<PAGE> 1
1999 ANNUAL REPORTS
PACIFIC INNOVATIONS TRUST
SEPARATE ACCOUNT B OF
PACIFIC LIFE INSURANCE COMPANY
[PACIFIC LIFE LOGO]
Pacific Life Insurance Company
is the issuer of Pacific Innovations variable annuity
Not FDIC Insured
<PAGE> 2
Dear Shareholder:
We are pleased to share with you the annual report, dated December 31,
1999, for the Pacific Innovations Trust, which is the underlying Fund for
Pacific Innovations Variable Annuity (both "Pacific Innovations"). Administered
by Pacific Life Insurance Company, Pacific Innovations is a flexible premium
deferred variable annuity contract for individuals as well as certain
tax-qualified retirement plans.
At December 31, 1999, in addition to a Fixed Investment Option, seven
Variable Investment Options were available, each one investing in shares of a
corresponding Fund of the Pacific Innovations Trust. Five of the Funds are
advised by Bank of America Advisors, Inc.: Money Market Fund, Capital Income
Fund, Blue Chip Fund, Mid-Cap Equity Fund and Aggressive Growth Fund. Two funds,
the Managed Bond Fund and the International Fund, are sub-advised by Scudder
Kemper Investments, Inc. and Wellington Management Company, LLP, respectively.
Pacific Innovations finished the period with solid total returns in an
environment that continued to be favorable to growth stocks and unfavorable to
fixed income securities that struggled in a rising interest rate environment.
The broad U.S. stock market gained 21.04%, intermediate-term U.S. bonds
delivered a total return of (0.82)% and overseas equity securities advanced
26.97% for the twelve months ended December 31, 1999.*
The U.S. securities market continues to benefit from moderate inflation and
steady economic growth. These conditions are favorable to business earnings and
the performance of financial assets, especially equities. Year-over-year growth
of corporate earnings have accelerated giving investors reason to be optimistic
about further earnings.
We will remember 1999 as a very difficult year for the bond market.
Interest rates rose steadily during much of the past year based in part on the
belief that strong domestic growth could not be sustained without creating
inflationary pressure. Looking forward, the outlook for the Federal Reserve
Board (the "Fed") remains uncertain. We expect the Fed to examine stock
valuations, the strength of the domestic and global economies and tight domestic
labor markets to determine whether it needs to continue to increase short-term
interest rates.
As you know the Pacific Innovations Trust was liquidated on February 11,
2000. I would like to take this opportunity to thank you for your support and
investment in Pacific Innovations Trust. It has been a pleasure to service your
investment needs.
Sincerely,
CORNELIUS J. PINGS SIGNATURE
Dr. Cornelius J. Pings
Chairman
- ---------------
* As measured by the Standard & Poor's 500 Composite Stock Price Index; the
Lehman Brothers Aggregate Bond Index; and the Morgan Stanley Capital
International (MSCI) Europe, Australia and Far East (EAFE) Index for the year
ended 12/31/99. These indices are representative of the large capitalization
U.S. equity, U.S. bond and International markets, respectively. Each index
cannot be invested in directly.
<PAGE> 3
1999 ANNUAL REPORTS
PACIFIC INNOVATIONS TRUST
SEPARATE ACCOUNT B OF
PACIFIC LIFE INSURANCE COMPANY
[PACIFIC LIFE LOGO]
Pacific Life Insurance Company
is the issuer of Pacific Innovations variable annuity
Not FDIC Insured
<PAGE> 4
Pacific Life Insurance Company ----------------
Variable Annuity Department BULK RATE
P.O. Box 7187 U.S. POSTAGE
Pasadena, California 91109-7187 PAID
PACIFIC LIFE
92799
----------------
1999 ANNUAL REPORTS
PACIFIC INNOVATIONS TRUST
SEPARATE ACCOUNT B OF
PACIFIC LIFE INSURANCE
COMPANY
<PAGE> 5
MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000) VALUE
---- ----- -----
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 91.2%
FANNIEMAE -- 15.8%
FannieMae Discount Note
5.48%....................... 01/20/00 $ 700 $ 697,975
FannieMae
6.10%....................... 02/10/00 270 270,027
----------
TOTAL FANNIEMAE......................... 968,002
----------
FEDERAL FARM CREDIT BANK -- 12.3%
Federal Farm Credit Bank
Discount Note
5.50%....................... 01/20/00 560 558,375
Federal Farm Credit Bank Note
6.18%....................... 06/27/00 200 200,340
----------
TOTAL FEDERAL FARM CREDIT BANK.......... 758,715
----------
FEDERAL HOME LOAN BANK -- 24.0%
Federal Home Loan Bank
Discount Note
5.51%....................... 01/21/00 500 498,469
Federal Home Loan Bank
Discount Note
5.00%....................... 02/10/00 300 299,647
Federal Home Loan Bank
Discount Note
5.51%....................... 02/29/00 500 495,485
Federal Home Loan Bank Note
5.95%....................... 01/18/00 50 50,019
Federal Home Loan Bank Note
8.60%....................... 01/25/00 100 100,159
Federal Home Loan Bank Note
7.88%....................... 02/09/00 20 20,057
Federal Home Loan Bank Note
7.585%...................... 02/10/00 10 10,025
----------
TOTAL FEDERAL HOME LOAN BANK............ 1,473,861
----------
</TABLE>
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000) VALUE
---- ----- -----
<S> <C> <C> <C>
FEDERAL HOME LOAN MORTGAGE CORP. -- 22.9%
Federal Home Loan Mortgage
Corp. Discount Note
5.71%....................... 01/10/00 $ 500 $ 499,306
Federal Home Loan Mortgage
Corp. Discount Note
5.75%....................... 01/13/00 104 103,797
Federal Home Loan Mortgage
Corp. Discount Note
5.50%....................... 01/28/00 500 497,938
Federal Home Loan Mortgage
Corp. Discount Note
5.55%....................... 02/09/00 310 308,136
----------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORP.................................. 1,409,177
----------
TENNESSEE VALLEY AUTHORITY -- 16.2%
Tennessee Valley Authority
Discount Note
5.46%....................... 01/31/00 1,000 995,509
----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $5,605,264)......................... 5,605,264
----------
REPURCHASE AGREEMENT -- 8.5%
Lehman Brothers, Inc.
3.50% dated 12/31/99,
repurchase price $519,151
(collateralized by $530,192
GNMA, 6.50%-11.00%,
11/20/01-01/15/29), market
value $527,052 (Cost
$519,000)..................... 01/03/00 519 519,000
----------
TOTAL INVESTMENTS -- 99.7%
(COST $6,124,264)......................... 6,124,264
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.3%....................... 20,057
----------
NET ASSETS -- 100.0%........................ $6,144,321
==========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
A-1
<PAGE> 6
MANAGED BOND FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000) VALUE
---- ----- -----
<S> <C> <C> <C>
ASSET BACKED SECURITIES -- 10.3%
Advanta, Series 1997-1
7.10%...................... 04/25/20 $ 34 $ 33,641
CIT RV Trust, Series 1998-A,
Class A4
6.09%...................... 02/15/12 180 175,763
Discover Card Master Trust I,
Series 1999-4, Class A
5.65%...................... 11/15/04 180 174,086
Green Tree Financial Corp.,
Series 1995-8
7.30%...................... 12/15/26 250 200,545
Green Tree Financial Corp.,
Series 1996-2
7.90%...................... 04/15/27 250 186,795
Honda Auto Lease Trust,
Series 1999-A, Class A-5
6.65%...................... 07/15/05 80 79,435
MBNA Master Credit Card
Trust, Series 1997-F, Class
A
6.60%...................... 11/15/04 180 181,022
The Money Store Home Equity
Trust, Series 1994-C
7.80%...................... 10/15/21 134 135,943
The Money Store Home Equity
Trust, Series 1998-B, Class
A
6.04%...................... 08/15/17 253 251,694
UCFC Home Equity Loan, Series
1997-A1
6.975%..................... 04/15/16 42 42,067
WFS Financial Owner Trust,
Series 1999-A, Class A3
5.55%...................... 02/20/03 360 349,524
-----------
TOTAL ASSET BACKED SECURITIES
(COST $1,944,205)........................ 1,810,515
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.1%
Merrill Lynch Trust, Series
45
9.10%...................... 09/20/14 15 15,067
Nomura Asset Securities
Corp., Series 1994-1
6.625%..................... 01/25/09 86 85,647
PaineWebber Mortgage, Series
1993-6
6.90%...................... 08/25/08 31 30,587
Residential Funding Mortgage,
Series 1996-S15
7.75%...................... 01/25/07 198 198,468
Residential Funding Mortgage,
Series 1997-S19
6.50%...................... 12/25/12 42 41,343
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $371,327).......................... 371,112
-----------
CORPORATE OBLIGATIONS -- 37.1%
AEROSPACE/DEFENSE -- 1.7%
Raytheon Co. Notes
6.15%...................... 11/01/08 350 308,875
-----------
AIRLINES -- 1.4%
Continental Airlines Notes
7.256%..................... 03/15/20 250 238,902
-----------
</TABLE>
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000) VALUE
---- ----- -----
<S> <C> <C> <C>
AUTOMOTIVE -- 3.1%
DaimlerChrysler Holdings NA
Notes
6.90%...................... 09/01/04 $ 350 $ 346,500
Ford Motor Credit Co. Notes
7.375%..................... 10/28/09 200 198,000
-----------
TOTAL AUTOMOTIVE....................... 544,500
-----------
CABLE TELEVISION -- 2.9%
Comcast Cable Communications
Notes
6.20%...................... 11/15/08 250 226,250
TCI Communications, Inc.
Notes
6.375%..................... 05/01/03 300 292,875
-----------
TOTAL CABLE TELEVISION................. 519,125
-----------
CONSUMER PRODUCTS & SERVICES -- 1.0%
Procter & Gamble Co. Notes
6.875%..................... 09/15/09 175 171,281
-----------
ENVIRONMENTAL SERVICES -- 1.5%
USA Waste Services, Inc.
Notes
7.00%...................... 10/01/04 300 271,875
-----------
FINANCIAL -- BANK & TRUST -- 3.1%
Capital One Bank Notes
6.76%...................... 07/23/02 200 196,750
U.S. Bancorp Sub Notes
8.125%..................... 05/15/02 350 357,875
-----------
TOTAL FINANCIAL -- BANK & TRUST........ 554,625
-----------
FINANCIAL SERVICES -- 5.8%
Associates Corp. NA Sr. Notes
6.25%...................... 11/01/08 150 138,562
Countrywide Home Loan Co.
Notes
6.85%...................... 06/15/04 110 107,662
Countrywide Home Loan Co.
Notes
6.25%...................... 04/15/09 40 35,850
Finova Capital Corp. Notes
7.25%...................... 11/08/04 200 197,750
International Lease Finance
Corp. Notes
6.375%..................... 08/01/01 250 247,188
Lehman Brothers Holdings
Notes
6.625%..................... 12/27/02 175 171,719
Merrill Lynch & Co. Notes
5.71%...................... 01/15/02 130 126,935
-----------
TOTAL FINANCIAL SERVICES............... 1,025,666
-----------
FOOD & BEVERAGE -- 3.1%
Coca-Cola Enterprises Notes
6.375%..................... 08/01/01 250 247,500
McDonald's Corp. Notes
5.90%...................... 05/11/01 300 296,874
-----------
TOTAL FOOD & BEVERAGE.................. 544,374
-----------
MULTI-INDUSTRY -- 1.9%
Tyco International Group
Notes
6.375%..................... 06/15/05 350 326,375
-----------
</TABLE>
A-2
<PAGE> 7
MANAGED BOND FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000) VALUE
---- ----- -----
<S> <C> <C> <C>
MULTI-MEDIA -- 3.1%
Clear Channel Communications,
Inc. Notes
6.625%..................... 06/15/08 $ 250 $ 232,020
Time Warner Entertainment Co.
Notes
9.625%..................... 05/01/02 300 314,625
-----------
TOTAL MULTI-MEDIA...................... 546,645
-----------
REAL ESTATE -- 4.4%
American Health Properties
Notes REIT
7.05%...................... 01/15/02 200 198,250
Equity Residential Properties
Notes REIT
6.55%...................... 11/15/01 300 295,125
Simon Debartolo Group Notes
REIT
6.875%..................... 11/15/06 300 274,125
-----------
TOTAL REAL ESTATE...................... 767,500
-----------
RETAIL & MERCHANDISING -- 1.5%
Wal-Mart Stores, Inc. Notes
8.625%..................... 04/01/01 250 255,625
-----------
SOVEREIGN ISSUES -- 1.8%
Quebec Province Notes
5.75%...................... 02/15/09 350 310,625
-----------
TELECOMMUNICATIONS -- 0.8%
MCI WorldCom, Inc. Notes
6.40%...................... 08/15/05 150 144,111
-----------
TOTAL CORPORATE OBLIGATIONS (COST
$6,816,067).............................. 6,530,104
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 19.5%
FannieMae
5.75%...................... 04/15/03 1,300 1,263,242
FannieMae
6.50%...................... 08/15/04 475 469,203
FannieMae
6.625%..................... 09/15/09 1,060 1,030,850
Federal Home Loan Mortgage
Corp., Pool 200057
9.00%...................... 11/01/01 7 6,879
Federal Home Loan Mortgage
Corp., Pool 218960
9.00%...................... 10/01/02 19 19,925
Federal Home Loan Mortgage
Corp., Pool 380061
9.00%...................... 12/01/04 21 21,770
</TABLE>
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000) VALUE
---- ----- -----
<S> <C> <C> <C>
Government National Mortgage
Assoc., Pool 286324
9.00%...................... 02/15/20 $ 179 $ 188,450
Government National Mortgage
Assoc., Pool 286405
9.00%...................... 04/15/20 48 50,743
Government National Mortgage
Assoc., Pool 780011
10.00%..................... 07/15/22 175 189,920
Government National Mortgage
Assoc., Pool 780081
10.00%..................... 02/15/25 175 190,110
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $3,486,116)........................ 3,431,092
-----------
U.S. TREASURY OBLIGATIONS -- 22.5%
U.S. Treasury Note
6.25%...................... 08/31/02 150 149,803
U.S. Treasury Note
5.75%...................... 10/31/02 1,035 1,020,637
U.S. Treasury Note
5.625%..................... 12/31/02 175 171,823
U.S. Treasury Note
5.25%...................... 05/15/04 1,310 1,254,392
U.S. Treasury Note
6.50%...................... 05/15/05 750 750,122
U.S. Treasury Note
6.50%...................... 08/15/05 625 624,838
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$4,114,324).............................. 3,971,615
-----------
COMMERCIAL PAPER -- 4.0%
General Electric Capital
Corp.
6.33% (Cost $700,000)...... 01/14/00 700 700,000
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
DATE (000) VALUE
---- ----- -----
<S> <C> <C>
Temporary Investment Cash Fund........ 271,961 271,961
Temporary Investment Fund............. 271,960 271,960
-----------
TOTAL SHORT TERM INVESTMENTS (COST $543,921)....... 543,921
-----------
TOTAL INVESTMENTS -- 98.6% (COST $17,975,960)...... 17,358,359
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.4%...... 254,610
-----------
NET ASSETS -- 100.0%............................... $17,612,969
===========
</TABLE>
- --------------------------------------------------------------------------------
REIT -- Real Estate Investment Trust.
See Notes to Financial Statements.
A-3
<PAGE> 8
CAPITAL INCOME FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000) VALUE
---- ----- -----
<S> <C> <C> <C>
CONVERTIBLE BONDS -- 53.6%
BASICS -- 0.9%
Agnico Eagle Mines Ltd.
3.50%.................... 01/27/04 $ 400 $ 273,500
-----------
CAPITAL GOODS -- 0.4%
Mark IV Industries, Inc.
4.75%.................... 11/01/04 40 32,650
Mark IV Industries, Inc.
144A
4.75%.................... 11/01/04 85 69,381
-----------
TOTAL CAPITAL GOODS.................. 102,031
-----------
COMMUNICATION SYSTEMS & SOFTWARE -- 3.1%
ITC Deltacom, Inc. 144A
4.50%.................... 05/15/06 225 270,000
Motorola, Inc. 1.67%+...... 09/27/13 205 345,938
Siebel Systems, Inc.
5.50%.................... 09/15/06 150 290,813
-----------
TOTAL COMMUNICATION SYSTEMS &
SOFTWARE........................... 906,751
-----------
COMPUTER HARDWARE -- 8.1%
Affiliated Computer
Services 4.00%........... 03/15/05 200 242,750
Citrix Systems 5.325%+..... 03/22/19 925 820,938
CNET, Inc. 5.00%........... 03/01/06 100 169,875
DoubleClick, Inc. 4.75%.... 03/15/06 100 310,750
Hewlett-Packard Co.
3.184%+.................. 10/14/17 500 344,375
Safeguard Scientific 144A
5.00%.................... 06/15/06 207 468,596
-----------
TOTAL COMPUTER HARDWARE.............. 2,357,284
-----------
COMPUTER SERVICES & SOFTWARE -- 2.3%
America Online, Inc.
3.00%+................... 12/06/19 400 228,000
Internet Capital Group,
Inc. 5.50%............... 12/21/04 300 439,125
-----------
TOTAL COMPUTER SERVICES & SOFTWARE... 667,125
-----------
CONSUMER CYCLICALS -- 3.6%
Interpublic Group Co., Inc.
1.87%.................... 06/01/06 340 386,325
Lamar Advertising Co.
5.25%.................... 09/15/06 300 438,750
Standard Motor Products
6.75%.................... 07/15/09 270 216,000
-----------
TOTAL CONSUMER CYCLICALS............. 1,041,075
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 14.0%
ASM Lithography Holdings
144A 4.25%............... 11/30/04 300 349,500
Atmel Corp. 3.25%: 8.25%
beginning 06/01/00
144A++................... 06/01/02 350 592,375
Commscope, Inc. 144A
4.00%.................... 12/15/06 285 310,650
General Semiconductor
5.75%.................... 12/15/06 300 318,375
Hutchinson Technology, Inc.
6.00%.................... 03/15/05 150 141,750
</TABLE>
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000) VALUE
---- ----- -----
<S> <C> <C> <C>
Kulicke & Soffa Industries,
Inc. 4.75%............... 12/15/06 $ 300 $ 333,375
Lattice Semiconductor 144A
4.75%.................... 11/01/06 300 391,875
LSI Logic 144A 4.25%....... 03/15/04 200 454,250
Micron Technology, Inc.
7.00%.................... 07/01/04 350 451,938
Sanmina Corp. 4.25%........ 05/01/04 205 271,113
Solectron Corp. 144A
4.00%+................... 01/27/19 575 434,844
-----------
TOTAL ELECTRONIC COMPONENTS &
EQUIPMENT.......................... 4,050,045
-----------
ENERGY -- 3.2%
Devon Energy Corp. 4.95%... 08/15/08 300 294,000
Loews Corp. 3.125%......... 09/15/07 400 328,000
Seacor Holdings, Inc.
5.375%................... 11/15/06 255 245,438
Seacor Holdings, Inc. 144A
5.375%................... 11/15/06 50 48,125
-----------
TOTAL ENERGY......................... 915,563
-----------
FINANCIAL SERVICES -- 1.6%
Bank Atlantic Bancorp, Inc.
5.625%................... 12/01/07 275 166,375
Penn Treaty American Corp.
6.25%.................... 12/01/03 360 275,400
Penn Treaty American Corp.
(Euro) 6.25%............. 12/01/03 15 11,100
-----------
TOTAL FINANCIAL SERVICES............. 452,875
-----------
HEALTH CARE -- 2.1%
Elan International Finance
144A 3.25%+.............. 12/14/18 600 318,000
Roche Holdings, Inc. 144A
5.60%+................... 05/06/12 590 297,950
-----------
TOTAL HEALTH CARE.................... 615,950
-----------
MEDICAL TECHNOLOGY -- 1.5%
Affymetrix, Inc. 5.00%..... 10/01/06 300 448,500
-----------
TELECOMMUNICATIONS -- 10.3%
American Tower Corp. 144A
2.25%.................... 10/15/09 500 485,000
Clear Channel
Communications, Inc.
1.50%.................... 12/01/02 300 308,250
Liberty Media Group
4.00%.................... 11/15/29 300 378,000
Nextel Communications, Inc.
4.75%.................... 07/01/07 282 639,788
Telefonos de Mexico SA
4.25%.................... 06/15/04 300 391,125
U.S. Cellular Corp. 5.71%
[LYON]+.................. 06/15/15 800 771,000
-----------
TOTAL TELECOMMUNICATIONS............. 2,973,163
-----------
</TABLE>
A-4
<PAGE> 9
CAPITAL INCOME FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000) VALUE
---- ----- -----
<S> <C> <C> <C>
UTILITIES -- 2.5%
Bell Atlantic Financial
Services 144A 5.75%...... 04/01/03 $ 360 $ 364,500
Bell Atlantic Financial
Services 144A 4.25%...... 09/15/05 300 372,375
-----------
TOTAL UTILITIES...................... 736,875
-----------
TOTAL CONVERTIBLE BONDS (COST
$11,814,839)........................... 15,540,737
-----------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
BROADCASTING -- 0.5%
MediaOne Group, Inc. ................ 1,751 134,499
-----------
COMMUNICATION SYSTEMS & SOFTWARE -- 1.0%
Motorola, Inc. ...................... 2,000 294,500
-----------
COMPUTER HARDWARE -- 2.5%
Affiliated Computer Services,
Inc.* ............................. 2,000 92,000
Cisco Systems, Inc. ................. 6,000 642,750
-----------
TOTAL COMPUTER HARDWARE.............. 734,750
-----------
COMPUTER SERVICES & SOFTWARE -- 1.2%
Microsoft Corp.*..................... 3,043 355,270
-----------
CONSUMER CYCLICALS -- 0.5%
Mark IV Industries, Inc. ............ 8,000 141,500
-----------
CONSUMER STAPLES -- 0.9%
McDonald's Corp. .................... 6,700 270,094
-----------
ELECTRICAL COMPONENTS & EQUIPMENT -- 5.4%
Hutchinson Technology, Inc.* ........ 6,000 127,500
Intel Corp. ......................... 5,600 460,950
Photronics Labs, Inc.* .............. 7,000 200,375
Sanmina Corp.* ...................... 1,000 99,875
Xilinx, Inc.* ....................... 15,000 682,031
-----------
TOTAL ELECTRICAL COMPONENTS &
EQUIPMENT.......................... 1,570,731
-----------
ENERGY -- 1.7%
BP Amoco PLC......................... 6,200 367,737
CMS Energy Corp. .................... 4,000 135,500
-----------
TOTAL ENERGY......................... 503,237
-----------
FINANCIAL -- BANK & TRUST -- 0.1%
Frontier Insurance Group, Inc. ...... 5,000 17,187
-----------
FINANCIAL SERVICES -- 0.2%
Penn Treaty American Corp.* ......... 2,800 44,100
-----------
RETAIL & MERCHANDISING -- 1.5%
Home Depot, Inc. .................... 6,509 446,239
-----------
TELECOMMUNICATIONS -- 1.1%
AMFM, Inc.* ......................... 4,140 323,955
-----------
UTILITIES -- 1.0%
AT&T Corp. .......................... 5,500 279,125
-----------
TOTAL COMMON STOCKS (COST $2,771,107).... 5,115,187
-----------
CONVERTIBLE PREFERRED STOCKS -- 25.7%
BASICS -- 1.2%
International Paper Co. ............. 6,500 $ 349,375
-----------
BROADCASTING -- 1.3%
MediaOne Group, Inc. ................ 7,700 369,600
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C> <C>
CONSUMER CYCLICALS -- 5.7%
Adelphia Communications, Inc. ....... $ 1,500 $ 282,562
Apartment Investment & Management Co.
REIT............................... 12,400 313,100
Fleetwood Capital Trust.............. 3,100 111,212
Houston Industries, Inc. ............ 2,550 307,275
Readers Digest Association........... 6,000 162,750
Sealed Air Corp., Series A*.......... 5,500 277,750
Wendy's Financing, Inc. ............. 4,000 191,500
-----------
TOTAL CONSUMER CYCLICALS............. 1,646,149
-----------
CONSUMER STAPLES -- 0.4%
Ralston-Ralston Purina Co. .......... 3,000 109,687
-----------
ENERGY -- 3.0%
Coastal Corp. ....................... 12,000 279,750
El Paso Energy Capital Trust I....... 6,100 307,287
Unocal Corp. ........................ 5,460 267,540
-----------
TOTAL ENERGY......................... 854,577
-----------
FINANCIAL -- BANK & TRUST -- 1.0%
Sovereign Capital Trust II*.......... 6,000 299,250
-----------
FINANCIAL SERVICES -- 5.5%
Amerus Life Holdings, Inc. .......... 13,000 295,750
Calpine Capital Trust................ 4,900 319,112
CNB Capital Trust I.................. 12,000 417,000
Frontier Insurance Group, Inc. ...... 10,000 73,750
Philadelphia Consolidated Holding
Corp. ............................. 30,000 210,000
Protective Life Corp. ............... 5,000 264,375
-----------
TOTAL FINANCIAL SERVICES............. 1,579,987
-----------
HEALTH CARE -- 0.8%
Monsanto Co. ........................ 7,000 231,875
-----------
TELECOMMUNICATIONS -- 1.1%
Global Crossing Ltd. ................ 1,200 320,550
-----------
TRANSPORTATION -- 0.9%
Union Pacific Capital Trust.......... 1,100 45,100
Union Pacific Capital Trust 144A..... 5,500 225,500
-----------
TOTAL TRANSPORTATION................. 270,600
-----------
UTILITIES -- 4.8%
AES Trust III*....................... 6,000 369,750
Avista Corp. ........................ 15,000 228,750
Citizens Utilities Trust*............ 6,100 343,888
Nisource, Inc. ...................... 6,000 216,375
Texas Utilities Co. ................. 5,000 218,125
-----------
TOTAL UTILITIES...................... 1,376,888
TOTAL CONVERTIBLE PREFERRED STOCKS (COST
$7,891,872)............................ 7,408,538
-----------
SHORT TERM INVESTMENTS -- 2.9%
Temporary Investment Cash Fund....... 422,418 422,418
Temporary Investment Fund............ 422,417 $ 422,417
-----------
TOTAL SHORT TERM INVESTMENTS (COST
$844,835).............................. 844,835
-----------
TOTAL INVESTMENTS -- 99.8% (COST
$23,322,653)........................... 28,909,297
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.2%.................... 48,500
-----------
NET ASSETS -- 100.0%..................... $28,957,797
===========
</TABLE>
A-5
<PAGE> 10
CAPITAL INCOME FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
* Non-income producing security.
+ Rate shown is effective yield at purchase date.
++ Step-up Bond.
144A -- Securities were purchased pursuant to Rule 144A under the Securities Act
of 1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 18.83% of net assets.
[LYON] -- Liquid Yield Option Note: Callable, zero coupon securities priced at a
deep discount from par. They include a "put" feature that enables
holders to redeem them at a specified date, at a specific price. Put
prices reflect fixed interest rates and therefore increase over time.
REIT -- Real Estate Investment Trust.
See Notes to Financial Statements.
A-6
<PAGE> 11
BLUE CHIP FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 98.9%
ADVERTISING -- 0.4%
Omnicom Group........................ 1,600 $ 160,000
-----------
AEROSPACE/DEFENSE -- 1.0%
United Technologies Corp............. 6,500 422,500
-----------
AIRLINES -- 0.4%
Delta Air Lines, Inc. ............... 3,100 154,419
-----------
APPAREL/TEXTILE -- 0.2%
Tommy Hilfiger Corp.*................ 3,400 79,262
-----------
AUTOMOTIVE -- 1.5%
Ford Motor Co........................ 5,400 288,562
General Motors Corp.................. 4,700 341,631
-----------
TOTAL AUTOMOTIVE..................... 630,193
-----------
BANKS/SAVINGS & LOANS -- 7.5%
Chase Manhattan Corp. ............... 9,500 738,031
Citigroup, Inc. ..................... 18,575 1,032,073
Firstar Corp. ....................... 6,100 128,862
Fleet Boston Corp. .................. 11,500 400,344
J.P. Morgan & Co., Inc. ............. 1,700 215,262
Mellon Financial Corp. .............. 7,000 238,437
Wells Fargo Co. ..................... 9,600 388,200
-----------
TOTAL BANKS/SAVINGS & LOANS.......... 3,141,209
-----------
BEVERAGES -- 1.9%
Anheuser-Busch Cos., Inc. ........... 5,600 396,900
Coca-Cola Co. ....................... 2,700 157,275
PepsiCo, Inc. ....................... 7,300 257,325
-----------
TOTAL BEVERAGES...................... 811,500
-----------
BUILDING RELATED/APPLIANCE -- 0.2%
Centex Corp. ........................ 3,400 83,937
-----------
CHEMICALS -- 1.3%
Dow Chemical Co. .................... 2,200 293,975
Solutia, Inc. ....................... 3,600 55,575
Union Carbide Corp. ................. 2,800 186,900
-----------
TOTAL CHEMICALS...................... 536,450
-----------
COMMUNICATIONS -- 7.2%
Cisco Systems, Inc.*................. 12,050 1,290,856
Lucent Technologies, Inc. ........... 8,900 665,831
Qualcomm, Inc. ...................... 4,800 846,000
Tellabs, Inc.*....................... 3,400 218,237
-----------
TOTAL COMMUNICATIONS................. 3,020,924
-----------
COMPUTER HARDWARE -- 7.1%
Apple Computer, Inc.*................ 2,900 298,156
Dell Computer Corp.*................. 8,400 428,400
EMC Corp.*........................... 6,800 742,900
Gateway, Inc......................... 3,700 266,631
Hewlett-Packard Co. ................. 2,600 296,237
Solectron Corp.*..................... 3,100 294,887
Sun Microsystems, Inc.*.............. 8,600 665,962
-----------
TOTAL COMPUTER HARDWARE.............. 2,993,173
-----------
COMPUTER SERVICES & SOFTWARE -- 10.1%
America Online, Inc. ................ 7,200 543,150
BMC Software, Inc.*.................. 3,900 311,756
Compuware Corp.*..................... 4,200 156,450
Microsoft Corp.*..................... 20,500 2,393,375
Oracle Systems Corp.*................ 4,600 515,487
Yahoo!, Inc. ........................ 700 302,881
-----------
TOTAL COMPUTER SERVICES & SOFTWARE... 4,223,099
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COSMETICS & TOILETRIES -- 2.8%
Colgate-Palmolive Co. ............... 3,400 $ 221,000
Kimberly-Clark Corp. ................ 5,800 378,450
Procter & Gamble Co. ................ 5,200 569,725
-----------
TOTAL COSMETICS & TOILETRIES......... 1,169,175
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.6%
General Electric Co. ................ 9,800 1,516,550
-----------
ENTERTAINMENT -- 3.7%
Carnival Corp. ...................... 3,600 172,125
CBS Corp.*........................... 6,463 413,228
Time Warner, Inc. ................... 7,400 536,037
Viacom, Inc., Class B................ 6,800 410,975
-----------
TOTAL ENTERTAINMENT.................. 1,532,365
-----------
FINANCIAL SERVICES -- 3.9%
Lehman Brothers Holdings, Inc. ...... 3,100 262,531
MGIC Investment Corp. ............... 5,300 318,994
Morgan Stanley Dean Witter & Co. .... 4,900 699,475
Providian Financial Corp. ........... 3,900 355,144
-----------
TOTAL FINANCIAL SERVICES............. 1,636,144
-----------
FOODS -- 1.4%
Conagra, Inc. ....................... 7,300 164,706
Quaker Oats Co. ..................... 4,500 295,313
SYSCO Corp. ......................... 3,400 134,513
-----------
TOTAL FOODS.......................... 594,532
-----------
HOSPITAL MANAGEMENT -- 0.5%
United Healthcare Corp. ............. 4,000 212,500
-----------
HOSPITAL SUPPLY -- 2.5%
Allergan, Inc. ...................... 5,200 258,700
Baxter International, Inc. .......... 2,800 175,875
Johnson & Johnson Co. ............... 6,500 605,313
-----------
TOTAL HOSPITAL SUPPLY................ 1,039,888
-----------
INSURANCE -- 1.8%
AXA Financial, Inc. ................. 9,200 311,650
Conseco, Inc. ....................... 8,000 143,000
Hartford Financial Services Group,
Inc. .............................. 6,200 293,725
-----------
TOTAL INSURANCE...................... 748,375
-----------
LUMBER & WOOD PRODUCTS -- 0.5%
Georgia Pacific Corp. ............... 3,900 197,925
-----------
MACHINERY & EQUIPMENT -- 0.7%
Illinois Tool Works, Inc. ........... 2,200 148,638
Parker Hannifin Corp. ............... 3,100 159,069
-----------
TOTAL MACHINERY & EQUIPMENT.......... 307,707
-----------
METALS & MINING -- 0.7%
Alcoa, Inc. ......................... 2,000 166,000
Nucor Corp. ......................... 2,700 147,994
-----------
TOTAL METALS & MINING................ 313,994
-----------
MULTI-INDUSTRY -- 2.3%
Honeywell International, Inc. ....... 3,100 178,831
Rockwell International Corp. ........ 4,900 234,587
Tyco International Ltd. ............. 13,800 536,475
-----------
TOTAL MULTI-INDUSTRY................. 949,893
-----------
OFFICE SUPPLIES -- 0.5%
Avery-Dennison Corp. ................ 3,100 225,913
-----------
</TABLE>
A-7
<PAGE> 12
BLUE CHIP FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OIL & GAS (DOMESTIC) -- 1.0%
Apache Corp. ........................ 4,300 $ 158,831
Transocean Offshore, Inc. ........... 4,300 144,856
USX-Marathon Group................... 4,200 103,688
-----------
TOTAL OIL & GAS (DOMESTIC)........... 407,375
-----------
OIL & GAS (INTERNATIONAL) -- 4.4%
Chevron Corp. ....................... 5,300 459,113
Exxon Mobil Corp. ................... 7,436 599,063
Royal Dutch Petroleum Co. ........... 12,700 767,556
-----------
TOTAL OIL & GAS (INTERNATIONAL)...... 1,825,732
-----------
PAPER & FOREST PRODUCTS -- 0.3%
Weyerhaeuser Co. .................... 1,800 129,263
-----------
PHARMACEUTICALS -- 6.5%
Amgen, Inc. ......................... 6,200 372,388
Biogen, Inc. ........................ 3,600 304,200
Bristol-Meyers Squibb Co. ........... 9,500 609,781
Cardinal Health, Inc. ............... 2,300 110,113
Merck & Co., Inc. ................... 3,400 228,013
Pfizer, Inc. ........................ 10,400 337,350
Schering-Plough Corp. ............... 11,900 502,031
Warner-Lambert Co. .................. 3,000 245,813
-----------
TOTAL PHARMACEUTICALS................ 2,709,689
-----------
PRINTING & PUBLISHING -- 0.9%
McGraw-Hill Cos., Inc. .............. 3,800 234,175
New York Times Co., Class A.......... 2,700 132,638
-----------
TOTAL PRINTING & PUBLISHING.......... 366,813
-----------
RESTAURANTS -- 0.4%
Tricon Global Restaurants, Inc.*..... 4,200 162,225
-----------
RETAIL -- 6.1%
Best Buy Co., Inc. .................. 2,400 120,450
Dayton Hudson Corp. ................. 1,100 80,781
Federated Department Stores, Inc.*... 6,300 318,544
Home Depot, Inc. .................... 6,900 473,081
The Limited, Inc. ................... 3,800 164,588
TJX Cos., Inc. ...................... 6,900 141,019
Wal-Mart Stores, Inc. ............... 17,900 1,237,338
-----------
TOTAL RETAIL......................... 2,535,801
-----------
RETAIL FOOD/DRUG -- 0.4%
CVS Corp. ........................... 4,100 163,744
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
SEMICONDUCTORS -- 4.8%
Applied Materials, Inc.*............. 4,000 $ 506,750
Intel Corp. ......................... 6,500 535,031
Motorola, Inc. ...................... 2,800 412,300
Texas Instruments, Inc. ............. 5,300 513,437
Xilinx, Inc. ........................ 1,000 45,469
-----------
TOTAL SEMICONDUCTORS................. 2,012,987
-----------
TOBACCO -- 0.5%
Philip Morris Cos., Inc. ............ 9,300 215,644
-----------
TRANSPORTATION -- 0.3%
Union Pacific Corp. ................. 2,800 122,150
-----------
UTILITIES -- ELECTRIC -- 1.6%
Edison International................. 6,100 159,744
FPL Group, Inc. ..................... 3,400 145,563
PECO Energy Co. ..................... 6,200 215,450
Unicom Corp. ........................ 4,700 157,450
-----------
TOTAL UTILITIES -- ELECTRIC.......... 678,207
-----------
UTILITIES -- GAS & PIPELINE -- 0.5%
Coastal Corp. ....................... 5,800 205,538
-----------
UTILITIES -- TELEPHONE -- 7.5%
AT&T Corp. .......................... 10,500 532,875
Bell Atlantic Corp. ................. 4,400 270,875
BellSouth Corp. ..................... 14,400 674,100
GTE Corp. ........................... 5,500 388,094
MCI WorldCom, Inc. .................. 16,200 859,613
SBC Communications, Inc. ............ 8,159 397,751
-----------
TOTAL UTILITIES -- TELEPHONE......... 3,123,308
-----------
TOTAL COMMON STOCKS (COST $29,550,144)... 41,360,103
-----------
SHORT TERM INVESTMENTS -- 1.3%
Temporary Investment Cash Fund....... 276,761 276,761
Temporary Investment Fund............ 276,761 276,761
-----------
TOTAL SHORT TERM INVESTMENTS (COST
$553,522).............................. 553,522
-----------
TOTAL INVESTMENTS -- 100.2% (COST
$30,103,666)........................... 41,913,625
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.2%)................................. (85,125)
-----------
NET ASSETS -- 100.0%..................... $41,828,500
===========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing security.
See Notes to Financial Statements.
A-8
<PAGE> 13
MID-CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 99.7%
AEROSPACE/DEFENSE -- 0.7%
Litton Industries, Inc.*............. 2,700 $ 134,662
-----------
AIRLINES -- 0.3%
Alaska Air Group, Inc.*.............. 1,700 59,712
-----------
APPAREL/TEXTILE -- 1.6%
Jones Apparel Group, Inc.*........... 7,200 195,300
Tommy Hilfiger Corp.* ............... 4,400 102,575
-----------
TOTAL APPAREL/TEXTILE................ 297,875
-----------
AUTOMOTIVE -- 1.2%
Arvin Industries, Inc. .............. 3,200 90,800
Meritor Automotive, Inc. ............ 6,400 124,000
-----------
TOTAL AUTOMOTIVE..................... 214,800
-----------
BANKS/SAVINGS & LOANS -- 6.6%
Astoria Financial Corp. ............. 3,700 112,619
Charter One Financial, Inc. ......... 5,316 101,668
City National Corp. ................. 4,100 135,044
Dime Bancorp, Inc. .................. 11,800 178,475
Marshall & Ilsley Corp. ............. 2,900 182,156
North Fork Bancorporation, Inc. ..... 10,500 183,750
Pacific Century Financial Corp. ..... 9,200 171,925
TCF Financial Corp. ................. 4,700 116,912
-----------
TOTAL BANKS/SAVINGS & LOANS.......... 1,182,549
-----------
BEVERAGES -- 0.6%
Canandaigua Brands, Inc., Class A*... 1,000 51,000
Coors, (Adolph) Co., Class B......... 1,000 52,500
-----------
TOTAL BEVERAGES...................... 103,500
-----------
BUILDING MATERIALS/CONSTRUCTION -- 0.8%
Pulte Corp. ......................... 3,300 74,250
USG Corp. ........................... 1,400 65,975
-----------
TOTAL BUILDING
MATERIALS/CONSTRUCTION............. 140,225
-----------
BUILDING RELATED/APPLIANCE -- 1.7%
American Standard Companies, Inc.*... 4,400 201,850
Shaw Industries, Inc. ............... 6,400 98,800
-----------
TOTAL BUILDING RELATED/APPLIANCE..... 300,650
-----------
BUSINESS & COMMERCIAL SERVICES -- 5.3%
CSG Systems International, Inc. ..... 2,600 103,675
DST Systems*......................... 3,300 251,831
Hertz Corp. ......................... 3,300 165,413
Manpower, Inc. ...................... 5,800 218,225
Valassis Communications, Inc. ....... 2,300 97,175
Verisign, Inc. ...................... 600 114,450
-----------
TOTAL BUSINESS & COMMERCIAL
SERVICES........................... 950,769
-----------
CHEMICALS -- 1.9%
Cytec Industries, Inc.*.............. 5,600 129,500
Ecolab, Inc. ........................ 2,400 93,900
Solutia, Inc. ....................... 7,800 120,412
-----------
TOTAL CHEMICALS...................... 343,812
-----------
COMMUNICATIONS -- 0.7%
American Power Conversion Corp. ..... 5,100 134,512
-----------
COMPUTER HARDWARE -- 4.3%
Imation Corp.*....................... 3,900 130,894
Network Appliance, Inc.*............. 1,400 116,287
Sanmina Corp.*....................... 1,700 169,787
SCI Systems, Inc.*................... 2,500 205,469
Symbol Technologies, Inc. ........... 2,300 146,194
-----------
TOTAL COMPUTER HARDWARE.............. 768,631
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMPUTER SERVICES & SOFTWARE -- 15.5%
Adobe Systems, Inc. ................. 3,100 $ 208,475
Citrix Systems, Inc. ................ 2,100 258,300
Concord EFS, Inc. ................... 7,200 185,400
Convergys Corp.*..................... 1,700 52,275
Intuit, Inc. ........................ 5,200 311,675
Legato Systems, Inc. ................ 2,000 137,625
Rational Software Corp.*............. 3,900 191,587
Siebel Systems, Inc. ................ 7,100 596,400
Symantec Corp.*...................... 2,600 152,425
VERITAS Software Corp. .............. 4,950 708,469
-----------
TOTAL COMPUTER SERVICES & SOFTWARE... 2,802,631
-----------
COSMETICS & TOILETRIES -- 0.9%
Church and Dwight, Inc. ............. 5,800 154,787
-----------
ENERGY RELATED -- 3.3%
BJ Services Co.*..................... 4,100 171,431
Ensco International, Inc. ........... 7,800 178,425
Tidewater, Inc. ..................... 2,300 82,800
Transocean Sedco Forex, Inc. ........ 4,700 158,329
-----------
TOTAL ENERGY RELATED................. 590,985
-----------
ENTERTAINMENT -- 1.1%
Brunswick Corp. ..................... 3,900 86,775
Harrah's Entertainment, Inc.*........ 4,000 105,750
-----------
TOTAL ENTERTAINMENT.................. 192,525
-----------
FINANCIAL SERVICES -- 1.2%
Bear Stearns Cos., Inc. ............. 2,500 106,875
T. Rowe Price Associates, Inc. ...... 3,000 110,812
-----------
TOTAL FINANCIAL SERVICES............. 217,687
-----------
FOODS -- 2.2%
Hormel Foods Corp. .................. 4,500 182,812
IBP, Inc. ........................... 6,800 122,400
McCormick & Co., Inc. ............... 3,100 92,225
-----------
TOTAL FOODS.......................... 397,437
-----------
HOSPITAL MANAGEMENT & SERVICES -- 2.2%
Lincare Holdings, Inc.*.............. 4,000 138,750
Trigon Healthcare, Inc.*............. 4,900 144,550
Wellpoint Health Networks, Inc.*..... 1,600 105,500
-----------
TOTAL HOSPITAL MANAGEMENT &
SERVICES........................... 388,800
-----------
INSURANCE -- 2.5%
AMBAC Financial Group................ 3,000 156,562
Everest Reinsurance Holdings,
Inc. .............................. 4,700 104,869
PMI Group, Inc. ..................... 3,900 190,369
-----------
TOTAL INSURANCE...................... 451,800
-----------
MACHINERY & EQUIPMENT -- 1.8%
Briggs & Stratton Corp. ............. 3,000 160,875
Illinois Tool Works, Inc. ........... 1 68
Pentair, Inc. ....................... 4,100 157,850
-----------
TOTAL MACHINERY & EQUIPMENT.......... 318,793
-----------
MEDIA -- 1.9%
Univision Communications, Inc.,
Class A*........................... 3,400 347,438
-----------
MEDICAL SUPPLIES & EQUIPMENT -- 2.2%
Bard, (C.R.), Inc. .................. 3,200 169,600
Beckman Coulter, Inc. ............... 1,800 91,575
Genzyme Corp. ....................... 3,100 139,500
-----------
TOTAL MEDICAL SUPPLIES & EQUIPMENT... 400,675
-----------
</TABLE>
A-9
<PAGE> 14
MID-CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
METALS & MINING -- 0.8%
Worthington Industries, Inc. ........ 8,300 $ 137,469
-----------
OFFICE SUPPLIES -- 0.6%
Avery-Dennison Corp. ................ 1,600 116,600
-----------
OIL & GAS EXPLORATION -- 1.6%
Kerr-McGee Corp. .................... 1,800 111,600
Murphy Oil Corp. .................... 3,100 177,862
-----------
TOTAL OIL & GAS EXPLORATION.......... 289,462
-----------
PAPER & FOREST PRODUCTS -- 0.9%
Georgia Pacific Corp. ............... 6,800 167,450
-----------
PHARMACEUTICALS -- 6.0%
Biogen, Inc. ........................ 5,300 447,850
Forest Laboratories, Inc.*........... 3,200 196,600
IVAX Corp.*.......................... 6,100 157,075
MedImmune, Inc.*..................... 1,200 199,050
VISX, Inc. .......................... 1,700 87,975
-----------
TOTAL PHARMACEUTICALS................ 1,088,550
-----------
PRINTING & PUBLISHING -- 2.1%
Houghton Mifflin Co. ................ 1,600 67,500
Reader's Digest Association, Inc.,
Class A............................ 3,400 99,450
Scholastic Corp.*.................... 1,600 99,500
Washington Post Co., Class B......... 201 111,731
-----------
TOTAL PRINTING & PUBLISHING.......... 378,181
-----------
RECREATION -- 1.0%
Harley-Davidson, Inc. ............... 2,800 179,375
-----------
RESTAURANT/LODGING -- 1.5%
Brinker International, Inc.*......... 5,900 141,600
Darden Restaurants, Inc. ............ 7,200 130,500
-----------
TOTAL RESTAURANT/LODGING............. 272,100
-----------
RETAIL -- 3.6%
Abercrombie & Fitch Co., Class A..... 5,200 138,775
BJ's Wholesale Club, Inc. ........... 3,300 120,450
Hannaford Bros. Co. ................. 900 62,381
Ross Stores, Inc. ................... 8,000 143,500
Tiffany & Co., Inc. ................. 2,100 187,425
-----------
TOTAL RETAIL......................... 652,531
-----------
SEMICONDUCTORS/INSTRUMENTATION -- 10.1%
Adaptec, Inc.*....................... 2,600 129,675
Analog Devices, Inc.*................ 2,500 232,500
Cypress Semiconductor Corp.*......... 7,500 242,813
Linear Technology Corp. ............. 1,300 93,031
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Microchip Technology, Inc.*.......... 2,400 $ 164,250
Novellus Systems, Inc.*.............. 1,200 147,037
PMC-Sierra, Inc. .................... 1,300 208,406
QLogic Corp. ........................ 1,700 271,788
Vishay Intertechnology, Inc. ........ 5,200 164,450
Xilinx, Inc. ........................ 3,600 163,688
-----------
TOTAL
SEMICONDUCTORS/INSTRUMENTATION..... 1,817,638
-----------
TRANSPORTATION -- 1.0%
Trinity Industries, Inc. ............ 1,700 48,344
USFreightways Corp. ................. 2,700 129,263
-----------
TOTAL TRANSPORTATION................. 177,607
-----------
UTILITIES -- ELECTRIC -- 7.0%
Allegheny Energy, Inc. .............. 6,000 161,625
Calpine Corp. ....................... 2,600 166,400
Conectiv, Inc. ...................... 9,100 152,994
DTE Energy Co. ...................... 3,500 109,813
Energy East Corp. ................... 8,300 172,744
NSTAR................................ 2,363 95,702
Pinnacle West Capital Corp. ......... 3,600 110,025
Public Service Co. of New Mexico..... 7,200 117,000
UtiliCorp United, Inc. .............. 9,000 174,939
-----------
TOTAL UTILITIES -- ELECTRIC.......... 1,261,242
-----------
UTILITIES -- GAS & PIPELINE -- 1.3%
Keyspan Corp. ....................... 4,800 111,300
National Fuel Gas Co. ............... 2,500 116,250
-----------
TOTAL UTILITIES -- GAS & PIPELINE.... 227,550
-----------
UTILITIES -- TELEPHONE -- 1.7%
Broadwing, Inc. ..................... 2,900 106,938
Telephone and Data Systems, Inc. .... 1,600 201,600
-----------
TOTAL UTILITIES -- TELEPHONE......... 308,538
-----------
TOTAL COMMON STOCKS (COST $15,110,159)... 17,969,548
-----------
SHORT TERM INVESTMENTS -- 0.5%
Temporary Investment Cash Fund....... 49,572 49,572
Temporary Investment Fund............ 49,571 49,571
-----------
TOTAL SHORT TERM INVESTMENTS (COST
$99,143)............................... 99,143
-----------
TOTAL INVESTMENTS -- 100.2% (COST
$15,209,302)........................... 18,068,691
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.2%)................................. (34,671)
-----------
NET ASSETS -- 100.0%..................... $18,034,020
===========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing security.
See Notes to Financial Statements.
A-10
<PAGE> 15
AGGRESSIVE GROWTH FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 94.8%
AEROSPACE -- 0.7%
Alliant Techsystems, Inc. ............ 1,200 $ 74,775
-----------
AUTOMOTIVE PARTS & EQUIPMENT -- 2.0%
Copart, Inc. ......................... 1,800 78,300
Mascotech, Inc. ...................... 3,700 46,944
Tower Automotive, Inc.*............... 5,400 83,362
-----------
TOTAL AUTOMOTIVE PARTS & EQUIPMENT.... 208,606
-----------
BANKS/SAVINGS & LOANS -- 5.4%
Astoria Financial Corp. .............. 3,100 94,356
Cullen/Frost Bankers, Inc. ........... 6,100 157,075
FirstFed Financial Corp.*............. 4,600 64,687
Hudson United Bancorp................. 3,399 86,887
Trustmark Corp. ...................... 3,900 84,277
Webster Financial Corp. .............. 3,800 89,537
-----------
TOTAL BANKS/SAVINGS & LOANS........... 576,819
-----------
BEVERAGES -- 0.7%
Canandaigua Brands, Inc., Class A*.... 1,500 76,500
-----------
BUILDING RELATED/APPLIANCE -- 5.4%
AptarGroup, Inc. ..................... 4,200 105,525
Astec Industries, Inc. ............... 2,900 54,556
Centex Construction Products, Inc. ... 1,800 70,200
D.R. Horton, Inc. .................... 3,300 45,581
Hughes Supply, Inc. .................. 3,400 73,312
M.D.C. Holdings, Inc. ................ 4,900 76,869
Mohawk Industries, Inc.*.............. 2,200 58,025
Ryland Group, Inc. ................... 4,300 99,169
-----------
TOTAL BUILDING RELATED/APPLIANCE...... 583,237
-----------
BUSINESS/COMMERCIAL SERVICES -- 7.1%
ADVO, Inc.*........................... 2,400 57,000
Catalina Marketing Corp.*............. 1,200 138,900
Dendrite International, Inc. ......... 1,950 66,056
FactSet Research Systems, Inc. ....... 1,000 79,625
Furniture Brands International,
Inc.*............................... 3,100 68,200
Interim Services, Inc.*............... 3,500 86,625
Rent-A-Center, Inc. .................. 2,300 45,569
True North Communications, Inc. ...... 1,600 71,500
Valassis Communications, Inc. ........ 3,500 147,875
-----------
TOTAL BUSINESS/COMMERCIAL SERVICES.... 761,350
-----------
CHEMICALS -- 1.9%
Cytec Industries, Inc.*............... 3,600 83,250
Scotts Co., Class A*.................. 3,000 120,750
-----------
TOTAL CHEMICALS....................... 204,000
-----------
CLOTHING & APPAREL -- 1.2%
Quicksilver, Inc.* ................... 2,100 32,550
Springs Industries, Inc., Class A..... 2,500 99,844
-----------
TOTAL CLOTHING & APPAREL.............. 132,394
-----------
COMPUTER HARDWARE -- 1.9%
Micros Systems, Inc.*................. 1,400 103,600
Zebra Technologies Corp., Class A*.... 1,700 99,450
-----------
TOTAL COMPUTER HARDWARE............... 203,050
-----------
COMPUTER SERVICES & SOFTWARE -- 11.3%
Affiliated Computer Services, Inc.*... 1,700 78,200
American Management Systems, Inc.*.... 3,600 112,950
Aspen Technology, Inc.*............... 1,300 34,369
Clarify, Inc.*........................ 700 88,200
Macromedia, Inc.*..................... 2,800 204,750
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
MedQuist, Inc.*....................... 3,100 $ 80,019
Mercury Interactive Corp. ............ 2,500 269,844
National Computer Systems, Inc. ...... 2,700 101,587
Profit Recovery Group International,
Inc. ............................... 2,200 58,437
Rational Software Corp.*.............. 1,600 78,600
Remedy Corp.*......................... 2,100 99,487
-----------
TOTAL COMPUTER SERVICES & SOFTWARE.... 1,206,443
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.5%
C&D Technologies, Inc. ............... 1,700 72,250
Three-Five Systems, Inc. ............. 2,266 92,906
-----------
TOTAL ELECTRONIC COMPONENTS &
EQUIPMENT........................... 165,156
-----------
ENERGY RELATED -- 1.2%
Newfield Exploration Co.*............. 3,000 80,250
Offshore Logistics, Inc.*............. 5,500 51,562
-----------
TOTAL ENERGY RELATED.................. 131,812
-----------
ENTERTAINMENT -- 0.3%
Polaris Industries, Inc. ............. 1,000 36,250
-----------
FARMING & AGRICULTURE -- 0.2%
Delta & Pine Land Co. ................ 1,100 19,112
-----------
FINANCIAL SERVICES -- 2.7%
Advanta Corp., Class A................ 1,500 27,375
AmeriCredit Corp.*.................... 8,100 149,850
Metris Companies, Inc. ............... 1,600 57,100
SEI Investments Co. .................. 500 59,508
-----------
TOTAL FINANCIAL SERVICES.............. 293,833
-----------
FOODS -- 1.1%
Corn Products International, Inc. .... 2,600 85,150
Ralcorp Holdings, Inc.*............... 1,700 33,894
-----------
TOTAL FOODS........................... 119,044
-----------
HEALTHCARE SERVICES -- 1.6%
Bindley Western Industries, Inc. ..... 2,900 43,681
Coventry Health Care, Inc.*........... 4,400 29,700
Orthodontic Centers of America,
Inc.*............................... 3,300 39,394
Trigon Healthcare, Inc.*.............. 1,800 53,100
-----------
TOTAL HEALTHCARE SERVICES............. 165,875
-----------
HOSPITAL SUPPLY & EQUIPMENT -- 3.0%
CONMED Corp.*......................... 2,100 54,337
Cooper Companies, Inc. ............... 700 21,088
Datascope Corp. ...................... 1,900 76,000
Mentor Corp. ......................... 2,000 51,875
Patterson Dental Co.*................. 2,200 93,775
VISIX, Inc. .......................... 500 25,875
-----------
TOTAL HOSPITAL SUPPLY & EQUIPMENT..... 322,950
-----------
HOTEL/RESTAURANT MANAGEMENT -- 0.6%
MeriStar Hospitality Corp. ........... 1,800 28,800
Station Casinos, Inc. *............... 1,400 31,412
-----------
TOTAL HOTEL/RESTAURANT MANAGEMENT..... 60,212
-----------
INSURANCE -- 2.4%
Delphi Financial Group, Inc., Class
A................................... 1,321 39,630
E. W. Blanch Holdings, Inc. .......... 600 36,750
Enhance Financial Services Group,
Inc. ............................... 2,200 35,750
Radian Group, Inc. ................... 1,900 90,725
Renaissance Holdings Ltd. ............ 1,300 53,137
-----------
TOTAL INSURANCE....................... 255,992
-----------
</TABLE>
A-11
<PAGE> 16
AGGRESSIVE GROWTH FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
MACHINERY & EQUIPMENT -- 2.6%
JLG Industries, Inc. ................. 5,600 $ 88,900
Manitowoc Co., Inc. .................. 2,100 71,400
Terex Corp. .......................... 4,300 119,325
-----------
TOTAL MACHINERY & EQUIPMENT........... 279,625
-----------
METALS & MINING -- 2.2%
Mueller Industries, Inc.*............. 2,100 76,125
Quanex Corp. ......................... 2,900 73,950
Texas Industries, Inc. ............... 2,000 85,125
-----------
TOTAL METALS & MINING................. 235,200
-----------
OIL (DOMESTIC) -- 0.8%
Devon Energy Corp. ................... 900 29,588
Stone Energy Corp.*................... 1,500 53,438
-----------
TOTAL OIL (DOMESTIC).................. 83,026
-----------
PHARMACEUTICALS -- 5.8%
Alpharma, Inc., Class A............... 2,900 89,175
Dura Pharmaceuticals, Inc.*........... 4,100 57,144
IDEC Pharmaceuticals Corp. ........... 1,600 157,200
Jones Pharma, Inc. ................... 3,050 132,484
Medicis Pharmaceutical Corp., Class
A................................... 1,600 68,100
Priority Healthcare Corp., Class B.... 1,277 36,953
Shire Pharmaceuticals Group*.......... 2,919 85,016
-----------
TOTAL PHARMACEUTICALS................. 626,072
-----------
PRINTING & PUBLISHING -- 0.7%
Scholastic Corp.*..................... 1,200 74,625
-----------
RESTAURANT/LODGING -- 2.0%
Applebee's International, Inc. ....... 2,100 61,950
CEC Entertainment, Inc. .............. 2,900 82,288
Jack in the Box, Inc.*................ 3,600 74,475
-----------
TOTAL RESTAURANT/LODGING.............. 218,713
-----------
RETAIL FOOD/DRUG -- 0.7%
Whole Foods Market, Inc.*............. 700 32,462
Wild Oats Markets, Inc. .............. 1,950 43,266
-----------
TOTAL RETAIL FOOD/DRUG................ 75,728
-----------
RETAIL & MERCHANDISING -- 5.6%
Ames Department Stores, Inc.*......... 2,800 80,675
Ann Taylor Stores Corp.*.............. 2,700 92,981
Cost Plus, Inc. ...................... 1,200 42,750
Linens 'n Things, Inc.*............... 2,000 59,250
Men's Wearhouse, Inc.*................ 3,800 111,625
Talbots, Inc. ........................ 1,900 84,788
Zale Corp.*........................... 2,700 130,613
-----------
TOTAL RETAIL & MERCHANDISING.......... 602,682
-----------
SEMICONDUCTORS/INSTRUMENTATION -- 8.9%
Alpha Industries, Inc. ............... 1,800 103,163
Burr-Brown Corp. ..................... 2,700 97,538
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
CTS Corp. ............................ 2,000 $ 150,750
Cymer, Inc.*.......................... 1,400 64,400
Dallas Semiconductor Corp. ........... 1,200 77,325
Kemet Corp.*.......................... 3,100 139,694
Lattice Semiconductor Corp. .......... 1,300 61,262
Novellus Systems, Inc.*............... 1,100 134,784
PMC-Sierra, Inc. ..................... 800 128,250
-----------
TOTAL
SEMICONDUCTORS/INSTRUMENTATION...... 957,166
-----------
TELECOMMUNICATIONS -- 5.8%
Aspect Communications Corp.*.......... 2,700 105,638
CommScope, Inc.*...................... 3,800 153,187
Powerwave Technologies, Inc.*......... 1,300 75,887
Proxim, Inc.*......................... 900 99,000
TALK.com, Inc.*....................... 2,700 47,925
Xircom, Inc.*......................... 1,800 135,000
-----------
TOTAL TELECOMMUNICATIONS.............. 616,637
-----------
TRANSPORTATION -- 3.2%
Expeditors International of
Washington, Inc. ................... 1,100 48,194
M.S. Carriers, Inc.*.................. 3,400 81,175
Roadway Express, Inc. ................ 2,700 58,388
Rollins Truck Leasing................. 1 12
USFreightways Corp. .................. 3,300 157,988
-----------
TOTAL TRANSPORTATION.................. 345,757
-----------
UTILITIES -- 0.6%
UTI Energy Corp. ..................... 2,500 57,656
-----------
UTILITIES -- ELECTRIC -- 2.1%
Calpine Corp.*........................ 1,100 70,400
TNP Enterprises, Inc. ................ 2,100 86,625
United Illuminating Co. .............. 1,300 66,788
-----------
TOTAL UTILITIES -- ELECTRIC........... 223,813
-----------
UTILITIES -- GAS & PIPELINE -- 1.6%
Energen Corp. ........................ 3,900 70,444
Piedmont Natural Gas Co., Inc. ....... 1,300 39,325
Southwest Gas Corp. .................. 2,800 64,400
-----------
TOTAL UTILITIES -- GAS & PIPELINE..... 174,169
-----------
TOTAL COMMON STOCKS (COST $8,668,875)..... 10,168,279
-----------
SHORT TERM INVESTMENTS -- 5.2%
Temporary Investment Cash Fund........ 276,268 276,268
Temporary Investment Fund............. 276,267 276,267
-----------
TOTAL SHORT TERM INVESTMENTS (COST
$552,535)............................... 552,535
-----------
TOTAL INVESTMENTS -- 100.0% (COST
$9,221,410)............................. 10,720,814
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.0%..................... 3,353
-----------
NET ASSETS -- 100.0%...................... $10,724,167
===========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing security.
See Notes to Financial Statements.
A-12
<PAGE> 17
INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 96.6%
AUSTRALIA -- 1.2%
Broken Hill Proprietary Co. Ltd. .... 5,873 $ 77,175
Mount Isa Mines Holdings Ltd. ....... 36,612 37,765
Pasminco Ltd.*....................... 50,454 55,358
-----------
TOTAL AUSTRALIA...................... 170,298
-----------
BRAZIL -- 2.0%
Embartel Participacoes SA ADR........ 2,400 65,400
Petroleo Brasileiro SA Preferred .... 269,500 68,624
Telecomunicacoes Brasileiras SA ADR
Pfd. .............................. 1,300 167,050
-----------
TOTAL BRAZIL......................... 301,074
-----------
CANADA -- 1.0%
Alcan Aluminium Ltd. ................ 3,700 152,255
-----------
DENMARK -- 0.1%
Tele Danmark AS, Class B............. 270 20,041
-----------
FINLAND -- 3.6%
Nokia AB Oyj......................... 2,321 420,767
UPM-Kymmene Corp. Oyj................ 2,700 108,772
-----------
TOTAL FINLAND........................ 529,539
-----------
FRANCE -- 12.8%
Air Liquide SA....................... 800 133,911
Aventis Delivery Rights SA*.......... 2,731 159,512
Axa.................................. 1,570 218,842
Banque Nationale de Paris............ 1,302 120,116
Carrefour Supermarche................ 700 129,087
Compagnie de Saint Gobain............ 700 131,625
Compagnie Generale des Etablissements
Michelin, Class B.................. 1,900 74,630
France Telecom SA.................... 700 92,567
L'Oreal SA........................... 200 160,439
Pinault-Printemps-Redoute SA......... 400 105,549
Societe Generale Paris............... 994 231,256
Suez Lyonnaise des Eaux.............. 400 64,095
Total Fina SA, Class B............... 2,012 268,496
-----------
TOTAL FRANCE......................... 1,890,125
-----------
GERMANY -- 8.2%
BASF AG.............................. 1,500 78,407
Deutsche Bank AG..................... 1,000 84,651
Deutsche Telekom AG.................. 1,300 91,454
Linde AG............................. 1,538 84,885
Mannesmann AG........................ 1,550 375,285
Muenchener Rueckversicherungs-
Gesellschaft AG.................... 557 141,929
Siemans AG........................... 2,280 291,631
VEBA AG.............................. 1,200 58,616
-----------
TOTAL GERMANY........................ 1,206,858
-----------
HONG KONG -- 3.0%
Cheung Kong Holdings Ltd. ........... 12,000 152,441
China.com Corp. ..................... 1,900 149,388
China Telecom Ltd.*.................. 15,300 95,656
China Telecom Ltd. ADR*.............. 400 51,425
-----------
TOTAL HONG KONG...................... 448,910
-----------
HUNGARY -- 0.0%
Magyar Tavkozlesi Rt ADR............. 200 7,200
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
INDIA -- 1.0%
Gujarat Ambuja Cement GDR............ 1,000 $ 7,680
Hindalco Industries Ltd. GDR......... 700 16,506
Larsen & Toubro Ltd. GDR............. 1,200 39,900
State Bank of India GDR.............. 3,200 39,040
Videsh Sanchar Nigam Ltd. GDR 144A... 2,300 47,805
-----------
TOTAL INDIA.......................... 150,931
-----------
IRELAND -- 0.7%
Allied Irish Banks PLC............... 8,362 95,335
-----------
ITALY -- 4.2%
Mediaset SPA......................... 11,300 175,720
San Paolo-IMI SPA.................... 7,700 104,616
Telecom Italia Mobile SPA............ 18,800 209,983
Telecom Italia SPA................... 9,000 126,901
-----------
TOTAL ITALY.......................... 617,220
-----------
JAPAN -- 23.9%
Dai Nippon Printing Co. Ltd. ........ 11,000 175,492
Daiwa Bank Ltd. ..................... 19,000 55,789
Eisai Co. Ltd. ...................... 3,000 57,698
Fuji Machine Manufacturing Co. ...... 800 64,520
Fujisawa Pharmaceutical Co. Ltd. .... 5,000 121,366
Fujitsu Support & Service, Inc. ..... 100 49,036
Hitachi Ltd. ........................ 15,000 240,775
Hoya Corp. .......................... 3,000 236,371
Internet Initiative Japan, Inc.
ADR*............................... 900 87,469
Itochu Techno Science Corp.*......... 100 62,347
Marubeni Corp. ...................... 24,000 100,773
Matsumotokiyoshi..................... 2,000 154,840
Minebea Co. Ltd. .................... 6,000 102,946
Nichiei Co. Ltd. .................... 1,300 28,247
Nikko Securities Co. Ltd. ........... 13,000 164,520
Nippon Telegraph & Telephone
Corp.*............................. 10,000 171,283
NTT Mobile Communications............ 6,000 230,792
Omron Corp. ......................... 6,000 138,299
Sharp Corp. ......................... 4,000 102,378
Softbank Corp. ...................... 300 287,168
Sony Corp. .......................... 1,500 444,847
Takeda Chemical Industries Ltd. ..... 2,000 98,855
Takefuji Corp. ...................... 700 87,628
Tokyo Style Co. Ltd. ................ 7,000 57,551
Trans Cosmos, Inc. .................. 200 85,348
Uni-Charm Corp. ..................... 1,900 109,533
-----------
TOTAL JAPAN.......................... 3,515,871
-----------
KOREA -- 1.2%
Korea Telecom Corp. ADR*............. 760 56,810
Korea Telecom Corp.*................. 70 11,035
LG Investment & Securities Co.
Ltd.*.............................. 401 1,059
Samsung Electronics.................. 270 63,250
Samsung Electronics Co. Ltd. GDR..... 100 11,741
Shinhan Bank Co. .................... 2,630 28,489
-----------
TOTAL KOREA.......................... 172,384
-----------
MEXICO -- 1.7%
Fomento Economico Mexicano SA de CV
ADR................................ 1,000 44,500
Grupo Televisa GDR*.................. 1,300 88,725
Telefonos de Mexico SA ADR........... 1,000 112,500
-----------
TOTAL MEXICO......................... 245,725
-----------
</TABLE>
A-13
<PAGE> 18
INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
NETHERLANDS -- 7.2%
Fortis (NL) NV....................... 3,300 $ 118,819
ING Groep NV......................... 2,438 147,179
Koninklijke KPN NV................... 3,121 304,587
Koninklijke (Royal) Philips
Electronics NV..................... 1,378 187,360
KPNQwest NV*......................... 1,300 82,875
Royal Dutch Petroleum Co. ........... 1,600 98,056
United Pan-Europe Communications NV
ADR*............................... 500 63,750
United Pan-Europe Communications
NV*................................ 500 63,954
-----------
TOTAL NETHERLANDS.................... 1,066,580
-----------
SINGAPORE -- 0.8%
Oversea-Chinese Banking Corp.
Ltd. .............................. 8,400 77,166
Overseas Union Bank Ltd. ............ 6,852 40,112
-----------
TOTAL SINGAPORE...................... 117,278
-----------
SPAIN -- 4.2%
Banco Popular Espanol SA............. 1,300 84,777
Endesa SA............................ 5,500 109,180
Repsol SA............................ 2,700 62,598
Telefonica SA........................ 5,000 124,887
Telefonica SA ADR.................... 2,993 235,861
-----------
TOTAL SPAIN.......................... 617,303
-----------
SWEDEN -- 2.2%
Ericsson, (L.M.) Telephone Co., Class
B.................................. 4,000 257,170
Hennes Mauritz AB, Class B*.......... 2,080 69,676
-----------
TOTAL SWEDEN......................... 326,846
-----------
SWITZERLAND -- 4.3%
Credit Suisse Group.................. 760 151,065
Holderbank Financiere Glarus AG...... 100 136,909
Nestle SA............................ 96 175,866
Roche Holdings AG.................... 14 166,175
-----------
TOTAL SWITZERLAND.................... 630,015
-----------
THAILAND -- 0.2%
Siam Commercial Bank Warrants*....... 200 82
Siam Commercial Warrants*............ 50,000 23,231
-----------
TOTAL THAILAND....................... 23,313
-----------
UNITED KINGDOM -- 13.1%
Abbey National PLC................... 3,300 52,772
Anglo American PLC................... 1,100 73,117
AstraZeneca Group PLC................ 1,100 45,629
AstraZeneca Group PLC ADR............ 900 37,575
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Barclays PLC......................... 3,700 $ 106,503
BP Amoco PLC......................... 24,660 247,962
British Airways PLC.................. 19,600 127,906
British Telecommunications PLC....... 5,231 127,843
Imperial Chemical Industries PLC..... 8,000 84,706
Invensys PLC......................... 32,400 176,371
National Westminster Bank PLC........ 4,700 100,972
Peninsular & Oriental Steam
Navigation Co. PLC................. 4,500 75,087
Prudential Corp. PLC................. 7,500 147,800
Scottish Power UK PLC................ 9,200 69,697
Smith and Nephew PLC................. 38,700 131,275
Smithkline Beecham PLC............... 13,862 176,891
Standard Chartered PLC............... 3,820 59,298
Tomkins PLC.......................... 15,900 51,623
Vodafone AirTouch PLC................ 7,905 39,169
-----------
TOTAL UNITED KINGDOM................. 1,932,196
-----------
TOTAL COMMON STOCKS (COST $10,440,780)... 14,237,297
-----------
</TABLE>
<TABLE>
<CAPTION>
MATURITY PAR
DATE (000)
-------- -----
<S> <C> <C> <C>
REPURCHASE AGREEMENT -- 3.9%
Lehman Brothers, Inc.
2.50% dated 12/31/99,
repurchase price $580,120.83
(collateralized by
$2,060,000 U.S. Treasury
Strips, 05/15/18, market
value $594,435.54)
(Cost $580,000)............. 01/03/00 $580 580,000
-----------
TOTAL INVESTMENTS -- 100.5% (COST
$11,020,780).............................. 14,817,297
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.5)%.......................... (76,833)
-----------
NET ASSETS -- 100.0%........................ $14,740,464
===========
</TABLE>
Foreign currency exchange contract outstanding at December 31, 1999:
<TABLE>
<CAPTION>
VALUE AT
FORWARD FOREIGN SETTLEMENT SETTLEMENT CURRENT UNREALIZED
CURRENCY CONTRACT DATE DATE VALUE APPRECIATION
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
PURCHASE CONTRACT:
UK Pounds 01/04/00 $7,260 $7,299 $39
====== ====== ===
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing security.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, this security amounted
to 0.3% of net assets.
ADR -- American Depositary Receipt.
GDR -- Global Depositary Receipt.
See Notes to Financial Statements.
A-14
<PAGE> 19
INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
The following is a breakdown of the Fund by Industry Classifications as of
December 31, 1999 (Unaudited):
<TABLE>
<S> <C>
INDUSTRY
Apparel & Textile................................... 0.9%
Automotive.......................................... 0.5%
Banks............................................... 11.3%
Business Services................................... 2.1%
Chemicals........................................... 2.1%
Communications...................................... 4.2%
Computers & Office Equipment........................ 3.4%
Construction & Housing.............................. 1.0%
Electrical & Electronics............................ 15.8%
Energy.............................................. 5.7%
Financial Services.................................. 2.8%
Food/Beverage/Tobacco............................... 1.5%
Household Products.................................. 1.1%
Insurance........................................... 3.6%
Leisure & Tourism................................... 0.9%
Machinery & Manufacturing........................... 2.7%
Media............................................... 7.6%
Medical Products.................................... 2.6%
Metals & Mining..................................... 3.9%
Paper & Forest Products............................. 1.5%
Pharmaceuticals..................................... 6.1%
Retail.............................................. 2.7%
Transportation...................................... 0.5%
Utilities -- Electric & Gas......................... 1.6%
Utilities -- Telephone.............................. 13.9%
-----
TOTAL COMMON STOCKS................................... 100.0%
=====
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
A-15
<PAGE> 20
PACIFIC INNOVATIONS TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET MANAGED
FUND BOND FUND
-----------------------------
<S> <C> <C>
ASSETS
Investments in securities at value(a)..................... $5,605,264 $17,358,359
Repurchase agreements(b).................................. 519,000 --
Cash...................................................... 193 --
Receivable for:
Dividends and interest................................. 26,074 225,994
Fund shares sold....................................... 3,579 62,983
Prepaid expenses.......................................... 424 1,007
Unrealized appreciation on foreign currency exchange
contract............................................... -- --
---------- -----------
Total Assets...................................... 6,154,534 17,648,343
---------- -----------
LIABILITIES
Payable for:
Securities purchased................................... -- --
Accrued investment advisory fees....................... 1,042 5,523
Accrued shareholder servicing and transfer agent
fees.................................................. 1,093 3,136
Accrued expenses....................................... 8,078 26,715
Fund shares redeemed................................... -- --
---------- -----------
Total Liabilities................................. 10,213 35,374
---------- -----------
Net Assets.................................................. $6,144,321 $17,612,969
========== ===========
COMPONENTS OF NET ASSETS
Common stock (unlimited number of shares authorized, $.001
par value per share)...................................... $ 6,144 $ 1,812
Additional paid-in capital.................................. 6,138,177 18,312,557
Undistributed net investment income (loss).................. -- 19,459
Accumulated net realized gain (loss) on investments,
futures, and foreign currency transactions................ -- (103,258)
Accumulated net unrealized appreciation/depreciation on
investments, futures, foreign currency transactions, and
forward currency contracts................................ -- (617,601)
---------- -----------
Net Assets.................................................. $6,144,321 $17,612,969
========== ===========
Shares outstanding.......................................... 6,144,321 1,812,548
Net asset value, offering and redemption price per share.... $ 1.00 $ 9.72
========== ===========
(a) Cost:................................................... $5,605,264(1) $17,975,960(1)
========== ===========
(b) Cost:................................................... $ 519,000 $ --
========== ===========
</TABLE>
- --------------------------------------------------------------------------------
(1) Amortized Cost.
See Notes to Financial Statements.
A-16
<PAGE> 21
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL
INCOME BLUE CHIP MID-CAP AGGRESSIVE INTERNATIONAL
FUND FUND EQUITY FUND GROWTH FUND FUND
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$28,909,297 $41,913,625 $18,068,691 $10,720,814 $14,237,297
-- -- -- -- 580,000
-- -- 1 -- 982
111,886 39,017 8,285 7,583 30,755
-- -- -- 8,734 --
1,537 2,273 276 10 347
-- -- -- -- 39
----------- ----------- ----------- ----------- -----------
29,022,720 41,954,915 18,077,253 10,737,141 14,849,420
----------- ----------- ----------- ----------- -----------
-- -- -- -- 23,112
11,546 17,475 7,717 5,285 7,744
4,992 7,195 2,330 1,819 2,464
39,368 57,216 28,253 5,870 54,801
9,017 44,529 4,933 -- 20,835
----------- ----------- ----------- ----------- -----------
64,923 126,415 43,233 12,974 108,956
----------- ----------- ----------- ----------- -----------
$28,957,797 $41,828,500 $18,034,020 $10,724,167 $14,740,464
=========== =========== =========== =========== ===========
$ 2,090 $ 2,447 $ 1,247 $ 977 $ 1,049
22,833,606 29,694,323 14,396,246 10,309,186 11,009,318
-- -- -- -- (20,686)
535,457 321,771 777,138 (1,085,400) (40,127)
5,586,644 11,809,959 2,859,389 1,499,404 3,790,910
----------- ----------- ----------- ----------- -----------
$28,957,797 $41,828,500 $18,034,020 $10,724,167 $14,740,464
=========== =========== =========== =========== ===========
2,089,571 2,447,475 1,246,680 976,778 1,049,293
$ 13.86 $ 17.09 $ 14.47 $ 10.98 $ 14.05
=========== =========== =========== =========== ===========
$23,322,653(1) $30,103,666 $15,209,302 $9,221,410 $10,440,780
=========== =========== =========== =========== ===========
$ -- $ -- $ -- $ -- $ 580,000
=========== =========== =========== =========== ===========
</TABLE>
A-17
<PAGE> 22
PACIFIC INNOVATIONS TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET MANAGED
FUND BOND FUND
-----------------------------
<S> <C> <C>
INVESTMENT INCOME
Interest.................................................. $325,636 $ 1,103,376
Dividends................................................. -- --
Less Foreign withholding taxes......................... -- --
-------- -----------
Total Investment Income........................... 325,636 1,103,376
-------- -----------
EXPENSES
Investment advisory fees.................................. 12,658 63,448
Shareholder servicing fees................................ 10,126 29,004
Accounting fees........................................... 4,747 13,596
Custodian fees............................................ 29,333 14,090
Professional fees......................................... 9,991 25,305
Reports to shareholders................................... 4,613 14,308
Trustees' fees and expenses............................... 2,742 5,792
Insurance expenses........................................ 1,285 3,629
Miscellaneous expenses.................................... 11,005 24,117
-------- -----------
Total Expenses.................................... 86,500 193,289
Less: Advisory fee waivers and expense
reimbursements.................................. (48,526) (57,329)
-------- -----------
Net Expenses...................................... 37,974 135,960
-------- -----------
Net Investment Income (Loss)................................ 287,662 967,416
-------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments, futures, and foreign currency
transactions.......................................... -- (128,618)
Net change in unrealized appreciation (depreciation) on
investments, futures, foreign currency transactions,
and forward currency contracts......................... -- (906,890)
-------- -----------
Net Realized and Unrealized Gain (Loss) on Investments,
Futures and Foreign Currency Transactions................. -- (1,035,508)
-------- -----------
Net Increase (Decrease) in Net Assets from
Operations............................................ $287,662 $ (68,092)
======== ===========
</TABLE>
See Notes to Financial Statements.
A-18
<PAGE> 23
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL
INCOME BLUE CHIP MID-CAP AGGRESSIVE INTERNATIONAL
FUND FUND EQUITY FUND GROWTH FUND FUND
-------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 523,993 $ 29,356 $ 49,257 $ 10,919 $ 32,611
566,236 414,341 130,413 68,450 213,973
(208) -- -- -- (10,377)
---------- ---------- ---------- ---------- ----------
1,090,021 443,697 179,670 79,369 236,207
---------- ---------- ---------- ---------- ----------
122,897 193,340 82,580 60,587 77,356
42,747 60,657 25,908 16,430 19,339
20,037 28,433 12,144 7,702 9,065
16,523 23,275 24,739 15,171 103,067
34,346 48,162 21,571 9,582 15,724
19,962 28,908 11,445 6,683 5,656
8,300 10,767 4,896 3,292 6,070
5,180 7,153 3,736 2,629 2,699
32,056 41,594 19,361 11,973 29,463
---------- ---------- ---------- ---------- ----------
302,048 442,289 206,380 134,049 268,439
(69,613) (85,932) (54,172) (28,279) (118,562)
---------- ---------- ---------- ---------- ----------
232,435 356,357 152,208 105,770 149,877
---------- ---------- ---------- ---------- ----------
857,586 87,340 27,462 (26,401) 86,330
---------- ---------- ---------- ---------- ----------
1,646,798 3,322,668 2,162,649 (626,640) 1,639,374
3,632,651 3,861,522 13,448 1,084,698 2,639,880
---------- ---------- ---------- ---------- ----------
5,279,449 7,184,190 2,176,097 458,058 4,279,254
---------- ---------- ---------- ---------- ----------
$6,137,035 $7,271,530 $2,203,559 $ 431,657 $4,365,584
========== ========== ========== ========== ==========
</TABLE>
A-19
<PAGE> 24
PACIFIC INNOVATIONS TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET FUND MANAGED BOND FUND CAPITAL INCOME FUND
----------------------------- ----------------------------- -----------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 1999 1998
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss).... $ 287,662 $ 300,809 $ 967,416 $ 853,582 $ 857,586 $ 727,595
Net realized gain (loss) on
investments, futures, and
foreign currency
transactions.................. -- -- (128,618) 43,500 1,646,798 (682,329)
Net change in unrealized
appreciation (depreciation) on
investments, futures, foreign
exchange transactions, and
forward currency contracts.... -- -- (906,890) 130,906 3,632,651 1,472,926
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets from Operations...... 287,662 300,809 (68,092) 1,027,988 6,137,035 1,518,192
----------- ----------- ----------- ----------- ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS
Distributions to shareholders
from net investment income.... (287,662) (300,809) (919,944) (853,607) (861,536) (727,595)
Distributions to shareholders
from net capital gains........ -- -- -- (21,490) (277,253) --
Distributions to shareholders in
excess of net capital gains... -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Dividends and
Distributions to
Shareholders................ (287,662) (300,809) (919,944) (875,097) (1,138,789) (727,595)
----------- ----------- ----------- ----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold....... 378,758 4,092,858 793,172 6,609,441 267,845 8,036,993
Net asset value of shares issued
in reinvestment of dividends
and distributions............. 288,515 300,975 919,944 875,097 1,138,789 727,595
Cost of shares redeemed......... (1,303,194) (4,312,128) (1,575,662) (932,270) (3,484,560) (1,188,322)
----------- ----------- ----------- ----------- ----------- -----------
Increase (Decrease) in Net
Assets from Capital Share
Transactions................ (635,921) 81,705 137,454 6,552,268 (2,077,926) 7,576,266
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in
Net Assets............... (635,921) 81,705 (850,582) 6,705,159 2,920,320 8,366,863
NET ASSETS
Beginning of Year............... 6,780,242 6,698,537 18,463,551 11,758,392 26,037,477 17,670,614
----------- ----------- ----------- ----------- ----------- -----------
End of Year(1).................. $ 6,144,321 $ 6,780,242 $17,612,969 $18,463,551 $28,957,797 $26,037,477
=========== =========== =========== =========== =========== ===========
SHARES ISSUED AND REDEEMED
Shares sold..................... 378,758 4,092,858 78,817 645,696 22,191 708,320
Shares issued in reinvestment of
dividends and distributions... 288,515 300,975 92,498 85,546 84,292 63,214
Shares redeemed................. (1,303,194) (4,312,128) (158,164) (90,636) (279,103) (107,245)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in
Shares Outstanding.......... (635,921) 81,705 13,151 640,606 (172,620) 664,289
=========== =========== =========== =========== =========== ===========
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
(1) Includes undistributed net
investment income (loss) of: $ -- $ -- $ 19,459 $ -- $ -- $ --
=========== =========== =========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
A-20
<PAGE> 25
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BLUE CHIP FUND MID-CAP EQUITY FUND AGGRESSIVE GROWTH FUND INTERNATIONAL FUND
----------------------------- ----------------------------- ----------------------------- -----------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 1999 1998 1999 1998
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$87,340..... $ 194,850 $ 27,462 $ 50,765 $ (26,401) $ (34,982) $ 86,330 $ 98,514
3,322,668.. 463,907 2,162,649 1,067,593 (626,640) (354,218) 1,639,374 (476,769)
3,861,522.. 6,076,911 13,448 1,223,129 1,084,698 143,259 2,639,880 1,392,491
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
7,271,530.. 6,735,668 2,203,559 2,341,487 431,657 (245,941) 4,365,584 1,014,236
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(89,288) (194,641) (29,104) (50,746) -- -- (50,986) (98,849)
(3,038,422) (308,104) (2,351,379) (85,942) -- -- (1,054,595) --
--......... -- -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(3,127,710) (502,745) (2,380,483) (136,688) -- -- (1,105,581) (98,849)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
1,881,212.. 10,719,035 323,725 3,642,086 348,471 2,377,397 205,409 1,650,092
3,127,710.. 502,744 2,380,483 136,687 -- -- 1,105,581 98,849
(2,901,817) (1,787,588) (982,978) (642,239) (1,099,837) (492,913) (903,548) (627,340)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
2,107,105.. 9,434,191 1,721,230 3,136,534 (751,366) 1,884,484 407,442 1,121,601
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
6,250,925.. 15,667,114 1,544,306 5,341,333 (319,709) 1,638,543 3,667,445 2,036,988
35,577,575.. 19,910,461 16,489,714 11,148,381 11,043,876 9,405,333 11,073,019 9,036,031
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$41,828,500.. $35,577,575 $18,034,020 $16,489,714 $10,724,167 $11,043,876 $14,740,464 $11,073,019
=========== =========== =========== =========== =========== =========== =========== ===========
115,841.... 789,296 22,532 282,273 34,163 223,052 16,724 153,771
189,597.... 34,295 169,237 10,106 -- -- 83,629 9,135
(177,284) (130,461) (67,535) (51,448) (107,277) (51,520) (74,515) (61,956)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
128,154.... 693,130 124,234 240,931 (73,114) 171,532 25,838 100,950
=========== =========== =========== =========== =========== =========== =========== ===========
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
--......... $ 22,741 $ -- $ 25 $ -- $ -- $ -- $ (5,488)
$
=========== =========== =========== =========== =========== =========== =========== ===========
</TABLE>
A-21
<PAGE> 26
PACIFIC INNOVATIONS TRUST
MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1997(1)
----------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period................... $ 1.00 $ 1.00 $ 1.00
------ ------ ------
Net investment income.................................. 0.05 0.05 0.04
Net realized and unrealized gain on investments........ -- -- --
------ ------ ------
Total from investment operations....................... 0.05 0.05 0.04
------ ------ ------
Dividends from net investment income................... (0.05) (0.05) (0.04)
------ ------ ------
Net Asset Value, end of period......................... $ 1.00 $ 1.00 $ 1.00
====== ====== ======
Total return........................................... 4.65% 5.07% 4.22%**
====== ====== ======
Net assets, end of period (in thousands)............... $6,144 $6,780 $6,699
====== ====== ======
Ratio of expenses to average net assets:
After fee waivers and reimbursements................. 0.60% 0.60% 0.60%*
====== ====== ======
Before fee waivers and reimbursements................ 1.37% 1.37% 1.47%*
====== ====== ======
Ratio of net investment income to average net assets:
After fee waivers and reimbursements................. 4.55% 4.95% 5.00%*
====== ====== ======
Before fee waivers and reimbursements................ 3.78% 4.18% 4.13%*
====== ====== ======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on March 1, 1997.
* Annualized.
** Not annualized.
See Notes to Financial Statements.
A-22
<PAGE> 27
PACIFIC INNOVATIONS TRUST
MANAGED BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1997(1)
----------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period................... $ 10.26 $ 10.15 $ 10.00
------- ------- --------
Net investment income.................................. 0.53 0.55 0.49
Net realized and unrealized gain (loss) on
investments.......................................... (0.56) 0.12 0.15
------- ------- --------
Total from investment operations....................... (0.03) 0.67 0.64
------- ------- --------
Dividends from net investment income................... (0.51) (0.55) (0.49)
Distributions from net capital gains................... -- (0.01) --
------- ------- --------
Total distributions.................................... (0.51) (0.56) (0.49)
------- ------- --------
Net Asset Value, end of period......................... $ 9.72 $ 10.26 $ 10.15
======= ======= ========
Total return........................................... (0.30%) 6.89% 6.59%**
======= ======= ========
Net assets, end of period (in thousands)............... $17,613 $18,464 $ 11,758
======= ======= ========
Ratio of expenses to average net assets:
After fee waivers and reimbursements................. 0.75% 0.75% 0.75%*
======= ======= ========
Before fee waivers and reimbursements................ 1.07% 1.20% 1.39%*
======= ======= ========
Ratio of net investment income to average net assets:
After fee waivers and reimbursements................. 5.34% 5.52% 6.12%*
======= ======= ========
Before fee waivers and reimbursements................ 5.02% 5.07% 5.48%*
======= ======= ========
Portfolio turnover rate................................ 59.63% 43.71% 104.36%
======= ======= ========
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on March 1, 1997.
* Annualized.
** Not annualized.
See Notes to Financial Statements.
A-23
<PAGE> 28
PACIFIC INNOVATIONS TRUST
CAPITAL INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1997(1)
--------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period..................... $ 11.51 $ 11.06 $ 10.00
------- ------- -------
Net investment income.................................... 0.43 0.33 0.17
Net realized and unrealized gain on investments.......... 2.49 0.45 1.30
------- ------- -------
Total from investment operations......................... 2.92 0.78 1.47
------- ------- -------
Dividends from net investment income..................... (0.43) (0.33) (0.17)
Distributions from net capital gains..................... (0.14) -- (0.14)
Distributions in excess of net capital gains............. -- -- (0.10)
------- ------- -------
Total distributions...................................... (0.57) (0.33) (0.41)
------- ------- -------
Net Asset Value, end of period........................... $ 13.86 $ 11.51 $ 11.06
======= ======= =======
Total return............................................. 25.47% 7.06% 14.75%**
======= ======= =======
Net assets, end of period (in thousands)................. $28,958 $26,037 $17,671
======= ======= =======
Ratio of expenses to average net assets:
After fee waivers and reimbursements................... 0.87% 0.87% 0.87%*
======= ======= =======
Before fee waivers and reimbursements.................. 1.13% 1.30% 1.52%*
======= ======= =======
Ratio of net investment income to average net assets:
After fee waivers and reimbursements................... 3.21% 3.33% 3.24%*
======= ======= =======
Before fee waivers and reimbursements.................. 2.95% 2.90% 2.59%*
======= ======= =======
Portfolio turnover rate.................................. 59.48% 56.90% 44.98%
======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on March 1, 1997.
* Annualized.
** Not annualized.
See Notes to Financial Statements.
A-24
<PAGE> 29
PACIFIC INNOVATIONS TRUST
BLUE CHIP FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1997(1)
--------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period..................... $ 15.34 $ 12.24 $ 10.00
------- ------- -------
Net investment income.................................... 0.04 0.08 0.06
Net realized and unrealized gain on investments.......... 3.08 3.23 2.27
------- ------- -------
Total from investment operations......................... 3.12 3.31 2.33
------- ------- -------
Dividends from net investment income..................... (0.04) (0.08) (0.06)
Distributions from net capital gains..................... (1.33) (0.13) --
Distributions in excess of net capital gains............. -- -- (0.03)
------- ------- -------
Total distributions...................................... (1.37) (0.21) (0.09)
------- ------- -------
Net Asset Value, end of period........................... $ 17.09 $ 15.34 $ 12.24
======= ======= =======
Total return............................................. 20.69% 27.20% 23.27%**
======= ======= =======
Net assets, end of period (in thousands)................. $41,829 $35,578 $19,910
======= ======= =======
Ratio of expenses to average net assets:
After fee waivers and reimbursements................... 0.94% 0.94% 0.94%*
======= ======= =======
Before fee waivers and reimbursements.................. 1.17% 1.40% 1.53%*
======= ======= =======
Ratio of net investment income to average net assets:
After fee waivers and reimbursements................... 0.23% 0.70% 1.00%*
======= ======= =======
Before fee waivers and reimbursements.................. 0.00% 0.24% 0.41%*
======= ======= =======
Portfolio turnover rate.................................. 54.23% 57.70% 44.93%
======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on March 1, 1997.
* Annualized.
** Not annualized.
See Notes to Financial Statements.
A-25
<PAGE> 30
PACIFIC INNOVATIONS TRUST
MID-CAP EQUITY FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1997(1)
----------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period................... $ 14.69 $ 12.65 $ 10.00
------- ------- -------
Net investment income.................................. 0.02 0.05 0.05
Net realized and unrealized gain on investments........ 1.88 2.12 2.73
------- ------- -------
Total from investment operations....................... 1.90 2.17 2.78
------- ------- -------
Dividends from net investment income................... (0.02) (0.05) (0.05)
Distributions from net capital gains................... (2.10) (0.08) (0.06)
Distributions in excess of net capital gains........... -- -- (0.02)
------- ------- -------
Total distributions.................................... (2.12) (0.13) (0.13)
------- ------- -------
Net Asset Value, end of period......................... $ 14.47 $ 14.69 $ 12.65
======= ======= =======
Total return........................................... 13.90% 17.18% 27.80%**
======= ======= =======
Net assets, end of period (in thousands)............... $18,034 $16,490 $11,148
======= ======= =======
Ratio of expenses to average net assets:
After fee waivers and reimbursements................. 0.94% 0.94% 0.94%*
======= ======= =======
Before fee waivers and reimbursements................ 1.27% 1.43% 1.62%*
======= ======= =======
Ratio of net investment income (loss) to average net
assets:
After fee waivers and reimbursements................. 0.17% 0.38% 0.66%*
======= ======= =======
Before fee waivers and reimbursements................ (0.16%) (0.11%) (0.02%)*
======= ======= =======
Portfolio turnover rate................................ 117.18% 95.07% 55.74%
======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on March 1, 1997.
* Annualized.
** Not annualized.
See Notes to Financial Statements.
A-26
<PAGE> 31
PACIFIC INNOVATIONS TRUST
AGGRESSIVE GROWTH FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1997(1)
-------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period...................... $ 10.52 $ 10.71 $ 10.00
------- -------- -------
Net investment loss....................................... (0.03) (0.03) (0.03)
Net realized and unrealized gain (loss) on investments.... 0.49 (0.16) 1.76
------- -------- -------
Total from investment operations.......................... 0.46 (0.19) 1.73
------- -------- -------
Distributions from net capital gains...................... -- -- (0.92)
Distributions in excess of net capital gains.............. -- -- (0.10)
------- -------- -------
Total distributions....................................... -- -- (1.02)
------- -------- -------
Net Asset Value, end of period............................ $ 10.98 $ 10.52 $ 10.71
======= ======== =======
Total return.............................................. 4.37% (1.77%) 17.65%**
======= ======== =======
Net assets, end of period (in thousands).................. $10,724 $ 11,044 $ 9,405
======= ======== =======
Ratio of expenses to average net assets:
After fee waivers and reimbursements.................... 1.03% 1.02% 1.03%*
======= ======== =======
Before fee waivers and reimbursements................... 1.31% 1.72% 1.73%*
======= ======== =======
Ratio of net investment loss to average net assets:
After fee waivers and reimbursements.................... (0.26%) (0.34%) (0.53%)*
======= ======== =======
Before fee waivers and reimbursements................... (0.53%) (1.04%) (1.20%)*
======= ======== =======
Portfolio turnover rate................................... 88.50% 262.74% 99.05%
======= ======== =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on March 1, 1997.
* Annualized.
** Not annualized.
See Notes to Financial Statements.
A-27
<PAGE> 32
PACIFIC INNOVATIONS TRUST
INTERNATIONAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1997(1)
-----------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period........................ $ 10.82 $ 9.80 $ 10.00
-------- -------- -------
Net investment income....................................... 0.09 0.10 0.09
Net realized and unrealized gain (loss) on investments and
foreign currency transactions............................. 4.28 1.02 (0.01)
-------- -------- -------
Total from investment operations............................ 4.37 1.12 0.08
-------- -------- -------
Dividends from net investment income........................ (0.05) (0.10) (0.09)
Distributions from net capital gains........................ (1.09) -- --
Distributions in excess of net capital gains................ -- -- (0.19)
-------- -------- -------
Total distributions......................................... (1.14) (0.10) (0.28)
-------- -------- -------
Net Asset Value, end of period.............................. $ 14.05 $ 10.82 $ 9.80
======== ======== =======
Total return................................................ 41.09% 11.63% 0.56%**
======== ======== =======
Net assets, end of period (in thousands).................... $ 14,740 $ 11,073 $ 9,036
======== ======== =======
Ratio of expenses to average net assets:
After fee waivers and reimbursements...................... 1.24% 1.24% 1.24%*
======== ======== =======
Before fee waivers and reimbursements..................... 2.22% 3.57% 3.19%*
======== ======== =======
Ratio of net investment income (loss) to average net assets:
After fee waivers and reimbursements...................... 0.71% 0.95% 1.39%*
======== ======== =======
Before fee waivers and reimbursements..................... (0.27%) (1.38%) (0.56%)*
======== ======== =======
Portfolio turnover rate..................................... 133.40% 151.18% 53.23%
======== ======== =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on March 1, 1997.
* Annualized.
** Not annualized.
See Notes to Financial Statements.
A-28
<PAGE> 33
PACIFIC INNOVATIONS TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization
Pacific Innovations Trust (the "Trust"), was organized under the laws of the
State of Delaware on September 25, 1996, as a "Delaware Business Trust". The
Trust is registered under the Investment Company Act of 1940, as amended, as an
open-end management investment company. The Trust commenced operations on March
1, 1997 and operates as a series company comprising seven funds: the Money
Market Fund, Managed Bond Fund, Capital Income Fund, Blue Chip Fund, Mid-Cap
Equity Fund, Aggressive Growth Fund and International Fund, (collectively, the
"Funds"; each a "Fund").
The Trust is the funding vehicle for variable annuity contracts offered by
Pacific Life Insurance Company. Bank of America National Trust and Savings
Association, a subsidiary of Bank of America Corporation, serves as the Funds'
investment advisor and administrator ("Manager"). Scudder Kemper Investments,
Inc. and Wellington Management Company, LLP serve as sub-advisors to the Managed
Bond Fund and the International Fund, respectively.
The following is a summary of the significant accounting policies followed by
the Funds in the preparation of their financial statements. The policies are in
conformity with generally accepted accounting principles for Investment
Companies.
Security Valuation
Portfolio securities listed on an exchange and over the counter securities
quoted on the NASDAQ system are valued at the close of regular trading on each
business day the New York Stock Exchange ("NYSE") is open. Securities are valued
at the last sale price on the securities exchange or securities market in which
such securities are primarily traded. Securities not listed on an exchange or
securities market, or securities for which there were no transactions, are
valued at the mean between the current bid and asked prices. Fixed income
securities are valued by using market quotations, or independent pricing
services, approved by the Board of Trustees. Such prices reflect market values
which may be established through the use of electronic data processing
techniques and matrix systems. Any securities or other assets for which recent
market quotations are not readily available are valued as determined in good
faith by or at the direction of the Board of Trustees.
Short term obligations which mature in sixty days or less are valued at
amortized cost. Short Term obligations with more than sixty days to maturity are
valued at current market value until the sixtieth day prior to maturity, and
thereafter are valued on an amortized cost basis.
The Money Market Fund values investments utilizing the amortized cost valuation
technique permitted in accordance with Rule 2a-7 under the Investment Company
Act of 1940, which requires the Fund to comply with certain conditions. This
technique involves valuing a portfolio security initially at its cost and
thereafter assuming a constant amortization to maturity of any discount or
premium.
Investment Transactions and Investment Income
Security transactions are accounted for on the trade date. Realized gains and
losses from security transactions are recognized on the specific identification
basis. Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date. Corporate actions, including dividends, on
foreign securities are recorded on the ex-dividend dates. All premium and
discount amortization/accretions are determined by the effective yield method.
Expenses:
The Trust accounts separately for the assets, liabilities and operations of each
Fund. Direct expenses of a Fund are charged to that Fund while general Trust
expenses are allocated among the Trust's respective Funds based on average daily
net assets of the Funds.
Foreign Currency Translation and Foreign Currency Exchange Contracts
The books and records of the Funds are maintained in U.S. dollars. All assets
and liabilities of a Fund that are initially expressed in foreign currencies are
translated into U.S. dollars each business day using the current exchange rates
determined prior to the close of the NYSE. Purchases and sales of foreign
securities and
A-29
<PAGE> 34
- --------------------------------------------------------------------------------
income and expenses relating to the foreign securities are converted into U.S.
dollars based upon currency exchange rates prevailing on the respective date of
such transactions. Gains and losses attributable to changes in foreign currency
exchange rates are included for financial statement purposes in the net realized
gains and losses on investments and foreign currency transactions.
A forward foreign currency exchange contract ("forward contract") is a
commitment to purchase or sell a foreign currency at a future date, at a
negotiated rate. The International Fund generally enters into forward contracts
as a hedge, in connection with the purchase or sale of a security denominated in
a foreign currency. Forward contracts are valued daily based on the effective
exchange rate and unrealized appreciation or depreciation is recorded. The Fund
will realize a gain or loss upon the closing or settlement of the forward
transaction. Risks of entering into forward contracts include the potential
inability of the counter party to meet the terms of the contract, and the Fund
giving up opportunity for profit.
There are certain additional risks involved when investing in foreign securities
that are not inherent in domestic securities. These risks involve foreign
currency exchange rate fluctuations, adverse political and economic
developments, and the imposition of unfavorable foreign governmental laws and
regulations.
Futures
A futures contract is an agreement to purchase or sell a specified quantity of
an underlying instrument at a specified future date, or to make or receive a
cash payment based on the value of a securities index. During the period the
futures contract is open, changes in the value of the contract are recognized as
unrealized gains or losses by "marking to market" such contract on a daily basis
to reflect the market value of the contract at the end of each day's trading.
Such unrealized gains and losses are included in the caption "Accumulated net
unrealized appreciation (depreciation) on investments, futures, foreign currency
transactions, and forward currency contracts" in the Statement of Assets and
Liabilities. When the futures contract is closed, a Fund records a realized gain
or loss equal to the difference between the proceeds from (or cost of) the
closing transaction and a Fund's basis in the contract. During the year the
International Fund had entered into futures contracts to hedge against
unfavorable changes in the value of securities.
The use of futures contracts involves, to varying degrees, elements of market
risk. Risks arise from the possible imperfect correlation in movements in the
price of futures contracts, interest rates and the underlying hedged assets, and
the possible inability of counterparties to meet the terms of their contracts.
However, a Fund's activities in futures contracts are conducted through
regulated exchanges which minimize counterparty credit risks. A futures contract
has off balance sheet risk where the potential loss on a particular investment
is greater than the value of such investment, as reflected on the statement of
assets and liabilities.
Dividends and Distributions to Shareholders
The Funds record dividends and distributions to shareholders on the ex-date.
Each Fund, with the exception of the Money Market Fund and the Managed Bond Fund
declare and pay dividends arising from net investment income gains on an annual
basis. Dividends from net investment income are declared and paid daily by the
Money Market Fund, and declared and paid monthly by the Managed Bond Fund.
Distributions from net realized capital gains, if any, are declared and paid on
an annual basis, for each of the Funds.
The amount of distributions from net investment income and net realized capital
gains, if any, are determined in accordance with federal income tax regulations,
which may differ from generally accepted accounting principles. Key differences
include the treatment of short-term capital gains, the deferral of post-October
losses, wash sales, and the treatment of foreign currencies. To the extent that
these differences are permanent in nature, such amounts are reclassified within
the capital accounts based on their federal tax-basis treatment. Distributions
which exceed net investment income and net realized capital gains for financial
reporting purposes but not for tax purposes are reported as distributions in
excess of net investment income or net realized capital gains. To the extent
they exceed net investment income and net realized capital gains for tax
purposes, they are reported as distributions of paid-in-capital. Permanent
differences in the Aggressive Growth Fund which amount to $26,401 were
reclassified from undistributed
A-30
<PAGE> 35
- --------------------------------------------------------------------------------
net income to additional Paid-in capital in accordance with these policies. The
following reclassifications were made:
<TABLE>
<CAPTION>
ACCUMULATED UNDISTRIBUTED ACCUMULATED NET REALIZED
NET INVESTMENT INCOME GAIN/(LOSS) ON INVESTMENT
------------------------- --------------------------
<S> <C> <C>
Managed Bond Fund....... $(28,013) $ 28,013
Capital Income Fund..... 3,950 (3,951)
Blue Chip Fund.......... (20,793) 20,793
Mid-Cap Equity Fund..... 1,617 (1,617)
Aggressive Growth
Fund................... 26,401 --
International Fund...... (50,542) 50,542
</TABLE>
Federal Income Taxes
It is the Trust's policy to comply with the requirements of the Internal Revenue
Code pertaining to regulated investment companies and to distribute all of its
taxable gains, to its shareholders. Therefore, no federal income or excise tax
provision has been made. Foreign taxes have been provided for on dividend and
interest income earned on foreign investments in accordance with the applicable
country's tax rates and, to the extent unrecoverable, are recorded as a
reduction of investment income.
At December 31, 1999, the Managed Bond Fund and Aggressive Growth Fund had the
following net capital loss carryovers:
<TABLE>
<CAPTION>
EXPIRATION
DECEMBER 31,
AMOUNT 2006 2007
------- ------- -------
<S> <C> <C> <C>
Managed Bond Fund......................... 29,537 -- 29,537
Aggressive Growth Fund.................... 942,710 19,084 923,626
</TABLE>
The International Fund utilized capital loss carryovers of $561,784 during the
current year.
To the extent that these carryovers are used to offset future capital gains, it
is probable that the gains so offset will not be distributed to shareholders.
For the year ended December 31, 1999, Capital Income Fund, Aggressive Growth
Fund, Managed Bond Fund and International Fund intend to elect to defer to
January 1, 2000, post-October capital losses of $152,435, $124,284, $71,096 and
$20,473, respectively.
For the year ended December 31, 1999, the International Fund intends to elect to
defer to January 1, 2000, post-October foreign currency losses of $2,897.
Repurchase Agreements
Under a repurchase agreement a Fund may acquire securities from financial
institutions, subject to the sellers agreement to repurchase such securities at
a mutually agreed upon time and price. The resale price is in excess of the
purchase price and reflects an agreed upon interest rate for the period of time
the agreement is outstanding. The Funds' custodian takes possession of the
collateral pledged for investments in repurchase agreements on behalf of the
Funds. It is the policy of the Funds to value the underlying collateral daily on
a mark to market basis to determine that the value, including accrued interest,
is at least equal to the repurchase price. If the counter party to the agreement
defaults, a Fund might incur a loss or delay in the realization of proceeds if
the value of the collateral securing the repurchase agreement declines or incur
disposition costs in liquidating the collateral.
Use of Estimates
Management of the Funds has made certain estimates and assumptions relating to
the reporting of assets and liabilities to prepare these financial statements in
conformity with generally accepted accounting principles. Actual results could
differ from these estimates.
2. INVESTMENT MANAGEMENT AGREEMENTS, INVESTMENT SUB-ADVISORY AGREEMENTS AND
TRANSACTIONS WITH AFFILIATES
The Trust has entered into a Management Agreement with Bank of America National
Trust and Savings Association ("Manager") which provide that the Manager will
furnish each Fund with investment advisory and administrative services. The
Manager receives a fee computed daily and paid monthly based on annual rates of
0.22%, 0.37%, 0.48%, 0.53%, 0.53%, 0.61%, and 0.66% of the average daily net
assets of the Money Market Fund, Managed Bond Fund, Capital Income Fund, Blue
Chip Fund, Mid-Cap Equity Fund, Aggressive Growth Fund, and International Fund,
respectively. For the year ended December 31, 1999, the Manager waived
investment advisory fees of $11,742, $17,981, $47,794, $60,868, $38,372,
$20,856, and $67,814 for the Money Market Fund, Managed Bond Fund, Capital
Income Fund, Blue Chip Fund, Mid-Cap Equity Fund, Aggressive Growth Fund, and
International Fund, respectively.
A-31
<PAGE> 36
- --------------------------------------------------------------------------------
The Manager has engaged Scudder Kemper Investments, Inc. and Wellington
Management Company, LLP to serve as sub-advisors for the Managed Bond Fund and
International Fund, respectively. The sub-advisors receive a fee from the
Manager computed daily and paid monthly based on an annual rate of 0.20% and
0.40% of the average daily net assets of the Managed Bond Fund and International
Fund, respectively. For the year ended December 31, 1999, Scudder Kemper
Investments, Inc. waived investment sub-advisory fees of $14,176 for the Managed
Bond Fund.
The Management Agreement provides that the Manager will reimburse each Fund to
prevent its expenses from exceeding a specific percentage limit.
The Manager and Pacific Life have jointly agreed to waive fees and reimburse
Fund expenses, excluding interest, taxes, brokerage, and other portfolio
transactions costs, so that the expenses will not exceed 0.60%, 0.75%, 0.87%,
0.94%, 0.94%, 1.03%, and 1.24% of the average net assets based on annual basis
of the Money Market Fund, Managed Bond Fund, Capital Income Fund, Blue Chip
Fund, Mid-Cap Equity Fund, Aggressive Growth Fund, and International Fund,
respectively. For the year ended December 31, 1999, Pacific Life reimbursed
operating expenses of $24,454 and $28,497 for the Money Market Fund and
International Fund, respectively. For the year ended December 31, 1999, Pacific
Life waived transfer agent and shareholder servicing fees of $12,330, $25,172,
$21,819, $25,064, $15,800, $7,423, and $22,251 for the Money Market Fund,
Managed Bond Fund, Capital Income Fund, Blue Chip Fund, Mid-Cap Equity Fund,
Aggressive Growth Fund, and International Fund, respectively.
PNC Bank, N.A. ("PNC Bank") serves as custodian for the Funds. As custodian of
the Trust's assets, PNC Bank performs a variety of custodial services including
maintaining a separate account for each Fund, holding and disbursing portfolio
securities, receiving and disbursing money, and collecting income and other
payments and distributions on account of the portfolio securities.
PFPC, Inc. serves as accounting agent for the Funds. Under the
Sub-Administration and Accounting Services Agreement, PFPC has agreed to provide
certain accounting, bookkeeping, pricing, dividend distribution calculation, and
disbursing services with respect to the Trust. PNC Bank and PFPC are affiliates
of PNC Bank Corp.
Pacific Life is the transfer agent for the Trust and also provides shareholder
support services. Pursuant to the terms of the Transfer Agency & Shareholder
Services Plan, Pacific Life is entitled to a fee, which is accrued daily and
payable monthly, at an annual rate of 0.05% and 0.16%, respectively, of the
Funds average daily net assets.
Certain officers and/or Trustees of the Trust are also officers and/or directors
of the sub-administrator and accounting agent. During the year ended December
31, 1999, the Trust made no direct payments to its officers or Trustees, who
were affiliates of the Manager.
3. PURCHASES AND SALES OF SECURITIES
The cost of securities purchased and proceeds from securities sold, excluding
short-term obligations, during the year ended December 31, 1999 were:
$11,449,111 and $10,015,989 for Managed Bond Fund; $15,529,321 and $18,467,639
for Capital Income Fund; $20,241,591 and $20,771,232 for Blue Chip Fund;
$19,054,233 and $18,296,213 for Mid-Cap Equity Fund; $9,021,299 and $10,278,975
for Aggressive Growth Fund; and $15,318,525 and $15,881,114 for International
Fund, respectively.
4. TAX MATTERS
Tax Cost of Investments
At December 31, 1999, the net unrealized appreciation or depreciation based on
the cost of investments for federal income tax purposes was as follows:
<TABLE>
<CAPTION>
TAX GROSS GROSS NET UNREALIZED
COST OF UNREALIZED UNREALIZED APPRECIATION
INVESTMENTS APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
Money Market Fund..... $ 6,124,264 $ 0 $ 0 $ 0
Managed Bond Fund..... 17,978,585 1,200 (621,426) (620,226)
Capital Income Fund... 23,322,653 7,217,258 (1,630,614) 5,586,644
Blue Chip Fund........ 30,122,211 13,072,366 (1,280,952) 11,791,414
Mid-Cap Equity Fund... 15,253,513 3,932,459 (1,117,281) 2,815,178
Aggressive Growth
Fund................. 9,239,816 2,154,123 (673,125) 1,480,998
International Fund.... 11,071,519 3,983,294 (237,516) 3,745,778
</TABLE>
A-32
<PAGE> 37
- --------------------------------------------------------------------------------
5. SUBSEQUENT EVENT
On February 9, 2000, the Board of Trustees approved a plan of liquidation,
authorizing the orderly liquidation of the Trust. On February 9, 2000 the Board
also approved a payment of dividends (and distributions if any) with a record
date of February 9, 2000 and payable on February 10, 2000 as follows: $0.041,
$4.537, $5.597, $5.617, $0.636, and $6.675 per share for the Managed Bond Fund,
Capital Income Fund, Blue Chip Fund, Mid-Cap Equity Fund, Aggressive Growth Fund
and International Fund, respectively. On February 11, 2000 the liquidation of
the Trust was completed through redemptions of shares in cash and transfer of
in-kind securities. As of February 11, 2000 the only asset remaining in the
Trust was cash that was set aside to pay for the remaining expenses of the
Trust.
A-33
<PAGE> 38
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE TRUSTEES AND SHAREHOLDERS
OF PACIFIC INNOVATIONS TRUST
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Money Market Fund, Managed Bond
Fund, Capital Income Fund, Blue Chip Fund, Mid-Cap Equity Fund, Aggressive
Growth Fund and the International Fund (constituting Pacific Innovations Trust,
hereafter referred to as the "Trust") at December 31, 1999, the results of each
of their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the two years in the period then ended, in conformity
with accounting principles generally accepted in the United States. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States, which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 1999 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above. The
financial highlights of Pacific Innovations Trust for the period March 1, 1997
(commencement of operations) through December 31, 1997 were audited by other
independent accountants whose report dated February 6, 1998 expressed an
unqualified opinion on those statements. As described in Note 5 to the Financial
Statements, the Trust was liquidated on February 11, 2000.
PricewaterhouseCoopers LLP
New York, New York
February 17, 2000
<PAGE> 39
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX STATUS OF DIVIDENDS (UNAUDITED)
For the year ended December 31, 1999, Long Term Capital Gain Dividend
distributions per share of $0.138, $1.108, $1.214 and $0.642 were made for the
Capital Income Fund, Blue Chip Fund, Mid-Cap Equity Fund and International Fund,
respectively.
FOR CORPORATE SHAREHOLDERS ONLY (UNAUDITED)
The percentage of total dividends qualifying for the corporate
dividends-received deduction for the fiscal year ended December 31, 1999 were
41.94% for Capital Income Fund, 69.28% for Blue Chip Fund and 14.15% for Mid-Cap
Equity Fund.
<PAGE> 40
Pacific Life Insurance Company ----------------
Variable Annuity Department BULK RATE
P.O. Box 7187 U.S. POSTAGE
Pasadena, California 91109-7187 PAID
PACIFIC LIFE
92799
----------------
1999 ANNUAL REPORTS
PACIFIC INNOVATIONS TRUST
SEPARATE ACCOUNT B OF
PACIFIC LIFE INSURANCE
COMPANY
