<PAGE> 1
LONG-TERM INVESTING IN A SHORT-TERM WORLD(SM)
SEMIANNUAL REPORT TO
SHAREHOLDERS FOR THE PERIOD
ENDED JANUARY 31, 2000
[LOGO]
Kemper Horizon 20+ Portfolio
Kemper Horizon 10+ Portfolio
Kemper Horizon 5 Portfolio
KEMPER HORIZON FUND
"... We understand that the recent trends of a
momentum-driven market can make it difficult to
stick to a rational, grounded investment plan.
Against the backdrop of shorter-term ups and
downs, we encourage shareholders to remain
focused on the long term and committed to the
merits of thoughtful diversification. ..."
[KEMPER FUNDS LOGO]
<PAGE> 2
CONTENTS
3
ECONOMIC OVERVIEW
5
PERFORMANCE UPDATE
8
TERMS TO KNOW
9
STATISTICS FOR HORIZON 20+ LARGEST HOLDINGS
10
STATISTICS FOR HORIZON 10+ LARGEST HOLDINGS
11
STATISTICS FOR HORIZON 5 LARGEST HOLDINGS
12
PORTFOLIOS OF INVESTMENTS 35
FINANCIAL STATEMENTS
38
FINANCIAL HIGHLIGHTS
44
NOTES TO FINANCIAL STATEMENTS
AT A GLANCE
KEMPER HORIZON FUND TOTAL RETURNS*
FOR THE SIX-MONTH PERIOD ENDED JANUARY 31, 2000 (UNADJUSTED FOR ANY SALES
CHARGE)
<TABLE>
<CAPTION>
CLASS A CLASS B CLASS C
............................................................
<S> <C> <C> <C>
HORIZON 20+ -2.13% -2.53% -2.60%
............................................................
HORIZON 10+ -0.84% -1.29% -1.29%
............................................................
HORIZON 5 -0.42% -0.84% -0.90%
............................................................
</TABLE>
RETURNS AND RANKINGS ARE HISTORICAL AND DO NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURNS AND PRINCIPAL VALUES WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH 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 OR THE FINANCIAL HIGHLIGHTS
AT THE END OF THIS REPORT.
NET ASSET VALUE
<TABLE>
<CAPTION>
AS OF AS OF
1/31/00 7/31/99
.........................................................
<S> <C> <C>
HORIZON 20+ CLASS A $12.47 $14.01
.........................................................
HORIZON 20+ CLASS B $12.24 $13.72
.........................................................
HORIZON 20+ CLASS C $12.22 $13.70
.........................................................
HORIZON 10+ CLASS A $11.40 $12.79
.........................................................
HORIZON 10+ CLASS B $11.39 $12.78
.........................................................
HORIZON 10+ CLASS C $11.35 $12.73
.........................................................
HORIZON 5 CLASS A $10.67 $11.31
.........................................................
HORIZON 5 CLASS B $10.67 $11.31
.........................................................
HORIZON 5 CLASS C $10.66 $11.30
.........................................................
</TABLE>
KEMPER HORIZON FUND
RANKINGS AS OF 1/31/00
COMPARED WITH ALL OTHER FUNDS IN THE LIPPER CATEGORIES**
<TABLE>
<CAPTION>
CLASS A CLASS B CLASS C
...........................................................................................
<S> <C> <C> <C>
HORIZON 20+ 1-
YEAR
#196 of 231 funds #203 of 231 funds #204 of 231 funds
...........................................................................................
3-YEAR
#131 of 172 funds #143 of 172 funds #145 of 172 funds
...........................................................................................
HORIZON 10+ 1-
YEAR
#302 of 457 funds #324 of 457 funds #328 of 457 funds
...........................................................................................
3-YEAR
#245 of 339 funds #278 of 339 funds #279 of 339 funds
...........................................................................................
HORIZON 5 1-YEAR
#54 of 101 funds #68 of 101 funds #72 of 101 funds
...........................................................................................
3-YEAR
#47 of 66 funds #51 of 66 funds #54 of 66 funds
...........................................................................................
</TABLE>
**LIPPER ANALYTICAL SERVICES, INC. RANKINGS ARE BASED UPON CHANGES IN NET ASSET
VALUE WITH ALL DIVIDENDS REINVESTED AND DO NOT INCLUDE THE EFFECT OF SALES
CHARGES; IF SALES CHARGES HAD BEEN INCLUDED, RESULTS MAY HAVE BEEN LESS
FAVORABLE. RANKINGS ARE HISTORICAL AND DO NOT GUARANTEE FUTURE RESULTS. THE
PORTFOLIOS ARE COMPARED WITH THEIR RESPECTIVE LIPPER CATEGORIES AS FOLLOWS:
KEMPER HORIZON 20+, FLEXIBLE PORTFOLIO; KEMPER HORIZON 10+, BALANCED PORTFOLIO;
AND KEMPER HORIZON 5, INCOME PORTFOLIO.
DIVIDEND REVIEW
DURING THE PERIOD ENDED JANUARY 31, 2000, THE FUND MADE THE FOLLOWING
DISTRIBUTIONS PER SHARE:
<TABLE>
<CAPTION>
LONG- SHORT-
TERM TERM
INCOME DIVIDEND CAPITAL CAPITAL
CLASS A CLASS B CLASS C GAIN GAIN
.....................................................................
<S> <C> <C> <C> <C> <C>
HORIZON 20+
PORTFOLIO $0.13000 $0.0300 -- $1.01 $0.130
.....................................................................
HORIZON 10+
PORTFOLIO $0.1690 $0.1120 $0.1020 $0.672 $0.46
.....................................................................
HORIZON 5
PORTFOLIO $0.1875 $0.1504 $0.1432 $0.300 $0.10
.....................................................................
</TABLE>
YOUR FUND'S STYLE
MORNINGSTAR EQUITY STYLE BOX
<TABLE>
<S> <C>
[MORNINGSTAR EQUITY STYLE SOURCE: Morningstar, Inc., Chicago, IL.
BOX] (312)696-6000. The Morningstar Equity Style Box
placement is based on two variables: a fund's
market capitalization relative to the movements
of the market and a fund's valuation, which is
calculated by comparing the stocks in the fund's
portfolio with the most relevant of the three
market-cap groups. The Fixed-Income Style Box
placement is based on a fund's average effective
maturity or duration and the average credit
rating of the bond's portfolio.
THE STYLE BOXES REPRESENT A SNAPSHOT OF A FUND'S
PORTFOLIO ON A SINGLE DAY. PLEASE NOTE THAT STYLE
BOXES DO NOT REPRESENT AN EXACT ASSESSMENT OF
RISK AND DO NOT REPRESENT FUTURE PERFORMANCE. THE
FUND'S PORTFOLIO CHANGES FROM DAY TO DAY. A
LONGER-TERM VIEW IS REPRESENTED BY THE FUND'S
MORNINGSTAR CATEGORY, WHICH IS BASED ON ITS
ACTUAL INVESTMENT STYLE AS MEASURED BY ITS
UNDERLYING PORTFOLIO HOLDINGS OVER THE PAST THREE
YEARS. MORNINGSTAR HAS PLACED KEMPER HORIZON 5
PORTFOLIO AND KEMPER HORIZON 10+ PORTFOLIO IN THE
DOMESTIC HYBRID CATEGORY AND KEMPER HORIZON 20+
PORTFOLIO IN THE LARGE BLEND CATEGORY. PLEASE
CONSULT THE PROSPECTUS FOR A DESCRIPTION OF
INVESTMENT POLICIES.
</TABLE>
<PAGE> 3
ECONOMIC OVERVIEW
SCUDDER KEMPER INVESTMENTS, THE INVESTMENT MANAGER FOR KEMPER FUNDS, IS ONE OF
THE LARGEST AND MOST EXPERIENCED INVESTMENT MANAGEMENT ORGANIZATIONS IN THE
WORLD, MANAGING MORE THAN $290 BILLION IN ASSETS FOR INSTITUTIONAL AND CORPORATE
CLIENTS, RETIREMENT AND PENSION PLANS, INSURANCE COMPANIES, MUTUAL FUND
INVESTORS AND INDIVIDUALS. SCUDDER KEMPER INVESTMENTS OFFERS A FULL RANGE OF
INVESTMENT COUNSEL AND ASSET MANAGEMENT CAPABILITIES BASED ON A COMBINATION OF
PROPRIETARY RESEARCH AND DISCIPLINED, LONG-TERM INVESTMENT STRATEGIES.
DEAR KEMPER FUNDS SHAREHOLDER:
The end of the metaphorical millennium, it turns out, was not a disaster.
Instead, it was an excuse to party. And why not? As our technological revolution
gained critical mass, its vast potential came into better focus. Capital
spending on information technology didn't slow down; it accelerated. Inflation
remained dormant. The budget surplus nearly doubled, with the promise of oceans
of black ink yet to come. Even the government delivered good news: Its
statisticians toyed with the national accounts to reveal a more productive
economy. It's no wonder the prevailing sentiment could be summed up with the
quintessentially American yelp of glee: Yahoo!
With the potential Y2K crisis seemingly behind us, the main question hanging
over the economy has been how much the Federal Reserve Board will boost interest
rates to soak up extra liquidity caused by its pre-Y2K infusion of cash into the
economy. The Fed began that process on Feb. 2. Fearing that "increases in
demand" would foster "inflationary imbalances," the policymakers raised interest
rates by a quarter of a percentage point (0.25%). Later, in his Feb. 17
Humphrey-Hawkins testimony before the House of Representatives, Fed Chairman
Alan Greenspan made it clear that he was still concerned about the economy's
imbalances. We thus expect a quarter-point rate hike at the March 21 Fed
meeting, and another quarter-point increase in May.
Although some investors have expressed fear that the Fed's sucking cash out of
banks will jolt the financial system, we're more likely to see a slow winding
down, thanks to persistent low inflation. Yes, some prices are higher: Filling
up the SUV's gas tank definitely costs more. But the rate of inflation for
non-energy goods and services has actually slowed during the past year. Although
most analysts are worried that the reprieve won't last -- assuming that higher
commodity prices, a softer dollar and the scarcity of skilled workers will show
up as higher prices at the checkout counter -- we'd turn that worry on its head.
If inflation hasn't accelerated after three years of over 4-percent gross
domestic product (GDP) growth and an unprecedented credit explosion, prices
aren't likely to increase if growth slows and lenders get stingier.
More good news stems from the technological investment boom. While executives
have pared capital budgets in traditional areas such as industrial machinery and
buildings, they've boosted outlays on computers and software. Thanks to the
sheer force of technology spending, overall business investment has grown two to
four times as fast as GDP in every year since 1993. And that expansion should
continue, with more than 20 percent growth likely in high-tech through 2000 and
even beyond. And technology hurts inflation. It saves on labor and inventory,
increases capacity, creates new competitors, cuts out middlemen, gives shoppers
comparative price information and enables global auctions.
Our outlook is for inflation to stay centered around 2 percent, and we expect
a gentle slowing of growth from 4 percent in 1999 to around 3.5 percent in 2000
and just under 2.5 percent in 2001.
Despite this positive outlook, pre-Y2K fears were sufficient to show many
investors that risks still exist in today's markets and remind them that they
could be in for a serious hangover.
The prospect of sparkling growth with no inflation has excited equity
investors, but there's a catch: declining corporate pricing power. If companies
don't have the ability to increase prices, profit growth will decline -- and
it's already happening. For the five years ending in June 1999, S&P 500
operating earnings averaged 9 percent, two and a half percentage points per year
slower than analysts had predicted. Profits did recover strongly in the second
half of 1999, but we suspect that they will soon sputter again. And the
economy's newfound productivity won't change the rules and allow companies to
make money even if they can't raise prices. Productivity gains do produce a
windfall, but historically customers and employees have grabbed the lion's
share. Web sites and dot.coms haven't changed this one iota. As a result, we
expect profits to be virtually flat in all of 2000 and to decline as the economy
slows in 2001.
Debt is another drink that could bring on future headaches. America has been
swigging it in prodigious amounts. Companies have borrowed heavily to fund
mergers, share buybacks and new investments. Homeowners have increased their
debt with new home equity loans and bigger mortgages. Financial institutions
have issued record amounts of new paper to fund aggressive growth. There's no
hard and fast rule for determining if the debt America is
3
<PAGE> 4
- --------------------------------------------------------------------------------
ECONOMIC OVERVIEW
- --------------------------------------------------------------------------------
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 (1/31/00) 6 MONTHS AGO 1 YEAR AGO 2 YEARS AGO
------------- ------------ ---------- -----------
<S> <C> <C> <C> <C>
10-year Treasury rate (1) 6.70 5.80 4.70 5.50
Prime rate (2) 8.50 7.75 7.75 8.50
Inflation rate (3)* 2.70 2.00 1.60 1.70
The U.S. dollar (4) 1.50 -2.2 -4.2 9.40
Capital goods orders (5)* 18.30 -0.2 10.60 6.50
Industrial production (5)* 5.00 3.90 2.40 6.70
Employment growth (6) 2.30 2.40 2.20 2.80
</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 PERCENT. 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.
*DATA AS OF 12/31/99.
SOURCE: ECONOMICS DEPARTMENT, SCUDDER KEMPER INVESTMENTS, INC.
taking on is too much, but warning bells should sound when debt grows by orders
of magnitude faster than necessary to fund economic activity. That happened in
1985 and 1986, when excess credit created a commercial real estate bubble and
funded dubious leveraged buyouts with suspect junk bonds, and it's happening
again now. Both the commercial real estate and the high yield markets took years
to recover. Today, the sheer size of the excesses could make the "morning after"
even more painful.
The end result: Given the continuing thrust of growth from the technological
revolution, an improving world economy and the Fed's experience and skill, 2000
could turn out to be a good year. But it's highly unlikely to be as good a year
as 1999.
Thank you for your continued support. We appreciate the opportunity to serve
your investment needs.
Sincerely,
Scudder Kemper Investments Economics Group
THE INFORMATION CONTAINED IN THIS PIECE HAS BEEN TAKEN FROM SOURCES BELIEVED TO
BE RELIABLE, BUT THE ACCURACY OF THE INFORMATION IS NOT GUARANTEED. THE OPINIONS
AND FORECASTS EXPRESSED ARE THOSE OF THE ECONOMIC ADVISORS OF SCUDDER KEMPER
INVESTMENTS, INC. AS OF MARCH 1, 2000, AND MAY NOT ACTUALLY COME TO PASS. THIS
INFORMATION IS SUBJECT TO CHANGE. NO PART OF THIS MATERIAL IS INTENDED AS AN
INVESTMENT RECOMMENDATION.
TO OBTAIN A KEMPER FUNDS PROSPECTUS, DOWNLOAD ONE FROM WWW.KEMPER.COM, TALK TO
YOUR FINANCIAL REPRESENTATIVE OR CALL SHAREHOLDER SERVICES AT (800) 621-1048.
THE PROSPECTUS CONTAINS MORE COMPLETE INFORMATION, INCLUDING MANAGEMENT FEES AND
EXPENSES. PLEASE READ IT CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
4
<PAGE> 5
PERFORMANCE UPDATE
[TYMOCZKO PHOTO]
LEAD PORTFOLIO MANAGER ROBERT TYMOCZKO IS A VICE PRESIDENT OF SCUDDER KEMPER
INVESTMENTS, INC. AND A MEMBER OF THE FIRM'S QUANTITATIVE GROUP. PORTFOLIO
MANAGER SHAHRAM TAJBAKHSH, A SPECIALIST IN BOTH DOMESTIC AND INTERNATIONAL
QUANTITATIVE RESEARCH, CONTRIBUTES EIGHT YEARS OF INVESTMENT INDUSTRY
EXPERIENCE. AL GODUTI, A MEMBER OF THE FIRM'S GLOBAL BOND GROUP, OVERSEES THE
FIXED-INCOME PORTIONS OF KEMPER HORIZON FUND. PORTFOLIO MANAGER JOSEPHINE CHU
ALSO CONTRIBUTES TO THE MANAGEMENT OF THE FUND. THE TEAM IS SUPPORTED BY SCUDDER
KEMPER INVESTMENTS' LARGE STAFF OF ANALYSTS, RESEARCHERS, TRADERS AND ECONOMISTS
IN OFFICES WORLDWIDE.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO MANAGEMENT
TEAM ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THE MANAGERS' VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET AND OTHER
CONDITIONS.
DURING THE SEMIANNUAL PERIOD, A NARROW, GROWTH-DRIVEN MARKET CREATED CHALLENGES
FOR KEMPER HORIZON FUND. BELOW, THE PORTFOLIO MANAGEMENT TEAM DISCUSSES THE
INVESTMENT ENVIRONMENT AND WHY THE FUND STRUGGLED. THE TEAM ALSO HIGHLIGHTS SOME
IMPORTANT PRINCIPLES ABOUT THOUGHTFUL, LONG-TERM INVESTING.
Q BEFORE DISCUSSING THE PERFORMANCE OF THE PORTFOLIOS IN DETAIL, COULD YOU
PROVIDE US WITH AN OVERVIEW OF THE MARKET ENVIRONMENT?
A During the past six months, the U.S. stock market was extremely narrow. By
that, we mean that a small group of stocks performed well, while the
majority of stocks struggled.
Generally, the best-performing stocks were those of technology companies.
During the final months of the year, enthusiasm about the Internet outweighed
concerns about Y2K vulnerability. In particular, small, often-untested
technology companies benefited from substantial cash flows and investor
attention. Biotechnology stocks also moved ahead of the pack. When it came to
these favored growth stocks, investors were willing to pay incredibly high
prices. Meanwhile, they turned away from many fundamentally strong value-
oriented stocks.
Despite the exuberance with which investors have flocked to technology stocks,
there has also been a high degree of anxiety in the markets. Legislative and
regulatory uncertainty has put a damper on many health care stocks. (Because
health care is a politicized issue, these companies come under pressure during
election periods.) Investors have also been extremely preoccupied with the
Federal Reserve's decision to raise interest rates.
During the semiannual period, the international stock markets generally
mirrored those of the United States. This similarity makes sense, given the
globalization of the economy and the increasing interdependence among countries.
Abroad, growth stocks also earned better returns than their value counterparts,
with technology leading the way. Among international markets, Japan and Hong
Kong offered particularly robust pockets of performance. By comparison, the
European region was more muted.
Q HOW DID THE KEMPER HORIZON FUND PORTFOLIOS PERFORM?
A For the six months ending January 31, 2000, Kemper Horizon 5 Portfolio
earned -0.42 percent; Kemper Horizon 10+ Portfolio gained -0.84 percent;
and Kemper Horizon 20+ Portfolio returned -2.13 percent. (All returns are for
Class A shares, unadjusted for sales charges.)
Q HOW DID YOUR INVESTMENT STYLE FARE DURING THE SEMIANNUAL PERIOD?
A Our investment discipline favors stocks with reasonable valuations and
stable price and earnings histories. We focus on the long term, seeking
stocks with solid histories and compelling future prospects. Our discipline
places a premium on demonstrated earnings, strong balance sheet data, and stable
5
<PAGE> 6
PERFORMANCE UPDATE
<TABLE>
<CAPTION>
TOTAL RETURN%
INDEX BENCHMARK FOR: (7/31/99-1/31/00)
<S> <C> <C>
RUSSELL 2000 GROWTH SMALL-CAP GROWTH STOCKS 29.66%
..............................................................................................................................
RUSSELL 1000 GROWTH LARGE-CAP GROWTH STOCKS 18.68
..............................................................................................................................
RUSSELL 2000 SMALL-CAP GROWTH AND VALUE STOCKS 12.25
..............................................................................................................................
RUSSELL 1000 LARGE-CAP GROWTH AND VALUE STOCKS 7.24
..............................................................................................................................
RUSSELL 1000 VALUE LARGE-CAP VALUE STOCKS -5.22
..............................................................................................................................
RUSSELL 2000 VALUE SMALL-CAP VALUE STOCKS -6.64
..............................................................................................................................
MERRILL LYNCH 1-3 YEAR TREASURY SHORT-TERM BONDS 1.51
..............................................................................................................................
MSCI EAFE INTERNATIONAL STOCKS, FROM DEVELOPED MARKETS 11.19
..............................................................................................................................
</TABLE>
AS THE TABLE ABOVE SHOWS, GROWTH STOCKS -- PARTICULARLY SMALL-CAP GROWTH
STOCKS -- LED THE WAY. VALUE STOCKS, BOTH LARGE AND SMALL, FELL BEHIND. GIVEN
HISTORICAL PATTERNS, THIS CURRENT DISPARITY BETWEEN GROWTH AND VALUE IS
UNUSUALLY WIDE. OVERALL, INTERNATIONAL MARKETS POSTED QUITE RESPECTABLE GAINS.
BONDS, INCLUDING SHORTER-TERM ISSUES, WERE GENERALLY SLUGGISH, HINDERED BY
INTEREST-RATE INCREASES.
SOURCE: LIPPER ANALYTICAL SERVICES, INC. PAST PERFORMANCE IS NO GUARANTEE OF
FUTURE RESULTS. THE INDICES ARE UNMANAGED POOLS OF ASSETS THAT ARE NOT AVAILABLE
FOR DIRECT INVESTMENT, AND DO NOT REPRESENT THE PERFORMANCE OF ANY KEMPER FUND.
and reasonable stock-price patterns. We don't let the momentum of the market
dictate our investment decisions, and instead use thoughtful analysis to select
stocks.
Unfortunately, our discipline was out of sync with the market during the
semiannual period. As we mentioned earlier, investors flocked to growth stocks,
particularly technology stocks. Many of these stocks were trading at incredibly
lofty prices relative to their earnings, book values and revenues, which runs
counter to our investment disciplines. And many top performers were not
particularly stable, often displaying high levels of earnings variability and
price volatility.
We recognize that some shareholders may be concerned that the fund
underperformed the benchmarks, in both absolute and relative terms. While never
making light of shortfalls, we would emphasize that the past six months as well
as the past two years has been an unusual time, given the longer-term patterns
of the stock market. No one can predict what tomorrow's market will be like, but
we do believe that ultimately, a rational approach is the best course for the
long-term investor.
Q
IN TERMS OF SECTOR EXPOSURE AND STOCKS, WHAT DIDN'T WORK OUT AS WELL AS
ANTICIPATED?
A
Telecommunications and technology stocks were among the top-performing
groups during the period, and we had limited exposure to these areas. Our
financial services exposure also limited performance. This group has faced
uphill terrain since 1998. As we mentioned, these stocks tend to falter in
rising-rate environments. While we pared back financials during the semiannual
period, most any type of exposure to that group had a negative impact.
Within the international portion of the portfolio, our exposure to Canadian
and Italian companies also slowed gains. Also, as a result of its focus on
developed nations, Kemper Horizon Fund did not participate in the recovery of
several emerging markets.
Q
WHY DO THE PORTFOLIOS HAVE DIFFERENT RETURNS? IS IT BECAUSE EACH HAS A
DIFFERENT TIME HORIZON AND OBJECTIVE?
A
Yes, because each portfolio has a different time horizon and risk
tolerance, each has a different overall asset allocation and, consequently,
varying returns.
Kemper Horizon 5 Portfolio, the most conservative of the three, has the
greatest amount in fixed-income securities and is designed for investors with a
time horizon of at least five years. Kemper Horizon 20+ Portfolio holds less
than a quarter of its assets in bonds. This choice is designed for those who
have investment goals that are at least 20 years away. Kemper Horizon 10+
Portfolio, meanwhile, falls in between the other two choices. This portfolio is
designed for investors with time horizons of at least a decade.
6
<PAGE> 7
PERFORMANCE UPDATE
ASSET ALLOCATION IN ACTION
Typically, we allocate assets as shown below:
KEMPER HORIZON 5 PORTFOLIO
[PIE CHART]
<TABLE>
<CAPTION>
20% U.S. LARGE-CAP 12% FOREIGN 8% U.S. SMALL-CAP
60% FIXED-INCOME STOCKS STOCKS STOCKS
---------------- ------------------ ----------- -----------------
<S> <C> <C> <C> <C>
60 20 12 8
</TABLE>
KEMPER HORIZON 10+ PORTFOLIO
[PIE CHART]
<TABLE>
<CAPTION>
29% U.S. LARGE-CAP 18% FOREIGN 13% U.S. SMALL-CAP
40% FIXED-INCOME STOCKS STOCKS STOCKS
---------------- ------------------ ----------- ------------------
<S> <C> <C> <C> <C>
40 29 18 13
</TABLE>
KEMPER HORIZON 20+ PORTFOLIO
[PIE CHART]
<TABLE>
<CAPTION>
39% U.S. LARGE-CAP 24% FOREIGN 17% U.S. SMALL-CAP
STOCKS STOCKS 20% FIXED-INCOME STOCKS
------------------ ----------- ---------------- ------------------
<S> <C> <C> <C> <C>
39 24 20 17
</TABLE>
Q THEORETICALLY, WHAT ARE THE BENEFITS OF DIVERSIFICATION?
A Diversification is a well-recognized technique for managing risk.
Typically, different types of investments tend to shine (and fade) at
different times. The goal of diversification is to offset the declines of one
type of investment with the gains of other types.
Q IT'S BEEN SAID THAT "DIVERSIFICATION WORKS EVEN WHEN YOU DON'T WANT IT
TO." WHAT DOES THAT MEAN?
A As we've noted, the theory of diversification is that if one type of
investment declines, the performance of other investments may offset the
losses.
But diversification also tempers upside returns. For instance, as a result of
diversification, a fund would be limited in its ability to participate fully in
the top-performing investment group.
Q HOW DO YOU SELECT STOCKS?
A We use proprietary, quantitative techniques to select stocks. We utilize
sophisticated models that leverage more than a decade of testing,
development and real-time implementations. These models synthesize the expertise
and ideas of countless investment professionals across the Scudder Kemper
Investments organization and allow us to thoroughly monitor thousands of stocks.
Through quantitative modeling techniques, we are able to evaluate an
exhaustive group of statistics, including earnings growth, price trends, balance
sheet data and analyst expectations. In an unpredictable, emotion-driven market,
we believe that a rational, research-driven approach offers an edge in managing
long-term risk and reward parameters.
Q HOW WAS THE STOCK PORTION OF THE PORTFOLIO ALLOCATED BETWEEN GROWTH-STYLE
AND VALUE-STYLE HOLDINGS?
A Both the domestic and international stock components are divided fairly
equally between growth and value stocks. In the past, the stock components
of the portfolio have had more pronounced value biases. During the semiannual
period, our decision to bolster growth exposure has benefited overall exposure.
Unfortunately, having any value exposure has proved difficult. Yet, we feel that
these value stocks do offer meaningful long-term opportunity.
Q IN ADDITION TO STOCKS, EACH PORTFOLIO INCLUDES BONDS. PLEASE TELL US MORE
ABOUT THIS SEGMENT OF THE PORTFOLIO.
A The fixed-income component is designed to provide income and relative
stability. As the pie charts show, the most conservative option, Kemper
Horizon 5 Portfolio, holds the greatest percentage in bonds, while the more
aggressive Kemper Horizon 20+ Portfolio holds the lowest percentage in bonds.
U.S. Treasury bonds make up the bulk of the fixed-income exposure,
approximately 80 percent, while federal agency issues make up the remainder. The
durations of the portfolios were ranged from about 1.5 to 1.7 years. Simply put,
duration is a measure of interest-rate sensitivity. The higher the duration, the
greater the bond's sensitivity to
7
<PAGE> 8
PERFORMANCE UPDATE
interest-rate increases. Typically, we target a duration of about two years for
the portfolio, but in anticipation of additional rate hikes and tightening
monetary policy, we felt that it was prudent to hold the duration a bit lower.
If we see appropriate signals of interest-rate stabilization, we would extend
the duration back out to the two-year mark.
Q WHAT WORKED OUT WELL FOR THE FUND?
A Within the domestic stock allocation, we had less exposure to energy and
health care, relative to our weighted benchmark (a combination of the
Russell 1000 and Russell 2000 indices). We also steered clear of Internet
retailers, and this served us well in the final weeks of the semiannual period,
when the market began to pull away from these speculative technology companies.
Among our individual holdings, we garnered excellent gains from large-cap
stocks, including Scientific-Atlanta, Linear Technology, Cisco Systems and
Amgen, as well as from small-caps NBTY, Eastern Enterprises and MasTec.
Overall, our exposure to international stocks benefited performance during the
semiannual period. In particular, we reaped solid gains from stocks of firms
headquartered in Japan, Hong Kong and Singapore. Companies from the Netherlands
and Sweden were also represented in our international leaders list. Softbank, a
Japanese-headquartered Internet-oriented business, earned particularly
impressive returns. While most domestic Internet firms are frequently too richly
priced for our discipline, we're finding more appropriately valued Internet
exposure abroad.
Q WHAT'S YOUR OUTLOOK FOR THE REMAINDER OF THE YEAR?
A We remain extremely cautious. We believe that there is a significant
probability of additional interest-rate increases. Consider this: In order
to ensure that there would be adequate cash supply, the Federal Reserve poured
extra money out to banks in the final months of 1999. Now, in order to maintain
the appropriate balance, the Fed will have to pare back the excess cash flow.
What's more, the economy is continuing to expand at a brisk clip, and inflation
- -- in our view -- remains a real concern. Continued rate increases could have a
considerable impact on the market.
We are also concerned about the speculative nature of the market, particularly
the technology stock market. We certainly do not dispute the innovative
abilities of these companies, nor underplay the importance of the Internet. We
do not dispute that these are exceptional companies. Rather, we are skeptical
that at current prices, these companies represent exceptional stock
opportunities.
Despite these cautionary notes, we look forward to the future. The portfolios
of Kemper Horizon Fund are well-structured relative to the broad markets, with
stronger earnings characteristics and lower valuations. The portfolios are also
nicely positioned to tap into the tremendous potential of the international
economy and globalization trends.
We understand that the recent trends of a momentum-driven market can make it
difficult to stick to a rational, grounded investment plan. Against the backdrop
of shorter-term ups and downs, we encourage shareholders to remain focused on
the long term and committed to the merits of thoughtful diversification.
TERMS TO KNOW
GROWTH STOCK. Growth stocks are shares in companies that are expected to
experience rapid growth resulting from strong sales, talented management and
dominant market position. Because these stocks are typically in demand, they
tend to carry relatively high price tags and can also be volatile, based on
changing perceptions of the companies' growth.
NARROW MARKET. A stock market environment in which only a few stocks perform
strongly, while the majority struggle. In contrast, in a broad market, overall
market gains are driven by a larger group of stocks.
VALUE STOCK. Value stocks are considered to be "bargain stocks" because they are
perceived as undervalued and attractively priced relative to a measure of their
true worth. Because their prices are already depressed, value stocks typically
carry less risk of price declines than do growth stocks.
8
<PAGE> 9
STATISTICS FOR 20+ PORTFOLIO
PORTFOLIO COMPOSITION*
<TABLE>
<CAPTION>
KEMPER HORIZON 20+ PORTFOLIO ON 1/31/00 ON 7/31/99
<S> <C> <C>
DOMESTIC AND FOREIGN STOCKS 80% 78%
...............................................................................
U.S. TREASURIES AND GOVERNMENT AGENCIES 20 20
...............................................................................
CASH AND EQUIVALENTS -- 2
- -------------------------------------------------------------------------------
100% 100%
</TABLE>
[PIE CHART] [PIE CHART]
LARGEST HOLDINGS
THE FUND'S LARGEST EQUITY HOLDINGS*
REPRESENTING 9.8 PERCENT OF TOTAL COMMON STOCKS ON JANUARY 31, 2000
<TABLE>
<CAPTION>
HOLDING PERCENT
<S> <C> <C>
CITIGROUP Leading global financial-services provider. 2.7%
Operations include banking, investment,
credit-card and asset management services,
insurance programs and health care programs.
- -----------------------------------------------------------------------------------------
CISCO SYSTEMS Large, comprehensive supplier of routing software 2.0%
and related systems that direct the flow of data
between networks, as well as the Internet.
- -----------------------------------------------------------------------------------------
FREDDIE MAC Provides for the transfer of capital between 1.7%
mortgage lenders and mortgage security investors,
enabling mortgage lenders to provide a continuous
flow of funds to borrowers.
- -----------------------------------------------------------------------------------------
WAL-MART Large, global retailer with operations in the 1.7%
United States, Asia and Latin America. Operates
Wal-Marts, Wal-Mart Supercenters and Sam's Clubs.
Sells branded merchandise under the Popular
Mechanics, Better Homes & Gardens and Sam's
American Choice labels.
- -----------------------------------------------------------------------------------------
INTEL Engaged in the design, development, manufacture 1.7%
and sale of advanced microcomputer components,
such as integrated circuits and other related
products.
- -----------------------------------------------------------------------------------------
</TABLE>
*PORTFOLIO COMPOSITION AND HOLDINGS ARE SUBJECT TO CHANGE.
9
<PAGE> 10
STATISTICS FOR 10+ PORTFOLIO
PORTFOLIO COMPOSITION*
<TABLE>
<CAPTION>
KEMPER HORIZON 10+ PORTFOLIO ON 1/31/00 ON 7/31/99
<S> <C> <C>
DOMESTIC AND FOREIGN STOCKS 60% 60%
...............................................................................
U.S. TREASURIES AND GOVERNMENT AGENCIES 40 38
...............................................................................
CASH AND EQUIVALENTS -- 2
- -------------------------------------------------------------------------------
100% 100%
</TABLE>
[PIE CHART] [PIE CHART]
LARGEST HOLDINGS
THE FUND'S LARGEST EQUITY HOLDINGS*
REPRESENTING 10.1 PERCENT OF TOTAL COMMON STOCKS ON JANUARY 31, 2000
<TABLE>
<CAPTION>
HOLDING PERCENT
<S> <C> <C>
CITIGROUP Leading global financial-services provider. 2.6%
Operations include banking, investment,
credit-card and asset management services,
insurance programs and health care programs.
- -----------------------------------------------------------------------------------------
CISCO SYSTEMS Large, comprehensive supplier of routing software 2.0%
and related systems that direct the flow of data
between networks, as well as the Internet.
- -----------------------------------------------------------------------------------------
INTEL Engaged in the design, development, manufacture 1.9%
and sale of advanced microcomputer components,
such as integrated circuits and other related
products.
- -----------------------------------------------------------------------------------------
MERCK & CO. A leading research-driven pharmaceutical products 1.8%
and services company. Discovers, develops,
manufactures and markets a broad range of products
for human and animal health.
- -----------------------------------------------------------------------------------------
COMPAGNIE FINANCIERE Headquartered in Switzerland, produces and 1.8%
RICHEMONT distributes tobacco products and luxury goods.
- -----------------------------------------------------------------------------------------
</TABLE>
*PORTFOLIO COMPOSITION AND HOLDINGS ARE SUBJECT TO CHANGE.
10
<PAGE> 11
STATISTICS FOR 5 PORTFOLIO
PORTFOLIO COMPOSITION*
<TABLE>
<CAPTION>
KEMPER HORIZON 5 PORTFOLIO ON 1/31/00 ON 7/31/99
<S> <C> <C>
DOMESTIC AND FOREIGN STOCKS 40% 38%
...............................................................................
U.S. TREASURIES AND GOVERNMENT AGENCIES 60 60
...............................................................................
CASH AND EQUIVALENTS -- 2
- -------------------------------------------------------------------------------
100% 100%
</TABLE>
[PIE CHART] [PIE CHART]
LARGEST HOLDINGS
THE FUND'S LARGEST EQUITY HOLDINGS*
REPRESENTING 9.5 PERCENT OF TOTAL COMMON STOCKS ON JANUARY 31, 2000
<TABLE>
<CAPTION>
HOLDING PERCENT
<S> <C> <C>
CITIGROUP Leading global financial-services provider. 2.4%
Operations include banking, investment,
credit-card and asset management services,
insurance programs and health care programs.
- -----------------------------------------------------------------------------------------
CISCO SYSTEMS Large, comprehensive supplier of routing software 1.9%
and related systems that direct the flow of data
between networks, as well as the Internet.
- -----------------------------------------------------------------------------------------
COMPAGNIE FINANCIERE Headquartered in Switzerland, produces and 1.8%
RICHEMONT distributes tobacco products and luxury goods.
- -----------------------------------------------------------------------------------------
INTEL Engaged in the design, development, manufacture 1.7%
and sale of advanced microcomputer components,
such as integrated circuits and other related
products.
- -----------------------------------------------------------------------------------------
WAL-MART Large, global retailer with operations in the 1.7%
United States, Asia and Latin America. Operates
Wal-Marts, Wal-Mart Supercenters and Sam's Clubs.
Sells branded merchandise under the Popular
Mechanics, Better Homes & Gardens and Sam's
American Choice labels.
- -----------------------------------------------------------------------------------------
</TABLE>
*PORTFOLIO COMPOSITION AND HOLDINGS ARE SUBJECT TO CHANGE.
11
<PAGE> 12
PORTFOLIO OF INVESTMENTS
KEMPER HORIZON 20+, 10+ AND 5
Portfolio of Investments at January 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
PRINCIPAL
SECURITY NAME AMOUNT VALUE
<S> <C> <C> <C>
REPURCHASE AGREEMENTS--0%, .1%, 0%
Repurchase agreement with State Street Bank
and Trust Company, dated 1/31/00, 5.68%, due
2/1/2000**
(Cost $164,000) -- --
- -----------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS--0%, .1%,
0%
Student Loan Marketing Association, 5.72%,
02/01/2000***
(Cost $1,399,778) -- --
- -----------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES--16.9%,
34.9% AND 49.1%
Federal Home Loan Mortgage Corp.
6.50%, 10/17/2014 $ 479,792 $ 478,141
U.S. Treasury Note, 5.375%, 02/15/2001 500,000 494,920
U.S. Treasury Note, 5.500%, 12/31/2000 1,300,000 1,290,042
U.S. Treasury Note, 6.250%, 02/28/2002 1,000,000 992,340
U.S. Treasury Note, 6.250%, 04/30/2001 125,000 124,590
U.S. Treasury Note, 6.500%, 05/31/2001 1,820,000 1,818,853
U.S. Treasury Note, 6.625%, 07/31/2001 6,165,000 6,168,822
U.S. Treasury Note, 7.875%, 11/15/2004 936,000 977,530
U.S. Treasury Note, 8.000%, 05/15/2001 2,900,000 2,951,214
U.S. Treasury Note, 8.500%, 02/15/2000 1,395,000 1,396,311
U.S. Treasury Note, 8.500%, 11/15/2000 2,800,000 2,845,948
U.S. Treasury Note, 8.750%, 08/15/2000 -- --
U.S. Treasury Note, 8.875%, 05/15/2000 -- --
U.S. Treasury Note, 6.125%, 12/31/2001 -- --
-----------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCIES
(Cost $20,246,734, $45,299,052, $34,770,364) 19,538,711
-----------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES--3.4%,
4.9% AND 11.0%
Federal National Mortgage Association
5.63%, 05/15/2004 3,170,000 2,984,238
Government National Mortgage Association
Pass-thru 6.50% with various maturities to
03/16/2014 975,000 971,646
-----------------------------------------------------------------------------
TOTAL MORTGAGE BACKED SECURITIES
(Cost $4,094,122, $6,242,839, $7,752,673) 3,955,884
-----------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS--0.0%
DURABLES
British Aerospace PLC, 7.45%, 11/30/2003
(Cost $1,657) -- --
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
COMMON STOCKS--79.7%, 59.0% AND 39.9% SHARES VALUE
<S> <C> <C> <C>
CONSUMER DISCRETIONARY--7.0%,
6.0%, 3.8%
APPAREL & SHOES--.3%,
.3% AND .2%
Brown Shoe Company, Inc. -- --
Genesco Inc.* -- --
Jones Apparel Group, Inc.* 16,022 352,484
---------------------------------------------------------------------------
352,484
</TABLE>
12 The accompanying notes are an integral part of the financial statements.
<PAGE> 13
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
PRINCIPAL PRINCIPAL
AMOUNT VALUE AMOUNT VALUE
<S> <C> <C> <C>
$164,000 $ 164,000 -- --
- ------------------------------------------------------------------------------------------------------------------
1,400,000 1,399,778 -- --
- ------------------------------------------------------------------------------------------------------------------
947,301 944,042 $508,963 $ 507,212
700,000 692,888 -- --
700,000 694,638 -- --
7,970,000 7,908,950 -- --
-- -- -- --
6,220,000 6,216,081 7,885,000 7,880,032
6,667,000 6,671,133 7,220,000 7,224,476
3,518,000 3,674,094 2,785,000 2,908,571
8,715,000 8,868,907 3,090,000 3,144,570
520,000 520,489 -- --
2,450,000 2,490,204 -- --
500,000 507,265 -- --
4,300,000 4,334,916 4,607,000 4,644,409
-- -- 7,325,000 7,255,193
- ------------------------------------------------------------------------------------------------------------------
43,523,607 33,564,463
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
4,315,000 4,062,141 5,915,000 5,568,381
2,025,000 2,018,034 2,000,000 1,993,120
- ------------------------------------------------------------------------------------------------------------------
6,080,175 7,561,501
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
1,923 3,045 -- --
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
-- -- 600 6,225
5,700 49,875 1,500 13,125
15,718 345,796 5,705 125,510
- ------------------------------------------------------------------------------------------------------------------
395,671 144,860
</TABLE>
The accompanying notes are an integral part of the financial statements. 13
<PAGE> 14
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
DEPARTMENT AND CHAIN STORES--3.9%,
3.6%
AND 2.2%
Ames Department Stores, Inc.* 3,100 $ 64,712
Burlington Coat Factory Warehouse Corp. 31,200 329,550
Dillard's, Inc. 12,000 230,250
Home Depot, Inc. 19,000 1,075,875
Kingfisher PLC 14,700 112,334
Longs Drug Stores, Inc. 11,400 245,100
May Department Stores 6,000 186,750
Neiman Marcus Group, Inc.* 5,700 139,294
Pacific Sunwear of California Inc.* 13,900 408,313
TJX Companies, Inc. -- --
W.H. Smith Group PLC 15,300 80,336
Wal-Mart Stores, Inc. 29,200 1,598,700
---------------------------------------------------------------------------
4,471,214
HOME FURNISHINGS--.2%, .2% AND .1%
Furniture Brands International Inc. 13,100 222,700
Newell Rubbermaid, Inc. -- --
---------------------------------------------------------------------------
222,700
RECREATIONAL PRODUCTS--.5%, .2%
AND .2%
Fairfield Communities, Inc.* 16,500 187,687
THQ, Inc.* 6,600 136,950
Winnebago Industries 11,400 225,863
---------------------------------------------------------------------------
550,500
RESTAURANTS--.4%, .5%
AND .2%
Applebee's International, Inc. 3,400 85,212
Ryan's Family Steak Houses, Inc. 42,700 381,631
---------------------------------------------------------------------------
466,843
SPECIALTY RETAIL--1.7%, 1.2% AND
.9%
AutoZone, Inc.* 9,200 241,500
Avis Rent A Car, Inc.* 20,500 435,625
BJ's Wholesale Club Inc.* -- --
Central Garden & Pet Co.* 10,500 108,609
Douglas Holding AG 1,100 36,447
Family Dollar Stores Inc. 30,000 481,875
Herman Miller, Inc. 11,300 246,481
New Business Service, Inc. 13,400 263,813
The Finish Line, Inc. "A"* 15,400 88,550
Wet Seal, Inc. "A"* 13,100 163,750
---------------------------------------------------------------------------
2,066,650
- ---------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--
3.5%, 2.7% AND 1.7%
ALCOHOL & TOBACCO--1.8%, 1.7% AND
.9%
Imperial Tobacco Group PLC 79,100 576,990
Philip Morris Companies, Inc. 19,350 405,141
Seagram Co., Ltd. -- --
SEITA 2,600 110,870
UST, Inc. 24,000 550,500
Universal Corp. 19,000 388,313
---------------------------------------------------------------------------
2,031,814
</TABLE>
14 The accompanying notes are an integral part of the financial statements.
<PAGE> 15
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
1,900 $ 39,662 1,100 $ 22,962
25,800 272,513 12,300 129,918
9,000 172,688 4,000 76,750
21,600 1,223,100 5,950 336,919
38,400 293,445 8,400 64,191
15,100 324,650 4,400 94,600
6,000 186,750 2,750 85,594
6,400 156,400 1,900 46,431
12,600 370,125 4,500 132,188
10,500 171,281 -- --
-- -- 14,000 73,510
22,800 1,248,300 8,500 465,375
- ------------------------------------------------------------------------------------------------------------------
4,458,914 1,528,438
-- -- 5,200 88,400
9,200 276,000 -- --
- ------------------------------------------------------------------------------------------------------------------
276,000 88,400
12,900 146,737 5,800 65,975
6,300 130,725 2,250 46,688
-- -- -- --
- ------------------------------------------------------------------------------------------------------------------
277,462 112,663
2,300 57,644 500 12,531
55,600 496,925 12,200 109,038
- ------------------------------------------------------------------------------------------------------------------
554,569 121,569
7,000 183,750 2,300 60,375
12,300 261,375 5,900 125,375
-- -- 600 21,000
16,900 174,809 4,200 43,443
6,500 215,371 300 9,940
25,100 403,169 7,400 118,862
-- -- 3,600 78,525
-- -- 3,300 64,969
18,100 104,075 4,600 26,450
13,500 168,750 3,900 48,750
- ------------------------------------------------------------------------------------------------------------------
1,511,299 597,689
- ------------------------------------------------------------------------------------------------------------------
84,600 617,109 22,600 164,854
15,750 329,766 4,950 103,641
5,200 301,925 -- --
6,300 268,648 600 25,586
13,500 309,656 7,700 176,619
12,000 245,250 5,800 118,538
- ------------------------------------------------------------------------------------------------------------------
2,072,354 589,238
</TABLE>
The accompanying notes are an integral part of the financial statements. 15
<PAGE> 16
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
CONSUMER SPECIALTY--.6%, .1% AND
.1%
American Greeting Corp., "A" 13,700 $ 303,112
Duane Reade Inc.* 14,500 334,406
---------------------------------------------------------------------------
637,518
FOOD & BEVERAGE--.6%, .5% AND .5%
Farmer Brothers Co. 500 79,000
Michael Foods, Inc. 16,100 337,094
Performance Food Group Co.* 1,800 41,513
SUPERVALU, Inc. 9,400 169,200
Seaboard Corp. 700 129,675
---------------------------------------------------------------------------
756,482
PACKAGED GOODS/COSMETICS--
.1%, .1% AND .0%
Chattem, Inc. 3,400 66,300
---------------------------------------------------------------------------
TEXTILES--.4%, .3% AND .2%
VF Corp. 19,000 492,813
---------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
HEALTH--6.5%, 5.1% AND 3.1%
BIOTECHNOLOGY--1.5%, 1.2% AND .7%
Amgen, Inc.* 14,000 891,625
Bio-Rad Laboratories, Inc. "A"* 11,000 253,687
Biogen, Inc.* 7,400 638,250
---------------------------------------------------------------------------
1,783,562
HEALTH SERVICES--1.7%, 1.1% AND
.7%
Cardinal Health, Inc. 16,812 803,824
Hanger Orthopedic Group, Inc.* 21,200 95,400
Shared Medical Systems Corp. 12,400 548,700
US Oncology, Inc.* 22,400 116,200
Wellpoint Health Networks, Inc.* 5,800 394,400
---------------------------------------------------------------------------
1,958,524
HOSPITAL MANAGEMENT--.1%, .4% AND
0%
Trigon Healthcare, Inc. -- --
Universal Health Services, Inc.* 1,900 84,906
---------------------------------------------------------------------------
84,906
MEDICAL SUPPLY & SPECIALTY--1.2%,
.9% AND .7%
C.R. Bard, Inc. 26,600 1,190,350
NBTY Inc.* 9,500 134,188
VISX, Inc.* 1,200 34,050
---------------------------------------------------------------------------
1,358,588
PHARMACEUTICALS--2.0%, 1.5% AND
1.0%
Advance Paradigm, Inc.* 5,000 94,062
Johnson & Johnson 3,900 335,644
Merck & Co., Inc. 18,300 1,442,269
Suzuken Co., LTD 15,000 455,180
---------------------------------------------------------------------------
2,327,155
</TABLE>
16 The accompanying notes are an integral part of the financial statements.
<PAGE> 17
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
8,600 $ 190,275 3,800 $ 84,075
-- -- -- --
- ------------------------------------------------------------------------------------------------------------------
190,275 84,075
-- -- 1,000 158,000
17,000 355,938 5,500 115,156
2,600 59,963 600 13,838
-- -- -- --
900 166,725 300 55,575
- ------------------------------------------------------------------------------------------------------------------
582,626 342,569
6,000 117,000 1,400 27,300
- ------------------------------------------------------------------------------------------------------------------
16,000 415,000 5,200 134,875
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
11,600 738,775 3,600 229,275
8,300 191,419 1,000 23,062
5,700 491,625 2,400 207,000
- ------------------------------------------------------------------------------------------------------------------
1,421,819 459,337
10,375 496,055 3,300 157,781
20,600 92,700 7,800 35,100
8,200 362,850 3,500 154,875
16,700 86,631 5,200 26,975
4,300 292,400 2,100 142,800
- ------------------------------------------------------------------------------------------------------------------
1,330,636 517,531
6,200 188,712 -- --
7,800 348,562 600 26,813
- ------------------------------------------------------------------------------------------------------------------
537,274 26,813
22,100 988,975 9,300 416,175
10,000 141,250 4,700 66,388
900 25,537 300 8,513
- ------------------------------------------------------------------------------------------------------------------
1,155,762 491,076
2,600 48,912 1,600 30,100
-- -- 900 77,456
17,100 1,347,694 4,300 338,894
14,900 452,146 6,600 200,279
- ------------------------------------------------------------------------------------------------------------------
1,848,752 646,729
</TABLE>
The accompanying notes are an integral part of the financial statements. 17
<PAGE> 18
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
COMMUNICATIONS--3.1%, 2.2% AND
1.4%
TELEPHONE/COMMUNICATIONS
ADC Telecommunications, Inc.* 2,500 $ 164,844
Alcatel Sel AG 222 33,929
BCE, Inc. 9,700 987,230
British Telecom PLC 24,500 475,481
MasTec, Inc.* 4,900 226,319
Oki Electric Industry Company* 52,000 294,778
SBC Communications, Inc. 11,559 498,482
Telecom Italia SpA 38,030 613,993
Xircom, Inc.* 5,100 251,494
---------------------------------------------------------------------------
3,546,550
- ---------------------------------------------------------------------------------------------------------------------
FINANCIAL--17.0%, 12.8%
AND 8.3%
BANKS--5.8%, 4.8% AND 2.3%
ABN AMRO Holding NV 34,000 679,893
Australia & New Zealand Banking Group Ltd. 66,400 445,916
Bank of America Corp. -- --
Bank of Nova Scotia 19,300 394,191
Banque Nationale de Paris 8,400 662,196
Chase Manhattan Corp. 8,300 667,631
Christiania Bank og Kreditkasse 25,600 119,666
Cullen\Frost Bankers, Inc. 2,000 49,750
Dah Sing Financial Group 30,200 107,518
Dime Bancorp., Inc. -- --
Dresdner Bank AG 5,400 258,300
FleetBoston Financial Corp. 16,100 506,144
Fuji Bank, Ltd. 43,000 426,678
Hang Seng Bank Ltd. -- --
Istituto Bancario San Paolo di Torino 12,100 143,463
KeyCorp 2,600 54,600
National Australia Bank Ltd. 16,100 223,734
National Bank of Canada -- --
PNC Bank Corp. 3,000 144,000
Pacific Century Financial Corporation -- --
Provident Financial Group 5,500 171,875
Sakura Bank, Ltd. 160,000 1,012,752
Societe Generale 1,500 299,225
The Mitsui Trust & Banking Co., Ltd. 158,000 339,738
---------------------------------------------------------------------------
6,707,270
</TABLE>
18 The accompanying notes are an integral part of the financial statements.
<PAGE> 19
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
2,000 $ 131,875 800 $ 52,750
735 112,333 169 25,829
4,200 427,461 2,000 203,553
22,600 438,607 -- --
4,800 221,700 1,100 50,806
45,000 255,096 16,000 90,701
10,133 436,986 6,448 278,070
31,900 515,024 10,980 177,272
3,700 182,456 1,400 69,038
- ------------------------------------------------------------------------------------------------------------------
-- 2,721,538 -- 948,019
- ------------------------------------------------------------------------------------------------------------------
23,100 461,927 3,400 67,989
37,200 249,820 -- --
12,300 595,781 -- --
2,400 49,019 6,100 124,588
6,600 520,297 2,500 197,082
8,900 715,894 1,800 144,787
-- -- 6,100 28,514
1,600 39,800 600 14,925
16,000 56,963 13,500 48,062
-- -- 1,800 25,425
8,800 420,933 2,400 114,800
12,400 389,825 800 25,150
30,000 297,682 14,000 138,918
21,600 210,295 4,300 41,864
-- -- 3,600 42,683
3,400 71,400 800 16,800
7,100 98,665 -- --
14,500 174,886 2,000 24,122
2,100 100,800 900 43,200
8,800 151,250 -- --
-- -- -- --
125,000 791,213 53,000 335,474
1,300 259,328 -- --
133,000 285,982 47,000 101,061
- ------------------------------------------------------------------------------------------------------------------
5,941,760 1,535,444
</TABLE>
The accompanying notes are an integral part of the financial statements. 19
<PAGE> 20
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
INSURANCE--3.7%, 2.9%
AND 2.4%
AFLAC, Inc. -- $ --
AMBAC Financial Group, Inc. 11,100 543,206
AXA SA 5,100 637,833
Aetna, Inc. 13,700 729,525
Allamerica Financial Corp. -- --
American General Corp. 2,400 147,450
Fidelity National Financial, Inc. 5,500 68,750
Hartford Financial Services Group, Inc. 10,000 381,250
ING Groep N.V 11,035 552,466
Jefferson Pilot Corp. 6,150 361,312
LandAmerica Financial Group, Inc. -- --
Progressive Corp. -- --
Protective life Corp. 8,500 236,406
QBE Insurance Group Ltd. 3,300 14,872
Skandia Forsakrings AB 11,300 299,819
Stewart Information Services Corp. 5,200 68,575
XL Capital Ltd. "A" 4,941 222,963
---------------------------------------------------------------------------
4,264,427
BUSINESS FINANCE--.2%, .3%
AND .1%
Heller Financial Inc. 11,100 231,019
---------------------------------------------------------------------------
CONSUMER FINANCE--2.6%,
1.9% AND 1.2%
Associates First Capital Corp. -- --
Citigroup, Inc. 42,600 2,446,837
SLM Holding Corp. 14,300 556,806
---------------------------------------------------------------------------
3,003,643
OTHER FINANCIAL COMPANIES--
4.7%, 2.9% AND 2.3%
Compagnie Financiere Richemont AG 500 1,191,697
Edwards (A.G.) Inc. 15,400 510,125
Federal Home Loan Mortgage Corp. 31,900 1,600,981
Federal National Mortgage Association 19,500 1,168,781
GreenPoint Financial Corp. 8,000 158,500
Legg Mason, Inc. 16,700 615,813
Man (ED&F) Group PLC 29,700 195,772
---------------------------------------------------------------------------
5,441,669
REAL ESTATE--0%, .0% AND .0%
Beni Stabili SpA* 12,100 4,414
China Resources Enterprises Ltd. 27,800 44,842
DBS Land Ltd. -- --
---------------------------------------------------------------------------
49,256
</TABLE>
20 The accompanying notes are an integral part of the financial statements.
<PAGE> 21
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
-- -- 2,200 $ 95,562
-- -- 2,600 127,237
3,800 $ 475,248 1,720 215,112
9,800 521,850 4,200 223,650
-- -- 2,800 130,900
4,500 276,469 -- --
7,340 91,750 -- --
-- -- 2,800 106,750
10,819 541,652 4,056 203,063
6,000 352,500 2,500 146,875
-- -- 1,500 26,719
2,500 155,625 -- --
5,200 144,625 3,000 83,438
58,300 262,745 -- --
9,400 249,407 5,200 137,970
6,400 84,400 4,400 58,025
9,882 445,925 1,830 82,579
- ------------------------------------------------------------------------------------------------------------------
3,602,196 1,637,880
20,100 418,331 2,000 41,625
- ------------------------------------------------------------------------------------------------------------------
-- -- 1,466 29,320
32,900 1,889,694 11,200 643,300
12,400 482,825 3,500 136,281
- ------------------------------------------------------------------------------------------------------------------
2,372,519 808,901
550 1,310,867 200 476,679
11,600 384,250 3,400 112,625
19,500 978,656 8,800 441,650
12,300 737,231 4,700 281,706
-- -- 1,500 29,718
5,400 199,125 5,500 202,813
-- -- 4,800 31,640
- ------------------------------------------------------------------------------------------------------------------
3,610,129 1,576,831
-- -- 3,600 1,313
-- -- 21,500 34,680
21,000 32,327 -- --
- ------------------------------------------------------------------------------------------------------------------
32,327 35,993
</TABLE>
The accompanying notes are an integral part of the financial statements. 21
<PAGE> 22
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
MEDIA--1.0%, .8% AND .5%
CABLE TELEVISION--.1%
AND .1%, 0%
Granada Group plc 9,800 $ 97,531
---------------------------------------------------------------------------
PRINT MEDIA--.9%, .7%
AND .5%
---------------------------------------------------------------------------
Softbank Corp. 1,000 977,381
Valassis Communications, Inc. 1,050 35,700
---------------------------------------------------------------------------
1,013,081
- ---------------------------------------------------------------------------------------------------------------------
SERVICE INDUSTRIES--5.5%, 3.9% AND
2.6%
EDP SERVICES--.9%, .7%
AND .5%
Affiliated Computer Services* 4,000 159,000
First Data Corp. 18,900 927,281
---------------------------------------------------------------------------
1,086,281
INVESTMENT--2.5%, 1.6%
AND 1.1%
Bear Stearns Companies, Inc. 14,332 591,195
Morgan Stanley Dean Witter & Co. 16,000 1,060,000
PaineWebber Group, Inc. 5,800 222,938
Raymond James Financial, Inc. 50,700 963,300
---------------------------------------------------------------------------
2,837,433
MISCELLANEOUS COMMERCIAL--1.2%,
.8% AND .5%
Cap Gemini Sogeti SA 900 189,665
Convergys Corp.* 16,500 484,687
Hanson PLC 28,200 205,020
Personnel Group of America, Inc.* 21,400 203,300
US Foodservice Inc.* 16,400 296,225
---------------------------------------------------------------------------
1,378,897
MISCELLANEOUS CONSUMER--.8%,
.5% AND .5%
Go2Net, Inc.* 2,600 209,300
Profit Recovery Group International, Inc.* 4,700 127,488
United Utilities PLC 25,000 239,109
Yahoo!, Inc.* 1,000 322,063
---------------------------------------------------------------------------
897,960
PRINTING/PUBLISHING--.1%,
.3% AND .1%
Deluxe Corp. -- --
Mail-Well, Inc.* 13,200 144,375
---------------------------------------------------------------------------
144,375
- ---------------------------------------------------------------------------------------------------------------------
DURABLES--4.5%, 3.1%
AND 2.5%
AEROSPACE--1.3%, .9%
AND .7%
AAR Corp. -- --
Alliant Techsystems, Inc.* 4,500 291,937
Primex Technologies, Inc. 28,000 598,500
Teledyne Technologies Inc.* -- --
United Technologies Corp. 12,500 661,719
---------------------------------------------------------------------------
1,552,156
</TABLE>
22 The accompanying notes are an integral part of the financial statements.
<PAGE> 23
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
14,000 $ 139,329 -- $ --
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
800 781,904 300 293,214
900 30,600 450 15,300
- ------------------------------------------------------------------------------------------------------------------
812,504 308,514
- ------------------------------------------------------------------------------------------------------------------
6,700 266,325 1,200 47,700
13,400 657,438 5,800 284,562
- ------------------------------------------------------------------------------------------------------------------
923,763 332,262
11,466 472,973 3,155 130,143
13,400 887,750 4,000 265,000
-- -- 2,500 96,094
31,700 602,300 12,800 243,200
- ------------------------------------------------------------------------------------------------------------------
1,963,023 734,437
800 168,591 500 105,369
17,400 511,125 4,000 117,500
13,800 100,329 -- --
18,300 173,850 -- --
-- -- 4,400 79,475
- ------------------------------------------------------------------------------------------------------------------
953,895 302,344
1,800 144,900 800 64,400
3,700 100,363 1,200 32,550
18,700 178,853 9,200 87,992
800 257,650 300 96,619
- ------------------------------------------------------------------------------------------------------------------
681,766 281,561
8,500 227,375 1,500 40,125
11,000 120,313 4,300 47,031
- ------------------------------------------------------------------------------------------------------------------
347,688 87,156
- ------------------------------------------------------------------------------------------------------------------
6,500 114,969 -- --
3,000 194,625 1,700 110,287
19,800 423,225 9,900 211,613
-- -- 300 2,775
5,800 307,038 2,900 153,519
- ------------------------------------------------------------------------------------------------------------------
1,039,857 478,194
</TABLE>
The accompanying notes are an integral part of the financial statements. 23
<PAGE> 24
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
AUTOMOBILES--1.5%, 1.0% AND .9%
Borg-Warner Automotive Inc. 3,900 $ 131,137
DaimlerChrysler, A.G. -- --
GKN PLC 70,200 878,967
Honda Motor Co., Ltd. 7,000 223,494
Monaco Coach Corp. 4,300 93,525
Renault SA 7,100 371,305
Tower Automotive, Inc.* -- --
---------------------------------------------------------------------------
1,698,428
CONSTRUCTION/ AGRICULTURAL--.1%,
0%, .1%
Terex Corp. 6,400 145,600
---------------------------------------------------------------------------
TELECOMMUNICATIONS
EQUIPMENT--1.6%,
1.2% AND .8%
Advanced Fibre Communications, Inc.* 7,800 287,137
LM Ericsson Telephone Co. "B" 8,300 582,884
Marconi PLC -- --
Polycom, Inc.* 5,100 307,913
Scientific-Atlanta, Inc. 8,300 639,619
---------------------------------------------------------------------------
1,817,553
- ---------------------------------------------------------------------------------------------------------------------
MANUFACTURING--9.4%,
6.0% AND 4.9%
CHEMICALS--2.8%, 1.7% AND 1.5%
Akzo Nobel NV 6,000 247,647
BASF AG 30,800 1,310,401
BOC Group PLC 66,000 1,416,041
Compania Espanola de Petroleos, S.A. -- --
Dow Chemical Co. -- --
Kyowa Hakko Kogyp -- --
Praxair, Inc. 6,500 263,656
Rohm & Haas Co. -- --
Valhi, Inc. -- --
---------------------------------------------------------------------------
3,237,745
CONTAINERS & PAPER--.8%, .4% AND
.4%
FPB Holding AG 3,868 581,704
UPM-Kymmene Oyj 15,100 561,125
---------------------------------------------------------------------------
1,142,829
</TABLE>
24 The accompanying notes are an integral part of the financial statements.
<PAGE> 25
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
-- $ -- 1,200 $ 40,350
1,247 82,068 -- --
56,300 704,927 22,600 282,972
6,000 191,567 2,000 63,856
-- -- 1,700 36,975
4,100 214,416 3,100 162,119
5,400 77,625 1,600 23,000
- ------------------------------------------------------------------------------------------------------------------
1,270,603 609,272
-- -- 2,300 52,325
- ------------------------------------------------------------------------------------------------------------------
5,400 198,788 2,300 84,668
6,400 449,452 2,300 161,522
14,200 209,112 -- --
3,800 229,425 1,700 102,638
5,700 439,256 2,600 200,363
- ------------------------------------------------------------------------------------------------------------------
1,526,033 549,191
- ------------------------------------------------------------------------------------------------------------------
3,000 123,823 1,700 70,167
17,300 736,037 8,500 361,637
26,000 557,834 21,500 461,286
-- -- 5,400 47,678
500 58,250 -- --
14,000 146,607 -- --
4,400 178,475 1,800 73,013
5,200 219,700 -- --
11,600 131,950 -- --
- ------------------------------------------------------------------------------------------------------------------
2,152,676 1,013,781
1,277 192,046 652 98,053
8,800 327,013 4,800 178,371
- ------------------------------------------------------------------------------------------------------------------
519,059 276,424
</TABLE>
The accompanying notes are an integral part of the financial statements. 25
<PAGE> 26
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
DIVERSIFIED MANUFACTURING--2.3%,
1.1% AND 1.1%
Briggs & Stratton Corp. 5,600 $ 248,500
Cooper Industries, Inc. 11,100 425,962
Hillenbrand Industries, Inc. 7,000 238,000
Honeywell International, Inc. 9,300 446,400
Man AG 11,500 379,368
Matthews International Corp. 10,300 239,475
Pentair, Inc. -- --
Sulzer Brothers Ltd. (Registered) 1,000 673,384
Water Pik Technologies, Inc.* -- --
Williams, PLC -- --
---------------------------------------------------------------------------
2,651,089
ELECTRICAL PRODUCTS--.7%, .4% AND
.4%
American Power Conversion Corp.* -- --
Blount International, Inc. -- --
General Electric Co. 1,600 213,400
SLI, Inc.* 20,700 243,225
Scana Corp. -- --
Taiyo Yuden Co., Ltd. 6,000 297,682
---------------------------------------------------------------------------
754,307
INDUSTRIAL SPECIALTY--.9%, .7% AND
.4%
British Aerospace PLC -- --
Carlisle Companies Inc. 5,200 168,025
Fleetwood Enterprises, Inc. -- --
QUALCOMM Inc.* 4,200 533,400
Sherwin-Williams Co. 10,400 183,300
Teleflex Incorporated -- --
Westinghouse Air Brake Co. 11,187 124,455
---------------------------------------------------------------------------
1,009,180
MACHINERY/ COMPONENTS--1.8%, 1.7%
AND 1.1%
Columbus McKinnon Corp. -- --
Gleason Corp. -- --
Illinois Tool Works, Inc. 13,495 789,457
Ingersoll-Rand Co. 14,900 701,231
Intermet Corp. 3,900 44,362
Lincoln Electric Holdings, Inc. -- --
Mueller Industries, Inc.* -- --
Okuma Corp. 78,000 257,749
Reliance Steel & Aluminum Co. 15,600 323,700
Rolls-Royce PLC -- --
---------------------------------------------------------------------------
2,116,499
</TABLE>
26 The accompanying notes are an integral part of the financial statements.
<PAGE> 27
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
6,700 $ 297,312 1,700 $ 75,437
-- -- 2,600 99,775
-- -- -- --
6,300 302,400 2,600 124,800
4,900 161,644 3,400 112,161
-- -- 5,500 127,875
4,500 150,750 1,100 36,850
600 404,031 300 202,015
-- -- 105 893
9,200 36,787 -- --
- ------------------------------------------------------------------------------------------------------------------
1,352,924 779,806
2,400 66,225 -- --
1 15 -- --
-- -- -- --
18,900 222,075 6,100 71,675
-- -- 3,400 92,438
4,000 198,455 2,000 99,227
- ------------------------------------------------------------------------------------------------------------------
486,770 263,340
6,089 32,537 -- --
-- -- 2,000 64,625
2,300 37,519 -- --
3,600 457,200 1,200 152,400
6,600 116,325 -- --
4,200 133,350 -- --
9,042 100,592 1,980 22,028
- ------------------------------------------------------------------------------------------------------------------
877,523 239,053
-- -- 2,400 32,700
6,200 141,825 -- --
7,030 411,255 3,878 226,863
10,200 480,037 4,600 216,488
2,900 32,988 1,300 14,788
11,800 230,837 -- --
1,500 49,406 -- --
87,000 287,490 35,000 115,657
18,600 385,950 4,500 93,375
37,900 127,667 21,100 71,076
- ------------------------------------------------------------------------------------------------------------------
2,147,455 770,947
</TABLE>
The accompanying notes are an integral part of the financial statements. 27
<PAGE> 28
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
TECHNOLOGY--11.8%, 8.5% AND 5.9%
COMPUTER SOFTWARE--4.9%,
3.4% AND 2.5%
America Online, Inc.* 12,700 $ 723,106
Ancor Communications, Inc.* 3,700 139,212
Broadvision, Inc.* 3,300 420,131
Exodus Communications, Inc.* 1,800 206,775
MicroStrategy Inc.* 3,400 472,175
Microsoft Corp.* 15,300 1,497,488
Oracle Corp.* 6,800 339,681
Reynolds and Reynolds Company 33,400 738,975
Synopsys Ltd.* 8,700 401,831
Verity, Inc.* 3,400 115,600
VerticalNet, Inc.* 2,500 595,625
---------------------------------------------------------------------------
5,650,599
DIVERSE ELECTRONIC PRODUCTS--.5%,
.4% AND .3%
Dell Computer Corp.* 11,700 449,719
InterVU Inc.* 2,000 185,000
---------------------------------------------------------------------------
634,719
ELECTRONIC COMPONENTS--3.1%, 2.4%
AND 1.6%
Benchmark Electronics, Inc.*
Cisco Systems, Inc.* 17,200 1,883,400
Koninklijke (Royal) Philips Electronics NV 5,808 848,100
SCI Systems, Inc.* 6,700 482,400
Technitrol, Inc. 9,100 383,338
---------------------------------------------------------------------------
3,597,238
MILITARY ELECTRONICS--.8%, .3% AND
.3%
Computer Sciences Corp.* 2,500 229,688
General Dynamics Corp. 14,400 678,600
---------------------------------------------------------------------------
908,288
SEMICONDUCTORS--2.5%, 2.0% AND
1.2%
Alpha Industries* 4,200 351,750
Intel Corp. 16,100 1,592,894
Linear Technology Corp. 1,900 179,906
Transwitch Corp.* 2,700 134,156
Triquint Semiconductor, Inc.* 4,100 626,403
---------------------------------------------------------------------------
2,885,109
- ---------------------------------------------------------------------------------------------------------------------
ENERGY--2.1%, 2.0% AND 1.3%
OIL & GAS PRODUCTION--0.9%, .6%
AND .6%
Cabot Oil & Gas Corp. "A" 23,300 343,675
Coastal Corp. -- --
Repsol SA 24,000 450,584
Tosco Corporation 9,400 241,463
---------------------------------------------------------------------------
1,035,722
</TABLE>
28 The accompanying notes are an integral part of the financial statements.
<PAGE> 29
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
9,900 $ 563,681 3,600 $ 204,975
2,900 109,113 1,000 37,625
2,700 343,744 1,100 140,043
1,200 137,850 500 57,437
2,600 361,075 1,000 138,875
11,600 1,135,350 4,500 440,438
6,600 329,691 2,200 109,897
14,100 311,962 8,400 185,850
5,800 267,887 2,700 124,706
3,300 112,200 1,200 40,800
2,000 476,500 800 190,600
- ------------------------------------------------------------------------------------------------------------------
4,149,053 1,671,246
9,400 361,312 3,300 126,843
1,700 157,250 600 55,500
- ------------------------------------------------------------------------------------------------------------------
518,562 182,343
-- -- 400 10,075
13,700 1,500,150 4,700 514,650
5,500 803,125 2,060 300,807
5,400 388,800 2,500 180,000
5,700 240,113 2,700 113,738
- ------------------------------------------------------------------------------------------------------------------
2,932,188 1,119,270
2,000 183,750 800 73,500
4,000 188,500 3,800 179,075
- ------------------------------------------------------------------------------------------------------------------
372,250 252,575
3,300 276,375 1,200 100,500
14,100 1,395,019 4,800 474,900
1,500 142,031 600 56,813
2,700 134,156 -- --
3,600 550,012 1,200 183,338
- ------------------------------------------------------------------------------------------------------------------
2,497,593 815,551
- ------------------------------------------------------------------------------------------------------------------
-- -- 7,600 112,100
5,800 213,875 -- --
28,340 532,065 7,690 144,375
-- -- 4,700 120,731
- ------------------------------------------------------------------------------------------------------------------
745,940 377,206
</TABLE>
The accompanying notes are an integral part of the financial statements. 29
<PAGE> 30
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
OIL COMPANIES--1.0%, 1.1%, AND .6%
Ashland Inc. -- $ --
ENI SpA 131,400 617,056
Elf Aquitaine SA -- --
Total Fina S.A. "B" 3,900 481,322
---------------------------------------------------------------------------
1,098,378
OIL/GAS TRANSMISSION--.2%, .3%,
AND .1%
Questar Corp. 15,400 235,813
---------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
METALS & MINERALS--.3%, .3%, AND
.2%
STEEL & METALS
Alcan Aluminum Ltd. -- --
Allegheny Teledyne, Inc. -- --
AMCOL International Corp. 3,300 46,612
Nucor Corp. 6,200 308,450
---------------------------------------------------------------------------
355,062
- ---------------------------------------------------------------------------------------------------------------------
CONSTRUCTION--3.1%, 1.6%, AND 1.5%
BUILDING MATERIALS--2.3%, .9%, AND
1.1%
Blue Circle Industries PLC -- --
Centex Construction Products, Inc. 10,200 330,225
Elcor Corp. 2,475 83,067
Fletcher Challenge Building Corp. 130,600 149,784
Florida Rock Industries, Inc. 10,200 341,700
Grupo Dragados, S.A. 14,100 111,770
LaFarge Corp. 14,300 344,988
Sumitomo Osaka Cement Co., Ltd. 157,000 203,137
Taiheiyo Cement Corp. 228,000 445,686
Vulcan Materials Co. 14,300 605,069
---------------------------------------------------------------------------
2,615,426
BUILDING PRODUCTS--.5%, .4%, AND
.2%
Genlyte Group, Inc.* 23,400 462,150
Nortek, Inc.* 6,800 142,800
---------------------------------------------------------------------------
604,950
HOMEBUILDING--.3%, .3%, AND .2%
Del Webb Corp.* 3,100 56,575
NVR Inc. 2,000 90,500
Pulte Corp. -- --
Standard Pacific Corp. 25,200 234,675
---------------------------------------------------------------------------
381,750
</TABLE>
30 The accompanying notes are an integral part of the financial statements.
<PAGE> 31
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
4,800 $ 156,300 2,500 $ 81,406
146,000 685,618 36,200 169,996
3,100 454,174 200 29,302
-- -- 1,159 143,039
- ------------------------------------------------------------------------------------------------------------------
1,296,092 423,743
27,200 416,500 4,200 64,313
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
3,800 147,083 -- --
-- -- 1,050 21,919
2,550 36,019 900 12,712
2,800 139,300 1,600 79,600
- ------------------------------------------------------------------------------------------------------------------
322,402 114,231
- ------------------------------------------------------------------------------------------------------------------
12,100 81,127 -- --
4,500 145,688 3,200 103,600
1,950 65,447 825 27,689
-- -- 19,300 22,135
4,100 137,350 2,000 67,000
17,100 135,551 2,100 16,647
11,400 275,025 5,800 139,925
53,000 68,575 -- --
124,000 242,390 42,000 82,100
-- -- 6,500 275,031
- ------------------------------------------------------------------------------------------------------------------
1,151,153 734,127
24,100 475,975 7,600 150,100
-- -- 1,300 27,300
- ------------------------------------------------------------------------------------------------------------------
475,975 177,400
2,200 40,150 900 16,425
-- -- 1,300 58,825
1,900 33,131 -- --
27,900 259,819 7,100 66,119
- ------------------------------------------------------------------------------------------------------------------
333,100 141,369
</TABLE>
The accompanying notes are an integral part of the financial statements. 31
<PAGE> 32
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 20+ PORTFOLIO
NUMBER OF
SHARES VALUE
<S> <C> <C> <C>
TRANSPORTATION--.8%, .7%, .4%
AIR FREIGHT--.0%, .0%, .1%
FedEx Corp.* -- $ --
--------------------------------------------------------------------------
AIRLINES--.0%, .0%, .0%
Air New Zealand Ltd. "B" -- --
--------------------------------------------------------------------------
MARINE TRANSPORTATION--.2%, .2%,
.1%
Newport News Shipbuilding, Inc. 9,200 232,300
--------------------------------------------------------------------------
RAILROADS--.4%, .5%, .2%
Railtrack Group PLC -- --
Tranz Rail Holdings -- --
Trinity Industries, Inc. 20,100 469,838
--------------------------------------------------------------------------
469,838
TRUCKING--.2%, .0%, .0%
Roadway Express, Inc. 6,000 138,000
U.S. Xpress Enterprises, Inc."A"* 11,400 74,100
--------------------------------------------------------------------------
212,100
- --------------------------------------------------------------------------------------------------------------------
UTILITIES--4.1%, 3.3%, 1.8%
ELECTRIC UTILITIES--4.1%, 3.1%,
1.8%
AES Corp.* 6,400 512,800
Black Hills Corp. 8,700 208,256
Calpine Corporation* 5,400 394,875
Chugoku Electric Power Co., Inc. 64,400 869,217
Electrabel NPV 300 80,773
Empire District Electric Company 19,300 420,981
Endesa S.A. 7,900 145,635
Hokuriku Power Co. -- --
Kyushu Electric Power Co. 62,200 825,049
Northwestern Corp. -- --
Scottish Power PLC* 54,000 376,015
Shikoku Electric Power Co., Inc. 34,100 460,253
TNP Enterprises, Inc. -- --
Texas Utilities Co., Inc. 13,000 459,875
Tohoku Electric Power Co., Inc. -- --
WPS Resources Corp. -- --
--------------------------------------------------------------------------
4,753,729
WATER SUPPLY--.0%, .2%, .0%
Suez Lyonnaise des Eaux SA -- --
Thames Water PLC -- --
Yorkshire Water Ord 7,200 31,233
--------------------------------------------------------------------------
31,233
--------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost $89,277,417, $73,157,688, $26,766,998) 92,155,085
--------------------------------------------------------------------------
TOTAL INVESTMENT
(Cost $113,618,273, $126,265,014, $69,290,035)(a) $115,649,680
--------------------------------------------------------------------------
</TABLE>
32 The accompanying notes are an integral part of the financial statements.
<PAGE> 33
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
HORIZON 10+ PORTFOLIO HORIZON 5 PORTFOLIO
NUMBER OF NUMBER OF
SHARES VALUE SHARES VALUE
<S> <C> <C> <C>
-- $ -- 1,200 $ 47,475
- ------------------------------------------------------------------------------------------------------------------
44,900 52,161 5,300 6,157
- ------------------------------------------------------------------------------------------------------------------
7,300 184,325 3,100 78,275
- ------------------------------------------------------------------------------------------------------------------
8,100 100,634 -- --
46,000 79,363 -- --
16,200 378,675 5,500 128,563
- ------------------------------------------------------------------------------------------------------------------
-- 558,672 -- 128,563
-- -- 1,200 27,600
6,100 39,650 -- --
- ------------------------------------------------------------------------------------------------------------------
-- 39,650 -- 27,600
- ------------------------------------------------------------------------------------------------------------------
6,800 544,850 2,300 184,287
14,600 349,488 2,400 57,450
3,500 255,938 1,500 109,687
51,600 696,453 15,700 211,905
1,200 323,093 500 134,622
5,200 113,425 2,100 45,806
-- -- -- --
4,000 54,212 -- --
12,800 169,785 -- --
14,200 314,175 -- --
34,600 240,928 -- --
6,500 87,732 16,100 217,304
-- -- 200 8,250
7,400 261,775 5,000 176,875
31,000 412,064 -- --
-- -- 2,600 65,813
- ------------------------------------------------------------------------------------------------------------------
3,823,918 1,211,999
1,100 157,423 -- --
4,000 48,597 -- --
20,000 86,758 -- --
- ------------------------------------------------------------------------------------------------------------------
292,778
- ------------------------------------------------------------------------------------------------------------------
73,201,393 27,149,905
- ------------------------------------------------------------------------------------------------------------------
$124,371,998 $68,275,869
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements. 33
<PAGE> 34
PORTFOLIO OF INVESTMENTS
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security
** Repurchase agreement is fully collateralized by the U.S. Treasury or
Government securities.
*** Annualized yield at time of purchase; not a coupon rate.
(a) Based on the cost of investments for federal income tax purposes at January
31, 2000, the unrealized appreciation on investments is as follows:
<TABLE>
<CAPTION>
HORIZON 20+ HORIZON 10+ HORIZON 5+
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cost of investments for federal income tax purposes $113,618,273 126,265,014 69,290,035
--------------------------------------------------------------------------------------------------------------
Gross unrealized appreciation 14,033,180 9,751,603 3,720,089
--------------------------------------------------------------------------------------------------------------
Gross unrealized depreciation 12,001,773 11,644,619 4,734,255
--------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) 2,031,407 (1,893,016) (1,014,166)
--------------------------------------------------------------------------------------------------------------
</TABLE>
34 The accompanying notes are an integral part of the financial statements.
<PAGE> 35
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
Six Months ended January 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
KEMPER HORIZON FUND
-------------------------------------------------------------
20+ PORTFOLIO 10+ PORTFOLIO 5 PORTFOLIO
<S> <C> <C> <C>
ASSETS
Investments in securities, at value
(Cost $113,618,273, $126,265,014, $69,290,035) $115,649,680 124,371,998 68,275,869
- -----------------------------------------------------------------------------------------------------------------------------
Cash -- -- 227,016
- -----------------------------------------------------------------------------------------------------------------------------
Foreign currency, at value (Cost $31,563, $9,918, $5,822) 31,253 9,651 5,810
- -----------------------------------------------------------------------------------------------------------------------------
Receivable for investments sold 1,603,501 -- 418,019
- -----------------------------------------------------------------------------------------------------------------------------
Dividends receivable 144,686 87,152 27,828
- -----------------------------------------------------------------------------------------------------------------------------
Interest receivable 285,817 747,377 401,403
- -----------------------------------------------------------------------------------------------------------------------------
Receivable for Fund shares sold 299,757 177,558 229,133
- -----------------------------------------------------------------------------------------------------------------------------
Foreign taxes recoverable 23,459 8,449 4,739
- -----------------------------------------------------------------------------------------------------------------------------
Other assets 4,790 -- 2,091
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 118,042,943 125,402,185 69,591,908
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Due to custodian bank 930,013 14,076 --
- -----------------------------------------------------------------------------------------------------------------------------
Payable for Fund shares redeemed 2,012,096 1,188,186 566,276
- -----------------------------------------------------------------------------------------------------------------------------
Accrued management fee 62,376 63,665 65,046
- -----------------------------------------------------------------------------------------------------------------------------
Other accrued expenses and payables 290,461 250,342 160,716
- -----------------------------------------------------------------------------------------------------------------------------
Total liabilities 3,294,946 1,516,269 792,038
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, AT VALUE $114,747,997 123,885,916 68,799,870
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Net assets consist of:
Undistributed net investment income (loss) $ (127,101) 239,639 17,567
- -----------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) on:
Investments 2,031,407 (1,893,016) (1,014,166)
- -----------------------------------------------------------------------------------------------------------------------------
Foreign currency related transactions (4,767) 940 (286)
- -----------------------------------------------------------------------------------------------------------------------------
Accumulated net realized gain (loss) 4,487,830 4,367,660 1,392,109
- -----------------------------------------------------------------------------------------------------------------------------
Paid-in capital 108,360,628 121,170,693 68,404,646
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, AT VALUE $114,747,997 123,885,916 68,799,870
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS VALUE AND OFFERING PRICE
CLASS A SHARES
Net Assets applicable to shares outstanding $ 53,816,527 65,210,968 41,819,074
- -----------------------------------------------------------------------------------------------------------------------------
Outstanding shares of beneficial interest, $.01 par value,
unlimited number of shares authorized 4,317,045 5,722,574 3,918,296
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, offering and redemption price per share $ 12.47 11.40 10.67
- -----------------------------------------------------------------------------------------------------------------------------
Maximum offering price per share
(100/94.25 of net asset value) $ 13.23 12.10 11.32
- -----------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
Net Assets applicable to shares outstanding $ 49,201,742 45,986,265 21,893,407
- -----------------------------------------------------------------------------------------------------------------------------
Outstanding shares of beneficial interest, $.01 par value,
unlimited number of shares authorized 4,021,172 4,037,709 2,051,485
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, offering and redemption price per share
(subject to contingent deferred sales charge) $ 12.24 11.39 10.67
- -----------------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
Net Assets applicable to shares outstanding $ 11,200,648 12,522,304 4,919,315
- -----------------------------------------------------------------------------------------------------------------------------
Outstanding shares of beneficial interest, $.01 par value,
unlimited number of shares authorized 916,290 1,103,586 461,395
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, offering and redemption price per share
(subject to contingent deferred sales charge) $ 12.22 11.35 10.66
- -----------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES
Net Assets applicable to shares outstanding $ 529,080 166,379 168,074
- -----------------------------------------------------------------------------------------------------------------------------
Outstanding shares of beneficial interest, $.01 par value,
unlimited number of shares authorized 42,284 14,642 15,756
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, offering and redemption price per share $ 12.51 11.36 10.67
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements. 35
<PAGE> 36
FINANCIAL STATEMENTS
STATEMENTS OF OPERATIONS
Six Months ended January 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
KEMPER HORIZON FUND
---------------------------------------------
20+ PORTFOLIO 10+ PORTFOLIO 5 PORTFOLIO
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------
Dividends (net of foreign taxes withheld of $29,198,
$39,301, $11,288) $ 405,865 338,521 131,305
- -------------------------------------------------------------------------------------------------------------
Interest 884,062 1,889,758 1,501,303
- -------------------------------------------------------------------------------------------------------------
Total Income 1,289,927 2,228,279 1,632,608
- -------------------------------------------------------------------------------------------------------------
Expenses:
Management fee 377,568 391,205 217,591
- -------------------------------------------------------------------------------------------------------------
Services to shareholders 399,080 268,268 152,767
- -------------------------------------------------------------------------------------------------------------
Custodian fee 18,989 17,565 10,174
- -------------------------------------------------------------------------------------------------------------
Distribution services fee 254,781 238,544 110,372
- -------------------------------------------------------------------------------------------------------------
Administrative services fee 155,262 161,297 89,038
- -------------------------------------------------------------------------------------------------------------
Auditing 14,519 17,107 14,797
- -------------------------------------------------------------------------------------------------------------
Legal 3,633 2,576 1,676
- -------------------------------------------------------------------------------------------------------------
Trustees' fee and expenses 6,973 10,107 11,125
- -------------------------------------------------------------------------------------------------------------
Reports to shareholders 33,493 32,920 27,780
- -------------------------------------------------------------------------------------------------------------
Registration fees 16,182 19,472 9,648
- -------------------------------------------------------------------------------------------------------------
Other 31,073 29,012 18,071
- -------------------------------------------------------------------------------------------------------------
Total expenses, before expense reductions 1,311,553 1,188,073 663,039
- -------------------------------------------------------------------------------------------------------------
Expense reductions (3,545) (3,520) (2,381)
- -------------------------------------------------------------------------------------------------------------
Total expenses, after expense reductions 1,308,008 1,184,553 660,658
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) $ (18,081) 1,043,726 971,950
- -------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
- -------------------------------------------------------------------------------------------------------------
Net realized gain (loss) from:
Investments 5,047,319 4,757,501 1,541,037
- -------------------------------------------------------------------------------------------------------------
Foreign currency related transactions (897) 2,034 (865)
- -------------------------------------------------------------------------------------------------------------
5,046,422 4,759,535 1,540,172
- -------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) during the period
on:
Investments (7,903,592) (7,101,290) (2,873,011)
- -------------------------------------------------------------------------------------------------------------
Foreign currency related transactions (8,630) (5,720) (1,286)
- -------------------------------------------------------------------------------------------------------------
(7,912,222) (7,107,010) (2,874,297)
- -------------------------------------------------------------------------------------------------------------
Net gain (loss) on investment transactions (2,865,800) (2,347,475) (1,334,125)
- -------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $(2,883,881) (1,303,749) (362,175)
- -------------------------------------------------------------------------------------------------------------
</TABLE>
36 The accompanying notes are an integral part of the financial statements.
<PAGE> 37
FINANCIAL STATEMENTS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
KEMPER HORIZON FUND
----------------------------------------------------------------------------------
20+ PORTFOLIO 10+ PORTFOLIO 5 PORTFOLIO
-------------------------- ------------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
JANUARY 31, YEAR ENDED JANUARY 31, YEAR ENDED JANUARY 31, YEAR ENDED
2000 JULY 31, 2000 JULY 31, 2000 JULY 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
- -------------------------------------------------------------------------------------------------------------------
Net investment income (loss) $ (18,081) 685,287 1,043,726 2,597,582 971,950 1,731,000
- -------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on
investment transactions 5,046,422 10,446,670 4,759,535 11,571,093 1,540,172 2,875,625
- -------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation
(depreciation) on investment
transactions during the
period (7,912,222) (5,321,656) (7,107,010) (7,380,071) (2,874,297) (1,915,364)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets resulting from
operations (2,883,881) 5,810,301 (1,303,749) 6,788,604 (362,175) 2,691,261
- -------------------------------------------------------------------------------------------------------------------
Distributions to shareholders:
From net investment income
Class A (562,655) (61,343) (916,269) (1,354,282) (785,800) (921,767)
- -------------------------------------------------------------------------------------------------------------------
Class B (119,357) (290) (428,182) (560,174) (319,939) (654,100)
- -------------------------------------------------------------------------------------------------------------------
Class C (147) (33) (108,076) (133,131) (68,745) (158,455)
- -------------------------------------------------------------------------------------------------------------------
Class I (17,946) (12,381) (2,420) (3,850) (3,115) (6,678)
- -------------------------------------------------------------------------------------------------------------------
From net realized gains
Class A (4,929,133) (82,740) (6,099,502) (576,509) (1,631,495) (275,807)
- -------------------------------------------------------------------------------------------------------------------
Class B (4,487,649) (83,107) (4,315,787) (438,833) (839,414) (242,310)
- -------------------------------------------------------------------------------------------------------------------
Class C (1,002,242) (16,938) (1,195,997) (110,057) (188,565) (62,268)
- -------------------------------------------------------------------------------------------------------------------
Class I (72,549) (1,474) (14,271) (1,333) (5,773) (1,615)
- -------------------------------------------------------------------------------------------------------------------
Fund share transactions
Proceeds from shares sold 22,077,714 59,206,981 14,606,366 59,656,876 28,124,177 36,506,924
- -------------------------------------------------------------------------------------------------------------------
Reinvestment of distributions 11,067,854 257,662 12,848,122 3,112,243 3,760,623 2,077,050
- -------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed (41,292,611) (38,121,638) (27,294,257) (39,956,202) (18,833,788) (34,333,646)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets from Fund Share
transactions (8,147,043) 21,343,005 160,231 22,812,917 13,051,022 4,250,328
- -------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS (22,222,602) 26,895,000 (14,224,022) 26,423,352 8,846,001 4,618,589
- -------------------------------------------------------------------------------------------------------------------
Net assets at beginning of
period 136,970,599 110,075,599 138,109,938 111,686,586 59,953,869 55,335,280
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS AT END OF PERIOD $114,747,997 136,970,599 123,885,916 138,109,938 68,799,870 59,953,869
- -------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS) $ (127,101) 591,000 239,639 651,000 17,567 223,000
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE> 38
FINANCIAL HIGHLIGHTS
The following tables include selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
CLASS A
FROM
DECEMBER 29,
SIX MONTHS ENDED YEAR ENDED JULY, 31 1995
KEMPER HORIZON JANUARY 31, 2000 ------------------------ TO JULY 31,
20+ PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net assets value, beginning of period $14.01 13.48 12.89 9.72 9.50
- -------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .03(a) .13(a) .04 .12 .18 (
- -------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.30) .44 1.07 3.15 .04
- -------------------------------------------------------------------------------------------------------------
Total from investment operations (.27) .57 1.11 3.27 .22
- -------------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.13) (.02) (.04) (.10) --
- -------------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (1.14) (.02) (.48) -- --
- -------------------------------------------------------------------------------------------------------------
Total distributions (1.27) (.04) (.52) (.10) --
- -------------------------------------------------------------------------------------------------------------
Net asset value, end of period $12.47 14.01 13.48 12.89 9.72
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (2.13)** 4.21 9.04 33.90 2.32**(B)
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
Net Assets, end of period ($ thousands) 116,348 63,294 49,277 25,697 8,073
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions
(%) 1.60* 1.90 2.00 1.69 1.54*
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions
(%) 1.60* 1.90 2.00 1.69 1.48*
- -------------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) .39* .95 .49 1.08 1.51*
- -------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 32* 72 44 130 122*
- -------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CLASS B
FROM
DECEMBER 29,
SIX MONTHS ENDED YEAR ENDED JULY, 31 1995
KEMPER HORIZON JANUARY 31, 2000 ------------------------ TO JULY 31,
20+ PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net assets value, beginning of period $13.72 13.28 12.79 9.65 9.50
- -------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) (.03)(a) .03(a) (.03) .03 .11 (
- -------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.28) .43 1.00 3.15 .04
- -------------------------------------------------------------------------------------------------------------
Total from investment operations (.31) .46 .97 3.18 .15
- -------------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.03) -- -- (.04) --
- -------------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (1.14) (.02) (.48) -- --
- -------------------------------------------------------------------------------------------------------------
Total distributions (1.17) (.02) (.48) (.04) --
- -------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 12.24 13.72 13.28 12.79 9.65
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (2.53)** 3.55 7.98 33.01 1.58**(B)
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
Net Assets, end of period ($ thousands) 49,628 59,209 50,253 32,159 8,431
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions
(%) 2.38* 2.61 2.79 2.47 2.32*
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions
(%) 2.37* 2.61 2.79 2.47 2.26*
- -------------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) (.19)* .24 (.30) .30 .73*
- -------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 32* 72 44 130 122*
- -------------------------------------------------------------------------------------------------------------
</TABLE>
38
<PAGE> 39
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION> ---------------------------------------------------------
CLASS C
---------------------------------------------------------
FROM
SIX MONTHS ENDED YEAR ENDED JULY 31, DEC. 29, 1995
KEMPER HORIZON JANUARY 31, 2000 ---------------------- TO JULY 31,
20+ PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- ----------------------------------------------------------------------------------------------------------
Net assets value, beginning of period $13.70 13.29 12.80 9.67 9.50
- ----------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) (.04)(a) (.01)(a) (.05) .04 .13(a)
- ----------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.30) .44 1.02 3.13 .04
- ----------------------------------------------------------------------------------------------------------
Total from investment operations (.34) .43 .97 3.17 .17
- ----------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income -- -- -- (.04) --
- ----------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (1.14) (.02) (.48) -- --
- ----------------------------------------------------------------------------------------------------------
Total distributions (1.14) (.02) (.48) (.04) --
- ----------------------------------------------------------------------------------------------------------
Net asset value, end of period $12.22 13.70 13.29 12.80 9.67
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (2.60)** 3.24 7.97 32.80 1.79**(B)
- ----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 11,338 13,156 9,310 3,948 798
- ----------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions (%)
2.59* 2.88 3.03 2.48 2.29*
- ----------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions (%)
2.59* 2.88 3.03 2.48 2.23*
- ----------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) (.62)* (.03) (.54) .29 .76*
- ----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 32* 72 44 130 122*
- ----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION> ---------------------------------------------------------
CLASS I
---------------------------------------------------------
FROM
SIX MONTHS ENDED YEAR ENDED JULY 31, APRIL 6, 1996
KEMPER HORIZON JANUARY 31, 2000 ---------------------- TO JULY 31,
20+ PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net assets value, beginning of period $14.16 13.62 12.96 9.73 10.03
- ---------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .09(a) .27(a) .17 .19 .07
- ---------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.32) .46 1.09 3.17 (.37)
- ---------------------------------------------------------------------------------------------------------------
Total from investment operations (.23) .73 1.26 3.36 (.30)
- ---------------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.28) (.17) (.12) (.13) --
- ---------------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (1.14) (.02) (.48) -- --
- ---------------------------------------------------------------------------------------------------------------
Total distributions (1.42) (.19) (.60) (.13) --
- ---------------------------------------------------------------------------------------------------------------
Net asset value, end of period $12.51 14.16 13.62 12.96 9.73
- ---------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (1.82)** 5.43 10.29 34.84 (2.99)**(B)
- ---------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 528 1,312 1,237 870 949
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions (%)
.85* .84 .85 1.04 .79*
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions (%)
.85* .84 .85 1.04 .73*
- ---------------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) 1.14* 2.01 1.64 1.73 2.32*
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 32* 72 44 130 122*
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE> 40
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION> --------------------------------------------------------------
CLASS A
--------------------------------------------------------------
FROM
DECEMBER 29,
SIX MONTHS ENDED YEAR ENDED JULY 31, 1995
KEMPER HORIZON JANUARY 31, 2000 ------------------------ TO JULY 31,
10+ PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- -------------------------------------------------------------------------------------------------------------
Net assets value, beginning of period $12.79 12.49 12.01 9.60 9.50
- -------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .12(a) .31(a) .24 .25 .20 (a)
- -------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.21) .35 .87 2.36 (.04)
- -------------------------------------------------------------------------------------------------------------
Total from investment operations (.09) .66 1.11 2.61 .16
- -------------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.17) (.25) (.22) (.20) (.06)
- -------------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (1.13) (.11) (.41) -- --
- -------------------------------------------------------------------------------------------------------------
Total distributions (1.30) (.36) (.63) (.20) (.06)
- -------------------------------------------------------------------------------------------------------------
Net asset value, end of period $11.40 12.79 12.49 12.01 9.60
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (.84)** 5.37 9.75 27.43 1.70**(B)
- -------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- -------------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 65,980 72,534 58,101 27,475 9,338
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions (%)
1.35* 1.46 1.48 1.51 1.52*
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions (%)
1.34* 1.46 1.48 1.51 1.48*
- -------------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) 1.97* 2.47 2.26 2.36 2.40*
- -------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 21* 64 37 126 87*
- -------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION> --------------------------------------------------------------
CLASS B
--------------------------------------------------------------
FROM
DECEMBER 29,
SIX MONTHS ENDED YEAR ENDED JULY, 31 1995
KEMPER HORIZON JANUARY 31, 2000 ------------------------ TO JULY 31,
10+ PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- -------------------------------------------------------------------------------------------------------------
Net assets value, beginning of period $12.78 12.48 12.00 9.60 9.50
- -------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .07(a) .20(a) .15 .16 .17 (a)
- -------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.22) .35 .86 2.35 (.04)
- -------------------------------------------------------------------------------------------------------------
Total from investment operations (.15) .55 1.01 2.51 .13
- -------------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.11) (.14) (.12) (.11) (.03)
- -------------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (1.13) (.11) (.41) -- --
- -------------------------------------------------------------------------------------------------------------
Total distributions (1.24) (.25) (.53) (.11) (.03)
- -------------------------------------------------------------------------------------------------------------
Net asset value, end of period $11.39 12.78 12.48 12.00 9.60
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (1.29)** 4.46 8.85 26.25 1.38**(B)
- -------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- -------------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 46,071 59,209 42,522 29,602 8,622
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions (%)
2.20* 2.34 2.36 2.36 2.30*
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions (%)
2.20* 2.34 2.36 2.36 2.26*
- -------------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) 1.11* 1.59 1.38 1.51 1.62*
- -------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 21* 64 37 126 87*
- -------------------------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE> 41
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
--------------------------------------------------------------
CLASS C
--------------------------------------------------------------
FROM
DECEMBER 29,
SIX MONTHS ENDED YEAR ENDED JULY, 31 1995
KEMPER HORIZON JANUARY 31, 2000 ----------------------- TO JULY 31,
10+ PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- ---------------------------------------------------------------------------------------------------------------
Net assets value, beginning of period $12.73 12.44 11.98 9.60 9.50
- ---------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .06(a) .18(a) .14 .14 .17 (a)
- ---------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.21) .35 .87 2.34 (.04)
- ---------------------------------------------------------------------------------------------------------------
Total from investment operations (.15) .53 1.01 2.48 .13
- ---------------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.10) (.13) (.14) (.10) (.03)
- ---------------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (1.13) (.11) (.41) -- --
- ---------------------------------------------------------------------------------------------------------------
Total distributions (1.23) (.24) (.55) (.10) (.03)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, end of period $11.35 12.73 12.44 11.98 9.60
- ---------------------------------------------------------------------------------------------------------------
TOTAL RETURN(%) (1.29)** 4.29 8.83 25.97 1.39**(B)
- ---------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 12,602 14,034 10,697 5,921 850
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses before expense
reductions(%) 2.33* 2.50 2.39 2.61 2.27*
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions(%) 2.33* 2.50 2.39 2.61 2.23*
- ---------------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss)(%) .98* 1.43 1.35 1.26 1.65*
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover(%) 21* 64 37 126 87*
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------
CLASS I
--------------------------------------------------------------
FROM
SIX MONTHS ENDED YEAR ENDED JULY, 31 APRIL 8, 1996
KEMPER HORIZON JANUARY 31, 2000 ---------------------- TO JULY 31,
10+ PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- ---------------------------------------------------------------------------------------------------------------
Net assets value, beginning of period $12.76 12.46 11.97 9.57 9.83
- ---------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .14(a) .36(a) .35 .26 .09(a)
- ---------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.22) .36 .84 2.40 (.26)
- ---------------------------------------------------------------------------------------------------------------
Total from investment operations (.08) .72 1.19 2.66 (.17)
- ---------------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.19) (.31) (.29) (.26) (.09)
- ---------------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (1.13) (.11) (.41) -- --
- ---------------------------------------------------------------------------------------------------------------
Total distributions (1.32) (.42) (.70) (.26) 1.32
- ---------------------------------------------------------------------------------------------------------------
Net asset value, end of period $11.36 12.76 12.46 11.97 9.57
- ---------------------------------------------------------------------------------------------------------------
TOTAL RETURN(%) (.75)** 5.86 10.47 28.09 (1.74)**(B)
- ---------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 49,628 177 367 401 102
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses before expense
reductions(%) 1.07* 1.07 .99 1.06 .77*
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions(%) 1.07* 1.07 .99 1.06 .73*
- ---------------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss)(%) 2.24* 3.10 2.75 2.81 3.21*
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover(%) 21 64 37 126 87*
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE> 42
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
------------------------------------------------------------
CLASS A
------------------------------------------------------------
FROM
DECEMBER 29,
SIX MONTHS ENDED YEAR ENDED JULY, 31 1995
KEMPER HORIZON JANUARY 31, 2000 ------------------------ TO JULY 31,
5 PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- ----------------------------------------------------------------------------------------------------------
Net assets value, beginning of period $11.31 11.26 11.06 9.57 9.50
- ----------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .17(a) .38(a) .35 .34 .25(a)
- ----------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.22) .17 .47 1.45 (.07)
- ----------------------------------------------------------------------------------------------------------
Total from investment operations (.05) .55 .82 1.79 .18
- ----------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.19) (.38) (.35) (.30) (.11)
- ----------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (.40) (.12) (.27) -- --
- ----------------------------------------------------------------------------------------------------------
Total distributions (.59) (.50) (.62) (.30) (.11)
- ----------------------------------------------------------------------------------------------------------
Net asset value, end of period $10.67 11.31 11.26 11.06 9.57
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (.42)** 4.94 7.74 19.02 1.84**(B)
- ----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 41,819 29,714 23,669 11,831 4,411
- ----------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions (%) 1.48* 1.54 1.64 1.51 1.53*
- ----------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions (%) 1.48* 1.54 1.64 1.51 1.48*
- ----------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) 2.88* 3.34 3.28 3.30 3.20*
- ----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 26* 58 43 150 57
- ----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
CLASS B
------------------------------------------------------------
FROM
DECEMBER 29,
SIX MONTHS ENDED YEAR ENDED JULY, 31 1995
KEMPER HORIZON JANUARY 31, 2000 ------------------------ TO JULY 31,
5 PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- ----------------------------------------------------------------------------------------------------------
Net assets value, beginning of period $11.31 11.28 11.06 9.57 9.50
- ----------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .12(a) .30(a) .30 .27 .21(a)
- ----------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.21) .16 .47 1.44 (.07)
- ----------------------------------------------------------------------------------------------------------
Total from investment operations (.09) .46 .77 1.71 .14
- ----------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.15) (.31) (.28) (.22) (.07)
- ----------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (.40) (.12) (.27) -- --
- ----------------------------------------------------------------------------------------------------------
Total distributions (.55) (.43) (.55) (.22) (.07)
- ----------------------------------------------------------------------------------------------------------
Net asset value, end of period $10.67 11.31 11.28 11.06 9.57
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (.84)** 4.24 7.27 18.15 1.44**(B)
- ----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 21,893 24,454 23,669 15,632 5,705
- ----------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions (%) 2.20* 2.20 2.17 2.15 2.31*
- ----------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions (%) 2.19* 2.20 2.17 2.15 2.26*
- ----------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) 2.17* 2.68 2.75 2.66 2.42*
- ----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 26* 58 43 150 57*
- ----------------------------------------------------------------------------------------------------------
</TABLE>
42
<PAGE> 43
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
--------------------------------------------------------
CLASS C
--------------------------------------------------------
FROM
DECEMBER 29,
SIX MONTHS ENDED YEAR ENDED JULY, 31 1995
KEMPER HORIZON JANUARY 31, 2000 --------------------- TO JULY 31,
5 PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- ---------------------------------------------------------------------------------------------------------
Net assets value, beginning of period $11.30 11.27 11.07 9.57 9.50
- ---------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .11(a) .28(a) .28 .28 .21(a)
- ---------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.21) .18 .47 1.43 (.07)
- ---------------------------------------------------------------------------------------------------------
Total from investment operations (.10) .46 .75 1.71 .14
- ---------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.14) (.31) (.28) (.21) (.07)
- ---------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (.40) (.12) (.27) -- --
- ---------------------------------------------------------------------------------------------------------
Total distributions (.54) (.43) (.55) (.21) (.07)
- ---------------------------------------------------------------------------------------------------------
Net asset value, end of period $10.66 11.30 11.27 11.07 9.57
- ---------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (.90)** 4.20 7.10 18.13 1.45**(B)
- ---------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 4,919 5,620 5,006 3,108 614
- ---------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions (%) 2.33* 2.39 2.18 2.16 2.28*
- ---------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions (%) 2.32* 2.39 2.18 2.16 2.23*
- ---------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) 2.04* 2.49 2.74 2.65 2.45*
- ---------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 26* 58 43 150 57*
- ---------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
CLASS I
------------------------------------------------------------
FROM
SIX MONTHS ENDED YEAR ENDED JULY, 31 APRIL 8, 1996
KEMPER HORIZON JANUARY 31, 2000 --------------------- TO JULY 31,
5 PORTFOLIO (UNAUDITED) 1999 1998 1997 1996
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
- -------------------------------------------------------------------------------------------------------------
Net assets value, beginning of period $11.31 11.28 11.06 9.58 9.69
- -------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .18(a) .41(a) .41 .32 .08(a)
- -------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions (.21) .18 .47 1.49 (.11)
- -------------------------------------------------------------------------------------------------------------
Total from investment operations (.03) .59 .88 1.81 (.03)
- -------------------------------------------------------------------------------------------------------------
Less distribution from:
Net investment income (.21) (.44) (.39) (.33) (.08)
- -------------------------------------------------------------------------------------------------------------
Net realized gains on investment
transactions (.40) (.12) (.27) -- --
- -------------------------------------------------------------------------------------------------------------
Total distributions (.61) (.56) (.66) (.33) (.08)
- -------------------------------------------------------------------------------------------------------------
Net asset value, end of period $10.67 11.31 11.28 11.06 9.58
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (.26)** 5.47 8.29 19.27 (.31)**(B)
- -------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
- -------------------------------------------------------------------------------------------------------------
Net assets, end of period ($ thousands) 527 165 211 128 101
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses before expense reductions (%) 1.18* 1.13 1.03 1.20 .78*
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses after expense reductions (%) 1.18* 1.13 1.03 1.20 .73*
- -------------------------------------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) 3.18* 3.75 3.89 3.61 4.11*
- -------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 26* 58 43 150 57*
- -------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Based on average shares outstanding
(b) Total return would have been lower had certain expenses not been reduced.
* Annualized.
** Not annualized.
43
<PAGE> 44
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1
SIGNIFICANT
ACCOUNTING POLICIES Kemper Horizon Fund (the "Fund") is registered
under the Investment Company Act of 1940, as
amended (the "1940 Act"), as an open-end,
diversified management investment company organized
as a Massachusetts business trust. The Fund
consists of three investment portfolios
("Portfolios") designed for investors with
different investment objectives. The three
Portfolios are Kemper Horizon 20+, Kemper Horizon
10+ and Kemper Horizon 5. Each Portfolio offers
multiple classes of shares. Class A shares are
offered to investors subject to an initial sales
charge. Class B shares are offered 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 offered 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 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.
Investment income, realized and unrealized gains
and losses, and certain fund-level expenses and
expense reductions, if any, are borne pro rata on
the basis of relative net assets by the holders of
all classes of shares except that each class bears
certain expenses unique to that class such as
distribution services, shareholder services,
administrative services and certain other class
specific expenses. Differences in class expenses
may result in payment of different per share
dividends by class. All shares of each Portfolio
have equal rights with respect to voting subject to
class specific arrangements.
Each Portfolio's financial statements are prepared
in accordance with generally accepted accounting
principles which require the use of management
estimates. The policies described below are
followed consistently by the Fund in the
preparation of its financial statements.
SECURITY VALUATION. Investments are stated at value
determined as of the close of regular trading on
the New York Stock Exchange. Securities which are
traded on U.S. or foreign stock exchanges are
valued at the most recent sale price reported on
the exchange on which the security is traded most
extensively. If no sale occurred, the security is
then valued at the calculated mean between the most
recent bid and asked quotations. If there are no
such bid and asked quotations, the most recent bid
quotation is used. Securities quoted on the Nasdaq
Stock Market ("Nasdaq"), for which there have been
sales, are valued at the most recent sale price
reported. If there are no such sales, the value is
the most recent bid quotation. Securities which are
not quoted on Nasdaq but are traded in another
over-the-counter market are valued at the most
recent sale price, or if no sale occurred, at the
calculated mean between the most recent bid and
asked quotations on such market. If there are no
such bid and asked quotations, the most recent bid
quotation shall be used.
Portfolio debt securities purchased with an
original maturity greater than sixty days are
valued by pricing agents approved by the officers
of the Trust, whose quotations reflect
broker/dealer-supplied valuations and electronic
data processing techniques. If the pricing agents
are unable to provide such quotations, the most
recent bid quotation supplied by a bona fide market
maker shall be used.
44
<PAGE> 45
NOTES TO FINANCIAL STATEMENTS
Money market instruments purchased with an original
maturity of sixty days or less are valued at
amortized cost.
All other securities are valued at their fair value
as determined in good faith by the Valuation
Committee of the Board of Trustees.
FOREIGN CURRENCY TRANSLATIONS. The books and
records of each Portfolio are maintained in U.S.
dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are
translated into U.S. dollars at the prevailing
exchange rates at period end. Purchases and sales
of investment securities, income and expenses are
translated into U.S. dollars at the prevailing
exchange rates on the respective dates of the
transactions.
Net realized and unrealized gains and losses on
foreign currency transactions represent net gains
and losses between trade and settlement dates on
securities transactions, the disposition of forward
foreign currency exchange contracts and foreign
currencies, and the difference between the amount
of net investment income accrued and the U.S.
dollar amount actually received. That portion of
both realized and unrealized gains and losses on
investments that results from fluctuations in
foreign currency exchange rates is not separately
disclosed but is included with net realized and
unrealized gains and losses on investment
securities.
REPURCHASE AGREEMENTS. The Fund may enter into
repurchase agreements with certain banks and
broker/dealers whereby the Fund, through its
custodian or sub-custodian bank, receives delivery
of the underlying securities, the amount of which
at the time of purchase and each subsequent
business day is required to be maintained at such a
level that the market value is equal to at least
the principal amount of the repurchase price plus
accrued interest.
FEDERAL INCOME TAXES. Each Portfolio's policy is to
comply with the requirements of the Internal
Revenue Code, as amended, which are applicable to
regulated investment companies and to distribute
all of its taxable income to its shareholders.
Accordingly, each Portfolio paid no federal income
taxes and no federal income tax provision was
required.
DISTRIBUTION OF INCOME AND GAINS. Distributions of
net investment income, if any, are made as follows:
annually for Kemper Horizon 20+ , semiannually for
Kemper Horizon 10+ and quarterly for Kemper Horizon
5. Net realized gains from investment transactions,
in excess of available capital loss carryforwards,
would be taxable to each Portfolio if not
distributed, and, therefore, will be distributed to
shareholders at least annually.
The timing and characterization of certain income
and capital gains distributions are determined
annually in accordance with federal tax regulations
which may differ from generally accepted accounting
principles. As a result, net investment income
(loss) and net realized gain (loss) on investment
transactions for a reporting period may differ
significantly from distributions during such
period. Accordingly, each Portfolio may
periodically make reclassifications among certain
of its capital accounts without impacting the net
asset value of each Portfolio.
INVESTMENT TRANSACTIONS AND INVESTMENT
INCOME. Investment transactions are accounted for
on the trade date. Interest income is recorded on
the accrual basis. Dividend income is recorded on
the ex-dividend date. Certain dividends
45
<PAGE> 46
NOTES TO FINANCIAL STATEMENTS
from foreign securities may be recorded subsequent
to the ex-dividend date as soon as the Fund is
informed of such dividends. Realized gains and
losses from investment transactions are recorded on
an identified cost basis.
- --------------------------------------------------------------------------------
2
PURCHASE AND
SALES OF SECURITIES For the six months ended January 31, 2000,
investment transactions (excluding short-term
instruments) are as follows:
<TABLE>
<CAPTION>
PURCHASES PROCEEDS FROM SALES
--------- -------------------
<S> <C> <C>
Kemper Horizon 20+ $20,476,414 $37,899,922
Kemper Horizon 10+ 28,411,427 36,820,496
Kemper Horizon 5 28,597,006 18,303,550
</TABLE>
- --------------------------------------------------------------------------------
3
TRANSACTIONS
WITH AFFILIATES MANAGEMENT AGREEMENT. Each Portfolio has a
management agreement with Scudder Kemper
Investments, Inc. (Scudder Kemper). Under the
management agreement each Portfolio pays a monthly
investment management fee of 1/12 of the annual
rate of .58% for the first $250 million of average
daily net assets declining to .42% of average daily
net assets in excess of $12.5 billion. Management
fees for the six months ended January 31, 2000 are
as follows:
<TABLE>
<CAPTION>
MANAGEMENT FEE EFFECTIVE RATE
-------------- --------------
<S> <C> <C>
Kemper Horizon 20+ Portfolio $377,568 58%
Kemper Horizon 10+ Portfolio 391,205 58%
Kemper Horizon 5 Portfolio 217,591 58%
</TABLE>
UNDERWRITING AND DISTRIBUTION SERVICES
AGREEMENT. Each Portfolio has an underwriting and
distribution services agreement with Kemper
Distributors, Inc. (KDI). Underwriting commissions
retained by KDI in connection with the distribution
of each Portfolio's Class A shares for the six
months ended January 31, 2000 are as follows:
<TABLE>
<CAPTION>
COMMISSIONS
RETAINED BY KDI
---------------
<S> <C>
Kemper Horizon 20+ $3,457
Kemper Horizon 10+ 3,649
Kemper Horizon 5 780
</TABLE>
For services under the distribution services
agreement, each Portfolio pays KDI a fee of .75% of
average daily net assets of the Class B and Class C
shares pursuant to separate Rule 12b-1 plans for
the 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
CDSC related to Class B and Class C shares for the
six months ended January 31, 2000 are as follows:
<TABLE>
<CAPTION>
DISTRIBUTIONS FEES AND
CDSC RECEIVED BY KDI
----------------------
<S> <C>
Kemper Horizon 20+ $383,999
Kemper Horizon 10+ 310,409
Kemper Horizon 5 149,552
</TABLE>
ADMINISTRATIVE SERVICES AGREEMENT. Each Portfolio
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
46
<PAGE> 47
NOTES TO FINANCIAL STATEMENTS
services and pays these firms based on assets of
portfolio accounts the firms service.
Administrative services fees (ASF) paid for the
year ended January 31, 2000 are as follows:
<TABLE>
<CAPTION>
ASF PAID BY
THE PORTFOLIOS
TO KDI
--------------
<S> <C>
Kemper Horizon 20+ $155,262
Kemper Horizon 10+ 161,297
Kemper Horizon 5 89,038
</TABLE>
SHAREHOLDER SERVICES AGREEMENT. Pursuant to a
services agreement with the Portfolio's transfer
agent, Kemper Service Company (KSvC) is the
shareholder service agent of each Portfolio. Under
the agreement, KSvC received shareholder services
fees of $710,583 for the six months ended January
31, 2000.
OFFICERS AND TRUSTEES. Certain officers or trustees
of the Portfolios are also officers or directors of
Scudder Kemper. During the six months ended January
31, 2000, each Portfolio made no payments to its
officers and incurred trustees' fees of $28,205 to
independent trustees.
- --------------------------------------------------------------------------------
4
CAPITAL SHARE
TRANSACTIONS The following table summarizes the activity in
capital shares of the:
------------------------------
KEMPER HORIZON 20+ PORTFOLIO
------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JANUARY 31, 2000 YEAR ENDED JULY 31, 1999
---------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
----------------------------------------------------------------------------------------
SHARES SOLD
----------------------------------------------------------------------------------------
Class A 856,470 $ 11,662,606 2,111,088 $ 27,982,001
----------------------------------------------------------------------------------------
Class B 503,409 6,677,635 1,684,762 21,882,000
----------------------------------------------------------------------------------------
Class C 200,014 2,658,198 622,646 8,127,981
----------------------------------------------------------------------------------------
Class I 8,712 119,963 49,274 665,999
========================================================================================
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS
----------------------------------------------------------------------------------------
Class A 428,647 5,465,253 10,873 143,808
----------------------------------------------------------------------------------------
Class B 361,544 4,530,143 6,366 82,999
----------------------------------------------------------------------------------------
Class C 78,432 981,966 1,287 16,999
----------------------------------------------------------------------------------------
Class I 7,081 90,492 1,041 13,856
========================================================================================
SHARES REDEEMED
----------------------------------------------------------------------------------------
Class A (1,559,550) (20,877,339) (1,301,872) (17,386,043)
----------------------------------------------------------------------------------------
Class B (1,083,072) (14,280,578) (1,117,897) (14,744,980)
----------------------------------------------------------------------------------------
Class C (322,721) (4,281,598) (362,964) (4,813,904)
----------------------------------------------------------------------------------------
Class I (66,218) (893,784) (48,385) (627,711)
========================================================================================
CONVERSION OF SHARES
----------------------------------------------------------------------------------------
Class A 73,329 959,312 42,000 549,000
----------------------------------------------------------------------------------------
Class B (74,718) (959,312) (42,000) (549,000)
----------------------------------------------------------------------------------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS $ (8,147,043) $ 21,343,005
----------------------------------------------------------------------------------------
</TABLE>
47
<PAGE> 48
NOTES TO FINANCIAL STATEMENTS
------------------------------
KEMPER HORIZON 10+ PORTFOLIO
------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JANUARY 31, 2000 JULY 31, 1999
---------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
----------------------------------------------------------------------------------------
SHARES SOLD
----------------------------------------------------------------------------------------
Class A 600,906 $ 7,762,101 2,362,014 $ 29,026,233
----------------------------------------------------------------------------------------
Class B 370,099 4,593,706 1,808,670 22,330,212
----------------------------------------------------------------------------------------
Class C 156,782 1,946,616 516,658 6,352,199
----------------------------------------------------------------------------------------
Class I 1,032 12,354 2,306 29,139
========================================================================================
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS
----------------------------------------------------------------------------------------
Class A 599,270 6,929,544 152,372 1,904,521
----------------------------------------------------------------------------------------
Class B 400,550 4,630,412 77,459 967,216
----------------------------------------------------------------------------------------
Class C 110,365 1,271,478 18,913 235,316
----------------------------------------------------------------------------------------
Class I 1,447 16,688 415 5,190
========================================================================================
SHARES REDEEMED
----------------------------------------------------------------------------------------
Class A (1,195,225) (14,764,294) (1,650,630) (20,380,374)
----------------------------------------------------------------------------------------
Class B (706,373) (8,965,820) (1,118,561) (13,815,449)
----------------------------------------------------------------------------------------
Class C (265,640) (3,251,317) (293,156) (3,622,685)
----------------------------------------------------------------------------------------
Class I (1,683) (21,237) (18,325) (218,601)
========================================================================================
CONVERSION OF SHARES
----------------------------------------------------------------------------------------
Class A 23,003 291,589 156,116 1,919,093
----------------------------------------------------------------------------------------
Class B (23,049) (291,589) (156,383) (1,919,093)
----------------------------------------------------------------------------------------
NET INCREASE FROM
CAPITAL SHARE TRANSACTIONS $ 160,231 $ 22,812,917
----------------------------------------------------------------------------------------
</TABLE>
------------------------------
KEMPER HORIZON 5 PORTFOLIO
------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JANUARY 31, 2000 JULY 31, 1999
---------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
----------------------------------------------------------------------------------------
SHARES SOLD
----------------------------------------------------------------------------------------
Class A 2,231,234 $ 25,292,490 1,796,248 $ 20,111,128
----------------------------------------------------------------------------------------
Class B 179,184 1,995,655 1,165,296 12,908,923
----------------------------------------------------------------------------------------
Class C 57,894 645,675 247,711 2,751,051
----------------------------------------------------------------------------------------
Class I 953 10,469 1,752 19,822
========================================================================================
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS
----------------------------------------------------------------------------------------
Class A 220,456 2,390,603 88,347 981,698
----------------------------------------------------------------------------------------
Class B 102,102 1,106,645 78,637 871,320
----------------------------------------------------------------------------------------
Class C 23,502 254,490 19,471 215,740
----------------------------------------------------------------------------------------
Class I 820 8,885 750 8,292
========================================================================================
SHARES REDEEMED
----------------------------------------------------------------------------------------
Class A (1,192,956) (13,206,359) (1,671,440) (18,685,905)
----------------------------------------------------------------------------------------
Class B (359,214) (4,141,900) (1,117,396) (12,454,868)
----------------------------------------------------------------------------------------
Class C (117,239) (1,299,328) (214,067) (2,403,281)
----------------------------------------------------------------------------------------
Class I (563) (6,303) (6,668) (73,592)
========================================================================================
CONVERSION OF SHARES
----------------------------------------------------------------------------------------
Class A 16,095 179,888 65,000 716,000
----------------------------------------------------------------------------------------
Class B (16,093) (179,888) (65,000) (716,000)
----------------------------------------------------------------------------------------
NET INCREASE FROM
CAPITAL SHARE TRANSACTIONS $ 13,051,022 $ 4,250,328
----------------------------------------------------------------------------------------
</TABLE>
48
<PAGE> 49
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
5
EXPENSE OFF-SET
ARRANGEMENTS Each Portfolio has entered into arrangements with
its custodian whereby credits realized as a result
of uninvested cash balances were used to reduce a
portion of the Portfolio's expenses. During the
period, the Portfolio's custodian and transfer
agent fees were reduced by:
<TABLE>
<CAPTION>
CUSTODIAN TRANSFER AGENT
--------- --------------
<S> <C> <C>
Kemper Horizon 20+ $179 $3,366
Kemper Horizon 10+ 33 3,487
Kemper Horizon 5 85 2,296
</TABLE>
- --------------------------------------------------------------------------------
6
LINE OF
CREDIT Each Portfolio and several Kemper funds (the
"Participants") share in a $750 million revolving
credit facility for temporary or emergency
purposes. The Participants are charged an annual
commitment fee which is allocated pro rata among
each of the Participants. Interest is calculated
based on the market rates at the time of borrowing.
Each Portfolio may borrow up to a maximum of 33
percent of its net assets under the agreement.
49
<PAGE> 50
NOTES
50
<PAGE> 51
NOTES
51
<PAGE> 52
TRUSTEES&OFFICERS
<TABLE>
<S> <C> <C>
TRUSTEES OFFICERS
JAMES E. AKINS MARK S. CASADY MAUREEN E. KANE
Trustee President Assistant Secretary
JAMES R. EDGAR PHILIP J. COLLORA CAROLINE PEARSON
Vice President Vice President and Assistant Secretary
Secretary
ARTHUR R. GOTTSCHALK BRENDA LYONS
Trustee JOHN R. HEBBLE Assistant Treasurer
Treasurer
FREDERICK T. KELSEY
Trustee ANN M. MCCREARY
Vice President
THOMAS W. LITTAUER
Chairman, Trustee and KATHRYN L. QUIRK
Vice President Vice President
FRED B. RENWICK LINDA J. WONDRACK
Trustee Vice President
JOHN G. WEITHERS
Trustee
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LEGAL COUNSEL VEDDER, PRICE, KAUFMAN & KAMMHOLZ
222 North LaSalle Street
Chicago, IL 60601
.............................................................................................
SHAREHOLDER KEMPER SERVICE COMPANY
SERVICE AGENT P.O. Box 219557
Kansas City, MO 64121
.............................................................................................
TRANSFER AGENT INVESTORS FIDUCIARY TRUST COMPANY
801 Pennsylvania Avenue
Kansas City, MO 64105
.............................................................................................
CUSTODIAN STATE STREET BANK AND TRUST COMPANY
225 Franklin Street
Boston, MA 02110
.............................................................................................
INDEPENDENT AUDITORS ERNST & YOUNG LLP
233 South Wacker Drive
Chicago, IL 60606
.............................................................................................
PRINCIPAL UNDERWRITER KEMPER DISTRIBUTORS, INC.
222 South Riverside Plaza Chicago, IL 60606
www.kemper.com
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Long-term investing in a short-term world(SM)
Printed on recycled paper in the U.S.A.
This report is not to be distributed
unless preceded or accompanied by a
Kemper Horizon Fund prospectus.
KHF - 3 (3/25/00) 1105610
