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F O R U M
F U N D S
-------------------------------------
ANNUAL REPORT
-------------------------------------
MAY 31, 1998
Investors
Equity Fund
Equity
Index Fund
Small Company
Opportunities
Fund
International
Equity Fund
Emerging
Markets Fund
<PAGE>
Table of Contents
A Message to Our Shareholders....................................... 1
FINANCIAL STATEMENTS OF THE FORUM FUNDS
Schedules of Investments:
Investors Equity Fund........................................... 6
Equity Index Fund............................................... 8
Small Company Opportunities Fund................................ 8
International Equity Fund....................................... 8
Emerging Markets Fund........................................... 8
Statements of Assets and Liabilities................................ 9
Statements of Operations............................................ 11
Statements of Changes in Net Assets................................ 13
Financial Highlights................................................ 15
Notes to Financial Statements....................................... 17
Report of Independent Auditors...................................... 21
Annual Report: Core Trust (Delaware)................................ 22
Annual Report: Schroder Capital Funds............................... 70
<PAGE>
Forum Funds(R)
- --------------------------------------------------------------------------------
INVESTORS EQUITY FUND
EQUITY INDEX FUND
SMALL COMPANY OPPORTUNITIES FUND
INTERNATIONAL FUND
EMERGING MARKETS FUND
May 31, 1998 ANNUAL REPORT
- --------------------------------------------------------------------------------
Dear Investor:
Forum Funds is pleased to present this annual report for the fiscal year ended
May 31, 1998, reviewing the performance of five new equity funds (the "Funds")
during this period. Total net assets in these Funds, which began operations in
the last six months, are approaching $40 million. The report describes the
financial highlights for each Fund since its inception.
INVESTORS EQUITY FUND
- ---------------------
The Fund, launched on December 17, 1997, received the majority of its assets in
March 1998 upon the conversion of the equity assets of Bank of New Hampshire
Balanced Common Trust Fund. The investment philosophy and process used to manage
the Fund has remained close to its roots - a diversified portfolio based on the
stocks of high quality, growth oriented, larger capitalization companies. Since
inception, to the end of its fiscal year on May 31, 1998, the return on the Fund
has been 14.3% (not including the effect of the Fund's maximum 4% sales charge).
Since December 31, 1997, the return on the Fund has been 12.8% (not including
the effect of the Fund's maximum sales charge).
At this time, the Fund is emphasizing the financial, technology and health care
sectors of the market, areas where the managers anticipate sustainable trends in
secular growth resulting from positive demographic and technological forces. In
addition, the strength of the domestic economy has provided opportunities in the
consumer cyclical sector, particularly for well managed specialty and general
retailers. Recent strong performers have included Microsoft, Cisco Systems, the
Gap, and Pfizer.
As the Fund enters the new fiscal year, its managers expect a continuation of
current trends. International forces and a slowing growth in domestic earnings
have created an increasingly volatile stock market. This situation is being
addressed by rigorous rebalancing that takes advantage of shorter term
opportunities.
EQUITY INDEX FUND
- -----------------
During the fiscal year ended May 31, 1998, Equity Index Fund experienced a gain
of 16.80% (not including the effect of the Fund's maximum 4% sales charge). In
general, fiscal year 1998 was a profitable one for investors in the domestic
equity market. A healthy economy, inflation which showed no signs of
acceleration, and sizable cash inflows into the market all helped fuel the
continuing stock market rally. Large company stocks were the best performers,
with the S&P 500 Index surpassing returns of the small and mid-capitalization
sectors of the market.
Equity Index Fund invests all of its investable assets in Index Portfolio, a
diversified portfolio of Core Trust (Delaware), a registered open-end management
investment company ("The Trust").
<PAGE>
Equity Index Fund, launched December 24, 1997, attempts to replicate the return
of the S&P 500 Index with a minimum of tracking error. To achieve this goal, the
Fund is invested in all 500 securities that make up the Index and in the same
weightings as in the Index. A small portion of assets is kept in cash in order
to handle redemptions and purchases without having to trade stocks. Although
this minimizes transactions costs, it can also hurt performance. However, the
drag of cash is reduced by hedging our cash position. To this end, the Fund
invests in S&P 500 futures contracts, which gives us, in effect, a 100% equity
position. The result is a Fund that very closely tracks the performance of the
S&P 500 Index.
SMALL COMPANY OPPORTUNITIES FUND
- --------------------------------
The Small Company Opportunities Fund has lost 3.00% (not including the effect of
the Fund's maximum 4% sales charge) from its inception on March 30, 1998 through
May 31, 1998. The adviser to the Fund may currently invest in four different
diversified small cap portfolios of the Trust, including an index portfolio
which tracks the S&P 600 Index of small company stocks. The adviser uses a mix
of styles to help moderate the Fund's annual return volatility, improve its
performance, and provide effective diversification across small cap investing.
Small stocks continue to lag behind large cap stocks and have nearly reached
record low relative valuations. Although there has been little change in
investors' appetites for large stocks, relative performance prospects for small
stocks in general are outstanding. The superior earnings momentum and
inexpensive valuations present in these stocks should ultimately capture
investor attention.
INTERNATIONAL EQUITY FUND
- -------------------------
Since its inception on December 24, 1997, to end of fiscal year May 31, 1998,
the International Equity Fund rose 20.20% (not including the effect of the
Fund's maximum 4% sales charge). International Equity Fund invests all of its
investable assets in International Portfolio, as diversified portfolio of the
Trust.
In response to the Asian financial crisis that began to unfold in late 1997, and
in response to concerns over extended valuations, the Fund took a defensive
stance. The Fund's exposure to those countries hardest hit, the emerging markets
of Southeast Asia, was minimal, ending the fiscal year at approximately 0.7% of
the portfolio. However, aftershocks and currency turmoil had a ripple effect
throughout many parts of the world, including the U.S.
The bright spot in the international picture has been Europe. Continental
Europe, where the Fund closed out the year with a weighting of 56%, delivered
the most value-added to the Fund as investments there kept pace with the
bull-market. The Mediterranean markets of Italy, Spain and Portugal were
especially rewarding: markets there rose once their economies met the entry
criteria for joining the European Monetary and Economic Union (EMU). The adviser
believes that the EMU project will have a beneficial effect for equity investors
in Europe from both a top-down and bottom-up perspective. Company valuations in
the United Kingdom are attractive, and the market has benefited from stock
buybacks and merger announcements, albeit having lagged behind most Continental
European markets.
It would be unrealistic to expect markets to compound the returns seen in early
1998 through the rest of the year. As gains become harder to come by as the year
progresses, management expects to adopt a more defensive investment strategy.
Europe will remain the favored area for investment because corporate profit
momentum is strongest there.
2
<PAGE>
EMERGING MARKETS FUND
- ---------------------
The Emerging Markets Fund has lost 7.2% (not including the effect of the Fund's
maximum 4% sales charge) from inception on December 24, 1997 to May 31, 1998.
Emerging Markets Fund invests all of its investable assets in Schroder EM Core
Portfolio, a diversified portfolio of Schroder Capital Funds, a registered
open-end management investment company. The Asian crisis did bring some economic
slowdown to Latin America, but the adviser continues to believe that there is
great value in the region. Nevertheless, management is wary of increasing
positions there due to the present global volatility. Mexico and Brazil, the
region's favored markets, are the Fund's top two country weights. In Mexico,
governmental structure and policies have led to market stability. In Brazil,
companies are currently attractively valued and the government's privatization
program is on track. The winner of the country's presidential election,
scheduled for later this year, will need to tackle the fiscal deficit for the
market to perform well on a twelve-month view.
Management is likely to maintain its current strategy, with particular caution
in regard to Southeast Asia. The adviser believes that the long-term prospects
for many emerging markets remain solid and continue to seek to identify those
companies that exhibit a strong balance sheet, growing market share, and
franchise value. Such companies are best positioned to survive the recent market
volatility.
IN CONCLUSION
- -------------
As always we urge you to be aware of the long term nature of investing in the
equity markets. We are encouraged by the strong markets but we remain focused on
longer term investment objectives rather than short term market shifts. We
believe the Funds described in this report in conjunction with Forum Funds'
other equity, fixed income, and money market funds can provide you with an asset
mix to meet your needs. We encourage you to work with your financial
professional to determine your objectives and the funds that may be used to
reach them.
Thank you for your continuing confidence in Forum Funds. We will keep working to
provide shareholders with superior investment service. If you have questions,
please discuss them with your local investment professional or call us at
207-879-0001.
Sincerely,
/s/ John Y. Keffer
John Y. Keffer
President
3
<PAGE>
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FORUM FUNDS PERFORMANCE
- --------------------------------------------------------------------------------
These charts reflect a comparison in the change in value of a $10,000
investment, including applicable sales charges, in Investors Equity Fund, Equity
Index Fund, Small Company Opportunities Fund, International Equity Fund and
Emerging Markets Fund, to each Fund's related securities index, since the Funds'
inception. The Standard and Poor's 500 Composite Index ("S&P 500") is a market
weighted index composed of 500 large capitalization companies. The Russell 2000
is a capitalization weighted index of 2000 small capitalization U.S. companies.
The Morgan Stanley Capital International Europe, Australasia, Far East Index
("MSCI EAFE") is a market weighted index composed of companies representative of
the market structure of 20 Developed Market countries in Europe, Australia Asia
and the Far East. Total Returns of the funds and indices reflect the
reinvestment of all dividends and distributions. Returns for less than one year
have not been annualized. Investment return and principal value of an investment
in the Funds will fluctuate so that an investor's shares, when redeemed, may be
worth more or less than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE
NOR A GUARANTEE OF FUTURE RESULTS.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT INCLUDING SALES CHARGE
INVESTORS EQUITY FUND VS. S&P 500 INDEX
CUMULATIVE TOTAL RETURN AS OF 5/31/98
Fund Since Inception on 12/17/97: 9.73%
Index Since Inception on 11/30/97: 15.05%
VALUE ON 5/31/98
Investors Equity Fund: $10,973
S&P 500 Index: $11,505
[EDGAR REPRESENTATION OF GRAPH CHART]
DATE FUND INDEX
11/30/97 10000
12/17/97 9,600.00
12/31/97 9,724.80 10171.61
01/31/98 9,926.40 10283.99612
02/28/98 10,588.80 11025.29741
03/31/98 11,059.20 11589.43983
04/30/98 11,251.20 11705.99483
05/31/98 10,972.80 11505.00289
The Funds total return includes operating expenses and a 4.00% sales charge that
reduce returns, while the total return of the index does not.
EQUITY INDEX FUND VS. S&P 500 INDEX
CUMULATIVE TOTAL RETURN AS OF 5/31/98
Fund Since Inception on 12/17/97: 12.22%
Index Since Inception on 11/30/97: 15.05%
VALUE ON 5/31/98
Investors Equity Fund: $11,222
S&P 500 Index: $11,505
[EDGAR REPRESENTATION OF GRAPH CHART]
DATE FUND INDEX
11/30/97 10000
12/24/97 9,600.00
12/31/97 9,926.40 10171.61
01/31/98 10,041.60 10283.99612
02/28/98 10,761.60 11025.29741
03/31/98 11,308.80 11589.43983
04/30/98 11,424.00 11705.99483
05/31/98 11,222.40 11505.00289
The Fund's total return includes operating expenses and a 4.00% sales charge
that reduce returns, while the total return of the Index does not.
SMALL COMPANY OPPORTUNITIES FUND VS.
RUSSELL 2000 INDEX
CUMULATIVE TOTAL RETURN AS OF 5/31/98
Fund Since Inception on 3/30/98: -6.88%
Index Since Inception on 2/28/98: -.85%
VALUE ON 5/31/98
- ----------------
Small Company Opportunities Fund: $9,312
Russell 2000 Index: $9,915
[EDGAR REPRESENTATION OF GRAPH CHART]
DATE FUND INDEX
2/28/98 10000
03/30/98 10000.00
03/31/98 9600.00 10420.2
04/30/98 9715.20 10477.43816
05/31/98 9830.40 9915.323601
Investing in foreign securities involves greater risks than investing in
securities of U.S. issuers, including currency fluctuation and political
uncertainty. The Fund's total return includes operating expenses and a 4.00%
sales charge that reduce returns, hile the total return of the Index does not.
INTERNATIONAL EQUITY FUND VS.
MSCI EAFE INDEX
CUMULATIVE TOTAL RETURN AS OF 5/31/98
Fund Since Inception on 12/24/97: 15.39%
Index Since Inception on 11/30/97: 16.06%
VALUE ON 5/31/98
----------------
International Equity Fund: $11,539
MSCI EAFE Index: $11,606
[EDGAR REPRESENTATION OF GRAPH CHART]
DATE FUND INDEX
11/30/97 10000
12/24/97 9,600.00
12/31/97 9,792.00 10087.22
01/31/98 10,147.20 10548.54892
02/28/98 10,684.80 11225.40711
03/31/98 11,126.40 11571.05985
04/30/98 11,395.20 11662.64478
05/31/98 11,539.20 11606.03431
The risks involved in seeking capital appreciation from investments principally
in companies with small market capitalization are set forth in the prospectus.
The Fund's total return includes operating expenses and a 4.00% sales charge
that reduce returns, while the total return of the Index does not.
4
<PAGE>
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FORUM FUNDS PERFORMANCE
- --------------------------------------------------------------------------------
These charts reflect a comparison in the change in value of a $10,000
investment, including applicable sales charges, in Investors Equity Fund, Equity
Index Fund, Small Company Opportunities Fund, International Equity Fund and
Emerging Markets Fund, to each Fund's related securities index, since the Funds'
inception. The Standard & Poor's 500 Composite Index ("S&P 500") is a market
weighted index composed of 500 large capitalization companies. The Russell 2000
is a capitalization weighted index of 2000 small capitalization U.S. companies.
The Morgan Stanley Capital International Europe, Australasia, Far East Index
("MSCI EAFE") is a market weighted index composed of companies representative of
the market structure of 20 Developed Market countries in Europe, Australia Asia
and the Far East. Total Returns of the funds and indices reflect the
reinvestment of all dividends and distributions. Returns for less than one year
have not been annualized. Investment return and principal value of an investment
in the Funds will fluctuate so that an investor's shares, when redeemed, may be
worth more or less than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE
NOR A GUARANTEE OF FUTURE RESULTS
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT INCLUDING SALES CHARGE
EMERGING MARKETS FUND VS
MSCI EAFE INDEX
CUMULATIVE TOTAL RETURN AS OF 5/31/98
Fund Since Inception on 12/24/97: -10.91%
Index Since Inception on 11/30/97: 16.08%
VALUE ON 5/31/98
Emerging Markets Fund: $8,909
MSCI EAFE Index: $11,608
[EDGAR REPRESENTATION OF GRAPH CHART]
DATE FUND INDEX
11/30/97 10000
12/24/97 9,600.00
12/31/97 9,974.40 10087.22
01/31/98 9,225.60 10548.55
02/28/98 9,984.00 11225.41
03/31/98 10,291.20 11571.06
04/30/98 10,320.00 11662.64
05/31/98 8,908.80 11606.03
Investing in foreign securities involves greater risks than investing in
securities of U.S. issuers, including currency fluctuation and political
uncertainty. The Fund's total return includes operating expenses and a 4.00%
sales charge that reduce returns, while the total return of the Index does not.
5
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
SHARES SECURITY DESCRIPTION VALUE
- -------------------------- ---------------------------------------------- --------------
- -----------------------------------------------------------------------------------------------------
INVESTORS EQUITY FUND
- -----------------------------------------------------------------------------------------------------
COMMON STOCK (98.6%)
APPAREL & ACCESSORY STORES (3.4%)
18,700 Gap, Inc. $ 1,009,800
--------------
BUILDING MATERIALS (1.7%)
6,600 Home Depot, Inc. 518,513
--------------
BUSINESS SERVICES (9.3%)
14,400 Automatic Data Processing, Inc. 916,200
13,050 Interpublic Group of Cos., Inc. 774,029
13,100 Microsoft Corp. 1,111,044
--------------
2,801,273
--------------
CHEMICALS & ALLIED PRODUCTS (9.3%)
12,300 E.I. du Pont de Nemours & Co. 947,100
8,025 Gillette Co. 939,929
10,800 The Procter & Gamble Co. 906,525
--------------
2,793,554
--------------
COMMUNICATIONS (4.0%)
14,500 Ameritech Corp. 615,344
14,800 SBC Communications, Inc. 575,350
--------------
1,190,694
--------------
DOMESTIC DEPOSITORY INSTITUTIONS (7.0%)
28,000 MBNA Corp. 887,251
2,900 NationsBank Corp. 219,675
25,750 Norwest Corp. 1,001,031
--------------
2,107,957
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT (5.2%)
8,550 General Electric Co. 712,856
12,025 Intel Corp. 859,036
--------------
1,571,892
--------------
FABRICATED METAL PRODUCTS (3.5%)
5,000 Danaher Corp. 361,563
10,650 Illinois Tool Works, Inc. 702,900
--------------
1,064,463
--------------
FEDERAL AGENCIES & INSTRUMENTALITIES (3.0%)
14,925 FNMA 893,634
--------------
FOOD & KINDRED PRODUCTS (2.8%)
10,850 The Coca-Cola Co. 850,369
--------------
FURNITURE & FIXTURES (3.1%)
18,500 Leggett & Platt 929,625
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.4%)
11,700 Cisco Systems, Inc. 884,813
12,300 Hewlett-Packard Co. 764,138
7,000 Solectron Corp. 289,625
--------------
1,938,576
--------------
</TABLE>
See Notes to Financial Statements. 6 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
SHARES SECURITY DESCRIPTION VALUE
- -------------------------- ---------------------------------------------- --------------
INSURANCE CARRIERS (5.7%)
7,975 American International Group, Inc. 987,405
10,000 MBIA, Inc. 745,625
--------------
1,733,030
--------------
MEASURING, ANALYZING, AND CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL AND OPTICAL GOODS (3.6%)
19,350 Medtronic, Inc. 1,076,344
--------------
MOTION PICTURES (2.1%)
5,700 The Walt Disney Co. 644,813
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (6.2%)
14,700 Exxon Corp. 1,036,350
10,600 Mobil Corp. 826,800
--------------
1,863,150
--------------
PHARMACEUTICAL PREPARATIONS (12.2%)
11,100 Abbott Laboratories 823,481
16,000 American Home Products Corp. 773,000
7,050 Merck & Co., Inc. 825,291
11,400 Pfizer, Inc. 1,194,853
600 Schering-Plough Corp. 50,213
--------------
3,666,838
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICE (4.1%)
19,400 Franklin Resources, Inc. 948,175
3,050 Merrill Lynch & Co., Inc 272,975
--------------
1,221,150
--------------
TEXTILE MILL PRODUCTS (2.9%)
14,700 Sara Lee Corp. 865,463
--------------
WATER TRANSPORTATION (2.7%)
11,850 Carnival Corp. 802,838
--------------
WHOLESALE TRADE (0.4%)
400 Johnson & Johnson 27,625
4,000 Sysco Corp. 93,251
--------------
120,876
--------------
TOTAL COMMON STOCK (COST $14,773,654) 29,664,852
--------------
SHORT-TERM INVESTMENTS (1.4%)
411,566 Boston 1784 Institutional US Treasury Money Market Fund 411,566
133 Dreyfus Government Cash Management Fund 133
--------------
TOTAL SHORT-TERM INVESTMENTS (COST $411,699) 411,699
--------------
TOTAL INVESTMENTS (100.0%) (COST $15,185,353) $ 30,076,551
==============
</TABLE>
See Notes to Financial Statements. 7 FORUM FUNDS(R)
<PAGE>
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SCHEDULES OF INVESTMENTS (CONCLUDED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
SHARES SECURITY DESCRIPTION VALUE
- -------------------------- ---------------------------------------------- --------------
- -----------------------------------------------------------------------------------------------------
EQUITY INDEX FUND
- -----------------------------------------------------------------------------------------------------
N/A Index Portfolio of Core Trust (Delaware) $ 5,038,846
--------------
TOTAL INVESTMENTS (100.0%) (COST $4,476,971) $ 5,038,846
==============
- -----------------------------------------------------------------------------------------------------
SMALL COMPANY OPPORTUNITIES FUND
- -----------------------------------------------------------------------------------------------------
N/A Small Company Value Portfolio of Core Trust (Delaware) $ 1,956
N/A Small Cap Index Portfolio of Core Trust (Delaware) 966
N/A Small Cap Value Portfolio of Core Trust (Delaware) 1,937
--------------
TOTAL INVESTMENTS (100.0%) (COST $5,009) $ 4,859
==============
- -----------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- -----------------------------------------------------------------------------------------------------
N/A International Portfolio of Core Trust (Delaware) $ 8,885
--------------
TOTAL INVESTMENTS (100.0%) (COST $7,566) $ 8,885
==============
- -----------------------------------------------------------------------------------------------------
EMERGING MARKETS FUND
- -----------------------------------------------------------------------------------------------------
N/A Schroder EM Core Portfolio $ 7,091
--------------
TOTAL INVESTMENTS (100.0%) (COST $7,698) $ 7,091
==============
</TABLE>
See Notes to Financial Statements. 8 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C>
SMALL
INVESTORS EQUITY COMPANY INTERNATIONAL
EQUITY INDEX OPPORTUNITIES EQUITY
FUND FUND FUND FUND
------------------- ----------------------------------- -------------------
ASSETS:
Investments (Notes 1 and 2):
Investments at cost $ 15,185,353 $ 4,476,971 $ 5,009 7,566
Net unrealized appreciation (depreciation) 14,891,198 561,875 (150) 1,319
------------------- ----------------------------------- -------------------
Total investments at value 30,076,551 5,038,846 4,859 8,885
Interest, dividends and other receivables 41,088 - - -
Receivable for securities sold - - - -
Receivable for fund shares sold - - - -
Organization costs, net of amortization (Note 2) 3,093 2,407 5,079 5,675
------------------- ----------------------------------- -------------------
.
Total Assets 30,120,732 5,041,253 9,938 14,560
------------------- ----------------------------------- -------------------
LIABILITIES:
Dividends payable - - - -
Payable for securities purchased - - - -
Payable to advisor (Note 3) 5,213 - - -
Payable for fund shares redeemed - - - -
Accrued expenses and other liabilities 25,176 3,647 5,086 5,699
------------------- ----------------------------------- -------------------
Total Liabilities 30,389 3,647 5,086 5,699
------------------- ----------------------------------- -------------------
NET ASSETS $ 30,090,343 $ 5,037,606 $ 4,852 $ 8,861
=================== =================================== ===================
COMPONENTS OF NET ASSETS:
Paid in capital $ 29,165,012 $ 4,447,400 $ 5,000 $ 7,500
Undistributed (distribution in excess of )
net investment income 5,853 28,354 (8) 33
Unrealized appreciation (depreciation) on investments 194,080 561,875 (150) 1,319
Accumulated net realized gain (loss) 725,398 (23) 10 9
------------------- ----------------------------------- -------------------
NET ASSETS $ 30,090,343 $ 5,037,606 $ 4,852 $ 8,861
=================== =================================== ===================
SHARES OF BENEFICIAL INTEREST 2,631,444 430,967 500 737
=================== =================================== ===================
NET ASSET VALUE, AND
REDEMPTION PRICE PER SHARE $ 11.43 $ 11.69 $ 9.70 $ 12.02
=================== =================================== ==================
OFFERING PRICE PER SHARE
(NAV / (1-MAXIMUM SALES LOAD) $ 11.91 $ 12.18 $ 10.10 $ 12.52
=================== =================================== ==================
MAXIMUM SALES LOAD 4.00% 4.00% 4.00% 4.00%
=================== =================================== ==================
</TABLE>
See Notes to Financial Statements. 9 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (concluded)
MAY 31, 1998
- --------------------------------------------------------------------------------
EMERGING
MARKETS
FUND
------------------
ASSETS:
Investments (Notes 1 and 2):
Investments at cost $ 7,698
Net unrealized appreciation (depreciation) (607)
------------------
Total investments at value 7,091
Interest, dividends and other receivables -
Receivable for securities sold -
Receivable for fund shares sold -
Organization costs, net of amortization (Note 2) 2,324
------------------
Total Assets 9,415
------------------
LIABILITIES:
Dividends payable -
Payable for securities purchased -
Payable to advisor (Note 3) -
Payable to administrator (Note 3) -
Payable for fund shares redeemed -
Accrued expenses and other liabilities 2,332
------------------
Total Liabilities 2,332
------------------
NET ASSETS $ 7,083
==================
COMPONENTS OF NET ASSETS:
Paid in capital $ 7,500
Undistributed (distribution in excess of )
net investment income 33
Unrealized appreciation (depreciation) on investments (607)
Accumulated net realized gain (loss) 157
------------------
NET ASSETS $ 7,083
==================
SHARES OF BENEFICIAL INTEREST 763
==================
NET ASSET VALUE, AND
REDEMPTION PRICE PER SHARE $ 9.28
==================
OFFERING PRICE PER SHARE
(NAV / (1-MAXIMUM SALES LOAD) $ 9.67
==================
MAXIMUM SALES LOAD 4.00%
==================
See Notes to Financial Statements. 10 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C>
SMALL
INVESTORS EQUITY COMPANY INTERNATIONAL
EQUITY INDEX OPPORTUNITIES EQUITY
FUND (a) FUND (a) FUND (a) FUND (a)
------------------------------------------------------------------------
INVESTMENT INCOME:
Interest income $ 12,448 $ 3,005 $ 2 $ 17
Dividend income 68,964 29,516 6 60
Securities lending income - 768 - 2
Net expenses allocated from Core Trust (Delaware) and/or
Schroder Capital Funds - (3,695) (9) (22)
------------------------------------------------------------------------
Total investment income 81,412 29,594 (1) 57
------------------------------------------------------------------------
EXPENSES:
Investment advisory (Note 3) 44,695 - - -
Management (Note 3) 13,752 4,014 2 7
Transfer agency (Note 3) 22,715 10,295 2,037 5,282
Custody 2,861 - - -
Accounting (Note 3) 16,452 5,258 4,032 5,258
Audit 14,350 8,650 3,550 3,550
Legal 1,880 654 1,349 271
Trustees 1,281 753 300 600
Reporting 6,572 2,472 - 4
Compliance 14,801 7,111 2,602 5,602
Amortization of organization costs (Note 2) 309 231 178 545
Miscellaneous 964 50 3 2
------------------------------------------------------------------------
Total expenses 140,632 39,488 14,053 21,121
Expenses reimbursed and fees waived (Note 4) (65,073) (38,248) (14,046) (21,097)
------------------------------------------------------------------------
Net expenses 75,559 1,240 7 24
------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 5,853 28,354 (8) 33
------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM
INVESTMENTS:
Net Realized Gain (Loss) from:
Securities 725,398 - - -
Investments of Core Trust (Delaware and/or Schroder
Capital Funds - 1,118 10 2
Foreign currency transactions from investments in Core
Trust (Delaware) and/or Schroder Capital Funds - - - 7
Futures transactions from investments in Core
Trust (Delaware) - (1,141) - -
------------------------------------------------------------------------
Net Realized Gain (Loss) from Investments 725,398 (23) 10 9
------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) from:
Securities 194,080 - - -
Investments of Core Trust (Delaware) and/or Schroder
Capital Funds - 549,836 (150) 1,314
Foreign currency transactions from investments in Core
Trust (Delaware) and/or Schroder Capital Funds - - - 5
Futures transactions from investments in Core
Trust (Delaware) - 12,039 - -
------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) from
Investments 194,080 561,875 (150) 1,319
------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS 919,478 561,852 (140) 1,328
------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 925,331 $ 590,206 $ (148) $ 1,361
========================================================================
(a) See Notes 1 to financial statements for commencement of operations
(b) Net of unrecoverable foreign withholding taxes of $ 8
</TABLE>
See Notes to Financial Statements. 11 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (CONCLUDED)
FOR THE PERIOD ENDED MAY 31, 1998
- --------------------------------------------------------------------------------
EMERGING
MARKETS
FUND (a)
----------------
INVESTMENT INCOME:
Interest income $ 16
Dividend income 70
Securities lending income -
Net expenses allocated from Core Trust (Delaware) and/or
Schroder Capital Funds (45)
----------------
Total investment income 41
----------------
EXPENSES:
Investment advisory (Note 3) -
Management (Note 3) 6
Transfer agency (Note 3) 5,281
Custody -
Accounting (Note 3) 5,258
Audit 3,550
Legal 1
Trustees 300
Reporting 4
Compliance 2,602
Amortization of organization costs (Note 2) 223
Miscellaneous 6
----------------
Total expenses 17,231
Expenses reimbursed and fees waived (Note 4) (17,223)
----------------
Net expenses 8
----------------
NET INVESTMENT INCOME (LOSS) 33
----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net Realized Gain (Loss) from:
Securities -
Investments of Core Trust (Delaware and/or Schroder
Capital Funds 137
Foreign currency transactions from investments in Core
Trust (Delaware) and/or Schroder Capital Funds 20
Futures transactions from investments in Core
Trust (Delaware) -
----------------
Net Realized Gain (Loss) from Investments 157
----------------
Net change in unrealized appreciation (depreciation) from:
Securities -
Investments of Core Trust (Delaware) and/or Schroder
Capital Funds (587)
Foreign currency transactions from investments in Core
Trust (Delaware) and/or Schroder Capital Funds (20)
Futures transactions from investments in Core
Trust (Delaware) -
----------------
Net change in unrealized appreciation (depreciation) from
Investments (607)
----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS (450)
----------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS (417)
================
(a) See Note 1 to financial statements for commencement of operations.
(b) Net of unrecoverable foreign withholding taxes of $ 6
See Notes to Financial Statements. 12 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
SMALL
INVESTORS EQUITY COMPANY
EQUITY INDEX OPPORTUNITIES
FUND (a) FUND (a) FUND (a)
-------------------------- ---------------------------------------------
Amount Shares Amount Shares Amount Shares
------ ------ ------ ------ ------ ------
NET ASSETS - MAY 31, 1997 - - -
- ------------------------- -------------- ------------- ---------
OPERATIONS:
Net investment income (loss) 5,853 28,354 (8)
Net realized gain (loss) on investments sold 725,398 (23) 10
Net change in unrealized appreciation (depreciation)
on investments 194,080 561,875 (150)
-------------- ------------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 925,331 590,206 (148)
-------------- ------------- ---------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - - -
Net realized gain on investments - - -
-------------- ------------- ---------
TOTAL DISTRIBUTION TO SHAREHOLDERS - - -
-------------- ------------- ---------
CAPITAL SHARE TRANSACTIONS:
Sale of shares 1,706,570 165,127 4,452,945 431,467 5,000 500
Transactions due to acquisition (Note 6) 29,163,312 2,613,200 - - - -
Reinvestment of distributions - - - - - -
Redemption of shares (1,704,870) (146,883) (5,545) (500) - -
-------------- ----------- ------------- -------------------- --------
NET INCREASE (DECREASE) IN CAPITAL
TRANSACTIONS 29,165,012 2,631,444 4,447,400 430,967 5,000 500
-------------- =========== ------------- ========= --------- ========
NET INCREASE (DECREASE) IN NET ASSETS 30,090,343 5,037,606 4,852
-------------- ------------- ---------
NET ASSETS - MAY 31, 1998 (Including line(A)) $ 30,090,343 $ 5,037,606 $ 4,852
- --------------------------------------------- ============== ============= =========
(A) Accumulated undistributed net investment
income, May 31, 1998. $ 5,853 $ 28,354 $ (8)
============== ============= =========
(a) See Note 1 to financial statements for commencement of operations.
</TABLE>
See Notes to Financial Statements. 13 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
FOR THE PERIOD ENDED MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C>
INTERNATIONAL EMERGING
EQUITY MARKETS
FUND (a) FUND (a)
------------------- -----------------------
Amount Shares Amount Shares
------ ------ ------ ------
NET ASSETS - MAY 31, 1997 - -
- ------------------------- --------- ----------
OPERATIONS:
Net investment income (loss) 33 33
Net realized gain (loss) on investments sold 9 157
Net change in unrealized appreciation (depreciation) on
investments 1,319 (607)
--------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 1,361 (417)
--------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - -
Net realized gain on investments - -
--------- ----------
TOTAL DISTRIBUTION TO SHAREHOLDERS - -
--------- ----------
CAPITAL SHARE TRANSACTIONS:
Sale of shares 7,500 737 7,500 763
Transactions due to acquisition (Note 6) - - - -
Reinvestment of distributions - - - -
Redemption of shares - - - -
--------- -------- ---------- -----------
NET INCREASE (DECREASE) IN CAPITAL TRANSACTIONS 7,500 737 7,500 763
--------- ======== ---------- ===========
NET INCREASE (DECREASE) IN NET ASSETS 8,861 7,083
--------- ----------
NET ASSETS - MAY 31, 1998 (Including line (A)) $ 8,861 $ 7,083
- ---------------------------------------------- ========= ==========
(A) Accumulated undistributed
net investment income, May 31, 1998. $ 33 $ 33
========= ==========
</TABLE>
(a) See Note 1 to financial statements for commencement of operations.
See Notes to Financial Statements. 14 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS
FOR A SHARE OUTSTANDING
FOR THE PERIOD ENDED MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
SMALL
INVESTORS EQUITY COMPANY
EQUITY INDEX OPPORTUNITIES
FUND(a) FUND(a) FUND(a)
------------------ ----------------- --------------------
Period Ended Period Ended Period Ended
May 31, 1998 May 31, 1998 May 31, 1998
------------------ ----------------- --------------------
Net Asset Value Per Share, Beginning of Period $10.00 $10.00 $10.00
------------------ ----------------- --------------------
Investment Operations
Net Investment Income (Loss) 0.00 0.07 (0.01)
Net Realized and Unrealized Gain (Loss) on Investments 1.43 1.62 (0.29)
------------------ ----------------- --------------------
Total from Investment Operations 1.43 1.69 (0.30)
------------------ ----------------- --------------------
Net Asset Value Per Share, End of Period $11.43 $11.69 $9.70
================== ================= ====================
Total Return (b) 14.30%(c) 16.90%(c) (3.00%)
Ratio/Supplementary Data
Net Assets at End of Period (000's omitted) $30,090 $5,038 $5
Ratios to Average Net Assets:
Expenses including reimbursement/waiver (d) 1.10% 0.25% 1.87%
Expenses excluding reimbursement/waiver (d) 2.09% 2.25% 1,836.34%
Net investment income (loss) including reimbursement/waiver (d) 0.09% 1.41% (0.93%)
Average commission rate (e) $0.0549 $0.0.339(f) N/A(g)
Portfolio turnover rate 11.35% 6.68%(f) N/A(h)
</TABLE>
(a) See Note 1 to financial statements for commencement of operations
(b) Total return calculations do not include sales charge
(c) Not annualized
(d) Annualized
(e) Amount represents the average commission per share paid to brokers on the
purchase or sale of equity securities
(f) Information presented is that of the Portfolio
(g) The average commission rates for the Small Company Value Portfolio, Small
Cap Index Portfolio and the Small Cap Value Portfolio were $0.0522, $0.0199
and $0.0556 respectively
(h) The turnover rates for the Small Company Value Portfolio, Small Cap Index
Portfolio and the Small Cap Value Portfolio were 99.08%, 2.25% and 79.43%
respectively
15 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (concluded)
SELECTED PER SHARE DATA AND RATIOS
FOR A SHARE OUTSTANDING
FOR THE PERIOD ENDED MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INTERNATIONAL EMERGING
EQUITY MARKETS
FUND(a) FUND(a)
--------------------- --------------------
Period Ended Period Ended
May 31, 1998 May 31, 1998
--------------------- --------------------
Net Asset Value Per Share, Beginning of Period $10.00 $10.00
--------------------- --------------------
Investment Operations
Net Investment Income (Loss) 0.04 0.04
Net Realized and Unrealized Gain (Loss) on Investments 1.98 (0.76)
--------------------- --------------------
Total from Investment Operations 2.02 (0.72)
--------------------- --------------------
Net Asset Value Per Share, End of Period $12.02 $9.28
===================== ====================
Total Return (b) 20.20%(c) (7.20%(c))
Ratio/Supplementary Data
Net Assets at End of Period (000's omitted) $9 $7
Ratios to Average Net Assets:
Expenses including reimbursement/waiver (d) 1.36% 1.69%
Expenses excluding reimbursement/waiver (d) 675.46% 602.84%
Net investment income (loss) including reimbursement/waiver (d) 0.98% 1.05%
Average commission rate(e) $0.0194(f) $0.0039(f)
Portfolio turnover rate 36.96%(f) 20.09%(f)
</TABLE>
(a) See Note 1 to financial statements for commencement of operations
(b) Total return calculations do not include sales charge
(c) Not annualized
(d) Annualized
(e) Amount represents the average commission per share paid to brokers on the
purchase or sale of equity securities
(f) Information presented is that of the Portfolio
16 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
MAY, 31 1998
- --------------------------------------------------------------------------------
NOTE 1. SUMMARY OF ORGANIZATION
Forum Funds (the "Trust") is an open-end, management investment company
organized as a Delaware business trust. The Trust currently has twenty-three
active investment portfolios. These financial statements relate to Investors
Equity Fund, Equity Index Fund, Small Company Opportunities Fund, International
Equity Fund and Emerging Markets Fund (each a "Fund", and collectively, "the
Funds"), each of which is diversified. The Funds are authorized under the
Trust's Trust Instrument to issue an unlimited number of shares of beneficial
interest without par value. Commencement of operations for each Fund was as
follows:
Investors Equity Fund December 17, 1997
Equity Index Fund December 24, 1997
Small Company Opportunities Fund March 31, 1998
International Equity Fund December 24, 1997
Emerging Markets Fund December 24, 1997
MASTER FEEDER ARRANGEMENT - Equity Index Fund and International Equity Fund each
seek to achieve its investment objective by investing all of its investable
assets in a separate portfolio of Core Trust (Delaware) ("Core Trust"), a
registered, open-end, management investment company, that has the same
investment objective and substantially similar investment policies as the Fund.
Emerging Markets Fund seeks to achieve its investment objective by investing all
of its investable assets in Schroder EM Core Portfolio, a separate diversified
portfolio of Schroder Capital Funds ("Schroder Core"), a registered, open-end,
management investment company. Small Company Opportunities Fund seeks to achieve
its investment objective by investing all or part of its assets in two or more
portfolios of Core Trust. Accordingly, each Portfolio directly acquires
portfolio securities and a Fund investing in the Portfolio acquires an indirect
interest in those securities. The Funds account for their investment in a
Portfolio as partnership investments. This is commonly referred to as a
master-feeder arrangement.
The following percentages represent each Fund's investments in their respective
Portfolios as of May 31, 1998:
<TABLE>
<S> <C> <C> <C> <C>
SMALL COMPANY
EQUITY INDEX OPPORTUNITIES INTERNATIONAL EMERGING
FUND FUND EQUITY FUND MARKETS FUND
---- ---- ----------- ------------
Index Portfolio 0.364% - - -
Small Company Value Portfolio - 0.001% - -
Small Cap Index Portfolio - 0.001% - -
Small Cap Value Portfolio - 0.002% - -
International Portfolio - - 0.001% -
Schroder EM Core Portfolio - - - 0.027%
</TABLE>
The financial statements of the Portfolios, including the schedules of
investments, are accompanying this report, and should be read in conjunction
with the Funds' financial statements.
17 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
MAY, 31 1998 (continued)
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements are prepared in accordance with generally accepted
accounting principles which require 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 increase and decrease in net assets from operations
during the fiscal period. Actual results could differ from those estimates.
The following represent significant accounting policies of the Funds:
SECURITY VALUATION - The Trust determines the net asset value per share of each
Fund as of the close of the regular trading day on the New York Stock Exchange,
on each Fund business day. Securities, other than short-term, held by Investors
Equity Fund for which market quotations are readily available are valued using
the last reported sales price provided by independent pricing services. If no
sales are reported, the mean of the last bid and asked price is used. In the
absence of readily available market quotations, securities are valued at fair
value as determined by the Board of Trustees. Securities with a maturity of 60
days or less held by Investors Equity Fund are valued at amortized cost. Equity
Index Fund, Small Company Opportunities Fund, International Equity Fund, and
Emerging Markets Fund record their investments in the Portfolios at value. The
valuation of securities held in the Portfolios is discussed in the Notes to the
Financial Statements of Core Trust and Schroder Core, which are accompanying
this report.
REPURCHASE AGREEMENTS - Investors Equity Fund may invest in repurchase
agreements. The Fund, through its' custodian, receives delivery of the
underlying securities, whose market value must always equal or exceed the
repurchase price. The investment adviser is responsible for determining the
value of the underlying securities at all times. In the event of default, the
Fund may have difficulties with the disposition of such securities.
INTEREST AND DIVIDEND INCOME - For Investors Equity Fund, interest income is
accrued as earned. Dividends on securities held by the Fund are recorded on the
ex-dividend date. Equity Index Fund, Small Company Opportunities Fund,
International Equity Fund, and Emerging Markets Fund record daily their pro rata
share of the Portfolio's net investment income.
DISTRIBUTIONS TO SHAREHOLDERS - Distributions of net investment income to
shareholders are declared and paid annually by all Funds. Net capital gains, if
any, are distributed to shareholders at least annually. Distributions are based
on amounts calculated in accordance with applicable income tax regulations.
ORGANIZATION COSTS - The costs incurred by the Funds in connection with their
organization and registration of shares have been capitalized and are being
amortized using the straight-line method over a five-year period beginning with
the commencement of the Funds' operations.
FEDERAL TAXES - Each Fund intends to qualify, and continue to qualify, each year
as a regulated investment company and distribute all of its taxable income. In
addition, by distributing in each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, each Fund
will not be subject to a federal excise tax.
Therefore, no federal income or excise tax provision is required.
EXPENSE ALLOCATION - The Trust accounts separately for the assets and
liabilities and operations of each Fund. Expenses that are directly attributable
to more than one Fund are allocated among the respective Funds. In addition,
Equity Index Fund, Small Company Opportunities Fund, International Equity Fund,
and Emerging Markets Fund record daily their pro rata share of the Portfolio's
expenses.
18 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
MAY, 31 1998 (continued)
- --------------------------------------------------------------------------------
REALIZED GAIN AND LOSS - For Investor's Equity Fund, security transactions are
recorded on a trade date basis. Realized gain and loss on investments sold are
recorded on the basis of identified cost for both financial statement and
federal income tax purposes. Equity Index Fund, Small Company Opportunities
Fund, International Equity Fund, and Emerging Markets Fund record daily their
pro rata share of the Portfolio's realized and unrealized gain and loss.
NOTE 3. ADVISORY FEES, SERVICING FEES AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISERS - The investment adviser for Investors Equity Fund is H.M.
Payson & Co. ("Payson"). Payson receives an advisory fee of 0.65% of the Fund's
average daily net assets. Payson has entered into an investment sub-advisory
agreement with Peoples Heritage Bank ("Peoples") to exercise certain investment
discretion over the assets (or a portion of assets) of the Fund. Payson pays a
fee to Peoples at an annual rate of 0.25% of the Fund's average daily net assets
for its sub-advisory services. The investment adviser for Index Portfolio, the
Core Trust Portfolio in which Equity Index Fund invests, is Norwest Investment
Management, Inc. ("Norwest"), an indirect subsidiary of Norwest Corporation.
Norwest receives an advisory fee of 0.15% of the Portfolio's average daily net
assets. The investment advisory fees paid to Norwest are borne indirectly by
Equity Index Fund. The investment advisor for Small Company Opportunities Fund
is Forum Investment Advisors, LLC ("FIA"). FIA receives an advisory fee of 0.25%
of the Fund's average daily net assets. The investment adviser for International
Portfolio and Schroder EM Core Portfolio, the Core Trust Portfolios in which
International Equity Fund and Emerging Markets Fund, respectively, invest is
Schroder Capital Management International Inc. ("SCMI"). SCMI receives an
advisory fee of 0.45% and 1.00% of the average daily net assets of International
Portfolio and Schroder EM Core Portfolio, respectively. The investment advisory
fees paid to SCMI are borne indirectly by International Equity Fund and Emerging
Markets Fund, respectively.
MANAGEMENT AND OTHER SERVICES - Forum Shareholder Services, LLC ("FSS"), an
affiliate of FIA, serves as the Funds' transfer agent and dividend disbursing
agent. For those services FSS receives an annual fee of $12,000, plus 0.25% of
the average daily net assets of each Fund, and an annual shareholder account fee
of $18 per shareholder account.
Forum Accounting Services, LLC ("FAcS") provides portfolio accounting services
to each Fund. FAcS is compensated for such services at an amount of $36,000 per
year for Investors Equity Fund, plus certain amounts based upon the number and
types of portfolio transactions within the Fund. FAcS is compensated $12,000
annually per Fund for Equity Index Fund, International Equity Fund and Emerging
Markets Fund. For Small Company Opportunities Fund, FAcS receives $24,000 per
year for its services.
The manager of the Trust, Forum Administrative Services, LLC ("FAdS"), receives
a management fee for its services to the Trust at an annual rate of 0.20% of the
average daily net assets of each Fund. Forum Financial Services, Inc.(R)
("FFSI"), a registered broker-dealer and a member of the National Association of
Securities Dealers, Inc., acts as the distributor of the Funds' shares.
19 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
MAY, 31 1998 (concluded)
- --------------------------------------------------------------------------------
NOTE 4. WAIVER OF FEES AND REIMBURSEMENT OF EXPENSES
FSS, FIA, FAdS and Payson have voluntarily undertaken to waive a portion of
their fees and assume certain expenses of the Funds so that total expenses of
the Funds would not exceed a certain limitation. FSS, FIA, FAdS and Payson, at
their discretion, may revise or discontinue the voluntary waivers. For the year
ended May 31, 1998, expenses reimbursed and fees waived were as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
TOTAL
EXPENSES EXPENSES REIMBURSED
REIMBURSED FEES WAIVED AND FEES WAIVED
---------- --------------------------------------------------- ---------------
FADS FSS FIA FADS PAYSON
---- --- --- ---- ------
Investors Equity Fund $ 6,618 $ 17,123 $ - $ 13,752 $ 30,943 $68,436
Equity Index Fund 31,171 4,998 - 4,014 - 40,183
Small Company Opportunities Fund 15,724 2 2 2 - 15,730
International Equity Fund 22,733 8 - 7 - 22,748
Emerging Markets Fund 18,859 8 - 6 - 18,873
</TABLE>
NOTE 5. SECURITY TRANSACTIONS
The cost of purchases and proceeds from sales of securities (including
maturities) of portfolio securities (excluding short-term investments) for
Investors Equity Fund were $15,827,497 and $1,779,241, respectively, during the
year ended May 31, 1998. For Equity Index Fund, Small Company Opportunities
Fund, International Equity Fund and Emerging Markets Fund, refer to the
individual, appropriate Core financial statements for disclosure of the
purchases and sales figures.
For federal income tax purposes, the tax basis of investment securities owned as
of May 31, 1998 were the same as for financial reporting purposes. The aggregate
gross unrealized appreciation for all securities in which there was an excess of
market value over tax cost and the aggregate gross unrealized depreciation for
all securities in which there was an excess of tax cost over market value for
Investors Equity Fund were $14,952,828 and $61,630 respectively, for a net
unrealized appreciation of $14,891,198. For Equity Index Fund, Small Company
Opportunities Fund, International Equity Fund and Emerging Markets Fund, refer
to the individual, appropriate Core financial statements for disclosure of the
unrealized appreciation and depreciation figures.
NOTE 6. ACQUISITION OF FUNDS
As of March 16, 1998, Investors Equity Fund acquired all the net assets of the
Bank of New Hampshire CTF Balanced Fund's equity segment ("acquired fund"). The
net assets, unrealized gain (loss) and shares associated with the acquired fund
immediately prior to acquisition were $29,163,311, $14,697,118 and 2,613,199.953
respectively.
The net assets of Investors Equity Fund immediately after the acquisition were
$30,683,052.
20 FORUM FUNDS(R)
<PAGE>
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
To the Board of Trustees and Shareholders,
Forum Funds:
We have audited the accompanying statements of assets and liabilities of
Investors Equity Fund, Equity Index Fund, Small Company Opportunities Fund,
International Equity Fund and Emerging Markets Fund, (the "Funds") as of May 31,
1998, the related statements of operations, the statements of changes in net
assets, including the schedules of investments of Investors Equity Fund, and the
financial highlights for the year then ended. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of May
31, 1998 by correspondence with the custodian. 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, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the aforementioned
Funds as of May 31, 1998, the results of their operations, the changes in their
net assets and their financial highlights for the stated period, in conformity
with generally accepted accounting principles.
Deloitte & Touche LLP
Boston, Massachusetts
July 21, 1998
21 FORUM FUNDS(R)
<PAGE>
ANNUAL REPORT
MAY 31, 1998
STABLE INCOME PORTFOLIO
MANAGED FIXED INCOME PORTFOLIO
POSITIVE RETURN BOND PORTFOLIO
STRATEGIC VALUE BOND PORTFOLIO
INDEX PORTFOLIO
INCOME EQUITY PORTFOLIO
DISCIPLINED GROWTH PORTFOLIO
LARGE COMPANY GROWTH PORTFOLIO
SMALL CAP INDEX PORTFOLIO
SMALL COMPANY STOCK PORTFOLIO
SMALL CAP VALUE PORTFOLIO
SMALL COMPANY VALUE PORTFOLIO
SMALL COMPANY GROWTH PORTFOLIO
INTERNATIONAL PORTFOLIO
CORE TRUST (DELAWARE)
<PAGE>
INDEPENDENT AUDITORS' REPORT MAY 31, 1998
- --------------------------------------------------------------------------------
To the Board of Trustees and Partners of Core Trust
(Delaware)
We have audited the accompanying statements of assets
and liabilities of nine portfolios of Core Trust
(Delaware), Stable Income Portfolio, Managed Fixed Income
Portfolio, Positive Return Bond Portfolio, Strategic Value
Bond Portfolio, Income Equity Portfolio, Disciplined
Growth Portfolio, Large Company Growth Portfolio, Small
Cap Index Portfolio, and Small Cap Value Portfolio
(collectively the "Portfolios"), including the schedules
of investments as of May 31, 1998, and the related
statements of operations, statements of changes in net
assets and financial highlights for the year ended May 31,
1998 for the Stable Income Portfolio, Managed Fixed Income
Portfolio, Positive Return Bond Portfolio, Income Equity
Portfolio and Large Company Growth Portfolio, for the
period from April 9, 1998 to May 31, 1998 for the Small
Cap Index Portfolio and for the period from October 1,
1997 to May 31, 1998 for the Strategic Value Bond
Portfolio, Disciplined Growth Portfolio and Small Cap
Value Portfolio. These financial statements and financial
highlights are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on
these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally
accepted auditing standards. Those standards require that
we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and
financial highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures
included confirmation of securities owned as of May 31,
1998 by correspondence with the custodian and brokers. An
audit also includes assessing the accounting principles
used and significant estimates made by management, as well
as evaluating the overall financial statement
presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial
highlights referred to above present fairly, in all
material respects, the financial position of the
Portfolios as of May 31, 1998, the results of their
operations, changes in their net assets and financial
highlights for the year or periods listed in the first
paragraph above, in conformity with generally accepted
accounting principles.
[LOGO]
Boston, Massachusetts
July 21, 1998
CORE TRUST (DELAWARE)
22
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS MAY 31, 1998
- --------------------------------------------------------------------------------
To Trustees and Investors of Core Trust (Delaware)
In our opinion, the accompanying statements of assets
and liabilities, including the schedules of investments,
and related statements of operations and of changes in net
assets and the financial highlights present fairly, in all
material respects, the financial position of five
portfolios of Core Trust (Delaware): Index Portfolio,
Small Company Stock Portfolio, Small Company Value
Portfolio, Small Company Growth Portfolio and
International Portfolio (collectively the "Portfolios"),
at May 31, 1998, the results of their operations, the
changes in their net assets and financial highlights for
each of the periods indicated therein, in conformity with
generally accepted accounting principles. These financial
statements and the financial highlights (herein referred
to as "financial statements") 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 of these financial
statements in accordance with generally accepted auditing
standards which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant
estimates made by management, and evaluating the overall
financial statement presentation. We believe that our
audits, which included confirmation of securities at May
31, 1998, by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion
expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
July 21, 1998
CORE TRUST (DELAWARE)
23
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRATEGIC
STABLE MANAGED FIXED POSITIVE VALUE
INCOME INCOME RETURN BOND BOND INDEX
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost......... $ 247,715,158 $325,904,053 $151,112,420 $ 233,017,203 $ 860,776,094
Repurchase agreements at
cost.................... 7,000,000 - 60,000,000 - -
Net unrealized appreciation
(depreciation).......... 339,437 5,258,750 11,345,742 1,829,598 523,084,425
------------- ------------- ------------- ------------- ---------------
TOTAL INVESTMENTS AT VALUE... 255,054,595 331,162,803 222,458,162 234,846,801 1,383,860,519
Collateral for securities
loaned (Notes 2 and 7)... 49,810,558 20,574,571 63,062,607 27,843,961 366,750,637
Cash......................... - - - - -
Net receivable for forward
foreign currency
contracts................ - - - - -
Receivable for investments
sold..................... - - - - -
Receivable for dividends, and
interest and other
receivables.............. 3,726,977 4,605,783 1,722,530 2,967,330 2,174,027
Organization Costs, net of
amortization (Note 2).... 8,951 8,892 8,892 - 8,821
------------- ------------- ------------- ------------- ---------------
TOTAL ASSETS.................. 308,601,081 356,352,049 287,252,191 265,658,092 1,752,794,004
------------- ------------- ------------- ------------- ---------------
LIABILITIES:
Payable for investments
purchased................ - - - 824,682 225,069
Payable for securities loaned
(Notes 2 and 7).......... 49,810,558 20,574,571 63,062,607 27,843,961 366,750,637
Payable for daily variation
margin on financial
futures contracts (Note
2)....................... - - - - 316,225
Payable to custodian (Note
3)....................... 3,464 4,100 3,158 3,270 13,193
Payable to investment adviser
(Note 3)................. 65,706 98,905 65,931 99,790 178,791
Payable to administrator
(Note 3)................. 3,755 2,058 2,626 4,056 3,747
Accrued expenses and other
liabilities.............. 8,677 9,228 8,153 5,158 26,419
------------- ------------- ------------- ------------- ---------------
TOTAL LIABILITIES............. 49,892,160 20,688,862 63,142,475 28,780,917 367,514,081
------------- ------------- ------------- ------------- ---------------
NET ASSETS.................... $ 258,708,921 $335,663,187 $224,109,716 $ 236,877,175 $ 1,385,279,923
------------- ------------- ------------- ------------- ---------------
------------- ------------- ------------- ------------- ---------------
</TABLE>
See Notes to Financial Statements
CORE TRUST (DELAWARE)
24
<PAGE>
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE SMALL SMALL SMALL SMALL SMALL
INCOME DISCIPLINED COMPANY CAP COMPANY CAP COMPANY COMPANY
EQUITY GROWTH GROWTH INDEX STOCK VALUE VALUE GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- ------------ ------------ ------------ ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note
2):
Investments at
cost.......... $1,181,107,714 $ 119,608,219 $555,644,481 $128,934,743 $209,732,751 $ 97,975,312 $132,400,943 $ 754,874,797
Repurchase
agreements at
cost.......... - - - - - - - -
Net unrealized
appreciation
(depreciation)... 798,435,839 11,172,163 526,694,218 (6,355,843) 15,925,772 5,377,263 15,120,905 141,601,029
-------------- -------------- ------------ ------------ ------------ ------------- ------------ -------------
TOTAL INVESTMENTS
AT VALUE....... 1,979,543,553 130,780,382 1,082,338,699 122,578,900 225,658,523 103,352,575 147,521,848 896,475,826
Collateral for
securities
loaned (Notes 2
and 7)......... 325,802,261 37,358,714 268,977,623 13,829,403 37,526,093 13,878,587 17,596,912 -
Cash............... - - - - - - - -
Net receivable for
forward foreign
currency
contracts...... - - - - - - - -
Receivable for
investments
sold........... - - - - 1,947,711 1,723,884 - 6,880,944
Receivable for
dividends, and
interest and
other
receivables.... 5,739,941 95,910 277,803 61,015 23,103 33,670 144,631 99,793
Organization Costs,
net of
amortization
(Note 2)....... 11,841 - 11,681 - 3,135 - 2,884 2,923
-------------- -------------- ------------ ------------ ------------ ------------- ------------ -------------
TOTAL ASSETS........ 2,311,097,596 168,235,006 1,351,605,806 136,469,318 265,158,565 118,988,716 165,266,275 903,459,486
-------------- -------------- ------------ ------------ ------------ ------------- ------------ -------------
LIABILITIES:
Payable for
investments
purchased...... 28,624,638 - - 63,009 2,554,238 743,479 - 8,637,161
Payable for
securities
loaned (Notes 2
and 7)......... 325,802,261 37,358,714 268,977,623 13,829,403 37,526,093 13,878,587 17,596,912 -
Payable for daily
variation
margin on
financial
futures
contracts (Note
2)............. - - - 29,275 - - - -
Payable to
custodian (Note
3)............. 18,011 2,089 10,603 2,025 3,276 1,782 2,346 9,272
Payable to
investment
adviser (Note
3)............. 836,844 99,859 606,379 26,669 180,220 85,953 115,298 719,778
Payable to
administrator
(Note 3)....... 4,389 3,539 4,844 5,555 4,359 2,997 5,167 7,014
Accrued expenses
and other
liabilities.... 9,320 5,586 8,236 20,937 21,676 6,069 21,107 23,141
-------------- -------------- ------------ ------------ ------------ ------------- ------------ -------------
TOTAL LIABILITIES... 355,295,463 37,469,787 269,607,685 13,976,873 40,289,862 14,718,867 17,740,830 9,396,366
-------------- -------------- ------------ ------------ ------------ ------------- ------------ -------------
NET ASSETS.......... $1,955,802,133 $ 130,765,219 $1,081,998,121 $122,492,445 $224,868,703 $ 104,269,849 $147,525,445 $ 894,063,120
-------------- -------------- ------------ ------------ ------------ ------------- ------------ -------------
-------------- -------------- ------------ ------------ ------------ ------------- ------------ -------------
<CAPTION>
INTERNATIONAL
PORTFOLIO
------------
<S> <C>
ASSETS:
Investments (Note
2):
Investments at
cost.......... $753,906,482
Repurchase
agreements at
cost.......... -
Net unrealized
appreciation
(depreciation)... 202,916,655
------------
TOTAL INVESTMENTS
AT VALUE....... 956,823,137
Collateral for
securities
loaned (Notes 2
and 7)......... 178,898,445
Cash............... 15,111,999
Net receivable for
forward foreign
currency
contracts...... 1,576,307
Receivable for
investments
sold........... 1,827,558
Receivable for
dividends, and
interest and
other
receivables.... 2,794,106
Organization Costs,
net of
amortization
(Note 2)....... 8,821
------------
TOTAL ASSETS........ 1,157,040,373
------------
LIABILITIES:
Payable for
investments
purchased...... 26,406,076
Payable for
securities
loaned (Notes 2
and 7)......... 178,898,445
Payable for daily
variation
margin on
financial
futures
contracts (Note
2)............. -
Payable to
custodian (Note
3)............. 42,049
Payable to
investment
adviser (Note
3)............. 347,373
Payable to
administrator
(Note 3)....... 121,755
Accrued expenses
and other
liabilities.... 39,089
------------
TOTAL LIABILITIES... 205,854,787
------------
NET ASSETS.......... $951,185,586
------------
------------
</TABLE>
CORE TRUST (DELAWARE)
25
<PAGE>
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MANAGED
STABLE FIXED POSITIVE STRATEGIC
INCOME INCOME RETURN BOND VALUE BOND INDEX
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ----------- -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend income.............. $ - $ - $ - $ - $ 17,573,083
Interest income.............. 14,372,161 19,333,965 12,690,152 7,956,239 2,373,273
Securities lending income
(Note 2)................. 32,479 18,239 88,818 28,889 379,207
------------ ------------ ------------ ----------- -------------
TOTAL INVESTMENT INCOME....... 14,404,640 19,352,204 12,778,970 7,985,128 20,325,563
------------ ------------ ------------ ----------- -------------
EXPENSES:
Advisory (Note 3)............ 682,043 975,529 727,322 601,240 1,709,358
Administration (Note 3)...... 131,004 155,632 120,200 60,122 652,010
Custody (Note 3)............. 37,735 42,809 35,714 20,709 128,957
Accounting (Note 3).......... 94,000 88,000 60,500 49,500 142,000
Legal........................ 1,912 2,220 1,793 1,254 17,521
Audit........................ 15,968 15,968 15,968 14,500 34,023
Trustees..................... 1,594 1,647 1,626 725 3,110
Amortization of organization
costs (Note 2)........... 2,234 2,221 2,221 - 6,072
Miscellaneous................ 8,541 8,392 2,201 2,778 67,941
------------ ------------ ------------ ----------- -------------
TOTAL EXPENSES................ 975,031 1,292,418 967,545 750,828 2,760,992
FEES WAIVED (Note 4)........ (127,246) (153,576) (117,575) (56,068) (648,264)
------------ ------------ ------------ ----------- -------------
NET EXPENSES.................. 847,785 1,138,842 849,970 694,760 2,112,728
------------ ------------ ------------ ----------- -------------
NET INVESTMENT INCOME
(LOSS).................... 13,556,855 18,213,362 11,929,000 7,290,368 18,212,835
------------ ------------ ------------ ----------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS:
Net Realized Gain (Loss) from
Securities................. 423,040 2,891,576 6,562,062 67,326 30,466,020
Foreign currency
transactions........... - - - - -
Financial futures
transactions........... - - - - 10,111,823
------------ ------------ ------------ ----------- -------------
Net Realized Gain (Loss) from
investments.............. 423,040 2,891,576 6,562,062 67,326 40,577,843
Net Change in Unrealized
Appreciation
(Depreciation) from
Securities................. 333,836 5,029,200 13,771,972 1,829,598 232,903,674
Foreign currency
transactions........... - - - - -
Financial futures
transactions........... - - - - (587,949)
------------ ------------ ------------ ----------- -------------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments.............. 333,836 5,029,200 13,771,972 1,829,598 232,315,725
------------ ------------ ------------ ----------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS............... 756,876 7,920,776 20,334,034 1,896,924 272,893,568
------------ ------------ ------------ ----------- -------------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $ 14,313,731 $26,134,138 $32,263,034 $9,187,292 $ 291,106,403
------------ ------------ ------------ ----------- -------------
------------ ------------ ------------ ----------- -------------
(a) Beginning of Period....... Jun 1, 1997 Jun 1, 1997 Jun 1, 1997 Oct 1, 1997 Jun 1, 1997
(b) Net of unrecoverable
foreign withholding taxes
of $1,559,177
</TABLE>
See accompanying Notes to Financial Statements
CORE TRUST (DELAWARE)
26
<PAGE>
FOR THE PERIOD ENDED MAY 31, 1998 (A)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INCOME DISCIPLINED LARGE COMPANY SMALL CAP SMALL COMPANY SMALL CAP
EQUITY GROWTH GROWTH INDEX STOCK VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- ------------- -------------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend income.............. $ 33,794,578 $ 941,034 $ 5,487,382 $ 113,563 $ 1,070,726 $ 341,645
Interest income.............. 1,311,997 226,497 523,451 168,627 1,000,834 207,609
Securities lending income
(Note 2)................. 256,026 15,873 421,025 3,032 221,189 7,746
-------------- -------------- ------------- -------------- ------------- --------------
TOTAL INVESTMENT INCOME....... 35,362,601 1,183,404 6,431,858 285,222 2,292,749 557,000
-------------- -------------- ------------- -------------- ------------- --------------
EXPENSES:
Advisory (Note 3)............ 7,756,161 679,865 6,448,644 45,748 3,024,869 580,454
Administration (Note 3)...... 860,981 37,764 576,913 9,156 197,912 30,550
Custody (Note 3)............. 170,123 14,658 114,210 3,471 48,610 12,174
Accounting (Note 3).......... 77,500 49,500 79,500 24,067 75,000 47,000
Legal........................ 12,639 1,093 8,595 66 4,082 898
Audit........................ 16,285 13,500 14,968 14,500 27,859 13,500
Trustees..................... 3,564 684 2,940 300 1,843 668
Amortization of organization
costs (Note 2)........... 2,963 - 2,917 - 2,088 -
Miscellaneous................ 15,980 2,051 10,127 792 7,733 2,612
-------------- -------------- ------------- -------------- ------------- --------------
TOTAL EXPENSES................ 8,916,196 799,115 7,258,814 98,100 3,389,996 687,856
FEES WAIVED (Note 4)........ (856,592) (34,231) (572,067) (3,594) (193,557) (27,553)
-------------- -------------- ------------- -------------- ------------- --------------
NET EXPENSES.................. 8,059,604 764,884 6,686,747 94,506 3,196,439 660,303
-------------- -------------- ------------- -------------- ------------- --------------
NET INVESTMENT INCOME
(LOSS).................... 27,302,997 418,520 (254,889) 190,716 (903,690) (103,303)
-------------- -------------- ------------- -------------- ------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS:
Net Realized Gain (Loss) from
Securities................. 21,124,145 (4,466,320) 103,483,455 (887) 75,015,565 (2,328,929)
Foreign currency
transactions........... - - - - - -
Financial futures
transactions........... - - - (30,973) - -
-------------- -------------- ------------- -------------- ------------- --------------
Net Realized Gain (Loss) from
investments.............. 21,124,145 (4,466,320) 103,483,455 (31,860) 75,015,565 (2,328,929)
Net Change in Unrealized
Appreciation
(Depreciation) from
Securities................. 331,743,519 11,172,163 175,686,535 (6,355,843) (41,102,519) 5,377,263
Foreign currency
transactions........... - - - - - -
Financial futures
transactions........... - - - (374,725) - -
-------------- -------------- ------------- -------------- ------------- --------------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments.............. 331,743,519 11,172,163 175,686,535 (6,730,568) (41,102,519) 5,377,263
-------------- -------------- ------------- -------------- ------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS............... 352,867,664 6,705,843 279,169,990 (6,762,428) 33,913,046 3,048,334
-------------- -------------- ------------- -------------- ------------- --------------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $ 380,170,661 $ 7,124,363 $278,915,101 $ (6,571,712) $ 33,009,356 $ 2,945,031
-------------- -------------- ------------- -------------- ------------- --------------
-------------- -------------- ------------- -------------- ------------- --------------
(a) Beginning of Period....... Jun 1, 1997 Oct 1, 1997 Jun 1, 1997 Apr 9, 1998 Jun 1, 1997 Oct 1, 1997
(b) Net of unrecoverable
foreign withholding taxes
of $1,559,177
<CAPTION>
SMALL
COMPANY SMALL COMPANY
VALUE GROWTH INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividend income.............. $ 2,589,822 $ 2,332,991 $ 11,873,542(b)
Interest income.............. 206,113 2,124,402 3,941,336
Securities lending income
(Note 2)................. 107,342 - 365,494
------------ ------------- -------------
TOTAL INVESTMENT INCOME....... 2,903,277 4,457,393 16,180,372
------------ ------------- -------------
EXPENSES:
Advisory (Note 3)............ 1,558,410 7,752,366 3,832,528
Administration (Note 3)...... 101,259 486,767 1,209,182
Custody (Note 3)............. 30,974 101,137 511,866
Accounting (Note 3).......... 74,000 78,000 121,500
Legal........................ 2,416 8,285 9,665
Audit........................ 26,542 32,359 44,573
Trustees..................... 1,515 2,611 2,676
Amortization of organization
costs (Note 2)........... 1,920 1,944 6,072
Miscellaneous................ 7,597 13,515 42,163
------------ ------------- -------------
TOTAL EXPENSES................ 1,804,633 8,476,984 5,780,225
FEES WAIVED (Note 4)........ (96,092) (479,752) (117,141)
------------ ------------- -------------
NET EXPENSES.................. 1,708,541 7,997,232 5,663,084
------------ ------------- -------------
NET INVESTMENT INCOME
(LOSS).................... 1,194,736 (3,539,839) 10,517,288
------------ ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS:
Net Realized Gain (Loss) from
Securities................. 49,410,647 157,449,385 15,722,123
Foreign currency
transactions........... - - 3,063,593
Financial futures
transactions........... - - -
------------ ------------- -------------
Net Realized Gain (Loss) from
investments.............. 49,410,647 157,449,385 18,785,716
Net Change in Unrealized
Appreciation
(Depreciation) from
Securities................. 1,904,286 (8,948,010) 76,972,797
Foreign currency
transactions........... - - 2,006,982
Financial futures
transactions........... - - -
------------ ------------- -------------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments.............. 1,904,286 (8,948,010) 78,979,779
------------ ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS............... 51,314,933 148,501,375 97,765,495
------------ ------------- -------------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $52,509,669 $144,961,536 $108,282,783
------------ ------------- -------------
------------ ------------- -------------
(a) Beginning of Period....... Jun 1, 1997 Jun 1, 1997 Jun 1, 1997
(b) Net of unrecoverable
foreign withholding taxes
of $1,559,177
</TABLE>
CORE TRUST (DELAWARE)
27
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRATEGIC
STABLE MANAGED FIXED POSITIVE VALUE
INCOME INCOME RETURN BOND BOND INDEX
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
NET ASSETS, MAY 31, 1996...... $ - $ - $ - $ - $ 360,469,155
------------- ------------- ------------- ------------- ---------------
OPERATIONS
Net investment income........ - - - - 7,998,685
Net realized gain on
investments sold......... - - - - 11,395,983
Net change in unrealized
appreciation on
investments.............. - - - - 85,427,079
------------- ------------- ------------- ------------- ---------------
Net increase in net assets
resulting from
operations............... - - - - 104,821,747
------------- ------------- ------------- ------------- ---------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions................ - - - - 41,212,190
Withdrawals.................. - - - - (50,510,474)
------------- ------------- ------------- ------------- ---------------
Net increase (decrease) from
transactions in
investors' beneficial
interest................. - - - - (9,298,284)
------------- ------------- ------------- ------------- ---------------
NET INCREASE IN NET ASSETS.... - - - - 95,523,463
------------- ------------- ------------- ------------- ---------------
NET ASSETS, MAY 31, 1997
(A)....................... - - - - 455,992,618
------------- ------------- ------------- ------------- ---------------
OPERATIONS
Net investment income
(loss)................... 13,556,855 18,213,362 11,929,000 7,290,368 18,212,835
Net realized gain (loss) on
investments sold......... 423,040 2,891,576 6,562,062 67,326 40,577,843
Net change in unrealized
appreciation
(depreciation) on
investments.............. 333,836 5,029,200 13,771,972 1,829,598 232,315,725
------------- ------------- ------------- ------------- ---------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ 14,313,731 26,134,138 32,263,034 9,187,292 291,106,403
------------- ------------- ------------- ------------- ---------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions (Note 9)....... 329,276,657 374,891,352 255,480,588 254,050,881 791,000,962
Withdrawals.................. (84,881,467) (65,362,303) (63,633,906) (26,360,998) (152,820,060)
------------- ------------- ------------- ------------- ---------------
Net increase from
transactions in
investors' beneficial
interest................. 244,395,190 309,529,049 191,846,682 227,689,883 638,180,902
------------- ------------- ------------- ------------- ---------------
NET INCREASE IN NET ASSETS.... 258,708,921 335,663,187 224,109,716 236,877,175 929,287,305
------------- ------------- ------------- ------------- ---------------
NET ASSETS, MAY 31, 1998...... $ 258,708,921 $335,663,187 $224,109,716 $236,877,175 $ 1,385,279,923
------------- ------------- ------------- ------------- ---------------
------------- ------------- ------------- ------------- ---------------
(a) Beginning of Period....... Jun 1, 1997 Jun 1, 1997 Jun 1, 1997 Oct 1, 1997 Jun 1, 1997
</TABLE>
See accompanying Notes to Financial Statements
CORE TRUST (DELAWARE)
28
<PAGE>
FOR THE YEARS OR PERIODS ENDED MAY 31, 1997 AND 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INCOME DISCIPLINED LARGE COMPANY SMALL CAP SMALL COMPANY
EQUITY GROWTH GROWTH INDEX STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------- --------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSETS, MAY 31, 1996...... $ - $ - $ - $ - $ -
--------------- ------------- --------------- ------------- --------------
OPERATIONS
Net investment income........ - - - - -
Net realized gain on
investments sold......... - - - - -
Net change in unrealized
appreciation on
investments.............. - - - - -
--------------- ------------- --------------- ------------- --------------
Net increase in net assets
resulting from
operations............... - - - - -
--------------- ------------- --------------- ------------- --------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions................ - - - - -
Withdrawals.................. - - - - -
--------------- ------------- --------------- ------------- --------------
Net increase (decrease) from
transactions in
investors' beneficial
interest................. - - - - -
--------------- ------------- --------------- ------------- --------------
NET INCREASE IN NET ASSETS.... - - - - -
--------------- ------------- --------------- ------------- --------------
NET ASSETS, MAY 31, 1997
(A)....................... - - - - -
--------------- ------------- --------------- ------------- --------------
OPERATIONS
Net investment income
(loss)................... 27,302,997 418,520 (254,889) 190,716 (903,690)
Net realized gain (loss) on
investments sold......... 21,124,145 (4,466,320) 103,483,455 (31,860) 75,015,565
Net change in unrealized
appreciation
(depreciation) on
investments.............. 331,743,519 11,172,163 175,686,535 (6,730,568) (41,102,519)
--------------- ------------- --------------- ------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ 380,170,661 7,124,363 278,915,101 (6,571,712) 33,009,356
--------------- ------------- --------------- ------------- --------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions (Note 9)....... 1,656,178,203 127,393,238 1,039,939,974 130,179,195 462,417,317
Withdrawals.................. (80,546,731) (3,752,382) (236,856,954) (1,115,038) (270,557,970)
--------------- ------------- --------------- ------------- --------------
Net increase from
transactions in
investors' beneficial
interest................. 1,575,631,472 123,640,856 803,083,020 129,064,157 191,859,347
--------------- ------------- --------------- ------------- --------------
NET INCREASE IN NET ASSETS.... 1,955,802,133 130,765,219 1,081,998,121 122,492,445 224,868,703
--------------- ------------- --------------- ------------- --------------
NET ASSETS, MAY 31, 1998...... $ 1,955,802,133 $130,765,219 $ 1,081,998,121 $122,492,445 $ 224,868,703
--------------- ------------- --------------- ------------- --------------
--------------- ------------- --------------- ------------- --------------
(a) Beginning of Period....... Jun 1, 1997 Oct 1, 1997 Jun 1, 1997 Apr 9, 1998 Jun 1, 1997
<CAPTION>
SMALL CAP SMALL COMPANY SMALL COMPANY
VALUE VALUE GROWTH INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
NET ASSETS, MAY 31, 1996...... $ - $ - $ - $ 439,815,157
------------- ------------- -------------- --------------
OPERATIONS
Net investment income........ - - - 7,278,121
Net realized gain on
investments sold......... - - - 11,031,767
Net change in unrealized
appreciation on
investments.............. - - - 41,949,537
------------- ------------- -------------- --------------
Net increase in net assets
resulting from
operations............... - - - 60,259,425
------------- ------------- -------------- --------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions................ - - - 108,485,326
Withdrawals.................. - - - (69,263,029)
------------- ------------- -------------- --------------
Net increase (decrease) from
transactions in
investors' beneficial
interest................. - - - 39,222,297
------------- ------------- -------------- --------------
NET INCREASE IN NET ASSETS.... - - - 99,481,722
------------- ------------- -------------- --------------
NET ASSETS, MAY 31, 1997
(A)....................... - - - 539,296,879
------------- ------------- -------------- --------------
OPERATIONS
Net investment income
(loss)................... (103,303) 1,194,736 (3,539,839) 10,517,288
Net realized gain (loss) on
investments sold......... (2,328,929) 49,410,647 157,449,385 18,785,716
Net change in unrealized
appreciation
(depreciation) on
investments.............. 5,377,263 1,904,286 (8,948,010) 78,979,779
------------- ------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ 2,945,031 52,509,669 144,961,536 108,282,783
------------- ------------- -------------- --------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions (Note 9)....... 109,215,794 182,821,915 893,179,444 406,915,054
Withdrawals.................. (7,890,976) (87,806,139) (144,077,860) (103,309,130)
------------- ------------- -------------- --------------
Net increase from
transactions in
investors' beneficial
interest................. 101,324,818 95,015,776 749,101,584 303,605,924
------------- ------------- -------------- --------------
NET INCREASE IN NET ASSETS.... 104,269,849 147,525,445 894,063,120 411,888,707
------------- ------------- -------------- --------------
NET ASSETS, MAY 31, 1998...... $104,269,849 $147,525,445 $ 894,063,120 $ 951,185,586
------------- ------------- -------------- --------------
------------- ------------- -------------- --------------
(a) Beginning of Period....... Oct 1, 1997 Jun 1, 1997 Jun 1, 1997 Jun 1, 1997
</TABLE>
CORE TRUST (DELAWARE)
29
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO TO
AVERAGE
NET ASSETS(a)
-------------------------------------------
NET
INVESTMENT PORTFOLIO AVERAGE
INCOME NET TURNOVER COMMISSION
(LOSS) EXPENSES GROSS EXPENSES RATE RATE(b)
---------- ----------- -------------- -------- ----------
<S> <C> <C> <C> <C> <C>
STABLE INCOME PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997(c) to May 31, 1998....... 5.96% 0.37% 0.43% 37.45% N/A
MANAGED FIXED INCOME PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997(c) to May 31, 1998....... 6.53% 0.41% 0.46% 91.59% N/A
POSITIVE RETURN BOND PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997(c) to May 31, 1998....... 5.74% 0.41% 0.47% 68.18% N/A
STRATEGIC VALUE BOND PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
October 1, 1997(c) to May 31, 1998.... 6.06% 0.58% 0.62% 134.56% N/A
INDEX PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997 to May 31, 1998.......... 1.60% 0.19% 0.24% 6.68% $0.0339
June 1, 1996 to May 31, 1997.......... 2.03% 0.11% 0.31% 7.29% 0.0444
November 1, 1995 to May 31, 1996...... 2.35% 0.17% 0.32% 7.21% 0.0501
November 11, 1994(c) to October 31,
1995................................ 2.42% 0.17% 0.33% 7.73% N/A
INCOME EQUITY PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997(c) to May 31, 1998....... 1.76% 0.52% 0.57% 3.49% $0.0585
DISCIPLINED GROWTH PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
October 1, 1997(c) to May 31, 1998.... 0.55% 1.01% 1.06% 68.08% $0.0553
LARGE COMPANY GROWTH PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997(c) to May 31, 1998....... (0.03%) 0.67% 0.73% 13.03% $0.0552
SMALL CAP INDEX PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
April 9, 1998(c) to May 31, 1998...... 1.04% 0.52% 0.54% 2.25% $0.0199
SMALL COMPANY STOCK PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997(c) to May 31, 1998....... (0.27%) 0.95% 1.01% 166.16% $0.0616
SMALL CAP VALUE PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
October 1, 1997(c) to May 31, 1998.... (0.17%) 1.08% 1.13% 79.43% $0.0556
SMALL COMPANY VALUE PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997(c) to May 31, 1998....... 0.69% 0.99% 1.04% 99.08% $0.0522
SMALL COMPANY GROWTH PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997(c) to May 31, 1998....... (0.41%) 0.93% 0.98% 123.36% $0.0567
INTERNATIONAL PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
June 1, 1997 to May 31, 1998.......... 1.23% 0.66% 0.68% 36.96% $0.0194
June 1, 1996 to May 31, 1997.......... 1.53% 0.19% 0.67% 53.32% 0.0244
November 1, 1995 to May 31, 1996...... 1.75% 0.23% 0.68% 17.58% 0.0247
November 11, 1994(c) to October 31,
1995................................ 1.94% 0.25% 0.70% 28.19% N/A
</TABLE>
- ------------------------------
(a) Ratios for periods of less than one year are annualized
(b) For fiscal years ending after September 1, 1995, the Portfolios are
required to disclose average commissions per share paid to brokers on the
purchase and sale of equity securities
(c) Commencement of operations
CORE TRUST (DELAWARE)
30
<PAGE>
NOTES TO FINANCIAL STATEMENTS MAY 31, 1998
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Core Trust (Delaware) ("Core Trust"), organized as a Delaware business trust,
was formed on September 1, 1994. Core Trust, which is registered as an open-end
management investment company under the Investment Company Act of 1940 (the
"Act"), currently has twenty-one separate investment portfolios. These financial
statements relate to the following fourteen diversified portfolios (each a
"Portfolio" and collectively the "Portfolios"), which commenced operations on
the following dates:
<TABLE>
<S> <C>
June 1,
Stable Income Portfolio................................................................................................ 1997
June 1,
Managed Fixed Income Portfolio......................................................................................... 1997
June 1,
Positive Return Bond Portfolio......................................................................................... 1997
October 1,
Strategic Value Bond Portfolio......................................................................................... 1997
November
Index Portfolio........................................................................................................ 11, 1994
June 1,
Income Equity Portfolio................................................................................................ 1997
October 1,
Disciplined Growth Portfolio........................................................................................... 1997
June 1,
Large Company Growth Portfolio......................................................................................... 1997
April 9,
Small Cap Index Portfolio.............................................................................................. 1998
June 1,
Small Company Stock Portfolio.......................................................................................... 1997
October 1,
Small Cap Value Portfolio.............................................................................................. 1997
June 1,
Small Company Value Portfolio.......................................................................................... 1997
June 1,
Small Company Growth Portfolio......................................................................................... 1997
November
International Portfolio................................................................................................ 11, 1994
</TABLE>
On June 1, 1997, the following transactions occurred (1) Small Company Portfolio
was divided into Small Company Stock Portfolio, Small Company Value Portfolio
and Small Company Growth Portfolio; its assets were divided by investment style;
and (2) International Portfolio merged into another portfolio of Core Trust,
International Portfolio II. The combined portfolio was named International
Portfolio.
Interests in the Portfolios are sold without any sales charge in private
placement transactions to qualified investors, including open-end management
investment companies.
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in accordance with generally accepted
accounting principles, which require 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 increase and decrease in net assets from
operations during the fiscal period. Actual results could differ from those
estimates. The following represents significant accounting policies of the
Portfolios:
SECURITIES VALUATION--Short-term securities that mature in sixty days or less
are valued at amortized cost. Equity securities for which market quotations are
readily available are valued using the last reported sales price provided by
independent pricing services. If no sales are reported, the mean of the last bid
and ask price is used. If no mean price is available, the last bid price is
used. Fixed income and other securities, for which market quotations are readily
available, are valued using the mean of the bid and ask prices provided by
independent pricing services. If no mean price is available, the last bid price
is used. In the absence of readily available market quotations, securities are
valued at fair value determined in accordance with procedures adopted by the
Board of Trustees.
SECURITY TRANSACTIONS AND INVESTMENT INCOME--Investment transactions are
accounted for on the trade date. Dividend income is recorded on the ex-dividend
date. With respect to dividends on foreign securities, certain instances may
arise where a Portfolio is not notified of a dividend until after the ex-
dividend date has passed. In these instances a dividend is recorded as soon as
the Portfolio is informed of the dividend. Dividend income is recorded net of
unrecoverable withholding tax. Interest income, including amortization of
premium or accretion of discount is recorded as earned. Identified cost of
investments sold is used to determine realized gain and loss for both financial
statement and federal income tax purposes. Foreign dividend and interest income
amounts and realized capital gains and losses are converted to U.S. dollars
using foreign exchange rates in effect at the date of the transactions.
Foreign currency amounts are translated into U.S. dollars at the mean of the bid
and asked prices of such currencies against U.S. dollars as follows: (i) assets
and liabilities at the rate of exchange at the end of the respective period; and
(ii) purchases and sales of securities and income and expenses at the rate of
exchange prevailing on the dates of such transactions. The portion of the
results of operations arising from changes in the exchange rates and the portion
due to fluctuations arising from changes in the market prices of securities are
not isolated. Such fluctuations are included with the net realized and
unrealized gain or loss on investments.
International Portfolio may enter into forward contracts to purchase or sell
foreign currencies to protect against the effect on the U.S. dollar value of the
underlying portfolio of 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 include net gain or loss on
contracts that have terminated by settlement or by the Portfolio entering into
offsetting commitments.
CORE TRUST (DELAWARE)
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
FUTURES CONTRACTS--Each Portfolio may invest in stock index futures contracts to
enhance its return and hedge against a decline in the value of securities. A
futures contract is an agreement between two parties to buy and sell a security
at a set price on a future date. Upon entering into such a contract the
Portfolio is required to pledge to the broker an amount of cash or securities
equal to the minimum "initial margin" requirements of the exchange on which the
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
value of the contract. Such receipts or payments are known as "variation margin"
and are recorded by the Portfolio as unrealized gain or loss. 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. The potential risk to the Portfolio is that the change in
value of the underlying securities may not correlate to the change in value of
the contracts.
REPURCHASE AGREEMENTS--Each Portfolio may invest in repurchase agreements. Each
Portfolio, through its custodian, receives delivery of the underlying
collateral, whose market value must always equal or exceed the repurchase price.
The investment adviser is responsible for determining the value of the
underlying collateral at all times. In the event of default, the Portfolios may
have difficulty with the disposition of any securities held as collateral.
SECURITY LOANS--The Portfolios receive compensation for lending securities in
the form of fees or by retaining a portion of interest on the investment
securities or cash received as collateral. A Portfolio also continues to receive
interest or dividends on the securities loaned. Security loans are secured at
all times by collateral equal to at least 102% of the market value of the
securities loaned plus accrued interest. Gain or loss in the market price of the
securities loaned that may occur during the term of the loan are reflected in
the value of the Portfolio.
ORGANIZATIONAL COSTS--The costs incurred by Stable Income Portfolio, Managed
Fixed Income Portfolio, Positive Return Bond Portfolio, Index Portfolio, Income
Equity Portfolio, Large Company Growth Portfolio, Small Company Stock Portfolio,
Small Company Value Portfolio, Small Company Growth Portfolio and International
Portfolio in connection with their organization have been capitalized and are
being amortized using the straight line method over a five year period beginning
on the commencement of each Portfolio's operations.
EXPENSE ALLOCATION--Core Trust accounts separately for the assets and
liabilities and operations of each Portfolio. Expenses that are directly
attributable to more than one Portfolio are allocated among the respective
Portfolios in proportion to each Portfolio's net assets.
NOTE 3. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISER--The investment adviser of each Portfolio, except
International Portfolio, is Norwest Investment Management, Inc. ("Adviser"), an
indirect subsidiary of Norwest Corporation. The investment adviser of
International Portfolio is Schroder Capital Management International Inc.
("Schroder"). Schroder is a wholly owned U.S. subsidiary of Schroders
Incorporated, the wholly owned U.S. holding company subsidiary of Schroders PLC.
The Adviser has retained the services of certain of its affiliates as investment
subadvisers (Galliard Capital Management, Inc., Crestone Capital Management,
Inc., Peregrine Capital Management, Inc., and Smith Asset Management, Inc.) on
selected Portfolios. The fees related to subadvisory services are borne directly
by the Adviser and do not increase the overall fees paid by the Portfolios to
the Adviser. The investment advisory fee and the associated subadviser are as
follows:<TABLE>
<CAPTION>
INVESTMENT
ADVISORY FEE
---------------
<S> <C> <C>
Stable Income Portfolio................................................................... 0.30%
Managed Fixed Income Portfolio............................................................ 0.35%
Positive Return Bond Portfolio............................................................ 0.35%
Strategic Value Bond Portfolio............................................................ 0.50%
Index Portfolio........................................................................... 0.15%
Income Equity Portfolio................................................................... 0.50%
Disciplined Growth Portfolio.............................................................. 0.90%
Large Company Growth Portfolio............................................................ 0.65%
Small Cap Index Portfolio................................................................. 0.25%
Small Company Stock Portfolio............................................................. 0.90%
Small Cap Value Portfolio................................................................. 0.95%
Small Company Value Portfolio............................................................. 0.90%
Small Company Growth Portfolio............................................................ 0.90%
International Portfolio................................................................... 0.45%
<CAPTION>
SUBADVISER
--------------------------------
<S> <C>
Galliard Capital Management,
Stable Income Portfolio................................................................... Inc.
Galliard Capital Management,
Managed Fixed Income Portfolio............................................................ Inc.
Peregrine Capital Management,
Positive Return Bond Portfolio............................................................ Inc.
Galliard Capital Management,
Strategic Value Bond Portfolio............................................................ Inc.
Index Portfolio........................................................................... -
Income Equity Portfolio................................................................... -
Disciplined Growth Portfolio.............................................................. Smith Asset Management, Inc.
Peregrine Capital Management,
Large Company Growth Portfolio............................................................ Inc.
Small Cap Index Portfolio................................................................. -
Crestone Capital Management,
Small Company Stock Portfolio............................................................. Inc.
Small Cap Value Portfolio................................................................. Smith Asset Management, Inc.
Peregrine Capital Management,
Small Company Value Portfolio............................................................. Inc.
Peregrine Capital Management,
Small Company Growth Portfolio............................................................ Inc.
International Portfolio................................................................... -
</TABLE>
ADMINISTRATIVE AND OTHER SERVICES--Forum Administrative Services, LLC ("FAdS")
is the administrator to Core Trust and receives a fee with respect to each
Portfolio (other than the International Portfolio) at an annual rate of 0.05% of
the Portfolio's average daily net assets. With respect to International
Portfolio, FAdS receives a fee at an annual rate of 0.15% of the Portfolio's
average daily net assets. In addition, for the year ended May 31, 1998, certain
legal expenses were charged to the Portfolios by FAdS aggregating $7,889.
CORE TRUST (DELAWARE)
32
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
NOTE 3. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH
AFFILIATES (CONTINUED)
Norwest Bank Minnesota, N.A. ("Norwest") serves as the custodian for each
Portfolio and may appoint certain subcustodians to custody those portfolios'
foreign securities and other assets held in foreign countries. Norwest receives
a fee with respect to each Portfolio (other than International Portfolio) at an
annual rate of 0.02% of the first $100 million of the Portfolio's average daily
net assets, 0.015% of the next $100 million of the Portfolio's average daily net
assets and 0.01% of the remaining Portfolio's average daily net assets. With
respect to International Portfolio Norwest receives a fee at an annual rate of
0.07% of the Portfolio's average daily net assets. Norwest also receives
transaction fees for providing services in connection with the securities
lending program.
OTHER SERVICE PROVIDER--Forum Accounting Services, LLC, an affiliate of FAdS,
provides portfolio accounting and interestholder recordkeeping services to each
Portfolio.
NOTE 4. WAIVERS
For the year ended May 31, 1998, fees waived by the Portfolios' service
providers were as follows:
<TABLE>
<CAPTION>
<S> <C>
Stable Income Portfolio......................................................................................................
Managed Fixed Income Portfolio...............................................................................................
Positive Return Bond Portfolio...............................................................................................
Strategic Value Bond Portfolio...............................................................................................
Index Portfolio..............................................................................................................
Income Equity Portfolio......................................................................................................
Disciplined Growth Portfolio.................................................................................................
Large Company Growth Portfolio...............................................................................................
Small Cap Index Portfolio....................................................................................................
Small Company Stock Portfolio................................................................................................
Small Cap Value Portfolio....................................................................................................
Small Company Value Portfolio................................................................................................
Small Company Growth Portfolio...............................................................................................
International Portfolio......................................................................................................
<CAPTION>
FEES
WAIVED
BY
FADS
-----
- ------
<S> <C>
Stable Income Portfolio...................................................................................................... $ 12
7,246
Managed Fixed Income Portfolio............................................................................................... 15
3,576
Positive Return Bond Portfolio............................................................................................... 11
7,575
Strategic Value Bond Portfolio............................................................................................... 5
6,068
Index Portfolio.............................................................................................................. 64
8,264
Income Equity Portfolio...................................................................................................... 85
6,592
Disciplined Growth Portfolio................................................................................................. 3
4,231
Large Company Growth Portfolio............................................................................................... 57
2,067
Small Cap Index Portfolio....................................................................................................
3,594
Small Company Stock Portfolio................................................................................................ 19
3,557
Small Cap Value Portfolio.................................................................................................... 2
7,553
Small Company Value Portfolio................................................................................................ 9
6,092
Small Company Growth Portfolio............................................................................................... 47
9,752
International Portfolio......................................................................................................
-
</TABLE>
Schroder waived investment advisory fees of $117,141 for International
Portfolio.
NOTE 5. FEDERAL INCOME TAXES
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.
The Portfolios use the "aggregate method" (as described in the applicable
regulation under the Internal Revenue Code) for allocation of capital gains and
losses to interestholders. On September 29, 1997, Stable Income Portfolio,
Managed Fixed Income Portfolio, Positive Return Bond Portfolio, Index Portfolio,
Income Equity Portfolio, Large Company Growth Portfolio, Small Company Stock
Portfolio, Small Company Value Portfolio, Small Company Growth Portfolio and
International Portfolio, applied to the Internal Revenue Service for permission
to use the aggregate method for the allocation of capital gains and losses from
the sale of securities contributed by their respective interestholders on June
1, 1997. On January 23, 1998, Income Equity Portfolio, Small Company Stock
Portfolio, and Small Company Growth Portfolio applied to the Internal Revenue
Service for permission to use the aggregate method for securities contributed by
the respective interestholders on September 15, 1997. The requests are pending.
Without permission to use the aggregate method an adjustment of the allocation
to interestholders of capital gains and losses, if any, from the sale of such
contributed securities may result.
CORE TRUST (DELAWARE)
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
NOTE 6. SECURITIES TRANSACTIONS
The cost of purchases and the proceeds from sales (including maturities) of
securities (excluding short-term investments) for the year ended May 31, 1998,
were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------- -------------
<S> <C> <C>
Stable Income Portfolio........................... $ 202,155,631 $ 96,703,273
Managed Fixed Income Portfolio.................... 411,403,297 253,592,415
Positive Return Bond Portfolio.................... 125,225,799 130,641,342
Strategic Value Bond Portfolio.................... 490,325,953 252,097,983
Index Portfolio................................... 235,511,483 70,927,993
Income Equity Portfolio........................... 245,713,956 54,216,439
Disciplined Growth Portfolio...................... 196,312,110 75,672,417
Large Company Growth Portfolio.................... 128,062,599 245,902,971
Small Cap Index Portfolio......................... 123,631,405 2,652,319
Small Company Stock Portfolio..................... 520,863,741 710,864,848
Small Cap Value Portfolio......................... 165,688,041 71,025,157
Small Company Value Portfolio..................... 167,377,489 234,211,616
Small Company Growth Portfolio.................... 1,043,674,183 1,032,347,981
International Portfolio........................... 293,622,245 253,418,671
</TABLE>
For federal income tax purposes, the tax basis of investment securities owned as
of May 31, 1998, and the aggregate gross unrealized appreciation and the
aggregate unrealized depreciation based on identified tax cost as of May 31,
1998 were as follows:
<TABLE>
<CAPTION>
TAX UNREALIZED UNREALIZED
COST BASIS APPRECIATION DEPRECIATION
------------- ------------- -------------
<S> <C> <C> <C>
Stable Income Portfolio........................................................ $ 254,715,158 $ 824,915 $ 485,478
Managed Fixed Income Portfolio................................................. 325,904,678 6,061,393 803,268
Positive Return Bond Portfolio................................................. 211,370,154 11,309,354 221,346
Strategic Value Bond Portfolio................................................. 233,136,332 2,070,355 359,886
Index Portfolio................................................................ 860,960,624 543,020,760 20,120,865
Income Equity Portfolio........................................................ 1,181,109,593 807,396,409 8,962,449
Disciplined Growth Portfolio................................................... 119,608,219 14,415,957 3,243,794
Large Company Growth Portfolio................................................. 555,981,911 535,736,259 9,379,471
Small Cap Index Portfolio...................................................... 128,961,254 2,874,666 9,257,020
Small Company Stock Portfolio.................................................. 210,552,408 29,673,505 14,567,390
Small Cap Value Portfolio...................................................... 97,979,208 9,917,633 4,544,266
Small Company Value Portfolio.................................................. 132,761,510 20,118,968 5,358,630
Small Company Growth Portfolio................................................. 755,850,316 171,672,271 31,046,761
International Portfolio........................................................ 753,907,608 271,142,246 68,226,717
<CAPTION>
APPRECIATION
(DEPRECIATION)
-------------
<S> <C>
Stable Income Portfolio........................................................ $ 339,437
Managed Fixed Income Portfolio................................................. 5,258,125
Positive Return Bond Portfolio................................................. 11,088,008
Strategic Value Bond Portfolio................................................. 1,710,469
Index Portfolio................................................................ 522,899,895
Income Equity Portfolio........................................................ 798,433,960
Disciplined Growth Portfolio................................................... 11,172,163
Large Company Growth Portfolio................................................. 526,356,788
Small Cap Index Portfolio...................................................... (6,382,354 )
Small Company Stock Portfolio.................................................. 15,106,115
Small Cap Value Portfolio...................................................... 5,373,367
Small Company Value Portfolio.................................................. 14,760,338
Small Company Growth Portfolio................................................. 140,625,510
International Portfolio........................................................ 202,915,529
</TABLE>
NOTE 7. PORTFOLIO SECURITIES LOANED
As of May 31, 1998, certain Portfolios had loaned portfolio investments in
return for cash collateral which was invested in various short-term fixed income
securities. Norwest receives transaction fees for providing services in
connection with the securities lending program. The value of the securities on
loan and the value of the related collateral were as follows:
<TABLE>
<CAPTION>
SECURITIES
-------------
<S> <C>
Stable Income Portfolio....................................................................................... $ 47,461,675
Managed Fixed Income Portfolio................................................................................ 19,606,649
Positive Return Bond Portfolio................................................................................ 60,097,016
Strategic Value Bond Portfolio................................................................................ 26,612,101
Index Portfolio............................................................................................... 349,029,995
Income Equity Portfolio....................................................................................... 310,321,380
Disciplined Growth Portfolio.................................................................................. 35,553,274
Large Company Growth Portfolio................................................................................ 256,884,617
Small Cap Index Portfolio..................................................................................... 13,458,322
Small Company Stock Portfolio................................................................................. 35,750,846
Small Cap Value Portfolio..................................................................................... 13,222,030
Small Company Value Portfolio................................................................................. 16,725,751
International Portfolio....................................................................................... 173,070,923
<CAPTION>
COLLATERAL
-------------
<S> <C>
Stable Income Portfolio....................................................................................... $ 49,810,558
Managed Fixed Income Portfolio................................................................................ 20,574,571
Positive Return Bond Portfolio................................................................................ 63,062,607
Strategic Value Bond Portfolio................................................................................ 27,843,961
Index Portfolio............................................................................................... 366,750,637
Income Equity Portfolio....................................................................................... 325,802,261
Disciplined Growth Portfolio.................................................................................. 37,358,714
Large Company Growth Portfolio................................................................................ 268,977,623
Small Cap Index Portfolio..................................................................................... 13,829,403
Small Company Stock Portfolio................................................................................. 37,526,093
Small Cap Value Portfolio..................................................................................... 13,878,587
Small Company Value Portfolio................................................................................. 17,596,912
International Portfolio....................................................................................... 178,898,445
</TABLE>
CORE TRUST (DELAWARE)
34
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) MAY 31, 1998
- --------------------------------------------------------------------------------
NOTE 8. CONCENTRATION OF CREDIT RISK
International Portfolio invests in countries which may involve greater risks.
The consequences of political, social, or economic events in these markets my
have disruptive effects on the market prices of the Portfolio's investments.
NOTE 9. CONTRIBUTION OF SECURITIES
After the close of business on May 31, 1997, International Portfolio (prior to
June 1, 1997 named International Portfolio II) merged with a former portfolio of
Core Trust. In that transaction International Portfolio acquired the assets and
assumed the liabilities of the former portfolio in exchange for an interest in
International Portfolio equal in value to the net asset value of the former
portfolio. The former portfolio had the same investment objective and investment
policies as International Portfolio. The merger, which was not subject to
interestholder approval, was accomplished without the recognition of gain or
loss. The former portfolio contributed net assets with a value of $232,334,610
and the net assets of International Portfolio immediately after the transaction
was $771,507,344.
Also after the close of business on May 31, 1997, Small Company Portfolio (a
former Portfolio of Core Trust) divided into three portfolios-Small Company
Stock Portfolio, Small Company Growth Portfolio and Small Company Value
Portfolio. The assets of Small Company Portfolio (and the related liabilities)
were divided in accordance with the investment style to which the assets had
been allocated. The division, which was not subject to interestholder approval,
was accomplished without the recognition of gain or loss. Small Company
Portfolio's net assets were divided as follows: Small Company Stock Portfolio,
$178,533,353; Small Company Growth Portfolio, $167,525,486; and Small Company
Value Portfolio, $165,287,781.
In connection with the merger and division, and the contemporaneous commencement
of operations of certain portfolios on June 1, 1997, certain investors
contributed all or a portion of their net assets to the portfolios listed in the
following table.
<TABLE>
<CAPTION>
INVESTOR
CONTRIBUTIONS
-----------
NET
PORTFOLIO ASSETS
- -------------------------------------------------------------------------------------------------------------- -----------
<S> <C>
Stable Income Portfolio....................................................................................... $205,865,654
Managed Fixed Income Portfolio................................................................................ 186,226,721
Positive Return Bond Portfolio................................................................................ 186,707,645
Index Portfolio............................................................................................... 512,437,536
Income Equity Portfolio....................................................................................... 955,691,053
Large Company Growth Portfolio................................................................................ 615,745,586
Small Company Stock Portfolio................................................................................. 355,894,495
Small Company Value Portfolio................................................................................. 165,287,781
Small Company Growth Portfolio................................................................................ 615,745,586
International Portfolio....................................................................................... 232,334,610
<CAPTION>
UNREALIZED
PORTFOLIO GAIN/(LOSS)
- -------------------------------------------------------------------------------------------------------------- -----------
<S> <C>
Stable Income Portfolio....................................................................................... $ 5,601
Managed Fixed Income Portfolio................................................................................ 229,550
Positive Return Bond Portfolio................................................................................ (2,426,230)
Index Portfolio............................................................................................... 115,520,269
Income Equity Portfolio....................................................................................... 110,368,720
Large Company Growth Portfolio................................................................................ 276,554,260
Small Company Stock Portfolio................................................................................. 50,282,300
Small Company Value Portfolio................................................................................. 13,216,619
Small Company Growth Portfolio................................................................................ 110,368,716
International Portfolio....................................................................................... 33,714,226
</TABLE>
Additionally, on September 15, 1997, certain investors contributed net assets to
the portfolios listed in the following table:
<TABLE>
<CAPTION>
INVESTOR
CONTRIBUTIONS
-----------
NET
PORTFOLIO ASSETS
- -------------------------------------------------------------------------------------------------------------- -----------
<S> <C>
Income Equity Portfolio....................................................................................... $477,132,067
Small Company Stock Portfolio................................................................................. 45,144,489
Small Company Growth Portfolio................................................................................ 140,475,014
<CAPTION>
UNREALIZED
PORTFOLIO GAIN/(LOSS)
- -------------------------------------------------------------------------------------------------------------- ------------
<S> <C>
Income Equity Portfolio....................................................................................... 1$90,138,062
Small Company Stock Portfolio................................................................................. 6,745,993
Small Company Growth Portfolio................................................................................ 40,180,322
</TABLE>
CORE TRUST (DELAWARE)
35
<PAGE>
SCHEDULES OF INVESTMENTS MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME PORTFOLIO
- -----------------------------------------------------------------
ASSET BACKED SECURITIES (16.4%)
1,412,875 AFC Home Equity Loan Trust Series 1995-2
A1, 7.41% V/R, 7/25/26 $ 1,421,505
3,500,000 Aesop Funding II LLC,
Series 1997-1 A1, 6.22% V/R,
10/20/01(b) 3,529,628
61,006 Bear Stearns Secured Investors Trust,
Series 1991-2 H, 7.50% V/R, 9/20/20 60,918
4,000,000 DreamWorks Film Trust, 5.88% V/R,
10/15/05 4,000,056
1,500,000 EQCC Home Equity Loan Trust, Series
1995-3 A4, 7.10%, 2/15/12 1,543,103
2,928,803 GMAC, Commercial Mortgage Securities,
Inc., Series 1996-C1 A1, 6.16% V/R,
10/15/28 2,930,927
5,105,000 Green Tree Financial Corp., Series
1993-4 A3, 6.25%, 1/15/19 5,123,097
1,075,000 Green Tree Financial Corp., Series
1994-1 A3, 6.90%, 4/15/19 1,088,712
2,274,717 Green Tree Financial Corp., Series
1995-5 A3, 6.25%, 9/15/26 2,280,529
3,500,000 HCLT, Series 1997-1 A3, 6.01% V/R,
3/15/07 3,493,350
5,000,000 HCLT, Series 1997-2 A3, 6.06% V/R,
11/15/07 5,004,120
2,400,000 Keystone Home Improvement Loan Trust,
Series 1997-P2 IA3, 6.99%, 4/25/14 2,417,954
4,500,000 Loop Funding Master Trust, Series
1997-A144 B1, 6.06% V/R, 12/26/07 4,504,343
1,231,444 MLMI, Inc., Series 1987-C A, 10.10%,
12/15/07 1,267,851
3,105,521 Sequoia Mortgage Trust, Series 2 A1,
6.49% V/R, 10/25/24 3,144,271
---------------
TOTAL ASSET BACKED SECURITIES (COST $41,696,869) 41,810,364
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (23.0%)
2,112,955 Commercial Loan Funding Trust, Series I
A, 5.89% V/R, 8/15/05(b) 2,104,683
1,998,843 DLJ Mortgage Acceptance Corp., Series
1998-STF1 A1, 5.91% V/R, 2/8/00 1,999,109
2,958,697 FAMC, Series CS-1012 1, 7.06% V/R,
7/25/02 3,037,730
198,447 FNMA, Series 1993-39 FA, 7.09% V/R,
4/25/23 203,352
5,352,614 MLCC Mortgage Investors, Inc., Series
1994 A A2, 6.09% V/R, 7/15/19 5,341,882
3,000,000 MLCC Mortgage Investors, Inc., Series
1994 A A3, 6.49% V/R, 7/15/19 3,031,546
2,511,430 MLCC Mortgage Investors, Inc., Series
1994-B A2, 6.29% V/R, 12/15/19 2,513,050
2,945,341 MLMI, Inc., Series 1983-I A2, 6.09% V/R,
11/15/23 2,947,447
775,047 MLMI, Inc., Series 1994-I A1, 8.03% V/R,
1/25/05 790,104
1,647,427 MNB Mortgage Pass-thru Certificates,
Series 1990-1 A, 9.50%, 6/25/19 1,647,607
3,000,000 PRAT, Series 1997-1 B, 6.55%, 9/6/03 3,043,440
682,353 RFMSI ARM, Series 1989-5A, 7.58% V/R,
10/25/19 686,109
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
266,499 RRMSI ARM, Series 1991 21 BA, 7.57% V/R,
8/25/21 $ 272,124
361,280 RTC, Series 1991-6 E, 11.59% V/R,
5/25/24 373,050
966,810 RTC, Series 1991-14 A1, 7.50% V/R,
1/25/22 967,076
123,258 RTC, Series 1991 M6 A3, 8.46% V/R,
6/25/21 123,066
671,823 RTC, Series 1992-4 A2, 7.60% V/R,
7/25/28 676,892
3,177,084 RTC, Series 1992-7 A2D, 8.35%, 6/25/29 3,175,527
3,000,761 RTC, Series 1992-8 B5, 6.63% V/R,
2/25/22 3,003,867
1,147,359 RTC, Series 1992-9 B4, 7.46% V/R,
4/25/27 1,143,796
2,005,411 RTC, Series 1992-18P A4, 6.64% V/R,
4/25/28(b) 2,005,683
5,510,163 RTC, Series 1992-C2 A2, 6.69% V/R,
10/25/21 5,539,230
2,614,682 RTC, Series 1992-C3 A3, 6.84% V/R,
8/25/23 2,615,323
2,202,862 RTC, Series 1994-C1 A3, 6.24% V/R,
6/25/26 2,201,001
1,393,061 RTC, Series 1995-1 A3, 7.30% V/R,
10/25/28 1,409,226
1,051,145 RTC, Series 1995-2 A1B, 7.15%, 5/25/29 1,054,903
1,273,009 RTC, Series 1995 C2 A2, 6.14% V/R,
5/25/27 1,274,918
5,375,000 Vendee Mortgage Trust, Series 1993-1 E,
7.00%, 1/15/16 5,465,746
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$58,838,049) 58,647,487
---------------
CORPORATE BONDS & NOTES (8.5%)
4,037,000 Chase Manhattan Corp., 10.13%, 11/1/00 4,402,793
2,150,000 Chrysler Financial Corp., 6.26%, 7/20/98 2,151,801
2,500,000 Corestates Capital Corp., 9.63%, 2/15/01 2,722,405
2,043,000 Lehman Brothers Holdings, Inc., 8.88%,
11/1/98 2,066,419
3,475,000 Newell Co., 6.18%, 7/11/00 3,496,621
2,300,000 Philip Morris Cos., Inc., 6.15%, 3/15/00 2,304,370
1,500,000 Transamerica Financial, 6.41%, 6/20/00 1,507,730
1,000,000 Transamerica Financial, 6.36%, 6/26/00 1,004,221
2,000,000 USAA Capital Corp., 5.97%, 8/4/99(b) 2,005,352
---------------
TOTAL CORPORATE BONDS & NOTES (COST $21,478,305) 21,661,712
---------------
GOVERNMENT AGENCY BONDS & NOTES (1.4%)
400,000 FHLB, 3.00% V/R, 7/15/98 398,786
2,000,000 FHLB, 7.11%, 7/8/99(d) 2,029,424
1,000,000 FNMA, 8.70%, 6/10/99 1,029,343
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $3,454,228)
3,457,553
---------------
MORTGAGE BACKED SECURITIES (13.6%)
FHLMC (0.8%)
411,061 Pool 410220, 7.59% V/R, 10/1/25 417,741
1,070,607 Pool 845151, 7.75% V/R, 6/1/22 1,116,685
470,228 Pool 846367, 7.74% V/R, 4/1/29 490,866
---------------
TOTAL FHLMC (COST $1,992,063) 2,025,292
---------------
FNMA (6.0%)
271,119 Pool 46698, 7.01% V/R, 12/1/15 284,076
1,466,284 Pool 155506, 7.20% V/R, 4/1/22 1,523,249
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
36
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
MORTGAGE BACKED SECURITIES (continued)
FNMA (continued)
<TABLE>
<C> <S> <C>
6,617,537 Pool 160334, 6.93% V/R, 3/1/01 $ 6,740,762
2,706,691 Pool 190815, 5.87% V/R, 7/1/17 2,735,111
791,718 Pool 220706, 8.02% V/R, 6/1/23 825,097
1,319,113 Pool 318464, 7.47% V/R, 4/1/25 1,370,663
1,259,541 Pool 321051, 7.93% V/R, 8/1/25 1,314,419
492,472 Pool 331866, 7.55% V/R, 12/1/25 513,046
---------------
TOTAL FNMA (COST $15,153,350) 15,306,423
---------------
SBA (6.8%)
109,863 Pool 500025, 8.38% V/R, 12/25/10 115,906
64,950 Pool 500276, 10.38% V/R, 5/25/07 70,228
127,952 Pool 500299, 10.38% V/R, 6/25/07 135,629
718,568 Pool 500392, 8.38% V/R, 11/25/12 767,071
99,302 Pool 500569, 10.38% V/R, 6/25/08 107,618
563,747 Pool 500664, 8.38% V/R, 3/25/04 587,625
624,603 Pool 500806, 7.00% V/R, 2/25/14 640,999
571,998 Pool 500957, 8.75% V/R, 7/25/14 628,483
185,028 Pool 501017, 6.88% V/R, 9/25/14 191,042
567,897 Pool 501224, 7.25% V/R, 6/25/15 601,261
71,646 Pool 501973, 10.13% V/R, 12/25/01 74,153
266,036 Pool 502083, 8.38% V/R, 11/25/04 274,682
201,335 Pool 502241, 8.38% V/R, 4/25/03 204,355
425,528 Pool 502394, 10.13% V/R, 6/25/13 475,528
1,057,581 Pool 502462, 9.73% V/R, 11/25/07 1,134,256
753,296 Pool 502501, 9.73% V/R, 4/25/03 787,195
296,910 Pool 502568, 9.73% V/R, 9/25/03 310,642
293,527 Pool 502583, 9.73% V/R, 9/25/03 307,103
161,374 Pool 502966, 9.73% V/R, 5/25/15 183,810
337,083 Pool 503249, 8.38% V/R, 4/25/07 350,144
293,372 Pool 503250, 9.73% V/R, 3/25/09 321,610
457,954 Pool 503398, 8.88% V/R, 6/25/13 498,026
789,800 Pool 503405, 8.88% V/R, 5/25/16 876,676
2,176,555 Pool 503611, 8.38% V/R, 12/25/21 2,408,816
213,474 Pool 503653, 9.13% V/R, 1/25/10 233,572
1,392,202 Pool 503658, 9.63% V/R, 9/25/10 1,550,716
1,183,123 Pool 503664, 8.98% V/R, 1/25/13 1,300,714
1,909,455 Pool 503694, 8.38% V/R, 3/25/22 2,109,724
---------------
TOTAL SBA (COST $17,309,042) 17,247,584
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $34,454,455) 34,579,299
---------------
MUNICIPAL BONDS & NOTES (4.9%)
3,300,000 Connecticut State, GO Bonds, Taxable
Series A, 5.70%, 1/15/01 3,275,966
3,145,000 Denver, CO, City and County SD #1,
Educational Facilities RV, Taxable
Pension, School Facilities Lease,
AMBAC insured, 6.34%, 12/15/00 3,185,130
4,000,000 New York State, GO Bonds, Series C,
6.13%, 3/1/02 4,007,500
1,870,000 Washington State, GO Bonds, State
Housing Trust Fund, Series T, 6.60%,
1/1/01 1,905,840
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
MUNICIPAL BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
170,000 York County, PA, Tax-Exempt Economic
Development RV, 5.45%, 12/30/98 $ 169,739
---------------
TOTAL MUNICIPAL BONDS & NOTES (COST $12,473,063) 12,544,175
---------------
RECEIVABLES BACKED SECURITIES (1.9%)
700,453 First Merchants Auto Receivables Corp.,
Series 1996-A A2, 6.70%, 7/17/00(b) 704,645
1,228,133 First Merchants Grantor Trust,
Series 1996-2 A, 6.85%, 11/15/01(b) 1,243,490
3,000,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, 9/7/99 3,045,825
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $5,002,520) 4,993,960
---------------
REPURCHASE AGREEMENTS (2.7%)
7,000,000 BancAmerica Robertson Stephens, 5.58%,
6/1/98, to be repurchased at
$7,003,255 (cost $7,000,000)(e) 7,000,000
---------------
TIME DEPOSITS (5.0%)
12,764,705 PNC Bank, NA Nassau, 5.66%, 6/1/98 (cost
$12,764,705) 12,764,705
---------------
U.S. TREASURY NOTES (22.6%)
55,000,000 8.50%, 2/15/00(d) (cost $57,552,964) 57,595,340
---------------
TOTAL INVESTMENTS (100.0%) (COST $254,715,158) $ 255,054,595
---------------
---------------
- -----------------------------------------------------------------
MANAGED FIXED INCOME PORTFOLIO
- -----------------------------------------------------------------
ASSET BACKED SECURITIES (13.6%)
1,800,000 ContiMortgage Home Equity Loan Trust,
Series 1997-4 A7, 6.63% V/R, 9/15/16 $ 1,819,115
2,441,000 EQCC Home Equity Loan Trust, Series
1996-2 A4, 7.50%, 6/15/21 2,555,595
4,900,000 EQCC Home Equity Loan Trust, Series
1997-2 A9, 6.81%, 7/15/28 5,029,703
1,000,000 GE Capital Mortgage Services, Inc.,
Series 1997 HE-2 A7, 7.12%, 6/25/27 1,010,670
3,800,000 Green Tree Financial Corp., Series
1994-1 A4, 7.20%, 4/15/19 3,930,170
600,000 Green Tree Financial Corp., Series
1995-5 A5, 6.55%, 9/15/26 618,721
9,863,701 Green Tree Financial Corp., Series
1997-7 A8, 6.86%, 9/15/16 10,070,147
1,100,000 Green Tree Home Improvement Loan Trust,
Series 1995-F A4, 6.15%, 1/15/21 1,100,198
3,000,000 Keystone Home Improvement Loan Trust,
Series 1997-P2 IA3, 6.99%, 4/25/14 3,031,407
3,300,000 Loop Funding Master Trust, Series
1997-A144 B1, 6.00% V/R, 12/26/07 3,301,033
6,693,000 Oakwood Mortgage Investors Inc., Series
1995-A A3, 7.10%, 9/15/20 6,937,689
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
37
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
MANAGED FIXED INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
5,518,000 Rental Car Finance Corp.,
Series 1997-1 B3, 6.70%, 9/25/07 $ 5,589,563
---------------
TOTAL ASSET BACKED SECURITIES (COST $44,159,787) 44,994,011
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (15.1%)
1,443,517 American Housing Trust,
Series VI I-I, 9.15%, 5/25/20 1,549,571
1,500,000 Asset Securitization Corp.,
Series 1997-D4 A1C, 7.42%, 4/14/29 1,607,692
2,371,801 CMC Securities Corp. II,
Series 1993-2I A2, 6.90% V/R, 9/25/23 2,406,374
2,712,139 FAMC, Series CS-1012 1, 7.06%, 7/25/02 2,787,572
750,000 FHLMC, Series 1832 D, 6.50%, 6/15/08 761,037
410,952 FNMA, Series 1988-5 Z, 9.20%, 3/25/18 432,617
1,499,556 First Plus Home Loan Trust, Series
1996-2 A6, 7.85%, 8/20/13 1,566,564
1,635,296 L.F. Rothschild Mortgage Trust, Series 2
Z, 9.95%, 8/1/17 1,788,906
951,194 MLMI, Inc., Series 1994-I, 8.04% V/R,
1/25/05 969,707
5,000,000 MLMI, Inc., Series 1997-CI A3, 7.12%,
6/18/29 5,290,475
2,150,000 RFMSI, 7.00%, 5/25/24 2,167,018
621,521 RTC, Series 1991-14 A1, 7.50% V/R,
1/25/22 621,691
1,083,788 RTC, Series 1991-M5 A, 9.00%, 3/25/17 1,090,063
1,881,103 RTC, Series 1992-4 A2, 7.60% V/R,
7/25/28 1,895,296
2,401,609 RTC, Series 1992-8 B5, 6.63% V/R,
2/25/22 2,404,095
2,000,000 RTC, Series 1995-1 A2C, 7.50%, 10/25/28 2,038,126
1,000,000 RTC, Series 1995-1 A2D, 7.50%, 10/25/28 1,016,691
1,000,000 RTC, Series 1995-2 A1C, 7.45%, 5/25/29 1,000,000
76,510 RTC, Series 1995-C2 A1C, 6.55% V/R,
5/25/27 76,391
965,715 Vendee Mortgage Trust,
Series 1992-2 2D, 7.75%, 12/15/14 978,655
3,788,278 Vendee Mortgage Trust,
Series 1992-2 G, 7.25% V/R, 2/15/19 3,909,092
3,250,000 Vendee Mortgage Trust,
Series 1995-1C 3E, 8.00%, 7/15/18 3,413,394
5,500,000 Vendee Mortgage Trust,
Series 1996-2 1E, 6.75%, 5/15/20 5,572,980
3,000,000 Vendee Mortgage Trust,
Series 1997-1 2C, 7.50%, 9/15/17 3,088,545
1,500,000 Vendee Mortgage Trust,
Series 1997-1 2D, 7.50%, 1/15/19 1,549,012
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$49,542,811) 49,981,564
---------------
CORPORATE BONDS & NOTES (44.7%)
2,250,000 Allied-Signal, Inc., 9.88%, 6/1/02 2,559,207
755,000 Allied-Signal, Inc., 9.20%, 2/15/03 852,955
600,000 Applied Materials, 6.70%, 9/6/05 617,895
5,400,000 Applied Materials, 7.00%, 9/6/05 5,654,880
1,700,000 Bausch & Lomb, Inc., 6.56%, 8/12/26 1,734,791
3,600,000 Cargill, Inc., 8.35%, 2/12/11(b) 3,960,000
700,000 Charles Schwab Corp., 7.19%, 5/31/01 720,869
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
MANAGED FIXED INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
2,000,000 Charles Schwab Corp., 6.25%, 1/23/03 $ 2,005,097
2,000,000 Charles Schwab Corp., 6.88%, 9/2/03 2,055,910
3,400,000 Chase Manhattan Corp., 8.63%, 5/1/02 3,694,331
3,400,000 Citicorp, 9.50%, 2/1/02 3,779,575
1,500,000 Colonial Pipeline, 7.13%, 8/15/02(b) 1,561,530
2,300,000 Continental Airlines, 7.15%, 6/30/07 2,373,726
2,500,000 Continental Airlines, 6.80%, 7/2/07 2,529,638
2,175,000 Corestates Capital Corp., 5.88%,
10/15/03(b) 2,142,312
750,000 Corestates Capital Corp., 6.31% V/R,
1/15/27(b) 736,537
3,000,000 Dayton Hudson Co., 5.90%, 6/15/37 3,005,166
1,000,000 El Paso Natural Gas, 7.75%, 1/15/02 1,049,158
200,000 First Bank N.A., 6.00%, 10/15/03 199,561
2,500,000 First Bank Systems, Inc., 8.00%, 7/2/04 2,727,005
1,300,000 First Bank Systems, Inc., 7.63%, 5/1/05 1,403,732
3,000,000 Florida Residential Property & Casualty,
7.25%, 7/1/02(b) 3,104,138
1,700,000 Hyundai Semiconductor, 8.25%, 5/15/04(b) 1,417,701
1,500,000 LG-Caltex Oil, 7.88%, 7/1/06(b) 1,283,053
2,500,000 Lehman Brothers, Inc., 7.50%, 8/1/26 2,731,243
5,065,000 Levi Strauss & Co., 6.80%, 11/1/03(b) 5,171,876
3,700,000 Massachusetts Institute of Technology,
7.25%, 11/2/96 4,273,452
2,000,000 May Department Stores, 9.88%, 6/15/00 2,147,373
1,060,000 Nabisco, Inc., 6.00%, 2/15/11 1,060,148
5,635,000 Oracle Corp., 6.72%, 2/15/04 5,756,941
3,600,000 Paine Webber Group, Inc., 7.00%, 3/1/00 3,651,196
1,250,000 Paine Webber Group, Inc., 6.90%, 8/15/03 1,284,115
5,000,000 Pep Boys, 6.71%, 11/3/04 5,060,705
1,305,000 Petroliam Nasional Berhad, 6.63%,
10/18/01(b) 1,230,332
2,750,000 Philip Morris Cos., Inc., 7.63%, 5/15/02 2,876,736
2,500,000 Philip Morris Cos., Inc., 7.50%, 4/1/04 2,625,695
2,709,000 Philips Electronics, 6.75%, 8/15/03 2,788,561
2,000,000 Potomac Capital Investment Corp., 7.32%,
4/14/00 2,038,200
2,450,000 Prudential Insurance Co., 7.65%,
7/1/07(b) 2,642,474
3,000,000 Raytheon Co., 5.95%, 3/15/01 3,001,122
5,200,000 Reinsurance Group of America, 7.25%,
4/1/06(b) 5,474,664
4,000,000 Reliastar Financial Corp., 7.13%, 3/1/03 4,149,548
2,500,000 Reynolds & Reynolds, 7.00%, 12/15/06 2,604,653
1,750,000 Royal Carribbean Cruises, 7.13%, 9/18/02 1,805,430
3,325,000 Scholastic Corp., 7.00%, 12/15/03 3,431,796
3,000,000 Susa Partnership LP, 8.20%, 6/1/17 3,317,856
2,200,000 Terra Nova Holdings, 7.20%, 8/15/07 2,309,747
3,000,000 Texas Utilities, 6.20%, 10/1/02(b) 3,017,019
3,000,000 Tommy Hilfiger, 6.50%, 6/1/03 3,002,184
2,100,000 Transamerica Financial, 6.41%, 6/20/00 2,110,822
750,000 Tyco International Ltd., 6.50%, 11/1/01 761,725
2,500,000 Tyco International Ltd., 6.38%, 1/15/04 2,534,060
1,050,000 USA Waste Services, Inc., 7.00%, 10/1/04 1,079,391
1,000,000 US West Capital Funding, Inc., 6.95%,
1/15/37 1,059,277
885,000 United Missouri Bancshares, 7.30%,
2/24/03 931,547
1,000,000 Universal Corp., 9.25%, 2/15/01 1,074,300
6,500,000 Van Kampen, CLO-I, 5.96% V/R, 10/8/07 6,512,643
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
38
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
MANAGED FIXED INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
250,000 Vastar Resources, Inc., 6.95%, 11/8/06 $ 261,013
850,000 Whitman Corp., 7.50%, 2/1/03 893,044
1,970,000 Whitman Corp., 7.29%, 9/15/26 2,102,215
---------------
TOTAL CORPORATE BONDS & NOTES (COST $145,095,094) 147,941,870
---------------
MORTGAGE BACKED SECURITIES (14.6%)
FHLMC (1.1%)
542,082 Pool 410425, 7.87% V/R, 9/1/26 563,917
295,595 Pool 410464, 7.65% V/R, 11/1/26 307,197
1,304,425 Pool 606279, 7.22% V/R, 2/1/15 1,367,741
1,410,684 Pool 846367, 7.76% V/R, 4/1/29 1,472,598
---------------
TOTAL FHLMC (COST $3,625,143) 3,711,453
---------------
FNMA (12.3%)
3,458,543 Pool 73919, 6.80%, 1/1/04 3,554,811
253,768 Pool 342042, 7.50%, 6/1/25 263,720
791,188 Pool 344689, 7.65%, 11/1/25 824,655
564,157 Pool 344692, 7.54% V/R, 10/1/25 587,700
390,906 Pool 347712, 7.69% V/R, 6/1/26 406,062
4,960,766 Pool 375168, 7.13%, 6/1/04 5,183,916
6,330,292 Pool 402858, 6.50%, 12/1/27 6,302,945
5,465,410 Pool 408118, 6.50%, 1/1/28 5,441,799
4,784,342 Pool 415414, 6.50%, 2/1/28 4,761,712
8,802,334 Pool 415714, 6.00%, 4/1/28 8,540,993
4,909,965 Pool 417648, 6.00%, 2/1/13 4,857,134
---------------
TOTAL FNMA (COST $40,551,190) 40,725,447
---------------
GNMA (1.2%)
78 Pool 665, 7.50%, 5/15/01 80
1,046 Pool 2218, 6.50%, 12/15/02 1,055
4,000,000 Pool 473917, 7.00%, 4/15/28 4,067,680
---------------
TOTAL GNMA (COST $4,066,672) 4,068,815
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $48,243,005) 48,505,715
---------------
MUNICIPAL BONDS & NOTES (4.0%)
3,500,000 Denver, CO, City and County SD #1,
Educational Facilities RV, Taxable
Pension, School Facilities Lease,
AMBAC insured, 6.67%, 12/15/04 3,617,460
3,805,000 Hudson County, NJ, Import Authority
Facilities, Leasing RV, FSA insured,
7.40%, 12/1/25 4,127,436
5,220,000 Washington State, GO Bonds, State
Housing Trust Fund, Series T, 6.60%,
1/1/04 5,336,761
---------------
TOTAL MUNICIPAL BONDS & NOTES (COST $12,694,063) 13,081,657
---------------
RECEIVABLES BACKED SECURITIES (1.3%)
2,031,312 First Merchants Auto Receivables Corp.,
Series 1996-A A2, 6.70%, 7/17/00 2,043,471
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
MANAGED FIXED INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
RECEIVABLES BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
2,300,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, 11/25/10 $ 2,395,349
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $4,328,440) 4,438,820
---------------
U.S. TREASURY OBLIGATIONS (5.9%)
17,550,000 U.S. Treasury Bonds, 6.75%, 8/15/26(d)
(cost $19,228,336) 19,606,649
---------------
TIME DEPOSITS (0.8%)
2,612,517 PNC Bank, N.A. Nassau, 5.57%, due 6/1/98
(cost $2,612,517) 2,612,517
---------------
TOTAL INVESTMENTS (100.0%) (COST $325,904,053) $ 331,162,803
---------------
---------------
- -----------------------------------------------------------------
POSITIVE RETURN BOND PORTFOLIO
- -----------------------------------------------------------------
ASSET BACKED SECURITIES (1.8%)
4,000,000 Citibank Credit Card Master Trust I,
Series 1998-7 A, 5.66%, 5/15/02 (cost
$4,000,000) $ 3,998,124
---------------
U.S. TREASURY BONDS (66.6%)
65,275,000 6.00%, 2/15/26(d) 66,254,190
56,575,000 6.50%, 11/15/26(d) 61,348,572
12,875,000 6.63%, 2/15/27(d) 14,202,747
6,000,000 6.38%, 8/15/27(d) 6,435,006
---------------
TOTAL U.S. TREASURY BONDS (COST $136,892,897) 148,240,515
---------------
REPURCHASE AGREEMENTS (27.0%)
60,000,000 BancAmerica Robertson Stephens, 5.58%,
6/1/98, to be repurchased at
$60,027,900 (cost $60,000,000)(e) 60,000,000
---------------
TIME DEPOSITS (4.6%)
10,219,523 PNC Bank, N.A., Nassau, 5.66%, 6/1/98
(cost $10,219,523) 10,219,523
---------------
TOTAL INVESTMENTS (100.0%) (COST $211,112,420) $ 222,458,162
---------------
---------------
- -----------------------------------------------------------------
STRATEGIC VALUE BOND PORTFOLIO
- -----------------------------------------------------------------
ASSET BACKED SECURITIES (7.1%)
3,000,000 Aesop Funding II LLC,
Series 1998-1 A, 6.14%, 5/20/06(b) $ 2,991,564
2,000,000 Dollar Thrifty Rent A Car, 6.70%,
9/25/07 2,025,938
3,237,000 EQCC Home Equity Loan Trust, Series
1998-1 A6F, 6.25%, 12/15/07 3,217,594
2,959,110 Green Tree Financial Corp., Series
1997-7 A8, 6.86%, 9/15/16 3,021,045
2,000,000 Loop Funding Master Trust, 6.00%,
12/26/07(b) 2,000,626
2,000,000 Oakwood Mortgage Investors, Inc., Series
1995-A A3, 7.10% V/R, 9/15/20 2,073,118
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
39
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STRATEGIC VALUE BOND PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
1,330,937 Sequoia Mortgage Trust, Series 2 A1,
6.49% V/R, 10/25/24 $ 1,349,166
---------------
TOTAL ASSET BACKED SECURITIES (COST $16,562,317) 16,679,051
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (9.4%)
1,500,000 Bear Stearns Structured Securities,
Inc., Series 1997-2 1A2, 7.00%,
8/25/36 1,509,609
1,972,465 FAMC Series CS-1012 1, 7.06% V/R,
7/25/02 2,027,325
2,500,000 FHLMC Structured Pass Through
Securities, Series T-8 A4, 7.00%,
8/15/13 2,553,850
4,000,000 MLMI, Inc., Series 1997-CI A3, 7.12%,
6/18/29 4,232,380
2,000,507 RTC, Series 1992-8 B5, 6.63% V/R,
2/25/22 2,002,578
1,515,311 Vendee Mortgage Trust,
Series 1992-2 G, 7.25% V/R, 2/15/19 1,563,637
4,500,000 Vendee Mortgage Trust,
Series 1994-1 2E, 6.50%, 1/15/17 4,541,513
3,500,000 Vendee Mortgage Trust,
Series 1996-2 1E, 6.75%, 5/15/20 3,546,442
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$21,863,030) 21,977,334
---------------
CORPORATE BONDS & NOTES (41.2%)
750,000 AK Steel Corp., 9.13%, 12/15/06 794,063
1,250,000 American Standard Cos., Inc., 7.13%,
2/15/03 1,241,132
2,500,000 Applied Materials, 7.00%, 9/6/05 2,618,000
1,000,000 Atlas Air, Inc., 9.25%, 4/15/08(b) 1,003,750
1,000,000 Barrett Resources Corp., 7.55%, 2/1/07 1,044,134
2,000,000 Bausch & Lomb, Inc., 6.75%, 12/15/04 2,037,502
2,000,000 Bear Stearns Cos., Inc., 6.13%, 2/1/03 1,998,024
500,000 Chancellor Media Group, 9.38%, 10/1/04 525,000
3,000,000 Charles Schwab Corp., 6.88%, 9/2/03 3,083,865
3,000,000 Continental Airlines, 6.80%, 7/2/07 3,035,565
2,500,000 Corestates Capital Corp., 9.63%, 2/15/01 2,722,405
2,500,000 Dayton Hudson Co., 5.90%, 6/15/37 2,504,305
3,000,000 Equitable Life Assurance Society, 6.95%,
12/1/05(b) 3,097,074
2,500,000 First Bank Systems, Inc., 8.00%, 7/2/04 2,727,005
2,000,000 Genfinance Luxembourg SA, 6.34% V/R,
5/29/49 1,990,000
1,000,000 Kroger Company, 8.15%, 7/13/06 1,110,974
2,000,000 Levi Strauss & Co., 6.80%, 11/1/03(b) 2,042,202
2,000,000 Lincoln National Corp., 7.00%, 3/15/18 2,037,858
500,000 Long Island Lighting Co., 7.13%, 6/1/05 528,206
1,000,000 Mallinckrodt, Inc., 6.30%, 3/15/01(b) 1,002,403
2,500,000 Massachusetts Institute of Technology,
7.25%, 11/2/96 2,887,468
2,000,000 MedPartners, Inc., 6.88%, 9/1/00 1,879,196
1,000,000 Nabisco, Inc., 6.00%, 2/15/11 1,000,140
1,000,000 Northwest Airlines Corp., 8.38%, 3/15/04 1,034,427
2,225,000 Old Kent Financial Corp., 6.63%,
11/15/05 2,265,128
2,500,000 Oracle Corp., 6.72%, 2/15/04 2,554,100
2,000,000 Pep Boys, 6.71%, 11/3/04 2,024,282
2,500,000 Philip Morris, 7.50%, 4/1/04 2,625,695
1,400,000 Potomac Capital Investment, 7.05%,
10/2/01(b) 1,435,070
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STRATEGIC VALUE BOND PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
1,750,000 Prudential Insurance Co., 7.65%,
7/1/07(b) $ 1,887,482
1,000,000 R&B Falcon Corp., 6.75%, 4/15/05(b) 1,003,719
500,000 Randall's Food Markets, 9.38%, 7/1/07 530,000
2,000,000 Raytheon Co., 5.95%, 3/15/01 2,000,748
500,000 Regal Cinemas, Inc., 9.50%, 6/1/08 503,125
2,500,000 Reinsurance Group of America, 7.25%,
4/1/06(b) 2,632,050
2,500,000 Reliastar Financial Corp., 7.13%, 3/1/03 2,593,468
3,000,000 Royal Carribbean Cruises, 7.13%, 9/18/02 3,095,022
500,000 Sinclair Broadcast Group, 8.75%,
12/15/07 508,750
2,500,000 Susa Partnership LP, 8.20%, 6/1/17 2,764,880
1,000,000 Teekay Shipping Corp., 8.32%, 2/1/08 1,042,500
1,000,000 Tenet Healthcare Corp., 7.88%, 1/15/03 1,021,250
2,500,000 Tenneco, Inc., 10.08%, 2/1/01 2,738,265
2,500,000 Terra Nova (U.K.) Holdings, 7.20%,
8/15/07 2,624,713
1,875,000 Texas Utilities, 6.20%, 10/1/02(b) 1,885,637
1,400,000 Tommy Hilfiger, 6.50%, 6/1/03 1,401,019
1,250,000 Tricon Global Restaurants, 7.65%,
5/15/08 1,262,034
1,000,000 Triton Energy Ltd. Corp., 8.75%, 4/15/02 1,048,424
2,500,000 United Telecommunications, Inc., 9.50%,
4/1/03 2,861,265
3,500,000 Van Kampen, CLO-I, 5.97% V/R, 10/8/07 3,506,808
1,000,000 Western Financial Savings, 8.50%, 7/1/03 982,875
2,000,000 Whitman Corp., 7.29%, 9/15/26 2,134,228
2,000,000 Williams Cos., Inc., 6.13%, 2/15/02 1,996,840
---------------
TOTAL CORPORATE BONDS & NOTES (COST $96,079,372) 96,874,075
---------------
GOVERNMENT AGENCY BONDS & NOTES (4.1%)
2,250,000 FNMA, 6.85%, 4/5/04(d) 2,366,528
5,490,000 FNMA, 8.95%, 2/12/18(d) 7,295,024
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $9,227,857)
9,661,552
---------------
INVESTMENT IN LIMITED PARTNERSHIP (0.2%)
362,000 PPM America CBO II, 12/18/04 (cost
$362,000) 362,000
---------------
MORTGAGE BACKED SECURITIES (18.0%)
FNMA (9.4%)
1,976,310 Pool 73919, 6.80%, 1/1/04 2,031,321
1,984,306 Pool 375168, 7.13%, 6/1/04 2,073,567
3,000,000 Pool 380268, 6.20%, 5/2/05 3,003,750
3,461,879 Pool 402858, 6.50%, 12/1/27 3,446,923
1,987,422 Pool 408118, 6.50%, 1/1/28 1,978,836
2,491,845 Pool 415414, 6.50%, 2/1/28 2,480,058
3,996,596 Pool 415714, 6.00%, 4/1/28 3,877,930
3,142,378 Pool 417648, 6.00%, 2/1/13 3,108,566
---------------
TOTAL FNMA (COST $21,956,526) 22,000,951
---------------
GNMA (8.6%)
3,156,150 Pool 345066, 6.50%, 10/15/23 3,159,243
3,123,993 Pool 346960, 6.50%, 12/15/23 3,127,055
2,925,604 Pool 354692, 6.50%, 11/15/23 2,928,471
3,511,275 Pool 361398, 6.50%, 1/15/24 3,512,504
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
40
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STRATEGIC VALUE BOND PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
MORTGAGE BACKED SECURITIES (continued)
GNMA (continued)
<TABLE>
<C> <S> <C>
3,623,111 Pool 366641, 6.50%, 11/15/23 $ 3,626,662
3,800,000 Pool 473918, 7.00%, 4/15/28 3,864,296
---------------
TOTAL GNMA ($20,226,636) 20,218,231
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $42,183,162) 42,219,182
---------------
MUNICIPAL BONDS & NOTES (2.2%)
2,000,000 Hudson County, NJ, Import Authority
Facilities, Leasing RV, FSA Insured,
7.40%, 12/1/25 2,169,480
1,045,000 Washington State, GO Bonds, State
Housing Trust Fund, Series T, 6.60%,
1/1/03 1,070,186
2,010,000 Western Minnesota, Power Agency RV,
Series A, AMBAC Insured, 6.33%, 1/1/02 2,034,803
---------------
TOTAL MUNICIPAL BONDS & NOTES (COST $5,131,131) 5,274,469
---------------
U.S. TREASURY OBLIGATIONS (14.5%)
U.S. TREASURY BONDS (2.4%)
5,000,000 6.75%, 8/15/26(d) (cost $5,482,031) 5,585,940
---------------
U.S. TREASURY NOTES (9.1%)
5,000,000 8.50%, 2/15/00(d) 5,235,940
5,000,000 6.25%, 4/30/02(d) 5,179,690
5,000,000 7.88%, 11/15/04 5,600,005
5,000,000 7.00%, 7/15/06(d) 5,426,565
---------------
TOTAL U.S TREASURY NOTES (COST $21,385,547) 21,442,200
---------------
U.S. TREASURY STRIPS (3.0%)
10,350,000 0.00%, effective yield 5.67%, 2/15/05
(cost $7,097,068) 7,127,310
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $33,964,646) 34,155,450
---------------
TIME DEPOSITS (3.3%)
7,643,688 PNC Bank, N.A., Nassau, 5.57%, 6/1/98
(cost $7,643,688) 7,643,688
---------------
TOTAL INVESTMENTS (100.0%) (COST $233,017,203) $ 234,846,801
---------------
---------------
- -----------------------------------------------------------------
INDEX PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (97.4%)
AGRICULTURAL PRODUCTION--CROPS (0.1%)
1,620 Agribrands International, Inc.(a) $ 55,485
38,400 Pioneer Hi-Bred International, Inc.(d) 1,461,600
---------------
1,517,085
---------------
AMUSEMENT & RECREATION SERVICES (0.9%)
15,900 Harrah's Entertainment, Inc.(a) 397,500
105,800 Walt Disney Co. 11,968,625
---------------
12,366,125
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
APPAREL & ACCESSORY STORES (0.6%)
27,100 CVS Corp.(d) $ 1,902,081
600 Charming Shoppes, Inc.(a) 3,037
62,100 Gap, Inc. 3,353,400
42,800 Limited, Inc. 1,423,100
12,200 Nordstrom, Inc. 879,162
25,300 TJX Cos., Inc.(d) 1,182,775
---------------
8,743,555
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.1%)
10,400 Liz Claiborne, Inc. 527,150
19,100 V.F. Corp. 1,015,881
---------------
1,543,031
---------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.1%)
23,800 Autozone, Inc.(a)(d) 791,350
10,000 Pep Boys--Manny, Moe & Jack 222,500
---------------
1,013,850
---------------
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.0%)
12,100 Ryder System, Inc. 412,156
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE
BUILDERS (0.0%)
9,400 Centex Corp.(d) 336,050
6,000 Kaufman & Broad Home Corp.(d) 154,125
3,300 Pulte Corp.(d) 175,931
---------------
666,106
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME
DEALERS (0.8%)
114,700 Home Depot, Inc. 9,011,118
27,500 Lowe's Cos., Inc. 2,177,656
---------------
11,188,774
---------------
BUSINESS SERVICES (4.7%)
55,600 3Com Corp.(a) 1,410,850
10,700 Adobe Systems, Inc. 427,332
7,300 Autodesk, Inc. 310,250
46,900 Automatic Data Processing, Inc. 2,984,013
24,900 Cabletron Systems, Inc.(a) 320,588
127,100 Cendant Corp.(a)(d) 2,756,482
11,400 Ceridian Corp.(a) 615,600
25,500 Cognizant Corp. 1,357,875
85,600 Computer Associates International, Inc. 4,494,000
24,500 Computer Sciences Corp. 1,272,469
23,500 Equifax, Inc. 854,813
67,100 First Data Corp. 2,231,075
33,100 HBO & Co. 1,910,492
19,700 Interpublic Group of Cos., Inc. 1,168,456
381,900 Microsoft Corp.(d) 32,389,894
55,000 Novell, Inc.(a) 577,500
25,400 Omnicom Group, Inc.(d) 1,189,037
154,400 Oracle Corp.(d) 3,647,700
40,300 Parametric Technology Co.(d) 1,235,449
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
41
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUSINESS SERVICES (continued)
<TABLE>
<C> <S> <C>
4,200 Shared Medical Systems Corp. $ 305,550
59,200 Sun Microsystems, Inc.(a) 2,371,700
28,800 UST, Inc. 766,800
---------------
64,597,925
---------------
CHEMICALS & ALLIED PRODUCTS (13.0%)
119,900 Abbott Laboratories 8,895,084
18,400 Air Products & Chemicals, Inc.(d) 1,600,800
8,900 Alberto Culver Co. 264,775
10,200 Allergan, Inc. 428,400
480 Allergan Specialty Therapeutics, Inc.(a) 5,040
13,400 Alza Corp.(d) 648,225
20,700 Avon Products, Inc. 1,693,518
43,900 Baxter International, Inc. 2,510,532
155,800 Bristol-Myers Squibb Co.(d) 16,748,500
16,200 Clorox Co. 1,352,700
46,300 Colgate-Palmolive Co. 4,028,100
35,600 Dow Chemical Co. 3,448,750
177,400 E.I. du Pont de Nemours & Co. 13,659,800
12,300 Eastman Chemical Co. 824,100
20,300 Ecolab, Inc. 626,763
173,800 Eli Lilly & Co. 10,677,838
5,400 FMC Corp.(a) 412,762
11,300 Goodrich (B.F.) Co.(d) 579,125
9,400 Great Lakes Chemical Corp. 376,000
15,100 Hercules, Inc.(d) 665,344
17,200 International Flavors & Fragrances,
Inc.(d) 825,600
210,700 Johnson & Johnson 14,551,469
11,400 Mallinckrodt, Inc. 351,262
187,800 Merck & Co., Inc. 21,984,338
93,000 Monsanto Co.(d) 5,149,875
20,500 Morton International, Inc. 623,968
10,400 Nalco Chemical Co.(d) 390,000
27,900 PPG Industries, Inc.(d) 2,033,213
202,700 Pfizer, Inc. 21,245,494
79,600 Pharmacia & Upjohn, Inc.(d) 3,517,325
24,800 Praxair, Inc. 1,222,950
210,500 Procter & Gamble Co. 17,668,843
9,600 Rohm & Haas Co. 1,054,800
114,700 Schering-Plough Corp. 9,598,957
27,000 Sherwin-Williams Co. 897,750
19,200 Union Carbide Corp.(d) 958,800
11,600 W.R. Grace & Co.(a) 215,325
128,100 Warner-Lambert Co. 8,174,381
---------------
179,910,506
---------------
COMMUNICATIONS (7.4%)
254,500 AT&T Corp.(d) 15,492,688
88,500 Airtouch Communications, Inc.(a)(d) 4,214,813
28,800 Alltel Corp.(d) 1,135,800
169,900 Ameritech Corp. 7,210,131
121,700 Bell Atlantic Corp.(d) 11,150,762
155,400 BellSouth Corp. 10,023,300
19,200 Clear Channel Communications, Inc.(a)(d) 1,840,800
54,700 Comcast Corp., Class A(d) 1,875,188
<CAPTION>
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AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
COMMUNICATIONS (continued)
<TABLE>
<C> <S> <C>
25,800 Frontier Corp.(d) $ 785,287
150,100 GTE Corp. 8,752,706
11,500 King World Productions, Inc.(a) 293,250
109,200 MCI Communications Corp. 5,838,793
41,300 Nextel Communications, Inc.(a)(d) 973,131
287,300 SBC Communications, Inc.(d) 11,168,787
67,300 Sprint Corp.(d) 4,828,775
79,500 Tele-Communications, Inc.(a)(d) 2,727,843
75,700 US West Communications Group(d) 3,841,775
95,100 US West Media Group(a)(d) 3,524,644
158,700 WorldCom, Inc.(a)(d) 7,220,850
---------------
102,899,323
---------------
DEPOSITORY INSTITUTIONS (8.8%)
22,400 BB&T Corp.(d) 1,482,600
101,200 Banc One Corp.(d) 5,578,650
59,000 Bank of New York Co., Inc. 3,606,375
108,700 BankAmerica Corp. 8,988,131
22,800 BankBoston Corp. 2,402,550
15,300 Bankers Trust New York Corp.(d) 1,889,550
66,100 Chase Manhattan Corp. 8,985,469
71,600 Citicorp(d) 10,677,350
24,750 Comerica, Inc. 1,627,312
36,450 Fifth Third Bancorp(d) 1,795,163
45,600 First Chicago NBD Corp. 3,987,150
151,620 First Union Corp. 8,386,481
41,900 Fleet Financial Group, Inc. 3,435,800
8,900 Golden West Financial Corp. 961,200
17,300 H. F. Ahmanson & Co. 1,319,125
30,000 Huntington Bancshares, Inc. 982,500
27,800 J.P. Morgan & Co., Inc. 3,452,413
68,800 KeyCorp(d) 2,610,100
39,900 Mellon Bank Corp. 2,690,757
20,600 Mercantile Bancorp.(d) 1,053,175
51,600 National City Corp. 3,495,900
147,400 NationsBank Corp.(d) 11,165,550
17,500 Northern Trust Corp. 1,234,298
118,400 Norwest Corp.(c)(d) 4,602,800
47,800 PNC Bank Corp. 2,760,450
8,500 Republic New York Corp.(d) 1,091,718
25,300 State Street Corp. 1,744,118
27,600 Summit Bancorp 1,383,450
33,000 Suntrust Banks, Inc.(d) 2,607,000
41,250 Synovus Financial Corp. 925,547
115,500 U.S. Bancorp 4,518,937
32,200 Wachovia Corp. 2,578,013
40,400 Washington Mutual, Inc.(d) 2,853,250
13,600 Wells Fargo & Co.(d) 4,916,400
---------------
121,789,282
---------------
EATING & DRINKING PLACES (0.7%)
23,300 Darden Restaurants, Inc. 359,694
39,900 Marriott International, Inc., Class A 1,386,525
108,100 McDonald's Corp. 7,094,062
23,700 Tricon Global Restaurants, Inc.(a) 736,182
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
42
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
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- -----------------------------------------------------------------
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- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
EATING & DRINKING PLACES (continued)
<TABLE>
<C> <S> <C>
20,800 Wendy's International, Inc.(d) $ 513,500
---------------
10,089,963
---------------
ELECTRIC, GAS & SANITARY SERVICES (3.2%)
21,500 Ameren Corp.(d) 841,188
29,700 American Electric Power Co. 1,347,638
23,100 Baltimore Gas & Electric Co. 703,106
30,500 Browning-Ferris Industries(d) 1,084,657
24,800 CINergy Corp. 801,350
23,500 Carolina Power & Light Co. 963,500
33,200 Central & Southwest Corp. 877,725
16,600 Coastal Corp.(d) 1,170,300
8,700 Columbia Energy Group 734,063
36,800 Consolidated Edison Co. 1,575,500
15,000 Consolidated Natural Gas Co.(d) 848,437
22,800 DTE Energy Co.(d) 902,025
30,400 Dominion Resources, Inc. 1,206,500
56,500 Duke Energy Corp.(d) 3,255,813
3,200 Eastern Enterprises 128,400
59,700 Edison International(d) 1,761,150
51,500 Enron Corp.(d) 2,581,437
38,300 Entergy Corp.(d) 1,007,768
28,500 FPL Group, Inc.(d) 1,750,968
36,100 FirstEnergy Corp. 1,071,719
19,900 GPU, Inc. 766,150
44,300 Houston Industries, Inc. 1,268,088
51,600 Laidlaw, Inc. 638,550
22,600 Niagara Mohawk Power Corp.(a) 279,675
7,600 Nicor, Inc. 293,550
11,800 Northern States Power Co. 671,125
4,900 Oneok, Inc. 191,407
26,000 PP&L Resources, Inc. 575,250
46,400 PacifiCorp 1,070,100
13,100 Pacific Enterprises 498,618
59,700 Pacific Gas & Electric Co.(d) 1,880,550
34,800 Peco Energy Co. 983,100
5,500 People's Energy Corp. 202,813
36,300 Public Service Enterprise Group, Inc.(d) 1,200,168
17,000 Sonat, Inc. 666,188
108,200 Southern Co.(d) 2,874,062
38,700 Texas Utilities Co. 1,528,650
71,400 Waste Management, Inc. 2,320,500
64,300 Williams Cos., Inc.(d) 2,085,731
---------------
44,607,519
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (7.6%)
34,500 AMP, Inc. 1,311,000
22,300 Advanced Micro Devices, Inc.(a)(d) 434,850
4,500 Aeroquip-Vickers, Inc.(d) 277,875
13,800 Andrew Corp.(a)(d) 303,170
18,900 Cooper Industries, Inc. 1,216,687
18,400 DSC Communications Corp.(a) 314,525
69,600 Emerson Electric Co. 4,228,200
512,900 General Electric Co. 42,763,037
<CAPTION>
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<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
23,200 General Instrument Corp.(a) $ 552,450
12,500 Harris Corp.(d) 602,343
256,400 Intel Corp. 18,316,575
22,200 LSI Logic Corp.(a) 473,138
204,000 Lucent Technologies, Inc. 14,471,250
14,900 Maytag Corp.(d) 751,518
33,200 Micron Technology, Inc.(a)(d) 782,275
93,500 Motorola, Inc. 4,949,657
25,800 National Semiconductor Corp.(a) 419,250
6,800 National Service Industries 346,800
81,700 Northern Telecom Ltd.(d) 5,228,800
13,300 Raychem Corp. 500,412
12,400 Scientific-Atlanta, Inc. 273,575
28,400 Tellabs, Inc.(a)(d) 1,951,614
61,200 Texas Instruments, Inc. 3,144,150
8,600 Thomas & Betts Corp. 459,563
11,800 Whirlpool Corp. 806,087
---------------
104,878,801
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.1%)
26,700 Dun & Bradstreet Corp. 901,125
7,200 EG&G, Inc. 226,800
---------------
1,127,925
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(1.1%)
4,700 Ball Corp. 185,356
7,300 Crane Co. 384,618
20,200 Crown Cork & Seal Co., Inc.(d) 1,047,875
26,900 Fortune Brands, Inc. 1,033,968
87,800 Gillette Co. 10,283,575
17,400 Parker-Hannifin Corp. 714,487
9,600 Snap-On, Inc. 421,200
13,900 Stanley Works 660,250
---------------
14,731,329
---------------
FOOD STORES (0.4%)
38,500 Albertson's, Inc. 1,783,032
42,900 American Stores Co. 1,069,818
9,500 Giant Food, Inc., Class A 408,500
6,000 Great Atlantic & Pacific Tea Co. 192,000
39,900 Kroger Co.(a) 1,713,207
23,300 Winn-Dixie Stores, Inc. 948,018
---------------
6,114,575
---------------
FOOD & KINDRED PRODUCTS (6.0%)
5,800 Adolph Coors Co. 217,500
76,800 Anheuser-Busch Cos., Inc. 3,528,000
89,700 Archer Daniels Midland Co.(d) 1,693,088
45,200 Bestfoods, Inc. 2,550,975
10,800 Brown-Forman Corp. 622,350
71,600 Campbell Soup Co.(d) 3,902,200
387,600 Coca-Cola Co. 30,378,150
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
43
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
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- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
FOOD & KINDRED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
74,600 Conagra, Inc.(d) $ 2,182,050
24,900 General Mills, Inc.(d) 1,699,425
57,300 Heinz (H.J.) Co.(d) 3,040,482
22,400 Hershey Foods Corp. 1,551,200
64,400 Kellogg Co.(d) 2,660,525
237,700 PepsiCo, Inc. 9,701,132
21,700 Quaker Oats Co. 1,251,818
16,800 Ralston-Ralston Purina Group 1,870,050
74,200 Sara Lee Corp.(d) 4,368,525
55,900 Seagram Co. Ltd.(d) 2,456,106
100,400 Unilever N.V.(d) 7,925,325
18,200 Wrigley (Wm) Jr. Co. 1,751,750
---------------
83,350,651
---------------
FURNITURE & FIXTURES (0.1%)
25,900 Masco Corp.(d) 1,456,875
---------------
GENERAL MERCHANDISE STORES (2.7%)
16,900 Consolidated Stores Corp. 645,369
68,600 Dayton Hudson Corp. 3,181,325
17,400 Dillards, Inc.(d) 731,888
32,900 Federated Department Stores, Inc.(a)(d) 1,704,631
11,100 Harcourt General, Inc. 604,950
39,200 J.C. Penney Co., Inc. 2,815,050
76,600 KMart Corp.(a)(d) 1,484,125
36,300 May Department Stores Co. 2,334,544
5,700 Mercantile Stores Co., Inc. 448,162
61,500 Sears, Roebuck & Co. 3,801,468
352,200 Wal-Mart Stores, Inc.(d) 19,437,038
21,200 Woolworth Corp.(a)(d) 418,700
---------------
37,607,250
---------------
HEALTH SERVICES (0.5%)
101,500 Columbia/HCA Healthcare Corp.(d) 3,317,782
61,700 HEALTHSOUTH Corp.(a)(d) 1,750,738
10,000 Manor Care, Inc. 315,625
48,100 Tenet Healthcare Corp.(a) 1,683,500
---------------
7,067,645
---------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-- CONTRACTORS (0.2%)
13,100 Fluor Corp. 624,707
6,300 Foster Wheeler Corp. 159,863
41,100 Halliburton Co.(d) 1,947,112
---------------
2,731,682
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.1%)
29,500 Conseco, Inc.(d) 1,375,437
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (0.0%)
15,500 Circuit City Stores 656,813
---------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (0.1%)
39,200 Hilton Hotels Corp.(d) 1,232,350
<CAPTION>
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AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (continued)
<TABLE>
<C> <S> <C>
28,100 Mirage Resorts, Inc.(a) $ 584,831
---------------
1,817,181
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.5%)
20,800 Apple Computer, Inc.(a)(d) 553,800
57,400 Applied Materials, Inc. 1,836,800
26,600 Baker Hughes, Inc. 957,600
34,400 Bay Networks, Inc.(a) 952,450
14,900 Black & Decker Corp. 869,788
3,800 Briggs & Stratton Corp. 172,425
15,700 Brunswick Corp. 493,568
11,900 Case Corp.(d) 688,713
58,400 Caterpillar, Inc.(d) 3,208,350
6,200 Cincinnati Milacron, Inc. 185,613
159,600 Cisco Systems, Inc. 12,069,750
237,300 Compaq Computer Corp.(d) 6,481,257
5,900 Cummins Engine Co., Inc. 306,800
7,600 Data General Corp.(a) 115,900
39,100 Deere & Co. 2,028,312
102,300 Dell Computer Corp.(d) 8,430,165
23,000 Digital Equipment Corp.(a) 1,262,125
34,800 Dover Corp.(d) 1,305,000
27,600 Dresser Industries, Inc. 1,285,125
77,700 EMC Corp.(a)(d) 3,219,694
23,700 Gateway 2000, Inc.(d) 1,067,981
6,800 General Signal Corp. 279,650
7,500 Harnischfeger Industries, Inc. 236,250
163,100 Hewlett-Packard Co. 10,132,588
152,400 IBM Corp.(d) 17,887,950
26,000 Ingersoll-Rand Co.(d) 1,171,625
9,400 McDermott International, Inc. 358,962
19,600 Pall Corp.(d) 388,325
45,400 Pitney Bowes, Inc. 2,133,800
38,000 Seagate Technology Inc.(a) 878,750
29,400 Silicon Graphics, Inc.(a) 352,800
16,200 Tandy Corp. 716,850
26,600 Tenneco, Inc. 1,107,225
9,900 Timken Co. 372,488
89,800 Tyco International Ltd.(d) 4,972,675
39,100 Unisys Corp.(a)(d) 957,950
---------------
89,439,104
---------------
INSURANCE AGENTS, BROKERS & SERVICES (0.4%)
26,300 Aon Corp. 1,684,844
25,700 Humana, Inc.(a) 798,307
26,600 Marsh & McLennan Cos., Inc. 2,329,162
---------------
4,812,313
---------------
INSURANCE CARRIERS (4.5%)
23,300 Aetna Life & Casualty, Inc. 1,821,768
67,200 Allstate Corp. 6,325,200
39,800 American General Corp. 2,671,575
109,901 American International Group, Inc. 13,606,994
34,800 CIGNA Corp.(d) 2,383,800
26,600 Chubb Corp. 2,116,362
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
44
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
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<TABLE>
<CAPTION>
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<C> <S> <C>
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- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INSURANCE CARRIERS (continued)
<TABLE>
<C> <S> <C>
25,800 Cincinnati Financial Corp. $ 1,083,600
12,300 General Re Corp.(d) 2,704,463
18,500 Hartford Financial Services Group(d) 2,036,157
16,500 Jefferson-Pilot Corp. 944,625
16,000 Lincoln National Corp.(d) 1,438,000
18,000 Loews Corp. 1,633,500
15,400 MBIA, Inc. 1,148,262
17,900 MGIC Investment Corp.(d) 1,072,881
11,300 Progressive Corp.(d) 1,557,988
14,900 Providian Financial Corp. 948,012
22,200 Safeco Corp.(d) 1,032,300
36,186 St. Paul Cos., Inc.(d) 1,605,753
30,600 SunAmerica, Inc.(d) 1,487,925
21,900 Torchmark Corp.(d) 938,963
179,600 Travelers Group, Inc.(d) 10,955,600
29,500 United Healthcare Corp. 1,888,000
21,700 Unum Corp. 1,205,706
---------------
62,607,434
---------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.0%)
17,200 Louisiana-Pacific Corp. 342,926
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (2.0%)
8,900 Bard (C.R.), Inc. 308,719
8,600 Bausch & Lomb, Inc.(d) 428,388
19,100 Becton, Dickinson & Co. 1,351,325
17,600 Biomet, Inc.(d) 508,200
30,500 Boston Scientific Corp.(a) 1,944,375
50,900 Eastman Kodak Co. 3,632,988
23,600 Guidant Corp.(d) 1,520,725
19,900 Honeywell, Inc. 1,670,357
13,200 Johnson Controls, Inc.(d) 785,400
13,200 KLA-Tencor Corp.(a)(d) 447,150
73,500 Medtronic, Inc. 4,088,438
6,900 Millipore Corp. 230,287
7,600 Perkin-Elmer Corp.(d) 520,600
7,100 Polaroid Corp.(d) 287,994
2,100 Raytheon Co., Class A 111,956
51,100 Raytheon Co., Class B(d) 2,794,531
13,100 St. Jude Medical, Inc.(a)(d) 468,325
7,900 Tektronix, Inc. 302,175
24,900 Thermo Electron Corp.(a)(d) 874,613
11,900 U.S. Surgical Corp. 473,025
51,100 Xerox Corp.(d) 5,250,525
---------------
28,000,096
---------------
METAL MINING (0.3%)
58,400 Barrick Gold Corp.(d) 1,124,200
36,000 Battle Mountain Gold Co. 191,250
14,700 Cyprus Amax Minerals Co. 233,362
30,400 Freeport McMoran, Inc., Class B 509,200
33,100 Homestake Mining Co.(d) 359,962
24,500 Newmont Mining Corp.(d) 610,968
<CAPTION>
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AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
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- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
METAL MINING (continued)
<TABLE>
<C> <S> <C>
38,800 Placer Dome, Inc.(d) $ 482,575
---------------
3,511,517
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.3%)
20,900 Hasbro, Inc. 799,425
18,500 ITT Industries, Inc. 682,188
6,000 Jostens, Inc. 151,500
45,600 Mattel, Inc.(d) 1,727,100
1,200 NACCO Industries, Inc. 175,800
---------------
3,536,013
---------------
MISCELLANEOUS RETAIL (0.5%)
33,600 Costco Cos., Inc.(a)(d) 1,944,600
6,000 Longs Drug Stores, Inc. 181,875
40,500 Rite Aid Corp.(d) 1,450,406
44,500 Toys "R" Us, Inc.(a)(d) 1,179,250
77,700 Walgreen Co.(d) 2,734,068
---------------
7,490,199
---------------
MOTION PICTURES (0.1%)
34,000 Unicom Corp. 1,168,750
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.6%)
72,800 American Express Co. 7,471,100
62,998 Associates First Capital Corp.(d) 4,713,038
8,300 Beneficial Corp. 1,112,200
17,100 Countrywide Credit Industries, Inc. 790,875
108,900 FHLMC 4,954,950
166,200 FNMA 9,951,225
21,300 Green Tree Financial Corp.(d) 855,994
16,700 Household International, Inc.(d) 2,259,718
78,600 MBNA Corp.(d) 2,490,637
9,800 Transamerica Corp. 1,127,000
---------------
35,726,737
---------------
OIL & GAS EXTRACTION (0.9%)
9,400 Anadarko Petroleum Corp. 620,400
14,900 Apache Corp. 509,394
27,700 Burlington Resources, Inc. 1,166,863
7,900 Helmerich & Payne, Inc. 199,475
53,200 Occidental Petroleum Corp.(d) 1,469,650
16,600 Oryx Energy Co.(a) 386,988
13,500 Rowan Cos., Inc.(a) 345,093
78,000 Schlumberger, Ltd. 6,088,875
39,700 Union Pacific Resources Group, Inc.(d) 803,925
8,500 Western Atlas, Inc. 735,781
---------------
12,326,444
---------------
PAPER & ALLIED PRODUCTS (1.6%)
16,100 Avery Dennison Corp. 834,182
8,300 Bemis Co., Inc.(d) 350,157
8,800 Boise Cascade Corp. 293,700
15,000 Champion International Corp. 720,000
32,700 Fort James Corp.(d) 1,563,469
14,500 Georgia-Pacific Group(d) 930,718
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
45
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PAPER & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
21,100 IKON Office Solutions, Inc. $ 447,057
47,400 International Paper Co.(d) 2,180,400
87,200 Kimberly-Clark Corp.(d) 4,321,850
16,400 Mead Corp. 510,450
64,000 Minnesota Mining & Manufacturing Co. 5,928,000
15,500 Stone Container Corp.(a) 275,125
8,800 Temple-Inland, Inc. 517,000
10,900 Union Camp Corp. 596,093
16,000 Westvaco Corp. 456,000
31,300 Weyerhaeuser Co.(d) 1,590,432
17,500 Willamette Industries, Inc. 600,468
---------------
22,115,101
---------------
PERSONAL SERVICES (0.2%)
16,400 H&R Block, Inc. 721,600
39,500 Service Corp. International 1,614,563
---------------
2,336,163
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (6.3%)
14,400 Amerada Hess Corp.(d) 778,500
152,400 Amoco Corp.(d) 6,372,225
11,800 Ashland, Inc. 588,525
50,200 Atlantic Richfield Co. 3,959,525
103,000 Chevron Corp. 8,227,125
386,500 Exxon Corp. 27,248,250
7,500 Kerr-McGee Corp. 474,375
123,000 Mobil Corp. 9,594,000
7,500 Pennzoil Co. 433,594
41,200 Phillips Petroleum Co. 2,062,575
336,000 Royal Dutch Petroleum Co.(d) 18,837,000
14,800 Sun Co., Inc. 629,000
85,800 Texaco, Inc. 4,954,950
45,100 USX-Marathon Group, Inc. 1,578,500
38,700 Unocal Corp. 1,378,688
---------------
87,116,832
---------------
PHARMACEUTICAL PREPARATIONS (0.9%)
203,600 American Home Products Corp. 9,836,425
41,200 Amgen, Inc.(a)(d) 2,492,600
---------------
12,329,025
---------------
PRIMARY METAL INDUSTRIES (0.6%)
35,600 Alcan Aluminum Ltd. 1,014,600
30,600 Allegheny Teledyne, Inc.(d) 711,450
27,000 Aluminum Co. of America 1,873,125
17,000 Armco, Inc.(a) 92,438
6,200 Asarco, Inc. 140,663
20,100 Bethlehem Steel Corp.(a) 246,225
22,700 Engelhard Corp. 472,443
26,200 Inco Ltd. 376,625
7,700 Inland Steel Industries, Inc. 220,413
13,700 Nucor Corp.(d) 705,550
9,300 Phelps Dodge Corp.(d) 567,300
11,600 Reynolds Metals Co. 672,800
13,500 USX-US Steel Group, Inc.(d) 484,312
<CAPTION>
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AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
15,200 Worthington Industries, Inc. $ 267,900
---------------
7,845,844
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (1.6%)
11,400 American Greetings Corp. 541,500
12,800 Deluxe Corp. 429,600
15,100 Dow Jones & Co., Inc. 726,688
44,400 Gannett Co., Inc. 2,927,625
13,200 Knight-Ridder, Inc. 753,225
15,500 McGraw-Hill Cos., Inc. 1,211,907
8,300 Meredith Corp. 329,925
13,900 Moore Corp. Ltd.(d) 201,550
15,000 New York Times Co. 1,057,500
22,900 R.R. Donnelley & Sons Co.(d) 1,030,500
90,700 Time Warner, Inc.(d) 7,057,593
13,800 Times Mirror Co.(d) 883,200
19,200 Tribune Co. 1,284,000
55,300 Viacom, Inc., Class B(a)(d) 3,041,500
---------------
21,476,313
---------------
RAILROAD TRANSPORTATION (0.6%)
24,500 Burlington Northern Santa Fe Corp.(d) 2,437,750
34,200 CSX Corp. 1,628,775
59,100 Norfolk Southern Corp. 1,850,568
38,800 Union Pacific Corp. 1,876,950
---------------
7,794,043
---------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.7%)
6,300 Armstrong World Industries(d) 529,988
12,400 Cooper Tire & Rubber Co. 293,725
24,500 Goodyear Tire & Rubber Co.(d) 1,760,938
39,100 Illinois Tool Works, Inc.(d) 2,580,600
45,600 Nike, Inc., Class B(d) 2,097,600
8,800 Reebok International Ltd.(a) 253,000
23,400 Rubbermaid, Inc. 763,425
13,012 Sealed Air Corp.(a)(d) 696,143
9,600 Tupperware Corp. 259,200
---------------
9,234,619
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (1.2%)
41,600 Charles Schwab Corp. 1,372,800
39,600 Franklin Resources, Inc. 1,935,450
16,000 Lehman Brothers Holding, Inc. 1,135,000
52,200 Merrill Lynch & Co., Inc. 4,671,900
92,900 Morgan Stanley, Dean Witter & Co. 7,252,006
---------------
16,367,156
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (0.3%)
36,200 Corning, Inc.(d) 1,427,638
25,000 Newell Co.(d) 1,206,250
8,400 Owens Corning(d) 315,000
22,100 Owens-Illinois, Inc.(a)(d) 993,118
---------------
3,942,006
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
46
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
TEXTILE MILL PRODUCTS (0.1%)
11,500 Fruit of the Loom, Inc.(a) $ 413,282
5,700 Russell Corp.(d) 155,325
3,200 Springs Industries, Inc., Class A 179,600
---------------
748,207
---------------
TOBACCO PRODUCTS (1.0%)
380,000 Philip Morris Cos., Inc. 14,202,500
---------------
TRANSPORTATION BY AIR (0.5%)
14,300 AMR Corp.(a) 2,201,307
11,800 Delta Airlines, Inc.(d) 1,357,000
23,000 FDX Corp.(a) 1,474,875
34,600 Southwest Airlines Co. 923,387
14,300 U.S. Air Group, Inc.(a) 1,001,000
---------------
6,957,569
---------------
TRANSPORTATION EQUIPMENT (3.7%)
88,400 Allied-Signal, Inc.(d) 3,779,100
156,700 Boeing Co.(d) 7,462,838
101,700 Chrysler Corp.(d) 5,657,062
16,500 Dana Corp.(d) 860,062
11,300 Eaton Corp. 1,014,881
9,900 Echlin, Inc. 470,250
5,700 Fleetwood Enterprises, Inc. 228,000
188,100 Ford Motor Co.(d) 9,757,687
19,800 General Dynamics Corp. 879,862
110,900 General Motors Corp.(d) 7,977,868
30,500 Lockheed Martin Corp.(d) 3,423,625
11,300 Navistar International Corp.(a) 341,118
10,400 Northrop Grumman Corp. 1,114,750
12,200 Paccar, Inc.(d) 673,669
31,500 Rockwell International Corp.(d) 1,732,500
19,200 TRW, Inc.(d) 1,028,400
25,800 Textron, Inc. 1,914,037
36,500 United Technologies Corp. 3,431,000
---------------
51,746,709
---------------
WHOLESALE TRADE--DURABLE GOODS (0.4%)
111,500 CBS Corp.(d) 3,540,125
28,000 Genuine Parts Co. 950,250
7,800 Grainger (W.W.), Inc. 823,387
4,600 Potlatch Corp. 201,537
---------------
5,515,299
---------------
WHOLESALE TRADE--NONDURABLE GOODS (0.3%)
17,200 Cardinal Health, Inc.(d) 1,532,950
15,800 Sigma Aldrich 576,700
9,500 Supervalu, Inc. 397,812
53,300 Sysco Corp. 1,242,556
---------------
3,750,018
---------------
TOTAL COMMON STOCKS
(COST $823,650,158) 1,346,700,301
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
CORPORATE NOTE (0.1%)
2,000,000 NationsBank Corp., 5.81% V/R, 7/1/04
(cost $1,987,556) $ 1,995,028
---------------
PREFERRED STOCK (0.0%)
5,320 Sealed Air Corp., 12/31/49 (cost
$269,502)(a) 296,257
---------------
TIME DEPOSITS (2.4%)
17,000,000 Erste Bank der Oeste, 5.69%, 6/1/98 17,000,000
1,525,381 PNC Bank N.A. Nassau, 5.66%, 6/1/98 1,525,381
15,000,000 Union Bank of Switzerland, 5.69%, 6/1/98 15,000,000
---------------
TOTAL TIME DEPOSITS
(COST $33,525,381) 33,525,381
---------------
U.S. TREASURY BILLS (0.1%)
1,410,000 U.S. Treasury Bills, 5.11% yield,
4/29/99(f) (cost $1,343,497) 1,343,552
---------------
TOTAL INVESTMENTS (100.0%) (COST $860,776,094) $ 1,383,860,519
---------------
---------------
FINANCIAL FUTURES CONTRACTS (0.0%)
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
POSITION CONTRACTS INDEX GAIN (LOSS)
- --------- ------------- ----------------------------------- -------------
<S> <C> <C> <C>
Long 13 S&P 500 Futures,
Expiring June 19, 1998
(notional value $3,545,100) $ 433,150
Long 106 S&P 500 Futures,
Expiring September 18, 1998
(notional value $29,221,550) (16,125)
-------------
$ 417,025
-------------
-------------
</TABLE>
- -------------------------------------------------------------
INCOME EQUITY PORTFOLIO
- -------------------------------------------------------------
COMMON STOCKS (97.7%)
BUSINESS SERVICES (1.6%)
608,900 Cognizant $ 32,423,926
Corp.
---------------
CHEMICALS & ALLIED PRODUCTS (5.2%)
845,200 E.I. du Pont 65,080,400
de Nemours
& Co.(d)
1,242,000 Morton 37,803,375
International,
Inc.
---------------
102,883,775
---------------
COMMUNICATIONS (5.7%)
1,113,200 AT&T Corp.(d) 67,766,050
782,600 GTE Corp. 45,635,362
---------------
113,401,412
---------------
DEPOSITORY INSTITUTIONS (4.8%)
424,450 J.P. Morgan & 52,711,384
Co.,
Inc.(d)
1,067,850 U.S. Bancorp 41,779,631
---------------
94,491,015
---------------
EATING & DRINKING PLACES (2.0%)
602,750 McDonald's 39,555,468
Corp.
---------------
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
47
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INCOME EQUITY PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
ELECTRIC, GAS, & SANITARY SERVICES (6.9%)
493,000 Consolidated Natural Gas Co.(d) $ 27,885,312
740,600 Pacific Gas & Electric Co.(d) 23,328,900
604,100 Public Service Enterprise Group, Inc. 19,973,056
876,350 Texas Utilities Co.(d) 34,615,825
937,700 Waste Management, Inc.(d) 30,475,250
---------------
136,278,343
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (12.1%)
1,588,800 AMP, Inc.(d) 60,374,400
513,200 Emerson Electric Co. 31,176,900
536,600 General Electric Co. 44,739,025
567,600 Honeywell, Inc. 47,642,928
783,146 Lucent Technologies, Inc.(d) 55,554,419
---------------
239,487,672
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED
SERVICES (2.7%)
1,563,600 Dun & Bradstreet Corp. 52,771,501
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(3.0%)
1,536,600 Fortune Brands, Inc. 59,063,062
---------------
FOOD & KINDRED PRODUCTS (7.8%)
1,365,640 PepsiCo, Inc.(d) 55,735,182
554,800 Procter & Gamble Co.(d) 46,568,525
877,250 Sara Lee Corp.(d) 51,648,093
---------------
153,951,800
---------------
GENERAL MERCHANDISE STORES (8.0%)
965,800 Dayton Hudson Corp. 44,788,975
538,400 J.C. Penney Co., Inc. 38,663,850
729,500 May Department Stores Co. 46,915,968
473,830 Sears, Roebuck & Co.(d) 29,288,616
---------------
159,657,409
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.3%)
1,051,800 Hewlett-Packard Co. 65,343,075
---------------
INSURANCE CARRIERS (2.3%)
686,750 American General Corp.(d) 46,098,093
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (2.0%)
544,050 Eastman Kodak Co.(d) 38,831,568
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (4.9%)
412,300 American Express Co. 42,312,287
470,900 Transamerica Corp. 54,153,500
---------------
96,465,787
---------------
OIL & GAS EXTRACTION (1.5%)
395,100 Schlumberger Ltd.(d) 30,842,493
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INCOME EQUITY PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
PAPER & ALLIED PRODUCTS (2.1%)
452,150 Minnesota Mining & Manufacturing Co.(d) $ 41,880,393
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (8.3%)
538,200 Atlantic Richfield Co. 42,450,525
458,750 Chevron Corp.(d) 36,642,656
524,700 Exxon Corp.(d) 36,991,350
301,500 Mobil Corp.(d) 23,517,000
440,600 Royal Dutch Petroleum Co. ADR(d) 24,701,137
---------------
164,302,668
---------------
PHARMACEUTICAL PREPARATIONS (8.6%)
922,900 American Home Products Corp.(d) 44,587,606
520,750 Johnson & Johnson(d) 35,964,296
287,400 Merck & Co., Inc.(d) 33,643,762
530,400 Pfizer, Inc. 55,592,550
---------------
169,788,214
---------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.0%)
581,800 Deluxe Corp. 19,526,662
---------------
TOBACCO PRODUCTS (2.2%)
1,144,450 Philip Morris Cos., Inc. 42,773,818
---------------
TRANSPORTATION EQUIPMENT (1.7%)
369,300 United Technologies Corp.(d) 34,714,209
---------------
TOTAL COMMON STOCKS
(COST $1,136,096,524) 1,934,532,363
---------------
TIME DEPOSITS (2.3%)
45,011,190 PNC Bank, N.A. Nassau, 5.66%, 6/1/98
(cost $45,011,190) 45,011,190
---------------
TOTAL INVESTMENTS (100.0%) (COST $1,181,107,714) $ 1,979,543,553
---------------
---------------
- -----------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (97.4%)
APPAREL & ACCESSORY STORES (2.5%)
74,600 Ross Stores, Inc. $ 3,291,726
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(3.3%)
63,200 Tommy Hilfiger Corp.(d) 4,250,201
---------------
BUSINESS SERVICES (7.7%)
79,300 BMC Software, Inc.(a)(d) 3,652,758
92,830 Cadence Design Systems, Inc.(d) 3,272,258
60,690 Robert Half International, Inc.(a) 3,072,431
---------------
9,997,447
---------------
CHEMICALS & ALLIED PRODUCTS (2.2%)
106,530 Solutia, Inc. 2,922,916
---------------
COMMUNICATIONS (4.7%)
49,900 AT&T Corp.(d) 3,037,663
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
48
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
COMMUNICATIONS (continued)
<TABLE>
<C> <S> <C>
48,000 BellSouth Corp. $ 3,096,000
---------------
6,133,663
---------------
DOMESTIC DEPOSITORY INSTITUTIONS (4.5%)
45,715 Comerica, Inc. 3,005,761
100,350 Dime Bancorp, Inc. 2,928,965
---------------
5,934,726
---------------
EATING & DRINKING PLACES (2.3%)
195,750 Darden Restaurants, Inc. 3,021,890
---------------
ELECTRIC, GAS & SANITARY SERVICES (2.2%)
76,230 GPU, Inc. 2,934,855
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (3.4%)
62,000 Lucent Technologies, Inc. 4,398,125
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (2.3%)
62,090 Halliburton Co.(d) 2,941,514
---------------
FOOD & KINDRED PRODUCTS (2.3%)
91,380 Interstate Bakeries Corp.(d) 2,947,006
---------------
FURNITURE & FIXTURES (2.2%)
105,600 Herman Miller, Inc. 2,923,800
---------------
GENERAL MERCHANDISE STORES (6.0%)
84,400 Dayton Hudson Corp. 3,914,064
83,100 TJX Cos., Inc.(d) 3,884,925
---------------
7,798,989
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (9.8%)
54,670 Caterpillar, Inc. 3,003,433
75,850 EMC Corp.(a)(d) 3,143,035
68,930 Lexmark International Group, Inc.(a) 3,825,615
46,420 Sundstrand Corp. 2,878,040
---------------
12,850,123
---------------
INSURANCE CARRIERS (2.4%)
65,490 SunAmerica, Inc.(d) 3,184,451
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (1.9%)
71,780 SCI Systems, Inc.(a)(d) 2,449,492
---------------
MISCELLANEOUS RETAIL (2.6%)
58,700 Costco Cos., Inc.(a) 3,397,262
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.1%)
69,790 SLM Holding Corp.(d) 2,787,238
---------------
PAPER & ALLIED PRODUCTS (2.2%)
56,900 Bowater, Inc.(d) 2,880,562
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (4.7%)
42,500 Exxon Corp. 2,996,250
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PETROLEUM REFINING & RELATED INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
74,790 Sun Co., Inc. $ 3,178,575
---------------
6,174,825
---------------
PHARMACEUTICAL PREPARATIONS (5.5%)
73,000 Watson Pharmaceuticals, Inc. 3,193,751
47,400 Schering-Plough Corp. 3,966,787
---------------
7,160,538
---------------
PRIMARY METAL INDUSTRIES (2.3%)
83,430 USX-U.S. Steel Group, Inc.(d) 2,993,051
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (4.7%)
46,530 Gannett Co., Inc. 3,068,071
48,900 Times Mirror Co. 3,129,600
---------------
6,197,671
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICE (2.3%)
55,950 Bear Stearns Cos., Inc. 3,035,287
---------------
TRANSPORTATION BY AIR (2.2%)
35,710 UAL Corp.(a)(d) 2,836,713
---------------
TRANSPORTATION EQUIPMENT (4.5%)
70,090 General Dynamics Corp.(d) 3,114,624
50,900 Paccar, Inc.(d) 2,810,636
---------------
5,925,260
---------------
WATER TRANSPORTATION (2.4%)
44,900 Royal Caribbean Cruises Ltd.(d) 3,128,970
---------------
WHOLESALE TRADE--NONDURABLE GOODS (2.2%)
75,800 Universal Corp. 2,847,237
---------------
TOTAL COMMON STOCKS (COST $116,173,375) 127,345,538
---------------
TIME DEPOSITS (2.6%)
3,434,844 PNC Bank, N.A. Nassau, 5.57%, 6/1/98
(cost $3,434,844) 3,434,844
---------------
TOTAL INVESTMENTS (100.0%) (COST $119,608,219) $ 130,780,382
---------------
---------------
- -----------------------------------------------------------------
LARGE COMPANY GROWTH PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (98.8%)
AMUSEMENT & RECREATION SERVICES (1.8%)
170,730 Walt Disney Co.(d) $ 19,313,831
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(1.6%)
383,200 Cintas Corp. 17,507,450
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (5.0%)
127,800 Fastenal Co.(d) 6,326,100
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
49
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LARGE COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (continued)
<TABLE>
<C> <S> <C>
609,389 Home Depot, Inc.(d) $ 47,875,123
---------------
54,201,223
---------------
BUSINESS SERVICES (18.7%)
252,700 Automatic Data Processing, Inc. 16,078,037
286,400 Cognizant Corp. 15,250,800
215,300 DST Systems, Inc.(a) 11,383,987
587,200 First Data Corp. 19,524,400
272,850 Fiserv, Inc.(a)(d) 16,089,639
461,300 HBO & Co.(d) 26,625,682
1,006,580 Microsoft Corp.(a)(d) 85,370,566
356,500 Sungard Data Systems, Inc.(a)(d) 12,165,563
---------------
202,488,674
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (14.3%)
812,200 Intel Corp.(d) 58,021,537
461,348 Molex, Inc., Class A 12,023,882
185,960 Motorola, Inc. 9,844,257
414,200 Solectron Corp.(a)(d) 17,137,525
2,074,000 Telefonaktiebolaget LM Ericsson, Series
B ADR(d) 57,812,750
---------------
154,839,951
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES (2.4%)
290,500 Gartner Group, Inc.(a)(d) 9,604,656
467,266 Paychex, Inc. 16,821,594
---------------
26,426,250
---------------
FOOD & KINDRED PRODUCTS (3.3%)
461,200 Coca-Cola Co.(d) 36,146,550
---------------
HOLDING & OTHER INVESTMENT OFFICES (7.5%)
1,012,900 Franklin Resources, Inc.(d) 49,505,487
887,600 T. Rowe Price(d) 31,454,325
---------------
80,959,812
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (7.0%)
777,550 Cisco Systems, Inc.(a)(d) 58,802,218
267,700 Hewlett-Packard Co.(d) 16,630,862
---------------
75,433,080
---------------
INSURANCE CARRIERS (5.0%)
434,262 American International Group, Inc.(d) 53,767,064
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (5.0%)
967,600 Medtronic, Inc.(d) 53,822,750
---------------
MISCELLANEOUS RETAIL (3.0%)
191,600 MSC Industrial Direct Co., Inc.(a)(d) 5,113,326
826,850 Staples, Inc.(a)(d) 20,774,606
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LARGE COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MISCELLANEOUS RETAIL (continued)
<TABLE>
<C> <S> <C>
232,500 Viking Office Products, Inc.(a) $ 6,648,058
---------------
32,535,990
---------------
OIL & GAS EXTRACTION (4.2%)
589,700 Schlumberger Ltd.(d) 46,033,456
---------------
PHARMACEUTICAL PREPARATIONS (10.1%)
328,400 Merck & Co., Inc.(d) 38,443,328
675,600 Pfizer, Inc. 70,811,326
---------------
109,254,654
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICES (6.6%)
1,635,450 Charles Schwab Corp.(d) 53,969,850
390,600 Donaldson, Lufkin & Jenrette, Inc.(d) 17,210,812
---------------
71,180,662
---------------
TOBACCO PRODUCTS (1.6%)
458,200 Philip Morris Cos., Inc.(d) 17,125,225
---------------
WHOLESALE TRADE-NONDURABLE GOODS (1.7%)
210,500 Cardinal Health, Inc.(d) 18,760,812
---------------
TOTAL COMMON STOCKS
(COST $543,103,216) 1,069,797,434
---------------
TIME DEPOSITS (1.2%)
12,541,265 PNC Bank, N.A. Nassau, 5.66%, 6/1/98
(cost $12,541,265) 12,541,265
---------------
TOTAL INVESTMENTS (100.0%) (COST $555,644,481) $ 1,082,338,699
---------------
---------------
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (93.5%)
ADMINISTRATION OF ENVIRONMENTAL QUALITY & HOUSING PROGRAMS (0.1%)
5,500 Dames & Moore, Inc. $ 71,156
---------------
AGRICULTURAL PRODUCTION--CROPS (0.6%)
18,900 Chiquita Brands International, Inc. 253,969
11,500 Delta & Pine Land Co. 492,344
---------------
746,313
---------------
AMUSEMENT & RECREATION SERVICES (0.5%)
12,700 Grand Casinos, Inc.(d) 223,044
8,000 Hollywood Park, Inc.(a) 103,500
9,700 Players International, Inc. 52,744
9,700 Westwood One, Inc.(a) 259,475
---------------
638,763
---------------
APPAREL & ACCESSORY STORES (1.8%)
7,800 AnnTaylor Stores Corp.(a)(d) 170,138
4,100 Ashworth, Inc.(a) 52,019
4,200 Baker (J.), Inc. 50,925
8,500 Cato Corp. 128,563
7,000 Dress Barn, Inc. 202,782
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
50
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
APPAREL & ACCESSORY STORES (continued)
<TABLE>
<C> <S> <C>
6,400 Filene's Basement Corp.(a) $ 39,200
8,600 Footstar, Inc.(a) 380,013
7,500 Gymboree Corp.(d) 118,594
9,100 Just For Feet, Inc.(d) 199,631
14,500 Ross Stores, Inc. 639,813
5,100 St. John Knits, Inc. 196,031
---------------
2,177,709
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(1.0%)
6,700 Authentic Fitness Corp. 121,856
2,600 Haggar Corp. 36,400
10,300 Hartmarx Corp.(a) 81,113
6,500 Kellwood Co. 214,906
11,900 Nautica Enterprises, Inc. 348,075
3,000 Oshkosh B'Gosh, Inc. 115,500
8,200 Phillips-Van Heusen Corp. 106,600
4,000 Pillowtex Corp. 187,000
---------------
1,211,450
---------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.3%)
5,000 Discount Auto Parts, Inc.(a) 128,438
6,400 O'Reilly Automotive, Inc. 208,000
---------------
336,438
---------------
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.6%)
9,600 Breed Technologies, Inc.(d) 183,000
8,000 Central Parking Corp.(d) 358,500
18,600 Rollins Truck Leasing Corp. 223,200
---------------
764,700
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (0.9%)
16,025 D.R. Horton, Inc. 288,450
5,400 MDC Holdings, Inc.(d) 81,675
4,400 Ryland Group, Inc. 88,275
4,400 Southern Energy Homes, Inc. 43,450
9,000 Standard Pacific Corp. 155,813
11,200 Toll Brothers, Inc. 288,400
3,600 U.S. Home Corp.(a) 145,575
---------------
1,091,638
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (0.1%)
8,800 Eagle Hardware & Garden, Inc.(d) 160,050
---------------
BUSINESS SERVICES (7.6%)
6,200 ABM Industries, Inc. 171,663
6,800 ADVO, Inc.(a) 170,425
15,900 Acxiom Corp.(d) 343,838
12,600 American Management Systems, Inc. 341,775
6,800 Analysts International Corp. 198,900
8,000 BISYS Group, Inc.(a) 297,000
8,500 Boole & Babbage, Inc. 209,313
6,300 Broderbund Software, Inc. 100,800
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUSINESS SERVICES (continued)
<TABLE>
<C> <S> <C>
5,600 Catalina Marketing Corp. $ 253,400
10,000 Cerner Corp. 256,250
13,700 Ciber, Inc. 439,256
12,600 Cognex Corp. 239,400
6,300 Computer Task Group, Inc. 199,238
4,500 Cyrk, Inc.(a) 53,719
6,300 Envoy Corp.(a)(d) 276,413
4,100 Fair, Isaac & Co., Inc. 148,881
4,600 FileNet Corp. 253,144
6,900 Gerber Scientific, Inc. 173,794
12,600 Harbinger Corp. 293,344
5,700 Henry (Jack) & Associates 185,963
5,800 Hyperion Software Corp. 187,413
3,400 Insurance Auto Auctions(a) 45,050
14,100 Interim Services, Inc.(d) 409,781
2,500 Kronos, Inc. 89,375
11,700 Midway Games, Inc.(a) 157,950
9,300 National Computer Systems, Inc. 225,525
10,200 National Data Corp. 382,500
6,500 Network Equipment Technologies, Inc. 101,969
8,200 Norrell Corp. 185,013
14,000 PMT Services, Inc. 273,000
6,900 Platinum Software Corp. 132,394
23,600 Platinum Technology, Inc.(d) 646,051
7,900 Primark Corp.(a)(d) 264,156
3,600 Progress Software Corp. 116,550
15,300 S3, Inc. 100,406
14,400 System Software Associates, Inc.(a) 105,300
6,700 TCSI Corp. 34,338
7,900 Technology Soultions, Inc. 238,481
13,600 True North Communications, Inc. 432,650
13,100 Vanstar Corp.(a)(d) 190,769
7,600 Vantive Corp. 204,250
4,500 Volt Information Sciences, Inc. 136,969
2,800 Wall Data, Inc.(a) 36,225
---------------
9,302,631
---------------
CHEMICALS & ALLIED PRODUCTS (4.1%)
11,400 Advanced Tissue Sciences, Inc.(a)(d) 104,025
9,700 Alliance Pharmaceutical Corp.(a) 45,469
7,800 Alpharma, Inc. 169,650
3,600 Cambrex Corp. 201,375
6,100 ChemFirst, Inc. 156,694
2,700 Collagen Corp. 52,650
7,000 Geon Co. 151,375
3,200 Hauser, Inc. 24,800
6,900 Immune Response Corp.(a)(d) 79,350
8,700 Jones Pharma, Inc.(d) 267,525
7,000 Lilly Industires, Inc., Class A 136,500
11,400 Liposome Company, Inc.(a) 70,182
7,600 Macdermid, Inc.(d) 311,600
3,100 McWhorter Technologies, Inc.(a) 85,638
7,800 MedImmune, Inc.(a) 389,025
8,300 Mississippi Chemical Corp. 139,025
10,900 Mycogen Corp. 257,513
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
51
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
CHEMICALS & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
17,000 NBTY, Inc. $ 296,438
5,700 Natures Sunshine Product, Inc. 131,813
9,600 North American Vaccine, Inc.(d) 187,800
6,200 Noven Pharmaceuticals, Inc.(a) 37,975
6,700 OM Group, Inc. 278,050
7,200 Parexel International Corp. 216,000
2,200 Penford Corp. 67,925
5,500 Protein Design Labs, Inc.(a) 138,188
2,600 Quaker Chemical Corp. 54,113
8,900 Roberts Pharmaceutical Corp.(a) 146,850
9,300 SEQUUS Pharmaceuticals, Inc. 105,788
5,700 Scotts Co.(a) 198,788
6,400 TheraTech, Inc. 60,400
4,200 USA Detergents, Inc.(d) 58,538
7,600 Vertex Pharmaceuticals, Inc. 218,500
6,800 W.H. Brady Co. 197,200
---------------
5,036,762
---------------
COMMUNICATIONS (0.8%)
15,200 Brightpoint, Inc. 240,350
15,000 General Communications, Inc.(a) 90,470
5,000 Metro Networks, Inc.(a) 198,750
20,300 Tel-Save Holdings, Inc.(d) 400,925
---------------
930,495
---------------
CONSTRUCTION--SPECIAL TRADE CONTRACTORS (0.2%)
8,400 Apogee Enterprises, Inc. 117,075
8,200 Insituform Technologies, Class A(a) 105,575
---------------
222,650
---------------
DEPOSITORY INSTITUTIONS (8.1%)
8,000 Astoria Financial Corp. 440,250
6,300 CCB Financial Corp. 689,850
7,800 Centura Banks, Inc. 512,850
5,100 Commerce Bancorp, Inc. 283,369
12,200 Commercial Federal Corp. 406,413
6,700 Cullen/Frost Bankers, Inc. 363,056
8,505 Downey Financial Corp. 281,728
11,300 First Commercial Corp. 781,819
6,100 First Midwest Bancorp, Inc. 280,219
4,600 FirstBank Puerto Rico 257,025
18,800 FirstMerit Corp. 527,575
8,200 Hubco, Inc.(d) 289,050
3,000 JSB Financial, Inc. 174,375
15,800 Keystone Financial, Inc. 616,200
10,000 Magna Group, Inc. 555,625
12,700 Provident Financial Group, Inc. 650,081
4,500 Queens County Bancorp, Inc. 198,000
9,300 Riggs National Corp. 254,588
40,000 Sovereign Bancorp, Inc. 707,500
10,400 St. Paul Bancorp, Inc. 262,600
5,900 U.S. Trust Corp. 441,763
9,000 UST Corp.(d) 250,313
11,800 United Bankshares, Inc. 296,475
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
DEPOSITORY INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
6,300 Whitney Holding Corp. $ 347,288
---------------
9,868,012
---------------
EATING & DRINKING PLACES (1.9%)
9,600 Applebee's International, Inc. 234,000
2,700 Bertucci's, Inc. 27,675
5,900 Cheesecake Factory 119,106
14,000 CKE Restaurants, Inc. 444,500
6,300 Consolidated Products, Inc.(a) 124,819
11,900 Foodmaker, Inc.(a) 200,813
2,900 Ihop Corp.(a) 117,450
7,900 Landry's Seafood Restaurants, Inc. 178,985
7,100 Luby's Cafeterias, Inc. 131,350
10,000 Ruby Tuesday, Inc.(d) 160,625
14,300 Ryan's Family Steak Houses, Inc. 145,681
14,800 Shoney's, Inc.(a) 65,675
5,700 Showbiz Pizza Time, Inc. 202,350
5,850 Sonic Corp. 121,022
7,200 TCBY Enterprises, Inc. 69,750
4,500 Taco Cabana, Inc., Class A 28,688
---------------
2,372,489
---------------
EDUCATIONAL SERVICES (0.3%)
10,500 DeVry, Inc. 418,031
---------------
ELECTRIC, GAS & SANITARY SERVICES (4.2%)
2,200 Aquarion Co. 73,425
9,100 Atmos Energy Corp. 279,825
2,200 Bangor Hydro-Electric Co.(a) 18,975
3,300 Cascade Natural Gas Corp. 51,356
5,200 Central Hudson Gas & Electric 227,175
3,500 Central Vermont Public Service 51,188
4,100 CILCORP, Inc. 180,656
6,500 Commonwealth Energy System 247,000
3,100 Connecticut Energy Corp. 90,094
2,700 Consumers Water Co. 57,713
6,200 Eastern Utilities Associates 157,325
8,800 Energen Corp. 178,750
1,600 Green Mountain Power Corp. 25,900
8,900 KCS Energy, Inc. 105,688
12,900 K N Energy, Inc 698,213
5,400 New Jersey Resources 194,063
7,400 Northwest Natural Gas Co. 203,500
4,100 Orange & Rockland Utilities, Inc. 219,094
2,900 Pennsylvania Enterprises, Inc. 75,400
8,300 Philadelphia Suburban Corp. 163,406
9,200 Piedmont Natural Gas Co. 291,525
6,100 Public Service Co. of North Carolina,
Inc. 129,625
9,400 Sierra Pacific Resources 322,538
2,700 Southern California Water Co. 58,894
8,300 Southwest Gas Corp. 181,563
7,500 Southwestern Energy Co. 79,219
4,000 TNP Enterprises, Inc. 130,250
4,300 United Illuminating Co. 203,713
10,900 United Water Resources, Inc. 175,081
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
52
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRIC, GAS & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
5,600 Wicor, Inc. $ 256,200
---------------
5,127,354
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (8.1%)
8,300 Allen Group, Inc.(a) 99,600
5,100 Amtech Corp.(a) 23,588
15,100 Aspect Telecommunications Corp. 389,769
8,400 BMC Industries, Inc. 123,375
10,900 Baldor Electric Co. 284,081
3,500 Benchmark Electronics, Inc. 70,656
4,100 BroadBand Technologies, Inc.(a) 24,856
11,000 Burr-Brown Corp. 282,219
2,800 C-Cor Electronics, Inc. 44,450
11,200 C-Cube Microsystems, Inc. 219,100
4,800 CTS Corp. 150,000
8,600 Cable Design Technologies 202,638
5,000 California Microwave, Inc.(a) 107,188
2,200 Centigram Communications Corp. 27,225
10,300 Checkpoint Systems, Inc. 181,538
8,300 Dallas Semiconductor Corp. 279,606
14,100 Digital Microwave Corp. 136,154
3,500 Dionex Corp. 182,875
3,400 Electro Scientific Industries, Inc.(a) 113,900
6,600 Etec Systems, Inc.(a) 241,313
11,200 General Semiconductor, Inc.(a) 151,200
4,000 HADCO Corp.(a) 128,500
5,700 Harman International Industries, Inc. 242,606
3,100 Harmon Industries, Inc. 74,013
6,000 Helix Technology Corp. 106,875
6,000 Hutchinson Technology, Inc. 150,000
4,400 Innovex, Inc. 81,675
8,100 Inter-Tel, Inc. 152,129
4,400 InterVoice, Inc. 58,300
15,600 International Rectifier Corp. 164,775
4,400 Itron, Inc.(a)(d) 67,925
5,600 Juno Lighting, Inc. 119,000
12,200 Kemet Corp. 196,344
5,000 Kuhlman Corp. 211,250
7,100 Lattice Semiconductor Corp. 274,238
10,800 Methode Electronics, Inc. 137,700
16,100 Microchip Technology, Inc.(d) 394,450
2,200 National Presto Industries, Inc. 88,963
10,200 Novellus Systems, Inc.(d) 385,688
5,400 Oak Industries, Inc.(a) 188,325
12,700 P-COM, Inc. 190,500
3,500 Park Electrochemical Corp. 83,125
7,400 Photronics, Inc. 195,175
11,500 Picturetel Corp. 107,813
4,500 Plexus Corp. 96,750
14,700 Read-Rite Corp.(a)(d) 129,544
2,800 Rival Co. 40,425
7,000 Royal Appliance Manufacturing Co. 36,313
6,300 Sanmina Corp.(d) 490,613
4,800 Speedfam International, Inc.(a) 93,600
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
4,800 Standard Microsystems Corp. $ 53,100
4,800 SymmetriCom, Inc. 30,300
4,900 Technitrol, Inc. 197,838
4,800 Thomas Industries, Inc. 123,000
2,400 Three-Five Systems, Inc. 40,350
7,400 Unitrode Corp.(a) 96,663
14,200 VLSI Technology, Inc.(a) 220,100
7,200 Valence Technology, Inc.(a) 42,750
12,900 Vicor Corp. 201,563
21,800 Vitesse Semiconductor Corp. 558,625
2,500 Watkins-Johnson Co. 62,969
13,000 Xylan Corp.(a)(d) 313,625
---------------
9,962,828
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (1.7%)
8,800 American Oncology Resources, Inc. 112,200
10,000 Billing Information Concepts 232,500
14,300 Bio-Technology General Corp.(a) 121,550
11,400 Blount International, Inc., Class A 321,338
6,000 CDI Corp. 220,875
7,200 COR Therapeutics, Inc.(a) 123,750
8,700 Cephalon, Inc.(a) 92,438
7,500 Franklin Covey Co.(a) 150,000
8,000 Incyte Pharmaceuticals, Inc. 293,750
6,200 NFO Worldwide, Inc. 105,400
3,700 Pharmaceuticals Marketing Services,
Inc.(a) 49,025
9,400 Regeneron Pharmaceuticals, Inc.(a) 87,832
3,900 Stone & Webster, Inc. 157,950
7,300 U.S. Bioscience, Inc. 68,438
---------------
2,137,046
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(1.1%)
4,000 Alliant Techsystems, Inc.(a) 258,000
5,500 AptarGroup, Inc. 356,469
2,400 Butler Manufacturing Co. 84,000
9,300 Griffon Corp.(a) 129,038
2,600 Insteel Industries, Inc. 18,688
4,500 Lukens, Inc. 144,281
4,700 Material Sciences Corp. 47,294
8,200 Sturm, Ruger & Co., Inc. 152,725
3,800 Zero Corp. 109,725
---------------
1,300,220
---------------
FOOD & KINDRED PRODUCTS (1.3%)
5,700 Canandaigua Brands, Inc. 262,913
2,500 Coca-Cola Bottling Co. 155,781
10,800 Corn Products International, Inc.(a) 369,900
6,500 Earthgrains Co. 343,281
2,100 Goodmark Foods, Inc. 48,038
2,700 J&J Snack Foods Corp. 52,144
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
53
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
FOOD & KINDRED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
11,400 Smithfield Foods, Inc. $ 307,800
---------------
1,539,857
---------------
FOOD STORES (0.4%)
3,600 Au Bon Pain Co., Inc.(a) 34,200
7,900 Whole Foods Market, Inc.(d) 434,500
---------------
468,700
---------------
FURNITURE & FIXTURES (0.7%)
4,000 Bassett Furniture Industries, Inc. 122,000
8,700 Ethan Allen Interiors, Inc. 437,719
5,400 LA-Z-BOY, Inc. 276,413
---------------
836,132
---------------
GENERAL MERCHANDISE STORES (0.7%)
15,900 Casey's General Stores, Inc. 225,581
2,300 GC Companies, Inc.(a) 114,713
3,200 Gottschalks, Inc. 26,600
7,800 Shopko Stores, Inc.(a) 272,025
14,000 Stein Mart, Inc.(d) 220,500
---------------
859,419
---------------
HEALTH SERVICES (4.1%)
5,700 Access Health, Inc. 146,063
3,100 Chemed Corp. 114,119
10,200 Coventry Health Care, Inc. 147,900
3,800 Curative Health Services, Inc.(a) 106,875
7,400 Enzo Biochem, Inc. 96,200
5,000 Express Scripts, Inc. 384,688
10,700 Genesis Health Ventures, Inc.(d) 270,844
11,600 Idexx Laboratories, Inc. 258,100
13,000 Integrated Health Services, Inc. 483,438
8,700 Lincare Holdings, Inc.(d) 652,500
9,300 Magellan Health Services, Inc.(a) 251,100
8,900 Mariner Health Group, Inc.(a) 132,388
14,100 Orthodontic Centers of America, Inc.(d) 298,744
12,500 Paragon Health Network, Inc. 192,188
4,600 Pediatrix Medical Group, Inc.(a) 166,463
19,600 Phycor, Inc.(d) 330,750
6,900 Renal Care Group, Inc. 250,125
5,500 Sierra Health Services, Inc. 204,188
3,100 Syncor International Corp.(a) 55,025
9,800 Universal Health Services, Inc.(a) 539,000
---------------
5,080,698
---------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-- CONTRACTORS (0.2%)
16,500 Morrison Knudsen Corp.(a) 195,938
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (1.2%)
11,600 Bombay Co., Inc.(a) 50,750
5,200 Lechters, Inc. 30,550
11,800 Linens 'N Things, Inc. 379,075
5,900 MicroAge, Inc. 79,650
20,500 Pier 1 Imports, Inc.(d) 493,281
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (continued)
<TABLE>
<C> <S> <C>
15,600 Williams-Sonoma, Inc. $ 430,950
---------------
1,464,256
---------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING
PLACES (0.8%)
13,700 Aztar Corp.(a) 95,900
7,500 CapStar Hotel Co.(a)(d) 219,375
9,000 Marcus Corp. 159,188
8,800 Primadonna Resorts, Inc.(a) 152,900
14,300 Prime Hospitality Corp.(a) 256,506
4,900 Showboat, Inc. 150,063
---------------
1,033,932
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.5%)
14,400 Anixter International, Inc. 289,800
7,300 Applied Magnetics Corp.(d) 41,063
8,400 Applied Power, Inc.(d) 287,700
2,800 Astec Industries, Inc. 92,400
7,600 Auspex Systems, Inc.(a) 42,275
6,600 BancTec, Inc. 154,275
4,900 Dialogic Corp.(a) 161,700
5,900 Electroglas, Inc. 80,388
6,800 Exabyte Corp. 66,300
12,800 Fedders Corp. 80,000
4,500 Flow International Corp.(a) 54,563
6,900 Global Industrial Technologies, Inc.(a) 116,869
7,900 Graco, Inc. 273,538
15,900 Komag, Inc. 157,013
7,100 Kulicke & Soffa Industries, Inc.(a) 121,588
2,800 Lindsay Manufacturing Co. 130,200
5,200 Manitowoc Co., Inc. 213,200
14,600 Paxar Corp. 180,675
3,300 Robbins & Myers, Inc. 97,969
3,700 SPS Technologies, Inc. 216,913
5,600 Scott Technologies, Inc., Class A(a) 82,600
9,800 Snyder Oil Corp. 189,875
4,800 Telxon Corp. 159,600
3,900 Toro Co. 136,256
6,300 Ultratech Stepper, Inc.(d) 127,575
8,400 Valmont Industries, Inc. 168,000
2,600 Walbro Corp. 26,813
4,600 Watsco, Inc. 135,125
6,900 Xircom, Inc.(a) 108,244
7,400 Zebra Technologies Corp. 283,975
---------------
4,276,492
---------------
INSURANCE AGENTS, BROKERS & SERVICE (0.2%)
5,000 Arthur J. Gallagher & Co. 215,625
3,900 Hilb Rogal Hamilton 68,250
---------------
283,875
---------------
INSURANCE CARRIERS (5.7%)
9,300 Allied Group, Inc. 391,763
12,600 American Bankers Insurance Group, Inc. 756,000
6,800 CMAC Investment Corp.(d) 411,400
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
54
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INSURANCE CARRIERS (continued)
<TABLE>
<C> <S> <C>
4,800 Capital Re Corp. $ 357,600
3,100 Compdent Corp.(a) 45,725
5,916 Delphi Financial Group, Class A 321,313
5,700 Enhance Financial Services Group,
Inc.(d) 371,213
3,300 Executive Risk, Inc. 207,694
6,700 Fidelity National Financial, Inc.(d) 223,613
5,300 First American Financial Corp. 382,263
10,000 Fremont General Corp. 571,875
10,300 Frontier Insurance Group, Inc. 252,350
5,300 Life Re Corp. 390,213
11,700 Mutual Risk Management Ltd.(d) 410,231
5,600 NAC Re Corp. 261,450
8,400 Orion Capital Corp. 473,025
18,700 Protective Life Corp. 673,200
8,900 Selective Insurance Group, Inc. 234,738
3,600 Trenwick Group, Inc. 136,800
5,400 Zenith National Insurance Corp. 154,575
---------------
7,027,041
---------------
LEATHER & LEATHER PRODUCTS (0.7%)
5,500 Brown Group, Inc. 98,656
8,000 Justin Industries 127,000
1,700 K-Swiss, Inc. 33,575
3,400 Timberland Co.(a)(d) 278,800
12,900 Wolverine World Wide, Inc 318,469
---------------
856,500
---------------
LOCAL & SUBURBAN TRANSIT & INTERURBAN HIGHWAY PASSENGER TRANSPORTATION
(0.1%)
4,100 Rural/Metro Corp.(a) 96,863
---------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.8%)
14,200 Champion Enterprises, Inc. 382,513
14,100 Oakwood Homes Corp.(d) 383,344
2,900 Skyline Corp. 84,463
5,200 TJ International, Inc. 150,475
---------------
1,000,795
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (4.4%)
5,800 ADAC Laboratories(a) 115,275
2,800 Amcast Industrial Corp. 60,375
3,900 Analogic Corp. 177,450
8,800 Ballard Medical Products 196,900
4,000 Circon Corp.(a) 55,500
7,000 Coherent, Inc. 161,438
4,500 Cooper Companies, Inc.(a) 177,750
6,100 Cygnus, Inc.(a) 56,425
5,200 Daniel Industries 105,625
4,800 Datascope Corp. 135,000
4,100 Diagnostic Products Corp. 127,100
5,600 Fluke Corp. 179,900
4,000 Hologic, Inc. 84,000
13,300 Input/Output, Inc. 292,600
3,700 Integrated Circuit Systems, Inc.(d) 50,991
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (continued)
<TABLE>
<C> <S> <C>
3,800 Intermagnetics General Corp. $ 38,475
9,000 Invacare Corp. 237,375
4,800 Ionics, Inc. 214,800
5,400 Marquette Medical Systems, Inc.(a) 151,200
7,500 Mentor Corp. 198,516
5,400 Molecular Biosystems, Inc.(a) 47,925
2,000 Nashua Corp.(a) 31,625
6,100 ReSound Corp.(a) 38,506
9,600 Respironics, Inc. 157,800
9,400 Roper Industries, Inc. 311,963
7,400 Sola International, Inc.(a) 292,763
2,900 SpaceLabs Medical, Inc.(a) 48,031
10,300 Steris Corp.(d) 643,750
9,500 Summit Technology, Inc. 51,063
5,900 Sunrise Medical, Inc. 91,450
7,600 Tracor, Inc.(a) 300,200
6,800 Trimble Navigation Ltd.(a) 133,875
4,700 VISX, Inc.(a) 230,888
3,400 Whittaker Corp.(a) 48,450
6,400 X-Rite, Inc. 86,400
1,900 Zoll Medical Corp.(a) 11,578
---------------
5,342,962
---------------
METAL MINING (1.2%)
6,600 Coeur D'Alene Mines Corp.(a)(d) 58,163
10,500 Dekalb Genetics Corp., Class B 1,006,688
9,300 Getchell Gold Corp. 176,700
9,500 Glamis Gold Ltd.(a) 39,188
16,700 Hecla Mining Co.(a) 84,544
6,200 Stillwater Mining Co.(a) 150,350
---------------
1,515,633
---------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS (0.1%)
8,600 AMCOL International Corp. 118,250
4,500 Dravo Corp.(a) 50,625
---------------
168,875
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.4%)
4,200 Bell Sports Corp.(a) 39,638
5,000 Cross (A.T.) Co. 57,813
7,900 Jan Bell Marketing, Inc. 40,488
5,000 K2, Inc. 100,000
5,000 Lydall, Inc.(a) 87,500
6,700 Russ Berrie & Co., Inc. 169,175
---------------
494,614
---------------
MISCELLANEOUS RETAIL (1.5%)
5,300 Books-A-Million, Inc. 27,163
7,400 Cash America International, Inc. 124,875
2,400 Damark International, Inc., Class A(a) 23,700
5,700 Fabri-Centers of America(a) 168,150
5,500 Galoob Toys, Inc. 60,844
6,400 Hancock Fabrics, Inc. 84,800
2,900 Lillian Vernon Corp. 50,388
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
55
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MISCELLANEOUS RETAIL (continued)
<TABLE>
<C> <S> <C>
8,800 Michaels Stores, Inc.(a) $ 263,450
19,600 Sports Authority, Inc. 144,600
14,600 Tech Data Corp. 593,125
10,900 Zale Corp.(a) 337,219
---------------
1,878,314
---------------
MOTION PICTURES (0.1%)
3,400 Carmike Cinemas, Inc.(a) 89,038
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (1.1%)
9,600 American Freightway Corp. 109,800
5,900 Arkansas Best Corp.(a) 57,525
5,100 Frozen Food Express Industries, Inc. 49,725
9,100 Heartland Express, Inc. 199,063
3,800 Landstar System, Inc.(a) 128,488
3,700 M.S. Carriers, Inc. 110,538
7,900 USFreightways Corp. 248,850
14,500 Werner Enterprises, Inc. 275,500
8,700 Yellow Corp.(a) 163,125
---------------
1,342,614
---------------
OIL & GAS EXTRACTION (2.8%)
8,900 Benton Oil & Gas Co. 92,894
7,500 Cabot Oil and Gas Corp. 151,875
14,400 Cross Timbers Oil Co. 249,300
9,800 Devon Energy Corp. 359,538
5,600 HS Resources, Inc.(a) 80,850
10,900 Newfield Exploration Co. 243,888
7,000 Oceaneering International, Inc. 150,500
5,100 Plains Resources, Inc. 97,538
11,400 Pogo Producing Co. 292,125
6,400 Pool Energy Services Co.(a) 130,400
14,300 Pride International, Inc.(a)(d) 320,856
6,200 Remington Oil & Gas Corp.(a) 38,750
31,300 Santa Fe Energy Resources, Inc.(a) 311,044
6,700 Seitel, Inc.(a) 113,900
3,300 St. Mary Land & Exploration Co. 89,925
4,100 Tetra Technologies, Inc.(a) 89,431
13,400 Tuboscope Vetco International Corp.(a) 303,175
15,700 Vintage Petroleum, Inc. 284,563
2,700 Wiser Oil Co. 28,181
---------------
3,428,733
---------------
PAPER & ALLIED PRODUCTS (0.5%)
11,200 Buckeye Technologies, Inc. 252,700
4,100 Pope & Talbot, Inc. 55,606
3,600 Republic Group, Inc. 68,625
4,900 Schweitzer-Mauduit International, Inc. 162,006
8,250 Shorewood Packaging Corp.(a) 113,953
---------------
652,890
---------------
PERSONAL SERVICES (0.5%)
2,800 Angelica Corp. 63,000
3,000 CPI Corp. 76,875
6,100 G & K Services, Inc.(d) 237,900
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PERSONAL SERVICES (continued)
<TABLE>
<C> <S> <C>
7,100 Regis Corp. $ 198,800
---------------
576,575
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (0.1%)
4,700 WD-40 128,956
---------------
PRIMARY METAL INDUSTRIES (2.0%)
3,500 Acme Metals, Inc.(a) 27,563
7,900 Belden, Inc. 313,531
9,000 Birmingham Steel Corp. 126,000
15,000 CommScope, Inc.(a) 232,500
4,800 Commonwealth Industries, Inc. 70,200
4,900 IMCO Recycling, Inc. 92,794
7,700 Intermet Corp. 150,150
10,600 Mueller Industries, Inc. 328,600
7,400 Northwestern Steel & Wire Co.(a) 33,763
4,300 Quanex Corp. 133,569
3,600 Steel Technologies, Inc. 40,500
6,400 Texas Industries, Inc. 380,000
3,600 Tredegar Industries, Inc. 311,400
5,800 WHX Corp.(a)(d) 79,750
4,300 Wolverine Tube, Inc.(a) 156,950
---------------
2,477,270
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (1.5%)
5,500 Bowne & Co., Inc. 235,469
3,900 Consolidated Graphics, Inc. 199,631
5,000 Gibson Greetings, Inc.(a) 120,625
9,400 John H. Harland Co. 168,613
4,900 Merrill Corp. 110,863
4,200 New England Business Service, Inc. 136,763
1,100 Plenum Publishing Corp. 74,250
5,200 Thomas Nelson, Inc. 67,275
12,000 Valassis Communications, Inc.(a) 422,250
11,600 World Color Press, Inc.(a)(d) 348,725
---------------
1,884,464
---------------
RAILROAD TRANSPORTATION (0.0%)
2,800 RailTex, Inc.(a) 42,875
---------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.7%)
4,800 O'Sullivan Corp. 46,800
16,000 Safeskin Corp. 560,000
5,100 Standard Products Co. 149,813
6,600 Titan International, Inc. 128,288
---------------
884,901
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (2.0%)
12,500 Amresco, Inc.(a) 421,875
3,800 Dain Rauscher Corp. 215,650
5,600 Eaton Vance Corp. 251,650
8,300 Legg Mason, Inc. 500,594
7,600 Pioneer Group, Inc. 216,125
14,600 Raymond James Financial, Inc. 441,650
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
56
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (continued)
<TABLE>
<C> <S> <C>
5,500 SEI Investments Co. $ 367,125
---------------
2,414,669
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (0.9%)
10,700 Gentex Corp. 391,888
3,300 Lone Star Industries, Inc.(d) 248,119
5,100 Medusa Corp. 293,888
4,000 Standex International Corp. 120,500
---------------
1,054,395
---------------
TEXTILE MILL PRODUCTS (1.3%)
7,900 Cone Mills Corp.(a) 76,038
7,500 Delta Woodside Industries, Inc. 44,531
3,400 Dixie Group, Inc. 44,200
3,500 Galey & Lord, Inc.(a) 86,625
7,800 Guilford Mills, Inc. 210,600
7,800 Interface, Inc. 305,663
3,300 Johnston Industries, Inc.(a) 17,222
15,800 Mohawk Industries, Inc. 479,925
2,700 Oxford Industries, Inc. 94,152
9,600 Triarc Cos., Inc.(a) 234,000
9,100 Tultex Corp.(a) 27,300
---------------
1,620,256
---------------
TRANSPORTATION BY AIR (0.8%)
20,300 Comair Holdings, Inc. 540,488
8,600 Mesa Air Group, Inc. 69,875
6,600 Offshore Logistics, Inc.(a) 134,475
6,200 Pittston BAX Group 108,888
3,500 Skywest, Inc. 151,365
---------------
1,005,091
---------------
TRANSPORTATION EQUIPMENT (2.5%)
4,800 A. O. Smith Corp. 242,400
8,400 AAR Corp. 222,075
8,700 Artic Cat, Inc. 79,388
6,900 BE Aerospace, Inc.(a) 199,453
7,350 Clarcor, Inc. 169,050
8,700 Halter Marine Group, Inc. 163,125
3,900 Huffy Corp. 59,231
13,400 JLG Industries, Inc. 236,175
9,800 Orbital Sciences Corp.(a)(d) 400,575
7,900 Polaris Industries, Inc. 276,500
6,300 Regal-Beloit Corp. 205,538
3,800 SPX, Inc.(a) 262,675
5,500 Simpson Industries, Inc. 77,000
3,800 Spartan Motors, Inc. 27,788
4,000 Standard Motor Products, Inc. 88,000
3,700 Thor Industries, Inc. 102,444
6,100 Wabash National Corp. 158,219
7,200 Winnebago Industries, Inc. 80,540
---------------
3,050,176
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
TRANSPORTATION SERVICES (0.6%)
10,500 Air Express International Corp. $ 271,021
7,500 Expeditors International of Washington,
Inc. 300,000
10,800 Fritz Companies, Inc. 140,400
---------------
711,421
---------------
WATER TRANSPORTATION (0.1%)
6,500 Kirby Corp.(a) 139,750
---------------
WHOLESALE TRADE--DURABLE GOODS (2.2%)
6,700 Applied Industrial Technologies, Inc. 157,450
6,200 Barnes Group, Inc. 184,450
2,800 Bell Industries, Inc.(a) 35,350
3,700 Building Materials Holding Corp. 50,413
4,300 Castle (A.M.) & Co. 96,750
4,500 Commercial Metals Co. 138,094
4,100 Digi International, Inc. 93,275
1,500 Global Motorsport Group(a) 31,688
7,400 Ha-Lo Industries, Inc. 228,937
5,700 Hughes Supply, Inc. 192,019
7,000 Kaman Corp., Class A 128,625
8,200 Kent Electronics Corp. 172,200
3,400 Lawson Products, Inc. 92,225
5,000 Marshall Industries 154,688
9,800 Owens & Minor, Inc. Holding Co. 115,150
10,000 Patterson Dental Co. 325,000
8,000 Pioneer-Standard Electronics, Inc. 99,500
2,500 Swiss Army Brands, Inc. 28,906
7,100 TBC Corp. 57,244
5,200 Universal Forest Products, Inc. 89,375
3,900 Vital Signs, Inc. 67,753
5,800 Wynn's International, Inc. 121,800
---------------
2,660,892
---------------
WHOLESALE TRADE--NONDURABLE GOODS (1.8%)
9,500 Barrett Resources Corp. 330,719
7,700 Caraustar Industries, Inc 236,294
13,500 DIMON, Inc. 182,250
11,500 Fleming Cos., Inc. 219,219
3,900 LSB Industries, Inc. 16,819
6,700 Men's Wearhouse, Inc. 285,588
5,500 Myers Industries, Inc. 116,188
5,900 NCS HealthCare, Inc.(a) 170,363
3,400 Nash-Finch Co. 57,375
14,400 Richfood Holdings, Inc. 351,900
14,500 Stride Rite Corp. 193,021
---------------
2,159,736
---------------
TOTAL COMMON STOCKS (COST $120,978,198) 114,622,333
---------------
TIME DEPOSITS (6.3%)
3,000,000 Erste Bank der Oestereich, 5.687%,
6/1/98 3,000,000
722,351 PNC Bank, N.A. Nassau, 5.66%, 6/1/98 722,351
4,000,000 Union Bank of Switzerland, 5.687%,
6/1/98 4,000,000
---------------
TOTAL TIME DEPOSITS (COST $7,722,351) 7,722,351
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
57
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
U.S. TREASURY BILLS (0.2%)
190,000 5.03% yield, 10/8/98(g) $ 186,582
50,000 5.12% yield, 4/29/99(g) 47,634
---------------
TOTAL U.S. TREASURY BILLS (COST $234,194) 234,216
---------------
TOTAL INVESTMENTS (100.0%) (COST $128,934,743) $ 122,578,900
---------------
---------------
FINANCIAL FUTURES CONTRACTS (-0.3%)
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
POSITION CONTRACTS INDEX (LOSS)
- --------- --------------- -------------------------------------- -----------
<S> <C> <C> <C>
Long 33 Russell 2000 Index
Expiring June 19, 1998
(notional value $7,539,675) $(371,350)
Long 1 Russell 2000 Index
Expiring September 18, 1998
(notional value $230,755) (3,375)
-----------
$(374,725)
-----------
-----------
</TABLE>
<TABLE>
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY STOCK PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (95.0%)
AGRICULTURAL PRODUCTION--LIVESTOCK & ANIMAL SPECIALTIES (1.0%)
82,200 Michael Foods, Inc. $ 2,291,326
---------------
APPAREL & ACCESSORY STORES (2.3%)
89,500 Dress Barn, Inc.(a) 2,592,707
53,350 Stage Stores, Inc.(a) 2,487,444
---------------
5,080,151
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(1.6%)
94,210 Oshkosh B'Gosh, Inc. 3,627,085
---------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (1.1%)
170,100 Lithia Motors, Inc.(a) 2,381,400
---------------
BUSINESS SERVICES (15.0%)
392,500 Accelr8 Technology Corp.(a)(d) 5,396,875
84,400 Ciber, Inc.(d) 2,706,075
93,470 Computer Horizons Corp. 3,122,486
82,500 Computer Task Group, Inc. 2,609,064
133,600 Leasing Solutions, Inc.(a)(d) 3,740,800
76,300 Mercury Interactive Corp.(a) 2,536,975
74,800 Metro Information Services, Inc.(a) 2,440,351
108,400 QuadraMed Corp.(a)(d) 2,608,375
260,120 SEEC, Inc.(a)(d) 2,422,369
132,100 SPR, Inc.(a) 3,731,825
124,500 Sykes Enterprises, Inc.(a) 2,598,938
---------------
33,914,133
---------------
CHEMICALS & ALLIED PRODUCTS (1.8%)
38,200 Hauser, Inc.(a) 296,050
207,200 Lifecore Biomedical, Inc.(a) 3,846,149
---------------
4,142,199
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY STOCK PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
COMMUNICATIONS (1.4%)
93,800 COMSAT Corp.(d) $ 3,271,276
---------------
CONSTRUCTION--SPECIAL TRADE CONTRACTORS (1.5%)
118,000 Dycom Industries, Inc.(a) 3,377,752
---------------
CONSUMER DURABLES (3.1%)
181,000 Rayovac Corp.(a) 3,801,000
99,130 Windmere-Durable Holdings, Inc.(d) 3,141,183
---------------
6,942,183
---------------
DEPOSITORY INSTITUTIONS (3.6%)
98,794 Downey Financial Corp. 3,272,568
60,340 People's Bank 2,300,464
75,060 Webster Financial Corp. 2,533,275
---------------
8,106,307
---------------
EATING & DRINKING PLACES (3.9%)
162,900 Foodmaker, Inc.(a) 2,748,939
222,900 Schlotzsky's, Inc.(a)(d) 3,622,126
66,700 Showbiz Pizza Time, Inc.(a) 2,367,850
---------------
8,738,915
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (3.2%)
106,600 Artesyn Technologies, Inc.(a) 1,748,914
6,500 EFTC Corp.(a) 95,875
122,100 Exar Corp.(a) 2,808,300
249,200 FARO Technologies, Inc.(a) 2,694,478
---------------
7,347,567
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (3.8%)
131,600 A.C. Nielson Corp.(a) 3,396,927
209,900 Barringer Technologies, Inc.(a) 2,203,950
140,287 Tetra Tech., Inc. 3,086,314
---------------
8,687,191
---------------
FOOD & KINDRED PRODUCTS (1.3%)
63,200 Celestial Seasonings, Inc.(a)(d) 2,851,901
---------------
FOOD STORES (1.0%)
80,400 Wild Oats Markets, Inc. 2,311,500
---------------
HEALTH SERVICES (3.6%)
87,000 Access Health, Inc.(a) 2,229,376
210,820 Graham-Field Health Products, Inc.(a)(d) 1,238,567
230,350 Specialty Care Network, Inc.(a)(d) 2,274,708
69,900 Trigon Healthcare, Inc.(a) 2,376,600
---------------
8,119,251
---------------
HOLDING & OTHER INVESTMENT OFFICES (2.8%)
123,400 Consolidated Capital Corp.(a) 2,722,513
242,700 Sunstone Hotel Investors, Inc. 3,488,814
---------------
6,211,327
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
58
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY STOCK PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
HOSPITAL SUPPLY (1.5%)
142,300 Maxxim Medical, Inc.(a) $ 3,326,264
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.3%)
150,110 Snyder Oil Corp. 2,908,383
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (2.4%)
148,200 OEA, Inc.(d) 2,537,926
280,295 Tava Technologies, Inc.(a)(d) 2,943,098
---------------
5,481,024
---------------
MISCELLANEOUS RETAIL (3.9%)
260,030 Funco, Inc.(a) 4,257,994
173,700 Guitar Center, Inc.(a)(d) 4,592,195
---------------
8,850,189
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (1.9%)
122,800 Covenant Transportation, Inc.(a) 2,010,854
174,015 Jevic Transportation, Inc.(a) 2,164,313
---------------
4,175,167
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (8.4%)
153,650 American Capital Strategies Ltd. 3,620,379
150,000 First Sierra Financial, Inc.(a) 3,646,875
164,980 Franchise Mortgage Acceptance Co. LLC(a) 3,629,560
111,000 Imperial Credit Industries, Inc.(a)(d) 2,344,877
223,025 Medallion Financial Corp. 5,631,382
---------------
18,873,073
---------------
OIL & GAS EXTRACTION (6.4%)
72,220 Atwood Oceanics, Inc. 3,737,385
123,995 Basin Exploration, Inc.(a) 1,952,922
153,700 Callon Petroleum Co.(a)(d) 2,536,050
180,570 Marine Drilling Co., Inc.(a) 3,396,973
94,500 Stolt Comex Seaway, S.A. 3,000,375
---------------
14,623,705
---------------
PAPER & ALLIED PRODUCTS (1.7%)
164,000 Ivex Packaging Corp.(a) 3,802,749
---------------
PRIMARY METAL INDUSTRIES (3.0%)
100,900 Quanex Corp. 3,134,206
152,970 Titanium Metals Corp.(d) 3,719,085
---------------
6,853,291
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (3.8%)
60,100 Mail-Well, Inc.(d) 2,764,600
101,050 Mecklermedia Corp.(a) 2,096,788
103,800 Valassis Communications, Inc.(a) 3,652,462
---------------
8,513,850
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (1.1%)
163,300 Friedman, Billings, Ramsey Group,
Inc.(a)(d) 2,561,771
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY STOCK PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
TRANSPORTATION EQUIPMENT (1.0%)
55,600 Orbital Sciences Corp.(a)(d) $ 2,272,650
---------------
WHOLESALE TRADE--DURABLE GOODS (5.6%)
75,700 CellStar Corp.(d) 2,278,101
146,000 CHS Electronics, Inc.(d) 2,901,751
159,200 Keystone Automotive Industries,
Inc.(a)(d) 4,139,152
135,050 SCP Pool Corp. 3,249,642
---------------
12,568,646
---------------
WHOLESALE TRADE--NONDURABLE GOODS (1.0%)
114,300 Fresh America Corp.(a) 2,214,563
---------------
TOTAL COMMON STOCKS (COST $198,501,017) 214,426,789
---------------
TIME DEPOSITS (5.0%)
11,231,734 PNC Bank, N.A. Nassau, 5.66%, 6/1/98
(cost $11,231,734) 11,231,734
---------------
TOTAL INVESTMENTS (100.0%) (COST $209,732,751) $ 225,658,523
---------------
---------------
- -----------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (94.6%)
AMUSEMENT & RECREATION SERVICES (2.0%)
22,490 Anchor Gamin(a) $ 2,046,590
---------------
APPAREL & ACCESSORY STORES (3.8%)
39,050 Claire's Stores, Inc. 734,628
60,440 Intimate Brands, Inc.(d) 1,733,872
37,040 St. John Knits, Inc. 1,423,725
---------------
3,892,225
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(1.7%)
61,470 Nautica Enterprises, Inc.(a)(d) 1,797,997
---------------
AUTOMOTIVE REPAIR, SERVICES & PARKING (1.2%)
40,860 Budget Group, Inc.(a) 1,205,370
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (3.2%)
49,200 Centex Corp.(d) 1,758,900
60,360 Toll Brothers, Inc.(a) 1,554,271
---------------
3,313,171
---------------
BUSINESS SERVICES (2.7%)
44,640 ADVO, Inc.(a) 1,118,791
66,400 Avant Corp.(a)(d) 1,705,650
---------------
2,824,441
---------------
CHEMICALS & ALLIED PRODUCTS (1.6%)
41,050 Dexter Corp. 1,693,312
---------------
COMMUNICATIONS (1.1%)
47,130 Aliant Communications, Inc. 1,092,827
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
59
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
EATING & DRINKING PLACES (3.1%)
103,400 Ruby Tuesday, Inc.(d) $ 1,660,863
73,905 Sonic Corp.(a) 1,528,910
---------------
3,189,773
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (5.0%)
28,690 Aeroquip-Vickers, Inc.(d) 1,771,607
16,310 C-Cube Microsystems, Inc. 319,064
35,900 Kuhlman Corp. 1,516,775
39,400 Teleflex, Inc. 1,593,237
---------------
5,200,683
---------------
FABRICATED METAL PRODUCTS (1.8%)
27,990 AptarGroup, Inc. 1,814,101
---------------
FOOD & KINDRED PRODUCTS (3.2%)
50,440 Adolph Coors Co. 1,891,500
29,700 Canandaigua Brands, Inc.(a) 1,369,913
---------------
3,261,413
---------------
FURNITURE & FIXTURES (3.3%)
109,590 O'Sullivan Industries Holdings, Inc.(a) 1,643,850
75,040 Winsloew Furniture, Inc.(a) 1,800,960
---------------
3,444,810
---------------
HEALTH SERVICES (4.1%)
121,900 NovaCare, Inc.(a) 1,340,900
81,300 Pediatric Services of America, Inc.(a) 1,504,050
54,300 RehabCare Group, Inc.(a) 1,408,406
---------------
4,253,356
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (10.1%)
66,750 Detroit Diesel Corp.(a) 1,635,375
48,830 Gleason Corp. 1,443,536
52,555 Graco, Inc. 1,819,717
50,320 Kaydon Corp. 1,984,495
39,050 Pentair, Inc. 1,713,319
130,230 Scitex Corp. Ltd.(a) 1,806,942
---------------
10,403,384
---------------
INSURANCE AGENTS, BROKERS & SERVICE (1.7%)
47,610 E.W. Blanch Holdings, Inc. 1,791,327
---------------
INSURANCE CARRIERS (5.2%)
46,394 Fidelity National Financial, Inc.(d) 1,548,400
43,900 LandAmerica Financial Group, Inc. 2,096,226
9,980 Markel Corp.(a) 1,724,668
---------------
5,369,294
---------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (1.6%)
57,870 TJ International, Inc. 1,674,613
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (5.4%)
66,140 CONMED Corp.(a) 1,397,208
90,070 Esco Electronics Corp.(a)(d) 1,615,631
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL
GOODS (continued)
<TABLE>
<C> <S> <C>
75,680 Esterline Technologies Corp.(a) $ 1,627,120
74,090 Integrated Circuit Systems, Inc.(d) 1,021,056
---------------
5,661,015
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (3.1%)
55,430 M.S. Carriers, Inc.(a) 1,655,971
47,910 USFreightways Corp. 1,509,165
---------------
3,165,136
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.6%)
51,650 AmeriCredit Corp.(a) 1,685,082
---------------
OIL & GAS EXTRACTION (4.6%)
64,980 Pool Energy Services Co.(a) 1,323,968
36,370 Veritas DGC, Inc.(a) 1,884,420
85,390 Vintage Petroleum, Inc. 1,547,693
---------------
4,756,081
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (1.8%)
24,680 Lone Star Industries, Inc.(d) 1,855,628
---------------
TRANSPORTATION BY AIR (4.9%)
44,800 Airborne Freight Corp. 1,668,800
64,600 America West Airlines, Inc.(a)(d) 1,828,988
53,505 Midwest Express Holdings, Inc.(a) 1,534,925
---------------
5,032,713
---------------
TRANSPORTATION EQUIPMENT (6.9%)
34,730 Cordant Technologies, Inc. 1,732,158
73,320 Monaco Coach Corp.(a) 1,979,640
118,710 Simpson Industries, Inc. 1,661,940
51,310 Varlen Corp. 1,738,126
---------------
7,111,864
---------------
TRANSPORTATION SERVICES (1.6%)
60,040 Circle International Group, Inc. 1,624,832
---------------
WATER TRANSPORTATION (1.6%)
84,440 Trico Marine Services, Inc.(a)(d) 1,667,690
---------------
WHOLESALE TRADE--DURABLE GOODS (2.9%)
76,900 Ballantyne of Omaha, Inc.(a) 1,408,231
69,120 Pomeroy Computer Resources, Inc.(a) 1,555,200
---------------
2,963,431
---------------
WHOLESALE TRADE-NONDURABLE GOODS (3.8%)
80,690 Day Runner, Inc.(a) 1,775,180
10,010 Men's Wearhouse, Inc.(a) 426,676
28,800 United Stationers, Inc.(a) 1,717,200
---------------
3,919,056
---------------
TOTAL COMMON STOCKS
(COST $92,333,952) 97,711,215
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
60
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
REPURCHASE AGREEMENTS (1.9%)
$ 2,000,000 BancAmerica Robertson Stephens, 5.58%,
6/1/98 to be repurchased at $2,000,930
(cost $2,000,000)(e) $ 2,000,000
---------------
TIME DEPOSITS (3.5%)
3,641,360 PNC Bank, N.A. Nassau, 5.57%, 6/1/98
(cost $3,641,360) 3,641,360
---------------
TOTAL INVESTMENTS (100.0%) (COST $97,975,312) $ 103,352,575
---------------
---------------
- -----------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (97.5%)
ADMINISTRATION OF ENVIRONMENTAL QUALITY & HOUSING PROGRAMS (1.1%)
124,800 Dames & Moore, Inc. $ 1,614,600
---------------
AMUSEMENT & RECREATION SERVICES (1.7%)
79,400 Jackpot Enterprises, Inc.(a) 972,650
106,800 Station Casinos, Inc.(a) 1,588,650
---------------
2,561,300
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (2.3%)
17,727 M/I Schottenstein Homes, Inc. 356,755
47,800 NVR, Inc.(a) 1,535,575
156,100 Southern Energy Homes, Inc.(a) 1,541,487
---------------
3,433,817
---------------
BUSINESS SERVICES (5.2%)
4,231 Grey Advertising, Inc. 1,891,257
56,400 Learning Co.(a)(d) 1,607,400
58,900 Leasing Solutions, Inc.(a) 1,649,200
54,800 Network Equipment Technologies, Inc.(a) 859,674
56,300 Ogden Corp. 1,608,068
---------------
7,615,599
---------------
CHEMICALS & ALLIED PRODUCTS (1.6%)
42,800 Georgia Gulf Corp. 1,072,675
74,500 Mississippi Chemical Corp. 1,247,875
---------------
2,320,550
---------------
DEPOSITORY INSTITUTIONS (18.5%)
53,300 Anchor Bancorp Wisconsin, Inc. 2,258,588
16,600 First Citizens BancShares, Inc. 1,759,600
39,300 ALBANK Financial Corp. 2,043,600
60,500 Andover Bancorp, Inc. 2,072,127
43,400 BSB Bancorp, Inc. 1,361,676
59,400 Banknorth Group, Inc. 2,168,100
55,075 Commercial Federal Corp. 1,834,685
90,900 Commonwealth Bancorp, Inc. 2,147,512
37,274 Community Bank System, Inc. 1,264,987
60,100 First Republic Bank(a) 1,998,325
55,000 FirstFed Financial Corp.(a) 2,698,438
45,685 Medford Bancorp, Inc. 1,941,612
46,800 SIS Bancorp, Inc. 1,959,751
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
DEPOSITORY INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
75,900 Statewide Financial Corp. $ 1,745,700
---------------
27,254,701
---------------
EATING & DRINKING PLACES (2.4%)
118,900 Piccadilly Cafeterias, Inc. 1,530,837
200,100 Ryan's Family Steak Houses, Inc.(a) 2,038,518
---------------
3,569,355
---------------
ELECTRIC, GAS & SANITARY SERVICES (10.4%)
24,900 BEC Energy 1,010,006
30,600 CILCORP, Inc. 1,348,312
95,700 Central Maine Power Co. 1,830,263
91,700 Central Vermont Public Service 1,341,112
49,500 Commonwealth Energy System 1,881,000
68,600 Public Service Co. of New Mexico 1,487,763
54,300 Rochester Gas & Electric Corp. 1,669,725
55,600 TNP Enterprises, Inc. 1,810,475
92,500 UniSource Energy Corp.(a) 1,462,656
47,900 WPS Resources Corp. 1,499,868
---------------
15,341,180
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (4.3%)
27,100 DuPont Photomasks, Inc.(a) 1,154,292
79,400 HMT Technology Corp.(a)(d) 923,025
39,000 Harman International Industries, Inc. 1,659,938
23,100 Inacom Corp.(a)(d) 749,307
101,300 Powell Industries, Inc.(a) 1,215,600
107,600 SymmetriCom, Inc.(a) 679,225
---------------
6,381,387
---------------
FABRICATED METAL PRODUCTS (2.6%)
19,700 Alliant Techsystems, Inc.(a) 1,270,650
40,900 Nortek, Inc.(a) 1,257,675
67,600 Wyman-Gordon Co.(a)(d) 1,343,550
---------------
3,871,875
---------------
FOOD STORES (0.8%)
96,400 Ingles Markets, Inc. 1,205,000
---------------
GENERAL MERCHANDISE STORES (1.2%)
87,700 Homebase, Inc.(d) 761,894
28,200 Shopko Stores, Inc.(a) 983,475
---------------
1,745,369
---------------
HEALTH SERVICES (2.2%)
56,200 Genesis Health Ventures, Inc.(a)(d) 1,422,563
49,700 Integrated Health Services, Inc.(d) 1,848,219
---------------
3,270,782
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.6%)
56,500 Ampco Pittsburgh Corp. 833,375
89,300 Auspex Systems, Inc.(a) 496,731
37,700 DT Industries, Inc. 1,092,123
46,000 Data General Corp.(a)(d) 701,500
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
61
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
41,760 Gleason Corp. $ 1,234,531
39,700 Tractor Supply Co.(a) 957,762
---------------
5,316,022
---------------
INSURANCE CARRIERS (8.5%)
68,600 ARM Financial Group, Inc. 1,402,012
68,400 Acceptance Insurance Cos., Inc.(a) 1,573,200
40,900 Farm Family Holdings, Inc.(a) 1,674,343
58,200 Frontier Insurance Group, Inc.(d) 1,425,900
78,700 HCC Insurance Holdings, Inc.(d) 1,682,212
61,700 Nymagic, Inc. 1,804,725
45,599 PXRE Corp. 1,436,368
81,600 Symons International Group, Inc.(a) 1,509,600
---------------
12,508,360
---------------
MACHINERY (0.8%)
69,900 Global Industrial Technologies, Inc.(a) 1,183,931
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (3.4%)
69,900 ADAC Laboratories(a) 1,389,263
34,000 CONMED Corp.(a) 718,250
46,600 Esterline Technologies Corp.(a) 1,001,900
36,289 Invacare Corp. 957,123
31,400 Tech-Sym Corp.(a) 908,639
---------------
4,975,175
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (1.2%)
85,900 K2, Inc. 1,718,000
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (1.6%)
132,900 Arkansas Best Corp.(a) 1,295,775
56,500 Roadway Express, Inc. 1,062,906
---------------
2,358,681
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.2%)
120,917 Consumer Portfolio Services, Inc.(a)(d) 1,435,889
118,100 Southern Pacific Funding Corp.(a)(d) 1,815,787
---------------
3,251,676
---------------
OIL & GAS EXTRACTION (2.6%)
20,200 Devon Energy Corp. 741,088
38,900 Giant Industries, Inc. 731,806
27,900 SEACOR SMIT, Inc.(a)(d) 1,632,150
40,300 Vintage Petroleum, Inc. 730,438
---------------
3,835,482
---------------
PERSONAL SERVICES (1.0%)
68,372 Angelica Corp. 1,538,370
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (0.6%)
43,000 Tesoro Petroleum Corp.(a) 830,438
---------------
PRIMARY METAL INDUSTRIES (8.5%)
76,900 AK Steel Holding Corp. 1,432,262
28,700 Carpenter Technology Corp. 1,521,100
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
49,100 Chase Industries, Inc.(a) $ 1,519,032
39,646 Citation Corp.(a) 758,230
80,800 Intermet Corp. 1,575,600
34,100 Lone Star Technologies, Inc.(a) 647,900
77,100 National Steel Corp. 1,214,325
70,000 RMI Titanium Co.(a)(d) 1,500,625
19,600 Texas Industries, Inc. 1,163,750
51,600 Titanium Metals Corp.(d) 1,254,525
---------------
12,587,349
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (2.2%)
39,300 Bowne & Co., Inc. 1,682,532
35,400 Media General, Inc. 1,628,400
---------------
3,310,932
---------------
TEXTILE MILL PRODUCTS (0.6%)
23,800 Oxford Industries, Inc. 830,025
---------------
TRANSPORTATION EQUIPMENT (0.7%)
36,600 TransTechnology Corp. 988,200
---------------
WHOLESALE TRADE--DURABLE GOODS (1.5%)
60,000 Associated Materials Inc.(a) 930,000
43,500 Commercial Metals Co. 1,334,906
---------------
2,264,906
---------------
WHOLESALE TRADE--NONDURABLE GOODS (4.2%)
50,000 Burlington Coat Factory Warehouse 1,003,125
71,700 Nash-Finch Co. 1,209,937
80,800 Performance Food Group Co.(a) 1,515,000
89,000 Standard Commercial Corp.(a) 990,125
38,700 Universal Corp. 1,453,669
---------------
6,171,856
---------------
TOTAL COMMON STOCKS
(COST $128,734,013) 143,854,918
---------------
TIME DEPOSITS (2.5%)
3,666,930 PNC Bank, NA Nassau, 5.66%, 6/1/98 (cost
$3,666,930) 3,666,930
---------------
TOTAL INVESTMENTS (100.0%) (COST $132,400,943) $ 147,521,848
---------------
---------------
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (98.1%)
APPAREL & ACCESSORY STORES (3.6%)
435,000 Just For Feet, Inc.(a) $ 9,542,812
291,000 North Face, Inc.(a) 7,220,437
323,200 Stage Stores, Inc.(a) 15,069,200
---------------
31,832,449
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(4.3%)
478,400 Nautica Enterprises, Inc.(a) 13,993,200
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
62
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(continued)
<TABLE>
<C> <S> <C>
164,400 Tommy Hilfiger Corp.(a) $ 11,055,900
321,100 Warnaco Group, Inc., Class A 13,245,375
---------------
38,294,475
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME
DEALERS (1.0%)
312,500 Central Garden & Pet Co.(a) 9,238,282
---------------
BUSINESS SERVICES (10.2%)
163,100 ATL Ultrasound, Inc. 7,390,469
190,700 Autodesk, Inc. 8,104,750
211,800 Legato Systems, Inc. 6,062,776
385,700 Platinum Technology, Inc.(a) 10,558,537
278,700 Rental Service Corp.(a) 7,228,781
327,500 Select Appointments Holdings Public Ltd.
Co. 9,456,562
355,100 Snyder Communications, Inc.(a) 14,314,968
591,700 Symantec Corp.(a) 14,126,837
339,000 Synopsys, Inc.(a) 14,555,813
---------------
91,799,493
---------------
CHEMICALS & ALLIED PRODUCTS (9.8%)
245,300 Agouron Pharmaceuticals, Inc. 8,340,200
514,400 Alkermes, Inc.(a) 11,252,500
54,800 Axogen Ltd.(a) 3,178,400
215,000 Barr Laboratories, Inc.(a) 8,774,688
243,900 Biovail Corp. International(a) 8,277,356
199,444 Elan Corp. plc ADR(a) 12,203,480
541,800 Genzyme Corp. 14,831,775
40,000 North American Vaccine, Inc.(a) 782,500
238,400 Protein Design Labs, Inc.(a) 5,989,800
332,800 Sepracor, Inc.(a) 14,310,400
---------------
87,941,099
---------------
COMMUNICATIONS (2.3%)
387,200 Electric Lightwave, Inc.(a) 5,275,600
823,100 Western Wireless Corp.(a) 15,227,350
---------------
20,502,950
---------------
CONTAINERS (0.7%)
272,900 Ivex Packaging Corp.(a) 6,327,868
---------------
DOMESTIC DEPOSITORY INSTITUTIONS (3.4%)
437,000 Golden State Bancorp, Inc.(a) 16,742,563
810,700 Independence Community Bank Corp.(a) 14,085,912
---------------
30,828,475
---------------
EATING & DRINKING PLACES (3.1%)
444,300 Apple South, Inc. 5,831,438
467,000 Buffets, Inc.(a) 7,617,937
478,300 Foodmaker, Inc.(a) 8,071,312
271,300 Landry's Seafood Restaurants, Inc.(a) 6,146,655
---------------
27,667,342
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (5.1%)
150,200 ATMI, Inc.(a) $ 2,722,375
355,000 American Power Conversion Corp.(a) 10,650,000
439,800 Artesyn Technologies, Inc.(a) 7,215,490
90,400 Benchmark Electronics, Inc. 1,824,950
94,800 CTS Corp. 2,962,500
182,100 Micrel, Inc. 5,696,325
377,700 Xilink, Inc.(a) 14,364,423
---------------
45,436,063
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (1.5%)
323,200 Core Laboratories N.V. 8,544,601
593,000 Medaphis Corp.(a) 4,447,500
---------------
12,992,101
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(1.3%)
205,500 Tower Automotive, Inc.(a) 9,645,657
108,600 Metals USA, Inc.(a) 2,009,100
---------------
11,654,757
---------------
HEALTH SERVICES (3.5%)
498,304 Quorum Health Group, Inc. 14,980,143
54,366 SonoSight, Inc.(a) 366,970
522,633 Total Renal Care Holdings, Inc. 16,038,301
---------------
31,385,414
---------------
HOLDING & OTHER INVESTMENT OFFICES (1.8%)
244,900 Capital Automotive 3,520,437
355,000 Chastain Capital Corp.(a) 4,925,625
349,600 Consolidation Capital Corp.(a) 7,713,050
---------------
16,159,112
---------------
HOSPITAL SUPPLY (0.7%)
286,600 Maxxim Medical, Inc.(a) 6,699,276
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.9%)
494,400 Pentair, Inc. 21,691,800
113,000 SPS Technologies, Inc. 6,624,625
414,300 Xircom, Inc.(a) 6,499,331
---------------
34,815,756
---------------
INSURANCE CARRIERS (1.5%)
340,200 Everest Reinsurance Holdings, Inc. 13,225,275
---------------
MISCELLANEOUS REPAIR SERVICES (0.6%)
174,300 World Access, Inc.(a) 5,468,663
---------------
MISCELLANEOUS RETAIL (3.3%)
312,900 CSK Auto Corp.(a) 8,409,188
378,000 Borders Group, Inc.(a) 11,718,000
236,400 Tech Data Corp.(a) 9,603,750
---------------
29,730,938
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
63
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (1.8%)
378,651 Swift Transportation, Inc. $ 8,424,963
247,600 USFreightways Corp. 7,799,400
---------------
16,224,363
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (3.5%)
415,000 American Capital Strategies Ltd. 9,778,438
228,000 First Sierra Financial, Inc.(a) 5,543,250
329,900 Heller Financial, Inc.(a) 9,195,963
414,900 UniCapital Corp.(a) 7,208,888
---------------
31,726,539
---------------
OIL & GAS EXTRACTION (8.9%)
327,100 Apache Corp. 11,182,731
232,000 Cooper Cameron Corp. 13,804,000
199,900 Dawson Production Services, Inc.(a) 2,223,887
260,500 Global Industries Ltd. 5,551,906
496,200 Marine Drilling Co., Inc.(a) 9,334,762
346,100 Noble Drilling Corp.(a) 10,209,950
472,800 Parker Drilling Co.(a) 3,989,250
328,600 R & B Falcon Corp.(a) 9,426,712
303,600 Rowan Cos., Inc.(a) 7,760,775
176,100 Santa Fe International Corp. 6,141,488
---------------
79,625,461
---------------
PRIMARY METAL INDUSTRIES (3.0%)
247,400 Essex International, Inc.(a) 6,076,763
574,351 General Cable Corp. 15,220,276
233,200 Titanium Metals Corp. 5,669,675
---------------
26,966,714
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (1.4%)
350,500 Valassis Communications, Inc.(a) 12,333,218
---------------
REAL ESTATE (2.0%)
378,700 Intrawest Corp. 7,502,994
377,100 Newhall Land & Farming Co. 10,794,487
---------------
18,297,481
---------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (2.2%)
209,800 EVI Weatherford, Inc. 10,608,012
304,700 Standard Products Co. 8,950,562
---------------
19,558,574
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (1.2%)
305,400 Amresco, Inc.(a) 10,307,250
---------------
TRANSPORTATION EQUIPMENT (4.8%)
382,350 AAR Corp. 10,108,378
352,900 Gulfstream Aerospace Corp.(a) 14,998,250
200,200 Hayes Lemmerz International, Inc.(a) 7,845,337
375,300 Wabash National Corp. 9,734,343
---------------
42,686,308
---------------
TRANSPORTATION SERVICES (0.8%)
176,300 Coach USA, Inc.(a) 7,591,919
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
WATER TRANSPORTATION (0.9%)
196,900 Sea Containers, Ltd. $ 7,962,144
---------------
WHOLESALE TRADE--DURABLE GOODS (4.6%)
537,000 CHS Electronics, Inc. 10,672,875
225,700 HA-LO Industries, Inc.(a) 6,982,593
570,100 ITEQ, Inc.(a) 6,769,937
446,500 PSS World Medical, Inc.(a) 5,581,250
205,600 Reliance Steel & Aluminum Co. 7,851,351
190,500 West Marine, Inc.(a) 3,655,218
---------------
41,513,224
---------------
WHOLESALE TRADE--NONDURABLE GOODS (1.4%)
282,200 Daisytek International Corp. 7,196,100
162,700 National-Oilwell, Inc. 5,684,332
---------------
12,880,432
---------------
TOTAL COMMON STOCKS
(COST $738,072,386) 879,673,415
---------------
TIME DEPOSITS (1.9%)
16,802,411 PNC Bank, N.A. Nassau, 5.66%, 6/1/98
(cost $16,802,411) 16,802,411
---------------
TOTAL INVESTMENTS (100.0%) (COST $754,874,797) $ 896,475,826
---------------
---------------
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO
- -----------------------------------------------------------------
STOCKS & WARRANTS (91.1%)
AUSTRALIA (2.2%)
COMMON STOCKS
920,000 Australia & New Zealand Banking Group
Ltd. $ 6,534,385
326,000 Brambles Industries Ltd. 6,615,558
451,789 Broken Hill Proprietary Co. Ltd. 3,871,022
327,000 Telstra Corp. 770,086
521,000 Woodside Petroleum Ltd. 2,995,603
---------------
20,786,654
---------------
AUSTRIA (0.8%)
PREFERRED STOCK
43,250 Bank Austria AG(d) 3,885,464
42,890 Bank Austria AG(d) 3,836,027
---------------
7,721,491
---------------
BELGIUM (1.1%)
COMMON STOCKS
11,498 Grupo Bruxelles Lambert 2,528,374
119,140 IPSO-Industrial Laundry Group 8,430,215
---------------
10,958,589
---------------
DENMARK (1.8%)
COMMON STOCKS
232,650 International Service System A/S 11,989,266
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
64
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
DENMARK (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
60,560 Unidanmark A/S $ 4,895,305
---------------
16,884,571
---------------
FINLAND (0.3%)
COMMON STOCKS
129,800 Rauma Group(d) 2,683,204
---------------
FRANCE (8.8%)
COMMON STOCKS
54,580 Accor SA 14,970,545
38,990 Canal Plus 7,077,479
68,018 Compagnie Generale des Eaux 13,665,447
95,975 Elf Aquitaine 13,330,752
39,570 Groupe Danone 10,655,090
27,920 Legrand SA 7,700,074
155,000 METALEUROP, SA 1,606,272
126,107 Michelin 7,803,171
23,595 Primagaz Cie 2,015,284
1 Societe Generale 267
32,350 Suez Lyonnaise des Eaux 5,520,718
---------------
84,345,099
---------------
WARRANTS
55,391 Cie Generale Des Eaux Warrants 96,286
2,145 Primagaz Cie 25,635
---------------
121,921
---------------
84,467,020
---------------
GERMANY (11.8%)
COMMON STOCKS
45,500 Allianz AG(d) 14,394,211
301,080 Bayer AG(d) 14,405,499
187,560 Deutsche Bank AG(d) 16,159,535
107,660 Hoechst AG 5,374,546
15,760 Mannesmann AG 15,425,848
288,310 Tarkett AG(d) 11,320,227
144,100 Veba AG 9,473,031
---------------
86,552,897
---------------
PREFERRED STOCK
47,300 SAP AG(d) 26,265,987
---------------
112,818,884
---------------
ITALY (4.1%)
COMMON STOCKS
8,665,350 Banca di Roma(d) 17,880,174
1,067,100 Fiat SpA 4,780,326
2,217,742 Telecom Italia SpA(d) 16,770,665
---------------
39,431,165
---------------
JAPAN (13.4%)
COMMON STOCKS
336,000 Amada Metrecs Co. Ltd. 2,012,629
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
JAPAN (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
258,000 Arcland Sakamoto(d) $ 1,694,368
120,000 Asahi Bank Ltd.(d) 451,198
274,000 Bridgestone Corp.(d) 6,248,620
265,650 Credit Saison Co. Ltd.(d) 5,329,678
239,000 Dai-Dan Co. Ltd. 1,310,864
1,122,000 Dai-Tokyo Fire & Marine Insurance Co. 3,765,236
319,000 Daiwa House Industry Co. Ltd. 2,484,040
674,000 Daiwa Securities 2,563,404
847 East Japan Railway Co. 4,022,126
151,000 Fuji Photo Film Co. 5,110,886
90,000 Glory Ltd. 1,627,034
667,000 Hanshin Electric Railway(d) 1,978,398
768,000 Hitachi Ltd. 5,060,326
79,000 Ito-Yokado Co. Ltd. 3,933,892
314,000 Japan Airport Terminal Co. 1,778,876
2,771,000 Kobe Steel Ltd.(d) 2,119,770
33,000 Kyocera Corp. 1,609,930
32,000 Mabuchi Motor Co. 2,078,446
452,000 Matsushita Electric Industrial Co.
Ltd.(d) 7,078,555
69,100 Meiko Shokai 877,684
506,000 Mitsubishi Corp. 3,052,835
877,000 Mitsubishi Electric Corp. 2,075,966
800,000 Mitsui & Co.(d) 4,099,159
230,000 Mitsui Fudosan Co. Ltd. 1,860,715
181,000 Murata Manufacturing Co. Ltd. 5,264,173
69,600 Nagaileben Co. Ltd.(d) 1,255,726
556,000 Oji Paper Co. Ltd.(d) 2,347,346
263,000 Omron Corp. 3,966,873
31,300 SMC Corp.(d) 2,529,931
64,000 Secom Ord. 3,634,973
337,000 Showa Shell Sekiyu 1,529,772
60,000 Sony Corp. 5,066,214
1,426,000 Sumitomo Metal Industries(d) 2,212,608
231,000 Takeda Chemical Ind. 5,968,175
840,000 Teijin Ltd. 2,533,973
38,500 Toho Co. 4,306,642
324,000 Tokio Marine & Fire Insurance Co. 3,067,788
547,000 Toppan Printing Co. Ltd. 5,968,780
170,000 Toyota Motor Corp. 4,208,135
---------------
128,085,744
---------------
NETHERLANDS (12.9%)
COMMON STOCKS
111,140 Aegon NV 8,906,247
407,000 ABN Amro Holdings(d) 9,865,561
401,000 Elsevier NV 6,247,225
197,800 Gucci Group(d) 8,975,175
353,125 Heineken NV 13,586,463
674,749 ING Group NV 46,380,402
175,081 Oce NV 7,363,667
200,390 Philips Electronics NV 19,060,540
140,000 Xeikon NV(a)(d) 3,386,251
---------------
123,771,531
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
65
<PAGE>
SCHEDULES OF INVESTMENTS (CONCLUDED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
NETHERLANDS (continued)
<TABLE>
<C> <S> <C>
PREFERRED STOCK
8,400 ING Group NV $ 38,841
---------------
123,810,372
---------------
PORTUGAL (1.9%)
COMMON STOCKS
260,360 Portugal Telecom 13,699,393
177,750 Semapa - Sociedade de Investimento e
Gestao SGPS SA 4,866,325
---------------
18,565,718
---------------
SINGAPORE (1.0%)
COMMON STOCKS
967,000 City Developments Ltd. 3,494,833
538,200 Development Bank of Singapore Ltd.(d) 3,247,205
248,698 Singapore Press Holdings Ltd. 2,035,346
261,000 United Overseas Bank Ltd. 1,021,237
---------------
9,798,621
---------------
SPAIN (2.8%)
COMMON STOCKS
66,000 Banco Popular Espanol SA 5,242,838
132,000 Centros Comerciales Pryca SA(d) 2,420,778
781,130 Endesa SA 18,739,066
---------------
26,402,682
---------------
SWEDEN (1.8%)
COMMON STOCKS
243,000 Atlas Copco AB(d) 7,183,657
368,000 Telefonaktiebolaget LM Ericsson "B"
Shares 10,503,006
---------------
17,686,663
---------------
SWITZERLAND (9.6%)
COMMON STOCKS
9,140 Asea Brown Boveri Ltd.(d) 15,515,623
4,830 Alusuisse-Lonza Holding AG(d) 6,500,541
2,840 Nestle SA 6,094,495
21,928 Novartis AG 37,194,254
860 Roche Holding AG(d) 8,861,153
19,770 Selectra Group 4,037,970
22,160 Zurich Versicherungsgesellschaft(d) 13,863,115
---------------
92,067,151
---------------
UNITED KINGDOM (16.8%)
COMMON STOCKS
1,131,900 Airtours plc 8,398,800
438,000 Allied Domecq plc 4,360,714
1,462,000 Asda Group plc 4,339,270
179,900 Barclays plc 4,793,813
811,911 Blue Circle Industries plc 5,203,542
522,200 British Airways plc 5,518,356
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
UNITED KINGDOM (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
522,000 British Energy plc $ 4,809,687
482,300 British Land Co. plc 5,273,681
400,000 British Sky Broadcasting Group plc 2,811,481
322,700 Cable & Wireless plc 3,646,952
342,609 Cadbury Schweppes plc 5,232,441
1,645,800 David S. Smith Holdings plc 6,709,883
267,000 De La Rue plc 1,280,138
360,000 EMI Group plc 3,041,095
429,600 Enterprise Oil plc 3,975,830
161,800 HSBC Holdings plc 4,221,787
185,300 Johnson Matthey plc 1,862,972
334,600 Kingfisher plc 5,920,435
1,012,300 LASMO plc 4,787,459
530,000 Lloyds TSB Group plc 7,688,111
1,139,000 LucasVarity plc 5,015,168
1,263,900 MFI Furniture plc 1,648,923
208,000 Marks & Spencer plc 1,852,055
36,220 National Westminster Bank plc 660,962
1,483,000 Pilkington Brothers plc 3,555,136
389,420 Prudential Corp. plc 5,169,405
584,243 Rank Group plc 3,401,413
199,000 Rio Tinto plc 2,484,256
1,395,730 Rolls-Royce plc 6,640,643
243,596 Standard Chartered plc 3,023,102
309,200 Tesco plc 2,712,812
371,405 Tibbett & Britten Group plc 3,591,701
443,844 United News & Media plc 6,373,199
1,065,074 Vodafone Group plc 11,689,412
580,100 Williams Holdings plc 4,162,491
99,000 Zeneca Group plc 4,018,445
---------------
159,875,570
---------------
TOTAL STOCKS, WARRANTS & RIGHTS (COST $669,127,444) 872,044,099
---------------
CASH MANAGEMENT ACCOUNTS (4.9%)
46,779,038 Treasury Fund (cost $46,779,038) 46,779,038
---------------
CERTIFICATES OF DEPOSIT (4.0%)
17,000,000 Barclays Bank, 5.48%, 7/2/98 17,000,000
6,000,000 Deutsche Bank, 5.47%, 6/22/98 6,000,000
15,000,000 Morgan Guaranty, 5.48%, 6/2/98 15,000,000
---------------
TOTAL CERTIFICATES OF DEPOSIT (COST $38,000,000) 38,000,000
---------------
TOTAL INVESTMENTS (100.0%) (COST $753,906,482) $ 956,823,137
---------------
---------------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACT
CONTRACT TO SELL
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION UNDERLYING FACE UNREALIZED
DATE CURRENCY UNITS AMOUNT OF VALUE APPRECIATION
- ---------- ------------ ------------ --------------- ------------
<C> <S> <C> <C> <C>
6/19/98 Japanese Yen 3,000,000,000 ($21,649,500) $1,769,338
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
66
<PAGE>
NOTES TO SCHEDULES OF INVESTMENTS MAY 31, 1998
- --------------------------------------------------------------------------------
(a) Non-income producing security
(b) Securities that may be resold to "qualified institutional buyers" under rule
144A or securities offered pursuant to 4(2) of the Securities Act of 1933,
as amended. The Board of Trustees has deemed these securities to be liquid
at May 31, 1998
(c) During the year June 1, 1997 through May 31, 1998, Index Portfolio purchased
20,000 shares of Norwest Corp
(d) Part or all of this investment on loan, see Note 7 of Notes to Financial
Statements
(e) The Portfolios have invested in a joint repurchase agreement. The following
represents the collateral on the BancAmerica Robertson Stephens joint
repurchase agreement: Collateralized by $136,000,000 FNMA Discount Notes,
5.41% to 5.43%, 1998; $85,000,000 FHLMC Discount Notes, 5.43% to 5.45%,
1998; $13,960,000 FFCB Discount Notes, 5.42%, 1998; $119,000,000 FHLB
Discount Notes, 5.37% to 5.38%, 1998; $30,000,000 FNMA Agency Notes, 6.05%,
3/12/01; $9,275,000 FHLB Agency Notes, 5.51%, 2/6/01 and $20,250,000 FHLB
Agency Notes, 5.71%, 3/19/03, with a total market value of $408,309,000.
(f) At May 31, 1998, $1,410,000 of U.S. Treasury Bills, 4/29/99, with a market
value of $1,343,552, were pledged to cover margin requirements fo open
future contracts
(g) At May 31, 1998, $190,000 of U.S. Treasury Bills, 10/08/98, with a market
value of $186,582 and $50,000 of U.S. Treasury Bills, 4/29,99, with a market
value of $47,634, were pledged to cover margin requirements for open futures
contracts
ABBREVIATIONS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ADR American Depositary Receipts
AFC Allmerica Financial Corporation
AMBAC American Municipal Bond Assurance Corporation
ARM Adjustable Rate Mortgage
EQCC EquiCredit Corporation
FAMC Federal Agricultural Mortgage Corporation
FFCB Federal Farm Credit Bank
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
FSA Financial Security Assurance, Inc.
GMAC General Motors Acceptance Corporation
GNMA Government National Mortgage Association
HCLT Household Consumer Loan Trust
MLMI Merrill Lynch Mortgage Investors
MNB Maryland National Bank
PRAT Premier Auto Trust
RFMSI Residential Funding Mortgage Security I
RTC Resolution Trust Corporation
RV Revenue Bonds
SBA Small Business Administration
SD School District
V/R Variable rate
</TABLE>
See Notes to Financial Statements CORE TRUST (DELAWARE)
67
<PAGE>
(This page has been left blank intentionally.)
<PAGE>
SCHRODER CAPITAL FUNDS
ANNUAL REPORT
MAY 31, 1998
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
SCHRODER GLOBAL GROWTH PORTFOLIO
SCHRODER EM CORE PORTFOLIO
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS MAY 31, 1998
- --------------------------------------------------------------------------------
To Trustees and Investors of Schroder Capital Funds
In our opinion, the accompanying statements of assets and
liabilities, including the schedules of investments, and
related statements of operations and of changes in net assets
and the financial highlights present fairly, in all material
respects, the financial position of three portfolios of
Schroder Capital Funds: Schroder U.S. Smaller Companies
Portfolio, Schroder Global Growth Portfolio and Schroder EM
Core Portfolio (collectively the "Portfolios"), at May 31,
1998, the results of their operations, the changes in their
net assets and the financial highlights for each of the
periods indicated therein, in conformity with generally
accepted accounting principles. These financial statements and
financial highlights (herein referred to as "financial
statements") 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 of these financial statements in accordance with
generally accepted auditing standards which require that we
plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used
and significant estimates made by management, and evaluating
the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at May
31, 1998, by correspondence with the custodian and brokers,
provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
July 21, 1998
SCHRODER CAPITAL FUNDS
70
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHRODER SCHRODER
U.S. SMALLER GLOBAL SCHRODER
COMPANIES GROWTH EM CORE
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ----------- ------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost........................... $292,812,680 $2,333,587 $ 26,482,507
Net unrealized appreciation (depreciation).... 39,290,499 216,577 (2,346,374)
------------- ----------- ------------
TOTAL INVESTMENTS AT VALUE........................ 332,103,179 2,550,164 24,136,133
Cash and cash equivalents (Note 2).............. 19,665,550 604,726 2,606,408
Receivable for securities sold.................. 5,128,850 - 71,010
Receivable for forward foreign currency
contracts, net (Note 2)....................... - 6,062 -
Receivable from administrator (Notes 3 and 6)... - 71,973
Receivable for dividends, tax reclaims and
interest...................................... 140,278 7,886 139,532
Organization costs, net of amortization (Note
2)............................................ 16,078 851 859
------------- ----------- ------------
TOTAL ASSETS...................................... 357,053,935 3,241,662 26,953,942
------------- ----------- ------------
LIABILITIES:
Payable for securities purchased................ 975,262 8,947 131,306
Payable to adviser (Note 3)..................... 184,522 - 13,351
Payable to other related parties (Note 3)....... 90,730 69,209 78,277
Accrued expenses and other liabilities.......... - 974 973
------------- ----------- ------------
TOTAL LIABILITIES................................. 1,250,514 79,130 223,907
------------- ----------- ------------
NET ASSETS........................................ $355,803,421 $3,162,532 $ 26,730,035
------------- ----------- ------------
------------- ----------- ------------
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
71
<PAGE>
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHRODER U.S. SCHRODER
SMALLER COMPANIES GLOBAL GROWTH
PORTFOLIO PORTFOLIO(A)
------------------- ---------------
<S> <C> <C>
INVESTMENT INCOME:
Dividend income(c)................................................................. $ 1,309,477 $ 15,815
Interest income.................................................................... 709,293 17,416
------------------- ---------------
TOTAL INVESTMENT INCOME.............................................................. 2,018,770 33,231
------------------- ---------------
EXPENSES:
Advisory (Note 3).................................................................. 1,419,439 8,177
Administration (Note 3)............................................................ -- 2,453
Subadministration (Note 3)......................................................... 177,430 15,685
Interestholder recordkeeping (Note 3).............................................. 12,241 7,614
Custody............................................................................ 30,609 17,419
Accounting (Note 3)................................................................ 40,000 37,742
Legal.............................................................................. 31,723 342
Audit.............................................................................. 34,169 17,550
Trustees' fees..................................................................... 6,999 60
Amortization of organization costs (Note 2)........................................ 5,017 123
Miscellaneous...................................................................... 26,575 3,783
------------------- ---------------
TOTAL EXPENSES....................................................................... 1,784,202 110,948
Fees waived and expenses reimbursed (Note 6)....................................... - (97,061)
------------------- ---------------
NET EXPENSES......................................................................... 1,784,202 13,887
------------------- ---------------
NET INVESTMENT INCOME (LOSS)......................................................... 234,568 19,344
------------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS:
Net Realized Gain (Loss) from:
Securities......................................................................... 6,355,034 (34,123)
Foreign currency................................................................... - 3,791
------------------- ---------------
Net Realized Gain (Loss) from Investments...................................... 6,355,034 (30,332)
Net Change in Unrealized Appreciation (Depreciation) from:
Securities......................................................................... 28,258,572 216,577
Foreign currency................................................................... - 6,630
------------------- ---------------
Net Change in Unrealized Appreciation (Depreciation) from Investments.......... 28,258,572 223,207
------------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS............................. 34,613,606 192,875
------------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $34,848,174 $ 212,219
------------------- ---------------
------------------- ---------------
(a) Commenced operations on October 15, 1997.
(b) Commenced operations on October 30, 1997.
(c) Net of unrecoverable foreign withholding taxes of................................ $ - $ 2,363
<CAPTION>
SCHRODER
EM CORE
PORTFOLIO(B)
-------------
<S> <C>
INVESTMENT INCOME:
Dividend income(c)................................................................. $ 282,910
Interest income.................................................................... 153,053
-------------
TOTAL INVESTMENT INCOME.............................................................. 435,963
-------------
EXPENSES:
Advisory (Note 3).................................................................. 155,546
Administration (Note 3)............................................................ 15,555
Subadministration (Note 3)......................................................... 14,658
Interestholder recordkeeping (Note 3).............................................. 7,208
Custody............................................................................ 105,578
Accounting (Note 3)................................................................ 40,323
Legal.............................................................................. 3,435
Audit.............................................................................. 20,250
Trustees' fees..................................................................... 599
Amortization of organization costs (Note 2)........................................ 115
Miscellaneous...................................................................... 7,532
-------------
TOTAL EXPENSES....................................................................... 370,799
Fees waived and expenses reimbursed (Note 6)....................................... (145,187)
-------------
NET EXPENSES......................................................................... 225,612
-------------
NET INVESTMENT INCOME (LOSS)......................................................... 210,351
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS:
Net Realized Gain (Loss) from:
Securities......................................................................... (490,158)
Foreign currency................................................................... (28,826)
-------------
Net Realized Gain (Loss) from Investments...................................... (518,984)
Net Change in Unrealized Appreciation (Depreciation) from:
Securities......................................................................... (2,346,374)
Foreign currency................................................................... (188)
-------------
Net Change in Unrealized Appreciation (Depreciation) from Investments.......... (2,346,562)
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS............................. (2,865,546)
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $(2,655,195)
-------------
-------------
(a) Commenced operations on October 15, 1997.
(b) Commenced operations on October 30, 1997.
(c) Net of unrecoverable foreign withholding taxes of................................ $ 24,069
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
72
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHRODER U.S. SCHRODER
SMALLER COMPANIES GLOBAL GROWTH
PORTFOLIO (a) PORTFOLIO (b)
------------------- ---------------
<S> <C> <C>
NET ASSETS, AUGUST 15, 1996.......................................................... $ - $ -
------------------- ---------------
------------------- ---------------
OPERATIONS:
Net investment income (loss)....................................................... 22,137 -
Net realized gain (loss) from investments sold..................................... 735,049 -
Net change in unrealized appreciation (depreciation) from investments.............. 2,952,095 -
------------------- ---------------
Net increase (decrease) in net assets resulting from operations.................... 3,709,281 -
------------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions...................................................................... 26,247,304 -
Withdrawals........................................................................ (1,027,108) -
------------------- ---------------
Net increase (decrease) from transactions in investors' beneficial interests....... 25,220,196 -
------------------- ---------------
Net increase (decrease) in net assets.............................................. 28,929,477 -
------------------- ---------------
NET ASSETS, OCTOBER 31, 1996......................................................... 28,929,477 -
------------------- ---------------
OPERATIONS:
Net investment income (loss)....................................................... 77,349 -
Net realized gain (loss) from investments sold..................................... 2,311,789 -
Net change in unrealized appreciation (depreciation) from investments.............. 8,079,833 -
------------------- ---------------
Net increase (decrease) in net assets resulting from operations.................... 10,468,971 -
------------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions...................................................................... 69,106,539 -
Withdrawals........................................................................ (5,119,729) -
------------------- ---------------
Net increase (decrease) from transactions in investors' beneficial interests....... 63,986,810 -
------------------- ---------------
Net increase (decrease) in net assets.............................................. 74,455,781 -
------------------- ---------------
NET ASSETS, MAY 31, 1997............................................................. 103,385,258 -
------------------- ---------------
OPERATIONS:
Net investment income (loss)....................................................... 234,568 19,344
Net realized gain (loss) from investments sold..................................... 6,355,034 (30,332)
Net change in unrealized appreciation (depreciation) from investments.............. 28,258,572 223,207
------------------- ---------------
Net increase (decrease) in net assets resulting from operations.................... 34,848,174 212,219
------------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions...................................................................... 228,163,060 3,070,201
Withdrawals........................................................................ (10,593,071) (119,888)
------------------- ---------------
Net increase (decrease) from transactions in investors' beneficial interests....... 217,569,989 2,950,313
------------------- ---------------
Net increase (decrease) in net assets.............................................. 252,418,163 3,162,532
------------------- ---------------
NET ASSETS, MAY 31, 1998............................................................. $ 355,803,421 $ 3,162,532
------------------- ---------------
------------------- ---------------
<CAPTION>
SCHRODER
EM CORE
PORTFOLIO(c)
-------------
<S> <C>
NET ASSETS, AUGUST 15, 1996.......................................................... $ -
-------------
-------------
OPERATIONS:
Net investment income (loss)....................................................... -
Net realized gain (loss) from investments sold..................................... -
Net change in unrealized appreciation (depreciation) from investments.............. -
-------------
Net increase (decrease) in net assets resulting from operations.................... -
-------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions......................................................................
Withdrawals........................................................................ -
-------------
Net increase (decrease) from transactions in investors' beneficial interests....... -
-------------
Net increase (decrease) in net assets.............................................. -
-------------
NET ASSETS, OCTOBER 31, 1996......................................................... -
-------------
OPERATIONS:
Net investment income (loss)....................................................... -
Net realized gain (loss) from investments sold..................................... -
Net change in unrealized appreciation (depreciation) from investments.............. -
-------------
Net increase (decrease) in net assets resulting from operations.................... -
-------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions......................................................................
Withdrawals........................................................................
-------------
Net increase (decrease) from transactions in investors' beneficial interests....... -
-------------
Net increase (decrease) in net assets.............................................. -
-------------
NET ASSETS, MAY 31, 1997............................................................. -
-------------
OPERATIONS:
Net investment income (loss)....................................................... 210,351
Net realized gain (loss) from investments sold..................................... (518,984)
Net change in unrealized appreciation (depreciation) from investments.............. (2,346,562)
-------------
Net increase (decrease) in net assets resulting from operations.................... (2,655,195)
-------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions...................................................................... 39,419,804
Withdrawals........................................................................ (10,034,574)
-------------
Net increase (decrease) from transactions in investors' beneficial interests....... 29,385,230
-------------
Net increase (decrease) in net assets.............................................. 26,730,035
-------------
NET ASSETS, MAY 31, 1998............................................................. $26,730,035
-------------
-------------
</TABLE>
(a) Commenced operations on August 15, 1996.
(b) For the period October 15, 1997 (commencement of operations) through May 31,
1998.
(c) For the period October 30, 1997 (commencement of operations) through May 31,
1998.
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
73
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO TO AVERAGE
NET ASSETS (a)
---------------------------------------------
NET AVERAGE
INVESTMENT GROSS PORTFOLIO COMMISSION
INCOME (LOSS) NET EXPENSES EXPENSES TURNOVER RATE RATE (b)
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------
June 1, 1997 to May 31, 1998.......... 0.10% 0.75% 0.75% 54.98% $0.0582
November 1, 1996 to May 31, 1997...... 0.22% 0.85% 0.95% 34.45% 0.0584
August 15, 1996(c) to October 31,
1996................................ 0.50% 0.85% 1.31% 17.30% 0.0562
SCHRODER GLOBAL GROWTH PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------
October 15, 1997(c) to May 31, 1998... 1.18% 0.85% 6.81% 13.82% $0.0355
SCHRODER EM CORE PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------
October 30, 1997(c) to May 31, 1998... 1.35% 1.45% 2.38% 22.97% $0.0039
</TABLE>
(a) Annualized.
(b) Amount represents the average commission per share paid to brokers on the
purchase and sale of equity securities on which commissions are charged.
(c) Commencement of operations.
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
74
<PAGE>
NOTES TO FINANCIAL STATEMENTS MAY 31, 1998
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Schroder Capital Funds ("Schroder Core") was organized as a Delaware business
trust on September 7, 1995. Schroder Core, which is registered as an open-end,
management investment company under the Investment Company Act of 1940 (the
"Act"), currently has eight investment portfolios. Included in this report are
Schroder U.S. Smaller Companies Portfolio, Schroder Global Growth Portfolio and
Schroder EM Core Portfolio (each a "Portfolio" and collectively the
"Portfolios"). Schroder U.S. Smaller Companies Portfolio is a diversified
portfolio that commenced operations on August 15, 1996. Schroder Global Growth
Portfolio and Schroder EM Core Portfolio are non-diversified portfolios that
commenced operations on October 15, 1997 and October 30, 1997, respectively.
Under its Trust Instrument, Schroder Core is authorized to issue an unlimited
number of interests without par value. Interests in the Portfolios are sold in
private placement transactions without any sales charges to qualified investors,
including open-end, management investment companies.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
These financial statements are prepared in accordance with generally accepted
accounting principles, that require management to make certain estimates and
assumptions which 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 increase and decrease in net assets from
operations during the fiscal period. Actual results could differ from those
estimates. The following summarizes the significant accounting policies of the
Portfolios:
SECURITY VALUATION--Portfolio securities listed on recognized stock exchanges
are valued at the last reported sale price on the exchange on which the
securities are principally traded. Listed securities traded on recognized stock
exchanges where last sale prices are not available are valued at the last sale
price on the preceding trading day or at closing mid-market prices. Securities
traded in over-the-counter markets, or listed securities for which no trade is
reported on the valuation date, are valued at the most recent reported
mid-market price. Prices used for valuations generally are provided by
independent pricing services. Domestic short-term investments, having a maturity
of 60 days or less, generally are valued at amortized cost which approximates
market value. Foreign currency denominated short-term investments are valued at
local amortized cost and then translated into U.S. dollars. Other securities and
assets for which market quotations are not readily available are valued at fair
value as determined in good faith using methods approved by the Schroder Core
Board of Trustees. Fair valued securities represented approximately 1.07% of the
Schroder EM Core Portfolio's total investments at May 31, 1998.
CASH EQUIVALENTS--The Portfolios consider all balances and the related interest
income in money market sweep vehicles to be cash equivalents.
SECURITY TRANSACTIONS AND INVESTMENT INCOME--Investment transactions are
accounted for on trade date. Dividend income is recorded on ex-dividend date.
With respect to dividends on foreign securities, certain instances may arise
where a Portfolio is not notified of a dividend until after the ex-dividend date
has passed. In these instances a dividend is recorded as soon as the Portfolio
is informed of the dividend. Dividend income is recorded net of unrecoverable
withholding tax. Interest income, including amortization of discount or premium,
is recorded as earned. Identified cost of investments sold is used to determine
realized gain and loss for both financial statement and federal income tax
purposes. Foreign dividend and interest income amounts and realized capital gain
and loss are converted to U.S. dollar equivalents using foreign exchange rates
in effect at the date of the transactions.
Foreign currency amounts are translated into U.S. dollars at the mean of the bid
and asked prices 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.
The Schroder Global Growth Portfolio and Schroder EM Core Portfolio may enter
into forward contracts to purchase or sell foreign currencies to protect the
U.S. dollar value of the underlying portfolio against the effect of 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 daily as unrealized gain or loss; realized
gain or loss includes net gain or loss on contracts that have terminated by
settlement or by the Portfolios entering into offsetting commitments.
REPURCHASE AGREEMENTS--The Portfolios may invest in repurchase agreements. The
Portfolios through their custodian, receive delivery of the underlying
collateral, whose market value must always equal or exceed the repurchase price.
The investment adviser is responsible for determining the value of the
underlying collateral at all times. In the event of default, the Portfolios may
have difficulties with the disposition of any securities held as collateral.
EXPENSE ALLOCATION--Schroder Core accounts separately for the assets and
liabilities and operation of each Portfolio. Expenses that are directly
attributable to more than one Portfolio are allocated among the respective
Portfolios in proportion to each Portfolio's net assets.
ORGANIZATIONAL COSTS--Costs incurred by each Portfolio in connection with its
organization are amortized on a straight line basis over a five-year period.
NOTE 3. INVESTMENT ADVISORY AND OTHER SERVICES
INVESTMENT ADVISER--Schroder Capital Management International Inc. ("SCMI") is
the investment adviser to each of the Portfolios. Pursuant to an Investment
Advisory Agreement, SCMI is entitled to receive from Schroder U.S. Smaller
Companies Portfolio, Schroder Global Growth Portfolio and Schroder EM Core
Portfolio an annual fee, payable monthly, of 0.60%, 0.50% and 1.00%,
respectively, of each Portfolio's average daily net assets.
SCHRODER CAPITAL FUNDS
75
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
NOTE 3. INVESTMENT ADVISORY AND OTHER SERVICES (CONTINUED)
ADMINISTRATOR AND SUBADMINISTRATOR--On behalf of the Portfolios, Schroder Core
has entered into an Administration Agreement with Schroder Fund Advisors Inc.
("SFA") which entitles SFA to receive from Schroder Global Growth Portfolio and
Schroder EM Core Portfolio an annual fee, payable monthly, at a rate of 0.15%
and 0.10%, respectively, of each Portfolio's average daily net assets. In
addition, Schroder Core has entered into a Subadministration Agreement with
Forum Administrative Services, LLC ("FAdS") under which FAdS is entitled to
receive from Schroder U.S. Smaller Companies Portfolio, Schroder Global Growth
Portfolio and Schroder EM Core Portfolio an annual fee, payable monthly, of
0.075% of each Portfolio's average daily net assets subject to an annual minimum
of $25,000.
OTHER SERVICE PROVIDERS--Forum Accounting Services, LLC ("FAcS") performs
portfolio accounting services for the Schroder U.S. Smaller Companies Portfolio,
Schroder Global Growth Portfolio and Schroder EM Core Portfolio and is entitled
to receive compensation for those services in the amounts of $36,000, $60,000
and $60,000 per year, respectively, plus certain other charges, based upon the
number and types of portfolio transactions. FAcS also provides interestholder
recordkeeping services to the Portfolios for which it receives, from Schroder
Core, $12,000 per year per Portfolio plus certain other charges.
NOTE 4. PURCHASES AND SALES OF SECURITIES
The cost of securities purchased and the proceeds from sales of securities
(excluding short-term securities) for the period ended May 31, 1998 were as
follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------------ ------------------
<S> <C> <C>
Schroder U.S. Smaller Companies
Portfolio.............................. $ 321,269,356 $ 118,490,742
Schroder Global Growth Portfolio........ 2,816,305 448,595
Schroder EM Core Portfolio.............. 31,575,645 4,697,232
</TABLE>
For federal income tax purposes, the tax basis of investment securities owned,
the aggregate gross unrealized appreciation and the aggregate gross unrealized
depreciation as of May 31, 1998 were as follows:
<TABLE>
<CAPTION>
TAX UNREALIZED UNREALIZED NET APPRECIATION
BASIS APPRECIATION DEPRECIATION (DEPRECIATION)
------------------ ------------------ ------------------ ------------------
<S> <C> <C> <C> <C>
Schroder U.S. Smaller Companies
Portfolio.............................. $ 292,802,767 $ 54,156,312 $ 14,855,900 $ 39,300,412
Schroder Global Growth Portfolio........ 2,333,656 359,016 142,508 216,508
Schroder EM Core Portfolio.............. 26,526,803 1,321,048 3,711,718 (2,390,670)
</TABLE>
NOTE 5. FEDERAL TAXES
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.
Under the applicable foreign tax law, a withholding tax may be imposed on
interest, dividends, and capital gains at various rates.
SCHRODER CAPITAL FUNDS
76
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) MAY 31, 1998
- --------------------------------------------------------------------------------
NOTE 6. WAIVER OF FEES AND REIMBURSEMENT OF EXPENSES
For the period ended May 31, 1998, Schroder Core's service providers voluntarily
waived and/or reimbursed the following fees or expenses:
<TABLE>
<CAPTION>
EXPENSES
FEES WAIVED REIMBURSED
------------------------------- ------------------
SCMI SFA FADS SFA
-------- ------ ------- ------------------
<S> <C> <C> <C> <C>
Schroder Global Growth Portfolio........ $ 8,177 $ 2,453 $ 14,458 $ 71,973
Schroder EM Core Portfolio.............. 142,195 -- 2,992 --
</TABLE>
NOTE 7. CONCENTRATION OF RISK
Schroder Global Growth Portfolio and Schroder EM Core Portfolio may invest more
than 25% of their total assets in issuers located in any one country. To the
extent that they do so, the Portfolios are susceptible to a range of factors
that could adversely affect that country, including political and economic
developments and foreign exchange-rate fluctuations. As a result of investing
substantially in one country, the value of a Portfolio's assets may fluctuate
more widely than the value of shares of a comparable fund with a lesser degree
of geographic concentration. Schroder Global Growth Portfolio and Schroder EM
Core Portfolio invest in countries with limited or developing capital markets.
Investments in these markets may involve greater risks than investments in more
developed markets.
SCHRODER CAPITAL FUNDS
77
<PAGE>
SCHEDULES OF INVESTMENTS MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCK (93.3%)
BASIC MATERIALS (3.1%)
98,250 AMCOL International Corp. $ 1,350,938
110,200 Ball Corp. 4,346,013
87,500 Ferro Corp. 2,504,688
118,300 Galey & Lord, Inc.(a) 2,927,925
---------------
11,129,564
---------------
CAPITAL GOODS/CONSTRUCTION (6.8%)
69,800 Aeroquip-Vickers, Inc. 4,310,150
159,200 Aftermarket Technology Corp.(a) 2,726,300
128,600 Donaldson Co., Inc. 2,805,088
58,800 Essex International, Inc.(a) 1,444,275
92,200 Harsco Corp. 4,022,225
97,000 Tracor, Inc.(a) 3,831,500
111,400 Triangle Pacific Corp.(a) 4,915,530
---------------
24,055,068
---------------
CONSUMER CYCLICAL (22.7%)
126,000 800-JR CIGAR, Inc.(a) 2,504,250
96,300 American Italian Pasta Co.(a) 3,454,763
140,500 Bally Total Fitness Holding Corp.(a) 4,531,125
102,900 Blyth Industries, Inc.(a) 3,157,744
39,200 Ethan Allen Interiors, Inc. 1,972,250
175,950 Fossil, Inc.(a) 3,403,540
83,300 Furniture Brands International, Inc.(a) 2,457,350
124,600 Interface, Inc. 4,882,763
121,900 Knoll, Inc.(a) 3,847,472
138,600 Media Arts Group, Inc.(a) 2,694,038
217,900 Musicland Stores Corp.(a) 3,145,931
54,000 Pier 1 Imports, Inc. 1,299,375
196,200 Pillowtex Corp. 9,172,350
51,337 Promus Hotel Corp.(a) 2,220,325
174,600 ResortQuest International, Inc.(a) 2,651,738
52,450 Robert Half International, Inc.(a) 2,655,281
84,300 Ross Stores, Inc. 3,719,738
188,475 Sonic Corp.(a) 3,899,077
92,400 Stage Stores, Inc.(a) 4,308,150
138,000 Stanley Furniture Co., Inc.(a) 2,794,500
106,200 Trans World Entertainment Corp.(a) 3,836,475
102,500 Trendwest Resorts, Inc.(a) 1,819,375
188,200 WestPoint Stevens, Inc.(a) 6,163,550
---------------
80,591,160
---------------
CONSUMER STAPLES (5.9%)
80,800 Earthgrains Co. 4,267,250
57,200 Henry Schein, Inc.(a) 2,202,200
76,900 International Home Foods, Inc.(a) 2,085,913
142,200 Keebler Foods Co.(a) 4,132,687
93,600 Landry's Seafood Restaurants, Inc.(a) 2,120,630
80,100 Richfood Holdings, Inc. 1,957,444
69,300 Suiza Foods Corp.(a) 4,049,717
---------------
20,815,841
---------------
ENERGY (6.2%)
32,600 Atwood Oceanics, Inc.(a) 1,687,050
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCK (continued)
ENERGY (continued)
<TABLE>
<C> <S> <C>
94,700 B.J. Service Co.(a) $ 3,095,506
50,800 Cooper Cameron Corp.(a) 3,022,600
85,000 Kuhlman Corp. 3,591,250
178,672 Ocean Energy, Inc.(a) 3,584,607
99,300 Tosco Corp. 3,152,775
148,900 Varco International, Inc.(a) 3,880,705
---------------
22,014,493
---------------
FINANCIAL (11.8%)
182,900 Allied Capital Corp. 4,435,325
116,400 AmerUs Life Holdings, Inc. 3,724,800
34,600 Annuity & Life Re Holdings(a) 789,312
73,800 Bank United Corp. 3,690,000
58,200 CMAC Investment Corp. 3,521,100
73,975 Commercial Federal Corp. 2,464,292
50,200 Cullen/Frost Bankers, Inc. 2,720,213
47,200 Duff & Phelps Credit Rating Co. 2,714,000
77,700 FBL Financial Group, Inc. 2,180,455
65,500 Fremont General Corp. 3,745,781
62,600 HealthCare Financial Partners, Inc.(a) 3,075,225
80,600 Mutual Risk Management Ltd. 2,826,038
89,150 North Fork BanCorp, Inc. 2,145,172
82,639 Patriot American Hospitality, Inc. 1,978,176
99,900 Waddell & Reed Financial, Inc. 2,310,187
---------------
42,320,076
---------------
HEALTH CARE (6.1%)
142,100 Centennial HealthCare Corp.(a) 2,966,337
112,500 Coventry Health Care, Inc.(a) 1,631,250
32,000 Express Scripts, Inc.(a) 2,462,000
156,700 Haemonetics Corp.(a) 2,389,675
69,600 Health Care & Retirement Corp.(a) 2,692,650
135,500 Invacare Corp. 3,573,813
74,500 Matria Healthcare, Inc.(a) 302,656
43,800 PSS World Medical, Inc.(a) 547,500
85,300 Protein Design Labs, Inc.(a) 2,143,163
106,400 Wesley Jessen VisionCare, Inc.(a) 2,872,800
---------------
21,581,844
---------------
TECHNOLOGY (9.6%)
171,900 Antec Corp.(a) 3,292,966
100,300 EG&G, Inc. 3,159,450
70,900 Dallas Semiconductor Corp. 2,388,443
112,700 Evans & Sutherland Computer Corp.(a) 2,831,588
151,600 INTERSOLV(a) 2,179,250
270,100 MAPICS, Inc.(a) 4,760,513
149,500 MicroTouch Systems, Inc.(a) 2,392,000
205,900 Pairgain Technologies, Inc.(a) 3,217,188
31 Structural Dynamics Research Corp.(a) 785
118,500 Symbol Technologies, Inc. 4,169,718
60,500 Thomas & Betts Corp. 3,232,969
108,400 Wang Laboratories, Inc.(a) 2,601,600
---------------
34,226,470
---------------
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
78
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -------------------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (concluded)
- -------------------------------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
TRANSPORTATION/SERVICES/MISCELLANEOUS (21.1%)
99,300 Alexandria Real Estate Equities, Inc. $ 3,146,567
100,400 Atlas Air, Inc.(a) 3,551,650
102,500 C.H. Robinson Worldwide, Inc. 2,370,312
71,300 CNF Transportation, Inc. 2,927,756
7,700 CORT Business Services Corp.(a) 301,261
161,400 Career Education Corp.(a) 4,014,824
20,000 Cavanaughs Hospitality Corp.(a) 273,750
121,950 Comair Holdings, Inc. 3,246,919
128,800 Cornell Corrections, Inc.(a) 2,833,600
102,400 Eastern Environmental Services, Inc.(a) 2,918,400
177,800 Group Maintenance America Corp.(a) 3,333,750
181,100 Ha-Lo Industries, Inc.(a) 5,602,780
112,400 INSpire Insurance Solutions, Inc.(a) 3,674,075
161,800 Ivex Packaging Corp.(a) 3,751,737
80,900 Jacor Communications, Inc.(a) 4,277,588
942,600 Laidlaw Environmental Services, Inc.(a) 3,652,575
83,800 Mac-Gray Corp.(a) 1,204,625
134,700 Manufactured Home Communities, Inc. 3,359,081
161,700 Mesaba Holdings, Inc.(a) 3,516,975
168,800 RCM Technologies, Inc.(a) 3,502,600
83,900 RemedyTemp, Inc.(a) 2,443,588
161,300 Select Appointments Holdings Public Ltd.
Co. 4,657,537
107,300 StaffMark, Inc.(a) 3,943,275
93,500 Superior Services, Inc.(a) 2,863,438
---------------
75,368,663
---------------
TOTAL INVESTMENTS (93.3%)
(COST $292,812,680) 332,103,179
OTHER ASSETS LESS LIABILITIES (6.7%) 23,700,242
---------------
TOTAL NET ASSETS (100.0%) $ 355,803,421
---------------
---------------
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO
- -----------------------------------------------------------------
AUSTRALIA (2.1%)
COMMON STOCK
3,000 Australia & New Zealand Banking Group
Ltd.
FINANCE $ 21,308
1,000 Brambles Industries Ltd.
SERVICES 20,293
6,000 Foster's Brewing Group Ltd.
CONSUMER NON-DURABLES 13,040
2,000 Woodside Petroleum Ltd.
MATERIALS 11,499
---------------
66,140
---------------
BELGIUM (0.3%)
COMMON STOCK
41 Grupo Bruxelles Lambert
FINANCE 9,016
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
CANADA (4.8%)
COMMON STOCK
1,690 Amber Energy, Inc.
ENERGY $ 16,551
2,000 Inco Ltd.
MATERIALS 20,550
1,310 National Bank of Canada
FINANCE 26,740
640 Northern Telecom Ltd.
SERVICES 41,039
930 Precision Drilling Corp.
ENERGY 19,495
3,530 Stelco, Inc.
MATERIALS 28,871
---------------
153,246
---------------
CHILE, REPUBLIC OF (0.5%)
COMMON STOCK
670 Compania de Telecomunicacion de Chile SA
ADR
SERVICES 14,866
---------------
FRANCE (11.0%)
COMMON STOCK
200 Accor SA
SERVICES 54,857
125 Alcatel Alsthom
CAPITAL EQUIPMENT 26,744
320 Canal Plus
SERVICES 58,087
220 Elf Aquitaine
ENERGY 30,558
250 Groupe Danone
CONSUMER NON-DURABLES 67,318
350 Suez Lyonnaise des Eaux
MULTI-INDUSTRY 59,730
250 Vivendi
MULTI-INDUSTRY 50,228
---------------
347,522
---------------
GERMANY (8.3%)
COMMON STOCK
145 Allianz AG
FINANCE 45,872
640 Deutsche Bank AG
FINANCE 55,140
500 Fresenius Medical Care AG
MATERIALS 33,206
1,220 Hoechst AG
MATERIALS 60,904
69 Mannesmann AG
CAPITAL EQUIPMENT 67,537
---------------
262,659
---------------
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
79
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
ITALY (3.7%)
COMMON STOCK
35,040 Banca di Roma(a)
FINANCE $ 72,302
5,920 Telecom Italia SpA
SERVICES 44,767
---------------
117,069
---------------
JAPAN (7.8%)
COMMON STOCK
1,000 Bridgestone Corp.
MATERIALS 22,805
1,000 Credit Saison Co. Ltd.
FINANCE 20,063
1,000 Fuji Photo Film Co.
CAPITAL EQUIPMENT 33,847
2,000 Matsushita Electric Industrial Co. Ltd.
CAPITAL EQUIPMENT 31,321
2,000 Mitsui Fudosan Co. Ltd.
FINANCE 16,180
2,000 Sekisui House Ltd.
SERVICES 14,795
2,000 Takeda Chemical Industries
CONSUMER DURABLES 51,673
8,000 Teijin Ltd.
MATERIALS 24,133
1,000 Yamatake-Honeywell Co. Ltd.
CAPITAL EQUIPMENT 10,104
5,000 Yasuda Fire & Marine Insurance
SERVICES 21,578
---------------
246,499
---------------
KOREA, REPUBLIC OF (1.0%)
COMMON STOCK
3,000 Daewoo Heavy Industries
CAPITAL EQUIPMENT 10,295
1,100 LG Electronics
CONSUMER DURABLES 10,317
325 Samsung Electronics Co.
CONSUMER DURABLES 12,353
---------------
32,965
---------------
MEXICO (0.8%)
COMMON STOCK
5,000 Grupo Carso SA de CV
MULTI-INDUSTRY 25,323
---------------
NETHERLANDS (7.2%)
COMMON STOCK
2,870 ABN Amro Holdings NV
SERVICES 69,568
460 Aegon NV
FINANCE 36,862
560 Baan Co. NV(a)
SERVICES 25,950
1,340 Gucci Group NV-NY Shares
CONSUMER NON-DURABLES 60,803
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
NETHERLANDS (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
350 Philips Electronics NV
CAPITAL EQUIPMENT $ 33,290
---------------
226,473
---------------
SINGAPORE (0.9%)
COMMON STOCK
2,600 Development Bank of Singapore Ltd.(a)
FINANCE 15,687
1,552 Singapore Press Holdings Ltd.
SERVICES 12,702
---------------
28,389
---------------
SPAIN (3.6%)
COMMON STOCK
3,110 Endesa SA
ENERGY 74,608
851 Telefonica SA
SERVICES 38,075
---------------
112,683
---------------
SWEDEN (1.5%)
COMMON STOCK
1,130 Svenska Handelsbanken
SERVICES 47,619
RIGHTS
1,130 Fastighets AB Balder(a)
SERVICES 1,097
---------------
48,716
---------------
SWITZERLAND (2.8%)
COMMON STOCK
41 Nestle SA
CONSUMER NON-DURABLES 87,984
---------------
UNITED KINGDOM (9.1%)
COMMON STOCK
4,950 British Energy plc
ENERGY 45,609
3,590 Cable & Wireless plc
SERVICES 40,572
4,140 EMI Group plc
CONSUMER NON-DURABLES 34,972
3,570 Enterprise Oil plc
ENERGY 33,039
3,140 Lloyds TSB Group plc
FINANCE 45,548
5,510 LucasVarity plc
CAPITAL EQUIPMENT 24,261
8,600 Rolls-Royce plc(a)
CAPITAL EQUIPMENT 40,917
595 Zeneca Group plc
CONSUMER DURABLES 24,151
---------------
289,069
---------------
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
80
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -------------------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO (concluded)
- -------------------------------------------------------------------------
UNITED STATES OF AMERICA (15.2%)
COMMON STOCK
240 Allstate Corp.
SERVICES $ 22,590
320 American Home Products Corp.
CONSUMER NON-DURABLES 15,460
275 American International Group, Inc.
FINANCE 34,048
260 BankAmerica Corp.
FINANCE 21,499
230 Bristol-Myers Squibb Co.
CONSUMER NON-DURABLES 24,725
375 Cisco Systems, Inc.
CONSUMER DURABLES 28,359
503 Federal Home Loan Mortgage Corp.
FINANCE 22,887
585 Gap, Inc.
CONSUMER DURABLES 31,590
290 General Electric Co.
CONSUMER DURABLES 24,179
420 McGraw-Hill Cos., Inc.
SERVICES 32,838
200 Merck & Co., Inc.
CONSUMER NON-DURABLES 23,413
370 Procter & Gamble Co.
CONSUMER NON-DURABLES 31,057
700 Rite Aid Corp.
CONSUMER NON-DURABLES 25,068
430 Sun Microsystems, Inc.
CONSUMER DURABLES 17,227
310 Textron, Inc.
CAPITAL EQUIPMENT 22,998
405 Travelers Group, Inc.
SERVICES 24,705
325 United Technologies Corp.
CAPITAL EQUIPMENT 30,550
420 Wal-Mart Stores, Inc.
CONSUMER NON-DURABLES 23,178
245 Xerox Corp.
CAPITAL EQUIPMENT 25,174
---------------
481,545
---------------
TOTAL INVESTMENTS (80.6%)
(COST $2,333,587) 2,550,164
OTHER ASSETS LESS LIABILITIES (19.4%) 612,368
---------------
TOTAL NET ASSETS (100.0%) $ 3,162,532
---------------
---------------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
CONTRACT TO SELL
</TABLE>
<TABLE>
<CAPTION>
CONTRACT UNDERLYING FACE UNREALIZED
DATE CURRENCY UNITS AMOUNT OF VALUE APPRECIATION
- --------- ------------ --------- --------------- ------------
<S> <C> <C> <C> <C>
6/19/98 Japanese Yen 11,500,000 $(82,990) $6,740
</TABLE>
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO
- -----------------------------------------------------------------
ARGENTINA (3.7%)
COMMON STOCK
40,100 Astra Cia Argentina de Petroleo SA
ENERGY $ 65,797
3,877 Banco de Galicia y Buenos Aires SA de CV
ADR
FINANCE 79,478
8,500 Compania Naviera Perez Companc SA
ENERGY 47,113
3,200 Cresud SA ADR(a)
CONSUMER NON-DURABLES 57,000
900 Disco SA ADR(a)
CONSUMER NON-DURABLES 31,163
17,100 IRSA Inversiones y Representaciones S.A.
FINANCE 60,905
3,500 Telecom Argentina ADR
SERVICES 108,500
5,700 Telefonica de Argentina SA ADR
SERVICES 185,607
11,100 YPF Sociedad Anonima ADR
ENERGY 344,794
---------------
980,357
---------------
BOTSWANA (0.5%)
COMMON STOCK
90,000 Sechaba Ord
CONSUMER NON-DURABLES 144,860
---------------
BRAZIL (14.5%)
COMMON STOCK
7,800 Aracruz Celulose SA ADR
SERVICES 105,300
24,300 Centrais Electricas Brasileiras SA
Electrobras
ENERGY 433,104
200,000 Cia Cimento Portland Itau
MATERIALS 36,515
10,769 Cia Ener de Minas Gerais ADR
ENERGY 352,525
11,200 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar
CONSUMER NON-DURABLES 261,800
7,800 Companhia Paranaense de Energia-Copel
ENERGY 77,512
12,400 Petrol Brasileiro SA--Petrobas
ENERGY 242,570
8,400 Telecomunicacoes Brasileiras SA Telebras
ADR
SERVICES 895,650
1,040,000 Telecomunicacoes de Sao Paulp SA--Telesp
SERVICES 153,712
590,000 Telecomunicacoes do Parana SA--Telepar
SERVICES 212,875
590,000 Telepar Tel Parana(a)
SERVICES 80,021
1,040,000 Telesp Tel Sao(a)
SERVICES 62,380
8,300 Unibanco-Uniao Banco
FINANCE 259,894
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
81
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
BRAZIL (continued)
<TABLE>
<C> <S> <C>
PREFERRED STOCK
108,000 Banco Itau SA PN
FINANCE $ 64,789
5,540,000 Centrais Eletricas Brasileiras SA
Electrobras
ENERGY 184,474
15,000 Companhia Vale do Rio Doce
ENERGY 306,473
770,000 Petrol Brasileiro--Petrobras
ENERGY 150,626
---------------
3,880,220
---------------
CHILE, REPUBLIC OF (3.9%)
COMMON STOCK
10,200 Banco BHIF
FINANCE 154,275
10,800 Chilectra SA
ENERGY 263,026
5,500 Compania Cervecerias Unidas SA
CONSUMER NON-DURABLES 132,000
13,200 Compania de Telecomunicacion de Chile SA
ADR
SERVICES 292,875
9,900 Distribucion y Servico
SERVICES 156,544
5,100 Quinenco SA ADR
SERVICES 48,450
---------------
1,047,170
---------------
CHINA, PEOPLES REPUBLIC OF (0.7%)
COMMON STOCK
6,000 Huaneng Power International, Inc. ADR(a)
ENERGY 104,250
120,000 Qingling Motors Co.
CAPITAL EQUIPMENT 47,232
9,000 Shanghai Industrial Holdings
MULTI-INDUSTRY 25,261
---------------
176,743
---------------
CZECH REPUBLIC (1.4%)
COMMON STOCK
2,970 SPT Telekom AS
SERVICES 381,976
---------------
EGYPT (0.6%)
COMMON STOCK
11,200 Commercial International Bank GDR
FINANCE 159,040
---------------
GREECE (4.1%)
COMMON STOCK
2,250 Alfa Credit Bank
FINANCE 234,937
2,430 Delta Informatics SA
SERVICES 106,936
9,400 Hellenic Bottling Co. SA
CONSUMER NON-DURABLES 314,876
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
GREECE (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
10,880 Hellenic Telecommunication Organization
SA
SERVICES $ 319,790
864 National Bank of Greece
FINANCE 124,407
---------------
1,100,946
---------------
HONG KONG (3.2%)
COMMON STOCK
244,000 Anhui Expressway Co. Ltd.
SERVICES 30,543
223,000 Beijing Datang Power
MULTI-INDUSTRY 78,420
38,000 Cheung Kong Infrastructure Holdings
CAPITAL EQUIPMENT 84,346
191,000 China Resources Beijing Land
FINANCE 88,735
18,000 China Resources Enterprise Ltd.
FINANCE 21,022
43,000 China Telecom (Hong Kong)(a)
SERVICES 76,855
10,000 Citic Pacific Ltd.
FINANCE 24,325
36,000 Cosco Pacific Ltd.
FINANCE 18,699
82,400 Founder Hong Kong Ltd.
CAPITAL EQUIPMENT 51,307
57,000 Guangdong Kelon Electrical Holdings Co.
Ltd.
CONSUMER DURABLES 54,434
44,000 Guangnan Holdings
CONSUMER NON-DURABLES 22,003
62,000 Guangshen Railway
SERVICES 8,561
64,000 Legend Holdings Ltd.(a)
CAPITAL EQUIPMENT 22,505
22,000 New World Development Co. Ltd.
MULTI-INDUSTRY 51,955
44,000 New World Infrastructure(a)
CAPITAL EQUIPMENT 77,790
29,000 Ng Fung Hong Ltd.
CONSUMER NON-DURABLES 24,700
460,000 Yanzhou Coal Mining Co. Ltd.(a)
ENERGY 94,980
125,000 Zhejiang Expressway Co. Ltd.
SERVICES 28,392
---------------
859,572
---------------
HUNGARY (3.4%)
COMMON STOCK
2,600 Gedeon Richter
CONSUMER NON-DURABLES 219,830
9,260 MOL Magyar Olaj GDR
ENERGY 211,822
10,460 Matav RT ADR
SERVICES 292,880
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
82
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
HUNGARY (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
4,600 OTP Bank GDR
FINANCE $ 192,050
---------------
916,582
---------------
INDIA (6.7%)
COMMON STOCK
4,000 BSES Ltd. GDR(a)
ENERGY 53,500
14,000 Grasim Industries Ltd. GDR
MATERIALS 108,850
23,500 Great Eastern Shipping Co. GDR
MULTI-INDUSTRY 131,013
8,000 Indian Hotels Co. Ltd. GDR(a)
SERVICES 88,500
9,000 Indian Petrochemicals GDR
MATERIALS 38,250
7,000 Larsen & Toubro GDR
MULTI-INDUSTRY 88,375
25,700 Mahanagar Telephone GDR(a)
SERVICES 326,070
18,000 Mahindra & Mahindra Ltd. GDR
CAPITAL EQUIPMENT 90,000
5,000 Ranbaxy Laboratories Ltd. GDR
MATERIALS 81,500
27,900 Reliance Industries Ltd. GDS
MATERIALS 207,157
22,000 State Bank of India GDR
FINANCE 305,250
550 Tata Electric Co. GDR(b)
ENERGY 126,445
11,500 Videsh Sanchar Nigam Ltd. GDR(a)
SERVICES 135,125
---------------
1,780,035
---------------
INDONESIA (1.2%)
COMMON STOCK
3,500 Gulf Indonesia Resources Ltd.(a)
ENERGY 43,532
15,000 PT Gudang Garam
CONSUMER NON-DURABLES 11,018
44,000 PT HM Sampoerna
CONSUMER NON-DURABLES 14,795
94,000 PT Indofoods Sukses Makmur
CONSUMER NON-DURABLES 13,102
29,000 PT Indostat ADR
SERVICES 38,367
149,000 PT Telekomunikasi Indonesia
SERVICES 49,447
TREASURY BILLS
138,994 Bank Indonesia Treasury Bill, 5.05%, due
6/1/98 138,994
---------------
309,255
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
ISRAEL (4.9%)
COMMON STOCK
14,930 Bank Hapoalim Ltd.
FINANCE $ 45,880
290,300 Bank Leumi Le-Israel
FINANCE 586,256
18,970 Blue Square-Israel Ltd.
CONSUMER NON-DURABLES 275,065
9,600 Teva Pharmaceutical Industries Ltd. ADR
MATERIALS 393,600
---------------
1,300,801
---------------
KOREA, REPUBLIC OF (4.8%)
COMMON STOCK
17,000 Daewoo Heavy Industries
CAPITAL EQUIPMENT 58,337
26,323 Kookmin Bank(a)
FINANCE 129,978
6,000 Korea Electric Power Corp.
ENERGY 60,107
19,210 LG Electronics
CONSUMER DURABLES 180,158
3,000 LG Information & Communication Ltd.
CAPITAL EQUIPMENT 70,338
1,500 Pohang Iron & Steel Co. Ltd.(b)
MATERIALS 61,725
123 SK Telecom Co. Ltd.(b)
SERVICES 56,700
7,440 Samsung Display Devices Co.
CAPITAL EQUIPMENT 263,770
7,850 Samsung Electronics Co.
CONSUMER DURABLES 298,383
8,000 Samsung Heavy Industries(a)
CAPITAL EQUIPMENT 48,085
16,000 Shinhan Bank(a)
FINANCE 62,523
---------------
1,290,104
---------------
LUXEMBOURG (0.3%)
COMMON STOCK
9,400 Quilmes Industrial SA ADR
CONSUMER NON-DURABLES 90,475
---------------
MALAYSIA (0.7%)
COMMON STOCK
7,000 Berjaya Sports Toto Berhad
SERVICES 14,672
34,000 Magnum Corp. Berhad
SERVICES 17,884
18,000 Resorts World Berhad
SERVICES 27,887
18,000 Tanjong PLC
SERVICES 29,762
11,000 Telekom Malaysia Berhad
SERVICES 25,205
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
83
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
MALAYSIA (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
37,000 Tenaga Nasional Berhad
ENERGY $ 61,176
---------------
176,586
---------------
MAURITIUS (0.3%)
COMMON STOCK
135,000 State Bank of Mauritius Ltd.(a)
FINANCE 90,320
---------------
MEXICO (12.4%)
COMMON STOCK
120,000 Cemex SA
de CV
MATERIALS 494,782
228,000 Cifra SA de CV
SERVICES 318,104
37,000 Consorcio ARA S.A.(a)
CAPITAL EQUIPMENT 142,275
245,000 Controladora Comercial Mexicana SA de CV
SERVICES 240,108
20,200 Desc SA de CV
MULTI-INDUSTRY 113,648
9,600 Fomento Economico Mexica SA
de CV
CONSUMER NON-DURABLES 319,056
22,500 Grupo Carso SA de CV
MULTI-INDUSTRY 113,955
17,700 Grupo Financiero Banamax Accivl SA de
CV(a)
FINANCE 44,170
243,000 Grupo Financiero Bancomer
FINANCE 121,830
94,222 Grupo Industrial Bimbo SA
CONSUMER NON-DURABLES 207,340
35,000 Grupo Industrial Saltillo SA de CV
MATERIALS 127,043
6,400 Grupo Televisa SA(a)
SERVICES 250,000
66,000 Sistema Argos SA de CV
CONSUMER NON-DURABLES 63,335
8,400 TV Azteca SA de CV
SERVICES 121,275
11,300 Telefonos de Mexico SA ADS
SERVICES 536,044
6,000 Tubos de Acero de Mexico SA ADR
MATERIALS 89,625
RIGHTS
3,600 Cemex SA de CV(a)
MATERIALS 1,232
---------------
3,303,822
---------------
PAKISTAN (0.2%)
COMMON STOCK
4,800 Hub Power Co. Ltd.
ENERGY 45,600
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
PERU (0.9%)
COMMON STOCK
5,800 CPT Telefonica del Peru SA ADS
SERVICES $ 125,425
7,370 Credicorp Ltd.
FINANCE 116,999
---------------
242,424
---------------
PHILIPPINES (1.8%)
COMMON STOCK
322,000 Ayala Land, Inc.
SERVICES 109,538
1,155,000 Digital Telecommunications Philippines,
Inc.(a)
SERVICES 46,853
37,000 Manila Electric Company
"B" Shares
ENERGY 109,242
8,000 Philippine Long Distance Telephone Co.
SERVICES 205,391
---------------
471,024
---------------
POLAND (2.3%)
COMMON STOCK
800 Bank Przemslowo-Handlowy SA
FINANCE 59,353
35,000 Elektrim Spolka Akcyjna SA
MULTI-INDUSTRY 460,183
14,000 WBK Ord
FINANCE 100,258
---------------
619,794
---------------
RUSSIA (2.4%)
COMMON STOCK
13,210 Gazprom ADR
ENERGY 184,611
4,010 Lukoil Holding ADR
ENERGY 165,118
8,200 Pliva DD GDR
MATERIALS 134,890
8,720 Unified Energy Systems
ENERGY 153,356
---------------
637,975
---------------
SOUTH AFRICA (9.2%)
COMMON STOCK
10,900 ABSA Group Ltd.
FINANCE 85,619
4,400 Anglo American Corp. of South Africa
Ltd.
FINANCE 210,784
3,000 Anglo American Industrial Corp.
MULTI-INDUSTRY 88,441
28,463 Barlow Ltd.
MULTI-INDUSTRY 233,236
7,180 Dimension Data Holdings Ltd.(a)
FINANCE 48,043
13,000 Ellerine Holdings Ltd.
CONSUMER DURABLES 111,191
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
84
<PAGE>
SCHEDULES OF INVESTMENTS (CONCLUDED) MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
SOUTH AFRICA (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
15,000 Fedsure Holdings Ltd.
FINANCE $ 230,993
180,900 FirstRand Ltd.
FINANCE 352,608
27,000 Ingwe Coal Corp.
ENERGY 95,306
26,700 LA Retail Stores Ltd.
CONSUMER DURABLES 84,408
78,000 Malbak Ltd.
MATERIALS 70,345
39,300 Nampak Ltd.
MATERIALS 137,200
22,800 Rembrandt Group Ltd.
MULTI-INDUSTRY 187,714
24,600 Sasol Ltd.
MULTI-INDUSTRY 195,617
9,200 South African Breweries Ltd.
MULTI-INDUSTRY 259,441
15,000 South African Druggists Ltd.
MATERIALS 78,549
---------------
2,469,495
---------------
TAIWAN (3.8%)
COMMON STOCK
26,000 Acer, Inc. GDR(a)
SERVICES 188,500
6,000 Asustek Computer, Inc.(a)
CAPITAL EQUIPMENT 110,251
7,000 Fubon Insurance Co. Ltd. GDR(a)
FINANCE 127,750
13,000 ROC Taiwan Fund
FINANCE 93,438
9,520 Siliconware Precision Industries Co.(a)
ENERGY 78,064
6,500 Taiwan Fund, Inc.
FINANCE 91,406
13,300 Taiwan Semiconductor Manufacturing
Co.(a)
ENERGY 251,038
8,000 Teco Electric & Machinery GDR
MULTI-INDUSTRY 86,800
---------------
1,027,247
---------------
THAILAND (1.1%)
COMMON STOCK
7,000 Advanced Info Service
Public Co. Ltd.
SERVICES 38,129
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -------------------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (concluded)
- -------------------------------------------------------------------------
</TABLE>
THAILAND (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
28,000 Bangkok Bank Public Co. Ltd.
FINANCE $ 57,192
26,000 Electricity Generating
Public Co. Ltd.
ENERGY 41,843
12,000 PTT Exploration & Production Public Co.
Ltd.
ENERGY 103,987
31,000 Thai Farmers Bank Public Co. Ltd.
FINANCE 47,202
---------------
288,353
---------------
TURKEY (0.6%)
COMMON STOCK
3,324,675 Akbank T.A.S.
FINANCE 97,814
234,000 Netas Telekomunik(a)
CAPITAL EQUIPMENT 68,844
15,200 Turkiye Is Bankasi (Isbank)
FINANCE 617
---------------
167,275
---------------
VENEZUELA (0.5%)
COMMON STOCK
4,100 Compania Anonima
SERVICES 126,332
---------------
ZIMBABWE (0.2%)
COMMON STOCK
69,000 NMBZ Holdings Ltd.
FINANCE 51,750
---------------
TOTAL INVESTMENTS (90.3%)
(COST $26,482,507) 24,136,133
OTHER ASSETS LESS LIABILITIES (9.7%) 2,593,902
---------------
TOTAL NET ASSETS (100.0%) $ 26,730,035
---------------
---------------
</TABLE>
(a) Non-income producing security.
(b) Valued pursuant to methodology approved by the Board of Trustees.
ADR--American Depositary Receipts
GDR--Global Depositary Receipts
GDS--Global Depositary Shares
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
85
<PAGE>
(This page has been left blank intentionally.)
86
<PAGE>
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Forum Financial Services Inc.
Transfer Agent
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[FORUM LOGO]
Forum Funds
P.O. Box 446
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800-94-FORUM (ELSEWHERE)
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TO CURRENT SHAREHOLDERS AND TO OTHERS WHO HAVE
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