N-Q 1 form-nq.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act File Number: 811-07470 HERITAGE SERIES TRUST --------------------- (Exact name of Registrant as Specified in Charter) 880 Carillon Parkway St. Petersburg, FL 33716 (Address of Principal Executive Office) (Zip Code) Registrant's Telephone Number, including Area Code: (727) 567-8143 RICHARD K. RIESS, PRESIDENT 880 Carillon Parkway St. Petersburg, FL 33716 (Name and Address of Agent for Service) Copy to: CLIFFORD J. ALEXANDER, ESQ. Kirkpatrick & Lockhart Nicholson Graham LLP 1601 K Street, NW Washington, D.C. 20006-1600 Date of fiscal year end: October 31, 2006 ---------------- Date of reporting period: January 31, 2006 ---------------- ITEM 1. SCHEDULE OF INVESTMENTS
-------------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - CORE EQUITY FUND INVESTMENT PORTFOLIO JANUARY 31, 2006 (UNAUDITED) -------------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- -------- COMMON STOCKS ------------- ADVERTISING ----------- Omnicom Group Inc. 11,900 $ 973,301 3.0% ----------------- ---------- AEROSPACE/DEFENSE ----------------- United Technologies Corporation 20,100 1,173,237 3.6% ----------------- ---------- BANKS ----- Bank of America Corporation 23,600 1,043,828 3.2% Wachovia Corporation 22,900 1,255,607 3.8% ----------------- ---------- 2,299,435 7.0% BEVERAGES --------- The Coca-Cola Company 24,400 1,009,672 3.1% ----------------- ---------- COMPUTERS --------- EMC Corporation* 71,000 951,400 2.9% ----------------- ---------- DIVERSIFIED MANUFACTURER ------------------------ General Electric Company 28,700 939,925 2.9% Tyco International Ltd. 47,900 1,247,795 3.8% ----------------- ---------- 2,187,720 6.7% ENVIRONMENTAL CONTROL --------------------- Waste Management, Inc. 31,400 991,612 3.0% ----------------- ---------- FINANCIAL SERVICES ------------------ American Express Company 12,400 650,380 2.0% Citigroup Inc. 22,100 1,029,418 3.1% Fannie Mae 10,700 619,958 1.9% Freddie Mac 7,600 515,736 1.6% Merrill Lynch & Co., Inc. 8,100 608,067 1.9% ----------------- ---------- 3,423,559 10.5% HEALTHCARE PRODUCTS ------------------- Baxter International Inc. 26,600 980,210 3.0% ----------------- ---------- HEALTHCARE SERVICES ------------------- HCA Inc. 20,400 1,001,232 3.0% ----------------- ---------- HOUSEHOLD PRODUCTS ------------------ Kimberly-Clark Corporation 10,800 616,896 1.9% ----------------- ---------- HOUSEWARES ---------- Newell Rubbermaid Inc. 39,200 926,688 2.8% ----------------- ---------- MULTIMEDIA ---------- Time Warner Inc. 56,400 988,692 3.0% Viacom Inc., Class "B"* 19,900 825,452 2.5% ----------------- ---------- 1,814,144 5.5% PHARMACEUTICALS --------------- Pfizer Inc. 54,900 1,409,832 4.3% Wyeth 14,800 684,500 2.1% ----------------- ---------- 2,094,332 6.4% RETAIL ------ CVS Corporation 22,600 627,376 1.9% McDonald's Corporation 20,000 700,200 2.1% Wal-Mart Stores, Inc. 11,000 507,210 1.5% ----------------- ---------- 1,834,786 5.5% SEMICONDUCTORS -------------- Analog Devices, Inc. 22,000 874,940 2.7% -------------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - CORE EQUITY FUND INVESTMENT PORTFOLIO JANUARY 31, 2006 (UNAUDITED) -------------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- -------- Applied Materials, Inc. 39,600 754,380 2.3% ----------------- ---------- 1,629,320 5.0% SOFTWARE -------- Microsoft Corporation 49,900 1,404,685 4.3% Oracle Corporation* 105,400 1,324,878 4.0% ----------------- ---------- 2,729,563 8.3% TELECOMMUNICATIONS ------------------ Cisco Systems, Inc.* 55,400 1,028,778 3.1% Nokia Corporation, Sponsored ADR 50,800 933,704 2.8% Sprint Nextel Corporation 28,300 647,787 2.0% ----------------- ---------- 2,610,269 7.9% TELEVISION, CABLE & RADIO ------------------------- CBS Corporation, Class "B" 20,300 530,439 1.6% ----------------- ---------- Total Common Stocks (cost $28,946,866) 29,777,815 90.7% ----------------- ---------- REPURCHASE AGREEMENT -------------------- Repurchase Agreement with State Street Bank and Trust Company, dated January 31, 2006 @ 4.25% to be repurchased at $2,979,351.69 on February 1, 2006, collateralized by $2,010,000 United States Treasury Notes, 10.625% due August 1, 2015, (market value $3,043,354 including interest) (cost $2,979,000) . . . . . . . . . . . . . . . . . . . . . . 2,979,000 9.1% ----------------- ---------- TOTAL INVESTMENT PORTFOLIO (COST $31,925,866) (a) 32,756,815 99.8% OTHER ASSETS AND LIABILITIES, NET, 70,511 0.2% ----------------- ---------- NET ASSETS $ 32,827,326 100.0% ================= ========== -------- * Non-income producing security. (a) The aggregate identified cost for federal income tax purposes is the same. Market value includes net unrealized appreciation of $830,949 which consists of aggregate gross unrealized appreciation for all securities in which there is an excess of market value over tax cost of $1,240,685 and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over market value of $409,736. ADR - American Depository Receipt.
--------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - DIVERSIFIED GROWTH FUND INVESTMENT PORTFOLIO JANUARY 31, 2006 (UNAUDITED) --------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ COMMON STOCKS ------------- AEROSPACE/DEFENSE ----------------- Alliant Techsystems Inc.* 30,500 $ 2,328,875 1.0% ------------- -------- AIRLINES -------- Southwest Airlines Co. 162,525 2,675,162 1.1% ------------- -------- APPAREL ------- Carter's, Inc.* 37,440 2,545,546 1.1% ------------- -------- BIOTECHNOLOGY ------------- Charles River Laboratories International, Inc.* 86,375 3,984,479 1.7% Invitrogen Corporation* 49,309 3,396,404 1.4% PDL BioPharma, Inc.* 86,400 2,518,560 1.0% ------------- -------- 9,899,443 4.1% BUILDING MATERIALS ------------------ Rinker Group Ltd., Sponsored ADR 43,900 2,801,259 1.2% ------------- -------- COMMERCIAL SERVICES ------------------- ChoicePoint Inc.* 105,575 4,341,244 1.8% Weight Watchers International Inc.* 68,300 3,212,832 1.3% ------------- -------- 7,554,076 3.1% COMPUTERS --------- Cadence Design Systems, Inc.* 159,600 2,818,536 1.2% FactSet Research Systems Inc. 55,600 2,217,328 0.9% ------------- -------- 5,035,864 2.1% COSMETICS/PERSONAL CARE ----------------------- The Estee Lauder Companies Inc., Class "A" 85,300 3,110,891 1.3% ------------- -------- DIVERSIFIED MANUFACTURER ------------------------ Actuant Corporation, Class "A" 22,050 1,262,362 0.5% Danaher Corporation 50,750 2,874,480 1.2% ------------- -------- 4,136,842 1.7% ELECTRONICS ----------- Fisher Scientific International Inc.* 37,050 2,477,534 1.0% Symbol Technologies, Inc. 365,025 4,508,059 1.9% Vishay Intertechnology, Inc.* 374,000 5,920,420 2.5% Waters Corporation* 86,175 3,615,041 1.5% ------------- -------- 16,521,054 6.9% ENTERTAINMENT ------------- GTECH Holdings Corporation 249,125 8,325,757 3.4% International Game Technology 95,300 3,409,834 1.4% ------------- -------- 11,735,591 4.8% ENVIRONMENTAL CONTROL --------------------- Republic Services, Inc. 80,075 3,030,839 1.3% ------------- -------- FINANCIAL SERVICES ------------------ Ameriprise Financial, Inc. 67,550 2,748,610 1.1% T. Rowe Price Group, Inc. 72,575 5,546,907 2.3% TD Ameritrade Holding Corporation 101,100 2,046,264 0.8% ------------- -------- 10,341,781 4.2% HEALTHCARE PRODUCTS ------------------- Henry Schein, Inc.* 81,000 3,777,840 1.6% Mentor Corporation 107,850 4,853,250 2.0% ResMed Inc.* 136,800 5,395,392 2.2% ------------- -------- 14,026,482 5.8%
--------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - DIVERSIFIED GROWTH FUND INVESTMENT PORTFOLIO JANUARY 31, 2006 (UNAUDITED) --------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ INTERNET -------- Check Point Software Technologies Ltd.* 174,700 3,780,508 1.6% Expedia, Inc.* 128,775 3,350,726 1.4% IAC/InterActiveCorp* 128,775 3,737,050 1.5% ------------- -------- 10,868,284 4.5% IRON/STEEL ---------- Allegheny Technologies Inc. 191,700 9,939,644 4.1% Carpenter Technology Corporation 65,775 5,956,584 2.5% ------------- -------- 15,896,228 6.6% LEISURE TIME ------------ Royal Caribbean Cruises Ltd. 88,000 3,599,200 1.5% ------------- -------- LODGING ------- Harrah's Entertainment, Inc. 68,525 5,043,440 2.1% ------------- -------- OIL & GAS --------- Chesapeake Energy Corporation 158,500 5,553,840 2.3% Nabors Industries Ltd.* 50,050 4,066,562 1.7% Patterson-UTI Energy, Inc. 224,975 8,463,559 3.5% Quicksilver Resources Inc.* 52,225 2,625,351 1.1% Rowan Companies, Inc. 92,375 4,141,171 1.7% XTO Energy Inc. 67,750 3,325,170 1.4% ------------- -------- 28,175,653 11.7% OIL & GAS SERVICES ------------------ BJ Services Company 78,400 3,174,416 1.3% ------------- -------- PHARMACEUTICALS --------------- Caremark Rx, Inc.* 59,800 2,948,140 1.2% Neurocrine Biosciences, Inc.* 54,700 3,324,119 1.4% Omnicare, Inc. 39,400 1,958,180 0.8% ------------- -------- 8,230,439 3.4% RETAIL ------ Brinker International, Inc. 89,750 3,652,825 1.5% Michaels Stores, Inc. 55,975 1,882,439 0.8% The Cheesecake Factory Inc.* 139,400 5,136,890 2.1% ------------- -------- 10,672,154 4.4% SEMICONDUCTORS -------------- Altera Corporation* 296,200 5,719,622 2.4% ASML Holding N.V.* 253,000 5,715,270 2.4% QLogic Corporation* 182,500 7,239,775 3.0% ------------- -------- 18,674,667 7.8% SOFTWARE -------- Avid Technology, Inc.* 103,825 5,156,988 2.1% Citrix Systems, Inc.* 191,000 5,890,440 2.4% Fair Isaac Corporation 132,600 5,876,832 2.4% ------------- -------- 16,924,260 6.9% TELECOMMUNICATIONS ------------------ Amdocs Ltd.* 141,100 4,543,420 1.9% Comverse Technology, Inc.* 169,200 4,634,388 1.9% Juniper Networks, Inc.* 139,800 2,534,574 1.0% ------------- -------- 11,712,382 4.8%
--------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - DIVERSIFIED GROWTH FUND INVESTMENT PORTFOLIO JANUARY 31, 2006 (UNAUDITED) --------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ TELEVISION, CABLE & RADIO ------------------------- Univision Communications Inc., Class "A"* 135,300 4,307,952 1.8% XM Satellite Radio Holdings Inc., Class "A"* 96,875 2,536,188 1.1% ------------- -------- 6,844,140 2.9% ------------- -------- Total Common Stocks (cost $185,001,124) 235,558,968 97.6% ------------- -------- REPURCHASE AGREEMENT -------------------- Repurchase Agreement with State Street Bank and Trust Company, dated January 31, 2006 @ 4.25% to be repurchased at $5,317,628 on February 1, 2006, collateralized by $3,590,000 United States Treasury Bonds, 10.625% due August 15, 2015, (market value $5,435,643 including interest) (cost $5,317,000) . . . . . . . . . . . . . . . . . 5,317,000 2.2% ------------- -------- TOTAL INVESTMENT PORTFOLIO (COST $190,318,124) (a) 240,875,968 99.8% OTHER ASSETS AND LIABILITIES, NET, 559,766 0.2% ------------- -------- NET ASSETS $ 241,435,734 100.0% ============= ========
------ * Non-income producing security. (a) The aggregate identified cost for federal income tax purposes is the same. Market value includes net unrealized appreciation of $50,557,844 which consists of aggregate gross unrealized appreciation for all securities in which there is an excess of market value over tax cost of $53,120,559 and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over market value of $2,562,715. ADR - American Depository Receipt.
-------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - INTERNATIONAL EQUITY FUND INVESTMENT PORTFOLIO JANUARY 31, 2006 (UNAUDITED) -------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- -------- COMMON STOCKS (a) ----------------- AUSTRALIA --------- BHP Billiton Ltd. 75,091 $ 1,466,572 0.9% Brambles Industries Ltd. 17,293 129,861 0.1% CSL Ltd. 7,870 259,155 0.2% Newcrest Mining Ltd. 63,301 1,255,474 0.8% Patrick Corporation Ltd. 28,260 145,471 0.1% Rio Tinto Ltd. 7,623 437,528 0.3% --------------- -------- 3,694,061 2.4% AUSTRIA ------- Erste Bank der Oesterreichischen Sparkassen AG 5,259 293,456 0.2% Flughafen Wien AG 2,492 196,737 0.1% IMMOFINANZ Immobilien Anlagen AG* 91,759 945,956 0.6% OMV AG 19,427 1,373,353 0.9% Raiffeisen International Bank Holding AG* 10,292 744,964 0.5% Telekom Austria AG 25,081 607,380 0.4% Wiener Stadtische AG 5,183 325,256 0.2% Wienerberger AG 4,925 217,220 0.1% --------------- -------- 4,704,322 3.0% BELGIUM ------- Almancora Communication VA 2,887 339,742 0.2% Fortis SA/NV 20,626 717,898 0.4% InBev NV 3,498 164,870 0.1% KBC Groupe SA 15,164 1,523,643 0.9% --------------- -------- 2,746,153 1.6% BRAZIL ------ Aracruz Celulose SA, Sponsored ADR 2,990 117,328 0.1% --------------- -------- CANADA ------ Bema Gold Corporation* 33,918 137,878 0.1% Centerra Gold Inc.* 556 20,414 0.0% Eldorado Gold Corporation* 19,106 96,039 0.1% Ivanhoe Mines Ltd.* 2,538 20,679 0.0% --------------- -------- 275,010 0.2% CHINA ----- Beijing Capital International Airport Company, Ltd., Class "H" 102,000 57,529 0.0% Shenzhen Chiwan Wharf Holdings Ltd., Class "B" 28,080 43,186 0.0% Weiqiao Textile Company Ltd., Class "H" 114,999 176,420 0.1% Wumart Stores, Inc., Class "H"* 51,789 115,502 0.1% --------------- -------- 392,637 0.2% CYPRUS ------ Bank of Cyprus Public Company Ltd. 12,230 88,911 0.1% --------------- -------- CZECH ----- Komercni Banka, AS 13,972 2,058,003 1.3% --------------- -------- DENMARK ------- ALK-Abello AS* 1,075 127,636 0.1% Danske Bank AS 12,676 445,422 0.3% Novo Norkisk AS, Class "B" 1,321 74,012 0.0% Royal UNIBREW AS 1,200 112,966 0.1% TDC AS 4,090 259,793 0.2% Vestas Wind Systems AS 13,098 258,124 0.2% --------------- -------- 1,277,953 0.9% EGYPT ----- Orascom Telecom Holding SAE, Sponsored GDR 2,494 165,103 0.1% Telecom Egypt, Sponsored GDR 144A* 5,217 82,950 0.1% --------------- -------- 248,053 0.2% FINLAND ------- Fortum Oyj 42,514 950,474 0.6% Nokia Oyj 35,542 650,287 0.4% Sampo Oyj, Class "A" 8,221 160,308 0.1% Stockmann Oyj Abp, Class "B" 3,150 134,184 0.1%
YIT Corporation* 3,589 171,123 0.1% --------------- -------- 2,066,376 1.3% FRANCE ------ Accor SA 1,306 78,321 0.0% Air Liquide 3,937 809,827 0.5% Alcatel SA* 35,896 473,481 0.3% ALSTOM* 1,418 107,828 0.1% Atos Origin SA* 2,207 163,532 0.1% BNP Paribas 18,275 1,630,722 1.0% Bouygues 15,466 848,347 0.5% Compagnie de Saint-Gobain 4,562 299,208 0.2% Electricite de France* 3,691 163,871 0.1% Generale de Sante 3,374 95,571 0.1% JC Decaux SA 6,112 151,877 0.1% Lafarge SA 20,224 2,129,176 1.3% Lagardere SCA 2,200 175,450 0.1% LVMH Moet Hennessy Louis Vuitton SA 16,090 1,452,376 0.9% Pernod-Ricard SA 5,628 1,046,820 0.6% PPR SA 5,391 629,169 0.4% Publicis Groupe SA 4,083 154,025 0.1% Renault SA 2,603 245,879 0.2% Sanofi-Aventis SA 26,216 2,404,652 1.5% Schneider Electric SA 2,394 250,293 0.2% Societe Generale 3,087 407,937 0.3% Societe Television Francaise 1 17,774 563,533 0.3% Suez SA 11,733 434,191 0.3% Total SA 6,738 1,861,085 1.2% Vinci SA 5,269 490,343 0.3% Vivendi Universal SA 15,025 470,895 0.3% --------------- -------- 17,538,409 11.0% GERMANY ------- Adidas-Salomon AG 2,291 479,328 0.3% Allianz AG 1,577 254,311 0.2% BASF AG 4,048 319,186 0.2% Commerzbank AG 23,742 807,880 0.5% Continental AG 1,851 180,246 0.1% DaimlerChrysler AG 14,330 823,316 0.5% Deutsche Bank AG 5,218 560,641 0.3% Deutsche Boerse AG 6,209 785,776 0.5% Deutsche Post AG 34,386 969,083 0.6% Deutsche Postbank AG 3,424 228,483 0.1% E.ON AG 6,468 722,859 0.4% Fraport AG Frankfurt Airport Services Worldwide 29,598 1,885,473 1.2% Fresenius AG 1,788 269,535 0.2% Fresenius Medical Care AG & Co. KGaA 6,659 710,205 0.4% Henkel KGaA 3,167 324,527 0.2% Hypo Real Estate Holding AG 2,618 170,911 0.1% IVG Immobilien AG 7,238 208,982 0.1% KarstadtQuelle AG* 8,014 172,445 0.1% Linde AG 5,105 415,565 0.3% MAN AG 1,369 78,704 0.0% Merck KGaA 784 81,786 0.1% Muenchener Rueckversicherungs AG 1,146 155,661 0.1% RWE AG 5,615 462,950 0.3% Schering AG 2,059 140,926 0.1% Siemens AG 11,663 1,064,255 0.7% --------------- -------- 12,273,034 7.6% GREECE ------ Alpha Bank AE 5,760 197,749 0.1% Hellenic Telecommunications Organization SA* 26,768 619,597 0.4% National Bank of Greece SA 9,992 460,625 0.3% --------------- -------- 1,277,971 0.8% HONG KONG --------- China Merchants Holdings (International) Company, Ltd. 63,601 165,623 0.1% Clear Media Ltd. 66,000 59,134 0.0% Hutchison Telecommunications International Ltd.* 43,229 73,005 0.0% Texwinca Holdings Ltd. 97,996 73,273 0.0%
Yue Yuen Industrial Holdings 74,267 230,259 0.1% --------------- -------- 601,294 0.2% HUNGARY ------- Egis Gyogyszergyar Reszvnytarsas Rt.* 1,502 177,022 0.1% Magyar Telekom Telecommunications PLC 62,455 295,034 0.2% OTP BANK Rt. 12,706 438,815 0.3% --------------- -------- 910,871 0.6% INDONESIA --------- Indofood Sukses Makmur Tbk PT 287,000 26,940 0.0% Semen Gresik Persero Tbk PT 44,743 93,065 0.1% Telekomunikasi Indonesia Tbk PT, Class "B" 585,999 393,791 0.2% --------------- -------- 513,796 0.3% IRELAND ------- Celtic Resources Holdings PLC* 10,350 43,432 0.0% Dragon Oil PLC* 59,888 242,242 0.2% --------------- -------- 285,674 0.2% ITALY ----- Assicurazioni Generali SpA 20,018 692,356 0.4% Banca CR Firenze SpA 131,987 416,786 0.3% Banca Intesa SpA 81,990 466,730 0.3% Banca Intesa SpA (Non-voting) 103,713 543,107 0.3% Banca Nazionale del Lavoro SpA 14,839 52,676 0.0% Banca Popolare dell'Emilia Romagna 1,843 100,825 0.1% Banca Popolare di Milano Scrl 56,856 699,493 0.4% Banca Popolare di Sondrio Scrl 5,722 91,127 0.1% Banche Popolari Unite Scrl 12,899 302,650 0.2% Banco Popolare di Verona e Novara Scrl 12,086 277,697 0.2% Beni Stabili SpA 76,276 83,920 0.1% Bulgari SpA 7,137 82,773 0.1% Buzzi Unicem SpA 20,643 385,721 0.2% Capitalia SpA 38,574 249,245 0.2% Credito Emiliano SpA 35,423 438,820 0.2% Finmeccanica SpA 6,849 149,291 0.1% Geox SpA 14,577 165,871 0.1% Luxottica Group SpA 5,949 155,492 0.1% Parmalat SpA* 55,096 141,161 0.1% UniCredito Italiano SpA 253,562 1,803,298 1.1% --------------- -------- 7,299,039 4.6% JAPAN ----- Aeon Credit Service Company, Ltd. 2,868 257,638 0.2% Aiful Corporation 5,200 352,346 0.2% Aisin Seiki Company, Ltd. 3,900 144,809 0.1% Asahi Breweries, Ltd. 5,606 70,600 0.0% Asahi Glass Company, Ltd. 11,000 159,610 0.1% Astellas Pharma Inc. 1,700 70,539 0.0% Bridgestone Corporation 6,000 122,428 0.1% Canon Inc. 12,273 743,405 0.5% Credit Saison Company, Ltd. 10,017 450,780 0.3% Dai Nippon Printing Company, Ltd. 3,000 54,284 0.0% Daikin Industries, Ltd. 5,000 164,692 0.1% Denso Corporation 8,912 314,896 0.2% Dentsu Inc. 24 81,721 0.1% East Japan Railway Company 32 223,125 0.1% Exedy Corporation 2,000 59,717 0.0% Fanuc Ltd. 2,600 229,781 0.1% Fuji Photo Film Company, Ltd. 5,266 181,112 0.1% Fuji Television Network, Inc. 151 378,517 0.2% Fujitsu Ltd. 9,000 79,617 0.0% Hitachi Capital Corporation 6,300 120,735 0.1% Honda Motor Company, Ltd. 12,709 724,147 0.4% IBIDEN Company, Ltd. 4,500 253,326 0.2% Itochu Corporation 30,000 255,636 0.2% Jafco Company, Ltd. 2,000 163,922 0.1% Japan Tobacco Inc. 24 373,701 0.2% JS Group Corporation 3,494 73,685 0.0% Koito Manufacturing Company, Ltd. 9,474 135,603 0.1% Leopalace21 Corporation 2,209 80,698 0.1%
Matsushita Electric Industrial Company, Ltd. 57,846 1,261,987 0.8% Mitsubishi UFJ Financial Group, Inc. 123 1,778,415 1.1% Mitsui Fudosan Company, Ltd. 8,129 171,781 0.1% Mizuho Financial Group, Inc. 133 1,092,356 0.7% NGK Spark Plug Company, Ltd. 9,000 225,606 0.1% Nikko Cordial Corporation 7,922 126,335 0.1% Nissan Motor Company, Ltd. 5,961 67,318 0.0% Nitto Denko Corporation 6,700 569,201 0.4% Nomura Holdings, Inc. 22,821 447,107 0.3% NSK Ltd. 11,000 81,781 0.1% ORIX Corporation 900 233,691 0.1% Ricoh Company, Ltd. 15,000 258,588 0.2% Secom Company, Ltd. 3,500 181,760 0.1% Sega Sammy Holdings Inc. 5,100 183,693 0.1% Seven & I Holdings Company, Ltd. 8,300 352,209 0.2% Sharp Corporation 18,000 330,325 0.2% SMC Corporation 944 145,131 0.1% Sony Corporation 16,286 794,201 0.5% Sumitomo Corporation 11,446 157,170 0.1% Sumitomo Mitsui Financial Group Inc. 98 1,148,650 0.7% Sumitomo Rubber Industries, Ltd. 5,000 68,443 0.0% Suzuki Motor Corporation 3,800 77,700 0.0% Takeda Pharmaceutical Company, Ltd. 3,300 187,466 0.1% Takefuji Corporation 610 36,845 0.0% The Bank of Fukuoka, Ltd. 7,000 60,427 0.0% The Bank of Yokohama, Ltd. 33,000 268,212 0.2% The Chiba Bank, Ltd. 6,000 54,464 0.0% The Gunma Bank, Ltd. 8,000 58,519 0.0% The Sumitomo Trust & Banking Company, Ltd. 23,065 254,755 0.2% Toppan Printing Company, Ltd. 10,000 135,689 0.1% Toshiba Corporation 12,865 82,659 0.1% Toyota Motor Corporation 29,332 1,525,761 0.9% Trend Micro Inc. 1,500 50,178 0.0% Yamaha Motor Company, Ltd. 8,700 224,041 0.1% Yamato Holdings Company, Ltd. 2,564 44,421 0.0% --------------- -------- 19,057,955 11.5% LUXEMBOURG ---------- Millicom International Cellular SA* 8,267 318,280 0.2% --------------- -------- MEXICO ------ Consorcio ARA, SA de CV 8,430 40,478 0.0% Fomento Economico Mexicano SA de CV 29,981 235,386 0.1% Fomento Economico Mexicano SA de CV, Sponsored ADR 7,017 549,712 0.3% Grupo Financiero Banorte, SA de CV 121,760 290,285 0.2% Urbi Desarrollos Urbanos, SA de CV* 9,434 69,506 0.0% --------------- -------- 1,185,367 0.6% NETHERLANDS ----------- Euronext NV 8,128 500,483 0.3% European Aeronautic Defence and Space Company* 5,577 218,654 0.1% Heineken NV 9,558 336,389 0.2% ING Groep NV 27,916 996,745 0.6% Koninklijke KPN NV 49,445 477,877 0.3% Koninklijke Philips Electronics NV 35,332 1,193,238 0.7% Royal Numico NV 5,358 243,613 0.2% TNT NV 23,903 785,171 0.5% Unilever NV 4,991 350,402 0.2% VNU NV 4,117 137,989 0.1% --------------- -------- 5,240,561 3.2% NEW ZEALAND ----------- Auckland International Airport Ltd. 93,060 125,589 0.1% --------------- -------- NORWAY ------ Acta Holding ASA 25,000 71,364 0.0% DnB NOR ASA 5,869 65,691 0.0% Norsk Hydro ASA 9,493 1,164,518 0.7% Orkla ASA 3,959 157,622 0.1% Statoil ASA 57,522 1,581,509 1.0% Telenor ASA 6,931 69,508 0.0% --------------- -------- 3,110,212 1.8%
PHILIPPINES ----------- Philippine Long Distance Telephone Company, Sponsored ADR 3,100 110,949 0.1% --------------- -------- POLAND ------ Agora SA 6,718 136,203 0.1% Bank BPH SA 3,261 799,188 0.5% Bank Pekao SA 34,738 1,940,392 1.2% Bank Zachodni WBK SA 3,688 176,072 0.1% Budimex SA* 8,720 128,223 0.1% CCC SA* 8,398 101,570 0.1% Cersanit-Krasnystaw SA* 35,700 179,528 0.1% Grupa Kety SA 2,836 112,830 0.1% Inter Cars SA 3,447 29,512 0.0% Inter Groclin Auto SA* 981 22,137 0.0% Polska Grupa Farmaceutyczna SA 2,798 53,165 0.0% Polski Koncern Miesny Duda SA 21,753 80,313 0.0% Powszechna Kasa Oszczednosci Bank Polski SA 224,414 2,257,068 1.4% Stomil Sanok SA* 899 40,059 0.0% Telekomunikacja Polska SA 63,863 469,536 0.3% --------------- -------- 6,525,796 4.0% PORTUGAL -------- Jeronimo Martins 4,412 70,210 0.0% Portugal Telecom SGPS SA* 13,997 140,553 0.1% --------------- -------- 210,763 0.1% ROMANIA ------- Board of Romanian Development Bank-Groupe Societe Generale 60,118 351,532 0.2% Impact 616,687 122,272 0.1% Rolast SA Pitesti* 635,500 15,804 0.0% SNP Petrom SA* 4,444,803 918,625 0.6% Socep Constanta* 372,000 32,253 0.0% --------------- -------- 1,440,486 0.9% RUSSIA ------ JSC MMC Norilsk Nickel, Sponsored ADR 9,886 1,215,978 0.8% LUKOIL, Sponsored ADR 19,223 1,470,560 0.9% OAO Gazprom, Sponsored ADR 22,113 1,892,874 1.2% OAO Novatek, Sponsored GDR 144A 14,128 395,584 0.2% Unified Energy System, Sponsored GDR 3,889 189,783 0.1% VolgaTelecom, Sponsored ADR 19,240 152,381 0.1% --------------- -------- 5,317,160 3.3% SOUTH AFRICA ------------ MTN Group Ltd. 7,419 76,911 0.0% --------------- -------- SOUTH KOREA ----------- Lotte Shopping Company, Ltd., Sponsored GDR 144A* 5,968 123,359 0.1% NHN Corporation* 619 182,888 0.1% Samsung Electronics Company,Ltd. 2,897 2,233,407 1.4% --------------- -------- 2,539,654 1.6% SPAIN ----- ACS, Actividades de Construccion y Servicios, SA 4,408 153,530 0.1% Banco Bilbao Vizcaya Argentaria, SA 52,658 1,063,952 0.7% Corporacion Mapfre SA 6,615 118,698 0.1% Endesa SA 11,515 331,771 0.2% Fadesa Inmobiliaria SA 1,835 72,724 0.0% Grupo Empresarial ENCE SA 5,976 212,211 0.1% Grupo Ferrovial SA 4,131 322,918 0.2% Inditex SA 13,609 467,712 0.3% Promotora de Informaciones, SA 6,898 126,963 0.1% --------------- -------- 2,870,479 1.8% SWEDEN ------ Autoliv, Inc., Sponsored SDR 3,353 164,732 0.1% ForeningsSparbanken AB 38,141 1,086,188 0.7% Getinge AB, Class "B" 16,234 254,113 0.2% H&M Hennes & Mauritz AB, Class "B" 2,750 101,104 0.1% Modern Times Group AB, Class "B"* 9,796 476,766 0.3% Nordea Bank AB 91,500 983,929 0.6% Skandinaviska Enskilda Banken AB, Class "A" 48,400 1,079,121 0.7% Skanska AB, Class "B" 28,179 437,384 0.3% Telefonaktiebolaget LM Ericsson, Class "B" 68,161 245,664 0.2% TeliaSonera AB 7,000 39,777 0.0% --------------- -------- 4,868,778 3.2%
SWITZERLAND ----------- Adecco SA 2,842 158,729 0.1% BKW FMB Energie AG 590 44,675 0.0% Compagnie Financiere Richemont AG, Class "A" 17,467 794,513 0.5% Credit Suisse Group 19,648 1,147,312 0.7% Holcim Ltd. 16,118 1,219,819 0.8% Nestle SA 6,221 1,824,840 1.1% Novartis AG 32,652 1,792,999 1.1% Roche Holding AG 12,714 2,008,939 1.2% SGS SA* 299 280,429 0.2% Synthes Inc. 1,744 208,860 0.1% The Swatch Group AG, Class " B" 6,268 1,015,902 0.6% Unique Zurich Airport 132 24,574 0.0% --------------- -------- 10,521,591 6.4% TURKEY ------ Akbank TAS 141,868 1,232,237 0.8% Dogan Sirketler Grubu Holding AS* 188,969 749,311 0.5% Enka Insaat ve Sanayi AS 5,856 69,440 0.0% Haci Omer Sabanci Holding AS 158,896 1,224,123 0.8% Turkiye Garanti Bankasi AS* 254,604 1,173,024 0.7% Turkiye Is Bankasi AS, Class "C" 176,052 1,595,637 1.0% Turkiye Petrol Rafinerileri AS 3,652 75,853 0.0% Turkiye Vakiflar Bankasi Tao, Class "D"* 51,268 317,521 0.2% --------------- -------- 6,437,146 4.0% U.S.A. ------ News Corporation, Class "B" 45,054 745,193 0.5% Southern Copper Corporation 1,197 104,259 0.1% --------------- -------- 849,452 0.6% UNITED ARAB EMIRATES -------------------- Investcom LLC, Sponsored GDR* 4,599 80,988 0.1% --------------- -------- UKRAINE ------- Centrenergo, Sponsored ADR (d)* 3,570 21,167 0.0% Ukrnafta, Sponsored ADR (d)* 58 16,782 0.0% Ukrtelecom, Sponsored GDR 9,912 67,480 0.1% --------------- -------- 105,429 0.1% UNITED KINGDOM -------------- Aegis Group PLC 61,553 139,295 0.1% Anglo American PLC 7,853 302,254 0.2% Associated British Ports Holdings PLC 27,346 286,763 0.2% BAA PLC 84,152 937,190 0.5% BAE Systems PLC 33,088 245,861 0.2% Barclays PLC 14,780 158,282 0.1% BG Group PLC 7,414 83,890 0.1% BP PLC 11,300 136,116 0.1% Burberry Group PLC 40,029 307,422 0.2% Cadbury Schweppes PLC 10,467 102,954 0.1% Compass Group PLC 122,889 485,579 0.3% Diageo PLC 111,320 1,659,290 1.0% GlaxoSmithKline PLC 82,705 2,119,209 1.3% Highland Gold Mining Ltd. 19,098 102,092 0.1% Imperial Tobacco Group PLC 14,132 421,040 0.3% Kazakhyms PLC* 6,292 97,206 0.1% Ladbrokes PLC 151,706 984,658 0.6% London Stock Exchange PLC 13,374 173,371 0.1% Pearson PLC 11,901 154,382 0.1% Peter Hambro Mining PLC* 12,941 297,468 0.2% Prudential PLC 29,939 304,085 0.2% Reckitt Benckiser PLC 14,531 477,981 0.3% Rolls-Royce Group PLC 54,048 417,977 0.3% SABMiller PLC 6,943 141,533 0.1% Scottish & Newcastle PLC 32,884 292,980 0.2% Scottish Power PLC 15,952 162,874 0.1% Smith & Nephew PLC 30,737 305,618 0.2% Smiths Group PLC 7,993 141,288 0.1% Tesco PLC 203,504 1,153,143 0.7% The Peninsular and Oriental Steam Navigation Company 33,685 327,427 0.2% Vodafone Group PLC 727,207 1,529,055 0.8%
William Hill PLC 27,535 280,159 0.2% Wolseley PLC 6,201 149,611 0.1% WPP Group PLC 49,658 552,150 0.3% --------------- -------- 15,430,203 9.7% VENEZUELA --------- Cia Anonima Nacional Telefonos de Venezuela, Sponsored ADR 5,534 78,749 0.0% Total Common Stocks (cost $114,076,857) --------------- -------- 144,871,393 89.9% PREFERRED STOCKS (a) -------------------- AUSTRIA ------- Erste Bank der Oesterreichischen Sparkassen AG* 7,624 419,678 0.3% --------------- -------- GERMANY ------- Henkel KGaA 429 48,065 0.0% ProsiebenSat.1 Media AG* 17,457 398,983 0.2% --------------- -------- 447,048 0.2% POLAND ------ Sniezka SA 6,301 56,354 0.1% --------------- -------- Total Preferred Stocks (cost $839,634) 923,080 0.6% RIGHTS & WARRANTS (a) --------------------- INDIA ----- CLSA Financial Products Ltd./Bharti Televentures, 5/31/10* 111,296 904,264 0.5% Merrill Lynch Intl & Company/Bharti Televentures, 4/3/06* 13,567 273,484 0.2% --------------- -------- 1,177,748 0.7% JAPAN ----- Merrill Lynch Intl & Company/Topix Index, 6/9/06* 19,221 281,325 0.2% --------------- -------- ROMANIA ------- SNP Petrom SA, 2/9/06 (Rights)* 4,444,803 9,001 0.0% --------------- -------- RUSSIA ------ UBS AG London Branch/Sberbank RF 1/19/07 144A* 1,984 2,956,160 1.8% --------------- -------- Total Warrants (cost $4,328,592) 4,424,234 2.7% INVESTMENT COMPANIES (a) ------------------------ AUSTRALIA --------- Macquarie Airports 145,341 342,172 0.2% --------------- -------- FRANCE ------ Eurazeo* 1,179 131,865 0.1% --------------- -------- GERMANY ------- INDEXCHANGE Investment AG/DAXEX 60,464 4,017,844 2.5% --------------- -------- JAPAN ----- Nomura Asset Management/Nikkei 225 Index ETF 8,250 1,182,958 0.8% Nomura Asset Management/Topix Index ETF 133,900 1,977,255 1.2% --------------- -------- 3,160,213 2.0% ROMANIA ------- Societatea de Investitii Financiare/Banat Crisana Arad (SIF 1) 71,000 63,467 0.0% Societatea de Investitii Financiare/Moldova Bacau (SIF 2) 77,000 68,055 0.1% Societatea de Investitii Financiare/Muntenia Bucuresti (SIF 4) 53,500 34,699 0.0% Societatea de Investitii Financiare/Oltenia SA (SIF 5) 41,000 41,335 0.0% Societatea de Investitii Financiare/Transilvania Brasov (SIF3) 29,000 23,097 0.0% --------------- -------- 230,653 0.1% --------------- -------- Total Investment Companies (cost $6,824,868) 7,882,747 4.9%
PRINCIPAL % OF NET AMOUNT VALUE ASSETS GOVERNMENT ISSUED SECURITIES (a) (b) --------- ----- -------- ------------------------------------ BULGARIA -------- GKZ Compensation Notes under the CONP Act (d) 13,665 5,436 0.0% PKB Registered Compensation Vouchers under the OUFL Act and RLFLFF Act 20,024 8,003 0.0% Republic of Bulgaria Compensation Notes (d) 33,115 13,483 0.0% --------------- -------- Total Government Issued Securities (cost $29,438) 26,922 0.0% Total Investment Portfolio excluding repurchase agreement (cost $126,099,389) 158,128,376 98.1% --------------- -------- REPURCHASE AGREEMENT (a) -------------------------- Repurchase Agreement with State Street Bank and Trust Company, dated January 31, 2006 @ 4.25% to be repurchased at $2,055,243 on February 1, 2006, collateralized by $1,390,000 United States Treasury Bonds, 10.625% due August 15, 2015, (market value $2,104,608 including interest) (cost $2,055,000) 2,055,000 1.3% --------------- -------- TOTAL INVESTMENT PORTFOLIO (cost $128,154,389) (c) 160,183,376 99.4% OTHER ASSETS AND LIABILITIES, NET, 1,050,311 0.6% --------------- -------- NET ASSETS 161,233,687 100.0% =============== ======== ------- * Non-income producing security. (a) Percentages indicated are based on net assets. (b) U.S. dollar denominated. (c) The aggregate identified cost for federal income tax purposes is the same. Market value includes net unrealized appreciation of $32,028,987 which consists of aggregate gross unrealized appreciation for all securities in which there is an excess of market value over tax cost of $32,909,350 and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over market value of $880,363. (d) Securities are fair valued according to procedures adopted by the Board of Trustees. ADR - American Depository Receipt. ETF - Exchange-Traded Fund. GDR - Global Depository Receipt. SDR - Swedish Depository Receipt. 144A - Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. Securities are deemed to be illiquid for purposes of compliance limitations on holdings of illiquid securities.
----------------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - MID CAP STOCK FUND Investment Portfolio January 31, 2006 (unaudited) ----------------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ COMMON STOCKS & RIGHTS ---------------------- ADVERTISING ----------- Harte-Hanks Communications, Inc. 302,085 $ 8,573,172 0.8% R.H. Donnelly Corporation* 153,933 10,101,112 0.9% ----------------- ------------- 18,674,284 1.7% AUTO PARTS & EQUIPMENT ---------------------- Autoliv, Inc. 363,130 17,789,739 1.6% ----------------- ------------- BEVERAGES --------- Molson Coors Brewing Company 298,400 18,650,000 1.7% ----------------- ------------- BIOTECHNOLOGY ------------- MedImmune, Inc.* 303,300 10,348,596 0.9% ----------------- ------------- CHEMICALS --------- Ecolab Inc. 288,300 10,324,023 0.9% ----------------- ------------- COMMERCIAL SERVICES ------------------- Education Management Corporation* 174,740 5,350,539 0.5% Interactive Data Corporation 390,600 8,804,124 0.8% ITT Educational Services, Inc.* 274,600 16,009,180 1.4% ----------------- ------------- 30,163,843 2.7% COMPUTERS --------- Ceridian Corporation* 972,325 23,996,981 2.1% DST Systems, Inc.* 191,500 10,850,390 1.0% Kronos Inc.* 161,945 6,364,438 0.6% ----------------- ------------- 41,211,809 3.7% COSMETICS/PERSONAL CARE ----------------------- Alberto-Culver Company 234,490 10,387,907 0.9% ----------------- ------------- DISTRIBUTION/WHOLESALE ---------------------- CDW Corporation 340,000 19,040,000 1.7% ----------------- ------------- DIVERSIFIED MANUFACTURER ------------------------ Danaher Corporation 598,100 33,876,384 3.0% ESCO Technologies Inc.* 516,800 25,395,552 2.3% ----------------- ------------- 59,271,936 5.3% ELECTRICAL COMPONENTS & EQUIPMENT --------------------------------- AMETEK, Inc. 252,990 10,408,009 0.9% ----------------- ------------- ELECTRONICS ----------- Amphenol Corporation, Class "A" 541,500 27,524,445 2.5% ----------------- ------------- ENGINEERING & CONSTRUCTION -------------------------- Chicago Bridge & Iron Company N.V. 216,165 6,668,690 0.6% ----------------- ------------- ENTERTAINMENT ------------- Regal Entertainment Group, Class "A" 1,033,800 19,135,638 1.7% ----------------- ------------- ENVIRONMENTAL CONTROL --------------------- Republic Services, Inc. 276,300 10,457,955 0.9% ----------------- ------------- FINANCIAL SERVICES ------------------ Affiliated Managers Group, Inc.* 181,900 16,880,320 1.5% Alliance Capital Management Holding L.P. 594,400 35,925,536 3.2% BlackRock, Inc. 146,720 19,484,416 1.7% ----------------- ------------- 72,290,272 6.4%
----------------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - MID CAP STOCK FUND Investment Portfolio January 31, 2006 (unaudited) ----------------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ HEALTHCARE PRODUCTS ------------------- American Medical Systems Holdings, Inc.* 596,400 13,514,424 1.2% C.R. Bard, Inc. 314,700 19,958,274 1.8% Dade Behring Holdings, Inc. 132,200 5,172,987 0.5% Edwards Lifesciences Corporation* 420,500 18,056,270 1.6% Respironics, Inc.* 344,600 12,415,938 1.1% ----------------- ------------- 69,117,893 6.2% HEALTHCARE SERVICES ------------------- Laboratory Corporation of America Holdings* 417,900 24,509,835 2.2% Lincare Holdings Inc.* 669,760 28,304,058 2.5% ----------------- ------------- 52,813,893 4.7% HOME FURNISHINGS ---------------- Harman International Industries, Inc. 183,945 20,233,950 1.8% ----------------- ------------- HOUSEHOLD PRODUCTS ------------------ The Scotts Miracle-Gro Company, Class "A" 149,400 7,395,300 0.7% ----------------- ------------- INSURANCE --------- AMBAC Financial Group, Inc. 278,200 21,368,542 1.9% Brown & Brown, Inc. 341,500 9,811,295 0.9% HCC Insurance Holdings, Inc. 711,400 22,096,084 2.0% Mercury General Corporation 238,500 13,444,245 1.2% PartnerRe Ltd. 377,180 23,302,180 2.1% Protective Life Corporation 307,600 13,826,620 1.2% UnumProvident Corporation 392,325 7,975,967 0.7% ----------------- ------------- 111,824,933 10.0% INTERNET -------- Websense, Inc.* 74,465 4,909,477 0.4% ----------------- ------------- IRON/STEEL ---------- Allegheny Technologies Inc. 520,900 27,008,665 2.4% ----------------- ------------- LODGING ------- Gaylord Entertainment Company* 42,400 1,823,200 0.2% ----------------- ------------- OIL & GAS --------- Chesapeake Energy Corporation 339,300 11,889,072 1.1% Forest Oil Corporation* 223,200 11,494,800 1.0% XTO Energy Inc. 115,000 5,644,200 0.5% ----------------- ------------- 29,028,072 2.6% OIL & GAS SERVICES ------------------ Cooper Cameron Corporation* 317,000 15,339,630 1.4% FMC Technologies, Inc.* 599,150 31,047,953 2.8% ----------------- ------------- 46,387,583 4.2% PACKAGING & CONTAINERS ---------------------- Ball Corporation 480,300 19,452,150 1.7% ----------------- ------------- PHARMACEUTICALS --------------- Alkermes, Inc.* 223,800 5,447,292 0.5% Neurocrine Biosciences, Inc.* 51,500 3,129,655 0.3% ----------------- ------------- 8,576,947 0.8% PIPELINES --------- Questar Corporation 134,915 10,992,874 1.0% ----------------- -------------
----------------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - MID CAP STOCK FUND Investment Portfolio January 31, 2006 (unaudited) ----------------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ RETAIL ------ Advance Auto Parts, Inc.* 259,900 11,323,843 1.0% Regis Corporation 402,435 15,594,356 1.4% Tiffany & Company 162,315 6,119,277 0.5% The TJX Companies, Inc. 912,900 23,306,337 2.1% ----------------- ------------- 56,343,813 5.0% SEMICONDUCTORS -------------- Linear Technology Corporation 546,400 20,331,544 1.8% Microchip Technology Inc. 470,500 17,648,455 1.6% ----------------- ------------- 37,979,999 3.4% SOFTWARE -------- Activision, Inc.* 650,801 9,332,486 0.8% Cognos Inc.* 303,900 11,578,590 1.0% Fiserv, Inc.* 248,345 10,922,213 2.1% Intuit Inc.* 236,046 12,352,287 1.0% Red Hat, Inc.* 448,800 12,992,760 1.1% The Dun & Bradstreet Corporation* 332,300 24,018,644 1.2% ----------------- ------------- 81,196,980 7.2% TELECOMMUNICATIONS ------------------ NII Holdings, Inc.* 299,900 14,833,054 1.3% Tellabs, Inc.* 940,500 12,028,995 1.1% TELUS Corporation 592,200 23,291,226 2.1% ----------------- ------------- 50,153,275 4.5% TELEVISION, CABLE & RADIO ------------------------- Rogers Communications Inc., Class "B" 556,800 24,577,152 2.2% Univision Communications Inc., Class "A"* 631,700 20,113,328 1.8% Westwood One, Inc. 714,875 10,715,976 1.0% ----------------- ------------- 55,406,456 5.0% Total Common Stocks (cost $931,471,892) 1,072,992,606 95.9% ----------------- ------------- REPURCHASE AGREEMENT -------------------- Repurchase Agreement with State Street Bank and Trust Company, dated January 31, 2006 @ 4.25% to be repurchased at $61,412,249 on February 1, 2006, collateralized by $41,415,000 United States Treasury Bonds, 10.625% due August 15, 2015, (market value $62,706,727 including interest) (cost $61,405,000) . . . . . . . . . . . . . . 61,405,000 5.5% ----------------- ------------- TOTAL INVESTMENT PORTFOLIO (COST $992,876,892) (a) 1,134,397,606 101.4% OTHER ASSETS AND LIABILITIES, NET, (15,965,011) -1.4% ----------------- ------------- NET ASSETS $ 1,118,432,595 100.0% ================= =============
-------- * Non-income producing security. (a) The aggregate identified cost for federal income tax purposes is the same. Market value includes net unrealized appreciation of $141,520,714 which consists of aggregate gross unrealized appreciation for all securities in which there is an excess of market value over tax cost of $151,352,278 and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over market value of $9,831,564
----------------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - SMALL CAP STOCK FUND Investment Portfolio January 31, 2006 (unaudited) ----------------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ COMMON STOCKS ------------- AEROSPACE/DEFENSE ----------------- EDO Corporation 95,000 $ 2,624,850 0.7% ---------------- ----------- AGRICULTURE ----------- Delta & Pine Land Company 148,075 3,485,686 0.9% ---------------- ----------- BANKS ----- Capital Crossing Bank* 88,000 3,076,480 0.8% ---------------- ----------- BEVERAGES --------- Constellation Brands, Inc., Class "A"* 144,000 3,843,360 1.0% ---------------- ----------- BIOTECHNOLOGY ------------- Arena Pharmaceuticals, Inc.* 67,325 1,142,505 0.3% Ariad Pharmaceuticals, Inc.* 262,925 1,624,876 0.4% Bio-Rad Laboratories, Inc., Class "A"* 10,000 674,000 0.2% Charles River Laboratories International, Inc.* 147,200 6,790,336 1.9% deCODE genetics, Inc.* 244,475 2,332,292 0.6% ---------------- ----------- 12,564,009 3.4% BUILDING MATERIALS ------------------ Lennox International Inc. 197,000 6,294,150 1.7% ---------------- ----------- COMMERCIAL SERVICES ------------------- ADESA, Inc. 242,600 6,210,560 1.7% Corrections Corporation of America* 62,200 2,640,390 0.7% Interactive Data Corporation 239,000 5,387,060 1.5% Navigant Consulting, Inc.* 100,000 2,272,000 0.6% Resources Connection, Inc.* 80,350 2,184,716 0.6% ---------------- ----------- 18,694,726 5.1% COMPUTERS --------- FactSet Research Systems Inc. 118,062 4,708,313 1.3% McDATA Corporation, Class "A"* 698,975 2,984,623 0.8% RadiSys Corporation* 174,500 3,137,510 0.8% ---------------- ----------- 10,830,446 2.9% DISTRIBUTION/WHOLESALE ---------------------- SCP Pool Corporation 68,200 2,719,816 0.7% ---------------- ----------- DIVERSIFIED MANUFACTURER ------------------------ Actuant Corporation, Class "A" 48,500 2,776,625 0.8% Applied Films Corporation* 120,800 2,714,376 0.7% Blount International, Inc.* 154,500 2,479,725 0.7% Federal Signal Corporation 190,000 3,368,700 0.9% Jacuzzi Brands, Inc.* 465,000 4,412,850 1.2% ---------------- ----------- 15,752,276 4.3% ELECTRICAL COMPONENTS & EQUIPMENT --------------------------------- Advanced Energy Industries, Inc.* 154,550 2,424,890 0.7% Belden CDT Inc. 127,000 3,441,700 0.9% General Cable Corporation* 177,200 4,341,400 1.2% Littelfuse, Inc.* 24,000 709,200 0.2% ---------------- ----------- 10,917,190 3.0% ELECTRONICS ----------- Benchmark Electronics, Inc.* 83,000 3,031,990 0.8% Coherent, Inc.* 53,400 1,653,264 0.5% Dolby Laboratories, Inc., Class "A"* 134,985 2,749,644 0.8% OYO Geospace Corporation* 66,775 3,325,395 0.9% Photon Dynamics, Inc.* 73,700 1,614,767 0.4% ---------------- ----------- 12,375,060 3.4%
----------------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - SMALL CAP STOCK FUND Investment Portfolio January 31, 2006 (unaudited) ----------------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ ENGINEERING & CONSTRUCTION -------------------------- URS Corporation* 151,200 6,468,336 1.8% ---------------- ----------- ENTERTAINMENT ------------- Lions Gate Entertainment Corporation* 180,000 1,602,000 0.4% Nevada Gold & Casinos, Inc.* 62,800 665,680 0.2% Shuffle Master, Inc.* 139,475 3,542,665 0.9% Sunterra Corporation* 95,075 1,364,326 0.4% Vail Resorts, Inc.* 47,775 1,451,882 0.4% ---------------- ----------- 8,626,553 2.3% ENVIRONMENTAL CONTROL --------------------- Aleris International, Inc.* 203,300 8,461,346 2.3% Duratek, Inc.* 138,805 2,461,013 0.7% Waste Connections, Inc.* 116,087 4,056,080 1.1% ---------------- ----------- 14,978,439 4.1% HEALTHCARE PRODUCTS ------------------- American Medical Systems Holdings, Inc.* 186,850 4,234,021 1.1% Arrow International, Inc. 42,200 1,350,400 0.4% DJ Orthopedics, Inc.* 55,350 1,817,140 0.5% Respironics, Inc.* 72,525 2,613,076 0.7% SurModics, Inc.* 43,025 1,586,762 0.4% Thoratec Corporation* 54,850 1,387,705 0.4% ---------------- ----------- 12,989,104 3.5% HEALTHCARE SERVICES ------------------- American Healthways, Inc.* 72,600 3,243,768 0.9% Centene Corporation* 134,150 3,526,804 1.0% Horizon Health Corporation* 135,900 3,165,111 0.8% ---------------- ----------- 9,935,683 2.7% HOME BUILDERS ------------- Champion Enterprises, Inc.* 219,000 3,002,490 0.8% ---------------- ----------- HOME FURNISHINGS ---------------- DTS, Inc.* 90,000 1,506,600 0.4% Tempur-Pedic International Inc.* 49,400 576,004 0.2% Universal Electronics, Inc.* 224,125 4,023,044 1.1% ---------------- ----------- 6,105,648 1.7% INSURANCE --------- Philadelphia Consolidated Holding Corporation* 20,125 1,955,144 0.5% The PMI Group, Inc. 114,500 4,949,835 1.4% ---------------- ----------- 6,904,979 1.9% INTERNET -------- 1-800-FLOWERS.COM, Inc., Class "A"* 315,000 2,069,550 0.6% Avocent Corporation* 34,800 1,157,796 0.3% Blue Nile, Inc.* 42,175 1,575,236 0.4% eCollege.com* 72,600 1,455,630 0.4% Internet Capital Group, Inc.* 122,450 1,109,397 0.3% ---------------- ----------- 7,367,609 2.0% INVESTMENT COMPANIES -------------------- MCG Capital Corporation 308,575 4,813,770 1.3% ---------------- ----------- LEISURE TIME ------------ K2, Inc.* 300,000 3,570,000 1.0% ---------------- ----------- MACHINERY --------- Bucyrus International, Inc. 50,575 3,094,684 0.8% Intermec, Inc.* 138,400 4,826,008 1.3% ---------------- ----------- 7,920,692 2.1%
----------------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - SMALL CAP STOCK FUND Investment Portfolio January 31, 2006 (unaudited) ----------------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ METAL FABRICATE/HARDWARE ------------------------ Kaydon Corporation 118,000 3,945,920 1.1% ---------------- ----------- MULTIMEDIA ---------- Entravision Communications Corporation, Class "A"* 170,920 1,213,532 0.3% ---------------- ----------- OIL & GAS --------- Comstock Resources, Inc.* 154,000 4,928,000 1.3% Energy Partners, Ltd.* 144,000 4,042,080 1.1% Patterson-UTI Energy, Inc. 108,050 4,064,841 1.1% Swift Energy Company* 87,100 4,304,482 1.2% TODCO, Class "A" 15,000 669,000 0.2% Unit Corporation* 92,125 5,499,862 1.5% ---------------- ----------- 23,508,265 6.4% OIL & GAS SERVICES ------------------ Core Laboratories N.V.* 43,075 1,920,284 0.5% Tetra Technologies, Inc.* 39,300 1,559,424 0.4% ---------------- ----------- 3,479,708 0.9% PHARMACEUTICALS --------------- Connetics Corporation* 63,900 957,222 0.3% Dendreon Corporation* 122,600 619,130 0.2% KV Pharmaceutical Company, Class "A"* 223,600 5,377,580 1.4% Medicis Pharmaceutical Corporation, Class "A" 58,200 1,798,962 0.5% NBTY, Inc.* 69,250 1,432,782 0.4% ---------------- ----------- 10,185,676 2.8% PRINTING & PUBLISHING --------------------- John Wiley & Sons, Inc., Class "A" 148,200 5,616,780 1.5% ---------------- ----------- REITS ----- Aames Investment Corporation 191,000 1,249,140 0.3% Crescent Real Estate Equities Company 135,000 2,860,650 0.8% Highland Hospitality Corporation 376,500 4,540,590 1.2% Kite Realty Group Trust 184,150 2,904,046 0.8% ---------------- ----------- 11,554,426 3.1% RETAIL ------ Allion Healthcare, Inc.* 19,850 301,720 0.1% Brinker International, Inc. 136,500 5,555,550 1.5% Build-A-Bear Workshop, Inc.* 64,175 2,076,061 0.6% Cabela's Inc., Class "A"* 116,200 2,027,690 0.5% Cash America International, Inc. 239,525 6,345,017 1.7% CBRL Group, Inc. 100,200 4,398,780 1.2% Genesco Inc.* 125,325 4,881,409 1.3% Guitar Center, Inc.* 32,825 1,762,046 0.5% Red Robin Gourmet Burgers, Inc.* 64,800 2,571,912 0.7% School Specialty, Inc.* 20,000 751,000 0.2% Stage Stores, Inc. 128,400 3,812,196 1.0% United Auto Group, Inc. 85,500 3,274,650 0.9% ---------------- ----------- 37,758,031 10.2% SAVINGS & LOANS --------------- Commercial Capital Bancorp, Inc. 182,000 2,841,020 0.8% ---------------- ----------- SEMICONDUCTOR EQUIPMENT ----------------------- ATMI, Inc.* 40,625 1,365,000 0.4% Integrated Device Technology, Inc.* 266,000 3,694,740 1.0% Mattson Technology, Inc.* 170,000 2,210,000 0.6% ---------------- ----------- 7,269,740 2.0%
----------------------------------------------------------------------------------------------------------------------- HERITAGE SERIES TRUST - SMALL CAP STOCK FUND Investment Portfolio January 31, 2006 (unaudited) ----------------------------------------------------------------------------------------------------------------------- % OF NET SHARES VALUE ASSETS ------ ----- ------ SOFTWARE -------- ANSYS, Inc.* 91,950 4,032,927 1.1% Datastream Systems, Inc.* 342,450 3,417,651 0.9% Eclipsys Corporation* 79,875 1,762,042 0.5% Global Payments Inc. 66,275 3,375,386 0.9% infoUSA Inc. 403,000 4,416,880 1.2% MoneyGram International, Inc. 197,500 5,245,600 1.4% Netsmart Technologies, Inc.* 131,075 1,700,043 0.5% Per-Se Technologies, Inc.* 60,450 1,503,392 0.4% Trident Microsystems, Inc.* 76,000 1,985,120 0.5% ---------------- ----------- 27,439,041 7.4% TELECOMMUNICATIONS ------------------ CommScope, Inc.* 347,000 7,672,170 2.1% EMS Technologies, Inc.* 128,700 2,211,065 0.6% Ixia* 131,175 1,652,805 0.4% Polycom, Inc.* 100,000 1,938,000 0.5% Tekelec* 186,200 2,914,030 0.8% ---------------- ----------- 16,388,070 4.4% Total Common Stocks (cost $253,448,919) 347,061,561 94.0% ---------------- ----------- REPURCHASE AGREEMENT Repurchase Agreement with State Street Bank and Trust Company, dated January 31, 2006 @ 4.25% to be repurchased at $27,309,224 on February 1, 2006, collateralized by $18,415,000 United States Treasury Bonds, 10.625% due August 15, 2015, (market value $27,882,274 including interest) (cost $27,306,000) . . . . . . . . . . . . . . . 27,306,000 7.4% ---------------- ----------- TOTAL INVESTMENT PORTFOLIO (COST $280,754,919) (a) 374,367,561 101.4% OTHER ASSETS AND LIABILITIES, NET, (5,302,292) -1.4% ---------------- ----------- NET ASSETS $ 369,065,269 100.0% ================ ===========
-------- * Non-income producing security. (a) The aggregate identified cost for federal income tax purposes is the same. Market value includes net unrealized appreciation of $93,612,642 which consists of aggregate gross unrealized appreciation for all securities in which there is an excess of market value over tax cost of $99,901,711 and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over market value of $6,289,069. - 2 - ITEM 2. CONTROLS AND PROCEDURES (a) Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940), the Principal Executive Officer and Principal Financial Officer of HERITAGE SERIES TRUST have concluded that such disclosure controls and procedures are effective as of a date within 90 days of the filing date of this Form N-Q. (b) There was no change in the internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 Act) of HERITAGE SERIES TRUST that occurred during the most recent fiscal quarter that has materially affected or is reasonably likely to materially affect, its internal controls over financial reporting. ITEM 3. EXHIBITS (a) Certifications of the Principal Executive Officer and Principal Financial Officer of HERITAGE SERIES TRUST as required by Rule 30a-2(a) under the Investment Company Act of 1940. - 3 - 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. HERITAGE SERIES TRUST Date: March 29, 2006 /s/ K.C. Clark --------------------- K.C. Clark Executive Vice President and Principal Executive Officer Pursuant to the requirement 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. Date: March 29, 2006 /s/ K.C. Clark --------------------- K.C. Clark Executive Vice President and Principal Executive Officer Date: March 29, 2006 /s/ Andrea N. Mullins --------------------- Andrea N. Mullins Principal Financial Officer and Treasurer - 4 -