[FORUM LOGO]
[Picture graphics of left half
of page of gear wheels, pencil
and ledger paper and a computer F O R U M
on a pedistal.] F U N D S
-----------------------------
SEMI-ANNUAL REPORT
-----------------------------
NOVEMBER 30, 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........................................... 5
Equity Index Fund............................................... 7
Small Company Opportunities Fund................................ 7
International Equity Fund....................................... 7
Emerging Markets Fund........................................... 7
Statements of Assets and Liabilities................................ 8
Statements of Operations............................................ 10
Statements of Changes in Net Assets................................ 12
Financial Highlights................................................ 14
Notes to Financial Statements....................................... 16
Semi-Annual Report: Core Trust (Delaware).......................... 21
Semi-Annual Report: Schroder Capital Funds......................... 65
<PAGE>
Forum Funds(R)
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[LOGO]
INVESTORS EQUITY FUND
EQUITY INDEX FUND
SMALL COMPANY OPPORTUNITES FUND
INTERNATIONAL FUND
EMERGING MARKETS FUND
November 30, 1998 SEMI-ANNUAL REPORT
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Dear Investor:
Forum Funds is pleased to present this Semi-Annual Report for the period June 1
through November 30, 1998. This report covers five of our equity funds, which
now have total assets of nearly $40 million, and gives a summary of the
performance of each for the six-month period.
INVESTORS EQUITY FUND
- ---------------------
For the six-month period ending November 30, 1998, the Investors Equity Fund
achieved a total return of 11.6% (not including the effect of the Fund's maximum
4% sales charge). This compares favorably to the 7.5% total return of the
Standard & Poors 500 Index and the Morningstar Growth Funds Average of -.3% for
the same period.
There were no changes in the Fund's investment approach during the six-month
period. The Fund continues to invest in high quality, growth oriented, large
capitalization stocks. The Fund maintained overweight positions in the
technology, health care, consumer cyclical and financial services sectors of the
market. Since the period ending November 30, 1998, the Fund managers have been
reducing the overweight in financial services, particularly in banks. The Fund
continues to de-emphasize utilities (electric and gas), energy and other
commodity related businesses.
The Fund's managers look for slowing in both the U.S. and European economies in
1999 relative to 1998, but still expect moderate growth in the U.S. of around 2%
GDP. They expect U.S. based corporate profits in 1999 to improve over 1998. A
combination of factors acted to drag down earnings in 1998, including the
translation effects of the strong U.S. dollar, weak earnings in such industries
as semi-conductors, oil, and commodities and the General Motors strike.
As we move into 1999, the managers expect the impact of these to be less of a
drag on overall corporate profits and for the year over year earnings
comparisons to become easier. They expect inflation to remain low and interest
rates to decline further, but at a slower rate in 1999. They believe that strong
companies with consistent earnings growth achieved through market share gains
and new products will be rewarded. By contrast, companies that rely on pricing
to increase profits will face a difficult year.
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MANGEMENT DISCUSSION & ANALYSIS (continued)
NOVEMBER 30, 1998
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EQUITY INDEX FUND
- -----------------
For the two fiscal quarters ending November 30, 1998, the Fund experienced a
gain of 7.7% (not including the effect of the Fund's maximum 4% sales charge).
Although this return is still higher than historic averages, the last six months
have brought increased volatility to the domestic stock market. Investors backed
away as corporate earnings disappointed, economic turmoil in Russia was again
front-page news, and hedge fund bailouts drew attention. The market declined
more than 15% in July and August before rebounding over 22% in the final three
months. In addition, the disparity between the returns of large and small
capitalization stocks in the U.S. continued, with the S&P 500 Index (large cap
stocks) generating a 7.5% return, while the Russell 2000 Index (small cap
stocks) lost 12.4% during the same period.
The objective of the Index Fund is to replicate the return of the 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 the Fund's assets are kept in cash in order to handle
redemptions and purchases without having to trade stocks. Although this
minimizes transaction costs, it can also hurt performance; the drag of cash is
reduced by hedging the cash position by investing in S&P 500 futures contracts,
giving in effect, a 100% equity position.
SMALL COMPANY OPPORTUNITIES FUND
- --------------------------------
The Small Company Opportunities Fund trailed its benchmarks for the six month
period ending November 30, 1998, with a loss of 15.5% (not including the effect
of the Fund's maximum 4% sales charge) versus a decline of 12.35% for the
Russell 2000 Small Stock Index and a decline of 12.33% for the Lipper Small Cap
Fund Average. Although we were disappointed with the results over the past two
fiscal quarters, bear in mind that the correction experienced by small cap
companies in August and September was partially caused by an emotional flight to
quality and liquidity in the wake of the problems experienced in the economies
of Russia and Southeast Asia.
It is also important to keep in mind the investment styles used by the Fund. The
Fund is comprised of four small cap investing styles: two value styles, one
growth style and an index style. The index style tracks the S&P 600 Index of
small company stocks. These styles are employed to help moderate the Fund's
annual return volatility, improve its overall performance and provide effective
diversification across small cap investments.
Over the past twelve months, small stocks had a very tough time. The market was
very narrow and liquidity driven. Overall, 70% of the S&P 500 Index constituents
lagged the Index's return, and 40% of its stocks were down for the year. The
Russell 2000 Small Stock Index underperformed the S&P 500 Index by one of the
widest margins in the common history of these two indices. Small caps lost to
large across every economic sector.
While small stocks have rebounded sharply from their October lows, they remain
over 17% below the highs reached in April. Meanwhile, the S&P 500 Index, on the
strength of its largest constituents, has fully recovered its earlier losses.
This dramatic performance divergence has allowed relative valuations for small
stocks to remain near historic lows. Despite the record lows, we have yet to see
much change in investors' appetites for large stocks.
INTERNATIONAL EQUITY FUND
- -------------------------
For the semi-annual period ending November 30, 1998, the International Equity
Fund fell 6.4% (not including the effect of the Fund's maximum 4% sales charge),
underperforming the Lipper International universe average which fell 6.0%.
2
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MANAGEMENT DISCUSSION & ANALYSIS (continued)
NOVEMBER 30, 1998
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Country allocation added value to the Fund over the past six months. For the
period, country allocation and stock selection in Japan added value, but
security selection in the U.K. and Continental Europe, as well as currency
management detracted from performance. The Fund was particularly hurt at the end
of the period by an overall defensive position both in country and stock
selection, a posture that had helped earlier in the six months.
In the midst of a difficult economic environment, the Fund's managers avoided
investing in banks and emphasized quality companies with earnings visibility.
However, stock selection in Continental Europe detracted from performance, in
part due to an underweighting of cyclical companies and an allocation to small
capitalization securities. In the U.K., stock selection also failed to match the
performance of the British market, as the strength of the U.K. currency hurt the
profitability of the industrial companies in the Fund. Currency hedging added
value at the beginning of the six months, but these gains were eroded during the
sudden yen surge against the U.S. dollar in October.
The period ended on a positive note provided by an interest rate cut by the U.S.
Federal Reserve Bank in October. The cut stopped a developing credit contraction
and led to upswings in most equity markets worldwide. The U.K. Central Bank now
has the largest scope for interest rate reductions among developed economies and
the Fund has moved to an overweight position there. After being particularly
hard hit in the summer, Continental European markets now offer much more
reasonable value and the Fund has moved to an overweight position. As the
Japanese government becomes more active about resolving the nation's banking
problems and as market sentiment about Japan appears excessively pessimistic,
the Fund's management has reduced the underweight position it has held
throughout the last six months. The Fund's only other exposure in the developed
Asian region is Singapore, the one market that has not been tainted by
government intervention (Hong Kong) or by capital controls (Malaysia).
The Fund's managers expect the recent volatility to continue through the first
half of 1999 as the effects of the emerging market crisis continue to be felt in
developed economies. Global growth estimates are also being reduced, despite the
recent rate cuts. This reflects the domestic demand collapse in Asia and export
slowdown in the Western economies. If the rate cuts become aggressive and there
is talk of fiscal stimulus, particularly in Europe, these moves could undermine
the bond markets and fuel inflation concerns.
EMERGING MARKETS FUND
- ---------------------
For the six month period ended November 30, 1998, the Emerging Markets Fund
returned -12.72% (not including the effect of the Fund's maximum 4% sales
charge). Its benchmark, the Morgan Stanley Capital International Emerging
Markets Free (excluding Malaysia) Index, returned -15.26% over the same period.
An overweight position in Korea and Eastern Europe and an underweight position
in the troubled Brazilian and Russian markets contributed positively to the
Fund's performance. Stock selection, however, on the whole detracted from
performance. The Fund invests in larger companies with solid, long-term
fundamentals, and it was these more liquid stocks that suffered dramatic
sell-offs in the last six months as investors fled the emerging markets. Stock
selection in Taiwan and Thailand contributed positively to performance; in
Poland, an underweight position in banks benefited the Fund.
Looking ahead, the managers favor emerging Mediterranean Europe and Africa and
Asia over Latin America. They believe that weaker commodity prices and lower
capital flows into emerging markets will hit Latin America particularly hard
(due to its huge current account deficits), whereas some Asian companies and
most companies in Emerging Mediterranean Europe will start to see a recovery in
1999. In particular, they favor the prospects for Korea, although they believe
that further restructuring and bank recapitalization is key to the future
direction of its stock market.
3
<PAGE>
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MANGEMENT DISCUSSION & ANALYSIS (continued)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
The outlook for emerging markets has improved, but there are still a number of
concerns: commodity prices in emerging markets remain weak, global growth is
expected to slow in 1999, and the capital available for emerging market
companies and governments is scarce. The managers believe that Brazil is key to
the future of emerging markets, with continued progress on fiscal reform and
lower interest rates essential if it is to avoid internal debt restructuring. On
a more positive note, emerging market companies are trading at a significant
discount relative to their developed market peers at the moment, representing
what the managers believe to be great opportunities for long-term investors.
IN CONCLUSION
- -------------
We urge investors to be conservative in their expectations of Fund performance
in 1999. It is likely that economic growth will slow, and given relatively
richly priced equity markets, it also seems likely that performance will be less
robust than in recent years. As always, we encourage you to focus on longer term
investment objectives and recognize the benefits of diversification in balancing
the risk/reward equation. We suggest that you work with your financial
professional to determine the appropriate asset mix that is likely to meet your
needs.
Thank you for your continuing confidence in Forum Funds. We will maintain our
efforts to provide you with excellent 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,
Chairman
4
<PAGE>
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SCHEDULES OF INVESTMENTS (unaudited)
NOVEMBER 30, 1998
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<TABLE>
<S> <C> <C> <C>
Shares Security Description Value
- ----------------------------------
INVESTORS EQUITY FUND
- ----------------------------------
COMMON STOCK (98.6%)
AMUSEMENT & RECREATION SERVICES (1.0%)
9,000Walt Disney Co. $ 289,688
-------------------
APPAREL & ACCESSORY STORES (3.6%)
15,000Gap, Inc. 1,103,437
-------------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (2.1%)
13,200Home Depot, Inc. 656,700
-------------------
BUSINESS SERVICES (11.7%)
14,400Automatic Data Processing, Inc. 1,108,800
13,050Interpublic Group of Cos., Inc. 897,188
13,100Microsoft Corp. (a) 1,598,200
-------------------
-------------------
3,604,188
-------------------
CHEMICALS & ALLIED PRODUCTS (14.3%)
19,800Abbott Laboratories 950,400
6,400Merck & Co., Inc. 991,200
8,100Pfizer, Inc. 904,163
10,800Procter & Gamble Co. 946,350
5,600Schering-Plough Corp. 595,700
-------------------
-------------------
4,387,813
-------------------
COMMUNICATIONS (4.9%)
14,500Ameritech Corp. 784,813
14,800SBC Communications, Inc. 709,475
-------------------
-------------------
1,494,288
-------------------
DOMESTIC DEPOSITORY INSTITUTIONS (3.6%)
2,900BankAmerica Corp. 189,044
25,750 Wells Fargo & Co. 927,000
-------------------
-------------------
1,116,044
-------------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS,
EXCEPT COMPUTER EQUIPMENT (8.2%)
8,550General Electric Co. 773,775
12,025Intel Corp. 1,294,190
7,000Solectron Corp. (a) 463,313
-------------------
-------------------
2,531,278
-------------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT (6.1%)
10,000Danaher Corp. 456,250
16,050Gillette Co. 737,297
10,650Illnois Tool Works 676,941
-------------------
-------------------
1,870,488
-------------------
FEDERAL AGENCIES & INSTRUMENTALITIES (3.5%)
14,925FNMA 1,085,793
-------------------
FOOD & KINDRED PRODUCTS (2.5%)
10,850Coca Cola Co. 760,178
-------------------
</TABLE>
See Notes to Financial Statements. 5 FORUM FUNDS (R)
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SCHEDULES OF INVESTMENTS (unaudited) (continued)
NOVEMBER 30, 1998
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<TABLE>
<S> <C> <C> <C>
SHARES SECURITY DESCRIPTION VALUE
- ----------------------------------------------
INVESTORS EQUITY FUND (concluded)
- ----------------------------------------------
FOOD STORES (1.0%)
6,000Kroger Co. (a) $ 318,375
-------------------
FURNITURE & FIXTURES (2.7%)
37,000 Leggett & Platt, Inc. 839,438
-------------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (5.7%)
11,400Applied Materials, Inc. (a) 441,750
17,550Cisco Systems, Inc. (a) 1,322,831
-------------------
-------------------
1,764,581
-------------------
INSURANCE CARRIERS (5.8%)
11,962American International Group, Inc. 1,124,428
10,000MBIA, Inc. 647,500
-------------------
-------------------
1,771,928
-------------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
Optical Goods (3.2%)
14,300Medtronic, Inc. 967,930
-------------------
MISCELLANEOUS RETAIL (1.0%)
9,100Staples, Inc. (a) 317,931
-------------------
NONDEPOSITORY CREDIT INSTITUTIONS (3.1%)
42,000 MBNA Corp. 952,875
-------------------
PETROLEUM REFINING & RELATED INDUSTRIES (6.6%)
14,700Exxon Corp. 1,103,418
10,600Mobil Corp. 913,588
-------------------
2,017,006
-------------------
PHARMACEUTICAL PREPARATIONS (1.8%)
10,200American Home Products 543,150
-------------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (3.5%)
19,400Franklin Resources, Inc. 829,350
3,050Merrill Lynch & Co., Inc. 228,750
-------------------
1,058,100
-------------------
WATER TRANSPORTATION (2.7%)
23,700 Carnival Corp. 817,650
-------------------
TOTAL COMMON STOCK (COST $13,973,113) 30,268,859
-------------------
Short-Term Investments (1.4%)
429,594 Dreyfus Government Cash Management Fund 429,594
-------------------
(cost $429,594)
Total Investments (100.0%) (cost $14,402,708) $ 30,698,453
===================
</TABLE>
(a) Non-income producing security
See Notes to Financial Statements. 6 FORUM FUNDS (R)
<PAGE>
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SCHEDULES OF INVESTMENTS (unaudited) (concluded)
NOVEMBER 30, 1998
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<TABLE>
<S> <C> <C> <C>
SHARES SECURITY DESCRIPTION VALUE
- -----------------------------------------------
EQUITY INDEX FUND
- -----------------------------------------------
N/A Index Portfolio of Core Trust (Delaware) $ 8,360,696
--------------------
TOTAL INVESTMENTS (100.0%)(COST $7,081,500) $ 8,360,696
====================
- -----------------------------------------------
SMALL COMPANY OPPORTUNITIES FUND
- -----------------------------------------------
N/A Small Company Value Portfolio of Core Trust (Delaware) $ 2,095
N/A Small Cap Index Portfolio of Core Trust (Delaware) 2,153
N/A Small Cap Value Portfolio of Core Trust (Delaware) 2,848
--------------------
TOTAL INVESTMENTS(100.0%)(COST $6,946) $ 7,096
====================
- -----------------------------------------------
INTERNATIONAL EQUITY FUND
- -----------------------------------------------
N/A International Portfolio of Core Trust (Delaware) 8,347
--------------------
TOTAL INVESTMENTS (100.0%)(COST $7,452) $ 8,347
====================
- -----------------------------------------------
EMERGING MARKETS FUND
- -----------------------------------------------
N/A Schroder EM Core Portfolio $ 6,192
--------------------
TOTAL INVESTMENTS (100.0%)(COST $6,201) $ 6,193
====================
</TABLE>
N/A - Equity Index Fund, Small Company Opportunities Fund, International Fund
and Emerging Markets Fund invest in interests in Portfolios of Core Trust
(Delaware) or Schroder Capital Funds as indicated.
See Notes to Financial Statements. 7 FORUM FUNDS (R)
<PAGE>
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STATEMENTS OF ASSETS AND LIABILITIES (unaudited)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
SMALL
INVESTORS EQUITY COMPANY
EQUITY INDEX OPPORTUNITIES
FUND FUND FUND
-------------------- ------------------- -------------------
ASSETS
Investments (Notes 1 and 2)
Investments at cost $ 14,402,708 $ 7,081,500 $ 6,946
Net unrealized appreciation (depreciation) 16,295,745 1,279,196 150
-------------------- ------------------- -------------------
Total investments at value 30,698,453 8,360,696 7,096
Interest, dividends and other receivables 34,594 - 48
Receivable for fund shares sold - 800 -
Receivable from administrator (Note 3) - - 680
Organization costs, net of amortization (Note 2) 2,753 2,143 4,553
-------------------- ------------------- -------------------
.
Total Assets 30,735,800 8,363,639 12,377
-------------------- ------------------- -------------------
LIABILITIES
Payable to investment adviser (Note 3) 4,921 - -
Payable to administrator (Note 3) 28,981 - -
Accrued expenses and other liabilities 65,487 1,312 5,257
-------------------- ------------------- -------------------
Total Liabilities 99,389 1,312 5,257
-------------------- ------------------- -------------------
NET ASSETS $ 30,636,411 $ 8,362,327 $ 7,120
==================== =================== ===================
COMPONENTS OF NET ASSETS
Paid in capital $ 14,330,243 $ 7,080,183 $ 7,920
Undistributed (distributions in excess of )
net investment income 10,423 69,172 (8)
Unrealized appreciation (depreciation) on investments 16,295,745 1,279,196 (1)
Accumulated net realized gain (loss) - (66,224) (791)
-------------------- ------------------- -------------------
NET ASSETS $ 30,636,411 $ 8,362,327 $ 7,120
==================== =================== ===================
SHARES OF BENEFICIAL INTEREST 2,629,069 664,407 869
NET ASSET VALUE AND
REDEMPTION PRICE PER SHARE $ 11.65 $ 12.59 $ 8.20
OFFERING PRICE PER SHARE
(NAV / (1-MAXIMUM SALES LOAD) $ 12.14 $ 13.11 $ 8.54
MAXIMUM SALES LOAD 4.00% 4.00% 4.00%
</TABLE>
See Notes to Financial Statements. 8 FORUM FUNDS (R)
<PAGE>
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STATEMENTS OF ASSETS AND LIABILITIES (unaudited) (concluded)
NOVEMBER 30, 1998
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<TABLE>
<S> <C> <C>
INTERNATIONAL EMERGING
EQUITY MARKETS
FUND FUND
------------------- -------------------
ASSETS
Investments (Notes 1 and 2)
Investments at cost $ 7,452 $ 6,201
Net unrealized appreciation (depreciation) 895 (8)
------------------- -------------------
Total investments at value 8,347 6,193
Receivable from administrator (Note 3) 1,113 466
Organization costs, net of amortization (Note 2) 5,053 2,069
------------------- -------------------
Total Assets 14,513 8,728
------------------- -------------------
LIABILITIES
Payable to advisor (Note 3) - -
Payable to administrator (Note 3) - -
Accrued expenses and other liabilities 6,220 2,548
------------------- -------------------
Total Liabilities 6,220 2,548
------------------- -------------------
NET ASSETS $ 8,293 $ 6,180
=================== ===================
COMPONENTS OF NET ASSETS
Paid in capital $ 7,483 $ 7,500
Undistributed (distributions in excess of )
net investment income 90 55
Unrealized appreciation (depreciation) on investments 895 (8)
Accumulated net realized gain (loss) (175) (1,367)
------------------- -------------------
NET ASSETS $ 8,293 $ 6,180
=================== ===================
SHARES OF BENEFICIAL INTEREST 737 763
NET ASSET VALUE AND
REDEMPTION PRICE PER SHARE $ 11.25 $ 8.10
OFFERING PRICE PER SHARE
(NAV / (1-MAXIMUM SALES LOAD) $ 11.71 $ 8.44
MAXIMUM SALES LOAD 4.00% 4.00%
</TABLE>
See Notes to Financial Statements. 9 FORUM FUNDS (R)
<PAGE>
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STATEMENTS OF OPERATIONS (unaudited)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
SMALL
INVESTORS EQUITY COMPANY
EQUITY INDEX OPPORTUNITIES
FUND FUND FUND
------------------- ------------------- -------------------
INVESTMENT INCOME
Interest income $ 12,956 $ 3,350 $ 7
Dividend income 150,956 44,223 24
Securities lending income - 805 1
Net expenses allocated from Core Portfolios (Note 1) - (5,442) (24)
------------------- ------------------- -------------------
Total Investment Income 163,912 42,936 8
------------------- ------------------- -------------------
EXPENSES
Investment advisory (Note 3) 94,189 - 7
Management (Note 3) 28,981 6,079 6
Transfer agency (Note 3) 42,297 13,641 6,023
Custody 3,956 - -
Accounting (Note 3) 18,000 6,000 12,000
Audit 658 526 500
Legal 3,876 1,296 206
Trustees 1,127 230 -
Reporting 12,783 3,050 3
Compliance 12,000 6,000 5,000
Amortization of organization costs (Note 2) 340 264 526
Miscellaneous 6,413 99 59
------------------- ------------------- -------------------
Total Expenses 224,620 37,185 24,330
Expenses reimbursed and fees waived (Note 4) (65,208) (35,067) (24,313)
------------------- ------------------- -------------------
Net Expenses 159,412 2,118 17
------------------- ------------------- -------------------
NET INVESTMENT INCOME (LOSS) 4,500 40,818 (9)
------------------- ------------------- -------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM
INVESTMENTS
Net Realized Gain (Loss) from:
Securities sold 1,841,810 - -
Investments in Core Portfolios (Note 1) - 7,203 (789)
Futures transactions from investments in Core
Portfolios (Note 1) - (73,404) (14)
------------------- ------------------- -------------------
Net Realized Gain (Loss) from Investments 1,841,810 (66,201) (803)
------------------- ------------------- -------------------
Net Change in Unrealized Appreciation (Depreciation) from:
Securities 1,404,547 - -
Investments in Core Portfolios (Note 1) - 654,980 154
Futures transactions from investments in Core
Portfolios (Note 1) - 62,341 (5)
------------------- ------------------- -------------------
Net Change in Unrealized Appreciation (Depreciation) from
Investments 1,404,547 717,321 149
------------------- ------------------- -------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS 3,246,357 651,120 (654)
------------------- ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 3,250,857 $ 691,938 $ (663)
=================== =================== ===================
</TABLE>
See Notes to Financial Statements. 10 FORUM FUNDS (R)
<PAGE>
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STATEMENTS OF OPERATIONS (unaudited) (concluded)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INTERNATIONAL EMERGING
EQUITY MARKETS
FUND FUND
------------------- --------------------
INVESTMENT INCOME
Interest income $ 32 $ 28
Dividend income 57 43
Securities lending income 2 -
Net expenses allocated from Core Portfolios (Note 1) (28) (44)
------------------- --------------------
--------------------
Total Investment Income 63 27
------------------- --------------------
EXPENSES
Investment advisory (Note 3) - -
Management (Note 3) 8 6
Transfer agency (Note 3) 6,030 6,027
Custody - -
Accounting (Note 3) 6,000 6,000
Audit 500 500
Legal 2 176
Trustees - -
Reporting 4 3
Compliance 5,000 5,000
Amortization of organization costs (Note 2) 622 255
Miscellaneous 57 86
------------------- --------------------
Total Expenses 18,223 18,053
Expenses reimbursed and fees waived (Note 4) (18,193) (18,048)
------------------- --------------------
Net Expenses 30 5
------------------- --------------------
NET INVESTMENT INCOME (LOSS) 33 22
------------------- --------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) from
Investments in Core Portfolios (Note 1) (164) (1,517)
Foreign currency transactions from investments in Core
Portfolios (Note 1) (12) (7)
------------------- --------------------
Net Realized Gain (Loss) from Investments (176) (1,524)
------------------- --------------------
Net Change in Unrealized Appreciation (Depreciation) from:
Securities
Investments in Core Portfolios (Note 1) (432) 600
Foreign currency transactions from investments in Core
Portfolios (Note 1) 7 (1)
Net Change in Unrealized Appreciation (Depreciation) from
Investments (425) 599
------------------- --------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS (601) (925)
------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (568) $ (903)
=================== ====================
</TABLE>
See Notes to Financial Statements. 11 FORUM FUNDS (R)
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED MAY 31, 1998, AND THE SIX MONTHS ENDED NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
SMALL
INVESTORS EQUITY COMPANY
EQUITY INDEX OPPORTUNITIES
FUND FUND FUND
------------------------- ---------------------- ------------------
------------------------- ---------------------- ------------------
Amount Shares Amount Shares Amount Shares
NET ASSETS - MAY 31, 1997 (a) $ - $ - - $ - - -
-------------- ------------ --------
-------------- ------------ --------
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)
-------------- ------------ --------
-------------- ------------ --------
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) 29,163,3122,613,200 - - - -
Reinvestment of distributions - - - - - -
Redemption of shares (1,704,870) (146,883) (5,545) (500) - -
-------------- ---------- ------------ --------- -------- ---------
-------------- ---------- ------------ --------- -------- ---------
Net increase (decrease) in capital
transactions 29,165,0122,631,444 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
-------------- ------------ --------
-------------- ------------ --------
OPERATIONS
Net investment income (loss) 4,500 40,818 (9)
Net realized gain (loss) on investments sold 1,841,810 (66,201) (803)
Net change in unrealized appreciation (depreciation)
on investments 1,404,547 717,321 149
-------------- ------------ --------
-------------- ------------ --------
Net increase (decrease) in net assets
resulting from operations 3,250,857 691,938 (663)
-------------- ------------ --------
-------------- ------------ --------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net realized gain on investments (2,567,208) - -
-------------- ------------ --------
-------------- ------------ --------
CAPITAL SHARE TRANSACTIONS
Sale of shares 947,527 81,753 2,700,053 239,331 3,074 388
Reinvestment of distributions 2,414,394 216,927 - - - -
Redemption of shares (3,499,502) (301,055) (67,270) (5,891) (143) (19)
-------------- ---------- ------------ ------------------- ---------
-------------- ---------- ------------ ------------------- ---------
Net increase (decrease) in capital
transactions (137,581) (2,375) 2,632,783 233,440 2,931 369
-------------- ========== ------------ ========= -------- =========
-------------- ========== ------------ ========= -------- =========
Net increase (decrease) in net assets 546,068 3,324,721 2,268
-------------- ------------ --------
-------------- ------------ --------
NET ASSETS - NOVEMBER 30, 1998 (Including line (B)) $ 30,636,411 (b) $ 8,362,327 (b) $ 7,120 (b)
============== ============ ========
============== ============ ========
(A) Accumulated undistributed net investment income
(distributions in excess of) May 31, 1998 $ 5,923 $ 28,354 (8)
============== ============ ========
============== ============ ========
(B) Accumulated undistributed net investment income
(distributions in excess of) November 30, 1998 $ 10,423 $ 69,172 $ (8)
============== ============ ========
============== ============ ========
</TABLE>
(a) See Notes to Financial Statements for commencement of operations.
(b) Unaudited.
See Notes to Financial Statements. 12 FORUM FUNDS (R)
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
FOR THE PERIOD ENDED MAY 31, 1998, AND THE SIX MONTHS ENDED NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INTERNATIONAL EMERGING
EQUITY MARKETS
FUND FUND
----------------------- ------------------------
----------------------- ------------------------
Amount Shares Amount Shares
NET ASSETS - MAY 31, 1997 (a) $ - $ -
------------ -----------
------------ -----------
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)
------------ -----------
------------ -----------
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
------------ -----------
------------ -----------
OPERATIONS
Net investment income (loss) 33 22
Net realized gain (loss) on investments sold (176) (1,524)
Net change in unrealized appreciation (depreciation) on
investments (425) 599
------------ -----------
------------ -----------
Net increase (decrease) in net assets resulting from
operations (568) (903)
------------ -----------
------------ -----------
CAPITAL SHARE TRANSACTIONS
Sale of shares - - - -
Transactions due to acquisition (Note 6) - - - -
Reinvestment of distributions - - - -
Redemption of shares - - - -
------------ --------- ----------- -----------
------------ ========= ----------- ===========
Net increase (decrease) in capital transactions - - - -
------------ ========= ----------- ===========
------------ ========= ----------- ===========
Net increase (decrease) in net assets (568) (903)
------------ -----------
------------ -----------
NET ASSETS - NOVEMBER 30, 1998 (Including line (B)) $ 8,293 (b) $ 6,180 (b)
============ ===========
============ ===========
(A) Accumulated undistributed net investment income
(distributions in excess of) May 31, 1998 $ 33 $ 33 33
============ ===========
============ ===========
(B) Accumulated undistributed net investment income
(distributions in excess of) November 30, 1998 $ 90 $ 55
============ ===========
============ ===========
(a) See Notes to Financial Statements for commencement of operations.
(b) Unaudited.
</TABLE>
See Notes to Financial Statements. 13 FORUM FUNDS (R)
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected per share data for a share outstanding throughout each period:
<TABLE>
<S> <C> <C> <C> <C>
INVESTORS EQUITY
EQUITY INDEX
FUND FUND
------------------------------ ------------------------------ -
Six Months Six Months
Ended Period Ended Period
November 30, Ended May,31 November 30, Ended May,31
1998 (unaudited) 1998 (a) 1998 (unaudited) 1998 (a) 1
---------------- ------------ ---------------- ------------ -
Net Asset Value Per Share, Beginning
of Period $11.43 $10.00 $11.69 $10.00
---------------- ------------ ---------------- ------------ -
Investment Operations
Net Investment Income (Loss) - - 0.04 (b) 0.07 (b)
Net Realized and Unrealized Gain (Loss)
on Investments 1.28 1.43 0.86 1.62
---------------- ------------ ---------------- ------------ -
Total from Investment Operations 1.28 1.43 0.90 1.69
---------------- ------------ ---------------- ------------ -
Distributions From Net Realized Gain (Loss)
on Investments (1.06) - - -
---------------- ------------ ---------------- ------------ -
Net Asset Value Per Share, End of Period $11.65 $11.43 $12.59 $11.69
================ ============ ================ ============ =
Total Return (c) 11.63% 14.30% 7.70% 16.90%
Ratio/Supplementary Data
Net Assets at End of Period (000's omitted) $30,636 $30,090 $8,362 $5,038
Ratios to Average Net Assets:
Expenses including reimbursement/
waiver of fees (d) 1.10% 1.10% 0.25% (b) 0.25% (b)
Expenses excluding reimbursement/
waiver of fees (d) 1.55% 2.09% 1.45% (b) 2.25% (b)
Net investment income (loss) including
reimbursement/waiver of fees(d) 0.03% 0.09% 1.34% (b) 1.41% (b)
Portfolio turnover rate 4.69% 11.35% 2.45% (e) 6.68% (e)
</TABLE>
<TABLE>
<S><C> <C>
SMALL
COMPANY
OPPORTUNITIES
FUND
- -----------------------------
Six Months
Ended Period
November 30, Ended May,31
998 (unaudited) 1998 (a)
- -----------------------------
$9.70 $10.00
- --------------- ------------
- (0.01)(b)
(1.50) (0.29)
- --------------- ------------
(1.50) (0.30)
- --------------- ------------
- -
- --------------- ------------
$8.20 $9.70
=============== ============
(15.46%) (3.00%)
$7 $5
1.49% (b) 1.87% (b)
887.90% (b) 1,836.34% (b)
(0.29%)(b) (0.93%)(b)
N/A (f) N/A (f)
</TABLE>
(a) See Note 1 of financial statements for commencement of operations.
(b) Includes the Fund's proportionate share of income and expenses of the
Portfolio.
(c) Total return calculations do not include sales charge and would have been
lower had certain expenses not been waived or reimbursed during the period
shown (Note 4).
(d) Annualized.
(e) Information presented is that of the Portfolio in which the Fund invests
(Note 1).
(f) Investment securities were not held directly due to investment in Core
Portfolios (Note 1). Rate is not applicable as the Fund invested in more
than one Core Portfolio.
See Notes to Financial Statements. 14 FORUM FUNDS (R)
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (concluded)
- --------------------------------------------------------------------------------
Selected per share data and ratios for a share outstanding throughout each
period:
<TABLE>
<S> <C> <C> <C>
INTERNATIONAL
EQUITY
FUND(a)
---------------------------------
Six Months
Ended Period
November 30, Ended May,31
1998 (unaudited) 1998 (a)
----------------- -------------
Net Asset Value Per Share, Beginning of Period $12.02 $10.00
----------------- -------------
Investment Operations
Net Investment Income (Loss) (b) 0.04 0.04
Net Realized and Unrealized Gain (Loss) on Investments (0.81) 1.98
----------------- -------------
Total from Investment Operations (0.77) 2.02
----------------- -------------
Distributions From Net Realized Gain (Loss) on Investments - -
----------------- -------------
Net Asset Value Per Share, End of Period $11.25 $12.02
================= ==============
Total Return (c) (6.41%) 20.20%
Ratio/Supplementary Data
Net Assets at End of Period (000's omitted) $8 $9
Ratios to Average Net Assets:
Expenses including reimbursement/waiver of fees (b) (d) 1.40% 1.36%
Expenses excluding reimbursement/waiver of fees (b) (d) 439.53% 675.46%
Net investment income (loss) including reimbursement/
waiver of fees (b) (d) 0.79% 0.98%
Portfolio turnover rate (e) 51.34% 36.96%
</TABLE>
<TABLE>
<S> <C> <C>
EMERGING
MARKETS
FUND(a)
-----------------------------------
Six Months
Ended Period
November 30, Ended May,31
1998 (unaudited) 1998 (a)
----------------- -------------
$9.28 $10.00
----------------- -------------
0.03 0.04
(1.21) (0.76)
----------------- -------------
(1.18) (0.72)
----------------- -------------
- -
----------------- -------------
$8.10 $9.28
================= ==============
(12.72%) (7.20%)
$6 $7
1.63% 1.69%
605.33% 602.84%
0.73% 1.05%
75.15% 20.09%
</TABLE>
(a) See Note 1 of financial statements for commencement of operations.
(b) Includes the Fund's proportionate share of income and expenses of the
Portfolio.
(c) Total return calculations do not include sales charge and would have been
lower had certain expensesnot been waived or reimbursed during the period
shown (Note 4).
(d) Annualized.
(e) Information presented is that of the Portfolio in which the Fund invests
(Note 1).
See Notes to Financial Statements. 15 FORUM FUNDS (R)
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
NOTE 1. SUMMARY OF ORGANIZATION
Forum Funds(R) (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 individually a "Fund", and collectively,
"the Funds"), each of which is a diversified portfolio, with the exception of
Emerging Markets Fund. Under its Trust Instrument, the Trust is authorized 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/FUND OF FUNDS ARRANGEMENT - EQUITY INDEX FUND AND INTERNATIONAL
EQUITY FUND EACH SEEK TO ACHIEVE ITS INVEStment objective by investing all 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
non-diversified portfolio of Schroder Capital Funds ("Schroder Core"), a
registered, open-end management investment company. This is commonly referred to
as a master-feeder arrangement. 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. This is commonly referred to as a fund of
funds arrangement. Each Core Trust and Schroder Core portfolio (each a "Core
Portfolio", and collectively, "the Core Portfolios") directly acquire 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 a
partnership investments and record daily their share of the Core Portfolio's
income, expenses, realized and unrealized gain and loss.
The following percentages represent each Fund's ownership interests in the
respective Portfolios as of November 30, 1998:
<TABLE>
<S> <C> <C> <C> <C>
SMALL COMPANY
EQUITY INDEX OPPORTUNITIES INTERNATIONAL EMERGING
FUND FUND EQUITY FUND MARKETS FUND
---- ---- ----------- ------------
Index Portfolio 0.551% - - -
Small Company Value Portfolio - 0.001% - -
Small Cap Index Portfolio - 0.002% - -
Small Cap Value Portfolio - 0.003% - -
International Portfolio - - 0.001% -
Schroder EM Core Portfolio - - - 0.054%
</TABLE>
The financial statements of the Core Portfolios, including the schedules of
investments, accompany this report, and should be read in conjunction with the
Funds' financial statements.
16 FORUM FUNDS (R)
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
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 Core Portfolios in which
they invest at value. The valuation of securities held in the Core Portfolios is
discussed in the Notes to the Financial Statements of Core Trust and Schroder
Core, which accompany 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 - Interest income for Investors Equity Fund 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 Core Portfolios' net investment income in which they invest.
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 its taxable income. In
addition, by distributing in each calendar year substantially all 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 expenses of
the Core Portfolios in which they invest.
17 FORUM FUNDS (R)
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 1998 (continued)
- --------------------------------------------------------------------------------
Realized Gain and Loss - Security transactions for Investor's Equity Fund 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. Each of Equity Index Fund, Small Company
Opportunities Fund, International Equity Fund, and Emerging Markets Fund record
daily their pro rata share of the Core Portfolios' realized and unrealized gain
and loss in which they invest.
NOTE 3. ADVISORY FEES, SERVICING FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Adviser - The investment adviser for Investors Equity Fund is H.M.
Payson & Co. ("Payson"). Payson receives an advisory fee at an annual rate 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 Bank Minnesota, N.A. ("Norwest Bank"). Norwest
Bank is a subsidiary of Wells Fargo & Company, a national bank holding company.
Norwest receives an advisory fee at an annual rate of 0.15% of the Portfolio's
average daily net assets. Equity Index Fund pays a pro rata portion of the
advisory fees incurred by Index Portfolio. 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. Small
Company Opportunities Fund also pays a pro rata portion of the advisory fees
incurred by the Core Trust Portfolios in which it invests.
The investment adviser for International Portfolio and Schroder EM Core
Portfolio, the Core Trust Portfolio and Schroder Core Portfolio 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. International Equity
Fund and Emerging Markets Fund, respectively, pay a pro rata portion of the
advisory fees incurred by International Portfolio and Schroder EM Core
Portfolio.
ADMINISTRATOR - 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
TRANSFER AGENT - Forum Shareholder Services, LLC ("FSS") 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.
DISTRIBUTOR - Forum Financial Services, Inc. ("FFSI"), a registered
broker-dealer and a member of the National Association of Securities Dealers,
Inc., acts as the Funds' distributor. For its services, FFSI receives, and may
reallocate to certain financial institutions, the sales charge paid by
purchasers of a Fund's shares.
OTHER SERVICE PROVIDERS - 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 for each of Equity Index Fund,
International Equity Fund and Emerging Markets Fund. For Small Company
Opportunities Fund, FAcS receives $24,000 per year for its services.
18 FORUM FUNDS (R)
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (concluded)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
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, FAcS and
Payson, at their discretion, may revise or discontinue the voluntary waivers.
For the six months ended November 30, 1998, expenses reimbursed and fees waived
were as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
TOTAL
EXPENSES
REIMBURSED
EXPENSES AND FEES
REIMBURSED FEES WAIVED WAIVED
---------- ---------------------------------------------------- ----------
FAdS FSS FIA FAdS FAcS PAYSON
---- --- --- ---- ---- ------
Investors Equity Fund $ - $ - $ - $ - $ - $ 65,208 $ 65,208
Equity Index Fund 9,434 13,554 6,079 6,000 - 35,067
Small Company Opportunities Fund 6,277 6,023 7 6 12,000 - 24,313
6,155 6,030 8 6,000 - 18,193
International Equity Fund 6,015 6,027 6 6,000 - 18,048
Emerging Markets Fund
</TABLE>
NOTE 5. SECURITY TRANSACTIONS
The cost of purchases and proceeds from sales of securities (including
maturities) of portfolio securities (excluding short-term investments) held by
Investors Equity Fund were $1,333,710 and $3,976,060, respectively, during the
six months ended November 30, 1998. Refer to the individual, appropriate Core
Portfolio financial statements for disclosure of the purchases and sales figures
for the Core Portfolios in which Equity Index Fund, Small Company Opportunities
Fund, International Equity Fund and Emerging Markets Fund invests.
For federal income tax purposes, the tax basis of investment securities owned as
of November 30, 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 $16,355,440 and $59,695,
respectively, for a net unrealized appreciation of $16,295,745. For Equity Index
Fund, Small Company Opportunities Fund, International Equity Fund and Emerging
Markets Fund, refer to the individual, appropriate Core Portfolio financial
statements for disclosure of these 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 and shares associated with the acquired fund
immediately prior to acquisition were $29,163,311, $14,697,118 and 2,613,199.95,
respectively.
The net assets of Investors Equity Fund immediately after the acquisition were
$30,683,052.
<PAGE>
(This page has been left blank intentionally.)
<PAGE>
SEMI-ANNUAL REPORT
NOVEMBER 30, 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>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
- --------------------------------------------------------------------------------
<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........ $ 266,112,142 $353,394,793 $184,565,157 $ 234,240,033 $ 881,201,994
Repurchase agreements at
cost................... 27,006,503 26,947,260 43,463,734 8,001,860 36,086,650
Net unrealized appreciation
(depreciation)......... 1,584,752 7,561,558 23,546,724 4,950,014 599,043,722
------------- ------------- ------------- ------------- ---------------
TOTAL INVESTMENTS AT VALUE... 294,703,397 387,903,611 251,575,615 247,191,907 1,516,332,366
Collateral for securities
loaned (Notes 2 and 7)... 28,690,729 52,870,805 99,616,817 20,693,480 212,630,689
Cash......................... 37,601 - - - 2,336
Receivable for investments
sold..................... - - - - -
Receivable for dividends,
interest other
receivables.............. 3,324,980 4,713,668 2,462,968 3,346,361 2,153,187
Organization costs, net of
amortization (Note 2).... 7,835 7,782 7,782 - 5,785
------------- ------------- ------------- ------------- ---------------
TOTAL ASSETS.................. 326,764,542 445,495,866 353,663,182 271,231,748 1,731,124,363
------------- ------------- ------------- ------------- ---------------
LIABILITIES
Payable to custodian for
account overdraft (Note
3)....................... - - - - -
Payable for investments
purchased................ 5,000,000 14,263,314 - 5,806,420 -
Payable for securities loaned
(Notes 2 and 7).......... 28,690,729 52,870,805 99,616,817 20,693,480 212,630,689
Payable for daily variation
margin on financial
futures contracts (Note
2)....................... - - - - 1,150,725
Payable for forward foreign
currency contracts....... - - - - -
Payable to custodian (Note
3)....................... 3,598 4,144 3,173 3,172 13,531
Payable to investment adviser
(Note 3)................. 70,968 101,886 67,901 96,945 184,479
Payable to administrator
(Note 3)................. 3,730 - - - -
Accrued expenses and other
liabilities.............. 2,095 2,953 3,583 1,602 -
------------- ------------- ------------- ------------- ---------------
TOTAL LIABILITIES............. 33,771,120 67,243,102 99,691,474 26,601,619 213,979,424
------------- ------------- ------------- ------------- ---------------
NET ASSETS.................... $ 292,993,422 $378,252,764 $253,971,708 $ 244,630,129 $ 1,517,144,939
------------- ------------- ------------- ------------- ---------------
------------- ------------- ------------- ------------- ---------------
</TABLE>
See Notes to Financial Statements
CORE TRUST (DELAWARE)
22
<PAGE>
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE SMALL SMALL SMALL
INCOME DISCIPLINED COMPANY CAP COMPANY CAP
EQUITY GROWTH GROWTH INDEX STOCK VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------- --------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments (Note
2)
Investments at
cost......... $ 1,206,600,344 $ 149,199,229 $ 544,006,186 $ 135,576,333 $ 139,679,668 $ 97,945,170
Repurchase
agreements at
cost......... 60,475,583 3,427,716 - 4,810,392 15,309,274 6,586,078
Net unrealized
appreciation
(depreciation)... 832,165,204 17,763,435 667,201,795 (19,335,896) 11,275,443 3,993,836
--------------- ------------- --------------- ------------- ------------- -------------
TOTAL INVESTMENTS
AT VALUE....... 2,099,241,131 170,390,380 1,211,207,981 121,050,829 166,264,385 108,525,084
Collateral for
securities
loaned (Notes 2
and 7)......... 112,455,035 17,094,284 179,284,965 15,017,870 23,914,694 25,598,858
Cash............... - - - 583,875 - -
Receivable for
investments
sold........... - - 4,584,738 - - 62,165
Receivable for
dividends,
interest other
receivables.... 5,961,093 102,814 296,144 69,623 90,658 44,844
Organization costs,
net of
amortization
(Note 2)....... 10,359 - 10,223 - 2,091 -
--------------- ------------- --------------- ------------- ------------- -------------
TOTAL ASSETS........ 2,217,667,618 187,587,478 1,395,384,051 136,722,197 190,271,828 134,230,951
--------------- ------------- --------------- ------------- ------------- -------------
LIABILITIES
Payable to
custodian for
account
overdraft (Note
3)............. - - 3,598,482 - - -
Payable for
investments
purchased...... - - - - 976,928 1,049,532
Payable for
securities
loaned (Notes 2
and 7)......... 112,455,035 17,094,284 179,284,965 15,017,870 23,914,694 25,598,858
Payable for daily
variation
margin on
financial
futures
contracts (Note
2)............. - - - 93,325 - -
Payable for forward
foreign
currency
contracts...... - - - - - -
Payable to
custodian (Note
3)............. 18,371 2,517 10,957 1,886 2,460 1,708
Payable to
investment
adviser (Note
3)............. 856,867 126,350 632,059 24,592 122,945 82,154
Payable to
administrator
(Note 3)....... 40,286 5,238 31,866 - - 2,755
Accrued expenses
and other
liabilities.... - 4,787 - - 4,473 3,746
--------------- ------------- --------------- ------------- ------------- -------------
TOTAL LIABILITIES... 113,370,559 17,233,176 183,558,329 15,137,673 25,021,500 26,738,753
--------------- ------------- --------------- ------------- ------------- -------------
NET ASSETS.......... $ 2,104,297,059 $ 170,354,302 $ 1,211,825,722 $ 121,584,524 $ 165,250,328 $ 107,492,198
--------------- ------------- --------------- ------------- ------------- -------------
--------------- ------------- --------------- ------------- ------------- -------------
<CAPTION>
SMALL SMALL
COMPANY COMPANY
VALUE GROWTH INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ---------------
<S> <C> <C> <C>
ASSETS
Investments (Note
2)
Investments at
cost......... $ 138,105,468 $ 581,901,337 $ 847,379,560
Repurchase
agreements at
cost......... 6,562,787 50,292,318 -
Net unrealized
appreciation
(depreciation)... (4,414,339) 99,082,760 100,505,508
------------- ------------- ---------------
TOTAL INVESTMENTS
AT VALUE....... 140,253,916 731,276,415 947,885,068
Collateral for
securities
loaned (Notes 2
and 7)......... 8,550,252 - 59,013,222
Cash............... - - -
Receivable for
investments
sold........... 195,969 3,093,723 60,086
Receivable for
dividends,
interest other
receivables.... 132,539 118,227 2,518,616
Organization costs,
net of
amortization
(Note 2)....... 1,924 1,951 5,785
------------- ------------- ---------------
TOTAL ASSETS........ 149,134,600 734,490,316 1,009,482,777
------------- ------------- ---------------
LIABILITIES
Payable to
custodian for
account
overdraft (Note
3)............. - - 43,404,893
Payable for
investments
purchased...... 48,479 1,545,064 10,754,904
Payable for
securities
loaned (Notes 2
and 7)......... 8,550,252 - 59,013,222
Payable for daily
variation
margin on
financial
futures
contracts (Note
2)............. - - -
Payable for forward
foreign
currency
contracts...... - - 3,237,845
Payable to
custodian (Note
3)............. 2,133 7,194 46,303
Payable to
investment
adviser (Note
3)............. 103,347 536,463 318,281
Payable to
administrator
(Note 3)....... - 28,938 108,344
Accrued expenses
and other
liabilities.... 9,619 - 12,368
------------- ------------- ---------------
TOTAL LIABILITIES... 8,713,830 2,117,659 116,896,160
------------- ------------- ---------------
NET ASSETS.......... $ 140,420,770 $ 732,372,657 $ 892,586,617
------------- ------------- ---------------
------------- ------------- ---------------
</TABLE>
CORE TRUST (DELAWARE)
23
<PAGE>
STATEMENTS OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<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.............. $ - $ - $ - $ - $ 10,196,955
Interest income.............. 8,049,670 11,621,105 6,537,633 7,815,289 796,005
Securities lending income
(Note 2)................. 23,816 14,828 61,767 9,794 190,136
----------- ------------ ------------ ------------ -------------
TOTAL INVESTMENT INCOME....... 8,073,486 11,635,933 6,599,400 7,825,083 11,183,096
----------- ------------ ------------ ------------ -------------
EXPENSES
Advisory (Note 3)............ 412,434 610,527 407,428 598,832 1,058,572
Administration (Note 3)...... 68,739 87,218 58,204 59,883 352,857
Custody (Note 3)............. 21,268 24,964 19,161 19,497 78,092
Accounting (Note 3).......... 44,000 41,000 27,000 38,000 75,000
Legal........................ 358 464 310 323 1,875
Audit........................ 9,427 9,919 8,899 7,750 21,311
Trustees..................... 378 482 321 334 1,921
Amortization of organization
costs (Note 2)........... 1,116 1,110 1,110 - 3,036
Miscellaneous................ 4,647 5,096 1,048 1,473 27,046
----------- ------------ ------------ ------------ -------------
TOTAL EXPENSES................ 562,367 780,780 523,481 726,092 1,619,710
Fees waived (Note 4)........ (65,009) (87,218) (58,204) (59,883) (352,857)
----------- ------------ ------------ ------------ -------------
NET EXPENSES.................. 497,358 693,562 465,277 666,209 1,266,853
----------- ------------ ------------ ------------ -------------
NET INVESTMENT INCOME
(LOSS).................... 7,576,128 10,942,371 6,134,123 7,158,874 9,916,243
----------- ------------ ------------ ------------ -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on
Securities................. (41,864) 860,672 3,631,743 291,353 14,808,838
Foreign currency
transactions........... - - - - -
Financial futures
transactions........... - - - - (3,018,164)
----------- ------------ ------------ ------------ -------------
Net Realized Gain (Loss) on
Investments.............. (41,864) 860,672 3,631,743 291,353 11,790,674
Net Change in Unrealized
Appreciation
(Depreciation) on
Securities................. 1,245,316 2,302,807 12,200,983 3,120,414 75,959,297
Foreign currency
transactions........... - - - - -
Financial futures
transactions........... - - - - 2,933,775
----------- ------------ ------------ ------------ -------------
Net Change in Unrealized
Appreciation
(Depreciation) on
Investments.............. 1,245,316 2,302,807 12,200,983 3,120,414 78,893,072
----------- ------------ ------------ ------------ -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS............... 1,203,452 3,163,479 15,832,726 3,411,767 90,683,746
----------- ------------ ------------ ------------ -------------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $8,779,580 $14,105,850 $21,966,849 $10,570,641 $ 100,599,989
----------- ------------ ------------ ------------ -------------
----------- ------------ ------------ ------------ -------------
(a) Net of foreign withholding
taxes of $1,011,363
</TABLE>
See Notes to Financial Statements
CORE TRUST (DELAWARE)
24
<PAGE>
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<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.............. $ 20,358,119 $ 621,063 $ 2,229,682 $ 461,256 $ 656,270 $ 278,319
Interest income.............. 849,831 113,229 367,173 176,997 414,056 154,296
Securities lending income
(Note 2)................. 153,249 23,148 157,450 33,240 19,893 11,610
-------------- -------------- ------------- -------------- ------------- --------------
TOTAL INVESTMENT INCOME....... 21,361,199 757,440 2,754,305 671,493 1,090,219 444,225
-------------- -------------- ------------- -------------- ------------- --------------
EXPENSES
Advisory (Note 3)............ 4,904,459 648,087 3,625,564 141,653 807,047 464,246
Administration (Note 3)...... 490,446 36,005 278,890 28,330 44,836 24,434
Custody (Note 3)............. 105,610 13,308 63,298 10,991 15,810 9,718
Accounting (Note 3).......... 39,000 33,000 39,000 71,000 32,000 29,500
Legal........................ 2,623 180 1,485 157 275 134
Audit........................ 5,082 7,449 4,100 7,838 6,601 7,425
Trustees..................... 2,710 195 1,498 159 266 135
Amortization of organization
costs (Note 2)........... 1,482 - 1,459 - 1,044 -
Miscellaneous................ 8,558 1,864 4,634 13,603 726 2,227
-------------- -------------- ------------- -------------- ------------- --------------
TOTAL EXPENSES................ 5,559,970 740,088 4,019,928 273,731 908,605 537,819
Fees waived (Note 4)........ (196,178) (30,767) (55,778) (28,330) (44,836) (21,679)
-------------- -------------- ------------- -------------- ------------- --------------
NET EXPENSES.................. 5,363,792 709,321 3,964,150 245,401 863,769 516,140
-------------- -------------- ------------- -------------- ------------- --------------
NET INVESTMENT INCOME
(LOSS).................... 15,997,407 48,119 (1,209,845) 426,092 226,450 (71,915)
-------------- -------------- ------------- -------------- ------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on
Securities................. 6,418,700 (5,630,288) 45,611,873 (565,663) (43,276,957) (17,245,784)
Foreign currency
transactions........... - - - - - -
Financial futures
transactions........... - - - (1,979,763) - -
-------------- -------------- ------------- -------------- ------------- --------------
Net Realized Gain (Loss) on
Investments.............. 6,418,700 (5,630,288) 45,611,873 (2,545,426) (43,276,957) (17,245,784)
Net Change in Unrealized
Appreciation
(Depreciation) on
Securities................. 25,297,096 7,019,638 140,507,576 (12,980,053) (4,650,297) (1,383,424)
Foreign currency
transactions........... - - - - - -
Financial futures
transactions........... - - - 1,073,650 - -
-------------- -------------- ------------- -------------- ------------- --------------
Net Change in Unrealized
Appreciation
(Depreciation) on
Investments.............. 25,297,096 7,019,638 140,507,576 (11,906,403) (4,650,297) (1,383,424)
-------------- -------------- ------------- -------------- ------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS............... 31,715,796 1,389,350 186,119,449 (14,451,829) (47,927,254) (18,629,208)
-------------- -------------- ------------- -------------- ------------- --------------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $ 47,713,203 $ 1,437,469 $184,909,604 $ (14,025,737) $(47,700,804) $ (18,701,123)
-------------- -------------- ------------- -------------- ------------- --------------
-------------- -------------- ------------- -------------- ------------- --------------
(a) Net of foreign withholding
taxes of $1,011,363
<CAPTION>
SMALL
COMPANY SMALL COMPANY
VALUE GROWTH INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividend income.............. $ 963,331 $ 1,448,607 $ 6,092,755(a)
Interest income.............. 124,919 976,311 3,412,817
Securities lending income
(Note 2)................. 27,631 - 205,014
------------ ------------- -------------
TOTAL INVESTMENT INCOME....... 1,115,881 2,424,918 9,710,586
------------ ------------- -------------
EXPENSES
Advisory (Note 3)............ 610,072 3,339,914 2,013,817
Administration (Note 3)...... 33,893 185,551 671,272
Custody (Note 3)............. 12,675 44,631 246,652
Accounting (Note 3).......... 36,000 43,000 63,000
Legal........................ 190 1,094 1,976
Audit........................ 9,332 6,671 22,047
Trustees..................... 190 1,064 1,237
Amortization of organization
costs (Note 2)........... 960 972 3,036
Miscellaneous................ 3,203 2,999 25,227
------------ ------------- -------------
TOTAL EXPENSES................ 706,515 3,625,896 3,048,264
Fees waived (Note 4)........ (33,893) - (46,282)
------------ ------------- -------------
NET EXPENSES.................. 672,622 3,625,896 3,001,982
------------ ------------- -------------
NET INVESTMENT INCOME
(LOSS).................... 443,259 (1,200,978) 6,708,604
------------ ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on
Securities................. (4,071,752) (98,538,371) 42,340,224
Foreign currency
transactions........... - - (661,347)
Financial futures
transactions........... - - -
------------ ------------- -------------
Net Realized Gain (Loss) on
Investments.............. (4,071,752) (98,538,371) 41,678,877
Net Change in Unrealized
Appreciation
(Depreciation) on
Securities................. (19,535,248) (42,518,270) (102,411,147)
Foreign currency
transactions........... - - (4,868,950)
Financial futures
transactions........... - - -
------------ ------------- -------------
Net Change in Unrealized
Appreciation
(Depreciation) on
Investments.............. (19,535,248) (42,518,270) (107,280,097)
------------ ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS............... (23,607,000) (141,056,641) (65,601,220)
------------ ------------- -------------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $(23,163,741) $(142,257,619) $(58,892,616)
------------ ------------- -------------
------------ ------------- -------------
(a) Net of foreign withholding
taxes of $1,011,363
</TABLE>
CORE TRUST (DELAWARE)
25
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
- --------------------------------------------------------------------------------
<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, 1997...... $ - $ - $ - $ - $ 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 (decrease) from
transactions in
investors' beneficial
interest................. 244,395,190 309,529,049 191,846,682 227,689,883 638,180,902
------------- ------------- ------------- ------------- ---------------
NET INCREASE (DECREASE) 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
------------- ------------- ------------- ------------- ---------------
OPERATIONS
Net investment income
(loss)................... 7,576,128 10,942,371 6,134,123 7,158,874 9,916,243
Net realized gain (loss) on
investments sold......... (41,864) 860,672 3,631,743 291,353 11,790,674
Net change in unrealized
appreciation
(depreciation) on
investments.............. 1,245,316 2,302,807 12,200,983 3,120,414 78,893,072
------------- ------------- ------------- ------------- ---------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ 8,779,580 14,105,850 21,966,849 10,570,641 100,599,989
------------- ------------- ------------- ------------- ---------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions (Note 9)....... 86,687,980 57,416,389 41,516,617 24,619,125 124,953,888
Withdrawals.................. (61,183,059) (28,932,662) (33,621,474) (27,436,812) (93,688,861)
------------- ------------- ------------- ------------- ---------------
Net increase (decrease) from
transactions in
investors' beneficial
interest................. 25,504,921 28,483,727 7,895,143 (2,817,687) 31,265,027
------------- ------------- ------------- ------------- ---------------
NET INCREASE (DECREASE) IN NET
ASSETS.................... 34,284,501 42,589,577 29,861,992 7,752,954 131,865,016
------------- ------------- ------------- ------------- ---------------
NET ASSETS, NOVEMBER 30,
1998...................... $ 292,993,422 $378,252,764 $253,971,708 $ 244,630,129 $ 1,517,144,939
------------- ------------- ------------- ------------- ---------------
------------- ------------- ------------- ------------- ---------------
(a) Beginning of Period....... Jun 1, 1997 Jun 1, 1997 Jun 1, 1997 Oct 1, 1997 Jun 1, 1997
</TABLE>
See Notes to Financial Statements
CORE TRUST (DELAWARE)
26
<PAGE>
FOR THE PERIOD ENDED MAY 31, 1998(a)
AND SIX MONTHS ENDED NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE SMALL
INCOME DISCIPLINED COMPANY SMALL CAP COMPANY
EQUITY GROWTH GROWTH INDEX STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------- --------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSETS, MAY 31, 1997...... $ - $ - $ - $ - $ -
--------------- ------------- --------------- ------------- --------------
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 (decrease) from
transactions in
investors' beneficial
interest................. 1,575,631,472 123,640,856 803,083,020 129,064,157 191,859,347
--------------- ------------- --------------- ------------- --------------
NET INCREASE (DECREASE) 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
--------------- ------------- --------------- ------------- --------------
OPERATIONS
Net investment income
(loss)................... 15,997,407 48,119 (1,209,845) 426,092 226,450
Net realized gain (loss) on
investments sold......... 6,418,700 (5,630,288) 45,611,873 (2,545,426) (43,276,957)
Net change in unrealized
appreciation
(depreciation) on
investments.............. 25,297,096 7,019,638 140,507,576 (11,906,403) (4,650,297)
--------------- ------------- --------------- ------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ 47,713,203 1,437,469 184,909,604 (14,025,737) (47,700,804)
--------------- ------------- --------------- ------------- --------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions (Note 9)....... 167,190,012 44,370,049 114,897,167 22,735,382 48,335,062
Withdrawals.................. (66,408,289) (6,218,435) (169,979,170) (9,617,566) (60,252,633)
--------------- ------------- --------------- ------------- --------------
Net increase (decrease) from
transactions in
investors' beneficial
interest................. 100,781,723 38,151,614 (55,082,003) 13,117,816 (11,917,571)
--------------- ------------- --------------- ------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS.................... 148,494,926 39,589,083 129,827,601 (907,921) (59,618,375)
--------------- ------------- --------------- ------------- --------------
NET ASSETS, NOVEMBER 30,
1998...................... $ 2,104,297,059 $ 170,354,302 $ 1,211,825,722 $ 121,584,524 $ 165,250,328
--------------- ------------- --------------- ------------- --------------
--------------- ------------- --------------- ------------- --------------
(a) Beginning of Period....... Jun 1, 1997 Oct 1, 1997 Jun 1, 1997 Apr 9, 1998 Jun 1, 1997
<CAPTION>
SMALL SMALL
SMALL CAP COMPANY COMPANY
VALUE VALUE GROWTH INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
NET ASSETS, MAY 31, 1997...... $ - $ - $ - $ 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 (decrease) from
transactions in
investors' beneficial
interest................. 101,324,818 95,015,776 749,101,584 303,605,924
------------- ------------- -------------- --------------
NET INCREASE (DECREASE) 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
------------- ------------- -------------- --------------
OPERATIONS
Net investment income
(loss)................... (71,915) 443,259 (1,200,978) 6,708,604
Net realized gain (loss) on
investments sold......... (17,245,784) (4,071,752) (98,538,371) 41,678,877
Net change in unrealized
appreciation
(depreciation) on
investments.............. (1,383,424) (19,535,248) (42,518,270) (107,280,097)
------------- ------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ (18,701,123) (23,163,741) (142,257,619) (58,892,616)
------------- ------------- -------------- --------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions (Note 9)....... 29,098,264 28,966,601 53,458,663 85,535,600
Withdrawals.................. (7,174,792) (12,907,535) (72,891,507) (85,241,953)
------------- ------------- -------------- --------------
Net increase (decrease) from
transactions in
investors' beneficial
interest................. 21,923,472 16,059,066 (19,432,844) 293,647
------------- ------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS.................... 3,222,349 (7,104,675) (161,690,463) (58,598,969)
------------- ------------- -------------- --------------
NET ASSETS, NOVEMBER 30,
1998...................... $ 107,492,198 $ 140,420,770 $ 732,372,657 $ 892,586,617
------------- ------------- -------------- --------------
------------- ------------- -------------- --------------
(a) Beginning of Period....... Oct 1, 1997 Jun 1, 1997 Jun 1, 1997 Jun 1, 1997
</TABLE>
CORE TRUST (DELAWARE)
27
<PAGE>
FINANCIAL HIGHLIGHTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS(a)
-------------------------------------------
NET
INVESTMENT PORTFOLIO
INCOME NET TURNOVER
(LOSS) EXPENSES GROSS EXPENSES RATE
---------- ----------- -------------- --------
<S> <C> <C> <C> <C>
STABLE INCOME PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 5.51% 0.36% 0.41% 19.25%
June 1, 1997(b) to May 31, 1998....... 5.96% 0.37% 0.43% 37.45%
MANAGED FIXED INCOME PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 6.27% 0.40% 0.45% 16.61%
June 1, 1997(b) to May 31, 1998....... 6.53% 0.41% 0.46% 91.59%
POSITIVE RETURN BOND PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 5.27% 0.40% 0.45% 23.54%
June 1, 1997(b) to May 31, 1998....... 5.74% 0.41% 0.47% 68.18%
STRATEGIC VALUE BOND PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 5.98% 0.56% 0.61% 16.83%
October 1, 1997(b) to May 31, 1998.... 6.06% 0.58% 0.62% 134.56%
INDEX PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 1.41% 0.18% 0.23% 2.45%
June 1, 1997 to May 31, 1998.......... 1.60% 0.19% 0.24% 6.68%
June 1, 1996 to May 31, 1997.......... 2.03% 0.11% 0.31% 7.29%
November 1, 1995 to May 31, 1996...... 2.35% 0.17% 0.32% 7.21%
November 11, 1994(b) to October 31,
1995................................ 2.42% 0.17% 0.33% 7.73%
INCOME EQUITY PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 1.63% 0.55% 0.57% 2.29%
June 1, 1997(b) to May 31, 1998....... 1.76% 0.52% 0.57% 3.49%
DISCIPLINED GROWTH PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 0.07% 0.99% 1.03% 50.64%
October 1, 1997(b) to May 31, 1998.... 0.55% 1.01% 1.06% 68.08%
LARGE COMPANY GROWTH PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... (0.22%) 0.71% 0.72% 10.33%
June 1, 1997(b) to May 31, 1998....... (0.03%) 0.67% 0.73% 13.03%
SMALL CAP INDEX PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 0.75% 0.43% 0.48% 12.41%
April 9, 1998(b) to May 31, 1998...... 1.04% 0.52% 0.54% 2.25%
SMALL COMPANY STOCK PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... (0.25%) 0.96% 1.01% 63.71%
June 1, 1997(b) to May 31, 1998....... (0.27%) 0.95% 1.01% 166.16%
SMALL CAP VALUE PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... (0.15%) 1.06% 1.10% 58.07%
October 1, 1997(b) to May 31, 1998.... (0.17%) 1.08% 1.13% 79.43%
SMALL COMPANY VALUE PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 0.65% 0.99% 1.04% 47.47%
June 1, 1997(b) to May 31, 1998....... 0.69% 0.99% 1.04% 99.08%
SMALL COMPANY GROWTH PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... (0.32%) 0.98% 0.98% 66.00%
June 1, 1997(b) to May 31, 1998....... (0.41%) 0.93% 0.98% 123.36%
INTERNATIONAL PORTFOLIO
- -------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 1.50% 0.67% 0.68% 51.34%
June 1, 1997 to May 31, 1998.......... 1.23% 0.66% 0.68% 36.96%
June 1, 1996 to May 31, 1997.......... 1.53% 0.19% 0.67% 53.32%
November 1, 1995 to May 31, 1996...... 1.75% 0.23% 0.68% 17.58%
November 11, 1994(b) to October 31,
1995................................ 1.94% 0.25% 0.70% 28.19%
</TABLE>
- ----------------------------------
(a) Ratios for periods of less than one year are annualized.
(b) Commencement of operations.
See Notes to Financial Statements
CORE TRUST (DELAWARE)
28
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOVEMBER 30, 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
(individually, a "Portfolio" and, collectively, the "Portfolios"), which
commenced operations on the following dates:
<TABLE>
<S> <C>
Stable Income Portfolio................. June 1, 1997
Managed Fixed Income Portfolio.......... June 1, 1997
Positive Return Bond Portfolio.......... June 1, 1997
Strategic Value Bond Portfolio.......... October 1, 1997
Index Portfolio......................... November 11, 1994
Income Equity Portfolio................. June 1, 1997
Disciplined Growth Portfolio............ October 1, 1997
Large Company Growth Portfolio.......... June 1, 1997
Small Cap Index Portfolio............... April 9, 1998
Small Company Stock Portfolio........... June 1, 1997
Small Cap Value Portfolio............... October 1, 1997
Small Company Value Portfolio........... June 1, 1997
Small Company Growth Portfolio.......... June 1, 1997
International Portfolio................. November 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 summarizes the 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 gain and loss 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 includes net gain or loss on
contracts that have terminated by settlement or by the Portfolio entering into
offsetting commitments.
CORE TRUST (DELAWARE)
29
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
FUTURES CONTRACTS--Each Portfolio may invest in stock index futures contracts to
enhance 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 may receive compensation for lending securities
in the form of fees or by retaining a portion of interest on the investment
securities or cash received as collateral. A Portfolio also continues to receive
interest or dividends on the securities loaned. Security loans are secured at
all times by collateral 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.
ORGANIZATION 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 the 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 Schroder
Incorporated, the wholly owned U.S. holding company subsidiary of Schroder PLC.
The Adviser has retained the services of certain of its affiliates as investment
subadvisers (Crestone Capital Management, Inc., Galliard Capital Management,
Inc., Peregrine Capital Management, Inc., and Smith Asset Management Group,
L.P.) on selected Portfolios. The fees related to subadvisor 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 is as follows:
<TABLE>
<CAPTION>
INVESTMENT
ADVISORY FEE SUBADVISER
-------------- ----------------------------------------
<S> <C> <C>
Stable Income Portfolio................. 0.30% Galliard Capital Management, Inc.
Managed Fixed Income Portfolio.......... 0.35% Galliard Capital Management, Inc.
Positive Return Bond Portfolio.......... 0.35% Peregrine Capital Management, Inc.
Strategic Value Bond Portfolio.......... 0.50% Galliard Capital Management, Inc.
Index Portfolio......................... 0.15% -
Income Equity Portfolio................. 0.50% -
Disciplined Growth Portfolio............ 0.90% Smith Asset Management Group, L.P.
Large Company Growth Portfolio.......... 0.65% Peregrine Capital Management, Inc.
Small Cap Index Portfolio............... 0.25% -
Small Company Stock Portfolio........... 0.90% Crestone Capital Management, Inc.
Small Cap Value Portfolio............... 0.95% Smith Asset Management Group, L.P.
Small Company Value Portfolio........... 0.90% Peregrine Capital Management, Inc.
Small Company Growth Portfolio.......... 0.90% Peregrine Capital Management, Inc.
International Portfolio................. 0.45% -
</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 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.
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
CORE TRUST (DELAWARE)
30
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
NOTE 3. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH
AFFILIATES (CONTINUED)
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 Portfolio's remaining 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 period ended November 30, 1998, fees waived by the Portfolio's service
providers were as follows:
<TABLE>
<CAPTION>
FEES WAIVED
BY FAdS
--------------
<S> <C>
Stable Income Portfolio................. $ 65,009
Managed Fixed Income Portfolio.......... 87,218
Positive Return Bond Portfolio.......... 58,204
Strategic Value Bond Portfolio.......... 59,883
Index Portfolio......................... 352,857
Income Equity Portfolio................. 196,178
Disciplined Growth Portfolio............ 30,767
Large Company Growth Portfolio.......... 55,778
Small Cap Index Portfolio............... 28,330
Small Company Stock Portfolio........... 44,836
Small Cap Value Portfolio............... 21,679
Small Company Value Portfolio........... 33,893
Small Company Growth Portfolio.......... -
International Portfolio................. -
</TABLE>
Schroder waived investment advisory fees of $46,282 for International Portfolio
NOTE 5. FEDERAL INCOME TAX
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.
NOTE 6. SECURITIES TRANSACTIONS
The following table presents the cost of purchases and proceeds from sales
(including maturities) of securities (excluding short-term investments) during
the period ended November 30, 1998, as well as the federal tax cost basis of
investments and related gross unrealized appreciation and depreciation for
federal income tax purposes as of November 30, 1998:
<TABLE>
<CAPTION>
COST OF PROCEEDS TAX UNREALIZED UNREALIZED
PURCHASES FROM SALES COST BASIS APPRECIATION DEPRECIATION
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Stable Income Portfolio........................... $ 114,979,772 $ 48,792,534 $ 293,118,645 $ 2,286,203 $ 701,451
Managed Fixed Income Portfolio.................... 97,532,243 56,843,359 380,342,053 9,689,354 2,127,796
Positive Return Bond Portfolio.................... 89,267,832 49,274,344 228,028,891 23,551,715 4,991
Strategic Value Bond Portfolio.................... 52,399,934 39,757,954 242,241,893 5,802,535 852,521
Index Portfolio................................... 71,930,420 33,612,735 917,288,644 620,686,840 21,643,118
Income Equity Portfolio........................... 86,473,013 43,604,681 1,267,075,927 840,306,939 8,141,735
Disciplined Growth Portfolio...................... 86,259,659 70,237,080 152,626,945 25,944,461 8,181,026
Large Company Growth Portfolio.................... 112,927,379 157,636,279 544,006,186 682,524,323 15,322,528
Small Cap Index Portfolio......................... 28,285,745 13,452,998 140,386,725 8,203,018 27,538,914
Small Company Stock Portfolio..................... 106,334,441 121,878,856 154,988,942 20,024,177 8,748,734
Small Cap Value Portfolio......................... 76,964,499 54,107,502 104,531,248 11,307,886 7,314,050
Small Company Value Portfolio..................... 75,959,809 62,516,602 144,668,255 11,891,756 16,306,095
Small Company Growth Portfolio.................... 470,477,934 528,110,612 632,193,655 134,781,569 35,698,809
International Portfolio........................... 436,460,749 352,321,890 847,379,560 164,762,916 64,257,408
<CAPTION>
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
-------------
<S> <C>
Stable Income Portfolio........................... $ 1,584,752
Managed Fixed Income Portfolio.................... 7,561,558
Positive Return Bond Portfolio.................... 23,546,724
Strategic Value Bond Portfolio.................... 4,950,014
Index Portfolio................................... 599,043,722
Income Equity Portfolio........................... 832,165,204
Disciplined Growth Portfolio...................... 17,763,435
Large Company Growth Portfolio.................... 667,201,795
Small Cap Index Portfolio......................... (19,335,896)
Small Company Stock Portfolio..................... 11,275,443
Small Cap Value Portfolio......................... 3,993,836
Small Company Value Portfolio..................... (4,414,339)
Small Company Growth Portfolio.................... 99,082,760
International Portfolio........................... 100,505,508
</TABLE>
CORE TRUST (DELAWARE)
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
NOTE 7. PORTFOLIO SECURITIES LOANED
As of November 30, 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 COLLATERAL
------------- -------------
<S> <C> <C>
Stable Income Portfolio................. $ 26,971,630 $ 28,690,729
Managed Fixed Income Portfolio.......... 32,121,644 52,870,805
Positive Return Bond Portfolio.......... 98,264,219 99,616,817
Strategic Value Bond Portfolio.......... 20,228,500 20,693,480
Index Portfolio......................... 199,300,037 212,630,689
Income Equity Portfolio................. 108,560,652 112,455,035
Disciplined Growth Portfolio............ 16,010,111 17,094,284
Large Company Growth Portfolio.......... 167,733,040 179,284,965
Small Cap Index Portfolio............... 14,022,802 15,017,870
Small Company Stock Portfolio........... 22,259,057 23,914,694
Small Cap Value Portfolio............... 24,794,618 25,598,858
Small Company Value Portfolio........... 7,929,571 8,550,252
International Portfolio................. 54,623,863 59,013,222
</TABLE>
NOTE 8. CONCENTRATION OF CREDIT RISK
International Portfolio invests in countries which may involve greater risks.
The consequences of political, social and economic events in these markets may
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 divisions, 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 UNREALIZED
PORTFOLIO ASSETS GAIN/(LOSS)
- ---------------------------------------- ------------- -------------
<S> <C> <C>
Stable Income Portfolio................. $ 205,865,654 $ 5,601
Managed Fixed Income Portfolio.......... 186,226,721 229,550
Positive Return Bond Portfolio.......... 186,707,645 (2,426,230)
Index Portfolio......................... 512,437,536 115,520,269
Income Equity Portfolio................. 955,691,053 110,368,720
Large Company Growth Portfolio.......... 615,745,586 276,554,260
Small Company Stock Portfolio........... 355,894,495 50,282,300
Small Company Value Portfolio........... 165,287,781 13,216,619
Small Company Growth Portfolio.......... 615,745,586 110,368,716
International Portfolio................. 232,334,610 33,714,226
</TABLE>
CORE TRUST (DELAWARE)
32
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
NOTE 9. CONTRIBUTION OF SECURITIES (CONTINUED)
Additionally, on September 15, 1997, certain investors contributed net assets to
the portfolios listed in the following table:
<TABLE>
<CAPTION>
INVESTOR CONTRIBUTIONS
-----------------------------
NET UNREALIZED
PORTFOLIO ASSETS GAIN/(LOSS)
- ---------------------------------------- ------------- -------------
<S> <C> <C>
Income Equity Portfolio................. $ 477,132,067 $190,138,062
Small Company Stock Portfolio........... 45,144,489 6,745,993
Small Company Growth Portfolio.......... 140,475,014 40,180,322
</TABLE>
CORE TRUST (DELAWARE)
33
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME PORTFOLIO
- -----------------------------------------------------------------
ASSET BACKED SECURITIES (22.6%)
3,500,000 AESOP Funding II LLC, Series 1997-1 A1,
6.22% V/R, 10/20/01 $ 3,553,672
1,144,336 AFC Home Equity Loan Trust Series 1995-2
A1, 7.14% V/R, 7/25/26 1,144,398
5,000,000 Chase Credit Card Master Trust,
Series 1998-6 A, 5.54% V/R, 9/15/04 5,003,125
5,000,000 Chevy Chase Master Credit Card Trust,
Series 1998-A B, 5.68% V/R, 10/15/06 4,944,530
1,769,760 Commercial Loan Funding Trust, Series I
A, 5.89% V/R, 8/15/05 1,765,336
3,770,000 Deutsche Floorplan Receivables Master
Trust, Series 1996-1 A, 5.77% V/R,
10/15/01 3,771,489
2,500,000 Discover Card Master Trust I, Series
1997-4 A, 5.48% V/R, 4/16/03 2,494,562
4,000,000 DreamWorks Firm Trust, 5.88%, 10/17/05 3,989,376
1,500,000 EQCC Home Equity Loan Trust,
Series 1995-3 A4, 7.10%, 2/15/12 1,542,097
5,000,000 EQCC Home Equity Loan Trust,
Series 1998-4, 5.00%, 12/18/98 5,000,000
403,204 First Merchants Auto Receivables Corp.,
Series 1996-A A2, 6.70%, 7/17/00(b) 406,246
881,875 First Merchants Grantor Trust, Series
1996-2 A, 6.85%, 11/15/01(b) 893,591
5,000,000 First USA Credit Card Master Trust,
Series 1995-5 A, 5.48% V/R, 4/15/03 4,998,325
3,500,000 Fremont Small Business Loan Master
Trust, Series C A, 5.75% V/R, 5/15/02 3,504,182
3,993,851 Green Tree Financial Corp., Series
1993-4 A3, 6.25%, 1/15/19 4,013,241
988,390 Green Tree Financial Corp., Series
1994-1 A3, 6.90%, 4/15/19 996,599
766,872 Green Tree Financial Corp., Series
1995-5 A3, 6.25%,9/15/26 768,401
3,500,000 HCLT, Series 1997-1 A3, 5.76%, 3/15/07 3,484,372
5,000,000 HCLT, Series 1997-2 A3, 5.81%, 11/15/07 4,933,205
2,400,000 Keystone Home Improvement Loan Trust,
Series 1997-P2 IA3, 6.99%, 4/25/14 2,411,626
4,500,000 Loop Funding Master Trust,
Series 1997-A144 B1, 5.62%, 12/26/07 4,445,860
2,734,369 Sequoia Mortgage Trust, Series 2A1,
6.49% V/R, 10/25/24 2,709,175
---------------
TOTAL ASSET BACKED SECURITIES (COST $66,890,965) 66,773,408
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (19.1%)
1,589,652 DLJ Mortgage Acceptance Corp.,
Series 1998-STF1 A1, 5.66% V/R, 2/8/00 1,583,691
5,000,000 FHLMC, Series 2091 NA, 5.50%, 3/15/04 5,008,400
5,000,000 FHLMC, Series 2091 PC, 6.00%, 6/15/16 5,059,415
195,818 FNMA, Series 1993-39 FA, 6.68% V/R,
4/25/23 196,424
5,315,139 FNMA, Series 1994-M2 A, 6.63%, 2/25/01 5,408,234
2,915,666 Federal Agricultural Mortgage Corp.,
Series CS-1012 1, 7.06%, 7/25/02 3,025,003
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
2,903,323 GMAC, Series 1996-C1 A1, 6.16% V/R,
2/15/06 $ 2,888,037
1,643,275 Independent National Mortgage Corp.,
Series 1994-V M, 8.30%, 12/25/24 1,680,191
3,183,729 Independent National Mortgage Corp.,
Series 1994-X A2, 8.32%, 1/25/25 3,245,573
2,716,784 MLCC Mortgage Investors, Inc.,
Series 1994-A A2, 6.09% V/R, 7/15/19 2,711,202
3,000,000 MLCC Mortgage Investors, Inc.,
Series 1994-A AE, 6.49% V/R, 7/15/19 3,024,645
1,307,767 MLCC Mortgage Investors, Inc.,
Series 1994-B A2, 6.29% V/R, 12/15/19 1,308,284
1,553,847 MLMI, Inc., Series 1983-I A2, 6.09% V/R,
11/15/23 1,554,539
1,046,424 MLMI, Inc., Series 1987-C A, 10.10%,
12/15/07 1,053,126
510,791 MLMI, Inc., Series 1994-I A1, 7.88% V/R,
1/25/05 513,000
3,000,000 PRAT, Series 1997-1 B, 6.55%, 9/6/03 3,062,025
520,844 RFMSI ARM, Series 1989-5A, 7.35% V/R,
10/25/19 517,243
215,103 RFMSI ARM, Series 1991-21 BA, 7.47% V/R,
8/25/21 220,707
299,841 RTC, Series 1991-6 E, 11.57% V/R,
5/25/24 302,913
35,377 RTC, Series 1991 M6 A3, 8.66% V/R,
6/25/21 35,289
539,816 RTC, Series 1992-4 A2, 7.45% V/R,
7/25/28 540,834
1,675,259 RTC, Series 1992-18P A4, 6.26% V/R,
4/25/28(b) 1,675,260
2,052,283 RTC, Series 1992-C2 A2, 6.69%
V/R,10/25/21 2,062,904
1,539,473 RTC, Series 1992-C3 A3, 6.84% V/R,
8/25/23 1,539,474
470,134 RTC, Series 1994-C1 A3, 5.86% V/R,
6/25/26 470,442
1,173,326 RTC, Series 1995-1 A3, 7.14% V/R,
10/25/28 1,179,220
522,696 RTC, Series 1995-2 A1B, 7.15%, 5/25/29 522,432
502,028 RTC, Series 1995 C2 A2, 5.765 V/R,
5/25/27 502,781
5,375,000 Vendee Mortgage Trust, Series 1993-1 E,
7.00%, 1/15/16 5,460,962
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS ($56,428,785) 56,352,250
---------------
CORPORATE BONDS & NOTES (15.1%)
4,037,000 Chase Manhattan Corp., 10.13%, 11/1/00 4,383,298
2,500,000 Corestates Capital Corp., 9.63%, 2/15/01 2,706,805
2,775,000 Firstar Bank Milwaukee, 6.25%, 12/1/02 2,842,363
3,200,000 General Electric Capital Corp., 6.29%,
12/15/07 3,272,352
4,000,000 McDonald's Corp., 6.00%, 6/23/02 4,096,004
2,750,000 Merrill Lynch & Co., Inc., 5.32%,
5/30/01 2,742,811
3,475,000 Newell Co., 6.18%, 7/11/00 3,516,887
2,300,000 Philip Morris Cos., Inc., 6.15%, 3/15/00 2,326,910
2,750,000 Racers, Series 1998-MM-8-3, 5.16% V/R,
1/20/99(b) 2,750,228
1,500,000 Transamerica Financal, 6.41%, 6/20/00 1,513,519
1,000,000 Transamerica Financial, 6.36%, 6/26/00 1,008,379
4,750,000 Tyco International Ltd., 6.50%, 11/1/01 4,869,296
2,650,000 U.S. Bank N.A. North Dakota, 5.29% V/R,
6/20/01 2,639,617
2,000,000 USAA Capital Corp., 5.97%, 8/4/99 2,004,862
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
34
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
3,400,000 V.F. Corp., 9.50%, 5/1/01 $ 3,734,832
---------------
TOTAL CORPORATE BONDS & NOTES (COST $43,855,974) 44,408,163
---------------
GOVERNMENT AGENCY BONDS & NOTES (7.2%)
2,000,000 FHLB, 7.11%, 7/8/99 2,023,474
18,000,000 FHLB, 5.57%, 8/17/00 18,198,360
1,000,000 FNMA, 8.70%, 6/10/99 1,018,320
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $21,025,877)
21,240,154
---------------
MORTGAGE BACKED SECURITIES (8.0%)
FHLMC (0.5%)
191,604 Pool 410220, 7.46% V/R, 10/1/25 193,330
867,458 Pool 845151, 7.40% V/R, 6/1/22 903,250
314,827 Pool 846367, 7.66% V/R, 4/1/29 319,387
---------------
TOTAL FHLMC (COST $1,400,428) 1,415,967
---------------
FNMA (4.4%)
1,287,665 Pool 155506, 7.20% V/R, 4/1/22 1,354,714
6,549,948 Pool 160334, 6.93% V/R, 3/1/01 6,722,061
2,423,004 Pool 190815, 5.46% V/R, 7/1/17 2,478,419
532,784 Pool 220706, 7.26% V/R, 6/1/23 560,750
689,382 Pool 318464, 7.31% V/R, 4/1/25 717,344
631,865 Pool 321051, 7.45% V/R, 8/1/25 657,898
248,273 Pool 331866, 7.51% V/R, 12/1/25 258,570
252,383 Pool 46698, 7.01% V/R, 12/1/15 261,686
---------------
TOTAL FNMA (COST $12,811,014) 13,011,442
---------------
SBA (3.1%)
107,748 Pool 500025, 8.13% V/R, 12/25/10 112,866
56,200 Pool 500276, 10.13% V/R, 5/25/07 60,275
123,520 Pool 500299, 9.88% V/R, 6/25/07 129,388
96,386 Pool 500569, 10.13% V/R, 6/25/08 103,133
524,696 Pool 500664, 8.13% V/R, 3/25/04 539,665
613,384 Pool 500806, 6.50% V/R, 2/25/14 628,719
426,980 Pool 500957, 8.50% V/R, 7/25/14 454,734
110,473 Pool 501017, 6.63% V/R, 9/25/14 113,235
463,384 Pool 501224, 7.00% V/R, 6/25/15 477,286
58,988 Pool 501973, 9.88% V/R, 12/25/01 60,611
237,916 Pool 502083, 8.13% V/R, 11/25/04 243,567
129,104 Pool 502241, 8.13% V/R, 4/25/03 130,396
262,231 Pool 502583, 9.48% V/R, 9/25/03 272,393
78,331 Pool 502966, 9.48% V/R, 5/25/15 86,625
183,943 Pool 502974, 8.63% V/R, 1/25/10 195,367
695,600 Pool 503405, 8.63% V/R, 5/25/16 762,551
2,099,494 Pool 503611, 7.88% V/R, 12/27/21 2,252,341
1,325,107 Pool 503658, 9.13% V/R, 9/27/10 1,426,179
1,112,025 Pool 503664, 8.73% V/R, 1/25/13 1,195,759
---------------
TOTAL SBA (COST $9,404,430) 9,245,090
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $23,615,872) 23,672,499
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
MUNICIPAL BONDS & NOTES (7.1%)
3,300,000 Connecticut State, GO Bonds, Taxable
Series A, 5.70%, 1/15/01 $ 3,364,175
2,740,000 Cow Creek Band, 6.20%, 7/1/03(b) 2,805,521
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 3,215,699
4,000,000 New York State, GO Bonds, Series C,
6.13%, 3/1/02 4,144,728
5,000,000 New York City, GO Bonds, Series K,
6.10%, 8/1/01 5,154,330
1,870,000 Washington State, GO Bonds, State
Housing Trust Fund, Series T, 6.60%,
1/1/01 1,931,463
170,000 York County, PA, Tax-Exempt Economic
Development RV, 5.45%, 12/30/98 170,129
---------------
TOTAL MUNICIPAL BONDS & NOTES (COST $20,210,022) 20,786,045
---------------
REPURCHASE AGREEMENT (9.2%)
27,006,503 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98, to be repurchased at
$27,010,629 (cost $27,006,503)(d) 27,006,503
---------------
U.S. TREASURY NOTES (11.7%)
33,000,000 8.50%, 2/15/00 (cost $34,084,647)(c) 34,464,375
---------------
TOTAL INVESTMENTS (100.0%) (COST $293,118,645) $ 294,703,397
---------------
---------------
- -----------------------------------------------------------------
MANAGED FIXED INCOME PORTFOLIO
- -----------------------------------------------------------------
ASSET BACKED SECURITIES (12.2%)
4,000,000 Chevy Chase Master Credit Card Trust,
Series 1998-A B, 5.68%, 10/16/06 $ 3,955,624
1,800,000 ContiMortgage Home Equity Loan Trust,
Series 1997-4, 6.63% V/R, 9/15/16 1,798,983
2,441,000 EQCC Home Equity Loan Trust,
Series 1996-2 A4, 7.50%, 6/15/21 2,557,855
4,900,000 EQCC Home Equity Loan Trust,
Series 1997-2A9, 6.81%, 8/15/28 5,117,658
1,169,290 First Merchants Auto Receivables Corp.,
Series 1996-A A2, 6.70%, 7/17/00 1,178,113
1,000,000 GE Capital Mortgage Services, Inc.,
Series 1997 HE-2 A7, 7.12%, 6/25/27 1,051,780
9,732,935 Green Tree Financial Corp., Series
1997-7 A8, 6.86%, 9/15/16 9,863,308
616,375 Green Tree Home Improvement Loan Trust,
Series 1995-F A4, 6.15%, 1/15/21 625,116
3,000,000 Keystone Home Improvement Loan Trust,
Series 1997-P2 IA3, 6.99%, 4/25/14 3,014,532
2,300,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, 11/25/10 2,404,749
3,300,000 Loop Funding Master Trust I,
Series 1997-A144 B1, 5.62% V/R,
12/26/07(b) 3,260,298
6,693,000 Oakwood Mortgage Investors Inc.,
Series 1995-A A3, 7.10%, 9/15/20 6,983,958
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
35
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 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 $ 5,581,805
---------------
TOTAL ASSET BACKED SECURITIES (COST $46,564,425) 47,393,779
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (12.1%)
1,287,342 American Housing Trust, Series VI I-I,
9.15%, 5/25/20 1,367,659
1,500,000 Asset Securitization Corp., Series
1997-D4 A1C, 7.42%, 4/14/29 1,637,918
1,646,445 CMC Securities Corp. II, Series 1993-2I
A2, 6.67% V/R, 9/25/23 1,653,566
2,672,693 FAMC Series CS-1012 1, 7.06% V/R,
7/25/02 2,772,920
750,000 FHLMC, Series 1832 D, 6.50%, 6/15/08 764,638
320,278 FNMA, Series 1988-5 Z, 9.20%, 3/25/18 335,432
1,499,555 First Plus Home Loan Trust, Series
1996-2 A6, 7.85%, 8/20/13 1,546,611
2,925,416 Independent National Mortgage Corp.,
Series 1994-V M, 8.30%, 12/25/24 2,991,136
1,303,047 L.F. Rothschild Mortgage Trust, Series
2Z, 9.95%, 8/1/17 1,421,390
626,879 MLMI, Inc., Series 1994-I, 7.88% V/R,
1/25/05 629,591
5,000,000 MLMI, Inc., Series 1997-C1 A3, 7.12%,
6/18/29 5,366,525
2,150,000 RFMSI, Series 1994-S13 A2, 7.00%,
5/25/24 2,160,051
258,061 RTC, Series 1991-M5 A, 9.00%, 3/25/17 260,031
1,511,485 RTC, Series 1992-4 A2, 7.45% V/R,
7/25/28 1,514,334
1,960,127 RTC, Series 1995-1 A2C, 7.50%, 10/25/28 1,967,135
1,000,000 RTC, Series 1995-1 A2D, 7.50%, 10/25/28 1,010,898
1,000,000 RTC, Series 1995-2 A1C, 7.45%, 5/25/29 1,016,775
651,265 Vendee Mortgage Trust, Series 1992-2 2D,
7.75%, 12/15/14 657,449
3,927,693 Vendee Mortgage Trust, Series 1992-2 G,
7.25% V/R, 2/15/19 4,122,071
3,250,000 Vendee Mortgage Trust, Series 1995-1C
3E, 8.00%, 7/15/18 3,348,018
5,500,000 Vendee Mortgage Trust, Series 1996-2 1E,
6.75%, 5/15/20 5,643,588
3,000,000 Vendee Mortgage Trust, Series 1997-1 2C,
7.50%, 9/15/17 3,070,302
1,500,000 Vendee Mortgage Trust, Series 1997-1 2D,
7.50%, 1/15/19 1,545,147
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$46,226,858) 46,803,185
---------------
CORPORATE BONDS & NOTES (35.9%)
600,000 Applied Materials, Inc., 6.70%, 9/6/05 620,392
5,400,000 Applied Materials, Inc., 7.00%, 9/6/05 5,703,167
1,700,000 Bausch & Lomb, Inc., 6.56%, 8/12/26 1,779,854
3,600,000 Cargill, Inc., 8.35%, 2/12/11 3,996,000
700,000 Charles Schwab Corp., 7.19%, 5/31/01 724,496
2,000,000 Charles Schwab Corp., 6.25%, 1/23/03 2,029,040
2,000,000 Charles Schwab Corp., 6.88%, 9/2/03 2,092,076
3,400,000 Citicorp, 9.50%, 2/1/02 3,742,676
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
MANAGED FIXED INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
1,500,000 Colonial Pipeline Co., 7.13%, 8/15/02 $ 1,593,055
2,236,331 Continental Airlines, Inc., 7.15%,
6/30/07 2,316,917
2,500,000 Continental Airlines, Inc., 6.80%,
7/2/07 2,542,762
2,175,000 Corestates Capital Corp., 5.88%,
10/15/03 2,172,788
750,000 Corestates Capital Corp., 6.00% V/R,
1/15/27(b) 725,501
3,000,000 Dayton Hudson Co., 5.90%, 6/15/37 3,030,126
1,000,000 El Paso Natural Gas, 7.75%, 1/15/02 1,057,600
200,000 First Bank N.A., 6.00%, 10/15/03 204,608
1,300,000 First Bank Systems, Inc., 7.63%, 5/1/05 1,435,303
2,500,000 First Bank Systems, Inc., 8.00%, 5/1/05 2,780,523
3,000,000 Florida Residential Property & Casualty,
7.25%, 7/1/02(b) 3,104,334
1,700,000 Hyundai Semiconductor, 8.25%, 5/15/04(b) 1,416,205
1,500,000 LG-Caltex Corp., 7.88%, 7/1/06(b) 1,035,525
2,500,000 Lehman Brothers, Inc., 7.50%, 8/1/26 2,518,112
5,065,000 Levi Strauss & Co., 6.80%, 11/1/03(b) 5,137,409
2,500,000 Lincoln National Corp., 7.25%, 5/15/05 2,638,000
2,000,000 May Department Stores, 9.88%, 6/15/00 2,127,834
1,060,000 Nabisco, Inc., 6.00%, 2/15/11 1,063,778
5,635,000 Oracle Corp., 6.72%, 2/15/04 5,882,207
1,250,000 Paine Webber Group, Inc., 6.90%, 8/15/03 1,277,351
2,650,000 Paine Webber Group, Inc., 6.45%, 12/1/03 2,661,130
5,000,000 Pep Boys, 6.71%, 11/3/04 5,092,560
1,305,000 Petroliam Nasional Berhad, 6.63%,
10/18/01(b) 1,175,800
2,750,000 Philip Morris Cos., Inc., 7.63%, 5/15/02 2,913,012
2,500,000 Philip Morris Cos., Inc., 7.50%, 4/1/04 2,684,300
2,709,000 Philips Electronics, 6.75%, 8/15/03 2,835,884
2,000,000 Potomac Capital Investment Corp., 7.32%,
4/14/00 2,032,040
2,450,000 Prudential Insurance Co., 7.65%, 7/1/07 2,673,207
2,000,000 R & B Falcon Corp., 6.75%, 4/15/05 1,917,926
3,000,000 Raytheon Co., 5.95%, 3/15/01 3,042,366
5,200,000 Reinsurance Group of America, 7.25%,
4/1/06(b) 5,625,023
4,000,000 Reliastar Financial Corp., 7.13%, 3/1/03 4,149,264
2,500,000 Reynolds & Reynolds, 7.00%, 12/15/06 2,690,928
1,750,000 Royal Caribbean Cruises, 7.13%, 9/18/02 1,785,819
3,325,000 Scholastic Corp., 7.00%, 12/15/03 3,476,660
3,000,000 Susa Partnership LP, 8.20%, 6/1/17 3,024,528
2,200,000 Terra Nova Holdings, 7.20%, 8/15/07 2,286,011
3,000,000 Texas Utilities Co., 6.20%, 10/1/02(b) 3,066,933
3,000,000 Tommy Hilfiger, 6.50%, 6/1/03 2,959,626
2,100,000 Transamerica Financial, 6.41%, 6/20/00 2,118,927
750,000 Tyco International Ltd., 6.50% 11/1/01 768,836
2,500,000 Tyco International Ltd., 6.38%, 1/15/04 2,563,433
1,050,000 USA Waste Services, Inc., 7.00%, 10/1/04 1,110,656
885,000 United Missouri Bancshares, 7.30%,
2/24/03 944,696
1,000,000 Universal Corp., 9.25%, 2/15/01 1,078,044
6,500,000 Van Kampen CLO-I, 5.62% V/R, 10/8/07(b) 6,435,632
250,000 Vastar Resources, Inc., 6.95%, 11/8/06 260,974
850,000 Whitman Corp., 7.50%, 2/1/03 904,522
1,970,000 Whitman Corp., 7.29%, 9/15/26 2,127,273
---------------
TOTAL CORPORATE BONDS & NOTES (COST $136,856,752) 139,153,649
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
36
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
MANAGED FIXED INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
MORTGAGE BACKED SECURITIES (14.4%)
FHLMC (0.6%)
333,625 Pool 410425, 7.87% V/R, 9/1/26 $ 347,698
140,460 Pool 410464, 7.65% V/R, 11/1/26 141,842
1,031,827 Pool 606279, 6.92% V/R, 2/1/15 1,069,716
944,481 Pool 846367, 7.76% V/R, 4/1/29 958,161
---------------
TOTAL FHLMC (COST $2,500,920) 2,517,417
---------------
FNMA (12.9%)
1,456,071 Pool 73272, 6.48%, 12/1/05 1,522,223
3,441,861 Pool 73919, 6.80%, 1/1/04 3,612,437
179,972 Pool 342042, 7.33% V/R, 6/1/25 187,288
561,474 Pool 344689, 7.48% V/R, 11/1/25 584,714
397,068 Pool 344692, 7.27% V/R, 10/1/25 413,118
287,953 Pool 347712, 7.40% V/R, 6/1/26 299,785
4,938,148 Pool 375168, 7.13% V/R, 6/1/04 5,276,974
5,896,242 Pool 402870, 6.50%, 1/1/28 5,944,650
5,389,985 Pool 408118, 6.50%, 1/1/28 5,434,238
4,752,391 Pool 415414, 6.50%, 2/1/28 4,790,744
8,614,074 Pool 415714, 6.00%, 4/1/28 8,513,289
4,723,192 Pool 417648, 6.00%, 2/1/13 4,733,253
7,132,075 Pool 421825, 6.50%, 4/3/28 7,185,567
1,642,594 Pool 440148, 6.50%, 1/1/26 1,655,850
---------------
TOTAL FNMA (COST $49,297,056) 50,154,130
---------------
GNMA (0.9%)
58 Pool 665, 7.50%, 5/15/01 59
850 Pool 2218, 6.50%, 12/15/02 860
3,318,837 Pool 473917, 7.00%, 4/15/28 3,401,808
---------------
TOTAL GNMA (COST $3,374,133) 3,402,727
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $55,172,109) 56,074,274
---------------
MUNICIPAL BONDS & NOTES (2.1%)
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 3,705,905
3,805,000 Hudson County, NJ, Import Authority
Facilities, Leasing RV, FSA insured,
7.40%, 12/1/25 4,307,081
---------------
TOTAL MUNICIPAL BONDS & NOTES (COST $7,409,751) 8,012,986
---------------
U.S. TREASURY OBLIGATIONS (16.4%)
U.S. TREASURY NOTES (5.6%)
9,000,000 U.S. Treasury Notes, 7.88%,11/15/04 10,442,817
10,000,000 U.S. Treasury Notes, 7.00%, 7/15/06 11,378,130
---------------
TOTAL U.S. TREASURY NOTES (COST $21,966,094) 21,820,947
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
MANAGED FIXED INCOME PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
U.S. TREASURY BONDS (10.8%)
34,550,000 U.S. Treasury Bonds, 6.75%, 8/15/26(c)
(cost $39,198,804) $ 41,697,531
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $61,164,898) 63,518,478
---------------
REPURCHASE AGREEMENTS (6.9%)
26,947,260 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98, to be repurchased at
$26,951,377 (cost $26,947,260)(d) 26,947,260
---------------
TOTAL INVESTMENTS (100.0%) (COST $380,342,053) $ 387,903,611
---------------
---------------
- -----------------------------------------------------------------
POSITIVE RETURN BOND PORTFOLIO
- -----------------------------------------------------------------
U.S. TREASURY BONDS (82.7%)
58,525,000 6.00%, 2/15/26(c) $ 64,395,818
56,075,000 6.50%, 11/15/26(c) 65,747,938
31,750,000 6.63%, 2/15/27(c) 37,832,125
34,600,000 6.38%, 8/15/27(c) 40,136,000
---------------
TOTAL U.S. TREASURY BONDS (COST $184,565,157) 208,111,881
---------------
REPURCHASE AGREEMENT (17.3%)
43,463,734 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98, to be repurchased at
$43,470,373 (cost $43,463,734)(d) 43,463,734
---------------
TOTAL INVESTMENTS (100.0%) (COST $228,028,891) $ 251,575,615
---------------
---------------
- -----------------------------------------------------------------
STRATEGIC VALUE BOND PORTFOLIO
- -----------------------------------------------------------------
ASSET BACKED SECURITIES (8.1%)
3,000,000 Aesop Funding II LLC, Series 1998-1 A,
6.14%, 5/20/06 $ 3,049,335
3,500,000 Chevy Chase Master Credit Card Trust,
Series 1998-6 A, 5.54% V/R, 9/15/04 3,461,172
2,000,000 Dollar Thrifty Rent A Car, 6.70%,
9/25/07 2,023,126
3,237,000 EQCC Home Equity Loan Trust,
Series 1998-1 A6F, 6.25%, 12/15/07 3,257,150
2,919,881 Green Tree Financial Corp., Series
1997-7 A8, 6.86%, 9/15/16 2,958,992
2,000,000 Loop Funding Master Trust, Series
1997-AER B1, 5.62% V/R, 12/26/07(b) 1,975,938
2,000,000 Oakwood Mortgage Investors, Inc.,
Series 1995-A A3, 7.10% V/R, 9/15/20 2,086,944
1,171,873 Sequoia Mortgage Trust, Series 2 A1,
6.42% V/R, 10/25/24 1,161,075
---------------
TOTAL ASSET BACKED SECURITIES (COST $19,862,456) 19,973,732
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (9.1%)
1,500,000 Bear Stearns Structured Securities,
Inc., Series 1997-2 1A2, 7.00%,
8/25/36 1,522,734
1,943,777 FAMC, Series CS-1012 1, 7.06% V/R,
7/25/02 2,016,669
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
37
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STRATEGIC VALUE BOND PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
2,500,000 FHLMC Structured Pass Through
Securities, Series T-8 A4, 7.00%,
8/15/13 $ 2,561,550
2,300,000 GNMA, Series 1998-14 PD, 6.00%, 6/20/23 2,319,263
4,000,000 MLMI, Inc., Series 1997-C1 A3, 7.12%
V/R, 6/18/29 4,293,220
1,571,077 Vendee Mortgage Trust, Series 1992-2 G,
7.25% V/r, 2/15/19 1,648,828
4,500,000 Vendee Mortgage Trust, Series 1994-1 2E,
6.50%, 1/15/17 4,577,580
3,500,000 Vendee Mortgage Trust, Series 1996-2 1E,
6.75%, 5/15/20 3,591,375
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$22,158,747) 22,531,219
---------------
CORPORATE BONDS & NOTES (43.1%)
750,000 AK Steel Corp., 9.13%, 12/15/06 795,000
1,250,000 American Standard Cos., Inc., 7.13%,
2/15/03(c) 1,257,504
2,500,000 Applied Materials, Inc., 7.00%, 9/6/05 2,640,355
525,000 Aramark Services, Inc., 6.75%, 8/1/04 528,240
1,000,000 Atlas Air, Inc., 9.25%, 4/15/08(b) 1,002,500
1,000,000 Barrett Resources Corp., 7.55%, 2/1/07 1,020,423
2,000,000 Bausch & Lomb, Inc., 6.75%, 12/15/04 2,095,896
2,000,000 Bear Stearns Co., Inc., 6.13%, 2/1/03 2,012,008
500,000 Buckeye Technologies, Inc., 8.50%,
12/15/05 522,500
1,000,000 Calenergy Co., Inc., 7.23%, 9/15/05 1,025,929
500,000 Chancellor Media Group, 9.38%, 10/1/04 520,000
3,000,000 Charles Schwab Corp., 6.88%, 9/2/03 3,138,114
3,000,000 Continental Airlines, 6.80%, 7/2/07 3,051,315
2,500,000 Corestates Capital Corp., 9.63%, 2/15/01 2,706,805
2,500,000 Dayton Hudson Co., 5.90%, 6/15/37 2,525,105
3,000,000 Equitable Life Assurance Society, 6.95%,
12/1/05(b) 3,178,857
2,000,000 Farmers Exchange Capital, 7.20%,
7/15/48(b) 2,027,058
500,000 Federal Mogul Corp., 7.50%, 7/1/04 496,435
2,500,000 First Bank Systems, Inc., 8.00%, 7/2/04 2,780,523
1,000,000 Fred Meyer, Inc., 7.38%, 3/1/05 1,049,004
500,000 GS Escrow Corp., 7.13%, 8/1/05(b) 493,556
2,000,000 Genfinance Luxembourg SA, 6.34%, 5/29/49 1,930,000
500,000 HMH Properties, 7.88%, 8/1/05 498,750
1,000,000 Kroger Co., 8.15%, 7/17/06 1,123,848
2,000,000 Levi Strauss & Co., 6.80%, 11/1/03(b) 2,028,592
2,500,000 Lincoln National Corp., 7.00%, 3/15/18 2,579,448
500,000 Lyondell Petrochemical, 9.80%, 2/1/20 508,280
750,000 MGM Grand, Inc., 6.95%, 2/1/05 720,243
1,000,000 Mallinckrodt, Inc., 6.30%, 3/15/01(b) 1,004,720
2,500,000 Massachusetts Institute of Technology,
7.25%, 11/2/96 2,972,390
1,000,000 Nabisco, Inc., 6.00%, 2/15/11 1,003,564
500,000 Niagara Mohawk Power, 7.38%, 7/1/03 512,290
1,000,000 Northwest Airlines Corp., 8.38%, 3/15/04 1,019,026
2,225,000 Old Kent Financial Corp., 6.63%,
11/15/05 2,329,335
2,500,000 Oracle Corp., 6.72%, 2/15/04 2,609,675
750,000 Outdoor Systems, Inc., 8.88%, 6/15/07 798,750
1,000,000 Owens-Illinois, Inc., 7.85%, 5/15/04 1,041,011
2,000,000 Pep Boys, 6.71%, 11/3/04 2,037,024
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STRATEGIC VALUE BOND PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
2,500,000 Philip Morris Cos., Inc., 7.50%, 4/1/04 $ 2,684,300
1,400,000 Potomac Capital Investmnt, 7.05%,
10/2/01 1,433,834
1,250,000 Premier Parks, Inc., 9.25%, 4/1/06(c) 1,320,313
1,750,000 Prudential Insurance Co., 7.65%, 7/1/07 1,909,433
1,000,000 R & B Falcon Corp., 6.75%, 4/15/05(b) 958,963
500,000 Randall's Food Markets, 9.38%, 7/1/07 542,500
2,000,000 Raytheon Co., 5.95%, 3/15/01 2,028,244
500,000 Regal Cinemas, Inc., 9.50%, 6/1/08 527,500
2,500,000 Reinsurance Group of America, 7.25%,
4/1/06(b) 2,724,525
2,500,000 Reliastar Financial Corp., 7.13%, 3/1/03 2,593,290
3,000,000 Royal Caribbean Cruises, 7.13%, 9/18/02 3,061,404
500,000 Sinclair Broadcast Group, 8.75%,
12/15/05 507,500
2,500,000 Susa Partnership LP, 8.20%, 6/1/17 2,520,440
1,000,000 Teekay Shipping Corp., 8.32%, 2/1/08 1,002,500
1,000,000 Tenet Healthcare Corp., 7.88%, 1/15/03 1,024,651
2,500,000 Tenneco, Inc., 10.08%, 2/1/01 2,714,267
2,500,000 Terra Nova (U.K.) Holdings, 7.20%,
8/15/07 2,597,740
1,875,000 Texas Utilities Co., 6.20%, 10/1/02(b) 1,916,833
1,400,000 Tommy Hilfiger, 6.50%, 6/1/03 1,381,158
1,250,000 Tricon Global Restaurants, 7.65%,
5/15/08 1,294,067
1,000,000 Triton Energy Ltd. Corp., 8.75%, 4/15/02 962,500
2,500,000 United Telecommunications, Inc., 9.50%,
4/1/03 2,879,247
3,500,000 Van Kampen, CLO-I, 5.62%, 10/8/07(b) 3,465,339
1,000,000 Western Financial Savings, 8.50%, 7/1/03 845,586
2,000,000 Whitman Corp., 7.29%, 9/15/26 2,159,668
2,000,000 Williams Cos., Inc., 6.13%, 2/15/02 2,036,024
---------------
TOTAL CORPORATE BONDS & NOTES (COST $105,420,760) 106,675,899
---------------
GOVERNMENT AGENCY BONDS & NOTES (4.2%)
2,250,000 FNMA, 6.85%, 4/5/04 2,419,821
7,350,945 FNMA, 6.16%, 8/7/28 7,974,313
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $9,227,858)
10,394,134
---------------
INVESTMENT IN LIMITED PARTNERSHIP (0.3%)
616,000 PPM America CBO II, 12/18/04 (cost
$616,000) 660,352
---------------
MORTGAGE BACKED SECURITIES (18.6%)
FNMA (10.9%)
1,966,778 Pool 73919, 6.80%, 1/1/04 2,064,249
1,975,259 Pool 375168, 7.13%, 6/1/04 2,110,790
2,984,894 Pool 380268, 6.20%, 5/2/05 3,080,823
3,224,508 Pool 402870, 6.50%, 1/1/28 3,250,981
1,959,995 Pool 408118, 6.50%, 1/3/28 1,976,086
2,475,204 Pool 415414, 6.50%, 2/1/28 2,495,179
3,911,118 Pool 415714, 6.00%, 4/1/28 3,865,358
3,022,843 Pool 417648, 6.00%, 2/1/13 3,029,282
5,046,215 Pool 429604, 6.00%, 6/1/28 4,984,717
---------------
TOTAL FNMA (COST $26,367,867) 26,857,465
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
38
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STRATEGIC VALUE BOND PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
MORTGAGE BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
GNMA (7.7%)
2,938,367 Pool 345066, 6.50%, 10/15/23 $ 2,976,301
2,881,217 Pool 346960, 6.50%, 12/15/23 2,918,414
2,695,600 Pool 354692, 6.50%, 11/15/23 2,730,400
3,253,279 Pool 361398, 6.50%, 1/15/24 3,293,848
3,354,617 Pool 366641, 6.50%, 11/15/23 3,397,925
3,605,249 Pool 473918, 7.00%, 5/22/28 3,695,380
---------------
TOTAL GNMA (COST $18,809,833) 19,012,268
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $45,177,700) 45,869,733
---------------
MUNICIPAL BONDS & NOTES (3.5%)
2,000,000 Hudson County, NJ, Import Authority
Facilities, Leasing RV, FSA Insured,
7.40%, 12/1/25 2,263,906
3,160,000 New York City, GO Bonds, Series K,
6.10%, 8/1/01 3,257,537
1,045,000 Washington State, GO Bonds, State
Housing Trust Fund, Series T, 6.60%,
1/1/03 1,101,085
2,010,000 Western Minnesota, Power Agency RV,
Series A, AMBAC Insured, 6.33%, 1/1/02 2,066,822
---------------
TOTAL MUNICIPAL BONDS & NOTES (COST $8,287,371) 8,689,350
---------------
REPURCHASE AGREEMENT (3.2%)
8,001,860 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98, to be repurchased at
$8,003,083 (cost $8,001,860)(d) 8,001,860
---------------
U.S. TREASURY OBLIGATIONS (9.9%)
5,000,000 U.S. Treasury Note, 7.00%, 7/15/06 5,689,065
15,500,000 U.S. Treasury Bond, 6.75%, 8/15/26(c) 18,706,563
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $23,489,141) 24,395,628
---------------
TOTAL INVESTMENTS (100.0%) (COST $242,241,893) $ 247,191,907
---------------
---------------
- -----------------------------------------------------------------
INDEX PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (97.3%)
AGRICULTURAL PRODUCTION--CROPS (0.1%)
38,000 Pioneer Hi-Bred International, Inc. $ 1,137,625
---------------
AMUSEMENT & RECREATION SERVICES (0.7%)
15,900 Harrah's Entertainment, Inc.(a) 247,444
321,800 Walt Disney Co. 10,357,937
---------------
10,605,381
---------------
APPAREL & ACCESSORY STORES (0.5%)
61,700 Gap, Inc. 4,538,806
35,800 Limited, Inc. 1,035,963
23,400 Nordstrom, Inc. 871,650
49,800 TJX Cos., Inc. 1,276,125
---------------
7,722,544
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.1%)
10,400 Liz Claiborne, Inc. $ 352,300
19,100 V.F. Corp. 937,094
---------------
1,289,394
---------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.1%)
24,000 Autozone, Inc.(a) 723,000
10,100 Pep Boys--Manny, Moe & Jack 142,662
---------------
865,662
---------------
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.0%)
11,500 Ryder System, Inc. 328,469
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE
BUILDERS (0.1%)
9,400 Centex Corp. 335,462
6,200 Kaufman & Broad Home Corp. 156,163
6,800 Pulte Corp. 172,975
---------------
664,600
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (0.9%)
230,800 Home Depot, Inc. 11,482,300
55,200 Lowe's Cos., Inc. 2,332,200
---------------
13,814,500
---------------
BUSINESS SERVICES (6.1%)
56,400 3Com Corp.(a) 2,181,975
10,500 Adobe Systems, Inc.(c) 469,875
34,400 Ascend Communications, Inc.(a)(c) 1,932,850
7,400 Autodesk, Inc. 269,175
47,300 Automatic Data Processing, Inc. 3,642,100
32,400 BMC Software, Inc.(a) 1,654,425
25,800 Cabletron Systems, Inc.(a) 361,200
134,800 Cendant Corp.(a)(c) 2,561,200
11,400 Ceridian Corp.(a) 741,712
88,100 Computer Associates International, Inc. 3,898,425
24,800 Computer Sciences Corp. 1,416,700
77,300 Electronic Data Systems Corp.(c) 3,014,700
23,300 Equifax, Inc.(c) 966,950
70,200 First Data Corp. 1,873,462
67,700 HBO & Co. 1,688,269
26,100 IMS Health, Inc. 1,732,387
21,400 Interpublic Group of Cos., Inc. 1,471,250
387,100 Microsoft Corp.(a)(c) 47,226,200
55,500 Novell, Inc.(a) 919,219
26,600 Omnicom Group, Inc.(c) 1,421,438
152,900 Oracle Corp.(a) 5,236,825
42,800 Parametric Technology Co.(a) 727,600
36,200 PeopleSoft, Inc.(a)(c) 744,363
4,100 Shared Medical Systems Corp.(c) 214,738
59,600 Sun Microsystems, Inc.(a) 4,414,125
29,200 UST, Inc. 1,014,700
---------------
91,795,863
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
39
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
CHEMICALS & ALLIED PRODUCTS (13.3%)
241,900 Abbott Laboratories $ 11,611,200
36,400 Air Products & Chemicals, Inc. 1,387,750
8,700 Alberto Culver Co. 222,937
10,300 Allergan, Inc. 627,012
13,600 Alza Corp.(a) 710,600
41,400 Avon Products, Inc. 1,681,875
44,900 Baxter International, Inc. 2,853,956
156,300 Bristol-Myers Squibb Co. 19,156,519
16,400 Clorox Co. 1,821,425
46,400 Colgate-Palmolive Co. 3,973,000
35,200 Dow Chemical Co.(c) 3,427,600
177,800 E.I. Du Pont de Nemours & Co. 10,445,750
12,400 Eastman Chemical Co. 718,425
20,400 Ecolab, Inc. 631,125
173,000 Eli Lilly & Co. 15,515,937
5,400 FMC Corp.(a) 313,875
11,600 Goodrich (B.F.) Co. 440,075
9,300 Great Lakes Chemical Corp. 371,419
14,900 Hercules, Inc. 489,837
16,900 International Flavors & Fragrances,
Inc.(c) 707,687
211,300 Johnson & Johnson 17,168,125
11,500 Mallinckrodt, Inc. 371,594
187,000 Merck & Co., Inc. 28,961,625
94,400 Monsanto Co.(c) 4,277,500
20,500 Morton International, Inc. 603,469
10,400 Nalco Chemical Co. 347,750
205,300 Pfizer, Inc. 22,916,612
79,800 Pharmacia & Upjohn, Inc. 4,154,588
27,800 PPG Industries, Inc. 1,701,013
24,800 Praxair, Inc. 947,050
210,600 Procter & Gamble Co. 18,453,825
28,000 Rohm & Haas Co.(c) 978,250
115,300 Schering-Plough Corp. 12,265,038
27,100 Sherwin-Williams Co. 768,963
15,800 Sigma-Aldrich Corp. 507,575
21,300 Union Carbide Corp.(c) 953,175
11,900 W.R. Grace & Co.(a) 196,350
129,000 Warner-Lambert Co. 9,739,500
---------------
202,420,006
---------------
COMMUNICATIONS (8.6%)
283,800 AT&T Corp.(c) 17,684,287
90,100 Airtouch Communications, Inc.(a) 5,152,594
43,100 Alltel Corp. 2,284,300
173,100 Ameritech Corp.(c) 9,369,037
244,000 Bell Atlantic Corp.(c) 13,572,500
154,500 BellSouth Corp. 13,480,125
112,500 CBS Corp.(a)(c) 3,353,906
39,000 Clear Channel Communications, Inc. 1,823,250
58,000 Comcast Corp., Class A(c) 2,820,250
26,900 Frontier Corp. 810,363
151,400 GTE Corp. 9,386,800
11,500 King World Productions, Inc.(a) 313,375
95,700 MediaOne Group, Inc.(a) 3,875,850
44,900 Nextel Communications, Inc.(a)(c) 965,350
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
COMMUNICATIONS (continued)
<TABLE>
<C> <S> <C>
311,800 SBC Communications, Inc. $ 14,946,913
67,500 Sprint Corp. (FON Group) 4,910,625
65,950 Sprint Corp. (PCS Group)(a) 1,055,200
82,200 Tele-Communications, Inc.(a) 3,472,950
78,800 US West, Inc. 4,905,300
279,000 WorldCom, Inc.(a) 16,461,000
---------------
130,643,975
---------------
DEPOSITORY INSTITUTIONS (7.2%)
45,000 BB&T Corp.(c) 1,662,187
117,400 Bank of New York Co., Inc. 4,020,950
183,896 Bank One Corp. 9,436,164
272,957 BankAmerica Corp. 17,793,385
46,200 BankBoston Corp. 1,923,075
15,100 Bankers Trust New York Corp. 1,313,700
134,600 Chase Manhattan Corp. 8,538,687
24,500 Comerica, Inc. 1,580,250
42,100 Fifth Third Bancorp 2,794,388
152,200 First Union Corp.(c) 9,246,150
89,200 Fleet Financial Group, Inc.(c) 3,718,525
9,100 Golden West Financial Corp.(c) 861,656
33,200 Huntington Bancshares, Inc. 983,550
27,700 J.P. Morgan & Co., Inc. 2,960,437
69,100 KeyCorp 2,120,506
40,900 Mellon Bank Corp. 2,574,144
23,900 Mercantile Bancorp 1,053,094
51,800 National City Corp. 3,483,550
17,500 Northern Trust Corp. 1,413,125
47,300 PNC Bank Corp. 2,438,906
33,600 Regions Financial Corp. 1,302,000
17,000 Republic New York Corp. 794,750
25,300 State Street Corp. 1,736,212
27,300 Summit Bancorp 1,141,481
32,800 Suntrust Banks, Inc.(c) 2,289,850
41,400 Synovus Financial Corp. 913,388
116,700 U.S. Bancorp 4,296,019
20,000 Union Planters Corp. 952,500
32,400 Wachovia Corp. 2,828,925
93,160 Washington Mutual, Inc. 3,609,950
254,300 Wells Fargo & Co. 9,154,800
---------------
108,936,304
---------------
EATING & DRINKING PLACES (0.6%)
21,900 Darden Restaurants, Inc.(c) 346,294
107,600 McDonald's Corp. 7,538,725
24,000 Tricon Global Restaurants, Inc.(a) 1,093,500
20,000 Wendy's International, Inc. 400,000
---------------
9,378,519
---------------
ELECTRIC, GAS & SANITARY SERVICES (3.4%)
27,600 AES Corp.(a) 1,262,700
21,600 Ameren Corp.(c) 889,650
30,000 American Electric Power Co.(c) 1,391,250
23,400 Baltimore Gas & Electric Co. 718,087
27,300 Browning-Ferris Industries(c) 805,350
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
40
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRIC, GAS & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
23,800 Carolina Power & Light Co. $ 1,103,725
33,300 Central & Southwest Corp. 915,750
24,900 CINergy Corp. 860,606
33,400 Coastal Corp. 1,164,825
13,100 Columbia Energy Group 743,425
36,800 Consolidated Edison Co. 1,869,900
15,100 Consolidated Natural Gas Co. 820,119
22,800 DTE Energy Co.(c) 994,650
30,900 Dominion Resources, Inc. 1,427,194
56,700 Duke Energy Corp.(c) 3,547,294
3,200 Eastern Enterprises 129,800
55,500 Edison International 1,526,250
51,800 Enron Corp.(c) 2,722,737
38,700 Entergy Corp.(c) 1,134,394
28,500 FPL Group, Inc. 1,745,625
37,300 FirstEnergy Corp. 1,153,969
20,100 GPU, Inc.(c) 880,631
46,500 Houston Industries, Inc.(c) 1,470,563
51,800 Laidlaw, Inc. 514,762
17,800 New Century Energies, Inc. 855,512
29,500 Niagara Mohawk Power Corp.(a) 453,562
7,500 Nicor, Inc. 315,469
23,800 Northern States Power Co. 647,063
4,900 Oneok, Inc. 170,581
23,800 PP&L Resources, Inc. 650,038
60,000 Pacific Gas & Electric Co. 1,856,250
46,700 PacifiCorp 875,625
35,000 Peco Energy Co. 1,404,375
5,500 People's Energy Corp. 207,281
36,500 Public Service Enterprise Group, Inc. 1,423,500
37,900 Sempra Energy 949,869
17,300 Sonat, Inc. 513,594
109,600 Southern Co. 3,233,200
43,900 Texas Utilities Co. 1,956,294
89,800 Waste Management, Inc.(c) 3,850,175
66,800 Williams Cos., Inc. 1,924,675
---------------
51,080,319
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (8.1%)
34,300 AMP, Inc. 1,659,262
22,600 Advanced Micro Devices, Inc. 625,737
4,400 Aeroquip-Vickers, Inc. 160,050
13,500 Andrew Corp.(a) 216,000
18,200 Cooper Industries, Inc. 894,075
69,200 Emerson Electric Co. 4,498,000
511,100 General Electric Co. 46,254,550
23,700 General Instrument Corp.(a) 666,562
12,500 Harris Corp. 474,219
263,900 Intel Corp. 28,402,237
22,200 LSI Logic Corp.(a) 344,100
206,600 Lucent Technologies, Inc. 17,780,513
14,400 Maytag Corp. 779,400
33,400 Micron Technology, Inc.(a) 1,379,838
94,000 Motorola, Inc. 5,828,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
25,800 National Semiconductor Corp.(a) $ 370,875
6,500 National Service Industries 251,063
102,400 Northern Telecom Ltd.(c) 4,780,800
13,200 Raychem Corp. 449,625
11,800 Scientific-Atlanta, Inc. 228,625
30,500 Tellabs, Inc.(a) 1,648,906
61,300 Texas Instruments, Inc.(c) 4,681,788
8,900 Thomas & Betts Corp.(c) 385,481
11,900 Whirlpool Corp. 666,400
---------------
123,426,106
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.2%)
26,800 Dun & Bradstreet Corp.(c) 809,025
7,200 EG&G, Inc. 201,150
25,600 Paychex, Inc. 1,273,600
---------------
2,283,775
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(0.8%)
4,800 Ball Corp. 205,200
10,800 Crane Co. 348,975
19,500 Crown Cork & Seal Co., Inc. 658,125
27,100 Fortune Brands, Inc. 923,094
176,400 Gillette Co. 8,103,375
17,400 Parker-Hannifin Corp. 604,650
9,300 Snap-On, Inc. 316,200
13,900 Stanley Works 424,819
---------------
11,584,438
---------------
FOOD & KINDRED PRODUCTS (5.5%)
5,700 Adolph Coors Co. 283,575
75,700 Anheuser-Busch Cos., Inc. 4,589,312
94,100 Archer Daniels Midland Co. 1,729,088
45,200 Bestfoods, Inc. 2,627,250
10,700 Brown-Forman Corp. 778,425
70,500 Campbell Soup Co. 4,027,312
387,300 Coca-Cola Co. 27,135,206
64,400 Coca-Cola Enterprises, Inc. 2,435,125
76,600 Conagra, Inc. 2,408,113
24,400 General Mills, Inc. 1,842,200
56,900 Heinz (H.J.) Co. 3,317,981
22,500 Hershey Foods Corp. 1,513,125
64,000 Kellogg Co. 2,344,000
231,400 PepsiCo, Inc. 8,952,287
21,400 Quaker Oats Co. 1,313,425
51,000 RJR Nabisco Holdings Corp. 1,469,438
49,000 Ralston-Ralston Purina Group 1,705,813
73,400 Sara Lee Corp. 4,284,725
54,400 Seagram Co. Ltd. 1,866,600
100,600 Unilever N.V.(c) 7,777,638
18,200 Wrigley (Wm) Jr. Co.(c) 1,603,875
---------------
84,004,513
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
41
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
FOOD STORES (0.7%)
38,700 Albertson's, Inc.(c) $ 2,208,318
43,100 American Stores Co. 1,446,544
6,000 Great Atlantic & Pacific Tea Co. 163,875
40,300 Kroger Co.(a)(c) 2,138,419
76,300 Safeway, Inc.(a) 4,029,594
23,400 Winn-Dixie Stores, Inc.(c) 943,312
---------------
10,930,062
---------------
FURNITURE & FIXTURES (0.1%)
53,400 Masco Corp. 1,541,925
---------------
GENERAL MERCHANDISE STORES (2.9%)
17,200 Consolidated Stores Corp.(a) 369,800
69,000 Dayton Hudson Corp. 3,105,000
17,500 Dillards, Inc. 601,562
29,100 Dollar General Corp. 692,944
33,100 Federated Department Stores, Inc.(a)(c) 1,379,856
24,200 Fred Meyer, Inc.(a) 1,231,175
11,100 Harcourt General, Inc.(c) 574,425
39,700 J.C. Penney Co., Inc. 2,183,500
77,300 KMart Corp.(a)(c) 1,178,825
24,800 Kohl's Corp.(a) 1,219,850
36,300 May Department Stores Co. 2,189,344
61,600 Sears, Roebuck & Co. 2,922,150
21,300 Venator Group, Inc.(a) 167,738
351,200 Wal-Mart Stores, Inc.(c) 26,449,750
---------------
44,265,919
---------------
HEALTH SERVICES (0.4%)
101,400 Columbia/HCA Healthcare Corp. 2,496,975
27,300 HCR Manor Care, Inc.(a) 866,775
66,400 HEALTHSOUTH Corp.(a)(c) 892,250
48,400 Tenet Healthcare Corp.(a) 1,430,825
---------------
5,686,825
---------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-- CONTRACTORS (0.2%)
12,400 Fluor Corp. 530,875
6,400 Foster Wheeler Corp. 109,600
68,900 Halliburton Co. 2,023,937
---------------
2,664,412
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.1%)
49,100 Conseco, Inc. 1,626,438
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (0.0%)
15,700 Circuit City Stores(c) 568,144
---------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (0.2%)
80,200 Hilton Hotels Corp.(c) 1,744,350
39,300 Marriott International, Inc. 1,154,437
28,200 Mirage Resorts, Inc.(a) 419,475
---------------
3,318,262
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (7.2%)
21,200 Apple Computer, Inc.(a)(c) 677,075
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
57,600 Applied Materials, Inc.(a) $ 2,232,000
49,900 Baker Hughes, Inc. 913,794
14,600 Black & Decker Corp. 791,137
3,700 Briggs & Stratton Corp. 186,619
15,600 Brunswick Corp. 343,200
11,700 Case Corp. 283,725
57,300 Caterpillar, Inc.(c) 2,832,769
244,200 Cisco Systems, Inc.(a) 18,406,575
262,500 Compaq Computer Corp. 8,531,250
6,000 Cummins Engine Co., Inc. 222,750
21,000 Danaher Corp. 958,125
7,800 Data General Corp.(a) 141,375
38,500 Deere & Co.(c) 1,345,094
198,900 Dell Computer Corp.(a) 12,095,606
35,000 Dover Corp. 1,246,875
78,500 EMC Corp.(c) 5,691,250
24,500 Gateway 2000, Inc.(a)(c) 1,375,062
7,500 Harnischfeger Industries, Inc. 75,000
163,300 Hewlett-Packard Co. 10,247,075
146,600 IBM Corp.(c) 24,189,000
25,900 Ingersoll-Rand Co. 1,212,444
9,300 McDermott International, Inc. 249,356
6,100 Milacron, Inc. 123,525
19,500 Pall Corp.(c) 453,375
43,100 Pitney Bowes, Inc. 2,413,600
38,200 Seagate Technology, Inc.(a) 1,126,900
29,700 Silicon Graphics, Inc.(a) 363,825
15,800 Tandy Corp. 711,988
26,600 Tenneco, Inc. 947,625
9,800 Timken Co. 188,650
101,255 Tyco International Ltd.(c) 6,663,845
39,900 Unisys Corp.(a) 1,137,150
---------------
108,377,639
---------------
INSURANCE AGENTS, BROKERS & SERVICES (0.3%)
26,500 Aon Corp.(c) 1,527,062
26,200 Humana, Inc.(a) 519,088
40,100 Marsh & McLennan Cos., Inc. 2,333,319
---------------
4,379,469
---------------
INSURANCE CARRIERS (4.7%)
22,700 Aetna, Inc. 1,754,994
130,100 Allstate Corp. 5,301,575
39,700 American General Corp. 2,796,369
165,000 American International Group, Inc. 15,510,000
33,300 CIGNA Corp. 2,591,156
26,000 Chubb Corp. 1,821,625
26,200 Cincinnati Financial Corp. 1,023,437
359,100 Citigroup, Inc.(c) 18,022,331
11,900 General Re Corp. 2,778,650
36,700 Hartford Financial Services Group 2,025,381
16,700 Jefferson-Pilot Corp. 1,139,775
15,800 Lincoln National Corp. 1,322,262
18,000 Loews Corp. 1,800,000
15,600 MBIA, Inc. 1,010,100
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
42
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INSURANCE CARRIERS (continued)
<TABLE>
<C> <S> <C>
17,800 MGIC Investment Corp.(c) $ 782,088
11,400 Progressive Corp.(c) 1,691,475
21,200 Provident Cos., Inc.(c) 814,875
14,900 Providian Financial Corp. 1,368,006
22,200 Safeco Corp.(c) 953,213
37,100 St. Paul Cos., Inc.(c) 1,307,775
33,000 SunAmerica, Inc. 2,615,250
22,000 Torchmark Corp. 836,000
30,700 United Healthcare Corp. 1,385,338
21,700 UNUM Corp.(c) 1,169,088
---------------
71,820,763
---------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.0%)
17,300 Louisiana-Pacific Corp. 294,100
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (1.9%)
8,800 Bard (C.R.), Inc. 403,150
8,800 Bausch & Lomb, Inc. 488,400
38,800 Becton, Dickinson & Co. 1,649,000
17,600 Biomet, Inc.(c) 673,200
30,800 Boston Scientific Corp.(a)(c) 1,524,600
50,700 Eastman Kodak Co. 3,678,919
23,700 Guidant Corp.(c) 2,033,756
19,800 Honeywell, Inc.(c) 1,582,762
13,300 Johnson Controls, Inc. 769,737
13,600 KLA-Tencor Corp.(a) 463,250
73,800 Medtronic, Inc. 4,995,337
6,900 Millipore Corp. 194,063
7,700 Perkin-Elmer Corp. 718,025
6,900 Polaroid Corp.(c) 146,625
53,200 Raytheon Co. 2,945,950
13,200 St. Jude Medical, Inc.(a) 383,625
7,500 Tektronix, Inc. 201,094
26,100 Thermo Electron Corp.(a)(c) 440,438
51,700 Xerox Corp.(c) 5,557,750
---------------
28,849,681
---------------
METAL MINING (0.3%)
58,600 Barrick Gold Corp.(c) 1,172,000
36,100 Battle Mountain Gold Co. 169,219
14,700 Cyprus Amax Minerals Co. 167,212
28,300 Freeport-McMoRan Copper & Gold, Inc.
Class B 369,669
33,100 Homestake Mining Co.(c) 355,825
51,200 Newmont Mining Corp. 1,017,600
39,200 Placer Dome, Inc. 570,850
---------------
3,822,375
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.2%)
20,700 Hasbro, Inc.(c) 725,794
18,600 ITT Industries, Inc. 669,600
5,800 Jostens, Inc. 135,937
45,900 Mattel, Inc. 1,586,419
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MISCELLANEOUS MANUFACTURING INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
1,300 NACCO Industries, Inc. $ 113,181
---------------
3,230,931
---------------
MISCELLANEOUS RETAIL (0.9%)
61,100 CVS Corp. 3,016,812
34,000 Costco Cos., Inc.(a)(c) 2,133,500
6,100 Longs Drug Stores, Inc. 217,312
40,600 Rite Aid Corp.(c) 1,882,825
45,800 Staples, Inc.(a) 1,600,138
41,600 Toys R Us, Inc.(a)(c) 821,600
78,200 Walgreen Co.(c) 4,198,363
---------------
13,870,550
---------------
MOTION PICTURES (0.1%)
34,100 Unicom Corp.(c) 1,285,144
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.6%)
71,700 American Express Co. 7,174,481
54,400 Associates First Capital Corp. 4,236,400
10,400 Capital One Financial Corp. 1,144,000
17,500 Countrywide Credit Industries, Inc. 866,250
106,600 FHLMC(c) 6,449,300
162,900 FNMA 11,850,975
77,400 Household International, Inc. 3,028,275
118,000 MBNA Corp. 2,677,125
26,300 SLM Holding Corp.(c) 1,157,200
9,900 Transamerica Corp. 1,051,875
---------------
39,635,881
---------------
OIL & GAS EXTRACTION (0.5%)
18,800 Anadarko Petroleum Corp. 529,925
15,500 Apache Corp. 356,500
27,900 Burlington Resources, Inc. 993,938
7,900 Helmerich & Payne, Inc. 136,275
55,400 Occidental Petroleum Corp. 1,121,850
16,700 Oryx Energy Co.(a) 230,669
13,400 Rowan Cos., Inc.(a) 131,487
85,500 Schlumberger Ltd. 3,820,781
39,400 Union Pacific Resources Group, Inc. 440,788
---------------
7,762,213
---------------
PAPER & ALLIED PRODUCTS (1.4%)
18,300 Avery Dennison Corp. 877,256
8,400 Bemis Co., Inc. 317,625
8,900 Boise Cascade Corp. 282,019
15,000 Champion International Corp. 623,437
34,600 Fort James Corp.(c) 1,353,725
14,700 Georgia-Pacific Group 834,225
21,300 IKON Office Solutions, Inc. 207,675
48,300 International Paper Co.(c) 2,098,031
86,000 Kimberly-Clark Corp. 4,525,750
16,300 Mead Corp. 494,094
63,400 Minnesota Mining & Manufacturing Co. 5,091,812
8,800 Temple-Inland, Inc. 472,450
10,800 Union Camp Corp. 698,625
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
43
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PAPER & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
15,900 Westvaco Corp. $ 447,188
31,300 Weyerhaeuser Co. 1,568,913
17,600 Willamette Industries, Inc. 614,900
---------------
20,507,725
---------------
PERSONAL SERVICES (0.1%)
16,000 H & R Block, Inc. 719,000
40,400 Service Corp. International 1,509,950
---------------
2,228,950
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (5.8%)
14,300 Amerada Hess Corp. 793,650
149,900 Amoco Corp. 8,834,731
12,000 Ashland, Inc. 583,500
50,500 Atlantic Richfield Co. 3,358,250
102,800 Chevron Corp. 8,596,650
383,000 Exxon Corp. 28,748,937
7,500 Kerr-McGee Corp. 296,250
122,800 Mobil Corp. 10,583,825
7,500 Pennzoil Co. 278,437
40,600 Phillips Petroleum Co. 1,705,200
336,800 Royal Dutch Petroleum Co. 15,829,600
14,700 Sunoco Inc. 497,963
84,200 Texaco, Inc. 4,846,763
48,400 USX-Marathon Group, Inc. 1,373,350
38,000 Unocal Corp. 1,287,250
---------------
87,614,356
---------------
PHARMACEUTICAL PREPARATIONS (0.9%)
206,700 American Home Products Corp. 11,006,775
39,900 Amgen, Inc.(a) 3,002,475
---------------
14,009,250
---------------
PRIMARY METAL INDUSTRIES (0.5%)
35,800 Alcan Aluminum Ltd.(c) 953,175
31,000 Allegheny Teledyne, Inc.(c) 637,438
29,400 Aluminum Co. of America(c) 2,179,275
6,200 Asarco, Inc. 120,125
20,400 Bethlehem Steel Corp.(a) 168,300
22,700 Engelhard Corp. 438,394
26,100 Inco Ltd. 301,781
13,800 Nucor Corp. 579,600
9,200 Phelps Dodge Corp.(c) 521,525
11,300 Reynolds Metals Co. 620,087
13,800 USX-US Steel Group, Inc. 337,237
15,200 Worthington Industries, Inc. 185,250
---------------
7,042,187
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (1.6%)
11,100 American Greetings Corp. 469,669
12,700 Deluxe Corp. 441,325
14,700 Dow Jones & Co., Inc. 702,844
44,700 Gannett Co., Inc. 2,885,944
12,400 Knight-Ridder, Inc. 637,825
15,600 McGraw-Hill Cos., Inc. 1,396,200
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRINTING, PUBLISHING & ALLIED INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
8,300 Meredith Corp. $ 322,144
13,900 Moore Corp. Ltd. 152,031
29,800 New York Times Co. 925,662
21,900 R.R. Donnelley & Sons Co. 929,381
94,200 Time Warner, Inc. 9,961,650
13,600 Times Mirror Co. 797,300
19,100 Tribune Co. 1,224,787
56,200 Viacom, Inc., Class B(a)(c) 3,740,813
---------------
24,587,575
---------------
RAILROAD TRANSPORTATION (0.5%)
74,300 Burlington Northern Santa Fe Corp.(c) 2,526,200
34,300 CSX Corp. 1,429,881
59,600 Norfolk Southern Corp. 1,810,350
38,800 Union Pacific Corp.(c) 1,886,650
---------------
7,653,081
---------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.5%)
6,300 Armstrong World Industries 419,737
12,100 Cooper Tire & Rubber Co.(c) 236,706
24,600 Goodyear Tire & Rubber Co. 1,396,050
39,200 Illinois Tool Works, Inc.(c) 2,491,650
45,200 Nike, Inc., Class B(c) 1,808,000
8,900 Reebok International Ltd.(a) 141,844
23,600 Rubbermaid, Inc. 780,275
13,100 Sealed Air Corp.(a) 578,038
9,100 Tupperware Corp. 158,681
---------------
8,010,981
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (1.1%)
17,800 Bear Stearns Cos. 747,600
41,900 Charles Schwab Corp. 2,362,112
39,700 Franklin Resources, Inc. 1,697,175
18,500 Lehman Brothers Holding, Inc. 923,844
54,700 Merrill Lynch & Co., Inc. 4,102,500
92,000 Morgan Stanley Dean Witter & Co. 6,417,000
---------------
16,250,231
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (0.2%)
36,400 Corning, Inc. 1,460,550
25,500 Newell Co.(c) 1,128,375
8,500 Owens Corning 317,156
24,400 Owens-Illinois, Inc.(a) 783,850
---------------
3,689,931
---------------
TEXTILE MILL PRODUCTS (0.0%)
11,300 Fruit of the Loom, Inc.(a) 166,675
5,700 Russell Corp.(c) 135,731
2,900 Springs Industries, Inc., Class A 112,919
---------------
415,325
---------------
TOBACCO PRODUCTS (1.4%)
382,100 Philip Morris Cos., Inc. 21,373,719
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
44
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
TRANSPORTATION BY AIR (0.4%)
28,700 AMR Corp.(a) $ 1,892,406
23,800 Delta Airlines, Inc.(c) 1,277,763
23,200 FDX Corp.(a) 1,505,100
52,700 Southwest Airlines Co. 1,133,050
14,800 U.S. Air Group, Inc.(a) 769,600
---------------
6,577,919
---------------
TRANSPORTATION EQUIPMENT (2.9%)
88,100 Allied-Signal, Inc. 3,876,400
158,700 Boeing Co. 6,447,187
25,900 Dana Corp. 1,010,100
11,200 Eaton Corp. 765,100
5,400 Fleetwood Enterprises, Inc. 181,912
190,300 Ford Motor Co. 10,514,075
19,900 General Dynamics Corp. 1,155,444
102,700 General Motors Corp. 7,189,000
30,800 Lockheed Martin Corp. 3,195,500
10,600 Navistar International Corp.(a) 274,275
10,800 Northrop Grumman Corp. 877,500
12,200 Paccar, Inc. 555,100
30,100 Rockwell International Corp. 1,473,019
19,100 TRW, Inc. 1,051,694
25,700 Textron, Inc. 1,996,569
35,800 United Technologies Corp.(c) 3,837,312
---------------
44,400,187
---------------
WHOLESALE TRADE--DURABLE GOODS (0.1%)
28,100 Genuine Parts Co. 925,544
15,400 Grainger (W.W.), Inc.(c) 650,650
4,500 Potlatch Corp. 170,156
---------------
1,746,350
---------------
WHOLESALE TRADE--NONDURABLE GOODS (0.3%)
31,350 Cardinal Health, Inc.(c) 2,151,394
19,000 Supervalu, Inc. 490,437
53,000 Sysco Corp. 1,427,688
---------------
4,069,519
---------------
TOTAL COMMON STOCKS (COST $877,042,607) 1,476,090,012
---------------
CORPORATE NOTES (0.1%)
2,000,000 NationsBank Corp., 5.43% V/R, 7/1/04
(cost $1,988,583) 1,983,110
---------------
REPURCHASE AGREEMENT (2.4%)
36,086,650 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98 to be repurchased at
$36,092,163 (cost $36,086,650)(d) 36,086,650
---------------
U.S. TREASURY BILLS (0.2%)
785,000 U.S. Treasury Bills, 5.05% yield,
4/29/99 771,053
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
U.S. TREASURY BILLS (continued)
<TABLE>
<C> <S> <C>
1,450,000 U.S. Treasury Bills, 4.24% yield,
9/16/99 $ 1,401,541
---------------
TOTAL U.S. TREASURY BILLS (COST $2,170,804) 2,172,594
---------------
TOTAL INVESTMENTS (100.0%) (COST $917,288,644) $ 1,516,332,366
---------------
---------------
FINANCIAL FUTURES CONTRACTS(e)
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
POSITION CONTRACTS INDEX GAIN (LOSS)
- --------- ------------- ----------------------------------- -------------
<S> <C> <C> <C>
Long 134 S&P 500 Futures, Expiring December
18, 1998 (notional value
$38,943,750) $ 3,350,800
</TABLE>
<TABLE>
<C> <S> <C>
- -----------------------------------------------------------------
INCOME EQUITY PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (97.1%)
BUSINESS SERVICES (1.9%)
608,900 IMS Health, Inc. $ 40,415,737
---------------
CHEMICALS & ALLIED PRODUCTS (13.9%)
850,500 E.I. Du Pont de Nemours & Co. 49,966,875
520,750 Johnson & Johnson 42,310,937
287,400 Merck & Co., Inc. 44,511,075
1,604,800 Morton International, Inc.(c) 47,241,300
530,400 Pfizer, Inc. 59,205,900
554,800 Procter & Gamble Co.(c) 48,614,350
---------------
291,850,437
---------------
COMMUNICATIONS (5.6%)
1,113,200 AT&T Corp.(c) 69,366,275
782,600 GTE Corp. 48,521,200
---------------
117,887,475
---------------
DEPOSITORY INSTITUTIONS (4.3%)
470,650 J.P. Morgan & Co., Inc. 50,300,719
1,067,850 U.S. Bancorp 39,310,228
---------------
89,610,947
---------------
EATING & DRINKING PLACES (2.0%)
602,750 McDonald's Corp. 42,230,172
---------------
ELECTRIC, GAS & SANITARY SERVICES (6.9%)
543,000 Consolidated Natural Gas Co. 29,491,687
740,600 Pacific Gas & Electric Co.(c) 22,912,313
604,100 Public Service Enterprise Group, Inc. 23,559,900
876,350 Texas Utilities Co. 39,052,347
679,832 Waste Management, Inc.(c) 29,147,797
---------------
144,164,044
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (11.5%)
1,669,972 AMP, Inc. 80,784,895
677,000 Emerson Electric Co.(c) 44,005,000
550,978 General Electric Co. 49,863,509
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
45
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INCOME EQUITY PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
783,146 Lucent Technologies, Inc.(c) $ 67,399,503
---------------
242,052,907
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES (2.2%)
1,563,600 Dun & Bradstreet Corp.(c) 47,201,175
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(3.0%)
1,836,600 Fortune Brands, Inc. 62,559,189
---------------
FOOD & KINDRED PRODUCTS (5.5%)
1,662,640 PepsiCo, Inc. 64,323,385
877,250 Sara Lee Corp. 51,209,469
---------------
115,532,854
---------------
GENERAL MERCHANDISE STORES (7.8%)
965,800 Dayton Hudson Corp.(c) 43,461,000
738,400 J.C. Penney Co., Inc.(c) 40,612,000
729,500 May Department Stores Co. 43,997,969
773,830 Sears, Roebuck & Co. 36,708,560
---------------
164,779,529
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.2%)
1,056,200 Hewlett-Packard Co. 66,276,550
---------------
INSURANCE CARRIERS (2.3%)
686,750 American General Corp. 48,372,953
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (4.1%)
544,050 Eastman Kodak Co. 39,477,628
567,600 Honeywell, Inc. 45,372,525
---------------
84,850,153
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (4.3%)
412,300 American Express Co. 41,255,769
470,900 Transamerica Corp. 50,033,125
---------------
91,288,894
---------------
OIL & GAS EXTRACTION (1.0%)
440,100 Schlumberger Ltd. 19,666,969
---------------
PAPER & ALLIED PRODUCTS (1.9%)
497,150 Minnesota Mining & Manufacturing Co. 39,927,359
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (7.7%)
538,200 Atlantic Richfield Co. 35,790,300
458,750 Chevron Corp. 38,362,969
541,102 Exxon Corp. 40,616,469
305,900 Mobil Corp. 26,364,756
440,600 Royal Dutch Petroleum Co. 20,708,200
---------------
161,842,694
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INCOME EQUITY PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
PHARMACEUTICAL PREPARATIONS (2.4%)
937,800 American Home Products Corp. $ 49,937,850
---------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.6%)
371,800 Deluxe Corp. 12,920,050
---------------
TOBACCO PRODUCTS (3.1%)
1,176,550 Philip Morris Cos., Inc. 65,813,266
---------------
TRANSPORTATION EQUIPMENT (1.9%)
369,300 United Technologies Corp.(c) 39,584,344
---------------
TOTAL COMMON STOCKS (COST $1,206,600,344) 2,038,765,548
---------------
REPURCHASE AGREEMENT (2.9%)
60,475,583 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98, to be repurchased at
$60,484,822 (cost $60,475,583)(d) 60,475,583
---------------
TOTAL INVESTMENTS (100.0%) (COST $1,267,075,927) $ 2,099,241,131
---------------
---------------
- -----------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (98.0%)
APPAREL & ACCESSORY STORES (2.1%)
97,300 Ross Stores, Inc. $ 3,539,288
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(2.7%)
76,830 Tommy Hilfiger Corp.(a) 4,648,215
---------------
BUSINESS SERVICES (10.1%)
95,185 BMC Software, Inc.(a) 4,860,384
118,500 Oracle Corp.(a) 4,058,625
75,372 Robert Half International, Inc.(a)(c) 3,542,484
168,310 Unisys Corp.(a) 4,796,835
---------------
17,258,328
---------------
CHEMICALS & ALLIED PRODUCTS (7.5%)
62,140 Amgen, Inc.(a) 4,676,035
45,800 Schering-Plough Corp. 4,871,975
147,910 Solutia, Inc. 3,309,486
---------------
12,857,496
---------------
COMMUNICATIONS (5.6%)
67,710 AT&T Corp. 4,219,179
60,360 BellSouth Corp. 5,266,410
---------------
9,485,589
---------------
DOMESTIC DEPOSITORY INSTITUTIONS (7.1%)
98,210 AmSouth Bank, N.A. 4,149,373
64,420 Comerica, Inc. 4,155,090
141,020 Dime Bancorp, Inc. 3,745,844
---------------
12,050,307
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
46
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
EATING & DRINKING PLACES (2.3%)
252,145 Darden Restaurants, Inc.(c) $ 3,987,043
---------------
ELECTRIC, GAS & SANITARY SERVICES (2.5%)
97,205 DTE Energy Co.(c) 4,240,567
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (2.6%)
52,430 Lucent Technologies, Inc. 4,512,257
---------------
FOOD & KINDRED PRODUCTS (5.0%)
155,810 IBP, Inc. 3,953,679
73,190 Quaker Oats Co. 4,492,036
---------------
8,445,715
---------------
FURNITURE & FIXTURES (1.8%)
146,325 Herman Miller, Inc. 3,109,406
---------------
GENERAL MERCHANDISE STORES (6.0%)
105,050 Dayton Hudson Corp. 4,727,250
209,450 TJX Cos., Inc. 5,367,156
---------------
10,094,406
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (10.0%)
80,400 Apple Computer, Inc.(a)(c) 2,567,775
63,110 EMC Corp.(a) 4,575,475
89,280 Ingersoll-Rand Co. 4,179,420
75,270 Lexmark International Group, Inc.(a) 5,748,746
---------------
17,071,416
---------------
INSURANCE CARRIERS (6.7%)
70,600 Allstate Corp. 2,876,950
68,300 Jefferson-Pilot Corp. 4,661,475
52,020 PacifiCare Health Systems, Inc.(a)(c) 3,917,756
---------------
11,456,181
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (2.1%)
249,265 Johns Manville Corp. 3,598,763
---------------
OIL & GAS EXTRACTION (1.7%)
118,000 Transocean Offshore, Inc. 2,913,125
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (2.5%)
57,350 Exxon Corp. 4,304,835
---------------
PHARMACEUTICAL PREPARATIONS (5.6%)
136,890 Mylan Laboratories, Inc.(c) 4,543,037
89,810 Watson Pharmaceuticals, Inc. (a) 4,838,514
---------------
9,381,551
---------------
PRINTING & PUBLICATIONS (2.4%)
80,100 Knight Ridder, Inc. 4,120,144
---------------
TRANSPORTATION BY AIR (2.5%)
64,140 AMR Corp.(a) 4,229,231
---------------
TRANSPORTATION EQUIPMENT (7.4%)
87,280 General Dynamics Corp. 5,067,695
78,695 Paccar, Inc. 3,580,623
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DISCIPLINED GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
TRANSPORTATION EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
72,820 Sundstrand Corp. $ 3,932,280
---------------
12,580,598
---------------
WATER TRANSPORTATION(1.8%)
101,340 Royal Caribbean Cruises Ltd.(c) 3,078,203
---------------
TOTAL COMMON STOCKS (COST $149,199,229) 166,962,664
---------------
REPURCHASE AGREEMENT (2.0%)
3,427,716 NationsBanc Montgomery Securities, Inc.,
5.50% 12/1/98 to be repurchased at
$3,428,233 (cost $3,427,716)(d) 3,427,716
---------------
TOTAL INVESTMENTS (100.0%) (COST $152,626,945) $ 170,390,380
---------------
---------------
- -----------------------------------------------------------------
LARGE COMPANY GROWTH PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (100.0%)
AMUSEMENT & RECREATION SERVICES (1.3%)
492,590 Walt Disney Co. $ 15,855,241
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(2.2%)
477,800 Cintas Corp. 26,279,000
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (5.2%)
122,600 Fastenal Co.(c) 5,057,250
1,157,978 Home Depot, Inc.(c) 57,609,405
---------------
62,666,655
---------------
BUSINESS SERVICES (20.3%)
273,900 Automatic Data Processing, Inc.(c) 21,090,300
206,700 DST Systems, Inc.(a)(c) 11,187,637
323,000 First Data Corp. 8,620,063
392,975 Fiserv, Inc.(a)(c) 17,364,583
1,017,800 HBO & Co. 25,381,388
622,400 IMS Health, Inc. 41,311,800
905,880 Microsoft Corp.(a) 110,517,360
342,200 Sungard Data Systems, Inc.(a)(c) 10,950,400
---------------
246,423,531
---------------
CHEMICALS & ALLIED PRODUCTS (11.4%)
275,500 Merck & Co., Inc. 42,668,062
634,300 Pfizer, Inc. 70,803,738
325,800 Warner-Lambert Co. 24,597,900
---------------
138,069,700
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (16.4%)
780,000 Intel Corp. 83,947,500
220,200 Lucent Technologies, Inc. 18,950,962
442,948 Molex, Inc., Class A 14,285,073
397,700 Solectron Corp.(a) 26,322,769
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
47
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LARGE COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
1,990,900 Telefonaktiebolaget LM Ericsson, Series
B ADR(c) $ 54,998,613
---------------
198,504,917
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES (2.8%)
319,200 Gartner Group, Inc.(a) 6,902,700
533,366 Paychex, Inc.(c) 26,534,959
---------------
33,437,659
---------------
FOOD & KINDRED PRODUCTS (2.6%)
442,800 Coca-Cola Co.(c) 31,023,675
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.8%)
1,094,775 Cisco Systems, Inc.(a) 82,518,666
---------------
INSURANCE CARRIERS (4.7%)
611,343 American International Group, Inc.(c) 57,466,242
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (5.1%)
908,700 Medtronic, Inc. 61,507,630
---------------
MISCELLANEOUS RETAIL (4.4%)
184,000 MSC Industrial Direct Co., Inc.(a)(c) 4,381,500
561,800 Office Depot, Inc.(a)(c) 18,258,500
870,250 Staples, Inc.(a)(c) 30,404,359
---------------
53,044,359
---------------
OIL & GAS EXTRACTION (0.6%)
169,300 Schlumberger Ltd. 7,565,594
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (14.3%)
1,535,250 Charles Schwab Corp.(c) 86,549,719
375,100 Donaldson, Lufkin & Jenrette, Inc.(c) 15,074,331
972,400 Franklin Resources, Inc.(c) 41,570,100
852,100 T. Rowe Price(c) 30,462,575
---------------
173,656,725
---------------
WHOLESALE TRADE--NONDURABLE GOODS (1.9%)
337,900 Cardinal Health, Inc.(c) 23,188,387
---------------
TOTAL INVESTMENTS (100.0%) (COST $544,006,186) $ 1,211,207,981
---------------
---------------
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (95.7%)
ADMINISTRATION OF ENVIRONMENTAL QUALITY & HOUSING PROGRAMS (0.1%)
6,500 Dames & Moore, Inc. $ 83,281
---------------
AGRICULTURAL PRODUCTION--CROPS (0.6%)
23,200 Chiquita Brands International, Inc.(c) 261,000
13,600 Delta & Pine Land Co. 515,100
---------------
776,100
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
AMUSEMENT & RECREATION SERVICES (0.6%)
9,200 Family Golf Centers, Inc.(a)(c) $ 189,100
15,000 Grand Casinos, Inc.(a)(c) 142,500
9,300 Hollywood Park, Inc.(a) 88,931
11,300 Players International, Inc.(a) 67,094
11,200 Westwood One, Inc.(a) 296,800
---------------
784,425
---------------
APPAREL & ACCESSORY STORES (1.1%)
9,100 AnnTaylor Stores Corp.(a)(c) 299,731
5,200 Ashworth, Inc.(a) 30,063
9,800 Cato Corp. 132,913
8,200 Dress Barn, Inc.(a) 120,950
7,500 Filene's Basement Corp.(a) 15,000
8,700 Footstar, Inc.(a) 212,063
11,800 Goody's Family Clothing, Inc.(a) 132,750
8,600 Gymboree Corp.(a) 57,513
4,900 J. Baker, Inc. 24,194
10,700 Just For Feet, Inc.(a) 242,088
5,900 St. John Knits, Inc. 118,000
---------------
1,385,265
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.9%)
8,000 Authentic Fitness Corp. 128,000
5,300 Cyrk, Inc.(a) 47,038
3,000 Haggar Corp. 38,250
12,200 Hartmarx Corp.(a) 71,675
7,600 Kellwood Co. 205,200
13,200 Nautica Enterprises, Inc.(a) 259,875
6,400 Oshkosh B'Gosh, Inc. 153,600
9,700 Phillips-Van Heusen Corp. 67,900
5,000 Pillowtex Corp. 168,750
---------------
1,140,288
---------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.4%)
5,900 Discount Auto Parts, Inc.(a) 147,131
7,500 O'Reilly Automotive, Inc.(a) 340,313
---------------
487,444
---------------
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.5%)
13,000 Breed Technologies, Inc.(a)(c) 87,750
10,500 Central Parking Corp.(c) 308,438
21,100 Rollins Truck Leasing Corp. 253,200
---------------
649,388
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (1.0%)
19,700 D.R. Horton, Inc. 371,838
6,500 MDC Holdings, Inc. 119,438
5,200 Ryland Group, Inc. 138,125
4,800 Southern Energy Homes, Inc.(a) 33,600
10,600 Standard Pacific Corp. 103,350
13,100 Toll Brothers, Inc.(a) 318,494
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
48
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (continued)
<TABLE>
<C> <S> <C>
4,900 U.S. Home Corp.(a) $ 156,188
---------------
1,241,033
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (0.2%)
10,300 Eagle Hardware & Garden, Inc.(a)(c) 290,331
---------------
BUSINESS SERVICES (8.1%)
7,500 ABM Industries, Inc. 249,844
8,000 ADVO, Inc.(a) 207,000
18,700 Acxiom Corp.(a)(c) 441,788
15,100 American Management Systems, Inc.(a)(c) 445,450
8,000 Analysts International Corp. 135,000
9,500 BISYS Group, Inc.(a) 457,188
10,000 Boole & Babbage, Inc.(a) 316,250
6,600 Catalina Marketing Corp.(a) 384,450
11,600 Cerner Corp.(a)(c) 304,500
19,000 Ciber, Inc.(a)(c) 428,688
14,500 Cognex Corp.(a) 240,156
7,400 Computer Task Group, Inc. 199,800
7,500 Envoy Corp.(a)(c) 299,063
4,900 Fair, Isaac & Co., Inc. 197,225
11,200 FileNet Corp.(a) 95,900
8,100 Gerber Scientific, Inc. 205,031
15,000 Harbinger Corp.(a) 129,375
6,700 Jack Henry & Associates, Inc. 336,675
9,100 HNC Software, Inc.(a)(c) 300,300
10,500 Hyperion Software Corp.(a) 339,938
4,000 Insurance Auto Auctions, Inc.(a) 46,000
16,700 Interim Services, Inc.(a) 346,525
2,900 Kronos, Inc.(a) 125,425
14,100 Macromedia, Inc.(a) 393,919
6,100 Mercury Interactive Corp.(a) 279,838
13,700 Midway Games, Inc.(a) 139,569
11,100 National Computer Systems, Inc. 364,913
12,000 National Data Corp. 448,500
7,700 Network Equipment Technologies, Inc.(a) 85,663
9,700 Norrell Corp. 154,594
9,200 Platinum Software Corp.(a) 97,750
8,000 Primark Corp. 200,000
6,200 Progress Software Corp.(a) 157,325
18,200 S3, Inc.(a) 97,825
16,900 System Software Associates, Inc.(a) 116,188
7,900 TCSI Corp.(a) 18,022
14,100 Technology Solutions, Inc.(a) 131,306
15,900 True North Communications, Inc. 447,188
15,400 Vanstar Corp.(a) 183,838
9,300 Vantive Corp.(a) 79,050
5,300 Volt Information Sciences, Inc.(a) 123,556
3,500 Wall Data, Inc.(a) 60,375
---------------
9,810,990
---------------
CHEMICALS & ALLIED PRODUCTS (4.9%)
14,000 Advanced Tissue Sciences, Inc.(a)(c) 41,125
<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>
11,400 Alliance Pharmaceutical Corp.(a) $ 44,175
9,000 Alpharma, Inc. 324,000
7,900 Barr Laboratories, Inc.(a) 333,775
4,000 Biomatrix, Inc.(a)(c) 194,250
8,600 Cambrex Corp. 240,800
6,700 ChemFirst, Inc. 126,463
8,300 Geon Co. 184,675
3,800 Hauser, Inc.(a) 17,575
8,200 Immune Response Corp.(a)(c) 106,600
10,200 Jones Pharma, Inc.(c) 367,200
8,200 Lilly Industries, Inc., Class A 153,238
13,500 Liposome Co., Inc.(a) 122,344
9,300 Macdermid, Inc.(c) 342,938
3,700 McWhorter Technologies, Inc.(a) 87,413
9,400 MedImmune, Inc.(a)(c) 628,625
9,700 Mississippi Chemical Corp. 152,775
24,000 NBTY, Inc.(a) 147,000
6,500 Natures Sunshine Product, Inc. 101,563
11,400 North American Vaccine, Inc.(a)(c) 109,725
7,600 Noven Pharmaceuticals, Inc.(a) 40,375
8,500 OM Group, Inc. 307,594
8,700 Parexel International Corp.(a) 226,744
2,600 Penford Corp. 39,163
6,600 Protein Design Labs, Inc.(a) 145,200
3,100 Quaker Chemical Corp. 53,281
11,100 Roberts Pharmaceutical Corp.(a) 271,950
11,200 SEQUUS Pharmaceuticals, Inc.(a) 221,200
6,600 Scotts Co.(a) 238,838
7,500 TheraTech, Inc.(a)(c) 104,063
4,900 USA Detergents, Inc.(a)(c) 45,325
9,000 Vertex Pharmaceuticals, Inc.(a)(c) 213,188
8,000 W.H. Brady Co. 206,000
---------------
5,939,180
---------------
COMMUNICATIONS (0.7%)
18,500 Brightpoint, Inc.(a) 277,500
17,600 General Communication, Inc.(a) 71,500
5,900 Metro Networks, Inc.(a) 224,200
22,900 Tel-Save Holdings, Inc.(a)(c) 273,369
---------------
846,569
---------------
CONSTRUCTION--SPECIAL TRADE CONTRACTORS (0.3%)
9,800 Apogee Enterprises, Inc. 121,275
9,600 Insituform Technologies, Class A(a) 126,000
5,900 Service Experts, Inc.(a) 174,788
---------------
422,063
---------------
DEPOSITORY INSTITUTIONS (7.8%)
6,300 Anchor Bancorp Wisconsin 126,788
19,300 Astoria Financial Corp.(c) 868,500
5,400 Banknorth Group, Inc. 180,225
6,300 Carolina First Corp. 157,106
9,400 Centura Banks, Inc. 639,200
8,000 Commerce Bancorp, Inc. 382,000
20,800 Commercial Federal Corp. 477,100
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
49
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<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>
7,900 Cullen/Frost Bankers, Inc. $ 423,638
10,000 Downey Financial Corp. 260,000
10,600 First Midwest Bancorp, Inc. 412,738
10,600 FirstBank Puerto Rico 290,175
25,600 FirstMerit Corp. 672,000
15,400 Hubco, Inc. 415,800
3,500 JSB Financial, Inc. 184,625
18,200 Keystone Financial, Inc. 589,225
8,000 MAF Bancorp, Inc. 205,000
6,200 Premier Bancshares, Inc.(c) 144,925
7,800 Queens County Bancorp, Inc. 234,000
10,900 Riggs National Corp. 228,900
7,300 Silicon Valley Bancshares(a) 182,500
14,400 St. Paul Bancorp, Inc. 304,200
12,000 Susquehanna Bancshares 267,000
9,545 TrustCo Bank Corp. 267,260
6,700 U.S. Trust Corp. 453,088
15,100 UST Corp. 373,725
15,200 United Bankshares, Inc. 434,150
8,000 Whitney Holding Corp. 296,000
---------------
9,469,868
---------------
EATING & DRINKING PLACES (2.0%)
10,800 Applebee's International, Inc. 222,075
6,500 CEC Entertainment, Inc.(a) 192,563
16,600 CKE Restaurants, Inc.(c) 405,663
7,100 Cheesecake Factory, Inc.(a) 184,600
7,400 Consolidated Products, Inc.(a) 153,088
13,900 Foodmaker, Inc.(a) 269,313
3,500 IHOP Corp.(a) 139,125
10,800 Landry's Seafood Restaurants, Inc.(a) 87,750
8,300 Luby's Cafeterias, Inc. 131,763
11,700 Ruby Tuesday, Inc. 217,913
14,800 Ryan's Family Steak Houses, Inc.(a) 168,350
17,300 Shoney's, Inc. 29,194
6,800 Sonic Corp.(a) 133,450
8,200 TCBY Enterprises, Inc. 63,550
5,100 Taco Cabana, Inc., Class A(a) 35,381
---------------
2,433,778
---------------
EDUCATIONAL SERVICES (0.5%)
24,600 DeVry, Inc.(a) 648,825
---------------
ELECTRIC, GAS & SANITARY SERVICES (4.7%)
3,200 American States Water Co. 90,400
2,600 Aquarion Co. 97,663
10,700 Atmos Energy Corp. 327,688
2,600 Bangor Hydro-Electric Co.(a) 31,525
3,900 Cascade Natural Gas Corp. 71,419
6,000 Central Hudson Gas & Electric Corp. 242,625
4,100 Central Vermont Public Service Corp. 42,794
4,800 CILCORP, Inc. 290,400
7,600 Commonwealth Energy System 292,600
3,600 Connecticut Energy Corp. 100,575
3,200 Consumers Water Co. 100,000
<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>
7,300 Eastern Utilities Associates $ 180,219
10,400 Energen Corp. 187,200
1,900 Green Mountain Power Corp. 23,038
10,500 KCS Energy, Inc. 42,000
6,300 New Jersey Resources Corp. 245,306
8,800 Northwest Natural Gas Co. 249,700
4,800 Orange & Rockland Utilities, Inc. 270,000
3,600 Pennsylvania Enterprises, Inc. 88,875
9,800 Philadelphia Suburban Corp. 248,063
10,800 Piedmont Natural Gas Co. 378,000
7,200 Public Service Co. of North Carolina,
Inc. 175,050
11,000 Sierra Pacific Resources 396,000
10,700 Southwest Gas Co. 254,125
8,800 Southwestern Energy Co. 66,000
9,600 Superior Services, Inc.(a) 176,400
4,700 TNP Enterprises, Inc. 178,600
5,100 United Illuminating Co. 255,956
13,200 United Water Resources, Inc. 273,900
13,300 Wicor, Inc. 290,938
---------------
5,667,059
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (9.2%)
9,700 Allen Group, Inc.(a) 67,294
17,900 Aspect Telecommunications Corp.(a) 338,981
9,600 BMC Industries, Inc. 59,400
13,200 Baldor Electric Co. 263,175
4,100 Benchmark Electronics, Inc.(a) 102,500
4,800 BroadBand Technologies, Inc.(a) 21,900
13,000 Burr-Brown Corp.(a) 307,125
3,400 C-Cor Electronics, Inc.(a) 49,300
13,300 C-Cube Microsystems, Inc.(a)(c) 348,294
4,800 CTS Corp. 169,200
10,700 Cable Design Technologies Corp.(a) 197,281
5,800 California Microwave, Inc.(a) 70,325
2,500 Centigram Communications Corp.(a) 19,063
11,500 Checkpoint Systems, Inc.(a) 154,531
5,300 Customtracks Corp.(a) 46,375
9,900 Dallas Semiconductor Corp. 373,725
21,800 Digital Microwave Corp.(a) 128,075
8,000 Dionex Corp.(a) 248,000
4,000 Electro Scientific Industries, Inc.(a) 119,750
7,800 Etec Systems, Inc.(a) 256,425
3,251 General Electric Co. 294,234
13,100 General Semiconductor, Inc.(a) 132,638
4,700 HADCO Corp.(a) 164,500
6,600 Harman International Industries, Inc. 281,738
3,700 Harmon Industries, Inc. 92,500
7,900 Helix Technology Corp. 96,775
7,000 Hutchinson Technology, Inc.(a)(c) 216,563
5,200 Innovex, Inc.(c) 83,200
9,600 Inter-Tel, Inc. 230,400
4,900 Intervoice, Inc.(a) 125,563
18,200 International Rectifier Corp.(a) 170,625
5,200 Itron, Inc.(a)(c) 34,775
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
50
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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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>
6,600 Juno Lighting, Inc. $ 154,275
13,900 Kemet Corp.(a) 196,338
6,000 Kuhlman Corp. 167,250
8,300 Lattice Semiconductor Corp.(a) 306,063
12,600 Methode Electronics, Inc. 171,675
2,600 National Presto Industries, Inc. 107,413
12,100 Novellus Systems, Inc.(a)(c) 600,463
6,400 Oak Industries, Inc.(a) 197,600
15,400 P-COM, Inc.(a) 57,270
3,700 Park Electrochemical Corp. 70,994
8,700 Photronics, Inc.(a) 174,000
13,600 Picturetel Corp.(a) 96,900
5,200 Plexus Corp.(a) 156,000
17,300 Read-Rite Corp.(a) 232,469
3,300 Rival Co. 36,300
7,600 Royal Appliance Manufacturing Co.(a) 35,150
14,900 Sanmina Corp.(a)(c) 742,206
5,700 Speedfam International, Inc.(a)(c) 86,569
5,700 Standard Microsystems Corp.(a) 42,750
5,600 SymmetriCom, Inc.(a) 34,650
5,700 Technitrol, Inc. 172,069
5,600 Thomas Industries, Inc. 96,600
2,800 Three-Five Systems, Inc.(a) 28,000
11,200 Unitrolde Corp.(a) 189,700
16,500 VLSI Technology, Inc.(a) 188,719
9,100 Valence Technology, Inc.(a)(c) 86,450
15,000 Vicor Corp.(a) 133,125
26,000 Vitesse Semiconductor Corp.(a) 926,250
2,900 Watkins-Johnson Co. 52,925
15,400 Xylan Corp.(a)(c) 279,125
---------------
11,083,528
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (2.3%)
11,600 American Oncology Resources, Inc.(a) 129,775
12,000 Billing Information Concepts Corp.(a) 153,000
17,100 Bio-Technology General Corp.(a) 115,425
13,300 Blount International, Inc., Class A 307,563
7,100 CDI Corp.(a) 190,369
8,600 COR Therapeutics, Inc.(a) 101,050
10,200 Cephalon, Inc.(a) 75,863
8,100 Franklin Covey Co.(a) 151,875
9,500 Incyte Pharmaceuticals, Inc.(a) 296,875
7,500 NFO Worldwide, Inc.(a) 94,688
4,400 Pharmaceuticals Marketing Services,
Inc.(a) 45,650
8,300 Pharmaceutical Product Development,
Inc.(a)(c) 237,588
8,000 Pre-Paid Legal Services(a) 208,000
11,000 Regeneron Pharmaceuticals, Inc.(a) 90,750
4,500 Stone & Webster, Inc. 153,000
8,600 U. S. Bioscience, Inc.(a) 65,038
18,200 Whittman-Hart, Inc.(a) 401,538
---------------
2,818,047
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(0.9%)
4,500 Alliant Techsystems, Inc.(a) $ 342,844
12,800 AptarGroup, Inc. 357,600
2,700 Butler Manufacturing Co. 62,775
11,000 Griffon Corp.(a) 105,875
3,000 Insteel Industries, Inc. 16,875
5,500 Material Sciences Corp.(a) 49,500
9,600 Strum, Ruger & Co., Inc. 121,800
---------------
1,057,269
---------------
FOOD & KINDRED PRODUCTS (1.6%)
6,700 Canandaigua Brands, Inc.(a) 333,325
3,000 Coca-Cola Bottling Co. 174,188
12,600 Corn Products International, Inc. 353,588
15,200 Earthgrains Co. 488,300
3,200 J & J Snack Foods Corp.(a) 66,800
11,500 Ralcorp Holdings, Inc.(a) 201,250
13,300 Smithfield Foods, Inc.(a) 351,619
---------------
1,969,070
---------------
FOOD STORES (0.4%)
4,200 Au Bon Pain Co., Inc.(a) 26,250
9,400 Whole Foods Market, Inc.(a)(c) 437,100
---------------
463,350
---------------
FURNITURE & FIXTURES (0.7%)
4,600 Bassett Furniture Industries, Inc. 116,150
10,200 Ethan Allen Interiors, Inc. 402,900
18,900 LA-Z-BOY, Inc, 316,575
---------------
835,625
---------------
GENERAL MERCHANDISE STORES (0.7%)
18,700 Casey's General Stores, Inc. 259,463
2,700 GC Cos., Inc.(a) 108,675
4,500 Gottschalks, Inc.(a) 33,750
9,300 Shopko Stores, Inc.(a) 299,925
16,200 Stein Mart, Inc.(a) 139,220
---------------
841,033
---------------
HEALTH SERVICES (3.9%)
8,400 Access Health, Inc.(a) 301,350
3,500 Chemed Corp. 118,563
20,800 Coventry Health Care, Inc.(a) 154,700
4,500 Curative Health Services, Inc.(a) 129,375
8,700 Enzo Biochem, Inc.(a) 114,731
12,000 Express Scripts, Inc.(a) 660,000
12,500 Genesis Health Ventures, Inc.(a) 119,531
13,700 Idexx Laboratories, Inc.(a) 356,200
19,200 Integrated Health Services, Inc.(a)(c) 214,800
11,200 Magellan Health Services, Inc.(a) 105,000
25,200 Mariner Health Group, Inc.(a) 108,675
8,200 MedQuist, Inc.(a)(c) 249,075
16,900 Orthodontic Centers of America, Inc.(a) 323,213
5,400 Pediatrix Medical Group, Inc.(a) 289,913
27,800 Phycor, Inc.(a) 170,275
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
51
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
HEALTH SERVICES (continued)
<TABLE>
<C> <S> <C>
14,100 Renal Care Group, Inc.(a) $ 378,938
9,800 Sierra Health Services, Inc.(a) 224,175
3,900 Syncor International Corp.(a) 93,600
11,600 Universal Health Services, Inc.(a) 622,050
---------------
4,734,164
---------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-- CONTRACTORS (0.2%)
19,200 Morrison Knudsen Corp.(a) 184,800
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (1.3%)
13,500 Bombay Co., Inc.(a) 66,656
6,100 Lechters, Inc.(a) 18,491
13,800 Linens 'N Things, Inc.(a) 422,625
7,000 MicroAge, Inc.(a) 122,500
35,000 Pier 1 Imports, Inc. 376,250
19,700 Williams-Sonoma, Inc.(a) 582,381
---------------
1,588,903
---------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (0.4%)
16,100 Aztar Corp.(a) 81,506
10,700 Marcus Corp. 161,838
10,300 Primadonna Resorts, Inc.(a) 77,250
18,700 Prime Hospitality Corp.(a) 163,625
---------------
484,219
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (4.3%)
15,800 Anixter International, Inc.(a) 260,700
8,600 Applied Magnetics Corp.(a)(c) 63,963
13,700 Applied Power, Inc. 488,063
3,300 Astec Industries, Inc.(a) 171,188
9,100 Auspex Systems, Inc.(a) 34,125
7,400 BancTec, Inc.(a) 97,588
5,700 Dialogic Corp.(a) 128,250
7,000 Electroglas, Inc.(a) 101,500
8,000 Exabyte Corp.(a) 59,500
13,800 Fedders Corp. 76,763
5,300 Flow International Corp.(a) 56,975
5,700 Gardner Denver, Inc.(a) 90,488
7,800 Global Industrial Technologies, Inc.(a) 65,325
7,100 Graco, Inc. 197,025
19,000 Komag, Inc.(a) 137,750
8,300 Kulicke & Soffa Industries, Inc.(a) 141,619
4,900 Lindsay Manufacturing Co. 73,500
6,100 Manitowoc Co., Inc. 242,475
5,700 Micros Systems, Inc.(a) 162,450
11,700 National Instruments Corp.(a) 339,300
17,300 Paxar Corp.(a) 181,650
3,900 Robbins & Myers, Inc. 78,000
4,500 SPS Technologies, Inc.(a) 257,625
6,600 Scott Technologies, Inc., Class A(a) 102,300
11,900 Snyder Oil Corp. 153,213
5,700 Telxon Corp. 153,900
4,600 Toro Co. 121,900
7,500 Ultratech Stepper, Inc.(a)(c) 139,688
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
9,400 Valmont Industries, Inc. $ 151,575
3,100 Walbro Corp. 23,250
8,700 Watsco, Inc. 156,056
8,200 Xircom, Inc.(a) 247,538
11,100 Zebra Technologies Corp.(a) 372,544
---------------
5,127,786
---------------
INSURANCE AGENTS, BROKERS & SERVICES (0.3%)
6,100 Arthur J. Gallagher & Co. 282,888
4,300 Hilb, Rogal, and Hamilton Co. 81,431
---------------
364,319
---------------
INSURANCE CARRIERS (5.2%)
15,300 American Bankers Insurance Group, Inc. 694,238
8,100 CMAC Investment Corp.(c) 390,825
11,300 Capital Re Corp. 223,175
5,700 Commonwealth Industries, Inc. 54,863
3,600 Compdent Corp.(a) 37,575
7,242 Delphi Financial Group, Class A(a) 338,111
13,300 Enhance Financial Services Group,
Inc.(c) 390,688
3,900 Executive Risk, Inc. 210,600
8,900 Fidelity National Financial, Inc. 292,031
20,300 First American Financial Corp. 621,688
12,400 Fremont General Corp. 624,650
13,300 Frontier Insurance Group, Inc. 188,694
6,100 Life Re Corp. 574,544
13,900 Mutual Risk Management Ltd.(c) 509,956
6,500 NAC Re Corp. 310,375
9,800 Orion Capital Corp. 354,025
10,300 Selective Insurance Group, Inc. 194,413
4,300 Trenwick Group, Inc. 136,525
6,100 Zenith National Insurance Corp. 148,688
---------------
6,295,664
---------------
LEATHER & LEATHER PRODUCTS (0.7%)
6,400 Brown Group, Inc. 114,800
9,400 Justin Industries, Inc. 121,025
1,900 K-Swiss, Inc. 54,150
16,800 Stride Rite Corp. 149,100
4,100 Timberland Co. 167,844
15,500 Wolverine World Wide, Inc. 211,188
---------------
818,107
---------------
LOCAL & SUBURBAN TRANSIT & INTERURBAN HIGHWAY PASSENGER TRANSPORTATION
(0.0%)
5,000 Rural/Metro Corp.(a) 51,250
---------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.7%)
17,000 Champion Enterprises, Inc.(a) 379,313
16,600 Oakwood Homes Corp. 247,963
3,300 Skyline Corp. 107,250
5,700 TJ International, Inc. 134,663
---------------
869,189
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
52
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (3.3%)
7,100 ADAC Laboratories(a) $ 184,600
3,300 Amcast Industrial Corp. 57,956
4,500 Analogic Corp. 159,750
8,900 Avid Technology, Inc.(a) 212,488
10,800 Ballard Medical Products 234,900
4,800 Circon Corp.(a) 69,900
8,400 Coherent, Inc.(a) 106,050
5,300 Cooper Cos., Inc.(a) 112,625
7,200 Cygnus, Inc.(a) 34,650
6,200 Daniel Industries, Inc. 67,813
5,500 Datascope Corp.(a) 121,688
4,900 Diagnostic Products Corp. 126,788
4,700 Hologic, Inc.(a) 61,394
17,900 Input/Output, Inc.(a) 146,556
4,400 Integrated Circuit Systems, Inc.(a) 63,250
4,500 Intermagnetics General Corp.(a) 28,969
10,600 Invacare Corp. 253,738
5,700 Ionics, Inc.(a) 179,194
8,800 Mentor Corp. 162,800
6,600 Molecular Biosystems, Inc.(a) 22,275
2,400 Nashua Corp.(a) 40,050
7,300 ReSound Corp.(a) 38,325
11,500 Respironics, Inc.(a) 217,063
11,100 Roper Industries, Inc. 206,044
8,800 Sola International, Inc.(a) 139,700
3,300 SpaceLabs Medical, Inc.(a) 59,194
11,100 Summit Technology, Inc.(a) 43,013
15,200 Sunrise Medical, Inc.(a) 193,800
8,100 Trimble Navigation Ltd.(a) 72,394
5,400 VISX, Inc.(a) 393,525
4,000 Whittaker Corp.(a) 55,000
7,500 X-Rite, Inc. 65,625
---------------
3,931,117
---------------
METAL MINING (1.6%)
5,800 Brush Wellman, Inc. 93,525
7,800 Coeur D'Alene Mines Corp.(a) 39,488
12,400 Dekalb Genetics Corp., Class B(c) 1,236,900
10,900 Getchell Gold Corp.(a) 178,488
11,100 Glamis Gold Ltd.(a) 24,281
19,600 Hecla Mining Co.(a) 82,075
7,300 Stillwater Mining Co.(a) 266,906
---------------
1,921,663
---------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS (0.1%)
9,900 AMCOL International Corp. 105,188
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.3%)
5,900 Cross (A.T.) Co. 42,038
10,200 Jan Bell Marketing, Inc.(a) 47,175
5,900 K2, Inc. 67,113
5,600 Lydall, Inc.(a) 71,050
7,900 Russ Berrie & Co., Inc. 178,738
---------------
406,114
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
MISCELLANEOUS RETAIL (1.0%)
6,200 Books-A-Million, Inc.(a)(c) $ 182,900
8,900 Cash America International, Inc. 150,188
2,600 Damark International, Inc., Class A(a) 18,200
7,400 Hancock Fabrics, Inc. 62,438
6,700 Jo-Ann Stores, Inc.(a) 105,525
3,300 Lillian Vernon Corp. 50,531
10,500 Michaels Stores, Inc.(a)(c) 189,000
11,300 Sports Authority, Inc.(a) 73,450
12,900 Zale Corp.(a) 369,263
---------------
1,201,495
---------------
MOTION PICTURES (0.1%)
4,000 Carmike Cinemas, Inc.(a) 80,000
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (1.1%)
11,200 American Freightway Corp.(a) 100,800
7,000 Arkansas Best Corp.(a) 41,125
6,000 Frozen Food Express Industries, Inc. 47,250
10,600 Heartland Express, Inc.(a) 181,525
3,900 Landstar Systems, Inc.(a) 159,900
4,400 M.S. Carriers, Inc.(a) 107,800
9,300 USFreightways Corp.(c) 249,938
17,000 Werner Enterprises, Inc. 279,438
9,300 Yellow Corp.(a) 149,963
---------------
1,317,739
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.3%)
21,600 AmeriCredit Corp.(a)(c) 298,350
---------------
OIL & GAS EXTRACTION (2.1%)
10,500 Benton Oil & Gas Co.(a) 39,375
8,800 Cabot Oil & Gas Corp. 135,850
16,000 Cross Timbers Oil Co. 182,000
11,500 Devon Energy Corp.(c) 378,781
6,700 HS Resources, Inc.(a) 58,206
12,800 Newfield Exploration Co.(a) 249,600
8,200 Oceaneering International, Inc.(a) 101,988
6,000 Plains Resources, Inc.(a) 106,500
14,200 Pogo Producing Co. 165,075
7,500 Pool Energy Services Co.(a) 84,375
17,800 Pride International, Inc.(a) 134,613
7,200 Remington Oil & Gas Corp.(a) 27,900
36,400 Santa Fe Energy Resources, Inc.(a) 279,825
8,000 Seitel, Inc.(a) 107,000
3,900 St. Mary Land & Exploration Co. 74,100
4,800 Tetra Technologies, Inc.(a) 60,600
16,100 Turboscope Vetco International Corp.(a) 133,831
18,300 Vintage Petroleum, Inc. 188,719
3,200 Wiser Oil Co. 10,400
---------------
2,518,738
---------------
PAPER & ALLIED PRODUCTS (0.5%)
13,100 Buckeye Technologies, Inc.(a) 255,450
4,800 Pope & Talbot, Inc. 47,400
4,200 Republic Group, Inc. 72,188
5,700 Schweitzer-Mauduit International, Inc. 104,025
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
53
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PAPER & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
9,600 Shorewood Packaging Corp.(a) $ 142,200
---------------
621,263
---------------
PERSONAL SERVICES (0.7%)
3,300 Angelica Corp. 60,019
3,500 CPI Corp. 74,813
7,300 G & K Services, Inc. 368,650
8,400 Regis Corp. 281,400
---------------
784,882
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (0.1%)
5,600 WD-40 Co. 173,600
---------------
PRIMARY METAL INDUSTRIES (1.7%)
9,200 Belden, Inc. 155,250
10,500 Birmingham Steel Corp. 51,188
17,500 CommScope, Inc.(a) 265,781
6,000 IMCO Recycling, Inc. 89,625
9,100 Intermet Corp. 124,556
12,600 Mueller Industries, Inc.(a) 287,438
8,700 Northwestern Steel & Wire Co.(a) 11,419
5,000 Quanex Corp. 89,688
14,600 RTI International Metals, Inc.(a)(c) 219,913
3,800 Steel Technologies, Inc. 31,588
7,500 Texas Industries, Inc. 217,031
12,800 Tredegar Industries, Inc. 299,200
6,700 WHX Corp.(a)(c) 70,769
5,000 Wolverine Tube, Inc.(a) 112,188
---------------
2,025,634
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (1.7%)
13,100 Bowne & Co., Inc. 219,425
4,600 Consolidated Graphics, Inc.(a) 264,788
5,800 Gibson Greetings, Inc.(a) 63,800
11,000 John H. Harland Co. 167,750
5,800 Merrill Corp. 98,600
4,900 New England Business Services, Inc. 156,800
5,400 Thomas Nelson, Inc. 71,213
13,700 Valassis Communications, Inc.(a) 587,388
13,700 World Color Press, Inc.(a) 407,575
---------------
2,037,339
---------------
RAILROAD TRANSPORTATION (0.0%)
3,300 Railtex, Inc.(a) 40,013
---------------
RUBBER & MISCELLANEOUS PLASTIC PRODUCTS (0.5%)
5,500 O'Sullivan Corp. 53,625
19,300 Safeskin Corp.(a) 366,700
6,000 Standard Products Co. 111,750
7,700 Titan International, Inc. 76,519
---------------
608,594
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (2.4%)
15,700 Amresco, Inc.(a) 114,806
4,400 Dain Rauscher Corp. 163,900
<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>
19,500 E*TRADE Group, Inc.(a)(c) $ 527,719
12,800 Eaton Vance Corp. 311,200
19,600 Legg Mason, Inc. 584,325
9,000 Pioneer Group, Inc 164,250
17,200 Raymond James Financial, Inc. 425,700
6,300 SEI Investments Co. 581,175
---------------
2,873,075
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (1.0%)
6,700 Florida Rock Industries, Inc. 196,394
25,500 Gentex Corp.(a) 468,563
6,300 Libbey, Inc. 194,119
3,400 Lone Star Industries, Inc.(c) 257,338
4,700 Standex International Corp. 109,863
---------------
1,226,277
---------------
TEXTILE MILL PRODUCTS (1.3%)
9,300 Cone Mills Corp.(a) 42,431
8,700 Delta Woodside Industries, Inc. 43,500
4,000 Dixie Group, Inc. 28,250
4,200 Galey & Lord, Inc.(a) 45,413
9,100 Guilford Mills, Inc. 131,381
18,600 Interface, Inc. 232,500
3,800 Johnston Industries, Inc.(a) 14,963
20,300 Mohawk Industries, Inc.(a) 757,444
3,100 Oxford Industries, Inc. 89,513
10,900 Triarc Cos., Inc.(a) 175,763
10,600 Tultex Corp.(a) 11,263
---------------
1,572,421
---------------
TRANSPORTATION BY AIR (1.0%)
23,600 Comair Holdings, Inc. 722,750
10,100 Mesa Air Group, Inc.(a) 80,800
7,800 Offshore Logistics, Inc.(a) 97,013
7,200 Pittston BAX Group 62,550
8,600 Skywest, Inc. 232,738
---------------
1,195,851
---------------
TRANSPORTATION EQUIPMENT (2.4%)
8,400 A. O. Smith Corp. 208,950
9,800 AAR Corp. 247,450
9,900 Arctic Cat, Inc. 103,950
8,200 BE Aerospace, Inc.(a) 194,750
8,700 Clarcor, Inc. 163,669
10,200 Halter Marine Group, Inc.(a) 70,763
4,300 Huffy Corp. 62,350
15,700 JLG Industries, Inc. 258,069
13,000 Orbital Sciences Corp.(a) 497,250
9,200 Polaris Industries, Inc. 320,850
7,400 Regal-Beloit Corp. 185,000
6,500 Simpson Industries, Inc. 68,250
4,500 Spartan Motors, Inc. 28,688
4,700 Standard Motor Products, Inc. 107,219
4,300 Thor Industries, Inc. 102,663
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
54
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
TRANSPORTATION EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
8,100 Wabash National Corp. $ 151,875
8,200 Winnebago Industies, Inc. 98,400
---------------
2,870,146
---------------
TRANSPORTATION SERVICES (0.6%)
12,300 Air Express International Corp. 273,675
8,700 Expeditors International of Washington,
Inc. 334,950
12,700 Fritz Companies, Inc.(a) 123,031
---------------
731,656
---------------
WATER TRANSPORTATION (0.1%)
7,500 Kirby Corp.(a) 149,063
---------------
WHOLESALE TRADE--DURABLE GOODS (2.9%)
7,800 Applied Industrial Technologies, Inc. 109,200
7,100 Barnes Group, Inc. 219,656
3,300 Bell Industries, Inc.(a) 34,444
4,400 Building Materials Holding Corp.(a) 54,175
5,000 Castle (A.M.) & Co. 96,250
5,300 Commercial Metals Co. 134,156
4,900 Digi International, Inc.(a) 63,700
1,800 Global Motorsport Group(a) 34,875
9,800 Ha-Lo Industries, Inc.(a) 312,988
8,200 Hughes Supply, Inc. 227,550
5,700 Insight Enterprises, Inc.(a) 240,113
8,400 Kaman Corp., Class A 136,500
9,700 Kent Electronics Corp.(a) 137,619
4,000 Lawson Products, Inc. 92,000
5,900 Marshall Industries(a) 153,400
11,600 Owens & Minor, Inc. Holding Co. 198,650
11,800 Patterson Dental Co.(a) 491,175
9,400 Pioneer-Standard Electronics, Inc.(c) 102,225
6,700 Reliance Steel & Alumuminum Co. 205,188
2,900 Swiss Army Brands, Inc.(a) 30,088
7,500 TBC Corp.(a) 52,500
7,400 Universal Forest Products, Inc. 147,076
4,500 Vital Signs, Inc. 76,500
6,800 Wynn's International, Inc. 150,875
---------------
3,500,903
---------------
WHOLESALE TRADE--NONDURABLE GOODS (1.7%)
11,300 Barrett Resources Corp.(a) 276,144
7,800 Bindley Western Industries, Inc. 301,275
9,000 Caraustar Industries, Inc. 239,063
15,800 DIMON, Inc. 129,363
13,600 Fleming Cos., Inc. 136,850
4,300 LSB Industries, Inc. 14,781
11,800 Men's Wearhouse, Inc.(a)(c) 298,688
6,500 Myers Industries, Inc. 146,250
7,000 NCS HealthCare, Inc.(a) 141,750
4,000 Nash-Finch Co. 58,250
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
WHOLESALE TRADE--NONDURABLE GOODS (continued)
<TABLE>
<C> <S> <C>
16,900 Richfood Holdings, Inc. $ 313,706
---------------
2,056,120
---------------
TOTAL COMMON STOCKS
(COST $135,245,282) 115,909,451
---------------
REPURCHASE AGREEMENT (4.0%)
$ 4,810,392 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98, to be repurchased at
$4,811,127 (cost $4,810,392)(d) 4,810,392
---------------
U.S. TREASURY BILLS (0.3%)
150,000 5.11% yield, 4/29/99 147,335
190,000 3.80% yield, 9/16/99 183,651
---------------
TOTAL U.S. TREASURY BILLS (COST $331,051) 330,986
---------------
TOTAL INVESTMENTS (100%) (COST $140,386,725) $ 121,050,829
---------------
---------------
FINANCIAL FUTURES CONTRACTS(f)
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
POSITION CONTRACTS INDEX GAIN
- --------- --------------- ----------------------------------- -------------
<S> <C> <C> <C>
Long 25 Russell 2000 Index Expiring
December 18, 1998 (notional value
$4,970,625) $ 698,925
</TABLE>
- ---------------------------------------------------------------
SMALL COMPANY STOCK PORTFOLIO
- ---------------------------------------------------------------
COMMON STOCKS (90.8%)
AGRICULTURAL PRODUCTION--LIVESTOCK & ANIMAL SPECIALTIES (2.0%)
135,100 Michael Foods, $ 3,394,387
Inc.
---------------
APPAREL & ACCESSORY STORES (0.5%)
46,675 Claire's 793,475
Stores, Inc.
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (1.8%)
124,975 Oshkosh B'Gosh, 2,999,400
Inc.
---------------
BUSINESS SERVICES (13.4%)
106,900 Acxiom 2,525,512
Corp.(a)(c)
129,300 Ciber, 2,917,331
Inc.(a)(c)
60,400 Computer Task 1,630,800
Group, Inc.
29,600 Envoy 1,180,300
Corp.(a)(c)
65,700 International 1,617,863
Telecommunication
Data Systems,
Inc.(a)
125,550 MAPICS, Inc.(a) 2,440,378
66,500 QuadraMed 1,596,000
Corp.(a)(c)
137,250 Sykes 2,779,313
Enterprises,
Inc.(a)
160,600 Systems & 2,930,950
Computers
Technologies(a)
93,000 True North 2,615,625
Communications,
Inc.
---------------
22,234,072
---------------
CHEMICALS & ALLIED PRODUCTS (1.8%)
71,300 Barr 3,012,425
Laboratories,
Inc.(a)
---------------
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
55
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 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>
COMMUNICATIONS (3.1%)
114,400 COMSAT Corp. $ 4,075,500
48,800 MasTec, Inc.(a) 1,134,600
---------------
5,210,100
---------------
DEPOSITORY INSTITUTIONS (7.4%)
74,900 BancWest Corp. 3,239,425
126,991 Downey Financial Corp. 3,301,766
15,000 GBC Bancorp 373,125
89,800 Webster Financial Corp. 2,491,950
78,700 Westamerica Bancorp(c) 2,843,037
---------------
12,249,303
---------------
EATING & DRINKING PLACES (6.1%)
65,000 CEC Entertainment, Inc.(a) 1,925,625
110,400 CKE Restaurants, Inc. 2,697,900
229,150 Foodmaker, Inc.(a) 4,439,781
161,100 Rainforest Cafe, Inc.(a) 1,117,632
---------------
10,180,938
---------------
ELECTRIC, GAS & SANITARY SERVICES (6.7%)
100,000 AGL Resources, Inc. 2,156,250
39,550 CILCORP, Inc. 2,392,775
215,150 El Paso Electric Co.(a) 1,990,137
55,900 Sierra Pacific Resources 2,012,400
146,964 Stericycle, Inc.(a) 2,626,982
---------------
11,178,544
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (4.2%)
48,075 Harman International Industries, Inc. 2,052,202
212,300 Rayovac Corp.(a) 4,909,437
---------------
6,961,639
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES SERVICES
(2.4%)
146,300 A.C. Nielson Corp.(a)(c) 4,032,394
---------------
FOOD & KINDRED PRODUCTS (2.0%)
38,118 Corn Products International, Inc. 1,069,686
101,300 Fresh Del Monte Produce (a)(c) 2,228,600
---------------
3,298,286
---------------
HEALTH SERVICES (5.7%)
101,900 Access Health, Inc.(a) 3,655,662
151,200 American Retirement Corp.(a)(c) 2,371,950
294,400 Phycor, Inc.(a) 1,803,200
45,900 Trigon Healthcare, Inc.(a) 1,701,169
---------------
9,531,981
---------------
HOLDING & OTHER INVESTMENT OFFICES (1.8%)
276,500 Sunstone Hotel Investors, Inc. 2,937,813
---------------
HOSPITAL SUPPLY (2.3%)
141,200 Maxxim Medical, Inc.(a) 3,847,700
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY STOCK PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (1.0%)
67,781 FelCor Lodging Trust, Inc. $ 1,614,035
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.7%)
74,700 Brooks Automation, Inc.(a) 1,195,200
---------------
INSURANCE CARRIERS (1.3%)
115,200 HCC Insurance Holdings, Inc. 2,138,400
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS: PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.3%)
22,600 Cohu, Inc. 514,150
---------------
MISCELLANEOUS RETAIL (7.0%)
311,500 Cash America International, Inc. 5,256,563
131,600 Guitar Center, Inc.(a)(c) 3,010,350
100,000 Musicland Stores Corp.(a) 1,693,750
156,600 OfficeMax, Inc.(a) 1,663,875
---------------
11,624,538
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (1.0%)
76,000 Swift Transportation, Inc.(a) 1,667,250
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.7%)
177,100 Medallion Financial Corp. 2,745,050
---------------
OIL & GAS EXTRACTION (4.8%)
127,000 Basin Exploration, Inc.(a) 1,476,375
257,100 EEX Corp.(a) 915,919
134,100 Ocean Energy, Inc.(a)(c) 1,089,562
210,900 Tetra Technologies, Inc.(a)(c) 4,428,900
---------------
7,910,756
---------------
PAPER & ALLIED PRODUCTS (2.3%)
193,975 Ivex Packaging Corp.(a) 3,782,513
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (2.8%)
108,950 Valassis Communications, Inc.(a) 4,671,231
---------------
TRANSPORTATION EQUIPMENT (0.5%)
25,900 MotivePower Industries, Inc.(a) 788,331
---------------
WHOLESALE TRADE--DURABLE GOODS (4.9%)
168,000 Keystone Automotive Industries, Inc.(a) 3,202,500
200,300 SCP Pool Corp.(a) 3,104,650
53,300 Henry Schein, Inc.(a) 1,892,150
---------------
8,199,300
---------------
WHOLESALE TRADE--NON-DURABLE GOODS (1.3%)
84,600 United Stationers, Inc.(a) 2,241,900
---------------
TOTAL COMMON STOCKS (COST $139,679,668) 150,955,111
---------------
REPURCHASE AGREEMENT (9.2%)
15,309,274 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98 to be repurchased at
$15,311,613 (cost $15,309,274)(d) 15,309,274
---------------
TOTAL INVESTMENTS (100.0%) (COST $154,988,942) $ 166,264,385
---------------
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
56
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (93.9%)
APPAREL & ACCESSORY STORES (5.1%)
52,270 AnnTaylor Stores Corp.(a)(c) $ 1,721,644
69,390 Intimate Brands, Inc. 1,999,299
72,600 Talbots, Inc.(c) 1,851,300
---------------
5,572,243
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(4.3%)
52,100 Columbia Sportswear Co.(a) 1,159,225
67,920 Nautica Enterprises, Inc.(a) 1,337,175
50,650 Phillips-Van Heusen Corp.(c) 354,550
52,150 Pillowtex Corp.(c) 1,760,062
---------------
4,611,012
---------------
AUTOMOTIVE REPAIR, SERVICES & PARKING (1.5%)
135,360 Rollins Truck Leasing 1,624,320
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (3.9%)
42,600 Centex Corp. 1,520,288
41,910 NVR, Inc.(a) 1,650,206
39,780 Ryland Group, Inc. 1,056,656
---------------
4,227,150
---------------
BUSINESS SERVICES (10.2%)
111,660 Avant! Corp.(a)(c) 1,863,326
67,700 Check Point Software Technologies
Ltd.(a)(c) 2,196,019
93,570 Data Dimensions, Inc.(a)(c) 1,193,018
111,000 Personnel Group of America, Inc.(a)(c) 1,831,500
53,801 Project Software & Development, Inc.(a) 1,620,755
85,700 THQ, Inc.(a)(c) 2,399,600
---------------
11,104,218
---------------
CHEMICALS & ALLIED PRODUCTS (0.9%)
58,000 Twinlab Corp.(a) 964,250
---------------
DEPOSITORY INSTITUTIONS (2.9%)
83,200 FirstFed Financial Corp.(a) 1,476,800
68,660 Flagstar Bancorp, Inc. 1,665,005
---------------
3,141,805
---------------
EATING & DRINKING PLACES (5.0%)
91,750 Foodmaker, Inc.(a) 1,777,656
103,400 Ruby Tuesday, Inc. 1,925,825
86,425 Sonic Corp.(a) 1,696,091
---------------
5,399,572
---------------
ELECTRIC, GAS & SANITARY SERVICES (1.6%)
74,300 Calpine Corp.(a) 1,783,200
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (4.9%)
74,000 C-Cube Microsystems, Inc.(a)(c) 1,937,875
179,260 International Fibercom, Inc.(a) 1,434,080
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
46,060 Teleflex, Inc. $ 1,957,550
---------------
5,329,505
---------------
FABRICATED METAL PRODUCTS (3.3%)
55,980 AptarGroup, Inc. 1,563,941
86,400 Tower Automotive, Inc.(a)(c) 1,965,600
---------------
3,529,541
---------------
FOOD & KINDRED PRODUCTS (1.6%)
35,530 Canandaigua Brands, Inc.(a) 1,767,617
---------------
FURNITURE & FIXTURES (2.8%)
83,340 La-Z-Boy, Inc. 1,395,945
82,240 Winsloew Furniture, Inc.(a) 1,639,660
---------------
3,035,605
---------------
HEALTH SERVICES (1.7%)
104,750 RehabCare Group, Inc.(a)(c) 1,878,953
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (8.2%)
78,710 Detroit Diesel Corp.(a) 1,628,313
57,595 Graco, Inc. 1,598,261
56,920 Kaydon Corp. 2,009,988
50,060 Pentair, Inc. 1,886,636
62,890 Terex Corp.(a) 1,760,920
---------------
8,884,118
---------------
INSURANCE AGENTS, BROKERS & SERVICE (1.6%)
42,610 E.W. Blanch Holdings, Inc. 1,707,063
---------------
INSURANCE CARRIERS (3.1%)
46,394 Fidelity National Financial, Inc. 1,522,303
30,250 LandAmerica Financial Group, Inc. 1,854,703
---------------
3,377,006
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (3.3%)
70,100 CONMED Corp.(a) 1,910,225
81,610 Esterline Technologies Corp.(a) 1,703,609
---------------
3,613,834
---------------
MISCELLANEOUS RETAIL (2.0%)
80,130 Micro Warehouse, Inc.(a) 2,193,559
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (1.6%)
68,950 M.S. Carriers, Inc.(a) 1,689,275
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.5%)
120,100 AmeriCredit Corp.(a)(c) 1,658,881
---------------
OIL & GAS EXTRACTION (1.1%)
81,070 Veritas DGC, Inc.(a) 1,185,649
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (3.0%)
66,300 Big Flower Holdings, Inc.(a) 1,620,206
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
57
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRINTING, PUBLISHING & ALLIED INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
51,360 McClatchy Co. $ 1,688,460
---------------
3,308,666
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (1.9%)
27,680 Lone Star Industries, Inc.(c) 2,095,030
---------------
TRANSPORTATION BY AIR (1.3%)
49,505 Midwest Express Holdings, Inc.(a) 1,373,764
---------------
TRANSPORTATION EQUIPMENT (9.5%)
67,990 A. O. Smith Corp. 1,691,250
39,500 Arvin Industries, Inc. 1,659,000
54,710 BE Aerospace, Inc.(a) 1,299,363
39,160 Cordant Technologies, Inc. 1,573,743
75,420 Monaco Coach Corp.(a) 2,262,600
68,125 Varlen Corp. 1,796,797
---------------
10,282,753
---------------
WHOLESALE TRADE--DURABLE GOODS (1.8%)
134,609 CHS Electronics, Inc.(a)(c) 1,993,896
---------------
WHOLESALE TRADE--NONDURABLE GOODS (4.3%)
82,340 Day Runner, Inc.(a)(c) 1,811,480
56,610 Men's Wearhouse, Inc.(a)(c) 1,432,941
51,400 United Stationers, Inc.(a) 1,362,100
---------------
4,606,521
---------------
TOTAL COMMON STOCKS (COST $97,945,170) 101,939,006
---------------
REPURCHASE AGREEMENT (6.1%)
6,586,078 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98 to be repurchased at
$6,587,084 (cost $6,586,078)(d) 6,586,078
---------------
TOTAL INVESTMENTS (100.0%) (COST $104,531,248) $ 108,525,084
---------------
---------------
- -----------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (95.3%)
ADMINISTRATION OF ENVIRONMENTAL QUALITY & HOUSING PROGRAMS (1.3%)
141,500 Dames & Moore, Inc. $ 1,812,969
---------------
AEROSPACE (0.7%)
134,900 LMI Aerospace, Inc.(a) 1,028,612
---------------
AMUSEMENT & RECREATION SERVICES (1.1%)
180,819 Station Casinos, Inc.(a) 1,491,757
---------------
APPAREL & ACCESSORY STORES (0.7%)
179,500 Genesco, Inc.(a) 998,469
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (2.7%)
60,227 M/I Schottenstein Homes, Inc. 1,313,701
170,600 Southern Energy Homes, Inc.(a) 1,194,200
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (continued)
<TABLE>
<C> <S> <C>
38,700 U.S. Home Corp.(a) $ 1,233,563
---------------
3,741,464
---------------
BUSINESS SERVICES (4.8%)
4,628 Grey Advertising, Inc. 1,666,080
33,900 InaCom Corp.(a)(c) 703,425
86,000 Norstan, Inc.(a) 1,316,875
65,100 Ogden Corp. 1,729,219
64,464 Symantec Corp.(a) 1,289,280
---------------
6,704,879
---------------
CHEMICALS & ALLIED PRODUCTS (0.9%)
81,400 Mississippi Chemical Corp. 1,282,050
---------------
DEPOSITORY INSTITUTIONS (14.4%)
52,500 Andover Bancorp, Inc. 1,686,562
40,700 Astoria Financial Corp. 1,831,500
53,691 Banknorth Group, Inc. 1,791,937
63,041 BSB Bancorp, Inc. 1,812,429
63,875 Commercial Federal Corp. 1,465,133
99,400 Commonwealth Bancorp, Inc. 1,515,850
56,374 Community Bank System, Inc. 1,641,893
18,100 First Citizens BancShares, Inc. 1,547,550
63,400 First Republic Bank(a) 1,636,512
103,400 FirstFed Financial Corp.(a) 1,835,350
88,711 Medford Bancorp, Inc. 1,596,798
63,100 Webster Financial Corp. 1,751,025
---------------
20,112,539
---------------
EATING & DRINKING PLACES (2.4%)
133,100 Piccadilly Cafeterias, Inc. 1,422,506
164,800 Ryan's Family Steak Houses, Inc.(a) 1,874,600
---------------
3,297,106
---------------
ELECTRIC, GAS & SANITARY SERVICES (9.7%)
36,800 BEC Energy 1,518,000
73,875 Calpine Corp.(a) 1,773,000
101,900 Central Vermont Public Service 1,063,581
26,900 CILCORP, Inc. 1,627,450
163,700 El Paso Electric Co.(a) 1,514,225
76,600 Public Service Co. of New Mexico 1,488,913
46,900 Rochester Gas & Electric Corp. 1,442,175
43,500 TNP Enterprises, Inc. 1,653,000
75,200 Washington Water Power Co. 1,377,100
---------------
13,457,444
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (6.6%)
43,100 DuPont Photomasks, Inc.(a)(c) 1,594,700
135,000 HMT Technology Corp.(a)(c) 1,535,625
44,700 Harman International Industries, Inc. 1,908,131
114,400 Microsemi Corp.(a) 1,372,800
112,300 Powell Industries, Inc.(a) 1,101,944
166,100 SymmetriCom, Inc.(a) 1,027,744
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
58
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
63,400 VLSI Technology, Inc.(a) $ 725,137
---------------
9,266,081
---------------
FABRICATED METAL PRODUCTS (2.1%)
21,500 Alliant Techsystems, Inc.(a) 1,638,031
78,800 Wyman-Gordon Co.(a)(c) 1,231,250
---------------
2,869,281
---------------
FOOD STORES (1.0%)
113,600 Ingles Markets, Inc. 1,363,200
---------------
GENERAL MERCHANDISE STORES (1.8%)
58,100 Ames Department Stores, Inc.(a) 1,379,875
35,400 Shopko Stores, Inc.(a) 1,141,650
---------------
2,521,525
---------------
HEALTH SERVICES (1.3%)
53,300 Integrated Health Services, Inc.(a)(c) 596,294
313,300 PharMerica Inc.(a) 1,292,363
---------------
1,888,657
---------------
HOLDING & OTHER INVESTMENT OFFICES (1.2%)
172,700 Winston Hotels, Inc. 1,619,062
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.7%)
55,900 Ampco Pittsburgh Corp. 674,294
76,400 Data General Corp.(a) 1,384,750
74,460 Gleason Corp. 1,424,048
48,700 Gradall Industries, Inc.(a) 654,406
40,500 Tractor Supply Co.(a) 1,063,125
---------------
5,200,623
---------------
INSURANCE CARRIERS (10.6%)
94,100 ARM Financial Group, Inc. 2,023,150
82,200 Acceptance Insurance Cos., Inc.(a) 1,618,312
52,500 Farm Family Holdings, Inc.(a) 1,837,500
78,878 Harleysville Group, Inc. 1,695,877
93,100 HCC Insurance Holdings, Inc.(c) 1,728,169
62,100 Nymagic, Inc. 1,304,100
54,499 PXRE Corp. 1,209,197
58,420 The MONY Group, Inc.(a) 1,807,369
48,600 W.R. Berkley Corp. 1,628,100
---------------
14,851,774
---------------
MACHINERY (0.5%)
76,500 Global Industrial Technologies, Inc.(a) 640,687
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (4.9%)
69,000 CONMED Corp.(a) 1,880,250
75,800 Cooper Cos., Inc. 1,610,750
21,106 Empi, Inc.(a) 476,204
108,800 Respironics, Inc.(a) 2,053,600
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL
GOODS (continued)
<TABLE>
<C> <S> <C>
34,300 Tech-Sym Corp.(a) $ 859,644
---------------
6,880,448
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.4%)
74,500 Associated Materials Inc.(a) 819,500
45,287 K2, Inc. 515,140
---------------
1,334,640
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (1.1%)
56,900 USFreightways Corp. 1,529,187
---------------
OIL & GAS EXTRACTION (2.5%)
112,440 Key Energy Group, Inc.(a) 702,750
91,062 Marine Drilling Co., Inc.(a) 791,101
103,600 Pride International, Inc.(a) 783,475
24,300 SEACOR SMIT, Inc.(a)(c) 1,160,325
---------------
3,437,651
---------------
PAPER & ALLIED PRODUCTS (0.7%)
70,800 FiberMark, Inc.(a) 915,975
---------------
PERSONAL SERVICES (0.9%)
71,672 Angelica Corp. 1,303,534
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (0.7%)
76,050 Tesoro Petroleum Corp.(a) 1,012,416
---------------
PRIMARY METAL INDUSTRIES (6.8%)
67,900 AK Steel Holding Corp. 1,302,831
76,000 Belden, Inc. 1,282,500
25,600 Carpenter Technology Corp. 904,000
73,650 Chase Industries, Inc.(a) 860,784
91,500 Intermet Corp. 1,252,406
85,400 Lone Star Technologies, Inc.(a) 832,650
133,100 National Steel Corp. 973,294
68,300 RTI International Metals, Inc.(a)(c) 1,028,769
38,400 Texas Industries, Inc. 1,111,200
---------------
9,548,434
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (1.1%)
79,200 Bowne & Co., Inc. 1,326,600
13,361 Gibson Greetings, Inc.(a) 146,971
---------------
1,473,571
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (1.0%)
107,500 Ragen Mackenzie Group, Inc.(a) 1,363,906
---------------
TEXTILE MILL PRODUCTS (1.3%)
67,222 Burlington Industries, Inc.(a) 701,630
39,700 Oxford Industries, Inc. 1,146,338
---------------
1,847,968
---------------
TRANSPORTATION BY AIR (1.9%)
59,600 Airborne Freight Corp. 1,590,575
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
59
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
TRANSPORTATION BY AIR (continued)
<TABLE>
<C> <S> <C>
72,700 America West Airlines, Inc.(a) $ 1,026,887
---------------
2,617,462
---------------
TRANSPORTATION EQUIPMENT (1.0%)
17,538 Huffy Corp. 254,301
75,700 Johnstown America Industries, Inc.(a) 1,168,619
---------------
1,422,920
---------------
WHOLESALE TRADE--DURABLE GOODS (0.7%)
38,400 Commercial Metals Co. 972,000
---------------
WHOLESALE TRADE--NONDURABLE GOODS (2.8%)
78,400 Nash-Finch Co. 1,141,700
63,100 Performance Food Group Co.(a) 1,545,950
147,100 Standard Commercial Corp. 1,195,188
---------------
3,882,838
---------------
TOTAL COMMON STOCKS (COST $138,105,468) 133,691,129
---------------
REPURCHASE AGREEMENT (4.7%)
6,562,787 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98, to be repurchased at
$6,563,790 (cost $6,562,787)(d) 6,562,787
---------------
TOTAL INVESTMENTS (100.0%) (COST $144,668,255) $ 140,253,916
---------------
---------------
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCKS (92.8%)
AGRICULTURAL PRODUCTION--CROPS (0.9%)
587,700 Chiquita Brands International, Inc. $ 6,611,625
---------------
AMUSEMENT & RECREATION SERVICES (0.8%)
294,600 Family Golf Centers, Inc. (a) 6,057,713
---------------
APPAREL & ACCESSORY STORES (1.4%)
288,900 Goody's Family Clothing (a) 3,250,125
273,600 Just For Feet, Inc. (a) 6,190,200
55,000 Pacific Sunwear of California (a) 814,688
---------------
10,255,013
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(3.9%)
478,400 Nautica Enterprises, Inc.(a) 9,418,500
249,400 Tommy Hilfiger Corp.(a) 15,088,700
242,700 Brown Group, Inc. 4,353,431
---------------
28,860,631
---------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (1.0%)
272,400 CSK Auto Corp.(a) 7,593,150
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE
BUILDERS (0.4%)
279,600 Fairfield Communities, Inc.(a) 3,023,175
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (0.7%)
332,100 Central Garden & Pet Co.(a) $ 5,344,751
---------------
BUSINESS SERVICES (8.7%)
367,600 ABR Information Services(a) 6,249,200
164,400 Adobe Systems, Inc. 7,356,900
187,300 Avant! Corp.(a) 3,125,569
61,300 Engineering Animation, Inc.(a) 2,398,362
218,000 QuadraMed Corp.(a) 5,232,000
333,500 Rental Service Corp.(a) 7,066,030
309,600 Snyder Communications, Inc.(a) 11,010,150
316,900 Synopsys, Inc.(a) 15,013,138
178,100 Visio Corp.(a) 6,300,288
---------------
63,751,637
---------------
CHEMICALS & ALLIED PRODUCTS (13.2%)
194,700 Agouron Pharmaceuticals, Inc.(a) 8,493,788
514,400 Alkermes, Inc.(a) 9,452,100
218,300 Barr Laboratories, Inc.(a) 9,223,175
236,600 Biovail Corp. International(a) 8,044,400
391,300 Genzyme Corp.(a) 16,459,055
42,280 Genzyme-Molecular Oncolgy(a) 147,980
130,000 Idexx Laboratories, Inc.(a) 3,380,000
272,000 Millennium Pharmaceutical, Inc.(a) 5,542,000
343,000 NBTY, Inc. 2,100,875
100,000 Parexel International Corp.(a) 2,606,250
45,000 Protein Design Labs, Inc.(a) 990,000
178,000 Sepracor, Inc.(a) 14,774,000
356,000 Teva Pharmaceutical Industries Ltd. 15,486,000
18,800 Twinlab Corp.(a) 312,550
---------------
97,012,173
---------------
COMMUNICATIONS (3.1%)
418,300 Amdocs Ltd.(a) 6,431,363
181,500 Globalstar Telecommunication Ltd.(a) 3,584,625
710,000 Western Wireless Corp.(a) 12,868,750
---------------
22,884,738
---------------
DOMESTIC DEPOSITORY INSTITUTIONS (2.3%)
810,700 Independence Community Bank 11,451,137
260,200 Riggs National Corp. 5,464,200
---------------
16,915,337
---------------
EATING & DRINKING PLACES (3.3%)
339,300 Avado Brands, Inc. 2,608,369
573,100 Buffets, Inc.(a) 6,733,925
87,900 CEC Entertainment, Inc.(a) 2,604,037
621,400 Foodmaker, Inc.(a) 12,039,625
---------------
23,985,956
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (10.1%)
703,600 Adaptec, Inc.(a) 11,433,500
164,600 American Power Conversion Corp.(a) 6,810,325
903,400 Cabletron Systems, Inc.(a) 12,647,600
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
60
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
163,100 Discreet Logic, Inc.(a) $ 2,568,825
183,100 Micrel, Inc.(a) 7,426,994
283,400 Microchip Technology, Inc.(a) 9,865,862
42,500 PMC-Sierra, Inc.(a) 2,289,687
180,900 Pinnacle Systems, Inc.(a) 6,105,375
293,700 Xilinx, Inc.(a) 14,905,275
---------------
74,053,443
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.9%)
160,700 Metzler Group, Inc.(a) 6,669,050
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(1.9%)
619,400 Tower Automotive, Inc.(a) 14,091,350
---------------
FOOD & KINDRED PRODUCTS (0.6%)
165,200 American Italian Pasta Co.(a) 4,171,300
---------------
FURNITURE & FIXTURES (0.5%)
151,500 Furniture Brands International, Inc.(a) 3,853,781
---------------
HEALTH SERVICES (2.0%)
378,800 American Retirement Corp.(a) 5,942,425
161,600 Curative Health Services, Inc.(a) 4,646,000
257,100 Quorum Health Group, Inc.(a) 4,274,288
---------------
14,862,713
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.2%)
79,900 Johns Manville Corp. 1,153,556
---------------
HOSPITAL SUPPLY (0.9%)
229,300 Maxxim Medical, Inc.(a) 6,248,425
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.6%)
288,000 Data General Corp.(a) 5,220,000
358,200 Maxtor Corp.(a) 4,947,638
414,900 Pentair, Inc. 15,636,543
201,900 Seagate Technology, Inc.(a) 5,956,050
139,800 SPS Technologies, Inc.(a) 8,003,550
203,100 Tech Data Corp.(a) 8,174,775
---------------
47,938,556
---------------
INSURANCE CARRIERS (2.8%)
129,300 Annuity and Life Reinsurance (Holdings)
Ltd. 3,280,987
124,500 CMAC Investment Corp. 6,007,125
202,000 Everest Reinsurance Holdings, Inc. 7,587,625
294,000 Scottish Annuity & Life Holdings Ltd.(a) 3,711,750
---------------
20,587,487
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS: PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (1.9%)
523,500 Steris Corp.(a) 14,036,343
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
MISCELLANEOUS RETAIL (3.2%)
435,400 Borders Group, Inc.(a) $ 10,558,450
135,900 DM Management Co.(a) 1,987,538
1,234,500 Petsmart, Inc.(a) 10,570,406
---------------
23,116,394
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (2.1%)
304,150 Swift Transportation Co., Inc.(a) 6,672,291
311,800 USFreightways Corp. 8,379,625
---------------
15,051,916
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.5%)
403,500 American Capital Strategies Ltd.(a) 6,153,375
244,900 Capital Automotive 3,275,538
329,900 Heller Financial, Inc. 8,639,256
---------------
18,068,169
---------------
PAPER & ALLIED PRODUCTS (0.7%)
272,900 Ivex Packaging Corp. 5,321,550
---------------
OIL & GAS EXTRACTION (2.4%)
327,100 Apache Corp. 7,523,300
328,200 Core Laboratories N.V.(a) 6,215,288
420,200 Stolt Comex Seaway S.A.(a) 3,545,438
---------------
17,284,026
---------------
PRIMARY METAL INDUSTRIES (1.0%)
365,650 General Cable Corp. 6,947,350
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (1.8%)
310,700 Valassis Communications, Inc. 13,321,263
---------------
REAL ESTATE (2.6%)
431,200 Intrawest Corp. 6,926,150
428,300 Newhall Land & Farming Co. 11,751,481
---------------
18,677,631
---------------
TRANSPORTATION BY AIR (0.8%)
209,400 Skywest, Inc. 5,666,888
---------------
TRANSPORTATION EQUIPMENT (4.4%)
458,650 AAR Corp. 11,580,913
341,200 Gulfstream Aerospace Corp.(a) 17,529,150
135,200 Superior Industries International 3,515,200
---------------
32,625,263
---------------
WATER TRANSPORTATION (1.0%)
215,300 Sea Containers Ltd. 6,997,250
---------------
WHOLESALE TRADE--DURABLE GOODS (2.2%)
225,700 HA-LO Industries, Inc.(a) 7,208,294
128,800 Metals USA, Inc.(a) 1,199,450
246,300 Reliance Steel & Aluminum Co. 7,542,937
---------------
15,950,681
---------------
TOTAL COMMON STOCKS (COST $579,411,387) 678,990,284
---------------
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
61
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
WARRANTS (0.3%)
437,000 Golden State Bancorp Litigation
Warrant(a) (cost $2,489,951) $ 1,993,813
---------------
REPURCHASE AGREEMENT (6.9%)
50,292,318 NationsBanc Montgomery Securities, Inc.,
5.50%, 12/1/98 to be repurchased at
$50,299,897 (cost $50,292,318)(d) 50,292,318
---------------
TOTAL INVESTMENTS (100%) (COST $632,193,655) $ 731,276,415
---------------
---------------
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO
- -----------------------------------------------------------------
STOCKS & WARRANTS (94.5)
BELGIUM (2.0%)
COMMON STOCKS
44,520 Electrafina SA $ 5,869,648
47,390 Grupo Bruxelles Lambert(c) 8,923,826
61,490 KBC Bancassurance Holding(c) 4,414,802
---------------
19,208,276
---------------
DENMARK (2.6%)
COMMON STOCKS
73,100 Den Danske Bank Group 9,438,861
232,650 International Service System A/S 15,382,118
---------------
24,820,979
---------------
FRANCE (18.0%)
COMMON STOCKS
36,390 Accor SA 8,020,789
25,960 Air Liquide 4,426,457
69,930 Alcatel Alsthom 9,272,704
83,720 AXA 10,850,296
59,390 Bouygues SA 11,100,543
61,900 Canal Plus 14,265,641
98,380 Etablissements Economiques du Casino
Guichard-Perrachon SA 9,367,541
126,545 Elf Aquitaine 15,820,356
183,724 France Telecom SA 12,796,406
53,780 Groupe Danone 15,741,783
58,750 Lafarge SA 5,552,617
26,150 Sanofi SA 4,680,182
105,880 Suez Lyonnaise des Eaux 20,966,152
70,460 Total SA-B 8,759,046
82,398 Vivendi 18,684,552
---------------
170,305,065
---------------
WARRANTS
55,391 Cie Generale Des Eaux(a) 112,321
---------------
170,417,386
---------------
GERMANY (5.8%)
COMMON STOCKS
301,080 Bayer AG 12,393,641
108,228 DaimlerChrysler AG(a)(c) 10,382,440
231,540 Hoechst AG 9,969,311
170,200 Mannesmann AG 18,471,552
62,480 Veba AG 3,473,575
---------------
54,690,519
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- -----------------------------------------------------------------
IRELAND (2.1%)
COMMON STOCKS
405,840 Bank of Ireland $ 8,346,937
163,450 Elan Corp plc--ADR(a)(c) 11,135,031
---------------
19,481,968
---------------
ITALY (7.2%)
COMMON STOCKS
200,750 Assicurazioni Generali 7,518,457
8,665,350 Banca di Roma(a)(c) 15,036,192
1,759,850 ENI SpA 10,948,145
980,450 Italgas SpA(c) 4,860,815
1,554,610 Olivetti SpA(a) 4,085,825
1,455,350 Telecom Italia Mobile SpA 9,562,374
1,958,472 Telecom Italia SpA(c) 15,915,547
---------------
67,927,355
---------------
JAPAN (14.8%)
COMMON STOCKS
336,000 Amada Metrecs Co. Ltd. 1,579,954
258,000 Arcland Sakamoto(c) 1,889,034
630,000 Asahi Bank Ltd. 2,408,884
274,000 Bridgestone Corp. 6,419,785
265,650 Credit Saison Co. Ltd.(c) 6,072,864
239,000 Dai-Dan Co. Ltd. 1,555,483
1,122,000 Dai-Tokyo Fire & Marine Insurance Co.
Ltd. 3,705,923
319,000 Daiwa House Industry Co. Ltd. 3,386,715
847 East Japan Railway Co.(c) 4,926,822
151,000 Fuji Photo Film Co. 5,650,830
667,000 Hanshin Electric Railway Co. Ltd. 2,029,434
952,000 Hitachi Ltd. 5,738,952
79,000 Ito-Yokado Co. Ltd. 4,833,062
314,000 Japan Airport Terminal Co. Ltd. 1,708,965
452,000 Matsushita Electric Industrial Co.
Ltd.(c) 7,280,833
69,100 Meiko Shokai 1,068,093
506,000 Mitsubishi Corp. 3,252,034
880,000 Mitsui & Co. Ltd.(c) 5,032,867
230,000 Mitsui Fudosan Co. Ltd. 1,766,352
181,000 Murata Manufacturing Co. Ltd. 7,097,462
69,600 Nagaileben Co. Ltd.(c) 1,240,026
70,000 Nitto Denko Corp.(c) 1,038,155
260,000 Nomura Securities Co. Ltd. 2,531,891
137 NTT Mobile Communications Network, Inc. 5,238,366
556,000 Oji Paper Co. Ltd.(c) 2,501,367
263,000 Omron Corp. 3,145,216
51,000 Rohm Co. Ltd. 4,315,002
31,300 SMC Corp.(c) 2,340,116
64,000 Secom Co. Ltd. 4,743,248
337,000 Showa Shell Sekiyu 1,965,742
60,000 Sony Corp. 4,397,982
2,386,000 Sumitomo Metal Industries(c) 2,853,417
231,000 Takeda Chemical Industries 7,798,975
38,500 Toho Co. Ltd. 4,591,686
324,000 Tokio Marine & Fire Insurance Co. Ltd. 3,663,846
547,000 Toppan Printing Co. Ltd. 6,497,071
170,000 Toyota Motor Corp. 4,315,002
---------------
140,581,456
---------------
NETHERLANDS (6.7%)
COMMON STOCKS
401,000 Elsevier NV 5,279,083
353,125 Heineken NV 17,984,075
393,152 Koninklijke Ahold NV(c) 13,671,445
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
62
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONCLUDED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
NETHERLANDS (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
117,091 Oce NV $ 4,126,988
135,230 Philips Electronics NV 8,582,204
545,000 TNT Post Group NV 13,749,345
---------------
63,393,140
---------------
PORTUGAL (0.4%)
COMMON STOCKS
177,750 Semapa--Sociedade de Investimento e
Gestao SGPS SA 3,659,451
---------------
SINGAPORE (0.9%)
COMMON STOCKS
639,000 City Developments Ltd.(c) 3,045,628
391,200 Development Bank of Singapore Ltd.(a)(c) 2,969,035
223,828 Singapore Press Holdings Ltd. 2,378,257
---------------
8,392,920
---------------
SPAIN (3.1%)
COMMON STOCKS
132,000 Centros Comerciales Pryca SA 3,160,551
1,020,075 Endesa SA 26,692,955
---------------
29,853,506
---------------
SWEDEN (1.9%)
COMMON STOCKS
122,200 Atlas Copco AB 2,688,777
75,350 Atlas Copco AB, A Shares 1,722,949
276,400 Securitas AB, B Shares 4,122,576
344,650 Telefonaktiebolaget LM Ericsson, B
Shares 9,601,344
---------------
18,135,646
---------------
SWITZERLAND (10.2%)
COMMON STOCKS
6,380 ABB AG 7,964,111
4,790 Nestle SA 9,982,752
19,048 Novartis AG 35,864,720
1,273 Roche Holding AG 15,003,378
4,940 Schweizerische Rueckversicherungs-
Gesellschaft 12,524,844
52,380 UBS AG 15,809,989
---------------
97,149,794
---------------
UNITED KINGDOM (18.8%)
COMMON STOCKS
1,131,900 Airtours plc 7,754,019
957,370 Allied Domecq plc 8,154,555
1,462,000 ASDA Group plc 3,801,007
522,200 British Airways plc 3,534,203
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
UNITED KINGDOM (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
271,000 British American Tobacco plc $ 2,486,105
708,300 British Energy plc 7,564,709
515,380 British Land Co. plc 4,440,878
656,050 British Petroleum Co. plc 10,233,860
1,121,600 British Sky Broadcasting Group plc 9,275,695
669,480 British Telecommunications plc 9,177,998
722,700 Cable & Wireless plc 9,185,853
252,632 COLT Telecom Group plc(a) 3,302,815
1,645,800 David S. Smith Holdings plc 3,185,376
267,000 De La Rue plc 780,109
951,030 Electrocomponents plc 6,750,461
360,000 EMI Group plc 2,145,262
429,600 Enterprise Oil plc 2,361,453
47,342 Garban plc(a) 185,212
376,420 Glaxo Wellcome plc 11,911,475
369,600 Great Universal Stores plc 3,846,695
15,000 Johnson Matthey plc 102,076
699,710 Lloyds TSB Group plc 9,731,028
1,534,000 LucasVarity plc 5,266,953
963,810 Marks & Spencer plc 6,554,799
1,263,900 MFI Furniture Group plc 725,000
3,229,400 Pilkington Brothers plc 3,465,021
401,100 Reuters Group plc 3,876,594
2,059,450 Rolls-Royce plc(a) 8,328,908
53,000 Standard Chartered plc 563,420
371,405 Tibbett & Britten Group plc 1,900,554
473,424 United News & Media plc 4,575,598
1,069,181 Vodafone Group plc 15,795,923
535,476 Williams Holdings plc 3,314,683
99,000 Zeneca Group plc 4,118,191
---------------
178,396,488
---------------
TOTAL STOCKS & WARRANTS (COST $795,603,377) 896,108,884
---------------
CASH MANAGEMENT ACCOUNTS (5.5%)
51,776,184 Treasury Fund (cost $51,776,184) 51,776,184
---------------
TOTAL INVESTMENTS (100.0%) (COST $847,379,560) $ 947,885,068
---------------
---------------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACT
CONTRACTS TO SELL
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION UNDERLYING FACE UNREALIZED
DATE CURRENCY UNITS AMOUNT OF VALUE APPRECIATION
- ---------- ------------- ------------ --------------- ------------
<C> <S> <C> <C> <C>
British
12/17/98 Pounds 30,570,000 $ 50,443,557 $ 826,817
12/18/98 Japanese Yen 7,414,510,000 60,457,914 (4,064,662)
--------------- ------------
$ 110,901,471 $(3,237,845)
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
63
<PAGE>
NOTES TO SCHEDULES OF INVESTMENTS (UNAUDITED) NOVEMBER 30, 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 November 30, 1998.
(c) Part or all of this investment is on loan. See Note 6 of Notes to Financial
Statements.
(d) The Portfolios have invested in a joint repurchase agreement. The following
represents the collateral on the NationsBanc Montgomery Securities, Inc.
joint repurchase agreement: Collateralized by $299,020,439 FNMA Discount
Notes, 6.00%, 10/1/13; with a total market value of $294,799,171.
(e) At November 30, 1998, $785,000 of U.S. Treasury Bills, 4/29/99, with a
market value of $771,053 and $1,450,000 of U.S. Treasury Bills, 9/16/99,
with a market value of $1,401,541, were pledged to cover margin requirements
for open futures contracts.
(f) At November 30, 1998, $150,000 of U.S. Treasury Bills, 4/29/99, with a
market value of $147,335 and $190,000 of U.S. Treasury Bills, 9/16/99, with
a market value of $183,651, were pledged to cover margin requirements for
open futures contracts.
ABBREVIATIONS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
AMBAC American Municipal Bond Assurance Corporation
BIG Bond Insurance Group
C/O Crossover refunding
COLL Collateralized
COP Certificate of Participation
DOT Department of Transportation
EDA Economic Development Authority
EFA Education Finance Authority
ETM Escrowed to Maturity
FAMC Federal Agricultural Mortgage Corporation
FFCB Federal Farm Credit Bank
FGIC Financial Guaranty Insurance Company
FHA Federal Housing Authority
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
FSA Financial Security Assurance, Inc.
GNMA Government National Mortgage Association
GO General Obligation
HEFA Higher Education Facilities Authority
HEHFA Higher Education & Health Facilities Authority
HFA Housing Finance Authority
HRA Housing & Redevelopment Authority
HUD Department of Housing and Urban Development
IDA Industrial Development Authority
ISD Independent School District
LOC Letter of Credit
MBIA Municipal Bond Insurance Association
MFHR Multi Family Housing Revenue
PCR Pollution Control Revenue
PFA Public Finance Authority
PILOT Payment in Lieu of Taxes
P/R Prerefunded
RV Revenue Bonds
SCEP State Credit Enhancement Program
SD School District
SFM Single Family Mortgage
SLMA Student Loan Marketing Association
TVA Tennessee Valley Authority
USG United States Government
UTGO Unlimited Tax General Obligation
VA Veterans' Administration
V/R Variable rate
</TABLE>
See Notes to Schedules of Investments and Notes to Financial Statements
CORE TRUST (DELAWARE)
64
<PAGE>
SCHRODER CAPITAL FUNDS
SEMI-ANNUAL REPORT
NOVEMBER 30, 1998
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
SCHRODER GLOBAL GROWTH PORTFOLIO
SCHRODER EM CORE PORTFOLIO
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) NOVEMBER 30, 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........................... $305,413,979 $2,849,179 $ 11,052,557
Net unrealized appreciation (depreciation).... 15,224,750 247,439 (68,590)
------------- ----------- ------------
TOTAL INVESTMENTS AT VALUE...................... 320,638,729 3,096,618 10,983,967
Cash (Note 2)................................... 10,388 410,429 446,265
Receivable for investments sold................. 107,103 - 141,083
Receivable from administrator (Notes 3 and 6)... - 51,030 34,535
Receivable for dividends, tax reclaims and
interest...................................... 120,178 9,397 61,274
Organization costs, net of amortization (Note
2)............................................ 13,568 754 762
------------- ----------- ------------
TOTAL ASSETS...................................... 320,889,966 3,568,228 11,667,886
------------- ----------- ------------
LIABILITIES
Payable for investments purchased............... 3,959,211 4,448 110,724
Payable for Fund shares redeemed................ - 29 -
Payable for forward foreign currency contracts
(Note 2)...................................... - 11,739 16,858
Payable to investment adviser (Note 3).......... 154,161 - -
Payable to other related parties (Note 3)....... 19,270 211 708
Accrued expenses and other liabilities.......... 82,443 51,124 36,025
------------- ----------- ------------
TOTAL LIABILITIES................................. 4,215,085 67,551 164,315
------------- ----------- ------------
NET ASSETS........................................ $316,674,881 $3,500,677 $ 11,503,571
------------- ----------- ------------
------------- ----------- ------------
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
66
<PAGE>
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED NOVEMBER 30,
1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHRODER U.S.
SMALLER SCHRODER SCHRODER
COMPANIES GLOBAL GROWTH EM CORE
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividend income (a)................... $ 890,763 $ 20,875 $ 98,853
Interest income....................... 471,276 15,419 50,611
------------- ------------- -------------
TOTAL INVESTMENT INCOME............... 1,362,039 36,294 149,464
------------- ------------- -------------
EXPENSES
Advisory (Note 3)..................... 970,320 8,314 63,973
Administration (Note 3)............... - 2,494 6,397
Subadministration (Note 3)............ 121,290 12,500 12,500
Interestholder recordkeeping (Note
3).................................. 6,063 6,050 6,125
Custody............................... 18,233 11,074 55,750
Accounting (Note 3)................... 25,000 30,000 37,000
Legal................................. 28,830 604 1,604
Audit................................. 29,697 11,139 14,204
Trustees' fees........................ 15,584 151 758
Pricing services...................... 3,622 4,662 6,646
Amortization of organization costs
(Note 2)............................ 2,509 97 97
Miscellaneous......................... 11,134 140 446
------------- ------------- -------------
TOTAL EXPENSES........................ 1,232,282 87,225 205,500
Fees waived and expenses reimbursed
(Note 6)........................... - (73,090) (112,607)
------------- ------------- -------------
NET EXPENSES.......................... 1,232,282 14,135 92,893
------------- ------------- -------------
NET INVESTMENT INCOME (LOSS).......... 129,757 22,159 56,571
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on
Securities.......................... (34,243,369) (116,064) (4,836,204)
Foreign currency transactions....... - (672) (41,171)
------------- ------------- -------------
Net Realized Gain (Loss) on
Investments...................... (34,243,369) (116,736) (4,877,375)
Net Change in Unrealized Appreciation
(Depreciation) on
Securities.......................... (24,065,749) 12,384 2,261,068
Foreign currency transactions....... - 342 (25)
------------- ------------- -------------
Net Change in Unrealized
Appreciation (Depreciation) on
Investments...................... (24,065,749) 12,726 2,261,043
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS......................... (58,309,118) (104,010) (2,616,332)
------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.............. $(58,179,361) $ (81,851) $ (2,559,761)
------------- ------------- -------------
------------- ------------- -------------
(a) Net of foreign withholding taxes
of..................................... $ - $ 3,200 $ 6,907
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
67
<PAGE>
FOR THE PERIOD ENDED MAY 31, 1998 (A) AND
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) THE SIX MONTHS ENDED NOVEMBER
30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHRODER U.S. SCHRODER
SMALLER COMPANIES GLOBAL GROWTH
PORTFOLIO PORTFOLIO
------------------- ---------------
<S> <C> <C>
NET ASSETS, MAY 31, 1997............................................................. $ 103,385,258 $ -
------------------- ---------------
OPERATIONS
Net investment income (loss)....................................................... 234,568 19,344
Net realized gain (loss) on investments sold....................................... 6,355,034 (30,332)
Net change in unrealized appreciation (depreciation) on 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 interest........ 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
------------------- ---------------
OPERATIONS
Net investment income (loss)....................................................... 129,757 22,159
Net realized gain (loss) on investments sold....................................... (34,243,369) (116,736)
Net change in unrealized appreciation (depreciation) on investments................ (24,065,749) 12,726
------------------- ---------------
Net increase (decrease) in net assets resulting from operations.................... (58,179,361) (81,851)
------------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions...................................................................... 51,966,693 481,882
Withdrawals........................................................................ (32,915,872) (61,886)
------------------- ---------------
Net increase (decrease) from transactions in investors' beneficial interest........ 19,050,821 419,996
------------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS................................................ (39,128,540) 338,145
------------------- ---------------
NET ASSETS, NOVEMBER 30, 1998........................................................ $ 316,674,881 $ 3,500,677
------------------- ---------------
------------------- ---------------
(a) Beginning of period.............................................................. Jun 1, 1997 Oct 15, 1997
<CAPTION>
SCHRODER
EM CORE
PORTFOLIO
-------------
<S> <C>
NET ASSETS, MAY 31, 1997............................................................. $ -
-------------
OPERATIONS
Net investment income (loss)....................................................... 210,351
Net realized gain (loss) on investments sold....................................... (518,984)
Net change in unrealized appreciation (depreciation) on 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 interest........ 29,385,230
-------------
NET INCREASE (DECREASE) IN NET ASSETS................................................ 26,730,035
-------------
NET ASSETS, MAY 31, 1998............................................................. 26,730,035
-------------
OPERATIONS
Net investment income (loss)....................................................... 56,571
Net realized gain (loss) on investments sold....................................... (4,877,375)
Net change in unrealized appreciation (depreciation) on investments................ 2,261,043
-------------
Net increase (decrease) in net assets resulting from operations.................... (2,559,761)
-------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions...................................................................... 3,165,981
Withdrawals........................................................................ (15,832,684)
-------------
Net increase (decrease) from transactions in investors' beneficial interest........ (12,666,703)
-------------
NET INCREASE (DECREASE) IN NET ASSETS................................................ (15,226,464)
-------------
NET ASSETS, NOVEMBER 30, 1998........................................................ $11,503,571
-------------
-------------
(a) Beginning of period.............................................................. Oct 30, 1997
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
68
<PAGE>
FINANCIAL HIGHLIGHTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO TO AVERAGE
NET ASSETS (a)
---------------------------------------------
NET
INVESTMENT GROSS PORTFOLIO
INCOME (LOSS) NET EXPENSES EXPENSES TURNOVER RATE
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
- -------------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 0.08% 0.76% 0.76% 67.12%
June 1, 1997 to May 31, 1998.......... 0.10% 0.75% 0.75% 54.98%
November 1, 1996 to May 31, 1997...... 0.22% 0.85% 0.95% 34.45%
August 15, 1996(b) to October 31,
1996................................ 0.50% 0.85% 1.31% 17.30%
SCHRODER GLOBAL GROWTH PORTFOLIO
- -------------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 1.13% 0.85% 5.25% 45.93%
October 15, 1997(b) to May 31, 1998... 1.18% 0.85% 6.81% 13.82%
SCHRODER EM CORE PORTFOLIO
- -------------------------------------------------------------------------------------------------------
June 1, 1998 to November 30, 1998..... 0.88% 1.45% 3.21% 75.15%
October 30, 1997(b) to May 31, 1998... 1.35% 1.45% 2.38% 22.97%
</TABLE>
(a) Annualized.
(b) Commencement of operations.
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
69
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOVEMBER 30, 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 (individually, 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 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 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 mean of the
closing bid and ask prices ("mid-market price"), or if none, the last sale price
on the preceding trading day. Securities traded in over-the-counter markets, or
listed securities for which no trade is reported on the valuation date,
generally 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. As of
November 30, 1998, the Portfolios did not hold a position in fair valued
securities.
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 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 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.
ORGANIZATION 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.
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
SCHRODER CAPITAL FUNDS
70
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED) NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
NOTE 3. INVESTMENT ADVISORY AND OTHER SERVICES (CONTINUED)
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 November 30, 1998 were as
follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------------ ------------------
<S> <C> <C>
Schroder U.S. Smaller Companies
Portfolio.............................. $ 223,677,635 $ 198,576,930
Schroder Global Growth Portfolio........ 1,707,964 1,075,814
Schroder EM Core Portfolio.............. 9,062,966 19,491,649
</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 November 30, 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.............................. $ 305,413,979 $ 38,046,811 $ 22,822,061 $ 15,224,750
Schroder Global Growth Portfolio........ 2,849,179 388,489 141,050 247,439
Schroder EM Core Portfolio.............. 11,052,557 1,486,041 1,554,631 (68,590)
</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.
NOTE 6. WAIVER OF FEES AND REIMBURSEMENT OF EXPENSES
For the period ended November 30, 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........ $ 8,314 $ 2,494 $ 11,252 $ 51,030
Schroder EM Core Portfolio.............. 63,973 6,397 7,702 34,535
</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
71
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) AS OF NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY
SHARES DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
- -----------------------------------------------------------------
COMMON STOCK (94.4%)
BASIC MATERIALS (3.0%)
125,300 Cambrex Corp. $ 3,508,400
69,800 Ferro Corp. 1,950,038
207,400 Ivex Packaging Corp.(a) 4,044,300
---------------
9,502,738
---------------
CAPITAL GOODS/CONSTRUCTION (7.1%)
193,300 Allied Waste Industries, Inc.(a) 3,938,488
118,200 Harsco Corp. 3,826,725
75,800 Hayes Lemmerz International, Inc.(a) 2,387,700
188,200 Mueller Industries, Inc.(a) 4,293,313
1,492,400 Safety Kleen Corp.(a) 5,130,125
148,400 Superior Services, Inc.(a) 2,726,850
---------------
22,303,201
---------------
CONSUMER CYCLICAL (19.0%)
18,400 Action Performance Cos., Inc.(a) 671,600
206,700 Blyth Industries, Inc.(a) 7,014,881
92,500 CEC Entertainment, Inc.(a) 2,740,313
85,200 Department 56, Inc.(a) 2,934,075
352,000 Fairfield Communities, Inc.(a) 3,806,000
115,700 Family Dollar Stores, Inc. 2,321,231
188,550 Fossil, Inc.(a) 5,220,478
254,000 Goody's Family Clothing, Inc. 2,857,500
164,600 Interface, Inc. 2,057,500
113,200 Just For Feet, Inc.(a) 2,561,150
207,000 Musicland Stores Corp.(a) 3,506,063
42,100 Papa Johns International, Inc.(a) 1,765,569
262,800 Pier 1 Imports, Inc. 2,825,100
133,500 Pillowtex Corp. 4,505,625
6,200 Regis Corp. 207,700
148,300 Shopko Stores, Inc.(a) 4,782,675
195,075 Sonic Corp.(a) 3,828,347
113,000 Trans World Entertainment Corp.(a) 2,613,125
130,700 WestPoint Stevens, Inc.(a) 3,921,000
---------------
60,139,932
---------------
CONSUMER STAPLES (9.1%)
98,000 American Italian Pasta Co.(a) 2,474,500
256,300 Aurora Foods, Inc.(a) 5,013,869
38,600 Earthgrains Co. 1,240,025
265,800 Foodmaker, Inc.(a) 5,149,875
86,200 International Home Foods, Inc.(a) 1,691,675
135,900 Keebler Foods Co.(a) 4,578,131
202,700 Richfood Holdings, Inc. 3,762,619
104,300 Suiza Foods Corp.(a) 4,941,213
---------------
28,851,907
---------------
ENERGY (3.9%)
142,200 B.J. Service Co.(a) 1,964,138
81,100 Cooper Cameron Corp.(a) 1,976,812
505,300 El Paso Electric Co.(a) 4,674,025
60,400 Hanover Compressor Co.(a) 1,366,550
133,600 Weatherford International, Inc.(a) 2,438,200
---------------
12,419,725
---------------
<CAPTION>
SECURITY
SHARES DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
FINANCIAL (11.0%)
105,500 Affiliated Managers Group, Inc.(a) $ 2,828,719
149,200 AmerUs Life Holdings, Inc. 3,291,725
88,100 Bank United Corp. 3,865,388
94,775 Commercial Federal Corp. 2,173,902
64,300 Cullen/Frost Bankers, Inc. 3,448,088
111,500 Duff & Phelps Credit Rating Co. 5,811,938
58,400 FBL Financial Group, Inc. 1,430,800
88,400 Fremont General Corp. 4,453,150
143,200 Heller Financial, Inc. 3,750,050
99,950 North Fork BanCorp, Inc. 2,105,197
54,800 Sun Communities, Inc. 1,784,425
---------------
34,943,382
---------------
HEALTH CARE (11.6%)
128,500 ADAC Laboratories(a) 3,341,000
25,000 Amerisource Health Corp.(a) 1,600,000
37,300 Beckman Coulter, Inc. 1,799,725
73,200 Express Scripts, Inc.(a) 4,026,000
109,300 HCR Manor Care, Inc.(a) 3,470,275
200,900 Haemonetics Corp.(a) 4,532,806
77,600 Henry Schein, Inc.(a) 2,754,800
116,200 Invacare Corp. 2,781,538
116,200 Ocular Sciences, Inc.(a) 2,614,500
201,000 PSS World Medical, Inc.(a) 4,170,750
91,700 Pharmaceutical Product Development,
Inc.(a) 2,624,913
121,100 Sybron International Corp.(a) 3,012,362
---------------
36,728,669
---------------
TECHNOLOGY (13.7%)
220,300 Antec Corp.(a) 4,075,550
96,500 Boole & Babbage, Inc.(a) 3,051,813
42,500 Dallas Semiconductor Corp. 1,604,375
172,800 EG&G, Inc. 4,827,600
128,900 Evans & Sutherland Computer Corp.(a) 2,513,550
79,900 INSpire Insurance Solutions, Inc.(a) 2,676,650
65,500 MAPICS, Inc.(a) 1,273,156
61,000 Micros Systems, Inc.(a) 1,738,500
170,900 MicroTouch Systems, Inc.(a) 2,307,150
254,900 Pairgain Technologies, Inc.(a) 2,580,863
89,000 Policy Management Systems Corp.(a) 4,550,125
31 Structural Dynamics Research Corp.(a) 541
29,700 Symbol Technologies, Inc. 1,447,875
66,800 Thomas & Betts Corp. 2,893,275
138,900 Wang Laboratories, Inc.(a) 3,541,950
127,300 Zebra Technologies Corp.(a) 4,272,506
---------------
43,355,479
---------------
TRANSPORTATION/SERVICES/MISCELLANEOUS (16.0%)
93,100 ASA Holdings, Inc. 3,159,581
111,300 Alexandria Real Estate Equities, Inc. 3,436,388
71,300 CNF Transportation, Inc. 2,544,520
56,200 Catalina Marketing Corp.(a) 3,273,650
222,800 Catellus Development Corp.(a) 3,133,125
82,650 Comair Holdings, Inc. 2,531,156
203,300 Group Maintenance America Corp.(a) 2,719,140
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
72
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) AS OF NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY
SHARES DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
COMMON STOCK (continued)
TRANSPORTATION/SERVICES/MISCELLANEOUS (continued)
<TABLE>
<C> <S> <C>
71,600 Jacor Communications, Inc.(a) $ 4,166,225
230,400 Mail-Well, Inc.(a) 2,980,800
160,200 Manufactured Home Communities, Inc. 3,924,900
147,600 Mesaba Holdings, Inc.(a) 2,767,500
83,900 RemedyTemp, Inc.(a) 1,216,550
287,500 School Specialty, Inc.(a) 4,851,555
91,100 True North Communications Inc. 2,562,188
82,700 Valassis Communications, Inc.(a) 3,545,760
128,200 Young & Rubicam, Inc.(a) 3,829,975
---------------
50,643,013
---------------
TOTAL COMMON STOCK
(COST $283,663,296) 298,888,046
---------------
<CAPTION>
PRINCIPAL
AMOUNT
<C> <S> <C>
CASH MANAGEMENT ACCOUNTS (6.9%)
$ 15,107,452 Dreyfus Cash Management 15,107,452
6,643,231 Federated Prime Obligations Fund 6,643,231
---------------
TOTAL CASH MANAGEMENT ACCOUNTS
(COST $21,750,683) 21,750,683
---------------
TOTAL INVESTMENTS (101.3%)
(COST $305,413,979) 320,638,729
OTHER ASSETS LESS LIABILITIES (-1.3%) (3,963,848)
---------------
TOTAL NET ASSETS (100.0%) $ 316,674,881
---------------
---------------
<CAPTION>
FACE/SHARE
AMOUNT
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO
- -----------------------------------------------------------------
BELGIUM (2.6%)
COMMON STOCK
60 Electrabel SA
ENERGY $ 23,216
80 Groupe Bruxelles Lambert SA
FINANCE 15,065
160 KBC Bancassurance Holding
FINANCE 11,488
500 Kinepolis (a)
CONSUMER CYCLICAL 40,843
---------------
90,612
---------------
DENMARK (1.3%)
COMMON STOCK
200 Den Danske Bank Group
FINANCE 25,824
290 International Service System A/S
SERVICES 19,174
---------------
44,998
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
FRANCE (14.3%)
COMMON STOCK
90 Accor SA
SERVICES $ 19,837
70 Air Liquide
MULTI-INDUSTRY 11,936
185 Alcatel Alsthom
CAPITAL EQUIPMENT 24,531
220 AXA
FINANCE 28,512
156 Bouygues SA
SERVICES 29,158
320 Canal Plus
SERVICES 73,747
335 Etablissements Economiques du Casino
Guichard--Perrachon SA
CONSUMER NON-DURABLES 31,897
340 Elf Aquitaine SA
ENERGY 42,506
484 France Telecom SA
SERVICES 33,711
140 Groupe Danone
CONSUMER NON-DURABLES 40,979
160 Lafarge SA
MATERIALS 15,122
70 Sanofi SA
CONSUMER NON-DURABLES 12,528
300 Suez Lyonnaise des Eaux
MULTI-INDUSTRY 59,405
190 Total SA, B Shares
ENERGY 23,619
230 Vivendi
MULTI-INDUSTRY 52,155
---------------
499,643
---------------
GERMANY (4.0%)
COMMON STOCK
280 DaimlerChrysler AG (a)
CONSUMER DURABLES 26,904
1,220 Hoechst AG
MATERIALS 52,529
450 Mannesmann AG
CAPITAL EQUIPMENT 48,838
180 Veba AG
MULTI-INDUSTRY 10,007
---------------
138,278
---------------
ITALY (4.4%)
COMMON STOCK
540 Assicurazioni Generali
FINANCE 20,224
14,150 Banca di Roma (a)
FINANCE 24,553
4,780 ENI SpA
ENERGY 29,737
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
73
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) AS OF NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
ITALY (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
4,150 Olivetti SpA (a)
CONSUMER DURABLES $ 10,907
3,830 Telecom Italia Mobile SpA
SERVICES 25,165
5,150 Telecom Italia SpA
SERVICES 41,852
---------------
152,438
---------------
JAPAN (8.1%)
COMMON STOCK
1,000 Bridgestone Corp.
MATERIALS 23,430
1,000 Credit Saison Co. Ltd.
FINANCE 22,860
1,000 Fuji Photo Film Co.
CAPITAL EQUIPMENT 37,423
1,000 Matsushita Electric Industrial Co. Ltd.
CAPITAL EQUIPMENT 16,108
2,000 Mitsui Fudosan Co. Ltd.
FINANCE 15,360
2 NTT Mobile Communications Network, Inc.
SERVICES 76,473
2,000 Sekisui House Ltd.
SERVICES 19,492
1,000 Takeda Chemical Industries
CONSUMER DURABLES 33,762
4,000 Teijin Ltd.
MATERIALS 14,351
5,000 Yasuda Fire & Marine Insurance Co. Ltd.
SERVICES 23,674
---------------
282,933
---------------
KOREA, REPUBLIC OF (1.0%)
COMMON STOCK
1,000 Daewoo Heavy Industries
CAPITAL EQUIPMENT 3,925
1,281 LG Electronics
CONSUMER DURABLES 12,697
356 Samsung Electronics Co.
CONSUMER DURABLES 19,029
---------------
35,651
---------------
NETHERLANDS (2.7%)
COMMON STOCK
1,044 Koninklijke Ahold NV
CONSUMER NON-DURABLES 36,304
360 Koninklijke (Royal) Philips Electronics
NV
CAPITAL EQUIPMENT 22,847
1,460 TNT Post Group NV
SERVICES 36,833
---------------
95,984
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
SINGAPORE (1.0%)
COMMON STOCK
2,600 Development Bank of Singapore Ltd.(a)
FINANCE $ 19,733
1,397 Singapore Press Holdings Ltd.
SERVICES 14,842
---------------
34,575
---------------
SPAIN (1.5%)
COMMON STOCK
2,010 Endesa SA
ENERGY 52,597
---------------
SWEDEN (1.0%)
COMMON STOCK
520 Atlas Copco AB
CAPITAL EQUIPMENT 11,890
770 Telefonaktiebolaget LM Ericsson "B"
Shares
SERVICES 21,451
---------------
33,341
---------------
SWITZERLAND (7.0%)
COMMON STOCK
20 ABB AG
ENERGY 24,966
11 Nestle SA
CONSUMER NON-DURABLES 22,925
36 Novartis AG
CONSUMER DURABLES 67,783
3 Roche Holding AG
CONSUMER NON-DURABLES 35,358
17 Schweizerische Rueckversicherungs-
Gesellschaft
FINANCE 43,102
176 UBS AG
FINANCE 53,123
---------------
247,257
---------------
UNITED KINGDOM (14.9%)
COMMON STOCK
3,091 Airtours plc
SERVICES 21,175
2,120 Allied Domecq plc
CONSUMER NON-DURABLES 18,057
1,040 British American Tobacco plc
CONSUMER NON-DURABLES 9,541
6,895 British Energy plc
ENERGY 73,639
1,820 British Petroleum Co. plc
ENERGY 28,391
470 British Sky Broadcasting Group plc
SERVICES 3,887
1,860 British Telecommunications plc
SERVICES 25,499
3,590 Cable & Wireless plc
SERVICES 45,631
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
74
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) AS OF NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
UNITED KINGDOM (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
5,730 Electrocomponents plc
CAPITAL EQUIPMENT $ 40,672
4,140 EMI Group plc
CONSUMER NON-DURABLES 24,671
3,570 Enterprise Oil plc
ENERGY 19,624
1,040 Glaxo Wellcome plc
CONSUMER NON-DURABLES 32,910
1,830 Lloyds TSB Group plc
FINANCE 25,450
9,635 LucasVarity plc
CAPITAL EQUIPMENT 33,082
2,220 Marks & Spencer plc
SERVICES 15,098
23,220 Pilkington plc
MATERIALS 24,914
12,644 Rolls-Royce plc (a)
CAPITAL EQUIPMENT 51,135
400 Standard Chartered Bank plc
FINANCE 4,252
595 Zeneca Group plc
CONSUMER DURABLES 24,751
---------------
522,379
---------------
UNITED STATES OF AMERICA (24.7%)
COMMON STOCK
770 Allied Signal, Inc.
CAPITAL EQUIPMENT 33,880
765 Allstate Corp.
SERVICES 31,174
700 American Home Products Corp.
CONSUMER NON-DURABLES 37,275
427 American International Group, Inc.
FINANCE 40,137
425 BankAmerica Corp.
FINANCE 27,736
300 Bristol-Myers Squibb Co.
CONSUMER NON-DURABLES 36,770
652 Cisco Systems, Inc. (a)
CONSUMER DURABLES 49,145
420 Computer Sciences Corp.(a)
SERVICES 23,993
430 Elan Corp. plc--ADR (a)
SERVICES 29,295
733 Federal Home Loan Mortgage Corp.
FINANCE 44,347
625 Gap, Inc.
CONSUMER DURABLES 45,975
380 General Electric Co.
CONSUMER DURABLES 34,390
490 McGraw-Hill Cos., Inc.
SERVICES 43,855
280 Merck & Co., Inc.
CONSUMER NON-DURABLES 43,365
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER GLOBAL GROWTH PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
UNITED STATES OF AMERICA (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
200 Pfizer, Inc.
CONSUMER NON-DURABLES $ 22,325
400 Procter & Gamble Co.
CONSUMER NON-DURABLES 35,050
873 Rite Aid Corp.
CONSUMER NON-DURABLES 40,485
725 Sun Microsystems, Inc. (a)
CONSUMER DURABLES 53,695
510 Textron, Inc.
CAPITAL EQUIPMENT 39,620
375 United Technologies Corp.
CAPITAL EQUIPMENT 40,195
545 Wal-Mart Stores, Inc.
CONSUMER NON-DURABLES 41,040
960 Wells Fargo & Co.
FINANCE 34,560
350 Xerox Corp.
CAPITAL EQUIPMENT 37,625
---------------
865,932
---------------
TOTAL INVESTMENTS (88.5%)
(COST $2,849,179) 3,096,618
OTHER ASSETS LESS LIABILITIES (11.5%) 404,059
---------------
TOTAL NET ASSETS (100.0%) $ 3,500,677
---------------
---------------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
CONTRACTS TO SELL
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT UNDERLYING FACE APPRECIATION/
DATE CURRENCY UNITS AMOUNT OF VALUE (DEPRECIATION)
- --------- ------------- --------- --------------- -------------
<C> <S> <C> <C> <C>
British
12/17/98 Pounds 56,000 $ 92,405 $ 1,521
12/18/98 Japanese Yen 24,851,000 202,635 (13,260)
--------------- -------------
$ 295,040 $ (11,739)
--------------- -------------
</TABLE>
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO
- -----------------------------------------------------------------
ARGENTINA (1.9%)
COMMON STOCK
1,000 Banco Rio De La Plata ADR
FINANCE $ 11,750
2,300 Disco SA ADR (a)
CONSUMER NON-DURABLES 47,581
14,000 Perez Companc SA
ENERGY 73,095
2,900 Telecom Argentina ADR
SERVICES 88,450
---------------
220,876
---------------
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
75
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) AS OF NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
BOTSWANA (0.3%)
COMMON STOCK
26,700 Sechaba Breweries Ltd.
CONSUMER NON-DURABLES $ 33,896
---------------
BRAZIL (12.4%)
COMMON STOCK
9,069 Companhia Energetica de Minas Gerais--
CEMIG ADR
ENERGY 229,565
6,000 Companhia Paranaense de Energia--Copel
Stet.
ENERGY 58,500
868,000 Companhia Paulista de Forca e Luz-CPFL
(a)
ENERGY 82,030
6,000 Companhia Vale do Rio Doce
ENERGY 87,430
2,100 Companhia Vale do Rio Doce
ENERGY 30,600
2,400 Embratel Participacoes SA (a)
SERVICES 38,400
485,000 Telecomunicacaoes do Parana SA--Telepar
SERVICES 100,554
1,000 Telesp Participacoes SA ADR (a)
SERVICES 26,750
1,040,000 Telesp Tel Sao (a)
SERVICES 38,275
PREFERRED STOCK
5,890,000 Banco Bradesco
FINANCE 42,667
50,000 Banco Itau SA
FINANCE 27,893
130,000 Companhia Cervejaria Brahma
CONSUMER NON-DURABLES 70,142
7,600,000 Gerdau SA
MATERIALS 74,671
890,000 Petrol Brasileiro Petrobrasy
ENERGY 126,719
8,940,000 Tele Centro Sul Participacoes SA (a)
SERVICES 104,213
1,690,000 Telecomunicacoes de Sao Paulo SA--Telesp
SERVICES 287,060
---------------
1,425,469
---------------
CHILE (3.5%)
COMMON STOCK
5,700 Banco Santander Chile ADR (a)
FINANCE 72,675
5,200 Chilectra SA ADR
ENERGY 116,457
4,000 Distribucion y Servicio D&S SA ADR
SERVICES 55,500
2,000 Embotella Andina ADR
CONSUMER NON-DURABLES 28,250
1,000 Enersis SA--ADR
ENERGY 23,375
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
CHILE (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
900 Sociedad Quimica y Minera de Chile SA
ADR
MATERIALS $ 34,650
3,300 Quinenco SA ADR
MULTI-INDUSTRY 31,350
1,500 Vina Concha Y Toro ADR
CONSUMER NON-DURABLES 42,188
---------------
404,445
---------------
CHINA (0.9%)
CORPORATE BONDS
70,000 Huaneng Power International, Inc.,
1.75%, 5/21/04
ENERGY 65,975
128,000 Qingling Motors Ltd, 3.50%, 1/22/02
CAPITAL EQUIPMENT 40,960
---------------
106,935
---------------
CZECH REPUBLIC (1.0%)
COMMON STOCK
8,040 SPT Telecom AS (a)
SERVICES 118,630
---------------
EGYPT (2.1%)
COMMON STOCK
13,560 Commercial International Bank GDR
FINANCE 102,717
6,270 Oriental Weavers Co.
CONSUMER DURABLES 134,057
---------------
236,774
---------------
GREECE (7.4%)
COMMON STOCK
1,140 Alpha Credit Bank
FINANCE 108,483
7,440 Hellenic Bottling Co. SA
CONSUMER NON-DURABLES 199,288
6,919 Hellenic Telecommunication Organization
SA
SERVICES 173,137
3,100 Intracom SA
CAPITAL EQUIPMENT 159,518
764 National Bank of Greece SA
FINANCE 137,032
710 Panafon SA (a)
SERVICES 12,762
1,700 STET Hellas Telecommunications SA ADR
(a)
SERVICES 59,075
---------------
849,295
---------------
HONG KONG (3.6%)
COMMON STOCK
18,000 Cheung Kong Infrastructure Holdings
CAPITAL EQUIPMENT 43,123
159,000 China Resources Beijing Land (a)
FINANCE 43,123
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
76
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) AS OF NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
HONG KONG (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
13,000 China Resources Enterprises Ltd.
MULTI-INDUSTRY $ 18,972
63,000 China Telecom (Hong Kong) Ltd. (a)
SERVICES 125,707
29,000 Ng Fung Hong Ltd.
SERVICES 25,843
194,000 Shenzhen Expressway Co. Ltd. (a)
SERVICES 46,352
FOREIGN CORPORATE BONDS
155,000 Cosco Treasury Co. Ltd., 3.50%, 3/13/03 107,918
---------------
411,038
---------------
HUNGARY (2.0%)
COMMON STOCK
340 Gedeon Richter RT
CONSUMER NON-DURABLES 13,133
4,600 Matav RT ADR
SERVICES 125,637
1,700 MOL Magyar Olajes-es Gazipari RT GDR
ENERGY 39,355
1,320 OTP Bank RT GDR
FINANCE 55,935
---------------
234,060
---------------
INDIA (6.0%)
COMMON STOCK
11,700 ITC Ltd. GDR
MULTI-INDUSTRY 224,055
10,500 Larsen & Toubro Ltd. GDR
MULTI-INDUSTRY 69,563
10,100 Mahanagar Telephone Nigam Ltd.
SERVICES 108,070
26,400 Reliance Industries Ltd. GDS
MATERIALS 134,310
11,700 State Bank of India
FINANCE 92,137
5,500 Videsh Sanchar Nigam Ltd. GDR
SERVICES 56,650
---------------
684,785
---------------
INDONESIA (1.7%)
COMMON STOCK
6,000 Gulf Indonesia Resources Ltd.(a)
ENERGY 52,500
13,000 PT Gudang Garam
CONSUMER NON-DURABLES 16,808
10,000 PT HM Sampoerna(a)
CONSUMER NON-DURABLES 6,599
182,000 PT Indofoods Sukses Makmur(a)
CONSUMER NON-DURABLES 90,080
23,000 PT Indosat ADR
SERVICES 33,145
---------------
199,132
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
ISRAEL (5.0%)
COMMON STOCK
20,930 Bank Hapoalim Ltd.
FINANCE $ 40,146
51,060 Bank Leumi Le-Israel
FINANCE 70,775
17,240 Bezeq Israeli Telecommunication Corp.
Ltd.(a)
SERVICES 50,302
10,970 Blue Square-Israel Ltd.
SERVICES 133,697
2,000 Formula Systems Ltd. ADR (a)
SERVICES 50,000
5,400 Teva Pharmaceutical Industries Ltd. ADR
CONSUMER NON-DURABLES 234,900
---------------
579,820
---------------
KOREA, REPUBLIC OF (13.6%)
COMMON STOCK
5,900 Korea Electric Power Corp.
ENERGY 113,644
3,500 LG Chemical Ltd.
MULTI-INDUSTRY 29,494
17,608 LG Electronics
CONSUMER DURABLES 174,526
2,000 Pohang Iron & Steel Co. Ltd.
MATERIALS 113,559
2,510 SK Corp.
ENERGY 24,778
123 SK Telecom Co. Ltd.
SERVICES 87,659
6,226 Samsung Display Devices Co.
CONSUMER DURABLES 226,355
6,272 Samsung Electronics Co.
CONSUMER DURABLES 335,245
7,803 Samsung Heavy Industries (a)
CAPITAL EQUIPMENT 43,211
RIGHTS
3,637 Samsung Heavy Industries (a)
CAPITAL EQUIPMENT 4,028
168,634 Ssangyong Investment & Securities Co.
Ltd. (a)
FINANCE 412,787
---------------
1,565,286
---------------
LUXEMBOURG (0.4%)
COMMON STOCK
5,000 Quilmes Industrial SA ADR
CONSUMER NON-DURABLES 47,187
---------------
MAURITIUS (0.3%)
COMMON STOCK
39,800 State Bank of Mauritius Ltd. (a)
FINANCE 28,583
---------------
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
77
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) AS OF NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
MEXICO (8.9%)
COMMON STOCK
28,000 Cemex SA de CV
MATERIALS $ 67,836
64,800 Cifra SA de CV(a)
SERVICES 79,628
63,000 Controladora Comercial Mexicana SA de CV
SERVICES 40,282
56,000 Fomento Economico Mexica SA de CV
CONSUMER NON-DURABLES 129,516
22,500 Grupo Carso SA de CV
MULTI-INDUSTRY 71,257
32,100 Grupo Industrial Bimbo SA de CV
CONSUMER NON-DURABLES 50,670
17,400 Grupo Industrial Saltillo SA de CV
MATERIALS 46,240
9,100 Industrias Penoles SA
MATERIALS 27,910
21,500 Kimberly Clarke de Mexico SA de CV
SERVICES 57,780
7,800 Telefonos de Mexico SA ADR
SERVICES 363,188
13,000 Tubos de Acero de Mexico SA ADR
MATERIALS 91,812
---------------
1,026,119
---------------
PERU (2.3%)
COMMON STOCK
7,370 Credicorp Ltd.
FINANCE 81,070
2,900 Companhia Minas Buenaventura SA ADR
MATERIALS 36,794
44,000 Minsur SA
MATERIALS 73,251
5,100 Telefonica del Peru SA ADR
SERVICES 75,544
---------------
266,659
---------------
PHILIPPINES (1.9%)
COMMON STOCK
180,000 Ayala Corp.
MULTI-INDUSTRY 57,106
53,000 La Tondena Distillers, Inc.
CONSUMER NON-DURABLES 32,284
24,000 Manila Electric Co. B Shares
ENERGY 76,751
2,000 Metropolitan Bank & Trust Co.(a)
FINANCE 14,087
1,400 Philippine Long Distance Telephone Co.
SERVICES 36,599
---------------
216,827
---------------
POLAND (2.0%)
COMMON STOCK
20,250 Elektrim Spolka Akcyjna SA
MULTI-INDUSTRY 170,422
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
POLAND (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
14,060 Telekomunikacja Polska (a)
SERVICES $ 62,216
---------------
232,638
---------------
RUSSIA (0.6%)
COMMON STOCK
9,110 Surgutneftegaz ADR
ENERGY 32,663
7,690 Unified Energy Systems GDR
ENERGY 31,302
---------------
63,965
---------------
SOUTH AFRICA (8.4%)
COMMON STOCK
12,000 ABSA Group Ltd.
FINANCE 57,786
3,640 Anglo American Corp. of South Africa
Ltd.
FINANCE 116,685
2,500 Anglo American Industrial Corp. Ltd.
MULTI-INDUSTRY 44,376
20,137 Barlow Ltd.
MULTI-INDUSTRY 100,152
15,100 Ellerine Holdings Ltd.
CONSUMER DURABLES 35,826
77,400 First Rand Ltd.
FINANCE 95,220
29,000 Illovo Sugar Ltd.
CONSUMER NON-DURABLES 29,561
1 LA Retail Stores Ltd.
CONSUMER NON-DURABLES 1
115,000 Malbak Ltd.
MATERIALS 52,548
105,400 Metro Cash and Carry Ltd.
SERVICES 70,390
13,000 Rembrandt Group Ltd.
MULTI-INDUSTRY 84,649
14,900 Sappi Ltd.
MATERIALS 68,346
16,600 Sasol Ltd.
MULTI-INDUSTRY 64,620
4,495 South African Breweries, Ltd.
SERVICES 76,080
14,800 South African Druggists Ltd.
MATERIALS 72,829
---------------
969,069
---------------
TAIWAN (6.4%)
COMMON STOCK
9,000 Asustek Computer, Inc. (a)
CAPITAL EQUIPMENT 76,316
25,000 Cathay Life Insurance Co.
SERVICES 90,962
165,000 China Steel Corp.
MATERIALS 107,351
</TABLE>
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
78
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONCLUDED) AS OF NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
TAIWAN (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
36,000 Nan Ya Plastics Corp.(a)
MATERIALS $ 53,504
30,000 Siliconware Precision Industries Co. (a)
CAPITAL EQUIPMENT 57,815
56,000 Taiwan Semiconductor Manufacturing Co.
(a)
CAPITAL EQUIPMENT 135,549
CORPORATE BONDS
185,000 Nan Ya Plastics Corp., 1.75%, 7/19/01
MATERIALS 210,438
---------------
731,935
---------------
THAILAND (1.9%)
COMMON STOCK
5,000 Advanced Info Service Public Co. Ltd.
(a)
SERVICES 29,086
19,000 Electricity Generating Public Co. Ltd.
(a)
ENERGY 50,526
6,000 PTT Exploration & Production Public Co.
Ltd.(a)
ENERGY 48,199
2,500 Siam Cement Public Co. Ltd. (a)
MATERIALS 52,355
15,000 Siam Makro Public Co. Ltd.
CONSUMER NON-DURABLES 31,163
10,000 TelecomAsia Corp. Public Co. Ltd. (a)
SERVICES 4,640
---------------
215,969
---------------
TURKEY (0.8%)
COMMON STOCK
1,528,375 Akbank T.A.S.
FINANCE 31,222
2,991,300 Dogan Yayin Holdings AS (a)
FINANCE 14,538
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER EM CORE PORTFOLIO (continued)
- -----------------------------------------------------------------
</TABLE>
TURKEY (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
982,800 Netas Telekomunik (a)
CAPITAL EQUIPMENT $ 18,782
265,510 Vestel Elektronik Sanayi ve Ticanet AS
(a)
CONSUMER NON-DURABLES 25,807
---------------
90,349
---------------
ZIMBABWE (0.2%)
COMMON STOCK
1,000,000 Econet Wireless Holdings (a)
SERVICES 24,226
---------------
TOTAL INVESTMENTS (95.5%)
(COST $11,052,557) $ 10,983,967
OTHER ASSETS LESS LIABILITIES (4.5%) 519,604
---------------
TOTAL NET ASSETS (100.0%) $ 11,503,571
---------------
---------------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
CONTRACTS TO SELL
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT UNDERLYING FACE APPRECIATION/
DATE CURRENCY UNITS AMOUNT OF VALUE (DEPRECIATION)
- --------- ----------------- --------- --------------- -------------
<C> <S> <C> <C> <C>
Brazilian
2/5/99 Cruzeiro 242,520 $ (194,874) $ (6,874)
2/22/99 Hong Kong Dollar 1,400,000 (180,600) (6,036)
12/15/98 Polish Zloty 151,400 (43,948) (3,948)
--------------- -------------
$ (419,422) $ (16,858)
--------------- -------------
</TABLE>
(a) Non-income producing security.
ADR--American Depositary Receipts
GDR--Global Depositary Receipts
GDS--Global Depositary Shares
See Notes to Financial Statements SCHRODER CAPITAL FUNDS
79
<PAGE>
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Elsewhere 1-800-338-1348
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Norwest Bank Minnesota, N.A.
Transfer Agent
Custodian
Forum Financial Services, Inc.
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- -C-1999 NORWEST ADVANTAGE FUNDS
NW I SAR (1/99)
THIS REPORT IS FOR DISTRIBUTION ONLY TO SHAREHOLDERS AND MAY BE DISTRIBUTED TO
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