2000-HSB1 Class A3 7.110% due 12/16/30 409 410
54 Fixed Income I Fund FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Irwin Home Equity (E) Series 2002-A Class 2A1 1.470% due 07/25/14 262 262 JP Morgan Chase Commercial Mortgage Securities Corp. Series 2002-CIB5 Class A1 4.372% due 10/12/37 3,192 3,289 Series 2003-C1 Class A2 4.985% due 01/12/37 975 1,009 JP Morgan Commercial Mortgage Finance Corp. Series 1997-C5 Class A3 7.088% due 09/15/29 2,000 2,264 LB-UBS Commercial Mortgage Trust Series 2001-C3 Class A1 6.058% due 06/15/20 656 716 MASTR Alternative Loans Trust 7.000% due 12/25/32 863 898 Merrill Lynch Mortgage Investors, Inc. (E) Series 2003-WMC1 Class A2 1.680% due 11/25/33 1,524 1,526 Option One Mortgage Loan Trust (E) Series 2003-2 Class A2 1.620% due 04/25/33 1,060 1,065 Option One Mortgage Securities Corp. NIM Trust Series 2002-3 Class CTFS 1.620% due 04/26/09 480 480 Pacificamerica Home Equity Loan Series 1998-2 Class AF 6.590% due 06/26/28 293 309 PNC Mortgage Securities Corp. Series 2000-9 Class A3 7.190% due 09/25/05 99 99 Prudential Commercial Mortgage Trust Series 2003-PWR1 Class A2 4.493% due 02/11/36 1,860 1,858 Prudential Home Mortgage Securities Series 1992-38 Class A8 6.950% due 11/25/22 1,607 1,604 Renaissance Home Equity Loan Trust (E) Series 2002-1 Class AF1 1.480% due 06/25/32 8 8 Residential Asset Mortgage Products, Inc. Series 2002-RZ4 Class AIO 5.750% due 04/25/05 3,060 200
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Residential Asset Securities Corp. (E) Series 2002-KS2 Class AI1 1.460% due 10/25/17 239 239 Series 2003-KS2 Class AI1 1.420% due 08/25/19 2,627 2,625 Residential Asset Securitization Trust Series 2002-L8 Class A 1.500% due 08/25/35 533 532 Residential Funding Mortgage Securities II Series 2000-HI5 Class AII 7.210% due 12/25/25 682 712 Salomon Brothers Mortgage Securities VII Series 1994-16 Class A 6.283% due 08/25/24 164 164 Saxon Asset Securities Trust (E) Series 2001-3 Class AV2 1.600% due 08/25/31 1,375 1,375 Small Business Administration Series 1999-P10B Class 1 7.540% due 08/10/09 3,323 3,797 Structured Asset Securities Corp. (E) Series 2003-BC1 Class A 1.836% due 05/25/32 2,038 2,046 Washington Mutual Series 1999-WM1 Class 3A2 6.396% due 10/19/39 1,269 1,273 Series 2001-1 Class A 4.055% due 01/25/41 30 30 Wells Fargo Mortgage Backed Securities Trust (E) Series 2001-34 Class 3A 5.974% due 01/25/32 717 720 ------------ 526,776 ------------ Municipal Bonds - 0.5% California State General Obligation Unlimited, weekly demand 5.250% due 02/01/33 100 101 Clark County Nevada General Obligation Limited, weekly demand (u) 5.000% due 06/01/26 1,600 1,642 Energy Northwest Revenue Bonds 5.500% due 07/01/13 200 226 5.500% due 07/01/14 200 227
Fixed Income I Fund 55 FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Golden State Tobacco Securitization Corp. Revenue Bonds, weekly demand 6.250% due 06/01/33 1,000 877 Lower Colorado River Authority Revenue Bonds, weekly demand (u) 5.000% due 05/15/31 200 203 New York State Dormitory Authority Revenue Bonds 5.250% due 07/01/11 700 779 Tobacco Settlement Financing Corp. Revenue Bonds, weekly demand 6.125% due 06/01/24 300 274 6.750% due 06/01/39 1,200 1,060 University of Texas Revenue Bonds, weekly demand 5.000% due 08/15/33 200 205 ------------ 5,594 ------------ United States Government Agencies - 6.6% Federal Home Loan Bank 3.375% due 06/15/04 2,600 2,663 2.500% due 03/15/06 4,690 4,742 5.375% due 02/15/07 760 834 Federal Home Loan Mortgage Corp. 4.875% due 03/15/07 5,320 5,770 7.000% due 03/15/10 3,415 4,121 5.125% due 07/15/12 2,795 3,001 5.125% due 08/20/12 8,685 8,917 6.750% due 03/15/31 1,972 2,409 6.250% due 07/15/32 1,067 1,231 Federal Housing Authority: Project Citi 68 (E)(Y) 7.000% due 06/27/21 816 843 Federal National Mortgage Association 1.875% due 12/15/04 12,265 12,348 5.500% due 02/15/06 5,815 6,351 5.500% due 07/18/06 8,060 8,125 4.375% due 10/15/06 2,980 3,177 4.750% due 06/18/07 1,995 2,060 6.400% due 05/14/09 5 5 6.625% due 09/15/09 1,850 2,174 7.250% due 01/15/10 2,015 2,443 6.000% due 05/15/11 3,615 4,116 6.125% due 03/15/12 455 523 7.250% due 05/15/30 2,000 2,571 6.210% due 08/06/38 570 656 Financing Corp. STRIP Principal 0.000% due 12/06/18 750 326 0.000% due 12/27/18 2,605 1,129
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 0.000% due 04/05/19 1,605 682 0.000% due 09/26/19 1,075 442 Tennessee Valley Authority 6.375% due 06/15/05 850 932 ------------ 82,591 ------------ United States Government Treasuries - 18.3% United States Treasury Inflation Indexed Bonds 3.875% due 01/15/09 6,574 7,385 4.250% due 01/15/10 109 125 3.375% due 01/15/12 928 1,025 3.000% due 07/15/12 6,821 7,326 3.875% due 04/15/29 111 135 United States Treasury Note 7.875% due 11/15/04 15,725 17,286 6.750% due 05/15/05 820 906 6.500% due 08/15/05 1,165 1,293 4.625% due 05/15/06 9,235 9,947 7.000% due 07/15/06 21,535 24,792 6.500% due 10/15/06 2,595 2,963 3.500% due 11/15/06 9,180 9,569 4.375% due 05/15/07 15,095 16,197 3.250% due 08/15/07 14,580 14,978 6.125% due 08/15/07 4,480 5,125 3.000% due 11/15/07 1,835 1,860 5.625% due 05/15/08 15,040 16,984 6.000% due 08/15/09 435 504 10.375% due 11/15/09 460 522 6.500% due 02/15/10 3,790 4,512 11.750% due 02/15/10 3,165 3,734 5.000% due 02/15/11 3,195 3,505 13.875% due 05/15/11 3,365 4,526 5.000% due 08/15/11 270 296 14.000% due 11/15/11 1,590 2,220 4.375% due 08/15/12 2,575 2,689 10.375% due 11/15/12 2,840 3,763 12.500% due 08/15/14 1,220 1,854 8.750% due 05/15/17 2,150 3,126 8.875% due 08/15/17 6,939 10,197 8.875% due 02/15/19 12,565 18,671 8.125% due 08/15/21 385 545 6.000% due 02/15/26 4,840 5,591 6.625% due 02/15/27 2,105 2,620 6.375% due 08/15/27 4,715 5,706 5.250% due 11/15/28 3,385 3,558
56 Fixed Income I Fund FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 6.125% due 08/15/29 2,190 2,588 6.250% due 05/15/30 2,185 2,633 United States Treasury STRIP Principal 0.000% due 11/15/09 125 98 0.000% due 05/15/16 7,700 4,202 0.000% due 11/15/21 6,570 2,523 ------------ 228,079 ------------ TOTAL LONG-TERM INVESTMENTS (cost $1,296,714) 1,341,645 ------------ PREFERRED STOCKS - 0.1% Financial Services - 0.1% Centaur Funding Corp. 850 994 ------------ TOTAL PREFERRED STOCKS (cost $910) 994 ------------ SHORT-TERM INVESTMENTS - 15.3% Allete, Inc. (E) 2.179% due 10/20/03 100 100 ANZ Delaware, Inc. (c)(y) 1.230% due 07/22/03 2,400 2,393 Barclays U S Fund 1.255% due 05/19/03 8,300 8,295 Bundesschatzanweisungen 4.250% due 06/13/03 4,400 4,919 Countrywide Home Loans Inc (E) 1.589% due 06/03/03 3,200 3,199 DaimlerChrysler Financial Services North America LLC (E) Series MTNR 1.431% due 06/18/03 1,600 1,599 DaimlerChrysler NA Holding Corp. (E) Series MTNC 1.570% due 08/21/03 1,600 1,599 Danske Corp. Commercial Paper (c)(y) 1.250%due 06/16/03 500 499 1.240% due 07/14/03 300 299 Deutsche Bundesrepublik 6.000% due 09/15/03 4,730 5,345 Federal Home Loan Bank 3.750% due 04/15/04 17,030 17,440 Federal Home Loan Mortgage Corp. 3.250% due 01/15/04 1,650 1,674 7.000% due 2003 1 1
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Federal National Mortgage Association 7.000% due 2003 58 59 7.500% due 2003 39 40 Ford Motor Credit Co. (E) 1.560% due 06/20/03 2,200 2,198 Frank Russell Investment Company Money Market Fund 117,965 117,965 French Treasury Note BTAN 4.500% due 07/12/03 5,391 6,037 General Motors Acceptance Corp. (E) 1.604% due 07/21/03 300 300 1.649% due 11/07/03 1,000 997 2.049% due 01/20/04 600 599 HBOS Treasury Services PLC Commercial Paper (E) 1.265% due 05/07/03 1,000 1,000 1.255% due 05/08/03 3,700 3,699 1.240% due 7/02/03 500 499 Italy Buoni Poliennali Del Tesoro 4.500% due 07/15/03 5,391 6,042 KFW International Finance Inc. 1.240% due 06/12/03 1,400 1,398 Pemex Finance, Ltd. 6.125% due 11/15/03 400 406 Spieker Properties, Inc. 6.900% due 01/15/04 500 517 UBS Finance, Inc. Years 3 & 4 Commercial Paper (c)(y) 1.240% due 05/21/03 600 600 United States Treasury Bill (c)(y) 1.146% due 05/08/03 (s) 45 45 1.090% due 05/15/03 (s) 200 200 1.110% due 05/15/03 (s) 20 20 1.115% due 05/15/03 (s) 60 60 1.117% due 05/15/03 (s) 20 20 1.120% due 05/15/03 (s) 40 40 1.152% due 05/15/03 (s) 50 50 1.153% due 05/15/03 (s) 50 50 1.100% due 10/02/03 225 224 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $188,848) 190,427 ------------ TOTAL INVESTMENTS - 122.9% (cost $1,486,472) 1,533,066 ------------
Fixed Income I Fund 57 FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- REPURCHASE AGREEMENT - 0.0% Agreement with Credit Suisse First Boston Corp. of $1,000 acquired on April 30, 2003 at 1.200% to be repurchased on May 1, 2003, collateralized by: $1,025 United States Treasury Obligation, valued at $1,025 1,000 1,000 ------------ TOTAL REPURCHASE AGREEMENT (cost $1,000) 1,000 ------------ TOTAL INVESTMENTS AND REPURCHASE AGREEMENT - 122.9% (identified cost $1,487,472) 1,534,066 OTHER ASSETS AND LIABILITIES NET - (22.9%) (286,283) ------------ NET ASSETS - 100.0% 1,247,783 ============
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Eurodollar Futures expiration date 03/04 (76) 18,721 98 expiration date 06/04 (5) 1,228 4 expiration date 09/04 (5) 1,224 4 expiration date 12/04 (5) 1,219 3 Three Month LIBOR Futures (UK) expiration date 03/04 (20) 2,412 (3) United States Treasury Bonds expiration date 06/03 (1) 114 3 United States Treasury 2 Year Notes expiration date 06/03 (15) 3,238 9 United States Treasury 5 Year Notes expiration date 06/03 (53) 6,029 45 United States Treasury 10 Year Notes expiration date 06/03 (134) 15,427 73 Short Positions Euribor Futures (Germany) expiration date 12/03 (31) 7,362 13 expiration date 03/04 (10) 5 2 United States Treasury Bonds expiration date 06/03 (53) 6,044 24 United States Treasury 5 Year Notes expiration date 06/03 (75) 8,531 (40) United States Treasury 10 Year Notes expiration date 06/03 (9) 1,036 (1) ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 234 ============
See accompanying notes which are an integral part of the financial statements. 58 Fixed Income I Fund FIXED INCOME I FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
NOTIONAL MARKET OPTIONS WRITTEN AMOUNT VALUE (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Eurodollar Futures Jun 2003 99.00 Call (9) 23 (1) Dec 2003 98.00 Put (27) 68 (2) Mar 2004 97.75 Put (10) 25 (2) United States Treasury Notes 10 Year Futures May 2003 110.00 Put (67) 67 (2) Aug 2003 110.00 Put (65) 65 (34) Aug 2003 117.00 Call (14) 14 (8) ------------ Total Liability for Options Written (premiums received $119) (49) ============
FOREIGN CURRENCY EXCHANGE CONTRACTS ------------------------------------------------------------------------- UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- EUR 5,776 USD 6,200 5/15/03 (242) EUR 169 USD 182 5/15/03 (7) EUR 169 USD 182 5/15/03 (7) -------------- (256) ==============
See accompanying notes which are an integral part of the financial statements. Fixed Income I Fund 59 FIXED INCOME III FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- LONG-TERM INVESTMENTS - 92.2% Asset-Backed Securities - 5.0% Air 2 US 8.027% due 10/01/19 262 132 American Airlines, Inc. 9.710% due 01/02/07 207 60 6.817% due 05/23/11 105 75 7.379% due 05/23/16 357 103 BMW Vehicle Owner Trust Series 2002-A Class A2 2.830% due 12/27/04 138 139 Chase Funding Mortgage Loan Asset-Backed Certificates Series 2003-1 Class 1A1 2.005% due 02/25/17 386 386 Chase Manhattan Auto Owner Trust Series 2002-A Class A2 2.630% due 10/15/04 124 124 Series 2002-B Class A2 2.700% due 01/18/05 268 269 Citibank Credit Card Issuance Trust Series 2000-A3 Class A3 6.875% due 11/16/09 200 230 Series 2003-A3 Class A3 3.100% due 03/10/10 275 272 Continental Airlines, Inc. 7.033% due 06/15/11 422 221 6.900% due 01/02/18 212 181 6.545% due 02/02/19 205 178 Daimler Chrysler Auto Trust Series 2000-E Class A3 6.110% due 11/08/04 174 175 Series 2001-C Class A2 3.710% due 07/06/04 99 99 Series 2002-A Class A2 2.900% due 12/06/04 319 320 Delta Air Lines, Inc. 7.299% due 09/18/06 100 65 Ford Credit Auto Owner Trust Series 2001-B Class A4 5.120% due 10/15/04 240 242 Series 2002-B Class A2A 2.970% due 06/15/04 170 170 Series 2003-A Class A2A 1.620% due 08/15/05 300 300 General Motors Acceptance Corp. (E) 1.699% due 07/30/04 1,600 1,581 Harley-Davidson Motorcycle Trust Series 2002-2 Class A1 1.910% due 04/15/07 271 272 Series 2003-1 Class A1 1.560% due 05/15/07 274 274
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Honda Auto Receivables Owner Trust Series 2002-2 Class A2 2.910% due 09/15/04 276 277 Series 2002-4 Class A2 1.660% due 06/15/05 300 300 Series 2003-1 Class A2 1.460% due 09/19/05 350 350 International Lease Finance Corp. 5.875% due 05/01/13 160 162 Kern River Funding Corp. 4.893% due 04/30/18 180 181 Lehman ABS Manufactured Housing Contract Series 2001-B Class A1 3.010% due 03/15/10 109 110 MBNA Credit Card Master Note Trust Series 2001-C3 Class C3 6.550% due 12/15/08 185 200 MBNA Master Credit Card Trust USA Series 2000-E Class A 7.800% due 10/15/12 705 850 Niagara Mohawk Power Corp. 7.625% due 10/01/05 435 484 Nissan Auto Receivables Owner Trust Series 2002-B Class A2 3.070% due 08/16/04 193 194 Prudential Holdings LLC 8.695% due 12/18/23 170 206 Sharps Special I LLC Trust (Y) Series 2002 9.500% due 08/25/32 112 111 Small Business Administration 7.449% due 08/01/10 398 454 7.500% due 04/01/17 3,468 3,934 Systems 2001 AT LLC 7.156% due 12/15/11 194 210 6.664% due 09/15/13 170 186 Whole Auto Loan Trust Series 2002-1 Class A2 1.880% due 06/15/05 350 351 World Financial Properties 6.950% due 09/01/13 242 268 ------------ 14,696 ------------
60 Fixed Income III Fund FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Corporate Bonds and Notes - 20.6% Aetna, Inc. 7.875% due 03/01/11 150 176 Ahold Finance USA, Inc. 8.250% due 07/15/10 230 203 AIG SunAmerica Global Financing IX 6.900% due 03/15/32 200 236 Albertson's, Inc. 7.500% due 02/15/11 80 93 7.450% due 08/01/29 20 23 Allied Waste North America Series B 7.875% due 01/01/09 680 702 Amerada Hess Corp. 7.300% due 08/15/31 380 425 American Airlines, Inc. Series 90-P 10.600% due 03/04/09 1,013 355 American Electric Power Co., Inc. Series C 5.375% due 03/15/10 80 83 American Greetings 11.750% due 07/15/08 95 109 Anthem Insurance Cos., Inc. 9.125% due 04/01/10 145 177 AOL Time Warner, Inc. 6.750% due 04/15/11 30 33 7.625% due 04/15/31 2,540 2,801 7.700% due 05/01/32 180 200 AON Corp. 7.375% due 12/14/12 125 140 Appalachian Power Co. 5.950% due 05/15/33 20 20 ArvinMeritor, Inc. 6.625% due 06/15/07 45 45 8.750% due 03/01/12 85 92 ASIF Global Financing 4.900% due 01/17/13 190 194 AT&T Corp. 7.000% due 11/15/06 305 327 7.800% due 11/15/11 180 197 8.125% due 01/15/22 160 161 8.500% due 11/15/31 185 206 AT&T Wireless Services, Inc. 8.125% due 05/01/12 30 35 8.750% due 03/01/31 110 137 Avista Corp. 9.750% due 06/01/08 220 244 AXA Financial, Inc. 7.000% due 04/01/28 160 173 BAE Systems Holdings, Inc. 6.400% due 12/15/11 495 522
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Bank of America Corp. 7.800% due 02/15/10 15 18 Series MTNI 1.609% due 10/22/04 575 577 Bank One Corp. 7.625% due 10/15/26 95 117 BankBoston Corp. Series B 8.250% due 12/15/26 120 137 BCI US Funding Trust Step Up Bond 8.010% due 12/29/49 320 363 Belo Corp. 8.000% due 11/01/08 60 71 Boeing Capital Corp. 6.100% due 03/01/11 245 258 5.800% due 01/15/13 95 98 Boeing Co. (The) 6.625% due 02/15/38 15 16 Boston Properties, Inc. 6.250% due 01/15/13 45 48 Burlington Northern Santa Fe Corp. 6.875% due 12/01/27 185 207 Campbell Soup Co. 5.875% due 10/01/08 115 129 Carolina Power & Light Co. 6.500% due 07/15/12 65 74 Cendant Corp. 6.250% due 03/15/10 100 106 7.375% due 01/15/13 270 296 7.125% due 03/15/15 55 61 CenterPoint Energy Houston Electric LLC 5.700% due 03/15/13 110 117 CenterPoint Energy Resources Corp. 7.875% due 04/01/13 900 1,033 Cigna Corp. 6.375% due 10/15/11 65 70 Cincinnati Financial Corp. 6.900% due 05/15/28 600 657 Cincinnati Gas & Electric 5.700% due 09/15/12 50 53 CIT Group, Inc. 5.625% due 05/17/04 600 620 6.500% due 02/07/06 150 162 6.875% due 11/01/09 55 61
Fixed Income III Fund 61 FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Citicorp Series MTNF 6.375% due 11/15/08 270 304 Citigroup, Inc. 3.500% due 02/01/08 570 573 7.250% due 10/01/10 310 368 5.625% due 08/27/12 65 70 5.875% due 02/22/33 215 221 Citizens Communications Co. 6.375% due 08/15/04 185 194 Clear Channel Communications, Inc. 6.000% due 11/01/06 40 43 7.650% due 09/15/10 95 111 Columbus Southern Power Co. 5.500% due 03/01/13 50 52 Comcast Cable Communications 8.375% due 05/01/07 360 416 6.750% due 01/30/11 45 50 Comcast Corp. 5.850% due 01/15/10 80 85 7.050% due 03/15/33 160 174 Conoco, Inc. 6.950% due 04/15/29 160 187 Consolidated Natural Gas Co. Series C 6.250% due 11/01/11 80 89 Constellation Energy Group, Inc. 7.600% due 04/01/32 75 90 Consumers Energy Co. 6.000% due 03/15/05 100 107 5.375% due 04/15/13 20 20 Countrywide Home Loans, Inc. Series MTNK 5.500% due 02/01/07 70 76 COX Communications, Inc. 7.125% due 10/01/12 75 88 Credit Suisse First Boston USA, Inc. 4.625% due 01/15/08 240 252 CS First Boston Mortgage Securities Corp. 6.500% due 04/25/33 528 544 CSC Holdings, Inc. Series B 8.125% due 08/15/09 500 530 DaimlerChrysler NA Holding Corp. 8.500% due 01/18/31 100 125 Delta Air Lines, Inc. 7.900% due 12/15/09 150 104 9.750% due 05/15/21 60 37 Detroit Edison Co. 6.350% due 10/15/32 180 198
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Devon Financing Corp. ULC 6.875% due 09/30/11 145 167 7.875% due 09/30/31 35 43 Di Giorgio Corp. Series B 10.000% due 06/15/07 200 200 Dominion Resources, Inc. Series B 6.250% due 06/30/12 60 66 DPL, Inc. 8.250% due 03/01/07 150 160 DR Horton, Inc. 6.875% due 05/01/13 80 82 Dresdner Funding Trust I 8.151% due 06/30/31 200 208 Duke Capital Corp. 7.500% due 10/01/09 205 228 6.250% due 02/15/13 305 314 Duke Energy Field Services LLC 5.750% due 11/15/06 40 42 6.875% due 02/01/11 20 22 Eastman Chemical Co. 7.000% due 04/15/12 45 51 Echostar DBS Corp. 9.375% due 02/01/09 555 601 EL Paso Corp. 7.875% due 06/15/12 300 266 El Paso Energy Partners, LP 8.500% due 06/01/10 155 167 Eli Lilly & Co. 6.770% due 01/01/36 340 401 Enterprise Products Partners, LP 6.875% due 03/01/33 180 192 EOP Operating, LP 7.500% due 04/19/29 120 137 Equitable Resources, Inc. 5.150% due 03/01/18 280 288 Erac USA Finance Co. 7.350% due 06/15/08 105 119 Evergreen Funding, Ltd. (E)(Y) Series REGS 1.811% due 11/15/10 435 283 Exelon Corp. 6.750% due 05/01/11 45 51 Farmers Exchange Capital 7.050% due 07/15/28 250 194 Farmers Insurance Exchange 8.625% due 05/01/24 310 273 Federated Department Stores 7.000% due 02/15/28 145 155
62 Fixed Income III Fund FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- FedEx Corp. 7.600% due 07/01/97 100 108 Fifth Third Bank Michigan 7.750% due 08/15/10 330 367 Financing Corp. Zero Coupon Series 15P 0.000% due 03/07/19 445 190 First Union Capital I Series A 7.935% due 01/15/27 80 91 FirstEnergy Corp. Series B 6.450% due 11/15/11 180 195 Series C 7.375% due 11/15/31 150 165 Florida Power & Light Co. 4.850% due 02/01/13 25 26 FMC Corp. 10.250% due 11/01/09 15 17 Ford Motor Co. 6.625% due 10/01/28 40 33 6.375% due 02/01/29 130 103 7.450% due 07/16/31 545 485 Ford Motor Credit Co. 6.875% due 02/01/06 505 522 5.800% due 01/12/09 570 543 7.375% due 02/01/11 545 552 7.250% due 10/25/11 165 165 Foster's Finance Corp. 6.875% due 06/15/11 175 200 FPL Group Capital, Inc. 3.250% due 04/11/06 230 233 Franklin Resources, Inc. 3.700% due 04/15/08 115 115 Gap, Inc. (The) 10.550% due 12/15/08 55 66 General Electric Capital Corp. Series MTNA 5.450% due 01/15/13 150 159 6.750% due 03/15/32 200 231 General Electric Co. 5.000% due 02/01/13 400 413 General Motors Acceptance Corp. 6.750% due 01/15/06 50 53 6.125% due 09/15/06 170 176 6.875% due 09/15/11 1,055 1,075 7.000% due 02/01/12 240 246 8.000% due 11/01/31 240 250 Golden West Financial Corp. 4.125% due 08/15/07 160 167
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Goldman Sachs Group, Inc. 6.875% due 01/15/11 455 523 5.250% due 04/01/13 160 164 6.125% due 02/15/33 215 222 GTE Corp. 6.940% due 04/15/28 240 267 Harrah's Operating Co., Inc. 8.000% due 02/01/11 100 115 Hartford Financial Services Group, Inc. 7.900% due 06/15/10 35 41 Hartford Life, Inc. 7.650% due 06/15/27 140 160 HCA - The Healthcare Co. 7.580% due 09/15/25 55 57 HCA, Inc. 6.300% due 10/01/12 30 31 7.500% due 12/15/23 200 206 Health Net, Inc. 8.375% due 04/15/11 130 153 Healthsouth Corp. (ffl) 8.500% due 02/01/08 460 293 Hertz Corp. 7.625% due 08/15/07 35 36 7.625% due 06/01/12 55 55 Hilton Hotels Corp. 7.625% due 12/01/12 190 200 HJ Heinz Finance Co. 6.750% due 03/15/32 170 193 Honeywell International, Inc. 6.125% due 11/01/11 155 172 Household Finance Corp. 4.625% due 01/15/08 90 94 5.875% due 02/01/09 245 265 6.375% due 10/15/11 190 208 6.375% due 11/27/12 150 165 Hyatt Equities LLC 6.875% due 06/15/07 85 86 Illinois Power Co. 11.500% due 12/15/10 85 96 ING Bank NV 5.125% due 05/01/15 355 359 International Lease Finance Corp. 6.375% due 03/15/09 155 168 International Paper Co. 5.850% due 10/30/12 100 107 5.300% due 04/01/15 65 65 Iron Mountain, Inc. 7.750% due 01/15/15 50 54 iStar Financial, Inc. 7.000% due 03/15/08 35 36
Fixed Income III Fund 63 FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- ITT Industries, Inc. 7.400% due 11/15/25 210 240 J Crew Group Series B 13.125% due 10/15/08 160 114 John Hancock Funds USA 7.375% due 02/15/24 250 283 JP Morgan & Co., Inc. Series MTNA 6.000% due 01/15/09 165 180 JP Morgan Chase & Co. 5.350% due 03/01/07 75 81 6.750% due 02/01/11 85 97 6.625% due 03/15/12 35 39 Kellogg Co. Series B 7.450% due 04/01/31 200 248 Kennametal, Inc. 7.200% due 06/15/12 110 117 Kerr-McGee Corp. 5.875% due 09/15/06 20 22 6.875% due 09/15/11 30 34 KeySpan Corp. 7.250% due 11/15/05 150 168 Kraft Foods, Inc. 5.250% due 06/01/07 75 79 5.625% due 11/01/11 220 230 6.250% due 06/01/12 240 261 Kroger Co. 7.250% due 06/01/09 175 201 8.000% due 09/15/29 225 269 Lehman Brothers Holdings, Inc. 6.625% due 01/18/12 185 210 Liberty Media Corp. 5.700% due 05/15/13 90 90 8.250% due 02/01/30 70 79 Lockheed Martin Corp. 8.200% due 12/01/09 625 776 7.750% due 05/01/26 85 104 8.500% due 12/01/29 180 241 Lodgenet Entertainment Corp. 10.250% due 12/15/06 200 202 Lone Star Industries 8.850% due 06/15/05 325 316 Lowe's Cos., Inc. 6.875% due 02/15/28 105 120 Lyondell Chemical Co. Series B 9.875% due 05/01/07 70 72 Manufacturers & Traders Trust Co. 8.000% due 10/01/10 115 139 Marathon Oil Corp. 6.800% due 03/15/32 60 65
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Masco Corp. 6.500% due 08/15/32 40 42 May Department Stores Co. (The) 7.875% due 03/01/30 145 169 MBNA Corp. 6.125% due 03/01/13 150 152 MDC Holdings, Inc. 7.000% due 12/01/12 45 48 MeadWestvaco Corp. 6.850% due 04/01/12 50 57 Merrill Lynch & Co., Inc. Series MTNB 3.700% due 04/21/08 100 101 Metropolitan Life Insurance Co. 7.800% due 11/01/25 335 389 MGM Mirage 8.500% due 09/15/10 95 107 Mizuho Preferred Capital Co. LLC Step Up Bond 8.790% due 12/29/49 190 185 Mohawk Industries, Inc. Series D 7.200% due 04/15/12 45 50 Monsanto Co. 7.375% due 08/15/12 55 63 Monumental Global Funding II 3.850% due 03/03/08 240 243 Morgan Stanley 6.750% due 04/15/11 140 159 5.300% due 03/01/13 285 296 Nabors Industries, Inc. 5.375% due 08/15/12 120 126 Natexis Ambs Co. LLC 8.440% due 12/29/49 185 219 National Rural Utilities Cooperative Finance 3.875% due 02/15/08 200 204 5.750% due 08/28/09 85 92 National Wine & Spirits, Inc. 10.125% due 01/15/09 115 105 Nationwide Financial Services 6.250% due 11/15/11 265 283 Nationwide Mutual Insurance Co. 7.875% due 04/01/33 330 365 NB Capital Trust IV 8.250% due 04/15/27 115 139 Nevada Power Co. 10.875% due 10/15/09 60 67
64 Fixed Income III Fund FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- News America Holdings 8.875% due 04/26/23 70 86 7.750% due 12/01/45 280 319 News America, Inc. 7.300% due 04/30/28 135 149 Nisource Finance Corp. 7.875% due 11/15/10 155 187 Norfolk Southern Corp. 7.700% due 05/15/17 65 80 7.900% due 05/15/97 175 197 Northern Border Pipeline Co. 6.250% due 05/01/07 170 185 Occidental Petroleum Corp. 9.250% due 08/01/19 135 178 Ohio Edison Co. 5.450% due 05/01/15 20 20 Ohio Power Co. 5.500% due 02/15/13 25 26 6.600% due 02/15/33 35 37 Oncor Electric Delivery Co. 7.250% due 01/15/33 145 168 Owens-Brockway 7.750% due 05/15/11 25 25 8.750% due 11/15/12 450 480 Peco Energy Co. 3.500% due 05/01/08 215 218 Pemex Project Funding Master Trust 8.625% due 02/01/22 190 211 Phelps Dodge Corp. 8.750% due 06/01/11 60 68 PHH Corp. 7.125% due 03/01/13 50 54 Pinnacle Partners 8.830% due 08/15/04 140 148 PolyOne Corp. 10.625% due 05/15/10 300 300 Popular North America, Inc. 4.250% due 04/01/08 135 137 Portola Packaging, Inc. 10.750% due 10/01/05 170 174 Progress Energy, Inc. 7.000% due 10/30/31 190 213 Progressive Corp. (The) 6.250% due 12/01/32 40 43 Prologis 5.500% due 03/01/13 20 21 Prudential Financial, Inc. 3.750% due 05/01/08 135 135 Prudential Funding LLC 6.600% due 05/15/08 110 124 Prudential Holdings LLC Series FSA 7.245% due 12/18/23 370 429
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- PSEG Energy Holdings, Inc. 7.750% due 04/16/07 255 267 8.625% due 02/15/08 190 203 Public Service Co. of New Mexico Series A 7.100% due 08/01/05 500 537 Pulte Homes, Inc. 7.875% due 08/01/11 75 88 Qwest Capital Funding, Inc. 7.000% due 08/03/09 25 21 6.500% due 11/15/18 25 19 Raytheon Co. 8.200% due 03/01/06 200 230 8.300% due 03/01/10 50 59 Regions Financial Corp. 6.375% due 05/15/12 240 272 Safeway, Inc. 5.800% due 08/15/12 55 58 Sears Roebuck Acceptance 7.000% due 06/01/32 50 51 Sempra Energy ESOP 6.000% due 02/01/13 30 32 Simon Property Group, LP 6.375% due 11/15/07 110 120 6.350% due 08/28/12 45 49 Smithfield Foods, Inc. Series B 8.000% due 10/15/09 50 51 SOI Funding Corp. 11.250% due 07/15/09 240 182 Sovereign Bancorp, Inc. 10.500% due 11/15/06 570 690 Sprint Capital Corp. 6.125% due 11/15/08 80 82 6.375% due 05/01/09 75 77 8.375% due 03/15/12 70 78 6.875% due 11/15/28 165 153 8.750% due 03/15/32 1,150 1,259 Starwood Hotels & Resorts Worldwide, Inc. 7.375% due 05/01/07 35 37 7.875% due 05/01/12 135 141 Station Casinos, Inc. 8.375% due 02/15/08 40 43 TCI Communications, Inc. 8.000% due 08/01/05 415 452 7.875% due 02/15/26 80 93
Fixed Income III Fund 65 FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Tele-Communications-TCI Group 9.800% due 02/01/12 195 252 7.875% due 08/01/13 225 263 Tenet Healthcare Corp. 7.375% due 02/01/13 300 298 6.875% due 11/15/31 130 118 Tennessee Gas Pipeline Co. 8.375% due 06/15/32 325 336 Tesoro Petroleum Corp. 8.000% due 04/15/08 285 294 Time Warner Cos. 7.570% due 02/01/24 35 38 Time Warner, Inc. 7.975% due 08/15/04 375 399 8.180% due 08/15/07 145 165 Toys R US, Inc. 7.625% due 08/01/11 55 57 Travelers Property Casualty Corp. 5.000% due 03/15/13 110 112 TXU Energy Co. 7.000% due 03/15/13 200 221 Union Pacific Corp. 5.750% due 10/15/07 370 404 6.125% due 01/15/12 185 204 Union Planters Corp. 7.750% due 03/01/11 125 148 Univision Communications, Inc. 7.850% due 07/15/11 220 255 USA Interactive 6.750% due 11/15/05 175 185 7.000% due 01/15/13 285 313 UST, Inc. 6.625% due 07/15/12 200 226 USX Corp./Consolidated 9.375% due 05/15/22 165 218 Valero Logistics Operations, LP 6.050% due 03/15/13 160 167 Valspar Corp. 6.000% due 05/01/07 185 198 Verizon Florida, Inc. Series F 6.125% due 01/15/13 100 111 Verizon Global Funding Corp. 7.750% due 12/01/30 55 68 Verizon Virginia, Inc. Series A 4.625% due 03/15/13 275 273 Verizon Wireless Capital LLC 5.375% due 12/15/06 150 162 Verizon/New England 6.500% due 09/15/11 20 23 Vornado Realty Trust 5.625% due 06/15/07 65 67
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Washington Mutual, Inc. 8.250% due 04/01/10 60 74 Waste Management, Inc. 7.000% due 07/15/28 210 232 Wells Fargo & Co. 3.500% due 04/04/08 70 71 Wendy's International, Inc. 6.200% due 06/15/14 155 174 Weyerhaeuser Co. 5.250% due 12/15/09 85 89 6.750% due 03/15/12 115 129 Wilmington Trust Corp. 4.875% due 04/15/13 120 120 Wisconsin Energy Corp. 6.200% due 04/01/33 25 25 WorldCom, Inc. - WorldCom Group (ffl) 8.250% due 05/15/31 185 52 Wyeth 5.250% due 03/15/13 40 42 York International Corp. 6.625% due 08/15/06 125 134 Zions BanCorp. 6.500% due 10/15/11 200 210 Zurich Capital Trust I 8.376% due 06/01/37 500 489 ------------ 60,723 ------------ Emerging Markets Debt - 1.8% Brazilian Government International Bond (E) 2.125% due 04/15/06 456 428 10.000% due 01/16/07 1,200 1,179 Series RG 2.188% due 04/15/09 71 59 Bulgaria Government International Bond (E) 2.188% due 07/28/24 220 212 Ecuador Government International Bond 6.000% due 08/15/30 620 372 Kyivstar GSM 12.750% due 11/21/05 180 196 OAO Gazprom 9.625% due 03/01/13 1,305 1,390 Panama Government International Bond 8.875% due 09/30/27 580 603
66 Fixed Income III Fund FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Peru Government International Bond 9.125% due 02/21/12 100 110 4.500% due 03/07/17 460 377 Russia Government International Bond 5.000% due 03/31/30 340 307 ------------ 5,233 ------------ International Debt - 7.3% Abbey National PLC Step Up Bond (p) 6.700% due 06/29/49 275 305 Abitibi-Consolidated, Inc. 8.550% due 08/01/10 30 34 8.850% due 08/01/30 60 66 AES Drax Energy, Ltd. (ffl) Series B 11.500% due 08/30/10 320 3 Amvescap PLC 6.600% due 05/15/05 365 394 AXA 8.600% due 12/15/30 195 235 Bowater Canada Finance 7.950% due 11/15/11 90 94 British Telecommunications PLC 8.375% due 12/15/10 500 615 8.875% due 12/15/30 175 233 Chile Government International Bond 5.500% due 01/15/13 2,080 2,134 Conoco Funding Co. 6.350% due 10/15/11 515 584 Den Norske Bank ASA 7.729% due 06/29/49 360 422 Deutsche Telekom International Finance BV 8.500% due 06/15/10 200 241 8.750% due 06/15/30 1,290 1,594 Diageo Capital PLC 3.375% due 03/20/08 70 70 France Telecom 8.700% due 03/01/06 750 852 9.250% due 03/01/11 775 948 10.000% due 03/01/31 205 273 Great Lakes Power, Inc. 9.000% due 08/01/04 115 122 Hollinger, Inc. 11.875% due 03/01/11 135 144 Hutchison Whampoa International 03/13, Ltd. 6.500% due 02/13/13 325 329 Inco, Ltd. 7.750% due 05/15/12 45 52 7.200% due 09/15/32 50 54 Kazkommerts International BV 8.500% due 04/16/13 130 129
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- KBC Bank Funding Trust II (E) 7.000% due 06/30/49 1,000 1,193 Korea Development Bank 4.250% due 11/13/07 45 45 5.500% due 11/13/12 15 15 Laidlaw, Inc. (ffl) 7.875% due 04/15/05 230 106 Mexico Government International Bond 8.375% due 01/14/11 35 42 6.375% due 01/16/13 300 314 11.375% due 09/15/16 200 286 8.000% due 09/24/22 300 332 8.300% due 08/15/31 275 311 7.500% due 04/08/33 565 581 Mexico Government International Bond Value Recovery Rights (AE)(E)(Y) Series B 0.000% due 06/30/04 300 2 Series D 0.000% due 06/30/05 300 1 0.000% due 06/30/06 300 -- Series E 0.000% due 06/30/07 300 -- Mobile TeleSystems Finance SA 9.750% due 01/30/08 110 117 National Westminster Bank PLC Step Up Bond (p) 7.750% due 04/29/49 235 270 Newcourt Credit Group, Inc. Series B 6.875% due 02/16/05 70 74 Newmont Yandal Operations, Ltd. 8.875% due 04/01/08 525 318 Nordea Bank Sweden AB 5.250% due 11/30/12 335 350 Pearson PLC 7.000% due 06/15/11 70 80 Petroleos Mexicanos 9.500% due 09/15/27 145 173 Placer Dome, Inc. 6.375% due 03/01/33 410 418 Province of Quebec 7.500% due 07/15/23 530 670
Fixed Income III Fund 67 FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Royal Bank of Scotland Group PLC (p) 7.648% due 08/31/49 15 18 Series 1 9.118% due 03/31/49 1,600 2,020 Series 3 7.816% due 11/29/49 310 347 Royal KPN NV 8.000% due 10/01/10 810 971 Santander Financial Issuances 6.375% due 02/15/11 180 196 Sappi Papier Holding AG 6.750% due 06/15/12 230 259 Singapore Telecommunications, Ltd. 6.375% due 12/01/11 165 183 7.375% due 12/01/31 695 817 Standard Chartered Bank 8.000% due 05/30/31 120 145 Stora Enso Oyj 7.375% due 05/15/11 115 135 TPSA Finance BV 7.750% due 12/10/08 190 201 Tyco International Group SA 6.375% due 10/15/11 600 591 XL Capital Europe PLC 6.500% due 01/15/12 180 199 ------------ 21,707 ------------ Mortgage-Backed Securities - 44.3% Ameriquest Mortgage Securities, Inc. (E) Series 2000-2 Class A 1.610% due 07/15/30 160 160 ARC Net Interest Margin Trust (Y) Series 2002-5A Class A 7.750% due 07/27/32 41 41 Aurora Loan Services (E) Series 2000-2 Class 2A1 2.020% due 05/25/30 214 214 Bank of America Mortgage Securities (Y) Series 2002-3 Class 1B4 6.500% due 03/25/32 184 165 Series 2003-D Class 1A1 3.428% due 05/25/33 165 168 Series 2003-D Class 1A2 3.428% due 05/25/33 60 59 Cendant Mortgage Corp. Series 2002-4 Class A6 6.500% due 07/25/32 280 288 Citicorp Mortgage Securities, Inc. (Y) Series 2002-4 Class B4 6.241% due 03/25/32 188 179
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Countrywide Alternative Loan Trust 6.750% due 08/25/32 286 293 CS First Boston Mortgage Securities Corp. (E) Series 2001-S18 Class A2 1.670% due 08/25/31 480 480 Series 2002-10 Class 2A1 7.500% due 05/25/32 585 619 Series 2002-18 Class 1AIO 7.500% due 06/25/32 725 78 Series 2002-22 Class 1AIO 8.000% due 07/25/32 925 103 Series 2002-22 Class 2AIO 6.000% due 06/25/32 4,250 267 Series 2002-34 Class 1A1 7.500% due 12/25/32 378 394 DLJ Mortgage Acceptance Corp. (E) Series 1996-Q5 Class A1 1.820% due 06/25/26 170 171 Fannie Mae 4.375% due 03/15/13 335 338 Fannie Mae Pool 4.50% 580 585 Fannie Mae Whole Loan 2.115% due 10/25/42 800 800 Federal Home Loan Mortgage Corp. (eth) 30 Year Gold TBA 6.50% 4,545 4,742 Federal Home Loan Mortgage Corp. 15 Year TBA 4.50% (eth) 1,610 1,624 5.00% (eth) 2,600 2,680 30 Year TBA 6.00% (eth) 3,390 3,516 6.50% (eth) 4,870 5,086 30 Year TBA Gold 6.00% (eth) 785 812 7.50% (eth) 185 197 6.000% due 2016 306 320 8.500% due 2017 200 220 10.500% due 2017 89 102 10.000% due 2020 201 229 8.500% due 2025 93 101 4.584% due 2027 188 193 8.500% due 2027 451 492 4.197% due 2028 144 148 4.362% due 2028 136 140 6.500% due 2028 11 12
68 Fixed Income III Fund FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 7.500% due 2030 470 499 7.843% due 2030 61 63 8.000% due 2030 396 427 8.000% due 2031 187 202 6.500% due 2032 441 461 7.500% due 2032 1,168 1,246 Series 1991-1037 Class Z 9.000% due 02/15/21 239 250 Series 2001-2302 Class NJ 6.500% due 11/15/29 605 616 Series 2001-2346 Class PC 6.500% due 12/15/13 120 123 Series 2002-2432 Class PI 6.000% due 04/15/23 980 22 Federal Home Loan Mortgage Corp. Structured Pass Through Securities Series 2002-42 Class A1 4.750% due 02/25/42 110 110 Series 2002-50 Class A3 2.182% due 09/27/07 215 215 Series 2003-54 Class 2AIO (Y) 0.251% due 02/25/43 16,030 130 Series 2003-54 Class 3AIO (Y) 0.825% due 02/25/43 3,350 87 Federal National Mortgage Association 15 Year TBA 4.50%(eth) 900 902 5.00%(eth) 1,145 1,177 5.50% (eth) 3,490 3,627 6.00% (eth) 1,025 1,074 30 Year TBA 5.50% (eth) 5,815 5,948 6.00% (eth) 7,275 7,548 6.50% (eth) 7,195 7,518 7.00% (eth) 15,630 16,515 10.000% due 2005 10 10 6.000% due 2016 157 164 5.500% due 2017 1,886 1,963 6.000% due 2017 5,126 5,374 6.500% due 2017 251 266 10.000% due 2018 141 162 10.000% due 2024 157 179 4.275% due 2025 93 95 4.432% due 2026 631 651 7.500% due 2027 259 277 7.500% due 2029 463 492 8.000% due 2029 82 88 8.500% due 2029 9 10 7.500% due 2030 465 494 8.500% due 2030 1,819 1,959 9.500% due 2030 321 358 7.500% due 2031 2,259 2,407 8.000% due 2031 2,151 2,323
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 8.500% due 2031 1,544 1,660 6.500% due 2032 3,230 3,375 7.000% due 2032 456 485 7.500% due 2032 1,139 1,213 8.000% due 2032 244 263 6.000% due 2033 529 551 6.500% due 2033 1,311 1,370 Series 1992-10 Class ZD 8.000% due 11/25/21 2,452 2,675 Series 2002-18 Class PG 5.500% due 06/25/08 149 149 Series 2002-50 Class SC 6.780% due 12/25/29 470 29 Series 2002-70 Class QD 5.500% due 06/25/26 275 286 Series 2003-33 Class IA 6.500% due 05/25/33 1,200 161 Federal National Mortgage Association Interest Strip Series 1997-281 Class 2 9.000% due 11/01/26 161 31 Series 2000-306 Class IO 8.000% due 05/01/30 274 42 Series 2001-317 Class 1 0.000% due 08/01/31 322 298 Series 2001-317 Class 2 8.000% due 08/01/31 322 49 Series 2002-320 Class 2 7.000% due 03/01/32 161 23 Federal National Mortgage Association Whole Loan Series 2002-W1 Class 2AIO 0.620% due 04/25/42 10,545 313 Series 2002-W4 Class A1 4.500% due 05/25/42 220 221 Series 2002-W6 Class 2AIO 0.397% due 06/25/42 7,722 145 Series 2003-W1 Class 1A1 6.500% due 12/25/42 400 426 First Nationwide Trust Series 2000-2 Class IB3 7.500% due 12/19/30 87 91 Series 2001-4 Class 3A5 1.920% due 09/25/31 749 750 First Union National Bank Commercial Mortgage Series 2002-C1 Class A2 6.141% due 02/12/34 90 100
Fixed Income III Fund 69 FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- First Union-Lehman Brothers-Bank of America Series 1998-C2 Class A2 6.560% due 11/18/35 420 477 Freddie Mac (Gold) Pool 15 Year TBA 5.00% (eth) 2,485 2,552 30 Year TBA 5.50% (eth) 3,970 4,032 7.000% due 07/01/32 223 235 Freddiemac Strip Series 1998-191 Class IO 8.000% due 01/01/28 146 23 Series 2000-207 Class IO 7.000% due 04/01/30 178 21 Series 2001-215 Class IO 8.000% due 06/01/31 121 18 Government National Mortgage Association 30 Year TBA 6.00% (eth) 950 990 Series 1999-27 Class SE 7.289% due 08/16/29 758 81 Series 1999-44 Class SA 7.239% due 12/16/29 638 81 Series 2000-29 Class S 7.180% due 09/20/30 404 34 Series 2002-27 Class SA 6.689% due 05/16/32 608 50 Series 2002-61 Class BA 4.648% due 03/16/26 160 165 Series 2002-62 Class B 4.763% due 01/16/25 160 166 Series 2003-5 Class B 4.486% due 10/16/25 160 163 Government National Mortgage Association I 30 Year TBA 5.50% (eth) 1,650 1,701 6.00% (eth) 650 679 6.50% (eth) 1,155 1,213 10.500% due 2016 71 82 11.000% due 2020 153 177 10.000% due 2022 143 163 7.500% due 2024 110 118 6.500% due 2028 485 509 6.500% due 2029 21 22 6.500% due 2032 1,266 1,331 7.500% due 2032 342 364 Government National Mortgage Association II (E) 5.625% due 2023 218 223 5.750% due 2023 89 90
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 5.625% due 2024 588 601 5.750% due 2024 641 655 5.375% due 2025 745 762 5.750% due 2025 19 19 5.625% due 2026 323 330 5.375% due 2027 515 524 5.625% due 2027 50 52 5.750% due 2027 464 474 5.375% due 2028 20 20 4.500% due 2030 1,180 1,202 GSAMP Trust (Y) Series 2002-WFN Class NOTE 8.250% due 10/20/32 95 94 Impac Secured Assets CMN Owner Trust Series 2001-4 Class A3 6.380% due 04/25/24 39 39 MASTR Alternative Loans Trust 7.000% due 12/25/32 405 422 Merrill Lynch Mortgage Trust (Y) Series 2002-MW1 Class J 5.695% due 07/12/34 185 144 Morgan Stanley Dean Witter Capital I (Y) Series 2001-NC3N Class N 12.750% due 10/25/31 28 28 Novastar Caps Trust (Y) Series 2002-C1 Class A 7.150% due 09/25/31 74 74 Option One Mortgage Securities Corp. NIM Trust (Y) Series 2002-2A Class CFTS 8.830% due 06/26/32 122 121 PNC Mortgage Securities Corp. (Y) Series 2000-4 Class CB2 6.820% due 06/25/30 166 169 Series 2000-4 Class CB3 6.820% due 06/25/30 92 94 Residential Asset Mortgage Products, Inc. Series 2002-RZ4 Class AIO 5.750% due 04/25/05 1,589 104 Salomon Brothers Mortgage Securities VII Series 1994-16 Class A 6.283% due 08/25/24 66 66
70 Fixed Income III Fund FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 1999-C1 Class J (Y) 7.000% due 05/18/32 140 107 Series 1999-NC3 Class A 1.670% due 07/25/29 17 16 Series 1999-NC4 Class A 1.720% due 09/25/29 122 122 Vendee Mortgage Trust Series 2000-1 Class 2G 7.250% due 06/15/09 260 278 Series 2002-1 Class 2IO 0.248% due 08/15/31 22,704 294 Wachovia Bank Commercial Mortgage Trust 4.566% due 04/15/35 420 428 Series 2002-C1 Class H (Y) 6.290% due 04/15/34 110 101 Series 2002-C1 Class J (Y) 6.290% due 04/15/34 70 62 Washington Mutual (E) Series 2003-AR4 Class A7 3.950% due 05/25/33 281 284 Series 2003-S1 Class A1 5.000% due 04/25/33 342 354 Washington Mutual Mortgage Securities Corp. Series 2001-2 Class B3 7.222% due 01/25/31 167 170 ------------ 130,724 ------------ Municipal Bonds - 0.4% Clark County Nevada General Obligation Limited, weekly demand (u) 5.000% due 06/01/32 1,000 1,022 Forsyth Montana Revenue Bonds 5.200% due 05/01/33 95 95 Long Island Power Authority Revenue Bonds 5.000% due 06/01/08 150 162 ------------ 1,279 ------------ United States Government Agencies - 0.9% Federal Home Loan Bank 2.500% due 03/15/06 490 495 Federal Home Loan Mortgage Corp. 2.750% due 03/15/08 300 297 Federal National Mortgage Association 7.125% due 06/15/10 400 484
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Financing Corp. STRIP Principal 0.000% due 12/06/18 440 191 0.000% due 12/27/18 1,645 713 0.000% due 04/05/19 475 202 0.000% due 09/26/19 535 220 ------------ 2,602 ------------ United States Government Treasuries - 11.9% United States Treasury Inflation Indexed Bonds 3.375% due 01/15/07 (s) 924 1,007 3.625% due 01/15/08 714 789 3.875% due 01/15/09 1,339 1,505 3.000% due 07/15/12 132 142 3.875% due 04/15/29 5,122 6,209 3.375% due 04/15/32 217 248 United States Treasury Note 7.875% due 11/15/04 645 709 1.500% due 02/28/05 1,015 1,016 6.750% due 05/15/05 450 497 4.625% due 05/15/06 3,830 4,126 3.500% due 11/15/06 1,500 1,564 4.375% due 05/15/07 140 150 3.000% due 02/15/08 120 121 6.500% due 02/15/10 3,400 4,049 5.000% due 02/15/11 485 532 3.875% due 02/15/13 1,220 1,222 8.750% due 05/15/17 525 763 8.125% due 08/15/19 3,350 4,700 6.000% due 02/15/26 2,235 2,582 5.375% due 02/15/31 1,430 1,560 United States Treasury Note/Bond 1.625% due 04/30/05 1,260 1,263 United States Treasury STRIP Principal 0.000% due 11/15/09 630 494 ------------ 35,248 ------------ TOTAL LONG-TERM INVESTMENTS (cost $263,321) 272,212 ------------
Fixed Income III Fund 71 FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 0.5% Financial Services - 0.5% Pacific Investment Management Co. Series High Yield Portfolio Institutional (Y) 192 1,559 ------------ TOTAL COMMON STOCKS (cost $1,365) 1,559 ------------ PREFERRED STOCKS - 0.3% Financial Services - 0.3% Centaur Funding Corp. 685 801 ------------ TOTAL PREFERRED STOCKS (cost $690) 801 ------------ SHORT-TERM INVESTMENTS - 31.6% Bundesschatzanweisungen 4.250% due 06/13/03 1,400 1,565 CBA Del Finance, Inc. Years 3 & 4 Commercial Paper 1.250% due 05/28/03 1,700 1,698 1.230% due 07/23/03 300 299 DaimlerChrysler NA Holding Corp. (E) Series MTNC 1.570% due 08/21/03 2,100 2,099 Danske Corp. Commercial Paper (c)(y) 1.220% due 07/10/03 2,900 2,891 1.240% due 07/28/03 300 299 Deutsche Bundesrepublik 6.000% due 09/15/03 2,360 2,667 Fairfax Financial Holdings, Ltd. 7.750% due 12/15/03 430 428 Federal Home Loan Mortgage Corp. 3.250% due 01/15/04 840 852 First Security Corp. 5.875% due 11/01/03 3,000 3,067 Ford Motor Credit Co. (E) 1.806% due 06/23/03 1,500 1,499 Frank Russell Investment Company Money Market Fund, due on demand (c) 64,808 64,808 Freddie Mac Discount Notes 0.000% due 08/11/03 200 199 French Treasury Note BTAN 4.500% due 07/12/03 1,620 1,814 HBOS Treasury Services PLC Commercial Paper (E) 1.260% due 05/07/03 1,000 1,000 1.260% due 05/13/03 2,000 1,999 1.240% due 07/02/03 200 199
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Honda Auto Receivables Owner Trust Series 2002-1 Class A2 2.550% due 04/15/04 45 45 Lloyds Bank PLC 1.250% due 05/27/03 1,300 1,299 1.230% due 07/29/03 300 299 Morgan Stanley 5.625% due 01/20/04 575 592 Nisource Finance Corp. 7.500% due 11/15/03 120 124 PSEG Energy Holdings, Inc. 9.125% due 02/10/04 105 109 Royal Bank of Scotland Commercial Paper (c)(y) 1.230% due 08/06/03 1,700 1,694 Svenska Handlsbn (c)(y) 1.240% due 07/02/03 500 499 UBS Finance, Inc. Yrs 3&4 Commercial Paper (c)(y) 1.240% due 05/21/03 500 500 United States Treasury Bill (c)(y) 1.180% due 05/15/03 (s) 250 250 1.170% due 09/25/03 500 498 1.090% due 10/02/03 25 25 1.100% due 10/02/03 150 149 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $93,112) 93,466 ------------ WARRANTS - 0.0% International Debt - 0.0% Mexico Government International Bond 2003 Warrants (AE) 715 2 ------------
72 Fixed Income III Fund FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Materials and Processing - 0.0% Solutia, Inc. 2009 Warrants (AE)(Y) -- -- ------------ TOTAL WARRANTS (cost $41) 2 ------------ TOTAL INVESTMENTS - 124.6% (identified cost $358,529) 368,040 OTHER ASSETS AND LIABILITIES NET - (24.6%) (72,615) ------------ NET ASSETS - 100.0% 295,425 ============
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- Long Positions Euribor Futures (UK) expiration date 06/03 (1) 244 2 expiration date 09/03 (5) 1,222 3 expiration date 03/04 (2) 488 (1) Eurodollar Futures expiration date 03/04 (4) 985 5 expiration date 06/04 (3) 737 2 expiration date 09/04 (4) 979 1 expiration date 12/04 (7) 1,706 2 expiration date 03/05 (4) 972 1 Three Month LIBOR Futures (UK) expiration date 12/03 (2) 241 (1) expiration date 03/04 (2) 241 (1) United States Treasury 2 Year Notes expiration date 06/03 (39) 8,420 36 United States Treasury 10 Year Notes expiration date 06/03 (45) 5,181 9 Short Positions Euribor Futures expiration date 12/03 (6) 1 6 Eurodollar Futures expiration date 06/03 (3) 741 (7) expiration date 09/03 (3) 741 (10) expiration date 12/03 (3) 740 (12) expiration date 03/04 (3) 739 (13) 10 Year Interest Rate SWAP Futures expiration date 06/03 (46) 5,243 18
------------------------------------------------------------------------------- -------------------------------------------------------------------------------
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ United States Treasury Bonds expiration date 06/03 (30) 3,421 4 United States Treasury 2 Year Notes expiration date 06/03 (23) 4,966 (25) United States Treasury 5 Year Notes expiration date 06/03 (215) 24,456 (116) ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts (97) ============ OPTIONS WRITTEN NOTIONAL MARKET (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Eurodollar Futures Jun 2003 98.75 Call (31) 78 (8) Jun 2003 97.50 Put (15) 38 -- Jun 2003 98.00 Put (6) 15 -- Three Month LIBOR Swap Oct 2004 6.00 Call (1) 700 (67) Oct 2004 5.97 Call (1) 3,000 (285) Oct 2004 6.00 Put (1) 700 (9) Oct 2004 5.97 Put (1) 3,000 (35) ------------ Total Liability for Options Written (premiums received $317) (404) ============
FOREIGN CURRENCY EXCHANGE CONTRACTS ------------------------------------------------------------------------- UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- EUR 3,676 USD 3,946 05/15/03 (154) ==============
See accompanying notes which are an integral part of the financial statements. Fixed Income III Fund 73 FIXED INCOME III FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
INDEX SWAPS --------------------------------------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION FUND RECEIVES COUNTER AMOUNT FUND PAYS TERMINATION (DEPRECIATION) UNDERLYING SECURITY PARTY $ FLOATING RATE DATE $ ------------------------------ ---------------- --------- ----------------------- -------------- ---------------- Bear Stearns High Yield 1 Month USD LIBOR- Total Return Index Bear Stearns 530 plus 0.35% 04/30/03 32 Bear Stearns High Yield 1 Month USD LIBOR- Total Return Index Bear Stearns 700 plus 0.75% 06/30/03 42 Bear Stearns High Yield 1 Month USD LIBOR- Total Return Index Bear Stearns 1,310 plus 0.575% 08/31/03 79 Bear Stearns High Yield 1 Month USD LIBOR- Total Return Index Bear Stearns 1,790 plus 0.10% 09/30/03 109 Lehman Brothers CMBS ERISA 1 Month USD LIBOR Eligible Total Return Index Lehman Brothers 940 minus 0.35% 04/30/03 11 Lehman Brothers CMBS ERISA 1 Month USD LIBOR Eligible Total Return Index Bear Stearns 550 minus 0.45% 06/30/03 6 Lehman Brothers CMBS ERISA 1 Month USD LIBOR Eligible Total Return Index Lehman Brothers 1,180 minus 0.33% 07/31/03 14 Lehman Brothers High Yield 1 Month USD LIBOR- Total Return Index Lehman Brothers 450 plus 0.65% 06/30/03 30 Lehman Brothers High Yield 1 Month USD LIBOR- Total Return Index Lehman Brothers 930 plus 0.75% 08/31/03 63 Lehman Brothers High Yield 1 Month USD LIBOR- Total Return Index Lehman Brothers 800 plus 0.05% 11/30/03 54 Lehman Brothers High Yield 1 Month USD LIBOR- Total Return Index Lehman Brothers 800 plus 0.75% 12/31/03 55 ---------------- 495 ================
INTEREST RATE SWAPS ---------------------------------------------------------------------------------------------------------------------- NOTIONAL MARKET AMOUNT TERMINATION VALUE $ FUND RECEIVES FUND PAYS DATE $ -------------------------- ---------------------------- -------------------- ---------------- ---------------- USD 300 6.000% Six Month LIBOR 06/18/03 (39) GBP 2,000 4.000% Six Month LIBOR 03/17/05 6 ---------------- Total Market Value of Interest Rate Swaps premiums paid (received) - ($8) (33) ================
See accompanying notes which are an integral part of the financial statements. 74 Fixed Income III Fund EMERGING MARKETS FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 84.8% Argentina - 0.5% BBVA Banco Frances SA - ADR (AE) 8 46 Central Costanera SA (AE) 437 453 IRSA Inversiones y Representaciones SA (AE) 390 372 IRSA Inversiones y Representaciones SA - GDR (AE) 3 28 Perez Companc SA - ADR (AE) 11 84 Perez Companc SA Class B (AE) 509 373 Telecom Argentina SA - ADR (AE) 20 111 ------------ 1,467 ------------ Brazil - 2.1% Banco Bradesco SA - ADR 25 519 Brasil Telecom Participacoes SA 18,348 99 Brasil Telecom Participacoes SA ADR 13 172 Brasil Telecom Participacoes SA - ADR 33 1,172 Brasil Telecom SA 212 1 Centrais Eletricas Brasileiras SA 95,313 740 Cia Siderurgica Nacional SA 3,591 72 Cia Vale do Rio Doce - ADR 12 336 Empresa Brasileira de Aeronautica SA 20 59 Gerdau SA - ADR 42 511 Itausa Investimentos Itau S.A. Rights (AE)(Y) 8 2 Petroleo Brasileiro SA - Petrobras - ADR 91 1,682 Souza Cruz SA 128 799 Tele Norte Leste (Y) 162 -- Tele Norte Leste Participacoes SA 8,913 70 Votorantim Celulose e Papel SA - VCP - ADR 9 173 ------------ 6,407 ------------ Chile - 1.3% Banco Santiago SA Class R - ADR (AE) 68 1,481 Cia de Telecomunicaciones de Chile SA - ADR (AE) 39 448 Coca-Cola Embonor SA - ADR (AE) 109 301 Distribucion y Servicio D&S SA - ADR 72 753 Embotelladora Andina SA Class B - ADR 54 436 Empresa Nacional de Electricidad SA/Chile - ADR (AE) 20 179 Quinenco SA Class R - ADR 47 275 ------------ 3,873 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- China - 3.0% Byd Co., Ltd. Class H 286 567 China Oilfield Services, Ltd. Class H 1,586 336 China Petroleum & Chemical Corp. Class H 7,308 1,443 China Shipping Development Co., Ltd. Class H 922 236 China Southern Airlines Co., Ltd. Class H 1,062 227 China Telecom Corp., Ltd. Class H 1,432 275 Huaneng Power International, Inc. Class H 192 182 Jiangsu Express Class H 1,628 548 Legend Group, Ltd. 1,044 294 PetroChina Co., Ltd. Class H 5,234 1,195 Shandong International Power Development Co., Ltd. Class H 750 163 Sinopec Beijing Yanhua Petrochemical Co., Ltd. Class H 2,350 256 Sinopec Shanghai Petrochemical Co., Ltd. Class H (AE) 6,696 1,039 Sinotrans, Ltd. Class H (AE) 1,411 349 Travelsky Technology, Ltd. Class H 489 293 Yanzhou Coal Mining Co., Ltd. Class H 1,936 707 Zhejiang Expressway Co., Ltd. Class H 2,638 1,006 ------------ 9,116 ------------ Croatia - 0.4% Pliva D.D. - GDR 92 1,258 ------------ Czech Republic - 0.4% CEZ 105 393 Komercni Banka AS 11 799 ------------ 1,192 ------------ Ecuador - 0.2% La Cemento Nacional Ecuador - GDR (144A) (Y) 11 77 La Cemento Nacional Ecuador - GDR (Y) 72 529 ------------ 606 ------------ Egypt - 0.3% Mobinil-Eqyptian Mobile Netork 50 398 Orascom Construction Industries 74 508 ------------ 906 ------------
Emerging Markets Fund 75 EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Estonia - 0.1% Eesti Telekom - GDR 16 315 Hansabank, Ltd. 5 96 ------------ 411 ------------ Ghana - 0.3% Ashanti Goldfields Co., Ltd. - GDR (AE) 140 741 ------------ Greece - 0.1% Attica Enterprise Holding SA 124 310 ------------ Hong Kong - 2.3% China Eastern Airlines Corp., Ltd. (AE) 654 65 China Insurance International Holdings Co., Ltd. 258 127 China Merchants Holdings International Co., Ltd. 348 274 China Mobile, Ltd. 1,404 2,817 China Overseas Land & Investment, Ltd. 1,431 116 China Pharmaceutical ENT 420 117 China Resources Enterprise 369 293 Citic Pacific, Ltd. (AE) 139 236 CNOOC, Ltd. 1,093 1,436 Cosco Pacific, Ltd. 354 300 Denway Motors, Ltd. 951 317 Giordano International, Ltd. 828 223 Global Bio-Chem Technology Group Co., Ltd. 400 97 TCL International Holdings, Ltd. 224 42 Texwinca Holdings, Ltd. 420 323 Wah Sang Gas Holdings, Ltd. 980 107 ------------ 6,890 ------------ Hungary - 1.4% Egis Rt. 5 169 Gedeon Richter Rt. 6 427 Gedeon Richter Rt. - GDR 6 451 Matav Rt. 50 196 Matav Rt. - ADR 35 679 Mol Magyar Olaj- es Gazipari Rt. 20 522 Mol Magyar Olaj- es Gazipari Rt. - GDR 30 766 OTP Bank Rt. 66 711 OTP Bank Rt. - GDR 22 470 ------------ 4,391 ------------ India - 4.7% Bajaj Auto, Ltd. - GDR 83 842
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- BSES, Ltd. - GDR (144A) 27 385 Dr. Reddy's Laboratories, Ltd. - ADR 35 656 GAIL Industriesia, Ltd. - GDR 54 520 Genesis India Investment Co. (AE)(Y) 363 3,020 HDFC Bank, Ltd. - ADR 48 791 Hindalco Industries, Ltd. - GDR 59 750 ICICI Bank, Ltd. - ADR (AE) 227 1,197 Indo Gulf Fertilizer Ltd. (Y) 142 65 InfoSystem Technologies, Ltd. - ADR 36 1,467 InfoSystem Technologies, Ltd. 2004 Warrants (AE)(Y) 3 199 ITC, Ltd. - GDR 6 80 Mahanagar Telephone Nigam - ADR 29 113 Ranbaxy Laboratories, Ltd. - GDR (144A) 8 125 Ranbaxy Laboratories, Ltd. - GDR 76 1,183 Reliance Industries, Ltd. - GDR (144A) 148 1,698 Satyam Computer Services, Ltd. - ADR 31 236 State Bank of India, Ltd. - GDR 60 900 Wipro, Ltd. - ADR 2 40 ------------ 14,267 ------------ Indonesia - 2.6% Astra International Tbk PT (AE) 1,212 423 Bank Central Asia Tbk PT 5,217 1,459 Gudang Garam Tbk PT 285 284 Matahari Putra Prima Tbk PT (AE) 2,967 180 Ramayana Lestari Sentosa Tbk PT 1,247 377 Semen Gresik Persero Tbk PT 352 312 Telekomunikasi Indonesia Tbk PT 9,691 4,581 Telekomunikasi Indonesia Tbk PT - ADR 33 302 ------------ 7,918 ------------ Israel - 2.6% Bank Hapoalim, Ltd. (AE) 755 1,307 Bank Leumi Le-Israel (AE) 711 870 Bezeq Israeli Telecommunication Corp., Ltd. (AE) 90 103 Check Point Software Technologies (AE) 89 1,406 Israel Chemicals, Ltd. 715 847 Koor Industries, Ltd. (AE) 1 15 Orbotech, Ltd. (AE) 32 439 Partner Communications - ADR (AE) 101 452 Scitex Corp., Ltd. Class D (AE) 159 277 Super-Sol, Ltd. 13 25 Teva Pharmaceutical Industries - ADR 47 2,217 ------------ 7,958 ------------
76 Emerging Markets Fund EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Jordan - 0.1% Arab Bank PLC 1 390 ------------ Luxembourg - 1.6% F&C Emerging Markets, Ltd. - Taiwan Investment Co. Class A (AE) 110 751 F&C Indian Investment Co. SICAV (AE) 216 808 Formosa Chemicals & Fibre Co. 2005 Warrants (AE)(Y) 354 341 InfoSystem Technologies, Ltd. 2006 Warrants (AE)(Y) 1 59 Millicom International Cellular SA (AE) 7 65 Quilmes Industrial SA Class A$ (AE) 571 168 Quilmes Industrial SA - ADR 18 179 Taiwan Semiconductor Manufacturing Co., Ltd. 2004 Warrants (AE)(Y) 237 493 Taiwan Semiconductor Manufacturing Co., Ltd. 2006 Warrants (AE)(Y) 637 874 Tenaris SA (AE) 320 745 Tenaris SA - ADR (AE) 16 366 ------------ 4,849 ------------ Malaysia - 3.7% Berjaya Sports Toto BHD 339 280 British American Tobacco Malaysia BHD 52 524 Gamuda BHD 300 411 Genting BHD 287 905 Hong Leong Bank BHD 446 481 IOI Corp. BHD 164 218 Lam Soon Huat Development 196 299 Magnum Corp. BHD 1,463 913 Malakoff BHD 1,013 1,146 Malayan Banking Bhd 225 468 Maxis Communications BHD 457 632 OYL Industries BHD 69 422 Public Bank Berhad (Alien Market) 1,868 1,180 Resorts World BHD 493 1,083 Road Builder M Holdings BHD 708 557 Sime Darby BHD 219 288 SP Setia Bhd 608 347 TAN Chong Motor Holdings BHD 908 258 Tanjong PLC 189 466 UMW Holdings Bhd 262 514 ------------ 11,392 ------------ Mexico - 9.4% Alfa SA de CV Class A 191 326 America Movil SA de CV Class L - ADR 243 4,067
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Cemex SA de CV 533 2,415 Cemex SA de CV - ADR 42 950 Coca-Cola Femsa SA - ADR 49 1,037 Controladora Comercial Mexicana SA de CV 462 281 Corp Durango SA de CV - ADR (AE) 17 3 Cydsa SA de CV (AE) 186 25 Fomento Economico Mexicano SA de CV 76 285 Fomento Economico Mexicano SA de CV - ADR 27 1,036 Grupo Aeroportuario del Sureste SA de CV - ADR 20 259 Grupo Financiero Banorte SA de CV Class O 670 1,864 Grupo Financiero BBVA Bancomer Class B (AE) 3,387 2,945 Grupo Mexico SA de CV Series B (AE) 97 121 Grupo Modelo SA Series C 463 1,034 Grupo Televisa SA - ADR (AE) 79 2,390 Hylsamex SA de CV Class B (AE) 230 111 Kimberly-Clark de Mexico SA de CV Class A 209 514 Telefonos de Mexico SA de CV - ADR 214 6,472 TV Azteca SA de CV - ADR 14 80 Wal-Mart de Mexico SA de CV Series C 220 560 Wal-Mart de Mexico SA de CV Series V 679 1,880 ------------ 28,655 ------------ Peru - 0.3% Cia de Minas Buenaventura SA - ADR 32 859 ------------ Philippines - 0.6% Ayala Land, Inc. 7,050 672 Bank of the Philippine Islands 359 250 Equitable PCI Bank (AE) 257 117 Manila Electric Co. Class B (AE) 1,425 278 Metropolitan Bank & Trust (AE) 748 414 SM Prime Holdings 1,500 140 ------------ 1,871 ------------ Poland - 1.0% Bank Pekao SA 21 464 Bank Zachodni WBK SA 4 64 Computerland Poland SA (AE) 2 54 Polski Koncern Naftowy Orlen 130 613 Polski Koncern Naftowy Orlen - GDR 34 318 Prokom Software - GDR 144A+ 7 108
Emerging Markets Fund 77 EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Telekomunikacja Polska SA 122 413 Telekomunikacja Polska SA - GDR (AE) 315 1,049 ------------ 3,083 ------------ Russia - 4.8% Gazprom - ADR 10 150 LUKOIL - ADR 89 6,095 LUKOIL Class A - ADR (144A) 2 124 MMC Norilsk Nickel - ADR 44 1,035 Mobile TeleSystems - ADR (AE) 33 1,570 OAO Gazprom - ADR 52 814 Sberbank RF 1 210 Sibneft - ADR 6 149 Surgutneftegaz - ADR 18 358 Unified Energy System - ADR 11 171 Unified Energy System - GDR 6 94 Vimpel-Communications - ADR (AE) 17 692 Wimm-Bill-Dann Foods OJSC - ADR (AE) 11 193 YUKOS - ADR 16 2,826 ------------ 14,481 ------------ Singapore - 0.0% Golden Agri-Resources, Ltd. (AE) 814 69 ------------ South Africa - 7.1% ABSA Group, Ltd. 555 2,431 Aeci, Ltd. 437 1,270 African Bank Investments, Ltd. 303 229 Alexander Forbes, Ltd. 300 412 Anglo American Platinum Corp., Ltd. 10 268 Anglogold, Ltd. 24 696 Anglovaal Industries, Ltd. 110 199 Barloworld, Ltd. 40 274 FirstRand, Ltd. 441 430 Gencor, Ltd. 106 460 Gold Fields, Ltd. 74 752 Harmony Gold Mining Co., Ltd. 41 436 Impala Platinum Holdings, Ltd. 21 1,039 Imperial Holdings, Ltd. 28 187 Kumba Resources, Ltd. 79 265 MTN Group, Ltd. (AE) 599 1,005 Murray & Roberts Holdings, Ltd. 210 303 Nedcor, Ltd. 82 1,108 New Clicks Holdings, Ltd. 461 342 Pick'n Pay Stores, Ltd. 181 324 Primedia, Ltd. 88 50 Primedia, Ltd. 468 241 Remgro, Ltd. 37 266 Sanlam, Ltd. 1,055 874
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Sappi, Ltd. 195 2,404 Sasol, Ltd. 276 2,992 Shoprite Holdings, Ltd. 350 269 Standard Bank Group, Ltd. 206 826 Telkom SA, Ltd. (AE) 130 563 Tongaat-Hulett Group, Ltd. 103 437 Venfin, Ltd. (AE) 173 353 ------------ 21,705 ------------ South Korea - 16.4% Amorepacific Corp. 10 910 CJ Home Shopping 9 417 Daeduck Electronics Co. 31 219 Daelim Industrial Co. 43 701 Hana Bank 109 937 Hanwha Chem Corp. (AE) 63 194 Hite Brewery Co., Ltd. 11 528 Honam Petrochemical Corp. 8 199 Hyundai Development Co. 55 352 Hyundai Mobis 75 1,493 Hyundai Motor Co. 93 2,201 Hyundai Securities Co. (AE) 7 27 Kookmin Bank 207 5,802 Kookmin Bank - ADR 2 47 Kookmin Credit Card Co., Ltd. 11 122 KorAm Bank 74 482 Korea Electric Power Corp. 70 1,178 KT Corp. 20 831 KT Corp. - ADR 45 903 KT Freetel (AE) 44 974 KT&G Corp. 45 692 KT&G Corp. - GDR (144A) 34 255 Kumgang Korea Chemical Co., Ltd. 3 255 Kumgang Korea Chemical Co., Ltd. - GDR (144A) (AE) 10 167 LG Chem, Ltd. 29 961 LG Electronics, Inc. 22 767 LG Engineering & Construction Corp. 38 553 LG Household & Health Care, Ltd. 16 371 LG Petrochemical Co., Ltd. 24 345 Lotte Chilsung Beverage Co., Ltd. 1 342 Lotte Confectionery Co., Ltd. 3 1,125 NCSoft Corp. 3 230 NHM Corp. 3 226 POSCO 35 2,989 POSCO Class R - ADR 10 214 S-Oil Corp. 34 555 S1 Corp. 46 852 Samsung Electro-Mechanics Co., Ltd. 2 62 Samsung Electronics Co., Ltd. 43 10,809
78 Emerging Markets Fund EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Samsung Electronics Co., Ltd. - GDR (144A) 11 657 Samsung Fire & Marine Insurance Co., Ltd. (AE) 45 2,229 Samsung SDI Co., Ltd. 5 332 Samsung Securities Co., Ltd. (AE) 16 329 Seoul City Gas Co., Ltd. 17 231 Shinhan Financial Group Co., Ltd. 220 2,172 Shinsegae Co., Ltd. 6 724 SK Telecom Co., Ltd. 17 2,316 Tae Young Corp. 11 338 ------------ 49,615 ------------ Switzerland - 0.0% Compagnie Financiere Richemont AG - ADR 68 100 ------------ Taiwan - 7.2% Accton Technology Corp. (AE) 263 177 Acer, Inc. - GDR 139 632 Advanced Semiconductor Engineering, Inc. (AE) 974 503 Advantech Co., Ltd. 79 139 Ambit MicroSystems Corp. 176 502 Asia Cement Corp. - GDR (144A) (AE) 190 601 Basso Industry Corp. 117 190 Benq Corp. 106 108 Cathay Financial Holding Co., Ltd. 321 358 China Development Financial Holding Corp. (AE) 37 13 Chinatrust Financial Holding Co. (AE) 2,428 1,894 Chunghwa Telecom Co., Ltd. 171 253 Compal Electronics, Inc. 1,334 1,439 Compal Electronics, Inc. - GDR 75 404 Delta Electronics, Inc. 456 504 Evergreen Marine Corp. 288 176 Faraday Technology Corp. (AE) 213 436 Formosa Chemicals & Fibre Co. 337 325 Formosa Plastics Corp. 1,068 1,317 Fubon Financial Holding Co., Ltd. 1,005 686 Gigabyte Technology Co., Ltd. 425 634 HON HAI Precision Industry - GDR 42 274 HON HAI Precision Industry 451 1,411 International Bank of Taipei 427 175 Mega Financial Holding Co., Ltd. (AE) 256 114 Nan Ya Plastic Corp. 809 701 Phoenixtec Power Co., Ltd. 611 469 Quanta Computer, Inc. 222 388 Realtek Semiconductor Corp. 56 106 Realtek Semiconductor Corp. - GDR 11 82 Ritek Corp. 925 385
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Siliconware Precision Industries Co. (AE) 352 167 Sinopac Holdings Co. (AE) 773 241 Sunplus Technology Co., Ltd. 190 195 Taishin Financial Holdings Co., Ltd. (AE) 468 212 Taiwan Semiconductor Manufacturing Co., Ltd. (AE) 2,449 3,358 Taiwan Semiconductor Manufacturing Co., Ltd. - ADR (AE) 90 749 Test-Rite International Co. 257 160 United Microelectronics Corp. (AE) 950 545 Via Technologies, Inc. (AE) 147 169 Wan Hai Lines, Ltd. 405 328 Winbond Electronics Corp. (AE) 726 248 Yageo Corp. (AE) 405 78 Yuanta Co.re Pacific Securities Co. 253 109 ------------ 21,955 ------------ Thailand - 3.7% Advanced Info Service PCL 458 481 Advanced Info Service PCL 759 796 Bangkok Bank Pcl 310 380 Bangkok Bank Pcl (AE) 247 346 BEC World PLC 127 610 Delta Electronics Thai PCL 170 113 Electricity Generating PCL 103 99 Kasikornbank PCL (AE) 349 258 Kasikornbank PCL (AE) 1,108 937 Land & House Pub Co., Ltd. 3,416 614 Land & House Pub Co., Ltd. 1,040 180 National Petrochemical 594 693 PTT Exploration & Production PCL 308 804 PTT PCL 1,757 1,927 Siam Cement PCL 233 658 Siam Cement PCL 141 398 Siam Commercial Bank PCL (AE) 605 483 Siam Commercial Bank PCL (AE) 1,807 1,444 Thai Union Frozen Products PCL 113 55 ------------ 11,276 ------------ Turkey - 2.3% Akbank TAS 278,256 986 Anadolu Efes Biracilik Ve Malt Sanayii AS 56,203 1,122 Brisa Bridgestone Sabanci 12,650 359 Ford Otomotive Sanayii AS (AE) 61,000 701 Hurriyet Gazeteci (AE) 60,730 138 KOC Holding AS 22,193 224 Migros Turk TAS 72,350 638
Emerging Markets Fund 79 EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Sabanci Holding 74,413 168 Tupras Turkiye Petrol Rafine 146,685 1,021 Turkcell Iletisim Hizmet AS 60,531 363 Turkiye Garanti Bankasi AS (AE) 187,626 226 Turkiye IS Bankasi (AE) 140,266 432 Vestel Elektronik Sanayi (AE) 250,000 599 ------------ 6,977 ------------ United Kingdom - 3.8% Anglo American PLC (AE) 354 5,132 Anglo American PLC (AE) 81 1,165 Antofagasta PLC 184 1,854 Dimension Data Holdings PLC (AE) 506 131 Genesis Smaller Companies Fund (AE)(Y) 124 1,929 Old Mutual PLC 996 1,462 Old Mutual PLC 2 3 ------------ 11,676 ------------ United States - 0.4% Panamerican Beverages, Inc. Class A 43 942 Pepsi International Africa (Y) -- 1 Public Bank of Berhad (AE) 822 476 ------------ 1,419 ------------ Venezuela - 0.0% Cia Anonima Nacional Telefonos de Venezuela - CANTV - ADR 7 74 Siderurgica Venezolana "Sivensa" SACA 1,306 4 ------------ 78 ------------ Zimbabwe - 0.1% Delta Corp., Ltd. 1,020 295 OK Zimbabwe 5,664 34 ------------ 329 ------------ TOTAL COMMON STOCKS (cost $255,669) 258,490 ------------ NOTIONAL MARKET AMOUNT VALUE $ $ ----------------------------------------------------------------------------- OPTIONS PURCHASED - 0.7% (Number of Contracts) Brazil - 0.1% Bovespa Index Futures Jun 2003 12,374 Call (195) 2,509 196 ------------ South Korea - 0.6% Kospi 200 Index Futures Jun 2003 58.379 Call (87) 1,017 1,010 Kospi 200 Index Future Jun 2003 61.753 Call (40) 2,090 409 Kospi 200 Index Futures Jun 2003 63.623 Call (20) 524 189 ------------ 1,608 ------------ TOTAL OPTIONS PURCHASED (cost $1,276) 1,804 ------------ PRINCIPAL AMOUNT ($) OR SHARES ------------ PREFERRED STOCKS - 6.3% Brazil - 6.1% Aracruz Celulose SA - ADR 5 101 Banco Bradesco SA 389,648 1,607 Banco Itau Holding Financeira SA 13,830 925 Brasil Telecom Participacoes SA 34,043 242 Celular CRT Participacoes SA 2,501 309 Centrais Eletricas Brasileiras SA 27,666 238 Cia Brasileira de Distribuicao Grupo Pao de Acucar - ADR 48 695 Cia de Bebidas das Americas 2,622 530 Cia de Bebidas das Americas - ADR 81 1,616 Cia de Tecidos do Norte de Minas - Coteminas 6,342 433 Cia Energetica de Minas Gerais 15,595 166 Cia Paranaense de Energia 81,569 270 Cia Vale do Rio Doce 13 344 Cia Vale do Rio Doce - ADR 41 1,075 Empresa Brasileira de Aeronautica SA Class R - ADR 40 550 Gerdau SA 6,268 77 Investimentos Itau SA 322 246 Petroleo Brasileiro SA - Petrobras 132 2,289 Petroleo Brasileiro SA - Petrobras - ADR 153 2,648 Tele Centro Oeste Celular Participacoes SA 35,207 67 Tele Norte Leste Participacoes SA 29,777 322
80 Emerging Markets Fund EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Tele Norte Leste Participacoes SA - ADR 66 720 Telecomunicacoes Brasileiras SA - ADR 51 1,325 Telemig Celular Participacoes SA 91,870 88 Telemig Celular SA 35 -- Telesp Celular Participacoes SA (AE) 60,938 94 Telesp Celular Participacoes SA - ADR (AE) 51 195 Uniao de Bancos Brasileiros SA 3,521 126 Uniao de Bancos Brasileiros SA - ADR 12 211 Votorantim Celulose e Papel SA - VCP 29,887 1,149 ------------ 18,658 ------------ South Korea - 0.2% Hyundai Motor Co. 14 156 Samsung Electronics Co., Ltd. 2 189 ------------ 345 ------------ TOTAL PREFERRED STOCKS (cost $17,393) 19,003 ------------ SHORT-TERM INVESTMENTS - 8.4% United States - 8.4% Frank Russell Investment Company Money Market Fund 21,837 21,837 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 4,000 3,994 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $25,831) 25,831 ------------ TOTAL INVESTMENTS - 100.2% (identified cost $300,169) 305,128 OTHER ASSETS AND LIABILITIES NET - (0.2%) (469) ------------ NET ASSETS - 100.0% 304,659 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions DAX Index (Germany) expiration date 06/03 (18) 1,285 149 Hang Seng Index (Hong Kong) expiration date 05/03 (49) 2,636 98 JSE-40 Index (South Africa) expiration date 06/03 (298) 3,188 (321) expiration date 03/04 (30) 338 (50) SIMEX Index (Taiwan) expiration date 05/03 (315) 5,988 (362) ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts (486) ============ NOTIONAL MARKET OPTIONS WRITTEN AMOUNT VALUE (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Brazil Bovespa Index Futures Jun 2003 12,374 Put (195) 2,509 (61) South Korea Kospi 200 Index Futures Jun 2003 58.379 Put (87) 2,090 (358) Jun 2003 61.753 Put (40) 1,017 (165) Jun 2003 63.623 Put (20) 524 (82) ------------ Total Liability for Options Written (premiums received $649) (666) ============
See accompanying notes which are an integral part of the financial statements. Emerging Markets Fund 81 EMERGING MARKETS FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS ------------------------------------------------------------------------- UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- USD 49 BRL 140 05/02/03 -- USD 28 BRL 80 05/05/03 -- USD 28 BRL 100 06/18/03 6 USD 1,092 BRL 3,900 06/18/03 221 USD 625 BRL 2,000 06/18/03 49 USD 1,270 EUR 1,200 06/18/03 67 USD 18 HKD 144 05/02/03 -- USD 19 HKD 151 05/05/03 -- USD 11 ILS 52 05/01/03 -- USD 92 KRW 112,275 05/01/03 -- USD 961 KRW 1,200,000 06/18/03 23 USD 1,922 KRW 2,400,000 06/18/03 45 USD 812 KRW 1,000,000 06/18/03 8 USD 94 ZAR 674 05/05/03 (1) USD 34 ZAR 251 05/05/03 -- USD 56 ZAR 396 05/06/03 (2) USD 29 ZAR 208 05/06/03 (1) USD 43 ZAR 304 05/07/03 (1) USD 45 ZAR 320 05/07/03 (1) USD 51 ZAR 358 05/07/03 (2) USD 53 ZAR 375 05/07/03 (2) USD 139 ZAR 980 05/07/03 (4) USD 3,642 ZAR 31,000 06/18/03 548 BRL 161 USD 55 05/02/03 (1) BRL 9 USD 3 05/05/03 -- BRL 17 USD 6 05/05/03 -- EUR 500 USD 529 06/18/03 (28) HKD 117 USD 15 05/02/03 -- ZAR 634 USD 86 05/02/03 (1) ZAR 498 USD 71 05/07/03 2 ZAR 12,000 USD 1,414 06/18/03 (208) -------------- 717 ==============
% OF MARKET INDUSTRY DIVERSIFICATION NET VALUE (UNAUDITED) ASSETS $ ----------------------------------------------------------------------------- Auto and Transportation 2.9 9,014 Consumer Discretionary 5.2 15,738 Consumer Staples 5.4 16,300 Financial Services 22.2 67,542 Health Care 2.2 6,603 Integrated Oils 5.3 16,146 Materials and Processing 12.0 36,696 Miscellaneous 2.2 6,766 Options 0.7 1,804 Other Energy 5.9 18,116 Producer Durables 6.5 19,754 Technology 6.6 19,966 Utilities 14.7 44,852 Short-Term Investments 8.4 25,831 ------------ ------------ Total Investments 100.2 305,128 Other Assets and Liabilities, Net (0.2) (469) ------------ ------------ Net Assets 100.0 304,659 ============ ============
% OF MARKET GEOGRAPHIC DIVERSIFICATION NET VALUE (UNAUDITED) ASSETS $ ----------------------------------------------------------------------------- Asia 44.2 134,708 Africa 7.5 22,775 Europe 12.2 37,054 Latin America 19.9 60,606 Middle East 3.0 9,253 United Kingdom 3.8 11,676 Options 0.7 1,804 Other 0.5 1,421 Short-Term Investments 8.4 25,831 ------------ ------------ Total Investments 100.2 305,128 Other Assets and Liabilities, Net (0.2) (469) ------------ ------------ Net Assets 100.0 304,659 ============ ============
See accompanying notes which are an integral part of the financial statements. 82 Emerging Markets Fund REAL ESTATE SECURITIES FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 95.0% Apartment - 19.8% Apartment Investment & Management Co. Class A(o) 334 12,593 Archstone-Smith Trust (o) 1,173 26,733 AvalonBay Communities, Inc. (o) 365 14,560 Boardwalk Equities, Inc. 135 1,407 BRE Properties Class A (o) 342 10,517 Camden Property Trust (o) 212 7,420 Chateau Communities, Inc. (o) 109 2,346 Colonial Properties Trust (o) 40 1,367 Equity Residential (o) 1,139 29,519 Essex Property Trust, Inc. (o) 213 11,720 Summit Properties, Inc. (o) 233 4,502 Sun Communities, Inc. (o) 66 2,544 United Dominion Realty Trust, Inc. (o) 744 12,421 ------------ 137,649 ------------ Health Care - 2.5% Health Care Property Investors, Inc. (o) 114 4,247 Health Care REIT, Inc. (o) 105 2,987 Healthcare Realty Trust, Inc. (o) 205 5,630 Senior Housing Properties Trust (o) 238 2,969 Ventas, Inc. (AE) 106 1,378 ------------ 17,211 ------------ Hotels/Leisure - 4.3% Fairmont Hotels & Resorts, Inc. 107 2,441 Hilton Hotels Corp. 580 7,720 Hospitality Properties Trust (o) 66 1,887 Host Marriott Corp. (AE)(o) 991 7,648 Starwood Hotels & Resorts Worldwide, Inc. 382 10,252 ------------ 29,948 ------------ Office/Industrial - 34.1% Alexandria Real Estate Equities, Inc. (o) 31 1,307 AMB Property Corp. (o) 411 11,220 Arden Realty, Inc. (o) 256 6,098 Boston Properties, Inc. (o) 698 27,366 Brookfield Properties Co. 479 9,706 CarrAmerica Realty Corp. (o) 587 15,301 Catellus Development Corp. (AE) 849 17,990 Centerpoint Properties Trust (o) 162 9,382 Corporate Office Properties Trust (o) 46 695 Cousins Properties, Inc. (o) 65 1,707 Crescent Real Estate Equities Co. (o) 80 1,134 Duke Realty Corp. (o) 81 2,219 Equity Office Properties Trust (o) 609 15,826
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Highwoods Properties, Inc. (o) 271 5,490 Home Properties of NY, Inc. (o) 125 4,352 Kilroy Realty Corp. (o) 206 5,115 Lexington Corporate Properties Trust (o) 53 914 Liberty Property Trust (o) 476 14,907 Mack-Cali Realty Corp. (o) 521 16,455 Plum Creek Timber Co., Inc. (REIT) 108 2,512 Prentiss Properties Trust (o) 290 7,964 Prologis (o) 1,547 39,809 PS Business Parks, Inc. (o) 89 2,753 Reckson Associates Realty Corp. (o) 194 3,647 SL Green Realty Corp. (o) 396 12,760 Trizec Properties, Inc. (o) 36 337 ------------ 236,966 ------------ Outlet Centers - 3.8% Chelsea Property Group, Inc. (o) 668 26,473 ------------ Regional Malls - 16.8% CBL & Associates Properties, Inc. (o) 109 4,610 General Growth Properties, Inc. (o) 639 35,563 Macerich Co. (The) (o) 275 9,075 Mills Corp. (The) (o) 57 1,815 Rouse Co. (The) (o) 490 17,014 Simon Property Group, Inc. (o) 1,142 41,933 Taubman Centers, Inc. (o) 396 6,929 ------------ 116,939 ------------ Self Storage - 1.9% Public Storage, Inc. (o) 306 9,848 Shurgard Storage Centers, Inc. Class A (o) 114 3,734 ------------ 13,582 ------------ Shopping Center - 11.8% Developers Diversified Realty Corp. (o) 694 17,476 Federal Realty Investement Trust (o) 324 9,980 Heritage Property Investment Trust (o) 75 1,905 Kimco Realty Corp. (o) 359 12,978 Pan Pacific Retail Properties, Inc. (o) 465 18,199 Regency Centers Corp. (o) 145 4,785 Urstadt Biddle Properties, Inc. Class A (o) 95 1,153 Vornado Realty Trust (o) 404 15,367 ------------ 81,843 ------------ TOTAL COMMON STOCKS (cost $568,695) 660,611 ------------
Real Estate Securities Fund 83 REAL ESTATE SECURITIES FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 5.0% Frank Russell Investment Company Money Market Fund 34,419 34,419 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $34,419) 34,419 ------------ TOTAL INVESTMENTS - 100.0% (identified cost $603,114) 695,030 OTHER ASSETS AND LIABILITIES NET - 0.0% 133 ------------ NET ASSETS - 100.0% 695,163 ============
See accompanying notes which are an integral part of the financial statements. 84 Real Estate Securities Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- LONG-TERM INVESTMENTS - 83.3% Asset-Backed Securities - 18.6% AmeriCredit Automobile Receivables Trust Series 2001-B Class A4 5.370% due 06/12/08 2,000 2,086 Arcadia Automobile Receivables Trust Series 1998-E Class A3 5.750% due 10/15/06 1,165 1,171 Bay View Auto Trust Series 2002-LJ1 Class A2 2.410% due 08/25/05 1,026 1,027 California Infrastructure SCE-1 Series 1997-1 Class A6 6.380% due 09/25/08 4,400 4,777 Series 1997-1 Class A7 6.420% due 12/26/09 2,450 2,764 California Infrastructure SDG&E-1 Series 1997-1 Class A5 6.190% due 09/25/05 908 918 Capital Auto Receivables Asset Trust Series 2002-3 Class A3 3.580% due 10/16/06 1,050 1,089 Capital One Auto Finance Trust Series 2001-B Class A4 4.880% due 09/15/08 1,100 1,175 Capital One Prime Auto Receivables Trust Series 2003-1 Class A3 1.970% due 04/15/07 1,500 1,505 Caterpillar Financial Asset Trust Series 2002-A Class A3 3.150% due 02/25/08 2,250 2,285 Chase Manhattan Auto Owner Trust Series 2000-A Class A3 6.210% due 12/15/04 159 160 Series 2000-A Class A4 6.260% due 06/15/07 3,540 3,669 Chemical Master Credit Card Trust 1 Series 1996-2 Class A 5.980% due 09/15/08 4,000 4,248 Chevron Trust Fund 8.110% due 12/01/04 885 944 Chevy Chase Auto Receivables Trust Series 2000-1 Class A4 7.470% due 07/15/05 1,202 1,241 Series 2001-3 Class A3 3.950% due 05/16/05 1,000 1,013 CIT Marine Trust Series 1999-A Class A4 6.250% due 11/15/19 1,000 1,083
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- CIT Rv Trust Series 1998-A Class A5 6.120% due 11/15/13 1,000 1,064 Citibank Credit Card Issuance Trust (E) Series 2001-A5 Class A5 1.368% due 06/10/06 1,050 1,050 Series 2001-A6 Class A6 5.650% due 06/16/08 1,500 1,637 Series 2001-A8 Class A8 4.100% due 12/07/06 1,500 1,560 Series 2002-A3 Class A3 4.400% due 05/15/07 4,805 5,059 Series 2003-A3 Class A3 3.100% due 03/10/10 1,000 990 Series 2003-A5 Class A5 2.500% due 04/07/08 1,700 1,707 Citibank Credit Card Master Trust I 6.100% due 05/15/08 1,675 1,852 Series 1997-6 Class A 0.000% due 08/15/06 900 883 Community Program Loan Trust Series 1987-A Class A4 4.500% due 10/01/18 2,244 2,309 Connecticut RRB Special Purpose Trust CL&P Series 2001-1 Class A5 6.210% due 12/30/11 1,000 1,139 Conseco Finance Securitizations Corp. Series 2000-2 Class A3 8.070% due 12/01/30 967 996 Copelco Capital Funding Corp. Series 2000-A Class A4 7.220% due 08/18/05 1,210 1,254 CSXT Trade Receivables Master Trust Series 1998-1 Class A 6.000% due 07/26/04 3,000 3,020 Daimler Chrysler Auto Trust Series 2000-E Class A3 6.110% due 11/08/04 347 351 Series 2001-D Class A4 3.780% due 02/06/07 3,000 3,113 Series 2002-B Class A4 3.530% due 12/06/07 4,000 4,141 Discover Card Master Trust I Series 1993-3 Class A 6.200% due 05/16/06 2,125 2,181
Short Term Bond Fund 85 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 1996-3 Class A 6.050% due 08/18/08 1,125 1,237 Series 1998-7 Class A 5.600% due 05/16/06 1,500 1,535 Series 2000-5 Class A 1.490% due 11/15/07 1,000 1,003 Distribution Financial Services Floorplan Master Trust (E)(Y) Series 2003-1 Class A 1.380% due 04/15/07 3,000 3,000 First National Master Note Trust (E) Series 2003-1 Class A 1.400% due 08/15/08 1,000 1,001 Fleet Credit Card Master Trust II Series 2000-C Class A 7.020% due 02/15/08 1,211 1,343 Fleetwood Credit Corp. Grantor Trust Series 1997-B Class A 6.400% due 05/15/13 1,848 1,904 Ford Credit Auto Owner Trust Series 2000-E Class A5 6.770% due 10/15/04 3,455 3,544 Series 2001-B Class A5 5.360% due 06/15/05 5,875 6,073 Series 2001-C Class A4 4.830% due 02/15/05 1,040 1,051 Government Trust Certificate 8.500% due 04/01/06 1,238 1,370 Green Tree Financial Corp. Series 1995-9 Class A5 6.800% due 12/15/25 38 38 Series 1997-3 Class A5 7.140% due 03/15/28 854 878 Series 1998-6 Class A5 6.060% due 04/01/18 609 616 Series 1999-3 Class A4 5.950% due 02/01/31 327 328 Honda Auto Receivables Owner Trust Series 2002-2 Class A3 3.830% due 02/15/06 1,425 1,460 Household Automotive Trust Series 2002-2 Class A3 2.850% due 03/19/07 2,000 2,030 Household Private Label Credit Card Master Note Trust I (E) Series 2002-2 Class A 1.480% due 01/18/11 1,000 1,000 Hyundai Auto Receivables Trust Series 2002-A Class A3 2.800% due 02/15/07 1,000 1,016 Illinois Power Special Purpose Trust Series 1998-1 Class A5 5.380% due 06/25/07 2,000 2,088
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- J.C.Penney Master Credit Card Trust Series 1998-E Class A 5.500% due 06/15/07 3,000 3,068 Massachusetts RRB Special Purpose Trust Series 1999-1 Class A2 6.450% due 09/15/05 788 802 MBNA Credit Card Master Note Trust Series 2001-A1 Class A1 5.750% due 10/15/08 1,000 1,094 MBNA Master Credit Card Trust USA Series 1995-C Class A 6.450% due 02/15/08 4,000 4,373 Series 2000-I Class A 6.900% due 01/15/08 3,157 3,490 Mellon Auto Grantor Trust Series 2000-1 Class A 7.180% due 10/15/06 302 308 Series 2000-2 Class A 6.390% due 07/15/07 972 1,008 Missouri Higher Education Loan Authority (E) Series 1997-97 Class P 1.760% due 07/25/08 373 373 National City Auto Receivables Trust Series 2002-A Class A4 4.830% due 08/15/09 2,000 2,123 Navistar Financial Corp. Owner Trust Series 2001-B Class A4 4.370% due 11/17/08 2,500 2,599 Nelnet Student Loan Trust (E) Series 2002-2 Class A3 1.390% due 09/25/13 2,000 1,985 New Century Home Equity Loan Trust (E) Series 2000-NC1 Class A 1.590% due 04/25/30 145 145 Nissan Auto Receivables Owner Trust Series 2000-C Class A3 6.720% due 08/16/04 145 146 Series 2001-B Class A4 5.350% due 10/15/06 925 962 Series 2001-C Class A3 4.310% due 05/16/05 759 769 Series 2001-C Class A4 4.800% due 02/15/07 1,275 1,334 Series 2002-A Class A3 3.580% due 09/15/05 1,150 1,169
86 Short Term Bond Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 2002-B Class A3 3.990% due 12/15/05 1,400 1,433 Nordstrom Private Label Credit Card Master Note Trust Series 2001-1A Class A 4.820% due 04/15/10 1,000 1,064 Onyx Acceptance Grantor Trust Series 2000-D Class A4 6.850% due 08/15/07 3,500 3,623 Series 2002-D Class A4 3.100% due 07/15/09 1,000 1,022 PBG Equipment Trust Series 1998-1A Class A 6.270% due 01/20/12 727 765 Peco Energy Transition Trust Series 1999-A Class A4 5.800% due 03/01/07 2,000 2,105 Peoplefirst.com Auto Receivables Owner Trust Series 2000-1 Class A4 7.405% due 12/15/06 4,948 4,981 Philadelphia Authority for Industrial Development Series 1997-1997 Class A 6.488% due 06/15/04 502 524 PSE&G Transition Funding LLC Series 2001-1 Class A2 5.740% due 03/15/07 732 763 Series 2001-1 Class A3 5.980% due 06/15/08 3,000 3,290 Railcar Trust Series 1992-1 Class A 7.750% due 06/01/04 4,055 4,208 Regions Auto Receivables Trust Series 2002-1 Class A3 2.630% due 01/16/07 1,500 1,525 Sears Credit Account Master Trust Series 1996-3 Class A 7.000% due 07/15/08 953 985 Series 1999-3 Class A 6.450% due 11/17/09 1,000 1,072 Series 2000-1 Class A 7.250% due 11/15/07 948 963 Series 2001-1 Class A 1.490% due 02/15/10 1,375 1,368 Series 2002-3 Class A 1.600% due 05/17/16 1,200 1,168 SLM Student Loan Trust (E) Series 1996-1 Class A2 1.891% due 07/27/09 757 766 Series 1996-3 Class A2 1.821% due 10/26/09 841 852
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Series 2002-1 Class A1 1.350% due 10/25/10 811 811 Series 2002-3 Class A2 1.360% due 10/26/09 893 894 Series 2003-3 Class A1 1.290% due 06/15/07 1,900 1,895 SSB Auto Loan Trust Series 2002-1 Class A3 2.370% due 09/15/06 1,000 1,013 Standard Credit Card Master Trust Series 1995-1 Class A 8.250% due 01/07/07 1,125 1,246 TMS SBA Loan Trust (E) Series 1996-2 Class A 2.110% due 04/15/24 300 309 Series 1997-1 Class A 2.000% due 01/15/25 427 426 Series 1997-1 Class B 2.480% due 01/15/25 285 283 USAA Auto Loan Grantor Trust Series 1999-1 Class A 6.100% due 02/15/06 136 137 Vanderbilt Acquisition Loan Trust Series 2002-1 Class A1 3.280% due 01/07/13 704 711 West Penn Funding LLC Transition Bonds Series 1999-A Class A3 6.810% due 09/25/08 1,000 1,095 WFS Financial Owner Trust Series 2002-2 Class A3 3.810% due 02/20/07 1,500 1,539 Whole Auto Loan Trust Series 2002-1 Class A3 2.600% due 08/15/06 1,000 1,017 World Omni Auto Receivables Trust Series 2001-B Class A3 3.790% due 11/21/05 1,000 1,015 ------------ 168,592 ------------ Corporate Bonds and Notes - 18.5% Abbott Laboratories 5.625% due 07/01/06 500 551 ABN Amro Bank NV 7.250% due 05/31/05 2,000 2,211 Altria Group, Inc. 7.650% due 07/01/08 1,500 1,589
Short Term Bond Fund 87 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- AOL Time Warner, Inc. 5.625% due 05/01/05 525 553 Associates Corp. of North America Series MTNH 7.625% due 04/27/05 1,000 1,105 7.250% due 05/08/06 1,700 1,919 AT&T Wireless Services, Inc. 7.350% due 03/01/06 1,000 1,114 Bank of America Corp. (E) 1.590% due 08/26/05 1,000 1,004 5.250% due 02/01/07 1,000 1,086 Bank of Montreal 6.100% due 09/15/05 1,000 1,087 7.800% due 04/01/07 1,000 1,161 Bank One Corp. 7.000% due 07/15/05 2,500 2,765 7.625% due 08/01/05 3,383 3,795 BankAmerica Corp. 6.200% due 02/15/06 750 825 Bayerische Landesbank Girozentrale 2.500% due 03/30/06 1,500 1,518 Bear Stearns Cos., Inc. (The) (E) 1.839% due 07/15/05 1,500 1,512 Boatmen's Bancshares, Inc. 7.625% due 10/01/04 3,058 3,290 Bristol-Myers Squibb Co. 4.750% due 10/01/06 9,400 9,989 CIT Group, Inc. 5.625% due 05/17/04 2,600 2,686 7.125% due 10/15/04 4,800 5,083 7.375% due 04/02/07 1,000 1,120 Citigroup, Inc. 6.750% due 12/01/05 6,525 7,261 Comcast Cable Communications 8.375% due 05/01/07 1,500 1,733 Countrywide Home Loans, Inc. Series MTNJ 5.250% due 06/15/04 7,000 7,274 Series MTNK 3.500% due 12/19/05 3,000 3,072 Deutsche Bank Financial, Inc. 6.700% due 12/13/06 1,000 1,127 DTE Energy Co. 6.000% due 06/01/04 250 261 Entergy Mississippi, Inc. 4.350% due 04/01/08 500 505 Ford Motor Credit Co. 7.600% due 08/01/05 4,000 4,193 General Electric Capital Corp. 8.850% due 04/01/05 1,000 1,129 8.500% due 07/24/08 1,000 1,228 Series MTNA 7.250% due 05/03/04 1,000 1,057
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 1.384% due 03/15/05 2,000 2,001 5.350% due 03/30/06 2,500 2,697 8.125% due 04/01/08 1,000 1,206 General Mills, Inc. 3.875% due 11/30/07 1,000 1,017 General Motors Acceptance Corp. (E) 1.679% due 07/21/04 300 296 6.750% due 01/15/06 2,710 2,858 6.150% due 04/05/07 475 492 Goldman Sachs Group, Inc. 4.125% due 01/15/08 1,700 1,754 GTE Corp. 6.360% due 04/15/06 2,000 2,209 GTE Florida, Inc. Series D 6.250% due 11/15/05 270 295 GTE Hawaiian Telephone Co. Series A 7.000% due 02/01/06 2,000 2,153 GTE North, Inc. Series E 6.400% due 02/15/05 1,200 1,284 Harrah's Operating Co., Inc. 7.125% due 06/01/07 1,500 1,647 Household Finance Corp. 6.000% due 05/01/04 1,000 1,041 8.000% due 05/09/05 4,000 4,475 4.625% due 01/15/08 2,200 2,295 International Game Technology 7.875% due 05/15/04 1,500 1,575 International Lease Finance Corp. Series MTNG 8.260% due 02/15/05 1,875 2,047 John Hancock Global Funding II 6.000% due 12/28/06 2,450 2,651 JP Morgan Chase & Co. 5.250% due 05/30/07 1,500 1,628 KFW International Finance Series DTC 5.250% due 06/28/06 1,000 1,098 Lehman Brothers Holdings, Inc. 7.750% due 01/15/05 2,000 2,187 May Department Stores Co. (The) 7.150% due 08/15/04 6,200 6,605 Merck & Co., Inc. 5.250% due 07/01/06 2,000 2,164 Morgan Stanley 6.100% due 04/15/06 1,000 1,097
88 Short Term Bond Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Morgan Stanley Group, Inc. 6.875% due 03/01/07 1,500 1,690 National Bank of Canada Series B 8.125% due 08/15/04 1,000 1,058 National Rural Utilities Cooperative Finance 3.000% due 02/15/06 6,500 6,599 Norfolk Southern Corp. (E) 2.478% due 02/28/05 700 703 South Africa Government International Bond 9.125% due 05/19/09 800 976 Southwestern Bell Telephone 6.625% due 04/01/05 2,510 2,731 Sprint Capital Corp. 6.125% due 11/15/08 100 102 State Street Capital Trust II (E) 1.869% due 02/15/08 325 325 SunAmerica, Inc. 6.750% due 10/01/07 3,850 4,388 Swiss Bank Corp. NY 7.250% due 09/01/06 1,500 1,735 Time Warner, Inc. 8.110% due 08/15/06 140 156 Tosco Corp. 7.250% due 01/01/07 1,500 1,696 US Bancorp/First Bank 7.625% due 05/01/05 1,000 1,111 Verizon Global Funding Corp. 6.750% due 12/01/05 2,000 2,226 Virginia Electric and Power Co. Series A 5.750% due 03/31/06 420 454 Wachovia Corp. 6.800% due 06/01/05 1,500 1,646 7.550% due 08/18/05 2,000 2,245 Waste Management, Inc. 7.100% due 08/01/26 1,175 1,311 Wells Fargo & Co. Series MTNH 6.750% due 10/01/06 500 564 6.750% due 06/15/07 1,000 1,143 Wells Fargo Financial, Inc. 6.125% due 02/15/06 5,650 6,243 Series MTND 1.363% due 09/12/05 3,000 3,002 Weyerhaeuser Co. 5.500% due 03/15/05 305 320 6.125% due 03/15/07 1,500 1,631 ------------ 167,630 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Emerging Markets Debt - 0.5% Brazilian Government International Bond (E) 2.125% due 04/15/06 2,208 2,070 Panama Government International Bond 8.250% due 04/22/08 1,100 1,188 Peru Government International Bond 9.125% due 01/15/08 1,000 1,110 ------------ 4,368 ------------ International Debt - 4.4% British Telecommunications PLC 7.875% due 12/15/05 1,100 1,247 Deutsche Telekom International Finance BV 8.250% due 06/15/05 3,550 3,944 European Investment Bank 5.625% due 02/03/05 1,300 1,389 Series DTC 5.625% due 01/24/06 575 628 France Telecom 8.700% due 03/01/06 1,200 1,363 Hydro Quebec Series MTNB 6.520% due 02/23/06 1,000 1,119 Inter-American Development Bank 12.250% due 12/15/08 1,250 1,816 International Bank for Reconstruction & Development 6.015% due 06/21/04 375 395 Italy Government International Bond 7.250% due 02/07/05 2,500 2,730 John Hancock Global Funding, Ltd. 7.500% due 01/31/05 4,080 4,433 Mexico Government International Bond 4.625% due 10/08/08 3,250 3,276 Province of British Columbia/Canada 4.625% due 10/03/06 2,000 2,142 Province of Manitoba 4.250% due 11/20/06 1,000 1,055 Province of Ontario 7.000% due 08/04/05 1,500 1,667 6.000% due 02/21/06 1,000 1,105 Province of Quebec 6.500% due 01/17/06 1,000 1,112
Short Term Bond Fund 89 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Telefonica Europe BV 7.350% due 09/15/05 2,500 2,791 Tyco International Group SA 6.375% due 06/15/05 265 269 Vodafone Group PLC 7.625% due 02/15/05 6,560 7,213 ------------ 39,694 ------------ Mortgage-Backed Securities - 18.8% Asset Securitization Corp. Series 1997-D4 Class A1C 7.420% due 04/14/29 2,000 2,151 Bank of America Mortgage Securities (E) Series 2002-K Class 2A1 5.773% due 10/20/32 574 587 Bank One Mortgage-Backed Pass-Through Series 2000-2 Class 4A 5.109% due 03/15/30 259 262 Bear Stearns Adjustable Rate Mortgage Trust Series 2002-9 Class 2A 5.395% due 10/25/32 162 165 Series 2003-1 Class 5A1 5.464% due 04/25/33 1,763 1,815 Bear Stearns Commercial Mortgage Securities Series 1998-C1 Class A1 6.340% due 06/16/30 861 938 Series 2001-TOP4 Class A1 5.060% due 11/15/16 478 507 Series 2003-T10 Class A1 4.000% due 03/13/40 1,000 1,015 Bear Stearns Mortgage Securities, Inc. Series 1998-1 Class A18 6.750% due 03/25/28 279 285 Chase Commercial Mortgage Securities Corp. Series 1997-2 Class A1 6.450% due 12/19/29 393 410 Chevy Chase Home Loan Trust Series 1996-1 Class A 7.150% due 05/15/15 968 996 Contimortgage Home Equity Trust 1998-3 Series 1998-2 Class A7 6.570% due 03/15/23 1,200 1,275 Countrywide Alternative Loan Trust (Y) 6.500% due 06/25/33 2,100 2,183
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Credit Suisse First Boston Mortgage Securities Corp. (Y) Series 2002 P3 Class A 2.361% due 08/25/33 1,244 1,244 CS First Boston Mortgage Securities Corp. Series 2002-AR27 Class 2A2 (Y) 5.768% due 10/25/32 576 584 Series 2003-CK2 Class A1 3.006% due 03/15/36 1,000 1,006 Federal Home Loan Mortgage Corp. 9.000% due 2005 11 11 6.250% due 2007 3 3 5.500% due 2008 498 525 6.500% due 2008 578 610 5.500% due 2009 1,001 1,050 6.000% due 2009 724 764 6.500% due 2009 1,548 1,645 6.000% due 2010 611 644 8.000% due 2010 277 293 6.000% due 2011 1,859 1,952 6.000% due 2013 535 560 5.500% due 2014 689 719 6.000% due 2016 3,711 3,878 5.500% due 2029 1,948 2,011 7.312% due 2031 148 150 6.500% due 2032 820 856 Series 1993-1645 Class PD 4.500% due 09/15/08 504 525 Series 2002-2441 Class KA 5.750% due 05/15/31 600 612 Series 2003-2557 Class MA 4.500% due 07/15/16 1,000 1,032 Series 2003-2571 Class FB 1.660% due 02/15/18 1,873 1,874 Series 2003-2580 Class QK 4.000% due 04/15/22 1,500 1,508 Federal National Mortgage Association 15 Year TBA 4.500% (ethD) 7,500 7,640 5.000% (ethD) 6,000 6,154 6.000% (ethD) 2,500 2,620 7.000% due 2004 12 12 6.853% due 2005 360 385 6.000% due 2008 385 406 6.500% due 2008 482 514 5.500% due 2009 11,537 12,055 6.000% due 2010 1,174 1,239 6.500% due 2010 520 553 6.000% due 2011 874 927 6.500% due 2011 538 574
90 Short Term Bond Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 5.500% due 2013 962 1,016 6.000% due 2013 2,196 2,304 6.000% due 2014 5,919 6,215 5.500% due 2016 10,365 10,788 6.000% due 2016 3,880 4,068 5.500% due 2017 20,887 21,738 6.000% due 2017 20,731 21,735 6.825% due 2018 459 474 4.518% due 2022 381 392 4.503% due 2024 788 817 7.500% due 2031 342 364 6.393% due 2040 1,863 1,947 Series 1994-1 Class K 6.500% due 06/25/13 866 903 Series 2003-27 Class TJ 4.000% due 10/25/16 2,000 2,054 Series 2003-28 Class PA 5.500% due 05/25/06 2,805 2,840 Federal National Mortgage Association Grantor Trust Series 2002-T6 Class A1 3.310% due 02/25/32 544 543 First Republic Mortgage Loan Trust Series 2000-FRB1 Class A2 4.382% due 06/25/30 315 319 Fleet Mortgage Securities Series 2001-1 Class A1 6.000% due 07/28/29 87 89 GE Capital Commercial Mortgage Corp. Series 2001-2 Class A1 5.260% due 08/11/33 754 800 Series 2001-3 Class A1 5.560% due 06/10/38 948 1,019 Government National Mortgage Association I 7.250% due 2006 254 261 7.000% due 2007 18 19 6.000% due 2008 340 360 7.000% due 2008 332 356 7.000% due 2009 258 278 7.000% due 2011 132 141 7.000% due 2012 147 158 9.500% due 2017 2 2 Government National Mortgage Association II (E) 5.750% due 2027 383 392 5.000% due 2032 910 928 GSR Mortgage Loan Trust (E) Series 2002-9 Class A1A 2.882% due 10/25/32 388 388 Irwin Home Equity (E) Series 2002-1 Class 2A1 1.610% due 06/25/29 223 223
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- JP Morgan Chase Commercial Mortgage Securities Corp. Series 2002-C2 Class A1 4.326% due 12/12/34 982 1,012 Morgan Stanley Capital I Series 1998-WF2 Class A1 6.340% due 07/15/30 503 541 Morgan Stanley Dean Witter Capital I (E) Series 2002-HE1 Class A2 1.650% due 07/25/32 485 485 Series 2002-HQ Class A2 6.090% due 04/15/34 500 556 Series 2002-IQ2 Class A1 4.090% due 12/15/35 1,327 1,380 Residential Accredit Loans, Inc. Series 2000-QS12 Class A1 7.750% due 10/25/30 92 94 Series 2001-QS19 Class A1 6.000% due 12/25/16 725 748 Residential Funding Mortgage Sec I Series 2002-SA2 Class A1 5.650% due 09/25/32 267 272 Residential Funding Mortgage Securities II Series 2003-HS1 Class AI2 2.120% due 02/25/33 2,500 2,495 Resolution Trust Corp. Series 1995-2 Class C1 7.450% due 05/25/29 138 138 Structured Asset Mortgage Investments, Inc. Series 1998-9 Class 2A2 6.125% due 11/25/13 295 304 Series 2002-AR3 Class A1 1.659% due 09/19/32 289 290 Structured Asset Securities Corp. (E) Series 2001-21A Class 1A1 6.250% due 01/25/32 1,047 1,085 Union Planters Mortgage Finance Corp. Series 1999-1 Class A1 6.250% due 04/01/29 182 186 United Mortgage Securities Corp. Series 1993-1 Class AA 5.063% due 09/25/33 350 356 Series 1994-1 Class A2 4.474% due 06/25/32 1,001 1,022
Short Term Bond Fund 91 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Vendee Mortgage Trust Series 2000-1 Class 2B 7.250% due 12/15/20 232 234 Wachovia Asset Securitization, Inc. Series 2002-1 Class 1A1 6.250% due 10/25/33 543 557 Wachovia Bank Commercial Mortgage Trust Series 2003-C4 Class A1 3.003% due 04/15/35 1,000 1,007 Washington Mutual (E) Series 2000-1 Class A1 1.610% due 06/25/24 105 105 Series 2001-1 Class A 4.055% due 01/25/41 89 89 Washington Mutual Mortgage Securities Corp. (E) Series 2001-9 Class 1A1 4.373% due 04/25/28 218 225 Washington Mutual MSC Mortgage Pass-Through CTFS (E)(Y) 5.799% due 08/25/32 2,084 2,141 Series 2002-AR1 Class 1A1 4.927% due 11/25/30 480 502 Series 2002-AR2 Class 2A1 6.190% due 07/25/32 374 385 ------------ 169,864 ------------ Municipal Bonds - 0.0% California State Department of Water Resources Revenue Bonds 3.585% due 05/01/04 475 482 ------------ United States Government Agencies - 2.5% Federal Home Loan Bank System 0.000% due 04/27/10 1,533 1,427 Federal Home Loan Mortgage Corp. 4.250% due 03/22/06 1,450 1,481 3.500% due 09/15/07 8,500 8,738 Federal National Mortgage Association 4.450% due 05/03/05 1,150 1,192 2.875% due 10/15/05 5,600 5,736 6.625% due 10/15/07 2,450 2,832 Vendee Mortgage Trust 6.500% due 05/15/08 806 852 ------------ 22,258 ------------ United States Government Treasuries - 20.0% United States Treasury Bond 10.000% due 05/15/10 1,025 1,195 United States Treasury Inflation Indexed Bonds 3.875% due 01/15/09 1,005 1,128
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- 4.250% due 01/15/10 5,222 6,021 3.875% due 04/15/29 111 135 United States Treasury Note 3.250% due 05/31/04 14,115 14,430 5.875% due 11/15/04 4,945 5,286 2.000% due 11/30/04 18,375 18,566 1.750% due 12/31/04 100 101 1.625% due 03/31/05 81,870 82,114 1.625% due 04/30/05 440 441 6.750% due 05/15/05 4,330 4,783 5.875% due 11/15/05 4,825 5,303 5.625% due 02/15/06 920 1,014 4.625% due 05/15/06 2,140 2,305 6.875% due 05/15/06 115 131 7.000% due 07/15/06 685 789 3.500% due 11/15/06 14,640 15,262 4.375% due 05/15/07 6,825 7,323 3.000% due 11/15/07 4,475 4,536 3.000% due 02/15/08 1,190 1,202 8.750% due 11/15/08 1,700 1,768 9.125% due 05/15/09 750 810 6.000% due 08/15/09 505 585 10.375% due 11/15/09 900 1,022 12.750% due 11/15/10 1,825 2,313 10.375% due 11/15/12 1,075 1,424 8.750% due 05/15/17 800 1,163 ------------ 181,150 ------------ TOTAL LONG-TERM INVESTMENTS (cost $740,756) 754,038 ------------ SHORT-TERM INVESTMENTS - 19.0% African Development Bank 9.750% due 12/15/03 1,720 1,809 AT&T Corp. 7.500% due 04/01/04 3,500 3,639 AvalonBay Communities, Inc. 6.580% due 02/15/04 750 778 British Telecommunications PLC (E) 2.554% due 12/15/03 200 201 Bundesschatzanweisungen 4.250% due 06/13/03 3,700 4,136 Conoco, Inc. 5.900% due 04/15/04 475 494 CSX Corp. Series MTNC 5.850% due 12/01/03 1,000 1,024
92 Short Term Bond Fund SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- DaimlerChrysler Financial Services North America LLC (E) Series MTNR 1.431% due 06/18/03 400 400 Danske Corp. Commercial Paper (c)(y) 1.210% due 07/10/03 9,500 9,470 Duke Realty, LP 7.300% due 06/30/03 2,000 2,017 ERP Operating, LP 6.650% due 11/15/03 1,000 1,025 Evans Withycombe Residential 7.500% due 04/15/04 1,000 1,045 Federal Home Loan Mortgage Corp. Discount Note (c)(y) 1.170% due 07/10/03 5,600 5,583 Federal National Mortgage Association Discount Note (c)(y) 1.220% due 05/21/03 12,700 12,691 1.160% due 07/02/03 5,600 5,585 First Chicago Corp. 6.875% due 06/15/03 1,000 1,006 Ford Motor Credit Co. (E) 1.806% due 06/23/03 500 500 Frank Russell Investment Company Money Market Fund 85,358 85,358 French Treasury Note BTAN 4.500% due 07/12/03 3,476 3,893 General Electric Capital Corp. (AE) Series MTNA 5.375% due 04/23/04 3,000 3,114 General Electric Capital Corp. Commercial Paper 1.250% due 07/23/03 300 299 1.250% due 07/25/03 1,800 1,797 General Motors Acceptance Corp. (E) 1.680% due 08/04/03 1,200 1,199 5.750% due 11/10/03 750 763 HBOS Treasury Services PLC Commercial Paper (E) 1.240% due 05/29/03 2,800 2,797 Italy Buoni Poliennali Del Tesoro 4.500% due 07/15/03 1,876 2,102 ITT Corp. 6.750% due 11/15/03 1,500 1,523 Kimco Realty Corp. 6.500% due 10/01/03 1,000 1,020 Landesbank Baden-Wuerttemberg Girozentrale 7.875% due 04/15/04 2,500 2,662
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Morgan Stanley (E) Series MTNC 1.361% due 09/19/03 1,500 1,501 Province of Manitoba 6.125% due 01/19/04 2,000 2,066 RBSG Capital Corp. 10.125% due 03/01/04 1,000 1,068 Sears Roebuck Acceptance Series MTN3 6.560% due 11/20/03 1,000 1,018 Series MTN4 6.720% due 09/17/03 2,550 2,587 Svenska Handlsbank Commercial Paper (c)(y) 1.230% due 06/24/03 3,900 3,893 United States Treasury Bill (c)(y)(s) 1.150% due 05/15/03 100 100 United States Treasury Note 1.087% due 05/15/03 1,650 1,673 Upjohn Co.-Esot 9.790% due 02/01/04 213 226 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $170,892) 172,062 ------------ TOTAL INVESTMENTS - 102.3% (identified cost $911,648) 926,100 OTHER ASSETS AND LIABILITIES NET - (2.3%) (20,680) ------------ NET ASSETS - 100.0% 905,420 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Euribor Futures (UK) expiration date 09/03 (1) 244 -- expiration date 03/04 (1) 244 (1) Eurodollar Futures expiration date 06/04 (13) 3,193 6 expiration date 09/04 (15) 3,671 7 expiration date 12/04 (17) 4,144 7 expiration date 03/05 (15) 3,644 7
See accompanying notes which are an integral part of the financial statements. Short Term Bond Fund 93 SHORT TERM BOND FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Three Month LIBOR Futures (UK) expiration date 12/03 (1) 121 -- expiration date 03/04 (1) 121 (1) ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 25 ============
NOTIONAL MARKET OPTIONS WRITTEN AMOUNT VALUE (NUMBER OF CONTRACTS) $ $ ----------------------------------------------------------------------------- Three Month LIBOR Swap July 03 4.00 Call (1) 2,400 (4) Dec 03 3.50 Call (1) 7,350 (19) Dec 03 5.50 Put (1) 11,550 (7) ------------ Total Liability for Options Written (premiums received $54) (30) ============
FOREIGN CURRENCY EXCHANGE CONTRACTS ------------------------------------------------------------------------- UNREALIZED APPRECIATION AMOUNT AMOUNT SETTLEMENT (DEPRECIATION) SOLD BOUGHT DATE $ ------------------- -------------------- ----------- -------------- EUR 4,111 USD 4,413 05/15/03 (173) ==============
See accompanying notes which are an integral part of the financial statements. 94 Short Term Bond Fund SELECT GROWTH FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 94.9% Auto and Transportation - 1.9% FedEx Corp. 2 120 Harley-Davidson, Inc. 2 84 JB Hunt Transport Services, Inc. (AE) 1 41 Mercury Air Group, Inc. (AE) 4 14 OMI Corp. (AE) 10 48 Paccar, Inc. 2 88 Southwest Airlines Co. 36 574 Werner Enterprises, Inc. 2 45 ------------ 1,014 ------------ Consumer Discretionary - 18.1% 3DO Co. (The) (AE) 5 9 Aeropostale, Inc. New (AE) 2 41 Aldila, Inc. (AE) 6 10 Alliance Gaming Corp. (AE) 1 8 Amazon.Com, Inc. (AE) 16 470 Apollo Group, Inc. Class A (AE) 5 282 Ask Jeeves (AE) 8 62 Bed Bath & Beyond, Inc. (AE) 4 146 Best Buy Co., Inc. (AE) 10 356 Bon-Ton Stores, Inc. (The) (AE) 8 34 Carmike Cinemas, Inc. (AE) 2 35 CellStar Corp. (AE) 4 24 Chico's FAS, Inc. (AE) 7 180 Christopher & Banks Corp. (AE) 2 38 Clear Channel Communications, Inc. (AE) 8 294 Coach, Inc. (AE) 2 96 Corinthian Colleges, Inc. (AE) 2 82 Corporate Executive Board Co. (AE) 1 49 Costco Wholesale Corp. (AE) 2 52 DiamondCluster International, Inc. Class A (AE) 16 31 eBay, Inc. (AE) 8 713 Electronic Arts, Inc. (AE) 5 321 Emerson Radio (AE) 4 28 Entercom Communications Corp. (AE) 0 19 Family Dollar Stores 2 82 Getty Images, Inc. (AE) 2 64 Good Guys, Inc. (AE) 10 17 Harman International Industries, Inc. 3 186 Home Depot, Inc. 13 360 infoUSA, Inc. (AE) 12 61 International Game Technology (AE) 1 121 JOS A Bank Clothiers, Inc. (AE) 3 77 K2, Inc. (AE) 4 42 Kohl's Corp. (AE) 11 612 Kroll, Inc. (AE) 2 51
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Lamar Advertising Co. (AE) 2 54 Leapfrog Enterprises, Inc. (AE) 3 69 Lowe's Cos., Inc. 4 167 Magna Entertainment Corp. Class A (AE) 7 36 Midway Games, Inc. (AE) 7 21 Neoforma, Inc. (AE) 3 29 Nike, Inc. Class B 6 343 Omnicom Group 7 444 Perry Ellis International, Inc. (AE) 2 46 Pixar, Inc. (AE) 5 304 Quiksilver, Inc. (AE) 3 82 Radio One, Inc. Class D (AE) 3 49 Rare Hospitality International, Inc. (AE) 1 38 Red Robin Gourmet Burgers, Inc. (AE) 3 43 Restoration Hardware, Inc. 1 4 Rubio's Restaurants, Inc. (AE) 4 20 Scientific Games Corp. Class A (AE) 9 59 Stanley Furniture Co., Inc. (AE) 1 20 Station Casinos, Inc. (AE) 2 35 Sylvan Learning Systems, Inc. (AE) 2 37 Tivo, Inc. (AE) 9 53 Trans World Entertainment Corp. (AE) 7 26 Universal Electronics, Inc. (AE) 3 29 University of Phoenix Online (AE) 2 93 Univision Communications, Inc. Class A (AE) 4 133 USA Interactive (AE) 10 288 Vans, Inc. (AE) 1 5 VCA Antech, Inc. (AE) 2 35 Viacom, Inc. Class B (AE) 3 130 Wal-Mart Stores, Inc. 24 1,338 Water Pik Technologies, Inc. (AE) 3 23 Wireless Facilities, Inc. (AE) 8 56 Yahoo, Inc. (AE) 23 565 ------------ 9,727 ------------ Consumer Staples - 5.4% Coca-Cola Co. (The) 17 704 Colgate-Palmolive Co. 4 206 Hain Celestial Group, Inc. (AE) 2 36 John B. Sanfilippo & SON (AE) 3 53 PepsiCo, Inc. 14 612 Procter & Gamble Co. 7 657 Walgreen Co. 17 539 Whole Foods Market, Inc. (AE) 2 101 ------------ 2,908 ------------
Select Growth Fund 95 SELECT GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Financial Services - 12.4% Affiliated Computer Services, Inc. Class A (AE) 2 105 Aflac, Inc. 11 343 American Express Co. 16 599 American International Group 3 185 Bank of America Corp. 3 207 Charles Schwab Corp. (The) 52 448 Citigroup, Inc. 22 861 Doral Financial Corp. 3 116 E*TRADE Group, Inc. (AE) 5 26 First Data Corp. 9 362 First Tennessee National Corp. 1 44 Goldman Sachs Group, Inc. 4 337 Lehman Brothers Holdings, Inc. 7 460 LendingTree, Inc. (AE) 4 50 MGIC Investment Corp. 1 64 Morgan Stanley 8 340 Paychex, Inc. 19 588 Pico Holdings, Inc. (AE) 2 32 Principal Financial Group 2 49 Progressive Corp. (The) 18 1,235 Republic First Bancorp, Inc. (AE) 3 25 Scottish Annuity & Life Holdings, Ltd. 3 51 SLM Corp. 1 134 ------------ 6,661 ------------ Health Care - 21.8% Abaxis, Inc. (AE) 4 15 Alcon, Inc. 2 97 Amgen, Inc. (AE) 28 1,748 Amylin Pharmaceuticals, Inc. (AE) 3 61 Boston Scientific Corp. (AE) 9 375 Cell Therapeutics, Inc. (AE) 6 54 Connetics Corp. (AE) 5 86 Edwards Lifesciences Corp. (AE) 2 69 Eli Lilly & Co. 7 460 Eon Labs, Inc. (AE) 2 58 Forest Laboratories, Inc. (AE) 13 689 Genelabs Technologies (AE) 14 21 Genentech, Inc. (AE) 13 485 Genzyme Corp.-General Division (AE) 5 201 Gilead Sciences, Inc. (AE) 6 263 Impax Laboratories, Inc. (AE) 5 32 Johnson & Johnson 24 1,330 LCA-Vision, Inc. (AE) 5 28 Martek Biosciences Corp. (AE) 3 112 Medimmune, Inc. (AE) 19 687 Merck & Co., Inc. 2 140 Millennium Pharmaceuticals, Inc. (AE) 5 50
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Pfizer, Inc. 85 2,605 Praecis Pharmaceuticals, Inc. (AE) 6 28 Prime Medical Services, Inc. (AE) 3 13 Resmed, Inc. (AE) 2 70 SFBC International, Inc. (AE) 3 44 SICOR, Inc. (AE) 4 74 St Jude Medical, Inc. (AE) 8 437 Stericycle, Inc. (AE) 1 24 Taro Pharmaceuticals Industries (AE) 1 55 Telik, Inc. (AE) 4 46 Teva Pharmaceutical Industries - ADR 7 348 Transkaryotic Therapies, Inc. (AE) 8 46 UnitedHealth Group, Inc. 4 363 Wyeth 13 556 ------------ 11,770 ------------ Materials and Processing - 0.6% Boise Cascade Corp. 2 46 Culp, Inc. (AE) 4 20 Encore Wire Corp. (AE) 6 47 Griffon Corp. (AE) 2 25 Nucor Corp. 2 61 RTI International Metals, Inc. (AE) 5 46 United States Steel Corp. 4 56 ------------ 301 ------------ Miscellaneous - 4.3% 3M Co. 4 475 Fortune Brands, Inc. 2 73 General Electric Co. 56 1,662 Illinois Tool Works, Inc. 1 70 US Industries, Inc. (AE) 12 57 ------------ 2,337 ------------ Other Energy - 1.5% BJ Services Co. (AE) 4 139 Burlington Resources, Inc. 2 69 ENSCO International, Inc. 3 81 Key Energy Services, Inc. (AE) 4 35 Nabors Industries, Ltd. (AE) 3 98 National-Oilwell, Inc. Class C (AE) 2 31 Patterson-UTI Energy, Inc. (AE) 1 36 Smith International, Inc. (AE) 3 117 Unit Corp. (AE) 3 53 Varco International, Inc. (AE) 2 40 XTO Energy, Inc. 7 131 ------------ 830 ------------ Producer Durables - 3.6% Applied Materials, Inc. (AE) 53 769
96 Select Growth Fund SELECT GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Candela Corp. (AE) 4 43 Caterpillar, Inc. 1 42 Danaher Corp. 3 179 General Cable Corp. 9 42 Kla-Tencor Corp. (AE) 1 45 Lockheed Martin Corp. 1 45 MTC Technologies, Inc. (AE) 2 32 Nokia OYJ - ADR 21 353 Orbital Sciences Corp. (AE) 4 21 Pall Corp. 3 61 Southern Energy Homes, Inc. (AE) 24 28 Telefonaktiebolaget LM Ericsson - ADR (AE) 21 193 Ultratech Stepper, Inc. (AE) 3 47 United Defense Industries, Inc. (AE) 1 34 Veridian Corp. (AE) 1 27 ------------ 1,961 ------------ Technology - 24.4% ADC Telecommunications, Inc. (AE) 15 35 Adobe Systems, Inc. 4 131 Altera Corp. (AE) 6 93 Amdocs, Ltd. (AE) 6 113 Analog Devices, Inc. (AE) 13 418 Artisan Components, Inc. (AE) 3 59 Aspect Communications Corp. (AE) 11 39 Autodesk, Inc. 6 90 Avid Technology, Inc. (AE) 3 88 Avocent Corp. (AE) 3 92 BEA Systems, Inc. (AE) 7 72 Broadcom Corp. Class A (AE) 4 77 Business Objects SA - ADR (AE) 2 52 Centillium Communications, Inc. (AE) 11 63 Cisco Systems, Inc. (AE) 82 1,234 Coherent, Inc. (AE) 4 85 Concerto Software, Inc. (AE) 4 18 Corning, Inc. (AE) 37 203 Cree, Inc. (AE) 3 64 Cypress Semiconductor Corp. (AE) 8 72 Dell Computer Corp. (AE) 53 1,532 Documentum, Inc. (AE) 3 63 Dot Hill Systems Corp. 7 44 DRS Technologies, Inc. (AE) 3 70 EDO Corp. 5 96 EMC Corp. (AE) 41 375 Epicor Software Corp. (AE) 8 22 Exar Corp. (AE) 6 87 F5 Networks, Inc. (AE) 5 63 Filenet Corp. (AE) 4 60 Flir Systems, Inc. (AE) 2 78
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Genesis Microchip, Inc. (AE) 3 48 GlobespanVirata, Inc. (AE) 7 40 Intel Corp. 90 1,647 InterVoice, Inc. (AE) 20 34 Interwoven, Inc. (AE) 13 24 Jabil Circuit, Inc. (AE) 2 36 JDS Uniphase Corp. (AE) 28 89 Juniper Networks, Inc. (AE) 7 76 L-3 Communications Holdings, Inc. (AE) 1 53 Lantronix, Inc. (AE) 40 22 Linear Technology Corp. 3 100 Maxim Integrated Products 24 924 Mercury Interactive Corp. (AE) 3 102 Microchip Technology, Inc. 5 94 Micron Technology, Inc. (AE) 36 303 Microsoft Corp. 36 921 Netsolve, Inc. (AE) 3 20 Network Appliance, Inc. (AE) 39 521 O2Micro International, Ltd. (AE) 8 90 Oak Technology, Inc. (AE) 15 74 Oracle Corp. (AE) 10 114 Overland Storage, Inc. (AE) 3 44 Planar Systems, Inc. (AE) 3 44 Qualcomm, Inc. 11 351 Red Hat, Inc. (AE) 11 67 Saba Software, Inc. (AE) 21 25 SafeNet, Inc. (AE) 2 50 SAP AG - ADR 12 309 Secure Computing Corp. (AE) 7 38 Seebeyond Technology Corp. (AE) 10 23 Siebel Systems, Inc. (AE) 22 187 SRS Labs, Inc. (AE) 9 22 Symantec Corp. (AE) 2 79 Texas Instruments, Inc. 3 55 Utstarcom, Inc. (AE) 4 76 Veritas Software Corp. (AE) 2 44 webMethods, Inc. (AE) 3 31 Westell Technologies, Inc. Class A (AE) 9 39 Xilinx, Inc. (AE) 28 757 ------------ 13,161 ------------ Utilities - 0.9% Boston Communications Group (AE) 4 67 Comcast Corp. Class A (AE) 2 57 Intrado, Inc. (AE) 5 48 Nextel Communications, Inc. Class A (AE) 11 166
Select Growth Fund 97 SELECT GROWTH FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Nextel Partners, Inc. Class A (AE) 3 19 Vodafone Group PLC - ADR 6 123 ------------ 480 ------------ TOTAL COMMON STOCKS (cost $49,264) 51,150 ------------ SHORT-TERM INVESTMENTS - 5.3% Frank Russell Investment Company Money Market Fund 2,349 2,349 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 500 499 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $2,848) 2,848 ------------ TOTAL INVESTMENTS - 100.2% (identified cost $52,112) 53,998 OTHER ASSETS AND LIABILITIES NET - (0.2%) (132) ------------ NET ASSETS - 100.0% 53,866 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions Nasdaq 100 Index expiration date 06/03 (7) 776 69 S&P Barra Growth Index expiration date 06/03 (10) 1,182 69 S&P E-Mini Index expiration date 06/03 (6) 275 14 S&P 500 Index expiration date 06/03 (3) 687 1 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 152 ============
See accompanying notes which are an integral part of the financial statements. 98 Select Growth Fund SELECT VALUE FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 94.6% Auto and Transportation - 1.3% Canadian National Railway Co. 1 31 Harley-Davidson, Inc. 2 76 Lear Corp. (AE) 9 350 Roadway Corp. 2 59 Tidewater, Inc. 7 186 Union Pacific Corp. 2 96 ------------ 798 ------------ Consumer Discretionary - 9.0% Abercrombie & Fitch Co. Class A (AE) 4 122 Accenture, Ltd. Class A (AE) 2 33 Advance Auto Parts (AE) 2 99 Allied Waste Industries, Inc. (AE) 13 104 AnnTaylor Stores Corp. (AE) 3 78 AOL Time Warner, Inc. (AE) 25 346 Brinker International, Inc. (AE) 8 238 Carnival Corp. 8 223 Clear Channel Communications, Inc. (AE) 5 184 Federated Department Stores 7 224 Fox Entertainment Group, Inc. Class A (AE) 6 160 Gannett Co., Inc. 5 375 GTECH Holdings Corp. (AE) 2 57 Hearst-Argyle Television, Inc. Class C (AE) 5 108 Home Depot, Inc. 19 547 Kimberly-Clark Corp. 5 262 Liz Claiborne, Inc. 1 42 Michaels Stores, Inc. (AE) 6 172 Movado Group, Inc. 2 41 Nike, Inc. Class B 2 83 OfficeMax, Inc. (AE) 9 51 Reebok International, Ltd. (AE) 3 84 Reed Elsevier PLC - ADR 7 215 Royal Caribbean Cruises, Ltd. 6 119 Sears Roebuck and Co. 2 65 Staples, Inc. (AE) 10 188 Starwood Hotels & Resorts Worldwide, Inc. 2 62 Take-Two Interactive Softwar (AE) 1 27 Tribune Co. 4 175 Viacom, Inc. Class B (AE) 8 357 Walt Disney Co. 9 168 Waste Management, Inc. 19 413 WPP Group PLC - ADR 11 385 ------------ 5,807 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Consumer Staples - 4.2% Altria Group, Inc. 18 538 Chiquita Brands International, Inc. (AE) 5 66 Coca-Cola Enterprises, Inc. 7 144 Colgate-Palmolive Co. 1 61 Dean Foods Co. (AE) 6 266 Del Monte Foods Co. (AE) 2 13 Diageo PLC - ADR 2 84 Dial Corp. (The) 5 112 HJ Heinz Co. 4 123 JM Smucker Co. (The) 1 26 Kellogg Co. 13 423 Kroger Co. (AE) 10 138 Loews Corp. - Carolina Group 3 48 PepsiCo, Inc. 6 243 Procter & Gamble Co. 4 352 Safeway, Inc. (AE) 5 88 ------------ 2,725 ------------ Financial Services - 32.2% ACE, Ltd. 15 490 Allstate Corp. (The) 8 311 American Express Co. 11 426 American International Group 5 307 Astoria Financial Corp. 3 78 Automatic Data Processing 9 293 Bank of America Corp. 20 1,504 Bank One Corp. 1 36 Banknorth Group, Inc. 2 57 Bankunited Financial Corp. Class A (AE) 4 70 Bear Stearns Cos., Inc. (The) 4 267 Brown & Brown, Inc. 2 61 CBL & Associates Properties, Inc. (o) 4 149 Chubb Corp. 2 96 Citigroup, Inc. 51 2,005 Countrywide Financial Corp. 4 270 Cullen/Frost Bankers, Inc. 2 59 Dime Community Bancshares 4 96 Doral Financial Corp. 3 110 Equity Office Properties Trust (o) 1 37 Fannie Mae 8 591 First Data Corp. 12 475 FleetBoston Financial Corp. 26 679 Franklin Resources, Inc. 7 258 Freddie Mac 13 769 Goldman Sachs Group, Inc. 7 496 Greater Bay Bancorp 3 40 H&R Block, Inc. 9 359 Hartford Financial Services Group, Inc. 2 99
Select Value Fund 99 SELECT VALUE FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- HSBC Holdings PLC - ADR 7 366 Innkeepers USA Trust (o) 9 66 JP Morgan Chase & Co. 10 288 Legg Mason, Inc. 2 98 Lehman Brothers Holdings, Inc. 7 409 Lincoln National Corp. 10 316 Marsh & McLennan Cos., Inc. 18 877 MBNA Corp. 34 649 Mellon Financial Corp. 31 817 Mercury General Corp. 3 119 Merrill Lynch & Co., Inc. 10 394 Metlife, Inc. 8 228 MGIC Investment Corp. 7 314 Morgan Stanley 10 461 National City Corp. 6 184 National Commerce Financial Corp. 11 216 RenaissanceRe Holdings, Ltd. 1 44 Republic Bancorp, Inc. 10 129 Safeco Corp. 1 49 Sandy Spring Bancorp, Inc. 4 111 Simon Property Group, Inc. (o) 5 173 SouthTrust Corp. 6 173 Sovereign Bancorp, Inc. 25 382 St Paul Cos 20 693 SunTrust Banks, Inc. 5 311 T Rowe Price Group, Inc. 3 95 Travelers Property Casualty Corp. (AE) 2 58 Travelers Property Casualty Corp. Class A 11 172 Triad Guaranty, Inc. (AE) 3 104 US Bancorp 16 354 Wachovia Corp. 21 812 Wells Fargo & Co. 16 777 Whitney Holding Corp. 2 64 ------------ 20,791 ------------ Health Care - 10.1% Abbott Laboratories 3 103 AdvancePCS (AE) 8 237 Biogen, Inc. (AE) 18 676 Bristol-Myers Squibb Co. 20 511 Cobalt Corp. (AE) 4 63 CR Bard, Inc. 1 57 Edwards Lifesciences Corp. (AE) 2 58 Eli Lilly & Co. 2 137 Genzyme Corp.-General Division (AE) 10 387 Guidant Corp. 16 612 HCA, Inc. 9 273 Johnson & Johnson 4 234 Mid Atlantic Medical Services (AE) 1 61
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Novartis AG - ADR 5 205 Pfizer, Inc. 36 1,114 Priority Healthcare Corp. Class B (AE) 2 50 Quest Diagnostics (AE) 3 191 Schering-Plough Corp. 12 224 Tenet Healthcare Corp. (AE) 19 282 Watson Pharmaceuticals, Inc. (AE) 3 99 WellPoint Health Networks (AE) 7 501 Wyeth 10 448 ------------ 6,523 ------------ Integrated Oils - 5.4% BP PLC - ADR 9 339 ChevronTexaco Corp. 11 690 ConocoPhillips 17 840 Exxon Mobil Corp. 39 1,387 Total Fina Elf SA - ADR 1 53 Unocal Corp. 6 172 ------------ 3,481 ------------ Materials and Processing - 8.1% Air Products & Chemicals, Inc. 5 220 Alcoa, Inc. 25 566 Archer-Daniels-Midland Co. 22 242 Bemis Co. 2 91 Bowater, Inc. 2 85 Chicago Bridge & Iron Co. NV 2 42 Dow Chemical Co. (The) 16 508 Du Pont EI de Nemours & Co. 12 519 International Paper Co. 18 654 Lyondell Chemical Co. 3 41 Newmont Mining Corp. 11 297 Phelps Dodge Corp. (AE) 3 99 Placer Dome, Inc. 5 49 PPG Industries, Inc. 4 212 Praxair, Inc. 2 92 Rohm & Haas Co. 12 411 Schulman (A.), Inc. 5 80 Silgan Holdings, Inc. (AE) 4 101 Smurfit-Stone Container Corp. (AE) 7 97 Syngenta AG Class R - ADR 22 228 Weyerhaeuser Co. Series O 12 575 ------------ 5,209 ------------ Miscellaneous - 1.2% 3M Co. -- 35 Eaton Corp. 2 164 Tyco International, Ltd. 35 544 ------------ 743 ------------
100 Select Value Fund SELECT VALUE FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Other Energy - 2.9% Anadarko Petroleum Corp. 11 501 Apache Corp. -- 4 Baker Hughes, Inc. 4 99 Devon Energy Corp. 6 281 ENSCO International, Inc. 7 185 Equitable Resources, Inc. 1 38 Noble Corp. (AE) 5 161 Schlumberger, Ltd. 6 231 Sunoco, Inc. 5 197 Valero Energy Corp. 5 173 ------------ 1,870 ------------ Producer Durables - 6.8% AGCO Corp. (AE) 2 35 American Power Conversion (AE) 15 229 AO Smith Corp. 4 113 Caterpillar, Inc. 2 98 Deere & Co. 20 888 Lennar Corp. Class A 6 336 Lockheed Martin Corp. 7 345 Nokia OYJ - ADR 4 73 Northrop Grumman Corp. 10 844 Pall Corp. 18 372 Teradyne, Inc. (AE) 17 193 United Defense Industries, Inc. (AE) 4 90 United Technologies Corp. 11 705 Waters Corp. (AE) 3 79 ------------ 4,400 ------------ Technology - 5.5% Amdocs, Ltd. (AE) 19 341 Analog Devices, Inc. (AE) 9 301 Cadence Design Systems, Inc. (AE) 27 303 Cisco Systems, Inc. (AE) 7 102 EMC Corp. (AE) 31 282 General Dynamics Corp. 3 174 Intel Corp. 20 371 International Business Machines Corp. 6 518 Marvell Technology Group, Ltd. (AE) 2 46 Microsoft Corp. 6 156 Motorola, Inc. 16 123 Motorola, Inc. 3 83 Nvidia Corp. (AE) 2 30 Rockwell Automation, Inc. 16 367 Scientific-Atlanta, Inc. Class C 4 65 Texas Instruments, Inc. 8 145
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Western Digital Corp. (AE) 12 107 Zoran Corp. (AE) 3 50 ------------ 3,564 ------------ Utilities - 7.9% AT&T Corp. 7 122 AT&T Wireless Services, Inc. (AE) 37 241 BellSouth Corp. 17 446 Cascade Natural Gas Corp. 4 84 Comcast Corp. Class A (AE) 9 291 Duke Energy Corp. 10 169 Edison International (AE) 21 299 Energen Corp. 3 82 Energy East Corp. 6 102 Exelon Corp. 7 355 FPL Group, Inc. 3 203 Great Plains Energy, Inc. 4 107 KeySpan Corp. 5 160 National Fuel Gas Co. 6 135 Nextel Communications, Inc. Class A (AE) 5 67 NSTAR 5 211 Otter Tail Corp. 3 93 PPL Corp. 11 382 SBC Communications, Inc. 21 492 TXU Corp. 5 106 Verizon Communications, Inc. 16 587 Vodafone Group PLC - ADR 16 320 WGL Holdings, Inc. 2 66 ------------ 5,120 ------------ TOTAL COMMON STOCKS (cost $61,000) 61,031 ------------ PREFERRED STOCKS - 0.2% Financial Services - 0.0% Chubb Corp. 1 17 ------------ Technology - 0.1% Northrop Grumman Corp. (AE) -- 44 ------------ Utilities - 0.1% TXU Corp. (AE) 2 67 ------------ TOTAL PREFERRED STOCKS (cost $172) 128 ------------
Select Value Fund 101 SELECT VALUE FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 5.5% Frank Russell Investment Company Money Market Fund 3,067 3,067 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 500 499 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $3,566) 3,566 ------------ TOTAL INVESTMENTS - 100.3% (identified cost $64,738) 64,725 OTHER ASSETS AND LIABILITIES NET - (0.3%) (172) ------------ NET ASSETS - 100.0% 64,553 ============ UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------- Long Positions S&P Barra Value Index expiration date 06/03 (20) 2,203 225 S&P E-Mini Index expiration date 06/03 (11) 504 18 S&P 500 Index expiration date 06/03 (5) 1,145 32 ------------ Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 275 ============
See accompanying notes which are an integral part of the financial statements. 102 Select Value Fund This page has been intentionally left blank. STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
EQUITY I EQUITY II EQUITY III EQUITY Q FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at identified cost $ 626,820 $ 645,910 $ 46,544 $ 1,362,096 --------------------------------------------------------------------------------------------------------------------------------- Investments, at market**** 669,879 707,486 46,631 1,428,017 Repurchase agreements*** -- -- -- -- Cash 122 409 -- -- Foreign currency holdings* -- -- -- -- Unrealized appreciation on foreign currency exchange contracts -- -- -- -- Receivables: Dividends and interest 719 472 75 1,509 Investments sold 8,334 6,202 403 43,631 Fund shares sold 2,248 1,292 15 2,490 Foreign taxes recoverable -- -- -- -- From Advisor -- -- -- -- Daily variation margin on futures contracts 8 172 4 84 Prepaid expenses -- -- -- -- Investment of securities lending collateral in money market funds, at cost and market value 27,281 97,773 -- 103,912 Unrealized appreciation on index swap contracts -- -- -- -- Interest rate swap contracts, at market value***** -- -- -- -- ---------------- ---------------- ---------------- ----------------- Total assets 708,591 813,806 47,128 1,579,643 ---------------- ---------------- ---------------- ----------------- LIABILITIES Payables: Due to Custodian -- -- -- -- Investments purchased 8,938 7,214 468 13,254 Fund shares redeemed 851 654 62 1,284 Accrued fees to affiliates 413 550 41 818 Other accrued expenses 71 42 14 17 Daily variation margin on futures contracts -- -- -- -- Unrealized depreciation on foreign currency exchange contracts -- -- -- -- Options written, at market value** -- -- -- -- Payable upon return of securities loaned 27,281 97,773 -- 103,912 Unrealized depreciation on index swap contracts -- -- -- -- Interest rate swap contracts, at market value***** -- -- -- -- ---------------- ---------------- ---------------- ----------------- Total liabilities 37,554 106,233 585 119,285 ---------------- ---------------- ---------------- ----------------- NET ASSETS $ 671,037 $ 707,573 $ 46,543 $ 1,460,358 ================ ================ ================ ================= Net Assets Consist of: Undistributed/(overdistributed) net investment income $ 385 $ 21 $ (33) $ 974 Accumulated net realized gain (loss) (142,015) (82,997) (8,288) (298,082) Unrealized appreciation (depreciation) on: Investments 43,059 61,576 87 65,921 Futures contracts 2,340 2,844 136 1,621 Options written -- -- -- -- Index swap contracts -- -- -- -- Interest rate swap contracts -- -- -- -- Foreign currency-related transactions -- -- -- -- Shares of beneficial interest 304 259 24 562 Additional paid-in capital 766,964 725,870 54,617 1,689,362 ---------------- ---------------- ---------------- ----------------- NET ASSETS $ 671,037 $ 707,573 $ 46,543 $ 1,460,358 ================ ================ ================ =================
See accompanying notes which are an integral part of the financial statements. 104 Frank Russell Investment Company Institutional Funds
INTERNATIONAL FIXED INCOME I FIXED INCOME III EMERGING REAL ESTATE SHORT TERM SELECT FUND FUND FUND MARKETS FUND SECURITIES FUND BOND FUND GROWTH FUND --------------------------------------------------------------------------------------------------------------------------- $ 994,241 $ 1,486,472 $ 358,529 $ 300,169 $ 603,114 $ 911,648 $ 52,112 --------------------------------------------------------------------------------------------------------------------------- 943,912 1,533,066 368,040 305,128 695,030 926,100 53,998 -- 1,000 -- -- -- -- -- -- 1,000 -- 404 -- 238 101 7,951 324 175 2,310 -- 28 -- 4,070 -- -- 969 -- -- -- 4,773 11,717 2,823 1,508 404 7,426 11 5,432 161,653 44,344 1,387 1,978 7,307 773 1,929 751 414 481 1,266 1,997 27 716 -- -- -- -- -- -- -- -- -- -- 53 -- 10 201 56 29 8 -- 26 -- -- -- -- -- -- 46 -- 40,021 129,001 15,686 -- 38,165 -- 380 -- -- 495 -- -- -- -- -- -- 6 -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 1,009,005 1,838,568 432,012 312,195 736,896 943,168 55,300 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -- -- 483 -- -- -- -- 9,707 459,732 118,845 3,296 1,616 32,846 884 2,966 1,418 584 2,571 1,015 4,200 87 662 327 186 595 903 454 56 261 2 44 156 34 45 15 -- -- 162 -- -- -- 12 1,637 256 154 252 -- 173 -- 1,219 49 404 666 -- 30 -- 40,021 129,001 15,686 -- 38,165 -- 380 -- -- -- -- -- -- -- -- -- 39 -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 56,473 590,785 136,587 7,536 41,733 37,748 1,434 -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 952,532 $ 1,247,783 $ 295,425 $ 304,659 $ 695,163 $ 905,420 $ 53,866 ============== ============== ============== ============== ============== ============== ============== $ 3,007 $ 2,322 $ (988) $ (1,801) $ 1,256 $ (2,032) $ (104) (305,614) 19,491 (550) (162,647) 23,397 (6,481) (32,020) (50,329) 46,594 9,511 4,959 91,916 14,452 1,886 3,979 234 (97) (486) -- 25 152 (253) 70 (87) (17) -- 24 -- -- -- 495 -- -- -- -- -- -- (25) -- -- -- -- 2,712 (544) (170) 727 -- (346) -- 387 560 280 387 237 474 96 1,298,643 1,179,056 287,056 463,537 578,357 899,304 83,856 -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 952,532 $ 1,247,783 $ 295,425 $ 304,659 $ 695,163 $ 905,420 $ 53,866 ============== ============== ============== ============== ============== ============== ============== SELECT VALUE FUND --- $ 64,738 -------------------------------------- 64,725 -- -- -- -- 188 1,029 12 -- 8 8 -- 5 -- -- ---------------- 65,975 ---------------- -- 972 374 62 9 -- -- -- 5 -- -- ---------------- 1,422 ---------------- $ 64,553 ================ $ 32 (20,323) (13) 275 -- -- -- -- 84 84,498 ---------------- $ 64,553 ================
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 105 STATEMENT OF ASSETS AND LIABILITIES, CONTINUED -- APRIL 30, 2003 (UNAUDITED)
EQUITY I EQUITY II EQUITY III EQUITY Q FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, PER SHARE: Net asset value per share: Class C****** $ -- $ -- $ -- $ -- Class C - Net assets $ -- $ -- $ -- $ -- Class C - Shares outstanding ($.01 par value) -- -- -- -- Net asset value per share: Class E****** $ 22.06 $ 27.29 $ 19.49 $ 25.99 Class E - Net assets $ 24,458,175 $ 35,074,940 $ 1,964,655 $ 31,146,306 Class E - Shares outstanding ($.01 par value) 1,108,590 1,285,131 100,823 1,198,624 Net asset value per share: Class I****** $ 22.04 $ 27.32 $ 19.49 $ 25.98 Class I - Net assets $ 558,513,388 $ 490,005,408 $ 44,578,151 $ 800,323,035 Class I - Shares outstanding ($.01 par value) 25,339,432 17,937,308 2,287,138 30,806,357 Net asset value per share: Class S****** $ -- $ -- $ -- $ -- Class S - Net assets $ -- $ -- $ -- $ -- Class S - Shares outstanding ($.01 par value) -- -- -- -- Net asset value per share: Class Y****** $ 22.04 $ 27.33 $ -- $ 25.98 Class Y - Net assets $ 88,065,380 $ 182,492,287 $ -- $ 628,888,800 Class Y - Shares outstanding ($.01 par value) 3,996,000 6,678,285 -- 24,209,294 --------------------------------------------------------------------------------------------------------------------------------- Amounts in thousands * Foreign currency holdings - cost $ -- $ -- $ -- $ -- ** Premiums received on options written $ -- $ -- $ -- $ -- *** Repurchase agreements - cost $ -- $ -- $ -- $ -- **** Securities on loan included in investments $ 27,909 $ 94,858 $ -- $ 101,912 ***** Interest rate swap contracts - premiums paid (received) $ -- $ -- $ -- $ -- ******Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.
See accompanying notes which are an integral part of the financial statements. 106 Frank Russell Investment Company Institutional Funds
INTERNATIONAL FIXED INCOME I FIXED INCOME III EMERGING REAL ESTATE SHORT TERM SELECT FUND FUND FUND MARKETS FUND SECURITIES FUND BOND FUND GROWTH FUND --------------------------------------------------------------------------------------------------------------------------- $ -- $ -- $ -- $ 7.66 $ 28.92 $ 19.07 $ 5.49 $ -- $ -- $ -- $ 6,797,728 $ 20,881,391 $ 30,811,676 $ 1,573,727 -- -- -- 887,337 722,143 1,615,292 286,657 $ 24.65 $ 22.30 $ 10.56 $ 7.86 $ 29.15 $ 19.13 $ 5.60 $ 15,678,117 $ 29,468,240 $ 6,629,912 $ 7,214,503 $ 11,775,186 $ 18,764,479 $ 3,005,287 636,050 1,321,374 627,966 918,213 403,911 980,753 537,034 $ 24.63 $ 22.29 $ 10.54 $ -- $ -- $ -- $ 5.65 $ 519,133,221 $ 710,575,476 $ 288,795,300 $ -- $ -- $ -- $ 22,691,881 21,079,161 31,875,328 27,408,715 -- -- -- 4,018,945 $ -- $ -- $ -- $ 7.87 $ 29.37 $ 19.11 $ 5.63 $ -- $ -- $ -- $ 290,646,810 $ 662,506,049 $ 855,843,539 $ 26,595,588 -- -- -- 36,931,293 22,560,783 44,795,280 4,720,149 $ 24.62 $ 22.30 $ -- $ -- $ -- $ -- $ -- $ 417,720,712 $ 507,739,204 $ -- $ -- $ -- $ -- $ -- 16,963,971 22,767,100 -- -- -- -- -- $ 7,792 $ 314 $ 171 $ 2,309 $ -- $ 28 $ -- $ 965 $ 119 $ 317 $ 649 $ -- $ 54 $ -- $ -- $ 1,000 $ -- $ -- $ -- $ -- $ -- $ 37,313 $ 126,370 $ 15,415 $ -- $ 40,388 $ -- $ 352 $ -- $ -- $ (8) $ -- $ -- $ -- $ -- SELECT VALUE FUND --------------------- $ 7.61 $ 2,349,543 308,797 $ 7.67 $ 3,518,228 458,787 $ 7.67 $ 26,896,319 3,505,358 $ 7.66 $ 31,789,092 4,148,609 $ -- $ -- -- $ -- $ -- $ -- $ 5 $ --
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 107 STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2003 (UNAUDITED) Amounts in thousands
EQUITY I EQUITY II EQUITY III EQUITY Q FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ 5,302 $ 3,742 $ 529 $ 12,243 Dividends from Money Market Fund 181 225 11 248 Interest 24 23 2 30 Securities Lending Income 10 84 -- 30 Less foreign taxes withheld -- -- -- -- ---------------- ---------------- ---------------- ----------------- Total investment income 5,517 4,074 542 12,551 ---------------- ---------------- ---------------- ----------------- EXPENSES Advisory fees 1,788 2,276 128 3,836 Administrative fees - Class C -- -- -- -- Administrative fees - Class E 6 8 -- 7 Administrative fees - Class I 141 116 11 204 Administrative fees - Class S -- -- -- -- Administrative fees - Class Y 1 1 -- 5 Custodian fees 258 245 97 305 Distribution fees - Class C -- -- -- -- Transfer agent fees -- -- -- -- Transfer agent fees - Class C -- -- -- -- Transfer agent fees - Class E 4 4 1 4 Transfer agent fees - Class I 149 234 25 245 Transfer agent fees - Class S -- -- -- -- Transfer agent fees - Class Y -- -- -- 1 Professional fees 22 16 4 32 Registration fees 19 28 14 58 Shareholder servicing fees - Class C -- -- -- -- Shareholder servicing fees - Class E 29 40 2 37 Trustees' fees 11 10 8 13 LifePoints(R) funds fees -- -- -- -- Miscellaneous 28 31 14 36 ---------------- ---------------- ---------------- ----------------- Expenses before reductions 2,456 3,009 304 4,783 Expense reductions -- -- -- -- ---------------- ---------------- ---------------- ----------------- Net expenses 2,456 3,009 304 4,783 ---------------- ---------------- ---------------- ----------------- Net investment income (loss) 3,061 1,065 238 7,768 ---------------- ---------------- ---------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Investments (35,859) (28,419) (2,937) (90,386) Futures contracts (1,511) (1,981) 6 (2,516) Options written -- -- -- -- Index swap contracts -- -- -- -- Interest rate swap contracts -- -- -- -- Foreign currency-related transactions -- -- -- -- ---------------- ---------------- ---------------- ----------------- Net realized gain (loss) (37,370) (30,400) (2,931) (92,902) ---------------- ---------------- ---------------- ----------------- Net change in unrealized appreciation (depreciation) on: Investments 52,086 74,090 4,989 148,935 Futures contracts 2,546 3,134 77 2,325 Options written -- -- -- -- Index swap contracts -- -- -- -- Interest rate swap contracts -- -- -- -- Foreign currency-related transactions -- -- -- -- ---------------- ---------------- ---------------- ----------------- Net change in unrealized appreciation (depreciation) 54,632 77,224 5,066 151,260 ---------------- ---------------- ---------------- ----------------- Net realized and unrealized gain (loss) 17,262 46,824 2,135 58,358 ---------------- ---------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 20,323 $ 47,889 $ 2,373 $ 66,126 ================ ================ ================ =================
See accompanying notes which are an integral part of the financial statements. 108 Frank Russell Investment Company Institutional Funds
INTERNATIONAL FIXED INCOME I FIXED INCOME III EMERGING REAL ESTATE SHORT TERM SELECT FUND FUND FUND MARKETS FUND SECURITIES FUND BOND FUND GROWTH FUND --------------------------------------------------------------------------------------------------------------------------- $ 12,210 $ 29 $ 55 $ 4,442 $ 21,033 $ -- $ 124 383 825 418 79 186 428 20 109 25,147 6,451 30 -- 12,965 3 46 110 15 -- 18 -- -- (1,519) -- -- (525) -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 11,229 26,111 6,939 4,026 21,237 13,393 147 -------------- -------------- -------------- -------------- -------------- -------------- -------------- 3,201 1,538 746 1,632 2,592 1,607 196 -- -- -- 1 4 6 -- 4 7 2 2 3 4 1 127 176 73 -- -- -- 5 -- -- -- 66 154 163 6 3 4 -- -- -- -- -- 1,206 393 228 682 140 213 121 -- -- -- 22 68 85 6 -- -- -- 679 -- 133 -- -- -- -- -- 52 -- 1 3 5 1 -- 30 -- 1 159 92 91 -- -- -- 15 -- -- -- -- 777 -- 13 1 1 -- -- -- -- -- 41 37 6 30 17 15 7 25 35 15 16 28 37 23 -- -- -- 7 22 28 2 19 37 8 8 14 22 3 11 12 9 14 10 9 4 -- -- -- 69 91 195 -- 54 29 12 33 33 19 13 -------------- -------------- -------------- -------------- -------------- -------------- -------------- 4,854 2,366 1,191 3,261 4,035 2,536 417 (1) (6) (2) (1) (53) (475) (166) -------------- -------------- -------------- -------------- -------------- -------------- -------------- 4,853 2,360 1,189 3,260 3,982 2,061 251 -------------- -------------- -------------- -------------- -------------- -------------- -------------- 6,376 23,751 5,750 766 17,255 11,332 (104) -------------- -------------- -------------- -------------- -------------- -------------- -------------- (47,070) 23,417 7,209 (3,552) (10,904) 5,012 (2,735) (9,384) (633) 36 (572) -- 20 177 (821) 1 200 (1,451) -- -- -- -- -- 941 -- -- -- -- -- -- (402) -- -- 716 -- 4,051 (2,939) (271) 273 -- (871) -- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (53,224) 19,846 7,713 (5,302) (10,904) 4,877 (2,558) -------------- -------------- -------------- -------------- -------------- -------------- -------------- 54,079 11,329 5,917 21,783 66,470 1,969 5,506 3,934 418 (30) (383) -- 25 68 37 70 (196) 655 -- 24 -- -- -- 510 -- -- -- -- -- -- 241 -- -- (740) -- 1,884 (142) (129) 789 -- (239) -- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 59,934 11,675 6,313 22,844 66,470 1,039 5,574 -------------- -------------- -------------- -------------- -------------- -------------- -------------- 6,710 31,521 14,026 17,542 55,566 5,916 3,016 -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 13,086 $ 55,272 $ 19,776 $ 18,308 $ 72,821 $ 17,248 $ 2,912 ============== ============== ============== ============== ============== ============== ============== SELECT VALUE FUND --- $ 664 27 3 -- -- ---------------- 694 ---------------- 245 1 1 8 8 -- 103 8 -- 1 1 18 12 -- 13 21 3 4 5 -- 10 ---------------- 462 (132) ---------------- 330 ---------------- 364 ---------------- (5,116) 17 -- -- -- -- ---------------- (5,099) ---------------- 6,294 212 -- -- -- -- ---------------- 6,506 ---------------- 1,407 ---------------- $ 1,771 ================
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 109 STATEMENT OF CHANGES IN NET ASSETS Amounts in thousands
EQUITY I EQUITY II FUND FUND -------------------------------- ---------------------------------- SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR ENDED ENDED ENDED ENDED APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 (UNAUDITED) 2002 --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income (loss) $ 3,061 $ 6,229 $ 1,065 $ 2,176 Net realized gain (loss) (37,370) (100,308) (30,400) (36,809) Net change in unrealized appreciation (depreciation) 54,632 (5,234) 77,224 (30,189) -------------- -------------- -------------- ---------------- Net increase (decrease) in net assets from operations 20,323 (99,313) 47,889 (64,822) -------------- -------------- -------------- ---------------- DISTRIBUTIONS From net investment income Class C -- -- -- -- Class E (72) (159) (96) (73) Class I (2,313) (5,948) (2,198) (2,653) Class S -- -- -- -- Class Y (291) (574) (926) (468) From net realized gain Class E -- -- -- -- Class I -- -- -- -- Class Y -- -- -- -- Tax return of capital Class E -- (61) -- -- Class I -- (2,294) -- -- Class Y -- (221) -- -- -------------- -------------- -------------- ---------------- Net decrease in net assets from distributions (2,676) (9,257) (3,220) (3,194) -------------- -------------- -------------- ---------------- SHARE TRANSACTIONS Net increase (decrease) in net assets from share transactions (12,134) (216,535) 25,307 (35,628) -------------- -------------- -------------- ---------------- TOTAL NET INCREASE (DECREASE) IN NET ASSETS 5,513 (325,105) 69,976 (103,644) NET ASSETS Beginning of period 665,524 990,629 637,597 741,241 -------------- -------------- -------------- ---------------- End of period $ 671,037 $ 665,524 $ 707,573 $ 637,597 ============== ============== ============== ================ Undistributed (overdistributed) net investment income included in net assets $ 385 $ -- $ 21 $ 2,176
See accompanying notes which are an integral part of the financial statements. 110 Frank Russell Investment Company Institutional Funds
EQUITY III EQUITY Q FUND FUND ------------------------------- -------------- SIX MONTHS FISCAL YEAR SIX MONTHS ENDED ENDED ENDED APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 (UNAUDITED) 2002 (UNAUDITED) ----------------------------------------------------------------------------------------------------------------------- $ 238 $ 577 $ 7,768 (2,931) (2,789) (92,902) 5,066 (6,418) 151,260 -------------- -------------- -------------- 2,373 (8,630) 66,126 -------------- -------------- -------------- -- -- -- (10) (25) (109) (261) (730) (3,823) -- -- -- -- -- (2,862) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -------------- -------------- -------------- (271) (755) (6,794) -------------- -------------- -------------- (5,102) (20,621) 14,439 -------------- -------------- -------------- (3,000) (30,006) 73,771 49,543 79,549 1,386,587 -------------- -------------- -------------- $ 46,543 $ 49,543 $ 1,460,358 ============== ============== ============== $ (33) $ -- $ 974 EQUITY Q INTERNATIONAL FUND FUND -------------- ------------------------------- FISCAL YEAR SIX MONTHS FISCAL YEAR ENDED ENDED ENDED OCTOBER 31, APRIL 30, 2003 OCTOBER 31, 2002 (UNAUDITED) 2002 ---------------------------------------------------------------------- $ 12,916 $ 6,376 $ 10,433 (169,706) (53,224) (127,338) (104,583) 59,934 (10,658) -------------- -------------- -------------- (261,373) 13,086 (127,563) -------------- -------------- -------------- -- -- -- (149) (242) (29) (9,534) (9,263) (2,701) -- -- -- (5,436) (7,407) (1,846) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -------------- -------------- -------------- (15,119) (16,912) (4,576) -------------- -------------- -------------- 201,412 20,647 2,942 -------------- -------------- -------------- (75,080) 16,821 (129,197) 1,461,667 935,711 1,064,908 -------------- -------------- -------------- $ 1,386,587 $ 952,532 $ 935,711 ============== ============== ============== $ -- $ 3,007 $ 13,543 FIXED INCOME I FUND --------------------------------- SIX MONTHS FISCAL YEAR ENDED ENDED APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 ---------------------------------------------------------------------- $ 23,751 $ 56,187 19,846 26,585 11,675 (14,655) -------------- ---------------- 55,272 68,117 -------------- ---------------- -- -- (490) (1,294) (12,812) (36,529) -- -- (9,247) (23,324) (593) (419) (14,449) (10,093) (10,087) (4,763) -- -- -- -- -- -- -------------- ---------------- (47,678) (76,422) -------------- ---------------- (7,092) (127,047) -------------- ---------------- 502 (135,352) 1,247,281 1,382,633 -------------- ---------------- $ 1,247,783 $ 1,247,281 ============== ================ $ 2,322 $ 1,120
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 111 STATEMENT OF CHANGES IN NET ASSETS Amounts in thousands
FIXED INCOME III EMERGING MARKETS FUND FUND -------------------------------- ---------------------------------- SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR ENDED ENDED ENDED ENDED APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 (UNAUDITED) 2002 --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income (loss) $ 5,750 $ 15,292 $ 766 $ (120) Net realized gain (loss) 7,713 6,229 (5,302) (24,800) Net change in unrealized appreciation (depreciation) 6,313 (10,139) 22,844 43,973 -------------- -------------- -------------- ---------------- Net increase (decrease) in net assets from operations 19,776 11,382 18,308 19,053 -------------- -------------- -------------- ---------------- DISTRIBUTIONS From net investment income Class C -- -- -- -- Class E (143) (340) (10) -- Class I (6,604) (22,328) -- -- Class S -- -- (1,302) (663) Class Y -- -- -- -- From net realized gain Class E -- -- -- -- Class I -- -- -- -- Class Y -- -- -- -- Tax return of capital Class E -- -- -- -- Class I -- -- -- -- Class Y -- -- -- -- -------------- -------------- -------------- ---------------- Net decrease in net assets from distributions (6,747) (22,668) (1,312) (663) -------------- -------------- -------------- ---------------- SHARE TRANSACTIONS Net increase (decrease) in net assets from share transactions (30,066) (114,730) 12,428 (25,977) -------------- -------------- -------------- ---------------- TOTAL NET INCREASE (DECREASE) IN NET ASSETS (17,037) (126,016) 29,424 (7,587) NET ASSETS Beginning of period 312,462 438,478 275,235 282,822 -------------- -------------- -------------- ---------------- End of period $ 295,425 $ 312,462 $ 304,659 $ 275,235 ============== ============== ============== ================ Undistributed (overdistributed) net investment income included in net assets $ (988) $ 9 $ (1,801) $ (1,255)
See accompanying notes which are an integral part of the financial statements. 112 Frank Russell Investment Company Institutional Funds
REAL ESTATE SHORT TERM SECURITIES FUND BOND FUND ------------------------------- -------------- SIX MONTHS FISCAL YEAR SIX MONTHS ENDED ENDED ENDED APRIL 30, 2003 OCTOBER 31, APRIL 30, 2003 (UNAUDITED) 2002 (UNAUDITED) ----------------------------------------------------------------------------------------------------------------------- $ 17,255 $ 32,119 $ 11,332 (10,904) 49,018 4,877 66,470 (51,182) 1,039 -------------- -------------- -------------- 72,821 29,955 17,248 -------------- -------------- -------------- (394) (552) (335) (274) (658) (322) -- -- -- (15,331) (38,630) (12,607) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -------------- -------------- -------------- (15,999) (39,840) (13,264) -------------- -------------- -------------- 13,835 9,978 267,831 -------------- -------------- -------------- 70,657 93 271,815 624,506 624,413 633,605 -------------- -------------- -------------- $ 695,163 $ 624,506 $ 905,420 ============== ============== ============== $ 1,256 $ -- $ (2,032) SHORT TERM SELECT BOND FUND GROWTH FUND -------------- ------------------------------- FISCAL YEAR SIX MONTHS FISCAL YEAR ENDED ENDED ENDED OCTOBER 31, APRIL 30, 2003 OCTOBER 31, 2002 (UNAUDITED) 2002 ---------------------------------------------------------------------- $ 21,381 $ (104) $ (209) 2,799 (2,558) (12,307) 1,453 5,574 465 -------------- -------------- -------------- 25,633 2,912 (12,051) -------------- -------------- -------------- (285) -- -- (774) -- -- -- -- -- (22,428) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -------------- -------------- -------------- (23,487) -- -- -------------- -------------- -------------- 210,928 4,259 9,899 -------------- -------------- -------------- 213,074 7,171 (2,152) 420,531 46,695 48,847 -------------- -------------- -------------- $ 633,605 $ 53,866 $ 46,695 ============== ============== ============== $ (100) $ (104) $ -- SELECT VALUE FUND --------------------------------- SIX MONTHS FISCAL YEAR ENDED ENDED APRIL 30, 2003 OCTOBER 31, (UNAUDITED) 2002 ---------------------------------------------------------------------- $ 364 $ 692 (5,099) (10,334) 6,506 (1,386) -------------- ---------------- 1,771 (11,028) -------------- ---------------- (3) (3) (13) (28) (172) (380) (151) (357) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -------------- ---------------- (339) (768) -------------- ---------------- (9,229) 18,876 -------------- ---------------- (7,797) 7,080 72,350 65,270 -------------- ---------------- $ 64,553 $ 72,350 ============== ================ $ 32 $ 7
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 113 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- EQUITY I FUND Class E April 30, 2003 (1) 21.46 .08 .58 .66 October 31, 2002 25.25 .12 (3.69) (3.57) October 31, 2001 35.21 .15 (9.62) (9.47) October 31, 2000 (2) 37.51 .11 (1.64) (1.53) December 31, 1999 (7) 38.01 .13 3.11 3.24 -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 21.44 .10 .59 .69 October 31, 2002 25.23 .19 (3.70) (3.51) October 31, 2001 35.21 .22 (9.63) (9.41) October 31, 2000 (2) 37.46 .19 (1.63) (1.44) December 31, 1999 35.17 .27 6.18 6.45 December 31, 1998 30.51 .27 7.10 7.37 December 31, 1997 30.34 .34 8.89 9.23 -------------------------------------------------------------------------------------------------------------- Class Y April 30, 2003 (1) 21.43 .11 .60 .71 October 31, 2002 25.24 .20 (3.71) (3.51) October 31, 2001 35.21 .23 (9.61) (9.38) October 31, 2000 (8) 36.90 .14 (1.64) (1.50) -------------------------------------------------------------------------------------------------------------- EQUITY II FUND Class E April 30, 2003 (1) 25.54 .02 1.81 1.83 October 31, 2002 28.24 .02 (2.65) (2.63) October 31, 2001 38.33 .12 (5.36) (5.24) October 31, 2000 (2) 35.71 .03 3.32 3.35 December 31, 1999 (7) 31.37 .02 5.99 6.01 -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 25.59 .04 1.81 1.85 October 31, 2002 28.29 .08 (2.65) (2.57) October 31, 2001 38.35 .18 (5.37) (5.19) October 31, 2000 (2) 35.71 .11 3.33 3.44 December 31, 1999 30.94 .10 6.68 6.78 December 31, 1998 32.96 .09 .04 .13 December 31, 1997 30.05 .11 8.11 8.22 -------------------------------------------------------------------------------------------------------------- Class Y April 30, 2003 (1) 25.61 .06 1.82 1.88 October 31, 2002 28.32 .12 (2.65) (2.53) October 31, 2001 38.35 .20 (5.35) (5.15) October 31, 2000 (8) 38.89 .11 (.55) (.44) -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ---------------------------------------- EQUITY I FUND Class E April 30, 2003 (1) (.06) -- -- October 31, 2002 (.16) -- (.06) October 31, 2001 (.13) (.36) -- October 31, 2000 (2) (.14) (.63) -- December 31, 1999 (7) (.12) (3.62) -- ---------------------------------------- Class I April 30, 2003 (1) (.09) -- -- October 31, 2002 (.20) -- (.08) October 31, 2001 (.21) (.36) -- October 31, 2000 (2) (.18) (.63) -- December 31, 1999 (.28) (3.88) -- December 31, 1998 (.27) (2.44) -- December 31, 1997 (.34) (8.72) -- ---------------------------------------- Class Y April 30, 2003 (1) (.10) -- -- October 31, 2002 (.22) -- (.08) October 31, 2001 (.23) (.36) -- October 31, 2000 (8) (.19) -- -- ---------------------------------------- EQUITY II FUND Class E April 30, 2003 (1) (.08) -- -- October 31, 2002 (.07) -- -- October 31, 2001 (.07) (4.78) -- October 31, 2000 (2) (.02) (.71) -- December 31, 1999 (7) (.01) (1.66) -- ---------------------------------------- Class I April 30, 2003 (1) (.12) -- -- October 31, 2002 (.13) -- -- October 31, 2001 (.09) (4.78) -- October 31, 2000 (2) (.09) (.71) -- December 31, 1999 (.10) (1.91) -- December 31, 1998 (.10) (2.05) -- December 31, 1997 (.11) (5.20) -- ---------------------------------------- Class Y April 30, 2003 (1) (.16) -- -- October 31, 2002 (.18) -- -- October 31, 2001 (.10) (4.78) -- October 31, 2000 (8) (.10) -- -- ----------------------------------------
See accompanying notes which are an integral part of the financial statements. 114 Frank Russell Investment Company Institutional Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.06) 22.06 3.15 24,457 (.22) 21.46 (14.26) 19,476 (.49) 25.25 (27.13) 30,646 (.77) 35.21 (4.02) 43,171 (3.74) 37.51 8.97 49,284 ----------------------------------------------------------------------------- (.09) 22.04 3.26 558,515 (.28) 21.44 (14.04) 588,901 (.57) 25.23 (26.98) 813,827 (.81) 35.21 (3.80) 1,456,456 (4.16) 37.46 18.98 1,632,783 (2.71) 35.17 25.10 1,381,704 (9.06) 30.51 32.02 1,136,373 ----------------------------------------------------------------------------- (.10) 22.04 3.31 88,065 (.30) 21.43 (13.96) 57,147 (.59) 25.24 (26.93) 146,156 (.19) 35.21 (4.03) 37,101 ----------------------------------------------------------------------------- (.08) 27.29 7.17 35,076 (.07) 25.54 (9.37) 25,874 (4.85) 28.24 (14.86) 29,647 (.73) 38.33 9.49 35,498 (1.67) 35.71 19.55 33,525 ----------------------------------------------------------------------------- (.12) 27.32 7.26 490,005 (.13) 25.59 (9.17) 464,113 (4.87) 28.29 (14.69) 584,718 (.80) 38.35 9.73 769,096 (2.01) 35.71 22.60 752,530 (2.15) 30.94 .70 533,819 (5.31) 32.96 28.66 482,159 ----------------------------------------------------------------------------- (.16) 27.33 7.37 182,492 (.18) 25.61 (9.07) 147,610 (4.88) 28.32 (14.59) 126,876 (.10) 38.35 (1.15) 50,112 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE --- .99 .99 .71 59.56 .98 .98 .49 130.46 .92 .92 .51 144.94 .96 .96 .38 144.37 .95 .95 .57 111.56 --- .76 .76 .94 59.56 .74 .74 .74 130.46 .71 .71 .72 144.94 .69 .69 .64 144.37 .69 .69 .72 111.56 .70 .70 .82 100.68 .70 .70 .96 110.75 --- .64 .64 1.03 59.56 .64 .64 .85 130.46 .62 .62 .81 144.94 .62 .67 .65 144.37 --- 1.12 1.12 .13 50.37 1.12 1.12 .07 126.57 1.08 1.09 .37 134.79 1.13 1.13 .10 137.51 1.17 1.17 .09 111.89 --- .96 .96 .30 50.37 .92 .92 .27 126.57 .90 .90 .55 134.79 .88 .88 .35 137.51 .92 .92 .31 111.89 .91 .91 .29 128.87 .92 .92 .35 103.00 --- .79 .79 .46 50.37 .79 .79 .41 126.57 .78 .79 .65 134.79 .78 .83 .51 137.51 ---
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 115 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- EQUITY III FUND Class E April 30, 2003 (1) 18.61 .08 .89 .97 October 31, 2002 22.38 .13 (3.71) (3.58) October 31, 2001 26.32 .21 (3.96) (3.75) October 31, 2000 (2) 26.18 .20 .15 .35 December 31, 1999 (7) 30.27 .21 (2.12) (1.91) -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 18.60 .09 .91 1.00 October 31, 2002 22.38 .19 (3.72) (3.53) October 31, 2001 26.33 .27 (3.96) (3.69) October 31, 2000 (2) 26.18 .25 .15 .40 December 31, 1999 29.12 .40 (.41) (.01) December 31, 1998 29.80 .47 2.75 3.22 December 31, 1997 29.68 .60 8.69 9.29 -------------------------------------------------------------------------------------------------------------- EQUITY Q FUND Class E April 30, 2003 (1) 24.90 .12 1.06 1.18 October 31, 2002 29.75 .17 (4.81) (4.64) October 31, 2001 40.70 .20 (9.75) (9.55) October 31, 2000 (2) 41.58 .13 (.12) .01 December 31, 1999 (7) 42.99 .14 4.35 4.49 -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 24.89 .13 1.07 1.20 October 31, 2002 29.75 .24 (4.82) (4.58) October 31, 2001 40.69 .26 (9.72) (9.46) October 31, 2000 (2) 41.55 .22 (.11) .11 December 31, 1999 40.22 .34 8.03 8.37 December 31, 1998 35.90 .32 8.53 8.85 December 31, 1997 32.94 .44 10.01 10.45 -------------------------------------------------------------------------------------------------------------- Class Y April 30, 2003 (1) 24.89 .15 1.07 1.22 October 31, 2002 29.75 .27 (4.82) (4.55) October 31, 2001 40.69 .28 (9.71) (9.43) October 31, 2000 (9) 42.29 .16 (1.54) (1.38) -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ---------------------------------------- EQUITY III FUND Class E April 30, 2003 (1) (.09) -- -- October 31, 2002 (.19) -- -- October 31, 2001 (.19) -- -- October 31, 2000 (2) (.21) -- -- December 31, 1999 (7) (.25) (1.93) -- ---------------------------------------- Class I April 30, 2003 (1) (.11) -- -- October 31, 2002 (.25) -- -- October 31, 2001 (.26) -- -- October 31, 2000 (2) (.25) -- -- December 31, 1999 (.40) (2.53) -- December 31, 1998 (.47) (3.43) -- December 31, 1997 (.61) (8.56) -- ---------------------------------------- EQUITY Q FUND Class E April 30, 2003 (1) (.09) -- -- October 31, 2002 (.21) -- -- October 31, 2001 (.17) (1.23) -- October 31, 2000 (2) (.13) (.76) -- December 31, 1999 (7) (.24) (5.66) -- ---------------------------------------- Class I April 30, 2003 (1) (.11) -- -- October 31, 2002 (.28) -- -- October 31, 2001 (.25) (1.23) -- October 31, 2000 (2) (.21) (.76) -- December 31, 1999 (.38) (6.66) -- December 31, 1998 (.32) (4.21) -- December 31, 1997 (.44) (7.05) -- ---------------------------------------- Class Y April 30, 2003 (1) (.13) -- -- October 31, 2002 (.31) -- -- October 31, 2001 (.28) (1.23) -- October 31, 2000 (9) (.22) -- -- ----------------------------------------
See accompanying notes which are an integral part of the financial statements. 116 Frank Russell Investment Company Institutional Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.09) 19.49 5.25 1,965 (.19) 18.61 (16.11) 1,860 (.19) 22.38 (14.30) 3,971 (.21) 26.32 1.40 6,327 (2.18) 26.18 (6.13) 7,927 ----------------------------------------------------------------------------- (.11) 19.49 5.37 44,578 (.25) 18.60 (15.90) 47,683 (.26) 22.38 (14.09) 75,578 (.25) 26.33 1.59 129,405 (2.93) 26.18 .25 168,361 (3.90) 29.12 11.53 210,491 (9.17) 29.80 33.13 242,112 ----------------------------------------------------------------------------- (.09) 25.99 4.76 31,146 (.21) 24.90 (15.70) 17,503 (1.40) 29.75 (23.98) 21,979 (.89) 40.70 .17 25,205 (5.90) 41.58 11.01 30,746 ----------------------------------------------------------------------------- (.11) 25.98 4.86 800,323 (.28) 24.89 (15.50) 854,495 (1.48) 29.75 (23.82) 983,176 (.97) 40.69 .40 1,355,536 (7.04) 41.55 21.96 1,363,336 (4.53) 40.22 25.98 1,175,900 (7.49) 35.90 33.07 987,760 ----------------------------------------------------------------------------- (.13) 25.98 4.92 628,889 (.31) 24.89 (15.41) 514,589 (1.51) 29.75 (23.74) 456,512 (.22) 40.69 (3.21) 38,812 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE --- 1.50 1.50 .83 33.45 1.37 1.37 .60 109.87 1.18 1.18 .83 118.26 1.17 1.17 .97 108.39 1.03 1.03 1.25 146.28 --- 1.30 1.30 1.03 33.45 1.12 1.12 .87 109.87 .93 .93 1.08 118.26 .92 .92 1.22 108.39 .79 .79 1.39 146.28 .74 .74 1.54 135.53 .78 .78 1.77 128.86 --- .93 .93 .89 45.83 .94 .94 .58 71.16 .89 .89 .58 79.24 .95 .96 .39 59.91 .94 .94 .55 90.16 --- .73 .73 1.07 45.83 .70 .70 .82 71.16 .70 .70 .77 79.24 .68 .68 .66 59.91 .69 .69 .80 90.16 .69 .69 .85 74.56 .68 .68 1.17 94.89 --- .61 .61 1.18 45.83 .60 .60 .93 71.16 .61 .61 .86 79.24 .61 .66 .68 59.91 ---
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 117 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- INTERNATIONAL FUND Class E April 30, 2003 (1) 24.71 .14 .18 .32 October 31, 2002 28.34 .16 (3.75) (3.59) October 31, 2001 39.51 .28 (9.53) (9.25) October 31, 2000 (2) 46.68 .53 (6.26) (5.73) December 31, 1999 (7) 39.07 .24 9.73 9.97 -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 24.74 .16 .16 .32 October 31, 2002 28.38 .26 (3.78) (3.52) October 31, 2001 39.60 .34 (9.52) (9.18) October 31, 2000 (2) 46.67 .64 (6.27) (5.63) December 31, 1999 38.03 .43 10.93 11.36 December 31, 1998 34.60 .52 4.10 4.62 December 31, 1997 37.39 .46 (.28) .18 -------------------------------------------------------------------------------------------------------------- Class Y April 30, 2003 (1) 24.75 .18 .15 .33 October 31, 2002 28.42 .32 (3.83) (3.51) October 31, 2001 39.62 .46 (9.60) (9.14) October 31, 2000 (8) 46.09 .46 (6.93) (6.47) -------------------------------------------------------------------------------------------------------------- FIXED INCOME I FUND Class E April 30, 2003 (1) 22.15 .40 .55 .95 October 31, 2002 22.32 .87(f) .20(f) 1.07 October 31, 2001 20.79 1.19 1.58 2.77 October 31, 2000 (2) 20.30 1.07 .40 1.47 December 31, 1999 (7) 21.25 .74 (.81) (.07) -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 22.15 .42 .56 .98 October 31, 2002 22.32 .94(f) .19(f) 1.13 October 31, 2001 20.79 1.24 1.58 2.82 October 31, 2000 (2) 20.27 1.13 .39 1.52 December 31, 1999 21.76 1.28 (1.50) (.22) December 31, 1998 21.51 1.32 .45 1.77 December 31, 1997 20.99 1.37 .54 1.91 -------------------------------------------------------------------------------------------------------------- Class Y April 30, 2003 (1) 22.16 .42 .56 .98 October 31, 2002 22.32 .95(f) .21(f) 1.16 October 31, 2001 20.79 1.23 1.61 2.84 October 31, 2000 (8) 20.61 .81 .37 1.18 -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ---------------------------------------- INTERNATIONAL FUND Class E April 30, 2003 (1) (.38) -- -- October 31, 2002 (.04) -- -- October 31, 2001 -- (1.92) -- October 31, 2000 (2) -- (1.44) -- December 31, 1999 (7) (.38) (1.98) -- ---------------------------------------- Class I April 30, 2003 (1) (.43) -- -- October 31, 2002 (.12) -- -- October 31, 2001 (.12) (1.92) -- October 31, 2000 (2) -- (1.44) -- December 31, 1999 (.48) (2.24) -- December 31, 1998 (.59) (.60) -- December 31, 1997 (.55) (2.42) -- ---------------------------------------- Class Y April 30, 2003 (1) (.46) -- -- October 31, 2002 (.16) -- -- October 31, 2001 (.14) (1.92) -- October 31, 2000 (8) -- -- -- ---------------------------------------- FIXED INCOME I FUND Class E April 30, 2003 (1) (.36) (.44) -- October 31, 2002 (.97) (.27) -- October 31, 2001 (1.24) -- -- October 31, 2000 (2) (.98) -- -- December 31, 1999 (7) (.88) -- -- ---------------------------------------- Class I April 30, 2003 (1) (.40) (.44) -- October 31, 2002 (1.03) (.27) -- October 31, 2001 (1.29) -- -- October 31, 2000 (2) (1.00) -- -- December 31, 1999 (1.25) (.02) -- December 31, 1998 (1.31) (.21) -- December 31, 1997 (1.39) -- -- ---------------------------------------- Class Y April 30, 2003 (1) (.40) (.44) -- October 31, 2002 (1.05) (.27) -- October 31, 2001 (1.31) -- -- October 31, 2000 (8) (1.00) -- -- ----------------------------------------
See accompanying notes which are an integral part of the financial statements. 118 Frank Russell Investment Company Institutional Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.38) 24.65 1.33 15,678 (.04) 24.71 (12.68) 11,965 (1.92) 28.34 (24.54) 19,449 (1.44) 39.51 (12.59) 25,984 (2.36) 46.68 25.87 30,541 ----------------------------------------------------------------------------- (.43) 24.63 1.34 519,133 (.12) 24.74 (12.46) 527,791 (2.04) 28.38 (24.37) 658,920 (1.44) 39.60 (12.38) 1,104,284 (2.72) 46.67 30.46 1,263,676 (1.19) 38.03 13.52 1,013,679 (2.97) 34.60 .58 972,735 ----------------------------------------------------------------------------- (.46) 24.62 1.38 417,721 (.16) 24.75 (12.42) 395,955 (2.06) 28.42 (24.26) 386,538 -- 39.62 (14.04) 78,103 ----------------------------------------------------------------------------- (.80) 22.30 4.43 29,469 (1.24) 22.15 5.10 27,576 (1.24) 22.32 13.72 35,123 (.98) 20.79 7.36 33,322 (.88) 20.30 (.32) 35,950 ----------------------------------------------------------------------------- (.84) 22.29 4.54 710,575 (1.30) 22.15 5.38 713,210 (1.29) 22.32 13.98 827,324 (1.00) 20.79 7.63 902,895 (1.27) 20.27 (1.04) 1,051,362 (1.52) 21.76 8.37 978,491 (1.39) 21.51 9.42 798,252 ----------------------------------------------------------------------------- (.84) 22.30 4.58 507,739 (1.32) 22.16 5.50 506,495 (1.31) 22.32 14.07 520,186 (1.00) 20.79 5.89 144,049 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE --- 1.27 1.27 1.20 37.38 1.31 1.32 .57 87.84 1.26 1.26 .82 111.84 1.28 1.28 1.50 105.17 1.27 1.27 .92 118.99 --- 1.11 1.11 1.33 37.38 1.07 1.07 .92 87.84 1.06 1.06 1.00 111.84 1.00 1.00 1.76 105.17 1.00 1.00 1.07 118.99 .98 .98 1.38 64.47 1.00 1.00 1.14 79.45 --- .99 .99 1.49 37.38 .97 .97 1.12 87.84 .96 .96 1.40 111.84 .91 .94 1.85 105.17 --- .66 .66 3.59 94.11 .64 .66 4.05(f) 165.28 .61 .61 5.51 188.97 .67 .68 6.31 117.94 .66 .66 5.79 138.69 --- .41 .41 3.85 94.11 .38 .38 4.29(f) 165.28 .39 .39 5.75 188.97 .40 .40 6.59 117.94 .39 .39 6.05 138.69 .39 .39 6.03 226.70 .42 .42 6.54 165.81 --- .33 .33 3.89 94.11 .31 .31 4.31(f) 165.28 .32 .32 5.62 188.97 .32 .34 6.63 117.94 ---
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 119 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- FIXED INCOME III FUND Class E April 30, 2003 (1) 10.11 .19 .48 .67 October 31, 2002 10.37 .43(f) (.08)(f) .35 October 31, 2001 9.77 .57 .61 1.18 October 31, 2000 (2) 9.61 .51 .11 .62 December 31, 1999 (7) 10.12 .35 (.43) (.08) -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 10.09 .19 .49 .68 October 31, 2002 10.36 .45(f) (.09)(f) .36 October 31, 2001 9.76 .59 .63 1.22 October 31, 2000 (2) 9.59 .53 .11 .64 December 31, 1999 10.22 .59 (.62) (.03) December 31, 1998 10.42 .62 .08 .70 December 31, 1997 10.17 .63 .32 .95 -------------------------------------------------------------------------------------------------------------- EMERGING MARKETS FUND Class C April 30, 2003 (1) 7.22 (.02) .46 .44 October 31, 2002 6.89 (.09) .42 .33 October 31, 2001 9.15 (.04) (2.22) (2.26) October 31, 2000 (2) 12.47 (.10) (3.20) (3.30) December 31, 1999 (4) 8.07 (.12) 4.57 4.45 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 7.41 .01 .45 .46 October 31, 2002 7.01 (.02) .42 .40 October 31, 2001 9.24 .02 (2.25) (2.23) October 31, 2000 (2) 12.51 (.03) (3.20) (3.23) December 31, 1999 8.48 (.04) 4.14 4.10 December 31, 1998 (3) 7.37 (.02) 1.13 1.11 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 7.43 .02 .46 .48 October 31, 2002 7.05 --(e) .40 .40 October 31, 2001 9.25 .04 (2.24) (2.20) October 31, 2000 (2) 12.52 --(e) (3.21) (3.21) December 31, 1999 8.48 .03 4.10 4.13 December 31, 1998 11.79 .12 (3.35) (3.23) December 31, 1997 12.35 .14 (.56) (.42) -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ---------------------------------------- FIXED INCOME III FUND Class E April 30, 2003 (1) (.22) -- -- October 31, 2002 (.61) -- -- October 31, 2001 (.58) -- -- October 31, 2000 (2) (.46) -- -- December 31, 1999 (7) (.43) -- -- ---------------------------------------- Class I April 30, 2003 (1) (.23) -- -- October 31, 2002 (.63) -- -- October 31, 2001 (.62) -- -- October 31, 2000 (2) (.47) -- -- December 31, 1999 (.60) -- -- December 31, 1998 (.62) (.28) -- December 31, 1997 (.64) (.06) -- ---------------------------------------- EMERGING MARKETS FUND Class C April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 -- -- -- October 31, 2000 (2) (.02) -- -- December 31, 1999 (4) (.05) -- -- ---------------------------------------- Class E April 30, 2003 (1) (.01) -- -- October 31, 2002 -- -- -- October 31, 2001 -- -- -- October 31, 2000 (2) (.04) -- -- December 31, 1999 (.07) -- -- December 31, 1998 (3) -- -- -- ---------------------------------------- Class S April 30, 2003 (1) (.04) -- -- October 31, 2002 (.02) -- -- October 31, 2001 -- -- -- October 31, 2000 (2) (.06) -- -- December 31, 1999 (.09) -- -- December 31, 1998 (.08) -- -- December 31, 1997 (.14) -- -- ----------------------------------------
See accompanying notes which are an integral part of the financial statements. 120 Frank Russell Investment Company Institutional Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.22) 10.56 6.65 6,630 (.61) 10.11 3.61 5,912 (.58) 10.37 12.47 6,037 (.46) 9.77 6.55 5,362 (.43) 9.61 (.83) 2,367 ----------------------------------------------------------------------------- (.23) 10.54 6.74 288,795 (.63) 10.09 3.84 306,550 (.62) 10.36 12.76 408,341 (.47) 9.76 6.75 456,160 (.60) 9.59 (.29) 467,268 (.90) 10.22 6.80 462,190 (.70) 10.42 9.64 382,433 ----------------------------------------------------------------------------- -- 7.66 5.95 6,798 -- 7.22 4.94 5,194 -- 6.89 (24.70) 2,377 (.02) 9.15 (26.51) 2,228 (.05) 12.47 55.43 1,631 ----------------------------------------------------------------------------- (.01) 7.86 6.23 7,215 -- 7.41 5.71 6,478 -- 7.01 (24.13) 6,959 (.04) 9.24 (25.90) 6,388 (.07) 12.51 48.71 6,314 -- 8.48 15.06 39 ----------------------------------------------------------------------------- (.04) 7.87 6.27 290,646 (.02) 7.43 5.91 263,563 -- 7.05 (23.89) 273,486 (.06) 9.25 (25.79) 359,201 (.09) 12.52 49.03 430,794 (.08) 8.48 (27.57) 294,349 (.14) 11.79 (3.45) 333,052 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE --- .99 .99 3.60 133.55 .97 .98 4.29(f) 231.09 .93 .94 5.66 165.41 .99 1.15 6.37 108.08 .94 .94 5.63 131.38 --- .79 .79 3.80 133.55 .76 .76 4.50(f) 231.09 .72 .72 5.87 165.41 .73 .74 6.58 108.08 .69 .69 5.91 131.38 .67 .67 5.91 342.49 .70 .70 6.13 274.84 --- 3.27 3.27 (.47) 41.74 3.12 3.12 (1.08) 90.21 3.08 3.09 (.55) 83.74 2.91 2.92 (1.02) 73.11 2.91 2.91 (1.23) 94.85 --- 2.52 2.52 .28 41.74 2.38 2.38 (.29) 90.21 2.33 2.33 .21 83.74 2.16 2.17 (.30) 73.11 2.17 2.17 (.40) 94.85 --(d) --(d) --(d) 59.35 --- 2.27 2.27 .54 41.74 2.14 2.14 (.02) 90.21 2.09 2.09 .44 83.74 1.91 1.92 (.02) 73.11 1.91 1.91 .26 94.85 1.75 1.75 1.20 59.35 1.64 1.64 .87 50.60 ---
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 121 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- REAL ESTATE SECURITIES FUND Class C April 30, 2003 (1) 26.52 .59 2.40 2.99 October 31, 2002 26.97 1.07 (.01) 1.06 October 31, 2001 25.93 1.16 1.02 2.18 October 31, 2000 (2) 22.69 .84 3.11 3.95 December 31, 1999 (4) 24.13 1.08 (1.06) .02 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 26.72 .71 2.40 3.11 October 31, 2002 27.14 1.32 (.06) 1.26 October 31, 2001 26.07 1.38 1.03 2.41 October 31, 2000 (2) 22.76 .98 3.14 4.12 December 31, 1999 24.27 1.28 (1.24) .04 December 31, 1998 31.02 1.26 (6.12) (4.86) December 31, 1997 29.18 1.14 3.95 5.09 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 26.89 .75 2.43 3.18 October 31, 2002 27.31 1.41 (.06) 1.35 October 31, 2001 26.22 1.46 1.03 2.49 October 31, 2000 (2) 22.86 1.04 3.15 4.19 December 31, 1999 24.44 1.30 (1.20) .10 December 31, 1998 30.86 1.34 (6.13) (4.79) December 31, 1997 29.19 1.36 3.93 5.29 -------------------------------------------------------------------------------------------------------------- SHORT TERM BOND FUND Class C April 30, 2003 (1) 18.98 .21 .16 .37 October 31, 2002 19.01 .56 .13 .69 October 31, 2001 18.23 .85 .89 1.74 October 31, 2000 (2) 18.13 .79 .04 .83 December 31, 1999 (6) 18.36 .68 (.31) .37 -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 19.04 .28 .15 .43 October 31, 2002 19.02 .77 .06 .83 October 31, 2001 18.24 1.02 .85 1.87 October 31, 2000 (2) 18.08 .88 .07 .95 December 31, 1999 (5) 18.51 .80 (.34) .46 -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 19.01 .30 .16 .46 October 31, 2002 18.99 .80 .08 .88 October 31, 2001 18.22 1.07 .83 1.90 October 31, 2000 (2) 18.03 .91 .09 1.00 December 31, 1999 18.46 .90 (.36) .54 December 31, 1998 18.35 .99 .11 1.10 December 31, 1997 18.36 1.08 -- 1.08 -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ---------------------------------------- REAL ESTATE SECURITIES FUND Class C April 30, 2003 (1) (.59) -- -- October 31, 2002 (1.51) -- -- October 31, 2001 (1.14) -- -- October 31, 2000 (2) (.71) -- -- December 31, 1999 (4) (1.46) -- -- ---------------------------------------- Class E April 30, 2003 (1) (.68) -- -- October 31, 2002 (1.68) -- -- October 31, 2001 (1.34) -- -- October 31, 2000 (2) (.81) -- -- December 31, 1999 (1.55) -- -- December 31, 1998 (1.43) (.46) -- December 31, 1997 (1.04) (2.21) -- ---------------------------------------- Class S April 30, 2003 (1) (.70) -- -- October 31, 2002 (1.77) -- -- October 31, 2001 (1.40) -- -- October 31, 2000 (2) (.83) -- -- December 31, 1999 (1.68) -- -- December 31, 1998 (1.17) (.46) -- December 31, 1997 (1.41) (2.21) -- ---------------------------------------- SHORT TERM BOND FUND Class C April 30, 2003 (1) (.28) -- -- October 31, 2002 (.72) -- -- October 31, 2001 (.96) -- -- October 31, 2000 (2) (.73) -- -- December 31, 1999 (6) (.60) -- -- ---------------------------------------- Class E April 30, 2003 (1) (.34) -- -- October 31, 2002 (.81) -- -- October 31, 2001 (1.09) -- -- October 31, 2000 (2) (.79) -- -- December 31, 1999 (5) (.89) -- -- ---------------------------------------- Class S April 30, 2003 (1) (.36) -- -- October 31, 2002 (.86) -- -- October 31, 2001 (1.13) -- -- October 31, 2000 (2) (.81) -- -- December 31, 1999 (.97) -- -- December 31, 1998 (.99) -- -- December 31, 1997 (1.09) -- -- ----------------------------------------
See accompanying notes which are an integral part of the financial statements. 122 Frank Russell Investment Company Institutional Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- (.59) 28.92 11.36 20,882 (1.51) 26.52 3.56 15,712 (1.14) 26.97 8.41 5,718 (.71) 25.93 17.54 3,393 (1.46) 22.69 .19 1,771 ----------------------------------------------------------------------------- (.68) 29.15 11.74 11,775 (1.68) 26.72 4.27 10,661 (1.34) 27.14 9.23 11,415 (.81) 26.07 18.24 9,094 (1.55) 22.76 .30 7,134 (1.89) 24.27 (16.25) 843 (3.25) 31.02 18.20 388 ----------------------------------------------------------------------------- (.70) 29.37 11.91 662,506 (1.77) 26.89 4.55 598,133 (1.40) 27.31 9.48 607,280 (.83) 26.22 18.53 669,529 (1.68) 22.86 .55 589,300 (1.63) 24.44 (15.94) 576,326 (3.62) 30.86 18.99 615,483 ----------------------------------------------------------------------------- (.28) 19.07 1.94 30,812 (.72) 18.98 3.73 16,294 (.96) 19.01 9.77 1,709 (.73) 18.23 4.67 672 (.60) 18.13 2.02 801 ----------------------------------------------------------------------------- (.34) 19.13 2.28 18,764 (.81) 19.04 4.53 17,516 (1.09) 19.02 10.54 17,685 (.79) 18.24 5.36 9,898 (.89) 18.08 2.53 8,693 ----------------------------------------------------------------------------- (.36) 19.11 2.46 855,844 (.86) 19.01 4.81 599,795 (1.13) 18.99 10.76 401,137 (.81) 18.22 5.64 422,884 (.97) 18.03 3.03 447,590 (.99) 18.46 6.09 260,539 (1.09) 18.35 6.02 229,470 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE --- 2.20 2.56 4.33 31.95 2.19 2.59 3.74 67.70 2.17 2.17 4.20 44.50 2.16 2.16 4.06 53.30 2.14 2.14 5.12 42.69 --- 1.45 1.77 5.14 31.95 1.46 1.82 4.54 67.70 1.42 1.42 4.96 44.50 1.41 1.41 4.78 53.30 1.39 1.39 5.42 42.69 1.47 1.47 4.90 42.58 1.71 1.71 3.94 49.40 --- 1.20 1.20 5.36 31.95 1.19 1.19 4.82 67.70 1.17 1.18 5.19 44.50 1.16 1.16 5.00 53.30 1.14 1.14 5.41 42.69 1.05 1.05 4.93 42.58 1.02 1.02 4.57 49.40 --- 1.54 1.65 2.20 51.49 1.52 1.70 3.08 163.86 1.52 1.66 4.72 260.94 1.64 1.66 5.01 92.31 1.72 1.72 4.41 177.08 --- .79 .94 3.01 51.49 .77 .96 4.04 163.86 .77 .91 5.48 260.94 .89 .91 5.77 92.31 .97 .97 5.05 177.08 --- .54 .67 3.22 51.49 .52 .71 4.26 163.86 .52 .67 5.76 260.94 .64 .66 6.00 92.31 .74 .74 5.22 177.08 .66 .66 5.37 129.85 .66 .66 5.70 213.14 ---
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 123 FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED For a Share Outstanding Throughout Each Period.
$ $ $ $ NET ASSET VALUE, NET NET REALIZED TOTAL INCOME BEGINNING OF INVESTMENT AND UNREALIZED (LOSS) FROM PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS -------------------------------------------------------------------------------------------------------------- SELECT GROWTH FUND Class C April 30, 2003 (1) 5.23 (.04) .30 .26 October 31, 2002 6.65 (.10) (1.32) (1.42) October 31, 2001 (10) 10.00 (.08) (3.27) (3.35) -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 5.31 (.02) .31 .29 October 31, 2002 6.68 (.04) (1.33) (1.37) October 31, 2001 (10) 10.00 (.02) (3.30) (3.32) -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 5.35 (.01) .31 .30 October 31, 2002 6.71 (.02) (1.34) (1.36) October 31, 2001 (10) 10.00 --(e) (3.29) (3.29) -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 5.34 (.01) .30 .29 October 31, 2002 6.71 (.02) (1.35) (1.37) October 31, 2001 (10) 10.00 --(e) (3.29) (3.29) -------------------------------------------------------------------------------------------------------------- SELECT VALUE FUND Class C April 30, 2003 (1) 7.41 --(e) .21 .21 October 31, 2002 8.51 (.02) (1.07) (1.09) October 31, 2001 (10) 10.00 --(e) (1.48) (1.48) -------------------------------------------------------------------------------------------------------------- Class E April 30, 2003 (1) 7.46 .03 .21 .24 October 31, 2002 8.53 .06 (1.07) (1.01) October 31, 2001 (10) 10.00 .05 (1.48) (1.43) -------------------------------------------------------------------------------------------------------------- Class I April 30, 2003 (1) 7.46 .04 .21 .25 October 31, 2002 8.54 .08 (1.07) (.99) October 31, 2001 (10) 10.00 .09 (1.48) (1.39) -------------------------------------------------------------------------------------------------------------- Class S April 30, 2003 (1) 7.45 .04 .21 .25 October 31, 2002 8.53 .07 (1.07) (1.00) October 31, 2001 (10) 10.00 .08 (1.48) (1.40) -------------------------------------------------------------------------------------------------------------- $ $ DISTRIBUTIONS DISTRIBUTIONS $ FROM NET FROM NET RETURN OF INVESTMENT INCOME REALIZED GAIN CAPITAL ---------------------------------------- SELECT GROWTH FUND Class C April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 (10) -- -- -- ---------------------------------------- Class E April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 (10) -- -- -- ---------------------------------------- Class I April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 (10) -- -- -- ---------------------------------------- Class S April 30, 2003 (1) -- -- -- October 31, 2002 -- -- -- October 31, 2001 (10) -- -- -- ---------------------------------------- SELECT VALUE FUND Class C April 30, 2003 (1) (.01) -- -- October 31, 2002 (.01) -- -- October 31, 2001 (10) (.01) -- -- ---------------------------------------- Class E April 30, 2003 (1) (.03) -- -- October 31, 2002 (.06) -- -- October 31, 2001 (10) (.04) -- -- ---------------------------------------- Class I April 30, 2003 (1) (.04) -- -- October 31, 2002 (.09) -- -- October 31, 2001 (10) (.07) -- -- ---------------------------------------- Class S April 30, 2003 (1) (.04) -- -- October 31, 2002 (.08) -- -- October 31, 2001 (10) (.07) -- -- ----------------------------------------
See accompanying notes which are an integral part of the financial statements. 124 Frank Russell Investment Company Institutional Funds
$ $ $ NET ASSET VALUE, % NET ASSETS TOTAL END OF TOTAL END OF PERIOD DISTRIBUTIONS PERIOD RETURN(B) (000) ----------------------------------------------------------------------------- -- 5.49 4.97 1,574 -- 5.23 (21.35) 1,341 -- 6.65 (33.50) 1,017 ----------------------------------------------------------------------------- -- 5.60 5.46 3,005 -- 5.31 (20.51) 2,814 -- 6.68 (33.20) 2,714 ----------------------------------------------------------------------------- -- 5.65 5.61 22,692 -- 5.35 (20.27) 18,150 -- 6.71 (32.90) 21,044 ----------------------------------------------------------------------------- -- 5.63 5.43 26,595 -- 5.34 (20.42) 24,390 -- 6.71 (32.90) 24,072 ----------------------------------------------------------------------------- (.01) 7.61 2.81 2,350 (.01) 7.41 (12.82) 2,061 (.01) 8.51 (14.76) 1,844 ----------------------------------------------------------------------------- (.03) 7.67 3.20 3,518 (.06) 7.46 (11.86) 3,314 (.04) 8.53 (14.33) 3,155 ----------------------------------------------------------------------------- (.04) 7.67 3.34 26,896 (.09) 7.46 (11.72) 35,169 (.07) 8.54 (13.92) 28,983 ----------------------------------------------------------------------------- (.04) 7.66 3.31 31,789 (.08) 7.45 (11.78) 31,806 (.07) 8.53 (14.04) 31,288 ----------------------------------------------------------------------------- % % % RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET TO AVERAGE TO AVERAGE INVESTMENT INCOME % NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO NET(C) GROSS(C) NET ASSETS(C) TURNOVER RATE --- 2.17 2.86 (1.58) 88.25 2.11 2.82 (1.53) 212.37 2.17 2.97 (1.32) 169.36 --- 1.25 1.89 (.65) 88.25 1.16 1.87 (.58) 212.37 1.29 2.05 (.45) 169.36 --- .91 1.65 (.31) 88.25 .89 1.65 (.31) 212.37 .89 1.75 (.03) 169.36 --- 1.02 1.66 (.42) 88.25 .97 1.68 (.39) 212.37 .94 1.74 (.09) 169.36 --- 2.08 2.43 (.10) 52.28 2.00 2.40 (.27) 92.95 2.00 2.64 .00 71.75 --- 1.17 1.53 .81 52.28 1.04 1.43 .70 92.95 1.25 1.85 .76 71.75 --- .84 1.24 1.15 52.28 .79 1.22 .95 92.95 .79 1.48 1.25 71.75 --- .96 1.31 1.03 52.28 .87 1.27 .86 92.95 .86 1.50 1.18 71.75 ---
See accompanying notes which are an integral part of the financial statements. Frank Russell Investment Company Institutional Funds 125 NOTES TO FINANCIAL HIGHLIGHTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- INSTITUTIONAL FUNDS (1) For the six months ended April 30, 2003 (Unaudited). (2) For the ten months ended October 31, 2000. (3) For the period September 22, 1998 (commencement of sale) to December 31, 1998. (4) For the period January 27, 1999 (commencement of sale) to December 31, 1999. (5) For the period February 18, 1999 (commencement of sale) to December 31, 1999. (6) For the period March 3, 1999 (commencement of sale) to December 31, 1999. (7) For the period May 14, 1999 (commencement of sale) to December 31, 1999. (8) For the period March 29, 2000 (commencement of sale) to October 31, 2000. (9) For the period March 30, 2000 (commencement of sale) to October 31, 2000. (10) For the period January 31, 2001 (commencement of operations) to October 31, 2001. (a) For the periods subsequent to December 31, 1997, average month-end shares outstanding were used for this calculation. (b) Periods less than one year are not annualized. (c) The ratios for periods less than one year are annualized. (d) The ratio for the period ended December 31, 1998 is not meaningful due to the Class's short period of operation. (e) Less than $.01 per share. (f) Per "Revised AICPA Audit and Accounting Guide", the Funds adopted certain accounting principles that created a reclass between net investment income and net realized and unrealized gain (loss). As a result, the amounts reflected in the Financial Highlights table have been increased (decreased) as follows:
RATIO OF NET NET REALIZED INVESTMENT INCOME NET INVESTMENT AND UNREALIZED TO AVERAGE INCOME (LOSS) GAIN (LOSS) NET ASSETS $ $ % -------------------------------------------------------------------------------------------------------------------- Fixed Income I Fund (.01) .01 (.04) Fixed Income III Fund (.03) .03 (.29)
See accompanying notes which are an integral part of the financial statements. 126 Frank Russell Investment Company Institutional Funds INSTITUTIONAL FUNDS NOTES TO STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- FOOTNOTES: (AE) Nonincome-producing security. (o) Real Estate Investment Trust (REIT). (s) Held as collateral in connection with futures contracts purchased (sold), options written, or swaps entered into by the Fund. (y) Rate noted is yield-to-maturity from date of acquisition. (c) At amortized cost, which approximates market. (E) Adjustable or floating rate security. Rate shown reflects rate in effect at period end. (o) Forward commitment. (p) Perpetual floating rate security. (u) Bond is insured by a guarantor. (ae) Pre-refunded: These bonds are collateralized by US Treasury securities, which are held in escrow by a trustee and used to pay principal and interest in the tax-exempt issue and to retire the bonds in full at the earliest refunding date. The rate noted is for descriptive purposes; effective yield may vary. (ffl) In default. (#) All securities with a maturity date greater than thirteen months have a demand feature or an optional or mandatory put, or are pre-refunded, resulting in an effective maturity of thirteen months or less. Additionally, all daily and weekly demand securities are backed by direct payment letters of credit. (Y) This security has been valued by the Security Valuation Committee. It is possible that the estimated value may differ significantly from the amount that might ultimately be realized. ABBREVIATIONS: ADR - American Depositary Receipt GDR - Global Depositary Receipt ADS - American Depositary Share CMO - Collateralized Mortgage Obligation CVO - Contingent Value Obligation 144A - Represents private placement security for qualified buyers according to rule 144A of the Securities Act of 1933. GDS - Global Depositary Share LIBOR - London Interbank Offered Rate PIK - Payment in Kind FDIC - Federal Deposit Insurance Company REMIC - Real Estate Mortgage Investment Conduit STRIP - Separate Trading of Registered Interest and Principal of Securities TBA - To Be Announced Security FOREIGN CURRENCY ABBREVIATIONS: ARS - Argentine peso GBP - British pound sterling PHP - Philippine peso AUD - Australian dollar HKD - Hong Kong dollar PLN - Polish zloty BRL - Brazilian real HUF - Hungarian forint RUB - Russian ruble CAD - Canadian dollar IDR - Indonesian rupiah SEK - Swedish krona CHF - Swiss franc ILS - Israeli shekel SGD - Singapore dollar CLP - Chilean peso INR - Indian rupee SKK - Slovakian koruna CNY - Chinese renminbi yuan ITL - Italian lira THB - Thai baht COP - Colombian peso JPY - Japanese yen TRL - Turkish lira CRC - Costa Rica colon KES - Kenyan schilling USD - United States dollar CZK - Czech koruna KRW - South Korean won VEB - Venezuelan bolivar DKK - Danish krone MXN - Mexican peso VND - Vietnam dong EGP - Egyptian pound MYR - Malaysian ringgit ZAR - South African rand EUR - Euro PEN - Peruvian nouveau sol
Notes to Statement of Net Assets 127 INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION Frank Russell Investment Company (the "Investment Company") is a series mutual fund with 32 different investment portfolios referred to as "Funds." These financial statements report on twelve Funds, each of which has distinct investment objectives and strategies. The Investment Company is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. It is organized and operates as a Massachusetts business trust under an amended master trust agreement dated July 26, 1984. The Investment Company's master trust agreement permits the Board of Trustees to issue an unlimited number of full and fractional shares of beneficial interest at a $.01 par value. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds' financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP") which require the use of management estimates. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of these financial statements. Security valuation United States equity and fixed-income securities listed and traded principally on any national securities exchange are valued on the basis of the last sale price or, lacking any sale, at the closing bid price, on the primary exchange on which the security is traded. United States over-the-counter equity and fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Many fixed-income securities do not trade each day and, thus, last sale or bid prices are frequently not available. Fixed-income securities, therefore, may be valued using prices provided by a pricing service when such prices are believed to reflect the fair market value of such securities. The value of swap agreements are equal to the Funds' obligation (or rights) under swap contracts which will generally be equal to the net amounts to be paid or received under the contracts based upon the relative values of the positions held by each party to the contracts. International equity and fixed-income securities traded on a national securities exchange are valued on the basis of the last sale price. International securities traded over the counter are valued on the basis of the mean of bid prices. In the absence of a last sale or mean bid price, respectively, such securities may be valued on the basis of prices provided by a pricing service if those prices are believed to reflect the fair market value of such securities. Short-term investments purchased by the Funds and maturing within 60 days at the time of purchase are valued at "amortized cost" unless the Board of Trustees determines that amortized cost does not represent fair value. The Funds may value certain securities for which market quotations are not readily available at "fair value," as determined in good faith pursuant to procedures established by the Board of Trustees. Investment transactions Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the basis of specific identified cost incurred by each money manager within a particular Fund. Investment income Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. All premiums and discounts, including original issue discounts, are amortized/accreted for using the interest method. Federal income taxes As a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund's shareholders without regard to the income and capital gains (or losses) of the other Funds. It is each Fund's intention to qualify as a regulated investment company and distribute all of its taxable income and capital gains. Therefore, no federal income or excise tax provision was required for the Funds. Dividends and distributions to shareholders For all Funds, income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. Dividends are generally declared and paid quarterly for the equity Funds, annually for the International Fund, and monthly for the fixed income Funds. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by 128 Notes to Financial Statements INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- the Funds to avoid imposition of federal income and excise tax on any remaining undistributed capital gains and net investment income. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from GAAP. As a result, net investment income and net realized gain (or loss) on investment and foreign currency-related transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and GAAP primarily relate to investments in options, futures, forward contracts, passive foreign investment companies, foreign-denominated investments, mortgage-backed securities, certain securities sold at a loss and by recording gains and losses from securities transactions on the basis of specific identified cost incurred by each money manager for financial reporting purposes and on the basis of specific identified cost incurred by each Fund for tax purposes. Expenses The Funds will pay their own expenses other than those expressly assumed by Frank Russell Investment Management Company ("FRIMCo" or "Advisor"). Most expenses can be directly attributed to the individual Funds. Expenses which cannot be directly attributed to a specific Fund are allocated among all Funds principally based on their relative net assets. Class Allocation The Funds offer the following classes of shares: Class C, Class E, Class I, Class S and Class Y. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses) and net investment income, other than class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Foreign currency translations The books and records of the Funds are maintained in US dollars. Foreign currency amounts and transactions of the Funds are translated into US dollars on the following basis: (a) Market value of investment securities, other assets and liabilities at the closing rate of exchange on the valuation date. (b) Purchases and sales of investment securities and income at the closing rate of exchange prevailing on the respective trade dates of such transactions. Reported net realized gains or losses from foreign currency-related transactions arise from: sales and maturities of short-term securities; sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds' books and the US dollar equivalent of the amounts actually received or paid. Net unrealized gains or losses from foreign currency-related transactions arise from changes in the value of assets and liabilities, other than investments in securities, at year-end, as a result of changes in the exchange rates. The Funds do not isolate that portion of the results of operations of the Funds that arises as a result of changes in exchange rates from that portion that arises from changes in market prices of investments during the year. Such fluctuations are included with the net realized and unrealized gain or loss from investments. However, for federal income tax purposes the Funds do isolate the effects of changes in foreign exchange rates from the fluctuations arising from changes in market prices for realized gain (or loss) on debt obligations. Derivatives To the extent permitted by the investment objectives, restrictions and policies set forth in the Funds' Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. They include options, futures, swaps, forwards, structured notes and stripped securities. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment strategies. The Funds typically use derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by certain Funds through the use of options and futures to earn "market-like" returns with their excess and liquidity reserve cash balances. Hedging is used by some Funds to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in a Fund. By purchasing certain instruments, Funds may more effectively achieve the desired portfolio characteristics that assist them in Notes to Financial Statements 129 INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- meeting their investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk. Foreign currency exchange contracts In connection with portfolio purchases and sales of securities denominated in a foreign currency, certain Funds may enter into foreign currency exchange spot contracts and forward foreign currency exchange contracts ("contracts"). The International Fund may enter into foreign currency forward overlays on liquidity reserve balances. Additionally, from time to time the International, Emerging Markets, Short Term Bond, Fixed Income I and Fixed Income III Funds may enter into contracts to hedge certain foreign currency-denominated assets. Contracts are recorded at market value. Certain risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contracts, if any, that are recognized in the Statement of Assets and Liabilities. Realized gains or losses arising from such transactions are included in net realized gain (or loss) from foreign currency-related transactions. Open contracts at April 30, 2003, are presented on the Statement of Net Assets for the applicable Funds. Forward commitments The Funds may contract to purchase securities for a fixed price at a future date beyond customary settlement time (not to exceed 120 days) (i.e., a "forward commitment," "delayed settlement" or "when issued" transaction, e.g., to be announced ("TBA")) consistent with a Fund's ability to manage its investment portfolio and meet redemption requests. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The Funds may dispose of a forward commitment transaction prior to settlement if it is appropriate to do so and realize short-term gains (or losses) upon such sale. When effecting such transactions, cash or liquid high-grade debt obligations of the Fund in a dollar amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the Fund's records at the trade date and maintained until the transaction is settled. A forward commitment transaction involves a risk of loss if the value of the security to be purchased declines prior to the settlement date or the other party to the transaction fails to complete the transaction. Options The Funds may purchase and sell (write) call and put options on securities and securities indices, provided such options are traded on a national securities exchange or in an over-the-counter market. The Funds may also purchase and sell call and put options on foreign currencies. The domestic equity Funds may utilize options to equitize liquidity reserve balances. When a Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund's Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option it is exposed to a decline in the price of the underlying security. If an option which the Fund has written either expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments. The Funds' use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Funds' exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities and interest rates. Futures Contracts The domestic and international equity Funds utilize futures to equitize liquidity reserve balances. Fixed Income III Fund may utilize futures contracts (i.e., interest rate, foreign currency and index futures contracts) to a limited extent. The face or contract amounts of these instruments reflect the extent of the Funds' exposure to market risk. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Fund and the 130 Notes to Financial Statements INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- prices of futures contracts, and the possibility of an illiquid market. Changes in the initial settlement values of futures contracts are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Swap Agreements The Equity I, Equity II, Equity III, Equity Q, International, Fixed Income I, Fixed Income III, Emerging Markets, Short Term Bond, Select Growth, and Select Value Funds may enter into swap agreements as an additional equitization vehicle for uninvested cash balances held by those Funds or to effect investment transactions consistent with these Funds' investment objectives and strategies. Swap agreements are two party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard swap transaction, the two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular investments or instruments. The returns to be exchanged between the parties are calculated with respect to a "notional amount" (i.e. a specified dollar amount that is hypothetically invested in a "basket" of securities representing a particular index). Investments in emerging markets Investing in emerging markets may involve special risks and considerations for the Emerging Markets Fund not typically associated with investing in the United States markets. These risks include revaluation of currencies, high rates of inflation, repatriation, restrictions on income and capital, and future adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, delayed settlements, and their prices more volatile than those of comparable securities in the United States. Guarantees In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote. 3. INVESTMENT TRANSACTIONS Securities During the period ended April 30, 2003, purchases and sales of investment securities (excluding US Government and Agency obligations, short-term investments, options, futures and repurchase agreements) were as follows:
PURCHASES SALES --------------------------------------------------------------- Equity I $ 370,863,396 $ 382,374,284 Equity II 340,973,478 313,549,775 Equity III 15,157,212 20,952,059 Equity Q 622,081,785 628,198,464 International 329,747,661 315,629,802 Fixed Income I 397,821,774 448,043,718
---------------------------------------------------------------
PURCHASES SALES Fixed Income III $ 193,531,138 $ 206,293,549 Emerging Markets 112,255,478 110,633,605 Real Estate Securities 207,344,350 199,319,481 Short Term Bond 275,151,077 166,730,643 Select Growth 45,528,587 40,265,017 Select Value 34,079,699 42,870,110
Purchases and sales of US Government and Agency obligations (excluding short-term investments, options, futures and repurchase agreements) were as follows:
PURCHASES SALES -------------------------------------------------------------------------------- Short Term Bond $ 251,326,941 $ 149,873,421 Fixed Income I 851,248,353 891,846,761 Fixed Income III 192,698,639 225,616,741
Notes to Financial Statements 131 INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Written Options Contracts Fund transactions in written options contracts for the period ended April 30, 2003 were as follows:
FIXED INCOME I FIXED INCOME III NUMBER OF PREMIUMS NUMBER OF PREMIUMS CONTRACTS RECEIVED CONTRACTS RECEIVED ------------------------------------------------------------------------------------------------------------------------------ Outstanding October 31, 2002 -- $ -- 367 $ 521,368 Opened 192 118,855 -- -- Closed -- -- (32) (24,453) Expired -- -- (279) (179,595) ------------------- ------------------- ------------------- ------------------- Outstanding April 30, 2003 192 $ 118,855 56 $ 317,320 =================== =================== =================== ===================
EMERGING MARKETS INTERNATIONAL NUMBER OF PREMIUMS NUMBER OF PREMIUMS CONTRACTS RECEIVED CONTRACTS RECEIVED ------------------------------------------------------------------------------------------------------------------------------ Outstanding October 31, 2002 415 $ 534,517 241 $ 4,312,965 Opened 879 1,426,880 863 19,011,877 Closed (952) (1,312,961) (960) (22,359,559) Expired -- -- -- -- ------------------- ------------------- ------------------- ------------------- Outstanding April 30, 2003 342 $ 648,436 144 $ 965,283 =================== =================== =================== ===================
SHORT TERM BOND NUMBER OF PREMIUMS CONTRACTS RECEIVED -------------------------------------------------------------------------------- Outstanding October 31, 2002 -- $ -- Opened 3 54,099 Closed -- -- Expired -- -- ------------------- ------------------- Outstanding April 30, 2003 3 $ 54,099 =================== ===================
Securities Lending The Investment Company has a securities lending program whereby each Fund can loan securities with a value up to 33 1/3% of its total assets to certain brokers. The Fund receives cash (US currency), US Government or US Government agency obligations as collateral against the loaned securities. To the extent that a loan is collateralized by cash, such collateral shall be invested by the securities lending agent in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. The collateral received is recorded on the Fund's statement of assets and liabilities along with the related obligation to return the collateral. Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and the securities lending agent and is recorded as income for the Fund. All collateral received will be in an amount at least equal to 102% (for loans of US securities) or 105% (for non-US securities) of the market value of the loaned securities at the inception of each loan. Should the borrower of the securities fail financially, there is a risk of delay in recovery of the securities or loss of rights in the collateral. Consequently, loans are made only to borrowers which are deemed to be of good financial standing. As of April 30, 2003, the value of outstanding securities on loan and the value of collateral amounted to as follows:
VALUE OF VALUE OF SECURITIES ON LOAN COLLATERAL ---------------------------------------------------------------- Equity I $ 27,909,190 $ 28,821,359 Equity II 94,857,965 97,772,531 Equity Q 101,912,417 104,773,924 International 37,312,830 40,021,187 Fixed Income I 126,370,486 129,001,499
----------------------------------------------------------------
VALUE OF VALUE OF SECURITIES ON LOAN COLLATERAL Fixed Income III $ 15,414,771 $ 15,686,374 Real Estate Securities 40,388,020 41,524,858 Select Growth 351,803 379,930 Select Value 5,408 5,408
132 Notes to Financial Statements INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- As of April 30, 2003, the cash collateral received for the securities on loan are invested as follows:
DEUTSCHE BANK FRIC MONEY MARKET IDA FUND (1) --------------------------------------------------------------- Equity I $ 9,215,616 $ 19,295,250 Equity II 31,262,721 65,456,507 Equity Q 33,501,414 70,143,784 International 12,796,755 26,793,283 Fixed Income I 41,248,185 86,363,606
---------------------------------------------------------------
DEUTSCHE BANK FRIC MONEY MARKET IDA FUND (1) Fixed Income III $ 5,015,709 $ 10,501,670 Real Estate Securities 13,277,556 27,799,962 Select Growth 121,482 254,354 Select Value 1,728 3,618
(1) The Deutsche Bank IDA Fund investment balance includes pending items that account for the difference between the total amount invested and the total cash collateral amount. As of April 30, 2003, the value of the non-cash collateral received for the securities on loan in the Equity I Fund, Equity Q Fund, and Real Estate Securities Fund is $1,540,170, $861,840 and $3,359,785 respectively. The non-cash collateral consists of irrevocable letters of credit. 4. RELATED PARTIES Advisor and Administrator FRIMCo advises and administers all of the Funds which comprise the Investment Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company. Frank Russell Company researches and recommends to FRIMCo, and to the Investment Company, one or more investment management organizations to manage the portfolio of each Fund. The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds' objectives), and a portion of the collateral received from the Investment Company's securities lending program in the Frank Russell Investment Company Money Market Fund (a series of the Investment Company not presented herein). As of April 30, 2003, $603,116,869 of the Money Market Fund's net assets represents investments by these Funds and $734,104,116 represents the investments of other affiliated Funds not presented herein. The advisory and administrative fees (excluding Class Y) are based upon the average daily net assets of each Fund and the rates specified in the table below. Class Y shares pay administrative fees to FRIMCo at cost. The advisory and administrative fees are payable monthly and total $15,561,716 and $1,315,321, respectively, for the fiscal year ended April 30, 2003.
ANNUAL RATE ADVISOR ADMINISTRATOR -------------------------------------------------------------- Equity I 0.55% 0.05% Equity II 0.70 0.05 Equity III 0.55 0.05 Equity Q 0.55 0.05 International 0.70 0.05 Fixed Income I 0.25 0.05
--------------------------------------------------------------
ANNUAL RATE ADVISOR ADMINISTRATOR Fixed Income III 0.50% 0.05% Emerging Markets 1.15 0.05 Real Estate Securities 0.80 0.05 Short Term Bond 0.45 0.05 Select Growth 0.80 0.05 Select Value 0.70 0.05
The advisor has contractually agreed to waive up to the full amount of its 0.50% combined advisory and administrative fees for the Short Term Bond Fund, and to reimburse the Fund to the extent that Fund level expenses exceed 0.52% of the Fund's average daily net assets on an annual basis. The total amount of the waiver for the period ended April 30, 2003 was $472,588. There were no reimbursements for the period ended April 30, 2003. For the Select Growth Fund, the Advisor has contractually agreed to waive up to the full amount of its transfer agency fees, administrative fees, and advisory fees to the extent that expenses for Class C, Class E, Class I and Class S exceed 2.25%, 1.40%, 0.95% and 1.15%, respectively, of the average daily net assets of each such class on an annual basis. If a waiver of advisory fees is required for any class of shares of the Fund, advisory fees will be waived equally across all classes of the Fund. This may result in a waiver amount that is greater than what is required to reduce total net operating expense for Class C, Class E, Class I and Class S to 2.25%, 1.40%, 0.95% and 1.15%, respectively. The total amount of the waiver for the period ended April 30, 2003 was $156,084. There were no reimbursements for the period ended April 30, 2003. Notes to Financial Statements 133 INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- For the Select Value Fund, the Advisor has contractually agreed to waive up to the full amount of its transfer agency fees, administrative fees, and advisory fees to the extent that expenses for Class C, Class E, Class I and Class S exceed 2.25%, 1.40%, 0.95% and 1.15%, respectively, of the average daily net assets of each such class on an annual basis. If a waiver of advisory fees is required for any class of shares of the Fund, advisory fees will be waived equally across all classes of the Fund. This may result in a waiver amount that is greater than what is required to reduce total net operating expense for Class C, Class E, Class I and Class S to 2.25%, 1.40%, 0.95% and 1.15%, respectively. The total amount of the waiver for the period ended April 30, 2003 was $124,211. There were no reimbursements for the period ended April 30, 2003. Special Service Charge In accordance with the special servicing agreement entered into in February 1999 by the Advisor, the Fund of Funds (a group of five LifePoints(R) Funds and the Tax-Managed Global Equity Fund which invest in a combination of Class S shares of the Investment Company's portfolios) and the Funds listed below, the "Underlying Funds" in which the Fund of Funds invest, expenses from the operation of the Fund of Funds are borne by the Underlying Funds based on each Underlying Fund's proportionate share of assets owned by the Fund of Funds. No Underlying Funds will be charged expenses that exceed the estimated savings to each respective Underlying Fund. These estimated savings result from the elimination of separate shareholder accounts which either currently are or have potential to be invested in the Underlying Funds. In the event that the financial benefits to the Underlying Funds do not exceed aggregate expenses of any Fund of Fund, the Advisor will reimburse the respective Underlying Funds. For the period ended April 30, 2003, the special servicing expense charged to the Underlying Funds amounted to:
AMOUNT UNDERLYING FUNDS PAID ------------------------------------------------------- Emerging Markets $ 68,595 Short Term Bond 194,489 Real Estate Securities 91,388
Custodian The Funds have entered into arrangements with their Custodian whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Fund's expenses. During the period ended April 30, 2003, the Fund's custodian fees were reduced by the following amounts under these arrangements:
CUSTODY CREDIT FUND AMOUNT ------------------------------------------------ Equity I $ 161 Equity II 287 Equity III 39 Equity Q 165 International 677 Fixed Income I 6,220
------------------------------------------------
CUSTODY CREDIT FUND AMOUNT Fixed Income III $ 2,322 Emerging Markets 1,288 Real Estate Securities 261 Short Term Bond 2,819 Select Growth 35 Select Value 21
Analytic services Fees for analytic services provided to the Funds are paid or accrued to Russell/Mellon Analytical Services, an affiliate of the Investment Company. Russell/Mellon Analytical Services provides its TruVP System to the Funds, pursuant to a written Service Agreement. The TruVP System provides analytics used by the Advisor. Total fees for the Funds reported herein for the period ended April 30, 2003 was $88,203. Transfer agent The Investment Company has a contract with FRIMCo to provide transfer agent services to the Funds. Total fees for the Funds reported herein for the period ended April 30, 2003 were $2,753,954. 134 Notes to Financial Statements INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- In addition, FRIMCo has contractually agreed to waive a portion of its transfer agency fees to the extent that those fees would affect "Other Expenses" of certain Funds by one basis point or more. The total transfer agent fee waiver for the period ended April 30, 2003 were as follows:
TA FEE FUND WAIVER AMOUNT ------------------------------------------------------- Real Estate Securities $ 53,111 Select Growth 9,613 Select Value 7,855
Distributor and Shareholder Servicing The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the "Plan") under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Russell Fund Distributors (the "Distributor") which is a wholly-owned subsidiary of FRIMCo, or any Selling Agents, as defined in the Plan, for sales support services provided and related expenses incurred which were primarily intended to result in the sale of the Class C shares subject to the Distribution Plan. The 12b-1 distribution payments shall not exceed 0.75% of the average daily net assets of a Fund's Class C shares on an annual basis. In addition, the Investment Company has adopted a Shareholder Services Plan (the "Services Plan") under which the Funds may make payments to the Distributor or any Servicing Agent for any activities or expenses primarily intended to assist, support or service the Servicing Agents' clients who beneficially own Class C and Class E shares of the Funds. The shareholder servicing payments shall not exceed 0.25% of the average daily net assets of a Fund's Class C and Class E shares on an annual basis. Pursuant to the rules of the National Association of Securities Dealers, Inc. ("NASD"), the asset-based sales charges on Shares of the Funds may not exceed 6.25% of total gross sales, subject to certain exclusions. This 6.25% limitation is imposed at the class level of each Fund rather than on a per shareholder basis. Therefore, long-term shareholders may pay more than the economic equivalent of the maximum sales charges permitted by the NASD. Brokerage commissions The Funds may effect portfolio transactions through Frank Russell Securities, Inc., an affiliate of the Advisor, when a money manager determines that the Fund will receive competitive execution, price, and commissions. Amounts retained by Frank Russell Securities, Inc. for the period ended April 30, 2003 were as follows:
FUNDS AMOUNT ------------------------------------------------- Equity I $ 16,526 Equity II 22,053 Equity III 5,745 Equity Q 10,263 International 50,783
FUNDS AMOUNT ------------------------------------------------- Emerging Markets $ 27,436 Real Estate Securities 13,196 Select Growth 5,591 Select Value 7,830
Additionally, the Funds paid brokerage commissions to non-affiliated brokers who provided brokerage and research services to the Advisor. Board of Trustees The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 Funds, and Russell Investment Funds ("RIF"), which has 5 Funds. Each of the Trustees is a Trustee for both FRIC and RIF. The Russell Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer of $52,000 per year, $5,000 for each regular quarterly meeting attended in person, $2,000 for each special meeting attended in person, and $2,000 for each Joint Audit Committee meeting or Nominating and Governance Committee meeting attended in person. The Trustee will receive a $500 fee for attending the meetings by phone instead of receiving the full fee had the member attended in person. Out of pocket expenses are also paid by the Russell Fund Complex. The Lead Trustee is paid a fee of $10,000 per year, and each Committee Chair is paid a fee of $6,000 per year. Notes to Financial Statements 135 INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 5. FEDERAL INCOME TAXES At October 31, 2002, the following Funds had net tax basis capital loss carryforwards which may be applied against any net realized taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. Available capital loss carryforwards and expiration dates are as follows:
10/31/03 10/31/04 10/31/05 10/31/06 ---------------------------------------------------------------------------------------------------------------- Equity I $ -- $ -- $ -- $ -- Equity II -- -- -- -- Equity III -- -- -- -- Equity Q -- -- -- -- International -- -- -- -- Fixed Income III -- -- -- -- Emerging Markets 2,887,175 348,806 -- 56,335,865 Short Term Bond 2,834,049 1,947,924 574,853 51,911 Select Growth -- -- -- -- Select Value -- -- -- --
10/31/07 10/31/08 10/31/09 10/31/10 ---------------------------------------------------------------------------------------------------------------- Equity I $ -- $ -- $ 128,871,325 $ 64,518,851 Equity II -- -- 21,696,078 34,858,191 Equity III -- 9,236,773 -- -- Equity Q -- -- 106,032,081 165,053,472 International -- -- 161,745,343 136,240,464 Fixed Income III -- 3,186,391 -- -- Emerging Markets 30,325,300 6,163,374 62,678,057 23,661,306 Short Term Bond 3,481,990 2,691,693 -- -- Select Growth -- -- 15,155,988 15,387,117 Select Value -- -- 4,530,474 10,676,285 TOTALS ------------------------------------- Equity I $ 193,390,176 Equity II 56,554,269 Equity III 9,236,773 Equity Q 271,085,553 International 297,985,807 Fixed Income III 3,186,391 Emerging Markets 182,399,883 Short Term Bond 11,582,420 Select Growth 30,543,105 Select Value 15,206,759
At April 30, 2003, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:
EQUITY I EQUITY II EQUITY III EQUITY Q ------------------------------------------------------------------------------------------------------------------------- Cost of Investments $ 538,281,286 $ 642,242,672 $ 42,604,529 $1,296,894,672 ============== ============== ============== ============== Unrealized Appreciation $ 155,761,829 $ 102,944,076 $ 15,923,169 $ 186,453,245 Unrealized Depreciation (24,163,816) (37,700,949) (11,897,188) (55,330,473) -------------- -------------- -------------- -------------- Net Unrealized Appreciation (Depreciation) $ 131,598,013 $ 65,243,127 $ 4,025,981 $ 131,122,772 ============== ============== ============== ==============
FIXED FIXED EMERGING INTERNATIONAL INCOME I INCOME III MARKETS ------------------------------------------------------------------------------------------------------------------------- Cost of Investments $ 949,632,698 $1,486,438,901 $ 363,122,348 $ 277,431,223 ============== ============== ============== ============== Unrealized Appreciation $ 38,846,187 $ 53,500,589 $ 6,852,980 $ 64,474,179 Unrealized Depreciation (44,566,939) (5,873,273) (1,935,484) (36,777,265) -------------- -------------- -------------- -------------- Net Unrealized Appreciation (Depreciation) $ (5,720,752) $ 47,627,316 $ 4,917,496 $ 27,696,914 ============== ============== ============== ==============
REAL ESTATE SHORT TERM SELECT SELECT SECURITIES BOND GROWTH VALUE ------------------------------------------------------------------------------------------------------------------------- Cost of Investments $ 568,813,502 $ 911,423,292 $ 50,947,197 $ 64,693,059 ============== ============== ============== ============== Unrealized Appreciation $ 128,397,117 $ 15,119,310 $ 5,225,863 $ 194,144 Unrealized Depreciation (2,180,200) (442,806) (2,175,359) (161,878) -------------- -------------- -------------- -------------- Net Unrealized Appreciation (Depreciation) $ 126,216,917 $ 14,676,504 $ 3,050,504 $ 32,266 ============== ============== ============== ==============
136 Notes to Financial Statements INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS Share transactions for the period ended April 30, 2003 and the year ended October 31, 2002 were as follows:
SHARES DOLLARS (000) EQUITY I 2003 2002 2003 2002 Class E Proceeds from shares sold 311,469 232,814 $ 6,848 $ 5,724 Proceeds from reinvestment of distributions 3,214 8,999 69 214 Payments for shares redeemed (113,692) (547,955) (2,399) (14,009) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 200,991 (306,142) 4,518 (8,071) ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 4,056,164 8,951,967 86,360 220,299 Proceeds from reinvestment of distributions 98,464 318,369 2,097 7,535 Payments for shares redeemed (6,285,932) (14,053,879) (132,105) (350,378) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (2,131,304) (4,783,543) (43,648) (122,544) ----------------- ----------------- ----------------- ----------------- Class Y Proceeds from shares sold 1,367,893 321,360 27,796 7,541 Proceeds from reinvestment of distributions 13,657 33,623 291 795 Payments for shares redeemed (51,708) (3,479,609) (1,091) (94,256) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 1,329,842 (3,124,626) 26,996 (85,920) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (600,471) (8,214,311) $ (12,134) $ (216,535) ================= ================= ================= =================
EQUITY II Class E Proceeds from shares sold 465,165 562,395 $ 12,185 $ 15,902 Proceeds from reinvestment of distributions 3,617 2,253 95 72 Payments for shares redeemed (196,660) (601,540) (5,011) (17,412) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 272,122 (36,892) 7,269 (1,438) ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 3,659,336 6,498,687 94,410 195,081 Proceeds from reinvestment of distributions 77,080 78,480 2,020 2,491 Payments for shares redeemed (3,936,782) (9,109,320) (101,212) (275,603) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (200,366) (2,532,153) (4,782) (78,031) ----------------- ----------------- ----------------- ----------------- Class Y Proceeds from shares sold 917,265 3,511,399 22,854 111,642 Proceeds from reinvestment of distributions 35,355 14,751 926 468 Payments for shares redeemed (37,278) (2,243,550) (960) (68,269) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 915,342 1,282,600 22,820 43,841 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 987,098 (1,286,445) $ 25,307 $ (35,628) ================= ================= ================= =================
Notes to Financial Statements 137 INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) EQUITY III 2003 2002 2003 2002 Class E Proceeds from shares sold 10,194 17,499 $ 196 $ 396 Proceeds from reinvestment of distributions 502 1,177 9 25 Payments for shares redeemed (9,804) (96,188) (187) (2,192) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 892 (77,512) 18 (1,771) ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 335,084 713,419 6,338 15,799 Proceeds from reinvestment of distributions 10,921 27,907 207 592 Payments for shares redeemed (621,894) (1,554,744) (11,665) (35,241) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (275,889) (813,418) (5,120) (18,850) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (274,997) (890,930) $ (5,102) $ (20,621) ================= ================= ================= =================
EQUITY Q Class E Proceeds from shares sold 776,849 220,891 $ 19,753 $ 6,338 Proceeds from reinvestment of distributions 4,191 5,192 105 146 Payments for shares redeemed (285,311) (261,870) (7,017) (7,705) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 495,729 (35,787) 12,841 (1,221) ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 5,966,141 13,404,615 148,058 390,511 Proceeds from reinvestment of distributions 144,200 326,870 3,599 9,131 Payments for shares redeemed (9,630,165) (12,453,822) (236,736) (354,329) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (3,519,824) 1,277,663 (85,079) 45,313 ----------------- ----------------- ----------------- ----------------- Class Y Proceeds from shares sold 3,581,057 7,893,681 87,814 238,838 Proceeds from reinvestment of distributions 114,626 197,631 2,862 5,436 Payments for shares redeemed (160,459) (2,763,774) (3,999) (86,954) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 3,535,224 5,327,538 86,677 157,320 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 511,129 6,569,414 $ 14,439 $ 201,412 ================= ================= ================= =================
138 Notes to Financial Statements INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) INTERNATIONAL 2003 2002 2003 2002 Class E Proceeds from shares sold 539,951 137,236 $ 13,122 $ 3,835 Proceeds from reinvestment of distributions 9,703 930 236 27 Payments for shares redeemed (397,740) (340,205) (9,531) (9,913) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 151,914 (202,039) 3,827 (6,051) ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 5,466,672 11,043,787 130,971 310,277 Proceeds from reinvestment of distributions 360,881 88,965 8,741 2,568 Payments for shares redeemed (6,081,267) (13,016,359) (145,622) (369,844) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (253,714) (1,883,607) (5,910) (56,999) ----------------- ----------------- ----------------- ----------------- Class Y Proceeds from shares sold 712,926 5,111,313 16,488 146,450 Proceeds from reinvestment of distributions 305,923 63,950 7,406 1,846 Payments for shares redeemed (49,860) (2,783,165) (1,164) (82,304) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 968,989 2,392,098 22,730 65,992 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 867,189 306,452 $ 20,647 $ 2,942 ================= ================= ================= =================
FIXED INCOME I Class E Proceeds from shares sold 240,087 306,994 $ 5,302 $ 6,678 Proceeds from reinvestment of distributions 45,888 75,119 450 1,608 Payments for shares redeemed (209,370) (710,760) (4,072) (15,380) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 76,605 (328,647) 1,680 (7,094) ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 4,559,663 10,620,622 100,780 230,446 Proceeds from reinvestment of distributions 1,159,112 1,970,445 11,635 42,187 Payments for shares redeemed (6,043,849) (17,458,055) (119,738) (379,037) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (325,074) (4,866,988) (7,323) (106,404) ----------------- ----------------- ----------------- ----------------- Class Y Proceeds from shares sold 12,193,584 11,503,452 267,366 248,338 Proceeds from reinvestment of distributions 889,571 1,285,853 9,251 27,600 Payments for shares redeemed (13,175,928) (13,231,438) (278,066) (289,487) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (92,773) (442,133) (1,449) (13,549) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (341,242) (5,637,768) $ (7,092) $ (127,047) ================= ================= ================= =================
Notes to Financial Statements 139 INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) FIXED INCOME III 2003 2002 2003 2002 Class E Proceeds from shares sold 150,476 175,664 $ 1,545 $ 1,772 Proceeds from reinvestment of distributions 11,364 30,732 117 305 Payments for shares redeemed (118,419) (204,018) (1,232) (2,047) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 43,421 2,378 430 30 ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 3,988,754 6,953,847 41,326 69,791 Proceeds from reinvestment of distributions 635,473 2,218,582 6,503 21,956 Payments for shares redeemed (7,585,999) (18,231,102) (78,325) (182,787) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (2,961,772) (9,058,673) (30,496) (91,040) ----------------- ----------------- ----------------- ----------------- Class Y Proceeds from shares sold -- -- -- -- Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed -- (2,327,400) -- (23,720) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) -- (2,327,400) -- (23,720) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (2,918,351) (11,383,695) $ (30,066) $ (114,730) ================= ================= ================= =================
EMERGING MARKETS Class C Proceeds from shares sold 859,165 518,161 $ 6,372 $ 4,232 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (691,061) (143,749) (5,172) (1,106) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 168,104 374,412 1,200 3,126 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 400,925 561,418 3,066 4,516 Proceeds from reinvestment of distributions 1,253 -- 10 0 Payments for shares redeemed (358,717) (678,775) (2,761) (5,731) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 43,461 (117,357) 315 (1,215) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 7,912,770 12,590,340 60,061 105,456 Proceeds from reinvestment of distributions 111,995 61,763 885 495 Payments for shares redeemed (6,553,436) (16,003,464) (50,033) (133,839) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 1,471,329 (3,351,361) 10,913 (27,888) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 1,682,894 (3,094,306) $ 12,428 $ (25,977) ================= ================= ================= =================
140 Notes to Financial Statements INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) REAL ESTATE SECURITIES 2003 2002 2003 2002 Class C Proceeds from shares sold 192,946 448,509 $ 5,371 $ 12,958 Proceeds from reinvestment of distributions 13,154 18,264 370 526 Payments for shares redeemed (76,466) (86,309) (2,119) (2,477) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 129,634 380,464 3,622 11,007 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 59,970 166,463 1,677 4,841 Proceeds from reinvestment of distributions 9,565 21,987 272 639 Payments for shares redeemed (64,656) (210,089) (1,801) (6,140) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 4,879 (21,639) 148 (660) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 3,981,726 7,571,337 112,674 222,014 Proceeds from reinvestment of distributions 384,076 1,017,408 10,949 29,793 Payments for shares redeemed (4,050,591) (8,581,654) (113,558) (252,176) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 315,211 7,091 10,065 (369) ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 449,724 365,916 $ 13,835 $ 9,978 ================= ================= ================= =================
SHORT TERM BOND Class C Proceeds from shares sold 1,044,554 891,450 $ 19,900 $ 16,803 Proceeds from reinvestment of distributions 15,624 13,764 296 259 Payments for shares redeemed (303,174) (136,826) (5,768) (2,578) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 757,004 768,388 14,428 14,484 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 380,721 615,275 7,270 11,601 Proceeds from reinvestment of distributions 15,121 34,940 287 655 Payments for shares redeemed (335,120) (659,961) (6,396) (12,475) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 60,722 (9,746) 1,161 (219) ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 19,543,069 21,888,883 372,378 412,350 Proceeds from reinvestment of distributions 422,126 853,287 7,998 15,967 Payments for shares redeemed (6,722,879) (12,307,894) (128,134) (231,654) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 13,242,316 10,434,276 252,242 196,663 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 14,060,042 11,192,918 $ 267,831 $ 210,928 ================= ================= ================= =================
Notes to Financial Statements 141 INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) SELECT GROWTH 2003 2002 2003 2002 Class C Proceeds from shares sold 79,627 145,960 $ 428 $ 1,008 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (49,161) (42,761) (253) (272) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 30,466 103,199 175 736 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 32,512 136,844 168 854 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (25,277) (13,226) (132) (74) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 7,235 123,618 36 780 ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 832,539 457,782 4,305 2,915 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (206,013) (200,960) (1,098) (1,144) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 626,526 256,822 3,207 1,771 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 721,948 1,779,237 3,846 12,005 Proceeds from reinvestment of distributions -- -- -- -- Payments for shares redeemed (567,099) (802,599) (3,005) (5,393) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 154,849 976,638 841 6,612 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) 819,076 1,460,277 $ 4,259 $ 9,899 ================= ================= ================= =================
142 Notes to Financial Statements INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS (CONTINUED)
SHARES DOLLARS (000) SELECT VALUE 2003 2002 2003 2002 Class C Proceeds from shares sold 69,719 130,424 $ 513 $ 1,117 Proceeds from reinvestment of distributions 310 239 2 3 Payments for shares redeemed (39,395) (69,251) (288) (605) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 30,634 61,412 227 515 ----------------- ----------------- ----------------- ----------------- Class E Proceeds from shares sold 30,218 179,451 219 1,483 Proceeds from reinvestment of distributions 1,661 3,425 12 28 Payments for shares redeemed (17,622) (108,225) (129) (825) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) 14,257 74,651 102 686 ----------------- ----------------- ----------------- ----------------- Class I Proceeds from shares sold 438,452 1,688,127 3,341 14,913 Proceeds from reinvestment of distributions 17,581 30,461 132 251 Payments for shares redeemed (1,666,532) (398,266) (12,189) (3,014) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (1,210,499) 1,320,322 (8,716) 12,150 ----------------- ----------------- ----------------- ----------------- Class S Proceeds from shares sold 398,481 1,861,114 2,957 16,038 Proceeds from reinvestment of distributions 20,241 43,099 150 356 Payments for shares redeemed (539,701) (1,303,030) (3,949) (10,869) ----------------- ----------------- ----------------- ----------------- Net increase (decrease) (120,979) 601,183 (842) 5,525 ----------------- ----------------- ----------------- ----------------- Total increase (decrease) (1,286,587) 2,057,568 $ (9,229) $ 18,876 ================= ================= ================= =================
7. LINE OF CREDIT Each of the Funds of the Investment Company share in a $75 million revolving credit facility for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Funds are charged an annual commitment fee of .125% on the average daily unused amount of the aggregate commitment, which is allocated among each of the Funds. Interest is calculated at the Federal Fund Rate plus .50% annually. The Funds may borrow up to a maximum of 33.33% of the value of their net assets under the agreement. The agreement will expire December 24, 2003. The Funds did not have any drawdowns for the period ended April 30, 2003. Notes to Financial Statements 143 INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 8. BENEFICIAL INTEREST As of April 30, 2003, the following table includes each shareholder with shares of beneficial interest of greater than 10% of the total outstanding shares of each respective Fund:
% % % ------------------------------------------------------------------------------------------------------ Equity I 38.1 -- -- Equity II 40.4 -- -- Equity III 49.2 -- -- Equity Q 29.2 27.0 -- International 24.9 19.2 -- Fixed Income I 18.1 15.0 10.3 Fixed Income III 59.8 -- -- Emerging Markets 26.5 10.5 -- Real Estate Securities 26.9 -- -- Short Term Bond 24.9 24.1 10.7 Select Growth 62.8 28.2 -- Select Value 60.7 27.2 --
9. SUBSEQUENT EVENT On May 21, 2003, the Investment Company filed with the Securities Exchange Commission (SEC) a sticker to the prospectus for each of the Equity III, Equity Income, and Select Value Funds indicating the Funds' intention to hold a shareholder meeting with respect to a plan of reorganization. The Board of Trustees approved this plan of reorganization which involves, among other things, the merger of Equity III and Equity Income into Select Value. The reorganization is subject to shareholder approval, and proxy materials have been submitted to the SEC with a planned record date of July 7, 2003. If the reorganization is approved, the merger will happen on or around October 27, 2003. 144 Notes to Financial Statements INSTITUTIONAL FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- The following tables provide information for each officer and trustee of the Russell Fund Complex. The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 funds and Russell Investment Funds ("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and RIF. The first table provides information for trustees who are interested trustees. The second table provides information for the independent trustees. The third table provides information for the officers.
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- *George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 37 None Jr., and Chairman successor is - Chairman Emeritus, FRIC and Born July 3, 1932 Emeritus since duly elected RIF 1999 and qualified - Chairman Emeritus, Frank 909 A Street Russell Securities, Inc., Tacoma, Washington Russell 20/20 Association 98402-1616 Frank Russell Trust Company - Director Emeritus FRIMCo - From 1984 to December 1998, Chairman of the Board of FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 37 - Trustee, The Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds 1939 duly elected Trustee, FRIC and RIF (investment Chairman of the and qualified - CEO and Chairman of the company) 909 A Street Board since 1999 Board, Russell Fund Tacoma, Washington Distributors, Inc. and 98402-1616 FRIMCo - Trustee, President and Chairman of the Board, SSgA Funds (investment company) - Trustee and Chairman of the Board, Frank Russell Trust Company - Director, Frank Russell Investments (Ireland) Limited and Frank Russell Investments (Cayman) Ltd. - Until October 2002, President and CEO, FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Michael J.A. Trustee since Appointed until - Chairman of the Board, 37 None Phillips, 2002 successor is President, CEO and Director, Born January 20, duly elected FRC 1948 and qualified - Trustee, FRIC and RIF - Director, FRTC and Frank 909 A Street Russell Capital Inc. Tacoma, Washington - Director/Chairman, Frank 98402-1616 Russell Investments (Delaware), Inc. - Director, Chairman of the Board and President, Russell 20/20 Association - Director, Frank Russell Company Pty. Limited, Frank Russell Japan Co., Ltd., Frank Russell Investments (Suisse), S.A., and Frank Russell Company Limited ----------------------------------------------------------------------------------------------------------------------------
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an affiliate of FRIC and RIF and is therefore an interested trustee. Disclosure of Information about Fund Directors 145 INSTITUTIONAL FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 37 None Born October 15, 1984 successor is Anderson Management Group 1931 duly elected LLC (private investments and qualified consulting) 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 37 None Born December 1, since 2003 successor is - Trustee of FRIC and RIF 1919 duly elected until 2002 and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- William E. Baxter, Trustee since Appointed until - Retired since 1986 37 None Born June 8, 1925 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 37 - Trustee WM Group Born January 22, 2000 successor is Blake, P.S. (accounting of Funds 1954 duly elected services) (investment and qualified company); 909 A Street - Director, Avista Tacoma, Washington Corp 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Daniel P. Connealy, Trustee since Appointed until - 2001-2003, Vice President 37 - Director, Gold Born June 6, 1946 April 2003 successor is and Chief Financial Officer, Banc duly elected Janus Capital Group Inc. Corporation, 909 A Street and qualified - 1979-2001, Audit and Inc. Tacoma, Washington Accounting Partner, 98402-1616 PricewaterhouseCoopers LLP ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 37 None Born October 6, 1984 successor is 1930 duly elected and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 37 None Born May 5, 1926 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------
146 Disclosure of Information about Fund Directors INSTITUTIONAL FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES (CONTINUED) ---------------------------------------------------------------------------------------------------------------------------- Raymond P. Trustee since Appointed until - Currently, President, 37 None Tennison, Jr., 2000 successor is Simpson Investment Company Born December 21, duly elected and several additional 1955 and qualified subsidiary companies, including Simpson Timber 909 A Street Company, Simpson Paper Tacoma, Washington Company and Simpson Tacoma 98402-1616 Kraft Company ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Julie W. Weston, Trustee since Appointed until - Retired since 2000 37 None Born October 2, 2002 successor is - 1997 to 2000, Arbitrator, 1943 duly elected The American Arbitration and qualified Association Commercial Panel 909 A Street - 1995 to 1999, Hearing Tacoma, Washington Officer, University of 98402-1616 Washington ----------------------------------------------------------------------------------------------------------------------------
Disclosure of Information about Fund Directors 147 INSTITUTIONAL FUNDS DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------- Position(s) Held Name, with Fund and Term Principal Occupation(s) Age, Length of of During the Address Time Served Office Past 5 Years -------------------------------------------------------------------------------------------------------------------------- OFFICERS -------------------------------------------------------------------------------------------------------------------------- Leonard P. Brennan, President and Until successor - President and CEO, FRIC Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank 909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments Tacoma, Washington (Singapore) Private Limited and Frank Russell 98402-1616 Investments (UK) Limited - Director, President and CEO, FRIMCo - Director and COO, Frank Russell Company Limited and Russell Systems Limited - President, Russell Insurance Agency, Inc. - 1995 to present, Managing Director of International Operations of FRC -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF Born November 26, 1963 Chief Accounting is chosen and 1998 to present Officer since qualified by - Director, Funds Administration, FRIMCo and Frank 909 A Street 1998 Trustees Russell Trust Company Tacoma, Washington - Treasurer, SSgA Funds (investment company) 98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund Distributors, Inc. - April 1996 to August 1998, Assistant Treasurer, FRIC and RIF; November 1995 to July 1998, Assistant Secretary, SSgA Funds; February 1997 to July 1998, Manager, Funds Accounting and Taxes, FRIMCo -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Randall P. Lert, Director of Until removed - Director of Investments, FRIC and RIF Born October 3, 1953 Investments by Trustees - Chief Investment Officer, Frank Russell Trust Company since 1991 - Director, FRIMCo and Russell Fund Distributors, Inc. 909 A Street Tacoma, Washington 98402-1616 -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo, Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund since 1994 Distributors, Inc. 909 A Street - Director, Secretary and General Counsel, Frank Tacoma, Washington Russell Capital Inc. 98402-1616 - Director and Secretary, Russell 20-20 Association -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark D. Amberson, Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF, Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF, 909 A Street since 2001 FRIMCo and Frank Russell Trust Company Tacoma, Washington 98402-1616 --------------------------------------------------------------------------------------------------------------------------
148 Disclosure of Information about Fund Directors INSTITUTIONAL FUNDS FRANK RUSSELL INVESTMENT COMPANY 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 -------------------------------------------------------------------------------- TRUSTEES Lynn L. Anderson, Chairman Paul E. Anderson William E. Baxter Kristianne Blake Daniel P. Connealy Lee C. Gingrich Eleanor W. Palmer Michael J.A. Phillips Raymond P. Tennison, Jr. Julie W. Weston TRUSTEES EMERITUS George F. Russell, Jr. Paul Anton, PhD OFFICERS Lynn L. Anderson, Chairman of the Board Leonard P. Brennan, President and Chief Executive Officer Karl Ege, Secretary and General Counsel Mark E. Swanson, Treasurer and Chief Accounting Officer Mark Amberson, Director of Short Term Investment Funds Randall P. Lert, Director of Investments Sharon L. Hammel, Director of Portfolio Implementation Gregory J. Lyons, Assistant Secretary and Associate General Counsel Deedra S. Walkey, Assistant Secretary Mary Beth Rhoden, Assistant Secretary Greg S. Korte, Assistant Treasurer David J. Craig, Assistant Treasurer Stephen J. Meyer, Assistant Treasurer Amy L. Osler, Assistant Secretary MANAGER, TRANSFER AND DIVIDEND PAYING AGENT Frank Russell Investment Management Company 909 A Street Tacoma, WA 98402 CONSULTANT Frank Russell Company 909 A Street Tacoma, WA 98402 CUSTODIAN State Street Bank and Trust Company Allan Forbes Building 150 Newport Avenue AFB35 North Quincy, MA 02171 OFFICE OF SHAREHOLDER INQUIRIES 909 A Street Tacoma, WA 98402 (800) 787-7354 LEGAL COUNSEL Stradley, Ronon, Stevens & Young, LLP 2600 One Commerce Square Philadelphia, PA 19103-7098 DISTRIBUTOR Russell Fund Distributors, Inc. 909 A Street Tacoma, WA 98402 MONEY MANAGERS Equity I Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY Barclays Global Fund Advisors, San Francisco, CA Jacobs Levy Equity Management, Inc., Florham Park, NJ Marsico Capital Management, LLC, Denver, CO MFS Institutional Advisors, Inc., Boston, MA Montag & Caldwell, Inc., Atlanta, GA Strong Capital Management, Inc., Menomonee Falls, WI Suffolk Capital Management, LLC, New York, NY Turner Investment Partners, Inc., Berwyn, PA Westpeak Global Advisors, L.P., Boulder, CO Equity II Fund CapitalWorks Investment Partners, LLC, San Diego, CA David J. Greene and Company, LLC, New York, NY Delphi Management, Inc., Boston, MA Goldman Sachs Asset Management, a unit of the Investment Management Division of Goldman Sachs & Co., New York, NY Jacobs Levy Equity Management, Inc., Florham Park, NJ Roxbury Capital Management, LLC, Santa Monica, CA Suffolk Capital Management, LLC, New York, NY TimesSquare Capital Management, Inc., New York, NY Equity III Fund Barclays Global Fund Advisors, San Francisco, CA Brandywine Asset Management, LLC, Wilmington, DE DePrince, Race & Zollo, Inc., Orlando, FL Iridian Asset Management LLC, Westport, CT This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. Manager, Money Managers and Service Providers 149 INSTITUTIONAL FUNDS FRANK RUSSELL INVESTMENT COMPANY 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 -------------------------------------------------------------------------------- Equity Q Fund Aronson + Johnson + Ortiz, LP, Philadelphia, PA Barclays Global Fund Advisors, San Francisco, CA Franklin Portfolio Associates, LLC, Boston, MA Jacobs Levy Equity Management, Inc., Florham Park, NJ International Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY AQR Capital Management, LLC, New York, NY Axiom International Investors LLC, Greenwich, CT Capital International, Inc., Los Angeles, CA Delaware International Advisers Ltd., London, England Fidelity Management & Research Company, Boston, MA Marvin & Palmer Associates, Inc., Wilmington, DE Mastholm Asset Management, LLC, Bellevue, WA Oechsle International Advisors, LLC, Boston, MA The Boston Company Asset Management, LLC, Boston, MA Emerging Markets Fund Alliance Capital Management L.P., through its Bernstein Investment Research and Management Unit, New York, NY Arrowstreet Capital, Limited Partnership, Cambridge, MA Foreign & Colonial Emerging Markets Limited, London, England Genesis Asset Management Limited, London, England T. Rowe Price International, Inc., Baltimore, MD Real Estate Securities Fund AEW Management and Advisors, L.P., Boston, MA INVESCO Realty Advisors, a division of INVESCO Institutional (N.A.), Inc., Dallas, TX RREEF America L.L.C., Chicago, IL Short Term Bond Fund BlackRock Financial Management, Inc., New York, NY Merganser Capital Management L.P., Cambridge, MA Pacific Investment Management Company LLC, Newport Beach, CA STW Fixed Income Management, Santa Barbara, CA Fixed Income I Fund Lincoln Capital Fixed Income Management Company, Chicago, IL Pacific Investment Management Company LLC, Newport Beach, CA TimesSquare Capital Management, Inc., New York, NY Fixed Income III Fund Delaware Management Company, a series of Delaware Management Business Trust, Philadelphia, PA Morgan Stanley Investments, LP, West Conshohocken, PA Pacific Investment Management Company LLC, Newport Beach, CA TimesSquare Capital Management, Inc., New York, NY Select Growth Fund CapitalWorks Investment Partners, LLC, San Diego, CA Fuller & Thaler Asset Management, Inc., San Mateo, CA Strong Capital Management, Inc., Menomonee Falls, WI TCW Investment Management Co., Los Angeles, CA Turner Investment Partners, Inc., Berwyn, PA Select Value Fund Iridian Asset Management LLC, Westport, CT MFS Institutional Advisors, Inc., Boston, MA Systematic Financial Management, L.P., Teaneck, NJ This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. 150 Manager, Money Managers and Service Providers INSTITUTIONAL FUNDS 2003 SEMIANNUAL REPORT FRANK RUSSELL INVESTMENT COMPANY (RUSSELL LOGO) Frank Russell Investment Company 909 A Street Tacoma, Washington 98402 253-627-7001 800-787-7354 Fax: 253-591-3495 www.russell.com 36-08-068 (1 04/03) FRANK RUSSELL INVESTMENT COMPANY RUSSELL FUNDS [RUSSELL FUNDS 2003 SEMIANNUAL REPORT GRAPHIC] 2003 Semiannual Report CLASS A AND B SHARES RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND APRIL 30, 2003 [RUSSELL LOGO] Frank Russell Investment Company Frank Russell Investment Company is a "series mutual fund" with 32 different investment portfolios. These financial statements report on one Fund, which has distinct investment objectives and strategies. Frank Russell Investment Management Company Responsible for overall management and administration of the Funds. Frank Russell Company Consultant to Frank Russell Investment Management Company. Frank Russell Investment Company Russell Multi-Manager Principal Protected Fund Semiannual Report April 30, 2003 (Unaudited) Table of Contents
Page Statement of Net Assets.............................................. 3 Statement of Assets and Liabilities.................................. 6 Statement of Operations.............................................. 7 Statement of Changes in Net Assets................................... 8 Financial Highlights................................................. 9 Notes to Statement of Net Assets..................................... 11 Notes to Financial Statements........................................ 12 Disclosure of Information about Fund Directors....................... 19 Manager, Money Managers and Service Providers........................ 23
Frank Russell Investment Company - Russell Multi-Manager Principal Protected Fund Copyright (R) Frank Russell Company 2003. All rights reserved. This material is proprietary and may not be reproduced, transferred, or distributed in any form without prior written permission from Frank Russell Company. It is delivered on an "as is" basis without warranty. The Russell logo is a trademark and service mark of Frank Russell Company. Frank Russell Company and Standard & Poor's Corporation are the owners of the trademarks, service marks, and copyrights related to their respective indexes. This material must be accompanied or preceded by a current Frank Russell Investment Company Prospectus containing complete information concerning the investment objectives and operations of the Company, charges, and expenses. The Prospectus should be read carefully before an investment is made. Performance is reported net of investment advisory fees but gross of investment services fees, descriptions of which can be obtained from the investment advisor. Investment services fees and other account expenses will reduce performance (e.g., an investment services fee of 0.2% of average managed assets will reduce a 10.0% Semiannual return to 9.8%). The performance quoted represents past performance and the investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Russell Fund Distributors, Inc., is the distributor of Frank Russell Investment Company. RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- COMMON STOCKS - 18.0% Auto and Transportation - 0.8% Canadian National Railway Co. 2 95 CSX Corp. 2 57 Delta Air Lines, Inc. 4 45 FedEx Corp. 2 138 Harley-Davidson, Inc. 3 129 Southwest Airlines Co. 2 39 Union Pacific Corp. 2 111 United Parcel Service, Inc. Class B 2 137 ------------ 751 ------------ Consumer Discretionary - 3.3% Accenture, Ltd. Class A (AE) 6 96 AOL Time Warner, Inc. (AE) 9 122 Carnival Corp. 2 45 Clear Channel Communications, Inc. (AE) 2 65 Gannett Co., Inc. 3 261 Gap, Inc. (The) 3 53 Gillette Co. (The) 4 135 Home Depot, Inc. 7 197 Kimberly-Clark Corp. 1 50 Kohl's Corp. (AE) 1 74 Limited Brands 5 71 McGraw-Hill Cos., Inc. (The) 2 128 New York Times Co. Class A 4 177 Nike, Inc. Class B 1 77 Reed Elsevier PLC - ADR 3 90 Sears Roebuck and Co. 2 43 Staples, Inc. (AE) 2 45 Target Corp. 6 208 Tribune Co. 5 224 VF Corp. 0 18 Viacom, Inc. Class B (AE) 7 313 Wal-Mart Stores, Inc. 7 411 Walt Disney Co. 5 96 Waste Management, Inc. 2 34 ------------ 3,033 ------------ Consumer Staples - 1.2% Altria Group, Inc. 3 80 Anheuser-Busch Cos., Inc. Class C 3 160 CVS Corp. 4 99 Kellogg Co. 4 125 Kroger Co. (AE) 9 129 PepsiCo, Inc. 7 317 Procter & Gamble Co. 3 236 ------------ 1,146 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Financial Services - 3.6% American International Group 2 112 Bank of America Corp. 2 153 Bank of New York Co., Inc. (The) 2 53 Bank One Corp. 4 149 Charter One Financial, Inc. 1 35 Chubb Corp. 2 85 Citigroup, Inc. 10 406 Fannie Mae 7 499 First Data Corp. 2 75 FleetBoston Financial Corp. 2 56 Goldman Sachs Group, Inc. 2 159 JP Morgan Chase & Co. 3 84 MBNA Corp. 6 104 Mellon Financial Corp. 4 116 Merrill Lynch & Co., Inc. 2 80 Metlife, Inc. 3 98 SLM Corp. 1 90 St Paul Cos 3 89 State Street Corp. 1 49 SunTrust Banks, Inc. 1 69 Travelers Property Casualty Corp. Class A 8 135 US Bancorp 1 31 Wachovia Corp. 2 91 Wells Fargo & Co. 9 452 XL Capital, Ltd. Class A 1 74 ------------ 3,344 ------------ Health Care - 2.3% Abbott Laboratories 2 67 AmerisourceBergen Corp. 2 116 Amgen, Inc. (AE) 4 227 Baxter International, Inc. 1 32 Eli Lilly & Co. 2 156 Forest Laboratories, Inc. (AE) 1 62 Genentech, Inc. (AE) 3 118 Guidant Corp. 1 51 Johnson & Johnson 6 361 Merck & Co., Inc. 2 98 Novartis AG - ADR 2 71 Pfizer, Inc. 13 399 Schering-Plough Corp. 10 188 Tenet Healthcare Corp. (AE) 5 71 Wyeth 3 137 ------------ 2,154 ------------
Russell Multi-Manager Principal Protected Fund 3 RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Integrated Oils - 0.9% ConocoPhillips 3 146 EnCana Corp. 4 145 Exxon Mobil Corp. 15 540 ------------ 831 ------------ Materials and Processing - 1.0% Alcoa, Inc. 3 67 Archer-Daniels-Midland Co. 1 13 Bowater, Inc. 0 15 Dow Chemical Co. (The) 3 82 Du Pont EI de Nemours & Co. 2 68 International Paper Co. 6 229 Monsanto Co. 1 20 Newmont Mining Corp. 2 42 Potash Corp. of Saskatchewan 0 18 PPG Industries, Inc. 4 184 Praxair, Inc. 3 171 Rohm & Haas Co. 1 34 Weyerhaeuser Co. Series O 0 24 ------------ 967 ------------ Miscellaneous - 0.8% 3M Co. 1 142 Eaton Corp. 1 51 General Electric Co. 11 335 Illinois Tool Works, Inc. 2 152 Tyco International, Ltd. 3 46 ------------ 726 ------------ Other Energy - 0.3% Baker Hughes, Inc. 4 119 Noble Corp. (AE) 2 59 Schlumberger, Ltd. 3 116 ------------ 294 ------------ Producer Durables - 0.6% Agilent Technologies, Inc. (AE) 1 23 Deere & Co. 4 192 Emerson Electric Co. 1 31 Lockheed Martin Corp. 2 80 Parker Hannifin Corp. 1 31 Teradyne, Inc. (AE) 3 35 United Technologies Corp. 0 19 Xerox Corp. (AE) 11 108 ------------ 519 ------------
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- Technology - 2.1% Analog Devices, Inc. (AE) 5 169 Apple Computer, Inc. (AE) 7 104 BMC Software, Inc. (AE) 2 35 Cisco Systems, Inc. (AE) 12 183 Corning, Inc. (AE) 5 26 Dell Computer Corp. (AE) 3 95 EMC Corp. (AE) 8 73 Intel Corp. 5 96 International Business Machines Corp. 4 327 Microchip Technology, Inc. 4 75 Microsoft Corp. 15 384 Motorola, Inc. 7 59 Oracle Corp. (AE) 12 147 Peoplesoft, Inc. (AE) 5 76 Solectron Corp. (AE) 3 8 Veritas Software Corp. (AE) 2 48 ------------ 1,905 ------------ Utilities - 1.1% BellSouth Corp. 13 331 Comcast Corp. Class A (AE) 2 64 Comcast Corp. Class A (AE) 2 65 Dominion Resources, Inc. 0 18 Duke Energy Corp. 1 13 Progress Energy, Inc. 1 47 SBC Communications, Inc. 4 104 TXU Corp. 6 124 Verizon Communications, Inc. 6 213 ------------ 979 ------------ TOTAL COMMON STOCKS (cost $15,264) 16,649 ------------ LONG-TERM DEBT OBLIGATIONS - 72.9% United States Government Treasuries - 72.9% United States Treasury STRIP 0.00% due 02/15/08 14,210 12,241 0.00% due 05/15/08 63,060 55,041 ------------ TOTAL LONG-TERM DEBT OBLIGATIONS (cost $67,793) 67,282 ------------
4 Russell Multi-Manager Principal Protected Fund RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND STATEMENT OF NET ASSETS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
PRINCIPAL MARKET AMOUNT ($) VALUE OR SHARES $ ----------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 9.0% Frank Russell Investment Company Money Market Fund 170 170 Frank Russell Investment Company US Government Money Market Fund 7,861 7,861 United States Treasury Bill (c)(y)(s) 1.130% due 06/19/03 100 100 1.150% due 06/19/03 150 150 ------------ TOTAL SHORT-TERM INVESTMENTS (cost $8,281) 8,281 ------------ TOTAL INVESTMENTS - 99.9% (identified cost $91,338) 92,212 OTHER ASSETS AND LIABILITIES NET - 0.1% 112 ------------ NET ASSETS - 100.0% 92,324 ============
UNREALIZED NOTIONAL APPRECIATION FUTURES CONTRACTS AMOUNT (DEPRECIATION) (NUMBER OF CONTRACTS) $ $ ------------------------------------------------------------------------------------ Long Positions S&P E-Mini Index expiration date 06/03 (8) 356 11 S&P 500 Index expiration date 06/03 (12) 2,686 62 Short Positions United States Treasury 5 Year Notes expiration date 06/03 (10) 1,135 2 United States Treasury 10 Year Notes expiration date 06/03 (11) 1,263 4 --------------- Total Unrealized Appreciation (Depreciation) on Open Futures Contracts Purchased 79 ===============
See accompanying notes which are an integral part of the financial statements. Russell Multi-Manager Principal Protected Fund 5 RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2003 (UNAUDITED) Amounts in thousands
-------------------------------------------------------------------------------------------------------------- ASSETS Investments at market (identified cost $91,338)..................................... $ 92,212 Receivables: Dividends and interest........................................................... 102 Investments sold................................................................. 272 Daily variation margin on futures contracts...................................... 7 Prepaid expenses*................................................................... 134 ---------------------- Total assets........................................................................ 92,727 LIABILITIES Payables: Investments purchased................................. $ 169 Accrued fees to affiliates............................ 160 Other accrued expenses................................ 74 -------------------- Total liabilities................................................................... 403 ---------------------- NET ASSETS.......................................................................... $ 92,324 ====================== Net Assets Consist of: Accumulated net investment loss..................................................... (64) Accumulated net realized gain (loss)................................................ (272) Unrealized appreciation (depreciation) on: Investments...................................................................... 874 Futures contracts................................................................ 79 Shares of beneficial interest....................................................... 92 Additional paid-in capital.......................................................... 91,615 ---------------------- NET ASSETS.......................................................................... $ 92,324 ====================== NET ASSET VALUE, PER SHARE: Class A ($4,318,939 divided by 428,478 shares of $.01 par value shares of beneficial interest outstanding)............................................... $ 10.08 ====================== Class B ($88,004,895 divided by 8,741,977 shares of $.01 par value shares of beneficial interest outstanding)............................................... $ 10.07 ====================== --------------------------------------------------------------------------------------------------------------
* Includes offering costs. See accompanying notes. See accompanying notes which are an integral part of the financial statements. 6 Russell Multi-Manager Principal Protected Fund RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND STATEMENT OF OPERATIONS -- FOR THE PERIOD JANUARY 21, 2003 (COMMENCEMENT OF OPERATIONS) TO APRIL 30, 2003 (UNAUDITED) Amounts in thousands
-------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends........................................................................ $ 41 Dividends from money market funds................................................ 47 Interest......................................................................... 311 ---------------------- Total investment income............................................................. 399 EXPENSES Advisory fees............................................ $ 135 Administrative fees - Class B............................ 9 Custodian fees........................................... 31 Distribution fees - Class B.............................. 128 Transfer agent fee....................................... 38 Professional fees........................................ 5 Registration fees........................................ 10 Shareholder servicing fees - Class A..................... 2 Shareholder servicing fees - Class B..................... 43 Trustees' fees........................................... 4 Insurance policy fees.................................... 114 Amortization of offering costs........................... 15 -------------------- Expenses before reductions............................... 534 Expense reductions....................................... (72) -------------------- Net expenses........................................................................ 462 ---------------------- Net investment income (loss)........................................................ (63) ---------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Investments.............................................. (215) Futures contracts........................................ (57) (272) -------------------- Net change in unrealized appreciation (depreciation) on: Investments.............................................. 874 Futures contracts........................................ 79 953 -------------------- ---------------------- Net realized and unrealized gain (loss)............................................. 681 ---------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS............................... $ 618 ======================
See accompanying notes which are an integral part of the financial statements. Russell Multi-Manager Principal Protected Fund 7 RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND STATEMENT OF CHANGES IN NET ASSETS -- FOR THE PERIOD JANUARY 21, 2003 (COMMENCEMENT OF OPERATIONS) TO APRIL 30, 2003 (UNAUDITED) Amounts in thousands
-------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income (loss)............................. $ (63) Net realized gain (loss)................................. (272) Net change in unrealized appreciation (depreciation)..... 953 ---------------------- Net increase (decrease) in net assets from operations........................................... 618 ---------------------- DISTRIBUTIONS Class A.................................................. (1) ---------------------- SHARE TRANSACTIONS Net increase (decrease) in net assets from share transactions........................................... 91,707 ---------------------- TOTAL NET INCREASE (DECREASE) IN NET ASSETS................. 92,324 NET ASSETS Beginning of period...................................... -- ---------------------- End of period (including accumulated net investment loss of $64)................................................ $ 92,324 ======================
See accompanying notes which are an integral part of the financial statements. 8 Russell Multi-Manager Principal Protected Fund RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND FINANCIAL HIGHLIGHTS - CLASS A For a Share Outstanding Throughout the Period.
2003* -------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.00 ---------------------- INCOME FROM OPERATIONS Net investment income (loss) (a)......................... .01 Net realized and unrealized gain (loss).................. .07 ---------------------- Total income (loss) from operations................... .08 ---------------------- DISTRIBUTIONS Net investment income (b)................................ -- ---------------------- NET ASSET VALUE, END OF PERIOD.............................. $ 10.08 ====================== TOTAL RETURN (%) (c)(d)..................................... .80 RATIOS/SUPPLEMENTAL DATA: Net Assets, end of period (in thousands)................. 4,319 Ratios to average net assets (%)(e): Operating expenses, net............................... 1.86 Operating expenses, gross............................. 2.27 Net investment income (loss).......................... .37 Portfolio turnover rate (%).............................. 19.60
* For the period January 21, 2003 (commencement of operations) to April 30, 2003 (unaudited). (a) Average month-end shares were used for this calculation. (b) Less than $.01 per share for the period. (c) Periods less than one year are not annualized. (d) Excludes the effects of sales charges. If sales charges were included, the total return would be lower. (e) The ratios for periods less than one year are annualized. See accompanying notes which are an integral part of the financial statements. Russell Multi-Manager Principal Protected Fund 9 RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND FINANCIAL HIGHLIGHTS - CLASS B For a Share Outstanding Throughout the Period.
2003* -------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.00 ---------------------- INCOME FROM OPERATIONS Net investment income (loss) (a)......................... (.01) Net realized and unrealized gain (loss).................. .08 ---------------------- Total income (loss) from operations................... .07 ---------------------- DISTRIBUTIONS Net investment income (b)................................ -- ---------------------- NET ASSET VALUE, END OF PERIOD.............................. $ 10.07 ====================== TOTAL RETURN (%) (c)(d)..................................... .70 RATIOS/SUPPLEMENTAL DATA: Net Assets, end of period (in thousands)................. 88,005 Ratios to average net assets (%)(e): Operating expenses, net............................... 2.65 Operating expenses, gross............................. 3.06 Net investment income (loss).......................... (.39) Portfolio turnover rate (%).............................. 19.60
* For the period January 21, 2003 (commencement of operations) to April 30, 2003 (unaudited). (a) Average month-end shares were used for this calculation. (b) Less than $.01 per share for the period. (c) Periods less than one year are not annualized. (d) Excludes the effects of sales charges. If sales charges were included, the total return would be lower. (e) The ratios for periods less than one year are annualized. See accompanying notes which are an integral part of the financial statements. 10 Russell Multi-Manager Principal Protected Fund RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND NOTES TO STATEMENT OF NET ASSETS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- FOOTNOTES: (AE) Nonincome-producing security. (Y) Real Estate Investment Trust (REIT). (s) Held as collateral in connection with futures contracts purchased (sold) or options written by the Fund. (y) Rate noted is yield-to-maturity from date of acquisition. (c) At amortized cost, which approximates market. (o) Forward commitment. (+) This security has been valued by the Security Valuation Committee, delegated by the Board of Trustees. It is possible that the estimated value may differ significantly from the amount that might ultimately be realized. ABBREVIATIONS: ADR - American Depositary Receipt GDR - Global Depositary Receipt ADS - American Depositary Share CMO - Collateralized Mortgage Obligation CVO - Contingent Value Obligation GDS - Global Depositary Share LIBOR - London Interbank Offered Rate FDIC - Federal Deposit Insurance Company REMIC - Real Estate Mortgage Investment Conduit STRIP - Separate Trading of Registered Interest and Principal of Securities TBA - To Be Announced Security Notes to Statement of Net Assets 11 RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION Frank Russell Investment Company (the "Investment Company") is a series mutual fund with 32 different investment portfolios referred to as "Funds." These financial statements report on one Fund, which has a distinct investment objective and strategy. The Investment Company is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. It is organized and operates as a Massachusetts business trust under an amended master trust agreement dated July 26, 1984. The Investment Company's master trust agreement permits the Board of Trustees to issue an unlimited number of full and fractional shares of beneficial interest at a $.01 par value. The Fund has an Offering Period, a Guarantee Period and a Post Guarantee Period. Shares of the Fund will be offered during the Offering Period but will not be offered during the Guarantee Period, except in connection with reinvestment of distributions and dividends. Shares of the Fund will be offered on a continuous basis during the Post Guarantee Period. During the Guarantee Period, the Fund seeks some capital growth, while seeking to preserve principal. As of April 30, 2003, the Fund's allocation to equity securities was approximately 22% and the Fund's allocation to fixed income securities was approximately 78% of total net assets. Provided that all dividends and distributions received from the Fund have been reinvested and no shares have been redeemed by a shareholder, the Fund guarantees that the amount distributed, if any, to each shareholder at the end of the Guarantee Period will be no less than the value of that shareholder's investment as of the inception of the Guarantee Period less certain expenses. Certain expenses that are not covered by the Expense Limitation Agreement, such as extraordinary expenses and other expenses not incurred in the ordinary course of the Fund's business, will reduce the Guaranteed Amount. The Fund's Guarantee is backed by an unconditional and irrevocable financial guarantee from Ambac Assurance Corporation ("Ambac"), a financial guarantor and an operating subsidiary of Ambac Financial Group, Inc., pursuant to a financial guarantee insurance policy issued by Ambac for the benefit of the shareholders of the Fund. The Fund will pay to Ambac a fee equal to 0.75% per annum of the average daily net assets of the Fund during the Guarantee Period for providing the financial guarantee insurance policy. During the Post Guarantee Period, which will commence immediately following the Guarantee Period, the Fund seeks long-term growth of capital through investments primarily in common stocks and other equity securities. The following table presents the time periods of the Fund's three phases: Offering Period 01/21/03 - 02/27/03 Guarantee Period 03/03/03 - 03/03/08 Post Guarantee Period Commencement 03/04/08
2. SIGNIFICANT ACCOUNTING POLICIES The Funds' financial statements are prepared in accordance with generally accepted accounting principles ("GAAP") which require the use of management estimates. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of these financial statements. Security valuation United States equity and fixed-income securities listed and traded principally on any national securities exchange are valued on the basis of the last sale price or, lacking any sale, at the closing bid price, on the primary exchange on which the security is traded. United States over-the-counter equity and fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Many fixed-income securities do not trade each day and, thus, last sale or bid prices are frequently not available. Fixed-income securities, therefore, may be valued using prices provided by a pricing service when such prices are believed to reflect the fair market value of such securities. The value of swap agreements are equal to the Funds' obligation (or rights) under swap contracts which will generally be equal to the net amounts to be paid or received under the contracts based upon the relative values of the positions held by each party to the contracts. International equity and fixed-income securities traded on a national securities exchange are valued on the basis of the last sale price. International securities traded over the counter are valued on the basis of the mean of bid prices. In the absence of a last sale or mean bid price, respectively, such securities may be valued on the basis of prices provided by a pricing service if those prices are believed to reflect the fair market value of such securities. Short-term investments held by the Funds maturing within 60 days at the time of purchase are valued at "amortized cost" unless the Board of Trustees determines that amortized cost does not represent fair value. The Funds may value certain securities for which market quotations are not readily available at "fair value," as determined in good faith pursuant to procedures established by the Board of Trustees. 12 Notes to Financial Statements RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Investment transactions Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the basis of specific identified cost incurred by each money manager within a particular Fund. Investment income Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. All premiums and discounts, including original issue discounts, are amortized/accreted for using the interest method. Federal income taxes As a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund's shareholders without regard to the income and capital gains (or losses) of the other Funds. It is each Fund's intention to qualify as a regulated investment company and distribute all of its taxable income and capital gains. Therefore, no federal income or excise tax provision was required for the Funds. Dividends and distributions to shareholders Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. Dividends and capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Fund to avoid imposition of federal income tax on any remaining undistributed capital gains and net investment income. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from GAAP. As a result, net investment income and net realized gain (or loss) on investment and foreign currency-related transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and GAAP primarily relate to investments in options, futures, forward contracts, passive foreign investment companies, foreign-denominated investments, mortgage-backed securities, certain securities sold at a loss and by recording gains and losses from securities transactions on the basis of specific identified cost incurred by each money manager for financial reporting purposes and on the basis of specific identified cost incurred by the Fund for tax purposes. Expenses The Fund will pay its own expenses other than those expressly assumed by Frank Russell Investment Management Company ("FRIMCo" or "Advisor"). Most expenses can be directly attributed to the individual Fund. Expenses which cannot be directly attributed to a specific Fund are allocated among all Funds principally based on their relative net assets. Class Allocation The Fund offers the following classes of shares: Class A and Class B. The separate classes of shares differ principally in the applicable sales charges, distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses) and net investment income, other than class level expenses, are allocated daily to each class of Shares based upon the relative proportion of net assets of each class. Class B Shares, along with their pro rata reinvested dividend shares, automatically convert to Class A Shares approximately eight years after purchase. Derivatives To the extent permitted by the investment objectives, restrictions and policies set forth in the Fund's Prospectus and Statement of Additional Information, the Fund may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. They include options, futures, swaps, forwards, structured notes and stripped securities. These instruments offer unique characteristics and risks that assist the Fund in meeting its investment strategies. The Fund typically uses derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by the Fund through the use of options and futures to earn "market-like" returns with its excess and liquidity reserve cash balances. Hedging is used by the Fund to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in a Fund. By purchasing certain instruments, the Fund may more effectively achieve the desired portfolio characteristics that assist them in meeting its Notes to Financial Statements 13 RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk. Forward commitments The Fund may contract to purchase securities for a fixed price at a future date beyond customary settlement time (not to exceed 120 days) (i.e., a "forward commitment," "delayed settlement" or "when issued" transaction, e.g., to be announced ("TBA")) consistent with a Fund's ability to manage its investment portfolio and meet redemption requests. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The Fund may dispose of a forward commitment transaction prior to settlement if it is appropriate to do so and realize short-term gains (or losses) upon such sale. When effecting such transactions, cash or liquid high-grade debt obligations of the Fund in a dollar amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the Fund's records at the trade date and maintained until the transaction is settled. A forward commitment transaction involves a risk of loss if the value of the security to be purchased declines prior to the settlement date or the other party to the transaction fails to complete the transaction. Options The Fund may purchase and sell (write) call and put options on securities and securities indices, provided such options are traded on a national securities exchange or in an over-the-counter market. The Fund may also purchase and sell call and put options on foreign currencies. The Fund may utilize options to equitize liquidity reserve balances. When the Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund's Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option it is exposed to a decline in the price of the underlying security. If an option which the Fund has written either expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments. The Fund's use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Fund's exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities and interest rates. Futures Contracts The Fund utilizes futures to equitize liquidity reserve balances. The face or contract amounts of these instruments reflect the extent of the Fund's exposure to market risk. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Fund and the prices of futures contracts, and the possibility of an illiquid market. Changes in the initial settlement values of futures contracts are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Swap Agreements The Fund may enter into swap agreements as an additional equitization vehicle for uninvested cash balances held by the Fund or to effect investment transactions consistent with the Fund's investment objectives and strategies. Swap agreements are two party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard swap transaction, the two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular investments or instruments. The returns to be exchanged between the parties are calculated with respect to a "notional amount" (i.e. a specified dollar amount that is hypothetically invested in a "basket" of securities representing a particular index). 14 Notes to Financial Statements RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Guarantees In the normal course of business the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund expects the risk of loss to be remote. 3. INVESTMENT TRANSACTIONS Securities During the period ended April 30, 2003, purchases and sales of investment securities (excluding US Government and Agency obligations, short-term investments, options, futures and repurchase agreements) were $20,033,015 and $4,684,868, respectively. Purchases and sales of US Government and Agency obligations (excluding short-term instruments, options, futures and repurchase agreements) were $79,670,509 and $12,057,579 respectively. Securities Lending The Investment Company has a securities lending program whereby each Fund can loan securities with a value up to 33 1/3% of its total assets to certain brokers. The Fund receives cash (US currency), US Government or US Government agency obligations as collateral against the loaned securities. To the extent that a loan is collateralized by cash, such collateral shall be invested by the securities lending agent in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. The collateral received is recorded on the Fund's statement of assets and liabilities along with the related obligation to return the collateral. Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and the securities lending agent and is recorded as income for the Fund. All collateral received will be in an amount at least equal to 102% (for loans of US securities) or 105% (for non-US securities) of the market value of the loaned securities at the inception of each loan. Should the borrower of the securities fail financially, there is a risk of delay in recovery of the securities or loss of rights in the collateral. Consequently, loans are made only to borrowers which are deemed to be of good financial standing. There were no outstanding securities on loan as of April 30, 2003. 4. RELATED PARTIES Advisor and Administrator FRIMCo advises and administers the Fund which is a series of the Investment Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company. Frank Russell Company researches and recommends to FRIMCo, and to the Investment Company, one or more investment management organizations to manage the portfolio of the Fund. The Fund is permitted to invest its cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Fund's objectives) in the Frank Russell Investment Company Money Market Fund (a series of the Investment Company not presented herein). As of April 30, 2003, $170,000 of the Money Market Fund's net assets represents investments by this Fund and $1,037,050,985 represents the investments of other affiliated Funds not presented herein. As of April 30, 2003, $7,861,000 of the US Government Money Market Fund's net assets represents investment by this Fund. The advisory and administrative fees, which are based upon the average daily net assets of the Fund and the rate specified in the table below. The advisory and administrative fees are payable monthly and total $134,650 and $8,942, respectively, for the period ended April 30, 2003.
ANNUAL RATE ADVISOR ADMINISTRATOR ---------------------------------------------------------------------- Offering Period 0.31% 0.05% Guarantee Period 0.88% 0.05% Post Guarantee Period 0.88% 0.05%
Pursuant to an expense limitation agreement (the "Expense Limitation Agreement") and subject to possible reimbursement to the investment advisor within three years, the Fund's investment advisor has contractually agreed to waive, during the Guarantee Period, up to the full amount of its 0.93% combined advisory and administrative fees and to reimburse the Fund to the extent that expenses for Class A and Class B Shares exceed 2.10% and 2.85%, respectively, of average net assets on an annualized basis. Certain expenses that are not covered by the Expense Limitation Agreement, such as extraordinary expenses Notes to Financial Statements 15 RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- and other expenses not incurred in the ordinary course of the Fund's business, will reduce the Guaranteed Amount. The total amount of the waiver for the period ended April 30, 2003 was $71,915. To the extent fees are waived by the Advisor, the Fund may reimburse the Advisor for any reductions in the Fund's expenses during the three years following the reduction if such reimbursement is requested by the Advisor, if such reimbursement can be achieved within the specified expense limitation and if the Board of Trustees approves the reimbursement as not inconsistent with the best interest of the Fund. As at April 30, 2003, the Advisor has not recouped waivers of $71,915. There were no reimbursements for the period ended April 30, 2003. Custodian The Fund has entered into arrangements with its Custodian whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Fund's expenses. During the period ended April 30, 2003, the Fund's custodian fees were not reduced under these arrangements. Analytic services Fees for analytic services provided to the Fund are paid or accrued to Russell/Mellon Analytical Services, an affiliate of the Investment Company. Russell/Mellon Analytical Services provides its TruVP System to the Fund, pursuant to a written Service Agreement. The TruVP System provides analytics used by the Advisor. During the period ended April 30, 2003, there were no analytic services fees. Transfer agent The Investment Company has a contract with FRIMCo to provide transfer agent services to the Fund. Total fees for the Fund reported herein for the period ended April 30, 2003 was $37,570. Distributor and Shareholder Servicing The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the "Plan") under the 1940 Act. Under this Plan, the Investment Company was authorized to make payments to the Russell Fund Distributors (the "Distributor") which is a wholly-owned subsidiary of FRIMCo, or any Selling Agents, as defined in the Plan, for sales support services provided and related expenses incurred which were primarily intended to result in the sale of the Class B Shares subject to the Distribution Plan. The 12b-1 distribution payments shall not exceed 0.75% of the average daily net assets of a Fund's Class B Shares on an annual basis. In addition, the Investment Company has adopted a Shareholder Services Plan (the "Services Plan") under which the Fund may make payments to the Distributor or any Servicing Agent for any activities or expenses primarily intended to assist, support or service the Servicing Agents' clients who beneficially own Class A and Class B Shares of the Fund. The shareholder servicing payments shall not exceed 0.25% of the average daily net assets of a Fund's Class A and Class B Shares on an annual basis. For the period ended April 30, 2003, the Distributor retained or paid the following amounts in sales charges:
CLASS A CLASS B --------------------------------------------------------------------------------------- Initial Sales Charges (retained) $ 15,881 $ N/A Contingent Deferred Sales Charges (paid) N/A 23,520
Pursuant to the rules of the National Association of Securities Dealers, Inc. ("NASD"), the aggregate initial sales charges, deferred sales charges and asset-based sales charges on Shares of the Fund may not exceed 6.25% of total gross sales, subject to certain exclusions. This 6.25% limitation is imposed at the class level on each of the Class A Shares and the Class B Shares of the Fund rather than on a per shareholder basis. Therefore, long-term shareholders of the Class A and Class B Shares may pay more than the economic equivalent of the maximum sales charges permitted by the NASD. Brokerage commissions The Fund may effect portfolio transactions through Frank Russell Securities, Inc., an affiliate of the Advisor, when a money manager determines that the Fund will receive competitive execution, price, and commissions. The amount retained by Frank Russell Securities, Inc. for the period ended April 30, 2003 was $4,980. 16 Notes to Financial Statements RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- Additionally, the Fund paid brokerage commissions to non-affiliated brokers who provided brokerage and research services to the Advisor. Board of Trustees The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 Funds, and Russell Investment Funds ("RIF"), which has 5 Funds. Each of the Trustees is a Trustee for both FRIC and RIF. The Russell Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer of $52,000 per year, $5,000 for each regular quarterly meeting attended in person, $2,000 for each special meeting attended in person, and $2,000 for each Joint Audit Committee meeting or Nominating and Governance Committee meeting attended in person. The Trustee will receive a $500 fee for attending the meetings by phone instead of receiving the full fee had the member attended in person. Out of pocket expenses are also paid by the Russell Fund Complex. The Lead Trustee is paid a fee of $10,000 per year, and each Committee Chair is paid a fee of $6,000 per year. Offering Costs The Investment Company may offer additional classes of existing Funds or new portfolios to the complex with approval from the Board of Trustees. Some of the expenses incurred in offering the new class or portfolio are classified as offering costs. These may include, preparing the initial registration statement, printing of the new prospectus and registering the new class or portfolio. Offering costs are accumulated until the new class/portfolio begins operations. After such time the costs are amortized over a twelve month period on a straight-line basis. Class A and Class B began operations on January 21, 2003 for the Russell Multi-Manager Principal Protected Fund. The offering costs for Class A and Class B as of April 30, 2003 are as follows: Russell Multi-Manager Principal Protected Fund Class A $ 12,545 Russell Multi-Manager Principal Protected Fund Class B $ 105,261
5. FEDERAL INCOME TAXES At April 30, 2003, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows: Cost of Investments $ 91,337,894 =================== Unrealized Appreciation 1,437,616 Unrealized Depreciation (563,266) ------------------- Net Unrealized Appreciation (Depreciation) $ 874,350 ===================
Notes to Financial Statements 17 RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 6. FUND SHARE TRANSACTIONS Share transactions for the period January 21, 2003 (Commencement of Operations) to April 30, 2003 were as follows:
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND SHARES DOLLARS (000) Class A Proceeds from shares sold 487,080 $ 4,871 Proceeds from reinvestment of distributions 94 1 Payments for shares redeemed (58,696) (587) ----------------- ----------------- Net increase (decrease) 428,478 4,285 ----------------- ----------------- Class B Proceeds from shares sold 8,794,229 $ 87,942 Proceeds from reinvestment of distributions 38 -- Payments for shares redeemed (52,290) (520) ----------------- ----------------- Net increase (decrease) 8,741,977 87,422 ----------------- ----------------- Total increase (decrease) 9,170,455 $ 91,707 ================= =================
7. BENEFICIAL INTEREST As of April 30, 2003, the Fund had no shareholders with shares of beneficial interest of greater than 10% of the total outstanding shares. 18 Notes to Financial Statements FRANK RUSSELL INVESTMENT COMPANY RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- The following tables provide information for each officer and trustee of the Russell Fund Complex. The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 32 funds and Russell Investment Funds ("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and RIF. The first table provides information for trustees who are interested trustees. The second table provides information for the independent trustees. The third table provides information for the officers.
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- *George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 37 None Jr., and Chairman successor is - Chairman Emeritus, FRIC and Born July 3, 1932 Emeritus since duly elected RIF 1999 and qualified - Chairman Emeritus, Frank 909 A Street Russell Securities, Inc., Tacoma, Washington Russell 20/20 Association 98402-1616 Frank Russell Trust Company - Director Emeritus FRIMCo - From 1984 to December 1998, Chairman of the Board of FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 37 - Trustee, The Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds 1939 duly elected Trustee, FRIC and RIF (investment Chairman of the and qualified - CEO and Chairman of the company) 909 A Street Board since 1999 Board, Russell Fund Tacoma, Washington Distributors, Inc. and 98402-1616 FRIMCo - Trustee, President and Chairman of the Board, SSgA Funds (investment company) - Trustee and Chairman of the Board, Frank Russell Trust Company - Director, Frank Russell Investments (Ireland) Limited and Frank Russell Investments (Cayman) Ltd. - Until October 2002, President and CEO, FRIC and RIF ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- *Michael J.A. Trustee since Appointed until - Chairman of the Board, 37 None Phillips, 2002 successor is President, CEO and Director, Born January 20, duly elected FRC 1948 and qualified - Trustee, FRIC and RIF - Director, FRTC and Frank 909 A Street Russell Capital Inc. Tacoma, Washington - Director/Chairman, Frank 98402-1616 Russell Investments (Delaware), Inc. - Director, Chairman of the Board and President, Russell 20/20 Association - Director, Frank Russell Company Pty. Limited, Frank Russell Japan Co., Ltd., Frank Russell Investments (Suisse), S.A., and Frank Russell Company Limited ----------------------------------------------------------------------------------------------------------------------------
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an affiliate of FRIC and RIF and is therefore an interested trustee. Disclosure of Information about Fund Directors 19 FRANK RUSSELL INVESTMENT COMPANY RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES ---------------------------------------------------------------------------------------------------------------------------- Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 37 None Born October 15, 1984 successor is Anderson Management Group 1931 duly elected LLC (private investments and qualified consulting) 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 37 None Born December 1, since 2003 successor is - Trustee of FRIC and RIF 1919 duly elected until 2002 and qualified 909 A Street Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- William E. Baxter, Trustee since Appointed until - Retired since 1986 37 None Born June 8, 1925 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 37 - Trustee WM Group Born January 22, 2000 successor is Blake, P.S. (accounting of Funds 1954 duly elected services) (investment and qualified company); 909 A Street - Director, Avista Tacoma, Washington Corp 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Daniel P. Connealy, Trustee since Appointed until - 2001-2003, Vice President 37 - Director, Gold Born June 6, 1946 April 2003 successor is and Chief Financial Officer, Banc duly elected Janus Capital Group Inc. Corporation, 909 A Street and qualified - 1979-2001, Audit and Inc. Tacoma, Washington Accounting Partner, 98402-1616 PricewaterhouseCoopers LLP ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 37 None Born October 6, 1984 successor is 1930 duly elected and qualified 909 A Street Tacoma, Washington 98402-1616 ----------------------------------------------------------------------------------------------------------------------------
20 Disclosure of Information about Fund Directors FRANK RUSSELL INVESTMENT COMPANY RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Held Address Time Served Office Past 5 Years by Trustee by Trustee ---------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES (CONTINUED) ---------------------------------------------------------------------------------------------------------------------------- Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 37 None Born May 5, 1926 1984 successor is duly elected 909 A Street and qualified Tacoma, Washington 98402-1616 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Raymond P. Trustee since Appointed until - Currently, President, 37 None Tennison, Jr., 2000 successor is Simpson Investment Company Born December 21, duly elected and several additional 1955 and qualified subsidiary companies, including Simpson Timber 909 A Street Company, Simpson Paper Tacoma, Washington Company and Simpson Tacoma 98402-1616 Kraft Company ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Julie W. Weston, Trustee since Appointed until - Retired since 2000 37 None Born October 2, 2002 successor is - 1997 to 2000, Arbitrator, 1943 duly elected The American Arbitration and qualified Association Commercial Panel 909 A Street - 1995 to 1999, Hearing Tacoma, Washington Officer, University of 98402-1616 Washington ----------------------------------------------------------------------------------------------------------------------------
Disclosure of Information about Fund Directors 21 FRANK RUSSELL INVESTMENT COMPANY RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------- Position(s) Held Name, with Fund and Term Principal Occupation(s) Age, Length of of During the Address Time Served Office Past 5 Years -------------------------------------------------------------------------------------------------------------------------- OFFICERS -------------------------------------------------------------------------------------------------------------------------- Leonard P. Brennan, President and Until successor - President and CEO, FRIC Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank 909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments Tacoma, Washington (Singapore) Private Limited and Frank Russell 98402-1616 Investments (UK) Limited - Director, President and CEO, FRIMCo - Director and COO, Frank Russell Company Limited and Russell Systems Limited - President, Russell Insurance Agency, Inc. - 1995 to present, Managing Director of International Operations of FRC -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF Born November 26, 1963 Chief Accounting is chosen and 1998 to present Officer since qualified by - Director, Funds Administration, FRIMCo and Frank 909 A Street 1998 Trustees Russell Trust Company Tacoma, Washington - Treasurer, SSgA Funds (investment company) 98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund Distributors, Inc. - April 1996 to August 1998, Assistant Treasurer, FRIC and RIF; November 1995 to July 1998, Assistant Secretary, SSgA Funds; February 1997 to July 1998, Manager, Funds Accounting and Taxes, FRIMCo -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Randall P. Lert, Director of Until removed - Director of Investments, FRIC and RIF Born October 3, 1953 Investments by Trustees - Chief Investment Officer, Frank Russell Trust Company since 1991 - Director, FRIMCo and Russell Fund Distributors, Inc. 909 A Street Tacoma, Washington 98402-1616 -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo, Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund since 1994 Distributors, Inc. 909 A Street - Director, Secretary and General Counsel, Frank Tacoma, Washington Russell Capital Inc. 98402-1616 - Director and Secretary, Russell 20-20 Association -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Mark D. Amberson Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF, Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF, 909 A Street since 2001 FRIMCo and Frank Russell Trust Company Tacoma, Washington 98402-1616 --------------------------------------------------------------------------------------------------------------------------
22 Disclosure of Information about Fund Directors RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND FRANK RUSSELL INVESTMENT COMPANY 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 -------------------------------------------------------------------------------- TRUSTEES Lynn L. Anderson, Chairman Paul E. Anderson William E. Baxter Kristianne Blake Lee C. Gingrich Eleanor W. Palmer Michael J.A. Phillips Raymond P. Tennison, Jr. Julie W. Weston TRUSTEES EMERITUS George F. Russell, Jr. Paul Anton, PhD OFFICERS Lynn L. Anderson, Chairman of the Board and President Leonard P. Brennan, President and Chief Executive Officer Karl Ege, Secretary and General Counsel Mark E. Swanson, Treasurer and Chief Accounting Officer Mark Amberson, Director of Short Term Investment Funds Randall P. Lert, Director of Investments Sharon L. Hammel, Director of Portfolio Implementation Gregory J. Lyons, Assistant Secretary and Associate General Counsel Deedra S. Walkey, Assistant Secretary Mary Beth Rhoden, Assistant Secretary Greg S. Korte, Assistant Treasurer David J. Craig, Assistant Treasurer Stephen J. Meyer, Assistant Treasurer Amy L. Osler, Assistant Secretary MANAGER, TRANSFER AND DIVIDEND PAYING AGENT Frank Russell Investment Management Company 909 A Street Tacoma, WA 98402 CONSULTANT Frank Russell Company 909 A Street Tacoma, WA 98402 CUSTODIAN State Street Bank and Trust Company Allan Forbes Building 150 Newport Avenue AFB35 North Quincy, MA 02171 OFFICE OF SHAREHOLDER INQUIRIES 909 A Street Tacoma, WA 98402 (800) 787-7354 LEGAL COUNSEL Stradley, Ronon, Stevens & Young, LLP 2600 One Commerce Square Philadelphia, PA 19103-7098 DISTRIBUTOR Russell Fund Distributors, Inc. 909 A Street Tacoma, WA 98402 MONEY MANAGERS Lincoln Capital Management Company, Chicago, IL Lord, Abbett & Co., Jersey City, NJ MFS Institutional Advisors, Inc., Boston, MA This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. Manager, Money Managers and Service Providers 23 This page has been intentionally left blank. This page has been intentionally left blank. This page has been intentionally left blank. [RUSSELL LOGO] Frank Russell Investment Company 909 A Street Tacoma, Washington 98402 253-627-7001 800-787-7354 Fax: 253-591-3495 www.russell.com 36-08-095 (1 04/03) ITEM 2. CODE OF ETHICS: Not applicable ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT: Not applicable ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES: Not applicable ITEMS 5-6. [RESERVED] ITEMS 7. Not applicable ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) Registrant's principal executive officer and principal financial officer have concluded that Registrant's disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940 (the "Act")) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the date this report is filed with the Securities and Exchange Commission. (b) There were no significant changes in Registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. EXHIBIT LIST (a) Not applicable (b)(1) certification for principal executive officer of Registrant as required by Rule 30a-2 under the Act (b)(2) certification for principal financial officer of Registrant as required by Rule 30a-2 under the Act (b)(3) Section 906 Certifications SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. FRANK RUSSELL INVESTMENT COMPANY By: /s/ Leonard P. Brennan ________________________________________________________ Leonard P. Brennan President Date: June 30, 2003 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Leonard P. Brennan _________________________________________________________ Leonard P. Brennan President Date: June 30, 2003 By: /s/ Mark E. Swanson _________________________________________________________ Mark E. Swanson Treasurer Date: June 30, 2003