<PAGE>
[WELLS FARGO LOGO]
FUNDS
Annual Report
ALLOCATION FUNDS
September 30, 2000
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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STATEMENTS OF ASSETS AND LIABILITIES........................................47
STATEMENTS 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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TAX INFORMATION...............................................................66
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INDEPENDENT AUDITORS' REPORT..................................................67
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CORE PORTFOLIOS
PORTFOLIO OF INVESTMENTS
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DISCIPLINED GROWTH PORTFOLIO................................................68
INCOME EQUITY PORTFOLIO.....................................................71
INDEX PORTFOLIO.............................................................75
INTERNATIONAL PORTFOLIO.....................................................89
INTERNATIONAL EQUITY PORTFOLIO..............................................92
LARGE COMPANY GROWTH PORTFOLIO..............................................95
SMALL CAP INDEX PORTFOLIO...................................................97
SMALL CAP VALUE PORTFOLIO..................................................114
SMALL COMPANY GROWTH PORTFOLIO.............................................117
SMALL COMPANY VALUE PORTFOLIO..............................................122
FINANCIAL STATEMENTS
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STATEMENTS OF ASSETS AND LIABILITIES.......................................128
STATEMENTS OF OPERATIONS...................................................130
STATEMENTS OF CHANGES IN NET ASSETS........................................132
FINANCIAL HIGHLIGHTS.......................................................139
NOTES TO FINANCIAL HIGHLIGHTS................................................139
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NOTES TO FINANCIAL STATEMENTS................................................140
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INDEPENDENT AUDITORS' REPORT.................................................145
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LIST OF ABBREVIATIONS........................................................146
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NOT FDIC INSURED--NO BANK GUARANTEE--MAY LOSE VALUE
<PAGE>
ALLOCATION FUNDS
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DEAR VALUED SHAREHOLDER,
Volatility once again dominated the financial markets during the fiscal year
ended September 30, 2000. The Dow Jones Industrial Average (the Dow) reached a
record high in January only to surrender most of its gains by fiscal year-end.
In contrast, bonds outperformed stocks for the first time since 1990,
underscoring the importance of diversification amid shifting markets.
In a comment that set the stage for the performance of financial markets
throughout the period, Federal Reserve Board (the Fed) Chairman Alan Greenspan
said that he would continue to raise short-term interest rates until both the
economy and the stock market slowed. Ultimately, short-term interest rates
rose 1.25% during the period, including an aggressive half-point increase in
May. The rate increases achieved their desired affect by trimming economic
growth to a more sustainable rate, while slowing the stock market.
OVERVIEW OF EQUITY MARKETS
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The fiscal year began on an upbeat note, with the average diversified stock
fund climbing 18% during the fourth quarter of 1999. Yet the threat of rising
interest rates and their impact on corporate earnings soon sent shockwaves
through the market, with the Dow declining 7.3% between January and the
September 30, 2000, fiscal year-end. The Nasdaq Composite Index, a proxy for
new economy technology stocks, also plummeted from its March highs, sending
many investors back to the relative stability of the Dow's old economy stocks.
Along the way, the utility sector plus small cap and mid cap stocks emerged as
market leaders.
As the fiscal year drew to a close, escalating oil prices replaced concerns
over the direction of interest rates. Higher energy prices combined with
slower growth and a weak euro triggered many third quarter corporate profit
warnings, clouding the investment outlook.
OVERVIEW OF BOND MARKETS
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The Treasury Department's decision to issue fewer 30-year bonds due to a
budget surplus created an inverted yield curve, with yields on long-term bonds
falling below yields of shorter-term securities. However, the perceived
scarcity of long-term bonds drove up the price of 30-year Treasury bonds (bond
prices and yields move in opposite directions), which contributed to their
double-digit total returns. More recently, non-U.S. Treasury securities,
including agency, corporate, asset- and mortgage-backed bonds, have assumed a
leadership role in the bond market.
DIVERSIFICATION CAN HELP TAME MARKET VOLATILITY
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Regardless of how financial markets perform in the future, Wells Fargo Funds
continues to emphasize that diversification among stocks, bonds and cash can
help earn more balanced returns. That is the unique advantage of the Wells
Fargo Allocation Funds, which offer six different mutual funds designed to
meet the risk tolerance and long-term goals of investors in any environment.
With more than $67 billion in assets under management (as of September 30,
2000), Wells Fargo Funds provides a full spectrum of mutual funds to help you
reach your financial goals. In closing, thank you for investing in Wells Fargo
Funds.
Sincerely,
/s/ MICHAEL J. HOGAN
MICHAEL J. HOGAN
PRESIDENT,
WELLS FARGO FUNDS
1
<PAGE>
ALLOCATION FUNDS PERFORMANCE HIGHLIGHTS
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AGGRESSIVE BALANCED-EQUITY FUND
INVESTMENT OBJECTIVE
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The 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 Incorporated
Peregrine Capital Management
Smith Asset Management Group
Schroder Investment Management North America
Galliard Capital Management
FUND MANAGERS
Collectively Managed
INCEPTION DATE
12/02/97
PERFORMANCE HIGHLIGHTS
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The Fund's Institutional Class shares outperformed its benchmark, the S&P 500
Index(1), for the one-year period ended September 30, 2000, returning
15.82%(2) versus a return of 13.28% for the S&P 500 Index. The Fund's
Institutional Class shares also outperformed its Lehman Brothers Aggregate
Bond Index(3) benchmark, which had a return of 6.99%. The Fund's Institutional
Class shares distributed $0.12 per share in dividend income and $0.02 per
share in capital gains during the period. Please keep in mind that past
performance is no guarantee of future results.
The Fund uses a proprietary investment strategy called the Tactical Asset
Allocation Model, which seeks to enhance the Fund's performance by shifting
assets toward stocks or bonds when a compelling valuation differential exists
between the two markets.
Based on this model, the Fund overweighted bonds (relative to its neutral
80/20 stock/bond allocation) beginning on November 29, 1999, when the model
hit a trigger point that prompted the managers to shift 15% of assets from
stocks to bonds.
To implement tactical asset allocations such as this, the Fund managers use
futures contracts to keep the Fund's underlying assets near a long-term
strategic allocation of 80% stocks and 20% bonds. The Fund had a long position
in 30-year Treasury bond futures and a short position in S&P 500 Index
futures. With the use of the futures overlay, the Fund had an effective asset
allocation of 66.4% in stocks and 33.6% in bonds as of September 30, 2000.
Bonds outperformed stocks during the first three quarters of 2000. The Fund's
emphasis on bonds, (relative to its neutral 80/20 stock/bond allocation)
helped it outperform its weighted composite benchmark.
STRATEGIC OUTLOOK
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The Fund's managers believe that the U.S. economy is indeed slowing, a trend
that historically has led investors to favor defensive, old-line and interest
rate sensitive areas of the stock market. The Fund plans to return to its
neutral 80/20 stock/bond allocation when the respective market valuations move
back into a more normal alignment.
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(1) 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.
(2) 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 Advisor has committed through January 30, 2002,
to waive fees and/or reimburse expenses to the extent necessary to maintain a
certain net operating expense ratio for the Fund. Actual reductions of operating
expenses can increase total return to shareholders. Without these reductions,
the Fund's returns would have been lower.
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 Stagecoach and Norwest Advantage Funds were reorganized
into the Wells Fargo Funds. Institutional Class shares are sold without sales
charges.
(3) The Fund changed its benchmark to the Lehman Brothers Aggregate Bond Index
because it is more representative of the Fund's average portfolio maturity and
holdings. The Lehman Brothers Aggregate Bond Index is composed of the Lehman
Brothers Government/Credit Index and the Mortgage-Backed Securities Index and
includes Treasury issues, agency issues, corporate bond issues and
mortgage-backed securities. The Fund is a profesionally managed mutual fund. You
cannot invest directly in an index.
(4) The Lehman Brothers Intermediate Government/Credit 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 that
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.
2
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
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AVERAGE ANNUAL TOTAL RETURN (%) (AS OF SEPTEMBER 30, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since Since
6-Month* 1-Year Inception 12/01/97
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS (0.14) 15.82 15.58
BENCHMARK
S&P 500 INDEX (3.60) 13.28 17.02(5)
LEHMAN BROTHERS AGGREGATE
BOND INDEX 4.81 6.99 5.58(5)
LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT/CREDIT INDEX(4) 4.62 6.25 5.54(5)
</TABLE>
* RETURNS FOR PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED.
TEN LARGEST HOLDINGS(6)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
PFIZER INCORPORATED 1.81%
CISCO SYSTEMS INCORPORATED 1.62%
GENERAL ELECTRIC COMPANY 1.61%
INTEL CORPORATION 1.33%
EMC CORPORATION 1.21%
AMERICAN INTERNATIONAL GROUP 1.20%
MICROSOFT CORPORATION 1.19%
IBM CORPORATION 1.10%
EXXON MOBIL CORPORATION 1.08%
MERCK AND COMPANY INCORPORATED 1.00%
</TABLE>
STRATEGIC ALLOCATION(9)
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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>
ACTUAL ASSET ALLOCATION(9)
(AS OF SEPTEMBER 30, 2000)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Stocks 66.4%
Bonds 33.6%
</TABLE>
DIVERSIFIED EQUITY STYLE CHARACTERISTICS
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA 0.92*
DIVIDEND YIELD 1.11%
PRICE TO EARNINGS RATIO
(TRAILING 12 MO.) 29.9X
PRICE TO BOOK RATIO 5.6X
MEDIAN MARKET CAP. ($B) 25.2
5 YEAR EARNINGS GROWTH
(HISTORIC) 15.0%
NUMBER OF HOLDINGS 1416
PORTFOLIO TURNOVER 47%
</TABLE>
* A MEASURE OF THE FUND'S SENSITIVITY TO MARKET MOVEMENTS. THE BENCHMARK BETA
IS 1.00 BY DEFINITION.
DIVERSIFIED BOND STYLE CHARACTERISTICS
(AS OF SEPTEMBER 30, 2000)
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<TABLE>
<S> <C>
AVERAGE CREDIT QUALITY(7) AA
AVERAGE MATURITY 12.44 YEARS
DURATION 6.25 YEARS
SEC YIELD(8) AS OF 9/30/00 6.33%
</TABLE>
GROWTH OF $10,000 INVESTMENT(10)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO AGGRESSIVE LEHMAN BROTHERS INTERMEDIATE LEHMAN BROTHERS
BALANCED-EQUITY FUND - INSTITUTIONAL CLASS S&P 500 INDEX GOVERNMENT/CREDIT INDEX AGGREGATE BOND INDEX
<S> <C> <C> <C> <C>
12/97 $10,000 $10,000 $10,000 $10,000
12/97 $10,013 $10,172 $10,080 $10,101
01/98 $10,144 $10,284 $10,212 $10,230
02/98 $10,704 $11,025 $10,204 $10,223
03/98 $11,085 $11,590 $10,237 $10,258
04/98 $11,225 $11,708 $10,288 $10,311
05/98 $11,055 $11,507 $10,363 $10,409
06/98 $11,375 $11,974 $10,429 $10,497
07/98 $11,205 $11,847 $10,466 $10,520
08/98 $9,923 $10,135 $10,630 $10,691
09/98 $10,364 $10,785 $10,897 $10,941
10/98 $11,135 $11,662 $10,886 $10,883
11/98 $11,766 $12,368 $10,885 $10,945
12/98 $12,438 $13,081 $10,928 $10,978
01/99 $12,791 $13,631 $10,988 $11,056
02/99 $12,438 $13,206 $10,827 $10,863
03/99 $12,821 $13,734 $10,908 $10,924
04/99 $13,234 $14,266 $10,942 $10,958
05/99 $13,043 $13,929 $10,858 $10,862
06/99 $13,608 $14,687 $10,865 $10,828
07/99 $13,376 $14,228 $10,855 $10,782
08/99 $13,255 $14,158 $10,864 $10,776
09/99 $13,002 $13,770 $10,965 $10,901
10/99 $13,507 $14,641 $10,994 $10,941
11/99 $13,850 $14,939 $11,007 $10,941
12/99 $14,377 $15,819 $10,971 $10,888
01/00 $14,041 $15,024 $10,930 $10,852
02/00 $14,204 $14,741 $11,020 $10,983
03/00 $15,080 $16,182 $11,134 $11,128
04/00 $14,836 $15,695 $11,109 $11,096
05/00 $14,591 $15,373 $11,126 $11,091
06/00 $14,989 $15,753 $11,322 $11,322
07/00 $14,897 $15,507 $11,408 $11,425
08/00 $15,498 $16,470 $11,543 $11,591
09/00 $15,060 $15,601 $11,648 $11,664
</TABLE>
--------------------------------------------------------------------------------
(5) The published return closest to the Fund's inception date of 12/02/97.
(6) The ten largest holdings are calculated based on the market value of the
Core Trust portfolio securities allocable to the Fund divided by total market
value of the portfolio of investments of the Fund. See Notes to the Financial
Statements for a discussion of the Core Trust.
(7) The average credit quality 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.
(8) 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.
(9) Portfolio holdings are subject to change.
(10) The chart compares the performance of the Wells Fargo Aggressive
Balanced-Equity Fund Institutional Class shares since inception with the S&P 500
Index, the Lehman Brothers Aggregate Bond Index and the Lehman Brothers
Intermediate Government/Credit 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 Asset Allocation Fund (the Fund) seeks long-term total return, consistent
with reasonable risk.
ADVISOR
Wells Fargo Bank, N.A.
SUB-ADVISOR
Barclays Global Fund Advisors
FUND MANAGERS
Team Managed
INCEPTION DATE
11/13/86
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
The Fund's Class A shares posted an 11.96%(1) return for the year ended
September 30, 2000, excluding sales charges. The Fund outperformed one of its
benchmarks, the Lehman Brothers 20+ U.S. Treasury Bond Index(2) (Lehman Index)
which returned 10.12%, but underperformed its other benchmark, the S&P 500
Index(3), which was up 13.28%. The Fund's Class A shares distributed $0.55 per
share in dividend income and $3.69 per share in capital gains during the
period. Please keep in mind that past performance is no guarantee of future
results.
The year was marked by unusual volatility in both the bond and stock markets.
The Fund managed to weather this volatility through a series of asset
reallocations. Each rebalancing allowed the Fund to take advantage of shifts
in relative market strengths of stocks, bonds and cash items. For the first
three quarters of 2000, bonds were the best performing asset class, gaining
2.7%, with cash returning 4.9% and stocks declining 1.4%.
The rally in equity markets in the fourth quarter of 1999, led Fund managers
to maintain an asset mix weighted toward stocks. In January 2000, equity
markets stumbled on news of strong economic growth. Technology stocks fueled
the downturn, dragging down both the S&P 500 Index and Nasdaq Composite
Index(4) (Nasdaq). In March, a rally of old economy stocks allowed the markets
to regain lost territory. The bond market rebounded sharply, with the Lehman
Index returning 9.3% for the first quarter. In response to these events, the
Fund rebalanced the portfolio twice. In January, it raised bond allocations to
take advantage of the bond rally. However, as bond yields declined in
February, a second reallocation was made in favor of equities. This enabled
the Fund to take advantage of the March stock market recovery.
The second quarter of 2000, was marked by extreme volatility in all stock
markets. Nasdaq lost 13.23% for the quarter and the S&P 500 Index shed 2.66%.
The bond market, however, managed to end the quarter with a 2.17% increase.
The Fund responded by rebalancing the portfolio a third time in favor of
bonds.
Strong signs of a market slowdown were evident by the end of the third
quarter. With interest rates left unchanged by the Federal Reserve Board in
August, investors prepared for a soft landing. Market volatility continued
throughout the period, with steep declines in stock indexes after profit
warnings by Intel and Apple rattled the markets.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
The Fund will continue to invest in a mix of stocks, bonds and cash to
capture optimal performance without incurring undue risk. Notwithstanding
concerns over earnings growth, the tactical allocation continues to favor
equity over bonds, which continue to be overvalued. This is driven by
relatively low bond yields and by the fact that earnings growth remains at
historically high levels.
--------------------------------------------------------------------------------
(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 Advisor has committed through January 30, 2002,
to waive fees and/or reimburse expenses to the extent necessary to maintain a
certain net operating expense ratio for the Fund. Actual reductions of operating
expenses can increase total return to shareholders. Without these reductions,
the Fund's returns would have been lower.
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 and Norwest
Advantage 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. 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. 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.
4
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF SEPTEMBER 30, 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 (1.50) 11.96 15.44 14.52 (7.15) 5.50 14.08 13.84
CLASS B (1.83) 11.21 14.73 13.89 (6.71) 6.48 14.50 13.89
CLASS C (1.80) 11.17 14.73 13.89 (2.78) 10.23 14.73 13.89
INSTITUTIONAL CLASS** (1.50) 11.95 15.44 14.52
BENCHMARK
LEHMAN BROTHERS 20+
U.S. TREASURY BOND
INDEX 3.34 10.12 7.63 10.28
S&P 500 INDEX (3.60) 13.28 21.69 19.44
</TABLE>
* RETURNS FOR PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED.
** SHARE CLASS COMMENCED OPERATIONS ON NOVEMBER 8, 1999. TOTAL RETURNS ARE
BASED ON THE CLASS A SHARE ADJUSTED FOR INSTITUTIONAL CLASS EXPENSES.
CHARACTERISTICS:
----------------------------------------------
<TABLE>
<S> <C>
BETA 0.68*
AVERAGE COUPON OF BOND PORTFOLIO 5.79%
AVERAGE MATURITY OF BOND PORTFOLIO 21.2 YEARS
AVERAGE DURATION OF BOND PORTFOLIO 10.5 YEARS
NUMBER OF HOLDINGS 529
PORTFOLIO TURNOVER 37%
</TABLE>
* A MEASURE OF THE FUND'S SENSITIVITY TO MARKET MOVEMENTS. THE BENCHMARK BETA
IS 1.00 BY DEFINITION.
STRATEGIC ALLOCATION(6)
----------------------------------------------
<TABLE>
<S> <C>
STOCKS 60%
BONDS 40%
</TABLE>
SECTOR DISTRIBUTION(6)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury
Securities 36%
Technology 19%
Financial 12%
Health Care 7%
Energy 4%
Consumer Non-Cyclical 4%
Consumer Cyclical 4%
Telecommunications 4%
Consumer Services 3%
Basic Materials 2%
Industrials 2%
Commercial Services 2%
Utilities 1%
</TABLE>
TEN LARGEST HOLDINGS(5)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
U.S. TREASURY BOND, 8.00%, 11/15/21 4.02%
GENERAL ELECTRIC COMPANY 2.89%
U.S. TREASURY BOND, 6.25%, 5/15/30 2.51%
U.S. TREASURY BOND, 6.25%, 8/15/23 2.32%
U.S. TREASURY BOND, 6.125%, 11/15/27 2.00%
CISCO SYSTEMS INCORPORATED 1.98%
U.S. TREASURY BOND, 7.125%, 2/15/23 1.76%
U.S. TREASURY BILL, DUE 10/12/00 1.76%
MICROSOFT CORPORATION 1.61%
EXXON MOBIL CORPORATION 1.57%
</TABLE>
ACTUAL ASSET ALLOCATION(6)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
STOCKS 64%
BONDS 36%
</TABLE>
GROWTH OF $10,000 INVESTMENT(7)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO ASSET LEHMAN BROTHERS WELLS FARGO ASSET
ALLOCATION FUND - 20+ U.S. ALLOCATION FUND -
CLASS A TREASURY BOND INDEX S&P 500 INDEX INSTITUTIONAL CLASS
<S> <C> <C> <C> <C>
09/90 $9,425 $10,000 $10,000 $10,000
10/90 $9,525 $10,235 $9,957 $10,109
11/90 $9,801 $10,687 $10,601 $10,401
12/90 $9,938 $10,905 $10,896 $10,547
01/91 $10,199 $11,038 $11,371 $10,825
02/91 $10,413 $11,084 $12,184 $11,051
03/91 $10,502 $11,121 $12,479 $11,146
04/91 $10,598 $11,268 $12,509 $11,248
05/91 $10,722 $11,246 $13,048 $11,380
06/91 $10,488 $11,144 $12,451 $11,131
07/91 $10,750 $11,322 $13,031 $11,409
08/91 $11,094 $11,728 $13,340 $11,774
09/91 $11,314 $12,106 $13,117 $12,007
10/91 $11,348 $12,114 $13,293 $12,044
11/91 $11,265 $12,163 $12,757 $11,956
12/91 $12,139 $12,926 $14,216 $12,883
01/92 $11,781 $12,514 $13,952 $12,504
02/92 $11,850 $12,582 $14,132 $12,577
03/92 $11,694 $12,440 $13,857 $12,411
04/92 $11,785 $12,412 $14,264 $12,507
05/92 $12,014 $12,771 $14,334 $12,751
06/92 $12,067 $12,936 $14,121 $12,807
07/92 $12,582 $13,498 $14,698 $13,353
08/92 $12,540 $13,579 $14,397 $13,309
09/92 $12,711 $13,778 $14,566 $13,490
10/92 $12,532 $13,487 $14,616 $13,301
11/92 $12,697 $13,562 $15,114 $13,475
12/92 $12,989 $13,951 $15,299 $13,786
01/93 $13,258 $14,338 $15,427 $14,071
02/93 $13,628 $14,839 $15,637 $14,463
03/93 $13,722 $14,870 $15,967 $14,564
04/93 $13,656 $14,978 $15,581 $14,494
05/93 $13,832 $15,045 $15,998 $14,680
06/93 $14,191 $15,708 $16,045 $15,061
07/93 $14,317 $16,011 $15,981 $15,195
08/93 $14,881 $16,704 $16,587 $15,793
09/93 $14,821 $16,744 $16,460 $15,729
10/93 $15,038 $16,882 $16,800 $15,960
11/93 $14,806 $16,426 $16,640 $15,713
12/93 $14,930 $16,463 $16,841 $15,845
01/94 $15,382 $16,874 $17,414 $16,325
02/94 $14,882 $16,142 $16,941 $15,794
03/94 $14,299 $15,405 $16,203 $15,176
04/94 $14,259 $15,214 $16,410 $15,134
05/94 $14,315 $15,089 $16,680 $15,193
06/94 $14,067 $14,932 $16,271 $14,929
07/94 $14,520 $15,485 $16,805 $15,410
08/94 $14,755 $15,332 $17,494 $15,660
09/94 $14,327 $14,809 $17,067 $15,205
10/94 $14,442 $14,761 $17,450 $15,327
11/94 $14,286 $14,865 $16,814 $15,162
12/94 $14,508 $15,111 $17,064 $15,398
01/95 $14,881 $15,522 $17,506 $15,794
02/95 $15,349 $15,957 $18,188 $16,291
03/95 $15,623 $16,108 $18,723 $16,581
04/95 $15,966 $16,399 $19,274 $16,944
05/95 $16,791 $17,750 $20,043 $17,820
06/95 $17,050 $17,965 $20,508 $18,095
07/95 $17,272 $17,646 $21,188 $18,331
08/95 $17,387 $18,069 $21,241 $18,453
09/95 $17,839 $18,426 $22,137 $18,933
10/95 $17,928 $18,979 $22,058 $19,028
11/95 $18,438 $19,473 $23,025 $19,568
12/95 $18,742 $20,034 $23,469 $19,892
01/96 $19,077 $20,011 $24,267 $20,246
02/96 $18,977 $18,949 $24,493 $20,141
03/96 $19,017 $18,540 $24,728 $20,184
04/96 $19,036 $18,211 $25,091 $20,203
05/96 $19,199 $18,114 $25,736 $20,377
06/96 $19,415 $18,519 $25,834 $20,605
07/96 $18,983 $18,518 $24,692 $20,147
08/96 $18,965 $18,253 $25,213 $20,128
09/96 $19,705 $18,785 $26,630 $20,913
10/96 $20,382 $19,572 $27,365 $21,632
11/96 $21,468 $20,271 $29,431 $22,784
12/96 $20,927 $19,742 $28,848 $22,210
01/97 $21,350 $19,565 $30,648 $22,659
02/97 $21,401 $19,569 $30,891 $22,713
03/97 $20,678 $19,031 $29,624 $21,946
04/97 $21,483 $19,515 $31,390 $22,800
05/97 $22,206 $19,741 $33,308 $23,568
06/97 $22,841 $20,154 $34,790 $24,242
07/97 $24,446 $21,446 $37,556 $25,945
08/97 $23,366 $20,784 $35,452 $24,799
09/97 $24,324 $21,400 $37,392 $25,815
10/97 $24,292 $22,187 $36,143 $25,782
11/97 $25,081 $22,536 $37,816 $26,619
12/97 $25,533 $22,935 $38,467 $27,099
01/98 $25,914 $23,417 $38,890 $27,503
02/98 $27,147 $23,230 $41,694 $28,812
03/98 $28,138 $23,276 $43,828 $29,863
04/98 $28,330 $23,354 $44,276 $30,067
05/98 $28,194 $23,848 $43,514 $29,923
06/98 $29,243 $24,476 $45,281 $31,036
07/98 $28,948 $24,337 $44,801 $30,723
08/98 $26,142 $25,527 $38,327 $27,745
09/98 $27,620 $26,467 $40,784 $29,314
10/98 $29,246 $26,017 $44,095 $31,039
11/98 $30,690 $26,257 $46,768 $32,572
12/98 $32,064 $26,196 $49,517 $34,030
01/99 $33,187 $26,445 $51,587 $35,222
02/99 $31,990 $25,032 $53,192 $33,951
03/99 $32,899 $24,921 $55,319 $34,916
04/99 $33,850 $24,942 $57,460 $35,926
05/99 $33,149 $24,545 $56,104 $35,182
06/99 $34,078 $24,245 $59,156 $36,168
07/99 $33,324 $24,107 $57,309 $35,367
08/99 $33,135 $23,993 $57,026 $35,167
09/99 $32,663 $24,167 $55,463 $34,666
10/99 $33,838 $24,170 $58,973 $35,913
11/99 $34,130 $23,986 $60,171 $36,222
12/99 $35,106 $23,561 $63,715 $37,261
01/00 $34,367 $23,972 $60,516 $36,461
02/00 $34,619 $24,823 $59,372 $36,728
03/00 $37,125 $25,752 $65,179 $39,402
04/00 $36,293 $25,507 $63,217 $38,519
05/00 $35,683 $25,380 $61,921 $37,872
06/00 $36,524 $25,930 $63,451 $38,763
07/00 $36,389 $26,444 $62,461 $38,620
08/00 $38,092 $27,089 $66,340 $40,427
09/00 $36,568 $26,626 $62,837 $38,809
</TABLE>
--------------------------------------------------------------------------------
(2) The Lehman Brothers 20+ U.S. Treasury Bond Index is an unmanaged index
composed of securities in the U.S. Treasury Index with maturities of 20 years or
greater. The U.S. Treasury Index represents public obligations of the U.S.
Treasury with a remaining maturity of one year or more. You cannot invest
directly in an index.
(3) 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.
(4) 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.
(5) The ten largest holdings are calculated based on the market value of the
securities divided by total market value of the portfolio.
(6) Portfolio holdings are subject to change.
(7) 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+ 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 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 Incorporated
Peregrine Capital Management
Smith Asset Management Group
Schroder Investment Management North America
Galliard Capital Management
FUND MANAGERS
Collectively Managed
INCEPTION DATE
04/30/89
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
The Fund's Class A shares outperformed its benchmark, the S&P 500 Index(1),
for the one-year period ended September 30, 2000, excluding sales charges,
returning 14.86%(2) versus a return of 13.28% for its benchmark. The Fund's
Class A shares also outperformed its Lehman Brothers Aggregate Bond Index(3)
benchmark, which returned 6.99%. The Fund's Class A shares distributed $0.59
per share in dividend income and $1.81 per share in capital gains during the
period. Please keep in mind that past performance is no guarantee of future
results.
The Fund uses a proprietary investment strategy called the Tactical Asset
Allocation Model, which seeks to enhance the Fund's performance by shifting
assets toward stocks or bonds when a compelling valuation differential exists
between the two markets.
Based on this model, the Fund overweighted bonds (relative to its neutral
65/35 stock/bond allocation) beginning on November 29, 1999, when the model
hit a trigger point that prompted the managers to shift 15% of assets from
stocks to bonds.
To implement tactical asset allocations such as this, the Fund managers used
futures contracts to keep the Fund's underlying assets near a long-term
strategic allocation of 65% stocks and 35% bonds. The Fund used a long
position in 30-year Treasury bond futures and a short position in S&P 500
Index futures. With the use of the futures overlay, the Fund had an effective
asset allocation of 49.6% in stocks and 50.4% in bonds as of September 30,
2000.
With bonds outperforming stocks during the first three quarters of 2000, the
Fund's emphasis on bonds (relative to its neutral 65/35 stock/ bond
allocation) helped it outperform its weighted composite benchmark.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
The Fund's managers believe that the U.S. economy is indeed slowing, a trend
that historically has led investors to favor defensive, old-line and interest
rate sensitive areas of the stock market. Stable interest rates should also
provide support for the bond market. The Fund plans to return to its neutral
65/35 stock/ bond allocation when the respective market valuations move back
into a more normal alignment.
--------------------------------------------------------------------------------
(1) 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.
(2) 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 Advisor has committed through January 30, 2002,
to waive fees and/or reimburse expenses to the extent necessary to maintain a
certain net operating expense ratio for the Fund. Actual reductions of operating
expenses can increase total return to shareholders. Without these reductions,
the Fund's returns would have been lower.
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 Stagecoach and
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. Wells Fargo
Bank Minnesota, N.A. (WFB MN), formerly 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 Fund's 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.
(3) The Fund changed its benchmark to the Lehman Brothers Aggregate Bond Index
because it is more representative of the Fund's average portfolio maturity and
holdings. The Lehman Brothers Aggregate Bond Index is composed of the Lehman
Brothers Government/Credit Index and the Mortgage-Backed Securities Index and
includes Treasury issues, agency issues, corporate bond issues and
mortgage-backed securities. The Fund is a profesionally managed mutual fund. You
cannot invest directly in an index.
6
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(2) (%) (AS OF SEPTEMBER 30, 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 0.81 14.86 15.52 14.64 (4.99) 8.25 14.16 13.96
CLASS B 0.43 14.04 14.67 13.80 (4.57) 9.04 14.44 13.80
CLASS C 0.46 14.06 14.72 13.82 (0.54) 13.06 14.72 13.82
INSTITUTIONAL CLASS 0.95 15.14 15.62 14.69
BENCHMARK
LEHMAN BROTHERS
AGGREGATE BOND INDEX 4.81 6.99 6.47 8.05
LEHMAN BROTHERS
INTERMEDIATE
GOVERNMENT/CREDIT
INDEX(4) 4.62 6.25 6.08 7.40
S&P 500 INDEX (3.60) 13.28 21.69 19.44
</TABLE>
* RETURNS FOR PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED.
DIVERSIFIED EQUITY STYLE CHARACTERISTICS
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA 0.92(*)
DIVIDEND YIELD 1.11%
PRICE TO EARNINGS RATIO (TRAILING
12 MO.) 29.9X
PRICE TO BOOK RATIO 5.6X
MEDIAN MARKET CAP. ($B) 25.2
5 YEAR EARNINGS GROWTH (HISTORIC) 15.0%
NUMBER OF HOLDINGS 1416
PORTFOLIO TURNOVER 54%
</TABLE>
* A MEASURE OF THE FUND'S SENSITIVITY TO MARKET MOVEMENTS. THE BENCHMARK BETA
IS 1.00 BY DEFINITION.
DIVERSIFIED BOND STYLE CHARACTERISTICS
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
AVERAGE CREDIT QUALITY(6) AA
AVERAGE MATURITY 12.44 YEARS
DURATION 6.25 YEARS
SEC YIELD(7) AS OF 9/30/00 6.33%
</TABLE>
TEN LARGEST HOLDINGS(5)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
U.S. TREASURY BOND, 6.625%,
2/15/27 2.16%
U.S. TREASURY BOND, 6.125%,
11/15/27 2.13%
U.S. TREASURY BOND, 6.375%,
8/15/27 1.67%
GNMA 8.00% 1.54%
PFIZER INCORPORATED 1.45%
CISCO SYSTEMS INCORPORATED 1.30%
GENERAL ELECTRIC COMPANY 1.30%
U.S. TREASURY BOND, 6.75%,
8/15/26 1.09%
FNMA 1.09%
INTEL CORPORATION 1.07%
</TABLE>
STRATEGIC ALLOCATION(8)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Diversified Equity Style 65%
Diversified Bond Style 35%
</TABLE>
ACTUAL ASSET ALLOCATION(8)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Stocks 49.6%
Bonds 50.4%
</TABLE>
GROWTH OF $10,000 INVESTMENT(9)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO LEHMAN BROTHERS LEHMAN BROTHERS WELLS FARGO
GROWTH BALANCED INTERMEDIATE GOVERNMENT/ AGGREGATE GROWTH BALANCED
FUND - CLASS A S&P 500 INDEX CREDIT INDEX BOND INDEX FUND - INSTITUTIONAL CLASS
<S> <C> <C> <C> <C> <C>
09/90 $9,425 $10,000 $10,000 $10,000 $10,000
10/90 $9,484 $9,957 $10,116 $10,127 $10,062
11/90 $9,850 $10,601 $10,270 $10,345 $10,452
12/90 $10,069 $10,896 $10,410 $10,506 $10,683
01/91 $10,501 $11,371 $10,517 $10,636 $11,142
02/91 $11,044 $12,184 $10,601 $10,727 $11,719
03/91 $11,261 $12,479 $10,673 $10,801 $11,950
04/91 $11,277 $12,509 $10,789 $10,917 $11,965
05/91 $11,651 $13,048 $10,855 $10,981 $12,362
06/91 $11,260 $12,451 $10,863 $10,975 $11,948
07/91 $11,696 $13,031 $10,984 $11,128 $12,410
08/91 $11,970 $13,340 $11,194 $11,368 $12,701
09/91 $11,980 $13,117 $11,387 $11,599 $12,712
10/91 $12,201 $13,293 $11,516 $11,728 $12,945
11/91 $11,970 $12,757 $11,649 $11,836 $12,701
12/91 $12,879 $14,216 $11,933 $12,187 $13,665
01/92 $12,807 $13,952 $11,824 $12,021 $13,588
02/92 $12,837 $14,132 $11,871 $12,100 $13,622
03/92 $12,624 $13,857 $11,824 $12,031 $13,395
04/92 $12,754 $14,264 $11,928 $12,118 $13,533
05/92 $12,921 $14,334 $12,113 $12,347 $13,710
06/92 $12,753 $14,121 $12,293 $12,517 $13,532
07/92 $13,014 $14,698 $12,537 $12,772 $13,809
08/92 $12,900 $14,397 $12,663 $12,902 $13,688
09/92 $13,038 $14,566 $12,835 $13,055 $13,834
10/92 $13,058 $14,616 $12,668 $12,881 $13,856
11/92 $13,451 $15,114 $12,620 $12,884 $14,273
12/92 $13,598 $15,299 $12,789 $13,089 $14,428
01/93 $13,625 $15,427 $13,037 $13,340 $14,457
02/93 $13,580 $15,637 $13,243 $13,574 $14,410
03/93 $13,938 $15,967 $13,296 $13,630 $14,790
04/93 $13,741 $15,581 $13,402 $13,725 $14,580
05/93 $14,058 $15,998 $13,373 $13,743 $14,916
06/93 $14,075 $16,045 $13,583 $13,992 $14,935
07/93 $14,154 $15,981 $13,615 $14,071 $15,018
08/93 $14,672 $16,587 $13,832 $14,318 $15,569
09/93 $14,733 $16,460 $13,889 $14,357 $15,634
10/93 $14,912 $16,800 $13,926 $14,410 $15,822
11/93 $14,672 $16,640 $13,848 $14,288 $15,560
12/93 $14,993 $16,841 $13,912 $14,365 $15,909
01/94 $15,377 $17,414 $14,066 $14,559 $16,316
02/94 $15,092 $16,941 $13,858 $14,306 $16,014
03/94 $14,564 $16,203 $13,629 $13,954 $15,454
04/94 $14,656 $16,410 $13,537 $13,842 $15,552
05/94 $14,722 $16,680 $13,546 $13,840 $15,621
06/94 $14,410 $16,271 $13,547 $13,810 $15,289
07/94 $14,771 $16,805 $13,743 $14,084 $15,674
08/94 $15,250 $17,494 $13,785 $14,101 $16,182
09/94 $15,031 $17,067 $13,658 $13,894 $15,950
10/94 $15,157 $17,450 $13,657 $13,881 $16,082
11/94 $14,862 $16,814 $13,596 $13,851 $15,770
12/94 $14,971 $17,064 $13,643 $13,946 $15,886
01/95 $15,097 $17,506 $13,872 $14,223 $16,019
02/95 $15,449 $18,188 $14,159 $14,561 $16,393
03/95 $15,759 $18,723 $14,240 $14,650 $16,722
04/95 $16,036 $19,274 $14,417 $14,855 $17,015
05/95 $16,489 $20,043 $14,852 $15,429 $17,496
06/95 $16,874 $20,508 $14,952 $15,543 $17,905
07/95 $17,377 $21,188 $14,953 $15,508 $18,438
08/95 $17,453 $21,241 $15,089 $15,695 $18,519
09/95 $17,964 $22,137 $15,198 $15,848 $19,061
10/95 $17,813 $22,058 $15,367 $16,054 $18,901
11/95 $18,274 $23,025 $15,568 $16,294 $19,390
12/95 $18,452 $23,469 $15,731 $16,523 $19,579
01/96 $18,841 $24,267 $15,867 $16,633 $19,992
02/96 $18,988 $24,493 $15,681 $16,343 $20,148
03/96 $19,126 $24,728 $15,601 $16,230 $20,295
04/96 $19,453 $25,091 $15,546 $16,139 $20,644
05/96 $19,749 $25,736 $15,534 $16,106 $20,956
06/96 $19,758 $25,834 $15,699 $16,322 $20,965
07/96 $19,126 $24,692 $15,746 $16,367 $20,295
08/96 $19,386 $25,213 $15,758 $16,340 $20,570
09/96 $20,156 $26,630 $15,977 $16,624 $21,387
10/96 $20,297 $27,365 $16,260 $16,992 $21,580
11/96 $21,267 $29,431 $16,475 $17,284 $22,562
12/96 $21,081 $28,848 $16,369 $17,123 $22,369
01/97 $21,783 $30,648 $16,433 $17,175 $23,113
02/97 $21,783 $30,891 $16,464 $17,218 $23,113
03/97 $21,099 $29,624 $16,351 $17,027 $22,388
04/97 $21,801 $31,390 $16,544 $17,282 $23,133
05/97 $22,873 $33,308 $16,681 $17,445 $24,270
06/97 $23,695 $34,790 $16,833 $17,653 $25,142
07/97 $25,043 $37,556 $17,175 $18,128 $26,572
08/97 $24,054 $35,452 $17,089 $17,974 $25,524
09/97 $25,135 $37,392 $17,287 $18,239 $26,670
10/97 $24,646 $36,143 $17,479 $18,504 $26,151
11/97 $25,091 $37,816 $17,517 $18,589 $26,650
12/97 $25,461 $38,467 $17,657 $18,776 $27,016
01/98 $25,798 $38,890 $17,889 $19,017 $27,373
02/98 $26,945 $41,694 $17,874 $19,003 $28,591
03/98 $27,747 $43,828 $17,932 $19,068 $29,441
04/98 $28,053 $44,276 $18,021 $19,168 $29,766
05/98 $27,766 $43,514 $18,153 $19,349 $29,462
06/98 $28,479 $45,281 $18,269 $19,513 $30,218
07/98 $28,132 $44,801 $18,333 $19,555 $29,850
08/98 $25,619 $38,327 $18,621 $19,873 $27,184
09/98 $26,678 $40,784 $19,088 $20,338 $28,307
10/98 $28,254 $44,099 $19,069 $20,231 $29,976
11/98 $29,731 $46,772 $19,067 $20,346 $31,551
12/98 $31,157 $49,466 $19,143 $20,407 $33,079
01/99 $31,944 $51,548 $19,249 $20,553 $33,922
02/99 $31,088 $49,940 $18,966 $20,194 $33,024
03/99 $31,865 $51,938 $19,108 $20,306 $33,844
04/99 $32,682 $53,948 $19,167 $20,370 $34,720
05/99 $32,259 $52,675 $19,020 $20,192 $34,288
06/99 $33,420 $55,540 $19,033 $20,127 $35,518
07/99 $32,928 $53,806 $19,016 $20,042 $34,997
08/99 $32,663 $53,540 $19,031 $20,031 $34,731
09/99 $32,170 $52,072 $19,208 $20,264 $34,210
10/99 $33,214 $55,368 $19,258 $20,339 $35,330
11/99 $33,952 $56,492 $19,281 $20,337 $36,117
12/99 $34,932 $59,820 $19,217 $20,239 $37,175
01/00 $34,361 $56,817 $19,146 $20,173 $36,565
02/00 $34,848 $55,743 $19,303 $20,417 $37,091
03/00 $36,655 $61,195 $19,504 $20,686 $39,018
04/00 $36,137 $59,353 $19,459 $20,627 $38,480
05/00 $35,651 $58,136 $19,490 $20,617 $37,965
06/00 $36,549 $59,572 $19,833 $21,046 $38,935
07/00 $36,507 $58,643 $19,984 $21,238 $38,887
08/00 $37,775 $62,284 $20,220 $21,546 $40,251
09/00 $36,951 $58,996 $20,404 $21,681 $39,389
</TABLE>
--------------------------------------------------------------------------------
(4) The Lehman Brothers Intermediate Government/Credit 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 that 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.
(5) The ten largest holdings are calculated based on the market value of the
Core Trust portfolio securities allocable to the Fund divided by total market
value of the portfolio of investments of the Fund. See Notes to the Financial
Statements for a discussion of the Core Trust.
(6) The average credit quality 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,
the Lehman Brothers Aggregate Bond Index and the Lehman Brothers Intermediate
Government/Credit 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 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 MANAGERS
Team Managed
INCEPTION DATE
04/07/88
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
The Fund's Class A shares underperformed the S&P 500 Index(1), which had a
return of 13.28% versus the Fund's return of 12.63%(2) for the year ended
September 30, 2000, excluding sales charges. The Fund's Class A shares,
however, outperformed the Lehman Brothers 20+ U.S. Treasury Bond Index(3),
which returned 10.12%. The Fund's Class A shares distributed no dividend
income and $0.71 per share in capital gains during the period. Please keep in
mind that past performance is no guarantee of future results.
A robust stock market rally in the fourth quarter of 1999, benefited the
Fund's performance, with technology stocks sharply outperforming value stocks.
The technology sector gained 19.74% versus 8.97% for the value sector. This,
as well as a strong bond market, led the Fund to reallocate assets to a
portfolio mix of 95% equity and 5% bonds in January. However, as bond yields
declined in late February, the Fund rebalanced its assets to the benchmark of
100/0/0 (stocks/bonds/cash).
The Fund was faced with extreme volatility in the equity market in the second
quarter of 2000. The S&P 500 Index ended the quarter down 2.66% after months
of volatility. In a reversal of fourth quarter results, old economy stocks
outperformed technology stocks. Economic growth indicators pointed to a
slowing economy. The Federal Reserve Board (the Fed) responded by leaving
interest rates unchanged, triggering the stock market to rebound in June.
Bond markets also showed volatility in the second quarter in reaction to
concerns about inflation and economic growth. Despite the U.S. Treasury's
repurchase of $5 billion in long-term paper in April 2000, the decline in bond
prices continued. As a result, the Fund managers maintained the benchmark
allocation of 100/0/0, confirming its position that stocks continued to be
relatively more attractive than bonds on a risk-adjusted basis.
This allocation strategy was maintained throughout the third quarter of 2000.
Equity markets declined sharply in September, triggered by news of a strong
U.S. dollar, lower earnings reports, and a slowing economy. The Fed added
momentum to the growing perception of declining economic growth when it chose
to not raise interest rates at its August 2000 meeting.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
The Fund is positioned as a 100% equity fund, but its investment objectives
are flexible so as to allow Fund managers to reallocate assets as market
conditions change. The Fund's managers will continue to seek opportunities in
bonds and cash, if warranted by market conditions, or to help protect
investors against the higher risks of equity holdings.
--------------------------------------------------------------------------------
(1) 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.
(2) 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 Advisor has committed through January 30, 2002,
to waive fees and/or reimburse expenses to the extent necessary to maintain a
certain net operating expense ratio for the Fund. Actual reductions of operating
expenses can increase total return to shareholders. Without these reductions,
the Fund's returns would have been lower.
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 and Norwest Advantage 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.
(3) The Lehman Brothers 20+ U.S. Treasury Bond Index is an unmanaged index
composed of securities in the U.S. Treasury Index with maturities of 20 years or
greater. The U.S. Treasury Index represents public obligations of the
U.S. Treasury with a remaining maturity of one year or more. You cannot invest
directly in an index.
8
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(2) (%) (AS OF SEPTEMBER 30, 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 (4.19) 12.63 18.18 16.18 (9.70) 6.17 16.78 15.49
CLASS B (4.50) 11.81 17.28 15.38 (9.28) 6.81 17.07 15.38
CLASS C (4.54) 11.76 17.30 15.39 (5.49) 10.76 17.30 15.39
BENCHMARK
LEHMAN BROTHERS 20+
U.S. TREASURY BOND
INDEX 3.34 10.12 7.63 10.28
S&P 500 INDEX (3.60) 13.28 21.69 19.44
</TABLE>
* RETURNS FOR PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED.
CHARACTERISTICS
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA* 0.98
AVERAGE MATURITY OF BOND PORTFOLIO 0.10 YEARS
AVERAGE DURATION OF BOND PORTFOLIO 0.10 YEARS
NUMBER OF HOLDINGS 502
PORTFOLIO TURNOVER 7%
</TABLE>
* A MEASURE OF THE FUND'S SENSITIVITY TO MARKET MOVEMENTS. THE BENCHMARK BETA
IS 1.00 BY DEFINITION.
TEN LARGEST HOLDINGS(4)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
GENERAL ELECTRIC COMPANY 4.46%
CISCO SYSTEMS INCORPORATED 3.05%
MICROSOFT CORPORATION 2.48%
EXXON MOBIL CORPORATION 2.43%
PFIZER INCORPORATED 2.21%
INTEL CORPORATION 2.18%
CITIGROUP INCORPORATED 1.90%
ORACLE CORPORATION 1.73%
AMERICAN INTERNATIONAL GROUP 1.73%
EMC CORPORATION 1.68%
</TABLE>
ACTUAL ASSET ALLOCATION(5)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
STOCKS 100%
</TABLE>
STRATEGIC ALLOCATION(5)
----------------------------------------------
<TABLE>
<S> <C>
STOCKS 100%
</TABLE>
SECTOR DISTRIBUTION(5)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Technology 30%
Financial 18%
Health Care 11%
Energy 6%
Consumer Non-Cyclical 6%
Consumer Cyclical 6%
Telecommunications 6%
Consumer Services 5%
Basic Materials 4%
Industrials 3%
Utilities 2%
Commercial Services 2%
Transportation 1%
</TABLE>
GROWTH OF $10,000 INVESTMENT(6)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LEHMAN BROTHERS
WELLS FARGO 20+
INDEX ALLOCATION U.S. TREASURY S&P 500 INDEX
FUND - CLASS A BOND INDEX
<S> <C> <C> <C>
09/90 $9,425 $10,000 $10,000
10/90 $9,514 $10,235 $9,957
11/90 $9,784 $10,687 $10,601
12/90 $9,915 $10,905 $10,896
01/91 $10,153 $11,038 $11,371
02/91 $10,345 $11,084 $12,184
03/91 $10,432 $11,121 $12,479
04/91 $10,526 $11,268 $12,509
05/91 $10,643 $11,246 $13,048
06/91 $10,409 $11,144 $12,451
07/91 $10,663 $11,322 $13,031
08/91 $11,009 $11,728 $13,340
09/91 $11,148 $12,106 $13,117
10/91 $11,225 $12,114 $13,293
11/91 $11,055 $12,163 $12,757
12/91 $11,966 $12,926 $14,216
01/92 $11,637 $12,514 $13,952
02/92 $11,709 $12,582 $14,132
03/92 $11,540 $12,440 $13,857
04/92 $11,664 $12,412 $14,264
05/92 $11,860 $12,771 $14,334
06/92 $11,877 $12,936 $14,121
07/92 $12,358 $13,498 $14,698
08/92 $12,285 $13,579 $14,397
09/92 $12,452 $13,778 $14,566
10/92 $12,368 $13,487 $14,616
11/92 $12,643 $13,562 $15,114
12/92 $12,856 $13,951 $15,299
01/93 $13,069 $14,338 $15,427
02/93 $13,406 $14,839 $15,637
03/93 $13,606 $14,870 $15,967
04/93 $13,380 $14,978 $15,581
05/93 $13,629 $15,045 $15,998
06/93 $13,803 $15,708 $16,045
07/93 $13,825 $16,011 $15,981
08/93 $14,315 $16,704 $16,587
09/93 $14,197 $16,744 $16,460
10/93 $14,460 $16,882 $16,800
11/93 $14,312 $16,426 $16,640
12/93 $14,468 $16,463 $16,841
01/94 $14,930 $16,874 $17,414
02/94 $14,516 $16,142 $16,941
03/94 $13,943 $15,405 $16,203
04/94 $14,029 $15,214 $16,410
05/94 $14,163 $15,089 $16,680
06/94 $13,855 $14,932 $16,271
07/94 $14,285 $15,485 $16,805
08/94 $14,703 $15,332 $17,494
09/94 $14,306 $14,809 $17,067
10/94 $14,442 $14,761 $17,450
11/94 $14,157 $14,865 $16,814
12/94 $14,369 $15,111 $17,064
01/95 $14,719 $15,522 $17,506
02/95 $15,217 $15,957 $18,188
03/95 $15,553 $16,108 $18,723
04/95 $15,933 $16,399 $19,274
05/95 $16,666 $17,750 $20,043
06/95 $17,048 $17,965 $20,508
07/95 $17,580 $17,646 $21,188
08/95 $17,608 $18,069 $21,241
09/95 $18,316 $18,426 $22,137
10/95 $18,234 $18,979 $22,058
11/95 $19,001 $19,473 $23,025
12/95 $19,356 $20,034 $23,469
01/96 $19,946 $20,011 $24,267
02/96 $20,101 $18,949 $24,493
03/96 $20,277 $18,540 $24,728
04/96 $20,475 $18,211 $25,091
05/96 $20,757 $18,114 $25,736
06/96 $20,905 $18,519 $25,834
07/96 $20,253 $18,518 $24,692
08/96 $20,381 $18,253 $25,213
09/96 $21,258 $18,785 $26,630
10/96 $21,900 $19,572 $27,365
11/96 $23,170 $20,271 $29,431
12/96 $22,654 $19,742 $28,848
01/97 $23,658 $19,565 $30,648
02/97 $23,756 $19,569 $30,891
03/97 $22,920 $19,031 $29,624
04/97 $23,897 $19,515 $31,390
05/97 $24,842 $19,741 $33,308
06/97 $25,716 $20,154 $34,790
07/97 $27,585 $21,446 $37,556
08/97 $26,224 $20,784 $35,452
09/97 $27,447 $21,400 $37,392
10/97 $26,756 $22,187 $36,143
11/97 $27,908 $22,536 $37,816
12/97 $28,358 $22,935 $38,467
01/98 $28,633 $23,417 $38,890
02/98 $30,625 $23,230 $41,694
03/98 $32,110 $23,276 $43,828
04/98 $32,384 $23,354 $44,276
05/98 $31,799 $23,848 $43,514
06/98 $33,045 $24,476 $45,281
07/98 $32,678 $24,337 $44,801
08/98 $27,955 $25,527 $38,327
09/98 $29,699 $26,467 $40,784
10/98 $32,099 $26,017 $44,095
11/98 $34,005 $26,257 $46,768
12/98 $35,891 $26,196 $49,517
01/99 $37,335 $26,445 $51,587
02/99 $36,157 $25,032 $53,192
03/99 $37,554 $24,921 $55,319
04/99 $38,979 $24,942 $57,460
05/99 $38,029 $24,545 $56,104
06/99 $40,076 $24,245 $59,156
07/99 $38,803 $24,107 $57,309
08/99 $38,575 $23,993 $57,026
09/99 $37,487 $24,167 $55,463
10/99 $39,826 $24,170 $58,973
11/99 $40,586 $23,986 $60,171
12/99 $42,911 $23,561 $63,715
01/00 $40,849 $23,972 $60,516
02/00 $40,181 $24,823 $59,372
03/00 $44,069 $25,752 $65,179
04/00 $42,714 $25,670 $63,217
05/00 $41,791 $25,541 $61,921
06/00 $42,773 $26,095 $63,451
07/00 $42,066 $26,612 $62,461
08/00 $44,619 $27,261 $66,340
09/00 $42,223 $26,795 $62,837
</TABLE>
--------------------------------------------------------------------------------
(4) The ten largest holdings are calculated based on the market value of the
securities divided by total market value of the portfolio.
(5) Portfolio holdings are subject to change.
(6) The chart compares the performance of the Wells Fargo Index Allocation Fund
Class A shares since inception with the S&P 500 Index and the Lehman Brothers
20+ U.S. Treasury Bond Index. 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 Moderate Balanced Fund (the Fund) seeks to provide a combination of
current income and capital appreciation by diversifying investments in stocks,
bonds and other fixed-income securities.
ADVISOR
Wells Fargo Bank, N.A.
SUB-ADVISORS
Wells Capital Management Incorporated
Peregrine Capital Management
Smith Asset Management Group
Schroder Investment Management North America
Galliard Capital Management
FUND MANAGERS
Collectively Managed
INCEPTION DATE
04/30/89
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
The Fund's Institutional Class shares returned 11.98%(1) for the one-year
period ended September 30, 2000. The Fund underperformed its benchmark, the
S&P 500 Index(2) and outperformed the Lehman Brothers Aggregate Bond Index(3),
which returned 13.28% and 6.99%, respectively, during the period. The Fund's
Institutional Class shares distributed $0.83 per share in dividend income and
$1.25 per share in capital gains during the period. Please keep in mind that
past performance is no guarantee of future results.
The Fund employs a proprietary investment strategy called the Tactical Asset
Allocation Model, which seeks to enhance the Fund's performance by shifting
assets toward stocks or bonds when a compelling valuation differential exists
between the two markets.
Based on this model, the Fund overweighted bonds (relative to its neutral
40/60 stock/bond allocation) beginning on November 29, 1999, when the model
hit a trigger point that prompted the managers to shift 10% of assets from
stocks to bonds.
To implement tactical asset allocations such as this, the Fund managers use
futures to keep the Fund's underlying assets near a long-term strategic
allocation of 40% stocks and 60% bonds. Currently the Fund has a long position
in 30-year Treasury bond futures and is short S&P 500 Index futures.
Incorporating this futures overlay, the Fund had an effective asset allocation
of 28.3% in stocks and 71.7% in bonds as of September 30, 2000.
With bonds outperforming stocks during 2000, this positioning helped the Fund
outperform its weighted composite benchmark.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
The U.S. economy appears to be slowing, a trend that historically has led
investors to favor defensive old-line and interest rate sensitive areas of the
stock market. The Fund will return to its neutral 40/60 stock/ bond allocation
when the respective market valuations move back into a more normal alignment.
--------------------------------------------------------------------------------
(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 Advisor has committed through January 30, 2002,
to waive fees and/or reimburse expenses to the extent necessary to maintain a
certain net operating expense ratio for the Fund. Actual reductions of operating
expenses can increase total return to shareholders. Without these reductions,
the Fund's returns would have been lower.
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 Stagecoach and 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. Wells Fargo
Bank Minnesota, N.A. (WFB MN), formerly 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 Fund's performance results.
Institutional Class shares are sold without sales charges.
(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.
You cannot invest directly in an index.
(3) The Fund changed its benchmark to the Lehman Brothers Aggregate Bond Index
because it is more representative of the Fund's average portfolio maturity and
holdings. The Lehman Brothers Aggregate Bond Index is composed of the Lehman
Brothers Government/Credit Index and the Mortgage-Backed Securities Index and
includes Treasury issues, agency issues, corporate bond issues and
mortgage-backed securities. The Fund is a profesionally managed mutual fund. You
cannot invest directly in an index.
(4) The Lehman Brothers Intermediate Government/Credit 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 that 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.
(5) The ten largest holdings are calculated based on the market value of the
Core Trust portfolio securities allocable to the Fund divided by total market
value of the portfolio of investments of the Fund. See Notes to the Financial
Statements for a discussion of the Core Trust.
10
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%) (AS OF SEPTEMBER 30, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Excluding Sales Charge
-----------------------------------
6-Month* 1-Year 5-Year 10-Year
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS 2.06 11.98 11.99 11.57
BENCHMARK
LEHMAN BROTHERS AGGREGATE
BOND INDEX 4.81 6.99 6.47 8.05
LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT/CREDIT INDEX(4) 4.62 6.25 6.08 7.40
S&P 500 INDEX (3.60) 13.28 21.69 19.44
</TABLE>
* RETURNS FOR PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED.
DIVERSIFIED EQUITY STYLE CHARACTERISTICS
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA 0.92*
DIVIDEND YIELD 1.11%
PRICE TO EARNINGS RATIO (TRAILING 12 MO.) 29.9X
PRICE TO BOOK RATIO 5.6X
MEDIAN MARKET CAP ($B) 25.2
5-YEAR EARNINGS GROWTH (HISTORIC) 15.0%
NUMBER OF HOLDINGS 1416
PORTFOLIO TURNOVER 58%
</TABLE>
* A MEASURE OF THE FUND'S SENSITIVITY TO MARKET MOVEMENTS. THE BENCHMARK BETA
IS 1.00 BY DEFINITION.
DIVERSIFIED BOND STYLE CHARACTERISTICS
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
AVERAGE CREDIT QUALITY(6) AA
AVERAGE MATURITY 12.44 YEARS
DURATION 6.25 YEARS
SEC YIELD(7) AS OF 9/30/00 6.33%
</TABLE>
TEN LARGEST HOLDINGS(5)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
U.S. TREASURY BOND, 6.625%,
2/15/27 2.76%
U.S. TREASURY BOND, 6.125%,
11/15/27 2.73%
U.S. TREASURY BOND, 6.375%,
8/15/27 2.13%
GNMA TBA 8.00% 1.97%
U.S. TREASURY BOND, 6.75%,
8/15/26 1.39%
FNMA 1.39%
U.S. TREASURY BOND, 5.25%,
11/15/28 1.36%
U.S. TREASURY BOND, 5.50%,
8/15/28 1.31%
FNMA TBA 1.12%
PFIZER INCORPORATED 0.89%
</TABLE>
STRATEGIC ALLOCATION(8)
----------------------------------------------
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>
ACTUAL ASSET ALLOCATION(8)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Stocks 28.3%
Bonds 71.7%
</TABLE>
GROWTH OF $10,000 INVESTMENT(9)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO LEHMAN BROTHERS LEHMAN BROTHERS
MODERATE BALANCED FUND - INTERMEDIATE GOVERNMENT/ AGGREGATE
INSTITUTIONAL CLASS S&P 500 INDEX CREDIT INDEX BOND INDEX
<S> <C> <C> <C> <C>
09/90 $10,000 $10,000 $10,000 $10,000
10/90 $10,064 $9,957 $10,116 $10,127
11/90 $10,345 $10,601 $10,270 $10,345
12/90 $10,520 $10,896 $10,410 $10,506
01/91 $10,827 $11,371 $10,517 $10,636
02/91 $11,198 $12,184 $10,601 $10,727
03/91 $11,374 $12,479 $10,673 $10,801
04/91 $11,416 $12,509 $10,789 $10,917
05/91 $11,674 $13,048 $10,855 $10,981
06/91 $11,449 $12,451 $10,863 $10,975
07/91 $11,755 $13,031 $10,984 $11,128
08/91 $11,984 $13,340 $11,194 $11,368
09/91 $12,037 $13,117 $11,387 $11,599
10/91 $12,209 $13,293 $11,516 $11,728
11/91 $12,102 $12,757 $11,649 $11,836
12/91 $12,710 $14,216 $11,933 $12,187
01/92 $12,671 $13,952 $11,824 $12,021
02/92 $12,713 $14,132 $11,871 $12,100
03/92 $12,593 $13,857 $11,824 $12,031
04/92 $12,705 $14,264 $11,928 $12,118
05/92 $12,856 $14,334 $12,113 $12,347
06/92 $12,824 $14,121 $12,293 $12,517
07/92 $12,967 $14,698 $12,537 $12,772
08/92 $12,949 $14,397 $12,663 $12,902
09/92 $13,090 $14,566 $12,835 $13,055
10/92 $13,077 $14,616 $12,668 $12,881
11/92 $13,339 $15,114 $12,620 $12,884
12/92 $13,477 $15,299 $12,789 $13,089
01/93 $13,514 $15,427 $13,037 $13,340
02/93 $13,519 $15,637 $13,243 $13,574
03/93 $13,770 $15,967 $13,296 $13,630
04/93 $13,681 $15,581 $13,402 $13,725
05/93 $13,884 $15,998 $13,373 $13,743
06/93 $13,957 $16,045 $13,583 $13,992
07/93 $14,027 $15,981 $13,615 $14,071
08/93 $14,413 $16,587 $13,832 $14,318
09/93 $14,480 $16,460 $13,889 $14,357
10/93 $14,608 $16,800 $13,926 $14,410
11/93 $14,430 $16,640 $13,848 $14,288
12/93 $14,670 $16,841 $13,912 $14,365
01/94 $14,961 $17,414 $14,066 $14,559
02/94 $14,741 $16,941 $13,858 $14,306
03/94 $14,370 $16,203 $13,629 $13,954
04/94 $14,429 $16,410 $13,537 $13,842
05/94 $14,472 $16,680 $13,546 $13,840
06/94 $14,276 $16,271 $13,547 $13,810
07/94 $14,555 $16,805 $13,743 $14,084
08/94 $14,877 $17,494 $13,785 $14,101
09/94 $14,729 $17,067 $13,658 $13,894
10/94 $14,806 $17,450 $13,657 $13,881
11/94 $14,613 $16,814 $13,596 $13,851
12/94 $14,732 $17,064 $13,643 $13,946
01/95 $14,852 $17,506 $13,872 $14,223
02/95 $15,125 $18,188 $14,159 $14,561
03/95 $15,347 $18,723 $14,240 $14,650
04/95 $15,561 $19,274 $14,417 $14,855
05/95 $15,928 $20,043 $14,852 $15,429
06/95 $16,218 $20,508 $14,952 $15,543
07/95 $16,551 $21,188 $14,953 $15,508
08/95 $16,628 $21,241 $15,089 $15,695
09/95 $16,961 $22,137 $15,198 $15,848
10/95 $16,944 $22,058 $15,367 $16,054
11/95 $17,269 $23,025 $15,568 $16,294
12/95 $17,437 $23,469 $15,731 $16,523
01/96 $17,678 $24,267 $15,867 $16,633
02/96 $17,669 $24,493 $15,681 $16,343
03/96 $17,750 $24,728 $15,601 $16,230
04/96 $17,947 $25,091 $15,546 $16,139
05/96 $18,135 $25,736 $15,534 $16,106
06/96 $18,188 $25,834 $15,699 $16,322
07/96 $17,830 $24,692 $15,746 $16,367
08/96 $18,000 $25,213 $15,758 $16,340
09/96 $18,510 $26,630 $15,977 $16,624
10/96 $18,698 $27,365 $16,260 $16,992
11/96 $19,307 $29,431 $16,475 $17,284
12/96 $19,199 $28,848 $16,369 $17,123
01/97 $19,632 $30,648 $16,433 $17,175
02/97 $19,651 $30,891 $16,464 $17,218
03/97 $19,227 $29,624 $16,351 $17,027
04/97 $19,698 $31,390 $16,544 $17,282
05/97 $20,319 $33,308 $16,681 $17,445
06/97 $20,827 $34,790 $16,833 $17,653
07/97 $21,768 $37,556 $17,175 $18,128
08/97 $21,138 $35,452 $17,089 $17,974
09/97 $21,853 $37,392 $17,287 $18,239
10/97 $21,702 $36,143 $17,479 $18,504
11/97 $21,994 $37,816 $17,517 $18,589
12/97 $22,271 $38,467 $17,657 $18,776
01/98 $22,561 $38,890 $17,889 $19,017
02/98 $23,203 $41,694 $17,874 $19,003
03/98 $23,668 $43,828 $17,932 $19,068
04/98 $23,875 $44,276 $18,021 $19,168
05/98 $23,782 $43,514 $18,153 $19,349
06/98 $24,258 $45,281 $18,269 $19,513
07/98 $24,072 $44,801 $18,333 $19,555
08/98 $22,840 $38,327 $18,621 $19,873
09/98 $23,596 $40,784 $19,088 $20,338
10/98 $24,362 $44,099 $19,069 $20,231
11/98 $25,169 $46,772 $19,067 $20,346
12/98 $26,000 $49,466 $19,143 $20,407
01/99 $26,497 $51,548 $19,249 $20,553
02/99 $25,901 $49,940 $18,966 $20,194
03/99 $26,386 $51,938 $19,108 $20,306
04/99 $26,894 $53,948 $19,167 $20,370
05/99 $26,640 $52,675 $19,020 $20,192
06/99 $27,203 $55,540 $19,033 $20,127
07/99 $26,971 $53,806 $19,016 $20,042
08/99 $26,850 $53,540 $19,031 $20,031
09/99 $26,684 $52,072 $19,208 $20,264
10/99 $27,214 $55,368 $19,258 $20,339
11/99 $27,600 $56,492 $19,281 $20,337
12/99 $28,087 $59,820 $19,217 $20,239
01/00 $27,823 $56,817 $19,146 $20,173
02/00 $28,220 $55,743 $19,303 $20,417
03/00 $29,279 $61,195 $19,504 $20,686
04/00 $28,990 $59,353 $19,459 $20,627
05/00 $28,749 $58,136 $19,490 $20,617
06/00 $29,387 $59,572 $19,833 $21,046
07/00 $29,483 $58,643 $19,984 $21,238
08/00 $30,229 $62,284 $20,220 $21,546
09/00 $29,880 $58,996 $20,404 $21,681
</TABLE>
--------------------------------------------------------------------------------
(6) The average credit quality 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, the
Lehman Brothers Aggregate Bond Index and the Lehman Brothers Intermediate
Government/Credit 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 Strategic Income Fund (the Fund) seeks to provide a combination of current
income and capital appreciation by diversifying investments in bonds, other
fixed-income investments and stocks.
ADVISOR
Wells Fargo Bank, N.A.
SUB-ADVISORS
Wells Capital Management Incorporated
Peregrine Capital Management
Smith Asset Management Group
Schroder Investment Management North America
Galliard Capital Management
FUND MANAGERS
Collectively Managed
INCEPTION DATE
04/30/89
PERFORMANCE HIGHLIGHTS
--------------------------------------------------------------------------------
The Fund's Institutional Class shares returned 9.52%(1) for the one-year
period ended September 30, 2000. The Fund outperformed its benchmark, the
Lehman Brothers Aggregate Bond Index(2), which returned 6.99%, but
underperformed the S&P 500 Index(3), which returned 13.28% for the period. The
Fund's Institutional Class shares distributed $0.88 per share in dividend
income and $0.55 per share in capital gains during the period. Please keep in
mind that past performance is no guarantee of future results.
The Fund employs a proprietary investment strategy called the Tactical Asset
Allocation Model, which seeks to enhance the Fund's performance by shifting
assets toward stocks or bonds when a compelling valuation differential exists
between the two markets.
Based on this model, the Fund overweighted bonds (relative to its neutral
20/80 stock/bond allocation) beginning on November 29, 1999, when the model
hit a "trigger point" that prompted the managers to shift 5% of assets from
stocks to bonds.
To implement tactical asset allocations such as this, the managers use
futures to keep the Fund's underlying assets near its long-term strategic
allocation of 20% stocks and 80% bonds. Currently the Fund has a long position
in 30-year Treasury bond futures and is short S&P 500 Index futures.
Incorporating this futures overlay, the Fund had an effective asset allocation
of 14.3% in stocks and 85.7% in bonds as of September 30, 2000.
With bonds outperforming stocks during the third quarter of 2000, the
tactical asset allocation positioning helped the Fund outperform its weighted
composite benchmark.
STRATEGIC OUTLOOK
--------------------------------------------------------------------------------
The Fund's managers believe that the U.S. economy is indeed slowing, a trend
that historically has led investors to favor defensive old-line and interest
rate sensitive areas of the stock market. The Fund will return to its neutral
20/80 stock/bond allocation when the respective market valuations move back
into a more normal alignment.
--------------------------------------------------------------------------------
(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 Advisor has committed through January 30, 2002,
to waive fees and/or reimburse expenses to the extent necessary to maintain a
certain net operating expense ratio for the Fund. Actual reductions of operating
expenses can increase total return to shareholders. Without these reductions,
the Fund's returns would have been lower.
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 Stagecoach and Norwest Advantage Funds were reorganized
into the Wells Fargo Funds. Institutional Class shares are sold without sales
charges.
(2) The Fund changed its benchmark to the Lehman Brothers Aggregate Bond Index
because it is more representative of the Fund's average portfolio maturity and
holdings. The Lehman Brothers Aggregate Bond Index is composed of the Lehman
Brothers Government/Credit Index and the Mortgage-Backed Securities Index and
includes Treasury issues, agency issues, corporate bond issues and
mortgage-backed securities. The Fund is a profesionally managed mutual fund. You
cannot invest directly in an index.
(3) 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.
(4) The Lehman Brothers Intermediate Government/Credit 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 that 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.
12
<PAGE>
PERFORMANCE HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1) (%)(AS OF SEPTEMBER 30, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Excluding Sales Charge
-----------------------------------
6-Month* 1-Year 5-Year 10-Year
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS 2.77 9.52 9.44 9.44
BENCHMARKS
LEHMAN BROTHERS AGGREGATE
BOND INDEX 4.81 6.99 6.47 8.05
LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT/CREDIT INDEX(4) 4.62 6.25 6.08 7.40
S&P 500 INDEX (3.60) 13.28 21.69 19.44
</TABLE>
* RETURNS FOR PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED.
DIVERSIFIED EQUITY STYLE CHARACTERISTICS
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
BETA 0.92*
DIVIDEND YIELD 1.11%
PRICE TO EARNINGS RATIO (TRAILING 12 MO.) 29.9X
PRICE TO BOOK RATIO 5.6X
MEDIAN MARKET CAP ($B) 25.2
5 YEAR EARNINGS GROWTH (HISTORIC) 15.0%
NUMBER OF HOLDINGS 1416
PORTFOLIO TURNOVER 62%
</TABLE>
* A MEASURE OF THE FUND'S SENSITIVITY TO MARKET MOVEMENTS. THE BENCHMARK BETA
IS 1.00 BY DEFINITION.
TEN LARGEST HOLDINGS(5)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
U.S. TREASURY BOND, 6.625%,
2/15/27 3.35%
U.S. TREASURY BOND, 6.125%,
11/15/27 3.32%
U.S. TREASURY BOND, 6.375%,
8/15/27 2.59%
GNMA TBA 8.00% 2.39%
U.S. TREASURY BOND, 6.75%,
8/15/26 1.70%
FNMA 1.69%
U.S. TREASURY BOND, 5.25%,
11/15/28 1.66%
U.S. TREASURY BOND, 5.50%,
8/15/28 1.59%
FNMA 1.36%
FNMA 1.04%
</TABLE>
DIVERSIFIED BOND STYLE CHARACTERISTICS
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
AVERAGE CREDIT QUALITY(6) AA
AVERAGE MATURITY 12.44 YEARS
DURATION 6.25 YEARS
SEC YIELD(7) AS OF 9/30/00 6.33%
</TABLE>
ACTUAL ASSET ALLOCATION(8)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
<TABLE>
<S> <C>
STOCKS 14.3%
BONDS 85.7%
</TABLE>
STRATEGIC ALLOCATION(8)
----------------------------------------------
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)
(AS OF SEPTEMBER 30, 2000)
----------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WELLS FARGO LEHMAN BROTHERS LEHMAN BROTHERS
STRATEGIC INCOME INTERMEDIATE GOVERNMENT/ AGGREGATE
FUND - INSTITUTIONAL CLASS S&P 500 INDEX CREDIT INDEX BOND INDEX
<S> <C> <C> <C> <C>
09/90 $10,000 $10,000 $10,000 $10,000
10/90 $10,066 $9,957 $10,116 $10,127
11/90 $10,285 $10,601 $10,270 $10,345
12/90 $10,424 $10,896 $10,410 $10,506
01/91 $10,653 $11,371 $10,517 $10,636
02/91 $10,918 $12,184 $10,601 $10,727
03/91 $11,066 $12,479 $10,673 $10,801
04/91 $11,118 $12,509 $10,789 $10,917
05/91 $11,306 $13,048 $10,855 $10,981
06/91 $11,175 $12,451 $10,863 $10,975
07/91 $11,400 $13,031 $10,984 $11,128
08/91 $11,591 $13,340 $11,194 $11,368
09/91 $11,661 $13,117 $11,387 $11,599
10/91 $11,802 $13,293 $11,516 $11,728
11/91 $11,758 $12,757 $11,649 $11,836
12/91 $12,186 $14,216 $11,933 $12,187
01/92 $12,168 $13,952 $11,824 $12,021
02/92 $12,214 $14,132 $11,871 $12,100
03/92 $12,146 $13,857 $11,824 $12,031
04/92 $12,241 $14,264 $11,928 $12,118
05/92 $12,373 $14,334 $12,113 $12,347
06/92 $12,400 $14,121 $12,293 $12,517
07/92 $12,482 $14,698 $12,537 $12,772
08/92 $12,505 $14,397 $12,663 $12,902
09/92 $12,637 $14,566 $12,835 $13,055
10/92 $12,612 $14,616 $12,668 $12,881
11/92 $12,802 $15,114 $12,620 $12,884
12/92 $12,923 $15,299 $12,789 $13,089
01/93 $12,963 $15,427 $13,037 $13,340
02/93 $12,986 $15,637 $13,243 $13,574
03/93 $13,170 $15,967 $13,296 $13,630
04/93 $13,134 $15,581 $13,402 $13,725
05/93 $13,272 $15,998 $13,373 $13,743
06/93 $13,361 $16,045 $13,583 $13,992
07/93 $13,422 $15,981 $13,615 $14,071
08/93 $13,723 $16,587 $13,832 $14,318
09/93 $13,786 $16,460 $13,889 $14,357
10/93 $13,883 $16,800 $13,926 $14,410
11/93 $13,753 $16,640 $13,848 $14,288
12/93 $13,926 $16,841 $13,912 $14,365
01/94 $14,147 $17,414 $14,066 $14,559
02/94 $13,974 $16,941 $13,858 $14,306
03/94 $13,730 $16,203 $13,629 $13,954
04/94 $13,763 $16,410 $13,537 $13,842
05/94 $13,781 $16,680 $13,546 $13,840
06/94 $13,682 $16,271 $13,547 $13,810
07/94 $13,881 $16,805 $13,743 $14,084
08/94 $14,065 $17,494 $13,785 $14,101
09/94 $13,974 $17,067 $13,658 $13,894
10/94 $14,022 $17,450 $13,657 $13,881
11/94 $13,908 $16,814 $13,596 $13,851
12/94 $13,994 $17,064 $13,643 $13,946
01/95 $14,124 $17,506 $13,872 $14,223
02/95 $14,348 $18,188 $14,159 $14,561
03/95 $14,512 $18,723 $14,240 $14,650
04/95 $14,676 $19,274 $14,417 $14,855
05/95 $14,995 $20,043 $14,852 $15,429
06/95 $15,185 $20,508 $14,952 $15,543
07/95 $15,366 $21,188 $14,953 $15,508
08/95 $15,461 $21,241 $15,089 $15,695
09/95 $15,694 $22,137 $15,198 $15,848
10/95 $15,711 $22,058 $15,367 $16,054
11/95 $15,953 $23,025 $15,568 $16,294
12/95 $16,108 $23,469 $15,731 $16,523
01/96 $16,272 $24,267 $15,867 $16,633
02/96 $16,227 $24,493 $15,681 $16,343
03/96 $16,281 $24,728 $15,601 $16,230
04/96 $16,391 $25,091 $15,546 $16,139
05/96 $16,518 $25,736 $15,534 $16,106
06/96 $16,582 $25,834 $15,699 $16,322
07/96 $16,382 $24,692 $15,746 $16,367
08/96 $16,500 $25,213 $15,758 $16,340
09/96 $16,856 $26,630 $15,977 $16,624
10/96 $17,038 $27,365 $16,260 $16,992
11/96 $17,466 $29,431 $16,475 $17,284
12/96 $17,396 $28,848 $16,369 $17,123
01/97 $17,641 $30,648 $16,433 $17,175
02/97 $17,651 $30,891 $16,464 $17,218
03/97 $17,366 $29,624 $16,351 $17,027
04/97 $17,700 $31,390 $16,544 $17,282
05/97 $18,101 $33,308 $16,681 $17,445
06/97 $18,445 $34,790 $16,833 $17,653
07/97 $19,131 $37,556 $17,175 $18,128
08/97 $18,719 $35,452 $17,089 $17,974
09/97 $19,209 $37,392 $17,287 $18,239
10/97 $19,297 $36,143 $17,479 $18,504
11/97 $19,483 $37,816 $17,517 $18,589
12/97 $19,698 $38,467 $17,657 $18,776
01/98 $19,951 $38,890 $17,889 $19,017
02/98 $20,237 $41,694 $17,874 $19,003
03/98 $20,479 $43,828 $17,932 $19,068
04/98 $20,617 $44,276 $18,021 $19,168
05/98 $20,659 $43,514 $18,153 $19,349
06/98 $20,976 $45,281 $18,269 $19,513
07/98 $20,902 $44,801 $18,333 $19,555
08/98 $20,522 $38,327 $18,621 $19,873
09/98 $21,050 $40,784 $19,088 $20,338
10/98 $21,335 $44,099 $19,069 $20,231
11/98 $21,747 $46,772 $19,067 $20,346
12/98 $22,147 $49,466 $19,143 $20,407
01/99 $22,417 $51,548 $19,249 $20,553
02/99 $22,002 $49,940 $18,966 $20,194
03/99 $22,271 $51,938 $19,108 $20,306
04/99 $22,540 $53,948 $19,167 $20,370
05/99 $22,405 $52,675 $19,020 $20,192
06/99 $22,630 $55,540 $19,033 $20,127
07/99 $22,540 $53,806 $19,016 $20,042
08/99 $22,484 $53,540 $19,031 $20,031
09/99 $22,495 $52,072 $19,208 $20,264
10/99 $22,742 $55,368 $19,258 $20,339
11/99 $22,921 $56,492 $19,281 $20,337
12/99 $23,130 $59,820 $19,217 $20,239
01/00 $23,034 $56,817 $19,146 $20,173
02/00 $23,359 $55,743 $19,303 $20,417
03/00 $23,974 $61,195 $19,504 $20,686
04/00 $23,805 $59,353 $19,459 $20,627
05/00 $23,685 $58,136 $19,490 $20,617
06/00 $24,155 $59,572 $19,833 $21,046
07/00 $24,300 $58,643 $19,984 $21,238
08/00 $24,758 $62,284 $20,220 $21,546
09/00 $24,637 $58,996 $20,404 $21,681
</TABLE>
--------------------------------------------------------------------------------
(5) The ten largest holdings are calculated based on the market value of the
Core Trust portfolio securities allocable to the Fund divided by total market
value of the portfolio of investments of the Fund. See Notes to the Financial
Statements for a discussion of the Core Trust.
(6) The average credit quality 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, the Lehman
Brothers Aggregate Bond Index and the Lehman Brothers Intermediate
Government/Credit 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 -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
AGGRESSIVE BALANCED-EQUITY FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
N/A WELLS FARGO DISCIPLINED GROWTH
PORTFOLIO $ 3,524,940
N/A WELLS FARGO INCOME EQUITY
PORTFOLIO 17,961,669
N/A WELLS FARGO INDEX PORTFOLIO 17,668,437
N/A WELLS FARGO INTERNATIONAL
EQUITY PORTFOLIO 4,598,717
N/A WELLS FARGO INTERNATIONAL
PORTFOLIO 6,042,330
N/A WELLS FARGO LARGE COMPANY
GROWTH PORTFOLIO 14,128,009
N/A WELLS FARGO MANAGED FIXED
INCOME PORTFOLIO 9,154,033
N/A WELLS FARGO POSITIVE RETURN
BOND PORTFOLIO 6,095,374
N/A WELLS FARGO SMALL CAP INDEX
PORTFOLIO 1,785,446
N/A WELLS FARGO SMALL CAP VALUE
PORTFOLIO 1,790,176
N/A WELLS FARGO SMALL COMPANY
GROWTH PORTFOLIO 1,782,063
N/A WELLS FARGO SMALL COMPANY
VALUE PORTFOLIO 1,803,156
N/A WELLS FARGO STRATEGIC VALUE
BOND PORTFOLIO 3,049,851
89,384,201
TOTAL INVESTMENTS IN CORE PORTFOLIOS
(98.94%) (COST $81,947,597)
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
U.S. TREASURY BILLS (0.84%)
$775,000 U.S. TREASURY BILLS 6.25%{::} 3/1/01 755,524
-----------
755,524
TOTAL U.S. TREASURY BILLS (COST $756,013)
-----------
90,139,725
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES (99.78%) (COST $82,703,610)
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES
(COST $82,703,610) 99.78% $90,139,725
OTHER ASSETS AND LIABILITIES, NET 0.22 194,603
------- -----------
TOTAL NET ASSETS 100.00% $90,334,328
------- -----------
</TABLE>
{::} YIELD TO MATURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
14
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 63.66%
AMUSEMENT & RECREATION SERVICES - 0.42%
11,728 HARRAH'S ENTERTAINMENT
INCORPORATED+ $ 322,520
199,215 WALT DISNEY COMPANY 7,619,974
7,942,494
--------------
APPAREL & ACCESSORY STORES - 0.24%
81,556 GAP INCORPORATED 1,641,315
31,256 KOHL'S CORPORATION+ 1,803,080
41,224 LIMITED INCORPORATED 909,505
12,910 NORDSTROM INCORPORATED 200,911
4,554,811
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS -
0.02%
5,262 LIZ CLAIBORNE INCORPORATED 202,587
10,931 V F CORPORATION 269,859
472,446
--------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.01%
12,846 AUTOZONE INCORPORATED+ 291,443
--------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.00%
5,751 RYDER SYSTEM INCORPORATED 106,034
--------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS - 0.02%
5,729 CENTEX CORPORATION 184,044
4,656 KAUFMAN & BROAD HOME
CORPORATION 125,421
3,970 PULTE CORPORATION 131,010
440,475
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS - 0.72%
221,804 HOME DEPOT INCORPORATED 11,769,475
36,667 LOWE'S COMPANIES INCORPORATED 1,645,432
15,720 SHERWIN-WILLIAMS COMPANY 336,014
13,750,921
--------------
BUSINESS SERVICES - 6.30%
11,461 ADOBE SYSTEMS INCORPORATED 1,779,320
220,228 AMERICA ONLINE INCORPORATED+ 11,837,255
5,630 AUTODESK INCORPORATED 142,861
60,129 AUTOMATIC DATA PROCESSING
INCORPORATED 4,021,127
23,432 BMC SOFTWARE INCORPORATED+ 448,137
17,526 CABLETRON SYSTEMS
INCORPORATED+ 514,826
69,121 CENDANT CORPORATION+ 751,691
13,934 CERIDIAN CORPORATION+ 391,023
17,756 CITRIX SYSTEMS INCORPORATED+ 356,230
56,423 COMPUTER ASSOCIATES
INTERNATIONAL INCORPORATED 1,421,154
16,093 COMPUTER SCIENCES CORPORATION+ 1,194,905
34,549 COMPUWARE CORPORATION+ 289,348
14,750 CONVERGYS CORPORATION+ 573,406
</TABLE>
15
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
BUSINESS SERVICES (continued)
6,983 DELUXE CORPORATION $ 141,842
12,446 ECOLAB INCORPORATED 448,834
44,636 ELECTRONIC DATA SYSTEMS
CORPORATION 1,852,394
13,532 EQUIFAX INCORPORATED 364,518
39,549 FIRST DATA CORPORATION 1,544,883
28,534 IMS HEALTH INCORPORATED 592,081
28,894 INTERPUBLIC GROUP OF COMPANIES
INCORPORATED 984,202
27,067 MCKESSON HBOC INCORPORATED 827,235
7,600 MERCURY INTERACTIVE
CORPORATION+ 1,191,300
503,931 MICROSOFT CORPORATION+ 30,361,843
9,095 NCR CORPORATION+ 343,905
31,649 NOVELL INCORPORATED+ 314,512
17,082 OMNICOM GROUP INCORPORATED 1,245,918
269,763 ORACLE CORPORATION+ 21,243,836
26,513 PARAMETRIC TECHNOLOGY COMPANY+ 289,986
26,460 PEOPLESOFT INCORPORATED+ 739,226
11,300 SAPIENT CORPORATION+ 459,769
38,700 SIEBEL SYSTEMS INCORPORATED+ 4,307,794
152,109 SUN MICROSYSTEMS INCORPORATED+ 17,758,726
29,870 UNISYS CORPORATION+ 336,038
37,507 VERITAS SOFTWARE CORPORATION+ 5,325,994
52,120 YAHOO! INCORPORATED+ 4,742,920
6,880 YOUNG & RUBICAM INCORPORATED 340,560
119,479,599
--------------
CHEMICALS & ALLIED PRODUCTS - 7.41%
148,511 ABBOTT LABORATORIES 7,063,554
21,948 AIR PRODUCTS AND CHEMICALS
INCORPORATED 790,128
5,379 ALBERTO CULVER COMPANY 154,982
11,036 ALZA CORPORATION+ 954,614
125,083 AMERICAN HOME PRODUCTS
CORPORATION 7,075,007
98,479 AMGEN INCORPORATED+ 6,876,604
22,771 AVON PRODUCTS INCORPORATED 930,765
14,259 BIOGEN INCORPORATED+ 869,799
188,721 BRISTOL-MYERS SQUIBB COMPANY 10,780,687
22,476 CLOROX COMPANY 889,207
55,268 COLGATE-PALMOLIVE COMPANY 2,608,650
64,868 DOW CHEMICAL COMPANY 1,617,646
100,366 E I DU PONT DE NEMOURS &
COMPANY 4,158,915
7,340 EASTMAN CHEMICAL COMPANY 271,121
108,288 ELI LILLY & COMPANY 8,784,864
2,914 FMC CORPORATION+ 195,420
100,123 GILLETTE COMPANY 3,091,298
5,252 GREAT LAKES CHEMICAL
CORPORATION 153,949
9,841 INTERNATIONAL FLAVORS &
FRAGRANCES INCORPORATED 179,598
133,374 JOHNSON & JOHNSON 12,528,820
20,000 MEDIMMUNE INCORPORATED+ 1,545,000
220,414 MERCK & COMPANY INCORPORATED 16,407,067
</TABLE>
16
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
603,506 PFIZER INCORPORATED $ 27,120,051
122,024 PHARMACIA CORPORATION 7,344,320
16,659 PPG INDUSTRIES INCORPORATED 661,154
15,132 PRAXAIR INCORPORATED 565,559
125,358 PROCTER & GAMBLE COMPANY 8,398,986
20,853 ROHM & HAAS COMPANY 606,040
140,389 SCHERING-PLOUGH CORPORATION 6,528,089
8,145 SIGMA ALDRICH 268,785
12,928 UNION CARBIDE CORPORATION 488,032
6,543 W R GRACE & COMPANY+ 44,983
9,753 WATSON PHARMACEUTICALS
INCORPORATED+ 632,726
140,586,420
--------------
COMMUNICATIONS - 4.45%
64,740 ADC TELECOMMUNICATIONS
INCORPORATED+ 1,740,899
30,196 ALLTEL CORPORATION 1,575,854
359,748 AT &T CORPORATION 10,567,594
180,235 BELLSOUTH CORPORATION 7,254,459
13,475 CENTURYTEL INCORPORATED 367,194
56,027 CLEAR CHANNEL COMMUNICATIONS
INCORPORATED+ 3,165,526
86,081 COMCAST CORPORATION CLASS A+ 3,523,940
84,572 GLOBAL CROSSING LIMITED+ 2,621,732
72,710 NEXTEL COMMUNICATIONS
INCORPORATED+ 3,399,193
156,560 QWEST COMMUNICATIONS
INTERNATIONAL INCORPORATED+ 7,524,665
325,011 SBC COMMUNICATIONS
INCORPORATED 16,250,550
84,064 SPRINT CORPORATION (FON GROUP) 2,464,126
87,783 SPRINT CORPORATION (PCS
GROUP)+ 3,077,891
260,847 VERIZON COMMUNICATIONS 12,634,777
274,550 WORLDCOM INCORPORATED+ 8,339,456
84,507,856
--------------
DEPOSITORY INSTITUTIONS - 4.72%
37,687 AMSOUTH BANCORP 471,088
157,746 BANK OF AMERICA CORPORATION+ 8,261,947
70,704 BANK OF NEW YORK COMPANY
INCORPORATED 3,963,843
109,986 BANK ONE CORPORATION 4,248,209
37,561 BB &T CORPORATION 1,131,525
21,053 CHARTER ONE FINANCIAL
INCORPORATED 513,155
124,908 CHASE MANHATTAN CORPORATION 5,769,188
431,025 CITIGROUP INCORPORATED 23,302,289
15,007 COMERICA INCORPORATED 876,972
44,531 FIFTH THIRD BANCORP 2,399,108
94,013 FIRST UNION CORPORATION 3,026,043
92,990 FIRSTAR CORPORATION 2,080,652
86,357 FLEETBOSTON FINANCIAL
CORPORATION 3,367,923
15,166 GOLDEN WEST FINANCIAL
CORPORATION 813,277
23,432 HUNTINGTON BANCSHARES
INCORPORATED 344,158
15,386 J P MORGAN & COMPANY
INCORPORATED 2,513,688
</TABLE>
17
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
DEPOSITORY INSTITUTIONS (continued)
41,663 KEYCORP $ 1,054,595
47,076 MELLON FINANCIAL CORPORATION 2,183,150
58,119 NATIONAL CITY CORPORATION 1,285,883
21,319 NORTHERN TRUST CORPORATION 1,894,726
13,178 OLD KENT FINANCIAL CORPORATION 381,338
27,880 PNC FINANCIAL SERVICES GROUP 1,812,200
21,135 REGIONS FINANCIAL CORPORATION 479,500
16,133 SOUTHTRUST CORPORATION 507,180
15,448 STATE STREET CORPORATION 2,008,240
16,899 SUMMIT BANCORP 583,016
29,048 SUNTRUST BANKS INCORPORATED 1,446,953
27,105 SYNOVUS FINANCIAL CORPORATION 574,287
72,080 US BANCORP 1,639,820
12,999 UNION PLANTERS CORPORATION 429,779
19,371 WACHOVIA CORPORATION 1,098,094
52,459 WASHINGTON MUTUAL INCORPORATED 2,088,524
154,967 WELLS FARGO & COMPANY# 7,118,797
89,669,147
--------------
EATING & DRINKING PLACES - 0.29%
11,852 DARDEN RESTAURANTS
INCORPORATED 246,670
127,721 MCDONALD'S CORPORATION 3,855,578
17,650 STARBUCKS CORPORATION+ 707,103
14,161 TRICON GLOBAL RESTAURANTS
INCORPORATED+ 433,681
10,919 WENDY'S INTERNATIONAL
INCORPORATED 219,062
5,462,094
--------------
ELECTRIC, GAS & SANITARY SERVICES - 1.74
43,836 AES CORPORATION+ 3,002,766
18,081 ALLIED WASTE INDUSTRIES
INCORPORATED+ 166,119
13,158 AMEREN CORPORATION 550,991
30,826 AMERICAN ELECTRIC POWER
COMPANY INCORPORATED 1,206,067
15,282 CINERGY CORPORATION 505,261
10,534 CMS ENERGY CORPORATION 283,760
7,716 COLUMBIA ENERGY GROUP 547,836
20,373 CONSOLIDATED EDISON
INCORPORATED 695,229
14,386 CONSTELLATION ENERGY GROUP 715,704
15,313 CP &L ENERGY INCORPORATED 638,361
22,789 DOMINION RESOURCE INCORPORATED 1,323,204
13,694 DTE ENERGY COMPANY 523,796
35,217 DUKE ENERGY CORPORATION 3,019,858
2,607 EASTERN ENTERPRISES 166,359
31,821 EDISON INTERNATIONAL 614,543
22,169 EL PASO ENERGY CORPORATION 1,366,165
22,034 ENTERGY CORPORATION 820,767
22,122 FIRSTENERGY CORPORATION 595,911
9,457 FLORIDA PROGRESS CORPORATION 500,630
17,122 FPL GROUP INCORPORATED 1,125,772
</TABLE>
18
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRIC, GAS & SANITARY SERVICES (continued)
11,634 GPU INCORPORATED $ 377,378
12,800 KEYSPAN CORPORATION 513,600
16,577 NIAGARA MOHAWK HOLDINGS
INCORPORATED+ 261,088
4,481 NICOR INCORPORATED 162,156
2,829 ONEOK INCORPORATED 112,452
16,300 PECO ENERGY COMPANY 987,168
3,431 PEOPLE'S ENERGY CORPORATION 114,509
36,935 PG &E CORPORATION 893,365
8,100 PINNACLE WEST CAPITAL
CORPORATION 412,087
13,857 PPL CORPORATION 578,530
20,714 PUBLIC SERVICE ENTERPRISE
GROUP INCORPORATED 925,657
28,386 RELIANT ENERGY INCORPORATED 1,319,949
19,571 SEMPRA ENERGY 407,321
62,238 SOUTHERN COMPANY 2,018,845
25,304 TXU CORPORATION 1,002,671
17,000 UNICOM CORPORATION 955,188
59,536 WASTE MANAGEMENT INCORPORATED 1,038,159
42,401 WILLIAMS COMPANIES
INCORPORATED 1,791,442
32,341 XCEL ENERGY INCORPORATED 889,378
33,130,042
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 9.09%
9,933 ADAPTEC INCORPORATED+ 198,660
29,348 ADVANCED MICRO DEVICES
INCORPORATED+ 693,347
38,200 ALTERA CORPORATION+ 1,824,050
18,550 AMERICAN POWER CONVERSION
CORPORATION+ 355,928
33,897 ANALOG DEVICES INCORPORATED+ 2,798,621
7,701 ANDREW CORPORATION+ 201,670
20,800 BROADCOM CORPORATION+ 5,070,000
20,809 CONEXANT SYSTEMS INCORPORATED+ 871,377
8,894 COOPER INDUSTRIES INCORPORATED 313,514
6,931 EATON CORPORATION 427,123
40,961 EMERSON ELECTRIC COMPANY 2,744,387
948,198 GENERAL ELECTRIC COMPANY 54,699,172
642,204 INTEL CORPORATION 26,731,742
89,300 JDS UNIPHASE CORPORATION+ 8,455,594
29,867 LINEAR TECHNOLOGY CORPORATION 1,933,888
29,484 LSI LOGIC CORPORATION+ 862,407
316,375 LUCENT TECHNOLOGIES
INCORPORATED 9,669,210
27,150 MAXIM INTEGRATED PRODUCTS
INCORPORATED+ 2,183,878
7,472 MAYTAG CORPORATION 232,099
53,228 MICRON TECHNOLOGY
INCORPORATED+ 2,448,488
18,762 MOLEX INCORPORATED 1,021,356
206,394 MOTOROLA INCORPORATED 5,830,631
16,976 NATIONAL SEMICONDUCTOR
CORPORATION+ 683,284
3,956 NATIONAL SERVICE INDUSTRIES 77,389
29,171 NETWORK APPLIANCE
INCORPORATED+ 3,715,656
284,132 NORTEL NETWORKS CORPORATION 16,923,612
</TABLE>
19
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (continued)
12,550 NOVELLUS SYSTEMS INCORPORATED+ $ 584,359
71,038 QUALCOMM INCORPORATED+ 5,061,458
32,545 RAYTHEON COMPANY CLASS B 925,498
14,250 SANMINA CORPORATION+ 1,334,156
15,308 SCIENTIFIC-ATLANTA
INCORPORATED 973,972
39,219 TELLABS INCORPORATED+ 1,872,707
165,316 TEXAS INSTRUMENTS INCORPORATED 7,800,849
5,525 THOMAS & BETTS CORPORATION 96,342
6,987 WHIRLPOOL CORPORATION 271,620
30,784 XILINK INCORPORATED+ 2,635,880
172,523,924
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 0.28%
15,545 DUN & BRADSTREET CORPORATION 535,330
7,367 FLUOR CORPORATION 221,010
42,548 HALLIBURTON COMPANY 2,082,193
35,605 PAYCHEX INCORPORATED 1,869,263
4,703 PERKINELMER INCORPORATED 490,876
11,026 QUINTILES TRANSNATIONAL
CORPORATION+ 175,727
5,374,399
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT -
0.26%
2,893 BALL CORPORATION 91,672
5,768 CRANE COMPANY 131,943
12,270 CROWN CORK & SEAL COMPANY
INCORPORATED 131,136
15,196 FORTUNE BRANDS INCORPORATED 402,694
28,960 ILLINOIS TOOL WORKS
INCORPORATED 1,618,140
41,047 LOCKHEED MARTIN CORPORATION 1,352,909
42,979 MASCO CORPORATION 800,484
5,588 SNAP-ON INCORPORATED 131,667
8,451 STANLEY WORKS 194,901
4,855,546
--------------
FOOD & KINDRED PRODUCTS - 2.27%
3,553 ADOLPH COORS COMPANY 224,505
86,728 ANHEUSER-BUSCH COMPANIES
INCORPORATED 3,669,678
60,625 ARCHER DANIELS MIDLAND COMPANY 522,890
26,358 BESTFOODS INCORPORATED 1,917,545
6,601 BROWN-FORMAN CORPORATION 361,405
40,472 CAMPBELL SOUP COMPANY 1,047,213
237,341 COCA-COLA COMPANY 13,083,423
40,345 COCA-COLA ENTERPRISES
INCORPORATED 642,998
51,114 CONAGRA FOODS INCORPORATED 1,025,475
27,967 GENERAL MILLS INCORPORATED 992,829
33,741 H J HEINZ COMPANY 1,250,526
10,272 HERCULES INCORPORATED 145,092
13,162 HERSHEY FOODS CORPORATION 712,393
38,929 KELLOGG COMPANY 941,595
</TABLE>
20
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
FOOD & KINDRED PRODUCTS (continued)
31,267 NABISCO GROUP HOLDINGS
CORPORATION $ 891,109
138,123 PEPSICO INCORPORATED 6,353,658
12,554 QUAKER OATS COMPANY 993,335
29,466 RALSTON PURINA GROUP 697,976
83,402 SARA LEE CORPORATION 1,694,103
41,815 SEAGRAM COMPANY LIMITED 2,401,749
54,757 UNILEVER NV ADR 2,642,025
10,948 WM WRIGLEY JR COMPANY 819,732
43,031,254
--------------
FOOD STORES - 0.15%
40,653 ALBERTSON'S INCORPORATED 853,713
80,016 KROGER COMPANY+ 1,805,361
13,886 WINN-DIXIE STORES INCORPORATED 199,611
2,858,685
--------------
FURNITURE & FIXTURES - 0.02%
18,812 LEGGETT & PLATT 297,465
--------------
GENERAL MERCHANDISE STORES - 1.43%
10,619 CONSOLIDATED STORES
CORPORATION+ 143,356
9,027 DILLARDS INCORPORATED 95,912
31,540 DOLLAR GENERAL CORPORATION 528,295
20,506 FEDERATED DEPARTMENT STORES
INCORPORATED+ 535,719
25,017 J C PENNEY COMPANY
INCORPORATED 295,513
46,095 KMART CORPORATION+ 276,570
31,926 MAY DEPARTMENT STORES COMPANY 654,483
33,783 SEARS ROEBUCK & COMPANY 1,095,245
87,398 TARGET CORPORATION 2,239,574
28,717 TJX COMPANIES INCORPORATED 646,133
427,343 WAL-MART STORES INCORPORATED 20,565,882
27,076,682
--------------
HEALTH SERVICES - 0.19%
53,421 HCA - THE HEALTHCARE COMPANY 1,983,254
36,884 HEALTHSOUTH CORPORATION+ 299,683
9,802 MANOR CARE INCORPORATED+ 153,769
30,018 TENET HEALTHCARE CORPORATION 1,091,905
3,528,611
--------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-CONTRACTORS - 0.00%
5,819 MCDERMOTT INTERNATIONAL
INCORPORATED 64,009
--------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.15%
19,645 BEST BUY COMPANY INCORPORATED+ 1,249,913
19,451 CIRCUIT CITY STORES 447,373
17,933 RADIOSHACK CORPORATION 1,158,920
2,856,206
--------------
</TABLE>
21
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.07%
35,333 HILTON HOTELS CORPORATION $ 408,538
22,963 MARRIOTT INTERNATIONAL
CLASS A 836,714
1,245,252
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 6.35%
31,162 APPLE COMPUTER INCORPORATED+ 802,422
77,466 APPLIED MATERIALS
INCORPORATED+ 4,594,702
31,646 BAKER HUGHES INCORPORATED 1,174,858
8,146 BLACK & DECKER CORPORATION 278,490
2,156 BRIGGS & STRATTON CORPORATION 81,524
33,423 CATERPILLAR INCORPORATED 1,128,026
676,996 CISCO SYSTEMS INCORPORATED+ 37,404,029
162,784 COMPAQ COMPUTER CORPORATION 4,489,583
14,686 COMVERSE TECHNOLOGY
INCORPORATED+ 1,586,088
4,012 CUMMINS ENGINE COMPANY
INCORPORATED 120,109
22,440 DEERE & COMPANY 746,130
246,870 DELL COMPUTER CORPORATION+ 7,606,682
19,431 DOVER CORPORATION 912,043
208,012 EMC CORPORATION+ 20,619,190
30,835 GATEWAY INCORPORATED+ 1,441,536
95,711 HEWLETT-PACKARD COMPANY 9,283,967
168,739 IBM CORPORATION 18,983,138
15,537 INGERSOLL-RAND COMPANY 526,316
12,379 LEXMARK INTERNATIONAL
INCORPORATED+ 464,213
11,832 PALL CORPORATION 235,900
54,079 PALM INCORPORATED+ 2,862,807
24,703 PITNEY BOWES INCORPORATED 974,225
21,770 SEAGATE TECHNOLOGY
INCORPORATED+ 1,502,130
57,166 SOLECTRON CORPORATION+ 2,636,782
5,885 TIMKEN COMPANY 80,550
120,535,440
--------------
INSURANCE AGENTS, BROKERS & SERVICE - 0.24%
24,528 AON CORPORATION 962,724
16,000 HUMANA INCORPORATED+ 172,000
25,869 MARSH & MCLENNAN COMPANIES
INCORPORATED 3,434,110
4,568,834
--------------
INSURANCE CARRIERS - 2.20%
13,528 AETNA INCORPORATED 785,470
25,449 AFLAC INCORPORATED 1,630,327
71,420 ALLSTATE CORPORATION 2,481,845
23,841 AMERICAN GENERAL CORPORATION 1,859,598
221,675 AMERICAN INTERNATIONAL GROUP
INCORPORATED 21,211,527
16,817 CHUBB CORPORATION 1,330,645
15,437 CIGNA CORPORATION 1,611,623
15,458 CINCINNATI FINANCIAL
CORPORATION 548,759
31,252 CONSECO INCORPORATED 238,297
</TABLE>
22
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
INSURANCE CARRIERS (continued)
20,572 HARTFORD FINANCIAL SERVICES
GROUP $ 1,500,470
9,886 JEFFERSON-PILOT CORPORATION 671,012
18,363 LINCOLN NATIONAL CORPORATION 883,719
9,412 LOEWS CORPORATION 784,726
9,430 MBIA INCORPORATED 670,709
10,149 MGIC INVESTMENT CORPORATION 620,358
6,967 PROGRESSIVE CORPORATION 570,423
12,220 SAFECO CORPORATION 332,995
20,286 ST PAUL COMPANIES INCORPORATED 1,000,353
12,303 TORCHMARK CORPORATION 342,177
15,526 UNITEDHEALTH GROUP
INCORPORATED 1,533,193
23,065 UNUMPROVIDENT CORPORATION 628,520
5,991 WELLPOINT HEALTH NETWORKS
INCORPORATED+ 575,136
41,811,882
--------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.00%
10,047 LOUISIANA-PACIFIC CORPORATION 92,306
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 1.30%
43,308 AGILENT TECHNOLOGIES
INCORPORATED+ 2,119,385
12,415 ALLERGAN INCORPORATED 1,048,292
5,117 BAUSCH & LOMB INCORPORATED 199,243
27,791 BAXTER INTERNATIONAL
INCORPORATED 2,218,069
24,186 BECTON DICKINSON & COMPANY 639,417
17,048 BIOMET INCORPORATED 596,680
39,134 BOSTON SCIENTIFIC CORPORATION+ 643,265
4,890 C R BARD INCORPORATED 206,603
13,583 DANAHER CORPORATION 675,754
29,731 EASTMAN KODAK COMPANY 1,215,255
29,413 GUIDANT CORPORATION+ 2,079,131
8,266 JOHNSON CONTROLS INCORPORATED 439,648
17,880 KLA-TENCOR CORPORATION+ 736,433
6,419 MALLINCKRODT INCORPORATED 292,867
114,721 MEDTRONIC INCORPORATED 5,943,982
4,449 MILLIPORE CORPORATION 215,498
10,743 PARKER-HANNIFIN CORPORATION 362,576
19,965 PE CORPORATION -- PE
BIOSYSTEMS GROUP 2,325,923
4,341 POLAROID CORPORATION 58,332
8,020 ST JUDE MEDICAL INCORPORATED+ 409,020
4,644 TEKTRONIX INCORPORATED 356,717
16,557 TERADYNE INCORPORATED+ 579,495
16,584 THERMO ELECTRON CORPORATION+ 431,184
63,930 XEROX CORPORATION 962,946
24,755,715
--------------
METAL MINING - 0.11%
37,969 BARRICK GOLD CORPORATION 579,027
15,289 FREEPORT MCMORAN INCORPORATED
CLASS B+ 134,734
</TABLE>
23
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
METAL MINING (continued)
24,998 HOMESTAKE MINING COMPANY+ $ 129,677
17,390 INCO LIMITED+ 280,415
16,143 NEWMONT MINING CORPORATION 274,431
7,591 PHELPS DODGE CORPORATION 316,924
31,461 PLACER DOME INCORPORATED 296,913
2,012,121
--------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS - 0.02%
9,663 VULCAN MATERIALS COMPANY 388,332
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.51%
3,852 ARMSTRONG HOLDINGS
INCORPORATED 45,983
16,559 HASBRO INCORPORATED 189,394
40,780 MATTEL INCORPORATED 456,226
13,900 TIFFANY & COMPANY 536,019
161,814 TYCO INTERNATIONAL LIMITED 8,394,100
9,621,722
--------------
MISCELLANEOUS RETAIL - 0.47%
26,960 BED BATH & BEYOND
INCORPORATED+ 657,571
42,805 COSTCO WHOLESALE CORPORATION+ 1,495,500
37,409 CVS CORPORATION 1,732,505
3,786 LONGS DRUG STORES INCORPORATED 72,407
30,361 OFFICE DEPOT INCORPORATED+ 237,195
45,734 STAPLES INCORPORATED+ 648,851
20,709 TOYS R US INCORPORATED+ 336,521
96,673 WALGREEN COMPANY 3,667,532
8,848,082
--------------
MOTION PICTURES - 0.52%
126,106 TIME WARNER INCORPORATED 9,867,795
--------------
NONDEPOSITORY CREDIT INSTITUTIONS - 1.65%
127,963 AMERICAN EXPRESS COMPANY 7,773,752
69,815 ASSOCIATES FIRST CAPITAL
CORPORATION 2,652,970
18,820 CAPITAL ONE FINANCIAL
CORPORATION 1,318,576
25,250 CIT GROUP INCORPORATED 441,875
10,854 COUNTRYWIDE CREDIT INDUSTRIES
INCORPORATED 409,739
66,623 FREDDIE MAC 3,601,806
96,605 FANNIE MAE 6,907,258
45,339 HOUSEHOLD INTERNATIONAL
INCORPORATED 2,567,321
81,624 MBNA CORPORATION 3,142,524
13,669 PROVIDIAN FINANCIAL
CORPORATION 1,735,963
15,045 USA EDUCATION INCORPORATED 724,981
31,276,765
--------------
OIL & GAS EXTRACTION - 0.95%
23,280 ANADARKO PETROLEUM CORPORATION 1,547,190
10,971 APACHE CORPORATION 648,660
</TABLE>
24
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
OIL & GAS EXTRACTION (continued)
20,607 BURLINGTON RESOURCES
INCORPORATED $ 758,595
12,100 DEVON ENERGY CORPORATION 727,815
70,178 ENRON CORPORATION 6,149,347
8,980 KERR-MCGEE CORPORATION 594,926
35,327 OCCIDENTAL PETROLEUM
CORPORATION 770,570
8,990 ROWAN COMPANIES INCORPORATED+ 260,710
54,533 SCHLUMBERGER LIMITED 4,488,748
20,155 TRANSOCEAN SEDCO FOREX
INCORPORATED+ 1,181,587
29,847 USX-MARATHON GROUP
INCORPORATED 846,910
17,975,058
--------------
PAPER & ALLIED PRODUCTS - 0.61%
10,740 AVERY DENNISON CORPORATION 498,067
5,061 BEMIS COMPANY INCORPORATED 162,584
5,445 BOISE CASCADE CORPORATION 144,632
19,776 FORT JAMES CORPORATION 604,404
16,399 GEORGIA-PACIFIC GROUP 385,377
46,302 INTERNATIONAL PAPER COMPANY 1,328,302
52,129 KIMBERLY-CLARK CORPORATION 2,909,450
9,828 MEAD CORPORATION 229,730
37,957 MINNESOTA MINING AND
MANUFACTURING COMPANY 3,458,832
16,213 PACTIV CORPORATION+ 181,383
2,749 POTLATCH CORPORATION 86,937
5,050 TEMPLE-INLAND INCORPORATED 191,269
9,608 WESTVACO CORPORATION 256,414
21,928 WEYERHAEUSER COMPANY 885,343
10,611 WILLAMETTE INDUSTRIES
INCORPORATED 297,108
11,619,832
--------------
PERSONAL SERVICES - 0.02%
9,403 H &R BLOCK INCORPORATED 348,499
--------------
PETROLEUM REFINING & RELATED INDUSTRIES - 3.01%
8,661 AMERADA HESS CORPORATION 579,745
6,740 ASHLAND INCORPORATED 227,054
62,538 CHEVRON CORPORATION 5,331,365
20,486 COASTAL CORPORATION 1,518,525
59,849 CONOCO INCORPORATED CLASS B 1,612,178
333,686 EXXON MOBIL CORPORATION 29,739,765
24,336 PHILLIPS PETROLEUM COMPANY 1,527,084
205,554 ROYAL DUTCH PETROLEUM COMPANY
NY SHARES ADR 12,320,393
8,462 SUNOCO INCORPORATED 227,945
52,970 TEXACO INCORPORATED 2,780,925
13,895 TOSCO CORPORATION 433,350
23,269 UNOCAL CORPORATION 824,595
57,122,924
--------------
</TABLE>
25
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
PRIMARY METAL INDUSTRIES - 0.19%
20,934 ALCAN ALUMINUM LIMITED $ 605,778
82,844 ALCOA INCORPORATED 2,096,990
8,029 ALLEGHENY TECHNOLOGIES
INCORPORATED 145,526
12,633 BETHLEHEM STEEL CORPORATION+ 37,899
12,239 ENGELHARD CORPORATION 198,884
8,137 NUCOR CORPORATION 245,127
8,452 USX-US STEEL GROUP
INCORPORATED 128,365
8,245 WORTHINGTON INDUSTRIES
INCORPORATED 77,296
3,535,865
--------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.78%
6,145 AMERICAN GREETINGS CORPORATION 107,538
8,463 DOW JONES & COMPANY
INCORPORATED 512,012
25,592 GANNETT COMPANY INCORPORATED 1,356,376
6,849 HARCOURT GENERAL INCORPORATED 404,091
7,412 KNIGHT-RIDDER INCORPORATED 376,622
18,686 MCGRAW-HILL COMPANIES
INCORPORATED 1,187,729
4,906 MEREDITH CORPORATION 144,727
16,318 NEW YORK TIMES COMPANY 641,501
11,695 R R DONNELLEY & SONS COMPANY 287,258
29,541 TRIBUNE COMPANY 1,288,726
145,651 VIACOM INCORPORATED CLASS B+ 8,520,583
14,827,163
--------------
RAILROAD TRANSPORTATION - 0.15%
40,333 BURLINGTON NORTHERN SANTA FE
CORPORATION 869,680
20,905 CSX CORPORATION 455,990
36,745 NORFOLK SOUTHERN CORPORATION 537,396
23,759 UNION PACIFIC CORPORATION 923,631
2,786,697
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 0.13%
7,057 COOPER TIRE & RUBBER COMPANY 71,010
15,015 GOODYEAR TIRE & RUBBER COMPANY 270,270
25,576 NEWELL RUBBERMAID INCORPORATED 583,453
26,234 NIKE INCORPORATED CLASS B 1,051,000
5,445 REEBOK INTERNATIONAL LIMITED+ 102,434
8,002 SEALED AIR CORPORATION+ 362,091
5,491 TUPPERWARE CORPORATION 98,838
2,539,096
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.33%
10,607 BEAR STEARNS COMPANIES
INCORPORATED 668,241
130,539 CHARLES SCHWAB CORPORATION 4,634,135
23,364 FRANKLIN RESOURCES
INCORPORATED 1,038,063
11,600 LEHMAN BROTHERS HOLDING
INCORPORATED 1,713,900
75,298 MERRILL LYNCH & COMPANY
INCORPORATED 4,969,668
107,931 MORGAN STANLEY DEAN WITTER &
COMPANY 9,868,941
</TABLE>
26
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (continued)
13,978 PAINE WEBBER GROUP
INCORPORATED $ 952,250
21,334 STILWELL FINANCIAL
INCORPORATED+ 928,029
11,595 T ROWE PRICE ASSOCIATES 544,240
25,317,467
--------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.45%
28,177 CORNING INCORPORATED 8,368,569
14,071 OWENS-ILLINOIS INCORPORATED+ 130,157
8,498,726
--------------
TEXTILE MILL PRODUCTS - 0.01%
3,152 RUSSELL CORPORATION 50,038
1,747 SPRINGS INDUSTRIES
INCORPORATED CLASS A 49,244
99,282
--------------
TOBACCO PRODUCTS - 0.36%
216,798 PHILIP MORRIS COMPANIES
INCORPORATED 6,381,991
15,580 UST INCORPORATED 356,393
6,738,384
--------------
TRANSPORTATION BY AIR - 0.19%
14,363 AMR CORPORATION+ 469,491
11,722 DELTA AIRLINES INCORPORATED 520,164
27,760 FEDEX CORPORATION+ 1,230,878
47,570 SOUTHWEST AIRLINES COMPANY 1,153,573
6,435 US AIRWAYS GROUP INCORPORATED+ 195,865
3,569,971
--------------
TRANSPORTATION EQUIPMENT - 1.39%
9,772 B F GOODRICH COMPANY 382,940
86,410 BOEING COMPANY 5,443,830
8,476 BRUNSWICK CORPORATION 154,687
14,623 DANA CORPORATION 314,395
53,959 DELPHI AUTOMOTIVE SYSTEMS
CORPORATION 816,130
179,745 FORD MOTOR COMPANY 4,549,795
19,284 GENERAL DYNAMICS CORPORATION 1,211,276
51,255 GENERAL MOTORS CORPORATION 3,331,575
29,060 HARLEY-DAVIDSON INCORPORATED 1,391,248
76,491 HONEYWELL INTERNATIONAL
INCORPORATED 2,724,992
8,425 ITT INDUSTRIES INCORPORATED 273,286
5,977 NAVISTAR INTERNATIONAL
CORPORATION+ 178,935
6,655 NORTHROP GRUMMAN CORPORATION 604,773
7,374 PACCAR INCORPORATED 273,299
18,067 ROCKWELL INTERNATIONAL
CORPORATION 546,527
13,849 TEXTRON INCORPORATED 638,785
11,808 TRW INCORPORATED 479,700
45,082 UNITED TECHNOLOGIES
CORPORATION 3,121,929
26,438,102
--------------
</TABLE>
27
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
TRANSPORTATION SERVICES - 0.02%
12,369 SABRE HOLDINGS CORPORATION $ 357,928
--------------
WATER TRANSPORTATION - 0.08%
57,960 CARNIVAL CORPORATION 1,427,265
--------------
WHOLESALE TRADE-DURABLE GOODS - 0.04%
16,976 GENUINE PARTS COMPANY 323,605
12,447 VISTEON CORPORATION 188,261
8,969 W W GRAINGER INCORPORATED 235,997
747,863
--------------
WHOLESALE TRADE-NONDURABLE GOODS - 0.33%
26,419 CARDINAL HEALTH INCORPORATED 2,329,826
47,602 SAFEWAY INCORPORATED+ 2,222,418
12,618 SUPERVALU INCORPORATED 190,059
31,940 SYSCO CORPORATION 1,479,221
6,221,524
--------------
1,208,056,455
TOTAL COMMON STOCK (COST $942,809,411)
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES - 35.91%
U.S. TREASURY BILLS - 4.95%
$33,272,000 U.S. TREASURY BILLS 6.05%{::} 10/12/00 33,218,864
26,096,000 U.S. TREASURY BILLS 5.94{::} 11/02/00 25,964,320
14,791,000 U.S. TREASURY BILLS 6.08{::} 11/09/00 14,697,787
20,120,000 U.S. TREASURY BILLS 5.97{::} 12/07/00 19,897,935
100,000 U.S. TREASURY BILLS 5.96{::} 12/21/00 98,660
93,877,566
--------------
U.S. TREASURY BONDS - 30.96%
19,360,000 U.S. TREASURY BONDS 7.88 02/15/21 23,280,400
18,965,000 U.S. TREASURY BONDS 8.13 05/15/21 23,374,363
18,990,000 U.S. TREASURY BONDS 8.13 08/15/21 23,434,799
62,210,000 U.S. TREASURY BONDS 8.00 11/15/21 75,993,248
18,300,000 U.S. TREASURY BONDS 7.25 08/15/22 20,799,048
16,635,000 U.S. TREASURY BONDS 7.63 11/15/22 19,650,094
29,615,000 U.S. TREASURY BONDS 7.13 02/15/23 33,261,199
43,045,000 U.S. TREASURY BONDS 6.25 08/15/23 43,838,319
18,535,000 U.S. TREASURY BONDS 7.50 11/15/24 21,813,285
20,180,000 U.S. TREASURY BONDS 7.63 02/15/25 24,089,875
20,530,000 U.S. TREASURY BONDS 6.88 08/15/25 22,595,729
22,425,000 U.S. TREASURY BONDS 6.00 02/15/26 22,214,654
18,380,000 U.S. TREASURY BONDS 6.75 08/15/26 19,993,947
19,250,000 U.S. TREASURY BONDS 6.50 11/15/26 20,320,685
18,790,000 U.S. TREASURY BONDS 6.63 02/15/27 20,140,437
17,380,000 U.S. TREASURY BONDS 6.38 08/15/27 18,091,363
37,480,000 U.S. TREASURY BONDS 6.13 11/15/27 37,784,338
</TABLE>
28
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY NAME INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY BONDS (continued)
$17,150,000 U.S. TREASURY BONDS 5.50% 08/15/28 $ 15,917,258
19,450,000 U.S. TREASURY BONDS 5.25 11/15/28 17,419,809
18,700,000 U.S. TREASURY BONDS 5.25 02/15/29 16,794,844
18,950,000 U.S. TREASURY BONDS 6.13 08/15/29 19,352,688
45,100,000 U.S. TREASURY BONDS 6.25 05/15/30 47,411,375
587,571,757
--------------
681,449,323
TOTAL U.S. TREASURY SECURITIES (COST
$670,085,924)*
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $1,612,895,335)* 99.57% $1,889,505,778
OTHER ASSETS AND LIABILITIES, NET 0.43 8,110,769
------- --------------
TOTAL NET ASSETS 100.00% $1,897,616,547
------- --------------
</TABLE>
# SECURITY OF AN AFFILIATE OF THE FUND WITH A COST OF $5,286,353.
+ NON-INCOME PRODUCING SECURITIES.
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $1,621,516,502 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $381,989,818
GROSS UNREALIZED DEPRECIATION (114,000,542)
-----------
NET UNREALIZED APPRECIATION $267.989,276
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
29
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
GROWTH BALANCED FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
N/A WELLS FARGO DISCIPLINED GROWTH
PORTFOLIO $ 35,006,032
N/A WELLS FARGO INCOME EQUITY
PORTFOLIO 177,894,441
N/A WELLS FARGO INDEX PORTFOLIO 176,004,739
N/A WELLS FARGO INTERNATIONAL
EQUITY PORTFOLIO 45,641,014
N/A WELLS FARGO INTERNATIONAL
PORTFOLIO 59,938,279
N/A WELLS FARGO LARGE COMPANY
GROWTH PORTFOLIO 140,726,270
N/A WELLS FARGO MANAGED FIXED
INCOME PORTFOLIO 195,824,627
N/A WELLS FARGO POSITIVE RETURN
BOND PORTFOLIO 130,199,380
N/A WELLS FARGO SMALL CAP INDEX
PORTFOLIO 17,719,420
N/A WELLS FARGO SMALL CAP VALUE
PORTFOLIO 17,761,414
N/A WELLS FARGO SMALL COMPANY
GROWTH PORTFOLIO 17,697,017
N/A WELLS FARGO SMALL COMPANY
VALUE PORTFOLIO 17,821,876
N/A WELLS FARGO STRATEGIC VALUE
BOND PORTFOLIO 65,429,321
1,097,663,830
TOTAL INVESTMENTS IN CORE PORTFOLIOS
(98.88%) (COST $848,306,232)
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
U.S. TREASURY BILLS (0.96%)
$10,890,000 U.S. TREASURY BILLS 6.25%{::} 3/1/01 10,616,334
-------------
10,616,334
TOTAL U.S. TREASURY BILLS (COST
$10,623,196)
-------------
1,108,280,164
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES (99.84%) (COST $858,929,428)
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES
(COST $858,929,428)* 99.84% $1,108,280,164
OTHER ASSETS AND LIABILITIES, NET 0.16 1,820,967
------- -------------
TOTAL NET ASSETS 100.00% $1,110,101,131
------- -------------
</TABLE>
{::} YIELD TO MATURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
30
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 99.04%
AGRICULTURAL PRODUCTION-CROPS - 0.07%
5,024 NABISCO GROUP HOLDINGS
CORPORATION $ 143,184
------------
AMUSEMENT & RECREATION SERVICES - 0.65%
1,894 HARRAH'S ENTERTAINMENT
INCORPORATED+ 52,085
32,075 WALT DISNEY COMPANY 1,226,869
1,278,954
------------
APPAREL & ACCESSORY STORES - 0.37%
13,138 GAP INCORPORATED 264,402
5,022 KOHL'S CORPORATION+ 289,707
6,684 LIMITED INCORPORATED 147,465
2,113 NORDSTROM INCORPORATED 32,884
734,458
------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS -
0.04%
853 LIZ CLAIBORNE INCORPORATED 32,841
1,743 V F CORPORATION 43,030
75,871
------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.02%
2,086 AUTOZONE INCORPORATED+ 47,326
------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.01%
893 RYDER SYSTEM INCORPORATED 16,465
------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS - 0.04%
900 CENTEX CORPORATION 28,913
749 KAUFMAN & BROAD HOME
CORPORATION 20,176
608 PULTE CORPORATION 20,064
69,153
------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS - 1.13%
35,686 HOME DEPOT INCORPORATED 1,893,588
5,879 LOWE'S COMPANIES INCORPORATED 263,820
2,504 SHERWIN-WILLIAMS COMPANY 53,524
2,210,932
------------
BUSINESS SERVICES - 9.80%
1,827 ADOBE SYSTEMS INCORPORATED 283,642
35,448 AMERICA ONLINE INCORPORATED+ 1,905,330
873 AUTODESK INCORPORATED 22,152
9,702 AUTOMATIC DATA PROCESSING
INCORPORATED 648,821
3,765 BMC SOFTWARE INCORPORATED+ 72,006
2,798 CABLETRON SYSTEMS
INCORPORATED+ 82,191
11,134 CENDANT CORPORATION+ 121,082
2,233 CERIDIAN CORPORATION+ 62,664
2,889 CITRIX SYSTEMS INCORPORATED+ 57,961
9,099 COMPUTER ASSOCIATES
INTERNATIONAL INCORPORATED 229,181
</TABLE>
31
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
BUSINESS SERVICES (continued)
2,599 COMPUTER SCIENCES CORPORATION+ $ 192,976
5,538 COMPUWARE CORPORATION+ 46,381
2,350 CONVERGYS CORPORATION+ 91,356
1,126 DELUXE CORPORATION 22,872
2,005 ECOLAB INCORPORATED 72,305
7,173 ELECTRONIC DATA SYSTEMS
CORPORATION 297,680
2,154 EQUIFAX INCORPORATED 58,023
6,279 FIRST DATA CORPORATION 245,273
4,603 IMS HEALTH INCORPORATED 95,512
4,675 INTERPUBLIC GROUP OF COMPANIES
INCORPORATED 159,242
4,328 MCKESSON HBOC INCORPORATED 132,275
1,250 MERCURY INTERACTIVE
CORPORATION+ 195,938
81,116 MICROSOFT CORPORATION+ 4,887,239
1,457 NCR CORPORATION+ 55,093
5,096 NOVELL INCORPORATED+ 50,642
2,725 OMNICOM GROUP INCORPORATED 198,755
43,411 ORACLE CORPORATION+ 3,418,615
4,272 PARAMETRIC TECHNOLOGY COMPANY+ 46,725
4,252 PEOPLESOFT INCORPORATED+ 118,790
1,800 SAPIENT CORPORATION+ 73,237
6,300 SIEBEL SYSTEMS INCORPORATED+ 701,269
24,502 SUN MICROSYSTEMS INCORPORATED+ 2,860,609
4,796 UNISYS CORPORATION+ 53,955
6,131 VERITAS SOFTWARE CORPORATION+ 870,602
8,388 YAHOO! INCORPORATED+ 763,308
1,112 YOUNG & RUBICAM INCORPORATED 55,044
19,248,746
------------
CHEMICALS & ALLIED PRODUCTS - 11.52%
23,891 ABBOTT LABORATORIES 1,136,316
3,545 AIR PRODUCTS AND CHEMICALS
INCORPORATED 127,620
878 ALBERTO CULVER COMPANY 25,297
1,774 ALZA CORPORATION+ 153,451
20,137 AMERICAN HOME PRODUCTS
CORPORATION 1,138,999
15,830 AMGEN INCORPORATED+ 1,105,379
3,658 AVON PRODUCTS INCORPORATED 149,521
2,315 BIOGEN INCORPORATED+ 141,215
30,356 BRISTOL-MYERS SQUIBB COMPANY 1,734,087
3,626 CLOROX COMPANY 143,454
8,913 COLGATE-PALMOLIVE COMPANY 420,694
10,411 DOW CHEMICAL COMPANY 259,624
16,140 E I DU PONT DE NEMOURS &
COMPANY 668,801
1,192 EASTMAN CHEMICAL COMPANY 44,030
17,447 ELI LILLY & COMPANY 1,415,388
455 FMC CORPORATION+ 30,513
16,090 GILLETTE COMPANY 496,779
857 GREAT LAKES CHEMICAL
CORPORATION 25,121
1,561 INTERNATIONAL FLAVORS &
FRAGRANCES INCORPORATED 28,488
</TABLE>
32
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
21,484 JOHNSON & JOHNSON $ 2,018,153
3,200 MEDIMMUNE INCORPORATED+ 247,200
35,469 MERCK & COMPANY INCORPORATED 2,640,224
97,129 PFIZER INCORPORATED 4,364,734
19,681 PHARMACIA CORPORATION 1,184,550
2,666 PPG INDUSTRIES INCORPORATED 105,807
2,427 PRAXAIR INCORPORATED 90,709
20,194 PROCTER & GAMBLE COMPANY 1,352,998
3,348 ROHM & HAAS COMPANY 97,301
22,619 SCHERING-PLOUGH CORP 1,051,784
1,331 SIGMA ALDRICH 43,923
2,054 UNION CARBIDE CORPORATION 77,539
1,023 W R GRACE & COMPANY+ 7,033
1,558 WATSON PHARMACEUTICALS
INCORPORATED+ 101,075
22,627,807
------------
COMMUNICATIONS - 6.92%
10,392 ADC TELECOMMUNICATIONS
INCORPORATED+ 279,447
4,862 ALLTEL CORPORATION 253,735
57,897 AT&T CORPORATION 1,700,725
28,918 BELLSOUTH CORPORATION 1,163,950
2,143 CENTURYTEL INCORPORATED 58,397
9,013 CLEAR CHANNEL COMMUNICATIONS
INCORPORATED+ 509,235
13,877 COMCAST CORPORATION CLASS A+ 568,090
13,608 GLOBAL CROSSING LIMITED+ 421,848
11,690 NEXTEL COMMUNICATIONS
INCORPORATED+ 546,508
25,219 QWEST COMMUNICATIONS
INTERNATIONAL INCORPORATED+ 1,212,087
52,291 SBC COMMUNICATIONS
INCORPORATED 2,614,550
13,507 SPRINT CORPORATION (FON GROUP) 395,924
14,102 SPRINT CORPORATION (PCS
GROUP)+ 494,451
41,957 VERIZON COMMUNICATIONS 2,032,292
44,191 WORLDCOM INCORPORATED+ 1,342,302
13,593,541
------------
DEPOSITORY INSTITUTIONS - 7.35%
6,079 AMSOUTH BANCORP 75,988
25,371 BANK OF AMERICA CORPORATION+ 1,328,806
11,363 BANK OF NEW YORK COMPANY
INCORPORATED 637,038
17,686 BANK ONE CORPORATION 683,122
6,042 BB&T CORPORATION 182,015
3,413 CHARTER ONE FINANCIAL
INCORPORATED 83,180
20,124 CHASE MANHATTAN CORPORATION 929,477
69,349 CITIGROUP INCORPORATED 3,749,180
2,420 COMERICA INCORPORATED 141,419
7,176 FIFTH THIRD BANCORP 386,607
15,118 FIRST UNION CORPORATION 486,611
14,865 FIRSTAR CORPORATION 332,604
13,886 FLEETBOSTON FINANCIAL
CORPORATION 541,554
</TABLE>
33
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
DEPOSITORY INSTITUTIONS (continued)
2,447 GOLDEN WEST FINANCIAL
CORPORATION $ 131,220
3,733 HUNTINGTON BANCSHARES
INCORPORATED 54,828
2,518 J P MORGAN & COMPANY
INCORPORATED 411,378
6,693 KEYCORP 169,417
7,594 MELLON FINANCIAL CORPORATION 352,172
9,354 NATIONAL CITY CORPORATION 206,957
3,452 NORTHERN TRUST CORPORATION 306,797
2,115 OLD KENT FINANCIAL CORPORATION 61,203
4,488 PNC FINANCIAL SERVICES GROUP 291,720
3,406 REGIONS FINANCIAL CORPORATION 77,274
2,613 SOUTHTRUST CORPORATION 82,146
2,500 STATE STREET CORPORATION 325,000
2,689 SUMMIT BANCORP 92,771
4,650 SUNTRUST BANKS INCORPORATED 231,628
4,352 SYNOVUS FINANCIAL CORPORATION 92,208
11,603 US BANCORP 263,968
2,065 UNION PLANTERS CORPORATION 68,274
3,127 WACHOVIA CORPORATION 177,262
8,376 WASHINGTON MUTUAL INCORPORATED 333,470
24,969 WELLS FARGO & COMPANY# 1,147,013
14,434,307
------------
EATING & DRINKING PLACES - 0.45%
1,959 DARDEN RESTAURANTS
INCORPORATED 40,772
20,431 MCDONALD'S CORPORATION 616,761
2,850 STARBUCKS CORPORATION+ 114,178
2,287 TRICON GLOBAL RESTAURANTS
INCORPORATED+ 70,040
1,719 WENDY'S INTERNATIONAL
INCORPORATED 34,487
876,238
------------
ELECTRIC, GAS & SANITARY SERVICES - 2.71%
7,052 AES CORPORATION+ 483,062
2,914 ALLIED WASTE INDUSTRIES
INCORPORATED+ 26,772
2,112 AMEREN CORPORATION 88,440
4,959 AMERICAN ELECTRIC POWER
COMPANY INCORPORATED 194,021
2,441 CINERGY CORPORATION 80,706
1,679 CMS ENERGY CORPORATION 45,228
2,468 CP&L ENERGY INCORPORATED 102,885
1,220 COLUMBIA ENERGY GROUP 86,620
3,244 CONSOLIDATED EDISON
INCORPORATED 110,702
2,326 CONSTELLATION ENERGY GROUP 115,719
3,668 DOMINION RESOURCE INCORPORATED 212,974
2,215 DTE ENERGY COMPANY 84,724
5,662 DUKE ENERGY CORPORATION 485,516
407 EASTERN ENTERPRISES 25,972
5,125 EDISON INTERNATIONAL 98,977
3,584 EL PASO ENERGY CORPORATION 220,864
3,551 ENTERGY CORPORATION 132,275
</TABLE>
34
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRIC, GAS & SANITARY SERVICES (continued)
3,548 FIRSTENERGY CORPORATION $ 95,574
1,507 FLORIDA PROGRESS CORPORATION 79,777
2,757 FPL GROUP INCORPORATED 181,273
1,867 GPU INCORPORATED 60,561
2,050 KEYSPAN CORPORATION 82,256
2,641 NIAGARA MOHAWK HOLDINGS
INCORPORATED+ 41,596
711 NICOR INCORPORATED 25,729
432 ONEOK INCORPORATED 17,172
2,612 PECO ENERGY COMPANY 158,189
551 PEOPLE'S ENERGY CORPORATION 18,389
5,960 PG&E CORPORATION 144,157
1,307 PINNACLE WEST CAPITAL
CORPORATION 66,493
2,218 PPL CORPORATION 92,602
3,324 PUBLIC SERVICE ENTERPRISE
GROUP INCORPORATED 148,541
4,564 RELIANT ENERGY INCORPORATED 212,226
3,147 SEMPRA ENERGY 65,497
10,029 SOUTHERN COMPANY 325,316
4,053 TXU CORPORATION 160,600
2,763 UNICOM CORPORATION 155,246
9,633 WASTE MANAGEMENT INCORPORATED 167,975
6,811 WILLIAMS COMPANIES
INCORPORATED 287,765
5,234 XCEL ENERGY INCORPORATED 143,935
5,326,326
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 14.15%
1,608 ADAPTEC INCORPORATED+ 32,160
4,730 ADVANCED MICRO DEVICES
INCORPORATED+ 111,746
6,150 ALTERA CORPORATION+ 293,663
3,000 AMERICAN POWER CONVERSION
CORPORATION+ 57,563
5,476 ANALOG DEVICES INCORPORATED+ 452,112
1,223 ANDREW CORPORATION+ 32,027
3,400 BROADCOM CORPORATION+ 828,750
3,340 CONEXANT SYSTEMS INCORPORATED+ 139,863
1,459 COOPER INDUSTRIES INCORPORATED 51,430
1,101 EATON CORPORATION 67,849
6,603 EMERSON ELECTRIC COMPANY 442,401
152,573 GENERAL ELECTRIC COMPANY 8,801,555
103,362 INTEL CORPORATION 4,302,443
14,400 JDS UNIPHASE CORPORATION+ 1,363,500
4,800 LINEAR TECHNOLOGY CORPORATION 310,800
4,731 LSI LOGIC CORPORATION+ 138,382
50,964 LUCENT TECHNOLOGIES
INCORPORATED 1,557,587
4,350 MAXIM INTEGRATED PRODUCTS
INCORPORATED+ 349,903
1,183 MAYTAG CORPORATION 36,747
8,560 MICRON TECHNOLOGY
INCORPORATED+ 393,760
3,027 MOLEX INCORPORATED 164,782
33,217 MOTOROLA INCORPORATED 938,380
2,724 NATIONAL SEMICONDUCTOR
CORPORATION+ 109,640
</TABLE>
35
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (continued)
643 NATIONAL SERVICE INDUSTRIES $ 12,579
4,702 NETWORK APPLIANCE
INCORPORATED+ 598,917
45,794 NORTEL NETWORKS CORPORATION 2,727,605
2,000 NOVELLUS SYSTEMS INCORPORATED+ 93,125
11,456 QUALCOMM INCORPORATED+ 816,240
5,261 RAYTHEON COMPANY CLASS B 149,610
2,300 SANMINA CORPORATION+ 215,338
2,466 SCIENTIFIC-ATLANTA
INCORPORATED 156,899
6,296 TELLABS INCORPORATED+ 300,634
26,622 TEXAS INSTRUMENTS INCORPORATED 1,256,226
911 THOMAS & BETTS CORPORATION 15,886
1,128 WHIRLPOOL CORPORATION 43,851
4,974 XILINK INCORPORATED+ 425,899
27,789,852
------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 0.44%
2,472 DUN & BRADSTREET CORPORATION 85,130
1,186 FLUOR CORPORATION 35,580
6,857 HALLIBURTON COMPANY 335,564
5,730 PAYCHEX INCORPORATED 300,825
755 PERKINELMER INCORPORATED 78,803
1,759 QUINTILES TRANSNATIONAL
CORPORATION+ 28,034
863,936
------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT -
0.41%
470 BALL CORPORATION 14,893
934 CRANE COMPANY 21,365
2,025 CROWN CORK & SEAL COMPANY
INCORPORATED 21,642
2,458 FORTUNE BRANDS INCORPORATED 65,137
4,673 ILLINOIS TOOL WORKS
INCORPORATED 261,104
6,625 LOCKHEED MARTIN CORPORATION 218,360
6,945 MASCO CORPORATION 129,351
926 SNAP-ON INCORPORATED 21,819
1,331 STANLEY WORKS 30,696
784,367
------------
FOOD & KINDRED PRODUCTS - 3.46%
563 ADOLPH COORS COMPANY 35,575
13,898 ANHEUSER-BUSCH COMPANIES
INCORPORATED 588,060
9,814 ARCHER DANIELS MIDLAND COMPANY 84,646
4,227 BESTFOODS INCORPORATED 307,514
1,079 BROWN-FORMAN CORPORATION 59,075
6,508 CAMPBELL SOUP COMPANY 168,395
38,196 COCA-COLA COMPANY 2,105,555
6,494 COCA-COLA ENTERPRISES
INCORPORATED 103,498
8,227 CONAGRA FOODS INCORPORATED 165,054
4,484 GENERAL MILLS INCORPORATED 159,182
5,414 H J HEINZ COMPANY 200,656
</TABLE>
36
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
FOOD & KINDRED PRODUCTS (continued)
1,664 HERCULES INCORPORATED $ 23,504
2,136 HERSHEY FOODS CORPORATION 115,611
6,276 KELLOGG COMPANY 151,801
22,255 PEPSICO INCORPORATED 1,023,730
2,026 QUAKER OATS COMPANY 160,307
4,754 RALSTON PURINA GROUP 112,610
13,463 SARA LEE CORPORATION 273,467
6,753 SEAGRAM COMPANY LIMITED 387,875
8,844 UNILEVER NV ADR 426,723
1,762 WM WRIGLEY JR COMPANY 131,930
6,784,768
------------
FOOD STORES - 0.23%
6,544 ALBERTSON'S INCORPORATED 137,424
12,904 KROGER COMPANY+ 291,147
2,248 WINN-DIXIE STORES INCORPORATED 32,315
460,886
------------
FURNITURE & FIXTURES - 0.02%
3,064 LEGGETT & PLATT 48,450
------------
GENERAL MERCHANDISE STORES - 2.22%
1,712 CONSOLIDATED STORES
CORPORATION+ 23,112
1,477 DILLARDS INCORPORATED 15,693
5,128 DOLLAR GENERAL CORPORATION 85,894
3,308 FEDERATED DEPARTMENT STORES
INCORPORATED+ 86,422
4,022 J C PENNEY COMPANY
INCORPORATED 47,510
7,501 KMART CORPORATION+ 45,005
5,051 MAY DEPARTMENT STORES COMPANY 103,546
5,345 SEARS ROEBUCK & COMPANY 173,285
14,080 TARGET CORPORATION 360,800
4,657 TJX COMPANIES INCORPORATED 104,783
68,800 WAL-MART STORES INCORPORATED 3,311,000
4,357,050
------------
HEALTH SERVICES - 0.29%
8,619 HCA - THE HEALTHCARE COMPANY 319,980
5,972 HEALTHSOUTH CORPORATION+ 48,523
1,599 MANOR CARE INCORPORATED+ 25,084
4,803 TENET HEALTHCARE CORPORATION 174,709
568,296
------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-CONTRACTORS - 0.01%
992 MCDERMOTT INTERNATIONAL
INCORPORATED 10,912
------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.23%
3,145 BEST BUY COMPANY INCORPORATED+ 200,100
3,147 CIRCUIT CITY STORES 72,381
</TABLE>
37
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (continued)
2,897 RADIOSHACK CORPORATION $ 187,219
459,700
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.10%
5,689 HILTON HOTELS CORPORATION 65,779
3,673 MARRIOTT INTERNATIONAL
CLASS A 133,835
199,614
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 9.88%
5,012 APPLE COMPUTER INCORPORATED+ 129,059
12,458 APPLIED MATERIALS
INCORPORATED+ 738,915
5,100 BAKER HUGHES INCORPORATED 189,338
1,334 BLACK & DECKER CORPORATION 45,606
329 BRIGGS & STRATTON CORPORATION 12,440
5,357 CATERPILLAR INCORPORATED 180,799
109,048 CISCO SYSTEMS INCORPORATED+ 6,024,902
26,214 COMPAQ COMPUTER CORPORATION 722,982
2,350 COMVERSE TECHNOLOGY
INCORPORATED+ 253,800
656 CUMMINS ENGINE COMPANY
INCORPORATED 19,639
3,594 DEERE & COMPANY 119,501
39,752 DELL COMPUTER CORPORATION+ 1,224,859
3,128 DOVER CORPORATION 146,821
33,506 EMC CORPORATION+ 3,321,282
4,964 GATEWAY INCORPORATED+ 232,067
15,348 HEWLETT-PACKARD COMPANY 1,488,756
27,183 IBM CORPORATION 3,058,088
2,475 INGERSOLL-RAND COMPANY 83,841
2,000 LEXMARK INTERNATIONAL
INCORPORATED+ 75,000
1,925 PALL CORPORATION 38,380
8,688 PALM INCORPORATED+ 459,920
3,994 PITNEY BOWES INCORPORATED 157,513
3,529 SEAGATE TECHNOLOGY
INCORPORATED+ 243,500
9,178 SOLECTRON CORPORATION+ 423,335
926 TIMKEN COMPANY 12,675
19,403,018
------------
INSURANCE AGENTS, BROKERS & SERVICE - 0.38%
3,962 AON CORPORATION 155,508
2,697 HUMANA INCORPORATED+ 28,993
4,176 MARSH & MCLENNAN COMPANIES
INCORPORATED 554,364
738,865
------------
INSURANCE CARRIERS - 3.43%
2,175 AETNA INCORPORATED 126,285
4,120 AFLAC INCORPORATED 263,937
11,400 ALLSTATE CORPORATION 396,150
3,856 AMERICAN GENERAL CORPORATION 300,768
35,663 AMERICAN INTERNATIONAL GROUP
INCORPORATED 3,412,502
</TABLE>
38
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
INSURANCE CARRIERS (continued)
2,709 CHUBB CORPORATION $ 214,350
2,509 CIGNA CORPORATION 261,940
2,470 CINCINNATI FINANCIAL
CORPORATION 87,685
5,103 CONSECO INCORPORATED 38,910
3,328 HARTFORD FINANCIAL SERVICES
GROUP 242,736
1,585 JEFFERSON-PILOT CORPORATION 107,582
2,959 LINCOLN NATIONAL CORPORATION 142,402
1,519 LOEWS CORPORATION 126,647
1,497 MBIA INCORPORATED 106,474
1,645 MGIC INVESTMENT CORPORATION 100,551
1,105 PROGRESSIVE CORPORATION 90,472
1,960 SAFECO CORPORATION 53,410
3,261 ST PAUL COMPANIES INCORPORATED 160,808
1,981 TORCHMARK CORPORATION 55,097
2,497 UNITEDHEALTH GROUP
INCORPORATED 246,579
3,710 UNUMPROVIDENT CORP 101,098
945 WELLPOINT HEALTH NETWORKS
INCORPORATED+ 90,720
6,727,103
------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.01%
1,606 LOUISIANA-PACIFIC CORPORATION 14,755
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 2.03%
6,966 AGILENT TECHNOLOGIES
INCORPORATED+ 340,898
2,020 ALLERGAN INCORPORATED 170,563
803 BAUSCH & LOMB INCORPORATED 31,266
4,468 BAXTER INTERNATIONAL
INCORPORATED 356,602
3,871 BECTON DICKINSON & COMPANY 102,340
2,730 BIOMET INCORPORATED 95,550
6,285 BOSTON SCIENTIFIC CORPORATION+ 103,310
795 C R BARD INCORPORATED 33,589
2,176 DANAHER CORPORATION 108,256
4,788 EASTMAN KODAK COMPANY 195,710
4,705 GUIDANT CORPORATION+ 332,585
1,306 JOHNSON CONTROLS INCORPORATED 69,463
2,862 KLA-TENCOR CORPORATION+ 117,879
1,054 MALLINCKRODT INCORPORATED 48,089
18,459 MEDTRONIC INCORPORATED 956,407
703 MILLIPORE CORPORATION 34,052
1,745 PARKER-HANNIFIN CORPORATION 58,894
3,235 PE CORPORATION - PE BIOSYSTEMS
GROUP 376,878
711 POLAROID CORPORATION 9,554
1,282 ST JUDE MEDICAL INCORPORATED+ 65,382
734 TEKTRONIX INCORPORATED 56,380
2,662 TERADYNE INCORPORATED+ 93,170
2,658 THERMO ELECTRON CORPORATION+ 69,108
10,275 XEROX CORPORATION 154,767
3,980,692
------------
</TABLE>
39
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
METAL MINING - 0.16%
6,110 BARRICK GOLD CORPORATION $ 93,178
2,531 FREEPORT MCMORAN INCORPORATED
CLASS B+ 22,305
4,006 HOMESTAKE MINING COMPANY+ 20,781
2,768 INCO LIMITED+ 44,634
2,548 NEWMONT MINING CORPORATION 43,316
1,223 PHELPS DODGE CORPORATION 51,060
5,043 PLACER DOME INCORPORATED 47,593
322,867
------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS - 0.03%
1,558 VULCAN MATERIALS COMPANY 62,612
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.79%
635 ARMSTRONG HOLDINGS
INCORPORATED 7,580
2,620 HASBRO INCORPORATED 29,966
6,597 MATTEL INCORPORATED 73,804
2,250 TIFFANY & COMPANY 86,766
26,062 TYCO INTERNATIONAL LIMITED 1,351,966
1,550,082
------------
MISCELLANEOUS RETAIL - 0.73%
4,320 BED BATH & BEYOND
INCORPORATED+ 105,367
6,902 COSTCO WHOLESALE CORPORATION+ 241,139
6,037 CVS CORPORATION 279,589
605 LONGS DRUG STORES INCORPORATED 11,571
4,955 OFFICE DEPOT INCORPORATED+ 38,711
7,264 STAPLES INCORPORATED+ 103,058
3,321 TOYS R US INCORPORATED+ 53,966
15,577 WALGREEN COMPANY 590,952
1,424,353
------------
MOTION PICTURES - 0.81%
20,313 TIME WARNER INCORPORATED 1,589,492
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 2.56%
20,532 AMERICAN EXPRESS COMPANY 1,247,319
11,224 ASSOCIATES FIRST CAPITAL
CORPORATION 426,512
3,028 CAPITAL ONE FINANCIAL
CORPORATION 212,149
4,050 CIT GROUP INCORPORATED 70,875
1,748 COUNTRYWIDE CREDIT INDUSTRIES
INCORPORATED 65,987
10,740 FREDDIE MAC 580,631
15,535 FANNIE MAE 1,110,753
7,279 HOUSEHOLD INTERNATIONAL
INCORPORATED 412,173
13,122 MBNA CORPORATION 505,197
2,204 PROVIDIAN FINANCIAL
CORPORATION 279,908
2,406 USA EDUCATION INCORPORATED 115,939
5,027,443
------------
</TABLE>
40
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
OIL & GAS EXTRACTION - 1.47%
3,723 ANADARKO PETROLEUM CORPORATION $ 247,430
1,789 APACHE CORPORATION 105,774
3,304 BURLINGTON RESOURCES
INCORPORATED 121,629
1,950 DEVON ENERGY CORPORATION 117,293
11,296 ENRON CORPORATION 989,812
1,439 KERR-MCGEE CORPORATION 95,334
5,670 OCCIDENTAL PETROLEUM
CORPORATION 123,677
1,438 ROWAN COMPANIES INCORPORATED+ 41,702
8,782 SCHLUMBERGER LIMITED 722,868
3,225 TRANSOCEAN SEDCO FOREX
INCORPORATED+ 189,066
4,826 USX-MARATHON GROUP
INCORPORATED 136,938
2,891,523
------------
PAPER & ALLIED PRODUCTS - 0.95%
1,737 AVERY DENNISON CORPORATION 80,553
818 BEMIS COMPANY INCORPORATED 26,278
895 BOISE CASCADE CORPORATION 23,773
3,168 FORT JAMES CORPORATION 96,822
2,640 GEORGIA-PACIFIC GROUP 62,040
7,443 INTERNATIONAL PAPER COMPANY 213,521
8,388 KIMBERLY-CLARK CORPORATION 468,155
1,560 MEAD CORPORATION 36,465
6,090 MINNESOTA MINING AND
MANUFACTURING COMPANY 554,951
2,613 PACTIV CORPORATION+ 29,233
424 POTLATCH CORPORATION 13,410
792 TEMPLE-INLAND INCORPORATED 29,997
1,565 WESTVACO CORPORATION 41,766
3,512 WEYERHAEUSER COMPANY 141,797
1,703 WILLAMETTE INDUSTRIES
INCORPORATED 47,685
1,866,446
------------
PERSONAL SERVICES - 0.03%
1,511 H&R BLOCK INCORPORATED 56,000
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 4.68%
1,390 AMERADA HESS CORPORATION 93,043
1,076 ASHLAND INCORPORATED 36,247
10,077 CHEVRON CORPORATION 859,064
3,286 COASTAL CORPORATION 243,574
9,655 CONOCO INCORPORATED CLASS B 260,082
53,732 EXXON MOBIL CORPORATION 4,788,865
3,912 PHILLIPS PETROLEUM COMPANY 245,478
33,094 ROYAL DUTCH PETROLEUM COMPANY
NY SHARES ADR 1,983,572
1,345 SUNOCO INCORPORATED 36,231
8,528 TEXACO INCORPORATED 447,720
2,211 TOSCO CORPORATION 68,956
3,767 UNOCAL CORPORATION 133,493
9,196,325
------------
</TABLE>
41
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
PRIMARY METAL INDUSTRIES - 0.29%
3,397 ALCAN ALUMINUM LIMITED $ 98,301
13,344 ALCOA INCORPORATED 337,770
1,278 ALLEGHENY TECHNOLOGIES
INCORPORATED 23,164
2,054 BETHLEHEM STEEL CORPORATION+ 6,162
1,981 ENGELHARD CORPORATION 32,191
1,331 NUCOR CORPORATION 40,096
1,327 USX-US STEEL GROUP
INCORPORATED 20,154
1,333 WORTHINGTON INDUSTRIES
INCORPORATED 12,497
570,335
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 1.22%
1,027 AMERICAN GREETINGS CORPORATION 17,972
1,363 DOW JONES & COMPANY
INCORPORATED 82,461
4,118 GANNETT COMPANY INCORPORATED 218,254
1,124 HARCOURT GENERAL INCORPORATED 66,316
1,208 KNIGHT-RIDDER INCORPORATED 61,382
3,004 MCGRAW-HILL COMPANIES
INCORPORATED 190,942
786 MEREDITH CORPORATION 23,187
2,612 NEW YORK TIMES COMPANY 102,684
1,890 R R DONNELLEY & SONS COMPANY 46,423
4,762 TRIBUNE COMPANY 207,742
23,423 VIACOM INCORPORATED CLASS B+ 1,370,246
2,387,609
------------
RAILROAD TRANSPORTATION - 0.23%
6,403 BURLINGTON NORTHERN SANTA FE
CORPORATION 138,065
3,384 CSX CORPORATION 73,814
5,903 NORFOLK SOUTHERN CORPORATION 86,331
3,841 UNION PACIFIC CORPORATION 149,319
447,529
------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 0.21%
1,145 COOPER TIRE & RUBBER COMPANY 11,521
2,393 GOODYEAR TIRE & RUBBER COMPANY 43,074
4,121 NEWELL RUBBERMAID INCORPORATED 94,010
4,223 NIKE INCORPORATED CLASS B 169,184
833 REEBOK INTERNATIONAL LIMITED+ 15,671
1,270 SEALED AIR CORPORATION+ 57,468
893 TUPPERWARE CORPORATION 16,074
407,002
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 2.08%
1,718 BEAR STEARNS COMPANIES
INCORPORATED 108,234
21,012 CHARLES SCHWAB CORPORATION 745,926
3,767 FRANKLIN RESOURCES
INCORPORATED 167,367
1,873 LEHMAN BROTHERS HOLDING
INCORPORATED 276,736
12,156 MERRILL LYNCH & COMPANY
INCORPORATED 802,296
17,353 MORGAN STANLEY DEAN WITTER &
COMPANY 1,586,715
</TABLE>
42
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (continued)
2,261 PAINE WEBBER GROUP
INCORPORATED $ 154,031
3,416 STILWELL FINANCIAL
INCORPORATED+ 148,596
1,858 T ROWE PRICE ASSOCIATES 87,210
4,077,111
------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.69%
4,521 CORNING INCORPORATED 1,342,737
2,268 OWENS-ILLINOIS INCORPORATED+ 20,979
1,363,716
------------
TEXTILE MILL PRODUCTS - 0.01%
486 RUSSELL CORPORATION 7,715
287 SPRINGS INDUSTRIES
INCORPORATED CLASS A 8,090
15,805
------------
TOBACCO PRODUCTS - 0.55%
34,804 PHILIP MORRIS COMPANIES
INCORPORATED 1,024,543
2,554 UST INCORPORATED 58,423
1,082,966
------------
TRANSPORTATION BY AIR - 0.29%
2,300 AMR CORPORATION+ 75,181
1,912 DELTA AIRLINES INCORPORATED 84,845
4,456 FEDEX CORPORATION+ 197,579
7,666 SOUTHWEST AIRLINES COMPANY 185,900
1,014 US AIRWAYS GROUP INCORPORATED+ 30,864
574,369
------------
TRANSPORTATION EQUIPMENT - 2.17%
1,645 B F GOODRICH COMPANY 64,463
13,885 BOEING COMPANY 874,755
1,408 BRUNSWICK CORPORATION 25,696
2,359 DANA CORPORATION 50,718
8,701 DELPHI AUTOMOTIVE SYSTEMS
CORPORATION 131,603
28,939 FORD MOTOR COMPANY 732,518
3,114 GENERAL DYNAMICS CORPORATION 195,598
8,263 GENERAL MOTORS CORPORATION 537,095
4,692 HARLEY-DAVIDSON INCORPORATED 224,630
12,295 HONEYWELL INTERNATIONAL
INCORPORATED 438,009
1,374 ITT INDUSTRIES INCORPORATED 44,569
966 NAVISTAR INTERNATIONAL
CORPORATION+ 28,920
1,075 NORTHROP GRUMMAN CORPORATION 97,691
1,155 PACCAR INCORPORATED 42,807
2,923 ROCKWELL INTERNATIONAL
CORPORATION 88,421
2,242 TEXTRON INCORPORATED 103,412
1,892 TRW INCORPORATED 76,863
7,243 UNITED TECHNOLOGIES
CORPORATION 501,578
4,259,346
------------
</TABLE>
43
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX ALLOCATION FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
TRANSPORTATION SERVICES - 0.03%
2,006 SABRE HOLDINGS CORPORATION $ 58,049
------------
WATER TRANSPORTATION - 0.12%
9,237 CARNIVAL CORPORATION 227,461
------------
WHOLESALE TRADE-DURABLE GOODS - 0.06%
2,744 GENUINE PARTS COMPANY 52,308
2,023 VISTEON CORPORATION 30,598
1,443 W W GRAINGER INCORPORATED 37,969
120,875
------------
WHOLESALE TRADE-NONDURABLE GOODS - 0.51%
4,272 CARDINAL HEALTH INCORPORATED 376,737
7,662 SAFEWAY INCORPORATED+ 357,720
2,035 SUPERVALU INCORPORATED 30,652
5,151 SYSCO CORPORATION 238,556
1,003,665
------------
194,458,553
TOTAL COMMON STOCK (COST $137,041,291)
------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 1.35%
U.S. TREASURY BILLS - 1.35%
$2,532,000 U.S. TREASURY BILLS 5.92%{::} 11/02/00 2,519,096
143,000 U.S. TREASURY BILLS 5.96{::} 12/21/00 141,086
2,660,182
------------
2,660,182
TOTAL SHORT-TERM INSTRUMENTS (COST
$2,660,183)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $139,701,474)* 100.39% $197,118,735
OTHER ASSETS AND LIABILITIES, NET (0.39) (776,347)
------- ------------
TOTAL NET ASSETS 100.00% $196,342,388
------- ------------
</TABLE>
# SECURITY OF AN AFFILIATE OF THE FUND WITH A COST OF $766,992.
+ NON-INCOME PRODUCING SECURITIES.
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $140,077,853 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $72,762,137
GROSS UNREALIZED DEPRECIATION (15,721,255)
----------
NET UNREALIZED APPRECIATION $57,040,882
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
44
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
MODERATE BALANCED FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
N/A WELLS FARGO DISCIPLINED GROWTH
PORTFOLIO $ 10,173,035
N/A WELLS FARGO INCOME EQUITY
PORTFOLIO 51,799,870
N/A WELLS FARGO INDEX PORTFOLIO 51,189,401
N/A WELLS FARGO INTERNATIONAL
EQUITY PORTFOLIO 13,331,868
N/A WELLS FARGO INTERNATIONAL
PORTFOLIO 17,563,064
N/A WELLS FARGO LARGE COMPANY
GROWTH PORTFOLIO 40,882,390
N/A WELLS FARGO MANAGED FIXED
INCOME PORTFOLIO 119,108,793
N/A WELLS FARGO POSITIVE RETURN
BOND PORTFOLIO 79,287,113
N/A WELLS FARGO SMALL CAP INDEX
PORTFOLIO 5,159,597
N/A WELLS FARGO SMALL CAP VALUE
PORTFOLIO 5,183,770
N/A WELLS FARGO SMALL COMPANY
GROWTH PORTFOLIO 5,153,074
N/A WELLS FARGO SMALL COMPANY
VALUE PORTFOLIO 5,192,651
N/A WELLS FARGO STABLE INCOME
PORTFOLIO 78,649,189
N/A WELLS FARGO STRATEGIC VALUE
BOND PORTFOLIO 39,710,422
522,384,237
TOTAL INVESTMENTS IN CORE PORTFOLIOS
(99.65%) (COST $410,503,267)
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
U.S. TREASURY BILLS (0.74%)
$3,995,000 U.S. TREASURY BILLS 6.25%{::} 3/1/01 3,894,606
-----------
3,894,606
TOTAL U.S. TREASURY BILLS (COST
$3,897,123)
-----------
526,278,843
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES (100.39%) (COST $414,400,390)
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES
(COST $414,400,390)* 100.39% $526,278,843
OTHER ASSETS AND LIABILITIES, NET (0.39) (2,064,653)
------- -----------
TOTAL NET ASSETS 100.00% $524,214,190
------- -----------
</TABLE>
{::} YIELD TO MATURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
45
<PAGE>
ALLOCATION FUNDS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
STRATEGIC INCOME FUND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C> <C> <C>
N/A WELLS FARGO DISCIPLINED GROWTH
PORTFOLIO $ 2,593,324
N/A WELLS FARGO INCOME EQUITY
PORTFOLIO 13,198,507
N/A WELLS FARGO INDEX PORTFOLIO 13,022,018
N/A WELLS FARGO INTERNATIONAL
EQUITY PORTFOLIO 3,395,279
N/A WELLS FARGO INTERNATIONAL
PORTFOLIO 4,461,586
N/A WELLS FARGO LARGE COMPANY
GROWTH PORTFOLIO 10,384,597
N/A WELLS FARGO MANAGED FIXED
INCOME PORTFOLIO 74,114,583
N/A WELLS FARGO POSITIVE RETURN
BOND PORTFOLIO 49,314,143
N/A WELLS FARGO SMALL CAP INDEX
PORTFOLIO 1,313,435
N/A WELLS FARGO SMALL CAP VALUE
PORTFOLIO 1,311,520
N/A WELLS FARGO SMALL COMPANY
GROWTH PORTFOLIO 1,310,666
N/A WELLS FARGO SMALL COMPANY
VALUE PORTFOLIO 1,313,866
N/A WELLS FARGO STABLE INCOME
PORTFOLIO 66,959,013
N/A WELLS FARGO STRATEGIC VALUE
BOND PORTFOLIO 24,728,686
267,421,223
TOTAL INVESTMENTS IN CORE PORTFOLIOS
(99.64%) (COST $239,732,313)
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
U.S. TREASURY BILLS (0.35%)
$980,000 U.S. TREASURY BILLS 6.25%{::} 3/1/01 955,373
------------
955,373
TOTAL U.S. TREASURY BILLS (COST $955,991)
------------
268,376,596
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES (99.99%) (COST $240,688,304)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN CORE PORTFOLIOS AND
SECURITIES
(COST $240,688,304)* 99.99% $268,376,596
OTHER ASSETS AND LIABILITIES, NET 0.01 9,887
------- ------------
TOTAL NET ASSETS 100.00% $268,386,483
------- ------------
</TABLE>
{::} YIELD TO MATURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
46
<PAGE>
STATEMENTS OF ASSETS & LIABILITIES -- SEPTEMBER 30, 2000 ALLOCATION FUNDS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE
BALANCED- ASSET GROWTH INDEX MODERATE STRATEGIC
EQUITY ALLOCATION BALANCED ALLOCATION BALANCED INCOME
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
IN SECURITIES, AT MARKET
VALUE (SEE COST BELOW).... $90,139,725 $1,889,505,778 $1,108,280,164 $197,118,735 $526,278,843 $268,376,596
CASH........................ 0 5,053 0 5,183 0 0
RECEIVABLE FOR DIVIDENDS AND
INTEREST AND OTHER
RECEIVABLES............... 0 9,920,082 1,649 158,822 422 1,094
RECEIVABLE FOR INVESTMENTS
SOLD...................... 0 13,956 0 2,368 0 0
RECEIVABLE FOR FUND SHARES
ISSUED.................... 129,166 3,522,055 1,863,118 113,289 7,280,940 643,610
PREPAID EXPENSES AND OTHER
ASSETS.................... 1,252 27,357 201 273 0 0
VARIATION MARGIN ON FUTURES
CONTRACTS................. 185,219 0 2,609,162 0 956,000 234,506
----------- -------------- -------------- ------------ ------------ ------------
TOTAL ASSETS.................. 90,455,362 1,902,994,281 1,112,754,294 197,398,670 534,516,205 269,255,806
----------- -------------- -------------- ------------ ------------ ------------
LIABILITIES
PAYABLE FOR FUND SHARES
REDEEMED.................. 11,642 2,058,769 2,101,919 535,522 10,040,594 732,318
PAYABLE TO INVESTMENT
ADVISOR AND AFFILIATES.... 17,581 1,360,053 323,519 195,267 146,648 60,852
PAYABLE TO OTHER RELATED
PARTIES................... 28,550 1,325,152 83,323 123,278 27,910 12,931
ACCRUED EXPENSES AND OTHER
LIABILITIES............... 63,261 622,610 144,402 168,765 86,863 63,222
VARIATION MARGIN ON FUTURES
CONTRACTS................. 0 11,150 0 33,450 0 0
----------- -------------- -------------- ------------ ------------ ------------
TOTAL LIABILITIES............. 121,034 5,377,734 2,653,163 1,056,282 10,302,015 869,323
----------- -------------- -------------- ------------ ------------ ------------
TOTAL NET ASSETS.............. $90,334,328 $1,897,616,547 $1,110,101,131 $196,342,388 $524,214,190 $268,386,483
----------- -------------- -------------- ------------ ------------ ------------
NET ASSETS CONSIST OF:
---------------------------------------------------------------------------------------------------------------------------------
PAID-IN CAPITAL............. $79,249,547 $1,496,620,408 $ 778,913,499 $120,883,952 $372,342,985 $226,252,758
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)............. 861,489 610,836 19,196,283 0 17,043,540 10,378,984
UNDISTRIBUTED NET REALIZED
GAIN (LOSS) ON
INVESTMENTS............... 2,433,294 123,817,785 57,636,693 18,169,950 21,115,180 3,617,588
NET UNREALIZED APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............... 7,436,115 276,610,443 249,350,736 57,417,261 111,878,453 27,688,292
NET UNREALIZED APPRECIATION
(DEPRECIATION) OF
FUTURES................... 353,883 (42,925) 5,003,920 (128,775) 1,834,032 448,861
----------- -------------- -------------- ------------ ------------ ------------
TOTAL NET ASSETS.............. $90,334,328 $1,897,616,547 $1,110,101,131 $196,342,388 $524,214,190 $268,386,483
----------- -------------- -------------- ------------ ------------ ------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS - CLASS A.......... N/A $1,266,357,592 $ 17,975,750 $ 89,608,350 N/A N/A
SHARES OUTSTANDING -
CLASS A..................... N/A 51,975,430 514,129 4,166,934 N/A N/A
NET ASSET VALUE PER SHARE -
CLASS A..................... N/A $ 24.36 $ 34.96 $ 21.50 N/A N/A
MAXIMUM OFFERING PRICE PER
SHARE - CLASS A(1).......... N/A $ 25.85 $ 37.09 $ 22.81 N/A N/A
NET ASSETS - CLASS B.......... N/A $ 577,525,888 $ 20,198,466 $ 29,726,417 N/A N/A
SHARES OUTSTANDING -
CLASS B..................... N/A 39,087,713 621,445 1,130,310 N/A N/A
NET ASSET VALUE AND OFFERING
PRICE PER SHARE -
CLASS B..................... N/A $ 14.78 $ 32.50 $ 26.30 N/A N/A
NET ASSETS - CLASS C.......... N/A $ 32,911,186 $ 6,564,477 $ 77,007,621 N/A N/A
SHARES OUTSTANDING -
CLASS C..................... N/A 2,221,156 201,998 2,926,394 N/A N/A
NET ASSET VALUE AND OFFERING
PRICE PER SHARE -
CLASS C..................... N/A $ 14.82 $ 32.50 $ 26.31 N/A N/A
NET ASSETS - INSTITUTIONAL
CLASS....................... $90,334,328 $ 20,821,881(2) $1,065,362,438 N/A $524,214,190 $268,386,483
SHARES OUTSTANDING -
INSTITUTIONAL CLASS......... 6,110,183 854,269(2) 32,374,691 N/A 21,108,728 13,127,401
NET ASSET VALUE AND OFFERING
PRICE PER SHARE -
INSTITUTIONAL CLASS......... $ 14.78 $ 24.37(2) $ 32.91 N/A $ 24.83 $ 20.44
----------- -------------- -------------- ------------ ------------ ------------
INVESTMENTS AT COST
(NOTE 10)................... $82,703,610 $1,612,895,335 $ 858,929,428 $139,701,474 $414,400,390 $240,688,304
----------- -------------- -------------- ------------ ------------ ------------
</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>
ALLOCATION FUNDS STATEMENTS OF OPERATIONS -- FOR THE YEAR ENDED SEPTEMBER 30,
2000
--------------------------------------------------------------------------------
<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.............. $ 680,289(2) $ 13,562,716 $ 7,388,396(3) $ 2,281,395 $ 2,349,931(4) $ 575,580(5)
INTEREST............... 1,135,818 47,883,266 24,596,256 345,130 21,168,384 13,580,706
SECURITIES LENDING
INCOME............... 19,831 0 289,559 0 147,803 73,139
NET EXPENSES ALLOCATED
FROM PORTFOLIOS...... (453,723) 0 (5,666,070) 0 (2,716,488) (1,233,212)
--------------- ------------- ------------- ------------ ------------ ------------
TOTAL INVESTMENT
INCOME................. 1,382,215 61,445,982 26,608,141 2,626,525 20,949,630 12,996,213
--------------- ------------- ------------- ------------ ------------ ------------
EXPENSES
ADVISORY FEES.......... 191,563 14,566,546 2,555,840 1,621,119 1,327,437 648,112
ADMINISTRATION FEES.... 108,048 2,895,051 1,435,207 307,794 741,144 361,092
SHAREHOLDER SERVICING
FEES................. 0 2,288,702 84,320 512,989 0 0
PORTFOLIO ACCOUNTING
FEES................. 51,443 190,607 97,337 95,476 39,286 31,324
TRANSFER AGENT
CLASS A.............. N/A 1,469,741 18,483 42,759 N/A N/A
CLASS B.............. N/A 834,216 26,303 40,248 N/A N/A
CLASS C.............. N/A 23,908 5,161 82,162 N/A N/A
INSTITUTIONAL
CLASS ............. 17,921 8,395(1) 293,709 N/A 176,347 85,642
DISTRIBUTION FEES
CLASS A.............. N/A 0 678 0 N/A N/A
CLASS B.............. N/A 4,111,467 122,832 196,398 N/A N/A
CLASS C.............. N/A 195,860 33,229 614,801 N/A N/A
INSTITUTIONAL
CLASS ............. 0 0(1) 0 N/A 0 0
LEGAL AND AUDIT FEES... 10,173 122,909 27,366 16,130 18,517 12,234
REGISTRATION FEES...... 54,241 92,452 97,648 12,372 34,834 37,671
DIRECTORS' FEES........ 4,710 4,789 5,447 4,193 5,184 4,980
SHAREHOLDER REPORTS.... 1,865 235,287 82,581 26,941 45,080 20,152
OTHER.................. 5,815 267,877 20,632 22,666 10,201 9,478
--------------- ------------- ------------- ------------ ------------ ------------
TOTAL EXPENSES........... 445,779 27,307,807 4,906,773 3,596,048 2,398,030 1,210,685
--------------- ------------- ------------- ------------ ------------ ------------
LESS:
WAIVED FEES AND
REIMBURSED
EXPENSES............. (135,585) (3,915,450) (841,813) (127,725) (455,186) (375,174)
NET EXPENSES........... 310,194 23,392,357 4,064,960 3,468,323 1,942,844 835,511
--------------- ------------- ------------- ------------ ------------ ------------
NET INVESTMENT INCOME
(LOSS)................. 1,072,021 38,053,625 22,543,181 (841,798) 19,006,786 12,160,702
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)
FROM:
SECURITIES............. 0 127,720,841 0 18,839,912 0 0
FINANCIAL FUTURES
TRANSACTIONS......... 0 (56,847) 0 427,446 0 0
SECURITIES TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS........... 1,731,735 0 39,640,790 0 18,186,955 2,843,837
FOREIGN CURRENCY
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS........... 1,208 0 (667) 0 5,220 1,262
FINANCIAL FUTURES
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS........... 636,888 0 19,038,731 0 3,583,408 883,117
NET REALIZED GAIN (LOSS)
FROM INVESTMENTS....... 2,369,831 127,663,994 58,678,854 19,267,358 21,775,583 3,728,216
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF:
SECURITIES............. (489) 45,341,608 (6,862) 4,692,562 (2,518) (618)
FINANCIAL FUTURES
TRANSACTIONS......... 353,883 248,825 5,003,920 248,375 1,834,032 448,861
SECURITIES TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS........... 6,658,325 0 52,155,356 0 17,539,606 7,342,064
FOREIGN CURRENCY
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS........... 1,893 0 (22,482) 0 (14,157) (3,392)
FINANCIAL FUTURES
TRANSACTIONS
ALLOCATED FROM
PORTFOLIOS........... 16,567 0 (455,839) 0 (268,690) (64,131)
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ 7,030,179 45,590,433 56,674,093 4,940,937 19,088,273 7,722,784
--------------- ------------- ------------- ------------ ------------ ------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS......... 9,400,010 173,254,427 115,352,947 24,208,295 40,863,856 11,451,000
--------------- ------------- ------------- ------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ 10,472,031 $ 211,308,052 $ 137,896,128 $ 23,366,497 $ 59,870,642 $ 23,611,702
--------------- ------------- ------------- ------------ ------------ ------------
</TABLE>
(1) THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
(2) NET OF FOREIGN WITHHOLDING TAXES OF $17,782
(3) NET OF FOREIGN WITHHOLDING TAXES OF $176,414
(4) NET OF FOREIGN WITHHOLDING TAXES OF $51,639
(5) NET OF FOREIGN WITHHOLDING TAXES OF $13,129
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
-------------------------------------------------------
FOR THE FOR THE FOUR FOR THE
YEAR ENDED MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 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)............... 1,072,021 264,248 222,490
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 2,369,831 128,115 41,190
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 7,030,179 (1,989,429) 2,385,849
------------------ ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 10,472,031 (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
INSTITUTIONAL CLASS.... (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
INSTITUTIONAL CLASS.... (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 -
INSTITUTIONAL CLASS.... 29,670,699 39,933,710 23,725,687
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 695,629 0 0
COST OF SHARES REDEEMED
-
INSTITUTIONAL CLASS.... (14,814,843) (5,300,609) (3,163,094)
------------------ ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS.... 15,551,485 34,633,101 20,562,593
------------------ ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 25,323,401 33,036,035 23,103,023
------------------ ------------------ ------------
NET ASSETS:
----------------------------------------------------------------------------------
ENDING NET ASSETS...... $ 90,334,328 $ 65,010,927 $ 31,974,892
SHARE 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 -
INSTITUTIONAL CLASS.... 2,060,910 2,967,189 2,138,936
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 50,518 0 0
SHARES REDEEMED -
INSTITUTIONAL CLASS.... (1,045,649) (395,534) (469,525)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
INSTITUTIONAL CLASS.... 1,065,779 2,571,655 1,669,411
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 861,489 $ 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. "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. "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.
(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
------------------------------------------------------------ -------------------
FOR THE FOR THE SEVEN FOR THE ELEVEN FOR THE
YEAR ENDED MONTHS ENDED MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 2000 SEPTEMBER 30, 1999 FEBRUARY 28, 1999 SEPTEMBER 30, 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)............... 38,053,625 20,891,634 22,598,456 22,543,181
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 127,663,994 236,424,412 142,835,083 58,678,854
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 45,590,433 (221,968,646) 44,504,574 56,674,093
------------------ ------------------ ----------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 211,308,052 35,347,400 209,938,113 137,896,128
------------------ ------------------ ----------------- ------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT INCOME
CLASS A.............. (29,436,744) (18,297,226) (17,033,688) (223,286)
CLASS B.............. (7,212,756) (5,507,711) (2,432,608) (177,283)
CLASS C.............. (359,060) (203,506) (15,634)(3) (40,870)
INSTITUTIONAL CLASS.... (425,928)(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)
INSTITUTIONAL CLASS.... 0(1) N/A N/A (53,079,905)
CAPITAL SHARE
TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD - CLASS A....... 97,584,952(2) 62,139,392 101,471,242 12,314,598
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 212,815,654 17,993,300 135,550,735 902,086
COST OF SHARES REDEEMED
- CLASS A............ (291,193,813) (144,669,816) (216,463,258) (2,496,463)
------------------ ------------------ ----------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ 19,206,793 (64,537,124) 20,558,719 10,720,221
------------------ ------------------ ----------------- ------------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 136,401,248(2) 118,452,976 141,646,232 8,540,856
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 75,957,306 5,319,893 33,599,069 914,185
COST OF SHARES REDEEMED
- CLASS B............ (103,958,464) (34,633,257) (47,391,618) (2,191,398)
------------------ ------------------ ----------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 108,400,090 89,139,612 127,853,683 7,263,643
------------------ ------------------ ----------------- ------------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... 19,409,831 12,297,723 10,142,395(3) 4,806,716
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 2,643,688 160,631 527,615(3) 179,327
COST OF SHARES REDEEMED
- CLASS C............ (8,425,764) (1,995,418) (555,033)(3) (804,593)
------------------ ------------------ ----------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ 13,627,755 10,462,936 10,114,977(3) 4,181,450
------------------ ------------------ ----------------- ------------------
PROCEEDS FROM SHARES
SOLD -
INSTITUTIONAL CLASS.... 34,385,591(1)(2) N/A N/A 311,316,328
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 388,482(1) N/A N/A 70,670,346
COST OF SHARES REDEEMED
-
INSTITUTIONAL CLASS.... (15,196,564)(1) N/A N/A (285,237,711)
------------------ ------------------ ----------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS.... 19,577,509(1) N/A N/A 96,748,963
------------------ ------------------ ----------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 75,179,111 46,404,381 203,124,795 183,640,206
------------------ ------------------ ----------------- ------------------
NET ASSETS:
------------------------------------------------------------------------------------------------------------
ENDING NET ASSETS...... $ 1,897,616,547 $ 1,822,437,436 $ 1,776,033,055 $ 1,110,101,131
SHARE ISSUED AND REDEEMED:
SHARES SOLD -
CLASS A.............. 4,063,691(2) 2,323,139 3,967,005 359,936
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 9,236,779 681,217 5,460,934 27,825
SHARES REDEEMED -
CLASS A.............. (12,056,323) (5,416,609) (8,542,275) (74,090)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ 1,244,147 (2,412,253) 885,664 313,671
SHARES SOLD -
CLASS B.............. 9,321,779(2) 7,313,188 9,161,518 269,437
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 5,444,614 335,069 2,236,282 30,151
SHARES REDEEMED -
CLASS B.............. (7,103,309) (2,142,327) (3,093,434) (69,353)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS B................ 7,663,084 5,505,930 8,304,366 230,235
SHARES SOLD -
CLASS C.............. 1,319,140 755,529 648,391(3) 150,897
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 188,601 10,113 35,062(3) 5,916
SHARES REDEEMED -
CLASS C.............. (575,650) (122,839) (37,191)(3) (25,069)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ 932,091 642,803 646,262(3) 131,744
SHARES SOLD -
INSTITUTIONAL CLASS.... 1,471,746(1)(2) N/A N/A 9,702,801
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 15,936(1) N/A N/A 2,320,103
SHARES REDEEMED -
INSTITUTIONAL CLASS.... (633,413)(1) N/A N/A (9,003,837)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
INSTITUTIONAL CLASS.... 854,269(1) N/A N/A 3,019,067
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 610,836 $ (283) $ 3,116,526 $ 19,196,283
------------------ ------------------ ----------------- ------------------
<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)
INSTITUTIONAL CLASS.... 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)
INSTITUTIONAL CLASS.... 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 -
INSTITUTIONAL CLASS.... 116,820,438 204,369,753
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 0 39,403,839
COST OF SHARES REDEEMED
-
INSTITUTIONAL CLASS.... (57,694,546) (130,964,703)
------------------ -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS.... 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
SHARE ISSUED AND REDEEMED
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 -
INSTITUTIONAL CLASS.... 3,673,918 6,897,939
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 0 1,364,871
SHARES REDEEMED -
INSTITUTIONAL CLASS.... (1,819,297) (4,488,548)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
INSTITUTIONAL CLASS.... 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. "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. "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.
(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
------------------------------------------------------------
FOR THE FOR THE SEVEN FOR THE ELEVEN
YEAR ENDED MONTHS ENDED MONTHS ENDED
SEPTEMBER 30, 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)............... (841,798) (239,628) (183,402)
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 19,267,358 2,237,462 8,684,372
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 4,940,937 3,468,146 9,193,064
------------------ ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 23,366,497 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
INSTITUTIONAL CLASS.... 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)
INSTITUTIONAL CLASS.... N/A N/A N/A
CAPITAL SHARE
TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD - CLASS A....... 7,534,994 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............ (23,816,215) (7,604,914) (20,080,414)
------------------ ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ (13,582,445) (1,315,337) (7,333,969)
------------------ ------------------ -----------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 12,466,970 7,441,227 9,165,489
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 713,641 0 325,031
COST OF SHARES REDEEMED
- CLASS B............ (4,473,631) (751,607) (1,079,572)
------------------ ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 8,706,980 6,689,620 8,410,948
------------------ ------------------ -----------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... 12,679,074 14,408,434 19,392,127
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 2,155,189 360 1,486,208
COST OF SHARES REDEEMED
- CLASS C............ (21,712,693) (6,098,596) (13,595,784)
------------------ ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ (6,878,430) 8,310,198 7,282,551
------------------ ------------------ -----------------
PROCEEDS FROM SHARES
SOLD -
INSTITUTIONAL CLASS.... N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... N/A N/A N/A
COST OF SHARES REDEEMED
-
INSTITUTIONAL CLASS.... N/A N/A N/A
------------------ ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS.... N/A N/A N/A
------------------ ------------------ -----------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 4,706,141 19,049,732 20,367,025
------------------ ------------------ -----------------
NET ASSETS:
---------------------------------------------------------------------------------------
ENDING NET ASSETS...... $ 196,342,388 $ 191,636,247 $ 172,586,515
SHARE ISSUED AND REDEEMED:
SHARES SOLD -
CLASS A.............. 351,013 305,236 571,737
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 126,525 3,809 147,971
SHARES REDEEMED -
CLASS A.............. (1,110,947) (374,373) (1,138,366)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ (633,409) (65,328) (418,658)
SHARES SOLD -
CLASS B.............. 473,459 295,420 415,134
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 27,207 0 14,619
SHARES REDEEMED -
CLASS B.............. (169,876) (29,564) (48,393)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS B................ 330,790 265,856 381,360
SHARES SOLD -
CLASS C.............. 481,053 571,543 860,963
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 82,102 10 66,796
SHARES REDEEMED -
CLASS C.............. (824,925) (242,752) (641,920)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ (261,770) 328,801 285,839
SHARES SOLD -
INSTITUTIONAL CLASS.... N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... N/A N/A N/A
SHARES REDEEMED -
INSTITUTIONAL CLASS.... N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
INSTITUTIONAL CLASS.... N/A N/A N/A
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 0 $ 0 $ (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. "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. "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.
(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
------------------------------------------------------- -------------------
FOR THE FOR THE FOUR FOR THE FOR THE
YEAR ENDED MONTHS ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, 2000 SEPTEMBER 30, 1999 MAY 31, 1999 SEPTEMBER 30, 2000
<S> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
BEGINNING NET ASSETS... $ 546,569,912 $ 527,692,640 $ 464,383,735 $ 267,158,458
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 19,006,786 6,190,508 16,000,791 12,160,702
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 21,775,583 6,134,641 29,446,117 3,728,216
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 19,088,273 (12,029,757) 11,154,848 7,722,784
------------------ ------------------ ------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 59,870,642 295,392 56,601,756 23,611,702
------------------ ------------------ ------------- ------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT INCOME
CLASS A.............. N/A N/A N/A N/A
CLASS B.............. N/A N/A N/A N/A
CLASS C.............. N/A N/A N/A N/A
INSTITUTIONAL CLASS.... (17,805,383) 0 (15,305,998) (11,396,460)
NET REALIZED GAIN ON
SALE OF INVESTMENTS
CLASS A.............. N/A N/A N/A N/A
CLASS B.............. N/A N/A N/A N/A
CLASS C.............. N/A N/A N/A N/A
INSTITUTIONAL CLASS.... (26,775,314) 0 (15,882,796) (7,058,468)
CAPITAL SHARE
TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD - CLASS A....... N/A N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. N/A N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS 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
------------------ ------------------ ------------- ------------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... N/A N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. N/A N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS B............ 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
------------------ ------------------ ------------- ------------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... N/A N/A N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. N/A N/A N/A N/A
COST OF SHARES REDEEMED
- CLASS C............ 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
------------------ ------------------ ------------- ------------------
PROCEEDS FROM SHARES
SOLD -
INSTITUTIONAL CLASS.... 85,609,988 55,133,210 123,800,331 52,308,750
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 44,029,883 0 31,072,462 18,189,233
COST OF SHARES REDEEMED
-
INSTITUTIONAL CLASS.... (167,285,538) (36,551,330) (116,976,850) (74,426,732)
------------------ ------------------ ------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS.... (37,645,667) 18,581,880 37,895,943 (3,928,749)
------------------ ------------------ ------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... (22,355,722) 18,877,272 63,308,905 1,228,025
------------------ ------------------ ------------- ------------------
NET ASSETS:
-------------------------------------------------------------------------------------------------------
ENDING NET ASSETS...... $ 524,214,190 $ 546,569,912 $ 527,692,640 $ 268,386,483
SHARE ISSUED AND REDEEMED:
SHARES SOLD -
CLASS 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
SHARES REDEEMED -
CLASS 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
SHARES SOLD -
CLASS B.............. N/A N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. N/A N/A N/A N/A
SHARES REDEEMED -
CLASS B.............. N/A N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS B................ N/A N/A N/A N/A
SHARES SOLD -
CLASS C.............. N/A N/A N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. N/A N/A N/A N/A
SHARES REDEEMED -
CLASS C.............. N/A N/A N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ N/A N/A N/A N/A
SHARES SOLD -
INSTITUTIONAL CLASS.... 3,533,444 2,245,495 5,272,604 2,622,299
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 1,910,190 0 1,348,046 954,314
SHARES REDEEMED -
INSTITUTIONAL CLASS.... (6,939,208) (1,496,860) (4,973,212) (3,763,974)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
INSTITUTIONAL CLASS.... (1,495,574) 748,635 1,647,438 (187,361)
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 17,043,540 $ 15,864,787 $ 9,719,677 $ 10,378,984
------------------ ------------------ ------------- ------------------
<CAPTION>
STRATEGIC INCOME
----------------------------------
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... $ 263,327,727 $235,253,837
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 3,885,680 10,666,460
NET REALIZED GAIN
(LOSS) ON SALE OF
INVESTMENTS.......... 1,234,908 8,268,621
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (3,988,645) 1,488,787
------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 1,131,943 20,423,868
------------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
NET INVESTMENT INCOME
CLASS A.............. N/A N/A
CLASS B.............. N/A N/A
CLASS C.............. N/A N/A
INSTITUTIONAL CLASS.... 0 (10,430,421)
NET REALIZED GAIN ON
SALE OF INVESTMENTS
CLASS A.............. N/A N/A
CLASS B.............. N/A N/A
CLASS C.............. N/A N/A
INSTITUTIONAL CLASS.... 0 (4,560,949)
CAPITAL SHARE
TRANSACTIONS:
PROCEEDS FROM SHARES
SOLD - CLASS A....... N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. N/A N/A
COST OF SHARES REDEEMED
- CLASS A............ N/A N/A
------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ N/A N/A
------------------ ------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. N/A N/A
COST OF SHARES REDEEMED
- CLASS B............ N/A N/A
------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS B................ N/A N/A
------------------ ------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... N/A N/A
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. N/A N/A
COST OF SHARES REDEEMED
- CLASS C............ N/A N/A
------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ N/A N/A
------------------ ------------
PROCEEDS FROM SHARES
SOLD -
INSTITUTIONAL CLASS.... 23,629,941 70,070,502
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 0 14,719,218
COST OF SHARES REDEEMED
-
INSTITUTIONAL CLASS.... (20,931,153) (62,148,328)
------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS.... 2,698,788 22,641,392
------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS.......... 3,830,731 28,073,890
------------------ ------------
NET ASSETS:
-------------------------
ENDING NET ASSETS...... $ 267,158,458 $263,327,727
SHARE ISSUED AND REDEEMED
SHARES SOLD -
CLASS A.............. N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. N/A N/A
SHARES REDEEMED -
CLASS A.............. N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ N/A N/A
SHARES SOLD -
CLASS B.............. N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. N/A N/A
SHARES REDEEMED -
CLASS B.............. N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS B................ N/A N/A
SHARES SOLD -
CLASS C.............. N/A N/A
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. N/A N/A
SHARES REDEEMED -
CLASS C.............. N/A N/A
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ N/A N/A
SHARES SOLD -
INSTITUTIONAL CLASS.... 1,172,995 3,522,514
SHARES ISSUED IN
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL CLASS.... 0 753,286
SHARES REDEEMED -
INSTITUTIONAL CLASS.... (1,040,085) (3,120,624)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
INSTITUTIONAL CLASS.... 132,910 1,155,176
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 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. "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. "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.
(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
--------------------------------------------------------------------------------
<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
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 12.89 0.18 1.85 (0.12)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... $ 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(5) TO
MAY 31, 1998........... $ 10.00 0.06 0.99 (0.01)
ASSET ALLOCATION FUND
----------------------------------------------------------------------------
CLASS A
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 25.84 0.55 2.21 (0.55)
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... $ 25.65 0.36 0.19 (0.36)
APRIL 1, 1998 TO FEBRUARY
28, 1999............... $ 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......... $ 21.24 0.41 0.65 (0.41)
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996..... $ 20.74 0.57 0.50 (0.57)
JANUARY 1, 1995(5) TO
DECEMBER 31, 1995...... $ 16.73 0.74 4.07 (0.74)
CLASS B
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 15.63 0.22 1.35 (0.19)
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... $ 15.55 0.18 0.08 (0.18)
APRIL 1, 1998 TO FEBRUARY
28, 1999............... $ 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......... $ 12.84 0.19 0.41 (0.19)
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996..... $ 12.50 0.28 0.34 (0.28)
JANUARY 1, 1995(5) TO
DECEMBER 31, 1995...... $ 10.00 0.22 2.53 (0.22)
CLASS C
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 15.68 0.21 1.36 (0.19)
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... $ 15.59 0.18 0.09 (0.18)
APRIL 1, 1998(5) TO
FEBRUARY 28, 1999...... $ 15.16 0.08 1.82 (0.07)
INSTITUTIONAL CLASS
NOVEMBER 8, 1999(5) TO
SEPTEMBER 30, 2000..... $ 23.18 0.50 1.15 (0.46)
GROWTH BALANCED FUND
----------------------------------------------------------------------------
CLASS A
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 32.69 0.62 4.05 (0.59)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... $ 32.78 0.16 (0.25) 0.00
OCTOBER 1, 1998(5) TO
MAY 31, 1999........... $ 28.09 0.63 5.67 (0.58)
CLASS B
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 30.59 0.42 3.71 (0.41)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... $ 30.76 0.10 (0.27) 0.00
OCTOBER 1, 1998(5) TO
MAY 31, 1999........... $ 26.96 0.56 4.82 (0.55)
CLASS C
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 30.65 0.48 3.66 (0.48)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... $ 30.79 0.07 (0.21) 0.00
OCTOBER 1, 1998(5) TO
MAY 31, 1999........... $ 26.96 0.65 4.79 (0.58)
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 30.86 0.69 3.79 (0.62)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... $ 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)
</TABLE>
54
<PAGE>
FINANCIAL HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISTRIBUTIONS ENDING RATIO TO AVERAGE NET ASSETS (ANNUALIZED)
FROM NET NET ASSET -------------------------------------------------
REALIZED VALUE PER NET INVESTMENT NET GROSS TOTAL
GAINS SHARE INCOME (LOSS) EXPENSES EXPENSES(1) RETURN(2)
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE BALANCED-EQUITY FUND
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (0.02) $ 14.78 1.40% 1.00%(3) 1.17%(3) 15.82%
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 12.89 1.36% 1.00%(3) 1.24%(3) (0.31)%
JUNE 1, 1998 TO MAY 31,
1999................... 0.00 $ 12.93 1.34% 1.00%(3) 1.36%(3) 17.98%
DECEMBER 2, 1997(5) TO
MAY 31, 1998........... 0.00 $ 11.04 1.58% 1.00%(3) 2.29%(3) 10.55%
ASSET ALLOCATION FUND
-----------------------------------------------------------------------------------------------------------------------------
CLASS A
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (3.69) $ 24.36 2.20% 0.99% 1.18% 11.96%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 25.84 2.08% 0.95% 0.96% 2.10%
APRIL 1, 1998 TO FEBRUARY
28, 1999............... (2.31) $ 25.65 1.65% 0.92% N/A 13.69%
APRIL 1, 1997 TO
MARCH 31, 1998......... (1.68) $ 24.99 2.99%(6) 0.95%(6) N/A 36.08%
OCTOBER 1, 1997 TO
MARCH 31, 1997......... (1.59) $ 20.30 3.91%(6) 0.92%(6) N/A 4.94%
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996..... 0.00 $ 21.24 3.53%(6) 0.90%(6) N/A 5.14%
JANUARY 1, 1995(5) TO
DECEMBER 31, 1995...... (0.06) $ 20.74 3.81% 0.84% N/A 29.18%
CLASS B
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (2.23) $ 14.78 1.45% 1.74% 1.97% 11.21%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 15.63 1.42% 1.63% 1.68% 1.68%
APRIL 1, 1998 TO FEBRUARY
28, 1999............... (1.40) $ 15.55 0.91% 1.62% 1.63% 12.98%
APRIL 1, 1997 TO
MARCH 31, 1998......... (1.02) $ 15.16 2.15%(6) 1.60%(6) N/A 35.16%
OCTOBER 1, 1997 TO
MARCH 31, 1997......... (0.96) $ 12.29 3.30%(6) 1.53%(6) 1.58%(6) 4.62%
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996..... 0.00 $ 12.84 3.37%(6) 1.14%(6) 1.56%(6) 4.96%
JANUARY 1, 1995(5) TO
DECEMBER 31, 1995...... (0.03) $ 12.50 2.71% 1.53% 1.76% 27.72%
CLASS C
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (2.24) $ 14.82 1.42% 1.74% 1.91% 11.17%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 15.68 1.46% 1.64% 1.70% 1.69%
APRIL 1, 1998(5) TO
FEBRUARY 28, 1999...... (1.40) $ 15.59 0.69% 1.64% 1.85% 12.97%
INSTITUTIONAL CLASS
NOVEMBER 8, 1999(5) TO
SEPTEMBER 30, 2000..... 0.00 $ 24.37 2.21% 0.99% 1.03% 7.14%
GROWTH BALANCED FUND
-----------------------------------------------------------------------------------------------------------------------------
CLASS A
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (1.81) $ 34.96 2.05% 1.15%(3) 1.37%(3) 14.86%
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 32.69 1.83% 1.15%(3) 1.67%(3) (0.27)%
OCTOBER 1, 1998(5) TO
MAY 31, 1999........... (1.03) $ 32.78 1.92% 1.15%(3) 1.88%(3) 22.83%
CLASS B
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (1.81) $ 32.50 1.28% 1.90%(3) 2.15%(3) 14.04%
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 30.59 1.08% 1.90%(3) 2.31%(3) (0.55)%
OCTOBER 1, 1998(5) TO
MAY 31, 1999........... (1.03) $ 30.76 1.34% 1.75%(3) 2.43%(3) 20.36%
CLASS C
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (1.81) $ 32.50 1.31% 1.90%(3) 2.12%(3) 14.06%
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 30.65 1.30% 1.68%(3) 2.46%(3) (0.45)%
OCTOBER 1, 1998(5) TO
MAY 31, 1999........... (1.03) $ 30.79 1.45% 1.68%(3) 4.43%(3) 20.59%
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (1.81) $ 32.91 2.23% 0.93%(3) 1.01%(3) 15.14%
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 30.86 2.05% 0.93%(3) 1.14%(3) (0.23)%
JUNE 1, 1998 TO MAY 31,
1999................... (1.03) $ 30.93 2.16% 0.93%(3) 1.13%(3) 16.38%
JUNE 1, 1997 TO MAY 31,
1998................... (1.21) $ 28.06 2.38% 0.93%(3) 1.09%(3) 21.40%
JUNE 1, 1996 TO MAY 31,
1997................... (0.91) $ 24.77 2.47% 0.94%(3) 1.16%(3) 15.81%
NOVEMBER 1, 1995 TO
MAY 31, 1996........... (0.17) $ 22.83 2.66% 0.98%(3) 1.16%(3) 10.87%
<CAPTION>
PORTFOLIO NET ASSETS AT
TURNOVER END OF PERIOD
RATE (000'S OMITTED)
<S> <C> <C>
-------------------------
AGGRESSIVE BALANCED-EQUIT
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 48%(4) $ 90,334
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 12%(4) $ 65,011
JUNE 1, 1998 TO MAY 31,
1999................... 43%(4) $ 31,975
DECEMBER 2, 1997(5) TO
MAY 31, 1998........... 36%(4) $ 8,872
ASSET ALLOCATION FUND
-------------------------
CLASS A
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 37% $ 1,266,358
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 29% $ 1,310,935
APRIL 1, 1998 TO FEBRUARY
28, 1999............... 31% $ 1,362,966
APRIL 1, 1997 TO
MARCH 31, 1998......... 51%(6) $ 1,305,848
OCTOBER 1, 1997 TO
MARCH 31, 1997......... 5%(6) $ 1,041,622
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996..... 1%(7) $ 1,057,346
JANUARY 1, 1995(5) TO
DECEMBER 31, 1995...... 15% $ 1,077,935
CLASS B
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 37% $ 577,526
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 29% $ 491,284
APRIL 1, 1998 TO FEBRUARY
28, 1999............... 31% $ 402,991
APRIL 1, 1997 TO
MARCH 31, 1998......... 51%(6) $ 267,060
OCTOBER 1, 1997 TO
MARCH 31, 1997......... 5%(6) $ 89,252
JANUARY 1, 1996 TO
SEPTEMBER 30, 1996..... 1%(7) $ 63,443
JANUARY 1, 1995(5) TO
DECEMBER 31, 1995...... 15% $ 26,271
CLASS C
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 37% $ 32,911
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 29% $ 20,218
APRIL 1, 1998(5) TO
FEBRUARY 28, 1999...... 31% $ 10,076
INSTITUTIONAL CLASS
NOVEMBER 8, 1999(5) TO
SEPTEMBER 30, 2000..... 37% $ 20,822
GROWTH BALANCED FUND
-------------------------
CLASS A
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 56%(4) $ 17,976
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 11%(4) $ 6,552
OCTOBER 1, 1998(5) TO
MAY 31, 1999........... 49%(4) $ 3,667
CLASS B
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 56%(4) $ 20,198
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 11%(4) $ 11,967
OCTOBER 1, 1998(5) TO
MAY 31, 1999........... 49%(4) $ 8,978
CLASS C
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 56%(4) $ 6,564
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 11%(4) $ 2,153
OCTOBER 1, 1998(5) TO
MAY 31, 1999........... 49%(4) $ 1,236
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 56%(4) $ 1,065,362
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 11%(4) $ 905,789
JUNE 1, 1998 TO MAY 31,
1999................... 49%(4) $ 850,503
JUNE 1, 1997 TO MAY 31,
1998................... 46%(4) $ 665,758
JUNE 1, 1996 TO MAY 31,
1997................... 24%(4) $ 503,382
NOVEMBER 1, 1995 TO
MAY 31, 1996........... 39% $ 484,641
</TABLE>
55
<PAGE>
ALLOCATION FUNDS FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<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
CLASS A
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 19.72 0.01 2.48 0.00
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... $ 19.04 0.02 0.68 (0.02)
APRIL 1, 1998 TO FEBRUARY
28, 1999............... $ 17.55 0.03 2.14 (0.03)
JANUARY 1, 1998 TO
MARCH 31, 1998......... $ 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)
CLASS B
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 24.30 (0.15) 3.02 0.00
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... $ 23.55 (0.05) 0.80 0.00
APRIL 1, 1998 TO FEBRUARY
28, 1999............... $ 21.81 (0.07) 2.61 0.00
JANUARY 1, 1998 TO
MARCH 31, 1998......... $ 19.31 (0.01) 2.51 0.00
DECEMBER 15, 1997(5) TO
DECEMBER 31, 1997...... $ 18.99 0.00 0.32 0.00
CLASS C
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 24.32 (0.22) 3.08 0.00
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... $ 23.56 (0.07) 0.83 0.00
APRIL 1, 1998 TO FEBRUARY
28, 1999............... $ 21.82 (0.10) 2.64 0.00
JANUARY 1, 1998 TO
MARCH 31, 1998......... $ 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
----------------------------------------------------------------------------
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 24.18 0.94 1.79 (0.83)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... $ 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)
STRATEGIC INCOME FUND
----------------------------------------------------------------------------
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... $ 20.06 0.95 0.86 (0.88)
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... $ 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)
</TABLE>
56
<PAGE>
FINANCIAL HIGHLIGHTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISTRIBUTIONS ENDING RATIO TO AVERAGE NET ASSETS (ANNUALIZED)
FROM NET NET ASSET -------------------------------------------------
REALIZED VALUE PER NET INVESTMENT NET GROSS TOTAL
GAINS SHARE INCOME (LOSS) EXPENSES EXPENSES(1) RETURN(2)
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------
INDEX ALLOCATION FUND
CLASS A
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (0.71) $ 21.50 (0.01)% 1.30% 1.32% 12.63%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 19.72 0.15% 1.26% 1.26% 3.68%
APRIL 1, 1998 TO FEBRUARY
28, 1999............... (0.65) $ 19.04 0.19% 1.29% N/A 12.60%
JANUARY 1, 1998 TO
MARCH 31, 1998......... 0.00 $ 17.55 0.30% 1.31% 1.32% 13.23%
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... (1.71) $ 15.51 1.82% 1.26% 1.29% 25.18%
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... (1.79) $ 13.99 2.06% 1.31% 1.44% 17.04%
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... (0.33) $ 13.76 2.07% 1.30% 1.35% 34.71%
CLASS B
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (0.87) $ 26.30 (0.78)% 2.05% 2.18% 11.81%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 24.30 (0.61)% 2.03% 2.07% 3.18%
APRIL 1, 1998 TO FEBRUARY
28, 1999............... (0.80) $ 23.55 (0.57)% 2.04% 2.26% 11.88%
JANUARY 1, 1998 TO
MARCH 31, 1998......... 0.00 $ 21.81 (0.43)% 2.06% 4.03% 12.95%
DECEMBER 15, 1997(5) TO
DECEMBER 31, 1997...... 0.00 $ 19.31 (0.17)% 2.05% 15.17% 1.69%
CLASS C
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (0.87) $ 26.31 (0.76)% 2.05% 2.13% 11.76%
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 24.32 (0.60)% 2.01% 2.02% 3.23%
APRIL 1, 1998 TO FEBRUARY
28, 1999............... (0.80) $ 23.56 (0.56)% 2.05% 2.06% 11.88%
JANUARY 1, 1998 TO
MARCH 31, 1998......... 0.00 $ 21.82 (0.44)% 2.05% 2.09% 13.00%
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... (2.10) $ 19.32 1.00% 2.02% 2.05% 24.07%
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... (2.22) $ 17.42 1.35% 2.05% 2.20% 16.37%
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... (0.40) $ 17.10 1.30% 2.05% 2.17% 33.72%
MODERATE BALANCED FUND
-----------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (1.25) $ 24.83 3.58% 0.88%(3) 0.96%(3) 11.98%
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 24.18 3.37% 0.88%(3) 1.09%(3) 0.17%
JUNE 1, 1998 TO MAY 31,
1999................... (0.78) $ 24.14 3.26% 0.88%(3) 1.09%(3) 12.02%
JUNE 1, 1997 TO MAY 31,
1998................... (1.27) $ 22.98 3.57% 0.88%(3) 1.05%(3) 17.04%
JUNE 1, 1996 TO MAY 31,
1997................... (0.29) $ 21.59 3.70% 0.88%(3) 1.04%(3) 12.04%
NOVEMBER 1, 1995 TO
MAY 31, 1996........... (0.26) $ 20.27 3.95% 0.90%(3) 1.04%(3) 7.03%
STRATEGIC INCOME FUND
-----------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... (0.55) $ 20.44 4.69% 0.80%(3) 0.94%(3) 9.52%
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 0.00 $ 20.06 4.32% 0.80%(3) 1.05%(3) 0.40%
JUNE 1, 1998 TO MAY 31,
1999................... (0.37) $ 19.98 4.22% 0.80%(3) 1.04%(3) 8.45%
JUNE 1, 1997 TO MAY 31,
1998................... (0.59) $ 19.56 4.47% 0.80%(3) 1.03%(3) 14.13%
JUNE 1, 1996 TO MAY 31,
1997................... (0.38) $ 18.47 4.38% 0.81%(3) 0.98%(3) 9.58%
NOVEMBER 1, 1995 TO
MAY 31, 1996........... (0.23) $ 18.12 4.65% 0.82%(3) 0.97%(3) 5.14%
<CAPTION>
PORTFOLIO NET ASSETS AT
TURNOVER END OF PERIOD
RATE (000'S OMITTED)
<S> <C> <C>
-------------------------
INDEX ALLOCATION FUND
CLASS A
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 7% $ 89,608
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 3% $ 94,676
APRIL 1, 1998 TO FEBRUARY
28, 1999............... 12% $ 92,655
JANUARY 1, 1998 TO
MARCH 31, 1998......... 0% $ 92,733
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... 80% $ 80,512
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... 67% $ 60,353
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... 47% $ 52,007
CLASS B
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 7% $ 29,726
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 3% $ 19,431
APRIL 1, 1998 TO FEBRUARY
28, 1999............... 12% $ 12,568
JANUARY 1, 1998 TO
MARCH 31, 1998......... 0% $ 3,322
DECEMBER 15, 1997(5) TO
DECEMBER 31, 1997...... 80% $ 356
CLASS C
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 7% $ 77,008
MARCH 1, 1999 TO
SEPTEMBER 30, 1999..... 3% $ 77,530
APRIL 1, 1998 TO FEBRUARY
28, 1999............... 12% $ 67,364
JANUARY 1, 1998 TO
MARCH 31, 1998......... 0% $ 56,164
JANUARY 1, 1997 TO
DECEMBER 31, 1997...... 80% $ 46,084
JANUARY 1, 1996 TO
DECEMBER 31, 1996...... 67% $ 24,655
JANUARY 1, 1995 TO
DECEMBER 31, 1995...... 47% $ 16,075
MODERATE BALANCED FUND
-------------------------
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 58%(4) $ 524,214
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 11%(4) $ 546,570
JUNE 1, 1998 TO MAY 31,
1999................... 53%(4) $ 527,693
JUNE 1, 1997 TO MAY 31,
1998................... 54%(4) $ 464,384
JUNE 1, 1996 TO MAY 31,
1997................... 45% $ 418,680
NOVEMBER 1, 1995 TO
MAY 31, 1996........... 53% $ 398,005
STRATEGIC INCOME FUND
-------------------------
INSTITUTIONAL CLASS
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000..... 62%(4) $ 268,386
JUNE 1, 1999 TO
SEPTEMBER 30, 1999..... 11%(4) $ 267,158
JUNE 1, 1998 TO MAY 31,
1999................... 54%(4) $ 263,328
JUNE 1, 1997 TO MAY 31,
1998................... 58%(4) $ 235,254
JUNE 1, 1996 TO MAY 31,
1997................... 72% $ 128,777
NOVEMBER 1, 1995 TO
MAY 31, 1996........... 56% $ 146,950
</TABLE>
57
<PAGE>
ALLOCATION FUNDS NOTES TO FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
NOTES TO FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
(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) Commencement of operations.
(6) This ratio includes activity of the Master Portfolio prior to December 15,
1997.
(7) 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.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
58
<PAGE>
NOTES TO FINANCIAL STATEMENTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
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 65 separate series. These financial
statements present 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 (the "Consolidation").
Effective at 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 $8,912,730.
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 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 distribution, shareholder servicing, and transfer agency
fees.
The Aggressive Balanced-Equity, Growth Balanced, Moderate Balanced, and
Strategic Income Funds each seeks to achieve its investment objective by
investing all investable assets in one or more separate diversified portfolios
(each, a "Portfolio", collectively, the "Portfolios") 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 each business day as of the close of
regular trading on the New York Stock Exchange which is usually 1:00 p.m.
(Pacific Time), and 3:00 p.m. (Central Time). 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.
Securities held in the Portfolios are valued at their net asset value at the
close of business each day as discussed in the Notes to Financial Statements
of the Portfolios, which are included elsewhere in this report.
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, federal agency, or
high-grade corporate 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 September 30, 2000, the Funds held the following futures
contracts:
<TABLE>
<CAPTION>
Net Unrealized
Notional Appreciation/
Fund Contracts Type Expiration Date Contract Value (Depreciation)
<S> <C> <C> <C> <C> <C>
AGGRESSIVE
BALANCED-EQUITY 30 SHORT S&P 500 INDEX DECEMBER 2000 $ 10,902,750 $ 459,000
115 LONG U.S. T-BONDS DECEMBER 2000 11,345,469 (105,117)
ASSET ALLOCATION 2 LONG S&P 500 INDEX DECEMBER 2000 726,850 (42,925)
GROWTH BALANCED 423 SHORT S&P 500 INDEX DECEMBER 2000 153,728,775 6,471,900
1,606 LONG U.S. T-BONDS DECEMBER 2000 158,441,937 (1,467,980)
INDEX ALLOCATION 6 LONG S&P 500 INDEX DECEMBER 2000 2,180,550 (128,775)
MODERATE BALANCED 155 SHORT S&P 500 INDEX DECEMBER 2000 56,330,875 2,371,500
588 LONG U.S. T-BONDS DECEMBER 2000 58,009,875 (537,468)
STRATEGIC INCOME 38 SHORT S&P 500 INDEX DECEMBER 2000 13,810,150 581,400
145 LONG U.S. T-BONDS DECEMBER 2000 14,305,156 (132,539)
</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
$775,000, $100,000, $10,890,000, $143,000, $3,995,000, and $980,000,
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. The
collateral is equal to at least 102% of the market value of the securities
loaned plus accrued interest when the transaction is entered in to. 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 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 September 30, 2000.
RECLASSIFICATION OF CAPITAL ACCOUNTS
On the Statement of Assets and Liabilities, as a result of permanent
book-to-tax differences, reclassification adjustments were made as follows:
<TABLE>
<CAPTION>
Undistributed Undistributed
Net Investment Net Realized Paid in
Income Gain/(Loss) Capital
<S> <C> <C> <C>
AGGRESSIVE BALANCED-EQUITY FUND $ (1,530) $ (13,137) $ 14,667
ASSET ALLOCATION FUND (8,018) 594,730 (586,712)
GROWTH BALANCED FUND (61,423) (120,440) 181,863
INDEX ALLOCATION FUND 841,798 (841,798) 0
MODERATE BALANCED FUND (22,650) (48,965) 71,615
STRATEGIC INCOME FUND (12,859) (12,663) 25,522
</TABLE>
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. For federal
income tax purposes, the Funds may designate as capital gains dividends the
earnings and profits distributed to shareholders on the redemption of fund
shares during the year.
61
<PAGE>
ALLOCATION FUNDS NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
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
September 30, 2000.
3. ADVISORY FEES
The Trust has entered into an advisory contract on behalf of the Funds with
WFB. Pursuant to the contract, WFB has agreed to provide the Funds with daily
portfolio management for which WFB is entitled to be paid a monthly advisory
fee at annual rates. For services provided to the Asset Allocation and Index
Allocation Funds, WFB is entitled to receive an investment advisory fee of
0.80% of each Fund's average daily net assets.
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, Stagecoach Funds, Inc. had entered into an
advisory contract on behalf of the predecessor Asset Allocation and Index
Allocation Funds with WFB to provide the Funds with daily portfolio
management. Under the prior contract, with respect to 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 respect to 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. Prior to November 8, 1999, Norwest Investment Management, Inc.
provided investment advisory services for the Aggressive Balanced-Equity,
Growth Balanced, Moderate Balanced, and Strategic Income Funds at the same
rates as are currently charged.
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
advisory fee for the direct 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.
4. 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.
62
<PAGE>
NOTES TO FINANCIAL STATEMENTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
Prior to November 8, 1999, the Class A shares of the predecessor Asset
Allocation, Index Allocation, and Growth Balanced Funds also paid fees
pursuant to a Rule 12b-1 Plan. 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 Plan for
the Class A shares of 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. 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.
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 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. 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 distribution fees paid on behalf of the Funds for the year ended
September 30, 2000 are disclosed in the Statement of Operations.
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, WFB
served as Administrator for the predecessor Asset Allocation and Index
Allocation Funds at the rate, and pursuant to the substantially same terms, as
apply under the existing agreement.
Prior to November 8, 1999, the Administrator for the predecessor 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.
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, BFDS provided transfer agency services at the same
rates pursuant to a substantially similar agreement for the predecessor
Stagecoach and Norwest Advantage Funds.
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, Stagecoach Funds, Inc. had adopted a Shareholder
Administrative Servicing Plan (the "Administrative Servicing Plan") on behalf
of the Class A shares of the predecessor 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 year ended
September 30, 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 $1,604,545 $654,830 $ 29,327 0
GROWTH BALANCED FUND 36,096 37,735 10,489 0
INDEX ALLOCATION FUND 242,591 65,465 204,933 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
Forum Accounting Services, LLC ("Forum") provides portfolio accounting
services to the Funds. For these services, Forum is entitled to receive a
fixed monthly per fund fee, a basis point fee of 0.0025% of the average daily
net assets of each Fund, and will be reimbursed for all out-of-pocket expenses
reasonably incurred in providing these services. 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, Stagecoach Funds, Inc. 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. For the
Aggressive Balanced-Equity, Growth Balanced, Moderate Balanced, and Strategic
Income Funds, portfolio accounting services were provided by Forum.
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 Wells Fargo Bank Minnesota, N.A. ("WFB MN"), formerly Norwest Bank
Minnesota, N.A., serve as the custodian. For its custody services, WFB MN 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.
Stephens has retained $8,086,241 as sales charges from the proceeds of
Class A shares sold, $0 from the proceeds of Class B shares redeemed and
$120,469 from the proceeds of Class C shares redeemed by the Trust for the
year ended September 30, 2000. A third party financing agent has retained
approximately $6,282,198 from the proceeds of Class B shares redeemed by the
Trust for the year ended September 30, 2000. Wells Fargo Securities Inc., a
subsidiary of WFB, received $3,196,955 as sales charges from the proceeds of
Class A shares sold and $481,937 from the proceeds of Class B shares redeemed
by the Trust for the year ended September 30, 2000. Forum Financial Group, the
former distributor, 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 year
ended September 30, 2000.
64
<PAGE>
NOTES TO FINANCIAL STATEMENTS ALLOCATION FUNDS
--------------------------------------------------------------------------------
9. WAIVED FEES AND REIMBURSED EXPENSES
All amounts shown as waived fees or reimbursed expenses on the Statement of
Operations, for the year ended September 30, 2000, were waived by WFB or FAdS.
<TABLE>
<CAPTION>
Fund Fees Waived by FAdS Fees Waived by WFB Total Fees Waived
<S> <C> <C> <C>
AGGRESSIVE BALANCED-EQUITY FUND $ 16,273 $ 119,312 $ 135,585
ASSET ALLOCATION FUND 0 3,915,450 3,915,450
GROWTH BALANCED FUND 188,345 653,468 841,813
INDEX ALLOCATION FUND 0 127,725 127,725
MODERATE BALANCED FUND 101,231 353,955 455,186
STRATEGIC INCOME FUND 66,661 308,513 375,174
</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 year ended September 30, 2000, were as follows:
<TABLE>
<CAPTION>
AGGREGATE PURCHASES AND SALES
Fund Purchases at Cost Sales Proceeds
<S> <C> <C>
AGGRESSIVE BALANCED-EQUITY FUND* $ 49,075,603 $ 43,843,748
ASSET ALLOCATION FUND 700,210,760 882,951,297
GROWTH BALANCED FUND* 847,089,118 795,761,222
INDEX ALLOCATION FUND 13,661,140 24,591,895
MODERATE BALANCED FUND* 369,741,909 293,944,319
STRATEGIC INCOME FUND* 205,546,213 156,441,834
</TABLE>
* THESE FUNDS DO NOT HOLD INVESTMENT SECURITIES DIRECTLY. THE FUNDS SEEK TO
ACHIEVE THEIR INVESTMENT OBJECTIVE BY INVESTING ALL OF THEIR INVESTABLE
ASSETS IN ONE OR MORE CORE PORTFOLIOS. PURCHASES AND SALES FOR THE FUNDS
NORMALLY WOULD BE BASED ON THE PURCHASES AND SALES OF A FUND'S INVESTMENT
IN A CORE PORTFOLIO RATHER THAN THE UNDERLYING SECURITIES IN THAT CORE
PORTFOLIO. SINCE THE FUND HAS AN INDIRECT INTEREST IN THE SECURITIES HELD
IN THE CORE PORTFOLIO, THE PURCHASES AND SALES DISCLOSED ARE CALCULATED BY
AGGREGATING THE RESULTS OF MULTIPLYING THE FUND'S OWNERSHIP PERCENTAGE OF
THE RESPECTIVE CORE PORTFOLIO BY THE CORRESPONDING CORE PORTFOLIO'S
PURCHASES AND SALES.
65
<PAGE>
ALLOCATION FUNDS TAX INFORMATION (UNAUDITED)
--------------------------------------------------------------------------------
Pursuant to Section 854(b)(2) of the Internal Revenue Code, the Asset
Allocation Fund designates 36.27% of the net investment income distributed as
qualifying for the corporate dividends-received deduction from November 6,
1999 to September 30, 2000.
Pursuant to Section 852(b)(3) of the Internal Revenue Code, the following
Funds designate, as capital gain dividends for the taxable year as indicated,
the following amounts:
<TABLE>
<CAPTION>
Fund Amount Tax year
<S> <C> <C>
ASSET ALLOCATION FUND $128,190,055 NOVEMBER 6, 1999 TO SEPTEMBER 30, 2000
INDEX ALLOCATION FUND 25,054,675 OCTOBER 1, 1999 TO SEPTEMBER 30, 2000
</TABLE>
66
<PAGE>
INDEPENDENT AUDITORS' REPORT ALLOCATION FUNDS
--------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS
WELLS FARGO FUNDS TRUST:
We have audited the accompanying statements of assets and liabilities of
Aggressive Balanced-Equity Fund, Asset Allocation Fund, Growth Balanced Fund,
Index Allocation Fund, Moderate Balanced Fund, and Strategic Income Fund, six
portfolios of Wells Fargo Funds Trust (collectively the "Funds"), including
the portfolios of investments as of September 30, 2000, and the related
statements of operations for the year then ended, the statements of changes in
net assets for the periods presented on pages 50 to 53, and the financial
highlights for the periods presented on pages 54 to 58. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. Our
procedures included confirmation of the securities owned as of September 30,
2000, by correspondence with the custodian. As to securities purchased but not
yet received, we performed other appropriate auditing procedures. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned Funds of Wells Fargo Funds Trust as of September 30,
2000, the results of their operations, the changes in their net assets and
their financial highlights for each of the periods indicated in the paragraph
above in conformity with accounting principles generally accepted in the
United States of America.
/s/ KPMG LLP
San Francisco, California
November 3, 2000
67
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 97.60%
BUSINESS SERVICES - 13.99%
88,380 AMERICA ONLINE INCORPORATED+ $ 4,750,425
9,767 CYBEAR GROUP+ 12,819
63,400 ORACLE CORPORATION+ 4,992,750
46,000 SUN MICROSYSTEMS INCORPORATED+ 5,370,500
165,850 SUNGARD DATA SYSTEMS
INCORPORATED+ 7,100,453
205,510 SYBASE INCORPORATED+ 4,726,730
26,953,677
------------
CHEMICALS & ALLIED PRODUCTS - 8.53%
62,600 ANDRX GROUP+ 5,845,275
122,720 IVAX CORPORATION+ 5,645,120
147,760 KING PHARMACEUTICALS
INCORPORATED+ 4,940,725
16,431,120
------------
COMMUNICATIONS - 2.31%
110,520 BELLSOUTH CORPORATION 4,448,430
------------
EATING & DRINKING PLACES - 2.72%
252,145 DARDEN RESTAURANTS
INCORPORATED 5,247,768
------------
ELECTRIC, GAS & SANITARY SERVICES - 3.37%
62,280 CALPINE CORPORATION+ 6,500,475
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 7.25%
119,800 ADC TELECOMMUNICATIONS
INCORPORATED+ 3,221,497
55,250 ANALOG DEVICES INCORPORATED+ 4,561,578
67,520 TEXAS INSTRUMENTS INCORPORATED 3,186,100
97,395 VISHAY INTERTECHNOLOGY
INCORPORATED+ 2,994,896
13,964,071
------------
FOOD & KINDRED PRODUCTS - 8.57%
133,000 ANHEUSER-BUSCH COMPANIES
INCORPORATED 5,627,563
185,869 PEPSI BOTTLING GROUP
INCORPORATED 5,587,686
66,990 QUAKER OATS COMPANY 5,300,584
16,515,833
------------
HEALTH SERVICES - 3.67%
194,400 TENET HEALTHCARE CORPORATION 7,071,300
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 3.18%
160,520 MGM GRAND INCORPORATED 6,129,858
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 4.95%
116,360 DELL COMPUTER CORPORATION+ 3,585,343
60,131 EMC CORPORATION+ 5,960,485
9,545,828
------------
</TABLE>
68
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
INSURANCE CARRIERS - 8.59%
77,900 JEFFERSON-PILOT CORPORATION $ 5,287,463
170,710 OXFORD HEALTH PLANS
INCORPORATED+ 5,246,665
60,940 UNITEDHEALTH GROUP
INCORPORATED 6,017,825
16,551,953
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 3.98%
78,590 CREDENCE SYSTEMS CORPORATION+ 2,357,700
72,025 MILLIPORE CORPORATION 3,488,711
51,800 TERADYNE INCORPORATED+ 1,813,000
7,659,411
------------
MOTION PICTURES - 2.46%
123,829 WALT DISNEY COMPANY 4,736,459
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 2.84%
76,490 FANNIE MAE 5,469,035
------------
OIL & GAS EXTRACTION - 2.66%
77,460 KERR-MCGEE CORPORATION 5,131,725
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 2.81%
80,740 AMERADA HESS CORPORATION 5,404,534
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 2.44%
92,500 KNIGHT-RIDDER INCORPORATED 4,700,156
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 2.34%
68,280 MERRILL LYNCH & COMPANY
INCORPORATED 4,506,480
------------
TRANSPORTATION EQUIPMENT - 8.16%
95,490 BOEING COMPANY 6,015,870
72,780 GENERAL DYNAMICS CORPORATION 4,571,493
107,420 HARLEY-DAVIDSON INCORPORATED 5,142,733
15,730,096
------------
TRANSPORTATION SERVICES - 2.78%
118,880 EXPEDITORS INTERNATIONAL OF
WASHINGTON INCORPORATED 5,357,030
------------
188,055,239
TOTAL COMMON STOCK (COST $156,163,354)
------------
</TABLE>
69
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY NAME INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 1.25%
REPURCHASE AGREEMENTS - 1.25%
$2,414,071 BANC OF AMERICA NT & SA --
102% COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.65% 10/2/00 $ 2,414,071
------------
2,414,071
TOTAL SHORT-TERM INSTRUMENTS (COST
$2,414,071)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $158,577,425)* 98.85% $190,469,310
OTHER ASSETS AND LIABILITIES, NET 1.15 2,219,984
------- ------------
TOTAL NET ASSETS 100.00% $192,689,294
------- ------------
</TABLE>
+ NON-INCOME PRODUCING 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 $41,280,811
GROSS UNREALIZED DEPRECIATION (9,388,926)
----------
NET UNREALIZED APPRECIATION $31,891,885
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
70
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INCOME EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 99.71%
AMUSEMENT & RECREATION SERVICES - 1.47%
1,000,000 WALT DISNEY COMPANY $ 38,250,000
--------------
BUSINESS SERVICES - 2.12%
2,617,800 IMS HEALTH INCORPORATED 54,319,350
130,890 SYNAVANT INCORPORATED+ 875,327
55,194,677
--------------
CHEMICALS & ALLIED PRODUCTS - 15.01%
1,215,200 AMERICAN HOME PRODUCTS
CORPORATION 68,734,750
1,061,369 E.I. DU PONT DE NEMOURS &
COMPANY 43,980,478
577,850 JOHNSON & JOHNSON 54,281,784
113,830 LILLY INDUSTRIES INCORPORATED
CLASS A 3,357,985
790,300 MERCK & COMPANY INCORPORATED 58,827,956
1,494,900 PFIZER INCORPORATED 67,177,069
53,193 PHARMACIA CORPORATION 3,201,554
800,000 PROCTER & GAMBLE COMPANY 53,600,000
1,297,011 ROHM & HAAS COMPANY 37,694,382
390,855,958
--------------
COMMUNICATIONS - 4.51%
131,427 ALLTEL CORPORATION 6,858,848
1,896,800 AT&T CORPORATION 55,718,500
84,000 HELLENIC TELECOMMUNICATION
ORGANIZATION SA 1,615,699
36,000 NOKIA CORPORATION ADR 1,433,250
93,678 TELECOM ITALIA SPA 995,270
1,014,796 VERIZON COMMUNICATIONS 49,154,181
50,000 WORLDCOM INCORPORATED+ 1,518,750
117,294,498
--------------
DEPOSITORY INSTITUTIONS - 4.38%
81,500 COMMERCIAL FEDERAL CORPORATION 1,558,688
495,250 J.P. MORGAN & COMPANY
INCORPORATED 80,911,468
1,384,950 U.S. BANCORP 31,507,613
113,977,769
--------------
EATING & DRINKING PLACES - 1.36%
1,169,300 MCDONALD'S CORPORATION 35,298,244
--------------
ELECTRIC, GAS & SANITARY SERVICES - 3.80%
604,100 PUBLIC SERVICE ENTERPRISE
GROUP INCORPORATED 26,995,719
1,771,550 TEXAS UTILITIES COMPANY 70,197,669
100,000 WASTE MANAGEMENT INCORPORATED 1,743,750
98,937,138
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 9.01%
34,000 DRAKA HOLDING NV 2,265,181
1,015,500 EMERSON ELECTRIC COMPANY 68,038,500
1,676,034 GENERAL ELECTRIC COMPANY 96,686,211
</TABLE>
71
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INCOME EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (continued)
62,352 KONINKLIJKE PHILIPS
ELECTRONICS NV $ 2,649,943
1,766,292 LUCENT TECHNOLOGIES
INCORPORATED 53,982,299
100,000 MOTOROLA INCORPORATED 2,825,000
258,697 VISHAY INTERTECHNOLOGY
INCORPORATED+ 7,954,933
234,402,067
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 1.94%
1,468,100 DUN & BRADSTREET CORPORATION 50,557,694
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT -
2.07%
2,036,600 FORTUNE BRANDS INCORPORATED 53,969,900
--------------
FOOD & KINDRED PRODUCTS - 6.27%
230,000 BASS PLC 2,261,366
13,000 CONAGRA FOODS INCORPORATED 260,813
33,000 CSM NV 720,719
2,388,740 PEPSICO INCORPORATED 109,882,040
2,454,500 SARA LEE CORPORATION 49,857,030
162,981,968
--------------
FURNITURE & FIXTURES - 0.15%
158,425 HON INDUSTRIES INCORPORATED 3,901,216
--------------
GENERAL MERCHANDISE STORES - 4.22%
467,547 J.C. PENNEY COMPANY
INCORPORATED 5,522,899
1,556,050 MAY DEPARTMENT STORES COMPANY 31,899,025
750,530 SEARS ROEBUCK & COMPANY 24,332,183
1,873,600 TARGET CORPORATION 48,011,000
109,765,107
--------------
HOLDING & OTHER INVESTMENT OFFICES - 0.32%
107 BERKSHIRE HATHAWAY
INCORPORATED CLASS A+ 6,890,800
50,700 PEARSON PLC 1,408,498
8,299,298
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 7.45%
927,500 HEWLETT-PACKARD COMPANY 89,967,500
923,000 IBM CORPORATION 103,837,500
193,805,000
--------------
INSURANCE CARRIERS - 8.76%
1,292,651 AEGON NV NY REGISTERED SHARES 47,989,668
95,674 ALLSTATE CORPORATION 3,324,671
746,750 AMERICAN GENERAL CORPORATION 58,246,500
6,000 MBIA INCORPORATED 426,750
106,260 SCOR 4,641,432
5,500 SCOR ADR 237,188
2,260,100 ST. PAUL COMPANIES
INCORPORATED 111,451,181
175,100 SUMITOMO MARINE & FIRE
INSURANCE COMPANY 1,038,674
56,475 TOKIO MARINE & FIRE INSURANCE
COMPANY 564,436
</TABLE>
72
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INCOME EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
INSURANCE CARRIERS (continued)
250 YASUDA FIRE & MARINE INSURANCE
COMPANY LIMITED $ 1,328
227,921,828
--------------
LOCAL & SUBURBAN TRANSIT & INTERURBAN HIGHWAY PASSENGER TRANSPORTATION -
0.07%
536,700 FIRSTGROUP PLC 1,729,854
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 2.17%
353,748 AGILENT TECHNOLOGIES
INCORPORATED+ 17,311,543
585,850 EASTMAN KODAK COMPANY 23,946,619
1,000,000 XEROX CORPORATION 15,062,500
56,320,662
--------------
METAL MINING - 0.11%
103,000 DE BEERS CON MINES ADR 2,851,813
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 3.70%
238,575 HASBRO INCORPORATED 2,728,702
1,801,494 TYCO INTERNATIONAL LIMITED 93,452,501
96,181,203
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING - 0.15%
327,687 WERNER ENTERPRISES
INCORPORATED 3,850,322
--------------
NONDEPOSITORY CREDIT INSTITUTIONS - 3.34%
1,199,700 AMERICAN EXPRESS COMPANY 72,881,775
152,000 FEDERAL HOME LOAN MORTGAGE
CORPORATION 8,217,500
79,135 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 5,658,153
86,757,428
--------------
OIL & GAS EXTRACTION - 1.80%
567,500 SCHLUMBERGER LIMITED 46,712,344
--------------
PAPER & ALLIED PRODUCTS - 1.92%
547,458 MINNESOTA MINING &
MANUFACTURING COMPANY 49,887,110
--------------
PERSONAL SERVICES - 0.27%
192,850 H&R BLOCK INCORPORATED 7,147,503
--------------
PETROLEUM REFINING & RELATED INDUSTRIES - 7.67%
922,928 BP AMOCO PLC ADR 48,915,184
444,950 CHEVRON CORPORATION 37,931,988
887,435 EXXON MOBIL CORPORATION 79,092,644
660,500 NIPPON SANSO CORPORATION 2,261,568
522,604 ROYAL DUTCH PETROLEUM COMPANY
NY SHARES 31,323,576
199,524,960
--------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.33%
5,373 EDIPRESSE SA 2,393,609
292,800 N.V. HOLDINGMAATSCHAPPIJ DE
TELEGRAAF 6,071,778
8,465,387
--------------
</TABLE>
73
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INCOME EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
TOBACCO PRODUCTS - 1.57%
1,390,150 PHILIP MORRIS COMPANIES
INCORPORATED $ 40,922,540
--------------
TRANSPORTATION EQUIPMENT - 3.57%
1,186,800 HONEYWELL INTERNATIONAL
INCORPORATED 42,279,750
2,411 SCHINDLER HOLDING AG 3,702,063
677,600 UNITED TECHNOLOGIES
CORPORATION 46,923,800
92,905,613
--------------
WATER TRANSPORTATION - 0.20%
208,502 CARNIVAL CORPORATION 5,134,362
--------------
2,593,803,463
TOTAL COMMON STOCK (COST $1,695,625,107)
--------------
<CAPTION>
INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 0.15%
REPURCHASE AGREEMENTS - 0.15%
3,832,141 BANC OF AMERICA NT & SA - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.65% 10/2/00 3,832,141
--------------
3,832,141
TOTAL SHORT-TERM INSTRUMENTS (COST
$3,832,141)
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $1,699,457,248)* 99.86% $2,597,635,604
OTHER ASSETS AND LIABILITIES, NET 0.14% 3,571,473
------- --------------
TOTAL NET ASSETS 100.00% $2,601,207,077
------- --------------
</TABLE>
+ NON-INCORPORATED INCOME PRODUCING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $1,699,459,127 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $1,031,903,343
GROSS UNREALIZED DEPRECIATION (133,726,866)
-------------
NET UNREALIZED APPRECIATION $ 898,176,477
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
74
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 98.85%
AGRICULTURAL PRODUCTION-CROPS - 0.07%
46,000 NABISCO GROUP HOLDINGS
CORPORATION $ 1,311,000
--------------
AMUSEMENT & RECREATION SERVICES - 0.65%
16,400 HARRAH'S ENTERTAINMENT
INCORPORATED+ 451,000
293,600 WALT DISNEY COMPANY 11,230,200
11,681,200
--------------
APPAREL & ACCESSORY STORES - 0.37%
119,700 GAP INCORPORATED 2,408,962
46,400 KOHL'S CORPORATION+ 2,676,700
60,800 LIMITED INCORPORATED 1,341,400
18,300 NORDSTROM INCORPORATED 284,794
6,711,856
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS -
0.04%
7,500 LIZ CLAIBORNE INCORPORATED 288,750
16,100 V F CORPORATION 397,469
686,219
--------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.02%
18,000 AUTOZONE INCORPORATED+ 408,375
--------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.01%
8,400 RYDER SYSTEM INCORPORATED 154,875
--------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS - 0.04%
8,300 CENTEX CORPORATION 266,638
6,800 KAUFMAN & BROAD HOME
CORPORATION 183,175
5,700 PULTE CORPORATION 188,100
637,913
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS - 1.13%
326,200 HOME DEPOT INCORPORATED 17,308,988
53,900 LOWE'S COMPANIES INCORPORATED 2,418,763
22,900 SHERWIN-WILLIAMS COMPANY 489,487
20,217,238
--------------
BUSINESS SERVICES - 9.80%
16,900 ADOBE SYSTEMS INCORPORATED 2,623,725
325,200 AMERICA ONLINE INCORPORATED+ 17,479,500
8,100 AUTODESK INCORPORATED 205,538
88,300 AUTOMATIC DATA PROCESSING
INCORPORATED 5,905,063
34,800 BMC SOFTWARE INCORPORATED+ 665,550
25,900 CABLETRON SYSTEMS
INCORPORATED+ 760,813
102,300 CENDANT CORPORATION+ 1,112,513
20,500 CERIDIAN CORPORATION+ 575,281
26,200 CITRIX SYSTEMS INCORPORATED+ 525,638
83,200 COMPUTER ASSOCIATES
INTERNATIONAL INCORPORATED 2,095,600
</TABLE>
75
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
BUSINESS SERVICES (continued)
23,700 COMPUTER SCIENCES CORPORATION+ $ 1,759,725
51,400 COMPUWARE CORPORATION+ 430,475
21,700 CONVERGYS CORPORATION+ 843,588
10,200 DELUXE CORPORATION 207,188
18,000 ECOLAB INCORPORATED 649,125
65,700 ELECTRONIC DATA SYSTEMS
CORPORATION 2,726,550
19,900 EQUIFAX INCORPORATED 536,056
57,100 FIRST DATA CORPORATION 2,230,469
41,900 IMS HEALTH INCORPORATED 869,425
43,300 INTERPUBLIC GROUP OF COMPANIES
INCORPORATED 1,474,906
40,000 MCKESSON HBOC INCORPORATED 1,222,500
11,200 MERCURY INTERACTIVE
CORPORATION+ 1,755,600
741,200 MICROSOFT CORPORATION+ 44,657,300
13,500 NCR CORPORATION+ 510,469
45,700 NOVELL INCORPORATED+ 454,144
25,000 OMNICOM GROUP INCORPORATED 1,823,438
396,500 ORACLE CORPORATION+ 31,224,374
38,400 PARAMETRIC TECHNOLOGY COMPANY+ 420,000
39,400 PEOPLESOFT INCORPORATED+ 1,100,737
16,700 SAPIENT CORPORATION+ 679,480
58,700 SIEBEL SYSTEMS INCORPORATED+ 6,534,043
223,400 SUN MICROSYSTEMS INCORPORATED+ 26,081,950
44,100 UNISYS CORPORATION+ 496,125
56,600 VERITAS SOFTWARE CORPORATION+ 8,037,200
77,400 YAHOO! INCORPORATED+ 7,043,400
10,300 YOUNG & RUBICAM INCORPORATED 509,850
176,227,338
--------------
CHEMICALS & ALLIED PRODUCTS - 11.50%
218,300 ABBOTT LABORATORIES 10,382,894
32,300 AIR PRODUCTS AND CHEMICALS
INCORPORATED 1,162,800
7,900 ALBERTO CULVER COMPANY 227,619
16,300 ALZA CORPORATION+ 1,409,950
183,600 AMERICAN HOME PRODUCTS
CORPORATION 10,384,875
144,800 AMGEN INCORPORATED+ 10,111,113
33,400 AVON PRODUCTS INCORPORATED 1,365,225
20,800 BIOGEN INCORPORATED+ 1,268,800
276,800 BRISTOL-MYERS SQUIBB COMPANY 15,812,200
33,100 CLOROX COMPANY 1,309,519
80,900 COLGATE-PALMOLIVE COMPANY 3,818,480
95,500 DOW CHEMICAL COMPANY 2,381,531
146,800 E I DU PONT DE NEMOURS &
COMPANY 6,083,025
10,800 EASTMAN CHEMICAL COMPANY 398,925
159,100 ELI LILLY & COMPANY 12,906,988
4,300 FMC CORPORATION+ 288,369
148,300 GILLETTE COMPANY 4,578,763
7,400 GREAT LAKES CHEMICAL
CORPORATION 216,913
14,100 INTERNATIONAL FLAVORS &
FRAGRANCES INCORPORATED 257,325
</TABLE>
76
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
195,800 JOHNSON & JOHNSON $ 18,392,963
29,600 MEDIMMUNE INCORPORATED+ 2,286,600
324,000 MERCK & COMPANY INCORPORATED 24,117,750
889,300 PFIZER INCORPORATED 39,962,918
182,800 PHARMACIA CORPORATION 11,002,275
24,500 PPG INDUSTRIES INCORPORATED 972,343
22,300 PRAXAIR INCORPORATED 833,462
184,200 PROCTER & GAMBLE COMPANY 12,341,400
30,500 ROHM & HAAS COMPANY 886,405
206,300 SCHERING-PLOUGH CORPORATION 9,592,950
11,400 SIGMA ALDRICH 376,200
19,000 UNION CARBIDE CORPORATION 717,250
9,400 W R GRACE & COMPANY+ 64,625
14,400 WATSON PHARMACEUTICALS
INCORPORATED+ 934,200
206,846,655
--------------
COMMUNICATIONS - 6.93%
99,400 ADC TELECOMMUNICATIONS
INCORPORATED+ 2,672,928
44,400 ALLTEL CORPORATION 2,317,125
529,000 AT&T CORPORATION 15,539,375
264,000 BELLSOUTH CORPORATION 10,626,000
19,800 CENTURYTEL INCORPORATED 539,550
82,500 CLEAR CHANNEL COMMUNICATIONS
INCORPORATED+ 4,661,250
127,400 COMCAST CORPORATION CLASS A+ 5,215,438
124,000 GLOBAL CROSSING LIMITED+ 3,844,000
107,200 NEXTEL COMMUNICATIONS
INCORPORATED+ 5,011,600
233,900 QWEST COMMUNICATIONS
INTERNATIONAL INCORPORATION+ 11,241,819
477,400 SBC COMMUNICATIONS
INCORPORATED 23,870,000
124,600 SPRINT CORPORATION (FON GROUP) 3,652,338
130,700 SPRINT CORPORATION (PCS
GROUP)+ 4,582,668
382,800 VERIZON COMMUNICATIONS 18,541,875
404,600 WORLDCOM INCORPORATED+ 12,289,725
124,605,691
--------------
DEPOSITORY INSTITUTIONS - 7.33%
53,100 AMSOUTH BANCORP 663,750
231,400 BANK OF AMERICA CORPORATION+ 12,119,575
104,000 BANK OF NEW YORK COMPANY
INCORPORATED 5,830,500
162,800 BANK ONE CORPORATION 6,288,150
56,300 BB&T CORPORATION 1,696,038
29,600 CHARTER ONE FINANCIAL
INCORPORATED 721,500
184,300 CHASE MANHATTAN CORPORATION 8,512,356
633,600 CITIGROUP INCORPORATED 34,254,000
22,000 COMERICA INCORPORATED 1,285,625
65,500 FIFTH THIRD BANCORP 3,528,813
138,700 FIRST UNION CORPORATION 4,464,406
135,000 FIRSTAR CORPORATION 3,020,625
127,100 FLEETBOSTON FINANCIAL
CORPORATION 4,956,900
</TABLE>
77
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
DEPOSITORY INSTITUTIONS (continued)
22,300 GOLDEN WEST FINANCIAL
CORPORATION $ 1,195,838
35,400 HUNTINGTON BANCSHARES
INCORPORATED 519,938
22,400 J P MORGAN & COMPANY
INCORPORATED 3,659,600
60,600 KEYCORP 1,533,938
68,800 MELLON FINANCIAL CORPORATION 3,190,600
85,600 NATIONAL CITY CORPORATION 1,893,900
31,200 NORTHERN TRUST CORPORATION 2,772,900
19,300 OLD KENT FINANCIAL CORPORATION 558,494
40,700 PNC FINANCIAL SERVICES GROUP 2,645,500
30,800 REGIONS FINANCIAL CORPORATION 698,775
23,700 SOUTHTRUST CORPORATION 745,069
22,700 STATE STREET CORPORATION 2,951,000
24,500 SUMMIT BANCORP 845,250
42,000 SUNTRUST BANKS INCORPORATED 2,092,124
40,000 SYNOVUS FINANCIAL CORPORATION 847,500
105,000 US BANCORP 2,388,750
19,000 UNION PLANTERS CORPORATION 628,188
28,600 WACHOVIA CORPORATION 1,621,262
75,900 WASHINGTON MUTUAL INCORPORATED 3,021,769
231,900 WELLS FARGO & COMPANY# 10,652,905
131,805,538
--------------
EATING & DRINKING PLACES - 0.44%
17,200 DARDEN RESTAURANTS
INCORPORATED 357,975
186,000 MCDONALD'S CORPORATION 5,614,874
26,300 STARBUCKS CORPORATION+ 1,053,644
20,500 TRICON GLOBAL RESTAURANTS
INCORPORATED+ 627,813
16,000 WENDY'S INTERNATIONAL
INCORPORATED 321,000
7,975,306
--------------
ELECTRIC, GAS & SANITARY SERVICES - 2.70%
64,300 AES CORPORATION+ 4,404,550
27,700 ALLIED WASTE INDUSTRIES
INCORPORATED+ 254,494
19,300 AMEREN CORPORATION 808,188
45,400 AMERICAN ELECTRIC POWER
COMPANY INCORPORATED 1,776,275
22,400 CINERGY CORPORATION 740,600
15,500 CMS ENERGY CORPORATION 417,531
22,500 CP&L ENERGY INCORPORATED 937,969
11,200 COLUMBIA ENERGY GROUP 795,200
29,900 CONSOLIDATED EDISON
INCORPORATED 1,020,338
21,100 CONSTELLATION ENERGY GROUP 1,049,725
33,500 DOMINION RESOURCE INCORPORATED 1,945,094
20,100 DTE ENERGY COMPANY 768,825
51,800 DUKE ENERGY CORPORATION 4,441,850
3,800 EASTERN ENTERPRISES 242,488
45,900 EDISON INTERNATIONAL 886,444
32,700 EL PASO ENERGY CORPORATION 2,015,138
31,400 ENTERGY CORPORATION 1,169,650
</TABLE>
78
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRIC, GAS & SANITARY SERVICES (continued)
32,200 FIRSTENERGY CORPORATION $ 867,388
13,900 FLORIDA PROGRESS CORPORATION 735,831
25,000 FPL GROUP INCORPORATED 1,643,750
17,100 GPU INCORPORATED 554,681
18,900 KEYSPAN CORPORATION 758,363
22,600 NIAGARA MOHAWK HOLDINGS
INCORPORATED+ 355,950
6,500 NICOR INCORPORATED 235,218
4,100 ONEOK INCORPORATED 162,975
23,900 PECO ENERGY COMPANY 1,447,443
5,000 PEOPLE'S ENERGY CORPORATION 166,875
54,300 PG&E CORPORATION 1,313,380
11,900 PINNACLE WEST CAPITAL
CORPORATION 605,413
20,400 PPL CORPORATION 851,700
30,200 PUBLIC SERVICE ENTERPRISE
GROUP INCORPORATED 1,349,562
41,400 RELIANT ENERGY INCORPORATED 1,925,100
28,800 SEMPRA ENERGY 599,400
91,400 SOUTHERN COMPANY 2,964,787
37,200 TEXAS UTILITIES COMPANY 1,474,050
24,800 UNICOM CORPORATION 1,393,450
87,600 WASTE MANAGEMENT INCORPORATED 1,527,525
62,400 WILLIAMS COMPANIES
INCORPORATED 2,636,400
47,800 XCEL ENERGY INCORPORATED 1,314,500
48,558,100
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 14.17%
14,000 ADAPTEC INCORPORATED+ 280,000
43,900 ADVANCED MICRO DEVICES
INCORPORATED+ 1,037,138
56,200 ALTERA CORPORATION+ 2,683,550
27,400 AMERICAN POWER CONVERSION
CORPORATION+ 525,738
50,000 ANALOG DEVICES INCORPORATED+ 4,128,125
11,400 ANDREW CORPORATION+ 298,538
31,300 BROADCOM CORPORATION+ 7,629,375
32,100 CONEXANT SYSTEMS INCORPORATED+ 1,344,188
13,100 COOPER INDUSTRIES INCORPORATED 461,775
10,300 EATON CORPORATION 634,738
60,200 EMERSON ELECTRIC COMPANY 4,033,400
1,395,100 GENERAL ELECTRIC COMPANY 80,479,831
945,700 INTEL CORPORATION 39,364,763
131,800 JDS UNIPHASE CORPORATION+ 12,479,813
43,800 LINEAR TECHNOLOGY CORPORATION 2,836,050
43,700 LSI LOGIC CORPORATION+ 1,278,225
470,400 LUCENT TECHNOLOGIES
INCORPORATED 14,376,600
39,800 MAXIM INTEGRATED PRODUCTS
INCORPORATED+ 3,201,413
10,900 MAYTAG CORPORATION 338,580
79,500 MICRON TECHNOLOGY
INCORPORATED+ 3,657,000
27,600 MOLEX INCORPORATED 1,502,475
307,100 MOTOROLA INCORPORATED 8,675,575
25,000 NATIONAL SEMICONDUCTOR
CORPORATION+ 1,006,250
</TABLE>
79
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (continued)
5,700 NATIONAL SERVICE INDUSTRIES $ 111,506
44,000 NETWORK APPLIANCE
INCORPORATED+ 5,604,500
420,700 NORTEL NETWORKS CORPORATION 25,057,943
18,500 NOVELLUS SYSTEMS INCORPORATED+ 861,406
104,900 QUALCOMM INCORPORATED+ 7,474,125
47,900 RAYTHEON COMPANY CLASS B 1,362,156
21,300 SANMINA CORPORATION+ 1,994,213
22,400 SCIENTIFIC-ATLANTA
INCORPORATED 1,425,200
57,800 TELLABS INCORPORATED+ 2,759,950
243,500 TEXAS INSTRUMENTS INCORPORATED 11,490,155
8,200 THOMAS & BETTS CORPORATION 142,987
10,000 WHIRLPOOL CORPORATION 388,750
46,300 XILINK INCORPORATED+ 3,964,438
254,890,469
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 0.44%
22,800 DUN & BRADSTREET CORPORATION 785,175
10,700 FLUOR CORPORATION 321,000
62,800 HALLIBURTON COMPANY 3,073,275
52,400 PAYCHEX INCORPORATED 2,751,000
6,900 PERKINELMER INCORPORATED 720,188
16,300 QUINTILES TRANSNATIONAL
CORPORATION+ 259,781
7,910,419
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT - 0.40%
4,100 BALL CORPORATION 129,919
8,600 CRANE COMPANY 196,725
17,700 CROWN CORK & SEAL COMPANY
INCORPORATED 189,168
22,100 FORTUNE BRANDS INCORPORATED 585,650
42,500 ILLINOIS TOOL WORKS
INCORPORATED 2,374,688
60,100 LOCKHEED MARTIN CORPORATION 1,980,896
64,400 MASCO CORPORATION 1,199,450
8,300 SNAP-ON INCORPORATED 195,569
12,100 STANLEY WORKS 279,056
7,131,121
--------------
FOOD & KINDRED PRODUCTS - 3.44%
5,200 ADOLPH COORS COMPANY 328,575
127,600 ANHEUSER-BUSCH COMPANIES
INCORPORATED 5,399,075
89,100 ARCHER DANIELS MIDLAND COMPANY 768,488
39,100 BESTFOODS INCORPORATED 2,844,525
9,700 BROWN-FORMAN CORPORATION 531,075
59,300 CAMPBELL SOUP COMPANY 1,534,388
348,900 COCA-COLA COMPANY 19,233,113
58,900 COCA-COLA ENTERPRISES
INCORPORATED 938,719
75,100 CONAGRA FOODS INCORPORATED 1,506,693
40,200 GENERAL MILLS INCORPORATED 1,427,100
48,900 H J HEINZ COMPANY 1,812,356
</TABLE>
80
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
FOOD & KINDRED PRODUCTS (continued)
15,100 HERCULES INCORPORATED $ 213,288
19,300 HERSHEY FOODS CORPORATION 1,044,612
57,100 KELLOGG COMPANY 1,381,106
203,300 PEPSICO INCORPORATED 9,351,800
18,700 QUAKER OATS COMPANY 1,479,638
43,200 RALSTON PURINA GROUP 1,023,300
122,500 SARA LEE CORPORATION 2,488,280
61,500 SEAGRAM COMPANY LIMITED 3,532,406
80,500 UNILEVER NV ADR 3,884,125
16,000 WM WRIGLEY JR COMPANY 1,198,000
61,920,662
--------------
FOOD STORES - 0.23%
59,600 ALBERTSON'S INCORPORATED 1,251,600
116,300 KROGER COMPANY+ 2,624,019
19,800 WINN-DIXIE STORES INCORPORATED 284,625
4,160,244
--------------
FURNITURE & FIXTURES - 0.02%
27,700 LEGGETT & PLATT 438,006
--------------
GENERAL MERCHANDISE STORES - 2.21%
15,700 CONSOLIDATED STORES
CORPORATION+ 211,950
13,200 DILLARDS INCORPORATED 140,250
46,300 DOLLAR GENERAL CORPORATION 775,525
29,300 FEDERATED DEPARTMENT STORES
INCORPORATED+ 765,463
36,800 J C PENNEY COMPANY
INCORPORATED 434,700
67,600 KMART CORPORATION+ 405,600
44,800 MAY DEPARTMENT STORES COMPANY 918,400
48,300 SEARS ROEBUCK & COMPANY 1,565,885
128,200 TARGET CORPORATION 3,285,125
41,200 TJX COMPANIES INCORPORATED 927,000
629,100 WAL-MART STORES INCORPORATED 30,275,438
39,705,336
--------------
HEALTH SERVICES - 0.29%
78,600 HCA - THE HEALTHCARE COMPANY 2,918,025
54,300 HEALTHSOUTH CORPORATION+ 441,187
14,400 MANOR CARE INCORPORATED+ 225,900
44,300 TENET HEALTHCARE CORPORATION 1,611,413
5,196,525
--------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-CONTRACTORS - 0.01%
8,500 MCDERMOTT INTERNATIONAL
INCORPORATED 93,500
--------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.23%
29,100 BEST BUY COMPANY INCORPORATED+ 1,851,487
28,900 CIRCUIT CITY STORES 664,700
</TABLE>
81
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (continued)
26,200 RADIOSHACK CORPORATION $ 1,693,175
4,209,362
--------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.10%
51,900 HILTON HOTELS CORPORATION 600,093
33,800 MARRIOTT INTERNATIONAL
CLASS A 1,231,588
1,831,681
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 9.87%
45,800 APPLE COMPUTER INCORPORATED+ 1,179,350
114,200 APPLIED MATERIALS
INCORPORATED+ 6,773,488
46,600 BAKER HUGHES INCORPORATED 1,730,025
11,700 BLACK & DECKER CORPORATION 399,994
3,000 BRIGGS & STRATTON CORPORATION 113,438
48,700 CATERPILLAR INCORPORATED 1,643,625
999,500 CISCO SYSTEMS INCORPORATED+ 55,222,375
239,400 COMPAQ COMPUTER CORPORATION 6,602,652
22,000 COMVERSE TECHNOLOGY
INCORPORATED+ 2,376,000
5,800 CUMMINS ENGINE COMPANY
INCORPORATED 173,638
33,000 DEERE & COMPANY 1,097,250
364,400 DELL COMPUTER CORPORATION+ 11,228,075
28,600 DOVER CORPORATION 1,342,413
307,100 EMC CORPORATION+ 30,441,288
45,400 GATEWAY INCORPORATED+ 2,122,450
140,500 HEWLETT-PACKARD COMPANY 13,628,500
248,000 IBM CORPORATION 27,900,000
22,700 INGERSOLL-RAND COMPANY 768,963
18,000 LEXMARK INTERNATIONAL
INCORPORATED+ 675,000
17,400 PALL CORPORATION 346,912
79,600 PALM INCORPORATED+ 4,213,824
36,000 PITNEY BOWES INCORPORATED 1,419,750
32,300 SEAGATE TECHNOLOGY
INCORPORATED+ 2,228,700
84,700 SOLECTRON CORPORATION+ 3,906,787
8,500 TIMKEN COMPANY 116,343
177,650,840
--------------
INSURANCE AGENTS, BROKERS & SERVICE - 0.37%
35,900 AON CORPORATION 1,409,075
23,400 HUMANA INCORPORATED+ 251,550
38,200 MARSH & MCLENNAN COMPANIES
INCORPORATED 5,071,050
6,731,675
--------------
INSURANCE CARRIERS - 3.42%
19,900 AETNA INCORPORATED 1,155,444
37,300 AFLAC INCORPORATED 2,389,531
103,400 ALLSTATE CORPORATION 3,593,150
35,600 AMERICAN GENERAL CORPORATION 2,776,800
325,900 AMERICAN INTERNATIONAL GROUP
INCORPORATED 31,184,556
</TABLE>
82
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
INSURANCE CARRIERS (continued)
24,600 CHUBB CORPORATION $ 1,946,475
22,200 CIGNA CORPORATION 2,317,680
22,700 CINCINNATI FINANCIAL
CORPORATION 805,850
45,800 CONSECO INCORPORATED 349,225
31,600 HARTFORD FINANCIAL SERVICES
GROUP 2,304,825
14,500 JEFFERSON-PILOT CORPORATION 984,188
26,900 LINCOLN NATIONAL CORPORATION 1,294,563
13,900 LOEWS CORPORATION 1,158,913
13,800 MBIA INCORPORATED 981,525
15,000 MGIC INVESTMENT CORPORATION 916,875
10,300 PROGRESSIVE CORPORATION 843,313
18,000 SAFECO CORPORATION 490,500
31,500 ST PAUL COMPANIES INCORPORATED 1,553,344
18,000 TORCHMARK CORPORATION 500,624
22,600 UNITEDHEALTH GROUP
INCORPORATED 2,231,750
33,900 UNUMPROVIDENT CORPORATION 923,774
8,800 WELLPOINT HEALTH NETWORKS
INCORPORATED+ 844,800
61,547,705
--------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.01%
14,700 LOUISIANA-PACIFIC CORPORATION 135,056
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 2.02%
63,800 AGILENT TECHNOLOGIES
INCORPORATED+ 3,122,213
18,500 ALLERGAN INCORPORATED 1,562,094
7,500 BAUSCH & LOMB INCORPORATED 292,031
41,200 BAXTER INTERNATIONAL
INCORPORATED 3,288,275
35,700 BECTON DICKINSON & COMPANY 943,819
25,000 BIOMET INCORPORATED 875,000
57,200 BOSTON SCIENTIFIC CORPORATION+ 940,225
7,200 C R BARD INCORPORATED 304,200
20,000 DANAHER CORPORATION 995,000
43,400 EASTMAN KODAK COMPANY 1,773,975
43,200 GUIDANT CORPORATION+ 3,053,700
12,100 JOHNSON CONTROLS INCORPORATED 643,569
26,200 KLA-TENCOR CORPORATION+ 1,079,113
9,500 MALLINCKRODT INCORPORATED 433,438
168,700 MEDTRONIC INCORPORATED 8,740,770
6,500 MILLIPORE CORPORATION 314,844
15,800 PARKER-HANNIFIN CORPORATION 533,250
29,300 PE CORPORATION - PE BIOSYSTEMS
GROUP 3,413,450
6,300 POLAROID CORPORATION 84,654
11,900 ST JUDE MEDICAL INCORPORATED+ 606,900
6,800 TEKTRONIX INCORPORATED 522,325
24,400 TERADYNE INCORPORATED+ 854,000
24,400 THERMO ELECTRON CORPORATION+ 634,400
93,900 XEROX CORPORATION 1,414,368
36,425,613
--------------
</TABLE>
83
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
METAL MINING - 0.16%
55,700 BARRICK GOLD CORPORATION $ 849,425
21,500 FREEPORT MCMORAN INCORPORATED
CLASS B+ 189,469
37,100 HOMESTAKE MINING COMPANY+ 192,456
25,600 INCO LIMITED+ 412,800
23,700 NEWMONT MINING CORPORATION 402,900
11,100 PHELPS DODGE CORPORATION 463,425
46,100 PLACER DOME INCORPORATED 435,069
2,945,544
--------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS - 0.03%
14,200 VULCAN MATERIALS COMPANY 570,663
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.78%
5,700 ARMSTRONG HOLDINGS
INCORPORATED 68,044
24,300 HASBRO INCORPORATED 277,931
60,100 MATTEL INCORPORATED 672,369
20,500 TIFFANY & COMPANY 790,531
237,300 TYCO INTERNATIONAL LIMITED 12,309,937
14,118,812
--------------
MISCELLANEOUS RETAIL - 0.72%
39,800 BED BATH & BEYOND
INCORPORATED+ 970,747
63,000 COSTCO WHOLESALE CORPORATION+ 2,201,063
55,000 CVS CORPORATION 2,547,188
5,300 LONGS DRUG STORES INCORPORATED 101,363
43,100 OFFICE DEPOT INCORPORATED+ 336,718
64,000 STAPLES INCORPORATED+ 908,000
30,500 TOYS R US INCORPORATED+ 495,625
142,300 WALGREEN COMPANY 5,398,505
12,959,209
--------------
MOTION PICTURES - 0.81%
186,400 TIME WARNER INCORPORATED 14,585,800
--------------
NONDEPOSITORY CREDIT INSTITUTIONS - 2.55%
187,600 AMERICAN EXPRESS COMPANY 11,396,700
102,600 ASSOCIATES FIRST CAPITAL
CORPORATION 3,898,800
27,600 CAPITAL ONE FINANCIAL
CORPORATION 1,933,725
37,000 CIT GROUP INCORPORATED 647,500
16,100 COUNTRYWIDE CREDIT INDUSTRIES
INCORPORATED 607,775
97,900 FEDERAL HOME LOAN MORTGAGE
CORPORATION 5,292,719
141,900 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 10,145,850
66,500 HOUSEHOLD INTERNATIONAL
INCORPORATED 3,765,563
120,000 MBNA CORPORATION 4,620,000
20,100 PROVIDIAN FINANCIAL
CORPORATION 2,552,700
21,900 USA EDUCATION INCORPORATED 1,055,306
45,916,638
--------------
</TABLE>
84
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
OIL & GAS EXTRACTION - 1.48%
34,200 ANADARKO PETROLEUM CORPORATION $ 2,272,932
17,200 APACHE CORPORATION 1,016,950
30,400 BURLINGTON RESOURCES
INCORPORATED 1,119,100
18,000 DEVON ENERGY CORPORATION 1,082,700
104,100 ENRON CORPORATION 9,121,763
13,300 KERR-MCGEE CORPORATION 881,125
52,000 OCCIDENTAL PETROLEUM
CORPORATION 1,134,250
13,300 ROWAN COMPANIES INCORPORATED+ 385,700
80,300 SCHLUMBERGER LIMITED 6,609,694
29,700 TRANSOCEAN SEDCO FOREX
INCORPORATED+ 1,741,162
44,000 USX-MARATHON GROUP
INCORPORATED 1,248,500
26,613,876
--------------
PAPER & ALLIED PRODUCTS - 0.94%
15,700 AVERY DENNISON CORPORATION 728,088
7,500 BEMIS COMPANY INCORPORATED 240,938
8,100 BOISE CASCADE CORPORATION 215,156
28,800 FORT JAMES CORPORATION 880,200
24,000 GEORGIA-PACIFIC GROUP 564,000
68,100 INTERNATIONAL PAPER COMPANY 1,953,619
75,800 KIMBERLY-CLARK CORPORATION 4,230,588
14,400 MEAD CORPORATION 336,600
55,700 MINNESOTA MINING AND
MANUFACTURING COMPANY 5,075,663
23,900 PACTIV CORPORATION+ 267,380
4,000 POTLATCH CORPORATION 126,500
7,200 TEMPLE-INLAND INCORPORATED 272,700
14,200 WESTVACO CORPORATION 378,962
31,000 WEYERHAEUSER COMPANY 1,251,625
15,400 WILLAMETTE INDUSTRIES
INCORPORATED 431,200
16,953,219
--------------
PERSONAL SERVICES - 0.03%
13,800 H&R BLOCK INCORPORATED 511,463
--------------
PETROLEUM REFINING & RELATED INDUSTRIES - 4.67%
12,700 AMERADA HESS CORPORATION 850,106
9,900 ASHLAND INCORPORATED 333,506
91,900 CHEVRON CORPORATION 7,834,475
30,200 COASTAL CORPORATION 2,238,575
87,700 CONOCO INCORPORATED CLASS B 2,362,419
490,700 EXXON MOBIL CORPORATION 43,733,638
35,900 PHILLIPS PETROLEUM COMPANY 2,252,725
302,000 ROYAL DUTCH PETROLEUM COMPANY
NY SHARES ADR 18,101,125
12,300 SUNOCO INCORPORATED 331,331
77,600 TEXACO INCORPORATED 4,074,000
20,400 TOSCO CORPORATION 636,225
34,200 UNOCAL CORPORATION 1,211,963
83,960,088
--------------
</TABLE>
85
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
PRIMARY METAL INDUSTRIES - 0.29%
30,800 ALCAN ALUMINUM LIMITED $ 891,275
122,000 ALCOA INCORPORATED 3,088,125
11,500 ALLEGHENY TECHNOLOGIES
INCORPORATED 208,438
18,600 BETHLEHEM STEEL CORPORATION+ 55,800
18,000 ENGELHARD CORPORATION 292,500
11,400 NUCOR CORPORATION 343,425
12,500 USX-US STEEL GROUP
INCORPORATED 189,843
12,100 WORTHINGTON INDUSTRIES
INCORPORATED 113,438
5,182,844
--------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 1.21%
9,100 AMERICAN GREETINGS CORPORATION 159,250
12,300 DOW JONES & COMPANY
INCORPORATED 744,150
37,100 GANNETT COMPANY INCORPORATED 1,966,300
10,300 HARCOURT GENERAL INCORPORATED 607,700
10,700 KNIGHT-RIDDER INCORPORATED 543,694
27,400 MCGRAW-HILL COMPANIES
INCORPORATED 1,741,612
7,100 MEREDITH CORPORATION 209,450
23,500 NEW YORK TIMES COMPANY 923,844
17,200 R R DONNELLEY & SONS COMPANY 422,475
43,400 TRIBUNE COMPANY 1,893,325
213,600 VIACOM INCORPORATED CLASS B+ 12,495,600
21,707,400
--------------
RAILROAD TRANSPORTATION - 0.22%
56,900 BURLINGTON NORTHERN SANTA FE
CORPORATION 1,226,906
30,800 CSX CORPORATION 671,825
54,000 NORFOLK SOUTHERN CORPORATION 789,750
34,900 UNION PACIFIC CORPORATION 1,356,738
4,045,219
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 0.21%
10,200 COOPER TIRE & RUBBER COMPANY 102,638
22,000 GOODYEAR TIRE & RUBBER COMPANY 396,000
37,500 NEWELL RUBBERMAID INCORPORATED 855,468
38,000 NIKE INCORPORATED CLASS B 1,522,375
8,000 REEBOK INTERNATIONAL LIMITED+ 150,500
11,800 SEALED AIR CORPORATION+ 533,950
8,100 TUPPERWARE CORPORATION 145,800
3,706,731
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 2.08%
15,200 BEAR STEARNS COMPANIES
INCORPORATED 957,600
194,500 CHARLES SCHWAB CORPORATION 6,904,750
34,300 FRANKLIN RESOURCES
INCORPORATED 1,523,949
17,100 LEHMAN BROTHERS HOLDING
INCORPORATED 2,526,525
113,100 MERRILL LYNCH & COMPANY
INCORPORATED 7,464,600
158,500 MORGAN STANLEY DEAN WITTER &
COMPANY 14,492,844
</TABLE>
86
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (continued)
20,800 PAINE WEBBER GROUP
INCORPORATED $ 1,417,000
31,600 STILWELL FINANCIAL
INCORPORATED+ 1,374,600
17,100 T ROWE PRICE ASSOCIATES 802,631
37,464,499
--------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.69%
41,400 CORNING INCORPORATED 12,295,800
20,600 OWENS-ILLINOIS INCORPORATED+ 190,550
12,486,350
--------------
TEXTILE MILL PRODUCTS - 0.01%
4,600 RUSSELL CORPORATION 73,025
2,500 SPRINGS INDUSTRIES
INCORPORATED CLASS A 70,469
143,494
--------------
TOBACCO PRODUCTS - 0.55%
317,200 PHILIP MORRIS COMPANIES
INCORPORATED 9,337,574
22,900 UST INCORPORATED 523,838
9,861,412
--------------
TRANSPORTATION BY AIR - 0.29%
21,100 AMR CORPORATION+ 689,706
17,300 DELTA AIRLINES INCORPORATED 767,688
40,100 FEDEX CORPORATION+ 1,778,033
70,200 SOUTHWEST AIRLINES COMPANY 1,702,350
9,400 US AIRWAYS GROUP INCORPORATED+ 286,113
5,223,890
--------------
TRANSPORTATION EQUIPMENT - 2.16%
14,300 B F GOODRICH COMPANY 560,380
126,400 BOEING COMPANY 7,963,200
12,300 BRUNSWICK CORPORATION 224,475
21,000 DANA CORPORATION 451,500
78,900 DELPHI AUTOMOTIVE SYSTEMS
CORPORATION 1,193,363
266,600 FORD MOTOR COMPANY 6,748,313
28,000 GENERAL DYNAMICS CORPORATION 1,758,750
75,600 GENERAL MOTORS CORPORATION 4,914,000
42,600 HARLEY-DAVIDSON INCORPORATED 2,039,475
112,800 HONEYWELL INTERNATIONAL
INCORPORATED 4,018,500
12,400 ITT INDUSTRIES INCORPORATED 402,225
8,300 NAVISTAR INTERNATIONAL
CORPORATION+ 248,481
10,100 NORTHROP GRUMMAN CORPORATION 917,838
10,800 PACCAR INCORPORATED 400,275
26,100 ROCKWELL INTERNATIONAL
CORPORATION 789,525
20,200 TEXTRON INCORPORATED 931,725
17,500 TRW INCORPORATED 710,938
65,900 UNITED TECHNOLOGIES
CORPORATION 4,563,575
38,836,538
--------------
</TABLE>
87
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
TRANSPORTATION SERVICES - 0.03%
18,200 SABRE HOLDINGS CORPORATION $ 526,662
--------------
WATER TRANSPORTATION - 0.11%
83,000 CARNIVAL CORPORATION 2,043,875
--------------
WHOLESALE TRADE-DURABLE GOODS - 0.06%
24,600 GENUINE PARTS COMPANY 468,938
18,400 VISTEON CORPORATION 278,300
13,200 W W GRAINGER INCORPORATED 347,325
1,094,563
--------------
WHOLESALE TRADE-NONDURABLE GOODS - 0.51%
39,100 CARDINAL HEALTH INCORPORATED 3,448,130
70,000 SAFEWAY INCORPORATED+ 3,268,125
18,600 SUPERVALU INCORPORATED 280,163
46,900 SYSCO CORPORATION 2,172,056
9,168,474
--------------
1,778,432,781
TOTAL COMMON STOCK (COST $1,140,253,705)
--------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 1.10%
TIME DEPOSITS - 1.03%
$18,557,232 CAISSE DES DEPOTS ET
CONSIGNATIONS 6.73% 10/02/00 18,557,232
--------------
U.S. TREASURY BILLS - 0.07%
1,305,000 U.S. TREASURY BILLS 5.89[::] 02/01/01 1,278,234
--------------
19,835,466
TOTAL SHORT-TERM INSTRUMENTS (COST
$19,836,310)
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $1,160,090,015)* 99.95% $1,798,268,247
OTHER ASSETS AND LIABILITIES, NET 0.05 976,073
------- --------------
TOTAL NET ASSETS 100.00% $1,799,244,320
------- --------------
</TABLE>
# SECURITY OF AN AFFILIATE OF THE FUND WITH A COST OF $6,357,854
+ NON-INCOME PRODUCING SECURITIES.
[::] YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $1,163,089,083 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $766,064,839
GROSS UNREALIZED DEPRECIATION (130,885,675)
------------
NET UNREALIZED APPRECIATION $635,179,164
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
88
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 87.69%
AUSTRALIA - 0.24%
$ 148,700 LEND LEASE CORPORATION LIMITED
(FINANCE) $ 1,675,009
------------
AUSTRIA - 0.80%
78,800 BRAMBLES INDUSTRIES LIMITED
(BUSINESS SERVICES) 2,059,432
337,100 BROKEN HILL PROPRIETARY
COMPANY LIMITED (BUSINESS
COMPUTER SERVICES) 3,495,992
5,555,424
------------
CANADA - 3.47%
489,395 BCE INCORPORATED (BUSINESS
SERVICES)+ 11,400,318
163,390 CANADIAN PACIFIC (BUSINESS
SERVICES)+ 4,245,918
290,630 TORONTO-DOMINION BANK
(FINANCE)+ 8,537,528
24,183,764
------------
FINLAND - 2.32%
382,446 SONERA OYJ (BUSINESS
SERVICES)+ 9,719,402
771,811 STORA ENSO OYJ (BUSINESS
COMPUTER SERVICES) 6,463,298
16,182,700
------------
FRANCE - 7.50%
174,980 ALCATEL (CAPITAL EQUIPMENT) 11,194,466
44,999 CANAL PLUS (BUSINESS SERVICES) 6,738,476
53,584 CAP GEMINI SA (BUSINESS
SERVICES) 10,071,444
253,576 SANOFI-SYNTHELABO SA
(WHOLESALE NONDURABLE GOODS) 13,627,067
72,539 TOTAL FINA ELF SA
(COMMUNICATION EQUIPMENT) 10,612,875
52,244,328
------------
<CAPTION>
SHARES
<C> <S> <C> <C> <C>
GERMANY - 11.69%
22,430 ALLIANZ AG (FINANCE) 7,353,008
192,817 BASF AG (BUSINESS COMPUTER
SERVICES) 6,814,356
210,640 DEUTSCHE BANK AG (FINANCE) 17,472,122
125,740 HYPOVEREINSBANK (BUSINESS
SERVICES) 6,879,266
48,525 MUENCHENER
RUECKVERSICHERUNGS-GESELLSCHAFT
AG (BUSINESS SERVICES) 14,430,202
48,533 SIEMENS AG (MULTI INDUSTRY) 6,241,984
430,796 E.ON AG (MULTI INDUSTRY) 22,200,434
81,391,372
------------
ITALY - 2.36%
3,024,170 BANCA INTESA SPA (FINANCE) 11,661,773
903,818 ENI SPA (ENERGY) 4,785,300
16,447,073
------------
JAPAN - 15.83%
426 AMADA COMPANY LIMITED (CAPITAL
EQUIPMENT) 3,528
50 CREDIT SAISON COMPANY LIMITED
(BUSINESS SERVICES) 1,087
370,000 DAIWA HOUSE INDUSTRY COMPANY
LIMITED (FINANCE) 4,338,238
399 DDI CORPORATION (BUSINESS
SERVICES) 2,621,599
</TABLE>
89
<PAGE>
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--------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
JAPAN (continued)
1,469 EAST JAPAN RAILWAY COMPANY
(BUSINESS SERVICES) $ 8,170,174
255,000 FUJI PHOTO FILM COMPANY
(CAPITAL EQUIPMENT) 8,542,477
208,000 FUJITSU LIMITED (BUSINESS
SERVICES) 4,831,390
78,000 HONDA MOTOR COMPANY LIMITED
(CAPITAL EQUIPMENT) 2,872,849
264,000 MATSUSHITA ELECTRIC INDUSTRIAL
COMPANY LIMITED (WHOLESALE
DURABLE GOODS) 6,913,937
1,218,000 MITSUI & COMPANY LIMITED
(MULTI INDUSTRY) 7,608,274
326,000 MITSUI FUDOSAN COMPANY LIMITED
(FINANCE) 4,084,805
810,000 NIPPON EXPRESS COMPANY LIMITED
(CAPITAL EQUIPMENT) 4,325,097
1,050,000 NISSAN MOTOR COMPANY LIMITED
(BUSINESS SERVICES) 6,024,431
134 NIPPON TELEGRAPH & TELEPHONE
CORPORATION (NTT) (BUSINESS
SERVICES) 3,844,161
156,000 OMRON CORPORATION (BUSINESS
SERVICES) 4,107,163
124,200 SONY CORPORATION (CAPITAL
EQUIPMENT) 12,597,003
460,000 SUMITOMO ELECTRIC INDUSTRIES
(CAPITAL EQUIPMENT) 7,939,108
3,353,000 SUMITOMO METAL INDUSTRIES
LIMITED (BUSINESS COMPUTER
SERVICES) 1,954,831
48,000 TDK CORPORATION (WHOLESALE
DURABLE GOODS) 6,085,508
232,000 YAMANOUCHI PHARMACEUTICAL
COMPANY LIMITED (WHOLESALE
DURABLE GOODS) 11,164,169
419,000 YASUDA FIRE & MARINE INSURANCE
COMPANY LIMITED (FINANCE) 2,225,671
110,255,500
------------
KOREA, REPUBLIC OF - 0.57%
22,000 SAMSUNG ELECTRONICS COMPANY
(CAPITAL EQUIPMENT) 3,985,114
------------
NETHERLANDS - 10.07%
211,518 ASM LITHOGRAPHY HOLDING NV
(CAPITAL EQUIPMENT)+ 7,017,980
197,790 HEINEKEN NV (WHOLESALE
NONDURABLE GOODS) 10,995,674
405,917 ING GROEP N.V. 27,036,208
242,808 ROYAL DUTCH PETROLEUM COMPANY
(ENERGY) 14,674,628
448,356 TNT POST GROUP NV (BUSINESS
SERVICES) 10,425,108
70,149,598
------------
SOUTH AFRICA - 0.32%
303,000 SAPPI LIMITED (BUSINESS
COMPUTER SERVICES) 2,244,900
------------
SPAIN - 5.20%
1,010,748 AMADEUS GLOBAL TRAVEL
DISTRIBUTION SA (BUSINESS
SERVICES) 8,945,833
914,312 ENDESA SA (ENERGY) 17,185,058
509,175 TELEFONICA SA (BUSINESS
SERVICES)+ 10,086,962
36,217,853
------------
SWEDEN - 3.25%
182,000 SKANDIA FORSAKRINGS AB
(FINANCE) 3,608,635
1,249,752 TELEFONAKTIEBOLAGET LM
ERICSSON "B" SHARES
(COMMUNICATIONS) 19,006,390
22,615,025
------------
SWITZERLAND - 7.54%
18,193 NOVARTIS AG (CAPITAL
EQUIPMENT) 27,893,042
671 ROCHE HOLDING AG (WHOLESALE
NONDURABLE GOODS) 5,900,813
</TABLE>
90
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--------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
SWITZERLAND (continued)
140,567 UBS AG (FINANCE) $ 18,704,965
52,498,820
------------
TAIWAN - 0.02%
21,825 ACER INCORPORATED (CAPITAL
EQUIPMENT) 118,401
------------
UNITED KINGDOM - 16.51%
618,140 AIRTOURS PLC (BUSINESS
SERVICES) 1,969,498
243,522 ARM HOLDINGS PLC (BUSINESS
SERVICES) 2,707,556
640,050 BANK OF SCOTLAND (FINANCE) 5,630,569
194,940 BARCLAYS PLC (FINANCE) 5,395,457
623,190 BLUE CIRCLE INDUSTRIES PLC
(BUSINESS COMPUTER SERVICES) 3,796,113
470,730 BRITISH LAND COMPANY PLC
(FINANCE) 3,098,826
989,350 CADBURY SCHWEPPES PLC (FOOD &
KINDRED PRODUCTS) 5,851,017
891,600 DIAGEO PLC (BUSINESS SERVICES) 7,968,706
576,514 ELECTROCOMPONENTS PLC
(TECHNOLOGIES) 6,201,037
305,320 FUTURES NETWORK PLC (BUSINESS
COMPUTER SERVICES) 2,595,640
611,113 GLAXO WELLCOME PLC
(ELECTRONICS) 18,504,311
226,810 GREAT UNIVERSAL STORES PLC
(BUSINESS SERVICES) 1,441,956
725,090 HAYS PLC (BUSINESS SERVICES) 4,218,500
2,266,005 KINGFISHER PLC (WHOLESALE
NONDURABLE GOODS) 14,808,279
2,241,690 LEGAL & GENERAL GROUP PLC
(FINANCE) 5,435,517
1,580,790 TELEWEST COMMUNICATIONS PLC
(BUSINESS SERVICES) 3,085,102
418,000 TESCO PLC (WHOLESALE
NONDURABLE GOODS) 1,535,763
5,547,353 VODAFONE AIRTOUCH PLC
(COMMUNICATIONS) 20,709,453
114,953,300
------------
610,718,181
TOTAL COMMON STOCK (COST $581,515,597)
------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 10.12%
$ 2,020,137 WELLS FARGO MONEY MARKET
FUND++ 5.81% 10/2/00 2,020,137
68,455,590 BUSINESS CLASS PLUS 4.66 10/2/00 68,455,590
70,475,727
TOTAL SHORT-TERM INSTRUMENTS (COST
$70,475,727)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $651,991,324)* 97.81% $681,193,908
OTHER ASSETS AND LIABILITIES, NET 2.19 15,220,761
------- ------------
TOTAL NET ASSETS 100.00% $696,414,669
------- ------------
</TABLE>
+ NON-INCOME PRODUCING 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 $654,925,614 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $76,936,047
GROSS UNREALIZED DEPRECIATION (50,667,753)
-----------
NET UNREALIZED APPRECIATION $26,268,294
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
91
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--------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 92.41%
AUSTRALIA - 3.51%
$ 286,000 BROKEN HILL PROPRIETARY
COMPANY LIMITED
(MANUFACTURING) $ 2,966,045
1,280,000 FOSTER'S BREWING GROUP LIMITED
(FOOD & KINDRED PRODUCTS) 2,980,721
366,000 NEWS CORPORATION LIMITED
(PRINTING PUBLISHING
INDUSTRIES) 5,153,442
11,100,208
------------
BRAZIL - 0.55%
105,000 ARACRUZ CELULOSE SA ADR (PAPER
PRODUCTS) 1,739,063
------------
FINLAND - 0.96%
76,000 NOKIA CORPORATION ADR
(ELECTRONIC EQUIPMENT) 3,025,750
------------
FRANCE - 12.54%
57,166 AXA (INSURANCE) 7,465,802
21,000 CAP GEMINI SA (BUSINESS
SERVICES) 3,947,079
53,000 GROUPE DANONE (FOOD & KINDRED
PRODUCTS) 7,277,168
115,000 STMICROELECTRONICS NV
(ELECTRONICS) 5,637,141
32,000 SUEZ LYONNAISE DES EAUX
(INDUSTRIAL) 4,961,337
46,000 TOTAL FINA ELF SA (OIL & GAS) 6,730,066
49,000 VIVENDI (BUSINESS SERVICES) 3,640,702
39,659,295
------------
<CAPTION>
SHARES
<C> <S> <C> <C> <C>
GERMANY - 7.87%
16,000 ALLIANZ AG (INSURANCE) 5,245,124
40,000 DEUTSCHE BANK AG (BANKING) 3,317,912
45,000 INFINEON TECHNOLOGIES AG
(ELECTRONICS)+ 2,162,158
85,000 METRO AG (RETAILERS) 3,480,277
65,000 SGL CARBON AG (CHEMICALS) 4,129,740
25,000 SIEMENS AG (MANUFACTURING) 3,215,330
65,000 VEBA AG (ELECTRIC GAS &
SANITARY) 3,349,679
24,900,220
------------
HONG KONG - 3.47%
350,000 CHEUNG KONG HOLDINGS LIMITED
(REAL ESTATE) 4,230,855
640,000 CITIC PACIFIC LIMITED
(INDUSTRIAL) 2,758,023
285,000 HSBC HOLDINGS PLC (BANKING) 3,984,282
10,973,160
------------
HUNGARY - 0.58%
380,000 MAGYAR TAVKOZLESI RT
(COMMUNICATIONS) 1,824,905
------------
IRELAND - 2.56%
148,000 ELAN COMPANY PLC ADR
(CHEMICALS)+ 8,103,000
------------
ITALY - 3.12%
780,000 BANCA INTESA SPA (BANKING) 3,007,828
503,000 ENI SPA (OIL & GAS) 2,663,153
258,000 SAN PAOLO - IMI SPA (BANKING) 4,193,593
9,864,574
------------
</TABLE>
92
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
JAPAN - 14.08%
250,000 FUJITSU LIMITED (ELECTRONICS) $ 5,806,959
425,000 NIKKO SECURITIES COMPANY
LIMITED (FINANCIAL SERVICES) 3,775,680
450 NIPPON TELEGRAPH & TELEPHONE
CORP. (NTT) (COMMUNICATIONS) 4,414,215
185,000 NOMURA SECURITIES COMPANY
(FINANCIAL SERVICES) 4,023,228
141,000 OMRON CORPORATION
(ELECTRONICS) 3,712,243
5,750 ORACLE CORPORATION JAPAN
(BUSINESS SERVICES) 1,323,894
62,000 SECOM COMPANY LIMITED
(COMMERCIAL) 4,985,934
53,300 SEVEN-ELEVEN JAPAN COMPANY
LIMITED (RETAIL) 3,097,576
26,700 SONY CORPORATION (ELECTRONICS) 2,708,051
67,000 TAKEDA CHEMICAL INDUSTRIES
(CHEMICALS) 4,426,985
90,000 TOYOTA MOTOR CORPORATION
(TRANSPORTATION EQUIPMENT) 3,556,358
125,000 USHIO INCORPORATED
(ELECTRONICS) 2,695,262
44,526,385
------------
KOREA, REPUBLIC OF - 1.02%
96,000 KOREA TELECOM CORPORATION SP
ADR (COMMUNICATIONS) 3,228,000
------------
MEXICO - 4.31%
1,315,000 GRUPO TELEVISA SA DE CV
(COMMUNICATIONS) 3,815,214
2,430,000 TELEFONOS DE MEXICO SA
(COMMUNICATIONS) 6,496,961
1,583,700 WALMART DE MEXICO (RETAIL) 3,313,618
13,625,793
------------
NETHERLANDS - 4.87%
121,600 KONINKLIJKE AHOLD NV (FOOD &
KINDRED PRODUCTS) 3,447,635
165,200 KONINKLIJKE PHILIPS ELECTRONIC
NV (ELECTRONICS) 7,109,511
81,000 ROYAL DUTCH PETROLEUM CO. NY
SHARES (PETROLEUM) 4,854,938
15,412,084
------------
NORWAY - 1.11%
206,000 PETROLEUM GEO-SERVICES (OIL &
GAS)+ 3,494,452
------------
<CAPTION>
PRINCIPAL
<C> <S> <C> <C> <C>
SINGAPORE - 1.63%
$ 467,000 DBS GROUP HOLDINGS LIMITED
(BANKING) 5,152,283
------------
SPAIN - 2.28%
367,000 BANCO SANTANDER SA (BANKING) 4,028,686
160,220 TELEFONICA SA
(COMMUNICATIONS)+ 3,174,023
7,202,709
------------
SWEDEN - 1.56%
332,000 TELFONAKTIEBOLAGET LM ERICSSON
AB ADR (ELECTRONICS) 4,917,750
------------
SWITZERLAND - 6.29%
4,700 ADECCO SA (BUSINESS SERVICES) 3,045,521
1,230 JULIUS BAER HOLDING LIMITED
ZURICH (INVESTMENT OFFICES) 6,379,712
2,600 NESTLE SA (FOOD & KINDRED
PRODUCTS) 5,415,288
3,300 NOVARTIS AG (CHEMICALS) 5,059,476
19,899,997
------------
</TABLE>
93
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--------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY NAME VALUE
<C> <S> <C> <C> <C>
TAIWAN - 1.75%
$ 141,000 ASE TEST LIMITED
(ELECTRONICS)+ $ 2,961,000
390,767 RITEK CORPORATION GDR
(INDUSTRIAL MACHINERY)+ 2,581,837
5,542,837
------------
<CAPTION>
SHARES
<C> <S> <C> <C> <C>
UNITED KINGDOM - 18.35%
485,000 AMVESCAP PLC (FINANCIAL
SERVICES) 10,497,944
195,000 ARM HOLDINGS PLC ADR
(ELECTRONICS)+ 6,422,813
445,000 BP AMOCO PLC (OIL & GAS) 3,960,755
235,000 BRITISH TELECOMMUNICATIONS PLC
(COMMUNICATIONS) 2,470,352
375,000 DIAGEO PLC (EATING & DRINKING
PLACES) 3,351,576
1,355,000 INVENSYS PLC (ENGINEERING
ACCOUNTING RESEARCH & RELATED
SERVICES) 2,959,976
70,300 NDS GROUP PLC ADR
(COMMUNICATIONS)+ 5,413,100
418,000 ROYAL BANK OF SCOTLAND GROUP
(BANKING) 8,825,228
175,000 RYANAIR HOLDINGS PLC ADR (AIR
TRANSPORTATION)+ 6,737,500
56,000 SMITHKLINE BEECHAM PLC ADR
(CHEMICALS) 3,843,000
952,504 VODAFONE AIRTOUCH PLC
(COMMUNICATIONS) 3,555,901
58,038,145
------------
292,230,610
TOTAL COMMON STOCK (COST $283,696,879)
------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 7.65%
REPURCHASE AGREEMENTS - 7.65%
$24,179,804 BANC OF AMERICA NT & SA - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES
(FINANCIAL SERVICES) 6.65% 10/02/00 24,179,804
------------
24,179,804
TOTAL SHORT-TERM INSTRUMENTS (COST
$24,179,804)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $307,876,683)* 100.06% $316,410,414
OTHER ASSETS AND LIABILITIES, NET (0.06) (174,628)
------- ------------
TOTAL NET ASSETS 100.00% $316,235,786
------- ------------
</TABLE>
+ NON-INCOME PRODUCING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $307,977,912 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $40,149,614
GROSS UNREALIZED DEPRECIATION (31,717,112)
-----------
NET UNREALIZED APPRECIATION $ 8,432,502
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
94
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
LARGE COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 98.46%
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS - 5.29%
340,100 FASTENAL COMPANY $ 19,598,262
2,857,417 HOME DEPOT INCORPORATED 151,621,690
171,219,952
--------------
BUSINESS SERVICES - 18.94%
964,900 AMERICA ONLINE INCORPORATED+ 51,863,375
947,200 AUTOMATIC DATA PROCESSING
INCORPORATED 63,344,000
444,400 DST SYSTEMS INCORPORATED+ 52,217,000
1,804,500 FIRST DATA CORPORATION 70,488,280
1,019,612 FISERV INCORPORATED+ 61,049,269
3,274,100 IMS HEALTH INCORPORATED 67,937,575
2,403,760 MICROSOFT CORPORATION+ 144,826,540
961,300 ORACLE CORPORATION+ 75,702,375
590,600 SUNGARD DATA SYSTEMS
INCORPORATED+ 25,285,063
612,713,477
--------------
CHEMICALS & ALLIED PRODUCTS - 7.33%
797,300 MERCK & COMPANY INCORPORATED 59,349,019
3,956,625 PFIZER INCORPORATED 177,800,836
237,149,855
--------------
DEPOSITORY INSTITUTIONS - 1.66%
411,900 STATE STREET CORPORATION 53,547,000
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 11.68%
4,461,600 INTEL CORPORATION 185,714,100
2,707,800 NOKIA CORPORATION ADR 107,804,287
5,700,300 TELFONAKTIEBOLAGET LM ERICSSON
AB ADR 84,435,694
377,954,081
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 3.95%
2,431,698 PAYCHEX INCORPORATED 127,664,145
--------------
FOOD & KINDRED PRODUCTS - 1.31%
765,900 COCA-COLA COMPANY 42,220,238
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 16.61%
3,816,000 CISCO SYSTEMS INCORPORATED+ 210,834,000
1,574,700 EMC CORPORATION+ 156,092,138
3,691,500 SOLECTRON CORPORATION+ 170,270,437
537,196,575
--------------
INSURANCE CARRIERS - 5.53%
1,868,911 AMERICAN INTERNATIONAL GROUP
INCORPORATED 178,831,421
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 6.24%
398,500 JDS UNIPHASE CORPORATION+ 37,732,969
</TABLE>
95
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
LARGE COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (continued)
3,167,900 MEDTRONIC INCORPORATED $ 164,136,819
201,869,788
--------------
MISCELLANEOUS RETAIL - 2.87%
1,402,300 COSTCO WHOLESALE CORPORATION+ 48,992,856
3,085,275 STAPLES INCORPORATED+ 43,772,339
92,765,195
--------------
OIL & GAS EXTRACTION - 0.74%
292,700 SCHLUMBERGER LIMITED 24,092,869
--------------
PERSONAL SERVICES - 1.67%
1,239,500 CINTAS CORPORATION 53,995,719
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 13.05%
4,843,537 CHARLES SCHWAB CORPORATION 171,945,563
1,542,050 GOLDMAN SACHS GROUP
INCORPORATED 175,697,322
1,588,000 T. ROWE PRICE 74,536,750
422,179,635
--------------
WHOLESALE TRADE-NONDURABLE GOODS - 1.59%
584,400 CARDINAL HEALTH INCORPORATED 51,536,775
--------------
3,184,936,725
TOTAL COMMON STOCK (COST $1,817,531,476)
--------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 1.58%
REPURCHASE AGREEMENTS - 1.58%
$51,130,678 BANC OF AMERICA NT & SA - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.65% 10/2/00 51,130,678
--------------
51,130,678
TOTAL SHORT-TERM INSTRUMENTS (COST
$51,130,678)
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $1,868,662,154)* 100.04% $3,236,067,403
OTHER ASSETS AND LIABILITIES, NET (0.04) (1,284,337)
------- --------------
TOTAL NET ASSETS 100.00% $3,234,783,066
------- --------------
</TABLE>
+ NON-INCOME PRODUCING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $1,869,319,620 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $1,512,049,237
GROSS UNREALIZED DEPRECIATION (145,301,454)
-------------
NET UNREALIZED APPRECIATION $1,366,747,783
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
96
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 91.97%
AGRICULTURAL PRODUCTION-CROPS - 0.29%
29,400 CHIQUITA BRANDS INTERNATIONAL
INCORPORATED $ 91,875
16,900 DELTA & PINE LAND COMPANY 434,119
525,994
------------
AGRICULTURAL PRODUCTION-LIVESTOCK & ANIMAL SPECIALTIES - 0.10%
8,100 MICHAEL FOODS INCORPORATED 189,338
------------
AMUSEMENT & RECREATION SERVICES - 0.36%
5,100 ANCHOR GAMING+ 405,769
11,600 PINNACLE ENTERTAINMENT
INCORPORATED+ 252,300
658,069
------------
APPAREL & ACCESSORY STORES - 1.27%
12,700 ANNTAYLOR STORES CORPORATION+ 488,156
5,900 ASHWORTH INCORPORATED+ 46,463
19,600 BURLINGTON COAT FACTORY
WAREHOUSE CORPORATION 280,525
11,000 CATO CORPORATION 137,500
7,700 CHICO'S FAS INCORPORATED+ 261,800
7,900 DRESS BARN INCORPORATED+ 165,900
5,500 FACTORY 2-U STORES
INCORPORATED+ 168,094
8,600 FOOTSTAR INCORPORATED+ 277,888
14,400 GOODY'S FAMILY CLOTHING
INCORPORATED+ 56,700
10,800 GYMBOREE CORPORATION+ 58,725
6,200 J. BAKER INCORPORATED 27,900
14,000 PACIFIC SUNWEAR OF CALIFORNIA
INCORPORATED+ 262,500
6,100 WET SEAL INCORPORATED+ 95,694
2,327,845
------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS -
0.47%
7,100 CYRK INCORPORATED+ 24,406
2,900 HAGGAR CORPORATION 36,250
13,000 HARTMARX CORPORATION+ 39,000
10,600 KELLWOOD COMPANY 193,450
13,800 NAUTICA ENTERPRISES
INCORPORATED+ 178,538
5,400 OSHKOSH B'GOSH INCORPORATED 82,181
12,000 PHILLIPS-VAN HEUSEN
CORPORATION 123,750
9,900 QUIKSILVER INCORPORATED+ 190,575
868,150
------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.39%
23,900 COPART INC+ 331,612
7,400 DISCOUNT AUTO PARTS
INCORPORATED+ 56,888
22,600 O'REILLY AUTOMOTIVE
INCORPORATED+ 330,525
719,025
------------
</TABLE>
97
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.31%
16,100 CENTRAL PARKING CORPORATION $ 318,981
6,800 MIDAS INCORPORATED 95,200
25,600 ROLLINS TRUCK LEASING
CORPORATION 161,600
575,781
------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS - 1.13%
31,987 D.R. HORTON INCORPORATED 549,777
9,400 MDC HOLDINGS INCORPORATED 244,400
3,900 NVR INCORPORATED+ 315,900
5,700 RYLAND GROUP INCORPORATED 176,700
13,100 STANDARD PACIFIC CORPORATION 235,800
16,000 TOLL BROTHERS INCORPORATED+ 550,000
2,072,577
------------
BUSINESS SERVICES - 11.42%
8,700 AARON RENTS INCORPORATED 112,013
10,000 ABM INDUSTRIES INCORPORATED 271,875
6,000 ADMINISTAFF INCORPORATED+ 454,200
9,000 ADVO INCORPORATED+ 297,000
18,400 AMERICAN MANAGEMENT SYSTEMS
INCORPORATED+ 316,250
10,000 ANALYSTS INTERNATIONAL
CORPORATION 72,188
11,500 ASPEN TECHNOLOGY INCORPORATED+ 518,938
17,300 AVANT! CORPORATION+ 315,725
13,500 AVT CORPORATION+ 75,094
9,900 AWARE INCORPORATED+ 381,150
6,100 BARRA INCORPORATED+ 378,581
12,300 BISYS GROUP INCORPORATED+ 950,944
5,400 BROOKTROUT INCORPORATED+ 177,863
24,400 CATALINA MARKETING
CORPORATION+ 918,050
15,000 CERNER CORPORATION+ 696,563
17,800 CHOICEPOINT INCORPORATED+ 816,575
26,300 CIBER INCORPORATED+ 216,975
19,100 COGNEX CORPORATION+ 753,256
9,200 COMPUTER TASK GROUP
INCORPORATED 28,750
17,500 DENDRITE INTERNATIONAL
INCORPORATED+ 469,219
13,000 EDGEWATER TECHNOLOGY
INCORPORATED+ 68,250
21,800 ELOYALTY CORPORATION+ 277,950
18,300 EPICOR SOFTWARE CORPORATION+ 64,050
10,400 EPRESENCE INCORPORATED+ 70,200
14,400 FACTSET RESEARCH SYSTEMS
INCORPORATED 541,440
6,400 FAIR ISAAC AND COMPANY
INCORPORATED 273,200
15,100 FILENET CORPORATION+ 274,631
9,700 GERBER SCIENTIFIC INCORPORATED 83,663
8,800 GREAT PLAINS SOFTWARE INC+ 247,500
8,500 HEIDRICK & STRUGGLES
INTERNATIONAL INCORPORATED+ 436,688
18,000 HENRY (JACK) & ASSOCIATES 780,750
12,700 HNC SOFTWARE INCORPORATED+ 1,039,004
14,300 HYPERION SOLUTIONS
CORPORATION+ 370,013
</TABLE>
98
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
BUSINESS SERVICES (continued)
12,800 INFORMATION RESOURCES
INCORPORATED+ $ 87,200
5,200 INSURANCE AUTO AUCTIONS
INCORPORATED+ 84,175
5,400 KRONOS INCORPORATED+ 162,000
18,500 LABOR READY INCORPORATED+ 77,469
7,200 MEMBERWORKS INCORPORATED+ 236,700
16,600 MIDWAY GAMES INCORPORATED+ 116,200
14,500 NATIONAL DATA CORPORATION 475,781
22,200 NATIONAL INSTRUMENTS
CORPORATION+ 979,575
9,500 NETWORK EQUIPMENT TECHNOLOGIES
INCORPORATED+ 101,531
10,100 ON ASSIGNMENT INCORPORATED+ 316,888
14,000 PENTON MEDIA INCORPORATED 385,000
11,600 PHOENIX TECHNOLOGIES LIMITED+ 184,875
15,700 PROGRESS SOFTWARE CORPORATION+ 213,913
9,600 PROJECT SOFTWARE & DEVELOPMENT
INCORPORATED+ 149,250
6,700 QRS CORPORATION+ 100,919
7,500 RADISYS CORPORATION+ 379,219
14,000 REMEDY CORPORATION+ 264,250
17,600 RSA SECURITY INCORPORATED+ 759,000
40,600 S3 INCORPORATED+ 418,688
13,000 SAGA SYSTEMS INCORPORATED+ 136,500
28,200 SPHERION CORPORATION+ 336,638
4,300 SPSS INCORPORATED+ 115,294
6,200 STARTEK INCORPORATED+ 179,800
14,400 SYSTEMS & COMPUTER TECHNOLOGY
CORPORATION+ 252,900
8,500 THQ INCORPORATED+ 197,625
22,000 TRUE NORTH COMMUNICATIONS
INCORPORATED 786,500
13,800 VERITY INCORPORATED+ 492,488
6,700 VOLT INFORMATION SCIENCES
INCORPORATED+ 144,050
20,882,976
------------
CHEMICALS & ALLIED PRODUCTS - 7.63%
26,400 ADVANCED TISSUE SCIENCES
INCORPORATED+ 196,350
20,800 ALLIANCE PHARMACEUTICAL
CORPORATION+ 317,200
17,600 ALPHARMA INCORPORATED 1,075,800
9,800 ARCH CHEMICALS INCORPORATED 178,850
15,200 BARR LABORATORIES
INCORPORATED+ 1,007,950
10,400 BIOMATRIX INCORPORATED+ 182,000
10,000 BRADY CORPORATION 302,500
11,100 CAMBREX CORPORATION 410,700
6,800 CHEMFIRST INCORPORATED 141,525
23,700 COR THERAPEUTICS INCORPORATED+ 1,476,806
19,700 DURA PHARMACEUTICALS
INCORPORATED+ 696,888
12,100 IMMUNE RESPONSE CORPORATION+ 83,188
10,300 LILLY INDUSTIRES INCORPORATED
CLASS A 303,850
13,800 MACDERMID INCORPORATED 289,800
12,900 MEDICIS PHARMACEUTICAL
CORPORATION+ 793,350
11,500 MISSISSIPPI CHEMICAL
CORPORATION 46,000
7,400 NATURES SUNSHINE PRODUCT
INCORPORATED 55,038
</TABLE>
99
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
CHEMICALS & ALLIED PRODUCTS (continued)
30,200 NBTY INCORPORATED+ $ 197,244
9,700 NOVEN PHARMACEUTICALS
INCORPORATED+ 414,675
10,500 OM GROUP INCORPORATED 458,063
17,500 OMNOVA SOLUTIONS INCORPORATED 97,344
11,200 PAREXEL INTERNATIONAL
CORPORATION+ 95,200
3,300 PENFORD CORPORATION 51,150
42,700 POLYONE CORPORATION 312,244
18,900 PROTEIN DESIGN LABS
INCORPORATED+ 2,277,450
3,900 QUAKER CHEMICAL CORPORATION 66,300
12,400 SCOTTS COMPANY+ 415,400
23,700 VERTEX PHARMACEUTICALS
INCORPORATED+ 2,002,650
13,945,515
------------
COMMUNICATIONS - 0.32%
9,900 AUDIOVOX CORPORATION+ 149,119
24,600 BRIGHTPOINT INCORPORATED+ 123,769
23,000 GENERAL COMMUNICATIONS
INCORPORATED+ 164,594
34,600 TALK.COM INCORPORATED+ 152,456
589,938
------------
CONSTRUCTION-SPECIAL TRADE CONTRACTORS - 0.74%
12,300 APOGEE ENTERPRISES
INCORPORATED 69,956
4,400 CHEMED CORPORATION 139,975
18,500 DYCOM INDUSTRIES INCORPORATED+ 770,063
11,000 INSITUFORM TECHNOLOGIES
CLASS A+ 369,875
1,349,869
------------
DEPOSITORY INSTITUTIONS - 5.68%
10,200 ANCHOR BANCORP WISCONSIN
INCORPORATED 160,013
17,600 CENTURA BANKS INCORPORATED 674,300
11,700 CHITTENDEN CORPORATION 300,544
13,700 COMMERCE BANCORP INCORPORATED 797,169
24,900 COMMERCIAL FEDERAL CORPORATION 476,213
19,800 COMMUNITY FIRST BANKSHARES
INCORPORATED 347,738
23,000 CULLEN/FROST BANKERS
INCORPORATED 747,500
12,400 DOWNEY FINANCIAL CORPORATION 489,800
11,800 FIRST BANCORP/PUERTO RICO 288,363
18,100 FIRST MIDWEST BANCORP
INCORPORATED 481,913
5,100 GBC BANCORP 173,719
21,400 HUDSON UNITED BANCORP 591,175
19,500 IMPERIAL BANCORP+ 372,938
13,200 INVESTORS FINANCIAL SERVICES
CORPORATION 833,245
10,200 MAF BANCORP INCORPORATED 253,725
12,200 PROVIDENT BANKSHARES
CORPORATION 204,350
9,100 QUEENS COUNTY BANCORP
INCORPORATED 262,763
12,500 RIGGS NATIONAL CORPORATION 153,125
19,000 SOUTH FINANCIAL GROUP
INCORPORATED 239,875
12,600 SOUTHWEST BANCORPORATION OF
TEXAS INCORPORATED+ 411,863
</TABLE>
100
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
DEPOSITORY INSTITUTIONS (continued)
16,000 STATEN ISLAND BANCORP
INCORPORATED $ 320,000
17,300 SUSQUEHANNA BANCSHARES
INCORPORATED 263,825
23,600 TRUSTCO BANK CORP NY 290,575
18,500 UNITED BANKSHARES INCORPORATED 363,063
23,000 WASHINGTON FEDERAL
INCORPORATED 523,250
10,000 WHITNEY HOLDING CORPORATION 363,125
10,384,169
------------
EATING & DRINKING PLACES - 1.59%
11,800 APPLEBEE'S INTERNATIONAL
INCORPORATED 271,400
11,900 CEC ENTERTAINMENT
INCORPORATED+ 380,800
13,600 CHEESECAKE FACTORY+ 588,200
22,300 CKE RESTAURANTS INCORPORATED 68,294
12,900 CONSOLIDATED PRODUCTS
INCORPORATED+ 103,200
8,800 IHOP CORPORATION+ 168,300
16,900 JACK IN THE BOX INCORPORATED+ 362,293
9,800 LANDRY'S SEAFOOD RESTAURANTS
INCORPORATED 66,763
9,900 LUBY'S INCORPORATED 52,594
5,600 MORRISON MANAGEMENT
SPECIALISTS INCORPORATED 165,480
27,000 RUBY TUESDAY INCORPORATED 303,750
14,300 RYAN'S FAMILY STEAK HOUSES
INCORPORATED+ 109,931
7,700 SONIC CORPORATION+ 242,550
5,100 TACO CABANA INCORPORATED
CLASS A+ 21,994
2,905,549
------------
ELECTRIC, GAS & SANITARY SERVICES - 3.22%
4,000 AMERICAN STATES WATER COMPANY 121,000
14,000 ATMOS ENERGY CORPORATION 288,750
20,800 AVISTA CORPORATION 468,000
3,300 BANGOR HYDRO-ELECTRIC COMPANY 79,819
4,900 CASCADE NATURAL GAS
CORPORATION 85,750
5,100 CENTRAL VERMONT PUBLIC SERVICE
CORPORATION 51,956
7,400 CH ENERGY GROUP INCORPORATED 295,075
13,300 ENERGEN CORPORATION 395,675
2,400 GREEN MOUNTAIN POWER
CORPORATION 18,150
8,300 LACLEDE GAS COMPANY 179,488
7,800 NEW JERSEY RESOURCES
CORPORATION 316,875
11,100 NORTHWEST NATURAL GAS COMPANY 252,525
10,200 NORTHWESTERN CORPORATION 198,900
5,700 NUI CORPORATION 172,069
18,100 PHILADELPHIA SUBURBAN
CORPORATION 419,694
14,000 PIEDMONT NATURAL GAS COMPANY 428,750
15,500 RGS ENERGY GROUP INCORPORATED 436,905
21,900 SOUTHERN UNION COMPANY+ 433,894
13,900 SOUTHWEST GAS CORPORATION 291,031
11,100 SOUTHWESTERN ENERGY COMPANY 97,125
12,000 UGI CORPORATION 291,000
6,300 UIL HOLDINGS CORPORATION 324,056
</TABLE>
101
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRIC, GAS & SANITARY SERVICES (continued)
14,300 UNISOURCE ENERGY CORPORATION $ 234,163
5,880,650
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 11.76%
10,600 ACTEL CORPORATION+ 380,938
16,500 ADAPTIVE BROADBAND
CORPORATION+ 321,750
13,000 AEROFLEX INCORPORATED+ 632,125
12,300 ALLEN TELECOM INCORPORATED+ 208,331
18,200 ALLIANCE SEMICONDUCTOR
CORPORATION+ 361,725
18,900 ALPHA INDUSTRIES INCORPORATED+ 643,781
10,200 APPLICA INCORPORATED+ 63,113
16,700 ARTESYN TECHNOLOGIES
INCORPORATED+ 486,388
22,800 ASPECT COMMUNICATIONS
CORPORATION+ 470,250
9,300 AXT INCORPORATED+ 388,856
14,900 BALDOR ELECTRIC COMPANY 302,656
8,400 BENCHMARK ELECTRONICS
INCORPORATED+ 436,800
12,100 BMC INDUSTRIES INCORPORATED 83,188
11,600 C&D TECHNOLOGIES INCORPORATED 658,300
14,900 C-COR.NET CORPORATION+ 228,156
19,000 CABLE DESIGN TECHNOLOGIES+ 461,938
5,000 CACI INTERNATIONAL
INCORPORATED+ 107,188
13,300 CHECKPOINT SYSTEMS
INCORPORATED+ 100,581
7,200 CONCORD COMMUNICATIONS
INCORPORATED+ 190,800
12,200 CTS CORPORATION 617,625
26,700 DALLAS SEMICONDUCTOR
CORPORATION 877,763
5,900 DAVOX CORPORATION+ 59,369
9,800 DIONEX CORPORATION+ 270,725
32,400 DMC STRATEX NETWORKS
INCORPORATED+ 520,425
11,800 ELECTRO SCIENTIFIC INDUSTRIES
INCORPORATED+ 414,475
19,100 ESS TECHNOLOGY INCORPORATED+ 273,369
16,700 GENERAL SEMICONDUCTOR
INCORPORATED+ 203,531
15,000 HARMAN INTERNATIONAL
INDUSTRIES INCORPORATED 586,500
9,900 HELIX TECHNOLOGY CORPORATION 295,763
11,000 HUTCHINSON TECHNOLOGY
INCORPORATED+ 231,688
6,600 INNOVEX INCORPORATED 89,925
11,700 INTER-TEL INCORPORATED 133,088
14,500 INTERVOICE-BRITE INCORPORATED+ 152,250
6,700 ITRON INCORPORATED+ 41,038
38,600 KEMET CORPORATION+ 1,066,320
9,400 MERCURY COMPUTER SYSTEMS
INCORPORATED+ 261,438
15,700 METHODE ELECTRONICS
INCORPORATED 695,706
3,100 NATIONAL PRESTO INDUSTRIES
INCORPORATED 92,806
34,100 P-COM INCORPORATED+ 225,913
4,600 PARK ELECTROCHEMICAL
CORPORATION 255,875
12,400 PHOTRONICS INCORPORATED+ 270,475
21,600 PLANTRONICS INCORPORATED+ 820,800
16,300 PLEXUS CORPORATION+ 1,149,144
11,300 PROXIM INCORPORATED+ 502,850
</TABLE>
102
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 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 (continued)
27,400 READ-RITE CORPORATION+ $ 308,250
6,600 ROYAL APPLIANCE MANUFACTURING
COMPANY+ 39,188
5,000 SALTON INCORPORATED+ 161,563
15,000 SILICON VALLEY GROUP+ 394,688
15,300 SLI INCORPORATED 111,881
13,100 SPEEDFAM INTERNATIONAL
INCORPORATED+ 149,831
7,000 STANDARD MICROSYSTEMS
CORPORATION+ 152,688
10,000 SYMMETRICOM INCORPORATED+ 156,250
7,200 TECHNITROL INCORPORATED 727,200
8,100 TELCOM SEMICONDUCTOR
INCORPORATED+ 120,488
13,600 TELEDYNE TECHNOLOGIES
INCORPORATED+ 396,100
6,800 THOMAS INDUSTRIES INCORPORATED 137,700
9,500 THREE-FIVE SYSTEMS
INCORPORATED+ 277,875
16,700 VALENCE TECHNOLOGY
INCORPORATED+ 288,075
9,600 VIASAT INCORPORATED+ 214,800
18,600 VICOR CORPORATION+ 1,009,050
7,300 ZIXIT CORPORATION+ 222,650
21,504,002
------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 2.07%
18,700 BILLING INFORMATION CONCEPTS+ 59,606
24,100 BIO-TECHNOLOGY GENERAL
CORPORATION*+ 275,644
8,400 CDI CORPORATION+ 134,400
15,400 CEPHALON INCORPORATED+ 746,900
6,800 F.Y.I. INCORPORATED+ 254,150
9,100 FRANKLIN COVEY COMPANY+ 66,544
9,300 MAXIMUS INCORPORATED+ 205,763
15,100 ORGANOGENESIS INCORPORATED+ 221,970
11,100 PHARMACEUTICAL PRODUCT
DEVELOPMENT INCORPORATED+ 294,844
21,900 PROFIT RECOVERY GROUP
INTERNATIONAL INCORPORATED+ 216,263
16,200 REGENERON PHARMACEUTICALS
INCORPORATED+ 528,523
17,500 TETRA TECH INCORPORATED+ 499,844
7,200 URS CORPORATION+ 95,400
40,800 US ONCOLOGY INCORPORATED+ 184,875
3,784,726
------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT -
1.23%
4,000 ALLIANT TECHSYSTEMS
INCORPORATED+ 328,500
15,800 APTARGROUP INCORPORATED 378,213
2,800 BUTLER MANUFACTURING COMPANY 64,225
13,100 GRIFFON CORPORATION+ 99,069
3,700 INSTEEL INDUSTRIES
INCORPORATED 15,031
19,800 MASCOTECH INCORPORATED 327,938
6,600 MATERIAL SCIENCES CORPORATION+ 75,075
7,900 SHAW GROUP INCORPORATED+ 556,950
11,900 STURM, RUGER & COMPANY
INCORPORATED 97,431
20,900 TOWER AUTOMOTIVE INCORPORATED+ 195,938
</TABLE>
103
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (continued)
11,700 WATTS INDUSTRIES INCORPORATED $ 117,000
2,255,370
------------
FOOD & KINDRED PRODUCTS - 1.39%
4,300 AGRIBRANDS INTERNATIONAL
INCORPORATED+ 187,588
8,100 AMERICAN ITALIAN PASTA
COMPANY+ 155,419
3,900 COCA-COLA BOTTLING COMPANY 163,556
8,100 CONSTELLATION BRANDS
INCORPORATED+ 439,931
15,500 CORN PRODUCTS INTERNATIONAL
INCORPORATED 352,625
18,700 EARTHGRAINS COMPANY 344,781
3,800 J&J SNACK FOODS CORPORATION+ 49,163
13,200 RALCORP HOLDINGS INCORPORATED+ 186,450
24,900 SMITHFIELD FOODS INCORPORATED+ 653,625
2,533,138
------------
FOOD STORES - 0.51%
16,900 GREAT ATLANTIC & PACIFIC TEA
COMPANY INCORPORATED 186,956
5,500 PANERA BREAD COMPANY CLASS A+ 114,813
11,600 WHOLE FOODS MARKET
INCORPORATED+ 622,775
924,544
------------
FURNITURE & FIXTURES - 0.52%
5,200 BASSETT FURNITURE INDUSTRIES
INCORPORATED 73,775
17,500 ETHAN ALLEN INTERIORS
INCORPORATED 495,469
26,800 LA-Z-BOY INCORPORATED 390,275
959,519
------------
GENERAL MERCHANDISE STORES - 0.81%
14,900 99 CENTS ONLY STORES+ 747,793
13,000 AMES DEPARTMENT STORES
INCORPORATED+ 75,156
21,800 CASEY'S GENERAL STORES
INCORPORATED 283,400
5,600 GOTTSCHALKS INCORPORATED+ 34,300
13,100 SHOPKO STORES INCORPORATED+ 135,913
19,000 STEIN MART INCORPORATED+ 205,438
1,482,000
------------
HEALTH SERVICES - 2.63%
26,100 COVENTRY HEALTH CARE
INCORPORATED+ 394,763
3,600 CURATIVE HEALTH SERVICES
INCORPORATED+ 19,575
11,300 ENZO BIOCHEM INCORPORATED+ 548,050
29,400 HOOPER HOLMES INCORPORATED 279,594
15,300 IDEXX LABORATORIES
INCORPORATED+ 409,275
11,200 LASER VISION CENTERS
INCORPORATED+ 48,650
21,400 ORTHODONTIC CENTERS OF AMERICA
INCORPORATED+ 712,888
7,000 PEDIATRIX MEDICAL GROUP
INCORPORATED*+ 90,563
9,000 PROVINCE HEALTHCARE COMPANY+ 359,438
20,300 RENAL CARE GROUP INCORPORATED+ 378,088
</TABLE>
104
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
HEALTH SERVICES (continued)
12,000 SIERRA HEALTH SERVICES
INCORPORATED+ $ 56,250
10,600 SYNCOR INTERNATIONAL
CORPORATION+ 390,213
13,200 UNIVERSAL HEALTH SERVICES
INCORPORATED+ 1,130,247
4,817,594
------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-CONTRACTORS - 0.22%
18,000 FOSTER WHEELER CORPORATION 130,500
23,100 WASHINGTON GROUP INTERNATIONAL
INCORPORATED+ 264,206
394,706
------------
HOLDING & OTHER INVESTMENT OFFICES - 0.05%
5,300 4KIDS ENTERTAINMENT
INCORPORATED+ 89,438
------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.73%
14,800 BOMBAY COMPANY INCORPORATED+ 36,075
9,100 COST PLUS INCORPORATED+ 274,138
17,600 LINENS 'N THINGS INCORPORATED+ 448,800
42,600 PIER 1 IMPORTS INCORPORATED 577,762
1,336,775
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.34%
18,000 AZTAR CORPORATION+ 276,750
13,000 MARCUS CORPORATION 136,500
19,900 PRIME HOSPITALITY CORPORATION+ 201,488
614,738
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 4.75%
16,400 ANIXTER INTERNATIONAL
INCORPORATED+ 477,650
17,300 APW LIMITED+ 843,375
8,500 ASTEC INDUSTRIES INCORPORATED+ 92,969
13,100 AUSPEX SYSTEMS INCORPORATED+ 162,113
8,300 BLACK BOX CORPORATION+ 386,988
21,700 C-CUBE MICROSYSTEMS
INCORPORATED+ 444,850
7,600 DRIL-QUIP INCORPORATED+ 303,050
9,200 ELECTROGLAS INCORPORATED+ 156,975
10,200 EXABYTE CORPORATION+ 114,750
15,700 FEDDERS CORPORATION 60,838
6,500 FLOW INTERNATIONAL
CORPORATION+ 70,688
6,800 GARDNER DENVER INCORPORATED+ 110,500
8,900 GRACO INCORPORATED 287,025
13,300 IDEX CORPORATION 371,569
21,500 KULICKE & SOFFA INDUSTRIES
INCORPORATED+ 286,219
24,800 LENNOX INTERNATIONAL
INCORPORATED 232,500
5,200 LINDSAY MANUFACTURING COMPANY 96,850
10,900 MANITOWOC COMPANY INCORPORATED 209,825
7,600 MICRO SYSTEMS INCORPORATED+ 114,475
15,400 MILACRON INCORPORATED 205,010
10,900 NYFIX INCORPORATED+ 487,775
19,400 PAXAR CORPORATION+ 173,388
</TABLE>
105
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
4,800 ROBBINS & MYERS INCORPORATED $ 113,400
7,500 SCOTT TECHNOLOGIES
INCORPORATED+ 132,891
5,600 SPS TECHNOLOGIES INCORPORATED+ 271,600
7,700 TELXON CORPORATION 134,750
5,600 TORO COMPANY 176,400
9,300 ULTRATECH STEPPER
INCORPORATED+ 149,381
10,300 VALMONT INDUSTRIES
INCORPORATED 204,713
13,900 VARIAN MEDICAL SYSTEMS
INCORPORATED+ 628,105
13,700 VISUAL NETWORKS INCORPORATED+ 89,906
11,900 WATSCO INCORPORATED 122,451
13,200 XIRCOM INCORPORATED+ 333,300
13,400 ZEBRA TECHNOLOGIES
CORPORATION+ 644,038
8,690,317
------------
INSURANCE AGENTS, BROKERS & SERVICE - 0.74%
16,800 ARTHUR J. GALLAGHER & COMPANY 993,300
5,700 E.W. BLANCH HOLDINGS
INCORPORATED 118,275
5,800 HILB ROGAL HAMILTON 241,788
1,353,363
------------
INSURANCE CARRIERS - 2.84%
11,100 ADVANCE PARADIGM INCORPORATED+ 468,281
8,900 DELPHI FINANCIAL GROUP
CLASS A+ 360,450
16,800 ENHANCE FINANCIAL SERVICES
GROUP INCORPORATED 218,400
29,800 FIDELITY NATIONAL FINANCIAL
INCORPORATED 737,550
28,000 FIRST AMERICAN CORPORATION 584,500
30,900 FREMONT GENERAL CORPORATION 106,219
20,900 MID ATLANTIC MEDICAL SERVICES
INCORPORATED+ 316,113
18,200 MUTUAL RISK MANAGEMENT LIMITED 399,263
16,600 RADIAN GROUP INCORPORATED 1,120,498
4,300 RLI CORPORATION 165,819
4,100 SCPIE HOLDINGS INCORPORATED 82,513
11,300 SELECTIVE INSURANCE GROUP
INCORPORATED 201,988
14,100 TRENWICK GROUP LIMITED+ 267,900
7,600 ZENITH NATIONAL INSURANCE
CORPORATION 166,250
5,195,744
------------
LEATHER & LEATHER PRODUCTS - 0.59%
8,000 BROWN SHOE COMPANY
INCORPORATED 73,500
4,500 K-SWISS INCORPORATED 101,250
17,700 TIMBERLAND COMPANY+ 725,700
18,300 WOLVERINE WORLD WIDE
INCORPORATED 170,419
1,070,869
------------
LEGAL SERVICES - 0.17%
9,900 PRE-PAID LEGAL SERVICES
INCORPORATED+ 319,894
------------
</TABLE>
106
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.14%
20,900 CHAMPION ENTERPRISES
INCORPORATED+ $ 88,825
5,400 DELTIC TIMBER CORPORATION 91,462
3,800 SKYLINE CORPORATION 80,988
261,275
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 4.38%
9,300 ADAC LABORATORIES+ 193,556
3,700 AMCAST INDUSTRIAL CORPORATION 34,919
5,700 ANALOGIC CORPORATION 219,094
11,900 COHERENT INCORPORATED+ 809,200
8,900 COHU INCORPORATED 136,281
6,800 CONMED CORPORATION+ 93,075
6,300 COOPER COMPANIES INCORPORATED 222,863
7,200 CUNO INCORPORATED+ 160,200
11,600 CYGNUS INCORPORATED+ 127,600
6,600 DATASCOPE CORPORATION 221,100
6,100 DIAGNOSTIC PRODUCTS
CORPORATION 327,113
7,700 ESTERLINE TECHNOLOGIES
CORPORATION+ 151,594
14,200 FOSSIL INCORPORATED+ 189,038
8,300 HANGER ORTHOPEDIC GROUP
INCORPORATED+ 31,125
6,800 HOLOGIC INCORPORATED+ 50,575
22,300 INPUT/OUTPUT INCORPORATED+ 214,638
6,000 INTERMAGNETICS GENERAL
CORPORATION+ 159,750
13,300 INVACARE CORPORATION 427,263
7,200 IONICS INCORPORATED+ 153,450
7,200 MEADE INSTRUMENTS CORPORATION+ 145,350
10,300 MENTOR CORPORATION 162,225
2,600 NASHUA CORPORATION 21,938
6,200 OSTEOTECH INCORPORATED+ 59,288
22,100 PINNACLE SYSTEMS INCORPORATED+ 248,625
5,800 POLYMEDICA CORPORATION+ 248,675
13,500 RESMED INCORPORATED+ 421,875
13,000 RESPIRONICS INCORPORATED+ 216,938
15,500 ROBOTIC VISION SYSTEMS
INCORPORATED+ 92,516
13,500 ROPER INDUSTRIES INCORPORATED 448,031
10,700 SOLA INTERNATIONAL
INCORPORATED+ 68,881
4,200 SPACELABS MEDICAL
INCORPORATED+ 41,475
9,800 SUNRISE MEDICAL INCORPORATED+ 58,800
9,100 TECHNE CORPORATION+ 1,019,195
13,000 THERAGENICS CORPORATION+ 84,500
10,300 TRIMBLE NAVIGATION LIMITED.+ 230,463
5,400 VITAL SIGNS INCORPORATED 143,100
7,800 WESLEY JESSEN VISIONCARE
INCORPORATED+ 299,813
9,400 X-RITE INCORPORATED 82,250
8,016,372
------------
METAL MINING - 0.34%
7,200 BRUSH ENGINEERED MATERIALS
INCORPORATED 155,700
</TABLE>
107
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
METAL MINING (continued)
17,000 STILLWATER MINING COMPANY+ $ 460,190
615,890
------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS - 0.18%
8,200 FLORIDA ROCK INDUSTRIES
INCORPORATED 323,388
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 0.26%
7,500 CROSS (A.T.) COMPANY+ 40,313
8,600 JAKKS PACIFIC INCORPORATED+ 80,894
7,900 K2 INCORPORATED+ 70,606
7,000 LYDALL INCORPORATED+ 80,063
8,700 MAYOR'S JEWELERS INCORPORATED+ 32,625
8,800 RUSS BERRIE & COMPANY
INCORPORATED 173,799
478,300
------------
MISCELLANEOUS RETAIL - 0.79%
7,200 ACTION PERFORMANCE COMPANIES
INCORPORATED+ 24,750
8,000 BOOKS-A-MILLION INCORPORATED+ 21,000
11,400 CASH AMERICA INTERNATIONAL
INCORPORATED 83,363
2,500 DAMARK INTERNATIONAL
INCORPORATED CLASS A+ 30,625
8,000 HANCOCK FABRICS INCORPORATED 40,000
8,000 JO-ANN STORES INCORPORATED+ 58,000
3,800 LILLIAN VERNON CORPORATION 37,050
14,700 MICHAELS STORES INCORPORATED+ 588,000
6,300 THOMAS NELSON INCORPORATED 51,581
15,600 ZALE CORPORATION+ 506,025
1,440,394
------------
MOTION PICTURES - 0.08%
11,100 AVID TECHNOLOGY INCORPORATED+ 155,400
------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING - 1.08%
14,300 AMERICAN FREIGHTWAYS
CORPORATION+ 227,013
8,700 ARKANSAS BEST CORPORATION+ 133,763
9,300 FORWARD AIR CORPORATION+ 327,241
7,200 FROZEN FOOD EXPRESS INDUSTRIES
INCORPORATED 18,450
11,200 HEARTLAND EXPRESS
INCORPORATED+ 194,600
3,900 LANDSTAR SYSTEM INCORPORATED+ 174,038
4,900 M.S. CARRIERS INCORPORATED+ 76,563
8,500 ROADWAY EXPRESS INCORPORATED 152,469
11,600 USFREIGHTWAYS CORPORATION 263,175
20,800 WERNER ENTERPRISES
INCORPORATED 244,400
10,900 YELLOW CORPORATION+ 164,863
1,976,575
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 0.53%
33,500 AMERICREDIT CORPORATION+ 965,219
------------
</TABLE>
108
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
OIL & GAS EXTRACTION - 4.66%
6,100 ATWOOD OCEANICS INCORPORATED+ $ 254,294
14,600 BARRETT RESOURCES CORPORATION+ 552,063
12,800 CABOT OIL AND GAS CORPORATION 260,800
6,900 CAL DIVE INTERNATIONAL
INCORPORATED+ 394,594
30,600 CROSS TIMBERS OIL COMPANY 587,138
8,100 HS RESOURCES INCORPORATED+ 272,363
19,100 LOUIS DREYFUS NATURAL GAS
CORPORATION+ 756,838
18,800 NEWFIELD EXPLORATION COMPANY+ 877,725
7,800 NUEVO ENERGY COMPANY+ 143,325
10,100 OCEANEERING INTERNATIONAL
INCORPORATED+ 167,913
7,500 PATINA OIL & GAS CORPORATION 150,000
7,900 PLAINS RESOURCES INCORPORATED+ 149,113
17,800 POGO PRODUCING COMPANY 451,675
29,000 PRIDE INTERNATIONAL
INCORPORATED+ 768,500
9,500 REMINGTON OIL & GAS
CORPORATION+ 99,156
7,500 SEACOR SMIT INCORPORATED+ 349,688
10,600 SEITEL INCORPORATED+ 152,375
10,000 ST. MARY LAND & EXPLORATION
COMPANY 230,625
8,200 STONE ENERGY CORPORATION+ 451,000
9,800 SWIFT ENERGY COMPANY+ 407,313
6,000 TETRA TECHNOLOGIES
INCORPORATED+ 91,125
10,900 VERITAS DGC INCORPORATED+ 315,419
27,700 VINTAGE PETROLEUM INCORPORATED 630,171
8,513,213
------------
PAPER & ALLIED PRODUCTS - 0.47%
15,400 BUCKEYE TECHNOLOGIES
INCORPORATED+ 319,550
11,400 CARAUSTAR INDUSTRIES
INCORPORATED 126,112
6,800 CHESAPEAKE CORPORATION 130,900
6,200 POPE & TALBOT INCORPORATED 88,738
5,200 REPUBLIC GROUP INCORPORATED 95,550
6,800 SCHWEITZER-MAUDUIT
INTERNATIONAL INCORPORATED 90,950
851,800
------------
PERSONAL SERVICES - 0.35%
3,800 ANGELICA CORPORATION 36,813
3,400 CPI CORPORATION 72,250
9,100 G & K SERVICES INCORPORATED 255,368
18,000 REGIS CORPORATION 270,000
634,431
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 0.15%
8,700 ELCOR CORPORATION 126,150
6,800 WD-40 COMPANY 144,500
270,650
------------
PRIMARY METAL INDUSTRIES - 1.05%
10,800 BELDEN INCORPORATED 255,150
</TABLE>
109
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
PRIMARY METAL INDUSTRIES (continued)
13,700 BIRMINGHAM STEEL CORPORATION $ 36,819
7,300 COMMONWEALTH INDUSTRIES
INCORPORATED 40,606
6,800 IMCO RECYCLING INCORPORATED 40,800
11,200 INTERMET CORPORATION 81,200
15,200 MUELLER INDUSTRIES
INCORPORATED+ 341,050
6,000 QUANEX CORPORATION 114,375
9,200 RTI INTERNATIONAL METALS+ 132,825
20,600 STEEL DYNAMICS INCORPORATED+ 189,263
4,700 STEEL TECHNOLOGIES
INCORPORATED 29,669
9,300 TEXAS INDUSTRIES INCORPORATED 296,436
16,800 TREDEGAR CORPORATION 290,850
5,300 WOLVERINE TUBE INCORPORATED+ 78,838
1,927,881
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.28%
14,800 BOWNE & COMPANY INCORPORATED 144,300
5,800 CONSOLIDATED GRAPHICS
INCORPORATED+ 68,150
12,600 JOHN H. HARLAND COMPANY 192,938
6,000 NEW ENGLAND BUSINESS SERVICE
INCORPORATED 108,750
514,138
------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS - 0.03%
9,100 TITAN INTERNATIONAL
INCORPORATED 52,325
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.78%
5,700 DAIN RAUSCHER CORPORATION 530,100
15,600 EATON VANCE CORPORATION 795,600
10,700 JEFFERIES GROUP INCORPORATED 287,563
12,600 MORGAN KEEGAN INCORPORATED 220,500
9,300 NATIONAL DISCOUNT BROKERS
GROUP INCORPORATED+ 287,719
20,400 RAYMOND JAMES FINANCIAL
INCORPORATED 671,924
7,000 SOUTHWEST SECURITIES GROUP
INCORPORATED 204,750
10,100 TUCKER ANTHONY SUTRO
CORPORATION 256,288
3,254,444
------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 0.62%
32,700 GENTEX CORPORATION+ 817,500
6,700 LIBBEY INCORPORATED 208,537
5,500 STANDEX INTERNATIONAL
CORPORATION 106,219
1,132,256
------------
TEXTILE MILL PRODUCTS - 0.31%
11,300 CONE MILLS CORPORATION+ 50,850
5,100 DIXIE GROUP INCORPORATED 19,763
8,500 GUILFORD MILLS INCORPORATED 15,938
22,600 INTERFACE INCORPORATED 180,094
3,400 OXFORD INDUSTRIES INCORPORATED 60,775
</TABLE>
110
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
TEXTILE MILL PRODUCTS (continued)
9,700 TRIARC COMPANIES INCORPORATED+ $ 238,861
566,281
------------
TRANSPORTATION BY AIR - 0.91%
9,300 ATLANTIC COAST AIRLINES
HOLDINGS+ 299,344
12,600 EGL INCORPORATED+ 381,150
14,300 MESA AIR GROUP INCORPORATED+ 78,203
6,200 MIDWEST EXPRESS HOLDINGS
INCORPORATED+ 124,775
9,300 OFFSHORE LOGISTICS
INCORPORATED+ 166,238
12,100 SKYWEST INCORPORATED 620,124
1,669,834
------------
TRANSPORTATION EQUIPMENT - 1.89%
10,300 A. O. SMITH CORPORATION 129,394
11,900 AAR CORPORATION 136,106
10,700 ARTIC CAT INCORPORATED 135,088
11,100 BE AEROSPACE INCORPORATED+ 178,988
10,700 CLARCOR INCORPORATED 208,650
6,900 COACHMEN INDUSTRIES
INCORPORATED 72,019
14,500 FLEETWOOD ENTERPRISES
INCORPORATED 196,656
21,500 FRIEDE GOLDMAN HALTER
INCORPORATED+ 151,844
18,700 GENCORP INCORPORATED 151,938
9,500 GROUP 1 AUTOMOTIVE
INCORPORATED+ 103,313
4,500 HUFFY CORPORATION 47,250
19,200 JLG INDUSTRIES INCORPORATED 234,000
9,800 KROLL-O'GARA COMPANY+ 58,800
8,400 MONACO COACH CORPORATION+ 138,600
16,600 ORBITAL SCIENCES CORPORATION+ 139,025
7,300 OSHKOSH TRUCK CORPORATION 282,875
10,600 POLARIS INDUSTRIES
INCORPORATED 373,647
9,300 REGAL-BELOIT CORPORATION 157,728
7,900 SIMPSON INDUSTRIES
INCORPORATED 96,775
5,000 SPARTAN MOTORS INCORPORATED 15,625
5,500 STANDARD MOTOR PRODUCTS
INCORPORATED 44,000
15,500 TENNECO AUTOMOTIVE
INCORPORATED 80,406
5,300 THOR INDUSTRIES INCORPORATED 122,563
10,100 WABASH NATIONAL CORPORATION 92,163
9,400 WINNEBAGO INDUSTRIES
INCORPORATED 117,500
3,464,953
------------
TRANSPORTATION SERVICES - 0.91%
7,800 CIRCLE INTERNATIONAL GROUP
INCORPORATED 235,950
22,600 EXPEDITORS INTERNATIONAL OF
WASHINGTON INCORPORATED 1,018,413
16,200 FRITZ COMPANIES INCORPORATED+ 194,400
10,800 PEGASUS SOLUTIONS
INCORPORATED+ 211,275
1,660,038
------------
</TABLE>
111
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
WATER TRANSPORTATION - 0.12%
10,800 KIRBY CORPORATION+ $ 211,950
------------
WHOLESALE TRADE-DURABLE GOODS - 2.36%
9,000 APPLIED INDUSTRIAL
TECHNOLOGIES INCORPORATED 155,813
8,200 BARNES GROUP INCORPORATED 150,675
5,600 BUILDING MATERIALS HOLDING
CORPORATION+ 49,700
6,200 CASTLE (A.M.) & COMPANY 59,675
6,300 COMMERCIAL METALS COMPANY 160,650
6,300 DEPARTMENT 56 INCORPORATED+ 83,081
6,700 DIGI INTERNATIONAL
INCORPORATED+ 52,763
28,300 HA-LO INDUSTRIES INCORPORATED+ 113,200
10,400 HUGHES SUPPLY INCORPORATED 204,048
18,000 INSIGHT ENTERPRISES
INCORPORATED+ 490,500
10,200 KAMAN CORPORATION CLASS A 128,775
12,600 KENT ELECTRONICS CORPORATION+ 300,825
4,300 LAWSON PRODUCTS INCORPORATED 104,006
14,600 OWENS & MINOR INCORPORATED
HOLDING COMPANY 229,950
29,700 PATTERSON DENTAL COMPANY+ 668,248
23,500 PEP BOYS - MANNY, MOE & JACK 117,500
12,000 PIONEER-STANDARD ELECTRONICS
INCORPORATED 162,750
12,300 RELIANCE STEEL & ALUMINUM
COMPANY 259,069
7,500 SCP POOL CORPORATION+ 222,188
5,300 SIMPSON MANUFACTURING COMPANY
INCORPORATED+ 236,844
8,600 SPECIALTY EQUIPMENT COMPANIES
INCORPORATED+ 212,313
9,400 TBC CORPORATION+ 45,825
8,900 UNIVERSAL FOREST PRODUCTS
INCORPORATED 101,655
4,310,053
------------
WHOLESALE TRADE-NONDURABLE GOODS - 2.03%
15,300 BINDLEY WESTERN INDUSTRIES
INCORPORATED 489,600
19,700 DIMON INCORPORATED 64,025
6,000 ENESCO GROUP INCORPORATED 35,250
17,500 FLEMING COMPANIES INCORPORATED 228,594
12,800 HAIN CELESTIAL GROUP
INCORPORATED+ 449,600
18,300 MEN'S WEARHOUSE INCORPORATED+ 518,119
9,500 MYERS INDUSTRIES INCORPORATED 120,531
5,100 NASH-FINCH COMPANY 53,231
6,200 PERFORMANCE FOOD GROUP
COMPANY+ 233,275
10,000 PRIORITY HEALTHCARE
CORPORATION+ 762,500
7,700 SCHOOL SPECIALTY INCORPORATED+ 164,106
19,000 STRIDE RITE CORPORATION 96,188
8,100 UNITED NATURAL FOODS
INCORPORATED+ 100,238
15,100 UNITED STATIONERS
INCORPORATED+ 405,813
3,721,070
------------
168,190,312
TOTAL COMMON STOCK (COST $163,608,352)
------------
</TABLE>
112
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 7.23%
TIME DEPOSITS - 5.83%
10,653,813 CAISSE DES DEPOTS ET
CONSIGNATIONS 6.73% 10/02/00 $ 10,653,813
------------
U.S. TREASURY BILLS - 1.40%
2,630,000 U.S. TREASURY BILLS 5.97 - 6.43{::} 02/01/01 2,576,058
------------
13,229,871
TOTAL SHORT-TERM INSTRUMENTS (COST
$13,231,123)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $176,839,475)* 99.20% $181,420,183
OTHER ASSETS AND LIABILITIES, NET 0.80 1,455,405
------- ------------
TOTAL NET ASSETS 100.00% $182,875,588
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
{::} YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $179,430,641 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $34,739,674
GROSS UNREALIZED DEPRECIATION (32,750,132)
----------
NET UNREALIZED APPRECIATION $1,989,542
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
113
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 96.20%
APPAREL & ACCESSORY STORES - 5.74%
137,600 HOT TOPIC INCORPORATED+ $ 4,128,000
109,100 NEIMAN-MARCUS GROUP
INCORPORATED+ 3,538,931
79,910 TALBOTS INCORPORATED 5,294,037
12,960,968
------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 1.46%
167,110 DOLLAR THRIFTY AUTOMOTIVE
GROUP INCORPORATED+ 3,300,423
------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS - 6.24%
82,850 MDC HOLDINGS INCORPORATED 2,154,100
52,520 NVR INCORPORATED+ 4,254,120
119,800 PULTE CORPORATION 3,953,400
109,000 TOLL BROTHERS INCORPORATED+ 3,746,874
14,108,494
------------
CHEMICALS & ALLIED PRODUCTS - 3.17%
162,600 ALBEMARLE CORPORATION 3,282,487
63,400 ALPHARMA INCORPORATED 3,875,325
7,157,812
------------
COMMUNICATIONS - 0.84%
162,320 LIGHTBRIDGE INCORPORATED+ 1,886,970
------------
CONSTRUCTION-SPECIAL TRADE CONTRACTORS - 2.16%
145,100 INSITUFORM TECHNOLOGIES -
CLASS A+ 4,878,988
------------
DEPOSITORY INSTITUTIONS - 10.66%
129,426 DOWNEY FINANCIAL CORPORATION 5,112,327
211,300 EAST WEST BANCORP INCORPORATED 4,133,555
75,200 GREATER BAY BANCORP 5,221,700
76,680 SILICON VALLEY BANCSHARES+ 4,465,412
157,664 SOUTHWEST BANCORP OF TEXAS
INCORPORATED+ 5,153,642
24,086,636
------------
EATING & DRINKING PLACES - 3.34%
137,560 JACK IN THE BOX INCORPORATED+ 2,948,943
225,750 RARE HOSPITALITY INTERNATIONAL
INCORPORATED+ 4,599,656
7,548,599
------------
ELECTRIC, GAS & SANITARY SERVICES - 5.14%
194,200 AGL RESOURCES INCORPORATED 3,896,136
160,900 ALLETE 3,559,913
89,900 IDACORP INCORPORATED 4,157,875
11,613,924
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 10.26%
106,200 C&D TECHNOLOGIES INCORPORATED 6,026,850
149,305 CABLE DESIGN TECHNOLOGIES+ 3,629,978
</TABLE>
114
<PAGE>
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--------------------------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (continued)
107,600 LITTELFUSE INCORPORATED+ $ 3,194,375
73,594 SALTON INCORPORATED+ 2,378,006
136,300 SILICON VALLEY GROUP+ 3,586,394
43,100 TECHNITROL INCORPORATED 4,353,100
23,168,703
------------
FOOD & KINDRED PRODUCTS - 1.31%
54,330 CONSTELLATION BRANDS
INCORPORATED+ 2,950,798
------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 1.90%
317,000 PIER 1 IMPORTS INCORPORATED 4,299,313
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 1.52%
222,700 AZTAR CORPORATION*+ 3,424,013
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 4.68%
118,700 ANIXTER INTERNATIONAL
INCORPORATED+ 3,457,137
108,670 ELECTROGLAS INCORPORATED+ 1,854,182
99,400 IN FOCUS SYSTEMS INCORPORATED+ 5,268,200
10,579,519
------------
INSURANCE CARRIERS - 2.90%
188,400 OXFORD HEALTH PLANS
INCORPORATED+ 5,790,356
27,480 CORVEL CORPORATION+ 764,288
6,554,644
------------
LEATHER & LEATHER PRODUCTS - 1.93%
257,340 GENESCO INCORPORATED+ 4,358,696
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 3.97%
99,700 ESTERLINE TECHNOLOGIES
CORPORATION+ 1,962,844
59,520 ORBOTECH LIMITED+ 3,255,000
87,230 POLYMEDICA CORPORATION+ 3,739,986
8,957,830
------------
MISCELLANEOUS RETAIL - 4.97%
105,230 MICHAELS STORES INCORPORATED+ 4,209,200
118,500 RENT-A-CENTER INCORPORATED+ 4,110,469
89,400 ZALE CORPORATION+ 2,899,913
11,219,582
------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING - 1.04%
148,204 AMERICAN FREIGHTWAYS
CORPORATION+ 2,352,739
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 7.42%
186,600 AMERICREDIT CORPORATION+ 5,376,413
111,000 COMPUCREDIT CORPORATION+ 6,226,406
130,700 METRIS COMPANIES INCORPORATED 5,162,650
16,765,469
------------
</TABLE>
115
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
OIL & GAS EXTRACTION - 5.37%
176,400 PATINA OIL & GAS CORPORATION $ 3,528,000
63,500 STONE ENERGY CORPORATION+ 3,492,500
224,760 VINTAGE PETROLEUM INCORPORATED 5,113,290
12,133,790
------------
PAPER & ALLIED PRODUCTS - 0.07%
11,800 POPE & TALBOT INCORPORATED 168,888
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.17%
90,508 SOUTHWEST SECURITIES GROUP
INCORPORATED 2,647,359
------------
WATER TRANSPORTATION - 2.13%
102,400 TEEKAY SHIPPING CORPORATION+ 4,806,400
------------
WHOLESALE TRADE-DURABLE GOODS - 2.41%
105,000 INSIGHT ENTERPRISES
INCORPORATED+ 2,861,250
281,112 TOPPS COMPANY INCORPORATED+ 2,582,717
5,443,967
------------
WHOLESALE TRADE-NONDURABLE GOODS - 4.40%
94,100 KENNETH COLE PRODUCTIONS
INCORPORATED+ 3,322,906
136,510 MEN'S WEARHOUSE INCORPORATED+ 3,864,939
102,043 UNITED STATIONERS
INCORPORATED+ 2,742,406
9,930,251
------------
217,304,775
TOTAL COMMON STOCK (COST $168,392,142)
------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 5.07%
REPURCHASE AGREEMENTS - 5.07%
$11,453,934 BANC OF AMERICA NT & SA - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.65% 10/2/00 11,453,934
------------
11,453,934
TOTAL SHORT-TERM INSTRUMENTS (COST
$11,453,934)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $179,846,076)* 101.27% $228,758,709
OTHER ASSETS AND LIABILITIES, NET (1.27) (2,875,705)
------- ------------
TOTAL NET ASSETS 100.00% $225,883,004
------- ------------
</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 $54,406,551
GROSS UNREALIZED DEPRECIATION (5,493,918)
----------
NET UNREALIZED APPRECIATION $48,912,633
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
116
<PAGE>
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--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 95.55%
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS - 0.41%
234,500 COPART INCORPORATED+ $ 3,253,688
------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 0.22%
88,400 DOLLAR THRIFTY AUTOMOTIVE
GROUP INCORPORATED+ 1,745,900
------------
BUSINESS SERVICES - 12.33%
281,500 AVANT! CORPORATION+ 5,137,374
205,300 AWARE INCORPORATED+ 7,904,050
87,400 BARRA INCORPORATED+ 5,424,262
149,200 CLARENT CORPORATION+ 5,874,750
164,500 COGNEX CORPORATION+ 6,487,468
277,500 CONCORD EFS INCORPORATED+ 9,855,585
316,300 DENDRITE INTERNATIONAL
INCORPORATED+ 8,480,793
339,800 ELECTRONICS FOR IMAGING
INCORPORATED+ 8,579,950
93,000 HYPERION SOLUTIONS
CORPORATION+ 2,406,375
73,600 IMRGLOBAL CORPORATION+ 855,600
288,700 MENTOR GRAPHICS CORPORATION+ 6,802,494
248,300 NET PERCEPTIONS INCORPORATED+ 1,171,666
548,900 NETWORK ASSOCIATES
INCORPORATED+ 12,418,863
221,800 PEREGRINE SYSTEMS
INCORPORATED+ 4,200,338
100,700 RAZORFISH INCORPORATED+ 1,040,042
237,500 SAGENT TECHNOLOGY
INCORPORATED+ 1,796,094
286,000 SENSORMATIC ELECTRONICS
CORPORATION+ 4,290,000
67,500 WATCHGUARD TECHNOLOGIES
INCORPORATED+ 4,050,000
96,775,704
------------
CHEMICALS & ALLIED PRODUCTS - 9.94%
37,600 ALKERMES INCORPORATED+ 1,452,300
98,800 BARR LABORATORIES
INCORPORATED+ 6,551,674
144,700 BIOVAIL CORPORATION+ 11,784,006
88,700 COR THERAPEUTICS INCORPORATED+ 5,527,119
191,400 CUBIST PHARMACEUTICALS
INCORPORATED+ 9,964,763
210,600 GENZYME CORPORATION+ 14,360,288
189,200 GUILFORD PHARMACEUTICALS
INCORPORATED+ 4,363,425
225,100 INSMED INCORPORATED+ 2,968,506
110,100 INTERMUNE PHARMACEUTICALS
INCORPORATED+ 5,972,925
263,300 KING PHARMACEUTICALS
INCORPORATED+ 8,804,094
139,100 NEUROCRINE BIOSCIENCES
INCORPORATED+ 6,259,500
78,008,600
------------
COMMUNICATIONS - 3.03%
189,400 ADTRAN INCORPORATED+ 8,058,377
350,000 BRIGHTPOINT INCORPORATED+ 1,760,938
361,500 ITC DELTACOM INCORPORATED+ 4,157,250
296,700 SPECTRASITE HOLDINGS
INCORPORATED+ 5,507,494
224,400 TELECOMMUNICATION SYSTEMS
INCORPORATED+ 4,291,650
23,775,709
------------
</TABLE>
117
<PAGE>
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--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
DEPOSITORY INSTITUTIONS - 5.50%
262,200 AMERICAN FINANCIAL HOLDINGS
INCORPORATED $ 4,621,274
298,300 ASTORIA FINANCIAL CORPORATION 11,521,838
577,900 HIBERNIA CORPORATION 7,079,275
461,300 ROSLYN BANCORP INCORPORATED 10,321,588
255,800 TCF FINANCIAL CORPORATION 9,624,475
43,168,450
------------
EATING & DRINKING PLACES - 1.98%
304,600 JACK IN THE BOX INCORPORATED+ 6,529,863
537,100 RUBY TUESDAY INCORPORATED 6,042,375
94,900 SONIC CORPORATION+ 2,989,350
15,561,588
------------
ELECTRIC, GAS & SANITARY SERVICES - 0.68%
169,500 SOUTHERN ENERGY INCORPORATED+ 5,318,063
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 12.37%
107,100 ACTEL CORPORATION+ 3,848,905
300,400 ADAPTEC INCORPORATED+ 6,008,000
151,500 ADVANCED FIBRE COMMUNICATIONS
INCORPORATED+ 5,738,062
100,300 ALPHA INDUSTRIES INCORPORATED+ 3,416,468
255,500 DALLAS SEMICONDUCTOR
CORPORATION 8,399,562
104,000 DITECH COMMUNICATIONS
CORPORATION+ 4,264,000
218,100 DMC STRATEX NETWORKS
INCORPORATED+ 3,503,230
203,500 EFFICIENT NETWORKS
INCORPORATED+ 7,593,094
278,100 FAIRCHILD SEMICONDUCTOR
CORPORATION+ 7,821,563
307,200 GENERAL SEMICONDUCTOR
INCORPORATED+ 3,744,000
107,200 INTEGRATED SILICON SOLUTION
INCORPORATED+ 1,520,900
121,400 MATTSON TECHNOLOGY
INCORPORATED+ 1,805,825
302,100 ON SEMICONDUCTOR CORPORATION+ 3,285,338
131,600 OPTIMAL ROBOTICS CORPORATION+ 5,296,900
263,000 PHOTRONICS INCORPORATED+ 5,736,688
178,500 PLX TECHNOLOGY INCORPORATED+ 4,797,188
105,800 POWER INTEGRATIONS
INCORPORATED+ 1,474,588
150,000 SAWTEK INCORPORATED+ 5,777,344
147,800 TEKELEC+ 4,858,925
279,400 THREE-FIVE SYSTEMS
INCORPORATED+ 8,172,450
97,063,030
------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES - 2.79%
136,800 CEPHALON INCORPORATED+ 6,634,800
120,300 SEQUENOM INCORPORATED+ 5,067,638
340,600 UNITEDGLOBALCOM INCORPORATED+ 10,218,000
21,920,438
------------
FOOD STORES - 1.73%
252,900 WHOLE FOODS MARKET
INCORPORATED+ 13,577,569
------------
</TABLE>
118
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
GENERAL MERCHANDISE STORES - 2.92%
911,800 CONSOLIDATED STORES
CORPORATION+ $ 12,309,300
553,000 FAMILY DOLLAR STORES
INCORPORATED 10,645,250
22,954,550
------------
HEALTH SERVICES - 5.53%
1,138,200 CAREMARK RX INCORPORATED+ 12,804,750
583,500 HEALTH MANAGEMENT ASSOCIATES
INCORPORATED+ 12,144,093
280,500 LINCARE HOLDINGS INCORPORATED+ 8,046,844
302,600 MANOR CARE INCORPORATED+ 4,747,038
123,000 ORTHODONTIC CENTERS OF AMERICA
INCORPORATED+ 4,097,438
82,400 RENAL CARE GROUP INCORPORATED+ 1,534,700
43,374,863
------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES - 0.23%
70,000 LINENS 'N THINGS INCORPORATED+ 1,785,000
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 0.55%
226,100 ORIENT-EXPRESS HOTEL LIMITED+ 4,352,425
------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 3.81%
174,100 AVOCENT CORPORATION+ 9,597,263
139,700 GASONICS INTERNATIONAL
CORPORATION+ 1,711,325
272,600 GSI LUMONICS INCORPORATED+ 4,497,900
147,800 INFOCUS CORPORATION+ 7,833,400
139,500 VARIAN MEDICAL SYSTEMS
INCORPORATED+ 6,303,656
29,943,544
------------
INSURANCE CARRIERS - 4.09%
154,800 EVEREST RE GROUP LIMITED+ 7,662,600
501,100 FIDELITY NATIONAL FINANCIAL
INCORPORATED 12,402,225
501,600 OLD REPUBLIC INTERNATIONAL
CORPORATION 12,069,750
32,134,575
------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE - 0.67%
570,000 LOUISIANA-PACIFIC CORPORATION 5,236,875
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 3.27%
164,200 COOPER COMPANIES INCORPORATED 5,808,575
94,400 CYMER INCORPORATED+ 2,896,900
115,600 HAEMONETICS CORPORATION+ 2,947,800
134,600 LTX CORPORATION+ 2,548,988
120,300 ORBOTECH LIMITED+ 6,578,906
408,100 STERIS CORPORATION+ 4,897,200
25,678,369
------------
MISCELLANEOUS RETAIL - 2.98%
638,600 BORDERS GROUP INCORPORATED+ 8,900,488
161,400 MICHAELS STORES INCORPORATED+ 6,456,000
</TABLE>
119
<PAGE>
CORE PORTFOLIOS PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
MISCELLANEOUS RETAIL (continued)
188,500 TECH DATA CORPORATION+ $ 8,058,375
23,414,863
------------
NONDEPOSITORY CREDIT INSTITUTIONS - 0.97%
264,100 AMERICREDIT CORPORATION+ 7,609,381
------------
OIL & GAS EXTRACTION - 8.38%
206,500 COFLEXIP-SPONSORED ADR 12,854,624
105,700 DEVON ENERGY CORPORATION 6,357,855
410,000 PIONEER NATURAL RESOURCES
COMPANY+ 5,816,875
266,900 PRECISION DRILLING
CORPORATION+ 9,508,313
207,300 SANTA FE INTERNATIONAL
CORPORATION+ 9,341,456
171,300 SPINNAKER EXPLORATION COMPANY+ 5,974,088
152,300 TIDEWATER INCORPORATED 6,929,650
394,900 VINTAGE PETROLEUM INCORPORATED 8,983,975
65,766,836
------------
PAPER & ALLIED PRODUCTS - 0.65%
462,600 PACKAGING CORPORATION OF
AMERICA+ 5,117,513
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 1.43%
292,000 PENNZOIL-QUAKER STATE COMPANY 3,066,000
232,100 VALERO ENERGY CORPORATION 8,167,019
11,233,019
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 1.15%
229,300 HOUGHTON MIFFLIN COMPANY 9,000,025
------------
REAL ESTATE - 0.53%
176,400 NEWHALL LAND & FARMING COMPANY 4,148,928
------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES - 1.43%
447,700 AMERITRADE HOLDING
CORPORATION+ 7,946,675
35,100 DAIN RAUSCHER CORPORATION 3,264,300
11,210,975
------------
TRANSPORTATION BY AIR - 2.26%
206,000 ATLANTIC COAST AIRLINES
HOLDINGS+ 6,630,625
178,100 MIDWEST EXPRESS HOLDINGS
INCORPORATED+ 3,584,263
147,100 SKYWEST INCORPORATED 7,538,875
17,753,763
------------
TRANSPORTATION EQUIPMENT - 1.16%
539,700 FRIEDE GOLDMAN HALTER
INCORPORATED+ 3,811,631
136,300 OSHKOSH TRUCK CORPORATION 5,281,625
9,093,256
------------
WHOLESALE TRADE-DURABLE GOODS - 1.71%
244,900 ARROW ELECTRONICS
INCORPORATED+ 8,341,906
</TABLE>
120
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIOS
--------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
WHOLESALE TRADE-DURABLE GOODS (continued)
370,900 INGRAM MICRO INCORPORATED+ $ 5,099,875
13,441,781
------------
WHOLESALE TRADE-NONDURABLE GOODS - 0.85%
141,700 AMERISOURCE HEALTH
CORPORATION+ 6,659,900
------------
750,079,180
TOTAL COMMON STOCK (COST $644,702,933)
------------
<CAPTION>
PRINCIPAL INTEREST RATE MATURITY DATE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 3.78%
REPURCHASE AGREEMENTS - 3.78%
$29,676,344 BANC OF AMERICA NT & SA
REPURCHASE AGREEMENT - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.65% 10/02/00 29,676,344
------------
29,676,344
TOTAL SHORT-TERM INSTRUMENTS (COST
$29,676,344)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $674,379,277)* 99.33% $779,755,524
OTHER ASSETS AND LIABILITIES, NET 0.67 5,244,936
------- ------------
TOTAL NET ASSETS 100.00% $785,000,460
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $682,921,451 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $144,474,584
GROSS UNREALIZED DEPRECIATION (47,640,511)
-----------
NET UNREALIZED APPRECIATION $96,834,073
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
121
<PAGE>
CORE PORTFOLIO PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
COMMON STOCK - 97.54%
AMUSEMENT & RECREATION SERVICES - 3.64%
37,220 ANCHOR GAMING+ $ 2,961,316
136,619 ARGOSY GAMING COMPANY+ 2,476,218
55,500 WMS INDUSTRIES INCORPORATED+ 1,248,750
6,686,284
------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS -
2.72%
93,139 GUESS INCORPORATED+ 1,047,814
209,262 PHILLIPS-VAN HEUSEN
CORPORATION 2,158,014
105,998 TROPICAL SPORTSWEAR
INTERNATIONAL CORPORATION+ 1,801,966
5,007,794
------------
AUTOMOTIVE REPAIR, SERVICES & PARKING - 1.88%
175,056 DOLLAR THRIFTY AUTOMOTIVE
GROUP INCORPORATED+ 3,457,356
------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS - 4.20%
134,266 D.R. HORTON INCORPORATED 2,307,700
95,200 LENNAR CORPORATION 2,826,250
144,400 STANDARD PACIFIC CORPORATION 2,599,200
7,733,150
------------
BUSINESS SERVICES - 2.48%
40,300 AUTODESK INCORPORATED 1,022,613
97,030 NCO GROUP INCORPORATED+ 1,152,231
176,324 OGDEN CORPORATION 2,391,394
4,566,238
------------
CHEMICALS & ALLIED PRODUCTS - 4.30%
126,200 AGRIUM INCORPORATED 1,293,550
171,400 CROMPTON CORPORATION 1,349,775
90,000 CYTEC INDUSTRIES INCORPORATED+ 3,009,375
29,839 H B FULLER COMPANY 857,871
329,670 USEC INCORPORATED 1,401,098
7,911,669
------------
COMMUNICATIONS - 0.47%
172,500 BRIGHTPOINT INCORPORATED+ 867,891
------------
DEPOSITORY INSTITUTIONS - 10.41%
72,800 ASTORIA FINANCIAL CORPORATION 2,811,900
49,048 BANKNORTH GROUP INCORPORATED 876,733
51,594 CENTURA BANKS INCORPORATED 1,976,695
25,320 CITIZENS BANKING CORPORATION 582,360
100,675 COMMERCIAL FEDERAL CORPORATION 1,925,409
53,449 FIRST REPUBLIC BANK+ 1,610,151
122,839 FIRSTFED FINANCIAL
CORPORATION+ 2,825,298
116,100 INDEPENDENCE COMMUNITY BANK
CORPORATION 1,625,400
59,068 PACIFIC NORTHWEST BANCORP 764,192
80,000 PFF BANCORP INCORPORATED 1,740,000
</TABLE>
122
<PAGE>
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000 CORE PORTFOLIO
--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
DEPOSITORY INSTITUTIONS (continued)
89,275 WEBSTER FINANCIAL CORPORATION $ 2,404,846
19,142,984
------------
ELECTRIC, GAS & SANITARY SERVICES - 8.28%
116,920 CENTRAL VERMONT PUBLIC SERVICE 1,191,123
240,071 EL PASO ELECTRIC COMPANY+ 3,305,777
68,909 ENERGEN CORPORATION 2,050,043
83,075 OGE ENERGY CORPORATION 1,770,536
100,460 UGI CORPORATION 2,436,155
37,661 UIL HOLDINGS CORPORATION 1,937,188
77,425 WPS RESOURCES CORPORATION 2,535,668
15,226,490
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT - 5.99%
31,793 ACTEL CORPORATION+ 1,142,561
41,500 ANTEC CORPORATION+ 1,224,250
29,754 CTS CORPORATION 1,506,296
17,613 DUPONT PHOTOMASKS
INCORPORATED+ 1,034,764
85,800 HARMAN INTERNATIONAL
INDUSTRIES INCORPORATED 3,354,780
43,400 IMATION CORPORATION+ 808,325
34,992 PARK ELECTROCHEMICAL
CORPORATION 1,946,430
11,017,406
------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT -
1.83%
290,469 GRIFFON CORPORATION+ 2,196,672
125,650 TOWER AUTOMOTIVE INCORPORATED+ 1,177,969
3,374,641
------------
FOOD & KINDRED PRODUCTS - 1.70%
69,209 CORN PRODUCTS INTERNATIONAL
INCORPORATED 1,574,505
169,364 TOPPS COMPANY INCORPORATED+ 1,556,032
3,130,537
------------
FOOD STORES - 1.04%
137,773 RUDDICK CORPORATION 1,911,600
------------
FURNITURE & FIXTURES - 0.48%
52,900 FURNITURE BRANDS INTERNATIONAL
INCORPORATED+ 879,463
------------
GENERAL MERCHANDISE STORES - 1.21%
79,770 AMES DEPARTMENT STORES
INCORPORATED+ 461,170
130,740 CONSOLIDATED STORES
CORPORATION+ 1,764,990
2,226,160
------------
HEALTH SERVICES - 1.86%
575,300 BEVERLY ENTERPRISES
INCORPORATED+ 3,415,844
------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES - 1.20%
142,697 ISLE OF CAPRI CASINOS
INCORPORATED+ 2,211,804
------------
</TABLE>
123
<PAGE>
CORE PORTFOLIO PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT - 2.21%
62,700 CINCINNATI MILACRON
INCORPORATED $ 834,694
58,100 KULICKE & SOFFA INDUSTRIES
INCORPORATED+ 773,456
62,206 NORTEK INCORPORATED+ 1,088,605
105,340 TEREX CORPORATION+ 1,376,004
4,072,759
------------
INSURANCE AGENTS, BROKERS & SERVICE - 1.10%
97,800 E.W. BLANCH HOLDINGS
INCORPORATED 2,029,350
------------
INSURANCE CARRIERS - 9.50%
59,500 FARM FAMILY HOLDINGS
INCORPORATED+ 1,881,688
122,116 FOUNDATION HEALTH SYSTEMS
INCORPORATED+ 2,030,179
112,178 HARLEYSVILLE GROUP
INCORPORATED 2,133,134
127,400 HCC INSURANCE HOLDINGS
INCORPORATED 2,587,812
62,400 MID ATLANTIC MEDICAL SERVICES
INCORPORATED+ 943,800
73,320 MONY GROUP INCORPORATED 2,923,635
121,200 OLD REPUBLIC INTERNATIONAL
CORPORATION 2,916,375
59,400 W.R. BERKLEY CORPORATION 2,053,013
17,469,636
------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS - 2.03%
74,585 COOPER COMPANIES INCORPORATED 2,638,443
55,305 ESTERLINE TECHNOLOGIES
CORPORATION+ 1,088,817
3,727,260
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES - 1.01%
68,200 HEXCEL CORPORATION+ 912,175
134,100 ZOMAX INCORPORATED+ 938,700
1,850,875
------------
MISCELLANEOUS RETAIL - 0.34%
177,840 OFFICEMAX INCORPORATED+ 633,555
------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING - 0.47%
93,426 COVENANT TRANSPORTATION
INCORPORATED+ 870,030
------------
OIL & GAS EXTRACTION - 3.70%
362,100 CHESAPEAKE ENERGY CORPORATION+ 2,602,594
99,000 CROSS TIMBERS OIL COMPANY 1,899,563
31,776 PRIDE INTERNATIONAL
INCORPORATED+ 842,064
31,250 SEACOR SMIT INCORPORATED+ 1,457,031
6,801,252
------------
PAPER & ALLIED PRODUCTS - 0.47%
84,324 FIBERMARK INCORPORATED+ 859,051
------------
PETROLEUM REFINING & RELATED INDUSTRIES - 0.97%
179,950 TESORO PETROLEUM CORPORATION+ 1,788,253
------------
</TABLE>
124
<PAGE>
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--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY NAME VALUE
<C> <S> <C> <C> <C>
PRIMARY METAL INDUSTRIES - 3.12%
152,125 AK STEEL HOLDING CORPORATION $ 1,426,172
96,350 MUELLER INDUSTRIES
INCORPORATED+ 2,161,853
67,500 TEXAS INDUSTRIES INCORPORATED 2,151,563
5,739,588
------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES - 0.58%
238,240 MAIL-WELL INCORPORATED+ 1,057,190
------------
REAL ESTATE INVESTMENT TRUST - 8.36%
79,527 BRANDYWINE REALTY TRUST+ 1,610,422
103,500 DEVELOPERS DIVERSIFIED REALTY
CORPORATION 1,332,563
53,840 FIRST INDUSTRIAL REALTY TRUST
INCORPORATED 1,655,580
63,600 FRANCHISE FINANCE CORPORATION
OF AMERICA 1,431,000
109,050 GLENBOROUGH REALTY TRUST
INCORPORATED 1,962,900
99,710 HEALTHCARE REALTY TRUST
INCORPORATED 2,106,373
62,910 HIGHWOODS PROPERTIES
INCORPORATED 1,486,249
85,020 PRENTISS PROPERTIES TRUST 2,221,147
51,624 STORAGE USA INCORPORATED 1,574,532
15,380,766
------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS - 1.31%
33,800 SOUTHDOWN INCORPORATED 2,408,250
------------
TRANSPORTATION BY AIR - 1.12%
105,600 FRONTIER AIRLINES
INCORPORATED+ 2,052,600
------------
TRANSPORTATION EQUIPMENT - 1.30%
54,961 NEWPORT NEWS SHIPBUILDING
INCORPORATED 2,383,933
------------
WATER TRANSPORTATION - 1.04%
81,722 SEA CONTAINERS LIMITED 1,905,144
------------
WHOLESALE TRADE-DURABLE GOODS - 2.03%
42,940 BORG WARNER INCORPORATED 1,422,388
143,787 OMNICARE INCORPORATED 2,318,565
3,740,953
------------
WHOLESALE TRADE-NONDURABLE GOODS - 3.19%
121,934 HENRY SCHEIN INCORPORATED+ 2,431,059
46,891 PERFORMANCE FOOD GROUP
COMPANY+ 1,764,274
111,489 SUPERVALU INCORPORATED 1,679,303
5,874,636
------------
179,412,392
TOTAL COMMON STOCK (COST $165,587,927)
------------
</TABLE>
125
<PAGE>
CORE PORTFOLIO PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY NAME INTEREST RATE MATURITY DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 2.03%
REPURCHASE AGREEMENTS - 2.03%
$3,741,708 BANC OF AMERICA NT & SA
REPURCHASE AGREEMENT - 102%
COLLATERALIZED BY U.S.
GOVERNMENT SECURITIES 6.65% 10/02/00 $ 3,741,708
------------
3,741,708
TOTAL SHORT-TERM INSTRUMENTS (COST
$3,741,708)
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(COST $169,329,635)* 99.57% $183,154,100
OTHER ASSETS AND LIABILITIES, NET 0.43 788,725
------- ------------
TOTAL NET ASSETS 100.00% $183,942,825
------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS $170,338,935 AND NET UNREALIZED
APPRECIATION CONSISTS OF:
<TABLE>
<CAPTION>
<S> <C>
GROSS UNREALIZED APPRECIATION $29,020,180
GROSS UNREALIZED DEPRECIATION (16,205,015)
-----------
NET UNREALIZED APPRECIATION $12,815,165
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
126
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
127
<PAGE>
CORE PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISCIPLINED INCOME
GROWTH EQUITY INDEX
<S> <C> <C> <C>
---------------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
INVESTMENTS AT COST....... $ 158,577,425 $ 1,699,457,248 $ 1,160,090,015
NET UNREALIZED
APPRECIATION............ 31,891,885 898,178,356 638,178,232
--------------- --------------- ---------------
TOTAL INVESTMENT AT VALUE..... 190,469,310 2,597,635,604 1,798,268,247
--------------- --------------- ---------------
CASH........................ 0 59,932 17,348
RECEIVABLE FOR FORWARD
FOREIGN CURRENCY
CONTRACTS................. 0 0 0
COLLATERAL FOR SECURITIES
LOANED.................... 39,530,827 156,745,679 262,076,969
RECEIVABLE FOR INVESTMENTS
SOLD...................... 2,307,450 2,521,728 20,319
RECEIVABLE FOR DIVIDENDS AND
INTEREST AND OTHER
RECEIVABLES............... 55,286 5,399,547 1,470,351
PREPAID EXPENSES AND OTHER
ASSETS.................... 563 3,327 0
--------------- --------------- ---------------
TOTAL ASSETS.................. 232,363,436 2,762,365,817 2,061,853,234
--------------- --------------- ---------------
LIABILITIES
PAYABLE FOR INVESTMENTS
PURCHASED................. 0 2,937,250 0
PAYABLE FOR SECURITIES
LOANED.................... 39,530,827 156,745,679 262,076,969
PAYABLE FOR DAILY VARIATION
MARGIN ON FINANCIAL
FUTURES CONTRACTS......... 0 0 319,900
PAYABLE ON FORWARD FOREIGN
CURRENCY CONTRACTS........ 0 0 0
PAYABLE TO INVESTMENT
ADVISER AND AFFILIATES.... 113,084 1,464,222 187,246
ACCRUED EXPENSES AND OTHER
LIABILITIES............... 30,231 11,589 24,799
--------------- --------------- ---------------
TOTAL LIABILITIES............. 39,674,142 161,158,740 262,608,914
--------------- --------------- ---------------
TOTAL NET ASSETS.............. $ 192,689,294 $ 2,601,207,077 $ 1,799,244,320
--------------- --------------- ---------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
128
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES -- SEPTEMBER 30, 2000
CORE PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL LARGE COMPANY SMALL CAP SMALL CAP
INTERNATIONAL EQUITY GROWTH INDEX VALUE
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
INVESTMENTS AT COST....... $ 651,991,324 $ 307,876,683 $ 1,868,662,154 $ 176,839,475 $ 179,846,076
NET UNREALIZED
APPRECIATION............ 29,202,584 8,533,731 1,367,405,249 4,580,708 48,912,633
--------------- --------------- --------------- --------------- ---------------
TOTAL INVESTMENT AT VALUE..... 681,193,908 316,410,414 3,236,067,403 181,420,183 228,758,709
--------------- --------------- --------------- --------------- ---------------
CASH........................ 0 0 22,410 0 0
RECEIVABLE FOR FORWARD
FOREIGN CURRENCY
CONTRACTS................. 1,180,743 0 0 0 0
COLLATERAL FOR SECURITIES
LOANED.................... 36,946,133 22,056,352 340,317,558 25,160,003 37,046,916
RECEIVABLE FOR INVESTMENTS
SOLD...................... 22,554,257 0 0 2,248,808 3,083,616
RECEIVABLE FOR DIVIDENDS AND
INTEREST AND OTHER
RECEIVABLES............... 2,479,434 464,821 891,871 384,325 63,102
PREPAID EXPENSES AND OTHER
ASSETS.................... 10,110 0 10,979 0 0
--------------- --------------- --------------- --------------- ---------------
TOTAL ASSETS.................. 744,364,585 338,931,587 3,577,310,221 209,213,319 268,952,343
--------------- --------------- --------------- --------------- ---------------
LIABILITIES
PAYABLE FOR INVESTMENTS
PURCHASED................. 9,004,257 0 0 1,059,359 5,841,460
PAYABLE FOR SECURITIES
LOANED.................... 36,946,133 22,056,352 340,317,558 25,160,003 37,046,916
PAYABLE FOR DAILY VARIATION
MARGIN ON FINANCIAL
FUTURES CONTRACTS......... 0 0 0 57,350 0
PAYABLE ON FORWARD FOREIGN
CURRENCY CONTRACTS........ 267,227 0 0 0 0
PAYABLE TO INVESTMENT
ADVISER AND AFFILIATES.... 1,326,580 312,980 2,166,511 42,614 108,233
ACCRUED EXPENSES AND OTHER
LIABILITIES............... 405,719 326,469 43,086 18,405 72,730
--------------- --------------- --------------- --------------- ---------------
TOTAL LIABILITIES............. 47,949,916 22,695,801 342,527,155 26,337,731 43,069,339
--------------- --------------- --------------- --------------- ---------------
TOTAL NET ASSETS.............. $ 696,414,669 $ 316,235,786 $ 3,234,783,066 $ 182,875,588 $ 225,883,004
--------------- --------------- --------------- --------------- ---------------
<CAPTION>
SMALL COMPANY SMALL COMPANY
GROWTH VALUE
<S> <C> <C>
------------------------------
ASSETS
INVESTMENTS:
INVESTMENTS AT COST....... $ 674,379,277 $ 169,329,635
NET UNREALIZED
APPRECIATION............ 105,376,247 13,824,465
--------------- ---------------
TOTAL INVESTMENT AT VALUE..... 779,755,524 183,154,100
--------------- ---------------
CASH........................ 0 0
RECEIVABLE FOR FORWARD
FOREIGN CURRENCY
CONTRACTS................. 0 0
COLLATERAL FOR SECURITIES
LOANED.................... 76,780,034 18,046,194
RECEIVABLE FOR INVESTMENTS
SOLD...................... 28,238,063 1,199,025
RECEIVABLE FOR DIVIDENDS AND
INTEREST AND OTHER
RECEIVABLES............... 83,802 329,897
PREPAID EXPENSES AND OTHER
ASSETS.................... 0 2,985
--------------- ---------------
TOTAL ASSETS.................. 884,857,423 202,732,201
--------------- ---------------
LIABILITIES
PAYABLE FOR INVESTMENTS
PURCHASED................. 22,437,265 586,911
PAYABLE FOR SECURITIES
LOANED.................... 76,780,034 18,046,194
PAYABLE FOR DAILY VARIATION
MARGIN ON FINANCIAL
FUTURES CONTRACTS......... 0 0
PAYABLE ON FORWARD FOREIGN
CURRENCY CONTRACTS........ 0 0
PAYABLE TO INVESTMENT
ADVISER AND AFFILIATES.... 623,848 115,187
ACCRUED EXPENSES AND OTHER
LIABILITIES............... 15,816 41,084
--------------- ---------------
TOTAL LIABILITIES............. 99,856,963 18,789,376
--------------- ---------------
TOTAL NET ASSETS.............. $ 785,000,460 $ 183,942,825
--------------- ---------------
</TABLE>
129
<PAGE>
CORE PORTFOLIOS STATEMENTS OF OPERATIONS -- FOR THE YEAR ENDED SEPTEMBER 30,
2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISCIPLINED INCOME
GROWTH EQUITY INDEX INTERNATIONAL
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------
INVESTMENT INCOME
DIVIDENDS.............. $1,652,239 $ 51,081,343 $19,909,417 $ 8,573,042(1)
INTEREST............... 178,614 2,195,377 2,243,756 1,856,419
SECURITIES LENDING..... 83,590 280,118 444,628 173,637
---------- ------------ ----------- -----------
TOTAL INVESTMENT
INCOME................. 1,914,443 53,556,838 22,597,801 10,603,098
---------- ------------ ----------- -----------
EXPENSES
ADVISORY FEES.......... 1,541,983 18,698,296 2,677,126 6,962,560
ADMINISTRATION FEES.... 10,471 129,287 84,206 125,938
CUSTODY................ 39,736 491,560 341,667 1,713,606
ACCOUNTING............. 71,588 151,038 134,206 85,231
LEGAL.................. 6,392 10,446 4,760 268,412
AUDIT.................. 13,611 17,757 17,757 21,723
DIRECTORS' FEES........ 4,797 4,884 4,849 4,819
OTHER.................. 10,954 14,334 21,365 135,637
---------- ------------ ----------- -----------
TOTAL EXPENSES........... 1,699,532 19,517,602 3,285,936 9,317,926
---------- ------------ ----------- -----------
LESS:
WAIVED FEES AND
REIMBURSED
EXPENSES............. (192,907) (2,380,350) (896,975) 0
NET EXPENSES........... 1,506,625 17,137,252 2,388,961 9,317,926
---------- ------------ ----------- -----------
NET INVESTMENT INCOME
(LOSS)................. 407,818 36,419,586 20,208,840 1,285,172
---------- ------------ ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
--------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)
FROM
SECURITIES............. 36,048,944 79,715,569 77,457,330 188,266,567
FOREIGN CURRENCY
TRANSACTIONS......... 0 0 0 697,396
FINANCIAL FUTURES
TRANSACTIONS......... 0 0 235,160 0
---------- ------------ ----------- -----------
NET REALIZED GAIN (LOSS)
FROM INVESTMENTS....... 36,048,944 79,715,569 77,692,490 188,963,963
---------- ------------ ----------- -----------
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
SECURITIES............. 751,040 (81,398,297) 112,986,029 (67,938,905)
FOREIGN CURRENCY
TRANSACTIONS......... 0 2,613 0 3,819,605
FINANCIAL FUTURES
TRANSACTIONS......... 0 0 832,800 0
---------- ------------ ----------- -----------
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ 751,040 (81,395,684) 113,818,829 (64,119,300)
---------- ------------ ----------- -----------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS......... 36,799,984 (1,680,115) 191,511,319 124,844,663
---------- ------------ ----------- -----------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $37,207,802 $ 34,739,471 $211,720,159 $126,129,835
---------- ------------ ----------- -----------
</TABLE>
(1) NET OF FOREIGN WITHHOLDING TAXES OF $1,370,339 FOR THE INTERNATIONAL
PORTFOLIO AND $405,146 FOR THE INTERNATIONAL EQUITY PORTFOLIO
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
130
<PAGE>
STATEMENTS OF OPERATIONS -- FOR THE YEAR ENDED SEPTEMBER 30, 2000 CORE
PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL LARGE COMPANY SMALL CAP SMALL CAP SMALL COMPANY SMALL COMPANY
EQUITY GROWTH INDEX VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
DIVIDENDS.............. $ 2,752,094(1) $ 8,625,273 $ 1,064,678 $ 727,362 $ 2,673,116 $ 3,384,825
INTEREST............... 1,063,538 4,134,743 1,220,093 590,532 2,347,322 350,068
SECURITIES LENDING..... 113,528 438,526 74,201 163,982 167,848 39,914
------------- ------------- ----------- ----------- ------------- -------------
TOTAL INVESTMENT
INCOME................. 3,929,160 13,198,542 2,358,972 1,481,876 5,188,286 3,774,807
------------- ------------- ----------- ----------- ------------- -------------
EXPENSES
ADVISORY FEES.......... 2,908,662 20,917,166 432,047 1,754,000 7,079,263 1,563,705
ADMINISTRATION FEES.... 7,871 109,678 7,979 8,920 34,493 7,942
CUSTODY................ 687,422 543,262 34,285 38,406 151,976 34,474
ACCOUNTING............. 149,351 193,714 93,943 99,899 99,592 69,991
LEGAL.................. 240,204 3,116 160 9,879 352 7,022
AUDIT.................. 21,723 22,623 10,695 13,611 15,864 15,864
DIRECTORS' FEES........ 4,795 6,717 3,579 4,793 4,815 4,795
OTHER.................. 6,603 4,610 755 23,136 1,348 18,653
------------- ------------- ----------- ----------- ------------- -------------
TOTAL EXPENSES........... 4,026,631 21,800,886 583,443 1,952,644 7,387,703 1,722,446
------------- ------------- ----------- ----------- ------------- -------------
LESS:
WAIVED FEES AND
REIMBURSED
EXPENSES............. (271,975) (56,176) (10,079) (628,309) (25,669) (324,359)
NET EXPENSES........... 3,754,656 21,744,710 573,364 1,324,335 7,362,034 1,398,087
------------- ------------- ----------- ----------- ------------- -------------
NET INVESTMENT INCOME
(LOSS)................. 174,504 (8,546,168) 1,785,608 157,541 (2,173,748) 2,376,720
------------- ------------- ----------- ----------- ------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
---------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)
FROM
SECURITIES............. 45,959,892 78,004,123 12,839,884 17,965,269 182,508,596 5,290,965
FOREIGN CURRENCY
TRANSACTIONS......... (93,802) 0 0 0 0 0
FINANCIAL FUTURES
TRANSACTIONS......... 0 0 3,116,279 0 0 0
------------- ------------- ----------- ----------- ------------- -------------
NET REALIZED GAIN (LOSS)
FROM INVESTMENTS....... 45,866,090 78,004,123 15,956,163 17,965,269 182,508,596 5,290,965
------------- ------------- ----------- ----------- ------------- -------------
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
SECURITIES............. (9,977,107) 623,998,476 18,710,635 25,367,688 44,204,908 17,232,119
FOREIGN CURRENCY
TRANSACTIONS......... (19,794) 0 0 33 0 0
FINANCIAL FUTURES
TRANSACTIONS......... 0 0 (183,651) 0 0 0
------------- ------------- ----------- ----------- ------------- -------------
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ (9,996,901) 623,998,476 18,526,984 25,367,721 44,204,908 17,232,119
------------- ------------- ----------- ----------- ------------- -------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS......... 35,869,189 702,002,599 34,483,147 43,332,990 226,713,504 22,523,084
------------- ------------- ----------- ----------- ------------- -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ 36,043,693 $ 693,456,431 $36,268,755 $43,490,531 $ 224,539,756 $ 24,899,804
------------- ------------- ----------- ----------- ------------- -------------
</TABLE>
(1) NET OF FOREIGN WITHHOLDING TAXES OF $1,370,339 FOR THE INTERNATIONAL
PORTFOLIO AND $405,146 FOR THE INTERNATIONAL EQUITY PORTFOLIO
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
131
<PAGE>
CORE PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DISCIPLINED GROWTH
-------------------------------------------------------
FOR THE FOR THE FOUR FOR THE
YEAR ENDED MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 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)............... 407,818 (26,104) 245,235
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 36,048,944 4,099,644 (3,141,344)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 751,040 (4,448,279) 24,845,328
------------------ ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 37,207,802 (374,739) 21,949,219
------------------ ------------------ ------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 28,631,169 24,852,681 56,556,716
WITHDRAWALS............ (74,548,909) (12,063,373) (20,286,491)
------------------ ------------------ ------------
NET INCREASE FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. (45,917,740) 12,789,308 36,270,225
------------------ ------------------ ------------
------------------ ------------------ ------------
NET INCREASE IN NET
ASSETS................. (8,709,938) 12,414,569 58,219,444
------------------ ------------------ ------------
ENDING NET ASSETS........ $ 192,689,294 $ 201,399,232 $188,984,663
------------------ ------------------ ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
132
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS CORE PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INCOME EQUITY INDEX
-------------------------------------------------------- ----------------------------------------
FOR THE FOR THE FOUR FOR THE FOR THE FOR THE FOUR
YEAR ENDED MONTHS ENDED YEAR ENDED YEAR ENDED MONTHS ENDED
SEPTEMBER 30, 2000 SEPTEMBER 30, 1999 MAY 31, 1999 SEPTEMBER 30, 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)............... 36,419,586 12,171,160 32,382,110 20,208,840 7,070,132
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 79,715,569 55,447,612 10,703,154 77,692,490 17,917,926
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (81,395,684) (176,477,105) 273,274,958 113,818,829 (247,065,769)
------------------ ------------------ -------------- ------------------ ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 34,739,471 (108,858,333) 316,360,222 211,720,159 (222,077,711)
------------------ ------------------ -------------- ------------------ ------------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 578,510,587 170,936,080 299,593,165 230,919,882 168,104,830
WITHDRAWALS............ (466,605,655) (26,092,846) (153,177,747) (226,954,383) (193,109,864)
------------------ ------------------ -------------- ------------------ ------------------
NET INCREASE FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. 111,904,932 144,843,234 146,415,418 3,965,499 (25,005,034)
------------------ ------------------ -------------- ------------------ ------------------
------------------ ------------------ -------------- ------------------ ------------------
NET INCREASE IN NET
ASSETS................. 146,644,403 35,984,901 462,775,640 215,685,658 (247,082,745)
------------------ ------------------ -------------- ------------------ ------------------
ENDING NET ASSETS........ $ 2,601,207,077 $ 2,454,562,674 $2,418,577,773 $ 1,799,244,320 $ 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 FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. 150,556,579
--------------
--------------
NET INCREASE IN NET
ASSETS................. 445,361,484
--------------
ENDING NET ASSETS........ $1,830,641,407
--------------
</TABLE>
133
<PAGE>
CORE PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
-------------------------------------------------------
FOR THE FOR THE FOUR FOR THE
YEAR ENDED MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 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)............... 1,285,172 4,888,405 11,315,753
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 188,963,963 33,382,557 84,073,464
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (64,119,300) (3,837,151) (106,511,759)
------------------ ------------------ -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 126,129,835 34,433,811 (11,122,542)
------------------ ------------------ -------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 191,483,305 96,548,384 138,115,465
WITHDRAWALS............ (425,117,952) (124,268,364) (280,972,859)
------------------ ------------------ -------------
NET INCREASE FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. (233,634,647) (27,719,980) (142,857,394)
------------------ ------------------ -------------
------------------ ------------------ -------------
NET INCREASE IN NET
ASSETS................. (107,504,812) 6,713,831 (153,979,936)
------------------ ------------------ -------------
ENDING NET ASSETS........ $ 696,414,669 $ 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.
134
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS CORE PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY LARGE COMPANY GROWTH
----------------------------------------------------------- -------------------
FOR THE FOR THE FOUR FOR THE FOR THE
YEAR ENDED MONTHS ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, 2000 SEPTEMBER 30, 1999 MAY 31, 1999 (1) SEPTEMBER 30, 2000
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------
BEGINNING NET ASSETS..... $ 150,544,960 $ 154,552,130 $ 0 $ 2,038,377,260
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 174,504 109,415 857,495 (8,546,168)
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 45,866,090 2,627,525 (119,809) 78,004,123
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (9,996,901) 13,315,722 5,196,073 623,998,476
------------------ ------------------ --------------- ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 36,043,693 16,052,662 5,933,759 693,456,431
------------------ ------------------ --------------- ------------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 227,285,108 19,384,770 154,175,553 923,765,637
WITHDRAWALS............ (97,637,975) (39,444,602) (5,557,182) (420,816,262)
------------------ ------------------ --------------- ------------------
NET INCREASE FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. 129,647,133 (20,059,832) 148,618,371 502,949,375
------------------ ------------------ --------------- ------------------
------------------ ------------------ --------------- ------------------
NET INCREASE IN NET
ASSETS................. 165,690,826 (4,007,170) 154,552,130 1,196,405,806
------------------ ------------------ --------------- ------------------
ENDING NET ASSETS........ $ 316,235,786 $ 150,544,960 $ 154,552,130 $ 3,234,783,066
------------------ ------------------ --------------- ------------------
<CAPTION>
LARGE COMPANY GROWTH
-----------------------------------
FOR THE FOUR FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C>
-------------------------
BEGINNING NET ASSETS..... $ 1,847,453,831 $1,081,998,121
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... (504,243) (2,686,598)
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 37,071,984 181,443,136
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (53,035,427) 267,110,572
------------------ --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ (16,467,686) 445,867,110
------------------ --------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 431,740,313 761,913,767
WITHDRAWALS............ (224,349,198) (442,325,167)
------------------ --------------
NET INCREASE FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. 207,391,115 319,588,600
------------------ --------------
------------------ --------------
NET INCREASE IN NET
ASSETS................. 190,923,429 765,455,710
------------------ --------------
ENDING NET ASSETS........ $ 2,038,377,260 $1,847,453,831
------------------ --------------
</TABLE>
(1) THIS PORTFOLIO COMMENCED OPERATIONS ON FEBRUARY 12, 1999.
135
<PAGE>
CORE PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP INDEX
-------------------------------------------------------
FOR THE FOR THE FOUR FOR THE
YEAR ENDED MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 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)............... 1,785,608 245,646 926,729
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 15,956,163 (1,007,763) 2,468,434
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 18,526,984 1,965,868 (9,600,626)
------------------ ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 36,268,755 1,203,751 (6,205,463)
------------------ ------------------ ------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 38,490,955 45,525,219 38,398,557
WITHDRAWALS............ (46,271,014) (29,088,202) (17,939,415)
------------------ ------------------ ------------
NET INCREASE FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. (7,780,059) 16,437,017 20,459,142
------------------ ------------------ ------------
------------------ ------------------ ------------
NET INCREASE IN NET
ASSETS................. 28,488,696 17,640,768 14,253,679
------------------ ------------------ ------------
ENDING NET ASSETS........ $ 182,875,588 $ 154,386,892 $136,746,124
------------------ ------------------ ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
136
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS CORE PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP VALUE SMALL COMPANY GROWTH
------------------------------------------------------- -------------------
FOR THE FOR THE FOUR FOR THE FOR THE
YEAR ENDED MONTHS ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, 2000 SEPTEMBER 30, 1999 MAY 31, 1999 SEPTEMBER 30, 2000
<S> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------
BEGINNING NET ASSETS..... $ 173,026,520 $ 125,768,110 $104,269,849 $ 667,576,772
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... 157,541 (146,613) (213,047) (2,173,748)
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 17,965,269 4,186,619 (30,465,857) 182,508,596
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 25,367,721 5,216,949 9,548,982 44,204,908
------------------ ------------------ ------------ ------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 43,490,531 9,256,955 (21,129,922) 224,539,756
------------------ ------------------ ------------ ------------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 65,107,528 68,898,740 56,411,434 102,175,790
WITHDRAWALS............ (55,741,575) (30,897,285) (13,783,251) (209,291,858)
------------------ ------------------ ------------ ------------------
NET INCREASE FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. 9,365,953 38,001,455 42,628,183 (107,116,068)
------------------ ------------------ ------------ ------------------
------------------ ------------------ ------------ ------------------
NET INCREASE IN NET
ASSETS................. 52,856,484 47,258,410 21,498,261 117,423,688
------------------ ------------------ ------------ ------------------
ENDING NET ASSETS........ $ 225,883,004 $ 173,026,520 $125,768,110 $ 785,000,460
------------------ ------------------ ------------ ------------------
<CAPTION>
SMALL COMPANY GROWTH
----------------------------------
FOR THE FOUR FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 MAY 31, 1999
<S> <C> <C>
-------------------------
BEGINNING NET ASSETS..... $ 733,708,206 $ 894,063,120
OPERATIONS:
NET INVESTMENT INCOME
(LOSS)............... (514,635) (1,822,670)
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 57,486,291 (77,753,826)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (65,332,424) (15,097,262)
------------------ -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ (8,360,768) (94,673,758)
------------------ -------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 31,454,531 87,802,760
WITHDRAWALS............ (89,225,197) (153,483,916)
------------------ -------------
NET INCREASE FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. (57,770,666) (65,681,156)
------------------ -------------
------------------ -------------
NET INCREASE IN NET
ASSETS................. (66,131,434) (160,354,914)
------------------ -------------
ENDING NET ASSETS........ $ 667,576,772 $ 733,708,206
------------------ -------------
</TABLE>
137
<PAGE>
CORE PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL COMPANY VALUE
-------------------------------------------------------
FOR THE FOR THE FOUR FOR THE
YEAR ENDED MONTHS ENDED PERIOD ENDED
SEPTEMBER 30, 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)............... 2,376,720 435,751 1,096,962
NET REALIZED GAIN
(LOSS) FROM
INVESTMENTS.......... 5,290,965 2,279,774 (4,559,162)
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 17,232,119 (8,987,103) (9,541,409)
------------------ ------------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 24,899,804 (6,271,578) (13,003,609)
------------------ ------------------ ------------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS
CONTRIBUTIONS.......... 50,248,487 25,136,140 58,867,576
WITHDRAWALS............ (43,366,037) (35,351,689) (24,741,714)
------------------ ------------------ ------------
NET INCREASE FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS.............. 6,882,450 (10,215,549) 34,125,862
------------------ ------------------ ------------
------------------ ------------------ ------------
NET INCREASE IN NET
ASSETS................. 31,782,254 (16,487,127) 21,122,253
------------------ ------------------ ------------
ENDING NET ASSETS........ $ 183,942,825 $ 152,160,571 $168,647,698
------------------ ------------------ ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
138
<PAGE>
FINANCIAL HIGHLIGHTS 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
SEPTEMBER 30, 2000.......... 0.20% 0.75% 0.84% 106%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ (0.04)% 0.97% 1.02% 21%
JUNE 1, 1998 TO MAY 31,
1999........................ 0.15% 0.97% 1.02% 90%
OCTOBER 1, 1997(2) TO MAY 31,
1998........................ 0.55% 1.01% 1.06% 68%
INCOME EQUITY PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000.......... 1.42% 0.67% 0.76% 9%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ 1.43% 0.54% 0.57% 5%
JUNE 1, 1998 TO MAY 31,
1999........................ 1.53% 0.55% 0.57% 3%
JUNE 1, 1997(2) TO MAY 31,
1998........................ 1.76% 0.52% 0.57% 3%
INDEX PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000.......... 1.13% 0.13% 0.18% 8%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ 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%
INTERNATIONAL
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000.......... 0.17% 1.24% 1.24% 127%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ 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%
INTERNATIONAL EQUITY PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000.......... 0.06% 1.30% 1.39% 64%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ 0.21% 1.40% 1.40% 11%
FEBRUARY 12, 1999(2) TO
MAY 31, 1999................ 1.92% 1.40% 1.45% 12%
LARGE COMPANY GROWTH PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000.......... (0.30)% 0.77% 0.77% 9%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ (0.07)% 0.69% 0.72% 5%
JUNE 1, 1998 TO MAY 31,
1999........................ (0.19)% 0.71% 0.72% 28%
JUNE 1, 1997(2) TO MAY 31,
1998........................ (0.03)% 0.67% 0.73% 13%
SMALL CAP INDEX PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000.......... 1.03% 0.33% 0.34% 42%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ 0.53% 0.44% 0.50% 23%
JUNE 1, 1998 TO MAY 31,
1999........................ 0.76% 0.44% 0.48% 26%
APRIL 9, 1998(2) TO MAY 31,
1998........................ 1.04% 0.52% 0.54% 2%
SMALL CAP VALUE PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000.......... 0.08% 0.68% 1.00% 124%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ (0.32)% 1.06% 1.10% 49%
JUNE 1, 1998 TO MAY 31,
1999........................ (0.20)% 1.05% 1.10% 108%
OCTOBER 1, 1997(2) TO MAY 31,
1998........................ (0.17)% 1.08% 1.13% 79%
SMALL COMPANY GROWTH PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000.......... (0.28)% 0.94% 0.94% 203%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ (0.22)% 0.94% 0.98% 55%
JUNE 1, 1998 TO MAY 31,
1999........................ (0.25)% 0.98% 0.98% 154%
JUNE 1, 1997(2) TO MAY 31,
1998........................ (0.41)% 0.93% 0.98% 123%
SMALL COMPANY VALUE PORTFOLIO
-----------------------------------------------------------------------------------
OCTOBER 1, 1999 TO
SEPTEMBER 30, 2000.......... 1.37% 0.81% 1.00% 114%
JUNE 1, 1999 TO SEPTEMBER 30,
1999........................ 0.83% 1.00% 1.04% 28%
JUNE 1, 1998 TO MAY 31,
1999........................ 0.76% 0.99% 1.04% 97%
JUNE 1, 1997(2) TO MAY 31,
1998........................ 0.69% 0.99% 1.04% 99%
</TABLE>
(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) COMMENCEMENT OF OPERATIONS.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
139
<PAGE>
CORE PORTFOLIOS NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
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 present 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 at 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 each business day as of the close of
regular trading on the New York Stock Exchange which is usually 1:00 p.m.
(Pacific Time), and 3:00 p.m. (Central Time). 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.
140
<PAGE>
NOTES TO FINANCIAL STATEMENTS CORE PORTFOLIOS
--------------------------------------------------------------------------------
The 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 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 short contracts were held
by the International Portfolio during the year ended September 30, 2000:
<TABLE>
<CAPTION>
Net Unrealized
Appreciation/
Date Currency Value Proceeds (Depreciation)
<S> <C> <C> <C> <C>
11/13/00 BRITISH POUND 14,262,000 $20,890,991 $(167,691)
11/20/00 JAPANESE YEN 2,667,134,000 24,787,490 (99,536)
12/7/00 JAPANESE YEN 1,695,236,000 16,059,150 195,131
12/14/00 JAPANESE YEN 4,852,228,000 46,446,137 985,612
</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
September 30, 2000, the Index and Small Cap Index Portfolios held the
following long futures contracts:
<TABLE>
<CAPTION>
Notional Net Unrealized
Contracts Portfolio Type Expiration Date Contract Value (Depreciation)
<C> <S> <C> <C> <C> <C>
52 LONG INDEX PORTFOLIO S&P 500 INDEX DECEMBER 2000 $18,898,100 $(613,875)
RUSSELL 2000
52 LONG SMALL CAP INDEX PORTFOLIO INDEX DECEMBER 2000 13,624,000 (418,850)
</TABLE>
The Index and Small Cap Index Portfolios have pledged to brokers U.S.
Treasury bills for initial margin requirements with par values of $1,305,000
and $2,630,000, 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,
federal agency, or high-grade corporate 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
141
<PAGE>
CORE PORTFOLIOS NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
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 the expenses associated with
securities lending activities. As of September 30, 2000, the value of
securities on loan and the value of the related collateral were as follows:
<TABLE>
<CAPTION>
Portfolio Securities Collateral
<S> <C> <C>
DISCIPLINED GROWTH PORTFOLIO $ 34,895,440 $ 39,530,827
INCOME EQUITY PORTFOLIO 144,155,837 156,745,679
INDEX PORTFOLIO 233,410,482 262,076,969
INTERNATIONAL PORTFOLIO 33,252,521 36,946,133
INTERNATIONAL EQUITY PORTFOLIO 20,347,019 22,056,352
LARGE COMPANY GROWTH PORTFOLIO 317,488,219 340,317,558
SMALL CAP INDEX PORTFOLIO 23,280,867 25,160,003
SMALL CAP VALUE PORTFOLIO 34,479,008 37,046,916
SMALL COMPANY GROWTH PORTFOLIO 74,845,331 76,780,034
SMALL COMPANY VALUE PORTFOLIO 17,105,754 18,046,194
</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.
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
142
<PAGE>
NOTES TO FINANCIAL STATEMENTS CORE PORTFOLIOS
--------------------------------------------------------------------------------
each respective Portfolio. 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.
143
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CORE PORTFOLIOS NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
Wells Fargo Bank Minnesota, N.A. ("WFB MN"), formerly Norwest Bank Minnesota,
N.A., 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. WFB MN receives a fee with respect to each Portfolio at
an annual rate of 0.02% of each Portfolio's average daily net assets, with the
exception of the International and International Equity Portfolios. WFB MN
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, WFB MN 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, WFB MN 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 year ended September 30, 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 $ 180,467 $ 192,907
INCOME EQUITY PORTFOLIO 59,627 2,320,723 2,380,350
INDEX PORTFOLIO 88,805 808,170 896,975
INTERNATIONAL PORTFOLIO 56,616 582,014 638,630
INTERNATIONAL EQUITY PORTFOLIO 0 271,975 271,975
LARGE COMPANY GROWTH PORTFOLIO 56,176 0 56,176
SMALL CAP INDEX PORTFOLIO 8,642 1,437 10,079
SMALL CAP VALUE PORTFOLIO 12,108 616,201 628,309
SMALL COMPANY GROWTH PORTFOLIO 24,605 1,064 25,669
SMALL COMPANY VALUE PORTFOLIO 8,635 315,724 324,359
</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 year ended September 30, 2000 were as follows:
<TABLE>
<CAPTION>
AGGREGATE PURCHASES AND SALES
Portfolio Purchases at Cost Sales Proceeds
<S> <C> <C>
DISCIPLINED GROWTH PORTFOLIO $ 207,947,687 $ 255,855,529
INCOME EQUITY PORTFOLIO 221,612,590 319,039,532
INDEX PORTFOLIO 183,569,659 147,209,936
INTERNATIONAL PORTFOLIO 794,448,316 1,067,579,709
INTERNATIONAL EQUITY PORTFOLIO 280,317,360 170,388,575
LARGE COMPANY GROWTH PORTFOLIO 742,918,051 250,813,737
SMALL CAP INDEX PORTFOLIO 64,012,421 70,386,980
SMALL CAP VALUE PORTFOLIO 233,893,096 228,240,482
SMALL COMPANY GROWTH PORTFOLIO 1,497,287,172 1,621,479,570
SMALL COMPANY VALUE PORTFOLIO 201,133,504 191,472,641
</TABLE>
7. CONTRIBUTION OF SECURITIES
In connection with the consolidation of the Stagecoach Family of Funds and
the Norwest Advantage Funds into the Wells Fargo Funds Trust and the
acquisition of certain Great Plains Funds by the Wells Fargo Funds Trust,
certain investors contributed all or a portion of their net assets to the
portfolios listed in the following table:
<TABLE>
<CAPTION>
Portfolio Net Portfolio Assets Unrealized Gain
<S> <C> <C>
INCOME EQUITY PORTFOLIO $ 318,647,802 $ 75,910,691
SMALL CAP VALUE PORTFOLIO 23,129,461 3,402,031
</TABLE>
144
<PAGE>
INDEPENDENT AUDITORS' REPORT CORE PORTFOLIOS
--------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND PARTNERS
WELLS FARGO CORE TRUST:
We have audited the accompanying statements of assets and liabilities of
Disciplined Growth Portfolio, Income Equity Portfolio, Index Portfolio,
International Portfolio, International Equity Portfolio, Large Company Growth
Portfolio, Small Cap Index Portfolio, Small Cap Value Portfolio, Small Company
Growth Portfolio, and Small Company Value Portfolio, ten portfolios of Wells
Fargo Core Trust, (collectively the "Portfolios"), including the portfolios of
investments as of September 30, 2000, and the related statements of operations
for the year then ended, the statements of changes in net assets for the
periods presented on pages 132 to 138, and the financial highlights for the
periods presented on page 139. These financial statements and financial
highlights are the responsibility of the Portfolios' management. Our
responsibility is to express an opinion on these financial statements based on
our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. Our
procedures included confirmation of the securities owned as of September 30,
2000, by correspondence with the custodian. As to securities purchased but not
yet received, we performed other appropriate auditing procedures. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned portfolios of Wells Fargo Core Trust as of
September 30, 2000, the results of their operations, changes in their net
assets and their financial highlights for the periods indicated above in
conformity with accounting principles generally accepted in the United States
of America.
/s/ KPMG LLP
San Francisco, California
November 3, 2000
145
<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
146
<PAGE>
More information about Wells Fargo is available free upon request. To obtain
literature, please write, fax or e-mail to:
Wells Fargo Funds
P.O. Box 8266
Boston MA 02266-8266
Fax: 1-415-977-9301
E-mail: [email protected]
Or, call the WELLS FARGO FUNDS Sales & Service Desk at 1-800-552-9612.
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 distributed by STEPHENS INC., Member NYSE/SIPC. Wells Fargo
Bank, N.A., and its affiliates are not affiliate 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.
DATED MATERIAL
PLEASE EXPEDITE
Bulk Rate
[WELLS FARGO FUNDS LOGO] U.S. Postage
P.O. Box 8266 PAID
Boston, MA 02266-8266 Permit No. 2145
Newark, NJ
AR 002 (11/00)
