<PAGE> 1
KEMPER
HORIZON FUND
ANNUAL REPORT TO SHAREHOLDERS
FOR THE PERIOD ENDED JULY 31, 1996
KEMPER HORIZON 20+
PORTFOLIO
KEMPER HORIZON 10+
PORTFOLIO
KEMPER HORIZON 5
PORTFOLIO
" . . . When volatility could have been
enough to cause stock market investors to head for
the doors, the performance of Kemper Horizon Fund was
much less volatile . . ."
[KEMPER MUTUAL FUNDS LOGO]
<PAGE> 2
CONTENTS
3
Economic Overview
5
Performance Update
11
Portfolio Statistics
12
Portfolio of
Investments
27
Report of
Independent Auditors
28
Financial Statements
30
Notes to
Financial Statements
36
Financial Highlights
At a Glance
KEMPER HORIZON FUND TOTAL RETURNS*
For the seven-month period ended July 31, 1996 (unadjusted for any sales charge)
<TABLE>
<CAPTION>
CLASS A CLASS B CLASS C
- -------------------------------------------------------
<S> <C> <C> <C>
KEMPER HORIZON
20+ PORTFOLIO 2.32% 1.58% 1.79%
- -------------------------------------------------------
KEMPER HORIZON
10+ PORTFOLIO 1.70% 1.38% 1.39%
- -------------------------------------------------------
KEMPER HORIZON 5
PORTFOLIO 1.84% 1.44% 1.45%
- -------------------------------------------------------
</TABLE>
Returns are historical and do not represent future performance. Returns and net
asset value fluctuate. Shares are redeemable at current net asset value, which
may be more or less than original cost.
* Total return measures net investment income and capital gain or loss from
portfolio investments, assuming reinvestment of all dividends. During the period
noted, securities prices fluctuated. For additional information, see the
Prospectus and Statement of Additional Information and the Financial Highlights
at the end of this report.
<TABLE>
<CAPTION>
NET ASSET VALUE
AS OF AS OF
7/31/96 12/29/95
- -------------------------------------------------
<S> <C> <C>
KEMPER HORIZON 20+ PORTFOLIO
CLASS A $9.72 $ 9.50
- -------------------------------------------------
KEMPER HORIZON 20+ PORTFOLIO
CLASS B $9.65 $ 9.50
- -------------------------------------------------
KEMPER HORIZON 20+ PORTFOLIO
CLASS C $9.67 $ 9.50
- -------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO
CLASS A $9.60 $ 9.50
- -------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO
CLASS B $9.60 $ 9.50
- -------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO
CLASS C $9.60 $ 9.50
- -------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO
CLASS A $9.57 $ 9.50
- -------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO
CLASS B $9.57 $ 9.50
- -------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO
CLASS C $9.57 $ 9.50
- -------------------------------------------------
</TABLE>
TERMS TO KNOW
MARKET CAPITALIZATION Capitalization is a measure of the size of a publicly
traded company, as determined by multiplying the current market price by the
number of shares outstanding. The market value of a company has bearing on its
perceived earnings potential and risk. Small cap companies (less than $1
billion) may present the potential for greater growth than larger, more
established companies. On the other hand, the stock of small cap companies may
be expected to be more volatile.
MARKET CORRECTION A reverse movement, usually downward, in the price of the
overall market. Corrections are to be expected over a long term.
TOTAL RETURN A fund's total return figure measures both the net investment
income and any realized and unrealized appreciation or depreciation of the
underlying investments in its portfolio for the period. Total return assumes the
reinvestment of all dividends and it represents the aggregate percentage or
dollar value change over the period.
VOLATILITY The range that the stock and bond market covers in a given time
period -- the difference between its high and low is a measure of its volatility
during that period.
<PAGE> 3
ECONOMIC OVERVIEW
[TIMBERS PHOTO]
STEPHEN B. TIMBERS IS PRESIDENT, CHIEF INVESTMENT AND EXECUTIVE OFFICER OF
ZURICH KEMPER INVESTMENTS, INC. (ZKI). ZKI AND ITS AFFILIATES MANAGE
APPROXIMATELY $78 BILLION IN ASSETS, INCLUDING $45 BILLION IN RETAIL
MUTUAL FUNDS. TIMBERS IS A GRADUATE OF YALE UNIVERSITY AND HOLDS AN M.B.A. FROM
HARVARD UNIVERSITY.
DEAR SHAREHOLDER,
We have just completed a period of some discomfort for bond and stock market
participants. Concerns about rising interest rates, the possibility of higher
price inflation and Federal Reserve tightening of credit contributed to
considerable market volatility. But while the professional traders tend to fret
over every economic release, individuals who invest in mutual funds for the long
term were wise to stay the course -- at least until the direction of the economy
became clearer. Indeed, several recent economic measures are quite reassuring
and argue in favor of a continued healthy economy with low inflation.
The economy expanded at a 4.2% annual rate in the second quarter, the fastest
pace since the second quarter of 1994. This robust growth is welcome in general
but has tended to roil markets, which fear strong growth will lead to
overheating and inflationary pressures. So far, however, such fears have been
largely unwarranted. With the exception of food prices, whose increases were
weather-related, there have been no significant signs of inflationary pressures.
As it has so often recently, the economy is in the process of slowing itself
down. While the Federal Reserve Board stands by ready to attempt to moderate
- --------------------------------------------------------------------------------
ECONOMIC GUIDEPOSTS
- --------------------------------------------------------------------------------
Economic activity is a key influence on investment performance and shareholder
decision-making. Periods of recession or boom, inflation or deflation, credit
expansion or credit crunch have a significant impact on mutual fund
performance.
The following are some significant economic guideposts and their
investment rationale that may help your investment decision-making. The 10-year
Treasury rate and the prime rate are prevailing interest rates. The other data
report year-to-year percentage changes.
[BAR GRAPH]
<TABLE>
<CAPTION>
Now (7/31/96) 6 months ago 1 year ago 2 years ago
<S> <C> <C> <C> <C>
10-year Treasury rate(1) 6.87 5.81 6.49 7.24
Prime rate(2) 8.25 8.25 8.75 7.51
Inflation rate(3) 2.95 2.72 2.62 2.9
The U.S. dollar(4) 8.35 0.82 -4.11 -2.61
Capital goods orders(5) 14.85 11.93 8.23 18.61
Industrial production(5) 3.87 2.04 3.17 6.74
Employment growth(6) 2.17 1.78 2.43 3.33
</TABLE>
(1) Falling interest rates in recent years have been a big plus for financial
assets.
(2) The interest rate that commercial lenders charge their best borrowers.
(3) Inflation reduces an investor's real return. In the last five years,
inflation has been as high as 6%. The low, moderate inflation of the last
few years has meant high real returns.
(4) Changes in the exchange value of the dollar impact U.S. exporters and the
value of U.S. firms' foreign profits.
(5) These influence corporate profits and equity performance.
(6) An influence on family income and retail sales.
SOURCE: ECONOMICS DEPARTMENT, ZURICH KEMPER INVESTMENTS, INC.
3
<PAGE> 4
ECONOMIC OVERVIEW
economic growth with either interest rate cuts or increases, such intervention
can run the risk of going too far in one direction. It appears that our economy
today is self-regulating.
Based on these snapshots of the economy, then, we look for a relatively calmer
second half of 1996. Our forecast calls for growth to slow down in the third and
fourth quarters, to result in an advance of about 2.5% for the entire year.
Assuming that bond and stock market investors concur that there is no chance of
an overheating economy or significantly rising interest rates, the markets
should relax, as well.
What was the meaning of the market volatility that we experienced in May, June
and July? Investors were nervous about the broad economy, and some disappointing
earnings reports made them pessimistic. Yet, the markets performed the way that
history suggests they should: an overall correction in the stock market was
accentuated in technology and small capitalization stocks -- the industry
sectors whose performance tends to be the most volatile. Once the stock market
corrected, the bond market rallied. Finally, while not producing spectacular
results, international markets provided a stabilizing influence when compared to
U.S. markets.
Our market forecast eight months into the year is not much different from what
we forecasted in January. The bond market, which is climbing back from a decline
this year, may produce a 2% to 5% total return in 1996. The stock market, after
the correction is completed, may advance 5% to 10% for the year. Naturally,
future market conditions cannot be predicted with assurance.
In addition, we are projecting that long-term (30-year) interest rates will
hover in the 6.5% to 7.5% range. Short-term interest rates may drop below their
current levels. Finally, we would be surprised if the Federal Reserve Board
moved to adjust interest rates more than 25 basis points either way for the
remainder of the year.
Given the economic environment, we do not look for an upset in the upcoming
presidential election. Much more interesting will be which party wins the most
congressional seats. If the Democrats regain control of Congress, a bond market
sell-off could occur.
While U.S. markets are expected to provide modest returns, we continue to
advocate the benefits of diversification into alternate markets. Many overseas
markets are forecasted to grow at a rate well above our 2.5% growth expectation
for the U.S., and there are many equity and fixed-income opportunities abroad.
The value of the U.S. dollar, always a concern to international investors, will
probably not strengthen much against other currencies for the foreseeable
future.
With that as an economic backdrop, we encourage you to read the following
detailed report of your fund, including an interview with your fund's portfolio
management. Thank you for your continued support. We appreciate the opportunity
to serve your investment needs.
Sincerely,
/s/ Stephen B. Timbers
Stephen B. Timbers
PRESIDENT, CHIEF INVESTMENT AND EXECUTIVE OFFICER
Zurich Kemper Investments, Inc.
August 26, 1996
4
<PAGE> 5
PERFORMANCE UPDATE
[REGNER PHOTO]
THOMAS M. REGNER JOINED ZURICH KEMPER INVESTMENTS, INC. IN 1994 AND IS A SENIOR
VICE PRESIDENT AND CHIEF EQUITY PORTFOLIO STRATEGIST. IN ADDITION, HE IS THE
PORTFOLIO MANAGER OF KEMPER HORIZON FUND. WITH OVER 20 YEARS OF EXPERIENCE IN
THE EQUITY MARKETS, REGNER RECEIVED BOTH HIS BACHELOR'S AND MASTERS DEGREES FROM
THE UNIVERSITY OF WISCONSIN AND IS A CHARTERED FINANCIAL ANALYST.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO MANAGER ONLY
THROUGH THE END OF THE PERIOD OF THE REPORT, AS STATED ON THE COVER. THE
MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME, BASED
ON MARKET AND OTHER CONDITIONS.
THE FIRST ANNUAL REPORT OF KEMPER HORIZON FUND REPORTS ON A SEVEN-MONTH PERIOD
OF STOCK AND BOND MARKET VOLATILITY REFLECTING INVESTOR UNCERTAINTY ABOUT THE
HEALTH OF THE ECONOMY AND THE DIRECTION OF INTEREST RATES. PORTFOLIO MANAGER
THOMAS M. REGNER EXPLAINS HOW THE FUND ATTEMPTED TO DAMPEN THE EFFECT OF MARKET
VOLATILITY ON SHAREHOLDERS.
Q. TOM, BEFORE WE ASK YOU TO REVIEW THE SPECIFICS OF KEMPER HORIZON FUND,
WOULD YOU PROVIDE A QUICK REVIEW OF THE INVESTMENT CLIMATE OVER THE LAST SIX
MONTHS?
A. Sure. Since Kemper Horizon Fund portfolios have exposure to both the
fixed-income and the equity markets, we'll review both.
Rising interest rates and the prospect of a rate hike by the Federal
Reserve Board preoccupied bond investors for much of the year and contributed to
significant volatility. Volatility also made a big comeback in the U.S. stock
market this year. In the last several years, equity investors were subjected to
much less volatility than is typical -- and that changed in 1996. The year got
off to a strong start in January, hit a few rough months and then surged in May.
July, the last month in this reporting period for Kemper Horizon Fund, was the
worst July for the Standard & Poor's 500 Stock Index (S&P) in 10 years. However,
even though the S&P was down 4.57% for the month, Kemper Horizon portfolios
outperformed the market -- Class A shares of Kemper Horizon 20+ Portfolio
slipped 3.86%, Kemper Horizon 10+ Portfolio slipped 2.83% and Kemper Horizon 5
Portfolio slipped 1.85% (total return, unadjusted for sales charge).
Q. IN OTHER WORDS, IT'S BEEN AN INTERESTING TIME TO BE BUILDING PORTFOLIOS.
WOULD YOU ELABORATE ON WHAT'S BEEN DONE WITH THE FUND SINCE YOU LAST REPORTED TO
SHAREHOLDERS?
A. As you know, one of the fund's goals is to seek relative consistency of
returns by controlling risk. Our asset growth in the last six months has enabled
us to diversify across several asset classes, which is the best way we know of
to help reduce risk.
Exactly how much is allocated to stocks and how much to bonds depends upon
each portfolio's investment objective (SEE PAGE 11 FOR THE ASSET BREAKDOWN FOR
EACH PORTFOLIO). But within the broad stocks and bonds categories, there are
specific asset classes that can help provide the diversification needed to
produce greater performance consistency. We've been building our exposure to
those asset classes.
For the bond portfolio, we've invested in triple A bonds (the highest quality)
with extremely short maturities. As of July 31, 1996, the average maturity of
the bond portfolio of Kemper Horizon 20+ was 2.42 years, 2.29 years for Kemper
Horizon 10+ and 2.38 years for Kemper Horizon 5. When you're investing in a
fixed-income instrument like a bond, short maturities are the
5
<PAGE> 6
PERFORMANCE UPDATE
KEMPER HORIZON FUND SHAREHOLDERS EXPERIENCED LESS VOLATILITY
FOR THE SEVEN-MONTH PERIOD ENDED JULY 31, 1996, THERE WERE SEVEN DAYS WHEN THE
STANDARD & POOR'S 500 FELL MORE THAN 1%. THE FOLLOWING COMPARES HOW KEMPER
HORIZON FUND PORTFOLIOS PERFORMED ON THOSE SAME DAYS.
<TABLE>
<CAPTION>
DATE AND THE DECLINE
THAT DAY OF THE STANDARD DECLINE ON THE SAME DAY DECLINE ON THE SAME DAY DECLINE ON THE SAME DAY
& POOR'S 500 OF KEMPER HORIZON 20+ OF KEMPER HORIZON 10+ OF KEMPER HORIZON 5
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MARCH 8, 1996
S&P DROPS 3.08% 2.09% 1.82% 1.53%
---------------------------------------------------------------------------------------------------------
APRIL 8, 1996
S&P DROPS 1.77% 0.99% 0.71% 0.62%
---------------------------------------------------------------------------------------------------------
APRIL 10, 1996
S&P DROPS 1.35% 0.80% 0.61% 0.41%
---------------------------------------------------------------------------------------------------------
MAY 2, 1996
S&P DROPS 1.71% 0.78% 0.60% 0.61%
---------------------------------------------------------------------------------------------------------
JULY 5, 1996
S&P DROPS 2.22% 1.29% 1.21% 0.92%
---------------------------------------------------------------------------------------------------------
JULY 11, 1996
S&P DROPS 1.58% 1.20% 0.82% 0.52%
---------------------------------------------------------------------------------------------------------
JULY 15, 1996
S&P DROPS 2.25% 1.74% 1.35% 0.94%
---------------------------------------------------------------------------------------------------------
</TABLE>
This table reflects historical information on specific days in accordance with
the above assumptions and is not representative of future results or of
results on other days during the period. Due to the relatively short life of
Kemper Horizon Fund, the table does not reflect results over a full market
cycle or the relative potential for appreciation of the fund versus the
market. Typically, lower risk implies lower return potential.
best protection against rising interest rates, and they made the most sense for
the fund this year. In fact, the bond portfolio performed as we would have
expected -- the bonds we held provided consistent income and relatively low
volatility.
For the equity portfolio, we were busy accumulating positions in the
various asset classes. At the end of July, there were close to 250 stocks in
each of the equity portfolios. The stocks we've purchased represent a mix of
equities -- large and small capitalizations stocks in both value and growth
sectors in the U.S. market as well as large capitalization stocks in
international markets whose prospects we like because of either their growth
potential or valuations.
Q. HOW SATISFIED ARE YOU WITH THE PROGRESS MADE IN THE FUND'S FIRST SEVEN
MONTHS?
A. The ready measure of the fund's progress is to compare its return against
two market indices: The Standard & Poor's 500 Stock Index* is the benchmark for
the performance of the equity portion of the portfolio and the Lehman Brothers
Government/Corporate Bond Index** is the benchmark for the bond portion. For
the seven months ended July 31, 1996, the S&P gained 5.23% while the Lehman
Brothers index declined 1.65%. By comparison, the total return (unadjusted for
sales charge) for Class A shares of Kemper Horizon 20+ Portfolio (with its mix
of 79% equities, 20% U.S. Treasuries and 1% cash and equivalents) was 2.32%.
The total return of Kemper Horizon 10+ Portfolio (with its mix of 60% equities,
39% U.S. Treasuries and 1% cash and equivalents) was 1.70%. The total return of
Kemper Horizon 5 Portfolio (with its mix of 40% equities, 57% U.S. Treasuries
and 3% cash and equivalents) was 1.84%.
Remember that the fund strives to achieve two goals: risk reduction as
well as return enhancement. The history of stock market performance suggests
that solid returns are possible for those who can remain invested for the long
term. What we are trying to do with Kemper Horizon Fund is structure an
investment that shareholders can be
* The Standard & Poor's 500 Stock Index is an unmanaged index generally
representative of the U.S. stock market. Source is Towers Data Systems.
** The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprised of intermediate and long-term government and investment grade
corporate debt securities. Source is Towers Data Systems.
6
<PAGE> 7
PERFORMANCE UPDATE
comfortable enough to hold on to for however long their investment horizon is.
Volatility is what causes investors to leave investments capable of performing
well over the long term. Our strategy is to manage a fund that can take the
shock out of the market volatility -- thereby giving investors the comfort they
need to "sit still" and the opportunity to accumulate wealth.
So, another way to measure the fund's progress this year is to review its
volatility. On the days this year when stock market volatility could have been
enough to cause investors to head for the doors, the performance of Kemper
Horizon Fund was much less volatile (PLEASE SEE TABLE ON PRIOR PAGE). This is a
result of the combination of our bond portfolio and our broad asset allocation
across both U.S. and international stock markets, as well as of the performance
of the individual equities that we selected to make up each asset class. We're
pleased with this performance.
Q. LET'S TALK SPECIFICALLY ABOUT INDIVIDUAL EQUITIES IN THE FUND -- WHICH HAVE
PERFORMED WELL AND WHICH HAVEN'T?
A. We've had a greater conviction in financial and technology stocks, which
explains part of the difference between the return of the fund and the
performance of the Standard & Poor's 500. Our financial stocks (including
NationsBank and the Federal National Mortgage Association) contributed to
performance while our technology stocks had a mixed performance. Intel, Compaq
and other PC manufacturers continued to move ahead while companies that supply
semiconductor manufacturing equipment (Lam Research and Novellus Systems Inc.,
for example) had a poor year to date. Other performance leaders include
Bulgari Spa in Italy and Canadian National Railways.
Q. WHAT CAN YOU TELL US ABOUT THE FUND'S INTERNATIONAL EXPOSURE?
A. At the end of July, 30 percent of the stock portions of the portfolios were
invested in international securities. We believe in the potential of
international markets -- and more than half of our international holdings are
European -- because many economies are just now beginning to experience
accelerating growth. Unlike in the United States today, consumers are not yet
stretched and we expect them to drive economic recoveries in many countries. As
you'll note in the Portfolio of Investments, we especially like companies in the
Netherlands, Spain, France and Japan.
In general, individual positions in foreign equities tend to be larger than
the average position we'll hold in a domestic stock. That's a function of
needing to maintain adequate liquidity in international markets and not
necessarily a reflection of a greater conviction in the companies themselves.
With 250 stocks in portfolios of our size, few positions can be larger than 1%.
Q. WHAT'S YOUR OUTLOOK FOR THE REST OF THE YEAR AND INTO 1997?
A. We're looking for continued volatility in the U.S. market and for a
continued slowdown in corporate earnings. In response, we expect investors to
gravitate to stocks of companies that are believed to be capable of increasing
their profits at a higher rate than that of the overall market. Companies whose
earnings growth depends on growth in the overall economy are likely to have a
more difficult time. Given the modest opportunities likely to be available in
the U.S., more investors should be looking abroad for superior return potential.
The U.S. and international markets tend to perform countercyclically, and we
believe that international markets are due to catch up.
If the Federal Reserve Board moves to raise interest rates, as many believe
is likely before the end of the year, we could see a correction in the market.
Remember, though, that a correction is not necessarily bad news for investors
who are committed to a long-term investment. A market correction produces
attractive buying opportunities. We don't bite our nails about the market -- we
can't do anything about it. If we bite our nails about anything, it's about the
stocks we select, and our stock selection is what we continually research,
review and strive to improve.
7
<PAGE> 8
PERFORMANCE UPDATE
- -------------------------------------------------------------------------------
KEMPER HORIZON 20+ PORTFOLIO
- -------------------------------------------------------------------------------
TOTAL RETURNS*
- -------------------------------------------------------------------------------
FOR PERIOD ENDED JULY 31, 1996 (ADJUSTED FOR THE MAXIMUM SALES CHARGE)
<TABLE>
<CAPTION>
LIFE OF CLASS
- -------------------------------------------------------------------------------
<S> <C>
KEMPER HORIZON 20+ PORTFOLIO CLASS A -3.57%
- -------------------------------------------------------------------------------
KEMPER HORIZON 20+ PORTFOLIO CLASS B -2.42%
- -------------------------------------------------------------------------------
KEMPER HORIZON 20+ PORTFOLIO CLASS C 0.79%
- -------------------------------------------------------------------------------
</TABLE>
Past performance is not predictive of future performance. Returns and net
asset value fluctuate. Shares are redeemable at current net asset value, which
may be more or less than original cost.
*Total return measures net investment income and capital gain or loss from
portfolio investments, assuming reinvestment of all dividends and for Class A
Shares adjustment for the maximum sales charge of 5.75% and for Class B Shares
adjustment for the applicable contingent deferred sales charge (CDSC) of 4%. For
C Shares there is an adjustment for the 1% CDSC. During the periods noted,
securities prices fluctuated. For additional information, see the Prospectus and
Statement of Additional Information and the Financial Highlights at the end of
this report.
<TABLE>
<CAPTION>
[LINE GRAPH]
- -------------------------------------------------------------------------------------------
GROWTH OF AN ASSUMED $10,000 INVESTMENT IN KEMPER HORIZON 20+ FUNDS
FROM 12/29/95 TO 7/31/96
- -------------------------------------------------------------------------------------------
KEMPER HORIZON 20+ PORTFOLIO CLASS A
- -------------------------------------------------------------------------------------------
Kemper Horizon S & P 500 Lehman Brothers Gov't/Corp.
20+ Portfolio (1) Stock Index (Monthly)+ Bond Index++
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12/29/95 10000 10000 10000
02/28/96 9931 10457.7 9849
04/30/96 10139 10739.2 9699
07/31/96 9643 10564.8 9835
[LINE GRAPH]
<CAPTION>
KEMPER HORIZON 20+ PORTFOLIO CLASS B
Kemper Horizon S & P 500 Lehman Brothers Gov't/Corp.
20+ Portfolio (1) Stock Index (Monthly)+ Bond Index++
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12/29/95 10000 10000 10000
02/28/96 10515.7 10457.7 9849
04/30/96 10715.8 10739.2 9699
07/31/96 9757.9 10564.8 9835
[LINE GRAPH]
<CAPTION>
KEMPER HORIZON 20+ PORTFOLIO CLASS C
Kemper Horizon S & P 500 Lehman Brothers Gov't/Corp.
20+ Portfolio (1) Stock Index (Monthly)+ Bond Index++
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12/29/95 10000 10000 10000
02/28/96 10515.8 10457.7 9849
04/30/96 10726.3 10739.2 9699
07/31/96 10078.9 10564.8 9835
</TABLE>
Kemper Horizon 20+ Portfolio (1)
S & P 500 Stock Index (Monthly)+
Lehman Brothers Gov't/Corp. Bond Index++
(1)Performance includes reinvestment of dividends and adjustment for the
maximum sales charge for A Shares and the contingent deferred sales charge in
effect at the end of the period for B and C Shares. In comparing Kemper Horizon
Fund to the Standard & Poor's 500 Stock Index, you should note that the fund's
performance reflects the maximum sales charge, while no such charges are
reflected in the performance of the index.
+The Standard & Poor's 500 Stock Index is an unmanaged index generally
representative of the U.S. stock market. Source is Towers Data Systems.
++The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprised of intermediate and long-term government and investment grade
corporate debt securities. Source is Towers Data Systems.
8
<PAGE> 9
PERFORMANCE UPDATE
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO
- ------------------------------------------------------------------------------------------
TOTAL RETURNS*
- ------------------------------------------------------------------------------------------
FOR PERIOD ENDED JULY 31, 1996 (ADJUSTED FOR THE MAXIMUM SALES CHARGE)
LIFE OF CLASS
<S> <C>
- ------------------------------------------------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO CLASS A -4.15%
- ------------------------------------------------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO CLASS B -2.64%
- ------------------------------------------------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO CLASS C 0.39%
- ------------------------------------------------------------------------------------------
</TABLE>
Past performance is not predictive of future performance. Returns and net
asset value fluctuate. Shares are redeemable at current net asset value, which
may be more or less than original cost.
*Total return measures net investment income and capital gain or loss from
portfolio investments, assuming reinvestment of all dividends and for Class A
Shares adjustment for the maximum sales charge of 5.75% and for Class B Shares
adjustment for the applicable contingent deferred sales charge (CDSC) of
4%. For C Shares there is an adjustment for the 1% CDSC. During the periods
noted, securities prices fluctuated. For additional information, see the
Prospectus and Statement of Additional Information and the Financial Highlights
at the end of this report.
<TABLE>
<CAPTION>
[LINE GRAPH]
- -------------------------------------------------------------------------------------------
GROWTH OF AN ASSUMED $10,000 INVESTMENT IN KEMPER HORIZON 10+ FUNDS
FROM 12/29/95 TO 7/31/96
- -------------------------------------------------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO CLASS A
- -------------------------------------------------------------------------------------------
Kemper Horizon S & P 500 Lehman Brothers Gov't/Corp.
10+ Portfolio (1) Stock Index (Monthly)+ Bond Index++
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12/29/95 10000 10000 10000
02/28/96 9762 10457.7 9849
04/30/96 9931 10739.2 9699
07/31/96 9585 10564.8 9835
[LINE GRAPH]
<CAPTION>
- -------------------------------------------------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO CLASS B
- -------------------------------------------------------------------------------------------
Kemper Horizon S & P 500 Lehman Brothers Gov't/Corp.
10+ Portfolio (1) Stock Index (Monthly)+ Bond Index++
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12/29/95 10000 10000 10000
02/28/95 10357.9 10457.7 9849
04/30/95 10526.3 10739.2 9699
07/31/95 9735.8 10564.8 9835
[LINE GRAPH]
<CAPTION>
- -------------------------------------------------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO CLASS C
- -------------------------------------------------------------------------------------------
Kemper Horizon S & P 500 Lehman Brothers Gov't/Corp.
10+ Portfolio (1) Stock Index (Monthly)+ Bond Index++
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12/29/95 10000 10000 10000
02/28/96 10347.4 10457.7 9849
04/30/96 10515.8 10739.2 9699
07/31/96 10038.8 10564.8 9835
</TABLE>
Kemper Horizon 10+ Portfolio (1)
S & P 500 Stock Index (Monthly)+
Lehman Brothers Gov't/Corp. Bond Index++
(1)Performance includes reinvestment of dividends and adjustment for the maximum
sales charge for A Shares and the contingent deferred sales charge in effect at
the end of the period for B and C Shares. In comparing Kemper Horizon Fund to
the Standard & Poor's 500 Stock Index, you should note that the fund's
performance reflects the maximum sales charge, while no such charges are
reflected in the performance of the index.
+The Standard & Poor's 500 Stock Index is an unmanaged index generally
representative of the U.S. stock market. Source is Towers Data Systems.
++The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprised of intermediate and long-term government and investment grade
corporate debt securities. Source is Towers Data Systems.
9
<PAGE> 10
PERFORMANCE UPDATE
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
KEMPER HORIZON 5+ PORTFOLIO
- ------------------------------------------------------------------------------------------
TOTAL RETURNS*
- ------------------------------------------------------------------------------------------
FOR PERIOD ENDED JULY 31, 1996 (ADJUSTED FOR THE MAXIMUM SALES CHARGE)
LIFE OF CLASS
<S> <C>
- ------------------------------------------------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO CLASS A -4.01%
- ------------------------------------------------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO CLASS B -2.56%
- ------------------------------------------------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO CLASS C 0.45%
- ------------------------------------------------------------------------------------------
</TABLE>
Past performance is not predictive of future performance. Returns and net asset
value fluctuate. Shares are redeemable at current net asset value, which may be
more or less than original cost.
*Total return measures net investment income and capital gain or loss from
portfolio investments, assuming reinvestment of all dividends and for Class A
Shares adjustment for the maximum sales charge of 5.75% and for Class B Shares
adjustment for the applicable contingent deferred sales charge (CDSC) of 4%.
For C Shares there is an adjustment for the 1% CDSC. During the periods noted,
securities prices fluctuated. For additional information, see the Prospectus
and Statement of Additional Information and the Financial Highlights at the end
of this report.
<TABLE>
<CAPTION>
[LINE GRAPH]
- --------------------------------------------------------------------------------------------
GROWTH OF AN ASSUMED $10,000 INVESTMENT IN KEMPER HORIZON 5 FUNDS
FROM 12/29/95 TO 7/31/96
- --------------------------------------------------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO CLASS A
- --------------------------------------------------------------------------------------------
Kemper Horizon S & P 500 Lehman Brothers Gov't/Corp.
5 Portfolio (1) Stock Index (Monthly)+ Bond Index++
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12/29/95 10000 10000 10000
02/28/96 9692 10457.7 9849
04/30/96 9777 10739.2 9699
07/31/96 9598 10564.8 9835
[LINE GRAPH]
<CAPTION>
- --------------------------------------------------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO CLASS B
- --------------------------------------------------------------------------------------------
Kemper Horizon S & P 500 Lehman Brothers Gov't/Corp.
5 Portfolio (1) Stock Index (Monthly)+ Bond Index++
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12/29/95 10000 10000 10000
02/28/96 10273.7 10457.7 9849
04/30/96 10352.5 10739.2 9699
07/31/96 9744.3 10564.8 9835
[LINE GRAPH]
<CAPTION>
- --------------------------------------------------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO CLASS C
- --------------------------------------------------------------------------------------------
Kemper Horizon S & P 500 Lehman Brothers Gov't/Corp.
5 Portfolio (1) Stock Index (Monthly)+ Bond Index++
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12/29/95 10000 10000 10000
02/28/96 10273.7 10457.7 9849
04/30/96 10353.1 10739.2 9699
07/31/96 10045.3 10564.8 9835
</TABLE>
Kemper Horizon 5 Portfolio (1)
S & P 500 Stock Index (Monthly)+
Lehman Brothers Gov't/Corp. Bond Index++
(1)Performance includes reinvestment of dividends and adjustment for the
maximum sales charge for A Shares and the contingent deferred sales charge in
effect at the end of the period for B and C Shares. In comparing Kemper
Horizon Fund to the Standard & Poor's 500 Stock Index, you should note that the
fund's performance reflects the maximum sales charge, while no such charges are
reflected in the performance of the index.
+The Standard & Poor's 500 Stock Index is an unmanaged index generally
representative of the U.S. stock market. Source is Towers Data Systems.
++The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprised of intermediate and long-term government and investment grade
corporate debt securities. Source is Towers Data Systems.
10
<PAGE> 11
PORTFOLIO STATISTICS
<TABLE>
<CAPTION>
- ----------------------------------------------------
KEMPER HORIZON 20+ PORTFOLIO*
- ----------------------------------------------------
ON 7/31/96
- ----------------------------------------------------
<S> <C>
COMMON STOCKS 79%
- ----------------------------------------------------
TREASURIES 20
- ----------------------------------------------------
CASH AND EQUIVALENTS 1
- ----------------------------------------------------
[PIE CHART]
</TABLE>
/ / Common stocks
/ / Treasuries
/ / Cash and Equivalents
<TABLE>
<CAPTION>
- ----------------------------------------------------
KEMPER HORIZON 10+ PORTFOLIO*
- ----------------------------------------------------
ON 7/31/96
- ----------------------------------------------------
<S> <C>
COMMON STOCKS 60%
- ----------------------------------------------------
TREASURIES 39
- ----------------------------------------------------
CASH AND EQUIVALENTS 1
- ----------------------------------------------------
[PIE CHART]
</TABLE>
/ / Common stocks
/ / Treasuries
/ / Cash and Equivalents
<TABLE>
<CAPTION>
- ----------------------------------------------------
KEMPER HORIZON 5 PORTFOLIO*
- ----------------------------------------------------
ON 7/31/96
- ----------------------------------------------------
<S> <C>
COMMON STOCKS 40%
- ----------------------------------------------------
TREASURIES 57
- ----------------------------------------------------
CASH AND EQUIVALENTS 3
- ----------------------------------------------------
[PIE CHART]
</TABLE>
/ / Common stocks
/ / Treasuries
/ / Cash and Equivalents
- --------------------------------------------------------------------------------
* Portfolio composition and holdings are subject to change.
11
<PAGE> 12
PORTFOLIO OF INVESTMENTS
KEMPER HORIZON 20+ PORTFOLIO
PORTFOLIO OF INVESTMENTS AT JULY 31, 1996
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
PRINCIPAL
U.S. GOVERNMENT OBLIGATIONS AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY NOTES--19.7%
5.00-5.875%, 1998 $ 535 $ 527
7.125-8.125%, 1998 193 198
8.875-9.25%, 1998 880 927
5.00%, 1999 295 286
8.00%, 1999 180 188
8.875-9.125%, 1999 1,050 1,117
6.75%, 2000 345 348
-----------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $3,627) 3,591
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
NUMBER OF
COMMON STOCKS SHARES VALUE
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BASIC INDUSTRIES--5.5%
AK Steel Holding Corp. 400shs. $ 15
AMCOL International 800 12
Bayer A.G. 1,860 63
Crown Cork & Seal Co. 1,600 71
Hoganas AB 4,270 141
Jacobs Engineering Group 1,600 32
Louisiana-Pacific Corp. 1,000 20
Mitsubishi Heavy Industries 19,200 163
(a)Philip Environmental 9,210 71
Renong Berhad 49,000 71
Rexene Corp. 1,400 17
Sumitomo Metal Industries 26,000 78
Technip S.A. 861 77
Toray Industries 25,100 171
-----------------------------------------------------------------------------
1,002
- ----------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS--6.5%
Blount, Inc., "A" 1,100 33
CAE Industries 15,645 131
Emerson Electric Co. 1,000 84
General Electric Co. 3,100 255
B. F. Goodrich Co. 2,600 94
IHC Caland N.V. 1,105 54
Intermet Corp. 700 9
Mannesmann A.G. 125 45
Matsushita Electric Industrial Co., Ltd. 10,000 174
(a)Mueller Industries, Inc. 600 20
Murata Manufacturing 2,400 86
PHH Corporation 500 27
Quanex Corp. 400 8
Simpson Industries 900 8
Stewart & Stevenson Services 800 17
Walbro Corp. 400 8
Xerox Corporation 1,500 76
York International Corp. 1,300 61
-----------------------------------------------------------------------------
1,190
- ----------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS--11.0%
J. Baker, Inc. 1,600 10
Bulgari Spa 1,973 30
(a)Burlington Coat Factory 700 7
Burton Group PLC 43,427 101
Carnival Corp. 3,460 93
Carrefour S.A. 181 99
Cato Corp. 1,700 10
Christian Dior S.A. 171 22
</TABLE>
12
<PAGE> 13
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(Dollars in thousands)
- --------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(a)Circle K Corp. 3,000 $ 141
Circuit City Stores 2,100 66
(a)Consolidated Stores Corp. 3,350 111
Dayton Hudson Corp. 900 27
Dillard Department Stores 500 16
Walt Disney Company 2,330 130
Dixons Group PLC 15,000 116
Ethan Allen Interiors 1,600 35
Fedders Corporation 1,200 7
(a)Fruit of The Loom 1,100 28
Gaylord Entertainment Co. 945 24
Gucci Group N.V. 792 43
Haggar Apparel Co. 800 11
Heilig-Meyers 500 10
Liz Claiborne 500 16
Moet Hennessy Louis Vuitton 217 48
(a)North Face Inc. 4,800 74
Philips N.V., ADR 2,000 66
Randstad Holding N.V. 810 59
(a)Sports & Recreation 2,400 16
Tabcorp Holdings Ltd. 16,690 73
TJX Companies, Inc. 2,000 60
Tokyu Department Store 3,000 19
(a)Toys R Us 3,700 98
UST, Inc. 5,100 170
V.F. Corp. 900 50
Wal-Mart Stores 2,600 62
WM-data AB 1,000 61
-----------------------------------------------------------------------------
2,009
- --------------------------------------------------------------------------------------------------------------------
CONSUMER DURABLES--2.5%
Fleetwood Enterprises 400 12
Ford Motor Co. 2,200 72
Honda Motor Co., Ltd. 8,500 205
Leggett & Platt Incorporated 3,500 91
Magna International Inc., "A" 1,450 65
-----------------------------------------------------------------------------
445
- --------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--8.4%
(a)Boston Market 900 24
(a)Copart, Inc. 2,100 34
(a)Cox Communications 6,500 124
Heineken N.V. 453 102
Independent Newspapers Ltd. 14,796 70
(a)Insurance Auto Auctions 1,600 16
(a)Interim Services 600 22
Kerry Group PLC 9,663 93
Koninklijke Ahold N.V. 2,048 104
(a)Liberty Media Group, "A" 5,690 125
(a)Lone Star Steakhouse & Saloon 4,000 126
(a)Outback Steakhouse 850 22
Philip Morris Companies 2,370 248
Procter & Gamble Co. 1,000 89
Pryca Centros 1,978 47
Reed International PLC 3,990 67
(a)Revlon, Inc. 1,500 42
Shaw Communications 4,200 28
Warnaco Group, "A" 3,800 90
Wendy's International 3,900 66
-----------------------------------------------------------------------------
1,539
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE> 14
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(Dollars in thousands) NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ENERGY--4.6%
AMOCO Corp. 1,800 $ 120
Atlantic Richfield Co. 1,100 128
British Petroleum Co. 8,600 78
Columbia Gas System 2,800 150
Elf Aquitaine 944 67
Enron Corp. 1,350 53
Enron Global Power & Pipeline LLC 300 8
Giant Industries 1,100 16
KCS Energy 800 24
Petro-Canada 10,540 67
Seitel, Inc. 300 9
(a)Tesoro Petroleum Corp. 1,700 20
Union Texas Petroleum Holdings 4,840 91
-----------------------------------------------------------------------------
831
- --------------------------------------------------------------------------------------------------------------------
FINANCE--17.8%
Aetna Life Insurance Company
common 112 7
preferred class C 37 2
H.F. Ahmanson & Co. 300 8
Allstate Corp. 650 29
American General Corp. 2,100 73
American International Group, Inc. 600 56
Associates First Capital 300 11
Banco Bilbao Vizcaya 1,857 78
Banc One Corporation 2,100 73
BankAmerica Corp. 900 72
Bank of Ireland 10,022 70
Bank of New York Inc. 500 26
Bankers Trust New York Corp. 1,400 101
Barnett Banks 1,000 61
Boatmen's Bancshares 1,740 70
Cheung Kong Holding Ltd. 12,000 82
CITIC Pacific Ltd. 21,000 87
Compass Bancshares 500 16
Crestar Financial Corp. 700 40
Cullen Frost Bankers 300 8
Dean Witter Discover 1,470 75
Development Bank of Singapore 30,000 340
Federal Home Loan Mortgage Corp. 1,800 152
Federal National Mortgage Association 8,130 258
First Commerce Corp. 400 14
First Chicago NBD Corp. 1,700 65
First Financial Caribbean Corp. 800 17
First Financial Corp., Wisconsin 400 9
First Union Corp. 700 44
First USA 1,590 78
Fleet Financial Group, Inc. 1,500 61
Great Western Financial Corp. 500 12
(a)Imperial Credit Industries 1,000 29
Integon Corp. 800 16
Internationale Nederlanden Groep 2,125 65
ITT Hartford Group 1,900 100
KeyCorp 1,300 50
Krung Thai Bank Public Co. Ltd. 10,800 42
Lawyers Title Insurance Corp. 500 10
Liberty Bancorp 300 10
Long Island Bancorp 600 17
MBIA Inc. 660 50
MGIC Investment Corp. 1,200 72
Meadowbrook Insurance Group 800 21
</TABLE>
14
<PAGE> 15
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(Dollars in thousands)
- --------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Mercer International SBI 1,500 $ 18
J.P. Morgan & Company 600 52
NationsBank 1,230 106
Northside Savings Bank 300 13
Norwest Corp. 300 11
PNC Bank, N.A. 3,000 87
Providian Corp. 1,086 43
Roosevelt Financial Group 2,800 45
Signet Banking Corp. 2,200 47
Sumitomo Trust & Banking 9,000 118
Travelers Group 2,430 103
T.R. Financial Corp. 500 14
Webb Del Corp. 1,100 19
-----------------------------------------------------------------------------
3,253
- --------------------------------------------------------------------------------------------------------------------
HEALTH CARE--7.4%
Abbott Laboratories 2,300 101
Astra AB
ADR 2,800 118
common 1,404 59
(a)British Bio-Technology Group 1,320 42
Ciba-Geigy Ltd. 99 118
Glaxo Wellcome PLC
ADR 3,200 89
common 8,903 124
(a)Humana, Inc. 4,100 69
Johnson & Johnson 1,600 76
Eli Lilly & Co. 300 17
Mallinckrodt Group 2,000 75
Merck & Co., Inc. 1,300 84
(a)Patterson Dental Co. 800 23
Pharmacia-Upjohn Inc. 400 17
(a)Physician Sales & Service 900 16
Roche Holding AG 21 103
(a)St. Jude Medical 2,400 81
Sandoz, Ltd. 2,100 117
(a)Tenet Healthcare Corporation 1,100 21
-----------------------------------------------------------------------------
1,350
- --------------------------------------------------------------------------------------------------------------------
TECHNOLOGY--11.0%
Allen Group 1,000 15
(a)Alternative Resources Corporation 1,100 32
(a)Applied Materials, Inc. 1,460 35
(a)Asyst Technologies 300 6
(a)Atmel Corporation 1,420 39
(a)Burr Brown Corp. 400 7
Canon Inc. 8,000 151
(a)Cisco Systems 1,950 101
(a)Compaq Computer Corp. 3,320 182
(a)Cyrix 100 1
(a)Dell Computer Corp. 1,100 61
(a)Diamond Multimedia System 200 1
Electronic Data Systems 1,200 63
(a)Electroglas 900 11
(a)EXAR Corp. 1,200 16
(a)Gateway 2000 1,500 60
Getronics N.V. 4,380 98
Harris Corp. 1,790 103
Hewlett-Packard, Co. 2,000 88
(a)In Focus Systems 200 3
Intel Corp. 2,450 184
</TABLE>
15
<PAGE> 16
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(DOLLARS IN THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Kyocera Corp. 1,500 $ 103
(a)Lam Research Corp. 1,640 36
Linear Technology Corp. 1,330 42
LM Ericsson Telephone Co. "B" 2,051 41
(a)Maxim Integrated Products 1,550 44
(a)Novellus Systems 1,020 37
(a)Proxima Corp. 1,100 12
(a)Read-Rite Corp. 900 10
Scientific Atlanta 2,000 27
(a)Silicon Graphics 1,330 31
(a)Softkey International 4,000 74
(a)Tech-Sym Corporation 300 8
Texas Instruments 2,130 92
3Com Corporation 2,320 91
(a)US Robotics 1,750 94
(a)Western Digital Corp. 300 9
-------------------------------------------------------------------------------
2,008
- ----------------------------------------------------------------------------------------------------------------------
TRANSPORTATION--1.8% Airborne Freight Corp. 700 15
Canadian National Railway Company 6,126 112
Nippon Express 14,000 132
Swire Pacific Ltd. 8,500 73
-------------------------------------------------------------------------------
332
- ----------------------------------------------------------------------------------------------------------------------
UTILITIES--2.7% (a)AirTouch Communications 2,270 62
Atlantic Tele-Network 1,400 29
Empresa Nacional de Electricidad S.A. 957 56
Iberdrola, S.A. 3,750 34
(a)Paging Network, Inc. 3,360 65
SBC Communications Inc. 1,600 78
Telecom Italia Spa 17,399 36
Telefonica Del Puru, ADR 3,750 82
Veba, A.G. 905 46
-------------------------------------------------------------------------------
488
-------------------------------------------------------------------------------
TOTAL COMMON STOCKS--79.2%
(Cost: $14,972) 14,447
-------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------------
MONEY MARKET Yield--5.25% to 5.44%
INSTRUMENTS--4.9% Due--August to September 1996
(Cost: $898) $ 900 898
-------------------------------------------------------------------------------
TOTAL INVESTMENTS--103.8%
(Cost: $19,497) 18,936
-------------------------------------------------------------------------------
LIABILITIES, LESS CASH AND OTHER
ASSETS--(3.8)% (685)
-------------------------------------------------------------------------------
NET ASSETS--100% $18,251
-------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing securities.
Based on the cost of investments of $19,497,000 for federal income tax purposes
at July 31, 1996, the gross unrealized appreciation was $242,000, the gross
unrealized depreciation was $803,000 and the net unrealized depreciation on
investments was $561,000.
See accompanying Notes to Financial Statements.
16
<PAGE> 17
KEMPER HORIZON 10+ PORTFOLIO
PORTFOLIO OF INVESTMENTS AT JULY 31, 1996
<TABLE>
<CAPTION>
(DOLLARS IN THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
PRINCIPAL
U.S. GOVERNMENT OBLIGATIONS AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY NOTES--39.0% 7.50%, 1997 $ 300 $ 303
5.00-6.125%, 1998 1,009 997
7.125-8.125%, 1998 743 764
8.875-9.25%, 1998 2,210 2,330
5.00%, 1999 487 472
8.00%, 1999 290 302
8.875-9.125%, 1999 1,170 1,245
6.75%, 2000 950 958
-----------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $7,441) 7,371
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
NUMBER OF
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BASIC INDUSTRIES--3.7% AK Steel Holding Corp. 400shs. $ 15
AMCOL International 700 10
Bayer A.G. 1,240 42
Crown Cork & Seal Co. 1,200 53
Hoganas AB 710 23
Jacobs Engineering Group 1,300 26
Louisiana-Pacific Corp. 700 14
Mitsubishi Heavy Industries 16,200 137
(a)Philip Environmental 9,280 72
Renong Berhad 27,000 39
Rexene Corp. 1,300 16
Sumitomo Metal Industries 20,000 60
Technip S.A. 667 59
Toray Industries 19,500 133
-----------------------------------------------------------------------------
699
- ----------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS--4.7% Blount, Inc., "A" 1,000 30
CAE Industries 9,345 78
Emerson Electric Co. 600 51
General Electric Co. 2,200 181
B. F. Goodrich Co. 2,100 76
IHC Caland N.V. 887 43
Intermet Corp. 600 8
Matsushita Electric Industrial Co., Ltd. 7,000 122
(a)Mueller Industries, Inc. 600 20
Murata Manufacturing 2,400 86
PHH Corporation 500 27
Quanex Corp. 400 8
Simpson Industries 900 8
Stewart & Stevenson Services 700 15
Walbro Corp. 400 8
Xerox Corporation 1,500 76
York International Corp. 1,000 47
-----------------------------------------------------------------------------
884
- ----------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS--9.0% J. Baker, Inc. 1,500 10
Bulgari Spa 1,602 24
(a)Burlington Coat Factory 400 4
Burton Group PLC 45,022 104
Carnival Corp. 2,800 75
Carrefour S.A. 142 78
Cato Corp. 1,600 10
Christian Dior S.A. 139 18
</TABLE>
17
<PAGE> 18
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(DOLLARS IN THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(a)Circle K Corp. 3,000 $ 141
Circuit City Stores 1,500 47
(a)Consolidated Stores Corp. 2,650 87
Dayton Hudson Corp. 600 18
Dillard Department Stores 400 13
Walt Disney Company 1,970 110
Dixons Group PLC 15,000 116
Ethan Allen Interiors 1,250 27
Fedders Corporation 1,100 6
(a)Fruit of The Loom 700 18
Gaylord Entertainment Co. 945 24
Gucci Group N.V. 528 29
Haggar Apparel Co. 700 9
Heilig-Meyers 900 18
Liz Claiborne 400 13
Moet Hennessy Louis Vuitton 383 85
(a)North Face Inc. 3,800 59
Philips N.V., ADR 1,400 46
Randstad Holding N.V. 600 44
(a)Sports & Recreation 2,300 16
Tabcorp Holdings Ltd. 7,509 33
TJX Companies, Inc. 1,600 48
(a)Toys R Us 2,600 69
UST, Inc. 5,000 166
V.F. Corp. 700 39
Wal-Mart Stores 2,400 58
WM-data AB 700 43
-------------------------------------------------------------------------------
1,705
- ----------------------------------------------------------------------------------------------------------------------
CONSUMER DURABLES--1.8% Edaran Otomobil Nasional Berhad 1,000 10
Fleetwood Enterprises 500 15
Ford Motor Co. 2,300 75
Honda Motor Co., Ltd. 4,600 111
Leggett & Platt Incorporated 2,800 73
Magna International Inc., "A" 1,120 50
-------------------------------------------------------------------------------
334
- ----------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--6.7% (a)Boston Market 850 23
(a)Copart, Inc. 1,600 26
(a)Cox Communications Inc. 5,000 95
Heineken N.V. 432 97
Independent Newspapers Ltd. 11,802 56
(a)Insurance Auto Auctions 1,500 15
(a)Interim Services 600 22
Kerry Group PLC 8,042 77
Koninklijke Ahold N.V. 1,747 89
(a)Liberty Media Group, "A" 3,300 73
(a)Lone Star Steakhouse & Saloon 2,500 78
(a)Outback Steakhouse 780 20
Philip Morris Companies 1,830 191
Procter & Gamble Co. 1,200 107
Pryca Centros 1,517 36
Reed International PLC 3,145 53
(a)Revlon, Inc. 1,200 34
Shaw Communications 1,800 12
Warnaco Group, "A" 3,200 76
Wendy's International 5,000 85
-------------------------------------------------------------------------------
1,265
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE> 19
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(DOLLARS IN THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ENERGY--3.3% AMOCO Corp. 1,300 $ 87
Atlantic Richfield Co. 800 93
British Petroleum Co. 6,900 63
Columbia Gas System 1,800 97
Elf Aquitaine 674 48
Enron Corp. 950 37
Enron Global Power & Pipeline LLC 300 7
Giant Industries 1,100 16
KCS Energy 600 18
Petro-Canada 10,030 64
Seitel, Inc. 300 9
(a)Tesoro Petroleum Corp. 1,600 18
Union Texas Petroleum Holdings 3,920 74
-------------------------------------------------------------------------------
631
- ----------------------------------------------------------------------------------------------------------------------
FINANCE--13.1% Aetna Life Insurance Company
common 67 4
preferred class C 22 1
H.F. Ahmanson & Co. 300 8
Allstate Corp. 700 31
American General Corp. 1,100 38
American International Group, Inc. 400 38
Associates First Capital 880 34
Banco Bilbao Vizcaya 1,326 56
Banc One Corporation 1,500 52
BankAmerica Corp. 700 56
Bank of Ireland 7,897 55
Bank of New York Inc. 400 21
Bankers Trust New York Corp. 400 29
Barnett Banks 700 43
Boatmen's Bancshares 700 28
Cheung Kong Holding Ltd. 7,000 48
CITIC Pacific Ltd. 11,000 45
Compass Bancshares 500 16
Crestar Financial Corp. 500 29
Cullen Frost Bankers 300 8
Dean Witter Discover 1,280 65
Development Bank of Singapore 23,000 260
Federal Home Loan Mortgage Corp. 1,400 118
Federal National Mortgage Association 6,320 201
First Commerce Corp. 400 14
First Chicago NBD Corp. 1,300 50
First Financial Caribbean Corp. 500 11
First Financial Corp., Wisconsin 400 9
First Union Corp. 1,200 76
First USA 2,100 103
Fleet Financial Group, Inc. 1,200 49
Great Western Financial Corp. 400 9
(a)Imperial Credit Industries 900 26
Integon Corp. 700 14
Internationale Nederlanden Groep 2,170 66
ITT Hartford Group 1,250 66
KeyCorp 1,700 66
Krung Thai Bank Public Co. Ltd. 6,800 26
Lawyers Title Insurance Corp. 400 8
Liberty Bancorp 300 10
Long Island Bancorp 600 17
MBIA Inc. 670 51
MGIC Investment Corp. 1,000 60
Meadowbrook Insurance Group 800 21
</TABLE>
19
<PAGE> 20
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(DOLLARS IN THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Mercer International SBI 1,400 $ 17
J.P. Morgan & Company 200 17
NationsBank 800 69
Northside Savings Bank 300 13
Norwest Corp. 300 11
PNC Bank, N.A. 1,800 52
Providian Corp. 700 28
Roosevelt Financial Group 2,600 42
Signet Banking Corp. 1,400 30
Sumitomo Trust & Banking 4,000 52
Travelers Group 1,650 70
T.R. Financial Corp. 500 14
Webb Del Corp. 1,100 19
-----------------------------------------------------------------------------
2,470
- ----------------------------------------------------------------------------------------------------------------------
HEALTH CARE--5.4% Abbott Laboratories 1,200 53
Astra AB
ADR 2,100 89
common 1,414 59
(a)British Bio-Technology Group 1,179 38
Ciba-Geigy Ltd. 79 94
Glaxo Wellcome PLC
ADR 2,100 58
common 6,046 84
(a)Humana, Inc. 3,000 50
Johnson & Johnson 1,200 57
Eli Lilly & Co. 300 17
Mallinckrodt Group 1,400 52
Merck & Co., Inc. 1,100 71
(a)Patterson Dental Co. 800 23
Pharmacia-Upjohn Inc. 300 12
(a)Physician Sales & Service 900 16
Roche Holding AG 17 89
(a)St. Jude Medical 1,800 61
Sandoz, Ltd. 1,670 93
(a)Tenet Healthcare Corporation 700 14
-----------------------------------------------------------------------------
1,030
- ----------------------------------------------------------------------------------------------------------------------
TECHNOLOGY--8.9% Allen Group 1,000 15
(a)Alternative Resources Corporation 850 24
(a)Applied Materials, Inc. 1,140 27
(a)Asyst Technologies 400 8
(a)Atmel Corporation 1,070 30
(a)Burr Brown Corp. 400 7
Canon Inc. 5,200 98
(a)Cisco Systems 1,600 83
(a)Compaq Computer Corp. 2,680 147
(a)Cyrix 100 1
(a)Dell Computer Corp. 750 42
(a)Diamond Multimedia System 200 1
Electronic Data Systems 800 42
(a)Electroglas 900 11
(a)EXAR Corp. 1,100 15
(a)Gateway 2000 1,000 40
Getronics N.V. 3,136 70
Harris Corp. 1,440 83
Hewlett-Packard, Co. 1,600 70
(a)In Focus Systems 200 3
Intel Corp. 2,550 192
</TABLE>
20
<PAGE> 21
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(DOLLARS IN THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Kyocera Corp. 2,100 $ 144
(a)Lam Research Corp. 1,270 28
Linear Technology Corp. 930 29
LM Ericsson Telephone Co. "B" 1,619 32
(a)Maxim Integrated Products 1,205 34
(a)Novellus Systems 810 29
(a)Proxima Corp. 800 9
(a)Read-Rite Corp. 800 9
Scientific Atlanta 1,750 23
(a)Silicon Graphics 1,200 28
(a)Softkey International 3,000 56
(a)Tech-Sym Corporation 300 8
Texas Instruments 1,650 71
3Com Corporation 2,000 79
(a)US Robotics 1,600 86
(a)Western Digital Corp. 400 12
-----------------------------------------------------------------------------
1,686
- ----------------------------------------------------------------------------------------------------------------------
TRANSPORTATION--1.4% Airborne Freight Corp. 700 15
Canadian National Railway Company 5,245 96
Nippon Express 10,000 95
Swire Pacific Ltd. 7,000 60
-----------------------------------------------------------------------------
266
- ----------------------------------------------------------------------------------------------------------------------
UTILITIES--2.2% (a)Airtouch Communications 1,650 45
Atlantic Tele-Network 1,300 27
Empresa Nacional de Electricidad S.A. 638 37
Iberdrola, S.A. 2,900 26
(a)Paging Network, Inc. 2,400 46
SBC Communications Inc. 1,200 59
Telecom Italia Spa 49,904 104
Telefonica Del Puru, ADR 1,750 38
Veba, A.G. 713 36
-----------------------------------------------------------------------------
418
-----------------------------------------------------------------------------
TOTAL COMMON STOCKS--60.2%
(Cost: $11,707) 11,388
-------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------------
MONEY MARKET
INSTRUMENT--1.0% Yield--5.28%
Due--September 1996
(Cost: $199) $ 200 199
-------------------------------------------------------------------------------
TOTAL INVESTMENTS--100.2%
(Cost: $19,347) 18,958
-------------------------------------------------------------------------------
LIABILITIES, LESS CASH AND OTHER ASSETS--(.2)% (46)
-------------------------------------------------------------------------------
NET ASSETS--100% $18,912
-------------------------------------------------------------------------------
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) Non-income producing securities.
Based on the cost of investments of $19,347,000 for federal income tax purposes
at July 31, 1996, the gross unrealized appreciation was $239,000, the gross
unrealized depreciation was $628,000 and the net unrealized depreciation on
investments was $389,000.
See accompanying Notes to Financial Statements.
21
<PAGE> 22
PORTFOLIO OF INVESTMENTS
KEMPER HORIZON 5 PORTFOLIO
Portfolio of Investments at July 31, 1996
<TABLE>
<CAPTION>
(DOLLARS IN THOUSANDS)
- --------------------------------------------------------------------------------------------------------------------
PRINCIPAL
U.S. GOVERNMENT OBLIGATIONS AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY NOTES--57.0% 5.00-5.625%, 1998 $ 888 $ 875
7.125-8.125%, 1998 618 635
8.875-9.25%, 1998 1,475 1,555
5.00%, 1999 820 795
8.00%, 1999 460 480
8.875-9.125%, 1999 1,250 1,331
6.75%, 2000 500 504
-----------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $6,241) 6,175
-----------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
NUMBER OF
COMMON STOCKS SHARES VALUE
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BASIC INDUSTRIES--2.7% AK Steel Holding Corp. 100shs. $ 4
AMCOL International 200 3
Bayer A.G. 460 16
Crown Cork & Seal Co. 450 20
Hoganas AB 1,420 47
Jacobs Engineering Group 400 8
Louisiana-Pacific Corp. 300 6
Mitsubishi Heavy Industries 6,600 56
(a)Philip Environmental 660 5
Renong Berhad 17,000 25
Rexene Corp. 400 5
Sumitomo Metal Industries 8,000 24
Technip S.A. 236 21
Toray Industries 8,400 57
-----------------------------------------------------------------------------
297
- ----------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS--3.0% Blount, Inc., "A" 300 9
CAE Industries 2,060 17
Emerson Electric Co. 200 17
General Electric Co. 900 74
B. F. Goodrich Co. 800 29
Intermet Corp. 200 3
Matsushita Electric Industrial Co., Ltd. 3,000 52
(a)Mueller Industries, Inc. 200 7
Murata Manufacturing 1,200 43
PHH Corporation 100 5
Quanex Corp. 100 2
Simpson Industries 300 3
Stewart & Stevenson Services 200 4
Walbro Corp. 100 2
Xerox Corporation 600 30
York International Corp. 500 23
-----------------------------------------------------------------------------
320
- ----------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS--4.9% J. Baker, Inc. 500 3
Bulgari Spa 1,158 18
(a)Burlington Coat Factory 200 2
Burton Group PLC 9,870 23
Carnival Corp. 1,100 30
Carrefour S.A. 55 30
Cato Corp. 500 3
Christian Dior S.A. 109 14
</TABLE>
22
<PAGE> 23
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(Dollars in thousands)
- -------------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Circuit City Stores 600 $ 19
(a)Consolidated Stores Corp. 950 31
Dayton Hudson Corp. 300 9
Dillard Department Stores 200 6
Walt Disney Company 700 39
Ethan Allen Interiors 500 11
Fedders Corporation 300 2
(a)Fruit of The Loom 300 8
Gaylord Entertainment Co. 495 13
Gucci Group N.V. 176 10
Haggar Apparel Co. 200 3
Heilig-Meyers 900 18
Liz Claiborne 200 7
Moet Hennessy Louis Vuitton 60 13
(a)North Face Inc. 1,400 22
Philips N.V., ADR 400 13
Randstad Holding N.V. 140 10
(a)Sports & Recreation 700 5
Tabcorp Holdings Ltd. 6,873 30
TJX Companies, Inc. 600 18
(a)Toys R Us 1,080 28
UST, Inc. 1,800 60
V.F. Corp. 200 11
Wal-Mart Stores 600 14
WM-data AB 164 10
-------------------------------------------------------------------------------
533
- ----------------------------------------------------------------------------------------------------------------------
CONSUMER DURABLES--1.0% Fleetwood Enterprises 200 6
Ford Motor Co. 1,000 32
Honda Motor Co., Ltd. 1,200 29
Leggett & Platt Incorporated 1,100 29
Magna International Inc., "A" 400 18
-------------------------------------------------------------------------------
114
- ----------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--4.3% (a)Boston Market 370 10
(a)Copart, Inc. 500 8
(a)Cox Communications 1,700 32
Heineken N.V. 207 47
Independent Newspapers Ltd. 4,064 19
(a)Insurance Auto Auctions 400 4
(a)Interim Services 300 11
Kerry Group PLC 1,080 10
Koninklijke Ahold N.V. 235 12
(a)Liberty Media Group, "A" 1,650 36
(a)Lone Star Steakhouse & Saloon 1,130 35
(a)Outback Steakhouse 350 9
Philip Morris Companies 760 80
Procter & Gamble Co. 500 45
Reed International PLC 1,384 23
(a)Revlon, Inc. 500 14
Shaw Communications 900 6
Warnaco Group, "A" 1,550 37
Wendy's International 1,600 27
-------------------------------------------------------------------------------
465
- ----------------------------------------------------------------------------------------------------------------------
ENERGY--2.3% AMOCO Corp. 500 33
Atlantic Richfield Co. 300 35
British Petroleum Co. 5,200 47
</TABLE>
23
<PAGE> 24
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(Dollars in thousands)
- -------------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Columbia Gas System 800 $ 43
Elf Aquitaine 229 16
Enron Corp. 300 12
Enron Global Power & Pipeline LLC 100 3
Giant Industries 300 4
KCS Energy 200 6
Petro-Canada 1,880 12
Seitel, Inc. 100 3
(a)Tesoro Petroleum Corp. 500 6
Union Texas Petroleum Holdings 1,557 29
-------------------------------------------------------------------------------
249
- ----------------------------------------------------------------------------------------------------------------------
FINANCE--9.7% Aetna Life Insurance Company
common 22 1
preferred class C 7 1
H.F. Ahmanson & Co. 100 3
Allstate Corp. 200 9
American General Corp. 600 21
American International Group, Inc. 400 38
Associates First Capital 100 4
Banco Bilbao Vizcaya 451 19
Banc One Corporation 600 21
BankAmerica Corp. 300 24
Bank of Ireland 2,692 19
Bank of New York Inc. 200 10
Bankers Trust New York Corp. 100 7
Barnett Banks 300 18
Boatmen's Bancshares 300 12
Cheung Kong Holding Ltd. 3,000 20
CITIC Pacific Ltd. 4,000 17
Compass Bancshares 100 3
Crestar Financial Corp. 200 12
Cullen Frost Bankers 100 3
Dean Witter Discover 390 20
Development Bank of Singapore 16,500 187
Federal Home Loan Mortgage Corp. 600 51
Federal National Mortgage Association 2,267 72
First Commerce Corp. 100 3
First Chicago NBD Corp. 500 19
First Financial Caribbean Corp. 200 4
First Financial Corp., Wisconsin 100 2
First Union Corp. 400 25
First USA 600 29
Fleet Financial Group, Inc. 400 16
Great Western Financial Corp. 200 5
(a)Imperial Credit Industries 300 9
Integon Corp. 200 4
Internationale Nederlanden Groep 1,120 34
ITT Hartford Group 570 30
KeyCorp 400 15
Krung Thai Bank Public Co. Ltd. 2,700 10
Lawyers Title Insurance Corp. 100 2
Liberty Bancorp 100 3
Long Island Bancorp 200 6
MBIA Inc. 410 31
MGIC Investment Corp. 300 18
Meadowbrook Insurance Group 400 10
Mercer International SBI 400 5
J.P. Morgan & Company 100 9
</TABLE>
24
<PAGE> 25
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(Dollars in thousands)
- -------------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NationsBank 450 $ 39
Northside Savings Bank 100 4
Norwest Corp. 100 4
PNC Bank, N.A. 700 20
Providian Corp. 320 13
Roosevelt Financial Group 700 11
Signet Banking Corp. 500 11
Sumitomo Trust & Banking 2,000 26
Travelers Group 900 37
T.R. Financial Corp. 100 3
Webb Del Corp. 300 5
-------------------------------------------------------------------------------
1,054
- ----------------------------------------------------------------------------------------------------------------------
HEALTH CARE--4.0% Abbott Laboratories 500 22
Astra AB
ADR 820 35
common 496 21
Ciba-Geigy Ltd. 47 56
Glaxo Wellcome PLC
ADR 1,200 33
common 2,442 34
(a)Humana, Inc. 1,200 20
Johnson & Johnson 400 19
Eli Lilly & Co. 100 6
Mallinckrodt Group 700 26
Merck & Co., Inc. 500 32
(a)Patterson Dental Co. 400 12
Pharmacia-Upjohn Inc. 100 4
(a)Physician Sales & Service 450 8
Roche Holding AG 12 37
(a)St. Jude Medical 700 24
Sandoz, Ltd. 720 40
(a)Tenet Healthcare Corporation 200 4
-------------------------------------------------------------------------------
433
- ----------------------------------------------------------------------------------------------------------------------
TECHNOLOGY--6.1% Allen Group 500 8
(a)Alternative Resources Corporation 300 9
(a)Applied Materials, Inc. 400 10
(a)Asyst Technologies 100 2
(a)Atmel Corporation 370 10
(a)Burr Brown Corp. 100 2
Canon Inc. 3,800 72
(a)Cisco Systems 650 34
(a)Compaq Computer Corp. 1,090 60
(a)Dell Computer Corp. 330 18
Electronic Data Systems 400 21
(a)Electroglas 300 4
(a)EXAR Corp. 300 4
(a)Gateway 2000 450 18
Getronics N.V. 1,140 25
Harris Corp. 605 35
Hewlett-Packard, Co. 600 26
Intel Corp. 850 64
Kyocera Corp. 400 27
(a)Lam Research Corp. 440 10
Linear Technology Corp. 350 11
LM Ericsson Telephone Co. "B" 970 19
(a)Maxim Integrated Products 410 12
</TABLE>
25
<PAGE> 26
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(Dollars in thousands)
- -------------------------------------------------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(a)Novellus Systems 300 $ 11
(a)Proxima Corp. 300 3
(a)Read-Rite Corp. 300 3
Scientific Atlanta 500 7
(a)Silicon Graphics 410 10
(a)Softkey International 1,270 23
(a)Tech-Sym Corporation 100 3
Texas Instruments 600 26
3Com Corporation 730 29
(a)US Robotics 690 37
(a)Western Digital Corp. 100 3
-------------------------------------------------------------------------------
656
- ----------------------------------------------------------------------------------------------------------------------
TRANSPORTATION--.8% Airborne Freight Corp. 200 4
Canadian National Railway Company 1,710 31
Nippon Express 3,000 28
Swire Pacific Ltd. 3,000 26
-------------------------------------------------------------------------------
89
- ----------------------------------------------------------------------------------------------------------------------
UTILITIES--1.2% (a)Airtouch Communications 400 11
Atlantic Tele-Network 400 8
Empresa Nacional de Electricidad S.A. 239 14
Iberdrola, S.A. 1,520 14
(a)Paging Network, Inc. 1,000 19
SBC Communications Inc. 600 29
Telecom Italia Spa 6,432 13
Telefonica Del Puru, ADR 750 16
-----------------------------------------------------------------------------
124
-----------------------------------------------------------------------------
TOTAL COMMON STOCKS--40.0%
(Cost: $4,424) 4,334
-----------------------------------------------------------------------------
TOTAL INVESTMENTS--97.0%
(Cost: $10,665) 10,509
-----------------------------------------------------------------------------
OTHER ASSETS LESS LIABILITIES--3.0% 322
-----------------------------------------------------------------------------
NET ASSETS--100% $10,831
-----------------------------------------------------------------------------
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) Non-income producing securities.
Based on the cost of investments of $10,665,000 for federal income tax purposes
at July 31, 1996, the gross unrealized appreciation was $103,000, the gross
unrealized depreciation was $259,000 and the net unrealized depreciation on
investments was $156,000.
See accompanying Notes to Financial Statements.
26
<PAGE> 27
REPORT OF INDEPENDENT AUDITORS
THE BOARD OF TRUSTEES AND SHAREHOLDERS
KEMPER HORIZON FUND
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of Kemper Horizon 20+ Portfolio, Kemper
Horizon 10+ Portfolio and Kemper Horizon 5 Portfolio, comprising Kemper Horizon
Fund (the Fund), as of July 31, 1996, the related statements of operations and
changes in net assets and the financial highlights for the period from December
29, 1995 (commencement of operations) to July 31, 1996. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of July
31, 1996, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the portfolios comprising Kemper Horizon Fund at July 31, 1996, the results
of their operations, the changes in their net assets and the financial
highlights for the period referred to above in conformity with generally
accepted accounting principles.
ERNST & YOUNG LLP
Chicago, Illinois
August 29, 1996
27
<PAGE> 28
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
July 31, 1996
(IN THOUSANDS)
<TABLE>
<CAPTION>
KEMPER HORIZON
---------------------------------------------
20+ PORTFOLIO 10+ PORTFOLIO 5 PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
ASSETS
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investments, at value
(Cost: $19,497, $19,347 and $10,665) $18,936 18,958 10,509
- --------------------------------------------------------------------------------------------------------------
Cash 67 164 --
- --------------------------------------------------------------------------------------------------------------
Receivable for:
Fund shares sold 106 368 238
- --------------------------------------------------------------------------------------------------------------
Dividends and interest 99 182 158
- --------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 19,208 19,672 10,905
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS
- ------------------------------------------------------------------------------------------------------------
Cash Overdraft -- -- 23
- --------------------------------------------------------------------------------------------------------------
Payable for:
Fund shares redeemed 15 1 1
- --------------------------------------------------------------------------------------------------------------
Investments purchased 918 733 36
- --------------------------------------------------------------------------------------------------------------
Management fee 5 7 3
- --------------------------------------------------------------------------------------------------------------
Distribution services fee 6 6 3
- --------------------------------------------------------------------------------------------------------------
Administrative services fee 3 3 2
- --------------------------------------------------------------------------------------------------------------
Custodian and transfer agent fees and related expenses 10 10 6
- --------------------------------------------------------------------------------------------------------------
Total liabilities 957 760 74
- --------------------------------------------------------------------------------------------------------------
NET ASSETS $18,251 18,912 10,831
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
ANALYSIS OF NET ASSETS
- ------------------------------------------------------------------------------------------------------------
Paid-in capital $18,784 19,258 10,955
- --------------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments (106) (92) (44)
- --------------------------------------------------------------------------------------------------------------
Net unrealized depreciation on investments (561) (389) (156)
- --------------------------------------------------------------------------------------------------------------
Undistributed net investment income 134 135 76
- --------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING $18,251 18,912 10,831
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
THE PRICING OF SHARES
- ------------------------------------------------------------------------------------------------------------
CLASS A SHARES
Net assets applicable to shares outstanding $8,073 9,338 4,412
- --------------------------------------------------------------------------------------------------------------
Shares outstanding 831 973 461
- --------------------------------------------------------------------------------------------------------------
Net asset value and redemption price per share
(net assets divided by shares outstanding) $9.72 9.60 9.57
- --------------------------------------------------------------------------------------------------------------
Maximum offering price per share
(net asset value, plus 6.10% of
net asset value or 5.75% of offering price) $10.31 10.19 10.15
- ------------------------------------------------------------------------------------------------------------
CLASS B SHARES
Net assets applicable to shares outstanding $8,431 8,622 5,704
- --------------------------------------------------------------------------------------------------------------
Shares outstanding 873 898 596
- --------------------------------------------------------------------------------------------------------------
Net asset value and redemption price
(subject to contingent deferred sales charge) per share
(net assets divided by shares outstanding) $9.65 9.60 9.57
- ------------------------------------------------------------------------------------------------------------
CLASS C SHARES
Net assets applicable to shares outstanding $798 850 614
- --------------------------------------------------------------------------------------------------------------
Shares outstanding 82 89 64
- --------------------------------------------------------------------------------------------------------------
Net asset value and redemption price
(subject to contingent deferred sales charge) per share
(net assets divided by shares outstanding) $9.67 9.60 9.57
- ------------------------------------------------------------------------------------------------------------
CLASS I SHARES
Net assets applicable to shares outstanding $949 102 101
- --------------------------------------------------------------------------------------------------------------
Shares outstanding 98 11 11
- --------------------------------------------------------------------------------------------------------------
Net asset value and redemption price per share
(net assets divided by shares outstanding) $9.73 9.57 9.58
- ------------------------------------------------------------------------------------------------------------
</TABLE>
28
<PAGE> 29
FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the period December 29, 1995
(commencement of operations) to July 31, 1996
(IN THOUSANDS)
<TABLE>
<CAPTION>
KEMPER HORIZON
---------------------------------------------
20+ PORTFOLIO 10+ PORTFOLIO 5 PORTFOLIO
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------------------------------------
Dividends $ 63 47 18
- --------------------------------------------------------------------------------------------------------------
Interest 88 152 120
- --------------------------------------------------------------------------------------------------------------
Total investment income 151 199 138
- --------------------------------------------------------------------------------------------------------------
Expenses:
Management fee 29 29 17
- --------------------------------------------------------------------------------------------------------------
Distribution services fee 18 19 13
- --------------------------------------------------------------------------------------------------------------
Administrative services fee 10 11 6
- --------------------------------------------------------------------------------------------------------------
Custodian and transfer agent fees and related expenses 28 29 13
- --------------------------------------------------------------------------------------------------------------
Professional fees 4 3 2
- --------------------------------------------------------------------------------------------------------------
Trustees' fees and other 6 6 6
- --------------------------------------------------------------------------------------------------------------
Total expenses before expense waiver 95 97 57
- --------------------------------------------------------------------------------------------------------------
Less expenses waived and absorbed by investment manager 3 2 1
- --------------------------------------------------------------------------------------------------------------
Total expenses after expense waiver 92 95 56
- --------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 59 104 82
- ------------------------------------------------------------------------------------------------------------
</TABLE>
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
<TABLE>
<S> <C> <C> <C>
Net realized loss on sales of investments (128) (116) (54)
- --------------------------------------------------------------------------------------------------------------
Net realized gain from futures transactions 26 28 12
- --------------------------------------------------------------------------------------------------------------
Net realized loss (102) (88) (42)
- --------------------------------------------------------------------------------------------------------------
Change in net unrealized depreciation on investments (561) (389) (156)
- --------------------------------------------------------------------------------------------------------------
Net loss on investments (663) (477) (198)
- --------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(604) (373) (116)
- ------------------------------------------------------------------------------------------------------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the period December 29, 1995
(commencement of operations) to July 31, 1996
(IN THOUSANDS)
<TABLE>
<CAPTION>
KEMPER HORIZON
---------------------------------------------
20+ PORTFOLIO 10+ PORTFOLIO 5 PORTFOLIO
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
OPERATIONS, DIVIDENDS AND CAPITAL SHARE ACTIVITY
- --------------------------------------------------------------------------------------------------------------
Net investment income $ 59 104 82
- --------------------------------------------------------------------------------------------------------------
Net realized loss (102) (88) (42)
- --------------------------------------------------------------------------------------------------------------
Change in net unrealized depreciation (561) (389) (156)
- --------------------------------------------------------------------------------------------------------------
Net decrease in net assets resulting from operations (604) (373) (116)
- --------------------------------------------------------------------------------------------------------------
Net equalization credits 71 97 46
- --------------------------------------------------------------------------------------------------------------
Distribution from net investment income -- (70) (54)
- --------------------------------------------------------------------------------------------------------------
Net increase from capital share transactions 18,684 19,158 10,855
- --------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 18,151 18,812 10,731
- ------------------------------------------------------------------------------------------------------------
</TABLE>
NET ASSETS
<TABLE>
<S> <C> <C> <C>
Beginning of period 100 100 100
- --------------------------------------------------------------------------------------------------------------
END OF PERIOD 18,251 18,912 10,831
- --------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME AT END OF PERIOD $ 134 135 76
- ------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
29
<PAGE> 30
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1 DESCRIPTION OF Kemper Horizon Fund (the "Fund") is an open-end
THE FUND diversified management investment company organized
as a business trust under the laws of
Massachusetts. The Fund consists of three
investment portfolios ("Portfolios") designed for
investors with different investment objectives. The
three Portfolios are Kemper Horizon 20+ Portfolio,
Kemper Horizon 10+ Portfolio, and Kemper Horizon 5
Portfolio. Each Portfolio currently offers four
classes of shares. Class A shares are sold to
investors subject to an initial sales charge. Class
B shares are sold without an initial sales charge
but are subject to higher ongoing expenses than
Class A shares and a contingent deferred sales
charge payable upon certain redemptions. Class B
shares automatically convert to Class A shares six
years after issuance. Class C shares are sold
without an initial sales charge but are subject to
higher ongoing expenses than Class A shares and,
for shares sold on or after April 1, 1996, a
contingent deferred sales charge payable upon
certain redemptions within one year of purchase.
Class C shares do not convert into another class.
Class I shares are offered to a limited group of
investors, are not subject to initial or contingent
deferred sales charges and have lower ongoing
expenses than other classes. Differences in class
expenses will result in the payment of different
per share income dividends by class. Each share of
a Portfolio represents an identical interest in the
investments of the Portfolio and has the same
rights.
- --------------------------------------------------------------------------------
2 SIGNIFICANT INVESTMENT VALUATION. Investments are stated at
ACCOUNTING POLICIES value. Portfolio securities that are traded on a
domestic securities exchange or securities listed
on the NASDAQ National Market are valued at
the last sale price on the exchange or market
where primarily traded or listed or, if there is
no recent sale, at the last current bid quotation.
Portfolio securities that are primarily traded on
foreign securities exchanges are generally valued
at the preceding closing values of such securities
on their respective exchanges where primarily
traded. Securities not so traded or listed are
valued at the last current bid quotation if market
quotations are available. Fixed income securities
are valued by using market quotations, or
independent pricing services that use prices
provided by market makers or estimates of market
values obtained from yield data relating to
instruments or securities with similar
characteristics. Equity options are valued at the
last sale price unless the bid price is higher or
the asked price is lower, in which event such bid
or asked price is used. Financial futures and
options thereon are valued at the settlement price
established each day by the board of trade or
exchange on which they are traded. Forward foreign
currency contracts are valued at the forward rates
prevailing on the day of valuation. Other
securities and assets are valued at fair value as
determined in good faith by the Board of Trustees.
30
<PAGE> 31
NOTES TO FINANCIAL STATEMENTS
CURRENCY TRANSLATION. The books and records of the
Portfolios are maintained in U.S. dollars. All
assets and liabilities initially expressed in
foreign currency values are converted into U.S.
dollar values at the mean between the bid and
offered quotations of such currencies against U.S.
dollars as last quoted by a recognized dealer. If
such quotations are not readily available, the rate
of exchange is determined in good faith by the
Board of Trustees. Income and expenses and
purchases and sales of investments are translated
into U.S. dollars at the rate of exchange
prevailing on the respective dates of such
transactions. The Portfolios include that portion
of the results of operations resulting from changes
in foreign exchange rates with net realized and
unrealized gain (loss) on investments, as
appropriate.
INVESTMENT TRANSACTIONS AND INVESTMENT
INCOME. Investment transactions are accounted for
on the trade date (date the order to buy or sell is
executed). Dividend income is recorded on the
ex-dividend date, and interest income is recorded
on the accrual basis and includes discount
amortization on fixed income securities. Realized
gains and losses from investment transactions are
reported on an identified cost basis.
EXPENSES. Expenses arising in connection with a
specific Portfolio are allocated to that Portfolio.
Other Fund expenses are allocated among the
Portfolios in proportion to their relative net
assets.
FUND SHARE VALUATION. Fund shares are sold and
redeemed on a continuous basis at net asset value
(plus an initial sales charge on most sales of
Class A shares). Proceeds payable on redemption of
Class B and Class C shares will be reduced by the
amount of any applicable contingent deferred sales
charge. On each day the New York Stock Exchange is
open for trading, the net asset value per share is
determined as of the earlier of 3:00 p.m. Chicago
time or the close of the Exchange. The net asset
value per share is determined separately for each
class by dividing the Portfolio's net assets
attributable to that class by the number of shares
of the class outstanding.
FEDERAL INCOME TAXES. Each Portfolio intends to
comply with the special provisions of the Internal
Revenue Code available to investment companies and
therefore no federal income tax provision is
required. The accumulated net realized loss on
sales of investments for federal income tax
purposes at July 31, 1996, amounting to
approximately $106,000, $92,000 and $44,000 in
Horizon 20+, Horizon 10+ and Horizon 5 Portfolios,
respectively, are available to offset future
taxable gains in the respective Portfolios. If not
applied, the loss carryovers expire in 2004.
DIVIDENDS TO SHAREHOLDERS. Each Portfolio normally
intends to pay dividends of net investment income
as follows: annually for the Horizon 20+ Portfolio,
semiannually for the Horizon 10+ Portfolio, and
quarterly for the Horizon 5 Portfolio. Each
Portfolio will pay any net realized capital gains
at least annually. Dividends are recorded on
ex-dividend date. Dividends are determined in
accordance with income tax principles which may
treat certain transactions differently from
generally accepted accounting principles.
31
<PAGE> 32
NOTES TO FINANCIAL STATEMENTS
EQUALIZATION ACCOUNTING. A portion of proceeds from
sales and costs of redemptions of Portfolio shares
is credited or charged to undistributed net
investment income so that income per share
available for distribution is not affected by sales
or redemptions of shares.
- --------------------------------------------------------------------------------
3 TRANSACTIONS WITH
AFFILIATES MANAGEMENT AGREEMENT. The Fund has a management
agreement with Zurich Kemper Investments, Inc.
(ZKI), and each Portfolio pays a management fee at
an annual rate of .58% of the first $250 million of
average daily net assets declining to .42% of
average daily net assets in excess of $12.5
billion. The Fund paid a management fee of $69,000
for the period ended July 31, 1996. Dreman Value
Advisors, Inc. (DVA), a wholly owned subsidiary of
ZKI, is the subadviser for the Fund.
ZKI has agreed to temporarily reduce its management
fee and reimburse or pay certain operating expenses
to the extent necessary to limit each Portfolio's
total operating expenses to the following
percentages of average daily net assets: Class A,
1.48%, Class B, 2.26%, Class C, 2.23% and Class I,
.73%. Under this agreement, ZKI waived expenses of
$6,000 for the period ended July 31, 1996.
UNDERWRITING AND DISTRIBUTION SERVICES
AGREEMENT. The Fund has an underwriting and
distribution services agreement with Kemper
Distributors, Inc. (KDI). Underwriting commissions
paid in connection with the distribution of each
Portfolio's Class A shares for the period ended
July 31, 1996 are as follows:
<TABLE>
<CAPTION>
COMMISSIONS
ALLOWED BY KDI
COMMISSIONS ----------------------------
RETAINED BY KDI TO ALL FIRMS TO AFFILIATES
--------------- ------------ -------------
<S> <C> <C> <C>
Kemper Horizon 20+ Portfolio $ 7,000 160,000 16,000
Kemper Horizon 10+ Portfolio 14,000 235,000 21,000
Kemper Horizon 5 Portfolio 7,000 154,000 10,000
</TABLE>
For services under the distribution services
agreement, each Portfolio pays KDI a fee of .75% of
average daily net assets of Class B and Class C
shares. Pursuant to the agreement, KDI enters into
related selling group agreements with various firms
at various rates for sales of Class B and Class C
shares of each Portfolio. In addition, KDI receives
any contingent deferred sales charges (CDSC) from
redemptions of Class B and Class C shares.
Distribution fees and commissions paid in
connection with the sale of Class B and Class C
shares and the CDSC received in connection
32
<PAGE> 33
NOTES TO FINANCIAL STATEMENTS
with the redemption of such shares for the period
ended July 31, 1996 are as follows:
<TABLE>
<CAPTION>
COMMISSIONS AND
DISTRIBUTION FEES
DISTRIBUTION PAID BY KDI
FEES AND CDSC ----------------------------
RECEIVED BY KDI TO ALL FIRMS TO AFFILIATES
--------------- ------------ -------------
<S> <C> <C> <C>
Kemper Horizon 20+ Portfolio $21,000 275,000 32,000
Kemper Horizon 10+ Portfolio 20,000 266,000 32,000
Kemper Horizon 5 Portfolio 18,000 190,000 15,000
</TABLE>
ADMINISTRATIVE SERVICES AGREEMENT. The Fund has an
administrative services agreement with KDI. For
providing information and administrative services
to Class A, Class B and Class C shareholders, each
Portfolio pays KDI a fee at an annual rate of up to
.25% of average daily net assets of each class. KDI
in turn has various agreements with financial
services firms that provide these services and pays
these firms based on assets of Portfolio accounts
the firms service. Administrative services fees
(ASF) paid for the period ended July 31, 1996 are
as follows:
<TABLE>
<CAPTION>
ASF FEES PAID BY KDI
ASF PAID BY ----------------------------
THE PORTFOLIOS TO KDI TO ALL FIRMS TO AFFILIATES
--------------------- ------------ -------------
<S> <C> <C> <C>
Kemper Horizon 20+ Portfolio $10,000 25,000 3,000
Kemper Horizon 10+ Portfolio 11,000 26,000 3,000
Kemper Horizon 5 Portfolio 6,000 17,000 1,000
</TABLE>
SHAREHOLDER SERVICES AGREEMENT. Pursuant to a
services agreement with the Fund's custodian and
transfer agent, Kemper Service Company (KSvC) is
the shareholder services agent of the Fund. Under
the agreement, KSvC received shareholder services
fees of $37,000 for the period ended July 31, 1996.
OFFICERS AND TRUSTEES. Certain officers or trustees
of the Fund are also officers or directors of ZKI.
During the period ended July 31, 1996 the Fund made
no payments to its officers and incurred trustees'
fees of $17,000 to independent trustees.
33
<PAGE> 34
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
4 INVESTMENT For the period ended July 31, 1996 investment
TRANSACTIONS transactions (excluding short-term instruments)
are as follows (in thousands):
<TABLE>
<CAPTION>
KEMPER KEMPER KEMPER
HORIZON 20+ HORIZON 10+ HORIZON 5
----------- ----------- ---------
<S> <C> <C> <C>
Purchases $24,724 23,616 12,383
Proceeds from sales 5,993 4,347 1,662
</TABLE>
- --------------------------------------------------------------------------------
5 CAPITAL SHARE The following tables summarize the activity in
TRANSACTIONS capital shares of the Portfolios for the period
December 29, 1995 (commencement of operations) to
July 31, 1996 (in thousands):
<TABLE>
<CAPTION>
KEMPER HORIZON 20+ PORTFOLIO SHARES AMOUNT
<S> <C> <C>
---------------------------------------------------------------------------
SHARES SOLD
---------------------------------------------------------------------------
Class A 854 $ 8,500
Class B 888 8,850
---------------------------------------------------------------------------
Class C 86 857
---------------------------------------------------------------------------
Class I 103 1,045
---------------------------------------------------------------------------
SHARES REDEEMED
---------------------------------------------------------------------------
Class A (26) (264)
---------------------------------------------------------------------------
Class B (18) (179)
---------------------------------------------------------------------------
Class C (7) (68)
---------------------------------------------------------------------------
Class I (5) (57)
---------------------------------------------------------------------------
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS $18,684
---------------------------------------------------------------------------
</TABLE>
34
<PAGE> 35
NOTES TO FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
KEMPER HORIZON 10+ PORTFOLIO SHARES AMOUNT
<S> <C> <C>
--------------------------------------------------------------------------
SHARES SOLD
--------------------------------------------------------------------------
Class A 986 $ 9,625
--------------------------------------------------------------------------
Class B 920 8,999
--------------------------------------------------------------------------
Class C 89 877
--------------------------------------------------------------------------
Class I 12 104
--------------------------------------------------------------------------
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS
--------------------------------------------------------------------------
Class A 5 48
--------------------------------------------------------------------------
Class B 2 20
--------------------------------------------------------------------------
Class C 1 3
--------------------------------------------------------------------------
SHARES REDEEMED
--------------------------------------------------------------------------
Class A (21) (208)
--------------------------------------------------------------------------
Class B (27) (264)
--------------------------------------------------------------------------
Class C (4) (45)
--------------------------------------------------------------------------
Class I (1) (1)
--------------------------------------------------------------------------
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS $19,158
--------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
KEMPER HORIZON 5 PORTFOLIO SHARES AMOUNT
<S> <C> <C>
--------------------------------------------------------------------------
SHARES SOLD
--------------------------------------------------------------------------
Class A 509 $ 4,935
--------------------------------------------------------------------------
Class B 611 5,902
--------------------------------------------------------------------------
Class C 64 625
--------------------------------------------------------------------------
Class I 10 102
--------------------------------------------------------------------------
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS
--------------------------------------------------------------------------
Class A 3 26
--------------------------------------------------------------------------
Class B 2 22
--------------------------------------------------------------------------
Class C 1 3
--------------------------------------------------------------------------
Class I 1 1
--------------------------------------------------------------------------
SHARES REDEEMED
--------------------------------------------------------------------------
Class A (54) (524)
--------------------------------------------------------------------------
Class B (20) (195)
--------------------------------------------------------------------------
Class C (4) (42)
--------------------------------------------------------------------------
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS $10,855
--------------------------------------------------------------------------
</TABLE>
35
<PAGE> 36
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DECEMBER 29, 1995
TO APRIL 8, 1996
JULY 31, 1996 TO
----------------------------------- JULY 31, 1996
<S> <C> <C> <C> <C>
KEMPER HORIZON 20+ PORTFOLIO CLASS A CLASS B CLASS C CLASS I
- -------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- -------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $9.50 9.50 9.50 10.03
- -------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .18 .11 .13 .07
- -------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (a) .04 .04 .04 (.37)
- -------------------------------------------------------------------------------------------------------------------
Total from investment operations .22 .15 .17 (.30)
- -------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $9.72 9.65 9.67 9.73
- -------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (NOT ANNUALIZED) 2.32% 1.58 1.79 (2.99)
- -------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED)
- -------------------------------------------------------------------------------------------------------------------
Expenses absorbed by the Portfolio 1.48% 2.26 2.23 .73
- -------------------------------------------------------------------------------------------------------------------
Net investment income 1.51 .73 .76 2.32
- -------------------------------------------------------------------------------------------------------------------
OTHER RATIOS TO AVERAGE NET ASSETS (ANNUALIZED)
- -------------------------------------------------------------------------------------------------------------------
Expenses 1.54% 2.32 2.29 .79
- -------------------------------------------------------------------------------------------------------------------
Net investment income 1.45 .67 .70 2.26
- -------------------------------------------------------------------------------------------------------------------
SUPPLEMENTAL DATA FOR ALL CLASSES
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
DECEMBER 29, 1995
TO
JULY 31, 1996
- --------------------------------------------------------------------------------------------------------------------
<S> <C>
Net assets at end of period (in thousands) $18,251
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate (annualized) 122%
- --------------------------------------------------------------------------------------------------------------------
Average commission rate paid per share on stock transactions $ .0417
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE FOR KEMPER HORIZON 20+ PORTFOLIO: (a) While there is a net realized and
unrealized loss on investments reflected in the statement of operations, the per
share amount above for Class A, Class B and Class C reflects a gain due to the
timing of fund share sales and the resulting arithmetic calculation.
36
<PAGE> 37
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DECEMBER 29, 1995 APRIL 8, 1996
TO TO
JULY 31, 1996 JULY 31, 1996
-----------------------------------
KEMPER HORIZON 10+ PORTFOLIO CLASS A CLASS B CLASS C CLASS I
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- --------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $9.50 9.50 9.50 9.83
- --------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .20 .17 .17 .09
- --------------------------------------------------------------------------------------------------------------------
Net realized and unrealized loss (.04) (.04) (.04) (.26)
- --------------------------------------------------------------------------------------------------------------------
Total from investment operations .16 .13 .13 (.17)
- --------------------------------------------------------------------------------------------------------------------
Less distribution from net investment income .06 .03 .03 .09
- --------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $9.60 9.60 9.60 9.57
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (NOT ANNUALIZED) 1.70% 1.38 1.39 (1.74)
- --------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED)
- --------------------------------------------------------------------------------------------------------------------
Expenses absorbed by the Portfolio 1.48% 2.26 2.23 .73
- --------------------------------------------------------------------------------------------------------------------
Net investment income 2.40 1.62 1.65 3.12
- --------------------------------------------------------------------------------------------------------------------
OTHER RATIOS TO AVERAGE NET ASSETS (ANNUALIZED)
- --------------------------------------------------------------------------------------------------------------------
Expenses 1.52% 2.30 2.27 .77
- --------------------------------------------------------------------------------------------------------------------
Net investment income 2.36 1.58 1.61 3.08
- --------------------------------------------------------------------------------------------------------------------
SUPPLEMENTAL DATA FOR ALL CLASSES
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
DECEMBER 29, 1995
TO
JULY 31, 1996
- --------------------------------------------------------------------------------------------------------------------
<S> <C>
- --------------------------------------------------------------------------------------------------------------------
Net assets at end of period (in thousands) $18,912
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate (annualized) 87%
- --------------------------------------------------------------------------------------------------------------------
Average commission rate paid per share on stock transactions $ .0413
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE> 38
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DECEMBER 29, 1995 APRIL 8, 1996
TO TO
JULY 31, 1996 JULY 31, 1996
-----------------------------------
<S> <C> <C> <C> <C>
KEMPER HORIZON 5 PORTFOLIO CLASS A CLASS B CLASS C CLASS I
- -------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- -------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $9.50 9.50 9.50 9.69
- -------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .25 .21 .21 .08
- -------------------------------------------------------------------------------------------------------------
Net realized and unrealized loss (.07) (.07) (07) (.11)
- -------------------------------------------------------------------------------------------------------------
Total from investment operations .18 .14 .14 (.03)
- -------------------------------------------------------------------------------------------------------------
Less distribution from net investment income .11 .07 .07 .08
- -------------------------------------------------------------------------------------------------------------
Net asset value, end of period $9.57 9.57 9.57 9.58
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN (NOT ANNUALIZED) 1.84% 1.44 1.45 (.31)
- -------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED)
- -------------------------------------------------------------------------------------------------------------
Expenses absorbed by the Portfolio 1.48% 2.26 2.23 .73
- -------------------------------------------------------------------------------------------------------------
Net investment income 3.20 2.42 2.45 4.11
- -------------------------------------------------------------------------------------------------------------
OTHER RATIOS TO AVERAGE NET ASSETS (ANNUALIZED)
- -------------------------------------------------------------------------------------------------------------
Expenses 1.53% 2.31 2.28 .78
- -------------------------------------------------------------------------------------------------------------
Net investment income 3.15 2.37 2.40 4.06
- -------------------------------------------------------------------------------------------------------------
SUPPLEMENTAL DATA FOR ALL CLASSES
- -------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
DECEMBER 29, 1995
TO
JULY 31, 1996
<S> <C>
- --------------------------------------------------------------------------------------------------------------------
Net assets at end of period (in thousands) $10,831
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate (annualized) 57%
- --------------------------------------------------------------------------------------------------------------------
Average commission rate paid per share on stock transactions $ .0460
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTES TO ALL PORTFOLIOS: Total returns do not reflect the effect of any sales
charges. Per share data was determined based on average shares outstanding
during the period.
The investment manager agreed to temporarily reduce its management fee and
absorb certain operating expenses of the Portfolios. Other Ratios to Average Net
Assets are computed without this expense waiver or absorption.
38
<PAGE> 39
NOTES
39
<PAGE> 40
TRUSTEES & OFFICERS
TRUSTEES OFFICERS
STEPHEN B. TIMBERS JOHN E. NEAL
President and Trustee Vice President
JAMES E. AKINS THOMAS M. REGNER
Trustee Vice President
ARTHUR R. GOTTSCHALK STEVEN H. REYNOLDS
Trustee Vice President
FREDERICK T. KELSEY CHARLES F. CUSTER
Trustee Vice President and
Assistant Secretary
DOMINIQUE P. MORAX PHILIP J. COLLORA
Trustee Vice President and
Secretary
FRED B. RENWICK JEROME L. DUFFY
Trustee Treasurer
JOHN B. TINGLEFF ELIZABETH C. WERTH
Trustee Assistant Secretary
JOHN G. WEITHERS
Trustee
- --------------------------------------------------------------------------------
LEGAL COUNSEL VEDDER, PRICE, KAUFMAN & KAMMHOLZ
222 North LaSalle Street
Chicago, IL 60601
- --------------------------------------------------------------------------------
SHAREHOLDER SERVICE AGENT KEMPER SERVICE COMPANY
P.O. Box 419557
Kansas City, MO 64141
- --------------------------------------------------------------------------------
CUSTODIAN AND TRANSFER AGENT INVESTORS FIDUCIARY TRUST COMPANY
127 West 10th Street
Kansas City, MO 64105
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS ERNST & YOUNG LLP
233 South Wacker Drive
Chicago, IL 60606
- --------------------------------------------------------------------------------
INVESTMENT MANAGERS ZURICH KEMPER INVESTMENTS, INC.
DREMAN VALUE ADVISORS, INC.
PRINCIPAL UNDERWRITER KEMPER DISTRIBUTORS, INC.
120 South LaSalle Street Chicago, IL 60603
http://www.kemper.com
(RECYCLE LOGO)
Printed on recycled paper.
This report is not to be distributed
unless preceded or accompanied by a
Kemper Horizon Fund prospectus.
[KEMPER LOGO]
KHF - 2 (9/96)
1020760
Printed in the U.S.A.
