<PAGE>
WELLS
FARGO
FUNDS
Semi-Annual Report
A L L O C A T I O N F U N D S
March 31, 2000
[GRAPHICS]
AGGRESSIVE BALANCED-EQUITY FUND
ASSET ALLOCATION FUND
GROWTH BALANCED FUND
INDEX ALLOCATION FUND
MODERATE BALANCED FUND
STRATEGIC INCOME FUND
<PAGE>
ALLOCATION FUNDS
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TABLE OF CONTENTS
LETTER TO SHAREHOLDER..........................................................1
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PERFORMANCE HIGHLIGHTS
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AGGRESSIVE BALANCED-EQUITY FUND............................................. 2
ASSET ALLOCATION FUND....................................................... 4
GROWTH BALANCED FUND........................................................ 6
INDEX ALLOCATION FUND....................................................... 8
MODERATE BALANCED FUND......................................................10
STRATEGIC INCOME FUND.......................................................12
PORTFOLIO OF INVESTMENTS
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AGGRESSIVE BALANCED-EQUITY FUND.............................................14
ASSET ALLOCATION FUND.......................................................15
GROWTH BALANCED FUND........................................................30
INDEX ALLOCATION FUND.......................................................31
MODERATE BALANCED FUND......................................................45
STRATEGIC INCOME FUND.......................................................46
FINANCIAL STATEMENTS
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STATEMENT OF ASSETS AND LIABILITIES.........................................47
STATEMENT OF OPERATIONS.....................................................48
STATEMENTS OF CHANGES IN NET ASSETS.........................................50
FINANCIAL HIGHLIGHTS........................................................54
NOTES TO FINANCIAL HIGHLIGHTS.................................................58
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NOTES TO FINANCIAL STATEMENTS.................................................59
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CORE PORTFOLIOS
PORTFOLIO OF INVESTMENTS
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DISCIPLINED GROWTH PORTFOLIO................................................66
INCOME EQUITY PORTFOLIO.....................................................68
INDEX PORTFOLIO.............................................................71
INTERNATIONAL PORTFOLIO.....................................................85
INTERNATIONAL EQUITY PORTFOLIO..............................................89
LARGE COMPANY GROWTH PORTFOLIO..............................................92
SMALL CAP INDEX PORTFOLIO...................................................94
SMALL CAP VALUE PORTFOLIO..................................................111
SMALL COMPANY GROWTH PORTFOLIO.............................................114
SMALL COMPANY VALUE PORTFOLIO..............................................119
FINANCIAL STATEMENTS
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STATEMENT OF ASSETS AND LIABILITIES........................................124
STATEMENT OF OPERATIONS....................................................126
STATEMENTS OF CHANGES IN NET ASSETS........................................128
FINANCIAL HIGHLIGHTS.......................................................135
NOTES TO FINANCIAL HIGHLIGHTS................................................136
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NOTES TO FINANCIAL STATEMENTS................................................137
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LIST OF ABBREVIATIONS........................................................142
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NOT FDIC INSURED--NO BANK GUARANTEE--MAY LOSE VALUE
<PAGE>
ALLOCATION FUNDS
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DEAR VALUED SHAREHOLDER,
For investors, the six-month period ended March 31, 2000, was unpredictable
and characterized by rapidly shifting markets and unprecedented volatility.
For stocks, it was a tale of two markets: blue chip, "Old Economy" stocks
versus high-flying, "New Economy" technology-related stocks. For bonds, a
tumultuous marketplace resulted in an inverted yield curve, with certain
shorter maturity bonds yielding more than bonds with longer maturities.
OVERVIEW OF EQUITY MARKETS
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During this period, blue chip stocks soared to a record high, only to
surrender their gains following a series of interest rate hikes that sent the
Dow Jones Industrial Average (the "Dow") into a tailspin. After a March rally,
the Dow recovered most of its losses, but remained down for the year.
In contrast, the NASDAQ exceeded the 5,000 barrier led by the performance of
technology-related stocks -- particularly genetics, semiconductor and
communications stocks. For several months, technology reigned, while other
sectors scrambled for attention. That changed when the technology bubble burst
in late March, with a sell-off pounding speculative issues leaving many
investors concerned about the long-term viability of New Economy stocks.
OVERVIEW OF BOND MARKETS
--------------------------------------------------------------------------------
Rising interest rates sent the yield on the 30-year Treasury bond to nearly
7% in January 2000 -- the highest point in years. An interesting event then
occurred after the U.S. Treasury announced its intent to issue fewer 30-year
bonds in light of the budget surplus. Concerned about an impending shortage of
long-term bonds, traders embarked on a buying spree that dropped the yield to
less than 6%. That resulted in an inverted yield curve that favored
intermediate-term securities over longer-term Treasuries.
Going forward, the Wells Fargo Asset Allocation Fund managers see attractive
buying opportunities in various bond sectors amid this development and rising
interest rates.
INVESTING IN AN UPSIDE-DOWN MARKET
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With dramatic market fluctuations becoming standard events, many investors
are justifiably worried about the market's outlook. So what should you do
during uncertain times? Remember to first think long term. Over time, the
market will likely regain its balance.
More importantly, investors should stick with a clearly defined strategy of
buying and holding a diversified portfolio of stocks, bonds and cash. That's a
distinct advantage of the Wells Fargo Asset Allocation Funds, which offer
several diversified portfolios tailored to the goals and risk tolerances of
different investors.
In closing, thank you for investing with Wells Fargo Funds. With more than
$62 billion in mutual fund assets under management (as of March 31, 2000),
Wells Fargo Funds offer a complete array of mutual funds designed to meet
almost any investor's need -- in any market environment.
Sincerely,
<TABLE>
<S> <C>
/s/ Michael J. Hogan /s/ W. Rodney Hughes
MICHAEL J. HOGAN W. RODNEY HUGHES
EXECUTIVE VICE PRESIDENT, PRESIDENT,
WELLS FARGO BANK, N.A. WELLS FARGO FUNDS
</TABLE>
1
<PAGE>
ALLOCATION FUNDS PERFORMANCE HIGHLIGHTS
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AGGRESSIVE BALANCED-EQUITY FUND
INVESTMENT OBJECTIVE
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The Wells Fargo Aggressive Balanced-Equity Fund (the Fund) seeks to provide a
combination of current income and capital appreciation by diversified
investments in stocks and bonds.
ADVISOR
Wells Fargo Bank, N.A.
SUB-ADVISORS
Wells Capital Management
Peregrine Capital Management
Smith Asset Management Group
Schroder Investment Management North America
Galliard Capital Management
FUND MANAGER
Collectively Managed
INCEPTION DATE
12/02/97
PERFORMANCE HIGHLIGHTS
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The Fund's Institutional Class shares returned 15.98%(1) for the six-month
period ended March 31, 2000. The Fund outperformed its peer group, the Lipper
Flexible Portfolio Funds Average(2), which returned 13.58% for the same
period. The Fund's Institutional Class shares distributed $0.12 per share in
dividend income and $0.02 in capital gains during the period. Please keep in
mind past performance is no guarantee of future results.
Driven by excitement over "New Economy" companies, small-cap growth stocks
outperformed most other segments of the U.S. market over the six months ended
March 31, 2000. Technology, telecommunications and media stocks rose to new
highs in the fourth quarter of 1999 and in the first two months of 2000. To a
large extent, the dominance of these companies was a global phenomenon. "New
Economy" stocks in Europe, Japan and elsewhere led their respective markets.
Technology, biotechnology and some media stocks subsequently declined in
March, but their gains in late 1999 and early 2000 enabled them to stay ahead
of other areas of the market for the reporting period.
In this environment, the relative weakness of the Fund's large-cap value
stocks was offset in part by its small-cap growth positions and international
component. Besides "New Economy" stocks, many international markets were
fueled by positive economic trends.
The bond market withstood a barrage of influences late in the period with
very mixed results. The only sector to appreciate substantially was long-term
U.S. Treasuries. Driven by investor confidence in the economy and the
inception of a government-sponsored buy-back program, long Treasuries rallied.
The Fund also benefited from the decline in medium- and long-term interest
rates, longer duration, broad diversification among the spread sectors and the
shorter spread duration of the corporate bond holdings. The Fund's position in
30-year Treasuries also contributed to its performance.
STRATEGIC OUTLOOK
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Continued monetary tightening by the Federal Reserve Board is expected for
the remainder of the year, at least until evidence of an economic slowdown
materializes. Interest rates should not have a material impact on relative
performance as the Fund does not attempt to add value by timing the market.
--------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund's manager has waived all or a portion of its
management fees or assumed responsibility for other expenses pursuant to a
contract with the Fund, which reduces operating expenses and increases total
return to shareholders. Without these reductions the Fund's returns would have
been lower. The contract's minimum period is through November 8, 2000, and
continues thereafter unless the Board of Trustees acts to alter or remove the
waivers.
Performance shown for Institutional Class shares of the Wells Fargo Aggressive
Balanced-Equity Fund for periods prior to November 8, 1999, reflects performance
of the Institutional Class shares of the Norwest Advantage Aggressive
Balanced-Equity Fund, its predecessor fund. Effective at the close of business
November 5, 1999, the Norwest Advantage Funds were reorganized into the Wells
Fargo Funds. Institutional Class shares are sold without sales charges.
(2) Source: Lipper Analytical Services, Inc. The Lipper Flexible Portfolio
Funds Average is an average of funds that allocate their investments across
various asset classes, including both domestic and foreign stocks, bonds and
money market instruments with a focus on total return. The total return of the
Lipper average does not include the effect of sales charges. Past performance is
no guarantee of future results. You cannot invest directly in a Lipper average.
2
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
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AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF MARCH 31, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Excluding Sales Charge
---------------------------------------------
6-Month(*) 1-Year Since Inception
<S> <C> <C> <C>
INSTITUTIONAL CLASS 15.98 17.62 19.32
BENCHMARK
LIPPER FLEXIBLE PORTFOLIO FUNDS
AVERAGE 13.58 14.76
LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT/CORPORATE INDEX(3) 1.56 2.09
S&P 500 INDEX(4) 17.51 17.94
</TABLE>
* Returns for periods less than one year are not annualized.
DIVERSIFIED EQUITY STYLE CHARACTERISTICS
(AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA 0.93*
DIVIDEND YIELD 1.19%
P/E (TRAILING 12 MO.) 31.9X
P/B 5.6X
MEDIAN MARKET CAP. ($B) 20.7
NUMBER OF HOLDINGS 1449
PORTFOLIO TURNOVER 40%
</TABLE>
* A measure of a fund's sensitivity to market movements. The benchmark beta is
1.00 by definition.
DIVERSIFIED BOND STYLE CHARACTERISTICS
(AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
AVERAGE CREDIT QUALITY(6) AA
AVERAGE MATURITY 15.3 YEARS
DURATION 7.6 YEARS
SEC YIELD(7) AS OF 3/31/00 6.32%
</TABLE>
TEN LARGEST HOLDINGS(5) (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
CISCO SYSTEMS, INCORPORATED 2.35%
MICROSOFT CORPORATION 2.08%
INTEL CORPORATION 1.89%
LUCENT TECHNOLOGIES, INCORPORATED 1.52%
U.S. TREASURY BOND, 6.13% 1.46%
GENERAL ELECTRIC COMPANY 1.46%
U.S. TREASURY BOND, 6.63% 1.37%
HEWLETT-PACKARD COMPANY 1.17%
PFIZER, INCORPORATED 1.11%
AT&T CORPORATION 1.09%
</TABLE>
STRATEGIC ALLOCATION(8) (AS OF MARCH 31, 2000)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Diversified Equity Style 80%
Diversified Bond Style 20%
</TABLE>
GROWTH OF $10,000 INVESTMENT(9)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO AGGRESSIVE LEHMAN BROTHERS INTERMEDIATE
BALANCED-EQUITY FUND-CLASS I S&P 500 INDEX GOVERNMENT/CORPORATE INDEX
<S> <C> <C> <C>
12/97 $10,000 $10,000 $10,000
12/97 $10,013 $10,172 $10,080
1/98 $10,144 $10,284 $10,212
2/98 $10,704 $11,025 $10,204
3/98 $11,085 $11,590 $10,237
4/98 $11,225 $11,708 $10,288
5/98 $11,055 $11,507 $10,363
6/98 $11,375 $11,974 $10,429
7/98 $11,205 $11,847 $10,466
8/98 $9,923 $10,135 $10,630
9/98 $10,364 $10,785 $10,897
10/98 $11,135 $11,662 $10,886
11/98 $11,766 $12,368 $10,885
12/98 $12,438 $13,081 $10,928
1/99 $12,791 $13,631 $10,988
2/99 $12,438 $13,206 $10,827
3/99 $12,821 $13,734 $10,908
4/99 $13,234 $14,266 $10,942
5/99 $13,043 $13,929 $10,858
6/99 $13,608 $14,687 $10,865
7/99 $13,376 $14,228 $10,855
8/99 $13,255 $14,158 $10,864
9/99 $13,002 $13,770 $10,965
10/99 $13,507 $14,641 $10,994
11/99 $13,850 $14,939 $11,007
12/99 $14,377 $15,819 $10,971
1/00 $14,041 $15,024 $10,930
2/00 $14,204 $14,741 $11,020
3/00 $15,080 $16,182 $11,134
</TABLE>
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(3) The Lehman Brothers Intermediate Government/Corporate Index is an index
based on all publicly issued intermediate government and corporate debt
securities with an average maturity of 4-5 years. This Index represents asset
types which are subject to risk, including loss of principal. The Index does not
incur expenses and is not available directly for investment. Had this Index
incurred operating expenses, its performance would have been lower.
(4) The S&P 500 Index is an unmanaged index of 500 widely-held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(5) The ten largest holdings are calculated based on the market value of the
securities divided by total market value of the portfolio.
(6) The average credit rating is compiled from ratings from Standards & Poor's
and/or Moody's Investors Service (together "rating agencies"). Standard & Poor's
is a trademark of McGraw-Hill, Inc., and has been licensed. The Fund is not
sponsored, sold or promoted by these rating agencies and these rating agencies
make no representation regarding the advisability of investing in the Fund.
(7) The formula used to calculate the SEC yield is described in detail in the
Fund's Statement of Additional Information, and is designed to standardize the
yield calculations so that all mutual fund companies with the same or similar
portfolios quote a uniform yield figure for their non-money market
advertisements. SEC yields include the actual amount of interest earned adjusted
by any gain or loss realized due to the return of principal, less expenses and
the maximum offering price calculated on a 30-day month-end basis.
(8) Portfolio holdings are subject to change.
(9) The chart compares the performance of the Wells Fargo Aggressive
Balanced-Equity Fund Institutional Class shares since inception with the S&P 500
Index and the Lehman Brothers Intermediate Government/Corporate Index. The chart
assumes a hypothetical $10,000 investment in Institutional Class shares and
reflects all operating expenses.
3
<PAGE>
ALLOCATION FUNDS PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
INVESTMENT OBJECTIVE
--------------------------------------------------------------------------------
The Wells Fargo Asset Allocation Fund (the Fund) seeks to earn long-term total
return, consistent with reasonable risk.
ADVISOR
Wells Fargo Bank, N.A.
SUB-ADVISOR
Barclays Global Fund Advisors
FUND MANAGER
Team Managed
INCEPTION DATE
11/13/86
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
Despite volatile equity and bond markets, the Fund performed well over the
six-month period ending March 31, 2000. The Fund's Class A shares posted a
13.66%(1) return during the period, outperforming its peer group, the Lipper
Flexible Portfolio Funds Average(2), by 0.08%. The Fund's Class A shares
distributed $0.31 per share in dividend income and $3.69 in capital gains
during the period.
The driving force behind the Fund's strong performance was an unprecedented
fourth-quarter rally led primarily by technology and computer stocks. In fact,
between October 1 and December 31, 1999, the technology sector posted a 61.8%
return, with the communications sector rising 40%. As investors increasingly
embraced high-flying "New Economy" technology stocks, the NASDAQ Composite
Index(3) ("NASDAQ") continued to rise to record highs.
In contrast, a bullish stock market was offset by a weaker bond market.
During the fourth quarter, the bond market fell 2.5% due to concerns that the
Federal Reserve Board would continue to raise rates to curtail the nation's
fast-growing economy.
In early 2000, the stock market quickly shifted course. Stocks were sent
reeling amid ongoing inflation fears, with large cap stocks perceived as being
most vulnerable to rising rates. The S&P 500 Index(4) shed more than 5% of its
value in January, followed by a 1.89% decline in February. Still, NASDAQ
continued its upward march, gaining 19% in February. One month later, NASDAQ
would begin a downward spiral, triggering another shift from "New Economy"
stocks back to more predictable "Old Economy" stocks.
During the first quarter 2000, the bond market rebounded sharply, generating
a 9.3% gain. Although interest rates rose by 0.50% in February and March, the
real story was the government's decision to buy back long-term Treasury
securities and to reduce the supply of new bond issues. As a result, yields on
short-term securities increased, while yields on longer-term Treasuries
decreased to create an inverted yield curve.
Amid changing markets, the Fund's management team rebalanced the portfolio in
January from a mix of 60% stocks and 40% bonds to a blend of 55% stocks and
45% bonds. As stock prices declined and the bond market strengthened, the Fund
benefited from a rebalanced portfolio. In February, the Fund was again
rebalanced to its original benchmark weightings.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
The Fund will continue to invest in a mix of stocks, bonds and cash to
capture optimal performance without incurring undue risk. In addition, ongoing
market volatility will give the management team an opportunity to add value to
the Fund.
--------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund's manager has waived all or a portion of its
management fees or assumed responsibility for other expenses pursuant to a
contract with the Fund, which reduces operating expenses and increases total
return to shareholders. Without these reductions the Fund's returns would have
been lower. The contract's minimum period is through November 8, 2000, and
continues thereafter unless the Board of Trustees acts to alter or remove the
waivers.
Performance shown for Class A, Class B and Class C shares of the Wells Fargo
Asset Allocation Fund for periods prior to November 8, 1999, reflects
performance of the Class A, Class B and Class C shares of the Stagecoach Asset
Allocation Fund (the accounting survivor of a merger of the Stagecoach Asset
Allocation Fund and the Stagecoach Balanced Fund), its predecessor fund.
Effective at the close of business November 5, 1999, the Stagecoach Funds were
reorganized into the Wells Fargo Funds. Performance shown for the Class A shares
for periods prior to January 2, 1992, reflects performance of the shares of the
Asset Allocation Fund for the Wells Fargo Investment Trust for Retirement
Programs, a predecessor portfolio with the same investment objectives and
policies as the Stagecoach Fund. Performance shown for the Class B shares for
periods prior to January 1, 1995, reflects performance of the Class A shares of
the Stagecoach Fund adjusted to reflect Class B sales charges and expenses; for
periods prior to January 2, 1992, Class B share performance reflects performance
of the predecessor portfolio, adjusted to reflect Class B sales charges and
expenses. Performance shown for Class C shares for periods prior to April 1,
1998, reflects performance of the Class B shares, adjusted for Class C sales
charges and expenses. Performance shown for the Institutional Class shares for
periods prior to November 8, 1999, reflects performance of the Class A shares of
the predecessor fund, adjusted to reflect the expenses of the Institutional
Class shares. For Class A shares, the maximum front-end sales charge is 5.75%.
The maximum contingent-deferred sales charge for Class B shares is 5.00%. The
maximum contingent-deferred sales charge for Class C shares is 1.00%. Class B
and Class C share performance including sales charge assumes the maximum
contingent-deferred sales charge for the corresponding time period.
Institutional Class shares are sold without sales charges.
(2) Source: Lipper Analytical Services, Inc. The Lipper Flexible Portfolio
Funds Average is an average of 237 funds that allocate their investments across
various asset classes, including domestic common stocks, bonds and money market
instruments with a focus on total return. The total return of the Lipper average
does not include the effect of sales charges, and you cannot invest directly in
an average. Had the average incurred operating expenses, its performance would
have been lower.
(3) The NASDAQ Composite Index is a broad-based capitalization-weighted index
of all NASDAQ National Market & Small Cap stocks. You cannot invest directly in
an index.
4
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF MARCH 31, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Excluding Sales Charge Including Sales Charge
----------------------------------- -----------------------------------
6-Month* 1-Year 5-Year 10-Year 6-Month* 1-Year 5-Year 10-Year
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A 13.66 12.85 18.90 14.90 7.11 6.37 17.49 14.22
CLASS B 13.28 12.05 18.18 14.27 8.43 7.30 17.97 14.27
CLASS C 13.21 11.97 18.16 14.27 12.24 11.02 18.16 14.27
INSTITUTIONAL CLASS 13.66 12.85 18.90 14.90
BENCHMARK
LIPPER FLEXIBLE
PORTFOLIO FUNDS
AVERAGE 13.58 14.76 16.43 13.37
LEHMAN BROTHERS 20-PLUS
U.S. TREASURY BOND
INDEX(5) 6.56 3.33 9.84 10.13
S&P 500 INDEX 17.51 17.94 26.76 18.84
</TABLE>
* Returns for periods less than one year are not annualized.
CHARACTERISTICS: (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA* 1.07
AVERAGE COUPON OF BOND PORTFOLIO 6.97%
AVERAGE MATURITY OF BOND PORTFOLIO 24.1 YEARS
AVERAGE DURATION OF BOND PORTFOLIO 11.9 YEARS
NUMBER OF HOLDINGS 531
PORTFOLIO TURNOVER 23%
</TABLE>
* A measure of a fund's sensitivity to market movements. The benchmark beta is
1.00 by definition.
MODEL ALLOCATION(7) (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
STOCKS = 62%
CASH = 38%
</TABLE>
TEN LARGEST HOLDINGS(6) (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
U.S. TREASURY BOND, 8.00% 4.23%
U.S. TREASURY BOND, 8.75% 2.91%
MICROSOFT CORPORATION 2.69%
CISCO SYSTEMS, INCORPORATED 2.57%
U.S. TREASURY BOND, 6.25% 2.54%
GENERAL ELECTRIC COMPANY 2.47%
U.S. TREASURY BOND, 6.13% 2.31%
INTEL CORPORATION 2.14%
U.S. TREASURY BOND, 7.13% 2.00%
U.S. TREASURY BOND, 8.13% 1.49%
</TABLE>
SECTOR DISTRIBUTION(7) (AS OF MARCH 31, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Securities 38%
Technology 21%
Financial 9%
Telecommunications 5%
Health Care 5%
Consumer Non-Cylical 4%
Consumer Cyclical 4%
Basic Materials 3%
Energy 3%
Consumer Services 3%
Industrials 2%
Utilities 1%
Transportation 1%
Commercial Services 1%
</TABLE>
GROWTH OF $10,000 INVESTMENT(8)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO ASSET LEHMAN BROTHERS 20-PLUS U.S. WELLS FARGO ASSET ALLOCATION
ALLOCATION FUND-CLASS A TREASURY BOND INDEX S&P 500 INDEX FUND CLASS I
<S> <C> <C> <C> <C>
3/90 $9,425 $10,000 $10,000 $10,000
4/90 $9,426 $9,745 $9,751 $10,000
5/90 $9,671 $10,223 $10,701 $10,260
6/90 $9,727 $10,470 $10,629 $10,319
7/90 $9,783 $10,565 $10,595 $10,379
8/90 $9,622 $10,072 $9,637 $10,208
9/90 $9,594 $10,188 $9,168 $10,178
10/90 $9,699 $10,427 $9,129 $10,290
11/90 $9,979 $10,888 $9,719 $10,587
12/90 $10,119 $11,110 $9,990 $10,736
1/91 $10,385 $11,246 $10,425 $11,018
2/91 $10,602 $11,292 $11,171 $11,248
3/91 $10,693 $11,330 $11,441 $11,345
4/91 $10,791 $11,480 $11,468 $11,449
5/91 $10,917 $11,457 $11,963 $11,582
6/91 $10,679 $11,354 $11,415 $11,330
7/91 $10,945 $11,534 $11,947 $11,612
8/91 $11,296 $11,948 $12,230 $11,984
9/91 $11,520 $12,333 $12,026 $12,221
10/91 $11,555 $12,341 $12,187 $12,259
11/91 $11,471 $12,391 $11,696 $12,169
12/91 $12,360 $13,169 $13,034 $13,113
1/92 $11,996 $12,749 $12,791 $12,727
2/92 $12,066 $12,818 $12,957 $12,801
3/92 $11,907 $12,673 $12,705 $12,632
4/92 $11,999 $12,644 $13,078 $12,730
5/92 $12,233 $13,010 $13,142 $12,978
6/92 $12,287 $13,179 $12,946 $13,035
7/92 $12,811 $13,751 $13,475 $13,592
8/92 $12,768 $13,834 $13,199 $13,546
9/92 $12,942 $14,036 $13,354 $13,731
10/92 $12,761 $13,740 $13,400 $13,538
11/92 $12,928 $13,816 $13,857 $13,715
12/92 $13,226 $14,213 $14,027 $14,031
1/93 $13,499 $14,607 $14,144 $14,321
2/93 $13,876 $15,117 $14,337 $14,721
3/93 $13,972 $15,149 $14,639 $14,823
4/93 $13,905 $15,259 $14,285 $14,752
5/93 $14,084 $15,327 $14,668 $14,942
6/93 $14,450 $16,002 $14,711 $15,330
7/93 $14,578 $16,312 $14,651 $15,466
8/93 $15,152 $17,018 $15,207 $16,075
9/93 $15,090 $17,058 $15,091 $16,010
10/93 $15,311 $17,199 $15,403 $16,244
11/93 $15,075 $16,734 $15,256 $15,994
12/93 $15,201 $16,772 $15,440 $16,128
1/94 $15,662 $17,190 $15,965 $16,617
2/94 $15,153 $16,445 $15,532 $16,076
3/94 $14,560 $15,694 $14,855 $15,447
4/94 $14,519 $15,500 $15,045 $15,404
5/94 $14,576 $15,372 $15,292 $15,464
6/94 $14,323 $15,212 $14,917 $15,195
7/94 $14,784 $15,775 $15,407 $15,685
8/94 $15,024 $15,620 $16,039 $15,939
9/94 $14,588 $15,087 $15,647 $15,477
10/94 $14,705 $15,037 $15,999 $15,600
11/94 $14,546 $15,144 $15,416 $15,432
12/94 $14,772 $15,394 $15,644 $15,672
1/95 $15,152 $15,813 $16,050 $16,075
2/95 $15,629 $16,257 $16,675 $16,581
3/95 $15,908 $16,411 $17,166 $16,877
4/95 $16,256 $16,706 $17,671 $17,247
5/95 $17,096 $18,083 $18,376 $18,138
6/95 $17,360 $18,302 $18,803 $18,418
7/95 $17,586 $17,977 $19,426 $18,657
8/95 $17,703 $18,408 $19,474 $18,782
9/95 $18,164 $18,772 $20,296 $19,270
10/95 $18,255 $19,335 $20,223 $19,367
11/95 $18,773 $19,838 $21,110 $19,917
12/95 $19,084 $20,410 $21,517 $20,246
1/96 $19,424 $20,386 $22,248 $20,607
2/96 $19,323 $19,304 $22,455 $20,500
3/96 $19,364 $18,887 $22,671 $20,543
4/96 $19,382 $18,553 $23,004 $20,563
5/96 $19,549 $18,454 $23,595 $20,740
6/96 $19,768 $18,866 $23,685 $20,973
7/96 $19,329 $18,865 $22,638 $20,507
8/96 $19,310 $18,595 $23,116 $20,487
9/96 $20,064 $19,138 $24,415 $21,286
10/96 $20,753 $19,940 $25,089 $22,018
11/96 $21,859 $20,651 $26,983 $23,190
12/96 $21,308 $20,112 $26,449 $22,606
1/97 $21,739 $19,932 $28,099 $23,063
2/97 $21,790 $19,936 $28,321 $23,118
3/97 $21,055 $19,388 $27,160 $22,337
4/97 $21,874 $19,881 $28,779 $23,207
5/97 $22,610 $20,111 $30,537 $23,988
6/97 $23,257 $20,532 $31,896 $24,674
7/97 $24,891 $21,848 $34,432 $26,407
8/97 $23,791 $21,174 $32,503 $25,241
9/97 $24,766 $21,801 $34,281 $26,275
10/97 $24,735 $22,603 $33,136 $26,242
11/97 $25,537 $22,958 $34,671 $27,093
12/97 $25,998 $23,365 $35,267 $27,582
1/98 $26,386 $23,856 $35,655 $27,993
2/98 $27,641 $23,666 $38,226 $29,325
3/98 $28,650 $23,713 $40,183 $30,396
4/98 $28,845 $23,792 $40,593 $30,603
5/98 $28,708 $24,295 $39,894 $30,457
6/98 $29,775 $24,935 $41,514 $31,589
7/98 $29,475 $24,793 $41,074 $31,271
8/98 $26,618 $26,006 $35,139 $28,239
9/98 $28,123 $26,964 $37,391 $29,836
10/98 $29,779 $26,505 $40,428 $31,593
11/98 $31,249 $26,749 $42,877 $33,153
12/98 $32,648 $26,687 $45,399 $34,637
1/99 $33,791 $26,941 $47,296 $35,850
2/99 $32,572 $25,501 $48,767 $34,556
3/99 $33,498 $25,389 $50,718 $35,539
4/99 $34,466 $25,410 $52,681 $36,566
5/99 $33,753 $25,006 $51,437 $35,809
6/99 $34,699 $24,700 $54,236 $36,813
7/99 $33,931 $24,559 $52,542 $35,998
8/99 $33,739 $24,444 $52,282 $35,794
9/99 $33,258 $24,620 $50,849 $35,284
10/99 $34,454 $24,623 $54,068 $36,554
11/99 $34,751 $24,436 $55,166 $36,868
12/99 $35,745 $24,003 $58,415 $37,925
1/00 $34,993 $24,421 $55,482 $37,111
2/00 $35,249 $25,288 $54,434 $37,383
3/00 $37,801 $26,235 $59,757 $40,104
</TABLE>
--------------------------------------------------------------------------------
(4) The S&P 500 Index is an unmanaged index of 500 widely-held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(5) The Lehman Brothers 20-Plus U.S. Treasury Bond Index is an unmanaged index
comprised of U.S. Treasury bonds with 20-year or longer maturities. The total
return of the index does not include the effect of sales charges, and you cannot
invest directly in an index. Had the index incurred operating expenses, its
performance would have been lower.
(6) The ten largest holdings are calculated based on the market value of the
securities divided by total market value of the portfolio.
(7) Portfolio holdings are subject to change.
(8) The chart compares the performance of the Wells Fargo Asset Allocation Fund
Class A and Institutional Class shares since inception with the S&P 500 Index
and the Lehman Brothers 20-Plus U.S. Treasury Bond Index. The chart assumes a
hypothetical $10,000 investment in Class A and Institutional Class shares and
reflects all operating expenses and, for Class A shares, assumes the maximum
initial sales charge of 5.75%.
5
<PAGE>
ALLOCATION FUNDS PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
GROWTH BALANCED FUND
INVESTMENT OBJECTIVE
--------------------------------------------------------------------------------
The Wells Fargo Growth Balanced Fund (the Fund) seeks to provide a combination
of current income and capital appreciation by diversified investments in
stocks and bonds.
ADVISOR
Wells Fargo Bank, N.A.
SUB-ADVISORS
Wells Capital Management
Peregrine Capital Management
Smith Asset Management Group
Schroder Investment Management North America
Galliard Capital Management
FUND MANAGER
Collectively Managed
INCEPTION DATE
4/30/89
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
In this environment, the Fund's Class A shares returned 13.94%(1) for the
six-month period ended March 31, 2000, excluding sales charges. The Fund
outperformed its peer group, the Lipper Balanced Funds Average(2), which
returned 10.51% for the period. The Fund's Class A shares distributed $0.59
per share in dividend income and $1.81 in capital gains during the period.
Driven by excitement over "New Economy" companies, small-cap growth stocks
outperformed most other segments of the U.S. market over the six months ended
March 31, 2000. Technology, telecommunications and media stocks rose to new
highs in the fourth quarter of 1999 and in the first two months of 2000. To a
large extent, the dominance of these companies was a global phenomenon. "New
Economy" stocks in Europe, Japan and elsewhere led their respective markets.
Technology, biotechnology and some media stocks subsequently declined in
March, but their gains in late 1999 and early 2000 enabled them to stay ahead
of other areas of the market for the reporting period.
In this environment, the relative weakness of the Fund's large-cap value
stocks was offset in part by its small-cap growth positions and international
component. Besides "New Economy" stocks, many international markets were
fueled by positive economic trends.
The bond market withstood a barrage of influences late in the period with
very mixed results. The only sector to appreciate substantially was long-term
U.S. Treasuries. Driven by investor confidence in the economy and the
inception of a government-sponsored buy-back program, long Treasuries rallied.
The Fund also benefited from the decline in medium- and long-term interest
rates, longer duration, broad diversification among the spread sectors and the
shorter spread duration of the corporate bond holdings. The Fund's position in
30-year Treasuries also contributed to its performance.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
Continued monetary tightening by the Federal Reserve Board is expected for
the remainder of the year, at least until evidence of an economic slowdown
materializes. Interest rates should not have a material impact on relative
performance as the Fund does not attempt to add value by timing the market.
--------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund's manager has waived all or a portion of its
management fees or assumed responsibility for other expenses pursuant to a
contract with the Fund, which reduces operating expenses and increases total
return to shareholders. Without these reductions the Fund's returns would have
been lower. The contract's minimum period is through November 8, 2000, and
continues thereafter unless the Board of Trustees acts to alter or remove the
waivers.
Performance shown for Class A, Class B, Class C and Institutional
Class shares of the Wells Fargo Growth Balanced Fund for periods prior to
November 8, 1999, reflects performance of the Class A, Class B, Class C and
Institutional Class shares of the Norwest Advantage Growth Balanced Fund, its
predecessor fund. Effective at the close of business November 5, 1999, the
Norwest Advantage Funds were reorganized into the Wells Fargo Funds. Performance
shown for the Class A shares of the Fund prior to October 14, 1998, reflects the
performance of the Institutional Class shares of the Fund adjusted to reflect
Class A sales charges. Performance shown for the Class B and Class C shares of
the Fund prior to October 1, 1998, reflects the performance of the Institutional
Class shares of the Fund adjusted to reflect Class B and Class C sales charges
and expenses, respectively. Performance of the Institutional Class shares of the
Fund, prior to November 11, 1994, reflects the performance of a collective
investment fund adjusted to reflect Institutional Class expenses. Norwest Bank
Minnesota, N.A. managed the collective investment fund with an investment
objective and principal investment strategy that were substantially similar to
those of the Fund. The performance for the Fund includes performance of its
predecessor collective investment fund for periods before it became a mutual
fund on November 11, 1994. The collective investment fund's performance was
adjusted to reflect the Fund's 1994 estimate of its expense ratio for the first
year of operations as a mutual fund, including any applicable sales load
(without giving effect to any fee waivers or expense reimbursements). The
collective investment fund was not registered under the Investment Company Act
of 1940 ("1940 Act") nor subject to certain investment limitations,
diversification requirements, and other restrictions imposed by the 1940 Act or
the Internal Revenue Code which, if applicable, may have adversely affected the
performance results. For Class A shares, the maximum front-end sales charge is
5.75%. The maximum contingent-deferred sales charge for Class B shares is 5.00%.
The maximum contingent-deferred sales charge for Class C shares is 1.00%.
Class B and Class C share performance including sales charge assumes the maximum
contingent-deferred sales charge for the corresponding time period.
Institutional Class shares are sold without sales charges.
(2) Source: Lipper Analytical Services, Inc. The Lipper Balanced Funds Average
is an average of funds whose primary objective is to conserve principal by
maintaining at all times a balanced portfolio of both stocks and bonds. The
total return of the average does not include the effect of sales charges, and
you cannot invest directly in an average. Had the average incurred operating
expenses, its performance would have been lower.
(3) The Lehman Brothers Intermediate Government/Corporate Index is an index
based on all publicly held intermediate government and corporate debt securities
with an average maturity of 4-5 years. The index represents asset types which
are subject to risk, including loss of principal. The total return of the index
does not include the effect of sales charges, and you cannot invest directly in
an index. Had the index incurred operating expenses, its performance would have
been lower.
6
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF MARCH 31, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Excluding Sales Charge Including Sales Charge
----------------------------------- -----------------------------------
6-Month* 1-Year 5-Year 10-Year 6-Month* 1-Year 5-Year 10-Year
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A 13.94 15.03 18.39 14.20 7.39 8.42 17.00 13.53
CLASS B 13.54 14.22 17.53 13.37 8.54 9.22 17.32 13.37
CLASS C 13.53 14.32 17.56 13.39 12.53 13.32 17.56 13.39
INSTITUTIONAL CLASS 14.05 15.29 18.47 14.24
BENCHMARK
LIPPER BALANCED FUNDS
AVERAGE 10.51 10.48 15.34 12.39
LEHMAN BROTHERS
INTERMEDIATE
GOVERNMENT/CORPORATE
INDEX(3) 1.56 2.09 6.50 7.44
S&P 500 INDEX(4) 17.51 17.94 26.76 18.84
</TABLE>
* Returns for periods less than one year are not annualized.
DIVERSIFIED EQUITY STYLE CHARACTERISTICS (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA* 0.93
DIVIDEND 1.19%
P/E (TRAILING 12 MO.) 31.9X
P/B 5.6X
MEDIAN MARKET CAP. ($B) 20.7
NUMBER OF HOLDINGS 1449
PORTFOLIO TURNOVER 40%
</TABLE>
* A measure of a fund's sensitivity to market movements. The benchmark beta is
1.00 by definition.
DIVERSIFIED BOND STYLE CHARACTERISTICS
(AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
AVERAGE CREDIT QUALITY(6) AA
AVERAGE MATURITY 15.3 YEARS
DURATION 7.6 YEARS
SEC YIELD(7) AS OF 3/31/00 6.32%
</TABLE>
TEN LARGEST HOLDINGS(5) (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
U.S. TREASURY BOND, 6.13% 2.55%
U.S. TREASURY BOND, 6.63% 2.40%
CISCO SYSTEMS, INCORPORATED 1.90%
U.S. TREASURY BOND, 5.25% 1.82%
U.S. TREASURY BOND, 6.75% 1.75%
U.S. TREASURY BOND, 6.38% 1.71%
MICROSOFT CORPORATION 1.69%
U.S. TREASURY BOND, 5.50% 1.57%
INTEL CORPORATION 1.53%
LUCENT TECHNOLOGIES, INCORPORATED 1.23%
</TABLE>
STRATEGIC ALLOCATION(8) (AS OF MARCH 31, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Diversified Equity Style 65%
Diversified Bond Style 35%
</TABLE>
GROWTH OF $10,000 INVESTMENT(9)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO GROWTH LEHMAN BROTHERS INTERMEDIATE WELLS FARGO GROWTH
BALANCED FUND CLASS A S&P 500 INDEX GOVERNMENT/CORPORATE INDEX BALANCED FUND CLASS I
<S> <C> <C> <C> <C>
4/90 $9,425 $10,000 $10,000 $10,000
4/90 $9,339 $9,751 $9,965 $9,909
5/90 $10,047 $10,701 $10,184 $10,659
6/90 $10,166 $10,629 $10,321 $10,785
7/90 $10,127 $10,595 $10,464 $10,745
8/90 $9,509 $9,637 $10,421 $10,089
9/90 $9,147 $9,168 $10,501 $9,704
10/90 $9,204 $9,129 $10,623 $9,764
11/90 $9,560 $9,719 $10,785 $10,143
12/90 $9,771 $9,990 $10,933 $10,367
1/91 $10,191 $10,425 $11,044 $10,812
2/91 $10,718 $11,171 $11,132 $11,372
3/91 $10,929 $11,441 $11,208 $11,596
4/91 $10,944 $11,468 $11,330 $11,611
5/91 $11,307 $11,963 $11,399 $11,997
6/91 $10,928 $11,415 $11,407 $11,594
7/91 $11,351 $11,947 $11,535 $12,043
8/91 $11,617 $12,230 $11,755 $12,325
9/91 $11,626 $12,026 $11,958 $12,335
10/91 $11,840 $12,187 $12,094 $12,562
11/91 $11,617 $11,696 $12,233 $12,325
12/91 $12,499 $13,034 $12,532 $13,261
1/92 $12,429 $12,791 $12,417 $13,186
2/92 $12,459 $12,957 $12,466 $13,219
3/92 $12,251 $12,705 $12,417 $12,998
4/92 $12,377 $13,078 $12,527 $13,132
5/92 $12,540 $13,142 $12,721 $13,304
6/92 $12,377 $12,946 $12,909 $13,131
7/92 $12,630 $13,475 $13,166 $13,400
8/92 $12,519 $13,199 $13,298 $13,283
9/92 $12,653 $13,354 $13,478 $13,425
10/92 $12,673 $13,400 $13,303 $13,446
11/92 $13,054 $13,857 $13,253 $13,850
12/92 $13,197 $14,027 $13,430 $14,001
1/93 $13,223 $14,144 $13,691 $14,030
2/93 $13,179 $14,337 $13,907 $13,983
3/93 $13,527 $14,639 $13,963 $14,352
4/93 $13,335 $14,285 $14,074 $14,148
5/93 $13,643 $14,668 $14,043 $14,475
6/93 $13,660 $14,711 $14,264 $14,493
7/93 $13,736 $14,651 $14,298 $14,573
8/93 $14,239 $15,207 $14,525 $15,108
9/93 $14,298 $15,091 $14,585 $15,171
10/93 $14,472 $15,403 $14,624 $15,354
11/93 $14,239 $15,256 $14,543 $15,100
12/93 $14,550 $15,440 $14,609 $15,438
1/94 $14,923 $15,965 $14,772 $15,833
2/94 $14,646 $15,532 $14,553 $15,540
3/94 $14,134 $14,855 $14,313 $14,997
4/94 $14,223 $15,045 $14,216 $15,092
5/94 $14,288 $15,292 $14,225 $15,159
6/94 $13,984 $14,917 $14,227 $14,837
7/94 $14,335 $15,407 $14,432 $15,210
8/94 $14,800 $16,039 $14,477 $15,703
9/94 $14,588 $15,647 $14,343 $15,478
10/94 $14,709 $15,999 $14,342 $15,606
11/94 $14,423 $15,416 $14,277 $15,303
12/94 $14,529 $15,644 $14,327 $15,416
1/95 $14,652 $16,050 $14,568 $15,545
2/95 $14,993 $16,675 $14,870 $15,907
3/95 $15,294 $17,166 $14,954 $16,227
4/95 $15,562 $17,671 $15,140 $16,512
5/95 $16,002 $18,376 $15,597 $16,978
6/95 $16,376 $18,803 $15,701 $17,375
7/95 $16,864 $19,426 $15,703 $17,893
8/95 $16,937 $19,474 $15,846 $17,970
9/95 $17,434 $20,296 $15,960 $18,497
10/95 $17,287 $20,223 $16,137 $18,342
11/95 $17,734 $21,110 $16,349 $18,816
12/95 $17,907 $21,517 $16,520 $18,999
1/96 $18,285 $22,248 $16,662 $19,400
2/96 $18,428 $22,455 $16,467 $19,551
3/96 $18,562 $22,671 $16,383 $19,694
4/96 $18,879 $23,004 $16,326 $20,032
5/96 $19,166 $23,595 $16,313 $20,335
6/96 $19,175 $23,685 $16,486 $20,344
7/96 $18,562 $22,638 $16,535 $19,694
8/96 $18,814 $23,116 $16,549 $19,961
9/96 $19,561 $24,415 $16,779 $20,754
10/96 $19,698 $25,089 $17,076 $20,941
11/96 $20,639 $26,983 $17,301 $21,894
12/96 $20,459 $26,449 $17,190 $21,707
1/97 $21,140 $28,099 $17,257 $22,429
2/97 $21,140 $28,321 $17,290 $22,429
3/97 $20,476 $27,160 $17,171 $21,726
4/97 $21,158 $28,779 $17,373 $22,448
5/97 $22,198 $30,537 $17,518 $23,551
6/97 $22,995 $31,896 $17,677 $24,397
7/97 $24,303 $34,432 $18,036 $25,786
8/97 $23,344 $32,503 $17,946 $24,768
9/97 $24,393 $34,281 $18,154 $25,881
10/97 $23,918 $33,136 $18,355 $25,377
11/97 $24,350 $34,671 $18,396 $25,862
12/97 $24,709 $35,267 $18,543 $26,216
1/98 $25,036 $35,655 $18,786 $26,562
2/98 $26,149 $38,226 $18,771 $27,744
3/98 $26,928 $40,183 $18,831 $28,570
4/98 $27,225 $40,593 $18,925 $28,885
5/98 $26,947 $39,894 $19,063 $28,590
6/98 $27,638 $41,514 $19,185 $29,323
7/98 $27,302 $41,074 $19,252 $28,967
8/98 $24,863 $35,139 $19,555 $26,379
9/98 $25,891 $37,391 $20,045 $27,469
10/98 $27,420 $40,431 $20,025 $29,089
11/98 $28,853 $42,881 $20,023 $30,617
12/98 $30,237 $45,351 $20,103 $32,100
1/99 $31,001 $47,261 $20,214 $32,918
2/99 $30,170 $45,786 $19,917 $32,047
3/99 $30,925 $47,618 $20,066 $32,843
4/99 $31,718 $49,460 $20,128 $33,692
5/99 $31,307 $48,293 $19,973 $33,273
6/99 $32,434 $50,920 $19,987 $34,467
7/99 $31,956 $49,330 $19,969 $33,961
8/99 $31,698 $49,086 $19,985 $33,703
9/99 $31,221 $47,741 $20,171 $33,198
10/99 $32,233 $50,763 $20,224 $34,284
11/99 $32,950 $51,793 $20,248 $35,048
12/99 $33,901 $54,844 $20,181 $36,075
1/00 $33,347 $52,091 $20,107 $35,482
2/00 $33,819 $51,106 $20,271 $35,993
3/00 $35,573 $56,104 $20,482 $37,863
</TABLE>
--------------------------------------------------------------------------------
(4) The S&P 500 Index is an unmanaged index of 500 widely-held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(5) The ten largest holdings are calculated based on the market value of the
securities divided by total market value of the portfolio.
(6) The average credit rating is compiled from ratings from Standards & Poor's
and/or Moody's Investors Service (together "rating agencies"). Standard & Poor's
is a trademark of McGraw-Hill, Inc., and has been licensed. The Fund is not
sponsored, sold or promoted by these rating agencies and these rating agencies
make no representation regarding the advisability of investing in the Fund.
(7) The formula used to calculate the SEC yield is described in detail in the
Fund's Statement of Additional Information, and is designed to standardize the
yield calculations so that all mutual fund companies with the same or similar
portfolios quote a uniform yield figure for their non-money market
advertisements. SEC yields include the actual amount of interest earned adjusted
by any gain or loss realized due to the return of principal, less expenses and
the maximum offering price calculated on a 30-day month-end basis.
(8) Portfolio holdings are subject to change.
(9) The chart compares the performance of the Wells Fargo Growth Balanced Fund
Class A and Institutional Class shares since inception with the S&P 500 Index
and the Lehman Intermediate Government/Corporate Index. The chart assumes a
hypothetical $10,000 investment in Class A and Institutional Class shares and
reflects all operating expenses and, for Class A shares, assumes the maximum
initial sales charge of 5.75%.
7
<PAGE>
ALLOCATION FUNDS PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
INVESTMENT OBJECTIVE
--------------------------------------------------------------------------------
The Wells Fargo Index Allocation Fund (the Fund) seeks to earn a high level of
total return, consistent with the assumption of reasonable risk.
ADVISOR
Wells Fargo Bank, N.A.
SUB-ADVISOR
Barclays Global Fund Advisors
FUND MANAGER
Team Managed
INCEPTION DATE
04/07/88
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
Favorable equity markets coupled with a timely investment in bonds helped the
Fund outperform both the Lipper Flexible Portfolio Funds Average(1) and the
S&P 500 Index(2). For the six-month period ended March 31, 2000, the Fund's
Class A shares posted a 17.56%(3) return, compared to a 13.58% return for the
Lipper Average and a 17.51% return for the S&P 500 Index. The Fund's Class A
shares distributed no dividend income or capital gains during the period.
The Fund's strong performance mirrored an unprecedented fourth quarter 1999
rally led by technology and computer stocks -- the key components of "New
Economy" stocks. During that quarter, the technology and communication sectors
rose 61.8% and 40.0%, respectively. All in all, the S&P 500 Index was up a
staggering 14.88% in the fourth quarter alone. Although the Fund surrendered
some of its gains during a volatile first quarter of 2000, it ended the period
with significant returns.
In general, the Fund remains fully invested in stocks. However, the Fund's
flexible investment objective enables the management team to reallocate assets
based on changes in market conditions. Events transpiring within bond and
equity markets early in the year resulted in a 5% reallocation from stocks to
bonds during a six-week period beginning in early January. During that time
frame, the Fund benefited from the rebalance as stocks declined while the bond
market strengthened. In fact, the Lehman Brothers 20-Plus U.S. Treasury Bond
Index(4) -- the benchmark index for the Fund's bond holdings -- increased
nearly 6% during this period. As bond yields began to decline, the management
team again rebalanced the portfolio, shifting back to an allocation of 100%
stocks.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
The Fund's management team will continue to invest in a mix of stocks, bonds
and cash to capture optimal performance without exposing investors to undue
risks. In addition, market volatility will give the management team an
opportunity to add value to the Fund.
--------------------------------------------------------------------------------
(1) Source: Lipper Analytical Services, Inc. The Lipper Flexible Portfolio
Funds Average is an average of 237 funds that allocate their investments across
various asset classes, including domestic common stocks, bonds and money market
instruments with a focus on total return. The total return of the Lipper average
does not include the effect of sales charges, and you cannot invest directly in
an average. Had the average incurred operating expenses, its performance would
have been lower.
(2) The S&P 500 Index is an unmanaged index of 500 widely-held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(3) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund's manager has waived all or a portion of its
management fees or assumed responsibility for other expenses pursuant to a
contract with the Fund, which reduces operating expenses and increases total
return to shareholders. Without these reductions the Fund's returns would have
been lower. The contract's minimum period is through November 8, 2000, and
continues thereafter unless the Board of Trustees acts to alter or remove the
waivers.
Performance shown for Class A, Class B and Class C shares of the Wells Fargo
Index Allocation Fund for periods prior to November 8, 1999, reflects
performance of the Class A, Class B and Class C shares of the Stagecoach Index
Allocation Fund, its predecessor fund. Effective at the close of business
November 5, 1999, the Stagecoach Funds were reorganized into the Wells Fargo
Funds. Performance shown for the Class A shares for periods prior to December
12, 1997, reflects performance of the Class A shares of the Overland Express
Index Allocation Fund (the accounting survivor of a merger of the Stagecoach and
Overland Funds on December 12, 1997). Performance shown for the Class B shares
reflects performance of the Class D shares of the Overland Fund; for periods
prior to July 1, 1993, Class B shares performance reflects performance of the
Class A shares of the Overland Fund adjusted to reflect sales charges and
expenses of the Class B shares. Performance shown for the Class C shares
reflects performance of the Class D shares of the Overland Fund adjusted to
reflect sales charges and expenses; for periods prior to July 1, 1993, Class C
share performance reflects performance of the Class A shares of the Overland
Fund adjusted to reflect the sales charges and expenses of the Class C shares.
For Class A shares, the maximum front-end sales charge is 5.75%. The maximum
contingent- deferred sales charge for Class B shares is 5.00%. The maximum
contingent-deferred sales charge for Class C shares is 1.00%. Class B and C
share performance including sales charge assumes the maximum contingent-deferred
sales charge for the corresponding time period.
8
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(3)(%) (AS OF MARCH 31, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Excluding Sales Charge Including Sales Charge
----------------------------------- -----------------------------------
6-Month* 1-Year 5-Year 10-Year 6-Month* 1-Year 5-Year 10-Year
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A 17.56 17.35 23.16 16.84 10.81 10.58 21.71 16.14
CLASS B 17.08 16.37 22.22 16.02 12.08 11.37 22.04 16.02
CLASS C 17.07 16.40 22.25 16.04 16.07 15.40 22.25 16.04
BENCHMARK
LIPPER FLEXIBLE
PORTFOLIO FUNDS
AVERAGE 13.58 14.76 16.43 13.37
LEHMAN BROTHERS 20-PLUS
U.S. TREASURY BOND
INDEX 6.56 3.33 9.84 10.13
S&P 500 INDEX 17.51 17.94 26.76 18.84
IMONEYNET TAXABLE MONEY
FUND AVERAGE(5) 2.54 4.86 5.56 5.96
</TABLE>
* Returns for periods less than one year are not annualized.
FUND CHARACTERISTICS (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA* 0.95
AVERAGE COUPON OF BOND PORTFOLIO 0.00%
AVERAGE MATURITY OF BOND PORTFOLIO 0.08 YEARS
AVERAGE DURATION OF BOND PORTFOLIO 0.08 YEARS
NUMBER OF HOLDINGS 505
PORTFOLIO TURNOVER 2%
</TABLE>
* A measure of a Fund's sensitivity to market movement. The S&P 500 Benchmark
is 1.00 by definition.
MODEL ALLOCATION(7) (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
STOCKS = 100%
</TABLE>
TEN LARGEST HOLDINGS(6) (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
MICROSOFT CORPORATION 4.29%
CISCO SYSTEMS, INCORPORATED 4.10%
GENERAL ELECTRIC COMPANY 3.95%
INTEL CORPORATION 3.42%
EXXON MOBIL CORPORATION 2.09%
WAL-MART STORES, INCORPORATED 1.92%
ORACLE CORPORATION 1.71%
IBM CORPORATION 1.65%
CITIGROUP, INCORPORATED 1.55%
LUCENT TECHNOLOGIES, INCORPORATED 1.50%
</TABLE>
SECTOR DISTRIBUTION(7) (AS OF MARCH 31, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Technology 34%
Financial 15%
Health Care 9%
Telecommunications 7%
Consumer Cylical 7%
Consumer Non-Cylical 6%
Consumer Services 5%
Energy 5%
Basic Materials 4%
Industrials 3%
Commercial Services 2%
Utilities 2%
Transportation 1%
</TABLE>
GROWTH OF $10,000 INVESTMENT(8)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO INDEX LEHMAN BROTHERS 20-PLUS U.S. IMONEY NET TAXABLE MONEY
ALLOCATION FUND-CLASS A TREASURY BOND INDEX FUND AVERAGE (FORMERLY IBC FINANCIAL) S&P 500 INDEX
<S> <C> <C> <C> <C>
3/90 $9,425 $10,000 $10,000 $10,000
4/90 $9,380 $9,745 $10,064 $9,751
5/90 $9,645 $10,223 $10,128 $10,701
6/90 $9,691 $10,470 $10,193 $10,629
7/90 $9,736 $10,565 $10,258 $10,595
8/90 $9,578 $10,072 $10,322 $9,637
9/90 $9,550 $10,188 $10,386 $9,168
10/90 $9,643 $10,427 $10,451 $9,129
11/90 $9,917 $10,888 $10,515 $9,719
12/90 $10,049 $11,110 $10,578 $9,990
1/91 $10,290 $11,246 $10,639 $10,425
2/91 $10,485 $11,292 $10,695 $11,171
3/91 $10,573 $11,330 $10,750 $11,441
4/91 $10,668 $11,480 $10,802 $11,468
5/91 $10,787 $11,457 $10,852 $11,963
6/91 $10,550 $11,354 $10,902 $11,415
7/91 $10,808 $11,534 $10,952 $11,947
8/91 $11,158 $11,948 $11,001 $12,230
9/91 $11,298 $12,333 $11,048 $12,026
10/91 $11,377 $12,341 $11,095 $12,187
11/91 $11,204 $12,391 $11,139 $11,696
12/91 $12,128 $13,169 $11,181 $13,034
1/92 $11,795 $12,749 $11,220 $12,791
2/92 $11,867 $12,818 $11,255 $12,957
3/92 $11,696 $12,673 $11,290 $12,705
4/92 $11,821 $12,644 $11,325 $13,078
5/92 $12,020 $13,010 $11,358 $13,142
6/92 $12,038 $13,179 $11,390 $12,946
7/92 $12,525 $13,751 $11,421 $13,475
8/92 $12,451 $13,834 $11,450 $13,199
9/92 $12,621 $14,036 $11,478 $13,354
10/92 $12,535 $13,740 $11,505 $13,400
11/92 $12,814 $13,816 $11,531 $13,857
12/92 $13,030 $14,213 $11,559 $14,027
1/93 $13,246 $14,607 $11,586 $14,144
2/93 $13,587 $15,117 $11,612 $14,337
3/93 $13,790 $15,149 $11,638 $14,639
4/93 $13,561 $15,259 $11,663 $14,285
5/93 $13,813 $15,327 $11,689 $14,668
6/93 $13,989 $16,002 $11,714 $14,711
7/93 $14,012 $16,312 $11,740 $14,651
8/93 $14,509 $17,018 $11,766 $15,207
9/93 $14,389 $17,058 $11,792 $15,091
10/93 $14,656 $17,199 $11,818 $15,403
11/93 $14,505 $16,734 $11,844 $15,256
12/93 $14,663 $16,772 $11,871 $15,440
1/94 $15,131 $17,190 $11,898 $15,965
2/94 $14,712 $16,445 $11,925 $15,532
3/94 $14,132 $15,694 $11,954 $14,855
4/94 $14,219 $15,500 $11,984 $15,045
5/94 $14,355 $15,372 $12,018 $15,292
6/94 $14,042 $15,212 $12,054 $14,917
7/94 $14,478 $15,775 $12,092 $15,407
8/94 $14,901 $15,620 $12,132 $16,039
9/94 $14,499 $15,087 $12,174 $15,647
10/94 $14,637 $15,037 $12,218 $15,999
11/94 $14,349 $15,144 $12,265 $15,416
12/94 $14,563 $15,394 $12,317 $15,644
1/95 $14,918 $15,813 $12,370 $16,050
2/95 $15,423 $16,257 $12,426 $16,675
3/95 $15,763 $16,411 $12,483 $17,166
4/95 $16,149 $16,706 $12,541 $17,671
5/95 $16,891 $18,083 $12,598 $18,376
6/95 $17,279 $18,302 $12,656 $18,803
7/95 $17,818 $17,977 $12,712 $19,426
8/95 $17,846 $18,408 $12,768 $19,474
9/95 $18,564 $18,772 $12,824 $20,296
10/95 $18,481 $19,335 $12,880 $20,223
11/95 $19,258 $19,838 $12,936 $21,110
12/95 $19,617 $20,410 $12,992 $21,517
1/96 $20,216 $20,386 $13,047 $22,248
2/96 $20,373 $19,304 $13,100 $22,455
3/96 $20,551 $18,887 $13,153 $22,671
4/96 $20,751 $18,553 $13,205 $23,004
5/96 $21,037 $18,454 $13,258 $23,595
6/96 $21,187 $18,866 $13,311 $23,685
7/96 $20,527 $18,865 $13,364 $22,638
8/96 $20,656 $18,595 $13,418 $23,116
9/96 $21,546 $19,138 $13,471 $24,415
10/96 $22,196 $19,940 $13,525 $25,089
11/96 $23,483 $20,651 $13,579 $26,983
12/96 $22,961 $20,112 $13,634 $26,449
1/97 $23,978 $19,932 $13,688 $28,099
2/97 $24,077 $19,936 $13,743 $28,321
3/97 $23,230 $19,388 $13,798 $27,160
4/97 $24,220 $19,881 $13,855 $28,779
5/97 $25,178 $20,111 $13,911 $30,537
6/97 $26,064 $20,532 $13,970 $31,896
7/97 $27,958 $21,848 $14,028 $34,432
8/97 $26,579 $21,174 $14,087 $32,503
9/97 $27,818 $21,801 $14,147 $34,281
10/97 $27,118 $22,603 $14,206 $33,136
11/97 $28,285 $22,958 $14,266 $34,671
12/97 $28,742 $23,365 $14,326 $35,267
1/98 $29,020 $23,856 $14,386 $35,655
2/98 $31,039 $23,666 $14,446 $38,226
3/98 $32,544 $23,713 $14,507 $40,183
4/98 $32,822 $23,792 $14,566 $40,593
5/98 $32,229 $24,295 $14,627 $39,894
6/98 $33,491 $24,935 $14,687 $41,514
7/98 $33,120 $24,793 $14,749 $41,074
8/98 $28,333 $26,006 $14,811 $35,139
9/98 $30,101 $26,964 $14,872 $37,391
10/98 $32,533 $26,505 $14,931 $40,428
11/98 $34,465 $26,749 $14,988 $42,877
12/98 $36,376 $26,687 $15,046 $45,399
1/99 $37,839 $26,941 $15,104 $47,296
2/99 $36,646 $25,501 $15,153 $48,767
3/99 $38,062 $25,389 $15,210 $50,718
4/99 $39,506 $25,410 $15,264 $52,681
5/99 $38,543 $25,006 $15,319 $51,437
6/99 $40,618 $24,700 $15,373 $54,236
7/99 $39,327 $24,559 $15,431 $52,542
8/99 $39,096 $24,444 $15,491 $52,282
9/99 $37,994 $24,620 $15,552 $50,849
10/99 $40,364 $24,623 $15,614 $54,068
11/99 $41,135 $24,436 $15,677 $55,166
12/99 $43,491 $24,003 $15,744 $58,415
1/00 $41,401 $24,421 $15,820 $55,482
2/00 $40,724 $25,288 $15,884 $54,434
3/00 $44,665 $26,235 $15,956 $59,757
</TABLE>
--------------------------------------------------------------------------------
(4) The Lehman Brothers 20-Plus U.S. Treasury Bond Index is an unmanaged index
comprised of U.S. Treasury bonds with 20-year or longer maturities. The total
return of the index does not include the effect of sales charges, and you cannot
invest directly in an index. Had the index incurred operating expenses, its
performance would have been lower.
(5) The iMoneyNet Taxable Money Fund Average is an average of money market
funds whose returns are subject to federal, state and local income taxes. The
yields are higher than those of tax-free funds because of the kinds of
instruments in which taxable funds can invest. You cannot invest directly in an
average.
(6) The ten largest holdings are calculated based on the market value of the
securities divided by total market value of the portfolio.
(7) Portfolio holdings are subject to change.
(8) The chart compares the performance of the Wells Fargo Index Allocation Fund
Class A shares since inception with the S&P 500 Index, the Lehman Brothers
20-Plus U.S. Treasury Bond Index and the iMoneyNet Taxable Money Fund Average.
The chart assumes a hypothetical $10,000 investment in Class A shares and
reflects all operating expenses while assuming the maximum initial sales charge
of 5.75%.
9
<PAGE>
ALLOCATION FUNDS PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
MODERATE BALANCED FUND
INVESTMENT OBJECTIVE
--------------------------------------------------------------------------------
The Wells Fargo Moderate Balanced Fund (the Fund) seeks to provide a
combination of current income and capital appreciation by diversified
investments in stocks, bonds and other fixed-income securities.
ADVISOR
Wells Fargo Bank, N.A.
SUB-ADVISORS
Wells Capital Management
Peregrine Capital Management
Smith Asset Management Group
Schroder Investment Management North America
Galliard Capital Management
FUND MANAGER
Collectively Managed
INCEPTION DATE
04/30/89
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
The Fund's Institutional Class shares returned 9.72%(1) for the six-month
period ended March 31, 2000. The Fund underperformed its peer group, the
Lipper Balanced Funds Average(2), which returned 10.51% during the period. The
Fund's Institutional Class shares distributed $0.83 per share in dividend
income and $1.25 in capital gains during the period. Please keep in mind past
performance is no guarantee of future results.
The bond market withstood a barrage of influences late in the period with
very mixed results. The only sector to appreciate substantially was long-term
U.S. Treasuries. Driven by investor confidence in the economy and the
inception of a government-sponsored buy-back program, long Treasuries rallied.
The Fund also benefited from the decline in medium- and long-term interest
rates, longer duration, broad diversification among the spread sectors and the
shorter spread duration of the corporate bond holdings. The Fund's diversified
holdings across the mortgage-backed, asset-backed, corporate and taxable
municipal sectors contributed to the Fund's performance during the period.
Driven by excitement over "New Economy" companies, small-cap growth stocks
outperformed most other segments of the U.S. market over the six months ended
March 31, 2000. Technology, telecommunications and media stocks rose to new
highs in the fourth quarter of 1999 and in the first two months of 2000. To a
large extent, the dominance of these companies was a global phenomenon. "New
Economy" stocks in Europe, Japan and elsewhere led their respective markets.
Technology, biotechnology and some media stocks subsequently declined in
March, but their gains in late 1999 and early 2000 enabled them to stay ahead
of other areas of the market for the reporting period.
In this environment, the Fund's diversification contributed to its
performance. The relative weakness of the Fund's large-cap value stocks was
offset in part by its small-cap growth positions and international component.
Besides "New Economy" stocks, many international markets were fueled by
positive economic trends.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
Continued monetary tightening by the Federal Reserve Board is expected for
the remainder of the year, at least until evidence of an economic slowdown
materializes. Interest rates should not have a material impact on relative
performance as the Fund does not attempt to add value by timing the market.
The Fund will continue to focus on the selection of undervalued securities and
sectors on a strategically diversified basis while maintaining a controlled
duration around the one-year Treasury bill.
--------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund's manager has waived all or a portion of its
management fees or assumed responsibility for other expenses pursuant to a
contract with the Fund, which reduces operating expenses and increases total
return to shareholders. Without these reductions the Fund's returns would have
been lower. The contract's minimum period is through November 8, 2000, and
continues thereafter unless the Board of Trustees acts to alter or remove the
waivers.
Performance shown for the Institutional Class shares of the Wells Fargo
Moderate Balanced Fund for periods prior to November 8, 1999, reflects
performance of the Institutional Class shares of the Norwest Advantage Moderate
Balanced Fund, its predecessor fund. Effective at the close of business
November 5, 1999, the Norwest Advantage Funds were reorganized into the Wells
Fargo Funds. Performance of the Institutional Class shares of the Fund, prior to
November 11, 1994, reflects the performance of a collective investment fund
adjusted to reflect Institutional Class expenses. Norwest Bank Minnesota, N.A.
managed the collective investment fund with an investment objective and
principal investment strategy that were substantially similar to those of the
Fund. The performance for the Fund includes performance of its predecessor
collective investment fund for periods before it became a mutual fund on
November 11, 1994. The collective investment fund's performance was adjusted to
reflect the Fund's 1994 estimate of its expense ratio for the first year of
operations as a mutual fund, including any applicable sales load (without giving
effect to any fee waivers or expense reimbursements). The collective investment
fund was not registered under the Investment Company Act of 1940 ("1940 Act")
nor subject to certain investment limitations, diversification requirements, and
other restrictions imposed by the 1940 Act or the Internal Revenue Code which,
if applicable, may have adversely affected the performance results.
Institutional Class shares are sold without sales charges.
(2) Source: Lipper Analytical Services, Inc. The Lipper Balanced Funds Average
is an average of funds whose primary objective is to conserve principal by
maintaining at all times a balanced portfolio of both stocks and bonds. The
total return of the average does not include the effect of sales charges, and
you cannot invest directly in an average. Had the average incurred operating
expenses, its performance would have been lower.
10
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF MARCH 31, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Excluding Sales Charge
-----------------------------------
6-Month* 1-Year 5-Year 10-Year
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS 9.72 10.96 13.79 11.32
BENCHMARK
LIPPER BALANCED FUNDS
AVERAGE 10.51 10.48 15.34 12.39
LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT/CORPORATE
INDEX(3) 1.56 2.09 6.50 7.44
S&P 500 INDEX(4) 17.51 17.94 26.76 18.84
</TABLE>
* Returns for periods less than one year are not annualized.
DIVERSIFIED EQUITY STYLE CHARACTERISTICS
(AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA* 0.93
DIVIDEND YIELD 1.19%
P/E (TRAILING 12 MO.) 31.9X
P/B 5.6X
MEDIAN MARKET CAP. ($B) 20.7
NUMBER OF HOLDINGS 1449
PORTFOLIO TURNOVER 40%
</TABLE>
* A measure of a fund's sensitivity to market movements. The benchmark beta is
1.00 by definition.
DIVERSIFIED BOND STYLE CHARACTERISTICS
(AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
AVERAGE CREDIT QUALITY(6) AA
AVERAGE MATURITY 15.3 YEARS
DURATION 7.6 YEARS
SEC YIELD(7) AS OF 3/31/00 6.32%
</TABLE>
TEN LARGEST HOLDINGS(5) (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
U.S. TREASURY BOND, 6.13% 3.32%
U.S. TREASURY BOND, 6.63% 3.12%
U.S. TREASURY BOND, 5.25% 2.37%
U.S. TREASURY BOND, 6.75% 2.27%
U.S. TREASURY BOND, 6.38% 2.23%
U.S. TREASURY BOND, 5.50% 2.04%
FNMA 7.13%, 1.20%
CISCO SYSTEMS, INCORPORATED 1.18%
MICROSOFT CORPORATION 1.05%
INTEL CORPORATION 0.95%
</TABLE>
STRATEGIC ALLOCATION(8) (AS OF MARCH 31, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Diversified Bond Style 45%
Diversified Equity Style 40%
Stable Income Style 15%
</TABLE>
GROWTH OF $10,000 INVESTMENT(9)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO MODERATE LEHMAN BROTHERS INTERMEDIATE
BALANCED FUND-CLASS I S&P 500 INDEX GOVERNMENT/CORPORATE INDEX
<S> <C> <C> <C>
3/90 $10,000 $10,000 $10,000
4/90 $9,946 $9,751 $9,965
5/90 $10,456 $10,701 $10,184
6/90 $10,580 $10,629 $10,321
7/90 $10,583 $10,595 $10,464
8/90 $10,181 $9,637 $10,421
9/90 $9,978 $9,168 $10,501
10/90 $10,041 $9,129 $10,623
11/90 $10,322 $9,719 $10,785
12/90 $10,497 $9,990 $10,933
1/91 $10,803 $10,425 $11,044
2/91 $11,173 $11,171 $11,132
3/91 $11,349 $11,441 $11,208
4/91 $11,390 $11,468 $11,330
5/91 $11,648 $11,963 $11,399
6/91 $11,423 $11,415 $11,407
7/91 $11,729 $11,947 $11,535
8/91 $11,957 $12,230 $11,755
9/91 $12,010 $12,026 $11,958
10/91 $12,182 $12,187 $12,094
11/91 $12,075 $11,696 $12,233
12/91 $12,681 $13,034 $12,532
1/92 $12,643 $12,791 $12,417
2/92 $12,684 $12,957 $12,466
3/92 $12,565 $12,705 $12,417
4/92 $12,677 $13,078 $12,527
5/92 $12,828 $13,142 $12,721
6/92 $12,795 $12,946 $12,909
7/92 $12,938 $13,475 $13,166
8/92 $12,920 $13,199 $13,298
9/92 $13,061 $13,354 $13,478
10/92 $13,047 $13,400 $13,303
11/92 $13,309 $13,857 $13,253
12/92 $13,446 $14,027 $13,430
1/93 $13,484 $14,144 $13,691
2/93 $13,488 $14,337 $13,907
3/93 $13,739 $14,639 $13,963
4/93 $13,650 $14,285 $14,074
5/93 $13,853 $14,668 $14,043
6/93 $13,925 $14,711 $14,264
7/93 $13,995 $14,651 $14,298
8/93 $14,381 $15,207 $14,525
9/93 $14,447 $15,091 $14,585
10/93 $14,575 $15,403 $14,624
11/93 $14,398 $15,256 $14,543
12/93 $14,637 $15,440 $14,609
1/94 $14,928 $15,965 $14,772
2/94 $14,708 $15,532 $14,553
3/94 $14,338 $14,855 $14,313
4/94 $14,397 $15,045 $14,216
5/94 $14,439 $15,292 $14,225
6/94 $14,244 $14,917 $14,227
7/94 $14,522 $15,407 $14,432
8/94 $14,844 $16,039 $14,477
9/94 $14,696 $15,647 $14,343
10/94 $14,037 $15,999 $14,342
11/94 $14,580 $15,416 $14,277
12/94 $14,699 $15,644 $14,327
1/95 $14,819 $16,050 $14,568
2/95 $15,091 $16,675 $14,870
3/95 $15,313 $17,166 $14,954
4/95 $15,526 $17,671 $15,140
5/95 $15,892 $18,376 $15,597
6/95 $16,182 $18,803 $15,701
7/95 $16,514 $19,426 $15,703
8/95 $16,591 $19,474 $15,846
9/95 $16,923 $20,296 $15,960
10/95 $16,906 $20,223 $16,137
11/95 $17,230 $21,110 $16,349
12/95 $17,398 $21,517 $16,520
1/96 $17,639 $22,248 $16,662
2/96 $17,630 $22,455 $16,467
3/96 $17,710 $22,671 $16,383
4/96 $17,907 $23,004 $16,326
5/96 $18,094 $23,595 $16,313
6/96 $18,148 $23,685 $16,486
7/96 $17,790 $22,638 $16,535
8/96 $17,960 $23,116 $16,549
9/96 $18,469 $24,415 $16,779
10/96 $18,656 $25,089 $17,076
11/96 $19,263 $26,983 $17,301
12/96 $19,156 $26,449 $17,190
1/97 $19,588 $28,099 $17,257
2/97 $19,607 $28,321 $17,290
3/97 $19,184 $27,160 $17,171
4/97 $19,653 $28,779 $17,373
5/97 $20,273 $30,537 $17,518
6/97 $20,780 $31,896 $17,677
7/97 $21,719 $34,432 $18,036
8/97 $21,090 $32,503 $17,946
9/97 $21,804 $34,281 $18,154
10/97 $21,654 $33,136 $18,355
11/97 $21,945 $34,671 $18,396
12/97 $23,492 $35,267 $18,543
1/98 $23,798 $35,655 $18,786
2/98 $24,475 $38,226 $18,771
3/98 $24,966 $40,183 $18,831
4/98 $25,184 $40,593 $18,925
5/98 $25,086 $39,894 $19,063
6/98 $25,588 $41,514 $19,185
7/98 $25,392 $41,074 $19,252
8/98 $24,093 $35,139 $19,555
9/98 $24,889 $37,391 $20,045
10/98 $25,697 $40,431 $20,025
11/98 $26,549 $42,881 $20,023
12/98 $27,426 $45,351 $20,103
1/99 $27,949 $47,261 $20,214
2/99 $27,321 $45,786 $19,917
3/99 $27,833 $47,618 $20,066
4/99 $28,369 $49,460 $20,128
5/99 $28,101 $48,293 $19,973
6/99 $28,694 $50,920 $19,987
7/99 $28,450 $49,330 $19,969
8/99 $28,322 $49,086 $19,985
9/99 $28,147 $47,741 $20,171
10/99 $28,706 $50,763 $20,224
11/99 $29,114 $51,793 $20,248
12/99 $29,627 $54,844 $20,181
1/00 $29,348 $52,091 $20,107
2/00 $29,767 $51,106 $20,271
3/00 $30,884 $56,104 $20,482
</TABLE>
--------------------------------------------------------------------------------
(3) The Lehman Brothers Intermediate Government/Corporate Index is an index
based on all publicly held intermediate government and corporate debt securities
with an average maturity of 4-5 years. The index represents asset types which
are subject to risk, including loss of principal. The total return of the index
does not include the effect of sales charges, and you cannot invest directly in
an index. Had the index incurred operating expenses, its performance would have
been lower.
(4) The S&P 500 Index is an unmanaged index of 500 widely-held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
You cannot invest directly in an index.
(5) The ten largest holdings are calculated based on the market value of the
securities divided by total market value of the portfolio.
(6) The average credit rating is compiled from ratings from Standards & Poor's
and/or Moody's Investors Service (together "rating agencies"). Standard & Poor's
is a trademark of McGraw-Hill, Inc., and has been licensed. The Fund is not
sponsored, sold or promoted by these rating agencies and these rating agencies
make no representation regarding the advisability of investing in the Fund.
(7) The formula used to calculate the SEC yield is described in detail in the
Fund's Statement of Additional Information, and is designed to standardize the
yield calculations so that all mutual fund companies with the same or similar
portfolios quote a uniform yield figure for their non-money market
advertisements. SEC yields include the actual amount of interest earned adjusted
by any gain or loss realized due to the return of principal, less expenses and
the maximum offering price calculated on a 30-day month-end basis.
(8) Portfolio holdings are subject to change.
(9) The chart compares the performance of the Wells Fargo Moderate Balanced
Fund Institutional Class shares since inception with the S&P 500 Index and the
Lehman Brothers Intermediate Government/Corporate Index. The chart assumes a
hypothetical $10,000 investment in Institutional Class shares and reflects all
operating expenses.
11
<PAGE>
ALLOCATION FUNDS PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
STRATEGIC INCOME FUND
INVESTMENT OBJECTIVE
--------------------------------------------------------------------------------
The Wells Fargo Strategic Income Fund (the Fund) seeks to provide a
combination of current income and capital appreciation by diversified
investments in bonds, other fixed-income securities and stocks.
ADVISOR
Wells Fargo Bank, N.A.
SUB-ADVISORS
Wells Capital Management
Peregrine Capital Management
Smith Asset Management Group
Schroder Investment Management North America
Galliard Capital Management
FUND MANAGER
Collectively Managed
INCEPTION DATE
04/30/89
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
The Fund's Institutional Class shares returned 6.57%(1) for the six-month
period ended March 31, 2000. The Fund outperformed its peer group, the Lipper
General Bond Funds Average(2), which returned 3.56% during the period. The
Fund's Institutional Class shares distributed $0.88 per share in dividend
income and $0.54 in capital gains during the period. Please keep in mind past
performance is no guarantee of future results.
The bond market withstood a barrage of influences late in the period with
very mixed results. The only sector to appreciate substantially was long-term
U.S. Treasuries. Driven by investor confidence in the economy and the
inception of a government-sponsored buy-back program, long Treasuries rallied.
The Fund also benefited from the decline in medium- and long-term interest
rates, longer duration, broad diversification among the spread sectors and the
shorter spread duration of the corporate bond holdings. The Fund's diversified
holdings across the mortgage-backed, asset-backed, corporate and taxable
municipal sectors contributed to the Fund's performance during the period.
Driven by excitement over "New Economy" companies, small-cap growth stocks
outperformed most other segments of the U.S. market over the six months ended
March 31, 2000. Technology, telecommunications and media stocks rose to new
highs in the fourth quarter of 1999 and in the first two months of 2000. To a
large extent, the dominance of these companies was a global phenomenon. "New
Economy" stocks in Europe, Japan and elsewhere led their respective markets.
Technology, biotechnology and some media stocks subsequently declined in
March, but their gains in late 1999 and early 2000 enabled them to stay ahead
of other areas of the market for the reporting period.
In this environment, the relative weakness of the Fund's large-cap value
stocks was offset in part by its small-cap growth positions and international
component. Besides "New Economy" stocks, many international markets were
fueled by positive economic trends.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
Continued monetary tightening by the Federal Reserve Board is expected for
the remainder of the year, at least until evidence of an economic slowdown
materializes. Interest rates should not have a material impact on relative
performance as the Fund does not attempt to add value by timing the market.
The Fund will continue to focus on the selection of undervalued securities and
sectors on a strategically diversified basis while maintaining a controlled
duration around the one-year Treasury bill.
--------------------------------------------------------------------------------
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund's manager has waived all or a portion of its
management fees or assumed responsibility for other expenses pursuant to a
contract with the Fund, which reduces operating expenses and increases total
return to shareholders. Without these reductions the Fund's returns would have
been lower. The contract's minimum period is through November 8, 2000, and
continues thereafter unless the Board of Trustees acts to alter or remove the
waivers.
Performance shown for the Institutional Class shares of the Wells Fargo
Strategic Income Fund for periods prior to November 8, 1999, reflects
performance of the Institutional Class shares of the Norwest Advantage Strategic
Income Fund, its predecessor fund. Effective at the close of business November
5, 1999, the Norwest Advantage Funds were reorganized into the Wells Fargo
Funds. Institutional Class shares are sold without sales charges.
(2) Source: Lipper Analytical Services, Inc. The Lipper General Bond Funds
Average is an average of funds that do not have any quality or maturity
portfolios. The total return of the Lipper average does not include the effect
of sales charges, and you cannot invest directly in an average. Had the average
incurred operating expenses, its performance would have been lower.
12
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF MARCH 31, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Excluding Sales Charge
-----------------------------------
6-Month* 1-Year 5-Year 10-Year
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS 6.57 7.65 10.56 9.29
BENCHMARK
LIPPER GENERAL BOND FUNDS
AVERAGE 3.56 3.06 7.61 8.19
LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT/CORPORATE
INDEX(3) 1.56 2.09 6.50 7.44
S&P 500 INDEX(4) 17.51 17.94 26.76 18.84
</TABLE>
* Returns for periods less than one year are not annualized.
DIVERSIFIED EQUITY STYLE CHARACTERISTICS (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA* 0.93
DIVIDEND YIELD 1.19%
P/E (TRAILING 12 MO.) 31.9X
P/B 5.6X
MEDIAN MARKET CAP. ($B) 20.7
NUMBER OF HOLDINGS 1449
PORTFOLIO TURNOVER 40%
</TABLE>
* A measure of a fund's sensitivity to market movements. The benchmark beta is
1.00 by definition.
DIVERSIFIED BOND STYLE CHARACTERISTICS
(AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
AVERAGE CREDIT QUALITY(6) AA
AVERAGE MATURITY 15.3 YEARS
DURATION 7.6 YEARS
SEC YIELD(7) AS OF 3/31/00 6.32%
</TABLE>
TEN LARGEST HOLDINGS(5) (AS OF MARCH 31, 2000)
----------------------------------------------
<TABLE>
<S> <C>
U.S. TREASURY BOND, 6.13% 4.09%
U.S. TREASURY BOND, 6.63% 3.84%
U.S. TREASURY BOND, 5.25% 2.92%
U.S. TREASURY BOND, 6.75% 2.80%
U.S. TREASURY BOND, 6.38% 2.74%
U.S. TREASURY BOND, 5.50% 2.52%
FNMA 7.13%, 1.48%
FNMA 5.38%, 1.33%
GNMA 7.00%, 0.80%
FNMA 7.50%, 0.80%
</TABLE>
STRATEGIC ALLOCATION(8) (AS OF MARCH 31, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Diversified Bond Style 55%
Stable Income Style 25%
Diversified Equity Style 20%
</TABLE>
GROWTH OF $10,000 INVESTMENT(9)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO STRATEGIC INCOME FUND - CLASS I S&P 500 INDEX LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE INDEX
<S> <C> <C> <C>
3.31.1990 $10,000 $10,000 $10,000
4.30.1990 $9,969 $9,751 $9,965
5.31.1990 $10,331 $10,701 $10,184
6.30.1990 $10,453 $10,629 $10,321
7.31.1990 $10,483 $10,595 $10,464
8.31.1990 $10,233 $9,637 $10,421
9.30.1990 $10,138 $9,168 $10,501
10.31.1990 $10,205 $9,129 $10,623
11.30.1990 $10,427 $9,719 $10,785
12.31.1990 $10,567 $9,990 $10,933
1.31.1991 $10,800 $10,425 $11,044
2.28.1991 $11,068 $11,171 $11,132
3.31.1991 $11,218 $11,441 $11,208
4.30.1991 $11,271 $11,468 $11,330
5.31.1991 $11,462 $11,963 $11,399
6.30.1991 $11,329 $11,415 $11,407
7.31.1991 $11,557 $11,947 $11,535
8.31.1991 $11,750 $12,230 $11,755
9.30.1991 $11,822 $12,026 $11,958
10.31.1991 $11,964 $12,187 $12,094
11.30.1991 $11,920 $11,696 $12,233
12.31.1991 $12,354 $13,034 $12,532
1.31.1992 $12,336 $12,791 $12,417
2.29.1992 $12,382 $12,957 $12,466
3.31.1992 $12,313 $12,705 $12,417
4.30.1992 $12,409 $13,078 $12,527
5.31.1992 $12,543 $13,142 $12,721
6.30.1992 $12,571 $12,946 $12,909
7.31.1992 $12,654 $13,475 $13,166
8.31.1992 $12,677 $13,199 $13,298
9.30.1992 $12,811 $13,354 $13,478
10.31.1992 $12,786 $13,400 $13,303
11.30.1992 $12,978 $13,857 $13,253
12.31.1992 $13,101 $14,027 $13,430
1.31.1993 $13,142 $14,144 $13,691
2.28.1993 $13,165 $14,337 $13,907
3.31.1993 $13,352 $14,639 $13,963
4.30.1993 $13,315 $14,285 $14,074
5.31.1993 $13,455 $14,668 $14,043
6.30.1993 $13,545 $14,711 $14,264
7.31.1993 $13,607 $14,651 $14,298
8.31.1993 $13,912 $15,207 $14,525
9.30.1993 $13,976 $15,091 $14,585
10.31.1993 $14,074 $15,403 $14,624
11.30.1993 $13,942 $15,256 $14,543
12.31.1993 $14,118 $15,440 $14,609
1.31.1994 $14,342 $15,965 $14,772
2.28.1994 $14,167 $15,532 $14,553
3.31.1994 $13,919 $14,855 $14,313
4.30.1994 $13,953 $15,045 $14,216
5.31.1994 $13,971 $15,292 $14,225
6.30.1994 $13,870 $14,917 $14,227
7.31.1994 $14,072 $15,407 $14,432
8.31.1994 $14,259 $16,039 $14,477
9.30.1994 $14,166 $15,647 $14,343
10.31.1994 $14,215 $15,999 $14,342
11.30.1994 $14,099 $15,416 $14,277
12.31.1994 $14,187 $15,644 $14,327
1.31.1995 $14,318 $16,050 $14,568
2.28.1995 $14,546 $16,675 $14,870
3.31.1995 $14,712 $17,166 $14,954
4.30.1995 $14,878 $17,671 $15,140
5.31.1995 $15,202 $18,376 $15,597
6.30.1995 $15,394 $18,803 $15,701
7.31.1995 $15,578 $19,426 $15,703
8.31.1995 $15,674 $19,474 $15,846
9.30.1995 $15,910 $20,296 $15,960
10.31.1995 $15,928 $20,223 $16,137
11.30.1995 $16,172 $21,110 $16,349
12.31.1995 $16,330 $21,517 $16,520
1.31.1996 $16,496 $22,248 $16,662
2.29.1996 $16,450 $22,455 $16,467
3.31.1996 $16,506 $22,671 $16,383
4.30.1996 $16,617 $23,004 $16,326
5.31.1996 $16,746 $23,595 $16,313
6.30.1996 $16,811 $23,685 $16,486
7.31.1996 $16,607 $22,638 $16,535
8.31.1996 $16,727 $23,116 $16,549
9.30.1996 $17,088 $24,415 $16,779
10.31.1996 $17,273 $25,089 $17,076
11.30.1996 $17,707 $26,983 $17,301
12.31.1996 $17,636 $26,449 $17,190
1.31.1997 $17,884 $28,099 $17,257
2.28.1997 $17,894 $28,321 $17,290
3.31.1997 $17,606 $27,160 $17,171
4.30.1997 $17,944 $28,779 $17,373
5.31.1997 $18,351 $30,537 $17,518
6.30.1997 $18,699 $31,896 $17,677
7.31.1997 $19,394 $34,432 $18,036
8.31.1997 $18,977 $32,503 $17,946
9.30.1997 $19,474 $34,281 $18,154
10.31.1997 $19,563 $33,136 $18,355
11.30.1997 $19,752 $34,671 $18,396
12.31.1997 $19,969 $35,267 $18,543
1.31.1998 $20,226 $35,655 $18,786
2.28.1998 $20,515 $38,226 $18,771
3.31.1998 $20,762 $40,183 $18,831
4.30.1998 $20,901 $40,593 $18,925
5.31.1998 $20,944 $39,894 $19,063
6.30.1998 $21,265 $41,514 $19,185
7.31.1998 $21,190 $41,074 $19,252
8.31.1998 $20,805 $35,139 $19,555
9.30.1998 $21,340 $37,391 $20,045
10.31.1998 $21,629 $40,431 $20,025
11.30.1998 $22,047 $42,881 $20,023
12.31.1998 $22,453 $45,351 $20,103
1.31.1999 $22,726 $47,261 $20,214
2.28.1999 $22,305 $45,786 $19,917
3.31.1999 $22,578 $47,618 $20,066
4.30.1999 $22,851 $49,460 $20,128
5.31.1999 $22,714 $48,293 $19,973
6.30.1999 $22,942 $50,920 $19,987
7.31.1999 $22,851 $49,330 $19,969
8.31.1999 $22,794 $49,086 $19,985
9.30.1999 $22,805 $47,741 $20,171
10.31.1999 $23,055 $50,763 $20,224
11.30.1999 $23,237 $51,793 $20,248
12.31.1999 $23,449 $54,844 $20,181
1.31.2000 $23,351 $52,091 $20,107
2.29.2000 $23,681 $51,106 $20,271
3.31.2000 $24,304 $56,104 $20,482
</TABLE>
--------------------------------------------------------------------------------
(3) The Lehman Brothers Intermediate Government/Corporate Index is an index
based on all publicly held intermediate government and corporate debt securities
with an average maturity of 4-5 years. The index represents asset types which
are subject to risk, including loss of principal. The total return of the index
does not include the effect of sales charges, and you cannot invest directly in
an index. Had the index incurred operating expenses, its performance would have
been lower.
(4) The S&P 500 Index is an unmanaged index of 500 widely-held common stocks
representing, among others, industrial, financial, utility and transportation
companies listed or traded on national exchanges or over-the-counter markets.
The Fund is a professionally managed mutual fund. You cannot invest directly in
an index.
(5) The ten largest holdings are calculated based on the market value of the
securities divided by total market value of the portfolio.
(6) The average credit rating is compiled from ratings from Standards & Poor's
and/or Moody's Investors Service (together "rating agencies"). Standard & Poor's
is a trademark of McGraw-Hill, Inc., and has been licensed. The Fund is not
sponsored, sold or promoted by these rating agencies and these rating agencies
make no representation regarding the advisability of investing in the Fund.
(7) The formula used to calculate the SEC yield is described in detail in the
Fund's Statement of Additional Information, and is designed to standardize the
yield calculations so that all mutual fund companies with the same or similar
portfolios quote a uniform yield figure for their non-money market
advertisements. SEC yields include the actual amount of interest earned adjusted
by any gain or loss realized due to the return of principal, less expenses and
the maximum offering price calculated on a 30-day month-end basis.
(8) Portfolio holdings are subject to change.
(9) The chart compares the performance of the Wells Fargo Strategic Income Fund
Institutional Class shares since inception with the S&P 500 Index and the Lehman
Brothers Intermediate Government/Corporate Index. The chart assumes a
hypothetical $10,000 investment in Institutional Class shares and reflects all
operating expenses.
13
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
AGGRESSIVE BALANCED-EQUITY FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
N/A WELLS FARGO DISCIPLINED GROWTH
PORTFOLIO $ 3,046,094
N/A WELLS FARGO INCOME EQUITY
PORTFOLIO 15,292,895
N/A WELLS FARGO INDEX PORTFOLIO 15,181,131
N/A WELLS FARGO INTERNATIONAL
EQUITY PORTFOLIO 3,828,995
N/A WELLS FARGO INTERNATIONAL
PORTFOLIO 4,995,748
N/A WELLS FARGO LARGE COMPANY
GROWTH PORTFOLIO 12,137,197
N/A WELLS FARGO MANAGED FIXED
INCOME PORTFOLIO 7,314,975
N/A WELLS FARGO POSITIVE RETURN
BOND PORTFOLIO 4,921,310
N/A WELLS FARGO SMALL CAP INDEX
PORTFOLIO 1,436,327
N/A WELLS FARGO SMALL CAP VALUE
PORTFOLIO 1,515,479
N/A WELLS FARGO SMALL COMPANY
GROWTH PORTFOLIO 1,471,106
N/A WELLS FARGO SMALL COMPANY
VALUE PORTFOLIO 1,533,828
N/A WELLS FARGO STRATEGIC VALUE
BOND PORTFOLIO 2,437,470
75,112,555
TOTAL INVESTMENTS IN CORE PORTFOLIOS
(98.56%) (COST $65,933,782)
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
U.S. TREASURY BILLS (1.09%)
$840,000 U.S. TREASURY BILLS 5.36%{::} 5/25/00 833,137
-----------
833,137
TOTAL U.S. TREASURY BILLS (COST $833,496)
-----------
75,945,692
TOTAL INVESTMENTS (99.65%) (COST
$65,933,782)
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES
(COST $66,767,278)* 99.65% $75,945,692
OTHER ASSETS AND LIABILITIES, NET 0.35 263,345
------- -----------
TOTAL NET ASSETS 100.00% $76,209,037
------- -----------
</TABLE>
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $9,178,773
GROSS UNREALIZED DEPRECIATION (359)
---------
NET UNREALIZED APPRECIATION $9,178,414
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
14
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
COMMON STOCK - 61.30%
AGRICULTURAL PRODUCTION-CROPS - 0.02%
31,362 NABISCO GROUP HOLDINGS CORPORATION $ 376,344
--------------------
AMUSEMENT & RECREATION SERVICES - 0.01%
12,477 HARRAH'S ENTERTAINMENT INCORPORATED+ 231,604
--------------------
APPAREL & ACCESSORY STORES - 0.35%
81,536 GAP INCORPORATED 4,061,512
15,551 KOHL'S CORPORATION+ 1,593,977
20,582 LIMITED INCORPORATED 867,017
13,024 NORDSTROM INCORPORATED 384,208
6,906,714
--------------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS - 0.03%
5,667 LIZ CLAIBORNE INCORPORATED 259,619
11,391 V.F. CORPORATION 274,096
533,715
--------------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.02%
13,239 AUTOZONE INCORPORATED+ 367,382
--------------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.01%
6,204 RYDER SYSTEM INCORPORATED 140,753
--------------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS - 0.02%
5,732 CENTEX CORPORATION 136,493
4,177 KAUFMAN & BROAD HOME CORPORATION 89,544
4,217 PULTE CORPORATION 88,030
314,067
--------------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS - 0.84%
220,555 HOME DEPOT INCORPORATED 14,225,797
36,634 LOWE'S COMPANIES INCORPORATED 2,138,510
15,951 SHERWIN-WILLIAMS COMPANY 349,925
16,714,232
--------------------
BUSINESS SERVICES - 7.08%
32,819 3COM CORPORATION+ 1,825,557
11,369 ADOBE SYSTEMS INCORPORATED 1,265,512
218,550 AMERICA ONLINE INCORPORATED+ 14,697,488
5,470 AUTODESK INCORPORATED 248,885
60,447 AUTOMATIC DATA PROCESSING INCORPORATED 2,916,568
23,356 BMC SOFTWARE INCORPORATED+ 1,153,203
17,411 CABLETRON SYSTEMS INCORPORATED+ 510,360
67,697 CENDANT CORPORATION+ 1,252,395
13,839 CERIDIAN CORPORATION+ 265,536
17,109 CITRIX SYSTEMS INCORPORATED 1,133,471
51,936 COMPUTER ASSOCIATES INTERNATIONAL INCORPORATED 3,073,962
15,966 COMPUTER SCIENCES CORPORATION+ 1,263,310
34,593 COMPUWARE CORPORATION+ 728,615
</TABLE>
15
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
BUSINESS SERVICES (continued)
7,154 DELUXE CORPORATION $ 189,581
45,036 ELECTRONIC DATA SYSTEMS CORPORATION 2,890,748
13,556 EQUIFAX INCORPORATED 342,289
40,251 FIRST DATA CORPORATION 1,781,107
29,585 IMS HEALTH INCORPORATED 501,096
26,955 INTERPUBLIC GROUP OF COMPANIES INCORPORATED 1,273,624
498,478 MICROSOFT CORPORATION+ 52,963,288
8,731 NCR CORPORATION+ 350,331
31,391 NOVELL INCORPORATED+ 898,567
16,995 OMNICOM GROUP INCORPORATED 1,587,970
270,182 ORACLE CORPORATION+ 21,091,082
26,107 PARAMETRIC TECHNOLOGY COMPANY+ 549,879
25,392 PEOPLESOFT INCORPORATED+ 507,840
2,572 SHARED MEDICAL SYSTEMS CORPORATION 133,423
151,189 SUN MICROSYSTEMS INCORPORATED+ 14,166,878
29,806 UNISYS CORPORATION+ 760,053
9,236 VERITAS SOFTWARE CORPORATION+ 1,209,916
50,445 YAHOO! INCORPORATED+ 8,645,010
6,123 YOUNG & RUBICAM INCORPORATED 287,781
140,465,325
--------------------
CHEMICALS & ALLIED PRODUCTS - 5.75%
147,281 ABBOTT LABORATORIES 5,182,450
22,009 AIR PRODUCTS AND CHEMICALS INCORPORATED 625,881
5,453 ALBERTO CULVER COMPANY 129,849
9,889 ALZA CORPORATION+ 371,455
125,106 AMERICAN HOME PRODUCTS CORPORATION 6,708,809
97,912 AMGEN INCORPORATED+ 6,009,349
10,882 AVERY DENNISON CORPORATION 664,482
23,206 AVON PRODUCTS INCORPORATED 674,424
14,331 BIOGEN INCORPORATED+ 1,001,378
189,934 BRISTOL-MYERS SQUIBB COMPANY 10,968,689
22,644 CLOROX COMPANY 735,930
55,865 COLGATE-PALMOLIVE COMPANY 3,149,389
20,975 DOW CHEMICAL COMPANY 2,391,150
100,065 E.I. DU PONT DE NEMOURS & COMPANY 5,290,935
7,583 EASTMAN CHEMICAL COMPANY 345,027
12,489 ECOLAB INCORPORATED 458,190
104,468 ELI LILLY & COMPANY 6,581,484
2,935 FMC CORPORATION+ 165,828
102,707 GILLETTE COMPANY 3,870,770
5,616 GREAT LAKES CHEMICAL CORPORATION 190,944
10,127 INTERNATIONAL FLAVORS & FRAGRANCES INCORPORATED 355,078
223,911 MERCK & COMPANY INCORPORATED 13,910,471
60,866 MONSANTO COMPANY+ 3,134,599
34,630 OCCIDENTAL PETROLEUM CORPORATION 718,573
370,813 PFIZER INCORPORATED 13,557,850
50,166 PHARMACIA & UPJOHN INCORPORATED 2,972,336
</TABLE>
16
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
16,594 PPG INDUSTRIES INCORPORATED $ 868,074
15,204 PRAXAIR INCORPORATED 632,867
126,123 PROCTER & GAMBLE COMPANY 7,094,419
21,024 ROHM & HAAS COMPANY 938,196
140,758 SCHERING-PLOUGH CORPORATION 5,172,857
9,756 SIGMA ALDRICH 262,193
12,846 UNION CARBIDE CORPORATION 749,082
82,245 WARNER-LAMBERT COMPANY 8,018,887
9,242 WATSON PHARMACEUTICALS INCORPORATED+ 366,792
7,024 W.R. GRACE & COMPANY+ 89,117
114,357,804
--------------------
COAL MINING - 0.00%
0 ARCH COAL INCORPORATED 2
--------------------
COMMUNICATIONS - 5.40%
30,062 ALLTEL CORPORATION 1,895,785
306,032 AT&T CORPORATION 17,214,300
148,720 BELL ATLANTIC CORPORATION 9,090,510
180,390 BELLSOUTH CORPORATION 8,478,330
73,032 CBS CORPORATION+ 4,135,437
13,509 CENTURYTEL INCORPORATED 501,522
32,500 CLEAR CHANNEL COMMUNICATIONS INCORPORATED+ 2,244,531
88,769 COMCAST CORPORATION CLASS A+ 3,850,355
74,717 GLOBAL CROSSING LIMITED+ 3,058,727
93,162 GTE CORPORATION 6,614,502
271,871 MCI WORLDCOM INCORPORATED+ 12,319,155
58,630 MEDIAONE GROUP INCORPORATED+ 4,749,030
34,901 NEXTEL COMMUNICATIONS INCORPORATED+ 5,174,073
326,734 SBC COMMUNICATIONS INCORPORATED 13,722,828
83,474 SPRINT CORPORATION (FON GROUP) 5,258,862
82,549 SPRINT CORPORATION (PCS GROUP)+ 5,391,482
48,395 US WEST INC. 3,514,687
107,214,116
--------------------
DEPOSITORY INSTITUTIONS - 4.04%
37,552 AMSOUTH BANCORP 560,933
163,524 BANK OF AMERICA CORPORATION 8,574,790
70,553 BANK OF NEW YORK COMPANY INCORPORATED 2,932,359
109,837 BANK ONE CORPORATION 3,775,647
32,482 BB&T CORPORATION 911,526
78,954 CHASE MANHATTAN CORPORATION 6,883,802
322,949 CITIGROUP INCORPORATED 19,154,913
14,993 COMERICA INCORPORATED 627,832
29,618 FIFTH THIRD BANCORP 1,865,934
94,643 FIRST UNION CORPORATION 3,525,452
94,014 FIRSTAR CORPORATION 2,156,447
87,709 FLEETBOSTON FINANCIAL CORPORATION 3,201,378
</TABLE>
17
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
DEPOSITORY INSTITUTIONS (continued)
15,522 GOLDEN WEST FINANCIAL CORPORATION $ 484,092
20,921 HUNTINGTON BANCSHARES INCORPORATED 468,105
16,525 J.P. MORGAN & COMPANY INCORPORATED 2,177,169
42,900 KEYCORP 815,100
48,755 MELLON FINANCIAL CORPORATION 1,438,273
59,167 NATIONAL CITY CORPORATION 1,220,319
21,269 NORTHERN TRUST CORPORATION 1,436,987
10,898 OLD KENT FINANCIAL CORPORATION 352,142
28,163 PNC FINANCIAL SERVICES GROUP 1,269,095
19,908 REGIONS FINANCIAL CORPORATION 454,151
16,053 SOUTHTRUST CORPORATION 408,348
15,314 STATE STREET CORPORATION 1,483,544
16,778 SUMMIT BANCORP 440,423
30,629 SUNTRUST BANKS INCORPORATED 1,768,825
26,621 SYNOVUS FINANCIAL CORPORATION 502,471
71,279 U.S. BANCORP 1,559,228
13,525 UNION PLANTERS CORPORATION 416,739
19,387 WACHOVIA CORPORATION 1,309,834
55,337 WASHINGTON MUTUAL INCORPORATED 1,466,431
158,124 WELLS FARGO COMPANY # 6,473,200
80,115,489
--------------------
EATING & DRINKING PLACES - 0.29%
12,453 DARDEN RESTAURANTS INCORPORATED 221,819
129,662 MCDONALD'S CORPORATION 4,870,429
14,479 TRICON GLOBAL RESTAURANTS INCORPORATED+ 449,754
11,570 WENDY'S INTERNATIONAL INCORPORATED 233,569
5,775,571
--------------------
ELECTRIC, GAS & SANITARY SERVICES - 1.15%
19,712 AES CORPORATION+ 1,552,320
17,278 ALLIED WASTE INDUSTRIES INCORPORATED+ 113,387
12,556 AMEREN CORPORATION 388,451
18,574 AMERICAN ELECTRIC POWER COMPANY 553,737
15,331 CAROLINA POWER & LIGHT COMPANY 497,299
20,456 CENTRAL & SOUTHWEST CORPORATION 349,031
15,204 CINERGY CORPORATION 326,886
11,208 CMS ENERGY CORPORATION 203,145
7,791 COLUMBIA ENERGY GROUP 461,617
20,932 CONSOLIDATED EDISON INCORPORATED 607,028
14,362 CONSTELLATION ENERGY GROUP 457,789
22,849 DOMINION RESOURCES INCORPORATED 878,270
13,847 DTE ENERGY COMPANY 401,563
35,081 DUKE ENERGY CORPORATION 1,841,753
2,399 EASTERN ENTERPRISES 143,640
33,343 EDISON INTERNATIONAL 552,243
21,835 EL PASO ENERGY CORPORATION 881,588
23,692 ENTERGY CORPORATION 478,282
</TABLE>
18
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
ELECTRIC, GAS & SANITARY SERVICES (continued)
21,711 FIRSTENERGY CORPORATION $ 447,789
9,433 FLORIDA PROGRESS CORPORATION 432,739
17,175 FPL GROUP INCORPORATED 791,123
11,913 GENERAL PUBLIC UTILITIES INCORPORATED 326,118
10,959 NEW CENTURY ENERGIES INCORPORATED 329,455
17,983 NIAGARA MOHAWK HOLDINGS INCORPORATED+ 242,771
4,606 NICOR INCORPORATED 151,710
14,852 NORTHERN STATES POWER COMPANY 295,184
2,999 ONEOK INCORPORATED 74,975
36,892 PACIFIC GAS & ELECTRIC COMPANY 774,732
17,765 PECO ENERGY COMPANY 655,084
3,523 PEOPLE'S ENERGY CORPORATION 96,662
8,155 PINNACLE WEST CAPITAL CORPORATION 229,869
13,768 PPL CORPORATION 288,268
20,937 PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED 620,259
27,559 RELIANT ENERGY INCORPORATED 645,914
19,677 SEMPRA ENERGY 329,590
64,606 SOUTHERN COMPANY 1,405,181
26,489 TEXAS UTILITIES COMPANY 786,392
20,829 UNICOM CORPORATION 760,259
59,467 WASTE MANAGEMENT INCORPORATED 813,955
41,712 WILLIAMS COMPANIES INCORPORATED 1,832,720
23,018,778
--------------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT - 9.41%
9,926 ADAPTEC INCORPORATED+ 383,392
28,791 ADC TELECOMMUNICATIONS INCORPORATED+ 1,551,115
14,064 ADVANCED MICRO DEVICES INCORPORATED+ 802,527
33,504 ANALOG DEVICES INCORPORATED+ 2,699,166
7,830 ANDREW CORPORATION+ 179,111
20,355 CONEXANT SYSTEMS INCORPORATED+ 1,445,205
7,051 EATON CORPORATION 549,978
41,343 EMERSON ELECTRIC COMPANY 2,186,011
314,301 GENERAL ELECTRIC COMPANY 48,775,586
319,987 INTEL CORPORATION 42,218,285
28,547 LSI LOGIC CORPORATION+ 2,073,226
305,306 LUCENT TECHNOLOGIES INCORPORATED 18,547,340
8,179 MAYTAG CORPORATION 270,929
25,886 MICRON TECHNOLOGY INCORPORATED+ 3,261,636
18,466 MOLEX INC 1,084,878
68,006 MOTOROLA INCORPORATED 9,682,354
16,424 NATIONAL SEMICONDUCTOR CORPORATION+ 995,705
4,018 NATIONAL SERVICE INDUSTRIES 84,629
29,192 NETWORK APPLIANCE INCORPORATED+ 2,415,638
138,258 NORTEL NETWORKS CORPORATION 17,420,509
70,727 QUALCOMM INCORPORATED+ 10,560,425
32,468 RAYTHEON COMPANY CLASS B 576,307
15,134 SCIENTIFIC-ATLANTA INCORPORATED 960,063
</TABLE>
19
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT (continued)
0 TELEDYNE TECHNOLOGIES INCORPORATED+ $ 5
38,619 TELLABS INCORPORATED+ 2,432,395
77,834 TEXAS INSTRUMENTS INCORPORATED 12,453,440
5,637 THOMAS & BETTS CORPORATION 159,245
7,202 WHIRLPOOL CORPORATION 422,217
30,757 XILINX INCORPORATED+ 2,547,064
186,738,381
--------------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 0.21%
15,455 DUN & BRADSTREET CORPORATION 442,399
7,323 FLUOR CORPORATION 227,013
42,268 HALLIBURTON COMPANY 1,732,989
23,726 PAYCHEX INCORPORATED 1,242,649
4,524 PERKINELMER INCORPORATED 300,846
9,604 QUINTILES TRANSNATIONAL CORPORATION+ 163,868
4,109,764
--------------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT - 0.23%
2,916 BALL CORPORATION 100,784
9,094 COOPER INDUSTRIES INCORPORATED 318,290
6,433 CRANE COMPANY 151,578
12,214 CROWN CORK & SEAL COMPANY INCORPORATED 195,424
15,738 FORTUNE BRANDS INCORPORATED 393,450
28,505 ILLINOIS TOOL WORKS INCORPORATED 1,574,901
38,084 LOCKHEED MARTIN CORPORATION 778,342
42,818 MASCO CORPORATION 877,769
5,646 SNAP-ON INCORPORATED 147,855
4,538,393
--------------------
FOOD & KINDRED PRODUCTS - 1.72%
3,538 ADOLPH COORS COMPANY 169,161
44,496 ANHEUSER-BUSCH COMPANIES INCORPORATED 2,769,876
58,327 ARCHER DANIELS MIDLAND COMPANY 605,143
26,779 BESTFOODS INCORPORATED 1,253,592
40,981 CAMPBELL SOUP COMPANY 1,260,166
236,613 COCA-COLA COMPANY 11,106,020
40,910 COCA-COLA ENTERPRISES INCORPORATED 882,122
47,237 CONAGRA INCORPORATED 856,171
28,858 GENERAL MILLS INCORPORATED 1,044,299
34,019 HEINZ (H.J.) COMPANY 1,186,413
10,301 HERCULES INCORPORATED 166,104
13,304 HERSHEY FOODS CORPORATION 648,570
38,961 KELLOGG COMPANY 998,376
139,470 PEPSICO INCORPORATED 4,820,432
12,922 QUAKER OATS COMPANY 783,396
29,003 RALSTON-RALSTON PURINA GROUP 793,957
87,144 SARA LEE CORPORATION 1,568,592
41,583 THE SEAGRAM COMPANY LIMITED 2,474,189
</TABLE>
20
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
FOOD & KINDRED PRODUCTS (continued)
11,122 WRIGLEY (WM) JR. COMPANY $ 854,309
34,240,888
--------------------
FOOD STORES - 0.15%
40,628 ALBERTSON'S INCORPORATED 1,259,468
3,750 GREAT ATLANTIC & PACIFIC TEA COMPANY 73,125
79,992 KROGER COMPANY+ 1,404,860
14,032 WINN-DIXIE STORES INCORPORATED 272,747
3,010,200
--------------------
FORESTRY - 0.06%
22,506 WEYERHAEUSER COMPANY 1,282,842
--------------------
FURNITURE & FIXTURES - 0.08%
8,267 JOHNSON CONTROLS INCORPORATED 446,935
18,865 LEGGETT & PLATT INCORPORATED 405,598
27,029 NEWELL RUBBERMAID INCORPORATED 670,656
1,523,189
--------------------
GENERAL MERCHANDISE STORES - 1.63%
10,822 CONSOLIDATED STORES CORPORATION+ 123,100
10,164 DILLARDS INCORPORATED 167,071
24,208 DOLLAR GENERAL CORPORATION 650,590
20,079 FEDERATED DEPARTMENT STORES INCORPORATED+ 838,298
6,933 HARCOURT GENERAL INCORPORATED 258,254
24,996 J.C. PENNEY COMPANY INCORPORATED 371,816
46,751 KMART CORPORATION+ 452,900
31,934 MAY DEPARTMENT STORES COMPANY 910,119
36,325 SEARS, ROEBUCK & COMPANY 1,121,534
41,990 TARGET CORPORATION 3,138,753
29,756 TJX COMPANIES INCORPORATED 660,211
426,628 WAL-MART STORES INCORPORATED 23,677,855
32,370,501
--------------------
HEALTH SERVICES - 0.12%
53,981 COLUMBIA HCA HEALTHCARE CORPORATION 1,366,395
37,277 HEALTHSOUTH CORPORATION+ 207,353
10,050 MANOR CARE INCORPORATED+ 135,675
29,946 TENET HEALTHCARE CORPORATION 688,758
0 WATER PIK TECHNOLOGIES INCORPORATED+ 1
2,398,182
--------------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-CONTRACTORS - 0.00%
5,871 MCDERMOTT INTERNATIONAL INCORPORATED 53,940
--------------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.19%
19,551 BEST BUY COMPANY INCORPORATED+ 1,681,385
19,513 CIRCUIT CITY STORES 1,187,854
</TABLE>
21
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (continued)
18,554 TANDY CORPORATION $ 941,616
3,810,855
--------------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.07%
31,628 HILTON HOTELS CORPORATION 245,117
23,810 MARRIOTT INTERNATIONAL CLASS A 750,015
18,581 MIRAGE RESORTS INCORPORATED+ 360,007
1,355,139
--------------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 7.28%
15,462 APPLE COMPUTER INCORPORATED+ 2,099,933
73,296 APPLIED MATERIALS INCORPORATED+ 6,908,148
31,623 BAKER HUGHES INCORPORATED 956,596
8,439 BLACK & DECKER CORPORATION 316,990
2,222 BRIGGS & STRATTON CORPORATION 91,380
34,146 CATERPILLAR INCORPORATED 1,346,633
655,328 CISCO SYSTEMS INCORPORATED+ 50,665,046
162,289 COMPAQ COMPUTER CORPORATION 4,320,945
7,347 COMVERSE TECHNOLOGY INCORPORATED+ 1,388,583
3,920 CUMMINS ENGINE COMPANY INCORPORATED 147,245
22,473 DEERE & COMPANY 853,974
245,686 DELL COMPUTER CORPORATION+ 13,251,689
19,492 DOVER CORPORATION 933,180
97,513 EMC CORPORATION+ 12,189,125
30,386 GATEWAY INCORPORATED+ 1,610,458
96,341 HEWLETT-PACKARD COMPANY 12,771,204
172,710 IBM CORPORATION 20,379,780
15,631 INGERSOLL-RAND COMPANY 691,672
12,283 LEXMARK INTERNATIONAL GROUP INCORPORATED+ 1,298,927
3,632 MILACRON INCORPORATED 52,437
38,226 MINNESOTA MINING AND MANUFACTURING COMPANY 3,385,390
12,008 PALL CORPORATION 269,430
10,788 PARKER-HANNIFIN 445,679
25,454 PITNEY BOWES INCORPORATED 1,137,476
20,409 SEAGATE TECHNOLOGY INCORPORATED+ 1,229,642
17,759 SILICON GRAPHICS INCORPORATED+ 187,579
56,454 SOLECTRON CORPORATION+ 2,261,688
8,629 STANLEY WORKS 227,590
6,073 TIMKEN COMPANY 98,686
45,457 UNITED TECHNOLOGIES CORPORATION 2,872,313
144,389,418
--------------------
INSURANCE AGENTS, BROKERS & SERVICE - 0.19%
24,629 AON CORPORATION 794,285
16,321 HUMANA INCORPORATED+ 119,347
25,511 MARSH & MCLENNAN COMPANIES INCORPORATED 2,814,182
3,727,814
--------------------
</TABLE>
22
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
INSURANCE CARRIERS - 1.62%
13,743 AETNA LIFE & CASUALTY INCORPORATED $ 765,313
25,495 AFLAC INCORPORATED 1,161,616
77,215 ALLSTATE CORPORATION 1,838,682
23,648 AMERICAN GENERAL CORPORATION 1,327,244
148,356 AMERICAN INTERNATIONAL GROUP INCORPORATED 16,244,982
16,789 CHUBB CORPORATION 1,134,307
16,102 CIGNA CORPORATION 1,219,727
15,149 CINCINNATI FINANCIAL CORPORATION 569,981
31,491 CONSECO INCORPORATED 360,178
21,227 HARTFORD FINANCIAL SERVICES GROUP 1,119,724
10,074 JEFFERSON-PILOT CORPORATION 670,551
18,721 LINCOLN NATIONAL CORPORATION 627,154
9,843 LOEWS CORPORATION 492,150
9,598 MBIA INCORPORATED 499,696
10,232 MGIC INVESTMENT CORPORATION 446,371
7,040 PROGRESSIVE CORPORATION 535,480
12,561 SAFECO CORPORATION 333,652
21,759 ST. PAUL COMPANIES INCORPORATED 742,526
12,735 TORCHMARK CORPORATION 294,497
16,284 UNITED HEALTHCARE CORPORATION 970,934
23,113 UNUMPROVIDENT CORP 392,920
6,119 WELLPOINT HEALTH NETWORKS INCORPORATED+ 427,565
32,175,250
--------------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.04%
16,400 GEORGIA-PACIFIC GROUP 648,825
10,325 LOUISIANA-PACIFIC CORPORATION 143,259
792,084
--------------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL GOODS - 1.13%
12,697 ALLERGAN INCORPORATED 634,850
4,991 BARD (C.R.) INCORPORATED 193,089
5,530 BAUSCH & LOMB INCORPORATED 288,597
27,842 BAXTER INTERNATIONAL INCORPORATED 1,745,345
24,166 BECTON, DICKINSON AND COMPANY 635,868
10,923 BIOMET INCORPORATED 397,324
39,862 BOSTON SCIENTIFIC CORPORATION+ 849,559
13,652 DANAHER CORPORATION 696,252
30,237 EASTMAN KODAK COMPANY 1,642,247
29,418 GUIDANT CORPORATION+ 1,730,146
17,358 KLA-TENCOR CORPORATION+ 1,462,412
6,668 MALLINCKRODT INCORPORATED 191,705
114,394 MEDTRONIC INCORPORATED 5,884,141
4,385 MILLIPORE CORPORATION 247,478
19,761 PE CORP - PE BIOSYSTEMS GROUP 1,906,937
4,381 POLAROID CORPORATION 104,049
8,128 ST. JUDE MEDICAL INCORPORATED+ 209,804
4,518 TEKTRONIX INCORPORATED 253,008
</TABLE>
23
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL GOODS (continued)
16,308 TERADYNE INCORPORATED+ $ 1,341,333
15,210 THERMO ELECTRON CORPORATION+ 309,904
63,700 XEROX CORPORATION 1,656,200
22,380,248
--------------------
METAL MINING - 0.11%
37,866 BARRICK GOLD CORPORATION 594,023
15,784 FREEPORT MCMORAN INCORPORATED CLASS B+ 190,395
24,327 HOMESTAKE MINING COMPANY 145,962
18,419 INCO LIMITED 337,298
16,064 NEWMONT MINING CORPORATION 360,436
7,618 PHELPS DODGE CORPORATION 361,854
31,359 PLACER DOME INCORPORATED 254,792
2,244,760
--------------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS - 0.02%
9,629 VULCAN MATERIALS COMPANY 441,129
--------------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.45%
3,918 ARMSTRONG WORLD INDUSTRIES 70,034
16,932 HASBRO INCORPORATED 279,378
3,315 JOSTENS INCORPORATED 80,803
40,422 MATTEL INCORPORATED 421,905
859 NACCO INDUSTRIES INCORPORATED 41,178
161,986 TYCO INTERNATIONAL LIMITED 8,079,051
8,972,349
--------------------
MISCELLANEOUS RETAIL - 0.43%
13,460 BED BATH & BEYOND INCORPORATED+ 529,988
42,558 COSTCO WHOLESALE CORPORATION+ 2,236,955
37,570 CVS CORPORATION 1,411,223
3,806 LONGS DRUG STORES INCORPORATED 86,587
31,688 OFFICE DEPOT INCORPORATED+ 366,393
25,076 RITE AID CORPORATION 137,918
44,990 STAPLES INCORPORATED+ 899,800
23,107 TOYS 'R' US INCORPORATED+ 342,272
96,445 WALGREEN COMPANY 2,483,458
8,494,594
--------------------
MOTION PICTURES - 1.03%
123,241 TIME WARNER INCORPORATED 12,324,100
198,274 WALT DISNEY COMPANY 8,203,587
20,527,687
--------------------
NONDEPOSITORY CREDIT INSTITUTIONS - 1.15%
42,806 AMERICAN EXPRESS COMPANY 6,375,418
69,811 ASSOCIATES FIRST CAPITAL CORPORATION 1,496,573
18,918 CAPITAL ONE FINANCIAL CORPORATION 906,882
10,942 COUNTRYWIDE CREDIT INDUSTRIES INCORPORATED 298,170
</TABLE>
24
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
NONDEPOSITORY CREDIT INSTITUTIONS (continued)
66,662 FEDERAL HOME LOAN MORTGAGE CORPORATION $ 2,945,627
98,218 FEDERAL NATIONAL MORTGAGE ASSOCIATION 5,543,178
45,043 HOUSEHOLD INTERNATIONAL INCORPORATED 1,680,667
76,841 MBNA CORPORATION 1,959,446
13,690 PROVIDIAN FINANCIAL CORPORATION 1,185,896
15,266 SLM HOLDING CORPORATION 508,549
22,900,406
--------------------
OIL & GAS EXTRACTION - 0.79%
12,257 ANADARKO PETROLEUM CORPORATION 474,193
11,005 APACHE CORPORATION 547,499
30,969 ATLANTIC RICHFIELD COMPANY 2,632,365
20,137 BURLINGTON RESOURCES INCORPORATED 745,069
68,598 ENRON CORPORATION 5,136,275
8,822 KERR-MCGEE CORPORATION 509,471
8,601 ROWAN COMPANIES INCORPORATED+ 253,192
52,671 SCHLUMBERGER LIMITED 4,029,330
19,434 TRANSOCEAN SEDCO FOREX INCORPORATED+ 997,207
24,255 UNION PACIFIC RESOURCES GROUP INCORPORATED 351,698
15,676,299
--------------------
PAPER & ALLIED PRODUCTS - 0.38%
5,055 BEMIS COMPANY INCORPORATED 186,403
5,561 BOISE CASCADE CORPORATION 193,245
9,247 CHAMPION INTERNATIONAL CORPORATION 492,403
20,762 FORT JAMES CORPORATION 456,764
39,738 INTERNATIONAL PAPER COMPANY 1,698,800
53,034 KIMBERLY-CLARK CORPORATION 2,969,903
9,928 MEAD CORPORATION 346,860
16,512 PACTIV CORPORATION+ 144,480
2,780 POTLATCH CORPORATION 119,540
5,374 TEMPLE-INLAND INCORPORATED 267,692
9,672 WESTVACO CORPORATION 322,803
10,809 WILLAMETTE INDUSTRIES INCORPORATED 433,711
7,632,604
--------------------
PERSONAL SERVICES - 0.02%
9,479 H&R BLOCK INCORPORATED 424,185
--------------------
PETROLEUM REFINING & RELATED INDUSTRIES - 2.65%
8,731 AMERADA HESS CORPORATION 564,241
6,825 ASHLAND INCORPORATED 228,211
62,855 CHEVRON CORPORATION 5,810,159
20,488 COASTAL CORPORATION 942,448
60,041 CONOCO INCORPORATED CLASS B 1,538,547
330,763 EXXON MOBIL CORPORATION 25,737,496
24,256 PHILLIPS PETROLEUM COMPANY 1,121,840
205,429 ROYAL DUTCH PETROLEUM COMPANY NY REGISTERED SHARES 11,825,007
</TABLE>
25
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
PETROLEUM REFINING & RELATED INDUSTRIES (continued)
8,735 SUNOCO INCORPORATED $ 239,121
52,939 TEXACO INCORPORATED 2,838,854
13,754 TOSCO CORPORATION 418,637
23,203 UNOCAL CORPORATION 690,289
29,782 USX-MARATHON GROUP INCORPORATED 776,193
52,731,043
--------------------
PRIMARY METAL INDUSTRIES - 0.24%
21,003 ALCAN ALUMINUM LIMITED 711,487
35,278 ALCOA INCORPORATED 2,478,279
9,032 ALLEGHENY TECHNOLOGIES INCORPORATED 181,205
10,867 BETHLEHEM STEEL CORPORATION+ 65,202
12,054 ENGELHARD CORPORATION 182,317
8,428 NUCOR CORPORATION 421,400
6,094 REYNOLDS METALS COMPANY 407,536
8,586 USX-U.S. STEEL GROUP INCORPORATED 214,650
8,724 WORTHINGTON INDUSTRIES INCORPORATED 107,960
4,770,036
--------------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.50%
6,268 AMERICAN GREETINGS CORPORATION 114,391
8,638 DOW JONES & COMPANY INCORPORATED 620,316
26,714 GANNETT COMPANY INCORPORATED 1,879,998
7,872 KNIGHT-RIDDER INCORPORATED 400,980
18,791 MCGRAW-HILL COMPANIES INCORPORATED 854,991
4,955 MEREDITH CORPORATION 137,192
16,368 NEW YORK TIMES COMPANY 702,801
12,256 R.R. DONNELLEY & SONS COMPANY 256,610
5,737 TIMES MIRROR COMPANY 533,182
22,753 TRIBUNE COMPANY 831,907
66,782 VIACOM INCORPORATED CLASS B+ 3,522,750
9,855,118
--------------------
RAILROAD TRANSPORTATION - 0.19%
43,814 BURLINGTON NORTHERN SANTA FE CORPORATION 969,385
20,980 CSX CORPORATION 493,030
10,621 KANSAS CITY SOUTHERN INDUSTRIES INCORPORATED 912,742
36,714 NORFOLK SOUTHERN CORPORATION 527,764
23,807 UNION PACIFIC CORPORATION 931,449
3,834,370
--------------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 0.10%
7,414 COOPER TIRE AND RUBBER COMPANY 93,138
14,952 GOODYEAR TIRE & RUBBER COMPANY 348,569
26,472 NIKE INCORPORATED CLASS B 1,048,953
5,216 REEBOK INTERNATIONAL LIMITED+ 48,248
8,064 SEALED AIR CORPORATION+ 437,976
</TABLE>
26
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (continued)
5,654 TUPPERWARE CORPORATION $ 89,404
2,066,288
--------------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.04%
10,895 BEAR STEARNS COMPANIES INCORPORATED 497,084
78,536 CHARLES SCHWAB CORPORATION 4,461,827
23,812 FRANKLIN RESOURCES INCORPORATED 796,214
11,599 LEHMAN BROTHERS HOLDING INCORPORATED 1,125,103
35,534 MERRILL LYNCH & COMPANY INCORPORATED 3,731,070
109,126 MORGAN STANLEY DEAN WITTER & COMPANY 8,900,589
13,644 PAINE WEBBER GROUP INCORPORATED 600,336
11,496 T. ROWE PRICE ASSOCIATES INCORPORATED 454,092
20,566,315
--------------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.28%
26,416 CORNING INCORPORATED 5,124,704
5,379 OWENS CORNING 104,218
14,444 OWENS-ILLINOIS INCORPORATED+ 243,743
5,472,665
--------------------
TEXTILE MILL PRODUCTS - 0.01%
3,259 RUSSELL CORPORATION 46,644
1,742 SPRINGS INDUSTRIES INCORPORATED CLASS A 66,196
112,840
--------------------
TOBACCO PRODUCTS - 0.25%
226,727 PHILIP MORRIS COMPANIES INCORPORATED 4,789,608
16,431 UST INCORPORATED 256,734
5,046,342
--------------------
TRANSPORTATION BY AIR - 0.17%
14,148 AMR CORPORATION+ 450,968
12,418 DELTA AIRLINES INCORPORATED 661,259
27,816 FEDEX CORPORATION+ 1,084,823
48,373 SOUTHWEST AIRLINES COMPANY 1,006,763
6,918 US AIRWAYS GROUP INCORPORATED+ 192,407
3,396,220
--------------------
TRANSPORTATION EQUIPMENT - 1.28%
83,186 BOEING COMPANY 3,155,869
8,940 BRUNSWICK CORPORATION 169,301
15,762 DANA CORPORATION 444,291
54,159 DELPHI AUTOMOTIVE SYSTEMS CORPORATION 866,544
115,767 FORD MOTOR COMPANY 5,318,047
19,210 GENERAL DYNAMICS CORPORATION 955,698
61,365 GENERAL MOTORS CORPORATION 5,081,789
17,037 GENUINE PARTS COMPANY 406,758
10,529 GOODRICH (B.F.) COMPANY 302,051
</TABLE>
27
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
TRANSPORTATION EQUIPMENT (continued)
14,246 HARLEY-DAVIDSON INCORPORATED $ 1,130,776
75,767 HONEYWELL INCORPORATED 3,991,974
8,461 ITT INDUSTRIES INCORPORATED 262,820
6,108 NAVISTAR INTERNATIONAL CORPORATION+ 245,084
6,749 NORTHROP GRUMMAN CORPORATION 357,275
7,566 PACCAR INCORPORATED 378,300
18,208 ROCKWELL INTERNATIONAL CORPORATION 761,322
14,230 TEXTRON INCORPORATED 866,251
11,748 TRW INCORPORATED 687,258
25,381,408
--------------------
TRANSPORTATION SERVICES - 0.02%
12,513 SABRE HOLDINGS CORPORATION 462,199
--------------------
WATER TRANSPORTATION - 0.07%
59,156 CARNIVAL CORPORATION 1,467,808
--------------------
WHOLESALE TRADE-DURABLE GOODS - 0.50%
13,481 IKON OFFICE SOLUTIONS INCORPORATED 83,414
133,296 JOHNSON & JOHNSON 9,339,051
5,355 PEP BOYS - MANNY, MOE & JACK 31,795
8,974 W.W. GRAINGER INCORPORATED 486,840
9,941,100
--------------------
WHOLESALE TRADE-NONDURABLE GOODS - 0.42%
6,651 BROWN-FORMAN CORPORATION 362,064
26,926 CARDINAL HEALTH INCORPORATED 1,235,230
27,021 MCKESSON HBOC INCORPORATED 567,441
48,780 SAFEWAY INCORPORATED+ 2,207,295
13,202 SUPERVALU INCORPORATED 250,013
31,662 SYSCO CORPORATION 1,129,938
54,768 UNILEVER N.V. NY SHARES 2,635,710
8,387,691
--------------------
1,216,234,440
TOTAL COMMON STOCK (COST $873,415,205)
--------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C>
U.S. TREASURY SECURITIES - 38.08%
U.S. TREASURY BONDS - 37.84%
$ 22,950,000 U.S. TREASURY BONDS 6.13% 08/15/29
23,200,000 U.S. TREASURY BONDS 5.25 02/15/29
22,550,000 U.S. TREASURY BONDS 5.25 11/15/28
21,335,000 U.S. TREASURY BONDS 7.63 11/15/22
27,325,000 U.S. TREASURY BONDS 6.00 02/15/26
21,580,000 U.S. TREASURY BONDS 6.75 08/15/26
22,090,000 U.S. TREASURY BONDS 6.63 02/15/27
22,450,000 U.S. TREASURY BONDS 5.50 08/15/28
22,550,000 U.S. TREASURY BONDS 6.50 11/15/26
<CAPTION>
PRINCIPAL
<C> <C>
U.S. TREASURY
U.S. TREASURY
$ 22,950,000 23,359,199
23,200,000 20,780,704
22,550,000 20,178,191
21,335,000 25,106,601
27,325,000 26,952,014
21,580,000 23,422,069
22,090,000 23,657,948
22,450,000 20,797,905
22,550,000 23,775,142
</TABLE>
28
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY BONDS (CONTINUED)
$20,130,000 U.S. TREASURY BONDS 8.75% 05/15/20 $ 25,969,713
44,440,000 U.S. TREASURY BONDS 8.75 08/15/20 57,413,814
23,160,000 U.S. TREASURY BONDS 7.88 02/15/21 27,711,172
23,965,000 U.S. TREASURY BONDS 8.13 05/15/21 29,403,377
23,890,000 U.S. TREASURY BONDS 8.13 08/15/21 29,342,893
35,315,000 U.S. TREASURY BONDS 7.13 02/15/23 39,486,408
22,500,000 U.S. TREASURY BONDS 6.25 05/15/30 23,817,600
21,980,000 U.S. TREASURY BONDS 6.38 08/15/27 22,883,598
21,320,000 U.S. TREASURY BONDS 7.25 08/15/22 24,105,671
49,445,000 U.S. TREASURY BONDS 6.25 08/15/23 50,079,377
45,180,000 U.S. TREASURY BONDS 6.13 11/15/27 45,599,722
23,435,000 U.S. TREASURY BONDS 7.50 11/15/24 27,470,507
24,380,000 U.S. TREASURY BONDS 7.63 02/15/25 29,018,295
24,650,000 U.S. TREASURY BONDS 6.88 08/15/25 27,047,706
68,610,000 U.S. TREASURY BONDS 8.00 11/15/21 83,437,307
750,816,933
--------------
U.S. TREASURY BILLS - 0.24%
100,000 U.S. TREASURY BILLS 5.90{::} 06/22/00 98,735
474,000 U.S. TREASURY BILLS 5.84{::} 04/27/00 472,164
998,000 U.S. TREASURY BILLS 5.83{::} 04/27/00 994,141
2,040,000 U.S. TREASURY BILLS 5.89{::} 04/27/00 2,032,031
1,267,000 U.S. TREASURY BILLS 5.83{::} 04/27/00 1,262,101
4,859,172
--------------
755,676,105
TOTAL U.S. TREASURY SECURITIES (COST
$749,843,837)
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $1,623,259,042)* 99.38% $1,971,910,545
OTHER ASSETS AND LIABILITIES, NET 0.62 12,350,462
------- --------------
TOTAL NET ASSETS 100.00% $1,984,261,007
------- --------------
</TABLE>
# SECURITY OF AN AFFILIATE OF THE FUND WITH A COST OF $5,240,998.
+ NON-INCOME EARNING SECURITIES.
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $437,401,197
GROSS UNREALIZED DEPRECIATION (88,749,694)
-----------
NET UNREALIZED APPRECIATION $348,651,503
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
29
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
GROWTH BALANCED FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C>
N/A WELLS FARGO DISCIPLINED GROWTH PORTFOLIO $ 32,761,324
N/A WELLS FARGO INCOME EQUITY PORTFOLIO 163,235,700
N/A WELLS FARGO INDEX PORTFOLIO 162,297,017
N/A WELLS FARGO INTERNATIONAL EQUITY
PORTFOLIO 41,624,128
N/A WELLS FARGO INTERNATIONAL PORTFOLIO 54,353,570
N/A WELLS FARGO LARGE COMPANY GROWTH
PORTFOLIO 129,680,329
N/A WELLS FARGO MANAGED FIXED INCOME
PORTFOLIO 169,050,413
N/A WELLS FARGO POSITIVE RETURN BOND
PORTFOLIO 113,553,181
N/A WELLS FARGO SMALL CAP INDEX PORTFOLIO 15,702,574
N/A WELLS FARGO SMALL CAP VALUE PORTFOLIO 16,390,515
N/A WELLS FARGO SMALL COMPANY GROWTH
PORTFOLIO 16,056,604
N/A WELLS FARGO SMALL COMPANY VALUE
PORTFOLIO 16,523,799
N/A WELLS FARGO STRATEGIC VALUE BOND
PORTFOLIO 56,491,320
987,720,474
TOTAL INVESTMENTS IN CORE PORTFOLIO (98.85%) (COST
$713,912,765)
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
U.S. TREASURY BILLS (1.17%)
$11,730,000 U.S. TREASURY BILLS 5.36%{::} 5/25/00 11,634,166
11,634,166
TOTAL U.S. TREASURY BILLS (COST
$11,639,692)
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (100.02%) (COST
$725,552,457) 999,354,640
TOTAL INVESTMENTS IN CORE PORTFOLIOS &
SECURITIES
(COST $725,552,457)* 100.02% $999,354,640
OTHER ASSETS AND LIABILITIES, NET (0.02) (166,129)
------- -----------
TOTAL NET ASSETS 100.00% $999,188,511
------- -----------
</TABLE>
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $273,807,709
GROSS UNREALIZED DEPRECIATION (5,526)
-----------
NET UNREALIZED APPRECIATION $273,802,183
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
30
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
COMMON STOCK - 98.52%
AGRICULTURAL PRODUCTION-CROPS - 0.03%
5,374 NABISCO GROUP HOLDINGS CORPORATION $ 64,488
------------
AMUSEMENT & RECREATION SERVICES - 0.02%
2,094 HARRAH'S ENTERTAINMENT INCORPORATED + 38,870
------------
APPAREL & ACCESSORY STORES - 0.56%
13,988 GAP INCORPORATED 696,777
2,661 KOHL'S CORPORATION + 272,753
3,542 LIMITED INCORPORATED 149,206
2,213 NORDSTROM INCORPORATED 65,284
1,184,020
------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS - 0.04%
953 LIZ CLAIBORNE INCORPORATED 43,659
1,793 V.F. CORPORATION 43,144
86,803
------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.03%
2,286 AUTOZONE INCORPORATED + 63,436
------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.01%
1,043 RYDER SYSTEM INCORPORATED 23,663
------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS -
0.03%
950 CENTEX CORPORATION 22,621
799 KAUFMAN & BROAD HOME CORPORATION 17,129
708 PULTE CORPORATION 14,780
54,530
------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME
DEALERS - 1.35%
37,786 HOME DEPOT INCORPORATED 2,437,197
6,279 LOWE'S COMPANIES INCORPORATED 366,537
2,754 SHERWIN-WILLIAMS COMPANY 60,416
2,864,150
------------
BUSINESS SERVICES - 11.28%
5,621 3COM CORPORATION + 312,669
1,927 ADOBE SYSTEMS INCORPORATED 214,499
37,448 AMERICA ONLINE INCORPORATED + 2,518,378
1,023 AUTODESK INCORPORATED 46,547
10,352 AUTOMATIC DATA PROCESSING INCORPORATED 499,484
4,015 BMC SOFTWARE INCORPORATED + 198,241
2,998 CABLETRON SYSTEMS INCORPORATED + 87,879
11,584 CENDANT CORPORATION + 214,304
2,383 CERIDIAN CORPORATION + 45,724
2,939 CITRIX SYSTEMS INCORPORATED + 194,709
8,899 COMPUTER ASSOCIATES INTERNATIONAL
INCORPORATED 526,710
2,749 COMPUTER SCIENCES CORPORATION + 217,515
5,938 COMPUWARE CORPORATION + 125,069
1,226 DELUXE CORPORATION 32,489
</TABLE>
31
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
BUSINESS SERVICES (continued)
7,723 ELECTRONIC DATA SYSTEMS CORPORATION $ 495,720
2,304 EQUIFAX INCORPORATED 58,176
6,879 FIRST DATA CORPORATION 304,396
5,053 IMS HEALTH INCORPORATED 85,585
4,625 INTERPUBLIC GROUP OF COMPANIES
INCORPORATED 218,531
85,416 MICROSOFT CORPORATION + 9,075,450
1,507 NCR CORPORATION + 60,468
5,396 NOVELL INCORPORATED + 154,461
2,925 OMNICOM GROUP INCORPORATED 273,305
46,311 ORACLE CORPORATION + 3,615,153
4,522 PARAMETRIC TECHNOLOGY COMPANY + 95,245
4,352 PEOPLESOFT INCORPORATED + 87,040
433 SHARED MEDICAL SYSTEMS CORPORATION 22,461
25,902 SUN MICROSYSTEMS INCORPORATED + 2,427,097
5,046 UNISYS CORPORATION + 128,672
8,638 YAHOO! INCORPORATED + 1,480,337
1,062 YOUNG & RUBICAM INCORPORATED 49,914
23,866,228
------------
CHEMICALS & ALLIED PRODUCTS - 9.27%
25,241 ABBOTT LABORATORIES 888,167
3,795 AIR PRODUCTS AND CHEMICALS INCORPORATED 107,920
928 ALBERTO CULVER COMPANY 22,097
1,674 ALZA CORPORATION + 62,880
21,437 AMERICAN HOME PRODUCTS CORPORATION 1,149,558
16,780 AMGEN INCORPORATED + 1,029,873
1,837 AVERY DENNISON CORPORATION 112,172
4,008 AVON PRODUCTS INCORPORATED 116,483
2,465 BIOGEN INCORPORATED + 172,242
32,556 BRISTOL-MYERS SQUIBB COMPANY 1,880,109
3,876 CLOROX COMPANY 125,970
9,563 COLGATE-PALMOLIVE COMPANY 539,114
3,587 DOW CHEMICAL COMPANY 408,918
17,140 E.I. DU PONT DE NEMOURS & COMPANY 906,278
1,292 EASTMAN CHEMICAL COMPANY 58,785
2,105 ECOLAB INCORPORATED 77,227
17,897 ELI LILLY & COMPANY 1,127,511
505 FMC CORPORATION + 28,533
17,640 GILLETTE COMPANY 664,808
957 GREAT LAKES CHEMICAL CORPORATION 32,538
1,711 INTERNATIONAL FLAVORS & FRAGRANCES
INCORPORATED 59,992
38,369 MERCK & COMPANY INCORPORATED 2,383,674
10,444 MONSANTO COMPANY + 537,866
5,920 OCCIDENTAL PETROLEUM CORPORATION 122,840
63,546 PFIZER INCORPORATED 2,323,401
8,729 PHARMACIA & UPJOHN INCORPORATED 517,193
2,866 PPG INDUSTRIES INCORPORATED 149,928
2,627 PRAXAIR INCORPORATED 109,349
21,594 PROCTER & GAMBLE COMPANY 1,214,663
3,598 ROHM & HAAS COMPANY 160,561
</TABLE>
32
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
24,119 SCHERING-PLOUGH CORPORATION $ 886,373
1,631 SIGMA ALDRICH 43,833
2,204 UNION CARBIDE CORPORATION 128,521
1,123 W.R. GRACE & COMPANY + 14,248
14,103 WARNER-LAMBERT COMPANY 1,375,043
1,608 WATSON PHARMACEUTICALS INCORPORATED + 63,818
19,602,486
------------
COMMUNICATIONS - 8.68%
5,162 ALLTEL CORPORATION 325,528
52,444 AT&T CORPORATION 2,949,975
25,494 BELL ATLANTIC CORPORATION 1,558,321
30,918 BELLSOUTH CORPORATION 1,453,146
12,520 CBS CORPORATION + 708,945
2,293 CENTURYTEL INCORPORATED 85,128
5,563 CLEAR CHANNEL COMMUNICATIONS
INCORPORATED + 384,195
15,227 COMCAST CORPORATION, CLASS A + 660,471
12,808 GLOBAL CROSSING LIMITED + 524,328
15,953 GTE CORPORATION 1,132,663
46,591 MCI WORLDCOM INCORPORATED + 2,111,154
10,037 MEDIAONE GROUP INCORPORATED + 812,997
5,970 NEXTEL COMMUNICATIONS INCORPORATED + 885,052
55,991 SBC COMMUNICATIONS INCORPORATED 2,351,622
14,307 SPRINT CORPORATION (FON GROUP) 901,341
14,152 SPRINT CORPORATION (PCS GROUP) + 924,303
8,286 US WEST INCORPORATED 601,771
18,370,940
------------
DEPOSITORY INSTITUTIONS - 6.50%
6,229 AMSOUTH BANCORP 93,046
28,021 BANK OF AMERICA CORPORATION 1,469,351
12,113 BANK OF NEW YORK COMPANY INCORPORATED 503,447
18,836 BANK ONE CORPORATION 647,488
5,642 BB&T CORPORATION 158,329
13,533 CHASE MANHATTAN CORPORATION 1,179,908
55,337 CITIGROUP INCORPORATED 3,282,176
2,570 COMERICA INCORPORATED 107,619
5,084 FIFTH THIRD BANCORP 320,292
16,218 FIRST UNION CORPORATION 604,120
16,115 FIRSTAR CORPORATION 369,638
15,036 FLEETBOSTON FINANCIAL CORPORATION 548,814
2,647 GOLDEN WEST FINANCIAL CORPORATION 82,553
3,785 HUNTINGTON BANCSHARES INCORPORATED 84,689
2,818 J.P. MORGAN & COMPANY INCORPORATED 371,272
7,393 KEYCORP 140,467
8,344 MELLON FINANCIAL CORPORATION 246,148
10,154 NATIONAL CITY CORPORATION 209,426
3,652 NORTHERN TRUST CORPORATION 246,738
1,910 OLD KENT FINANCIAL CORPORATION 61,717
4,838 PNC FINANCIAL SERVICES GROUP 218,012
</TABLE>
33
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
DEPOSITORY INSTITUTIONS (continued)
3,606 REGIONS FINANCIAL CORPORATION $ 82,262
2,763 SOUTHTRUST CORPORATION 70,284
2,600 STATE STREET CORPORATION 251,875
2,889 SUMMIT BANCORP 75,836
5,250 SUNTRUST BANKS INCORPORATED 303,188
4,652 SYNOVUS FINANCIAL CORPORATION 87,807
12,403 U.S. BANCORP 271,316
2,315 UNION PLANTERS CORPORATION 71,331
3,327 WACHOVIA CORPORATION 224,780
9,476 WASHINGTON MUTUAL INCORPORATED 251,114
27,119 WELLS FARGO COMPANY # 1,110,184
13,745,227
------------
EATING & DRINKING PLACES - 0.47%
2,159 DARDEN RESTAURANTS INCORPORATED 38,457
22,231 MCDONALD'S CORPORATION 835,052
2,487 TRICON GLOBAL RESTAURANTS INCORPORATED + 77,253
1,969 WENDY'S INTERNATIONAL INCORPORATED 39,749
990,511
------------
ELECTRIC, GAS & SANITARY SERVICES - 1.85%
3,401 AES CORPORATION + 267,829
2,214 ALLIED WASTE INDUSTRIES INCORPORATED + 14,529
2,262 AMEREN CORPORATION 69,981
3,182 AMERICAN ELECTRIC POWER COMPANY 94,863
2,618 CAROLINA POWER & LIGHT COMPANY 84,921
3,413 CENTRAL & SOUTHWEST CORPORATION 58,234
2,641 CINERGY CORPORATION 56,782
1,879 CMS ENERGY CORPORATION 34,057
1,320 COLUMBIA ENERGY GROUP 78,210
3,544 CONSOLIDATED EDISON INCORPORATED 102,777
2,476 CONSTELLATION ENERGY GROUP 78,923
3,918 DOMINION RESOURCES INCORPORATED 150,598
2,365 DTE ENERGY COMPANY 68,586
6,012 DUKE ENERGY CORPORATION 315,630
407 EASTERN ENTERPRISES 24,369
5,725 EDISON INTERNATIONAL 94,820
3,734 EL PASO ENERGY CORPORATION 150,760
4,051 ENTERGY CORPORATION 81,780
3,848 FIRSTENERGY CORPORATION 79,365
1,607 FLORIDA PROGRESS CORPORATION 73,721
2,957 FPL CORPORATION INCORPORATED 136,207
2,017 GPU INCORPORATED 55,215
1,900 NEW CENTURY ENERGIES INCORPORATED 57,119
761 NICOR INCORPORATED
2,544 NORTHERN STATES POWER COMPANY 50,562
532 ONEOK INCORPORATED 13,300
6,310 PACIFIC GAS & ELECTRIC COMPANY 132,510
3,062 PECO ENERGY COMPANY 112,911
601 PEOPLE'S ENERGY CORPORATION 16,490
</TABLE>
34
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
ELECTRIC, GAS & SANITARY SERVICES (continued)
1,257 PINNACLE WEST CAPITAL CORPORATION $ 35,432
2,368 PPL CORPORATION 49,580
3,624 PUBLIC SERVICE ENTERPRISE GROUP
INCORPORATED 107,361
4,864 RELIANT ENERGY INCORPORATED 114,000
3,347 SEMPRA ENERGY 56,062
11,079 SOUTHERN COMPANY 240,968
4,553 TEXAS UTILITIES COMPANY 135,167
3,563 UNICOM CORPORATION 130,050
10,233 WASTE MANAGEMENT INCORPORATED 140,064
7,161 WILLIAMS COMPANIES INCORPORATED 314,636
3,903,434
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT - 15.12%
1,658 ADAPTEC INCORPORATED + 64,040
4,921 ADC TELECOMMUNICATIONS INCORPORATED + 265,119
2,415 ADVANCED MICRO DEVICES INCORPORATED + 137,806
5,726 ANALOG DEVICES INCORPORATED + 461,301
1,323 ANDREW CORPORATION + 30,264
3,540 CONEXANT SYSTEMS INCORPORATED + 251,340
1,201 EATON CORPORATION 93,678
7,103 EMERSON ELECTRIC COMPANY 375,571
53,841 GENERAL ELECTRIC COMPANY 8,355,450
54,831 INTEL CORPORATION 7,234,265
4,881 LSI LOGIC CORPORATION + 354,483
52,314 LUCENT TECHNOLOGIES INCORPORATED 3,178,076
1,383 MAYTAG CORPORATION 45,811
4,430 MICRON TECHNOLOGY INCORPORATED + 558,180
3,227 MOLEX INCORPORATED 189,586
11,639 MOTOROLA INCORPORATED 1,657,103
2,824 NATIONAL SEMICONDUCTOR CORPORATION + 171,205
693 NATIONAL SERVICE INDUSTRIES 14,596
5,002 NETWORK APPLIANCE INCORPORATED + 413,916
23,697 NORTEL NETWORKS CORPORATION 2,985,822
12,106 QUALCOMM INCORPORATED + 1,807,577
5,561 RAYTHEON COMPANY CLASS B 98,708
2,566 SCIENTIFIC-ATLANTA INCORPORATED 162,781
6,596 TELLABS INCORPORATED + 415,445
13,336 TEXAS INSTRUMENTS INCORPORATED 2,133,760
961 THOMAS & BETTS CORPORATION 27,148
1,228 WHIRLPOOL CORPORATION 71,992
5,274 XILINX INCORPORATED + 436,753
31,991,776
------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED
SERVICES - 0.33%
2,622 DUN & BRADSTREET CORPORATION 75,055
1,236 FLUOR CORPORATION 38,316
7,257 HALLIBURTON COMPANY 297,536
4,070 PAYCHEX INCORPORATED 213,166
755 PERKIN ELMER INCORPORATED 50,208
</TABLE>
35
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED
SERVICES (continued)
1,709 QUINTILES TRANSNATIONAL CORPORATION + $ 29,160
703,441
------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT - 0.37%
520 BALL CORPORATION 17,972
1,559 COOPER INDUSTRIES INCORPORATED 54,564
1,084 CRANE COMPANY 25,542
2,025 CROWN CORK & SEAL COMPANY INCORPORATED 32,400
2,708 FORTUNE BRANDS INCORPORATED 67,700
4,923 ILLINOIS TOOL WORKS INCORPORATED 271,996
6,575 LOCKHEED MARTIN CORPORATION 134,377
7,295 MASCO CORPORATION 149,548
976 SNAP-ON INCORPORATED 25,559
779,658
------------
FOOD & KINDRED PRODUCTS - 2.77%
613 ADOLPH COORS COMPANY 29,309
7,649 ANHEUSER-BUSCH COMPANIES INCORPORATED 476,150
10,047 ARCHER DANIELS MIDLAND COMPANY 104,238
4,577 BESTFOODS INCORPORATED 214,261
7,008 CAMPBELL SOUP COMPANY 215,495
40,546 COCA-COLA COMPANY 1,903,127
6,994 COCA-COLA ENTERPRISES INCORPORATED 150,808
8,077 CONAGRA INCORPORATED 146,396
4,934 GENERAL MILLS INCORPORATED 178,549
5,814 HEINZ (H.J.) COMPANY 202,763
1,764 HERCULES INCORPORATED 28,444
2,286 HERSHEY FOODS CORPORATION 111,443
6,676 KELLOGG COMPANY 171,073
23,905 PEPSICO INCORPORATED 826,217
2,176 QUAKER OATS COMPANY 131,920
4,954 RALSTON-RALSTON PURINA GROUP 135,616
14,913 SARA LEE CORPORATION 268,434
7,103 THE SEAGRAM COMPANY LIMITED 422,629
1,912 WRIGLEY (WM) JR. COMPANY 146,866
5,863,738
------------
FOOD STORES - 0.25%
6,994 ALBERTSON'S INCORPORATED 216,814
683 GREAT ATLANTIC & PACIFIC TEA COMPANY 13,319
13,754 KROGER COMPANY + 241,555
2,448 WINN-DIXIE STORES INCORPORATED 47,582
519,270
------------
FORESTRY - 0.10%
3,862 WEYERHAEUSER COMPANY 220,134
------------
FURNITURE & FIXTURES - 0.12%
1,406 JOHNSON CONTROLS INCORPORATED 76,011
3,064 LEGGETT & PLATT INCORPORATED 65,876
</TABLE>
36
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
FURNITURE & FIXTURES (continued)
4,621 NEWELL RUBBERMAID INCORPORATED $ 114,659
256,546
------------
GENERAL MERCHANDISE STORES - 2.60%
1,812 CONSOLIDATED STORES CORPORATION + 20,612
1,777 DILLARDS INCORPORATED 29,209
4,253 DOLLAR GENERAL CORPORATION 114,299
3,458 FEDERATED DEPARTMENT STORES INCORPORATED
+ 144,372
4,222 J.C. PENNEY COMPANY INCORPORATED 62,802
8,101 KMART CORPORATION + 78,477
5,451 MAY DEPARTMENT STORES COMPANY 155,354
6,195 SEARS, ROEBUCK & COMPANY 191,271
7,190 TARGET CORPORATION 537,453
5,107 TJX COMPANIES INCORPORATED 113,312
73,100 WAL-MART STORES INCORPORATED 4,057,050
5,504,211
------------
HEALTH SERVICES - 0.20%
9,269 COLUMBIA HCA HEALTHCARE CORPORATION 234,622
6,472 HEALTHSOUTH CORPORATION + 36,001
1,749 MANOR CARE INCORPORATED + 23,611
5,153 TENET HEALTHCARE CORPORATION 118,519
412,753
------------
HEAVY CONSTRUCTION OTHER THAN BUILDING
CONSTRUCTION-CONTRACTORS - 0.00%
992 MCDERMOTT INTERNATIONAL INCORPORATED 9,114
------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.31%
3,345 BEST BUY COMPANY INCORPORATED + 287,670
3,347 CIRCUIT CITY STORES 203,749
3,197 TANDY CORPORATION 162,247
653,666
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.11%
5,539 HILTON HOTELS CORPORATION 42,927
4,073 MARRIOTT INTERNATIONAL CLASS A 128,300
3,218 MIRAGE RESORTS INCORPORATED + 62,349
233,576
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 11.69%
2,656 APPLE COMPUTER INCORPORATED + 360,718
12,558 APPLIED MATERIALS INCORPORATED + 1,183,592
5,400 BAKER HUGHES INCORPORATED 163,350
1,434 BLACK & DECKER CORPORATION 53,865
379 BRIGGS & STRATTON CORPORATION 15,586
5,857 CATERPILLAR INCORPORATED 230,985
655 CINCINNATI MILACRON INCORPORATED 9,457
112,298 CISCO SYSTEMS INCORPORATED + 8,682,039
27,814 COMPAQ COMPUTER CORPORATION 740,548
1,250 COMVERSE TECHNOLOGY INCORPORATED + 236,250
706 CUMMINS ENGINE COMPANY INCORPORATED 26,519
</TABLE>
37
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER
EQUIPMENT (continued)
3,844 DEERE & COMPANY $ 146,072
42,102 DELL COMPUTER CORPORATION + 2,270,877
3,328 DOVER CORPORATION 159,328
16,703 EMC CORPORATION + 2,087,875
5,214 GATEWAY INCORPORATED + 276,342
16,498 HEWLETT-PACKARD COMPANY 2,187,016
29,583 IBM CORPORATION 3,490,794
2,675 INGERSOLL-RAND COMPANY 118,369
2,100 LEXMARK INTERNATIONAL GROUP INCORPORATED
+ 222,075
6,540 MINNESOTA MINING AND MANUFACTURING
COMPANY 579,199
2,025 PALL CORPORATION 45,436
1,845 PARKER-HANNIFIN CORPORATION 76,222
4,344 PITNEY BOWES INCORPORATED 194,123
3,529 SEAGATE TECHNOLOGY INCORPORATED + 212,622
3,026 SILICON GRAPHICS INCORPORATED + 31,961
9,728 SOLECTRON CORPORATION + 389,728
1,481 STANLEY WORKS 39,061
1,026 TIMKEN COMPANY 16,673
7,793 UNITED TECHNOLOGIES CORPORATION 492,420
24,739,102
------------
INSURANCE AGENTS, BROKERS & SERVICE - 0.30%
4,212 AON CORPORATION 135,836
2,697 HUMANA INCORPORATED + 19,722
4,376 MARSH & MCLENNAN COMPANIES INCORPORATED 482,728
638,286
------------
INSURANCE CARRIERS - 2.61%
2,325 AETNA LIFE & CASUALTY INCORPORATED 129,473
4,370 AFLAC INCORPORATED 199,108
13,250 ALLSTATE CORPORATION 315,516
4,056 AMERICAN GENERAL CORPORATION 227,643
25,409 AMERICAN INTERNATIONAL GROUP
INCORPORATED 2,782,286
2,859 CHUBB CORPORATION 193,161
2,759 CIGNA CORPORATION 208,994
2,720 CINCINNATI FINANCIAL CORPORATION 102,340
5,403 CONSECO INCORPORATED 61,797
3,628 HARTFORD FINANCIAL SERVICES GROUP 191,377
1,735 JEFFERSON-PILOT CORPORATION 115,486
3,209 LINCOLN NATIONAL CORPORATION 107,502
1,669 LOEWS CORPORATION 83,450
1,647 MBIA INCORPORATED 85,747
1,745 MGIC INVESTMENT CORPORATION 76,126
1,205 PROGRESSIVE CORPORATION 91,655
2,060 SAFECO CORPORATION 54,719
3,761 ST. PAUL COMPANIES INCORPORATED 128,344
2,181 TORCHMARK CORPORATION 50,436
2,797 UNITED HEALTHCARE CORPORATION 166,771
4,010 UNUMPROVIDENT CORP 68,170
</TABLE>
38
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
INSURANCE CARRIERS (continued)
1,045 WELLPOINT HEALTH NETWORKS INCORPORATED + $ 73,019
5,513,120
------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.06%
2,790 GEORGIA-PACIFIC GROUP 110,380
1,806 LOUISIANA-PACIFIC CORPORATION 25,058
135,438
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS - 1.81%
2,170 ALLERGAN INCORPORATED 108,500
845 BARD (C.R.) INCORPORATED 32,691
953 BAUSCH & LOMB INCORPORATED 49,735
4,768 BAXTER INTERNATIONAL INCORPORATED 298,894
4,121 BECTON, DICKINSON AND COMPANY 108,434
1,870 BIOMET INCORPORATED 68,021
6,735 BOSTON SCIENTIFIC CORPORATION + 143,540
2,326 DANAHER CORPORATION 118,626
5,188 EASTMAN KODAK COMPANY 281,773
5,055 GUIDANT CORPORATION + 297,297
3,012 KLA-TENCOR CORPORATION + 253,761
1,104 MALLINCKRODT INCORPORATED 31,740
19,609 MEDTRONIC INCORPORATED 1,008,638
753 MILLIPORE CORPORATION 42,497
3,385 PE CORP - PE BIOSYSTEMS GROUP 326,653
761 POLAROID CORPORATION 18,074
1,382 ST. JUDE MEDICAL INCORPORATED + 35,673
784 TEKTRONIX INCORPORATED 43,904
2,812 TERADYNE INCORPORATED + 231,287
2,608 THERMO ELECTRON CORPORATION + 53,138
10,925 XEROX CORPORATION 284,050
3,836,926
------------
METAL MINING - 0.18%
6,510 BARRICK GOLD CORPORATION 102,126
2,681 FREEPORT MCMORAN INCORPORATED CLASS B + 32,340
4,356 HOMESTAKE MINING COMPANY 26,135
3,168 INCO LIMITED 58,014
2,748 NEWMONT MINING CORPORATION 61,658
1,273 PHELPS DODGE CORPORATION 60,468
5,493 PLACER DOME INCORPORATED 44,631
385,372
------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS - 0.03%
1,608 VULCAN MATERIALS COMPANY 73,667
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.73%
635 ARMSTRONG WORLD INDUSTRIES 11,351
2,920 HASBRO INCORPORATED 48,180
576 JOSTENS INCORPORATED 14,040
</TABLE>
39
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
MISCELLANEOUS MANUFACTURING INDUSTRIES (continued)
6,997 MATTEL INCORPORATED $ 73,031
130 NACCO INDUSTRIES INCORPORATED 6,232
27,762 TYCO INTERNATIONAL LIMITED 1,384,630
1,537,464
------------
MISCELLANEOUS RETAIL - 0.69%
2,210 BED BATH & BEYOND INCORPORATED + 87,019
7,302 COSTCO WHOLESALE CORPORATION + 383,811
6,437 CVS CORPORATION 241,790
655 LONGS DRUG STORES INCORPORATED 14,901
5,455 OFFICE DEPOT INCORPORATED + 63,074
4,292 RITE AID CORPORATION 23,606
7,664 STAPLES INCORPORATED + 153,280
4,021 TOYS 'R' US INCORPORATED + 59,561
16,527 WALGREEN COMPANY 425,570
1,452,612
------------
MOTION PICTURES - 1.66%
21,113 TIME WARNER INCORPORATED 2,111,300
33,975 WALT DISNEY COMPANY 1,405,716
3,517,016
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 1.85%
7,344 AMERICAN EXPRESS COMPANY 1,093,797
11,974 ASSOCIATES FIRST CAPITAL CORPORATION 256,693
3,228 CAPITAL ONE FINANCIAL CORPORATION 154,742
1,848 COUNTRYWIDE CREDIT INDUSTRIES
INCORPORATED 50,358
11,440 FEDERAL HOME LOAN MORTGAGE CORPORATION 505,505
16,835 FEDERAL NATIONAL MORTGAGE ASSOCIATION 950,125
7,729 HOUSEHOLD INTERNATIONAL INCORPORATED 288,388
13,172 MBNA CORPORATION 335,887
2,304 PROVIDIAN FINANCIAL CORPORATION 199,584
2,606 SLM HOLDING CORPORATION 86,812
3,921,891
------------
OIL & GAS EXTRACTION - 1.27%
2,100 ANADARKO PETROLEUM CORPORATION 81,244
1,889 APACHE CORPORATION 93,978
5,294 ATLANTIC RICHFIELD COMPANY 449,990
3,504 BURLINGTON RESOURCES INCORPORATED 129,648
11,746 ENRON CORPORATION 879,482
1,539 KERR-MCGEE CORPORATION 88,877
1,438 ROWAN COMPANIES INCORPORATED + 42,331
9,032 SCHLUMBERGER LIMITED 690,948
3,425 TRANSOCEAN SEDCO FOREX INCORPORATED + 175,745
4,208 UNION PACIFIC RESOURCES GROUP
INCORPORATED 61,016
2,693,259
------------
PAPER & ALLIED PRODUCTS - 0.62%
868 BEMIS COMPANY INCORPORATED 32,008
</TABLE>
40
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
PAPER & ALLIED PRODUCTS (continued)
945 BOISE CASCADE CORPORATION $ 32,839
1,576 CHAMPION INTERNATIONAL CORPORATION 83,922
3,568 FORT JAMES CORPORATION 78,496
6,829 INTERNATIONAL PAPER COMPANY 291,940
9,138 KIMBERLY-CLARK CORPORATION 511,728
1,660 MEAD CORPORATION 57,996
2,913 PACTIV CORPORATION + 25,489
474 POTLATCH CORPORATION 20,382
942 TEMPLE-INLAND INCORPORATED 46,923
1,665 WESTVACO CORPORATION 55,569
1,803 WILLAMETTE INDUSTRIES INCORPORATED 72,345
1,309,637
------------
PENDING CLASSIFICATION - 0.10%
1,581 VERITAS SOFTWARE CORPORATION + 207,111
------------
PERSONAL SERVICES - 0.03%
1,611 H&R BLOCK INCORPORATED 72,092
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 4.27%
1,490 AMERADA HESS CORPORATION 96,291
1,176 ASHLAND INCORPORATED 39,322
10,777 CHEVRON CORPORATION 996,199
3,536 COASTAL CORPORATION 162,656
10,305 CONOCO INCORPORATED CLASS B 264,066
56,682 EXXON MOBIL CORPORATION 4,410,568
4,162 PHILLIPS PETROLEUM COMPANY 192,493
35,194 ROYAL DUTCH PETROLEUM COMPANY NY SHARES 2,025,855
1,495 SUNOCO INCORPORATED 40,926
9,078 TEXACO INCORPORATED 486,808
2,261 TOSCO CORPORATION 68,819
4,017 UNOCAL CORPORATION 119,506
5,126 USX-MARATHON GROUP INCORPORATED 133,596
9,037,105
------------
PRIMARY METAL INDUSTRIES - 0.39%
3,597 ALCAN ALUMINUM LIMITED 121,848
6,029 ALCOA INCORPORATED 423,537
1,528 ALLEGHENY TECHNOLOGIES INCORPORATED 30,655
2,054 BETHLEHEM STEEL CORPORATION + 12,324
2,081 ENGELHARD CORPORATION 31,475
1,431 NUCOR CORPORATION 71,550
1,055 REYNOLDS METALS COMPANY 70,553
1,427 USX-U.S. STEEL GROUP INCORPORATED 35,675
1,433 WORTHINGTON INDUSTRIES INCORPORATED 17,733
815,352
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.82%
1,077 AMERICAN GREETINGS CORPORATION 19,655
1,463 DOW JONES & COMPANY INCORPORATED 105,062
4,568 GANNETT COMPANY INCORPORATED 321,473
</TABLE>
41
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
PRINTING, PUBLISHING & ALLIED INDUSTRIES (continued)
1,174 HARCOURT GENERAL INCORPORATED $ 43,732
1,408 KNIGHT-RIDDER INCORPORATED 71,720
3,204 MCGRAW-HILL COMPANIES INCORPORATED 145,782
836 MEREDITH CORPORATION 23,146
2,812 NEW YORK TIMES COMPANY 120,740
2,090 R.R. DONNELLEY & SONS COMPANY 43,759
981 TIMES MIRROR COMPANY 91,172
3,912 TRIBUNE COMPANY 143,033
11,444 VIACOM INCORPORATED CLASS B + 603,671
1,732,945
------------
RAILROAD TRANSPORTATION - 0.31%
7,503 BURLINGTON NORTHERN SANTA FE CORPORATION 166,004
3,584 CSX CORPORATION 84,224
1,808 KANSAS CITY SOUTHERN INDUSTRIES
INCORPORATED 155,375
6,303 NORFOLK SOUTHERN CORPORATION 90,606
4,091 UNION PACIFIC CORPORATION 160,060
656,269
------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 0.17%
1,145 COOPER TIRE AND RUBBER COMPANY 14,384
2,593 GOODYEAR TIRE & RUBBER COMPANY 60,449
4,523 NIKE INCORPORATED CLASS B 179,225
833 REEBOK INTERNATIONAL LIMITED + 7,705
1,370 SEALED AIR CORPORATION + 74,408
943 TUPPERWARE CORPORATION 14,911
351,082
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES -
1.66%
1,868 BEAR STEARNS COMPANIES INCORPORATED 85,228
13,458 CHARLES SCHWAB CORPORATION 764,583
4,117 FRANKLIN RESOURCES INCORPORATED 137,662
1,973 LEHMAN BROTHERS HOLDING INCORPORATED 191,381
6,078 MERRILL LYNCH & COMPANY INCORPORATED 638,190
18,703 MORGAN STANLEY DEAN WITTER & COMPANY 1,525,463
2,361 PAINE WEBBER GROUP INCORPORATED 103,884
1,908 T. ROWE PRICE ASSOCIATES INCORPORATED 75,366
3,521,757
------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.44%
4,521 CORNING INCORPORATED 877,074
916 OWENS CORNING 17,747
2,468 OWENS-ILLINOIS INCORPORATED + 41,648
936,469
------------
TEXTILE MILL PRODUCTS - 0.01%
486 RUSSELL CORPORATION 6,956
287 SPRINGS INDUSTRIES INCORPORATED CLASS A 10,906
17,862
------------
</TABLE>
42
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
TOBACCO PRODUCTS - 0.41%
38,854 PHILIP MORRIS COMPANIES INCORPORATED $ 820,791
2,854 UST INCORPORATED 44,594
865,385
------------
TRANSPORTATION BY AIR - 0.28%
2,450 AMR CORPORATION+ 78,094
2,112 DELTA AIRLINES INCORPORATED 112,464
4,756 FEDEX CORPORATION + 185,484
8,316 SOUTHWEST AIRLINES COMPANY 173,076
1,164 US AIRWAYS GROUP INCORPORATED + 32,374
581,492
------------
TRANSPORTATION EQUIPMENT - 2.06%
14,285 BOEING COMPANY 541,937
1,508 BRUNSWICK CORPORATION 28,558
2,709 DANA CORPORATION 76,360
9,351 DELPHI AUTOMOTIVE SYSTEMS CORPORATION 149,616
19,826 FORD MOTOR COMPANY 910,757
3,264 GENERAL DYNAMICS CORPORATION 162,384
10,513 GENERAL MOTORS CORPORATION 870,608
2,944 GENUINE PARTS COMPANY 70,288
1,695 GOODRICH (B.F.) COMPANY 48,625
2,496 HARLEY-DAVIDSON INCORPORATED 198,120
12,995 HONEYWELL INCORPORATED 684,674
1,424 ITT INDUSTRIES INCORPORATED 44,233
1,066 NAVISTAR INTERNATIONAL CORPORATION + 42,773
1,125 NORTHROP GRUMMAN CORPORATION 59,555
1,305 PACCAR INCORPORATED 65,250
3,123 ROCKWELL INTERNATIONAL CORPORATION 130,580
2,442 TEXTRON INCORPORATED 148,657
1,992 TRW INCORPORATED 116,532
4,349,507
------------
TRANSPORTATION SERVICES - 0.04%
2,156 SABRE HOLDINGS CORPORATION 79,637
------------
UTILITIES - 0.02%
3,091 NIAGARA MOHAWK HOLDINGS INCORPORATED + 41,729
------------
WATER TRANSPORTATION - 0.12%
10,137 CARNIVAL CORPORATION 251,524
------------
WHOLESALE TRADE-DURABLE GOODS - 0.81%
1,543 GRAINGER (W.W.) INCORPORATED 83,708
2,401 IKON OFFICE SOLUTIONS INCORPORATED 14,856
22,834 JOHNSON & JOHNSON 1,599,807
781 PEP BOYS - MANNY MOE & JACK 4,637
1,703,008
------------
WHOLESALE TRADE-NONDURABLE GOODS - 0.68%
1,129 BROWN-FORMAN CORPORATION 61,460
</TABLE>
43
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
WHOLESALE TRADE-NONDURABLE GOODS (continued)
4,622 CARDINAL HEALTH INCORPORATED $ 212,034
4,628 MCKESSON HBOC INCORPORATED 97,187
8,362 SAFEWAY INCORPORATED + 378,381
2,085 SUPERVALU INCORPORATED 39,485
5,451 SYSCO CORPORATION 194,533
9,394 UNILEVER N.V. NY SHARES 452,087
1,435,167
------------
208,415,952
TOTAL COMMON STOCK
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 1.51%
U.S. TREASURY BILLS - 1.51%
$ 75,000 U.S. TREASURY BILLS 5.87%{::} 06/22/00 74,051
68,000 U.S. TREASURY BILLS 5.90{::} 06/22/00 67,140
11,000 U.S. TREASURY BILLS 5.85{::} 04/27/00 10,958
877,000 U.S. TREASURY BILLS 5.91{::} 04/27/00 873,556
726,000 U.S. TREASURY BILLS 5.89{::} 04/27/00 723,164
1,448,000 U.S. TREASURY BILLS 5.81{::} 04/27/00 1,442,420
3,191,289
-----------
3,191,289
TOTAL SHORT-TERM INSTRUMENTS (COST
$3,191,289)
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $139,485,787)* 100.03% $211,607,241
OTHER ASSETS AND LIABILITIES, NET (0.03) (65,621)
------- -----------
TOTAL NET ASSETS 100.00% $211,541,620
------- -----------
</TABLE>
# SECURITY OF AN AFFILIATE OF THE FUND WITH A COST OF $804,658.
+ NON-INCOME EARNING SECURITIES.
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $85,162,294
GROSS UNREALIZED DEPRECIATION (13,040,840)
-----------
NET UNREALIZED APPRECIATION $72,121,454
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
44
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
MODERATE BALANCED FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C>
N/A WELLS FARGO DISCIPLINED GROWTH PORTFOLIO $ 11,143,479
N/A WELLS FARGO INCOME EQUITY PORTFOLIO 55,661,914
N/A WELLS FARGO INDEX PORTFOLIO 55,264,952
N/A WELLS FARGO INTERNATIONAL EQUITY
PORTFOLIO 13,803,152
N/A WELLS FARGO INTERNATIONAL PORTFOLIO 17,973,083
N/A WELLS FARGO LARGE COMPANY GROWTH
PORTFOLIO 43,866,980
N/A WELLS FARGO MANAGED FIXED INCOME
PORTFOLIO 119,391,575
N/A WELLS FARGO POSITIVE RETURN BOND
PORTFOLIO 80,272,460
N/A WELLS FARGO SMALL CAP INDEX PORTFOLIO 5,120,524
N/A WELLS FARGO SMALL CAP VALUE PORTFOLIO 5,563,693
N/A WELLS FARGO SMALL COMPANY GROWTH
PORTFOLIO 5,252,181
N/A WELLS FARGO SMALL COMPANY VALUE
PORTFOLIO 5,625,719
N/A WELLS FARGO STABLE INCOME PORTFOLIO 80,500,141
N/A WELLS FARGO STRATEGIC VALUE BOND
PORTFOLIO 39,842,050
539,281,903
TOTAL INVESTMENTS IN CORE PORTFOLIOS (99.35%) (COST
$419,952,450)
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
U.S. TREASURY BILLS (0.78%)
$4,300,000 U.S. TREASURY BILLS 5.36%{::} 5/25/00 4,264,869
-------------
4,264,869
TOTAL U.S. TREASURY BILLS (COST
$4,266,896)
-------------
543,546,772
TOTAL INVESTMENTS (100.13%) (COST
$424,219,346)
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES
(COST $424,219,346)* 100.13% $ 543,546,772
OTHER ASSETS AND LIABILITIES, NET (0.13) (720,375)
------- -------------
TOTAL NET ASSETS 100.00% $ 542,826,397
------- -------------
</TABLE>
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $119,329,453
GROSS UNREALIZED DEPRECIATION (2,027)
-----------
NET UNREALIZED APPRECIATION $119,327,426
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
45
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS - MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
STRATEGIC INCOME FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C>
N/A WELLS FARGO DISCIPLINED GROWTH PORTFOLIO $ 2,656,568
N/A WELLS FARGO INCOME EQUITY PORTFOLIO 13,010,204
N/A WELLS FARGO INDEX PORTFOLIO 13,122,165
N/A WELLS FARGO INTERNATIONAL EQUITY
PORTFOLIO 3,278,137
N/A WELLS FARGO INTERNATIONAL PORTFOLIO 4,262,516
N/A WELLS FARGO LARGE COMPANY GROWTH
PORTFOLIO 10,556,049
N/A WELLS FARGO MANAGED FIXED INCOME
PORTFOLIO 69,291,840
N/A WELLS FARGO POSITIVE RETURN BOND
PORTFOLIO 46,498,286
N/A WELLS FARGO SMALL CAP INDEX PORTFOLIO 1,220,321
N/A WELLS FARGO SMALL CAP VALUE PORTFOLIO 1,325,567
N/A WELLS FARGO SMALL COMPANY GROWTH
PORTFOLIO 1,256,989
N/A WELLS FARGO SMALL COMPANY VALUE
PORTFOLIO 1,325,045
N/A WELLS FARGO STABLE INCOME PORTFOLIO 63,346,390
N/A WELLS FARGO STRATEGIC VALUE BOND
PORTFOLIO 23,132,005
254,282,082
TOTAL INVESTMENTS IN CORE PORTFOLIOS (99.64%) (COST
$226,637,919)
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
U.S. TREASURY BILLS (0.41%)
$1,060,000 U.S. TREASURY BILLS 5.36%{::} 5/25/00 1,051,340
-------------
1,051,340
TOTAL U.S. TREASURY BILLS (COST
$1,051,840)
-------------
255,333,422
TOTAL INVESTMENTS (100.05%) (COST
$227,689,759)
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES
(COST $227,689,759)* 100.05% $ 255,333,422
OTHER ASSETS AND LIABILITIES, NET (0.05) (126,047)
------- -------------
TOTAL NET ASSETS 100.00% $ 255,207,375
------- -------------
</TABLE>
{::} YIELD TO MATURITY
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $27,644,163
GROSS UNREALIZED DEPRECIATION (500)
-----------
NET UNREALIZED APPRECIATION $27,643,663
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
46
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES -- MARCH 31, 2000 (UNAUDITED) ALLOCATION
FUNDS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE ASSET GROWTH INDEX MODERATE STRATEGIC
BALANCED-EQUITY ALLOCATION BALANCED ALLOCATION BALANCED INCOME
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
IN SECURITIES, AT MARKET VALUE
(SEE COST BELOW)............. $75,945,692 $1,971,910,545 $ 999,354,640 $211,607,241 $543,546,772 $255,333,422
CASH........................... 0 5,878 0 5,396 0 0
RECEIVABLE FOR DIVIDENDS AND
INTEREST AND OTHER
RECEIVABLES.................. 0 12,251,703 1,638 184,407 422 1,094
RECEIVABLE FOR INVESTMENTS
SOLD......................... 0 5,520,962 0 210,145 0 0
RECEIVABLE FOR FUND SHARES
ISSUED....................... 346,341 3,246,428 1,463,661 425,496 1,362,913 684,746
ORGANIZATION COST, NET OF
AMORTIZATION................. 7,286 0 0 0 0 0
PREPAID EXPENSES............... 316 503 0 273 0 0
VARIATION MARGIN ON FUTURES
CONTRACTS.................... 0 5,500 0 16,500 0 0
----------- -------------- -------------- ------------ ------------ ------------
TOTAL ASSETS..................... 76,299,635 1,992,941,519 1,000,819,939 212,449,458 544,910,107 256,019,262
----------- -------------- -------------- ------------ ------------ ------------
LIABILITIES
PAYABLE FOR INVESTMENT
PURCHASED.................... 0 1,389,492 0 237,851 0 0
DIVIDENDS PAYABLE.............. 0 5,970 0 2 0 0
PAYABLE FOR FUND SHARES
REDEEMED..................... 0 3,660,381 779,049 154,311 1,718,762 663,202
PAYABLE TO INVESTMENT ADVISOR
AND AFFILIATES............... 15,358 1,473,200 300,190 214,308 158,549 61,219
PAYABLE TO OTHER RELATED
PARTIES...................... 11,143 1,460,893 47,378 135,416 15,932 7,336
ACCRUED EXPENSES AND OTHER
LIABILITIES.................. 39,097 690,576 144,562 165,950 58,217 48,130
VARIATION MARGIN ON FUTURES
CONTRACTS.................... 25,000 0 360,249 0 132,250 32,000
----------- -------------- -------------- ------------ ------------ ------------
TOTAL LIABILITIES................ 90,598 8,680,512 1,631,428 907,838 2,083,710 811,887
----------- -------------- -------------- ------------ ------------ ------------
TOTAL NET ASSETS................. $76,209,037 $1,984,261,007 $ 999,188,511 $211,541,620 $542,826,397 $255,207,375
----------- -------------- -------------- ------------ ------------ ------------
NET ASSETS CONSIST OF:
---------------------------------------------------------------------------------------------------------------------------------
PAID-IN CAPITAL................ $65,116,262 $1,535,810,932 $ 678,547,592 $126,982,886 $401,154,734 $220,256,655
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)................ 260,531 601,749 7,054,139 (333,758) 7,510,162 4,299,992
UNDISTRIBUTED NET REALIZED GAIN
(LOSS) ON INVESTMENTS........ 2,321,901 99,142,249 49,246,269 12,678,237 18,302,427 3,855,081
NET UNREALIZED APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.................. 9,178,414 348,651,503 273,802,183 72,121,454 119,327,426 27,643,663
NET UNREALIZED APPRECIATION
(DEPRECIATION) OF FUTURES.... (668,071) 54,574 (9,461,672) 92,801 (3,468,352) (848,016)
----------- -------------- -------------- ------------ ------------ ------------
TOTAL NET ASSETS................. $76,209,037 $1,984,261,007 $ 999,188,511 $211,541,620 $542,826,397 $255,207,375
----------- -------------- -------------- ------------ ------------ ------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
NET ASSETS - CLASS A.................... N/A $ 1,369,603,141 $ 16,397,530 $ 98,958,848 N/A
SHARES OUTSTANDING - CLASS A............ N/A 54,834,045 472,863 4,410,805 N/A
NET ASSET VALUE PER SHARE - CLASS A..... N/A $ 24.98 $ 34.68 $ 22.44 N/A
MAXIMUM OFFERING PRICE PER SHARE -
CLASS A(1)............................ N/A $ 26.50 $ 36.80 $ 23.81 N/A
NET ASSETS - CLASS B.................... N/A $ 566,494,939 $ 16,948,855 $ 27,336,805 N/A
SHARES OUTSTANDING - CLASS B............ N/A 37,401,794 523,815 992,742 N/A
NET ASSET VALUE AND OFFERING PRICE PER
SHARE - CLASS B....................... N/A $ 15.15 $ 32.36 $ 27.54 N/A
NET ASSETS - CLASS C.................... N/A $ 24,892,299 $ 4,232,414 $ 85,245,967 N/A
SHARES OUTSTANDING - CLASS C............ N/A 1,638,505 130,822 3,093,483 N/A
NET ASSET VALUE AND OFFERING PRICE PER
SHARE - CLASS C....................... N/A $ 15.19 $ 32.35 $ 27.56 N/A
NET ASSETS - INSTITUTIONAL CLASS........ $ 76,209,037 $ 23,270,628(2) $ 961,609,712 N/A $ 542,826,397
SHARES OUTSTANDING - INSTITUTIONAL
CLASS................................. 5,149,376 931,310(2) 29,495,800 N/A 22,313,684
NET ASSET VALUE AND OFFERING PRICE PER
SHARE - INSTITUTIONAL CLASS........... $ 14.80 $ 24.99(2) $ 32.60 N/A $ 24.33
----------------- ----------------- --------------- --------------- ---------------
INVESTMENTS AT COST (NOTE 10)........... $ 66,767,278 $ 1,623,259,042 $ 725,552,457 $ 139,485,787 $ 424,219,346
----------------- ----------------- --------------- --------------- ---------------
<S> <C>
NET ASSETS - CLASS A.................... N/A
SHARES OUTSTANDING - CLASS A............ N/A
NET ASSET VALUE PER SHARE - CLASS A..... N/A
MAXIMUM OFFERING PRICE PER SHARE -
CLASS A(1)............................ N/A
NET ASSETS - CLASS B.................... N/A
SHARES OUTSTANDING - CLASS B............ N/A
NET ASSET VALUE AND OFFERING PRICE PER
SHARE - CLASS B....................... N/A
NET ASSETS - CLASS C.................... N/A
SHARES OUTSTANDING - CLASS C............ N/A
NET ASSET VALUE AND OFFERING PRICE PER
SHARE - CLASS C....................... N/A
NET ASSETS - INSTITUTIONAL CLASS........ $ 255,207,375
SHARES OUTSTANDING - INSTITUTIONAL
CLASS................................. 12,833,555
NET ASSET VALUE AND OFFERING PRICE PER
SHARE - INSTITUTIONAL CLASS........... $ 19.89
---------------
INVESTMENTS AT COST (NOTE 10)........... $ 227,689,759
---------------
</TABLE>
(1) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/94.25 OF NET ASSET VALUE. ON
INVESTMENTS OF $50,000 OR MORE, THE OFFERING PRICE IS REDUCED.
(2) THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
47
<PAGE>
STATEMENT OF OPERATIONS -- FOR THE SIX MONTHS ENDED MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE ASSET GROWTH INDEX MODERATE STRATEGIC
BALANCED-EQUITY ALLOCATION BALANCED ALLOCATION BALANCED INCOME
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
DIVIDENDS.............. $ 298,583(1) $ 6,621,724 $ 3,375,713(2) $ 1,152,537 $ 1,134,974(3) $ 276,697(4)
INTEREST............... 516,638 26,291,790 11,513,309 262,588 10,627,777 6,817,014
SECURITIES LENDING
INCOME............... 8,614 0 127,498 0 67,497 32,467
NET EXPENSES ALLOCATED
FROM PORTFOLIOS...... (208,722) 0 (2,715,142) 0 (1,374,907) (622,863)
--------------- ------------- ------------- ------------ ------------ ------------
TOTAL INVESTMENT
INCOME................. 615,113 32,913,514 12,301,378 1,415,125 10,455,341 6,503,315
--------------- ------------- ------------- ------------ ------------ ------------
EXPENSES
ADVISORY FEES.......... 89,100 6,906,544 1,231,918 813,691 678,126 330,921
ADMINISTRATION FEES.... 46,570 1,458,801 640,854 156,401 351,556 170,777
SHAREHOLDER SERVICING
FEES................. 0 1,341,899 33,275 260,669 0 0
PORTFOLIO ACCOUNTING
FEES................. 21,933 110,178 44,380 49,048 18,507 14,830
TRANSFER AGENT
A SHARES............. N/A 755,135 8,034 22,156 N/A N/A
B SHARES............. N/A 410,301 12,390 13,053 N/A N/A
C SHARES............. N/A 10,813 2,152 59,440 N/A N/A
I SHARES............. 17,512 4,116(5) 263,160 N/A 155,568 76,761
DISTRIBUTION FEES
A SHARES............. N/A 0 678 0 N/A N/A
B SHARES............. N/A 1,991,895 54,635 89,609 N/A N/A
C SHARES............. N/A 86,729 12,525 315,815 N/A N/A
I SHARES............. 0 0(5) 0 N/A 0 0
AMORTIZATION OF
ORGANIZATION COSTS... 1,320 143 1,424 0 6,742 6,742
LEGAL AND AUDIT FEES... 4,568 51,899 13,000 909 8,445 5,579
REGISTRATION FEES...... 22,532 42,295 52,296 763 16,368 15,644
DIRECTORS' FEES........ 2,195 2,268 2,925 190 2,663 2,459
SHAREHOLDER REPORTS.... 698 107,639 43,674 5,788 22,371 9,741
OTHER.................. 4,893 223,126 18,910 32,685 8,748 7,914
--------------- ------------- ------------- ------------ ------------ ------------
TOTAL EXPENSES........... 211,321 13,503,781 2,436,230 1,820,217 1,269,094 641,368
--------------- ------------- ------------- ------------ ------------ ------------
LESS:
WAIVED FEES AND
REIMBURSED
EXPENSES............. (65,741) (1,829,144) (474,466) (71,334) (264,511) (206,904)
NET EXPENSES........... 145,580 11,674,637 1,961,764 1,748,883 1,004,583 434,464
--------------- ------------- ------------- ------------ ------------ ------------
NET INVESTMENT INCOME
(LOSS)................. 469,533 21,238,877 10,339,614 (333,758) 9,450,758 6,068,851
--------------- ------------- ------------- ------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)
FROM:
SECURITIES........... 0 103,684,331 0 12,964,617 0 0
FINANCIAL FUTURES
TRANSACTIONS....... 0 (101,143) 0 (30,770) 0 0
SECURITIES
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS......... 2,167,602 0 39,143,773 0 14,816,441 2,948,021
FOREIGN CURRENCY
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS......... (12,723) 0 (186,290) 0 (57,774) (14,771)
FINANCIAL FUTURES
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS......... 90,422 0 11,210,507 0 4,155,198 1,019,796
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS........ 2,245,301 103,583,188 50,167,990 12,933,847 18,913,865 3,953,046
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF:
SECURITIES........... 0 117,382,669 0 19,396,755 0 0
FINANCIAL FUTURES
TRANSACTIONS....... (668,071) 346,324 (9,461,672) 469,951 (3,468,352) (848,016)
SECURITIES
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS......... 8,444,759 0 76,856,302 0 25,011,302 7,302,918
FOREIGN CURRENCY
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS......... (44,179) 0 (475,487) 0 (153,854) (36,431)
FINANCIAL FUTURES
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS......... 18,015 0 (259,195) 0 (154,234) (37,193)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS........ 7,750,524 117,728,993 66,659,948 19,866,706 21,234,862 6,381,278
--------------- ------------- ------------- ------------ ------------ ------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS......... 9,995,825 221,312,181 116,827,938 32,800,553 40,148,727 10,334,324
--------------- ------------- ------------- ------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ 10,465,358 $ 242,551,058 $ 127,167,552 $ 32,466,795 $ 49,599,485 $ 16,403,175
--------------- ------------- ------------- ------------ ------------ ------------
</TABLE>
(1) NET OF FOREIGN WITHHOLDING TAXES OF $7,603
(2) NET OF FOREIGN WITHHOLDING TAXES OF $82,706
(3) NET OF FOREIGN WITHHOLDING TAXES OF $27,367
(4) NET OF FOREIGN WITHHOLDING TAXES OF $6,492
(5) THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
48
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
49
<PAGE>
ALLOCATION FUNDS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE BALANCED-EQUITY
---------------------------------------------------
(UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE
MONTHS ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C> <C>
------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
BEGINNING NET ASSETS... $ 65,010,927 $ 31,974,892 $ 8,871,869
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 469,533 264,248 222,490
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 2,245,301 128,115 41,190
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 7,750,524 (1,989,429) 2,385,849
-------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 10,465,358 (1,597,066) 2,649,529
-------------- ------------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT INCOME
CLASS A.............. N/A N/A N/A
CLASS B.............. N/A N/A N/A
CLASS C.............. N/A N/A N/A
CLASS I.............. (603,650) 0 (109,099)
NET REALIZED GAIN ON
SALE OF INVESTMENTS
CLASS A.............. N/A N/A N/A
CLASS B.............. N/A N/A N/A
CLASS C.............. N/A N/A N/A
CLASS I.............. (96,465) 0 0
CAPITAL SHARE
TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD - CLASS A....... N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS A............ N/A N/A N/A
-------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ N/A N/A N/A
-------------- ------------------ ------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS B............ N/A N/A N/A
-------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS B................ N/A N/A N/A
-------------- ------------------ ------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS C............ N/A N/A N/A
-------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ N/A N/A N/A
-------------- ------------------ ------------
PROCEEDS FROM SHARES
SOLD - CLASS I....... 9,974,800 39,933,710 23,725,687
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. 695,629 0 0
COST OF SHARES REDEEMED
- CLASS I............ (9,237,562) (5,300,609) (3,163,094)
-------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS I................ 1,432,867 34,633,101 20,562,593
-------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 11,198,110 33,036,035 23,103,023
-------------- ------------------ ------------
NET ASSETS:
------------------------------------------------------------------------------
ENDING NET ASSETS...... $ 76,209,037 $ 65,010,927 $ 31,974,892
SHARES ISSUED AND REDEEMED:
SHARES SOLD -
CLASS A.............. N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. N/A N/A N/A
SHARES REDEEMED -
CLASS A.............. N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ N/A N/A N/A
SHARES SOLD -
CLASS B.............. N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. N/A N/A N/A
SHARES REDEEMED -
CLASS B.............. N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS B................ N/A N/A N/A
SHARES SOLD -
CLASS C.............. N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. N/A N/A N/A
SHARES REDEEMED -
CLASS C.............. N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ N/A N/A N/A
SHARES SOLD -
CLASS I.............. 722,564 2,967,189 2,138,936
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. 50,518 0 0
SHARES REDEEMED -
CLASS I.............. (668,110) (395,534) (469,525)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS I................ 104,972 2,571,655 1,669,411
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 260,531 $ 394,648 $ 140,266
-------------- ------------------ ------------
</TABLE>
(1) THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
(2) "PROCEEDS FROM SHARES SOLD" INCLUDES $25,397,650 FOR CLASS A SHARES, AND
"SHARES SOLD" INCLUDES 1,095,671 FOR CLASS A SHARES AS A RESULT OF THE
CONSOLIDATION OF THE STAGECOACH BALANCED FUND INTO THE FUND. "PROCEEDS FROM
SHARES SOLD" INCLUDES $10,421,883 FOR CLASS B SHARES, AND "SHARES SOLD"
INCLUDES 741,243 FOR CLASS B SHARES AS A RESULT OF THE CONSOLIDATION OF
THE STAGECOACH BALANCED FUND INTO THE FUND. "PROCEEDS FROM SHARES SOLD"
INCLUDES $28,338,510 FOR INSTITUTIONAL CLASS SHARES, AND "SHARES SOLD"
INCLUDES 1,222,541 FOR INSTITUTIONAL CLASS SHARES AS A RESULT OF THE
CONSOLIDATION OF THE STAGECOACH BALANCED FUND INTO THE FUND.
(3) THIS CLASS OF SHARES COMMENCED OPERATIONS ON APRIL 1, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
50
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS ALLOCATION FUNDS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET ALLOCATION GROWTH BALANCED
-------------------------------------------------------- ---------------
(UNAUDITED) (UNAUDITED)
FOR THE SIX FOR THE SEVEN FOR THE ELEVEN FOR THE SIX
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 FEBRUARY 28, 1999 MARCH 31, 2000
<S> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
BEGINNING NET ASSETS... $1,822,437,436 $ 1,776,033,055 $ 1,572,908,260 $ 926,460,925
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 21,238,877 20,891,634 22,598,456 10,339,614
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 103,583,188 236,424,412 142,835,083 50,167,990
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 117,728,993 (221,968,646) 44,504,574 66,659,948
-------------- ------------------ ----------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 242,551,058 35,347,400 209,938,113 127,167,552
-------------- ------------------ ----------------- --------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT INCOME
CLASS A.............. (16,611,347) (18,297,226) (17,033,688) (223,286)
CLASS B.............. (3,641,162) (5,507,711) (2,432,608) (177,283)
CLASS C.............. (159,366) (203,506) (15,634)(3) (40,870)
CLASS I.............. (224,970)(1) N/A N/A (18,027,917)
NET REALIZED GAIN ON
SALE OF INVESTMENTS
CLASS A.............. (185,933,653) 0 (114,145,484) (687,914)
CLASS B.............. (70,594,650) 0 (31,172,331) (779,376)
CLASS C.............. (2,978,297) 0 (540,952)(3) (153,648)
CLASS I.............. 0(1) N/A N/A (53,079,905)
CAPITAL SHARE
TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD - CLASS A....... 61,495,203(2) 62,139,392 101,471,242 10,251,741
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 200,233,774 17,993,300 135,550,735 902,088
COST OF SHARES REDEEMED
- CLASS A............ (172,091,958) (144,669,816) (216,463,258) (1,862,254)
-------------- ------------------ ----------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ 89,637,019 (64,537,124) 20,558,719 9,291,575
-------------- ------------------ ----------------- --------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 73,574,777(2) 118,452,976 141,646,232 4,341,323
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 72,507,448 5,319,893 33,599,069 914,185
COST OF SHARES REDEEMED
- CLASS B............ (62,770,534) (34,633,257) (47,391,618) (1,154,885)
-------------- ------------------ ----------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 83,311,691 89,139,612 127,853,683 4,100,623
-------------- ------------------ ----------------- --------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... 7,859,238 12,297,723 10,142,395(3) 2,018,134
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 2,477,143 160,631 527,615(3) 179,327
COST OF SHARES REDEEMED
- CLASS C............ (5,378,980) (1,995,418) (555,033)(3) (335,113)
-------------- ------------------ ----------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ 4,957,401 10,462,936 10,114,977(3) 1,862,348
-------------- ------------------ ----------------- --------------
PROCEEDS FROM SHARES
SOLD - CLASS I....... 30,546,855(1)(2) N/A N/A 110,437,536
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. 206,340(1) N/A N/A 70,670,346
COST OF SHARES REDEEMED
- CLASS I............ (9,243,348)(1) N/A N/A (177,632,195)
-------------- ------------------ ----------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS I................ 21,509,847(1) N/A N/A 3,475,687
-------------- ------------------ ----------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 161,823,571 46,404,381 203,124,795 72,727,586
-------------- ------------------ ----------------- --------------
NET ASSETS:
----------------------------------------------------------------------------------------------------
ENDING NET ASSETS...... $1,984,261,007 $ 1,822,437,436 $ 1,776,033,055 $ 999,188,511
SHARES ISSUED AND REDEEMED:
SHARES SOLD -
CLASS A.............. 2,598,992(2) 2,323,139 3,967,005 300,287
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 8,720,174 681,217 5,460,934 27,825
SHARES REDEEMED -
CLASS A.............. (7,216,404) (5,416,609) (8,542,275) (55,707)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ 4,102,762 (2,412,253) 885,664 272,405
SHARES SOLD -
CLASS B.............. 5,107,612(2) 7,313,188 9,161,518 139,698
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 5,211,134 335,069 2,236,282 30,151
SHARES REDEEMED -
CLASS B.............. (4,341,581) (2,142,327) (3,093,434) (37,244)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS B................ 5,977,165 5,505,930 8,304,366 132,605
SHARES SOLD -
CLASS C.............. 544,357 755,529 648,391(3) 65,322
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 177,361 10,113 35,062(3) 5,916
SHARES REDEEMED -
CLASS C.............. (372,278) (122,839) (37,191)(3) (10,670)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ 349,440 642,803 646,262(3) 60,568
SHARES SOLD -
CLASS I.............. 1,315,996(1)(2) N/A N/A 3,528,946
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. 8,460(1) N/A N/A 2,320,103
SHARES REDEEMED -
CLASS I.............. (393,146)(1) N/A N/A (5,708,873)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS I................ 931,310(1) N/A N/A 140,176
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 601,749 $ (283) $ 3,116,526 $ 7,054,139
-------------- ------------------ ----------------- --------------
<CAPTION>
GROWTH BALANCED
----------------------------------
FOR THE FOUR FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C>
-------------------------
INCREASE (DECREASE) IN NE
BEGINNING NET ASSETS... $ 864,384,253 $ 665,757,955
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 6,241,162 15,980,720
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 14,011,237 54,834,540
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (24,358,833) 41,147,070
------------------ -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ (4,106,434) 111,962,330
------------------ -------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT INCOME
CLASS A.............. 0 (19,084)
CLASS B.............. 0 (30,335)
CLASS C.............. 0 (474)
CLASS I.............. 0 (14,247,665)
NET REALIZED GAIN ON
SALE OF INVESTMENTS
CLASS A.............. 0 (33,896)
CLASS B.............. 0 (56,634)
CLASS C.............. 0 (842)
CLASS I.............. 0 (25,305,527)
CAPITAL SHARE
TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD - CLASS A....... 3,197,005 3,621,964
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 0 54,918
COST OF SHARES REDEEMED
- CLASS A............ (198,526) (168,266)
------------------ -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ 2,998,479 3,508,616
------------------ -------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 3,441,440 8,854,582
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 0 84,019
COST OF SHARES REDEEMED
- CLASS B............ (325,044) (130,627)
------------------ -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 3,116,396 8,807,974
------------------ -------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... 998,626 1,256,425
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 0 1,012
COST OF SHARES REDEEMED
- CLASS C............ (56,287) (24,491)
------------------ -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ 942,339 1,232,946
------------------ -------------
PROCEEDS FROM SHARES
SOLD - CLASS I....... 116,820,438 204,369,753
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. 0 39,403,839
COST OF SHARES REDEEMED
- CLASS I............ (57,694,546) (130,964,703)
------------------ -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS I................ 59,125,892 112,808,889
------------------ -------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 62,076,672 198,626,298
------------------ -------------
NET ASSETS:
-------------------------
ENDING NET ASSETS...... $ 926,460,925 $ 864,384,253
SHARES ISSUED AND REDEEME
SHARES SOLD -
CLASS A.............. 94,565 115,386
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 0 1,793
SHARES REDEEMED -
CLASS A.............. (5,973) (5,313)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ 88,592 111,866
SHARES SOLD -
CLASS B.............. 109,712 293,564
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 0 2,916
SHARES REDEEMED -
CLASS B.............. (10,390) (4,592)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS B................ 99,322 291,888
SHARES SOLD -
CLASS C.............. 31,911 40,904
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 0 35
SHARES REDEEMED -
CLASS C.............. (1,804) (792)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ 30,107 40,147
SHARES SOLD -
CLASS I.............. 3,673,918 6,897,939
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. 0 1,364,871
SHARES REDEEMED -
CLASS I.............. (1,819,297) (4,488,548)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS I................ 1,854,621 3,774,262
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 15,183,881 $ 9,068,551
------------------ -------------
</TABLE>
(1) THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
(2) "PROCEEDS FROM SHARES SOLD" INCLUDES $25,397,650 FOR CLASS A SHARES, AND
"SHARES SOLD" INCLUDES 1,095,671 FOR CLASS A SHARES AS A RESULT OF THE
CONSOLIDATION OF THE STAGECOACH BALANCED FUND INTO THE FUND. "PROCEEDS FROM
SHARES SOLD" INCLUDES $10,421,883 FOR CLASS B SHARES, AND "SHARES SOLD"
INCLUDES 741,243 FOR CLASS B SHARES AS A RESULT OF THE CONSOLIDATION OF
THE STAGECOACH BALANCED FUND INTO THE FUND. "PROCEEDS FROM SHARES SOLD"
INCLUDES $28,338,510 FOR INSTITUTIONAL CLASS SHARES, AND "SHARES SOLD"
INCLUDES 1,222,541 FOR INSTITUTIONAL CLASS SHARES AS A RESULT OF THE
CONSOLIDATION OF THE STAGECOACH BALANCED FUND INTO THE FUND.
(3) THIS CLASS OF SHARES COMMENCED OPERATIONS ON APRIL 1, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
51
<PAGE>
ALLOCATION FUNDS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX ALLOCATION
--------------------------------------------------------
(UNAUDITED)
FOR THE SIX FOR THE SEVEN FOR THE ELEVEN
MONTHS ENDED MONTHS ENDED MONTHS ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 FEBRUARY 28, 1999
<S> <C> <C> <C>
-----------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
BEGINNING NET ASSETS... $ 191,636,247 $ 172,586,515 $ 152,219,490
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... (333,758) (239,628) (183,402)
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 12,933,847 2,237,462 8,684,372
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 19,866,706 3,468,146 9,193,064
-------------- ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 32,466,795 5,465,980 17,694,034
-------------- ------------------ -----------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT INCOME
CLASS A.............. 0 (100,729) (148,741)
CLASS B.............. 0 0 0
CLASS C.............. 0 0 0
CLASS I.............. N/A N/A N/A
NET REALIZED GAIN ON
SALE OF INVESTMENTS
CLASS A.............. (3,371,740) 0 (3,122,516)
CLASS B.............. (759,766) 0 (343,110)
CLASS C.............. (2,774,955) 0 (2,072,172)
CLASS I.............. N/A N/A N/A
CAPITAL SHARE
TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD - CLASS A....... 4,702,695 6,212,605 10,094,262
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 2,698,776 76,972 2,652,183
COST OF SHARES REDEEMED
- CLASS A............ (15,617,507) (7,604,914) (20,080,414)
-------------- ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ (8,216,036) (1,315,337) (7,333,969)
-------------- ------------------ -----------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 6,934,435 7,441,227 9,165,489
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 713,641 0 325,031
COST OF SHARES REDEEMED
- CLASS B............ (2,638,661) (751,607) (1,079,572)
-------------- ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 5,009,415 6,689,620 8,410,948
-------------- ------------------ -----------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... 9,039,732 14,408,434 19,392,127
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 2,155,189 360 1,486,208
COST OF SHARES REDEEMED
- CLASS C............ (13,643,261) (6,098,596) (13,595,784)
-------------- ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ (2,448,340) 8,310,198 7,282,551
-------------- ------------------ -----------------
PROCEEDS FROM SHARES
SOLD - CLASS I....... N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS I............ N/A N/A N/A
-------------- ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS I................ N/A N/A N/A
-------------- ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 19,905,373 19,049,732 20,367,025
-------------- ------------------ -----------------
NET ASSETS:
-----------------------------------------------------------------------------------
ENDING NET ASSETS...... $ 211,541,620 $ 191,636,247 $ 172,586,515
SHARES ISSUED AND REDEEMED:
SHARES SOLD -
CLASS A.............. 220,588 305,236 571,737
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 126,525 3,809 147,971
SHARES REDEEMED -
CLASS A.............. (736,651) (374,373) (1,138,366)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ (389,538) (65,328) (418,658)
SHARES SOLD -
CLASS B.............. 267,427 295,420 415,134
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 27,207 0 14,619
SHARES REDEEMED -
CLASS B.............. (101,412) (29,564) (48,393)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS B................ 193,222 265,856 381,360
SHARES SOLD -
CLASS C.............. 345,915 571,543 860,963
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 82,102 10 66,796
SHARES REDEEMED -
CLASS C.............. (522,698) (242,752) (641,920)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ (94,681) 328,801 285,839
SHARES SOLD -
CLASS I.............. N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. N/A N/A N/A
SHARES REDEEMED -
CLASS I.............. N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS I................ N/A N/A N/A
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ (333,758) $ (413,893) $ (388,558)
-------------- ------------------ -----------------
</TABLE>
(1) THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
(2) "PROCEEDS FROM SHARES SOLD" INCLUDES $25,397,650 FOR CLASS A SHARES, AND
"SHARES SOLD" INCLUDES 1,095,671 FOR CLASS A SHARES AS A RESULT OF THE
CONSOLIDATION OF THE STAGECOACH BALANCED FUND INTO THE FUND. "PROCEEDS FROM
SHARES SOLD" INCLUDES $10,421,883 FOR CLASS B SHARES, AND "SHARES SOLD"
INCLUDES 741,243 FOR CLASS B SHARES AS A RESULT OF THE CONSOLIDATION OF
THE STAGECOACH BALANCED FUND INTO THE FUND. "PROCEEDS FROM SHARES SOLD"
INCLUDES $28,338,510 FOR INSTITUTIONAL CLASS SHARES, AND "SHARES SOLD"
INCLUDES 1,222,541 FOR INSTITUTIONAL CLASS SHARES AS A RESULT OF THE
CONSOLIDATION OF THE STAGECOACH BALANCED FUND INTO THE FUND.
(3) THIS CLASS OF SHARES COMMENCED OPERATIONS ON APRIL 1, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
52
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS ALLOCATION FUNDS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MODERATE BALANCED STRATEGIC INCOME
--------------------------------------------------- ---------------------------------------------------
(UNAUDITED) (UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE FOR THE SIX FOR THE FOUR FOR THE
MONTHS ENDED MONTHS ENDED YEAR ENDED MONTHS ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999 MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
BEGINNING NET ASSETS... $ 546,569,912 $ 527,692,640 $ 464,383,735 $ 267,158,458 $ 263,327,727 $235,253,837
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 9,450,758 6,190,508 16,000,791 6,068,851 3,885,680 10,666,460
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 18,913,865 6,134,641 29,446,117 3,953,046 1,234,908 8,268,621
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 21,234,862 (12,029,757) 11,154,848 6,381,278 (3,988,645) 1,488,787
-------------- ------------------ ------------- -------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 49,599,485 295,392 56,601,756 16,403,175 1,131,943 20,423,868
-------------- ------------------ ------------- -------------- ------------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT INCOME
CLASS A.............. N/A N/A N/A N/A N/A N/A
CLASS B.............. N/A N/A N/A N/A N/A N/A
CLASS C.............. N/A N/A N/A N/A N/A N/A
CLASS I.............. (17,805,383) 0 (15,305,998) (11,396,460) 0 (10,430,421)
NET REALIZED GAIN ON
SALE OF INVESTMENTS
CLASS A.............. N/A N/A N/A N/A N/A N/A
CLASS B.............. N/A N/A N/A N/A N/A N/A
CLASS C.............. N/A N/A N/A N/A N/A N/A
CLASS I.............. (26,775,314) 0 (15,882,796) (7,058,468) 0 (4,560,949)
CAPITAL SHARE
TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD - CLASS A....... N/A N/A N/A N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. N/A N/A N/A N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS A............ N/A N/A N/A N/A N/A N/A
-------------- ------------------ ------------- -------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ N/A N/A N/A N/A N/A N/A
-------------- ------------------ ------------- -------------- ------------------ ------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... N/A N/A N/A N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. N/A N/A N/A N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS B............ N/A N/A N/A N/A N/A N/A
-------------- ------------------ ------------- -------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS B................ N/A N/A N/A N/A N/A N/A
-------------- ------------------ ------------- -------------- ------------------ ------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... N/A N/A N/A N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. N/A N/A N/A N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS C............ N/A N/A N/A N/A N/A N/A
-------------- ------------------ ------------- -------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ N/A N/A N/A N/A N/A N/A
-------------- ------------------ ------------- -------------- ------------------ ------------
PROCEEDS FROM SHARES
SOLD - CLASS I....... 40,686,888 55,133,210 123,800,331 16,673,140 23,629,941 70,070,502
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. 44,029,883 0 31,072,462 18,189,233 0 14,719,218
COST OF SHARES REDEEMED
- CLASS I............ (93,479,074) (36,551,330) (116,976,850) (44,761,703) (20,931,153) (62,148,328)
-------------- ------------------ ------------- -------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS I................ (8,762,303) 18,581,880 37,895,943 (9,899,330) 2,698,788 22,641,392
-------------- ------------------ ------------- -------------- ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... (3,743,515) 18,877,272 63,308,905 (11,951,083) 3,830,731 28,073,890
-------------- ------------------ ------------- -------------- ------------------ ------------
NET ASSETS:
-----------------------------------------------------------------------------------------------------------------------------------
ENDING NET ASSETS...... $ 542,826,397 $ 546,569,912 $ 527,692,640 $ 255,207,375 $ 267,158,458 $263,327,727
SHARES ISSUED AND REDEEMED:
SHARES SOLD -
CLASS A.............. N/A N/A N/A N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. N/A N/A N/A N/A N/A N/A
SHARES REDEEMED -
CLASS A.............. N/A N/A N/A N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ N/A N/A N/A N/A N/A N/A
SHARES SOLD -
CLASS B.............. N/A N/A N/A N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. N/A N/A N/A N/A N/A N/A
SHARES REDEEMED -
CLASS B.............. N/A N/A N/A N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS B................ N/A N/A N/A N/A N/A N/A
SHARES SOLD -
CLASS C.............. N/A N/A N/A N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. N/A N/A N/A N/A N/A N/A
SHARES REDEEMED -
CLASS C.............. N/A N/A N/A N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ N/A N/A N/A N/A N/A N/A
SHARES SOLD -
CLASS I.............. 1,707,159 2,245,495 5,272,604 845,652 1,172,995 3,522,514
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS I.............. 1,910,190 0 1,348,046 954,314 0 753,286
SHARES REDEEMED -
CLASS I.............. (3,907,967) (1,496,860) (4,973,212) (2,281,173) (1,040,085) (3,120,624)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS I................ (290,618) 748,635 1,647,438 (481,207) 132,910 1,155,176
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 7,510,162 $ 15,864,787 $ 9,719,677 $ 4,299,992 $ 9,627,601 $ 5,754,159
-------------- ------------------ ------------- -------------- ------------------ ------------
</TABLE>
(1) THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
(2) "PROCEEDS FROM SHARES SOLD" INCLUDES $25,397,650 FOR CLASS A SHARES, AND
"SHARES SOLD" INCLUDES 1,095,671 FOR CLASS A SHARES AS A RESULT OF THE
CONSOLIDATION OF THE STAGECOACH BALANCED FUND INTO THE FUND. "PROCEEDS FROM
SHARES SOLD" INCLUDES $10,421,883 FOR CLASS B SHARES, AND "SHARES SOLD"
INCLUDES 741,243 FOR CLASS B SHARES AS A RESULT OF THE CONSOLIDATION OF
THE STAGECOACH BALANCED FUND INTO THE FUND. "PROCEEDS FROM SHARES SOLD"
INCLUDES $28,338,510 FOR INSTITUTIONAL CLASS SHARES, AND "SHARES SOLD"
INCLUDES 1,222,541 FOR INSTITUTIONAL CLASS SHARES AS A RESULT OF THE
CONSOLIDATION OF THE STAGECOACH BALANCED FUND INTO THE FUND.
(3) THIS CLASS OF SHARES COMMENCED OPERATIONS ON APRIL 1, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
53
<PAGE>
ALLOCATION FUNDS FINANCIAL HIGHLIGHTS (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET REALIZED
BEGINNING NET AND DIVIDENDS
NET ASSET INVESTMENT UNREALIZED FROM NET
VALUE PER INCOME GAIN (LOSS) ON INVESTMENT
SHARE (LOSS) INVESTMENTS INCOME
<S> <C> <C> <C> <C>
----------------------------------------------------------------------------
AGGRESSIVE BALANCED-EQUITY FUND
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 12.89 0.09 1.96 (0.12)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 12.93 0.02 (0.06) 0.00
JUNE 1, 1998 TO MAY 31,
1999................... $ 11.04 0.15 1.83 (0.09)
DECEMBER 2, 1997 (6) TO
MAY 31, 1998........... $ 10.00 0.06 0.99 (0.01)
ASSET ALLOCATION FUND
----------------------------------------------------------------------------
A SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 25.84 0.30 2.84 (0.31)
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 25.65 0.36 0.19 (0.36)
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 24.99 0.38 2.92 (0.33)
APRIL 1, 1997 TO
MARCH 31, 1998......... $ 20.30 0.69 6.37 (0.69)
OCTOBER 1, 1997 TO
MARCH 31, 1997 (9)..... $ 21.24 0.41 0.65 (0.41)
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996
(10)................... $ 20.74 0.57 0.50 (0.57)
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 16.73 0.74 4.07 (0.74)
B SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 15.63 0.13 1.72 (0.10)
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 15.55 0.18 0.08 (0.18)
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 15.16 0.13 1.77 (0.11)
APRIL 1, 1997 TO
MARCH 31, 1998......... $ 12.29 0.29 3.89 (0.29)
OCTOBER 1, 1997 TO
MARCH 31, 1997 (9)..... $ 12.84 0.19 0.41 (0.19)
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996
(10)................... $ 12.50 0.28 0.34 (0.28)
JANUARY 1, 1995 (6) TO
DECEMBER 31, 1995...... $ 10.00 0.22 2.53 (0.22)
C SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 15.68 0.13 1.72 (0.10)
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 15.59 0.18 0.09 (0.18)
APRIL 1, 1998 (6) TO
FEBRUARY 28, 1999...... $ 15.16 0.08 1.82 (0.07)
I SHARES
NOVEMBER 8, 1999 (6) TO
MARCH 31, 2000......... $ 23.18 0.32 1.78 (0.29)
GROWTH BALANCED FUND
----------------------------------------------------------------------------
A SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 32.69 0.25 4.14 (0.59)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 32.78 0.16 (0.25) 0.00
OCTOBER 1, 1998 (6) TO
MAY 31, 1999........... $ 28.09 0.63 5.67 (0.58)
B SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 30.59 0.21 3.78 (0.41)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 30.76 0.10 (0.27) 0.00
OCTOBER 1, 1998 (6) TO
MAY 31, 1999........... $ 26.96 0.56 4.82 (0.55)
C SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 30.65 0.27 3.72 (0.48)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 30.79 0.07 (0.21) 0.00
OCTOBER 1, 1998 (6) TO
MAY 31, 1999........... $ 26.96 0.65 4.79 (0.58)
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 30.86 0.35 3.82 (0.62)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 30.93 0.19 (0.26) 0.00
JUNE 1, 1998 TO MAY 31,
1999................... $ 28.06 0.60 3.88 (0.58)
JUNE 1, 1997 TO MAY 31,
1998................... $ 24.77 0.58 4.52 (0.60)
JUNE 1, 1996 TO MAY 31,
1997................... $ 22.83 0.62 2.86 (0.63)
NOVEMBER 1, 1995 TO
MAY 31, 1996........... $ 21.25 0.31 1.95 (0.51)
NOVEMBER 11, 1994 (6) TO
OCTOBER 31, 1995....... $ 17.95 0.47 2.83 0.00
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
54
<PAGE>
FINANCIAL HIGHLIGHTS (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISTRIBUTIONS ENDING RATIO TO AVERAGE NET ASSETS (ANNUALIZED)
FROM NET NET ASSET ----------------------------------------- PORTFOLIO
REALIZED VALUE PER NET INVESTMENT NET GROSS TOTAL TURNOVER
GAINS SHARE INCOME (LOSS) EXPENSES EXPENSES (1) RETURN (2) RATE
<S> <C> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------
AGGRESSIVE BALANCED-EQUITY FUND
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (0.02) $ 14.80 0.74%(3) 1.00%(3) 1.19%(3) 15.98% 22%(4)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... 0.00 $ 12.89 1.36%(3) 1.00%(3) 1.24%(3) (0.31)% 12%(4)
JUNE 1, 1998 TO MAY 31,
1999................... 0.00 $ 12.93 1.34%(3) 1.00%(3) 1.36%(3) 17.98% 43%(4)
DECEMBER 2, 1997 (6) TO
MAY 31, 1998........... 0.00 $ 11.04 1.58%(3) 1.00%(3) 2.29%(3) 10.55% 36%(4)
ASSET ALLOCATION FUND
---------------------------------------------------------------------------------------------------------------------
A SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (3.69) $ 24.98 2.42% 1.00% 1.18% 13.66% 23%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... 0.00 $ 25.84 2.08% 0.95% 0.96% 2.10% 29%
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... (2.31) $ 25.65 1.65% 0.92% N/A 13.69% 31%
APRIL 1, 1997 TO
MARCH 31, 1998......... (1.68) $ 24.99 2.99%(11) 0.95%(11) N/A 36.08% 51%(11)
OCTOBER 1, 1997 TO
MARCH 31, 1997 (9)..... (1.59) $ 20.30 3.91%(11) 0.92%(11) N/A 4.94% 5%(11)
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996
(10)................... 0.00 $ 21.24 3.53%(11) 0.90%(11) N/A 5.14% 1%(12)
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... (0.06) $ 20.74 3.81% 0.84% N/A 29.18% 15%
B SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (2.23) $ 15.15 1.69% 1.74% 1.97% 13.28% 23%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... 0.00 $ 15.63 1.42% 1.63% 1.68% 1.68% 29%
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... (1.40) $ 15.55 0.91% 1.62% 1.63% 12.98% 31%
APRIL 1, 1997 TO
MARCH 31, 1998......... (1.02) $ 15.16 2.15%(11) 1.60%(11) N/A 35.16% 51%(11)
OCTOBER 1, 1997 TO
MARCH 31, 1997 (9)..... (0.96) $ 12.29 3.30%(11) 1.53%(11) 1.58%(11) 4.62% 5%(11)
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996
(10)................... 0.00 $ 12.84 3.37%(11) 1.14%(11) 1.56%(11) 4.96% 1%(12)
JANUARY 1, 1995 (6) TO
DECEMBER 31, 1995...... (0.03) $ 12.50 2.71% 1.53% 1.76% 27.72% 15%
C SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (2.24) $ 15.19 1.69% 1.74% 1.91% 13.21% 23%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... 0.00 $ 15.68 1.46% 1.64% 1.70% 1.69% 29%
APRIL 1, 1998 (6) TO
FEBRUARY 28, 1999...... (1.40) $ 15.59 0.69% 1.64% 1.85% 12.97% 31%
I SHARES
NOVEMBER 8, 1999 (6) TO
MARCH 31, 2000......... 0.00 $ 24.99 2.44% 1.00% 1.03% 8.78% 23%
GROWTH BALANCED FUND
---------------------------------------------------------------------------------------------------------------------
A SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (1.81) $ 34.68 1.43%(3) 1.16%(3) 1.41%(3) 13.94% 25%(4)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... 0.00 $ 32.69 1.83%(3) 1.15%(3) 1.67%(3) (0.27)% 11%(4)
OCTOBER 1, 1998 (6) TO
MAY 31, 1999........... (1.03) $ 32.78 1.92%(3) 1.15%(3) 1.88%(3) 22.83% 49%(4)
B SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (1.81) $ 32.36 0.63%(3) 1.92%(3) 2.19%(3) 13.54% 25%(4)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... 0.00 $ 30.59 1.08%(3) 1.90%(3) 2.31%(3) (0.55)% 11%(4)
OCTOBER 1, 1998 (6) TO
MAY 31, 1999........... (1.03) $ 30.76 1.34%(3) 1.75%(3) 2.43%(3) 20.36% 49%(4)
C SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (1.81) $ 32.35 0.69%(3) 1.89%(3) 2.18%(3) 13.53% 25%(4)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... 0.00 $ 30.65 1.30%(3) 1.68%(3) 2.46%(3) (0.45)% 11%(4)
OCTOBER 1, 1998 (6) TO
MAY 31, 1999........... (1.03) $ 30.79 1.45%(3) 1.68%(3) 4.43%(3) 20.59% 49%(4)
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (1.81) $ 32.60 1.58%(3) 0.94%(3) 1.03%(3) 14.05% 25%(4)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... 0.00 $ 30.86 2.05%(3) 0.93%(3) 1.14%(3) (0.23)% 11%(4)
JUNE 1, 1998 TO MAY 31,
1999................... (1.03) $ 30.93 2.16%(3) 0.93%(3) 1.13%(3) 16.38% 49%(4)
JUNE 1, 1997 TO MAY 31,
1998................... (1.21) $ 28.06 2.38%(3) 0.93%(3) 1.09%(3) 21.40% 46%(4)
JUNE 1, 1996 TO MAY 31,
1997................... (0.91) $ 24.77 2.47%(3) 0.94%(3) 1.16%(3) 15.81% 24%(4)
NOVEMBER 1, 1995 TO
MAY 31, 1996........... (0.17) $ 22.83 2.66%(3) 0.98%(3) 1.16%(3) 10.87% 39%
NOVEMBER 11, 1994 (6) TO
OCTOBER 31, 1995....... 0.00 $ 21.25 2.63%(3) 0.99%(3) 1.23%(3) 18.38% 41%
<CAPTION>
NET ASSETS AT
END OF PERIOD
(000'S OMITTED)
<S> <C>
-------------------------
AGGRESSIVE BALANCED-EQUIT
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 76,209
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 65,011
JUNE 1, 1998 TO MAY 31,
1999................... $ 31,975
DECEMBER 2, 1997 (6) TO
MAY 31, 1998........... $ 8,872
ASSET ALLOCATION FUND
-------------------------
A SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 1,369,603
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 1,310,935
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 1,362,966
APRIL 1, 1997 TO
MARCH 31, 1998......... $ 1,305,848
OCTOBER 1, 1997 TO
MARCH 31, 1997 (9)..... $ 1,041,622
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996
(10)................... $ 1,057,346
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 1,077,935
B SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 566,495
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 491,284
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 402,991
APRIL 1, 1997 TO
MARCH 31, 1998......... $ 267,060
OCTOBER 1, 1997 TO
MARCH 31, 1997 (9)..... $ 89,252
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996
(10)................... $ 63,443
JANUARY 1, 1995 (6) TO
DECEMBER 31, 1995...... $ 26,271
C SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 24,892
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 20,218
APRIL 1, 1998 (6) TO
FEBRUARY 28, 1999...... $ 10,076
I SHARES
NOVEMBER 8, 1999 (6) TO
MARCH 31, 2000......... $ 23,271
GROWTH BALANCED FUND
-------------------------
A SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 16,398
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 6,552
OCTOBER 1, 1998 (6) TO
MAY 31, 1999........... $ 3,667
B SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 16,949
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 11,967
OCTOBER 1, 1998 (6) TO
MAY 31, 1999........... $ 8,978
C SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 4,232
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 2,153
OCTOBER 1, 1998 (6) TO
MAY 31, 1999........... $ 1,236
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 961,610
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 905,789
JUNE 1, 1998 TO MAY 31,
1999................... $ 850,503
JUNE 1, 1997 TO MAY 31,
1998................... $ 665,758
JUNE 1, 1996 TO MAY 31,
1997................... $ 503,382
NOVEMBER 1, 1995 TO
MAY 31, 1996........... $ 484,641
NOVEMBER 11, 1994 (6) TO
OCTOBER 31, 1995....... $ 374,892
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
55
<PAGE>
ALLOCATION FUNDS FINANCIAL HIGHLIGHTS (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET REALIZED
BEGINNING NET AND DIVIDENDS
NET ASSET INVESTMENT UNREALIZED FROM NET
VALUE PER INCOME GAIN (LOSS) ON INVESTMENT
SHARE (LOSS) INVESTMENTS INCOME
<S> <C> <C> <C> <C>
----------------------------------------------------------------------------
INDEX ALLOCATION FUND
----------------------------------------------------------------------------
A SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 19.72 0.00 2.72 0.00
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 19.04 0.02 0.68 (0.02)
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 17.55 0.03 2.14 (0.03)
JANUARY 1, 1998 TO
MARCH 31, 1998 (13).... $ 15.51 0.01 2.04 (0.01)
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 13.99 0.28 3.23 (0.28)
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 13.76 0.29 2.02 (0.29)
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 10.67 0.28 3.42 (0.28)
B SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 24.30 (0.04) 3.28 0.00
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 23.55 (0.05) 0.80 0.00
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 21.81 (0.07) 2.61 0.00
JANUARY 1, 1998 TO
MARCH 31, 1998 (13).... $ 19.31 (0.01) 2.51 0.00
DECEMBER 15, 1997 (6) TO
DECEMBER 31, 1997...... $ 18.99 0.00 0.32 0.00
C SHARES (14)
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 24.32 (0.05) 3.29 0.00
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 23.56 (0.07) 0.83 0.00
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 21.82 (0.10) 2.64 0.00
JANUARY 1, 1998 TO
MARCH 31, 1998 (13).... $ 19.32 (0.02) 2.52 0.00
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 17.42 0.20 4.00 (0.20)
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 17.10 0.22 2.54 (0.22)
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 13.26 0.20 4.24 (0.20)
MODERATE BALANCED FUND
----------------------------------------------------------------------------
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 24.18 0.47 1.76 (0.83)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 24.14 0.26 (0.22) 0.00
JUNE 1, 1998 TO MAY 31,
1999................... $ 22.98 0.75 1.94 (0.75)
JUNE 1, 1997 TO MAY 31,
1998................... $ 21.59 0.80 2.72 (0.86)
JUNE 1, 1996 TO MAY 31,
1997................... $ 20.27 0.77 1.60 (0.76)
NOVEMBER 1, 1995 TO
MAY 31, 1996........... $ 19.84 0.46 0.89 (0.66)
NOVEMBER 11, 1994 (6) TO
OCTOBER 31, 1995....... $ 17.25 0.65 1.94 0.00
STRATEGIC INCOME FUND
----------------------------------------------------------------------------
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 20.06 0.49 0.76 (0.88)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 19.98 0.29 (0.21) 0.00
JUNE 1, 1998 TO MAY 31,
1999................... $ 19.56 0.82 0.81 (0.84)
JUNE 1, 1997 TO MAY 31,
1998................... $ 18.47 0.79 1.75 (0.86)
JUNE 1, 1996 TO MAY 31,
1997................... $ 18.12 0.97 0.71 (0.95)
NOVEMBER 1, 1995 TO
MAY 31, 1996........... $ 18.21 0.48 0.42 (0.76)
NOVEMBER 11, 1994 (6) TO
OCTOBER 31, 1995....... $ 16.19 0.75 1.27 0.00
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
56
<PAGE>
FINANCIAL HIGHLIGHTS (UNAUDITED) ALLOCATION FUNDS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISTRIBUTIONS ENDING RATIO TO AVERAGE NET ASSETS (ANNUALIZED)
FROM NET NET ASSET ----------------------------------------- PORTFOLIO
REALIZED VALUE PER NET INVESTMENT NET GROSS TOTAL TURNOVER
GAINS SHARE INCOME (LOSS) EXPENSES EXPENSES (1) RETURN (2) RATE
<S> <C> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------
INDEX ALLOCATION FUND
---------------------------------------------------------------------------------------------------------------------
A SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... 0.00 $ 22.44 0.07% 1.30% 1.32% 17.56% 2%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... 0.00 $ 19.72 0.15% 1.26% 1.26% 3.68% 3%
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... (0.65) $ 19.04 0.19% 1.29% N/A 12.60% 12%
JANUARY 1, 1998 TO
MARCH 31, 1998 (13).... 0.00 $ 17.55 0.30% 1.31% 1.32% 13.23% 0%
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... (1.71) $ 15.51 1.82% 1.26% 1.29% 25.18% 80%
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... (1.79) $ 13.99 2.06% 1.31% 1.44% 17.04% 67%
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... (0.33) $ 13.76 2.07% 1.30% 1.35% 34.71% 47%
B SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... 0.00 $ 27.54 (0.69)% 2.04% 2.12% 17.08% 2%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... 0.00 $ 24.30 (0.61)% 2.03% 2.07% 3.18% 3%
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... (0.80) $ 23.55 (0.57)% 2.04% 2.26% 11.88% 12%
JANUARY 1, 1998 TO
MARCH 31, 1998 (13).... 0.00 $ 21.81 (0.43)% 2.06% 4.03% 12.95% 0%
DECEMBER 15, 1997 (6) TO
DECEMBER 31, 1997...... 0.00 $ 19.31 (0.17)% 2.05% 15.17% 1.69% 80%
C SHARES (14)
OCTOBER 1, 1999 TO
MARCH 31, 2000......... 0.00 $ 27.56 (0.69)% 2.06% 2.18% 17.07% 2%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... 0.00 $ 24.32 (0.60)% 2.01% 2.02% 3.23% 3%
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... (0.80) $ 23.56 (0.56)% 2.05% 2.06% 11.88% 12%
JANUARY 1, 1998 TO
MARCH 31, 1998 (13).... 0.00 $ 21.82 (0.44)% 2.05% 2.09% 13.00% 0%
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... (2.10) $ 19.32 1.00% 2.02% 2.05% 24.07% 80%
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... (2.22) $ 17.42 1.35% 2.05% 2.20% 16.37% 67%
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... (0.40) $ 17.10 1.30% 2.05% 2.17% 33.72% 47%
MODERATE BALANCED FUND
---------------------------------------------------------------------------------------------------------------------
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (1.25) $ 24.33 3.01%(3) 0.89%(3) 0.99%(3) 9.72% 26%(4)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... 0.00 $ 24.18 3.37%(3) 0.88%(3) 1.09%(3) 0.17% 11%(4)
JUNE 1, 1998 TO MAY 31,
1999................... (0.78) $ 24.14 3.26%(3) 0.88%(3) 1.09%(3) 12.02% 53%(4)
JUNE 1, 1997 TO MAY 31,
1998................... (1.27) $ 22.98 3.57%(3) 0.88%(3) 1.05%(3) 17.04% 54%(4)
JUNE 1, 1996 TO MAY 31,
1997................... (0.29) $ 21.59 3.70%(3) 0.88%(3) 1.04%(3) 12.04% 45%
NOVEMBER 1, 1995 TO
MAY 31, 1996........... (0.26) $ 20.27 3.95%(3) 0.90%(3) 1.04%(3) 7.03% 53%
NOVEMBER 11, 1994 (6) TO
OCTOBER 31, 1995....... 0.00 $ 19.84 3.76%(3) 0.92%(3) 1.11%(3) 15.01% 62%
STRATEGIC INCOME FUND
---------------------------------------------------------------------------------------------------------------------
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... (0.54) $ 19.89 4.16%(3) 0.81%(3) 0.97%(3) 6.57% 27%(4)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... 0.00 $ 20.06 4.32%(3) 0.80%(3) 1.05%(3) 0.40% 11%(4)
JUNE 1, 1998 TO MAY 31,
1999................... (0.37) $ 19.98 4.22%(3) 0.80%(3) 1.04%(3) 8.45% 54%(4)
JUNE 1, 1997 TO MAY 31,
1998................... (0.59) $ 19.56 4.47%(3) 0.80%(3) 1.03%(3) 14.13% 58%(4)
JUNE 1, 1996 TO MAY 31,
1997................... (0.38) $ 18.47 4.38%(3) 0.81%(3) 0.98%(3) 9.58% 72%
NOVEMBER 1, 1995 TO
MAY 31, 1996........... (0.23) $ 18.12 4.65%(3) 0.82%(3) 0.97%(3) 5.14% 56%
NOVEMBER 11, 1994 (6) TO
OCTOBER 31, 1995....... 0.00 $ 18.21 4.67%(3) 0.82%(3) 1.03%(3) 12.48% 66%
<CAPTION>
NET ASSETS AT
END OF PERIOD
(000'S OMITTED)
<S> <C>
-------------------------
INDEX ALLOCATION FUND
-------------------------
A SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 98,959
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 94,676
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 92,655
JANUARY 1, 1998 TO
MARCH 31, 1998 (13).... $ 92,733
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 80,512
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 60,353
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 52,007
B SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 27,337
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 19,431
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 12,568
JANUARY 1, 1998 TO
MARCH 31, 1998 (13).... $ 3,322
DECEMBER 15, 1997 (6) TO
DECEMBER 31, 1997...... $ 356
C SHARES (14)
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 85,246
MARCH 1, 1999 TO
SEPTEMBER 30, 1999
(7).................... $ 77,530
APRIL 1, 1998 TO
FEBRUARY 28, 1999
(8).................... $ 67,364
JANUARY 1, 1998 TO
MARCH 31, 1998 (13).... $ 56,164
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... $ 46,084
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... $ 24,655
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... $ 16,075
MODERATE BALANCED FUND
-------------------------
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 542,826
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 546,570
JUNE 1, 1998 TO MAY 31,
1999................... $ 527,693
JUNE 1, 1997 TO MAY 31,
1998................... $ 464,384
JUNE 1, 1996 TO MAY 31,
1997................... $ 418,680
NOVEMBER 1, 1995 TO
MAY 31, 1996........... $ 398,005
NOVEMBER 11, 1994 (6) TO
OCTOBER 31, 1995....... $ 373,998
STRATEGIC INCOME FUND
-------------------------
I SHARES
OCTOBER 1, 1999 TO
MARCH 31, 2000......... $ 255,207
JUNE 1, 1999 TO
SEPTEMBER 30, 1999
(5).................... $ 267,158
JUNE 1, 1998 TO MAY 31,
1999................... $ 263,328
JUNE 1, 1997 TO MAY 31,
1998................... $ 235,254
JUNE 1, 1996 TO MAY 31,
1997................... $ 128,777
NOVEMBER 1, 1995 TO
MAY 31, 1996........... $ 146,950
NOVEMBER 11, 1994 (6) TO
OCTOBER 31, 1995....... $ 136,710
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
57
<PAGE>
ALLOCATION FUNDS NOTES TO FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
NOTES TO FINANCIAL HIGHLIGHTS (UNAUDITED)
--------------------------------------------------------------------------------
(1) During each period, various fees and expenses were waived and reimbursed.
The ratio of Gross Expenses to Average Net Assets reflects the expense
ratio in the absence of any waivers and reimbursements (Note 9).
(2) Total return calculations do not include any sales charges, and would have
been lower had certain expenses not been waived or reimbursed during the
period shown.
(3) Includes expenses allocated from the Portfolio(s) in which the Fund
invests.
(4) Portfolio turnover rate is calculated by aggregating the results of
multiplying the Fund's investment percentage in the respective Portfolio
by the corresponding Portfolio's portfolio turnover rate.
(5) The Fund changed its fiscal year-end from May 31 to September 30.
(6) Commencement of operations.
(7) The Fund changed its fiscal year-end from February 28 to September 30.
(8) The Fund changed its fiscal year-end from March 31 to February 28.
(9) The Fund changed its fiscal year-end from September 30 to March 31.
(10) The Fund changed its fiscal year-end from December 31 to September 30.
(11) This ratio includes activity of the Master Portfolio prior to
December 15, 1997.
(12) The portfolio turnover for the Asset Allocation Master Portfolio from its
inception on April 28, 1996 to September 30, 1996, was 28%. The
information shown reflects the stand-alone period only.
(13) The Fund changed its fiscal year-end from December 31 to March 31.
(14) This class of shares commenced operations as Class D shares on July 1,
1993. These shares were renamed as Class C shares in conjunction with the
consolidation of Overland Express Funds, Inc. and Stagecoach Funds, Inc.
on December 15, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
58
<PAGE>
NOTES TO FINANCIAL STATEMENTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION
Wells Fargo Funds Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end series
management investment company. The Trust commenced operations on November 8,
1999, and is currently comprised of 61 separate series. These financial
statements represent the Aggressive Balanced-Equity, Asset Allocation, Growth
Balanced, Index Allocation, Moderate Balanced, and Strategic Income Funds
(each, a "Fund", collectively, the "Funds"), each a diversified series of the
Trust.
Concurrent with the establishment of the Trust, the Board of Trustees of the
Stagecoach Family of Funds and the Board of Trustees of the Norwest Advantage
Funds approved a consolidation agreement providing for the acquisition of the
assets and assumption of liabilities of certain Stagecoach and Norwest
Advantage Funds into the Wells Fargo Funds Trust. Effective on the close of
business November 5, 1999 the Stagecoach and/or Norwest Advantage Funds were
consolidated into the Wells Fargo Funds Trust through a tax-free exchange of
shares as follows:
<TABLE>
<CAPTION>
Stagecoach Fund Norwest Advantage Fund Wells Fargo Fund
<S> <C> <C>
AGGRESSIVE BALANCED-EQUITY FUND* AGGRESSIVE BALANCED-EQUITY FUND
ASSET ALLOCATION FUND*/BALANCED FUND ASSET ALLOCATION FUND
GROWTH BALANCED FUND* GROWTH BALANCED FUND
INDEX ALLOCATION FUND* INDEX ALLOCATION FUND
MODERATE BALANCED FUND* MODERATE BALANCED FUND
STRATEGIC INCOME FUND* STRATEGIC INCOME FUND
</TABLE>
* ACCOUNTING SURVIVOR
In the consolidation, the Wells Fargo Asset Allocation Fund acquired all of
the net assets of the Stagecoach Asset Allocation Fund and Stagecoach
Balanced Fund. The Stagecoach Balanced Fund exchanged its 6,248,314 shares
(valued at $64,158,043) for 3,059,455 shares of the Wells Fargo Asset
Allocation Fund. The net assets of the Stagecoach Balanced Fund included
unrealized appreciation of $8,912,729.
The Asset Allocation, Growth Balanced, and Index Allocation Funds offer
Class A, Class B, and Class C shares. In addition, the Asset Allocation and
Growth Balanced Funds also offer Institutional Class shares. The Aggressive
Balanced-Equity, Moderate Balanced, and Strategic Income Funds only offer
Institutional Class shares. Shareholders of each class may bear certain
expenses that pertain to that particular class. All shareholders bear the
common expenses of the Fund and earn income from the portfolio pro rata based
on the average daily net assets of each class, without distinction between
share classes. Dividends are determined separately for each class based on
income and expenses allocable to each class. Realized gains and losses are
allocated to each class pro rata based on the net assets of each class on the
date realized. No class has preferential dividend rights. Differences in per
share dividend rates generally result from the relative weightings of pro rata
income and realized gain allocations and from differences in separate class
expenses, including shareholder servicing fees.
The Aggressive Balanced-Equity, Growth Balanced, Moderate Balanced, and
Strategic Income Funds each seek to achieve its investment objective by
investing all investable assets in one or more separate diversified portfolios
("Portfolio") of Core Trust, a registered open-end management investment
company. Each Portfolio directly acquires portfolio securities, and a Fund
investing in a Portfolio acquires an indirect interest in those securities.
The Funds account for their investment in the Portfolios as partnership
investments and record daily their share of the Portfolio's income, expenses,
and realized and unrealized gain and loss. The financial statements of the
Portfolios are in this report and should be read in conjunction with the
Funds' financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies which are consistently followed
by the Trust in the preparation of its financial statements are in conformity
with generally accepted accounting principles ("GAAP") for investment
companies.
The preparation of financial statements in conformity with GAAP requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities, disclosure of contingent assets
59
<PAGE>
ALLOCATION FUNDS NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
and liabilities at the date of the financial statements and the reported
amounts of revenues and expenses during the reporting period. Actual results
could differ from those estimates.
SECURITY VALUATION
Investments in securities are valued at the close of each business day.
Securities which are traded on a national or foreign securities exchange or
the National Association of Securities Dealers Automated Quotation ("NASDAQ")
National Market are valued at the last reported sales price. In the absence of
any sale of such securities, and in the case of other securities, including
U.S. Government obligations, but excluding debt securities maturing in 60 days
or less, the valuations are based on the latest quoted bid prices. Securities
denominated in foreign currencies are translated into U.S. dollars using the
closing rates of exchange in effect on the day of valuation. Securities for
which quotations are not readily available are valued at fair value as
determined by policies set by the Trust's Board of Trustees.
Debt securities maturing in 60 days or less are valued at amortized cost. The
amortized cost method involves valuing a security at its cost, plus accretion
of discount or minus amortization of premium over the period until maturity,
which approximates market value.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Securities transactions are recorded on a trade date basis. Realized gains or
losses are reported on the basis of identified cost of securities delivered.
Interest income is accrued daily and bond discounts are accreted and premiums
are amortized under provisions of the Internal Revenue Code of 1986, as
amended (the "Code").
Dividend income is recognized on the ex-dividend date, except for certain
dividends from foreign securities which are recorded as soon as the Fund is
informed of the ex-dividend date. Dividend income from foreign securities is
recorded net of foreign taxes withheld where recovery of such taxes is not
assured.
REPURCHASE AGREEMENTS
Each Fund may invest in repurchase agreements and may participate in pooled
repurchase agreement transactions with other funds advised by Wells Fargo
Bank, N.A. ("WFB"). The repurchase agreements must be fully collateralized
based on values that are marked to market daily. The collateral may be held by
an agent bank under a tri-party agreement. It is the Funds' custodian's
responsibility to value collateral daily and to take action to obtain
additional collateral as necessary to maintain market value equal to or
greater than the resale price. The repurchase agreements held by the Funds are
collateralized by instruments such as U.S. Treasury or federal agency
obligations.
FUTURES CONTRACTS
The Funds may purchase futures contracts to gain exposure to market changes,
which may be more efficient or cost effective than actually buying the
securities. A futures contract is an agreement between parties to buy or sell
a security at a set price on a future date. Upon entering into such a
contract, a Fund is required to pledge to the broker an amount of cash, U.S.
Government obligations or other high-quality debt securities equal to the
minimum "initial margin" requirements of the exchange on which the futures
contract is traded. Pursuant to the contract, the Fund agrees to receive from
or pay to the broker an amount of cash equal to the daily fluctuation in the
value of the contract. Such receipts or payments are known as "variation
margin" and are recorded by the Fund as unrealized gains or losses. When the
contract is closed, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed. Pursuant to regulations and/or published
positions of the Securities and Exchange Commission (the "SEC") for long
futures positions, the Fund is required to segregate highly liquid securities
as permitted by the SEC in connection with futures transactions in an amount
generally equal to the entire value of the underlying contracts. Risks of
entering into futures contracts include the possibility that there may be an
illiquid market and that a change in the value of the
60
<PAGE>
NOTES TO FINANCIAL STATEMENTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
contract may not correlate with changes in the value of the underlying
securities. On March 31, 2000, the Funds held the following futures contracts:
<TABLE>
<CAPTION>
Notional Net Unrealized
Fund Contracts Type Expiration Date Contract Value Appreciation/(Depreciation)
<S> <C> <C> <C> <C> <C>
AGGRESSIVE
BALANCED-EQUITY 30 SHORT S&P 500 INDEX JUNE, 2000 $ (11,364,750) $ (976,875)
115 LONG U.S. T-BONDS JUNE, 2000 11,234,062 308,804
ASSET ALLOCATION 2 LONG S&P 500 INDEX JUNE, 2000 757,650 54,574
GROWTH BALANCED 423 SHORT S&P 500 INDEX JUNE, 2000 (160,242,975) (13,773,937)
1606 LONG U.S. T-BONDS JUNE, 2000 156,886,125 4,312,265
INDEX ALLOCATION 6 LONG S&P 500 INDEX JUNE, 2000 2,272,950 92,801
MODERATE BALANCED 155 SHORT S&P 500 INDEX JUNE, 2000 (58,717,875) (5,047,187)
588 LONG U.S. T-BONDS JUNE, 2000 57,440,250 1,578,835
STRATEGIC INCOME 38 SHORT S&P 500 INDEX JUNE, 2000 (14,395,350) (1,237,375)
145 LONG U.S. T-BONDS JUNE, 2000 14,164,687 389,359
</TABLE>
The Aggressive Balanced-Equity, Asset Allocation, Growth Balanced, Index
Allocation, Moderate Balanced, and Strategic Income Funds have pledged to
brokers U.S. Treasury bills for initial margin requirements with par values of
$840,000, $100,000, $11,730,000, $143,000, $4,300,000, and $1,060,000,
respectively.
SECURITY LOANS
The Funds may loan securities in return for securities and cash collateral
which is invested in various short-term fixed income securities. The Funds may
receive compensation for lending securities in the form of fees or by
retaining a portion of interest on the investment securities or cash received
as collateral. A Fund also continues to receive interest or dividends on the
securities loaned. Security loans are secured at all times by collateral equal
to at least 102% of the market value of the securities loaned plus accrued
interest. Gain or loss in the market price of the securities loaned that may
occur during the term of the loan are reflected in the value of the Fund. The
risks to the Fund from securities lending are that the borrower may not
provide additional collateral when required or return the securities when due
or when called for by the Fund. There were no securities on loan at March 31,
2000.
DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income, if any, are declared
and distributed annually, with the exception of the Asset Allocation and Index
Allocation Funds. Dividends to shareholders from net investment income of the
Asset Allocation and Index Allocation Funds, if any, are declared and
distributed quarterly. Distributions to shareholders from net realized capital
gains, if any, are declared and distributed at least annually.
Distributions are based on amounts calculated in accordance with the
applicable federal income tax regulations, which may differ from generally
accepted accounting principles. The timing and character of distributions made
during the period from net investment income or net realized gains may also
differ from their ultimate characterization for federal income tax purposes.
The differences between the income or gains distributed on a book versus tax
basis are shown as excess distributions of net investment income and net
realized gain on sales of investments in the accompanying Statements of
Changes in Net Assets. 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; temporary differences do not require
reclassifications.
FEDERAL INCOME TAXES
Each Fund is treated as a separate entity for federal income tax purposes. It
is the policy of each Fund of the Trust to continue to qualify as a regulated
investment company by complying with the provisions applicable to regulated
investment companies, as defined in the Code, and to make distributions of
substantially all of its investment company taxable income and any net
realized capital gains (after reduction for capital loss carryforwards)
sufficient to relieve it from all, or substantially all, federal income taxes.
Accordingly, no provision for federal income taxes was required at March 31,
2000.
61
<PAGE>
ALLOCATION FUNDS NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
DEFERRED ORGANIZATION COSTS
Certain costs incurred in connection with the organization of the Funds and
their initial registration with the Securities and Exchange Commission and
with the various states prior to June 30, 1998 are being amortized on a
straight-line basis over 60 months from the date each Fund commenced
operations. Costs incurred after June 30, 1998 are expensed as incurred.
3. ADVISORY FEES
The Trust has entered into separate advisory contracts on behalf of the Funds
with WFB. Pursuant to the contracts, WFB has agreed to provide the following
Funds with daily portfolio management, for which, WFB is entitled to be paid a
monthly advisory fee at the following annual rates:
<TABLE>
<CAPTION>
Fund % of Average Daily Net Assets
<S> <C>
ASSET ALLOCATION 0.80
INDEX ALLOCATION 0.80
</TABLE>
The Aggressive Balanced-Equity, Growth Balanced, Moderate Balanced, and
Strategic Income Funds are invested in various Core Portfolios. WFB is
entitled to receive an investment advisory fee of 0.25% of each Fund's average
daily net assets for providing advisory services including the determination
of the asset allocations of each Fund's investments in the various Core
Portfolios.
Barclays Global Fund Advisors ("BGFA"), a wholly-owned subsidiary of Barclays
Global Investors, N.A. ("BGI") and indirect subsidiary of Barclays Bank PLC,
acts as sub-advisor to the Asset Allocation and Index Allocation Funds. BGFA
is entitled to receive from WFB, as compensation for its sub-advisory services
to the Asset Allocation and Index Allocation Funds, a monthly fee at the
annual rate of 0.15% of each Fund's average daily net assets up to $900
million and 0.10% of the average daily net assets in excess of $900 million.
Prior to November 8, 1999, the Trust had entered into separate advisory
contracts on behalf of the Asset Allocation and Index Allocation Funds with
WFB. Pursuant to the contracts, WFB had agreed to provide the Funds with daily
portfolio management. Under the prior contract with the Asset Allocation Fund,
WFB was entitled to be paid a monthly advisory fee at the annual rate of 0.50%
of the Fund's average daily net assets up to $250 million, 0.40% of the next
$250 million, and 0.30% of the Fund's average daily net assets in excess of
$500 million. Under the prior contract with the Index Allocation Fund, WFB was
entitled to be paid a monthly advisory fee at the annual rate of 0.70% of the
Fund's average daily net assets up to $500 million, and 0.60% of the Fund's
average daily net assets in excess of $500 million. The rates for the
Aggressive Balanced-Equity, Growth Balanced, Moderate Balanced, and Strategic
Income Funds remain unchanged.
Each Fund that invests its assets in one or more of the Portfolios may
withdraw its investments from its corresponding Portfolio(s) at any time if
the Board of Trustees determines that it is in the best interests of the Fund
to do so. Upon such redemption and subsequent investment in a portfolio of
securities, WFB (and the corresponding sub-advisor) may receive an investment
fee for the management of those assets. If the redeemed assets are invested in
one or more Core Portfolios, WFB (and the corresponding sub-advisor) does not
receive any compensation.
DISTRIBUTION FEES
The Trust has adopted a Distribution Plan (the "Plan") for Class B and C
shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. Distribution
fees are charged to the Class B and C shares and paid to Stephens, Inc.
("Stephens") at a rate of 0.75% of average daily net assets. There are no
distribution fees for the Funds' Class A shares. The distribution fees paid on
behalf of the Funds for the period ended March 31, 2000 are disclosed in the
Statement of Operations.
Prior to November 8, 1999, the Plan for the Class A shares of the Asset
Allocation Fund provided that the Fund may defray all or part of the cost of
preparing, printing and distributing prospectuses and other promotional
materials by paying for costs incurred on an annual basis of up to 0.05% of
the average daily net assets attributable to its Class A shares. The Class A
Plan for the Asset Allocation Fund provided only for the reimbursement of
actual expenses. The Plan for the Class A shares of the Index Allocation Fund
provided that the Fund may pay to Stephens, as compensation for
distribution-related services or as reimbursement for distribution-related
expenses, up to 0.25% of its average daily net assets attributable to the
Class A shares. Prior to November 8, 1999, the Plan for the Class B shares of
the Asset Allocation Fund provided that the Fund may pay to Stephens, as
compensation for distribution-related services or as
62
<PAGE>
NOTES TO FINANCIAL STATEMENTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
reimbursement for distribution-related expenses, a monthly fee at an annual
rate of up to 0.70% of the average daily net assets attributable to its
Class B shares.
Prior to November 8, 1999, the Plan for the Class A shares of the Growth
Balanced Fund authorized payment of a distribution service fee at an annual
rate of 0.10% of the Fund's average daily net assets attributable to its
Class A shares. The Plan for the Growth Balanced Fund also authorized payment
of a maintenance fee at an annual rate of 0.25% of the Fund's average daily
net assets attributable to its Class B shares.
The Plan for Class B shares of the Index Allocation Fund, and Class C shares
of the Asset Allocation and Index Allocation Funds remains unchanged.
5. ADMINISTRATION FEES
The Trust has entered into an administration agreement on behalf of the Funds
with WFB whereby WFB is entitled to receive monthly fees at the annual rate of
0.15% of each Fund's average daily net assets.
Prior to November 8, 1999, the Administrator for the Aggressive
Balanced-Equity, Growth Balanced, Moderate Balanced, and Strategic Income
Funds was Forum Administrative Services, LLC ("FAdS"). The Funds were charged
monthly fees at the annual rate of 0.025% of each Fund's average daily net
assets.
Prior to March 25, 1999, the Asset Allocation and Index Allocation Funds
retained WFB as administrator and Stephens Inc. as co-administrator. For these
services, WFB and Stephens Inc. were entitled to receive monthly fees at the
annual rates of 0.03% and 0.04%, respectively, of each Fund's average daily
net assets.
6. TRANSFER AGENT FEES
The Trust has entered into a transfer agency agreement on behalf of the Funds
with Boston Financial Data Services ("BFDS"). WFB has been engaged by BFDS to
provide sub-transfer agency services for the Funds. Prior to November 8, 1999,
for the Aggressive Balanced-Equity, Growth Balanced, Moderate Balanced, and
Strategic Income Funds, Norwest served as the Trust's transfer agent. For
these services, Norwest received a fee at an annual rate of 0.25% of the
average daily net assets attributable to each class of each Fund's shares,
except for the Class A shares of the Growth Balanced Fund, for which Norwest
received a fee at an annual rate of 0.14%.
Prior to July 17, 1999, the Trust had entered into a contract on behalf of
the Funds with WFB, whereby WFB provided transfer agency services for the
Asset Allocation and Index Allocation Funds, which were charged at an annual
rate of 0.14% of the average daily net assets for Class A, Class B, and
Class C shares of each Fund.
7. SHAREHOLDER SERVICING FEES
The Trust has entered into contracts on behalf of the Funds with numerous
shareholder servicing agents, whereby the Funds are charged 0.25% of the
average daily net assets of Class A, Class B, and Class C shares for the
Growth Balanced and Index Allocation Funds, and 0.10% of the average daily net
assets of Class A, Class B, and Class C shares of the Asset Allocation Fund
for these services. No fee is charged for Institutional Class shares of the
Aggressive Balanced-Equity, Asset Allocation, Growth Balanced, Moderate
Balanced, and Strategic Income Funds. Prior to November 8, 1999, shareholder
servicing fees were charged at an annual rate of 0.30% of the average daily
net assets of the Class A and Class B shares and 0.25% of the average daily
net assets of the Class C shares of the Asset Allocation Fund. All other Funds
and share classes were charged at the same 0.25% annual rate listed above.
Prior to November 8, 1999, the Trust had adopted a Shareholder Administrative
Servicing Plan (the "Administrative Servicing Plan") on behalf of the Class A
shares of the Index Allocation Fund. Pursuant to the Administrative Servicing
Plan, the Fund may have entered into administrative servicing agreements with
administrative servicing agents who were dealers/holders of record, or that
otherwise had a servicing relationship with the beneficial owners of the
Fund's Class A shares. Administrative servicing agents were entitled to
receive a fee which would not exceed 0.25%, on an annualized basis, of the
average daily net assets of the Class A shares of the Fund. In no case would a
shareholder be charged both 12b-1 and Administrative Servicing fees.
63
<PAGE>
ALLOCATION FUNDS NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
The shareholder servicing fees paid on behalf of the Funds for the period
ended March 31, 2000 were as follows:
<TABLE>
<CAPTION>
Fund Class A Class B Class C Institutional Class
<S> <C> <C> <C> <C>
AGGRESSIVE BALANCED-EQUITY
FUND N/A N/A N/A $ 0
ASSET ALLOCATION FUND $954,904 $372,220 $ 14,775 0
GROWTH BALANCED FUND 14,684 15,002 3,589 0
INDEX ALLOCATION FUND 125,528 29,869 105,272 N/A
MODERATE BALANCED FUND N/A N/A N/A 0
STRATEGIC INCOME FUND N/A N/A N/A 0
</TABLE>
8. OTHER FEES AND TRANSACTIONS WITH AFFILIATES
Forum Accounting Services, LLC ("Forum") provides portfolio accounting
services to the Funds. During the period, WFB provided sub-portfolio
accounting services to the Index Allocation Fund. For these services WFB was
entitled to a fixed monthly fee from the Fund plus an annual fee of 0.0025% of
the Fund's average daily net assets. Prior to November 8, 1999, the Trust
entered into contracts on behalf of the Asset Allocation and Index Allocation
Funds with WFB, whereby WFB was responsible for providing portfolio accounting
services for the Funds. Pursuant to the contract, WFB was entitled to a
monthly base fee from each Fund of $2,000 plus an annual fee of 0.07% of the
first $50 million of each Fund's average daily net assets, 0.045% of the next
$50 million, and 0.02% of each Fund's average daily net assets in excess of
$100 million.
BGI, a wholly-owned subsidiary of Barclays Global Investors Inc., acts as
custodian to the Asset Allocation and Index Allocation Funds. BGI will not be
entitled to receive compensation for its services as custodian to the Funds so
long as BGFA is entitled to receive fees for providing investment sub-advisory
services to the Funds. Prior to November 8, 1999, the Aggressive
Balanced-Equity, Growth Balanced, Moderate Balanced, and Strategic Income
Funds had Norwest serve as the custodian. For its custody services, Norwest
was entitled to receive a fee at an annual rate of 0.02% for the first $100
million of average daily net assets of each Fund, declining to 0.01% of the
average daily net assets of each Fund in excess of $200 million. The
Aggressive Balanced-Equity, Growth Balanced, Moderate Balanced, and Strategic
Income Funds were not charged a custody fee at the Gateway level provided that
they invested in Core Trust Portfolios. Prior to November 8, 1999, the Asset
Allocation and Index Allocation were provided with custody services at the
same annual rate listed above.
Certain officers of the Trust are also officers of Stephens. As of March 31,
2000, Stephens owned 173 shares of the Asset Allocation Fund and 258,716
shares of the Index Allocation Fund.
Stephens has retained $2,362,288 as sales charges from the proceeds of
Class A shares sold, $0 from the proceeds of Class B shares redeemed and
$76,914 from the proceeds of Class C shares redeemed by the Trust for the
period ended March 31, 2000. A third party financing agent has retained
approximately $3,596,236 from the proceeds of Class B shares redeemed by the
Trust for the period ended March 31, 2000. Wells Fargo Securities Inc., a
subsidiary of WFB, received $1,084,735 as sales charges from the proceeds of
Class A shares sold, $0 from the proceeds of Class B shares redeemed and $0
from the proceeds of Class C shares redeemed by the Trust for the period ended
March 31, 2000. Norwest Bank Minnesota, N.A. received $18,560 as sales charges
from the proceeds of Class A shares sold, $234,350 from the proceeds of
Class B shares redeemed and $1,279 from the proceeds of Class C shares
redeemed by the Trust for the period ended March 31, 2000.
9. WAIVED FEES AND REIMBURSED EXPENSES
All amounts shown as waived fees or reimbursed expenses on the Statement of
Operations, for the period ended March 31, 2000, were waived by WFB or FAdS.
Fee waivers are contractual and apply for a minimum of one year from the
November 5, 1999 closing date of the reorganization (two years for the Asset
Allocation Fund). Thereafter, the contract remains in effect until such time
as the Board acts to reduce or eliminate such waivers.
64
<PAGE>
NOTES TO FINANCIAL STATEMENTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Fund Fees Waived by FAdS Fees Waived by WFB Total Fees Waived
<S> <C> <C> <C>
AGGRESSIVE BALANCED-EQUITY FUND $ 16,273 $ 49,468 $ 65,741
ASSET ALLOCATION FUND 0 1,829,144 1,829,144
GROWTH BALANCED FUND 188,345 286,121 474,466
INDEX ALLOCATION FUND 0 71,334 71,334
MODERATE BALANCED FUND 101,231 163,280 264,511
STRATEGIC INCOME FUND 66,661 140,243 206,904
</TABLE>
10. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities
(securities with maturities of one year or less at purchase date) for each
Fund for the period ended March 31, 2000, were as follows:
AGGREGATE PURCHASES AND SALES
<TABLE>
<CAPTION>
Purchases at Sales
Fund Cost Proceeds
<S> <C> <C>
AGGRESSIVE BALANCED-EQUITY FUND $ 20,657,804 $ 17,396,558
ASSET ALLOCATION FUND 438,016,170 551,005,343
GROWTH BALANCED FUND 325,909,815 248,496,916
INDEX ALLOCATION FUND 4,479,848 9,887,641
MODERATE BALANCED FUND 197,353,892 135,771,324
STRATEGIC INCOME FUND 102,584,390 65,447,558
</TABLE>
65
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C>
COMMON STOCK - 100.91%
APPAREL & ACCESSORY STORES - 2.36%
202,200 ROSS STORES INCORPORATED $ 4,865,438
------------
BUSINESS SERVICES - 13.38%
76,700 COMPUTER ASSOCIATES INTERNATIONAL
INCORPORATED 4,539,681
51,950 MICROSOFT CORPORATION+ 5,519,688
76,400 ORACLE CORPORATION+ 5,963,975
57,000 SUN MICROSYSTEMS INCORPORATED+ 5,341,077
165,850 SUNGARD DATA SYSTEMS INCORPORATED+ 6,260,836
27,625,257
------------
CHEMICALS & ALLIED PRODUCTS - 5.24%
91,280 CHIRON CORPORATION+ 4,552,590
229,990 IVAX CORPORATION+ 6,267,228
10,819,818
------------
COMMUNICATIONS - 2.51%
110,520 BELLSOUTH CORPORATION 5,194,440
------------
DEPOSITORY INSTITUTIONS - 2.57%
60,800 CHASE MANHATTAN CORPORATION 5,301,000
------------
EATING & DRINKING PLACES - 2.17%
252,145 DARDEN RESTAURANTS INCORPORATED 4,491,333
------------
ELECTRIC, GAS & SANITARY SERVICES - 2.53%
55,690 CALPINE CORPORATION+ 5,234,860
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT - 14.41%
183,400 AMERICAN POWER CONVERSION
CORPORATION+ 7,863,273
69,680 ANALOG DEVICES INCORPORATED+ 5,613,595
66,980 LSI LOGIC CORPORATION+ 4,864,423
33,760 TEXAS INSTRUMENTS INCORPORATED 5,401,600
108,030 VISHAY INTERTECHNOLOGY
INCORPORATED+ 6,009,169
29,752,060
------------
FOOD & KINDRED PRODUCTS - 6.16%
72,500 ANHEUSER-BUSCH COMPANIES
INCORPORATED 4,513,125
164,400 COCA-COLA ENTERPRISES INCORPORATED 3,544,875
76,990 QUAKER OATS COMPANY 4,667,519
12,725,519
------------
GENERAL MERCHANDISE STORES - 2.53%
69,950 TARGET CORPORATION 5,228,763
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 2.49%
214,520 MGM GRAND INCORPORATED 5,148,480
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 10.97%
48,890 APPLE COMPUTER INCORPORATED+ 6,639,873
65,380 APPLIED MATERIALS INCORPORATED+ 6,162,065
49,687 EMC CORPORATION+ 6,210,875
</TABLE>
66
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
82,130 INGERSOLL-RAND COMPANY $ 3,634,253
22,647,066
------------
INSURANCE CARRIERS - 4.95%
77,900 JEFFERSON-PILOT CORPORATION 5,185,219
84,640 UNITED HEALTHCARE CORPORATION 5,046,660
10,231,879
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS - 2.30%
130,390 BIOMET INCORPORATED 4,742,936
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 2.09%
76,490 FANNIE MAE 4,316,904
------------
OIL & GAS EXTRACTION - 2.17%
77,460 KERR-MCGEE CORPORATION 4,473,315
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 2.84%
90,740 AMERADA HESS CORPORATION 5,864,073
------------
PRIMARY METAL INDUSTRIES - 2.46%
101,490 NUCOR CORPORATION 5,074,500
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 2.28%
92,500 KNIGHT-RIDDER INCORPORATED 4,711,719
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 8.45%
49,440 GOLDMAN SACHS GROUP INCORPORATED 5,197,380
116,550 KNIGHT/TRIMARK GROUP INCORPORATED 5,944,050
77,400 MORGAN STANLEY DEAN WITTER &
COMPANY 6,312,938
17,454,368
------------
TRANSPORTATION EQUIPMENT - 3.76%
90,140 FORD MOTOR COMPANY 4,140,806
72,780 GENERAL DYNAMICS CORPORATION 3,620,805
7,761,611
------------
TRANSPORTATION SERVICES - 2.29%
118,880 EXPEDITORS INTERNATIONAL OF
WASHINGTON INCORPORATED 4,725,480
------------
208,390,819
TOTAL COMMON STOCK (COST $168,899,613)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $168,899,613)* 100.91% $208,390,819
OTHER ASSETS AND LIABILITIES, NET (0.91) (1,877,939)
------- ------------
TOTAL NET ASSETS 100.00% $206,512,880
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $46,881,422
GROSS UNREALIZED DEPRECIATION (7,390,216)
----------
NET UNREALIZED APPRECIATION $39,491,206
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
67
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INCOME EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
COMMON STOCK - 99.80%
BUSINESS SERVICES - 1.82%
223,657 GARTNER GROUP INCORPORATED CLASS B $ 2,977,434
2,617,800 IMS HEALTH INCORPORATED 44,338,987
47,316,421
--------------
CHEMICALS & ALLIED PRODUCTS - 8.79%
1,094,269 E.I. DU PONT DE NEMOURS COMPANY 57,859,473
1,591,200 PFIZER INCORPORATED 58,178,250
824,800 PROCTER & GAMBLE COMPANY 46,395,000
1,491,811 ROHM & HAAS COMPANY 66,572,066
229,004,789
--------------
COMMUNICATIONS - 6.65%
90,000 ALLTEL CORPORATION 5,675,625
1,896,800 AT&T CORPORATION 106,695,000
857,600 GTE CORPORATION 60,889,600
173,260,225
--------------
DEPOSITORY INSTITUTIONS - 4.03%
57,000 BANK OF AMERICA CORPORATION 2,988,936
37,500 CITIGROUP INCORPORATED 2,224,219
510,650 J.P. MORGAN & COMPANY INCORPORATED 67,278,137
1,427,850 U.S. BANCORP 31,234,218
43,500 UNIONBANCAL CORPORATION 1,198,969
104,924,481
--------------
EATING & DRINKING PLACES - 1.74%
1,205,500 MCDONALD'S CORPORATION 45,281,594
--------------
ELECTRIC, GAS & SANITARY SERVICES - 3.74%
97,000 DUKE ENERGY CORPORATION 5,092,500
100,000 EL PASO ENERGY CORPORATION 4,037,500
176,079 PACIFIC GAS & ELECTRIC COMPANY 3,697,659
604,100 PUBLIC SERVICE ENTERPRISE GROUP
INCORPORATED 17,896,462
150,000 SOUTHERN COMPANY 3,262,500
1,826,350 TEXAS UTILITIES COMPANY 54,219,766
679,832 WASTE MANAGEMENT INCORPORATED 9,305,201
97,511,588
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT - 9.21%
1,047,000 EMERSON ELECTRIC COMPANY 55,360,125
575,978 GENERAL ELECTRIC COMPANY 89,384,586
1,566,292 LUCENT TECHNOLOGIES INCORPORATED 95,152,239
239,896,950
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES -
1.72%
1,563,600 DUN & BRADSTREET CORPORATION 44,758,050
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT - 1.95%
2,036,600 FORTUNE BRANDS INCORPORATED 50,915,000
--------------
</TABLE>
68
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INCOME EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
FOOD & KINDRED PRODUCTS - 4.96%
2,462,640 PEPSICO INCORPORATED $ 85,114,995
2,454,500 SARA LEE CORPORATION 44,181,000
129,295,995
--------------
FOOD STORES - 0.06%
50,400 ALBERTSON'S INCORPORATED 1,562,400
--------------
GENERAL MERCHANDISE STORES - 6.09%
1,138,400 J.C. PENNEY COMPANY INCORPORATED 16,933,700
1,604,250 MAY DEPARTMENT STORES COMPANY 45,721,125
773,830 SEARS ROEBUCK AND COMPANY 23,892,001
965,800 TARGET CORPORATION 72,193,550
158,740,376
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 8.14%
956,200 HEWLETT-PACKARD COMPANY 126,756,263
723,000 IBM CORPORATION 85,314,000
212,070,263
--------------
INSURANCE CARRIERS - 7.13%
680,408 AEGON NV ARS 54,815,369
786,750 AMERICAN GENERAL CORPORATION 44,156,344
55,000 CIGNA CORPORATION 4,166,250
60,000 HARTFORD FINANCIAL SERVICES GROUP 3,165,000
2,330,000 ST. PAUL COMPANIES INCORPORATED 79,511,250
185,814,213
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS - 4.75%
38,000 BAXTER INTERNATIONAL INCORPORATED 2,382,124
604,050 EASTMAN KODAK COMPANY 32,807,466
45,000 EATON CORPORATION 3,510,000
1,120,500 HONEYWELL INTERNATIONAL INCORPORATED 59,036,344
1,000,000 XEROX CORPORATION 26,000,000
123,735,934
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 3.65%
1,907,294 TYCO INTERNATIONAL LIMITED 95,126,288
--------------
MOTION PICTURES - 1.59%
1,000,000 WALT DISNEY COMPANY 41,375,000
--------------
NONDEPOSITORY CREDIT INSTITUTIONS - 2.55%
412,300 AMERICAN EXPRESS COMPANY 61,406,931
135,000 HOUSEHOLD INTERNATIONAL INCORPORATED 5,037,188
66,444,119
--------------
OIL & GAS EXTRACTION - 2.08%
585,100 SCHLUMBERGER LIMITED 44,760,150
113,275 TRANSOCEAN SEDCO FOREX INCORPORATED 5,812,423
142,000 USX-MARATHON GROUP 3,700,875
54,273,448
--------------
</TABLE>
69
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INCOME EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
PAPER & ALLIED PRODUCTS - 2.10%
90,000 KIMBERLY-CLARK CORPORATION $ 5,040,000
564,458 MINNESOTA MINING AND MANUFACTURING
COMPANY 49,989,812
55,029,812
--------------
PETROLEUM REFINING & RELATED INDUSTRIES - 7.75%
580,200 ATLANTIC RICHFIELD COMPANY 49,317,000
458,750 CHEVRON CORPORATION 42,405,703
110,000 CONOCO INCORPORATED CLASS A 2,708,750
92,131 CONOCO INCORPORATED CLASS B 2,360,857
944,935 EXXON MOBIL CORPORATION 73,527,755
486,600 ROYAL DUTCH PETROLEUM COMPANY - NY
SHARES 28,009,913
65,000 TEXACO INCORPORATED 3,485,625
201,815,603
--------------
PHARMACEUTICAL PREPARATIONS - 4.68%
1,292,800 AMERICAN HOME PRODUCTS CORPORATION 69,326,400
844,800 MERCK & COMPANY INCORPORATED 52,483,200
121,809,600
--------------
TOBACCO PRODUCTS - 1.04%
1,286,550 PHILIP MORRIS COMPANY INCORPORATED 27,178,369
--------------
TRANSPORTATION EQUIPMENT - 1.90%
100,000 DANA CORPORATION 2,818,750
738,600 UNITED TECHNOLOGIES CORPORATION 46,670,288
49,489,038
--------------
WHOLESALE TRADE - DURABLE GOODS - 1.67%
620,750 JOHNSON & JOHNSON 43,491,297
--------------
2,600,120,853
TOTAL COMMON STOCK (COST $1,741,888,223)
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 0.04%
REPURCHASE AGREEMENTS - 0.04%
$ 511,192 BEAR STEARNS & COMPANY
AGREEMENT - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.20% 04/03/00 511,192
443,166 CREDIT SUISSE FIRST BOSTON
REPURCHASE AGREEMENT - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.22 04/03/00 443,166
954,358
TOTAL SHORT-TERM INSTRUMENTS (COST
$954,358)
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $1,742,842,581)* 99.84% $2,601,075,211
OTHER ASSETS AND LIABILITIES, NET 0.16 4,074,978
------- -------------
TOTAL NET ASSETS 100.00% $2,605,150,189
------- -------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $1,015,018,211
GROSS UNREALIZED DEPRECIATION (156,785,581)
-------------
NET UNREALIZED APPRECIATION $ 858,232,630
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
70
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
COMMON STOCK - 97.83%
AGRICULTURAL PRODUCTION - CROPS - 0.03%
46,500 NABISCO GROUP HOLDINGS CORPORATION $ 558,000
--------------
AMUSEMENT & RECREATION SERVICES - 0.68%
18,300 HARRAH'S ENTERTAINMENT INCORPORATED+ 339,694
295,100 WALT DISNEY COMPANY 12,209,762
12,549,456
--------------
APPAREL & ACCESSORY STORES - 0.48%
121,400 GAP INCORPORATED 6,047,237
30,600 LIMITED INCORPORATED 1,289,025
19,200 NORDSTROM INCORPORATED 566,400
44,200 TJX COMPANIES INCORPORATED 980,688
8,883,350
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS - 0.04%
8,400 LIZ CLAIBORNE INCORPORATED 384,825
16,800 V.F. CORPORATION 404,250
789,075
--------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.03%
19,700 AUTOZONE INCORPORATED+ 546,675
7,500 PEP BOYS - MANNY, MOE & JACK 44,531
591,206
--------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.01%
9,200 RYDER SYSTEM INCORPORATED 208,725
--------------
BUILDING CONSTRUCTION -- GENERAL CONTRACTORS & OPERATIVE BUILDERS -
0.03%
8,500 CENTEX CORPORATION 202,406
6,800 KAUFMAN & BROAD HOME CORPORATION 145,775
6,200 PULTE CORPORATION 129,425
477,606
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS -
1.32%
328,300 HOME DEPOT INCORPORATED 21,175,350
54,500 LOWE'S COMPANIES INCORPORATED 3,181,438
24,356,788
--------------
BUSINESS SERVICES - 11.16%
48,800 3COM CORPORATION+ 2,714,500
16,900 ADOBE SYSTEMS INCORPORATED 1,881,181
325,400 AMERICA ONLINE INCORPORATED+ 21,883,150
8,800 AUTODESK INCORPORATED 400,400
89,900 AUTOMATIC DATA PROCESSING INCORPORATED 4,337,675
34,800 BMC SOFTWARE INCORPORATED+ 1,718,250
26,000 CABLETRON SYSTEMS INCORPORATED+ 762,125
100,700 CENDANT CORPORATION+ 1,862,950
20,700 CERIDIAN CORPORATION+ 397,181
25,500 CITRIX SYSTEMS INCORPORATED+ 1,689,375
77,300 COMPUTER ASSOCIATES INTERNATIONAL
INCORPORATED 4,575,194
</TABLE>
71
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
BUSINESS SERVICES (continued)
23,900 COMPUTER SCIENCES CORPORATION+ $ 1,891,088
51,400 COMPUWARE CORPORATION+ 1,082,613
67,200 ELECTRONIC DATA SYSTEMS CORPORATION 4,313,400
20,200 EQUIFAX INCORPORATED 510,050
59,700 FIRST DATA CORPORATION 2,641,725
44,000 IMS HEALTH INCORPORATED 745,250
40,000 INTERPUBLIC GROUP OF COMPANIES
INCORPORATED 1,890,000
742,200 MICROSOFT CORPORATION+ 78,858,750
13,800 NCR CORPORATION+ 553,725
46,600 NOVELL INCORPORATED+ 1,333,925
25,400 OMNICOM GROUP INCORPORATED 2,373,313
402,300 ORACLE CORPORATION+ 31,404,543
39,300 PARAMETRIC TECHNOLOGY COMPANY+ 827,756
38,300 PEOPLESOFT INCORPORATED+ 766,000
3,800 SHARED MEDICAL SYSTEMS CORPORATION 197,125
225,100 SUN MICROSYSTEMS INCORPORATED+ 21,092,567
24,400 UST INCORPORATED 381,250
75,100 YAHOO! INCORPORATED+ 12,870,263
9,900 YOUNG & RUBICAM INCORPORATED 465,300
206,420,624
--------------
CHEMICALS & ALLIED PRODUCTS - 8.77%
219,300 ABBOTT LABORATORIES 7,716,618
32,700 AIR PRODUCTS AND CHEMICALS INCORPORATED 929,906
7,900 ALBERTO CULVER COMPANY 188,119
18,800 ALLERGAN INCORPORATED 940,000
14,600 ALZA CORPORATION+ 548,413
34,600 AVON PRODUCTS INCORPORATED 1,005,563
41,500 BAXTER INTERNATIONAL INCORPORATED 2,601,531
21,400 BIOGEN INCORPORATED+ 1,495,325
282,900 BRISTOL-MYERS SQUIBB COMPANY 16,337,474
33,800 CLOROX COMPANY 1,098,500
83,100 COLGATE-PALMOLIVE COMPANY 4,684,763
31,200 DOW CHEMICAL COMPANY 3,556,800
149,000 E.I. DU PONT DE NEMOURS & COMPANY 7,878,374
11,200 EASTMAN CHEMICAL COMPANY 509,600
18,500 ECOLAB INCORPORATED 678,719
155,500 ELI LILLY & COMPANY 9,796,500
4,400 FMC CORPORATION+ 248,600
15,700 GOODRICH (B.F.) COMPANY 450,394
8,200 GREAT LAKES CHEMICAL CORPORATION 278,800
15,000 INTERNATIONAL FLAVORS & FRAGRANCES
INCORPORATED 525,938
198,400 JOHNSON & JOHNSON 13,900,400
9,800 MALLINCKRODT INCORPORATED 281,750
333,300 MERCK & COMPANY INCORPORATED 20,706,263
90,400 MONSANTO COMPANY+ 4,655,600
552,100 PFIZER INCORPORATED 20,186,156
73,900 PHARMACIA & UPJOHN INCORPORATED 4,378,575
24,800 PPG INDUSTRIES INCORPORATED 1,297,350
22,700 PRAXAIR INCORPORATED 944,888
</TABLE>
72
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
187,700 PROCTER & GAMBLE COMPANY $ 10,558,125
31,200 ROHM & HAAS COMPANY 1,392,300
209,500 SCHERING-PLOUGH CORPORATION 7,699,124
23,700 SHERWIN-WILLIAMS COMPANY 519,919
14,400 SIGMA ALDRICH 387,000
19,100 UNION CARBIDE CORPORATION 1,113,769
10,300 W.R. GRACE & COMPANY+ 130,681
122,500 WARNER-LAMBERT COMPANY 11,943,750
13,700 WATSON PHARMACEUTICALS INCORPORATED+ 543,719
162,109,306
--------------
COAL MINING - 0.00%
2,485 ARCH COAL INCORPORATED 17,395
--------------
COMMUNICATIONS - 8.63%
44,700 ALLTEL CORPORATION 2,818,893
455,700 AT&T CORPORATION 25,633,125
221,400 BELL ATLANTIC CORPORATION 13,533,075
268,400 BELLSOUTH CORPORATION 12,614,800
108,800 CBS CORPORATION+ 6,160,800
19,900 CENTURYTEL INCORPORATED 738,788
48,300 CLEAR CHANNEL COMMUNICATIONS
INCORPORATED+ 3,335,719
132,200 COMCAST CORPORATIONCLASS A+ 5,734,175
111,200 GLOBAL CROSSING LIMITED+ 4,552,250
138,600 GTE CORPORATION 9,840,600
404,800 MCI WORLDCOM INCORPORATED+ 18,342,500
87,300 MEDIAONE GROUP INCORPORATED+ 7,071,300
52,000 NEXTEL COMMUNICATIONS INCORPORATED+ 7,709,000
486,500 SBC COMMUNICATIONS INCORPORATED 20,433,000
124,300 SPRINT CORPORATION (FON GROUP) 7,830,900
122,900 SPRINT CORPORATION (PCS GROUP)+ 8,026,906
72,000 US WEST INCORPORATED 5,229,000
159,604,831
--------------
DEPOSITORY INSTITUTIONS - 4.92%
55,800 AMSOUTH BANCORP 833,512
243,500 BANK OF AMERICA CORPORATION 12,768,531
105,000 BANK OF NEW YORK COMPANY INCORPORATED 4,364,062
163,600 BANK ONE CORPORATION 5,623,750
49,500 BB&T CORPORATION 1,389,095
117,700 CHASE MANHATTAN CORPORATION 10,261,970
22,300 COMERICA INCORPORATED 933,813
44,100 FIFTH THIRD BANCORP 2,778,300
140,900 FIRST UNION CORPORATION 5,248,525
139,800 FIRSTAR CORPORATION 3,206,663
130,600 FLEETBOSTON FINANCIAL CORPORATION 4,766,901
23,000 GOLDEN WEST FINANCIAL CORPORATION 717,313
32,600 HUNTINGTON BANCSHARES INCORPORATED 729,425
24,700 J.P. MORGAN & COMPANY INCORPORATED 3,254,225
63,800 KEYCORP 1,212,200
</TABLE>
73
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
DEPOSITORY INSTITUTIONS (continued)
72,500 MELLON FINANCIAL CORPORATION $ 2,138,750
87,900 NATIONAL CITY CORPORATION 1,812,938
31,700 NORTHERN TRUST CORPORATION 2,141,731
17,400 OLD KENT FINANCIAL CORPORATION 562,238
41,900 PNC FINANCIAL SERVICES GROUP 1,888,119
31,200 REGIONS FINANCIAL CORPORATION 711,750
23,900 SOUTHTRUST CORPORATION 607,956
22,800 STATE STREET CORPORATION 2,208,750
25,000 SUMMIT BANCORP 656,250
45,600 SUNTRUST BANKS INCORPORATED 2,633,400
39,900 SYNOVUS FINANCIAL CORPORATION 753,113
107,500 U.S. BANCORP 2,351,563
20,100 UNION PLANTERS CORPORATION 619,331
28,900 WACHOVIA CORPORATION 1,952,556
82,300 WASHINGTON MUTUAL INCORPORATED 2,180,950
235,400 WELLS FARGO COMPANY# 9,636,686
90,944,366
--------------
EATING & DRINKING PLACES - 0.47%
18,300 DARDEN RESTAURANTS INCORPORATED 325,969
193,100 MCDONALD'S CORPORATION 7,253,318
21,500 TRICON GLOBAL RESTAURANTS INCORPORATED+ 667,844
17,000 WENDY'S INTERNATIONAL INCORPORATED 343,188
8,590,319
--------------
ELECTRIC, GAS & SANITARY SERVICES - 2.21%
29,500 AES CORPORATION+ 2,323,124
26,900 ALLIED WASTE INDUSTRIES INCORPORATED+ 176,531
19,600 AMEREN CORPORATION 606,375
27,700 AMERICAN ELECTRIC POWER COMPANY 825,806
22,700 CAROLINA POWER & LIGHT COMPANY 736,331
30,300 CENTRAL & SOUTHWEST CORPORATION 516,994
22,700 CINERGY CORPORATION 488,050
16,500 CMS ENERGY CORPORATION 299,063
11,600 COLUMBIA ENERGY GROUP 687,300
31,500 CONSOLIDATED EDISON INCORPORATED 913,500
21,300 CONSTELLATION ENERGY GROUP 678,938
34,000 DOMINION RESOURCES INCORPORATED 1,306,874
20,700 DTE ENERGY COMPANY 600,300
52,200 DUKE ENERGY CORPORATION 2,740,500
3,800 EASTERN ENTERPRISES 227,525
49,500 EDISON INTERNATIONAL 819,844
32,600 EL PASO ENERGY CORPORATION 1,316,225
102,100 ENRON CORPORATION 7,644,737
35,200 ENTERGY CORPORATION 710,600
33,200 FIRSTENERGY CORPORATION 684,750
14,000 FLORIDA PROGRESS CORPORATION 642,250
25,500 FPL CORPORATION INCORPORATED 1,174,593
17,600 GPU INCORPORATED 481,800
16,400 NEW CENTURY ENERGIES INCORPORATED 493,025
</TABLE>
74
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
ELECTRIC, GAS & SANITARY SERVICES (continued)
26,700 NIAGARA MOHAWK HOLDINGS INCORPORATED+ $ 360,450
6,800 NICOR INCORPORATED 223,975
22,100 NORTHERN STATES POWER COMPANY 439,238
4,400 ONEOK INCORPORATED 110,000
54,700 PACIFIC GAS & ELECTRIC COMPANY 1,148,700
26,500 PECO ENERGY COMPANY 977,188
5,100 PEOPLE'S ENERGY CORPORATION 139,931
12,000 PINNACLE WEST CAPITAL CORPORATION 338,250
20,500 PPL CORPORATION 429,219
31,100 PUBLIC SERVICE ENTERPRISE GROUP
INCORPORATED 921,338
42,200 RELIANT ENERGY INCORPORATED 989,063
29,200 SEMPRA ENERGY 489,100
96,000 SOUTHERN COMPANY 2,088,000
39,400 TEXAS UTILITIES COMPANY 1,169,688
88,400 WASTE MANAGEMENT INCORPORATED 1,209,975
62,000 WILLIAMS COMPANIES INCORPORATED 2,724,125
40,853,275
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 15.00%
14,800 ADAPTEC INCORPORATED+ 571,650
42,900 ADC TELECOMMUNICATIONS INCORPORATED+ 2,311,238
20,900 ADVANCED MICRO DEVICES INCORPORATED+ 1,192,606
49,900 ANALOG DEVICES INCORPORATED+ 4,020,069
11,500 ANDREW CORPORATION+ 263,063
30,600 CONEXANT SYSTEMS INCORPORATED+ 2,172,600
13,400 COOPER INDUSTRIES INCORPORATED 469,000
10,500 EATON CORPORATION 819,000
61,500 EMERSON ELECTRIC COMPANY 3,251,813
467,900 GENERAL ELECTRIC COMPANY 72,612,230
476,400 INTEL CORPORATION 62,855,023
42,400 LSI LOGIC CORPORATION+ 3,079,300
454,600 LUCENT TECHNOLOGIES INCORPORATED 27,616,950
12,000 MAYTAG CORPORATION 397,500
38,600 MICRON TECHNOLOGY INCORPORATED+ 4,863,600
28,000 MOLEX INCORPORATED 1,645,000
101,100 MOTOROLA INCORPORATED 14,394,113
24,500 NATIONAL SEMICONDUCTOR CORPORATION+ 1,485,313
5,800 NATIONAL SERVICE INDUSTRIES 122,163
43,500 NETWORK APPLIANCE INCORPORATED+ 3,599,625
203,300 NORTEL NETWORKS CORPORATION 25,615,812
105,200 QUALCOMM INCORPORATED+ 15,707,675
22,800 SCIENTIFIC-ATLANTA INCORPORATED 1,446,375
57,400 TELLABS INCORPORATED+ 3,615,305
115,900 TEXAS INSTRUMENTS INCORPORATED 18,544,000
8,200 THOMAS & BETTS CORPORATION 231,650
10,600 WHIRLPOOL CORPORATION 621,425
45,800 XILINX INCORPORATED+ 3,792,813
277,316,911
--------------
</TABLE>
75
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES -
0.18%
22,900 DUN & BRADSTREET CORPORATION $ 655,512
35,200 PAYCHEX INCORPORATED 1,843,600
6,900 PERKINELMER INCORPORATED 458,850
16,300 QUINTILES TRANSNATIONAL CORPORATION+ 278,119
3,236,081
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT - 0.65%
4,300 BALL CORPORATION 148,619
9,400 CRANE COMPANY 221,488
18,400 CROWN CORK & SEAL COMPANY INCORPORATED 294,400
45,000 EASTMAN KODAK COMPANY 2,444,062
23,400 FORTUNE BRANDS INCORPORATED 585,000
153,000 GILLETTE COMPANY 5,766,187
63,700 MASCO CORPORATION 1,305,850
16,000 PARKER-HANNIFIN CORPORATION 661,000
8,300 SNAP-ON INCORPORATED 217,356
12,700 STANLEY WORKS 334,963
11,978,925
--------------
FOOD & KINDRED PRODUCTS - 2.97%
5,300 ADOLPH COORS COMPANY 253,406
66,400 ANHEUSER-BUSCH COMPANIES INCORPORATED 4,133,400
86,600 ARCHER DANIELS MIDLAND COMPANY 898,475
39,700 BESTFOODS INCORPORATED 1,858,456
60,800 CAMPBELL SOUP COMPANY 1,869,600
352,200 COCA-COLA COMPANY 16,531,387
60,700 COCA-COLA ENTERPRISES INCORPORATED 1,308,844
70,200 CONAGRA INCORPORATED 1,272,375
43,000 GENERAL MILLS INCORPORATED 1,556,063
50,600 HEINZ (H.J.) COMPANY 1,764,675
15,200 HERCULES INCORPORATED 245,100
19,800 HERSHEY FOODS CORPORATION 965,250
57,900 KELLOGG COMPANY 1,483,688
207,600 PEPSICO INCORPORATED 7,175,174
19,100 QUAKER OATS COMPANY 1,157,938
43,100 RALSTON-RALSTON PURINA GROUP 1,179,863
129,600 SARA LEE CORPORATION 2,332,800
61,900 THE SEAGRAM COMPANY LIMITED 3,683,050
81,500 UNILEVER N.V. NY SHARES 3,922,187
16,500 WRIGLEY (WILLIAM) JR. COMPANY 1,267,406
54,859,137
--------------
FOOD STORES - 0.24%
60,400 ALBERTSON'S INCORPORATED 1,872,400
5,500 GREAT ATLANTIC & PACIFIC TEA COMPANY 107,250
118,900 KROGER COMPANY+ 2,088,181
20,900 WINN-DIXIE STORES INCORPORATED 406,244
4,474,075
--------------
</TABLE>
76
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
FURNITURE & FIXTURES - 0.03%
28,000 LEGGETT & PLATT INCORPORATED $ 602,000
--------------
GENERAL MERCHANDISE STORES - 2.86%
15,800 CONSOLIDATED STORES CORPORATION+ 179,725
63,400 COSTCO WHOLESALE CORPORATION+ 3,332,462
15,000 DILLARDS INCORPORATED 246,563
37,700 DOLLAR GENERAL CORPORATION 1,013,188
30,000 FEDERATED DEPARTMENT STORES
INCORPORATED+ 1,252,500
10,200 HARCOURT GENERAL INCORPORATED 379,950
37,100 J.C. PENNEY COMPANY INCORPORATED 551,863
69,400 KMART CORPORATION+ 672,313
23,200 KOHL'S CORPORATION+ 2,378,000
47,400 MAY DEPARTMENT STORES COMPANY 1,350,900
53,900 SEARS ROEBUCK & COMPANY 1,664,162
62,500 TARGET CORPORATION 4,671,874
635,100 WAL-MART STORES INCORPORATED 35,248,050
52,941,550
--------------
HEALTH SERVICES - 0.19%
80,400 COLUMBIA HCA HEALTHCARE CORPORATION 2,035,125
55,100 HEALTHSOUTH CORPORATION+ 306,494
14,700 MANOR CARE INCORPORATED+ 198,450
44,400 TENET HEALTHCARE CORPORATION 1,021,200
3,561,269
--------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION -- CONTRACTORS -
0.16%
10,900 FLUOR CORPORATION 337,900
63,000 HALLIBURTON COMPANY 2,583,000
2,920,900
--------------
HOLDING & OTHER INVESTMENT OFFICES - 0.03%
46,700 CONSECO INCORPORATED 534,131
--------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.23%
29,200 BEST BUY COMPANY INCORPORATED+ 2,511,200
29,000 CIRCUIT CITY STORES 1,765,375
4,276,575
--------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.11%
52,600 HILTON HOTELS CORPORATION 407,650
35,400 MARRIOTT INTERNATIONAL CLASS A 1,115,100
27,500 MIRAGE RESORTS INCORPORATED+ 532,813
2,055,563
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 11.87%
23,100 APPLE COMPUTER INCORPORATED+ 3,137,269
109,100 APPLIED MATERIALS INCORPORATED+ 10,282,675
47,000 BAKER HUGHES INCORPORATED 1,421,750
12,400 BLACK & DECKER CORPORATION 465,775
3,200 BRIGGS & STRATTON CORPORATION 131,600
13,100 BRUNSWICK CORPORATION 248,081
</TABLE>
77
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
50,700 CATERPILLAR INCORPORATED $ 1,999,481
5,300 CINCINNATI MILACRON INCORPORATED 76,519
975,800 CISCO SYSTEMS INCORPORATED+ 75,441,537
241,600 COMPAQ COMPUTER CORPORATION 6,432,600
10,900 COMVERSE TECHNOLOGY INCORPORATED+ 2,060,100
5,900 CUMMINS ENGINE COMPANY INCORPORATED 221,619
33,400 DEERE & COMPANY 1,269,200
365,800 DELL COMPUTER CORPORATION+ 19,730,337
29,100 DOVER CORPORATION 1,393,163
145,100 EMC CORPORATION+ 18,137,500
45,100 GATEWAY INCORPORATED+ 2,390,300
143,300 HEWLETT-PACKARD COMPANY 18,996,205
257,100 IBM CORPORATION 30,337,800
23,300 INGERSOLL-RAND COMPANY 1,031,025
18,200 LEXMARK INTERNATIONAL GROUP
INCORPORATED+ 1,924,650
8,500 MCDERMOTT INTERNATIONAL INCORPORATED 78,094
17,700 PALL CORPORATION 397,144
37,800 PITNEY BOWES INCORPORATED 1,689,188
30,700 SEAGATE TECHNOLOGY INCORPORATED+ 1,849,675
26,200 SILICON GRAPHICS INCORPORATED+ 276,738
84,500 SOLECTRON CORPORATION+ 3,385,281
27,600 TANDY CORPORATION 1,400,700
8,800 TIMKEN COMPANY 143,000
241,200 TYCO INTERNATIONAL LIMITED 12,029,850
44,200 UNISYS CORPORATION+ 1,127,100
219,505,956
--------------
INSURANCE AGENTS, BROKERS & SERVICE - 0.30%
36,600 AON CORPORATION 1,180,350
23,900 HUMANA INCORPORATED+ 174,769
38,100 MARSH & MCLENNAN COMPANIES INCORPORATED 4,202,906
5,558,025
--------------
INSURANCE CARRIERS - 4.20%
20,400 AETNA LIFE & CASUALTY INCORPORATED 1,136,025
38,000 AFLAC INCORPORATED 1,731,375
114,800 ALLSTATE CORPORATION 2,733,674
35,200 AMERICAN GENERAL CORPORATION 1,975,600
220,700 AMERICAN INTERNATIONAL GROUP
INCORPORATED 24,166,651
25,100 CHUBB CORPORATION 1,695,819
24,100 CIGNA CORPORATION 1,825,575
23,400 CINCINNATI FINANCIAL CORPORATION 880,425
480,800 CITIGROUP INCORPORATED 28,517,450
31,600 HARTFORD FINANCIAL SERVICES GROUP 1,666,900
15,000 JEFFERSON-PILOT CORPORATION 998,438
27,900 LINCOLN NATIONAL CORPORATION 934,650
15,100 LOEWS CORPORATION 755,000
14,200 MBIA INCORPORATED 739,288
15,100 MGIC INVESTMENT CORPORATION 658,738
10,500 PROGRESSIVE CORPORATION 798,656
</TABLE>
78
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
INSURANCE CARRIERS (continued)
20,300 PROVIDIAN FINANCIAL CORPORATION $ 1,758,488
18,500 SAFECO CORPORATION 491,406
32,400 ST. PAUL COMPANIES INCORPORATED 1,105,650
18,800 TORCHMARK CORPORATION 434,750
24,200 UNITED HEALTHCARE CORPORATION 1,442,925
34,300 UNUMPROVIDENT CORPORATION 583,100
9,100 WELLPOINT HEALTH NETWORKS INCORPORATED+ 635,863
77,666,446
--------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.01%
15,200 LOUISIANA-PACIFIC CORPORATION 210,900
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS - 1.87%
7,300 BARD (C.R.) INCORPORATED 282,419
8,200 BAUSCH & LOMB INCORPORATED 427,938
35,800 BECTON, DICKINSON AND COMPANY 941,988
16,100 BIOMET INCORPORATED 585,638
59,100 BOSTON SCIENTIFIC CORPORATION+ 1,259,569
20,300 DANAHER CORPORATION 1,035,300
43,900 GUIDANT CORPORATION+ 2,581,869
112,900 HONEYWELL INCORPORATED 5,948,419
12,100 JOHNSON CONTROLS INCORPORATED 654,156
26,100 KLA-TENCOR CORPORATION+ 2,198,924
170,300 MEDTRONIC INCORPORATED 8,759,805
6,500 MILLIPORE CORPORATION 366,844
29,400 PE CORP -- PE BIOSYSTEMS GROUP 2,837,100
6,400 POLAROID CORPORATION 152,000
48,300 RAYTHEON COMPANY CLASS B 857,325
12,000 ST. JUDE MEDICAL INCORPORATED+ 309,750
6,800 TEKTRONIX INCORPORATED 380,800
24,400 TERADYNE INCORPORATED+ 2,006,900
22,600 THERMO ELECTRON CORPORATION+ 460,475
94,800 XEROX CORPORATION 2,464,800
34,512,019
--------------
METAL MINING - 0.15%
56,200 BARRICK GOLD CORPORATION 881,638
23,300 FREEPORT MCMORAN INCORPORATED CLASS B+ 281,056
37,100 HOMESTAKE MINING COMPANY 222,600
23,900 NEWMONT MINING CORPORATION 536,256
11,600 PHELPS DODGE CORPORATION 551,000
46,400 PLACER DOME INCORPORATED 377,000
2,849,550
--------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS - 0.04%
14,300 VULCAN MATERIALS COMPANY 655,119
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.09%
25,000 HASBRO INCORPORATED 412,500
12,500 ITT INDUSTRIES INCORPORATED 388,281
</TABLE>
79
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
MISCELLANEOUS MANUFACTURING INDUSTRIES (continued)
4,800 JOSTENS INCORPORATED $ 117,000
60,000 MATTEL INCORPORATED 626,250
1,200 NACCO INDUSTRIES INCORPORATED 57,525
1,601,556
--------------
MISCELLANEOUS RETAIL - 0.50%
20,000 BED BATH & BEYOND INCORPORATED+ 787,500
55,900 CVS CORPORATION 2,099,744
5,600 LONGS DRUG STORES INCORPORATED 127,400
47,000 OFFICE DEPOT INCORPORATED+ 543,438
36,900 RITE AID CORPORATION 202,950
67,000 STAPLES INCORPORATED+ 1,340,000
34,300 TOYS 'R' US INCORPORATED+ 508,069
143,500 WALGREEN COMPANY 3,695,124
9,304,225
--------------
MOTION PICTURES - 0.06%
31,000 UNICOM CORPORATION 1,131,500
--------------
NONDEPOSITORY CREDIT INSTITUTIONS - 1.75%
63,800 AMERICAN EXPRESS COMPANY 9,502,212
103,900 ASSOCIATES FIRST CAPITAL CORPORATION 2,227,356
28,100 CAPITAL ONE FINANCIAL CORPORATION 1,347,044
16,200 COUNTRYWIDE CREDIT INDUSTRIES
INCORPORATED 441,450
146,100 FANNIE MAE 8,245,519
99,200 FREDDIE MAC 4,383,400
67,100 HOUSEHOLD INTERNATIONAL INCORPORATED 2,503,669
114,300 MBNA CORPORATION 2,914,650
22,700 SLM HOLDING CORPORATION 756,194
32,321,494
--------------
OIL & GAS EXTRACTION - 0.66%
18,200 ANADARKO PETROLEUM CORPORATION 704,113
16,200 APACHE CORPORATION 805,950
31,000 BURLINGTON RESOURCES INCORPORATED 1,147,000
52,400 OCCIDENTAL PETROLEUM CORPORATION 1,087,300
13,200 ROWAN COMPANIES INCORPORATED+ 388,575
78,400 SCHLUMBERGER LIMITED 5,997,600
29,800 TRANSOCEAN SEDCO FOREX INCORPORATED+ 1,529,112
35,900 UNION PACIFIC RESOURCES GROUP
INCORPORATED 520,550
12,180,200
--------------
PAPER & ALLIED PRODUCTS - 1.09%
16,100 AVERY DENNISON CORPORATION 983,106
7,400 BEMIS COMPANY INCORPORATED 272,875
8,100 BOISE CASCADE CORPORATION 281,475
13,700 CHAMPION INTERNATIONAL CORPORATION 729,525
30,800 FORT JAMES CORPORATION 677,600
24,400 GEORGIA-PACIFIC GROUP 965,325
21,300 IKON OFFICE SOLUTIONS INCORPORATED 131,794
</TABLE>
80
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
PAPER & ALLIED PRODUCTS (continued)
59,000 INTERNATIONAL PAPER COMPANY $ 2,522,250
79,200 KIMBERLY-CLARK CORPORATION 4,435,200
14,700 MEAD CORPORATION 513,581
56,900 MINNESOTA MINING AND MANUFACTURING
COMPANY 5,039,206
24,500 PACTIV CORPORATION+ 214,375
7,900 TEMPLE-INLAND INCORPORATED 393,519
14,300 WESTVACO CORPORATION 477,263
33,500 WEYERHAEUSER COMPANY 1,909,500
16,000 WILLAMETTE INDUSTRIES INCORPORATED 642,000
20,188,594
--------------
PERSONAL SERVICES - 0.03%
14,000 H&R BLOCK INCORPORATED 626,500
--------------
PETROLEUM REFINING & RELATED INDUSTRIES - 4.50%
12,900 AMERADA HESS CORPORATION 833,663
10,100 ASHLAND INCORPORATED 337,719
46,000 ATLANTIC RICHFIELD COMPANY 3,910,000
93,600 CHEVRON CORPORATION 8,652,150
30,400 COASTAL CORPORATION 1,398,400
89,300 CONOCO INCORPORATED CLASS B 2,288,313
492,500 EXXON MOBIL CORPORATION 38,322,655
13,600 KERR-MCGEE CORPORATION 785,400
36,100 PHILLIPS PETROLEUM COMPANY 1,669,625
305,800 ROYAL DUTCH PETROLEUM COMPANY - NY
SHARES 17,602,612
12,800 SUNOCO INCORPORATED 350,400
78,900 TEXACO INCORPORATED 4,231,012
20,600 TOSCO CORPORATION 627,013
34,600 UNOCAL CORPORATION 1,029,350
44,300 USX-MARATHON GROUP INCORPORATED 1,154,569
83,192,881
--------------
PHARMACEUTICAL PREPARATIONS - 1.02%
186,200 AMERICAN HOME PRODUCTS CORPORATION 9,984,975
145,700 AMGEN INCORPORATED+ 8,942,338
18,927,313
--------------
PRIMARY METAL INDUSTRIES - 0.41%
31,200 ALCAN ALUMINUM LIMITED 1,056,900
52,500 ALCOA INCORPORATED 3,688,124
13,300 ALLEGHENY TECHNOLOGIES INCORPORATED 266,831
18,700 BETHLEHEM STEEL CORPORATION+ 112,200
17,900 ENGELHARD CORPORATION 270,738
27,400 INCO LIMITED 501,763
12,400 NUCOR CORPORATION 620,000
9,000 REYNOLDS METALS COMPANY 601,875
12,600 USX-U.S. STEEL GROUP INCORPORATED 315,000
12,700 WORTHINGTON INDUSTRIES INCORPORATED 157,163
7,590,594
--------------
</TABLE>
81
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 1.80%
9,200 AMERICAN GREETINGS CORPORATION $ 167,900
10,500 DELUXE CORPORATION 278,250
12,800 DOW JONES & COMPANY INCORPORATED 919,200
39,700 GANNETT COMPANY INCORPORATED 2,793,887
11,900 KNIGHT-RIDDER INCORPORATED 606,156
28,000 MCGRAW-HILL COMPANIES INCORPORATED 1,274,000
7,300 MEREDITH CORPORATION 202,119
24,400 NEW YORK TIMES COMPANY 1,047,675
18,000 R.R. DONNELLEY & SONS COMPANY 376,875
183,400 TIME WARNER INCORPORATED 18,340,000
8,500 TIMES MIRROR COMPANY 789,969
33,900 TRIBUNE COMPANY 1,239,469
99,400 VIACOM INCORPORATED CLASS B+ 5,243,350
33,278,850
--------------
RAILROAD TRANSPORTATION - 0.31%
65,200 BURLINGTON NORTHERN SANTA FE CORPORATION 1,442,550
31,100 CSX CORPORATION 730,850
15,800 KANSAS CITY SOUTHERN INDUSTRIES
INCORPORATED 1,357,813
54,400 NORFOLK SOUTHERN CORPORATION 782,000
35,400 UNION PACIFIC CORPORATION 1,385,025
5,698,238
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 0.35%
5,700 ARMSTRONG WORLD INDUSTRIES 101,888
10,800 COOPER TIRE AND RUBBER COMPANY 135,675
22,300 GOODYEAR TIRE & RUBBER COMPANY 519,869
42,900 ILLINOIS TOOL WORKS INCORPORATED 2,370,224
40,200 NEWELL RUBBERMAID INCORPORATED 997,463
39,400 NIKE INCORPORATED CLASS B 1,561,224
8,000 REEBOK INTERNATIONAL LIMITED+ 74,000
11,900 SEALED AIR CORPORATION+ 646,319
8,200 TUPPERWARE CORPORATION 129,663
6,536,325
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.66%
16,200 BEAR STEARNS COMPANIES INCORPORATED 739,125
117,000 CHARLES SCHWAB CORPORATION 6,647,063
35,400 FRANKLIN RESOURCES INCORPORATED 1,183,688
17,100 LEHMAN BROTHERS HOLDING INCORPORATED 1,658,700
52,900 MERRILL LYNCH & COMPANY INCORPORATED 5,554,500
162,500 MORGAN STANLEY DEAN WITTER & COMPANY 13,253,905
20,400 PAINE WEBBER GROUP INCORPORATED 897,600
17,000 T. ROWE PRICE ASSOCIATES INCORPORATED 671,500
30,606,081
--------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.44%
39,400 CORNING INCORPORATED 7,643,600
7,800 OWENS CORNING 151,125
</TABLE>
82
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
STONE, CLAY, GLASS & CONCRETE PRODUCTS (continued)
21,400 OWENS-ILLINOIS INCORPORATED+ $ 361,125
8,155,850
--------------
TEXTILE MILL PRODUCTS - 0.01%
4,700 RUSSELL CORPORATION 67,269
2,500 SPRINGS INDUSTRIES INCORPORATED CLASS A 95,000
162,269
--------------
TOBACCO PRODUCTS - 0.39%
337,400 PHILIP MORRIS COMPANIES INCORPORATED 7,127,575
--------------
TRANSPORTATION BY AIR - 0.27%
21,100 AMR CORPORATION+ 672,563
18,400 DELTA AIRLINES INCORPORATED 979,800
41,300 FEDEX CORPORATION+ 1,610,700
71,900 SOUTHWEST AIRLINES COMPANY 1,496,418
10,200 US AIRWAYS GROUP INCORPORATED+ 283,688
5,043,169
--------------
TRANSPORTATION EQUIPMENT - 1.92%
123,900 BOEING COMPANY 4,700,456
23,500 DANA CORPORATION 662,406
80,600 DELPHI AUTOMOTIVE SYSTEMS CORPORATION 1,289,600
172,300 FORD MOTOR COMPANY 7,915,031
28,700 GENERAL DYNAMICS CORPORATION 1,427,825
91,300 GENERAL MOTORS CORPORATION 7,560,781
21,500 HARLEY-DAVIDSON INCORPORATED 1,706,563
56,500 LOCKHEED MARTIN CORPORATION 1,154,719
9,000 NAVISTAR INTERNATIONAL CORPORATION+ 361,125
9,900 NORTHROP GRUMMAN CORPORATION 524,081
11,200 PACCAR INCORPORATED 560,000
27,000 ROCKWELL INTERNATIONAL CORPORATION 1,128,938
21,200 TEXTRON INCORPORATED 1,290,550
17,300 TRW INCORPORATED 1,012,050
67,700 UNITED TECHNOLOGIES CORPORATION 4,277,794
35,571,919
--------------
TRANSPORTATION SERVICES - 0.04%
18,500 SABRE HOLDINGS CORPORATION 683,344
--------------
WATER TRANSPORTATION - 0.12%
88,000 CARNIVAL CORPORATION 2,183,500
--------------
WHOLESALE TRADE -- DURABLE GOODS - 0.08%
25,400 GENUINE PARTS COMPANY 606,425
13,300 GRAINGER (W.W.) INCORPORATED 721,525
4,100 POTLATCH CORPORATION 176,300
1,504,250
--------------
WHOLESALE TRADE -- NONDURABLE GOODS - 0.46%
9,800 BROWN-FORMAN CORPORATION 533,488
40,100 CARDINAL HEALTH INCORPORATED 1,839,588
</TABLE>
83
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C>
WHOLESALE TRADE -- NONDURABLE GOODS (continued)
40,100 MCKESSON HBOC INCORPORATED $ 842,100
72,500 SAFEWAY INCORPORATED+ 3,280,625
19,900 SUPERVALU INCORPORATED 376,856
47,100 SYSCO CORPORATION 1,680,881
8,553,538
--------------
1,808,839,219
TOTAL COMMON STOCK (COST $1,073,430,512)
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 2.08%
REPURCHASE AGREEMENTS - 1.82%
$33,725,652 GOLDMAN SACHS REPURCHASE
AGREEMENT - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.35% 04/03/00 33,725,650
U.S. TREASURY BILLS - 0.26%
3,810,000 U.S. TREASURY BILLS 4.86{::} 04/27/00 3,795,065
1,065,000 U.S. TREASURY BILLS 5.76{::} 02/01/01 1,011,580
38,532,295
TOTAL SHORT-TERM INSTRUMENTS (COST
$38,534,692)
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $1,111,965,204)* 99.91% $1,847,371,514
OTHER ASSETS AND LIABILITIES, NET 0.09 1,685,714
------- -------------
TOTAL NET ASSETS 100.00% $1,849,057,228
------- -------------
</TABLE>
# SECURITY OF AN AFFILIATE OF THE FUND WITH A COST OF $6,245,039.
+ NON-INCOME EARNING SECURITIES.
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $838,331,748
GROSS UNREALIZED DEPRECIATION (102,925,438)
------------
NET UNREALIZED APPRECIATION $735,406,310
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
84
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 90.44%
AUSTRALIA - 0.43%
96,400 COMMONWEALTH BANK OF AUSTRALIA
(FINANCE) $ 1,318,910
148,700 LEND LEASE CORPORATION LIMITED
(FINANCE)+ 1,921,724
3,240,634
------------
AUSTRIA - 0.76%
78,800 BRAMBLES INDUSTRIES LIMITED
(BUSINESS SERVICES) 2,004,123
337,100 BROKEN HILL PROPRIETARY
COMPANY LIMITED (BUSINESS
COMPUTER SERVICES) 3,650,786
5,654,909
------------
BRAZIL - 1.01%
50,625 TELECOMUNICACOES BRASILEIRAS
SA ADR (FINANCE) 7,577,930
------------
CANADA - 2.07%
433,980 ABITIBI-CONSOLIDATED
INCORPORATED (BUSINESS
SERVICES)+ 4,169,933
163,390 CANADIAN PACIFIC (BUSINESS
SERVICES)+ 3,646,327
290,630 TORONTO DOMINION BANK
(FINANCE)+ 7,686,998
15,503,258
------------
FINLAND - 0.70%
489,060 STORA ENSO OYJ (BUSINESS
COMPUTER SERVICES) 5,241,254
------------
FRANCE - 13.65%
87,380 ALCATEL (CAPITAL EQUIPMENT) 19,172,164
49,502 AXA SA (FINANCE) 7,015,083
54,187 CANAL PLUS (BUSINESS SERVICES) 11,925,538
41,764 CAP GEMINI SA (BUSINESS
SERVICES)+ 11,309,504
12 ELF AQUITAINE SA
(COMMUNICATION EQUIPMENT) 2,147
283,686 SANOFI-SYNTHELABO SA
(WHOLESALE NONDURABLE GOODS) 10,817,360
129,283 TOTAL FINA ELF SA
(COMMUNICATION EQUIPMENT) 19,360,243
195,257 VIVENDI (MULTI INDUSTRY) 22,513,794
102,115,833
------------
GERMANY - 7.10%
97,497 BASF AG (BUSINESS COMPUTER
SERVICES) 4,627,303
276,880 DEUTSCHE BANK AG (FINANCE) 18,400,044
67,592 KARSTADTQUELLE AG (BUSINESS
SERVICES) 2,076,134
19,025 MUENCHENER
RUECKVERSICHERUNGS-GESELLSCHAFT
AG (BUSINESS SERVICES) 6,116,726
66,195 SIEMENS AG (MULTI INDUSTRY) 9,532,717
612,000 VIAG AG (CAPITAL EQUIPMENT) 12,414,874
53,167,798
------------
HONG KONG - 0.80%
330,000 HUTCHISON WHAMPOA LIMITED
(BUSINESS SERVICES) 5,954,539
------------
IRELAND - 0.53%
561,881 BANK OF IRELAND (FINANCE) 3,978,608
------------
ITALY - 0.57%
845,268 ENI SPA (ENERGY) 4,230,105
------------
</TABLE>
85
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
JAPAN - 20.96%
162,000 AMADA METRECS COMPANY LIMITED
(CAPITAL EQUIPMENT) $ 1,115,117
269,000 BRIDGESTONE CORPORATION
(CAPITAL EQUIPMENT) 5,940,475
50 CREDIT SAISON COMPANY LIMITED
(BUSINESS SERVICES) 829
204,000 DAI-DAN COMPANY LIMITED
(CAPITAL EQUIPMENT) 865,207
1,122,000 DAI-TOKYO FIRE & MARINE
INSURANCE COMPANY (FINANCE) 3,073,972
1,229 EAST JAPAN RAILWAY COMPANY
(BUSINESS SERVICES) 6,374,765
218,000 FUJI PHOTO FILM COMPANY
(CAPITAL EQUIPMENT) 9,607,173
208,000 FUJITSU LIMITED (BUSINESS
SERVICES) 6,388,142
398,000 HANSHIN ELECTRIC RAILWAY
COMPANY LIMITED (BUSINESS
SERVICES) 1,156,378
312,000 KURARAY COMPANY LIMITED
(BUSINESS COMPUTER SERVICES) 2,853,370
315,000 MATSUSHITA ELECTRIC INDUSTRIAL
COMPANY LIMITED (WHOLESALE
DURABLE GOODS) 9,428,652
1,218,000 MITSUI & COMPANY LIMITED
(MULTI INDUSTRY) 9,856,575
26,000 MURATA MANUFACTURING COMPANY
LIMITED (CAPITAL EQUIPMENT) 6,324,767
810,000 NIPPON EXPRESS COMPANY LIMITED
(CAPITAL EQUIPMENT) 6,025,738
953 NIPPON TELEGRAPH & TELEPHONE
CORPORATION (NTT) (BUSINESS
SERVICES) 15,145,415
648,000 OJI PAPER COMPANY LIMITED
(BUSINESS SERVICES) 4,555,237
245,000 OMRON CORPORATION (BUSINESS
SERVICES) 6,975,087
74,200 PROMISE COMPANY LIMITED
(FINANCE) 5,722,437
1,112,000 SAKURA BANK LIMITED (FINANCE) 8,467,525
260,000 SEKISUI HOUSE (CAPITAL
EQUIPMENT) 2,385,413
77,000 SONY CORPORATION (CAPITAL
EQUIPMENT) 10,885,776
460,000 SUMITOMO ELECTRIC INDUSTRIES
(CAPITAL EQUIPMENT) 6,489,736
6,353,000 SUMITOMO METAL INDUSTRIES
LIMITED (BUSINESS COMPUTER
SERVICES) 4,955,295
117,000 TAKEDA CHEMICAL INDUSTRIES
(WHOLESALE DURABLE GOODS) 8,327,399
48,000 TDK CORPORATION (WHOLESALE
DURABLE GOODS) 6,542,581
493,000 TOPPAN PRINTING COMPANY
LIMITED (BUSINESS SERVICES) 5,527,712
419,000 YASUDA FIRE & MARINE INSURANCE
COMPANY LIMITED (FINANCE) 1,899,624
156,890,397
------------
MEXICO - 1.24%
59,310 FOMENTO ECONOMICO MEXICANO SA
DE CV ADR (FINANCE) 2,668,950
96,760 GRUPO TELEVISA SA GDR
(BUSINESS SERVICES)+ 6,579,680
9,248,630
------------
NETHERLANDS - 6.45%
69,754 EQUANT NV (CAPITAL EQUIPMENT)+ 5,786,864
5,000 HEINEKEN NV (WHOLESALE
NONDURABLE GOODS) 267,207
290,843 ING GROEP NV (FINANCE) 15,751,896
262,875 ROYAL DUTCH PETROLEUM COMPANY
(ENERGY) 15,346,359
132,456 TNT POST GROUP NV (BUSINESS
SERVICES) 2,974,677
355,620 WOLTERS KLUWER NV (BUSINESS
SERVICES) 8,166,810
48,293,813
------------
NEW ZEALAND - 0.10%
868,100 CARTER HOLT HARVEY LIMITED
(BUSINESS COMPUTER SERVICES) 750,262
------------
PORTUGAL - 0.99%
280,170 ELECTRICIDADE DE PORTUGAL SA
(ENERGY) 5,241,112
</TABLE>
86
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
PORTUGAL (continued)
119,400 JERONIMO MARTINS S.G.P.S. SA
(WHOLESALE NONDURABLE GOODS) $ 2,165,053
7,406,165
------------
SINGAPORE - 1.08%
326,000 CITY DEVELOPMENTS LIMITED
(FINANCE) 1,477,033
158,560 DBS GROUP HOLDINGS LIMITED
(FINANCE) 2,094,941
620,000 DBS LAND LIMITED (FINANCE) 808,290
215,828 SINGAPORE PRESS HOLDINGS
LIMITED (BUSINESS SERVICES) 3,444,620
46,776 UNITED OVERSEAS BANK LIMITED
(FINANCE) 287,133
8,112,017
------------
SOUTH AFRICA - 0.31%
303,000 SAPPI LIMITED (BUSINESS
COMPUTER SERVICES) 2,342,507
------------
SPAIN - 4.86%
1,021,552 ENDESA SA (ENERGY) 23,430,607
514,015 TELEFONICA SA (BUSINESS
SERVICES) 12,984,785
36,415,392
------------
SWEDEN - 3.68%
313,983 TELEFONAKTIEBOLAGET LM
ERICSSON "B" SHARES
(COMMUNICATIONS) 27,582,518
------------
SWITZERLAND - 5.82%
20,847 NOVARTIS AG (CAPITAL
EQUIPMENT) 28,511,605
586 ROCHE HOLDING AG (WHOLESALE
NONDURABLE GOODS) 6,365,060
33,121 UBS AG (FINANCE) 8,705,065
43,581,730
------------
TAIWAN - 3.60%
87,300 ACER INCORPORATED (CAPITAL
EQUIPMENT)+ 1,217,835
329,070 ASUSTEK COMPUTER INCORPORATED
(CAPITAL EQUIPMENT) 6,005,527
400,210 CHINA STEEL CORPORATION GDR
(BUSINESS COMPUTER SERVICES) 5,833,061
2,064,879 TAIWAN SEMICONDUCTOR WATTS
(ELECTRONICS)+ 13,910,621
26,967,044
------------
UNITED KINGDOM - 13.73%
618,140 AIRTOURS PLC (BUSINESS
SERVICES) 3,320,757
96,930 ARM HOLDINGS PLC (BUSINESS
SERVICES)+ 5,860,572
502,290 BLUE CIRCLE INDUSTRIES PLC
(BUSINESS COMPUTER SERVICES) 3,353,459
470,730 BRITISH LAND COMPANY PLC
(FINANCE) 3,011,334
259,770 CELLTECH GROUP PLC (WHOLESALE
DURABLE GOODS)+ 4,707,712
269,970 DAVID S. SMITH HOLDINGS PLC
(BUSINESS SERVICES) 553,428
399,610 ELECTROCOMPONENTS PLC
(TECHNOLOGIES) 4,051,301
305,320 FUTURE NETWORK PLC (BUSINESS
COMPUTER SERVICES)+ 4,216,871
304,750 GLAXO WELLCOME PLC
(ELECTRONICS) 8,726,715
235,000 HAYS PLC (BUSINESS SERVICES) 1,538,010
1,096,166 KINGFISHER PLC (WHOLESALE
NONDURABLE GOODS) 9,005,880
1,587,210 LASMO PLC (ENERGY) 3,057,484
1,875,900 LEGAL & GENERAL GROUP PLC
(FINANCE) 4,870,497
</TABLE>
87
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
UNITED KINGDOM (continued)
1,628,414 ROLLS-ROYCE PLC (BUSINESS
SERVICES) $ 5,280,049
7,423,270 VODAFONE AIRTOUCH PLC
(COMMUNICATIONS) 41,270,587
102,824,656
TOTAL COMMON STOCK (COST $558,637,432)
------------
677,079,999
------------
<CAPTION>
PRINCIPAL
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 8.88%
$15,411,807 WELLS FARGO FUNDS TRUST 100%
TREASURY MONEY MARKET ++ 15,411,807
51,048,979 BUSINESS CLASS PLUS 51,048,979
66,460,786
TOTAL SHORT-TERM INSTRUMENTS (COST
$66,460,786)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $625,098,218)* 99.32% $743,540,785
OTHER ASSETS AND LIABILITIES, NET 0.68 5,114,468
------- ------------
TOTAL NET ASSETS 100.00% $748,655,253
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
++ THIS WELLS FARGO FUND INVESTS CASH BALANCES THAT IT RETAINS FOR LIQUIDITY
PURPOSES IN A WELLS FARGO MONEY MARKET FUND. THE FUND IS NOT CHARGED ANY
INVESTMENT ADVISORY FEE FOR AMOUNTS INVESTED IN THE WELLS FARGO MONEY
MARKET FUND.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $162,592,407
GROSS UNREALIZED DEPRECIATION (44,149,840)
-----------
NET UNREALIZED APPRECIATION $118,442,567
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
88
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS - 96.19%
AUSTRALIA - 2.30%
250,000 BROKEN HILL PROPRIETARY
COMPANY LIMITED
(MANUFACTURING) $ 2,707,495
330,000 NEWS CORPORATION LIMITED
(PRINTING PUBLISHING AND
INDUSTRIES) 4,611,087
7,318,582
------------
BRAZIL - 1.35%
100,000 ARACRUZ CELULOSE SA ADR (PAPER
PRODUCTS)+ 2,118,750
73,811,400 TELESP PARTICIPACOES S.A.
(COMMUNICATIONS) 2,169,928
4,288,678
------------
FINLAND - 2.39%
35,000 NOKIA CORPORATION ADR
(ELECTRONIC EQUIPMENT) 7,603,750
------------
FRANCE - 12.99%
39,000 AXA (INSURANCE) 5,526,812
17,000 CANAL PLUS (COMMUNICATIONS) 3,741,380
19,000 CAP GEMINI SA (BUSINESS
SERVICES)+ 5,145,114
16,500 GROUPE DANONE (FOOD AND
KINDRED PRODUCTS) 3,647,128
45,000 ST MICROELECTRONICS NV
(ELECTRONICS) 8,267,397
27,000 SUEZ LYONNAISE DES EAUX
(INDUSTRIAL) 4,640,076
36,400 TOTAL FINA ELF SA (OIL AND
GAS) 5,450,932
43,500 VIVENDI (BUSINESS SERVICES) 5,015,698
41,434,537
------------
GERMANY - 6.91%
13,300 ALLIANZ AG (INSURANCE) 5,415,097
60,000 DEUTSCHE BANK AG (BANKING) 3,987,297
37,800 INFINEON TECHNOLOGIES AG
(ELECTRONICS)+ 2,063,491
44,000 METRO AG (RETAILERS) 1,759,884
55,500 SGL CARBON AG (CHEMICALS) 4,248,522
19,900 SIEMENS AG (MANUFACTURING) 2,865,792
33,000 VEBA AG (ELECTRIC GAS AND
SANITARY) 1,686,204
22,026,287
------------
HONG KONG - 3.22%
492,000 CHEUNG KONG HOLDINGS LIMITED
(REAL ESTATE) 7,361,205
250,000 HSBC HOLDINGS PLC (BANKING) 2,921,725
10,282,930
------------
HUNGARY - 0.96%
350,000 MAGYAR TAVKOZLESI RT
(COMMUNICATIONS) 3,072,677
------------
IRELAND - 3.38%
82,000 ELAN COMPANY PLC ADR
(CHEMICALS)+ 3,895,000
150,000 RYANAIR HOLDINGS PLC - ADR
(AIR TRANSPORTATION)+ 6,881,250
10,776,250
------------
ITALY - 1.70%
450,000 ENI SPA (OIL AND GAS) 2,252,004
</TABLE>
89
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ITALY (continued)
232,300 SAN PAOLO IMI SPA (BANKING) $ 3,180,855
5,432,859
------------
JAPAN - 20.65%
27,000 BENESSE CORPORATION
(EDUCATION) 2,769,365
45,000 FAMILYMART COMPANY LIMITED
(GENERAL MERCHANDISE) 2,228,830
160,000 FUJITSU LIMITED (ELECTRONICS) 4,913,955
75,000 HONDA MOTOR COMPANY LIMITED
(TRANSPORTATION EQUIPMENT) 3,100,472
220,000 NIKKO SECURITIES COMPANY
LIMITED (FINANCIAL SERVICES) 3,333,300
350 NIPPON TELEGRAPH & TELEPHONE
CORPORATION (NTT)
(COMMUNICATIONS) 5,562,324
165,000 NOMURA SECURITIES COMPANY
(FINANCIAL SERVICES) 5,389,264
127,000 OMRON CORPORATION
(ELECTRONICS) 3,615,657
1,800 ORACLE CORPORATION JAPAN
(BUSINESS SERVICES) 1,509,286
55,000 SECOM COMPANY LIMITED
(COMMERCIAL) 4,718,957
50,000 SEVEN-ELEVEN JAPAN COMPANY
LIMITED (RETAIL) 5,752,448
225,000 SHARP CORPORATION
(ELECTRONICS) 4,815,238
5,000 SOFTBANK CORPORATION (COMPUTER
SOFTWARE) 4,460,584
37,000 SONY CORPORATION (ELECTRONICS) 5,230,828
60,000 TAKEDA CHEMICAL INDUSTRIES
(CHEMICALS) 4,270,461
80,000 TOYOTA MOTOR CORPORATION
(TRANSPORTATION EQUIPMENT) 4,188,562
65,859,531
------------
KOREA REPUBLIC OF - 0.66%
48,000 KOREA TELECOM CORPORATION SP
ADR (COMMUNICATIONS) 2,100,000
------------
MEXICO - 3.65%
1,180,000 GRUPO TELEVISA SA DE CV
(COMMUNICATIONS)+ 4,087,593
2,200,000 TELEFONOS DE MEXICO SA
(COMMUNICATIONS) 7,561,675
11,649,268
------------
NETHERLANDS - 6.51%
114,600 KONINKLIJKE AHOLD NV (FOOD AND
KINDRED PRODUCTS) 2,981,596
40,000 KONINKLIJKE PHILIPS
ELECTRONICS NV (ELECTRONICS) 6,721,087
76,000 ROYAL DUTCH PETROLEUM COMPANY
NY SHARES (PETROLEUM) 4,374,750
70,400 UNILEVER NV (WHOLESALE TRADE) 3,472,613
69,000 UNITED PAN-EUROPE
COMMUNICATIONS NV
(COMMUNICATIONS)+ 3,223,969
20,774,015
------------
NORWAY - 1.02%
186,000 PETROLEUM GEO-SERVICES (OIL
AND GAS)+ 3,261,910
------------
SINGAPORE - 1.72%
415,000 DBS GROUP HOLDINGS LIMITED
(BANKING) 5,483,115
------------
SPAIN - 2.32%
330,000 BANCO SANTANDER SA (BANKING) 3,546,082
152,220 TELEFONICA SA (COMMUNICATIONS) 3,845,304
7,391,386
------------
</TABLE>
90
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
SWEDEN - 2.35%
80,000 TELEFONAKTIEBOLAGET LM
ERICSSON SERIES B ADR
(ELECTRONICS) $ 7,505,000
------------
SWITZERLAND - 5.31%
4,200 ADECCO SA (BUSINESS SERVICES) 2,904,921
1,575 JULIUS BAER HOLDING LIMITED
ZURICH (INVESTMENT OFFICES) 5,929,827
2,450 NESTLE SA (FOOD AND KINDRED
PRODUCTS) 4,391,061
2,700 NOVARTIS AG (CHEMICALS) 3,692,678
16,918,487
------------
TAIWAN - 2.22%
100,000 ASE TEST LIMITED
(ELECTRONICS)+ 2,900,000
227,000 RITEK CORPORATION GDR
(INDUSTRIAL MACHINERY)+ 4,177,458
7,077,458
------------
UNITED KINGDOM - 14.58%
430,000 AMVESCAP PLC (FINANCIAL
SERVICES) 5,847,974
40,000 ARM HOLDINGS PLC ADR
(ELECTRONICS)+ 7,110,000
400,000 BP AMOCO PLC (OIL AND GAS) 3,659,620
210,000 BRITISH TELECOMMUNICATIONS PLC
(COMMUNICATIONS) 3,936,405
673,000 INVENSYS PLC (ENGINEERING
ACCOUNTING RESEARCH AND
RELATED SERVICES) 2,990,080
63,300 NDS GROUP PLC ADR
(COMMUNICATIONS)+ 4,462,650
270,000 ROYAL BANK OF SCOTLAND GROUP
(BANKING) 3,975,649
50,000 SMITHKLINE BEECHAM PLC ADR
(CHEMICALS) 3,303,125
500,000 TELEWEST COMMUNICATIONS PLC
(COMMUNICATIONS)+ 3,840,688
1,325,504 VODAFONE AIRTOUCH PLC
(COMMUNICATIONS) 7,369,303
46,495,494
------------
306,752,214
TOTAL COMMON STOCKS (COST $250,901,186)
------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 4.86%
REPURCHASE AGREEMENTS - 4.86%
$15,506,195 CREDIT SUISSE FIRST BOSTON
REPURCHASE AGREEMENT - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES
(FINANCIAL SERVICES) 6.22% 04/03/00 15,506,195
------------
TOTAL SHORT-TERM INSTRUMENTS (COST
$15,506,195)
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $266,407,381)* 101.05% $322,258,409
OTHER ASSETS AND LIABILITIES NET (1.05) (3,333,331)
------- ------------
TOTAL NET ASSETS 100.00% $318,925,078
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $ 70,090,107
GROSS UNREALIZED DEPRECIATION (14,239,079)
------------
NET UNREALIZED APPRECIATION $ 55,851,028
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
91
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
LARGE COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 97.73%
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS - 5.34%
195,100 FASTENAL COMPANY $ 9,340,413
2,359,617 HOME DEPOT INCORPORATED 152,195,296
161,535,709
--------------
BUSINESS SERVICES - 15.40%
871,700 AUTOMATIC DATA PROCESSING
INCORPORATED 42,059,525
409,000 DST SYSTEMS INCORPORATED+ 26,559,438
1,660,600 FIRST DATA CORPORATION 73,481,550
938,312 FISERV INCORPORATED+ 34,893,478
3,013,800 IMS HEALTH INCORPORATED 51,046,238
2,045,160 MICROSOFT CORPORATION+ 217,298,249
544,500 SUNGARD DATA SYSTEMS
INCORPORATED+ 20,554,875
465,893,353
--------------
CHEMICALS & ALLIED PRODUCTS - 6.29%
876,800 MERCK & COMPANY INCORPORATED 54,471,200
2,330,800 PFIZER INCORPORATED 85,219,875
518,500 WARNER-LAMBERT COMPANY 50,553,750
190,244,825
--------------
DEPOSITORY INSTITUTIONS - 1.21%
379,100 STATE STREET CORPORATION 36,725,313
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT -
19.58%
1,768,600 INTEL CORPORATION 233,344,662
1,580,400 LUCENT TECHNOLOGIES
INCORPORATED 96,009,300
644,850 NOKIA CORPORATION ADR 140,093,663
1,311,400 TELEFONAKTIEBOLAGET LM
ERICSSON AB ADR 123,025,713
592,473,338
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 2.58%
1,491,799 PAYCHEX INCORPORATED 78,132,973
--------------
FOOD & KINDRED PRODUCTS - 1.09%
704,700 COCA-COLA COMPANY 33,076,856
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 16.98%
3,816,000 CISCO SYSTEMS INCORPORATED+ 295,024,500
690,200 EMC CORPORATION+ 86,275,000
3,304,700 SOLECTRON CORPORATION+ 132,394,543
513,694,043
--------------
INSURANCE CARRIERS - 4.17%
1,152,791 AMERICAN INTERNATIONAL GROUP
INCORPORATED 126,230,615
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL
GOODS - 4.42%
2,601,600 MEDTRONIC INCORPORATED 133,819,800
--------------
</TABLE>
92
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
LARGE COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
MISCELLANEOUS RETAIL - 4.12%
1,290,500 COSTCO WHOLESALE CORPORATION+ $ 67,831,906
2,839,275 STAPLES INCORPORATED+ 56,785,500
124,617,406
--------------
MOTION PICTURES - 0.65%
476,390 WALT DISNEY COMPANY 19,710,636
--------------
OIL & GAS EXTRACTION - 0.68%
269,300 SCHLUMBERGER LIMITED 20,601,450
--------------
PERSONAL SERVICES - 1.48%
1,140,600 CINTAS CORPORATION 44,697,263
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 12.92%
3,229,025 CHARLES SCHWAB CORPORATION 183,448,982
1,372,250 GOLDMAN SACHS GROUP
INCORPORATED 144,257,781
1,595,700 T. ROWE PRICE 63,030,150
390,736,913
--------------
WHOLESALE TRADE -- NONDURABLE GOODS - 0.82%
537,800 CARDINAL HEALTH INCORPORATED 24,671,575
--------------
2,956,862,068
TOTAL COMMON STOCK (COST $1,441,826,900)
--------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 2.29%
REPURCHASE AGREEMENTS - 2.29%
$69,138,808 BEAR STEARNS & COMPANY
INCORPORATED REPURCHASE
AGREEMENT - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.20% 04/03/00 69,138,808
69,138,808
TOTAL SHORT-TERM INSTRUMENTS (COST
$69,138,808)
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $1,510,965,708)* 100.02% $3,026,000,876
OTHER ASSETS AND LIABILITIES, NET (0.02) (706,941)
------- --------------
TOTAL NET ASSETS 100.00% $3,025,293,935
------- --------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $1,584,478,451
GROSS UNREALIZED DEPRECIATION (69,443,283)
-------------
NET UNREALIZED APPRECIATION $1,515,035,168
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
93
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 90.83%
AGRICULTURAL PRODUCTION -- CROPS - 0.25%
26,000 CHIQUITA BRANDS INTERNATIONAL
INCORPORATED $ 123,500
15,300 DELTA & PINE LAND COMPANY 302,175
425,675
------------
AGRICULTURAL PRODUCTION -- LIVESTOCK & ANIMAL SPECIALTIES - 0.10%
8,000 MICHAEL FOODS INCORPORATED 168,000
------------
AMUSEMENT & RECREATION SERVICES - 0.23%
4,700 ANCHOR GAMING+ 178,306
10,300 PINNACLE ENTERTAINMENT
INCORPORATED+ 209,219
387,525
------------
APPAREL & ACCESSORY STORES - 0.90%
12,400 ANNTAYLOR STORES CORPORATION+ 285,200
5,500 ASHWORTH INCORPORATED+ 23,719
10,400 CATO CORPORATION 122,200
7,600 DRESS BARN INCORPORATED+ 146,300
8,200 FOOTSTAR INCORPORATED+ 231,650
13,100 GOODY'S FAMILY CLOTHING
INCORPORATED+ 79,419
9,600 GYMBOREE CORPORATION+ 39,600
5,500 J. BAKER INCORPORATED 38,500
12,400 PACIFIC SUNWEAR OF CALIFORNIA
INCORPORATED+ 477,400
5,400 WET SEAL INCORPORATED+ 85,050
1,529,038
------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS - 0.48%
6,200 CYRK INCORPORATED+ 54,638
2,700 HAGGAR CORPORATION 37,125
11,600 HARTMARX CORPORATION+ 31,900
11,000 KELLWOOD COMPANY 193,188
13,700 NAUTICA ENTERPRISES
INCORPORATED+ 160,975
5,100 OSHKOSH B'GOSH INCORPORATED 91,800
10,800 PHILLIPS-VAN HEUSEN
CORPORATION 83,024
5,600 PILLOWTEX CORPORATION 22,400
8,800 QUIKSILVER INCORPORATED+ 154,550
829,600
------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.42%
21,200 COPART INCORPORATED+ 371,000
6,600 DISCOUNT AUTO PARTS
INCORPORATED+ 58,988
20,000 O'REILLY AUTOMOTIVE
INCORPORATED+ 283,750
713,738
------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.37%
14,500 CENTRAL PARKING CORPORATION 290,000
6,400 MIDAS INCORPORATED 153,600
</TABLE>
94
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
AUTOMOTIVE REPAIR, SERVICES & PARKING (continued)
22,400 ROLLINS TRUCK LEASING
CORPORATION $ 189,000
632,600
------------
BUILDING CONSTRUCTION -- GENERAL CONTRACTORS & OPERATIVE BUILDERS - 0.69%
24,300 D.R. HORTON INCORPORATED 317,419
8,800 MDC HOLDINGS INCORPORATED 157,850
5,600 RYLAND GROUP INCORPORATED 105,000
11,600 STANDARD PACIFIC CORPORATION 116,000
14,400 TOLL BROTHERS INCORPORATED+ 288,000
5,400 U.S. HOME CORPORATION+ 205,200
1,189,469
------------
BUSINESS SERVICES - 12.88%
7,800 AARON RENTS INCORPORATED 117,488
8,800 ABM INDUSTRIES INCORPORATED 206,800
8,100 ADVO INCORPORATED+ 202,500
16,100 AMERICAN MANAGEMENT SYSTEMS
INCORPORATED+ 705,381
8,900 ANALYSTS INTERNATIONAL
CORPORATION 87,887
10,000 ASPEN TECHNOLOGY INCORPORATED+ 403,750
5,500 BARRA INCORPORATED+ 186,313
10,900 BISYS GROUP INCORPORATED+ 724,850
7,200 CATALINA MARKETING
CORPORATION+ 729,000
13,300 CERNER CORPORATION+ 359,100
11,600 CHOICEPOINT INCORPORATED+ 433,550
23,300 CIBER INCORPORATED+ 477,650
16,300 COGNEX CORPORATION+ 940,305
8,200 COMPUTER TASK GROUP
INCORPORATED 90,200
15,400 DENDRITE INTERNATIONAL
INCORPORATED+ 322,438
16,900 ELOYALTY CORPORATION+ 403,488
16,100 EPICOR SOFTWARE CORPORATION+ 136,850
12,500 FACTSET RESEARCH SYSTEMS
INCORPORATED 338,281
5,500 FAIR, ISAAC AND COMPANY
INCORPORATED 213,812
12,800 FILENET CORPORATION+ 380,800
8,800 GERBER SCIENTIFIC INCORPORATED 169,950
6,200 GREAT PLAINS SOFTWARE
INCORPORATED+ 330,925
15,300 HARBINGER CORPORATION+ 445,613
15,900 HENRY (JACK) & ASSOCIATES 586,313
9,700 HNC SOFTWARE INCORPORATED+ 699,006
12,600 HYPERION SOLUTIONS
CORPORATION+ 409,500
18,000 INACOM CORPORATION+ 49,500
11,100 INFORMATION RESOURCES
INCORPORATED+ 88,800
4,600 INSURANCE AUTO AUCTIONS
INCORPORATED+ 77,625
25,000 INTERIM SERVICES INCORPORATED+ 464,062
4,900 KRONOS INCORPORATED+ 145,163
16,900 LABOR READY INCORPORATED+ 166,888
7,400 LASON INCORPORATED+ 48,794
30,200 MERCURY INTERACTIVE
CORPORATION+ 2,393,350
15,000 MIDWAY GAMES INCORPORATED+ 198,750
</TABLE>
95
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
BUSINESS SERVICES (continued)
12,600 NATIONAL COMPUTER SYSTEMS
INCORPORATED $ 639,450
13,000 NATIONAL DATA CORPORATION 338,000
19,700 NATIONAL INSTRUMENTS
CORPORATION+ 924,668
8,500 NETWORK EQUIPMENT TECHNOLOGIES
INCORPORATED+ 85,000
7,900 PRIMARK CORPORATION+ 190,588
13,800 PROGRESS SOFTWARE CORPORATION+ 323,437
8,500 PROJECT SOFTWARE & DEVELOPMENT
INCORPORATED+ 480,250
5,300 QRS CORPORATION+ 398,825
6,500 RADISYS CORPORATION+ 390,813
11,400 REMEDY CORPORATION+ 480,225
15,200 RSA SECURITY INCORPORATED+ 787,550
30,000 S3 INCORPORATED+ 630,000
11,300 SAGA SYSTEMS INCORPORATED+ 403,975
28,200 SNYDER COMMUNICATIONS
INCORPORATED+ 634,500
11,600 STAFFMARK INCORPORATED+ 92,075
7,300 THQ INCORPORATED+ 130,488
19,000 TRUE NORTH COMMUNICATIONS
INCORPORATED 746,937
12,200 VERITY INCORPORATED+ 497,150
5,900 VOLT INFORMATION SCIENCES
INCORPORATED+ 212,031
22,120,644
------------
CHEMICALS & ALLIED PRODUCTS - 5.43%
22,300 ADVANCED TISSUE SCIENCES
INCORPORATED+ 150,524
18,500 ALLIANCE PHARMACEUTICAL
CORPORATION+ 276,343
11,700 ALPHARMA INCORPORATED 429,975
9,000 BARR LABORATORIES
INCORPORATED+ 378,000
9,100 BIOMATRIX INCORPORATED+ 232,050
8,900 BRADY COMPANY 277,568
9,700 CAMBREX CORPORATION 421,950
7,200 CHEMFIRST INCORPORATED 139,950
17,400 DURA PHARMACEUTICALS
INCORPORATED+ 214,237
9,300 GEON COMPANY 199,950
16,700 IDEC PHARMACEUTICALS
CORPORATION+ 1,640,775
10,200 IMMUNE RESPONSE CORPORATION+ 117,300
25,600 JONES PHARMA INCORPORATED 777,600
9,200 LILLY INDUSTIRES INCORPORATED
CLASS A 113,850
15,400 LIPOSOME COMPANY INCORPORATED+ 269,020
12,300 MACDERMID INCORPORATED 325,950
3,900 MCWHORTER TECHNOLOGIES
INCORPORATED+ 46,800
11,500 MEDICIS PHARMACEUTICAL
CORPORATION+ 460,000
10,300 MISSISSIPPI CHEMICAL
CORPORATION 70,168
6,800 NATURES SUNSHINE PRODUCT
INCORPORATED 54,400
26,100 NBTY INCORPORATED+ 357,244
13,000 NORTH AMERICAN VACCINE
INCORPORATED+ 34,938
8,500 NOVEN PHARMACEUTICALS
INCORPORATED+ 92,969
9,400 OM GROUP INCORPORATED 427,700
16,500 OMNOVA SOLUTIONS INCORPORATED 92,813
9,800 PAREXEL INTERNATIONAL
CORPORATION+ 92,488
</TABLE>
96
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
2,900 PENFORD CORPORATION $ 52,563
7,400 PROTEIN DESIGN LABS
INCORPORATED+ 588,300
3,500 QUAKER CHEMICAL CORPORATION 59,500
11,000 SCOTTS COMPANY+ 462,000
10,100 VERTEX PHARMACEUTICALS
INCORPORATED+ 472,806
9,329,731
------------
COMMUNICATIONS - 0.67%
8,500 AUDIOVOX CORPORATION+ 370,813
21,000 BRIGHTPOINT INCORPORATED+ 257,250
20,000 GENERAL COMMUNICATIONS
INCORPORATED+ 107,500
25,500 TALK.COM INCORPORATED+ 408,000
1,143,563
------------
CONSTRUCTION-SPECIAL TRADE CONTRACTORS - 0.71%
10,900 APOGEE ENTERPRISES
INCORPORATED 43,260
4,100 CHEMED CORPORATION 123,000
15,200 DYCOM INDUSTRIES INCORPORATED+ 741,000
9,900 INSITUFORM TECHNOLOGIES
CLASS A+ 303,188
1,210,448
------------
CONSUMER PRODUCTS - 0.01%
3,100 SWISS ARMY BRANDS
INCORPORATED+ 15,113
------------
DEPOSITORY INSTITUTIONS - 5.28%
9,800 ANCHOR BANCORP WISCONSIN
INCORPORATED 155,575
9,200 BANKNORTH GROUP INCORPORATED 246,675
10,100 CAROLINA FIRST CORPORATION 132,563
15,500 CENTURA BANKS INCORPORATED 710,094
11,200 CHITTENDEN CORPORATION 332,500
11,600 COMMERCE BANCORP INCORPORATED 429,200
22,700 COMMERCIAL FEDERAL CORPORATION 377,388
19,700 COMMUNITY FIRST BANKSHARES
INCORPORATED 315,200
20,900 CULLEN/FROST BANKERS
INCORPORATED 552,544
11,100 DOWNEY FINANCIAL CORPORATION 235,875
11,200 FIRST BANCORP/PUERTO RICO 197,400
16,200 FIRST MIDWEST BANCORP
INCORPORATED 392,850
19,900 HUDSON UNITED BANCORP 431,581
5,700 INVESTORS FINANCIAL SERVICES
CORPORATION 335,588
9,500 MAF BANCORP INCORPORATED 153,781
10,100 PROVIDENT BANKSHARES
CORPORATION 159,075
8,300 QUEENS COUNTY BANCORP
INCORPORATED 149,919
11,200 RIGGS NATIONAL CORPORATION 136,500
8,800 SILICON VALLEY BANCSHARES+ 632,500
11,000 SOUTHWEST BANCORPORATION OF
TEXAS INCORPORATED+ 213,812
15,600 STATEN ISLAND BANCORP
INCORPORATED 267,150
14,600 SUSQUEHANNA BANCSHARES
INCORPORATED 201,662
21,100 TRUSTCO BANK CORPORATION NEW
YORK 246,605
</TABLE>
97
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
DEPOSITORY INSTITUTIONS (continued)
7,400 U.S. TRUST CORPORATION $ 1,398,600
16,800 UNITED BANKSHARES INCORPORATED 369,600
8,900 WHITNEY HOLDING CORPORATION 290,362
9,064,599
------------
EATING & DRINKING PLACES - 1.38%
10,700 APPLEBEE'S INTERNATIONAL
INCORPORATED 300,938
10,700 CEC ENTERTAINMENT
INCORPORATED+ 290,238
7,900 CHEESECAKE FACTORY+ 328,838
19,900 CKE RESTAURANTS INCORPORATED 126,862
11,600 CONSOLIDATED PRODUCTS
INCORPORATED+ 109,475
7,900 IHOP CORPORATION+ 110,600
15,100 JACK IN THE BOX INCORPORATED+ 321,819
9,800 LANDRY'S SEAFOOD RESTAURANTS
INCORPORATED 62,475
8,800 LUBY'S INCORPORATED 83,050
12,200 RUBY TUESDAY INCORPORATED 213,500
14,300 RYAN'S FAMILY STEAK HOUSES
INCORPORATED+ 136,743
7,200 SONIC CORPORATION+ 196,200
5,200 TACO CABANA INCORPORATED
CLASS A+ 30,875
9,000 TCBY ENTERPRISES INCORPORATED 51,750
2,363,363
------------
ELECTRIC, GAS & SANITARY SERVICES - 2.71%
3,500 AMERICAN STATES WATER COMPANY 104,125
12,400 ATMOS ENERGY CORPORATION 203,050
2,900 BANGOR HYDRO-ELECTRIC COMPANY 50,206
4,400 CASCADE NATURAL GAS
CORPORATION 70,950
4,500 CENTRAL VERMONT PUBLIC SERVICE
CORPORATION 46,968
6,600 CH ENERGY GROUP INCORPORATED 200,475
8,100 EASTERN UTILITIES ASSOCIATES 254,137
11,900 ENERGEN CORPORATION 189,656
2,100 GREEN MOUNTAIN POWER
CORPORATION 14,044
7,400 LACLEDE GAS COMPANY 148,000
7,000 NEW JERSEY RESOURCES
CORPORATION 299,250
9,900 NORTHWEST NATURAL GAS COMPANY 193,050
9,100 NORTHWESTERN CORPORATION 187,688
16,100 PHILADELPHIA SUBURBAN
CORPORATION 291,813
12,300 PIEDMONT NATURAL GAS COMPANY 320,569
18,900 SOUTHERN UNION COMPANY+ 341,381
12,200 SOUTHWEST GAS CORPORATION 232,563
9,800 SOUTHWESTERN ENERGY COMPANY 64,925
5,300 TNP ENTERPRISES INCORPORATED 232,205
5,600 UNITED ILLUMINATING COMPANY 219,800
15,300 UNITED WATER RESOURCES
INCORPORATED 531,675
14,800 WICOR INCORPORATED 458,800
4,655,330
------------
</TABLE>
98
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT -
15.54%
8,600 ACTEL CORPORATION+ $ 306,912
13,400 ADAPTIVE BROADBAND
CORPORATION+ 716,900
10,900 ALLEN TELECOM INCORPORATED+ 173,718
7,800 ALPHA INDUSTRIES INCORPORATED+ 741,000
7,400 AMERICAN XTAL TECHNOLOGY
INCORPORATED+ 239,575
14,700 ARTESYN TECHNOLOGIES
INCORPORATED+ 278,381
19,200 ASPECT COMMUNICATIONS
CORPORATION+ 711,600
14,100 BALDOR ELECTRIC COMPANY 254,681
6,400 BENCHMARK ELECTRONICS
INCORPORATED+ 236,800
10,800 BMC INDUSTRIES INCORPORATED 61,425
21,900 BURR-BROWN CORPORATION+ 1,190,813
5,100 C&D TECHNOLOGIES INCORPORATED 300,900
12,600 C-COR.NET CORPORATION+ 617,400
16,000 C-CUBE MICROSYSTEMS
INCORPORATED+ 1,165,000
11,100 CABLE DESIGN TECHNOLOGIES
CORPORATION+ 376,706
2,400 CENTIGRAM COMMUNICATIONS
CORPORATION+ 45,600
11,900 CHECKPOINT SYSTEMS
INCORPORATED+ 99,663
5,700 CONCORD COMMUNICATIONS
INCORPORATED+ 202,706
10,900 CTS CORPORATION 621,300
22,800 DALLAS SEMICONDUCTOR
CORPORATION 800,850
27,400 DIGITAL MICROWAVE CORPORATION+ 928,175
8,700 DIONEX CORPORATION+ 286,556
10,400 ELECTRO SCIENTIFIC INDUSTRIES
INCORPORATED+ 603,200
14,500 GENERAL SEMICONDUCTOR
INCORPORATED+ 250,125
5,400 HADCO CORPORATION+ 348,975
6,800 HARMAN INTERNATIONAL
INDUSTRIES INCORPORATED 408,000
4,500 HARMON INDUSTRIES INCORPORATED 81,563
8,800 HELIX TECHNOLOGY CORPORATION 528,550
9,800 HUTCHINSON TECHNOLOGY
INCORPORATED+ 172,725
5,800 INNOVEX INCORPORATED 56,731
10,200 INTER-TEL INCORPORATED 279,225
24,100 INTERNATIONAL RECTIFIER
CORPORATION+ 918,812
12,600 INTERVOICE-BRITE INCORPORATED+ 363,825
5,900 ITRON INCORPORATED+ 40,931
17,100 KEMET CORPORATION+ 1,081,575
18,900 LATTICE SEMICONDUCTOR
CORPORATION+ 1,279,294
8,300 MERCURY COMPUTER SYSTEMS
INCORPORATED+ 405,663
14,200 METHODE ELECTRONICS
INCORPORATED 717,100
16,300 MICREL INCORPORATED+ 1,564,800
2,900 NATIONAL PRESTO INDUSTRIES
INCORPORATED 94,613
28,400 P-COM INCORPORATED+ 525,400
4,100 PARK ELECTROCHEMICAL
CORPORATION 100,450
9,400 PHOTRONICS INCORPORATED+ 331,938
16,000 PICTURETEL CORPORATION+ 140,000
6,400 PLANTRONICS INCORPORATED+ 596,400
6,800 PLEXUS CORPORATION+ 453,050
7,900 POWERWAVE TECHNOLOGIES
INCORPORATED+ 987,500
</TABLE>
99
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (continued)
4,600 PROXIM INCORPORATED+ $ 550,563
19,700 READ-RITE CORPORATION+ 92,344
6,800 ROYAL APPLIANCE MANUFACTURING
COMPANY+ 33,575
4,400 SALTON INCORPORATED+ 190,850
13,200 SILICON VALLEY GROUP+ 363,000
14,100 SLI INCORPORATED 239,700
11,600 SPEEDFAM INTERNATIONAL
INCORPORATED+ 230,550
6,100 STANDARD MICROSYSTEMS
CORPORATION+ 88,831
5,900 SYMMETRICOM INCORPORATED+ 62,318
6,400 TECHNITROL INCORPORATED 372,800
10,600 TELEDYNE TECHNOLOGIES
INCORPORATED+ 184,175
6,200 THOMAS INDUSTRIES INCORPORATED 116,250
4,800 THREE-FIVE SYSTEMS
INCORPORATED+ 288,000
13,600 VALENCE TECHNOLOGY
INCORPORATED+ 320,450
16,300 VICOR CORPORATION+ 293,400
8,900 WINDMERE-DURABLE HOLDINGS
INCORPORATED+ 131,275
6,000 ZIXIT CORPORATION+ 436,875
26,682,062
------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 4.33%
15,200 BILLING INFORMATION CONCEPTS
CORPORATION+ 106,875
20,900 BIO-TECHNOLOGY GENERAL
CORPORATION+ 323,950
7,500 CDI CORPORATION+ 142,500
12,800 CEPHALON INCORPORATED+ 480,000
9,900 COR THERAPEUTICS INCORPORATED+ 652,626
5,700 F.Y.I. INCORPORATED+ 154,613
8,000 FRANKLIN COVEY COMPANY+ 58,000
11,200 INCYTE PHARMACEUTICALS
INCORPORATED+ 974,400
56,600 MARCHFIRST INCORPORATED+ 2,019,913
8,300 MAXIMUS INCORPORATED+ 253,150
14,200 MEDQUIST INCORPORATED+ 386,063
8,800 NFO WORLDWIDE INCORPORATED+ 193,600
12,000 ORGANOGENESIS INCORPORATED+ 144,750
9,700 PHARMACEUTICAL PRODUCT
DEVELOPMENT INCORPORATED+ 164,293
19,200 PROFIT RECOVERY GROUP
INTERNATIONAL INCORPORATED+ 355,200
12,300 REGENERON PHARMACEUTICALS
INCORPORATED+ 363,618
5,100 STONE & WEBSTER INCORPORATED 73,950
15,200 TETRA TECH INCORPORATED+ 361,000
6,300 URS CORPORATION+ 82,688
33,800 US ONCOLOGY INCORPORATED+ 152,100
7,443,289
------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT - 0.81%
3,700 ALLIANT TECHSYSTEMS
INCORPORATED+ 217,837
14,400 APTARGROUP INCORPORATED 384,300
2,800 BUTLER MANUFACTURING COMPANY 68,425
11,800 GRIFFON CORPORATION+ 92,188
3,300 INSTEEL INDUSTRIES
INCORPORATED 18,562
</TABLE>
100
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT (continued)
6,100 MATERIAL SCIENCES CORPORATION+ $ 82,350
10,600 STURM, RUGER & COMPANY
INCORPORATED 92,750
18,500 TOWER AUTOMOTIVE INCORPORATED+ 302,938
10,400 WATTS INDUSTRIES INCORPORATED 128,700
1,388,050
------------
FINANCIAL SERVICES - 0.13%
9,400 JEFFERIES GROUP INCORPORATED 215,025
------------
FOOD & KINDRED PRODUCTS - 1.42%
4,000 AGRIBRANDS INTERNATIONAL
INCORPORATED+ 157,250
7,200 AMERICAN ITALIAN PASTA
COMPANY+ 177,300
7,700 BERINGER WINE ESTATES HOLDINGS
INCORPORATED+ 276,237
7,100 CANANDAIGUA BRANDS
INCORPORATED+ 362,100
3,400 COCA-COLA BOTTLING COMPANY 179,987
14,700 CORN PRODUCTS INTERNATIONAL
INCORPORATED 353,719
16,700 EARTHGRAINS COMPANY 248,413
3,600 J&J SNACK FOODS CORPORATION+ 71,550
12,000 RALCORP HOLDINGS INCORPORATED+ 174,000
22,200 SMITHFIELD FOODS INCORPORATED+ 444,000
2,444,556
------------
FOOD STORES - 0.27%
4,800 PANERA BREAD COMPANY CLASS A+ 36,000
10,200 WHOLE FOODS MARKET
INCORPORATED+ 422,663
458,663
------------
FURNITURE & FIXTURES - 0.49%
4,800 BASSETT FURNITURE INDUSTRIES
INCORPORATED 67,200
16,100 ETHAN ALLEN INTERIORS
INCORPORATED 402,500
24,200 LA-Z-BOY INCORPORATED 372,075
841,775
------------
GENERAL MERCHANDISE STORES - 0.88%
13,200 99 CENTS ONLY STORES+ 518,100
11,500 AMES DEPARTMENT STORES
INCORPORATED+ 282,469
20,800 CASEY'S GENERAL STORES
INCORPORATED 226,200
3,100 GC COMPANIES INCORPORATED+ 107,725
5,000 GOTTSCHALKS INCORPORATED+ 26,250
12,000 SHOPKO STORES INCORPORATED+ 213,000
17,500 STEIN MART INCORPORATED+ 144,375
1,518,119
------------
HEALTH SERVICES - 1.98%
23,300 COVENTRY HEALTH CARE
INCORPORATED+ 198,050
4,000 CURATIVE HEALTH SERVICES
INCORPORATED+ 24,000
9,900 ENZO BIOCHEM INCORPORATED+ 697,950
12,700 HOOPER HOLMES INCORPORATED 435,768
14,400 IDEXX LABORATORIES
INCORPORATED+ 335,700
</TABLE>
101
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
HEALTH SERVICES (continued)
9,900 LASER VISION CENTERS
INCORPORATED+ $ 68,680
12,600 MAGELLAN HEALTH SERVICES
INCORPORATED+ 60,638
19,000 ORTHODONTIC CENTERS OF AMERICA
INCORPORATED+ 356,250
6,100 PEDIATRIX MEDICAL GROUP
INCORPORATED+ 44,225
17,600 RENAL CARE GROUP INCORPORATED+ 381,700
10,600 SIERRA HEALTH SERVICES
INCORPORATED+ 52,338
4,700 SYNCOR INTERNATIONAL
CORPORATION+ 155,100
12,100 UNIVERSAL HEALTH SERVICES
INCORPORATED+ 592,900
3,403,299
------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION -- CONTRACTORS - 0.15%
16,100 FOSTER WHEELER CORPORATION 108,675
20,600 MORRISON KNUDSEN CORPORATION+ 151,925
260,600
------------
HOLDING & OTHER INVESTMENT OFFICES - 0.08%
7,500 DBT ONLINE INCORPORATED+ 139,219
------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.73%
14,300 BOMBAY COMPANY INCORPORATED+ 47,369
8,100 COST PLUS INCORPORATED+ 273,881
15,500 LINENS 'N THINGS INCORPORATED+ 530,875
8,100 MICROAGE INCORPORATED+ 18,985
37,400 PIER 1 IMPORTS INCORPORATED 383,350
1,254,460
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.27%
17,200 AZTAR CORPORATION+ 163,400
11,800 MARCUS CORPORATION 152,663
19,300 PRIME HOSPITALITY CORPORATION+ 139,925
455,988
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 4.79%
14,200 ANIXTER INTERNATIONAL
INCORPORATED+ 395,825
8,200 APEX INCORPORATED+ 304,425
15,400 APPLIED POWER INCORPORATED 438,900
7,500 ASTEC INDUSTRIES INCORPORATED+ 199,218
10,800 AUSPEX SYSTEMS INCORPORATED 118,800
7,700 BLACK BOX CORPORATION+ 533,105
7,600 CYBEX COMPUTER PRODUCTS
CORPORATION+ 285,950
6,800 DRIL-QUIP INCORPORATED+ 320,450
7,900 ELECTROGLAS INCORPORATED+ 270,575
9,000 EXABYTE CORPORATION+ 66,937
14,200 FEDDERS CORPORATION 78,987
5,800 FLOW INTERNATIONAL
CORPORATION+ 68,150
5,900 GARDNER DENVER INCORPORATED+ 110,994
8,000 GRACO INCORPORATED 232,000
11,700 IDEX CORPORATION 318,825
21,500 KOMAG INCORPORATED+ 81,632
</TABLE>
102
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
9,300 KULICKE & SOFFA INDUSTRIES
INCORPORATED+ $ 595,781
22,600 LENNOX INTERNATIONAL
INCORPORATED 197,750
4,900 LINDSAY MANUFACTURING COMPANY 83,913
10,200 MANITOWOC COMPANY INCORPORATED 276,038
6,500 MICRO SYSTEMS INCORPORATED+ 409,094
18,400 PAXAR CORPORATION+ 177,100
4,300 ROBBINS & MYERS INCORPORATED 101,588
7,000 SCOTT TECHNOLOGIES
INCORPORATED+ 132,125
5,000 SPS TECHNOLOGIES INCORPORATED+ 152,500
6,400 TELXON CORPORATION 112,400
5,000 TORO COMPANY 149,688
8,400 ULTRATECH STEPPER
INCORPORATED+ 119,700
9,300 VALMONT INDUSTRIES
INCORPORATED 160,425
12,200 VARIAN MEDICAL SYSTEMS
INCORPORATED+ 556,625
11,500 WATSCO INCORPORATED 120,031
11,700 XIRCOM INCORPORATED+ 432,900
12,400 ZEBRA TECHNOLOGIES
CORPORATION+ 620,000
8,222,431
------------
INSURANCE AGENTS, BROKERS & SERVICE - 0.42%
14,500 ARTHUR J. GALLAGHER & COMPANY 471,250
5,200 E.W. BLANCH HOLDINGS
INCORPORATED 104,000
5,200 HILB ROGAL AND HAMILTON
COMPANY 142,025
717,275
------------
INSURANCE CARRIERS - 1.87%
8,500 ADVANCE PARADIGM INCORPORATED+ 100,937
8,100 DELPHI FINANCIAL GROUP
CLASS A+ 246,037
15,000 ENHANCE FINANCIAL SERVICES
GROUP INCORPORATED 211,875
26,400 FIDELITY NATIONAL FINANCIAL
INCORPORATED 364,650
25,700 FIRST AMERICAN FINANCIAL
INCORPORATED 364,619
27,600 FREMONT GENERAL CORPORATION 163,875
17,200 MUTUAL RISK MANAGEMENT LIMITED 344,000
14,600 RADIAN GROUP INCORPORATED 695,325
3,900 RLI CORPORATION 130,650
4,800 SCPIE HOLDINGS INCORPORATED 147,000
10,800 SELECTIVE INSURANCE GROUP
INCORPORATED 184,275
7,300 TRENWICK GROUP INCORPORATED 103,113
6,800 ZENITH NATIONAL INSURANCE
CORPORATION 150,875
3,207,231
------------
LEATHER & LEATHER PRODUCTS - 0.54%
7,200 BROWN SHOE COMPANY
INCORPORATED 86,400
10,000 JUSTIN INDUSTRIES 180,000
4,200 K-SWISS INCORPORATED 62,213
8,200 TIMBERLAND COMPANY+ 418,200
</TABLE>
103
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
LEATHER & LEATHER PRODUCTS (continued)
16,300 WOLVERINE WORLD WIDE
INCORPORATED $ 179,300
926,113
------------
LEGAL SERVICES - 0.15%
8,900 PRE-PAID LEGAL SERVICES
INCORPORATED+ 264,219
------------
LOCAL & SUBURBAN TRANSIT & INTERURBAN HIGHWAY PASSENGER TRANSPORTATION - 0.00%
5,700 RURAL/METRO CORPORATION+ 6,769
------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.21%
18,800 CHAMPION ENTERPRISES
INCORPORATED+ 108,100
4,900 DELTIC TIMBER CORPORATION 116,069
18,600 OAKWOOD HOMES CORPORATION 70,913
3,400 SKYLINE CORPORATION 73,737
368,819
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL
GOODS - 4.01%
8,100 ADAC LABORATORIES+ 111,375
3,500 AMCAST INDUSTRIAL CORPORATION 32,156
5,000 ANALOGIC CORPORATION 184,375
9,800 COHERENT INCORPORATED+ 509,600
7,800 COHU INCORPORATED 325,162
6,000 CONMED CORPORATION+ 150,375
5,500 COOPER COMPANIES INCORPORATED 177,030
6,400 CUNO INCORPORATED+ 173,600
9,800 CYGNUS INCORPORATED+ 142,100
5,900 DATASCOPE CORPORATION 187,325
5,400 DIAGNOSTIC PRODUCTS
CORPORATION 131,962
6,800 ESTERLINE TECHNOLOGIES
CORPORATION+ 88,400
12,600 FOSSIL INCORPORATED+ 295,312
7,500 HANGER ORTHOPEDIC GROUP
INCORPORATED+ 39,844
6,100 HOLOGIC INCORPORATED+ 48,419
20,000 INPUT/OUTPUT INCORPORATED+ 122,500
5,100 INTERMAGNETICS GENERAL
CORPORATION+ 86,700
11,800 INVACARE CORPORATION 323,763
6,400 IONICS INCORPORATED+ 163,600
9,600 MENTOR CORPORATION 259,200
2,300 NASHUA CORPORATION+ 19,263
5,600 OSTEOTECH INCORPORATED+ 74,900
19,200 PINNACLE SYSTEMS INCORPORATED+ 638,400
5,900 RESMED INCORPORATED+ 421,113
11,500 RESPIRONICS INCORPORATED+ 165,313
11,900 ROPER INDUSTRIES INCORPORATED 403,856
9,800 SOLA INTERNATIONAL
INCORPORATED+ 60,025
3,700 SPACELABS MEDICAL
INCORPORATED+ 58,969
18,400 SUMMIT TECHNOLOGY
INCORPORATED+ 167,900
8,800 SUNRISE MEDICAL INCORPORATED+ 55,000
8,000 TECHNE CORPORATION+ 552,000
11,600 THERAGENICS CORPORATION+ 155,150
</TABLE>
104
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL
GOODS (continued)
8,900 TRIMBLE NAVIGATION LTD.+ $ 229,175
6,900 WESLEY JESSEN VISIONCARE
INCORPORATED+ 247,968
8,400 X-RITE INCORPORATED 85,050
6,886,880
------------
METAL MINING - 0.43%
6,400 BRUSH WELLMAN INCORPORATED 112,800
11,500 COEUR D'ALENE MINES
CORPORATION+ 33,781
14,900 STILLWATER MINING COMPANY+ 596,000
742,581
------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS - 0.21%
10,600 AMCOL INTERNATIONAL
CORPORATION 162,975
7,300 FLORIDA ROCK INDUSTRIES
INCORPORATED 204,400
367,375
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.28%
6,700 CROSS (A.T.) COMPANY+ 39,363
7,400 JAKKS PACIFIC INCORPORATED+ 159,563
8,900 JAN BELL MARKETING
INCORPORATED+ 25,587
7,100 K2 INCORPORATED 56,356
6,200 LYDALL INCORPORATED+ 54,250
8,100 RUSS BERRIE & COMPANY
INCORPORATED 149,850
484,969
------------
MISCELLANEOUS RETAIL - 0.95%
6,500 ACTION PERFORMANCE COMPANIES
INCORPORATED+ 86,530
7,100 BOOKS-A-MILLION INCORPORATED+ 42,600
10,000 CASH AMERICA INTERNATIONAL
INCORPORATED 124,375
2,200 DAMARK INTERNATIONAL
INCORPORATEDCLASS A+ 83,875
7,500 HANCOCK FABRICS INCORPORATED 21,563
7,000 JO-ANN STORES INCORPORATED+ 58,625
3,500 LILLIAN VERNON CORPORATION 33,250
12,200 MICHAELS STORES INCORPORATED+ 497,150
12,600 SPORTS AUTHORITY INCORPORATED+ 32,288
13,800 ZALE CORPORATION+ 651,188
1,631,444
------------
MOTION PICTURES - 0.11%
9,400 AVID TECHNOLOGY INCORPORATED+ 168,025
4,500 CARMIKE CINEMAS INCORPORATED+ 24,469
192,494
------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING - 0.97%
12,600 AMERICAN FREIGHTWAYS
CORPORATION+ 188,212
7,800 ARKANSAS BEST CORPORATION+ 81,900
6,400 FROZEN FOOD EXPRESS INDUSTRIES
INCORPORATED 21,600
11,800 HEARTLAND EXPRESS
INCORPORATED+ 165,753
</TABLE>
105
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (continued)
3,800 LANDSTAR SYSTEM INCORPORATED+ $ 208,050
4,800 M.S. CARRIERS INCORPORATED+ 112,800
10,400 USFREIGHTWAYS CORPORATION 389,350
18,700 WERNER ENTERPRISES
INCORPORATED 317,900
9,800 YELLOW CORPORATION+ 180,688
1,666,253
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 0.28%
29,500 AMERICREDIT CORPORATION+ 481,219
------------
OIL & GAS EXTRACTION - 2.97%
5,400 ATWOOD OCEANICS INCORPORATED+ 358,087
9,900 CABOT OIL AND GAS CORPORATION 178,818
6,100 CAL DIVE INTERNATIONAL
INCORPORATED+ 309,575
19,200 CROSS TIMBERS OIL COMPANY 250,800
7,400 HS RESOURCES INCORPORATED+ 156,325
16,400 NEWFIELD EXPLORATION COMPANY+ 578,100
9,000 OCEANEERING INTERNATIONAL
INCORPORATED+ 168,750
7,100 PLAINS RESOURCES INCORPORATED+ 88,750
15,800 POGO PRODUCING COMPANY 451,287
23,800 PRIDE INTERNATIONAL
INCORPORATED+ 542,938
8,400 REMINGTON OIL & GAS
CORPORATION+ 35,175
4,400 SEACOR SMIT INCORPORATED+ 265,650
9,600 SEITEL INCORPORATED+ 76,200
4,400 ST. MARY LAND & EXPLORATION
COMPANY 131,450
7,200 STONE ENERGY CORPORATION+ 354,600
5,300 TETRA TECHNOLOGIES
INCORPORATED+ 70,888
17,600 TUBOSCOPE VETCO INTERNATIONAL
CORPORATION+ 299,200
10,200 VERITAS DGC INCORPORATED+ 286,875
24,600 VINTAGE PETROLEUM INCORPORATED 495,075
5,098,543
------------
PAPER & ALLIED PRODUCTS - 0.42%
13,800 BUCKEYE TECHNOLOGIES
INCORPORATED+ 243,225
5,900 POPE & TALBOT INCORPORATED 108,412
4,700 REPUBLIC GROUP INCORPORATED 50,525
6,200 SCHWEITZER-MAUDUIT
INTERNATIONAL INCORPORATED 80,213
10,800 SHOREWOOD PACKAGING
CORPORATION+ 231,525
713,900
------------
PERSONAL SERVICES - 0.30%
3,400 ANGELICA CORPORATION 33,788
3,600 CPI CORPORATION 83,925
8,100 G & K SERVICES INCORPORATED 158,330
16,100 REGIS CORPORATION 238,481
514,524
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 0.23%
7,700 ELCOR CORPORATION 265,650
</TABLE>
106
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
PETROLEUM REFINING & RELATED INDUSTRIES (continued)
6,100 WD-40 $ 128,100
393,750
------------
PRIMARY METAL INDUSTRIES - 1.78%
9,600 BELDEN INCORPORATED 264,000
12,000 BIRMINGHAM STEEL CORPORATION 61,500
6,600 COMMONWEALTH INDUSTRIES
INCORPORATED 59,812
20,000 COMMSCOPE INCORPORATED+ 912,500
6,500 IMCO RECYCLING INCORPORATED 71,906
10,000 INTERMET CORPORATION 91,250
13,800 MUELLER INDUSTRIES
INCORPORATED+ 419,175
5,600 QUANEX CORPORATION 100,800
8,200 RTI INTERNATIONAL METALS+ 72,263
18,900 STEEL DYNAMICS INCORPORATED+ 218,531
4,300 STEEL TECHNOLOGIES
INCORPORATED 34,131
8,300 TEXAS INDUSTRIES INCORPORATED 258,338
14,700 TREDEGAR CORPORATION 395,981
5,700 WHX CORPORATION+ 39,188
5,000 WOLVERINE TUBE INCORPORATED+ 64,063
3,063,438
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.32%
14,500 BOWNE & COMPANY INCORPORATED 186,688
5,600 CONSOLIDATED GRAPHICS
INCORPORATED+ 71,750
11,900 JOHN H. HARLAND COMPANY 160,650
5,300 NEW ENGLAND BUSINESS SERVICE
INCORPORATED 91,425
5,600 THOMAS NELSON INCORPORATED 44,450
554,963
------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 0.03%
8,100 TITAN INTERNATIONAL
INCORPORATED 58,219
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.67%
4,900 DAIN RAUSCHER CORPORATION 323,093
13,900 EATON VANCE CORPORATION 596,831
11,500 MORGAN KEEGAN INCORPORATED 201,250
6,700 NATIONAL DISCOUNT BROKERS
GROUP INCORPORATED+ 330,813
10,400 PIONEER GROUP INCORPORATED+ 241,800
18,100 RAYMOND JAMES FINANCIAL
INCORPORATED 375,575
7,000 SEI INVESTMENTS COMPANY 794,063
2,863,425
------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.77%
28,900 GENTEX CORPORATION+ 1,071,106
6,300 LIBBEY INCORPORATED 172,463
5,000 STANDEX INTERNATIONAL
CORPORATION 77,500
1,321,069
------------
</TABLE>
107
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
TEXTILE MILL PRODUCTS - 0.26%
10,000 CONE MILLS CORPORATION+ $ 43,125
4,600 DIXIE GROUP INCORPORATED 20,413
7,600 GUILFORD MILLS INCORPORATED 58,425
20,700 INTERFACE INCORPORATED 87,975
3,000 OXFORD INDUSTRIES INCORPORATED 54,375
9,300 TRIARC COMPANIES INCORPORATED+ 186,000
450,313
------------
TRANSPORTATION BY AIR - 0.69%
7,300 ATLANTIC COAST AIRLINES
HOLDINGS+ 188,887
11,400 EGL INCORPORATED+ 266,475
13,500 MESA AIR GROUP INCORPORATED+ 84,375
5,600 MIDWEST EXPRESS HOLDINGS
INCORPORATED+ 143,500
8,300 OFFSHORE LOGISTICS
INCORPORATED+ 115,163
9,700 SKYWEST INCORPORATED 379,513
1,177,913
------------
TRANSPORTATION EQUIPMENT - 1.76%
9,200 A. O. SMITH CORPORATION 165,600
10,700 AAR CORPORATION 178,556
9,900 ARTIC CAT INCORPORATED 101,475
9,800 BE AEROSPACE INCORPORATED+ 57,575
9,500 CLARCOR INCORPORATED 168,625
6,200 COACHMEN INDUSTRIES
INCORPORATED 85,638
12,900 FLEETWOOD ENTERPRISES
INCORPORATED 190,275
15,700 FRIEDE GOLDMAN HALTER
INCORPORATED+ 107,938
16,500 GENCORP INCORPORATED 127,875
8,400 GROUP 1 AUTOMOTIVE
INCORPORATED+ 97,650
4,000 HUFFY CORPORATION 17,500
17,500 JLG INDUSTRIES INCORPORATED 159,688
8,800 KROLL-O'GARA COMPANY+ 96,250
7,400 MONACO COACH CORPORATION+ 140,600
14,700 ORBITAL SCIENCES CORPORATION+ 220,500
9,600 POLARIS INDUSTRIES
INCORPORATED 289,200
8,300 REGAL-BELOIT CORPORATION 145,250
7,100 SIMPSON INDUSTRIES
INCORPORATED 69,669
4,900 SPARTAN MOTORS INCORPORATED 20,213
5,100 STANDARD MOTOR PRODUCTS
INCORPORATED 75,863
13,300 TENNECO AUTOMOTIVE
INCORPORATED 105,568
4,800 THOR INDUSTRIES INCORPORATED 116,700
9,100 WABASH NATIONAL CORPORATION 126,830
8,600 WINNEBAGO INDUSTRIES
INCORPORATED 155,337
3,020,375
------------
TRANSPORTATION SERVICES - 0.65%
6,800 CIRCLE INTERNATIONAL GROUP
INCORPORATED 176,800
19,900 EXPEDITORS INTERNATIONAL OF
WASHINGTON INCORPORATED 791,025
</TABLE>
108
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
TRANSPORTATION SERVICES (continued)
14,400 FRITZ COMPANIES INCORPORATED+ $ 145,800
1,113,625
------------
WATER TRANSPORTATION - 0.11%
9,700 KIRBY CORPORATION+ 191,575
------------
WHOLESALE TRADE -- DURABLE GOODS - 2.24%
8,200 APPLIED INDUSTRIAL
TECHNOLOGIES INCORPORATED 131,200
5,900 AVIATION SALES COMPANY+ 37,244
7,500 BARNES GROUP INCORPORATED 108,750
5,000 BUILDING MATERIALS HOLDING
CORPORATION+ 45,313
5,500 CASTLE (A.M.) & COMPANY 68,750
5,700 COMMERCIAL METALS COMPANY 157,463
6,800 DEPARTMENT 56 INCORPORATED+ 100,725
5,900 DIGI INTERNATIONAL
INCORPORATED+ 54,575
19,200 HA-LO INDUSTRIES INCORPORATED+ 151,200
9,300 HUGHES SUPPLY INCORPORATED 144,150
10,200 INSIGHT ENTERPRISES
INCORPORATED+ 371,663
9,200 KAMAN CORPORATION CLASS A 89,700
11,100 KENT ELECTRONICS CORPORATION+ 323,981
4,100 LAWSON PRODUCTS INCORPORATED 97,631
17,600 MASCOTECH INCORPORATED 206,800
12,900 OWENS & MINOR INCORPORATED
HOLDING COMPANY 137,063
13,300 PATTERSON DENTAL COMPANY+ 508,725
10,700 PIONEER-STANDARD ELECTRONICS
INCORPORATED 168,525
11,000 RELIANCE STEEL & ALUMINUM
COMPANY 246,125
4,700 SIMPSON MANUFACTURING COMPANY
INCORPORATED+ 185,650
7,600 SPECIALTY EQUIPMENT COMPANIES
INCORPORATED+ 157,700
8,300 TBC CORPORATION+ 42,018
8,000 UNIVERSAL FOREST PRODUCTS
INCORPORATED 99,000
4,900 VITAL SIGNS INCORPORATED 112,393
7,400 WYNN'S INTERNATIONAL
INCORPORATED 102,212
3,848,556
------------
WHOLESALE TRADE -- NONDURABLE GOODS - 1.82%
12,800 BARRETT RESOURCES CORPORATION+ 381,600
13,300 BINDLEY WESTERN INDUSTRIES
INCORPORATED 180,381
10,000 CARAUSTAR INDUSTRIES
INCORPORATED 141,250
17,500 DIMON INCORPORATED 41,563
5,300 ENESCO GROUP INCORPORATED 37,431
15,300 FLEMING COS. INCORPORATED 230,456
7,200 HAIN FOOD GROUP INCORPORATED+ 203,850
16,500 MEN'S WEARHOUSE INCORPORATED+ 488,813
7,900 MYERS INDUSTRIES INCORPORATED 94,800
4,500 NASH-FINCH COMPANY 36,563
5,600 PERFORMANCE FOOD GROUP
COMPANY+ 122,500
8,600 PRIORITY HEALTHCARE
CORPORATION+ 432,150
</TABLE>
109
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
WHOLESALE TRADE -- NONDURABLE GOODS (continued)
17,600 STRIDE RITE CORPORATION $ 141,900
7,200 UNITED NATURAL FOODS
INCORPORATED+ 108,000
13,400 UNITED STATIONERS
INCORPORATED+ 478,212
3,119,469
------------
155,953,270
TOTAL COMMON STOCK (COST $145,391,293)
------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 8.65%
REPURCHASE AGREEMENTS - 8.12%
$13,941,928 GOLDMAN SACHS POOLED
REPURCHASE AGREEMENT - 102%
COLLATEERALIZED BY U.S.
GOVERNMENT SECURITIES 6.35% 04/03/00 13,941,928
U.S. TREASURY BILLS - 0.53%
390,000 U.S. TREASURY BILLS 4.66{::} 04/27/00 388,470
495,000 U.S. TREASURY BILLS 4.70{::} 04/27/00 493,060
15,000 U.S. TREASURY BILLS 5.13{::} 04/27/00 14,941
20,000 U.S. TREASURY BILLS 5.08{::} 04/27/00 19,922
916,393
------------
14,858,321
TOTAL SHORT-TERM INSTRUMENTS (COST
$14,911,066)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $160,302,359)* 99.48% $170,811,591
OTHER ASSETS AND LIABILITIES, NET 0.52 896,902
------- ------------
TOTAL NET ASSETS 100.00% $171,708,493
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $41,556,911
GROSS UNREALIZED DEPRECIATION (31,047,679)
-----------
NET UNREALIZED APPRECIATION $10,509,232
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
110
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 93.75%
AMUSEMENT & RECREATION SERVICES - 1.09%
222,300 WMS INDUSTRIES INCORPORATED+ $ 2,195,213
------------
APPAREL & ACCESSORY STORES - 4.45%
128,100 HOT TOPIC INCORPORATED+ 4,483,500
76,110 TALBOTS INCORPORATED 4,480,976
8,964,476
------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 2.50%
138,000 AVIS GROUP HOLDINGS
INCORPORATED+ 2,432,250
151,710 DOLLAR THRIFTY AUTOMOTIVE
GROUP INCORPORATED+ 2,607,516
5,039,766
------------
BUILDING CONSTRUCTION -- GENERAL CONTRACTORS & OPERATIVE BUILDERS - 1.31%
48,820 NVR INCORPORATED+ 2,636,280
------------
BUSINESS SERVICES - 1.67%
55,840 KRONOS INCORPORATED+ 1,654,260
95,595 THQ INCORPORATED+ 1,708,761
3,363,021
------------
CHEMICALS & ALLIED PRODUCTS - 3.94%
81,600 ALPHARMA INCORPORATED 2,998,800
78,187 JONES PHARMA INCORPORATED 2,374,930
187,300 NBTY INCORPORATED+ 2,563,669
7,937,399
------------
COMMUNICATIONS - 1.88%
162,320 LIGHTBRIDGE INCORPORATED+ 3,794,230
------------
CONSTRUCTION-SPECIAL TRADE CONTRACTORS - 4.88%
136,200 INSITUFORM TECHNOLOGIES -
CLASS A+ 4,171,125
93,130 QUANTA SERVICES INCORPORATED+ 5,651,826
9,822,951
------------
DEPOSITORY INSTITUTIONS - 4.60%
70,700 GREATER BAY BANCORP 2,845,675
51,290 SILICON VALLEY BANCSHARES+ 3,686,469
160,000 STATEN ISLAND BANCORP
INCORPORATED 2,740,000
9,272,144
------------
EATING & DRINKING PLACES - 5.49%
111,000 APPLEBEE'S INTERNATIONAL
INCORPORATED 3,121,875
123,760 JACK IN THE BOX INCORPORATED+ 2,637,635
139,900 RARE HOSPITALITY INTERNATIONAL
INCORPORATED+ 2,719,306
94,425 SONIC CORPORATION+ 2,573,081
11,051,897
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 14.65%
73,600 C&D TECHNOLOGIES INCORPORATED 4,342,400
</TABLE>
111
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (continued)
127,370 CABLE DESIGN TECHNOLOGIES
CORPORATION+ $ 4,322,619
95,650 DAVOX CORPORATION+ 2,558,638
47,830 ELECTRO SCIENTIFIC INDUSTRIES
INCORPORATED+ 2,774,140
135,500 LITTELFUSE INCORPORATED+ 4,971,155
65,794 SALTON INCORPORATED+ 2,853,815
65,000 TECHNITROL INCORPORATED 3,786,250
65,000 THREE-FIVE SYSTEMS
INCORPORATED+ 3,900,000
29,509,017
------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT - 1.22%
71,200 BALL CORPORATION 2,460,850
------------
FOOD & KINDRED PRODUCTS - 1.24%
48,930 CANANDAIGUA BRANDS
INCORPORATED+ 2,495,430
------------
FURNITURE & FIXTURES - 0.98%
128,030 LA-Z-BOY INCORPORATED 1,968,461
------------
HOLDING & OTHER INVESTMENT OFFICES - 1.82%
77,200 AFFILIATED MANAGERS GROUP
INCORPORATED+ 3,667,000
------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 1.52%
160,500 ELECTRONICS BOUTIQUE HOLDINGS
CORPORATION+ 3,069,563
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 7.40%
110,000 ANIXTER INTERNATIONAL
INCORPORATED+ 3,066,250
142,650 APPLIED SCIENCE & TECHNOLOGY
INCORPORATED+ 4,315,163
95,370 ELECTROGLAS INCORPORATED+ 3,266,423
119,300 IN FOCUS SYSTEMS INCORPORATED+ 4,272,430
14,920,266
------------
INSURANCE CARRIERS - 1.74%
108,450 MONY GROUP INCORPORATED 3,504,291
------------
LEATHER & LEATHER PRODUCTS - 1.57%
241,040 GENESCO INCORPORATED+ 3,163,650
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 7.60%
49,680 ORBOTECH LIMITED+ 4,222,800
126,560 PINNACLE SYSTEMS INCORPORATED+ 4,208,120
117,230 POLYMEDICA CORPORATION+ 6,887,262
15,318,182
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 1.58%
147,870 JAKKS PACIFIC INCORPORATED+ 3,188,447
------------
MISCELLANEOUS RETAIL - 1.98%
97,930 MICHAELS STORES INCORPORATED+ 3,990,648
------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING - 0.97%
131,004 AMERICAN FREIGHTWAYS
CORPORATION+ 1,956,872
------------
</TABLE>
112
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
NONDEPOSITORY CREDIT INSTITUTIONS - 3.33%
176,600 AMERICREDIT CORPORATION+ $ 2,880,788
98,600 METRIS COMPANIES INCORPORATED 3,833,075
6,713,863
------------
OIL & GAS EXTRACTION - 2.12%
212,260 VINTAGE PETROLEUM INCORPORATED 4,271,733
------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 1.69%
99,030 SPARTECH CORPORATION 3,404,156
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.62%
75,280 SOUTHWEST SECURITIES GROUP
INCORPORATED 3,269,975
------------
TRANSPORTATION EQUIPMENT - 2.24%
96,430 MONACO COACH CORPORATION+ 1,832,170
148,020 WINNEBAGO INDUSTRIES
INCORPORATED 2,673,611
4,505,781
------------
WHOLESALE TRADE -- DURABLE GOODS - 1.45%
80,300 INSIGHT ENTERPRISES
INCORPORATED+ 2,925,931
------------
WHOLESALE TRADE -- NONDURABLE GOODS - 5.22%
87,000 KENNETH COLE PRODUCTIONS
INCORPORATED+ 3,414,750
127,710 MEN'S WEARHOUSE INCORPORATED+ 3,783,409
93,143 UNITED STATIONERS
INCORPORATED+ 3,324,041
10,522,200
------------
188,903,693
TOTAL COMMON STOCK (COST $148,960,358)
------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 6.29%
REPURCHASE AGREEMENTS - 6.29%
$12,675,610 CREDIT SUISSE FIRST BOSTON
REPURCHASE AGREEMENT - 102%
COLLATERALIZED BY
U.S. GOVERNMENT SECURITIES 6.22% 04/03/00 12,675,610
12,675,610
TOTAL SHORT-TERM INSTRUMENTS (COST
$12,675,610)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $161,635,968)* 100.04% $201,579,303
OTHER ASSETS AND LIABILITIES, NET (0.04) (81,141)
------- ------------
TOTAL NET ASSETS 100.00% $201,498,162
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $45,899,650
GROSS UNREALIZED DEPRECIATION (5,956,315)
----------
NET UNREALIZED APPRECIATION $39,943,335
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
113
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 98.31%
APPAREL & ACCESSORY STORES - 0.25%
54,600 PACIFIC SUNWEAR OF CALIFORNIA
INCORPORATED+ $ 2,102,100
------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS -
0.25%
175,300 WARNACO GROUP INCORPORATED 2,070,731
------------
AUTO PARTS & EQUIPMENT - 0.03%
14,600 DURA AUTOMOTIVE SYSTEMS
INCORPORATED+ 250,938
------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.31%
147,500 COPART INCORPORATED+ 2,581,250
------------
BUILDING CONSTRUCTION -- GENERAL CONTRACTORS & OPERATIVE BUILDERS - 0.20%
113,700 DEL WEBB CORPORATION+ 1,684,181
------------
BUSINESS SERVICES - 11.49%
405,000 AUTODESK INCORPORATED 18,427,500
307,700 AVANT! CORPORATION+ 3,846,250
214,700 AWARE INCORPORATED+ 8,614,837
100,300 COGNEX CORPORATION+ 5,786,056
202,700 CSG SYSTEMS INTERNATIONAL
INCORPORATED+ 9,894,293
279,900 ELOYALTY CORPORATION+ 6,682,613
311,000 GENERAL MAGIC INCORPORATED+ 2,779,563
812,050 INFORMIX CORPORATION+ 13,754,096
378,700 MENTOR GRAPHICS CORPORATION+ 5,727,838
561,200 MODIS PROFESSIONAL SERVICES
INCORPORATED+ 6,944,850
151,600 NETZERO INCORPORATED+ 2,311,900
290,300 PROGRESS SOFTWARE CORPORATION+ 6,803,905
506,200 ROMAC INTERNATIONAL
INCORPORATED+ 4,587,438
7,500 VALUECLICK INCORPORATED+ 157,031
96,318,170
------------
CHEMICALS & ALLIED PRODUCTS - 14.55%
72,000 ALKERMES INCORPORATED+ 6,660,000
113,700 ANTIGENICS INCORPORATED+ 2,316,638
203,400 BARR LABORATORIES
INCORPORATED+ 8,542,800
253,700 BIOVAIL CORPORATION
INTERNATIONAL+ 11,242,080
106,500 COR THERAPEUTICS INCORPORATED+ 7,020,682
202,600 CUBIST PHARMACEUTICALS
INCORPORATED+ 8,483,875
303,800 GENZYME CORPORATION+ 15,227,975
230,300 GUILFORD PHARMACEUTICALS
INCORPORATED+ 5,354,475
312,500 INTERMUNE PHARMACEUTICALS
INCORPORATED+ 6,230,469
398,700 IVAX CORPORATION+ 10,864,575
539,000 MYLAN LABORATORIES INC. 14,822,500
129,500 NEUROCRINE BIOSCIENCES
INCORPORATED+ 3,010,875
103,300 REXALL SUNDOWN INCORPORATED+ 1,459,113
366,300 TEVA PHARMACEUTICAL INDUSTRIES
LIMITED ADR 13,667,568
449,900 TRIANGLE PHARMACEUTICALS
INCORPORATED+ 7,085,925
121,989,550
------------
</TABLE>
114
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMUNICATIONS - 5.01%
31,000 ADTRAN INCORPORATED+ $ 1,842,563
60,200 INSIGHT COMMUNICATIONS COMPANY
INCORPORATED+ 1,241,625
313,600 ITC DELTACOM INCORPORATED+ 11,172,000
76,000 MASTEC INCORPORATED+ 6,764,000
121,600 NET2000 COMMUNICATIONS
INCORPORATED+ 2,888,000
232,800 RHYTHMS NETCONNECTIONS
INCORPORATED+ 8,569,950
336,900 SPECTRASITE HOLDINGS
INCORPORATED+ 9,538,481
42,016,619
------------
DEPOSITORY INSTITUTIONS - 2.97%
327,700 AMERICAN FINANCIAL HOLDINGS
INCORPORATED+ 3,952,881
677,700 ROSLYN BANCORP INCORPORATED 12,071,531
323,400 UNIONBANCAL CORPORATION 8,913,713
24,938,125
------------
EATING & DRINKING PLACES - 1.38%
343,400 JACK IN THE BOX INCORPORATED+ 7,318,713
241,200 RUBY TUESDAY INCORPORATED 4,221,000
11,539,713
------------
ELECTRIC, GAS & SANITARY SERVICES - 0.59%
110,500 INDEPENDENT ENERGY HOLDINGS
PLC ADR+ 4,958,688
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 15.54%
187,100 ANTEC CORPORATION+ 8,384,418
164,700 ASPECT COMMUNICATIONS
CORPORATION+ 6,104,193
174,400 ATMEL CORPORATION+ 9,003,400
35,400 COPPER MOUNTAIN NETWORKS
INCORPORATED+ 2,900,588
192,800 DIGITAL MICROWAVE CORPORATION+ 6,531,100
240,000 FAIRCHILD SEMICONDUCTOR
CORPORATION+ 8,760,000
246,600 FSI INTERNATIONAL
INCORPORATED+ 5,055,300
416,000 GENERAL SEMICONDUCTOR
INCORPORATED+ 7,176,000
266,200 INTEGRATED DEVICE TECHNOLOGY
INCORPORATED+ 10,548,174
128,600 LATTICE SEMICONDUCTOR
CORPORATION+ 8,704,613
149,900 MATTSON TECHNOLOGY
INCORPORATED+ 6,389,488
197,000 OPTIMAL ROBOTICS CORPORATION+ 9,259,000
250,200 P-COM INCORPORATED+ 4,628,700
79,700 PHOTRONICS INCORPORATED+ 2,814,406
86,800 PLEXUS CORPORATION+ 5,783,050
231,400 REMEC INCORPORATED+ 11,685,700
126,600 TEKELEC+ 4,700,024
55,800 VARIAN SEMICONDUCTOR EQUIPMENT
ASSOCIATES INCORPORATED+ 3,550,275
537,500 VIASYSTEMS GROUP INCORPORATED+ 8,331,250
130,309,679
------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 2.60%
235,700 CEPHALON INCORPORATED+ 8,838,750
64,800 GENE LOGIC INCORPORATED+ 2,725,650
</TABLE>
115
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (continued)
136,100 UNITEDGLOBALCOM INCORPORATED+ $ 10,216,006
21,780,406
------------
FOOD & KINDRED PRODUCTS - 0.67%
227,400 AMERICAN ITALIAN PASTA
COMPANY+ 5,599,725
------------
FOOD STORES - 1.57%
317,300 WHOLE FOODS MARKET
INCORPORATED+ 13,148,119
------------
HEALTH SERVICES - 3.42%
462,000 HEALTH MANAGEMENT ASSOCIATES
INCORPORATED+ 6,583,500
318,500 LINCARE HOLDINGS INCORPORATED+ 9,037,437
248,300 ORTHODONTIC CENTERS OF AMERICA
INCORPORATED+ 4,655,625
388,200 RENAL CARE GROUP INCORPORATED+ 8,419,088
28,695,650
------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.71%
173,200 LINENS 'N THINGS INCORORATED+ 5,932,100
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 6.17%
132,900 CYBEX COMPUTER PRODUCTS
CORPORATION+ 5,000,363
215,500 ELECTROGLAS INCORPORATED+ 7,380,875
298,400 HARRIS CORPORATION 10,313,450
146,900 KULICKE AND SOFFA INDUSTRIES
INCORPORATED+ 9,410,781
12,800 NATCO GROUP INCORPORATED+ 134,400
264,000 PENTAIR INCORPORATED 9,784,500
150,000 T/R SYSTEMS INCORPORATED+ 3,337,500
139,500 VARIAN MEDICAL SYSTEMS
INCORPORATED+ 6,364,686
51,726,555
------------
INSURANCE CARRIERS - 3.13%
274,700 ANNUITY & LIFE RE (HOLDINGS)
LIMITED+ 7,142,200
241,200 EVEREST RE GROUP LIMITED 7,869,150
236,500 RADIAN GROUP INCORPORATED 11,263,313
26,274,663
------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 1.19%
719,700 LOUISIANA-PACIFIC CORPORATION 9,985,838
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 3.85%
66,100 ANAREN MIRCROWAVE
INCORPORATED+ 6,337,337
124,200 COOPER COMPANIES INCORPORATED 3,997,688
94,400 CYMER INCORPORATED+ 4,720,000
220,300 HAEMONETICS CORPORATION+ 4,956,750
134,600 LTX CORPORATION+ 6,082,238
73,000 ORBOTECH LIMITED+ 6,205,000
32,299,013
------------
MISCELLANEOUS RETAIL - 5.02%
638,600 BORDERS GROUP INCORPORATED+ 10,975,938
</TABLE>
116
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
MISCELLANEOUS RETAIL (continued)
259,500 MICHAELS STORES INCORPORATED+ $ 10,574,625
891,400 OFFICE DEPOT INCORPORATED+ 10,306,813
169,700 STAMPS.COM INCORPORATED+ 3,277,331
210,700 TECH DATA CORPORATION+ 6,926,762
42,061,469
------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING - 1.52%
252,975 SWIFT TRANSPORTATION COMPANY
INCORPORATED+ 5,185,988
200,800 USFREIGHTWAYS CORPORATION 7,517,450
12,703,438
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 0.55%
201,100 HELLER FINANCIAL INCORPORATED 4,650,438
------------
OIL & GAS EXTRACTION - 5.34%
200,000 DEVON ENERGY CORPORATION 9,712,500
381,600 PRECISION DRILLING
CORPORATION+ 12,735,900
263,900 SANTA FE INTERNATIONAL
CORPORATION 9,764,300
224,000 SPINNAKER EXPLORATION COMPANY+ 5,096,000
235,400 TIDEWATER INCORPORATED 7,488,663
44,797,363
------------
PAPER & ALLIED PRODUCTS - 0.71%
563,500 PACKAGING CORPORATION OF
AMERICA+ 5,916,750
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 0.83%
225,900 VALERO ENERGY CORPORATION 6,918,188
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.63%
125,000 HOUGHTON MIFFLIN COMPANY 5,304,688
------------
REAL ESTATE - 0.79%
79,100 INTRAWEST CORPORATION 1,334,813
187,800 NEWHALL LAND & FARMING COMPANY 5,305,350
6,640,163
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 0.69%
88,100 DAIN RAUSCHER CORPORATION 5,809,094
------------
TRANSPORTATION BY AIR - 0.71%
152,900 SKYWEST INCORPORATED 5,982,213
------------
TRANSPORTATION EQUIPMENT - 0.66%
178,500 OSHKOSH TRUCK CORPORATION 5,544,656
------------
WHOLESALE TRADE -- DURABLE GOODS - 4.98%
192,400 ACT MANUFACTURING
INCORPORATED+ 10,762,375
590,400 INGRAM MICRO INCORPORATED+ 9,077,400
27,700 PATTERSON DENTAL COMPANY+ 1,059,525
512,900 SYBRON INTERNATIONAL
CORPORATION+ 14,874,100
</TABLE>
117
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
WHOLESALE TRADE -- DURABLE GOODS (continued)
366,300 TOWER AUTOMOTIVE INCORPORATED+ $ 5,998,163
41,771,563
------------
824,301,836
TOTAL COMMON STOCK (COST $646,566,458)
------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 2.39%
REPURCHASE AGREEMENTS - 2.39%
$20,029,571 CREDIT SUISSE FIRST BOSTON
REPURCHASE AGREEMENT - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.22% 04/03/00 20,029,571
20,029,571
TOTAL SHORT-TERM INSTRUMENTS (COST
$20,029,571)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $666,596,029)* 100.70% $844,331,407
OTHER ASSETS AND LIABILITIES, NET (0.70) ( 5,848,442)
------- ------------
TOTAL NET ASSETS 100.00% $838,482,965
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $205,891,343
GROSS UNREALIZED DEPRECIATION (28,155,965)
-----------
NET UNREALIZED APPRECIATION $177,735,378
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
118
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 97.25%
AMUSEMENT & RECREATION SERVICES - 2.11%
151,619 ARGOSY GAMING COMPANY+ $ 2,160,571
84,800 PINNACLE ENTERTAINMENT
INCORPORATED+ 1,722,500
3,883,071
------------
APPAREL & ACCESSORY STORES - 0.88%
43,000 AMERICAN EAGLE OUTFITTERS
INCORPORATED+ 1,631,313
------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS -
1.78%
225,462 PHILLIPS-VAN HEUSEN
CORPORATION 1,733,239
126,864 TROPICAL SPORTSWEAR
INTERNATIONAL CORPORATION 1,554,084
3,287,323
------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 1.66%
178,556 DOLLAR THRIFTY AUTOMOTIVE
GROUP INCORPORATED+ 3,068,931
------------
BUILDING CONSTRUCTION -- GENERAL CONTRACTORS & OPERATIVE BUILDERS - 3.63%
132,380 D.R. HORTON INCORPORATED 1,729,214
89,900 LENNAR CORPORATION 1,949,706
77,471 M.D.C. HOLDINGS INCORPORATED 1,389,636
163,300 STANDARD PACIFIC CORPORATION 1,633,000
6,701,556
------------
BUSINESS SERVICES - 2.90%
60,515 MENTOR GRAPHICS CORPORATION+ 915,289
84,862 MIDWAY GAMES INCORPORATED+ 1,124,422
78,930 NCO GROUP INCORPORATED+ 2,520,827
43,853 THQ INCORPORATED+ 783,872
5,344,410
------------
CHEMICALS & ALLIED PRODUCTS - 3.65%
204,000 AGRIUM INCORPORATED 1,644,750
198,500 CK WITCO CORPORATION 2,022,219
100,100 CYTEC INDUSTRIES INCORPORATED+ 3,065,562
6,732,531
------------
DEPOSITORY INSTITUTIONS - 9.31%
49,293 ANDOVER BANCORP INCORPORATED 1,407,931
68,800 ASTORIA FINANCIAL CORPORATION 1,952,200
50,685 BANK UNITED CORPORATION 1,599,745
71,365 BANKNORTH GROUP INCORPORATED 1,913,474
44,794 CENTURA BANKS INCORPORATED 2,052,125
119,875 COMMERCIAL FEDERAL CORPORATION 1,992,922
67,549 FIRST REPUBLIC BANK+ 1,338,315
93,567 FIRSTFED FINANCIAL
CORPORATION+ 1,239,763
64,868 INTERWEST BANCORP INCORPORATED 891,935
65,500 PFF BANCORP INCORPORATED 1,015,250
</TABLE>
119
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
DEPOSITORY INSTITUTIONS (continued)
76,375 WEBSTER FINANCIAL CORPORATION $ 1,756,625
17,160,285
------------
EATING & DRINKING PLACES - 1.20%
66,905 PAPA JOHN'S INTERNATIONAL
INCORPORATED+ 2,207,865
------------
ELECTRIC, GAS & SANITARY SERVICES - 5.14%
145,120 CENTRAL VERMONT PUBLIC SERVICE 1,514,690
254,171 EL PASO ELECTRIC COMPANY+ 2,637,024
110,409 ENERGEN CORPORATION 1,759,644
63,400 RGS ENERGY GROUP INCORPORATED 1,347,250
85,225 WPS RESOURCES CORPORATION 2,210,523
9,469,131
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 9.92%
40,400 3DFX INTERACTIVE INCORPORATED+ 482,275
25,419 ACTEL CORPORATION+ 907,141
47,843 ARTESYN TECHNOLOGIES
INCORPORATED 906,027
71,037 BENCHMARK ELECTRONICS
INCORPORATED+ 2,628,369
15,254 CTS CORPORATION 869,478
32,313 DUPONT PHOTOMASKS
INCORPORATED+ 1,872,134
66,852 ESS TECHNOLOGY INCORPORATED+ 1,169,910
41,000 HARMAN INTERNATIONAL
INDUSTRIES INCORPORATED 2,460,000
23,700 IMATION CORPORATION+ 632,494
33,372 MICROSEMI CORPORATION+ 1,142,991
36,575 PARK ELECTROCHEMICAL
CORPORATION 896,087
106,670 SEMX CORPORATION+ 1,120,035
127,100 STONERIDGE INCORPORATED+ 1,461,650
29,969 TECHNITROL INCORPORATED 1,745,694
18,294,285
------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT -
2.26%
269,369 GRIFFON CORPORATION+ 2,104,445
125,650 TOWER AUTOMOTIVE INCORPORATED+ 2,057,519
4,161,964
------------
FOOD & KINDRED PRODUCTS - 1.47%
178,121 FLOWERS INDUSTRIES
INCORPORATED 2,705,213
------------
GENERAL MERCHANDISE STORES - 1.21%
90,670 AMES DEPARTMENT STORES
INCORPORATED+ 2,227,082
------------
HEALTH SERVICES - 1.42%
208,300 BEVERLY ENTERPRISES
INCORPORATED+ 768,106
75,123 REHABCARE GROUP INCORPORATED+ 1,854,599
2,622,705
------------
HOLDING & OTHER INVESTMENT OFFICES - 1.41%
61,980 NSTAR 2,603,160
------------
</TABLE>
120
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 1.01%
54,400 LINENS 'N THINGS INCORPORATED+ $ 1,863,200
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 1.71%
296,808 BOYD GAMING CORPORATION+ 1,465,490
134,395 ISLE OF CAPRI CASINOS
INCORPORATED+ 1,679,937
3,145,427
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 3.04%
44,550 NORTEK INCORPORATED+ 985,669
127,440 TEREX CORPORATION+ 1,831,950
100,100 TRACTOR SUPPLY COMPANY+ 2,052,050
19,800 XIRCOM INCORPORATED+ 732,600
5,602,269
------------
INSURANCE CARRIERS - 6.41%
70,100 BERKLEY (W.R.) CORPORATION 1,616,681
69,000 FARM FAMILY HOLDINGS
INCORPORATED+ 2,052,750
118,978 HARLEYSVILLE GROUP
INCORPORATED 1,725,181
143,300 HCC INSURANCE HOLDINGS
INCORPORATED 1,898,726
133,945 MIIX GROUP INCORPORATED 1,866,858
82,020 MONY GROUP INCORPORATED 2,650,271
11,810,467
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 3.60%
71,275 CONMED CORPORATION+ 1,786,330
106,132 COOPER COMPANIES INCORPORATED 3,416,123
25,639 TEKTRONIX INCORPORATED 1,435,784
6,638,237
------------
MISCELLANEOUS RETAIL - 1.20%
340,000 OFFICEMAX INCORPORATED+ 2,210,000
------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING - 0.80%
93,426 COVENANT TRANSPORTATION
INCORPORATED+ 1,483,138
------------
OIL & GAS EXTRACTION - 5.05%
105,706 PRIDE INTERNATIONAL
INCORPORATED+ 2,411,418
34,700 SEACOR SMIT INCORPORATED+ 2,095,013
143,775 SWIFT ENERGY COMPANY+ 2,569,978
70,000 TIDEWATER INCORPORATED 2,226,875
9,303,284
------------
PAPER & ALLIED PRODUCTS - 1.11%
158,645 FIBERMARK INCORPORATED+ 2,052,470
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 0.91%
146,450 TESORO PETROLEUM CORPORATION+ 1,684,175
------------
PRIMARY METAL INDUSTRIES - 3.27%
133,700 AK STEEL HOLDING CORPORATION 1,387,137
</TABLE>
121
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
PRIMARY METAL INDUSTRIES (continued)
98,774 CHASE INDUSTRIES INCORPORATED+ $ 864,273
269,058 NATIONAL STEEL CORPORATION 1,984,302
57,500 TEXAS INDUSTRIES INCORPORATED 1,789,688
6,025,400
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 1.12%
238,340 MAIL-WELL INCORPORATED+ 2,070,579
------------
REAL ESTATE INVESTMENT TRUST - 10.31%
85,250 ARDEN REALTY INCORPORATED 1,779,594
111,597 BRANDYWINE REALTY TRUST 1,911,098
62,000 FIRST INDUSTRIAL REALTY TRUST
INCORPORATED 1,689,500
101,000 FRANCHISE FINANCE CORPORATION
OF AMERICA 2,348,250
142,450 GLENBOROUGH REALTY TRUST
INCORPORATED 2,065,525
114,510 HEALTHCARE REALTY TRUST
INCORPORATED 1,918,042
77,100 HIGHWOODS PROPERTIES
INCORPORATED 1,638,375
87,800 PRENTISS PROPERTIES TRUST 1,959,038
64,824 STORAGE USA INCORPORATED 1,985,235
221,310 WINSTON HOTELS INCORPORATED 1,715,153
19,009,810
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 0.63%
26,800 SOUTHWEST SECURITIES GROUP
INCORPORATED 1,164,125
------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 1.21%
37,900 SOUTHDOWN INCORPORATED 2,236,100
------------
TRANSPORTATION BY AIR - 0.90%
55,500 ALASKA AIR GROUP INCORPORATED+ 1,668,469
------------
TRANSPORTATION EQUIPMENT - 0.99%
60,361 NEWPORT NEWS SHIPBUILDING
INCORPORATED 1,825,920
------------
WHOLESALE TRADE -- DURABLE GOODS - 1.19%
47,740 BORG-WARNER AUTOMOTIVE
INCORPORATED 1,879,763
14,312 PERFORMANCE FOOD GROUP
COMPANY+ 313,074
2,192,837
------------
WHOLESALE TRADE -- NONDURABLE GOODS - 2.84%
122,034 HENRY SCHEIN INCORPORATED+ 1,975,425
27,260 SUIZA FOODS CORPORATION+ 1,097,215
114,738 SUPERVALU INCORPORATED 2,172,851
5,245,491
------------
179,332,223
TOTAL COMMON STOCK (COST $178,224,213)
------------
</TABLE>
122
<PAGE>
PORTFOLIO OF INVESTMENTS -- MARCH 31, 2000 (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY NAME INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 2.25%
REPURCHASE AGREEMENTS - 2.25%
$4,142,852 CREDIT SUISSE FIRST BOSTON
REPURCHASE AGREEMENT - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.22% 04/03/00 $ 4,142,852
4,142,852
TOTAL SHORT-TERM INSTRUMENTS (COST
$4,142,852)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $182,367,065)* 99.50% $183,475,075
OTHER ASSETS AND LIABILITIES, NET 0.50 915,141
------- ------------
TOTAL NET ASSETS 100.00% $184,390,216
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $18,099,398
GROSS UNREALIZED DEPRECIATION (16,991,388)
----------
NET UNREALIZED APPRECIATION $1,108,010
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
123
<PAGE>
CORE PORTFOLIOS STATEMENT OF ASSETS AND LIABILITIES -- MARCH 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISCIPLINED
GROWTH INCOME EQUITY INDEX
<S> <C> <C> <C>
--------------------------------------------------------------------
ASSETS
INVESTMENTS:
INVESTMENTS AT COST.... $168,899,613 $1,742,842,581 $1,111,965,204
NET UNREALIZED
APPRECIATION
(DEPRECIATION)....... 39,491,206 858,232,630 735,406,310
----------- ------------- -------------
TOTAL INVESTMENT AT
VALUE.................. 208,390,819 2,601,075,211 1,847,371,514
----------- ------------- -------------
CASH................... 0 0 0
COLLATERAL FOR
SECURITIES LOANED.... 77,390,310 261,231,109 290,054,464
RECEIVABLE FROM DAILY
VARIATION MARGIN..... 0 0 296,999
RECEIVABLE FOR
INVESTMENTS SOLD..... 0 0 0
RECEIVABLE FOR
DIVIDENDS AND
INTEREST AND OTHER
RECEIVABLES.......... 88,721 5,593,969 1,592,119
ORGANIZATION COST, NET
OF AMORTIZATION...... 0 6,450 0
PREPAID EXPENSES AND
OTHER ASSETS......... 0 2,350 0
----------- ------------- -------------
TOTAL ASSETS............. 285,869,850 2,867,909,089 2,139,315,096
----------- ------------- -------------
LIABILITIES
PAYABLE FOR INVESTMENT
PURCHASED............ 0 0 0
PAYABLE FOR SECURITY
LOANED............... 77,390,310 261,231,109 290,054,464
PAYABLE FOR FORWARD
FOREIGN CURRENCY
CONTRACTS............ 0 0 0
PAYABLE TO CUSTODIAN... 1,831,176 0 0
PAYABLE TO INVESTMENT
ADVISOR AND
AFFILIATES........... 123,147 1,522,516 195,886
PAYABLE TO
ADMINISTRATOR........ 833 5,275 1,936
ACCRUED EXPENSES AND
OTHER LIABILITIES.... 11,504 0 5,582
----------- ------------- -------------
TOTAL LIABILITIES........ 79,356,970 262,758,900 290,257,868
----------- ------------- -------------
TOTAL NET ASSETS......... $206,512,880 $2,605,150,189 $1,849,057,228
----------- ------------- -------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
124
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES -- MARCH 31, 2000 (UNAUDITED) CORE
PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL LARGE COMPANY SMALL CAP SMALL CAP SMALL COMPANY SMALL COMPANY
INTERNATIONAL EQUITY GROWTH INDEX VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
INVESTMENTS AT COST.... $625,098,218 $266,407,381 $1,510,965,708 $160,302,359 $161,635,968 $666,596,029 $182,367,065
NET UNREALIZED
APPRECIATION
(DEPRECIATION)....... 118,442,567 55,851,028 1,515,035,168 10,509,232 39,943,335 177,735,378 1,108,010
----------- ----------- ------------- ----------- ----------- ----------- -----------
TOTAL INVESTMENT AT
VALUE.................. 743,540,785 322,258,409 3,026,000,876 170,811,591 201,579,303 844,331,407 183,475,075
----------- ----------- ------------- ----------- ----------- ----------- -----------
CASH................... 113,269 0 0 0 0 0 0
COLLATERAL FOR
SECURITIES LOANED.... 111,101,934 44,000,273 447,139,232 30,680,267 39,598,449 100,301,785 22,054,368
RECEIVABLE FROM DAILY
VARIATION MARGIN..... 0 0 0 290,125 0 0 0
RECEIVABLE FOR
INVESTMENTS SOLD..... 15,262,396 0 0 1,071,847 0 13,443,468 1,804,586
RECEIVABLE FOR
DIVIDENDS AND
INTEREST AND OTHER
RECEIVABLES.......... 2,885,287 433,413 1,280,925 71,954 46,691 178,517 354,804
ORGANIZATION COST, NET
OF AMORTIZATION...... 0 0 6,374 0 0 0 0
PREPAID EXPENSES AND
OTHER ASSETS......... 2,605 0 45,216 0 0 8,128 2,723
----------- ----------- ------------- ----------- ----------- ----------- -----------
TOTAL ASSETS............. 872,906,276 366,692,095 3,474,472,623 202,925,784 241,224,443 958,263,305 207,691,556
----------- ----------- ------------- ----------- ----------- ----------- -----------
LIABILITIES
PAYABLE FOR INVESTMENT
PURCHASED............ 6,510,656 3,308,290 0 485,342 0 18,771,425 1,115,874
PAYABLE FOR SECURITY
LOANED............... 111,101,934 44,000,273 447,139,232 30,680,267 39,598,449 100,301,785 22,054,368
PAYABLE FOR FORWARD
FOREIGN CURRENCY
CONTRACTS............ 5,390,552 0 0 0 0 0 0
PAYABLE TO CUSTODIAN... 0 0 0 0 0 0 0
PAYABLE TO INVESTMENT
ADVISOR AND
AFFILIATES........... 772,930 326,207 2,027,910 42,876 100,655 707,130 114,386
PAYABLE TO
ADMINISTRATOR........ 0 28,622 11,546 8,453 7,003 0 0
ACCRUED EXPENSES AND
OTHER LIABILITIES.... 474,951 103,625 0 353 20,174 0 16,712
----------- ----------- ------------- ----------- ----------- ----------- -----------
TOTAL LIABILITIES........ 124,251,023 47,767,017 449,178,688 31,217,291 39,726,281 119,780,340 23,301,340
----------- ----------- ------------- ----------- ----------- ----------- -----------
TOTAL NET ASSETS......... $748,655,253 $318,925,078 $3,025,293,935 $171,708,493 $201,498,162 $838,482,965 $184,390,216
----------- ----------- ------------- ----------- ----------- ----------- -----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
125
<PAGE>
CORE PORTFOLIOS STATEMENT OF OPERATIONS -- FOR THE SIX MONTHS ENDED MARCH 31,
2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISCIPLINED
GROWTH INCOME EQUITY INDEX
<S> <C> <C> <C>
-------------------------------------------------------------------
INVESTMENT INCOME
DIVIDENDS.............. $ 1,006,154 $ 25,697,596 $ 9,817,821
INTEREST............... 104,009 1,347,133 1,342,461
SECURITIES LENDING..... 46,264 157,595 242,409
----------- ------------- ------------
TOTAL INVESTMENT
INCOME................. 1,156,427 27,202,324 11,402,691
----------- ------------- ------------
EXPENSES
ADVISORY FEES.......... 803,053 9,214,035 1,317,368
ADMINISTRATION FEES.... 10,471 129,287 84,206
CUSTODY................ 20,032 238,646 160,366
ACCOUNTING............. 37,105 75,164 70,750
LEGAL.................. 2,546 4,646 2,200
AUDIT.................. 7,075 7,075 7,075
DIRECTORS' FEES........ 2,276 2,363 2,328
AMORTIZATION OF
ORGANIZATION COSTS... 3,805 1,439 725
OTHER.................. 0 10,552 8,202
----------- ------------- ------------
TOTAL EXPENSES........... 886,363 9,683,207 1,653,220
----------- ------------- ------------
LESS:
WAIVED FEES AND
REIMBURSED
EXPENSES............. (94,383) (1,115,782) (443,722)
NET EXPENSES........... 791,980 8,567,425 1,209,498
----------- ------------- ------------
NET INVESTMENT INCOME
(LOSS)................. 364,447 18,634,899 10,193,193
----------- ------------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
-------------------------------------------------------------------
NET REALIZED GAIN (LOSS)
FROM
SECURITIES............. 22,099,999 61,239,183 53,571,128
FOREIGN CURRENCY
TRANSACTIONS......... 0 0 0
FINANCIAL FUTURES
TRANSACTIONS......... 0 0 474,953
----------- ------------- ------------
NET REALIZED GAIN (LOSS)
FROM INVESTMENTS....... 22,099,999 61,239,183 54,046,081
----------- ------------- ------------
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
SECURITIES............. 8,350,360 (77,785,422) 210,214,105
FOREIGN CURRENCY
TRANSACTIONS......... 0 0 0
FINANCIAL FUTURES
TRANSACTIONS......... 0 0 2,486,801
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ 8,350,360 (77,785,422) 212,700,906
----------- ------------- ------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS......... 30,450,359 (16,546,239) 266,746,987
----------- ------------- ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $30,814,806 $ 2,088,660 $276,940,180
----------- ------------- ------------
</TABLE>
(1) NET OF FOREIGN WITHHOLDING TAXES OF $874,888 FOR THE INTERNATIONAL
PORTFOLIO AND $147,020 FOR THE INTERNATIONAL EQUITY PORTFOLIO
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
126
<PAGE>
STATEMENT OF OPERATIONS -- FOR THE SIX MONTHS ENDED MARCH 31, 2000
(UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL LARGE COMPANY SMALL CAP SMALL CAP SMALL COMPANY SMALL COMPANY
INTERNATIONAL EQUITY GROWTH INDEX VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
DIVIDENDS.............. $ 2,625,490(1) $ 590,776(1) $ 4,391,344 $ 541,245 $ 298,909 $ 1,467,299 $ 1,560,590
INTEREST............... 460,039 322,200 1,644,909 347,589 298,415 991,689 203,066
SECURITIES LENDING..... 61,784 21,523 203,727 36,368 79,258 72,833 12,722
------------ ------------ ------------- ------------ ------------ ------------- -------------
TOTAL INVESTMENT
INCOME................. 3,147,313 934,499 6,239,980 925,202 676,582 2,531,821 1,776,378
------------ ------------ ------------- ------------ ------------ ------------- -------------
EXPENSES
ADVISORY FEES.......... 3,405,333 1,340,192 9,233,760 210,454 843,887 3,442,201 747,959
ADMINISTRATION FEES.... 125,938 7,871 109,678 7,979 8,920 34,493 7,942
CUSTODY................ 811,971 295,304 231,705 16,558 18,182 71,152 16,347
ACCOUNTING............. 49,166 70,927 84,669 52,284 48,326 51,098 34,642
LEGAL.................. 124,007 103,519 18 65 3,771 31 2,847
AUDIT.................. 7,075 7,075 7,075 4,736 7,075 7,075 7,075
DIRECTORS' FEES........ 2,298 2,274 2,344 1,523 2,272 2,294 2,274
AMORTIZATION OF
ORGANIZATION COSTS... 725 0 1,424 0 0 324 324
OTHER.................. 347,030 8 577 0 8,342 692 7,091
------------ ------------ ------------- ------------ ------------ ------------- -------------
TOTAL EXPENSES........... 4,873,543 1,827,170 9,671,250 293,599 940,775 3,609,360 826,501
------------ ------------ ------------- ------------ ------------ ------------- -------------
LESS:
WAIVED FEES AND
REIMBURSED
EXPENSES............. (327,289) (116,576) (87,136) (10,483) (274,376) (37,549) (143,082)
NET EXPENSES........... 4,546,254 1,710,594 9,584,114 283,116 666,399 3,571,811 683,419
------------ ------------ ------------- ------------ ------------ ------------- -------------
NET INVESTMENT INCOME
(LOSS)................. (1,398,941) (776,095) (3,344,134) 642,086 10,183 (1,039,990) 1,092,959
------------ ------------ ------------- ------------ ------------ ------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)
FROM
SECURITIES............. 167,858,099 44,104,245 50,610,539 1,539,508 13,011,483 137,407,362 (475,018)
FOREIGN CURRENCY
TRANSACTIONS......... (1,628,782) (37,296) 0 0 0 0 0
FINANCIAL FUTURES
TRANSACTIONS......... 0 0 0 4,011,065 0 0 0
------------ ------------ ------------- ------------ ------------ ------------- -------------
NET REALIZED GAIN (LOSS)
FROM INVESTMENTS....... 166,229,317 44,066,949 50,610,539 5,550,573 13,011,483 137,407,362 (475,018)
------------ ------------ ------------- ------------ ------------ ------------- -------------
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
SECURITIES............. 21,070,867 37,340,189 771,628,395 24,639,161 19,800,420 116,564,035 4,515,664
FOREIGN CURRENCY
TRANSACTIONS......... (2,342,687) (8,379) 0 0 0 0 0
FINANCIAL FUTURES
TRANSACTIONS......... 0 0 0 (863,377) 0 0 0
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ 18,728,180 37,331,810 771,628,395 23,775,784 19,800,420 116,564,035 4,515,664
------------ ------------ ------------- ------------ ------------ ------------- -------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS......... 184,957,497 81,398,759 822,238,934 29,326,357 32,811,903 253,971,397 4,040,646
------------ ------------ ------------- ------------ ------------ ------------- -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $183,558,556 $ 80,622,664 $ 818,894,800 $ 29,968,443 $ 32,822,086 $ 252,931,407 $ 5,133,605
------------ ------------ ------------- ------------ ------------ ------------- -------------
</TABLE>
(1) NET OF FOREIGN WITHHOLDING TAXES OF $874,888 FOR THE INTERNATIONAL
PORTFOLIO AND $147,020 FOR THE INTERNATIONAL EQUITY PORTFOLIO
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
127
<PAGE>
CORE PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISCIPLINED GROWTH
---------------------------------------------------
(UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE
MONTHS ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C> <C>
------------------------------------------------------------------------------
BEGINNING NET ASSETS..... $201,399,232 $188,984,663 $130,765,219
------------ ------------ ------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 364,447 (26,104) 245,235
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 22,099,999 4,099,644 (3,141,344)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 8,350,360 (4,448,279) 24,845,328
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 30,814,806 (374,739) 21,949,219
------------ ------------ ------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 18,589,136 24,852,681 56,556,716
WITHDRAWALS............ (44,290,294) (12,063,373) (20,286,491)
------------ ------------ ------------
NET INCREASE (DECREASE)
FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS............ (25,701,158) 12,789,308 36,270,225
------------ ------------ ------------
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 5,113,648 12,414,569 58,219,444
------------ ------------ ------------
ENDING NET ASSETS........ $206,512,880 $201,399,232 $188,984,663
------------ ------------ ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
128
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS CORE PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INCOME EQUITY INDEX
---------------------------------------------------- ------------------------------------
(UNAUDITED) (UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE FOR THE SIX FOR THE FOUR
MONTHS ENDED MONTHS ENDED YEAR ENDED MONTHS ENDED MONTHS ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999 MARCH 31, 2000 SEPTEMBER 30, 1999
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------
BEGINNING NET ASSETS..... $2,454,562,674 $2,418,577,773 $1,955,802,133 $1,583,558,662 $1,830,641,407
-------------- -------------- -------------- -------------- --------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 18,634,899 12,171,160 32,382,110 10,193,193 7,070,132
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 61,239,183 55,447,612 10,703,154 54,046,081 17,917,926
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (77,785,422) (176,477,105) 273,274,958 212,700,906 (247,065,769)
-------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 2,088,660 (108,858,333) 316,360,222 276,940,180 (222,077,711)
-------------- -------------- -------------- -------------- --------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 364,181,185 170,936,080 299,593,165 136,836,782 168,104,830
WITHDRAWALS............ (215,682,330) (26,092,846) (153,177,747) (148,278,396) (193,109,864)
-------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE)
FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS............ 148,498,855 144,843,234 146,415,418 (11,441,614) (25,005,034)
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 150,587,515 35,984,901 462,775,640 265,498,566 (247,082,745)
-------------- -------------- -------------- -------------- --------------
ENDING NET ASSETS........ $2,605,150,189 $2,454,562,674 $2,418,577,773 $1,849,057,228 $1,583,558,662
-------------- -------------- -------------- -------------- --------------
<CAPTION>
INDEX
--------------
FOR THE
YEAR ENDED
MAY 31, 1999
<S> <C>
-------------------------
BEGINNING NET ASSETS..... $1,385,279,923
--------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 21,141,735
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 26,353,322
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 247,309,848
--------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 294,804,905
--------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 338,399,367
WITHDRAWALS............ (187,842,788)
--------------
NET INCREASE (DECREASE)
FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS............ 150,556,579
--------------
--------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 445,361,484
--------------
ENDING NET ASSETS........ $1,830,641,407
--------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
129
<PAGE>
CORE PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
---------------------------------------------------
(UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE
MONTHS ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C> <C>
------------------------------------------------------------------------------
BEGINNING NET ASSETS..... $803,919,481 $797,205,650 $951,185,586
------------ ------------ ------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... (1,398,941) 4,888,405 11,315,753
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 166,229,317 33,382,557 84,073,464
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 18,728,180 (3,837,151) (106,511,759)
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 183,558,556 34,433,811 (11,122,542)
------------ ------------ ------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 102,248,906 96,548,384 138,115,465
WITHDRAWALS............ (341,071,690) (124,268,364) (280,972,859)
------------ ------------ ------------
NET INCREASE (DECREASE)
FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS............ (238,822,784) (27,719,980) (142,857,394)
------------ ------------ ------------
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... (55,264,228) 6,713,831 (153,979,936)
------------ ------------ ------------
ENDING NET ASSETS........ $748,655,253 $803,919,481 $797,205,650
------------ ------------ ------------
</TABLE>
(1) THIS PORTFOLIO COMMENCED OPERATIONS ON FEBRUARY 12, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
130
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS CORE PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
-------------------------------------------------------
(UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE
MONTHS ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999 (1)
<S> <C> <C> <C>
----------------------------------------------------------------------------------
BEGINNING NET ASSETS..... $150,544,960 $154,552,130 $ 0
------------ ------------ ------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... (776,095) 109,415 857,495
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 44,066,949 2,627,525 (119,809)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 37,331,810 13,315,722 5,196,073
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 80,622,664 16,052,662 5,933,759
------------ ------------ ------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 180,004,062 19,384,770 154,175,553
WITHDRAWALS............ (92,246,608) (39,444,602) (5,557,182)
------------ ------------ ------------
NET INCREASE (DECREASE)
FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS............ 87,757,454 (20,059,832) 148,618,371
------------ ------------ ------------
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 168,380,118 (4,007,170) 154,552,130
------------ ------------ ------------
ENDING NET ASSETS........ $318,925,078 $150,544,960 $154,552,130
------------ ------------ ------------
<CAPTION>
LARGE COMPANY GROWTH
----------------------------------------------------
(UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE
MONTHS ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C> <C>
-------------------------
BEGINNING NET ASSETS..... $2,038,377,260 $1,847,453,831 $1,081,998,121
-------------- -------------- --------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... (3,344,134) (504,243) (2,686,598)
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 50,610,539 37,071,984 181,443,136
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 771,628,395 (53,035,427) 267,110,572
-------------- -------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 818,894,800 (16,467,686) 445,867,110
-------------- -------------- --------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 433,563,355 431,740,313 761,913,767
WITHDRAWALS............ (265,541,480) (224,349,198) (442,325,167)
-------------- -------------- --------------
NET INCREASE (DECREASE)
FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS............ 168,021,875 207,391,115 319,588,600
-------------- -------------- --------------
-------------- -------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 986,916,675 190,923,429 765,455,710
-------------- -------------- --------------
ENDING NET ASSETS........ $3,025,293,935 $2,038,377,260 $1,847,453,831
-------------- -------------- --------------
</TABLE>
(1) THIS PORTFOLIO COMMENCED OPERATIONS ON FEBRUARY 12, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
131
<PAGE>
CORE PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP INDEX
---------------------------------------------------
(UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE
MONTHS ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C> <C>
------------------------------------------------------------------------------
BEGINNING NET ASSETS..... $154,386,892 $136,746,124 $122,492,445
------------ ------------ ------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 642,086 245,646 926,729
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 5,550,573 (1,007,763) 2,468,434
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 23,775,784 1,965,868 (9,600,626)
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 29,968,443 1,203,751 (6,205,463)
------------ ------------ ------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 19,690,769 45,525,219 38,398,557
WITHDRAWALS............ (32,337,611) (29,088,202) (17,939,415)
------------ ------------ ------------
NET INCREASE (DECREASE)
FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS............ (12,646,842) 16,437,017 20,459,142
------------ ------------ ------------
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 17,321,601 17,640,768 14,253,679
------------ ------------ ------------
ENDING NET ASSETS........ $171,708,493 $154,386,892 $136,746,124
------------ ------------ ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
132
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS CORE PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP VALUE SMALL COMPANY GROWTH
-------------------------------------------------- ------------------------------------------------
(UNAUDITED) (UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE FOR THE SIX FOR THE FOUR FOR THE
MONTHS ENDED MONTHS ENDED YEAR ENDED MONTHS ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999 MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------------------------
BEGINNING NET ASSETS..... $173,026,520 $125,768,110 $104,269,849 $667,576,772 $733,708,206 $894,063,120
------------ ------------ ------------ ------------ ------------ ------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 10,183 (146,613) (213,047) (1,039,990) (514,635) (1,822,670)
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 13,011,483 4,186,619 (30,465,857) 137,407,362 57,486,291 (77,753,826)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 19,800,420 5,216,949 9,548,982 116,564,035 (65,332,424) (15,097,262)
------------ ------------ ------------ ------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 32,822,086 9,256,955 (21,129,922) 252,931,407 (8,360,768) (94,673,758)
------------ ------------ ------------ ------------ ------------ ------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 27,728,337 68,898,740 56,411,434 53,003,570 31,454,531 87,802,760
WITHDRAWALS............ (32,078,781) (30,897,285) (13,783,251) (135,028,784) (89,225,197) (153,483,916)
------------ ------------ ------------ ------------ ------------ ------------
NET INCREASE (DECREASE)
FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS............ (4,350,444) 38,001,455 42,628,183 (82,025,214) (57,770,666) (65,681,156)
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 28,471,642 47,258,410 21,498,261 170,906,193 (66,131,434) (160,354,914)
------------ ------------ ------------ ------------ ------------ ------------
ENDING NET ASSETS........ $201,498,162 $173,026,520 $125,768,110 $838,482,965 $667,576,772 $733,708,206
------------ ------------ ------------ ------------ ------------ ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
133
<PAGE>
CORE PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL COMPANY VALUE
------------------------------------------------
(UNAUDITED)
FOR THE SIX FOR THE FOUR FOR THE
MONTHS ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C> <C>
---------------------------------------------------------------------------
BEGINNING NET ASSETS..... $152,160,571 $168,647,698 $147,525,445
------------ ------------ ------------
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 1,092,959 435,751 1,096,962
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... (475,018) 2,279,774 (4,559,162)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 4,515,664 (8,987,103) (9,541,409)
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 5,133,605 (6,271,578) (13,003,609)
------------ ------------ ------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 41,839,585 25,136,140 58,867,576
WITHDRAWALS............ (14,743,545) (35,351,689) (24,741,714)
------------ ------------ ------------
NET INCREASE (DECREASE)
FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS............ 27,096,040 (10,215,549) 34,125,864
------------ ------------ ------------
------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 32,229,645 (16,487,127) 21,122,253
------------ ------------ ------------
ENDING NET ASSETS........ $184,390,216 $152,160,571 $168,647,698
------------ ------------ ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
134
<PAGE>
FINANCIAL HIGHLIGHTS (UNAUDITED) CORE PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS (ANNUALIZED)
---------------------------------------- PORTFOLIO
NET INVESTMENT NET GROSS TURNOVER
INCOME (LOSS) EXPENSES EXPENSES(1) RATE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO
OCTOBER 1, 1999 TO MARCH 31,
2000........................ 0.36% 0.78% 0.87% 60%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... (0.04)% 0.97% 1.02% 21%
JUNE 1, 1998 TO MAY 31,
1999........................ 0.15% 0.97% 1.02% 90%
OCTOBER 1, 1997 (3) TO
MAY 31, 1998................ 0.55% 1.01% 1.06% 68%
INCOME EQUITY PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO MARCH 31,
2000........................ 1.43% 0.66% 0.75% 5%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... 1.43% 0.54% 0.57% 5%
JUNE 1, 1998 TO MAY 31,
1999........................ 1.53% 0.55% 0.57% 3%
JUNE 1, 1997 (3) TO MAY 31,
1998........................ 1.76% 0.52% 0.57% 3%
INDEX PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO MARCH 31,
2000........................ 1.17% 0.14% 0.19% 5%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... 1.25% 0.18% 0.23% 11%
JUNE 1, 1998 TO MAY 31,
1999........................ 1.35% 0.18% 0.23% 4%
JUNE 1, 1997 TO MAY 31,
1998........................ 1.60% 0.19% 0.24% 7%
JUNE 1, 1996 TO MAY 31,
1997........................ 2.03% 0.11% 0.31% 7%
NOVEMBER 1, 1995 TO MAY 31,
1996........................ 2.35% 0.17% 0.32% 7%
NOVEMBER 11, 1994 (3) TO
OCTOBER 31, 1995............ 2.42% 0.17% 0.33% 8%
INTERNATIONAL
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO MARCH 31,
2000........................ (0.36)% 1.18% 1.26% 59%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... 1.79% 0.61% 0.68% 23%
JUNE 1, 1998 TO MAY 31,
1999........................ 1.29% 0.61% 0.69% 94%
JUNE 1, 1997 TO MAY 31,
1998........................ 1.23% 0.66% 0.68% 37%
JUNE 1, 1996 TO MAY 31,
1997........................ 1.53% 0.19% 0.67% 53%
NOVEMBER 1, 1995 TO MAY 31,
1996........................ 1.75% 0.23% 0.68% 18%
NOVEMBER 11, 1994 (3) TO
OCTOBER 31, 1995............ 1.94% 0.25% 0.70% 28%
INTERNATIONAL EQUITY PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO MARCH 31,
2000........................ (0.60)% 1.32% 1.41% 53%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... 0.21% 1.40% 1.40% 11%
FEBRUARY 12, 1999 (3) TO
MAY 31, 1999................ 1.92% 1.40% 1.45% 12%
LARGE COMPANY GROWTH PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO MARCH 31,
2000........................ (0.27)% 0.77% 0.78% 5%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... (0.07)% 0.69% 0.72% 5%
JUNE 1, 1998 TO MAY 31,
1999........................ (0.19)% 0.71% 0.72% 28%
JUNE 1, 1997 (3) TO MAY 31,
1998........................ (0.03)% 0.67% 0.73% 13%
SMALL CAP INDEX PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO MARCH 31,
2000........................ 0.77% 0.34% 0.35% 15%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... 0.53% 0.44% 0.50% 23%
JUNE 1, 1998 TO MAY 31,
1999........................ 0.76% 0.44% 0.48% 26%
APRIL 9, 1998 (3) TO MAY 31,
1998........................ 1.04% 0.52% 0.54% 2%
SMALL CAP VALUE PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO MARCH 31,
2000........................ 0.01% 0.73% 1.03% 63%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... (0.32)% 1.06% 1.10% 49%
JUNE 1, 1998 TO MAY 31,
1999........................ (0.20)% 1.05% 1.10% 108%
OCTOBER 1, 1997 (3) TO
MAY 31, 1998................ (0.17)% 1.08% 1.13% 79%
SMALL COMPANY GROWTH PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO MARCH 31,
2000........................ (0.28)% 0.95% 0.96% 27%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... (0.22)% 0.94% 0.98% 55%
JUNE 1, 1998 TO MAY 31,
1999........................ (0.25)% 0.98% 0.98% 154%
JUNE 1, 1997 (3) TO MAY 31,
1998........................ (0.41)% 0.93% 0.98% 123%
SMALL COMPANY VALUE PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO MARCH 31,
2000........................ 1.33% 0.83% 1.01% 56%
JUNE 1, 1999 TO SEPTEMBER 30,
1999 (2).................... 0.83% 1.00% 1.04% 28%
JUNE 1, 1998 TO MAY 31,
1999........................ 0.76% 0.99% 1.04% 97%
JUNE 1, 1997 (3) TO MAY 31,
1998........................ 0.69% 0.99% 1.04% 99%
</TABLE>
135
<PAGE>
CORE PORTFOLIOS FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
NOTES TO FINANCIAL HIGHLIGHTS (UNAUDITED)
--------------------------------------------------------------------------------
(1) During each period, various fees and expenses were waived and reimbursed.
The ratio of Gross Expenses to Average Net Assets reflects the expense
ratio in the absence of any waivers and reimbursements (Note 5).
(2) The Portfolio changed its fiscal year-end from May 31 to September 30.
(3) Commencement of operations.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
136
<PAGE>
NOTES TO FINANCIAL STATEMENTS CORE PORTFOLIOS
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION
Wells Fargo Core Trust ("Core Trust") is registered as an open-end management
investment company under the Investment Company Act of 1940, as amended (the
"1940 Act"). Core Trust, created as the successor entity to the Norwest Core
Trust, currently has 14 separate investment portfolios. These financial
statements represent the Disciplined Growth, Income Equity, Index,
International, International Equity, Large Company Growth, Small Cap Index,
Small Cap Value, Small Company Growth, and Small Company Value diversified
portfolios (each a "Portfolio" and collectively the "Portfolios").
Interests in the Portfolios are sold without any sales charge in private
placement transactions to qualified investors, including open-end management
investment companies.
Concurrent with the establishment of the Trust, the Board of Trustees of the
Stagecoach Family of Funds and the Board of Trustees of the Norwest Advantage
Funds approved a consolidation agreement providing for the acquisition of the
assets and assumption of liabilities of certain Stagecoach and Norwest
Advantage Funds into the Wells Fargo Funds Trust. Effective on the close of
business November 5, 1999, the Stagecoach and/or Norwest Advantage Funds were
consolidated into the Wells Fargo Funds Trust, some of which invest in one or
more portfolios of Core Trust, through a tax-free exchange of shares.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies which are consistently followed
by the Core Trust in the preparation of its financial statements are in
conformity with generally accepted accounting principles ("GAAP") for
investment companies.
The preparation of financial statements in conformity with GAAP requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities, disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from those
estimates.
SECURITY VALUATION
Investments in securities are valued at the close of each business day.
Securities which are traded on a national or foreign securities exchange or
the National Association of Securities Dealers Automated Quotation ("NASDAQ")
National Market are valued at the last reported sales price. In the absence of
any sale of such securities, and in the case of other securities, including
U.S. Government obligations, but excluding debt securities maturing in 60 days
or less, the valuations are based on the latest quoted bid prices. Securities
denominated in foreign currencies are translated into U.S. dollars using the
closing rates of exchange in effect on the day of valuation. Securities for
which quotations are not readily available are valued at fair value as
determined by policies set by the Board of Trustees.
Debt securities maturing in 60 days or less are valued at amortized cost. The
amortized cost method involves valuing a security at its cost, plus accretion
of discount or minus amortization of premium over the period until maturity,
which approximates market value.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Securities transactions are recorded on a trade date basis. Realized gains or
losses are reported on the basis of identified cost of securities delivered.
Interest income is accrued daily and bond discounts are accreted and premiums
are amortized under provisions of the Internal Revenue Code of 1986, as
amended (the "Code").
Dividend income is recognized on the ex-dividend date, except for certain
dividends from foreign securities, which are recorded as soon as the Portfolio
is informed of the ex-dividend date. Dividend income from foreign securities
is recorded net of foreign taxes withheld where recovery of such taxes is not
assured.
Foreign currency amounts are translated into U.S. dollars at the mean of the
bid and ask price of such currencies against U.S. dollars as follows: (i)
assets and liabilities at the rate of exchange at the end of the respective
period; and (ii) purchases and sales of securities and income and expenses at
the rate of exchange prevailing on the dates of such transactions. The portion
of the results of operations arising from changes in the exchange rates and
the portion due to fluctuations arising from changes in the market prices of
securities are not isolated. Such fluctuations are included with the net
realized and unrealized gain or loss on investments.
International Portfolio may enter into forward contracts to purchase or sell
foreign currencies to protect against the effect on the U.S. dollar value of
the underlying portfolio or possible adverse movements in foreign exchange
rates. Risks associated with such contracts include the movement in value of
the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. Fluctuations in the value
137
<PAGE>
CORE PORTFOLIOS NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
of such contracts are recorded as unrealized gain or loss; realized gain or
loss includes net gain or loss on contracts that have terminated by settlement
or by the Portfolio entering into offsetting commitments. The following
contracts were held by the International Portfolio for the period ended
March 31, 2000:
<TABLE>
<CAPTION>
Net Unrealized
Appreciation/
Date Currency Value Proceeds (Depreciation)
<S> <C> <C> <C> <C>
5/18/00 JAPANESE YEN Y4,082,122,000.00 $37,869,049.00 $(2,221,470.00)
5/26/00 JAPANESE YEN Y4,195,728,000.00 38,721,880.00 (2,538,908.00)
6/7/00 JAPANESE YEN Y1,695,236,000.00 16,074,682.00 (630,173.00)
</TABLE>
FUTURES CONTRACTS
Each Portfolio may purchase futures contracts to gain exposure to market
changes, which may be more efficient or cost effective than actually buying
the securities. A futures contract is an agreement between parties to buy or
sell a security at a set price on a future date. Upon entering into such a
contract, a Portfolio is required to pledge to the broker an amount of cash,
U.S. Government obligations or other high-quality debt securities equal to the
minimum "initial margin" requirements of the exchange on which the futures
contract is traded. Pursuant to the contract, the Portfolio agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
the value of the contract. Such receipts or payments are known as "variation
margin" and are recorded by the Portfolio as unrealized gains or losses. When
the contract is closed, the Portfolio records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed. Pursuant to regulations and/ or published
positions of the Securities and Exchange Commission (the "SEC") for long
futures positions, the Portfolio is required to segregate highly liquid
securities as permitted by the SEC in connection with futures transactions in
an amount generally equal to the entire value of the underlying contracts.
Risks of entering into futures contracts include the possibility that there
may be an illiquid market and that a change in the value of the contract may
not correlate with changes in the value of the underlying securities. On
March 31, 2000, the Index and Small Cap Index Portfolios held the following
long futures contracts:
<TABLE>
<CAPTION>
Net Unrealized
Notional Appreciation/
Contracts Portfolio Type Expiration Date Contract Value (Depreciation)
<C> <S> <C> <C> <C> <C>
108 INDEX PORTFOLIO S&P 500 INDEX JUNE, 2000 $40,913,100 1,040,125
55 SMALL CAP INDEX PORTFOLIO RUSSELL 2000 JUNE, 2000 14,997,125 (1,098,575)
</TABLE>
The Index Portfolio and the Small Cap Index Portfolio have pledged to brokers
U.S. Treasury bills for initial margin requirements with a par value of
$4,875,000 and $920,000, respectively.
REPURCHASE AGREEMENTS
Each Portfolio may invest in repurchase agreements and may participate in
pooled repurchase agreement transactions with other Portfolios advised by
Wells Fargo Bank, N.A. ("WFB"). The repurchase agreements must be fully
collateralized based on values that are marked to market daily. The collateral
may be held by an agent bank under a tri-party agreement. It is the
Portfolios' custodian's responsibility to value collateral daily and to take
action to obtain additional collateral as necessary to maintain market value
equal to or greater than the resale price. The repurchase agreements held by
the Portfolios are collateralized by instruments such as U.S. Treasury or
federal agency obligations.
SECURITY LOANS
The Portfolios may loan securities in return for securities and cash
collateral which is invested in various short-term fixed income securities.
The Portfolios may receive compensation for lending securities in the form of
fees or by retaining a portion of interest on the investment securities or
cash received as collateral. A Portfolio also continues to receive interest or
dividends on the securities loaned. Security loans are secured at all times by
collateral. The collateral is equal to at least 102% of the market value of
the securities loaned plus accrued interest. If the collateral falls to 100%,
it will be brought back to 102%. Gain or loss in the market price of the
securities loaned that may occur during the term of the loan are reflected in
the value of the Portfolio. WFB receives 40% of income on security lending
activities and covers
138
<PAGE>
NOTES TO FINANCIAL STATEMENTS CORE PORTFOLIOS
--------------------------------------------------------------------------------
the expenses associated with securities lending activities. As of March 31,
2000 the value of securities on loan and the value of the related collateral
was as follows:
<TABLE>
<CAPTION>
Portfolio Securities Collateral
<S> <C> <C>
DISCIPLINED GROWTH PORTFOLIO $76,185,065 $ 77,390,310
INCOME EQUITY PORTFOLIO 254,460,975 261,231,109
INDEX PORTFOLIO 281,580,852 290,054,464
INTERNATIONAL PORTFOLIO 110,094,880 111,101,934
INTERNATIONAL EQUITY PORTFOLIO 42,413,414 44,000,273
LARGE COMPANY GROWTH PORTFOLIO 441,706,870 447,139,232
SMALL CAP INDEX PORTFOLIO 29,406,849 30,680,267
SMALL CAP VALUE PORTFOLIO 38,990,619 39,598,449
SMALL COMPANY GROWTH PORTFOLIO 97,749,521 100,301,785
SMALL COMPANY VALUE PORTFOLIO 21,402,415 22,054,368
</TABLE>
FEDERAL INCOME TAXES
Each Portfolio is treated as a separate entity for federal income tax
purposes. The Portfolios are not required to pay federal income taxes on their
net investment income and net capital gain as they are treated as partnerships
for federal income tax purposes. All interest, dividends, gain and loss of the
Portfolios are deemed to have been "passed through" to the interestholders in
proportion to their holdings of the Portfolios regardless of whether such
interest, dividends, or gain have been distributed by the Portfolios.
DEFERRED ORGANIZATION COSTS
Certain costs incurred in connection with the organization of the Portfolios
are being amortized on a straight-line basis over 60 months from the date each
Portfolio commenced operations.
3. ADVISORY FEES
The Investment Advisor of each Portfolio is WFB. WFB has retained the
services of certain investment sub-advisors (Galliard Capital Management,
Inc., Peregrine Capital Management, Inc., Schroder Capital Management
International, Inc., Smith Asset Management Group, L.P., and Wells Capital
Management, Inc.) on selected Portfolios. The fees related to sub-advisory
services are borne directly by the Advisor and do not increase the overall
fees paid by the Portfolios to the Advisor. These sub-advisors provided the
same services to the predecessor portfolios. Prior to November 8, 1999, the
Disciplined Growth, Small Company Growth, and Small Company Value Portfolios
were charged an Advisory fee of 0.90%, the Index Portfolio was charged 0.15%,
the Income Equity Portfolio was charged 0.50%, the International Portfolio was
charged 0.45%, the International Equity Portfolio was charged 1.20%, the Large
Company Growth Portfolio was charged 0.65%, the Small Cap Index Portfolio was
charged 0.25%, and the Small Cap Value Portfolio was charged 0.95% as a
percentage of the average daily net assets of each respective Portfolio.
139
<PAGE>
CORE PORTFOLIOS NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
The current investment advisory fees and the associated sub-advisor and
sub-advisory fees are as follows, with the fees expressed as a percentage of
the average daily net assets.
<TABLE>
<CAPTION>
Portfolio Advisory Fee Subadvisor Sub-Advisory Fee
<S> <C> <C> <C>
DISCIPLINED GROWTH PORTFOLIO 0.75% SMITH ASSET MANAGEMENT $ 0-175 MILLION, 0.35%
175-225 MILLION, 0.00%
225-500 MILLION, 0.25%
GREATER THAN 500 MILLION, 0.20%
INCOME EQUITY PORTFOLIO 0.75% WELLS CAPITAL MANAGEMENT 0-200 MILLION, 0.25%
200-400 MILLION, 0.20%
GREATER THAN 400 MILLION, 0.15%
INDEX PORTFOLIO 0.15% WELLS CAPITAL MANAGEMENT 0-200 MILLION, 0.02%
GREATER THAN 200 MILLION, 0.01%
INTERNATIONAL PORTFOLIO 1.00% SCHRODER CAPITAL MANAGEMENT 0-100 MILLION, 0.45%
100-200 MILLION, 0.35%
200-600 MILLION, 0.20%
GREATER THAN 600 MILLION, 0.185%
INTERNATIONAL EQUITY PORTFOLIO 1.00% WELLS CAPITAL MANAGEMENT 0-200 MILLION, 0.35%
200-400 MILLION, 0.25%
GREATER THAN 400 MILLION, 0.15%
LARGE COMPANY GROWTH PORTFOLIO 0.75% PEREGRINE CAPITAL MANAGEMENT 0-25 MILLION, 0.75%
25-50 MILLION, 0.60%
50-275 MILLION, 0.50%
GREATER THAN 275 MILLION, 0.30%
SMALL CAP INDEX PORTFOLIO 0.25% WELLS CAPITAL MANAGEMENT 0-200 MILLION, 0.02%
GREATER THAN 200 MILLION,0.01%
SMALL CAP VALUE PORTFOLIO 0.90% SMITH ASSET MANAGEMENT 0-110 MILLION, 0.45%
110-150 MILLION, 0.00%
150-300 MILLION, 0.30%
GREATER THAN 300 MILLION, 0.25%
SMALL COMPANY GROWTH PORTFOLIO 0.90% PEREGRINE CAPITAL MANAGEMENT 0-50 MILLION, 0.90%
50-180 MILLION, 0.75%
180-340 MILLION, 0.65%
340-685 MILLION, 0.50%
685-735 MILLION, 0.52%
GREATER THAN 735 MILLION 0.55%
SMALL COMPANY VALUE PORTFOLIO 0.90% PEREGRINE CAPITAL MANAGEMENT 0-200 MILLION, 0.50%
GREATER THAN 200 MILLION, 0.75%
</TABLE>
4. OTHER FEES AND TRANSACTIONS WITH AFFILIATES
Currently there are no administration fees charged to the Portfolios at the
core level. Prior to November 8, 1999, Forum Administrative Services, LLC
("FAdS") was the administrator to the Core Trust and received a fee with
respect to each Portfolio (other than International Portfolio) at an annual
rate of 0.05% of each Portfolio's average daily net assets. With respect to
International Portfolio, FAdS received a fee at an annual rate of 0.15% of the
Portfolio's average daily net assets.
Norwest Bank Minnesota, N.A. ("Norwest") serves as the custodian for each
Portfolio and may appoint certain sub-custodians to custody those portfolios'
foreign securities and assets held in foreign countries. Norwest receives a
fee with respect to each Portfolio at an annual rate of 0.02% of each
Portfolio's average
140
<PAGE>
NOTES TO FINANCIAL STATEMENTS CORE PORTFOLIOS
--------------------------------------------------------------------------------
daily net assets, with the exception of the International and International
Equity Portfolios. Norwest receives a fee with respect to the International
and International Equity Portfolios at an annual rate of 0.25% of each
Portfolio's average daily net assets. Prior to November 8, 1999, Norwest
received a fee with respect to each Portfolio at an annual rate of 0.02% for
the first $100 million of each Portfolio's average daily net assets, declining
to 0.01% of the average daily net assets of each Portfolio in excess of $200
million, with the exception of the International and International Equity
Portfolios. Prior to November 8, 1999, Norwest received a fee with respect to
the International and International Equity Portfolios at an annual rate of
0.07% of each Portfolio's average daily net assets.
Forum Accounting Services, LLC provides portfolio accounting and
interestholder recordkeeping services to each Portfolio.
5. WAIVED FEES AND REIMBURSED EXPENSES
For the six months ended March 31, 2000, fees waived by the Portfolios'
service providers were as follows:
<TABLE>
<CAPTION>
Portfolio Fees Waived by FAdS Fees Waived by WFB Total Fees Waived
<S> <C> <C> <C>
DISCIPLINED GROWTH PORTFOLIO $12,440 $ 81,943 $ 94,383
INCOME EQUITY PORTFOLIO 59,627 1,056,155 1,115,782
INDEX PORTFOLIO 88,805 354,917 443,722
INTERNATIONAL PORTFOLIO 56,616 270,673 116,576
INTERNATIONAL EQUITY PORTFOLIO 0 116,576 327,289
LARGE COMPANY GROWTH PORTFOLIO 56,176 30,960 87,136
SMALL CAP INDEX PORTFOLIO 8,642 1,841 10,483
SMALL CAP VALUE PORTFOLIO 12,108 262,268 274,376
SMALL COMPANY GROWTH PORTFOLIO 24,605 12,944 37,549
SMALL COMPANY VALUE PORTFOLIO 8,635 134,447 143,082
</TABLE>
6. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities
(securities with maturities of one year or less at purchase date) for each
Portfolio for the six-month period ended March 31, 2000, were as follows:
<TABLE>
<CAPTION>
AGGREGATE PURCHASES AND SALES
Portfolio Purchases at Cost Sales Proceeds
<S> <C> <C>
DISCIPLINED GROWTH PORTFOLIO $119,548,275 $140,770,912
INCOME EQUITY PORTFOLIO 192,926,045 125,095,458
INDEX PORTFOLIO 89,986,540 96,562,217
INTERNATIONAL PORTFOLIO 404,022,098 678,995,469
INTERNATIONAL EQUITY PORTFOLIO 206,498,869 127,510,164
LARGE COMPANY GROWTH PORTFOLIO 263,612,509 119,976,095
SMALL CAP INDEX PORTFOLIO 22,636,123 35,875,346
SMALL CAP VALUE PORTFOLIO 109,416,154 118,241,959
SMALL COMPANY GROWTH PORTFOLIO 217,281,367 194,404,304
SMALL COMPANY VALUE PORTFOLIO 116,692,843 88,629,711
</TABLE>
141
<PAGE>
ALLOCATION FUNDS LIST OF ABBREVIATIONS
--------------------------------------------------------------------------------
The following is a list of common abbreviations for terms and entities which may
have appeared in this report.
ABAG -- ASSOCIATION OF BAY AREA GOVERNMENTS
ADR -- AMERICAN DEPOSITORY RECEIPTS
AMBAC -- AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
AMT -- ALTERNATIVE MINIMUM TAX
ARM -- ADJUSTABLE RATE MORTGAGES
BART -- BAY AREA RAPID TRANSIT
CDA -- COMMUNITY DEVELOPMENT AUTHORITY
CDSC -- CONTINGENT DEFERRED SALES CHARGE
CGIC -- CAPITAL GUARANTY INSURANCE COMPANY
CGY -- CAPITAL GUARANTY CORPORATION
CMT -- CONSTANT MATURITY TREASURY
COFI -- COST OF FUNDS INDEX
CONNIE LEE -- CONNIE LEE INSURANCE COMPANY
COP -- CERTIFICATE OF PARTICIPATION
CP -- COMMERCIAL PAPER
CTF -- COMMON TRUST FUND
DW&P -- DEPARTMENT OF WATER & POWER
DWR -- DEPARTMENT OF WATER RESOURCES
EDFA -- EDUCATION FINANCE AUTHORITY
FGIC -- FINANCIAL GUARANTY INSURANCE CORPORATION
FHA -- FEDERAL HOUSING AUTHORITY
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
FRN -- FLOATING RATE NOTES
FSA -- FINANCIAL SECURITY ASSURANCE, INC
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GO -- GENERAL OBLIGATION
HFA -- HOUSING FINANCE AUTHORITY
HFFA -- HEALTH FACILITIES FINANCING AUTHORITY
IDA -- INDUSTRIAL DEVELOPMENT AUTHORITY
LIBOR -- LONDON INTERBANK OFFERED RATE
LLC -- LIMITED LIABILITY CORPORATION
LOC -- LETTER OF CREDIT
LP -- LIMITED PARTNERSHIP
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
MFHR -- MULTI-FAMILY HOUSING REVENUE
MUD -- MUNICIPAL UTILITY DISTRICT
MTN -- MEDIUM TERM NOTE
PCFA -- POLLUTION CONTROL FINANCE AUTHORITY
PCR -- POLLUTION CONTROL REVENUE
PFA -- PUBLIC FINANCE AUTHORITY
PLC -- PRIVATE PLACEMENT
PSFG -- PUBLIC SCHOOL FUND GUARANTY
RAW -- REVENUE ANTICIPATION WARRANTS
RDA -- REDEVELOPMENT AUTHORITY
RDFA -- REDEVELOPMENT FINANCE AUTHORITY
R&D -- RESEARCH & DEVELOPMENT
SFMR -- SINGLE FAMILY MORTGAGE REVENUE
TBA -- TO BE ANNOUNCED
TRAN -- TAX REVENUE ANTICIPATION NOTES
USD -- UNIFIED SCHOOL DISTRICT
V/R -- VARIABLE RATE
WEBS -- WORLD EQUITY BENCHMARK SHARES
142
<PAGE>
Wells Fargo Bank, N.A. and certain of its affiliates provide investment
advisory, sub-advisory and/or shareholder services for the Wells Fargo
Funds. The Funds are sponsored and distributed by STEPHENS INC., Member
NYSE/ SIPC. Wells Fargo Bank, N.A. and its affiliates are not affiliated
with Stephens Inc.
This report and the financial statements contained herein are submitted for
the general information of the shareholders of the Wells Fargo Funds. If
this report is used for promotional purposes, distribution of the report
must be accompanied or preceded by a current prospectus. For a prospectus
containing more complete information, including charges and expenses, call
1-800-222-8222. Read the prospectus carefully before you invest or send
money.
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