N-30D 1 dn30d.txt THE HIRTLE CALLAGHAN TRUST - ANNUAL REPORT == ------------------------------------------------------------- ------------- THE HIRTLE CALLAGHAN TRUST - Annual Report ------------------------------------------------------------- -------------
June 30, 2002 We are pleased to present the June 30, 2002 annual report for The Hirtle Callaghan Trust. The Hirtle Callaghan Trust (the Trust), a diversified open-end management investment company, was organized by Hirtle Callaghan & Co., Inc. to enhance Hirtle Callaghan's ability to acquire the services of independent, specialist money management organizations for the clients Hirtle Callaghan serves. The Trust currently consists of eight separate investment portfolios ("the Portfolios"). Day-to-day portfolio management services are provided to each of the Trust's Portfolios by one or more independent money management organizations (specialist managers), selected by, and under the general supervision of the Trust's Board of Trustees. Shares of the Trust are available exclusively to investors who are clients of Hirtle Callaghan or clients of financial intermediaries, such as investment advisers, acting in a fiduciary capacity with investment discretion, that have established relationships with Hirtle Callaghan. The Trust currently consists of eight separate Portfolios, as listed below: == The Portfolios The Value Equity Portfolio, seeks total return by investing in a diversified portfolio of equity securities of large companies with relatively low price-earnings ratios and high dividend yields. The Growth Equity Portfolio, seeks capital appreciation by investing in a diversified portfolio of equity securities of large and mid-capitalization companies with superior prospects for earnings growth. The Small Capitalization Equity Portfolio, seeks capital appreciation by investing in a diversified portfolio of equity securities of small-capitalization companies. The International Equity Portfolio, seeks total return by investing in a diversified portfolio of equity securities of companies based in developed countries other than the United States of America. The Fixed Income Portfolio, seeks current income by investing in a diversified portfolio of debt securities, including U.S. and non-U.S. government securities, corporate debt securities, and asset-backed issues. The Intermediate Term Municipal Bond Portfolio, seeks current income exempt from Federal income tax by investing in securities issued by municipalities and related entities. The Fixed Income II Portfolio, seeks to achieve above-average total return over a market cycle of three to five years by investing primarily in fixed income securities, including U.S. Government securities, investment grade corporate bonds and mortgage-backed or asset-backed securities. The High Yield Bond Portfolio, seeks to achieve above-average total return over a market cycle of three to five years by investing in high yield securities (commonly referred to as "junk bonds"). The following discussion summarizes those factors, including relevant market conditions and the investment strategies and techniques of each of the Investment Managers that materially affected the performance of the respective Portfolios during the Trust's fiscal year ended June 30, 2002. Economic Summary "Irrational exuberance" combined with "insidious greed" during the last few years, and the two produced a market and psychology bubble that carried our U.S. markets to valuation levels that discounted perfection to infinity. It has been a long time since a true bubble was burst and today's investment practitioners are, for the most part, reading about what happened rather than remembering it. Either way, it is hard to appreciate how long it takes for a true bubble to not only burst (that happens quickly) but for the effects to filter through our world's economies. The length of the adjustment to the telecommunications, media, and technology bubble bursting, combined with the terrorist attacks of September 11th, has most likely carried us into "irrational pessimism" territory. This form of pessimism is also a long time between occurrences. Today's economy is, statistically, in reasonably good shape. Whether you look at retail sales, factory orders, home sales, unemployment claims, or most other coincident or leading indicators, if you were not living through it, you would conclude that our economy was in a recovery mode. The problem is psychology and what that does (and can do) to our reaction to the recovery. Today's experience feels much like the very short recession environment of October 1981--March 1982 (just barely a recession). In 1982 the markets did not look forward; they waited for more evidence (or for the other shoe to drop), and a rally did not occur until several months after the recession was statistically defined as having ended. In 1982 everyone was worried about another OPEC crisis and the resurgence of stagflation. Today it is terrorism--external terrorism from abroad and internal terrorism from a corrupt corporate system and a regulatory system unable to cope. This time around we are in a "show me" market that needs real, reported, clean corporate earnings that appear to be sustainable. Like all past periods of corporate excess (remember the Milken period of excess financing for weak mergers or the S&L scandals?) the exposure and meltdown has been relatively rapid but the psychological recovery is taking much longer. We are now in the hangover phase of our twin terrors and we will require firm evidence of a true recovery before we discount much into the future. The table below shows the results of a very difficult economic and psychological environment. Our recent economic experiences included a serious compression of economic growth from unsustainable heights. We are now in serious bear market territory. The consumer has held the key to today's economic strengths and that must transition to the industrial sector. We are in a delicate phase of the recovery and it may be some time before we gain confidence that our economic environment has staying power. Meanwhile, the markets have corrected to relative equilibrium in terms of valuations given the low interest rate environment we are in. For most practitioners this low interest rate and inflation environment is a brand new experience and it will take some getting used to. Economic/Capital Markets Commentary
1FQ02 2FQ02 3FQ02 4FQ02 Fiscal 02 ------- ------ ----- ------- --------- S&P 500 Stock Index/1/.................. -14.68% 10.69% 0.27% -13.40% -17.99% Russell 1000(R) Index/2/................ -15.24% 11.12% 0.74% -13.46% -17.89% Russell 2000(R) Index/2/................ -20.79% 21.08% 3.99% -8.35% -8.60% MSCI EAFE Index/3/...................... -14.00% 6.97% 0.51% -2.12% -9.49% Lehman Aggregate Bond Index/4/.......... 4.62% 0.04% 0.09% 3.70% 8.63% CS First Boston High Yield Bond Index/5/ -3.97% 5.66% 2.52% -2.30% 1.62%
In this report, performance comparisons for each Portfolio are provided relative to their appropriate benchmarks. In addition, the discussion includes comparisons between the performance achieved by the Portfolios against an indicator, compiled by an independent statistical monitoring organization, Lipper Inc. The Lipper organization compiles performance on mutual funds and further categorizes them by investment objective. 1 -------- /1/ The S&P 500 Stock Index is an unmanaged index of 500 blue-chip stocks. /2 /Each of the Russell indices is a market cap-weighted index of common stocks domiciled in the US. These and other stock indices are widely used in investment management as a performance standard for active managers and as a proxy for asset allocation purposes. The Russell 3000(R) Index is constructed by ranking US common stocks ranked from largest to smallest market capitalization, and including in the index the top 3,000 stocks. The largest 1,000 stocks become the Russell 1000(R) Index and the next 2,000 stocks are included in the Russell 2000(R) Index. Unlike the S&P 500 Stock Index, however, the Russell indices are reconstituted each year. /3/ The Morgan Stanley Capital International Europe, Australasia, and Far East Index ("MSCI EAFE Index") which covers Europe, Australia, and the Far East, is an unmanaged, market value weighted index designed to measure the overall condition of developed overseas equities markets. /4 /The Lehman Brothers Aggregate Bond Index includes more than 5,000 taxable government, investment-grade corporate and mortgage backed securities. /5/ The Credit Suisse / First Boston ("CSFB") High Yield Index is designed to mirror the investible universe of the US dollar-denominated high yield debt market. It is comprised of over 1,600 corporate debt issues, including cash-pay, zero-coupon, stepped-rate and pay-in-kind ("PIK") bonds. Floating-rate and convertible issues, as well as preferred stock are not included. 2 The Value Equity Portfolio The investment objective of the Value Equity Portfolio (the "Portfolio") is to provide total return consisting of capital appreciation and current income. In accordance with its investment policies, the Portfolio is oriented toward large capitalization equities with relatively lower price-earnings ratios and higher dividend income than the average range for stocks included in the Standard & Poor's 500 Stock Index. The Portfolio is benchmarked against the Russell 1000 Value Index/6/. During the period covered by this Annual Report, the Portfolio's specialist managers were Institutional Capital Corporation (ICAP) and SSgA Funds Management, Inc. (SSgA). ICAP employs a bottom-up stock picking approach, which is designed to be less sensitive to the structure of the index, but consistent with basic value-oriented strategies. SSgA employs a passive, or index replication, approach to construct its portfolio. As can be seen from the table below, both managers constructed portfolios whose characteristics are consistent with the Trust's policies.
P/E Ratio Yield Average Market Cap --------- ----- ------------------ Russell 1000(R) Value Index 26.4x 2.30% $57.5 billion Total Portfolio............ 25.5x 2.00% $52.8 billion ICAP....................... 25.1x 1.90% $48.7 billion SSgA....................... 25.9x 2.20% $58.3 billion
Source: Evaluation Associates For the fiscal year ended June 30, 2002, the Portfolio had a total return of -10.42%, which compares to the Russell 1000(R) Value Index of -8.95%. ICAP's performance was negatively impacted by stock selection. Specifically hard hit were health care stocks and Tyco (one of the victims of the heightened sensitivity to accounting issues). We present below a chart comparing the Value Equity Portfolio to the Russell 1000(R) Value Index and the Lipper peer group. The comparison below is an average performance result for a group of value managers who are considered to be a peer group of the Value Equity Portfolio managers. [CHART] HC Trust Value Equity Russell 1000/R/ Lipper Average Portfolio Value Index Large Cap Value --------------- --------------- --------------- -10.42% -8.95% -13.43% -------- /6/ The Russell 1000(R) Value Index measures the performance of those companies included in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth rates. 3 [CHART] Value Equity Portfolio Russell 1000/R/ Value Index ---------------------- --------------------------- 8/25/1995 $10,000 $10,000 12/31/1995 10,960 11,049 6/30/1996 11,728 11,876 12/31/1996 13,288 13,440 6/30/1997 15,867 15,817 12/31/1997 17,390 18,169 6/30/1998 19,582 20,377 12/31/1998 18,980 21,008 6/30/1999 21,357 23,712 12/31/1999 21,047 22,552 6/30/2000 20,260 21,597 12/31/2000 22,351 24,133 6/30/2001 22,171 23,828 12/31/2001 21,655 22,784 6/30/2002 19,860 21,696 Average Annual Return As of June 30, 2002 Since Inception 1 Year 5 Year (8/25/95) ------ ------ --------- (10.42)% 4.59% 10.54% The chart represents historical performance of a hypothetical investment of $10,000 in the Hirtle Callaghan Value Equity Portfolio from 8/25/95 to 6/30/02, and represents the reinvestment of dividends and capital gains in the Portfolio. The Portfolio's performance above is compared to the Russell 1000(R) Value Index. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. An investor cannot invest directly in an index. The performance of the Hirtle Callaghan Value Equity Portfolio reflects the deduction of fees for these value-added services. Past performance is not predictive of future results. The investment return and NAV will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than the original cost. 4 The Growth Equity Portfolio The investment objective of the Growth Equity Portfolio (the "Portfolio") is to provide capital appreciation, with income as a secondary consideration. In accordance with its investment policies, the Portfolio is oriented toward large capitalization, equity securities with an emphasis on long-term earnings growth potential and relatively higher price-earnings ratios and lower dividend yields than the average range for stocks included in the Standard & Poor's 500 Stock Index. The Portfolio is benchmarked against the Russell 1000 Growth Index/7/. During the period covered by this Annual Report, the Portfolio's specialist managers were Jennison Associates LLC (Jennison) and SSgA Funds Management, Inc. (SSgA). Jennison, which has served the Portfolio since its inception, employs a bottom-up stock picking approach, which concentrates on the largest, fastest growing multinational companies in the large capitalization growth area. SSgA employs a passive, or index replication, approach to construct its portfolio. As can be seen from the table below, both managers constructed portfolios whose characteristics are consistent with the Trust's policies.
P/E Ratio Yield Average Market Cap --------- ----- ------------------ Russell 1000(R) Growth Index....... 33.8x 1.00% $93.6 billion Total Portfolio.................... 39.8x 0.90% $84.1 billion Jennison........................... 43.5x 0.80% $73.0 billion SSgA............................... 34.3x 0.90% $100.7 billion
Source: Evaluation Associates For the fiscal year ended June 30, 2002, the Portfolio had a total return of -25.37%, which compares to the Russell 1000(R) Growth Index return of -26.48%. Jennison performed favorably compared to the benchmark, as the Portfolio became more defensive in response to the difficult earnings environment. Emphasis on consumer discretionary stocks has added relative return to the portfolio. We present below a chart comparing the Growth Equity Portfolio compared to the Russell 1000(R) Growth Index and the Lipper peer group. The comparison below is an average performance result for a group of growth managers who are considered to be a peer group of the Growth Equity Portfolio managers. [CHART] HC Trust Growth Russell 1000/R/ Lipper Average Equity Portfolio Growth Index Large Cap Growth ----------------- --------------- ------------------ -25.37% -26.48% -25.53% -------- /7/ The Russell 1000(R) Growth Index measures the performance of those companies included in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth rates. 5 [CHART] Growth Equity Portfolio Russell 1000/R/ Growth Index ----------------------- ---------------------------- 8/8/1995 $10,000 $10,000 12/31/1995 10,240 10,949 6/30/1996 11,169 12,271 12/31/1996 12,299 13,481 6/30/1997 13,830 16,117 12/31/1997 15,748 17,591 6/30/1998 18,947 21,176 12/31/1998 20,872 24,400 6/30/1999 24,019 26,950 12/31/1999 29,672 32,491 6/30/2000 30,675 33,867 12/31/2000 23,620 25,205 6/30/2001 20,542 21,616 12/31/2001 19,053 20,058 6/30/2002 15,331 15,890 Average Annual Return As of June 30, 2002 Since Inception 1 Year 5 Year (8/8/95) ------ ------ --------- (25.37)% 2.08% 6.39% The chart represents historical performance of a hypothetical investment of $10,000 in the Hirtle Callaghan Growth Equity Portfolio from 8/8/95 to 6/30/02, and represents the reinvestment of dividends and capital gains in the Portfolio. The Portfolio's performance above is compared to the Russell 1000(R) Growth Index. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. An investor cannot invest directly in an index. The performance of the Hirtle Callaghan Growth Equity Portfolio reflects the deduction of fees for these value-added services. Past performance is not predictive of future results. The investment return and NAV will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than the original cost. 6 The Small Capitalization Equity Portfolio+ The investment objective of the Small Capitalization Equity Portfolio (the "Portfolio") is to provide long-term capital appreciation by investing primarily in equity securities of smaller companies, and the Portfolio is benchmarked against the Russell 2000 Index. As of June 30, 2002, the Portfolio's specialist managers were Frontier Capital Management Co. (Frontier), Sterling Johnston Capital Management, Inc. (Sterling Johnston), and Geewax, Terker & Co. (Geewax). Geewax is the quantitative (top-down) manager in this portfolio, while Frontier and Sterling Johnston are both bottom-up stock pickers. All three managers are concentrating on the smaller capitalization sector of the U.S. equities market. As can be seen from the table below, each manager has constructed portfolios whose characteristics are consistent with the Trust's policies.
P/E Ratio Yield Average Market Cap --------- ----- ------------------ Russell 2000(R) Index 29.0x 1.20% $0.7 billion Total Portfolio...... 28.9x 0.70% $1.2 billion Frontier............. 33.7x 0.40% $1.7 billion Sterling Johnston.... 30.2x 0.30% $0.8 billion Geewax............... 22.4x 1.70% $0.8 billion
Source: Evaluation Associates For the fiscal year ended June 30, 2002, the Portfolio had a total return of -11.88%, which compares to the Russell 2000 Index return of -8.60%. The 2002 fiscal year, much like 2001, was one of very high volatility combined with negative growth stock performance. Frontier, one of our best longer-term performers, was especially negatively effected. Geewax, our value-oriented manager, performed relatively well, but the overall growth tilt of the Portfolio proved difficult given the negative macro environment for growth stocks. Nevertheless, the Portfolio provided diversification benefits to our shareholders' overall equity portfolios. We present below a chart comparing the Small Capitalization Equity Portfolio compared to the Russell 2000(R) Index and the Lipper peer group. The comparison below is an average performance result for a group of small capitalization managers who are considered to be a peer group of the Small Capitalization Equity Portfolio managers. [CHART] HC Trust Small Cap Russell 2000/R/ Lipper Average Equity Portfolio Index Small Cap Core ---------------- --------------- -------------- -11.88% -8.60% -3.97% -------- + Small capitalization funds typically carry additional risks since smaller companies generally have a higher risk of failure. 7 [CHART] Small Capitalization Equity Portfolio Russell 2000/R/ Index ------------------------------------- --------------------- 9/5/1995 $10,000 $10,000 12/31/1995 9,981 10,399 6/30/1996 11,182 11,477 12/31/1996 12,623 12,114 6/30/1997 13,406 13,350 12/31/1997 15,020 14,823 6/30/1998 15,102 15,553 12/31/1998 14,408 14,445 6/30/1999 15,817 15,786 12/31/1999 14,967 17,515 6/30/2000 19,646 18,047 12/31/2000 18,461 16,986 6/30/2000 18,925 18,165 12/31/2001 17,978 17,408 6/30/2002 16,678 16,590 Average Annual Return As of June 30, 2002 Since Inception 1 Year 5 Year (9/5/95) ------ ------ --------- (11.88)% 4.46% 7.79% The chart represents historical performance of a hypothetical investment of $10,000 in the Hirtle Callaghan Small Capitalization Equity Portfolio from 9/5/95 to 6/30/02, and represents the reinvestment of dividends and capital gains in the Portfolio. The Portfolio's performance above is compared to the Russell 2000(R) Index, which represents the performance of domestically traded common stocks of small to mid-sized companies. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. An investor cannot invest directly in an index. The performance of the Hirtle Callaghan Small Capitalization Equity Portfolio reflects the deduction of fees for these value added services. Past performance is not predictive of future results. The investment return and NAV will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than the original cost. Equity securities of smaller companies may involve greater risk than is customarily associated with investments in larger, more established companies. 8 The International Equity Portfolio++ The investment objective of the International Equity Portfolio (the "Portfolio") is to maximize total return, consisting of capital appreciation and current income, by investing primarily in a diversified portfolio of equity securities of non-U.S. issuers. The International Equity Portfolio is benchmarked against the Morgan Stanley Capital International Europe, Australasia and Far East Index (MSCI EAFE Index). As of June 30, 2002, the specialist managers of Portfolio were Artisan Partners, LP (Artisan) and Capital Guardian Trust Company (CapGuardian). The following table lists key portfolio statistics relevant to the assignment:
P/E Ratio Yield Average Market Cap --------- ----- ------------------ MSCI EAFE Index 31.1x 2.50% $41.9 billion Total Portfolio 31.6x 2.20% $29.3 billion Artisan........ 30.3x 2.40% $27.9 billion CapGuardian.... 33.1x 2.10% $30.9 billion
Source: Evaluation Associates For the fiscal year ended June 30, 2002, the Portfolio had a total return of -7.05%, which compares to the MSCI EAFE Index return of -9.49%. Both CapGuardian and Artisan performed well within the Portfolio. Artisan's out-performance can be attributed to an underweight in Japan and superior security selection. CapGuardian's excess return was a result of superior security selection and favorable country selection. These things, combined with the weakness of the dollar, produced not only good results relative to MSCI EAFE but provided diversification benefits to our shareholders' overall equity portfolios. We present below a chart comparing the International Equity Portfolio compared to the MSCI EAFE Index and the Lipper peer group. The comparison below is an average performance result for a group of developed international managers who are considered to be a peer group of the International Equity Portfolio managers. [CHART] HC Trust International Lipper Average Equity Portfolio MSCI EAFE Index International ---------------------- --------------- -------------- -7.05% -9.49% -10.17% -------- ++ International investing involves increased risk and volatility. 9 [CHART] International Equity MSCI EAFE Portfolio Index -------------------- --------- 8/17/1995 $10,000 $10,000 12/31/1995 10,714 10,618 6/30/1996 11,515 11,115 12/31/1996 12,198 11,294 6/30/1997 13,773 12,578 12/31/1997 12,872 11,527 6/30/1998 14,589 13,381 12/31/1998 14,875 13,871 6/30/1999 15,345 14,441 12/31/1999 19,303 17,636 6/30/2000 18,897 16,919 12/31/2000 15,960 13,086 6/30/2001 14,197 12,973 12/31/2001 13,422 11,942 6/30/2002 13,195 11,778 Average Annual Return As of June 30, 2002 Since Inception 1 Year 5 Year (8/17/95) ------ ------ --------- (7.05)% (0.86)% 4.12% The chart represents historical performance of a hypothetical investment of $10,000 in the Hirtle Callaghan International Equity Portfolio from 8/17/95 to 6/30/02, and represents the reinvestment of dividends and capital gains in the Portfolio. The Portfolio's performance above is compared to the MSCI EAFE Index, which represents the performance of the major stock markets in those regions. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. An investor cannot invest directly in an index. The performance of the Hirtle Callaghan International Equity Portfolio reflects the deduction of fees for these value-added services. Past performance is not predictive of future results. The investment return and NAV will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than the original cost. Investments in securities of foreign issuers may involve risks not ordinarily associated with investment in domestic securities. 10 The Fixed Income Portfolio The investment objective of the Fixed Income Portfolio (the "Portfolio") is to provide a high level of current income consistent with the preservation of capital. The Portfolio seeks to achieve this objective by investing primarily in a diversified portfolio of intermediate-term fixed income securities, but may purchase securities with any stated maturity. As of June 30, 2002, the Portfolio was managed by Deutsche Asset Management, Inc. (Deutsche). The following table lists key portfolio statistics relevant to the assignment:
Average Maturity Duration Yield to Maturity Credit Rating --------- --------- ----------------- ------------- Lehman Brothers Aggregate Bond Index....................... 7.8 Years 4.3 Years 5.3% AAA Total Portfolio............... 7.1 Years 4.6 Years 5.3% AA+
Source: Evaluation Associates & Deutsche Asset Management For the fiscal year ended June 30, 2002, the Portfolio had a total return of 9.11%, which compares to the Lehman Brothers Aggregate Bond Index return of 8.63%. In addition to superior security selection, the portfolio outperformed its benchmark due to the avoidance of lower rated corporate bonds in favor of select corporate investment grade securities of companies with less leverage. We present below a chart comparing the Fixed Income Portfolio compared to the Lehman Brothers Aggregate Bond Index and the Lipper peer group. The comparison below is an average performance result for a group of fixed income managers who are considered to be a peer group of the Fixed Income Portfolio manager. [CHART] HC Trust Fixed Lehman Brothers Lipper Average Income Portfolio Aggregate Bond Index Intermediate Taxable ---------------- -------------------- -------------------- 9.11% 8.63% 6.72% 11 [CHART] Fixed Income Portfolio Lehman Brothers ---------------------- --------------- 7/1/1998 $10,000 $10,000 12/31/1998 $10,456 $10,458 6/30/1999 $10,288 $10,313 12/31/1999 $10,332 $10,371 6/30/2000 $10,750 $10,784 12/31/2000 $11,606 $11,578 6/30/2001 $12,042 $11,995 12/31/2001 $12,648 $12,553 6/30/2002 $13,140 $13,030 Average Annual Return As of June 30, 2002 Since Inception 1 Year 3 Year (7/1/98) ------ ------ --------- 9.11% 8.50% 7.07% The chart represents historical performance of a hypothetical investment of $10,000 in the Hirtle Callaghan Fixed Income Portfolio from 7/1/98 to 6/30/02, and represents the reinvestment of dividends and capital gains in the Portfolio. The Portfolio's performance is compared to the Lehman Brothers Aggregate Bond Index. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. An investor cannot invest directly in an index. The performance of the Hirtle Callaghan Fixed Income Portfolio reflects the deduction of fees for these value-added services. Past performance is not predictive of future results. The investment return and NAV will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than the original cost. 12 The Intermediate Term Municipal Bond Portfolio The investment objective of the Intermediate Term Municipal Bond Portfolio (the "Portfolio") is to provide a high level of current income exempt from Federal income tax, consistent with the preservation of capital. The Portfolio seeks to achieve this objective by investing primarily in a diversified portfolio of intermediate-term fixed income securities issued by municipalities and related entities, the interest on which is exempt from regular Federal income tax, which are referred to as "Municipal Securities." A portion of income may be subject to some state and/or local taxes and for certain investors, a portion may be subject to the federal alternative minimum tax. As of June 30, 2002, the Portfolio was managed by Deutsche. The following table lists key portfolio statistics relevant to the assignment:
Average Maturity Duration Yield to Maturity Credit Rating --------- --------- ----------------- ------------- Lehman Brothers 5 Year GO Bond Index/8/.................... 4.9 Years 3.9 Years 3.2% AA Total Portfolio............... 5.8 Years 4.5 Years 4.0% AA
Source: Evaluation Associates & Deutsche Asset Management For the fiscal year ended June 30, 2002, the Portfolio had a total return of 6.16%, which compares to the Lehman Brothers 5 Year GO Bond Index return of 7.01%. The Portfolio trailed the benchmark as a result of high demand for large, very liquid general obligation bonds that propelled the index during the period. Deutsche believes that these general obligation bonds are not the most attractive municipal bonds and therefore has underweighted them versus the index. Deutsche has, for example, purchased multi-family housing municipal bonds which offer a significant yield advantage over general obligation bonds, but that have not yet benefited from improved pricing. We present below a chart comparing the Intermediate Term Municipal Bond Portfolio compared to the Lehman Brothers 5 Year GO Bond Index and the Lipper peer group. The comparison below is an average performance result for a group of municipal bond managers who are considered to be a peer group of the Intermediate Term Municipal Bond Portfolio manager. [CHART] HC Trust Intermediate Term Municipal Lehman Bros. 5 Year Lipper Average Portfolio GO Bond Index Intermediate Municipal --------------------- ------------------- ---------------------- 6.16% 7.01% 6.00% -------- 8 The Lehman Brothers 5 Year GO Index is an unmanaged index of municipal securities that is widely recognized as an indicator of performance of types of securities in which this portfolio invests. 13 [CHART] Intermediate Term Lehman Brothers 5 Year Municipal Bond Portfolio GO Bond Index ------------------------ ---------------------- 7/1/1998 $10,000 $10,000 12/31/1998 10,283 10,347 6/30/1999 10,244 10,325 12/31/1999 10,178 10,415 6/30/2000 10,494 10,687 12/31/2000 11,061 10,994 6/30/2001 11,397 11,402 12/31/2001 11,647 11,650 6/30/2002 12,100 12,201 Average Annual Return As of June 30, 2002 Since Inception 1 Year 3 Year (7/1/98) ------ ------ --------- 6.16% 5.71% 4.88% The chart represents historical performance of a hypothetical investment of $10,000 in the Hirtle Callaghan Intermediate Term Municipal Bond Portfolio from 7/1/98 to 6/30/02, and represents the reinvestment of dividends and capital gains in the Portfolio. The Portfolio's performance is compared to the Lehman Brothers 5 Year GO Bond Index. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. An investor cannot invest directly in an index. The performance of the Hirtle Callaghan Intermediate Term Municipal Bond Portfolio reflects the deduction of fees for these value-added services. Past performance is not predictive of future results. The investment return and NAV will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than the original cost. 14 The Fixed Income II Portfolio The investment objective of the Fixed Income II Portfolio (the "Portfolio") is to achieve above-average total return over a market cycle of three to five years. The Portfolio seeks to achieve this objective by investing primarily in fixed income securities including U.S. Government securities, investment grade corporate bonds and mortgage-backed or asset-backed securities. As of June 30, 2002, the Portfolio was managed by Morgan Stanley Investment LP (Morgan Stanley) and BlackRock Advisors, Inc. (BlackRock). A decision was made during the fiscal year to augment the Morgan Stanley management team; therefore on February 1, 2002, BlackRock was given management responsibilities along with Morgan Stanley. Currently, BlackRock manages approximately 30% of the portfolio, with the ultimate goal being to have an equal distribution of assets between BlackRock and Morgan Stanley. The following table lists key portfolio statistics relevant to the assignment:
Average Maturity Duration Yield to Maturity Credit Rating --------- --------- ----------------- ------------- Lehman Brothers Aggregate Bond Index....................... 7.8 Years 4.3 Years 5.3% AAA Total Portfolio............... 8.4 Years 4.4 Years 6.0% AA+ Morgan Stanley................ 9.0 Years 4.4 Years 6.5% AA+ BlackRock..................... 7.1 Years 4.5 Years 5.0% AA+
Source: Evaluation Associates, Morgan Stanley, & BlackRock For the fiscal year ended June 30, 2002, the Portfolio had a total return of 7.74%, which compares to the Lehman Brothers Aggregate Bond Index return of 8.63%. The Portfolio trailed the benchmark due to Morgan Stanley's and BlackRock's underexposure to Treasury securities. Morgan Stanley favored investment grade corporate securities which struggled relative to Treasury bonds as accounting controversies and sharp declines in equity markets unfavorably impacted yield spreads. Bond selection in corporates and mortgages also detracted from relative performance for BlackRock. We present below a chart comparing the Fixed Income II Portfolio compared to the Lehman Brothers Aggregate Bond Index and the Lipper peer group. The comparison below is an average performance result for a group of fixed income managers who are considered to be a peer group of the Fixed Income II Portfolio managers. [CHART] HC Trust Fixed Lehman Brothers Lipper Average Income II Portfolio Aggregate Bond Index Intermediate Taxable ------------------- -------------------- -------------------- 7.74% 8.63% 6.72% 15 [CHART] Fixed Income II Portfolio LB Aggregate Bond TR (Index) ------------------------- --------------------------- 9/26/2000 $10,000 $10,000 9/30/2000 $10,019 $10,000 12/31/2000 $10,363 $10,421 3/31/2001 $10,745 $10,737 6/30/2001 $10,883 $10,797 9/30/2001 $11,280 $11,295 12/31/2001 $11,402 $11,299 3/31/2002 $11,394 $11,310 6/30/2002 $11,725 $11,729 Average Annual Return As of June 30, 2002 Since Inception 1 Year (9/26/00) ------ --------- 7.74% 9.47% The chart represents historical performance of a hypothetical investment of $10,000 in the Hirtle Callaghan Fixed Income II Portfolio from 9/26/00 to 6/30/02, and represents the reinvestment of dividends and capital gains in the Portfolio. The Portfolio's performance above is compared to the Lehman Brothers Aggregate Bond Index. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The performance of the Hirtle Callaghan Fixed Income II Portfolio reflects the deduction of fees for these value-added services. Past performance is not predictive of future results. The investment return and NAV will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than the original cost. 16 The High Yield Portfolio+++ The investment objective of the High Yield Portfolio (the "Portfolio") is to achieve above-average total return over a market cycle of three to five years. The Portfolio seeks to achieve this objective by investing in high yield securities (commonly referred to as "junk bonds"). As of June 30, 2002, the Portfolio was managed by Morgan Stanley. During the year, the high yield markets continued to struggle, as was also the case in the previous year. Telecom continued to experience difficulties and, more recently, the WorldCom, Tyco, Enron (etc.) experiences have made for a very challenging high yield bond landscape. Morgan Stanley continued to suffer with its holdings in telecom and technology but ended the fiscal year feeling that there was a great deal of performance potential embedded in its portfolio. With the start of the Trust's new fiscal year, and as part of the effort to expand the Portfolio's ability to monitor developments and opportunities in this challenging economic environment, the Trust has engaged W.R. Huff Asset Management Co., LLC as a second manager for the High Yield Portfolio. The following table lists key portfolio statistics relevant to the assignment as of June 30, 2002:
Average Maturity Duration Yield to Maturity Credit Rating --------- --------- ----------------- ------------- CSFB High Yield Bond Index......... 7.1 Years 4.1 Years 12.4% B Total Portfolio.................... 6.3 Years 4.0 Years 9.9% BB
Source: Evaluation Associates & Morgan Stanley For the fiscal year ended June 30, 2002, the Portfolio had a total return of -9.35%, which compares to the CSFB High Yield Bond Index return of 1.62%. The Portfolio was hard hit by its exposure to telecommunications, media, and technology (TMT). Exposure in TMT sectors versus other sectors of high yield bonds significantly detracted from performance. We present below a chart comparing the High Yield Portfolio compared to the CSFB High Yield Bond Index and the Lipper peer group. The comparison below is an average performance result for a group of fixed income managers who are considered to be a peer group of the High Yield Portfolio manager. [CHART] HC Trust High Yield CSFB High Yield Lipper Average Portfolio Bond Index High Yield ---------------- --------------- ----------------- -9.35% 1.62% -3.55% -------- +++ Investing in lower quality or "junk bonds" involves increased risk and volatility. 17 [CHART] High Yield CSFB High Yield Bond Portfolio Bond Index -------------- --------------- 9/30/2000 $10,000 $10,000 12/31/2000 9,494 9,235 3/31/2001 9,962 9,502 6/30/2001 9,900 9,088 9/30/2001 8,435 9,506 12/31/2001 8,834 10,043 3/31/2002 8,627 10,295 6/30/2002 8,235 10,058 Average Annual Return As of June 30, 2002 Since Inception 1 Year (9/26/00) ------ --------- (9.35)% (10.45)% The chart represents historical performance of a hypothetical investment of $10,000 in the Hirtle Callaghan High Yield Bond Portfolio from 9/26/00 to 6/30/02, and represents the reinvestment of dividends and capital gains in the Portfolio. The Portfolio's performance is compared to the CSFB High Yield Bond Index. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The performance of the Hirtle Callaghan High Yield Bond Portfolio reflects the deduction of fees for these value-added services. Past performance is not predictive of future results. The investment return and NAV will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than the original cost. 18 Conclusion We are pleased with the investment management teams we have retained on behalf of our shareholders. The table below depicts the longer-term (three-year) performance of our portfolios. (Note that the Fixed Income II Portfolio and the High Yield Portfolio do not yet have three-year track records as the inception date of these Portfolios was September 26, 2000.) [CHART] HC Trust Value Portfolio -2.39% vs. Russell 1000/R/ Value Index -2.92% HC Trust Growth Portfolio -13.90% vs. Russell 1000/R/ Growth Index -16.16% HC Trust Small Cap Portfolio 1.78% vs. Russell 2000/R/ Index 1.67% HC Trust International Portfolio -4.91% vs. MSCI EAFE Index -6.78% HC Trust Fixed Income Portfolio 8.50% vs. Lehman Brothers Aggregate Bond Index 8.11% HC Trust Intermediate Municipal Portfolio 5.71% vs. Lehman Brothers 5 Year GO Bond Index 6.43% You will note for the three-year period shown above that, with the exception of our Intermediate Municipal Bond Portfolio, the Portfolios have exceeded their index benchmarks. Short-term measurement periods (three years or less) expose one to periods of volatility and unique circumstances (such as the technology run-up and subsequent meltdown) that can distort a manager's apparent effectiveness. We try to eliminate this near-term "noise" by focusing on our Portfolios' longer-term records. You can rest assured that we are in a constant search for better, more efficient structures and managers. The supervision aspects of our business present constant challenges, and we continue to devote substantial resources to this effort. In addition, we have continued to concentrate on cost control. Each Portfolio is now operating well within the projected expense ratios, with total assets at the end of the fiscal year of $2.2 billion. We are optimistic about our ability to continue to drive down the expenses of these Portfolios. Every basis point of savings assists in maximizing returns for our shareholders. We remain grateful for your confidence in us and for your continuing support. We assure you that we will continue to work on your behalf to deliver the best long-term investment solutions available in the marketplace. Sincerely, /s/ Donald E. Callaghan Donald E. Callaghan President 19 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks -- 97.80% Institutional Capital Corp. -- 55.82% Aerospace/Defense -- 1.01% 30,500 General Dynamics Corp........... $ 3,243,675 ------------- Automobile Production -- 1.40% 84,150 General Motors Corp............. 4,497,818 ------------- Banking -- 4.91% 157,700 Bank One Corp................... 6,068,295 120,400 FleetBoston Financial Corp...... 3,894,940 116,950 Wells Fargo & Co................ 5,854,517 ------------- 15,817,752 ------------- Beverages -- 1.70% 105,950 Diageo PLC - ADR................ 5,472,318 ------------- Computer Software & Services -- 1.03% 89,550 Electronic Data Systems Corp.... 3,326,783 ------------- Computer Systems -- 0.82% 36,900 International Business Machines Corp........................... 2,656,800 ------------- Conglomerates -- 2.67% 125,400 Dow Chemical Co................. 4,311,252 121,367 Honeywell International, Inc.... 4,275,759 ------------- 8,587,011 ------------- Construction Materials & Supplies -- 1.17% 77,250 Caterpillar, Inc................ 3,781,388 ------------- Electronic Components & Instruments -- 3.04% 113,800 Intel Corp...................... 2,079,126 217,921 Koninklijke Philips Electronics NV - ADR....................... 6,014,620 278,200 Solectron Corp. (b)............. 1,710,930 ------------- 9,804,676 ------------- Financial Services -- 6.48% 191,762 Citigroup, Inc.................. 7,430,777 70,650 Fannie Mae...................... 5,210,437 62,900 Goldman Sachs Group, Inc........ 4,613,715 72,400 Household International, Inc.... 3,598,280 ------------- 20,853,209 ------------- Forest Products & Paper -- 1.02% 51,650 Weyerhaeuser Co................. 3,297,853 ------------- Health Care -- 1.29% 87,450 HCA, Inc........................ 4,153,875 ------------- Home Products -- 1.68% 87,450 Kimberly-Clark Corp............. 5,421,900 ------------- Hotels & Lodging -- 1.38% 279,600 Cendant Corp. (b)............... 4,440,048 ------------- Insurance -- 4.87% 28,850 Cigna Corp...................... 2,810,567 100,400 Loews Corp...................... 5,320,196
Security Shares Description Value ------ ----------- ----- Insurance (continued) 184,400 MetLife, Inc........................ $ 5,310,720 127,400 Travelers Property & Casualty Corp., Class A (b)........................ 2,254,980 ------------- 15,696,463 ------------- Media -- 2.42% 464,200 Liberty Media Corp., Class A (b).... 4,642,000 159,657 News Corp. Ltd. - ADR............... 3,153,226 ------------- 7,795,226 ------------- Medical Equipment & Supplies -- 1.06% 27,100 Becton, Dickinson & Co.............. 933,595 81,600 Guidant Corp. (b)................... 2,466,768 ------------- 3,400,363 ------------- Oil & Gas -- 4.96% 136,700 Conoco, Inc......................... 3,800,260 98,841 EnCana Corp......................... 3,024,535 128,823 Exxon Mobil Corp.................... 5,271,436 65,250 Phillips Petroleum Co............... 3,841,920 ------------- 15,938,151 ------------- Pharmaceuticals -- 2.54% 133,150 Bristol-Myers Squibb Co............. 3,421,955 193,100 Schering-Plough Corp................ 4,750,260 ------------- 8,172,215 ------------- Publishing & Printing -- 1.40% 59,482 Gannett Co., Inc.................... 4,514,684 ------------- Restaurants -- 1.71% 193,400 McDonald's Corp..................... 5,502,230 ------------- Retail -- 2.89% 81,500 Sears, Roebuck & Co................. 4,425,450 127,900 Target Corp......................... 4,872,990 ------------- 9,298,440 ------------- Telecommunications -- 2.59% 284,700 AT&T Corp........................... 3,046,290 132,194 Verizon Communications, Inc......... 5,307,589 ------------- 8,353,879 ------------- Utilities -- 1.78% 72,100 American Electric Power, Inc........ 2,885,442 67,450 Entergy Corp........................ 2,862,578 ------------- 5,748,020 ------------- Total -- Institutional Capital Corp. (cost $178,354,629)................ 179,774,777 ------------- SSgA Funds Management, Inc. -- 41.98% Advertising/Marketing -- 0.03% 652 Lamar Advertising Co. (b)........... 24,261 800 TMP Worldwide, Inc. (b)............. 17,200 1,490 Valassis Communications, Inc. (b)... 54,385 ------------- 95,846 -------------
See accompanying notes to financial statements. 20 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Aerospace/Defense -- 0.50% 8,324 Boeing Co............................ $ 374,580 2,813 Goodrich Corp........................ 76,851 8,399 Lockheed Martin Corp................. 583,731 2,779 Northrop Grumman Corp................ 347,375 7,812 Rockwell Collins, Inc................ 214,205 200 Titan Corp. (b)...................... 3,658 ------------- 1,600,400 ------------- Airlines & Services -- 0.12% 4,500 AMR Corp. (b)........................ 75,870 1,800 Continental Airlines, Class B (b).... 28,404 3,600 Delta Air Lines, Inc................. 72,000 100 Jetblue Airways Corp. (b)............ 4,556 1,600 Northwest Airlines Corp., Class A (b) 19,296 600 SkyWest, Inc......................... 14,034 11,089 Southwest Airlines Co................ 179,198 ------------- 393,358 ------------- Auto Parts -- 0.37% 800 American Axle & Manufacturing Holdings, Inc. (b).................. 23,792 2,812 Autoliv, Inc......................... 70,862 800 BorgWarner, Inc...................... 46,208 1,900 Cooper Tire & Rubber Co.............. 39,045 4,300 Dana Corp............................ 79,679 16,201 Delphi Automotive Systems Corp....... 213,853 5,067 Genuine Parts Co..................... 176,686 4,100 Goodyear Tire & Rubber Co............ 76,711 1,883 Lear Corp. (b)....................... 87,089 200 O'Reilly Automotive, Inc. (b)........ 5,512 3,150 Paccar, Inc.......................... 139,829 3,073 TRW, Inc............................. 175,100 3,800 Visteon Corp......................... 53,960 ------------- 1,188,326 ------------- Automobile Production -- 0.58% 52,266 Ford Motor Co........................ 836,256 16,129 General Motors Corp.................. 862,095 12,118 General Motors Corp., Class H (b).... 126,027 1,576 Navistar International Corp.......... 50,432 ------------- 1,874,810 ------------- Banking -- 6.04% 10,400 AmSouth Bancorporation............... 232,752 2,190 Associated Banc-Corp................. 82,585 2,434 Astoria Financial Corp............... 78,010 2,300 BancorpSouth, Inc.................... 46,460 44,358 Bank of America Corp................. 3,121,028 2,100 Bank of Hawaii Corp.................. 58,800 13,749 Bank of New York Co., Inc............ 464,029 33,873 Bank One Corp........................ 1,303,432
Security Shares Description Value ------ ----------- ----- Banking (continued) 4,200 Banknorth Group, Inc............. $ 109,284 13,830 BB&T Corp........................ 533,838 400 BOK Financial, Corp. (b)......... 13,384 600 Capitol Federal Financial........ 15,648 6,337 Charter One Financial, Inc....... 217,866 1,300 Citizens Banking Corp............ 37,674 1,148 City National Corp............... 61,705 3,500 Colonial BankGroup, Inc.......... 52,500 5,187 Comerica, Inc.................... 318,482 1,715 Commerce Bancshares, Inc......... 75,872 3,672 Compass Bancshares, Inc.......... 123,379 1,466 Cullen/Frost Bankers, Inc........ 52,703 1,400 First Midwest Bancorp, Inc....... 38,892 3,700 First Tennessee National Corp.... 141,710 1,400 First Virginia Banks, Inc........ 75,068 2,420 FirstMerit Corp.................. 66,744 30,144 FleetBoston Financial Corp....... 975,158 1,300 FNB Corp......................... 35,698 2,975 Fulton Financial Corp............ 56,317 2,099 Golden State Bancorp, Inc........ 76,089 1,100 Greater Bay Bancorp.............. 33,836 2,500 GreenPoint Financial Corp........ 122,750 4,618 Hibernia Corp.................... 91,390 2,000 Hudson City Bancorp, Inc......... 39,500 900 Hudson United Bancorp............ 25,704 7,100 Huntington Bancshares, Inc....... 137,882 1,500 Independence Community Bank Corp. 43,095 12,232 KeyCorp.......................... 333,934 2,300 M & T Bank Corp.................. 197,248 6,148 Marshall & Ilsley Corp........... 190,158 6,525 Mellon Financial Corp............ 205,081 2,000 Mercantile Bankshares Corp....... 82,060 17,562 National City Corp............... 583,937 5,910 National Commerce Financial Corp. 155,433 3,499 North Fork Bancorporation, Inc... 139,295 2,920 Northern Trust Corp.............. 128,655 1,760 Old National Bancorp............. 44,792 300 Park National Corp............... 25,800 700 People's Bank.................... 18,277 8,198 PNC Bank Corp.................... 428,591 3,960 Popular, Inc..................... 133,373 2,150 Roslyn Bancorp, Inc.............. 46,935 1,200 Silicon Valley Bancshares (b).... 31,632 2,000 Sky Financial Group, Inc......... 42,300 10,000 SouthTrust Corp.................. 261,200 7,550 Sovereign Bancorp, Inc........... 112,873 7,140 SunTrust Banks, Inc.............. 483,521 900 TCF Financial Corp............... 44,190 1,300 Trustmark Corp................... 33,215 55,159 U.S. Bancorp..................... 1,287,962 5,876 Union Planters Corp.............. 190,206 1,495 UnionBanCal Corp................. 70,041
See accompanying notes to financial statements. 21 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Banking (continued) 2,725 Valley National Bancorp............ $ 75,755 39,425 Wachovia Corp...................... 1,505,246 1,840 Washington Federal, Inc............ 46,478 28,126 Washington Mutual, Inc............. 1,043,755 1,400 Webster Financial Corp............. 53,536 44,961 Wells Fargo Co..................... 2,250,747 700 West America Bankcorporation....... 27,692 1,100 Whitney Holding Corp............... 33,814 1,900 Wilmington Trust Corp.............. 57,950 2,660 Zions Bancorp...................... 138,586 ------------- 19,463,532 ------------- Beverages -- 0.32% 844 Adolph Coors Co., Class B.......... 52,581 8,429 Anheuser-Busch Co., Inc............ 421,450 8,717 Coca-Cola Co....................... 488,152 400 Coca-Cola Enterprises, Inc......... 8,832 1,200 Constellation Brands, Inc., Class A (b)....................... 38,400 2,450 PepsiAmericas, Inc................. 36,603 ------------- 1,046,018 ------------- Biotechnology -- 0.04% 600 Genentech, Inc. (b)................ 20,100 800 Genzyme Corp. (b).................. 15,392 1,500 ICOS Corp. (b)..................... 25,440 3,500 Millenium Pharmaceuticals (b)...... 42,525 1,730 Quintiles Transnational Corp. (b).. 21,608 ------------- 125,065 ------------- Broadcasting -- 0.35% 2,264 Cablevision Systems Corp. (b)...... 21,417 1,300 Cablevision Systems Corp. - Rainbow Media Group (b)................... 11,375 2,765 Charter Communications, Inc. (b)... 11,281 7,443 Clear Channel Communications, Inc. (b).......................... 238,325 25,628 Comcast Corp., Class A (b)......... 610,972 5,705 Cox Communications, Inc., Class A (b)....................... 157,173 300 Cox Radio, Inc. (b)................ 7,230 57 Entercom Communications Corp. (b).. 2,616 1,300 Entravision Communications Corp., Class A (b)....................... 15,925 500 Hearst-Argyle Television, Inc. (b). 11,275 600 Hispanic Broadcasting Corp., Class A (b)....................... 15,660 1,000 Radio One, Inc. (b)................ 14,870 2,000 UnitedGlobalCom, Inc. (b).......... 5,500 820 USA Networks, Inc. (b)............. 19,229 ------------- 1,142,848 -------------
Security Shares Description Value ------ ----------- ----- Business Services -- 0.07% 400 Dun & Bradstreet Corp. (b)............. $ 13,220 300 Equifax, Inc........................... 8,100 100 Getty Images, Inc. (b)................. 2,177 100 Global Payments, Inc................... 2,975 4,200 IKON Office Solutions, Inc............. 39,480 700 Manpower, Inc.......................... 25,725 700 Polycom, Inc. (b)...................... 8,393 8,700 ServiceMaster Co....................... 119,364 500 Viad Corp.............................. 13,000 ------------- 232,434 ------------- Casinos/Gaming -- 0.05% 149 Harrah's Entertainment, Inc. (b)....... 6,608 1,020 Mandalay Resort Group (b).............. 28,121 1,810 MGM Grand, Inc. (b).................... 61,088 7,800 Park Place Entertainment Corp. (b)..... 79,950 ------------- 175,767 ------------- Chemicals -- 1.24% 6,600 Air Products & Chemicals, Inc.......... 333,102 800 Albemarle Corp......................... 24,600 1,580 Cabot Corp............................. 45,267 26,218 Dow Chemical Co........................ 901,375 28,612 E.I. Du Pont De Nemours & Co........... 1,270,372 2,200 Eastman Chemical Co.................... 103,180 3,750 Engelhard Corp......................... 106,200 2,300 Hercules, Inc. (b)..................... 26,680 3,100 IMC Global, Inc........................ 38,750 1,146 International Flavors & Fragrance, Inc. 37,234 1,459 Lubrizol Corp.......................... 48,877 1,100 Monsanto Co............................ 19,580 700 OM Group, Inc.......................... 43,400 4,852 PPG Industries, Inc.................... 300,339 4,663 Praxair, Inc........................... 265,651 4,500 Rohm & Haas Co......................... 182,205 3,700 Sherwin-Williams Co.................... 110,741 1,720 Sigma-Aldrich Corp..................... 86,258 1,000 Valspar Corp........................... 45,140 ------------- 3,988,951 ------------- Clothing/Apparel -- 0.19% 4,600 Burlington Industries, Inc............. 174,799 3,200 Jones Apparel Group, Inc. (b).......... 120,000 3,092 Liz Claiborne, Inc..................... 98,326 600 Nike, Inc., Class B.................... 32,190 2,689 Nordstrom, Inc......................... 60,906 900 Polo Ralph Lauren Corp. (b)............ 20,160 100 Talbots, Inc........................... 3,500 2,400 VF Corp................................ 94,104 ------------- 603,985 ------------- Computer Software & Services -- 0.68% 600 Acxiom Corp. (b)....................... 10,494 100 Advent Software, Inc. (b).............. 2,570
See accompanying notes to financial statements. 22 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Computer Software & Services (continued) 400 Alliance Data Systems Corp. (b)... $ 10,220 65,200 AOL-Time Warner, Inc. (b)......... 959,091 400 Applera Corp...................... 7,796 2,422 Autodesk, Inc..................... 32,092 3,100 BMC Software, Inc. (b)............ 51,460 861 Ceridian Corp. (b)................ 16,342 900 CheckFree Corp. (b)............... 14,076 700 Citrix Systems, Inc. (b).......... 4,228 11,500 Computer Associates International, Inc.............................. 182,735 4,257 Computer Sciences Corp. (b)....... 203,485 5,310 Compuware Corp. (b)............... 32,232 2,156 Electronic Data Systems Corp...... 80,095 28,200 EMC Corp. (b)..................... 212,909 600 Gtech Holdings Corp. (b).......... 15,324 4,000 i2 Technologies, Inc. (b)......... 5,920 1,500 Integrated Device Technology, Inc. (b)......................... 27,210 2,361 NCR Corp. (b)..................... 81,691 100 Perot Systems Corp., Class A (b).. 1,089 700 Rational Sotware Corp. (b)........ 5,747 400 RealNetworks, Inc. (b)............ 1,628 2,500 Storage Technology Corp. (b)...... 39,925 1,420 Sybase, Inc. (b).................. 14,981 3,300 Symbol Technologies, Inc.......... 28,050 300 Ticketmaster Online-CitySearch, Inc. (b)......................... 5,613 7,669 Unisys Corp. (b).................. 69,021 3,200 Verisign, Inc. (b)................ 23,008 1,700 Veritas Software Corp. (b)........ 33,643 4,376 WebMD Corp. (b)................... 24,637 ------------- 2,197,312 ------------- Computer Systems -- 0.17% 10,261 3Com Corp. (b).................... 45,148 10,305 Apple Computer, Inc. (b).......... 182,605 5,100 Gateway, Inc. (b)................. 22,644 1,700 Ingram Micro, Inc. (b)............ 23,375 48,200 Sun Microsystems, Inc. (b)........ 241,482 1,020 Tech Data Corp. (b)............... 38,607 ------------- 553,861 ------------- Conglomerates -- 1.09% 3,062 3M Co............................. 376,626 2,200 ALLETE, Inc....................... 59,620 5,800 Dover Corp........................ 203,000 4,300 Fortune Brands, Inc............... 240,800 1,000 Hawaiian Electric Industries, Inc. 42,550 21,470 Honeywell International, Inc...... 756,389 2,400 ITT Industries, Inc............... 169,440 1,378 Pentair, Inc...................... 66,254
Security Shares Description Value ------ ----------- ----- Conglomerates (continued) 11,503 Raytheon Co..................... $ 468,747 4,671 Rockwell International Corp..... 93,327 622 SPX Corp. (b)................... 73,085 700 Teleflex, Inc................... 40,005 1,254 Temple-Inland, Inc.............. 72,556 3,360 Textron, Inc.................... 157,584 8,559 United Technologies Corp........ 581,156 2,200 W.W. Grainger, Inc.............. 110,220 ------------- 3,511,359 ------------- Construction Materials & Supplies -- 0.33% 9,956 Caterpillar, Inc................ 487,346 1,973 Fluor Corp...................... 76,848 864 Lafarge Corp.................... 30,370 1,400 Martin Marietta Materials, Inc.. 54,600 7,205 Masco Corp...................... 195,328 3,300 RPM, Inc........................ 50,325 1,400 Timken Co....................... 31,262 2,570 Vulcan Materials Co............. 112,566 1,100 York International Corp......... 37,169 ------------- 1,075,814 ------------- Consumer Goods & Services -- 0.01% 400 Church & Dwight Co., Inc........ 12,532 1,300 Dial Corp....................... 26,026 ------------- 38,558 ------------- Consumer Products & Services -- 0.02% 1,600 Pittston Co..................... 38,400 400 The Scotts Company (b).......... 18,160 ------------- 56,560 ------------- Containers/Packaging -- 0.14% 800 Avery Dennison Corp............. 50,200 1,300 Ball Corp....................... 53,924 1,400 Bemis Co., Inc.................. 66,500 3,200 Owens-Illinois, Inc. (b)........ 43,968 1,700 Packaging Corporation of America (b).................... 33,813 4,524 Pactiv Corp. (b)................ 107,672 260 Sealed Air Corp. (b)............ 10,470 2,754 Sonoco Products Co.............. 77,993 ------------- 444,540 ------------- Electronic Components & Instruments -- 1.85% 21,181 Agere Systems Inc., Class B (b). 31,772 6,993 Agilent Technologies, Inc. (b).. 165,384 4,100 American Power Conversion Corp. (b)...................... 51,783 4,300 Applied Micro Circuits Corp. (b) 20,339 2,156 Arrow Electronics, Inc. (b)..... 44,737 3,500 Atmel Corp. (b)................. 21,910 3,300 Avnet, Inc...................... 72,567 1,520 AVX Corp........................ 24,822
See accompanying notes to financial statements. 23 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Electronic Components & Instruments (continued) 2,700 Broadcom Corp. (b)................. $ 47,358 2,096 Diebold, Inc....................... 78,055 2,000 Eaton Corp......................... 145,500 12,164 Emerson Electric Co................ 650,896 2,251 Energizer Holdings, Inc. (b)....... 61,722 3,971 General Dynamics Corp.............. 422,316 78,029 Hewlett Packard Co................. 1,192,283 1,393 Hubbell, Inc., Class B............. 47,571 26,548 International Business Machines Corp.............................. 1,911,456 200 International Rectifier Corp. (b).. 5,830 1,200 Intersil Holding Corp. (b)......... 25,656 400 Jabil Circuit, Inc. (b)............ 8,444 2,559 Johnson Controls, Inc.............. 208,840 2,500 KEMET Corp. (b).................... 44,650 7,700 Micron Technology, Inc. (b)........ 155,694 559 Molex, Inc......................... 18,743 3,386 Parker-Hannifin Corp............... 161,817 1,900 PerkinElmer, Inc................... 20,995 7,000 Sanmina-SCI Corp. (b).............. 44,170 11,870 Solectron Corp. (b)................ 73,001 1,933 Tektronix, Inc. (b)................ 36,166 1,100 Teradyne, Inc. (b)................. 25,850 3,500 Thermo Electron Corp. (b).......... 57,750 3,569 Vishay Intertechnology, Inc. (b)... 78,518 ------------- 5,956,595 ------------- Entertainment -- 0.35% 700 Metro-Goldwyn-Mayer, Inc. (b)...... 8,190 58,838 The Walt Disney Co................. 1,112,038 ------------- 1,120,228 ------------- Financial Services -- 4.27% 2,320 A.G. Edwards, Inc.................. 90,178 100 Affiliated Managers Group, Inc. (b) 6,150 600 Allied Capital Corp................ 13,590 2,210 Ambac Financial Group, Inc......... 148,512 12,837 American Express Co................ 466,240 500 Americredit Corporation (b)........ 14,025 2,700 Bear Stearns Companies, Inc........ 165,240 120,786 Citigroup, Inc..................... 4,680,457 3,023 Countrywide Credit Industries, Inc. 145,860 300 Doral Financial Corp............... 10,017 600 Downey Financial Corp.............. 28,380 4,300 E*TRADE Group, Inc. (b)............ 23,478 4,911 Franklin Resources, Inc............ 209,405 1,360 Freddie Mac........................ 83,232 3,637 Golden West Financial Corp......... 250,153 6,977 Goldman Sachs Group, Inc........... 511,763 7,165 Hartford Financial Services Group, Inc........................ 426,103
Security Shares Description Value ------ ----------- ----- Financial Services (continued) 10,914 Household International, Inc......... $ 542,426 1,700 IndyMac Mortgage Holdings, Inc. (b).. 38,556 1,200 Instinet Group, Inc. (b)............. 7,824 1,000 Interactive Data Corporation (b)..... 14,560 57,431 J.P. Morgan Chase & Co............... 1,948,059 8,458 John Hancock Financial Services, Inc. 297,722 150 John Nuveen Co., Class A............. 3,855 1,200 LaBranche & Co., Inc. (b)............ 27,480 800 Legg Mason, Inc...................... 39,472 7,071 Lehman Brothers Holdings, Inc........ 442,079 24,746 Merrill Lynch & Co., Inc............. 1,002,213 2,624 MGIC Investment Corp................. 177,907 31,772 Morgan Stanley Dean Witter & Co...... 1,368,737 600 Nationwide Financial Services, Inc... 23,700 100 Neuberger Berman, Inc................ 3,660 2,100 New York Community Bancorp........... 56,910 600 Provident Financial Group, Inc....... 17,406 4,600 Providian Financial Corp............. 27,048 1,100 Raymond James Financial, Inc......... 31,317 6,600 Regions Financial Corp............... 231,990 5,631 Stilwell Financial, Inc.............. 102,484 100 Student Loan Corp.................... 8,284 1,994 T. Rowe Group, Inc................... 65,563 ------------- 13,752,035 ------------- Food - Retail -- 0.25% 10,909 Albertson's, Inc..................... 332,288 5,300 Kroger Co. (b)....................... 105,470 8,300 Safeway, Inc. (b).................... 242,277 3,893 Supervalu, Inc....................... 95,495 1,900 Winn-Dixie Stores, Inc............... 29,621 ------------- 805,151 ------------- Food Processing -- 0.73% 16,505 Archer-Daniels-Midland Co............ 211,099 6,481 Campbell Soup Co..................... 179,264 15,533 ConAgra Foods, Inc................... 429,488 2,600 Dean Foods Co. (b)................... 96,980 1,200 Dole Food Co., Inc................... 34,620 2,999 General Mills, Inc................... 132,196 5,215 H.J. Heinz Co........................ 214,337 1,400 Hershey Foods Corp................... 87,500 2,198 Hormel Foods Corp.................... 52,620 3,400 Kellogg Co........................... 121,924 5,937 Kraft Foods, Inc..................... 243,120 1,920 McCormick & Co., Inc................. 49,440 300 Performance Food Group Co. (b)....... 10,158 11,300 Sara Lee Corp........................ 233,232 3,200 Smithfield Foods, Inc. (b)........... 59,360 6,518 Tyson Foods, Inc., Class A........... 101,094 1,540 William Wrigley Jr. Co............... 85,239 ------------- 2,341,671 -------------
See accompanying notes to financial statements. 24 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Furniture & Fixtures -- 0.07% 400 Ethan Allen Interiors, Inc...... $ 13,940 1,500 Hillenbrand Industry, Inc....... 84,225 1,500 HON Industries, Inc............. 40,830 3,840 Leggett & Platt, Inc............ 89,856 ------------- 228,851 ------------- Health Care -- 0.11% 504 Anthem, Inc. (b)................ 34,010 400 Community Health Sys Inc New Com (b).................... 10,720 2,500 Health Net, Inc. (b)............ 66,925 4,856 Humana, Inc. (b)................ 75,899 1,722 Manor Care, Inc. (b)............ 39,606 1,170 McKesson Corp................... 38,259 1,000 Omnicare, Inc................... 26,260 100 Orthodontic Centers Of America, Inc. (b)....................... 2,305 400 Renal Care Group, Inc. (b)...... 12,460 1,000 Triad Hospitals, Inc. (b)....... 42,380 ------------- 348,824 ------------- Homebuilding/Development -- 0.15% 1,800 Centex Corp..................... 104,022 2,600 Clayton Homes, Inc.............. 41,080 2,753 D. R. Horton, Inc............... 71,661 1,300 KB Home......................... 66,963 1,400 Lennar Corp..................... 85,680 1,442 Pulte Homes, Inc................ 82,886 1,300 Toll Brothers, Inc. (b)......... 38,090 ------------- 490,382 ------------- Hotels & Lodging -- 0.26% 31,334 Cendant Corp. (b)............... 497,584 1,600 Extended Stay America, Inc. (b). 25,952 7,670 Hilton Hotels Corp.............. 106,613 2,539 Marriott International, Inc., Class A........................ 96,609 3,200 Starwood Hotels & Resorts Worldwide, Inc................. 105,248 ------------- 832,006 ------------- Household Products & Appliances -- 0.87% 1,000 Alberto-Culver Co., Class B..... 47,800 250 American Standard Companies, Inc. (b)....................... 18,775 6,813 Avon Products, Inc.............. 355,911 2,487 Clorox Co....................... 102,837 1,800 Colgate-Palmolive Co............ 90,090 876 Estee Lauder Cos., Inc., Class A 30,835 12,491 Gillette Co..................... 423,070 7,330 Newell Rubbermaid, Inc.......... 256,990
Security Shares Description Value ------ ----------- ----- Household Products & Appliances (continued) 15,236 Procter & Gamble Co............... $ 1,360,576 1,890 Whirlpool Corp.................... 123,530 ------------- 2,810,414 ------------- Insurance -- 2.62% 900 21st Century Insurance Group...... 17,100 4,165 Aetna, Inc........................ 199,795 7,700 AFLAC, Inc........................ 246,400 115 Alleghany Corp. (b)............... 21,965 1,500 Allmerica Financial Corp.......... 69,300 20,465 Allstate Corp..................... 756,796 909 American Financial Group, Inc..... 21,725 37,267 American International Group, Inc. 2,542,728 300 American National Insurance Co.... 28,890 1,200 Amerus Group Co................... 44,520 6,883 Aon Corp.......................... 202,911 4,683 Chubb Corp........................ 331,556 3,763 Cigna Corp........................ 366,591 3,946 Cincinnati Financial Corp......... 183,607 700 CNA Financial Corp. (b)........... 18,550 700 Erie Indemnity, Inc............... 28,357 2,729 Fidelity National Financial, Inc.. 86,236 2,100 First American Financial Corporation...................... 48,300 1,494 HCC Insurance Holdings, Inc....... 39,367 4,355 Jefferson-Pilot Corp.............. 204,685 1,000 Leucadia National Corp............ 31,660 5,367 Lincoln National Corp............. 225,414 3,896 Loews Corp........................ 206,449 200 Markel Corp. (b).................. 39,400 400 Marsh & McLennan Companies, Inc... 38,640 4,256 MBIA, Inc......................... 240,592 700 Mercury General Corp.............. 33,950 8,531 MetLife, Inc...................... 245,693 1,300 MONY Group, Inc................... 44,213 3,430 Old Republic International Corp... 108,045 2,876 Phoenix Co., Inc.................. 52,775 2,580 PMI Group, Inc.................... 98,556 8,882 Principal Financial Group (b)..... 275,342 2,220 Progressive Corp.................. 128,427 2,000 Protective Life Corp.............. 66,200 2,580 Radian Group, Inc................. 126,033 500 Reinsurance Group of America, Inc. 15,410 3,700 SAFECO Corp....................... 114,293 6,000 St. Paul Cos., Inc................ 233,520 900 StanCorp Financial Group, Inc..... 49,950 3,470 Torchmark Corp.................... 132,554 610 Transatlantic Holdings, Inc....... 48,800 7,729 Travelers Property Casualty Corp., Class A (b)...................... 136,803 229 Trigon Healthcare, Inc. (b)....... 23,033 1,300 Unitrin, Inc...................... 46,501
See accompanying notes to financial statements. 25 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Insurance (continued) 6,995 UnumProvident Corp.................. $ 178,023 700 W.R. Berkley........................ 38,500 47 Wesco Financial Corp................ 14,175 ------------- 8,452,330 ------------- Machinery, Tools & Engineering -- 0.30% 1,000 AGCO Corp........................... 19,500 1,000 AptarGroup, Inc..................... 30,750 1,800 Arvinmeritor Inc.................... 43,200 100 Black & Decker Corp................. 4,820 1,514 Crane Co............................ 38,425 1,000 Cummins, Inc........................ 33,100 6,855 Deere & Co.......................... 328,355 400 Donaldson Company, Inc.............. 14,016 200 Flowserve Corp. (b)................. 5,960 3,334 Illinois Tool Works, Inc............ 227,712 400 Jacobs Engineering Group, Inc. (b).. 13,912 800 Lancaster Colony Corporation........ 28,528 300 Novellus Systems (b)................ 10,200 3,125 Pall Corp........................... 64,844 500 Shaw Group, Inc. (b)................ 15,350 1,700 Snap-On, Inc........................ 50,473 700 Stanley Works....................... 28,707 100 Zebra Technologies, Class A (b)..... 4,822 ------------- 962,674 ------------- Manufacturing -- 0.01% 1,200 Harsco Corp......................... 45,000 ------------- Media -- 0.65% 950 Emmis Communications Corp. (b)...... 20,131 2,025 Fox Entertainment Group, Inc. (b)... 44,044 3,210 Gemstar-TV Guide International, Inc. (b)........................... 17,302 74,834 Liberty Media Corp., Class A (b).... 748,340 400 Media General, Inc.................. 24,000 1,000 Meredith Corp....................... 38,350 26,905 Viacom, Inc., Class B (b)........... 1,193,774 ------------- 2,085,941 ------------- Medical Equipment & Supplies -- 0.14% 1,305 Apogent Technologies, Inc. (b)...... 26,844 1,400 Bausch & Lomb, Inc.................. 47,390 6,368 Becton, Dickinson & Co.............. 219,377 1,472 C.R. Bard, Inc...................... 83,286 600 Coventry Health Care, Inc. (b)...... 17,052 500 Edwards Lifesciences Corporation (b) 11,600 400 Henry Schein, Inc. (b).............. 17,800 900 Invitrogen Corp. (b)................ 28,809 200 Ribapharm Inc. (b).................. 1,818 100 STERIS Corp. (b).................... 1,911 ------------- 455,887 -------------
Security Shares Description Value ------ ----------- ----- Metals -- 0.34% 2,800 AK Steel Holding Corp.......... $ 35,868 20,820 Alcoa, Inc..................... 690,183 2,370 Allegheny Technologies, Inc.... 37,446 1,000 Newmont Mining Corp............ 26,330 2,200 Nucor Corp..................... 143,088 2,100 Phelps Dodge Corp.............. 86,520 1,478 Precision Castparts Corp....... 48,774 1,160 Rowan Companies, Inc........... 24,882 ------------- 1,093,091 ------------- Office Equipment -- 0.13% 8,862 Office Depot, Inc. (b)......... 148,882 2,770 Pitney Bowes, Inc.............. 110,024 910 Steelcase, Inc................. 12,176 20,800 Xerox Corp..................... 144,976 ------------- 416,058 ------------- Oil & Gas -- 4.66% 1,000 Amerada Hess Corp.............. 82,500 3,900 Anadarko Petroleum Corp........ 192,270 3,972 Apache Corp.................... 228,311 4,066 Aquila Inc..................... 32,528 2,000 Ashland, Inc................... 81,000 600 Baker Hughes, Inc.............. 19,974 30,792 ChevronTexaco Corp............. 2,725,092 18,018 Conoco, Inc.................... 500,900 100 Cooper Cameron Corp. (b)....... 4,842 4,194 Devon Energy Corp.............. 206,680 601 Diamond Offshore Drilling, Inc. 17,129 7,812 Dynegy, Inc.................... 56,246 500 ENSCO International, Inc....... 13,630 3,380 EOG Resources, Inc............. 134,186 1,780 Equitable Resources, Inc....... 61,054 195,579 Exxon Mobil Corp............... 8,003,092 1,409 FMC Technologies, Inc. (b)..... 29,251 400 Forest Oil Corp. (b)........... 11,372 6,300 Halliburton Co................. 100,422 1,428 Helmerich & Payne, Inc......... 51,008 2,900 Kerr-McGee Corp................ 155,295 3,400 Lyondell Chemical Co........... 51,340 8,940 Marathon Oil Corp.............. 242,453 2,003 MDU Resources Group, Inc....... 52,659 227 Murphy Oil Corp................ 18,728 900 National-Oilwell, Inc. (b)..... 18,945 490 Newfield Exploration Co. (b)... 18,213 700 Noble Energy Inc............... 25,235 10,803 Occidental Petroleum Corp...... 323,982 1,431 Ocean Energy, Inc.............. 31,010 100 PATTERSON-UTI Energy Inc (b)... 2,823 700 Peabody Energy Corp............ 19,810 2,300 Pennzoil-Quaker State Co....... 49,519 1,000 People's Energy Corp........... 36,460
See accompanying notes to financial statements. 26 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Oil & Gas (continued) 10,989 Phillips Petroleum Co............ $ 647,032 2,800 Pioneer Natural Resources Co. (b) 72,940 1,226 Pogo Producing Co................ 39,992 500 Premcor, Inc. (b)................ 12,860 1,570 Pride International, Inc. (b).... 24,586 1,920 Sunoco, Inc...................... 68,410 2,897 United States Steel Corp......... 57,621 7,011 Unocal Corp...................... 258,986 2,918 Valero Energy Corp............... 109,192 900 Varco International, Inc. (b).... 15,786 2,000 Vectren Corp..................... 50,200 3,100 XTO Energy, Inc.................. 63,860 ------------- 15,019,424 ------------- Paper Products -- 0.65% 1,504 Boise Cascade Corp............... 51,933 1,464 Bowater, Inc..................... 79,598 6,660 Georgia-Pacific Corp............. 163,703 13,873 International Paper Co........... 604,585 7,467 Kimberly-Clark Corp.............. 462,954 5,793 MeadWestvaco Corp................ 194,413 800 Rayonier, Inc.................... 39,304 5,000 Smurfit-Stone Container Corp. (b) 77,100 6,327 Weyerhaeuser Co.................. 403,979 ------------- 2,077,569 ------------- Pharmaceuticals -- 1.07% 718 AmerisourceBergen Corp........... 54,568 35,166 Bristol-Myers Squibb Co.......... 903,766 2,820 Eli Lilly & Co................... 159,048 10,564 Healthsouth Corp. (b)............ 135,114 1,700 Human Genome Sciences, Inc. (b).. 22,780 1,800 ICN Pharmaceuticals, Inc......... 43,578 200 Medicis Pharmaceutical Corp., Class A (b)..................... 8,552 27,450 Merck & Co., Inc................. 1,390,068 200 Mylan Laboratories, Inc.......... 6,270 25,400 Schering-Plough Corporation...... 624,840 200 Sicor, Inc. (b).................. 3,708 2,100 Vertex Pharmaceuticals (b)....... 34,188 1,800 Watson Pharmaceuticals, Inc. (b). 45,486 ------------- 3,431,966 ------------- Photography -- 0.08% 8,400 Eastman Kodak Co................. 245,028 ------------- Publishing & Printing -- 0.45% 2,500 Belo (A.H.) Corp................. 56,525 500 Dow Jones & Company, Inc......... 24,225 70 E.W. Scripps Co., Class A........ 5,390 7,725 Gannett Co., Inc................. 586,327
Security Shares Description Value ------ ----------- ----- Publishing & Printing (continued) 450 Harte-Hanks, Inc.................... $ 9,248 2,402 Knight-Ridder, Inc.................. 151,206 1,300 Lee Enterprises, Inc................ 45,500 564 McClatchy Co., Class A.............. 36,237 848 McGraw-Hill Companies, Inc.......... 50,626 1,215 New York Times Co., Class A......... 62,573 2,600 R.R. Donnelley & Sons Co............ 71,630 2,100 Readers Digest Association, Inc..... 39,333 400 Scholastic Corp. (b)................ 15,160 5,600 Tribune Co.......................... 243,599 86 Washington Post Co.................. 46,870 ------------- 1,444,449 ------------- Railroads -- 0.39% 11,066 Burlington Northern Santa Fe Corp... 331,980 6,151 CSX Corp............................ 215,593 11,222 Norfolk Southern Corp............... 262,370 7,219 Union Pacific Corp.................. 456,818 ------------- 1,266,761 ------------- Real Estate -- 0.13% 2,401 AMB Property Corp................... 74,431 500 Catellus Development Corp. (b)...... 10,210 2,663 Kimco Realty Corp................... 89,184 5,303 Plum Creek Timber Co., Inc.......... 162,802 800 Ryland Group, Inc................... 39,800 2,600 Trizec Properties................... 43,836 ------------- 420,263 ------------- Real Estate Investment Trusts -- 0.86% 2,400 Annaly Mortgage Management, Inc..... 46,560 2,104 Apartment Investment & Management Co................................. 103,517 5,100 Archstone-Smith Trust............... 136,170 1,700 Arden Realty, Inc................... 48,365 1,700 AvalonBay Communities, Inc.......... 79,390 1,958 Boston Properties, Inc.............. 78,222 1,300 BRE Properties, Class A............. 40,443 1,000 Camden Property Trust............... 37,030 1,518 CarrAmerica Realty Corp............. 46,830 700 Centerpoint Properties Corp......... 40,607 1,000 Cousins Properties, Inc............. 24,760 2,300 Crescent Real Estate Equities Co.... 43,010 1,600 Developers Diversified Realty Corp.. 36,000 3,900 Duke Realty Corp.................... 112,905 12,007 Equity Office Properties Trust...... 361,411 7,871 Equity Residential Properties Trust. 226,291 1,100 First Industrial Realty Trust....... 36,135 600 Forest City Enterprises, Class A.... 20,850 1,800 General Growth Properties, Inc...... 91,800 1,698 Health Care Property Investors, Inc. 72,844 1,500 Highwood Properties, Inc............ 39,000 1,800 Hospitality Properties Trust........ 65,700
See accompanying notes to financial statements. 27 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Real Estate Investment Trusts (continued) 6,749 Host Marriott Corp................ $ 76,264 1,320 iStar Financial, Inc.............. 37,620 2,200 Liberty Property Trust............ 77,000 1,200 Mack-Cali Realty Corp............. 42,180 2,700 New Plan Excel Realty Trust....... 56,241 4,619 ProLogis Trust.................... 120,094 2,900 Public Storage, Inc............... 107,590 1,500 Reckson Associates Realty Corp.... 37,350 700 Regency Centers Corp.............. 20,755 1,806 Rouse Co.......................... 59,598 3,800 Simon Property Group, Inc......... 139,992 3,100 United Dominion Realty Trust, Inc. 48,825 2,100 Vornado Realty Trust.............. 97,020 1,300 Weinharten Realty Investors....... 46,020 ------------- 2,754,389 ------------- Recreation -- 0.08% 503 Blockbuster, Inc.................. 13,531 2,600 Brunswick Corp.................... 72,799 1,500 Callaway Golf Co.................. 23,760 4,100 Hasbro, Inc....................... 55,596 400 International Speedway Corp....... 16,040 1,050 Mattel, Inc....................... 22,134 300 Regal Entertainment Group, Class A (b)...................... 6,996 2,450 Six Flags, Inc. (b)............... 35,403 ------------- 246,259 ------------- Rental & Leasing -- 0.01% 1,197 United Rentals, Inc. (b).......... 26,095 ------------- Restaurants -- 0.38% 275 Brinker International, Inc. (b)... 8,731 1,400 CBRL Group, Inc................... 42,728 36,666 McDonald's Corp................... 1,043,148 860 Outback Steakhouse, Inc. (b)...... 30,186 1,276 Wendy's International, Inc........ 50,823 1,686 YUM Brands (b).................... 49,316 ------------- 1,224,932 ------------- Retail -- 0.82% 200 American Eagle Outfitters (b)..... 4,228 2,000 American Greetings Corp., Class A. 33,320 5,710 AutoNation, Inc. (b).............. 82,795 900 Barnes & Noble, Inc. (b).......... 23,787 1,500 Big Lots, Inc..................... 29,520 2,107 Borders Group, Inc. (b)........... 38,769 400 Circuit City Stores Car Max Group (b)........................ 8,660 5,338 Circuit City Stores, Inc.......... 100,088 6,453 Costco Companies, Inc. (b)........ 249,215 11,300 CVS Corp.......................... 345,780
Security Shares Description Value ------ ----------- ----- Retail (continued) 2,000 Dillards, Inc., Class A............. $ 52,580 5,806 Federated Department Stores, Inc. (b)........................... 230,498 2,473 Foot Locker, Inc. (b)............... 35,735 500 Furniture Brands International, Inc. (b)........................... 15,125 200 Gamestop Corp., Class A (b)......... 4,198 7,699 J.C. Penney Co...................... 169,532 1,400 La-Z-Boy, Inc....................... 35,308 8,310 May Department Stores, Inc.......... 273,648 1,000 Nieman Marcus Group, Inc., Class A (b)........................ 34,700 1,800 Pier 1 Imports, Inc................. 37,800 1,400 Reebok International Ltd. (b)....... 41,300 7,000 Rite Aid Corp. (b).................. 16,450 3,500 Saks, Inc. (b)...................... 44,940 8,144 Sears, Roebuck & Co................. 442,219 300 Sonic Automotive (b)................ 7,725 7,471 The Limited, Inc.................... 159,132 5,600 Toys "R" Us, Inc. (b)............... 97,832 700 Zale Corp. (b)...................... 25,375 ------------- 2,640,259 ------------- Semiconductors -- 0.06% 1,500 Adaptec, Inc. (b)................... 11,835 6,744 Advanced Micro Devices, Inc. (b).... 65,551 900 Amkor Technology, Inc. (b).......... 5,598 3,696 Conexant Systems, Inc. (b).......... 5,988 800 Cypress Semiconductor Corp. (b)..... 12,144 500 Emulex Corp. (b).................... 11,255 200 Fairchild Semicon Intl. (b)......... 4,860 5,300 LSI Logic Corp. (b)................. 46,375 800 National Semiconductor Corp. (b).... 23,336 1,262 Skyworks Solutions Co. (b).......... 7,005 ------------- 193,947 ------------- Telecommunications -- 3.44% 13,598 ADC Telecommunications, Inc. (b).... 31,139 846 Adelphia Business Solutions Inc. (b) 8 1,100 Advanced Fibre Communications, Inc. (b)........................... 18,194 8,947 Alltel Corp......................... 420,509 2,400 Andrew Corp. (b).................... 34,392 103,766 AT&T Corp........................... 1,110,296 32,300 AT&T Wireless Services Inc. (b)..... 188,955 9,100 Avaya, Inc. (b)..................... 45,045 54,038 BellSouth Corp...................... 1,702,197 4,076 CenturyTel, Inc..................... 120,242 5,439 Ciena Corp. (b)..................... 22,791 4,330 Citizens Communications Co. (b)..... 36,199 2,700 Comverse Technology, Inc. (b)....... 25,002 15,500 Corning, Inc........................ 55,025 800 Harris Corp......................... 28,992
See accompanying notes to financial statements. 28 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Telecommunications (continued) 1,400 IDT Corp. (b)...................... $ 23,688 17,439 JDS Uniphase Corp. (b)............. 46,562 1,000 Juniper Networks, Inc. (b)......... 5,650 200 LIN TV Corp., Class A (b).......... 5,408 98,825 Lucent Technologies, Inc........... 164,050 1 McLeod USA., Inc Class A (b)....... 0 22,366 Motorola, Inc...................... 322,518 412 PanAmSat Corp. (b)................. 9,311 19,600 Qwest Communications International, Inc............................... 54,880 96,312 SBC Communications, Inc............ 2,937,516 4,500 Scientific-Atlanta, Inc............ 74,025 25,680 Sprint Corp........................ 272,465 1,500 Telephone & Data Systems, Inc...... 90,825 6,500 Tellabs, Inc. (b).................. 40,300 457 U.S. Cellular Corp. (b)............ 11,631 78,470 Verizon Communications, Inc........ 3,150,571 77,704 WorldCom, Inc. (b)................. 17,872 ------------- 11,066,258 ------------- Tobacco -- 0.40% 800 Carolina Group..................... 21,640 23,958 Philip Morris Companies, Inc....... 1,046,486 2,651 R.J. Reynolds Tobacco Holdings, Inc............................... 142,491 2,445 UST, Inc........................... 83,130 ------------- 1,293,747 ------------- Transportation -- 0.20% 1,300 CNF, Inc........................... 49,374 8,650 FedEx Corp......................... 461,910 1,200 GATX Corp.......................... 36,120 650 Iron Mountain, Inc. (b)............ 20,053 1,600 Ryder Systems, Inc................. 43,344 800 Swift Transportation Co., Inc. (b). 18,640 700 Tidewater, Inc..................... 23,044 ------------- 652,485 ------------- Utilities -- 2.71% 7,100 AES Corp. (b)...................... 38,482 3,581 Allegheny Energy, Inc.............. 92,211 2,581 Alliant Energy Corp................ 66,332 4,190 Ameren Corp........................ 180,212 9,310 American Electric Power, Inc....... 372,586 1,480 American Water Works Co............ 63,951 7,100 Calpine Corp. (b).................. 49,913 4,827 Cinergy Corp....................... 173,724 3,570 CMS Energy Corp.................... 39,199 2,585 Conectiv, Inc...................... 66,719 6,100 Consolidated Edison, Inc........... 254,675 4,733 Constellation Energy Group, Inc.... 138,866 4,607 Detroit Edison Co.................. 205,656
Security Shares Description Value ------ ----------- ----- Utilities (continued) 7,973 Dominion Resources, Inc.............. $ 527,812 3,616 DPL, Inc............................. 95,643 23,953 Duke Power Co., Inc.................. 744,937 9,426 Edison International (b)............. 160,242 15,315 El Paso Energy Corp.................. 315,642 3,371 Energy East Corp..................... 76,185 6,445 Entergy Corp......................... 273,526 9,305 Exelon Corp.......................... 486,651 8,031 FirstEnergy Corp..................... 268,075 5,100 Florida Power & Light, Inc........... 305,949 1,800 Great Plains Energy, Inc............. 36,630 1,100 Idacorp, Inc......................... 30,470 4,090 KeySpan Corp......................... 153,989 1,000 Kinder Morgan, Inc................... 38,020 9,700 Mirant Corp. (b)..................... 70,810 2,100 National Fuel Gas Co................. 47,271 1,310 NICOR, Inc........................... 59,933 6,012 NiSource, Inc........................ 131,242 3,698 Northeast Utilities.................. 69,559 1,500 NSTAR................................ 67,170 2,220 OGE Energy Corp...................... 50,749 11,200 PG&E Corp. (b)....................... 200,368 2,285 Pinnacle West Capital Corp........... 90,258 2,769 Potomac Electric Power Co............ 59,478 4,208 PPL Corp............................. 139,201 6,289 Progress Energy, Inc................. 327,091 5,900 Public Service Enterprise Group, Inc. 255,470 2,544 Puget Energy, Inc.................... 52,534 2,200 Questar Corp......................... 54,340 7,778 Reliant Energy, Inc.................. 131,448 1,400 Reliant Resources, Inc. (b).......... 12,250 1,000 RGS Energy Group..................... 39,200 2,980 SCANA Corp........................... 91,993 5,250 Sempra Energy........................ 116,183 20,324 Southern Co.......................... 556,877 4,000 Teco Energy, Inc..................... 99,000 7,631 TXU Corp............................. 393,378 12,670 Williams Companies, Inc.............. 75,893 3,320 Wisconsin Energy Corp................ 83,896 11,470 Xcel Energy, Inc..................... 192,352 ------------- 8,724,241 ------------- Waste Disposal -- 0.15% 640 Allied Waste Industries, Inc. (b).... 6,144 1,600 Philadelphia Suburban Corp........... 32,320 4,430 Republic Services, Inc. (b).......... 84,480 13,366 Waste Management, Inc................ 348,184 ------------- 471,128 ------------- Total -- SSgA Funds Management, Inc. ($141,887,113)................. 135,205,682 ------------- Total Common Stocks (Cost $320,241,742)................. 314,980,459 -------------
See accompanying notes to financial statements. 29 THE HIRTLE CALLAGHAN TRUST Value Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Shares or Principal Security Amount Description Value ------ ----------- ----- Commercial Paper -- 1.43% Institutional Capital Corp. -- 1.43% $ 4,600,000 United Parcel Service, Inc., 1.88%, 07/01/02.................. $ 4,600,000 ------------- Total Commercial Paper (Cost $4,600,000)................ 4,600,000 ------------- Short-Term Investments -- 0.75% Institutional Capital Corp. -- 0.16% Cash & Equivalents -- 0.16% 519,939 Deutsche Bank Cash Sweep.......... 519,939 ------------- SSgA Funds Management, Inc. -- 0.59% Money Market Mutual Fund -- 0.53% 1,691,417 Alliance Money Market Fund Prime Portfolio........................ 1,691,417 20,000 Deutsche Bank Institutional Liquid Assets Fund...................... 20,000 ------------- 1,711,417 -------------
Shares or Principal Security Amount Description Value ------ ----------- ----- U.S. Treasury Bill -- 0.06% $ 195,000 U.S. Treasury Bill, 2.04%, 09/12/02 (c)........ $ 194,344 ------------ 1,905,761 ------------ Total Short-Term Investments (Cost $2,425,691).......... 2,425,700 ------------ Total Investments (Cost $327,267,433) (a) -- 99.98%.................... 322,006,159 ------------ Other assets in excess of liabilities -- 0.02%.... 67,953 ------------ Net Assets -- 100.00%....... $322,074,112 ============
-------- (a) Cost for federal income tax purposes is $331,747,728. The gross unrealized appreciation/(depreciation) on a tax basis is as follows: Unrealized appreciation.... $ 26,447,541 Unrealized depreciation.... (36,189,110) ------------ Net unrealized depreciation $ (9,741,569) ============
(b) Represents non-income producing securities. (c) Principal amount pledged as collateral for open future contracts. ADR -- American Depository Receipt PLC -- Public Limited Company Futures
Number Unrealized of Notional Expiration Gain/ Contracts Future Contracts Long Value Date (Loss) --------- --------------------- ---------- -------------- ---------- SSgA Funds Management, Inc. 8 S&P Barra Value Future..... $1,782,180 September 2002 $(25,439) 36 S&P 500 E-Mini Future...... 990,200 September 2002 (20,699) -------- Total Unrealized Loss...... $(46,138) ========
See accompanying notes to financial statements. 30 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks -- 95.87% Jennison Associates LLC -- 57.55% Aerospace/Defense -- 1.86% 16,500 Boeing Co....................... $ 742,500 34,800 Lockheed Martin Corp............ 2,418,600 29,300 Northrop Grumman Corp........... 3,662,500 -------------- 6,823,600 -------------- Banking -- 0.87% 83,100 Bank One Corp................... 3,197,688 -------------- Beverages -- 1.71% 130,600 PepsiCo, Inc.................... 6,294,920 -------------- Biotechnology -- 1.65% 68,000 Amgen, Inc. (b)................. 2,847,840 95,800 Genentech, Inc. (b)............. 3,209,300 -------------- 6,057,140 -------------- Broadcasting -- 1.86% 94,800 AOL-Time Warner, Inc. (b)....... 1,394,508 251,800 Liberty Media Corp., Class A (b) 2,518,000 92,800 Univision Communications, Inc., Class A (b).................... 2,913,920 -------------- 6,826,428 -------------- Computer Services -- 0.57% 34,000 eBay, Inc. (b).................. 2,095,080 -------------- Computer Software -- 2.97% 44,300 Adobe Systems, Inc.............. 1,262,550 145,100 Microsoft Corp. (b)............. 7,936,970 70,400 SAP AG - ADR.................... 1,710,016 -------------- 10,909,536 -------------- Computer Systems/Peripherals --3.44% 283,100 Cisco Systems, Inc. (b)......... 3,949,245 141,700 Dell Computer Corp. (b)......... 3,704,038 155,800 EMC Corp. (b)................... 1,176,290 249,900 Hewlett Packard Co.............. 3,818,472 -------------- 12,648,045 -------------- Conglomerates -- 0.36% 45,100 General Electric Co............. 1,310,155 -------------- Drugs -- 0.47% 22,900 AmerisourceBergen Corp.......... 1,740,400 -------------- Energy Equipment & Services -- 1.57% 95,400 Schlumberger Ltd................ 4,436,100 43,300 Transocean Sedco Forex, Inc..... 1,348,795 -------------- 5,784,895 -------------- Entertainment -- 1.81% 149,676 Viacom, Inc., Class B (b)....... 6,641,124 -------------- Financial Services -- 6.87% 106,000 American Express Co............. 3,849,920 23,200 Capital One Financial Corp...... 1,416,360
Security Shares Description Value ------ ----------- ----- Financial Services (continued) 164,666 Citigroup, Inc....................... $ 6,380,808 74,100 Concord EFS, Inc. (b)................ 2,233,374 59,200 Goldman Sachs Group, Inc............. 4,342,320 82,100 MBNA Corp............................ 2,715,047 84,800 Merrill Lynch & Co................... 3,434,400 21,100 Morgan Stanley Dean Witter & Co...... 908,988 ------------- 25,281,217 ------------- Food & Beverages -- 0.60% 39,100 The Coca Cola Co..................... 2,189,600 ------------- Health Care -- 2.79% 76,900 Abbott Laboratories.................. 2,895,285 35,000 HCA-The Healthcare Company........... 1,662,500 88,500 Johnson & Johnson.................... 4,625,010 9,700 Laboratory Corp. of America Holdings (b)........................ 442,805 7,100 Quest Diagnostics, Inc. (b).......... 610,955 ------------- 10,236,555 ------------- Hotels/Motels -- 0.83% 80,600 Marriott International, Inc., Class A 3,066,830 ------------- Insurance -- 3.86% 113,162 American International Group, Inc.... 7,721,043 54,800 Hartford Financial Services Group, Inc................................. 3,258,956 37,800 XL Capital Ltd., Class A............. 3,201,660 ------------- 14,181,659 ------------- Manufacturing - Diversified -- 1.18% 35,400 3M Co................................ 4,354,200 ------------- Medical Products -- 0.83% 68,900 Baxter International, Inc............ 3,062,605 ------------- Motorcycles -- 0.91% 65,300 Harley-Davidson, Inc................. 3,347,931 ------------- Oil & Gas -- 0.62% 55,600 Exxon Mobil Corp..................... 2,275,152 ------------- Paper & Related Products -- 1.53% 76,800 International Paper Co............... 3,346,944 35,400 Weyerhaeuser Co...................... 2,260,290 ------------- 5,607,234 ------------- Pharmaceuticals -- 3.49% 41,800 MedImmune, Inc. (b).................. 1,103,520 88,150 Pfizer, Inc.......................... 3,085,250 72,976 Pharmacia Corp....................... 2,732,951 56,600 Sepracor, Inc. (b)................... 540,530 104,700 Wyeth................................ 5,360,640 ------------- 12,822,891 ------------- Publishing & Printing -- 0.99% 70,800 New York Times Co., Class A.......... 3,646,200 -------------
See accompanying notes to financial statements. 31 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) Jennison Associates LLC (continued) Restaurants -- 0.52% 77,100 Starbucks Corp. (b).............. $ 1,915,935 -------------- Retail - Specialty -- 7.99% 112,000 Bed Bath & Beyond, Inc. (b)...... 4,226,880 66,900 Costco Wholesale Corp. (b)....... 2,583,678 33,300 Home Depot, Inc.................. 1,223,109 87,100 Kohl's Corp. (b)................. 6,103,967 123,200 Lowe's Cos., Inc................. 5,593,280 105,400 Tiffany & Co..................... 3,710,080 108,300 Wal-Mart Stores, Inc............. 5,957,583 -------------- 29,398,577 -------------- Semiconductors -- 4.42% 26,900 Analog Devices, Inc. (b)......... 798,930 86,800 Applied Materials, Inc. (b)...... 1,650,936 56,500 ASM Lithography Holding N.V. (b)........................ 854,280 169,400 Intel Corp....................... 3,094,938 27,100 KLA-Tencor Corp. (b)............. 1,192,129 19,500 Maxim Integrated Products, Inc. (b)........................ 747,435 31,200 Novellus Systems, Inc. (b)....... 1,060,800 53,100 STMicroelectronics N.V., New York Shares.......................... 1,291,923 123,420 Taiwan Semiconductor ADR (b)..... 1,604,460 165,900 Texas Instruments, Inc........... 3,931,830 -------------- 16,227,661 -------------- Telecommunications Equipment -- 0.63% 159,900 Nokia Corp. - ADR................ 2,315,352 -------------- Travel -- 0.35% 55,200 USA Networks, Inc. (b)........... 1,294,440 -------------- Total -- Jennison Associates LLC ($213,766,207).................. 211,553,050 -------------- SSgA Funds Management, Inc. -- 38.32% Advertising -- 0.18% 1,100 Catalina Marketing Corp. (b)..... 31,042 11,406 Interpublic Group of Companies, Inc............................. 282,412 1,500 Lamar Advertising Co. (b)........ 55,815 5,584 Omnicom Group, Inc............... 255,747 1,611 TMP Worldwide, Inc. (b).......... 34,637 -------------- 659,653 -------------- Aerospace/Defense -- 0.30% 1,000 Alliant Techsystems, Inc. (b).... 63,800 15,319 Boeing Co........................ 689,355 1,300 General Dynamics Corp............ 138,255 2,500 Lockheed Martin Corp............. 173,750 500 Rockwell Collins, Inc............ 13,710
Security Shares Description Value ------ ----------- ----- Aerospace/Defense (continued) 2,000 Titan Corp. (b).................... $ 36,580 -------------- 1,115,450 -------------- Apparel -- 0.30% 2,600 Abercrombie & Fitch Co. (b)........ 62,712 1,400 American Eagle Outfitters, Inc. (b) 29,596 1,302 Coach, Inc. (b).................... 71,480 316 Columbia Sportswear, Inc. (b)...... 10,112 18,500 Gap, Inc........................... 262,700 283 Jones Apparel Group, Inc. (b)...... 10,613 4,930 Limited Brands, Inc................ 105,009 1,600 Nike, Inc., Class B................ 85,840 2,400 Ross Stores, Inc................... 97,800 700 Talbots, Inc....................... 24,500 600 Timberland Co., Class A (b)........ 21,492 16,196 TJX Companies, Inc................. 317,603 -------------- 1,099,457 -------------- Automobiles -- 0.01% 700 Circuit City Stores, Inc. - CarMax Group (b)......................... 15,155 500 Sonic Automotive, Inc. (b)......... 12,875 -------------- 28,030 -------------- Banking -- 0.89% 6,195 Capital One Financial Corp......... 378,205 1,780 Commerce Bancorp, Inc.............. 78,676 15,378 Fifth Third Bancorp................ 1,024,944 200 Greater Bay Bancorp................ 6,152 400 Hudson United Bancorp.............. 11,424 21,312 MBNA Corp.......................... 704,788 6,400 Mellon Financial Corp.............. 201,152 1,200 North Fork Bancorporation, Inc..... 47,772 2,900 Northern Trust Corp................ 127,774 3,086 Providian Financial Corp........... 18,146 100 Silicon Valley Bancshares (b)...... 2,636 4,426 SLM Corp........................... 428,879 8,920 Synovus Financial Corp............. 245,478 200 Westamerica Bancorporation......... 7,912 -------------- 3,283,938 -------------- Biotechnology -- 0.64% 1,500 Affymetrix, Inc. (b)............... 35,985 31,249 Amgen, Inc. (b).................... 1,308,709 5,972 Applera Corp. - Applied Biosystems Group............................. 116,394 2,290 Celgene Corp. (b).................. 35,037 1,428 Cephalon, Inc. (b)................. 64,546 2,800 Chiron Corp. (b)................... 98,980 5,080 Genzyme Corp. (b).................. 97,739 5,206 Gilead Sciences, Inc. (b).......... 171,173 1,800 Human Genome Sciences, Inc. (b).... 24,120
See accompanying notes to financial statements. 32 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Biotechnology (continued) 3,394 IDEC Pharmaceuticals Corp. (b)..... $ 120,317 9,745 Immunex Corp. (b).................. 217,703 700 Invitrogen Corp. (b)............... 22,407 1,388 Pharmaceutical Product Development, Inc. (b)............. 36,560 -------------- 2,349,670 -------------- Business Services -- 0.56% 1,384 Alliance Data Systems Corp. (b).... 35,361 949 Aramark Corp. (b).................. 23,725 100 ArvinMeritor, Inc.................. 2,400 1,892 Certegy, Inc. (b).................. 70,212 2,539 ChoicePoint, Inc. (b).............. 115,448 3,571 Cintas Corp........................ 176,515 2,000 Copart, Inc. (b)................... 32,460 1,600 CSG Systems International, Inc. (b).......................... 30,624 1,900 Deluxe Corp........................ 73,891 1,800 Dun & Bradstreet Corp. (b)......... 59,490 3,870 Ecolab, Inc........................ 178,910 3,985 Equifax, Inc....................... 107,595 1,000 Fair, Issac and Company, Inc....... 32,870 700 Getty Images, Inc. (b)............. 15,239 1,000 Global Payments, Inc............... 29,750 1,246 Iron Mountain, Inc. (b)............ 38,439 4,300 KPMG Consulting, Inc. (b).......... 63,898 1,500 Manpower, Inc...................... 55,125 200 National Processing, Inc. (b)...... 5,160 9,799 Paychex, Inc....................... 306,611 200 PayPal, Inc. (b)................... 4,040 2,000 Perot Systems Corp., Class A (b)... 21,780 4,400 Pitney Bowes, Inc.................. 174,768 500 R.R. Donnelley & Sons Co........... 13,775 4,649 Robert Half International, Inc. (b) 108,322 4,332 Sabre Holdings Corp. (b)........... 155,086 2,100 The Reynolds & Reynolds Co......... 58,695 2,200 Viad Corp.......................... 57,200 500 West Corp. (b)..................... 11,030 -------------- 2,058,419 -------------- Casinos/Gaming -- 0.08% 3,300 Harrah's Entertainment, Inc. (b)... 146,355 2,690 International Game Technology, Inc. (b).......................... 152,523 100 Mandalay Resort Group (b).......... 2,757 140 MGM Mirage, Inc. (b)............... 4,725 -------------- 306,360 -------------- Chemicals -- 0.02% 300 Cabot Corp......................... 8,595
Security Shares Description Value ------ ----------- ----- Chemicals (continued) 1,000 International Flavors & Fragrance, Inc............................... $ 32,490 100 OM Group, Inc...................... 6,200 400 Sigma-Aldrich Corp................. 20,060 -------------- 67,345 -------------- Communications Equipment -- 0.09% 9,695 ADC Telecommunications, Inc. (b).......................... 22,202 1,300 Advanced Fibre Communications, Inc. (b).......................... 21,502 1,353 Avaya, Inc. (b).................... 6,697 6,380 Ciena Corp. (b).................... 26,733 2,814 Comverse Technology, Inc. (b)...... 26,058 1,000 Harris Corp........................ 36,240 7,630 Juniper Networks, Inc. (b)......... 43,110 1,800 L-3 Communications Holdings, Inc. (b).......................... 97,200 400 PanAmSat Corp. (b)................. 9,040 5,597 Tellabs, Inc. (b).................. 34,701 -------------- 323,483 -------------- Computer Hardware -- 2.12% 7,000 Brocade Communications Systems, Inc. (b).......................... 122,360 220,026 Cisco Systems, Inc. (b)............ 3,069,364 68,015 Dell Computer Corp. (b)............ 1,777,912 37,473 EMC Corp. (b)...................... 282,921 2,000 Emulex Corp. (b)................... 45,020 700 Ingram Micro, Inc. (b)............. 9,625 23,821 International Business Machines Corp.............................. 1,715,112 2,063 Jack Henry & Associates, Inc....... 34,431 3,936 Lexmark International, Inc. (b).... 214,118 900 National Instruments Corp. (b)..... 29,304 8,929 Network Appliance, Inc. (b)........ 111,077 12,382 Solectron Corp. (b)................ 76,149 600 Storage Technology Corp. (b)....... 9,582 47,349 Sun Microsystems, Inc. (b)......... 237,218 3,452 Symbol Technologies, Inc........... 29,342 500 Tech Data Corp. (b)................ 18,925 -------------- 7,782,460 -------------- Computer Services -- 1.31% 1,700 Acxiom Corp. (b)................... 29,733 2,895 Affiliated Computer Services, Inc., Class A (b)....................... 137,455 5,700 Amazon.Com, Inc. (b)............... 92,625 60,758 AOL-Time Warner, Inc. (b).......... 893,750 18,602 Automatic Data Processing, Inc..... 810,117 3,500 Ceridian Corp. (b)................. 66,430 800 Cerner Corp. (b)................... 38,264 500 Computer Sciences Corp. (b)........ 23,900
See accompanying notes to financial statements. 33 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Computer Services (continued) 3,600 DST Systems, Inc. (b)............. $ 164,556 4,421 eBay, Inc. (b).................... 272,422 12,103 Electronic Data Systems Corp...... 449,626 267 Expedia, Inc., Class A (b)........ 15,830 23,010 First Data Corp................... 855,972 5,760 Fiserv, Inc. (b).................. 211,450 1,100 GTECH Holdings Corp. (b).......... 28,094 8,720 IMS Health, Inc................... 156,524 4,528 Rational Software Corp. (b)....... 37,175 2,224 RealNetworks, Inc. (b)............ 9,052 8,445 SunGard Data Systems, Inc. (b).... 223,624 700 Ticketmaster (b).................. 13,097 1,103 Total System Services, Inc........ 20,747 1,611 Unisys Corp. (b).................. 14,499 3,297 Verisign, Inc. (b)................ 23,705 4,500 WebMD Corp. (b)................... 25,335 11,639 Yahoo!, Inc. (b).................. 171,792 600 Zebra Technologies Corp., Class A (b)...................... 28,932 -------------- 4,814,706 -------------- Computer Software -- 2.96% 1,300 Activision, Inc. (b).............. 37,778 7,186 Adobe Systems, Inc................ 204,801 980 Advent Software, Inc. (b)......... 25,186 900 Autodesk, Inc..................... 11,925 10,805 BEA Systems, Inc. (b)............. 102,756 4,030 BMC Software, Inc. (b)............ 66,898 7,515 Cadence Design Systems, Inc. (b).. 121,142 1,730 CDW Computer Centers, Inc. (b).... 80,981 4,770 Citrix Systems, Inc. (b).......... 28,811 1,700 Computer Associates International, Inc.............................. 27,013 4,474 Compuware Corp. (b)............... 27,157 5,181 Convergys Corp. (b)............... 100,926 3,649 Electronic Arts, Inc. (b)......... 241,016 400 GameStop Corp. (b)................ 8,396 4,570 i2 Technologies, Inc. (b)......... 6,764 5,692 Intuit, Inc. (b).................. 283,006 3,000 J.D. Edwards & Co. (b)............ 36,450 2,300 Mercury Interactive Corp. (b)..... 52,808 134,633 Microsoft Corp. (b)............... 7,364,424 4,400 Network Associates, Inc. (b)...... 84,788 123,827 Oracle Corp. (b).................. 1,172,642 8,300 PeopleSoft, Inc. (b).............. 123,504 11,691 Siebel Systems, Inc. (b).......... 166,246 1,261 Sybase, Inc. (b).................. 13,304 4,297 Symantec Corp. (b)................ 141,156 2,260 Synopsys, Inc. (b)................ 123,871
Security Shares Description Value ------ ----------- ----- Computer Software (continued) 10,528 Veritas Software Corp. (b).... $ 208,349 -------------- 10,862,098 -------------- Conglomerates -- 2.49% 12,360 Corning, Inc.................. 43,878 298,808 General Electric Co........... 8,680,373 2,200 Honeywell International, Inc.. 77,506 5,297 United Technologies Corp...... 359,666 -------------- 9,161,423 -------------- Construction Services -- 0.12% 1,538 American Standard Companies, Inc. (b)..................... 115,504 600 D. R. Horton, Inc............. 15,618 400 Fluor Corp.................... 15,580 200 HON INDUSTRIES, Inc........... 5,444 1,000 Jacobs Engineering Group, Inc. (b)..................... 34,780 100 Lennar Corp................... 6,120 6,400 Masco Corp.................... 173,504 200 NVR, Inc. (b)................. 64,600 200 Vulcan Materials Co........... 8,760 -------------- 439,910 -------------- Consumer Products -- 1.23% 100 Alberto-Culver Co., Class B... 4,780 2,300 Black & Decker Corp........... 110,860 600 Church & Dwight Co., Inc...... 18,798 2,500 Clorox Co..................... 103,375 14,523 Colgate-Palmolive Co.......... 726,876 400 Energizer Holdings, Inc. (b).. 10,968 7,900 Kimberly-Clark Corp........... 489,800 2,304 Maytag Corp................... 98,266 400 Newell Rubbermaid, Inc........ 14,024 23,219 Procter & Gamble Co........... 2,073,456 1,500 The Dial Corp................. 30,030 2,295 The Estee Lauder Cos., Inc., Class A...................... 80,784 18,719 The Gillette Co............... 634,013 200 The Scotts Co., Class A (b)... 9,080 1,300 The Stanley Works............. 53,313 500 The Valspar Corp.............. 22,570 747 Weight Watchers International, Inc. (b)..................... 32,450 -------------- 4,513,443 -------------- Department Stores -- 1.69% 1,900 Big Lots, Inc................. 37,392 1,606 Foot Locker, Inc. (b)......... 23,207 8,799 Kohl's Corp. (b).............. 616,634 27,257 Target Corp................... 1,038,492 81,969 Wal-Mart Stores, Inc.......... 4,509,114 -------------- 6,224,839 --------------
See accompanying notes to financial statements. 34 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Drugs -- 6.14% 46,904 Abbott Laboratories............. $ 1,765,936 1,900 Andrx Corp. (b)................. 51,243 794 Barr Laboratories, Inc. (b)..... 50,443 4,464 Biogen, Inc. (b)................ 184,944 21,563 Bristol-Myers Squibb Co......... 554,169 26,048 Eli Lilly & Co.................. 1,469,107 4,871 Forest Laboratories, Inc., Class A (b).................... 344,867 5,987 Genentech, Inc. (b)............. 200,565 700 ICN Pharmaceuticals, Inc........ 16,947 4,600 IVAX Corp. (b).................. 49,680 90,563 Johnson & Johnson............... 4,732,822 7,499 King Pharmaceuticals, Inc. (b).. 166,853 659 Medicis Pharmaceutical Corp., Class A (b).................... 28,179 7,504 MedImmune, Inc. (b)............. 198,106 39,446 Merck & Co., Inc................ 1,997,545 4,771 Millennium Pharmaceuticals, Inc. (b)....................... 57,968 3,508 Mylan Laboratories, Inc......... 109,976 187,818 Pfizer, Inc..................... 6,573,629 38,846 Pharmacia Corp.................. 1,454,783 17,640 Schering-Plough Corp............ 433,944 2,100 SICOR, Inc. (b)................. 38,934 1,141 Watson Pharmaceuticals, Inc. (b) 28,833 39,926 Wyeth Corp...................... 2,044,211 -------------- 22,553,684 -------------- Electric Utilities -- 0.02% 5,030 AES Corp. (b)................... 27,263 3,170 Calpine Corp. (b)............... 22,285 1,880 Mirant Corp. (b)................ 13,724 -------------- 63,272 -------------- Electronic Components & Instruments -- 0.17% 1,757 Beckman Coulter, Inc............ 87,674 1,000 Cymer, Inc. (b)................. 35,040 3,406 Danaher Corp.................... 225,989 800 Harman International Industries, Inc............................ 39,400 1,100 Mettler-Toledo International, Inc. (b)....................... 40,557 1,409 Millipore Corp.................. 45,060 100 Pall Corp....................... 2,075 1,389 PerkinElmer, Inc................ 15,348 300 Teleflex, Inc................... 17,145 1,500 Thermo Electron Corp. (b)....... 24,750 3,910 Waters Corp. (b)................ 104,397 -------------- 637,435 --------------
Security Shares Description Value ------ ----------- ----- Electronic Equipment -- 0.24% 6,607 Agilent Technologies, Inc. (b)... $ 156,255 700 American Power Conversion Corp. (b)....................... 8,841 600 Amphenol Corp., Class A (b)...... 21,600 700 Arrow Electronics, Inc. (b)...... 14,525 1,600 Fisher Scientific International, Inc. (b)........................ 44,800 13,700 General Motors Corp., Class H (b) 142,480 1,619 Integrated Device Technology, Inc. (b)........................ 29,369 4,300 Jabil Circuit, Inc. (b).......... 90,773 18,300 JDS Uniphase Corp. (b)........... 48,861 3,351 Molex, Inc....................... 112,359 2,300 Polycom, Inc. (b)................ 27,577 8,417 Sanmina Corp. (b)................ 53,111 500 Tektronix, Inc. (b).............. 9,355 4,281 Teradyne, Inc. (b)............... 100,604 1,100 Vishay Intertechnology, Inc. (b). 24,200 -------------- 884,710 -------------- Energy -- 0.02% 600 CONSOL Energy, Inc............... 12,750 1,700 Kinder Morgan, Inc............... 64,634 -------------- 77,384 -------------- Entertainment -- 0.01% 400 Blockbuster, Inc................. 10,760 500 Callaway Golf Co................. 7,920 400 International Speedway Corp., Class A......................... 16,040 200 Regal Entertainment Group, Class A (b)..................... 4,664 -------------- 39,384 -------------- Financial Services -- 2.21% 500 Affiliated Managers Group, Inc. (b)........................ 30,750 2,400 Allied Capital Corp.............. 54,360 200 Ambac Financial Group, Inc....... 13,440 22,131 American Express Co.............. 803,798 2,044 AmeriCredit Corp. (b)............ 57,334 7,597 Bank of New York Co., Inc........ 256,399 500 BlackRock, Inc. (b).............. 22,150 32,876 Charles Schwab Corp.............. 368,211 900 CheckFree Corp. (b).............. 14,076 28,836 Citigroup, Inc................... 1,117,395 15,391 Concord EFS, Inc. (b)............ 463,885 900 Doral Financial Corp............. 30,051 4,000 E*Trade Group, Inc. (b).......... 21,840 1,800 Eaton Vance Corp................. 56,160 29,924 Fannie Mae....................... 2,206,895 2,520 Federated Investors, Inc......... 87,116 19,359 Freddie Mac...................... 1,184,771
See accompanying notes to financial statements. 35 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Financial Services (continued) 5,472 H & R Block, Inc............... $ 252,533 2,346 Household International, Inc... 116,596 1,500 Investment Technology Group, Inc. (b)...................... 49,050 1,960 Investors Financial Services Corp.......................... 65,738 500 John Nuveen Co., Class A....... 12,850 184 LaBranche & Co., Inc. (b)...... 4,214 1,100 Legg Mason, Inc................ 54,274 3,905 Moody's Corp................... 194,274 1,584 Neuberger Berman, Inc.......... 57,974 1,100 New York Community Bancorp, Inc........................... 29,810 600 Provident Financial Group, Inc. 17,406 2,300 SEI Investments Co............. 64,791 800 Stilwell Financial, Inc........ 14,560 1,000 T. Rowe Price Group, Inc....... 32,880 1,400 TCF Financial Corp............. 68,740 2,200 Waddell & Reed Financial, Inc.. 50,424 4,600 Wells Fargo & Co............... 230,276 --------------- 8,105,021 --------------- Food & Beverages -- 2.46% 17,624 Anheuser-Busch Cos., Inc....... 881,200 1,000 Brown-Forman Corp., Class B.... 69,000 51,892 Coca-Cola Co................... 2,905,952 6,600 Coca-Cola Enterprises, Inc..... 145,728 906 Constellation Brands, Inc. (b). 28,992 600 Dreyers Grand Ice Cream, Inc... 41,160 7,800 General Mills, Inc............. 343,824 5,100 H.J. Heinz Co.................. 209,610 1,400 Hershey Foods Corp............. 87,500 3,800 Kellogg Co..................... 136,268 2,259 Kraft Foods, Inc............... 92,506 2,160 McCormick & Co., Inc........... 55,620 5,239 Pepsi Bottling Group, Inc...... 161,361 53,195 PepsiCo, Inc................... 2,563,999 1,000 Performance Food Group Co. (b). 33,860 11,800 Sara Lee Corp.................. 243,552 11,581 Starbucks Corp. (b)............ 287,788 19,907 Sysco Corp..................... 541,869 715 Tootsie Roll Industries, Inc... 27,570 3,300 William Wrigley Jr., Co........ 182,655 --------------- 9,040,014 --------------- Forest Products & Papers -- 0.04% 2,170 Avery Dennison Corp............ 136,168 --------------- Grocery -- 0.17% 18,317 Kroger Co. (b)................. 364,508 5,910 Safeway, Inc. (b).............. 172,513
Security Shares Description Value ------ ----------- ----- Grocery (continued) 1,582 Whole Foods Market, Inc. (b)..... $ 76,284 --------------- 613,305 --------------- Health Care -- 1.15% 900 Accredo Health, Inc. (b)......... 41,526 2,226 AdvancePCS (b)................... 53,290 2,441 AmerisourceBergen Corp........... 185,516 400 AMN Healthcare Services, Inc. (b)........................ 14,004 2,603 Anthem, Inc. (b)................. 175,650 13,563 Cardinal Health, Inc............. 832,904 6,700 Caremark Rx, Inc. (b)............ 110,550 1,080 Community Health Systems, Inc. (b)........................ 28,944 500 Coventry Health Care, Inc. (b)... 14,210 2,300 DaVita, Inc. (b)................. 54,740 1,936 Express Scripts, Inc. (b)........ 97,013 14,800 HCA, Inc......................... 703,000 7,250 Health Management Associates, Inc. (b)........................ 146,088 600 Health Net, Inc. (b)............. 16,062 800 Healthsouth Corp. (b)............ 10,232 4,300 Laboratory Corporation of America Holdings (b).................... 196,295 1,200 LifePoint Hospitals, Inc. (b).... 43,572 3,200 Lincare Holdings, Inc. (b)....... 103,360 1,200 Manor Care, Inc. (b)............. 27,600 6,910 McKesson Corp.................... 225,957 1,400 Mid Atlantic Medical Services, Inc. (b)........................ 43,890 1,360 Omnicare, Inc.................... 35,714 1,200 Orthodontic Centers of America, Inc. (b)........................ 27,660 2,268 Quest Diagnostics, Inc. (b)...... 195,161 1,100 Renal Care Group, Inc. (b)....... 34,265 9,800 Tenet Healthcare Corp. (b)....... 701,190 1,100 Triad Hospitals, Inc. (b)........ 46,618 1,500 Universal Health Services (b).... 73,500 --------------- 4,238,511 --------------- Hotels/Motels -- 0.07% 500 Extended Stay America, Inc. (b).. 8,110 2,000 Hilton Hotels Corp............... 27,800 300 Hotels.Com (b)................... 12,669 3,100 Marriott International, Inc., Class A......................... 117,955 2,600 Starwood Hotels & Resorts Worldwide, Inc.................. 85,514 --------------- 252,048 --------------- Industrial Services -- 0.37% 8,429 3M Co............................ 1,036,767
See accompanying notes to financial statements. 36 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Industrial Services (continued) 800 Donaldson Co., Inc............... $ 28,032 1,812 Fastenal Co...................... 69,780 1,500 Flowserve Corp. (b).............. 44,700 2,300 Gentex Corp. (b)................. 63,181 1,400 Graco, Inc....................... 35,196 200 ITT Industries, Inc.............. 14,120 700 Shaw Group, Inc. (b)............. 21,490 500 SPX Corp. (b).................... 58,750 -------------- 1,372,016 -------------- Insurance -- 1.30% 7,533 AFLAC, Inc....................... 241,056 30,256 American International Group, Inc............................. 2,064,366 2,600 Arthur J. Gallagher & Co......... 90,090 1,500 Brown & Brown, Inc............... 47,250 3,010 First Health Group Corp. (b)..... 84,400 300 HCC Insurance Holdings, Inc...... 7,905 7,771 Marsh & McLennan Cos., Inc....... 750,679 2,660 Oxford Health Plans, Inc. (b).... 123,584 3,400 The Progressive Corp............. 196,690 900 Trigon Healthcare, Inc. (b)...... 90,522 8,185 UnitedHealth Group, Inc.......... 749,337 4,404 Wellpoint Health Networks, Inc. (b)........................ 342,675 -------------- 4,788,554 -------------- Machinery -- 0.07% 1,200 AGCO Corp........................ 23,400 3,200 Illinois Tool Works, Inc......... 218,560 -------------- 241,960 -------------- Media -- 0.52% 100 Cablevision Systems Corp. - Rainbow Media Group (b)........ 875 7,800 Clear Channel Communications, Inc. (b)........................ 249,756 1,687 Comcast Corp., Class A (b)....... 40,218 300 Cox Communications, Inc., Class A (b)..................... 8,265 700 Cox Radio, Inc. (b).............. 16,870 900 Dow Jones & Co., Inc............. 43,605 7,220 EchoStar Communications Corp. (b)....................... 134,003 100 Emmis Communications Corp., Class A (b)..................... 2,119 900 Entercom Communications Corp. (b)....................... 41,310 1,700 Fox Entertainment Group, Inc. (b) 36,975 3,347 Gemstar-TV Guide International, Inc. (b)........................ 18,040
Security Shares Description Value ------ ----------- ----- Media (continued) 1,151 Hispanic Broadcasting Corp., Class A (b)..................... $ 30,041 300 LIN TV Corp., Class A (b)........ 8,112 200 Meredith Corp.................... 7,670 600 Metro-Goldwyn-Mayer, Inc. (b).... 7,020 489 Pixar Animation Studios, Inc. (b) 21,565 1,200 Radio One, Inc. (b).............. 17,844 800 The E.W. Scripps Co.............. 61,600 4,600 Univision Communications, Inc. (b)........................ 144,440 4,373 USA Networks, Inc. (b)........... 102,547 18,773 Viacom, Inc., Class B (b)........ 832,958 2,300 Westwood One, Inc. (b)........... 76,866 -------------- 1,902,699 -------------- Medical Products -- 1.24% 4,071 Allergan, Inc.................... 271,739 1,599 Apogent Technologies, Inc. (b)... 32,891 18,045 Baxter International, Inc........ 802,100 1,100 Becton, Dickinson & Co........... 37,895 8,068 Biomet, Inc...................... 218,804 9,500 Boston Scientific Corp. (b)...... 278,540 1,300 Charles River Laboratories International, Inc. (b)......... 45,565 3,724 Cytyc Corp. (b).................. 28,377 2,100 Dentsply International, Inc...... 77,511 700 Diagnostic Products Corp......... 25,900 1,200 Edwards Lifesciences Corp. (b)... 27,840 9,191 Guidant Corp. (b)................ 277,844 800 Henry Schein, Inc. (b)........... 35,600 36,521 Medtronic, Inc................... 1,564,926 1,500 Patterson Dental Co. (b)......... 75,495 1,755 Quintiles Transnational Corp. (b) 21,920 600 Ribapharm, Inc. (b).............. 5,454 2,655 St. Jude Medical, Inc. (b)....... 196,072 2,000 STERIS Corp. (b)................. 38,220 4,000 Stryker Corp..................... 214,040 2,000 Varian Medical Systems, Inc. (b). 81,100 5,870 Zimmer Holdings, Inc. (b)........ 209,324 -------------- 4,567,157 -------------- Metals -- 0.04% 3,781 Alcoa, Inc....................... 125,340 2,200 Freeport-McMoRan Copper & Gold, Inc., Class B (b)............... 39,270 -------------- 164,610 -------------- Mining -- 0.09% 2,400 Nabors Industries, Inc. (b)...... 84,360 9,181 Newmont Mining Corp.............. 241,736 -------------- 326,096 --------------
See accompanying notes to financial statements. 37 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Motorcycles -- 0.14% 9,133 Harley-Davidson, Inc............. $ 468,249 700 Polaris Industries, Inc.......... 45,500 -------------- 513,749 -------------- Oil & Gas -- 0.45% 1,100 Amerada Hess Corp................ 90,750 3,440 Anadarko Petroleum Corp.......... 169,592 9,510 Baker Hughes, Inc................ 316,587 4,700 BJ Services Co. (b).............. 159,236 1,278 Burlington Resources, Inc........ 48,564 1,300 Cooper Cameron Corp. (b)......... 62,946 1,000 Diamond Offshore Drilling, Inc... 28,500 3,600 Ensco International, Inc......... 98,136 200 FMC Technologies, Inc. (b)....... 4,152 500 Forest Oil Corp. (b)............. 14,215 2,700 Grant Prideco, Inc. (b).......... 36,720 6,600 Halliburton Co................... 105,204 830 Murphy Oil Corp.................. 68,475 1,500 National-Oilwell, Inc. (b)....... 31,575 806 Newfield Exploration Co. (b)..... 29,959 1,000 Noble Energy, Inc................ 36,050 3,800 Ocean Energy, Inc................ 82,346 2,000 Patterson-UTI Energy, Inc. (b)... 56,460 600 Pioneer Natural Resources Co. (b) 15,630 200 Pogo Producing Co................ 6,524 1,714 Pride International, Inc. (b).... 26,841 1,600 Rowan Companies, Inc............. 34,320 1,540 Smith International, Inc. (b).... 105,013 1,500 Varco International, Inc. (b).... 26,310 1,104 Williams Cos., Inc............... 6,613 261 XTO Energy, Inc.................. 5,377 -------------- 1,666,095 -------------- Packaging/Containers -- 0.03% 400 Ball Corp........................ 16,592 2,300 Sealed Air Corp. (b)............. 92,621 -------------- 109,213 -------------- Publishing & Printing -- 0.15% 1,350 Harte-Hanks, Inc................. 27,743 1,400 John Wiley & Sons, Inc........... 33,572 4,913 McGraw-Hill Cos., Inc............ 293,305 2,800 New York Times Co., Class A...... 144,200 835 Readers Digest Association, Inc., Class A......................... 15,640 500 Scholastic Corp. (b)............. 18,950 -------------- 533,410 -------------- Real Estate -- 0.02% 1,874 Catellus Development Corp. (b)... 38,267
Security Shares Description Value ------ ----------- ----- Real Estate (continued) 900 The St. Joe Co.................. $ 27,018 -------------- 65,285 -------------- Real Estate Investment Trusts -- 0.00% 400 The Rouse Co.................... 13,200 -------------- Rental & Leasing--0.01% 800 Rent-A-Center, Inc. (b)......... 46,408 300 United Rentals, Inc. (b)........ 6,540 -------------- 52,948 -------------- Restaurants -- 0.20% 1,700 Applebee's International, Inc... 39,015 2,700 Brinker International, Inc. (b). 85,725 300 CBRL Group, Inc................. 9,156 800 CEC Entertainment, Inc. (b)..... 33,040 5,250 Darden Restaurants, Inc......... 129,675 1,200 Krispy Kreme Doughnuts, Inc. (b)....................... 38,628 900 Outback Steakhouse, Inc. (b).... 31,590 2,000 Ruby Tuesday, Inc............... 38,800 1,500 The Cheesecake Factory, Inc. (b) 53,220 1,900 Wendy's International, Inc...... 75,677 7,100 YUM! Brands, Inc. (b)........... 207,675 -------------- 742,201 -------------- Retail - Specialty -- 2.12% 1,200 99 Cents Only Stores (b)........ 30,780 400 Advance Auto Parts, Inc. (b).... 21,804 2,140 AutoZone, Inc. (b).............. 165,422 400 Barnes & Noble, Inc. (b)........ 10,572 8,769 Bed Bath & Beyond, Inc. (b)..... 330,942 7,722 Best Buy Co., Inc. (b).......... 280,309 2,131 BJ's Wholesale Club, Inc. (b)... 82,044 300 Borders Group, Inc. (b)......... 5,520 1,100 Chico's FAS, Inc. (b)........... 39,952 800 Circuit City Stores, Inc........ 15,000 6,900 Costco Wholesale Corp. (b)...... 266,478 8,500 Dollar General Corp............. 161,755 3,372 Dollar Tree Stores, Inc. (b).... 132,891 500 Ethan Allen Interiors Inc....... 17,425 4,805 Family Dollar Stores, Inc....... 169,376 1,000 Furniture Brands International, Inc. (b)....................... 30,250 2,300 Herman Miller, Inc.............. 46,690 70,643 Home Depot, Inc................. 2,594,716 100 La-Z-Boy, Inc................... 2,522 1,900 Leggett & Platt, Inc............ 44,460 23,347 Lowe's Cos., Inc................ 1,059,954 12,000 Mattel, Inc..................... 252,960 2,000 Michaels Stores, Inc. (b)....... 78,000 1,000 O'Reilly Automotive, Inc. (b)... 27,560 400 Petco Animal Supplies, Inc. (b). 9,964
See accompanying notes to financial statements. 38 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Retail -- Specialty (continued) 4,000 PETsMART, Inc. (b).................. $ 63,800 900 Pier 1 Imports, Inc................. 18,900 5,189 RadioShack Corp..................... 155,981 4,800 Rite Aid Corp. (b).................. 11,280 14,000 Staples, Inc. (b)................... 275,800 3,375 Tiffany & Co........................ 118,800 30,749 Walgreen Co......................... 1,187,834 2,700 Williams-Sonoma, Inc. (b)........... 82,782 300 Zale Corp. (b)...................... 10,875 -------------- 7,803,398 -------------- Schools -- 0.08% 3,540 Apollo Group, Inc., Class A (b)..... 139,547 1,400 Career Education Corp. (b).......... 63,000 1,700 DeVry, Inc. (b)..................... 38,828 700 Education Management Corp. (b)...... 28,511 399 University of Phoenix Online (b).... 11,818 -------------- 281,704 -------------- Semiconductors -- 2.45% 1,600 Adaptec, Inc. (b)................... 12,624 3,219 Advanced Micro Devices, Inc. (b).... 31,289 27,100 Agere Systems, Inc., Class B (b).... 40,650 11,595 Altera Corp. (b).................... 157,692 1,700 Amkor Technology, Inc. (b).......... 10,574 10,927 Analog Devices, Inc. (b)............ 324,532 49,284 Applied Materials, Inc. (b)......... 937,382 4,500 Applied Micro Circuits Corp. (b).... 21,285 8,584 Atmel Corp. (b)..................... 53,736 3,000 Broadcom Corp., Class A (b)......... 52,620 3,500 Conexant Systems, Inc. (b).......... 5,670 2,800 Cypress Semiconductor Corp. (b)..... 42,504 3,200 Fairchild Semiconductor International, Inc. (b)............ 77,760 1,400 Integrated Circuit Systems, Inc. (b) 28,266 201,022 Intel Corp.......................... 3,672,671 1,671 International Rectifier Corp. (b)... 48,710 2,347 Intersil Corp., Class A (b)......... 50,179 5,700 KLA-Tencor Corp. (b)................ 250,743 3,800 Lam Research Corp. (b).............. 68,324 9,564 Linear Technology Corp.............. 300,597 5,600 LSI Logic Corp. (b)................. 49,000 9,738 Maxim Integrated Products, Inc. (b). 373,258 1,900 Micrel, Inc. (b).................... 27,322 5,962 Microchip Technology, Inc. (b)...... 163,538 8,300 Micron Technology, Inc. (b)......... 167,826 600 MKS Instruments, Inc. (b)........... 12,042 4,500 National Semiconductor Corp. (b).... 131,265 4,017 Novellus Systems, Inc. (b).......... 136,578 3,900 NVIDIA Corp. (b).................... 67,002
Security Shares Description Value ------ ----------- ----- Semiconductors (continued) 4,987 PMC-Sierra, Inc. (b)................ $ 46,229 2,600 QLogic Corp. (b).................... 99,060 4,341 RF Micro Devices, Inc. (b).......... 33,078 1,800 Semtech Corp. (b)................... 48,060 1,229 Skyworks Solutions, Inc. (b)........ 6,818 52,166 Texas Instruments, Inc.............. 1,236,333 10,095 Xilinx, Inc. (b).................... 226,431 -------------- 9,011,648 -------------- Telecommunications -- 0.49% 33,614 AT&T Wireless Services, Inc. (b).... 196,642 3,900 Citizens Communications Co. (b)..... 32,604 9,700 Level 3 Communications, Inc. (b).... 28,615 2,057 MCI Group........................... 3,456 44,900 Motorola, Inc....................... 647,457 18,037 Nextel Communications, Inc., Class A (b)........................ 57,899 23,136 QUALCOMM, Inc. (b).................. 636,009 20,289 Qwest Communications International, Inc................. 56,809 21,315 Sprint Corp. - PCS Group (b)........ 95,278 1,900 UTStarcom, Inc. (b)................. 38,323 56 WorldCom, Inc. (b).................. 13 -------------- 1,793,105 -------------- Textile Products -- 0.03% 1,500 Mohawk Industries Co. (b)........... 92,295 -------------- Tobacco -- 0.49% 39,339 Philip Morris Companies., Inc....... 1,718,328 2,491 UST Companies., Inc................. 84,694 -------------- 1,803,022 -------------- Transportation & Shipping -- 0.31% 2,000 C.H. Robinson Worldwide, Inc........ 67,060 2,864 Expeditors International of Washington, Inc.................... 94,970 57 JetBlue Airways Corp. (b)........... 2,597 1,000 SkyWest, Inc........................ 23,390 11,600 Southwest Airlines Co............... 187,456 1,000 Swift Transportation Co., Inc. (b).. 23,300 787 Tidewater, Inc...................... 25,908 11,679 United Parcel Service, Inc., Class B 721,178 -------------- 1,145,859 -------------- Waste Disposal -- 0.03% 3,280 Allied Waste Industries, Inc. (b)... 31,488 3,400 Waste Management, Inc............... 88,570 -------------- 120,058 -------------- Total -- SSgA Funds Management, Inc. (cost $157,113,003)................ 140,841,902 -------------- Total Common Stocks (cost $370,879,210)................ 352,394,952 --------------
See accompanying notes to financial statements. 39 THE HIRTLE CALLAGHAN TRUST Growth Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Shares or Principal Security Amount Description Value ------ ----------- ----- Common Stocks (continued) SSgA Funds Management, Inc. (continued) Commercial Paper -- 3.44% Jennison Associates LLC -- 3.44% $ 7,012,000 American Express Credit Corp., 1.68%, 07/01/02................... $ 7,012,000 5,628,000 ChevronTexaco Corp., 1.79%, 07/01/02................... 5,628,000 -------------- Total Commercial Paper (Cost $12,640,000)................ 12,640,000 -------------- Warrant -- 0.00% SSgA Funds Management, Inc. -- 0.00% 57 Expedia, Inc., Strike Price $52.00, 2/4/09............................ 1,653 -------------- Total Warrant (Cost $0)............ 1,653 -------------- Short-Term Investments -- 0.89% Jennison Associates LLC -- 0.00% Cash & Equivalents -- 0.00% 715 Deutsche Bank Cash Sweep........... 715 -------------- SSgA Funds Management, Inc. Money Market Mutual Fund -- 0.81% $ 2,991,168 Alliance Money Market Fund Prime Portfolio......................... 2,991,168
Futures
Number of Notional Expiration Unrealized Contracts Futures Contracts Long Value Date Gain/(Loss) --------- ---------------------- -------- ---------- ----------- SSgA Funds Management, Inc. 28 Nasdaq 100 E-Mini Future $ 590,240 September 2002 $ 284 33 S&P 500 E-Mini Future... 1,633,665 September 2002 (20,216) 6 S&P Barra Growth Future. 737,850 September 2002 (40,604) -------- Total Unrealized Loss... $(60,536) ========
Principal Security Amount Description Value ------ ----------- ----- U.S. Treasury Bill -- 0.08% $ 290,000 U.S. Treasury Bill, 2.04%, 9/12/02 (c)........... $ 289,024 -------------- 3,280,192 -------------- Total Short-Term Investments (cost $3,280,894)............ 3,280,907 -------------- Total Investments (cost $386,800,104) (a) -- 100.20%...................... 368,317,512 Liabilities in excess of other assets -- (0.20)%............ (770,055) -------------- NET ASSETS -- 100.00%......... $ 367,547,457 ==============
-------- (a) Cost for federal income tax purposes is $408,572,033. The gross unrealized appreciation/(depreciation) on a tax basis is as follows: Unrealized appreciation.... $ 20,000,494 Unrealized depreciation.... (60,255,015) ------------ Net unrealized depreciation $(40,254,521) ============
(b) Represents non-income producing securities. (c) Principal amount is pledged as collateral for open future contracts. ADR -- American Depository Receipt PLC -- Public Limited Company See accompanying notes to financial statements. 40 THE HIRTLE CALLAGHAN TRUST Small Capitalization Equity Portfolio Portfolio of Investments -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks -- 93.38% Frontier Capital Management Co. -- 42.52% Aerospace -- 0.38% 44,700 BFGoodrich Corp................... $ 1,221,204 ------------- Agriculture -- 0.59% 94,700 Delta Pine & Land Co.............. 1,903,470 ------------- Auto Parts -- 0.65% 59,300 Autoliv, Inc...................... 1,494,360 47,800 IMPCO Technologies, Inc. (b)...... 626,180 ------------- 2,120,540 ------------- Biotechnology -- 0.18% 29,200 Applera Corp...................... 569,108 ------------- Broadcasting & Television -- 0.32% 192,700 Gemstar-TV Guide International, Inc. (b)......................... 1,038,653 ------------- Business Equipment & Services -- 0.68% 36,300 Diebold, Inc...................... 1,351,812 47,690 On Assignment, Inc. (b)........... 848,882 ------------- 2,200,694 ------------- Chemicals -- 0.74% 71,800 Agrium Inc........................ 674,920 8,200 Cambrex Corp...................... 328,820 111,800 IMC Global, Inc................... 1,397,500 ------------- 2,401,240 ------------- Commercial Services -- 0.47% 46,000 Bright Horizons Family Solutions, Inc. (b)......................... 1,523,060 ------------- Communications Technology -- 0.29% 76,000 Ciena Corp. (b)................... 318,440 99,200 Power-One, Inc. (b)............... 617,024 ------------- 935,464 ------------- Computer Equipment -- 0.73% 93,900 Apple Computer, Inc. (b).......... 1,663,908 22,400 Hutchinson Technology, Inc. (b)... 350,336 16,400 Mercury Computer Systems, Inc. (b) 339,480 ------------- 2,353,724 ------------- Computer Services -- 0.91% 115,600 Acxiom Corp. (b).................. 2,021,844 44,900 Perot Systems Corp., Class A (b).. 488,961 38,400 RadiSys Corp. (b)................. 446,592 ------------- 2,957,397 ------------- Computer Software -- 2.30% 126,300 Ansoft Corp. (b).................. 742,644 31,500 Documentum, Inc. (b).............. 378,000 131,100 E.piphany, Inc. (b)............... 575,529 94,800 Informatica Corp. (b)............. 672,132 120,940 Information Resources, Inc. (b)... 1,135,505
Security Shares Description Value ------ ----------- ----- Computer Software (continued) 169,300 Legato Systems, Inc. (b).............. $ 609,480 40,900 McDATA Corp. (b)...................... 364,010 111,500 Parametric Technology Corp. (b)....... 399,059 73,000 Plumtree Software, Inc. (b)........... 363,540 100,000 TIBCO Software, Inc. (b).............. 556,000 57,300 webMethods, Inc. (b).................. 567,270 104,200 Wind River Systems, Inc. (b).......... 522,042 ----------- 7,438,481 ----------- Computer Software & Services -- 0.57% 28,100 Andrew Corp. (b)...................... 419,252 162,100 Aspect Communications Corp. (b)....... 518,720 8,180 DiamondCluster International, Inc. (b) 48,916 37,100 KPMG Consulting, Inc. (b)............. 551,306 39,600 Sykes Enterprises, Inc. (b)........... 319,176 ----------- 1,857,370 ----------- Construction -- 2.27% 100,200 Chicago Bridge & Iron Co.............. 2,824,638 73,300 Fluor Corp............................ 2,855,035 47,800 Jacobs Engineering Group, Inc. (b).... 1,662,484 ----------- 7,342,157 ----------- Consumer Products & Services -- 0.28% 84,500 Stewart Enterprises, Inc., Class A (b) 538,265 7,800 The Scotts Company, Class A (b)....... 354,120 ----------- 892,385 ----------- Containers & Packaging -- 0.48% 100,000 Smurfit-Stone Container Corp. (b)..... 1,542,000 ----------- Control & Filter Services -- 0.69% 46,600 Flowserve Corp. (b)................... 1,388,680 6,700 Roper Industries, Inc................. 249,910 29,800 Watts Industries, Inc., Class A....... 591,530 ----------- 2,230,120 ----------- Electrical & Electronics -- 5.14% 76,790 Active Power Inc. (b)................. 277,212 21,600 Analog Devices, Inc. (b).............. 641,520 45,200 Anaren Microwave, Inc. (b)............ 390,528 174,400 Artesyn Technologies, Inc. (b)........ 1,138,832 32,200 C&D Technologies, Inc................. 580,244 44,400 Cypress Semiconductor Corp. (b)....... 673,992 510,100 GrafTech International Ltd. (b)....... 6,274,230 48,000 Harman International Industries, Inc.. 2,364,000 239,500 LoJack Corp. (b)...................... 838,250 69,200 LSI Logic Corp. (b)................... 605,500 62,300 Orbital Sciences Corp. (b)............ 496,531 134,000 Powerwave Technologies, Inc. (b)...... 1,227,440 75,300 Trimble Navigation Ltd. (b)........... 1,167,150 ----------- 16,675,429 -----------
See accompanying notes to financial statements. 41 THE HIRTLE CALLAGHAN TRUST Small Capitalization Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) Frontier Capital Management Co. (continued) Electronic Components & Instruments -- 2.59% 149,500 Agere Systems Inc., Class A (b)...... $ 209,300 77,000 Applied Micro Circuits Corp. (b)..... 364,210 126,800 Atmel Corp. (b)...................... 793,768 76,900 ChipPAC, Inc., Class A (b)........... 475,242 42,320 Cirrus Logic, Inc. (b)............... 311,898 85,600 Cree, Inc. (b)....................... 1,132,488 69,400 Lattice Semiconductor Corp. (b)...... 603,086 30,300 LTX Corp. (b)........................ 432,684 79,000 Microsemi Corp. (b).................. 521,400 17,200 National Semiconductor Corp. (b)..... 501,724 50,600 Oak Technology, Inc. (b)............. 229,218 67,200 Power Integrations, Inc. (b)......... 1,217,664 103,200 SBS Technologies, Inc. (b)........... 1,264,097 65,590 SIPEX Corp. (b)...................... 320,670 ------------- 8,377,449 ------------- Energy -- 0.71% 50,400 American Power Conversion Corp. (b).. 636,552 43,900 Arch Coal, Inc....................... 996,969 52,900 Massey Energy Co..................... 671,830 ------------- 2,305,351 ------------- Financial Services -- 2.02% 104,600 Ameritrade Holding Corp., Class A (b) 479,068 204,200 E*Trade Group, Inc. (b).............. 1,114,932 51,150 Investment Technology Group, Inc. (b)............................ 1,672,605 84,100 Knight Trading Group, Inc. (b)....... 440,684 65,700 Ritchie Bros. Auctioneers, Inc. (b).. 2,050,497 33,950 Waddell & Reed Financial, Inc........ 778,134 ------------- 6,535,920 ------------- Forest Products & Papers -- 0.53% 63,898 Albany International Corp., Class A.. 1,719,495 ------------- Health Care -- 0.94% 33,200 Express Scripts, Inc., Class A (b)... 1,663,652 29,900 Omnicare, Inc........................ 785,174 43,300 PAREXEL International Corp. (b)...... 602,303 ------------- 3,051,129 ------------- Industrial Products -- 0.52% 71,900 Northwest Pipe Co. (b)............... 1,683,179 ------------- Information Technology -- 0.28% 225,900 CNET Networks, Inc. (b).............. 449,541 52,800 Symbol Technologies, Inc............. 448,800 ------------- 898,341 ------------- Insurance -- 0.47% 40,300 HCC Insurance Holdings, Inc.......... 1,061,905 14,200 Willis Group Holdings Ltd. (b)....... 467,322 ------------- 1,529,227 -------------
Security Shares Description Value ------ ----------- ----- Medical Supplies -- 0.95% 153,800 Endocardial Solutions, Inc. (b)..... $ 1,167,342 24,900 PerkinElmer, Inc.................... 275,145 85,000 STERIS Corp. (b).................... 1,624,350 ------------- 3,066,837 ------------- Metals -- 0.68% 45,400 Intermagnetics General Corp. (b).... 917,080 44,700 Kaydon Corp......................... 1,055,367 20,630 Liquidmetal Technologies (b)........ 242,403 ------------- 2,214,850 ------------- Oil & Gas -- 3.60% 14,100 Anadarko Petroleum Corp............. 695,130 80,900 Chiles Offshore LLC (b)............. 1,883,352 73,400 Core Laboratories N.V. (b).......... 882,268 7,200 Encana Corp......................... 220,320 29,300 Noble Corp. (b)..................... 1,130,980 121,200 Ocean Energy, Inc................... 2,626,404 35,500 Swift Energy Co. (b)................ 560,545 46,100 Talisman Energy, Inc................ 2,081,415 35,900 Transocean Sedco Forex, Inc......... 1,118,285 27,400 Willbros Group, Inc. (b)............ 465,800 ------------- 11,664,499 ------------- Optimal Recognition Equipment -- 0.07% 31,100 Optimal Robotics Corp. (b).......... 226,719 ------------- Packaging/Containers -- 2.20% 449,000 Crown Cork & Seal Co., Inc. (b)..... 3,075,650 133,900 Packaging Corporation of America (b) 2,663,271 58,860 Pactiv Corp. (b).................... 1,400,868 ------------- 7,139,789 ------------- Pharmaceuticals -- 0.26% 32,500 IDEXX Laboratories, Inc. (b)........ 838,175 ------------- Production Technology -- 0.68% 25,600 Benchmark Electronics, Inc. (b)..... 742,400 25,600 Lam Research Corp. (b).............. 460,288 157,600 Sanmina - SCI Corp. (b)............. 994,456 ------------- 2,197,144 ------------- Railroads -- 0.64% 146,580 Wabtec Corp......................... 2,088,765 ------------- Recreation -- 0.77% 58,400 Callaway Golf Co.................... 925,056 13,000 MarineMax, Inc. (b)................. 168,350 96,200 Six Flags, Inc. (b)................. 1,390,090 ------------- 2,483,496 ------------- Restaurants -- 0.30% 35,500 Triarc Companies, Inc. (b).......... 979,800 ------------- Retail -- 1.41% 48,900 American Eagle Outfitters, Inc. (b). 1,033,746 11,800 BJ's Wholesale Club, Inc. (b)....... 454,300
See accompanying notes to financial statements. 42 THE HIRTLE CALLAGHAN TRUST Small Capitalization Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002 Security Shares Description Value ------ ----------- ----- Common Stocks (continued) Frontier Capital Management Co. (continued) Retail (continued) 64,200 Dollar Tree Stores, Inc. (b).......... $ 2,530,122 39,900 Factory 2-U Stores Inc. (b)........... 552,615 ------------- 4,570,783 ------------- Shipping -- 0.41% 54,500 Kirby Corp. (b)....................... 1,332,525 ------------- Steel -- 0.76% 50,973 AK Steel Holding Corp................. 652,964 115,050 Allegheny Technologies, Inc........... 1,817,790 ------------- 2,470,754 ------------- Telecommunications Equipment -- 0.78% 9,600 Advanced Fibre Communication, Inc. (b) 158,784 211,100 Arris Group, Inc. (b)................. 945,728 108,900 Harmonic, Inc. (b).................... 398,465 19,400 Harris Corp........................... 703,056 161,000 Sonus Networks, Inc. (b).............. 325,220 ------------- 2,531,253 ------------- Textile Manufacturing -- 0.80% 237,600 Unifi, Inc. (b)....................... 2,589,840 ------------- Toys -- 0.83% 197,200 Hasbro, Inc........................... 2,674,032 ------------- Transportation -- 0.66% 89,500 EGL, Inc. (b)......................... 1,517,920 26,400 Swift Transportation Co., Inc. (b).... 615,120 ------------- 2,133,040 ------------- Utilities -- 0.31% 58,900 Broadwing Inc. (b).................... 153,140 101,100 Citizens Communications Co. (b)....... 845,196 ------------- 998,336 ------------- Waste Disposal -- 0.68% 71,100 Republic Services, Inc. (b)........... 1,355,877 27,500 Waste Connections, Inc. (b)........... 859,100 ------------- 2,214,977 ------------- Total -- Frontier Capital Management Co. (cost $137,036,668).................. 137,718,201 ------------- Geewax, Terker & Co. -- 26.41% Aerospace/Defense -- 0.19% 5,800 Ducommon, Inc. (b).................... 152,192 7,800 Esterline Technologies Corp. (b)...... 177,060 7,200 Herley Industries, Inc. (b)........... 152,712 7,500 Kaman Corp., Class A.................. 125,700 ------------- 607,664 ------------- Airline Services -- 0.19% 46,300 ExpressJet Holdings, Inc. (b)......... 604,215 -------------
Security Shares Description Value ------ ----------- ----- Auto Parts -- 0.59% 6,010 Advance Auto Parts, Inc. (b)............ $ 327,605 18,200 Aftermarket Technology Corp. (b)........ 349,440 4,700 American Axle & Manufacturing Holdings, Inc. (b)..................... 139,778 9,500 Dura Automotive Systems, Inc. (b)....... 197,125 9,700 Monaco Coach Corp. (b).................. 206,610 17,200 Sonic Automotive, Inc. (b).............. 442,900 15,100 TBC Corp. (b)........................... 239,788 ------------- 1,903,246 ------------- Auto Related -- 0.66% 7,200 ArvinMeritor, Inc....................... 172,800 18,900 Donnelly Corp........................... 510,111 4,600 Group 1 Automotive, Inc. (b)............ 175,490 19,400 Keystone Automotive Industries, Inc. (b) 369,182 10,100 Smith (A.O.) Corp....................... 315,221 42,300 Tower Automotive, Inc. (b).............. 590,085 ------------- 2,132,889 ------------- Banking -- 1.81% 31,960 Commercial Federal Corp................. 926,839 12,600 First Charter Corp...................... 227,808 10,900 First Federal Capital Corp.............. 240,890 11,400 First Oak Brook Bancshares, Inc......... 363,090 13,100 First Place Financial Corp.............. 260,821 11,080 First Sentinel Bancorp, Inc............. 152,461 14,500 FIRSTFED AMERICA BANCORP, Inc........... 345,100 24,075 Flagstar Bancorp, Inc................... 556,133 13,500 Gold Banc Corporation, Inc.............. 148,082 16,400 Hawthorne Financial Corp. (b)........... 531,524 10,300 Irwin Financial Corp.................... 207,030 17,600 Local Financial Corp. (b)............... 287,056 5,300 MB Financial, Inc....................... 182,267 13,400 Prosperity Bancshares, Inc.............. 247,900 10,500 R&G Financial Corp., Class B............ 248,955 4,800 Seacoast Financial Services Corp........ 120,336 11,500 Westcorp................................ 367,425 3,300 Wintrust Financial Corp................. 114,081 9,600 WSFS Financial Corp..................... 248,352 4,100 Yardville National Bancorp.............. 81,754 ------------- 5,857,904 ------------- Broadcasting & Television -- 0.17% 19,800 Sinclair Broadcast Group, Inc. (b)...... 288,288 22,200 The Sports Authority, Inc., Class A (b). 252,192 ------------- 540,480 ------------- Building Materials & Components -- 0.40% 5,900 CoorsTek, Inc. (b)...................... 182,369 34,000 Foamex International, Inc. (b).......... 377,740 15,200 Griffon Corp. (b)....................... 275,120 11,100 LSI Industries Inc...................... 203,907 11,200 Universal Forest Products, Inc.......... 262,304 ------------- 1,301,440 -------------
See accompanying notes to financial statements. 43 THE HIRTLE CALLAGHAN TRUST Small Capitalization Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) Geewax, Terker & Co. (continued) Business Equipment & Services -- 0.93% 11,000 Alliance Data Systems Corp. (b)....... $ 281,050 18,300 American Management Systems, Inc. (b). 349,713 3,200 Global Imaging Systems, Inc. (b)...... 60,768 72,000 IKON Office Solutions, Inc............ 676,800 7,200 Labor Ready, Inc. (b)................. 42,120 80,300 MPS Group, Inc. (b)................... 682,550 12,400 NCO Group, Inc. (b)................... 273,916 3,900 Right Management Consultants, Inc. (b) 102,566 6,400 Standard Register Co.................. 218,816 15,500 Wallace Computer Services, Inc........ 333,250 ------------- 3,021,549 ------------- Casinos & Gaming -- 0.30% 16,900 Ameristar Casinos, Inc. (b)........... 491,114 17,200 Aztar Corp. (b)....................... 357,760 6,500 Isle of Capris Casinos, Inc. (b)...... 131,625 ------------- 980,499 ------------- Chemicals -- 1.31% 22,800 Airgas, Inc. (b)...................... 394,440 15,400 Ferro Corp............................ 464,310 26,360 Fuller (H.B.) Co...................... 772,084 10,400 Georgia Gulf Corp..................... 274,976 21,500 Great Lakes Chemical Corp............. 569,535 8,900 MacDermid, Inc........................ 191,350 83,110 RPM, Inc.............................. 1,267,428 18,500 Wellman, Inc.......................... 309,875 ------------- 4,243,998 ------------- Commercial Services -- 0.32% 10,700 Aviall Inc. (b)....................... 149,800 5,800 CDI Corp. (b)......................... 188,790 18,300 Daisytek International Corp. (b)...... 310,368 8,100 Healthcare Services Group, Inc. (b)... 125,145 9,800 Regis Corp............................ 264,786 ------------- 1,038,889 ------------- Computer Equipment -- 0.38% 8,700 Avocent Corp. (b)..................... 138,504 49,500 InFocus Corp. (b)..................... 583,110 8,800 Proquest Co. (b)...................... 312,400 16,100 Radisys Corp. (b)..................... 187,243 ------------- 1,221,257 ------------- Computer Services -- 0.25% 17,700 Dynamics Research Corp. (b)........... 427,986 16,400 Sykes Enterprises, Inc. (b)........... 132,184 48,600 Tyler Technologies, Inc. (b).......... 258,552 ------------- 818,722 -------------
Security Shares Description Value ------ ----------- ----- Computer Software -- 0.09% 10,600 FileNET Corp. (b)........................ $ 153,700 17,100 Roxio, Inc. (b).......................... 123,120 ------------- 276,820 ------------- Construction -- 0.06% 6,500 URS Corp. (b)............................ 182,000 ------------- Consumer Products & Services -- 0.68% 10,000 Chattem, Inc. (b)........................ 315,000 5,900 Giama, Inc. (b).......................... 86,376 34,000 Jarden Corp. (b)......................... 673,200 37,800 Owens-Illinois, Inc. (b)................. 519,372 11,800 Quaker Fabric Corp. (b).................. 182,888 12,600 Rayovac Corp. (b)........................ 233,478 4,600 Silgan Holdings Inc. (b)................. 186,024 ------------- 2,196,338 ------------- Electric Utilities -- 0.77% 7,800 CH Energy Group, Inc..................... 384,150 20,200 Cleco Corp............................... 442,380 17,800 EL Paso Electric Co. (b)................. 246,530 5,700 Otter Tail Power Corp.................... 179,664 15,400 PNM Resources Inc........................ 372,680 6,000 UIL Holdings Corp........................ 326,760 13,500 WPS Resources Corp....................... 551,205 ------------- 2,503,369 ------------- Electrical & Electronics -- 0.59% 23,200 Anixter International, Inc. (b).......... 545,200 17,020 Coherent, Inc. (b)....................... 507,536 25,600 Varian, Inc. (b)......................... 843,520 ------------- 1,896,256 ------------- Electronic Components & Instruments -- 1.05% 9,900 Asyst Technologies, Inc. (b)............. 201,465 39,600 Benchmark Electronics, Inc. (b).......... 1,148,400 8,500 ESCO Technologies, Inc. (b).............. 297,500 18,000 Fisher Scientific International, Inc. (b) 504,000 33,500 FSI International, Inc. (b).............. 250,245 3,800 OSI Systems, Inc. (b).................... 75,354 12,600 Stoneridge, Inc. (b)..................... 235,620 45,400 Trimble Navigation Ltd. (b).............. 703,700 ------------- 3,416,284 ------------- Energy -- 0.09% 12,000 Offshore Logistics (b)................... 286,680 ------------- Financial Services -- 0.69% 9,100 American Home Mortgage Holdings, Inc........................... 113,659 21,100 BankAtlantic Bancorp, Inc., Class A...... 261,640 9,600 Credit Acceptance Corp. (b).............. 120,672 12,300 DVI, Inc. (b)............................ 237,390 33,500 First American Financial Corp............ 770,500
See accompanying notes to financial statements. 44 THE HIRTLE CALLAGHAN TRUST Small Capitalization Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) Geewax, Terker & Co. (continued) Financial Services (continued) 14,600 ITLA Capital Corp. (b)................... $ 433,474 8,700 New Century Financial Corp............... 304,239 ------------- 2,241,574 ------------- Food Processing -- 0.82% 19,060 Dean Foods Co. (b)....................... 710,938 23,470 Dole Food Co., Inc....................... 677,110 8,900 Interstate Bakeries Corp................. 257,032 16,900 Nasch-Finch Co........................... 540,124 10,700 Ralcorp Holdings, Inc. (b)............... 334,375 7,400 United Natural Foods, Inc. (b)........... 145,780 ------------- 2,665,359 ------------- Footwear -- 0.10% 17,900 Wolverine World Wide, Inc................ 312,355 ------------- Forest Products & Papers -- 0.08% 22,300 Wausau-Mosinee Paper Corp................ 268,715 ------------- Grocery -- 0.16% 28,900 Fleming Companies, Inc................... 524,535 ------------- Health Care -- 1.04% 27,200 Beverly Enterprises, Inc. (b)............ 206,992 10,300 D & K Healthcare Resources, Inc.......... 363,178 71,400 Gentiva Health Services.................. 641,886 4,100 Kindred Healthcare, Inc. (b)............. 182,983 36,700 MedCath Corp. (b)........................ 627,570 27,200 Radiologix, Inc. (b)..................... 414,800 11,300 Sunrise Assisted Living, Inc. (b)........ 302,840 38,400 U.S. Oncology, Inc. (b).................. 319,872 2,600 Unilab Corp. (b)......................... 71,214 4,400 United Surgical Partners International, Inc. (b)................................ 136,312 5,100 Wright Medical Group, Inc. (b)........... 102,816 ------------- 3,370,463 ------------- Homebuilders -- 0.81% 10,063 Beazer Homes USA, Inc. (b)............... 805,040 7,400 M/I Schottenstein Homes, Inc............. 278,832 11,300 Meritage Corp. (b)....................... 515,845 2,600 Ryland Group, Inc........................ 129,350 12,800 Standard Pacific Corp.................... 449,024 33,900 Walter Industries, Inc................... 452,565 ------------- 2,630,656 ------------- Information Technology -- 0.22% 20,900 Alloy Inc. (b)........................... 301,796 16,600 ManTech International Corp., Class A (b). 398,234 ------------- 700,030 ------------- Insurance -- 1.35% 37,800 American Medical Security Group, Inc. (b) 905,310 3,200 AMERIGROUP Corp. (b)..................... 87,296
Security Shares Description Value ------ ----------- ----- Insurance (continued) 3,900 Centene Corp. (b)....................... $ 120,822 52,100 FPIC Insurance Group, Inc. (b).......... 784,105 21,400 Harleysville Group, Inc................. 593,208 23,300 Odyssey Re Holdings Corp................ 405,187 8,800 PMA Capital Corp., Class A.............. 186,120 5,800 Selective Insurance Group, Inc.......... 164,314 14,800 The Navigators Group, Inc. (b).......... 396,344 112,900 Universal American Financial Corp. (b).. 742,882 ------------- 4,385,588 ------------- Machinery & Engineering -- 0.35% 11,900 AGCO Corp............................... 232,050 6,700 Applied Industrial Tech., Inc........... 130,650 18,780 Flowserve Corp. (b)..................... 559,644 6,200 Kennametal, Inc......................... 226,920 ------------- 1,149,264 ------------- Manufacturing -- 1.18% 8,700 Actuant Corp., Class A (b).............. 358,875 10,890 Donaldson Co., Inc...................... 381,586 8,000 Gardner Denver, Inc. (b)................ 160,000 28,500 Harsco Corp............................. 1,068,750 59,100 Interface, Inc.......................... 475,164 20,400 Joy Global, Inc. (b).................... 353,736 6,900 Manitowoc Co., Inc...................... 244,881 27,100 Terex Corp. (b)......................... 609,479 9,400 Watsco, Inc............................. 171,550 ------------- 3,824,021 ------------- Medical Supplies -- 0.27% 21,100 American Medical Systems Holdings, Inc. (b)............................... 423,266 22,600 Owens & Minor, Inc...................... 446,576 ------------- 869,842 ------------- Natural Gas Utilities -- 0.56% 23,100 AGL Resources, Inc...................... 535,920 4,900 Northwest Natural Gas Co................ 140,875 5,400 NUI Corp................................ 148,500 18,600 Piedmont Natural Gas Co., Inc........... 687,828 9,490 UGI Corp................................ 303,111 ------------- 1,816,234 ------------- Oil & Gas -- 0.48% 13,500 Key Production Co., Inc. (b)............ 263,250 8,300 Oceaneering International, Inc. (b)..... 224,100 15,500 Universal Compression Holdings, Inc. (b) 371,845 11,000 Western Gas Resources, Inc.............. 411,400 11,800 World Fuel Services Corp................ 287,920 ------------- 1,558,515 ------------- Packaging/Containers -- 0.48% 29,140 Ball Corp............................... 1,208,727 12,700 Graphic Packaging International Corp. (b).............................. 117,475
See accompanying notes to financial statements. 45 THE HIRTLE CALLAGHAN TRUST Small Capitalization Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) Geewax, Terker & Co. (continued) Packaging/Containers (continued) 9,400 Ivex Packaging Corp. (b)................... $ 214,038 ------------- 1,540,240 ------------- Paper Products -- 0.07% 8,600 Chesapeake Corp............................ 226,438 ------------- Pharmaceuticals -- 0.08% 19,900 American Pharmaceuticals Partners, Inc. (b) 245,964 ------------- Publishing & Printing -- 0.09% 8,500 Banta Corp................................. 305,150 ------------- Real Estate -- 0.47% 34,600 Entertainment Properties Trust............. 852,890 9,700 Glenborough Realty Trust, Inc.............. 229,890 12,800 LNR Property Corp.......................... 441,600 ------------- 1,524,380 ------------- Real Estate Investment Trust -- 1.95% 32,200 America First Mortgage Investments, Inc.... 317,170 23,200 Anthracite Capital, Inc.................... 307,400 58,700 Anworth Mortgage Asset Corp................ 821,213 37,600 Apex Mortgage Capital, Inc................. 563,624 9,000 CBL & Associates Properties................ 364,500 8,300 Center Trust, Inc.......................... 58,598 26,400 FBR Asset Investment Corp.................. 880,440 55,500 Impac Mortgage Holdings, Inc............... 748,140 14,900 Keystone Property Trust.................... 236,463 5,400 Novastar Financial, Inc.................... 193,050 27,500 Redwood Trust Inc.......................... 866,250 43,200 Senior Housing Properties Trust............ 678,240 16,000 Thornburg Mortgage Asset Corp.............. 314,880 ------------- 6,349,968 ------------- Recreation -- 0.14% 18,000 Boyd Gaming Corp. (b)...................... 259,200 14,900 MarineMax, Inc. (b)........................ 192,955 ------------- 452,155 ------------- Rental & Leasing -- 0.18% 8,400 Aaron Rents, Inc........................... 201,180 13,800 Ryder Systems, Inc......................... 373,842 ------------- 575,022 ------------- Research & Development -- 0.17% 9,600 EMCOR Group, Inc. (b)...................... 563,520 ------------- Restaurants -- 0.58% 11,240 CBRL Group, Inc............................ 342,033 25,100 CKE Restaurants Inc. (b)................... 285,638 34,700 Landry's Restaurants, Inc.................. 885,197 5,500 O'Charley's, Inc. (b)...................... 139,150 15,200 the Steak N Shake Company (b).............. 237,880 ------------- 1,889,898 -------------
Security Shares Description Value ------ ----------- ----- Retail -- 1.91% 10,400 Brown Shoe Company, Inc............... $ 292,240 54,200 Cash America International Inc........ 498,640 13,700 Dillards, Inc., Class A............... 360,173 16,400 Duane Reade, Inc. (b)................. 558,420 7,800 Galyan's Trading Co. (b).............. 178,074 8,300 Gart Sports Co. (b)................... 233,479 67,300 Goody's Family Clothing, Inc. (b)..... 769,911 11,400 Hancock Fabrics, Inc.................. 211,812 11,500 Haverty Furniture Co., Inc............ 227,125 14,200 Hollywood Entertainment Corp. (b)..... 293,656 7,900 Jo-Ann Stores, Inc., Class A (b)...... 230,680 18,700 Party City Corp. (b).................. 304,810 22,300 Pep Boys-Manny Moe & Jack, Inc........ 375,755 7,100 PETsMART, Inc. (b).................... 113,245 14,700 Shoe Carnival, Inc. (b)............... 313,698 8,500 Skechers U.S.A., Inc., Class A (b).... 183,685 11,500 Steven Madden Ltd. (b)................ 228,034 3,100 Tractor Supply Company (b)............ 220,069 15,200 Tweeter Home Entertainment Group, Inc. (b)............................. 248,368 10,900 United Auto Group, Inc. (b)........... 227,810 5,513 Whitehall Jewellers, Inc. (b)......... 114,395 ------------- 6,184,079 ------------- Rubber & Plastics -- 0.08% 10,200 Tredegar Corp......................... 246,330 ------------- Steel -- 0.50% 4,600 Commercial Metals Co.................. 215,924 12,600 Intermet Corp......................... 135,324 20,800 Quanex Corp........................... 908,961 11,700 Reliance Steel & Aluminum Co.......... 356,850 ------------- 1,617,059 ------------- Telecommunications Equipment -- 0.16% 11,800 DSP Group, Inc. (b)................... 231,280 13,700 EMS Technologies, Inc. (b)............ 283,453 ------------- 514,733 ------------- Transportation -- 0.22% 19,700 Covenant Transport, Inc., Class A (b). 418,625 20,200 Wabtec Corp........................... 287,850 ------------- 706,475 ------------- Transportation & Shipping -- 0.39% 17,800 Genesee & Wyoming Inc., Class A (b)... 401,568 3,400 J.B. Hunt Transport Services, Inc. (b) 100,368 12,400 Pittston BAX Group.................... 297,600 5,400 Roadway Express, Inc.................. 194,022 8,400 Yellow Corp. (b)...................... 272,160 ------------- 1,265,718 ------------- Total -- Geewax, Terker & Co. (cost $77,396,253)................... 85,554,779 -------------
See accompanying notes to financial statements. 46 THE HIRTLE CALLAGHAN TRUST Small Capitalization Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common Stocks (continued) Sterling Johnston Capital Management, Inc. -- 24.45% Banking -- 0.38% 36,400 Doral Financial Corp.................. $ 1,215,396 ------------- Biotechnology -- 0.16% 25,500 Martek Biosciences Corp. (b).......... 533,460 ------------- Broadcasting & Cable TV -- 0.54% 67,300 Cumulus Media Inc., Class A (b)....... 927,394 55,450 Radio One, Inc., Class A (b).......... 824,542 ------------- 1,751,936 ------------- Building Materials & Components -- 0.58% 39,350 Elcor Corp............................ 1,076,223 95,600 Omnova Solutions Inc.................. 803,040 ------------- 1,879,263 ------------- Business Equipment & Services -- 0.89% 34,300 AMN Healthcare Services, Inc. (b)..... 1,200,843 89,100 Spherion Corp. (b).................... 1,060,290 64,300 TeleTech Holdings, Inc. (b)........... 613,422 ------------- 2,874,555 ------------- Casinos & Gaming -- 2.60% 50,100 Ameristar Casinos, Inc. (b)........... 1,455,905 50,950 Argosy Gaming Co. (b)................. 1,446,980 63,700 Aztar Corp. (b)....................... 1,324,960 34,050 GTECH Holdings Corp. (b).............. 869,637 160,000 Magna Entertainment Corp., Class A (b) 1,118,400 74,500 Penn National Gaming, Inc. (b)........ 1,352,175 106,850 Scientific Games Corp., Class A (b)... 848,389 ------------- 8,416,446 ------------- Computer Software -- 1.84% 15,950 Catapult Communications Corp. (b)..... 348,842 67,000 Documentum, Inc. (b).................. 804,000 55,850 Hyperion Solutions Corp. (b).......... 1,018,553 61,400 Pegasystems Inc. (b).................. 553,767 119,900 Pinnacle Systems, Inc. (b)............ 1,210,990 83,300 Progress Software Corp. (b)........... 1,276,156 46,450 Scansoft Inc. (b)..................... 316,920 101,000 Vastera, Inc. (b)..................... 443,390 ------------- 5,972,618 ------------- Construction -- 0.36% 41,850 URS Corp. (b)......................... 1,171,800 ------------- Electronic Components & Instruments -- 2.76% 53,700 Actel Corp. (b)....................... 1,128,774 126,300 Adaptec, Inc. (b)..................... 996,507 33,550 Advanced Energy Industries, Inc. (b).. 744,139 67,800 Credence Systems Corp. (b)............ 1,204,805 88,550 Mykrolis Corp. (b).................... 1,045,776 194,750 Oak Technology, Inc. (b).............. 882,218 29,600 Power Integrations, Inc. (b).......... 536,352
Security Shares Description Value ------ ----------- ----- Electronic Components & Instruments (continued) 30,950 Varian Semiconductor Equipment Associates, Inc. (b).................... $ 1,050,134 58,400 Zoran Corp. (b).......................... 1,337,943 ------------- 8,926,648 ------------- Financial Services -- 0.88% 91,000 Advanta Corp., Class B................... 994,630 53,225 Wintrust Financial Corp.................. 1,839,988 ------------- 2,834,618 ------------- Food Products & Services -- 0.67% 29,050 Fresh Del Monte Produce Inc.............. 726,250 50,400 Interstate Bakeries Corp................. 1,455,552 ------------- 2,181,802 ------------- Health Care -- 0.65% 30,200 Centene Corp. (b)........................ 935,596 86,225 Option Care, Inc. (b).................... 1,184,732 ------------- 2,120,328 ------------- Hotel & Motel -- 0.36%................... 162,800 La Quinta Corp. (b)...................... 1,180,300 ------------- Information Technology -- 0.71% 54,450 Mantech International Corp., Class A (b). 1,306,255 38,450 Websense, Inc. (b)....................... 983,167 ------------- 2,289,422 ------------- Insurance -- 1.62% 44,300 American Medical Security Group, Inc. (b) 1,060,985 25,950 Hilb, Rogal & Hamilton Co................ 1,174,238 67,600 PMA Capital Corp., Class A............... 1,429,740 70,550 Scottish Annuity & Life Holdings, Ltd.... 1,346,094 8,300 Selective Insurance Group Inc............ 235,139 ------------- 5,246,196 ------------- Medical Supplies & Products -- 0.95% 73,500 Conceptus, Inc. (b)...................... 1,212,015 16,500 Dianon Systems, Inc. (b)................. 881,430 54,350 Serologicals Corp. (b)................... 994,062 ------------- 3,087,507 ------------- Mining -- 0.31% 68,450 Agnico-Eagle Mines Ltd................... 997,317 ------------- Oil & Gas -- 1.24% 438,700 Grey Wolf, Inc. (b)...................... 1,794,283 211,500 Key Energy Services, Inc. (b)............ 2,220,750 ------------- 4,015,033 ------------- Pharmaceuticals -- 1.26% 124,350 Connetics Corp. (b)...................... 1,606,478 51,300 Noven Pharmaceuticals, Inc. (b).......... 1,308,150 89,650 Perrigo Co. (b).......................... 1,165,450 ------------- 4,080,078 -------------
See accompanying notes to financial statements. 47 THE HIRTLE CALLAGHAN TRUST Small Capitalization Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Shares or Principal Security Amount Description Value ------ ----------- ----- Common Stocks (continued) Sterling Johnston Capital Management, Inc. (continued) Restaurants -- 0.94% 37,850 AFC Enterprises, Inc. (b)............ $ 1,182,812 60,775 Ryan Family Steak Houses, Inc. (b)... 802,838 38,800 Triarc Companies, Inc. (b)........... 1,070,880 ------------- 3,056,530 ------------- Retail -- 3.72% 19,950 Christopher & Banks Corp. (b)........ 843,885 23,150 Group 1 Automotive, Inc. (b)......... 883,173 46,350 Harland (John H.) Co................. 1,307,070 63,300 Haverty Furniture Companies., Inc.... 1,250,175 35,850 Linen 'n Things, Inc. (b)............ 1,176,239 41,050 O'Reilly Automotive, Inc. (b)........ 1,131,338 92,900 Pep Boys-Manny, Moe & Jack........... 1,565,364 91,400 PETsMART, Inc. (b)................... 1,457,829 13,600 Tractor Supply Co. (b)............... 965,464 59,500 Wet Seal, Inc. (b)................... 1,445,850 ------------- 12,026,387 ------------- Transportation -- 1.03% 74,850 EGL, Inc. (b)........................ 1,269,456 10,300 Landstar System, Inc. (b)............ 1,100,554 25,700 USFreightways Corp................... 973,258 ------------- 3,343,268 ------------- Total -- Sterling Johnston Capital Management, Inc. (cost $77,597,167).................. 79,200,908 ------------- Total Common Stocks (cost $292,030,088)................. 302,473,888 ------------- Mutual Funds -- 1.14% Geewax, Terker & Co. -- 1.14% 26,130 iShares Russell 2000 Value Index Fund................................ 3,551,067 1,500 iShares S&P SmallCap 600/BARRA Value Index Fund.................... 134,910 ------------- 3,685,977 ------------- Total Mutual Funds (cost $3,386,587)................... 3,685,977 ------------- Short-Term Investments -- 6.16% Frontier Capital Management Co. -- 4.27% Repurchase Agreements -- 4.27% $13,809,672 Bankers Trust Co., Repurchase Agreement, dated 6/28/02, due 7/1/02 at 1.50% with a maturity value of $13,811,398 (Collateralized by U.S. Treasury Note; market value $14,101,022)........................ 13,809,672 -------------
Shares or Principal Security Amount Description Value ------ ----------- ----- Short-Term Investments (continued) Geewax, Terker & Co.--0.11% Cash & Equivalents -- 0.00% 74 Deutsche Bank Cash Sweep.......... $ 74 ------------- Repurchase Agreements -- 0.11% $ 357,240 Bankers Trust Co., Repurchase Agreement, dated 6/28/02, due 7/1/02 at 1.25% with a maturity value of $357,277 (Collateralized by U.S. Treasury Note; market value $364,957).................. 357,240 ------------- 357,314 ------------- Sterling Johnston Capital Management, Inc. -- 1.78% Cash & Equivalents -- 1.78% 5,781,087 Deutsche Bank Cash Sweep.......... 5,781,087 ------------- Total Short-Term Investments (cost $19,948,072)............... 19,948,073 ------------- Total Investments (cost $315,364,747) (a) -- 100.68%.......................... 326,107,938 ------------- Liabilities in excess of other assets -- (0.68)%................ (2,212,844) ------------- Net Assets -- 100.00%............. $ 323,895,094 =============
-------- (a) Cost for federal income tax purposes is $317,923,600. The gross unrealized appreciation/(depreciation) on a tax basis is as follows: Unrealized appreciation.... $ 41,831,582 Unrealized depreciation.... (33,647,245) ------------ Net unrealized appreciation $ 8,184,337 ============
(b) Non-income producing security. See accompanying notes to financial statements. 48 THE HIRTLE CALLAGHAN TRUST International Equity Portfolio Portfolio of Investments -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common/Preferred Stocks -- 93.57% Artisan Partners LP -- 48.93% Australia -- 1.68% 151,900 Commonwealth Bank of Australia (Banking)............................ $ 2,808,160 434,100 Foster's Group Ltd. (Brewery)......... 1,150,282 196,100 National Australia Bank Ltd. (Banking) 3,897,205 ------------- 7,855,647 ------------- Belgium -- 2.37% 270,555 Fortis AG (Banking)................... 5,766,179 185,400 Interbrew (Brewery)................... 5,322,747 ------------- 11,088,926 ------------- Brazil -- 0.51% 17,700 Companhia Vale do Rio Doce - ADR (Metals) (b)......................... 489,759 100,000 Tele Norte Leste Participacoes SA - Preferred - ADR (Telecommunications Services)........ 995,000 230,500 Telesp Celular Participacoes SA - Preferred - ADR (Telecommunications Services) (b).... 912,780 ------------- 2,397,539 ------------- Canada -- 0.36% 92,700 CanWest Global Communications Corp. (Media).............................. 496,139 65,967 Corus Entertainment, Inc., Class B (Media) (b).......................... 1,166,752 ------------- 1,662,891 ------------- Denmark -- 0.55% 1,800 Danisco A/S (Food-Retail)............. 65,808 76,150 Novo-Nordisk A/S, Class B (Pharmaceuticals).................... 2,520,819 ------------- 2,586,627 ------------- Finland -- 0.32% 49,800 Kone Corp., Class B (Machinery)....... 1,475,474 ------------- France -- 2.33% 170,100 AXA (Diversified Financial Services).. 3,111,189 62,550 Carrefour SA (Food - Retail).......... 3,385,236 200 Danone (Food Products & Services)..... 27,495 2,900 Etablissements Economiques du Casino Guichard-Perrachon SA (Food - Retail)...................... 245,591 199,196 JC Decaux SA (Advertising) (b)........ 2,695,146 169,200 Rhodia SA (Chemicals)................. 1,455,458 ------------- 10,920,115 ------------- Germany -- 5.81% 41,590 Allianz AG (Financial Services)....... 8,329,865 66,738 Deutsche Boerse AG (Financial Services)............................ 2,817,672
Security Shares Description Value ------ ----------- ----- Germany (continued) 183,600 Deutsche Telekom AG Registered (Telecommunications Services)......... $ 1,726,198 48,400 Henkel KGaA (Diversified Chemicals/ Materials)............................ 3,326,869 2,320 KarstadtQuelle AG (Retail - Department Stores)................... 60,259 57,000 Linde AG (Manufacturing)............... 2,899,100 34,030 Muenchener Rueckversicherungs- Gesellschaft AG (Financial Services)............................. 8,049,123 ------------- 27,209,086 ------------- Ireland -- 0.05% 19,100 Allied Irish Banks PLC (Banking)....... 253,710 ------------- Italy -- 3.11% 169,100 Assicurazioni Generali SpA (Insurance)........................... 4,008,075 215,600 Autogrill SpA (Retail - Restaurants)................ 2,506,146 163,200 Mediobanca SpA (Financial Services).... 1,508,610 12,865 Rolo Banca 1473 SpA (Banking).......... 219,805 554,200 Telecom Italia SpA (Telecommunications Services)......... 2,939,151 749,900 Unicredito Italiano SpA (Banking)...... 3,391,954 ------------- 14,573,741 ------------- Japan -- 4.63% 162,800 Banyu Pharmaceutical Co., Ltd. (Pharmaceuticals)..................... 2,099,857 69,900 Canon, Inc. (Business Equipment)....... 2,641,807 158,200 Honda Motor Co., Ltd. (Automobiles).... 6,414,583 207 Japan Tobacco, Inc. (Tobacco).......... 1,388,520 5,800 Nintendo Co., Ltd. (Household Durables)............................. 854,080 171,000 Olympus Optical Co., Ltd. (Electronics) 2,388,236 70,000 Promise Co., Ltd. (Diversified Financial Services)................... 3,527,449 88,300 Toyota Motor Corp. (Automobiles)....... 2,342,683 ------------- 21,657,215 ------------- Luxembourg -- 0.26% 31,025 RTL Group (Media/Television)........... 1,225,612 ------------- Mexico -- 2.76% 82,500 Fomento Economico Mexicano SA de CV - ADR (Beverages).................. 3,235,650 445,300 Grupo Modelo SA de CV, Series C (Brewery)............................. 1,047,765 23,300 Grupo Televisa SA--ADR (Media) (b)..... 870,954 147,210 Telefonos de Mexico SA de CV - ADR (Telecommunications Services)......... 4,722,497 1,118,300 Wal-Mart de Mexico SA de CV (Retail)... 3,037,233 ------------- 12,914,099 -------------
See accompanying notes to financial statements. 49 THE HIRTLE CALLAGHAN TRUST International Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common/Preferred Stocks (continued) Artisan Partners LP (continued) Netherlands -- 2.44% 199,400 ABN Amro Holding NV (Financial Services)............................. $ 3,621,495 16,600 Royal Dutch Petroleum Co. (Oil & Gas).. 924,631 53,600 Unilever NV (Manufacturing - Food Products)............................. 3,509,614 176,800 Wolters Kluwer NV (Media).............. 3,355,960 ------------- 11,411,700 ------------- Poland -- 0.08% 16,900 Bank Polska Kasa Opieki SA (Banking)... 388,199 ------------- Portugal -- 0.38% 253,946 Portugal Telecom, SGPS, SA - Registered (Telecommunications Services)......... 1,793,199 ------------- Singapore -- 0.45% 300,950 DBS Group Holdings Ltd. (Banking)...... 2,112,169 ------------- Spain -- 2.73% 43,036 Acciona SA (Building Products)......... 1,878,179 318,400 Banco Santander Central Hispano SA (Banking)............................. 2,528,193 182,038 Centros Comerciales Carrefour SA (Retail).............................. 2,285,013 111,000 Corporacion Mapfre SA (Diversified Financial Services)................... 876,989 10,500 Fomento de Construcciones Y Contratas SA (Building Products)................ 256,134 123,000 Industria de Diseno Textil SA (Apparel) (b)......................... 2,597,131 132,300 Promotora de Informaciones SA (Prisa) (Media)............................... 1,114,525 104,400 Repsol YPF SA (Oil & Gas).............. 1,231,079 ------------- 12,767,243 ------------- Sweden -- 0.22% 125,100 Swedish Match AB (Tobacco)............. 1,034,503 ------------- Switzerland -- 6.76% 84,140 Ciba Specialty Chemicals AG (Chemicals)........................... 6,741,716 149,840 Clariant AG - REG (Chemicals).......... 3,564,023 109,300 Credit Suisse Group (Banking) (b)...... 3,470,016 5,795 Julius Baer Holding Ltd. AG, Class B (Banking)............................. 1,664,559 28,735 Nestle SA - Registered, Class B (Food)................................ 6,699,620 118,880 Novartis AG (Pharmaceuticals).......... 5,227,908
Security Shares Description Value ------ ----------- ----- Switzerland (continued) 399 Synthes-Stratec, Inc. (Medical Products).......................... $ 243,963 80,335 UBS AG - Registered (Banking) (b)...................... 4,040,230 ------------- 31,652,035 ------------- United Kingdom -- 11.13% 950,600 British Aerospace PLC (Aerospace/ Defense)........................... 4,854,149 348,600 British American Tobacco PLC (Tobacco).......................... 3,746,165 592,825 Carlton Communications PLC (Media)............................ 1,897,651 1,283,006 Compass Group PLC (Food - Services).................. 7,783,630 547,621 Diageo PLC (Food & Beverages)....... 7,111,973 1,855,488 Granada PLC (Media)................. 3,153,577 82,800 HSBC Holdings PLC (Banking)......... 952,270 694,900 Imperial Chemical Industries PLC (Chemicals)........................ 3,378,963 650,600 Lloyds TSB Group PLC (Banking)...... 6,475,864 719,329 Marks & Spencer Group PLC (Retail - Department Stores)................ 4,087,104 114,900 Next PLC (Retail)................... 1,632,324 82,200 Reuters Group PLC (Media)........... 436,035 10,800 Scottish & Newcastle PLC (Brewery).......................... 100,092 1,061,200 Tesco PLC (Food - Retail)........... 3,857,945 1,906,700 Vodafone Group PLC (Telecommunications Services)...... 2,615,745 ------------- 52,083,487 ------------- Total -- Artisan Partners LP (cost $236,179,566)................ 229,063,217 ------------- Capital Guardian Trust Co. -- 44.64% Australia -- 1.71% 93,100 ANZ Group Ltd. (Banking)............ 1,008,218 396,191 BHP Billiton Ltd. (Mining).......... 2,290,942 60,300 Brambles Industries Ltd. (Commerical Services).......................... 319,567 196,539 Foster's Brewing Group Ltd. (Brewery).......................... 520,791 23,489 National Australia Bank Ltd. (Banking).......................... 466,810 116,946 News Corp. Ltd. (Multimedia)........ 635,526 700 News Corp. Ltd. - ADR (Multimedia)....................... 16,051 123,197 QBE Insurance Group Ltd. (Insurance)........................ 459,241 51,608 Westpac Banking Corp. (Financial Services).......................... 470,517
See accompanying notes to financial statements. 50 THE HIRTLE CALLAGHAN TRUST International Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common/Preferred Stocks (continued) Capital Guardian Trust Co. (continued) Australia (continued) 114,600 WMC Ltd. (Metals - Diversified)......... $ 584,818 169,800 Woolworths Ltd. (Retail)................ 1,253,533 ------------- 8,026,014 ------------- Brazil -- 0.12% 12,000 Companhia Vale do Rio Doce - ADR (Metals) (b)........................... 332,040 9,000 Compania Vale do Rio Doce - SP ADR (Metals)............................... 233,550 ------------- 565,590 ------------- Canada -- 1.23% 50,000 Abitibi-Consolidated, Inc. (Paper & Related Products)...................... 460,911 10,500 Alcan Aluminium Ltd. (Building Materials)............................. 398,350 12,100 Bank of Nova Scotia (Banking)........... 397,711 91,300 Bombardier, Inc., Class B (Aerospace & Defense)............................... 756,381 22,000 Inco Ltd. (Metals - Diversified) (b).... 493,984 6,200 Magna International, Inc., Class A (Auto Related)............................... 426,813 60,900 Nortel Networks Corp. (Telecommunications Equipment) (b)..... 88,305 20,200 Suncor Energy, Inc. (Oil & Gas)......... 353,291 75,800 Thomson Corp. (Publishing & Printing)... 2,390,274 ------------- 5,766,020 ------------- Finland -- 1.09% 237,400 Nokia Oyj (Telecommunications Equipment)............................. 3,474,642 41,000 UPM-Kymmene (Paper Products)............ 1,613,995 ------------- 5,088,637 ------------- France -- 3.40% 16,400 Accor SA (Hotels)....................... 665,196 59,000 Bouygues SA (Wireless Telecommunications Services)........... 1,648,413 11,300 Essilor International SA (Optical Supplies).............................. 459,452 6,880 Groupe Danone (Food Products & Services).............................. 945,821 10,800 L'Air Liquide SA (Chemicals)............ 1,661,775 16,400 Michelin, Class - B (Tire & Rubber)..... 664,548 7,000 Pechiney SA, Class A (Metals)........... 319,736 29,400 Renault SA (Automobiles)................ 1,374,828 76,700 Sanofi-Synthelabo SA (Pharmaceuticals)...................... 4,666,134 12,200 Schneider Electric SA (Hand/Machine Tools)................................. 656,053 16,100 Societe Television Francaise 1 (Media)................................ 431,059
Security Shares Description Value ------ ----------- ----- France (continued) 30,500 STMicroelectronics NV - ADR (Semiconductors).................... $ 760,575 76,700 Vivendi Universal SA (Multimedia).... 1,657,386 ------------- 15,910,976 ------------- Germany -- 2.02% 14,100 Aixtron AG (Semiconductors).......... 176,850 1,300 Allianz AG Holdings (Insurance)...... 260,371 24,400 Bayerische Motoren Werke AG (Auto Manufacturers)...................... 1,006,068 51,800 DaimlerChrysler AG (Automobiles)..... 2,506,726 5,600 Deutsche Bank AG (Banking)........... 389,075 14,900 Epcos AG (Electronic Components)..... 491,489 14,100 Infineon Technologies AG (Semiconductors).................... 220,435 12,600 Infineon Technologies AG - ADR (Semiconductors) (b)................ 195,174 32,400 Metro AG (Retail - Department Stores)............................. 991,945 2,900 SAP AG (Business Software)........... 286,404 20,900 Siemens AG (Manufacturing)........... 1,253,931 92,500 ThyssenKrupp AG (Industrial Components)......................... 1,415,972 10,700 TUI AG (Travel Services)............. 263,126 ------------- 9,457,566 ------------- Greece -- 0.30% 87,600 Hellenic Telecommunications Organization SA (Telecommunications Services)....... 1,384,220 ------------- Hong Kong -- 1.82% 222,000 Cheung Kong Holdings (Real Estate)... 1,850,001 285,000 China Mobile Ltd. (Telecommunications Services) (b)....................... 844,038 486,000 Hang Lung Properties Ltd. (Real Estate)............................. 554,538 79,200 Hang Seng Bank (Banking)............. 847,846 216,000 Hongkong Land Holdings Ltd. (Real Estate)............................. 347,760 190,100 Hutchison Whampoa (Industrial Conglomerates)...................... 1,419,657 624,500 Johnson Electric Holdings Ltd. (Electronics)....................... 740,593 454,000 Li & Fung Ltd. (Distributors)........ 611,154 251,700 Swire Pacific Ltd. (Diversified Financials)......................... 1,287,542 ------------- 8,503,129 ------------- Ireland -- 0.73% 86,462 Allied Irish Banks PLC (Banking)..... 1,139,101 84,625 CRH PLC (Construction)............... 1,416,607 11,100 Elan Corp. PLC - ADR (Pharmaceuticals) (b)............... 60,717
See accompanying notes to financial statements. 51 THE HIRTLE CALLAGHAN TRUST International Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common/Preferred Stocks (continued) Capital Guardian Trust Co. (continued) Ireland (continued) 54,700 Irish Life & Permanent PLC (Financial Services).............................. $ 791,418 ------------- 3,407,843 ------------- Italy -- 0.62% 48,850 Assic Generali (Insurance).............. 1,157,862 109,100 ENI SpA (Oil & Gas)..................... 1,734,730 ------------- 2,892,592 ------------- Japan -- 10.90% 25,000 Acom Co. Ltd. (Financial Services)...... 1,708,243 28,300 Advantest Corp. (Electrical & Electronics)........................... 1,761,372 64,000 Aeon Co., Ltd. (Retail)................. 1,708,660 8,530 AIFUL Corp. (Financial Services)........ 559,368 15,000 Canon, Inc. (Business Equipment)........ 566,911 27,500 Chubu Electric Power Co., Inc. (Utility Services - Electric)................... 482,959 77,000 Chugai Pharmaceutical Co., Ltd. (Pharmaceuticals)...................... 921,225 11,000 Dai Nippon Printing (Printing & Publishing)............................ 146,012 144,000 Daiwa Securities Group, Inc. (Financial Services).............................. 933,489 47 Fuji Television Network, Inc. (Broadcast Television)............................ 271,742 10,900 Hirose Electric Co., Ltd. (Electrical & Electronics)........................... 950,317 147,000 Hitachi, Ltd. (Electrical & Electronics) 950,484 9,000 Honda Motor Co., Ltd. (Automobiles)..... 364,926 12,200 Hoya Corp. (Electrical Components)...... 887,569 141,000 Japan Airlines Co., Ltd. (Airlines)..... 397,614 135 Japan Telecom Co., Ltd. (Telecommunications Services).......... 386,326 10,700 Kansai Electric Power Co. (Electric).... 169,168 2,800 Keyence Corp. (Electrical & Electronics)........................... 593,125 5,200 Mabuchi Motor Co., Ltd. (Electronic Components)............................ 512,364 138,000 Mitsubishi Estate Co., Ltd. (Real Estate)................................ 1,128,316 225,000 Mitsubishi Heavy Industries, Ltd. (Manufacturing - Diversified).......... 681,420 247,000 Mitsubishi Motors Corp. (Automobiles) (b)...................... 655,315 136,000 Mitsui Fudosan Co., Ltd. (Real Estate)................................ 1,202,737 271,730 Mitsui Sumitomo Insurance Co., Ltd. (Insurance)............................ 1,462,255 12,000 Murata Manufacturing Co., Ltd. (Electronics).......................... 770,899
Security Shares Description Value ------ ----------- ----- Japan (continued) 280,000 Nikko Cordial Corp. (Financial Services).............................. $ 1,413,316 97,000 Nikon Corp. (Semiconductors)............ 1,073,911 21,900 Nintendo Co., Ltd. (Toys)............... 3,224,888 107 Nippon Telegraph & Telephone Corp. (Telephone)............................ 440,105 401,000 Nissan Motor Co., Ltd. (Automobiles).......................... 2,776,824 14,000 Nitto Denko Corp. (Electrical Equipment)............................. 459,036 87,000 Nomura Securities Co., Ltd. (Financial Services).............................. 1,277,490 920 NTT DoCoMo, Inc. (Telecommunications Services).......... 2,264,308 7,500 ORIX Corp. (Financial Services)......... 605,081 10,900 Rohm Co. (Semiconductors)............... 1,626,906 130,000 Sekisui House (Manufacturing/Housing)................ 955,531 2,000 Shimamura Co., Ltd. (Retail Apparel).... 153,512 21,300 Shin-Etsu Chemical Co., Ltd. (Chemicals) 915,193 46,000 Shionogi & Co., Ltd. (Pharmaceuticals).. 586,801 44,900 Sony Corp. (Electrical & Electronics)... 2,371,241 57,000 Sumitomo Forestry Co., LTD (Forestry)............................. 341,448 65,000 Sumitomo Realty & Development Co., Ltd. (Real Estate)..................... 394,252 95,000 Suzuki Motor Corp. (Automobiles)........ 1,172,243 20,000 Taiyo Yuden Co., Ltd. (Electronics)..... 327,048 11,000 Takeda Chemical Industries, Ltd. (Pharmaceuticals)...................... 482,730 18,000 TDK Corp. (Electrical & Electronics).... 849,992 31,000 THK Co., Ltd. (Machinery)............... 596,154 15,400 Tokyo Electric Power Co. (Utility Services - Electric)................... 316,711 36,300 Tokyo Electron, Ltd. (Semiconductors)... 2,365,285 159,000 Tokyu Corp. (Transportation)............ 615,518 227,000 Toray Industries (Chemicals)............ 607,934 149 UFJ Holdings, Inc. (Banking)............ 360,504 18,000 Ushio, Inc. (Manufacturing)............. 213,849 14,000 Yamanouchi Pharmaceutical Co., Ltd. (Pharmaceuticals)...................... 363,257 25,000 Yamato Transport Co., Ltd. (Transport - Services)............................. 455,740 ------------- 51,073,834 ------------- Korea -- 0.61% 20,840 Samsung Electronics - GDR (Electronics).......................... 2,861,332 ------------- Luxembourg -- 0.11% 51,400 SES Global - FDR (Telecommunications Services).............................. 507,626 -------------
See accompanying notes to financial statements. 52 THE HIRTLE CALLAGHAN TRUST International Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common/Preferred Stocks (continued) Capital Guardian Trust Co. (continued) Mexico -- 0.64% 62,000 America Movil SA de CV, Series L - ADR (Telecommunications Services)............................. $ 830,800 66,900 Telefonos de Mexico SA de CV - ADR (Telecommunications Services)......... 2,146,152 ------------- 2,976,952 ------------- Netherlands -- 3.94% 87,126 ABN Amro Holding NV (Financial Services)............................. 1,582,379 177,157 Aegon NV (Insurance)................... 3,693,411 88,800 ASM Lithography Holding NV (Semiconductor Equipment) (b)......... 1,405,813 29,000 Hagemeyer NV (Manufacturing - Diversified).......................... 400,966 65,187 Heineken Holding NV (Brewery).......... 2,860,989 31,500 Heineken Holding NV, Class A (Brewery)............................. 1,068,297 21,984 ING Groep NV (Diversified Financial Services)............................. 564,496 51,200 Koninklijke (Royal) Philips Electronics NV (Household Durables)............... 1,429,476 7,200 Koninklijke (Royal) Philips Electronics NV - New York Shares - ADR (Household Durables).................. 198,720 17,800 Koninklijke Numico NV - CVA (Food & Beverage)........................... 399,225 104,000 KPNQwest NV (Telecommunications Services) (b)......................... 486,847 62,100 Royal Dutch Petroleum Co. (Oil & Gas).. 3,459,010 7,000 Royal Dutch Petroleum Co., New York Shares - ADR (Oil & Gas).............. 386,890 18,712 VNU NV (Printing & Publishing)......... 520,026 ------------- 18,456,545 ------------- Norway -- 0.43% 3,500 Norsk Hydro ASA (Manufacturing - Diversified).......................... 166,971 11,000 Norsk Hydro ASA - ADR (Manufacturing - Diversified)......... 529,320 148,600 Statoil ASA (Oil & Gas)................ 1,326,733 ------------- 2,023,024 ------------- Portugal -- 0.04% 27,540 Portugal Telecom SA (Telecommunications Services)......... 194,469 ------------- Russia -- 0.22% 16,000 Lukoil - ADR (Oil & Gas)............... 1,049,760 ------------- Singapore -- 1.00% 202,000 DBS Group Holdings Ltd. - ADR (Financial Services) (b).............. 1,417,777
Security Shares Description Value ------ ----------- ----- Singapore (continued) 23,000 Development Bank of Singapore Ltd. (Banking)........................ $ 161,422 59,000 Singapore Airlines Ltd. (Airlines) 430,779 334,000 Singapore Technologies Engineering Ltd. (Engineering)............... 364,852 2,128,160 Singapore Telecommunications Ltd. (Telecommunications Services).... 1,650,203 93,360 United Overseas Bank Ltd. (Banking)........................ 671,084 ------------- 4,696,117 ------------- South Korea -- 0.31% 2,160 Samsung Electronics (Electronics). 590,723 6,200 Samsung Electronics Preferred NV (Electronics).................... 840,067 ------------- 1,430,790 ------------- Spain -- 0.92% 27,900 Altadis SA (Tobacco).............. 568,440 150,400 Banco Bilbao Vizcaya Argentaria SA (Banking)........................ 1,700,726 68,700 Industria de Diseno Textil SA (Apparel) (b).................... 1,450,593 71,409 Telefonica SA (Telecommunications Services) (b).................... 599,450 ------------- 4,319,209 ------------- Sweden -- 0.57% 61,600 Assa Abloy AB, Class B (Metal Products)........................ 867,983 234,480 Ericsson (LM), Class B (Telecommunications Equipment)....................... 354,635 77,200 ForeningsSparbanken AB (Banking)........................ 978,598 29,300 Svenska Handelsbanken AB, Class A (Banking)........................ 447,924 ------------- 2,649,140 ------------- Switzerland -- 3.96% 27,155 Credit Suisse Group (Diversified Financial Services) (b).......... 862,107 7,140 Holcim Ltd. (Building Products)... 1,638,319 2,480 Holcim Ltd., Class B (Building Products)........................ 112,727 10,690 Nestle SA (Food).................. 2,492,394 75,920 Novartis AG (Pharmaceuticals)..... 3,338,684 75,708 Richemont AG INH A Units (Retail - Specialty)............. 1,721,908 10,900 Roche Holding AG (Pharmaceuticals)................ 823,927 19,800 STMicroelectronics NV - New York Shares - ADR (Semiconductors).... 481,734
See accompanying notes to financial statements. 53 THE HIRTLE CALLAGHAN TRUST International Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common/Preferred Stocks (continued) Capital Guardian Trust Co. (continued) Switzerland (continued) 45,874 Swiss Re (Diversified Financial Services)............................ $ 4,484,759 6,484 Swisscom AG (Telecommunications Services)............................ 1,886,429 13,636 UBS AG - Registered (Banking) (b)..... 685,786 ----------- 18,528,774 ----------- Taiwan -- 0.42% 31,200 Hon Hai Precision Industry Co., Ltd. - GDR (Electronics) (b)................ 254,951 130,170 Taiwan Semiconductor Manufacturing Co., Ltd. - ADR (Semiconductors) (b)................. 1,692,205 ----------- 1,947,156 ----------- United Kingdom -- 7.53% 183,800 ARM Holdings PLC (Electronics) (b).... 409,043 174,900 AstraZeneca PLC (Pharmaceuticals)..... 7,269,658 18,251 AstraZeneca PLC (Pharmaceuticals)..... 755,591 59,200 Barclays PLC (Banking)................ 498,117 172,000 BG Group PLC (Oil & Gas).............. 748,523 50,000 Billiton PLC (Oil & Gas).............. 272,469 40,500 BOC Group PLC (Chemicals)............. 629,071 84,700 Brambles Industries PLC (Diversified Operations)............. 423,798 197,235 British Aerospace PLC (Aerospace/Defense).................. 1,007,162 183,500 Centrica PLC (Gas - Distribution)..... 567,809 113,800 Compass Group PLC (Food Services)..... 690,392 18,100 GlaxoSmithKline PLC (Pharmaceuticals).................... 391,224 41,100 HBOS PLC (Diversified Financial Services)............................ 444,806 102,544 Lloyds TSB Group PLC (Financial)...... 1,020,690 118,190 Marks & Spencer Group PLC (Retail).... 671,535 108,000 National Grid Group PLC (Telecommunications Services)........ 767,150 109,100 Pearson PLC (Printing & Publishing)... 1,085,115 146,000 Prudential Corp. PLC (Insurance)...... 1,335,287 70,900 Reuters Group PLC (Multimedia)........ 376,094 133,000 Royal Bank of Scotland Group PLC (Banking)............................ 3,770,813 38,500 Shire Pharmaceuticals Group PLC (Pharmaceuticals) (b)................ 340,376 171,200 Smiths Group PLC (Manufacturing - Diversified)......................... 2,223,381 93,300 Standard Chartered PLC (Banking)...... 995,520 183,000 Unilever PLC (Consumer Goods)......... 1,668,102
Shares or Principal Security Amount Description Value ------ ----------- ----- United Kingdom (continued) 4,636,416 Vodafone (Telecommunications Services)........................ $ 6,360,560 43,000 Xstrata PLC (Minerals) (b)........ 556,804 ------------- 35,279,090 ------------- Total -- Capital Guardian Trust Co. (cost $235,815,278).............. 208,996,405 ------------- Total Common/Preferred Stocks........................... 438,059,622 ------------- Convertible Bonds -- 0.06% Capital Guardian Trust Co. -- 0.06% Japan -- 0.02% 36,000,000* Sanwa International Finance Berm Trust (Banking).................. 111,505 ------------- Greece -- 0.04% 163,000** Hellenic Telecommunications Organization SA (Telecommunications Services).... 174,391 ------------- Total Convertible Bonds........... 285,896 ------------- Money Market Mutual Funds -- 0.64% Artisan Partners LP -- 0.64% United States -- 0.64% $ 2,987,962 Deutsche Bank Institutional Liquid Assets Fund...................... 2,987,962 ------------- Total Money Market Mutual Funds............................ 2,987,962 ------------- Cash & Equivalents -- 5.36% Capital Guardian Trust Co. -- 5.36% United States -- 5.36% 25,108,953 Deutsche Bank Cash Sweep Fund..... 25,108,953 ------------- Total Cash & Equivalents Funds.... 25,108,953 ------------- Total (cost $500,590,425) (a) -- 99.63%........................... 466,442,433 Other assets in excess of liabilities -- 0.37%............. 1,747,377 ------------- Net Assets -- 100%................ $ 468,189,810 =============
-------- (a) Cost for federal income tax purposes is $508,752,427. The gross unrealized appreciation/(depreciation) on a tax basis is as follows: Unrealized appreciation.... $ 34,334,094 Unrealized depreciation.... (76,644,088) ------------ Net unrealized depreciation $(42,309,994) ============
(b) Non-income producing securities. * Principal amount is denominated in Yen. ** Principal amount is denominated in Euro. ADR -- American Depository Receipt GDR -- Global Depository Receipt PLC -- Public Liability Company See accompanying notes to financial statements. 54 THE HIRTLE CALLAGHAN TRUST International Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Contract Amount Value on (Local Settlement Origination Value on Unrealized Currency) Forward Exchange Contracts Date Date 6/30/02 Gain/(Loss) --------- -------------------------- ---------- ----------- ----------- ----------- Currency Purchased 1,425,133 Australian Dollar........ 7/3/02 $ 752,310 $ 799,991 $ 47,681 1,897,766 Australian Dollar........ 7/16/02 1,007,516 1,063,953 56,437 113,123 Australian Dollar........ 7/1/02 63,258 63,507 249 88,789 British Pound............ 7/1/02 135,660 135,385 (275) 21,425 British Pound............ 7/2/02 32,772 32,658 (114) 408,527 British Pound............ 7/3/02 625,885 622,594 (3,291) 99,601 Euro..................... 7/1/02 97,722 98,366 644 247,403 Euro..................... 7/2/02 244,469 244,335 (134) 59,424 Euro..................... 7/3/02 58,910 58,684 (226) 1,591,653 Euro..................... 8/30/02 1,372,609 1,567,342 194,733 2,676,494 Euro..................... 9/18/02 2,346,108 2,633,451 287,343 369,502 Euro..................... 9/26/02 322,715 363,434 40,719 3,749,825 Euro..................... 9/30/02 3,265,161 3,687,615 422,454 859,637 Euro..................... 7/3/02 754,205 848,934 94,729 741,265 Euro..................... 7/15/02 652,387 731,578 79,191 1,611,038 Euro..................... 7/18/02 1,416,748 1,589,738 172,990 631,535 Euro..................... 7/22/02 560,176 623,055 62,879 1,059,764 Euro..................... 8/21/02 971,655 1,044,016 72,361 599,922 Euro..................... 8/28/02 550,128 590,716 40,588 1,230,832 Euro..................... 8/30/02 1,138,411 1,212,033 73,622 1,244,910 Euro..................... 9/12/02 1,170,453 1,225,206 54,753 1,014,618 Euro..................... 9/27/02 980,087 997,914 17,827 2,941,444 Euro..................... 10/28/02 2,595,443 2,889,076 293,633 622,344 Euro..................... 11/21/02 568,411 610,617 42,206 1,044,794 Euro..................... 12/4/02 968,408 1,024,517 56,109 161,533 Hong Kong Dollar......... 7/3/02 20,710 20,709 (1) 282,987 Mexican Peso............. 7/2/02 28,458 28,455 (3) 499,579 Swiss Franc.............. 7/1/02 334,813 335,671 858 506,216 Swiss Franc.............. 7/2/02 340,205 340,130 (75) 1,477,176 Swiss Franc.............. 7/3/02 997,112 992,616 (4,496) 13,880,985 Yen...................... 7/1/02 116,066 115,810 (256) 20,614,522 Yen...................... 7/2/02 172,329 171,988 (341) 129,731,280 Yen...................... 7/16/02 1,017,731 1,083,206 65,475 ----------- ----------- ---------- Total Currency Purchased. $25,679,031 $27,847,300 $2,168,269 =========== =========== ==========
See accompanying notes to financial statements. 55 THE HIRTLE CALLAGHAN TRUST International Equity Portfolio Portfolio of Investments (continued) -- June 30, 2002
Contract Amount Value on (Local Settlement Origination Value on Unrealized Currency) Forward Exchange Contracts Date Date 6/30/02 Gain/(Loss) --------- -------------------------- ---------- ------------ ------------ ----------- Currency Sold 1,897,766 Australian Dollar...... 7/16/02 $ (1,017,731) $ (1,063,953) $ (46,222) 806,079 British Pound.......... 9/12/02 (1,170,453) (1,222,961) (52,508) 228,640 British Pound.......... 9/26/02 (322,715) (346,586) (23,871) 1,811,341 British Pound.......... 10/28/02 (2,595,443) (2,739,963) (144,520) 10,320 Canadian Dollar........ 7/5/02 (6,818) (6,785) 33 1,503,169 Canadian Dollar........ 8/21/02 (971,655) (987,182) (15,527) 1,747,905 Canadian Dollar........ 8/30/02 (1,138,411) (1,147,628) (9,217) 373,947 Danish Kroner.......... 7/1/02 (49,541) (49,714) (173) 328,950 Danish Kroner.......... 7/2/02 (43,629) (43,732) (103) 219,256 Danish Kroner.......... 7/3/02 (29,252) (29,145) 107 660,134 Euro................... 7/1/02 (649,390) (651,948) (2,558) 260,891 Euro................... 7/2/02 (257,074) (257,656) (582) 990,411 Euro................... 7/3/02 (981,581) (977,995) 3,586 9,716,894 Mexican Peso........... 12/4/02 (968,408) (941,175) 27,233 75,842 Singapore Dollar....... 7/2/02 (42,886) (42,926) (40) 101,341 Singapore Dollar....... 7/3/02 (57,372) (57,360) 12 10,626,081 Swedish Krona.......... 7/1/02 (1,149,499) (1,156,203) (6,704) 695,947 Swedish Krona.......... 7/3/02 (75,923) (75,711) 212 5,882,707 Yen.................... 7/1/02 (49,230) (49,080) 150 5,224,167 Yen.................... 7/2/02 (43,661) (43,586) 75 256,339,000 Yen.................... 7/3/02 (1,981,680) (2,138,826) (157,146) 85,415,912 Yen.................... 7/15/02 (652,387) (713,149) (60,762) 129,731,280 Yen.................... 7/16/02 (987,363) (1,083,205) (95,842) 185,003,520 Yen.................... 7/18/02 (1,416,748) (1,544,879) (128,131) 72,418,080 Yen.................... 7/22/02 (560,176) (604,866) (44,690) 68,547,706 Yen.................... 8/28/02 (550,128) (573,670) (23,542) 324,198,600 Yen.................... 8/30/02 (2,440,609) (2,713,475) (272,866) 299,044,620 Yen.................... 9/18/02 (2,346,108) (2,505,320) (159,212) 118,913,200 Yen.................... 9/27/02 (980,087) (996,672) (16,585) 428,792,450 Yen.................... 9/30/02 (3,265,160) (3,594,463) (329,303) 70,987,400 Yen.................... 11/21/02 (568,410) (596,888) (28,478) ------------ ------------ ----------- Total Currency Sold.... $(27,369,528) $(28,956,702) $(1,587,174) ============ ============ =========== Net Unrealized Gain.... $ 581,095 ===========
See accompanying notes to financial statements. 56 THE HIRTLE CALLAGHAN TRUST Fixed Income Portfolio Portfolio of Investments -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- -------------- Asset Backed Securities -- 10.28% $1,873,909 Conseco Finance Mortgage, Series 2000-B, Class AF6..................... 7.800 5/15/20 $ 2,025,078 1,115,000 Contimortgage Home Equity Loan Trust, Series 1998-1, Class A7.......... 6.870 12/15/22 1,182,498 1,438,056 Copelco Capital Funding Corp., Series 1999-B, Class A4................. 6.900 12/18/04 1,491,607 1,100,000 Detroit Edison Securitization Funding LLC, Series 2001-1, Class A6..... 6.620 3/1/16 1,174,390 1,265,000 Felco Funding II LLC, Series 2000-1, Class A4*......................... 7.720 12/15/05 1,319,927 862,000 Green Tree Home Improvement Loan Trust, Series 1998-E, Class HIB1...... 7.790 2/15/15 868,147 721,000 Green Tree Home Improvement Loan Trust, Series 1999-E, Class B1........ 10.340 3/15/15 749,931 305,000 Heller Equipment Asset Receivable Trust, Series 1999-2, Class A4....... 6.790 3/14/07 305,690 150,000 Honda Auto Receivables Owners Trust, Series 2001-3, Class A4........... 3.960 2/19/07 151,683 300,000 Household Automotive Trust V, Series 2000-2, Class A4.................. 7.430 4/17/07 319,830 1,280,000 MMCA Automobile Trust, Series 2000-2, Class A4......................... 4.300 3/15/10 1,279,666 810,000 Ryder Vehicle Lease Trust, Series 1999-A, Class A5..................... 7.130 10/16/06 863,316 1,280,000 WFS Financial Owner Trust, Series 2002-2, Class A4..................... 4.500 2/20/10 1,293,444 -------------- Total Asset Backed Securities (cost $12,521,905)....................... 13,025,207 -------------- Collateralized Mortgage Obligations -- 11.80% 463,695 Bank of America Mortgage Securities, Series 2000-7, Class A4........... 7.125 12/25/30 478,250 810,000 Centex Home Equity, Series 2001-B, Class A3............................ 5.770 11/25/27 837,985 279,277 Chase Commercial Mortgage Securities Corp., Series 1996-2, Class A2.... 6.900 11/19/28 298,975 750,428 Citicorp Mortgage Securities, Inc., Series 1999-1, Class A5............ 6.500 3/25/29 765,774 1,155,624 Citicorp Mortgage Securities, Inc., Series 1999-7, Class A3............ 7.000 5/25/11 1,196,915 870,000 Conseco, Series 1999-6, Class B1....................................... 9.200 6/1/30 613,477 365,000 FMAC Loan Receivables Trust, Series 1998-DA, Class A3*................. 6.729 12/15/19 370,620 155,000 GE Capital Mortgage Services, Inc., Series 1994-10, Class A10.......... 6.500 3/25/24 161,312 1,065,000 GMAC Mortgage Corp., Series 2001-HE2, Class IIA4....................... 6.370 3/25/23 1,116,789 308,002 Green Tree Financial Corp., Series 1996-2, Class A4.................... 7.200 4/15/27 322,588 87,275 Green Tree Financial Corp., Series 1996-5, Class A5.................... 7.450 7/15/27 87,606 405,000 Green Tree Financial Corp., Series 1997-6, Class B1.................... 7.170 1/15/29 288,749 780,000 Green Tree Financial Corp., Series 1998-4, Class B1.................... 7.260 2/1/30 564,058 420,000 Green Tree Financial Corp., Series 1999-2, Class A3.................... 6.080 12/1/30 436,783 2,205,000 JP Morgan Commercial Mortgage Finance Corp., Series 1997-C5, Class A3.. 7.088 9/15/29 2,391,014 1,400,000 Oakwood Mortgage Investors, Inc., Series 2000-A, Class M2.............. 8.250 4/15/30 1,380,987 275,000 Prudential Home Mortgage Securities, Series 1994-12, Class A7.......... 6.050 4/25/24 252,076 810,000 Structured Asset Securities Corp., Series 2001-12, Class 2A1........... 5.750 9/25/31 830,120 1,160,000 Vanderbilt Mortgage Finance, Series 2001-C, Class A2................... 4.235 8/7/14 1,166,863 343,532 Wells Fargo Mortgage Backed Securities Trust, Series 2001-1, Class A1.. 7.000 2/25/31 351,873 1,005,000 Wells Fargo Mortgage Backed Securities Trust, Series 2001-15, Class 1A2 6.500 7/25/31 1,044,436 -------------- Total Collateralized Mortgage Obligations (cost $15,067,750)........... 14,957,250 -------------- Corporate Bonds -- 33.24% 1,630,000 Agfirst Farm Credit Bank............................................... 8.393 12/15/16 1,768,551 767,561 America West Airlines, Series 1999-1................................... 7.930 1/2/19 811,296 1,805,000 American General Corp., Series B*...................................... 8.125 3/15/46 2,046,418 1,125,000 Arcel Finanace......................................................... 5.984 2/1/09 1,143,417 1,135,000 Archstone Community Trust.............................................. 7.200 4/15/03 1,169,050 1,495,000 Autopista Del Maipo* (MBIA)............................................ 7.373 6/15/22 1,516,005 557,432 BAE Systems 2001 Asset Trust*.......................................... 6.664 9/15/13 592,223 445,000 BFC Finance Corp., Series 1996-A....................................... 7.375 12/1/17 446,998 1,395,000 CIT Group Inc.......................................................... 7.750 4/2/12 1,373,276 1,265,000 Citigroup.............................................................. 4.125 6/30/05 1,267,810 720,000 Dobie Center Properties Ltd.*.......................................... 6.410 5/1/08 742,851 770,000 Dobie Center Properties Ltd.*.......................................... 6.460 5/1/09 786,932
See accompanying notes to financial statements. 57 THE HIRTLE CALLAGHAN TRUST Fixed Income Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------ Corporate Bonds (continued) $ 170,000 Dynex Capital, Inc. (ACA)..................................................... 7.875 7/15/02 $ 170,338 569,000 Eastern Energy Ltd.*.......................................................... 6.750 12/1/06 608,830 640,000 El Paso Corp.*................................................................ 7.875 6/15/12 644,000 1,335,000 Energy East Corp.............................................................. 7.750 11/15/03 1,385,053 325,000 First American Financial...................................................... 7.550 4/1/28 263,656 1,240,000 Firstenergy Corp.............................................................. 6.450 11/15/11 1,203,911 1,690,000 Ford Motor Credit Co.......................................................... 6.875 2/1/06 1,728,982 2,110,000 General Electric Capital Corp................................................. 6.000 6/15/12 2,099,992 1,410,000 General Motors Acceptance Corp................................................ 5.250 5/16/05 1,418,813 1,310,000 General Motors Acceptance Corp................................................ 6.875 9/15/11 1,300,590 1,290,000 Health Care Services Corp.*................................................... 7.750 6/15/11 1,350,854 1,465,000 Hertz Corp.................................................................... 7.625 6/1/12 1,444,374 345,000 Ohio National Life Insurance*................................................. 8.500 5/15/26 365,269 1,240,000 Pacificorp.................................................................... 6.900 11/15/11 1,317,500 1,685,000 Pemex Finance Ltd.*........................................................... 6.550 2/15/08 1,735,735 890,000 Pemex Finance Ltd.*........................................................... 7.330 5/15/12 952,638 540,000 Pemex Project Funding Master Trust*........................................... 8.500 2/15/08 560,250 1,085,000 PP&L Capital Funding, Inc., MTN............................................... 6.790 11/22/04 1,155,525 1,220,000 Progress Energy Inc........................................................... 6.850 4/15/12 1,270,554 280,000 Puget Sound Energy, MTN....................................................... 6.740 6/15/18 282,586 1,225,000 Sempra Energy................................................................. 6.950 12/1/05 1,278,675 1,440,000 Torchmark Corp................................................................ 6.250 12/15/06 1,501,582 130,000 United Mexican States, MTN.................................................... 8.500 2/1/06 138,450 910,000 Verizon Global................................................................ 6.875 6/15/12 902,647 295,000 Washington Mutual Financial................................................... 8.250 6/15/05 321,550 1,345,000 Wells Fargo Financial......................................................... 4.875 6/12/07 1,343,319 1,665,000 Weyerhaeuser Co. *............................................................ 7.375 3/15/32 1,689,967 ------------ Total Corporate Bonds (cost $40,913,272)...................................... 42,100,467 ------------ Taxable Municipal Bond -- 5.03% 420,000 Allegheny County PA, Residential Finance Authority, Revenue, Zero Coupon (FHA) 0.000 8/1/28 60,375 180,000 Atlanta GA, Urban Residential Finance Authority, Revenue, Zero Coupon......... 0.000 10/1/16 58,050 160,000 City of Long Beach Marina Pacifica CA, Revenue, Industrial Improvements....... 9.500 1/1/23 169,400 250,000 Clearfield City Utah Multi-Family, Revenue, Local Housing..................... 6.650 11/1/07 271,563 55,000 Dade County FL, Aviation Revenue, Series C (AMBAC)............................ 8.650 10/1/03 58,988 970,000 Houston Texas Apartment Systems Revenue, Rental Car Project (FGIC)............ 6.880 1/1/28 994,250 515,000 New York City Mortgage Loan Trust, Series 1996, Class A3*..................... 6.750 9/25/19 541,346 1,710,000 Norristown PA, Series 1998.................................................... 7.000 10/15/18 1,810,462 1,435,000 Pico Rivera CA, Water Authority............................................... 6.450 5/1/09 1,540,830 810,000 San Diego CA, Pub Jack Murphy Stadium, Revenue, Recreational Facility Improvements................................................................. 6.850 2/1/06 873,788 ------------ Total Taxable Municipal Bond (cost $6,031,355)................................ 6,379,052 ------------ U.S. Government Agency Mortgages -- 22.74% 350,000 Fannie Mae, Series 1994-92, Class DE.......................................... 7.500 7/25/07 357,161 1,260,000 Fannie Mae, Series 1998-M1, Class A2.......................................... 6.250 1/25/08 1,329,282 1,055,000 Fannie Mae, Series 2001-69, Class OC.......................................... 5.500 7/25/11 1,091,875 810,000 Fannie Mae, Series 2001-51, Class QU.......................................... 6.000 5/25/13 840,084 2,335,000 Fannie Mae, Series 2001-48, Class PA.......................................... 6.000 9/25/13 2,415,882 145 Fannie Mae, Pool #303387...................................................... 8.000 7/1/02 145 1,551,889 Fannie Mae, Pool #380433...................................................... 6.490 8/1/08 1,655,664 1,982,763 Fannie Mae, Pool #545482...................................................... 7.000 3/1/32 2,055,689 644,126 Fannie Mae, Pool #564235...................................................... 9.000 11/1/30 690,226
See accompanying notes to financial statements. 58 THE HIRTLE CALLAGHAN TRUST Fixed Income Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ---------- ----------- -------- -------- ------------ U.S. Government Agency Mortgages (continued) $1,396,622 Fannie Mae, Pool #636884...................................................... 6.500 4/1/32 $ 1,425,895 1,055,000 Fannie Mae, Series 2002-3, Class ON........................................... 5.750 6/25/12 1,090,730 620,000 Fannie Mae, Series 2002-W4, Class A5.......................................... 7.500 7/1/32 651,161 640,000 Fannie Mae, Series 2002-W6, Class 2A.......................................... 7.500 8/25/34 679,600 115,000 Freddie Mac, Series 1496, Class KB............................................ 6.500 5/15/08 121,801 1,865,000 Freddie Mac, Series 2368, Class TP............................................ 6.000 7/15/12 1,930,544 2,235,000 Freddie Mac, Series 2366, Class MD............................................ 6.000 10/15/16 2,239,816 565,000 Freddie Mac, Series 2354, Class QB............................................ 5.850 11/15/24 578,758 1,571,359 Freddie Mac, Series 2111, Class DA............................................ 5.835 3/15/25 1,610,217 2,010,000 Freddie Mac, Series 2131, Class PE............................................ 6.000 4/15/26 2,039,860 1,870,000 Freddie Mac, Series 2157, Class PE............................................ 6.000 8/15/27 1,922,429 1,222,729 Freddie Mac, Gold Pool #C31226................................................ 6.500 9/1/29 1,251,243 227,676 Freddie Mac, Gold Pool #E64408................................................ 7.500 12/1/10 239,282 633,133 Freddie Mac, Series T-41, Class 3A............................................ 7.500 7/25/32 671,216 465,000 Government National Mortgage Assoc., Series 2001-19, Class PB................. 6.500 9/20/26 477,101 1,455,000 Government National Mortgage Assoc., Series 2002-41, Class VK................. 6.000 7/25/32 1,440,905 ------------ Total U.S. Government Agency Mortgages (cost $27,936,864)..................... 28,806,566 ------------ U.S. Treasury Bonds -- 6.95% 931,000 U.S. Treasury Bonds........................................................... 7.250 5/15/16 1,097,236 5,950,000 U.S. Treasury Bonds........................................................... 8.125 8/15/19 7,621,330 89,000 U.S. Treasury Bonds........................................................... 6.000 2/15/26 92,574 ------------ Total U.S. Treasury Bonds (cost $8,060,668)................................... 8,811,140 ------------ U.S. Treasury Notes -- 7.58% 6,436,000 U.S. Treasury Notes........................................................... 5.875 11/15/04 6,840,258 900,000 U.S. Treasury Notes........................................................... 6.125 8/15/07 980,949 1,645,000 U.S. Treasury Notes........................................................... 6.000 8/15/09 1,786,945 ------------ Total U.S. Treasury Notes (cost $9,421,884)................................... 9,608,152 ------------ Repurchase Agreements -- 2.21% 2,803,950 SEI Tri Party, Repurchase Agreement, dated 6/28/02, due 7/1/02 at 1.90% with a maturity value of $2,804,388 (Collateralized by Fannie Mae DN; market value $2,881,710).................................................................. 2,803,950 ------------ Total Repurchase Agreements (cost $2,803,950)................................. 2,803,950 ------------ Total Investments (cost $122,757,648) (a) -- 99.83%........................... 126,491,784 Other assets in excess of liabilities -- 0.17%................................ 216,374 ------------ NET ASSETS -- 100.00%......................................................... $126,708,158 ============
-------- (a) Cost for federal income tax purposes is $123,106,817. The gross unrealized appreciation/(depreciation) on a tax basis is as follows: Unrealized appreciation.... $ 4,419,745 Unrealized depreciation.... (1,034,778) ----------- Net unrealized appreciation $ 3,384,967 ===========
* Represents a restricted security, purchased under rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ACA -- American Capital Access AMBAC -- AMBAC Indemnity Corp. DN -- Discount Note FGIC -- Financial Guaranty Insurance Co. FHA -- Federal Housing Administration FNMA -- Federal National Mortgage Association MBIA -- Municipal Bond Insurance Association MTN -- Medium Term Note See accompanying notes to financial statements. 59 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ---------- ----------- -------- -------- ------------ Municipal Bonds -- 95.96% Alabama -- 1.36% $ 625,000 Alabama Housing Financial Authority, AMT.............................................. 5.650 6/1/08 $ 644,569 15,000 Bessemer Alabama Medical Clinic....................................................... 7.250 4/1/03 15,414 90,000 Birmingham Alabama Industrial Development Board, AMT (LOC)............................ 4.500 4/1/04 89,905 265,000 Birmingham Alabama Industrial Development Board, AMT (LOC)............................ 5.000 4/1/09 268,408 330,000 Birmingham Alabama Industrial Development Board, AMT (LOC)............................ 5.500 4/1/14 325,215 380,000 Birmingham Alabama Industrial Development Board, AMT (LOC)............................ 5.750 4/1/19 384,305 160,000 Birmingham Alabama Medical Clinic, Revenue, ETM....................................... 7.300 7/1/05 171,437 690,000 Birmingham Alabama Special Care Facilities, Methodist Home For Aging (LOC)............ 5.000 3/1/14 698,770 535,000 Gadsden Alabama East Medical Clinic, Hospital Revenue, Baptist Hospital of Gadsden, ETM.................................................................................. 6.900 7/1/07 586,403 240,000 Lauderale County & Florence Alabama, ETM.............................................. 7.000 7/1/07 265,363 ------------ 3,449,789 ------------ Alaska -- 0.17% 415,000 Alaska State Housing Financial Corp., Series A, Revenue Bond (MBIA)................... 6.000 12/1/15 432,330 ------------ Arizona -- 3.49% 5,000 Maricopa County Arizona Hospital Revenue, ETM......................................... 7.125 10/1/02 5,072 35,000 Maricopa County Arizona Hospital Revenue, ETM......................................... 6.750 1/1/04 36,300 10,000 Maricopa County Arizona Industrial Development Authority (Asset GTY).................. 4.900 5/1/06 10,431 40,000 Maricopa County Arizona Industrial Development Authority (Asset GTY).................. 5.000 5/1/07 41,738 95,000 Maricopa County Arizona Industrial Development Authority (Asset GTY).................. 5.300 5/1/13 99,006 2,000,000 Maricopa County Arizona Industrial Development Authority, Multi-Family Housing Revenue, Series A-1 (GNMA)........................................................... 6.000 10/20/31 2,126,520 2,510,000 Maricopa County Arizona Industrial Development Authority, Multi-Family Housing Revenue, Series A-1 (GNMA)........................................................... 6.050 10/20/36 2,668,707 500,000 Northern Arizona Capital Facilities Finance Corp., Northern Arizona University Student Housing Project, Series A, Mandatory Put 10/30/04 @ 100 (LOC), Student Housing Revenue.............................................................................. 4.000 8/1/33 516,025 720,000 Phoenix Health Facilities Authority Hospital, ETM..................................... 6.250 9/1/11 747,310 230,000 Pinal County Arizona Community College (AMBAC)........................................ 5.250 7/1/07 251,983 245,000 Pinal County Arizona Community College (AMBAC)........................................ 5.250 7/1/08 268,669 95,000 Pinal County Arizona Community College (AMBAC)........................................ 4.750 7/1/09 101,333 175,000 Pinal County Arizona Community College (AMBAC)........................................ 4.800 7/1/09 187,133 400,000 Show Low Arizona Industrial Development Authority, Navapache Regional Medical Center, Series A (ACA)............................................................... 5.125 12/1/06 426,516 1,000,000 Tucson Arizona Airport Authority Inc. Revenue, (MBIA)................................. 5.700 6/1/13 1,040,330 340,000 Yuma Arizona Industrial Development Multi-Family (GNMA)............................... 5.400 12/20/17 342,169 ------------ 8,869,242 ------------ Arkansas -- 0.43% 32,720 Drew County Arkansas Public Facility Board, Single Family, Series A-2 (FNMA).......... 7.900 8/1/11 34,253 65,000 Fayetteville Arkansas Public Facilities Board Refunding............................... 7.250 4/1/11 67,816 30,000 Jefferson County Arkansas Health Care, ETM............................................ 7.400 12/1/10 35,000 1,272 Lonoke County Arkansas Residential Housing Refunding, Series B, Facilities Board, Single Family Mortgage Revenue....................................................... 7.375 4/1/11 1,325 90,000 Mississippi County Arkansas Public Facilities Refunding, Series 1..................... 7.200 7/15/10 92,801 333,000 North Little Rock Arkansas Residential Housing, Capital Appreciation, Sub-Mortgage, Zero Coupon.......................................................................... 0.000 12/1/10 187,169 575,000 Rogers Arkansas Sales & Use Tax Revenue............................................... 5.350 11/1/11 588,082 55,000 Saline County Arkansas Residential Housing Board...................................... 7.875 3/1/11 56,801 25,487 Stuttgart Arkansas Public Facilities Board Refunding, Single Family Mortgage, Series B 7.750 9/1/11 25,487 ------------ 1,088,734 ------------
See accompanying notes to financial statements. 60 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date ----------- ----------- -------- -------- Municipal Bonds (continued) California -- 2.41% $ 405,000 Abag Finance Authority for Non-Profit Companies, American Baptists Homes............... 5.500 10/1/07 210,000 California Statewide Communities Development Authority, Multi-Family, Cudahy Gardens, Series I, AMT (LOC).......................................................... 5.100 10/1/12 230,000 California Statewide Communities Development Authority, Multi-Family, Cudahy Gardens, Series I, Mandatory Put 4/1/16 @ 100, AMT (LOC).............................. 5.600 4/1/29 1,325,000 California Statewide Communities Development Authority, Multi-Family, Pioneer Park, Series T, AMT (GNMA).................................................................. 6.100 12/20/20 175,000 California Statewide Communities Development Authority, Multi-Family, Riverside Gardens, AMT (LOC).................................................................... 5.100 10/1/12 70,000 Colton California Redevelopment Agency, ETM............................................ 7.250 8/1/11 90,000 Contra Costa County California Multi-Family Housing Revenue, Bollinger Crests Apartments, Series C, AMT (FNMA)...................................................... 4.850 5/1/11 100,000 Delta County California Home Mortgage Finance, AMT (GNMA/FNMA) (MBIA).................. 6.700 6/1/24 55,000 Emeryville California Redevelopment Agency, ETM........................................ 7.500 9/1/11 60,000 Fresno California Housing Authority, Multi-Family Housing Central Valley Coalition Projects, AMT (FNMA).................................................................. 5.150 8/1/07 35,000 Fresno California Housing Authority, Multi-Family Housing Central Valley Coalition Projects, AMT (FNMA).................................................................. 5.150 8/1/07 125,000 Fresno California Multi-Family Housing Revenue, Woodlands Apartments Projects (GNMA)................................................................................ 6.650 5/20/08 870,000 Los Angeles California Community Redevelopment, Angelus Plaza Project, Series A (FNMA)................................................................................ 7.400 6/15/10 40,000 Los Angeles California Community Redevelopment, Monterey Hills Redevelopment Project............................................................................... 8.650 12/1/22 295,000 Los Angeles California Multi-Family Housing, Earthquake Rehabilitation Projects, Series A, AMT (FNMA)......................................................................... 5.700 12/1/27 655,000 Los Angeles California Multi-Family Housing, Earthquake Rehabilitation Projects, Mandatory 12/1/07 Put @ 100, AMT (FNMA)............................................... 5.850 12/1/27 45,000 Rialto California Redevelopment Agency Multi-Family Housing (FNMA)..................... 5.600 11/1/06 120,000 Riverside County California Housing Authority Breezewood Apartments Project, Series B (MBIA).............................................................................. 5.000 6/1/19 25,000 Sacramento California Municipal Utility District, Series M, ETM........................ 8.750 4/1/03 45,000 Santa Clara County California Multi-Family Housing (GNMA).............................. 5.750 5/20/05 110,000 Turlock California Public Financing Authority.......................................... 5.250 9/1/15 745,000 Vista California Multi-Family Housing Revenue, Pepperwood Apartments Project, Series A, Mandatory Put 6/1/05 @100 (FNMA)................................................... 5.700 6/1/25 Colorado -- 3.11% 80,000 Arvada Colorado Industrial Development Revenue, AMT (LOC).............................. 5.600 12/1/12 120,000 Arvada Colorado Industrial Development Revenue, AMT (LOC).............................. 5.800 12/1/17 310,000 Aurora Centretech Metro District Colorado, Mandatory Put 12/1/08 @ 100 (LOC)........... 4.875 12/1/28 20,000 Aurora Colorado Housing Authority, Single Family Mortgage Revenue...................... 7.300 5/1/10 20,000 Colorado Housing Financial Authority................................................... 5.000 5/1/05 25,000 Colorado Housing Financial Authority................................................... 4.750 11/1/05 165,000 Colorado Housing Financial Authority................................................... 6.500 5/1/16 255,000 Colorado Housing Financial Authority................................................... 6.550 5/1/25 350,000 Colorado Housing Financial Authority (FHA)............................................. 5.700 10/1/21 5,000 Colorado Housing Financial Authority, AMT.............................................. 5.750 11/1/04 230,000 Colorado Housing Financial Authority, AMT.............................................. 5.200 12/1/05 935,000 Colorado Housing Financial Authority, AMT.............................................. 6.400 11/1/24
Security Description Value ----------- ------------ Municipal Bonds (continued) California -- 2.41% Abag Finance Authority for Non-Profit Companies, American Baptists Homes............... $ 400,322 California Statewide Communities Development Authority, Multi-Family, Cudahy Gardens, Series I, AMT (LOC).......................................................... 213,475 California Statewide Communities Development Authority, Multi-Family, Cudahy Gardens, Series I, Mandatory Put 4/1/16 @ 100, AMT (LOC).............................. 233,303 California Statewide Communities Development Authority, Multi-Family, Pioneer Park, Series T, AMT (GNMA).................................................................. 1,384,228 California Statewide Communities Development Authority, Multi-Family, Riverside Gardens, AMT (LOC).................................................................... 177,265 Colton California Redevelopment Agency, ETM............................................ 82,882 Contra Costa County California Multi-Family Housing Revenue, Bollinger Crests Apartments, Series C, AMT (FNMA)...................................................... 90,269 Delta County California Home Mortgage Finance, AMT (GNMA/FNMA) (MBIA).................. 107,699 Emeryville California Redevelopment Agency, ETM........................................ 65,628 Fresno California Housing Authority, Multi-Family Housing Central Valley Coalition Projects, AMT (FNMA).................................................................. 62,233 Fresno California Housing Authority, Multi-Family Housing Central Valley Coalition Projects, AMT (FNMA).................................................................. 36,303 Fresno California Multi-Family Housing Revenue, Woodlands Apartments Projects (GNMA)................................................................................ 136,925 Los Angeles California Community Redevelopment, Angelus Plaza Project, Series A (FNMA)................................................................................ 953,493 Los Angeles California Community Redevelopment, Monterey Hills Redevelopment Project............................................................................... 45,265 Los Angeles California Multi-Family Housing, Earthquake Rehabilitation Projects, Series A, AMT (FNMA)......................................................................... 311,957 Los Angeles California Multi-Family Housing, Earthquake Rehabilitation Projects, Mandatory 12/1/07 Put @ 100, AMT (FNMA)............................................... 693,259 Rialto California Redevelopment Agency Multi-Family Housing (FNMA)..................... 48,685 Riverside County California Housing Authority Breezewood Apartments Project, Series B (MBIA).............................................................................. 116,659 Sacramento California Municipal Utility District, Series M, ETM........................ 26,365 Santa Clara County California Multi-Family Housing (GNMA).............................. 48,196 Turlock California Public Financing Authority.......................................... 112,262 Vista California Multi-Family Housing Revenue, Pepperwood Apartments Project, Series A, Mandatory Put 6/1/05 @100 (FNMA)................................................... 772,333 ------------ 6,119,006 ------------ Colorado -- 3.11% Arvada Colorado Industrial Development Revenue, AMT (LOC).............................. 82,699 Arvada Colorado Industrial Development Revenue, AMT (LOC).............................. 122,767 Aurora Centretech Metro District Colorado, Mandatory Put 12/1/08 @ 100 (LOC)........... 324,421 Aurora Colorado Housing Authority, Single Family Mortgage Revenue...................... 20,000 Colorado Housing Financial Authority................................................... 20,237 Colorado Housing Financial Authority................................................... 26,133 Colorado Housing Financial Authority................................................... 176,600 Colorado Housing Financial Authority................................................... 271,223 Colorado Housing Financial Authority (FHA)............................................. 350,315 Colorado Housing Financial Authority, AMT.............................................. 5,127 Colorado Housing Financial Authority, AMT.............................................. 242,008 Colorado Housing Financial Authority, AMT.............................................. 982,302
See accompanying notes to financial statements. 61 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date ----------- ----------- -------- -------- Municipal Bonds (continued) Colorado (continued) $ 105,000 Denver Colorado City & County Multi-Family Housing (FHA).................................. 4.700 7/1/08 65,000 Denver Colorado City & County Multi-Family Housing, AMT (FHA)............................. 5.100 11/1/07 275,000 Greeley Colorado Multi-Family Revenue Housing, Meeker Commons, AMT (GNMA)................. 5.400 9/20/10 2,650,000 Superior Metropolitan District No.1, Colorado Water & Sewer, Series C, Mandatory Put, 12/1/04 @ 100 (LOC)...................................................................... 5.500 12/1/20 1,220,000 Westminster Colorado Multi-Family, Mandatory Put 9/1/06 @ 100 (AXA)....................... 5.950 9/1/06 755,000 Westminster Colorado Multi-Family, Mandatory Put 12/1/05 @ 100 (FNMA)..................... 5.350 12/1/25 Connecticut -- 2.18% 4,850,000 Stamford Connecticut Housing Authority, Multi-Family, AMT, Mandatory Put 12/1/08 @100..................................................................................... 4.750 12/1/28 320,000 Waterbury Connecticut Housing Authority Mortgage Revenue (AMBAC).......................... 4.850 7/1/09 355,000 Waterbury Connecticut Housing Authority Mortgage Revenue (AMBAC).......................... 4.850 7/1/09 Delaware -- 0.20% 5,000 Delaware State Economic Development Authority Revenue, 1st Mortgage, Peninsula United, Series A......................................................................... 6.000 5/1/09 205,000 Delaware State Housing Authority Revenue, Residential Mortgage, Series A.................. 8.750 6/1/17 15,000 Delaware State Economic Development (MBIA)................................................ 7.000 10/1/03 245,000 Sussex County Deleware Single Family Mortgage, ETM........................................ 7.500 3/1/10 District of Columbia -- 0.81% 260,000 District of Columbia Housing Finance Agency (Asset GTY)................................... 4.850 6/1/08 185,000 District of Columbia Housing Finance Agency, Mayfair Mansions Apartments, AMT (FHA).................................................................................... 5.000 2/1/08 1,580,000 District of Columbia Housing Finance Agency, Single Family Mortgage, Series A, AMT (FNMA/GNMA).............................................................................. 6.250 12/1/28 Florida -- 2.88% 1,980,000 Boca Place Associates, LTD Florida Revenue (LOC).......................................... 4.650 2/1/04 125,000 Brevard County Flordia Health Facilities Authority, ETM................................... 7.375 11/15/04 50,000 Dade City Florida, Governmental Leasing Corp., Certificates of Participation.............. 9.000 4/1/20 260,000 Dade County Florida Housing Finance Authority, AMT, Mandatory Put 6/1/06 @ 100 (FNMA)................................................................................... 5.900 6/1/26 150,000 Daytona Beach Florida Water & Sewer, ETM.................................................. 6.750 11/15/07 95,000 Escambia County Florida Housing Finance Authority, Multifamily Housing Revenue, Waterford Project (LOC).................................................................. 5.750 4/1/04 330,000 FHA Insured Trust, Series 96-I, Class A3.................................................. 7.000 7/1/22 310,000 Florida State Department of Corrections, Okeechobee Correctional Facility, Certificates of Participation (AMBAC).................................................................... 6.250 3/1/15 1,565,000 Hillsborough County Port District Revenue, Second Lien, Zero Coupon (MBIA)................ 0.000 6/1/09 965,000 Hillsborough County Port District Revenue, Second Lien, Zero Coupon, (MBIA)............... 0.000 6/1/11 35,000 Jacksonville Florida Health Facilities, St. Catherine Laboure Manor, Inc., ETM............ 9.125 1/1/03 60,000 Jacksonville Florida Health Facilities, St. Vincent's Medical Center, Inc., ETM........... 9.125 1/1/03 300,000 Miami Beach Florida Housing Authority Revenue, 1st Mortgage, Elderly Housing, Section 8................................................................................ 6.625 1/15/09 375,000 Miami-Dade County Florida Housing Finance Authority, Series A-1, AMT (GNMA/ FNMA).................................................................................... 5.900 6/1/25
Security Description Value ----------- ------------ Municipal Bonds (continued) Colorado (continued) Denver Colorado City & County Multi-Family Housing (FHA).................................. $ 109,794 Denver Colorado City & County Multi-Family Housing, AMT (FHA)............................. 67,984 Greeley Colorado Multi-Family Revenue Housing, Meeker Commons, AMT (GNMA)................. 280,827 Superior Metropolitan District No.1, Colorado Water & Sewer, Series C, Mandatory Put, 12/1/04 @ 100 (LOC)...................................................................... 2,770,178 Westminster Colorado Multi-Family, Mandatory Put 9/1/06 @ 100 (AXA)....................... 1,247,475 Westminster Colorado Multi-Family, Mandatory Put 12/1/05 @ 100 (FNMA)..................... 799,522 ------------ 7,899,612 ------------ Connecticut -- 2.18% Stamford Connecticut Housing Authority, Multi-Family, AMT, Mandatory Put 12/1/08 @100..................................................................................... 4,857,518 Waterbury Connecticut Housing Authority Mortgage Revenue (AMBAC).......................... 320,627 Waterbury Connecticut Housing Authority Mortgage Revenue (AMBAC).......................... 354,872 ------------ 5,533,017 ------------ Delaware -- 0.20% Delaware State Economic Development Authority Revenue, 1st Mortgage, Peninsula United, Series A......................................................................... 5,194 Delaware State Housing Authority Revenue, Residential Mortgage, Series A.................. 205,256 Delaware State Economic Development (MBIA)................................................ 15,052 Sussex County Deleware Single Family Mortgage, ETM........................................ 284,703 ------------ 510,205 ------------ District of Columbia -- 0.81% District of Columbia Housing Finance Agency (Asset GTY)................................... 262,826 District of Columbia Housing Finance Agency, Mayfair Mansions Apartments, AMT (FHA).................................................................................... 191,819 District of Columbia Housing Finance Agency, Single Family Mortgage, Series A, AMT (FNMA/GNMA).............................................................................. 1,591,123 ------------ 2,045,768 ------------ Florida -- 2.88% Boca Place Associates, LTD Florida Revenue (LOC).......................................... 2,060,130 Brevard County Flordia Health Facilities Authority, ETM................................... 136,051 Dade City Florida, Governmental Leasing Corp., Certificates of Participation.............. 51,679 Dade County Florida Housing Finance Authority, AMT, Mandatory Put 6/1/06 @ 100 (FNMA)................................................................................... 275,972 Daytona Beach Florida Water & Sewer, ETM.................................................. 154,712 Escambia County Florida Housing Finance Authority, Multifamily Housing Revenue, Waterford Project (LOC).................................................................. 95,593 FHA Insured Trust, Series 96-I, Class A3.................................................. 336,600 Florida State Department of Corrections, Okeechobee Correctional Facility, Certificates of Participation (AMBAC).................................................................... 338,864 Hillsborough County Port District Revenue, Second Lien, Zero Coupon (MBIA)................ 1,189,102 Hillsborough County Port District Revenue, Second Lien, Zero Coupon, (MBIA)............... 659,877 Jacksonville Florida Health Facilities, St. Catherine Laboure Manor, Inc., ETM............ 36,301 Jacksonville Florida Health Facilities, St. Vincent's Medical Center, Inc., ETM........... 62,230 Miami Beach Florida Housing Authority Revenue, 1st Mortgage, Elderly Housing, Section 8................................................................................ 320,307 Miami-Dade County Florida Housing Finance Authority, Series A-1, AMT (GNMA/ FNMA).................................................................................... 393,645
See accompanying notes to financial statements. 62 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) Florida (continued) $ 305,000 Orange County Florida Health Facilities Authority Revenue, Mayflower Retirement Center, ETM...................................................................... 8.750 10/1/09 $ 367,894 30,000 Palm Beach County Florida Health Facilities Revenue, ETM.......................... 9.500 8/1/13 39,228 575,000 Pasco County Florida Revenue, GO, ETM (MBIA)...................................... 6.375 8/1/08 638,256 20,000 Pinellas County Florida Housing Finance Authority, Multi-County Program, Series A, AMT (GNMA)....................................................................... 6.850 3/1/29 20,449 65,000 St. Johns County Florida Industrial Development Authority, Series A (MBIA)........ 5.500 3/1/17 68,735 60,000 Tampa Florida Excise Tax, Revenue Bond, ETM....................................... 6.125 10/1/07 66,348 ------------ 7,311,973 ------------ Georgia -- 7.16% 210,000 Athens Georgia Water & Sewer Revenue, ETM......................................... 6.200 7/1/08 241,523 11,310,000 Atlanta Georgia Urban Residential Finance Authority, Multifamily Revenue Housing, Certificate of Participation, Mandatory Put 10/1/06 @ 100 (LOC).................. 4.000 10/1/25 11,344,608 150,000 Augusta Georgia Housing Rehabilitation Agency..................................... 7.000 9/1/05 155,058 5,000 Clayton County Georgia Housing Authority Multi-Family, AMT (FNMA)................. 5.750 1/1/13 5,248 40,000 Fulton County Georgia Housing Authority, Single Family Revenue, AMT (GNMA)........ 6.200 3/1/13 41,156 410,000 Gwinnett County Georgia Multi-Family, Mandatory Put 4/1/06 @ 100 (FNMA)........... 5.500 4/1/26 427,200 645,000 Marietta Georgia Housing Authority, Multi-Family Revenue, Mandatory Put 6/1/05 @100 (FNMA)...................................................................... 5.700 6/1/25 669,806 3,680,000 Marietta Georgia Housing Authority, Multifamily Revenue, Mandatory Put 7/1/04 @ 100 (Gables)..................................................................... 4.750 7/1/24 3,711,316 320,000 Marietta Georgia Housing Authority, Multifamily Revenue, Mandatory Put 7/1/04 @ 100 (Gables)..................................................................... 4.750 7/1/24 322,784 260,000 Savannah Georgia Economic Development Authority................................... 6.200 10/1/09 283,030 200,000 Savannah Georgia Economic Development Authority................................... 6.500 10/1/13 214,822 585,000 Savannah Georgia Economic Development Authority (ACA)............................. 6.875 11/15/11 657,540 75,000 St. Mary's Georgia Housing Authority Multi-Family (FHA)........................... 7.250 9/1/05 75,146 35,000 St. Mary's Georgia Housing Authority Multi-Family (FHA)........................... 7.250 10/1/05 35,068 ------------ 18,184,305 ------------ Hawaii -- 0.21% 470,000 Hawaii State Housing Finance & Development, AMT (FNMA)............................ 5.200 7/1/12 485,510 35,000 Honolulu Hawaii City & County, Multi-Family Housing, Waipahu Towers Project, AMT (GNMA)....................................................................... 6.900 6/20/05 37,256 ------------ 522,766 ------------ Idaho -- 0.65% 5,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC).......................................................... 4.850 11/1/02 5,046 80,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC).......................................................... 4.950 11/1/03 82,266 80,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC).......................................................... 5.050 11/1/04 83,713 95,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC).......................................................... 5.150 11/1/05 99,380 95,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC).......................................................... 5.200 11/1/06 98,835 105,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC).......................................................... 5.300 11/1/07 108,756 110,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC).......................................................... 5.400 11/1/08 113,631
See accompanying notes to financial statements. 63 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date ----------- ----------- -------- -------- Municipal Bonds (continued) Idaho (continued) $ 110,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC)............................................................... 5.500 11/1/09 5,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC)............................................................... 5.600 11/1/10 5,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC)............................................................... 5.700 11/1/11 5,000 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC)............................................................... 5.800 11/1/12 70,000 Idaho Housing & Financial Assistance, Series Sub-B, AMT................................ 5.650 7/1/09 65,000 Idaho Housing & Financial Assistance, Single Family Mortgage, Series Sub-C, AMT........ 5.250 7/1/11 100,000 Idaho Housing & Financial Assistance, Single Family Mortgage, Series F-2, AMT.......... 5.100 7/1/12 565,000 Idaho Housing & Financial Assistance, State Housing, Revenue Bond, Multi-Family Housing, Teton Apartments, Mandatory Put 8/1/04 @ 100, AMT (LOC)...................... 5.150 8/1/31 120,000 Idaho Housing Agency, Single Family Mortgage, Series Sub-F, AMT........................ 5.800 7/1/07 Illinois -- 8.90% 560,000 Addison Illinois Single Family Mortgage Revenue, ETM................................... 7.500 4/1/11 130,000 Alton Illinois Hospital Facilities Revenue & Refunded, Alton Memorial Hospital Project, ETM................................................................................... 7.000 7/1/05 530,000 Bedford Park Illinois Water Revenue, AMT (ACA)......................................... 6.000 12/15/08 45,000 Buffalo Grove, Illinois Economic Development Project................................... 5.450 8/15/02 10,000 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 4.950 6/1/05 40,000 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 5.250 6/1/08 40,000 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 5.350 6/1/09 40,000 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 5.450 6/1/10 55,000 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 5.500 6/1/11 55,000 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 5.550 6/1/12 530,000 Davis Junction Illinois Solid Waste, GO, Series B (LOC)................................ 5.500 4/15/10 65,000 Des Plaines Illinois Hospital Facility Revenue, Holy Family Hospital, ETM.............. 7.000 1/1/07 5,000 Des Plaines Illinois Hospital Facility Revenue, Holy Family Hospital, ETM (FGIC)....... 7.000 1/1/07 35,000 Des Plaines Illinois Hospital Facility Revenue, Holy Family Hospital, ETM (MBIA)....... 7.000 1/1/07 95,000 Fairfield Illinois Economic Development Revenue, Wayne County Center Project........... 6.000 12/15/05 135,000 Grayslake Illinois Multi-Family Revenue, Country Squire Apartments (FHA)............... 6.000 6/1/05 5,000 Greater Peoria Illinois Airport Authority, AMT (AMBAC)................................. 6.500 12/1/05 2,560,000 Highland Illinois Retirement Facility Revenue, Faith Care Project, Series A, SUB (GNMA)................................................................................ 4.000 10/20/31 5,060,000 Highland Illinois Retirement Facility Revenue, Faith Care Project, Series A, SUB (GNMA)................................................................................ 4.000 10/20/41 245,000 Illinois Development Finance Authority Revenue, Catholic Health (AMBAC)................ 5.150 2/15/06 160,000 Illinois Development Finance Authority Revenue, Community Rehabilitation Providers............................................................................. 5.375 7/1/09 930,000 Illinois Development Finance Authority Revenue, Community Rehabilitation Providers, Series A.............................................................................. 5.600 7/1/19 170,000 Illinois Development Finance Authority Revenue, Debt Restructure East St. Louis........ 6.875 11/15/05 5,000 Illinois Development Finance Authority Revenue, Section 8, Series A (FHA/MBIA)......... 5.200 7/1/08 340,000 Illinois Development Finance Authority, Illinois Facilities Project, Series A.......... 7.400 9/1/04 365,000 Illinois Educational Facility Authority Revenue........................................ 4.600 10/1/08 495,000 Illinois Educational Facility Authority Revenue........................................ 5.000 10/1/13 150,000 Illinois Health Facilities Authorities, Loyola University, ETM......................... 6.250 7/1/06 1,383,000 Illinois Health Facilities Authority Revenue (FSA)..................................... 7.600 8/15/10
Security Description Value ----------- ------------ Municipal Bonds (continued) Idaho (continued) Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC)............................................................... $ 113,502 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC)............................................................... 5,151 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC)............................................................... 5,145 Bingham County Idaho Industrial Development Corporation, Idaho Supreme Potatoes, Inc. Project, AMT (LOC)............................................................... 5,144 Idaho Housing & Financial Assistance, Series Sub-B, AMT................................ 72,559 Idaho Housing & Financial Assistance, Single Family Mortgage, Series Sub-C, AMT........ 65,803 Idaho Housing & Financial Assistance, Single Family Mortgage, Series F-2, AMT.......... 99,448 Idaho Housing & Financial Assistance, State Housing, Revenue Bond, Multi-Family Housing, Teton Apartments, Mandatory Put 8/1/04 @ 100, AMT (LOC)...................... 567,984 Idaho Housing Agency, Single Family Mortgage, Series Sub-F, AMT........................ 125,457 ------------ 1,651,820 ------------ Illinois -- 8.90% Addison Illinois Single Family Mortgage Revenue, ETM................................... 659,742 Alton Illinois Hospital Facilities Revenue & Refunded, Alton Memorial Hospital Project, ETM................................................................................... 136,371 Bedford Park Illinois Water Revenue, AMT (ACA)......................................... 578,983 Buffalo Grove, Illinois Economic Development Project................................... 45,174 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 10,437 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 42,262 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 42,315 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 42,559 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 58,583 Chicago Illinois, Multi-Family Housing Project, AMT (GNMA)............................. 57,919 Davis Junction Illinois Solid Waste, GO, Series B (LOC)................................ 559,548 Des Plaines Illinois Hospital Facility Revenue, Holy Family Hospital, ETM.............. 71,192 Des Plaines Illinois Hospital Facility Revenue, Holy Family Hospital, ETM (FGIC)....... 5,476 Des Plaines Illinois Hospital Facility Revenue, Holy Family Hospital, ETM (MBIA)....... 38,334 Fairfield Illinois Economic Development Revenue, Wayne County Center Project........... 97,489 Grayslake Illinois Multi-Family Revenue, Country Squire Apartments (FHA)............... 142,877 Greater Peoria Illinois Airport Authority, AMT (AMBAC)................................. 5,391 Highland Illinois Retirement Facility Revenue, Faith Care Project, Series A, SUB (GNMA)................................................................................ 2,606,515 Highland Illinois Retirement Facility Revenue, Faith Care Project, Series A, SUB (GNMA)................................................................................ 5,153,357 Illinois Development Finance Authority Revenue, Catholic Health (AMBAC)................ 261,273 Illinois Development Finance Authority Revenue, Community Rehabilitation Providers............................................................................. 154,486 Illinois Development Finance Authority Revenue, Community Rehabilitation Providers, Series A.............................................................................. 851,657 Illinois Development Finance Authority Revenue, Debt Restructure East St. Louis........ 185,800 Illinois Development Finance Authority Revenue, Section 8, Series A (FHA/MBIA)......... 5,287 Illinois Development Finance Authority, Illinois Facilities Project, Series A.......... 348,265 Illinois Educational Facility Authority Revenue........................................ 370,063 Illinois Educational Facility Authority Revenue........................................ 490,565 Illinois Health Facilities Authorities, Loyola University, ETM......................... 161,730 Illinois Health Facilities Authority Revenue (FSA)..................................... 1,410,660
See accompanying notes to financial statements. 64 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) Illinois (continued) $ 1,615,000 Illinois Health Facilities Authority Revenue, Community Hospital of Ottawa Project.... 6.750 8/15/14 $ 1,670,474 215,000 Illinois Health Facilities Authority Revenue, Lutheran Social Services................ 6.125 8/15/10 208,367 135,000 Illinois Health Facilities Authority Revenue, Michael Reese Hospital & Medical Center, ETM.................................................................................. 6.750 12/1/08 149,966 140,000 Illinois Health Facilities Authority Revenue, Midwest Group Ltd. (ACA)................ 5.375 11/15/08 147,564 205,000 Illinois Health Facilities Authority Revenue, Sydney R. Forkosh Memorial Hospital, Prerefunded 7/1/02 @ 100............................................................. 7.000 7/1/07 205,000 160,000 Illinois Industrial Pollution Control Authority Revenue, Commonwealth Edison Co. Project.............................................................................. 5.875 5/15/07 160,990 1,640,000 Lake County Illinois Community School District (FSA), Zero Coupon..................... 0.000 12/1/17 748,135 90,000 Lake County Illinois Township, High School District No. 113, Highland Park, GO........ 8.100 12/1/12 120,141 180,000 Lake County Illinois, School District No. 109, Series B, GO........................... 6.600 12/15/18 218,414 2,190,000 Palatine Illinois Tax Increment Revenue (AMBAC)....................................... 5.000 1/1/15 2,238,968 40,000 Quincy Illinois Single Family Mortgage................................................ 6.875 3/1/10 41,395 85,000 Rockford Illinois Mortgage Revenue, Faust Landmark Apartments, Series A, AMT (FHA)................................................................................ 5.625 1/1/07 89,701 460,000 Rockford-Concord Commons Housing, Concord Commons Project (FHA)....................... 6.150 11/1/22 476,997 70,000 Rockford-Concord Commons Housing, Concord Commons Project, Series A (FHA)............. 5.550 11/1/06 72,912 445,000 Silvas Illinois Mortgage Revenue (FHA)................................................ 5.200 8/1/17 451,426 50,000 Southwestern Illinois Development Authority Hospital Revenue, Wood River Township Hospital Project, ETM................................................................ 6.875 8/1/03 51,377 420,000 Upper Illinois River Valley Development Authority, Solid Waste Disposal Revenue, AMT.................................................................................. 5.900 2/1/14 419,563 565,000 Woodridge Illinois Multi-Family Revenue, Hawthorn Ridge, Series A (GNMA).............. 5.650 12/20/32 576,786 ------------ 22,642,486 ------------ Indiana -- 3.38% 915,000 Clark County Indiana Hospitals Association (MBIA)..................................... 4.650 3/1/07 948,689 125,000 Fort Wayne Indiana Hospital Authority, ETM............................................ 6.500 1/1/05 132,215 50,000 Gary Indiana Mortgage Revenue, Willows on Clark Road Apartments, AMT (GNMA)........... 4.750 8/20/08 51,909 70,000 Gary Indiana Mortgage Revenue, Willows on Clark Road Apartments, AMT (GNMA)........... 5.150 8/20/13 71,346 165,000 Indiana Health Facilities Financing Authority......................................... 4.850 2/15/06 171,079 85,000 Indiana Health Facilities Financing Authority......................................... 4.800 2/15/07 87,480 80,000 Indiana Health Facilities Financing Authority......................................... 4.850 2/15/08 81,971 80,000 Indiana Health Facilities Financing Authority......................................... 4.950 2/15/09 82,114 95,000 Indiana Health Facilities Financing Authority (Asset GTY)............................. 5.100 2/15/06 99,264 95,000 Indiana Health Facilities Financing Authority (Asset GTY)............................. 5.100 8/15/06 99,764 95,000 Indiana Health Facilities Financing Authority (Asset GTY)............................. 5.250 2/15/08 99,968 110,000 Indiana Health Facilities Financing Authority (Asset GTY)............................. 5.350 8/15/09 116,321 500,000 Indiana State Financing Authority Toll Road Revenue................................... 5.000 7/1/14 498,385 20,000 Indianapolis Indiana Economic Development Revenue, AMT (GNMA)......................... 5.350 4/20/17 20,000 805,000 Indianapolis Indiana Economic Development Revenue, Mandatory Put 12/1/04 @ 100, AMT (FNMA)........................................................................... 6.375 12/1/24 854,394 70,000 Indianapolis Indiana Utilities Revenue, ETM........................................... 7.000 6/1/08 78,519 70,000 Lawrence Indiana Multi-Family Revenue, AMT (FNMA)..................................... 5.050 1/1/08 72,771 530,000 Lawrence Indiana Multi-Family Revenue, Mandatory Put 1/1/08 @100, AMT (FNMA).......... 5.150 6/1/24 551,836 1,000,000 Mt. Vernon Indiana High School, Junior High School Building Corp...................... 5.500 7/1/04 1,035,670 3,270,000 Northwest Allen Indiana Building Corp., (MBIA)........................................ 5.500 6/1/15 3,423,854 10,000 Vigo County Indiana Hospital Authority Revenue, ETM................................... 6.875 4/1/04 10,573 ------------ 8,588,122 ------------
See accompanying notes to financial statements. 65 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) Iowa -- 0.18% $ 75,000 Des Moines Iowa Hospital Revenue, Fairview Community, Iowa Lutheran Hospital, ETM... 9.500 11/15/02 $ 77,225 380,000 Iowa Finance Authority Small Business District, Terrace Center...................... 7.500 3/1/22 389,500 ------------ 466,725 ------------ Kansas -- 0.60% 65,000 Kansas State Development Finance Authority Multi-Family, AMT (LOC).................. 5.300 10/1/07 67,407 255,000 Kansas State Development Finance Authority Multi-Family, Mandatory Put 10/1/07 @ 100, AMT (LOC)................................................................... 5.600 10/1/19 265,254 20,000 Labette County Kansas Single Family (GNMA).......................................... 7.650 12/1/11 20,240 45,000 Manhattan Kansas Tax Increment Revenue, AMT (Asset GTY)............................. 5.000 12/1/02 45,601 400,000 Manhattan Kansas Tax Increment Revenue, AMT (Asset GTY)............................. 5.200 12/1/03 405,204 390,000 McPhearson Kansas Electric Utility, Partial Prerefunded 3/1/03 @ 100, ETM (AMBAC)............................................................................ 5.900 3/1/07 436,854 255,000 Sedgwick County Kansas, Series B.................................................... 4.700 8/1/05 255,421 30,000 Wichita Kansas Single Family Mortgage Revenue....................................... 7.100 9/1/09 31,085 ------------ 1,527,066 ------------ Kentucky -- 0.61% 90,000 Ashland Kentucky Environmental Improvements, Allied Chemical Corporation Project, ETM................................................................................ 5.800 3/1/03 92,504 65,000 Greater Kentucky Housing Assistance Corporation, Section 8, Series C (FHA/MBIA)..... 5.350 7/1/07 65,106 530,000 Jefferson County Kentucky Multi-Family Revenue, Taylorsville Road Project, Series A, Mandatory Put 6/1/04 @100 (AXA).................................................... 5.750 6/1/23 530,837 225,000 Kentucky State Turnpike Authority Resource Recovery, ETM............................ 6.125 7/1/07 241,611 165,000 Kentucky State Turnpike Authority Resource Recovery, Recovery Road Revenue, ETM..... 6.625 7/1/08 183,528 15,000 Lakeland Wesley Village, Inc. Kentucky Mortgage, ELD Section 8, Assistance Project (FHA).............................................................................. 7.125 11/1/02 15,160 380,000 Louisville Kentucky Riverfront Corp., ETM........................................... 5.750 7/1/10 414,865 15,000 Owensboro Kentucky Electric Lighting & Power Revenue, ETM........................... 10.500 1/1/04 16,207 ------------ 1,559,818 ------------ Louisiana -- 2.07% 225,000 East Baton Rouge Parish Louisiana Hospital District No. 3, Woman's Hospital Foundation, ETM.................................................................... 7.200 10/1/08 253,193 85,000 Iberia Home Mortgage Authority Louisiana Single Family.............................. 7.375 1/1/11 89,005 10,000 Louisiana Housing Finance Agency Mortgage Revenue (GNMA/FNMA)....................... 4.625 6/1/09 10,032 160,000 Louisiana Housing Finance Agency Mortgage Revenue, AMT (GNMA)....................... 6.450 9/1/27 169,344 395,000 Louisiana Housing Finance Agency Mortgage Revenue, AMT (GNMA)....................... 6.500 9/1/38 417,997 40,000 Louisiana Public Facility Authority Revenue, Single Family.......................... 7.375 10/1/12 40,300 53,349 Louisiana Public Facility Authority Revenue......................................... 8.450 12/1/12 54,534 70,000 Louisiana Public Facility Authority Revenue (AXA)................................... 5.750 3/15/03 70,921 80,000 Louisiana Public Facility Authority Revenue (AXA)................................... 5.850 3/15/04 81,187 80,000 Louisiana Public Facility Authority Revenue (AXA)................................... 5.950 3/15/05 81,177 190,000 Louisiana Public Facility Authority Revenue, Mandatory Put 6/1/05 @ 100 (FNMA)...... 5.800 6/1/25 195,546 1,205,000 Louisiana Public Facility Authority Revenue, Mandatory Put 6/1/05 @ 100 (FNMA)...... 5.800 6/1/25 1,240,175 150,000 Louisiana Public Facility Authority Revenue, Multi-Family Housing, Carlyle Apartments, Mandatory Put 6/15/05 @ 100 (AXA)...................................... 5.950 6/15/19 150,288 595,000 Louisiana State Health Education Authority, Lease Rent Revenue, Tulane University Medical Center, ETM................................................................ 7.875 7/1/09 683,929 1,480,000 Tensas Parish Louisiana Law Enforcement District, Certificates of Participation..... 7.000 9/1/18 1,716,252 ------------ 5,253,880 ------------
See accompanying notes to financial statements. 66 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) Maine -- 0.21% $ 415,000 Maine Finance Authority Revenue, AMT (FSA)........................................... 5.200 7/1/18 $ 422,287 95,000 Maine State Health Facilities Authority Revenue, Webber Hospital Association Project, ETM (AMBAC)......................................................................... 6.500 5/1/09 106,422 ------------ 528,709 ------------ Maryland -- 0.78% 10,000 Annapolis Maryland Economic Development Revenue...................................... 4.600 10/1/02 10,063 55,000 Annapolis Maryland Economic Development Revenue...................................... 4.700 10/1/03 56,704 5,000 Annapolis Maryland Economic Development Revenue...................................... 4.800 10/1/04 5,239 55,000 Annapolis Maryland Economic Development Revenue...................................... 5.000 10/1/06 58,200 55,000 Annapolis Maryland Economic Development Revenue...................................... 5.000 10/1/07 58,093 65,000 Annapolis Maryland Economic Development Revenue...................................... 5.000 10/1/08 68,365 110,000 Baltimore County Maryland Mortgage Revenue, Three Garden Village Project, Series A (FHLMC)............................................................................. 4.800 1/1/13 111,687 400,000 Cecil County Maryland County Commerce Economic Development........................... 6.875 1/15/08 423,572 115,000 Cecil County Maryland County Commerce Economic Development........................... 6.875 1/15/10 120,348 25,000 Frederick County Maryland Economic Development (FHA)................................. 5.900 2/1/05 26,772 40,000 Maryland State Community Development Administration, Department of Housing & Community Development, Single Family Program, Series 1.............................. 5.700 4/1/17 40,310 750,000 Maryland State Health & Higher Educational Facility Authority Revenue, Greater Baltimore Medical Center............................................................ 5.000 7/1/25 727,155 120,000 Montgomery County Maryland, Single Family Mortgage Revenue, Series A................. 5.400 7/1/16 123,901 150,000 Prince Georges County Maryland Housing Authority, Single Family Mortgage Revenue, Series A, AMT, SUB (FNMA/GNMA/FHLMC)................................................ 3.500 8/1/32 149,084 ------------ 1,979,493 ------------ Massachusetts -- 2.22% 470,000 Boston Massachusetts Industrial Development Finance Authority, Northend Community, Series A (FHA)........................................................... 6.450 8/1/37 564,033 135,000 Boston Massachusetts Revenue, Deutsches Altenheim, Inc., Series A (FHA).............. 5.950 10/1/18 144,978 130,000 Dartmouth Massachusetts Housing Development Corporation Mortgage Revenue (FHA/MBIA).......................................................................... 4.850 7/1/09 131,092 95,000 Massachusetts Education Loan Authority, Issue D, Series A, AMT (MBIA)................ 7.250 1/1/09 96,221 250,000 Massachusetts State Development (Asset GTY).......................................... 6.000 6/1/24 266,513 335,000 Massachusetts State Development Finance Agency Revenue, Series A (GNMA).............. 6.700 10/20/21 383,277 15,000 Massachusetts State Health & Education Facilities Authority, Beth Israel Hospital, ETM................................................................................. 5.750 7/1/06 15,739 530,000 Massachusetts State Housing Finance Agency (Asset GTY)............................... 4.850 9/1/13 544,416 415,000 Massachusetts State Housing Finance Agency, Housing Revenue, Single Family, Series 44........................................................................... 5.900 12/1/13 426,682 55,000 Massachusetts State Housing Finance Agency, Series A, AMT (MBIA)..................... 6.125 12/1/11 58,620 100,000 Massachusetts State Industrial Finance Agency, AMT (GNMA)............................ 5.400 8/20/12 106,581 1,670,000 Massachusetts State Industrial Finance Agency, AMT (GNMA)............................ 6.450 8/20/39 1,790,557 545,000 Massachusetts State Industrial Finance Agency, Higher Education, Hampshire College Project............................................................................. 5.800 10/1/17 550,357 555,000 Massachusetts State Industrial Finance Agency, Revenue Bond, Retirement Facility, AMT (GNMA).......................................................................... 5.300 6/20/19 555,566 ------------ 5,634,632 ------------ Michigan -- 0.83% 90,000 Battle Creek Michigan Economic Development........................................... 5.125 2/1/09 91,368 165,000 Detroit Water Supply System, Water Utility Improvements, ETM......................... 8.875 1/1/05 180,465
See accompanying notes to financial statements. 67 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) Michigan (continued) $ 190,000 Dickinson County Michigan Economic Development................................... 6.550 3/1/07 $ 195,932 210,000 Grand Rapids Charter Township Michigan........................................... 5.200 7/1/14 212,738 700,000 Michigan Higher Education Facility Authority Revenue, Limited Obligation, Thomas M. Cooley Law School (LOC)...................................................... 5.350 5/1/15 717,520 35,000 Michigan State Hospital Financial Authority Revenue, ETM......................... 6.200 1/1/03 35,811 120,000 Michigan State Hospital Financial Authority Revenue, ETM......................... 7.000 7/1/05 126,005 70,000 Michigan State Hospital Financial Authority, St. Joseph Mercy Hospital, ETM...... 9.250 7/1/03 72,532 75,000 Michigan State Housing Development Authority, Series A........................... 6.000 6/1/06 79,079 5,000 Michigan State Housing Development Authority, AMT (AMBAC)........................ 5.050 12/1/07 5,209 5,000 Michigan State Housing Development Authority, AMT (AMBAC)........................ 5.150 12/1/08 5,253 5,000 Michigan State Housing Development Authority, AMT (AMBAC)........................ 5.250 12/1/09 5,267 5,000 Michigan State Housing Development Authority, AMT (AMBAC)........................ 5.350 12/1/10 5,243 150,000 Michigan State Strategic Fund Ltd., ETM.......................................... 7.875 8/15/05 159,782 180,000 Saginaw Michigan Hospital Finance Authority, ETM................................. 7.500 11/1/10 208,232 ------------ 2,100,436 ------------ Minnesota -- 0.61% 75,000 Cambridge Minnesota Mortgage Revenue (GNMA)...................................... 5.400 11/20/05 80,843 5,000 Dakota County Minnesota Housing & Redevelopment Authority, AMT (GNMA/FNMA)..................................................................... 5.550 10/1/02 5,036 10,000 Dakota County Minnesota Housing & Redevelopment Authority, AMT (GNMA/FNMA)..................................................................... 5.750 10/1/04 10,437 100,000 Monticello Minnesota Pollution Control Revenue................................... 5.375 2/1/03 100,241 60,000 Moorhead Minnesota Residential Mortgage Revenue, ETM............................. 7.100 8/1/11 69,442 30,000 North Suburban Hospital District Minnanoka & Ramsey Counties, Hospital Revenue, Health Central, Inc., ETM....................................................... 7.125 5/1/09 33,798 135,000 Rochester Minnesota Hospital Revenue, ETM........................................ 5.750 10/1/07 144,144 1,000,000 White Earth Band of Chippewa Indians, Revenue, Series A (ACA).................... 7.000 12/1/11 1,102,940 ------------ 1,546,881 ------------ Mississippi -- 1.10% 310,000 Corinth & Alcorn County Mississippi Hospital Revenue............................. 5.000 10/1/08 308,543 175,000 Corinth & Alcorn County Mississippi Hospital Revenue............................. 5.125 10/1/10 172,524 700,000 Jackson Mississippi Housing Authority, AMT (FSA)................................. 5.300 4/1/19 692,132 505,000 Lincoln County Mississippi Hospital Revenue (Asset GTY).......................... 5.500 4/1/18 521,685 80,000 Mississippi Business Finance Corp., AMT (LOC).................................... 5.600 9/1/02 80,500 80,000 Mississippi Business Finance Corp., AMT (LOC).................................... 5.800 9/1/04 82,125 95,000 Mississippi Business Finance Corp., AMT (LOC).................................... 5.900 9/1/05 97,538 20,000 Mississippi Home Corp., Single Family Revenue, AMT (GNMA)........................ 5.000 6/1/04 20,643 745,000 Mississippi Home Corp., Single Family Revenue, AMT (GNMA/FNMA)................... 7.375 6/1/28 828,954 ------------ 2,804,644 ------------ Missouri -- 1.93% 600,000 Boone County Missouri Industrial Development Authority, Otscon, Inc. Project, Mandatory Put 5/1/05 @100, AMT (LOC)............................................ 5.125 5/1/05 618,816 40,000 Bridgeton Missouri Industrial Development (GNMA)................................. 5.250 12/20/19 40,706 1,185,000 Kansas City Missouri Industrial Development Authority Multi-Family Housing Revenue, Walnut Grove Apartments, Section 8 Assisted, Series A, AMT............. 6.550 12/15/15 1,199,753 615,000 Missouri State Development Financing Board, Recreational Facilities, YMCA Greater St. Louis Project, Series A (LOC)............................................... 4.750 9/1/07 640,288 230,000 Missouri State Development Financing Board, Recreational Facilities, YMCA Greater St. Louis Project, Series A (LOC)............................................... 4.900 9/1/10 237,567
See accompanying notes to financial statements. 68 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) Missouri (continued) $ 50,000 Missouri State Housing Development Community Mortgage, Single Family, AMT (GNMA)......................................................................... 6.625 12/1/17 $ 51,095 900,000 Pacific Missouri Industrial Development Revenue, AMT (LOC)...................... 5.950 5/1/07 966,735 180,000 Pacific Missouri Industrial Development Revenue, AMT (LOC)...................... 6.200 5/1/12 191,435 180,000 Pacific Missouri Industrial Development, Clayton Corp. Project, AMT (LOC)....... 6.450 5/1/17 189,373 220,000 Sikeston Missouri Electrical Revenue, ETM....................................... 6.250 6/1/08 241,976 360,000 St. Charles County Missouri Health Care......................................... 5.400 11/15/16 363,132 150,000 St. Louis Missouri Land Clearance Redevelopment Authority, Westminster Place Apartments, Mandatory Put 4/1/07 @100 (FNMA)................................... 5.950 7/1/22 161,108 ------------ 4,901,984 ------------ Montana -- 0.05% 105,000 Missoula County Hospital, ETM................................................... 7.125 6/1/07 117,250 ------------ Nebraska -- 0.92% 1,000,000 Clay County Nebraska Industrial Development Revenue, AMT (LOC).................. 4.750 3/15/09 1,019,890 390,000 Clay County Nebraska, AMT (LOC)................................................. 5.250 3/15/14 392,059 40,000 Fillmore County Nebraska Industrial Development Revenue, AMT (LOC).............. 5.000 12/1/11 40,394 50,000 Fillmore County Nebraska Industrial Development Revenue, AMT (LOC).............. 5.200 12/1/13 50,156 480,000 Nebraska Investment Financial Authority Multi-Family Housing, Old Cheney Apartments, Mandatory Put 12/1/05 @100 (FNMA).................................. 5.500 12/1/25 502,094 155,000 Nebraska Investment Financial Authority Multi-Family Housing, Tara Hills Village (FNMA)......................................................................... 4.875 1/1/08 162,643 170,000 Woolworth Nebraska Housing Development (MBIA)................................... 5.350 7/1/21 170,032 ------------ 2,337,268 ------------ Nevada -- 1.18% 85,000 Nevada Housing Division, AMT.................................................... 6.450 10/1/07 89,421 70,000 Nevada Housing Division, AMT.................................................... 6.000 10/1/09 74,302 100,000 Nevada Housing Division, AMT (FNMA)............................................. 5.900 4/1/06 105,295 110,000 Nevada Housing Division, AMT (FNMA)............................................. 5.500 10/1/09 114,601 585,000 Nevada Housing Division, Multi-Unit Housing, Lake Vista Project, Series A, AMT (LOC).......................................................................... 5.200 10/1/18 582,414 320,000 Nevada Housing Division, Multi-Unit, Arville Project, AMT (FNMA)................ 6.500 10/1/16 339,238 80,000 Nevada Housing Division, Single Family Mortgage, Series A, AMT.................. 6.350 10/1/07 83,458 80,000 Nevada Housing Division, Single Family Mortgage, Series C-1..................... 5.450 4/1/10 82,750 90,000 Nevada Housing Division, Single Family Mortgage, Series B-1..................... 4.950 4/1/12 91,205 350,000 Nevada Housing Division, Single Family Mortgage, Series C-1..................... 5.600 4/1/17 360,459 1,000,000 Nevada State, Series A, GO...................................................... 5.800 7/15/08 1,073,280 ------------ 2,996,423 ------------ New Hampshire -- 0.39% 45,000 New Hampshire Higher Education & Health Facilities, Franklin Pierce College (ACA).......................................................................... 4.900 10/1/08 46,831 120,000 New Hampshire Higher Education & Health Facilities, Franklin Pierce College (ACA).......................................................................... 5.000 10/1/09 124,192 205,000 New Hampshire Higher Education & Health Facilities, Kendal at Hanover Issue (LOC).......................................................................... 5.200 10/1/06 205,646 150,000 New Hampshire Higher Education & Health Facilities, Kendal at Hanover Issue (LOC).......................................................................... 5.300 10/1/07 150,413 40,000 New Hampshire Higher Education & Health Facilities, Rivier College.............. 4.650 1/1/04 41,123 40,000 New Hampshire Higher Education & Health Facilities, Rivier College.............. 4.750 1/1/05 41,485 10,000 New Hampshire Higher Education & Health Facilities, Rivier College.............. 4.850 1/1/07 10,392
See accompanying notes to financial statements. 69 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) New Hampshire (continued) $ 55,000 New Hampshire Higher Education & Health Facilities, Rivier College................ 4.900 1/1/08 $ 56,830 315,000 New Hampshire Higher Education & Health Facilities, Rivier College................ 5.550 1/1/18 315,752 ------------ 992,664 ------------ New Jersey -- 1.76% 140,000 Camden County New Jersey Municipal Utilities Authority Sewer Revenue, Series A (FGIC), Zero Coupon.............................................................. 0.000 9/1/14 80,637 200,000 Essex County New Jersey Utilities Authority (FSA)................................. 4.800 4/1/14 205,892 40,000 Glouchester County New Jersey Improvement Authority, AMT (County GTY)............. 4.500 11/1/03 41,399 50,000 Glouchester County New Jersey Improvement Authority, AMT (County GTY)............. 5.000 11/1/10 52,620 25,000 New Jersey Building Authority Revenue, ETM........................................ 9.625 2/1/03 26,149 2,095,000 New Jersey Economic Development Authority Revenue, Optional Put 12/1/02 @100...... 4.950 12/1/28 2,095,000 215,000 New Jersey Economic Development Authority Revenue (ACA)........................... 4.600 7/1/02 215,000 80,000 New Jersey Economic Development Authority Revenue (ACA)........................... 4.750 7/1/03 81,852 80,000 New Jersey Economic Development Authority Revenue (ACA)........................... 4.850 7/1/04 83,207 495,000 New Jersey Economic Development Authority Revenue, Series B, AMT (LOC)............ 5.300 12/1/07 514,755 250,000 New Jersey Health Care Facilities Financing Authority Revenue, Jersey City Medical Center (AMBAC/FHA)............................................................... 4.800 8/1/21 254,648 285,000 New Jersey State Educational Facilities Authority................................. 7.250 7/1/25 298,538 500,000 New Jersey State Housing & Mortgage Finance Agency, Multi-Family Housing Revenue, Series A (AMBAC)................................................................. 5.300 5/1/06 529,930 ------------ 4,479,627 ------------ New Mexico -- 0.39% 713,000 Albuquerque New Mexico Collateralized (FGIC), Zero Coupon......................... 0.000 5/15/11 384,085 370,000 Bernalillo County New Mexico Multi-Family, Mandatory Put 11/1/06 @100 (AXA)....... 5.800 11/1/25 380,822 45,000 Hobbs New Mexico, Single Family Mortgage, Revenue Refunding....................... 8.750 7/1/11 46,352 50,000 New Mexico Mortgage Financing Authority (GNMA/FNMA)............................... 5.500 7/1/17 51,253 125,000 New Mexico Mortgage Financing Authority (GNMA/FNMA)............................... 5.600 7/1/28 127,168 ------------ 989,680 ------------ New York -- 5.36% 125,000 Albany New York Housing Authority, Housing Revenue, Lark Drive Association Project, AMT (LOC)............................................................... 5.200 12/1/13 129,469 110,000 Albany New York Housing Authority, Housing Revenue, Lark Drive Association Project, AMT (LOC)............................................................... 5.400 12/1/18 111,570 335,000 Albany New York Housing Authority, Housing Revenue, Lark Drive Association Project, AMT (LOC)............................................................... 5.500 12/1/28 335,509 125,000 Capital District Youth Center New York (LOC)...................................... 6.000 2/1/17 129,855 840,000 East Rochester New York Housing Authority Revenue, Gates Senior Housing Project, (GNMA)........................................................................... 6.125 4/20/43 887,568 110,000 New York City Industrial Development Agency, College of Aeronautics Project....... 5.000 5/1/06 114,497 70,000 New York City Industrial Development Agency, College of Aeronautics Project....... 5.200 5/1/09 72,553 990,000 New York New York, Series B (AMBAC)............................................... 7.250 8/15/07 1,173,486 5,000 New York State Dormitory Authority Revenue, Zero Coupon, ETM...................... 0.000 7/1/04 4,607 320,000 New York State Dormitory Authority Revenue, D'Youville College (Asset GTY)........ 4.375 7/1/08 330,595 745,000 New York State Dormitory Authority Revenue, Hunts Point Multi-Service Center...... 5.625 7/1/22 772,870 235,000 New York State Dormitory Authority Revenue, Lutheran Social Services (AMBAC/FHA)...................................................................... 5.125 2/1/18 236,180 330,000 New York State Dormitory Authority Revenue, Norwegian Christian Home and Health Center (MBIA/FHA)................................................................ 4.900 8/1/21 322,766 3,095,000 New York State Dormitory Authority Revenue, Norwegian Christian Home and Health Center (MBIA/FHA)................................................................ 6.100 8/1/41 3,296,361
See accompanying notes to financial statements. 70 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) New Hampshire (continued) $ 325,000 New York State Dormitory Authority Revenue, St. Mary's Hospital Amsterdam (MBIA)........................................................................... 5.250 5/1/05 $ 348,598 2,000,000 New York State, Series C, GO (AMBAC).............................................. 5.375 10/1/11 2,109,739 735,000 New York, New York City Industrial Development Agency, Civic Facility Revenue, Bank Street College Project (Radian)............................................. 4.500 12/1/07 776,697 205,000 Oneida County New York Industrial Development Agency Revenue, Civic Facilities -- Mohawk Valley, Series A (FSA).................................................... 4.550 2/1/04 213,206 175,000 Oneida County New York Industrial Development Agency Revenue, Civic Facilities -- Mohawk Valley, Series A (FSA).................................................... 4.650 2/1/05 184,468 230,000 Oneida County New York Industrial Development Agency Revenue, Civic Facilities -- Mohawk Valley, Series A (FSA).................................................... 4.700 2/1/06 244,370 300,000 Oneida County New York Industrial Development Agency Revenue, Civic Facilities -- Mohawk Valley, Series A (FSA).................................................... 5.000 1/1/13 314,130 245,000 Oneida County New York Industrial Development Agency Revenue, Civic Facilities -- Mohawk Valley, Series A (FSA).................................................... 5.000 1/1/13 256,540 100,000 Onondaga County New York Industrial Development Agency, Civic Facilities Revenue, Lemoyne College, Series A........................................................ 5.500 3/1/14 103,561 40,000 Onondaga County New York Industrial Development, Lemoyne College.................. 5.000 3/1/07 41,461 295,000 Schenectady New York Industrial Development Agency, Civic Facilities Revenue, Schaffer Heights (GNMA).......................................................... 5.250 11/1/10 295,000 470,000 Syracuse New York Housing Authority Revenue (FHA)................................. 5.000 8/1/07 503,159 90,000 Triborough Bridge & Tunnel Authority.............................................. 7.250 1/1/10 104,897 60,000 Ulster County New York Industrial Development (LOC)............................... 4.500 11/15/02 60,501 140,000 Yates County New York Industrial Development Agency, Civic Facilities Revenue, Soldiers & Sailors Memorial (FHA)................................................ 5.500 2/1/19 144,495 ------------ 13,618,708 ------------ North Carolina -- 0.34% 750,000 North Carolina Medical Care, Community Hospital Revenue Bond, ETM................. 7.625 10/1/08 856,335 ------------ North Dakota -- 0.74% 120,000 North Dakota State Housing Finance Agency Revenue, Homemortgage Finance, Series E, AMT.................................................................... 4.500 7/1/07 123,074 95,000 North Dakota State Housing Finance Agency Revenue, Homemortgage Finance, Series E, AMT.................................................................... 4.550 1/1/08 97,366 145,000 North Dakota State Housing Finance Agency Revenue, Homemortgage Finance, Series E, AMT.................................................................... 4.850 7/1/11 147,117 150,000 North Dakota State Housing Finance Agency Revenue, Homemortgage Finance, Series E, AMT.................................................................... 4.950 1/1/12 151,659 95,000 North Dakota State Housing Finance Agency Revenue, Series D, AMT.................. 4.500 1/1/07 96,975 90,000 North Dakota State Housing Finance Agency Revenue, Series D, AMT.................. 4.550 1/1/08 92,241 280,000 North Dakota State Housing Finance Agency Revenue, Series D, AMT.................. 4.550 7/1/08 287,535 110,000 North Dakota State Housing Finance Agency Revenue, Series D, AMT.................. 4.650 1/1/09 112,662 320,000 North Dakota State Housing Finance Agency Revenue, Series D, AMT.................. 4.850 7/1/11 324,671 315,000 North Dakota State Housing Finance Agency Revenue, Series D, AMT.................. 4.950 1/1/12 317,388 135,000 North Dakota State Housing Finance Agency Revenue, Series D, AMT.................. 5.000 1/1/13 135,929 ------------ 1,886,617 ------------ Ohio -- 2.58% 110,601 Bridlewood Apartments, Put Option 9/1/01 @ 100.................................... 5.600 9/1/21 110,601 745,000 Cuyahoga County Ohio Mortgage Revenue, AMT (GNMA)................................. 5.200 9/20/09 775,835 325,000 Cuyahoga County Ohio Multi-Family Housing, AMT (GNMA)............................. 6.250 12/20/36 345,963
See accompanying notes to financial statements. 71 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) Ohio (continued) $ 300,000 Hancock County Ohio Multi-Family Housing, Crystal Glen Apartments, AMT (LOC)........ 5.050 1/1/10 $ 299,259 60,000 Jefferson County Ohio (Asset GTY)................................................... 6.625 12/1/05 64,205 575,000 Knox County Ohio Hospital Facilities Revenue, Knox Community Hospital (Asset GTY)............................................................................... 5.000 6/1/12 603,146 1,380,000 Lorain County Ohio Hospital Revenue, Humility of Mary Health Care, Prerefunded 6/15/05 @ 100...................................................................... 5.900 12/15/08 1,440,816 70,000 Lucas-Palmer Housing Development Corporation of Ohio (FHA/MBIA)..................... 5.900 7/1/07 74,147 200,000 Ohio Capital Corporation For Housing, Mortgage Revenue, Georgetown Village Ltd., Section 8 Assisted Project (FHA)................................................... 6.625 7/1/22 202,118 50,000 Ohio Capital Corporation For Housing, Mortgage Revenue, Section 8 Assisted Project (FHA/MBIA)......................................................................... 5.700 1/1/05 52,363 390,000 Ohio Capital Corporation For Housing, Mortgage Revenue, Section 8 Assisted Project (FHA/MBIA)......................................................................... 5.100 7/1/09 389,864 20,000 Ohio State Mortgage Revenue (FHA)................................................... 5.600 8/1/06 21,154 790,000 Ohio State Water Development Authority Pollution Control Facility Revenue (MBIA).... 5.000 12/1/13 827,556 110,000 Ohio State Water Development Pollution Control, ETM................................. 6.375 6/1/07 120,327 415,000 Ohio State Water Development Pollution Control, General Motors Corp................. 5.900 6/15/08 419,374 120,000 Portage County Ohio Hospital Revenue, ETM........................................... 6.700 12/1/07 132,361 205,000 Sandusky County Ohio Health Care Facilities Revenue (FNMA).......................... 5.150 7/1/09 222,784 210,000 Stark County Ohio Health Care Facility Review (GNMA)................................ 5.300 7/20/18 217,678 230,000 Stark County Ohio Health Care Facility Review (GNMA)................................ 5.350 7/20/23 233,664 ------------ 6,553,215 ------------ Oklahoma -- 1.79% 2,580,000 Canadian County Oklahoma Home Financing Authority, Single Family Mortgage, Series A, Bonds Convert to 6.70% on 9/1/01, (GNMA)........................................ 6.700 9/1/32 2,699,996 1,000,000 Central Oklahoma Transportation & Packaging Authority Revenue (FSA)................. 5.300 7/1/12 1,042,680 385,000 Grand River Dam Authority Oklahoma Revenue, ETM..................................... 6.250 11/1/08 415,850 190,000 McAlester Oklahoma Public Works Authority, ETM (FSA)................................ 8.250 12/1/05 225,160 115,000 Oklahoma Housing Finance Agency Multi-Family (FNMA)................................. 5.100 12/1/07 115,484 35,000 Payne County Oklahoma Home Financial Authority...................................... 8.625 3/1/11 36,013 ------------ 4,535,183 ------------ Oregon -- 1.15% 400,000 Cow Creek Band Umpqua Tribe of Indians, Ore Revenue, Series B, (AMBAC)*............. 4.250 7/1/03 410,176 1,850,000 Cow Creek Band Umpqua Tribe of Indians, Series B (AMBAC)............................ 5.100 7/1/12 1,921,669 190,000 Oregon Economic Development, Revenue Bond, Industrial Improvements, Globe Union, Inc................................................................................ 6.250 4/1/03 190,551 385,000 Oregon State Health Housing, Educational & Cultural Facilities, Cedar West Housing Project, Series A, AMT (LOC)....................................................... 4.650 1/2/08 394,741 ------------ 2,917,137 ------------ Pennsylvania -- 11.89% 115,000 Allegheny County Pennsylvania Hospital Development Authority Revenue, ETM........... 6.750 7/1/05 120,228 410,000 Allegheny County Pennsylvania Hospital Development Authority Revenue (MBIA)......... 4.650 11/1/09 432,919 260,000 Allegheny County Pennsylvania Hospital Development Authority Revenue (MBIA)......... 5.000 11/1/23 253,986 10,000 Allegheny County Pennsylvania Residential Finance Authority (GNMA).................. 6.500 11/1/14 10,232 145,000 Allegheny County Pennsylvania Residential Finance Authority, Single Family Mortgage, Series DD-2, AMT (GNMA)............................................................ 4.950 5/1/09 151,302 2,080,000 Allegheny County Pennsylvania Residential Finance Authority, Single Family Mortgage, Series KK-2, AMT, SUB (GNMA)....................................................... 4.300 5/1/33 2,081,934 70,000 Allegheny County Pennsylvania, SFM (GNMA)........................................... 5.200 5/1/17 70,418
See accompanying notes to financial statements. 72 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ----------- Municipal Bonds (continued) Pennsylvania (continued) $ 55,000 Allentown Pennsylvania Area Hospital Authority, Sacred Heart Hospital of Allentown 6.200 11/15/03 $ 54,563 500,000 Baldwin Whitehall Pennsylvania School Authority, School Building Revenue, Partial Prerefunded 11/15/03 @ 100, Balance ETM.......................................... 6.700 11/15/07 553,025 475,000 Beaver County Pennsylvania Industrial Development Authority (GNMA)................ 4.850 5/20/10 494,095 290,000 Berks County Pennsylvania Municipal Authority Health Care......................... 5.000 3/1/28 270,196 390,000 Berks County Pennsylvania Redevelopment Authority, Multi-Family Revenue (FNMA).... 5.150 1/1/19 384,041 70,000 Chester County Pennsylvania Health & Education Finance Authority, Immaculata College.......................................................................... 4.750 10/15/02 70,470 70,000 Chester County Pennsylvania Health & Education Finance Authority, Immaculata College.......................................................................... 4.850 10/15/03 71,919 85,000 Chester County Pennsylvania Health & Education Finance Authority, Immaculata College.......................................................................... 4.900 10/15/04 86,853 60,000 Chester County Pennsylvania Health & Education Finance Authority, Immaculata College.......................................................................... 5.000 10/15/06 60,845 105,000 Chester County Pennsylvania Health & Education Finance Authority, Immaculata College.......................................................................... 5.000 10/15/07 105,941 10,000 Chester County Pennsylvania Health & Education Finance Authority, Immaculata College.......................................................................... 5.100 10/15/08 10,060 70,000 Chester County Pennsylvania Health & Education Finance Authority, Immaculata College.......................................................................... 5.125 10/15/09 70,258 95,000 Chester County Pennsylvania Health & Education Finance Authority, Immaculata College.......................................................................... 5.300 10/15/11 95,167 960,000 Clearfield Pennsylvania Hospital Authority Revenue, Clearfield Hospital Project... 6.875 6/1/16 977,711 290,000 Cumberland County Pennsylvania Municipal Authority Revenue, Presbyterian Homes, Inc. Project..................................................................... 6.000 12/1/26 288,518 50,000 Delaware County Pennsylvania Authority College Revenue, Eastern College........... 4.750 10/1/06 51,504 80,000 Delaware County Pennsylvania Authority College Revenue, Eastern College........... 4.950 10/1/08 81,442 50,000 Delaware County Pennsylvania Authority College Revenue, Eastern College, Series B. 4.850 10/1/07 51,237 840,000 Delaware County Pennsylvania Authority College Revenue, Eastern College, Series B. 5.500 10/1/19 814,145 40,000 Delaware County Pennsylvania Authority Revenue, Dunwoody Village Project.......... 5.625 4/1/09 40,145 200,000 Delaware County Pennsylvania Authority Revenue, Dunwoody Village Project.......... 6.250 4/1/30 205,406 30,000 Delaware County Pennsylvania Authority University Revenue, Villanova University, ETM.............................................................................. 9.625 8/1/02 30,192 330,000 Erie Pennsylvania Higher Education Building Authority, College Revenue, Gannon University Project, Series B..................................................... 5.750 3/15/13 336,230 150,000 Erie Pennsylvania Higher Education Building Authority, College Revenue, Gannon University Project, Series A..................................................... 5.750 3/15/13 152,832 200,000 Erie Pennsylvania Higher Education Building Authority, College Revenue, Gannon University Project............................................................... 5.200 7/15/16 198,958 10,000 Erie Pennsylvania Higher Education Building Authority, Mercyhurst College Project. 5.750 3/15/12 10,308 110,000 Erie Pennsylvania Higher Education Building Authority, Mercyhurst College Project. 5.850 3/15/17 110,832 60,000 Falls Township Pennsylvania Hospital Authority, Hospital Revenue, Delaware Valley Medical (FHA).................................................................... 6.900 8/1/11 61,289 70,000 Fayette County Pennsylvania Hospital Authority, Hospital Revenue, The Uniontown Hospital (AMBAC)................................................................. 5.200 6/15/04 74,041 350,000 Fayette County Pennsylvania Hospital Authority, Hospital Revenue, The Uniontown Hospital (AMBAC)................................................................. 5.550 6/15/08 381,266 370,000 Fayette County Pennsylvania Hospital Authority, Hospital Revenue, The Uniontown Hospital (AMBAC)................................................................. 5.650 6/15/09 401,683
See accompanying notes to financial statements. 73 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ----------- ----------- -------- -------- ------------ Municipal Bonds (continued) Pennsylvania (continued) $ 1,000,000 Fayette County Pennsylvania Hospital Authority, Hospital Revenue, The Uniontown Hospital........................................................................... 5.750 6/15/15 $ 1,073,199 85,000 Greene County Pennsylvania Industrial Development Authority, Monongahela Power Co., Series B (MBIA)............................................................... 5.100 2/1/12 89,943 50,000 Hazleton Pennsylvania Area School District, Series A (FGIC)......................... 5.000 3/1/10 52,887 40,000 Hazleton Pennsylvania Area School District, Series A (FGIC)......................... 5.000 3/1/11 42,060 25,000 Indiana County Pennsylvania Industrial Development Authority, Pollution Control Revenue (MBIA)..................................................................... 6.000 6/1/06 27,845 1,720,000 Laurel Highlands Schools Pennsylvania School District, Series B, GO (FSA)........... 5.000 11/1/26 1,684,516 370,000 Mifflin County Pennsylvania Hospital Authority, Lewiston Hospital (Asset GTY)....... 5.250 7/1/04 389,973 255,000 Mifflin County Pennsylvania Hospital Authority, Lewiston Hospital (Asset GTY)....... 5.300 7/1/05 271,226 235,000 Mifflin County Pennsylvania Hospital Authority, Lewiston Hospital (Asset GTY)....... 5.500 7/1/12 250,865 500,000 Mifflin County Pennsylvania Hospital Authority, Lewiston Hospital (Asset GTY)....... 6.000 7/1/15 550,790 275,000 Monroeville Pennsylvania Hospital Authority, East Suburban Health Center Project, Prerefunded 7/1/04 @ 100........................................................... 7.600 7/1/04 297,407 35,000 Montgomery County Pennsylvania Industrial Development Authority Health Facilities Revenue............................................................................ 6.400 6/1/03 35,367 50,000 Montgomery County Pennsylvania, ETM................................................. 9.000 8/15/04 53,459 380,000 Pennsylvania Housing Finance Agency, Bonds Convert to 5.25% on 10/1/08, Zero Coupon............................................................................. 0.000 4/1/30 243,075 95,000 Pennsylvania Housing Finance Agency, Rental Housing (FNMA).......................... 5.150 7/1/03 97,137 1,205,000 Pennsylvania Housing Finance Agency, Rental Housing (FNMA).......................... 6.500 7/1/23 1,232,919 100,000 Pennsylvania Housing Finance Agency, Single Family Mortgage, Series 58A, AMT........ 5.000 10/1/04 103,710 540,000 Pennsylvania Housing Finance Agency, Single Family Mortgage, Series 65A, AMT........ 4.600 10/1/08 561,346 770,000 Pennsylvania State Finance Authority Revenue, Municipal Capital Improvement Program............................................................................ 6.600 11/1/09 818,487 50,000 Pennsylvania State Higher Education Facilities Authority Health Services Revenue (MBIA)............................................................................. 5.400 11/15/07 54,649 740,000 Pennsylvania State Higher Educational Facilities Authority Health Services Revenue (MBIA)............................................................................. 5.600 11/15/09 813,941 540,000 Pennsylvania State Higher Educational Facilities Authority Health Services Revenue (MBIA)............................................................................. 5.700 11/15/11 601,489 100,000 Pennsylvania State Higher Educational Facilities Authority, Health Services Revenue, Allegheny Delaware Valley Obligation Group......................................... 5.600 11/15/09 107,695 335,000 Pennsylvania State Higher Educational Facilities, Gwynedd-Mercy College (Asset GTY)............................................................................... 5.000 11/1/08 350,078 145,000 Pennsylvania State Higher Educational Facilities, Gwynedd-Mercy College (Asset GTY)............................................................................... 4.550 11/1/09 150,300 205,000 Pennsylvania State Higher Educational Facilities, Gwynedd-Mercy College (Asset GTY)............................................................................... 4.650 11/1/10 211,414 200,000 Pennsylvania State Higher Educational Facilities, Gwynedd-Mercy College (Asset GTY)............................................................................... 4.900 11/1/12 206,450 135,000 Pennsylvania State Higher Educational Facilities, Gwynedd-Mercy College (Asset GTY)............................................................................... 5.000 11/1/13 139,082 350,000 Pennsylvania State Higher Educational Facilities, Health Services (MBIA)............ 5.875 11/15/18 371,035 40,000 Pennsylvania State Higher Educational Facilities, University of the Arts (Asset GTY) 4.750 3/15/05 40,159 70,000 Pennsylvania State Higher Educational Facilities, University of the Arts (Asset GTY) 4.850 3/15/06 70,244 80,000 Pennsylvania State Higher Educational Facilities, University of the Arts (Asset GTY) 5.100 3/15/09 80,310 80,000 Pennsylvania State Higher Educational Facilities, University of the Arts (Asset GTY) 5.200 3/15/10 80,320 80,000 Pennsylvania State Higher Educational Facilities, University of the Arts (Asset GTY) 5.250 3/15/11 80,347
See accompanying notes to financial statements. 74 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date ------ ----------- -------- -------- Municipal Bonds (continued) Pennsylvania (continued) $ 80,000 Pennsylvania State Higher Educational Facilities, University of the Arts (Asset GTY)..... 5.300 3/15/12 500,000 Pennsylvania State Higher Educational Facilities, University of the Arts (Asset GTY)..... 5.500 3/15/13 180,000 Pennsylvania State Higher Educational Facilities, Ursinus College........................ 5.100 1/1/03 55,000 Pennsylvania State Higher Educational Facilities, Ursinus College........................ 5.400 1/1/06 1,000,000 Pennsylvania State, GO................................................................... 5.375 5/1/10 1,000,000 Pennsylvania State, GO (FGIC)............................................................ 5.375 5/15/15 60,000 Philadelphia Pennsylvania Authority For Industrial Development, Development Reviews................................................................................. 5.000 8/15/09 110,000 Philadelphia Pennsylvania Authority For Industrial Development (FHA)..................... 4.750 2/1/08 190,000 Philadelphia Pennsylvania Authority For Industrial Development, Jeanes Physicians' Office.................................................................................. 9.375 7/1/10 70,000 Philadelphia Pennsylvania Authority Industrial Development Revenue, Simpson House Project................................................................................. 5.000 8/15/10 60,000 Philadelphia Pennsylvania Authority Industrial Development Revenue, Simpson House Project................................................................................. 5.100 8/15/11 1,005,000 Philadelphia Pennsylvania Hospitals & Higher Education Facilities, Friends Hospital (ACA)................................................................................... 6.200 5/1/11 800,000 Philadelphia Pennsylvania Hospitals & Higher Education Facilities, Health Systems, Series A (FHA)................................................................................. 5.375 1/1/28 175,000 Philadelphia Pennsylvania Redevelopment Authority Housing Revenue, Multi-Family (FHA)................................................................................... 5.450 2/1/23 840,000 Pittsburgh Pennsylvania Urban Redevelopment Authority, Multi-Family Mortgage Revenue (GNMA) 5.350 12/20/26 735,000 Pittsburgh Pennsylvania Urban Redevelopment Authority, Multi-Family Mortgage Revenue (GNMA).......................................................................... 5.350 12/20/26 25,000 Pittsburgh Pennsylvania Urban Redevelopment Authority, Oliver Garage Project (FGIC).................................................................................. 5.200 6/1/11 40,000 Pittsburgh Pennsylvania Urban Redevelopment Authority, Series C, AMT (GNMA/ FNMA)................................................................................... 5.950 10/1/29 290,000 Potter County Pennsylvania Hospital Authority Revenue (Asset GTY)........................ 5.100 8/1/02 205,000 Pottsville Pennsylvania Hospital Authority, Pottsville Hospital & Warne Clinic........... 4.800 7/1/02 220,000 Pottsville Pennsylvania Hospital Authority, Pottsville Hospital & Warne Clinic........... 5.150 7/1/09 540,000 Pottsville Pennsylvania Hospital Authority, Pottsville Hospital & Warne Clinic........... 5.500 7/1/18 50,000 Rose Tree Media Pennsylvania School District (FGIC)...................................... 4.400 2/15/11 60,000 Scranton-Lackawanna Pennsylvania Health & Welfare........................................ 6.625 4/15/07 150,000 Somerset County Pennsylvania Hospital Authority, Somerset Community Hospital, District B (Asset GTY).................................................................. 5.200 3/1/10 10,000 Somerset County Pennsylvania Hospital Authority, Somerset Community Hospital, District B (Asset GTY).................................................................. 5.300 3/1/11 40,000 St. Mary Hospital Authority, Bucks County, ETM........................................... 6.625 7/1/04 280,000 Williamsport Pennsylvania Housing Authority Multi-Family (FHA/MBIA)...................... 5.250 1/1/15 80,000 York County Pennsylvania Industrial Authority, Personal Care Facilities Fox Ridge, Prerefunded 10/1/02 @ 100............................................................... 9.500 10/1/19 230,000 York Pennsylvania Housing Corp., Revenue Mortgage, Series A.............................. 6.875 11/1/09 60,000 York Township Water & Sewer, ETM......................................................... 6.000 8/1/13 Rhode Island -- 0.97% 1,400,000 Rhode Island State Economic Development Corp. Revenue, Providence Place Mall (Asset GTY).................................................................................... 5.750 7/1/10 50,000 Rhode Island State Industrial Development Facilities Corp., Crystal Thermoplastics Project, IRBA INSD, AMT................................................................. 5.900 8/1/03
Security Description Value ----------- ------------ Municipal Bonds (continued) Pennsylvania (continued) Pennsylvania State Higher Educational Facilities, University of the Arts (Asset GTY)..... $ 80,458 Pennsylvania State Higher Educational Facilities, University of the Arts (Asset GTY)..... 530,235 Pennsylvania State Higher Educational Facilities, Ursinus College........................ 182,911 Pennsylvania State Higher Educational Facilities, Ursinus College........................ 58,335 Pennsylvania State, GO................................................................... 1,059,230 Pennsylvania State, GO (FGIC)............................................................ 1,052,789 Philadelphia Pennsylvania Authority For Industrial Development, Development Reviews................................................................................. 59,811 Philadelphia Pennsylvania Authority For Industrial Development (FHA)..................... 114,200 Philadelphia Pennsylvania Authority For Industrial Development, Jeanes Physicians' Office.................................................................................. 191,193 Philadelphia Pennsylvania Authority Industrial Development Revenue, Simpson House Project................................................................................. 69,086 Philadelphia Pennsylvania Authority Industrial Development Revenue, Simpson House Project................................................................................. 59,030 Philadelphia Pennsylvania Hospitals & Higher Education Facilities, Friends Hospital (ACA)................................................................................... 1,047,943 Philadelphia Pennsylvania Hospitals & Higher Education Facilities, Health Systems, Series A (FHA)................................................................................. 808,576 Philadelphia Pennsylvania Redevelopment Authority Housing Revenue, Multi-Family (FHA)................................................................................... 176,883 Pittsburgh Pennsylvania Urban Redevelopment Authority, Multi-Family Mortgage Revenue (GNMA) 830,945 Pittsburgh Pennsylvania Urban Redevelopment Authority, Multi-Family Mortgage Revenue (GNMA).......................................................................... 727,077 Pittsburgh Pennsylvania Urban Redevelopment Authority, Oliver Garage Project (FGIC).................................................................................. 26,051 Pittsburgh Pennsylvania Urban Redevelopment Authority, Series C, AMT (GNMA/ FNMA)................................................................................... 40,892 Potter County Pennsylvania Hospital Authority Revenue (Asset GTY)........................ 290,777 Pottsville Pennsylvania Hospital Authority, Pottsville Hospital & Warne Clinic........... 205,000 Pottsville Pennsylvania Hospital Authority, Pottsville Hospital & Warne Clinic........... 203,317 Pottsville Pennsylvania Hospital Authority, Pottsville Hospital & Warne Clinic........... 464,227 Rose Tree Media Pennsylvania School District (FGIC)...................................... 51,235 Scranton-Lackawanna Pennsylvania Health & Welfare........................................ 65,323 Somerset County Pennsylvania Hospital Authority, Somerset Community Hospital, District B (Asset GTY).................................................................. 158,174 Somerset County Pennsylvania Hospital Authority, Somerset Community Hospital, District B (Asset GTY).................................................................. 10,561 St. Mary Hospital Authority, Bucks County, ETM........................................... 41,568 Williamsport Pennsylvania Housing Authority Multi-Family (FHA/MBIA)...................... 284,452 York County Pennsylvania Industrial Authority, Personal Care Facilities Fox Ridge, Prerefunded 10/1/02 @ 100............................................................... 81,572 York Pennsylvania Housing Corp., Revenue Mortgage, Series A.............................. 231,893 York Township Water & Sewer, ETM......................................................... 65,765 ------------ 30,219,424 ------------ Rhode Island -- 0.97% Rhode Island State Economic Development Corp. Revenue, Providence Place Mall (Asset GTY).................................................................................... 1,525,454 Rhode Island State Industrial Development Facilities Corp., Crystal Thermoplastics Project, IRBA INSD, AMT................................................................. 50,344
See accompanying notes to financial statements. 75 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- ---- ----- Municipal Bonds (continued) Rhode Island (continued) $ 95,000 Rhode Island State Industrial Development Facilities Corp., Crystal Thermoplastics Project, IRBA INSD, AMT............................................................. 6.900 8/1/14 $ 98,121 40,000 Rhode Island State Industrial Development Facilities Corp., IRBA INSD, AMT........... 4.700 4/1/05 40,490 40,000 Rhode Island State Industrial Development Facilities Corp., IRBA INSD, AMT........... 4.800 4/1/06 40,517 50,000 Rhode Island State Industrial DevelopmentFacilities Corp., IRBA INSD, AMT............ 4.900 4/1/07 50,568 40,000 Rhode Island State Industrial Development Facilities Corp., IRBA INSD, AMT........... 5.000 4/1/08 40,495 50,000 Rhode Island State Industrial Development Facilities Corp., IRBA INSD, AMT........... 5.100 4/1/09 50,669 50,000 Rhode Island State Industrial Development Facilities Corp., IRBA INSD, AMT........... 5.200 4/1/10 50,828 60,000 Rhode Island State Industrial Development Facilities Corp., IRBA INSD, AMT........... 5.250 4/1/11 60,940 60,000 Rhode Island State Industrial Development Facilities Corp., IRBA INSD, AMT........... 5.300 4/1/12 60,472 60,000 Rhode Island State Industrial Development Facilities Corp., IRBA INSD, AMT........... 5.350 4/1/13 60,011 90,000 Rhode Island State Industrial Development Facilities Corp., IRBA INSD, AMT........... 5.600 4/1/24 86,482 80,000 Rhode Island State Industrial Development Facilities Revenue, AKL Flexo Tech USA Project, IRBA INSD, AMT............................................................. 5.500 4/1/19 77,660 170,000 West Warwick Rhode Island, Series A (Asset GTY)...................................... 7.300 7/15/08 181,786 ------------ 2,474,837 ------------ South Carolina -- 0.98% 400,000 Myrtle Beach Convention Center, ETM.................................................. 6.750 7/1/02 400,000 500,000 South Carolina Jobs Economic Development Authority Revenue, AMT...................... 5.050 6/1/08 518,120 145,000 South Carolina Jobs Economic Development Authority, Westminster Presbyterian......... 5.125 11/15/08 144,590 155,000 South Carolina State Educational Assistance, Student Loan, AMT....................... 5.800 9/1/04 163,045 110,000 South Carolina State Housing Finance & Development................................... 5.500 12/1/05 116,757 760,000 South Carolina State Housing Finance & Development, Mandatory Put 6/1/05 @ 100 (FNMA).............................................................................. 5.700 6/1/25 790,264 100,000 South Carolina State Housing Finance & Development (FHA)............................. 6.050 7/1/27 101,219 245,000 South Carolina State Housing Finance & Development Authority, Multi-Family Revenue, Mandatory Put 6/1/10 @ 100, AMT..................................................... 6.750 6/1/25 255,231 ------------ 2,489,226 ------------ South Dakota -- 0.10% 245,000 South Dakota Housing Development Authority........................................... 7.000 4/1/12 250,922 ------------ Tennessee -- 1.68% 160,000 Greenville Tennessee Health & Educational Facilities, ETM............................ 8.700 10/1/09 192,746 485,000 Johnson City Tennessee Health & Education, ETM....................................... 7.000 7/1/11 557,212 205,000 Knox County Tennessee Health, Education & Housing, Facilites Revenue Bond, St. Mary's Medical Center, ETM................................................................. 7.250 8/1/03 211,285 200,000 Metro Government Nashville & Davidson County Tennessee (Asset GTY)................... 5.500 5/1/23 201,590 65,000 Metro Government Nashville & Davidson County Tennessee, CI Homes, Inc. Project, Series A, Prerefunded 10/1/07 @ 105................................................. 9.000 10/1/07 82,117 745,000 Metro Government Nashville & Davidson County Tennessee, Health and Education Facilities Board (Radian)........................................................... 5.100 8/1/16 755,311 540,000 Metro Government Nashville & Davidson County Tennessee, Mandatory Put 2/1/06 @ 100 (FNMA).......................................................................... 5.200 2/1/21 566,104 530,000 Metro Government Nashville & Davidson County Tennessee, Multi-Family Housing, Welch Bend Apartments, Mandatory Put 1/1/07 @ 100 (FNMA)............................ 5.500 1/1/27 561,063 610,000 Metro Government Nashville & Davidson County Tennessee, Series A-1, (GNMA)........... 7.250 6/20/36 684,237 325,000 Shelby County Tennessee Health Education & Multi-Family Housing, Windsor Apartments (Asset GTY).............................................................. 6.500 10/1/07 333,002
See accompanying notes to financial statements. 76 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ---------- ----------- -------- -------- ------------ Municipal Bonds (continued) Tennessee (continued) $ 120,000 Shelby County Tennessee Health Education & Multi-Family Housing, Windsor Apartments (Asset GTY)............................................................. 6.750 10/1/17 $ 122,856 ------------ 4,267,523 ------------ Territory of American Samoa -- 0.13% 300,000 Territory of American Samoa (ACA)................................................... 6.000 9/1/07 329,685 ------------ Texas -- 7.28% 5,000 Bexar County Texas Housing Finance Corp. Revenue, AMT (GNMA)........................ 7.750 9/1/15 5,070 225,000 Bexar County Texas Housing Finance Corp., Multi Family Housing Revenue, Perkin Square Project, Series A-1, (GMNA)................................................. 6.550 12/20/34 244,964 3,160,000 Bexar County Texas Housing Finance Corp., Multi-Family Housing Revenue, Stablewood Farms (GNMA)....................................................................... 6.250 7/20/43 3,336,581 450,000 Bexar County Texas Revenue Project (MBIA)........................................... 5.750 8/15/22 472,311 30,000 Bryan Texas Higher Education Authority, Allen Academy............................... 6.500 12/1/06 30,765 435,000 Bryan Texas Higher Education Authority, Allen Academy............................... 7.300 12/1/16 449,682 225,195 Capital Area Housing Finance Corp., AMT............................................. 6.500 11/1/19 226,942 10,000 Del Rio Texas (Asset GTY)........................................................... 7.500 4/1/03 10,423 55,000 Del Rio Texas (Asset GTY)........................................................... 7.500 4/1/04 59,652 5,000 Del Rio Texas (Asset GTY)........................................................... 7.500 4/1/08 5,906 55,000 Del Rio Texas (Asset GTY)........................................................... 7.500 4/1/09 64,349 5,000 Del Rio Texas (Asset GTY)........................................................... 6.500 4/1/10 5,545 5,000 Del Rio Texas (Asset GTY)........................................................... 5.550 4/1/11 5,282 5,000 Del Rio Texas (Asset GTY)........................................................... 5.650 4/1/13 5,256 5,000 Del Rio Texas (Asset GTY)........................................................... 5.750 4/1/16 5,252 65,000 Del Rio Texas (Asset GTY)........................................................... 5.750 4/1/17 67,948 35,000 Denison Texas Hospital Authority Hospital Revenue, ETM.............................. 7.125 7/1/08 39,304 130,000 Edgewood Texas Independent School District.......................................... 4.900 8/15/08 134,341 130,000 Edgewood Texas Independent School District.......................................... 5.000 8/15/09 133,344 140,000 Edgewood Texas Independent School District.......................................... 5.000 8/15/10 141,805 160,000 Edgewood Texas Independent School District.......................................... 5.250 8/15/13 161,791 220,000 Gregg County Texas Housing Finance Corp. (AXA), Mandatory Put 3/1/06 @ 100.......... 6.400 9/1/25 227,108 2,100,000 Gulf Coast Waste Disposal Authority Texas Revenue, Multi-Modal, Champion International Corp., AMT........................................................... 6.875 12/1/28 2,167,515 215,000 Gulf Coast Waste Disposal Authority Texas, Prerefunded 8/1/03 @ 100................. 6.500 2/1/06 224,383 65,000 Harris County Texas Health Facilities Development Corp., Hospital Revenue, Memorial Hospital System Project, ETM, Prerefunded to various dates......................... 7.125 6/1/05 70,932 70,000 Harris County Texas Housing Finance Corp., AMT (FSA)................................ 5.700 6/1/06 73,208 440,000 Harris County Texas Housing Finance Corp., Multi Family Housing Revenue, Copperwood Ranch Apartments, Series A, SUB, AMT (AMBAC)............................ 4.850 12/1/12 448,659 300,000 Heart of Texas Housing Financial Corp., Waco Parkside Village, Multi-Family Housing, AMT (GNMA)......................................................................... 7.400 9/20/35 340,995 50,000 Houston Texas Apartment Systems Revenue, ETM........................................ 7.600 7/1/10 59,462 450,000 Houston Texas Housing Finance Corp., Single Family, Zero Coupon..................... 0.000 6/1/14 186,570 100,000 Houston Texas Housing Finance Corp., Single Family.................................. 8.000 6/1/14 103,600 105,000 Houston Texas Sewer System Revenue, ETM............................................. 6.375 10/1/08 117,216 65,000 McAllen Texas Development Corp. (FSA)............................................... 4.700 2/15/08 65,458 65,000 McAllen Texas Development Corp. (FSA)............................................... 4.800 2/15/09 65,417 1,000,000 Midland County, Texas Hospital District Revenue Bond (AMBAC)........................ 5.375 6/1/16 1,028,440 300,000 Northeast Hospital Authority Texas Revenue, ETM..................................... 8.000 7/1/08 340,294 24,491 Odessa Texas Housing Finance Corp. Single Family (FNMA)............................. 8.450 11/1/11 25,306
See accompanying notes to financial statements. 77 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ---------- ----------- -------- -------- ------------ Municipal Bonds (continued) Texas (continued) $ 60,000 Panhandle Texas Regulation Housing Finance, AMT (GNMA).............................. 7.500 5/1/24 $ 60,074 10,000 Panhandle-Plains Texas Higher Education, Series D, AMT.............................. 5.100 9/1/03 10,240 10,000 Panhandle-Plains Texas Higher Education, Series D, AMT.............................. 5.250 3/1/05 10,274 1,000,000 Red River Authortity, Texas Pollution Control, (AMBAC).............................. 5.200 7/1/11 1,044,881 1,255,000 Southeast Texas Housing Financal Corp., Zero Coupon................................. 0.000 9/1/17 555,388 40,000 Tarrant County Texas Health Facilities Development Revenue, South Central Nursing Homes (FHA/MBIA)................................................................... 6.000 1/1/37 42,848 660,000 Tarrant County Texas Housing Finance Corp., Multi-Family Housing, Lost Spurs Ranch Apartments LLC (GNMA).............................................................. 6.850 9/20/30 729,920 1,290,000 Tarrant County Texas Housing Finance Corp., Multi-Family Housing, Lost Spurs Ranch Apartments LLC (GNMA).............................................................. 6.950 3/20/39 1,428,262 680,000 Tarrant County Texas Housing Finance Corp., Multi-Family Housing, Lost Spurs Ranch Apartments LLC (GNMA).............................................................. 5.500 9/20/42 679,939 490,000 Tarrant County Texas Housing Finance Corp., Multi-Family Housing, Summit Project A, Mandatory Put 9/1/07 @ 100 (FNMA).................................................. 5.080 9/1/27 512,570 40,000 Texarkana Texas Housing Finance Corp. Mortgage, Summer Hill, Series A (GNMA)........ 5.550 1/20/07 42,061 1,130,000 Texas State Afforable Housing, Multifamily Housing Revenue, American Housing Foundation, Series A, (MBIA)....................................................... 4.050 9/1/07 1,154,250 300,000 Texas State Department Housing & Community Affairs, Meadow Ridge Apartments Project, AMT (FNMA)................................................................ 5.050 8/1/08 306,870 255,000 Texas State Department Housing & Community Affairs, Volente Project, AMT (FNMA)..... 5.000 7/1/08 267,087 230,000 Travis County Texas Housing Finance Corp., Broadmoor Apartments Project, AMT (FSA).. 5.700 6/1/06 243,250 245,000 Washington County Texas Health, Revenue Bond, Health Hospital, Nursing Home Improvements (ACA)................................................................. 4.750 6/1/03 250,287 ------------ 18,489,277 ------------ Utah -- 1.05% 40,000 Hildale Utah........................................................................ 7.500 12/15/03 40,000 120,000 Provo City Utah Housing Authority Multi-Family, Lookout Pointe Apartments (GNMA).... 6.000 7/20/08 130,966 1,000,000 Utah Housing Corp., Single Family Mortgage, Series D-2, Class III, SUB, AMT......... 5.000 7/1/18 997,820 95,000 Utah State Housing Finance Agency, Single Family Mortgage, A2 Class III, AMT........ 5.050 7/1/12 96,260 85,000 Utah State Housing Finance Agency, Single Family Mortgage, Series F1, Class I....... 5.500 7/1/16 87,432 460,000 Utah State Housing Finance Agency, Single Family Mortgage, Mezz D2, AMT............. 5.400 7/1/20 464,513 190,000 Utah State Housing Finance Agency, Single Family Mortgage, Series A2 Class II, AMT.. 5.400 7/1/16 193,868 85,000 Utah State Housing Finance Agency, Single Family Mortgage, Series A2, Class III, AMT 5.200 7/1/11 85,533 95,000 Utah State Housing Finance Agency, Single Family Mortgage, Series B2, Class III, AMT 5.250 7/1/11 96,636 60,000 Utah State Housing Finance Agency, Single Family Mortgage, Series Sub-D2, AMT....... 5.250 7/1/12 60,395 75,000 Utah State Housing Finance Agency, Sub-Single Family Mortgage, Issue F1............. 5.850 7/1/07 79,293 315,000 Weber County Utah Municipal Building Authority (Asset GTY).......................... 6.750 12/15/04 347,171 ------------ 2,679,887 ------------ Vermont -- 0.17% 55,000 Vermont Educational & Health Buildings Financing Agency, Norwich University Project. 4.750 7/1/04 56,667 95,000 Vermont Educational & Health Buildings Financing Agency, Norwich University Project. 5.000 7/1/06 98,617 95,000 Vermont Educational & Health Buildings Financing Agency, Norwich University Project. 5.000 7/1/07 98,273 175,000 Vermont Educational & Health Buildings Financing Agency, Norwich University Project. 5.750 7/1/13 181,061 ------------ 434,618 ------------ Virginia -- 0.62% 610,000 Chesterfield County Virginia Industrial Development Authority (LOC)................. 5.000 7/1/14 617,576 165,000 Chesterfield County Virginia Industrial Development Authority (LOC)................. 5.200 7/1/19 165,000
See accompanying notes to financial statements. 78 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ---------- ----------- -------- -------- ------------ Municipal Bonds (continued) Virginia (continued) $ 290,000 Newport News Virginia Industrial Development Authority (GNMA)........................ 7.250 8/1/16 $ 314,157 230,000 Richmond Virginia Metro Authority Expressway Revenue, Partially Prerefunded, Balance ETM................................................................................. 7.000 10/15/13 271,964 200,000 Virginia State Housing Development Authority, Multi-Family Housing, Series D......... 6.800 11/1/09 205,572 ------------ 1,574,269 ------------ Washington -- 2.82% 75,000 Grays Harbor County Washington Public Utility, ETM................................... 5.375 1/1/06 79,100 1,800,000 King County Washington Housing Authority Revenue, Vashon Community Center, Series A, SUB (GNMA)................................................................ 5.000 9/20/42 2,007,144 65,000 King County Washington Housing Authority, Multi-Family Mortgage...................... 7.000 8/1/03 65,113 15,000 King County Washington Housing Authority, Multi-Family Mortgage...................... 7.000 8/1/03 15,026 365,000 Seattle Washington Housing Authority (GNMA).......................................... 7.400 11/20/36 405,336 1,500,000 Seattle Washington, Series A, GO, (MBIA-IBC)......................................... 5.750 1/15/17 1,583,145 135,000 Spokane Washington Housing Authority Revenue, Valley 206 Apartments, Junior Lien A (Standby LOC)....................................................................... 5.750 4/1/28 128,052 245,000 Spokane Washington Housing Authority Revenue, Valley 206 Apartments, Senior Lien A.............................................................................. 5.625 4/1/28 228,458 470,000 Spokane Washington Housing Authority, Cheney Care Center Revenue, Series A, (GNMA).............................................................................. 6.350 8/20/39 519,435 1,150,000 Washington State Housing Finance Community, AMT (LOC), Mandatory Put 7/1/08 @100................................................................................ 4.900 7/1/30 1,165,639 590,000 Washington State Housing Financial Commonwealth, Bonds Convert 6/1/08 to 5.60%, AMT, Zero Coupon, (GNMA/FNMA)....................................................... 0.000 12/1/20 406,805 135,000 Washington State Housing Revenue, Crista Ministries Project (LOC).................... 5.100 7/1/10 137,314 240,000 Washington State Housing Revenue, Presbyterian Ministries (ACA)...................... 5.100 1/1/14 240,355 200,000 Washington State Housing Revenue, Presbyterian Ministries (ACA)...................... 5.300 1/1/19 193,344 ------------ 7,174,266 ------------ West Virginia -- 0.84% 55,000 Beckley West Virginia Nursing Facility Revenue Refunding, Beckley Health Care Corp. Project (Standby LOC)............................................................... 5.550 9/1/08 56,829 55,000 Beckley West Virginia Nursing Facility Revenue Refunding, Beckley Health Care Corp. Project (Standby LOC)............................................................... 5.700 9/1/09 56,819 695,000 Harrison County West Virginia, Series B, (AMBAC) Zero Coupon......................... 0.000 10/20/10 385,836 1,220,000 Kanawha County West Virginia Building Community Revenue, Charleston Area Medical Center Project, ETM................................................................. 6.600 12/1/08 1,348,698 350,000 Marshall County West Virginia Mortgage Revenue Capital Appreciation, Zero Coupon (MBIA).............................................................................. 0.000 5/1/14 141,855 131,000 West Virginia State Board Regents Revenue, Series A, ETM............................. 5.900 4/1/04 136,928 ------------ 2,126,965 ------------ Wisconsin -- 1.85% 65,000 Oshkosh Wisconsin Hospital Facility Revenue, Mercy Medical Center, Prerefunded 7/1/07 @ 100............................................................................... 7.375 7/1/07 73,437 5,000 Pewaukee Wisconsin Industrial Development Revenue, Lake Country Development Project, AMT (LOC).................................................................. 5.800 6/1/04 5,182 5,000 Pewaukee Wisconsin Industrial Development Revenue, Lake Country Development Project, AMT (LOC).................................................................. 5.900 6/1/05 5,231 10,000 Pewaukee Wisconsin Industrial Development Revenue, Lake Country Development Project, AMT (LOC).................................................................. 6.000 6/1/06 10,446 295,000 Shell Lake Wisconsin Nursing Home Revenue, Terraceview Living (GNMA)................. 5.300 9/20/18 296,531
See accompanying notes to financial statements. 79 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Shares or Principal Security Maturity Amount Description Rate (%) Date Value ---------- ----------- -------- -------- ------------ Municipal Bonds (continued) Wisconsin (continued) $ 65,000 Whitewater Wisconsin Waterworks Systems Mortgage Revenue............................. 7.500 7/1/16 $ 76,174 95,000 Wisconsin Housing and Economic Development Authority, Series B, AMT.................. 4.950 9/1/09 99,004 3,000,000 Wisconsin State Health & Educational Facilities, Hudson Memorial Hospital, (FHA)..... 5.600 7/15/22 3,040,769 285,000 Wisconsin State Health & Educational Facilities, Sisters Sorrowful Mother, Series A (MBIA).............................................................................. 5.100 8/15/07 308,464 170,000 Wisconsin State Health & Educational Facilities, Sisters Sorrowful Mother, Series A (MBIA).............................................................................. 5.200 8/15/08 183,685 295,000 Wisconsin State Health & Educational Facilities, Sisters Sorrowful Mother, Series A (MBIA).............................................................................. 5.300 8/15/09 317,761 5,000 Wisconsin State Health & Educational Facilities, Viterbo College Income Project (LOC) 5.250 2/1/04 5,221 5,000 Wisconsin State Health & Educational Facilities, Viterbo College Income Project (LOC) 5.400 2/1/05 5,310 135,000 Wisconsin State Health & Educational Facilities, Viterbo College Income Project (LOC) 5.750 2/1/12 141,737 135,000 Wisconsin State Health & Educational Facilities. Viterbo College Income Project (LOC) 6.000 2/1/17 139,563 ------------ 4,708,515 ------------ Wyoming -- 0.45% 225,000 Cheyenne Wyoming Federal Mineral Reality Revenue, Second Lien........................ 6.200 6/1/09 232,098 80,000 Teton County Wyoming Hospital District, Hospital Refunding & Imports (ACA)........... 5.000 12/1/03 82,845 150,000 Teton County Wyoming, Teton County School District No 1 Project (MBIA)............... 5.000 6/1/05 158,094 55,000 Wyoming Community Development Authority Housing Revenue, Series 5, AMT............... 5.700 12/1/07 58,735 580,000 Wyoming Community Development Authority, Multi-Family Revenue, Aspen Court Apartments, Mandatory Put 12/1/08 @ 100, AMT (LOC).................................. 4.750 12/1/30 590,202 10,000 Wyoming Community Development Authority, Single Family Mortgage, Series B, AMT....... 8.125 6/1/21 10,051 ------------ 1,132,025 ------------ Total Municipal Bonds (cost $236,009,510)............................................ 243,784,989 ------------ Money Market Mutual Funds -- 3.49% 8,853,618 BlackRock Provident Institutional Muni Cash Fund..................................... 8,853,618 ------------ Total Money Market Mutual Funds (cost $8,853,618).................................... 8,853,618 ------------ Total Investments (cost $244,863,128) (a) -- 99.45%.................................. 252,638,607 Other assets in excess of liabilities -- 0.55%....................................... 1,393,233 ------------ Net Assets -- 100.00%................................................................ $254,031,840 ============
-------- (a) Cost for federal income tax purposes is $244,435,408. The gross unrealized appreciation/(depreciation) on a tax basis is as follows: Unrealized appreciation.... $8,601,017 Unrealized depreciation.... (397,818) ---------- Net unrealized appreciation $8,203,199 ==========
ACA -- American Capital Access AMT -- Alternative Minimum Tax AMBAC -- AMBAC Indemnity Corp. AXA -- AXA Reinsurance UK ETM -- Escrowed to Maturity FGIC -- Financial Guaranty Insurance Co. FHA -- Federal Housing Administration FHLMC -- Federal Home Loam Mortgage Corp. FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association GO -- Government Obligation See accompanying notes to financial statements. 80 THE HIRTLE CALLAGHAN TRUST Intermediate Term Municipal Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002 GTY -- Guaranteed IRBA -- Industrial Reconstruction Building Authority ISND -- Insured LOC -- Letter of Credit MBIA -- Municipal Bond Insurance Association SUB -- Step-up Bond. Rate shown is the effective yield as of June 30, 2002. See accompanying notes to financial statements. 81 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value -------- ----------- -------- -------- ------------- BlackRock Advisors, Inc. -- 37.88% Asset Backed Securities -- 1.32% $450,000 Bank One Issuance Trust, Series 2002-A2, Class A2.................. 4.160 1/15/08 $ 454,317 425,000 Citibank Credit Card Issuance Trust, Series 2002-A2, Class A2...... 1.930 2/15/07 424,910 400,000 Citibank Credit Card Issuance Trust, Series 2002-A3, Class A3...... 4.400 5/15/07 406,063 475,000 Citibank Credit Card Master Trust I, Series 1998-9, Class A........ 5.300 1/9/06 492,186 530,000 Nissan Auto Receivables Owner Trust, Series 2002-B, Class A3....... 3.990 12/15/05 538,848 ------------- 2,316,324 ------------- Collateralized Mortgage Obligations -- 0.51% 220,000 Chase Commercial Mortgage Securities Corp., Series 1999-2, Class A2 7.198 11/15/09 241,917 335,000 LB-UBS Commercial Mortgage Trust, Series 2000-C5, Class A2......... 6.510 12/15/26 356,020 275,000 Salomon Brothers Mortgage Securities VII, Series 2000-C3, Class A2. 6.592 10/18/10 292,804 ------------- 890,741 ------------- Corporate Bonds -- 7.19% 155,000 Amerada Hess Corp.................................................. 7.875 10/1/29 169,364 75,000 Amerada Hess Corp.................................................. 7.125 3/15/33 74,478 25,000 Anadarko Finance Co., Series B..................................... 7.500 5/1/31 26,666 95,000 Anadarko Petro..................................................... 5.375 3/1/07 96,300 80,000 AOL Time Warner, Inc............................................... 5.625 5/1/05 78,497 70,000 AOL Time Warner, Inc............................................... 6.150 5/1/07 66,868 330,000 AOL Time Warner, Inc............................................... 7.625 4/15/31 288,951 50,000 AT&T Corp.*........................................................ 8.000 11/15/31 39,250 210,000 AT&T Corp.*........................................................ 7.300 11/15/11 174,300 135,000 Bank One Corp...................................................... 6.500 2/1/06 143,250 105,000 Bear Stearns Co., Inc.............................................. 6.500 5/1/06 110,794 50,000 Burlington North Santa Fe.......................................... 5.900 7/1/12 49,331 100,000 Citigroup, Inc..................................................... 6.750 12/1/05 107,501 100,000 Citigroup, Inc..................................................... 5.750 5/10/06 104,000 75,000 Citigroup, Inc..................................................... 5.000 3/6/07 75,623 160,000 Citigroup, Inc..................................................... 7.250 10/1/10 174,159 75,000 Citigroup, Inc..................................................... 6.625 6/15/32 72,509 40,000 Citizens Communications Co......................................... 7.625 8/15/08 36,551 15,000 Citizens Communications Co......................................... 9.000 8/15/31 12,535 280,000 Comcast Cable Communications....................................... 6.375 1/30/06 271,185 10,000 Comcast Cable Communications....................................... 6.750 1/30/11 8,932 50,000 Conoco Funding Co.................................................. 6.350 10/15/11 51,838 150,000 Conoco, Inc........................................................ 6.950 4/15/29 153,297 60,000 Consumers Energy Co................................................ 6.000 3/15/05 54,780 15,000 Credit Suisse First Boston USA, Inc................................ 5.750 4/15/07 15,346 95,000 Daimler Chrysler AG................................................ 7.450 3/1/27 93,512 140,000 Detroit Edison Co.................................................. 6.125 10/1/10 139,537 130,000 Devon Energy Corp.................................................. 7.950 4/15/32 139,839 250,000 Dominion Resources, Inc............................................ 6.000 1/31/03 253,800 30,000 EL Paso Corp.*..................................................... 7.875 6/15/12 30,203 110,000 EL Paso Corp., Series MTN.......................................... 7.750 1/15/32 102,007 55,000 EL Paso Natural Gas................................................ 7.500 11/15/26 51,396 55,000 EL Paso Natural Gas*............................................... 8.375 6/15/32 56,564 150,000 EOP Operating LP................................................... 7.000 7/15/11 157,580 60,000 Exelon Corp........................................................ 6.750 5/1/11 62,646 865,000 Fannie Mae......................................................... 5.500 2/15/06 908,153 145,000 First Energy Corp., Series C....................................... 7.375 11/15/31 137,596 125,000 First Union Corp................................................... 6.875 9/15/05 134,204
See accompanying notes to financial statements. 82 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- BlackRock Advisors, Inc. (continued) Corporate Bonds (continued) $545,000 Ford Motor Credit Co................................. 6.875 2/1/06 $ 557,571 100,000 Ford Motor Credit Co................................. 7.375 10/28/09 103,520 750,000 Freddie Mac.......................................... 7.000 3/15/10 839,298 180,000 General Electric Capital Corp., Series MTNA.......... 5.350 3/30/06 184,782 425,000 General Electric Capital Corp., Series MTNA.......... 5.000 6/15/07 428,227 150,000 General Electric Capital Corp., Series MTNA.......... 6.125 2/22/11 152,869 110,000 General Electric Capital Corp., Series MTNA.......... 6.750 3/15/32 108,050 70,000 General Mills, Inc................................... 5.125 2/15/07 69,954 115,000 General Mills, Inc................................... 6.000 2/15/12 113,917 385,000 General Motors Acceptance Corp....................... 6.750 1/15/06 399,711 130,000 General Motors Acceptance Corp....................... 7.750 1/19/10 137,552 70,000 General Motors Acceptance Corp....................... 7.250 3/2/11 71,583 135,000 General Motors Acceptance Corp....................... 6.875 9/15/11 134,030 75,000 Honeywell International.............................. 7.500 3/1/10 83,397 115,000 International Finance Corp., Series DTC.............. 7.125 4/6/05 125,342 40,000 JP Morgan Chase & Co................................. 5.350 3/1/07 40,496 280,000 JP Morgan Chase & Co................................. 5.250 5/30/07 281,621 135,000 Kellogg Co., Series B................................ 6.000 4/1/06 141,087 50,000 Kellogg Co., Series B................................ 6.600 4/1/11 52,428 350,000 KFW International Finance, Inc., Series DTC.......... 5.250 6/28/06 360,895 150,000 Kraft Foods, Inc..................................... 5.250 6/1/07 152,125 110,000 Kraft Foods, Inc..................................... 5.625 11/1/11 109,008 155,000 Lehman Brothers Holdings............................. 6.250 5/15/06 161,386 75,000 Lockheed Martin Corp................................. 8.200 12/1/09 86,804 170,000 Lockheed Martin Corp................................. 7.200 5/1/36 185,791 85,000 Marsh & McLennan Cos., Inc.*......................... 6.250 3/15/12 88,182 90,000 Metlife, Inc......................................... 6.125 12/1/11 91,831 90,000 Northrop Grumman Corp................................ 7.125 2/15/11 95,855 140,000 Occidental Petroleum Corp............................ 6.750 1/15/12 147,165 30,000 Oncor Electric Delivery*............................. 6.375 5/1/12 30,824 60,000 Phillips Petroleum Co................................ 7.000 3/30/29 62,522 90,000 Progress Energy, Inc................................. 6.750 3/1/06 94,557 200,000 Progress Energy, Inc................................. 7.100 3/1/11 211,283 15,000 Progress Energy, Inc................................. 7.750 3/1/31 16,088 260,000 Qwest Capital Funding................................ 7.000 8/3/09 144,300 75,000 Resolution Funding Corp., Zero Coupon................ 0.000 7/15/18 27,819 75,000 Resolution Funding Corp., Zero Coupon................ 0.000 10/15/18 27,335 60,000 Sears Roebuck Acceptance Corp........................ 7.000 2/1/11 62,497 45,000 Sears Roebuck Acceptance Corp........................ 7.000 6/1/32 43,107 50,000 Time Warner, Inc..................................... 6.875 6/15/18 42,990 20,000 Time Warner, Inc..................................... 6.950 1/15/28 16,312 458,000 Targeted Return Index Securities Trust, Series 5-2002 5.887 1/25/07 464,733 100,000 Unilever Capital Corp................................ 7.125 11/1/10 110,204 90,000 Union Oil Company of California...................... 7.500 2/15/29 95,357 90,000 United Technologies Corp............................. 7.125 11/15/10 98,833 20,000 Verizon Global Funding Corp.......................... 6.125 6/15/07 19,903 25,000 Verizon Global Funding Corp.......................... 7.750 6/15/32 24,045 310,000 Verizon Pennsylvania, Series A....................... 5.650 11/15/11 285,065 120,000 Viacom, Inc.......................................... 7.700 7/30/10 131,212 50,000 Wellpoint Health Network............................. 6.375 1/15/12 51,785 100,000 Weyerhaeuser Co.*.................................... 6.125 3/15/07 102,917
See accompanying notes to financial statements. 83 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- BlackRock Advisors, Inc. (continued) Corporate Bonds (continued) $ 140,000 Weyerhaeuser Co.*......................... 5.950 11/1/08 $ 141,625 25,000 Weyerhaeuser Co.*......................... 7.375 3/15/32 25,375 210,000 Worldcom, Inc............................. 6.400 8/15/05 31,500 20,000 Worldcom, Inc............................. 8.000 5/15/06 3,000 35,000 Worldcom, Inc............................. 7.500 5/15/11 5,250 80,000 Worldcom, Inc............................. 8.250 5/15/31 12,000 ------------- 12,610,257 ------------- Foreign Bonds -- 0.76% 110,000 Barclays Bank PLC......................... 8.550 9/15/49 126,607 300,000 European Investment Bank, Series DTC...... 5.625 1/24/06 312,837 30,000 Tyco International Group SA, Yankee....... 6.375 6/15/05 24,581 22,000 Tyco International Group SA, Yankee....... 6.375 2/15/06 17,812 120,000 Tyco International Group SA, Yankee....... 6.125 11/1/08 92,320 30,000 Tyco International Group SA, Yankee....... 6.750 2/15/11 23,297 170,000 Tyco International Group SA, Yankee....... 6.375 10/15/11 130,137 180,000 United Mexican States..................... 8.375 1/14/11 186,750 260,000 United Mexican States..................... 8.125 12/30/19 253,240 160,000 Vodafone Group PLC........................ 7.750 2/15/10 170,122 ------------- 1,337,703 ------------- U.S. Government Agency Mortgages -- 20.92% 154,488 Fannie Mae, Gold Pool #E01007............. 6.000 8/1/16 157,907 400,000 Fannie Mae, Gold Pool #E88750............. 6.000 3/1/17 408,650 139,058 Fannie Mae, Gold Pool #E89400............. 6.000 4/1/17 142,065 701,155 Fannie Mae, Gold Pool #E89976............. 6.000 6/1/17 716,318 599,941 Fannie Mae, Gold Pool #E90174............. 5.500 6/1/17 601,553 1,914,535 Fannie Mae, Pool #254235.................. 6.000 2/1/17 1,955,690 465,978 Fannie Mae, Pool #323354.................. 6.000 11/1/28 468,845 272,504 Fannie Mae, Pool #323784.................. 5.985 5/1/09 284,139 1,569 Fannie Mae, Pool #545568.................. 6.000 4/1/32 1,567 151,331 Fannie Mae, Pool #560534.................. 7.000 11/1/30 156,899 91,051 Fannie Mae, Pool #593298.................. 5.500 2/1/17 91,222 495,519 Fannie Mae, Pool #597373.................. 6.000 9/1/16 506,171 698,197 Fannie Mae, Pool #598423.................. 6.000 1/1/17 713,206 48,600 Fannie Mae, Pool #606565.................. 7.000 10/1/31 50,388 475,976 Fannie Mae, Pool #610995.................. 5.500 11/1/16 477,075 639,833 Fannie Mae, Pool #611008.................. 5.500 12/1/16 641,311 199,981 Fannie Mae, Pool #616076.................. 6.000 11/1/16 204,280 665,654 Fannie Mae, Pool #618032.................. 5.500 3/1/17 666,902 1,914,404 Fannie Mae, Pool #624270.................. 6.000 1/1/17 1,955,557 675,576 Fannie Mae, Pool #624295.................. 5.500 2/1/17 677,136 509,008 Fannie Mae, Pool #630937.................. 5.500 2/1/17 509,962 704,420 Fannie Mae, Pool #631501.................. 5.500 2/1/17 706,046 131,299 Fannie Mae, Pool #631521.................. 5.500 2/1/17 131,545 332,474 Fannie Mae, Pool #631842.................. 5.500 2/1/17 333,098 59,653 Fannie Mae, Pool #636915.................. 6.000 3/1/17 60,913 781,786 Fannie Mae, Pool #636932.................. 6.000 5/1/17 798,301 154,093 Fannie Mae, Pool #642694.................. 6.000 5/1/17 157,348 99,991 Fannie Mae, Pool #648448.................. 6.000 6/1/32 99,854 5,800,000 Fannie Mae, TBA........................... 6.500 7/15/32 5,921,561 1,400,000 Fannie Mae, TBA........................... 6.500 7/15/32 1,449,437
See accompanying notes to financial statements. 84 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- BlackRock Advisors, Inc. (continued) U.S. Government Agency Mortgages (continued) $15,300,000 Federal Home Loan Bank, DN................................... 1.914 7/1/02 $ 15,299,999 370,769 Government National Mortgage Association, Pool #780914....... 6.000 11/15/28 372,984 ------------- 36,717,929 ------------- U.S. Government Agency Securities -- 0.80% 494,836 Student Loan Marketing Assoc., Series 1998-1, Class A1....... 2.491 1/25/07 495,416 468,813 Student Loan Marketing Assoc., Series 2000-2, Class A1L...... 2.020 7/25/08 469,104 438,912 Student Loan Marketing Assoc., Series 2001-3, Class A1L...... 1.980 4/25/10 438,775 ------------- 1,403,295 ------------- U.S. Treasury Bonds -- 5.15% 740,000 U.S. Treasury Bonds.......................................... 10.375 11/15/12 951,102 600,000 U.S. Treasury Bonds.......................................... 9.250 2/15/16 824,550 860,000 U.S. Treasury Bonds.......................................... 8.125 8/15/19 1,101,565 2,125,000 U.S. Treasury Bonds.......................................... 8.500 2/15/20 2,815,942 1,835,000 U.S. Treasury Bonds.......................................... 8.000 11/15/21 2,347,079 1,010,000 U.S. Treasury Bonds.......................................... 5.375 2/15/31 989,011 ------------- 9,029,249 ------------- U.S. Treasury Notes -- 0.73% 630,000 U.S. Treasury Notes.......................................... 3.375 4/30/04 636,647 640,000 U.S. Treasury Notes.......................................... 4.875 2/15/12 642,400 ------------- 1,279,047 ------------- U.S. Treasury Strips -- 0.50% 475,000 U.S. Treasury Strips......................................... 0.000 5/15/17 201,205 2,135,000 U.S. Treasury Strips......................................... 0.000 11/15/21 675,425 ------------- 876,630 ------------- Total BlackRock Advisors, Inc. (cost $66,471,567)............ 66,461,175 ------------- Morgan Stanley Investments, LP -- 89.27% Asset Backed Securities -- 7.70% 55,000 Abitibi-Consolidated Inc..................................... 8.850 8/1/30 53,769 600,000 BMW Vehicle Owner Trust...................................... 2.830 12/25/04 603,430 745,000 Capital Auto Receivables Asset Trust......................... 2.890 4/15/04 749,016 777,342 Centex Home Equity, Series 2002-A, Class A1.................. 2.910 12/25/16 778,689 580,000 Chase Manhattan Auto Owners Trust............................ 2.630 10/15/04 582,055 900,000 Chase Manhattan Auto Owners Trust, Series 2002-B, Class A2... 2.700 1/18/05 901,779 1,500,000 Citibank Credit Card Issuance Trust, Series 2000-A3, Class A3 6.875 11/15/09 1,647,183 880,000 Daimler Chrysler Auto Trust.................................. 6.110 11/8/04 907,494 910,000 Daimler Chrysler Auto Trust.................................. 2.900 12/6/04 915,435 600,000 Daimler Chrysler Auto Trust.................................. 7.230 1/6/05 627,286 262,704 Daimler Chrysler Auto Trust, Series 2000-E, Class A2......... 6.210 12/8/03 264,989 825,000 Ford Credit Auto Owner Trust................................. 2.970 6/15/04 829,888 151,687 Ford Credit Auto Owner Trust, Series 2001-A, Class A3*....... 5.350 7/15/03 152,218 470,000 General Electric Capital Corp................................ 6.750 3/15/32 461,668 800,000 Honda Auto Receivables Owner Trust........................... 2.910 9/15/04 804,861 90,000 MBNA America Bank, Series BKNT............................... 7.750 9/15/05 97,480 460,000 MBNA Master Credit Card Trust, Series 1999-B, Class A........ 5.900 8/15/11 481,490 695,000 MBNA Master Credit Card Trust, Series 2000-E, Class A........ 7.800 10/15/12 809,504 110,000 MeadWestvaco Corp............................................ 6.850 4/1/12 115,485 681,183 Nissan Auto Receivables Owner Trust, Series 2000-C, Class A3. 6.720 8/16/04 696,479
See accompanying notes to financial statements. 85 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- Morgan Stanley Investments, LP (continued) Asset Backed Securities (continued) $175,000 Sprint Capital Corp.*............................................ 8.375 3/15/12 $ 144,980 884,931 Toyota Auto Receivables Owner Trust, Series 2001-C, Class A2..... 3.770 7/15/04 890,519 ------------- 13,515,697 ------------- Collateralized Mortgage Obligations -- 0.57% 902 Kidder Peabody Mortgage Assets Trust, Series B, Class A2......... 9.500 4/22/18 174 470,220 LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A1....... 7.950 7/15/09 517,915 486,526 Lehman ABS Manufactured Housing Contract, Series 2001-B, Class A1 3.010 3/15/10 488,611 ------------- 1,006,700 ------------- Corporate Bonds -- 15.79% 60,000 Abitibi Consolidated Inc......................................... 8.550 8/1/10 62,628 335,000 Aetna, Inc....................................................... 7.875 3/1/11 352,861 240,000 AIG SunAmerica Global Finance.................................... 6.900 3/15/32 249,157 115,000 Alltel Corp...................................................... 7.000 7/1/12 114,828 365,000 Anthem Insurance*................................................ 9.000 4/1/27 411,745 315,000 AOL Time Warner, Inc............................................. 7.625 4/15/31 275,817 60,000 Arvinmeritor, Inc................................................ 6.625 6/15/07 59,917 235,000 Arvinmeritor, Inc................................................ 8.750 3/1/12 251,887 90,000 AT&T Corp.*...................................................... 7.300 11/15/11 74,700 290,000 AT&T Corp.*...................................................... 8.000 11/15/31 227,650 370,000 AT&T Wireless Services, Inc...................................... 8.750 3/1/31 285,748 295,000 Calpine Corp..................................................... 8.500 2/15/11 197,650 215,000 Centex Corp...................................................... 7.875 2/1/11 233,894 340,000 Charter Communication Holdings, SUB*............................. 11.750 5/15/11 119,000 360,000 Chase Manhattan Corp............................................. 6.000 2/15/09 365,892 235,000 Cigna Corp....................................................... 6.375 10/15/11 242,512 180,000 CIT Group Inc.................................................... 7.750 4/2/12 177,197 155,000 Citigroup, Inc................................................... 6.000 2/21/12 156,102 295,000 Clear Channel Communications..................................... 7.650 9/15/10 301,603 220,000 Conoco, Inc...................................................... 6.950 4/15/29 224,835 160,000 Consolidated Natural Gas, Series C............................... 6.250 11/1/11 160,431 270,375 Continental Airlines, Series 981A................................ 6.648 9/15/17 265,416 410,000 Corning, Inc., Zero Coupon....................................... 0.000 11/8/15 205,000 145,000 CSC Holdings, Inc................................................ 7.875 12/15/07 121,395 60,000 CSC Holdings, Inc................................................ 7.250 7/15/08 48,491 330,000 Daimler Chrysler North American Holding.......................... 8.000 6/15/10 358,661 280,000 Dana Corp........................................................ 9.000 8/15/11 275,800 205,000 Delphi Auto Systems Corp......................................... 7.125 5/1/29 202,676 25,000 El Paso Corp..................................................... 7.000 5/15/11 23,926 130,000 El Paso Corp. *.................................................. 7.875 6/15/12 130,880 155,000 EOP Operating LP................................................. 6.763 6/15/07 161,820 175,000 EOP Operating LP................................................. 7.500 4/19/29 172,194 300,000 Equitable Cos., Inc.............................................. 6.500 4/1/08 317,177 80,000 Equitable Cos., Inc.............................................. 7.000 4/1/28 81,236 550,000 Fannie Mae....................................................... 6.625 11/15/30 580,689 495,000 Farmers Insurance Exchange*...................................... 8.625 5/1/24 438,073 305,000 Federated Department Stores...................................... 6.900 4/1/29 294,512 885,000 Ford Motor Co.................................................... 6.625 10/1/28 746,258 70,000 Ford Motor Credit Co............................................. 7.250 10/25/11 70,336 70,000 Fred Meyer, Inc.................................................. 7.450 3/1/08 76,964 280,000 General Motors Acceptance Corp................................... 6.875 9/15/11 277,989
See accompanying notes to financial statements. 86 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- Morgan Stanley Investments, LP (continued) Corporate Bonds (continued) $320,000 General Motors Acceptance Corp............ 8.000 11/1/31 $ 327,280 335,000 Golden State Holdings..................... 7.125 8/1/05 357,775 530,000 GTE Corp.................................. 6.940 4/15/28 473,183 250,000 Harrah's Operating Co., Inc.*............. 8.000 2/1/11 270,416 380,000 Hartford Life............................. 7.375 3/1/31 404,847 280,000 HCA-The Healthcare Co..................... 7.190 11/15/15 285,023 55,000 HCA-The Healthcare Co., Series MTN........ 8.700 2/10/10 61,963 145,000 HCA-The Healthcare Co., Series MTN........ 9.000 12/15/14 169,898 320,000 Health Net, Inc........................... 8.375 4/15/11 355,776 145,000 Healthsouth Corp.......................... 7.625 6/1/12 143,640 250,000 Hertz Corp................................ 7.625 6/1/12 246,480 2,150 Home Ownership Funding, SUB*.............. 13.330 12/31/49 1,379,891 390,000 Honeywell International................... 6.125 11/1/11 398,995 620,000 Household Finance Corp.................... 5.875 2/1/09 595,663 155,000 Hyatt Equities LLC........................ 6.875 6/15/07 155,669 250,000 Jet Equipment Trust, Series 1995-C*....... 10.690 11/1/13 112,500 715,000 John Hancock*............................. 7.375 2/15/24 744,566 60,000 JP Morgan Chase & Co...................... 5.350 3/1/07 60,744 90,000 JP Morgan Chase & Co...................... 6.625 3/15/12 92,557 100,000 Kennametal, Inc........................... 7.200 6/15/12 99,987 345,000 Kroger Co................................. 8.000 9/15/29 379,887 535,000 Lenfest Communications.................... 7.625 2/15/08 550,872 225,000 Lockheed Martin Corp...................... 7.750 5/1/26 249,157 430,000 Lowe's Companies, Inc..................... 6.500 3/15/29 413,135 290,000 MBNA America Bank, Series BKNT............ 6.500 6/20/06 300,273 250,000 Metropolitan Life Insurance Co.*.......... 7.450 11/1/23 254,803 430,000 Metropolitan Life Insurance Co.*.......... 7.800 11/1/25 464,002 435,000 Mirant Americas General LLC*.............. 7.200 10/1/08 343,650 75,000 Mohawk Industries, Inc.................... 7.200 4/15/12 79,635 495,000 Nationwide Mutual Insurance*.............. 7.500 2/15/24 470,167 250,000 New England Mutual*....................... 7.875 2/15/24 262,124 170,000 News America Holdings..................... 8.875 4/26/23 180,099 130,000 News America Holdings..................... 7.750 2/1/24 123,235 405,000 News America, Inc......................... 7.280 6/30/28 360,454 265,000 Nextel Communications, SUB................ 10.650 9/15/07 144,425 185,000 NiSource Finance Corp..................... 7.875 11/15/10 191,198 140,000 Pemex Project Funding Master Trust........ 9.125 10/13/10 147,000 250,000 Prime Property Funding II*................ 6.800 8/15/02 251,044 320,000 Prime Property Funding II*................ 7.000 8/15/04 333,043 355,000 Prudential Holdings LLC*.................. 8.695 12/18/23 385,186 690,000 Prudential Holdings LLC, Series FSA....... 7.245 12/18/23 725,128 115,000 PSEG Energy Holdings...................... 8.625 2/15/08 110,374 315,000 PSEG Energy Holdings*..................... 9.125 2/10/04 320,545 270,000 Pulte Homes, Inc.*........................ 7.875 8/1/11 284,357 440,000 Raytheon Co.*............................. 8.300 3/1/10 501,496 270,000 Simon Property Group LP................... 6.375 11/15/07 277,018 60,000 Starwood Hotels........................... 7.375 5/1/07 59,025 140,000 Starwood Hotels & Resorts................. 7.875 5/1/12 137,200 340,000 Sun Microsystems, Inc..................... 7.650 8/15/09 358,948 200,000 TCI Communications, Inc................... 7.875 2/15/26 177,741 110,000 Telus Corp................................ 8.000 6/1/11 91,400
See accompanying notes to financial statements. 87 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- Morgan Stanley Investments, LP (continued) Corporate Bonds (continued) $ 240,000 Tenet Healthcare Corp......................... 6.875 11/15/31 $ 236,255 80,000 Time Warner, Inc.............................. 7.570 2/1/24 71,114 270,000 Time Warner, Inc.............................. 6.625 5/15/29 210,506 319,034 U.S. Airways Pass-Through Trust, Series 2000-1 8.110 2/20/17 341,337 170,000 USA Waste..................................... 7.000 7/15/28 159,225 120,000 Vornado Realty................................ 5.625 6/15/07 119,169 250,000 Waste Management, Inc......................... 7.375 5/15/29 243,006 625,000 Williams Cos., Series A....................... 7.500 1/15/31 448,841 787,903 World Financial Property*..................... 6.950 9/1/13 819,911 ------------- 27,708,385 ------------- Foreign Bonds -- 2.44% 443,308 Federal Republic of Brazil.................... 8.000 4/15/14 280,392 605,000 Glencore Nickel Property Ltd.................. 9.000 12/1/14 163,350 530,000 Global Crossing Holdings Ltd. (b)............. 0.000 11/15/06 5,300 340,000 Global Crossing Holdings Ltd. (b)............. 0.000 8/1/07 3,400 2,665,000 Government of France.......................... 4.000 10/25/09 2,502,692 235,000 RAS Laffan Liquid Natural Gas*................ 8.294 3/15/14 249,688 195,000 Republic of Columbia.......................... 11.750 2/25/20 190,808 45,000 Republic of South Africa...................... 7.375 4/25/12 44,494 200,000 Tyco International Group SA, Yankee........... 6.750 2/15/11 155,314 80,000 Tyco International Group SA, Yankee........... 6.375 10/15/11 61,241 320,000 United Mexican States......................... 8.375 1/14/11 332,000 145,000 United Mexican States......................... 7.500 1/14/12 143,333 160,000 United Mexican States, Series MTN............. 8.300 8/15/31 155,600 ------------- 4,287,612 ------------- U.S. Government Agency Mortgages -- 41.09% 744,080^ Fannie Mae Strip, Series 270, Class 2, IO..... 8.500 9/1/23 154,397 88,528^ Fannie Mae Strip, Series 274, Class 2, IO..... 8.500 10/1/25 17,609 127,233^ Fannie Mae Strip, Series 281, Class 2, IO..... 9.000 11/1/26 24,890 665,766^ Fannie Mae Strip, Series 296, Class 2, IO..... 8.000 4/1/24 139,915 691,996^ Fannie Mae Strip, Series 306, Class IO........ 8.000 5/1/30 115,909 93,692^ Fannie Mae Strip, Series 307, Class IO........ 8.000 6/1/30 15,576 2,197,969^ Fannie Mae Strip, Series 317, Class 1, PO..... 0.000 8/1/31 1,980,604 2,197,969^ Fannie Mae Strip, Series 317, Class 2, IO..... 8.000 8/1/31 362,665 58,931 Fannie Mae, Pool #117095...................... 8.500 7/1/08 59,374 254,112 Fannie Mae, Pool #124836...................... 10.000 5/1/22 283,755 79,009 Fannie Mae, Pool #124911...................... 10.000 3/1/16 88,216 612,146 Fannie Mae, Pool #124961...................... 10.000 8/1/21 683,402 26,789 Fannie Mae, Pool #190535...................... 11.000 1/1/16 30,580 23,876 Fannie Mae, Pool #23.......................... 8.500 8/1/11 25,322 102,676 Fannie Mae, Pool #253267...................... 8.500 5/1/30 109,715 1,094,482 Fannie Mae, Pool #253399...................... 8.500 8/1/30 1,169,518 246,493 Fannie Mae, Pool #253438...................... 8.500 9/1/30 263,392 416,497 Fannie Mae, Pool #254144...................... 8.000 11/1/31 442,304 147,643 Fannie Mae, Pool #254212...................... 8.000 1/1/32 156,791 290,216 Fannie Mae, Pool #303406...................... 10.000 2/1/25 324,071 24,281 Fannie Mae, Pool #313033...................... 10.000 7/1/17 27,111 41,358 Fannie Mae, Pool #313328...................... 10.000 7/1/18 46,188 34,593 Fannie Mae, Pool #359461...................... 10.500 12/1/17 39,279 177,964 Fannie Mae, Pool #378141...................... 10.000 4/1/19 198,703
See accompanying notes to financial statements. 88 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Maturity Amount Security Description Rate (%) Date Value ------ -------------------- -------- -------- ------------- Morgan Stanley Investments, LP (continued) U.S. Government Agency Mortgages (continued) $ 259,725 Fannie Mae, Pool #397120......................................... 10.000 5/1/21 $ 289,992 109,494 Fannie Mae, Pool #399289......................................... 10.000 12/1/14 122,267 21,237 Fannie Mae, Pool #50163.......................................... 10.500 11/1/18 24,021 758,945 Fannie Mae, Pool #535148......................................... 8.000 2/1/30 806,582 697,780 Fannie Mae, Pool #535332......................................... 8.500 4/1/30 746,276 259,782 Fannie Mae, Pool #535435......................................... 8.500 8/1/30 277,592 1,075,011 Fannie Mae, Pool #535488......................................... 8.500 9/1/30 1,148,711 817,648 Fannie Mae, Pool #535608......................................... 9.500 4/1/30 901,065 118,722 Fannie Mae, Pool #536282......................................... 8.500 7/1/30 126,861 59,303 Fannie Mae, Pool #54075.......................................... 8.500 12/1/08 62,554 211,314 Fannie Mae, Pool #545240......................................... 8.000 9/1/31 224,408 296,821 Fannie Mae, Pool #546591......................................... 8.500 6/1/30 317,170 21,844 Fannie Mae, Pool #549605......................................... 8.500 8/1/30 23,341 3,185 Fannie Mae, Pool #554465......................................... 8.500 10/1/23 3,435 359,946 Fannie Mae, Pool #557160......................................... 8.500 12/1/30 384,623 18,066 Fannie Mae, Pool #568980......................................... 8.500 2/1/31 19,305 350,114 Fannie Mae, Pool #573752......................................... 8.500 2/1/31 374,117 35,821 Fannie Mae, Pool #58253.......................................... 10.000 10/1/16 40,034 249,848 Fannie Mae, Pool #598548......................................... 8.000 10/1/31 265,328 128,185 Fannie Mae, Pool #601970......................................... 8.000 9/1/31 136,128 229,334 Fannie Mae, Pool #606811......................................... 8.000 10/1/31 243,544 228,706 Fannie Mae, Pool #609525......................................... 8.000 10/1/31 242,877 236,686 Fannie Mae, Pool #615545......................................... 8.000 11/1/31 251,351 13,926^ Fannie Mae, Series 1990-118, Class S, INV, IO.................... 52.900 9/25/20 23,975 505,915^ Fannie Mae, Series 1992-186, Class S, INV, IO.................... 5.600 10/25/27 35,313 14,229 Fannie Mae, Series 1996-14, Class PC, PO......................... 0.000 12/25/23 12,308 440,000^ Fannie Mae, Series 1996-68, Class SC, INV, IO.................... 6.256 1/25/24 53,504 64,406^ Fannie Mae, Series 1997-30, Class SI, INV, IO.................... 6.156 7/25/22 5,681 574,218^ Fannie Mae, Series 1997-57, Class PV, PAC, IO.................... 8.000 9/18/27 112,604 3,016,043^ Fannie Mae, Series 1999-42, Class SA, INV, IO.................... 6.360 10/25/28 255,459 1,445,280^ Fannie Mae, Series 2000-31, Class SB, INV, IO.................... 6.160 12/25/27 77,467 1,639,641^ Fannie Mae, Series 2001-4, Class SA, IO.......................... 5.710 2/17/31 145,764 644,632 Fannie Mae, Series 2002-18, Class PG............................. 5.500 6/25/08 658,399 850,000 Fannie Mae, Series 2002-W4, Class A1............................. 4.500 3/25/17 860,444 20,364^ Fannie Mae, Series G92-53, Class S, INV, IO...................... 66.690 9/25/22 21,480 2,000,000 Fannie Mae, TBA.................................................. 6.000 7/1/32 1,993,750 10,000,000 Fannie Mae, TBA.................................................. 6.500 7/1/32 10,193,199 2,700,000 Fannie Mae, TBA.................................................. 8.000 7/1/32 2,865,375 4,000,000 Fannie Mae, TBA.................................................. 6.000 8/1/32 3,974,560 8,500,000 Fannie Mae, TBA.................................................. 7.000 8/1/32 8,770,937 121,138^ Freddie Mac Strip, Series 191, Class IO.......................... 8.000 1/1/28 24,114 1,418,871^ Freddie Mac Strip, Series 215, Class IO.......................... 8.000 7/31/31 235,001 664,950 Freddie Mac, Gold Pool #C01050................................... 7.500 9/1/30 698,883 415,657 Freddie Mac, Gold Pool #C01086................................... 7.500 11/1/30 436,868 92,612 Freddie Mac, Gold Pool #C01104................................... 8.000 12/1/30 98,281 432,705 Freddie Mac, Gold Pool #C01187................................... 7.500 5/1/31 454,786 14,344 Freddie Mac, Gold Pool #C35806................................... 7.500 2/1/30 15,076 434,790 Freddie Mac, Gold Pool #C36981................................... 7.500 3/1/30 456,978 3,446,903 Freddie Mac, Gold Pool #C41010................................... 8.500 8/1/30 3,677,733 327,624 Freddie Mac, Gold Pool #C41019................................... 8.000 8/1/30 347,679 212,323 Freddie Mac, Gold Pool #C41513................................... 8.000 8/1/30 225,320
See accompanying notes to financial statements. 89 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Maturity Amount Security Description Rate (%) Date Value ------ -------------------- -------- -------- ------------- Morgan Stanley Investments, LP (continued) U.S. Government Agency Mortgages (continued) $ 119,489 Freddie Mac, Gold Pool #C41563................................... 8.000 8/1/30 $ 126,803 304,185 Freddie Mac, Gold Pool #C42635................................... 8.000 10/1/30 322,805 470,662 Freddie Mac, Gold Pool #C44964................................... 7.500 11/1/30 494,680 132,405 Freddie Mac, Gold Pool #C44998................................... 7.500 11/1/30 139,161 853,257 Freddie Mac, Gold Pool #C47060................................... 7.500 1/1/31 896,799 261,690 Freddie Mac, Gold Pool #C47558................................... 7.500 2/1/31 275,044 32,307 Freddie Mac, Gold Pool #C48206................................... 7.500 3/1/31 33,956 156,637 Freddie Mac, Gold Pool #C50601................................... 8.000 4/1/31 166,217 566,873 Freddie Mac, Gold Pool #C53329................................... 7.500 6/1/31 595,615 530,208 Freddie Mac, Gold Pool #C58121................................... 7.500 9/1/31 557,090 196,956 Freddie Mac, Gold Pool #C59301................................... 7.500 10/1/31 206,942 400,720 Freddie Mac, Gold Pool #C61028................................... 7.500 12/1/31 421,037 127,296 Freddie Mac, Gold Pool #C65032................................... 7.500 2/1/32 133,751 464,582 Freddie Mac, Gold Pool #C66732................................... 7.500 5/1/32 488,137 269,426 Freddie Mac, Gold Pool #D11089................................... 9.500 10/1/17 298,648 65,353 Freddie Mac, Gold Pool #G01135................................... 8.000 9/1/30 69,354 308,209 Freddie Mac, Pool #170199........................................ 9.500 10/1/16 339,819 21,713 Freddie Mac, Pool #183455........................................ 12.000 12/1/10 25,046 26,908 Freddie Mac, Pool #360019........................................ 10.500 12/1/17 30,305 58,805 Freddie Mac, Pool #555285........................................ 10.000 4/1/16 65,432 27,011^ Freddie Mac, Series 1415, Class S, INV, IO....................... 37.875 11/15/07 13,508 305,210^ Freddie Mac, Series 1476, Class S, INV, IO....................... 6.600 2/15/08 26,004 213,406^ Freddie Mac, Series 1485, Class S, INV, IO....................... 7.725 3/15/08 20,935 554,057^ Freddie Mac, Series 1600, Class SA, INV, IO...................... 6.125 10/15/08 43,992 577,790 Freddie Mac, Structured Pass..................................... 4.750 6/28/32 583,715 500,000 Freddie Mac, TBA................................................. 7.500 6/14/30 524,219 19,581 Government National Mortgage Assoc., Pool #112784................ 12.000 2/15/14 23,206 34,731 Government National Mortgage Assoc., Pool #114460................ 12.000 7/15/14 41,159 13,609 Government National Mortgage Assoc., Pool #126040................ 10.500 2/15/16 15,478 37,030 Government National Mortgage Assoc., Pool #1277.................. 11.500 9/20/19 42,595 101,274 Government National Mortgage Assoc., Pool #129961................ 11.000 8/15/15 116,537 38,239 Government National Mortgage Assoc., Pool #131140................ 11.500 7/20/15 43,660 1,804 Government National Mortgage Assoc., Pool #151321................ 10.500 3/15/16 2,052 59,211 Government National Mortgage Assoc., Pool #156617................ 11.000 1/15/16 68,135 8,558 Government National Mortgage Assoc., Pool #217447................ 10.500 6/15/19 9,729 22,383 Government National Mortgage Assoc., Pool #252625................ 10.500 10/15/18 25,426 42,705 Government National Mortgage Assoc., Pool #278126................ 10.500 6/15/19 48,545 56,857 Government National Mortgage Assoc., Pool #278323................ 10.500 7/15/19 64,631 39,534 Government National Mortgage Assoc., Pool #36890................. 10.000 11/15/09 44,426 11,792 Government National Mortgage Assoc., Pool #38023................. 11.000 1/15/10 13,574 27,998 Government National Mortgage Assoc., Pool #38484................. 11.000 3/15/10 32,229 23,505 Government National Mortgage Assoc., Pool #41625................. 11.000 7/15/10 27,057 28,019 Government National Mortgage Assoc., Pool #42444................. 11.000 9/15/10 32,253 30,039 Government National Mortgage Assoc., Pool #42710................. 11.000 9/15/10 34,578 27,311 Government National Mortgage Assoc., Pool #43080................. 11.000 8/15/10 31,438 1,353 Government National Mortgage Assoc., Pool #43285................. 11.000 8/15/10 1,557 66,176 Government National Mortgage Assoc., Pool #45290................. 11.000 12/15/10 76,176 26,349 Government National Mortgage Assoc., Pool #49399................. 10.000 9/15/10 29,623 13,262 Government National Mortgage Assoc., Pool #57312................. 12.000 1/15/13 15,721 16,421 Government National Mortgage Assoc., Pool #58625................. 12.000 11/15/12 19,467 12,934 Government National Mortgage Assoc., Pool #60040................. 12.000 1/15/13 15,333
See accompanying notes to financial statements. 90 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Maturity Amount Security Description Rate (%) Date Value ------ -------------------- -------- -------- ------------- Morgan Stanley Investments, LP (continued) U.S. Government Agency Mortgages (continued) $ 17,393 Government National Mortgage Assoc., Pool #70492................. 12.000 9/15/13 $ 20,604 23,928 Government National Mortgage Assoc., Pool #71155................. 12.000 8/15/13 28,346 82,826 Government National Mortgage Assoc., Pool #780315................ 9.500 12/15/17 92,812 24,417 Government National Mortgage Assoc., Pool #780379................ 10.500 8/15/21 27,756 50,783 Government National Mortgage Assoc., Pool #780384................ 11.000 12/15/17 58,437 165,294 Government National Mortgage Assoc., Pool #780554................ 10.000 5/15/19 185,487 48,099 Government National Mortgage Assoc., Pool #780609................ 9.500 9/15/22 53,883 55,527 Government National Mortgage Assoc., Pool #80094, ARM............ 6.750 7/20/27 57,222 111,032 Government National Mortgage Assoc., Pool #80114................. 6.750 9/20/27 114,764 233,643 Government National Mortgage Assoc., Pool #80123, ARM............ 6.625 10/20/27 241,970 219,945 Government National Mortgage Assoc., Pool #80137, ARM............ 6.625 11/20/27 227,807 53,911 Government National Mortgage Assoc., Pool #80145, ARM............ 6.625 12/20/27 55,836 65,253 Government National Mortgage Assoc., Pool #80156................. 6.625 1/20/28 66,975 132,340 Government National Mortgage Assoc., Pool #8585.................. 5.375 1/20/25 135,993 327,526 Government National Mortgage Assoc., Pool #8595.................. 5.375 2/20/25 336,561 118,923 Government National Mortgage Assoc., Pool #8611.................. 5.375 3/20/25 122,201 174,989 Government National Mortgage Assoc., Pool #8621.................. 6.375 4/20/25 179,465 344,706 Government National Mortgage Assoc., Pool #8631.................. 6.375 5/20/25 353,523 102,903 Government National Mortgage Assoc., Pool #8644.................. 6.375 6/20/25 105,090 144,153 Government National Mortgage Assoc., Pool #8664.................. 6.750 7/20/25 149,442 1,495,699^ Government National Mortgage Assoc., Series 1999-27, Class SE, INV, IO......................................................... 6.760 8/16/29 148,074 1,596,128^ Government National Mortgage Assoc., Series 1999-38, Class SM, INV, IO......................................................... 6.560 5/16/26 103,429 2,500,000 Government National Mortgage Assoc., TBA......................... 6.500 7/1/32 2,550,000 7,000,000 Government National Mortgage Assoc., TBA......................... 7.000 7/15/32 7,264,684 1,200,000 Government National Mortgage Assoc., TBA......................... 6.000 8/1/32 1,194,000 ------------- 72,073,200 ------------- U.S. Treasury Bills -- 0.28% 500,000 U.S. Treasury Bill, DN (c)....................................... 1.590 10/17/02 497,510 ------------- U.S. Treasury Bonds -- 1.20% 1,650,000 U.S. Treasury Bonds.............................................. 8.125 8/15/19 2,113,469 ------------- U.S. Treasury Notes -- 3.26% 2,600,000 U.S. Treasury Notes.............................................. 7.875 11/15/04 2,881,374 2,600,000 U.S. Treasury Notes.............................................. 6.750 5/15/05 2,837,656 ------------- 5,719,030 ------------- U.S. Treasury Strips -- 0.27% 750,000 U.S. Treasury Strips............................................. 0.000 5/15/11 478,505 ------------- Rights/Warrants -- 0.00% 807,000 Mexican United States -- Rights Exercise Price $0.01............. 0.000 6/30/03 1,614 ------------- Cash & Equivalents -- 16.67% 29,232,503 Deutsche Bank Cash Sweep......................................... 29,232,503 ------------- Total Morgan Stanley Investments, LP (cost $156,254,173)......... 156,634,225 ------------- Total Investments (cost $222,725,740) (a) -- 127.15%............. 223,191,966 Liabilities in excess of other assets -- (27.15%)................ (47,642,323) ------------- Net Assets -- 100.00%............................................ $ 175,549,643 -------------
See accompanying notes to financial statements. 91 THE HIRTLE CALLAGHAN TRUST Fixed Income II Portfolio Portfolio of Investments (continued) -- June 30, 2002 -------- (a) Cost for federal income tax purposes is $222,855,764. The gross unrealized appreciation/(depreciation) on a tax basis is as follows: Unrealized appreciation............ $ 4,406,906 Unrealized depreciation............ (4,070,704) ----------- Net unrealized appreciation........ $ 336,202 ===========
(b) Issuer has defaulted on the payment of interest. (c) Principal amount pledged as collateral for open future contracts. * Represents a restricted security, purchased under rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ^ Notional Amount ARM -- Adjustable Rate Mortgage DN -- Discount Note FHLMC -- Federal Home Loan Mortgage Corp. INV -- Inverse Floater IO -- Interest Only MTN -- Medium Term Note PAC -- Planned Amortization PLC -- Public Liability Company PO -- Principal Only SUB -- Step-up Bond. Rate shown is the effective yield as of June 30, 2002. TBA -- Security is subject to delayed delivery Futures
Number of Notional Expiration Unrealized Contracts Future Contracts Long Value Date Gain --------- --------------------- -------- ---------- ---------- 115 U.S. Treasury 5 Year Note..... $12,353,515 September 2002 $255,347 7 U.S. Treasury 10 Year Note.... 750,641 September 2002 17,034 -------- Total Unrealized Gain......... $272,381 ========
Contract Value on Amount Settlement Origination Value on Unrealized (Local Currency) Forward Exchange Contracts Date Date 6/30/02 Loss ---------------- -------------------------- ---------- ----------- -------- ---------- Currency Sold 2,500,000 Euro.......................... 7/3/2002 $(2,424,975) $(2,468,615) (43,640) ----------- ----------- -------- Total Currency Sold........... $(2,424,975) $(2,468,615) (43,640) =========== =========== ======== Net Unrealized Loss........... $(43,640) ========
See accompanying notes to financial statements. 92 THE HIRTLE CALLAGHAN TRUST High Yield Bond Portfolio Portfolio of Investments -- June 30, 2002
Security Shares Description Value ------ ----------- ----- Common/Preferred Stocks -- 2.90% Media -- 0.80% 10 Paxson Communications Corp............ $ 74,000 136 Paxson Communications Corp............ 1,074,400 3,180 Primedia, Inc., Series D.............. 95,400 1,545 Primedia, Inc., Series F.............. 46,350 ---------- 1,290,150 ---------- Telecommunication Services -- 0.23% 1,955 Broadwing Communications.............. 293,250 9,982 Focal Communications Corp. (f)........ 23,258 446 Intermedia Communication, Series B (f) 17,840 4,841 Maxcom B1............................. 48 101,294 Maxcom N1............................. 1,013 78,540 Maxcom, Convertible Preferred......... 785 7,402 McLeod USA, Inc....................... 27,758 14,000 Song Networks Holding AB - ADR (f).... 2,520 7,871 XO Communications, Inc................ 157 967 XO Communications, Inc., Series E..... 97 ---------- 366,726 ---------- Utilities -- 0.89% 1,454 TNP Enterprises, Inc., Series D....... 1,439,460 ---------- Wireless Communications -- 0.98% 1 Crown Castle.......................... 67 1,977 Dobson Communications................. 929,190 64,179 Motient Corp. (f)..................... 291,373 1,275 Nextel Communications, Inc. (f)....... 357,000 ---------- 1,577,630 ---------- Total Common/Preferred Stocks (cost $11,990,846).................. 4,673,966 ---------- Warrants -- 0.02% Cable -- 0.00% 765 ONO Finance PLC, Strike Price $0.01, 3/16/11*............................. 8 ---------- Media -- 0.00% 400 Paxson Communications Corp., Strike Price $16.00, 6/30/03*............... 120 470 XM Satellite Radio, Inc., Strike Price $44.72, 3/15/10*..................... 2,585 ---------- 2,705 ---------- Steel Manufacturing/Products -- 0.00% 685 Republic Technologies International, Strike Price $0.01, 7/15/09.......... 69 ---------- Telecommunications -- 0.00% 2,795 GT Group Telecom, Inc., Strike Price $0.00, 2/1/10*....................... 280 700 Maxcom Telecom, Strike Price $0.01, 4/1/07*.............................. 70
Security Shares Description Value ------ ----------- ----- Telecommunications (continued) 16,404 McLeod USA, Inc., Strike Price $1.35, 4/16/07.................................. $ 2,132 ---------- 2,482 ---------- Utilities -- 0.02% 875 TNP Enterprises, Inc., Strike Price $0.01, 4/1/11*.................................. 26,249 ---------- Wireless Communications -- 0.00% 600 Globalstar Telecom, Strike Price $17.39, 2/15/04*................................. 60 800 Motient Corp., Strike Price $12.28, 4/1/08*.................................. 8 6,500 Occidente Y Caribe Celular, Strike Price $1.00, 3/15/04*.......................... 65 ---------- 133 ---------- Total Warrants (cost $432,008)............ 31,646 ----------
See accompanying notes to financial statements. 93 THE HIRTLE CALLAGHAN TRUST High Yield Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- Convertible Bonds -- 0.70% $ 112,000 KPNQwest................................. 10.000 3/15/12 $ 138 2,470,000 Solectron Corp. Zero Coupon.............. 0.000 11/20/20 1,136,200 ------------- Total Convertible Bonds (cost $1,712,564) 1,136,338 ------------- Corporate Bonds -- 60.03% 505,000 Acetex Corp.*............................ 10.875 8/1/09 527,725 1,395,000 Aetna, Inc............................... 7.875 3/1/11 1,469,377 1,555,000 Alliance Atlantis Communications*........ 13.000 12/15/09 1,710,499 1,175,000 Allied Waste North America*.............. 8.875 4/1/08 1,151,500 495,000 American Cellular Corp................... 9.500 10/15/09 89,100 1,140,000 American Tower Corp...................... 9.375 2/1/09 627,000 800,000 AmerisourceBergen Corp................... 8.125 9/1/08 826,000 1,120,000 Anthem Insurance*........................ 9.125 4/1/10 1,265,731 1,295,000 AOL Time Warner, Inc..................... 6.875 5/1/12 1,194,312 480,000 Arvinmeritor, Inc........................ 8.750 3/1/12 514,492 585,000 Autonation, Inc.......................... 9.000 8/1/08 602,550 470,000 Beazer Homes USA......................... 8.625 5/15/11 477,050 1,615,000 BRL Universal Equipment.................. 8.875 2/15/08 1,598,850 817,927 CA FM Lease Trust........................ 8.500 7/15/17 861,515 1,840,000 Calpine Corp............................. 8.500 2/15/11 1,232,800 370,000 Case Corp., Series B..................... 6.250 12/1/03 361,151 400,000 Case Credit Corp......................... 6.125 2/15/03 392,656 855,000 CB Richard Ellis......................... 11.250 6/15/11 718,200 1,780,000 Centennial Communications................ 10.750 12/15/08 854,400 1,450,000 Charter Communications Holdings.......... 10.250 1/15/10 986,000 1,200,000 Chesapeake Energy Corp................... 8.125 4/1/11 1,179,000 425,000 CIT Group, Inc........................... 5.625 5/17/04 407,771 90,000 CIT Group, Inc........................... 6.500 2/7/06 87,262 455,000 Collins & Aikman Products................ 11.500 4/15/06 431,113 975,000 Collins & Aikman Products*............... 10.750 12/31/11 979,875 2,260,000 Corning, Inc., Zero Coupon............... 0.000 11/8/15 1,130,000 1,000,000 CSC Holdings, Inc........................ 7.875 2/15/18 738,498 900,000 D.R. Horton, Inc......................... 8.000 2/1/09 895,500 1,380,000 Dana Corp................................ 9.000 8/15/11 1,359,300 425,000 Dana Corp.* (d).......................... 9.000 8/15/11 411,335 500,000 Dobson/Sygnet Communications............. 12.250 12/15/08 300,000 570,000 Dura Operating Corp...................... 8.625 4/15/12 572,850 970,000 Dynegy Holdings, Inc..................... 6.875 4/1/11 669,300 900,000 EchoStar DBS Corp........................ 9.375 2/1/09 832,500 695,000 EchoStar DBS Corp.*...................... 9.125 1/15/09 635,925 120,000 El Paso Corp............................. 7.000 5/15/11 114,843 355,000 El Paso Corp.*........................... 7.875 6/15/12 357,404 560,000 Encompass Services Corp.*................ 10.500 5/1/09 319,200 670,000 Equistar Chemical........................ 10.125 9/1/08 639,850 1,945,000 Exodus Communications, Inc. (b).......... 11.625 7/15/10 320,925 365,000 Fairchild Semiconductor.................. 10.375 10/1/07 379,600 400,000 Fairchild Semiconductor.................. 10.500 2/1/09 426,000 645,000 Fisher Scientific International.......... 7.125 12/15/05 640,163 150,000 Flextronics International Ltd............ 8.750 10/15/07 150,375 140,000 Flextronics International Ltd............ 9.875 7/1/10 146,300 785,000 Flowserve Corp........................... 12.250 8/15/10 887,050 335,000 Foamex L.P............................... 10.750 4/1/09 341,700
See accompanying notes to financial statements. 94 THE HIRTLE CALLAGHAN TRUST High Yield Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ---------- ----------- -------- -------- ------------- Corporate Bonds (continued) $1,332,000 Focal Communications Corp., Series B..... 11.875 1/15/10 $ 213,120 218,000 Focal Communications Corp., Series B, SUB 12.125 2/15/08 15,260 2,070,000 Global Crossing Holdings Ltd. (b)........ 8.700 8/1/07 20,700 955,000 Global Crossing Holdings Ltd. (b)........ 9.625 5/15/08 9,550 890,000 Globalstar LP (b)........................ 11.375 2/15/04 53,400 1,750,000 Globix Corp. (b)......................... 12.500 2/1/10 315,000 615,000 Hanover Equipment Trust*................. 8.500 9/1/08 568,875 1,000,000 Hanover Equipment Trust*................. 8.750 9/1/11 915,000 1,950,000 Harrahs Entertainment.................... 8.000 2/1/11 2,109,247 630,000 HCA-The Healthcare Co.................... 7.150 3/30/04 661,897 805,000 HCA-The Healthcare Co.................... 6.910 6/15/05 839,910 75,000 HCA-The Healthcare Co.................... 8.750 9/1/10 84,635 1,235,000 Health Net, Inc.......................... 8.375 4/15/11 1,373,072 1,075,000 Healthsouth Corp......................... 7.625 6/1/12 1,064,915 1,205,000 Hilton Hotels............................ 7.950 4/15/07 1,249,671 1,360,000 HMH Properties, Series A................. 7.875 8/1/05 1,326,000 784,967 Hollinger Participation, SUB*............ 12.125 11/15/10 737,869 1,300,000 Horseshoe Gaming Holdings, Series B...... 8.625 5/15/09 1,322,750 40,000 Host Marriott LP, Series E............... 8.375 2/15/06 39,200 1,490,000 Hyperion Telecom, Series B, SUB (b)...... 13.000 4/15/03 149 740,000 Intermet Corp............................ 9.750 6/15/09 741,850 1,675,000 International Game Technology............ 8.375 5/15/09 1,767,124 775,000 ISP Chemco............................... 10.250 7/1/11 790,500 565,000 ISP Holdings, Inc........................ 10.625 12/15/09 559,350 920,000 iStar Financial, Inc..................... 8.750 8/15/08 911,950 300,000 Jet Equipment Trust, Series 95-D*........ 11.440 11/1/14 135,000 400,000 Jet Equipment Trust, Series C1*.......... 11.790 6/15/13 176,000 245,000 Johnsondiversey, Inc..................... 9.625 5/15/12 256,025 900,000 Lear Corp., Series B..................... 8.110 5/15/09 922,500 1,020,000 Louisiana Pacific Corp................... 10.875 11/15/08 1,122,000 400,000 Louisiana Pacific Corp................... 8.875 8/15/10 435,542 760,000 Lyondell Chemical Co., Series A.......... 9.625 5/1/07 725,800 195,000 Magnum Hunter Resources.................. 9.600 3/15/12 200,850 1,065,000 Mail-Well, Inc........................... 9.625 3/15/12 1,070,325 595,000 Metaldyne Corp........................... 11.000 6/15/12 595,000 1,635,000 Metromedia Fiber Network (b)............. 10.000 12/15/09 24,525 625,000 Michael Foods, Series B.................. 11.750 4/1/11 681,250 350,000 Millennium America, Inc.................. 9.250 6/15/08 357,000 900,000 Mirant Americas General LLC.............. 8.300 5/1/11 720,000 665,000 Muzak LLC................................ 9.875 3/15/09 545,300 1,230,000 National Steel Corp., Series D (b)....... 9.870 3/1/09 455,100 760,000 Nextel Communications.................... 9.375 11/15/09 385,700 1,745,000 Nextel Communications, SUB............... 9.950 9/15/07 951,025 1,775,000 Nextel Communications, SUB............... 10.650 2/15/08 852,000 475,000 Nextlink Communications (b).............. 10.750 11/15/08 11,875 645,000 Nextlink Communications, SUB (b)......... 9.450 4/15/08 9,675 410,000 Nextlink Communications, SUB (b)......... 12.250 6/1/09 6,150 625,000 Nextlink Communications, SUB (b)......... 12.125 12/1/09 9,375 820,000 Nextmedia Operating, Inc.*............... 10.750 7/1/11 828,200 300,000 NMHG Holding Co.......................... 10.000 5/15/09 304,500 545,000 Omnicare, Inc............................ 8.125 3/15/11 561,350 1,095,000 Owens-Illinois, Inc...................... 7.350 5/15/08 985,500
See accompanying notes to financial statements. 95 THE HIRTLE CALLAGHAN TRUST High Yield Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- Corporate Bonds (continued) $ 770,000 Owens-Illinois, Inc............................ 7.800 5/15/18 $ 642,950 475,000 Park Place Entertainment....................... 8.500 11/15/06 502,313 500,000 Park Place Entertainment....................... 9.375 2/15/07 522,500 500,000 Park Place Entertainment Corp.................. 8.875 9/15/08 516,875 180,000 Pegasus Communications......................... 9.750 12/1/06 81,000 85,000 Pegasus Communications, Series B............... 12.500 8/1/07 42,500 735,000 PG&E National Energy Group..................... 10.375 5/16/11 749,700 670,000 Phelps Dodge Corp.............................. 8.750 6/1/11 691,189 545,000 Pliant Corp.................................... 13.000 6/1/10 572,250 1,030,000 Prime Hospitality.............................. 8.375 5/1/12 1,009,400 1,425,000 Primedia, Inc.................................. 8.875 5/15/11 1,068,750 210,000 Primus Telecomm Group.......................... 11.250 1/15/09 113,400 195,000 Primus Telecomm Group.......................... 12.750 10/15/09 105,300 1,590,000 Primus Telecomm Group, Series B................ 9.875 5/15/08 858,600 805,000 PSEG Energy Holdings........................... 8.625 2/15/08 772,619 400,000 PSINet, Inc. (b)............................... 11.000 8/1/09 39,000 1,765,000 PSINet, Inc., Series B (b)..................... 10.000 2/15/05 169,881 625,000 RCN Corp., Series B, SUB....................... 9.800 2/15/08 118,750 3,130,000 RCN Corp., SUB................................. 11.125 10/15/07 719,900 685,000 Republic Technologies International (b)........ 13.750 7/15/09 44,525 1,165,000 Rhythms NetConnections, Inc., Series B (b)..... 14.000 2/15/10 64,075 1,990,000 Rhythms NetConnections, Inc., Series B, SUB (b) 13.500 5/15/08 79,600 795,000 Riverwood International Co..................... 10.875 4/1/08 826,800 950,000 Salem Communications........................... 9.000 7/1/11 959,500 70,000 Schuler Homes.................................. 10.500 7/15/11 74,900 240,000 Schuler Homes, Inc............................. 9.375 7/15/09 244,800 775,000 Six Flags, Inc................................. 8.875 2/1/10 771,125 1,000,000 Smithfield Foods, Inc.......................... 7.625 2/15/08 997,500 410,000 Smithfield Foods, Inc.......................... 8.000 10/15/09 416,150 450,000 Starwood Hotels................................ 7.375 5/1/07 442,688 705,000 Starwood Hotels & Resorts...................... 7.875 5/1/12 690,900 350,000 Station Casinos, Inc........................... 9.750 4/15/07 362,250 450,000 Station Casinos, Inc........................... 8.875 12/1/08 456,750 375,000 Station Casinos, Inc........................... 9.875 7/1/10 396,563 480,000 Stone Energy Corp.............................. 8.250 12/15/11 480,000 295,000 Stoneridge, Inc................................ 11.500 5/1/12 297,950 630,000 Technical Olympic USA.......................... 9.000 7/1/10 614,250 650,000 Technical Olympic USA, Inc..................... 10.375 7/1/12 643,500 190,000 TEKNI-PLEX, INC................................ 12.750 6/15/10 196,650 285,000 TEKNI-PLEX, INC................................ 12.750 6/15/10 294,975 1,240,000 Tesoro Pete Corp............................... 9.625 4/1/12 1,134,600 935,000 The Manitowoc Co., Inc......................... 10.375 5/15/11 988,044 1,750,000 Toll Corp...................................... 8.250 2/1/11 1,758,749 615,000 Trimas Corp.................................... 9.875 6/15/12 616,538 1,000,000 Tyco International Group SA, Yankee............ 6.750 2/15/11 776,570 755,000 UCAR Finance, Inc.............................. 10.250 2/15/12 770,100 865,000 USA Waste...................................... 7.125 10/1/07 901,128 205,000 USA Waste...................................... 7.125 12/15/17 203,350 675,000 Venitian Casino/LV Sands....................... 11.000 6/15/10 679,219 1,060,000 Vintage Petroleum.............................. 7.875 5/15/11 959,300 1,125,000 Vintage Petroleum*............................. 8.625 2/1/09 1,057,500 1,060,000 Waste Management, Inc.......................... 7.000 10/15/06 1,100,600
See accompanying notes to financial statements. 96 THE HIRTLE CALLAGHAN TRUST High Yield Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- Corporate Bonds (continued) $ 335,000 Waste Management, Inc.................... 7.650 3/15/11 $ 354,546 365,000 Williams Cos............................. 7.750 6/15/31 267,529 1,595,000 Williams Cos., Series A.................. 7.500 1/15/31 1,145,443 6,385,000 Winstar Communications, Inc., SUB (b)*... 14.750 4/15/10 639 2,565,000 WorldCom, Inc............................ 8.250 5/15/31 384,750 345,000 XM Satellite Radio, Inc.................. 14.000 3/15/10 162,150 600,000 XO Communications, Inc. (b).............. 10.750 6/1/09 15,000 1,120,000 Young Broadcasting, Inc.................. 10.000 3/1/11 991,200 ------------- Total Corporate Bonds (cost $118,705,713) 96,752,391 ------------- Foreign Bond -- 15.66% Argentina -- 0.03% 1,395,000 CTI Holdings SA, SUB..................... 11.500 4/15/08 55,800 ------------- Australia -- 0.41% 485,000 Glencore Nickel Property Ltd............. 9.000 12/1/14 130,950 1,955,000 Murrin Murrin Holdings Property.......... 9.375 8/31/07 527,850 ------------- 658,800 ------------- Brazil -- 1.03% 1,908,686 Federal Republic of Brazil............... 8.000 4/15/14 1,207,244 740,000 Republic of Brazil....................... 11.000 1/11/12 447,700 ------------- 1,654,944 ------------- Canada -- 4.67% 1,495,000 Air Canada............................... 10.250 3/15/11 1,169,838 2,795,000 GT Group Telecom, SUB*................... 13.250 2/1/10 6,988 1,510,000 Husky Oil Ltd............................ 8.900 8/15/28 1,614,800 1,400,000 Norampac, Inc............................ 9.500 2/1/08 1,490,999 1,125,000 Pacifica Papers, Inc..................... 10.000 3/15/09 1,195,313 495,000 Quebecor Media, Inc...................... 11.125 7/15/11 487,575 500,000 Quebecor Media, Inc., SUB................ 13.750 7/15/11 292,500 925,000 Tembec Industries, Inc................... 8.500 2/1/11 952,750 310,000 Tembec Industries, Inc................... 7.750 3/15/12 307,675 ------------- 7,518,438 ------------- Colombia -- 0.35% 585,000 Republic of Colombia..................... 9.750 4/23/09 568,913 ------------- Germany -- 1.55% 1,900,000 Callahan Nordrhein-Westfalen............. 14.000 7/15/10 76,000 222,412 Esprit Telecom Group, Series DM (b) (d).. 11.500 12/15/07 0 345,122 Esprit Telecom PLC (b) (d)............... 11.000 6/15/08 0 1,510,000 Fresenius Medical Care Capital Trust II.. 7.875 2/1/08 1,359,000 300,000 Fresenius Medical Care Capital Trust IV.. 7.875 6/15/11 268,500 750,000 Messer Griesheim Holdings AG* (d)........ 10.375 6/1/11 794,401 ------------- 2,497,901 ------------- Indonesia -- 0.37% 1,150,000 Indah Kiat Financials (b)................ 10.000 7/1/07 293,250 1,335,000 Pindo Deli Financial (b)................. 10.750 10/1/07 307,050 ------------- 600,300 ------------- Mexico -- 3.02% 1,035,000 Grupo Iusacell SA........................ 14.250 12/1/06 776,250 489,997 Maxcom Telecommunicaciones SA, SUB....... 10.000 3/1/07 146,999
See accompanying notes to financial statements. 97 THE HIRTLE CALLAGHAN TRUST High Yield Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- Foreign Bond (continued) Mexico (continued) $ 670,000 Pemex Project Funding Master Trust......... 9.125 10/13/10 $ 703,500 1,250,000 Satelites Mexicanos SA, Series B........... 10.125 11/1/04 600,000 1,405,000 TV Azteca SA, Series B..................... 10.500 2/15/07 1,362,850 1,230,000 United Mexican States...................... 8.375 1/14/11 1,276,125 ------------- 4,865,724 ------------- Netherlands -- 0.21% 550,000 TELE1 Europe BV............................ 13.000 5/15/09 77,000 185,000 TELE1 Europe BV (d)........................ 11.875 12/1/09 24,209 200,000 TELE1 Europe BV* (d)....................... 12.375 2/1/08 23,702 755,000 TELE1 Europe BV, Series EUR (d)............ 13.000 5/15/09 98,797 920,000 United Pan - Europe Comm NV, Series B (b).. 10.875 8/1/09 119,600 ------------- 343,308 ------------- Poland -- 0.59% 380,000 Netia Holdings BV, Series B (b)............ 10.250 11/1/07 60,800 515,000 Netia Holdings II BV, Series B (b) (d)..... 13.500 6/15/09 76,292 810,000 PTC International Fin II SA, Series EUR (d) 11.250 12/1/09 815,955 ------------- 953,047 ------------- Spain -- 0.22% 300,000 ONO Finance PLC............................ 13.000 5/1/09 99,000 765,000 ONO Finance PLC............................ 14.000 2/15/11 260,100 ------------- 359,100 ------------- United Kingdom -- 3.21% 600,000 British Sky Broadcasting................... 6.875 2/23/09 551,924 960,000 British Sky Broadcasting................... 8.200 7/15/09 943,695 585,000 Dolphin Telecom PLC, Series B, SUB (b)..... 14.000 5/15/09 59 1,490,000 Dolphin Telecom PLC, SUB (b) (d)........... 11.625 6/1/08 147 835,000 Huntsman ICI Chemicals..................... 10.125 7/1/09 751,500 565,000 Huntsman ICI Chemicals, Series EUR (d)..... 10.125 7/1/09 451,975 2,155,000 NTL Communications Corp., Series B (b)..... 11.875 10/1/10 571,075 1,305,000 NTL, Inc., Series B, SUB (b) (c)........... 10.750 4/1/08 487,357 130,000 RSL Communications Ltd. (b)................ 12.250 11/15/06 2,600 985,000 RSL Communications PLC (b)................. 9.125 3/1/08 19,700 495,000 RSL Communications PLC (b)................. 12.000 11/1/08 9,900 560,000 RSL Communications PLC (b)................. 9.875 11/15/09 11,200 910,000 RSL Communications PLC, SUB (b)............ 10.125 3/1/08 13,650 1,132,512 RSL Communications PLC, SUB (b) (d)........ 10.000 3/15/08 39,146 1,200,000 Telewest Communication PLC................. 9.875 2/1/10 468,000 1,730,000 Telewest Communication PLC, SUB (c)........ 9.875 4/15/09 843,852 1,460,000 Viatel, Inc., SUB (b)...................... 12.500 4/15/08 7,300 ------------- 5,173,080 ------------- Total Foreign Bond (cost $40,827,183)...... 25,249,355 ------------- U.S. Treasury Bill -- 0.03% 50,000 U.S. Treasury Bill, DN (e)................. 1.680 10/17/02 49,751 ------------- Total U.S. Treasury Bill (cost $49,717).... 49,751 -------------
See accompanying notes to financial statements. 98 THE HIRTLE CALLAGHAN TRUST High Yield Bond Portfolio Portfolio of Investments (continued) -- June 30, 2002
Principal Security Maturity Amount Description Rate (%) Date Value ------ ----------- -------- -------- ------------- Short-Term Investments -- 17.57% Cash & Equivalents -- 17.57% $28,243,679 Deutsche Bank Cash Sweep........................... $ 28,243,679 75,000 Morgan Stanley LP Cash Collateral Account (e)...... 75,000 ------------- 28,318,679 ------------- Total Short-Term Investments (cost $28,318,679).... 28,318,679 ------------- Total Investments (cost $202,036,710) (a) -- 96.91% 156,212,126 Other assets in excess of liabilities -- 3.09%..... 4,993,673 ------------- NET ASSETS -- 100.00%.............................. $ 161,205,799 -------------
-------- (a) Cost for federal income tax purposes is $202,129,283. The gross unrealized appreciation/(depreciation) on a tax basis is as follows: Unrealized appreciation.... $ 3,418,398 Unrealized depreciation.... (49,335,555) ------------ Net unrealized depreciation $(45,917,157) ============
(b) Issuer has defaulted on the payment of interest. (c) Principal amount is denominated in British Pounds. (d) Principal amount is denominated in Euros. (e) Principal amount is pledged as collateral for open future contracts. (f) Represents non-income producing securities. * Represents a restricted security, purchased under rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ADR -- American Depository Note DN -- Discount Note MTN -- Medium Term Note PLC -- Public Liability Company SUB -- Step-up Bond. Rate shown is the effective yield as of June 30, 2002. Futures
Number Unrealized of Notional Expiration Appreciation/ Contracts Futures Contracts Long Value Date (Depreciation) --------- ---------------------- ---------- -------------- -------------- 97 U.S. Treasury 5 Year Note. 10,419,922 September 2002 $97,539 5 U.S. Treasury 10 Year Note 536,172 September 2002 (1,583) ------- Total Unrealized Gain..... $95,956 =======
Contract Amount Value on (Local Settlement Origination Value on Unrealized Currency) Forward Exchange Contracts Date Date 6/30/02 Gain/(Loss) --------- -------------------------- ---------- ----------- ----------- ----------- Currency Purchased 300,000 British Pound.............. 7/29/2002 $ 435,687 $ 456,403 $ 20,716 ----------- ----------- --------- Total Currency Purchased... $ 435,687 $ 456,403 $ 20,716 =========== =========== ========= Currency Sold 1,200,000 British Pound.............. 7/29/2002 (1,738,800) (1,825,612) (86,812) 4,060,000 Euro....................... 7/31/2002 (3,645,880) (4,003,217) (357,337) ----------- ----------- --------- Total Currency Sold........ $(5,384,680) $(5,828,829) $(444,149) =========== =========== ========= Net Unrealized Depreciation $(423,433) =========
See accompanying notes to financial statements. 99 THE HIRTLE CALLAGHAN TRUST Statements of Assets and Liabilities June 30, 2002
Small Growth Capitalization Value Equity Equity Equity Portfolio Portfolio Portfolio ------------ ------------- -------------- ASSETS: Investments, at value (cost $327,267,433, $386,800,104, $301,197,835, and $500,590,425, respectively)......................... $322,006,159 $ 368,317,512 $311,941,026 Repurchase agreements, at value........................................ -- -- 14,166,912 ------------ ------------- ------------ Total Investments.................................................. 322,006,159 368,317,512 326,107,938 ============ ============= ============ Cash................................................................... -- -- 6,476 Foreign currency, at value (cost $0; $0; $0; and $141,240 respectively)......................................................... -- -- -- Unrealized appreciation on forward exchange contracts.................. -- -- -- Receivable for investments sold........................................ 23,950,228 23,502,692 17,877,851 Dividends and interest receivable...................................... 416,989 260,182 179,458 Variation margin receivable on futures contracts....................... 66,314 53,361 -- Foreign tax reclaim receivable......................................... -- -- -- Prepaid expenses and other assets...................................... 9,639 10,731 9,708 ------------ ------------- ------------ Total Assets....................................................... 346,449,329 392,144,478 344,181,431 ============ ============= ============ LIABILITIES: Payable to custodian................................................... 51,800 33,361 -- Payable for investments purchased...................................... 24,213,538 24,422,233 20,130,334 Unrealized depreciation on forward exchange contracts.................. -- -- -- Variation margin payable on future contracts........................... -- 19,141 -- Advisory fees payable.................................................. 58,764 60,799 106,708 Consulting fees payable................................................ 13,479 15,395 13,457 Other accrued expenses................................................. 37,636 46,092 35,838 ------------ ------------- ------------ Total Liabilities.................................................. 24,375,217 24,597,021 20,286,337 ------------ ------------- ------------ NET ASSETS............................................................... $322,074,112 $ 367,547,457 $323,895,094 ============ ============= ============ NET ASSETS CONSIST OF: Shares of beneficial interest, at par value............................ $ 26,133 $ 41,849 $ 28,368 Additional paid-in capital............................................. 334,013,925 504,084,379 326,974,176 Undistributed (distributions in excess of) net investment income....... 98,271 78,666 29,845 Accumulated net realized loss on investments, futures and foreign currency transactions and translations................................ (6,756,805) (118,114,309) (13,880,486) Net unrealized appreciation/(depreciation) on investments, futures and foreign currency transactions and translations........................ (5,307,412) (18,543,128) 10,743,191 ------------ ------------- ------------ Net Assets......................................................... $322,074,112 $ 367,547,457 $323,895,094 ============ ============= ============ SHARE OF BENEFICIAL INTEREST: Shares of beneficial interest outstanding.............................. 26,133,479 41,848,977 28,367,643 ============ ============= ============ Net Asset Value, offering and redemption price per share............... $ 12.32 $ 8.78 $ 11.42 ============ ============= ============
International Equity Portfolio ------------- ASSETS: Investments, at value (cost $327,267,433, $386,800,104, $301,197,835, and $500,590,425, respectively)......................... $466,442,433 Repurchase agreements, at value........................................ -- ------------ Total Investments.................................................. 466,442,433 ============ Cash................................................................... -- Foreign currency, at value (cost $0; $0; $0; and $141,240 respectively)......................................................... 141,241 Unrealized appreciation on forward exchange contracts.................. 2,209,993 Receivable for investments sold........................................ 4,399,504 Dividends and interest receivable...................................... 452,883 Variation margin receivable on futures contracts....................... -- Foreign tax reclaim receivable......................................... 505,154 Prepaid expenses and other assets...................................... 10,475 ------------ Total Assets....................................................... 474,161,683 ============ LIABILITIES: Payable to custodian................................................... -- Payable for investments purchased...................................... 3,883,498 Unrealized depreciation on forward exchange contracts.................. 1,628,898 Variation margin payable on future contracts........................... -- Advisory fees payable.................................................. 362,967 Consulting fees payable................................................ 18,872 Other accrued expenses................................................. 77,638 ------------ Total Liabilities.................................................. 5,971,873 ------------ NET ASSETS............................................................... $468,189,810 ============ NET ASSETS CONSIST OF: Shares of beneficial interest, at par value............................ $ 55,089 Additional paid-in capital............................................. 571,602,826 Undistributed (distributions in excess of) net investment income....... (401,310) Accumulated net realized loss on investments, futures and foreign currency transactions and translations................................ (69,561,349) Net unrealized appreciation/(depreciation) on investments, futures and foreign currency transactions and translations........................ (33,505,446) ------------ Net Assets......................................................... $468,189,810 ============ SHARE OF BENEFICIAL INTEREST: Shares of beneficial interest outstanding.............................. 55,089,453 ============ Net Asset Value, offering and redemption price per share............... $ 8.50 ============
See accompanying notes to financial statements. 100 THE HIRTLE CALLAGHAN TRUST Statements of Assets and Liabilities (continued) June 30, 2002
Intermediate Term Fixed Income Municipal Bond Fixed Income II High Yield Bond Portfolio Portfolio Portfolio Portfolio ------------ ----------------- --------------- --------------- ASSETS: Investments, at value (cost $119,953,698, $244,863,128, $222,725,740, and $202,036,710, respectively)............... $123,687,834 $252,638,607 $223,191,966 $156,212,126 Repurchase agreements, at value.............................. 2,803,950 -- -- -- ------------ ------------ ------------ ------------ Total Investments........................................ 126,491,784 252,638,607 223,191,966 156,212,126 ------------ ------------ ------------ ------------ Cash......................................................... 7,289 -- 140,356 57,840 Foreign currency, at value (cost $0, $0, $0, and $7,801; respectively)............................................... -- -- -- 7,831 Unrealized appreciation on forward exchange contracts........ -- -- -- 20,716 Receivable for investments sold.............................. 3,483,405 -- 20,126,368 2,540,152 Dividends and interest receivable............................ 1,142,756 3,382,984 1,554,220 3,317,880 Prepaid expenses and other assets............................ 3,934 5,459 3,230 2,378 ------------ ------------ ------------ ------------ Total Assets............................................. 131,129,168 256,027,050 245,016,140 162,158,923 ------------ ------------ ------------ ------------ LIABILITIES: Dividends payable............................................ 557,781 885,397 876,116 -- Payable for investments purchased............................ 3,811,917 1,016,218 68,473,381 423,250 Unrealized depreciation on forward exchange contracts........ -- -- 43,640 444,149 Payable for capital shares redeemed.......................... -- -- 289 -- Variation margin payable on future contracts................. -- -- 2,453 1,984 Advisory fees payable........................................ 26,901 53,207 38,973 51,316 Consulting fees payable...................................... 5,275 10,433 7,309 6,842 Other accrued expenses....................................... 19,136 29,955 24,336 25,583 ------------ ------------ ------------ ------------ Total Liabilities........................................ 4,421,010 1,995,210 69,466,497 953,124 ------------ ------------ ------------ ------------ NET ASSETS..................................................... $126,708,158 $254,031,840 $175,549,643 $161,205,799 ============ ============ ============ ============ NET ASSETS CONSIST OF: Shares of beneficial interest, at par value.................. $ 12,438 $ 25,293 $ 17,269 $ 23,355 Additional paid-in capital................................... 123,105,681 246,653,928 173,672,300 210,161,990 Undistributed net investment income.......................... 47,438 127,993 91,653 1,289,754 Accumulated net realized gain/(loss) on investments, futures and foreign currency transactions and translations.......... (191,535) (550,853) 1,072,003 (4,123,472) Net unrealized appreciation/(depreciation) on investments, futures and foreign currency transactions and translations................................................ 3,734,136 7,775,479 696,418 (46,145,828) ------------ ------------ ------------ ------------ Net Assets............................................... $126,708,158 $254,031,840 $175,549,643 $161,205,799 ============ ============ ============ ============ SHARES OF BENEFICIAL INTEREST: Shares of beneficial interest outstanding.................... 12,437,698 25,292,716 17,269,155 23,355,124 ============ ============ ============ ============ Net Asset Value, offering and redemption price per share..... $ 10.19 $ 10.04 $ 10.17 $ 6.90 ============ ============ ============ ============
See accompanying notes to financial statements. 101 THE HIRTLE CALLAGHAN TRUST Statements of Operations For the Year Ended June 30, 2002
Small Growth Capitalization Value Equity Equity Equity Portfolio Portfolio Portfolio ------------ ------------- -------------- INVESTMENT INCOME: Interest.................................................................... $ 137,670 $ 194,270 $ 303,105 Dividends (net of foreign withholding tax of $11,802, $0, $0, and $867,539, respectively).................................................... 5,407,251 2,704,107 1,923,938 ------------ ------------- ------------ Total Investment Income................................................. 5,544,921 2,898,377 2,227,043 ------------ ------------- ------------ EXPENSES: Advisory fees............................................................... 650,564 719,456 1,268,576 Consulting fees............................................................. 150,936 180,217 158,139 Administrative services fees................................................ 346,144 413,325 362,686 Custodian fees.............................................................. 52,858 64,588 56,020 Audit and legal fees........................................................ 25,919 28,003 27,111 Registration and filing fees................................................ 13,899 15,074 14,052 Trustee fees................................................................ 3,675 4,270 3,760 Other expenses.............................................................. 22,625 32,172 20,815 ------------ ------------- ------------ Total Expenses.......................................................... 1,266,620 1,457,105 1,911,159 ------------ ------------- ------------ Net Investment Income....................................................... 4,278,301 1,441,272 315,884 ------------ ------------- ------------ NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized (loss) on investments.......................................... (3,914,281) (67,388,461) (7,795,287) Net realized gain on foreign currency transactions and translations......... -- -- -- Net realized (loss) on futures transactions................................. (153,669) (475,348) -- ------------ ------------- ------------ Net realized (loss) on investments, futures and foreign currency transactions and translations.............................................. (4,067,950) (67,863,809) (7,795,287) ------------ ------------- ------------ Change in unrealized appreciation/(depreciation) on investments............. (33,878,131) (35,105,330) (29,901,845) Change in unrealized appreciation/(depreciation) on foreign currency transactions and translations.............................................. -- -- -- Change in unrealized appreciation/(depreciation) on futures................. (46,138) (60,536) -- ------------ ------------- ------------ Change in unrealized appreciation/(depreciation) on investments, futures and foreign currency transactions and translations......................... (33,924,269) (35,165,866) (29,901,845) ------------ ------------- ------------ Net realized/unrealized (loss) on investments, futures and foreign currency transactions and translations.............................................. (37,992,219) (103,029,675) (37,697,132) ------------ ------------- ------------ Change in net assets resulting from operations.............................. $(33,713,918) $(101,588,403) $(37,381,248) ============ ============= ============
International Equity Portfolio ------------- INVESTMENT INCOME: Interest.................................................................... $ 431,198 Dividends (net of foreign withholding tax of $11,802, $0, $0, and $867,539, respectively).................................................... 6,575,350 ------------ Total Investment Income................................................. 7,006,548 ------------ EXPENSES: Advisory fees............................................................... 1,534,007 Consulting fees............................................................. 201,402 Administrative services fees................................................ 461,859 Custodian fees.............................................................. 301,933 Audit and legal fees........................................................ 28,846 Registration and filing fees................................................ 13,852 Trustee fees................................................................ 4,947 Other expenses.............................................................. 30,977 ------------ Total Expenses.......................................................... 2,577,823 ------------ Net Investment Income....................................................... 4,428,725 ------------ NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized (loss) on investments.......................................... (30,744,977) Net realized gain on foreign currency transactions and translations......... 1,710,823 Net realized (loss) on futures transactions................................. -- ------------ Net realized (loss) on investments, futures and foreign currency transactions and translations.............................................. (29,034,154) ------------ Change in unrealized appreciation/(depreciation) on investments............. (566,302) Change in unrealized appreciation/(depreciation) on foreign currency transactions and translations.............................................. 723,692 Change in unrealized appreciation/(depreciation) on futures................. -- ------------ Change in unrealized appreciation/(depreciation) on investments, futures and foreign currency transactions and translations......................... 157,390 ------------ Net realized/unrealized (loss) on investments, futures and foreign currency transactions and translations.............................................. (28,876,764) ------------ Change in net assets resulting from operations.............................. $(24,448,039) ============
See accompanying notes to financial statements. 102 THE HIRTLE CALLAGHAN TRUST Statements of Operations (continued) For the Year Ended June 30, 2002
Intermediate Term Fixed Income Municipal Bond Fixed Income II High Yield Bond Portfolio Portfolio Portfolio Portfolio ------------ ----------------- --------------- --------------- INVESTMENT INCOME: Interest...................................................... $ 8,528,624 $11,635,518 $11,873,663 $ 14,169,568 Dividends..................................................... 27,669 155,794 331,610 920,724 ----------- ----------- ----------- ------------ Total Investment Income................................... 8,556,293 11,791,312 12,205,273 15,090,292 ----------- ----------- ----------- ------------ EXPENSES: Advisory fees................................................. 349,332 580,816 497,017 563,555 Consulting fees............................................... 68,498 113,889 91,369 75,142 Administrative services fees.................................. 128,238 213,167 171,060 140,659 Custodian fees................................................ 24,614 38,046 51,343 42,702 Audit and legal fees.......................................... 18,626 21,208 21,175 19,541 Registration and filing fees.................................. 7,157 7,205 11,425 3,013 Trustee fees.................................................. 1,607 2,870 2,145 1,862 Other expenses................................................ 7,303 15,841 9,684 12,804 ----------- ----------- ----------- ------------ Total Expenses............................................ 605,375 993,042 855,218 859,278 ----------- ----------- ----------- ------------ Net Investment Income......................................... 7,950,918 10,798,270 11,350,055 14,231,014 ----------- ----------- ----------- ------------ NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investments....................... 2,687,285 994,494 3,217,587 (3,521,291) Net realized gain/(loss) on foreign currency transactions and translations................................................. -- -- (3,323) (251,823) Net realized gain/(loss) on futures transactions.............. -- -- 37,773 (52,804) ----------- ----------- ----------- ------------ Net realized gain/(loss) on investments, futures and foreign currency transactions and translations....................... 2,687,285 994,494 3,252,037 (3,825,918) ----------- ----------- ----------- ------------ Change in unrealized appreciation/(depreciation) on investments.................................................. 1,553,740 1,939,645 (1,025,486) (24,993,133) Change in unrealized appreciation/(depreciation) on foreign currency transactions and translations....................... -- -- (32,231) (478,386) Change in unrealized appreciation/(depreciation) on futures...................................................... -- -- 277,087 82,497 ----------- ----------- ----------- ------------ Change in unrealized appreciation/(depreciation) on investments, futures and foreign currency transactions and translations................................................. 1,553,740 1,939,645 (780,630) (25,389,022) ----------- ----------- ----------- ------------ Net realized/unrealized gain/(loss) on investments, futures and foreign currency transactions and translations........... 4,241,025 2,934,139 2,471,407 (29,214,940) ----------- ----------- ----------- ------------ Change in net assets resulting from operations................ $12,191,943 $13,732,409 $13,821,462 $(14,983,926) =========== =========== =========== ============
See accompanying notes to financial statements. 103 THE HIRTLE CALLAGHAN TRUST Statements of Changes in Net Assets
Small Capitalization Value Equity Portfolio Growth Equity Portfolio Equity Portfolio -------------------------- ---------------------------- -------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended June 30, June 30, June 30, June 30, June 30, June 30, 2002 2001 2002 2001 2002 2001 ------------ ------------ ------------- ------------- ------------ ------------ From Investment Activities: Operations: Net investment income.................. $ 4,278,301 $ 3,326,334 $ 1,441,272 $ 838,808 $ 315,884 $ 583,823 Net realized gain/(loss) on investment transactions and futures.............. (4,067,950) (691,079) (67,863,809) (38,112,418) (7,795,287) 5,014,234 Change in unrealized appreciation/ (depreciation) on investment transactions and futures.............. (33,924,269) 19,699,353 (35,165,866) (94,337,280) (29,901,845) (13,668,317) ------------ ------------ ------------- ------------- ------------ ------------ Change in net assets resulting from operations............................ (33,713,918) 22,334,608 (101,588,403) (131,610,890) (37,381,248) (8,070,260) ------------ ------------ ------------- ------------- ------------ ------------ Distributions to Shareholders from: Net investment income.................. (4,180,051) (3,339,129) (1,362,606) (850,500) (286,039) (625,863) Net realized gain from investment transactions and futures.............. (832,919) (5,289,049) -- (39,056,577) -- (26,356,444) ------------ ------------ ------------- ------------- ------------ ------------ Change in net assets resulting from distributions......................... (5,012,970) (8,628,178) (1,362,606) (39,907,077) (286,039) (26,982,307) ------------ ------------ ------------- ------------- ------------ ------------ Shares of Beneficial Interest: Proceeds from shares issued............ 120,923,231 84,507,816 179,305,921 196,213,930 95,497,374 96,363,676 Value of securities transferred in-kind............................... 7,162,654 -- 12,581,361 -- -- -- Proceeds from reinvestment of dividends............................. 4,720,929 7,844,326 1,110,797 33,628,663 233,196 22,529,876 Cost of shares redeemed................ (53,198,058) (66,669,066) (49,596,914) (92,834,368) (46,116,698) (51,676,862) ------------ ------------ ------------- ------------- ------------ ------------ Change in net assets from shares of beneficial interest transactions...... 79,608,756 25,683,076 143,401,165 137,008,225 49,613,872 67,216,690 ------------ ------------ ------------- ------------- ------------ ------------ Change in net assets................... 40,881,868 39,389,506 40,450,156 (34,509,742) 11,946,585 32,164,123 Net Assets: Beginning of period.................... 281,192,244 241,802,738 327,097,301 361,607,043 311,948,509 279,784,386 ------------ ------------ ------------- ------------- ------------ ------------ End of period.......................... $322,074,112 $281,192,244 $ 367,547,457 $ 327,097,301 $323,895,094 $311,948,509 ============ ============ ============= ============= ============ ============
See accompanying notes to financial statements. 104 THE HIRTLE CALLAGHAN TRUST Statements of Changes in Net Assets (continued)
International Fixed Income Equity Portfolio Portfolio --------------------------- -------------------------- Year Ended Year Ended Year Ended Year Ended June 30, June 30, June 30, June 30, 2002 2001 2002 2001 ------------ ------------- ------------ ------------ From Investment Activities: Operations: Net investment income.......................... $ 4,428,725 $ 3,318,471 $ 7,950,918 $ 8,442,499 Net realized gain/(loss) on investments and foreign currency transactions and translations.................................. (29,034,154) (38,244,538) 2,687,285 1,483,898 Change in unrealized appreciation/ (depreciation) on investments and foreign currency transactions and translations........ 157,390 (61,656,636) 1,553,740 4,870,630 ------------ ------------- ------------ ------------ Change in net assets resulting from operations.................................... (24,448,039) (96,582,703) 12,191,943 14,797,027 ------------ ------------- ------------ ------------ Distributions to Shareholders from: Net investment income.......................... (6,024,635) (3,097,246) (7,986,054) (8,442,499) Net realized gain from investments and foreign currency transactions and translations........ -- (44,299,282) (211,187) -- ------------ ------------- ------------ ------------ Change in net assets resulting from distributions................................. (6,024,635) (47,396,528) (8,197,241) (8,442,499) ------------ ------------- ------------ ------------ Shares of Beneficial Interest: Proceeds from shares issued.................... 172,281,135 225,399,917 46,570,726 24,041,595 Proceeds from reinvestment of dividends........ 5,348,165 41,267,192 8,013,924 8,138,020 Cost of shares redeemed........................ (47,178,721) (138,048,283) (31,218,744) (40,904,958) Value of securities liquidated in-kind......... -- -- (28,789,436) -- ------------ ------------- ------------ ------------ Change in net assets from shares of beneficial interest transactions........................... 130,450,579 128,618,826 (5,423,530) (8,725,343) ------------ ------------- ------------ ------------ Change in net assets........................... 99,977,905 (15,360,405) (1,428,828) (2,370,815) Net Assets: Beginning of period............................ 368,211,905 383,572,310 128,136,986 130,507,801 ------------ ------------- ------------ ------------ End of period.................................. $468,189,810 $ 368,211,905 $126,708,158 $128,136,986 ============ ============= ============ ============
Intermediate Term Municipal Bond Portfolio -------------------------- Year Ended Year Ended June 30, June 30, 2002 2001 ------------ ------------ From Investment Activities: Operations: Net investment income.......................... $ 10,798,270 $ 10,277,444 Net realized gain/(loss) on investments and foreign currency transactions and translations.................................. 994,494 307,749 Change in unrealized appreciation/ (depreciation) on investments and foreign currency transactions and translations........ 1,939,645 6,777,662 ------------ ------------ Change in net assets resulting from operations.................................... 13,732,409 17,362,855 ------------ ------------ Distributions to Shareholders from: Net investment income.......................... (10,270,620) (10,277,444) Net realized gain from investments and foreign currency transactions and translations........ -- -- ------------ ------------ Change in net assets resulting from distributions................................. (10,270,620) (10,277,444) ------------ ------------ Shares of Beneficial Interest: Proceeds from shares issued.................... 81,248,273 43,910,737 Proceeds from reinvestment of dividends........ 9,056,014 9,133,773 Cost of shares redeemed........................ (41,753,573) (57,676,921) Value of securities liquidated in-kind......... -- -- ------------ ------------ Change in net assets from shares of beneficial interest transactions........................... 48,550,714 (4,632,411) ------------ ------------ Change in net assets........................... 52,012,503 2,453,000 Net Assets: Beginning of period............................ 202,019,337 199,566,337 ------------ ------------ End of period.................................. $254,031,840 $202,019,337 ============ ============
See accompanying notes to financial statements. 105 THE HIRTLE CALLAGHAN TRUST Statements of Changes in Net Assets (continued)
Fixed Income II Portfolio -------------------------- Year Ended Period Ended June 30, June 30, 2002 2001* ------------ ------------ From Investment Activities: Operations: Net investment income.................................................... $ 11,350,055 $ 9,630,755 Net realized gain/(loss) on investments, futures and foreign currency transactions and translations........................................... 3,252,037 4,620,580 Change in unrealized appreciation/(depreciation) on investments, futures and foreign currency transactions and translations...................... (780,630) 1,477,048 ------------ ------------ Change in net assets resulting from operations........................... 13,821,462 15,728,383 ------------ ------------ Distributions to Shareholders from: Net investment income.................................................... (12,058,864) (9,630,755) Net realized gain/(loss) from investments, futures, and foreign currency transactions and translations........................................... (4,361,423) -- ------------ ------------ Change in net assets resulting from distributions........................ (16,420,287) (9,630,755) ------------ ------------ Shares of Beneficial Interest: Proceeds from shares issued.............................................. 84,184,549 18,182,350 Value of securities transferred in-kind.................................. -- 182,372,210 Proceeds from reinvestment of dividends.................................. 14,104,277 7,359,501 Cost of shares redeemed.................................................. (80,319,802) (30,660,590) Value of securities liquidated in-kind................................... (23,171,655) -- ------------ ------------ Change in net assets from shares of beneficial interest transactions..... (5,202,631) 177,253,471 ------------ ------------ Change in net assets..................................................... (7,801,456) 183,351,099 Net Assets: Beginning of period...................................................... 183,351,099 -- ------------ ------------ End of period............................................................ $175,549,643 $183,351,099 ============ ============
High Yield Bond Portfolio -------------------------- Year Ended Period Ended June 30, June 30, 2002 2001* ------------ ------------ From Investment Activities: Operations: Net investment income.................................................... $ 14,231,014 $ 10,169,700 Net realized gain/(loss) on investments, futures and foreign currency transactions and translations........................................... (3,825,918) (266,146) Change in unrealized appreciation/(depreciation) on investments, futures and foreign currency transactions and translations...................... (25,389,022) (20,756,806) ------------ ------------ Change in net assets resulting from operations........................... (14,983,926) (10,853,252) ------------ ------------ Distributions to Shareholders from: Net investment income.................................................... (13,510,041) (9,645,150) Net realized gain/(loss) from investments, futures, and foreign currency transactions and translations........................................... -- -- ------------ ------------ Change in net assets resulting from distributions........................ (13,510,041) (9,645,150) ------------ ------------ Shares of Beneficial Interest: Proceeds from shares issued.............................................. 48,196,781 44,699,635 Value of securities transferred in-kind.................................. -- 110,672,210 Proceeds from reinvestment of dividends.................................. 11,664,367 8,481,185 Cost of shares redeemed.................................................. (7,409,525) (6,106,485) Value of securities liquidated in-kind................................... -- -- ------------ ------------ Change in net assets from shares of beneficial interest transactions..... 52,451,623 157,746,545 ------------ ------------ Change in net assets..................................................... 23,957,656 137,248,143 Net Assets: Beginning of period...................................................... 137,248,143 -- ------------ ------------ End of period............................................................ $161,205,799 $137,248,143 ============ ============
-------- * Portfolios commenced operations on September 26, 2000. See accompanying notes to financial statements. 106 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements -- June 30, 2002 1. DESCRIPTION. The Hirtle Callaghan Trust ("Trust") is registered under the Investment Company Act of 1940, as amended ("1940 Act"), as an open-ended management series investment company. The Trust was organized as a Delaware business trust on December 15, 1994. The Trust currently offers eight separate investment portfolios: The Value Equity Portfolio ("Value Portfolio"), The Growth Equity Portfolio ("Growth Portfolio"), The Small Capitalization Equity Portfolio ("Small Cap Portfolio"), The International Equity Portfolio ("International Portfolio"), The Fixed Income Portfolio ("Fixed Income Portfolio"), The Intermediate Term Municipal Bond Portfolio ("Intermediate Municipal Portfolio"), The Fixed Income II Portfolio ("Fixed Income II Portfolio"), and The High Yield Bond Portfolio ("High Yield Portfolio"), collectively the ("Portfolios"). 2. SIGNIFICANT ACCOUNTING POLICIES. The following is a summary of the significant accounting policies followed by the Portfolios: A. Portfolio Valuation. The net asset value per share of the Portfolios is determined once on each business day as of the close of the New York Stock Exchange, which is normally 4 p.m. Eastern Time. Each Portfolio's net asset value per share is calculated by adding the value of all securities and other assets of the Portfolio, subtracting its liabilities and dividing the result by the number of its outstanding shares. In valuing the Portfolios' assets for calculating net asset value, readily marketable portfolio securities listed on a national securities exchange or on NASDAQ are valued at the last sale price on the business day that such value is being determined. Equity securities listed on a foreign exchange are valued at the last quoted sales price available before the time when such securities are to be valued, provided that where such securities are denominated in foreign currencies, such prices will be converted into U.S dollars at the bid price of such currencies against U.S. dollars last quoted by any major bank. If there have been no sales on such exchange or on NASDAQ on such day, the security is valued at the closing bid price on such day. Fixed income securities traded only in the over-the-counter market and not on NASDAQ are valued at the current or last bid price. If no market quotations can be obtained from a customary pricing source, the Fund Accounting Agent shall attempt to obtain a minimum of two broker quotes for the security and the security will be valued at the mean between the highest and lowest ask price obtained. If no quotation is available from either a listed pricing source or two brokers, the security is valued by such method as the Trust's Board of Trustees ("Board") shall determine in good faith to reflect the security's fair value. All other assets of each portfolio are valued in such manner as the Board in good faith deems appropriate to reflect their fair value. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which constitutes fair value as determined by the Board. Pursuant to procedures adopted by the Board, any of the Portfolios may use a pricing service, bank, or broker-dealer experienced in such matters to value the Portfolio's securities. B. Securities Transactions and Investment Income. Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including amortization of premium and accretion of discount on investments, where applicable, is accrued daily, as earned. Gains and losses from paydown transactions on mortgage and asset backed securities are reclassified as investment income or loss for book accounting purposes. C. Dividend and Capital Gain Distributions to Shareholders. The Fixed Income, Intermediate Municipal, and Fixed Income II Portfolios declare dividends from net investment income monthly and distribute the same on a monthly basis. The Value, Growth, Small Cap and High Yield Portfolios declare and distribute dividends from net investment income on a quarterly basis. The International Portfolio declares and distributes dividends from net investment income on a semi-annual basis. Net realized capital gains, if any, will be distributed at least annually for each Portfolio. To the extent dividends and distributions to shareholders exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Certain Portfolios also utilize earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. 107 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements (continued) -- June 30, 2002 Dividends and distributions are recorded on the ex-dividend date. Distributions from net investment income and from net realized gains are determined in accordance with federal income tax regulations and may differ from generally accepted accounting principles. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax basis treatment. Temporary differences do not require reclassification. As of June 30, 2002, the following reclassifications have been made to increase/(decrease) such accounts with offsetting adjustments made to paid-in capital:
Accumulated Net Undistributed Net Realized Gain/(Loss) on Investment Income Investments ----------------- ----------------------- Value Portfolio................. 21 (21) International Portfolio......... 1,710,823 (1,710,823) Fixed Income Portfolio.......... 82,567 (916,452) Intermediate Municipal Portfolio (406,404) 406,404 Fixed Income II Portfolio....... 781,635 (1,960,891) High Yield Portfolio............ (215,393) 215,393
D. Repurchase Agreements. Among the instruments that each of the Portfolios may use for temporary investment purposes are repurchase agreements. Under the terms of a typical repurchase agreement, a Portfolio would acquire an underlying debt security for a relatively short period (usually not more than one week), subject to an obligation of the seller to repurchase that security and the obligation of the Portfolio to resell that security at an agreed-upon price and time. Repurchase agreements could involve certain risks in the event of default or insolvency of the other party, including possible delays or restrictions upon the Portfolio's ability to dispose of the underlying securities. The creditworthiness of those banks and non-bank dealers with which the respective Portfolios may enter into repurchase agreements are monitored in accordance with guidelines adopted by the Board, as is the market value of the securities underlying any repurchase agreement to ensure that the repurchase obligation of the seller is collateralized by an amount at least equal to the repurchase price including accrued interest. All repurchase agreements are fully collateralized by U.S. Treasury and U.S. Government securities. E. TBA Purchase Commitments. The Portfolio may enter into "TBA" (to be announced) purchase commitments to purchase securities for a fixed price at a future date, typically not exceeding 45 days. TBA purchase commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which risk is in addition to the risk of decline in the value of a Portfolio's other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under the "Portfolio Valuation" above. F. Allocation of Expenses. Expenses directly attributable to a Portfolio are charged to that Portfolio. Other expenses are allocated proportionately among the Portfolios in relation to the net assets of each Portfolio or by another appropriate method. G. Foreign Exchange Transactions. The books and records of the Portfolios are maintained in U.S. dollars. Non-U.S. denominated amounts are translated into U.S. dollars as follows, with the resultant exchange gains and losses recorded in the Statement of Operations: i) market value of investment securities and other assets and liabilities at the exchange rate on the valuation date, ii) purchases and sales of investment securities, income and expenses at the exchange rate prevailing on the respective date of such transactions. 108 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements (continued) -- June 30, 2002 Dividends and interest from non-U.S. sources received by a Portfolio are generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties, and each Portfolio intends to undertake any procedural steps required to claim the benefits of such treaties. If the value of more than 50% of a Portfolio's total assets at the close of any taxable year consists of stock or securities of non-U.S. corporations, the Portfolio is permitted and may elect to treat any non-U.S. taxes paid by it as paid by its shareholders. H. Use of Estimates. Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Actual results could vary from those estimates. I. Transfers In-Kind. During the fiscal year, shareholders of the Value Portfolio and Growth Portfolio transferred cash and securities in exchange for fund shares. The securities contributed were subject to a taxable event prior to the in-kind transfers to the Portfolios and had the same market value and cost basis as of the date of transfer. Accordingly, for purposes of generally accepted accounting principles, the book cost of any securities transferred in-kind to the Portfolios were equal to the market value of such securities on their date of contribution to the Portfolios resulting in no difference between book cost and tax cost. During the fiscal year the Fixed Income Portfolio and the Fixed Income II Portfolio redeemed fund shares by transferring securities to the shareholders. Gains/(Losses) resulting from such in-kind redemption, included in the realized gains/(losses) on the Statement of Operations, were as follows: Fixed Income Portfolio... $ 519,836 Fixed Income II Portfolio $(216,466)
J. Implementation of New Accounting Standards. On July 1, 2001, the Portfolios implemented the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies (the "Guide"), as required for fiscal years beginning after December 15, 2000. Prior to July 1, 2001, the Portfolio recorded paydown gains and losses on mortgage- and asset-backed securities as realized gains and losses, not as adjustments to interest income. The implementation of the accounting changes had no impact on total net assets of the Portfolio or the Portfolio's net asset value, but resulted in a decrease in interest income and a corresponding increase in realized gains for the following Portfolios. The statements of changes in net assets and financial highlights for prior periods have not been restated to reflect this change.
Portfolio Interest Income Realized Gains --------- --------------- -------------- Fixed Income Portfolio... $ (86,148) $ 86,148 Fixed Income II Portfolio (830,702) 830,702
3. INVESTMENT ADVISORY, CONSULTING AND ADMINISTRATIVE CONTRACTS. The Trust has entered into investment advisory contracts ("Portfolio Management Contracts") on behalf of each of the Portfolios with one or more investment management organizations (each, a "Specialist Manager"). Each Specialist Manager is responsible for providing a continuous program of investment management to, and placing all orders for, purchase and sale of securities and other instruments on behalf of the Portfolio(s) it serves. Each Specialist Manager earns a fee, accrued daily and paid monthly, based on average net assets of that portion of the portfolio managed. For the year ended June 30, 2002, the Value Portfolio paid the following investment advisory fees:
Amount Specialist Manager Earned Fee ------------------ -------- ----- SSgA Funds Management, Inc. $ 52,216 0.04% Institutional Capital Corp. 598,348 0.35% -------- ----- $650,564 0.22% ======== =====
109 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements (continued) -- June 30, 2002 For the year ended June 30, 2002, the Growth Portfolio paid the following investment advisory fees:
Amount Specialist Manager Earned Fee ------------------ -------- ----- Jennison Associates LLC.... $663,925 0.30% SSgA Funds Management, Inc. 55,531 0.04% -------- ----- $719,456 0.20% ======== =====
For the year ended June 30, 2002, the Small Cap Portfolio paid the following investment advisory fees:
Amount Specialist Manager Earned Fee ------------------ ---------- ----- Frontier Capital Management Co.......... $ 735,435 0.45% Geewax, Terker & Co...... 234,668 0.30% Sterling Johnston Capital Management, Inc........ 298,473 0.40%* ---------- ----- $1,268,576 0.40% ========== =====
For the year ended June 30, 2002, the International Portfolio paid the following investment advisory fees:
Amount Specialist Manager Earned Fee ------------------ ---------- ----- Artisan Partners.......... $ 845,346 0.40%** Capital Guardian Trust Co. 688,661 0.36%*** ---------- ----- $1,534,007 0.38% ========== =====
For the year ended June 30, 2002, the following Portfolios paid investment advisory fees to Deutsche Asset Management, Inc.:
Amount Portfolio Earned Fee --------- -------- ------ Fixed Income.......... $349,332 0.255% Intermediate Municipal $580,816 0.255%
For the year ended June 30, 2002, the Fixed Income II Portfolio paid the following investment advisory fees:
Amount Specialist Manager Earned Fee ------------------ -------- ------ Morgan Stanley Investments LP $442,062 0.275%(a) BlackRock Advisors, Inc...... 54,955 0.250%(b) For the period 1/29/02 to 6/30/02 -------- $497,017 ========
For the year ended June 30, 2002, the following Portfolio paid investment advisory fees to Morgan Stanley Investments, LP, formerly Miller Anderson & Sherrerd, LLP: High Yield $563,555 0.375%
110 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements (continued) -- June 30, 2002 -------- (a) Tiered fee of 0.275% on first $200 million of the average daily net assets; 0.250% on the next $200 million of such assets; and 0.200% of such assets over $400 million. (b) Tiered fee of 0.250% on the first $100 million of the average daily net assets; 0.200% of such assets over $100 million. * Currently, Sterling Johnston Capital Management, Inc. ("Sterling Johnston") receives a base fee at annual rate of 0.40% (or 40 basis points) of the daily average net assets. After the initial one-year period beginning December 1, 2001, Sterling Johnston's fee payment will be subject to an adjustment upwards or downwards to the base fee depending upon on the investment results achieved by it. The performance fee arrangement could, under certain circumstances, increase or decrease the fee paid to Sterling Johnston, when compared to a fixed fee arrangement and could result in the payment of incentive compensation during periods of declining markets. ** Currently, Artisan Partners, LP ("Artisan") receives a base fee at annual rate of 0.40% (or 40 basis points) of the daily average net assets. After the initial one-year period from October 1, 2001, Artisan's fee payment will be subject to an adjustment upwards or downwards to the base fee depending upon the investment results achieved by it. The performance fee arrangement could, under certain circumstances, increase or decrease the fee paid to Artisan, when compared to a fixed fee arrangement and could result in the payment of incentive compensation during periods of declining markets. *** Under the Portfolio Management Contract between Capital Guardian Trust Co. ("CapGuardian"), CapGuardian is entitled to receive a fee which is calculated from a base fee of 0.40%, subject to adjustment upwards or downwards depending on the investment results achieved by CapGuardian. CapGuardian's fee payment reflects a 10% reduction applied to the base fee due to investment results achieved by CapGuardian. Pursuant to a consulting agreement between the Trust and Hirtle Callaghan & Company, Inc. ("HCCI"), HCCI is paid a fee calculated and accrued daily and paid monthly at annual rates of 0.05% of average net assets per Portfolio. HCCI makes its officers available to serve as officers and/or Trustees of the Trust, provides office space sufficient for the Trust's principal office, and monitors the performance of various investment management organizations, including the Investment Managers. HCCI does not have investment discretion with respect to Trust assets but is an investment adviser to the Trust for purposes of the 1940 Act. BISYS Fund Services ("BISYS") is responsible for providing the Portfolios with administrative, fund accounting, dividend and capital gains disbursing agent and transfer agency services. BISYS receives compensation for providing administration, fund accounting and transfer agency services at an all inclusive fee ("Omnibus Fee") based on a percentage of each Portfolio's average net assets. The Omnibus fee is accrued daily and payable on a monthly basis. 4. PURCHASE AND SALE TRANSACTIONS. The aggregate amount of purchases and sales of investment securities, other than short-term securities, for the year ended June 30, 2002, were as follows:
Portfolio Purchases Sales --------- -------------- -------------- Value Portfolio......................... $ 264,954,079 $ 194,956,903 Growth Portfolio........................ 334,829,521 202,977,568 Small Cap Portfolio..................... 476,346,398 433,175,097 International Portfolio................. 276,005,252 152,399,792 Fixed Income Portfolio.................. 155,512,972 198,974,365 Intermediate Municipal Portfolio........ 110,305,102 60,567,425 Fixed Income II Portfolio............... 1,040,783,717 1,068,756,439 High Yield Portfolio.................... 89,726,506 66,403,032
111 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements (continued) -- June 30, 2002 5. SHARES OF BENEFICIAL INTEREST. The Trust is authorized to issue unlimited shares of beneficial interest with a par value of $0.001 each. Transactions in shares of the Portfolios for the year ended June 30, 2002, were as follows:
Value Growth Small Cap International Portfolio Portfolio Portfolio Portfolio ---------- ------------ ---------- ------------- Beginning balance........................................... 20,097,090 27,700,440 24,073,925 39,703,839 ---------- ---------- ---------- ---------- Shares issued............................................... 9,216,640 17,656,764 8,095,429 20,184,384 Shares issued in exchange for securities transferred in-kind................................................... 511,617 1,061,905 -- -- Shares issued in reinvestment of dividends and distributions............................................. 367,375 111,745 20,024 643,713 Shares redeemed............................................. (4,059,243) (4,681,877) (3,821,735) (5,442,483) ---------- ---------- ---------- ---------- Net increase in shares...................................... 6,036,389 14,148,537 4,293,718 15,385,614 ---------- ---------- ---------- ---------- Ending balance.............................................. 26,133,479 41,848,977 28,367,643 55,089,453 ========== ========== ========== ========== Intermediate Fixed Term Fixed Income Municipal Income II High Yield Portfolio Portfolio Portfolio Portfolio ---------- ------------ ---------- ------------- Beginning balance........................................... 12,934,352 20,432,870 17,743,603 16,456,947 ---------- ---------- ---------- ---------- Shares issued............................................... 4,622,069 8,128,460 8,139,731 6,308,567 Shares issued in reinvestment of dividends and distributions 791,551 908,363 1,368,336 1,559,962 Shares redeemed............................................. (2,836,398) (4,176,977) (2,265,069) (970,352) Shares redeemed in exchange for securities liquidated in-kind................................................... (3,073,876) -- (7,717,446) -- ---------- ---------- ---------- ---------- Net increase/(decrease) in shares........................... (496,654) 4,859,846 (474,448) 6,898,177 ---------- ---------- ---------- ---------- Ending balance.............................................. 12,437,698 25,292,716 17,269,155 23,335,124 ========== ========== ========== ==========
6. DERIVATIVE INSTRUMENTS. Certain of the Portfolios may invest in various financial instruments including positions in forward currency contracts, currency swaps and purchased foreign currency options. A Portfolio enters into such contracts for the purpose of hedging exposure to changes in foreign currency exchange rates on its holdings. A forward currency contract ("forward") is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of the forward fluctuates with changes in currency exchange rates. The forward is marked-to-market daily and the change in market value is recorded by the Portfolio as unrealized appreciation or depreciation. When the forward is closed, the Portfolio records a realized gain or loss equal to the fluctuation in value during the period the forward was open. The Portfolio could be exposed to risk if a counterparty is unable to meet the terms of a forward or if the value of the currency changes unfavorably. Forwards may involve market or credit risk in excess of the amounts reflected on the Portfolio's statement of assets and liabilities. The gain or loss from the difference between the cost of original contracts and the amount realized upon the closing of such contracts is included in net realized gains or losses on foreign currency transactions. Fluctuations in the value of forward contracts held at June 30, 2002 are recorded for financial reporting purposes as net unrealized gains or losses by the Portfolio. 112 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements (continued) -- June 30, 2002 Mortgage Dollar Rolls--The Fixed II Portfolio may enter into mortgage dollar rolls (principally using TBA's) in which the Portfolios sell mortgage securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Portfolios account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. A Portfolio must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that a Portfolio is required to purchase may decline below the agreed upon repurchase price of those securities. In a "fee" roll, the compensation is recorded as deferred income and amortized to income over the roll period. In a "drop" roll, the compensation is paid via a lower price for the security upon its repurchase. The counterparty receives all principal and interest payments, including prepayments, made in respect of a security subject to such a contract while it is the holder. Mortgage dollar rolls may be renewed with a new purchase and repurchase price and a cash settlement made on settlement date without physical delivery of the securities subject to the contract. A Portfolio engages in dollar rolls for the purpose of enhancing its yield, principally by earning a negotiated fee. Certain of the Portfolios may invest in financial futures contracts for the purpose of hedging their existing portfolio securities, or securities that they intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a financial futures contract, a Portfolio is required to pledge to the broker an amount of cash and/or other asset equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as "variation margin" are made or received by a Portfolio each day, depending on the daily fluctuations in the fair market value of the underlying security. A Portfolio recognizes a gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of an imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets. 7. FEDERAL INCOME TAXES. It is the policy of each Portfolio to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes. 113 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements (continued) -- June 30, 2002 The tax characteristics of distributions paid during the fiscal years ended June 30, 2002 and 2001 were as follows:
Distributions paid from ------------------------- Ordinary Net Long Term Total Taxable Tax Return Total Distributions 2002 Income Gains Distributions of Capital Paid ---- ----------- ------------- ------------- ---------- ------------------- Value Portfolio.............................. $ 4,180,030 $ 832,940 $ 5,012,970 -- $ 5,012,970* Growth Portfolio............................. 1,362,606 -- 1,362,606 -- 1,362,606* Small Cap Portfolio.......................... 286,039 -- 286,039 -- 286,039* International Portfolio...................... 6,024,634 -- 6,024,634 -- 6,024,634* Fixed Income Portfolio/1/.................... 8,105,774 211,187 8,316,961 -- 8,316,961* Intermediate Municipal Portfolio............. 218,189 -- 218,189 -- 218,189* Fixed Income II Portfolio.................... 16,599,487 -- 16,599,487 -- 16,599,487* High Yield Portfolio......................... 13,510,041 -- 13,510,041 -- 13,510,041* 2001 ---- Value Portfolio.............................. $ 3,326,334 $ 5,301,844 $ 8,628,178 -- $ 8,628,178* Growth Portfolio............................. 4,591,361 35,302,645 39,894,006 $13,071 39,907,077* Small Cap Portfolio.......................... 583,823 26,356,450 26,940,273 42,034 26,982,307* International Portfolio...................... 21,884,662 25,511,866 47,396,528 -- 47,396,528* Fixed Income Portfolio....................... 8,496,186 -- 8,496,186 -- 8,496,186* Intermediate Municipal Portfolio............. 471,236 -- 471,236 -- 471,236* Fixed Income II Portfolio.................... 8,575,439 -- 8,575,439 -- 8,575,439* High Yield Portfolio......................... 9,645,150 -- 9,645,150 -- 9,645,150*
-------- /1 /The following Funds' net long term capital gains designated for federal income tax purposes was $485,222 and differs from the amounts above due to utilization of earnings and profits distributed to shareholders on redemption of shares. * Total distributions paid differ from the Statement of Changes in Net Assets because for tax purposes dividends are recognized when actually paid. During the fiscal years ended June 30, 2002 and 2001, the following Portfolio paid tax-exempt income distributions as follows (Unaudited):
Portfolio Amount --------- ---------- Intermediate Municipal Portfolio (2002) $9,940,882 Intermediate Municipal Portfolio (2001) $9,833,340
114 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements (continued) -- June 30, 2002 As of June 30, 2002 the components of accumulated earnings/(deficit) on a tax basis was as follows:
Undistributed Undistributed Accumulated Ordinary Long Term Capital and Unrealized Total Income/ Tax Capital Accumulated Dividends Other Appreciation/ Accumulated Portfolio Exempt Income Gains (Losses) Earnings Payable Losses** (Depreciation)*** Earnings/(Deficit) --------- ------------- -------------- ----------- --------- ------------ ----------------- ------------------ Value Portfolio........ $ 98,271 -- $ 98,271 -- $ (2,322,648) $ (9,741,569) $ (11,965,946) Growth Portfolio....... 78,666 -- 78,666 -- (96,402,916) (40,254,521) (136,578,771) Small Cap Portfolio.... 29,845 -- 29,845 -- (11,321,633) 8,184,338 (3,107,450) International Portfolio 173,395 -- 173,395 -- (61,419,988) (42,221,512) (103,468,105) Fixed Income Portfolio. 605,219 $157,635 762,854 $(557,781) -- 3,384,966 3,590,039 Intermediate Municipal Portfolio............. 1,010,253 -- 1,010,253 (882,260) (978,573) 8,203,199 7,352,619 Fixed Income II Portfolio............. 1,923,798 474,739 2,398,537 (876,116) -- 337,653 1,860,074 High Yield Portfolio... 846,222 -- 846,222 -- (3,914,843) (45,910,925) (48,979,546)
-------- ** As of June 30, 2002, the following Portfolios had net capital loss carryforwards and deferred post-October losses, which are available to offset future realized gains. As of June 30, 2002 the following Portfolios had net capital loss carryforwards to offset future capital gains, if any, to the extent provided by the Treasury regulations:
Portfolio Amount Expires --------- ----------- ------- Value Portfolio...................... $ 776,588 2010 Growth Portfolio..................... 55,527,336 2010 Small Cap Portfolio.................. 11,321,633 2010 International Portfolio.............. 4,616,189 2009 International Portfolio.............. 36,850,381 2010 Intermediate Municipal Bond Portfolio 978,573 2009 High Yield Portfolio................. 111,567 2009 High Yield Portfolio................. 932,947 2010
To the extent that these carryforwards are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders. The Fixed Income Portfolio utilized $1,346,263 of net capital loss carryforwards during the fiscal year ended June 30, 2002, to offset capital gains. The Intermediate Municipal Portfolio utilized $985,110 of net capital loss carryforwards during the fiscal year ended June 30, 2002. 115 THE HIRTLE CALLAGHAN TRUST Notes to Financial Statements (continued) -- June 30, 2002 Net capital losses incurred after October 31, within a portfolio's fiscal year are deemed to arise on the first business day of the portfolio's following fiscal year for tax purposes. For the year ended June 30, 2002, the Portfolios deferred post October capital losses of:
Capital Losses -------------- Value Portfolio................. $ 1,546,060 Growth Portfolio................ 40,875,580 Small Cap Portfolio............. -- International Portfolio......... 19,953,418 Fixed Income Portfolio.......... -- Intermediate Municipal Portfolio -- Fixed Income II Portfolio....... -- High Yield Portfolio............ 2,870,329
-------- *** The differences between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to: tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains/losses on certain derivative instruments, the difference between book and tax amortization methods for premium and market discount, the realization for tax purposes of unrealized gains/losses on investments in passive foreign investment companies, and the return of capital adjustments from real estate investment trusts. For corporate shareholders the following percentage of the total ordinary income distributions paid during the fiscal year ended June 30, 2002 qualify for the corporate dividend received deduction for the following Portfolios (unaudited):
Portfolio Percentage --------- ---------- Value Portfolio..... 100.00% Growth Portfolio.... 100.00% Small Cap Portfolio. 100.00% High Yield Portfolio 0.46%
116 THE HIRTLE CALLAGHAN TRUST Financial Highlights For a share outstanding throughout each period
Value Equity Portfolio -------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended June 30, June 30, June 30, June 30, June 30, 2002 2001 2000 1999 1998 -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period................................. $ 13.99 $ 13.20 $ 14.85 $ 15.49 $ 14.41 ======== ======== ======== ======== ======== Income from Investment Operations: Net investment income.............................................. 0.18 0.17 0.17 0.22 0.24 Net realized and unrealized gain/(loss) on investments and futures. (1.63) 1.06 (0.92) 0.87 2.87 -------- -------- -------- -------- -------- Total from investment operations.................................. (1.45) 1.23 (0.75) 1.09 3.11 -------- -------- -------- -------- -------- Distributions to Shareholders from: Net investment income.............................................. (0.18) (0.17) (0.17) (0.22) (0.25) Net realized gain on investments and futures....................... (0.04) (0.27) (0.73) (1.51) (1.78) -------- -------- -------- -------- -------- Total distributions to shareholders............................... (0.22) (0.44) (0.90) (1.73) (2.03) -------- -------- -------- -------- -------- Net Asset Value, End of Period....................................... $ 12.32 $ 13.99 $ 13.20 $ 14.85 $ 15.49 ======== ======== ======== ======== ======== Total Return......................................................... (10.42%) 9.43% (5.14%) 9.07% 23.42% Ratios to Average Net Assets/Supplemental Data: Net assets, end of period (in thousands)........................... $322,074 $281,192 $241,803 $216,940 $176,587 Ratio of expenses to average net assets............................ 0.42% 0.53% 0.55% 0.56% 0.52% Ratio of net investment income to average net assets............... 1.42% 1.24% 1.29% 1.64% 1.69% Ratio of expenses to average net assets excluding fee waivers...... 0.42% 0.53% 0.55% 0.56% 0.52%* Portfolio turnover rate............................................ 66.24% 138.97% 128.72% 108.79% 86.45%
-------- * During the period, certain fees were waived or reimbursed. If such fees were not waived or reimbursed, the ratios would have been as indicated. See accompanying notes to financial statements. 117 THE HIRTLE CALLAGHAN TRUST Financial Highlights For a share outstanding throughout each period
Growth Equity Portfolio -------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended June 30, June 30, June 30, June 30, June 30, 2002 2001 2000 1999 1998 -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period................................. $ 11.81 $ 20.63 $ 17.96 $ 15.25 $ 13.67 ======== ======== ======== ======== ======== Income from Investment Operations: Net investment income.............................................. 0.04 0.04 0.08 0.03 0.04 Net realized and unrealized gain/(loss) on investments and futures. (3.03) (6.66) 4.69 3.76 4.37 -------- -------- -------- -------- -------- Total from investment operations.................................. (2.99) (6.62) 4.77 3.79 4.41 -------- -------- -------- -------- -------- Distributions to Shareholders from: Net investment income.............................................. (0.04) (0.04) (0.08) (0.03) (0.06) Net realized gain on investments and futures....................... -- (2.16) (2.02) (1.05) (2.77) -------- -------- -------- -------- -------- Total distributions to shareholders............................... (0.04) (2.20) (2.10) (1.08) (2.83) -------- -------- -------- -------- -------- Net Asset Value, End of Period....................................... $ 8.78 $ 11.81 $ 20.63 $ 17.96 $ 15.25 ======== ======== ======== ======== ======== Total Return......................................................... (25.37%) (33.03%) 27.71% 26.76% 37.00% Ratios to Average Net Assets/Supplemental Data: Net assets, end of period (in thousands)........................... $367,547 $327,097 $361,607 $264,877 $216,129 Ratio of expenses to average net assets............................ 0.40% 0.43% 0.52% 0.53% 0.53% Ratio of net investment income to average net assets............... 0.40% 0.25% 0.47% 0.20% 0.33% Ratio of expenses to average net assets excluding fee waivers...... 0.40% 0.43% 0.52% 0.53% 0.53% * Portfolio turnover rate............................................ 58.55% 95.66% 94.37% 70.61% 95.07%
-------- * During the period, certain fees were waived or reimbursed. If such fees were not waived or reimbursed, the ratios would have been as indicated. See accompanying notes to financial statements. 118 THE HIRTLE CALLAGHAN TRUST Financial Highlights For a share outstanding throughout each period
Small Capitalization Equity Portfolio -------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended June 30, June 30, June 30, June 30, June 30, 2002 2001 2000 1999 1998 -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period............................ $ 12.96 $ 15.29 $ 12.33 $ 13.13 $ 12.95 ======== ======== ======== ======== ======== Income from Investment Operations: Net investment income......................................... 0.01 0.03 0.02 0.04 0.06 Net realized and unrealized gain/(loss) on investments........ (1.54) (0.79) 2.96 0.35 1.54 -------- -------- -------- -------- -------- Total from investment operations............................. (1.53) (0.76) 2.98 0.39 1.60 -------- -------- -------- -------- -------- Distributions to Shareholders from: Net investment income......................................... (0.01) (0.03) (0.02) (0.04) (0.06) Net realized gain on investments.............................. -- (1.54) -- (1.15) (1.36) -------- -------- -------- -------- -------- Total distributions to shareholders.......................... (0.01) (1.57) (0.02) (1.19) (1.42) -------- -------- -------- -------- -------- Net Asset Value, End of Period.................................. $ 11.42 $ 12.96 $ 15.29 $ 12.33 $ 13.13 ======== ======== ======== ======== ======== Total Return.................................................... (11.88%) (3.67%) 24.21% 4.73% 12.66% Ratios to Average Net Assets/Supplemental Data: Net assets, end of period (in thousands)...................... $323,895 $311,949 $279,784 $210,737 $150,527 Ratio of expenses to average net assets....................... 0.60% 0.63% 0.60% 0.62% 0.70% Ratio of net investment income to average net assets.......... 0.10% 0.22% 0.18% 0.39% 0.41% Ratio of expenses to average net assets excluding fee waivers. 0.60% 0.63% 0.60% 0.62% 0.70%* Portfolio turnover rate....................................... 144.98% 134.43% 111.52% 125.52% 103.41%
-------- * During the period, certain fees were waived or reimbursed. If such fees were not waived or reimbursed, the ratios would have been as indicated. See accompanying notes to financial statements. 119 THE HIRTLE CALLAGHAN TRUST Financial Highlights For a share outstanding throughout each period
International Equity Portfolio ----------------------------------------- Year Year Year Year Ended Ended Ended Ended June 30, June 30, June 30, June 30, 2002 2001 2000 1999 -------- -------- -------- -------- Net Asset Value, Beginning of Period.......................................... $ 9.27 $ 15.34 $ 12.85 $ 12.70 ======== ======== ======== ======== Income from Investment Operations: Net investment income....................................................... 0.09 0.10 0.12 0.24 Net realized and unrealized gain/(loss) on investments and foreign currency transactions............................................................... (0.75) (3.71) 2.82 0.39 -------- -------- -------- -------- Total from investment operations........................................... (0.66) (3.61) 2.94 0.63 -------- -------- -------- -------- Distributions to Shareholders from: Net investment income....................................................... (0.11) (0.08) (0.07) (0.21) Net realized gain on investments and foreign currency transactions.......... -- (2.38) (0.38) (0.27) -------- -------- -------- -------- Total distributions to shareholders........................................ (0.11) (2.46) (0.45) (0.48) -------- -------- -------- -------- Net Asset Value, End of Period................................................ $ 8.50 $ 9.27 $ 15.34 $ 12.85 ======== ======== ======== ======== Total Return.................................................................. (7.05%) (24.87%) 23.14% 5.20% Ratios to Average Net Assets/Supplemental Data: Net assets, end of period (in thousands).................................... $475,352 $368,213 $383,572 $256,177 Ratio of expenses to average net assets..................................... 0.64% 0.66% 0.65% 0.69% Ratio of net investment income to average net assets........................ 1.10% 1.02% 0.98% 1.51% Ratio of expenses to average net assets excluding fee waivers............... 0.64% 0.66% 0.65% 0.69% Portfolio turnover rate..................................................... 40.22% 80.80% 144.41% 56.77%
Year Ended June 30, 1998 -------- Net Asset Value, Beginning of Period.......................................... $ 12.84 ======== Income from Investment Operations: Net investment income....................................................... 0.16 Net realized and unrealized gain/(loss) on investments and foreign currency transactions............................................................... 0.49 -------- Total from investment operations........................................... 0.65 -------- Distributions to Shareholders from: Net investment income....................................................... (0.47) Net realized gain on investments and foreign currency transactions.......... (0.32) -------- Total distributions to shareholders........................................ (0.79) -------- Net Asset Value, End of Period................................................ $ 12.70 ======== Total Return.................................................................. 5.91% Ratios to Average Net Assets/Supplemental Data: Net assets, end of period (in thousands).................................... $229,875 Ratio of expenses to average net assets..................................... 0.70% Ratio of net investment income to average net assets........................ 2.00% Ratio of expenses to average net assets excluding fee waivers............... 0.71%* Portfolio turnover rate..................................................... 36.80%
-------- * During the period, certain fees were waived or reimbursed. If such fees were not waived or reimbursed, the ratios would have been as indicated. See accompanying notes to financial statements. 120 THE HIRTLE CALLAGHAN TRUST Financial Highlights For a share outstanding throughout each period
Intermediate Term Fixed Income Portfolio Municipal Bond Portfolio --------------------------------------- --------------------------------------- Year Year Year Period Year Year Year Period Ended Ended Ended Ended Ended Ended Ended Ended June 30, June 30, June 30, June 30, June 30, June 30, June 30, June 30, 2002 2001 2000 1999(a) 2002 2001 2000 1999(a) -------- -------- -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period................................... $ 9.91 $ 9.44 $ 9.64 $ 10.00 $ 9.89 $ 9.56 $ 9.79 $ 10.00 ======== ======== ======== ======== ======== ======== ======== ======== Income from Investment Operations: Net investment income................... 0.60 0.64 0.62 0.58 0.47 0.48 0.46 0.45 Net realized and unrealized gain/(loss) on investments......................... 0.30 0.47 (0.20) (0.28) 0.13 0.33 (0.23) (0.21) -------- -------- -------- -------- -------- -------- -------- -------- Total from investment operations............................ 0.90 1.11 0.42 0.30 0.60 0.81 0.23 0.24 -------- -------- -------- -------- -------- -------- -------- -------- Distributions to Shareholders from: Net investment income................... (0.60) (0.64) (0.62) (0.58) (0.45) (0.48) (0.46) (0.45) Net realized gain on investments........ (0.02) -- -- (0.08) -- -- -- -- -------- -------- -------- -------- -------- -------- -------- -------- Total distributions to shareholders.......................... (0.62) (0.64) (0.62) (0.66) (0.45) (0.48) (0.46) (0.45) -------- -------- -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period............ $ 10.19 $ 9.91 $ 9.44 $ 9.64 $ 10.04 $ 9.89 $ 9.56 $ 9.79 ======== ======== ======== ======== ======== ======== ======== ======== Total Return.............................. 9.11% 12.02% 4.49% 2.88% 6.16% 8.61% 2.45% 2.44% Ratios to Average Net Assets/ Supplemental Data: Net assets, end of period (in thousands)............................. $126,708 $128,137 $130,508 $108,074 $254,032 $202,019 $199,566 $107,105 Ratio of expenses to average net assets................................. 0.44% 0.46% 0.46% 0.50% 0.44% 0.46% 0.46% 0.47% Ratio of net investment income to average net assets..................... 5.80% 6.52% 6.52% 5.78% 4.74% 4.87% 4.84% 4.54% Ratio of expenses to average net assets excluding fee waivers/ reimbursements......................... 0.44% 0.47%* 0.46% 0.50% 0.44% 0.47%* 0.46% 0.54% Portfolio turnover rate................. 118.94% 130.52% 147.65% 146.78% 27.82% 31.02% 51.34% 42.24%
-------- * During the period, certain fees were waived or reimbursed. If such fees were not waived or reimbursed, the ratios would have been as indicated. (a) For the period July 1, 1998 (commencement of operations) through June 30, 1999. See accompanying notes to financial statements. 121 THE HIRTLE CALLAGHAN TRUST Financial Highlights For a share outstanding throughout each period
Fixed Income II High Yield Bond Portfolio Portfolio ------------------ ------------------- Year Period Year Period Ended Ended Ended Ended June 30, June 30, June 30, June 30, 2002 2001(a) 2002 2001(a) -------- -------- -------- -------- Net Asset Value, Beginning of Period........................ $ 10.33 $ 10.00 $ 8.34 $ 10.00 ======== ======== ======== ======== Income from Investment Operations: Net investment income......... 0.65 0.54 0.71 0.80 Net realized and unrealized gain/(loss) on investments, futures and foreign currency transactions................ 0.13 0.33 (1.46) (1.69) -------- -------- -------- -------- Total from investment operations................. 0.78 0.87 (0.75) (0.89) -------- -------- -------- -------- Distributions to Shareholders from: Net investment income......... (0.69) (0.54) (0.69) (0.77) Net realized gain on investments, futures, and foreign currency transactions................ (0.25) -- -- -- -------- -------- -------- -------- Total distributions to shareholders............... (0.94) (0.54) (0.69) (0.77) -------- -------- -------- -------- Net Asset Value, End of Period. $ 10.17 $ 10.33 $ 6.90 $ 8.34 ======== ======== ======== ======== Total Return................... 7.74% 8.83%(c) (9.35%) (9.13%)(c) Ratios to Average Net Assets/Supplemental Data: Net assets, end of period (in thousands).............. $175,449 $183,351 $161,206 $137,248 Ratio of expenses to average net assets.................. 0.47% 0.51%(b) 0.57% 0.61%(b) Ratio of net investment income to average net assets...................... 6.21% 6.87%(b) 9.47% 11.80%(b) Ratio of expenses to average net assets excluding fee waivers/reimbursements...... 0.47% 0.51%(b) 0.57% 0.62%(b)* Portfolio turnover rate....... 475.78% 342.57% 51.06% 33.23%
-------- * During the period certain fees were waived or reimbursed. If such fees were not waived or reimbursed, the ratios would have been as indicated. (a) For the period September 26, 2000 (commencement of operations) through June 30, 2001. (b) Annualized. (c) Not annualized. See accompanying notes to financial statements. 122 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Board of Trustees of the Hirtle Callaghan Trust: In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Value Equity, Growth Equity, Small Capitalization Equity, International Equity, Fixed Income, Intermediate Term Municipal Bond, Fixed Income II and High Yield Bond Portfolios (constituting the Hirtle Callaghan Trust, hereafter referred to as the "Trust") as of June 30, 2002, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2002 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP August 23, 2002 123 THE HIRTLE CALLAGHAN TRUST The International Equity Portfolio elects to pass through to shareholders the income tax credit for taxes paid to foreign countries.
Foreign Source Foreign Taxes Portfolio Income Paid --------- -------------- ------------- International Portfolio $7,445,992 $867,539
The pass through of the credit will only affect those persons who are shareholders of the Portfolio on a dividend record date in calendar year 2002. These shareholders will receive more detailed information along with their 2002 Form 1099-DIV. 8. SPECIAL MEETING OF SHAREHOLDERS (unaudited). On June 28, 2002, a Special Meeting of shareholders of The High Yield Bond Portfolio ("High Yield Portfolio") was held. One proposal was considered at the Special Meeting and actual vote tabulations relating to proposal are as follows: Proposal 1: The approval of the engagement of W.R. Huff Asset Management Co., L.L.C. ("Huff Asset Management") to provide portfolio management services to the High Yield Portfolio pursuant to a portfolio management agreement (the "Agreement") between the Trust and Huff. FOR 20,272,137 (100% of shares present at the Special Meeting) (89.19% of shares outstanding) AGAINST 0 shares or 0.0% ABSTAIN 0 shares or 0.0%
Pursuant to the Agreement, which became effective on July 1, 2002, Huff Asset Management serves as an additional Specialist Manager for the Bond Portfolio, and receives a fee, payable monthly, calculated at an annual rate of .50% of the average daily net assets of the Bond Portfolio managed by it. Other than the fee, the terms of the Agreement are substantively the same as those relating to the High Yield Bond Portfolio between Morgan Stanley Investments LP (formerly Miller Anderson & Sherrerd LP), the other Specialist Manager for the Bond Portfolio, and the Trust. Huff Asset Management is headquartered at 1776 On The Green, 67 Park Place, Morristown, New Jersey 07960 and, as of March 31, 2002, managed total assets of approximately $10.3 billion. Trustees and Officers of The Hirtle Callaghan Trust Officers and Interested Trustees. The table below sets forth certain information about each of the Trust's Interested Trustees, as well as its executive officers.
Number of Term of Portfolios Other Position(s) Office; Term in Fund Directorships Held with Served in Principal Occupation(s) Complex Held by Name, Address, and Age Trust Office During Past 5 Years Overseen Trustee ---------------------- ------------ -------------- ------------------------- ---------- ------------- Donald E. Callaghan*..... Chairman and Indefinite; For more than the past 8 Keystone Five Tower Bridge, President Since: 7/20/95 five years, Mr. Callaghan Property 300 Barr Harbor Drive, has been a Principal of Trust W. Conshohocken, PA 19428 Hirtle Callaghan. Age: 56
-------- * Messrs. Callaghan and Hirtle may each be deemed to be an "interested person," as defined by the 1940 Act, because of their employment with Hirtle, Callaghan & Co., Inc., the overall investment adviser to the Trust. 124
Number of Term of Portfolios Other Position(s) Office; Term in Fund Directorships Held with Served in Principal Occupation(s) Complex Held by Name, Address, and Age Trust Office During Past 5 Years Overseen Trustee ---------------------- --------------- -------------- -------------------------- ---------- ------------- Jonathan J. Hirtle*...... Trustee Indefinite; For more than the past 8 None Five Tower Bridge, Since: 7/20/95 five years, Mr. Hirtle has 300 Barr Harbor Drive, been a Principal of W. Conshohocken, PA 19428 Hirtle Callaghan. Age: 49 Robert J. Zion........... Vice President, Indefinite; Mr. Zion is a Principal of 8 None Five Tower Bridge, Secretary & Since: 7/20/95 Hirtle Callaghan, and 300 Barr Harbor Drive, Treasurer has been employed by W. Conshohocken, PA 19428 that firm for more than Age: 40 the last five years.
-------- * Messrs. Callaghan and Hirtle may each be deemed to be an "interested person," as defined by the 1940 Act, because of their employment with Hirtle, Callaghan & Co., Inc., the overall investment adviser to the Trust. Independent Trustees. The following table sets forth certain information about the Trust's Independent Trustees.
Number of Term of Portfolios Other Position(s) Office; Term in Fund Directorships Held with Served in Principal Occupation(s) Complex Held by Name, Address, and Age Trust and Age Office During Past 5 Years Overseen Trustee ---------------------- ------------- -------------- ------------------------- ---------- ------------- Ross H. Goodman.......... Trustee Indefinite; For more than the past 8 None Five Tower Bridge, Since: 7/20/95 five years, Mr. Goodman 300 Barr Harbor Drive, has been Vice President W. Conshohocken, PA 19428 of American Industrial Age: 54 Management & Sales, Northeast, Inc. or its predecessors (manufacturing representative). Jarrett Burt Kling....... Trustee Indefinite; For more than the past 8 None Five Tower Bridge, Since: 7/20/95 five years, Mr. Kling has 300 Barr Harbor Drive, been associated with W. Conshohocken, PA 19428 CRA Real Estate Age: 59 Securities, L.P., a registered investment adviser and indirect, wholly owned subsidiary of ING Group. R. Richard Williams...... Trustee Indefinite; President, Seaboard 8 None Five Tower Bridge, Since: 7/15/99 Advisors, Inc. 300 Barr Harbor Drive, (consulting). Prior to W. Conshohocken, PA 19428 2000, Mr. Williams Age: 57 served as Chief Executive Officer and President of Valquip Corporation (flow control distribution). Richard W. Wortham, III.. Trustee Indefinite; For more than the past 8 None Five Tower Bridge, Since: 7/20/95 five years, Mr. Wortham 300 Barr Harbor Drive, has been President of W. Conshohocken, PA 19428 Video Rental of Age: 64 Pennsylvania, Inc. and its parent, Houston VMC, Inc.
The Statement of Additional Information ("SAI") includes additional information about the Trust's directors and officers. To obtain a copy of the SAI, without charge, call (800) 242-9596. 125 [THIS PAGE INTENTIONALLY LEFT BLANK] THE HIRTLE CALLAGHAN TRUST Trustees DONALD E. CALLAGHAN* JONATHAN J. HIRTLE* ROSS H. GOODMAN JARRETT B. KLING RICHARD W. WORTHAM III R. RICHARD WILLIAMS * "Interested Person" as that term is defined in the Investment Company Act of 1940. --------------------------------------------------------------------------------
Sponsor Counsel ------- ------- Hirtle Callaghan & Co., Inc. Drinker Biddle & Reath LLP Five Tower Bridge One Logan Square--18th & Cherry Streets 300 Barr Harbor Drive, Suite 500 Philadelphia, Pennsylvania 19103-6996 West Conshohocken, Pennsylvania 19428 Administrator and Distributor Independent Accountants ----------------------------- ----------------------- BISYS Fund Services PricewaterhouseCoopers LLP 3435 Stelzer Road Two Commerce Square, Suite 1700 Columbus, Ohio 43219 2001 Market Street Philadelphia, Pennsylvania 19103-7042 Custodian --------- Deutsche Bank 16 Wall Street New York, New York 10005
This report is for the information of the shareholders of The Hirtle Callaghan Trust. Its use in connection with any offering of the Trust's shares is authorized only in case of a concurrent or prior delivery of the Trust's current prospectus. 8/02