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Previous: RUSSELL FRANK INVESTMENT CO, NSAR-A, 1995-08-29 |
Next: ACTIVE ASSETS TAX FREE TRUST, 485BPOS, 1995-08-29 |
<PAGE>
FRANK RUSSELL INVESTMENT
COMPANY
Frank Russell Investment Company
is a "series mutual fund" with 22
different investment portfolios.
These financial statements report
on ten Funds, each of which has
distinct investment objectives and
strategies.
FRANK RUSSELL INVESTMENT
MANAGEMENT COMPANY
Responsible for overall management
and administration of the Funds.
FRANK RUSSELL COMPANY
Consultant to Frank Russell
Investment Management Company.
<PAGE>
TABLE OF CONTENTS
PAGE
EQUITY I FUND . . . . . . . . . . . . . . . . . . . . . 3
EQUITY II FUND. . . . . . . . . . . . . . . . . . . . . 15
EQUITY III FUND . . . . . . . . . . . . . . . . . . . . 29
EQUITY Q FUND . . . . . . . . . . . . . . . . . . . . . 37
INTERNATIONAL FUND. . . . . . . . . . . . . . . . . . . 49
EMERGING MARKETS FUND . . . . . . . . . . . . . . . . . 69
FIXED INCOME I FUND . . . . . . . . . . . . . . . . . . 81
FIXED INCOME II FUND. . . . . . . . . . . . . . . . . . 95
FIXED INCOME III FUND . . . . . . . . . . . . . . . . . 103
MONEY MARKET FUND . . . . . . . . . . . . . . . . . . . 115
NOTES TO FINANCIAL STATEMENTS . . . . . . . . . . . . . 121
ADDITIONAL INFORMATION. . . . . . . . . . . . . . . . . 131
MANAGER AND MONEY MANAGERS. . . . . . . . . . . . . . . 133
FRANK RUSSELL INVESTMENT COMPANY - EXTERNAL FEE FUNDS
Copyright -C- Frank Russell Company 1995. All rights reserved. This material
is proprietary and may not be reproduced, transferred, or distributed in any
form without prior written permission from Frank Russell Company. It is
delivered on an "as is" basis without warranty. The Russell logo is a trademark
and service mark of Frank Russell Company. Frank Russell Company and Standard &
Poor's Corporation are the owners of the trademarks, service marks, and
copyrights related to their respective indexes. This material must be
accompanied or preceded by a current Frank Russell Investment Company Prospectus
containing complete information concerning the investment objectives and
operations of the Company, charges, and expenses. The Prospectus should be read
carefully before an investment is made. The performance as of April 1, 1995 is
reported gross of investment advisory fees. For periods thereafter, performance
and yields are reported net of investment advisory fees but gross of investment
services fees, descriptions of which can be obtained from the investment
advisor. Investment services fees and other account expenses will reduce
performance (e.g., an investment services fee of 0.2% of average managed assets
will reduce a 10.0% annual return to 9.8%). The performance quoted represents
past performance and, except for a money market fund, the investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost. An investment in a money
market fund is neither insured nor guaranteed by the US government. There can
be no assurance that a money market fund will be able to maintain a stable net
asset value of $1.00 per share. Investments in securities of non-US issuers and
foreign currencies involve investment risks different than those of US issuers;
the Prospectus contains further information and details regarding these risks.
Russell Fund Distributors, Inc., is the distributor of Frank Russell Investment
Company.
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
COMMON STOCKS - 93.7%
BASIC INDUSTRIES - 7.0%
Air Products & Chemicals, Inc. 14,000 $ 781
Albemarle Corp. 44,700 698
Alco Standard Corp. 4,700 375
Allegheny Ludlum Corp. 14,100 278
Alumax, Inc. (a) 44,100 1,373
Aluminum Co. of America 77,000 3,860
Bethlehem Steel Corp. (a) 53,500 869
Boise Cascade Corp. 12,600 510
Cabot Corp. 15,600 823
Champion International Corp. 26,300 1,371
Cyprus Amax Minerals Co. 9,100 259
De Beers Consolidated Mines, Ltd. - ADR 10,600 274
Dow Chemical Co. 44,700 3,213
du Pont (E.I.) de Nemours & Co. 16,700 1,148
Engelhard Corp. 6,700 287
Ethyl Corp. 26,100 277
Ferro Corp. 11,600 307
FMC Corp. New (a) 11,600 780
Foamex International, Inc. 80,000 570
Fuller (H.B.) Co. 7,400 270
Goodrich (B.F.) Co. 37,300 2,000
Great Lakes Chemical Corp. 64,700 3,898
Illinois Tool Works, Inc. 12,300 677
IMC Fertilizer Group, Inc. 10,600 574
International Paper Co. 29,200 2,504
International Specialty Products 33,000 281
James River Corp. of Virginia 10,000 276
Kimberly-Clark Corp. 21,300 1,275
Lawter International, Inc. 23,200 278
Loctite Corp. 6,200 282
Lone Star Technologies, Inc. (a) 30,000 240
Lukens, Inc. 8,700 281
Magma Copper Co. New (a) 24,700 401
MAXXAM, Inc. (a) 5,000 179
Minnesota Mining & Manufacturing Co. 55,500 3,177
Monsanto Co. 3,300 297
Morton International, Inc. 4,700 137
Nalco Chemical Co. 13,400 487
NCH Corp. 5,200 299
Olin Corp. 8,625 444
P.H. Glatfelter Co. 14,200 286
Phelps Dodge Corp. 4,900 289
Potash Corp. of Saskatchewan, Inc. 8,400 469
Potlatch Corp. 10,000 418
PPG Industries, Inc. 6,800 292
Precision Castparts Corp. 6,600 232
Premark International, Inc. 26,000 1,349
Reynolds Metals Co. 23,700 1,227
Rhone Poulenc SA - ADR (a) 21,700 478
Rio Algom, Ltd. 14,800 287
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Sequa Corp. Class A (a) 19,000 $ 556
Sonoco Products Co. 12,100 300
Union Carbide Corp. 19,100 638
Willamette Industries, Inc. 21,700 1,194
Witco Chemical Corp. 10,000 323
------
44,648
------
CAPITAL GOODS - 3.9%
Alcatel Alsthom Compagnie Generale d'Electricite - ADR (a) 20,100 364
Atmel Corp. (a) 12,100 670
Ball Corp. 10,600 370
Boston Scientific Corp. (a) 34,900 1,112
Briggs & Stratton Corp. 9,000 311
Browning-Ferris Industries, Inc. 17,700 639
Caterpillar, Inc. 31,900 2,050
CBI Industries, Inc. 16,600 417
Cooper Industries, Inc. 26,000 1,027
Crane Co. 18,800 682
Cummins Engine Co., Inc. 7,100 310
Deere & Co. 8,100 694
Dover Corp. 3,900 284
Duracell International, Inc. 22,900 990
Emerson Electric Co. 4,900 350
Gardner Denver Machinery, Inc. (a) 228 4
General Electric Co. 102,850 5,798
General Signal Corp. 7,300 290
Giant Cement Holding, Inc. (a) 5,800 68
Giddings & Lewis, Inc. 30,000 533
Goulds Pumps, Inc. 13,200 287
Grainger (W.W.), Inc. 5,150 303
Harsco Corp. 5,500 290
Hubbell, Inc. Class B 5,670 320
Johnson Controls, Inc. 13,300 751
Kaydon Corp. 10,300 306
Magna International, Inc. Class A 7,000 309
National Service Industries, Inc. 9,900 286
SPS Technologies, Inc. (a) 1,500 56
Technip SA - ADR (a) 16,400 508
Tecumseh Products Co. Class A 6,600 287
Timken Co. 6,300 291
Tyco International, Ltd. 10,900 589
Varity Corp. New (a) 3,700 163
Westinghouse Electric Corp. 104,000 1,521
WMX Technologies, Inc. 23,300 661
Wyman-Gordon Co. (a) 7,300 78
York International Corp. New 10,000 450
Zurn Industries, Inc. 14,300 286
-----
24,705
------
</TABLE>
Equity I Fund 3
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
CONSUMER BASICS - 19.9%
Abbott Laboratories NPV 99,800 $ 4,042
American Brands, Inc. 60,200 2,393
American Home Products Corp. 8,700 673
American Stores Co. New 88,800 2,498
Amgen, Inc. (a) 38,300 3,074
Archer-Daniels-Midland Co. 15,300 285
Astra AB Series B 11,000 331
Bard (C.R.), Inc. 9,700 291
Bausch & Lomb, Inc. 21,500 892
Baxter International, Inc. 82,975 3,018
Becton, Dickinson & Co. 21,500 1,252
Biogen, Inc. (a) 16,600 739
Black & Decker Corp. 23,600 729
Bristol-Myers Squibb Co. 24,300 1,655
Cadbury Schweppes - ADR 10,200 301
Campbell Soup Co. 7,600 372
Carter-Wallace, Inc. 22,300 254
Chiquita Brands International, Inc. 20,700 290
Church and Dwight Co., Inc. 11,500 239
Clorox Co. 35,900 2,342
Coca-Cola Co. (The) 82,200 5,240
Colgate-Palmolive Co. 25,100 1,835
Columbia/HCA Healthcare Corp. 167,808 7,258
Community Psychiatric Centers 22,400 252
Corning, Inc. 35,000 1,146
CPC International, Inc. 38,900 2,402
Dean Foods Co. 10,300 288
Dimon, Inc. 50,700 856
Elan Corp. PLC - ADR (a) 32,700 1,333
Fleming Cos., Inc. 94,300 2,499
Giant Food, Inc. Class A 10,100 287
Gillette Co. 99,600 4,445
Glaxo Holdings PLC - ADR 26,700 651
Hillenbrand Industries, Inc. 8,700 271
Hormel (George A.) & Co. 11,300 295
IBP, Inc. 18,400 800
International Dairy Queen, Inc. Class A (a) 15,200 293
Johnson & Johnson 123,000 8,318
Kellogg Co. 5,100 364
Kroger Co. (a) 66,400 1,785
Lance, Inc. 15,900 290
Lilly (Eli) & Co. 51,800 4,066
Medtronic, Inc. 25,900 1,998
Merck & Co., Inc. 131,600 6,448
PacifiCare Health Systems, Inc., Class A (a) 5,900 295
PepsiCo, Inc. 161,200 7,355
Pfizer, Inc. 55,802 5,155
Philip Morris Cos., Inc. 170,800 12,703
Procter & Gamble Co. 78,100 5,613
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Quaker Oats Co. 9,500 $ 312
Ralston Purina Co. 4,400 224
Rhone Poulenc Rorer, Inc. 7,000 286
RJR Nabisco Holdings Corp. New (a) 18,320 511
Sara Lee Corp. 50,400 1,436
Schering-Plough Corp. 95,300 4,205
SmithKline Beecham PLC - ADR 23,900 1,081
St. Jude Medical, Inc. 5,700 285
Standard Commercial Corp. 21,173 312
Stanley Works 7,500 284
U.S. Bioscience, Inc. (a) 1,126 5
U.S. Healthcare, Inc. 8,850 271
U.S. Surgical Corp. 10,000 209
Unilever NV 2,300 299
United Healthcare Corp. 99,400 4,113
Universal Corp. 31,400 659
UST Corp. 9,700 289
Vons Cos., Inc. (a) 19,100 385
Warner-Lambert Co. 18,700 1,615
Weis Markets, Inc. 10,200 283
Wellpoint Health Networks, Inc. Class A 11,100 314
-------
127,589
-------
CONSUMER DURABLES - 1.7%
Bandag, Inc. 4,600 288
Bassett Furniture Industries, Inc. 10,200 281
Carlisle Cos., Inc. 7,500 287
Chrysler Corp. 37,000 1,771
Donaldson Co., Inc. 11,000 287
Elsag Bailey Process Automation NV (a) 1,500 41
Federal Signal Corp. 13,500 292
Fleetwood Enterprises, Inc. 13,600 269
Ford Motor Co. 46,800 1,392
General Motors Corp. 33,400 1,566
Genuine Parts Co. 7,400 280
Leggett & Platt, Inc. 6,600 290
Strattec Security Corp. (a) 1,800 22
Tomkins PLC - ADR 21,300 325
UNC, Inc. 100,000 537
Whirlpool Corp. 51,800 2,849
------
10,777
------
CONSUMER NON-DURABLES - 6.1%
Angelica Corp. 10,000 250
Anheuser-Busch Cos., Inc. 26,600 1,513
Blair Corp. 6,500 223
Coors (Adolph) Co. Class B 5,200 83
</TABLE>
Equity I Fund 4
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Dayton Hudson Corp. 11,000 $ 789
Eastman Kodak Co. 23,600 1,431
Federated Department Stores, Inc. (a) 50,700 1,306
Gap, Inc. 57,000 1,988
Handleman Co. 26,700 257
Hills Store Co. New (a) 27,926 670
Home Depot, Inc. (The) 76,700 3,116
Jostens, Inc. 13,900 295
K mart Corp. 50,000 731
Liz Claiborne, Inc. 20,500 436
Lowe's Cos., Inc. 47,900 1,431
Mattel, Inc. 51,875 1,349
May Department Stores Co. 35,900 1,494
Melville Corp. 13,900 476
Newell Co. 12,600 309
Nordstrom, Inc. 10,700 441
Office Depot, Inc. (a) 28,300 796
Penney (J.C.) Co., Inc. 42,500 2,040
Petrie Stores Corp. 11,000 74
Polaroid Corp. 17,500 713
Price Costco, Inc. (a) 43,800 712
Rayonier, Inc. 36,000 1,278
Reebok International, Ltd. 8,400 286
Sears Roebuck & Co. 28,100 1,682
Semi-Tech Corp. Class A 40,000 320
Shaw Industries, Inc. 130,000 2,210
Stride Rite Corp. 18,800 195
SuperValu, Inc. 64,700 1,884
Toys "R" Us, Inc. (a) 86,200 2,522
V.F. Corp. 22,300 1,199
Wal-Mart Stores, Inc. 183,500 4,909
------
39,408
------
CONSUMER SERVICES - 4.0%
AAR Corp. 24,100 431
AMR Corp. (a) 41,800 3,119
British Airways PLC - ADS 19,000 1,278
Carnival Corp. Class A 66,900 1,564
Circus Circus Enterprises, Inc. (a) 30,500 1,075
Continental Airlines, Inc. Class B (a) 33,600 844
Disney (Walt) Co. 116,200 6,464
King World Productions, Inc. (a) 8,000 324
KLM Royal Dutch Airlines (a) 13,500 440
McDonald's Corp. 139,800 5,470
Northwest Airlines Corp. Class A (a) 35,900 1,261
Royal Caribbean Cruises, Ltd. 10,300 227
UAL Corp. 23,300 3,267
------
25,764
------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
ENERGY - 7.3%
Amerada Hess Corp. NPV 11,600 $ 567
Amoco Corp. 86,500 5,763
Anadarko Petroleum Corp. 23,200 1,001
Ashland, Inc. 41,900 1,472
Atlantic Richfield Co. 4,200 461
Baker Hughes, Inc. 39,300 806
British Petroleum Co. PLC - ADR 20,934 1,792
Burlington Resources, Inc. 38,500 1,420
Chevron Corp. 51,800 2,415
Diamond Shamrock, Inc. 13,900 358
ENSCO International, Inc. (a) 10,300 164
Exxon Corp. 40,000 2,825
Gulf Canada Resources, Ltd. (a) 69,300 282
Imperial Oil, Ltd. New 7,900 293
Kerr-McGee Corp. 15,200 815
McDermott International, Inc. 5,500 133
Mesa, Inc. 168,000 798
Mobil Corp. 53,950 5,179
Noble Drilling Corp. (a) 100,000 713
Norcen Energy Resources, Ltd. 10,100 135
Norsk Hydro AS - ADR 11,000 459
Oryx Energy Co. (a) 31,800 437
Petroleum Heat & Power, Inc. Class A 60,100 466
Phillips Petroleum Co. 11,600 387
Reading & Bates Corp. New (a) 57,700 534
Renaissance Energy, Ltd. (a) 32,900 680
Royal Dutch Petroleum Co. - ADR 34,200 4,168
Santa Fe Energy Resources, Inc. (a) 30,000 285
Schlumberger, Ltd. 26,200 1,628
Seagull Energy Corp. (a) 58,000 957
Shell Transport & Trading PLC New York Shares 5,600 405
Sun Company 31,700 868
Sun Energy Partners, L. P. 37,700 160
Tarragon Oil & Gas, Ltd. New (a) 13,000 130
Tenneco, Inc. 33,800 1,555
Texaco, Inc. 24,600 1,614
Total Co. SA - ADR 62,798 1,900
Unocal Corp. 25,000 690
USX-Marathon Group New 62,000 1,224
Valero Energy Corp. 31,000 627
Washington Energy Co. 11,000 180
YPF Sociedad Anonima Class D - ADR 15,000 284
------
47,030
------
FINANCE - 15.1%
ACE, Ltd. 45,100 1,308
Ahmanson (H.F.) & Co. 28,900 636
AMBAC, Inc. 12,100 486
</TABLE>
Equity I Fund 5
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
American Financial Group, Inc. 15,800 $ 411
American International Group, Inc. 73,500 8,379
Banc One Corp. 22,900 739
Bank of New York Co., Inc. 23,000 929
BankAmerica Corp. 53,500 2,815
Barnett Banks, Inc. 26,000 1,333
Beneficial Corp. 17,800 783
Borg-Warner Security Corp. (a) 36,000 324
Chase Manhattan Corp. 45,000 2,115
Chemical Banking Corp. 92,800 4,385
Chubb Corp. (The) 51,600 4,134
CIGNA Corp. 55,250 4,289
Citicorp 37,600 2,176
Coast Savings Financial, Inc. (a) 26,200 540
Comerica, Inc. 10,000 321
Countrywide Credit Industries, Inc. 43,700 918
Dean Witter, Discover & Co. 64,345 3,024
Enhance Financial Services Group, Inc. 5,400 105
Equifax, Inc. 8,500 284
Equitable of Iowa Cos. 8,500 279
Federal Home Loan Mortgage Corp. 49,900 3,431
Federal National Mortgage Association 62,000 5,851
First Bank System, Inc. 31,600 1,296
First Chicago Corp. 52,300 3,131
First Security Corp. 19,100 535
First Tennessee National Corp. 8,300 384
First Union Corp. 22,050 998
General Re Corp. 21,300 2,852
Golden West Financial Corp. 18,200 858
Home Beneficial Corp. Class B 13,700 277
Household International Corp. 25,900 1,282
KeyCorp New 53,300 1,672
Lehman Brothers Holdings, Inc. 24,000 525
Leucadia National Corp. 15,000 758
Loews Corp. 7,400 895
Long Island Bancorp, Inc. 36,000 680
Marsh & McLennan Cos., Inc. 25,300 2,052
MBNA Corp. 40,900 1,380
Mellon Bank Corp. 450 19
Merrill Lynch & Co., Inc. 8,400 441
Morgan (J.P.) & Co., Inc. 10,900 764
NationsBank Corp. 88,400 4,740
NBD Bancorp, Inc. 65,000 2,080
Norwest Corp. 148,300 4,264
Old Republic International Corp. 42,600 1,113
Onex Corp. (a) 20,100 210
Paul Revere Corp. 30,000 510
Progressive Corp. 6,200 238
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Provident Life & Accident Insurance Co. Class B 12,600 $ 293
Raymond James Financial, Inc. 14,800 287
SAFECO Corp. 18,500 1,057
Southern National Corp. 33,500 804
SouthTrust Corp. 4,000 93
St. Paul Cos., Inc. 49,500 2,438
State Street Boston Corp. 55,500 2,047
Storage Equities, Inc. 6,100 100
Student Loan Marketing Association 15,700 736
Sumitomo Bank of California 17,900 434
SunAmerica, Inc. 5,600 286
SunTrust Banks, Inc. 35,000 2,038
Transatlantic Holdings, Inc. 4,400 286
UNUM Corp. 29,800 1,396
Value Line, Inc. 6,560 195
Washington Federal, Inc. 18,890 410
------
96,849
------
GENERAL BUSINESS - 5.9%
American Greetings Corp. Class A 19,000 556
Automatic Data Processing, Inc. 84,300 5,300
Block (H&R) Co., Inc. 7,000 288
Capital Cities/ABC, Inc. 23,600 2,549
CBS, Inc. 8,940 599
CCH, Inc. Class A 16,300 350
Comdisco, Inc. 14,275 434
Computer Sciences Corp. (a) 16,700 950
Comsat Corp. Series 1 45,100 885
Cox Communications, Inc. Class A New 22,100 428
Deluxe Corp. 41,800 1,385
Donnelley (R.R.) & Sons Co. 8,200 295
Dow Jones & Co., Inc. 8,000 295
Dun & Bradstreet Corp. 5,700 299
Figgie International Holdings, Inc. Class A (a) 25,700 215
First Financial Management Corp. 6,200 530
Flightsafety International, Inc. 1,300 63
Gannett Co., Inc. 5,300 288
General Motors Corp. Class E 103,100 4,485
Harland (John H.) Co. 14,000 320
Houghton Mifflin Co. 8,000 422
Knight-Ridder, Inc. 5,700 324
Lee Enterprises, Inc. 7,600 290
Miller (Herman), Inc. 12,200 299
Moore Corp., Ltd. 13,100 290
New England Business Service, Inc. 15,400 304
</TABLE>
Equity I Fund 6
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
New York Times Co. Class A 12,200 $ 287
News Corp., Ltd. New - ADR 48,600 1,100
Ogden Corp. 20,700 453
Pinkerton's, Inc. New (a) 18,100 326
Portugal Telecom SA - ADR 19,100 363
Reuters Holdings PLC - ADR Class B 16,100 805
SBC Communications, Inc. 24,314 1,158
Standard Register Co. 14,400 274
Tele-Communications, Inc. New Class A (a) 147,400 3,445
Time Warner, Inc. 26,700 1,098
Tribune Co. 12,400 761
True North Communications, Inc. 14,500 274
United Wisconsin Services, Inc. 2,600 52
Viacom, Inc. Class A (a) 3,048 141
Viacom, Inc. Class B (a) 85,746 3,976
Viacom, Inc. Rights (a) 230,500 346
Washington Post Co. Class B 1,100 287
------
37,589
------
MISCELLANEOUS - 1.1%
Agree Realty Corp. 9,600 158
American Real Estate Partners, L.P. (a) 96,242 770
Brascan, Ltd. Class A 10,000 158
Canadian Pacific, Ltd. 57,000 990
Catellus Development Corp. (a) 80,000 510
Chris Craft Industries, Inc. (a) 10,000 350
Crescent Real Estate Equities, Inc. 11,800 376
First Industrial Realty Trust, Inc. 12,500 256
Home State Holdings, Inc. (a) 32,000 304
ITT Corp. 11,600 1,363
Koger Equity, Inc. (a) 30,800 270
Newhall Land & Farming Co. 28,400 394
Providian Corp. 8,100 294
Starwood Lodging Trust New 5,700 131
Tucker Properties Corp. 47,700 578
-----
6,902
-----
SHELTER - 1.0%
Armstrong World Industries, Inc. 35,000 1,754
Essex Property Trust 22,000 399
Georgia Pacific Corp. 4,500 390
IP Timberlands, Ltd. Class A 9,500 208
Rayonier Timberlands, L.P. Class A 8,700 291
Southdown, Inc. (a) 30,000 574
St. Lawrence Cement Inc. Class A 83,400 546
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Standard Pacific Corp. New 22,000 $ 151
Vulcan Materials Co. 5,300 289
Weyerhaeuser Co. 34,900 1,645
-----
6,247
-----
TECHNOLOGY - 12.3%
AMP, Inc. 26,800 1,132
Applied Materials, Inc. (a) 36,300 3,131
BE Aerospace, Inc. (a) 50,000 444
Boeing Co. 34,500 2,161
CAE, Inc. (a) 45,300 326
Cisco Systems, Inc. (a) 122,100 6,166
COMPAQ Computer Corp. (a) 46,800 2,124
Computer Associates International, Inc. 20,300 1,375
Cray Research, Inc. (a) 11,800 288
Curtiss-Wright Corp. 100 4
Diebold, Inc. 6,600 287
Digital Equipment Corp. (a) 20,900 852
EG&G, Inc. 19,600 328
Electronic Arts (a) 29,800 808
EMC Corp. (a) 20,800 504
Ericsson (LM) Telephone Co. Class B - ADR 61,100 1,222
General Motors Corp. Class H 42,800 1,691
Hewlett-Packard Co. 76,300 5,684
Honeywell, Inc. 16,800 725
Intel Corp. 207,700 13,137
Intelligent Electronics, Inc. 17,700 239
Intergraph Corp. (a) 24,700 275
International Business Machines Corp. 62,600 6,010
Intuit, Inc. (a) 3,500 266
Lockheed Martin Corp. 32,200 2,033
Loral Corp. 14,200 735
Microsoft Corp. (a) 23,900 2,160
Motorola, Inc. 51,500 3,457
Northrop Grumman Corp. 20,000 1,043
Novell, Inc. (a) 66,700 1,326
Oracle Systems Corp. (a) 80,500 3,099
Raytheon Co. 19,700 1,529
Scientific-Atlanta, Inc. 46,000 1,012
Seagate Technology (a) 27,700 1,087
Sensormatic Electronics Corp. 41,900 1,487
Silicon Graphics, Inc. (a) 20,400 813
Stratus Computer, Inc. (a) 9,300 288
Sun Microsystems, Inc. (a) 29,000 1,407
Tandy Corp. 5,600 291
Texas Instruments, Inc. 8,200 1,098
</TABLE>
Equity I Fund 7
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Textron, Inc. 4,200 $ 244
Thiokol Corp. 9,300 281
Thomson-CSF - ADR (a) 9,300 209
TRW, Inc. 12,100 966
Varian Associates, Inc. 5,300 292
Xerox Corp. 40,500 4,748
------
78,784
------
TRANSPORTATION - 1.1%
Alexander & Baldwin, Inc. 13,500 300
American President Cos., Ltd. 13,100 311
BT Shipping, Ltd. - ADR (a) 176,600 464
Conrail, Inc. 27,600 1,535
CSX Corp. 14,600 1,097
GATX Corp. 9,500 448
Johnstown America Industries, Inc. (a) 60,000 623
Norfolk Southern Corp. 12,600 849
OMI Corp. (a) 30,000 199
Overseas Shipholding Group, Inc. 15,000 311
Roadway Services, Inc. 4,800 224
Ryder System, Inc. 4,100 98
Southern Pacific Rail Corp. (a) 37,400 589
Yellow Corp. 14,800 268
-----
7,316
-----
UTILITIES - 7.3%
Airtouch Communications, Inc. (a) 121,700 3,468
AT&T Corp. 108,350 5,756
BCE, Inc. 37,000 1,189
Bell Atlantic Corp. 7,600 426
British Telecommunications PLC - ADR 4,900 307
Central Maine Power Co. 44,200 525
Empresa Nacional de Electricidad SA - ADR 5,700 281
Enron Corp. 38,700 1,359
ENSERCH Corp. 12,000 206
Entergy Corp. 23,100 557
FPL Group, Inc. 36,800 1,421
General Public Utilities Corp. 95,300 2,835
GTE Corp. 97,100 3,314
KU Energy Corp. 11,300 315
Lincoln Telecommunications Co. 7,800 121
MCI Communications Corp. 92,800 2,030
MCN Corp. 25,600 506
New York State Electric & Gas Corp. 20,000 468
Niagara Mohawk Power Corp. 85,800 1,266
NIPSCO Industries, Inc. 21,600 734
Northeast Utilities 34,300 772
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
NYNEX Corp. 41,300 $ 1,662
Pacific Enterprises 9,700 238
Pacific Gas & Electric Co. 38,800 1,125
Pacific Telesis Group 61,743 1,652
PP&L Resources, Inc. 39,000 756
Public Service Co. of New Mexico (a) 10,000 143
Public Service Enterprise Group, Inc. 50,400 1,399
SCE Corp. 120,900 2,070
Southern New England Telecommunications Corp. 16,800 592
Talisman Energy, Inc. (a) 31,800 590
Telefonica de Espana SA - ADR 41,200 1,596
Telefonos de Mexico SA Series L - ADR 71,000 2,103
Texas Utilities Co. 33,200 1,141
U.S. West, Inc. 27,043 1,125
Unicom Corp. 64,100 1,706
Vodafone Group PLC - ADR 30,000 1,136
WorldCom, Inc. (a) 13,106 352
-------
47,242
-------
TOTAL COMMON STOCKS
(cost $517,970) 600,850
-------
CONVERTIBLE PREFERRED STOCKS - 0.4%
America Real Estate Partners L.P. 1,257 7
Ford Motor Co. Series A 20,800 2,020
Glendale Federal Bank Series E 22,100 751
-------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $2,239) 2,778
-------
PREFERRED STOCKS - 0.4%
Nokia Corp. - ADR 47,500 2,832
Reynolds Metals Co. 1,600 78
-------
TOTAL PREFERRED STOCKS
(cost $2,209) 2,910
-------
OPTIONS - 0.3%
S & P 500 Index Sep 500 Call (a) 50* 241
S & P 500 Index Sep 520 Call (a) 280* 847
S & P 500 Index Sep 530 Call (a) 150* 332
S & P 500 Index Sep 540 Call (a) 135* 200
-------
TOTAL OPTIONS
(cost $1,164) 1,620
-------
</TABLE>
8 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Principal MARKET
Amount VALUE
(000) (000)
--------- ------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 7.3%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $35,998 $ 35,998
United States Treasury Notes
8.875% due 07/15/95 (b)(d) 5,500 5,462
4.250% due 12/31/95 (d) 5,500 5,506
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $46,949) 46,966
--------
TOTAL INVESTMENTS
(identified cost $570,531)(c) - 102.1% 655,124
--------
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (2.1%) (13,623)
--------
NET ASSETS - 100.0% $641,501
--------
<FN> --------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995, the cost for federal income tax purposes was $574,475 and
net unrealized appreciation for all securities was $80,649. This consisted
of aggregate gross unrealized appreciation for all securities in which
there was an excess of market value over tax cost of $90,085 and aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $9,436.
(d) Held as collateral by the custodian in connection with options written by
the Fund.
* Number of contracts.
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
CONTRACTS (000)
--------- ------
<S> <C> <C>
OPTIONS WRITTEN
PUT OPTIONS (Note 2)
S & P 500 Index Sep 500 (a) 50 $ 9
S & P 500 Index Sep 500 (a) 280 101
S & P 500 Index Sep 500 (a) 150 83
S & P 500 Index Sep 500 (a) 135 108
-------
Total liability for options written
(premiums received $549)** $ 301
--------
--------
<FN>
** At June 30, 1995, United States Treasury Notes valued
at $10,968 were held as collateral by the custodian in
connection with options written by the Fund.
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity I Fund 9
<PAGE>
EQUITY I FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $570,531,400)(Note 2) . . . . . . . . . . . . . . . . $655,123,876
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,669
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,932,999
Investments sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,000,082
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 804,966
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,939
------------
678,874,531
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $20,740,956
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,828,659
Accrued management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . 319,693
Accrued transfer agent fees (Note 4) . . . . . . . . . . . . . . . . . . . . . 18,853
Accrued bookkeeping service fees (Note 4). . . . . . . . . . . . . . . . . . . 5,939
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157,686
Options written, at market value
(premiums received $548,814)(Notes 2 and 3). . . . . . . . . . . . . . . . . . 301,375 37,373,161
---------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $641,501,370
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,985,837
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,362,755
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84,592,597
Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247,439
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234,092
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 527,078,650
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $641,501,370
------------
------------
Net asset value, offering and redemption price per share
($641,501,370 divided by 23,409,325 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . $27.40
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,655,987
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . . . . . . 936,688
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 318,651
------------
7,911,326
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $925,671
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228,694
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,911
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,677
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,095
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,291
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,975
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,659 1,280,973
-------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,630,353
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,860,564
Options written (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,454,197
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66,840,957
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (34,445)
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99,121,273
------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $105,751,626
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity I Fund 11
<PAGE>
EQUITY I FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,630,353 $ 13,433,380
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,860,564 21,157,547
Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,454,197 1,493,832
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66,840,957 (32,567,886)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (34,445) (24,441)
------------ ------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . 105,751,626 3,492,432
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,644,516) (13,483,931)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . (6,559,951) (20,143,817)
In excess of net realized gain on investments. . . . . . . . . . . . . . . . -- (5,132,320)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . (1,287,490) 68,153,245
------------ ------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . 94,259,669 32,885,609
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . 547,241,701 514,356,092
------------ ------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $2,985,837 on June 30, 1995). . . . . . . . . . . . . . . . . . . . . . . . $641,501,370 $547,241,701
------------ ------------
------------ ------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
----------------------------- ---------------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ---------------- ------------ --------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . 3,726,879 $ 93,802,777 $ 7,318,044 $ 179,274,536
Fund shares issued to shareholders
in reinvestments of distributions . . . . . . . . . 382,073 9,342,262 1,508,847 35,449,732
Fund shares redeemed . . . . . . . . . . . . . . . . . (4,164,897) (104,432,529) (6,007,113) (146,571,023)
-------------- ------------- ----------- -------------
Net increase (decrease). . . . . . . . . . . . . . . . (55,945) $ (1,287,490) $ 2,819,778 $ 68,153,245
-------------- ------------- ----------- -------------
-------------- ------------- ----------- -------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12 Equity I Fund
<PAGE>
EQUITY I FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
--------- --------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . $ 23.32 $ 24.91 $ 25.00 $ 25.17 $ 21.13 $ 25.39
--------- -------- -------- -------- -------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . .29 .62 .60 .61 .75 .91
Net realized and unrealized gain (loss) on investments 4.24 (.41) 2.18 1.54 5.61 (2.37)
--------- -------- -------- -------- -------- -------
Total From Investment Operations . . . . . . . . . . . 4.53 .21 2.78 2.15 6.36 (1.46)
--------- -------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . (.16) (.62) (.60) (.62) (.75) (.90)
Net realized gain on investments . . . . . . . . . . . (.29) (.94) (2.11) (1.70) (1.57) (1.90)
In excess of net realized gain on investments. . . . . -- (.24) (.16) -- -- --
--------- -------- -------- -------- -------- -------
Total Distributions. . . . . . . . . . . . . . . . . . (.45) (1.80) (2.87) (2.32) (2.32) (2.80)
--------- -------- -------- -------- -------- -------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . $27.40 $23.32 $24.91 $25.00 $25.17 $21.13
--------- -------- -------- -------- -------- -------
--------- -------- -------- -------- -------- -------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . 19.64 0.79 11.61 9.02 31.22 (5.64)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . .44 .12 .14 .15 .19 .23
Net investment income to average net assets (b). . . . 2.28 2.52 2.36 2.53 3.14 3.66
Portfolio turnover (b) . . . . . . . . . . . . . . . . 96.60 75.02 91.87 71.14 119.55 101.30
Net assets, end of period ($000 omitted) . . . . . . . 641,501 547,242 514,356 410,170 330,507 221,543
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
(c) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers. Effective April 1, 1995, management fees are included in expenses. See Note 4.
</TABLE>
Equity I Fund 13
<PAGE>
EQUITY II FUND
STATEMENTS OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
COMMON STOCKS - 88.7%
BASIC INDUSTRIES - 6.1%
ABS Industries, Inc. 16,000 $ 180
AK Steel Holding Corp. (a) 10,800 294
Albemarle Corp. 10,200 159
Allegheny Ludlum Corp. 14,800 292
ASARCO, Inc. 8,700 265
Bio-Rad Laboratories, Inc. Class A (a) 900 32
Birmingham Steel Corp. 11,100 205
Cabot Corp. 7,600 401
Cambrex Corp. 6,000 203
Carpenter Technology Corp. 6,700 456
Chaparral Steel Co. 40,500 400
Chesapeake Corp. 4,000 125
Cleveland-Cliffs, Inc. 2,000 77
Commercial Metals Co. 35,000 945
Consolidated Papers, Inc. 3,200 184
Cyprus Amax Minerals Co. 23,000 656
Cytec Industries, Inc. (a) 2,800 114
Dexter Corp. 39,000 921
Dravo Corp. (a) 24,800 366
Easco, Inc. 10,000 118
Federal Paper Board, Inc. 14,600 516
Ferro Corp. 41,000 1,087
First Brands Corp. 7,800 334
First Mississippi Corp. 7,900 270
Goodrich (B.F.) Co. 6,000 322
Handy & Harman 25,500 395
Hanna (M.A.) Co. 5,800 151
Huntco, Inc. Class A 1,700 28
IMC Fertilizer Group, Inc. 5,800 314
Insteel Industries, Inc. 13,048 98
J & L Specialty Steel, Inc. 4,100 79
James River Corp. of Virginia 13,500 373
Lukens, Inc. 4,000 129
Magma Copper Co. New (a) 30,500 496
Material Sciences Corp. (a) 1,300 26
Minerals Technologies, Inc. 3,700 133
Mueller Industries, Inc. (a) 3,100 153
N L Industries, Inc. New (a) 3,400 45
New Jersey Steel Corp. (a) 21,400 203
Olin Corp. 3,800 196
Oregon Steel Mills, Inc. 3,900 67
Precision Castparts Corp. 9,400 330
Proler International Corp. (a) 61,500 438
Quanex Corp. 1,600 40
Rexene Corp. New (a) 3,400 42
Sealed Air Corp. (a) 2,700 119
St. Joe Paper Co. 11,000 699
Sterling Chemicals, Inc. 10,500 122
Texas Industries, Inc. 2,000 78
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Universal Stainless &
Alloy Products, Inc. (a) 12,000 $ 144
Varlen Corp. 1,100 25
Vigoro Corp. 4,500 187
Webco Industries, Inc. (a) 15,000 94
Wellman, Inc. 12,500 342
WHX Corp. (a) 51,300 603
Witco Chemical Corp. 4,500 145
Wolverine Tube, Inc. (a) 2,100 67
-------
15,283
-------
CAPITAL GOODS - 9.2%
ABC Rail Products Corp. (a) 16,700 380
Acme-Cleveland Corp. 2,800 66
ADCO Technologies, Inc. 22,000 165
AFC Cable Systems, Inc. (a) 8,000 154
Ag-Chem Equipment Co., Inc. (a) 2,000 195
AGCO Corp. 3,900 146
Allied Products Corp. 1,600 31
American Buildings Co. New (a) 10,000 174
American Electronic Components, Inc. (a) 22,000 165
Ametek, Inc. 3,100 56
Apogee Enterprises, Inc. 26,500 464
Aptargroup, Inc. 1,200 39
Arden Industrial Products (a) 12,000 99
Arrow Electronics, Inc. (a) 7,100 353
Atmel Corp. (a) 10,700 593
Baldor Electric Co. 1,000 29
Ball Corp. 7,000 244
Barnes Group, Inc. 1,400 56
Blount, Inc. Class A 1,400 62
BMC West Corp. (a) 11,000 160
Briggs & Stratton Corp. 7,400 255
Cable Design Technologies Corp. (a) 9,000 185
Cascade Corp. 10,000 155
Case Corp. 10,500 312
Cohu, Inc. 33,300 766
Commercial Intertech Corp. 1,000 16
Core Industries, Inc. 48,400 520
Daniel Industries, Inc. 21,500 339
Defiance, Inc. 21,000 137
Duriron Co., Inc. 55,000 1,238
Eastern Co. 22,900 315
Epic Design Technology, Inc. (a) 700 24
Exide Corp. 3,700 159
Farr Co. (a) 18,000 124
Fluke Corp. 1,000 42
Giant Cement Holding, Inc. (a) 10,000 118
</TABLE>
Equity II Fund 15
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Graco, Inc. 25,500 $ 685
Harman International Industries, Inc. 12,300 498
Harmon Industries, Inc. 12,000 198
Harnischfeger Industries, Inc. 12,000 416
Harsco Corp. 4,400 232
Heist (C.H.) Corp. (a) 33,600 273
Hurco Cos., Inc. (a) 26,000 94
IDEX Corp. 31,900 1,069
II-VI, Inc. 1,300 36
Insituform Mid-America, Inc. 10,900 158
Inverpower Controls, Ltd. (a) 18,000 170
Itel Corp. New (a) 1,500 59
JLG Industries, Inc. 4,400 113
Kaydon Corp. 1,000 30
Kennametal, Inc. 7,400 261
Kent Electronics Corp. (a) 1,100 42
Keystone International, Inc. 2,800 55
Litton Industries, Inc. (a) 7,400 273
Measurex Corp. 8,000 243
Molex, Inc. 15,675 603
Morrison Knudsen Corp. 10,000 68
NACCO Industries, Inc. Class A 400 24
National Service Industries, Inc. 35,100 1,014
NCI Building Systems, Inc. (a) 8,500 136
Outboard Marine Corp. 4,900 96
Plantronics, Inc. New (a) 8,000 214
Powell Industries, Inc. (a) 30,000 188
Raychem Corp. 4,100 157
Regal-Beloit Corp. 1,000 16
Reptron Electronics, Inc. (a) 12,000 186
Sanifill, Inc. (a) 27,200 853
Shelter Components Corp. 15,000 176
SIFCO Industries (a) 81,000 354
SPS Technologies, Inc. (a) 13,100 493
Symmetricom, Inc. (a) 2,600 56
Tecumseh Products Co. Class A 22,600 983
Tecumseh Products Co. Class B 4,000 170
TETRA Technologies, Inc. New (a) 29,375 521
Timken Co. 29,500 1,361
TRINOVA Corp. 4,400 153
United Waste Systems, Inc. (a) 22,800 808
Varity Corp. New (a) 8,100 355
York International Corp. 700 32
Zurn Industries, Inc. 27,900 557
-------
22,815
-------
CONSUMER BASICS - 14.1%
A. L. Laboratories, Inc. Class A 9,300 174
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Advocat, Inc. (a) 12,000 $ 134
Airgas, Inc. (a) 30,300 814
American Medical Response (a) 7,000 196
American Oncology Resources, Inc. 11,000 305
AMSCO International, Inc. (a) 6,500 90
Andros, Inc. (a) 22,000 377
Bergen Brunswig Corp. Class A 7,900 181
Bindley Western Industries, Inc. 1,300 20
Biogen, Inc. (a) 24,000 1,068
Bush Boake Allen, Inc. (a) 1,000 30
Caretenders Healthcorp (a) 20,000 115
Casey's General Stores, Inc. 25,800 455
Central Sprinkler Corp. (a) 9,000 212
Church and Dwight Co., Inc. 40,500 840
CNS, Inc. (a) 3,400 56
Coca-Cola Bottling Co. 17,500 543
Collagen Corp. 10,100 169
Community Health Systems, Inc. (a) 4,000 136
Community Psychiatric Centers 9,000 101
Dean Foods Co. 5,000 140
Dekalb Genetics Corp. Class B 1,100 48
Dimon, Inc. 4,950 84
Duckwall-ALCO Stores, Inc. New (a) 20,000 185
Dura Pharmaceuticals, Inc. 4,600 85
FHP International Corp. (a) 7,400 170
Fleming Cos., Inc. 9,100 241
Flowers Industries, Inc. 58,900 1,163
FoxMeyer Health Corp. (a) 2,400 43
FPA Medical Management, Inc. (a) 16,000 160
Frame Technology Corp. (a) 22,300 647
General Nutrition Companies, Inc. (a) 27,900 963
Genesis Health Ventures, Inc. (a) 15,200 450
Giant Food, Inc. Class A 37,000 1,050
Gilead Sciences, Inc. (a) 3,700 65
GranCare, Inc. (a) 8,000 129
Grist Mill Co. New (a) 4,100 45
Health Care & Retirement Corp. (a) 20,100 588
Health Power, Inc. (a) 7,200 108
Healthdyne Technologies, Inc. (a) 12,711 130
Healthdyne, Inc. (a) 32,000 136
Healthsource, Inc. (a) 30,000 1,050
Heart Technology, Inc. (a) 14,500 277
Horizon Healthcare Corp. (a) 11,300 202
Hormel (George A.) & Co. 4,500 118
Hosposable Products, Inc. (a) 69,000 431
Hudson Foods, Inc. 5,800 80
IBP, Inc. 9,800 426
Immucor Corp. (a) 10,000 93
Integrated Health Services, Inc. 6,100 183
</TABLE>
16 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
International Multifoods Corp. 2,000 $ 45
Interstate Bakeries Corp. 2,100 35
Ionics, Inc. (a) 2,400 83
Isolyser, Inc. (a) 12,600 447
Isomedix, Inc. (a) 12,000 162
Lance, Inc. 30,500 557
Living Centers of America, Inc. (a) 4,165 113
Mariner Health Group, Inc. (a) 4,200 46
Marsam Pharmaceuticals, Inc. (a) 10,000 188
Maxxim Medical, Inc. (a) 900 14
McCormick & Co., Inc. 46,000 989
Medical Imaging Centers
of America, Inc. (a) 667 1
Mine Safety Appliances Co. 9,718 493
Minntech Corp. 8,000 110
Multicare Cos., Inc. (a) 7,000 122
Mylan Laboratories, Inc. 11,200 344
Nature's Sunshine Products, Inc. 13,200 201
NBTY, Inc. (a) 20,000 128
Nellcor, Inc. 5,200 230
Northland Cranberries, Inc. Class A (a) 6,000 86
Omnicare, Inc. 4,600 125
Outback Steakhouse, Inc. (a) 23,100 667
Oxford Health Plans, Inc. (a) 20,700 968
Pacific Physician Services, Inc. (a) 32,400 405
Pharmaceutical Resources, Inc. (a) 2,700 28
PhyCor, Inc. (a) 19,300 676
Physicians Health Services, Inc.
Class A (a) 5,000 133
Prime Hospitality Corp. (a) 37,300 368
Protocol Systems, Inc. (a) 14,000 137
Pure Pac (a) 14,000 140
Puritan-Bennett Corp. 9,200 353
Regency Health Services, Inc. (a) 10,520 110
Respironics, Inc. 12,000 165
Ruddick Corp. 37,000 768
Safety 1st, Inc. (a) 13,000 254
Salick Health Care, Inc. (a) 2,500 91
Schultz Sav-O Stores, Inc. 21,000 457
Sierra Health Services, Inc. (a) 9,100 223
Smucker (J.M.) Co. 18,200 403
Smucker (J.M.) Co. Class B 22,000 443
Sofamor/Danek Group, Inc. (a) 6,400 145
Standard Commercial Corp. 7,211 106
Stanhome, Inc. 27,500 908
Starbucks Corp. (a) 48,300 1,709
Starrett (L.S.) Co. Class A 19,000 430
Strategic Distribution, Inc. (a) 42,000 176
Sun Healthcare Group, Inc. (a) 16,900 266
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Sunrise Medical, Inc. (a) 3,400 $ 106
Surgical Care Affiliates, Inc. 31,500 602
Thermotrex Corp. (a) 1,800 62
Thorn Apple Valley, Inc. 24,000 552
U.S. Bioscience, Inc. (a) 259 1
U.S. Bioscience, Inc. 1998 Warrants (a) 775 1
United American Healthcare Corp. (a) 2,000 35
Universal Corp. 7,300 153
Universal Foods Corp. 41,200 1,334
Universal Health Services, Inc. Class B (a) 8,600 248
Utah Medical Products (a) 15,000 183
Value Health, Inc. (a) 8,000 257
Vencor, Inc. (a) 9,200 289
Vertex Pharmaceuticals, Inc. (a) 1,200 20
Watson Pharmaceuticals, Inc. (a) 5,200 201
Whole Foods Market, Inc. 27,000 411
-------
35,009
-------
CONSUMER DURABLES - 3.3%
Arvin Industries, Inc. 3,800 85
Automotive Industries Holding, Inc. 4,600 124
Borg Warner Automotive, Inc. 3,400 97
Cavalier Homes, Inc. 14,000 165
Coast Distribution Systems (a) 25,000 175
Copart, Inc. 1,300 29
Danaher Corp. 4,600 139
Detroit Diesel Corp. (a) 2,000 42
Discount Auto Parts, Inc. (a) 1,000 25
Donaldson Co., Inc. 3,200 84
Echlin, Inc. 10,200 354
Excel Industries, Inc. 11,300 164
Federal-Mogul Corp. 26,000 475
Flexsteel Industries, Inc. 22,200 228
Hayes Wheels International, Inc. 1,900 40
Insurance Auto Auctions, Inc. 1,500 43
International Jensen, Inc. (a) 20,000 135
Kinetic Concepts, Inc. 20,000 138
La-Z-Boy Chair Co. 32,800 865
Lear Seating Corp. (a) 2,300 53
Levitz Furniture, Inc. (a) 47,500 333
Lund International Holdings, Inc. (a) 1,500 30
Modine Manufacturing Co. 2,000 74
National Presto Industries, Inc. 1,000 45
PRI Automation, Inc. (a) 1,000 33
Pronet, Inc. (a) 9,000 181
Schult Homes Corp. 10,500 119
Simpson Industries, Inc. 14,000 154
Skyline Corp. 3,000 54
</TABLE>
Equity II Fund 17
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Smith (A. O.) Corp. 70,600 $ 1,659
Superior Industries International, Inc 10,200 317
Titan Wheel International, Inc. 6,800 175
Toro Co. 2,500 70
Wabash National Corp. 8,400 261
West, Inc. 35,500 994
Winnebago Industries, Inc. 3,400 30
Wynn's International, Inc. 8,000 185
-------
8,174
-------
CONSUMER NON-DURABLES - 6.8%
American Safety Razor Co. (a) 15,000 176
Angelica Corp. 1,000 25
Authentic Fitness Corp. (a) 1,200 20
Baby Superstore, Inc. (a) 10,200 479
Barnes & Noble, Inc. (a) 7,200 245
Block Drug Co., Inc. Class A 12,281 414
Bradlees, Inc. 3,600 8
Brown Group, Inc. 36,500 830
Caldor Corp. (a) 22,500 402
Chic By H.I.S., Inc. (a) 44,900 505
Claire's Stores, Inc. 24,200 439
Coastcast Corp. (a) 2,700 29
Coleman Co., Inc. (a) 1,500 53
CompUSA, Inc. (a) 7,100 236
Consolidated Stores Corp. (a) 9,400 196
CPI Corp. 1,800 34
Danskin, Inc. (a) 30,000 86
Deckers Outdoor Corp. (a) 14,500 147
Department 56, Inc. (a) 4,800 184
Dollar General Corp. 32,090 1,015
Fieldcrest Cannon, Inc. (a) 25,000 541
First Team Sports, Inc. (a) 1,000 23
Guilford Mills, Inc. 31,000 756
Haggar Corp. 29,500 553
Helene Curtis Industries, Inc. 900 26
Home Depot, Inc. (The) 20,282 824
Huffy Corp. 1,400 18
Innovex, Inc. 1,650 22
Jean Phillippe Fragrances, Inc. New (a) 14,000 149
Johnston Industries, Inc. 29,250 230
Jos. A. Bank Clothiers, Inc. (a) 50,000 125
Kenneth Cole Productions, Inc.
Class A (a) 4,300 144
Leslie's Poolmart (a) 10,000 145
Little Switzerland, Inc. (a) 40,000 160
Meyer (Fred), Inc. (a) 20,000 543
MHI Group, Inc. New (a) 17,000 123
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Musicland Stores Corp. (a) 5,700 $ 58
Nautica Enterprises, Inc. (a) 14,800 529
Nine West Group, Inc. (a) 17,300 631
North American Watch Corp. 41,500 576
Nutramax Products, Inc. New (a) 20,000 155
Office Depot, Inc. (a) 19,375 545
Oxford Industries, Inc. 25,900 473
Paragon Trade Brands, Inc. (a) 2,500 36
PeopleSoft, Inc. (a) 11,200 602
Petco Animal Supplies, Inc. (a) 15,900 362
PETsMART, Inc. (a) 41,100 1,182
Quaker Fabric Corp. New (a) 18,000 140
Rayonier, Inc. 7,400 263
Russ Berrie & Co., Inc. 1,300 18
Score Board, Inc. (a) 19,500 112
Shopko Stores, Inc. 2,400 26
Sport Supply Group, Inc. 12,000 150
Springs Industries, Inc. 2,200 82
St. John Knits, Inc. 1,400 63
Starter Corp. (a) 3,600 29
Systemed, Inc. (a) 25,000 169
Tuesday Morning, Inc. 23,000 127
United Retail Group, Inc. (a) 18,000 124
VWR Corp. 18,400 175
Waban, Inc. (a) 32,300 479
-------
17,011
-------
CONSUMER SERVICES - 3.3%
AAR Corp. 1,200 21
Airport Systems International, Inc. (a) 20,000 100
Amtran, Inc. (a) 18,200 205
Applebee's International, Inc. 43,300 1,110
Boston Chicken, Inc. (a) 39,300 948
Cobra Golf, Inc. (a) 3,500 110
Equity Inns, Inc. 13,000 140
GC Companies, Inc. (a) 1,000 33
Golf Enterprises, Inc. (a) 16,000 196
Grand Casinos, Inc. (a) 8,300 294
Great Lakes Aviation, Ltd. (a) 35,000 219
Hospitality Franchise Systems, Inc. (a) 9,500 329
La Quinta Motor Inns, Inc. 27,300 737
Landry's Seafood Restaurants, Inc. (a) 23,200 464
Max & Erma's Restaurants, Inc. (a) 20,900 162
Mesa Airlines, Inc. (a) 6,900 63
Monterey Pasta Co. (a) 14,000 72
O'Charleys, Inc. (a) 12,000 150
Old Dominion Freight Lines, Inc. (a) 10,000 120
Pacific Rehabilitation & Sport (a) 16,000 156
</TABLE>
18 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Papa Johns International, Inc. (a) 23,000 $ 794
Pollo Tropical, Inc. (a) 15,000 120
Quality Dining, Inc. (a) 15,200 243
Rock Bottom Restaurants, Inc. (a) 14,600 416
Ryan's Family Steak Houses, Inc. (a) 64,000 496
ShoLodge, Inc. (a) 11,000 157
Studio Plus America, Inc. 4,800 78
Supertel Hospitality, Inc. (a) 12,000 155
WMS Industries, Inc. (a) 7,400 144
-------
8,232
-------
ENERGY - 4.1%
Alamco, Inc. (a) 15,000 116
Alexander Energy Corp. (a) 22,000 89
Apache Corp. 8,600 235
Arch Petroleum, Inc. New (a) 52,800 132
Barrett Resources Corp. (a) 2,000 47
Basin Exploration, Inc. (a) 44,000 259
Belden & Blake Corp. (a) 8,000 126
Berry Petroleum Co. Class A 47,500 463
Cabot Oil & Gas Corp. 2,100 29
Camco International, Inc. 2,300 54
Chesapeake Energy Corp. 2,500 64
Cliffs Drilling Co. (a) 8,000 110
Coho Energy, Inc. (a) 23,181 116
Cross Timbers Oil Co. 39,100 621
Crown Centennial Petroleum Co.
Class B (a) 26,300 395
Diamond Shamrock, Inc. 16,400 422
Digicon, Inc. New (a) 34,666 204
Dual Drilling Co. (a) 8,000 77
Energen Corp. 1,700 37
Foreland Corp. (a) 41,000 82
Global Industries, Inc. (a) 5,000 108
Harcor Energy, Inc. New (a) 40,000 110
Helmerich & Payne, Inc. 2,500 74
ICO, Inc. New (a) 30,000 169
Indresco, Inc. (a) 6,800 105
International Recovery Corp. 2,850 42
KCS Energy, Inc. 2,100 45
Key Production, Inc. (a) 20,000 108
LTV Corp. New (a) 32,500 475
Mitchell Energy & Development Corp. 1,700 30
Newfield Exploration Co. (a) 3,400 96
Newpark Resources, Inc. New (a) 7,000 142
Noble Drilling Corp. (a) 92,000 656
Nuevo Energy Co. (a) 2,600 52
Parker & Parsley Petroleum Co. 27,500 540
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Plains Petroleum Co. 22,500 $ 667
Production Operators Corp. 6,000 189
Quaker State Oil Refining Corp. 3,600 54
Smith International, Inc. 35,100 588
Texas Meridian Resources Corp. 2,200 24
Toreador Royalty Corp. 20,000 55
Ultramar Corp. 20,500 518
Union Texas Petroleum Holdings, Inc. 14,800 313
USX-Delhi Group 4,400 50
Valero Energy Corp. 31,400 635
Weatherford International, Inc. (a) 19,000 239
Wiser Oil Co. 31,000 421
-------
10,183
-------
FINANCE - 9.6%
Abington Savings Bank 4,200 62
Acceptance Insurance Companies, Inc. 1,100 16
AlBank Financial Corp. 6,000 157
Alexander & Alexander Services, Inc. 2,700 64
Allmerica Property & Casualty Cos. 29,600 655
Amcast Industrial Corp. 1,100 21
American Financial Group, Inc. 3,700 96
American Travellars Corp. (a) 37,300 653
Amfed Financial, Inc. 500 12
AMRESCO, Inc. 25,000 219
AmSouth Bancorp 8,100 264
Astoria Financial Corp. (a) 2,600 93
AT&T Capital Corp. 900 24
AVEMCO Corp. 29,500 513
Avondale Financial Corp. (a) 8,000 103
Bankers Corp. 10,800 176
Bay View Capital Corp. 1,000 27
Bell Bancorp 6,900 195
BHC Financial, Inc. 12,000 192
Brooklyn Bancorp, Inc. (a) 1,100 37
California Federal Bank (a) 9,500 125
Calumet Bancorp, Inc. (a) 1,000 27
CDI Corp. (a) 2,500 51
Centura Banks, Inc. 1,400 39
CFI ProServices, Inc. (a) 14,000 193
CitiFed Bancorp, Inc. 6,000 161
CMAC Investment Corp. 2,300 100
Coast Savings Financial, Inc. (a) 6,700 138
Colonial BancGroup, Inc. 25,500 701
Compass Bancshares, Inc. 17,000 485
Corporate Express, Inc. (a) 45,250 967
Countrywide Credit Industries, Inc. 16,900 355
Credit Acceptance Corp. (a) 32,200 660
</TABLE>
Equity II Fund 19
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
CSB Financial Corp. 8,000 $ 126
CSF Holdings, Inc. (a) 875 25
Equitable of Iowa Cos. 2,800 92
Financial Fed Corp. (a) 10,000 176
FINOVA Group, Inc. 4,000 140
First American Financial Corp. 700 16
First Colony Corp. 2,600 62
First Commerce Corp. 20,500 600
First Financial Caribbean Corp. 8,000 118
First Mortgage Corp. (a) 20,000 90
First Palm Beach Bancorp, Inc. 1,100 25
First Republic Bancorp, Inc. (a) 12,000 153
First Tennessee National Corp. 14,500 671
Fremont General Corp. 26,000 627
Glendale Federal Savings Bank New (a) 15,400 193
Great Financial Corp. 2,800 53
Greenpoint Financial Corp. 8,400 197
Haven Bancorp (a) 7,700 141
Horace Mann Educators Corp. 1,100 25
Imperial Credit Industries, Inc. (a) 8,278 102
JSB Financial, Inc. 1,300 38
Keystone Financial, Inc. 29,200 814
Litchfield Financial Corp. 12,600 164
Mercury Finance Corp. 31,500 606
Midlantic Corp. 14,530 578
North American Mortgage Co. 7,800 180
NS Bancorp, Inc. 4,000 124
Ohio Casualty Corp. 16,000 504
Old Kent Financial Corp. 19,000 646
Old Republic International Corp. 5,500 144
Olympic Financial, Ltd. 4,200 70
One Valley Bancorp of West Virginia, Inc. 23,100 705
Orion Capital Corp. 5,400 211
Pace American Group, Inc. (a) 25,000 3
Paul Revere Corp. 900 15
PennCorp Financial Group, Inc. 1,500 28
Peoples Heritage Financial Group 20,900 314
Pioneer Financial Services, Inc. 1,700 25
Provident Life & Accident Insurance Co.
Class B 600 14
Queens County Bancorp 6,000 191
Regional Acceptance Corp. (a) 10,000 178
Reliance Bancorp, Inc. 3,400 48
Reliastar Financial Corp. 11,800 451
Resource Bancshares Mortgage Group (a) 12,734 153
Security Capital Corp. (a) 1,000 49
Security Connecticut Corp. 1,000 26
Standard Federal Bancorporation 5,400 182
Standard Financial, Inc. (a) 3,700 48
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
State Auto Financial Corp. 7,000 $ 131
Storage Equities, Inc. 35,200 576
T R Financial Corp. 1,700 30
Transatlantic Holdings, Inc. 1,800 117
Transnational Re Corp. Class A 24,500 490
Union Bank 1,100 46
Union Planters Corp. 26,770 716
United Fire & Casualty Co. 17,050 465
US Facilities Corp. 27,300 436
USF & G Corp. 40,600 659
Vesta Insurance Group, Inc. 13,200 453
Washington National Corp. 1,100 23
West One Bancorp 20,300 671
Westco Bancorp, Inc. 8,000 177
Westcorp, Inc. 10,227 159
Zenith National Insurance Corp. 23,800 511
Zions Bancorp 12,500 618
-------
24,000
-------
GENERAL BUSINESS - 8.4%
AccuStaff, Inc. (a) 1,100 24
Advo Systems, Inc. 1,700 32
Alternative Resources Corp. (a) 600 15
American Business Information, Inc. (a) 7,000 189
American City Business Journals, Inc. (a) 8,400 172
Ascend Communications, Inc. 4,100 207
BISYS Group, Inc. New (a) 8,000 176
Bolt Beranek & Newman, Inc. 3,400 93
Bowne & Co., Inc. 400 7
Cascade Communications Corp. (a) 7,600 327
Catalina Marketing Corp. (a) 1,100 59
Central Newspapers, Inc. Class A 21,600 640
Childrens Comprehensive Services (a) 40,000 90
CIDCO, Inc. (a) 16,100 505
Coherent Communications Systems Corp. (a) 3,400 57
Comarco, Inc. (a) 20,000 183
Communications Central, Inc. (a) 20,000 175
Comnet Cellular, Inc. (a) 4,000 112
Corrections Corp. America (a) 2,400 83
Crawford & Co. 2,500 42
DiMark, Inc. 1,800 27
Duplex Products, Inc. (a) 37,000 308
Educational Insights, Inc. (a) 15,000 83
Effective Management Systems, Inc. (a) 16,000 104
Ennis Business Forms, Inc. 36,050 446
FIserv, Inc. (a) 21,300 591
Franklin Quest Co. (a) 4,500 108
General Communication, Inc. Class A (a) 28,800 115
</TABLE>
20 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Grey Advertising 4,000 $ 736
Gymboree Corp. (a) 23,400 679
Houghton Mifflin Co. 3,500 185
Hunt Manufacturing Co. 56,400 860
Jones Intercable, Inc. Class A (a) 36,500 543
Kronos, Inc. (a) 6,700 248
Lee Enterprises, Inc. 16,500 629
LIN Broadcasting Corp. (a) 4,872 616
Logicon, Inc. 1,500 67
Macromedia, Inc. (a) 6,300 272
Manpower, Inc. 11,900 303
Marvel Entertainment Group, Inc. (a) 10,200 158
McClatchy Newspapers, Inc. Class A 27,200 602
McGrath RentCorp 12,000 201
Media General, Inc. Class A 31,800 994
Mobile Telecommunication
Technologies Corp. (a) 47,500 1,294
Multimedia, Inc. New (a) 21,500 830
NETCOM On-line Communication
Services, Inc. (a) 5,600 143
Olsten Corp. 7,600 249
Ortel Corp. (a) 3,300 48
Paging Network, Inc. (a) 18,750 633
Paychex, Inc. 14,600 529
PC Service Source, Inc. (a) 12,000 117
Pulitzer Publishing Co. 600 26
QUALCOMM, Inc. (a) 9,700 335
QuickResponse Services, Inc. (a) 21,200 482
Robert Half International, Inc. (a) 29,200 748
Saga Communications Class A (a) 8,000 166
Serv-Tech, Inc. (a) 10,000 69
SFX Broadcasting, Inc. Class A (a) 6,000 158
Spelling Entertainment Group, Inc. 2,400 23
SPS Transaction Services, Inc. (a) 1,400 48
Steris Corp. (a) 4,600 221
Stewart Enterprises, Inc. Class A 9,100 305
StrataCom, Inc. (a) 5,300 257
Systems & Computer Technology Corp. (a) 8,000 158
TRM Copy Centers Corp. (a) 26,000 163
True North Communications, Inc. 9,600 181
U.S. Delivery Systems, Inc. (a) 3,700 97
United Video Satellite Group Class A (a) 1,200 34
Vanguard Cellular Systems, Inc. Class A (a) 37,600 902
Viking Office Products, Inc. (a) 14,000 512
Wackenhut Corp. 7,300 110
Wackenhut Corp. Class B 1,825 23
Wackenhut Corrections Corp. (a) 2,000 46
Wallace Computer Services, Inc. 2,000 72
-------
21,042
-------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
MISCELLANEOUS - 3.6%
Associated Group, Inc. Class B (a) 27,900 $ 495
Chris Craft Industries, Inc. (a) 29,960 1,049
Citation Corp. (a) 12,000 180
Clarcor, Inc. 1,000 23
Crawford & Co. Class A 16,000 276
Daig Corp. 10,500 186
Delrina Corp. (a) 35,500 479
Duke Realty Investments, Inc. 24,500 692
Eckerd Corp. (a) 24,450 782
Fiberstars, Inc. (a) 25,000 109
Fibreboard Corp. New (a) 2,000 48
FRP Properties, Inc. (a) 6,000 126
Geon Co. 8,400 242
Griffon Corp. (a) 59,000 472
Grupo Iusacell SA de CV - ADR
Series L (a) 24,070 289
Gyrodyne Co. of America, Inc. (a) 4,500 69
Ha-Lo Industries, Inc. (a) 12,000 123
Hirsch International Group Class A (a) 12,750 194
ITT Educational Services, Inc. (a) 10,000 170
Jabil Circuit, Inc. (a) 15,000 116
Landair Services, Inc. (a) 11,400 151
M.D.C. Holdings, Inc. 15,000 94
Mark VII, Inc. (a) 8,000 131
Mercer International, Inc. (a) 7,300 153
Miller Industries, Inc. (a) 8,000 136
Model Imperial, Inc. (a) 20,000 128
National Wireless Holdings, Inc. (a) 10,000 135
NN Ball & Roller, Inc. 12,000 213
NUMAR Corp. (a) 6,000 62
Old Lyme Holding Corp. 15,000 131
PXRE Corp. 26,000 608
Storage Trust Realty 17,000 344
Supreme Industries, Inc. Class A (a) 18,000 158
Texoil, Inc. (a) 65,000 106
Tripos, Inc. 7,500 43
Weeks Corporation 8,400 211
-------
8,924
-------
SHELTER - 0.9%
American Woodmark Corp. (a) 24,200 124
Butler Manufacturing Co. 600 25
Cameron Ashley, Inc. (a) 15,000 191
Champion Enterprises, Inc. (a) 2,200 35
Elcor Chemical Corp. (a) 1,100 24
Fastenal Co. 15,100 411
</TABLE>
Equity II Fund 21
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Granite Construction, Inc. 1,300 $ 29
Lone Star Industries, Inc. 8,000 172
Oriole Homes Corp. Class B 2,700 19
Ryland Group, Inc. 25,100 405
Smith (Charles E.) Residential Realty, Inc. 25,000 594
Southdown, Inc. (a) 2,500 48
Vulcan Materials Co. 2,200 120
-------
2,197
-------
TECHNOLOGY - 15.1%
ACX Technologies, Inc. (a) 1,200 49
Adaptec, Inc. (a) 8,700 320
ADC Telecommunications, Inc. (a) 32,600 1,157
Affiliated Computer Services, Inc.
Class A (a) 1,200 36
Allen Group, Inc. (The) 4,200 124
Alpha Industries, Inc. (a) 600 9
Altera Corp. (a) 3,400 147
Amphenol Corp. Class A (a) 3,500 102
Amplicon, Inc. 10,000 158
Analog Devices, Inc. (a) 23,650 804
Aspen Technology, Inc. (a) 5,900 146
Atria Software, Inc. (a) 8,300 400
Augat, Inc. 4,900 100
Autodesk, Inc. 14,100 599
Avnet, Inc. 6,900 334
Baan Co. NV (a) 12,800 394
Bell Industries (a) 30,633 655
BI Incorporated Co. New (a) 20,000 130
BMC Industries, Inc. 1,500 38
BMC Software, Inc. (a) 5,900 453
Boole & Babbage, Inc. (a) 5,000 150
Breed Technologies, Inc. 12,100 290
Brite Voice Systems, Inc. (a) 29,800 529
Broderbund Software, Inc. (a) 10,000 635
Brooktree Corp. NPV (a) 3,300 56
Brooktrout Technology, Inc. (a) 1,200 17
Burr-Brown Corp. (a) 2,700 72
Checkmate Electronics, Inc. New (a) 14,000 158
Cheyenne Software, Inc. (a) 7,100 131
Clinicom, Inc. (a) 2,000 33
Colonial Data Technologies (a) 4,800 91
Comverse Technology, Inc. New (a) 14,300 254
Consilium, Inc. (a) 20,000 195
Control Data Systems, Inc. (a) 2,000 18
Corrpro Cos, Inc. (a) 900 6
Crosscomm Corp. (a) 1,700 19
CyCare Systems, Inc. (a) 800 22
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ------
<S> <C> <C>
Cypress Semiconductor Corp. (a) 26,200 $ 1,061
Dallas Semiconductor Corp. 3,700 76
Data Transmission Network Corp. (a) 5,000 128
Destec Energy, Inc. (a) 2,600 33
DH Technology, Inc. (a) 7,000 191
Dynamics Research Corp. (a) 57,222 300
Dynatech Corp. 4,200 79
Edmark Corp. New (a) 1,000 40
EG&G, Inc. 59,000 988
Electroglas, Inc. (a) 1,700 97
Electromagnetic Sciences, Inc. (a) 12,000 182
Eletronics For Imaging, Inc. (a) 2,600 136
Esterline Corp. (a) 1,900 43
Evans & Sutherland Computer Corp. (a) 22,500 343
EXECUTONE Information Systems, Inc. (a) 50,000 134
FileNet Corp. (a) 21,300 857
FORE Systems (a) 17,500 521
FTP Software, Inc. (a) 24,400 732
Fusion Systems Corp. (a) 1,700 57
Future Now, Inc. (a) 13,500 98
Gerber Scientific, Inc. 43,500 729
Glenayre Technologies, Inc. (a) 23,150 1,181
GTI Corp. (a) 6,300 117
Hadco Corp. (a) 30,500 751
HBO & Co. 19,900 1,085
Helix Technology Corp. 3,500 151
Hello Direct, Inc. (a) 13,000 195
Hyperion Software Corp. (a) 10,100 455
InaCom Corp. 2,300 30
Informix Corp. (a) 16,200 409
Input/Output, Inc. (a) 23,100 832
Integrated Silicon Systems, Inc. 3,500 130
Intelligent Electronics, Inc. 10,000 135
International Rectifier Corp. (a) 4,600 150
Intuit, Inc. (a) 4,100 312
KLA Instruments Corp. (a) 6,100 471
Kulicke & Soffa Industries, Inc. (a) 3,300 219
Lattice Semiconductor Corp. (a) 6,400 220
Liberty Technologies, Inc. (a) 25,000 138
Linear Technology Corp. 10,300 675
Loronix Information Systems, Inc. (a) 32,500 146
M-Wave, Inc. (a) 10,700 185
MapInfo Corp. (a) 1,000 35
Marcam Corp. (a) 8,000 106
Marshall Industries (a) 1,100 37
Merisel, Inc. (a) 17,000 125
Merix Corp. (a) 1,300 39
Metrologic Instruments, Inc. (a) 15,000 124
Microchip Technology, Inc. (a) 21,000 761
</TABLE>
22 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Microsoft Corp. (a) 12,200 $ 1,103
National Semiconductor Corp. (a) 30,000 833
NetFRAME Systems, Inc. (a) 3,800 19
Network General Corp. (a) 19,100 520
OEA, Inc. 4,000 119
Oracle Systems Corp. (a) 25,650 988
Orbit Semiconductor, Inc. (a) 10,800 224
Pacific Scientific Co. 2,200 39
Parametric Technology Corp. (a) 16,800 832
Photronics, Inc. (a) 1,700 51
Pittway Corp. Class A 25,041 1,146
Policy Management Systems Corp. (a) 3,800 175
Project Software & Development, Inc. (a) 1,000 30
Pyxis Corp. (a) 16,900 380
Robinson Nugent, Inc. 8,500 77
Softkey International, Inc. (a) 2,400 76
Software Professionals, Inc. (a) 22,000 69
Software Spectrum, Inc. (a) 8,000 164
Solectron Corp. (a) 8,300 283
SPSS, Inc. (a) 1,700 25
Structural Dynamics Research Corp. (a) 5,200 67
Tech-Sym Corp. (a) 19,000 520
Tellabs, Inc. (a) 38,400 1,843
Teradyne, Inc. (a) 6,000 392
Thermo Instrument Systems, Inc. (a) 2,300 56
Three-Five Systems, Inc. 2,900 100
U.S. Robotics Corp. (a) 2,300 250
UUNET Technologies, Inc. (a) 2,000 54
Varian Associates, Inc. 2,200 121
Veritas Software Corp. (a) 2,000 43
Walker Interactive Systems (a) 20,000 114
Watkins-Johnson Co. 14,000 622
Wave Technologies International, Inc. (a) 20,000 159
Westcott Communications, Inc. (a) 12,000 209
Wind River Systems, Inc. (a) 2,700 31
Wyle Laboratories 17,000 477
Zebra Technologies Corp. Class A (a) 6,500 345
-------
37,426
-------
TRANSPORTATION - 1.7%
Air Express International Corp. 7,500 176
Alexander & Baldwin, Inc. 24,000 534
Consolidated Freightways, Inc. 7,200 159
Covenant Transport, Inc. Class A (a) 27,900 349
Hornbeck Offshore Services, Inc. (a) 9,000 140
Illinois Central Corp. 5,200 179
Knight Transportation, Inc. (a) 10,000 130
Landstar Systems, Inc. (a) 14,400 367
Liqui-Box Corp. 4,000 128
M.S. Carriers, Inc. (a) 6,000 110
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
MTL, Inc. (a) 41,500 $ 560
Navistar International Corp. 7,700 116
Overseas Shipholding Group, Inc. 32,200 668
Transport Corp. of America 16,000 168
Trinity Industries, Inc. 7,700 256
U.S. Xpress Enterprises, Inc. Class A (a) 14,000 115
-------
4,155
-------
UTILITIES - 2.5%
Airtouch Communications, Inc. (a) 35,143 1,002
American Water Works, Inc. 1,800 57
Cellular Communications
of Puerto Rico, Inc. (a) 21,500 650
Cellular Communications, Inc.
Series A New (a) 13,000 585
Centennial Cellular Corp. Class A (a) 39,000 648
Central Maine Power Co. 4,800 57
Century Telephone Enterprises, Inc. 24,400 692
CILCORP, Inc. 1,000 36
Cincinnati Bell, Inc. 17,100 432
Columbia Gas System, Inc. (a) 8,200 260
Equitable Resources, Inc. 3,200 92
Frontier Corp. 9,800 235
Hawaiian Electric Industries, Inc. 5,200 189
Pennsylvania Enterprises, Inc. 1,000 31
Pinnacle West Capital Corp. 14,100 345
Primark Corp. 1,100 20
Tejas Gas Corp. 900 46
United States Cellular Corp. (a) 26,100 791
-------
6,168
-------
TOTAL COMMON STOCKS
(cost $190,323) 220,619
-------
CONVERTIBLE PREFERRED STOCKS - 0.0%
AGCO Corp. 1,500 105
-------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $87) 105
-------
OPTIONS - 0.6%
Russell 2000 Index Sep 270 Call (a) 500* 906
S & P 500 Index Sep 520 Call (a) 130* 393
S & P 500 Index Sep 530 Call (a) 85* 188
S & P 500 Index Sep 540 Call (a) 30* 45
-------
TOTAL OPTIONS
(cost $1,126) 1,532
-------
</TABLE>
Equity II Fund 23
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.2%
Ben Franklin Retail Stores, Inc. (conv.)
7.500% due 06/01/03 $ 150 $ 122
Cellular, Inc. (conv.)
6.750% due 07/15/09 150 153
Genesis Health Ventures, Inc. (conv.)
6.000% due 11/30/03 100 130
-------
TOTAL LONG-TERM INVESTMENTS
(cost $364) 405
-------
SHORT-TERM INVESTMENTS - 13.2%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 23,676 23,676
United States Treasury Notes
8.875% due 07/15/95 (b)(d) 4,500 4,505
4.250% due 12/31/95 (d) 4,500 4,469
-------
TOTAL SHORT-TERM INVESTMENTS
(cost $32,636) 32,650
-------
TOTAL INVESTMENTS
(identified cost $224,536)(c) - 102.7% 255,311
-------
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (2.7%) (6,723)
--------
NET ASSETS - 100.0% $248,588
--------
--------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995 the cost for federal income tax purposes was $224,733 and
net unrealized appreciation for all securities was $30,578. This consisted
of aggregate gross unrealized appreciation for all securities in which
there was an excess of market value over tax cost of $38,684 and aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $8,106.
(d) Held as collateral by the custodian in connection with options written by
the Fund.
* Number of contracts.
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
CONTRACTS (000)
--------- ------
<S> <C> <C>
OPTIONS WRITTEN
June 30, 1995 (Unaudited)
PUT OPTIONS (Note 2)
Russell 2000-Registered Trademark- Index Sep 270 (a) 500 $ 125
S & P 500 Index Sep 520 (a) 130 47
S & P 500 Index Sep 530 (a) 85 47
S & P 500 Index Sep 540 (a) 30 24
-------
Total liability for options written
(premiums received $454)** $ 243
-------
-------
<FN>
** At June 30, 1995, United States Treasury Notes valued at $8,974 were
held as collateral by the custodian in connection with options written
by the Fund.
</TABLE>
The accompanying notes are an integral part of the financial statements.
24 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost
$224,535,681)(Note 2). . . . . . . . . . . . . . . . . . $255,311,297
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,815
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . 640,340
Investments sold . . . . . . . . . . . . . . . . . . . . 1,813,524
Fund shares sold . . . . . . . . . . . . . . . . . . . . 521,178
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . 1,362
------------
258,291,516
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . $3,056,461
Fund shares redeemed . . . . . . . . . . . . . 6,141,660
Accrued management fees (Note 4) . . . . . . . 153,018
Accrued transfer agent fees (Note 4) . . . . . 12,131
Accrued bookkeeping service fees (Note 4). . . 5,425
Other accrued expenses . . . . . . . . . . . . 91,563
Options written, at market value
(premiums received $453,947)(Notes 2 and 3). . 242,875 9,703,133
---------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $248,588,383
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . $ 607,618
Accumulated net realized gain (loss) . . . . . . . . . . . . 7,740,671
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . 30,775,616
Options written. . . . . . . . . . . . . . . . . . . . . . 211,072
Shares of beneficial interest. . . . . . . . . . . . . . . . 87,972
Additional paid-in capital . . . . . . . . . . . . . . . . . 209,165,434
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $248,588,383
------------
------------
Net asset value, offering and redemption price per share
($248,588,383 divided by 8,797,229 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . $28.26
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity II Fund 25
<PAGE>
EQUITY II FUND
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . $1,139,676
Dividends from Money Market Fund (Note 5). . . . . . . . . . 727,957
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . 277,919
------------
2,145,552
EXPENSES (NOTES 2 AND 4):
Management fees. . . . . . . . . . . . . . . . . $ 441,593
Custodian fees . . . . . . . . . . . . . . . . . 150,284
Bookkeeping service fees . . . . . . . . . . . . 10,313
Professional fees. . . . . . . . . . . . . . . . 7,244
Registration fees. . . . . . . . . . . . . . . . 12,609
Transfer agent fees. . . . . . . . . . . . . . . 53,314
Trustees' fees . . . . . . . . . . . . . . . . . 1,946
Miscellaneous. . . . . . . . . . . . . . . . . . 6,321 683,624
----------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . 1,461,928
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . 8,289,558
Options written (Notes 2 and 3). . . . . . . . . . . . . . . 1,570,575
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 18,168,533
Options written. . . . . . . . . . . . . . . . . . . . . . . (306,122)
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . 27,722,544
------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . $29,184,472
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
26 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,461,928 $ 2,702,405
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,289,558 189,908
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,570,575 378,412
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,168,533 (7,895,169)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (306,122) 302,629
----------- ------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 29,184,472 (4,321,815)
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,158,579) (2,305,128)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (1,119,102)
In excess of net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . -- (3,032,617)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . 17,585,032 42,334,732
----------- ------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,610,925 31,556,070
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 202,977,458 171,421,388
----------- ------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $607,618 and $85,930, respectively) . . . . . . . . . . . . . . . . . . . . . . . . . $248,588,383 202,977,458
----------- ------------
----------- ------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,901,371 $ 49,732,081 3,105,721 $ 79,232,323
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . . 37,474 972,484 231,579 5,793,421
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . (1,260,385) (33,119,533) (1,666,677) (42,691,012)
----------- ----------- ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . 678,460 $ 17,585,032 1,670,623 $ 42,334,732
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity II Fund 27
<PAGE>
EQUITY II FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $ 25.00 $ 26.58 $ 27.71 $ 26.32 $ 19.24 $ 23.32
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .18 .36 .32 .30 .41 .51
Net realized and unrealized gain (loss) on investments . . . . . 3.22 (.86) 3.97 3.13 7.65 (3.91)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . 3.40 (.50) 4.29 3.43 8.06 (3.40)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.14) (.31) (.31) (.30) (.41) (.50)
Net realized gain on investments . . . . . . . . . . . . . . . . (.21) (4.72) (1.74) (.57) (.18)
In excess of net realized gain on investments . . . . . . . . . -- (.56) (.39) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.14) (1.08) (5.42) (2.04) (.98) (.68)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $28.26 $25.00 $26.58 $27.71 $26.32 $19.24
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 13.65 (2.60) 16.70 13.31 42.40 (14.76)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . . . . . .62 .23 .34 .32 .37 .48
Net investment income to average net assets (b). . . . . . . . . 1.33 1.46 1.14 1.10 1.79 2.40
Portfolio turnover (b)(c). . . . . . . . . . . . . . . . . . . . 95.11 58.04 87.25 43.33 42.16 80.27
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 248,588 202,977 171,421 120,789 101,206 60,668
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
(c) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers.
Effective April 1, 1995, management fees are included in expenses. See Note
4.
28 Equity II Fund
</TABLE>
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
COMMON STOCKS - 92.3%
BASIC INDUSTRIES - 9.7%
Air Products & Chemicals, Inc. 10,700 $ 597
AK Steel Holding Corp. (a) 3,700 101
Alcan Aluminum, Ltd. 18,900 572
ASARCO, Inc. 55,600 1,696
Bethlehem Steel Corp. (a) 40,900 665
Bowater, Inc. 17,200 772
Cabot Corp. 12,900 680
Champion International Corp. 23,200 1,209
Cyprus Amax Minerals Co. 35,350 1,007
Dow Chemical Co. 32,400 2,329
du Pont (E.I.) de Nemours & Co. 13,600 935
Federal Paper Board, Inc. 19,900 704
FMC Corp. New (a) 11,900 800
Geneva Steel Class A (a) 15,000 124
Goodrich (B.F.) Co. 17,500 938
Great Lakes Chemical Corp. 18,400 1,109
International Paper Co. 27,100 2,324
James River Corp. of Virginia 26,400 729
Magma Copper Co. New (a) 26,700 434
Olin Corp. 8,600 443
Potlatch Corp. 11,500 480
Reynolds Metals Co. 9,700 502
Vitro Sociedad Anonima - ADR 28,040 242
Wellman, Inc. 13,700 375
Willamette Industries, Inc. 6,500 357
---------
20,124
---------
CAPITAL GOODS - 2.0%
Ball Corp. 9,000 314
CBI Industries, Inc. 17,300 435
Cummins Engine Co., Inc. 4,500 196
Deere & Co. 4,800 411
General Electric Co. 24,300 1,370
Johnson Controls, Inc. 8,000 452
Mid-American Waste Systems, Inc. (a) 42,600 208
Timken Co. 9,600 443
Varity Corp. (a) 5,900 259
---------
4,088
---------
CONSUMER BASICS - 9.4%
American Brands, Inc. 21,400 851
American Stores Co. 68,700 1,932
Baxter International, Inc. 49,100 1,786
Becton, Dickinson & Co. 17,200 1,002
Black & Decker Corp. 15,700 485
Bristol-Myers Squibb Co. 39,500 2,691
Columbia/HCA Healthcare Corp. 21,300 921
Community Psychiatric Centers 37,800 425
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
CPC International, Inc. 14,200 $877
Fleming Cos., Inc. 16,300 432
IBP, Inc. 15,900 692
Philip Morris Cos., Inc. 15,700 1,168
RJR Nabisco Holdings Corp. New (a) 44,280 1,234
Sara Lee Corp. 38,600 1,100
Schering-Plough Corp. 25,800 1,138
Tenet Healthcare Corp. 46,100 663
Upjohn Co. 16,800 636
Vons Cos., Inc. (a) 19,600 394
Warner-Lambert Co. 14,300 1,235
---------
19,662
---------
CONSUMER DURABLES - 3.7%
Chrysler Corp. 38,300 1,834
Federal-Mogul Corp. 32,800 599
Ford Motor Co. 70,500 2,097
General Motors Corp. 55,600 2,606
Whirlpool Corp. 11,400 627
---------
7,763
---------
CONSUMER NON-DURABLES - 5.5%
Anheuser-Busch Cos., Inc. 20,300 1,155
Burlington Industries, Inc. (a) 16,700 192
CML Group, Inc. 36,900 291
Coors (Adolph) Co. Class B 4,800 77
Dayton Hudson Corp. 24,200 1,736
Federated Department Stores, Inc. (a) 43,100 1,110
Jones Apparel Group, Inc. (a) 3,400 102
K mart Corp. 66,300 970
Liz Claiborne, Inc. 33,300 708
Melville Corp. 20,300 695
Polaroid Corp. 17,600 717
Price Costco, Inc. (a) 33,500 544
Sears Roebuck & Co. 21,500 1,287
SuperValu, Inc. 56,000 1,631
Waban, Inc. (a) 13,500 200
---------
11,415
---------
CONSUMER SERVICES - 0.4%
AMR Corp. (a) 11,000 821
---------
821
---------
ENERGY - 11.0%
Amerada Hess Corp. NPV 13,500 660
Amoco Corp. 21,200 1,412
</TABLE>
Equity III Fund 29
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Ashland, Inc. 20,400 $ 717
Atlantic Richfield Co. 1,100 121
Baker Hughes, Inc. 29,700 609
British Petroleum Co. PLC - ADR 8,462 725
Castle Energy Corp. New (a) 9,400 94
Chevron Corp. 50,100 2,336
Diamond Shamrock, Inc. 16,200 417
ENSCO International, Inc. (a) 10,900 173
Exxon Corp. 9,000 636
Kerr-McGee Corp. 16,800 901
LTV Corp. New (a) 48,100 703
Mobil Corp. 39,200 3,763
Murphy Oil Corp. 18,300 750
Occidental Petroleum Corp. 23,000 526
Royal Dutch Petroleum Co. - ADR 9,200 1,121
Tenneco, Inc. 25,400 1,168
Texaco, Inc. 16,500 1,083
Total Co. SA - ADR 21,800 659
USX-Marathon Group 110,200 2,176
Valero Energy Corp. 57,600 1,167
YPF Sociedad Anonima Class D - ADR 49,800 941
---------
22,858
---------
FINANCE - 19.1%
AMBAC, Inc. 30,900 1,240
American Express Co. 32,000 1,124
Banc One Corp. 17,500 564
BankAmerica Corp. 72,875 3,835
Bankers Trust New York Corp. 25,200 1,562
Barnett Banks, Inc. 19,900 1,020
Beneficial Corp. 16,100 708
Chase Manhattan Corp. 28,700 1,349
Chemical Banking Corp. 72,300 3,416
Chubb Corp. (The) 6,700 537
Dean Witter, Discover & Co. 28,500 1,340
EXEL, Ltd. 14,000 728
Federal National Mortgage Association 16,100 1,519
First Chicago Corp. 37,500 2,245
First Colony Corp. 8,200 197
First Security Corp. 16,400 459
First Tennessee National Corp. 13,100 606
First Union Corp. 11,900 538
FirstFed Financial Corp. (a) 11,100 162
KeyCorp 49,600 1,556
Life Re Corp. 24,900 464
Lincoln National Corp. 26,100 1,142
Loews Corp. 7,000 847
Mellon Bank Corp. 16,100 670
Mid Ocean, Ltd. 27,500 856
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Morgan (J.P.) & Co., Inc. 8,300 $ 582
NationsBank Corp. 47,600 2,553
NBD Bancorp, Inc. 22,100 707
North American Mortgage Co. 12,900 298
Old Republic International Corp. 23,200 606
Paine Webber Group, Inc. 16,800 317
Paul Revere Corp. 6,300 107
Reliance Group Holdings, Inc. 50,100 326
SAFECO Corp. 18,100 1,034
Shawmut National Corp. 24,400 778
Southern National Corp. 36,900 886
SouthTrust Corp. 5,900 136
St. Paul Cos., Inc. 14,500 714
TIG Holdings, Inc. 35,800 824
UNUM Corp. 18,200 854
Washington Federal, Inc. 20,580 448
---------
39,854
---------
GENERAL BUSINESS - 2.0%
ADT, Ltd. (a) 70,700 831
American Greetings Corp. Class A 18,800 550
CBS, Inc. 6,900 462
Comdisco, Inc. 17,700 538
Ogden Corp. 18,900 413
SBC Communications, Inc. 18,600 886
Tribune Co. 9,500 583
---------
4,263
---------
MISCELLANEOUS - 1.4%
Carr Reality Corp. 10,400 179
Chelsea GCA Realty, Inc. 1,600 43
Colonial Properties Trust 18,100 416
Crescent Real Estate Equities, Inc. 9,800 312
First Industrial Realty Trust, Inc. 10,700 219
Geon Co. 9,500 273
Irvine Apartment Communities, Inc. 16,300 281
Macerich Co. 19,000 373
PXRE Corp. 15,500 362
Stolt-Nielsen SA 23,800 676
---------
3,134
---------
SHELTER - 1.6%
Armstrong World Industries, Inc. 22,900 1,148
Kaufman & Broad Home Corp. 24,700 358
Pulte Corp. 18,800 526
Weyerhaeuser Co. 26,100 1,230
---------
3,262
---------
</TABLE>
30 Equity III Fund
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
TECHNOLOGY - 7.4%
Augat, Inc. 10,700 $ 219
Boeing Co. 20,400 1,278
COMPAQ Computer Corp. (a) 23,800 1,080
Hewlett-Packard Co. 13,000 969
Intel Corp. 33,200 2,100
International Business Machines Corp. 33,500 3,216
Kaman Corp. Class A 16,600 210
Loral Corp. 12,700 657
Northrop Grumman Corp. 10,100 526
Raytheon Co. 21,700 1,684
Seagate Technology (a) 24,100 946
Storage Technology Corp. 27,700 682
Sun Microsystems, Inc. (a) 20,000 970
Textron, Inc. 5,100 296
TRW, Inc. 8,100 647
---------
15,480
---------
TRANSPORTATION - 2.1%
Alexander & Baldwin, Inc. 13,700 305
Burlington Northern, Inc. 4,600 292
Conrail, Inc. 17,100 951
CSX Corp. 13,300 999
Federal Express Corp. (a) 12,800 778
GATX Corp. 8,800 415
Ryder System, Inc. 28,500 679
---------
4,419
---------
UTILITIES - 17.0%
Allegheny Power System, Inc. 19,600 461
AT&T Corp. 19,100 1,015
BCE, Inc. 32,300 1,038
Bell Atlantic Corp. 35,200 1,971
Boston Edison Co. 18,400 481
Columbia Gas System, Inc. (a) 38,100 1,210
Detroit Edison Co. 44,500 1,313
Entergy Corp. 56,500 1,363
Equitable Resources, Inc. 22,500 650
FPL Group, Inc. 28,200 1,089
General Public Utilities Corp. 62,300 1,853
GTE Corp. 80,300 2,740
MCI Communications Corp. 39,800 871
MCN Corp. 24,400 482
New York State Electric & Gas Corp. 47,900 1,120
NIPSCO Industries, Inc. 16,200 551
Northeast Utilities 39,200 882
NYNEX Corp. 70,100 2,822
Pacific Enterprises 7,100 174
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Pacific Gas & Electric Co. 22,900 $ 664
Pacific Telesis Group 73,000 1,953
PP&L Resources, Inc. 45,100 874
Public Service Enterprise Group, Inc. 83,700 2,323
Rochester Gas & Electric Corp. 15,800 336
SCE Corp. 87,700 1,502
Southern New England
Telecommunications Corp. 20,600 726
Sprint Corp. 27,700 931
Texas Utilities Co. 60,000 2,062
U.S. West, Inc. 20,700 861
Unicom Corp. 42,100 1,120
---------
35,438
---------
TOTAL COMMON STOCKS
(cost $173,134) 192,581
---------
OPTIONS - 0.3%
S & P 500 Index Sep 500 Call (a) 20* 96
S & P 500 Index Sep 520 Call (a) 80* 242
S & P 500 Index Sep 530 Call (a) 115* 255
---------
TOTAL OPTIONS
(cost $408) 593
---------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<S> <C> <C>
LONG-TERM INVESTMENTS - 1.7%
AMR Corp. (conv.)
6.125% due 11/24/01 $ 1,560 1,626
Stone Container Corp. (conv.)
8.875% due 07/15/00 380 758
Unisys Corp. (conv.)
8.250% due 08/01/00 960 1,066
---------
TOTAL LONG-TERM INVESTMENTS
(cost $2,718) 3,450
---------
SHORT-TERM INVESTMENTS - 5.3%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 7,114 7,114
United States Treasury Notes
8.875% due 07/15/95 (b)(d) 2,000 2,002
4.250% due 12/31/95 (d) 2,000 1,986
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $11,096) 11,102
---------
</TABLE>
Equity III Fund 31
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
----------
<S> <C>
TOTAL INVESTMENTS
(identified cost $187,356)(c) - 99.6% $207,726
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - 0.4% 862
---------
NET ASSETS - 100.0% $208,588
---------
---------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995, the cost for federal income tax purposes was $187,770 and
net unrealized appreciation for all securities was $19,956. This consisted
of aggregate gross unrealized appreciation for all securities in which
there was an excess of market value over tax cost of $24,311 and aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $4,355.
(d) Held as collateral by the custodian in connection with options written by
the Fund.
* Number of contracts.
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
CONTRACTS (000)
--------- ---------
<S> <C> <C>
OPTIONS WRITTEN
PUT OPTIONS (Note 2)
S & P 500 Index Sep 500 (a) 20 $ 4
S & P 500 Index Sep 520 (a) 80 29
S & P 500 Index Sep 530 (a) 115 63
---------
Total liability for options written
(premiums received $207)** $96
---------
---------
<FN>
** At June 30, 1995, United States Treasury Notes valued at $3,988 were
held as collateral by the custodian in connection with options
written by the Fund.
</TABLE>
The accompanying notes are an integral part of the financial statements.
32 Equity III Fund
<PAGE>
EQUITY III FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost
$187,355,877) (Note 2) . . . . . . . . . . . . . . . . . . . $207,726,470
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,794
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . 912,643
Investments sold . . . . . . . . . . . . . . . . . . . . . . 2,221,688
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 520,378
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . 1,743
-------------
211,384,716
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . $2,378,563
Fund shares redeemed . . . . . . . . . . . . . . 143,687
Accrued management fees. . . . . . . . . . . . . 102,038
Accrued transfer agent fees (Note 4) . . . . . . 9,636
Accrued bookkeeping service fees (Note 4). . . . 2,951
Other accrued expenses . . . . . . . . . . . . . 63,389
Options written, at market value
(premiums received $207,317)(Notes 2 and 3). . . 96,000 2,796,264
---------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $208,588,452
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $1,400,372
Accumulated net realized gain (loss) . . . . . . . . . . . . . 5,574,505
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 20,370,696
Options written. . . . . . . . . . . . . . . . . . . . . . . 111,317
Shares of beneficial interest. . . . . . . . . . . . . . . . . 73,417
Additional paid-in capital . . . . . . . . . . . . . . . . . . 181,058,145
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $208,588,452
-------------
-------------
Net asset value, offering and redemption price per share
($208,588,452 divided by 7,341,688 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . $28.41
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity III Fund 33
<PAGE>
EQUITY III FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . $2,925,256
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 272,416
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . 235,058
-------------
3,432,730
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . $296,041
Custodian fees . . . . . . . . . . . . . . . . . . 91,319
Bookkeeping service fees . . . . . . . . . . . . . 5,951
Professional fees. . . . . . . . . . . . . . . . . 6,793
Registration fees. . . . . . . . . . . . . . . . . 10,181
Transfer agent fees. . . . . . . . . . . . . . . . 44,628
Trustees' fees . . . . . . . . . . . . . . . . . . 1,944
Miscellaneous. . . . . . . . . . . . . . . . . . . 5,376 462,233
-------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 2,970,497
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . 5,806,770
Options written (Notes 2 and 3). . . . . . . . . . . . . . . . 539,444
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 23,089,507
Options written. . . . . . . . . . . . . . . . . . . . . . . . 15,029
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . 29,450,750
-------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . $32,421,247
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
34 Equity III Fund
<PAGE>
EQUITY III FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,970,497 $ 6,207,725
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,806,770 13,351,739
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 539,444 442,659
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,089,507 (17,624,466)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,029 27,529
-------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 32,421,247 2,405,186
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,721,333) (6,118,015)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . (449,286) (14,198,014)
In excess of net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . -- (765,734)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . 530,565 14,853,656
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,781,193 (3,822,921)
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177,807,259 181,630,180
-------------- -------------
Net Assets at End of Period
(including undistributed net investment income
of $1,400,372 and $151,457, respectively). . . . . . . . . . . . . . . . . . . . . . . . $208,588,452 $177,807,259
-------------- -------------
-------------- -------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,155,963 $30,503,916 1,755,472 $46,981,185
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . . 71,008 1,847,876 793,254 19,533,671
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . (1,239,581) (31,821,227) (1,910,090) (51,661,200)
----------- ----------- ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . (12,610) $ 530,565 638,636 $14,853,656
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity III Fund 35
<PAGE>
EQUITY III FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $24.18 $27.05 $26.75 $27.08 $23.30 $26.49
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .41 .93 .89 .98 1.08 1.33
Net realized and unrealized gain on investments. . . . . . . . . 4.13 (.85) 2.99 2.24 5.21 (2.85)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . . 4.54 .08 3.88 3.22 6.29 (1.52)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.25) (.91) (.90) (.99) (1.07) (1.30)
In excess of net investment income . . . . . . . . . . . . . . . -- -- (.00) -- -- --
Net realized gain on investments . . . . . . . . . . . . . . . . (.06) (1.94) (2.68) (2.56) (1.44) (.37)
In excess of net realized gain on investments. . . . . . . . . . -- (.10) -- -- -- --
-------- -------- -------- -------- -------- --------
TOTAL DISTRIBUTIONS. . . . . . . . . . . . . . . . . . . . . . . . (.31) (2.95) (3.58) (3.55) (2.51) (1.67)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $28.41 $24.18 $27.05 $26.75 $27.08 $23.30
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 18.89 1.16 14.95 12.30 27.86 (5.73)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . . . . . .50 .17 .16 .20 .25 .27
Net investment income to average net assets (b). . . . . . . . . 3.19 3.39 3.09 3.57 4.05 4.91
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 70.80 85.92 76.77 84.56 56.99 65.74
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 208,588 177,807 181,630 166,782 138,076 94,087
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
(c) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers. Effective April 1, 1995, management
fees are included in expenses. See Note 4.
</TABLE>
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
COMMON STOCKS - 96.9%
BASIC INDUSTRIES - 8.0%
Albemarle Corp. 4,300 $ 67
Allegheny Ludlum Corp. 7,700 152
Aluminum Co. of America 56,200 2,817
Arco Chemical Co. 3,200 145
Boise Cascade Corp. 54,400 2,203
Cabot Corp. 71,600 3,777
Champion International Corp. 24,500 1,277
Consolidated Papers, Inc. 100 6
Crown Cork & Seal Co., Inc. (a) 10,200 511
Cyprus Amax Minerals Co. 20,400 581
Dow Chemical Co. 63,900 4,593
du Pont (E.I.) de Nemours & Co. 76,000 5,225
Eastern Enterprises, Inc. 21,600 645
Eastman Chemical Co. 25 1
Ethyl Corp. 7,000 74
Federal Paper Board, Inc. 34,300 1,213
Freeport-McMoRan Copper & Gold, Inc.
Class A 2,300 47
Georgia Gulf Corp. 400 13
Homestake Mining Co. 6,800 112
Inco, Ltd. 11,800 333
International Paper Co. 30,915 2,651
Kimberly-Clark Corp. 100 6
Mead Corp. 3,200 190
Minnesota Mining & Manufacturing Co. 200 11
Monsanto Co. 13,600 1,226
Morton International, Inc. 11,700 342
Nucor Corp. 11,700 626
Olin Corp. 7,900 407
Phelps Dodge Corp. 22,500 1,328
PPG Industries, Inc. 42,300 1,819
Praxair, Inc. 23,900 598
Premark International, Inc. 100 5
Reynolds Metals Co. 7,400 383
Rohm & Haas Co. 3,800 209
Scott Paper Co. 7,400 366
Temple-Inland, Inc. 24,800 1,181
Texas Industries, Inc. 10,300 400
Union Camp Corp. 7,000 405
Union Carbide Corp. 59,800 1,996
Wellman, Inc. 11,000 301
Westvaco Corp. 16,600 735
Willamette Industries, Inc. 13,600 749
Worthington Industries, Inc. 25,500 521
---------
40,247
---------
CAPITAL GOODS - 5.8%
Ametek, Inc. 100 2
Arrow Electronics, Inc. (a) 7,600 378
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Atmel Corp. (a) 12,200 $ 676
Ball Corp. 15,000 523
Boston Scientific Corp. (a) 700 22
Browning-Ferris Industries, Inc. 3,000 108
Caterpillar, Inc. 27,100 1,741
Cooper Industries, Inc. 10,900 431
Deere & Co. 33,000 2,826
Dover Corp. 19,400 1,411
Emerson Electric Co. 13,000 930
General Electric Co. 228,500 12,882
General Signal Corp. 3,500 139
Grainger (W.W.), Inc. 3,600 212
Harnischfeger Industries, Inc. 29 1
Hubbell, Inc. Class B 1,300 73
Ingersoll-Rand Co. 5,100 195
Itel Corp. New (a) 13,600 530
Johnson Controls, Inc. 6,400 362
Kennametal, Inc. 3,500 123
Measurex Corp. 6,600 200
Millipore Corp. 100 7
National Service Industries, Inc. 9,000 260
Parker-Hannifin Corp. 21,900 794
Pentair, Inc. 700 30
Premier Industrial Corp. 5,500 130
Tecumseh Products Co. Class A 32,400 1,409
TRINOVA Corp. 1,400 49
Tyco International, Ltd. 9,000 486
Varity Corp. (a) 46,100 2,028
Wheelabrator Technologies, Inc. (a) 13,600 210
---------
29,168
---------
CONSUMER BASICS - 18.6%
Abbott Laboratories NPV 67,600 2,738
Albertson's, Inc. 9,000 268
Allergan, Inc. 22,900 621
ALZA Corp. (a) 9,100 213
American Home Products Corp. 33,300 2,577
American Stores Co. 8,400 236
Amgen, Inc. (a) 14,000 1,124
Archer-Daniels-Midland Co. 109,167 2,033
Bausch & Lomb, Inc. 8,175 339
Baxter International, Inc. 38,900 1,415
Becton, Dickinson & Co. 26,200 1,526
Biomet, Inc. (a) 6,500 100
Black & Decker Corp. 13,400 414
Bristol-Myers Squibb Co. 29,940 2,040
Campbell Soup Co. 7,300 358
Cardinal Health, Inc. 27,200 1,285
</TABLE>
Equity Q Fund 37
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Coca-Cola Co. (The) 106,600 $ 6,796
Coca-Cola Enterprises, Inc. 64,600 1,413
Columbia/HCA Healthcare Corp. 92,000 3,979
ConAgra, Inc. 39,308 1,371
CPC International, Inc. 16,600 1,025
Forest Labs, Inc. (a) 5,000 222
General Mills, Inc. 11,900 611
Genzyme Corp. (a) 7,000 278
Giant Food, Inc. Class A 1,400 40
Gillette Co. 24,000 1,071
Health Care & Retirement Corp. (a) 14,000 410
Health Management Associates Class A (a) 15,000 439
Heinz (H.J.) Co. 27,900 1,238
Hormel (George A.) & Co. 47,100 1,230
Humana, Inc. (a) 82,700 1,458
IBP, Inc. 44,600 1,940
Johnson & Johnson 74,900 5,065
Kellogg Co. 16,700 1,192
Kroger Co. (a) 47,600 1,279
Lilly (Eli) & Co. 32,200 2,528
Manor Care, Inc. 8,500 248
Marion Merrell Dow, Inc. 17,200 439
Medtronic, Inc. 16,500 1,273
Merck & Co., Inc. 127,907 6,267
Mylan Laboratories, Inc. 25,600 787
Nabisco Holdings Corp. Class A 3,500 95
Nash Finch Co. 3,700 59
Oxford Health Plans, Inc. (a) 3,600 168
PepsiCo, Inc. 80,400 3,668
Pfizer, Inc. 16,800 1,552
Philip Morris Cos., Inc. 155,800 11,588
Procter & Gamble Co. 120,000 8,625
Quaker Oats Co. 200 7
Ralston Purina Co. 7,800 398
Rhone Poulenc Rorer, Inc. 26,800 1,095
RJR Nabisco Holdings Corp. New (a) 16,440 458
Ruddick Corp. 1,500 31
Safeway, Inc. New (a) 45,400 1,697
Sara Lee Corp. 6,200 177
Schering-Plough Corp. 23,200 1,024
Stryker Corp. 6,700 255
Tootsie Roll Industries, Inc. 400 28
Upjohn Co. 11,300 428
U.S. Healthcare, Inc. 21,700 665
Vivra, Inc. (a) 3,100 83
Warner-Lambert Co. 14,900 1,286
Whitman Corp. 1,200 22
---------
93,295
---------
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
CONSUMER DURABLES - 2.3%
Chrysler Corp. 6,722 $ 322
Cooper Tire & Rubber Co. 5,500 134
Dana Corp. 40,400 1,156
Eaton Corp. 16,400 953
Echlin, Inc. 63,800 2,217
Fleetwood Enterprises, Inc. 1,000 20
Ford Motor Co. 47,300 1,407
General Motors Corp. 47,800 2,241
Goodyear Tire & Rubber Co. 16,800 693
Harley-Davidson, Inc. 3,000 73
Lancaster Colony Corp. 18,533 653
Leggett & Platt, Inc. 17,400 766
Maytag Corp. 9,000 144
Modine Manufacturing Co. 3,300 121
National Presto Industries, Inc. 4,400 200
PACCAR, Inc. 7,300 339
Superior Industries International, Inc. 300 9
Whirlpool Corp. 2,900 160
---------
11,608
---------
CONSUMER NON-DURABLES - 4.8%
Anheuser-Busch Cos., Inc. 20,000 1,138
Avon Products, Inc. 3,600 241
Blair Corp. 5,950 205
Brown Group, Inc. 100 2
Brown-Forman Distillers, Inc. Class B 200 7
Brunswick Corp. 31,200 530
Charming Shoppes, Inc. 10,700 56
Circuit City Stores, Inc. 26,100 825
Consolidated Stores Corp. (a) 13,500 282
Dayton Hudson Corp. 3,600 258
Dillard Department Stores, Inc. Class A 6,200 182
Eastman Kodak Co. 15,700 952
Fruit of the Loom, Inc. Class A (a) 8,800 186
Gap, Inc. 8,000 279
Hechinger Co. Class A 3,000 21
Home Depot, Inc. (The) 45,400 1,844
International Flavors & Fragrances, Inc. 2,000 100
K mart Corp. 9,300 136
Limited, Inc. (The) 38,900 856
Liz Claiborne, Inc. 10,600 225
Lowe's Cos., Inc. 26,500 792
May Department Stores Co. 17,600 733
Melville Corp. 11,200 384
Neiman-Marcus Group, Inc. 5,900 84
Newell Co. 36,200 887
NIKE, Inc. Class B 14,500 1,218
Nine West Group, Inc. (a) 100 4
</TABLE>
38 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Office Depot, Inc. (a) 57,442 $ 1,616
Penney (J.C.) Co., Inc. 21,300 1,022
Rayonier, Inc. 5,100 181
Rite Aid Corp. 7,500 192
Sears Roebuck & Co. 59,200 3,545
Springs Industries, Inc. 4,000 149
Strawbridge & Clothier 1,816 36
TJX Cos., Inc. 7,400 98
Toys "R" Us, Inc. (a) 24,600 720
V.F. Corp. 14,100 758
Wal-Mart Stores, Inc. 109,500 2,929
Walgreen Co. 400 19
Woolworth Corp. 6,800 102
---------
23,794
---------
CONSUMER SERVICES - 2.7%
Alaska Air Group, Inc. 1,000 18
AMR Corp. (a) 14,600 1,090
Boston Chicken, Inc. (a) 4,300 104
Boyd Gaming Corp. (a) 4,200 70
Brinker International, Inc. (a) 5,100 88
Callaway Golf Co. 14,600 219
Carnival Corp. Class A 10,800 252
Circus Circus Enterprises, Inc. (a) 8,300 293
Cracker Barrel Old Country Store, Inc. 5,000 103
Darden Restaurants, Inc. (a) 11,900 129
Delta Air Lines, Inc. 6,500 479
Disney (Walt) Co. 101,400 5,640
Hospitality Franchise Systems, Inc. 11,900 412
International Game Technology 12,400 191
La Quinta Motor Inns, Inc. 28,400 767
Marriot International, Inc. 11,400 409
McDonald's Corp. 54,800 2,144
MGM Grand, Inc. (a) 100 3
Mirage Resorts, Inc. (a) 16,700 511
Southwest Airlines Co. 2,400 57
UAL Corp. 100 14
Wendy's International, Inc. 28,200 505
---------
13,498
---------
ENERGY - 7.7%
Amoco Corp. 36,600 2,438
Anadarko Petroleum Corp. 4,700 203
Ashland, Inc. 4,700 165
Atlantic Richfield Co. 12,200 1,339
Baker Hughes, Inc. 200 4
Burlington Resources, Inc. 100 4
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Chevron Corp. 47,400 $ 2,210
Dresser Industries, Inc. 9,900 220
Exxon Corp. 148,900 10,516
FINA, Inc. Class A 700 33
Howell Corp. 1,000 14
Indiana Energy, Inc. 5,000 95
Kerr-McGee Corp. 5,000 268
Mitchell Energy & Development Corp.
Class A 3,900 71
Mobil Corp. 80,900 7,766
Murphy Oil Corp. 200 8
Occidental Petroleum Corp. 45,800 1,048
Oryx Energy Co. (a) 5,300 73
Parker & Parsley Petroleum Co. 100 2
Rowan Cos., Inc. (a) 2,300 19
Royal Dutch Petroleum Co. - ADR 59,000 7,191
Schlumberger, Ltd. 21,500 1,336
Tenneco, Inc. 25,100 1,155
Texaco, Inc. 24,400 1,601
Union Texas Petroleum Holdings, Inc. 18,600 393
Unocal Corp. 14,000 386
---------
38,558
---------
FINANCE - 13.5%
Advanta Corp. Class A 3,600 149
Aetna Life & Casualty Co. 4,500 283
AFLAC, Inc. 69,825 3,055
Ahmanson (H.F.) & Co. 37,400 823
Allstate Corp. 34,600 1,025
AMBAC, Inc. 1,400 56
American Express Co. 8,000 281
American Financial Group, Inc. 20,300 528
American General Corp. 63,500 2,143
American International Group, Inc. 18,300 2,086
American National Insurance Co. 9,600 578
AON Corp. 4,700 175
AT&T Capital Corp. 30,000 803
Banc One Corp. 22,600 729
Bank of Boston Corp. 63,199 2,370
Bank of New York Co., Inc. 86,984 3,512
BankAmerica Corp. 64,100 3,373
Bankers Trust New York Corp. 5,400 335
BanPonce Corp. 2,000 71
Barnett Banks, Inc. 6,800 349
BayBanks, Inc. 2,600 206
Bear Stearns Cos., Inc. 86,273 1,844
Beneficial Corp. 3,100 136
Boatmen's BancShares, Inc. 10,600 372
</TABLE>
Equity Q Fund 39
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Central Fidelity Banks, Inc. 2,500 $ 75
Chemical Banking Corp. 33,200 1,569
CIGNA Corp. 30,400 2,360
Citicorp 66,100 3,826
CNA Financial Corp. (a) 3,900 337
Comerica, Inc. 6,600 212
CoreStates Financial Corp. 8,200 286
Crestar Financial Corp. 1,900 93
Dean Witter, Discover & Co. 20,400 959
Edwards (A.G.), Inc. 3,500 79
Federal Home Loan Mortgage Corp. 22,700 1,561
Federal National Mortgage Association 30,600 2,888
Fifth Third Bancorp 3,600 203
First Chicago Corp. 30,400 1,820
First Colony Corp. 2,600 62
First Interstate Bancorp 7,200 578
First Tennessee National Corp. 1,700 79
First Union Corp. 10,500 475
First USA, Inc. 14,300 635
First Virginia Banks, Inc. 1,300 49
Firstar Corp. 4,600 155
Fleet Financial Group, Inc. 14,600 542
Golden West Financial Corp. 400 19
Great Western Financial Corp. 9,300 192
Green Tree Financial Corp. 12,100 537
Horace Mann Educators Corp. 18,900 435
Household International Corp. 15,300 757
Huntington Bancshares, Inc. 6,500 135
Integra Financial Corp. 1,900 92
KeyCorp 14,400 452
Lehman Brothers Holdings, Inc. 10,200 223
Loews Corp. 15,600 1,888
Marshall & Ilsley Corp. 3,400 77
MBIA, Inc. 1,700 113
MBNA Corp. 43,000 1,451
Mellon Bank Corp. 7,400 308
Mercantile Bancorp, Inc. 2,400 108
Mercury Finance Corp. 9,000 173
Mercury General Corp. 700 24
Merrill Lynch & Co., Inc. 6,600 347
MGIC Investment Corp. 200 9
Midlantic Corp. 27,900 1,109
Morgan (J.P.) & Co., Inc. 100 7
National City Corp. 25,100 737
NationsBank Corp. 55,189 2,960
NBD Bancorp, Inc. 2,700 86
Northern Trust Corp. 3,400 135
Norwest Corp. 63,400 1,823
Old Republic International Corp. 12,400 324
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Paine Webber Group, Inc. 3,900 $ 74
PNC Bank Corp. 15,000 396
Progressive Corp. 4,100 157
Protective Life Corp. 28,100 766
Raymond James Financial, Inc. 925 18
Republic New York Corp. 2,300 129
Shawmut National Corp. 8,400 268
Shawmut National Corp. 1996 Warrants (a) 134 1
Southern National Corp. 6,000 144
SouthTrust Corp. 1,400 32
St. Paul Cos., Inc. 22,000 1,084
Star Banc Corp. 14,700 676
State Street Boston Corp. 4,300 159
Student Loan Marketing Association 11,700 548
SunTrust Banks, Inc. 5,100 297
Synovus Financial Corp. 700 16
Torchmark Corp. 3,400 128
Transamerica Corp. 2,200 128
Travelers, Inc. 9,900 433
U.S. Trust Corp. 6,000 428
UJB Financial Corp. 12,900 392
UMB Financial Corp. 300 11
Union Bank 25,600 1,062
Unitrin, Inc. 10,500 496
UNUM Corp. 5,200 244
USLIFE Corp. 200 8
Wachovia Corp. 17,900 639
Washington Mutual, Inc. 4,200 97
West One Bancorp 4,100 135
Wilmington Trust Corp. 1,500 41
---------
67,653
---------
GENERAL BUSINESS - 5.2%
ADT, Ltd. 4,200 49
American Greetings Corp. Class A 34,600 1,012
Belo (A.H.) Corp. Class A 37,500 1,148
BHC Communications, Inc. Class A (a) 3,800 305
Capital Cities/ABC, Inc. 39,900 4,309
CBS, Inc. 6,900 462
Central Newspapers, Inc. Class A 3,400 101
Comcast Corp. Special Class A 14,900 276
Comdisco, Inc. 900 27
Cox Communications, Inc. Class A 5,200 101
Donnelley (R.R.) & Sons Co. 12,800 461
Flightsafety International, Inc. 4,600 224
General Motors Corp. Class E 30,100 1,309
Harcourt General, Inc. 24,000 1,020
</TABLE>
40 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Kelly Services, Inc. Class A 12,200 $ 308
Lee Enterprises, Inc. 100 4
Manpower, Inc. 54,000 1,377
Media General, Inc. Class A 4,900 153
Omnicom Group, Inc. 2,300 139
Paging Network, Inc. (a) 2,200 74
PHH Group, Inc. 24,800 1,104
Pulitzer Publishing Co. 18,500 789
SBC Communications, Inc. 106,750 5,084
Service Corp. International 9,650 305
Staples, Inc. (a) 70,400 2,033
Tele-Communications, Inc. Class A (a) 58,900 1,377
Time Warner, Inc. 35,200 1,448
Tribune Co. 5,100 313
Viacom, Inc. Class A (a) 18,936 881
---------
26,193
---------
MISCELLANEOUS - 0.8%
Chris Craft Industries, Inc. (a) 5,964 209
Eckerd Corp. (a) 8,700 278
ITT Corp. 27,300 3,208
Providian Corp. 5,100 185
Trimas Corp. 2,600 60
---------
3,940
---------
SHELTER - 0.8%
Armstrong World Industries, Inc. 3,100 155
Georgia Pacific Corp. 15,800 1,371
Granite Construction, Inc. 9,300 206
Lennar Corp. 100 2
Louisiana Pacific Corp. 6,100 160
Masco Corp. 8,000 216
Owens-Corning Fiberglas Corp. (a) 8,600 317
Weyerhaeuser Co. 32,900 1,550
---------
3,977
---------
TECHNOLOGY - 14.3%
3Com Corp. (a) 100 7
Adaptec, Inc. (a) 4,300 158
Advanced Micro Devices, Inc. 6,900 251
Allied-Signal, Inc. 44,800 1,994
AMP, Inc. 13,300 562
Amphenol Corp. Class A (a) 14,600 425
Analog Devices, Inc. (a) 3,300 112
Apple Computer, Inc. 3,100 144
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Applied Materials, Inc. (a) 13,700 $ 1,182
Autodesk, Inc. 6,700 285
Avery Dennison Corp. 22,300 892
Avnet, Inc. 29,000 1,403
Bay Networks, Inc. (a) 6,300 259
Boeing Co. 18,300 1,146
Borland International, Inc. (a) 16,400 211
Breed Technologies, Inc. 27,000 648
Cabletron Systems, Inc. (a) 3,850 205
Ceridian Corp. (a) 14,500 535
Cisco Systems, Inc. (a) 700 35
Coltec Industries, Inc. (a) 5,900 102
COMPAQ Computer Corp. (a) 19,700 894
Computer Associates International, Inc. 25,400 1,721
Conner Peripherals, Inc. (a) 2,400 30
Cray Research, Inc. (a) 100 2
Dell Computer Corp. (a) 5,000 301
Digital Equipment Corp. (a) 9,800 399
Electronic Arts (a) 200 5
EMC Corp. (a) 9,800 238
Gateway 2000, Inc. (a) 4,600 105
General Dynamics Corp. 4,400 195
General Instrument Corp. (a) 30,600 1,174
General Motors Corp. Class H 47,900 1,892
Harris Corp. 2,400 124
HBO & Co. 20,900 1,139
Hewlett-Packard Co. 82,500 6,146
Intel Corp. 35,400 2,239
International Business Machines Corp. 115,800 11,117
Intuit, Inc. (a) 1,400 106
KLA Instruments Corp. (a) 300 23
Lam Research Corp. (a) 16,300 1,039
Linear Technology Corp. 8,100 531
Lockheed Martin Corp. 25,739 1,625
Longview Fibre Co. 16,600 282
Loral Corp. 5,000 259
Maxim Integrated Products, Inc. (a) 10,700 543
McDonnell Douglas Corp. 21,900 1,681
Micron Technology, Inc. 14,200 779
Microsoft Corp. (a) 5,600 506
Motorola, Inc. 77,400 5,195
Northern Telecom, Ltd. 16,400 599
Northrop Grumman Corp. 700 36
Novell, Inc. (a) 24,300 483
Oracle Systems Corp. (a) 54,450 2,096
Parametric Technology Corp. (a) 7,800 386
Picturetel Corp. New (a) 200 10
Policy Management Systems Corp. (a) 9,400 432
Quantum Corp. (a) 2,700 62
</TABLE>
Equity Q Fund 41
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Raytheon Co. 21,800 $ 1,692
Read-Rite Corp. (a) 35,700 951
Rockwell International Corp. 39,300 1,798
Scientific-Atlanta, Inc. 13,300 293
Seagate Technology (a) 10,300 404
Silicon Graphics, Inc. (a) 19,900 794
Sun Microsystems, Inc. (a) 11,000 534
Sundstrand Corp. 1,300 78
Sybase, Inc. (a) 2,500 72
Tandem Computers, Inc. (a) 31,800 513
Tandy Corp. 16,595 861
Tellabs, Inc. (a) 3,000 144
Teradyne, Inc. (a) 11,600 758
Texas Instruments, Inc. 20,300 2,718
Textron, Inc. 20,600 1,197
Thomas & Betts Corp. 1,200 82
TRW, Inc. 13,600 1,086
United Technologies Corp. 3,200 250
Varian Associates, Inc. 27,900 1,541
Xerox Corp. 2,500 293
Xilinx, Inc. (a) 4,500 421
---------
71,430
---------
TRANSPORTATION - 1.1%
Burlington Northern, Inc. 5,600 355
Conrail, Inc. 19,600 1,090
CSX Corp. 7,200 541
Federal Express Corp. (a) 13,100 796
Florida East Coast Industries, Inc. 200 15
GATX Corp. 5,500 259
Illinois Central Corp. 500 17
Norfolk Southern Corp. 8,500 573
Ryder System, Inc. 32,900 785
Union Pacific Corp. 15,200 842
---------
5,273
---------
UTILITIES - 11.3%
ALC Communications Corp. New (a) 14,700 663
Allegheny Power System, Inc. 5,800 136
American Water Works, Inc. 3,500 111
Ameritech Corp. 97,100 4,272
AT&T Corp. 116,700 6,200
Atlanta Gas Light Co. 800 28
Baltimore Gas & Electric Co. 30,800 770
Bell Atlantic Corp. 22,400 1,254
BellSouth Corp. 82,100 5,213
Boston Edison Co. 3,200 84
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
California Energy, Inc. (a) 3,500 $ 57
Carolina Power & Light Co. 8,500 257
Central & Southwest Corp. 3,100 81
Central Hudson Gas & Electric Corp. 9,600 259
Central Maine Power Co. 1,800 21
CILCORP, Inc. 8,500 309
Cincinnati Bell, Inc. 58,000 1,465
CINergy Corp. 4,400 116
CIPSCO, Inc. 11,000 329
CMS Energy Corp. 3,900 96
Coastal Corp. 100 3
Consolidated Edison Co.
of New York, Inc. 79,400 2,342
Detroit Edison Co. 24,700 729
Dominion Resources, Inc. 7,700 281
DQE, Inc. 1,800 42
Duke Power Co. 9,200 382
El Paso Natural Gas Co. 2,700 77
Enron Corp. 50,200 1,763
Entergy Corp. 64,500 1,556
FPL Group, Inc. 8,000 309
Frontier Corp. 14,900 358
General Public Utilities Corp. 5,000 149
GTE Corp. 95,553 3,261
Houston Industries, Inc. 5,800 244
Illinova Corp. 1,300 33
MCI Communications Corp. 84,500 1,848
New England Electric System 2,900 100
Niagara Mohawk Power Corp. 6,400 94
NIPSCO Industries, Inc. 8,900 303
Northern States Power Co. 11,600 535
Ohio Edison Co. 16,000 362
Oklahoma Gas & Electric Co. 1,800 63
ONEOK, Inc. 11,300 242
Pacific Enterprises 51,500 1,262
Pacific Gas & Electric Co. 134,600 3,903
Pacific Telesis Group 20,700 554
PacifiCorp. 32,200 604
Panhandle Eastern Corp. 46,600 1,136
Peco Energy Co. 2,600 72
Pinnacle West Capital Corp. 3,800 93
Potomac Electric Power Co. 5,500 118
Public Service Co. of Colorado 2,400 78
Public Service Enterprise Group, Inc. 36,000 999
Rochester Gas & Electric Corp. 19,200 408
SCE Corp. 174,200 2,983
Sonat, Inc. 6,300 192
Southern Co. 43,900 982
Southern Indiana Gas & Electric Co. 3,800 122
</TABLE>
42 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (000)
--------- ---------
<S> <C> <C>
Southern New England
Telecommunications Corp. 7,100 $ 250
Sprint Corp. 72,850 2,450
Texas Utilities Co. 9,700 333
TransCanada Pipelines, Ltd. 4,500 60
U.S. West, Inc. 23,600 982
Unicom Corp. 81,100 2,160
Western Resources, Inc. 2,300 72
Williams Cos. (The) 6,300 221
---------
56,831
---------
TOTAL COMMON STOCKS
(cost $403,902) 485,465
---------
PREFERRED STOCKS - 0.1%
Chrysler Corp. Class Series A 3,700 490
---------
TOTAL PREFERRED STOCKS
(cost $561) 490
---------
OPTIONS - 0.2%
S & P 500 Index Sep 500 Call (a) 40* 193
S & P 500 Index Sep 520 Call (a) 115* 348
S & P 500 Index Sep 530 Call (a) 150* 332
S & P 500 Index Sep 540 Call (a) 105* 155
---------
TOTAL OPTIONS
(cost $776) 1,028
---------
LONG-TERM INVESTMENTS - 0.0%
WMX Technologies, Inc. (conv.)
2.000% due 01/24/05 $182 153
---------
TOTAL LONG-TERM INVESTMENTS
(cost $280) 153
---------
SHORT-TERM INVESTMENTS - 5.4%
Frank Russell Investment Company Money
Market Fund, due on demand (b) 18,280 18,280
United States Treasury Notes
8.875% due 07/15/95 (b)(d) 4,500 4,506
4.250% due 12/31/95 (d) 4,500 4,469
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $27,240) 27,255
---------
<CAPTION>
Market
Value
(000)
---------
<S> <C>
TOTAL INVESTMENTS
(identified cost $432,759)(c) - 102.6% $514,391
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (2.6%) (13,207)
---------
NET ASSETS - 100.0% $501,184
---------
---------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995, the cost for federal income tax purposes was $433,575
and net unrealized appreciation for all securities was $80,816. This
consisted of aggregate gross unrealized appreciation for all securities in
which there was an excess of market value over tax cost of $86,853 and
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over market value of $6,037.
(d) Held as collateral by the custodian in connection with options written by
the Fund
* Number of contracts.
</TABLE>
OPTIONS WRITTEN
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Contracts (000)
--------- ---------
<S> <C> <C>
PUT OPTIONS (Note 2)
S & P 500 Index Sep 500 (a) 40 $ 7
S & P 500 Index Sep 520 (a) 115 42
S & P 500 Index Sep 530 (a) 150 83
S & P 500 Index Sep 540 (a) 105 84
---------
Total liability for options written
(premiums received $368)** $216
---------
---------
<FN>
** At June 30, 1995, United States Treasury Notes valued at $8,975 were
held as collateral by the custodian in connection with options
written by the Fund.
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity Q Fund 43
<PAGE>
EQUITY Q FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost
$432,758,591)(Note 2). . . . . . . . . . . . . . . . . . . . $514,390,594
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,973
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . 1,475,489
Investments sold . . . . . . . . . . . . . . . . . . . . . . 3,116,337
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 960,216
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . 3,688
------------
519,950,297
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . $ 2,882,320
Fund shares redeemed . . . . . . . . . . . . . 15,308,222
Accrued management fees (Note 4) . . . . . . . 251,012
Accrued transfer agent fees (Note 4) . . . . . 13,284
Accrued bookkeeping service fees (Note 4). . . 5,932
Other accrued expenses . . . . . . . . . . . . 90,105
Options written, at market value
(premiums received $367,738)(Notes 2 and 3). . 215,688 18,766,563
---------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $501,183,734
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $2,591,063
Accumulated net realized gain (loss) . . . . . . . . . . . . . 15,123,496
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 81,632,010
Options written. . . . . . . . . . . . . . . . . . . . . . . 152,050
Shares of beneficial interest. . . . . . . . . . . . . . . . . 173,616
Additional paid-in capital . . . . . . . . . . . . . . . . . . 401,511,499
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $501,183,734
------------
------------
Net asset value, offering and redemption price per share
($501,183,734 divided by 17,361,615 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . $28.87
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
44 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,634,820
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 686,375
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . 259,447
------------
6,580,642
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $729,362
Custodian fees . . . . . . . . . . . . . . . . . 162,557
Bookkeeping service fees . . . . . . . . . . . . 11,967
Professional fees. . . . . . . . . . . . . . . . 9,966
Registration fees. . . . . . . . . . . . . . . . 12,632
Transfer agent fees. . . . . . . . . . . . . . . 51,664
Trustees' fees . . . . . . . . . . . . . . . . . 1,965
Miscellaneous. . . . . . . . . . . . . . . . . . 10,657 990,770
-------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 5,589,872
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . 15,817,099
Options written (Notes 2 and 3). . . . . . . . . . . . . . . . 1,159,646
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 62,175,359
Options written. . . . . . . . . . . . . . . . . . . . . . . . (62,146)
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . 79,089,958
------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . $ 84,679,830
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity Q Fund 45
<PAGE>
EQUITY Q FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,589,872 $ 11,280,726
Net realized gain (loss) from: , . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,817,099 15,394,913
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,159,646 1,017,325
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,175,359 (23,595,261)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (62,146) 128,010
-------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 84,679,830 4,225,713
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,036,118) (11,243,421)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,181,701) (15,148,864)
In excess of net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . -- (3,441,395)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . (6,939,516) 73,330,565
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70,522,495 47,722,598
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 430,661,239 382,938,641
-------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $2,591,063 and $37,306, respectively) . . . . . . . . . . . . . . . . . . . . . . . $501,183,734 $430,661,239
-------------- -------------
-------------- -------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 2,811,647 $ 74,553,494 $ 5,273,653 $ 134,441,281
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . 259,036 6,722,728 1,141,327 28,032,603
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (3,338,873) (88,215,738) (3,497,670) (89,143,319)
----------- ------------ ------------ -------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . (268,190) $ (6,939,516) $ 2,917,310 $ 73,330,565
----------- ------------ ------------ -------------
----------- ------------ ------------ -------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
46 Equity Q Fund
<PAGE>
EQUITY Q FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $24.43 $ 26.03 $ 25.23 $ 24.90 $ 20.20 $ $22.45
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .32 .69 .66 .67 .75 .81
Net realized and unrealized gain on investments. . . . . . . . . 4.54 (0.41) 2.71 1.73 5.58 (1.89)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . 4.86 0.28 3.37 2.40 6.33 (1.08)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.18) (.69) (.66) (.68) (.75) (.79)
Net realized gain on investments . . . . . . . . . . . . . . . . (.24) (.97) (1.85) (1.39) (.88) (.38)
In excess of net realized gain on investments. . . . . . . . . . -- (.22) (.06) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.42) (1.88) (2.57) (2.07) (1.63) (1.17)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $28.87 $ 24.43 $ 26.03 $ 25.23 $ 24.90 $ 20.20
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 20.08 .99 13.80 9.97 32.14 (4.81)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . . . . . .43 .11 .15 .18 .23 .31
Net investment income to average net assets (b). . . . . . . . . 2.44 2.74 2.50 2.80 3.23 3.70
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 76.94 45.87 54.69 58.35 51.37 66.51
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 501,184 430,661 382,939 290,357 215,779 133,869
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
(c) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers.
Effective April 1, 1995, management fees are included in expenses.
See Note 4.
</TABLE>
Equity Q Fund 47
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
COMMON STOCKS - 91.5%
ARGENTINA - 0.2%
Banco de Galicia Y Buenos Aires
Class B - ADR 6,247 $ 98
Banco Frances del Rio la Plata - ADR 3,686 66
Buenos Aires Embotelladora SA - ADR 3,247 82
Comercial de Plata (a) 23,620 59
Naviera Perez Companc Class B 39,513 166
Sociedad Comercial del Plata - ADR (a) 1,928 48
Telecom Argentina SA Class B - ADR 1,485 68
Telefonica de Argentina Class B - ADR 13,060 323
Transportadora de Gas Del Sur
Class B - ADR 5,591 50
YPF Sociedad Anonima Class D - ADR (a) 13,560 256
---------
1,216
---------
AUSTRALIA - 2.8%
Amcor, Ltd. 18,000 133
Australia & New Zealand
Bank Group, Ltd. 512,795 1,822
Australian Gas & Light Co. 98,165 311
Australian National Industries, Ltd. 319,483 277
Broken Hill Proprietary Co. 93,702 1,154
Burns Philip & Co., Ltd. 73,239 153
Coca-Cola Amatil, Ltd. 24,300 150
Coca-Cola Amatil, Ltd. Rights (a) 6,075 7
Coeval Holdings (a)(d) 100,000 0
Coles Myer, Ltd. 126,950 399
Commonwealth Bank of Australia 6,262 42
CSR, Ltd. 228,147 713
Eastern Aluminum 236,000 193
Elders Australia, Ltd. 200,000 220
Elders Australia, Ltd. Rights (a) 100,000 22
Fosters Brewing Group, Ltd. 315,000 280
Giant Resources (a)(d) 400,000 0
GIO Australia Holdings 246,633 459
Goodman Fielder Wattie 252,938 210
Hardie (James) Industries, Ltd. 105,200 166
Lend Lease Corp. 24,339 311
M.I.M. Holdings, Ltd. 74,845 93
Mayne Nickless, Ltd. 33,262 137
National Australia Bank, Ltd. 60,900 481
News Corp. 586,986 3,279
Normandy Poseidon 42,200 52
North Broken Hill Peko 151,800 367
Pacific Dunlop, Ltd. 78,888 166
Pioneer International, Ltd. 172,600 429
Publishing Broadcasting, Ltd. 59,030 174
QNI Limited (a) 160,000 218
Renison Goldfields 71,198 225
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Rothmans Holdings 64,200 $ 221
Santos, Ltd. 254,200 611
Schroders Property Fund (a) 70,083 107
Southcorp Holdings, Ltd. 164,600 329
Stockland Trust Group 55,600 130
T N T, Ltd. (a) 387,219 509
Tabcorp. Holdings, Ltd. 73,000 151
Wesfarmers 50,303 319
Western Mining Corp. 603,842 3,326
Westfield Trust 162,400 284
Westfield Trust (units) (a) 8,406 15
Westpac Banking Corp. 80,046 290
Wills (W.D. & H.O.) 68,000 119
Woodside Petroleum, Ltd. 57,000 224
---------
19,278
---------
AUSTRIA - 0.5%
Austrian Airlines (a) 280 47
Bank Austria AG 3,500 291
Brau-Union Goess-Reininghaus-
Osterreichische Brau (a) 2,528 157
BWT AG 2,200 267
Creditanstalt Bankverein 7,488 441
EA-Generali AG 300 88
EVN Energ-Versorg 900 126
Flughafen Wien AG 1,534 82
Interunfall Vericherungs AG 500 79
Lenzing AG 600 56
Leykam-Murzta Papi (a) 1,400 62
Oester Brau Beteil 1,562 82
Oester Elektrizita Class A 9,220 676
OMV AG 2,296 265
Radex-Heraklith 1,100 37
Universale-Bau (a) 750 31
VA Technologie AG (BR) 2,300 288
Veitsch Radex AG 1,700 41
Wienerberger Baustoff 400 154
Z Landerbank Austria (PTG) 8,460 299
---------
3,569
---------
BELGIUM - 0.7%
Arbed SA NPV (a) 3,546 517
Banque Bruxelles Lambert New 57 9
Banque Bruxelles Lambert NPV 549 92
Barco NV NPV (a) 560 59
Electrabel NPV 4,452 941
Fortis AG 1,526 164
</TABLE>
International Fund 49
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Generale de Banque NPV 2,380 $ 765
Gevaert Photo-Producten NV (a) 1,000 55
Groupe Bruxelles Lambert NPV 500 68
Kredietbank NPV 3,281 776
Societe Generale de Belgique (a) 876 63
Solvay SA NPV 1,109 608
Tractebel Investments International NPV 150 54
UCB Capital NV 870 869
---------
5,040
---------
BRAZIL - 0.2%
Cesp Cia Energetic - ADS (a) 4,600 51
Eletrobras (centrais) NPV 1,003,580 262
Sider Nacional Cia NPV 5,060,000 115
Telecomunicacoes Brasileiras - ADR 27,748 947
Telecomunicacoes Brasileiras NPV 4,826,000 137
Usinas Siderurgicas de Minas - ADR 4,116 46
---------
1,558
---------
CANADA - 0.7%
Abitibi-Price, Inc. 4,300 70
Air Canada, Inc. (a) 12,700 55
Alcan Aluminum, Ltd. 12,800 387
Bank of Montreal 9,800 205
Bank of Nova Scotia Halifax 9,839 212
Barrick Gold Corp. 28,100 709
Brascan, Ltd. Class A 3,700 58
Brunswick Mining &
Smelting Corp., Ltd. 6,400 46
Canadian Imperial Bank of Commerce 10,100 243
Canfor Corp. 4,100 45
Cominco, Ltd. (a) 12,500 230
Domtar, Inc. NPV (a) 14,500 138
Fletcher Challenge Canada, Ltd. Class A 4,100 65
Imasco, Ltd. IF (a) 6,200 110
Imperial Oil, Ltd. New 14,000 520
Inco, Ltd. 15,700 440
MacMillan Bloedel, Ltd. 9,400 133
National Bank of Canada 9,100 75
Petro-Canada 12,500 118
Placer Dome, Inc. 31,300 818
Ranger Oil, Ltd. 11,400 72
Royal Bank of Canada 5,040 113
Suncor, Inc. NPV 2,300 64
TransCanada Pipelines, Ltd. 4,100 55
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
United Dominion Industries, Ltd. 2,400 $ 54
Varity Corp. New (a) 20 1
---------
5,036
---------
CHILE - 0.2%
Administradora de Fondos de
Pensiones Provida SA - ADR 1,300 35
Chile Fund, Inc. 5,149 277
Chilectra SA - ADR 3,194 162
Chilgener SA - ADR 2,357 74
Compania de Telefonos (Chile) SA - ADR 935 76
Enersis SA - ADR 3,114 92
Five Arrows Chile Fund (PTG) 77,950 228
Five Arrows Chile Fund 1999 Warrants (a) 15,590 10
Genesis Chile Fund (PTG) 7,330 264
---------
1,218
---------
CHINA - 0.1%
Huaneng Power International, Inc.
- ADR Series N (a) 16,200 298
Yizheng Chemical Fibre Series H 775,000 270
---------
568
---------
DENMARK - 0.4%
Bang & Olufsen Holdings Class B 1,000 272
Coloplast A/S Class B (Regd) (a) 3,500 265
Danisco (a) 6,500 278
Den Danske Bank 7,380 463
ISS International Series B 7,000 183
Novo Nordisk AS Class B 3,000 320
Sophus Berendsen Class B 2,400 226
Tele Danmark AS Series B 7,200 401
Unidanmark Class A (Regd) 3,300 162
---------
2,570
---------
FINLAND - 0.5%
America Group Class A 16,300 296
Cultor OY Series 2 Free 6,350 207
Cultor OY Series I (a) 2,000 64
Enso Gutzeit OY Series A 12,000 109
Kansallis Osake PK (a) 150,000 163
Kymmene Corp. 1,900 59
Metsa Serla OY Class B 5,100 227
Nokia AB Series A (a) 14,008 820
</TABLE>
50 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Outokumpu OY Class A 36,500 $ 607
Partek AB OY 6,000 81
Rautaruukki OY 22,800 160
Repola OY 6,900 145
Stockmann OY AB Series B Free 1,300 55
Unitas Series A (a) 101,000 326
Valmet Corp. Class A 6,000 136
---------
3,455
---------
FRANCE - 6.3%
Accor SA 4,505 600
Alcatel Alsthom 11,057 995
Alcatel Cable 2,200 134
Assurances Generales de France 2,300 74
AXA (a) 17,800 961
Banque Nationale Paris 43,883 2,117
Boiron 1,500 147
Bouygues 3,768 451
Carrefour SA 3,904 2,000
Castorama Dubois 2,500 414
Chargeurs Rights New (a) 2,240 45
Chargeurs SA 2,190 427
Christian Dior 6,000 528
Cic et de L'Union Europeene (a) 1,800 116
Cie de St. Gobain 10,854 1,311
Cie de Suez 22,952 1,277
Cie Finance Paribas Class A (BR) 47,750 2,870
Clarins (a) 2,200 207
Compagnie Bancaire SA 1,214 145
Credit Local de France 3,550 329
Credit Lyonnais Cert d'Invest. (a) 6,525 376
Credit National 1,433 115
D.M.C. Dollfuss-Mieg 3,900 219
Eaux (cie Generale) 34,112 3,797
Ecco STE 2,731 428
Erid Beghin-Say 2,048 316
Groupe Danone 3,404 573
GTM - Entrepose (a) 2,700 213
L'Air Liquide 2,275 363
L'Oreal (Societe) 763 191
Lafarge Corp. SA (BR) 10,326 803
Lagardere Groupe (Regd) 11,000 228
Lapeyre (BR) 5,470 360
Legrand (a) 2,800 444
LVMH Moet-Hennessy 5,522 994
Michelin (Cie Gen) Class B (Regd) 11,515 510
Moulinex (a) 11,000 266
Pechiney Cert d'Invest. 9,900 571
Peugeot SA 4,640 644
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Pinault-Printemps Redoute SA 2,029 $ 435
Poliet 4,110 373
Primagaz (Cie des Gaz) 735 128
Promodes 1,700 387
Renault 5,500 172
Rhone Poulenc SA Class A - ADR 13,800 311
Roussel Uclaf 660 103
Sanofi 12,191 675
Schneider SA (ex Spep) 300 24
SEITA 10,200 307
SGS Thomson Microelectronics (a) 7,400 297
Societe Generale 40,379 4,719
Societe Nationale Elf d'Aquitaine 12,070 892
Sodexho (a) 1,000 226
Sommer-Allibert 700 258
Sovac 900 80
Synthelabo 7,500 426
Thomson-CSF 29,400 659
Total Co. SA Class B 54,972 3,309
TV Francaise (TFI) 11,153 1,098
Ugine SA 2,900 204
Union des Assurances Paris 49,249 1,291
Union Financiere de France Banque SA 1,500 130
Valeo 15,700 763
Worms & Cie (Regd) 3,150 153
---------
43,979
---------
GERMANY - 5.9%
AEG AG 1,150 106
Allianz AG Holdings 896 1,599
Allianz AG Holding Rights (a) 896 67
Altana AG 311 168
AVA ALG Handels VB 1,659 648
Axel Springer Verlag (Regd.) 276 156
Bankgesell Berlin 1,450 384
BASF AG 1,350 288
Bayer AG 10,800 2,686
Bayer Hypotheken & Wechsell Bank 1,739 476
Bayer Motoren Werk 449 247
Bayer Vereinsbank AG 4,450 1,350
Berliner Handels & Frankfurter Bank 1,700 446
Berliner Kraft & Licht 300 74
Bilfinger & Berger 635 293
Buderus AG 1,096 527
Commerzbank AG 2,472 591
Continental AG 1,400 203
Daimler-Benz AG 8,646 3,970
Deutsche Bank AG (a) 105,510 5,127
</TABLE>
International Fund 51
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Deutsche Pfandief & Hypothekenbank AG 950 $ 483
Dresdner Bank AG (a) 40,300 1,166
Dt Pfand 190 95
Fag Kugelfischer (a) 1,300 177
Gehe AG 1,749 803
Gehe AG New (a) 437 193
Heidelberg Zement 610 521
Hoechst AG 3,160 683
M.A.N. AG 1,490 384
Mannesmann AG 17,501 5,347
Munchener Ruckversicherungs 720 1,578
Preussag AG (a) 450 134
Rhon Klinikum AG 455 536
RWE AG 1,500 521
SAP AG (a) 600 796
Schering AG (a) 11,460 801
Siemens AG 3,450 1,713
SKW Trostberg AG (a) 8,600 180
Thyssen AG (a) 1,900 354
Veba AG 4,689 1,843
Veba International Finance
1998 Warrants (a) 1,700 223
Volkswagen AG 11,332 3,274
---------
41,211
---------
HONG KONG - 3.4%
Cathay Pacific Airways 261,000 381
Cheung Kong Holdings, Ltd. 470,000 2,326
Citic Pacific, Ltd. 138,000 347
Cross Harbour Tunnel Co. 45,000 87
Dairy Farm International Holdings, Ltd. 219,924 189
Dickson Concept International 150,000 90
Great Eagle Holdings 111,000 237
H.S.B.C. Holdings (UK Regd) 59,750 766
Hang Seng Bank 89,000 679
Harbour Centre Development 50,000 54
Hong Kong & China Gas Co., Ltd. 245,692 392
Hong Kong & China Gas Co., Ltd.
1995 Warrants (a) 5,812 1
Hong Kong & Shanghai Hotel 36,000 44
Hong Kong Electric 188,500 641
Hong Kong Ferry 49,500 56
Hong Kong Land Holdings, Ltd. 558,503 1,016
Hong Kong Telecommunications 706,400 1,397
Hopewell Holdings, Ltd. 585,905 496
Hutchison Whampoa, Ltd. 921,000 4,452
Jardine International Motor 64,000 63
Kowloon Motor Bus 42,400 76
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Kumagai Gumi Hong Kong 65,000 $ 55
Lai Sun Garment International 52,200 54
Lane, Crawford International Class A 73,000 98
Mandarin Oriental International, Ltd. (a) 491,920 492
National Mutual Asia 430,000 275
New World Development Co., Ltd. 127,000 423
Playmates International Holdings 95,561 16
Regal Hotels International 1,016,000 201
San Miguel Brewery 66,000 44
Shanghai Petrochemical Class H 924,000 290
Shun Tak Holdings, Ltd. 86,000 68
Sing Tao 370,000 203
Sino Land Co. 582,000 425
South China Morning Post 250,000 150
Stelux Holdings International (a) 253,639 75
Sun Hung Kai Properties, Ltd. 181,900 1,346
Swire Pacific, Ltd. Class A 290,000 2,211
Television Broadcast 336,000 1,181
Wharf Holdings 583,224 1,903
Wheelock & Co. 156,000 259
Winsor Industrial Corp., Ltd. 88,000 117
World Trade Centre (a) 500,000 62
---------
23,738
---------
INDIA - 0.0%
Shiriram Industria (units) 3,000 86
---------
86
---------
INDONESIA - 0.0%
Astra International (Alien Market) 84,500 150
---------
150
---------
IRELAND - 0.1%
Allied Irish Banks 59,000 279
CRH PLC 39,000 264
---------
543
---------
ITALY - 2.9%
Alitalia-Linee Aeree (a) 116,000 55
Alleanza Assicurazioni di Risp 160 1
Assicurazioni Generali SPA 61,558 1,447
Banca Commerciale Italiana 107,250 243
Banca Commerciale Italiana
1995 Warrants (a) 38,874 20
Banca Pop di Bergamo CV 4,000 47
Banco Ambrosiano Veneto di Risp NC 183,000 248
</TABLE>
52 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Banco Commerciale Italiana di Risp 43,000 $ 91
Banco di Napoli di Risp (a) 253,000 113
Banco di Roma (a) 221,750 202
Banco Fideuram SPA 94,725 108
Benetton Group SPA 109,700 1,086
Bonifiche Siele Finanziaria (a) 4,000 87
Burgo (Cartiere) SPA 31,500 208
CIR Compagnie Industriali (a) 203,000 155
Cogefar Inpresit (a) 17,000 16
Credito Italiano 35,000 41
Credito Italiano di Risp NC 87,500 96
Danieli & C di Risp NC 20,080 61
Danieli & Co. (a) 3,000 19
Danieli & Co. 1999 Warrants (a) 5,020 4
Edison (a) 70,000 312
Editoriale La Repubblica SPA (a) 75,000 89
Ericsson 1,150 17
Fiat SPA (a) 1,068,200 3,767
Fiat SPA di Risp NC 77,000 166
Fidis 30,000 64
Fila Holdings SPA - ADR 13,250 330
Finmeccanica SPA (a) 182,000 115
First Banco S. Paolo 67,500 366
Gilardini Industrie 12,500 24
I.M.I. 60,068 367
Industria Macchine Automatiche SPA (a) 60,000 284
Industrie Natuzzi SPA - ADR 11,100 368
Istituto National Assicurazioni (a) 228,000 307
Italcementi (a) 29,750 205
Italcementi NC di Risp (a) 10,500 33
Italgas (Soc. Ital.) 111,191 289
Marzotto & Figli 5,000 31
Mondadori (Arnoldo) Editore 41,000 262
Montedison SPA (Ferruzzi Agricola) (a) 1,100,000 787
Olivetti & Cie SPA (a) 482,500 471
Parmalat Finanziaria SPA 73,000 65
Pirelli & Co. 23,000 32
Pirelli & Co. Rights (a) 23,000 3
R.A.S. 3,740 39
R.A.S. NV di Risp 40,800 260
R.A.S. 1997 Warrants (a) 13,200 31
Rinascenti (LA) 43,500 247
Rinascenti (LA) di Risp NC 13,000 35
Saipem AG 10,000 20
Sasib SPA 16,000 74
Sasib SPA di Risp NC 85,507 229
Sirti SPA 69,500 514
SME (Meridonale di) 59,500 148
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
SNIA BPD (a) 170,000 $ 195
SOFAP (a) 125,000 157
SOPAF di Risp (a) 195,500 161
Sorin Biomedica Group SPA 8,000 19
Stet 237,910 658
Stet di Risp NC 174,290 387
Telecom Italia di Risp 277,895 588
Telecom Italia SPA 1,315,604 3,566
Unicem di Risp 12,463 74
---------
20,504
---------
JAPAN - 30.9%
Achilles Corp. 140,000 514
Advantest 9,000 340
Aisin Seiki Co., Ltd. 14,000 160
Ajinomoto Co., Inc. 3,000 31
Alps Electric Co. 31,000 325
Amada Co., Ltd. 86,000 736
Aoki Corp. 85,000 309
Apic Yamada Corp. (a) 4,000 160
Arabian Oil Co. (a) 2,400 102
Asahi Bank 80,000 854
Asahi Breweries 8,000 92
Bank of Yokohama 14,000 119
Banyu Pharmaceutical 4,000 47
Bunka Shutter Co. (a) 40,000 197
Canon, Inc. 57,000 928
Canon Sales Co., Inc. 3,000 83
Central Glass Co. (a) 50,000 170
Chiba Bank, Ltd. 13,000 118
Chubu Electric Power Co., Inc. (a) 2,400 66
Chugai Pharmaceutical Co. 34,000 344
Chuo Spring Co. 70,000 358
Chuo Trust & Banking 70,000 793
Citizen Watch Co., Ltd. 39,000 242
Cosmo Oil Co. 185,000 1,046
CSK Corp., Ltd. 13,400 310
Dai Ichi Kangyo Bank 30,000 542
Dai Ichi Pharmaceutical Co. 91,000 1,331
Dai Nippon Printing, Ltd. 66,000 1,051
Dai Nippon Screen Manufacturing Co. (a) 125,000 841
Daicel Chemical Industries 45,000 230
Daido Hoxan, Inc. (a) 45,000 280
Daido Steel Co. 100,000 472
Daiei, Inc. 196,000 2,382
Daifuku Machinery Co. 16,000 179
Daikin Industries 83,000 668
Daikyo, Inc. 6,000 42
</TABLE>
International Fund 53
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Daishinku Corp. 76,000 $ 785
Daito Trust Construction 50,000 472
Daiwa Bank 240,000 2,166
Daiwa House Industries Co. 50,000 767
Daiwa Kosho Lease Co. Ltd. 5,000 46
Daiwa Securities 258,000 2,721
DDI Corp. 538 4,316
Denny's Japan 1,000 25
Diamond Lease Co. 20,000 297
East Japan Railway 650 3,336
Eisai Co. 4,000 68
Fanuc Co. 12,000 518
Fuji Denki Reiki 57,000 619
Fuji Electric Co. (a) 81,000 408
Fuji Fire & Marine Insurance (a) 40,000 224
Fuji Oil Co. 84,000 630
Fuji Photo Film Co. 65,000 1,542
Fujisawa Pharmaceutical 45,000 471
Fujita Corp. 24,000 113
Fujita Kanko, Inc. 3,000 66
Fujitsu Denso 25,920 474
Fujitsu, Ltd. 64,000 638
Fukui Bank 100,000 537
Fukuyama Transporting Co. 9,000 82
Futaba Corp. 21,000 951
Gakken Co. (a) 225,000 1,383
General Sekiyu KK 19,000 202
Gunze Sangyo, Inc. 80,000 331
Hankyu Corp. 30,000 180
Hanshin Electric Railway 58,000 213
Hanwa Co. (a) 25,000 65
Haseko Corp. 47,000 222
Heiwa Corp. NPV 30,000 683
Hitachi, Ltd. 431,000 4,297
Hitachi Zosen Corp. 59,000 238
Hokkai Can Co. 60,000 472
Hokkaido Takushoku Bank, Ltd. 300,000 821
Hokko Chemical Industries 50,000 277
Hokuetsu Bank (a) 90,000 540
Honda Motor Co., Ltd. 160,000 2,454
Hoya Corp. 2,000 59
Hyakugo Bank 80,000 562
Inax Corp. 31,000 299
Intec, Inc. 55,000 662
Ishihara Sangyo (a) 119,000 354
Ishikawajima-Harima Heavy Industries 220,000 864
Ishizuka Glass Co. 70,000 362
Ito-Yokado Co., Ltd. 40,000 2,110
Itochu Corp. 27,000 158
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Itoham Foods 105,000 $ 805
Izumiya Co. (a) 12,000 194
Japan Airport Terminal 6,000 71
Japan Aviation Electronics (a) 8,000 45
Japan Energy Corp. 61,000 198
Japan Steel Works (a) 15,000 33
Japan Synthetic Rubber 20,000 101
Japan Tobacco, Inc. 101 903
Joshin Denki Co. (a) 6,000 69
Juroku Bank (a) 80,000 517
Kajima Corp. 10,000 99
Kamigumi Co. 6,000 60
Kanematsu Corp. 428,000 1,616
Kankaku Securities 32,000 104
Kao Corp. 74,000 891
Kato Works Co. 80,000 389
Kawasaki Heavy Industries 242,000 894
Kawasaki Kisen (a) 130,000 337
Kawasho Corp. (a) 132,000 545
Keihin Electric Express 16,000 106
Keio Teito Electric Railway 22,000 129
Keisei Electric Railway 10,000 66
Kinki Nippon Railway 59,000 518
Kirin Brewery Co. 20,000 212
Kissei Pharmaceutical Co. 1,100 35
Kitz Corporation 100,000 437
Koa Fire & Marine 60,000 368
Koa Oil Company 100,000 700
Kokuyo Co., Ltd. 22,000 493
Komatsu Forklift Co., Ltd. 101,000 771
Komori Corp. 88,000 1,796
Konica Corp. 186,000 1,139
Krosaki Corp. (a) 106,000 390
Kumagai Gumi Co. 178,000 746
Kumiai Chemical Industry Co. (a) 65,000 380
Kurabo Industries 275,000 993
Kuraray Co., Ltd. 52,000 565
Kureha Chemical Industrial Co. 40,000 160
Kyocera Corp. 37,000 3,047
Kyokuto Boeki 40,000 283
Kyowa Hakko Kogyo 8,000 77
Maeda Corp. 10,000 111
Makita Corp. 38,000 520
Marubeni Corp. 163,000 829
Maruetsu, Inc. 33,000 278
Marui Co., Ltd. 62,000 988
Matsushita Electric Industrial Co., Ltd. 186,000 2,897
Matsushita ElectricWorks 10,000 108
Matsuzakaya Co. 64,000 649
</TABLE>
54 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Minebea Co., Ltd. 4,000 $ 26
Minolta Camera Co. (a) 90,000 329
Mitsubishi Corp. 34,000 387
Mitsubishi Electric Corp. 147,000 1,034
Mitsubishi Estate Company, Ltd. 59,000 665
Mitsubishi Heavy Industries 149,000 1,013
Mitsubishi Kasei 250,000 1,071
Mitsubishi Material 169,000 758
Mitsubishi Motors Corp. 110,000 907
Mitsubishi Oil Co. 22,000 211
Mitsubishi Paper Mills 47,000 247
Mitsubishi Trust & Banking 81,000 1,147
Mitsubishi Warehouse 4,000 55
Mitsui & Co. 190,000 1,484
Mitsui Fudosan Co., Ltd. 221,000 2,532
Mitsui Petrochemical Industry 54,000 409
Mitsui Soko Co. 88,000 639
Mitsui Toatsu Chemical (a) 40,000 147
Mitsui Trust and Banking 99,000 911
Mitsukoshi 80,000 572
Mochida Pharmaceutical Co. 2,400 37
Mori Seiki Co. 5,000 89
Morinaga Milk Industry Co. 86,000 401
Murata Manufacturing Co. 16,000 606
Nagasakiya Co. (a) 140,000 629
Nagoya Railroad Co., Ltd. 25,000 132
Nankai Electric Railway 17,000 125
National House Industrial 13,000 241
Navix Line (a) 106,000 226
NEC Corp. 696,000 7,629
New Oji Paper Co. 230,000 2,212
Nichiban Co. 115,000 621
Nichido Fire & Marine 208,000 1,681
Nichiei Co., Ltd. of Kyoto 119,000 477
Nichiei Co., Ltd. of Yokohama 60,000 652
Nichimo Co. (a) 38,000 165
Nikon Corp. (a) 151,000 1,486
Nippon Credit Bank 220,000 1,090
Nippon Denso Co. 57,000 1,036
Nippon Express Co. 51,000 469
Nippon Hodo Co. 17,000 299
Nippon Kinzoku Co. 120,000 517
Nippon Oil Co. 309,000 1,943
Nippon Paper Industries (a) 100,000 649
Nippon Road Co. 85,000 842
Nippon Sheet Glass 50,000 224
Nippon Soda Co. (a) 38,000 165
Nippon Steel Corp. 942,000 3,068
Nippon Suisan (a) 316,000 1,495
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Nippon Telegraph & Telephone Corp. 344 $ 2,882
Nissan Motor Co., Ltd. 569,000 3,639
Nissan Shatai Co. 65,000 348
Nisshinbo Industries, Inc. 24,000 189
Nissin Electric 50,000 330
Nitto Denko Corp. 17,000 265
NKK Corp. (a) 170,000 399
Nomura Securities 173,000 3,021
North Pacific Bank 65,000 367
NSK, Ltd. 160,000 923
NTT Data Communications
Systems Corp. (a) 46 722
Obayashi Corp. 185,000 1,423
Odakyu Electric Railway 25,000 182
Okamoto Industries, Inc. 8,000 45
Okamura Corp. 50,000 358
Ono Pharmaceutical 2,000 87
Osaka Gas Co. 160,000 591
Parco Co., Ltd. 18,000 190
Pioneer Electronics Corp. 140,000 2,379
Renown, Inc. (a) 63,000 186
Ricoh Co., Ltd. 60,000 515
Royal Co., Ltd. 8,000 111
Sagami Co. 36,000 263
Sagami Railway Co. 14,000 65
Sakura Bank 215,000 2,245
Sangetsu Co. 14,000 372
Sankyo Co. 35,000 814
Sankyo Seiko Co. 83,000 623
Sankyu, Inc. 200,000 748
Sanrio Co. 1,000 10
Sanwa Bank (a) 50,000 944
Sanyo Electric Co., Ltd. 138,000 679
Sapporo Breweries 6,000 56
Sasebo Heavy Industries Co. 155,000 309
Secom Co. 2,000 126
Sega Enterprises 5,300 188
Seibu Railway Co. 18,000 688
Seino Transportation 5,000 84
Sekisui Chemical Co., Ltd. 95,000 1,121
Sekisui House, Ltd. 71,000 880
Settsu Corp. (a) 41,000 126
Seven Eleven Japan NPV 5,000 358
Sharp Corp. 375,000 4,955
Shikoku Chemical Corp. 80,000 383
Shikoku Electric Power 60,000 1,671
Shin-Etsu Chemical Co. 29,000 510
Shionogi & Co. 5,000 44
Shiseido Co., Ltd. 23,000 259
</TABLE>
International Fund 55
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Showa Aircraft Industry 4,000 $ 41
Showa Aluminium Co. 100,000 408
Showa Shell Sekiyu 18,400 176
Sintokogio 50,000 375
Skylark Co. 2,000 31
Snow Brand Milk 125,000 981
Sony Corp. 105,300 5,057
Sony Music Entertainment, Inc. (a) 12,000 508
Sumitomo Bank 145,000 2,515
Sumitomo Corp. 241,000 2,195
Sumitomo Electric Industries 80,000 953
Sumitomo Forestry 101,000 1,680
Sumitomo Metal Industries, Ltd. (a) 861,000 2,245
Sumitomo Realty & Development 428,000 2,555
Sumitomo Rubber Industries 90,000 669
Sumitomo Trust & Banking 92,000 1,118
SXL Corp. 45,000 484
Taisei Corp. 16,000 95
Taisho Pharmaceutical Co., Ltd. 5,000 97
Takeda Chemical Industries 14,000 185
Tanabe Seiyaku Co. 85,000 636
TDK Corp. 17,000 774
Teijin, Ltd. 191,000 915
Teikoku Oil 13,000 77
Tobu Railway Co. 34,000 212
Toho Co. 4,400 732
Toho Gas 160,000 570
Tohoku Electric Power (a) 40,000 1,109
Tokio Marine & Fire 181,000 2,076
Tokyo Broadcasting 62,000 885
Tokyo Dome Corp. (a) 4,000 61
Tokyo Electric Co., Ltd. (a) 100,000 395
Tokyo Electronics 17,000 582
Tokyo Kisen Co. (a) 37,000 301
Tokyo Ohka Kogyo 53,600 1,461
Tokyo Steel Manufacturing 20,000 342
Tokyo Tatemono Co., Ltd. 8,000 41
Tokyotokeiba Co. 7,000 28
Tokyu Car Corp. 130,000 601
Tokyu Construction 26,000 134
Tokyu Corp. 45,000 289
Tokyu Land Corp. 17,000 72
Tomiya Apparel Co. 50,000 322
Tonen Corp. 34,000 530
Toppan Printing 39,000 511
Toshiba Tungaloy Co. (a) 121,000 488
Tostem Corp. 2,000 62
Toto, Ltd. 3,000 43
Toyo Construction (a) 160,000 836
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Toyo Tire & Rubber Co. (a) 90,000 $ 333
Toyo Trust & Banking 12,000 101
Toyoda Machine Works 44,000 312
Toyota Motor Corp. 101,000 2,002
UBE Industries (a) 108,000 377
Victor Co. of Japan (a) 26,000 279
Wacoal Corp. 64,000 793
Yamaha Motor Co. 88,000 640
Yamaha Motor Corp. 167,000 1,823
Yamaichi Securities Co. 111,000 595
Yamanouchi Pharmaceutical 5,000 113
Yamato Transport 14,200 151
Yamazaki Baking Co., Ltd. (a) 44,000 903
Yasuda Fire & Marine
Insurance Co., Ltd. (The)(a) 129,000 807
Yasuda Trust & Banking 216,000 1,415
Yokogawa Electric Co. 16,000 113
Yurtec Corp. 22,000 483
Zexel Corporation 60,000 405
---------
214,725
---------
MALAYSIA - 2.3%
Affin Holdings Berhad 449,000 792
Affin Holdings Berhad 1999 Warrants (a) 98,600 62
Aokam Perdana Berhad 71,000 176
Bandar Raya Developments 36,000 78
Berjaya Sports (a) 236,000 418
Carlsberg Brewery Malaysia Berhad 64,000 302
Commerce Asset Holdings Rights (a) 54,000 143
Faber Group Berhad (a) 132,000 127
Genting Berhad 63,000 623
Golden Hope Plantation 39,000 72
Highlands & Lowlands 43,000 83
Hume Industries Berhad 3,000 16
Idris Hydraulic (a) 55,000 75
Kuala Lumpur Kepong (a) 25,000 79
Magnum CP Berhad 500 1
Malayan Banking Berhad (a) 250 2
Malayan Banking Berhad 27,250 211
Malaysia Mining Corp. 22,000 40
Malaysian Airline System 62,000 210
Malaysian Helicopter Services 800 1
Multi Purpose Holding 348,000 614
Perlis Plantations (a) 26,000 86
Public Bank Berhad (Alien Market) 488,000 1,091
Renong Berhad 876,000 1,631
Resorts World Berhad 389,000 2,282
Selangor Properties (a) 31,000 35
</TABLE>
56 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Sime Darby Berhad (Resident Shares) 737,640 $ 2,058
Sime UEP Properties Berhad 100,000 196
Tan Chong Motor Holdings 432,000 493
Tanjong PLC 140,000 482
Technical Resource Industries Berhad (a) 441,000 1,266
Telekom Malaysia 55,000 417
United Engineers Berhad 269,000 1,710
---------
15,872
---------
MEXICO - 0.5%
Cemex SA Class B NPV 39,709 143
Cifra SA de CV - ADR 431,503 595
Compania Cervecerias Unidas SA - ADR 3,214 85
Empresa Nacional de Electric - ADR 6,635 167
Formento Economico Series B NPV 35,158 82
Gruma SA Series B NPV (a) 29,932 85
Grupo Embotellador de Mexico (a) 39,600 206
Grupo Financiero Banamex AC Series B 23,159 36
Grupo Financiero Banamex AC
Series L NPV 1,157 2
Grupo Industrial Maseca Series B NPV 172,343 115
Grupo Sidek Series B NPV (a) 55,450 50
Grupo Television SA de CV - GDR 11,767 240
Pan American Beverage Class A 6,177 185
Telefonos de Mexico SA Series L - ADR 36,100 1,069
Tolmex SA de CV Class B 77,052 301
---------
3,361
---------
NETHERLANDS - 4.0%
ABN AMRO Holdings NV 22,179 856
Ahold-NV 19,568 701
AKZO Nobel NV 4,461 533
Boskalis Westminster CVA 15,700 219
CSM NV CVA 18,609 820
DSM NV (BR) 5,300 457
Elsevier NV 280,370 3,311
Fortis Amev NV 6,185 337
Hagemeyer NV (a) 4,184 186
International Nederlanden CVA 29,430 1,628
KNP BT (Kon) NV 9,900 298
Kon Ptt Nederland 27,540 990
Nedlloyd Groep NV 11,000 375
Nutricia Verenigde Bedrijven CVA 3,510 244
Philips Electronics 18,700 792
Polygram 28,618 1,690
Royal Dutch Petroleum Co. (BR) 40,660 4,965
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Unilever NV CVA 13,660 $ 1,777
Wolters Kluwer CVA 87,182 7,691
---------
27,870
---------
NEW ZEALAND - 0.7%
Air New Zealand Class B 268,278 780
Brierley Investments, Ltd. 17,642 13
Carter Holt Harvey 246,441 603
Fernz Corp. 3,700 11
Fisher & Paykel 8,179 24
Fletcher Challenge, Ltd. 540,251 1,517
Fletcher Challenge, Ltd.
(Forests Division) 106,898 141
Independent Newspapers 27,000 84
Lion Nathan, Ltd. 241,000 477
Tasman Properties, Ltd. (a) 28,176,400 414
Telecom Corp. of New Zealand 125,000 468
Wrightson Limited 150,000 103
---------
4,635
---------
NORWAY - 1.2%
Aker AS Series A 2,800 37
Aker AS Series B 21,900 275
Bergesen DY AS Series A 22,320 507
Bergesen DY AS Series B 2,900 66
Den Norske Creditbank AS 38,000 103
Det Norske Luftsfartsverk AS Series B 2,600 112
Dyno Industrier AS 13,200 333
Elkem AS Series A 7,800 109
Hafslund Nycomed AS Series A 4,600 108
Hafslund Nycomed AS Series B Free 18,750 434
Kvaerner AS 9,590 436
Kvaerner Industries AS Series B Free 500 22
Leif Hoegh & Co. AS 6,700 91
Norsk Hydro AS 78,046 3,274
Norske Skogindustrier AS Class A 1,200 42
Olav Thon Eiendomsselskap AS 13,700 225
Orkla AS New 20,889 936
Saga Petroleum AS 2,000 28
Saga Petroleum AS Series B Free 8,070 107
Schibsted AS 59,600 754
Simrad AS Class B 10,100 125
Vard AS (a) 8,857 16
Veidekke AS 6,100 120
Vital Forsikring AS Series A 2,500 43
---------
8,303
---------
</TABLE>
International Fund 57
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
PHILIPPINES - 0.0%
Enron Global Power & Pipelines L.L.C. 2,144 $ 51
---------
51
---------
PORTUGAL - 0.1%
Banco Espir Santo (Regd) 21,900 366
Jeronimo Martins 7,590 386
---------
752
---------
SINGAPORE - 2.1%
Amcol Holdings 53,000 153
Chuan HUP Holdings, Ltd. 134,000 109
DBS Land 304,000 953
Development Bank (Alien Market) 19,000 216
Far East Levingston 51,000 245
First Capital Corp. 105,000 325
Fraser & Neave 90,000 1,037
Hai Sun Hup Group 220,000 132
Haw Par Brothers International, Ltd. 62,100 130
Hotel Properties 63,000 111
Inchcape Berhad 31,000 101
Indonesian Development 26,500 212
Jardine Matheson Holdings, Ltd. 123,033 904
Jardine Strategic Holdings, Ltd. 579,656 1,866
Jardine Strategic Holdings, Ltd.
1998 Warrants (a) 58,794 26
Jurong Shipyard 46,000 329
Keppel Corp. 176,000 1,436
Lum Chang Holdings 40,000 34
Marco Polo Developments, Ltd. 30,000 39
Natsteel, Ltd. 100,000 209
Neptune Orient Lines, Ltd. 214,000 248
Overseas Chinese Banking (Alien Market) 5,332 59
Overseas Union Bank (Alien Market) 23,500 148
Overseas Union Enterprises 45,000 275
Parkway Holdings 24,000 58
Prima, Ltd. 11,000 41
Robinson & Co., Ltd. 30,000 123
Sembawang Shipyard 102,000 620
Shangri-La Hotel 3,000 12
Singapore Airlines, Ltd. (Alien Market) 60,000 554
Singapore Land 153,000 1,002
Singapore Press Holdings (Alien Market) 21,600 323
Singapore Telecommunications, Ltd. (a) 140,000 278
Straits Trading Co. 130,000 326
Times Publishing 29,000 72
United Engineers 18,000 34
United Industrial Corp., Ltd. (a) 491,000 474
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
United Overseas Bank, Ltd.
(Alien Market) 134,378 $ 1,269
United Overseas Bank, Ltd.
1997 Warrants (a) 17,618 83
United Overseas Land 21,000 42
WBL Corp., Ltd. 22,000 50
---------
14,658
---------
SOUTH AFRICA - 0.3%
Barlow, Ltd. 19,500 200
De Beers Consolidated Mines, Ltd. - ADR 13,700 355
Free State Consolidated Gold Mines 18,000 233
Free State Consolidated Gold
Mines, Ltd. - ADR 18,800 230
ISCOR 416,800 473
Safmarine & Rennie Holdings, Ltd. 57,000 165
South African Breweries 10,500 300
South African Breweries - ADR 6,300 180
Vaal Reefs Exploration & Mining, Ltd.
New - ADR 700 4
---------
2,140
---------
SOUTH KOREA - 0.3%
Korea Electric Power Corp. 7,400 277
Pohang Iron & Steel 5,700 492
Samsung Electronics - GDS (a) 2,236 106
Samsung Electronics Co. - GDS (a) 11,300 596
Samsung Electronics, Ltd. 234 38
Samsung Electronics, Ltd. New (a) 46 7
Yukong, Ltd. (a) 3,971 166
Yukong, Ltd. New (a) 284 11
---------
1,693
---------
SPAIN - 2.5%
Argentaria 17,950 663
Asturiana Del Zinc (a) 10,351 99
Aumar (Aut Del Mar) 8,149 97
Banco Bilbao Vizcaya 38,816 1,120
Banco Central Hispano
Americano SA (Regd) 26,900 570
Banco de Santander SA (Regd) 41,775 1,647
Banco Intercontinental 10,000 900
Banco Pastor SA 4,000 193
Banco Popular Espanol (Regd) 6,323 940
Banco Zaragozano (Regd) (a) 4,200 66
Bodegas Y Bebidas 500 15
</TABLE>
58 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Bodegas Y Bebidas Series 3 (BR) 2,000 $ 58
Centros Commerciales Pryca 48,824 907
Conserva Campofrio SA 950 44
Cristale Espanola (BR) (a) 7,024 400
Cubiertas Y Mzov 101 6
Ebro Agricolas 21,500 224
Empresa Nacional de Celulosas (a) 9,500 241
Empresa Nacional de Electricidad 20,306 1,003
Fab Autom Renault 1,500 45
Fom Construction Y Contra 5,030 428
Fuerzas Electricat Series A 69,323 403
Gas Natural SDG SA 3,738 446
Grupo Anaya SA 1,900 49
Iberdrola SA 184,960 1,393
Koipe SA 1,145 66
Obrascon SA 7,000 86
Repsol SA 31,810 1,000
Sarrio SA (a) 19,700 100
Sevillana de Electrica 46,173 284
Sociedad General Azucarera
de Espana SA de CV 10,650 299
Tabacalera SA Series A (Regd) 25,593 957
Tableros de Fibras Series B (a) 10,800 125
Tableros de Fibras Series B New (a) 3,514 41
Telefonica de Espana 148,737 1,916
Union Electrica Fenosa 28,100 132
Uralita (a) 14,700 177
Vallehermoso SA 4,200 72
Viscofan Envoltura 20,500 303
---------
17,515
---------
SWEDEN - 2.7%
Asea AB Free Series A 3,730 322
Astra AB Series A 203,485 6,283
Astra AB Series B 54,630 1,646
Atlas Copco AB Series B 21,550 299
Avesta-Sheffield 76,500 842
Electrolux AB Series B Free 15,000 683
Ericsson (LM) Telephone Co. Class B 37,200 742
Esselte AB Series B Free 6,430 80
Foreninsbanken Kredit AB Series A (a) 183,000 312
Hennes & Mauritz AB Series B Free 14,770 865
Hoganas AB B Shares 13,000 254
Hufvudstaden Fast Series A 9,200 52
Incentive Series B Free 19,700 794
Investor AB Series A Free 1,400 41
Kinnevik Investment Series B Free 13,400 409
Mo Och Domsjo AB Series B 700 40
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Munksjo AB 50,800 $ 444
OM Gruppen AB (a) 41,200 433
Pharmacia AB Class B (a) 2,100 46
Pharmacia AB Series A 6,229 137
Sandvik AB Series B 21,570 392
Scribona AB Series B Free 4,140 30
Skand Enskilda Barken Series A 353,230 1,836
Skanska Series B AB Free 4,800 111
SKF AB Series A (a) 30,000 602
Stora Kopparbergs Series B (a) 18,000 244
Svenska Handelsbank Series A 7,600 113
Trelleborg AB Series B Free 44,500 520
Volvo AB Series A 1,700 32
Volvo AB Series B 25,450 485
---------
19,089
---------
SWITZERLAND - 3.7%
Adia SA (a) 300 62
Baer Holdings AG (BR) 230 270
Baloise Holdings (Regd) 160 365
BBC Brown Boveri 2,010 2,081
Bil GT Gruppe AG 420 236
Bobst AG 30 45
Ciba Geigy AG (BR) 175 128
Ciba Geigy AG (Regd) 2,822 2,068
CS Holdings (Regd) 20,788 1,905
Elektrowatt AG (BR) 250 72
Fischer (Georg) AG (BR) 300 404
Helvetia Schweizerische
Vericherungs-Gesellschaft (Regd) 250 129
Hilti AG 225 199
Holderbank Financiere Glarus (BR) 515 423
Holderbank Financiere Glarus AG
1995 Warrants (a) 2,575 3
Intershop Holding AG (BR) 100 51
Landis & Gyr AG (Regd) 50 32
Merkur Holding AG (Regd) 260 73
Nestle SA (Regd) 2,326 2,422
Phoenix Mecano (BR) 500 206
Richemont Series A (BR) 200 247
Roche Holdings Genusscheine AG NPV 460 2,964
Sandoz AG (Regd) 2,877 1,984
Sarna Kunststoff Holdings AG (Regd) 100 127
Schindler Holding AG (PTG) 25 24
Schindler Holding AG (Regd) 70 74
Schweiz Bankgesellsch (BR) 1,700 1,761
Schweiz Bankverein (BR) 5,077 1,799
</TABLE>
International Fund 59
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Schweiz Bankverein (Regd) 2,101 $ 372
Schweiz Ruckversicher (Regd) 390 300
SGS Holding (BR) 410 712
SMH AG Neuenburg (BR) 240 154
SMH AG Neuenburg (Regd) 3,200 431
Swissair (Regd) 440 305
Winterthur (BR) 240 147
Winterthur (Regd) 1,175 706
Winterthur Finance Rights New (a) 1,415 10
Zurich Versicherung (BR) 880 1,106
Zurich Versicherung (Regd) 860 1,081
---------
25,478
---------
THAILAND - 0.2%
Advanced Information Services
(Alien Market) 10,400 148
Bangkok Bank (Alien Market) 31,700 349
Bank of Ayudhya Public Co., Ltd.
(Alien Market) 35,800 175
Land & House (Alien Market) 5,500 116
Siam Cement Co. (Alien Market) 4,550 291
Siam Commercial Bank (Alien Market) 19,000 182
Thai Farmers Bank (Alien Market) 26,700 255
United Communications Industries
(Alien Market) 9,500 139
---------
1,655
---------
UNITED KINGDOM - 15.1%
Abbey National PLC 187,000 1,392
Airtours PLC 135,000 868
Allied Colloids PLC 202,000 397
Amec PLC 72,222 72
Amstrad PLC 43,012 170
Argos PLC 78,290 538
Argyll Group PLC 371,688 1,983
ASDA-MFI Group PLC 1,956,459 2,941
Associated British Ports PLC 122,000 543
B.A.T. Industries PLC 231,889 1,778
BAA PLC 21,760 171
Barclays Bank PLC 95,000 1,021
BASS PLC 84,485 808
Berisford PLC 10,200 34
BOC Group PLC 23,000 294
Boots Co. PLC 27,351 221
Bowater PLC 52,000 399
British & Commonwealth
Shipping PLC (a)(d) 30,000 0
British Aerospace PLC 162,292 1,453
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
British Aerospace PLC (units) (a) 1,871 $ 21
British Gas PLC 250,500 1,153
British Land Co. PLC 21,098 134
British Petroleum Co. PLC 698,326 5,004
British Steel PLC 215,728 589
British Telecommunications PLC 298,707 1,862
BTR PLC 232,034 1,179
Bunzl PLC 19,414 62
Burton Group PLC 170,772 225
Cable & Wireless PLC 185,360 1,268
Cadbury Schweppes PLC 459,328 3,353
Caradon PLC 203,582 764
Carlton Communications PLC 2,460 37
Charter PLC (Regd) 5,079 73
Coats Viyella PLC 70,000 207
Compass Group PLC (a) 25,000 148
Costain Group PLC (a) 136,502 231
Cowie Group PLC 89,375 394
Dalgety PLC 56,000 392
Dixon Group PLC (a) 22,042 90
East Midlands Electricity PLC 46,880 478
Eastern Electric PLC 17,000 175
English China Clay PLC 24,367 150
First Leisure Corp. PLC 120,000 571
First National Finance Corp. PLC 333,000 474
Fisons PLC 52,062 159
Forte PLC 302,306 1,094
General Electric Co. PLC 200,314 978
Glaxo Holdings PLC 513,386 6,300
Glynwed International PLC 75,200 389
Granada Group PLC 82,000 796
Grand Metropolitan PLC 292,963 1,796
Great Portland Estates PLC 33,962 92
Great University Stores PLC 42,816 400
Greenalls Group PLC 20,553 159
Guardian Royal Ex PLC 187,000 614
Guinness PLC 194,280 1,462
H.S.B.C. Holdings PLC 51,000 658
Hammerson Property PLC 90,486 499
Hanson PLC 275,000 960
Health (CE) & Co. PLC 14,000 45
Heywood Williams Group PLC 33,666 120
Hillsdown Holdings PLC 251,895 725
Huntingdon International Holdings
PLC - ADR (a) 117,800 545
Imperial Chemical Industries PLC 121,548 1,490
Inchcape PLC (a) 23,000 108
Invesco PLC 140,000 473
Kingfisher PLC 261,357 1,765
Ladbroke Group, Ltd. PLC 309,385 832
</TABLE>
60 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Laing (John) PLC Class A NV 82,800 $ 271
LASMO PLC 173,240 473
Lloyds Bank PLC 126,000 1,250
London Electricity PLC 75,720 773
London International Group PLC 32,600 57
Lonrho PLC 228,811 539
Marks & Spencer PLC 122,323 786
MEPC PLC 97,221 591
MFI Furniture Group PLC 191,000 355
Midlands Electric PLC 6,306 63
National Power PLC 81,995 581
National Westminster Bank PLC 203,296 1,767
Northern Foods PLC 21,458 62
Norweb PLC 62,202 670
Ocean Group PLC 9,810 49
Pearson PLC 60,000 568
Pen & Orient DFD PLC 106,047 976
Pilkington Brothers PLC 147,775 410
Polly Peck International
Holdings PLC (a)(d) 228,423 0
Powergen PLC 40,088 308
Provident Financial PLC 42,000 420
Racal Electronics PLC 256,000 1,044
Rank Organisation PLC 98,750 624
Reckitt & Colman PLC 63,884 676
Redland PLC 90,868 595
Reed International PLC 118,940 1,671
Reuter's Holdings PLC 134,206 1,118
Rolls-Royce PLC 160,370 445
Royal Bank of Scotland Group PLC 107,000 728
RTZ Corp. PLC (Regd) 120,000 1,564
Sainsbury (J.) PLC 50,082 352
Scottish Hydro-Electric PLC (a) 77,000 391
Scottish Power PLC 21,253 109
Sears PLC 242,404 384
Securicor Group PLC Class A (a) 4,311 66
Shell Transportation & Trading
PLC (Regd) 169,200 2,022
Smith & Nephew PLC 66,585 189
Smith (David S) Holdings PLC 48,000 496
SmithKline Beecham PLC Class A 160,300 1,451
SmithKline Beecham/BEC Units PLC 349,192 3,099
Smiths Industries PLC 64,000 528
South Western Electric PLC 24,975 264
Spring Ram Corp. PLC 31,777 18
Stagecoach Holdings PLC 140,000 481
Standard Chartered Bank Group PLC 138,000 733
Storehouse PLC 27,200 116
Sun Alliance Group PLC 124,000 663
T & N PLC 130,000 348
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Tarmac, Ltd. PLC 450,344 $ 806
Taylor Woodrow PLC 557,578 1,020
Tesco Store Holdings PLC 252,163 1,163
Thorn EMI PLC 19,275 399
Tomkins PLC 389,500 1,391
Trafalgar House PLC 360,000 258
Trinity Holdings PLC 85,000 462
Unilever PLC 30,375 615
United Biscuits PLC 119,637 610
United Newspaper, Ltd. PLC 80,200 663
Vendome PLC 67,000 504
Vickers, Ltd. PLC 97,000 319
Vodafone Group PLC 1,599,600 5,941
Welsh Water PLC 114,600 1,211
Whitbread & Co. PLC 27,479 262
Willis Corroon Group PLC 83,000 198
Wimpey (George), Ltd. PLC 32,746 59
Wolseley PLC 1,330 7
WPP Group PLC 250,000 485
Zeneca Group PLC (a) 26,000 439
---------
104,532
---------
UNITED STATES - 0.0%
US Industries, Inc.
(Spin-off from Hanson PLC, UK) (a) 2,250 31
---------
31
---------
TOTAL COMMON STOCKS
(cost $601,995) 636,079
---------
CONVERTIBLE PREFERRED STOCKS - 0.1%
AUSTRALIA - 0.0%
TNT, Ltd. 143,000 197
---------
197
---------
HONG KONG - 0.1%
Amoy Properties - IDR 7,200 508
---------
508
---------
UNITED KINGDOM - 0.0%
First National Finance Corp. PLC 20,000 48
Trafalgar House PLC 205,000 240
---------
288
---------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $1,084) 993
---------
</TABLE>
International Fund 61
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
PREFERRED STOCKS - 1.2%
AUSTRALIA - 0.3%
News Corp., Ltd. 325,471 $1,612
Sydney Harbour Casino Holdings, Ltd. (a) 528,600 545
---------
2,157
---------
AUSTRIA - 0.1%
Bau Holdings AG 2,200 106
Creditanstalt Bankverein 3,475 200
EA Generali AG 300 48
Z Landerbank Bank Austria 1,681 79
---------
433
---------
BRAZIL - 0.2%
Banco Bradesco SA NPV 34,782,276 295
Banco Itau SA (Regd) 301,000 91
Brahma (cia Cervej) NPV 611,000 200
Brahma Class A (a) 11,229 4
Brasmotor SA NPV 529,000 98
CEMIG SA 6,778,050 133
Cim Port Itau (Cia) 507,000 149
Coteminas (Cia Tec) NPV 371,000 117
Lojas Americanas NPV 5,224,000 116
Petrol Brasileiros 1,158,000 98
Telec SP Telesp NPV 1,443,753 179
Telecomunicacoes Brasileras NPV 110,018 4
Usiminas Uni Sd Mg NPV 181,000,000 204
---------
1,688
---------
FRANCE - 0.0%
Legrand 1,000 99
---------
99
---------
GERMANY - 0.5%
Bayer Motoren Werk 700 278
Escada AG 500 97
Fag Kugelfischer (a) 700 91
Fielmann AG (a) 2,610 120
GEA AG 840 270
Hornbach AG NV (a) 289 389
Hugo Boss 250 180
Krones AG NV 1,130 538
Lufthansa AG NV 1,400 204
Porsche AG (a) 950 414
Porsche AG (a) 75 32
RWE AG NV (a) 700 192
SAP AG 100 126
Wella AG 350 278
---------
3,209
---------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
ITALY - 0.1%
Autostrade Conc. SPA 145,000 $ 162
Fiat SPA (Priv) 218,000 474
---------
636
---------
NETHERLANDS - 0.0%
International Nederlanden CVA 2,901 15
---------
15
---------
TOTAL PREFERRED STOCKS
(cost $8,030) 8,237
---------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.8%
BELGIUM - 0.0%
Kredietbank (conv.)
5.750% due 12/31/03 BF 1,500 51
---------
51
---------
FRANCE - 0.0%
Michelin (Cie Gle) (conv.)
2.500% due 01/01/01 FF 235 123
---------
123
---------
INDIA - 0.0%
Essar Gujarat (conv.)
5.500% due 08/05/98 $ 50 55
---------
55
---------
ITALY - 0.0%
Danieli & Co.
7.250% due 01/01/00 IL 30,120 15
---------
15
---------
JAPAN - 0.7%
Bank of Tokyo - Cayman
Finance, Ltd. (conv.)
(Perpetual Maturity)
4.250% due 12/31/49 JY200,000 2,649
Hitachi, Ltd. (conv.)
2.700% due 03/31/97 50,000 653
Yamanouchi Pharmaceutical (conv.)
1.250% due 03/31/14 120,000 1,418
---------
4,720
---------
</TABLE>
62 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
MALAYSIA - 0.1%
Telekom Malaysia Berhad (conv.)
4.000% due 10/03/94 $ 1,000 $ 970
---------
970
---------
TOTAL LONG-TERM INVESTMENTS
(cost $5,337) 5,934
---------
SHORT-TERM INVESTMENTS - 6.9%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 47,679 47,679
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $47,679) 47,679
---------
TOTAL INVESTMENTS
(identified cost $664,125)(c) - 100.5% 698,922
---------
OTHER ASSETS AND LIABILITIES,
NET - (0.5)% (3,701)
NET ASSETS - 100.0% $695,221
---------
---------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995, the cost for federal income tax purposes was $665,797 and
net unrealized appreciation for all securities was $33,125. This consisted
of aggregate gross unrealized appreciation for all securities in which
there was an excess of market value over tax cost of $79,930 and aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $46,805.
(d) Securities are currently undergoing bankruptcy proceedings and present
negligible market value.
</TABLE>
<TABLE>
<CAPTION>
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- ---------------------------------------------------- --------- ---------
<S> <C> <C>
Basic Industries 7.9% $ 55,014
Capital Goods 8.9 61,564
Consumer Basics 11.0 76,505
Consumer Durable Goods 6.7 46,357
Consumer Non-Durables 6.6 46,121
Consumer Servicees 2.5 17,056
Energy 4.5 31,588
Finance 16.8 116,895
General Business 5.9 41,305
Miscellaneous 7.3 50,416
Shelter 3.3 22,920
Technology 2.7 19,057
Transportation 2.0 13,566
Utilities 6.7 46,645
Long-Term Investments 0.8 5,934
Short-Term Investments 6.9 47,679
-------- ---------
Total Investments 100.5 698,922
Other Assets and Liabilities, Net (0.5) (3,701)
-------- ---------
NET ASSETS 100.0% $695,221
-------- ---------
-------- ---------
</TABLE>
The accompanying notes are an integral part of the financial statements.
International Fund 63
<PAGE>
INTERNATIONAL FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $664,125,214)(Note 2) . $698,921,986
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,700
Foreign currency holdings (identified cost $6,939,720) . . . . 6,952,331
Forward foreign currency exchange contracts (cost
$36,737,364)(Notes 2 and 6). . . . . . . . . . . . . . . . . 36,737,364
Foreign currency exchange spot contracts (cost $4,936,654)
(Notes 2 and 6). . . . . . . . . . . . . . . . . . . . . . . 4,929,819
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . 3,259,383
Investments sold . . . . . . . . . . . . . . . . . . . . . . 4,459,017
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 3,045,562
Foreign taxes recoverable. . . . . . . . . . . . . . . . . . 892,973
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . 3,699
Short-term investments held as collateral for securities
loaned at market (Note 3). . . . . . . . . . . . . . . . . . 37,461,475
-------------
796,670,309
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . $9,317,826
Fund shares redeemed . . . . . . . . . . . . . 9,678,579
Accrued management fees (Note 4) . . . . . . . 431,947
Accrued transfer agent fees (Note 4) . . . . . 23,622
Accrued bookkeeping service fees (Note 4). . . 7,216
Other accrued expenses . . . . . . . . . . . . 580,320
Closed forward foreign currency contracts
(Note 2) . . . . . . . . . . . . . . . . . . . 1,101,903
Forward foreign currency exchange contracts
(cost $36,737,364)(Notes 2 and 6). . . . . . . 37,909,418
Foreign currency exchange spot contracts
(cost $4,936,654)(Notes 2 and 6) . . . . . . . 4,937,450
Collateral on securities loaned, at market
(Note 3) . . . . . . . . . . . . . . . . . . . 37,461,475 101,449,756
---------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $695,220,553
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $7,298,752
Accumulated net realized gain (loss) . . . . . . . . . . . . . 10,418,615
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 34,796,772
Foreign currency-related transactions. . . . . . . . . . . . (1,039,067)
Shares of beneficial interest. . . . . . . . . . . . . . . . . 199,325
Additional paid-in capital . . . . . . . . . . . . . . . . . . 643,546,156
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $695,220,553
-------------
-------------
Net asset value, offering and redemption price per share
($695,220,553 divided by 19,932,525 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . $34.88
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
64 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,298,524
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 1,402,231
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . 290,249
Less foreign taxes withheld. . . . . . . . . . . . . . . . . . (1,230,537)
-------------
9,760,467
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $1,310,284
Custodian fees . . . . . . . . . . . . . . . . . 895,880
Bookkeeping service fees . . . . . . . . . . . . 33,121
Professional fees. . . . . . . . . . . . . . . . 22,600
Registration fees. . . . . . . . . . . . . . . . 16,484
Transfer agent fees. . . . . . . . . . . . . . . 71,594
Trustees' fees . . . . . . . . . . . . . . . . . 1,985
Miscellaneous. . . . . . . . . . . . . . . . . . 30,791 2,382,739
---------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 7,377,728
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . 11,493,977
Foreign currency-related transactions (Notes 2 and 3). . . . . (952,835)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . (2,173,305)
Foreign currency-related transactions. . . . . . . . . . . . . (725,652)
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . 7,642,185
------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . $15,019,913
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
International Fund 65
<PAGE>
INTERNATIONAL FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $7,377,728 $10,243,257
Net realized gain (loss) from: . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,493,977 68,826,701
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . (952,835) (3,059,016)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,173,305) (45,373,352)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . (725,652) (1,153,948)
-------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 15,019,913 29,483,642
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,372,343) (5,968,486)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . (179,598) (71,880,739)
In excess of net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . -- (4,442,348)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . 7,572,501 164,491,211
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,040,473 111,683,280
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 674,180,080 562,496,800
-------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $7,298,752 and $453,074, respectively). . . . . . . . . . . . . . . . . . . . . . . . $695,220,553 $674,180,080
-------------- -------------
-------------- -------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 4,113,037 $140,525,185 6,138,023 $236,514,257
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . . 40,825 1,347,979 2,266,373 76,306,494
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (3,888,167) (134,300,663) (3,802,087) (148,329,540)
----------- ----------- ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . 265,695 $7,572,501 4,602,309 $164,491,211
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
66 International Fund
<PAGE>
INTERNATIONAL FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $34.28 $37.34 $28.92 $31.96 $29.18 $38.52
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .37 .61 .58 .67 .73 1.23
Net realized and unrealized gain (loss) on investments (a) . . . .31 .65 9.63 (2.62) 3.16 (7.27)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . .68 1.26 10.21 (1.95) 3.89 (6.04)
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.07) (.36) (.57) (.67) (.80) (1.19)
In excess of net investment income . . . . . . . . . . . . . . . -- -- (.16) -- -- --
Net realized gain on investments . . . . . . . . . . . . . . . . (.01) (3.73) (1.06) (.42) (.31) (2.11)
In excess of net realized gain on investments. . . . . . . . . . -- (.23) -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.08) (4.32) (1.79) (1.09) (1.11) (3.30)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $34.88 $34.28 $37.34 $28.92 $31.96 $29.18
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . . . . . 2.00 5.38 35.56 (6.11) 13.47 (15.94)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (c)(d). . . . . . . . . .71 .32 .39 .45 .48 .50
Net investment income to average net assets (c). . . . . . . . . 2.20 1.63 1.83 2.46 2.61 3.14
Portfolio turnover (c) . . . . . . . . . . . . . . . . . . . . . 39.84 71.09 62.04 48.99 53.13 78.30
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 695,221 674,180 562,497 348,869 252,828 171,613
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Provision for federal income tax for the year ended December 31, 1991
amounted to $.024 per share.
(b) Periods less than one year are not annualized.
(c) The ratios for the period ended June 30, 1995 are annualized.
(d) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers.
Effective April 1, 1995, management fees are included in expenses.
See Note 4.
</TABLE>
International Fund 67
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
COMMON STOCKS - 77.9%
Argentina - 4.2%
Astra Cia Argentina de Petro 78,100 $117
Banco Frances del Rio la Plata - ADR 6,600 122
Buenos Aires Embotelladora SA - ADR 18,000 452
Central Costanera Class B 75,800 239
Central Puerto SA Class B 120,000 444
Comercial de Plata (a) 164,100 407
Cresud SA (a) 317,500 489
Inversiones Y Representaciones (a) 58,257 138
Inversiones Y Representaciones SA - GDR (a) 700 16
Naviera Perez Companc Class B 372,240 1,564
Telecom Argentina Class B 87,122 396
Telefonica de Argentina Class B 231,600 581
Telefonica de Argentina Class B - ADR 3,000 74
YPF Sociedad Anonima Class D - ADR (a) 57,100 1,079
--------
6,118
--------
AUSTRIA - 0.7%
Fotex (Austrian Regd)(a) 20,000 29
Julius Meinl International 5,626 174
Nafta (a) 5,110 402
Tabak AS (a) 3,500 492
--------
1,097
--------
BANGLADESH - 0.4%
Apex Tannery 2,300 56
Bangladesh Oxygen 3,100 13
Beximco Infusion 7,500 89
Eastern Housing, Ltd. (a) 5,000 18
Mala Chemical & Pharmaceutical (a) 80,000 355
--------
531
--------
BRAZIL - 2.4%
Aracruz Celulose SA - ADR 52,900 622
Copel Parana Energ NPV 25,190,400 165
Forca E Luz (Cia Paul) NPC 4,047,900 203
Makro Atacadista - GDS (a) 30,000 443
Rhodia Ster SA NPV 106,900 149
Sider Nacional Cia NPV 32,629,670 743
Souza Cruz NPV (a) 14,620 109
Telecomunicacoes Brasileiras - ADR 5,770 197
Telecomunicacoes Brasileiras - ADR (144A) 88 3
Telecomunicacoes Brasileiras NPV 28,623,900 812
--------
3,446
--------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
CHILE - 5.6%
Administradora de Fondos
de Pensiones Provida SA - ADR 19,470 $523
Antofagasta Holdings PLC 190,000 961
Banco O'Higgins - ADR 20,000 460
Banco Osorno Y La Union
Series A - ADR 27,080 376
Chile Fund, Inc. 5,559 299
Chilgener SA - ADR 59,230 1,873
Compania de Telefonos (Chile) SA - ADR 5,322 433
Embotelladora Andina - ADR 25,196 885
Enersis SA - ADR 25,255 745
Laboratorio Chile SA - ADR 30,000 566
Madeco SA - ADR 4,942 142
Maderas Y Sinteticos Sociedad - ADR 25,400 476
Sociedad Quimica Y Minera de Chile SA - ADR 4,730 223
Vina Concha Y Toro SA - ADR 11,650 227
--------
8,189
--------
CHINA - 1.4%
China Steel Corp. - ADR 22,970 471
Huaneng Power International, Inc. - ADR Series N (a) 9,800 180
Luoyang Glasswork Class H 38,000 19
Shanghai Dazhong Taxi Class B (a) 342,570 249
Shanghai Diesel Class B 134,000 83
Shanghai Hai Xing Shipping Co. Class H 3,950,000 807
Yizheng Chemical Fibre Series H 800,000 279
--------
2,088
--------
COLOMBIA - 0.3%
Banco de Colombia New- GDR 52,400 393
--------
393
--------
CZECH REPUBLIC - 0.4%
Cepap AS (a) 5,600 284
Komercni Banka IF 2,500 42
Privat Fonds (a) 1,200 20
Rychleho Vynosu IF (a) 1,000 48
Sporitelni Privatizacni IF (a) 1,300 19
SPT Telecom AS (a) 2,000 202
--------
615
--------
GHANA - 0.4%
Ashanti Goldfields Co., Ltd. - GDR 2,400 55
Ashanti Goldfields Co., Ltd. - GDS (a) 24,490 569
--------
624
--------
</TABLE>
Emerging Markets Fund 69
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
GREECE - 1.2%
Aegek SA 5,700 $ 127
Aluminum Co. of Greece Industrial and Commercial (Regd) 1,500 63
Econ Viomihanies 48,000 254
Ergo Bank (Regd) 20,610 948
Greek Progress Fund 10,500 103
Hellenic Bottling 5,562 165
Nikas SA 4,190 56
Themeliodomi 7,840 75
--------
1,791
--------
HONG KONG - 1.9%
Alco Holdings 1,000,000 178
CDL Hotels International 850,363 415
Chen Hsong Holding 700,000 446
Cheung Kong Holdings, Ltd. 31,000 153
Formosa Fund - IDR (Regd)(a) 16 133
Fountain Set Holdings 1,500,000 275
Guangdong Investment 242,000 132
Guangzhou Investment 1,432,000 255
H.S.B.C. Holdings (UK Regd) 6,200 80
Johnson Electric Holdings, Ltd. 67,000 135
M.C. Packaging 225,000 78
Shangri-La Asia, Ltd. 128,000 152
Sinocan Holdings 400,000 114
Siu Fung Ceramics 593,000 85
Tian An China Investments 724,000 112
Yue Yuen Industrial 319,000 78
--------
2,821
--------
HUNGARY - 0.4%
Chemical Works of Gedeon Richter 31,652 491
Egis (a) 5,000 108
--------
599
--------
INDIA - 3.7%
Arvind Mills - GDS (a) 88,990 463
Bajaj Auto Ltd. - GDR (a) 11,200 309
Bajaj Auto, Ltd. - GDR (144A) 6,900 193
Grasim Industries, Ltd. - GDR (a) 13,650 326
Grasim Industries, Ltd. - GDS (a) 18,200 430
Great Eastern Shipping - GDR 13,900 94
Great Eastern Shipping - GDR (144A) 6,200 46
Hindalco Industries, Ltd. - GDR (a) 12,200 354
India Cements, Ltd. - GDS (a) 30,000 334
Indian Hotels Co., Ltd. - GDR (a) 15,000 242
Indian Rayon & Industries - GDR (a) 29,850 440
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Indo Gulf Fertilisers & Chemicals - GDR 207,600 $ 415
JCT, Ltd. - GDR (a) 24,800 446
Larsen & Toubro - GDS (a) 3,300 65
Larsen & Toubro, Ltd. - GDR (a) 10,600 209
Mahindra & Mahindra - GDR 4,644 54
Ranbaxy Labs - GDS 16,755 419
Reliance Industries Ltd. - GDS (a) 8,700 159
Reliance Industries, Ltd. - GDR (a) 9,500 160
Tube Investments of India - GDR (a) 49,800 287
--------
5,445
--------
INDONESIA - 4.9%
Asia Pacific Resources
International Holdings, Ltd. Class A (a) 26,000 237
Astra International (Alien Market) 299,000 530
Bank Bali (Alien Market) 72,000 183
Bank International Indonesia (Alien Market) 74,300 229
Ciputra Development (Alien Market)(a) 70,000 152
Dankos Laboratories (Alien Market) 66,250 211
Duta Anggada Realty (Alien Market) 161,080 130
Gadjah Tunggal (Alien Market) 320,000 460
HM Sampoerna (a) 55,000 432
Indorama Synthetic (Alien Market) 98,000 295
Indosat (Alien Market) 131,000 497
Inti Indorayon Utama (Alien Market)(a) 143,500 296
Kalbe Farma (Alien Market) 88,000 403
Modern Photo Film Co. (Alien Market) 35,000 190
Modernland Realty (Alien Market) 12,000 15
Ometraco Finance (Alien Market) 500,000 359
Pabrik Kertas Tjiwi Kimia (a) 43,000 86
Pabrik Kertas Tjiwi Kimia (Alien Market) 205,000 412
Pakuwon Jati (Alien Market) 106,000 79
Perusahaan Per Per Ind Sat Cor - ADR 3,100 119
PT Ever Shine Textile (Alien Market) 165,000 74
Putra Surya Perkasa (Alien Market) 240,000 170
Semen Cibinong (Alien Market) 230,600 725
Semen Gresik (Alien Market) 56,500 379
Smart (Sinar Mas) AG (Alien Market) 300,000 317
Tri Polyta Indonesia - ADR 12,500 213
--------
7,193
--------
ISRAEL - 1.1%
Africa-Israel Investments, Ltd. (a) 135 161
ECI Telecom, Ltd. 5,500 75
Elbit, Ltd. (a) 1,340 101
Gilat Satellite Networks, Ltd. (a) 4,200 96
Israel Chemicals, Ltd. (a) 214,400 165
</TABLE>
70 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Kitan Consolidated 9,810 $ 24
Koor Industries 4,375 373
Lannet Data Communications, Inc. (a) 5,600 134
Makteshim Chemical Works (a) 12,563 68
Scitex, Ltd. 3,500 75
Teva Pharmaceutical Industries, Ltd. 332 124
Teva Pharmaceutical Industries, Ltd. - ADR 3,950 147
--------
1,543
--------
LUXEMBOURG - 0.6%
Millicom International Cellular SA (a) 30,000 889
--------
889
--------
MALAYSIA - 9.5%
AMMB Holdings Berhad (a) 127,000 1,511
Arab Malaysian Corp. Berhad (a) 435,000 1,553
Arab Malaysian Finance (Alien Market)(a) 11,000 44
Berjaya Leisure 1999 Warrants (a) 2,000 1
DCB Holdings Berhad 246,000 721
DCB Holdings Berhad 1999 Warrants (a) 33,000 38
Genting Berhad 86,500 855
Hong Leong Credit 75,500 381
IJM Corp. Berhad 196,000 780
IND Oxygen, Inc. (a) 351,000 461
IOI Properties Berhad 10,000 35
Kian Joo Can Factory 8,000 31
Land & General Berhad 120,000 401
Leader Universal Holdings 193,000 689
Linatex Process (a) 137,500 581
Malayan Banking Berhad (a) 74,000 586
Public Finance Berhad (Alien Market) 300,000 769
Renong Berhad 109,000 203
Resorts World Berhad 213,000 1,249
Sime Darby Berhad (Resident Shares) 211,000 589
Tanjong PLC 98,000 338
Telekom Malaysia 37,000 280
United Engineers Berhad 272,000 1,728
--------
13,824
--------
MEXICO - 4.1%
Cifra SA de CV Class C NPV 207,960 274
Empresa Nacional de Electric - ADR 8,550 227
Empresas ICA Sociedad - ADR 16,000 164
Empresas la Moderna SA de CV - ADR (a) 20,886 313
Formento Economico Series B NPV 105,000 245
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Grupo Financiero Inbursa SA de CV
Series B NPV (a) 141,700 $ 345
Grupo Mexico SA B Shares NPV (a) 26,000 127
Herdez Class B NPV (a) 300,000 97
Hylsamex SA de CV Series B NPV (a) 77,000 235
Industrias Penoles NPV 195,700 584
Kimberly-Clark, Mexico Class A NPV 25,000 287
Pan American Beverage Class A 22,000 660
Sears Roebuck de Mexico SA
Series B - ADR (a) 21,000 97
Seguros Comercial America NPV
Series B (a) 870,000 193
Telefonos de Mexico SA Series L - ADR 55,465 1,643
Tolmex SA de CV Class B 49,000 192
Transportacion Maritima Mexica
Series A - ADR (a) 47,000 236
--------
5,919
--------
NETHERLANDS - 0.5%
Ceteco Holding NV CVA 25,357 769
--------
769
--------
PAKISTAN - 0.8%
Adamjee Insurance 16,675 61
Bank of Punjab 12,890 10
Dandot Cement Co. (a) 19,687 19
Dewan Salmon Fibre (a) 10,300 34
DG Kahn Cement 92,940 131
Engro Chemical 7,320 37
Hub Power Co. - GDR (a) 16,300 235
K A S B & Co. 14,520 17
National Development Bank 7,062 6
Nishat Textile (a) 41,421 38
Pak Elektron (a) 11,750 19
Pakistan State Oil 38,082 461
Pakistan Telecommunications Corp. (a) 160,000 169
--------
1,237
--------
PAPUA NEW GUINEA - 0.4%
Oil Search, Ltd. (Australia Regd)(a) 700,000 522
--------
522
--------
PERU - 0.8%
Backus & Johnston Class T 51,277 121
</TABLE>
Emerging Markets Fund 71
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Banco de Credito del Peru NPV 205,289 $ 360
CPT Telefonica del Peru B Shares 66,080 113
Enrique Ferreyros 26,527 37
Minas Buenaventura 24,944 144
Southern Peru Copper Corp. (a) 65,754 299
Telefons Series A (a) 95,718 155
--------
1,229
--------
PHILIPPINES - 5.1%
Aboitiz Equity Ventures (a) 1,422,960 290
Ayala Corp. Class B 145,073 162
Ayala Land, Inc. Class B 224,312 259
Bacnotan Cement Co. (a) 235,100 285
Bacnotan Consolidated 96,375 634
Belle Corporation (a) 2,600,000 443
Benpress Holdings Corp. - GDR (a) 20,100 161
Benpress Holdings Corp. - GDR (144A) 3,200 26
Enron Global Power & Pipelines L.L.C. 21,000 499
First Philippine Holdings Class B 147,679 396
International Container (a) 82,600 57
JG Summit Holdings, Inc. Series B 755,000 219
Keppel Philippine Holdings Class B (a) 340,250 160
Kepphil Philippine Shipyard (a) 1,965,200 204
La Tondena Distillers, Inc. (a) 74,300 89
Manila Mining Corp. Class B 64,450,180 252
Metro Pacific Corp. Class A 358,568 44
Petron Corp. 327,875 215
Philippine Long Distance Telephone Co. 2,900 207
Philippine Long Distance Telephone Co. 7,000 502
Philippine Long Distance
Telephone Co.- ADR 20,060 1,439
San Miguel Corp. Class B 101,825 423
SM Prime Holdings, Inc. - GDS (a) 32,500 406
Universal Robina 204,000 105
--------
7,477
--------
POLAND - 1.1%
Bank Slaski SA 500 30
Bank Slaski SA (a) 3,400 203
Banka Przemyslowo 5,347 185
Bre Bk Rozwoju Eks (a) 13,200 211
Debica Series A (a) 7,500 106
E. Wedel SA 2,690 157
Elektrim 54,100 191
Gorazdze SA (a) 5,510 72
Mostostal-Export (a) 20,000 50
Polifarb 17,400 96
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Polifarb-Wroclaw SA 23,600 $ 75
WBK 28,125 69
Zywiec 2,290 174
--------
1,619
--------
PORTUGAL - 3.0%
Banco Espir Santo (Regd) 30,000 501
Banco Totta e Acores (Regd) 5,940 126
Capital Portugal (a) 1,850 181
Cimentos de Portugal SA New (a) 3,053 50
Cimpor Cimentos de Portugal 2,265 37
Empresa Fabril de Maquinas Electricas - Efacec 13,800 164
Jeronimo Martins 10,000 509
Jornalgeste SGPS (a) 5,000 84
Modelo Superm SGPS 15,000 531
Portucel Industrial SA (a) 5,600 40
Portugal Telecom (a) 43,000 823
Sonae Investimento 55,500 1,328
Soporcel SA (a) 1,410 36
--------
4,410
--------
RUSSIA - 0.2%
SFMT, Inc. (a) 2,525 34
Russian Depositary Trust (a) 1 138
Templeton Russia Fund, Inc. (a) 6,500 95
--------
267
--------
SINGAPORE - 1.1%
City Developments 30,000 184
Development Bank (Alien Market) 45,250 515
Far East Levingston 35,000 168
Singapore Airlines, Ltd. (Alien Market) 19,000 175
Singapore Press Holdings (Alien Market) 11,800 176
United Overseas Bank, Ltd. (Alien Market) 48,840 461
--------
1,679
--------
SOUTH AFRICA - 4.7%
Anglo America Coal 1,857 126
Anglo America Corp. 7,400 398
Anglo American Industrial Corp. 2,099 103
Barlow, Ltd. 18,500 190
De Beers Centenary AG 6,926 181
De Beers Consolidated Mines, Ltd. - ADR 6,278 162
Driefontein Consolidated 7,100 104
</TABLE>
72 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Engen, Ltd. (a) 6,485 $ 39
Free State Consolidated Gold Mines, Ltd. 9,610 123
Free State Consolidated Gold Mines, Ltd. - ADR 11,522 141
Gencor, Ltd. 51,420 177
Gencor, Ltd. - ADR 54,679 188
Impala Platinum Holdings, Ltd. (a) 1,355 35
Iscor 1,023,188 1,162
Liberty Life Association of Africa (a) 5,800 160
Nampak, Ltd - EDR (a) 6,420 72
Nampak, Ltd. 40,100 180
Nedcor, Ltd. (units)(a) 4,700 231
Premier Group Holdings, Ltd. (a) 48,906 63
Rembrandt Group, Ltd. 163,252 1,122
Rustenberg Platinum Holdings, Ltd. 5,022 104
Rustenburg Platinum Holdings, Ltd. - ADR 3,132 65
Sasol NPV 53,865 516
South African Breweries 20,419 583
Standard Bank Investment Corp., Ltd. 7,700 277
Zambia Cons Copper Series B (UK Regd)(a) 43,846 99
Zambia Copper Investments PLC (BR)(a) 369,265 230
--------
6,831
--------
SOUTH KOREA - 4.2%
Hanil Iron & Steel Co. (a) 3,020 203
Hankook Tire Manufacturing (a) 1,900 153
Hyundai Engineering & Construction (a) 6,335 295
Hyundai Engineering & Construction New (a) 126 6
Hyundai Motor Co. - GDR 9,000 182
Hyundai Motor Services 5,736 310
Korea Electric Power Corp. 19,430 728
Korea Long-Term Credit Bank 8,613 246
Kwang Ju Bank (a) 16,000 161
Kwang Ju Bank New (a) 3,344 31
L.G. Chemical, Ltd. 9,530 249
Pohang Iron & Steel 3,820 329
Pohang Iron & Steel - ADR 400 12
Samsung Construction (a) 2,655 72
Samsung Electronics - GDS (a) 1,601 76
Samsung Electronics Co. - GDR (a) 6,160 591
Samsung Electronics Co. - GDS (a) 15,930 840
Samsung Electronics New (a) 1,302 207
Samsung Electronics, Ltd. 431 69
Samsung Electronics, Ltd. - GDR (a) 402 21
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Samsung Engineering
& Construction (a) 65 $ 2
Samsung Engineering
& Construction - GDR (a) 3,700 26
Samsung Engineering
& Construction Co. New (a) 3,045 82
Samsung Engineering
& Construction New - GDR (a) 118 1
Samsung Engineering
& Construction, Ltd. New - GDR (a) 307 2
Shin Han Bank 24,240 499
Shin Han Bank New (a) 22,137 435
Shinil Engineering 10,464 168
Shinil Engineering New (a) 1,698 24
Ssangyong Investment & Securities 8,729 149
Ssangyong Investment & Securities New 840 14
Tong Yang Securities Co. 120 3
--------
6,186
--------
SPAIN - 0.7%
Quilmes Industrial (Regd) 50,000 975
--------
975
--------
SRI LANKA - 0.9%
Aitken Spence & Co. 30,365 116
Blue Diamond Jewel NPV (a) 91,080 43
Ceylon Theatre 6,830 46
Development Finance Corp. 83,999 626
Habarana Lodge, Ltd. 17,000 12
Hayleys 13,680 52
John Keells Holdings, Ltd. 43,366 164
John Keells Holdings, Ltd. - GDR 3,400 25
Lanka Orix Leasing 14,000 58
National Development Bank 24,000 113
--------
1,255
--------
SWITZERLAND - 0.8%
Holderbank Financiere Glarus (BR) 1,359 1,115
Holderbank Financiere Glarus AG
1995 Warrants (a) 6,795 9
--------
1,124
--------
TAIWAN - 1.0%
China Steel Corp. - GDS 3,300 68
Hocheng Group Corp. - GDR (a) 12,655 142
</TABLE>
Emerging Markets Fund 73
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Microelectronics - GDS (a) 30,000 $ 210
ROC Taiwan Fund (a) 23,700 261
Taiwan Fund, Inc. 10,762 235
Yageo Corp. - GDR (a) 37,490 534
--------
1,450
--------
THAILAND - 6.1%
Ban Pu Coal (Alien Market)(a) 17,500 414
Bangchak Petroleum 160,000 319
Bangkok Bank (Alien Market) 33,900 374
Bangkok Insurance PLC (Alien Market) 9,200 151
Bank of Ayudhya Public Co., Ltd. (Alien Market) 301,000 1,475
Dhana Siam Finance & Securities (Alien Market) 50,000 296
Electricity Generating Public Co., Ltd. (a) 15,300 45
Electricity Generating Public Co., Ltd. (Alien Market)(a) 105,600 319
Finance One Public Co., Ltd. (Alien Market) 60,000 442
Land & House (Alien Market) 10,300 217
Nation Publishing (Alien Market) 35,500 58
Phatra Thanakit Co. (Alien Market) 14,700 123
Precious Shipping (Alien Market) 10,000 109
Regional Container Line (Alien Market) 29,950 473
Siam Cement Co. (Alien Market) 15,600 996
Siam Commercial Bank (Alien Market) 148,000 1,415
Thai Farmers Bank (Alien Market) 84,200 805
Thai Military Bank (Alien Market) 116,200 471
United Communications Industires (a) 16,300 238
Wong Paitoon Footwear (Alien Market) 93,700 144
--------
8,884
--------
TURKEY - 1.6%
Akbank 182,200 46
Cimentas 82,646 53
Efes Sinai Yatirim (a) 268,800 14
EGE Biracilik Ve M (a) 579,400 681
Kartonsan 169,425 66
Kartonsan Rights New (a) 112,950 21
Koc Holding (a) 101,600 100
Petrol Ofisi 1,695,000 498
T Garanti Bankasi 1,187,200 161
T Garanti Bankasi (a) 508,800 69
Tat Konserve Sanay 241,365 188
Tofas Turk Otomobil Fabrikasi (a) 388,100 343
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Tofas Turk Otomobil Fabrikasi
AS - GDS (a) 12,000 $ 51
--------
2,291
--------
UNITED KINGDOM - 0.6%
Central European Growth Fund 125,000 77
Lonrho PLC 300,000 705
--------
782
--------
VENEZUELA - 0.8%
Electricidad de Caracas (Regd) 114,999 120
Mavesa SA - ADR (a) 51,250 178
Sider Venezolana 122,000 41
Siderurgica Venezolana Sivensa - ADR 411,100 684
Venezolana de Ceme 3,564 5
Venprecar - GDS 11,600 70
--------
1,098
--------
ZIMBABWE - 0.3%
Delta Corp. 340,000 497
--------
497
--------
TOTAL COMMON STOCKS
(cost $112,735) 113,707
--------
PREFERRED STOCKS - 9.0%
BRAZIL - 8.7%
Acos Especitabira NPV 44,833,428 334
Banco Bradesco SA NPV 168,663,324 1,429
Banco Bradesco SA NPV Rights (a) 2,556,930 3
Banco Itau SA (Regd) 835,000 254
Banco Itau SA NPV 66,700 20
Brahma (cia Cervej) NPV 490,000 161
Brahma Class A (a) 3,546 1
Brasmotor SA NPV 4,575,500 845
Casa Anglo Bras SA NPV 2,108,300 199
CEMIG - ADR (a) 25,623 506
Ceval Alimentos SA NPV 14,591,100 166
Cim Port Itau (Cia) 802,800 235
Companhia Energetica de Sao Paulo - ADR (Regd)(a) 9,200 104
Companhia Energetica de Sao Paulo NPV (a) 719,000 28
Confab (Regd) 116,000 86
</TABLE>
74 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
<S> <C> <C>
Copene Petroquimica do Nordestse Series A (Regd) 241,700 $ 191
Coteminas (Cia Tec) NPV 2,745,505 865
Duratex SA (BR) 3,179,000 155
Electrobras (centr) Series B NPV 8,099,439 2,156
Gradiente Eletronica SA Class A NPV 716,000 93
Industrias Romi SA NPV 3,310,700 86
Inepar SA - Industria e Construction NPV 68,373,000 93
Kepler Weber SA NPV (a) 3,200 26
Lojas Renner SA NPV 2,000,000 34
Marco Polo SA Class B NPV (a) 500,000 84
Metalurgica Schulz NPV (a) 850,000 33
Petrobras Distribuidora NPV 9,290,000 321
Petrol Brasileiros 4,648,866 394
Randon Participacoes SA 170,777,104 197
Refrigeracao Parana SA NPV 355,453,440 691
Sadia Concordia SA NPV (a) 100,000 93
Siderurgica Tubarao NPV 287,300 213
Telec SP Telesp NPV 4,203,278 521
Telecomunicacoes Brasileiras NPV 26,437,410 870
Usiminas Uni Sd Mg NPV 577,712,384 699
Vale Rio Doce (Cia) NPV 2,989,000 452
--------
12,638
--------
COLOMBIA - 0.0%
Gran Cadena de Almacenes
Class B - ADR 1,300 27
--------
27
--------
PHILIPPINES - 0.0%
Philippine Long Distance
Telephone Co. - GDS 700 44
--------
44
--------
SOUTH KOREA - 0.3%
Daishin Securities 291 3
Mando Machinery Corp. (a) 4,100 143
Samsung Electronics, Ltd. (a) 1,672 144
Samsung Electronics New (a) 614 50
Tong Yang Securities Co. 4,029 34
--------
374
--------
TOTAL PREFERRED STOCKS
(cost $13,764) 13,083
--------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
------ ------
<S> <C> <C>
LONG-TERM INVESTMENTS - 3.7%
HONG KONG - 0.3%
Bangkok Bank Public Co. (conv.) 3.250% due 03/03/04 $ 400 $ 406
--------
406
--------
INDIA - 0.5%
Essar Gujarat (conv.)
5.500% due 08/05/98 150 158
Gujarat Ambuja Cement (conv.)
3.500% due 06/30/99 195 260
Industrial Credit & Investment Corp. (conv.)
2.500% due 04/03/00 145 115
Scici (conv.)
3.500% due 04/01/04 250 235
--------
768
--------
INDONESIA - 0.0%
Modernland Realty
6.000% due 02/02/03 IDR 30 32
--------
32
--------
MALAYSIA - 0.3%
AMMB Holdings Berhad (conv.)
7.000% due 11/20/99 MYR 29 16
United Engineers Berhad (conv.)
2.000% due 03/01/04 $ 340 383
--------
399
--------
SOUTH AFRICA - 0.3%
Liblife International BV (conv.)
6.500% due 09/30/04 130 152
Samancor (conv.)
7.000% due 06/30/04 250 230
--------
382
--------
SOUTH KOREA - 0.4%
Inkel Corp. (conv.)
0.750% due 12/31/03 250 135
Shinwon Corp. (conv.)
0.500% due 12/31/08 520 510
--------
645
--------
</TABLE>
Emerging Markets Fund 75
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
------- -------
<S> <C> <C>
TAIWAN - 1.4%
Nan Ya Plastics Corp. (conv.)
1.750% due 07/19/01 $ 670 $ 640
U Ming Marine Holdings (conv.)
1.500% due 02/07/01 516 521
United Microelectronics Corp., Ltd.
(conv.)
1.250% due 06/08/04 545 927
--------
2,088
--------
THAILAND - 0.3%
Banpu Coal Co., Ltd. (conv.)
3.500% due 08/25/04 352 426
--------
426
--------
UNITED KINGDOM - 0.2%
Barlow International Investments (conv.)
7.000% due 09/20/04 200 232
--------
232
--------
TOTAL LONG-TERM INVESTMENTS
(cost $5,600) 5,378
--------
SHORT-TERM INVESTMENTS - 8.1%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 11,851 11,851
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $11,851) 11,851
--------
TOTAL INVESTMENTS
(identified cost $143,950)(c) - 98.7% 144,019
OTHER ASSETS AND LIABILITIES,
NET - 1.3% 1,912
--------
NET ASSETS - 100.0% $145,931
--------
--------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995, the cost for federal income tax purposes was $144,349 and
net unrealized depreciation for all securities was $330. This consisted of
aggregate gross unrealized appreciation for all securities in which there
was an excess of market value over tax cost of $37,948 and aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over market value of $38,278.
</TABLE>
<TABLE>
<CAPTION>
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
------------------------ ------- ------
<S> <C> <C>
Basic Industries 18.2% $ 26,621
Capital Goods 9.8 14,321
Consumer Basics 6.9 10,090
Consumer Durable Goods 4.0 5,897
Consumer Non-Durables 3.2 4,607
Consumer Services 2.5 3,683
Energy 3.5 5,091
Finance 14.5 21,183
General Business 2.2 3,182
Miscellaneous 8.1 11,771
Shelter 2.4 3,432
Technology 2.5 3,579
Transportation 0.9 1,383
Utilities 8.2 11,950
Long-Term Investments 3.7 5,378
Short-Term Investments 8.1 11,851
------- --------
Total Investments 98.7 144,019
Other Assets and Liabilities, Net 1.3 1,912
------- --------
NET ASSETS 100.0% $145,931
------- --------
------- --------
</TABLE>
The accompanying notes are an integral part of the financial statements.
76 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $143,950,121)(Note 2) . . . . . . . . . . . . $144,019,226
Foreign currency holdings (identified cost $3,337,809) . . . . . . . . . . . . . . . 3,347,466
Foreign currency exchange spot contracts (cost $562,994)(Notes 2 and 6). . . . . . . 562,930
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 396,865
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 912,172
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 988,749
Receivable from manager (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . 34,771
Foreign taxes recoverable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,587
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,520
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . 19,216
------------
151,290,502
LIABILITIES
Payables:
Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 729,939
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . . . 3,033,298
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . 665,063
Accrued management fees (Note 4) . . . . . . . . . . . . . . . . . . . 142,851
Accrued bookkeeping service fees (Note 4). . . . . . . . . . . . . . . 11,719
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . 213,554
Foreign currency exchange spot contracts (cost $562,994)(Notes 2 and 6). 562,721 5,359,145
----------- ------------
NET ASSETS $145,931,357
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . $163,904
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . (7,872,220)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69,105
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . 4,739
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . 125,791
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153,440,038
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $145,931,357
------------
------------
Net asset value, offering and redemption price per share
($145,931,357 divided by 12,579,054 shares of $.01 par value,
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . $ 11.60
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Emerging Markets Fund 77
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends.................................................................. $1,406,810
Dividends from Money Market Fund (Note 5).................................. 661,635
Interest................................................................... 69,307
Less foreign taxes withheld................................................ (205,294)
---------
1,932,458
Expenses (Notes 2 and 4):
Management fees......................................... $ 409,322
Custodian fees.......................................... 415,314
Bookkeeping service fees................................ 24,350
Professional fees....................................... 8,888
Registration fees....................................... 14,233
Transfer agent fees..................................... 72,868
Trustees' fees.......................................... 1,940
Amortization of deferred organization expenses.......... 3,682
Miscellaneous........................................... 5,157
----------
Expenses before reimbursement........................... 955,754
Expenses reimbursed by Manager (Note 4)................. (34,771) 920,983
---------- ----------
Net investment income........................................................ 1,011,475
----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3)................................................ (6,773,684)
Foreign currency-related transactions (Notes 2 and 3)...................... (521,952)
Net change in unrealized appreciation or depreciation of:
Investments................................................................ 893,207
Foreign currency-related transactions...................................... 162,432
-----------
Net gain (loss) on investments............................................... (6,239,997)
-----------
Net increase (decrease) in net assets,
resulting from operations................................................... $(5,228,522)
-----------
-----------
</TABLE>
78 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION> FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income..................................... $ 1,011,475 $ 1,153,059
Net realized gain (loss) from:
Investments............................................. (6,773,684) 3,579,128
Foreign currency-related transactions................... (521,952) (374,943)
Net change in unrealized appreciation or depreciation of:
Investments............................................. 893,207 (11,391,205)
Foreign currency-related transactions................... 162,432 (87,886)
------------------ -----------------
Net increase (decrease) in net assets resulting from operations (5,228,522) (7,121,847)
Distributions to shareholders:
Net investment income..................................... -- (832,396)
In excess of net investment income........................ -- (902,784)
Net realized gain on investments.......................... -- (5,126,070)
In excess of net realized gain............................ (400,878) (812,357)
Increase (decrease) in net assets from Fund share transactions 24,289,633 76,609,101
------------------ -----------------
INCREASE (DECREASE) IN NET ASSETS........................... 18,660,233 61,813,647
Net assets at beginning of period........................... 127,271,124 65,457,477
------------------ -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $163,904 and accumulated distributions in
excess of net investment income of $902,784)............. $ 145,931,357 $ 127,271,124
------------------ -----------------
------------------ -----------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1994
-------------------------- ------------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ------------- ------------
<S> <C> <C> <C> <C>
Fund shares sold....................... 3,911,306 $ 43,445,699 7,223,682 $ 97,277,256
Fund shares issued to shareholders
in reinvestments of distributions.... 33,636 366,520 536,210 6,993,116
Fund shares redeemed................... (1,755,580) (19,522,586) (2,077,684) (27,661,271)
----------- ------------- ------------- ------------
Net increase (decrease)................ 2,189,362 $ 24,289,633 5,682,208 $ 76,609,101
----------- ------------- ------------- ------------
----------- ------------- ------------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Emerging Markets Fund 79
<PAGE>
EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993+
------ ------- -------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD........................................ $ 12.25 $ 13.90 $ 10.00
------- ------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income...................................... .10 .15 .07
Net realized and unrealized gain (loss) on investments..... (.71) (1.24) 4.09
------- ------- --------
Total From Investment Operations........................... (.61) (1.09) 4.16
------- ------- --------
Less Distributions:
Net investment income...................................... -- (.10) (.07)
In excess of net investment income......................... -- (.10) (.01)
Net realized gain on investments........................... -- (.31) (.18)
In excess of net realized gain on investment............... (.04) (.05) --
------- ------ --------
Total Distributions........................................ (.04) (.56) (.26)
------- ------- --------
NET ASSET VALUE,
END OF PERIOD................................................ $ 11.60 $ 12.25 $ 13.90
------- ------- --------
------- ------- --------
TOTAL RETURN (%)(a).......................................... (4.99) (5.83) 41.83
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c)(d)... 1.44 .80 .80
Operating expenses, gross, to average net assets (b)(c)(d). 1.49 .82 1.59
Net investment income to average net assets (b)............ 1.58 1.10 1.33
Portfolio turnover (b)..................................... 69.96 57.47 89.99
Net assets, end of period ($000 omitted)................... 145,931 127,271 65,457
Per share amount of fees waived ($ omitted)................ -- -- .0007
Per share amount of fees reimbursed ($ omitted)(d)......... .0033 .0017 .0420
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
++ For the period January 29, 1993 (commencement of operations) to December
31, 1993.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1995 and December 31, 1993, are
annualized.
(c) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers.
Effective April 1, 1995, management fees are included in expenses. See
Note 4.
(d) See Note 4.
</TABLE>
80 Emerging Markets Fund
<PAGE>
FIXED INCOME I FUND
STATEMENTS OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
LONG-TERM INVESTMENTS - 96.4%
ASSET-BACKED SECURITIES - 9.0%
Advanta Home Equity Loan Trust
9.000% due 02/25/06 $ 123 $ 129
AFC Home Equity Loan Trust
Series 1995-1 Class A-1
8.050% due 03/25/25 466 475
Contimortgage Home Equity Loan Trust
Mortgage Pass-thru Certificate
Series 1995-1 Class A2-A
8.600% due 06/15/25 625 644
Discover Card Trust
Series 1991 Class F-A
7.850% due 11/21/00 765 792
Series 1992-B Class A
6.800% due 06/16/00 115 116
DR Structured Finance Corp.
Series 1994-K1 Class A-1
7.600% due 08/15/07 728 701
Equicon Home Equity Loan Trust
Series 1993-1 Class A
5.850% due 11/18/12 74 72
Federal Housing Authority: Project Citi 68
7.430% due 06/27/21 1,771 1,734
First Chicago Master Trust II Credit Card
Certificates Series 1994-L
7.150% due 04/15/01 3,895 3,978
First Deposit Master Trust
Series 1994-1 Class A
6.900% due 08/15/01 155 157
Ford Credit Auto Loan Master Trust
Series 1992-1
6.875% due 01/15/99 2,960 2,987
Green Tree Financial Corp.
Series 1994-7 Class A-2
7.600% due 03/15/20 3,390 3,475
Greenwich Capital Acceptance, Inc.
Mortgage Pass-thru Certificate
Series 1993 Class LB-1
7.420% due 04/25/23 (c) 1,832 1,844
Home Equity Loan Trust
Series 1992-2 Closed End Class A
6.650% due 11/20/12 262 258
Lehman Pass-thru Securities, Inc.
Series 1991-2 Class A-1
8.000% due 03/20/99 215 218
OSCC Home Equity Loan Trust
Series 1993-1
5.850% due 03/15/08 267 261
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Premier Auto Trust
Series 1994-4 Class A-5
6.650% due 08/15/00 $ 6,520 $ 6,597
Series 1995-2 Class A-4
7.050% due 07/04/97 1,205 1,223
Resolution Trust Corp.
Mortgage Pass-thru Certificates
Series 1992-7 Class A-20
8.350% due 06/25/29 950 957
Series 1992-C Class A-1
8.800% due 08/25/23 453 474
Series 1992-C2 Class A-1
9.000% due 10/25/22 106 110
Series 1992-M2 Class A-4
8.465% due 03/25/20 139 138
Series 1992-M3 Class A-1
7.750% due 07/25/30 142 145
Series 1992-M3 Class A-2
8.625% due 07/25/30 126 132
Series 1994-C1 Class D
8.000% due 06/25/26 438 433
Series 1994-C2 Class D
8.000% due 04/25/25 297 292
Series 1995-C1 Class C
6.920% due 02/25/27 (c) 400 375
Salomon Brothers
Mortgage Securities VII, Inc.
Mortgage Pass-thru Certificate
Series 1994-16 Class A
7.200% due 11/25/24 (c) 4,590 4,664
Sears Mortgage Securities Corp.
Series 1992 Class A
7.611% due 10/25/22 (c) 4,335 4,357
Sears Savings Bank
Mortgage Pass-thru Certificate
Series 1992-A Class A
8.720% due 05/25/32 (c) 1,402 1,407
Standard Credit Card Master Trust I
Series 1995-6 Class A
6.750% due 06/07/00 7,030 7,113
TMS Home Equity Loan Trust
Series 1994-D Class A-4
8.750% due 01/15/20 600 638
UCFC Home Equity Loan Trust
Series 1993-B1 Class A-1
6.075% due 07/25/14 285 278
</TABLE>
Fixed Income I Fund 81
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Wal Mart Stores, Inc.
Series 1994-B3
8.800% due 12/30/14 $ 360 $ 392
World Omni Automobile
Lease Securitization Trust
Series 1994-A Class A
6.450% due 09/25/00 (c) 2,385 2,384
Series 1994-B Class A
7.950% due 01/25/01 1,470 1,509
---------
51,459
---------
CORPORATE BONDS AND NOTES - 15.0%
American Brands, Inc.
8.625% due 11/15/21 640 705
American Express Co.
8.500% due 08/15/01 45 50
American General Finance Corp.
6.875% due 07/01/99 50 51
8.000% due 02/15/00 20 22
AMR Corp.
9.500% due 05/15/01 250 276
Analog Devices, Inc.
6.625% due 03/01/00 225 222
Appalachian Power Co. (MTN)
8.500% due 12/01/22 330 372
Arco Chemical Co.
9.800% due 02/01/20 560 706
Aristar, Inc.
7.750% due 06/15/01 190 199
Associates Corp. of North America
6.250% due 03/15/99 1,520 1,508
AT&T Corp.
8.625% due 12/01/31 440 475
AVCO Financial Services, Inc.
7.250% due 07/15/99 415 426
8.500% due 10/15/99 655 701
Bank of New York, Inc.
7.875% due 11/15/02 295 310
Bank One, Columbus, Ohio
7.375% due 12/01/02 195 200
Bell Telephone Co. of Pennsylvania
8.350% due 12/15/30 645 761
Beneficial Corp.
8.400% due 05/15/08 320 378
Beneficial Corp. (MTN)
7.990% due 02/17/00 195 206
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Boise Cascade Corp. (MTN)
6.400% due 04/01/98 $ 305 $ 297
Bowater, Inc.
8.250% due 10/15/99 695 737
C.I.T. Group Holdings, Inc. (MTN)
7.000% due 09/30/97 1,030 1,047
Caterpillar Financial Services (MTN)
9.500% due 02/06/07 80 95
Central Fidelity Banks, Inc.
8.150% due 11/15/02 280 297
Champion International Corp.
7.700% due 12/15/99 655 682
Chemical Banking Corp.
10.375% due 03/15/99 260 291
Chesapeake & Potomac Telephone Co.
8.375% due 10/01/29 405 470
Chevron Corp. Profit Sharing
Savings Plan Trust Fund
8.110% due 12/01/04 385 413
Chrysler Financial Corp.
9.500% due 12/15/99 445 489
Citicorp
9.500% due 02/01/02 195 221
7.125% due 06/01/03 75 76
Coastal Corp.
10.375% due 10/01/00 195 223
Coca-Cola Enterprises, Inc.
8.500% due 02/01/22 450 507
Commercial Credit Co.
8.700% due 06/15/10 795 937
Commercial Credit Group, Inc.
5.750% due 07/15/00 255 247
Commonwealth Edison Co.
9.875% due 06/15/20 185 213
7.750% due 07/15/23 535 519
Connecticut Light & Power Co.
7.875% due 10/01/24 775 825
Consolidated Edison Co., Inc.
7.500% due 06/15/23 115 114
Consolidated Natural Gas Co.
8.625% due 12/01/11 345 365
Consolidated Rail Corp.
Pass-thru Certificate Structured Note
Series 1995 Class A
6.760% due 05/25/15 615 615
CoreStates Capital Corp.
5.875% due 10/15/03 290 268
</TABLE>
82 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Corporacion Andina de Fomento
6.625% due 10/14/98 $ 950 $ 897
Dayton Hudson Corp. (MTN)
9.350% due 06/16/20 485 584
Discover Credit Corp. (MTN)
8.350% due 04/27/99 465 489
Dole Food Co., Inc.
6.750% due 07/15/00 280 276
Duke Power Co.
7.000% due 07/01/33 1,030 976
Eaton Corp.
7.000% due 04/01/11 545 524
ERP Operating, L.P.
8.500% due 05/15/99 725 754
Evans Whitycombe Trust
Series 1994 Class A-1
7.980% due 08/01/01 500 528
Federal Express Corp.
10.000% due 04/15/99 765 849
First Chicago Corp.
11.250% due 02/20/01 130 156
First Chicago Corp. (MTN)
6.830% due 09/08/97 260 263
First Fidelity Bancorp New
9.625% due 08/15/99 415 461
First Interstate Bancorp (MTN)
9.375% due 11/15/98 140 152
First National Bank of Boston
8.375% due 12/15/02 750 806
First USA Bank
8.200% due 02/15/98 650 672
Fleet/Norstar Financial Group, Inc.
9.900% due 06/15/01 310 354
Ford Motor Credit Co.
7.750% due 10/01/99 1,870 1,952
Ford Motor Credit Co. (MTN) CMS Floater
5.805% due 07/12/96 (c) 375 368
General Electric Capital Corp.
8.300% due 09/20/09 470 528
General Motors Acceptance Corp.
7.750% due 04/15/97 625 638
General Motors Acceptance Corp. (MTN)
8.000% due 12/05/96 5,000 5,149
6.250% due 01/06/00 1,650 1,623
Georgia Pacific Corp.
9.950% due 06/15/02 395 459
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Goldman Sachs Group, L.P.
6.875% due 09/15/99 $ 825 $ 826
6.375% due 06/15/00 415 407
Hanson America, Inc. (conv.)
2.390% due 03/01/01 450 359
Hechinger Co.
9.450% due 11/15/12 205 210
Hertz Corp.
9.000% due 11/01/09 390 453
Integra Financial Corp.
6.500% due 04/15/00 850 841
International Lease Finance Corp.
5.750% due 01/15/99 685 668
ITT Financial Corp.
8.875% due 06/15/03 285 326
ITT Financial Corp. (MTN)
8.880% due 05/18/00 680 740
John Hancock Mutual Life Insurance Co.
7.375% due 02/15/24 750 688
K mart Funding Corp. Series G
9.440% due 07/01/18 630 636
Liberty Mutual Insurance Co.
8.200% due 05/04/07 750 782
Martin Marietta Corp.
7.000% due 03/15/11 325 311
Merry Land & Investment, Inc.
7.250% due 06/15/05 800 788
Nabisco, Inc.
6.700% due 06/15/02 325 322
NationsBank Corp.
6.625% due 01/15/98 250 251
New England Mutual Life Insurance Co.
7.875% due 02/15/24 750 649
New England Telephone & Telegraph Co.
7.875% due 11/15/29 430 466
New York Telephone Co.
7.000% due 12/01/33 840 779
Noranda, Inc.
8.625% due 07/15/02 115 125
Norwest Corp.
9.250% due 05/01/97 235 247
Norwest Corp. (MTN)
7.125% due 04/01/00 15 15
NWA Trust Series B
10.230% due 06/21/14 642 716
NYNEX Corp.
9.550% due 05/01/10 660 752
</TABLE>
Fixed Income I Fund 83
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Occidental Petroleum Corp.
11.125% due 06/01/19 $ 1,000 $ 1,193
Occidental Petroleum Corp. (MTN)
8.500% due 11/09/01 560 606
Pacific Bell
6.625% due 10/15/34 515 459
Pennsylvania Power & Light Co.
6.875% due 03/01/04 1,200 1,204
Pennzoil Co.
10.125% due 11/15/09 215 258
Philip Morris Cos., Inc.
8.750% due 06/01/01 865 941
Phillips Petroleum Co.
9.375% due 02/15/11 90 105
Pitney Bowes Credit Corp.
8.550% due 09/15/09 780 896
Praxair, Inc.
6.850% due 06/15/05 680 676
Procter & Gamble Co.
8.000% due 10/26/29 220 245
Procter & Gamble Co.
Sharing ESOP Series A
9.360% due 01/01/21 450 548
Ralston Purina Co.
7.875% due 06/15/25 720 723
Republic New York Corp.
9.750% due 12/01/00 130 148
8.250% due 11/01/01 240 259
RJR Nabisco, Inc.
8.625% due 12/01/02 1,005 1,032
Rockwell International Corp.
8.875% due 09/15/99 450 490
Salomon, Inc.
7.000% due 01/20/98 850 848
Salomon, Inc. (MTN)
5.880% due 07/29/97 100 98
6.360% due 04/01/98 575 567
Seagram Co., Ltd.
8.350% due 01/15/22 740 787
Security Pacific Corp.
11.500% due 11/15/00 44 53
11.000% due 03/01/01 435 520
SKW Real Estate, L.P. Class C
7.450% due 04/15/03 775 776
Smith Barney Holdings, Inc. New
7.980% due 03/01/00 775 813
Southern California Edison Co.
Series 1986-C
8.625% due 04/15/19 405 427
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Standard Oil Co.
6.300% due 07/01/01 $ 340 $ 337
System Energy Resources, Inc.
6.000% due 04/01/98 800 787
Taubman Realty Group, L.P.
8.000% due 06/15/99 725 747
Tenneco, Inc.
10.000% due 03/15/08 525 649
Texaco Capital, Inc.
9.750% due 03/15/20 225 285
8.875% due 09/01/21 440 518
Texas Utilities Electric Co.
9.500% due 08/01/99 1,370 1,504
Time Warner Entertainment Co., L.P.
10.150% due 05/01/12 400 467
8.375% due 07/15/33 5,750 5,629
Time Warner, Inc.
Zero Coupon due 08/15/02 3,000 2,951
Transamerica Financial Corp.
8.375% due 02/15/98 360 377
Transamerica Financial Corp. (MTN)
8.900% due 02/15/96 685 696
U.S. Bancorp of Oregon
7.000% due 03/15/03 90 90
Union Carbide Chemicals & Plastics
7.875% due 04/01/23 510 513
Union Oil Co. (MTN)
9.400% due 02/15/11 390 461
United Airlines, Inc.
10.250% due 07/15/21 3,000 3,408
United Technologies Corp.
8.750% due 03/01/21 670 773
USX-Marathon Group
9.800% due 07/01/01 260 289
Valassis Communications
9.550% due 12/01/03 300 331
Virginia Electric & Power Co.
8.750% due 04/01/21 335 375
Wachovia Corp. New
6.800% due 06/01/05 280 280
Whirlpool Corp.
9.500% due 06/15/00 400 450
---------
85,920
---------
MORTGAGE-BACKED SECURITIES - 33.6%
Citicorp Mortgage Securities, Inc.
Series 1987-2 Class A-1
8.500% due 04/25/02 3,950 4,036
</TABLE>
84 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Federal Home Loan Mortgage Corp.
7.500% 30 Year TBA (d) $ 33,820 $ 33,926
Federal Home Loan Mortgage Corp.
Participation Certificate
Group # 14-1607 8.000% due 08/01/18 82 83
Group # 17-0164 9.000% due 05/01/16 216 226
Group # 17-0170 9.000% due 06/01/16 192 201
Group # 17-0171 9.000% due 06/01/16 405 424
Group # 17-0181 9.000% due 08/01/16 103 108
Group # 17-0195 9.000% due 10/01/16 501 524
Group # 17-0196 9.000% due 10/01/16 299 313
Group # 17-0197 9.000% due 10/01/16 612 640
Group # 17-0204 9.000% due 11/01/16 140 147
Group # 17-0208 9.000% due 12/01/16 149 156
Group # 26-0607 12.000% due 06/01/14 276 300
Group # 27-8582 9.000% due 10/01/16 53 56
Group # 28-4634 9.000% due 01/01/17 3 3
Group # 30-0025 12.500% due 04/01/16 463 515
Group # 30-5382 9.000% due 12/01/17 123 128
Group # A0-0690 9.000% due 02/01/20 2,433 2,554
Group # C0-0140 9.000% due 07/01/22 78 82
Group # D2-3334 8.500% due 09/01/22 40 42
Group # D2-3590 8.500% due 09/01/22 257 265
Group # D5-2246 7.000% due 04/01/24 278 273
Group # D5-3905 7.500% due 06/01/24 302 303
Group # E0-0333 8.000% due 08/01/09 321 330
Group # E2-0123 7.500% due 08/01/09 348 354
Group # E2-0145 7.500% due 11/01/09 (c) 257 261
Group # E2-0153 8.000% due 01/01/10 107 110
Group # E4-7089 7.000% due 05/01/08 244 244
Group # E4-8842 7.000% due 07/01/08 316 316
Group # E5-6830 6.500% due 02/01/09 461 455
Group # E5-6953 6.500% due 02/01/09 70 69
Group # E5-9472 7.500% due 08/01/09 154 157
Group # E5-9494 7.000% due 08/01/09 546 548
Group # E5-9512 7.500% due 08/01/09 189 192
Group # E5-9554 7.500% due 08/01/09 827 840
Group # E5-9577 7.500% due 09/01/09 629 639
Group # E5-9921 7.500% due 11/01/09 127 129
Group # E5-9923 7.500% due 11/01/09 433 440
Group # E5-9926 7.500% due 11/01/09 149 152
Group # E5-9932 7.500% due 11/01/09 359 365
Group # E6-0172 8.000% due 02/01/10 655 673
Group # E6-0173 8.000% due 02/01/10 351 361
Group # E6-0194 8.000% due 03/01/10 277 284
Group # G1-0239 7.000% due 07/01/09 23 23
Group # G8-0003 9.500% due 07/25/22 401 421
Group # L7-2939 6.000% due 11/01/99 1,080 1,070
Group # M1-3104 7.000% due 03/01/97 192 194
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Group # M1-4825 7.000% due 08/01/97 $26 $26
Group # M1-9003 7.000% due 04/01/97 381 385
Pool # E60386 8.000% due 04/01/10 139 143
Federal Home Loan Mortgage Corp.
Series 1235 Class A Super Floater
4.070% due 04/15/22 (c) 328 289
Series K Class K-5
7.760% due 05/01/12 2,996 2,996
Federal National Mortgage Association
Pool # 040208 8.000% due 01/01/02 3 3
Pool # 040403 8.000% due 01/01/02 6 6
Pool # 040841 8.000% due 01/01/02 120 123
Pool # 041060 8.000% due 02/01/02 219 225
Pool # 042014 8.000% due 03/01/02 11 11
Pool # 042675 8.000% due 02/01/02 12 12
Pool # 043467 8.000% due 03/01/02 18 19
Pool # 046329 8.000% due 04/01/02 8 9
Pool # 047205 8.000% due 05/01/02 69 70
Pool # 047293 8.000% due 05/01/02 95 98
Pool # 047565 8.000% due 07/01/02 101 104
Pool # 047690 8.000% due 05/01/02 11 11
Pool # 048419 8.000% due 06/01/02 91 94
Pool # 048902 8.000% due 06/01/02 137 141
Pool # 049385 8.000% due 06/01/02 18 18
Pool # 049441 8.000% due 06/01/02 5 5
Pool # 050656 7.500% due 11/01/22 635 637
Pool # 050752 7.000% due 05/01/00 655 660
Pool # 050758 7.000% due 06/01/00 200 201
Pool # 050762 6.500% due 07/01/08 580 572
Pool # 050974 6.500% due 01/01/09 1,219 1,202
Pool # 051057 8.000% due 06/01/02 108 111
Pool # 053628 8.000% due 07/01/02 96 99
Pool # 053865 8.000% due 07/01/02 46 47
Pool # 061217 8.000% due 05/01/03 20 20
Pool # 064518 9.500% due 08/01/02 111 116
Pool # 065408 7.750% due 09/01/18 (c) 431 443
Pool # 067922 8.000% due 07/01/03 435 447
Pool # 070424 8.000% due 06/01/02 17 18
Pool # 070694 9.500% due 12/01/05 94 99
Pool # 076261 8.000% due 12/01/03 271 279
Pool # 087274 8.000% due 08/01/04 165 169
Pool # 120778 8.000% due 03/01/17 95 97
Pool # 124542 7.000% due 11/01/99 994 1,001
Pool # 125335 7.500% due 06/01/24 294 295
Pool # 153690 8.000% due 07/01/02 314 323
Pool # 156065 8.000% due 09/01/02 439 451
Pool # 156799 8.000% due 03/01/05 208 214
Pool # 178066 7.000% due 09/01/99 499 503
Pool # 183514 8.000% due 08/01/22 345 353
</TABLE>
Fixed Income I Fund 85
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Pool # 187852 10.500% due 08/01/10 $12 $13
Pool # 190506 6.500% due 12/01/08 853 842
Pool # 190962 6.500% due 07/01/09 513 506
Pool # 207010 6.500% due 04/01/09 37 37
Pool # 208101 6.500% due 05/01/00 101 100
Pool # 211454 7.000% due 05/01/00 191 192
Pool # 216515 6.500% due 06/01/08 61 60
Pool # 220817 6.500% due 06/01/08 32 32
Pool # 223595 6.500% due 07/01/08 104 103
Pool # 224716 6.500% due 07/01/23 236 227
Pool # 231502 7.000% due 10/01/23 456 448
Pool # 234968 6.500% due 09/01/08 237 234
Pool # 235710 7.000% due 11/01/23 509 500
Pool # 238372 7.000% due 11/01/23 1,797 1,766
Pool # 239803 7.000% due 11/01/23 287 282
Pool # 244216 7.500% due 02/01/24 746 748
Pool # 244286 7.000% due 05/01/24 353 346
Pool # 244370 7.000% due 11/01/23 972 956
Pool # 246161 7.000% due 11/01/23 98 96
Pool # 246197 7.000% due 11/01/23 548 539
Pool # 247337 7.000% due 11/01/23 953 937
Pool # 248444 6.500% due 05/01/09 211 208
Pool # 250009 6.500% due 04/01/09 970 957
Pool # 250030 7.000% due 05/01/24 441 434
Pool # 250127 8.000% due 09/01/24 485 494
Pool # 250179 7.500% due 11/01/24 698 700
Pool # 263021 6.500% due 05/01/09 60 60
Pool # 265484 8.000% due 11/01/23 427 435
Pool # 266371 6.500% due 01/01/01 392 391
Pool # 269791 6.500% due 05/01/09 413 408
Pool # 270990 6.500% due 02/01/01 50 50
Pool # 270992 6.500% due 02/01/01 316 315
Pool # 271758 7.500% due 09/01/23 919 921
Pool # 275095 8.000% due 06/01/24 496 505
Pool # 275276 7.500% due 06/01/24 329 329
Pool # 275277 7.500% due 06/01/24 452 454
Pool # 275290 7.000% due 06/01/24 474 466
Pool # 276075 6.500% due 04/01/09 666 657
Pool # 277550 6.500% due 04/01/09 361 356
Pool # 277885 8.000% due 08/01/24 487 496
Pool # 278492 8.000% due 06/01/24 485 494
Pool # 278608 8.000% due 08/01/24 588 599
Pool # 278623 8.500% due 08/01/24 997 1,028
Pool # 278672 8.000% due 09/01/24 661 673
Pool # 278686 8.000% due 09/01/24 338 345
Pool # 278758 8.000% due 10/01/24 342 349
Pool # 279004 7.000% due 04/01/24 247 243
Pool # 279137 6.500% due 05/01/09 518 510
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Pool # 280352 6.500% due 05/01/09 $ 284 $ 280
Pool # 280980 6.500% due 05/01/09 47 47
Pool # 280984 6.500% due 05/01/09 1,901 1,875
Pool # 281297 6.500% due 05/01/09 458 452
Pool # 281298 6.500% due 05/01/09 303 299
Pool # 281439 6.500% due 04/01/09 304 299
Pool # 281800 8.000% due 05/01/24 504 513
Pool # 282305 7.000% due 05/01/24 698 686
Pool # 283040 6.500% due 05/01/09 464 458
Pool # 283486 6.500% due 05/01/09 502 495
Pool # 283947 7.500% due 06/01/24 241 242
Pool # 284279 7.000% due 05/01/24 494 486
Pool # 284451 6.500% due 05/01/09 479 472
Pool # 284577 6.500% due 05/01/09 852 841
Pool # 285145 8.000% due 06/01/24 770 784
Pool # 285147 7.000% due 06/01/24 851 837
Pool # 286112 7.000% due 06/01/24 1,929 1,896
Pool # 286978 7.000% due 06/01/24 505 496
Pool # 287464 6.500% due 06/01/09 451 445
Pool # 287716 7.500% due 09/01/24 713 715
Pool # 288567 8.000% due 08/01/24 301 307
Pool # 289234 6.500% due 06/01/09 780 770
Pool # 289660 7.500% due 08/01/24 220 220
Pool # 290074 8.000% due 10/01/24 278 283
Pool # 290466 8.000% due 10/01/24 391 398
Pool # 290876 7.500% due 07/01/24 756 758
Pool # 290918 8.000% due 09/01/24 474 483
Pool # 291069 8.000% due 10/01/24 427 435
Pool # 291202 8.000% due 10/01/24 245 249
Pool # 293525 8.000% due 10/01/24 320 326
Pool # 294201 8.000% due 09/01/24 544 554
Pool # 294578 8.000% due 09/01/24 997 1,015
Pool # 295187 6.500% due 09/01/09 62 61
Pool # 295443 8.000% due 09/01/24 397 405
Pool # 295502 8.000% due 09/01/24 366 372
Pool # 295927 8.000% due 10/01/24 328 334
Pool # 296017 8.000% due 11/01/24 441 450
Pool # 296298 8.000% due 10/01/24 426 434
Pool # 296384 8.000% due 10/01/24 610 621
Pool # 296553 8.000% due 10/01/24 317 323
Pool # 296554 8.000% due 10/01/24 352 359
Pool # 296786 8.000% due 10/01/24 685 698
Pool # 297322 8.000% due 12/01/24 497 506
Pool # 299256 8.500% due 12/01/24 253 261
Pool # 299522 8.000% due 12/01/24 802 817
Pool # 303022 8.000% due 09/01/24 997 1,016
Pool # 304260 8.500% due 01/01/25 420 433
Pool # 305563 8.500% due 01/01/25 79 81
Pool # 306227 8.500% due 02/01/25 268 276
</TABLE>
86 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Federal National Mortgage Association
7.000% 30 Year Pass-thru TBA (d) $ 10,490 $ 10,309
8.500% 30 Year Pass-thru TBA (d) 330 340
GTD REMIC Trust 1991-48 Class G
7.800% due 12/25/04 1,078 1,083
Principal Only Strip
Zero Coupon due 03/25/20 332 264
REMIC Trust Series 1991-48 Class G
8.000% due 12/25/18 235 235
REMIC Trust Series 1992-G36 Class A
7.000% due 04/25/15 1,101 1,106
REMIC Trust Series 1993-89 Z Tranche
7.000% due 06/25/23 3,429 2,812
Government National Mortgage Association
Pool # 008387 6.000% due 03/20/24 (c) 735 735
Pool # 008397 4.000% due 04/20/24 (c) 554 540
Pool # 008399 5.000% due 04/20/24 (c) 964 960
Pool # 008420 5.000% due 05/20/24 (c) 745 742
Pool # 008528 6.500% due 10/20/24 (c) 4,939 5,009
Pool # 139796 9.500% due 03/15/16 129 138
Pool # 146110 9.500% due 05/15/16 35 37
Pool # 48211 9.500% due 02/15/16 142 152
Pool # 148618 8.500% due 08/15/16 22 23
Pool # 152577 9.000% due 10/15/16 105 111
Pool # 152837 9.000% due 10/15/16 51 54
Pool # 154592 9.000% due 04/15/16 282 298
Pool # 157439 9.000% due 05/15/16 250 265
Pool # 157532 8.500% due 07/15/16 57 60
Pool # 158896 9.000% due 10/15/16 14 15
Pool # 161209 9.000% due 08/15/16 239 253
Pool # 161412 9.000% due 05/15/16 52 55
Pool # 161598 9.000% due 06/15/16 190 201
Pool # 163940 9.000% due 08/15/16 262 277
Pool # 164705 9.000% due 09/15/16 518 548
Pool # 165541 8.500% due 07/15/16 172 180
Pool # 168336 9.000% due 08/15/20 30 32
Pool # 170864 8.500% due 01/15/17 19 20
Pool # 173346 9.000% due 10/15/16 159 168
Pool # 174110 8.500% due 11/15/16 411 430
Pool # 174840 9.000% due 10/15/16 261 276
Pool # 175753 9.000% due 10/15/16 148 157
Pool # 177139 9.000% due 11/15/16 123 131
Pool # 177163 9.000% due 10/15/16 81 85
Pool # 179721 10.500% due 09/15/20 66 73
Pool # 181250 9.000% due 11/15/16 144 152
Pool # 183409 8.500% due 10/15/16 240 251
Pool # 183690 8.500% due 01/15/17 141 147
Pool # 184378 9.000% due 11/15/16 334 353
Pool # 186622 9.000% due 10/15/16 257 272
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Pool # 186658 9.000% due 11/15/16 $ 331 $ 350
Pool # 188014 9.000% due 12/15/16 174 185
Pool # 188459 8.500% due 05/15/17 131 137
Pool # 188531 8.500% due 05/15/17 126 132
Pool # 189178 9.000% due 11/15/16 126 133
Pool # 193313 9.000% due 11/15/16 262 277
Pool # 194421 8.500% due 01/15/17 181 189
Pool # 194842 9.000% due 11/15/16 12 13
Pool # 195538 9.000% due 11/15/16 70 75
Pool # 195910 8.500% due 12/15/16 91 96
Pool # 196528 8.500% due 02/15/17 309 324
Pool # 197003 8.500% due 02/15/17 138 144
Pool # 197387 8.500% due 01/15/17 596 625
Pool # 198202 8.500% due 01/15/17 233 244
Pool # 199668 8.500% due 02/15/17 285 298
Pool # 201206 8.500% due 02/15/17 237 248
Pool # 201795 8.500% due 02/15/17 169 177
Pool # 204153 8.500% due 01/15/17 212 221
Pool # 204268 8.500% due 02/15/17 189 197
Pool # 213265 8.500% due 03/15/17 210 220
Pool # 213365 8.000% due 04/15/17 39 40
Pool # 225968 8.500% due 07/15/17 256 267
Pool # 249662 9.500% due 08/15/18 145 154
Pool # 261325 9.500% due 11/15/18 72 77
Pool # 266522 7.000% due 08/15/23 463 455
Pool # 266892 7.000% due 06/15/23 353 347
Pool # 273024 10.500% due 08/15/20 134 147
Pool # 285402 10.500% due 05/15/20 72 79
Pool # 286050 9.000% due 09/15/20 25 26
Pool # 288365 9.500% due 05/15/20 45 48
Pool # 290338 10.500% due 06/15/20 1,500 1,653
Pool # 290680 10.500% due 08/15/20 98 108
Pool # 294919 10.500% due 09/15/20 27 29
Pool # 295408 10.500% due 08/15/20 104 114
Pool # 297998 10.500% due 11/15/20 192 212
Pool # 299159 10.500% due 11/15/20 261 287
Pool # 299683 10.500% due 11/15/20 69 76
Pool # 300795 10.500% due 12/15/20 109 120
Pool # 301683 10.500% due 01/15/21 148 163
Pool # 303754 9.000% due 12/15/21 842 885
Pool # 303771 8.000% due 02/15/22 301 308
Pool # 310003 9.000% due 07/15/21 29 30
Pool # 321967 7.000% due 05/15/23 350 344
Pool # 329174 7.500% due 05/15/07 138 141
Pool # 329218 9.500% due 05/15/22 577 612
Pool # 332559 7.000% due 04/15/23 139 137
Pool # 333484 7.000% due 10/15/23 300 295
Pool # 334930 7.500% due 08/15/23 828 832
</TABLE>
Fixed Income I Fund 87
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Pool # 336092 7.000% due 09/15/23 $ 136 $ 133
Pool # 336136 7.000% due 04/15/23 120 118
Pool # 336166 7.000% due 02/15/23 306 301
Pool # 336917 7.000% due 05/15/23 736 724
Pool # 337344 7.000% due 08/15/23 353 347
Pool # 337419 7.000% due 06/15/23 492 484
Pool # 337470 7.000% due 07/15/23 94 92
Pool # 338364 7.500% due 12/15/22 48 48
Pool # 339059 7.000% due 10/15/23 351 346
Pool # 339637 7.500% due 04/01/23 620 623
Pool # 342398 7.000% due 06/15/23 496 488
Pool # 342529 8.000% due 02/15/23 304 312
Pool # 342805 7.000% due 06/15/23 120 118
Pool # 343557 7.000% due 05/15/23 352 347
Pool # 343608 7.000% due 05/15/23 257 253
Pool # 343620 7.000% due 06/15/23 569 560
Pool # 343632 7.000% due 07/15/23 354 348
Pool # 345984 7.000% due 12/15/23 93 91
Pool # 346058 7.000% due 01/15/24 836 823
Pool # 346836 7.000% due 10/15/23 136 134
Pool # 347706 7.000% due 12/15/23 125 123
Pool # 348651 7.500% due 05/15/23 239 240
Pool # 348875 7.000% due 07/15/23 356 351
Pool # 348895 7.000% due 07/15/23 477 470
Pool # 349383 7.000% due 06/15/23 108 106
Pool # 350138 7.500% due 03/15/23 105 105
Pool # 351270 7.000% due 07/15/23 92 91
Pool # 352023 7.000% due 11/15/23 571 562
Pool # 352050 7.000% due 10/15/23 582 572
Pool # 352510 7.000% due 10/15/23 578 568
Pool # 352789 7.000% due 10/15/23 352 346
Pool # 355230 7.000% due 09/15/23 481 473
Pool # 356127 7.000% due 10/15/23 122 120
Pool # 356693 7.000% due 08/15/23 379 373
Pool # 356952 7.000% due 06/15/23 575 566
Pool # 357351 7.000% due 11/15/23 356 350
Pool # 358427 7.000% due 09/15/23 355 349
Pool # 358519 7.000% due 12/15/23 501 493
Pool # 358542 7.000% due 07/15/23 488 480
Pool # 358565 7.000% due 05/15/23 481 473
Pool # 359935 7.000% due 11/15/23 92 90
Pool # 360181 7.000% due 08/15/23 143 141
Pool # 360418 7.000% due 10/15/23 354 349
Pool # 361056 6.500% due 08/15/08 222 220
Pool # 361383 7.000% due 11/15/23 122 120
Pool # 362703 7.000% due 10/15/23 368 363
Pool # 363166 7.000% due 11/15/23 122 120
Pool # 364136 7.000% due 08/15/23 144 142
Pool # 364505 7.000% due 11/15/23 305 300
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Pool # 364600 7.000% due 08/15/23 $ 182 $ 179
Pool # 366219 7.000% due 11/15/23 501 493
Pool # 366628 7.000% due 11/15/23 302 297
Pool # 366912 9.000% due 11/15/24 385 404
Pool # 368782 7.000% due 10/15/23 441 434
Pool # 368988 6.500% due 03/15/09 260 257
Pool # 370096 7.000% due 11/15/23 504 496
Pool # 370280 7.000% due 11/15/23 377 371
Pool # 370996 7.000% due 12/15/23 570 561
Pool # 371085 7.000% due 10/15/23 93 92
Pool # 371874 7.500% due 06/15/24 1,347 1,354
Pool # 372850 7.000% due 01/15/24 733 721
Pool # 373788 7.000% due 10/15/23 448 441
Pool # 373794 7.000% due 10/15/23 125 123
Pool # 374718 7.000% due 11/15/23 379 373
Pool # 378011 7.000% due 06/15/24 842 828
Pool # 380163 7.000% due 12/15/23 126 124
Pool # 390778 9.500% due 09/15/24 124 131
Pool # 394904 6.500% due 06/15/09 474 469
Pool # 395148 6.500% due 04/15/09 224 221
Pool # 396505 9.500% due 02/15/25 495 524
Pool # 402850 9.000% due 01/15/25 247 259
Pool # 407106 9.000% due 11/15/24 608 638
Pool # 780010 9.500% due 11/15/24 246 262
Pool # 780029 9.000% due 11/15/24 1,446 1,524
Government National Mortgage Association
6.500% 30 Year TBA (d) 5,000 4,803
7.500% 30 Year TBA (d) 725 736
Mid-St Trust II Class A-3 CMO
9.350% due 04/01/98 759 813
PNC Mortgage Securities Corp.
Series 1994-3 Class A-1
7.500% due 06/18/10 1,697 1,699
United States Department
of Veteran Affairs
REMIC Series 1992-1 Class 2-E
7.750% due 03/15/16 775 785
---------
192,559
---------
MUNICIPAL BONDS - 0.1%
Michigan State Trunk Line Revenue
5.500% due 10/01/21 550 515
---------
515
---------
NON-US BONDS - 0.6%
Germany, Republic of
7.500% due 11/11/04 DEM 5,000 3,725
---------
3,725
---------
</TABLE>
88 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
UNITED STATES GOVERNMENT
AGENCIES - 6.6%
Federal National Mortgage Association
8.200% due 03/10/16 $ 3,360 $ 3,798
Principal Only Strip
Zero Coupon due 10/10/01 850 785
Zero Coupon due 11/22/01 1,000 916
Zero Coupon due 12/20/01 1,125 1,022
Federal National Mortgage Association (MTN)
7.140% due 05/25/99 3,435 3,549
7.170% due 07/06/99 2,470 2,542
7.640% due 06/16/04 570 579
Government Backed Trust Certificates
Class 1-C
9.250% due 11/15/01 12,825 14,127
Series 2-E
9.400% due 05/15/02 2,415 2,671
Series T-3
9.625% due 05/15/02 (c) 2,855 3,157
Resolution Funding Corp.
8.875% due 07/15/20 2,275 2,813
8.625% due 01/15/21 1,200 1,450
8.625% due 01/15/30 240 297
---------
37,706
---------
UNITED STATES GOVERNMENT
TREASURIES - 30.0%
United States Treasury Bonds
10.750% due 08/15/05 13,725 18,224
12.750% due 11/15/10 2,455 3,626
7.250% due 05/15/16 2,925 3,100
7.500% due 11/15/16 2,600 2,831
8.750% due 05/15/17 530 652
8.875% due 08/15/17 960 1,195
8.125% due 08/15/19 26,920 31,320
7.875% due 02/15/21 8,145 9,263
8.125% due 08/15/21 1,385 1,619
United States Treasury Notes
5.875% due 05/31/96 7,795 7,806
7.875% due 07/31/96 955 975
4.375% due 08/15/96 5,390 5,307
6.250% due 08/31/96 140 141
4.375% due 11/15/96 6,175 6,060
7.250% due 11/15/96 5,050 5,142
6.500% due 11/30/96 825 833
7.500% due 12/31/96 2,350 2,405
6.750% due 02/28/97 165 167
6.625% due 03/31/97 65 66
6.500% due 04/30/97 170 172
6.500% due 05/15/97 2,380 2,407
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
8.500% due 05/15/97 $ 605 $ 633
6.500% due 08/15/97 8,465 8,571
8.750% due 10/15/97 165 175
5.750% due 10/31/97 4,075 4,064
8.875% due 11/15/97 175 186
5.625% due 01/31/98 570 566
5.125% due 02/28/98 415 407
5.125% due 03/31/98 2,085 2,045
5.375% due 05/31/98 5,675 5,594
5.125% due 06/30/98 355 347
8.250% due 07/15/98 985 1,048
5.250% due 07/31/98 1,970 1,933
9.250% due 08/15/98 60 66
4.750% due 08/31/98 550 531
8.875% due 11/15/98 525 571
5.125% due 11/30/98 655 638
5.875% due 03/31/99 480 478
6.500% due 04/30/99 5,750 5,849
6.375% due 07/15/99 4,890 4,955
6.875% due 07/31/99 975 1,005
7.750% due 11/30/99 9,300 9,919
6.375% due 01/15/00 975 989
7.125% due 02/29/00 890 930
8.750% due 08/15/00 205 230
8.500% due 11/15/00 1,530 1,703
8.000% due 05/15/01 2,120 2,323
7.500% due 11/15/01 7,940 8,523
7.250% due 05/15/04 3,000 3,203
United States Treasury
Zero Coupon due 11/15/21 4,675 777
---------
171,570
---------
YANKEE BONDS - 1.5%
African Development Bank
8.800% due 09/01/19 535 632
Alberta, Province of
9.250% due 04/01/00 265 296
Asian Development Bank
8.500% due 05/02/01 295 325
British Columbia Hydro & Power
15.500% due 07/15/11 220 254
European Investment Bank
10.125% due 10/01/00 320 373
Hydro Quebec
8.050% due 07/07/24 725 792
Hydro Quebec (MTN)
9.500% due 04/30/27 245 294
Inco, Ltd.
9.600% due 06/15/22 1,050 1,147
</TABLE>
Fixed Income I Fund 89
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Inter-American Development Bank
7.000% due 06/15/25 $ 385 $ 378
Manitoba, Province of
9.250% due 04/01/20 335 405
New Brunswick, Province of
9.750% due 05/15/20 320 400
Newfoundland, Province of
10.000% due 12/01/20 150 182
Nova Scotia, Province of
9.125% due 05/01/21 585 701
Quebec, Province of
7.125% due 02/09/24 1,295 1,204
Saskatchewan, Province of
8.000% due 07/15/04 1,290 1,390
---------
8,773
---------
TOTAL LONG-TERM INVESTMENTS
(cost $536,283) 552,227
---------
<CAPTION>
NUMBER
OF
SHARES
--------- ---------
<S> <C> <C>
PREFERRED STOCKS - 1.0%
Australia & New Zealand
Banking Group, Ltd. 13,400 353
Banco Bilbao Vizcaya International - ADR 10,000 270
ConAgra Capital LC Series B 15,000 339
Credit Lyonnais Capital 100,000 2,200
Credit Lyonnais Capital S.C.A. - ADR 22,600 497
Lasalle National Corp. Series K 17,000 904
Texaco Capital Series B 18,000 389
TIG Holdings, Inc. 7,500 798
---------
TOTAL PREFERRED STOCKS
(cost $6,443) 5,750
---------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 11.5%
Frank Russell Investment Company
Money Market Fund due on demand (a) $ 65,122 $ 65,122
United States Treasury Bills
6.337% due 04/04/96 (e) 750 719
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $65,840) 65,841
---------
TOTAL INVESTMENTS
(identified cost $608,566)(b) - 108.9% 623,818
OTHER ASSETS AND LIABILITIES,
NET - (8.9%) (51,123)
---------
NET ASSETS - 100.0% $572,695
---------
---------
<FN>
(a) At cost, which approximates market.
(b) At June 30, 1995, the cost for federal income tax purposes was $608,751 and
net unrealized appreciation for all securities was $15,067. This consisted
of aggregate gross unrealized appreciation for all securities in which
there was an excess of market value over tax cost of $19,421 and aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $4,354.
(c) Adjustable or floating rate securities.
(d) Forward commitment. See Note 2.
(e) Rate noted is yield-to-maturity.
(MTN) represents Medium Term Note.
</TABLE>
The accompanying notes are an integral part of the financial statements.
90 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $608,565,698) (Note 2). $623,817,763
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 358,707
Foreign currency exchange contracts (cost $3,818,642)
(Notes 2 and 6). . . . . . . . . . . . . . . . . . . . . . . 3,818,642
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . 7,430,492
Investments sold (regular settlement). . . . . . . . . . . . 11,116,517
Investments sold (delayed settlement). . . . . . . . . . . . 32,175,000
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 1,762,271
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . 1,921
-------------
680,481,313
LIABILITIES
Payables:
Investments purchased (regular settlement) . . $4,705,923
Investments purchased (delayed settlement) . . 82,530,154
Fund shares redeemed . . . . . . . . . . . . . 16,411,889
Accrued management fees (Note 4) . . . . . . . 144,823
Accrued transfer agent fees (Note 4) . . . . . 23,392
Accrued bookkeeping service fees (Note 4). . . 7,576
Other accrued expenses . . . . . . . . . . . . 97,455
Forward foreign currency exchange contracts
(cost $3,818,642)(Notes 2 and 6) . . . . . . . 3,865,426 107,786,638
---------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $572,694,675
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $9,613,448
Accumulated net realized gain (loss) . . . . . . . . . . . . . (18,612,925)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 15,252,065
Foreign currency-related transactions. . . . . . . . . . . . (47,254)
Shares of beneficial interest. . . . . . . . . . . . . . . . . 268,486
Additional paid-in capital . . . . . . . . . . . . . . . . . . 566,220,855
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $572,694,675
-------------
-------------
Net asset value, offering and redemption price per share
($572,694,675 divided by 26,848,556 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . $21.33
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income I Fund 91
<PAGE>
FIXED INCOME I FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . $17,563,502
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 1,101,432
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . 268,483
-------------
18,933,417
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . $416,821
Custodian fees . . . . . . . . . . . . . . . . . 152,615
Bookkeeping service fees . . . . . . . . . . . . 25,113
Professional fees. . . . . . . . . . . . . . . . 11,488
Registration fees. . . . . . . . . . . . . . . . 7,106
Transfer agent fees. . . . . . . . . . . . . . . 62,766
Trustees' fees . . . . . . . . . . . . . . . . . 1,970
Miscellaneous. . . . . . . . . . . . . . . . . . 17,398 695,277
-------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 18,238,140
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . 1,619,986
Foreign currency-related transactions (Notes 2 and 3). . . . . 82,748
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 33,540,277
Foreign currency-related transactions. . . . . . . . . . . . . (47,254)
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . 35,195,757
-------------
Net decrease (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . $53,433,897
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
92 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,238,140 $ 35,839,298
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,619,986 (20,124,615)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . 82,748 2,274
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,540,277 (31,162,485)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . (47,254) --
-------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 53,433,897 (15,445,528)
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,098,530) (35,367,734)
In excess of net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . -- (1,318,765)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . 32,321,076 14,474,759
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,656,443 (37,657,268)
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 496,038,232 533,695,500
-------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $9,613,448 and $322,119, respectively) . . . . . . . . . . . . . . . . . . . . . . . $572,694,675 $496,038,232
-------------- -------------
-------------- -------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 7,505,055 $ 153,179,131 7,398,287 $ 152,608,961
Fund shares isssued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . 370,575 7,502,773 1,552,275 31,130,208
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (6,344,389) (128,360,828) (8,182,615) (169,264,410)
----------- ------------ ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . 1,531,241 $ 32,321,076 767,947 $ 14,474,759
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income I Fund 93
<PAGE>
FIXED INCOME I FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $19.59 $ 21.74 $ 21.61 $ 22.29 $ 20.86 $ $20.91
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .74 1.46 1.50 1.63 1.71 1.77
Net realized and unrealized gain (loss) on investments . . . . . 1.40 (2.06) .72 (.07) 1.49 (.05)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . 2.14 (.60) 2.22 1.56 3.20 1.72
-------- -------- -------- -------- -------- --------
Less Distributions:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.40) (1.44) (1.50) (1.62) (1.69) (1.77)
In excess of net investment income . . . . . . . . . . . . . . . -- -- (.01) -- -- --
Net realized gain on investments . . . . . . . . . . . . . . . . -- -- (.58) (.62) (.08) --
In excess of net realized gain on investments. . . . . . . . . . -- (.11) -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.40) (1.55) (2.09) (2.24) (1.77) (1.77)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $21.33 $ 19.59 $ 21.74 $ 21.61 $ 22.29 $20.86
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 11.02 (2.97) 10.46 7.26 16.01 8.60
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . . . . . .27 .10 .09 .10 .10 .11
Net investment income to average net assets (b). . . . . . . . . 7.19 7.06 6.71 7.45 8.08 8.70
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 146.46 173.97 173.27 211.26 121.91 114.15
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 572,695 496,038 533,696 530,857 458,201 329,091
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
(c) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers.
Effective April 1, 1995, management fees are included in expenses.
See Note 4.
</TABLE>
94 Fixed Income I Fund
<PAGE>
FIXED INCOME II FUND
STATEMENTS OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
LONG-TERM INVESTMENTS - 88.7%
ASSET-BACKED SECURITIES - 10.6%
Advanta Home Equity Loan Trust
Series 1994-1 Class A-2
6.300% due 07/25/25 $ 280 $ 271
Advanta Mortgage Loan Trust
Series 1993-4 Class A-1
7.270% due 06/25/08 1,655 1,658
ALPS Pass-thru Trust
Series 1994-1 Class A-2
7.150% due 11/15/97 (c) 311 313
Colonial Credit Card Trust
Series 1992-A Class A
6.800% due 08/15/97 545 548
Contimortgage Home Equity Loan
Series 1994-4 Class A1
8.090% due 08/15/08 958 963
EQCC Home Equity Loan Trust
Series 1993-4 Class A
5.725% due 12/15/08 90 86
Series 1994-1 Class A
5.800% due 03/15/09 558 535
Series 1994-3 Class A-1
6.340% due 01/15/04 951 960
First Chicago Master Trust II
Credit Card Certificates
Series 1991-D
8.400% due 06/15/98 600 611
Fund America Investors Corp. II
Pass-thru Certificate
Series 1993-F Class A-1
5.400% due 09/25/09 303 283
Green Tree Financial Corp.
Series 1992-2 Class A-2
7.050% due 01/15/18 66 67
Series 1994-1 Class A-1
5.600% due 04/15/19 883 878
National Credit Card Trust
Pass-thru Certificate
Series 1989-4 Class A
9.450% due 12/31/97 800 822
Nomura Asset Securities Corp.
Mortgage Pass-thru Certificate
Series 1994-3 Class A-1
7.000% due 07/25/24 833 832
Resolution Trust Corp.
Mortgage Pass-thru Certificates
Series 1992-9 Class A2B
8.000% due 07/25/29 900 907
Series 1992-CHF Class B
7.150% due 12/25/20 541 540
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Resolution Trust Corp.
Mortgage Pass-thru Certificates
Series 1992-M2 Class A-4
8.465% due 03/25/20 $ 66 $ 65
Series 1992-M3 Class A-1
7.750% due 07/25/30 117 118
Salomon Brothers Mortgage Securities VII
Interest Only Strip
Series 1993-5 Class A2
7.371% due 10/25/23 (c) 436 435
Small Business Administration
Pool #501456 7.400% due 03/25/16 (c) 525 535
Pool #501561 7.375% due 07/25/16 (c) 501 510
SPNB Home Equity Loan
Series 1991-1 Class B
8.150% due 06/15/20 199 202
TMS Home Equity Loan Trust
Series 1993-D Class A-1
5.675% due 12/15/08 2,571 2,455
Series 1994-C Class A-1
6.775% due 09/15/07 1,031 1,031
UCFC Home Equity Loan Trust
Series 1994-B Class A-6
7.100% due 06/10/23 993 1,002
Series 1994-C1 Class A-1
6.775% due 05/10/05 1,085 1,086
Western Financial Grantor Trust
Series 1991-2 Class A
7.300% due 10/01/96 113 113
---------
17,826
---------
CORPORATE BONDS AND NOTES - 20.5%
American General Finance Corp. (MTN)
6.700% due 06/16/97 475 478
Bank of Boston Corp.
9.500% due 08/15/97 995 1,053
BP America, Inc.
10.150% due 03/15/96 250 257
Capital One Bank
8.625% due 01/15/97 250 258
Capital One Bank (MTN)
8.125% due 02/27/98 900 925
Chase Manhattan Corp.
7.500% due 12/01/97 950 970
6.188% due 12/05/09 (c) 200 191
Chemical Banking Corp.
10.375% due 03/15/99 250 279
10.125% due 11/01/00 259 296
</TABLE>
Fixed Income II Fund 95
<PAGE>
FIXED INCOME II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Chrysler Financial Corp. (MTN)
5.200% due 11/12/96 $ 400 $ 395
CIT Group Holdings, Inc.
7.625% due 12/05/96 350 357
Citicorp (MTN)
8.500% due 02/24/97 600 622
Commercial Credit Group, Inc.
8.000% due 09/01/96 1,000 1,019
Continental Bank Corp.
9.875% due 06/15/96 175 180
ERP Operating, L.P.
8.500% due 05/15/99 625 650
First Security Bank (MTN)
6.880% due 10/04/96 1,000 1,009
First Union Corp.
6.750% due 01/15/98 750 755
First USA Bank
5.750% due 01/15/99 125 121
First USA Bank (MTN)
5.050% due 12/27/95 250 249
Fleet Financial Group, Inc.
7.250% due 10/15/97 1,025 1,045
Ford Motor Credit Co. (MTN)
9.125% due 06/20/96 1,500 1,545
Ford Motor Credit Co. (MTN) CMS Floater
5.840% due 07/08/96 (c) 2,000 1,955
General Motors Acceptance Corp.
7.750% due 04/15/97 675 690
General Motors Acceptance Corp. (MTN)
8.250% due 08/29/96 400 409
Georgia Pacific Corp.
9.850% due 06/15/97 675 715
Goldman Sachs Group, L.P.
7.625% due 05/29/97 550 560
6.100% due 04/15/98 275 271
6.375% due 06/15/00 325 318
Greyhound Financial Corp.
9.670% due 07/01/97 750 792
GTE Corp.
10.750% due 09/15/17 1,150 1,259
Health & Rehabilitation Properties Trust
7.300% due 07/13/99 (c) 725 719
International Lease Finance Corp.
5.500% due 04/01/97 1,000 986
International Lease Finance Corp. (MTN)
5.870% due 02/13/98 350 345
Merrill Lynch & Co., Inc.
9.000% due 05/01/98 900 959
Midlantic Corp.
9.250% due 09/01/99 375 406
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Morgan Stanley Group, Inc.
8.000% due 10/15/96 $ 450 $ 459
Occidental Petroleum Corp.
9.625% due 07/01/99 650 668
Occidental Petroleum Corp. (MTN)
5.950% due 11/09/98 1,225 1,199
Salomon, Inc. (MTN) CMT Floater
6.712% due 04/05/99 (c) 1,100 1,052
Shawmut Corp.
8.875% due 04/01/96 600 610
8.125% due 02/01/97 533 547
Smith Barney Holdings, Inc.
6.000% due 03/15/97 650 645
7.875% due 10/01/99 675 703
System Energy Resources, Inc.
7.625% due 04/01/99 1,500 1,530
Taubman Realty Group, L.P.
8.000% due 06/15/99 350 361
Tennessee Gas Pipeline Co.
9.250% due 05/15/96 450 460
9.000% due 01/15/97 450 466
USF&G Corp.
7.000% due 05/15/98 2,575 2,600
Wells Fargo & Co.
8.200% due 11/01/96 100 101
---------
34,439
---------
EURODOLLAR BONDS - 0.6%
Chrysler Financial Corp.
9.500% due 04/12/96 275 281
Goldman Sachs Group, L.P.
5.000% due 08/23/96 700 690
---------
971
---------
MORTGAGE-BACKED SECURITIES - 23.5%
FDIC REMIC Trust
Series 1994-C1 Class 2A-1
6.300% due 09/25/25 96 96
Series 1994-C1 Class 2A-2
7.850% due 09/25/25 700 719
Federal Home Loan Mortgage Corp.
Participation Certificates
Group # 23-0114 7.375% due 03/01/06 (c) 421 421
Group # 25-1211 6.250% due 06/01/07 300 294
Group # 40-9223 6.335% due 01/01/24 (c) 757 773
Group # 60-8726 6.000% due 09/01/23 (c) 698 718
Group # 84-5819 6.106% due 05/01/24 (c) 779 790
Group # 85-0105 9.000% due 09/01/05 527 547
</TABLE>
96 Fixed Income II Fund
<PAGE>
FIXED INCOME II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Group # D2-9159 7.500% due 10/01/07 $ 729 $ 737
Group # D3-2311 8.500% due 12/01/17 1,054 1,094
Group # G5-0238 8.000% due 01/01/00 971 993
Group # L7-2736 7.000% due 08/01/99 124 126
Group # L7-3024 8.000% due 12/01/99 178 182
Group # L7-3057 8.000% due 01/01/00 49 50
Group # L7-3072 8.000% due 01/01/00 113 116
Group # L7-3123 8.000% due 03/01/00 367 375
Group # M9-0356 7.000% due 08/01/99 611 617
Group # M9-0386 8.000% due 02/01/00 828 846
Group # G5-0215 8.000% due 08/01/97 3,400 3,477
Federal National Mortgage Association
Pool # 040063 8.500% due 12/01/08 223 232
Pool # 116591 6.298% due 01/01/21 (c) 581 582
Pool # 190581 6.245% due 01/01/24 (c) 967 989
Pool # 303172 6.606% due 12/01/24 (c) 870 899
Pool # 307672 6.062% due 02/01/25 (c) 697 709
Pool # 307676 5.782% due 01/01/25 (c) 987 997
Federal National Mortgage Association
REMIC Series 1993-175 Class PK
4.750% due 09/25/00 1,200 1,184
REMIC Trust Series 1995-W2 Class 1A
7.610% due 05/25/22 750 758
Government National Mortgage Association
Pool # 002626 7.250% due 01/15/04 325 333
Pool # 007192 7.250% due 05/15/05 167 171
Pool # 007397 7.250% due 07/15/05 156 159
Pool # 008000 6.750% due 06/20/22 (c) 2,210 2,250
Pool # 008315 5.500% due 11/20/23 (c) 780 774
Pool # 008334 7.250% due 10/15/05 343 351
Pool # 008339 5.500% due 12/20/23 (c) 376 373
Pool # 008362 5.000% due 02/20/24 (c) 120 117
Pool # 008399 5.000% due 04/20/24 (c) 1,253 1,249
Pool # 008420 5.000% due 05/20/24 (c) 601 599
Pool # 008421 5.500% due 05/20/24 (c) 195 197
Pool # 008434 4.500% due 06/20/24 (c) 1,061 1,046
Pool # 008459 6.500% due 07/20/24 (c) 200 203
Pool # 008482 6.500% due 08/20/24 (c) 418 426
Pool # 008597 7.500% due 02/20/25 (c) 496 508
Pool # 008619 6.500% due 04/20/25 (c) 782 788
Pool # 008633 7.500% due 05/20/25 (c) 26 27
Pool # 008644 7.500% due 06/20/25 954 976
Pool # 038360 10.000% due 11/15/09 68 74
Pool # 262217 10.000% due 11/15/18 11 12
Pool # 269081 10.000% due 03/15/19 194 211
Pool # 270351 10.000% due 10/15/19 326 355
Pool # 270893 10.000% due 03/15/19 37 40
Pool # 275102 9.500% due 09/15/19 204 216
Pool # 277175 9.500% due 09/15/19 103 109
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Pool # 278723 10.000% due 08/15/19 $ 474 $ 516
Pool # 284844 9.500% due 02/15/20 187 198
Pool # 294339 9.500% due 01/15/21 192 204
Pool # 294892 10.000% due 08/15/20 248 270
Pool # 294894 9.500% due 08/15/20 132 140
Pool # 297544 9.500% due 01/15/21 359 380
Pool # 302208 10.000% due 01/15/21 310 338
Pool # 380139 9.500% due 02/15/25 323 341
Pool # 407985 9.500% due 03/15/25 296 313
Government National Mortgage Association
7.000% 30 Year TBA (e) 1,500 1,529
9.000% 30 Year TBA (e) 1,750 1,838
9.500% 30 Year TBA (e) 1,750 1,855
Ryland Mortgage Securities Corp. CMO
7.814% due 06/25/20 (c) 507 512
---------
39,319
---------
UNITED STATES GOVERNMENT
AGENCIES - 2.1%
Federal Home Loan Bank
7.050% due 05/22/98 1,475 1,480
Federal Home Loan Mortgage Corp.
6.905% due 05/02/97 1,075 1,078
Federal National Mortgage Association
CMT Floater (MTN)
6.720% due 04/29/96 (c) 950 931
---------
3,489
---------
UNITED STATES GOVERNMENT
TREASURIES - 27.0%
United States Treasury Notes
5.125% due 11/15/95 1,675 1,671
6.000% due 06/30/96 360 361
7.250% due 08/31/96 250 254
7.500% due 12/31/96 3,600 3,684
6.875% due 02/28/97 10,200 10,366
6.625% due 03/31/97 1,495 1,514
6.500% due 04/30/97 2,500 2,529
6.125% due 05/31/97 2,185 2,196
6.750% due 05/31/97 3,125 3,175
7.250% due 02/15/98 3,395 3,506
6.125% due 05/15/98 12,600 12,683
5.375% due 05/31/98 940 927
6.875% due 07/31/99 225 232
7.625% due 12/31/99 310 331
6.875% due 03/31/00 1,160 1,201
6.250% due 05/31/00 675 683
---------
45,313
---------
</TABLE>
Fixed Income II Fund 97
<PAGE>
FIXED INCOME II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
YANKEE BONDS - 4.4%
African Development Bank
9.500% due 12/15/95 $ 400 $ 406
British Columbia Hydro & Power
15.000% due 04/15/11 100 112
15.500% due 11/15/11 400 472
Forte
7.750% due 12/19/96 1,220 1,243
Household International
5.250% due 10/15/98 1,150 1,108
Ontario, Province of
17.000% due 11/05/11 945 1,130
11.500% due 03/10/13 1,585 1,826
Quebec, Province of
13.000% due 10/01/13 830 1,016
---------
7,313
---------
TOTAL LONG-TERM INVESTMENTS
(cost $149,414) 148,670
---------
<CAPTION>
NUMBER
OF
SHARES
---------
<S> <C>
PREFERRED STOCKS - 0.9%
Conagra Capital LC Series B (c) 39,000 882
Texaco Capital Series B (c) 28,000 609
---------
TOTAL PREFERRED STOCKS
(cost $1,675) 1,491
---------
<CAPTION>
Principal Market
Amount Value
(000) (000)
--------- ---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 12.2%
Frank Russell Investment Company
Money Market Fund due on demand (a) $19,221 $19,221
Student Loan Marketing Association (MTN)
6.943% due 02/21/96 650 654
United States Treasury Bills
6.590% due 02/08/96 (b) 640 619
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $20,487) 20,494
---------
TOTAL INVESTMENTS
(identified cost $171,576)(d) - 101.8% 170,655
---------
OTHER ASSETS AND LIABILITIES,
NET - (1.8%) (2,945)
---------
NET ASSETS - 100.0% $167,710
---------
---------
<FN>
(a) At cost, which approximates market.
(b) Rate noted is yield-to-maturity (Unaudited).
(c) Adjustable or floating rate securities.
(d) At June 30, 1995 the cost for federal income tax purposes
was $171,561 and net unrealized depreciation for all securities
was $906. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $1,194 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $2,100.
(e) Forward commitment. See Note 2.
(MTN) represents Medium Term Note.
</TABLE>
The accompanying notes are an integral part of the financial statements.
98 Fixed Income II Fund
<PAGE>
FIXED INCOME II FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost
$171,576,043)(Note 2). . . . . . . . . . . . . . . . . . . . $170,654,927
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214,539
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . 1,969,906
Investments sold (regular settlement). . . . . . . . . . . . 344,876
Investments sold (delayed settlement). . . . . . . . . . . . 2,053,083
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 662,237
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . 3,447
-------------
175,903,015
LIABILITIES
Payables:
Investments purchased (regular settlement) . . $693,651
Investments purchased (delayed settlement) . . 7,276,646
Fund shares redeemed . . . . . . . . . . . . . 99,100
Accrued management fees (Note 4) . . . . . . . 68,240
Accrued transfer agent fees (Note 4) . . . . . 3,884
Accrued bookkeeping service fees (Note 4). . . 6,170
Other accrued expenses . . . . . . . . . . . . 45,559 8,193,250
---------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $167,709,765
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $2,555,325
Accumulated net realized gain (loss) . . . . . . . . . . . . . (5,589,161)
Unrealized appreciation (depreciation) on investments. . . . . (921,116)
Shares of beneficial interest. . . . . . . . . . . . . . . . . 89,853
Additional paid-in capital . . . . . . . . . . . . . . . . . . 171,574,864
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $167,709,765
-------------
-------------
Net asset value, offering and redemption price per share
($167,709,765 divided by 8,985,297 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . $18.66
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income II Fund 99
<PAGE>
FIXED INCOME II FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,855,099
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 577,539
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . 59,658
-------------
5,492,296
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $202,298
Custodian fees . . . . . . . . . . . . . . . . . 69,343
Bookkeeping service fees . . . . . . . . . . . . 11,376
Professional fees. . . . . . . . . . . . . . . . 8,525
Registration fees. . . . . . . . . . . . . . . . 11,588
Transfer agent fees. . . . . . . . . . . . . . . 34,374
Trustees' fees . . . . . . . . . . . . . . . . . 1,941
Miscellaneous. . . . . . . . . . . . . . . . . . 544 339,989
-------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 5,152,307
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . (381,415)
Options written (Notes 2 and 3). . . . . . . . . . . . . . . . (12,969)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 4,086,164
Options written. . . . . . . . . . . . . . . . . . . . . . . . (424)
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . 3,691,356
-------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . $8,843,663
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
100 Fixed Income II Fund
<PAGE>
FIXED INCOME II FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,152,307 $9,571,414
Net realized gain (loss) from: . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (381,415) (4,240,414)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (12,969) 22,750
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,086,164 (4,068,419)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (424) 424
-------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 8,843,663 1,285,755
Distributions to shareholders from net investment income . . . . . . . . . . . . . . . . . (3,079,656) (9,088,740)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . 17,915,585 13,213,872
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,679,592 5,410,887
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144,030,173 138,619,286
-------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $2,555,325 and $482,674, respectively). . . . . . . . . . . . . . . . . . . . . . . . $167,709,765 $144,030,173
-------------- -------------
-------------- -------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 2,534,516 $46,548,763 4,162,933 $76,778,267
Fund shares issued to shareholders
in reinvestments of distributions . . . . . . . . . . . . . . . . . 146,742 2,671,270 413,748 7,543,865
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (1,705,844) (31,304,448) (3,866,382) (71,108,260)
----------- ----------- ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . 975,414 $17,915,585 710,299 $13,213,872
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income II Fund 101
<PAGE>
FIXED INCOME II FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $17.98 18.99 18.56 19.68 $18.94 18.69
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .59 1.21 .84 1.35 1.52 1.53
Net realized and unrealized gain (loss) on investments . . . . . .46 (1.07) .44 (.83) .72 .23
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . 1.05 .14 1.28 .52 2.24 1.76
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.37) (1.15) (.71) (1.36) (1.50) (1.51)
Net realized gain on investments . . . . . . . . . . . . . . . . -- -- -- (.28) -- --
Tax return of capital. . . . . . . . . . . . . . . . . . . . . . -- -- (.14) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.37) (1.15) (.85) (1.64) (1.50) (1.51)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $18.66 $17.98 $18.99 $18.56 $19.68 $18.94
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 5.90 .82 6.98 2.74 12.31 9.71
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . . . . . .44 .19 .16 .19 .13 .15
Net investment income to average net assets (b). . . . . . . . . 6.70 6.52 6.16 7.21 8.06 8.45
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 239.11 233.75 229.07 330.58 188.30 184.38
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 167,710 144,030 138,619 182,735 156,685 119,853
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
(c) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers.
Effective April 1, 1995, management fees are included in expenses.
See Note 4.
</TABLE>
102 Fixed Income II Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
LONG-TERM INVESTMENTS - 83.9%
ASSET-BACKED SECURITIES - 4.0%
Advanta Home Equity Loan Trust
Series 1993-1 Class A-2
5.950% due 05/25/09 $ 53 $ 51
Advanta Home Equity Loan Trust
Series 1994-1 Class A-2
6.300% due 07/25/25 320 309
AFC Home Equity Loan Trust
Series 1993-1 Class A
5.900% due 05/20/08 65 63
American Airlines, Inc.
Series 1990-P
10.600% due 03/04/09 1,013 1,243
Drexel Burnham Lambert CMO Trust
8.900% due 06/01/16 136 142
EQCC Home Equity Loan Trust
Series 1993-4 Class A
5.725% due 12/15/08 75 71
Equicon Home Equity Loan Trust 1993-1
5.850% due 11/18/12 63 62
Fund America Investors Corp. II
Pass-thru Certificate
Series 1993-F Class A-1
5.400% due 09/25/09 202 188
Greenwich Capital Acceptance, Inc.
Series 1994 Class A-1
6.830% due 11/25/24 (c) 1,795 1,831
OSCC Home Equity Loan Trust
Series 1992-4 Class A
6.550% due 10/25/07 45 44
Series 1993-1
5.850% due 03/15/08 49 47
Prudential Home Mortgage Securities Co.
Mortgage Pass-thru Series 1989
10.000% due 11/01/19 47 50
Series 1992-51 Class A-8
8.000% due 02/25/23 500 507
Resolution Trust Corp.
Mortgage Pass-thru Certificate
Series 1992-C4 Class A-1
8.150% due 06/25/24 72 73
Series 1995-1 Class 2-C
7.500% due 10/25/28 (c) 325 329
Series 1995-C1 Class C
6.920% due 02/25/27 (c) 300 281
Series 1994-1 Class M2
7.750% due 09/25/29 467 459
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Salomon Brothers Mortgage Securities VII, Inc.
Mortgage Pass-thru Certificate
Series 1994-16 Class A
7.200% due 11/25/24 (c) $ 1,836 $ 1,866
TMS Home Equity Loan Trust
Series 1993-D Class A-1
5.675% due 12/15/08 137 131
UCFC Home Equity Loan Trust
Series 1993-B1 Class A-1
6.075% due 07/25/14 57 56
Series 1994-B Class A-6
7.100% due 06/10/23 345 349
---------
8,152
---------
CORPORATE BONDS AND NOTES - 23.4%
Adelphia Communications Corp.
PIK Series B
9.500% due 02/15/04 767 610
ADT Operations, Inc.
8.250% due 08/01/00 375 381
American Airlines Class A-1
9.710% due 01/02/07 383 425
AMR Corp. (MTN)
9.950% due 03/07/01 1,000 1,116
Anchor Bancorp, Inc.
8.937% due 07/09/03 150 145
Arcadian Partners Ltd. Series B
10.750% due 05/01/05 270 272
Arkla, Inc.
8.000% due 01/15/97 175 176
Arkla, Inc. (MTN)
8.780% due 07/19/96 1,000 1,019
Armco, Inc.
9.375% due 11/01/00 265 254
Banesto Delaware, Inc.
8.250% due 07/28/02 1,000 1,039
Cablevision Industries Co.
9.250% due 04/01/08 380 393
Capital One Bank
8.625% due 01/15/97 325 335
Chevy Chase Savings Bank
9.250% due 12/01/05 500 485
Clark Oil & Refining Corp.
9.500% due 09/15/04 200 203
Cleveland Electric Illum Co.
9.375% due 03/01/17 1,000 932
</TABLE>
Fixed Income III Fund 103
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Cleveland Electric Illum Co.
Series B
9.500% due 05/15/05 $ 130 $ 130
Cleveland Electric Illum Co. (MTN)
9.110% due 07/22/96 1,000 1,015
CMS Energy Corp.
9.500% due 10/01/97 1,000 985
Coast Federal Bank
13.000% due 12/31/02 250 281
Coast Savings Financial, Inc.
10.000% due 03/01/00 275 280
Columbia Gas System, Inc.
10.500% due 06/01/12 380 556
Companhia Petroleo Ipiranga
8.625% due 02/25/02 (c) 650 609
Continental Cablevision, Inc.
8.500% due 09/15/01 100 101
8.625% due 08/15/03 125 126
8.875% due 09/15/05 250 255
CTC Mansfield Funding Corp.
10.250% due 03/30/03 1,000 1,020
Delta Air Lines, Inc.
10.375% due 02/01/11 195 226
Dime Bancorp, Inc.
10.500% due 11/15/05 395 427
EnviroSource, Inc.
9.750% due 06/15/03 570 513
Exide Corp.
10.750% due 12/15/02 250 264
12.250% due 12/15/04 580 415
Falcon Holdings Group, L.P.
PIK Series B
11.000% due 09/15/03 402 352
First Nationwide Holdings, Inc.
12.250% due 05/15/01 425 442
First USA Bank
8.200% due 02/15/98 475 491
Flagstar Corp.
11.250% due 11/01/04 245 191
Ford Motor Credit (MTN) CMS Floater
5.805% due 07/12/96 (c) 200 196
General Medical Corp. of Virginia PIK
12.125% due 08/15/05 1,074 1,106
General Motors Acceptance Corp.
8.625% due 06/15/99 270 288
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
General Motors Acceptance Corp. (MTN)
8.800% due 07/08/96 $ 235 $ 241
5.940% due 07/19/96 (c) 2,000 1,997
7.375% due 04/15/99 1,000 1,025
Genesis Health Ventures, Inc.
9.750% due 06/15/05 325 327
Goldman Sachs Group, L.P.
6.375% due 06/15/00 1,050 1,028
Grupo Industrial Durango SA de CV
12.000% due 07/15/01 625 467
Healthsouth Rehabilitation Corp.
9.500% due 04/01/01 300 310
Koppers Industries, Inc.
8.500% due 02/01/04 550 520
Liberty Mutual Insurance Co.
8.200% due 05/04/07 575 600
Litton Industries, Inc.
12.625% due 07/01/05 3,000 3,126
Long Island Lighting Co.
6.250% due 07/15/01 190 174
8.900% due 07/15/19 200 183
New England Mutual Life Insurance Co.
7.875% due 02/15/24 400 346
New York Telephone Co.
7.000% due 08/15/25 480 452
News America Holdings, Inc.
8.875% due 04/26/23 375 407
8.450% due 08/01/34 625 681
NWA Trust
13.875% due 06/21/08 90 99
Occidental Petroleum Corp. (MTN)
6.750% due 09/16/99 225 225
Owens-Illinois, Inc.
11.000% due 12/01/03 700 768
Pacific Bell
7.500% due 02/01/33 450 436
Paramount Communications, Inc.
7.500% due 01/15/02 225 225
PDV America, Inc.
7.875% due 08/01/03 830 753
PennCorp. Financial Group, Inc.
9.250% due 12/15/03 475 461
Peters (J.M.), Inc.
12.750% due 05/01/02 280 228
Pueblo Xtra International
9.500% due 08/01/03 255 227
</TABLE>
104 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Reliance Group Holdings, Inc.
9.000% due 11/15/00 $ 460 $ 452
Riggs National Corp. Washington, D.C.
9.650% due 06/15/09 875 954
RJR Nabisco, Inc.
8.000% due 01/15/00 2,000 2,085
Salomon, Inc.
9.375% due 04/15/98 250 264
Smith Barney Holdings, Inc. New
5.625% due 11/15/98 275 264
7.980% due 03/01/00 325 341
Taubman Realty Group, L.P.
8.000% due 06/15/99 450 464
Tenneco Credit Corp.
9.000% due 07/15/95 1,000 1,001
Time Warner, Inc.
Zero Coupon due 08/15/02 2,500 2,459
9.125% due 01/15/13 575 598
9.150% due 02/01/23 1,365 1,416
Toledo Edison Co.
8.700% due 09/01/02 500 444
Toledo Edison Co. (MTN)
8.000% due 12/31/98 500 493
Transco Energy Co.
9.375% due 08/15/01 500 561
Turner Broadcasting Systems, Inc.
7.400% due 02/01/04 485 454
United Companies Financial Corp.
9.350% due 11/01/99 375 400
United Technologies Corp.
8.875% due 11/15/19 170 198
USF&G Corp.
8.375% due 06/15/01 250 266
Wellsford Residential Property Trust
9.375% due 02/01/02 475 521
Westinghouse Electric Corp.
8.375% due 06/15/02 325 340
Westpoint Stevens, Inc.
8.750% due 12/15/01 300 296
---------
47,631
---------
EURODOLLAR BONDS - 1.7%
Argentina, Republic of Series L
7.313% due 03/31/05 (c) 500 308
Banesto Finance
7.063% due 10/24/49 (c)(f) 250 210
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Canadian Imperial Bank
6.938% due 07/30/84 (c) $ 190 $ 163
Fifth Mexican Acceptance Corp.
Class A
8.000% due 12/15/98 800 344
Hong Kong & Shanghai Bank
6.750% due 08/29/49 (c)(f) 625 501
Indah Kiat Paper & Pulp
8.875% due 11/01/00 155 141
Mexico (United Mexican States)
7.219% due 12/31/19 (c) 2,000 1,425
Midland Bank
6.688% due 12/31/49 (c)(f) 170 137
Venezuela, Republic of
6.750% due 03/31/20 500 251
---------
3,480
---------
MORTGAGE-BACKED SECURITIES - 27.4%
Collateralized Mortgage Securities Corp.
Series J Class J-5 CMO
7.985% due 05/01/17 1,427 1,483
FDIC REMIC Trust
Series 1994-C1 Class 2A-2
7.850% due 09/25/25 500 513
Federal Home Loan Mortgage Corp.
Participation Certificate
Group # G8-0003
9.500% due 07/25/22 267 280
Federal Home Loan Mortgage Corp.
Series 1037 Class Z
9.000% due 02/15/21 1,464 1,585
Series 29 Class 29-F
10.000% due 10/15/11 6 6
Federal National Mortgage Association
Pool # 050714 7.500% due 04/01/23 73 74
Pool # 050748 7.500% due 06/01/23 79 80
Pool # 050766 7.500% due 07/01/23 707 709
Pool # 050796 7.500% due 09/01/23 472 473
Pool # 050996 7.500% due 02/01/24 685 687
Pool # 190218 7.500% due 04/01/23 307 307
Pool # 213445 7.500% due 07/01/23 92 92
Pool # 228620 7.500% due 07/01/23 24 24
Pool # 229089 7.500% due 07/01/23 518 520
Pool # 242008 7.500% due 12/01/23 88 89
Pool # 265560 5.621% due 01/01/24 (c) 3,892 3,948
Pool # 275296 7.000% due 07/01/24 518 509
</TABLE>
Fixed Income III Fund 105
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Pool # 280365 7.000% due 05/01/24 $ 749 $ 736
Pool # 293247 8.000% due 09/01/24 676 689
Pool # 295712 8.000% due 10/01/24 34 35
Pool # 303016 6.000% due 10/01/01 1,474 1,431
Pool # 307564 7.000% due 06/01/25 866 851
Federal National Mortgage Association
6.500% 7 Year TBA (e) 1,750 1,746
7.000% 15 Year TBA (e) 2,700 2,707
7.000% 30 Year TBA (e) 7,925 7,789
7.500% 30 Year TBA (e) 950 953
8.000% 30 Year TBA (e) 2,700 2,750
REMIC
9.100% due 12/25/12 146 146
REMIC Series 1994-3 Class SA
3.100% due 01/25/24 (c) 425 174
REMIC Trust Series 1994-79 Class Z
7.000% due 04/25/24 2,681 2,354
Government National Mortgage Association
Pool # 008288 6.500% due 09/20/23 (c) 909 923
Pool # 008301 5.500% due 10/20/23 (c) 545 541
Pool # 008346 6.500% due 12/20/23 (c) 1,020 1,033
Pool # 008350 5.000% due 01/20/24 (c) 839 816
Pool # 008387 6.000% due 03/20/24 (c) 379 380
Pool # 008399 5.000% due 04/20/24 (c) 747 744
Pool # 008420 5.000% due 05/20/24 (c) 457 455
Pool # 297864 9.000% due 10/15/21 168 176
Pool # 320970 8.000% due 04/15/22 422 432
Pool # 327604 8.000% due 07/15/22 433 443
Pool # 330255 7.500% due 07/15/23 89 89
Pool # 345644 7.500% due 03/15/24 91 91
Pool # 346435 8.000% due 02/15/23 360 369
Pool # 348193 7.500% due 07/15/23 575 577
Pool # 352050 7.000% due 10/15/23 1,064 1,047
Pool # 352542 7.000% due 01/15/24 248 244
Pool # 361036 7.500% due 07/15/23 141 142
Pool # 362183 7.000% due 01/15/24 111 109
Pool # 369166 7.500% due 10/15/23 353 355
Pool # 371259 7.000% due 01/15/24 120 118
Pool # 372591 7.500% due 11/15/23 538 540
Pool # 373789 7.500% due 10/15/23 485 487
Pool # 376352 7.500% due 12/15/23 489 492
Pool # 380708 9.000% due 01/15/25 321 337
Pool # 380893 7.500% due 03/15/24 394 396
Pool # 385312 9.000% due 11/15/24 721 757
Pool # 389622 9.000% due 10/15/24 469 493
Pool # 390005 7.000% due 04/15/24 866 852
Pool # 780023 7.000% due 09/15/24 759 747
Pool # 780029 9.000% due 11/15/24 443 467
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Government National Mortgage Association
7.000% 30 Year TBA (e) $ 650 $ 640
7.500% 30 Year TBA (e) 550 553
8.000% 30 Year TBA (e) 5,000 5,119
Ryland Mortgage Securities Corp. CMO
Series 1993-8 Class A
7.850% due 09/25/23 (c) 1,198 1,203
---------
55,907
---------
MUNICIPAL BONDS - 0.7%
Atlanta Water & Sewer Revenue
4.750% due 01/01/23 350 289
Atlanta, Georgia,
General Obligation
5.600% due 12/01/18 270 255
Radnor Township, Pennsylvania,
General Obligation
5.400% due 11/01/24 650 600
Salt River Project, Arizona,
Agricultural Improvement
& Power District Series B
5.250% due 01/01/19 290 261
---------
1,405
---------
NON-US BONDS - 3.8%
Cemex SA (MTN)
8.500% due 08/31/00 1,000 752
Germany, Republic of
6.250% due 01/04/24 DM 9,800 6,002
Italy, Republic of
6.875% due 09/27/23 $ 680 604
Poland, Government of
7.125% due 10/27/24 (c) 465 356
---------
7,714
---------
UNITED STATES GOVERNMENT AGENCIES - 0.6%
Federal National Mortgage Association
Principal Only Strip
Zero Coupon due 11/01/01 325 299
Zero Coupon due 12/20/01 600 545
Zero Coupon due 04/10/02 575 513
---------
1,357
---------
</TABLE>
106 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Principal Market
Amount Value
(000) (000)
--------- ---------
<S> <C> <C>
UNITED STATES GOVERNMENT TREASURIES - 17.9%
United States Treasury Bonds
11.625% due 11/15/04 $ 1,300 $ 1,787
10.750% due 08/15/05 50 66
8.125% due 08/15/19 2,350 2,734
7.875% due 02/15/21 3,820 4,344
7.125% due 02/15/23 1,950 2,055
United States Treasury Notes
3.875% due 08/31/95 (g) 160 160
4.625% due 02/15/96 500 497
7.250% due 11/15/96 420 428
7.500% due 12/31/96 3,050 3,121
6.625% due 03/31/97 65 66
6.500% due 05/15/97 4,600 4,652
6.750% due 05/31/97 500 508
6.000% due 11/30/97 54 54
5.375% due 05/31/98 1,350 1,331
6.750% due 05/31/99 6,750 6,927
6.875% due 07/31/99 1,850 1,908
7.750% due 11/30/99 1,650 1,760
6.250% due 02/15/03 3,000 3,008
United States Treasury
Principal Only Strip
Zero Coupon due 11/15/04 650 360
Zero Coupon due 11/15/21 3,800 631
---------
36,397
---------
YANKEE BONDS - 4.4%
Argentina, Republic of
5.000% due 03/31/23 (c) 2,600 1,235
Bombril SA
8.000% due 08/26/98 400 331
Brazil, Federal Republic of
7.813% due 01/01/01 (c) 1,213 975
Christiana Bank
6.438% due 11/30/49 (c) 160 123
Czech National Bank
7.000% due 04/06/96 1,000 1,002
Den Norske Creditbank
6.313% due 11/30/49 (c)(f) 330 255
Doman Industries, Ltd.
8.750% due 03/15/04 500 475
Domtar, Inc.
12.000% due 04/15/01 500 575
Ecuador, Republic of
3.000% due 02/28/25 (c) 650 210
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Fairfax Financial Holdings, Ltd.
7.750% due 12/15/03 350 343
Hydro-Quebec
8.050% due 07/07/24 475 519
Lloyds Bank
6.250% due 12/31/99 (c)(f) 290 244
Mexico (United Mexican States)
6.969% due 12/31/19 (c) 1,000 713
National Westminster Bank PLC
6.813% due 12/31/99 (c) 350 300
Philippines, Republic of
5.750% due 12/01/17 (c) 1,000 721
Rogers Cantel Mobile, Inc.
11.125% due 07/15/02 225 233
Santander Finnish Issuances
6.750% due 09/30/49 (c) 500 437
Standard Chartered Bank Group PLC
5.963% due 12/31/99 (c)(f) 360 266
---------
8,957
---------
TOTAL LONG-TERM INVESTMENTS
(cost $170,924) 171,000
---------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF
SHARES
-------
<S> <C> <C>
PREFERRED STOCKS - 0.7%
Australia & New Zealand
Banking Group, Ltd. 7,200 190
California Federal Bank
of Los Angeles Series B 4,500 481
Credit Lyonnais Capital S.C.A. - ADR 3,500 77
Lasalle National Corp. Series K 3,000 159
Newscorp Overseas, Ltd. 10,000 243
Texaco Capital Series B 11,600 251
---------
TOTAL PREFERRED STOCKS
(cost $1,424) 1,401
---------
</TABLE>
<TABLE>
<CAPTION> PRINCIPAL
AMOUNT
(000)
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 25.6%
Bank Austria Finance, Inc.
6.032% due 07/27/95 (a)(b) $ 1,600 1,593
Creditanstalt Bankverein
5.999% due 07/24/95 (a)(b) 1,600 1,594
Frank Russell Investment Company
Money Market Fund due on demand (a) 42,142 42,142
</TABLE>
Fixed Income III Fund 107
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Golden Managers Acceptance Corp.
6.041% due 07/26/95 (a)(b) $ 1,600 $ 1,593
Mexican Tesobonos
12.318% due 07/13/95 (a)(b) 1,500 1,494
18.100% due 07/27/95 (a)(b) 3,000 2,964
United States Treasury Bills
5.740% due 07/27/95 (a)(b)(g) 75 75
5.810% due 07/27/95 (a)(b)(g) 50 50
5.840% due 07/27/95 (a)(b)(g) 105 104
5.770% due 08/24/95 (a)(b)(g) 70 70
5.570% due 10/26/95 (b)(g) 115 113
5.580% due 10/26/95 (b)(g) 80 79
5.600% due 10/26/95 (b)(g) 140 137
5.890% due 11/16/95 (b)(g) 50 49
6.135% due 11/16/95 (b)(g) 50 49
6.560% due 11/16/95 (b)(g) 40 39
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $52,144) 52,145
---------
TOTAL INVESTMENTS
(identified cost $224,492)(d) - 110.2% 224,546
---------
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING FUTURES AND
WRITTEN OPTIONS CONTRACTS - (10.2%) (20,746)
---------
NET ASSETS - 100.0% $203,800
---------
---------
<FN>
(a) At cost, which approximates market.
(b) Rate noted is yield-to-maturity (unaudited).
(c) Adjustable or floating rate security.
(d) At June 30, 1995 the cost for federal income tax purposes
was $224,058 and net unrealized appreciation for all securities
was $488. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $3,972 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $3,484.
(e) Forward Commitment. See Note 2.
(f) Perpetual floating rate note.
(g) Held as collateral by the custodian in connection with futures
contracts and put options written.
(MTN) represents Medium Term Note.
</TABLE>
The accompanying notes are an integral part of the financial statements.
108 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
FUTURES AND OPTIONS WRITTEN
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- --------------
<S> <C> <C>
FUTURES (Note 2)
German 10 Year Bond
Futures Contract
expiration date 09/95 40 $(165)
UK Long Gilt
Futures Contract
expiration date 09/95 30 (107)
United States Treasury Note 2 Year
Futures Contract
expiration date 09/95 25 4
United States Treasury Note 5 Year
Futures Contract
expiration date 09/95 70 (58)
United States Treasury Note 10 Year
Futures Contract
expiration date 09/95 100 (69)
--------------
Total Unrealized Depreciation on Open
Futures Contracts Purchased ** $(395)
--------------
--------------
<FN>
** At June 30, 1995, United States Treasury Bills and Notes
valued at $617 were held as collateral by the custodian in
connection with futures contracts by the Fund.
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
CONTRACTS (000)
--------- ---------
<S> <C> <C>
PUT OPTIONS WRITTEN (Note 2)
Eurodollar Futures Contract
strike price 91.50
expiration date 09/95 100 $1
Eurodollar Futures Contract
strike price 92.00
expiration date 09/95 100 1
Eurodollar Futures Contract
strike price 92.50
expiration date 09/95 200 2
Eurodollar Futures Contract
strike price 92.25
expiration date 12/95 20 2
Eurodollar Futures Contract
strike price 91.75
expiration date 03/96 19 2
---------
Total Liability for Put Options Written
(premiums received $240)(++) $8
---------
---------
<FN>
++ At June 30, 1995, United States Treasury Bills and Notes
valued at $308 were held as collateral by the custodian in
connection with put options written.
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income III Fund 109
<PAGE>
FIXED INCOME III FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $224,491,506)
(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . . $224,545,643
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,997
Foreign currency holdings (identified cost $173,246) . . . . . 175,305
Forward foreign currency exchange contracts (cost $3,126,669)
(Notes 2 and 6). . . . . . . . . . . . . . . . . . . . . . . 3,110,543
Foreign currency exchange spot contracts (cost $50,781)
(Notes 2 and 6). . . . . . . . . . . . . . . . . . . . . . . 50,899
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . 2,903,572
Investments sold (regular settlement). . . . . . . . . . . . 3,898,133
Investments sold (delayed settlement). . . . . . . . . . . . 2,703,797
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 702,417
Daily variation margin on futures contracts (Note 2) . . . . 55,468
Other assets . . . . . . . . . . . . . . . . . . . . . . . . . 2,471
Deferred organization expenses (Note 2). . . . . . . . . . . . 15,642
-------------
238,165,887
LIABILITIES
Payables:
Investments purchased (regular settlement) . . $5,794,210
Investments purchased (delayed settlement) . . 25,011,383
Fund shares redeemed . . . . . . . . . . . . . 220,419
Accrued management fees. . . . . . . . . . . . 91,423
Accrued transfer agent fees (Note 4) . . . . . 2,244
Accrued bookkeeping service fees (Note 4). . . 7,236
Other accrued expenses . . . . . . . . . . . . 53,113
Forward foreign currency exchange contracts
(cost $3,126,669)(Notes 2 and 3) . . . . . . . 3,126,669
Foreign currency exchange spot contracts
(cost $50,781)(Notes 2 and 3). . . . . . . . . 50,781
Options written, at market value
(premiums received $240,016)(Notes 2 and 3). . 8,400 34,365,878
---------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $203,800,009
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $3,312,631
Accumulated net realized gain (loss) . . . . . . . . . . . . . (5,452,435)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 54,137
Futures contracts. . . . . . . . . . . . . . . . . . . . . . (394,967)
Options written. . . . . . . . . . . . . . . . . . . . . . . 231,616
Foreign currency-related transactions. . . . . . . . . . . . (31,558)
Shares of beneficial interest. . . . . . . . . . . . . . . . . 201,179
Additional paid-in capital . . . . . . . . . . . . . . . . . . 205,879,406
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $203,800,009
-------------
-------------
Net asset value, offering and redemption price per share
($203,800,009 divided by 20,117,884 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . $10.13
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
110 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . $6,125,688
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 839,329
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . 74,802
-------------
7,039,819
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $264,111
Custodian fees . . . . . . . . . . . . . . . . . 70,638
Bookkeeping service fees . . . . . . . . . . . . 14,191
Professional fees. . . . . . . . . . . . . . . . 7,106
Registration fees. . . . . . . . . . . . . . . . 15,002
Transfer agent fees. . . . . . . . . . . . . . . 35,690
Trustees' fees . . . . . . . . . . . . . . . . . 1,943
Amortization of deferred organization expenses . 2,999
Miscellaneous. . . . . . . . . . . . . . . . . . 6,415 418,095
-------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 6,621,724
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . (415,755)
Futures contracts (Notes 2 and 3). . . . . . . . . . . . . . . 1,789,621
Options written (Notes 2 and 3). . . . . . . . . . . . . . . . 64,264
Foreign currency-related transactions (Notes 2 and 3). . . . . 27,678
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 9,794,789
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (386,577)
Options written. . . . . . . . . . . . . . . . . . . . . . . . 269,503
Foreign currency-related transactions. . . . . . . . . . . . . (31,558)
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . 11,111,965
-------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . $17,733,689
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income III Fund 111
<PAGE>
FIXED INCOME III FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,621,724 $ 11,005,887
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (415,755) (5,459,340)
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,789,621 (1,308,048)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,264 68,997
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . 27,678 --
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,794,789 (10,220,115)
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (386,577) (30,619)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269,503 (37,887)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . (31,558) 615
-------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 17,733,689 (5,980,510)
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,421,093) (10,933,568)
In excess of net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . -- (62,326)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . 22,867,378 59,362,071
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,179,974 42,385,667
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166,620,035 124,234,368
-------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $3,312,631 and $49,136, respectively) . . . . . . . . . . . . . . . . . . . . . . . . $203,800,009 $166,620,035
-------------- -------------
-------------- -------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 4,643,103 $45,226,719 $9,007,408 $90,528,942
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . 349,744 3,360,689 1,124,930 10,786,542
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (2,650,276) (25,720,030) (4,260,253) (41,953,413)
----------- ------------ ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . 2,342,571 $22,867,378 $5,872,085 $59,362,071
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
112 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993++
-------- -------- --------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $ 9.37 $ 10.44 $ 10.00
-------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .35 .66 .49
Net realized and unrealized gain (loss) on investments . . . . . .60 (1.07) .52
-------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . .95 (.41) 1.01
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.19) (.66) (.48)
Net realized gain on investments . . . . . . . . . . . . . . . . -- -- (.08)
In excess of net realized gain on investments. . . . . . . . . . -- (.00) (.01)
-------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.19) (.66) (.57)
-------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $10.13 $9.37 $10.44
-------- -------- --------
-------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 10.24 (3.89) 10.22
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c). . . . . . .46 .20 .20
Operating expenses, gross, to average net assets (b)(c). . . . . .46 .20 .40
Net investment income to average net assets (b). . . . . . . . . 7.33 7.02 6.30
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 138.71 134.11 181.86
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 203,800 166,620 124,234
Per share amount of fees waived ($ omitted). . . . . . . . . . . -- -- .0003
Per share amount of fees reimbursed ($ omitted). . . . . . . . . -- -- .0154
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
++ For the period January 29, 1993 (commencement of operations) to December
31, 1993.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1995 and December 31, 1993 are
annualized.
(c) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers.
Effective April 1, 1995, management fees are included in expenses.
See Note 4.
</TABLE>
Fixed Income III Fund 113
<PAGE>
MONEY MARKET FUND
STATEMENTS OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- ------- --------- ---------
<S> <C> <C> <C> <C>
DOMESTIC COMMERCIAL PAPER - 26.7%
Associates Corp. of North America $ 25,500 6.253% 07/03/95 $ 25,500
AVCO Financial Services, Inc. 20,000 5.970 08/11/95 19,864
BTR Dunlap Finance, Inc. 20,018 6.250 07/05/95 20,004
Budget Funding Corp. 25,000 5.970 07/12/95 24,954
First Deposit Master Trust 9,000 6.530 07/25/95 8,961
General Electric Capital Corp. 6,000 6.030 07/10/95 5,991
Kosh Industries 25,000 6.250 07/05/95 24,983
WMX Technologies, Inc. 7,400 5.980 07/17/95 7,380
--------
TOTAL COMMERCIAL PAPER (cost $137,637) 137,637
--------
CORPORATE BONDS AND NOTES - 16.4%
FCC National Bank, Wilmington 2,500 5.630 08/22/95 2,499
First National Bank of Illinois (a) 10,000 5.660 02/16/96 9,994
Goldman Sachs Group L.P. (a) 20,000 6.070 11/30/95 20,000
MCA Funding Corp. 2,000 7.400 09/19/95 2,003
Merrill Lynch & Co., Inc. (a) 20,000 6.170 04/04/96 20,000
Nationsbank, Dallas 10,000 6.820 10/31/95 9,999
Nationsbank Corp. MTN 5,000 4.400 07/14/95 4,995
Wachovia Bank 15,000 5.970 07/26/95 15,000
--------
TOTAL CORPORATE BONDS AND NOTES (cost $84,490) 84,490
--------
EURODOLLAR CERTIFICATES OF DEPOSIT - 0.9%
ABN AMRO Bank (Canada) 5,000 6.888 10/06/95 4,907
--------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT (cost $4,907) 4,907
--------
EURODOLLAR TIME DEPOSITS - 17.5%
Bank of Tokyo, Ltd. 12,000 6.063 07/27/95 12,000
Fuji Bank, Ltd., Grand Cayman 16,000 6.375 07/03/95 16,000
Harris Trust and Savings Bank, Chicago 25,000 6.000 07/11/95 25,000
Mitsubishi Bank, Ltd., NY 15,000 6.063 07/14/95 15,000
Sumitomo Bank, Ltd., Grand Cayman 22,451 6.313 07/03/95 22,451
--------
TOTAL EURODOLLAR TIME DEPOSITS (cost $90,451) 90,451
--------
YANKEE BANKERS ACCEPTANCE - 3.3%
Industrial Bank of Japan 11,900 6.000 07/10/95 11,882
Sanwa Bank 5,000 5.990 08/18/95 4,960
--------
TOTAL YANKEE BANKERS ACCEPTANCE (cost $16,842) 16,842
--------
</TABLE>
Money Market Fund 115
<PAGE>
MONEY MARKET FUND
STATEMENTS OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- ------- --------- ---------
<S> <C> <C> <C> <C>
YANKEE CERTIFICATES OF DEPOSIT - 11.4%
Bank of Nova Scotia $ 25,000 6.000% 08/01/95 $ 25,000
Mitsubishi Bank, Ltd., New York 9,000 6.930 09/05/95 9,000
Rabobank Nederland N.V. 4,000 7.120 11/01/95 4,000
Sanwa Bank 15,000 5.950 07/06/95 15,000
Sanwa Bank 6,000 6.420 08/09/95 6,000
--------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (cost $59,000) 59,000
--------
UNITED STATES GOVERNMENT AGENCIES - 8.7%
Aid to Chile Guaranteed Note (a) 14,933 5.938 06/01/05 14,951
Aid to INH Portugal Guaranteed Note (a) 12,500 6.075 12/01/17 12,739
Federal Home Loan Bank Discount note 5,250 5.063 12/18/95 5,226
Federal National Mortgage Association MTN (a) 12,000 5.530 04/04/97 11,925
--------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $44,841) 44,841
--------
YANKEE COMMERCIAL PAPER - 15.2%
Beta Finance, Inc. 25,000 5.980 07/17/95 24,934
Bishopsgate 18,000 6.020 07/19/95 17,946
Galicia Funding Corp. Series A 10,000 6.260 12/19/95 9,702
Louis Dreyfus Corp. 16,000 6.000 08/01/95 15,917
Toyota Motor Credit Co. 10,000 6.390 11/13/95 9,760
--------
TOTAL YANKEE COMMERCIAL PAPER (cost $78,259) 78,259
--------
TOTAL INVESTMENTS (amortized cost $516,427)(b) - 100.1% 516,427
OTHER ASSETS AND LIABILITIES, NET - (0.1%) (562)
--------
NET ASSETS - 100.0% $515,865
--------
--------
<FN>
* The interest rate for all securities with a maturity greater than thirteen
months has an automatic reset feature resulting in an effective maturity
of thirteen months or less.
(a) Adjustable or floating rate security.
(b) The identified cost for federal income tax purposes is the same as shown
above.
(MTN) represents Medium Term Note.
</TABLE>
The accompanying notes are an integral part of the financial statements.
116 Money Market Fund
<PAGE>
MONEY MARKET FUND
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at amortized cost which
approximates market (Note 2) . . . . . . . . . . . . . . . . $516,427,439
Interest receivable. . . . . . . . . . . . . . . . . . . . . . 2,173,932
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . 1,190
-------------
518,602,561
LIABILITIES
Payables:
Dividends. . . . . . . . . . . . . . . . . . . $2,680,838
Accrued transfer agent fees (Note 4) . . . . . 30,441
Other accrued expenses . . . . . . . . . . . . 26,052 2,737,331
---------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $515,865,230
-------------
-------------
NET ASSETS CONSIST OF:
Shares of beneficial interest. . . . . . . . . . . . . . . . . $5,158,653
Additional paid-in capital . . . . . . . . . . . . . . . . . . 510,706,577
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $515,865,230
-------------
-------------
Net asset value, offering and redemption price per share
($515,865,230 divided by 515,865,230 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . $1.00
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Money Market Fund 117
<PAGE>
MONEY MARKET FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14,258,741
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $313,701
Custodian fees . . . . . . . . . . . . . . . . . 65,834
Professional fees. . . . . . . . . . . . . . . . 3,764
Registration fees. . . . . . . . . . . . . . . . 13,774
Transfer agent fees. . . . . . . . . . . . . . . 51,102
Trustees' fees . . . . . . . . . . . . . . . . . 1,932
Miscellaneous. . . . . . . . . . . . . . . . . . 1,051
--------
Expenses before waiver . . . . . . . . . . . . . 451,158
Expenses waived by manager (Note 4). . . . . . . (313,701) 137,457
-------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 14,121,284
-------------
Net increase in net assets resulting from operations . . . . . . $14,121,284
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
118 Money Market Fund
<PAGE>
MONEY MARKET FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income and net increase
in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . $ 14,121,284 $ 24,321,508
Distributions to shareholders from net investment income . . . . . . . . . . . . . . . . . (14,121,284) (24,321,508)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . 13,563,412 86,303,556
---------------- --------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,563,412 86,303,556
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 502,301,818 415,998,262
---------------- --------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 515,865,230 $ 502,301,818
---------------- --------------
---------------- --------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,270,131,340 4,935,462,045
Fund shares issued to shareholders
in reinvestments of distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,004,282 1,365,204
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,257,572,210) (4,850,523,693)
---------------- --------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,563,412 86,303,556
---------------- --------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Money Market Fund 119
<PAGE>
MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .0302 .0447 .0342 .0403 .0618 .0823
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.0302) (.0447) (.0342) (.0403) (.0618) (.0823)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a)(c) . . . . . . . . . . . . . . . . . . . . . . 3.06 4.57 3.48 4.11 6.38 8.55
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average daily net assets (b)(c)(d) . .06 .05 .07 .08 .07 .07
Operating expenses, gross, to average daily net assets (b)(c)(d) .20 -- -- -- -- --
Net investment income to average daily net assets (b)(c) . . . . 6.11 4.49 3.38 4.04 6.13 8.29
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 515,865 502,302 415,998 347,464 316,426 226,339
Per share amount of fees waived ($ omitted)(d) . . . . . . . . . .0007 -- -- -- -- --
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
(c) For periods prior to April 1, 1995, total return, operating expense, and
net investment income ratios are reported gross of investment advisory
fees. For periods thereafter, they are reported net of investment advisory
fees but gross of investment service fees.
(d) See Note 4.
</TABLE>
120 Money Market Fund
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 22 different investment portfolios referred to as "Funds."
These financial statements report on 10 Funds, each of which has distinct
investment objectives and strategies. The Investment Company is registered
under the Investment Company Act of 1940, as amended, as a diversified,
open-end management investment company, and is organized and operates as a
Massachusetts business trust under an amended master trust agreement dated
July 26, 1984. The Investment Company's master trust agreement permits the
Board of Trustees to issue an unlimited number of full and fractional
shares of beneficial interest at a $.01 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies (except as noted below) are consistently followed by the Funds in
the preparation of these financial statements.
SECURITY VALUATION: United States equity and fixed-income securities
listed and traded principally on any national securities exchange are
valued on the basis of the last sale price or, lacking any sale, at the
closing bid price, on the primary exchange on which the security is traded.
United States over-the-counter equity and fixed-income securities and
options are valued on the basis of the closing bid price. Futures contracts
are valued on the basis of the last sale price. Many fixed-income
securities do not trade each day and, thus, last sale or bid prices are
frequently not available. Fixed-income securities, therefore, may be valued
using prices provided by a pricing service when such prices are believed to
reflect the fair market value of such securities.
International equity and fixed-income securities traded on a national
securities exchange are valued on the basis of the last sale price.
International securities traded over the counter are valued on the basis of
the mean of bid prices. In the absence of a last sale or mean bid price,
respectively, such securities may be valued on the basis of prices provided
by a pricing service if those prices are believed to reflect the fair
market value of such securities.
The Money Market Fund's portfolio investments are valued on the basis of
amortized cost, a method by which each portfolio instrument is initially
valued at cost, and thereafter a constant accretion/amortization to
maturity of any discount or premium is assumed. The Money Market Fund is
permitted to utilize the amortized cost valuation method in accordance with
an exemptive order granted to the Investment Company by the Securities and
Exchange Commission, pursuant to which the Board of Trustees of the
Investment Company has agreed to adhere to certain conditions. Money market
instruments maturing within 60 days of the valuation date held by Funds
other than the Money Market Fund are also valued at "amortized cost" unless
the Board of Trustees determines that amortized cost does not represent
fair value.
The Funds may value certain securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to
procedures established by the Board of Trustees.
INVESTMENT TRANSACTIONS: Securities transactions are recorded on a trade
date basis. The Funds may lend portfolio securities with a value of up to
50% of their total assets. The Funds will receive cash, U.S. government
treasuries or U.S. government agency securities as collateral. The Funds
will retain most rights of beneficial ownership, including dividends,
interest or other distributions on the loaned securities. Realized gains
and losses from securities transactions are recorded on the basis of
identified cost incurred by each money manager.
CHANGE IN ACCOUNTING PRINCIPLE: Effective January 1, 1995, the Funds
changed their method of accounting for the cost of investments from the
average cost method to the specific identification method. The new method
of accounting for the cost of investments was adopted because it better
matches specific costs with proceeds from sales of securities and more
closely conforms realized gains with related distributions. The change in
accounting principle had no effect on the Funds' net assets, net asset
values per share, their net increases (decreases) in net assets resulting
from operations, or their distributions. The effect of the change was to
increase (decrease) accumulated net realized gain (loss) on investments and
increase (decrease) net unrealized appreciation (depreciation) on
investments previously reported through December 31, 1994 by the following:
<TABLE>
<S> <C> <C> <C>
Equity I $ 6,021,086 Emerging Markets $ 797,462
Equity II 1,004,621 Fixed Income I 231,487
Equity III 393,732 Fixed Income II 11,434
Equity Q 5,939,266 Fixed Income III (259,599)
International 4,898,083
</TABLE>
Notes to Financial Statements 121
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded on the accrual basis.
AMORTIZATION AND ACCRETION: All zero-coupon bond discounts and original
issue discounts are accreted for both tax and financial reporting purposes.
All short-term premiums/discounts are amortized/accreted for both tax and
financial reporting purposes.
FEDERAL INCOME TAXES: As a Massachusetts business trust, each Fund is a
separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to each Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is each Fund's intention to qualify as a regulated investment company
and distribute all of its taxable income. No federal income tax provision
was required for the year ended December 31, 1994. From November 1, 1994 to
December 31, 1994, certain Funds incurred net realized capital losses. As
permitted by tax regulations, the following Funds intend to elect to defer
these losses indicated below and treat them as arising in the year ending
December 31, 1995:
<TABLE>
<S> <C> <C> <C>
Equity II $ 1,076,953 Fixed Income I $ 5,433,339
Equity III 313,202 Fixed Income II 597,479
International 239,549 Fixed Income III 1,107,076
</TABLE>
At December 31, 1994, certain Funds had net tax basis capital loss
carryovers which may be applied against any realized net taxable gains in
each succeeding year or until their respective expiration dates, whichever
occurs first. Available capital loss carryovers and expiration dates are as
follows:
<TABLE>
<CAPTION>
12/31/01 12/31/02 Totals
---------- ------------- -------------
<S> <C> <C> <C>
Fixed Income I -- $(13,727,694) $(13,727,694)
Fixed Income II $(948,478) (3,534,633) (4,483,111)
Fixed Income III -- (5,760,353) (5,760,353)
</TABLE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: For all Funds, income
dividends and capital gain distributions, if any, are recorded on the ex-
dividend date. Dividends are generally declared and paid quarterly, except
for the International and the Emerging Markets Funds, which generally
declare and pay dividends annually, and the Money Market Fund, which
declares and records dividends daily and pays them monthly. Capital gain
distributions are generally declared and paid annually. An additional
distribution may be paid by the Funds to avoid imposition of federal income
tax on any remaining undistributed capital gains and net investment income.
The timing and characterization of certain income and capital gains
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) on
investment and foreign currency-related transactions for a reporting period
may differ significantly from distributions during such period. The
differences between tax regulations and GAAP primarily relate to
investments in options, futures, forward contracts, passive foreign
investment companies, foreign-denominated investments, mortgage-backed
securities, and certain securities sold at a loss. Accordingly, a Fund may
periodically make a reclassification among certain of its capital accounts
without impacting its net asset value.
The following reclassifications have been made to reflect activity for the
six months ended June 30, 1995:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED ADDITIONAL
INCOME GAIN (LOSS) PAID-IN CAPITAL
-------------- ------------ ---------------
<S> <C> <C> <C>
Equity I $ -- $ (280,820) $ 280,820
Equity II 218,339 (91,467) (126,872)
Equity Q 3 (169,419) 169,416
Emerging Markets 55,212 (160,810) 105,598
Fixed Income I 151,719 130,028 (281,747)
Fixed III 62,864 81,578 (144,442)
International 840,293 (398,664) (441,629)
</TABLE>
122 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
EXPENSES: Expenses such as management fees, custodian fees, trustees'
fees, transfer agent fees, bookkeeping service fees, and registration fees
are charged directly to the individual Funds; while indirect expenses such
as printing, professional fees and insurance are allocated among the Funds
principally based on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: Organization and initial registration
costs of Fixed Income III and Emerging Markets Funds have been deferred
and are being amortized over 60 months on a straight-line basis.
REPURCHASE AGREEMENTS: The Funds may engage in repurchase agreements with
several financial institutions whereby the Fund, through its custodian,
receives delivery of the underlying securities. Each Fund's Money Manager
will monitor repurchase agreements daily to determine that the market value
(including accrued interest) at Fedwire closing time of the underlying
securities remains at least equal to 102% of the repurchase price. The
Money Manager will notify the Seller to immediately increase the collateral
on the repurchase agreement to 102% of the repurchase price if collateral
value falls below 102%.
FOREIGN CURRENCY TRANSLATIONS: The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts and transactions of
the Funds are translated into U.S. dollars on the following basis:
(a) Market value of investment securities, other assets and liabilities at
the closing rate of exchange on the valuation date.
(b) Purchases and sales of investment securities and income at the closing
rate of exchange prevailing on the respective trade dates of such
transactions.
Reported net realized gains or losses from foreign currency-related
transactions arise from sales and maturities of short-term securities;
sales of foreign currencies; currency gains or losses realized between the
trade and settlement dates on securities transactions; the difference
between the amounts of dividends, interest, and foreign withholding taxes
recorded on the Fund's books; and the U.S. dollar equivalent of the amounts
actually received or paid. Net unrealized gains or losses from foreign
currency-related transactions arise from changes in the value of assets and
liabilities, other than investments in securities, at fiscal year-end,
resulting from changes in the exchange rates.
It is not practical to isolate that portion of the results of operations of
the International, Emerging Markets, Fixed Income I, Fixed Income II and
Fixed Income III Funds that arise as a result of changes in exchange rates
from that portion that arise from changes in market prices of investments
during the year. Such fluctuations are included with the net realized and
unrealized gain or loss from investments. However, for federal income tax
purposes these Funds do isolate the effects of changes in foreign exchange
rates from the fluctuations arising from changes in market prices for
realized gain (or loss) on debt obligations.
DERIVATIVES: To the extent permitted by the investment objectives,
restrictions and policies set forth in the Funds' Prospectus and Statement
of Additional Information, the Funds may participate in various
derivative-based transactions. Derivative securities are instruments or
agreements whose value is derived from an underlying security or index.
They include options, futures, swaps, forwards, structured notes and
stripped securities. These instruments offer unique characteristics and
risks that assist the Funds in meeting their investment strategies.
The Funds typically use derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may
be used by certain funds through the use of options and futures to earn
"market-like" returns with a fund's excess and liquidity reserve cash
balances. Hedging is used by some funds to limit or control risks, such as
adverse movements in exchange rates and interest rates. Return enhancement
can be accomplished through the use of derivatives in a fund. By purchasing
certain instruments, a fund may more effectively achieve the desired
portfolio characteristics that allow the fund to meet its investment
objectives. Depending on how the derivatives are utilized and their
structure, the risks associated with them may vary widely. These risks are
generally categorized as market risk, liquidity risk and counterparty or
credit risk.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: In connection with portfolio
purchases and sales of securities denominated in a foreign currency,
certain of the Funds may enter into foreign currency exchange spot
contracts and forward foreign currency exchange contracts ("contracts").
Additionally, from time to time the International, Emerging Markets, Fixed
Income I, Fixed Income II and Fixed Income III Funds may enter into
contracts to hedge certain foreign currency-denominated assets. Contracts
are
Notes to Financial Statements 123
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
recorded at market value. Certain risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms
of their contracts. Realized gains or losses arising from such transactions
are included in net realized gain (or loss) from foreign currency-related
transactions.
FORWARD COMMITMENTS: The Funds may contract to purchase securities for a
fixed price at a future date beyond customary settlement time (not to
exceed 120 days)(i.e., a "forward commitments" transaction, e.g., to be
announced ("TBA")) consistent with a Fund's ability to manage its
investment portfolio and meet redemption requests. The price of the
underlying securities and the date when the securities will be delivered
and paid for are fixed at the time the transaction is negotiated. The Funds
may dispose of a forward commitment transaction prior to settlement if it
is appropriate to do so and realize short-term gains (or losses) upon such
sale. When effecting such transactions, cash or liquid high grade debt
obligations of the Fund in a dollar amount sufficient to make payment for
the portfolio securities to be purchased will be segregated on the Fund's
records at the trade date and maintained until the transaction is settled.
A forward commitment transaction involves a risk of loss if the value of
the security to be purchased declines prior to the settlement date or the
other party to the transaction fails to complete the transaction. At June
30, 1995, forward commitments in the Fixed Income I, Fixed Income II and
Fixed Income III Funds aggregated to $50,114,000, $5,222,000 and
$22,254,714, respectively.
OPTIONS: The Funds, other than the Money Market Fund, may purchase and
sell (write) call and put options on securities and securities indices,
provided such options are traded on a national securities exchange or in an
over-the-counter market. These Funds may also purchase and sell put and
call options on foreign currencies.
When a Fund writes a covered call or put option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets
and Liabilities as an asset and as an equivalent liability. The amount of
the liability is subsequently marked-to-market to reflect the current
market value of the option written. The current market value of a written
option is the closing bid price on the principal exchange on which such
option is traded. The Fund receives a premium on the sale of an option but
gives up the opportunity to profit from any increase in stock value above
the exercise price of the option. If an option which the Fund has written
either expires on its stipulated expiration date or the Fund enters into a
closing purchase transaction, the Fund realizes a gain (or loss, if the
cost of a closing purchase transaction exceeds the premium received when
the option was sold) without regard to any unrealized gain or loss on the
underlying security, and the liability related to such option is
extinguished. If a call option which the Fund has written is exercised, the
Fund realizes a capital gain or loss from the sale of the underlying
security, and the proceeds from such sale are increased by the premium
originally received. When a put option which a Fund has written is
exercised, the amount of the premium originally received will reduce the
cost of the security which a Fund purchases upon exercise of the option.
The Funds' use of written options involves, to varying degrees, elements of
market risk in excess of the amount recognized in the Statement of Assets
and Liabilities. The face or contract amounts of those instruments reflect
the extent of the Funds' exposure to off balance sheet risk. The risks may
be caused by an imperfect correlation between movements in the price of the
instrument and the price of the underlying securities and interest rates.
The Funds' activities in written options are conducted through regulated
exchanges, which do not result in counterparty credit risks.
FUTURES: Fixed Income III Fund may utilize futures contracts (i.e.,
interest rate, foreign currency and index futures contracts) to a limited
extent. The primary risks associated with the use of futures contracts are
an imperfect correlation between the change in market value of the
securities held by the Fund and the prices of futures contracts, and the
possibility of an illiquid market. Futures contracts are valued on the
basis of the last sale price; changes in initial settlement value are
accounted for as unrealized appreciation (depreciation) until the contracts
are terminated, at which time realized gains and losses are recognized.
INVESTMENT IN EMERGING MARKETS: Investing in emerging markets may involve
special risks and considerations not typically associated with investing in
the U.S. markets. These risks include revaluation of currencies and future
adverse political and economic developments. Moreover, securities issued in
these markets may be less liquid and their prices more volatile than those
of comparable securities in the United States.
124 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
3. INVESTMENT TRANSACTIONS
SECURITIES: During the six months ended June 30, 1995, purchases and sales
of investment securities (excluding U.S. Government and Agency obligations,
short-term investments, options, futures and repurchase agreements) were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES PURCHASES SALES
------------ ------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Equity I $278,585,902 $ 262,606,443 Emerging Markets $ 72,469,237 $ 37,128,319
Equity II 116,785,281 90,255,988 Fixed Income I 359,981,178 353,659,206
Equity III 76,881,161 61,422,233 Fixed Income II 21,063,760 27,317,997
Equity Q 206,134,631 164,961,239 Fixed Income III 34,730,904 32,539,811
International 173,742,348 123,282,941
</TABLE>
Purchases and sales of U.S. Government and Agency obligations (excluding
repurchase agreements, options, futures and other short-term securities)
were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -------------
<S> <C> <C>
Fixed Income I $383,376,647 $298,281,464
Fixed Income II 163,549,819 131,067,335
Fixed Income III 98,810,887 70,635,402
</TABLE>
Money Market purchases, sales and maturities of securities (excluding
U.S. Government and Agency obligations and repurchase agreements)
were $7,079,724,167, $0.00 and $7,038,450,774, respectively. Purchases,
sales and maturities of U.S. Government and Agency obligations (excluding
repurchase agreements) were $127,489,842, $425,205 and $158,450,000,
respectively.
OPTIONS: Fund transactions in written put and call options for the six
months ended June 30, 1995 were as follows:
<TABLE>
<CAPTION>
EQUITY I PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- ------------
<S> <C> <C>
Outstanding December 31, 1994 605 $ 756,172
Written 1,498 1,314,246
Terminated (1,488) (1,521,604)
----------- ------------
Outstanding June 30, 1995 615 $ 548,814
----------- ------------
----------- ------------
<CAPTION>
EQUITY II PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- ------------
Outstanding December 31, 1994 1,180 $ 1,145,694
Written 1,660 986,675
Terminated (2,095) (1,678,422)
----------- ------------
Outstanding June 30, 1995 745 $ 453,947
----------- ------------
----------- ------------
<CAPTION>
EQUITY III PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- ------------
Outstanding December 31, 1994 330 $ 387,351
Written 475 421,905
Terminated (590) (601,939)
----------- ------------
Outstanding June 30, 1995 215 $ 207,317
----------- ------------
----------- ------------
</TABLE>
Notes to Financial Statements 125
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
<TABLE>
<CAPTION>
EQUITY Q PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- ------------
<S> <C> <C>
Outstanding December 31, 1994 545 $ 668,072
Written 1,135 933,856
Terminated (1,270) (1,234,190)
----------- ------------
Outstanding June 30, 1995 410 $ 367,738
----------- ------------
----------- ------------
<CAPTION>
FIXED INCOME II COVERED CALL OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- ------------
Outstanding December 31, 1994 56,000 $ 30,874
Written (51,000) (28,218)
Expired (5,000) (2,656)
----------- ------------
Outstanding June 30, 1995 0 $ 0
----------- ------------
----------- ------------
<CAPTION>
FIXED INCOME III PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- ------------
Outstanding December 31, 1994 67 58,763
Written 619 294,812
Exercised (100) (47,838)
Expired (147) (65,721)
----------- ------------
Outstanding June 30, 1995 439 $ 240,016
----------- ------------
----------- ------------
</TABLE>
FUTURES: Fund transactions in futures contracts for the six months ended
June 30, 1995 were as follows:
<TABLE>
<CAPTION>
FIXED INCOME III FUTURES CONTRACTS
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
----------- -------------
<S> <C> <C>
Outstanding at December 31, 1994 169 $ 19,367,750
Contracts opened 548 70,219,362
Contracts closed (452) (54,630,731)
----------- -------------
Outstanding June 30, 1995 265 $ 34,956,381
----------- ------------
----------- ------------
<FN>
(1) The aggregate face value of contracts is computed on the date each
contract was opened.
</TABLE>
SECURITIES LENDING: The International Fund may loan securities with a value
up to 50% of its total assets to certain brokers. The Fund receives cash
(U.S. currency) and securities issued or guaranteed by the U.S. Government
or its agencies as collateral against the loaned securities. To the extent
that a loan is secured by cash collateral, such collateral shall be
invested by State Street Bank and Trust Company ("State Street"), under its
sole discretion, in short-term instruments, short-term investment funds
maintained by State Street, money market mutual funds, and such other
short-term investments as State Street may from time to time select,
provided the investments meet certain quality and diversification
requirements. Income generated from the investment of cash collateral, less
negotiated rebate fees paid to participating brokers, is divided between
the Fund and State Street Bank and is included as interest income for the
Fund. To the extent that a loan is secured by non-cash collateral, brokers
pay the Fund negotiated lenders' fees, which are divided between the Fund
and State Street, and are included as interest income for the Fund. All
collateral
126 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
received will be in an amount at least equal to 100% of the market value of
the loaned securities at the inception of each loan. This collateral must
be maintained at not less than 100% of the market value of the loaned
securities during the period of the loan. Should the borrower of the
securities fail financially, there is a risk of delay in recovery of the
securities or loss of rights in the collateral. Consequently, loans are
made only to borrowers which are deemed to be of good financial standing.
At June 30, 1995, the value of the securities loaned and the value of
collateral amounted to $34,395,231 and $37,461,475, respectively.
4. RELATED PARTIES
On January 16, 1995 and March 28, 1995, the Investment Company's Board of
Trustees and shareholders, respectively, approved amendments to the
Investment Company's Management Agreement with the Management Company
("FRIMCo" or "Manager") to (i) provide for an annual management fee to be
paid to the Manager by each Fund based on the Fund's average daily net
assets; and (ii) clarify the agency relationship between the Investment
Company and the Manager with respect to fees paid to the money managers
selected to manage the Investment Company's assets. The amendments became
effective April 1, 1995.
Prior to April 1, 1995, the Funds paid no management or advisory fees.
Rather, each shareholder entered into a written Asset Management Services
Agreement with the Manager, pursuant to which the shareholder paid an asset
management service fee directly to the Manager, which in turn, acting as a
fiduciary for the Funds, compensated the money managers. Effective April 1,
1995, as approved by shareholders on March 28, 1995, the Funds began
incurring a management fee based on a percentage of their average daily net
assets as shown in the table below:
<TABLE>
<CAPTION>
ANNUAL RATE ANNUAL RATE
------------- -------------
<S> <C> <C> <C>
Equity I 0.60% Emerging Markets 1.20%
Equity II 0.75 Fixed Income I 0.30
Equity III 0.60 Fixed Income II 0.50
Equity Q 0.60 Fixed Income III 0.55
International 0.75 Money Market 0.25
</TABLE>
For the six months ended June 30, 1995, the management fee paid to Frank
Russell Investment Management Company ("FRIMCo" or "Manager"), in
accordance with the Investment Company's Management Agreement with that
firm, amounted to $5,309,204. Such fee is payable monthly and is equal to
the annual rate, by Fund, shown in the table above, of the average daily
net assets of the applicable Fund.
Prior to April 1, 1995, the Management Agreement provided that Fund
expenses (exclusive of interest and taxes) exceeding 0.80% and 0.20% of the
Emerging Markets and Fixed Income III Funds' average daily net assets on an
annual basis, respectively, would be paid by FRIMCo. Effective April 1,
1995, the amendment to the management contract, as approved by shareholders
on March 28, 1995, provides that Fund expenses (exclusive of interest and
taxes) for the Emerging Markets and Fixed Income III Funds exceeding 2.00%
and 0.75%, respectively, of their average daily net assets on an annual
basis will be paid by FRIMCo. For the six months ended June 30, 1995, the
amount of such reimbursement for the Emerging Markets was $34,771.
Additionally, effective April 1, 1995, the Manager voluntarily agreed to
waive its 0.25% management fee for the Money Market Fund, which for
amounted to $313,701.
Effective April 1, 1995, as approved by shareholders on March 28, 1995,
each shareholder continues to enter into a written Asset Management
Services Agreement with the Manager, pursuant to which the shareholder
agrees to pay an annual shareholder investment services fee calculated as a
specified percentage of the shareholder's average net assets in the Funds.
Currently, the Manager does not intend to impose such shareholder
investment services fee with respect to the Funds. In addition, a
shareholder may pay additional fees, expressed as fixed dollar amounts, for
the other services or reports provided by the Manager to the shareholder.
Accordingly, the expense information does not reflect an amount for fees
paid directly by an investor to the Manager.
The Investment Company paid each of its Trustees not affiliated with FRIMCo
$16,000 per year plus out-of-pocket expenses. Total trustee expenses were
$42,947 for the six months ended June 30, 1995 and were allocated to each
Fund on a pro rata
Notes to Financial Statements 127
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
basis, including 12 affiliated funds not represented here. Effective April
28, 1995, the Investment Company began paying each of its Trustees not
affiliated with FRIMCo $20,000 per year plus out-of-pocket expenses.
Fees for bookkeeping services related to maintaining the tax records for
the Funds are paid or accrued to Frank Russell Company, an affiliate of the
Investment Company. Total fees for the six months ended June 30, 1995, were
$149,293.
The Funds have a contract with FRIMCo to provide transfer agent services to
the Investment Company. Total fees for the six months ended June 30, 1995
were $549,291.
The Funds also paid brokerage commissions for trades executed through Frank
Russell Securities, Inc., an affiliate of the Frank Russell Investment
Management Company. These commissions are net of a refund (up to 70%) paid
back to the Fund effecting such transactions after reimbursement for
research services provided to FRIMCo. Amounts retained by Frank Russell
Securities, Inc. for the six months ended June 30, 1995 were as follows:
<TABLE>
<S> <C> <C> <C>
Equity I $ 14,658 Equity III $ 6,841
Equity II 67 International 15,972
</TABLE>
5. MONEY MARKET FUND
The Funds are permitted to invest their cash reserves (i.e., monies
awaiting investment in portfolio securities suitable for the Funds'
objectives) in the Money Market Fund. These investments are reflected as
purchases and redemptions of shares of the Money Market Fund. The interest
earned by the Money Market Fund related to these investments is reflected
as dividends paid (or payable) on such shares. As of June 30, 1995,
$279,057,000 of the Money Market Fund's net assets represents investments
by these Funds and $233,816,000 represents the assets of other affiliated
Funds not presented here.
6. COMMITMENTS
As of June 30, 1995, the International and Emerging Markets Funds have
entered into various forward foreign currency exchange and foreign currency
exchange spot contracts which contractually obligate the Funds to deliver
or receive currencies at specified future dates. Open contracts were as
follows:
<TABLE>
<CAPTION>
INTERNATIONAL FUND
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
-------------------- --------------- --------------- -------------
<S> <C> <C> <C> <C> <C>
DEM 8,677,000 USD 6,220,072 09/21/95 $ (74,812)
DEM 6,760,000 USD 4,877,946 12/01/95 (38,045)
FRF 32,640,000 USD 6,619,347 09/21/95 (94,394)
GBP 3,840,000 USD 6,086,905 02/01/96 22,326
JPY 580,300,000 USD 6,933,094 09/21/95 11,051
JPY 578,220,000 USD 6,000,000 01/08/96 (998,180)
-------------
$ (1,172,054)
-------------
-------------
</TABLE>
128 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
<TABLE>
<CAPTION>
INTERNATIONAL FUND (CONTINUED)
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
-------------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
USD 136,761 ATS 1,332,122 07/03/95 $ 7
USD 472,104 AUD 660,054 07/05/95 (2,983)
USD 24,560 AUD 34,307 07/06/95 (177)
USD 204,934 GBP 129,402 07/03/95 891
USD 288,737 ITL 470,063,164 07/05/95 (1,456)
SEK 1,157,834 JPY 13,465,614 07/05/95 (113)
USD 2,709,691 JPY 229,407,353 07/03/95 (2,980)
USD 29,882 MYR 72,793 07/03/95 (25)
BEL 313,200 USD 10,913 07/03/95 (97)
ESP 16,356,517 USD 134,843 07/05/95 (195)
HKD 1,818,456 USD 234,973 07/03/95 (36)
JPY 11,970,195 USD 141,408 07/01/95 175
MYR 346,177 USD 141,742 07/03/95 (250)
MYR 203,829 USD 83,495 07/05/95 (110)
NLG 7,229 USD 4,631 07/03/95 (34)
SEK 1,157,834 JPY 13,465,614 01/03/95 (248)
-------------
$ (7,631)
-------------
-------------
</TABLE>
<TABLE>
<CAPTION>
EMERGING MARKETS FUND
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
-------------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
USD 41,116 ARS 41,087 07/03/95 $ (21)
USD 20,391 CZK 525,974 07/03/95 (44)
BRL 18,293 USD 19,905 07/01/95 33
BRL 387,328 USD 421,009 07/05/95 229
THB 1,494,954 USD 60,573 07/03/95 12
-------------
$ 209
-------------
-------------
</TABLE>
<TABLE>
<CAPTION>
FIXED INCOME I FUND
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
-------------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
DEM 5,403,208 USD 3,865,426 07/28/95 $ (46,784)
-------------
$ (46,784)
-------------
-------------
</TABLE>
Notes to Financial Statements 129
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
<TABLE>
<CAPTION>
FIXED INCOME III FUND
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
-------------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
DEM 4,317,433 USD 3,110,543 08/02/95 (16,126)
-------------
$ (16,126)
-------------
-------------
</TABLE>
<TABLE>
<CAPTION>
FIXED INCOME III FUND
FORWARD CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
-------------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
USD 50,781 USD 32,000 07/03/95 118
-------------
$ 118
-------------
-------------
</TABLE>
The related net unrealized appreciation (depreciation) is reflected in the
International and Emerging Markets Funds' financial statements.
7. DIVIDENDS
On July 3, 1995, the Board of Trustees declared the following dividends
from net investment income payable on July 12, 1995, to shareholders of
record on July 5, 1995:
<TABLE>
<S> <C> <C> <C>
Equity I .1293% Fixed Income I .3628%
Equity II .0704 Fixed Income II .2973
Equity III .1942 Fixed Income III .1667
Equity Q .1492
</TABLE>
130 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
ADDITIONAL INFORMATION
On March 28, 1995, a special meeting of the shareholders of the Funds was
held for the purpose of voting on the following matters:
1. To approve or disapprove an amendment for an annual management fee,
and
2. To approve or disapprove an amendment clarifying the fiduciary and
client status of the Manager.
The results of the vote on Proposal 1 were as follows:
<TABLE>
<CAPTION>
NUMBER OF % OF OUTSTANDING % OF
VOTE SHARES SHARES SHARES VOTED
-------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C>
EQUITY I Affirmative 15,512,538 68% 98%
Against 333,437 1% 2%
Abstain -- -- --
-------------- ---------------- --------------
Total 15,845,975 69% 100%
-------------- ---------------- --------------
-------------- ---------------- --------------
EQUITY II Affirmative 5,337,404 66% 98%
Against 133,145 2% 2%
Abstain -- -- --
-------------- ---------------- --------------
Total 5,470,549 68% 100%
-------------- ---------------- --------------
-------------- ---------------- --------------
EQUITY III Affirmative 4,771,896 68% 98%
Against 96,566 1% 2%
Abstain -- -- --
-------------- ---------------- --------------
Total 4,868,462 69% 100%
-------------- ---------------- --------------
-------------- ---------------- --------------
EQUITY Q Affirmative 13,144,912 76% 98%
Against 281,816 2% 2%
Abstain -- -- --
-------------- ---------------- --------------
Total 13,426,728 78% 100%
-------------- ---------------- --------------
-------------- ---------------- --------------
FIXED INCOME I Affirmative 13,598,995 59% 98%
Against 342,039 1% 2%
Abstain -- -- --
-------------- ---------------- --------------
Total 13,941,034 60% 100%
-------------- ---------------- --------------
-------------- ---------------- --------------
</TABLE>
Additional Information 131
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
ADDITIONAL INFORMATION, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF % OF OUTSTANDING % OF
VOTE SHARES SHARES SHARES VOTED
---------------- ---------------- ---------------- --------------
<S> <C> <C> <C> <C>
FIXED INCOME II Affirmative 5,768,413 74% 95%
Against 296,092 4% 5%
Abstain -- -- --
---------------- ---------------- --------------
Total 6,064,505 78% 100%
---------------- ---------------- --------------
---------------- ---------------- --------------
FIXED INCOME III Affirmative 16,633,904 92% 96%
Against 705,322 4% 4%
Abstain -- -- --
---------------- ---------------- --------------
Total 17,339,226 96% 100%
---------------- ---------------- --------------
---------------- ---------------- --------------
INTERNATIONAL Affirmative 15,507,344 79% 98%
Against 241,196 1% 2%
Abstain -- -- --
---------------- ---------------- --------------
Total 15,478,540 80% 100%
---------------- ---------------- --------------
---------------- ---------------- --------------
MONEY MARKET Affirmative 21,439,935 58% 92%
Against 1,844,762 5% 8%
Abstain -- -- --
---------------- ---------------- --------------
Total 23,284,697 63% 100%
---------------- ---------------- --------------
---------------- ---------------- --------------
EMERGING MARKETS Affirmative 8,058,386 74% 97%
Against 251,280 2% 3%
Abstain -- -- --
---------------- ---------------- --------------
Total 8,309,666 76% 100%
---------------- ---------------- --------------
---------------- ---------------- --------------
</TABLE>
The results of the vote on Proposal 2 (reported for all 10 Funds) were as
follows:
<TABLE>
<CAPTION>
NUMBER OF % OF OUTSTANDING % OF SHARES
VOTE SHARES SHARES VOTED
---------------- ---------------- ---------------- --------------
<S> <C> <C> <C>
Affirmative 121,284,261 70% 98%
Against 3,015,119 2% 2%
Abstain -- -- --
---------------- ---------------- --------------
Total 124,299,380 72% 100%
---------------- ---------------- --------------
---------------- ---------------- --------------
</TABLE>
132 Additional Information
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(206) 627-7001
TRUSTEES
George F. Russell, Jr., Chairman
Lynn L. Anderson
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Lee C. Gingrich
Eleanor W. Palmer
OFFICERS
Lynn L. Anderson, President and Chief Executive Officer
Peter Apanovitch, Manager of Short Term Investment Funds
Margaret L. Barclay, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary
MANAGER
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
CUSTODIAN
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, MA 02171
TRANSFER AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young
2600 - One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, MA 02109
MONEY MANAGERS
EQUITY I
Alliance Capital Management L.P., Minneapolis, MN
Cash Flow Investors, Inc., Fort Lee, NJ
Columbus Circle Investors, Stamford, CT
Equinox Capital Management Inc., New York, NY
INVESCO Capital Management, Inc., Atlanta, GA
Lincoln Capital Management Company, Chicago, IL
Suffolk Capital Management, Inc., New York, NY
Trinity Investment Management Corporation, Boston, MA
Wellington Management Company, Boston, MA
EQUITY II
Delphi Management, Inc., Boston, MA
Jacobs Levy Equity Management, Inc., Roseland, NJ
Jundt Associates, Inc., Minneapolis, MN
Mitchell Hutchins Institutional Investors, Inc., New York, NY
Sirach Capital Management, Inc., Seattle, WA
Wellington Management Company, Boston, MA
EQUITY III
Brandywine Asset Management, Inc., Wilmington, DE
Equinox Capital Management Inc., New York, NY
Trinity Investment Management Corporation, Boston, MA
EQUITY Q
Franklin Portfolio Associates Trust, Boston, MA
J.P. Morgan Investment Management Inc., New York, NY
Wells Fargo Nikko Investment Advisors, San Francisco, CA
INTERNATIONAL
Grantham, Mayo, Van Otterloo & Co., Boston, MA
J.P. Morgan Investment Management Inc., New York, NY
Marathon Asset Management Limited, London, England
Oechsle International Advisors, Boston, MA
Rowe Price-Fleming International, Inc., Baltimore, MD
EMERGING MARKETS
Baring International Investment Limited, London, England
Genesis Asset Managers Limited, London, England
Montgomery Asset Management, L.P., San Francisco, CA
FIXED INCOME I
Lincoln Capital Management Company, Chicago, IL
Pacific Investment Management Company, Newport Beach, CA
Standish, Ayer & Wood, Inc., Boston, MA
FIXED INCOME II
BlackRock Financial Management, New York, NY
Standish, Ayer & Wood, Inc., Boston, MA
FIXED INCOME III
BEA Associates, New York, NY
Pacific Investment Management Company, Newport Beach, CA
Standish, Ayer & Wood, Inc., Boston, MA
MONEY MARKET
Frank Russell Investment Management Co., Tacoma, WA
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUNDS AND IS SUBMITTED
FOR THE GENERAL INFORMATION OF SHAREHOLDERS AND IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS ACCOMPANIED OR PRECEDED BY AN
EFFECTIVE PROSPECTUS. NOTHING HEREIN CONTAINED IS TO BE CONSIDERED AN OFFER OF
SALE OR A SOLICITATION OF AN OFFER TO BUY SHARES OF FRANK RUSSELL INVESTMENT
COMPANY. SUCH OFFERING IS MADE ONLY BY PROSPECTUS, WHICH INCLUDES DETAILS AS TO
OFFERING PRICE AND OTHER MATERIAL INFORMATION.
Manager and Money Managers 133
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
Frank Russell Investment Company
is a "series mutual fund" with 22
different investment portfolios. These
financial statements report on twelve
Funds, each of which has distinct
investment objectives and strategies.
FRANK RUSSELL INVESTMENT MANAGEMENT
COMPANY
Responsible for overall management and
administration of the Funds.
FRANK RUSSELL COMPANY
Consultant to Frank Russell Investment
Management Company.
<PAGE>
TABLE OF CONTENTS
PAGE
DIVERSIFIED EQUITY FUND . . . . . . . . . . . . . . . . . . . . 3
SPECIAL GROWTH FUND . . . . . . . . . . . . . . . . . . . . . . 15
EQUITY INCOME FUND. . . . . . . . . . . . . . . . . . . . . . . 29
QUANTITATIVE EQUITY FUND. . . . . . . . . . . . . . . . . . . . 37
INTERNATIONAL SECURITIES FUND . . . . . . . . . . . . . . . . . 49
REAL ESTATE SECURITIES FUND . . . . . . . . . . . . . . . . . . 69
DIVERSIFIED BOND FUND . . . . . . . . . . . . . . . . . . . . . 75
VOLATILITY CONSTRAINED BOND FUND. . . . . . . . . . . . . . . . 89
MULTISTRATEGY BOND FUND . . . . . . . . . . . . . . . . . . . . 97
LIMITED VOLATILITY TAX FREE FUND. . . . . . . . . . . . . . . . 109
U.S. GOVERNMENT MONEY MARKET FUND . . . . . . . . . . . . . . . 119
TAX FREE MONEY MARKET FUND. . . . . . . . . . . . . . . . . . . 125
NOTES TO FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . 135
ADDITIONAL INFORMATION. . . . . . . . . . . . . . . . . . . . . 144
MANAGER AND MONEY MANAGERS. . . . . . . . . . . . . . . . . . . 145
FRANK RUSSELL INVESTMENT COMPANY - INTERNAL FEE FUNDS
Copyright -Copyright- Frank Russell Company 1995. All rights reserved. This
material is proprietary and may not be reproduced, transferred, or distributed
in any form without prior written permission from Frank Russell Company. It is
delivered on an "as is" basis without warranty. The Russell logo is a trademark
and service mark of Frank Russell Company. Frank Russell Company and Standard &
Poor's Corporation are the owners of the trademarks, service marks, and
copyrights related to their respective indexes. This material must be
accompanied or preceded by a current Frank Russell Investment Company Prospectus
containing complete information concerning the investment objectives and
operations of the Company, charges, and expenses. The Prospectus should be read
carefully before an investment is made. The performance quoted represents past
performance and, except for a money market fund, the investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost. An investment in a money
market fund is neither insured nor guaranteed by the US government. There can
be no assurance that a money market fund will be able to maintain a stable net
asset value of $1.00 per share. Investments in securities of non-US issuers and
foreign currencies involve investment risks different than those of US issuers;
the Prospectus contains further information and details regarding these risks.
Income from tax-free funds may be subject to an alternative minimum tax.
Russell Fund Distributors, Inc., is the distributor of Frank Russell Investment
Company.
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
COMMON STOCKS - 92.3%
BASIC INDUSTRIES - 7.3%
Air Products & Chemicals, Inc. 10,300 $ 574
Albemarle Corp. 35,000 547
Alco Standard Corp. 3,700 296
Allegheny Ludlum Corp. 10,100 199
Alumax, Inc. (a) 31,200 971
Aluminum Co. of America 63,600 3,188
Bethlehem Steel Corp. (a) 39,500 642
Boise Cascade Corp. 10,000 405
Cabot Corp. 12,800 675
CalMat Co. 11,800 245
Champion International Corp. 20,000 1,043
Cyprus Amax Minerals Co. 8,000 228
De Beers Consolidated Mines, Ltd. - ADR 10,300 267
Dow Chemical Co. 32,200 2,314
du Pont (E.I.) de Nemours & Co. 15,480 1,064
Engelhard Corp. 7,700 330
Ethyl Corp. 18,700 199
Ferro Corp. 8,300 220
FMC Corp. New (a) 9,600 646
Foamex International, Inc. 110,000 784
Fuller (H.B.) Co. 6,400 234
Goodrich (B.F.) Co. 25,800 1,384
Great Lakes Chemical Corp. 48,400 2,916
Illinois Tool Works, Inc. 10,700 589
IMC Fertilizer Group, Inc. 10,000 541
International Paper Co. 26,900 2,307
Kimberly-Clark Corp. 14,900 892
Lawter International, Inc. 16,600 199
Loctite Corp. 5,000 228
Lone Star Technologies, Inc. (a) 40,000 320
Lukens, Inc. 8,000 258
Magma Copper Co. New (a) 21,875 355
Minnesota Mining & Manufacturing Co. 43,300 2,479
Monsanto Co. 2,600 234
Morton International, Inc. 4,500 132
Nalco Chemical Co. 11,600 422
NCH Corp. 5,100 293
Olin Corp. 7,200 371
P.H. Glatfelter Co. 12,600 254
Phelps Dodge Corp. 4,300 254
Potash Corp. of Saskatchewan, Inc. 13,300 743
Potlatch Corp. 8,300 347
PPG Industries, Inc. 6,400 275
Precision Castparts Corp. 6,400 225
Premark International, Inc. 17,000 882
Reynolds Metals Co. 21,900 1,133
Rhone Poulenc SA - ADR (a) 18,300 403
Rio Algom, Ltd. 13,400 259
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Sequa Corp. Class A (a) 21,000 $ 614
Sonoco Products Co. 9,765 241
Wellman, Inc. 13,000 355
Willamette Industries, Inc. 21,400 1,177
Witco Chemical Corp. 6,900 222
---------
36,375
---------
CAPITAL GOODS - 3.9%
Alcatel Alsthom Compagnie
Generale d'Electricite - ADR (a) 31,200 566
Atmel Corp. (a) 9,600 532
Ball Corp. 9,000 314
Boston Scientific Corp. (a) 27,900 889
Briggs & Stratton Corp. 6,300 217
Browning-Ferris Industries, Inc. 14,200 513
Caterpillar, Inc. 22,800 1,465
CBI Industries, Inc. 13,300 334
Cooper Industries, Inc. 20,800 822
Crane Co. 8,200 297
Cummins Engine Co., Inc. 5,000 218
Deere & Co. 6,000 514
Dover Corp. 4,180 304
Duracell International, Inc. 17,500 757
Emerson Electric Co. 3,500 250
Gardner Denver Machinery, Inc. (a) 152 3
General Electric Co. 76,100 4,290
General Signal Corp. 5,900 235
Giant Cement Holding, Inc. (a) 15,900 187
Goulds Pumps, Inc. 9,400 204
Grainger (W.W.), Inc. 3,300 194
Harsco Corp. 5,000 264
Hubbell, Inc. Class B 4,095 231
Johnson Controls, Inc. 10,600 599
Kaydon Corp. 9,300 277
Magna International, Inc. Class A 6,300 278
National Service Industries, Inc. 8,000 231
SPS Technologies, Inc. (a) 8,300 312
Technip SA - ADR (a) 25,938 804
Tecumseh Products Co. Class A 5,100 222
Timken Co. 8,200 378
Tyco International, Ltd. 8,700 470
Westinghouse Electric Corp. 74,600 1,091
WMX Technologies, Inc. 22,000 624
Wyman-Gordon Co. (a) 6,300 66
York International Corp. 10,000 450
Zurn Industries, Inc. 12,400 248
---------
19,650
---------
</TABLE>
Diversified Equity Fund 3
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
CONSUMER BASICS - 19.4%
Abbott Laboratories NPV 76,300 $ 3,090
American Brands, Inc. 46,900 1,864
American Home Products Corp. 7,200 557
American Stores Co. 69,000 1,941
Amgen, Inc. (a) 29,800 2,391
Archer-Daniels-Midland Co. 13,608 253
Astra AB Series B 8,500 256
Bard (C.R.), Inc. 8,100 243
Bausch & Lomb, Inc. 17,200 714
Baxter International, Inc. 64,900 2,361
Becton, Dickinson & Co. 15,800 920
Biogen, Inc. (a) 12,000 534
Black & Decker Corp. 12,200 377
Bristol-Myers Squibb Co. 19,450 1,325
Cadbury Schweppes - ADR 7,300 215
Campbell Soup Co. 5,800 284
Carter-Wallace, Inc. 16,000 182
Chiquita Brands International, Inc. 28,600 400
Church and Dwight Co., Inc. 8,200 170
Clorox Co. 28,100 1,834
Coca-Cola Co. (The) 61,900 3,946
Colgate-Palmolive Co. 18,000 1,316
Columbia/HCA Healthcare Corp. 125,896 5,445
Community Psychiatric Centers 16,000 180
Corning, Inc. 15,000 491
CPC International, Inc. 27,700 1,710
Dean Foods Co. 7,100 199
Dimon, Inc. 45,000 759
Dole Food, Inc. 4,200 122
Elan Corp. PLC - ADR (a) 22,500 917
Fleming Cos., Inc. 74,300 1,969
Giant Food, Inc. Class A 9,900 281
Gillette Co. 76,200 3,400
Glaxo Holdings PLC - ADR 21,300 519
Hillenbrand Industries, Inc. 6,200 193
Hormel (George A.) & Co. 9,400 246
IBP, Inc. 14,100 613
International Dairy Queen, Inc.
Class A (a) 12,300 237
Johnson & Johnson 95,500 6,458
Kellogg Co. 4,000 286
Kroger Co. (a) 49,200 1,322
Lance, Inc. 11,300 206
Lilly (Eli) & Co. 39,800 3,124
Medtronic, Inc. 20,800 1,604
Merck & Co., Inc. 98,200 4,812
PacifiCare Health Systems, Inc.,
Class A (a) 4,700 235
PepsiCo, Inc. 125,100 5,708
Pfizer, Inc. 42,000 3,880
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Philip Morris Cos., Inc. 128,700 $ 9,572
Procter & Gamble Co. 56,125 4,034
Quaker Oats Co. 6,200 204
Ralston Purina Co. 2,800 143
Rhone Poulenc Rorer, Inc. 3,700 151
RJR Nabisco Holdings Corp. New (a) 15,960 445
Sara Lee Corp. 37,200 1,060
Schering-Plough Corp. 68,300 3,014
SmithKline Beecham PLC - ADR 19,100 864
St. Jude Medical, Inc. 6,500 325
Standard Commercial Corp. 16,793 248
Stanley Works 5,300 201
U.S. Bioscience, Inc. (a) 1,501 6
U.S. Healthcare, Inc. 6,150 188
U.S. Surgical Corp. 10,000 209
Unilever NV 1,600 208
United Healthcare Corp. 74,000 3,062
Universal Corp. 29,500 620
UST Corp. 6,600 197
Vons Cos., Inc. (a) 15,700 316
Warner-Lambert Co. 13,800 1,192
Weis Markets, Inc. 8,400 234
Wellpoint Health Networks, Inc.
Class A 7,800 221
---------
96,803
---------
CONSUMER DURABLES - 1.6%
Bandag, Inc. 3,900 244
Bandag, Inc. Class A 1,300 74
Bassett Furniture Industries, Inc. 7,300 201
Carlisle Cos., Inc. 6,600 252
Chrysler Corp. 24,300 1,163
Donaldson Co., Inc. 10,200 267
Federal Signal Corp. 11,100 240
Fleetwood Enterprises, Inc. 9,300 184
Ford Motor Co. 47,400 1,410
General Motors Corp. 24,724 1,159
Genuine Parts Co. 6,000 227
Leggett & Platt, Inc. 5,800 255
Strattec Security Corp. (a) 1,260 15
Tomkins PLC - ADR 15,100 231
Whirlpool Corp. 38,900 2,140
---------
8,062
---------
CONSUMER NON-DURABLES - 6.0%
Angelica Corp. 8,600 215
Anheuser-Busch Cos., Inc. 19,600 1,115
Blair Corp. 4,600 158
</TABLE>
4 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Coors (Adolph) Co. Class B 4,500 $ 72
Dayton Hudson Corp. 8,100 581
Eastman Kodak Co. 28,600 1,734
Federated Department Stores, Inc. (a) 35,700 919
Gap, Inc. 43,500 1,517
Handleman Co. 19,100 184
Hills Store Co. New (a) 17,926 430
Home Depot, Inc. (The) 58,700 2,385
Jostens, Inc. 21,200 451
K mart Corp. 27,400 401
Liz Claiborne, Inc. 16,400 349
Lowe's Cos., Inc. 34,800 1,040
Mattel, Inc. 36,593 951
May Department Stores Co. 27,300 1,136
Melville Corp. 12,500 428
Newell Co. 11,972 293
Nordstrom, Inc. 8,800 363
Office Depot, Inc. (a) 22,900 644
Penney (J.C.) Co., Inc. 32,500 1,560
Petrie Stores Corp. 7,400 50
Polaroid Corp. 15,200 619
Price Costco, Inc. (a) 32,400 527
Rayonier, Inc. 13,000 462
Reebok International, Ltd. 6,800 231
Salant Corp. (a) 25,700 106
Sears Roebuck & Co. 17,700 1,060
Semi-Tech Corp. Class A 30,000 240
Shaw Industries, Inc. 100,000 1,700
Stride Rite Corp. 13,400 139
SuperValu, Inc. 49,700 1,448
Toys "R" Us, Inc. (a) 66,500 1,945
V.F. Corp. 15,700 843
Wal-Mart Stores, Inc. 138,300 3,699
---------
29,995
---------
CONSUMER SERVICES - 3.8%
AMR Corp. (a) 30,800 2,298
British Airways PLC - ADR 14,000 942
Carnival Corp. Class A 51,100 1,194
Circus Circus Enterprises, Inc. (a) 24,400 860
Continental Airlines, Inc. Class B (a) 23,800 598
Disney (Walt) Co. 86,500 4,812
King World Productions, Inc. (a) 5,600 227
KLM Royal Dutch Airlines (a) 10,500 343
McDonald's Corp. 106,800 4,179
Northwest Airlines Corp. Class A (a) 26,100 916
Royal Caribbean Cruises, Ltd. 7,600 167
UAL Corp. 17,350 2,433
---------
18,969
---------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
ENERGY - 6.9%
Amerada Hess Corp. NPV 10,000 $ 489
Amoco Corp. 66,375 4,422
Anadarko Petroleum Corp. 18,600 802
Ashland, Inc. 30,500 1,071
Atlantic Richfield Co. 4,400 483
Baker Hughes, Inc. 29,000 595
British Petroleum Co. PLC - ADR 15,460 1,324
Burlington Resources, Inc. 22,500 830
Chevron Corp. 42,748 1,993
Diamond Shamrock, Inc. 13,100 337
ENSCO International, Inc. (a) 9,200 146
Exxon Corp. 32,500 2,295
Gulf Canada Resources, Ltd. (a) 69,300 282
Imperial Oil, Ltd. 6,500 241
Kerr-McGee Corp. 12,600 676
McDermott International, Inc. 5,500 133
Mesa, Inc. 70,000 333
Mobil Corp. 41,630 3,996
Murphy Oil Corp. 10,000 410
Noble Drilling Corp. (a) 90,000 641
Norcen Energy Resources, Ltd. 9,000 120
Oryx Energy Co. (a) 18,000 248
Petroleum Heat & Power, Inc. Class A 54,100 419
Reading & Bates Corp. New (a) 45,900 425
Renaissance Energy, Ltd. (a) 25,600 529
Royal Dutch Petroleum Co. - ADR 25,830 3,148
Schlumberger, Ltd. 21,100 1,311
Seagull Energy Corp. (a) 35,700 589
Sun Company 11,300 309
Sun Energy Partners, L. P. 25,700 109
Tarragon Oil & Gas, Ltd. New (a) 8,200 82
Tenneco, Inc. 24,500 1,127
Texaco, Inc. 17,200 1,129
Total Co. SA - ADR 45,605 1,380
Unocal Corp. 15,000 414
USX-Marathon Group 52,400 1,035
Valero Energy Corp. 18,300 370
Washington Energy Co. 22,000 360
---------
34,603
---------
FINANCE - 14.8%
ACE, Ltd. 35,000 1,015
Ahmanson (H.F.) & Co. 23,100 508
AMBAC, Inc. 11,900 477
American Express Co. 31,900 1,120
American Financial Group, Inc. 21,900 569
American International Group, Inc. 51,600 5,882
Banc One Corp. 16,900 545
</TABLE>
Diversified Equity Fund 5
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Bank of New York Co., Inc. 18,400 $ 743
BankAmerica Corp. 42,400 2,231
Barnett Banks, Inc. 19,200 984
Beneficial Corp. 9,100 400
Borg-Warner Security Corp. (a) 14,800 133
California Federal Bank (a) 24,000 315
Chase Manhattan Corp. 32,400 1,523
Chemical Banking Corp. 69,900 3,303
Chubb Corp. (The) 40,300 3,229
CIGNA Corp. 38,450 2,985
Citicorp 30,000 1,736
Coast Savings Financial, Inc. (a) 24,900 514
Countrywide Credit Industries, Inc. 34,900 733
Dean Witter, Discover & Co. 45,500 2,139
Equifax, Inc. 9,000 300
Equitable of Iowa Cos. 6,700 220
Federal Home Loan Mortgage Corp. 37,600 2,585
Federal National Mortgage Association 45,900 4,332
First Bank System, Inc. 23,500 964
First Chicago Corp. 44,000 2,635
First Security Corp. 16,900 473
First Tennessee National Corp. 11,100 513
First Union Corp. 21,700 982
General Re Corp. 16,400 2,196
Home Beneficial Corp. Class B 11,200 227
Household International Corp. 18,200 901
KeyCorp 40,500 1,271
Lehman Brothers Holdings, Inc. 28,000 613
Leucadia National Corp. 6,600 333
Loews Corp. 5,200 629
Long Island Bancorp, Inc. 12,000 227
Marsh & McLennan Cos., Inc. 19,400 1,574
MBNA Corp. 30,500 1,029
Merrill Lynch & Co., Inc. 6,700 352
Morgan (J.P.) & Co., Inc. 8,000 561
NationsBank Corp. 65,500 3,512
NBD Bancorp, Inc. 49,000 1,568
Norwest Corp. 111,900 3,217
Old Republic International Corp. 31,900 833
Onex Corp. (a) 37,000 387
Paul Revere Corp. 22,200 377
Progressive Corp. 4,900 188
Provident Life & Accident Insurance Co.
Class B 8,900 207
Raymond James Financial, Inc. 12,700 246
SAFECO Corp. 14,700 840
Southern National Corp. 28,200 677
St. Paul Cos., Inc. 42,100 2,073
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
State Street Boston Corp. 42,500 $ 1,567
Student Loan Marketing Association 12,500 586
SunAmerica, Inc. 5,700 291
SunTrust Banks, Inc. 26,800 1,561
Transatlantic Holdings, Inc. 3,700 241
Unitrin, Inc. 5,000 239
UNUM Corp. 22,800 1,069
Value Line, Inc. 5,300 158
Washington Federal, Inc. 16,190 352
---------
74,190
---------
GENERAL BUSINESS - 5.9%
American Greetings Corp. Class A 17,400 509
Automatic Data Processing, Inc. 62,175 3,909
Block (H&R) Co., Inc. 6,600 271
Capital Cities/ABC, Inc. 17,900 1,933
CBS, Inc. 6,630 444
CCH, Inc. Class A 12,300 264
Comdisco, Inc. 13,500 410
Computer Sciences Corp. (a) 13,300 756
Comsat Corp. Series 1 22,200 436
Cox Communications, Inc. Class A 16,400 318
Deluxe Corp. 37,700 1,249
Donnelley (R.R.) & Sons Co. 7,000 252
Dow Jones & Co., Inc. 6,700 247
Dun & Bradstreet Corp. 3,600 189
Enterra Corp. (a) 5,500 116
Figgie International Holdings, Inc.
Class A (a) 27,000 226
First Financial Management Corp. 6,400 547
Flightsafety International, Inc. 1,300 63
Gannett Co., Inc. 4,200 228
General Motors Corp. Class E 79,100 3,441
Harland (John H.) Co. 10,000 229
Houghton Mifflin Co. 7,300 385
Knight-Ridder, Inc. 4,100 233
Lee Enterprises, Inc. 6,800 259
McClatchy Newspapers, Inc. Class A 20,000 443
Miller (Herman), Inc. 8,700 213
Moore Corp., Ltd. 11,200 248
New England Business Service, Inc. 11,500 227
New York Times Co. Class A 8,700 204
News Corp., Ltd. - ADR 29,400 665
Ogden Corp. 17,000 372
Pinkerton's, Inc. New (a) 12,900 232
Portugal Telecom SA - ADR 17,600 334
Reuters Holdings PLC Class B - ADR 12,200 610
</TABLE>
6 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
SBC Communications, Inc. 18,300 $ 872
Standard Register Co. 10,100 192
Tele-Communications, Inc. New
Class A (a) 112,200 2,623
Time Warner, Inc. 22,200 913
Tribune Co. 9,200 565
True North Communications, Inc. 11,600 219
Viacom, Inc. Class A (a) 2,208 103
Viacom, Inc. Class B (a) 64,279 2,981
Viacom, Inc. Rights (a) 171,800 258
Washington Post Co. Class B 900 235
---------
29,423
---------
MISCELLANEOUS - 0.8%
Agree Realty Corp. 24,000 396
American Real Estate Partners, L.P. (a) 64,426 515
Canadian Pacific, Ltd. 16,700 290
Crescent Real Estate Equities, Inc. 8,000 255
First Industrial Realty Trust, Inc. 8,600 176
Home State Holdings, Inc. (a) 33,000 314
ITT Corp. 8,200 964
Koger Equity, Inc. (a) 37,500 328
Newhall Land & Farming Co. 20,300 282
Providian Corp. 6,500 235
---------
3,755
---------
SHELTER - 1.0%
Armstrong World Industries, Inc. 25,300 1,268
Centex Construction Products, Inc. (a) 26,000 335
Essex Property Trust 13,000 236
Georgia Pacific Corp. 4,800 416
IP Timberlands, Ltd. Class A 8,300 182
Rayonier Timberlands, L.P. Class A 6,000 201
Southdown, Inc. (a) 23,000 440
St. Lawrence Cement Inc. Class A (a) 58,200 381
Standard Pacific Corp. 35,000 240
Vulcan Materials Co. 4,200 229
Weyerhaeuser Co. 25,700 1,211
---------
5,139
---------
TECHNOLOGY - 12.4%
AMP, Inc. 25,400 1,073
Applied Materials, Inc. (a) 28,100 2,424
BE Aerospace, Inc. (a) 35,000 311
Boeing Co. 35,000 2,192
CAE, Inc. (a) 35,300 254
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Cisco Systems, Inc. (a) 92,300 $ 4,661
COMPAQ Computer Corp. (a) 34,700 1,575
Computer Associates International, Inc. 16,300 1,104
Cray Research, Inc. (a) 9,900 241
Diebold, Inc. 5,400 235
Digital Equipment Corp. (a) 19,800 807
EG&G, Inc. 14,000 235
Electronic Arts (a) 23,800 646
EMC Corp. (a) 16,600 403
Ericsson (LM) Telephone Co.
Class B - ADR 48,800 976
General Motors Corp. Class H 34,200 1,351
Hewlett-Packard Co. 57,000 4,247
Honeywell, Inc. 14,200 612
Intel Corp. 158,800 10,044
Intelligent Electronics, Inc. 12,300 166
Intergraph Corp. (a) 22,100 246
International Business Machines Corp. 50,100 4,810
Intuit, Inc. (a) 2,800 213
Lockheed Martin Corp. 24,500 1,547
Loral Corp. 11,400 590
Microsoft Corp. (a) 18,400 1,663
Motorola, Inc. 38,200 2,564
Northrop Grumman Corp. 16,800 876
Novell, Inc. (a) 47,000 934
Oracle Systems Corp. (a) 62,600 2,410
Raytheon Co. 16,500 1,281
Scientific-Atlanta, Inc. 36,500 803
Seagate Technology (a) 30,300 1,189
Sensormatic Electronics Corp. 28,100 998
Silicon Graphics, Inc. (a) 16,300 650
Stratus Computer, Inc. (a) 7,500 233
Sun Microsystems, Inc. (a) 24,300 1,178
Tandy Corp. 6,000 311
Texas Instruments, Inc. 6,600 883
Textron, Inc. 3,900 226
Thomson-CSF - ADR (a) 6,600 148
TRW, Inc. 7,800 623
Varian Associates, Inc. 7,200 397
Xerox Corp. 29,900 3,505
---------
61,835
---------
TRANSPORTATION - 1.2%
Alexander & Baldwin, Inc. 10,000 223
American President Cos., Ltd. 9,000 214
BT Shipping, Ltd. - ADR (a) 130,000 341
Conrail, Inc. 20,400 1,135
CSX Corp. 12,725 956
</TABLE>
Diversified Equity Fund 7
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
GATX Corp. 7,400 $ 349
Johnstown America Industries, Inc. (a) 35,000 363
Laidlaw, Inc. Class B 65,000 626
Norfolk Southern Corp. 9,800 660
OMI Corp. (a) 38,600 256
Overseas Shipholding Group, Inc. 18,600 386
Roadway Services, Inc. 3,500 163
Ryder System, Inc. 4,700 112
Southern Pacific Rail Corp. (a) 5,600 88
Yellow Corp. 10,600 192
---------
6,064
---------
UTILITIES - 7.3%
Airtouch Communications, Inc. (a) 92,400 2,633
AT&T Corp. 78,900 4,192
BCE, Inc. 43,000 1,381
Bell Atlantic Corp. 7,100 398
British Telecommunications PLC - ADR 3,500 220
Central Maine Power Co. 46,400 551
Empresa Nacional de Electricidad
SA - ADR 5,100 251
Enron Corp. 24,800 871
ENSERCH Corp. 21,000 360
Entergy Corp. 35,100 847
FPL Group, Inc. 27,200 1,051
General Public Utilities Corp. 60,600 1,803
GTE Corp. 71,800 2,450
KU Energy Corp. 8,100 226
Lincoln Telecommunications Co. 14,200 220
MCI Communications Corp. 69,800 1,527
MCN Corp. 21,200 419
Niagara Mohawk Power Corp. 46,100 680
NIPSCO Industries, Inc. 17,700 602
Northeast Utilities 29,100 655
NYNEX Corp. 34,000 1,369
Pacific Enterprises 6,900 169
Pacific Gas & Electric Co. 35,100 1,018
Pacific Telesis Group 47,000 1,257
PP&L Resources, Inc. 35,300 684
Public Service Co. of New Mexico (a) 10,000 143
Public Service Enterprise Group, Inc. 42,561 1,181
SCE Corp. 71,850 1,230
Southern New England
Telecommunications Corp. 18,600 655
Talisman Energy, Inc. (a) 25,000 464
Telefonica de Espana SA - ADR 30,900 1,197
8 Diversified Equity Fund
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Telefonos de Mexico SA Series L - ADR 45,000 $ 1,333
Texas Utilities Co. 24,500 842
U.S. West, Inc. 20,000 832
Unicom Corp. 55,600 1,480
Vodafone Group PLC - ADR 23,900 905
WorldCom, Inc. (a) 19,537 525
---------
36,621
---------
TOTAL COMMON STOCKS
(cost $395,108) 461,484
---------
CONVERTIBLE PREFERRED STOCKS - 0.5%
Ford Motor Co. Series A 15,800 1,535
Glendale Federal Bank Series E 32,100 1,090
---------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $2,129) 2,625
---------
PREFERRED STOCKS - 0.4%
Nokia Corp. - ADR 34,800 2,075
---------
TOTAL PREFERRED STOCKS
(cost $1,559) 2,075
---------
OPTIONS - 0.3%
S & P 500 Index Sep 500 Call (a) 40* 193
S & P 500 Index Sep 520 Call (a) 275* 832
S & P 500 Index Sep 530 Call (a) 140* 310
S & P 500 Index Sep 540 Call (a) 20* 29
---------
TOTAL OPTIONS
(cost $913) 1,364
---------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 7.0%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $24,154 24,154
United States Treasury Notes
8.875% due 07/15/95 (b)(d) 5,500 5,462
4.250% due 12/31/95 (d) 5,500 5,506
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $35,105) 35,122
---------
</TABLE>
8 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
---------
<S> <C>
TOTAL INVESTMENTS
(identified cost $434,814)(c) - 100.5% $ 502,670
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (0.5%) (2,616)
---------
NET ASSETS - 100.0% $ 500,054
---------
---------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995, the cost for federal income tax purposes
was $437,854 and net unrealized appreciation for all securities
was $64,816. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $71,965 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $7,149.
(d) Held as collateral by the custodian in connection with options
written by the Fund.
* Number of contracts.
</TABLE>
OPTIONS WRITTEN
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
CONTRACTS (000)
--------- ---------
<S> <C> <C>
PUT OPTIONS (Note 2)
S&P 500 Index Sep 500 (a) 40 $ 7
S&P 500 Index Sep 520 (a) 275 100
S&P 500 Index Sep 530 (a) 140 77
S&P 500 Index Sep 540 (a) 20 16
---------
Total liability for options written
(premiums received $440)** $ 200
---------
---------
<FN>
** At June 30, 1995, United States Treasury Notes valued
at $10,968 were held as collateral by the custodian in
connection with options written by the Fund.
</TABLE>
The accompanying notes are an integral part of the financial statements.
Diversified Equity Fund 9
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $434,814,083)(Note 2) . . . . . . . . . . . . . $ 502,670,406
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130,835
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,574,050
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,090,166
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 782,061
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,215
--------------
513,250,733
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . $ 11,706,101
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . 813,266
Accrued management fees (note 4) . . . . . . . . . . . . . . . . . 317,953
Accrued transfer agent fees (note 4) . . . . . . . . . . . . . . . 16,161
Accrued bookkeeping service fees (note 4). . . . . . . . . . . . . 6,105
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . 137,309
Options written, at market value
(premiums received $439,623)(notes 2 and 3). . . . . . . . . . . . 200,188 13,197,083
-------------- --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 500,053,650
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,069,743
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . 19,673,482
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67,856,416
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 239,436
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131,071
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 410,083,502
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 500,053,650
--------------
--------------
Net asset value, offering and redemption price per share
($500,053,650 divided by 13,107,052 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . $38.15
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,195,075
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . . . . . 765,521
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 318,651
--------------
6,279,247
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,779,435
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 208,142
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . . . 12,431
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . 10,878
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . 24,566
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . 114,265
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,963
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,160 2,163,840
-------------- --------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,115,407
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,349,710
Options written (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,226,014
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,942,330
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,025
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77,536,079
--------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $81,651,486
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Diversified Equity Fund 11
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
INCREASE (DECREASE) IN NET ASSETS (UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . $ 4,115,407 $ 7,002,428
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,349,710 15,198,932
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . 1,226,014 1,794,598
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,942,330 (24,528,128)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . 18,025 (8,888)
------------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . 81,651,486 (541,058)
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . (2,049,437) (7,065,524)
Net realized gain on investments . . . . . . . . . . . . . . . . . . (2,069,558) (21,049,116)
In excess of net realized gain on investments. . . . . . . . . . . . -- (2,943,524)
Increase (decrease) in net assets from Fund share transactions . . . . 8,485,015 57,215,430
------------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . 86,017,506 25,616,208
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . 414,036,144 388,419,936
------------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $2,069,743 and $3,804, respectively) . . . . . . . . . . . . . . $ 500,053,650 $ 414,036,144
------------------- -----------------
------------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1994
-------------------------------- --------------------------------
SHARES AMOUNT SHARES AMOUNT
-------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . 2,413,211 $ 83,483,365 4,843,591 $ 165,116,498
Fund shares issued to shareholders
in reinvestments of distributions. . . . . 81,809 2,800,463 634,408 20,718,465
Fund shares redeemed . . . . . . . . . . . . (2,221,167) (77,798,813) (3,781,553) (128,619,533)
-------------- --------------- -------------- ---------------
Net increase (decrease). . . . . . . . . . . 273,853 $ 8,485,015 1,696,446 $ 57,215,430
-------------- --------------- -------------- ---------------
-------------- --------------- -------------- ---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . $ 32.26 $ 34.88 $ 35.60 $ 36.36 $ 30.66 $ 35.22
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .31 .58 .56 .60 .81 .99
Net realized and unrealized gain (loss) on investments . . 5.89 (.49) 3.03 2.30 8.36 (3.45)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . 6.20 .09 3.59 2.90 9.17 (2.46)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.15) (.58) (.55) (.61) (.82) (.96)
Net realized gain on investments . . . . . . . . . . . . . (.16) (1.87) (3.76) (3.05) (2.65) (1.14)
In excess of net realized gain on investments. . . . . . . -- (.26) -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . (.31) (2.71) (4.31) (3.66) (3.47) (2.10)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $ 38.15 $ 32.26 $ 34.88 $ 35.60 $ 36.36 $ 30.66
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . 19.33 (0.01) 10.53 8.32 31.05 (7.01)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) . . . . . . . .95 .95 .96 .98 .98 1.03
Net investment income to average net assets (b). . . . . . 1.80 1.73 1.54 1.69 2.28 2.97
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . 98.80 57.53 99.80 77.02 116.53 96.90
Net assets, end of period ($000 omitted) . . . . . . . . . 500,054 414,036 388,420 337,549 325,746 251,254
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
</TABLE>
Diversified Equity Fund 13
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
COMMON STOCKS - 88.4%
BASIC INDUSTRIES - 6.2%
ABS Industries, Inc. 16,000 $ 180
AK Steel Holding Corp. (a) 12,000 327
Albemarle Corp. 10,100 158
Allegheny Ludlum Corp. 16,300 322
ASARCO, Inc. 9,300 284
Bio-Rad Laboratories, Inc. Class A (a) 1,300 47
Birmingham Steel Corp. 12,200 226
Cabot Corp. 8,500 448
Cambrex Corp. 6,000 203
Carpenter Technology Corp. 14,600 995
Chaparral Steel Co. 45,500 449
Chesapeake Corp. 4,400 137
Cleveland-Cliffs, Inc. 2,200 85
Commercial Metals Co. 41,766 1,128
Consolidated Papers, Inc. 3,600 207
Cyprus Amax Minerals Co. 25,500 727
Cytec Industries, Inc. (a) 2,900 119
Dexter Corp. 45,000 1,063
Dravo Corp. (a) 25,700 379
Easco, Inc. 10,000 118
Eastern Enterprises, Inc. 2,200 66
Federal Paper Board, Inc. 9,600 340
Ferro Corp. 44,500 1,179
First Brands Corp. 9,200 394
First Mississippi Corp. 8,700 297
Goodrich (B.F.) Co. 6,700 359
Handy & Harman 26,200 406
Hanna (M.A.) Co. 6,300 164
Huntco, Inc. Class A 1,900 31
Insteel Industries, Inc. 13,762 103
J & L Specialty Steel, Inc. 4,600 89
James River Corp. of Virginia 13,200 365
Lukens, Inc. 3,100 100
Magma Copper Co. New (a) 34,000 553
Material Sciences Corp. (a) 1,400 29
Minerals Technologies, Inc. 4,100 148
Mueller Industries, Inc. (a) 3,100 153
N L Industries, Inc. New (a) 3,900 52
New Jersey Steel Corp. (a) 24,000 228
Olin Corp. 7,200 371
Oregon Steel Mills, Inc. 2,700 46
Precision Castparts Corp. 5,800 204
Proler International Corp. (a) 73,500 523
Quanex Corp. 1,800 44
St. Joe Paper Co. 12,000 761
Sterling Chemicals, Inc. 11,600 134
Texas Industries, Inc. 2,200 85
Universal Stainless
& Alloy Products, Inc. (a) 15,500 185
<CAPTION>
MARKET MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Varlen Corp. 1,100 $ 25
Webco Industries, Inc. (a) 18,000 113
Wellman, Inc. 17,900 490
WHX Corp. (a) 54,900 645
Witco Chemical Corp. 7,900 255
Wolverine Tube, Inc. (a) 1,900 61
---------
16,600
---------
CAPITAL GOODS - 9.3%
ABC Rail Products Corp. (a) 18,100 412
Acme-Cleveland Corp. 3,100 73
ADCO Technologies, Inc. 15,000 113
AFC Cable Systems, Inc. (a) 13,000 250
Ag-Chem Equipment Co., Inc. (a) 2,000 195
American Buildings Co. New (a) 8,000 139
American Electronic Components, Inc. (a) 18,000 135
Ametek, Inc. 3,500 63
Apogee Enterprises, Inc. 26,500 464
Aptargroup, Inc. 1,100 35
Arden Industrial Products (a) 15,000 124
Arrow Electronics, Inc. (a) 8,100 403
Atmel Corp. (a) 11,200 620
Baldor Electric Co. 1,600 46
Ball Corp. 10,400 363
Barnes Group, Inc. 1,800 72
Bearings, Inc. 6,400 196
BMC West Corp. (a) 9,000 131
Briggs & Stratton Corp. 8,200 283
Cable Design Technologies Corp. (a) 5,000 103
Cascade Corp. 11,600 180
Case Corp. 11,000 327
Cohu, Inc. 35,800 823
Commercial Intertech Corp. 1,000 16
Core Industries, Inc. 1,000 11
Daniel Industries, Inc. 23,000 362
Defiance, Inc. 25,000 163
Duriron Co., Inc. 55,000 1,238
Eastern Co. 24,400 336
Epic Design Technology, Inc. (a) 1,800 63
Exide Corp. 4,700 202
Farr Co. (a) 19,800 136
Fluke Corp. 1,000 42
Giant Cement Holding, Inc. (a) 12,000 141
Graco, Inc. 29,300 787
Harman International Industries, Inc. 14,300 579
Harmon Industries, Inc. 8,000 132
Harnischfeger Industries, Inc. 12,200 422
Harsco Corp. 4,400 232
</TABLE>
Special Growth Fund 15
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Heist (C.H.) Corp. (a) 32,200 $ 262
Hurco Cos., Inc. (a) 30,700 111
IDEX Corp. 34,000 1,139
II-VI, Inc. 1,400 39
Insituform Mid-America, Inc. 8,900 129
Inverpower Controls, Ltd. (a) 21,000 199
Itel Corp. New (a) 2,300 90
JLG Industries, Inc. 5,500 142
Kaydon Corp. 1,000 30
Kennametal, Inc. 8,700 307
Kent Electronics Corp. (a) 1,300 49
Keystone International, Inc. 3,200 63
Litton Industries, Inc. (a) 8,100 299
Measurex Corp. 9,100 276
Megatest Corp. (a) 51,500 676
Molex, Inc. 16,275 627
Monarch Machine Tool Co. 44,000 429
Morrison Knudsen Corp. 17,500 118
National Service Industries, Inc. 39,400 1,138
NCI Building Systems, Inc. (a) 10,500 168
Outboard Marine Corp. 6,000 118
Plantronics, Inc. New (a) 8,000 214
Powell Industries, Inc. (a) 22,000 138
Raychem Corp. 4,900 188
Regal-Beloit Corp. 900 14
Reptron Electronics, Inc. (a) 12,000 186
Sanifill, Inc. (a) 24,600 772
Shelter Components Corp. 12,850 151
SIFCO Industries (a) 88,000 384
SPS Technologies, Inc. (a) 14,200 533
Symmetricom, Inc. (a) 3,000 64
Tecumseh Products Co. Class A 26,600 1,156
Tecumseh Products Co. Class B 4,000 169
TETRA Technologies, Inc. New (a) 31,500 558
Timken Co. 33,100 1,527
TRINOVA Corp. 5,000 175
United Waste Systems, Inc. (a) 23,600 838
Varity Corp. New (a) 8,000 352
York International Corp. 3,100 140
Zurn Industries, Inc. 33,000 660
---------
25,040
---------
CONSUMER BASICS - 13.4%
A. L. Laboratories, Inc. Class A 10,000 188
Advocat, Inc. (a) 10,000 111
Airgas, Inc. (a) 28,000 753
American Medical Response (a) 8,300 232
American Oncology Resources, Inc. 13,200 366
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
AMSCO International, Inc. (a) 6,000 $ 83
Bergen Brunswig Corp. Class A 8,900 204
Bindley Western Industries, Inc. 1,500 24
Biogen, Inc. (a) 28,900 1,286
Bush Boake Allen, Inc. (a) 900 27
Caretenders Healthcorp (a) 16,000 92
Casey's General Stores, Inc. 25,000 441
Central Sprinkler Corp. (a) 7,000 165
Church and Dwight Co., Inc. 44,100 915
CNS, Inc. (a) 3,800 63
Coca-Cola Bottling Co. 21,000 651
Collagen Corp. 9,500 159
Community Health Systems, Inc. (a) 4,400 149
Community Psychiatric Centers 8,600 97
Dean Foods Co. 5,600 157
Dekalb Genetics Corp. Class B 1,200 53
Dimon, Inc. 6,000 101
Duckwall-ALCO Stores, Inc. New (a) 17,200 159
Dura Pharmaceuticals, Inc. 4,600 85
FHP International Corp. (a) 8,300 191
Fleming Cos., Inc. 9,100 241
Flowers Industries, Inc. 62,200 1,228
FoxMeyer Health Corp. (a) 3,500 63
FPA Medical Management, Inc. (a) 15,000 150
Frame Technology Corp. (a) 23,500 682
General Nutrition Companies, Inc. (a) 28,800 994
Genesis Health Ventures, Inc. (a) 16,700 495
Giant Food, Inc. Class A 43,000 1,220
Gilead Sciences, Inc. (a) 4,100 72
GranCare, Inc. (a) 8,000 129
Grist Mill Co. New (a) 1,800 20
Health Care & Retirement Corp. (a) 16,900 494
Health Power, Inc. (a) 9,000 135
Healthdyne Technologies, Inc. (a) 11,062 113
Healthdyne, Inc. (a) 32,000 136
Healthsource, Inc. (a) 35,900 1,257
Heart Technology, Inc. (a) 17,500 335
Horizon Healthcare Corp. (a) 12,400 222
Hormel (George A.) & Co. 5,000 131
Hudson Foods, Inc. 3,700 51
IBP, Inc. 9,200 400
Immucor Corp. (a) 5,000 46
Integrated Health Services, Inc. 8,800 264
International Multifoods Corp. 2,200 50
Interstate Bakeries Corp. 2,300 38
Ionics, Inc. (a) 2,700 94
Isolyser, Inc. (a) 15,200 540
Isomedix, Inc. (a) 10,200 138
Lance, Inc. 35,000 639
</TABLE>
16 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Living Centers of America, Inc. (a) 4,300 $ 117
Mariner Health Group, Inc. (a) 2,300 25
Marsam Pharmaceuticals, Inc. (a) 10,000 188
McCormick & Co., Inc. 48,500 1,043
Mine Safety Appliances Co. 11,000 558
Minntech Corp. 9,000 124
Multicare Cos., Inc. (a) 9,000 156
Mylan Laboratories, Inc. 12,500 384
Nature's Sunshine Products, Inc. 13,566 207
NBTY, Inc. (a) 20,000 128
Nellcor, Inc. 5,100 226
Northland Cranberries, Inc. Class A (a) 7,000 100
Omnicare, Inc. 5,000 136
Outback Steakhouse, Inc. (a) 24,300 702
Oxford Health Plans, Inc. (a) 24,900 1,164
Pacific Physician Services, Inc. (a) 37,800 473
Pharmaceutical Resources, Inc. (a) 2,000 21
PhyCor, Inc. (a) 21,250 744
Physicians Health Services, Inc.
Class A (a) 5,200 138
Prime Hospitality Corp. (a) 37,200 367
Protocol Systems, Inc. (a) 14,000 137
Pure Pac (a) 16,000 160
Puritan-Bennett Corp. 9,400 361
Regency Health Services, Inc. (a) 13,360 140
Respironics, Inc. 12,000 165
Ruddick Corp. 43,000 892
Safety 1st, Inc. (a) 6,800 133
Salick Health Care, Inc. (a) 2,500 91
Schultz Sav-O Stores, Inc. 22,500 489
Sierra Health Services, Inc. (a) 11,200 274
Smucker (J.M.) Co. 20,000 443
Smucker (J.M.) Co. Class B 22,000 443
Snap-On Tools Corp. 1,600 62
Sofamor/Danek Group, Inc. (a) 4,700 106
Standard Commercial Corp. 8,756 129
Stanhome, Inc. 31,500 1,040
Starbucks Corp. (a) 52,500 1,857
Starrett (L.S.) Co. Class A 21,100 477
Strategic Distribution, Inc. (a) 35,000 147
Sun Healthcare Group, Inc. (a) 8,900 139
Sunrise Medical, Inc. (a) 3,600 111
Surgical Care Affiliates, Inc. 32,900 628
U.S. Bioscience, Inc. (a) 267 1
U.S. Bioscience, Inc. 1998 Warrants (a) 799 1
United American Healthcare Corp. (a) 2,200 38
Universal Corp. 7,600 159
Universal Foods Corp. 42,700 1,381
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Universal Health Services, Inc. Class B (a) 3,400 $ 98
Utah Medical Products (a) 17,000 207
Value Health, Inc. (a) 8,800 284
Vencor, Inc. (a) 6,600 208
Vertex Pharmaceuticals, Inc. (a) 1,400 23
Vivra, Inc. (a) 4,400 119
Watson Pharmaceuticals, Inc. (a) 7,700 298
Whitman Corp. 11,100 215
Whole Foods Market, Inc. 28,300 432
---------
36,018
---------
CONSUMER DURABLES - 3.1%
Arrow Automotive Industries, Inc. (a) 44,000 253
Arvin Industries, Inc. 3,900 87
Borg Warner Automotive, Inc. 3,200 91
Cavalier Homes, Inc. 14,000 165
Coast Distribution Systems (a) 17,300 121
Danaher Corp. 1,600 48
Detroit Diesel Corp. (a) 1,900 40
Discount Auto Parts, Inc. (a) 600 15
Donaldson Co., Inc. 4,000 105
Echlin, Inc. 9,800 341
Excel Industries, Inc. 7,000 102
Federal-Mogul Corp. 23,800 434
Fleetwood Enterprises, Inc. 600 12
Flexsteel Industries, Inc. 27,112 278
International Jensen, Inc. (a) 14,000 95
Kinetic Concepts, Inc. 28,000 193
La-Z-Boy Chair Co. 34,500 910
Lear Seating Corp. (a) 3,100 71
Levitz Furniture, Inc. (a) 76,800 538
Lund International Holdings, Inc. (a) 1,400 28
Modine Manufacturing Co. 2,000 74
National Presto Industries, Inc. 1,000 45
PRI Automation, Inc. (a) 1,400 46
Pronet, Inc. (a) 10,000 201
Schult Homes Corp. 12,000 137
Simpson Industries, Inc. 12,000 132
Skyline Corp. 3,000 54
Smith (A. O.) Corp. 76,100 1,788
Superior Industries International, Inc 10,400 324
Titan Wheel International, Inc. 4,600 117
Toro Co. 2,200 61
Wabash National Corp. 8,500 264
West, Inc. 36,500 1,022
Winnebago Industries, Inc. 3,400 30
Wynn's International, Inc. 6,000 140
---------
8,362
---------
</TABLE>
Special Growth Fund 17
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
CONSUMER NON-DURABLES - 6.7%
American Safety Razor Co. (a) 12,000 $ 141
Angelica Corp. 1,000 25
Authentic Fitness Corp. (a) 1,400 23
Baby Superstore, Inc. (a) 12,100 569
Barnes & Noble, Inc. (a) 8,200 279
Block Drug Co., Inc. Class A 13,350 451
Brown Group, Inc. 39,000 887
Caldor Corp. (a) 24,500 438
Chic By H.I.S., Inc. (a) 1,800 20
Claire's Stores, Inc. 28,900 524
Coleman Co., Inc. (a) 1,100 39
CompUSA, Inc. (a) 7,800 259
Consolidated Stores Corp. (a) 10,300 215
CPI Corp. 500 10
Danskin, Inc. (a) 45,000 129
Deckers Outdoor Corp. (a) 12,200 124
Department 56, Inc. (a) 2,500 96
Dollar General Corp. 36,581 1,157
Fieldcrest Cannon, Inc. (a) 27,500 595
First Team Sports, Inc. (a) 1,300 30
Guilford Mills, Inc. 36,000 878
Haggar Corp. 30,100 564
Helene Curtis Industries, Inc. 1,000 29
Home Depot, Inc. (The) 24,506 996
Huffy Corp. 1,500 20
Innovex, Inc. 1,800 24
Jean Phillippe Fragrances, Inc. New (a) 10,000 106
Johnston Industries, Inc. 30,500 240
Jos. A. Bank Clothiers, Inc. (a) 60,000 150
Kenneth Cole Productions, Inc. Class A (a) 4,400 147
Leslie's Poolmart (a) 10,000 145
Little Switzerland, Inc. (a) 30,000 120
Meyer (Fred), Inc. (a) 21,000 570
MHI Group, Inc. New (a) 17,000 123
Musicland Stores Corp. (a) 6,400 66
Nautica Enterprises, Inc. (a) 15,800 565
Nine West Group, Inc. (a) 17,500 639
North American Watch Corp. 45,000 624
Nutramax Products, Inc. New (a) 20,000 155
Office Depot, Inc. (a) 22,725 639
Paragon Trade Brands, Inc. (a) 2,800 40
PeopleSoft, Inc. (a) 13,100 704
Petco Animal Supplies, Inc. (a) 19,100 435
PETsMART, Inc. (a) 48,200 1,386
Quaker Fabric Corp. New (a) 5,000 39
Rayonier, Inc. 7,900 280
Russ Berrie & Co., Inc. 1,300 18
Score Board, Inc. (a) 30,000 173
Shopko Stores, Inc. 2,700 29
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Sport Supply Group, Inc. 12,000 $ 150
Springs Industries, Inc. 2,100 78
St. John Knits, Inc. 3,500 157
Stride Rite Corp. 8,500 87
Systemed, Inc. (a) 30,000 202
Tranzonic Cos. Class B 24,200 338
Tuesday Morning, Inc. 20,000 109
United Retail Group, Inc. (a) 12,000 83
VWR Corp. 21,814 207
Waban, Inc. (a) 37,300 555
Wolverine World Wide, Inc. 3,150 65
---------
17,946
---------
CONSUMER SERVICES - 3.4%
Airport Systems International, Inc. (a) 26,800 134
Amtran, Inc. (a) 16,000 180
Applebee's International, Inc. 49,400 1,266
Boston Chicken, Inc. (a) 47,300 1,141
Cobra Golf, Inc. (a) 4,000 126
Equity Inns, Inc. 14,000 151
Falcon Cable Systems Co. L.P. 53,700 477
GC Companies, Inc. (a) 700 23
Golf Enterprises, Inc. (a) 14,000 172
Grand Casinos, Inc. (a) 9,100 322
Great Lakes Aviation, Ltd. (a) 26,000 163
Hospitality Franchise Systems, Inc. (a) 10,200 353
La Quinta Motor Inns, Inc. 29,000 783
Landry's Seafood Restaurants, Inc. (a) 23,800 476
Max & Erma's Restaurants, Inc. (a) 19,800 153
Mesa Airlines, Inc. (a) 7,800 71
Monterey Pasta Co. (a) 18,000 92
O'Charleys, Inc. (a) 5,000 63
Old Dominion Freight Lines, Inc. (a) 8,000 96
Pacific Rehabilitation & Sport (a) 18,000 176
Papa Johns International, Inc. (a) 24,300 838
Pollo Tropical, Inc. (a) 12,000 96
Quality Dining, Inc. (a) 15,200 243
Rock Bottom Restaurants, Inc. (a) 15,600 445
Ryan's Family Steak Houses, Inc. (a) 71,000 550
ShoLodge, Inc. (a) 12,333 175
Studio Plus America, Inc. 4,800 77
Supertel Hospitality, Inc. (a) 12,000 156
WMS Industries, Inc. (a) 9,000 177
---------
9,175
---------
ENERGY - 4.4%
Alamco, Inc. (a) 8,000 62
</TABLE>
18 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Alexander Energy Corp. (a) 25,000 $ 102
Apache Corp. 9,100 249
Arch Petroleum, Inc. New (a) 61,800 155
Barrett Resources Corp. (a) 2,200 51
Basin Exploration, Inc. (a) 49,000 288
Belden & Blake Corp. (a) 8,500 134
Berry Petroleum Co. Class A 54,200 528
Camco International, Inc. 3,200 75
Cliffs Drilling Co. (a) 9,000 124
Coho Energy, Inc. (a) 104,480 522
Cross Timbers Oil Co. 43,500 691
Crown Centennial Petroleum Co.
Class B (a) 36,600 549
Diamond Shamrock, Inc. 18,900 487
Digicon, Inc. New (a) 29,333 172
Dual Drilling Co. (a) 8,000 77
Energen Corp. 1,900 41
Equity Oil Co. (a) 96,000 384
Foreland Corp. (a) 41,000 82
Global Industries, Inc. (a) 6,000 129
Harcor Energy, Inc. New (a) 38,000 105
Helmerich & Payne, Inc. 3,000 89
ICO, Inc. New (a) 30,000 169
Indresco, Inc. (a) 4,400 68
Key Production, Inc. (a) 10,000 54
LTV Corp. New (a) 33,200 486
Maynard Oil Co. (a) 90,500 520
Mitchell Energy & Development Corp. 4,100 73
Newfield Exploration Co. (a) 1,000 28
Newpark Resources, Inc. New (a) 9,000 182
Noble Drilling Corp. (a) 110,000 784
Nuevo Energy Co. (a) 1,400 28
Parker & Parsley Petroleum Co. 25,000 491
Plains Petroleum Co. 23,300 690
Production Operators Corp. 6,000 189
Quaker State Oil Refining Corp. 3,900 59
Smith International, Inc. 37,100 621
Sonat Offshore Drilling, Inc. 4,200 121
Toreador Royalty Corp. 20,000 55
Ultramar Corp. 23,500 592
Union Texas Petroleum Holdings, Inc. 15,000 316
USX-Delhi Group 3,100 35
Valero Energy Corp. 30,000 608
Weatherford International, Inc. (a) 20,900 264
Wiser Oil Co. 34,000 463
---------
11,992
---------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
FINANCE - 9.5%
Abington Savings Bank 4,200 $ 62
AlBank Financial Corp. 7,000 183
Alexander & Alexander Services, Inc. 3,500 84
Allmerica Property & Casualty Cos. 34,000 752
Amcast Industrial Corp. 1,300 25
American Financial Group, Inc. 3,200 83
American Travellars Corp. (a) 38,400 672
Amfed Financial, Inc. 1,000 24
AMRESCO, Inc. 12,500 109
AmSouth Bancorp 8,300 271
Astoria Financial Corp. (a) 2,800 100
AT&T Capital Corp. 1,400 37
AVEMCO Corp. 33,000 573
Avondale Financial Corp. (a) 10,000 129
Bankers Corp. 10,800 176
Bay View Capital Corp. 1,100 29
Bell Bancorp 7,100 201
BHC Financial, Inc. 14,000 224
Brooklyn Bancorp, Inc. (a) 1,200 40
California Federal Bank (a) 9,300 122
CDI Corp. (a) 2,800 57
Centura Banks, Inc. 1,200 33
CFI ProServices, Inc. (a) 14,000 193
CitiFed Bancorp, Inc. 6,000 161
CMAC Investment Corp. 2,700 117
Coast Savings Financial, Inc. (a) 7,500 155
Colonial BancGroup, Inc. 29,500 811
Compass Bancshares, Inc. 21,000 599
Corporate Express, Inc. (a) 51,900 1,109
Countrywide Credit Industries, Inc. 8,900 187
Credit Acceptance Corp. (a) 35,300 724
CSB Financial Corp. 10,000 158
CSF Holdings, Inc. (a) 1,250 36
Financial Fed Corp. (a) 9,000 159
FINOVA Group, Inc. 4,100 144
First American Financial Corp. 1,300 30
First Colony Corp. 3,000 72
First Commerce Corp. 24,000 702
First Financial Caribbean Corp. 10,000 148
First Mortgage Corp. (a) 30,000 135
First Palm Beach Bancorp, Inc. 1,400 31
First Republic Bancorp, Inc. (a) 14,000 179
First Tennessee National Corp. 16,000 740
Fremont General Corp. 29,850 720
Glendale Federal Savings Bank New (a) 16,900 211
Great Financial Corp. 2,200 41
Greenpoint Financial Corp. 9,300 219
</TABLE>
Special Growth Fund 19
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Haven Bancorp (a) 4,600 $ 84
Horace Mann Educators Corp. 1,200 28
Imperial Credit Industries, Inc. (a) 9,928 123
JSB Financial, Inc. 1,500 43
Keystone Financial, Inc. 32,450 905
Litchfield Financial Corp. 15,750 205
Mercantile Bancorp, Inc. 3,300 148
Mercury Finance Corp. 33,900 653
Midlantic Corp. 13,500 537
North American Mortgage Co. 7,600 176
NS Bancorp, Inc. 5,000 155
Ohio Casualty Corp. 17,000 536
Old Kent Financial Corp. 20,000 680
Olympic Financial, Ltd. 4,900 81
One Valley Bancorp of West Virginia, Inc. 24,500 747
Orion Capital Corp. 4,200 164
Pace American Group, Inc. (a) 25,000 3
Paul Revere Corp. 1,000 17
PennCorp Financial Group, Inc. 2,100 39
Peoples Heritage Financial Group 21,200 318
Queens County Bancorp 7,000 222
Raymond James Financial, Inc. 1,500 29
Regional Acceptance Corp. (a) 10,000 178
Reliance Bancorp, Inc. 3,800 54
Reliastar Financial Corp. 12,900 493
Resource Bancshares Mortgage Group (a) 15,280 183
Security Capital Corp. (a) 1,000 49
Standard Federal Bancorporation 6,100 205
Standard Financial, Inc. (a) 4,300 56
State Auto Financial Corp. 8,000 150
Storage Equities, Inc. 37,200 609
T R Financial Corp. 2,000 36
Transatlantic Holdings, Inc. 2,400 156
Transnational Re Corp. Class A 27,000 540
Union Bank 1,200 50
Union Planters Corp. 31,350 838
United Fire & Casualty Co. 19,300 525
US Facilities Corp. 30,100 481
USF & G Corp. 41,100 667
Vesta Insurance Group, Inc. 12,500 429
Washington National Corp. 1,400 29
West One Bancorp 22,200 735
Westco Bancorp, Inc. 5,000 111
Westcorp, Inc. 9,230 144
Zenith National Insurance Corp. 25,500 548
Zions Bancorp 14,500 718
---------
25,644
<CAPTION> ---------
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
General Business - 8.5%
AccuStaff, Inc. (a) 1,200 $ 26
Active Voice Corp. (a) 800 22
Advo Systems, Inc. 1,900 36
American Business Information, Inc. (a) 6,000 162
American City Business Journals, Inc. (a) 10,500 215
Ascend Communications, Inc. 4,900 247
BISYS Group, Inc. New (a) 6,000 132
Cascade Communications Corp. (a) 9,200 396
Catalina Marketing Corp. (a) 1,300 70
Central Newspapers, Inc. Class A 23,500 696
Childrens Comprehensive Services (a) 50,000 113
CIDCO, Inc. (a) 18,700 587
Coherent Communications Systems Corp. (a) 3,600 60
Comarco, Inc. (a) 22,000 201
Communications Central, Inc. (a) 20,000 175
Comnet Cellular, Inc. (a) 5,000 140
Corrections Corp. America (a) 2,400 83
Crawford & Co. 2,500 42
Duplex Products, Inc. (a) 42,500 353
Educational Insights, Inc. (a) 20,000 110
Effective Management Systems, Inc. (a) 20,000 130
Ennis Business Forms, Inc. 36,050 446
FIserv, Inc. (a) 22,600 627
Franklin Quest Co. (a) 12,200 293
General Communication, Inc. Class A (a) 30,000 120
Grey Advertising 4,200 773
Gymboree Corp. (a) 27,600 800
Houghton Mifflin Co. 3,900 206
Hunt Manufacturing Co. 58,500 892
Jones Intercable, Inc. Class A (a) 40,000 595
Kronos, Inc. (a) 6,700 248
Lee Enterprises, Inc. 18,500 705
LIN Broadcasting Corp. (a) 5,814 735
Macromedia, Inc. (a) 6,500 281
Manpower, Inc. 13,300 339
McClatchy Newspapers, Inc. Class A 29,500 653
McGrath RentCorp 9,000 151
Media General, Inc. Class A 29,500 922
Mobile Telecommunication
Technologies Corp. (a) 57,200 1,559
Multimedia, Inc. New (a) 23,500 908
NETCOM On-line Communication
Services, Inc. (a) 6,700 171
Olsten Corp. 7,700 252
Ortel Corp. (a) 3,700 54
Paging Network, Inc. (a) 22,650 764
Paychex, Inc. 14,750 535
PC Service Source, Inc. (a) 15,000 146
QUALCOMM, Inc. (a) 10,800 373
</TABLE>
20 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
QuickResponse Services, Inc. (a) 20,400 $ 464
Robert Half International, Inc. (a) 31,000 794
Saga Communications Class A (a) 9,000 187
Serv-Tech, Inc. (a) 18,000 124
SFX Broadcasting, Inc. Class A (a) 8,000 210
Spelling Entertainment Group, Inc. 2,400 23
SPS Transaction Services, Inc. (a) 1,600 55
Steris Corp. (a) 4,400 211
Stewart Enterprises, Inc. Class A 10,700 358
StrataCom, Inc. (a) 5,900 286
Systems & Computer Technology Corp. (a) 8,000 158
TRM Copy Centers Corp. (a) 30,000 188
True North Communications, Inc. 11,000 208
U.S. Delivery Systems, Inc. (a) 3,300 87
United Video Satellite Group Class A (a) 1,000 29
Vanguard Cellular Systems, Inc. Class A (a) 45,300 1,087
Viking Office Products, Inc. (a) 15,000 548
Wackenhut Corp. 10,000 149
Wackenhut Corp. Class B 2,500 30
Wackenhut Corrections Corp. (a) 1,800 40
Wallace Computer Services, Inc. 2,300 88
---------
22,868
---------
MISCELLANEOUS - 3.4%
Associated Group, Inc. Class B (a) 30,000 533
Chris Craft Industries, Inc. (a) 28,079 983
Citation Corp. (a) 10,000 150
Crawford & Co. Class A 16,000 276
Daig Corp. 16,200 288
Delrina Corp. (a) 42,700 576
Duke Realty Investments, Inc. 24,500 692
Eckerd Corp. (a) 26,000 832
Fiberstars, Inc. (a) 23,000 101
Fibreboard Corp. New (a) 1,600 38
FRP Properties, Inc. (a) 9,000 189
Geon Co. 5,200 150
Griffon Corp. (a) 66,000 528
Grupo Iusacell SA de CV - ADR
Series L (a) 28,980 348
Gyrodyne Co. of America, Inc. (a) 4,975 76
Ha-Lo Industries, Inc. (a) 20,000 205
Hirsch International Group Class A (a) 12,750 194
ITT Educational Services, Inc. (a) 9,000 153
Jabil Circuit, Inc. (a) 20,000 155
Landair Services, Inc. (a) 10,700 142
M.D.C. Holdings, Inc. 15,000 94
Mark VII, Inc. (a) 9,000 147
Mercer International, Inc. (a) 3,000 63
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Miller Industries, Inc. (a) 10,000 $ 170
Model Imperial, Inc. (a) 20,000 128
National Wireless Holdings, Inc. (a) 10,000 135
NN Ball & Roller, Inc. 12,000 213
NUMAR Corp. (a) 6,000 62
Old Lyme Holding Corp. 15,000 131
PXRE Corp. 26,000 608
Storage Trust Realty 17,000 344
Supreme Industries, Inc. Class A (a) 20,000 174
Texoil, Inc. (a) 65,000 105
Tripos, Inc. 8,666 50
Weeks Corporation 8,700 218
---------
9,251
---------
SHELTER - 1.0%
American Woodmark Corp. (a) 29,700 152
Butler Manufacturing Co. 1,000 42
Cameron Ashley, Inc. (a) 15,000 191
Champion Enterprises, Inc. (a) 2,400 38
Elcor Chemical Corp. (a) 1,500 33
Fastenal Co. 15,500 422
Granite Construction, Inc. 4,900 108
Lone Star Industries, Inc. 7,000 151
Oriole Homes Corp. Class B 37,600 263
Ryland Group, Inc. 28,400 458
Smith (Charles E.) Residential Realty, Inc. 27,500 653
Southdown, Inc. (a) 3,900 75
Vulcan Materials Co. 2,600 142
---------
2,728
---------
TECHNOLOGY - 15.3%
ACX Technologies, Inc. (a) 1,800 74
Adaptec, Inc. (a) 10,000 368
ADC Telecommunications, Inc. (a) 36,500 1,296
Affiliated Computer Services, Inc.
Class A (a) 1,300 39
Allen Group, Inc. (The) 4,800 142
Alpha Industries, Inc. (a) 1,900 27
Altera Corp. (a) 3,600 156
Amphenol Corp. Class A (a) 4,000 117
Amplicon, Inc. 9,000 142
Analog Devices, Inc. (a) 24,800 843
Aspen Technology, Inc. (a) 6,500 161
Atria Software, Inc. (a) 9,800 473
Augat, Inc. 5,400 111
Autodesk, Inc. 15,200 646
Avnet, Inc. 7,700 372
</TABLE>
Special Growth Fund 21
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Baan Co. NV (a) 15,400 $ 474
Beckman Instruments, Inc. 1,100 31
Bell Industries (a) 34,696 742
BI Incorporated Co. New (a) 24,000 156
BMC Industries, Inc. 2,100 53
BMC Software, Inc. (a) 6,400 491
Boole & Babbage, Inc. (a) 5,000 150
Breed Technologies, Inc. 6,300 151
Brite Voice Systems, Inc. (a) 30,700 545
Broderbund Software, Inc. (a) 10,100 641
Brooktree Corp. NPV (a) 3,600 61
Brooktrout Technology, Inc. (a) 1,400 20
Burr-Brown Corp. (a) 3,000 80
Checkmate Electronics, Inc. New (a) 16,000 180
Cheyenne Software, Inc. (a) 8,000 148
Clinicom, Inc. (a) 2,100 34
Colonial Data Technologies (a) 2,600 49
Comverse Technology, Inc. New (a) 14,700 261
Consilium, Inc. (a) 15,700 153
Control Data Systems, Inc. (a) 2,400 21
Corrpro Cos, Inc. (a) 1,200 8
Crosscomm Corp. (a) 1,900 21
CyCare Systems, Inc. (a) 1,300 35
Cypress Semiconductor Corp. (a) 27,100 1,098
Dallas Semiconductor Corp. 5,100 105
Data Transmission Network Corp. (a) 6,000 153
Destec Energy, Inc. (a) 2,900 37
DH Technology, Inc. (a) 7,000 191
Dynamics Research Corp. (a) 64,350 338
Edmark Corp. New (a) 1,000 40
EG&G, Inc. 66,500 1,114
Electroglas, Inc. (a) 1,900 109
Electromagnetic Sciences, Inc. (a) 10,000 151
Electronics For Imaging, Inc. (a) 2,400 125
Esterline Corp. (a) 2,200 50
Evans & Sutherland Computer Corp. (a) 26,000 397
EXECUTONE Information
Systems, Inc. (a) 47,000 126
FileNet Corp. (a) 21,500 865
FORE Systems (a) 20,400 607
FTP Software, Inc. (a) 29,100 873
Fusion Systems Corp. (a) 2,200 74
Future Now, Inc. (a) 20,000 145
Gerber Scientific, Inc. 50,000 838
Glenayre Technologies, Inc. (a) 26,050 1,329
GTI Corp. (a) 7,000 130
Hadco Corp. (a) 33,500 825
HBO & Co. 19,100 1,041
Helix Technology Corp. 4,000 172
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Hello Direct, Inc. (a) 12,000 $ 180
Hyperion Software Corp. (a) 12,000 540
Informix Corp. (a) 19,600 495
Input/Output, Inc. (a) 23,400 842
Integrated Silicon Systems, Inc. 5,500 205
Intelligent Electronics, Inc. 9,000 122
International Rectifier Corp. (a) 5,100 166
Intuit, Inc. (a) 5,000 380
KLA Instruments Corp. (a) 6,500 502
Kulicke & Soffa Industries, Inc. (a) 3,700 245
Lattice Semiconductor Corp. (a) 7,900 272
Liberty Technologies, Inc. (a) 35,000 193
Linear Technology Corp. 9,800 642
Loronix Information Systems, Inc. (a) 30,400 137
M-Wave, Inc. (a) 11,100 191
MapInfo Corp. (a) 1,200 42
Marcam Corp. (a) 9,000 119
Marshall Industries (a) 1,200 40
Merisel, Inc. (a) 17,000 125
Merix Corp. (a) 1,500 45
Metrologic Instruments, Inc. (a) 15,000 124
Microchip Technology, Inc. (a) 22,200 805
Microsoft Corp. (a) 14,750 1,333
Molex, Inc. Class A 1,125 41
National Semiconductor Corp. (a) 35,500 985
Network General Corp. (a) 20,400 556
OEA, Inc. 4,000 119
Oracle Systems Corp. (a) 30,950 1,192
Orbit Semiconductor, Inc. (a) 11,200 232
Pacific Scientific Co. 2,900 52
Parametric Technology Corp. (a) 17,300 856
Photronics, Inc. (a) 2,200 67
Pittway Corp. Class A 32,078 1,468
Planar Systems, Inc. (a) 2,200 48
Policy Management Systems Corp. (a) 2,900 133
Project Software & Development, Inc. (a) 1,000 30
Pyxis Corp. (a) 20,400 459
Softkey International, Inc. (a) 2,700 85
Software Professionals, Inc. (a) 23,000 72
Software Spectrum, Inc. (a) 9,000 185
Solectron Corp. (a) 9,200 315
SPSS, Inc. (a) 1,900 30
Structural Dynamics Research Corp. (a) 5,900 78
Tech-Sym Corp. (a) 20,500 563
Tellabs, Inc. (a) 43,100 2,070
Tencor Instruments (a) 6,000 242
Teradyne, Inc. (a) 5,200 339
Thermo Instrument Systems, Inc. (a) 2,200 53
Three-Five Systems, Inc. 3,000 102
</TABLE>
22 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
U.S. Robotics Corp. (a) 1,900 $ 205
UUNET Technologies, Inc. (a) 2,500 67
Varian Associates, Inc. 4,800 264
Veritas Software Corp. (a) 2,000 43
Walker Interactive Systems (a) 24,000 137
Watkins-Johnson Co. 14,600 649
Wave Technologies International, Inc. (a) 18,000 143
Westcott Communications, Inc. (a) 10,000 174
Wind River Systems, Inc. (a) 3,000 36
Wyle Laboratories 19,000 533
Zebra Technologies Corp. Class A (a) 6,800 360
---------
41,133
TRANSPORTATION - 1.7% ---------
Air Express International Corp. 9,000 212
Alexander & Baldwin, Inc. 25,000 556
Consolidated Freightways, Inc. 8,100 179
Covenant Transport, Inc. Class A (a) 29,700 371
Hornbeck Offshore Services, Inc. (a) 10,000 155
Illinois Central Corp. 5,200 179
Knight Transportation, Inc. (a) 12,000 156
Landstar Systems, Inc. (a) 14,600 372
Liqui-Box Corp. 5,000 160
M.S. Carriers, Inc. (a) 6,000 110
MTL, Inc. (a) 46,500 628
Navistar International Corp. 14,300 216
Overseas Shipholding Group, Inc. 36,400 755
Transport Corp. of America 16,000 168
Trinity Industries, Inc. 8,400 279
U.S. Xpress Enterprises, Inc. Class A (a) 15,000 123
---------
4,619
---------
UTILITIES - 2.5%
Airtouch Communications, Inc. (a) 42,400 1,208
American Water Works, Inc. 2,000 64
Cellular Communications
of Puerto Rico, Inc. (a) 24,066 728
Cellular Communications, Inc.
Series A New (a) 13,700 617
Centennial Cellular Corp. Class A (a) 43,000 715
Central Maine Power Co. 5,400 64
Century Telephone Enterprises, Inc. 28,300 803
CILCORP, Inc. 1,000 36
Cincinnati Bell, Inc. 14,800 374
Columbia Gas System, Inc. (a) 9,100 289
Frontier Corp. 11,100 266
Hawaiian Electric Industries, Inc. 7,800 284
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Pennsylvania Enterprises, Inc. 700 $ 22
Pinnacle West Capital Corp. 15,500 380
Primark Corp. 1,800 32
United States Cellular Corp. (a) 28,600 864
---------
6,746
---------
TOTAL COMMON STOCKS
(cost $205,522) 238,122
---------
CONVERTIBLE PREFERRED STOCKS - 0.1%
AGCO Corp. 2,000 140
---------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $116) 140
---------
Options - 0.5%
Russell 2000-registered trademark- Index Sep 270 Call (a) 525 952
S & P 500 Index Sep 500 Call (a) 10 48
S & P 500 Index Sep 520 Call (a) 80 242
S & P 500 Index Sep 530 Call (a) 70 155
S & P 500 Index Sep 540 Call (a) 30 44
---------
TOTAL OPTIONS
(cost $1,089) 1,441
---------
Principal
Amount
(000)
---------
LONG-TERM INVESTMENTS - 0.2%
Ben Franklin Retail Stores, Inc. (conv.)
7.500% due 06/01/03 $200 163
Cellular, Inc. (conv.)
6.750% due 07/15/09 150 153
Genesis Health Ventures, Inc. (conv.)
6.000% due 11/30/03 100 130
---------
TOTAL LONG-TERM INVESTMENTS
(cost $406) 446
---------
SHORT-TERM INVESTMENTS - 11.5%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 21,998 21,998
United States Treasury Notes
8.875% due 07/15/95 (b)(d) 4,500 4,505
4.250% due 12/31/95 (d) 4,500 4,469
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $30,958) 30,972
---------
</TABLE>
Special Growth Fund 23
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
---------
<S> <C> <C>
TOTAL INVESTMENTS
(identified cost $238,091)(c) - 100.7% $ 271,121
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (0.7%) (1,785)
---------
NET ASSETS - 100.0% $ 269,336
---------
---------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995 the cost for federal income tax purposes
was $238,074 and net unrealized appreciation for all securities
was $33,047 . This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $42,099 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $9,052.
(d) Held as collateral by the custodian in connection with
options written by the Fund.
* Number of contracts.
</TABLE>
OPTIONS WRITTEN
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
CONTRACTS (000)
--------- ---------
<S> <C> <C>
PUT OPTIONS (Note 2)
Russell 2000-Registered Trademark- Index Sep 270 (a) 525 $ 131
S&P 500 Index Sep 500 (a) 10 2
S&P 500 Index Sep 520 (a) 80 29
S&P 500 Index Sep 530 (a) 70 39
S&P 500 Index Sep 540 (a) 30 24
---------
Total liability for options written
(premiums received $398)** $ 225
---------
---------
<FN>
** At June 30, 1995, United States Treasury Notes valued
at $8,974 were held as collateral by the custodian in
connection with options written by the Fund.
</TABLE>
The accompanying notes are an integral part of the financial statements.
24 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $238,090,647)(Note 2) . . . . . . . . . . . . . $ 271,120,948
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,854
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 645,529
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,924,874
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 660,824
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,426
--------------
274,357,455
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . $ 4,046,903
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . 441,156
Accrued management fees (Note 4) . . . . . . . . . . . . . . . . . 206,184
Accrued transfer agent fees (Note 4) . . . . . . . . . . . . . . . 5,505
Accrued bookkeeping service fees (Note 4). . . . . . . . . . . . . 7,035
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . 89,719
Options written, at market value
(premiums received $398,289)(Notes 2 and 3) . . . . . . . . . . . 224,625 5,021,127
-------------- --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 269,336,328
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . $ 407,331
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . 7,776,932
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,030,301
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173,664
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,632
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227,876,468
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 269,336,328
--------------
--------------
Net asset value, offering and redemption price per share
($269,336,328 divided by 7,163,152 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . $37.60
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Special Growth Fund 25
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,286,848
Dividends from Money Market Fund (note 5). . . . . . . . . . . . . . . . . . . . . . . 695,846
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280,467
--------------
2,263,161
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,170,799
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 156,948
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . . . 9,391
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . 7,369
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . 23,817
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . 97,367
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,948
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,262 1,474,901
-------------- --------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 788,260
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,237,158
Options written (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,639,979
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,505,153
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (389,095)
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,993,195
--------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 30,781,455
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
26 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
INCREASE (DECREASE) IN NET ASSETS (UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . $ 788,260 $ 1,076,743
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,237,158 (2,327,246)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . 1,639,979 563,049
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,505,153 (6,925,050)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . (389,095) 325,532
------------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . 30,781,455 (7,286,972)
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . (835,778) (682,770)
Net realized gain on investments . . . . . . . . . . . . . . . . . . (227,556) (2,632,245)
In excess of net realized gain on investments. . . . . . . . . . . . -- (2,652,494)
Increase (decrease) in net assets from Fund share transactions . . . . 10,541,581 53,440,122
------------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . 40,259,702 40,185,641
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . 229,076,626 188,890,985
------------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $407,331 and $71,005, respectively) . . . . . . . . . . . . . . . $ 269,336,328 $ 229,076,626
------------------- -----------------
------------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1994
-------------------------------- --------------------------------
SHARES AMOUNT SHARES AMOUNT
-------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . 1,546,088 $ 53,521,511 3,413,718 $ 116,189,471
Fund shares issued to shareholders
in reinvestments of distributions. . . . . 20,265 694,693 113,186 3,980,109
Fund shares redeemed . . . . . . . . . . . . (1,248,187) (43,674,623) (1,955,454) (66,729,458)
-------------- --------------- -------------- ---------------
Net increase (decrease). . . . . . . . . . . 318,166 $ 10,541,581 1,571,450 $ 53,440,122
-------------- --------------- -------------- ---------------
-------------- --------------- -------------- ---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Special Growth Fund 27
<PAGE>
SPECIAL GROWTH FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . $ 33.47 $ 35.82 $ 36.63 $ 34.47 $ 24.71 $ 29.35
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .11 .16 .07 .05 .24 .42
Net realized and unrealized gain (loss) on investments . . 4.17 (.71) 5.22 4.22 10.34 (4.57)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . 4.28 (.55) 5.29 4.27 10.58 (4.15)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.12) (.10) (.07) (.06) (.24) (.42)
Net realized gain on investments . . . . . . . . . . . . . (.03) (.85) (6.03) (2.05) (.58) (.07)
In excess of net realized gain on investments. . . . . . . -- (.85) -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . (.15) (1.80) (6.10) (2.11) (.82) (.49)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $ 37.60 $ 33.47 $ 35.82 $ 36.63 $ 34.47 $ 24.71
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . 12.83 (3.71) 15.48 12.52 43.11 (14.28)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b) . . . . 1.20 1.20 1.31 1.33 1.36 1.50
Operating expenses, gross, to average net assets (b) . . . 1.20 1.20 1.31 1.33 1.36 1.53
Net investment income to average net assets (b). . . . . . .64 .50 .19 .14 .80 1.57
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . 97.55 55.40 91.97 42.20 42.81 63.87
Net assets, end of period ($000 omitted) . . . . . . . . . 269,336 229,077 188,891 134,913 105,245 62,116
Per share amount of fees reimbursed ($ omitted). . . . . . -- -- -- -- -- .0093
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
</TABLE>
28 Special Growth Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- --------
<S> <C> <C>
COMMON STOCKS - 92.8%
BASIC INDUSTRIES - 9.8%
Air Products & Chemicals, Inc. 7,400 $ 413
AK Steel Holding Corp. (a) 3,000 82
Alcan Aluminum, Ltd. 15,200 460
ASARCO, Inc. 45,100 1,376
Bethlehem Steel Corp. (a) 28,100 457
Bowater, Inc. 13,400 601
Cabot Corp. 8,100 427
Champion International Corp. 17,600 917
Cyprus Amax Minerals Co. 29,175 831
Dow Chemical Co. 24,000 1,725
du Pont (E.I.) de Nemours & Co. 19,500 1,341
Federal Paper Board, Inc. 20,000 708
FMC Corp. New (a) 10,700 720
Geneva Steel Class A (a) 11,500 95
Goodrich (B.F.) Co. 12,000 644
Great Lakes Chemical Corp. 12,900 777
International Paper Co. 22,400 1,921
James River Corp. of Virginia 22,000 608
Magma Copper Co. New (a) 21,600 351
Olin Corp. 7,800 402
Potlatch Corp. 9,700 404
Reynolds Metals Co. 7,200 372
Vitro Sociedad Anonima - ADR 21,960 188
--------
15,820
--------
CAPITAL GOODS - 1.7%
Ball Corp. 3,700 129
CBI Industries, Inc. 14,600 367
Deere & Co. 6,100 522
General Electric Co. 16,700 941
Johnson Controls, Inc. 7,800 441
Mid-American Waste Systems, Inc. (a) 33,200 162
Varity Corp. (a) 3,400 150
--------
2,712
--------
CONSUMER BASICS - 9.1%
American Brands, Inc. 17,200 684
American Stores Co. 49,800 1,401
Baxter International, Inc. 35,000 1,273
Becton, Dickinson & Co. 15,000 874
Black & Decker Corp. 11,800 364
Bristol-Myers Squibb Co. 31,600 2,153
Columbia/HCA Healthcare Corp. 13,500 584
Community Psychiatric Centers 31,500 354
CPC International, Inc. 9,105 562
Fleming Cos., Inc. 14,500 384
IBP, Inc. 16,000 696
Philip Morris Cos., Inc. 10,700 796
NUMBER MARKET
OF VALUE
SHARES (000)
--------- --------
<S> <C> <C>
RJR Nabisco Holdings Corp. New (a) 36,760 $1,025
Sara Lee Corp. 26,500 755
Schering-Plough Corp. 17,400 768
Tenet Healthcare Corp. 37,100 533
Upjohn Co. 13,200 500
Vons Cos., Inc. (a) 18,600 374
Warner-Lambert Co. 9,800 847
--------
14,927
--------
CONSUMER DURABLES - 4.0%
Chrysler Corp. 33,600 1,609
Federal-Mogul Corp. 27,700 506
Ford Motor Co. 67,700 2,014
General Motors Corp. 41,700 1,955
Whirlpool Corp. 7,800 428
--------
6,512
--------
CONSUMER NON-DURABLES - 5.3%
Anheuser-Busch Cos., Inc. 14,000 796
Burlington Industries, Inc. (a) 14,000 161
CML Group, Inc. 30,800 243
Coors (Adolph) Co. Class B 5,200 83
Dayton Hudson Corp. 18,500 1,327
Federated Department Stores, Inc. (a) 34,700 894
Jones Apparel Group, Inc. (a) 2,800 84
K mart Corp. 53,400 781
Liz Claiborne, Inc. 23,100 491
Melville Corp. 16,300 558
Polaroid Corp. 16,800 685
Price Costco, Inc. (a) 23,000 374
Sears Roebuck & Co. 14,800 886
SuperValu, Inc. 42,200 1,229
Waban, Inc. (a) 10,600 157
--------
8,749
--------
CONSUMER SERVICES - 0.3%
AMR Corp. (a) 7,600 567
--------
567
--------
ENERGY - 11.1%
Amerada Hess Corp. NPV 10,800 528
Amoco Corp. 14,600 973
Ashland, Inc. 18,800 660
Atlantic Richfield Co. 1,600 176
Baker Hughes, Inc. 20,600 422
British Petroleum Co. PLC - ADR 5,844 500
</TABLE>
Equity Income Fund 29
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- --------
<S> <C> <C>
Castle Energy Corp. New (a) 7,400 $74
Chevron Corp. 43,300 2,019
Diamond Shamrock, Inc. 12,700 327
Exxon Corp. 6,500 459
Halliburton Co. 3,900 139
Kerr-McGee Corp. 13,800 740
LTV Corp. New (a) 38,700 566
Mobil Corp. 31,000 2,976
Murphy Oil Corp. 15,400 631
Occidental Petroleum Corp. 18,500 423
Royal Dutch Petroleum Co. - ADR 6,300 768
Tenneco, Inc. 17,500 805
Texaco, Inc. 15,300 1,004
Total Co. SA - ADR 14,900 451
USX-Marathon Group 93,200 1,841
Valero Energy Corp. 46,800 948
YPF Sociedad Anonima Class D - ADR 40,100 756
--------
18,186
--------
FINANCE - 19.5%
AMBAC, Inc. 18,700 750
American Express Co. 23,000 808
Banc One Corp. 12,000 387
Bank of New York Co., Inc. 7,900 319
BankAmerica Corp. 58,453 3,076
Bankers Trust New York Corp. 20,300 1,259
Barnett Banks, Inc. 13,700 702
Beneficial Corp. 15,000 660
Chase Manhattan Corp. 21,450 1,008
Chemical Banking Corp. 58,000 2,741
Chubb Corp. (The) 4,600 369
Comerica, Inc. 10,000 321
Dean Witter, Discover & Co. 19,600 921
EXEL, Ltd. 11,300 588
Federal National Mortgage Association 11,100 1,048
First Chicago Corp. 28,400 1,700
First Colony Corp. 7,400 178
First Tennessee National Corp. 10,200 472
First Union Corp. 11,300 511
Firstar Corp. 12,400 417
FirstFed Financial Corp. (a) 9,000 132
KeyCorp 43,500 1,365
Life Re Corp. 18,700 348
Lincoln National Corp. 21,200 928
Loews Corp. 5,700 690
Mellon Bank Corp. 12,600 524
Mid Ocean, Ltd. 21,900 682
Morgan (J.P.) & Co., Inc. 5,700 400
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- --------
<S> <C> <C>
NationsBank Corp. 37,600 $2,016
NBD Bancorp, Inc. 17,800 570
North American Mortgage Co. 10,400 241
Old Republic International Corp. 20,400 533
Paine Webber Group, Inc. 13,400 253
Paul Revere Corp. 4,800 82
Reliance Group Holdings, Inc. 40,700 265
SAFECO Corp. 16,000 914
Shawmut National Corp. 20,500 653
Southern National Corp. 26,800 643
St. Paul Cos., Inc. 18,200 896
TIG Holdings, Inc. 28,000 643
UNUM Corp. 12,500 585
Washington Federal, Inc. 17,380 377
--------
31,975
--------
GENERAL BUSINESS - 1.9%
ADT, Ltd. (a) 56,400 663
American Greetings Corp. Class A 15,500 453
CBS, Inc. 4,700 315
Comdisco, Inc. 11,400 346
Ogden Corp. 16,400 359
SBC Communications, Inc. 12,800 610
Tribune Co. 6,600 405
--------
3,151
--------
MISCELLANEOUS - 1.4%
Carr Reality Corp. 8,600 148
Chelsea GCA Realty, Inc. 1,300 35
Colonial Properties Trust 14,600 336
Crescent Real Estate Equities, Inc. 6,800 217
First Industrial Realty Trust, Inc. 7,400 152
Geon Co. 8,400 242
Irvine Apartment Communities, Inc. 13,100 226
Macerich Co. 14,600 287
PXRE Corp. 11,600 271
Stolt-Nielsen SA 17,900 508
--------
2,422
--------
SHELTER - 1.8%
Armstrong World Industries, Inc. 19,100 957
Kaufman & Broad Home Corp. 19,700 286
Pulte Corp. 15,000 420
Weyerhaeuser Co. 25,600 1,206
--------
2,869
--------
</TABLE>
30 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- --------
<S> <C> <C>
TECHNOLOGY - 7.5%
Augat, Inc. 9,700 $ 199
Boeing Co. 14,000 877
COMPAQ Computer Corp. (a) 16,300 740
Hewlett-Packard Co. 8,900 663
Intel Corp. 22,800 1,442
International Business Machines Corp. 25,700 2,467
Kaman Corp. Class A 13,400 169
Loral Corp. 12,400 642
Northrop Grumman Corp. 9,100 474
Raytheon Co. 16,600 1,289
Seagate Technology (a) 22,000 864
Storage Technology Corp. 22,300 549
Sun Microsystems, Inc. (a) 16,900 819
Textron, Inc. 4,800 278
TRW, Inc. 10,100 807
--------
12,279
--------
TRANSPORTATION - 2.2%
Alexander & Baldwin, Inc. 11,100 247
Burlington Northern, Inc. 3,700 234
Conrail, Inc. 11,700 651
CSX Corp. 12,300 924
Federal Express Corp. (a) 10,200 620
GATX Corp. 7,900 372
Ryder System, Inc. 22,400 535
--------
3,583
--------
UTILITIES - 17.2%
Allegheny Power System, Inc. 16,000 376
AT&T Corp. 13,100 696
BCE, Inc. 25,700 826
Bell Atlantic Corp. 14,300 801
Boston Edison Co. 17,300 452
Columbia Gas System, Inc. (a) 30,700 975
Detroit Edison Co. 35,100 1,035
Entergy Corp. 45,500 1,098
Equitable Resources, Inc. 18,100 523
FPL Group, Inc. 19,400 749
General Public Utilities Corp. 42,800 1,273
GTE Corp. 84,800 2,894
MCI Communications Corp. 27,366 599
MCN Corp. 21,400 423
New York State Electric & Gas Corp. 39,400 921
NIPSCO Industries, Inc. 19,400 660
Northeast Utilities 32,500 731
NYNEX Corp. 58,500 2,355
Pacific Gas & Electric Co. 16,600 481
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- --------
<S> <C> <C>
Pacific Telesis Group 63,700 $1,704
PP&L Resources, Inc. 40,000 775
Public Service Enterprise Group, Inc. 70,500 1,956
Rochester Gas & Electric Corp. 12,600 268
SCE Corp. 77,000 1,319
Southern New England
Telecommunications Corp. 18,000 635
Sprint Corp. 22,400 753
Texas Utilities Co. 44,800 1,540
U.S. West, Inc. 14,200 590
Unicom Corp. 28,900 768
--------
28,176
--------
TOTAL COMMON STOCKS
(cost $136,048) 151,928
--------
OPTIONS - 0.3%
S & P 500 Index Sep 500 Call (a) 10* 48
S & P 500 Index Sep 520 Call (a) 50* 151
S & P 500 Index Sep 530 Call (a) 70* 155
S & P 500 Index Sep 540 Call (a) 30* 45
--------
TOTAL OPTIONS
(cost $292) 399
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(000)
-----------
<S> <C>
LONG-TERM INVESTMENTS - 1.6%
AMR Corp. (conv.)
6.125% due 11/01/24 $1,200 1,251
Stone Container Corp. (conv.)
8.875% due 07/15/00 247 493
Unisys Corp. (conv.)
8.250% due 08/01/00 810 899
--------
TOTAL LONG-TERM INVESTMENTS
(cost $2,140) 2,643
--------
SHORT-TERM INVESTMENTS - 5.3%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 4,706 4,706
United States Treasury Notes
8.875% due 07/15/95 (b)(d) 2,000 2,002
4.250% due 12/31/95 (d) 2,000 1,986
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $8,688) 8,694
--------
Equity Income Fund 31
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
MARKET
VALUE
(000)
--------
TOTAL INVESTMENTS
(identified cost $147,168)(c) - 100.0% $163,664
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - 0.0% 35
--------
NET ASSETS - 100.0% $163,699
--------
--------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995, the cost for federal income tax purposes
was $147,395 and net unrealized appreciation for all securities
was $16,269. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $19,536 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $3,267.
(d) Held as collateral by the custodian in connection with
options written by the Fund.
* Number of contracts.
</TABLE>
NUMBER MARKET
OF VALUE
CONTRACTS (000)
--------- ------
OPTIONS WRITTEN
PUT OPTIONS (NOTE 2)
S & P 500 Index Sep 500 (a) 10 $ 2
S & P 500 Index Sep 520 (a) 50 18
S & P 500 Index Sep 530 (a) 70 39
S & P 500 Index Sep 540 (a) 30 24
-------
Total liability for options written
(premiums received $148)** $ 83
-------
-------
** At June 30, 1995 (Unaudited), United States Treasury Notes
valued at $3,988 were held as collateral by the custodian in
connection with options written by the Fund.
The accompanying notes are an integral part of the financial statements.
32 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $147,168,343)(Note 2) . . . . . . $ 163,664,454
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,020
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . 739,256
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,607,002
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 259,203
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,213
--------------
166,273,148
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . $ 2,144,209
Fund shares redeemed . . . . . . . . . . . . . . . . . . 157,112
Accrued management fees (Note 4) . . . . . . . . . . . . 107,586
Accrued transfer agent fees (Note 4) . . . . . . . . . . 6,432
Accrued bookkeeping service fees (Note 4). . . . . . . . 2,951
Other accrued expenses . . . . . . . . . . . . . . . . . 73,818
Options written, at market value
(premiums received $148,296)(Notes 2 and 3). . . . . . . 82,500 2,574,608
------------ -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 163,698,540
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . $1,015,605
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . 4,304,881
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,496,193
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . 65,796
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . 43,475
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . 141,772,590
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $163,698,540
------------
------------
Net asset value, offering and redemption price per share
($163,698,540 divided by 4,347,445 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . $ 37.65
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity Income Fund 33
<PAGE>
EQUITY INCOME FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,426,796
Dividends from Money Market Fund (Note 5) . . . . . . . . . . . . . . . . . . . . . . . 203,689
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199,468
-------------
2,829,953
Expenses (Notes 2 and 4):
Management fees . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 613,896
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . 95,356
Bookkeeping service fees. . . . . . . . . . . . . . . . . . . . . . . 5,951
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . 6,133
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . 14,026
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . 72,532
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,941
Miscellaneous expenses. . . . . . . . . . . . . . . . . . . . . . . . 4,721 814,556
------------- -------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,015,397
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,485,800
Options written (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381,680
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,216,617
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,433)
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,074,664
-------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $26,090,061
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
34 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,015,397 $ 3,830,220
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,485,800 10,254,455
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381,680 468,597
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,216,617 (13,667,583)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,433) (9,002)
------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 26,090,061 876,687
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,130,447) (3,777,456)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . (758,915) (12,526,614)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . (4,787,496) 10,180,286
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,413,203 (5,247,097)
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144,285,337 149,532,434
-------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $1,015,605 and $130,702, respectively) . . . . . . . . . . . . . . . . . . . . . . . $163,698,540 $144,285,337
-------------- -------------
-------------- -------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 684,952 $ 23,701,037 1,730,988 $ 61,068,122
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . 32,397 1,111,878 295,380 9,722,940
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (850,089) (29,600,411) (1,710,889) (60,610,776)
----------- ----------- ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . (132,740) $(4,787,496) 315,479 $10,180,286
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity Income Fund 35
<PAGE>
EQUITY INCOME FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $ 32.21 $ 35.90 $ 35.32 $ 36.54 $ 30.75 $ 34.91
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .45 .90 .83 .99 1.11 1.43
Net realized and unrealized gain on investments. . . . . . . . . 5.41 (.70) 3.69 3.08 7.15 (3.83)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . 5.86 .20 4.52 4.07 8.26 (2.40)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.25) (.89) (.83) (1.00) (1.10) (1.37)
In excess of net investment income . . . . . . . . . . . . . . . -- -- (.00) -- -- --
Net realized gain on investments . . . . . . . . . . . . . . . . (.17) (3.00) (3.11) (4.29) (1.37) (.39)
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.42) (3.89) (3.94) (5.29) (2.47) (1.76)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $ 37.65 $ 32.21 $ 35.90 $ 35.32 $ 36.54 $ 30.75
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 18.33 .69 13.23 11.51 27.52 (6.90)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) . . . . . . . . . . 1.06 1.04 1.05 1.08 1.11 1.14
Net investment income to average net assets (b). . . . . . . . . 2.63 2.56 2.23 2.68 3.11 4.12
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 77.95 89.91 78.72 95.07 61.73 65.97
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 163,699 144,285 149,532 134,365 122,689 99,575
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
</TABLE>
36 Equity Income Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
COMMON STOCKS - 95.3%
BASIC INDUSTRIES - 7.7%
Albemarle Corp. 4,100 $ 64
Allegheny Ludlum Corp. 6,600 130
Aluminum Co. of America 47,600 2,386
Arco Chemical Co. 2,600 118
Boise Cascade Corp. 38,500 1,559
Cabot Corp. 65,100 3,434
Champion International Corp. 20,500 1,069
Crown Cork & Seal Co., Inc. (a) 9,000 451
Cyprus Amax Minerals Co. 20,600 587
Dow Chemical Co. 59,300 4,262
du Pont (E.I.) de Nemours & Co. 63,800 4,386
Eastern Enterprises, Inc. 15,300 457
Ethyl Corp. 6,200 66
Federal Paper Board, Inc. 23,900 845
Freeport-McMoRan Copper & Gold, Inc.
Class A 2,200 45
Georgia Gulf Corp. 300 10
Homestake Mining Co. 5,875 97
Inco, Ltd. 10,600 299
International Paper Co. 30,800 2,641
Kimberly-Clark Corp. 100 6
Mead Corp. 2,900 172
Monsanto Co. 15,200 1,370
Morton International, Inc. 8,500 249
Newmont Mining Corp. 200 8
Nucor Corp. 10,400 556
Olin Corp. 7,100 366
Phelps Dodge Corp. 16,600 979
PPG Industries, Inc. 31,400 1,350
Praxair, Inc. 24,600 615
Precision Castparts Corp. 100 4
Premark International, Inc. 200 10
Reynolds Metals Co. 6,700 347
Rohm & Haas Co. 3,000 165
Scott Paper Co. 7,800 386
Temple-Inland, Inc. 20,600 981
Texas Industries, Inc. 10,300 400
Union Camp Corp. 5,700 330
Union Carbide Corp. 53,233 1,777
Wellman, Inc. 9,000 246
Westvaco Corp. 9,400 416
Willamette Industries, Inc. 9,700 534
Witco Chemical Corp. 100 4
Worthington Industries, Inc. 22,000 449
--------
34,626
--------
CAPITAL GOODS - 5.8%
Arrow Electronics, Inc. (a) 6,600 328
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Atmel Corp. (a) 9,000 $ 498
Ball Corp. 14,000 488
Boston Scientific Corp. (a) 2,900 92
Browning-Ferris Industries, Inc. 10,500 379
Caterpillar, Inc. 23,900 1,536
Cooper Industries, Inc. 9,300 367
Deere & Co. 28,200 2,415
Dover Corp. 16,900 1,229
Emerson Electric Co. 11,685 835
General Electric Co. 202,200 11,399
General Signal Corp. 3,200 127
Giddings & Lewis, Inc. 1,800 32
Grainger (W.W.), Inc. 2,500 147
Hubbell, Inc. Class B 1,000 57
Ingersoll-Rand Co. 4,800 184
Itel Corp. New (a) 12,800 499
Johnson Controls, Inc. 5,300 299
Litton Industries, Inc. (a) 1,600 59
Measurex Corp. 1,500 46
National Service Industries, Inc. 6,500 188
Parker-Hannifin Corp. 18,750 680
Premier Industrial Corp. 6,200 146
Tecumseh Products Co. Class A 31,100 1,353
Timken Co. 200 9
TRINOVA Corp. 1,500 53
Tyco International, Ltd. 8,200 443
Varity Corp. (a) 45,300 1,993
Wheelabrator Technologies, Inc. (a) 13,000 201
--------
26,082
--------
CONSUMER BASICS - 17.6%
Abbott Laboratories NPV 64,542 2,614
Albertson's, Inc. 12,276 365
Allergan, Inc. 18,800 510
ALZA Corp. (a) 9,800 229
American Home Products Corp. 29,800 2,306
American Stores Co. 7,500 211
Amgen, Inc. (a) 13,150 1,055
Archer-Daniels-Midland Co. 91,569 1,705
Bard (C.R.), Inc. 1,400 42
Bausch & Lomb, Inc. 7,225 300
Baxter International, Inc. 41,500 1,510
Becton, Dickinson & Co. 19,800 1,153
Black & Decker Corp. 11,100 343
Bristol-Myers Squibb Co. 34,900 2,378
Campbell Soup Co. 2,600 127
Cardinal Health, Inc. 21,650 1,023
Church and Dwight Co., Inc. 1,800 37
Quantitative Equity Fund 37
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Coca-Cola Bottling Co. 1,600 $ 50
Coca-Cola Co. (The) 78,100 4,979
Coca-Cola Enterprises, Inc. 65,100 1,424
Columbia/HCA Healthcare Corp. 76,200 3,296
ConAgra, Inc. 37,350 1,303
CPC International, Inc. 17,900 1,105
Forest Labs, Inc. (a) 3,900 173
General Mills, Inc. 10,600 545
Genzyme Corp. (a) 5,700 227
Giant Food, Inc. Class A 1,000 28
Gillette Co. 28,450 1,270
Health Care & Retirement Corp. (a) 13,200 386
Health Management Associates Class A (a) 15,100 442
HealthCare COMPARE (a) 900 27
Heinz (H.J.) Co. 23,400 1,038
Hormel (George A.) & Co. 35,700 933
Humana, Inc. (a) 78,100 1,377
IBP, Inc. 37,300 1,623
Johnson & Johnson 75,600 5,112
Kellogg Co. 14,900 1,063
Kroger Co. (a) 34,400 925
Lilly (Eli) & Co. 28,800 2,261
Manor Care, Inc. 7,600 221
Marion Merrell Dow, Inc. 4,100 105
McKesson Corp. New 200 9
Medtronic, Inc. 13,100 1,010
Merck & Co., Inc. 115,170 5,643
Mylan Laboratories, Inc. 21,000 646
Nabisco Holdings Corp. Class A 3,100 84
Oxford Health Plans, Inc. (a) 4,200 196
PepsiCo, Inc. 66,900 3,052
Pfizer, Inc. 11,400 1,053
Philip Morris Cos., Inc. 138,100 10,271
Procter & Gamble Co. 68,400 4,916
Ralston Purina Co. 8,800 449
Rhone Poulenc Rorer, Inc. 25,300 1,034
RJR Nabisco Holdings Corp. New (a) 13,500 376
Safeway, Inc. New (a) 39,700 1,484
Sara Lee Corp. 3,800 108
Schering-Plough Corp. 17,000 750
Stryker Corp. 5,800 221
Upjohn Co. 2,700 102
U.S. Healthcare, Inc. 19,400 594
Vivra, Inc. (a) 2,700 73
Warner-Lambert Co. 13,500 1,166
--------
79,058
--------
CONSUMER DURABLES - 2.4%
AutoZone Inc. (a) 100 3
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Chrysler Corp. 6,444 $ 309
Cooper Tire & Rubber Co. 3,600 88
Dana Corp. 42,700 1,222
Eaton Corp. 15,400 895
Echlin, Inc. 46,800 1,626
Fleetwood Enterprises, Inc. 6,000 119
Ford Motor Co. 50,110 1,491
General Motors Corp. 44,000 2,063
Genuine Parts Co. 100 4
Goodyear Tire & Rubber Co. 13,300 549
Lancaster Colony Corp. 17,221 607
Leggett & Platt, Inc. 11,200 493
Modine Manufacturing Co. 11,500 423
National Presto Industries, Inc. 3,800 172
PACCAR, Inc. 11,100 515
Whirlpool Corp. 7,000 384
--------
10,963
--------
CONSUMER NON-DURABLES - 4.8%
Alberto Culver Co. Class B 7,900 239
Anheuser-Busch Cos., Inc. 17,400 990
Avon Products, Inc. 3,000 201
Blair Corp. 5,250 180
Block Drug Co., Inc. Class A 1,225 41
Brown-Forman Distillers, Inc. Class B 200 7
Brunswick Corp. 27,100 461
Burlington Industries, Inc. (a) 900 10
Charming Shoppes, Inc. 9,500 50
Circuit City Stores, Inc. 27,300 863
Consolidated Stores Corp. (a) 9,700 202
Dillard Department Stores, Inc.
Class A 5,000 147
Dollar General Corp. 7,600 240
Eastman Kodak Co. 11,800 715
Fruit of the Loom, Inc. Class A (a) 7,600 161
Gap, Inc. 7,000 244
Home Depot, Inc. (The) 33,200 1,349
International Flavors & Fragrances, Inc. 11,500 572
Limited, Inc. (The) 37,000 814
Liz Claiborne, Inc. 10,100 215
Lowe's Cos., Inc. 17,300 517
May Department Stores Co. 17,000 708
Melville Corp. 9,600 329
Newell Co. 30,300 742
NIKE, Inc. Class B 12,700 1,067
Office Depot, Inc. (a) 48,450 1,363
Penney (J.C.) Co., Inc. 21,800 1,046
Rayonier, Inc. 2,700 96
Reebok International, Ltd. 200 7
38 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Sears Roebuck & Co. 55,800 $ 3,341
Springs Industries, Inc. 5,700 212
Strawbridge & Clothier 794 16
TJX Cos., Inc. 6,200 82
Toys "R" Us, Inc. (a) 21,400 626
V.F. Corp. 13,400 720
Wal-Mart Stores, Inc. 112,000 2,996
Woolworth Corp. 5,100 77
--------
21,646
--------
CONSUMER SERVICES - 2.7%
Alaska Air Group, Inc. 600 11
AMR Corp. (a) 13,500 1,007
Boston Chicken, Inc. (a) 3,800 92
Boyd Gaming Corp. (a) 3,500 58
Brinker International, Inc. (a) 4,500 78
Callaway Golf Co. 18,500 278
Carnival Corp. Class A 9,000 210
Circus Circus Enterprises, Inc. (a) 8,800 310
Cracker Barrel Old Country Store, Inc. 4,500 93
Darden Restaurants, Inc. (a) 10,600 115
Delta Air Lines, Inc. 3,100 229
Disney (Walt) Co. 95,900 5,334
Hospitality Franchise Systems, Inc. 10,200 353
International Game Technology 11,600 178
La Quinta Motor Inns, Inc. 28,400 767
Marriot International, Inc. 9,500 341
McDonald's Corp. 44,000 1,722
Mirage Resorts, Inc. (a) 16,100 493
Southwest Airlines Co. 2,900 69
UAL Corp. 100 14
Wendy's International, Inc . 27,900 499
--------
12,251
--------
ENERGY - 7.7%
Amerada Hess Corp. NPV 100 5
Amoco Corp. 35,300 2,352
Anadarko Petroleum Corp. 5,000 216
Ashland, Inc. 4,300 151
Atlantic Richfield Co. 11,500 1,262
Chevron Corp. 43,500 2,028
Dresser Industries, Inc. 8,900 198
Exxon Corp. 140,022 9,889
FINA, Inc. Class A 700 33
Indiana Energy, Inc. 1,800 34
Mitchell Energy & Development Corp.
Class A 4,400 80
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Mobil Corp. 73,218 $ 7,029
Occidental Petroleum Corp. 42,000 961
Oryx Energy Co. (a) 3,700 51
Royal Dutch Petroleum Co. - ADR 48,275 5,884
Schlumberger, Ltd. 16,800 1,044
Tenneco, Inc. 22,600 1,040
Texaco, Inc. 21,800 1,431
Union Texas Petroleum Holdings, Inc. 17,100 360
Unocal Corp. 12,000 331
--------
34,379
--------
FINANCE - 13.3%
Advanta Corp. Class A 2,500 104
Aetna Life & Casualty Co. 5,800 365
AFLAC, Inc. 65,400 2,861
Ahmanson (H.F.) & Co. 22,300 491
Allstate Corp. 32,500 963
AMBAC, Inc. 1,100 44
American Express Co. 10,200 358
American Financial Group, Inc. 9,000 234
American General Corp. 61,200 2,066
American International Group, Inc. 16,600 1,892
American National Insurance Co. 8,700 524
AON Corp. 4,000 149
AT&T Capital Corp. 23,000 615
Banc One Corp. 20,500 661
Bank of Boston Corp. 52,200 1,957
Bank of New York Co., Inc. 72,272 2,918
BankAmerica Corp. 61,300 3,226
Bankers Trust New York Corp. 4,800 298
Barnett Banks, Inc. 5,700 292
BayBanks, Inc. 1,900 151
Bear Stearns Cos., Inc. 76,482 1,635
Beneficial Corp. 1,800 79
Boatmen's BancShares, Inc. 4,400 155
Central Fidelity Banks, Inc. 1,300 39
Centura Banks, Inc. 100 3
Chemical Banking Corp. 29,400 1,389
CIGNA Corp. 27,400 2,127
Citicorp 64,100 3,710
CNA Financial Corp. (a) 4,100 354
Comerica, Inc. 4,300 138
CoreStates Financial Corp. 7,100 248
Crestar Financial Corp. 1,800 88
Dean Witter, Discover & Co. 16,800 790
Edwards (A.G.), Inc. 3,100 70
Federal Home Loan Mortgage Corp. 26,900 1,849
Federal National Mortgage Association 26,400 2,492
Quantitative Equity Fund 39
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Fifth Third Bancorp 3,400 $ 191
First Bank System, Inc. 394 16
First Chicago Corp. 19,200 1,150
First Colony Corp. 2,300 55
First Interstate Bancorp 9,000 722
First Tennessee National Corp. 1,700 79
First Union Corp. 9,000 407
First USA, Inc. 14,100 626
First Virginia Banks, Inc. 1,600 60
Firstar Corp. New 3,300 111
Fleet Financial Group, Inc. 11,100 412
General Re Corp. 300 40
Golden West Financial Corp. 1,500 71
Great Western Financial Corp. 5,400 111
Green Tree Financial Corp. 7,900 351
Horace Mann Educators Corp. 19,000 437
Household International Corp. 13,200 653
Huntington Bancshares, Inc. 6,700 139
Integra Financial Corp. 1,700 83
KeyCorp 10,800 339
Lehman Brothers Holdings, Inc. 7,000 153
Loews Corp. 12,900 1,561
Marshall & Ilsley Corp. 3,500 79
MBIA, Inc. 1,500 100
MBNA Corp. 33,100 1,117
Mellon Bank Corp. 6,603 275
Mercantile Bancorp, Inc. 2,100 94
Mercury Finance Corp. 6,100 117
Mercury General Corp. 500 17
Merrill Lynch & Co., Inc. 4,300 226
Midlantic Corp. 21,000 835
National City Corp. 20,900 614
NationsBank Corp. 59,455 3,188
Northern Trust Corp. 2,200 87
Norwest Corp. 53,400 1,535
Ohio Casualty Corp. 1,800 57
Old Republic International Corp. 11,100 290
PNC Bank Corp. 14,400 380
Progressive Corp. 3,400 130
Protective Life Corp. 30,400 828
Republic New York Corp. 2,300 129
SAFECO Corp. 500 29
Schwab (Charles) Corp. 200 9
Shawmut National Corp. 13,000 414
Shawmut National Corp. 1996 Warrants (a) 157 2
Southern National Corp. 5,400 130
SouthTrust Corp. 2,200 51
St. Paul Cos., Inc. 16,400 808
Star Banc Corp. 16,500 759
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
State Street Boston Corp. 4,300 $ 159
Student Loan Marketing Association 9,400 441
SunTrust Banks, Inc. 4,800 280
Synovus Financial Corp. 800 18
Torchmark Corp. 3,000 113
Transamerica Corp. 3,200 186
Travelers, Inc. 1,400 61
UJB Financial Corp. 11,700 355
UMB Financial Corp. 100 4
Union Bank 31,400 1,303
United Counties Bancorporation 100 16
Unitrin, Inc. 4,600 217
UNUM Corp. 3,200 150
Wachovia Corp. 18,600 665
Washington Mutual, Inc. 3,100 72
West One Bancorp 3,700 123
Wilmington Trust Corp. 1,500 41
--------
59,606
--------
GENERAL BUSINESS - 5.5%
ADT, Ltd. 4,800 56
American Greetings Corp. Class A 31,200 913
Belo (A.H.) Corp. Class A 42,600 1,305
BHC Communications, Inc.
Class A (a) 2,900 233
Capital Cities/ABC, Inc. 35,500 3,834
CBS, Inc. 5,600 375
Central Newspapers, Inc. Class A 6,000 178
Comcast Corp. Special Class A 13,300 246
Comdisco, Inc. 900 27
Cox Communications, Inc. Class A 4,700 91
Donnelley (R.R.) & Sons Co. 12,600 454
Flightsafety International, Inc. 2,400 117
General Motors Corp. Class E 26,400 1,148
Harcourt General, Inc. 23,000 978
Kelly Services, Inc. Class A 10,500 265
Manpower, Inc. 51,833 1,322
Media General, Inc. Class A 2,100 66
New York Times Co. Class A 200 5
Omnicom Group, Inc. 1,800 109
Paging Network, Inc. (a) 1,900 64
PHH Group, Inc. 46,400 2,065
Pulitzer Publishing Co. 18,700 797
Reader's Digest Association, Inc.
Class A NV 100 4
SBC Communications, Inc. 89,200 4,248
Service Corp. International 7,350 232
Staples, Inc. (a) 61,100 1,764
40 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Tele-Communications, Inc. Class A (a) 52,700 $ 1,232
Time Warner, Inc. 31,500 1,295
Total Systems Services, Inc. 100 1
Tribune Co. 4,600 282
Viacom, Inc. Class A (a) 15,200 707
Wallace Computer Services, Inc. 3,600 138
Wiley (John) & Son Inc. Class A 100 7
--------
24,558
--------
MISCELLANEOUS - 0.7%
Chris Craft Industries, Inc. (a) 2,704 95
Eckerd Corp. (a) 3,100 99
ITT Corp. 23,400 2,750
Providian Corp. 4,000 145
Trimas Corp. 1,600 36
--------
3,125
--------
SHELTER - 0.8%
Georgia Pacific Corp. 17,050 1,479
Granite Construction, Inc. 8,700 192
Lennar Corp. 100 2
Louisiana Pacific Corp. 4,300 113
Masco Corp. 3,400 92
National Gypsum Co. New (a) 100 5
Owens-Corning Fiberglas Corp. (a) 3,800 140
Weyerhaeuser Co. 31,400 1,480
--------
3,503
--------
TECHNOLOGY - 14.0%
3Com Corp. (a) 200 13
Adaptec, Inc. (a) 3,900 143
Advanced Micro Devices, Inc. 6,200 226
Allied-Signal, Inc. 41,200 1,833
AMP, Inc. 12,500 528
Amphenol Corp. Class A (a) 12,400 361
Analog Devices, Inc. (a) 5,300 180
Apple Computer, Inc. 2,800 130
Applied Materials, Inc. (a) 17,200 1,484
Autodesk, Inc. 2,000 85
Avery Dennison Corp. 22,200 888
Avnet, Inc. 24,800 1,200
Bay Networks, Inc. (a) 5,400 222
Boeing Co. 18,400 1,152
Borland International, Inc. (a) 11,700 151
Breed Technologies, Inc. 19,700 473
Cabletron Systems, Inc. (a) 1,720 92
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Ceridian Corp. (a) 20,500 $ 756
Cisco Systems, Inc. (a) 4,200 212
Coltec Industries, Inc. (a) 7,300 126
COMPAQ Computer Corp. (a) 18,500 839
Computer Associates International, Inc. 21,200 1,436
Conner Peripherals, Inc. (a) 2,100 26
Dell Computer Corp. (a) 5,400 325
Digital Equipment Corp. (a) 8,800 359
EMC Corp. (a) 10,900 264
Gateway 2000, Inc. (a) 4,100 93
General Dynamics Corp. 3,900 173
General Instrument Corp. (a) 24,850 954
General Motors Corp. Class H 37,300 1,473
Harris Corp. 1,900 98
HBO & Co. 7,600 414
Hewlett-Packard Co. 70,400 5,245
Informix Corp. (a) 1,000 25
Intel Corp. 39,800 2,517
International Business Machines Corp. 102,900 9,878
Intuit, Inc. (a) 1,200 91
Lam Research Corp. (a) 12,000 765
Linear Technology Corp. 6,100 400
Lockheed Martin Corp. 21,399 1,351
Longview Fibre Co. 12,900 219
Loral Corp. 5,800 300
Maxim Integrated Products, Inc. (a) 12,600 639
McDonnell Douglas Corp. 22,000 1,689
Micro Warehouse, Inc. (a) 900 41
Micron Technology, Inc. 11,500 631
Microsoft Corp. (a) 9,600 868
Motorola, Inc. 66,300 4,450
Northern Telecom, Ltd. 14,000 511
Novell, Inc. (a) 20,800 413
Oracle Systems Corp. (a) 51,750 1,992
Parametric Technology Corp. (a) 7,900 391
Policy Management Systems Corp. (a) 7,800 359
Quantum Corp. (a) 2,300 53
Raytheon Co. 14,800 1,149
Read-Rite Corp. (a) 30,400 809
Rockwell International Corp. 27,900 1,276
Scientific-Atlanta, Inc. 11,000 242
Seagate Technology (a) 11,200 440
Silicon Graphics, Inc. (a) 20,700 825
Solectron Corp. (a) 200 7
Sun Microsystems, Inc. (a) 9,000 437
Sybase, Inc. (a) 2,000 58
Tandem Computers, Inc. (a) 27,400 442
Tandy Corp. 10,678 554
Tellabs, Inc. (a) 2,500 120
Quantitative Equity Fund 41
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Teradyne, Inc. (a) 7,800 $ 510
Texas Instruments, Inc. 16,000 2,142
Textron, Inc. 14,000 814
Thomas & Betts Corp. 1,100 75
TRW, Inc 15,000 1,198
United Technologies Corp. 3,900 305
Varian Associates, Inc. 22,700 1,254
Xerox Corp. 1,400 164
Xilinx, Inc. (a) 3,700 348
--------
62,706
--------
TRANSPORTATION - 1.0%
Arnold Industries, Inc. 100 2
Burlington Northern, Inc. 5,200 330
Conrail, Inc. 21,600 1,202
CSX Corp. 6,500 488
Federal Express Corp. (a) 11,200 680
Florida East Coast Industries, Inc. 100 7
GATX Corp. 4,900 231
Illinois Central Corp. 3,100 107
Norfolk Southern Corp. 3,900 263
Ryder System, Inc. 25,600 611
Union Pacific Corp. 14,300 792
--------
4,713
--------
UTILITIES - 11.3%
ALC Communications Corp. New (a) 5,600 253
Allegheny Power System, Inc. 4,300 101
American Water Works, Inc. 200 6
Ameritech Corp. 81,800 3,599
AT&T Corp. 100,400 5,334
Baltimore Gas & Electric Co. 22,100 553
Bell Atlantic Corp. 19,530 1,094
BellSouth Corp. 71,400 4,534
Boston Edison Co. 7,900 206
California Energy, Inc. (a) 2,800 46
Carolina Power & Light Co. 9,200 278
Central & Southwest Corp. 2,900 76
Central Hudson Gas & Electric Corp. 5,100 138
Central Maine Power Co. 3,800 45
CILCORP, Inc. 6,900 251
Cincinnati Bell, Inc. 64,600 1,631
CINergy Corp. 4,600 121
CIPSCO, Inc. 10,200 305
CMS Energy Corp. 3,700 91
Consolidated Edison Co. of
New York, Inc. 70,000 2,065
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
Detroit Edison Co. 19,900 $ 587
Dominion Resources, Inc. 6,600 241
Duke Power Co. 9,500 394
El Paso Natural Gas Co. 1,300 37
Enron Corp. 42,800 1,503
Entergy Corp. 34,700 837
FPL Group, Inc. 7,000 270
Frontier Corp. 11,600 278
General Public Utilities Corp. 19,200 571
GTE Corp. 87,740 2,994
Hawaiian Electric Industries, Inc. 700 25
Houston Industries, Inc. 8,400 354
Illinova Corp. 2,000 51
MCI Communications Corp. 84,100 1,840
New England Electric System 2,600 90
Niagara Mohawk Power Corp. 5,900 87
NIPSCO Industries, Inc. 10,200 347
Northern States Power Co. 8,500 392
Ohio Edison Co. 15,900 360
ONEOK, Inc. 6,600 141
Pacific Enterprises 51,500 1,262
Pacific Gas & Electric Co. 119,400 3,463
Pacific Telesis Group 17,600 471
PacifiCorp. 27,800 521
Panhandle Eastern Corp. 40,500 987
Pinnacle West Capital Corp. 3,100 76
Portland General Electric Co. 4,700 104
Potomac Electric Power Co. 4,200 90
Public Service Co. of Colorado 2,000 65
Public Service Enterprise Group, Inc. 33,900 941
Rochester Gas & Electric Corp. 16,400 349
SCE Corp. 172,400 2,952
Sonat, Inc. 5,700 174
Southern Co. 32,446 726
Southern Indiana Gas & Electric Co. 1,800 58
Southern New England
Telecommunications Corp. 8,800 310
Sprint Corp. 81,100 2,727
Texas Utilities Co. 9,000 309
TransCanada Pipelines, Ltd. 5,100 68
U.S. West, Inc. 19,800 824
Unicom Corp. 79,000 2,103
Western Resources, Inc. 2,000 62
Williams Cos. (The) 2,400 84
--------
50,852
--------
TOTAL COMMON STOCKS
(cost $356,942) 428,068
--------
42 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
------- --------
<S> <C> <C>
PREFERRED STOCKS - 0.1%
Chrysler Corp. Class Series A 2,900 $ 384
--------
TOTAL PREFERRED STOCKS
(cost $440) 384
--------
OPTIONS - 0.2%
S & P 500 Index Sep 500 Call (a) 30* 144
S & P 500 Index Sep 520 Call (a) 140* 424
S & P 500 Index Sep 530 Call (a) 120* 265
--------
TOTAL OPTIONS
(cost $564) 833
--------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<S> <C>
LONG-TERM INVESTMENTS - 0.0%
WMX Technologies, Inc. (conv.)
2.000% due 01/24/05 $ 27 23
--------
TOTAL LONG-TERM INVESTMENTS
(cost $50) 23
--------
SHORT-TERM INVESTMENTS - 4.1%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 11,430 11,430
United States Treasury Notes
8.875% due 07/15/95 (b)(d) 3,500 3,504
4.250% due 12/31/95 (d) 3,500 3,476
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $18,398) 18,410
--------
<CAPTION>
MARKET
VALUE
(000)
--------
<S> <C>
TOTAL INVESTMENTS
(identified cost $376,394)(c) - 99.7% $447,718
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - 0.3% 1,311
--------
NET ASSETS - 100.0% $449,029
--------
--------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995 the cost for federal income tax purposes
was $377,031 and net unrealized appreciation for all securities
was $70,687. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $76,095 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $5,408.
(d) Held as collateral by the custodian in connection with
options written by the Fund.
* Number of contracts.
</TABLE>
OPTIONS WRITTEN
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
CONTRACTS (000)
--------- -------
<S> <C> <C>
PUT OPTIONS (Note 2)
S & P 500 Index Sep 500 (a) 30 $ 5
S & P 500 Index Sep 520 (a) 140 51
S & P 500 Index Sep 530 (a) 120 66
------
Total liability for options written
(premiums received $271)** $ 122
------
------
<FN>
** At June 30, 1995, United States Treasury Notes valued
at $6,980 were held as collateral by the custodian in
connection with options written by the Fund.
</TABLE>
The accompanying notes are an integral part of the financial statements.
Quantitative Equity Fund 43
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $376,393,870)(Note 2) $447,718,011
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,808
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . 1,352,180
Investments sold . . . . . . . . . . . . . . . . . . . . . 3,194,440
Fund shares sold . . . . . . . . . . . . . . . . . . . . . 696,851
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . 3,251
------------
452,969,541
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . $2,957,657
Fund shares redeemed . . . . . . . . . . . . 455,804
Accrued management fees (Note 4) . . . . . . 284,755
Accrued transfer agent fees (Note 4) . . . . 8,928
Accrued bookkeeping service fees (Note 4) . 5,666
Other accrued expenses . . . . . . . . . . . 105,447
Options written, at market value
(premiums received $270,631)(Notes 2 and 3) 122,375 3,940,632
---------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $449,028,909
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . $ 2,067,565
Accumulated net realized gain (loss) . . . . . . . . . . . . 14,682,034
Unrealized appreciation (depreciation) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . 71,324,148
Options written . . . . . . . . . . . . . . . . . . . . . 148,256
Shares of beneficial interest . . . . . . . . . . . . . . . 152,870
Additional paid-in capital . . . . . . . . . . . . . . . . . 360,654,036
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $449,028,909
------------
------------
Net asset value, offering and redemption price per share
($449,028,909 divided by 15,287,023 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . $29.37
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
44 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends..................................................... $ 5,104,354
Dividends from Money Market Fund (Note 5)..................... 515,255
Interest...................................................... 203,014
-----------
5,822,623
Expenses (Notes 2 and 4):
Management fees.................................... $1,591,029
Custodian fees..................................... 142,427
Bookkeeping service fees........................... 11,479
Professional fees.................................. 9,541
Registration fees.................................. 20,553
Transfer agent fees................................ 102,771
Trustees' fees..................................... 1,961
Miscellaneous...................................... 9,271 1,889,032
---------- -----------
Net investment income............................................ 3,933,591
-----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3).................................... 14,897,758
Options written (Notes 2 and 3)................................ 972,934
Net change in unrealized appreciation or depreciation of:
Investments.................................................... 54,960,995
Options written................................................ (101,923)
-----------
Net gain (loss) on investments................................... 70,729,764
-----------
Net increase (decrease) in net assets
resulting from operations...................................... $74,663,355
-----------
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Quantitative Equity Fund 45
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income.................................... $ 3,933,591 $ 6,811,978
Net realized gain (loss) from:
Investments........................................... 14,897,758 11,339,993
Options written....................................... 972,934 1,360,068
Net change in unrealized appreciation or depreciation of:
Investments........................................... 54,960,995 (18,625,251)
Options written....................................... (101,923) 116,517
------------ ------------
Net increase (decrease) in net assets resulting from operations... 74,663,355 1,003,305
Distributions to shareholders:
Net investment income.......................................... (1,995,280) (6,763,825)
Net realized gain on investments............................... (3,511,940) (15,563,510)
Increase (decrease) in net assets from Fund share transactions.... (719,723) 87,269,459
------------ ------------
INCREASE (DECREASE) IN NET ASSETS................................. 68,436,412 65,945,429
Net assets at beginning of period................................. 380,592,497 314,647,068
------------ ------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $2,067,565 and $129,254, respectively)...................... $449,028,909 $380,592,497
------------ ------------
------------ ------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- -------------------------
FUND SHARE TRANSACTIONS SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Fund shares sold.............................. 2,371,445 $ 63,724,290 6,025,143 $154,549,223
Fund shares issued to shareholders
in reinvestments of distributions........... 140,699 3,700,061 575,744 14,421,907
Fund shares redeemed.......................... (2,544,236) (68,144,074) (3,180,658) (81,701,671)
---------- ----------- ---------- -----------
Net increase (decrease)....................... (32,092) $ (719,723) 3,420,229 $ 87,269,459
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
46 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............................... $24.84 $26.44 $25.82 $25.88 $21.07 $23.57
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income............................. .25 .49 .45 .49 .58 .66
Net realized and unrealized gain on investments... 4.64 (.19) 2.69 1.67 5.93 (1.99)
------ ------ ------ ------ ------ ------
Total From Investment Operations.................. 4.89 .30 3.14 2.16 6.51 (1.33)
------ ------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Net investment income............................. (.13) (.49) (.45) (.49) (.58) (.64)
Net realized gain on investments.................. (.23) (1.41) (2.07) (1.73) (1.12) (.53)
------ ------ ------ ------ ------ ------
Total Distributions................................. (.36) (1.90) (2.52) (2.22) (1.70) (1.17)
------ ------ ------ ------ ------ ------
NET ASSET VALUE,
END OF PERIOD..................................... $29.37 $24.84 $26.44 $25.82 $25.88 $21.07
------ ------ ------ ------ ------ ------
------ ------ ------ ------ ------ ------
TOTAL RETURN (%)(a)................................. 19.87 .19 12.56 8.67 31.70 (5.60)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)...... .93 .94 .98 1.02 1.03 1.12
Net investment income to average net assets (b)... 1.93 1.95 1.68 1.94 2.39 2.94
Portfolio turnover (b)............................ 85.01 45.97 62.48 59.19 58.07 57.49
Net assets, end of period ($000 omitted).......... 449,029 380,592 314,647 244,870 201,614 147,730
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratio for the period ended June 30, 1995 is annualized.
</TABLE>
Quantitative Equity Fund 47
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
COMMON STOCKS - 91.6%
ARGENTINA - 0.2%
Banco de Galicia Y Buenos Aires
Class B - ADR 5,173 $ 81
Banco Frances del Rio la Plata - ADR 3,140 57
Buenos Aires Embotelladora SA - ADR 3,017 76
Comercial de Plata (a) 20,590 51
Naviera Perez Companc Class B 34,044 143
Sociedad Comercial del Plata - ADR (a) 1,556 38
Telecom Argentina SA Class B - ADR 1,280 58
Telefonica de Argentina Class B - ADR 11,240 278
Transportadora de Gas Del Sur Class B - ADR 4,760 43
YPF Sociedad Anonima Class D - ADR (a) 11,700 221
---------
1,046
---------
AUSTRALIA - 3.0%
Adelaide Steamship Co., Ltd. (a) 198,939 11
Amcor, Ltd. 33,800 249
Australia & New Zealand Bank Group, Ltd. 486,761 1,730
Australian Gas & Light Co. 89,713 284
Australian National Industries, Ltd. 336,270 292
Broken Hill Proprietary Co. 91,825 1,130
Burns Philip & Co., Ltd. 66,238 138
Caltex Australia 90,000 258
Coca-Cola Amatil, Ltd. 22,254 138
Coca-Cola Amatil, Ltd. Rights (a) 5,563 7
Coles Myer, Ltd. 109,100 343
Comalco 13,933 51
CSR, Ltd. 200,768 628
Eastern Aluminum 272,000 222
Elders Australia, Ltd. 200,000 220
Elders Australia, Ltd. Rights (a) 100,000 22
Fosters Brewing Group, Ltd. 277,600 247
Giant Resources (a)(d) 250,000 0
GIO Australia Holdings 251,203 468
Goodman Fielder Wattie 175,401 146
Hardie (James) Industries, Ltd. 92,400 146
Lend Lease Corp. 27,686 354
M.I.M. Holdings, Ltd. 71,169 88
Mayne Nickless, Ltd. 30,330 125
National Australia Bank, Ltd. 66,200 523
News Corp. 475,515 2,656
Normandy Poseidon 37,000 46
North Broken Hill Peko 172,500 417
Pacific Dunlop, Ltd. 119,496 251
Pioneer International, Ltd. 157,700 392
Publishing Broadcasting, Ltd. 53,360 157
QNI Limited (a) 226,000 308
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Renison Goldfields 87,099 $ 275
Rothmans Holdings 57,200 197
Santos, Ltd. 178,500 429
Southcorp Holdings, Ltd. 144,600 289
Stockland Trust Group 48,100 112
T N T, Ltd. (a) 354,790 466
Tabcorp. Holdings, Ltd. 65,000 134
Wesfarmers 59,770 379
Western Mining Corp. 545,363 3,004
Westfield Trust 144,000 252
Westfield Trust (units) (a) 6,480 11
Westpac Banking Corp. 126,414 457
Wills (W.D. & H.O.) 18,000 32
Woodside Petroleum, Ltd. 51,000 200
---------
18,284
---------
AUSTRIA - 0.6%
Bank Austria AG 2,400 200
Brau-Union Goess-Reininghaus-Osterreichische Brau (a) 2,527 157
BWT AG 1,700 206
Creditanstalt Bankverein 6,719 396
EA-Generali AG 200 59
EVN Energ-Versorg 1,000 140
Flughafen Wien AG 1,323 70
Interunfall Vericherungs AG 900 143
Lenzing AG 600 56
Oester Brau Beteil 1,200 63
Oester Elektrizita Class A 8,340 611
OMV AG 2,310 266
Universale-Bau (a) 400 16
VA Technologie AG (BR) 2,000 250
Veitsch Radex AG 1,000 24
Wiener Allianz Verscherung 700 155
Wienerberger Baustoff 300 115
Z Landerbank Bank Austria (PTG) 12,210 433
---------
3,360
---------
BELGIUM - 0.7%
Algem Maatsch Voor Nijverheidskredit Almanij NPV 205 57
Arbed SA NPV (a) 3,115 454
Banque Bruxelles Lambert New 57 9
Banque Bruxelles Lambert NPV 349 58
Barco NV NPV (a) 702 74
Electrabel NPV 3,578 756
Fortis AG 1,299 140
</TABLE>
International Securities Fund 49
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Generale de Banque NPV 1,980 $ 636
Gevaert Photo-Producten NV (a) 1,250 69
Groupe Bruxelles Lambert NPV 450 62
Kredietbank NPV 2,971 703
Petrofina SA NPV 200 60
Societe Generale de Belgique (a) 1,107 79
Solvay SA NPV 980 537
UCB Capital NV 634 633
---------
4,327
---------
BRAZIL - 0.2%
Cesp Cia Energetic - ADS (a) 3,600 40
Eletrobras (centrais) NPV 865,488 226
Sider Nacional Cia NPV 3,980,000 91
Telecomunicacoes Brasileiras - ADR 18,554 633
Telecomunicacoes Brasileiras NPV 4,161,000 118
Usinas Siderurgicas de Minas - ADR 3,738 42
---------
1,150
---------
CANADA - 0.7%
Abitibi-Price, Inc. 4,200 68
Air Canada, Inc. (a) 11,600 51
Alcan Aluminum, Ltd. 12,170 368
Bank of Nova Scotia Halifax 76 2
Barrick Gold Corp. 22,300 563
BCE, Inc. NPV 1,100 35
Brascan, Ltd. Class A 5,900 93
Brunswick Mining & Smelting Corp., Ltd. 8,600 62
CAE, Inc. (a) 10,400 75
Canadian Imperial Bank of Commerce 17,400 418
CCL Industries, Inc. Class B 7,400 74
Cominco, Ltd. (a) 11,900 219
Domtar, Inc. NPV (a) 14,000 134
Imperial Oil, Ltd. New 12,000 445
Laidlaw, Inc. Class B 12,100 116
MacMillan Bloedel, Ltd. 8,880 124
Moore Corp., Ltd. 8,000 175
National Bank of Canada 16,000 131
Placer Dome, Inc. 24,800 648
Royal Bank of Canada 4,000 89
Southam, Inc. 4,600 47
Teck Corp. Class B 13,400 265
Transalta Corp. 13,500 142
United Dominion Industries, Ltd. 3,200 72
---------
4,416
---------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
CHILE - 0.2%
Administradora de Fondos
de Pensiones Provida SA - ADR 1,208 $ 33
Chile Fund, Inc. 4,337 233
Chilectra SA - ADR 2,570 131
Chilgener SA - ADR 2,190 69
Compania de Telefonos (Chile) SA - ADR 1,060 86
Enersis SA - ADR 2,619 77
Five Arrows Chile Fund (PTG) 54,850 160
Five Arrows Chile Fund 1999 Warrants (a) 10,970 7
Genesis Chile Fund (PTG) 5,180 187
---------
983
---------
CHINA - 0.1%
Huaneng Power International, Inc. - ADR Series N (a) 15,100 277
Yizheng Chemical Fibre Series H 695,000 243
---------
520
---------
DENMARK - 0.4%
Bang & Olufsen Holdings Class B 1,000 272
Coloplast A/S Class B (Regd) (a) 3,500 265
Danisco (a) 5,700 244
Den Danske Bank 6,550 411
ISS International Series B 6,000 157
Novo Nordisk AS Class B 2,200 235
Sophus Berendsen Class B 2,100 198
Tele Danmark AS Series B 6,100 339
Unidanmark Class A (Regd) 3,370 165
---------
2,286
---------
FINLAND - 0.5%
America Group Class A 15,600 284
Cultor Oy Series I (a) 1,900 60
Enso Gutzeit OY Series A 14,000 127
Kansallis Osake PK (a) 170,000 185
Kemira Oy (a) 5,000 42
Kymmene Corp. 1,800 56
Metsa Serla OY Class B 4,500 200
Nokia AB Series A (a) 12,464 730
Outokumpu OY Class A 24,200 402
Partek AB OY 8,900 121
Rautaruukki OY 20,000 140
Repola OY 8,500 179
Stockmann OY AB Series B Free 1,200 51
Unitas Series A (a) 108,000 349
Valmet Corp. Class A 6,500 147
---------
3,073
---------
</TABLE>
50 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
FRANCE - 6.4%
Accor SA 4,240 $ 564
Alcatel Alsthom 10,410 937
Alcatel Cable 1,900 115
Assurances Generales de France 1,950 62
AXA (a) 13,300 718
Banque Nationale Paris 38,451 1,855
Boiron 1,700 167
Bouygues 3,056 366
Carnaudmetalbox 600 27
Carrefour SA 3,189 1,633
Castorama Dubois 2,000 331
Chargeurs Rights New (a) 2,005 40
Chargeurs SA 2,005 391
Christian Dior 5,500 484
Cic et de L'Union Europeene (a) 3,800 244
Cie de St. Gobain 9,082 1,097
Cie de Suez 21,673 1,206
Cie Finance Paribas Class A (BR) 39,749 2,389
Clarins (a) 2,300 217
Compagnie Bancaire SA 898 107
Credit Local de France 2,720 252
Credit Lyonnais Cert d'Invest. (a) 7,200 415
Credit National 1,626 131
D.M.C. Dollfuss-Mieg 6,450 363
Eaux (cie Generale) 27,688 3,082
Ecco STE 2,357 370
Erid Beghin-Say 1,815 280
Essilor Internationale 950 173
Groupe Danone 2,566 432
GTM - Entrepose (a) 2,300 181
L'Air Liquide 2,475 395
L'Oreal (Societe) 656 164
Lafarge Corp. SA (BR) 9,366 728
Lagardere Groupe (Regd) 9,500 197
Lapeyre (BR) 4,650 306
Legrand (a) 2,700 429
LVMH Moet-Hennessy 4,843 872
Lyonnais Eaux Dumez 1,670 158
Michelin (Cie Gen) Class B (Regd) 13,340 591
Moulinex (a) 12,000 290
Pechiney Cert d'Invest. 8,860 511
Peugeot SA 5,090 706
Pinault-Printemps Redoute SA 1,753 376
Poliet 3,700 336
Primagaz (Cie des Gaz) 1,419 247
Promodes 1,500 342
Renault 5,000 157
Rhone Poulenc SA Class A - ADR 8,500 192
Roussel Uclaf 530 83
S.G.E. 2,060 68
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Saint Louis 175 $ 54
Sanofi 8,418 466
Schneider SA (ex Spep) 295 23
SEITA 8,500 255
SGS Thomson Microelectronics (a) 9,600 386
Simco (Regd) 764 66
Societe Generale 32,263 3,771
Societe Nationale Elf d'Aquitaine 10,780 797
Sodexho (a) 840 190
Synthelabo 6,500 369
Thomson-CSF 13,500 302
Total Co. SA Class B 45,557 2,742
TV Francaise (TFI) 10,482 1,032
Ugine SA 2,600 183
Union des Assurances Paris 39,025 1,023
Union Financiere de France Banque SA 1,000 86
Valeo 14,450 703
Worms & Cie (Regd) 2,450 119
---------
38,344
---------
GERMANY - 5.8%
Allianz AG Holdings 778 1,389
Allianz AG Holding Rights (a) 778 58
Altana AG 262 142
AVA ALG Handels VB 1,541 602
Axel Springer Verlag (Regd.) 257 145
Bankgesell Berlin 1,300 344
BASF AG 1,200 256
Bayer AG 12,170 3,027
Bayer Hypotheken & Wechsell Bank 959 262
Bayer Motoren Werk 187 103
Bayer Vereinsbank AG 4,450 1,350
Berliner Handels & Frankfurter Bank 1,500 394
Bilfinger & Berger 541 250
Buderus AG 749 360
Commerzbank AG 1,381 330
Continental AG 1,300 189
Daimler-Benz AG 6,631 3,045
Deutsche Bank AG (a) 89,710 4,359
Deutsche Pfandief & Hypothekenbank AG 400 203
Dresdner Bank AG (a) 39,500 1,143
Dt Pfand 80 40
Gehe AG 1,620 744
Gehe AG New (a) 405 179
Heidelberg Zement 400 341
Hoechst AG 2,750 594
M.A.N. AG 1,500 387
Mannesmann AG 14,619 4,466
Munchener Ruckversicherungs 580 1,271
</TABLE>
International Securities Fund 51
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Preussag AG (a) 550 $ 164
Rheinmetall Berlin 100 18
Rhon Klinikum AG 435 513
RWE AG 1,500 521
SAP AG (a) 150 199
Schering AG (a) 10,130 708
Siemens AG 3,500 1,737
SKW Trostberg AG (a) 7,300 153
Thyssen AG (a) 1,600 298
Veba AG 3,817 1,500
Veba International Finance 1998 Warrants (a) 1,900 249
Volkswagen AG 9,326 2,694
---------
34,727
---------
HONG KONG - 3.3%
Cathay Pacific Airways 202,000 295
Cheung Kong Holdings, Ltd. 303,000 1,500
Citic Pacific, Ltd. 121,000 304
Cross Harbour Tunnel Co. 42,000 81
Dairy Farm International Holdings, Ltd. 146,744 126
Dickson Concept International 137,000 82
Great Eagle Holdings 100,000 213
H.S.B.C. Holdings (UK Regd) 57,550 738
Hang Seng Bank 70,000 534
Harbour Centre Development 45,000 48
Hong Kong & China Gas Co., Ltd. 185,088 295
Hong Kong & Shanghai Hotel 35,500 44
Hong Kong Electric 178,500 607
Hong Kong Ferry 108,000 122
Hong Kong Land Holdings, Ltd. 528,207 961
Hong Kong Telecommunications 702,000 1,388
Hopewell Holdings, Ltd. 567,379 480
Hutchison Whampoa, Ltd. 828,000 4,002
Jardine International Motor 68,000 67
Kowloon Motor Bus 35,200 63
Kumagai Gumi Hong Kong 59,000 50
Lai Sun Garment International 46,200 48
Lane, Crawford International Class A 76,000 102
Mandarin Oriental International, Ltd. (a) 364,629 365
National Mutual Asia 616,000 394
New World Development Co., Ltd. 112,000 373
Regal Hotels International 1,083,000 214
San Miguel Brewery 71,200 48
Shanghai Petrochemical Class H 822,000 258
Shun Tak Holdings, Ltd. 84,000 67
Sing Tao 546,000 300
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Sino Land Co. 313,764 $ 229
South China Morning Post 194,000 117
Stelux Holdings International (a) 178,372 52
Sun Hung Kai Properties, Ltd. 124,400 920
Swire Pacific, Ltd. Class A 262,000 1,998
Television Broadcast 192,000 675
Wharf Holdings 502,442 1,640
Wheelock & Co. 130,000 216
Winsor Industrial Corp., Ltd. 87,500 117
---------
20,133
---------
INDIA - 0.0%
Shiriram Industria (units) 3,000 86
---------
86
---------
INDONESIA - 0.0%
Astra International (Alien Market) 96,500 171
---------
171
---------
IRELAND - 0.1%
Allied Irish Banks 52,000 246
CRH PLC 34,000 230
---------
476
---------
ITALY - 2.9%
Alitalia-Linee Aeree (a) 90,000 43
Alleanza Assicurazioni di Risp 143 1
Assicurazioni Generali SPA 56,612 1,330
Banca Commerciale Italiana 110,750 250
Banca Commerciale Italiana 1995 Warrants (a) 35,375 18
Banca Pop di Bergamo CV 3,000 35
Banco Ambrosiano Veneto di Risp NC 145,000 197
Banco Commerciale Italiana di Risp 44,000 93
Banco di Napoli di Risp (a) 257,000 115
Banco di Roma (a) 220,250 201
Banco Fideuram SPA 77,525 88
Benetton Group SPA 85,800 850
Bonifiche Siele Finanziaria (a) 4,000 87
Burgo (Cartiere) SPA 32,500 215
CIR Compagnie Industriali (a) 187,000 143
CIR Compagnie Industriali di Risp (a) 63,000 30
Credito Italiano 32,500 38
Credito Italiano di Risp NC 70,000 77
</TABLE>
52 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Danieli & Co. (a) 3,000 $ 19
Danieli & Co di Risp NC 13,400 41
Danieli & Co. 1999 Warrants (a) 3,350 2
Edison (a) 63,000 281
Editoriale La Repubblica SPA (a) 85,000 101
Fiat SPA (a) 860,366 3,034
Fiat SPA di Risp NC 79,000 170
Fidis 25,500 54
Fila Holdings SPA - ADR 13,450 335
Finmeccanica SPA (a) 140,000 88
First Banco S. Paolo 64,000 347
Gilardini Industrie 17,500 34
I.M.I 52,850 323
Industria Macchine Automatiche SPA (a) 40,000 189
Industrie Natuzzi SPA - ADR 7,800 258
Istituto National Assicurazioni (a) 195,000 262
Italcementi (a) 30,500 210
Italcementi NC di Risp (a) 9,500 30
Italgas (Soc. Ital.) 56,000 145
Marzotto & Figli 4,000 25
Mondadori (Arnoldo) Editore 35,000 224
Montedison SPA (Ferruzzi Agricola) (a) 684,000 490
Montedison SPA (Ferruzzi Agricola) NC di Risp (a) 535,000 333
Olivetti & Cie SPA (a) 332,500 325
Parmalat Finanziaria SPA 76,000 68
Pirelli & Co. 45,000 63
Pirelli & Co. Rights (a) 45,000 5
R.A.S. 3,090 33
R.A.S. NV di Risp 35,700 227
R.A.S. 1997 Warrants (a) 15,300 36
Rinascenti (LA) 41,100 234
Rinascenti (LA) di Risp NC 12,000 32
Saipem AG 47,500 95
Sasib SPA 31,000 144
Sasib SPA di Risp NC 54,147 145
Sirti SPA 61,000 451
SME (Meridonale di) 50,700 127
SNIA BPD (a) 135,000 155
Sorin Biomedica Group SPA 8,000 19
Stet 156,330 432
Stet di Risp NC 176,600 392
Telecom Italia di Risp 259,518 549
Telecom Italia SPA 1,089,895 2,954
Unicem di Risp 10,460 62
---------
17,354
---------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
JAPAN - 30.6%
Achilles Corp. 120,000 $ 440
Advantest 9,000 340
Aisin Seiki Co., Ltd. 11,000 126
Ajinomoto Co., Inc. 3,000 31
Alps Electric Co. 29,000 304
Amada Co., Ltd. 81,000 693
Aoki Corp. 75,000 273
Arabian Oil Co. (a) 2,400 102
Asahi Bank 35,000 374
Asahi Breweries 7,000 81
Bank of Yokohama 15,000 128
Banyu Pharmaceutical 11,000 130
Bunka Shutter Co. (a) 36,000 178
Canon, Inc. 51,000 830
Canon Sales Co., Inc. 2,000 56
Central Glass Co. (a) 30,000 102
Chiba Bank, Ltd. 8,000 73
Chuetsu Pulp & Paper (a) 100,000 522
Chugai Pharmaceutical Co. 31,000 314
Chuo Spring Co. 60,000 307
Chuo Trust & Banking 85,000 963
Citizen Watch Co., Ltd. 34,000 211
Cosmo Oil Co. 155,000 876
CSK Corp., Ltd. 11,800 273
Dai Ichi Kangyo Bank 75,000 1,354
Dai Ichi Pharmaceutical Co. 50,000 732
Dai Nippon Printing, Ltd. 51,000 812
Dai Nippon Screen Manufacturing Co. (a) 123,000 827
Daicel Chemical Industries 59,000 302
Daido Hoxan, Inc. (a) 35,000 218
Daido Steel Co. 85,000 401
Daiei, Inc. 183,000 2,224
Daifuku Machinery Co. 12,000 134
Daikin Industries 79,000 636
Daikyo, Inc. 6,000 42
Daishi Bank (a) 60,000 416
Daishinku Corp. 30,000 310
Daito Trust Construction 60,000 566
Daiwa Bank 197,000 1,778
Daiwa House Industries Co. 44,000 675
Daiwa Kosho Lease Co. Ltd. 5,000 46
Daiwa Securities 211,000 2,226
DDI Corp. 429 3,442
East Japan Railway 610 3,131
Eisai Co. 3,000 51
Fanuc Co. 12,000 518
Fuji Denki Reiki 31,000 337
</TABLE>
International Securities Fund 53
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Fuji Electric Co. (a) 50,000 $ 252
Fuji Fire & Marine Insurance (a) 40,000 224
Fuji Heavy Industries (a) 13,000 48
Fuji Oil Co. 46,000 345
Fuji Photo Film Co. 48,000 1,138
Fujisawa Pharmaceutical 35,000 367
Fujita Corp. 48,000 226
Fujita Kanko, Inc. 3,000 66
Fujitsu Denso 25,920 474
Fujitsu, Ltd. 76,000 758
Fukui Bank 80,000 429
Fukuyama Transporting Co. 9,000 82
Futaba Corp. 17,000 770
Gakken Co. (a) 196,000 1,205
General Sekiyu KK 17,000 181
Gunze Sangyo, Inc. 50,000 207
Hankyu Corp. 29,000 174
Hanshin Electric Railway 60,000 220
Hanwa Co. (a) 20,000 52
Haseko Corp. 55,000 260
Heiwa Corp. NPV 20,000 455
Hitachi Cable 10,000 65
Hitachi, Ltd. 341,000 3,400
Hitachi Zosen Corp. 53,000 214
Hokkai Can Co. 50,000 393
Hokkaido Takushoku Bank, Ltd. 250,000 684
Hokko Chemical Industries 50,000 277
Hokuetsu Bank (a) 74,000 444
Honda Motor Co., Ltd. 148,000 2,270
Hoya Corp. 2,000 59
Hyakugo Bank 70,000 491
Inax Corp. 45,000 434
Intec, Inc. 28,000 337
Ishihara Sangyo (a) 96,000 285
Ishikawajima-Harima Heavy Industries 200,000 786
Ishizuka Glass Co. 80,000 413
Ito-Yokado Co., Ltd. 34,000 1,793
Itochu Corp. 23,000 134
Itoham Foods 45,000 345
Japan Airport Terminal 4,000 47
Japan Aviation Electronics (a) 6,000 34
Japan Energy Corp. 55,000 178
Japan Synthetic Rubber 30,000 152
Japan Tobacco, Inc. 115 1,028
Joshin Denki Co. (a) 5,000 57
Juroku Bank (a) 70,000 453
Kaken Pharmaceutical (a) 60,000 570
Kamigumi Co. 5,000 50
Kanematsu Corp. 382,000 1,442
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Kankaku Securities 41,000 $ 133
Kao Corp. 65,000 782
Kato Works Co. 60,000 292
Kawasaki Heavy Industries 192,000 709
Kawasaki Kisen (a) 120,000 311
Kawasho Corp. (a) 122,000 504
Keihin Electric Express 15,000 99
Keio Teito Electric Railway 23,000 135
Keisei Electric Railway 9,000 59
Kinki Nippon Railway 58,000 509
Kirin Brewery Co. 18,000 191
Kitz Corporation 80,000 349
Koa Fire & Marine 50,000 307
Koa Oil Company 80,000 560
Kokuyo Co., Ltd. 20,000 448
Komatsu Forklift Co., Ltd. 89,000 679
Komori Corp. 73,000 1,490
Konica Corp. 128,000 784
Krosaki Corp. (a) 107,000 394
Kumagai Gumi Co. 176,000 737
Kumiai Chemical Industry Co. (a) 45,000 263
Kurabo Industries 247,000 892
Kuraray Co., Ltd. 49,000 532
Kureha Chemical Industrial Co. 50,000 201
Kyocera Corp. 32,000 2,635
Kyokuto Boeki 51,000 361
Kyowa Hakko Kogyo 7,000 68
Maeda Corp. 9,000 100
Makita Corp. 36,000 493
Marubeni Corp. 147,000 748
Marudai Food Co. 15,000 100
Marui Co., Ltd. 83,000 1,322
Matsushita Electric Industrial Co., Ltd. 160,000 2,492
Matsushita ElectricWorks 7,000 75
Matsuzakaya Co. 51,000 517
Minolta Camera Co. (a) 65,000 238
Mitsubishi Corp. 31,000 353
Mitsubishi Electric Corp. 127,000 893
Mitsubishi Estate Estate Company, Ltd. 51,000 575
Mitsubishi Gas & Chemical 44,000 187
Mitsubishi Heavy Industries 133,000 904
Mitsubishi Kasei 220,000 942
Mitsubishi Material 112,000 502
Mitsubishi Motors Corp. 100,000 825
Mitsubishi Oil Co. 22,000 211
Mitsubishi Paper Mills 41,000 216
Mitsubishi Trust & Banking 65,000 920
Mitsubishi Warehouse 3,000 41
Mitsui & Co. 166,000 1,297
</TABLE>
54 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Mitsui Fudosan Co., Ltd. 156,000 $ 1,787
Mitsui Petrochemical Industry 67,000 508
Mitsui Soko Co. 52,000 377
Mitsui Toatsu Chemical (a) 40,000 147
Mitsui Trust and Banking 84,000 773
Mitsukoshi 80,000 572
Mochida Pharmaceutical Co. 2,000 31
Mori Seiki Co. 2,000 36
Morinaga Milk Industry Co. 78,000 364
Murata Manufacturing Co. 14,000 530
Nagasakiya Co. (a) 110,000 494
Nagoya Railroad Co., Ltd. 28,000 148
Nankai Electric Railway 15,000 110
National House Industrial 11,000 204
Navix Line (a) 102,000 218
NEC Corp. 594,000 6,511
New Oji Paper Co. 182,000 1,750
Nichido Fire & Marine 169,000 1,366
Nichiei Co., Ltd. of Kyoto 105,000 421
Nichiei Co., Ltd. of Yokohama 80,000 869
Nichimo Co. (a) 53,000 231
Nikon Corp. (a) 121,000 1,191
Nippon Credit Bank 200,000 991
Nippon Denso Co. 51,000 927
Nippon Express Co. 45,000 414
Nippon Hodo Co. 14,000 246
Nippon Kinzoku Co. 100,000 431
Nippon Oil Co. 348,000 2,188
Nippon Road Co. 60,000 595
Nippon Sheet Glass 59,000 264
Nippon Steel Corp. 773,000 2,517
Nippon Suisan (a) 280,000 1,325
Nippon Telegraph & Telephone Corp. 314 2,630
Nissan Motor Co., Ltd. 439,000 2,807
Nissan Shatai Co. 45,000 241
Nisshinbo Industries, Inc. 22,000 174
Nissin Electric 40,000 264
Nitto Denko Corp. 17,000 265
NKK Corp. (a) 150,000 352
Nomura Securities 153,000 2,672
NSK, Ltd. 128,000 739
NTT Data Communications Systems Corp. (a) 37 581
Obayashi Corp. 130,000 1,000
Odakyu Electric Railway 26,000 189
Okamoto Industries, Inc. 7,000 40
Okamura Corp. 80,000 572
Ono Pharmaceutical 2,000 87
Onoda Cement Co. 5,000 23
Osaka Gas Co. 120,000 443
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Parco Co., Ltd. 6,000 $ 63
Pioneer Electronics Corp. 109,000 1,852
Renown, Inc. (a) 63,000 186
Ricoh Co., Ltd. 50,000 429
Sagami Co. 29,000 212
Sagami Railway Co. 14,000 65
Sakura Bank 180,000 1,880
Sangetsu Co. 13,000 345
Sankyo Co. 34,000 790
Sankyo Seiko Co. 68,000 510
Sankyu, Inc. 180,000 673
Sanrio Co. 1,000 10
Sanwa Bank (a) 40,000 755
Sanyo Electric Co., Ltd. 85,000 418
Sapporo Breweries 5,000 47
Sasebo Heavy Industries Co. 124,000 247
Secom Co. 2,000 126
Sega Enterprises 4,800 170
Seibu Railway Co. 9,000 344
Seino Transportation 13,000 219
Sekisui Chemical Co., Ltd. 71,000 838
Sekisui House, Ltd. 71,000 880
Settsu Corp. (a) 39,000 120
Seven Eleven Japan NPV 5,000 358
Sharp Corp. 305,000 4,030
Shikoku Chemical Corp. 70,000 335
Shikoku Electric Power 35,000 975
Shin-Etsu Chemical Co. 27,000 475
Shionogi & Co. 5,000 44
Shiseido Co., Ltd. 5,000 56
Showa Aircraft Industry 8,000 82
Showa Aluminium Co. 90,000 367
Showa Shell Sekiyu 17,250 165
Sintokogio 62,000 465
Skylark Co. 2,000 31
Snow Brand Milk 90,000 706
Sony Corp. 90,400 4,341
Sumitomo Bank 114,000 1,977
Sumitomo Corp. 185,000 1,685
Sumitomo Electric Industries 72,000 858
Sumitomo Forestry 89,000 1,481
Sumitomo Metal Industries, Ltd. (a) 702,000 1,830
Sumitomo Realty & Development 361,000 2,155
Sumitomo Rubber Industries 76,000 565
Sumitomo Trust & Banking 99,000 1,203
SXL Corp. 40,000 431
Taisei Corp. 15,000 89
Taisho Pharmaceutical Co., Ltd. 5,000 97
Takeda Chemical Industries 15,000 198
Tanabe Seiyaku Co. 67,000 501
</TABLE>
International Securities Fund 55
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
TDK Corp. 14,000 $ 638
Teijin, Ltd. 217,000 1,039
Teikoku Oil 13,000 77
Tobu Railway Co. 29,000 181
Toho Co. 5,200 865
Toho Gas 100,000 356
Tohoku Electric Power (a) 45,000 1,248
Tokio Marine & Fire 144,000 1,651
Tokyo Broadcasting 52,000 742
Tokyo Dome Corp. (a) 4,000 61
Tokyo Electric Co., Ltd. (a) 119,000 470
Tokyo Electronics 14,000 479
Tokyo Ohka Kogyo 41,700 1,137
Tokyo Steel Manufacturing 17,000 291
Tokyo Tatemono Co., Ltd. 7,000 36
Tokyotokeiba Co. 7,000 28
Tokyu Construction 28,000 144
Tokyu Corp. 40,000 257
Tokyu Land Corp. 13,000 55
Tonen Corp. 31,000 483
Toppan Printing 34,000 445
Toshiba Engineering & Construction 50,000 410
Toshiba Tungaloy Co. (a) 120,000 484
Tostem Corp. 2,000 62
Toto, Ltd. 3,000 43
Totoku Electric Co. 60,000 315
Toyo Construction (a) 140,000 732
Toyo Engineering Co. 3,000 17
Toyo Trust & Banking 11,000 92
Toyota Motor Corp. 83,000 1,645
UBE Industries (a) 108,000 377
Uni-Charm Corp. 35,000 686
Victor Co. of Japan (a) 24,000 258
Wacoal Corp. 62,000 768
Yamaha Motor Co. 85,000 618
Yamaha Motor Corp. 141,000 1,539
Yamaichi Securities Co. 143,000 766
Yamanouchi Pharmaceutical 4,000 90
Yamato Transport 35,200 375
Yamazaki Baking Co., Ltd. (a) 20,000 411
Yasuda Fire & Marine Insurance Co., Ltd. (The) (a) 150,000 938
Yasuda Trust & Banking 185,000 1,212
Yokogawa Electric Co. 11,000 77
Yurtec Corp. 19,000 417
Zexel Corporation 80,000 540
---------
183,897
---------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
MALAYSIA - 2.1%
Affin Holdings Berhad 425,000 $ 749
Affin Holdings Berhad 1999 Warrants (a) 85,000 54
Aokam Perdana Berhad 70,000 174
Berjaya Sports (a) 199,000 353
Carlsberg Brewery Malaysia Berhad 35,000 165
Commerce Asset Holdings Rights (a) 43,333 115
Faber Group Berhad (a) 81,000 78
Genting Berhad 50,000 494
Golden Hope Plantation 31,000 57
Highlands & Lowlands 54,000 104
Hume Industries Berhad 6,000 33
Idris Hydraulic (a) 46,000 63
Kuala Lumpur Kepong (a) 20,000 63
Magnum CP Berhad 7,500 17
Malayan Banking Berhad (a) 750 6
Malayan United Industries 33,000 57
Malaysia Mining Corp. 16,000 29
Malaysian Airline System 60,000 203
Multi Purpose Holding 324,000 571
Perlis Plantations (a) 14,000 47
Public Bank Berhad (Alien Market) 244,000 545
Renong Berhad 797,000 1,484
Resorts World Berhad 302,000 1,771
Selangor Properties (a) 21,000 24
Sime Darby Berhad (Resident Shares) 360,800 1,006
Sime UEP Properties Berhad 80,000 157
Tan Chong Motor Holdings 484,000 552
Tanjong PLC 121,000 417
Technical Resource Industries Berhad (a) 392,000 1,125
Telekom Malaysia 49,000 372
United Engineers Berhad 237,000 1,507
----------
12,392
----------
MEXICO - 0.5%
Cemex SA Class B NPV 33,360 120
Cifra SA de CV - ADR 372,180 513
Compania Cervecerias Unidas SA - ADR 2,702 71
Empresa Nacional de Electric - ADR 5,588 140
Formento Economico Series B NPV 29,613 69
Gruma SA Series B NPV (a) 25,169 72
Grupo Embotellador de Mexico (a) 34,154 178
Grupo Financiero Banamex AC Series B 18,493 29
Grupo Financiero Banamex AC Series L NPV 924 1
Grupo Financiero Bancomer Series C - GDS (a) 520 3
Grupo Industrial Maseca Series B NPV 148,656 99
</TABLE>
56 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Grupo Sidek Series B NPV (a) 47,520 $ 43
Grupo Television SA de CV - GDR 10,017 204
Pan American Beverage Class A 5,584 168
Telefonos de Mexico SA Series L - ADR 32,169 953
Tolmex SA de CV Class B 60,358 236
---------
2,899
---------
NETHERLANDS - 4.1%
ABN AMRO Holdings NV 18,399 710
Ahold-NV 16,596 594
AKZO Nobel NV 4,146 496
Boskalis Westminster CVA 13,800 192
CSM NV CVA 15,674 691
DSM NV (BR) 5,900 508
Elsevier NV 251,300 2,968
Fortis Amev NV 5,539 302
Hagemeyer NV (a) 3,608 161
International Nederlanden CVA 26,580 1,470
KNP BT (Kon) NV 8,700 262
Kon Ptt Nederland 24,889 895
Nedlloyd Groep NV 8,800 300
Nutricia Verenigde Bedrijven CVA 3,024 210
Philips Electronics 17,500 741
Polygram 23,825 1,407
Royal Dutch Petroleum Co. (BR) 33,936 4,144
Unilever NV CVA 12,230 1,591
Wolters Kluwer CVA 77,738 6,858
---------
24,500
---------
NEW ZEALAND - 0.7%
Air New Zealand Class B 212,290 617
Carter Holt Harvey 234,855 575
DB Group, Ltd. (a) 92,500 58
Fernz Corp. 3,900 11
Fletcher Challenge, Ltd. 413,812 1,162
Fletcher Challenge, Ltd. (Forests Division) 59,809 79
Lion Nathan, Ltd. 342,500 678
Tasman Properties, Ltd. (a) 26,233,200 386
Telecom Corp. of New Zealand 111,600 418
Wrightson Limited 150,000 103
---------
4,087
---------
NORWAY - 1.3%
Aker AS Series A 1,600 22
Aker AS Series B 5,400 68
Bergesen DY AS Series A 12,420 282
Bergesen DY AS Series B 2,600 59
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Den Norske Creditbank AS 53,700 $ 146
Det Norske Luftsfartsverk AS Series B 3,100 133
Dyno Industrier AS 7,700 194
Elkem AS Series A 9,900 138
Hafslund Nycomed AS Series A 5,650 133
Hafslund Nycomed AS Series B Free 16,100 372
Kvaerner AS 8,040 365
Kvaerner Industries AS Series B Free 1,750 77
Leif Hoegh & Co. AS 4,600 62
Norsk Hydro AS 78,834 3,307
Norske Skogindustrier AS Class A 1,400 49
Olav Thon Eiendomsselskap AS 13,300 218
Orkla AS 19,391 869
Orkla AS Series B Free 700 30
Saga Petroleum AS 1,900 27
Saga Petroleum AS Series B Free 6,610 88
Schibsted AS 39,100 495
Simrad AS Class B 11,200 138
Unitor AS 6,100 106
Vard AS (a) 5,428 10
Veidekke AS 8,100 159
---------
7,547
---------
PHILIPPINES - 0.0%
Enron Global Power & Pipelines L.L.C. 1,849 44
---------
44
---------
PORTUGAL - 0.1%
Banco Espir Santo (Regd) 22,100 369
Jeronimo Martins 6,796 346
---------
715
---------
SINGAPORE - 2.2%
Chuan HUP Holdings, Ltd. 136,000 111
DBS Land 243,000 762
Development Bank (Alien Market) 39,000 444
Far East Levingston 16,000 77
First Capital Corp. 118,000 365
Fraser & Neave 78,000 899
Hai Sun Hup Group 242,000 145
Haw Par Brothers International, Ltd. 105,300 220
Hotel Properties 66,000 117
Inchcape Berhad 33,000 108
Indonesian Development 28,000 224
Jardine Matheson Holdings, Ltd. 109,928 808
Jardine Strategic Holdings, Ltd. 358,361 1,154
Jardine Strategic Holdings, Ltd. 1998 Warrants (a) 39,817 17
</TABLE>
International Securities Fund 57
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Jurong Shipyard 55,000 $ 393
Keppel Corp. 141,000 1,150
Lum Chang Holdings 70,800 60
Metro Holdings, Ltd. 9,000 38
Natsteel, Ltd. 87,000 182
Neptune Orient Lines, Ltd. 232,000 269
Overseas Chinese Banking (Alien Market) 4,333 48
Overseas Union Bank (Alien Market) 22,100 139
Overseas Union Enterprises 41,000 251
Prima, Ltd. 7,000 26
Robinson & Co., Ltd. 33,000 136
Sembawang Shipyard 89,000 541
Shangri-La Hotel 6,000 24
Singapore Airlines, Ltd. (Alien Market) 53,000 489
Singapore Land 167,000 1,093
Singapore Press Holdings (Alien Market) 17,760 266
Singapore Telecommunications, Ltd. (a) 73,000 145
Straits Trading Co. 164,000 411
Times Publishing 39,000 96
United Industrial Corp., Ltd. (a) 968,000 935
United Overseas Bank, Ltd. (Alien Market) 90,966 859
United Overseas Bank, Ltd. 1997 Warrants (a) 15,866 75
WBL Corp., Ltd. 22,000 49
---------
13,126
---------
SOUTH AFRICA - 0.3%
Barlow, Ltd. 33,000 338
De Beers Consolidated Mines, Ltd. - ADR 15,300 396
Free State Consolidated Gold Mines, Ltd. - ADR 19,200 235
ISCOR SA 525,100 596
Safmarine & Rennie Holdings, Ltd. 60,000 174
South African Breweries 3,000 85
South African Breweries - ADR 7,800 223
Vaal Reefs Exploration & Mining, Ltd. New ADR 14,800 92
---------
2,139
---------
SOUTH KOREA - 0.3%
Korea Electric Power Corp. 6,900 259
Pohang Iron & Steel 4,800 414
Samsung Electronics - GDS (a) 1,820 87
Samsung Electronics Co. - GDS (a) 9,200 485
Samsung Electronics, Ltd. 3,250 523
Samsung Electronics, Ltd. New (a) 642 102
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Yukong Ltd. (a) 3,571 $ 149
Yukong, Ltd. New (a) 356 14
---------
2,033
---------
SPAIN - 2.5%
Argentaria 10,500 388
Asturiana Del Zinc (a) 4,586 44
Aumar (Aut Del Mar) 8,480 101
Banco Bilbao Vizcaya 24,136 696
Banco Central Hispano Americano SA (Regd) 46,700 989
Banco de Santander SA (Regd) 36,115 1,424
Banco Exterior Espana 3,200 83
Banco Intercontinental 6,375 574
Banco Pastor SA 3,000 145
Banco Popular Espanol (Regd) 5,457 811
Banco Zaragozano (Regd) (a) 6,200 97
Bodegas Y Bebidas (a) 575 17
Bodegas Y Bebidas Series 3 (BR) 2,300 67
Centros Commerciales Pryca 40,111 745
Conserva Campofrio SA 950 44
Cristale Espanola (BR) (a) 3,789 216
Cubiertas Y Mzov 543 34
Dragados Y Construcciones SA 4,100 60
Ebro Agricolas 10,540 110
Empresa Nacional de Celulosas (a) 11,900 303
Empresa Nacional de Electricidad 17,887 883
Fab Autom Renault 1,700 51
Fom Construction Y Contra 3,615 307
Fuerzas Electricat Series A 59,521 346
Gas Natural SDG SA 3,553 424
Grupo Anaya SA 2,200 57
Iberdrola SA 184,202 1,387
Koipe SA 1,212 70
Obrascon SA 8,000 99
Repsol SA 28,236 888
Sevillana de Electrica 43,136 265
Sociedad General Azucarera de Espana SA de CV 12,271 344
Tabacalera SA Series A (Regd) 22,569 844
Tableros de Fibras Series B (a) 14,650 170
Tableros de Fibras Series B New (a) 4,184 49
Telefonica de Espana 116,037 1,494
Union Electrica Fenosa 26,500 124
Uralita (a) 17,750 214
Vallehermoso SA 4,266 73
Viscofan Envoltura 20,000 296
---------
15,333
---------
</TABLE>
58 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
SWEDEN - 2.6%
Asea AB Free Series A 3,180 $ 274
Astra AB Series A 161,290 4,980
Astra AB Series B 48,550 1,462
Atlas Copco AB Series B 18,000 250
Avesta-Sheffield 71,500 787
Electrolux AB Series B Free 10,850 494
Ericsson (LM) Telephone Co. Class B 31,600 630
Esselte AB Series B Free 4,820 60
Foreninsbanken Kredit AB Series A (a) 161,000 275
Hennes & Mauritz AB Series B Free 12,140 711
Hoganas AB B Shares 14,000 273
Hufvudstaden Fast Series A 6,600 37
Incentive Series B Free 17,300 697
Investor AB Series A Free 1,500 44
Kinnevik Investment Series B Free 10,500 321
Mo Och Domsjo AB Series B 800 46
Munksjo AB 40,900 357
OM Gruppen AB (a) 24,000 253
Pharmacia AB Class B (a) 2,100 46
Pharmacia AB Series A 6,317 139
Sandvik AB Series B 18,470 335
Scribona AB Series B Free 3,060 23
Skand Enskilda Barken Series A 315,160 1,638
Skanska Series B AB Free 4,900 113
SKF AB Series A (a) 25,000 502
SKF AB Series B Free 3,600 73
Stora Kopparbergs Series B (a) 16,800 228
Svenska Handelsbank Series A 13,300 198
Trelleborg AB Series B Free 33,800 395
Volvo AB Series B 15,250 290
---------
15,931
---------
SWITZERLAND - 3.7%
Baer Holdings AG (BR) 210 246
Baloise Holdings (Regd) 95 216
BBC Brown Boveri (BR) 1,607 1,663
Bil GT Gruppe AG 370 208
Ciba Geigy AG (BR) 50 37
Ciba Geigy AG (Regd) 2,066 1,514
CS Holdings (Regd) 18,220 1,669
Fischer (Georg) AG (BR) 395 532
Helvetia Schweizerische Vericherungs-Gesellschaft (Regd) 200 103
Hilti AG 175 155
Holderbank Financiere Glarus (BR) 390 320
Holderbank Financiere Glarus AG 1995 Warrants (a) 1,950 3
Nestle SA (Regd) 2,025 2,108
Phoenix Mecano (BR) 500 206
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Richemont Series A (BR) 200 $ 247
Roche Holdings Genusscheine AG NPV 400 2,578
Sandoz AG (Regd) 2,524 1,740
Sarna Kunststoff Holdings AG (Regd) 100 127
Schweis Rueckversicherung (BR) 110 85
Schweiz Bankgesellsch (BR) 1,402 1,453
Schweiz Bankverein (BR) 5,787 2,050
Schweiz Bankverein (Regd) 3,201 567
Schweiz Ruckversicher (Regd) 1,450 1,117
SGS Holding (BR) 250 434
SGS Holding (Regd) 200 64
SMH AG Neuenburg (BR) 310 199
SMH AG Neuenburg (Regd) 3,600 485
Swissair (Regd) 300 208
Winterthur (BR) 160 98
Winterthur (Regd) 670 403
Winterthur Finance Rights New (a) 830 6
Zurich Versicherung (BR) 605 760
Zurich Versicherung (Regd) 470 591
---------
22,192
---------
THAILAND - 0.2%
Advanced Information Services (Alien Market) 9,900 141
Bangkok Bank (Alien Market) 28,000 309
Bank of Ayudhya Public Co., Ltd. (Alien Market) 33,300 163
Land & House (Alien Market) 5,000 105
Siam Cement Co. (Alien Market) 4,200 268
Siam Commercial Bank (Alien Market) 17,000 163
Thai Farmers Bank (Alien Market) 23,900 229
United Communications Industries (Alien Market) 9,000 131
---------
1,509
---------
UNITED KINGDOM - 15.3%
Abbey National PLC 176,000 1,310
Airtours PLC 55,000 353
Allied Colloids PLC 135,000 265
Amec PLC 50,732 51
Amstrad PLC 39,332 155
Argos PLC 74,000 508
Argyll Group PLC 379,595 2,026
ASDA-MFI Group PLC 1,585,659 2,383
Associated British Ports PLC 75,000 334
B.A.T. Industries PLC 199,479 1,529
BAA PLC 18,000 141
Barclays Bank PLC 75,000 806
</TABLE>
International Securities Fund 59
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Barratt Development PLC 11,800 $ 34
BASS PLC 94,015 899
Berisford PLC 9,000 30
BOC Group PLC 26,000 332
Boots Co. PLC 13,985 113
Bowater PLC 44,000 338
British & Commonwealth Shipping PLC (a)(d) 23,000 0
British Aerospace PLC 146,945 1,316
British Aerospace PLC (units) (a) 2,422 27
British Gas PLC 225,600 1,039
British Land Co. PLC 13,871 88
British Petroleum Co. PLC 628,133 4,501
British Telecommunications PLC 241,560 1,506
BTR PLC 218,880 1,112
Bunzl PLC 16,721 53
Burton Group PLC 150,583 199
Cable & Wireless PLC 172,000 1,176
Cadbury Schweppes PLC 378,418 2,763
Caradon PLC 182,916 687
Carlton Communications PLC 2,160 33
Charter PLC (Regd) 5,079 73
Clyde Petroleum PLC 66,250 44
Coats Viyella PLC 60,000 178
Compass Group PLC (a) 23,000 136
Costain Group PLC (a) 113,765 193
Cowie Group PLC 97,812 431
Dalgety PLC 70,000 490
Dixon Group PLC (a) 21,661 88
East Midlands Electricity PLC 45,080 460
Eastern Electric PLC 23,659 244
English China Clay PLC 23,960 148
First Leisure Corp. PLC 85,000 404
First National Finance Corp. PLC 341,000 486
Forte PLC 328,630 1,189
General Electric Co. PLC 146,870 717
Glaxo Holdings PLC 489,697 6,009
Glynwed International PLC 64,700 335
Granada Group PLC 80,000 776
Grand Metropolitan PLC 237,104 1,454
Great Portland Estates PLC 93,930 253
Great University Stores PLC 9,596 90
Greenalls Group PLC 29,637 229
Guardian Royal Ex PLC 161,600 531
Guinness PLC 188,900 1,421
H.S.B.C. Holdings PLC 43,000 555
Hammerson Property PLC 104,430 576
Hanson PLC 246,000 859
Health (CE) & Co. PLC 13,000 41
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Heywood Williams Group PLC 30,041 $ 107
Hillsdown Holdings PLC 243,943 702
Huntingdon International Holdings PLC - ADR (a) 92,000 426
Imperial Chemical Industries PLC 96,737 1,186
Inchcape PLC (a) 20,000 94
Invesco PLC 115,000 389
Kingfisher PLC 225,442 1,522
Ladbroke Group, Ltd. PLC 233,047 627
Laing (John) PLC Class A NV 72,000 236
LASMO PLC 121,506 331
Lloyds Bank PLC 98,000 972
London Electricity PLC 78,431 801
London International Group PLC 28,074 49
Lonrho PLC 169,414 399
Manweb PLC 5,758 60
Marks & Spencer PLC 83,974 540
MEPC PLC 78,540 478
MFI Furniture Group PLC 197,000 367
Midlands Electric PLC 13,339 134
National Power PLC 58,143 412
National Westminster Bank PLC 177,000 1,539
Northern Foods PLC 21,044 61
Norweb PLC 56,679 610
Ocean Group PLC 8,900 44
Pearson PLC 51,000 483
Pen & Orient DFD PLC 120,642 1,110
Pilkington Brothers PLC 162,976 452
Polly Peck International Holdings PLC (a)(d) 200,054 0
Powergen PLC 25,067 192
Provident Financial PLC 36,000 360
Racal Electronics PLC 191,000 779
Rank Organisation PLC 93,500 590
Reckitt & Colman PLC 56,790 601
Redland PLC 100,769 660
Reed International PLC 106,940 1,502
Reuter's Holdings PLC 83,254 693
Rolls-Royce PLC 141,037 391
Royal Bank of Scotland Group PLC 91,000 619
RTZ Corp. PLC (Regd) 109,500 1,427
Sainsbury (J.) PLC 37,911 266
Scottish Hydro-Electric PLC (a) 65,000 330
Sears PLC 296,628 469
Securicor Group PLC Class A (a) 4,238 65
Shell Transportation & Trading PLC (Regd) 146,700 1,754
Smith & Nephew PLC 74,476 211
Smith (David S) Holdings PLC 44,750 462
SmithKline Beecham PLC Class A 148,890 1,348
SmithKline Beecham/BEC Units PLC 326,342 2,896
</TABLE>
60 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Smiths Industries PLC 56,000 $ 462
South Western Electric PLC 24,470 259
Southern Electric PLC 4,865 50
Spring Ram Corp. PLC 23,222 13
Stagecoach Holdings PLC 115,000 395
Standard Chartered Bank Group PLC 133,000 707
Storehouse PLC 47,149 202
Sun Alliance Group PLC 91,000 486
T & N PLC 171,516 460
Tarmac, Ltd. PLC 609,119 1,090
Taylor Woodrow PLC 396,680 726
Tesco Store Holdings PLC 298,095 1,375
Thorn EMI PLC 18,188 377
Tomkins PLC 333,500 1,191
Trafalgar House PLC 163,616 117
Trinity Holdings PLC 60,000 326
Unilever PLC 27,532 557
United Biscuits PLC 108,190 552
United Newspaper, Ltd. PLC 76,200 630
Vendome PLC 43,000 324
Vickers, Ltd. PLC 87,000 286
Vodafone Group PLC 1,315,681 4,886
Welsh Water PLC 91,800 970
Whitbread & Co. PLC 36,825 351
Willis Corroon Group PLC 69,000 165
Wimpey (George), Ltd. PLC 39,047 71
Wolseley PLC 1,170 6
WPP Group PLC 215,000 417
Zeneca Group PLC (a) 22,000 371
---------
92,085
---------
UNITED STATES - 0.0%
US Industries, Inc.
(Spin-off from Hanson PLC, UK)(a) 2,460 34
---------
34
---------
TOTAL COMMON STOCKS
(cost $524,639) 551,199
---------
CONVERTIBLE PREFERRED STOCKS - 0.2%
AUSTRALIA - 0.0%
TNT, Ltd. 119,000 164
---------
164
---------
HONG KONG - 0.1%
Amoy Properties - IDR 6,200 437
---------
437
---------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
UNITED KINGDOM - 0.1%
First National Finance Corp. PLC 8,857 $ 22
Trafalgar House PLC 215,000 251
---------
273
---------
TOTAL CONVERTIBLE PREFERRED
STOCKS (cost $958) 874
---------
PREFERRED STOCKS - 1.1%
AUSTRALIA - 0.3%
News Corp., Ltd. 233,153 1,155
Sydney Harbour Casino Holdings, Ltd. (a) 440,129 454
---------
1,609
---------
AUSTRIA - 0.1%
Bau Holdings AG 1,500 73
Creditanstalt Bankverein 3,319 191
Z Landerbank Bank Austria 1,691 79
---------
343
---------
BRAZIL - 0.2%
Banco Bradesco SA NPV 33,444,000 283
Banco Itau SA (Regd) 253,000 77
Brahma (cia Cervej) NPV 527,000 173
Brahma Class A (a) 9,685 3
Brasmotor SA NPV 445,000 82
CEMIG SA 5,843,650 114
Cim Port Itau (Cia) 432,000 127
Coteminas (Cia Tec) NPV 312,000 98
Lojas Americanas NPV 4,389,000 98
Petrol Brasileiros 999,000 85
Telec SP Telesp NPV 1,228,386 152
Telecomunicacoes Brasileras NPV 94,858 3
Usiminas Uni Sd Mg NPV 154,000,000 174
---------
1,469
---------
GERMANY - 0.4%
Bayer Motoren Werk 600 239
Fielmann AG (a) 2,251 104
Hornbach AG NV (a) 272 366
Krones AG NV 1,047 499
Lufthansa AG NV 1,200 175
Porsche AG (a) 700 305
SAP AG 440 554
Volkswagen AG NV 200 44
Wella AG 350 278
---------
2,564
---------
</TABLE>
International Securities Fund 61
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
ITALY - 0.1%
Autostrade Conc. SPA 145,000 $ 162
Fiat SPA (Priv) 192,000 418
---------
580
---------
NETHERLANDS - 0.0%
International Nederlanden CVA 2,274 11
---------
11
---------
TOTAL PREFERRED STOCKS
(cost $6,308) 6,576
---------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------- ---------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.7%
BELGIUM - 0.0%
Kredietbank (conv.)
5.750% due 11/30/03 BF 1,125 38
---------
38
---------
FRANCE - 0.0%
Michelin (Cie Gle) (conv.)
2.500% due 01/01/01 FF 191 100
---------
100
---------
INDIA - 0.0%
Essar Gujarat (conv.)
5.500% due 08/05/98 $ 50 55
---------
55
---------
ITALY - 0.0%
Danieli & Co.
7.250% due 01/01/00 IL 20,100 10
---------
10
---------
JAPAN - 0.6%
Bank of Tokyo - Cayman
Finance, Ltd. (conv.)
(Perpetual Maturity)
4.250% due 03/31/49 JY 150,000 1,987
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ---------
<S> <C> <C>
Hitachi, Ltd. (conv.)
2.700% due 03/31/97 JY 40,000 $ 522
Yamanouchi Pharmaceutical (conv.)
1.250% due 03/31/14 100,000 1,181
---------
3,690
---------
MALAYSIA - 0.1%
Telekom Malaysia Berhad (conv.)
5.500% due 08/05/98 $ 830 805
---------
805
---------
TOTAL LONG-TERM INVESTMENTS
(cost $4,225) 4,698
---------
SHORT-TERM INVESTMENTS - 5.5%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 33,265 33,265
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $33,265) 33,265
---------
TOTAL INVESTMENTS
(identified cost $569,395)(c) - 99.1% 596,612
OTHER ASSETS AND LIABILITIES,
NET - 0.9% 5,185
--------
NET ASSETS - 100.0% $601,797
--------
--------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1994 the cost for federal income tax purposes
was $570,658 and net unrealized appreciation for all securities
was $25,954. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $68,729 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $42,775.
(d) Securities are currently undergoing bankruptcy proceedings and
present negligible market value.
</TABLE>
The accompanying notes are an integral part of the financial statements.
62 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- -------------------------------------- -------- --------
<S> <C> <C>
Basic Industries 15.1% $ 91,144
Capital Goods 8.9 53,689
Consumer Basics 4.1 24,433
Consumer Durable Goods 6.3 37,781
Consumer Non-Durables 6.5 38,959
Consumer Services 2.4 14,239
Energy 4.7 28,480
Finance 17.0 102,440
General Business 5.8 34,723
Miscellaneous 7.2 43,306
Shelter 3.5 20,881
Technology 2.7 16,305
Transportation 2.0 12,274
Utilities 6.7 39,995
Long-Term Investments 0.7 4,698
Short-Term Investments 5.5 33,265
-------- --------
Total Investments 99.1 596,612
Other Assets and Liabilities, Net 0.9 5,185
-------- --------
NET ASSETS 100.0% $601,797
-------- --------
-------- --------
</TABLE>
The accompanying notes are an integral part of the financial statements.
International Securities Fund 63
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $569,394,885) (Note 2) . . . . . . . . . . . . . . . . . . . . . $596,612,371
Foreign currency holdings (identified cost $5,814,496) . . . . . . . . . . . . . . . . . . . . . . . . . 5,846,766
Forward foreign currency exchange contracts (cost $33,621,043)(Notes 2 and 6). . . . . . . . . . . . . . 33,621,043
Foreign currency exchange spot contracts (cost $1,503,219)(Notes 2 and 6). . . . . . . . . . . . . . . . 1,501,011
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,432,547
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,488,219
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,676,358
Foreign taxes recoverable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 789,688
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,548
Short-term investments held as collateral for securities loaned, at market (Note 3) . . . . . . . . . . 36,652,097
------------
682,623,648
LIABILITIES
Payables:
Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 97,785
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,829,091
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 803,162
Accrued management fees (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . 469,208
Accrued transfer agent fees (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . 15,877
Accrued bookkeeping service fees (Note 4). . . . . . . . . . . . . . . . . . . . . . 7,216
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532,662
Closed forward foreign currency exchange contracts (Note 2). . . . . . . . . . . . . . 884,667
Forward foreign currency exchange contracts (cost $33,621,043)(Notes 2 and 6) . . . . 35,031,401
Foreign currency exchange spot contracts (cost $1,503,219)(Notes 2 and 6) . . . . . . 1,503,732
Collateral on securities loaned, at market (Note 3). . . . . . . . . . . . . . . . . . 36,652,097 80,826,898
----------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $601,796,750
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,093,235
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,940,812
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,217,486
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,309,012)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109,995
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 563,744,234
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $601,796,750
------------
------------
Net asset value, offering and redemption price per share, ($601,796,750 divided by
10,999,540 shares of $.01 par value shares of beneficial interest outstanding) . . . . . . . . . . . . $ 54.71
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
64 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,313,079
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 891,159
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230,005
Less foreign taxes withheld. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,105,274)
------------
8,328,969
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,745,779
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 817,463
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,121
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,575
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,003
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134,476
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,976
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,968 3,804,361
----------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,524,608
------------
REALIZED AND UNREALIZED, GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,669,855
Foreign currency-related transactions (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . (709,723)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 507,448
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,030,841)
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,436,739
------------
Net increase (decrease) in net assets, resulting from operations . . . . . . . . . . . . . . . . . . . . $ 10,961,347
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
International Securities Fund 65
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
INCREASE (DECREASE) IN NET ASSETS ------------------- -----------------
<S> <C> <C>
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . $ 4,524,608 $ 3,738,629
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,669,855 59,472,591
Foreign currency-related transactions. . . . . . . . . . . . . . . . (709,723) (2,534,203)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 507,448 (41,059,424)
Foreign currency-related transactions. . . . . . . . . . . . . . . . (1,030,841) (958,114)
------------ -----------
Net increase (decrease) in net assets resulting from operations. . . . . 10,961,347 18,659,479
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . (447,505) (359,274)
In excess of net investment income . . . . . . . . . . . . . . . . . . -- (199,502)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . (1,000,940) (61,808,165)
Increase (decrease) in net assets from Fund share transactions . . . . . 28,950,490 152,558,729
------------ -----------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . 38,463,392 108,851,267
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . 563,333,358 454,482,091
------------ -----------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $5,093,235 and accumulated distributions in
excess of net investment income of $199,502). . . . . . . . . . . . . . $601,796,750 $563,333,358
------------ -----------
------------ -----------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS
ENDED JUNE 30, 1995 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
FUND SHARE TRANSACTIONS ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . 2,212,824 $118,100,996 4,244,850 $257,139,963
Fund shares issued to shareholders in reinvestments
of distributions . . . . . . . . . . . . . . . . . . . . . . . . 19,285 998,997 840,864 44,431,854
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . (1,671,798) (90,149,503) (2,488,621) (149,013,088)
---------- ------------ ---------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . 560,311 $ 28,950,490 2,597,093 $ 152,558,729
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
66 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . $ 53.96 $ 57.95 $ 44.75 $ 49.15 $ 44.60 $ 55.81
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .41 .44 .40 .61 .72 1.05
Net realized and unrealized gain (loss) on investments (a) .47 1.23 14.53 (4.02) 4.60 (9.53)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . .88 1.67 14.93 (3.41) 5.32 (8.48)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.04) (.04) (.38) (.68) (.76) (1.08)
In excess of net investment income . . . . . . . . . . . . -- (.02) (.23) -- -- --
Net realized gain on investments . . . . . . . . . . . . . (.09) (5.60) (1.12) (.31) (.01) (1.65)
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . (.13) (5.66) (1.73) (.99) (.77) (2.73)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $ 54.71 $ 53.96 $ 57.95 $ 44.75 $ 49.15 $ 44.60
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . . 1.65 4.86 33.48 (6.94) 11.99 (15.34)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (c) . . . . . . 1.32 1.30 1.38 1.45 1.49 1.50
Net investment income to average net assets (c) . . . . . 1.57 .70 .82 1.37 1.68 2.28
Portfolio turnover (c). . . . . . . . . . . . . . . . . . 40.89 72.23 60.22 48.93 52.46 68.89
Net assets, end of period ($000 omitted). . . . . . . . . 601,797 563,333 454,482 262,886 243,065 169,818
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Provision for federal income tax for the year ended December 31, 1991 amounted to $.03 per share.
(b) Periods less than one year are not annualized.
(c) The ratios for the period ended June 30, 1995 are annualized.
</TABLE>
International Securities Fund 67
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
COMMON STOCKS - 94.7%
APARTMENT - 27.7%
Associated Estates Realty Corp. (c) 245,000 $ 5,176
Avalon Properties, Inc. (c) 241,200 4,794
Bay Apartment Communities, Inc. (c) 144,500 2,818
Camden Property Trust (c) 277,500 6,070
Colonial Properties Trust (c) 199,700 4,593
Columbus Realty Trust (c) 277,800 4,271
Equity Residential Properties Trust (c) 73,600 2,052
Evans Withycombe Residential, Inc. (c) 44,000 897
Gables Residential Trust (c) 111,600 2,288
Merry Land and Investment Co., Inc. (c) 320,600 6,532
Oasis Residential, Inc. (c) 227,100 4,939
Post Properties, Inc. (c) 201,800 6,104
Security Capital Pacific Trust (c) 128,915 2,240
Smith (Charles E.) Residential Realty, Inc. (c) 178,300 4,235
Summit Properties, Inc. (c) 134,800 2,325
United Dominion Realty Trust, Inc. (c) 346,300 5,108
Wellsford Residential Property Trust (c) 130,500 2,969
---------
67,411
---------
HEALTH CARE - 7.5%
Health Care Property Investors, Inc. (c) 259,500 8,304
Nationwide Health Properties, Inc. (c) 246,800 9,625
---------
17,929
---------
HOTELS - 0.8%
Starwood Lodging Trust (c) 82,600 1,941
---------
1,941
---------
OFFICE/INDUSTRIAL - 16.5%
Cali Realty Corp. (c) 191,600 3,712
Carr Realty Corp. (c) 94,200 1,625
Cousins Properties, Inc. (c) 230,100 4,084
Crescent Real Estate Equities 67,500 2,152
Duke Realty Investments, Inc. (c) 179,600 5,074
Highwoods Properties, Inc. (c) 184,900 4,715
Liberty Property Trust (c) 237,100 4,653
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
Reckson Associates Realty Corp. (c) 136,700 $ 3,315
Shurgard Storage Centers, Inc. Class A (c) 99,200 2,282
Spieker Properties, Inc. (c) 87,500 1,958
Storage USA, Inc. (c) 116,700 3,311
Weeks Corporation (c) 137,200 3,429
---------
40,310
---------
COMMUNITY CENTER - 20.3%
Bradley Real Estate (c) 95,800 1,545
Developers Diversified Realty (c) 317,400 9,125
Federal Realty Investment Trust (c) 396,100 8,566
Kimco Realty Corp. (c) 283,100 10,758
Price, Inc. (The) Class B (c) 167,500 5,004
Sizeler Property Investors, Inc. (c) 174,300 1,656
Vornado Realty Trust (c) 288,200 10,051
Weingarten Realty Investors, Inc. (c) 77,100 2,910
---------
49,615
---------
OUTLET CENTERS - 0.3%
Chelsea GCA Realty, Inc. (c) 18,200 491
Tanger Factory Outlet Centers, Inc. (c) 13,500 343
---------
834
---------
REGIONAL MALLS - 21.6%
CBL & Associates Properties, Inc. (c) 284,000 5,645
DeBartolo Realty Corp. (c) 704,800 10,308
Glimcher Realty Trust (c) 337,800 7,009
J.P. Realty, Inc. (c) 277,800 5,695
Macerich Co. (c) 259,500 5,093
Rouse Co. (The) 578,300 11,349
Simon Property Group, Inc. (c) 214,900 5,399
Taubman Centers, Inc. 236,300 2,245
---------
52,743
---------
TOTAL COMMON STOCKS
(cost $222,250) 230,783
---------
</TABLE>
Real Estate Securities Fund 69
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 5.8%
Frank Russell Investment Company
Money Market Fund, due on demand (a) $ 14,322 $ 14,322
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $14,322) 14,322
---------
TOTAL INVESTMENTS
(identified cost $236,572)(b) - 100.5% 245,105
OTHER ASSETS AND LIABILITIES,
NET - (0.5%) (1,287)
---------
NET ASSETS - 100.0% $243,818
---------
---------
<FN>
(a) At cost, which approximates market.
(b) At June 30, 1995, the cost for federal income tax purposes was $236,677 and
net unrealized appreciation for all securities was $8,428. This consisted
of aggregate gross unrealized appreciation for all securities in which
there was an excess of market value over tax cost of $14,331 and aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $5,903.
(c) Real Estate Investment Trust.
</TABLE>
The accompanying notes are an integral part of the financial statements.
70 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $236,571,532)(Note 2) . . . . . . . . . . . . . . . . $245,104,686
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 706
Receivables:
Dividends. .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,140,124
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 775,302
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,084,999
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,180
------------
249,106,997
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,944,136
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113,888
Accrued management fees (Note 4) . . . . . . . . . . . . . . . . . . . . . . 167,411
Accrued transfer agent fees (Note 4) . . . . . . . . . . . . . . . . . . . . 14,611
Accrued bookkeeping service fees (Note 4). . . . . . . . . . . . . . . . . . 1,185
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,588 5,288,819
---------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 243,818,178
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,523,629
Accumulated distributions in excess of net realized gain . . . . . . . . . . . . . . . . . . (3,058,405)
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . 8,533,154
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107,846
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234,711,954
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $243,818,178
------------
------------
Net asset value, offering and redemption price per share,
($243,818,178 divided by 10,784,575 shares of $.01 par value,
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . $22.61
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Real Estate Securites Fund 71
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,124,916
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . . . . . . . . 503,392
-----------
7,628,308
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $924,427
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,763
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,480
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,750
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,964
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104,361
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,946
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,794 1,109,485
-------- -----------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,518,823
-----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . (1,567,072)
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . 288,324
-----------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,278,748)
-----------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . $ 5,240,075
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
72 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,518,823 $ 10,250,499
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . (1,567,072) 2,709,077
Net change in unrealized appreciation or depreciation
of investments during the period . . . . . . . . . . . . . . . . . . . . . . . . 288,324 (787,306)
------------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 5,240,075 12,172,270
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,385,831) (10,055,022)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . -- (3,360,493)
In excess of net realized gain on investments. . . . . . . . . . . . . . . . . . . -- (1,491,333)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 32,756,060 66,775,555
------------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 34,610,304 64,040,977
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 209,207,874 145,166,897
------------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $3,523,629 and $390,637, respectively). . . . . . . . . . . . . . . . . . . . . $243,818,178 $209,207,874
------------------- -----------------
------------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
--------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ----------- ------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . 2,539,564 $ 55,513,567 4,115,042 $ 95,055,963
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . 124,814 2,697,550 543,891 12,030,634
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . (1,163,494) (25,455,057) (1,752,061) (40,311,042)
----------- ------------- ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . 1,500,884 $ 32,756,060 2,906,872 $ 66,775,555
----------- ------------- ----------- ------------
----------- ------------- ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Real Estate Securities Fund 73
<PAGE>
REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . $22.53 $22.76 $21.50 $19.33 $14.99 $19.31
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .62 1.25 1.05 1.08 1.11 1.30
Net realized and unrealized gain (loss) on investments . . (.20) .40 2.68 2.16 4.36 (4.30)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . .42 1.65 3.73 3.24 5.47 (3.00)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.34) (1.23) (1.04) (1.07) (1.13) (1.32)
Net realized gain on investments . . . . . . . . . . . . . -- (.45) (1.43) -- -- --
In excess of net realized gain on investments. . . . . . . -- (.20) -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . (.34) (1.88) (2.47) (1.07) (1.13) (1.32)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $22.61 $22.53 $22.76 $21.50 $19.33 $14.99
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . 1.94 7.24 17.42 17.29 37.08 (15.92)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b) . . . . . 1.02 1.05 1.11 1.20 1.26 .39
Operating expenses, gross, to average net assets (b) . . . . 1.02 1.05 1.11 1.20 1.31 1.60
Net investment income to average net assets (b). . . . . . . 5.99 5.65 4.52 5.60 6.50 8.94
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . 21.05 45.84 58.38 19.72 13.28 12.11
Net assets, end of period ($000 omitted) . . . . . . . . . . 243,818 209,208 145,167 75,902 42,771 20,845
Per share amount of fees waived ($ omitted). . . . . . . . . -- -- -- -- -- .0491
Per share amount of fees reimbursed ($ omitted). . . . . . . -- -- -- -- .0076 .1155
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1995 are annualized.
</TABLE>
74 Real Estate Securities Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 95.8%
ASSET-BACKED SECURITIES - 6.7%
Advanta Home Equity Loan Trust
9.000% due 02/25/06 $ 123 $ 128
AFC Home Equity Loan Trust
Series 1993-1 Class A
5.900% due 05/20/08 (c) 471 457
Contimortgage Home Equity Loan
Series 1994-3 Class A-4
7.850% due 06/01/24 845 852
Series 1994-4 Class A-6
8.270% due 12/15/24 853 879
Contimortgage Home Equity Loan Trust
Mortgage Pass-thru Certificate
Series 1995-1 Class A2-A
8.600% due 06/15/25 350 361
Discover Card Trust
Series 1991 Class F-A
7.850% due 11/21/00 780 808
Series 1992-B Class A
6.800% due 06/16/00 635 641
DR Structured Finance Corp.
Series 1994-K1 Class A-1
7.600% due 08/15/07 631 608
EQCC Home Equity Loan Trust
Series 1993-4 Class A
5.725% due 12/15/08 281 268
First Chicago Master Trust II
Credit Card Certificates
Series 1994-L
7.150% due 04/15/01 2,520 2,574
First Deposit Master Trust
Series 1994-1 Class A
6.900% due 08/15/01 845 855
Ford Credit Auto Loan
Master Trust Series 1992-1
6.875% due 01/15/99 2,490 2,513
Home Equity Loan Trust
Series 1992-2 Closed End Class A
6.650% due 11/20/12 216 214
Lehman Pass-thru Securities, Inc.
Series 1991-2 Class A-1
8.000% due 03/20/99 112 113
OSCC Home Equity Loan Trust
Series 1993-1
5.850% due 03/15/08 206 201
Premier Auto Trust
Series 1994-4 Class A-5
6.650% due 08/15/00 5,190 5,252
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ----------
<S> <C> <C>
Premier Auto Trust
Series 1995-2 Class A-4
7.050% due 07/04/97 $ 1,095 $ 1,112
Resolution Trust Corp.
Mortgage Pass-thru Certificates
Series 1992 Class A-3
10.600% due 05/25/24 (c) 1,100 1,128
Series 1992-7 Class A-20
8.350% due 06/25/29 675 680
Series 1992-C Class A-1
8.800% due 08/25/23 311 326
Series 1992-M2 Class A-4
8.465% due 03/25/20 88 88
Series 1992-M3 Class A-1
7.750% due 07/25/30 91 92
Series 1992-M3 Class A-2
8.625% due 07/25/30 80 84
Series 1994-C1 Class D
8.000% due 06/25/26 486 481
Series 1994-C2 Class D
8.000% due 04/25/25 395 390
Series 1995-C1 Class C
6.920% due 02/25/27 (c) 350 328
Sears Savings Bank
Mortgage Pass-thru Certificate
Series 1992-A Class A
8.720% due 05/25/32 (c) 1,402 1,407
Standard Credit Card Master Trust I
Series 1995-6 Class A
6.750% due 06/07/00 4,750 4,806
TMS Home Equity Loan Trust
Series 1994-D Class A-4
8.750% due 01/15/20 700 745
UCFC Home Equity Loan Trust
Series 1993-B1 Class A-1
6.075% due 07/25/14 179 175
Wal Mart Stores, Inc.
Series 1994-B3
8.800% due 12/30/14 315 343
World Omni Automobile
Lease Securitization Trust
Series 1994-A Class A
6.450% due 09/25/00 (c) 2,555 2,554
Series 1994-B Class A
7.950% due 01/25/01 1,580 1,621
------
33,084
------
</TABLE>
Diversified Bond Fund 75
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ----------
<S> <C> <C>
CORPORATE BONDS AND NOTES - 15.1%
American Brands, Inc.
8.625% due 11/15/21 $ 420 $ 462
American Express Co.
8.500% due 08/15/01 255 278
American General Finance Corp.
6.875% due 07/01/99 270 273
8.000% due 02/15/00 95 100
AMR Corp.
9.500% due 05/15/01 150 165
Analog Devices, Inc.
6.625% due 03/01/00 125 123
Appalachian Power Co. (MTN)
8.500% due 12/01/22 395 445
Arco Chemical Co.
9.800% due 02/01/20 300 378
Aristar, Inc.
7.750% due 06/15/01 1,010 1,059
Associates Corp. of North America
6.250% due 03/15/99 1,010 1,002
AT&T Corp.
8.625% due 12/01/31 220 237
AVCO Financial Services, Inc.
7.250% due 07/15/99 275 282
8.500% due 10/15/99 405 434
Bank of New York, Inc.
7.875% due 11/15/02 175 184
Bank One, Columbus, Ohio
7.375% due 12/01/02 120 123
Bell Telephone Co. of Pennsylvania
8.350% due 12/15/30 355 419
Beneficial Corp.
8.400% due 05/15/08 185 219
Beneficial Corp. (MTN)
7.990% due 02/17/00 1,050 1,108
Boise Cascade Corp. (MTN)
6.400% due 04/01/98 175 170
Bowater, Inc.
8.250% due 10/15/99 420 445
C.I.T. Group Holdings, Inc. (MTN)
7.000% due 09/30/97 970 986
Capital One Bank (MTN)
8.625% due 01/15/97 525 541
Caterpillar Financial Services (MTN)
9.500% due 02/06/07 420 500
Central Fidelity Banks, Inc.
8.150% due 11/15/02 170 181
Champion International Corp.
7.700% due 12/15/99 530 551
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ----------
<S> <C> <C>
Chemical Banking Corp.
10.375% due 03/15/99 $ 155 $ 173
Chesapeake & Potomac Telephone Co.
8.375% due 10/01/29 230 267
Chrysler Financial Corp.
9.500% due 12/15/99 275 302
Citicorp
9.500% due 02/01/02 120 136
7.125% due 06/01/03 390 394
Coastal Corp.
10.375% due 10/01/00 120 137
Coca-Cola Enterprises, Inc.
8.500% due 02/01/22 475 535
Commercial Credit Co.
8.700% due 06/15/10 380 448
Commercial Credit Group, Inc.
5.750% due 07/15/00 295 285
Commonwealth Edison Co.
9.875% due 06/15/20 110 127
7.750% due 07/15/23 645 626
Connecticut Light & Power Co.
7.875% due 10/01/24 790 841
Consolidated Edison Co., Inc.
7.500% due 06/15/23 610 602
Consolidated Natural Gas Co.
8.625% due 12/01/11 200 212
Consolidated Rail Corp.
Pass-thru Certificate Structured Note
Series 1995 Class A
6.760% due 05/25/15 500 500
CoreStates Capital Corp.
5.875% due 10/15/03 205 190
Corporacion Andina de Fomento
6.625% due 10/14/98 750 708
Dayton Hudson Corp. (MTN)
9.350% due 06/16/20 295 355
Discover Credit Corp. (MTN)
8.350% due 04/27/99 360 379
Dole Food Co., Inc.
6.750% due 07/15/00 170 168
Duke Power Co.
7.000% due 07/01/33 695 659
Eaton Corp.
7.000% due 04/01/11 315 303
ERP Operating, L.P.
8.500% due 05/15/99 850 883
Evans Whitycombe Trust
Series 1994 Class A-1
7.980% due 08/01/01 600 634
</TABLE>
76 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ----------
<S> <C> <C>
Federal Express Corp.
10.000% due 04/15/99 $ 335 $ 372
First Chicago Corp.
11.250% due 02/20/01 80 96
First Chicago Corp. (MTN)
6.830% due 09/08/97 205 207
First Fidelity Bancorp New
9.625% due 08/15/99 255 283
First Interstate Bancorp (MTN)
9.375% due 11/15/98 85 92
First National Bank of Boston
8.375% due 12/15/02 325 349
Fleet/Norstar Financial Group, Inc.
9.900% due 06/15/01 185 211
Ford Motor Credit Co.
7.750% due 10/01/99 1,505 1,571
Ford Motor Credit Co. (MTN) CMS Floater
5.805% due 07/12/96 (c) 325 319
General Electric Capital Corp.
8.300% due 09/20/09 235 264
General Motors Acceptance Corp.
7.750% due 04/15/97 750 766
General Motors Acceptance Corp. (MTN)
8.650% due 04/11/96 1,500 1,523
8.000% due 12/05/96 1,000 1,030
6.250% due 01/06/00 1,090 1,072
Georgia Pacific Corp.
9.950% due 06/15/02 230 267
Goldman Sachs Group, L.P.
6.875% due 09/15/99 675 676
6.375% due 06/15/00 465 455
Hanson America, Inc. (conv.)
2.390% due 03/01/01 550 439
Hechinger Co.
9.450% due 11/15/12 120 123
Hertz Corp.
9.000% due 11/01/09 230 267
Integra Financial Corp.
6.500% due 04/15/00 750 742
International Lease Finance Corp.
5.750% due 01/15/99 455 444
ITT Financial Corp.
8.875% due 06/15/03 160 183
ITT Financial Corp. (MTN)
8.880% due 05/18/00 420 457
John Hancock Mutual Life Insurance Co.
7.375% due 02/15/24 750 688
K mart Funding Corp. Series G
9.440% due 07/01/18 380 384
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Liberty Mutual Insurance Co.
8.200% due 05/04/07 $ 725 $ 756
May Department Stores Co.
9.875% due 12/01/02 400 470
Merry Land & Investment, Inc.
7.250% due 06/15/05 750 739
Metropolitan Life Insurance Co.
7.450% due 11/01/23 550 510
Nabisco, Inc.
6.700% due 06/15/02 260 258
NationsBank Corp.
6.625% due 01/15/98 170 171
Nationwide Mutual Life Insurance Co.
7.500% due 02/15/24 500 459
New England Mutual Life Insurance Co.
7.875% due 02/15/24 1,000 866
New England Telephone & Telegraph Co.
7.875% due 11/15/29 235 255
New York Telephone Co.
7.000% due 12/01/33 540 501
Noranda, Inc.
8.625% due 07/15/02 70 76
Norwest Corp.
9.250% due 05/01/97 145 152
Norwest Corp. (MTN)
7.125% due 04/01/00 85 87
NWA Trust Series B
10.230% due 06/21/14 741 826
NYNEX Corp.
9.550% due 05/01/10 418 476
Occidental Petroleum Corp.
11.125% due 06/01/19 1,000 1,193
Occidental Petroleum Corp. (MTN)
8.500% due 11/09/01 465 503
Ohio Edison Co. 1st Mortgage
8.500% due 05/01/96 1,000 1,015
Pacific Bell
6.625% due 10/15/34 855 762
Pacific Gas & Electric Co.
6.250% due 03/01/04 510 490
Pennsylvania Power & Light Co.
6.875% due 03/01/04 1,000 1,004
Pennzoil Co.
10.125% due 11/15/09 85 102
Philip Morris Cos., Inc.
8.875% due 07/01/96 2,500 2,561
8.750% due 06/01/01 525 571
Phillips Petroleum Co.
9.375% due 02/15/11 490 571
</TABLE>
Diversified Bond Fund 77
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
June 30, 1995 (Unaudited)
Pitney Bowes Credit Corp.
8.550% due 09/15/09 $ 460 $ 528
Praxair, Inc.
6.850% due 06/15/05 550 547
Procter & Gamble Co.
8.000% due 10/26/29 145 161
Procter & Gamble Co.
Sharing ESOP Series A
9.360% due 01/01/21 275 335
Ralston Purina Co.
7.875% due 06/15/25 565 568
Republic New York Corp.
9.750% due 12/01/00 190 216
8.250% due 11/01/01 150 162
RJR Nabisco, Inc.
8.625% due 12/01/02 735 755
Rockwell International Corp.
8.875% due 09/15/99 255 278
Salomon, Inc.
7.000% due 01/20/98 600 599
Salomon, Inc. (MTN)
5.880% due 07/29/97 75 74
6.360% due 04/01/98 700 690
6.125% due 05/15/98 50 49
Seagram Co., Ltd.
8.350% due 01/15/22 220 234
Security Pacific Corp.
11.500% due 11/15/00 33 40
11.000% due 03/01/01 445 532
SKW Real Estate, L.P. Class C
7.450% due 04/15/03 850 851
Smith Barney Holdings, Inc. New
7.980% due 03/01/00 925 970
Southern California Edison Co.
Series 1986-C
8.625% due 04/15/19 230 242
Standard Oil Co.
6.300% due 07/01/01 200 198
System Energy Resources, Inc.
6.000% due 04/01/98 675 664
Taubman Realty Group, L.P.
8.000% due 06/15/99 850 876
Tenneco, Inc.
10.000% due 03/15/08 315 390
Texaco Capital, Inc.
9.750% due 03/15/20 190 241
8.875% due 09/01/21 220 259
Texas Utilities Electric Co.
9.500% due 08/01/99 805 884
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ----------
<S> <C> <C>
Time Warner Entertainment Co., L.P.
10.150% due 05/01/12 $ 350 $ 409
8.375% due 03/15/23 575 567
8.375% due 07/15/33 2,850 2,790
Time Warner, Inc.
Zero Coupon due 08/15/02 $ 2,000 $1,968
Transamerica Financial Corp.
8.375% due 02/15/98 210 220
Transamerica Financial Corp. (MTN)
8.900% due 02/15/96 410 417
U.S. Bancorp of Oregon
7.000% due 03/15/03 470 472
Union Carbide Chemicals & Plastics
7.875% due 04/01/23 590 594
Union Oil Co. (MTN)
9.400% due 02/15/11 470 555
United Airlines, Inc.
10.250% due 07/15/21 1,250 1,420
United Technologies Corp.
8.750% due 03/01/21 380 438
USX-Marathon Group
9.800% due 07/01/01 150 167
Valassis Communications
9.550% due 12/01/03 230 254
Virginia Electric & Power Co.
8.750% due 04/01/21 200 224
Wachovia Corp. New
6.800% due 06/01/05 305 305
Wellsford Residential Property Trust
9.375% due 02/01/02 750 823
Whirlpool Corp.
9.500% due 06/15/00 250 281
Wilmington Trust
10.370% due 01/02/07 1,964 2,294
------
74,724
------
EURODOLLAR BONDS - 0.2%
Euratom
7.750% due 01/15/97 1,200 1,227
------
1,227
------
MORTGAGE-BACKED SECURITIES - 37.3%
American Southwest Financial Corp.
Series G Class G-4 CMO
12.250% due 11/01/14 400 450
</TABLE>
78 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
Citicorp Mortgage Securities, Inc.
Series 1992-1 Class A-5
8.000% due 04/25/21 $ 3,000 $ 3,062
Collateralized Mortgage Obligation
Trust 56 Class B CMO
9.985% due 12/01/18 359 398
DLJ Mortgage Acceptance Corp.
Series 1993 Class A-2 CMO
7.650% due 09/18/03 2,500 2,541
FDIC REMIC Trust
Series 1994-C1 Class 2A-2
7.850% due 09/25/25 850 873
Federal Home Loan Mortgage Corp.
Participation Certificate
7.000% 30 Year TBA (d) 845 829
7.500% 30 Year TBA (d) 29,140 29,231
Federal Home Loan Mortgage Corp.
Participation Certificate
Group #17-0171 9.000% due 06/01/16 468 489
Group #17-0195 9.000% due 10/01/16 164 171
Group #17-0197 9.000% due 10/01/16 20 21
Group #17-0202 9.000% due 11/01/16 438 458
Group #17-0203 9.000% due 11/01/16 223 233
Group #18-1338 8.000% due 05/01/08 200 205
Group #18-2098 8.000% due 11/01/08 35 36
Group #18-2161 6.750% due 08/01/07 607 593
Group #18-6664 8.500% due 02/01/08 268 277
Group #21-7242 7.000% due 05/01/02 115 116
Group #26-0607 12.000% due 06/01/14 137 149
Group #28-4634 9.000% due 01/01/17 15 15
Group #30-0025 12.500% due 04/01/16 232 258
Group #30-8522 12.000% due 12/01/15 118 128
Group #50-1051 7.000% due 06/01/03 474 477
Group #53-4046 12.000% due 05/01/19 18 19
Group #A0-0690 9.000% due 02/01/20 1,221 1,282
Group #C0-0140 9.000% due 07/01/22 423 441
Group #C0-0339 7.500% due 06/01/24 493 494
Group #D2-3334 8.500% due 09/01/22 170 176
Group #D2-3590 8.500% due 09/01/22 52 54
Group #D5-0323 7.000% due 04/01/24 794 781
Group #D5-1011 7.000% due 04/01/24 137 134
Group #D5-1373 7.000% due 04/01/24 148 146
Group #D5-1426 7.000% due 04/01/24 52 51
Group #D5-2246 7.000% due 04/01/24 383 376
Group #D5-3206 7.500% due 05/01/24 447 448
Group #D5-3905 7.500% due 06/01/24 149 149
Group #D5-4271 7.500% due 06/01/24 119 119
Group #D5-5588 7.500% due 08/01/24 421 423
Group #E0-0318 7.500% due 06/01/09 379 385
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
Group #E0-0332 7.500% due 08/01/09 242 245
Group #E0-0339 7.500% due 09/01/09 428 434
Group #E0-0344 7.500% due 10/01/09 284 289
Group #E0-0353 7.500% due 12/01/09 959 975
Group #E2-0145 7.500% due 11/01/09 (c) 214 217
Group #E2-0153 8.000% due 01/01/10 97 99
Group #E5-6296 6.500% due 01/01/09 403 397
Group #E5-6562 6.500% due 02/01/09 1,137 1,121
Group #E5-6737 6.500% due 02/01/09 257 253
Group #E5-6830 6.500% due 02/01/09 117 115
Group #E5-6953 6.500% due 02/01/09 130 128
Group #E5-9461 7.500% due 08/01/09 250 254
Group #E5-9610 7.500% due 08/01/09 254 258
Group #E5-9853 8.000% due 10/01/09 491 504
Group #G1-0329 7.500% due 02/01/10 258 262
Group #G8-0003 9.500% due 07/25/22 463 486
Group #L7-0277 7.000% due 08/01/98 39 40
Group #L7-2939 6.000% due 11/01/99 652 646
Group #M1-1780 7.000% due 04/01/97 191 193
Group #M1-3072 7.000% due 03/01/97 518 523
Group #M1-3104 7.000% due 03/01/97 329 332
Group #M1-4743 7.000% due 08/01/97 28 28
Federal Home Loan Mortgage Corp.
Participation Certificate
Series 1053 Class G
7.000% due 03/15/21 2,000 1,977
Series 1235 Class A Super Floater
4.070% due 04/15/22 (c) 212 187
Series 1663 Class PH Interest Only
1.589% due 05/15/21 (c) 4,176 679
Federal National Mortgage Association
Pool # 030891 9.500% due 06/01/01 122 127
Pool # 038842 8.000% due 07/01/10 50 51
Pool # 042678 8.000% due 03/01/17 155 159
Pool # 046939 8.000% due 05/01/17 90 93
Pool # 047728 8.000% due 05/01/02 101 103
Pool # 050377 9.500% due 12/01/05 73 77
Pool # 050389 9.500% due 01/01/06 253 265
Pool # 050621 7.000% due 08/01/99 6 6
Pool # 050748 7.500% due 06/01/23 238 239
Pool # 050752 7.000% due 05/01/00 128 129
Pool # 050758 7.000% due 06/01/00 106 107
Pool # 050765 7.000% due 07/01/23 99 97
Pool # 050766 7.500% due 07/01/23 424 426
Pool # 050989 7.000% due 02/01/09 145 146
Pool # 052078 8.000% due 07/01/02 124 128
Pool # 053718 8.000% due 08/01/17 130 133
Pool # 054738 8.000% due 09/01/02 58 60
Pool # 055397 8.000% due 07/01/17 400 410
</TABLE>
Diversified Bond Fund 79
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
Pool #057194 8.000% due 10/01/17 $ 116 $ 119
Pool #061217 8.000% due 05/01/03 3 3
Pool #061354 8.000% due 05/01/03 142 146
Pool #062502 8.000% due 06/01/03 54 56
Pool #063743 9.500% due 07/01/03 155 163
Pool #064518 9.500% due 08/01/02 288 301
Pool #070607 8.000% due 07/01/02 521 535
Pool #070694 9.500% due 12/01/05 121 127
Pool #087274 8.000% due 08/01/04 427 438
Pool #103914 9.500% due 09/01/05 68 71
Pool #110503 8.000% due 01/01/17 206 212
Pool #120778 8.000% due 03/01/17 67 69
Pool #124542 7.000% due 11/01/99 516 520
Pool #124721 7.000% due 02/01/23 990 973
Pool #124748 6.500% due 03/01/00 85 85
Pool #125316 8.000% due 07/01/24 422 430
Pool #125350 6.500% due 06/01/09 1,933 1,907
Pool #127926 8.000% due 05/01/20 86 88
Pool #145536 8.000% due 06/01/03 53 55
Pool #157517 7.000% due 04/01/07 223 223
Pool #161640 7.500% due 12/01/22 248 249
Pool #183514 8.000% due 08/01/22 60 61
Pool #184344 7.500% due 10/01/22 208 209
Pool #1878521 0.500% due 08/01/10 67 73
Pool #190506 6.500% due 12/01/08 336 331
Pool #190560 6.500% due 01/01/09 378 373
Pool #192188 8.000% due 01/01/23 1,496 1,524
Pool #199710 7.000% due 05/01/00 39 39
Pool #204951 8.000% due 05/01/22 398 407
Pool #208747 7.000% due 05/01/00 231 233
Pool #210307 7.000% due 04/01/00 411 414
Pool #217364 8.000% due 01/01/22 588 602
Pool #224716 6.500% due 07/01/23 1,025 985
Pool #226836 7.000% due 09/01/08 242 242
Pool #229363 6.500% due 08/01/23 52 50
Pool #232574 6.500% due 08/01/08 531 523
Pool #233079 7.000% due 09/01/08 101 101
Pool #235711 7.000% due 11/01/23 164 161
Pool #236344 7.000% due 09/01/08 244 244
Pool #237598 7.500% due 05/01/24 200 201
Pool #238739 7.000% due 10/01/23 425 418
Pool #239057 7.000% due 09/01/23 316 310
Pool #240738 6.500% due 10/01/08 191 189
Pool #244286 7.000% due 05/01/24 169 166
Pool #244550 7.000% due 11/01/23 485 477
Pool #244970 7.000% due 11/01/23 459 451
Pool #245865 6.500% due 02/01/09 357 352
Pool #246599 7.000% due 11/01/23 156 154
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
Pool #248089 7.000% due 11/01/23 456 449
Pool #250030 7.000% due 05/01/24 29 28
Pool #250035 6.500% due 05/01/09 60 59
Pool #250061 8.000% due 04/01/24 (c) 344 350
Pool #250086 8.000% due 07/01/24 336 342
Pool #250102 8.000% due 08/01/24 1,169 1,191
Pool #261196 8.000% due 02/01/24 111 113
Pool #263037 6.500% due 05/01/09 402 397
Pool #265868 6.500% due 01/01/24 155 149
Pool #266793 8.000% due 01/01/24 283 288
Pool #268936 6.500% due 01/01/24 50 48
Pool #270164 6.500% due 02/01/09 690 680
Pool #270990 6.500% due 02/01/01 187 186
Pool #275299 8.000% due 07/01/24 559 569
Pool #278623 8.500% due 08/01/24 454 468
Pool #279123 6.500% due 04/01/09 365 360
Pool #279585 7.500% due 04/01/24 450 451
Pool #280199 7.000% due 04/01/24 66 65
Pool #280256 7.000% due 05/01/24 382 376
Pool #280810 6.500% due 05/01/09 240 237
Pool #281502 8.000% due 10/01/24 25 25
Pool #281940 6.500% due 05/01/09 397 391
Pool #282125 6.500% due 05/01/09 96 95
Pool #282300 6.500% due 04/01/09 781 771
Pool #282424 6.500% due 05/01/09 432 426
Pool #282833 7.000% due 06/01/09 197 196
Pool #283260 7.500% due 06/01/24 690 692
Pool #283947 7.500% due 06/01/24 168 169
Pool #284192 6.500% due 05/01/09 121 119
Pool #284451 6.500% due 05/01/09 59 58
Pool #284659 7.000% due 05/01/09 313 313
Pool #284690 7.000% due 06/01/09 354 355
Pool #285145 8.000% due 06/01/24 165 168
Pool #285203 7.000% due 06/01/24 229 225
Pool #285280 7.000% due 06/01/24 413 406
Pool #286112 7.000% due 06/01/24 2,894 2,844
Pool #286570 7.000% due 06/01/24 805 791
Pool #286829 7.000% due 06/01/24 350 344
Pool #287464 6.500% due 06/01/09 137 135
Pool #288772 8.500% due 11/01/24 291 300
Pool #288935 7.500% due 07/01/24 807 809
Pool #289740 8.000% due 08/01/24 312 318
Pool #290037 8.000% due 08/01/24 804 819
Pool #290111 8.000% due 09/01/24 1,593 1,623
Pool #290357 8.000% due 08/01/24 456 464
Pool #290421 8.000% due 10/01/24 411 419
Pool #290757 8.000% due 08/01/24 171 174
Pool #290876 7.500% due 07/01/24 50 50
Pool #291861 8.000% due 08/01/24 538 548
Pool #291881 8.000% due 08/01/24 298 303
</TABLE>
80 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
Pool #292564 8.500% due 12/01/24 $ 542 $ 559
Pool #295473 7.500% due 09/01/24 168 169
Pool #296279 7.500% due 10/01/24 615 617
Pool #296299 8.000% due 10/01/24 422 429
Pool #299256 8.500% due 12/01/24 99 102
Pool #299523 8.000% due 11/01/24 494 503
Pool #300140 8.000% due 12/01/24 417 425
Pool #300227 8.000% due 12/01/24 453 461
Pool #307308 8.000% due 03/01/25 386 393
Federal National Mortgage Association
7.000% 30 Year Pass-thru TBA (d) 9,390 9,229
Federal National Mortgage Association
Interest Only Inverse Floater
Series 1993-208 Class S-A
0.249% due 02/25/23 (c) 62,069 601
Principal Only Strip
Zero Coupon due 03/25/20 266 211
REMIC Trust 1992-G57 Class Z
7.800% due 10/25/22 4,569 4,702
REMIC Trust Series 1992-G36 Class A
7.000% due 04/25/15 826 829
Government National Mortgage Association
Pool #008148 6.500% due 02/20/23 (c) 5,136 5,188
Pool #008373 5.500% due 02/20/24 (c) 637 638
Pool #008397 4.000% due 04/20/24 (c) 482 470
Pool #008399 5.000% due 04/20/24 (c) 1,157 1,153
Pool #008420 5.000% due 05/20/24 (c) 649 647
Pool #008482 6.500% due 08/20/24 (c) 2,001 2,037
Pool #008503 6.500% due 09/20/24 3,013 3,066
Pool #146110 9.500% due 05/15/16 31 34
Pool #147480 9.500% due 03/15/16 58 63
Pool #149590 9.000% due 05/15/16 111 117
Pool #153267 9.500% due 04/15/16 32 34
Pool #154050 9.500% due 05/15/16 50 53
Pool #155749 8.500% due 06/15/16 51 53
Pool #156576 8.500% due 01/15/17 260 272
Pool #159956 9.000% due 06/15/16 447 473
Pool #161666 9.000% due 08/15/16 39 42
Pool #166178 8.500% due 07/15/16 250 262
Pool #168336 9.000% due 08/15/20 165 174
Pool #168337 9.500% due 08/15/20 182 193
Pool #169824 9.000% due 11/15/16 91 97
Pool #170662 8.500% due 08/15/16 375 394
Pool #171553 9.000% due 07/15/16 531 561
Pool #171772 9.000% due 10/15/16 782 827
Pool #171776 9.000% due 11/15/16 200 211
Pool #172035 9.000% due 08/15/16 108 114
Pool #172723 8.500% due 07/15/16 82 86
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
Pool #172908 9.000% due 09/15/16 51 54
Pool #173049 9.000% due 07/15/16 380 402
Pool #174840 9.000% due 10/15/16 76 80
Pool #175868 9.000% due 10/15/16 281 296
Pool #176093 9.000% due 09/15/16 255 270
Pool #176789 9.000% due 09/15/16 85 90
Pool #180290 8.500% due 11/15/16 608 635
Pool #182526 8.500% due 02/15/17 357 373
Pool #182616 9.000% due 06/15/17 47 50
Pool #182628 9.000% due 10/15/16 363 384
Pool #182643 9.000% due 10/15/16 9 10
Pool #185738 9.000% due 11/15/16 422 446
Pool #186301 9.000% due 11/15/16 22 23
Pool #187852 9.000% due 11/15/16 286 303
Pool #187956 9.000% due 11/15/16 27 28
Pool #190486 8.000% due 03/15/17 134 138
Pool #192748 8.500% due 08/15/17 75 78
Pool #192883 8.500% due 01/15/17 164 172
Pool #193242 8.500% due 01/15/17 152 159
Pool #193800 9.000% due 10/15/16 148 156
Pool #194001 8.500% due 02/15/17 437 457
Pool #196932 8.500% due 04/15/17 31 32
Pool #197268 8.500% due 05/15/17 179 187
Pool #199031 8.500% due 01/15/17 140 146
Pool #199531 8.500% due 02/15/17 344 360
Pool #202144 8.500% due 02/15/17 594 621
Pool #202883 8.500% due 03/15/17 211 221
Pool #204828 8.500% due 02/15/17 9 9
Pool #205426 8.500% due 02/15/17 165 172
Pool #208209 8.000% due 05/15/17 33 34
Pool #209198 8.500% due 03/15/17 332 347
Pool #209432 9.000% due 05/15/17 156 165
Pool #211127 8.500% due 03/15/17 343 360
Pool #211129 8.500% due 06/15/17 72 75
Pool #213365 8.000% due 04/15/17 35 37
Pool #216928 8.500% due 05/15/17 285 298
Pool #217536 8.500% due 05/15/17 121 126
Pool #220383 8.500% due 07/15/17 339 354
Pool #224505 9.000% due 07/15/17 52 55
Pool #225968 8.500% due 07/15/17 68 71
Pool #246616 9.000% due 04/15/18 19 20
Pool #290338 10.500% due 06/15/20 121 133
Pool #291365 10.500% due 07/15/20 42 47
Pool #295123 10.500% due 10/15/20 87 96
Pool #297999 10.500% due 12/15/20 256 282
Pool #299157 9.500% due 11/15/20 274 290
Pool #299159 10.500% due 11/15/20 724 797
Pool #299881 9.000% due 04/15/21 20 21
Pool #301982 10.500% due 01/15/21 227 250
</TABLE>
Diversified Bond Fund 81
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
Pool #304958 9.500% due 08/15/21 $ 73 $ 77
Pool #305463 9.000% due 04/15/21 17 18
Pool #316356 9.500% due 12/15/21 375 398
Pool #324425 8.000% due 08/15/22 395 404
Pool #330230 7.000% due 06/15/23 82 81
Pool #330867 7.000% due 11/15/22 330 325
Pool #335301 6.500% due 03/15/09 197 195
Pool #338250 7.000% due 11/15/22 548 539
Pool #340165 6.500% due 03/15/09 27 26
Pool #340234 8.000% due 02/15/23 163 166
Pool #340376 7.000% due 05/15/23 551 542
Pool #343370 7.000% due 07/15/23 559 550
Pool #344510 7.000% due 09/15/23 377 371
Pool #345119 7.500% due 12/15/08 528 538
Pool #345170 7.000% due 08/15/23 515 507
Pool #345626 7.500% due 03/15/24 682 686
Pool #347721 6.500% due 06/15/09 275 272
Pool #350386 7.000% due 05/15/23 333 328
Pool #350934 7.000% due 08/15/23 92 90
Pool #351129 6.500% due 07/15/08 267 264
Pool #351553 7.000% due 10/15/23 506 498
Pool #351711 7.000% due 10/15/23 515 506
Pool #351923 7.500% due 06/15/23 658 661
Pool #352163 7.000% due 06/15/23 518 510
Pool #352474 7.000% due 06/15/23 550 542
Pool #354191 7.000% due 06/15/23 367 361
Pool #355637 7.000% due 07/15/23 366 360
Pool #356469 7.000% due 07/15/23 352 347
Pool #356697 7.000% due 08/15/23 377 371
Pool #356952 7.000% due 06/15/23 1,658 1,632
Pool #357959 7.000% due 07/15/23 514 505
Pool #358499 7.000% due 07/15/23 38 38
Pool #358674 7.000% due 06/15/23 83 82
Pool #358801 7.500% due 06/15/23 887 891
Pool #359568 9.500% due 12/15/24 247 262
Pool #359897 7.000% due 10/15/23 72 71
Pool #361279 7.000% due 12/15/23 38 38
Pool #362159 7.500% due 12/15/08 197 201
Pool #363681 7.000% due 11/15/23 73 74
Pool #363760 7.000% due 11/15/23 76 75
Pool #363909 7.500% due 05/15/24 673 676
Pool #364318 7.000% due 08/15/23 545 536
Pool #364400 7.000% due 11/15/23 65 64
Pool #364457 7.000% due 09/15/23 554 545
Pool #366328 7.000% due 09/15/23 80 79
Pool #366437 7.000% due 09/15/23 37 37
Pool #367124 7.000% due 10/15/23 486 478
Pool #367861 7.000% due 10/15/23 130 128
Pool #368988 6.500% due 03/15/09 244 242
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
Pool #370426 7.000% due 09/15/23 545 536
Pool #370890 7.000% due 11/15/23 314 309
Pool #370931 7.000% due 11/15/23 345 339
Pool #371539 7.000% due 10/15/23 300 295
Pool #371828 6.500% due 06/15/09 598 591
Pool #372782 6.500% due 01/15/09 627 620
Pool #373788 7.000% due 10/15/23 107 105
Pool #374508 7.000% due 10/15/23 67 66
Pool #376293 7.000% due 11/15/23 72 71
Pool #381495 7.000% due 12/15/23 80 79
Pool #386652 9.000% due 01/15/25 765 804
Pool #389814 6.500% due 05/15/09 155 153
Pool #390393 6.500% due 03/15/09 227 225
Pool #390730 7.000% due 03/15/24 102 100
Pool #396544 9.500% due 04/15/25 495 524
Pool #397523 8.000% due 08/15/24 852 872
Pool #403980 9.000% due 10/15/24 808 848
Pool #405801 9.000% due 11/15/24 955 1,003
Pool #780010 9.500% due 11/15/24 37 39
Pool #780023 7.000% due 09/15/24 1,367 1,346
Government National Mortgage Association
6.500% 30 Year TBA (d) 5,000 4,803
7.500% 30 Year TBA (d) 650 660
Mid-St Trust II Class A-3 CMO
9.350% due 04/01/98 687 736
Morgan Stanley Mortgage Trust
Class P-4 CMO
7.850% due 08/20/18 57 57
PNC Mortgage Securities Corp.
Series 1994-3 Class A-1
7.500% due 06/18/10 848 850
Ryland Acceptance Corp. Four
Series 88 Class E CMO
7.950% due 01/01/19 2,348 2,442
Thomson McKinnon Mortgage Assets
Series 10 Class Z CMO
9.100% due 06/20/19 4,244 4,572
United States Department
of Veteran Affairs
REMIC Series 1992-1 Class 2-E
7.750% due 03/15/16 550 557
-------
184,590
-------
MUNICIPAL BONDS - 0.1%
Michigan State Trunk Line Revenue
5.500% due 10/01/21 450 421
-------
421
-------
</TABLE>
82 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- ------
<S> <C> <C>
NON-U.S. BONDS - 0.8%
Germany, Republic of
7.500% due 11/11/04 DEM 5,000 $ 3,725
-------
3,725
-------
UNITED STATES GOVERNMENT
AGENCIES - 6.6%
Federal National Mortgage Association
8.200% due 03/10/16 $ 2,310 2,612
Principal Only Strip
Zero Coupon due 10/10/01 825 762
Zero Coupon due 11/22/01 700 641
Zero Coupon due 12/20/01 975 885
Federal National Mortgage
Association (MTN)
7.140% due 05/25/99 2,605 2,692
7.170% due 07/06/99 1,875 1,930
7.640% due 06/16/04 1,480 1,504
Government Backed Trust Certificates
Class 1-C
9.250% due 11/15/01 8,305 9,148
Series 2-E
9.400% due 05/15/02 1,135 1,255
Series T-3
9.625% due 05/15/02 (c) 4,955 5,478
Resolution Funding Corp.
8.875% due 07/15/20 3,155 3,901
8.625% due 01/15/21 880 1,064
8.625% due 01/15/30 390 482
------
32,354
------
UNITED STATES GOVERNMENT
TREASURIES - 27.3%
United States Treasury Bonds
10.750% due 05/15/03 965 1,234
10.750% due 08/15/05 10,005 13,285
12.750% due 11/15/10 2,425 3,581
7.500% due 11/15/16 7,695 8,378
8.750% due 05/15/17 7,870 9,678
8.875% due 08/15/17 615 766
8.125% due 08/15/19 12,500 14,543
7.875% due 02/15/21 3,770 4,288
8.125% due 08/15/21 3,525 4,121
United States Treasury Notes
4.250% due 05/15/96 2,935 2,897
7.375% due 05/15/96 410 415
5.875% due 05/31/96 7,225 7,235
7.875% due 07/31/96 5,170 5,281
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- ------
<S> <C> <C>
6.250% due 08/31/96 $ 760 $ 763
4.375% due 11/15/96 780 765
7.250% due 11/15/96 1,370 1,395
6.500% due 11/30/96 470 474
6.625% due 03/31/97 185 187
6.500% due 04/30/97 480 485
8.500% due 05/15/97 3,270 3,420
6.500% due 08/15/97 9,545 9,664
8.750% due 10/15/97 555 589
5.750% due 10/31/97 4,120 4,108
8.875% due 11/15/97 955 1,017
5.625% due 01/31/98 1,965 1,952
5.125% due 02/28/98 240 236
5.125% due 03/31/98 1,605 1,574
5.375% due 05/31/98 1,315 1,296
5.125% due 06/30/98 1,925 1,884
8.250% due 07/15/98 1,770 1,883
5.250% due 07/31/98 1,405 1,378
9.250% due 08/15/98 110 120
8.875% due 11/15/98 260 283
5.875% due 03/31/99 2,595 2,586
6.500% due 04/30/99 3,115 3,169
6.375% due 07/15/99 4,990 5,056
6.875% due 07/31/99 1,250 1,289
7.750% due 11/30/99 700 747
6.375% due 01/15/00 650 660
7.125% due 02/29/00 4,795 5,009
8.750% due 08/15/00 795 890
8.500% due 11/15/00 140 156
8.000% due 05/15/01 95 104
7.500% due 11/15/01 3,620 3,886
6.375% due 08/15/02 1,670 1,690
United States Treasury
Zero Coupon due 11/15/21 4,450 739
-------
135,156
-------
YANKEE BONDS - 1.7%
African Development Bank
8.800% due 09/01/19 295 349
Alberta, Province of
9.250% due 04/01/00 160 180
Asian Development Bank
8.500% due 05/02/01 180 198
European Investment Bank
10.125% due 10/01/00 190 221
Hydro Quebec
9.710% due 12/24/97 1,000 1,072
8.050% due 07/07/24 750 820
</TABLE>
Diversified Bond Fund 83
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
Hydro Quebec (MTN)
9.500% due 04/30/27 $ 150 $ 180
Inco, Ltd.
9.600% due 06/15/22 1,100 1,201
Inter-American Development Bank
7.000% due 06/15/25 875 859
Manitoba, Province of
9.250% due 04/01/20 200 242
New Brunswick, Province of
9.750% due 05/15/20 190 237
Newfoundland, Province of
10.000% due 12/01/20 90 109
Nova Scotia, Province of
9.125% due 05/01/21 640 767
Quebec, Province of
7.125% due 02/09/24 1,055 981
Saskatchewan, Province of
8.000% due 07/15/04 1,045 1,126
------
8,542
------
TOTAL LONG-TERM INVESTMENTS
(cost $459,695) 473,823
-------
<CAPTION>
NUMBER
OF
SHARES
-------
<S> <C> <C>
PREFERRED STOCKS - 0.6%
Australia & New Zealand
Banking Group, Ltd. 23,500 620
ConAgra Capital LC Series B 13,000 294
Credit Lyonnais Capital S.C.A. - ADR 15,700 345
Lasalle National Corp. Series K 14,000 744
Texaco Capital Series B 15,600 337
TIG Holdings, Inc. 6,000 639
-------
TOTAL PREFERRED STOCKS
(cost $3,072) 2,979
-------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 11.6%
Frank Russell Investment Company
Money Market Fund due on demand (a) $57,217 $57,217
-------
TOTAL SHORT-TERM INVESTMENTS
(cost $57,217) 57,217
-------
TOTAL INVESTMENTS
(identified cost $519,984)(b) - 108.0% 534,019
OTHER ASSETS AND LIABILITIES,
NET - (8.0%) (39,539)
--------
NET ASSETS - 100.0% $494,480
--------
--------
<FN>
(a) At cost, which approximates market.
(b) At June 30, 1995 the cost for federal income tax purposes
was $520,264 and net unrealized appreciation for all securities
was $13,755. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $17,293 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $3,538.
(c) Adjustable or floating rate securities.
(d) Forward commitments. See Note 2.
(MTN) represents Medium Term Note.
</TABLE>
The accompanying notes are an integral part of the financial statements.
84 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
ASSETS
<S> <C> <C>
Investments at market (identified cost $519,984,074)(Note 2) . . . . . . . . . . . . . . . . . $534,018,824
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,559
Forward foreign currency exchange contracts (cost $3,818,642)
(Notes 2 and 6). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,818,642
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,395,661
Investments sold (regular settlement). . . . . . . . . . . . . . . . . . . . . . . . . . . 2,979,496
Investments sold (delayed settlement). . . . . . . . . . . . . . . . . . . . . . . . . . . 27,170,000
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 801,718
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,741
-----------
575,189,641
LIABILITIES
Payables:
Investments purchased (regular settlement) . . . . . . . . . . . . . . . . $ 4,150,900
Investments purchased (delayed settlement) . . . . . . . . . . . . . . . . 72,141,600
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . 258,281
Accrued management fees (Note 4) . . . . . . . . . . . . . . . . . . . . . 187,634
Accrued transfer agent fees (Note 4) . . . . . . . . . . . . . . . . . . . 36,687
Accrued bookkeeping service fees (Note 4). . . . . . . . . . . . . . . . . 4,796
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 64,189
Forward foreign currency exchange contracts
(cost $3,818,042)(Notes 2 and 6) . . . . . . . . . . . . . . . . . . . . . 3,865,426 80,709,513
------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $494,480,128
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,888,724
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . (15,617,430)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,034,750
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . (47,437)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213,067
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493,008,454
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $494,480,128
------------
------------
Net asset value, offering and redemption price per share
($494,480,128 divided by 21,306,736 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . $ 23.21
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Diversified Bond Fund 85
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $18,429,308
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . 971,494
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122,619
----------
19,523,421
Expenses (Notes 2 and 4):
Management fees . . . . . . . . . . . . . . . . . . . . $1,168,528
Custodian fees . . . . . . . . . . . . . . . . . . . . . 158,301
Bookkeeping service fees . . . . . . . . . . . . . . . . 24,087
Professional fees. . . . . . . . . . . . . . . . . . . . 11,519
Registration fees. . . . . . . . . . . . . . . . . . . . 25,824
Transfer agent fees. . . . . . . . . . . . . . . . . . . 109,493
Trustees' fees . . . . . . . . . . . . . . . . . . . . . 1,973
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . 17,027 1,516,752
--------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,006,669
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . (318,575)
Foreign currency-related transactions (Notes 2 and 3). . . . . . . . . . . . . 82,748
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,520,307
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . (47,437)
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . 36,237,043
------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 54,243,712
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
86 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSET
Operations:
Net investment income. . . . . . . . . . . . . . . . . . $ 18,006,669 33,198,214
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . (318,575) (15,176,170)
Foreign currency-related transactions. . . . . . . . . 82,748 (491,175)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . 36,520,307 (33,079,340)
Foreign currency-related transactions. . . . . . . . . (47,437) (27,109)
------------ ------------
Net increase (decrease) in net assets resulting from operations 54,243,712 (15,575,580)
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . (15,437,685) (32,359,732)
In excess of net realized gain on investments. . . . . . -- (182,259)
Increase (decrease) in net assets from fund share transactions (69,640,493) 96,091,443
------------ ------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . (30,834,466) 47,973,872
Net assets at beginning of period. . . . . . . . . . . . . 525,314,594 477,340,722
------------ ------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $2,888,724 and $268,550, respectively). . . . . . . . . $494,480,128 525,314,594
------------ ------------
------------ ------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
FUND SHARE TRANSACTIONS -------------- ------------ -------------- ------------
SHARES AMOUNT SHARES AMOUNT
-------------- ------------ -------------- ------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . 3,557,818 79,432,047 10,821,598 243,887,095
Fund shares issued to shareholders . .
in reinvestments of distributions. . . 396,646 8,847,288 814,891 18,064,635
Fund shares redeemed . . . . . . . . . (7,041,266) (157,919,828) (7,359,378) (165,860,287)
------------ ------------ ---------- ------------
Net increase (decrease). . . . . . . . (3,086,802) (69,640,493) 4,277,111 $ 96,091,443
------------ ------------ ---------- ------------
------------ ------------ ---------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Diversified Bond Fund 87
<PAGE>
DIVERSIFIED BOND FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
------- ------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . $ 21.53 $ 23.73 $ 23.49 $ 24.29 $ 22.81 $ 22.90
------- ------- ------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . .78 1.46 1.48 1.62 1.72 1.74
Net realized and unrealized gain on investments . . . . . . . 1.56 (2.22) .83 (.10) 1.61 (.09)
----- ----- ----- ----- ----- -----
Total From Investment Operations . . . . . . . . . . . . . . . 2.34 (.76) 2.31 1.52 3.33 1.65
----- ----- ----- ----- ----- -----
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . (.66) (1.42) (1.48) (1.63) (1.69) (1.74)
In excess of net investment income . . . . . . . . . . . . . -- -- (.01) -- -- --
Net realized gain on investments . . . . . . . . . . . . . . . -- -- (.58) (.69) (.16) --
In excess of net realized gain on investments. . . . . . . . . -- (.02) -- -- -- --
----- ----- ----- ----- ----- -----
Total Distributions. . . . . . . . . . . . . . . . . . . . . . (.66) (1.44) (2.07) (2.32) (1.85) (1.74)
----- ----- ----- ----- ----- -----
NET ASSET VALUE
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . $23.21 $ 21.53 $ 23.73 $ 23.49 $ 24.29 $ 22.81
----- ----- ----- ----- ----- -----
----- ----- ----- ----- ----- -----
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . 11.03 (3.25) 10.02 6.57 15.29 7.58
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b) . . . . . . .59 .56 .58 .62 .74 .88
Operating expenses, gross, to average net assets (b) . . . . . .59 .56 .58 .67 .74 .88
Net investment income to average net assets (b). . . . . . . . 6.97 6.57 6.13 6.79 7.38 7.89
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . 129.74 153.21 177.74 228.37 130.96 94.88
Net assets, end of period ($000 omitted) . . . . . . . . . . . 494,480 525,315 477,341 412,394 344,081 294,677
Per share amount of fees waived ($ omitted). . . . . . . . . . -- -- -- .0115 -- --
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
</TABLE>
88 Diversified Bond Fund
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
LONG-TERM INVESTMENTS - 91.9%
ASSET-BACKED SECURITIES - 12.4%
Advanta Mortgage Loan Trust
Series 1993-4 Class A-1
7.270% due 06/25/08 $1,924 $1,928
ALPS Pass-thru Trust
Series 1994-1 Class A-2
7.150% due 11/15/97 (c) 533 536
Colonial Credit Card Trust
Series 1992-A Class A
6.800% due 08/15/97 1,000 1,005
Contimortgage Home Equity Loan
Series 1994-4 Class A-1
8.090% due 08/15/08 1,471 1,479
EQCC Home Equity Loan Trust
Series 1993-4 Class A
5.725% due 12/15/08 114 109
Series 1994-1 Class A
5.800% due 03/15/09 877 840
Series 1994-3 Class A-1
6.340% due 01/15/04 1,522 1,536
First Chicago Master Trust II
Credit Card Certificates
Series 1991-D
8.400% due 06/15/98 700 713
Fund America Investors Corp. II
Pass-thru Certificate
Series 1993-F Class A-1
5.400% due 09/25/09 781 728
Green Tree Financial Corp.
Series 1992-2 Class A-2
7.050% due 01/15/18 84 85
Series 1994-1 Class A-1
5.600% due 04/15/19 1,359 1,350
National Credit Card Trust
Pass-thru Certificate
Series 1989-4 Class A
9.450% due 12/31/97 1,000 1,028
Nomura Asset Securities Corp.
Mortgage Pass-thru Certificate
Series 1994-3 Class A-1
7.000% due 07/25/24 1,137 1,135
Resolution Trust Corp.
Mortgage Pass-thru Certificate
Series 1992-9 Class A2B
8.000% due 07/25/29 1,350 1,360
Series 1992-CHF Class B
7.150% due 12/25/20 793 792
Series 1992-M2 Class A-4
8.465% due 03/25/20 111 111
Series 1992-M3 Class A-1
7.750% due 07/25/30 194 197
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Salomon Brothers Mortgage Securities VII
Series 1993-5 Class A2
Interest Only Strip
7.371% due 10/25/23 (c) $662 $661
Small Business Administration
Pool # 501456 7.400% due 03/25/16 (c) 637 649
Pool # 501561 7.375% due 07/25/16 (c) 655 667
SPNB Home Equity Loan
Series 1991-1 Class B
8.150% due 06/15/20 331 338
TMS Home Equity Loan Trust
Series 1993-D Class A-1
5.675% due 12/15/08 1,570 2,605
Series 1994-C Class A-1
6.775% due 09/15/07 1,556 1,556
UCFC Home Equity Loan Trust
Series 1993-B1 Class A-1
6.075% due 07/25/14 270 264
Series 1994-B Class A-6
7.100% due 06/10/23 1,727 1,744
Series 1994-C1 Class A-1
6.775% due 05/10/05 1,550 1,552
Western Financial Grantor Trust
Series 1991-2 Class A
7.300% due 10/01/96 178 179
---------
25,147
---------
CORPORATE BONDS AND NOTES - 22.0%
American General Finance Corp. (MTN)
6.700% due 06/16/97 700 705
American Home Products
6.875% due 04/15/97 590 597
Bank of Boston Corp.
9.500% due 08/15/97 1,250 1,322
Capital One Bank
8.625% due 01/15/97 300 309
Capital One Bank (MTN)
8.125% due 02/27/98 1,000 1,028
Chase Manhattan Corp.
7.500% due 12/01/97 500 510
6.188% due 12/05/09 (c) 800 765
Chemical Banking Corp.
10.375% due 03/15/99 895 1,000
Chrysler Financial Corp. (MTN)
5.200% due 11/12/96 200 197
CIT Group Holdings, Inc.
7.625% due 12/05/96 475 484
Citicorp (MTN)
8.500% due 02/24/97 1,000 1,036
</TABLE>
VOLATILITY CONSTRAINED BOND FUND 89
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Continental Bank Corp.
9.875% due 06/15/96 $550 $565
ERP Operating, L.P.
8.500% due 05/15/99 1,000 1,039
First Security Bank (MTN)
6.880% due 10/04/96 1,400 1,413
First Union Corp.
6.750% due 01/15/98 410 413
First USA Bank
8.100% due 02/21/97 340 349
5.750% due 01/15/99 175 169
First USA Bank (MTN)
5.050% due 12/27/95 250 249
Fleet Financial Group, Inc.
7.250% due 10/15/97 1,475 1,504
Fleet/Norstar Financial Group, Inc.
7.650% due 03/01/97 875 893
Ford Motor Credit (MTN) CMS Floater
5.840% due 07/08/96 (c) 3,200 3,128
Ford Motor Credit Co.
8.875% due 08/01/96 350 360
General Motors Acceptance Corp.
7.750% due 04/15/97 650 664
General Motors Acceptance Corp. (MTN)
8.250% due 08/29/96 600 614
Georgia Pacific Corp.
9.850% due 06/15/97 350 371
Goldman Sachs Group, L.P.
7.625% due 05/29/97 450 458
6.100% due 04/15/98 450 443
6.375% due 06/15/00 550 539
Greyhound Financial Corp.
9.670% due 07/01/97 1,250 1,321
GTE Corp.
10.750% due 09/15/17 1,200 1,314
Health & Rehabilitation Properties Trust
7.300% due 07/13/99 (c) 975 966
International Lease Finance Corp.
4.750% due 01/15/97 1,000 976
International Lease Finance Corp. (MTN)
5.870% due 02/13/98 550 542
Merrill Lynch & Co., Inc.
9.000% due 05/01/98 1,265 1,348
Midlantic Corp.
9.250% due 09/01/99 450 487
Morgan Stanley Group, Inc.
8.000% due 10/15/96 900 918
Occidental Petroleum Corp.
9.625% due 07/01/99 900 925
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Occidental Petroleum Corp. (MTN)
5.950% due 11/09/98 $1,400 $1,370
5.960% due 11/09/98 150 147
Salomon, Inc. CMT Floater (MTN)
6.712% due 04/05/99 (c) 2,350 2,247
Security Pacific Corp. (MTN)
8.490% due 12/27/96 475 491
Shawmut Corp.
8.875% due 04/01/96 650 661
Smith Barney Holdings, Inc.
6.000% due 03/15/97 1,075 1,066
7.875% due 10/01/99 1,000 1,042
System Energy Resources, Inc.
6.120% due 10/01/95 600 600
7.625% due 04/01/99 2,000 2,040
Taubman Realty Group, L.P.
8.000% due 06/15/99 475 489
Tennessee Gas Pipeline Co.
9.250% due 05/15/96 818 837
9.000% due 01/15/97 750 777
USF & G Corp.
7.000% due 05/15/98 2,975 3,005
---------
44,693
---------
EURODOLLAR BONDS - 1.0%
Chrysler Financial Corp.
9.500% due 04/12/96 900 920
Goldman Sachs Group, L.P.
5.000% due 08/23/96 1,050 1,035
---------
1,955
---------
MORTGAGE-BACKED SECURITIES - 28.7%
FDIC REMIC Trust
Series 1994-C1 Class 2A-1
6.300% due 09/25/25 144 144
Series 1994-C1 Class 2A-2
7.850% due 09/25/25 1,100 1,129
Federal Home Loan Mortgage Corp.
Participation Certificates
Group # 17-0163 14.000% due 04/01/16 19 22
Group # 23-0114 7.375% due 03/01/06 (c) 632 631
Group # 27-4537 8.000% due 06/01/96 22 21
Group # 27-4978 8.000% due 07/01/96 26 26
Group # 30-9784 8.000% due 12/01/17 1,370 1,397
Group # 40-9223 6.335% due 01/01/24 (c) 873 891
Group # 54-4461 8.500% due 04/01/09 277 285
Group # 60-8726 6.000% due 09/01/23 (c) 1,231 1,266
</TABLE>
90 VOLATILITY CONSTRAINED BOND FUND
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Group # 84-5454 6.057% due 08/01/23 (c) $ 800 $ 824
Group # 84-5819 6.106% due 05/01/24 (c) 916 930
Group # 85-0105 9.000% due 09/01/05 703 730
Group # D2-9159 7.500% due 10/01/07 973 983
Group # G5-0238 8.000% due 01/01/00 1,140 1,166
Group # L7-2774 7.000% due 08/01/99 743 750
Group # L7-2806 7.000% due 09/01/99 114 115
Group # L7-3024 8.000% due 12/01/99 198 202
Group # L7-3099 8.000% due 02/01/00 503 515
Group # L7-3115 8.000% due 02/01/00 335 342
Group # L9-0152 8.000% due 02/01/00 895 915
Group # M9-0346 7.000% due 06/01/99 124 125
Group # M9-0386 8.000% due 02/01/00 317 324
Group # G5-0215 8.000% due 08/01/97 4,645 4,750
Federal National Mortgage Association
Pool # 013957 8.500% due 11/01/01 273 282
Pool # 019455 8.750% due 03/01/04 79 82
Pool # 067546 7.000% due 10/01/05 236 236
Pool # 081582 7.000% due 02/01/07 460 461
Pool # 116591 6.298% due 01/01/21 (c) 813 815
Pool # 190581 6.245% due 01/01/24 (c) 1,611 1,649
Pool # 212919 5.996% due 01/01/21 (c) 1,086 1,077
Pool # 303172 6.606% due 12/01/24 (c) 967 998
Pool # 307672 6.062% due 02/01/25 (c) 996 1,013
Pool # 307676 5.782% due 01/01/25 (c) 987 997
Federal National Mortgage Association
REMIC Series 1993-175 Class PK
4.750% due 09/25/00 1,000 986
REMIC Trust Series 1995-W2 Class 1A
7.610% due 05/25/22 900 910
Government National Mortgage Association
Pool # 003196 7.250% due 11/15/03 272 278
Pool # 005719 7.250% due 02/15/05 341 349
Pool # 007204 7.250% due 05/15/05 36 37
Pool # 007433 7.250% due 07/15/05 204 208
Pool # 007612 7.250% due 06/15/05 355 364
Pool # 008000 6.750% due 06/20/22 (c) 2,946 3,000
Pool # 008303 6.500% due 10/20/23 (c) 918 929
Pool # 008315 5.500% due 11/20/23 (c) 992 985
Pool # 008339 5.500% due 12/20/23 (c) 470 466
Pool # 008362 5.000% due 02/20/24 (c) 168 164
Pool # 008387 6.000% due 03/20/24 (c) 87 87
Pool # 008399 5.000% due 04/20/24 (c) 1,735 1,729
Pool # 008420 5.000% due 05/20/24 (c) 1,033 1,030
Pool # 008434 4.500% due 06/20/24 (c) 489 482
Pool # 008443 5.500% due 06/20/24 (c) 195 196
Pool # 008482 6.500% due 08/20/24 (c) 1,039 1,057
Pool # 008580 7.250% due 11/15/05 197 202
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Pool # 008597 7.500% due 02/20/25 (c) $ 694 $ 711
Pool # 008628 6.500% due 05/20/25 1,077 1,089
Pool # 008644 7.500% due 06/20/25 1,490 1,524
Pool # 009360 7.250% due 01/15/06 325 333
Pool # 121490 10.000% due 03/15/15 183 200
Pool # 148859 10.000% due 01/15/16 218 238
Pool # 175626 10.000% due 04/15/16 158 172
Pool # 204521 10.000% due 11/15/17 83 90
Pool # 208730 9.500% due 07/15/20 24 25
Pool # 225781 9.500% due 06/15/18 111 118
Pool # 226120 9.500% due 11/15/19 28 30
Pool # 228783 10.000% due 09/15/17 386 421
Pool # 252144 10.000% due 11/15/18 153 167
Pool # 254833 10.000% due 09/15/18 342 373
Pool # 260557 10.000% due 02/15/19 299 325
Pool # 260968 10.000% due 08/15/18 23 25
Pool # 261984 10.000% due 07/15/18 20 22
Pool # 262831 10.000% due 11/15/18 114 125
Pool # 265459 9.500% due 03/15/20 207 219
Pool # 270471 10.000% due 06/15/19 330 359
Pool # 272887 10.000% due 04/15/19 64 70
Pool # 278765 9.500% due 11/15/19 801 851
Pool # 281821 9.500% due 12/15/19 879 934
Pool # 288862 10.000% due 07/15/20 156 170
Pool # 324490 9.500% due 06/15/22 79 83
Pool # 332596 9.500% due 08/15/22 63 67
Pool # 405335 9.500% due 10/15/24 487 516
Pool # 407149 9.500% due 02/15/25 322 340
Government National Mortgage Association
7.000% 30 Year TBA (e) 1,300 1,325
9.000% 30 Year TBA (e) 3,000 3,151
9.500% 30 Year TBA (e) 3,500 3,710
Ryland Mortgage Securities Corp. CMO
7.814% due 06/25/20 (c) 887 896
---------
58,231
---------
MUNICIPAL BONDS - 0.3%
Oklahoma County Industrial Revenue Authority
6.750% due 10/01/21 (c) 675 676
---------
676
---------
UNITED STATES GOVERNMENT AGENCIES - 2.4%
Federal Home Loan Bank
7.050% due 05/22/98 2,000 2,006
Federal Home Loan Mortgage Corp.
6.905% due 05/02/97 1,400 1,404
</TABLE>
VOLATILITY CONSTRAINED BOND FUND 91
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
<S> <C> <C>
Federal National Mortgage Association
CMT Floater (MTN)
6.720% due 04/29/96 (c) $1,525 $1,495
---------
4,905
---------
UNITED STATES GOVERNMENT
TREASURIES - 20.0%
United States Treasury Notes
5.125% due 11/15/95 1,500 1,497
7.500% due 12/31/96 4,775 4,887
4.750% due 02/15/97 675 663
6.875% due 02/28/97 5,200 5,285
6.500% due 04/30/97 1,500 1,517
6.125% due 05/31/97 2,480 2,493
6.750% due 05/31/97 4,400 4,471
5.500% due 09/30/97 875 868
7.250% due 02/15/98 2,605 2,690
6.125% due 05/15/98 13,300 13,387
5.375% due 05/31/98 450 444
7.625% due 12/31/99 310 331
6.875% due 03/31/00 1,385 1,433
6.250% due 05/31/00 475 480
7.500% due 11/15/01 25 27
---------
40,473
---------
YANKEE BONDS - 5.1%
African Development Bank
9.500% due 12/15/95 500 507
British Columbia Hydro & Power
15.000% due 04/15/11 300 335
15.500% due 11/15/11 400 472
Forte
7.750% due 12/19/96 1,860 1,895
Household International
5.250% due 10/15/98 1,350 1,301
Ontario, Province of
17.000% due 11/05/11 1,295 1,548
11.500% due 03/10/13 2,415 2,782
Quebec, Province of
13.000% due 10/01/13 1,180 1,445
---------
10,285
---------
TOTAL LONG-TERM INVESTMENTS
(cost $187,814) 186,365
---------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
<S> <C> <C>
PREFERRED STOCKS - 1.2%
Conagra Capital LC Series B (c) 63,000 $ 1,425
Texaco Capital Series B (c) 43,000 936
--------
TOTAL PREFERRED STOCKS
(cost $2,650) 2,361
---------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 10.6%
Frank Russell Investment Company
Money Market Fund due on demand (a) $19,625 19,625
Student Loan Marketing Association (MTN)
6.943% due 02/21/96 1,000 1,006
United States Treasury Bills
6.590% due 02/08/96 (b) 970 938
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $21,559) 21,569
---------
TOTAL INVESTMENTS
(identified cost $212,023) - 103.7% 210,295
OTHER ASSETS AND LIABILITIES,
Net - (3.7%) (7,454)
---------
NET ASSETS - 100.0% $ 202,841
---------
---------
<FN>
(a) At cost, which approximates market.
(b) Rate noted is yield to maturity.
(c) Adjustable or floating rate securities.
(d) At June 30, 1995 the cost for federal income tax purposes
was $211,969 and net unrealized depreciation for all securities
was $1,674. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $1,438 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $3,112.
(e) Forward commitment. See Note 2.
(MTN) represents Medium Term Note.
</TABLE>
The accompanying notes are an integral part of the finacial statements.
92 VOLATILITY CONSTRAINED BOND FUND
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $212,022,997)(Note 2) . . $ 210,294,849
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,527
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . 2,332,224
Investments sold (regular settlement). . . . . . . . . . . . . 823,006
Investments sold (delayed settlement). . . . . . . . . . . . . 3,079,625
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . 630,149
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . 3,503
-------------
217,165,883
LIABILITIES
Payables:
Investments purchased (regular settlement) . . . . $ 2,322,526
Investments purchased (delayed settlement) . . . . 11,252,160
Fund shares redeemed . . . . . . . . . . . . . . . 600,657
Accrued management fees (Note 4) . . . . . . . . . 84,322
Accrued transfer agent fees (Note 4) . . . . . . . 24,378
Accrued bookkeeping service fees (Note 4). . . . . 6,646
Other accrued expenses . . . . . . . . . . . . . . 34,315 14,325,004
----------- ----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . $ 202,840,879
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . .$ 1,155,359
Accumulated net realized gain (loss) . . . . . . . . . . . . . . (10,571,450)
Unrealized appreciation (depreciation) on investments. . . . . . (1,728,148)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . 105,681
Additional paid-in capital . . . . . . . . . . . . . . . . . . . 213,879,437
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 202,840,879
--------------
--------------
Net asset value, offering and redemption price per share
($202,840,879 divided by 10,568,078 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . $19.19
-------------
-------------
The accompanying notes are an integral part of the financial statements
VOLATILITY CONSTRAINED BOND FUND 93
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,425,685
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 577,333
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . 94,634
------------
7,097,652
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . $ 494,155
Custodian fees . . . . . . . . . . . . . . . . . . . 76,420
Bookkeeping service fees . . . . . . . . . . . . . . 12,499
Professional fees. . . . . . . . . . . . . . . . . . 9,751
Registration fees. . . . . . . . . . . . . . . . . . 21,689
Transfer agent fees. . . . . . . . . . . . . . . . . 70,603
Trustees' fees . . . . . . . . . . . . . . . . . . . 1,945
Miscellaneous. . . . . . . . . . . . . . . . . . . . 3,894 690,956
----------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 6,406,696
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . (1,023,798)
Options written (Notes 2 and 3). . . . . . . . . . . . . . . . (19,453)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 5,814,334
Options written. . . . . . . . . . . . . . . . . . . . . . . . (2,847)
-----------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . 4,768,236
-----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . $ 11,174,932
-----------
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
94 VOLATILITY CONSTRAINED BOND FUND
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,406,696 $ 13,053,872
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,023,798) (6,449,438)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (19,453) 37,625
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,814,334 (6,853,429)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,847) 2,847
-------------- ---------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 11,174,932 (208,523)
Distributions to shareholders from net investment income . . . . . . . . . . . . . . . . . (5,409,034) (12,896,175)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . 2,067,857 (17,560,079)
-------------- ---------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,833,755 (30,664,777)
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195,007,124 225,671,901
-------------- ---------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $1,155,359 and $157,697, respectively) . . . . . . . . . . . . . . . . . . . . . . . . $ 202,840,879 $ 195,007,124
-------------- ---------------
-------------- ---------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 2,858,709 $ 54,242,371 5,306,519 $ 102,279,878
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . 169,226 3,206,024 342,050 6,519,884
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (2,919,328) (55,380,538) (6,596,369) (126,359,841)
----------- ------------ ----------- -------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . 108,607 $ 2,067,857 (947,800) $ (17,560,079)
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
</TABLE>
The accompanying notes are an integral part of the financial statements
Volatility Constrained Bond Fund 95
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . $ 18.64 $ 19.78 $ 19.51 $20.33 $ 19.51 $ 19.37
------- ------- ------- ------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . .61 1.15 .82 1.34 1.45 1.52
Net realized and unrealized gain (loss) on investments . . . . . . .46 (1.16) .45 (.88) .80 .13
------- ------ ------- ------ ------- -------
Total From Investment Operations . . . . . . . . . . . . . . . . . 1.07 (.01) 1.27 .46 2.25 1.65
------- ------ ------- ------ ------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . (.52) (1.13) (.71) (1.28) (1.43) (1.51)
Tax return of capital. . . . . . . . . . . . . . . . . . . . -- -- (.29) -- -- --
------- ------ ------- ------ ------- -------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . (.52) (1.13) (1.00) (1.28) (1.43) (1.51)
------- ------ ------- ------ ------- -------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $ 19.19 $ 18.64 $ 19.78 $ 19.51 $ 20.33 $ 19.51
------- ------ ------- ------- ------- -------
------- ------ ------- ------- ------- -------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 5.78 (.02) 6.67 2.29 12.00 8.92
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) . . . . . . . . . . .70 .67 .66 .68 .62 .62
Net investment income to average net assets (b). . . . . . . . . 6.48 5.97 5.79 6.74 7.34 7.88
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 232.65 182.65 220.77 312.05 159.20 181.66
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 202,841 195,007 225,672 292,909 293,603 240,887
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period June 30, 1995 are annualized.
</TABLE>
96 Volatility Constrained Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
LONG-TERM INVESTMENTS - 86.9%
ASSET-BACKED SECURITIES - 4.7%
Advanta Home Equity Loan Trust
Series 1993-1 Class A-2
5.950% due 05/25/09 $ 53 $ 51
Series 1994-1 Class A-2
6.300% due 07/25/25 220 213
AFC Home Equity Loan Trust
Series 1993-1 Class A
5.900% due 05/20/08 39 38
American Airlines, Inc.
Series 1990-H
9.800% due 01/02/08 1,190 1,409
Contimortgage Home Equity Loan
Series 1994-4 Class A-6
8.270% due 12/15/24 219 226
EQCC Home Equity Loan Trust
Series 1993-4 Class A
5.725% due 12/15/08 112 107
Fund America Investors Corp. II
Pass-thru Certificate
Series 1993-F Class A-1
5.400% due 09/25/09 253 236
Greenwich Capital Acceptance, Inc.
Series 1994 Class A-1
6.830% due 11/25/24 (c) 1,795 1,831
OSCC Home Equity Loan Trust
Series 1993-1
5.850% due 03/15/08 49 47
Resolution Trust Corp.
Mortgage Pass-thru Certificate
Series 1992-C4 Class A-1
8.150% due 06/25/24 72 73
Series 1995-1 Class 2-C
7.500% due 10/25/28 (c) 325 329
Series 1995-C1 Class C
6.920% due 02/25/27 (c) 300 281
Series 1994-1 Class M2
7.750% due 09/25/29 467 459
Salomon Brothers Mortgage Securities VII, Inc.
Mortgage Pass-thru Certificate
Series 1994-16 Class A
7.200% due 11/25/24 (c) 2,754 2,799
TMS Home Equity Loan Trust
Series 1992-B Class A
6.900% due 07/15/07 444 443
UCFC Loan Trust
Series 1993-B1 Class A-1
6.075% due 07/25/14 85 82
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
UCFC Loan Trust
Series 1994-B Class A-6
7.100% due 06/10/23 $ 604 $ 609
--------
9,233
--------
CORPORATE BONDS AND NOTES - 21.7%
Adelphia Communications Corp.
PIK Series B
9.500% due 02/15/04 603 479
ADT Operations, Inc.
8.250% due 08/01/00 400 407
American Airlines Class A-1
9.710% due 01/02/07 383 425
AMR Corp. (MTN)
9.950% due 03/07/01 1,000 1,116
Anchor Bancorp, Inc.
8.937% due 07/09/03 375 362
Arcadian Partners Ltd.
Series B
10.750% due 05/01/05 260 262
Arkla, Inc. (MTN)
9.300% due 03/01/96 1,000 1,015
8.780% due 07/19/96 500 509
Armco, Inc.
9.375% due 11/01/00 265 254
Banesto Delaware, Inc.
8.250% due 07/28/02 500 520
Cablevision Industries Co.
9.250% due 04/01/08 320 331
Capital One Bank
8.625% due 01/15/97 325 335
Chevy Chase Savings Bank
9.250% due 12/01/05 500 485
Clark Oil & Refining Corp.
10.500% due 12/01/01 75 78
9.500% due 09/15/04 150 152
Cleveland Electric Illum Co.
9.375% due 03/01/17 1,000 932
Cleveland Electric Illum Co.
Series B
9.500% due 05/15/05 130 130
Cleveland Electric Illum Co. (MTN)
9.110% due 07/22/96 1,000 1,015
CMS Energy Corp.
9.500% due 10/01/97 1,000 985
Coast Federal Bank
13.000% due 12/31/02 375 421
</TABLE>
Multistrategy Bond Fund 97
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
Coast Savings Financial, Inc.
10.000% due 03/01/00 $ 175 $ 178
Coastal Corp.
10.375% due 10/01/00 500 571
Columbia Gas System, Inc.
10.500% due 06/01/12 430 629
Companhia Petroleo Ipiranga
8.625% due 02/25/02 (c) 600 563
Continental Cablevision, Inc.
8.500% due 09/15/01 125 126
8.625% due 08/15/03 100 101
8.875% due 09/15/05 200 204
CP Limited Partnership
8.750% due 03/02/00 500 522
CTC Mansfield Funding Corp.
10.250% due 03/30/03 500 510
Delta Air Lines, Inc.
10.375% due 02/01/11 195 226
Dime Bancorp, Inc.
10.500% due 11/15/05 320 346
EnviroSource, Inc.
9.750% due 06/15/03 470 423
Exide Corp.
10.750% due 12/15/02 250 264
12.250% due 12/15/04 665 475
Falcon Holdings Group L.P.
PIK Series B
11.000% due 09/15/03 398 348
First Nationwide Holdings, Inc.
12.250% due 05/15/01 425 442
First USA Bank
8.200% due 02/15/98 500 517
Flagstar Corp.
11.250% due 11/01/04 245 191
Ford Motor Credit Co. (MTN)
4.800% due 07/22/96 200 198
Ford Motor Credit Co. (MTN)
CMS Floater
5.805% due 07/12/96 (c) 250 245
General Medical Corp. of Virginia PIK
12.125% due 08/15/05 846 871
General Motors Acceptance Corp.
8.625% due 06/15/99 130 139
8.400% due 10/15/99 185 197
General Motors Acceptance Corp. (MTN)
8.800% due 07/08/96 125 128
5.940% due 07/19/96 (c) 2,000 1,997
7.375% due 04/15/99 940 964
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
Genesis Health Ventures, Inc.
9.750% due 06/15/05 $ 300 $ 302
Goldman Sachs Group, L.P.
6.375% due 06/15/00 1,000 980
Grupo Industrial Durango SA de CV
12.000% due 07/15/01 555 415
Healthsouth Rehabilitation Corp.
9.500% due 04/01/01 300 310
Koppers Industries, Inc.
8.500% due 02/01/04 500 473
Liberty Mutual Insurance Co.
8.200% due 05/04/07 500 521
Long Island Lighting Co.
6.250% due 07/15/01 190 174
8.900% due 07/15/19 200 183
New England Mutual Life Insurance Co.
7.875% due 02/15/24 325 281
New York Telephone Co.
7.000% due 08/15/25 470 443
News America Holdings, Inc.
8.875% due 04/26/23 350 380
8.450% due 08/01/34 600 654
NWA Trust
13.875% due 06/21/08 90 99
Occidental Petroleum Corp. (MTN)
5.950% due 11/09/98 175 171
6.750% due 09/16/99 100 100
Owens-Illinois, Inc.
11.000% due 12/01/03 900 988
Pacific Bell
7.500% due 02/01/33 450 436
Paramount Communications, Inc.
7.500% due 01/15/02 250 250
PDV America, Inc.
7.875% due 08/01/03 750 680
PennCorp. Financial Group, Inc.
9.250% due 12/15/03 475 461
Peters (J.M.), Inc.
12.750% due 05/01/02 230 187
Pueblo Xtra International
9.500% due 08/01/03 220 196
Reliance Group Holdings, Inc.
9.000% due 11/15/00 385 378
Riggs National Corp. Washington, D.C.
9.650% due 06/15/09 250 273
RJR Nabisco, Inc.
8.000% due 01/15/00 2,000 2,085
</TABLE>
98 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
Salomon, Inc.
9.375% due 04/15/98 $ 100 $ 106
Salomon, Inc. (MTN)
6.360% due 04/01/98 125 123
6.125% due 05/15/98 75 73
Smith Barney Holdings, Inc. New
5.625% due 11/15/98 225 216
7.980% due 03/01/00 400 420
Taubman Realty Group, L.P.
8.000% due 06/15/99 450 464
Tenneco Credit Corp.
9.000% due 07/15/95 1,000 1,001
Time Warner, Inc.
Zero Coupon due 08/15/02 1,500 1,476
9.125% due 01/15/13 845 878
9.150% due 02/01/23 1,115 1,156
Toledo Edison Co.
8.700% due 09/01/02 500 444
Toledo Edison Co. (MTN)
8.000% due 12/31/98 500 493
Turner Broadcasting Systems, Inc.
7.400% due 02/01/04 450 421
United Companies Financial Corp.
9.350% due 11/01/99 375 400
USAT Holdings, Inc.
8.050% due 05/15/98 (c) 200 197
Varity Corp.
11.375% due 11/15/98 250 265
Wellsford Residential Property Trust
9.375% due 02/01/02 475 521
Westinghouse Electric Corp.
8.875% due 06/01/01 350 375
8.375% due 06/15/02 350 366
Westpoint Stevens, Inc.
8.750% due 12/15/01 250 245
--------
42,648
--------
EURODOLLAR BONDS - 2.7%
Argentina, Republic of Series L
7.313% due 03/31/05 (c) 250 154
Banesto Finance
7.063% due 10/24/49 (c)(f) 250 210
Canadian Imperial Bank
6.938% due 07/30/84 (c) 170 145
Cemex SA
8.875% due 06/10/98 2,000 1,731
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
Fifth Mexican Acceptance Corp.
Class A
8.000% due 12/15/98 $ 550 $ 237
Hong Kong & Shanghai Bank
6.750% due 08/29/49 (c)(f) 535 429
Indah Kiat Paper & Pulp
8.875% due 11/01/00 195 177
Mexico (United Mexican States)
7.219% due 12/31/19 (c) 2,000 1,425
Midland Bank
6.688% due 12/31/49 (c)(f) 170 137
Nacional Financier
9.375% due 04/23/99 (c) 500 442
Venezuela, Republic of
6.750% due 03/31/20 500 252
--------
5,339
--------
MORTGAGE-BACKED SECURITIES - 31.6%
Collateralized Mortgage Securities Corp.
Series J Class J-5 CMO
7.985% due 05/01/17 1,903 1,977
FDIC REMIC Trust
Series 1994-C1 Class 2A-2
7.850% due 09/25/25 500 513
Federal Home Loan Mortgage Corp.
Participation Certificate
Group # G8-0003
9.500% due 07/25/22 267 280
Federal Home Loan Mortgage Corp.
Series 1037 Class Z
9.000% due 02/15/21 1,453 1,573
Series 29 Class 29-F
10.000% due 10/15/11 3 3
Federal National Mortgage Association
Pool #050748 7.500% due 06/01/23 20 20
Pool #050766 7.500% due 07/01/23 590 591
Pool #050775 7.500% due 08/01/23 124 125
Pool #050796 7.500% due 09/01/23 378 379
Pool #050996 7.500% due 02/01/24 685 687
Pool #190504 5.640% due 11/01/23 (c) 2,421 2,476
Pool #227029 7.500% due 09/01/23 270 271
Pool #228620 7.500% due 07/01/23 141 141
Pool #231431 7.500% due 10/01/23 93 94
Pool #250060 7.500% due 06/01/24 269 269
Pool #250179 7.500% due 11/01/24 518 520
Pool #276234 7.000% due 05/01/24 518 510
</TABLE>
Multistrategy Bond Fund 99
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
Pool #286017 7.000% due 06/01/24 $ 771 $ 757
Pool #289228 8.000% due 09/01/24 32 33
Pool #293247 8.000% due 09/01/24 430 438
Pool #303016 6.000% due 10/01/01 1,332 1,293
Federal National Mortgage Association
6.500% 7 Year TBA (e) 150 150
7.000% 15 Year TBA (e) 7,900 7,920
7.000% 30 Year TBA (e) 8,000 7,862
8.000% 30 Year TBA (e) 2,650 2,699
REMIC
9.100% due 12/25/12 219 220
REMIC Series 1994-3 Class SA
3.100% due 01/25/24 (c) 425 175
REMIC Trust Series 1990-21 Class Z
9.000% due 03/25/20 3,155 3,392
REMIC Trust Series 1994-79 Class Z
7.000% due 04/25/24 2,145 1,883
Government National Mortgage Association
Pool #008163 6.500% due 03/20/23 (c) 2,553 2,580
Pool #008288 6.500% due 09/20/23 (c) 909 923
Pool #008350 5.000% due 01/20/24 (c) 768 746
Pool #008387 6.000% due 03/20/24 (c) 308 308
Pool #008399 5.000% due 04/20/24 (c) 747 744
Pool #008420 5.000% due 05/20/24 (c) 360 359
Pool #008559 6.000% due 12/20/24 (c) 496 500
Pool #253096 8.000% due 07/15/22 331 339
Pool #321855 7.500% due 06/15/23 200 201
Pool #330320 7.500% due 10/15/23 45 45
Pool #342029 8.000% due 06/15/23 297 304
Pool #348193 7.500% due 07/15/23 528 531
Pool #348888 7.000% due 07/15/23 1,090 1,072
Pool #351437 7.000% due 02/15/24 24 23
Pool #352050 7.000% due 10/15/23 1,089 1,072
Pool #353132 7.500% due 07/15/23 134 134
Pool #359600 7.500% due 07/15/23 103 104
Pool #369166 7.500% due 10/15/23 377 378
Pool #369168 7.500% due 11/15/23 227 228
Pool #372108 7.000% due 06/15/24 25 25
Pool #376352 7.500% due 12/15/23 1,003 1,008
Pool #377218 8.000% due 06/15/24 481 493
Pool #385312 9.000% due 11/15/24 706 741
Pool #389622 9.000% due 10/15/24 469 493
Pool #393138 7.500% due 04/15/24 268 270
Pool #401237 9.000% due 01/15/25 321 337
Pool #405334 9.000% due 10/15/24 211 221
Pool #405451 9.500% due 04/15/25 345 366
Pool #780029 9.000% due 11/15/24 443 467
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
Government National Mortgage Association
7.000% 30 Year TBA (e) $ 1,000 $ 984
7.500% 30 Year TBA (e) 500 503
8.000% 30 Year TBA (e) 5,000 5,119
Ryland Acceptance Corp.
Series 83 Class 83-E CMO
8.150% due 10/01/17 166 168
Ryland Mortgage Securities Corp. CMO
Series 1993-8 Class A
7.850% due 09/25/23 (c) 2,994 3,006
--------
62,043
--------
MUNICIPAL BONDS - 0.6%
Atlanta Water & Sewer Revenue
4.750% due 01/01/23 290 239
Chicago, Illinois, General Obligation
5.500% due 01/01/24 155 140
Radnor Township, Pennsylvania,
General Obligation
5.400% due 11/01/24 650 600
Salt River Project, Arizona, Agricultural
Improvement & Power District Series B
5.250% due 01/01/19 290 261
--------
1,240
--------
NON-U.S. BONDS - 3.6%
Italy, Republic of
6.875% due 09/27/23 670 595
Germany, Republic of
6.250% due 01/04/24 DM 9,800 6,002
Poland, Government of
7.125% due 10/27/24 (c) $ 455 349
--------
6,946
--------
UNITED STATES GOVERNMENT
AGENCIES - 0.7%
Federal National Mortgage Association
Principal Only Strip
Zero Coupon due 11/01/01 300 276
Zero Coupon due 12/20/01 800 726
Zero Coupon due 04/10/02 400 357
--------
1,359
--------
</TABLE>
100 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONINTUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
UNITED STATES GOVERNMENT
TREASURIES - 17.3%
United States Treasury Bonds
11.625% due 11/15/04 $ 1,150 $ 1,581
10.750% due 08/15/05 590 783
7.250% due 05/15/16 975 1,033
8.125% due 08/15/19 1,350 1,571
7.875% due 02/15/21 4,460 5,072
7.125% due 02/15/23 1,550 1,633
United States Treasury Notes
3.875% due 08/31/95 (g) 120 120
7.250% due 11/15/96 240 244
7.500% due 12/31/96 1,175 1,203
6.625% due 03/31/97 195 198
6.500% due 04/30/97 235 238
6.500% due 05/15/97 5,300 5,360
6.750% due 05/31/97 500 508
5.375% due 05/31/98 2,825 2,785
6.750% due 05/31/99 5,400 5,542
6.875% due 07/31/99 300 309
7.750% due 11/30/99 1,650 1,760
6.250% due 02/15/03 3,100 3,108
United States Treasury Securities
Principal Only Strip
Zero Coupon due 11/15/04 600 333
Zero Coupon due 11/15/21 3,475 576
--------
33,957
--------
YANKEE BONDS - 4.0%
Argentina, Republic of
5.000% due 03/31/23 (c) 2,550 1,211
Bombril SA
8.000% due 08/26/98 400 332
Brazil, Federal Republic of
7.813% due 01/01/01 (c) 1,213 975
Christiana Bank
6.438% due 11/30/49 (c) 200 154
Den Norske Creditbank
6.313% due 11/30/49 (c)(f) 390 302
Doman Industries, Ltd.
8.750% due 03/15/04 520 494
Domtar, Inc.
12.000% due 04/15/01 500 575
Ecuador, Republic of
3.000% due 02/28/25 (c) 650 210
Fairfax Financial Holdings, Ltd.
7.750% due 12/15/03 275 270
Hydro-Quebec
8.050% due 07/07/24 450 492
Lloyds Bank
6.250% due 12/31/99 (c)(f) 290 244
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
Mexico (United Mexican States)
7.330% due 12/31/18 (c) $ 1,000 $ 713
National Westminster Bank PLC
6.813% due 12/31/99 (c) 340 291
Philippines, Republic of
5.750% due 12/01/17 (c) 750 541
Rogers Cantel Mobile, Inc.
11.125% due 07/15/02 225 233
Santander Finnish Issuances
7.000% due 09/30/49 (c) 500 436
Standard Chartered Bank Group PLC
5.963% due 12/31/99 (c)(f) 410 302
--------
7,775
--------
TOTAL LONG-TERM INVESTMENTS
(cost $170,265) 170,540
--------
NUMBER
OF
SHARES
--------
<S> <C> <C>
PREFERRED STOCKS - 0.7%
Australia & New Zealand
Banking Group, Ltd. 5,300 140
California Federal Bank
of Los Angeles Series B 4,475 479
Credit Lyonnais Capital S.C.A. - ADR 6,400 141
Lasalle National Corp. Series K 2,500 133
Newscorp Overseas, Ltd. 8,000 194
Texaco Capital Series B 11,100 239
--------
TOTAL PREFERRED STOCKS
(cost $1,361) 1,326
--------
PRINCIPAL
AMOUNT
(000)
--------
<S> <C>
SHORT-TERM INVESTMENTS - 24.6%
Bank Austria Finance, Inc.
5.970% due 07/27/95 (a)(b) $ 1,600 1,593
Creditanstalt Bankverein
5.940% due 07/24/95 (a)(b) 1,600 1,594
Frank Russell Investment Company
Money Market Fund due on demand (a) 38,125 38,125
Golden Managers Acceptance Corp.
5.980% due 07/26/95 (a)(b) 1,600 1,593
Mexican Tesobonos
11.400% due 07/13/95 (a)(b) 1,500 1,494
20.000% due 07/27/95 (a)(b) 3,000 2,964
</TABLE>
Multistrategy Bond Fund 101
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
United States Treasury Bills
5.650% due 07/27/95 (a)(b)(g) $ 15 $ 15
5.670% due 07/27/95 (a)(b)(g) 15 15
5.690% due 07/27/95 (a)(b)(g) 90 90
5.810% due 07/27/95 (a)(b)(g) 50 50
5.840% due 07/27/95 (a)(b)(g) 105 104
5.770% due 08/24/95 (a)(b)(g) 70 69
5.570% due 10/26/95 (b)(g) 65 64
5.580% due 10/26/95 (b)(g) 75 74
5.600% due 10/26/95 (b)(g) 140 138
5.890% due 11/16/95 (b)(g) 40 39
6.135% due 11/16/95 (b)(g) 50 49
6.560% due 11/16/95 (b)(g) 90 88
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $48,157) 48,158
--------
TOTAL INVESTMENTS
(identified cost $219,783)(d) - 112.2% 220,024
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING FUTURES AND
WRITTEN OPTIONS CONTRACTS - (12.2%) (23,876)
--------
NET ASSETS - 100.0% $196,148
--------
--------
<FN>
(a) At cost, which approximates market.
(b) Rate noted is yield-to-maturity.
(c) Adjustable or floating rate securities.
(d) At June 30, 1995 the cost for federal income tax purposes
was $219,330 and net unrealized appreciation for all securities
was $694. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $4,110 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $3,416.
(e) Forward commitment. See Note 2.
(f) Perpetual floating rate note.
(g) Held as collateral by the custodian in connection with futures
contracts and options written.
(MTN) represents Medium Term Note.
</TABLE>
The accompany notes are an integral part of the financial statements.
102 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
FUTURES AND OPTIONS WRITTEN
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
----------- --------------
<S> <C> <C>
FUTURES(Note 2)
German 10 Year Bund
Futures Contract
expiration date 09/95 40 $ (165)
UK Long Gilt
Futures Contract
expiration date 09/95 30 (107)
United States Treasure Note 2 Year
Futures Contract
expiration date 09/95 15 2
United States Treasury Note 5 Year
Futures Contract
expiration date 09/95 30 (25)
United States Treasury Note 10 Year
Futures Contract
expiration date 09/95 110 (47)
--------
Total Unrealized Department on Open
Futures Contracts Purchased(*) $ (342)
--------
--------
NUMBER MARKET
OF VALUE
CONTRACTS (000)
----------- ------------
<S> <C> <C>
PUT OPTIONS WRITTEN(Note 2)
Eurodollar Futures Contract
strike price 91.50
expiration date 09/95 100 $ 1
Eurodollar Futures Contract
strike price 92.00
expiration date 09/95 100 1
Eurodollar Futures Contract
strike price 92.50
expiration date 09/95 200 3
Eurodollar Futures Contract
strike price 92.25
expiration date 12/95 20 1
Eurodollar Futures Contract
strike price 91.75
expiration date 03/96 19 2
--------
Total Liability for Put Uptions Written
(premiums received $240)(**) $ 8
--------
--------
<FN>
(*) At June 30, 1995, United States Treasury Bills and Notes
valued at $541 were held as collateral by the custodian in
connection with futures contracts by the Fund.
(**) At June 30, 1995, United States Treasury Bills and Notes
valued at $374 were held as collateral by the custodian in
connection with put options written.
</TABLE>
The accompanying notes are an integral part of the financial statements.
Multistrategy Bond Fund 103
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at market (identified cost $219,783,344)(Note 2) . . . . . . . . . . . . . . $ 220,024,203
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,985
Foreign currency holdings (identified cost $178,622) . . . . . . . . . . . . . . . . . . 180,561
Forward foreign currency exchange contracts(cost $3,110,543)(Notes 2 and 6). . . . . . . 3,110,543
Foreign currency exchange spot contracts (cost $50,781)(Notes 2 and 6) . . . . . . . . . 50,899
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,632,550
Investments sold (regular settlement) . . . . . . . . . . . . . . . . . . . . . . . . . 4,143,667
Investments sold (delayed settlement) . . . . . . . . . . . . . . . . . . . . . . . . . 2,703,797
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 722,239
Receivable from Manager (Note 4). . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,714
Daily variation margin on futures contracts . . . . . . . . . . . . . . . . . . . . . . 42,968
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . 16,985
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,164
---------------
233,672,275
<S> <C>
LIABILITIES
Payables:
Investments purchased (regular settlement. . . . . . . . . . . . . . $ 6,022,726
Investments purchased (delayed settlement) . . . . . . . . . . . . . 28,022,641
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . 147,279
Accrued management fees (Note 4) . . . . . . . . . . . . . . . . . . 103,501
Accrued bookkeeping service fees (Note 4). . . . . . . . . . . . . . 7,190
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . 35,193
Forward foreign currency exchange contracts
(cost $3,110,543)(Notes 2 and 6) . . . . . . . . . . . . . . . . . . 3,126,669
Foreign currency exchange spot contracts
(cost $50,781)(Notes 2 and 6). . . . . . . . . . . . . . . . . . . . 50,781
Options written, at market value
(premiums received $240,016)(Notes 2 and 3). . . . . . . . . . . . . 8,400 37,524,38
-------------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 196,147,895
---------------
---------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,063,010
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . (3,344,601)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240,859
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (341,882)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231,616
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . (31,678)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197,368
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 198,133,203
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 196,147,895
---------------
---------------
Net asset value, offering and redemption price per share
($196,147,895 divided by 19,736,768 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . $9.94
---------------
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
104 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME,
<S> <C>
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,060,626
Dividends from money market fund (note 5). . . . . . . . . . . . . . . . . . . . . . . . 828,498
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,939
---------------
6,961,063
<S> <C>
Expenses (notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . $ 588,321
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . 74,285
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . . 14,355
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . 26,238
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . 6,958
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . 69,536
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . 1,944
Amortization of deferred organization expenses . . . . . . . . . . 2,822
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . 5,598
----------
Expenses before reimbursement . . . . . . . . . . . . . . . . . . . 790,057
Expenses reimbursed by manager (note 4). . . . . . . . . . . . . . . (20,714) 769,343
---------- ---------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . 6,191,720
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373,569
Futures contracts (notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,016,573
Options written (notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,264
Foreign currency-related transactions (notes 2 and 3). . . . . . . . . . . . . . . . . . 33,207
Net change in unrealized appreciation or depreciation of:,
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,995,744
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (333,210)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269,503
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . . (31,678)
---------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,387,972
---------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $17,579,692
---------------
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Multistrategy Bond Fund 105
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . $ 6,191,720 $ 9,107,483
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373,569 (5,043,783)
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . 2,016,573 (981,398)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . 64,264 68,998
Foreign currency-related transactions. . . . . . . . . . . . . . . . 33,207 --
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,995,744 (8,695,141)
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . (333,210) (7,547)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . 269,503 (37,887)
Foreign currency-related transactions. . . . . . . . . . . . . . . . (31,678) --
------------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . 17,579,692 (5,589,275)
Distributions to shareholders from net investment income . . . . . . . . (5,225,981) (8,986,943)
Increase (decrease) in net assets from fund share transactions . . . . . 10,758,913 89,237,389
------------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . 23,112,624 74,661,171
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . 173,035,271 98,374,100
------------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $1,063,010 and $96,915, respectively) . . . . . . . . . . . . . . . $ 196,147,895 $ 173,035,271
------------------- -----------------
------------------- -----------------
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1994
-------------------------------- ----------------------------------
SHARES AMOUNT SHARES AMOUNT
------------ -------------- ------------- --------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . 5,497,887 $ 52,631,856 12,276,488 $ 119,806,005
Fund shares issued to shareholders
in reinvestments of distributions. . 435,629 4,174,864 703,819 6,739,486
Fund shares redeemed . . . . . . . . . (4,819,124) (46,047,807) (3,901,970) (37,308,102)
------------ -------------- ------------- --------------
Net increase (decrease). . . . . . . . 1,114,392 $ 10,758,913 9,078,337 $ 89,237,389
------------ -------------- ------------- --------------
------------ -------------- ------------- --------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
106 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1995* 1994 1993**
---------- ---------- ----------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.29 $ 10.31 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . .32 .58 .46
Net realized and unrealized gain (loss)
on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . .60 (1.03) .40
---------- ---------- ----------
Total From Investment Operations . . . . . . . . . . . . . . . . . . . . .92 (.45) .86
---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . (.27) (.57) (.46)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . -- -- (.08)
In excess of net realized gain on investments. . . . . . . . . . . . . -- -- (.01)
---------- ---------- ----------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . (.27) (.57) (.55)
---------- ---------- ----------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.94 $ 9.29 $ 10.31
---------- ---------- ----------
---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . 10.11 (4.35) 8.74
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average
net assets (b)(c). . . . . . . . . . . . . . . . . . . . . . . . . . .85 .85 .85
Operating expenses, gross, to average
net assets (b)(c). . . . . . . . . . . . . . . . . . . . . . . . . . .87 .90 1.20
Net investment income to average
net assets (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.84 6.26 5.60
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . . . . 136.91 136.39 188.95
Net assets, end of period
($000 omitted) . . . . . . . . . . . . . . . . . . . . . . . . . . . 196,148 173,035 98,374
Per share amount of fees waived
($ omitted). . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- -- .0002
Per share amount of fees reimbursed
($ omitted)(c) . . . . . . . . . . . . . . . . . . . . . . . . . . . .0011 .0043 .0286
<FN>
* For the six months ended June 30, 1995 (*Unaudited).
** For the period January 29, 1993 (commencement of operations) to
December 31, 1993.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1995 and December 31, 1993
are annualized.
(c) See Note 4.
</TABLE>
Multistrategy Bond Fund 107
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- --------
<S> <C> <C> <C> <C>
MUNICIPAL BONDS - 96.5%
ALASKA - 0.8%
North Slope, Borough of, Alaska, Series J, General Obligation $ 500 6.250% 06/30/96 $ 511
--------
511
--------
ARIZONA - 2.4%
Arizona State Transportation Board, Series A, Special Obligation
Revenue (pre-refunded 07/01/01) 1,425 6.450 07/01/06 1,570
--------
1,570
--------
CALIFORNIA - 8.7%
California Health Facilities Financing, Series D, Health Care
Revenue 500 5.600 07/01/97 514
California Health Facilities Financing, Series D, Health Care
Revenue 665 5.750 07/01/98 692
California State Public Works Lease, Series A, State and Local
Appropriation 500 5.100 12/01/98 511
California State Public Works Lease, State and Local Appropriation 600 5.250 12/01/98 616
California, State of, General Obligation 850 6.100 11/01/01 909
Los Angeles County, California Transportation Participation
Certificate, Series B, Tax Revenue 760 5.900 07/01/00 779
Sacramento, California Municipal Utility District, Utility Revenue 1,000 6.000 07/01/01 1,060
San Diego County, California Transportation Commission,
Series A,
Tax Revenue 500 5.000 04/01/98 509
--------
5,590
--------
COLORADO - 4.3%
Colorado Student Obligation Bond Authority, Series B,
Student Loan Revenue 135 6.125 12/01/98 139
Denver, Colorado, City and County, General
Obligation 500 5.950 08/01/97 519
Jefferson County, Colorado Participation Certificate, Series 1988,
Special Obligations Revenue (pre-refunded 12/01/96) 1,000 7.050 12/01/96 1,042
Jefferson County, Colorado School District, Series A, General
Obligation 1,000 5.500 12/15/01 1,044
--------
2,744
--------
CONNECTICUT - 2.1%
Connecticut, State of, Series A, General Obligation 1,350 5.500 06/15/96 1,372
--------
1,372
--------
DELAWARE - 1.6%
Delaware, State of, Series C, General Obligation 1,000 5.000 07/01/00 1,018
--------
1,018
--------
DISTRICT OF COLUMBIA - 0.8%
District of Columbia, Series A, General Obligation 500 7.250 06/01/98 535
--------
535
--------
</TABLE>
Limited Volatility Tax Free Fund 109
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- --------
<S> <C> <C> <C> <C>
GEORGIA - 1.2%
DeKalb County, Georgia, General Obligation (pre-refunded
01/01/97) $ 700 7.300% 01/01/98 $ 746
--------
746
--------
HAWAII - 2.4%
Hawaii, State of, Series B-F, General Obligation (pre-refunded
08/01/96) 500 6.900 08/01/97 523
Hawaii, State of, Series B-W, General Obligation 1,000 6.000 03/01/96 1,015
--------
1,538
--------
ILLINOIS - 8.8%
Chicago, Illinois, General Obligation 250 5.400 10/31/00 257
Chicago, Illinois School Financial Authority, Series A, State
and Local Appropriation 1,000 5.400 06/01/97 1,024
Chicago, Illinois, Series C, General Obligation 1,500 6.250 10/31/01 1,606
Chicago, Illinois Water Revenue, Special Obligation Revenue
(pre-refunded 11/01/96) 1,000 6.750 11/01/00 1,046
Illinois Health Facilities Authority, Series C, Special Obligation
Revenue (pre-refunded 04/01/99) 500 7.500 04/01/18 560
Illinois, State of, General Obligation 500 5.500 08/01/00 515
Illinois, State of, General Obligation (pre-refunded 06/01/98) 625 5.800 06/01/98 652
--------
5,660
--------
IOWA - 1.6%
Iowa Student Loan Liquidity Corp., Series A, Student Loan Revenue 1,000 6.000 03/01/98 1,030
--------
1,030
--------
KENTUCKY - 1.6%
McCracken County, Kentucky Hospital Revenue, Series A, Health
Care Revenue 1,000 5.700 11/01/00 1,041
--------
1,041
--------
LOUISIANA - 1.6%
Louisiana Public Facilities Authority Revenue, Health Care Revenue 500 5.500 10/15/99 516
Louisiana, State of, Series A, General Obligation 500 5.300 05/15/01 512
--------
1,028
--------
MAINE - 1.2%
Maine, State of, General Obligation 770 5.900 07/01/96 787
--------
787
--------
MARYLAND - 0.8%
Baltimore County, Maryland, General Obligation 500 6.400 04/01/96 510
--------
510
--------
</TABLE>
110 Limited Volatility Tax Free Fund
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- --------
<S> <C> <C> <C> <C>
MASSACHUSETTS - 4.8%
Massachusetts, Commonwealth of, Series A, General Obligation $ 500 7.250% 06/01/96 $ 515
Massachusetts State Water Reservoir Authority, Series C,
Utility Revenue 2,500 5.250 12/01/01 2,538
--------
3,053
--------
MICHIGAN - 3.3%
Michigan Municipal Bond Authority Revenue, Series
B, State and Local Appropriation 550 6.900 05/01/99 594
Michigan State, South Central Power Agency, Special Obligation
Revenue (pre-refunded 11/01/96) 1,000 7.250 11/01/06 1,062
Michigan State Trunk Line, Series A, Special Obligation Revenue
(pre-refunded 08/15/99) 400 7.000 08/15/17 444
--------
2,100
--------
MINNESOTA - 3.9%
Minneapolis St. Paul, Minnesota Metropolitan Council, Series D,
General Obligation 535 5.900 09/01/97 557
Minnesota, State of, General Obligation 655 6.500 08/01/95 657
Minnesota, State of, General Obligation 500 6.400 08/01/98 532
Minnesota, State of, General Obligation 700 5.600 10/01/99 734
--------
2,480
--------
NEW JERSEY - 2.4%
New Jersey, State of, General Obligation (pre-refunded 11/01/96) 1,000 7.300 11/01/98 1,047
New Jersey State Turnpike Authority, Series A, Turnpike Revenue 500 5.600 01/01/00 516
--------
1,563
--------
NEW YORK - 2.4%
New York City, New York, General Obligation 500 7.000 02/01/00 518
New York State Medical Care Facilities Finance Authority,
Series A, Health Care Revenue 1,000 4.900 02/15/99 1,013
--------
1,531
--------
PENNSYLVANIA - 1.7%
Lehigh County, Pennsylvania, Special Obligation Revenue
(pre-refunded 04/01/00) 500 6.900 08/01/11 559
Pennsylvania, State of, General Obligation 500 5.300 07/01/99 514
--------
1,073
--------
PUERTO RICO - 0.4%
Puerto Rico Public Finance Corp., Series B, Special
Obligation Revenue (pre-refunded 07/01/95)(b) 280 6.350 07/01/95 280
--------
280
--------
</TABLE>
Limited Volatility Tax Free Fund 111
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- --------
<S> <C> <C> <C> <C>
RHODE ISLAND - 2.4%
Rhode Island Housing & Mortgage Finance Authority, Series A,
Housing Revenue $ 1,000 5.150% 07/01/01 $ 1,001
Rhode Island State Consolidated Capital Development, Series B,
General Obligation 500 6.000 05/15/97 517
--------
1,518
--------
SOUTH CAROLINA - 4.0%
Piedmont, South Carolina, Municipal Power Agency Service,
Series A, Utility Revenue 500 5.700 01/01/98 518
South Carolina, State Capital Improvement Revenue, Series A,
General Obligation 1,500 5.500 03/01/96 1,519
South Carolina, State Capital Improvement Revenue, Series S,
General Obligation (pre-refunded 08/01/96) 500 6.700 08/01/98 524
--------
2,561
--------
SOUTH DAKOTA - 1.0%
South Dakota State Lease Revenue, Series B, State and
Local Appropriation 650 5.700 09/01/97 670
--------
670
--------
TENNESSEE - 2.4%
Memphis, Tennessee Electric System Revenue, Special Obligation
Revenue (pre-refunded 01/01/96) 1,000 7.500 01/01/98 1,024
Tennessee Housing Development Agency Mortgage Finance,
Series A, Housing Revenue 500 4.950 07/01/00 499
--------
1,523
--------
TEXAS - 14.8%
Abilene, Texas Health Facilities Development Corp.,
Medical Center A, Health Care Revenue 500 5.100 09/01/99 510
Arlington, Texas Independent School District, General Obligation 600 5.150 02/15/99 614
Austin, Texas, Zero Coupon, General Obligation 675 0.000 09/01/97 612
Harris County, Texas, General Obligation 1,250 5.600 10/01/97 1,292
Houston, Texas, General Obligation 850 5.600 03/01/00 882
Houston, Texas Independent School District, Series A,
General Obligation 1,000 5.400 08/15/01 1,036
Houston, Texas Water & Sewer System Revenue, Special
Obligation Revenue (pre-refunded 12/01/97) 780 8.000 12/01/07 863
San Antonio, Texas Water Revenue, Utility Revenue 600 5.200 05/15/96 608
Texas National Research Laboratories, Special Obligation Revenue
(pre-refunded 12/01/95) 500 5.500 12/01/95 503
</TABLE>
112 Limited Volatility Tax Free Fund
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- --------
<S> <C> <C> <C> <C>
Texas, State of, Series C, General Obligation $ 1,500 5.000% 04/01/99 $ 1,531
Texas, State of, Special Obligation Revenue (pre-refunded
04/01/00) 500 7.125 04/01/20 560
Waco, Texas Waterworks and Sewer, Utility Revenue 500 5.400 09/01/99 517
--------
9,528
--------
UTAH - 0.8%
Intermountain Power Agency, Series B, Utility
Revenue 500 7.200 07/01/99 545
--------
545
--------
VIRGINIA - 2.8%
Fairfax County, Virginia, Series B, General Obligation 750 5.000 06/01/00 767
Virginia State Public School Authority, Series B, State and
Local Appropriation 1,000 6.500 01/01/96 1,014
--------
1,781
--------
WASHINGTON - 7.9%
Washington, State of, Series C, General Obligation 2,000 5.500 07/01/99 2,075
Washington, State of, Series R-92 B, General Obligation 500 5.750 09/01/97 517
Washington, State of, Series R-92 C, General Obligation
(pre-refunded 09/01/96) 985 8.000 09/01/05 1,031
Washington State Public Power Supply System, Utility Revenue 500 6.300 07/01/01 524
Washington State Public Power Supply System, Series B, Utility
Revenue 220 6.600 07/01/95 220
Washington State Public Power Supply System, Series C, Utility
Revenue 650 7.200 07/01/99 700
--------
5,067
--------
WISCONSIN - 1.6%
Milwaukee, Wisconsin Metropolitan Sewer District, Utility
Revenue 1,000 5.400 09/01/96 1,018
--------
1,018
--------
TOTAL MUNICIPAL BONDS
(cost $60,994) 61,971
--------
SHORT-TERM TAX-EXEMPT OBLIGATIONS - 1.7%
Harris County, Texas, Industrial Development Corp., Series B,
daily demand (b) 300 4.250 03/01/24 300
New York City, Municipal Water Finance Authority, Series C,
daily demand (b) 400 4.250 06/15/22 400
Phenix City, Alabama Environmental Impact, daily demand (b) 100 4.500 10/01/25 100
Uinta County, Wyoming Pollution Control Revenue, daily
demand (b) 300 4.050 08/15/20 300
--------
1,100
--------
TOTAL SHORT-TERM TAX-EXEMPT OBLIGATIONS
(cost $1,100) 1,100
--------
</TABLE>
Limited Volatility Tax Free Fund 113
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
--------
<S> <C>
TOTAL INVESTMENTS (identified cost $62,094)(a)- 98.2% $ 63,071
OTHER ASSETS AND LIABILITIES,
NET - 1.8% 1,126
--------
NET ASSETS - 100.0% $ 64,197
--------
--------
<FN>
(a) At June 30, 1995, the cost for federal income tax purposes was as shown
above and net unrealized appreciation for all securities was $976. This
consisted of aggregate gross unrealized appreciation for all securities in
which there was an excess of market value over tax cost of $1,003 and
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over market value of $27.
(b) Adjustable or floating rate security.
</TABLE>
<TABLE>
<CAPTION>
QUALITY RATINGS AS A % OF MARKET VALUE (UNAUDITED)
<S> <C>
AAA 55%
AA 34
A 9
Cash Equivalents 2
</TABLE>
<TABLE>
<CAPTION>
ECONOMIC SECTOR EMPHASIS AS A % OF MARKET VALUE (UNAUDITED)
<S> <C>
General Obligation 42%
Health Care Revenue 7
Housing Revenue 2
Refunded and Special Obligation Revenue 22
State and Community Lease 7
Student Loan Revenue 2
Utility Revenue 13
Other 3
Cash Equivalents 2
</TABLE>
The accompanying notes are an integral part of the financial statements.
114 Limited Volatility Tax Free Fund
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<S> <C> <C>
ASSETS
Investments at market (identified cost $62,094,288)(Note 2). . . . . . . $ 63,070,774
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,290
Receivables:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,045,475
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 117,516
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . 545
---------------
64,248,600
LIABILITIES
Payables:
Accrued management fees (Note 4) . . . . . . . . . . . $ 26,095
Accrued transfer agent fees (Note 4) . . . . . . . . . 4,883
Other accrued expenses . . . . . . . . . . . . . . . . 20,925 51,903
--------------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 64,196,697
---------------
---------------
NET ASSETS CONSIST OF:,
Undistributed net investment income. . . . . . . . . . . . . . . . . . . $ 146,811
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . (1,488,610)
Unrealized appreciation (depreciation) on investments. . . . . . . . . . 976,486
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . 30,470
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . 64,531,540
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 64,196,697
---------------
---------------
Net asset value, offering and redemption price per share
($64,196,697 divided by 3,047,036 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . $21.07
---------------
---------------
</TABLE>
The accompanying notes are an integral part of the financial service.
Limited Volatility Tax Free Fund 115
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,239,562
Expenses (Notes 2 and 4):,
Management Fees. . . . . . . . . . . . . . . . . . . . . $ 139,221
Custodian Fees . . . . . . . . . . . . . . . . . . . . . 25,219
Professional Fees. . . . . . . . . . . . . . . . . . . . 4,801
Registration Fees. . . . . . . . . . . . . . . . . . . . 14,787
Transfer agent fees. . . . . . . . . . . . . . . . . . . 15,138
Trustees' Fees . . . . . . . . . . . . . . . . . . . . . 1,933
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . 2,466 203,565
-------------- ---------------
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,035,997
---------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments (Notes 2 and 3). . . . . . . . . (97,414)
Net change in unrealized appreciation or depreciation of investments . . . 1,552,493
---------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . 1,455,079
---------------
Net increase (decrease) in net assets,
resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . $ 2,491,076
---------------
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
116 Limited Volatility Tax Free Fund
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
INCREASE (DECREASE) IN NET ASSETS (UNAUDITED) DECEMBER 31, 1994
------------------ -----------------
<S> <C> <C>
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,035,997 $ 2,391,825
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . (97,414) (476,148)
Net change in unrealized appreciation or depreciation of investments . . . . . . . 1,552,493 (2,209,158)
------------------ -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 2,491,076 (293,481)
Distributions to shareholders from net investment income . . . . . . . . . . . . . . (922,224) (2,380,708)
Increase (decrease) in net assets from fund share transactions . . . . . . . . . . . 13,652,973 437,904
------------------ ----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 15,221,825 (2,236,285)
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 48,974,872 51,211,157
------------------ ----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $146,811 and $33,038, respectively) . . . . . . . . . . . . . . . . . . . . . . $ 64,196,697 $ 48,974,872
------------------ ----------------
------------------ ----------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1994
-------------------------------- ---------------------------------
SHARES AMOUNT SHARES AMOUNT
------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . . 1,227,561 $ 25,557,729 1,896,826 $ 39,960,833
Fund shares issued to shareholders in
reinvestments of distributions . . . . . . . . . 30,690 638,435 76,050 1,585,125
Fund shares redeemed . . . . . . . . . . . . . . . (602,800) (12,543,191) (1,968,389) (41,108,054)
------------- -------------- ------------- --------------
Net increase (decrease). . . . . . . . . . . . . . 655,451 $ 13,652,973 4,487 $ 437,904
------------- -------------- ------------- --------------
------------- -------------- ------------- --------------
</TABLE>
The accompanying notes are an integral part of the financial statement.
Limited Volatility Tax Free Fund 117
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from financial
statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . $ 20.48 $ 21.45 $ 21.03 $ 20.85 $ 20.49 $ 20.51
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .38 .86 .94 1.01 1.17 1.25
Net realized and unrealized gain (loss) on investments . . .55 (.97) .42 .18 .35 (.03)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . .93 (.11) 1.36 1.19 1.52 1.22
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.34) (.86) (.94) (1.01) (1.16) (1.24)
In excess of net investment income . . . . . . . . . . . . -- -- (.00) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . (.34) (.86) (.94) (1.01) (1.16) (1.24)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $ 21.07 $ 20.48 $ 21.45 $ 21.03 $ 20.85 $ 20.49
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . 4.57 (0.54) 6.58 5.85 7.64 6.12
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) . . . . . . . .73 .72 .75 .80 .84 .86
Net investment income to average net assets (b). . . . . . 3.72 4.14 4.40 4.89 5.68 6.06
Portfolio turnover (c) . . . . . . . . . . . . . . . . . . 73.73 71.71 24.05 18.21 129.12 99.00
Net assets, end of period ($000 omitted) . . . . . . . . . 64,197 48,975 51,211 38,399 26,173 23,553
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratio for the period ended June 30, 1995 is annualized.
(c) Beginning in 1992, variable rate daily demand securities
were excluded from the portfolio turnover calculation.
</TABLE>
118 Limited Volatility Tax Free Fund
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- -------- -------- ---------
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT AGENCIES - 76.5%
Aid to Chile Guaranteed Note (LIBOR Floater)(a) $ 7,017 5.938% 06/01/05 $ 7,025
Aid to Sri Lanka Guaranteed Note (LIBOR Floater)(a) 4,250 6.075 06/15/12 4,300
Federal Farm Credit Bank Bonds 2,265 6.300 09/01/95 2,265
Federal Farm Credit Bank Bonds 6,265 5.790 10/02/95 6,248
Federal Home Loan Bank (LIBOR Range Floater)(a) 4,000 0.000 01/25/96 3,840
Federal Home Loan Bank (LIBOR Step-up Floater)(a) 4,075 5.000 02/05/96 4,046
Federal Home Loan Bank 5,000 6.600 04/26/96 5,000
Federal Home Loan Bank (a) 5,000 6.400 05/15/96 5,002
Federal Home Loan Bank Discount Note 1,125 6.110 08/14/95 1,117
Federal Home Loan Bank Discount Note 3,000 6.200 08/18/95 2,975
Federal Home Loan Bank Discount Note 2,455 6.430 11/06/95 2,399
Federal Home Loan Bank MTN 3,000 4.270 10/10/95 2,986
Federal Home Loan Bank MTN 1,000 5.550 04/12/96 991
Federal National Mortgage Association MTN 10,000 3.500 07/26/95 9,983
Federal National Mortgage Association MTN (a) 3,215 4.470 10/20/95 3,188
Federal National Mortgage Association MTN (a) 5,000 6.020 08/30/96 4,998
Federal National Mortgage Association MTN (a) 5,000 5.530 04/04/97 4,969
Security Market Savings Bank 28,388 6.000 07/27/95 28,265
Student Loan Marketing Association Note (LIBOR Floater)(a) 1,000 0.000 08/25/95 990
---------
TOTAL UNITED STATES GOVERNMENT AGENCIES
(cost $100,587) 100,587
---------
TOTAL INVESTMENTS (amortized cost $100,587) - 76.5% 100,587
---------
REPURCHASE AGREEMENTS - 23.6%
Agreement with Barclays de Zoete Wedd and Bank of New York (Tri-Party) of $30,993,
acquired June 30, 1995 at 6.180% to be repurchased at $31,009 on July 3, 1995 collateralized by:
$134 United States Treasury Bills, due 08/17/95, valued at $133; and
$11,576 United States Treasury Notes, due 08/15/95 to 11/15/95, valued at $11,788; and
$20,410 Student Loan Marketing Association Notes, due 08/10/95 to 12/14/95, valued at $20,556 30,993
---------
TOTAL REPURCHASE AGREEMENTS (cost $30,993) 30,993
---------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS
(cost $131,580)(b) - 100.1% 131,580
OTHER ASSETS AND LIABILITIES, NET - (0.1%) (141)
---------
NET ASSETS - 100.0% $ 131,439
---------
---------
<FN>
* The interest rate for all securities with a maturity greater than thirteen
months has an automatic reset feature resulting in an effective maturity of
thirteen months or less.
(a) Adjustable or floating rate security.
(b) The identified cost for federal income tax purposes is the same as shown
above.
(MTN) represents Medium Term Note.
</TABLE>
The accompanying notes are an integral part of the financial statements.
U.S. Government Money Market Fund 119
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . $ 100,586,431
Repurchase agreements (identified cost $30,993,490)(Note 2). . . . . . . . . . . . 30,993,490
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 520,987
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,426
--------------
132,122,334
LIABILITIES
Payables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 637,804
Accrued transfer agent fees (Note 4) . . . . . . . . . . . . . . . 32,221
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . 13,517 683,542
------------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 131,438,792
--------------
--------------
NET ASSETS CONSIST OF:
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,314,388
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130,124,404
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 131,438,792
--------------
--------------
Net asset value, offering and redemption price per share
($131,438,792 divided by 131,438,792 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . $1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
120 U.S. Government Money Market Fund
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,053,417
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 163,859
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,984
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,625
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,988
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . 97,797
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,938
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,436
-------------
Expenses before waiver . . . . . . . . . . . . . . . . . . . . . . . . . 313,627
Management fees waived (Note 4). . . . . . . . . . . . . . . . . . . . . (87,118) 226,509
------------- -------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,826,908
-------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . $ 3,826,908
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
U.S. Government Money Market Fund 121
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income and net increase
in net assets resulting from operations. . . . . . . . . . . . . . . . $ 3,826,908 $ 3,251,920
Distributions to shareholders from net investment income . . . . . . . . . (3,826,908) (3,251,920)
Increase (decrease) in net assets from Fund share transactions . . . . . . 19,361,830 16,667,251
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 19,361,830 16,677,251
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . 112,076,962 95,409,711
--------------- ---------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . $ 131,438,792 $ 112,076,962
--------------- ---------------
--------------- ---------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226,575,540 360,755,315
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . . . . 2,591,047 1,794,043
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . (209,804,757) (345,882,107)
--------------- ---------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . 19,361,830 16,667,251
--------------- ---------------
--------------- ---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
122 U.S. Government Money Market Fund
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .0289 .0380 .0284 .0347 .0573 .0773
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.0289) (.0380) (.0284) (.0347) (.0573) (.0773)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 2.93 3.87 2.88 3.53 5.90 8.04
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average daily net assets(b)(c) . . . .35 .57 .49 .41 .38 .41
Operating expenses, gross, to average daily net assets (b)(c). . .48 .57 .49 .41 .38 .41
Net investment income to average daily net assets (b). . . . . . 5.84 3.91 2.85 3.47 5.74 7.69
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 131,439 112,077 95,410 153,976 182,747 191,623
Per share amount of fees waived ($ omitted)(c) . . . . . . . . . .0007 -- -- -- -- --
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
(c) See Note 4.
</TABLE>
U.S. Government Money Market Fund 123
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
Principal Date
Amount of Value
(000) Rate Maturity* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
ALABAMA - 2.5%
Bessemer, Alabama Medical Clinic Mortgage Revenue (pre-refunded 10/01/95) $ 975 9.500% 10/01/14 $ 1,007
Mobile, Alabama Industrial Development Revenue, weekly demand 1,150 4.250(2) 12/01/97 1,150
--------
2,157
--------
ARIZONA - 3.2%
Arizona Health Facilities Authority Revenue, weekly demand 1,700 4.100(2) 10/01/15 1,700
Maricopa County, Arizona School District 28 Series D (pre-refunded
07/01/95) 200 7.000 07/01/99 204
Maricopa County, Arizona Industrial Development Authority, weekly demand 900 4.750(2) 10/01/04 900
--------
2,804
--------
ARKANSAS - 1.2%
Blytheville, Arkansas Industrial Development Revenue, weekly demand 1,000 4.600(2) 09/01/04 1,000
--------
1,000
--------
CALIFORNIA - 3.5%
California Health Facilities Financing Authority Revenue, daily demand 200 4.050(1) 03/01/20 200
Contra Costa County, California Multi-family Housing Series A, weekly demand 1,050 4.000(2) 08/01/07 1,050
Corono, California Multi-family Housing, weekly demand 1,300 3.850(2) 02/01/20 1,300
San Diego County, California Multi-family Housing Series A,
weekly demand 475 5.580(2) 12/01/07 475
--------
3,025
--------
COLORADO - 0.7%
Denver, Colorado City and County Multi-family Housing Revenue, daily demand 600 4.250(1) 12/01/09 600
--------
600
--------
CONNECTICUT - 0.6%
Connecticut State General Obligation 540 8.800 11/15/95 548
--------
548
--------
FLORIDA - 4.4%
Boca Raton, Florida Industrial Development Authority Revenue,
weekly demand 425 4.375(2) 12/01/14 425
Broward County, Florida Multi-family Housing Revenue, weekly demand 1,875 4.250(2) 12/01/10 1,875
Lee County, Florida Industrial Development Authority Revenue, weekly demand 1,430 4.375(2) 04/01/10 1,430
Orlando, Florida Utilities Commission Water and Electric Revenue
(pre-refunded 10/01/95) 100 8.300 10/01/97 103
--------
3,833
--------
GEORGIA - 4.1%
Atlanta & Fulton County, Georgia Recreation Authority Revenue 500 7.800 11/01/95 506
Cobb County, Georgia Multi-family Housing Authority, weekly demand 600 4.250(2) 12/01/97 600
DeKalb County, Georgia Multi-family Housing Revenue, weekly demand 1,780 4.125(2) 12/01/07 1,780
</TABLE>
Tax Free Money Market Fund 125
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
Principal Date
Amount of Value
(000) Rate Maturity* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
Gwinnett County, Georgia School District (pre-refunded 02/01/96) $ 200 7.500% 02/01/03 $ 209
Muscogee County, Georgia School District (pre-refunded 11/01/95) 400 7.400 11/01/96 413
--------
3,508
--------
ILLINOIS - 11.5%
Chicago, Illinois Equipment Tender Notes Series D 2,500 4.300 09/21/95 2,500
East Peoria, Illinois Multi-family Housing Authority, weekly demand 2,000 4.250(2) 06/01/08 2,000
Illinois Industrial Development Revenue, weekly demand 3,000 4.500(2) 12/01/05 3,000
Illinois Development Finance Authority, quarterly demand 700 4.500(4) 08/01/25 700
St. Clair County, Illinois Industrial Development Board Revenue,
weekly demand 1,000 4.500(2) 10/01/15 1,000
Troy Grove, Illinois, weekly demand 750 5.310(2) 05/01/10 750
--------
9,950
--------
INDIANA - 5.0%
East Chicago, Indiana School City Tax Anticipation Notes 1,000 5.750 12/29/95 1,001
Fort Wayne, Indiana Economic Development Revenue, weekly demand 400 4.125(2) 12/01/03 400
Wayne Township, Indiana Metropolitan School District 1,000 3.950 01/01/96 1,000
Wayne Township, Indiana Metropolitan School District 1,000 4.000 01/01/96 1,000
Westfield, Indiana Economic Development 900 4.050 12/01/95 900
--------
4,301
--------
KANSAS - 0.9%
Leawood, Kansas 800 4.000 03/15/96 800
--------
800
--------
KENTUCKY - 5.6%
Elsmere City, Kentucky Industrial Building Revenue, semiannual demand 525 5.250(5) 02/01/06 525
Kentucky Development Finance Authority, Health Care Revenue, weekly demand 2,100 4.100(2) 09/01/06 2,100
Ohio County, Kentucky Pollution Control Revenue, weekly demand 2,200 4.350(2) 10/01/15 2,200
--------
4,825
--------
LOUISIANA - 0.1%
New Orleans, Louisana Public Improvement Series B 100 8.000 09/01/95 101
--------
101
--------
MARYLAND - 1.2%
Montgomery County, Maryland Industrial Development Revenue, monthly demand 1,000 3.700(3) 04/01/14 1,000
--------
1,000
--------
</TABLE>
126 Tax Free Money Market Fund
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
Principal Date
Amount of Value
(000) Rate Maturity* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
MASSACHUSETTS - 1.0%
Haverhill, Massachusettes General Obligation (pre-refunded 12/01/95) $ 500 8.875% 12/01/10 $ 520
Massachusetts State Convention Center Authority Series A
(pre-refunded 09/01/95) 240 8.800 09/01/99 247
Massachusetts State Health & Education Facilities
Authority Revenue (pre-refunded 07/01/95) 100 9.125 07/01/17 103
--------
870
--------
MICHIGAN - 5.5%
Lansing, Michigan Economic Development Corp., semiannual demand 1,830 4.350(5) 05/01/15 1,830
Livonia, Michigan Economic Development Corp., semiannual demand 335 4.600(5) 11/15/04 335
McDonald Tax-Exempt Mortgage Bond Trust, thirteen-month demand 180 5.350(7) 01/15/09 180
Michigan State Strategic Fund Revenue, annual demand 50 4.350(6) 06/01/11 50
Michigan State Strategic Fund Revenue, weekly demand 2,370 4.275(2) 11/01/01 2,370
--------
4,765
--------
MINNESOTA - 4.1%
Golden Valley, Minnesota, Industrial Development Revenue, weekly demand 600 4.250(2) 12/01/02 600
Mendota Heights, Minnesota Commercial Development, weekly demand 1,650 4.150(2) 12/01/15 1,650
Minneapolis, Minnesota General Obligation Series A, weekly demand 1,325 4.050(2) 12/01/05 1,325
--------
3,575
--------
MISSISSIPPI - 2.0%
DeSoto County, Mississippi Industrial Development Revenue, weekly demand 1,000 4.200(2) 12/01/08 1,000
Jackson, Mississippi Public School District 725 4.100 04/01/96 725
--------
1,725
--------
MISSOURI - 0.6%
Kansas City, Missouri Industrial Development Authority Revenue,
weekly demand 500 4.450(2) 08/01/18 500
--------
500
--------
NEBRASKA - 0.6%
Oshkosh, Nebraska Industrial Development Revenue, semiannual demand 490 4.450(5) 12/01/96 490
--------
490
--------
NORTH CAROLINA - 0.6%
North Carolina State Prison Facility Series B 500 4.250 06/01/96 501
--------
501
--------
OHIO - 11.0%
Brecksville Broadview Heights, Ohio 500 5.710 01/18/96 500
Buckeye, Ohio Tax-Exempt Mortgage Bond Trust, semiannual demand 525 5.200(5) 02/01/05 525
Cincinnati & Hamilton County, Ohio Port Authority Revenue, quarterly demand 260 4.350(4) 09/01/99 260
Citizens Federal Tax-Exempt Mortgage Bond Trust, semiannual demand 80 5.050(5) 09/01/08 80
Clark County, Ohio Hospital Improvement Revenue, semiannual demand 155 4.800(5) 04/01/09 155
</TABLE>
Tax Free Money Market Fund 127
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
Principal Date
Amount of Value
(000) Rate Maturity* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
Clermont County, Ohio Economic Development Revenue, semiannual demand $ 220 4.800(5)% 05/01/12 $ 220
Cuyahoga, Ohio Industrial Development Revenue, semiannual demand 295 4.200(5) 06/01/99 295
Franklin County, Ohio Industrial Development Revenue, semiannual demand 280 4.550(5) 04/01/15 280
Franklin County, Ohio Industrial Development Revenue, semiannual demand 180 4.300(5) 11/01/15 180
Mahoning County, Ohio Industrial Development Revenue Project A, weekly demand 80 4.200(2) 10/01/00 80
Mahoning County, Ohio Industrial Development Revenue Project B, weekly demand 15 4.200(2) 10/01/00 15
McDonald Tax-Exempt Mortgage Bond Trust, thirteen-month demand 840 5.350(7) 01/15/09 840
Montgomery County, Ohio Economic Development Authority Revenue,
semiannual demand 500 4.200(5) 12/15/04 500
North Olmsted, Ohio General Obligation 500 4.670 06/20/96 502
North Olmsted, Ohio General Obligation 1,300 4.550 07/20/95 1,300
Ohio State Economic Development Revenue, semiannual demand 705 5.000(5) 03/01/98 705
Scioto County, Ohio Health Care Facilities, semiannual demand 745 4.200(5) 12/01/15 745
Stark County, Ohio Health Care Facilities, semiannual demand 1,745 4.450(5) 09/15/16 1,745
Trumbull County, Ohio Industrial Development Revenue, weekly demand 595 4.200(2) 04/01/04 595
--------
9,522
--------
OKLAHOMA - 5.0%
Creek County, Oklahoma Industrial Development Authority Revenue,
semiannual demand 415 4.250(5) 12/01/05 415
Tulsa, Oklahoma Industrial Development Authority, weekly demand 800 4.125(2) 09/01/03 800
Tulsa, Oklahoma University Revenue, weekly demand 1,000 4.250(2) 12/01/15 1,000
Tulsa, Oklahoma Public Facility Authority, semiannual demand 2,145 4.350(5) 05/15/08 2,145
--------
4,360
--------
OREGON - 1.1%
Port of Portland, Oregon Public Grain, weekly demand 950 4.250(2) 12/01/14 950
--------
950
--------
PENNSYLVANIA - 6.0%
Commonwealth Tax-Exempt Mortgage Bond Trust, semiannual demand 865 4.500(5) 11/01/05 865
McDonald Tax-Exempt Mortgage Bond Trust, thirteen-month demand 180 5.350(7) 01/15/09 180
Montgomery County, Pennsylvania Higher Education
& Health Facilities Revenue, weekly demand 1,400 4.150(2) 09/01/18 1,400
Pennsylvania State Higher Education Facilities Authority, nine-month demand 750 3.900(9) 06/01/18 750
Schuylkill County, Pennsylvania Industrial Development Authority,
daily demand 2,000 4.450(1) 11/01/09 2,000
--------
5,195
--------
RHODE ISLAND - 2.9%
Cranston, Rhode Island General Obligation 1,000 4.300 07/17/95 1,000
Narragansett, Rhode Island Bay Water 1,500 5.000 01/19/96 1,506
--------
2,506
--------
</TABLE>
128 Tax Free Money Market Fund
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
Principal Date
Amount of Value
(000) Rate Maturity* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
SOUTH CAROLINA - 1.7%
Educational Television Commission $ 450 7.500% 09/01/95 $ 452
York County, South Carolina Pollution Control Revenue, semiannual demand 1,000 4.300(5) 09/15/14 1,000
--------
1,452
--------
SOUTH DAKOTA - 2.3%
Sioux Falls, South Dakota Industrial Development Revenue, weekly demand 2,005 4.250(2) 06/01/06 2,005
--------
2,005
--------
TENNESSEE - 1.9%
Franklin County, Tennessee Health and Education Facilities, monthly demand 1,600 4.500(3) 09/01/10 1,600
--------
1,600
--------
TEXAS - 3.5%
Bexar County, Texas Health Facilities Development Corp., weekly demand 680 4.000(2) 03/01/12 680
El Paso, Texas General Obligation Series A 400 7.125 08/01/95 401
Harris County, Texas Hospital District (pre-refunded 04/01/96) 175 8.500 04/01/15 185
Harris County, Texas Toll Road Series F, weekly demand 1,750 3.750(2) 08/01/15 1,750
--------
3,016
--------
UTAH - 1.4%
Trementon City, Utah Industrial Development Revenue, semiannual demand 1,190 3.950(5) 12/01/03 1,190
--------
1,190
--------
VIRGINIA - 0.8%
Virginia State Housing Development Authority Revenue, weekly demand 700 3.850(2) 09/01/17 700
--------
700
--------
WEST VIRGINIA - 2.3%
Charleston, West Virginia Building Community Parking Facility Revenue,
weekly demand 2,000 4.250(2) 12/01/16 2,000
--------
2,000
--------
WISCONSIN - 2.6%
Kenosha, Wisconsin Unified School District 1,250 5.000 08/25/95 1,251
Kettle Moraine, Wisconsin School District 300 4.440 08/22/95 300
Oshkosh, Wisconsin Area School District 750 4.500 09/14/95 750
--------
2,301
--------
</TABLE>
Tax Free Money Market Fund 129
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
Value
(000)
--------
<S> <C>
TOTAL INVESTMENTS (amortized cost $87,675)(a) - 101.4% $87,675
OTHER ASSETS AND LIABILITIES, NET - (1.4)% (1,196)
--------
NET ASSETS - 100.0% $86,479
--------
--------
<FN>
(a) The identified cost for federal income tax purposes
is the same as shown above.
* All securities with a maturity date greater than thirteen months have a
demand feature, or an optional or mandatory put, or are pre-refunded
resulting in an effective maturity of thirteen months or less.
Variable Rate:
(1) Daily
(2) Weekly
(3) Monthly
(4) Quarterly
(5) Semiannual
(6) Annual
(7) Thirteen-month
(8) Eight-month
(9) Nine-month
</TABLE>
The accompanying notes are an integral part of the financial statements.
130 Tax Free Money Market Fund
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30,1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . $87,674,823
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,242
Receivables:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 751,911
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 600,000
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,855
-----------
89,076,831
LIABILITIES
Payables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . $ 263,106
Investments purchased. . . . . . . . . . . . . . . . . 2,308,203
Accrued management fees (Note 4) . . . . . . . . . . . 17,834
Other accrued expenses . . . . . . . . . . . . . . . . 9,094 2,598,237
---------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $86,478,594
-----------
-----------
NET ASSETS CONSIST OF:
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . $ 864,786
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . 85,613,808
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $86,478,594
-----------
-----------
Net asset value, offering and redemption price per share
($86,478,594 divided by 86,478,594 shares $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . $1.00
-----------
-----------
</TABLE>
The accompanying notes are an integral part of the finaicial statements.
Tax Free Money Market Fund 131
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,887,623
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $111,525
Custodian fees . . . . . . . . . . . . . . . . . 22,065
Professional fees. . . . . . . . . . . . . . . . 3,521
Registration fees. . . . . . . . . . . . . . . . 26,296
Transfer agent fees. . . . . . . . . . . . . . . 22,765
Trustees' fees . . . . . . . . . . . . . . . . . 1,938
Miscellaneous. . . . . . . . . . . . . . . . . . 1,093 189,203
--------- -----------
Net investment income. . . . . . . . . . . . . . . 1,698,420
-----------
Net increase (decrease) in net assets resulting
from operations. . . . . . . . . . . . . . . . . $1,698,420
-----------
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
132 Tax Free Money Market Fund
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income and net increase
in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . $ 1,698,420 $ 2,585,604
Distributions to shareholders from net investment income . . . . . . . . . . . . . . . . . (1,698,420) (2,585,604)
Increase (decrease) in net assets from fund share transactions . . . . . . . . . . . . . . (14,340,288) 32,665,032
------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . (14,340,288) 32,665,032
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,818,882 68,153,850
-------------- -------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 86,478,594 $ 100,818,882
-------------- -------------
-------------- -------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS)
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,566,750 198,014,484
Fund shares issued to shareholders in reinvestments of distributions . . . . . . . . . . . 520,656 524,203
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (89,427,694) (165,873,655)
-------------- -------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (14,340,288) 32,665,032
-------------- -------------
-------------- -------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Tax Free Money Market Fund 133
<PAGE>
TAX FREE MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .0189 .0279 .0251 .0304 .0473 .0582
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.0189) (.0279) (.0251) (.0304) (.0473) (.0582)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 1.91 2.83 2.55 3.09 4.84 5.99
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average daily net assets (b) . . . . .42 .40 .43 .45 .45 .45
Operating expenses, gross, to average net assets (b) . . . . . . .42 .40 .43 .45 .46 .52
Net investment income to average daily net assets (b). . . . . . 3.81 2.84 2.52 3.03 4.73 5.82
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 86,479 100,819 68,154 73,203 61,288 59,892
Per share amount of fees reimbursed ($ omitted). . . . . . . . . -- -- -- -- .0001 .0007
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
</TABLE>
134 Tax Free Money Market Fund
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company")
is a series mutual fund with 22 different investment portfolios referred
to as "Funds." These financial statements report on 12 Funds,
each of which has distinct investment objectives and strategies. The
Investment Company is registered under the Investment Company Act
of 1940, as amended, as a diversified, open-end management investment
company, and is organized and operates as a Massachusetts business
trust under an amended master trust agreement dated July 26, 1984.
The Investment Company's master trust agreement permits the Board
of Trustees to issue an unlimited number of full and fractional shares
of beneficial interest at a $.01 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies.
Such policies (except as noted below) are consistently followed by
the Funds in the preparation of these financial statements.
SECURITY VALUATION: United States equity and fixed-income
securities listed and traded principally on any national securities
exchange are valued on the basis of the last sale price or, lacking
any sale, at the closing bid price, on the primary exchange on which
the security is traded. United States over-the-counter equity
and fixed-income securities and options are valued on the basis
of the closing bid price. Futures contracts are valued on the basis
of the last sale price. Many fixed-income securities do not trade
each day and, thus, last sale or bid prices are frequently not available.
Fixed-income securities, therefore, may be valued using prices
provided by a pricing service when such prices are believed to reflect
the fair market value of such securities.
International equity and fixed-income securities traded on a national
securities exchange are valued on the basis of the last sale price.
International securities traded over the counter are valued on the
basis of the mean of bid prices. In the absence of a last sale or
mean bid price, respectively, such securities may be valued on the
basis of prices provided by a pricing service if those prices are
believed to reflect the fair market value of such securities.
The U.S. Government Money Market and the Tax Free Money Market
Funds' portfolio investments are valued on the basis of amortized
cost, a method by which each portfolio instrument is initially valued
at cost, and thereafter a constant accretion/amortization to maturity
of any discount or premium is assumed. Both Funds utilize the
amortized cost valuation method in accordance with Rule 2a-7
of the Investment Company Act of 1940, as amended. Money market instruments
maturing within 60 days of the valuation date held by Funds other
than the U.S. Government Money Market and Tax Free Money Market Funds
are also valued at "amortized cost" unless the Board of Trustees
determines that amortized cost does not represent fair value.
Municipal investments of the Limited Volatility Tax Free Fund are
appraised or priced by an independent pricing source, approved by
the Board of Trustees, which utilizes information with respect to
bond transactions, quotations from bond dealers, market transactions
in comparable securities, and various relationships between securities.
The Funds may value certain securities for which market quotations
are not readily available at "fair value," as determined in good faith
pursuant to procedures established by the Board of Trustees.
INVESTMENT TRANSACTIONS: Securities transactions are recorded
on a trade date basis. The Funds, except the Limited Volatility Tax
Free and Tax Free Money Market Funds, may lend portfolio securities
with a value of up to 50% of their total assets. The Funds will receive
cash, U.S. government treasuries or U.S. government agency securities
as collateral. The Funds will retain most rights of beneficial ownership,
including dividends, interest or other distributions on the loaned
securities. Realized gains and losses from securities transactions
are recorded on the basis of identified cost incurred by each money
manager.
INVESTMENT INCOME: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual
basis. Distributions from Real Estate Investment Trusts (REITs) owned
by the Real Estate Securities Fund may have as their components dividend
income, capital gains and/or return of capital. Distributions that
are deemed to be capital gains or return of capital by the trusts
are treated by the Fund, respectively, as an adjustment to its realized
capital gains or its cost of the investment. The exact amount to be
adjusted can only be ascertained at the end of each REIT's fiscal
year when finally determined and reported by the various trusts.
Notes to financial Statements 135
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
AMORTIZATION AND ACCRETION: Discounts and premiums for the
Limited Volatility Tax Free Fund, all zero-coupon bond discounts,
and original issue discounts are amortized/accreted for both tax and
financial reporting purposes. All short-term premiums/discounts
are amortized/accreted for both tax and financial reporting purposes.
FEDERAL INCOME TAXES: As a Massachusetts business trust,
each Fund is a separate corporate taxpayer and determines its net
investment income and capital gains (or losses) and the amounts to
be distributed to each Fund's shareholders without regard to the income
and capital gains (or losses) of the other Funds.
It is each Fund's intention to qualify as a regulated investment company
and distribute all of its taxable income. No federal income tax provision
was required for the year ended December 31, 1994. From November 1,
1994 to December 31, 1994, certain Funds incurred net realized capital
losses. As permitted by tax regulations, the following Funds intend
to elect to defer these losses indicated below and treat them as arising
in the year ending December 31, 1995.
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Special Growth $2,007,365 Diversified Bond $4,322,497
Equity Income 236,704 Volatility Constrained Bond 848,028
International Securities 1,042,850 Multistrategy Bond 1,008,823
Real Estate Securities 1,346,075 Limited Volatility Tax Free 130,644
</TABLE>
At December 31, 1994, certain Funds had net tax basis capital loss
carryovers which may be applied against any realized net taxable gains
in each succeeding year or until their respective expiration dates,
whichever occurs first. Available capital loss carryovers and expiration
dates are as follows:
<TABLE>
<CAPTION>
12/31/95 12/31/96 12/31/97 12/31/98 12/31/99 12/31/02 Totals
------------ ----------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <S> <C> <C> <C>
Diversified Bond $ -- $ -- $ -- $ -- $ -- $(10,502,697) $(10,502,697)
Volatility Constrained Bond (708,248) (2,298,957) -- -- -- (5,583,410) (8,590,615)
Multistrategy Bond -- -- -- -- -- (4,776,029) (4,776,029)
Limited Volatility Tax Free (162,781) (238,975) (103,283) (26,604) (383,404) (345,504) (1,260,551)
</TABLE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: For all Funds,
income dividends and capital gain distributions, if any, are recorded
on the ex-dividend date. Dividends are generally declared and
paid quarterly except for the International Securities Fund which
generally declares and pays dividends annually; the Diversified Bond,
Volatility Constrained Bond, Multistrategy Bond and Limited Volatility
Tax Free Funds which generally declare and pay dividends monthly;
and the U.S. Government Money Market and Tax Free Money Market Funds
which declare and record dividends daily and pay them monthly. Capital
gain distributions are generally declared and paid annually. An additional
distribution may be paid by the Funds to avoid imposition of federal
income tax on any remaining undistributed capital gains and net investment
income.
The timing and characterization of certain income and capital
gains distributions are determined in accordance with federal tax
regulations which may differ from generally accepted accounting principles
("GAAP"). As a result, net investment income and net realized
gain (or loss) on investment and foreign currency-related transactions
for a reporting period may differ significantly from distributions
during such period. The differences between tax regulations and GAAP
primarily relate to investments in options, futures, forward contracts,
passive foreign investment companies, foreign-denominated investments,
mortgage-backed securities, and certain securities sold at a loss.
Accordingly, a Fund may periodically make reclassifications among
certain of its capital accounts without impacting its net asset value.
The following reclassifications have been made to reflect
activity for the six months ended June 30, 1995:
<TABLE>
<CAPTION>
Undistributed Accumulated
Net Investment Net Realized Additional
Income Gain (Loss) Paid-in Capital
--------------- -------------- ---------------
<S> <C> <C> <C>
Diversified Equity $ (31) $ 110,840 $ (110,809)
Special Growth 383,844 (220,155) (163,689)
Equity Income (46) 117,044 (116,998)
Diversified Bond 51,191 (156,024) 104,833
Multistrategy Bond 356 100,199 (100,555)
International Securities 1,215,634 (698,180) (517,454)
</TABLE>
136 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENT, CONTINUED
EXPENSES: Expenses such as management fees, trustees' fees,
custodian fees, bookkeeping service fees, transfer agent fees and
registration fees are charged directly to the individual Funds; while
indirect expenses such as printing, professional fees and insurance
are allocated among the Funds principally based on their relative
net assets.
DEFERRED ORGANIZATION EXPENSES: Organization and initial
registration costs of Multistrategy Bond Fund have been deferred and
are being amortized over 60 months on a straight-line basis.
REPURCHASE AGREEMENTS: The Funds may engage in repurchase agreements
with several financial institutions whereby the Funds, through their
custodian, receive delivery of the underlying securities. Each Fund's
Money Manager will monitor repurchase agreements daily to determine
that the market value (including accrued interest) at Fedwire closing
time of the underlying securities remains at least equal to 102%
of the repurchase price. The Money Manager will notify the Seller
to immediately increase the collateral on the repurchase agreement
to 102% of the repurchase price if collateral value falls below 102%.
FOREIGN CURRENCY TRANSLATIONS: The books and records of
the Funds are maintained in U.S. dollars. Foreign currency amounts
and transactions of the Funds are translated into U.S. dollars on
the following basis:
(a) Market value of investment securities, other assets and
liabilities at the closing rate of exchange on the valuation date.
(b) Purchases and sales of investment securities and income
at the closing rate of exchange prevailing on the respective trade
dates of such transactions.
Reported net realized gains or losses from foreign currency-related
transactions arise from sales and maturities of short-term securities;
sales of foreign currencies; currency gains or losses realized between
the trade and settlement dates on securities transactions; the difference
between the amounts of dividends, interest, and foreign withholding
taxes recorded on the Funds' books; and the U.S. dollar equivalent
of the amounts actually received or paid. Net unrealized
gains or losses from foreign currency-related transactions arise from
changes in the value of assets and liabilities, other than investments
in securities, at fiscal year-end, resulting from changes in the exchange
rates.
It is not practical to isolate that portion of the results of operations
of the International Securities, Diversified Bond, Volatility Constrained
Bond and Multistrategy Bond Funds that arise as a result of changes
in exchange rates from that portion that arise from changes in market
prices of investments during the year. Such fluctuations are included
with the net realized and unrealized gain or loss from investments.
However, for federal income tax purposes these funds do isolate the
effects of changes in foreign exchange rates from the fluctuations
arising from changes in market prices for realized gain (or loss)
on debt obligations.
DERIVATIVES: To the extent permitted by the investment objectives,
restrictions and policies set forth in the Funds' Prospectus and Statement
of Additional Information, the Funds may participate in various derivative-based
transactions. Derivative securities are instruments or agreements
whose value is derived from an underlying security or index. They
include options, futures, swaps, forwards, structured notes and stripped
securities. These instruments offer unique characteristics and risks
that assist the Funds in meeting their investment strategies.
The Funds typically use derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique
that may be used by certain funds through the use of options and futures
to earn "market-like" returns with a funds' excess and liquidity
reserve cash balances. Hedging is used by some funds to limit or control
risks, such as adverse movements in exchange rates and interest rates.
Return enhancement can be accomplished through the use of derivatives
in a fund. By purchasing certain instruments, a fund may more effectively
achieve the desired portfolio characteristics that assist the Funds
in meeting their investment objectives. Depending on how the derivatives
are utilized and their structure, the risks associated with them may
vary widely. These risks are generally categorized as market risk,
liquidity risk and counterparty or credit risk.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: In connection with portfolio
purchases and sales of securities denominated in a foreign currency, certain
of the Funds may enter into foreign currency exchange spot contracts and
forward foreign currency exchange contracts ("contracts"). Additionally,
from time to time the International Securities, Diversified Bond,
Volatility Constrained Bond and Multistrategy Bond Funds may enter
into contracts to hedge certain foreign currency-denominated assets.
Contracts are recorded at market value. Certain risks may arise upon
entering into these contracts from the potential inability of
Notes to Financial Statements 137
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
counterparties to meet the terms of their contracts. Realized gains or losses
arising from such transactions are included in net realized gain (or loss) from
foreign currency-related transactions.
FORWARD COMMITMENTS: The Funds may contract to purchase
securities for a fixed price at a future date beyond customary settlement
time (not to exceed 120 days)(i.e., a "forward commitments"
transaction, e.g., to be announced ("TBA")) consistent with
a Fund's ability to manage its investment portfolio and meet redemption
requests. The price of the underlying securities and the date when
the securities will be delivered and paid for are fixed at the time
the transaction is negotiated. The Funds may dispose of
a forward commitment transaction prior to settlement if it is appropriate
to do so and realize short-term gains (or losses) upon such sale.
When effecting such transactions, cash or liquid high-grade debt obligations
of the Fund in a dollar amount sufficient to make payment for the
portfolio securities to be purchased will be segregated on the Fund's
records at the trade date and maintained until the transaction is
settled. A forward commitment transaction involves a risk of loss
if the value of the security to be purchased declines prior to the
settlement date or the other party to the transaction fails to complete
the transaction. At June 30, 1995, forward commitments in Diversified
Bond, Volatilitiy Constrained and Multistrategy Bond Funds aggregated
to $44,751,773, $8,186,000 and $25,236,005, respectively.
OPTIONS: The Funds, other than the U.S. Government
Money Market and Tax Free Money Market Funds, may purchase and sell
(write) call and put options on securities and securities indices,
provided such options are traded on a national securities exchange
or in an over-the-counter market. These Funds may also purchase
and sell put and call options on foreign currencies.
When a Fund writes a covered call or put option, an amount equal to
the premium received by the Fund is included in the Fund's Statement
of Assets and Liabilities as an asset and as an equivalent liability.
The amount of the liability is subsequently marked-to-market
to reflect the current market value of the option written. The current
market value of a written option is the closing bid price on the principal
exchange on which such option is traded, or, in the absence of a sale,
the last offering price. The Fund receives a premium on the sale of
an option but gives up the opportunity to profit from any increase
in stock value above the exercise price of the option. If an option
which the Fund has written either expires on its stipulated expiration
date or the Fund enters into a closing purchase transaction, the Fund
realizes a gain (or loss, if the cost of a closing purchase transaction
exceeds the premium received when the option was sold) without regard
to any unrealized gain or loss on the underlying security, and the
liability related to such option is extinguished. If a call option
which the Fund has written is exercised, the Fund realizes a capital
gain or loss from the sale of the underlying security, and the proceeds
from such sale are increased by the premium originally received. When
a put option which a Fund has written is exercised, the amount of
the premium originally received will reduce the cost of the security
which a Fund purchases upon exercise of the option.
The Funds' use of written options involves, to varying degrees, elements
of market risk in excess of the amount recognized in the Statement
of Assets and Liabilities. The face or contract amounts of those instruments
reflect the extent of the Funds' exposure to off balance sheet risk.
The risks may be caused by an imperfect correlation between movements
in the price of the instrument and the price of the underlying securities
and interest rates. The Funds' activities in written options are conducted
through regulated exchanges, which do not result in counterparty credit
risks.
FUTURES: Multistrategy Bond Fund may utilize futures contracts
(i.e., interest rate, foreign currency and index futures contracts)
to a limited extent. The primary risks associated with the use of
futures contracts are an imperfect correlation between the change
in market value of the securities held by the Fund and the prices
of futures contracts and the possibility of an illiquid market. Futures
contracts are valued on the basis of the last sale price; changes
in initial settlement value are accounted for as unrealized appreciation
(depreciation) until the contracts are terminated, at which time realized
gains and losses are recognized.
3. INVESTMENT TRANSACTIONS
SECURITIES: During the six months ended June 30, 1995, purchases
and sales of investment securities excluding U.S. Government and Agency
obligations, short-term investments, options, futures and repurchase
agreements were as follows:
<TABLE>
<CAPTION>
Purchases Sales Purchases Sales
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Diversified Equity $ 209,337,703 $ 209,028,109 Real Estate Securities $ 57,825,598 $ 24,093,551
Special Growth 118,518,233 105,705,818 Diversified Bond 319,890,913 315,320,073
Equity Income 55,797,443 57,082,880 Volatility Constrained Bond 27,126,772 37,166,453
Quantitative Equity 174,722,520 163,663,713 Multistrategy Bond 37,092,763 29,647,541
International Securities 134,491,486 110,770,721 Limited Volatility Tax Free 34,482,328 19,892,148
</TABLE>
138 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Purchases and sales of U.S. Government and Agency obligations (excluding
repurchase agreements, options, futures and other short-term securities)
were as follows:
<TABLE>
<CAPTION>
Purchases Sales
-------------- --------------
<S> <C> <C>
Diversified Bond $ 287,263,595 $ 316,706,321
Volatility Constrained Bond 195,633,091 169,413,365
Multistrategy Bond 89,510,714 73,357,092
</TABLE>
U.S. Government Money Market purchases, sales and maturities of U.S.
Government and Agency obligations (excluding repurchase agreements)
were $172,562,282, $18,624,795 and $164,037,726, respectively.
Tax Free Money Market purchases, sales and maturities of short-term
tax exempt obligations were $119,726,057, $119,574,790 and $14,685,000,
respectively.
OPTIONS: Fund transactions in written put and call options for
the six months ended June 30, 1995 were as follows:
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- -----------
<S> <C> <C>
Outstanding December 31, 1994 480 $ 589,886
Written 1,305 1,118,810
Terminated (1,310) (1,269,073)
----------- -----------
Outstanding June 30, 1995 475 $ 439,623
----------- -----------
----------- -----------
SPECIAL GROWTH PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- -----------
Outstanding December 31, 1994 1,200 $ 1,159,510
Written 1,735 1,002,283
Terminated (2,220) (1,763,504)
----------- -----------
Outstanding June 30, 1995 715 $ 398,289
----------- -----------
----------- -----------
EQUITY INCOME PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- -----------
Outstanding December 31, 1994 185 $ 229,854
Written 355 323,799
Terminated (380) (405,357)
----------- -----------
Outstanding June 30, 1995 160 $ 148,296
----------- -----------
----------- -----------
QUANTITATIVE EQUITY PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- -----------
Outstanding December 31, 1994 640 $ 775,554
Written 675 592,966
Terminated (1,025) (1,097,889)
----------- -----------
Outstanding June 30, 1995 290 270,631
----------- -----------
----------- -----------
</TABLE>
Notes to Financial Statements 139
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
<TABLE>
<CAPTION>
VOLATILITY CONSTRAINED BOND COVERED CALL OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- -----------
<S> <C> <C>
Outstanding December 31, 1994 133,500 $ 79,772
Written (126,000) (75,788)
Expired (7,500) (3,984)
----------- -----------
Outstanding June 30, 1995 0 $ 0
----------- -----------
----------- -----------
MULTISTRATEGY BOND PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- -----------
Outstanding December 31, 1994 67 $ 58,763
Written 619 294,812
Exercised (100) (47,838)
Expired (147) (65,721)
----------- -----------
Outstanding June 30, 1995 439 $ 240,016
----------- -----------
----------- -----------
Futures: Fund transactions in futures contracts for the six months ended June
30, 1995 were as follows:
MULTISTRATEGY BOND FUTURES CONTRACTS
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
----------- -----------
Outstanding at December 31, 1994 175 $ 18,982,344
Contracts opened 560 69,609,547
Contracts closed (510) (58,955,122)
----------- -----------
Outstanding at June 30, 1995 225 $ 29,636,769
----------- -----------
----------- -----------
<FN>
(1) The aggregate face value of contracts is computed on the date each contract
was opened.
</TABLE>
SECURITIES LENDING: The International Securities Fund may loan
securities with a value up to 50% of its total assets to certain brokers.
The Fund receives cash (U.S. currency) and securities issued or guaranteed
by the U.S. Government or its agencies as collateral against the loaned
securities. To the extent that a loan is secured by cash collateral,
such collateral shall be invested by State Street Bank and Trust Company
("State Street"), under its sole discretion, in short-term
instruments, short-term investment funds maintained by State Street,
money market mutual funds, and such other short-term investments
as State Street may from time to time select, provided the investments
meet certain quality and diversification requirements. Income generated
from the investment of cash collateral less negotiated rebate fees
paid to participating brokers is divided between the Fund and State
Street Bank and is included as interest income for the Fund. To the
extent that a loan is secured by non-cash collateral, brokers
pay the Fund negotiated lenders' fees, which are divided between the
fund and State Street, and are included as interest income for the
Fund. All collateral received will be in an amount at least equal
to 100% of the market value of the loaned securities at the inception
of each loan. This collateral must be maintained at not less than
100% of the market value of the loaned securities during the period
of the loan. Should the borrower of the securities fail financially,
there is a risk of delay in recovery of the securities or loss of
rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. At June 30, 1995,
the value of the securities loaned and the value of collateral amounted
to $33,693,301 and $36,652,097, respectively.
140 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
4. RELATED PARTIES
For the six months ended June 30, 1995, the management fee paid to
Frank Russell Investment Management Company ("FRIMCo" or "Manager"),
in accordance with the Investment Company's Management Agreement with
that firm, amounted to $11,490,973. Such fee is payable monthly and
is equal to the annual rate, by Fund, shown in the table below, of
the average daily net assets of the applicable Fund.
<TABLE>
<CAPTION>
ANNUAL RATE ANNUAL RATE
------------- -------------
<S> <C> <S> <C>
Diversified Equity 0.78% Diversified Bond 0.45%
Special Growth 0.95 Volatility Constrained Bond 0.50
Equity Income 0.80 Multistrategy Bond 0.65
Quantitative Equity 0.78 Limited Volatility Tax Free 0.50
International Securities 0.95 U.S. Government Money Market 0.25
Real Estate Securities 0.85 Tax Free Money Market 0.25
</TABLE>
The management contract also provides that if any Fund's expenses
(exclusive of interest and taxes) exceed specified limits on an annual
basis, such excess will be paid by FRIMCo. For the six months ended
June 30, 1995, FRIMCo voluntarily agreed to reimburse all expenses
of the Multistrategy Bond Fund that exceeded the annual rate of 0.85%
of its average daily net assets. The amount of such reimbursement
was $20,714.
Effective April 1, 1995, FRIMCo voluntarily agreed to waive the full
amount of the U.S. Government Money Market Fund's management fee amounting
to .25% of its average daily net assets. The amount of such waiver
was $87,118.
The Investment Company paid each of its Trustees not affiliated with
FRIMCo $16,000 per year plus out-of-pocket expenses. Total
trustee expenses were $42,947 for the six months ended June 30, 1995
and were allocated to each Fund on a pro rata basis, including 10
affiliated funds not presented here. Effective April 25, 1995, the
Investment Company began paying each of its Trustees not affiliated
with FRIMCo $20,000 per year plus out-of-pocket expenses.
Fees for bookkeeping services related to maintaining the tax records
for the Funds are paid or accrued to Frank Russell Company, an affiliate
of the Investment Company. Total fees for the six months ended June
30, 1995 were $125,794.
The Funds have a contract with FRIMCo to provide transfer agent
services to the Investment Company. Total fees for the six months
ended June 30, 1995 were $1,011,104.
The Funds also paid brokerage commissions for trades executed through
Frank Russell Securities, Inc., an affiliate of the Frank Russell
Investment Management Company. These commissions are net of a refund
(up to 70%) paid back to the Fund effecting such transactions after
reimbursement for research services provided to FRIMCo. Amounts retained
by Frank Russell Securities, Inc. for the six months ended June 30,
1995 were as follows:
<TABLE>
<S> <C> <C> <C>
Diversified Equity $ 14,901 Equity Income $ 5,578
Special Growth 500 International Securities 50,379
</TABLE>
5. MONEY MARKET FUND
The Funds, other than the U.S. Government Money Market, Tax Free
Money Market and Limited Volatility Tax Free Funds, are permitted
to invest their cash reserves (i.e., monies awaiting investment in
portfolio securities suitable for the Funds' objectives) in the Frank
Russell Investment Company Money Market Fund (a series of Frank
Russell Investment Company not presented in this semiannual report).
These investments are reflected as purchases and redemptions
of shares of the Money Market Fund. The interest earned by the
Money Market Fund related to these investments is reflected as dividends
paid (or payable) on such shares. As of June 30, 1995, $233,816,000 of
the Money Market Fund's net assets represents investments by these
Funds.
Notes to Financial Statements 141
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
6. COMMITMENTS
As of June 30, 1995 International Securities, Diversified Bond
and Multistrategy Bond Funds have entered into various forward foreign
currency exchange and foreign currency exchange spot contracts which
contractually obligate the Fund to deliver or receive currencies at
specified future dates. Open contracts were as follows:
<TABLE>
<CAPTION>
INTERNATIONAL SECURITIES FUND
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
---------------------- ---------------- --------------- --------------
<S> <C> <C> <C>
DEM 6,890,000 USD 4,939,068 09/21/95 $ (59,405)
DEM 6,580,000 USD 4,726,481 12/01/95 (58,612)
FRF 25,910,000 USD 5,254,512 09/21/95 (74,931)
GBP 3,595,000 USD 5,699,190 02/01/96 21,545
JPY 460,500,000 USD 5,501,792 09/21/95 8,770
JPY 722,775,000 USD 7,500,000 01/08/96 (1,247,725)
--------------
$ (1,410,358)
--------------
--------------
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
---------------------- ---------------- --------------- --------------
USD 293,346 AUD 409,530 07/05/95 $ (2,280)
USD 19,496 AUD 27,233 07/06/95 (141)
USD 191,433 ITL 313,375,460 07/05/95 88
USD 710,439 JPY 60,223,947 07/03/95 126
BEL 228,240 USD 7,953 07/03/95 (71)
ESP 15,081,398 USD 124,331 07/05/95 (180)
HKD 69,680 USD 9,004 07/03/95 (1)
MYR 219,689 USD 89,952 07/03/95 (159)
MYR 129,092 USD 52,880 07/05/95 (69)
NLG 6,845 USD 4,385 07/03/95 (33)
--------------
$ (2,720)
--------------
--------------
DIVERSIFIED BOND FUND
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
---------------------- ---------------- --------------- --------------
DEM 5,403,208 USD 3,865,426 07/28/95 $ (46,784)
--------------
$ (47,784)
--------------
--------------
</TABLE>
142 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
<TABLE>
<CAPTION>
MULTISTRATEGY BOND FUND
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
---------------------- ---------------- --------------- --------------
<S> <C> <C> <C>
DEM 4,317,433 USD 3,110,543 08/02/95 $ (16,127)
--------------
$ (16,127)
--------------
--------------
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE APPRECIATION
---------------------- ---------------- --------------- --------------
USD 50,781 GBP 32,000 07/03/95 $ 118
--------------
$ 118
--------------
--------------
</TABLE>
The related net unrealized appreciation (depreciation) is reflected
in the International Securities Fund's financial statements.
7. DIVIDENDS
On July 3, 1995, the Board of Trustees declared the following dividends
from net investment income payable on July 12, 1995, to shareholders of record
on July 5, 1995:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Diversified Equity $ .1584 Volatility Constrained Bond $ .1019
Special Growth .0570 Limited Volatility Tax Free .0686
Equity Income .2336 Multistrategy Bond .0542
Quantitative Equity .1352 Real Estate Securities .3267
Diversified Bond .1282
</TABLE>
Notes to Financial Statements 143
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
ADDITIONAL INFORMATION
June 30, 1995 (Unaudited)
On March 28, 1995, a special meeting of the shareholders of the Funds
was held for the purpose of voting on the following matter:
To approve or disapprove an amendment clarifying the fiduciary
and client status of the Manager.
The results of the vote on the proposal were as follows:
<TABLE>
<CAPTION>
NUMBER OF % OF OUTSTANDING % OF SHARES
VOTE SHARES SHARES VOTED
--------------- --------------- ---------------- ---------------
<S> <C> <C> <C>
Affirmative 209,188,356 62% 99%
Against 2,019,657 1% 1%
Abstain 148 -- --
--------------- ---------------- ---------------
Total 211,208,161 63% 100%
--------------- ---------------- ---------------
--------------- ---------------- ---------------
</TABLE>
144 Additional Information
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(206) 627-7001
TRUSTEES
George F. Russell, Jr., Chairman
Lynn L. Anderson
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Lee C. Gingrich
Eleanor W. Palmer
OFFICERS
Lynn L. Anderson, President and Chief Executive Officer
Peter Apanovitch, Manager of Short Term Investment Funds
Margaret L. Barclay, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary
MANAGER
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
CUSTODIAN
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, MA 02171
TRANSFER AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young
2600 - One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, MA 02109
MONEY MANAGERS
DIVERSIFIED EQUITY
Alliance Capital Management L.P., Minneapolis, MN
Cash Flow Investors, Inc., Fort Lee, NJ
Columbus Circle Investors, Stamford, CT
Equinox Capital Management Inc., New York, NY
INVESCO Capital Management, Inc. Atlanta, GA
Lincoln Capital Management Company, Chicago, IL
Suffolk Capital Management, Inc., New York, NY
Trinity Investment Management Corporation, Boston, MA
Wellington Management Company, Boston, MA
SPECIAL GROWTH
Delphi Management, Inc., Boston, MA
Jacobs Levy Equity Management, Inc., Roseland, NJ
Jundt Associates, Inc., Minneapolis, MN
Mitchell Hutchins Institutional Investors, Inc., New York, NY
Sirach Capital Management, Inc., Seattle, WA
Wellington Management Company, Boston, MA
EQUITY INCOME
Brandywine Asset Management, Inc., Wilmington, DE
Equinox Capital Management Inc., New York, NY
Trinity Investment Management Corporation, Boston, MA
QUANTITATIVE EQUITY
Franklin Portfolio Associates Trust, Boston, MA
J.P. Morgan Investment Management Inc., New York, NY
Wells Fargo Nikko Investment Advisors, San Francisco, CA
INTERNATIONAL SECURITIES
Grantham, Mayo, Van Otterloo & Co., Boston, MA
J.P. Morgan Investment Management Inc., New York, NY
Marathon Asset Management Limited, London, England
Oechsle International Advisors, Boston, MA
Rowe Price-Fleming International, Inc., Baltimore, MD
REAL ESTATE SECURITIES
Cohen & Steers Capital Management, New York, NY
DIVERSIFIED BOND
Lincoln Capital Management Company, Chicago, IL
Pacific Investment Management Company, Newport Beach, CA
Standish, Ayer & Wood, Inc., Boston, MA
VOLATILITY CONSTRAINED BOND
BlackRock Financial Management, New York, NY
Standish, Ayer & Wood, Inc., Boston, MA
MULTISTRATEGY BOND
BEA Associates, New York, NY
Pacific Investment Management Company, Newport Beach, CA
Standish, Ayer & Wood, Inc., Boston, MA
LIMITED VOLATILITY TAX FREE
Massachusetts Financial Services, Boston, MA
T. Rowe Price Associates, Inc., Baltimore, MD
U.S. GOVERNMENT MONEY MARKET
Frank Russell Investment Management Co., Tacoma, WA
TAX FREE MONEY MARKET
Weiss, Peck & Greer Advisors, Inc., New York, NY
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUNDS AND IS SUBMITTED
FOR THE GENERAL INFORMATION OF SHAREHOLDERS AND IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS ACCOMPANIED OR PRECEDED BY AN
EFFECTIVE PROSPECTUS. NOTHING HEREIN CONTAINED IS TO BE CONSIDERED AN OFFER OF
SALE OR A SOLICITATION OF AN OFFER TO BUY SHARES OF FRANK RUSSELL INVESTMENT
COMPANY. SUCH OFFERING IS MADE ONLY BY PROSPECTUS, WHICH INCLUDES DETAILS AS TO
OFFERING PRICE AND OTHER MATERIAL INFORMATION.
Manager and Money Managers 145
<PAGE>
FRANK RUSSELL INVESTMENT
COMPANY
Frank Russell Investment Company
is a "series mutual fund" with
22 different investment portfolios.
These financial statements report
on four Funds, each of which has
distinct investment objectives and
strategies.
FRANK RUSSELL INVESTMENT
MANAGEMENT COMPANY
Responsible for overall management
and administration of the Funds.
FRANK RUSSELL COMPANY
Consultant to Frank Russell
Investment Management Company.
Specialty Funds
<PAGE>
<TABLE>
<CAPTION>
TABLE OF CONTENTS
Page
<S> <C>
REAL ESTATE SECURITIES FUND. . . . . . . . . . . . . . . 3
LIMITED VOLATILITY TAX FREE FUND . . . . . . . . . . . . 9
U.S. GOVERNMENT MONEY MARKET FUND. . . . . . . . . . . . 19
TAX FREE MONEY MARKET FUND . . . . . . . . . . . . . . . 25
NOTES TO FINANCIAL STATEMENTS. . . . . . . . . . . . . . 35
ADDITIONAL INFORMATION . . . . . . . . . . . . . . . . . 38
MANAGER AND MONEY MANAGERS . . . . . . . . . . . . . . . 39
</TABLE>
FRANK RUSSELL INVESTMENT COMPANY - SPECIALTY FUNDS
Copyright -C- Frank Russell Company 1995. All rights reserved. This material
is propietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. Frank Russell Company and Standard & Poor's
Corporation are the owners of the trademarks, service marks and copyrights
related to their respective indexes. This material must be accompanied or
preceded by a current Frank Russell Investment Company Prospectus containing
complete information concerning the investment objectives and operations of the
Company, charges, and expenses. The Prospectus should be read carefully before
an investment is made. The performance quoted represents past performance and,
except for a money market fund, the investment return and principal value of an
investment will fluctuate so that shares, when redeemed, may be worth more or
less than their original cost. An investment in a money market fund is neither
insured nor guaranteed by the US government. There can be no assurance that a
money market fund will be able to maintain a stable net asset value of $1.00 per
share. Investments in securities of non-US issuers and foreign currencies
involve investment risks different than those of US issuers; the Prospectus
contains further information and details regarding these risks. Income from
tax-free funds may be subject to an alternative minimum tax. Russell Fund
Distributors, Inc., is the distributor of Frank Russell Investment Company.
Specialty Funds
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------- -------
<S> <C> <C>
COMMON STOCKS - 94.7%
APARTMENT - 27.7%
Associated Estates Realty Corp. (c) 245,000 $5,176
Avalon Properties, Inc. (c) 241,200 4,794
Bay Apartment Communities, Inc. (c) 144,500 2,818
Camden Property Trust (c) 277,500 6,070
Colonial Properties Trust (c) 199,700 4,593
Columbus Realty Trust (c) 277,800 4,271
Equity Residential Properties Trust (c) 73,600 2,052
Evans Withycombe Residential, Inc. (c) 44,000 897
Gables Residential Trust (c) 111,600 2,288
Merry Land and Investment Co., Inc. (c) 320,600 6,532
Oasis Residential, Inc. (c) 227,100 4,939
Post Properties, Inc. (c) 201,800 6,104
Security Capital Pacific Trust (c) 128,915 2,240
Smith (Charles E.) Residential
Realty, Inc. (c) 178,300 4,235
Summit Properties, Inc. (c) 134,800 2,325
United Dominion Realty Trust, Inc. (c) 346,300 5,108
Wellsford Residential Property Trust (c) 130,500 2,969
-------
67,411
-------
HEALTH CARE - 7.5%
Health Care Property Investors, Inc. (c) 259,500 8,304
Nationwide Health Properties, Inc. (c) 246,800 9,625
-------
17,929
-------
HOTELS - 0.8%
Starwood Lodging Trust (c) 82,600 1,941
-------
1,941
-------
OFFICE/INDUSTRIAL - 16.5%
Cali Realty Corp. (c) 191,600 3,712
Carr Realty Corp. (c) 94,200 1,625
Cousins Properties, Inc. (c) 230,100 4,084
Crescent Real Estate Equities 67,500 2,152
Duke Realty Investments, Inc. (c) 179,600 5,074
Highwoods Properties, Inc. (c) 184,900 4,715
Liberty Property Trust (c) 237,100 4,653
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------- -------
<S> <C> <C>
Reckson Associates Realty Corp. (c) 136,700 $3,315
Shurgard Storage Centers, Inc. Class A (c) 99,200 2,282
Spieker Properties, Inc. (c) 87,500 1,958
Storage USA, Inc. (c) 116,700 3,311
Weeks Corporation (c) 137,200 3,429
-------
40,310
-------
COMMUNITY CENTER - 20.3%
Bradley Real Estate (c) 95,800 1,545
Developers Diversified Realty (c) 317,400 9,125
Federal Realty Investment Trust (c) 396,100 8,566
Kimco Realty Corp. (c) 283,100 10,758
Price, Inc. (The) Class B (c) 167,500 5,004
Sizeler Property Investors, Inc. (c) 174,300 1,656
Vornado Realty Trust (c) 288,200 10,051
Weingarten Realty Investors, Inc. (c) 77,100 2,910
-------
49,615
-------
OUTLET CENTERS - 0.3%
Chelsea GCA Realty, Inc. (c) 18,200 491
Tanger Factory Outlet Centers, Inc. (c) 13,500 343
-------
834
-------
REGIONAL MALLS - 21.6%
CBL & Associates Properties, Inc. (c) 284,000 5,645
DeBartolo Realty Corp. (c) 704,800 10,308
Glimcher Realty Trust (c) 337,800 7,009
J.P. Realty, Inc. (c) 277,800 5,695
Macerich Co. (c) 259,500 5,093
Rouse Co. (The) 578,300 11,349
Simon Property Group, Inc. (c) 214,900 5,399
Taubman Centers, Inc. 236,300 2,245
-------
52,743
-------
TOTAL COMMON STOCKS
(cost $222,250) 230,783
-------
</TABLE>
Specialty Funds Real Estate Securities Fund 3
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 5.8%
Frank Russell Investment Company
Money Market Fund, due on demand (a) $14,322 $14,322
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $14,322) 14,322
--------
TOTAL INVESTMENTS
(identified cost $236,572)(b) - 100.5% 245,105
OTHER ASSETS AND LIABILITIES,
NET - (0.5%) (1,287)
--------
NET ASSETS - 100.0% $243,818
--------
--------
<FN>
(a) At cost, which approximates market.
(b) At June 30, 1995, the cost for federal income tax purposes
was $236,677 and net unrealized appreciation for all securities
was $8,428. This consisted of aggregate gross unrealized
appreciation for all securities in which there was an excess of
market value over tax cost of $14,331 and aggregate gross
unrealized depreciation for all securities in which there was an
excess of tax cost over market value of $5,903.
(c) Real Estate Investment Trust.
</TABLE>
The accompanying notes are an integral part of the financial statements.
4 Real Estate Securities Fund Specialty Funds
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $236,571,532)(Note 2) . $245,104,686
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 706
Receivables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . 2,140,124
Investments sold . . . . . . . . . . . . . . . . . . . . . . . 775,302
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . 1,084,999
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . 1,180
------------
249,106,997
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . $4,944,136
Fund shares redeemed . . . . . . . . . . . . . . 113,888
Accrued management fees (Note 4) . . . . . . . . 167,411
Accrued transfer agent fees (Note 4) . . . . . . 14,611
Accrued bookkeeping service fees (Note 4). . . . 1,185
Other accrued expenses . . . . . . . . . . . . . 47,588 5,288,819
---------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $243,818,178
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . 3,523,629
Accumulated distributions in excess of net realized gain . . . (3,058,405)
Unrealized appreciation (depreciation) on investments. . . . . 8,533,154
Shares of beneficial interest. . . . . . . . . . . . . . . . . 107,846
Additional paid-in capital . . . . . . . . . . . . . . . . . . 234,711,954
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $243,818,178
------------
------------
Net asset value, offering and redemption price per share,
($243,818,178 divided by 10,784,575 shares of $.01 par value,
shares of beneficial interest outstanding). . . . . . . . . . . $22.61
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds Real Estate Securities Fund 5
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . $7,124,916
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 503,392
-----------
7,628,308
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $924,427
Custodian fees . . . . . . . . . . . . . . . . . 47,763
Bookkeeping service fees . . . . . . . . . . . . 2,480
Professional fees. . . . . . . . . . . . . . . . 5,750
Registration fees. . . . . . . . . . . . . . . . 15,964
Transfer agent fees. . . . . . . . . . . . . . . 104,361
Trustees' fees . . . . . . . . . . . . . . . . . 1,946
Miscellaneous. . . . . . . . . . . . . . . . . . 6,794 1,109,485
-------- -----------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 6,518,823
-----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments (Notes 2 and 3). . . . (1,567,072)
Net change in unrealized appreciation or depreciation of
investments . . . . . . . . . . . . . . . . . . . . . . . . . 288,324
-----------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . (1,278,748)
-----------
Net increase (decrease) in net assets resulting from
operations. . . . . . . . . . . . . . . . . . . . . . . . . . $5,240,075
-----------
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Real Estate Securities Fund Specialty Funds
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
INCREASE (DECREASE) IN NET ASSETS -------------------- ---------------------
<S> <C> <C>
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . $6,518,823 $ 10,250,499
Net realized gain (loss) from investments. . . . . . . . . . . . . . (1,567,072) 2,709,077
Net change in unrealized appreciation or depreciation
of investments during the period. . . . . . . . . . . . . . . . . 288,324 (787,306)
-------------------- ---------------------
Net increase (decrease) in net assets resulting from operations. . . . 5,240,075 12,172,270
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . (3,385,831) (10,055,022)
Net realized gain on investments . . . . . . . . . . . . . . . . . . -- (3,360,493)
In excess of net realized gain on investments. . . . . . . . . . . . -- (1,491,333)
Increase (decrease) in net assets from Fund share transactions . . . . 32,756,060 66,775,555
-------------------- ---------------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . 34,610,304 64,040,977
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . 209,207,874 145,166,897
-------------------- ---------------------
Net Assets at End of Period
(including undistributed net investment income
of $3,523,629 and $390,637, respectively). . . . . . . . . . . . . . $243,818,178 $209,207,874
-------------------- ---------------------
-------------------- ---------------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------------ ----------------------------
SHARES AMOUNT SHARES AMOUNT
FUND SHARE TRANSACTIONS ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 2,539,564 $ 55,513,567 4,115,042 $ 95,055,963
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . 124,814 2,697,550 543,891 12,030,634
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . (1,163,494) (25,455,057) (1,752,061) (40,311,042)
----------- ------------ ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . 1,500,884 $ 32,756,060 2,906,872 $ 66,775,555
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds Real Estate Securities Fund 7
<PAGE>
REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . . . $22.53 $22.76 $21.50 $19.33 $14.99 $19.31
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . .62 1.25 1.05 1.08 1.11 1.30
Net realized and unrealized gain (loss) on investments. . . (.20) .40 2.68 2.16 4.36 (4.30)
------ ------ ------ ------ ------ ------
Total From Investment Operations. . . . . . . . . . . . . . . .42 1.65 3.73 3.24 5.47 (3.00)
------ ------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . (.34) (1.23) (1.04) (1.07) (1.13) (1.32)
Net realized gain on investments. . . . . . . . . . . . . . -- (.45) (1.43) -- -- --
In excess of net realized gain on investments . . . . . . . -- (.20) -- -- -- --
------ ------ ------ ------ ------ ------
Total Distributions . . . . . . . . . . . . . . . . . . . . (.34) (1.88) (2.47) (1.07) (1.13) (1.32)
------ ------ ------ ------ ------ ------
NET ASSET VALUE
END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . $22.61 $22.53 $22.76 $21.50 $19.33 $14.99
------ ------ ------ ------ ------ ------
------ ------ ------ ------ ------ ------
TOTAL RETURN (%)(a ). . . . . . . . . . . . . . . . . . . . . 1.94 7.24 17.42 17.29 37.08 (15.92)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b). . . . . 1.02 1.05 1.11 1.20 1.26 .39
Operating expenses, gross, to average net assets (b). . . . 1.02 1.05 1.11 1.20 1.31 1.60
Net investment income to average net assets (b) . . . . . . 5.99 5.65 4.52 5.60 6.50 8.94
Portfolio turnover (b). . . . . . . . . . . . . . . . . . . 21.05 45.84 58.38 19.72 13.28 12.11
Net assets, end of period ($000 omitted). . . . . . . . . . 243,818 209,208 145,167 75,902 42,771 20,845
Per share amount of fees waived ($ omitted) . . . . . . . . -- -- -- -- -- .0491
Per share amount of fees reimbursed ($ omitted) . . . . . . -- -- -- -- .0076 .1155
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1995 are annualized.
</TABLE>
8 Real Estate Securities Fund Specialty Funds
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- ------
<S> <C> <C> <C> <C>
MUNICIPAL BONDS - 96.5%
ALASKA - 0.8%
North Slope, Borough of, Alaska, Series J, General Obligation $ 500 6.250% 06/30/96 $ 511
-------
511
-------
ARIZONA - 2.4%
Arizona State Transportation Board, Series A, Special Obligation
Revenue
(pre-refunded 07/01/01) 1,425 6.450 07/01/06 1,570
-------
1,570
-------
CALIFORNIA - 8.7%
California Health Facilities Financing, Series D, Health Care Revenue 500 5.600 07/01/97 514
California Health Facilities Financing, Series D, Health Care Revenue 665 5.750 07/01/98 692
California State Public Works Lease, Series A, State and
Local Appropriation 500 5.100 12/01/98 511
California State Public Works Lease, State and Local Appropriation 600 5.250 12/01/98 616
California, State of, General Obligation 850 6.100 11/01/01 909
Los Angeles County, California Transportation Participation Certificate,
Series B, Tax Revenue 760 5.900 07/01/00 779
Sacramento, California Municipal Utility District, Utility Revenue 1,000 6.000 07/01/01 1,060
San Diego County, California Transportation Commission,
Series A, Tax Revenue 500 5.000 04/01/98 509
-------
5,590
-------
COLORADO - 4.3%
Colorado Student Obligation Bond Authority, Series B, Student
Loan Revenue 135 6.125 12/01/98 139
Denver, Colorado, City and County, General Obligation 500 5.950 08/01/97 519
Jefferson County, Colorado Participation Certificate, Series 1988,
Special Obligations Revenue (pre-refunded 12/01/96) 1,000 7.050 12/01/96 1,042
Jefferson County, Colorado School District, Series A, General Obligation 1,000 5.500 12/15/01 1,044
-------
2,744
-------
CONNECTICUT - 2.1%
Connecticut, State of, Series A, General Obligation 1,350 5.500 06/15/96 1,372
-------
1,372
-------
DELAWARE - 1.6%
Delaware, State of, Series C, General Obligation 1,000 5.000 07/01/00 1,018
-------
1,018
-------
DISTRICT OF COLUMBIA - 0.8%
District of Columbia, Series A, General Obligation 500 7.250 06/01/98 535
-------
535
-------
</TABLE>
Specialty Funds Limited Volatility Tax Free Fund 9
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- ------
<S> <C> <C> <C> <C>
GEORGIA - 1.2%
DeKalb County, Georgia, General Obligation (pre-refunded 01/01/97) $ 700 7.300% 01/01/98 $ 746
-------
746
-------
HAWAII - 2.4%
Hawaii, State of, Series B-F, General Obligation
(pre-refunded 08/01/96) 500 6.900 08/01/97 523
Hawaii, State of, Series B-W, General Obligation 1,000 6.000 03/01/96 1,015
-------
1,538
-------
ILLINOIS - 8.8%
Chicago, Illinois, General Obligation 250 5.400 10/31/00 257
Chicago, Illinois School Financial Authority, Series A, State
and Local Appropriation 1,000 5.400 06/01/97 1,024
Chicago, Illinois, Series C, General Obligation 1,500 6.250 10/31/01 1,606
Chicago, Illinois Water Revenue, Special Obligation Revenue
(pre-refunded 11/01/96) 1,000 6.750 11/01/00 1,046
Illinois Health Facilities Authority, Series C, Special Obligation
Revenue
(pre-refunded 04/01/99) 500 7.500 04/01/18 560
Illinois, State of, General Obligation 500 5.500 08/01/00 515
Illinois, State of, General Obligation (pre-refunded 06/01/98) 625 5.800 06/01/98 652
-------
5,660
-------
IOWA - 1.6%
Iowa Student Loan Liquidity Corp., Series A, Student Loan Revenue 1,000 6.000 03/01/98 1,030
-------
1,030
-------
KENTUCKY - 1.6%
McCracken County, Kentucky Hospital Revenue, Series A, Health
Care Revenue 1,000 5.700 11/01/00 1,041
-------
1,041
-------
LOUISIANA - 1.6%
Louisiana Public Facilities Authority Revenue, Health Care Revenue 500 5.500 10/15/99 516
Louisiana, State of, Series A, General Obligation 500 5.300 05/15/01 512
-------
1,028
-------
MAINE - 1.2%
Maine, State of, General Obligation 770 5.900 07/01/96 787
-------
787
-------
MARYLAND - 0.8%
Baltimore County, Maryland, General Obligation 500 6.400 04/01/96 510
-------
510
-------
</TABLE>
10 Limited Volatility Tax Free Fund Specialty Funds
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- ------
<S> <C> <C> <C> <C>
MASSACHUSETTS - 4.8%
Massachusetts, Commonwealth of, Series A, General Obligation $ 500 7.250% 06/01/96 $ 515
Massachusetts State Water Reservoir Authority, Series C,
Utility Revenue 2,500 5.250 12/01/01 2,538
-------
3,053
-------
MICHIGAN - 3.3%
Michigan Municipal Bond Authority Revenue, Series B,
State and Local Appropriation 550 6.900 05/01/99 594
Michigan State, South Central Power Agency, Special Obligation Revenue
(pre-refunded 11/01/96) 1,000 7.250 11/01/06 1,062
Michigan State Trunk Line, Series A, Special Obligation Revenue
(pre-refunded 08/15/99) 400 7.000 08/15/17 444
-------
2,100
-------
MINNESOTA - 3.9%
Minneapolis St. Paul, Minnesota Metropolitan Council, Series D,
General Obligation 535 5.900 09/01/97 557
Minnesota, State of, General Obligation 655 6.500 08/01/95 657
Minnesota, State of, General Obligation 500 6.400 08/01/98 532
Minnesota, State of, General Obligation 700 5.600 10/01/99 734
-------
2,480
-------
NEW JERSEY - 2.4%
New Jersey, State of, General Obligation (pre-refunded 11/01/96) 1,000 7.300 11/01/98 1,047
New Jersey State Turnpike Authority, Series A, Turnpike Revenue 500 5.600 01/01/00 516
-------
1,563
-------
NEW YORK - 2.4%
New York City, New York, General Obligation 500 7.000 02/01/00 518
New York State Medical Care Facilities Finance Authority,
Series A, Health Care Revenue 1,000 4.900 02/15/99 1,013
-------
1,531
-------
PENNSYLVANIA - 1.7%
Lehigh County, Pennsylvania, Special Obligation Revenue
(pre-refunded 04/01/00) 500 6.900 08/01/11 559
Pennsylvania, State of, General Obligation 500 5.300 07/01/99 514
-------
1,073
-------
PUERTO RICO - 0.4%
Puerto Rico Public Finance Corp., Series B, Special Obligation Revenue
(pre-refunded 07/01/95)(b) 280 6.350 07/01/95 280
-------
280
-------
</TABLE>
Specialty Funds Limited Volatility Tax Free Fund 11
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- ------
<S> <C> <C> <C> <C>
RHODE ISLAND - 2.4%
Rhode Island Housing & Mortgage Finance Authority, Series A,
Housing Revenue $1,000 5.150% 07/01/01 $ 1,001
Rhode Island State Consolidated Capital Development, Series B,
General Obligation 500 6.000 05/15/97 517
-------
1,518
-------
SOUTH CAROLINA - 4.0%
Piedmont, South Carolina, Municipal Power Agency Service,
Series A, Utility Revenue 500 5.700 01/01/98 518
South Carolina, State Capital Improvement Revenue, Series A,
General Obligation 1,500 5.500 03/01/96 1,519
South Carolina, State Capital Improvement Revenue, Series S,
General Obligation (pre-refunded 08/01/96) 500 6.700 08/01/98 524
------
2,561
-------
SOUTH DAKOTA - 1.0%
South Dakota State Lease Revenue, Series B, State and
Local Appropriation 650 5.700 09/01/97 670
-------
670
-------
TENNESSEE - 2.4%
Memphis, Tennessee Electric System Revenue, Special Obligation Revenue
(pre-refunded 01/01/96) 1,000 7.500 01/01/98 1,024
Tennessee Housing Development Agency Mortgage Finance, Series A,
Housing Revenue 500 4.950 07/01/00 499
-------
1,523
-------
TEXAS - 14.8%
Abilene, Texas Health Facilities Development Corp.,
Medical Center A, Health Care Revenue 500 5.100 09/01/99 510
Arlington, Texas Independent School District, General Obligation 600 5.150 02/15/99 614
Austin, Texas, Zero Coupon, General Obligation 675 0.000 09/01/97 612
Harris County, Texas, General Obligation 1,250 5.600 10/01/97 1,292
Houston, Texas, General Obligation 850 5.600 03/01/00 882
Houston, Texas Independent School District, Series A, General Obligation 1,000 5.400 08/15/01 1,036
Houston, Texas Water & Sewer System Revenue, Special Obligation Revenue
(pre-refunded 12/01/97) 780 8.000 12/01/07 863
San Antonio, Texas Water Revenue, Utility Revenue 600 5.200 05/15/96 608
Texas National Research Laboratories, Special Obligation Revenue
(pre-refunded 12/01/95) 500 5.500 12/01/95 503
</TABLE>
12 Limited Volatility Tax Free Fund Specialty Funds
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
--------- ------ -------- ------
<S> <C> <C> <C> <C>
Texas, State of, Series C, General Obligation $1,500 5.000% 04/01/99 $ 1,531
Texas, State of, Special Obligation Revenue (pre-refunded 04/01/00) 500 7.125 04/01/20 560
Waco, Texas Waterworks and Sewer, Utility Revenue 500 5.400 09/01/99 517
-------
9,528
-------
UTAH - 0.8%
Intermountain Power Agency, Series B, Utility Revenue 500 7.200 07/01/99 545
-------
545
-------
VIRGINIA - 2.8%
Fairfax County, Virginia, Series B, General Obligation 750 5.000 06/01/00 767
Virginia State Public School Authority, Series B, State and
Local Appropriation 1,000 6.500 01/01/96 1,014
-------
1,781
-------
WASHINGTON - 7.9%
Washington, State of, Series C, General Obligation 2,000 5.500 07/01/99 2,075
Washington, State of, Series R-92 B, General Obligation 500 5.750 09/01/97 517
Washington, State of, Series R-92 C, General Obligation
(pre-refunded 09/01/96) 985 8.000 09/01/05 1,031
Washington State Public Power Supply System, Utility Revenue 500 6.300 07/01/01 524
Washington State Public Power Supply System, Series B, Utility Revenue 220 6.600 07/01/95 220
Washington State Public Power Supply System, Series C, Utility Revenue 650 7.200 07/01/99 700
-------
5,067
-------
WISCONSIN - 1.6%
Milwaukee, Wisconsin Metropolitan Sewer District, Utility
Revenue 1,000 5.400 09/01/96 1,018
-------
1,018
-------
TOTAL MUNICIPAL BONDS
(cost $60,994) 61,971
-------
SHORT-TERM TAX-EXEMPT OBLIGATIONS - 1.7%
Harris County, Texas, Industrial Development Corp.,
Series B, daily demand (b) 300 4.250 03/01/24 300
New York City, Municipal Water Finance Authority,
Series C, daily demand (b) 400 4.250 06/15/22 400
Phenix City, Alabama Environmental Impact, daily demand (b) 100 4.500 10/01/25 100
Uinta County, Wyoming Pollution Control Revenue,
daily demand (b) 300 4.050 08/15/20 300
-------
1,100
-------
TOTAL SHORT-TERM TAX-EXEMPT OBLIGATIONS
(cost $1,100) 1,100
-------
</TABLE>
Specialty Funds Limited Volatility Tax Free Fund 13
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
------
<S> <C>
TOTAL INVESTMENTS (identified cost $62,094)(a) - 98.2% $63,071
OTHER ASSETS AND LIABILITIES,
NET - 1.8% 1,126
-------
NET ASSETS - 100.0% $64,197
-------
-------
<FN>
(a) At June 30, 1995, the cost for federal income tax purposes was as shown
above and net unrealized appreciation for all securities was $976. This
consisted of aggregate gross unrealized appreciation for all securities in
which there was an excess of market value over tax cost of $1,003 and
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over market value of $27.
(b) Adjustable or floating rate security.
</TABLE>
QUALITY RATINGS AS % OF MARKET VALUE (UNAUDITED)
AAA 55%
AA 34
A 9
Cash Equivalents 2
ECONOMIC SECTOR EMPHASIS AS A % OF MARKET VALUE (UNAUDITED)
General Obligation 42%
Health Care Revenue 7
Housing Revenue 2
Refunded and Special Obligation Revenue 22
State and Community Lease 7
Student Loan Revenue 2
Utility Revenue 13
Other 3
Cash Equivalents 2
The accompanying notes are an integral part of the financial statements.
14 Limited Volatility Tax Free Fund Specialty Funds
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $62,094,288)(Note 2) . . . $63,070,774
Cash. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,290
Receivables:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,045,475
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . 117,516
Prepaid expenses. . . . . . . . . . . . . . . . . . . . . . . . . 545
-----------
64,248,600
LIABILITIES
Payables:
Accrued management fees (Note 4) . . . . . . . . $26,095
Accrued transfer agent fees (Note 4) . . . . . . 4,883
Other accrued expenses . . . . . . . . . . . . . 20,925 51,903
----------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $64,196,697
-----------
-----------
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . . . . $146,811
Accumulated net realized gain (loss). . . . . . . . . . . . . . . (1,488,610)
Unrealized appreciation (depreciation) on investments . . . . . . 976,486
Shares of beneficial interest . . . . . . . . . . . . . . . . . . 30,470
Additional paid-in capital. . . . . . . . . . . . . . . . . . . . 64,531,540
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $64,196,697
-----------
-----------
Net asset value, offering and redemption price per share
($64,196,697 divided by 3,047,036 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . $21.07
-----------
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds Limited Volatility Tax Free Fund 15
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,239,562
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $139,221
Custodian fees . . . . . . . . . . . . . . . . . 25,219
Professional fees. . . . . . . . . . . . . . . . 4,801
Registration fees. . . . . . . . . . . . . . . . 14,787
Transfer agent fees. . . . . . . . . . . . . . . 15,138
Trustees' fees . . . . . . . . . . . . . . . . . 1,933
Miscellaneous. . . . . . . . . . . . . . . . . . 2,466 203,565
-------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 1,035,997
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments (Notes 2 and 3). . . . (97,414)
Net change in unrealized appreciation or depreciation of
investments. . . . . . . . . . . . . . . . . . . . . . . . . . 1,552,493
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . 1,455,079
-------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . $2,491,076
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
16 Limited Volatility Tax Free Fund Specialty Funds
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,035,997 $ 2,391,825
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . (97,414) (476,148)
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . 1,552,493 (2,209,158)
-------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . 2,491,076 (293,481)
Distributions to shareholders from net investment income . . . . . . . . . . . . . . . . . (922,224) (2,380,708)
Increase (decrease) in net assets from fund share transactions . . . . . . . . . . . . . . 13,652,973 437,904
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,221,825 (2,236,285)
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,974,872 51,211,157
-------------- -------------
Net Assets at End of Period
(including undistributed net investment income
of $146,811 and $33,038, respectively) . . . . . . . . . . . . . . . . . . . . . . . . . $ 64,196,697 $ 48,974,872
-------------- -------------
-------------- -------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 1,227,561 $ 25,557,729 1,896,826 $ 39,960,833
Fund shares issued to shareholders in
reinvestments of distributions . . . . . . . . . . . . . . . . . . 30,690 638,435 76,050 1,585,125
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (602,800) (12,543,191) (1,968,389) (41,108,054)
----------- ----------- ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . 655,451 $ 13,652,973 4,487 $ 437,904
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds Limited Volatility Tax Free Fund 17
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $20.48 $ 21.45 $ 21.03 $ 20.85 $20.49 $ 20.51
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .38 .86 .94 1.01 1.17 1.25
Net realized and unrealized gain (loss) on investments . . . . . .55 (.97) .42 .18 .35 (.03)
-------- -------- -------- -------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . .93 (.11) 1.36 1.19 1.52 1.22
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.34) (.86) (.94) (1.01) (1.16) (1.24)
In excess of net investment income . . . . . . . . . . . . . . . -- -- (.00) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.34) (.86) (.94) (1.01) (1.16) (1.24)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $ 21.07 $ 20.48 $ 21.45 $ 21.03 $ 20.85 $ 20.49
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 4.57 (0.54) 6.58 5.85 7.64 6.12
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) . . . . . . . . . . .73 .72 .75 .80 .84 .86
Net investment income to average net assets (b). . . . . . . . . 3.72 4.14 4.40 4.89 5.68 6.06
Portfolio turnover (c) . . . . . . . . . . . . . . . . . . . . . 73.73 71.71 24.05 18.21 129.12 99.00
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 64,197 48,975 51,211 38,399 26,173 23,553
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratio for the period ended June 30, 1995 is annualized.
(c) Beginning in 1992, variable rate daily demand securities
were excluded from the portfolio turnover calculation.
</TABLE>
18 Limited Volatility Tax Free Fund Specialty Funds
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- -------- --------- ---------
<S> <C> <C> <C> <C>
United States Government Agencies - 76.5%
Aid to Chile Guaranteed Note (LIBOR Floater)(a) $ 7,017 5.938% 06/01/05 $ 7,025
Aid to Sri Lanka Guaranteed Note (LIBOR Floater)(a) 4,250 6.075 06/15/12 4,300
Federal Farm Credit Bank Bonds 2,265 6.300 09/01/95 2,265
Federal Farm Credit Bank Bonds 6,265 5.790 10/02/95 6,248
Federal Home Loan Bank (LIBOR Range Floater)(a) 4,000 0.000 01/25/96 3,840
Federal Home Loan Bank (LIBOR Step-up Floater)(a) 4,075 5.000 02/05/96 4,046
Federal Home Loan Bank 5,000 6.600 04/26/96 5,000
Federal Home Loan Bank (a) 5,000 6.400 05/15/96 5,002
Federal Home Loan Bank Discount Note 1,125 6.110 08/14/95 1,117
Federal Home Loan Bank Discount Note 3,000 6.200 08/18/95 2,975
Federal Home Loan Bank Discount Note 2,455 6.430 11/06/95 2,399
Federal Home Loan Bank MTN 3,000 4.270 10/10/95 2,986
Federal Home Loan Bank MTN 1,000 5.550 04/12/96 991
Federal National Mortgage Association MTN 10,000 3.500 07/26/95 9,983
Federal National Mortgage Association MTN (a) 3,215 4.470 10/20/95 3,188
Federal National Mortgage Association MTN (a) 5,000 6.020 08/30/96 4,998
Federal National Mortgage Association MTN (a) 5,000 5.530 04/04/97 4,969
Security Market Savings Bank 28,388 6.000 07/27/95 28,265
Student Loan Marketing Association Note (LIBOR Floater)(a) 1,000 0.000 08/25/95 990
--------
TOTAL UNITED STATES GOVERNMENT AGENCIES
(cost $100,587) 100,587
--------
TOTAL INVESTMENTS (amortized cost $100,587) - 76.5% 100,587
--------
REPURCHASE AGREEMENTS - 23.6%
Agreement with Barclays de Zoete Wedd and Bank of New York
(Tri-Party) of $30,993, acquired June 30, 1995 at 6.180%
to be repurchased at $31,009 on July 3, 1995 collateralized by:
$134 United States Treasury Bills, due 08/17/95, valued at $133;
and $11,576 United States Treasury Notes, due 08/15/95 to 11/15/95,
valued at $11,788; and $20,410 Student Loan Marketing Association
Notes, due 08/10/95 to 12/14/95, valued at $20,556 30,993
--------
TOTAL REPURCHASE AGREEMENTS (cost $30,993) 30,993
--------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS
(cost $131,580)(b) - 100.1% 131,580
OTHER ASSETS AND LIABILITIES, NET - (0.1%) (141)
--------
NET ASSETS - 100.0% $131,439
--------
--------
<FN>
* The interest rate for all securities with a maturity greater than thirteen
months has an automatic reset feature resulting in an effective maturity of
thirteen months or less.
(a) Adjustable or floating rate security.
(b) The identified cost for federal income tax purposes is the same as shown
above.
(MTN) represents Medium Term Note.
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds U.S. Government Money Market Fund 19
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investments at amortized cost which approximates market (Note 2). . . . . . . . . . . . . . . . . . . . . . . . $ 100,586,431
Repurchase agreements (identified cost $30,993,490)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . . 30,993,490
Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 520,987
Prepaid expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,426
--------------
132,122,334
LIABILITIES
Payables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 637,804
Accrued transfer agent fees (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,221
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,517 683,542
-------------- --------------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 131,438,792
--------------
--------------
NET ASSETS CONSIST OF:
Shares of beneficial interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,314,388
Additional paid-in capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130,124,404
--------------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 131,438,792
--------------
--------------
Net asset value, offering and redemption price per share
($131,438,792 divided by 131,438,792 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
20 U.S. Government Money Market Fund Specialty Funds
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME,
<S> <C>
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,053,417
<S> <C>
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 163,859
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,984
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,625
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,988
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97,797
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,938
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,436
--------------
Expenses before waiver . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 313,627
Management fees waived (Note 4). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (87,118) 226,509
-------------- --------------
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,826,908
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,826,908
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds U.S. Government Money Market Fund 21
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income and net increase
in net assets resulting from operations. . . . . . . . . . . . . . . . . $ 3,826,908 $ 3,251,920
Distributions to shareholders from net investment income . . . . . . . . . . (3,826,908) (3,251,920)
Increase (decrease) in net assets from Fund share transactions . . . . . . . 19,361,830 16,667,251
------------------- ------------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . 19,361,830 16,667,251
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . 112,076,962 95,409,711
------------------- -----------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . $ 131,438,792 112,076,962
------------------- -----------------
------------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226,575,540 360,755,315
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . . . . . 2,591,047 1,794,043
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . (209,804,757) (345,882,107)
------------------- -----------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . 19,361,830 16,667,251
------------------- -----------------
------------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
22 U.S. Government Money Market Fund Specialty Funds
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected date for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .0289 .0380 .0284 .0347 .0573 .0773
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.0289) (.0380) (.0284) (.0347) (.0573) (.0773)
------- ------- ------- ------- ------- -------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 2.93 3.87 2.88 3.53 5.90 8.04
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average daily net assets (b)(c). . . .35 .57 .49 .41 .38 .41
Operating expenses, gross, to average daily net assets (b)(c). . .48 .57 .49 .41 .38 .41
Net investment income to average daily net assets (b). . . . . . 5.84 3.91 2.85 3.47 5.74 7.69
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 131,439 112,077 95,410 153,976 182,747 191,623
Per share amount of fees waived ($ omitted)(c) . . . . . . . . . .0007 -- -- -- -- --
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
(c) See Note 4.
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds U.S. Government Money Market Fund 23
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
ALABAMA - 2.5%
Bessemer, Alabama Medical Clinic Mortgage Revenue (pre-refunded 10/01/95) $ 975 9.500% 10/01/14 $ 1,007
Mobile, Alabama Industrial Development Revenue, weekly demand 1,150 4.250(2) 12/01/97 1,150
--------
2,157
--------
ARIZONA - 3.2%
Arizona Health Facilities Authority Revenue, weekly demand 1,700 4.100(2) 10/01/15 1,700
Maricopa County, Arizona School District 28 Series D (pre-refunded 07/01/95) 200 7.000 07/01/99 204
Maricopa County, Arizona Industrial Development Authority, weekly demand 900 4.750(2) 10/01/04 900
--------
2,804
--------
ARKANSAS - 1.2%
Blytheville, Arkansas Industrial Development Revenue, weekly demand 1,000 4.600(2) 09/01/04 1,000
--------
1,000
--------
CALIFORNIA - 3.5%
California Health Facilities Financing Authority Revenue, daily demand 200 4.050(1) 03/01/20 200
Contra Costa County, California Multi-family Housing Series A, weekly demand 1,050 4.000(2) 08/01/07 1,050
Corono, California Multi-family Housing, weekly demand 1,300 3.850(2) 02/01/20 1,300
San Diego County, California Multi-family Housing Series A, weekly demand 475 5.580(2) 12/01/07 475
--------
3,025
--------
COLORADO - 0.7%
Denver, Colorado City and County Multi-family Housing Revenue, daily demand 600 4.250(1) 12/01/09 600
--------
600
--------
CONNECTICUT - 0.6%
Connecticut State General Obligation 540 8.800 11/15/95 548
--------
548
--------
FLORIDA - 4.4%
Boca Raton, Florida Industrial Development Authority Revenue, weekly demand 425 4.375(2) 12/01/14 425
Broward County, Florida Multi-family Housing Revenue, weekly demand 1,875 4.250(2) 12/01/10 1,875
Lee County, Florida Industrial Development Authority Revenue, weekly demand 1,430 4.375(2) 04/01/10 1,430
Orlando, Florida Utilities Commission Water and Electric Revenue
(pre-refunded 10/01/95) 100 8.300 10/01/97 103
--------
3,833
--------
GEORGIA - 4.1%
Atlanta & Fulton County, Georgia Recreation Authority Revenue 500 7.800 11/01/95 506
Cobb County, Georgia Multi-family Housing Authority, weekly demand 600 4.250(2) 12/01/97 600
DeKalb County, Georgia Multi-family Housing Revenue, weekly demand 1,780 4.125(2) 12/01/07 1,780
</TABLE>
Specialty Funds Tax Free Money Market Fund 25
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
Gwinnett County, Georgia School District (pre-refunded 02/01/96) $ 200 7.500% 02/01/03 $ 209
Muscogee County, Georgia School District (pre-refunded 11/01/95) 400 7.400 11/01/96 413
--------
3,508
--------
ILLINOIS - 11.5%
Chicago, Illinois Equipment Tender Notes Series D 2,500 4.300 09/21/95 2,500
East Peoria, Illinois Multi-family Housing Authority, weekly demand 2,000 4.250(2) 06/01/08 2,000
Illinois Industrial Development Revenue, weekly demand 3,000 4.500(2) 12/01/05 3,000
Illinois Development Finance Authority, quarterly demand 700 4.500(4) 08/01/25 700
St. Clair County, Illinois Industrial Development Board Revenue,
weekly demand 1,000 4.500(2) 10/01/15 1,000
Troy Grove, Illinois, weekly demand 750 5.310(2) 05/01/10 750
--------
9,950
--------
INDIANA - 5.0%
East Chicago, Indiana School City Tax Anticipation Notes 1,000 5.750 12/29/95 1,001
Fort Wayne, Indiana Economic Development Revenue, weekly demand 400 4.125(2) 12/01/03 400
Wayne Township, Indiana Metropolitan School District 1,000 3.950 01/01/96 1,000
Wayne Township, Indiana Metropolitan School District 1,000 4.000 01/01/96 1,000
Westfield, Indiana Economic Development 900 4.050 12/01/95 900
--------
4,301
--------
KANSAS - 0.9%
Leawood, Kansas 800 4.000 03/15/96 800
--------
800
--------
KENTUCKY - 5.6%
Elsmere City, Kentucky Industrial Building Revenue, semiannual demand 525 5.250(5) 02/01/06 525
Kentucky Development Finance Authority, Health Care Revenue, weekly demand 2,100 4.100(2) 09/01/06 2,100
Ohio County, Kentucky Pollution Control Revenue, weekly demand 2,200 4.350(2) 10/01/15 2,200
--------
4,825
--------
LOUISIANA - 0.1%
New Orleans, Louisana Public Improvement Series B 100 8.000 09/01/95 101
--------
101
--------
MARYLAND - 1.2%
Montgomery County, Maryland Industrial Development Revenue, monthly demand 1,000 3.700(3) 04/01/14 1,000
--------
1,000
--------
</TABLE>
26 Tax Free Money Market Fund Specialty Funds
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
MASSACHUSETTS - 1.0%
Haverhill, Massachusettes General Obligation (pre-refunded 12/01/95) $ 500 8.875% 12/01/10 $ 520
Massachusetts State Convention Center Authority Series A
(pre-refunded 09/01/95) 240 8.800 09/01/99 247
Massachusetts State Health & Education Facilities
Authority Revenue (pre-refunded 07/01/95) 100 9.125 07/01/17 103
--------
870
--------
MICHIGAN - 5.5%
Lansing, Michigan Economic Development Corp., semiannual demand 1,830 4.350(5) 05/01/15 1,830
Livonia, Michigan Economic Development Corp., semiannual demand 335 4.600(5) 11/15/04 335
McDonald Tax-Exempt Mortgage Bond Trust, thirteen-month demand 180 5.350(7) 01/15/09 180
Michigan State Strategic Fund Revenue, annual demand 50 4.350(6) 06/01/11 50
Michigan State Strategic Fund Revenue, weekly demand 2,370 4.275(2) 11/01/01 2,370
--------
4,765
--------
MINNESOTA - 4.1%
Golden Valley, Minnesota, Industrial Development Revenue, weekly demand 600 4.250(2) 12/01/02 600
Mendota Heights, Minnesota Commercial Development, weekly demand 1,650 4.150(2) 12/01/15 1,650
Minneapolis, Minnesota General Obligation Series A, weekly demand 1,325 4.050(2) 12/01/05 1,325
--------
3,575
--------
MISSISSIPPI - 2.0%
DeSoto County, Mississippi Industrial Development Revenue, weekly demand 1,000 4.200(2) 12/01/08 1,000
Jackson, Mississippi Public School District 725 4.100 04/01/96 725
--------
1,725
--------
MISSOURI - 0.6%
Kansas City, Missouri Industrial Development Authority Revenue, weekly demand 500 4.450(2) 08/01/18 500
--------
500
--------
NEBRASKA - 0.6%
Oshkosh, Nebraska Industrial Development Revenue, semiannual demand 490 4.450(5) 12/01/96 490
--------
490
--------
NORTH CAROLINA - 0.6%
North Carolina State Prison Facility Series B 500 4.250 06/01/96 501
--------
501
--------
OHIO - 11.0%
Brecksville Broadview Heights, Ohio 500 5.710 01/18/96 500
Buckeye, Ohio Tax-Exempt Mortgage Bond Trust, semiannual demand 525 5.200(5) 02/01/05 525
Cincinnati & Hamilton County, Ohio Port Authority Revenue, quarterly demand 260 4.350(4) 09/01/99 260
Citizens Federal Tax-Exempt Mortgage Bond Trust, semiannual demand 80 5.050(5) 09/01/08 80
Clark County, Ohio Hospital Improvement Revenue, semiannual demand 155 4.800(5) 04/01/09 155
</TABLE>
Specialty Funds Tax Free Money Market Fund 27
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
Clermont County, Ohio Economic Development Revenue, semiannual demand $ 220 4.800(5)% 05/01/12 $ 220
Cuyahoga, Ohio Industrial Development Revenue, semiannual demand 295 4.200(5) 06/01/99 295
Franklin County, Ohio Industrial Development Revenue, semiannual demand 280 4.550(5) 04/01/15 280
Franklin County, Ohio Industrial Development Revenue, semiannual demand 180 4.300(5) 11/01/15 180
Mahoning County, Ohio Industrial Development Revenue Project A, weekly demand 80 4.200(2) 10/01/00 80
Mahoning County, Ohio Industrial Development Revenue Project B, weekly demand 15 4.200(2) 10/01/00 15
McDonald Tax-Exempt Mortgage Bond Trust, thirteen-month demand 840 5.350(7) 01/15/09 840
Montgomery County, Ohio Economic Development Authority Revenue,
semiannual demand 500 4.200(5) 12/15/04 500
North Olmsted, Ohio General Obligation 500 4.670 06/20/96 502
North Olmsted, Ohio General Obligation 1,300 4.550 07/20/95 1,300
Ohio State Economic Development Revenue, semiannual demand 705 5.000(5) 03/01/98 705
Scioto County, Ohio Health Care Facilities, semiannual demand 745 4.200(5) 12/01/15 745
Stark County, Ohio Health Care Facilities, semiannual demand 1,745 4.450(5) 09/15/16 1,745
Trumbull County, Ohio Industrial Development Revenue, weekly demand 595 4.200(2) 04/01/04 595
--------
9,522
--------
OKLAHOMA - 5.0%
Creek County, Oklahoma Industrial Development Authority Revenue,
semiannual demand 415 4.250(5) 12/01/05 415
Tulsa, Oklahoma Industrial Development Authority, weekly demand 800 4.125(2) 09/01/03 800
Tulsa, Oklahoma University Revenue, weekly demand 1,000 4.250(2) 12/01/15 1,000
Tulsa, Oklahoma Public Facility Authority, semiannual demand 2,145 4.350(5) 05/15/08 2,145
--------
4,360
--------
OREGON - 1.1%
Port of Portland, Oregon Public Grain, weekly demand 950 4.250(2) 12/01/14 950
--------
950
--------
PENNSYLVANIA - 6.0%
Commonwealth Tax-Exempt Mortgage Bond Trust, semiannual demand 865 4.500(5) 11/01/05 865
McDonald Tax-Exempt Mortgage Bond Trust, thirteen-month demand 180 5.350(7) 01/15/09 180
Montgomery County, Pennsylvania Higher Education
& Health Facilities Revenue, weekly demand 1,400 4.150(2) 09/01/18 1,400
Pennsylvania State Higher Education Facilities Authority, nine-month demand 750 3.900(9) 06/01/18 750
Schuylkill County, Pennsylvania Industrial Development Authority,
daily demand 2,000 4.450(1) 11/01/09 2,000
--------
5,195
--------
RHODE ISLAND - 2.9%
Cranston, Rhode Island General Obligation 1,000 4.300 07/17/95 1,000
Narragansett, Rhode Island Bay Water 1,500 5.000 01/19/96 1,506
--------
2,506
--------
</TABLE>
28 Tax Free Money Market Fund Specialty Funds
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- -------- --------- --------
<S> <C> <C> <C> <C>
SOUTH CAROLINA - 1.7%
Educational Television Commission $ 450 7.500% 09/01/95 $ 452
York County, South Carolina Pollution Control Revenue, semiannual demand 1,000 4.300(5) 09/15/14 1,000
--------
1,452
--------
SOUTH DAKOTA - 2.3%
Sioux Falls, South Dakota Industrial Development Revenue, weekly demand 2,005 4.250(2) 06/01/06 2,005
--------
2,005
--------
TENNESSEE - 1.9%
Franklin County, Tennessee Health and Education Facilities, monthly demand 1,600 4.500(3) 09/01/10 1,600
--------
1,600
--------
TEXAS - 3.5%
Bexar County, Texas Health Facilities Development Corp., weekly demand 680 4.000(2) 03/01/12 680
El Paso, Texas General Obligation Series A 400 7.125 08/01/95 401
Harris County, Texas Hospital District (pre-refunded 04/01/96) 175 8.500 04/01/15 185
Harris County, Texas Toll Road Series F, weekly demand 1,750 3.750(2) 08/01/15 1,750
--------
3,016
--------
UTAH - 1.4%
Trementon City, Utah Industrial Development Revenue, semiannual demand 1,190 3.950(5) 12/01/03 1,190
--------
1,190
--------
VIRGINIA - 0.8%
Virginia State Housing Development Authority Revenue, weekly demand 700 3.850(2) 09/01/17 700
--------
700
--------
WEST VIRGINIA - 2.3%
Charleston, West Virginia Building Community Parking Facility
Revenue, weekly demand 2,000 4.250(2) 12/01/16 2,000
--------
2,000
--------
WISCONSIN - 2.6%
Kenosha, Wisconsin Unified School District 1,250 5.000 08/25/95 1,251
Kettle Moraine, Wisconsin School District 300 4.440 08/22/95 300
Oshkosh, Wisconsin Area School District 750 4.500 09/14/95 750
--------
2,301
--------
</TABLE>
Specialty Funds Tax Free Money Market Fund 29
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30,1995 (Unaudited)
<TABLE>
<CAPTION>
VALUE
(000)
--------
<S> <C>
TOTAL INVESTMENTS (amortized cost $87,675)(a) - 101.4% $ 87,675
OTHER ASSETS AND LIABILITIES, NET - (1.4)% (1,196)
--------
NET ASSETS - 100.0% $ 86,479
--------
--------
<FN>
(a) The identified cost for federal income tax purposes is the same as shown
above.
</TABLE>
*All securities with a maturity date greater than thirteen months have a demand
feature, or an optional or mandatory put, or are pre-refunded resulting in an
effective maturity of thirteen months or less.
Variable Rate:
(1) Daily
(2) Weekly
(3) Monthly
(4) Quarterly
(5) Semiannual
(6) Annual
(7) Thirteen-month
(8) Eight-month
(9) Nine-month
The accompanying notes are an integral part of the financial statements.
30 Tax Free Money Market Fund Specialty Funds
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30,1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . $87,674,823
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,242
Receivables:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 751,911
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 600,000
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,855
-----------
89,076,831
LIABILITIES
Payables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . $ 263,106
Investments purchased. . . . . . . . . . . . . . . . . 2,308,203
Accrued management fees (Note 4) . . . . . . . . . . . 17,834
Other accrued expenses . . . . . . . . . . . . . . . . 9,094 2,598,237
---------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $86,478,594
-----------
-----------
NET ASSETS CONSIST OF:
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . $ 864,786
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . 85,613,808
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $86,478,594
-----------
-----------
Net asset value, offering and redemption price per share
($86,478,594 divided by 86,478,594 shares $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . $1.00
-----------
-----------
</TABLE>
The accompanying notes are an integral part of the finaicial statements.
Specialty Funds Tax Free Money Market Fund 31
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,887,623
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $111,525
Custodian fees . . . . . . . . . . . . . . . . . 22,065
Professional fees. . . . . . . . . . . . . . . . 3,521
Registration fees. . . . . . . . . . . . . . . . 26,296
Transfer agent fees. . . . . . . . . . . . . . . 22,765
Trustees' fees . . . . . . . . . . . . . . . . . 1,938
Miscellaneous. . . . . . . . . . . . . . . . . . 1,093 189,203
-------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 1,698,420
-----------
Net increase (decrease) in net assets resulting from operations. $1,698,420
-----------
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
32 Tax Free Money Market Fund Specialty Funds
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income and net increase
in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . $1,698,420 2,585,604
Distributions to shareholders from net investment income . . . . . . . . . . . . . . . . . (1,698,420) (2,585,604)
Increase (decrease) in net assets from fund share transactions . . . . . . . . . . . . . . (14,340,288) 32,665,032
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . (14,340,288) 32,665,032
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,818,882 68,153,850
-------------- -------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $86,478,594 100,818,882
-------------- -------------
-------------- -------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS)
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,566,750 198,014,484
Fund shares issued to shareholders in reinvestments of distributions . . . . . . . . . . . 520,656 524,203
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (89,427,694) (165,873,655)
-------------- -------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (14,340,288) 32,665,032
-------------- -------------
-------------- -------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds Tax Free Money Market Fund 33
<PAGE>
TAX FREE MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993 1992 1991 1990
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .0189 .0279 .0251 .0304 .0473 .0582
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.0189) (.0279) (.0251) (.0304) (.0473) (.0582)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 1.91 2.83 2.55 3.09 4.84 5.99
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average daily net assets (b) . . . . .42 .40 .43 .45 .45 .45
Operating expenses, gross, to average net assets (b) . . . . . . .42 .40 .43 .45 .46 .52
Net investment income to average daily net assets (b). . . . . . 3.81 2.84 2.52 3.03 4.73 5.82
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 86,479 100,819 68,154 73,203 61,288 59,892
Per share amount of fees reimbursed ($ omitted). . . . . . . . . -- -- -- -- .0001 .0007
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1995 are annualized.
</TABLE>
34 Tax Free Money Market Fund Specialty Funds
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 22 different investment portfolios referred to as "Funds."
These financial statements report on four Funds, each of which has distinct
investment objectives and strategies. The Investment Company is registered
under the Investment Company Act of 1940, as amended, as a diversified, open-
end management investment company, and is organized and operates as a
Massachusetts business trust under an amended master trust agreement dated
July 26, 1984. The Investment Company's master trust agreement permits the
Board of Trustees to issue an unlimited number of full and fractional shares
of beneficial interest at a $.01 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies (except as noted below) are consistently followed by the Funds in
the preparation of these financial statements.
SECURITY VALUATION: United States equity and fixed-income securities listed
and traded principally on any national securities exchange are valued on the
basis of the last sale price or, lacking any sale, at the closing bid price,
on the primary exchange on which the security is traded. United States over-
the-counter equity and fixed-income securities are valued on the basis of the
closing bid price. Many fixed-income securities do not trade each day and,
thus, last sale or bid prices are frequently not available. Fixed-income
securities, therefore, may be valued using prices provided by a pricing
service when such prices are believed to reflect the fair market value of
such securities.
The U.S. Government Money Market and the Tax Free Money Market Funds'
portfolio investments are valued on the basis of amortized cost, a method by
which each portfolio instrument is initially valued at cost, and thereafter a
constant accretion/amortization to maturity of any discount or premium is
assumed. Both Funds utilize the amortized cost valuation method in accordance
with Rule 2a-7 of the Investment Company Act of 1940, as amended. Money
market instruments maturing within 60 days of the valuation date held by
Funds other than the U.S. Government Money Market and Tax Free Money Market
Funds are also valued at "amortized cost" unless the Board of Trustees
determines that amortized cost does not represent fair value.
Municipal investments of the Limited Volatility Tax Free Fund are appraised
or priced by an independent pricing source, approved by the Board of
Trustees, which utilizes information with respect to bond transactions,
quotations from bond dealers, market transactions in comparable securities,
and various relationships between securities.
The Funds may value certain securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to
procedures established by the Board of Trustees.
INVESTMENT TRANSACTIONS: Securities transactions are recorded on a trade date
basis. The Funds, except the Limited Volatility Tax Free and Tax Free Money
Market Funds, may lend portfolio securities with a value of up to 50% of
their total assets. The Funds will receive cash, U.S. government treasuries
or U.S. government agency securities as collateral. The Funds will retain
most rights of beneficial ownership, including dividends, interest or other
distributions on the loaned securities. Realized gains and losses from
securities transactions are recorded on the basis of identified cost incurred
by each money manager.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded on the accrual basis. Distributions from Real
Estate Investment Trusts (REITs) owned by the Real Estate Securities Fund may
have as their components dividend income, capital gains and/or returns of
capital. Distributions that are deemed to be capital gains or returns of
capital by the trusts are treated by the Fund, respectively, as an adjustment
to its realized capital gains or its cost of the investment. The exact amount
to be adjusted can be ascertained only at the end of each REIT's fiscal year
when finally determined and reported by the various trusts.
AMORTIZATION AND ACCRETION: Discounts and premiums for the Limited Volatility
Tax Free Fund, all zero-coupon bond discounts, and original issue discounts
are amortized/accreted for both tax and financial reporting purposes. All
short-term premiums/discounts are amortized/accreted for both tax and
financial reporting purposes.
FEDERAL INCOME TAXES: As a Massachusetts business trust, each Fund is a
separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to each Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
SPECIALITY FUNDS NOTES TO FINANCIAL STATEMENTS 35
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
It is each Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. No federal income tax provision was
required for the year ended December 31, 1994. From November 1, 1994 to
December 31, 1994, certain Funds incurred net realized capital losses. As
permitted by tax regulations, the following Funds intend to elect to defer
these losses indicated below and treat them as arising in the year ending
December 31, 1995.
Real Estate Securities 1,346,075 Limited Volatility Tax Free $ 130,644
At December 31, 1994, Limited Volatility Tax Free Fund had net tax basis
capital loss carryovers which may be applied against any realized net taxable
gains in each succeeding year or until their respective expiration dates,
whichever occurs first. Available capital loss carryovers and expiration
dates are as follows:
<TABLE>
<CAPTION>
12/31/95 12/31/96 12/31/97 12/31/98 12/31/99 12/31/02 Total
----------- ----------- ----------- ---------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Limited Volatility Tax Free $ (162,781) $ (238,975) $ (103,283) $ (26,604) $ (383,404) $ (345,504) $ (1,260,551)
</TABLE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: For all Funds, income dividends
and capital gain distributions, if any, are recorded on the ex-dividend date.
Dividends are generally declared and paid quarterly except for the Limited
Volatility Tax Free Fund, which generally declares and pays dividends
monthly, and the U.S. Government Money Market and Tax Free Money Market
Funds, which declare and record dividends daily and pay them monthly. Capital
gain distributions are generally declared and paid annually. An additional
distribution may be paid by the Funds to avoid imposition of federal income
tax on any remaining undistributed capital gains and net investment income.
The timing and characterization of certain income and capital gains
distributions are determined in accordance with federal tax regulations which
may differ from generally accepted accounting principles ("GAAP"). As a
result, net investment income and net realized gain (or loss) on investment
and foreign currency-related transactions for a reporting period may differ
significantly from distributions during such period. The differences between
tax regulations and GAAP primarily relate to investments in certain
securities sold at a loss and return of capital distributions. Accordingly, a
Fund may periodically make reclassifications among certain of its capital
accounts without impacting its net asset value.
EXPENSES: Expenses such as management fees, trustees' fees, custodian fees,
bookkeeping service fees, transfer agent fees and registration fees are
charged directly to the individual Funds; while indirect expenses such as
printing, professional fees and insurance are allocated among the Funds,
principally based on their relative net assets.
REPURCHASE AGREEMENTS: The Funds may engage in repurchase agreements with
several financial institutions whereby the Funds, through their custodian,
receive delivery of the underlying securities. Each Fund's Money Manager will
monitor repurchase agreements daily to determine that the market value
(including accrued interest) at Fedwire closing time of the underlying
securities remains at least equal to 102% of the repurchase price. The Money
Manager will notify the Seller to immediately increase the collateral on the
repurchase agreement to 102% of the repurchase price if collateral value
falls below 102%.
3. INVESTMENT TRANSACTIONS
SECURITIES: During the six months ended June 30, 1995, purchases and sales
of investment securities excluding U.S. Government and Agency obligations,
short-term investments, options, futures and repurchase agreements were as
follows:
<TABLE>
<CAPTION>
Purchases Sales Purchases Sales
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Real Estate Securities $ 57,825,598 $ 24,093,551 Limited Volatility Tax Free $ 34,482,328 $ 19,892,148
</TABLE>
36 NOTES TO FINANCIAL STATEMENTS SPECIALITY FUNDS
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
U.S. Government Money Market purchases, sales and maturities of U.S.
Government and Agency obligations (excluding repurchase agreements) were
$172,562,282, $18,624,795 and $164,037,726, respectively.
Tax Free Money Market purchases, sales and maturities of short-term tax
exempt obligations were $119,726,057, $119,574,790 and $14,685,000,
respectively.
4. RELATED PARTIES
For the six months ended June 30, 1995, the management fee paid to Frank
Russell Investment Management Company ("FRIMCo" or "Manager"), in accordance
with the Investment Company's Management Agreement with that firm amounted to
$1,339,032. Such fee is payable monthly and is equal to the annual rate, by
Fund, shown in the table below, of the average daily net assets of the
applicable Fund.
<TABLE>
<CAPTION>
Annual Rate Annual Rate
------------ ------------
<S> <C> <C> <C>
Limited Volatility Tax Free 0.50 U.S. Government Money Market 0.25
Real Estate Securities 0.85 Tax Free Money Market 0.25
</TABLE>
The management contract also provides that if any Fund's expenses (exclusive
of interest and taxes) exceed specified limits on an annual basis, such
excess will be paid by FRIMCo.
Effective April 1, 1995, FRIMCo voluntarily agreed to waive the full amount
of the U.S. Government Money Market Funds management fee amounting to .25% of
its average daily net assets. The amount of such a waiver was $87,118.
The Investment Company paid each of its Trustees not affiliated with FRIMCo
$16,000 per year plus out-of-pocket expenses. Total trustee expenses were
$42,947 for the six months ended June 30, 1995 and were allocated to each
Fund on a pro rata basis, including 18 affiliated funds not presented here.
Effective April 28, 1995, the Investment Company began paying each of its
Trustees not affiliated with FRIMCo $20,000 per year plus out-of-pocket
expenses.
Fees for bookkeeping services related to maintaining the tax records for the
Funds are paid or accrued to Frank Russell Company, an affiliate of the
Investment Company. Total fees for the six months ended June 30, 1995 were
$2,480.
The Funds have a contract with FRIMCo to provide transfer agent services to
the Investment Company. Total fees for the six months ended June 30, 1995
were $240,061.
5. MONEY MARKET FUND
The Real Estate Securities Fund is permitted to invest its cash reserves
(i.e., monies awaiting investment in portfolio securities suitable for the
Fund's objectives) in the Frank Russell Investment Company Money Market Fund
(a series of Frank Russell Investment Company not presented in this
semiannual report). These investments are reflected as purchases and
redemptions of shares of the Money Market Fund. The interest earned by the
Money Market Fund related to these investments is reflected as dividends paid
(or payable) on such shares. As of June 30, 1995, $14,322,000 of the Money
Market Fund's net assets represents investments by this Fund.
6. DIVIDENDS
On July 3, 1995, the Board of Trustees declared the following dividends from
net investment income payable on July 12, 1995, to shareholders of record on
July 5, 1995:
Limited Volatility Tax Free $ .0686 Real Estate Securities $ .3267
SPECIALITY FUNDS NOTES TO FINANCIAL STATEMENTS 37
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
ADDITIONAL INFORMATION
June 30,1995 (Unaudited)
On March 28, 1995, a special meeting of the shareholders of the Funds
was held for the purpose of voting on the following matter:
To approve or disapprove an amendment clarifying the fiduciary and client
status of the Manager.
The results of the vote on the proposal including 8 affiliated funds not
represented in these financial statements were as follows:
Number % of % of
of Outstanding Shares
Vote Shares Shares Voted
---------------- ------------- ------------- ------------
Affirmative 209,188,356 62% 99%
Against 2,019,657 1% 1%
Abstain 148 -- --
------------- ------------ ------------
Total 211,208,161 63% 100%
------------- ------------ ------------
------------- ------------ ------------
38 ADDITIONAL INFORMATION SPECIALTY FUNDS
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(206) 627-7001
TRUSTEES
George F. Russell, Jr., Chairman
Lynn L. Anderson
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Lee C. Gingrich
Eleanor W. Palmer
OFFICERS
Lynn L. Anderson, President and Chief Executive Officer
Peter Apanovitch, Manager of Short Term Investment Funds
Margaret L. Barclay, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary
MANAGER
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
REAL ESTATE SECURITIES
Cohen & Steers Capital Management, New York, NY
LIMITED VOLATILITY TAX FREE
Massachusetts Financial Services, Boston, MA
T. Rowe Price Associates, Inc., Baltimore, MD
U.S. GOVERNMENT MONEY MARKET
Frank Russell Investment Management Co., Tacoma, WA
TAX FREE MONEY MARKET
Weiss, Peck & Greer Advisors, Inc., New York, NY
CUSTODIAN
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, MA 02171
TRANSFER AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young
2600 - One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, MA 02109
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUNDS AND IS SUBMITTED
FOR THE GENERAL INFORMATION OF SHAREHOLDERS AND IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY AN
EFFECTIVE PROSPECTUS. NOTHING HEREIN CONTAINED IS TO BE CONSIDERED AN OFFER OF
SALE OR A SOLICITATION OF AN OFFER TO BUY SHARES OF FRANK RUSSELL INVESTMENT
COMPANY. SUCH OFFERING IS MADE ONLY BY PROSPECTUS, WHICH INCLUDES DETAILS AS TO
OFFERING PRICE AND OTHER MATERIAL INFORMATION.
SPECIALTY FUNDS MANAGER AND MONEY MANAGERS 39
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
Frank Russell Investment Company is a
"series mutual fund" with 22 different
investment portfolios. These financial
statements report on one Fund, which has
distinct investment objectives and
strategies.
FRANK RUSSELL INVESTMENT MANAGMENT
COMPANY
Responsible for overall management and
administration of the Fund.
FRANK RUSSELL COMPANY
Consultant to Frank Russell Investment
Management Company.
Emerging Markets Fund
<PAGE>
TABLE OF CONTENTS
PAGE
EMERGING MARKETS FUND . . . . . . . . . . . . . . . . . . . . . 3
NOTES TO FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . 15
ADDITIONAL INFORMATION. . . . . . . . . . . . . . . . . . . . . 19
MANAGER AND MONEY MANAGERS. . . . . . . . . . . . . . . . . . . 20
FRANK RUSSELL INVESTMENT COMPANY - EMERGING MARKETS FUND
Copyright -Copyright- Frank Russell Company 1995. All rights reserved. This
material is proprietary and may not be reproduced, transferred, or distributed
in any form without prior written permission from Frank Russell Company. It is
delivered on an "as is" basis without warranty. The Russell logo is a trademark
and service mark of Frank Russell Company. Frank Russell Company and Standard &
Poor's Corporation are the owners of the trademarks, service marks, and
copyrights related to their respective indexes. This material must be
accompanied or preceded by a current Frank Russell Investment Company Prospectus
containing complete information concerning the investment objectives and
operations of the Company, charges, and expenses. The Prospectus should be read
carefully before an investment is made. The performance quoted represents past
performance and the investment return and principal value of an investment will
fluctuate so that shares, when redeemed, may be worth more or less than their
original cost. Investments in securities of non-US issuers and foreign
currencies involve investment risks different than those of US issuers; the
Prospectus contains further information and details regarding these risks.
Income from tax-free funds may be subject to an alternative minimum tax.
Russell Fund Distributors, Inc., is the distributor of Frank Russell Investment
Company.
Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
COMMON STOCKS - 77.9%
ARGENTINA - 4.2%
Astra Cia Argentina de Petro 78,100 $ 117
Banco Frances del Rio la Plata - ADR 6,600 122
Buenos Aires Embotelladora SA - ADR 18,000 452
Central Costanera Class B 75,800 239
Central Puerto SA Class B 120,000 444
Comercial de Plata (a) 164,100 407
Cresud SA (a) 317,500 489
Inversiones Y Representaciones (a) 58,257 138
Inversiones Y Representaciones
SA - GDR (a) 700 16
Naviera Perez Companc Class B 372,240 1,564
Telecom Argentina Class B 87,122 396
Telefonica de Argentina Class B 231,600 581
Telefonica de Argentina Class B - ADR 3,000 74
YPF Sociedad Anonima Class D - ADR (a) 57,100 1,079
--------
6,118
--------
AUSTRIA - 0.7%
Fotex (Austrian Regd)(a) 20,000 29
Julius Meinl International 5,626 174
Nafta (a) 5,110 402
Tabak AS (a) 3,500 492
--------
1,097
--------
BANGLADESH - 0.4%
Apex Tannery 2,300 56
Bangladesh Oxygen 3,100 13
Beximco Infusion 7,500 89
Eastern Housing, Ltd. (a) 5,000 18
Mala Chemical & Pharmaceutical (a) 80,000 355
--------
531
--------
BRAZIL - 2.4%
Aracruz Celulose SA - ADR 52,900 622
Copel Parana Energ NPV 25,190,400 165
Forca E Luz (Cia Paul) NPC 4,047,900 203
Makro Atacadista - GDS (a) 30,000 443
Rhodia Ster SA NPV 106,900 149
Sider Nacional Cia NPV 32,629,670 743
Souza Cruz NPV (a) 14,620 109
Telecomunicacoes Brasileiras - ADR 5,770 197
Telecomunicacoes Brasileiras
- ADR (144A) 88 3
Telecomunicacoes Brasileiras NPV 28,623,900 812
--------
3,446
--------
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
CHILE - 5.6%
Administradora de Fondos
de Pensiones Provida SA - ADR 19,470 $ 523
Antofagasta Holdings PLC 190,000 961
Banco O'Higgins - ADR 20,000 460
Banco Osorno Y La Union
Series A - ADR 27,080 376
Chile Fund, Inc. 5,559 299
Chilgener SA - ADR 59,230 1,873
Compania de Telefonos (Chile) SA - ADR 5,322 433
Embotelladora Andina - ADR 25,196 885
Enersis SA - ADR 25,255 745
Laboratorio Chile SA - ADR 30,000 566
Madeco SA - ADR 4,942 142
Maderas Y Sinteticos Sociedad - ADR 25,400 476
Sociedad Quimica Y Minera
de Chile SA - ADR 4,730 223
Vina Concha Y Toro SA - ADR 11,650 227
--------
8,189
--------
CHINA - 1.4%
China Steel Corp. - ADR 22,970 471
Huaneng Power International, Inc.
- ADR Series N (a) 9,800 180
Luoyang Glasswork Class H 38,000 19
Shanghai Dazhong Taxi Class B (a) 342,570 249
Shanghai Diesel Class B 134,000 83
Shanghai Hai Xing Shipping Co. Class H 3,950,000 807
Yizheng Chemical Fibre Series H 800,000 279
--------
2,088
--------
COLOMBIA - 0.3%
Banco de Colombia New- GDR 52,400 393
--------
393
--------
CZECH REPUBLIC - 0.4%
Cepap AS (a) 5,600 284
Komercni Banka IF 2,500 42
Privat Fonds (a) 1,200 20
Rychleho Vynosu IF (a) 1,000 48
Sporitelni Privatizacni IF (a) 1,300 19
SPT Telecom AS (a) 2,000 202
--------
615
--------
GHANA - 0.4%
Ashanti Goldfields Co., Ltd. - GDR 2,400 55
Ashanti Goldfields Co., Ltd. - GDS (a) 24,490 569
--------
624
--------
</TABLE>
Emerging Markets Fund 3
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
June 30, 1995 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
GREECE - 1.2%
Aegek SA 5,700 $ 127
Aluminum Co. of Greece Industrial
and Commercial (Regd) 1,500 63
Econ Viomihanies 48,000 254
Ergo Bank (Regd) 20,610 948
Greek Progress Fund 10,500 103
Hellenic Bottling 5,562 165
Nikas SA 4,190 56
Themeliodomi 7,840 75
--------
1,791
--------
HONG KONG - 1.9%
Alco Holdings 1,000,000 178
CDL Hotels International 850,363 415
Chen Hsong Holding 700,000 446
Cheung Kong Holdings, Ltd. 31,000 153
Formosa Fund - IDR (Regd)(a) 16 133
Fountain Set Holdings 1,500,000 275
Guangdong Investment 242,000 132
Guangzhou Investment 1,432,000 255
H.S.B.C. Holdings (UK Regd) 6,200 80
Johnson Electric Holdings, Ltd. 67,000 135
M.C. Packaging 225,000 78
Shangri-La Asia, Ltd. 128,000 152
Sinocan Holdings 400,000 114
Siu Fung Ceramics 593,000 85
Tian An China Investments 724,000 112
Yue Yuen Industrial 319,000 78
--------
2,821
--------
HUNGARY - 0.4%
Chemical Works of Gedeon Richter 31,652 491
Egis (a) 5,000 108
--------
599
--------
INDIA - 3.7%
Arvind Mills - GDS (a) 88,990 463
Bajaj Auto Ltd. - GDR (a) 11,200 309
Bajaj Auto, Ltd. - GDR (144A) 6,900 193
Grasim Industries, Ltd. - GDR (a) 13,650 326
Grasim Industries, Ltd. - GDS (a) 18,200 430
Great Eastern Shipping - GDR 13,900 94
Great Eastern Shipping - GDR (144A) 6,200 46
Hindalco Industries, Ltd. - GDR (a) 12,200 354
India Cements, Ltd. - GDS (a) 30,000 334
Indian Hotels Co., Ltd. - GDR (a) 15,000 242
Indian Rayon & Industries - GDR (a) 29,850 440
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Indo Gulf Fertilisers & Chemicals - GDR 207,600 $ 415
JCT, Ltd. - GDR (a) 24,800 446
Larsen & Toubro - GDS (a) 3,300 65
Larsen & Toubro, Ltd. - GDR (a) 10,600 209
Mahindra & Mahindra - GDR 4,644 54
Ranbaxy Labs - GDS 16,755 419
Reliance Industries Ltd. - GDS (a) 8,700 159
Reliance Industries, Ltd. - GDR (a) 9,500 160
Tube Investments of India - GDR (a) 49,800 287
--------
5,445
--------
INDONESIA - 4.9%
Asia Pacific Resources
International Holdings, Ltd. Class A (a) 26,000 237
Astra International (Alien Market) 299,000 530
Bank Bali (Alien Market) 72,000 183
Bank International Indonesia (Alien Market) 74,300 229
Ciputra Development (Alien Market)(a) 70,000 152
Dankos Laboratories (Alien Market) 66,250 211
Duta Anggada Realty (Alien Market) 161,080 130
Gadjah Tunggal (Alien Market) 320,000 460
HM Sampoerna (a) 55,000 432
Indorama Synthetic (Alien Market) 98,000 295
Indosat (Alien Market) 131,000 497
Inti Indorayon Utama (Alien Market)(a) 143,500 296
Kalbe Farma (Alien Market) 88,000 403
Modern Photo Film Co. (Alien Market) 35,000 190
Modernland Realty (Alien Market) 12,000 15
Ometraco Finance (Alien Market) 500,000 359
Pabrik Kertas Tjiwi Kimia (a) 43,000 86
Pabrik Kertas Tjiwi Kimia (Alien Market) 205,000 412
Pakuwon Jati (Alien Market) 106,000 79
Perusahaan Per Per Ind Sat Cor - ADR 3,100 119
PT Ever Shine Textile (Alien Market) 165,000 74
Putra Surya Perkasa (Alien Market) 240,000 170
Semen Cibinong (Alien Market) 230,600 725
Semen Gresik (Alien Market) 56,500 379
Smart (Sinar Mas) AG (Alien Market) 300,000 317
Tri Polyta Indonesia - ADR 12,500 213
--------
7,193
--------
ISRAEL - 1.1%
Africa-Israel Investments, Ltd. (a) 135 161
ECI Telecom, Ltd. 5,500 75
Elbit, Ltd. (a) 1,340 101
Gilat Satellite Networks, Ltd. (a) 4,200 96
Israel Chemicals, Ltd. (a) 214,400 165
</TABLE>
4 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
June 30, 1995 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Kitan Consolidated 9,810 $ 24
Koor Industries 4,375 373
Lannet Data Communications, Inc. (a) 5,600 134
Makteshim Chemical Works (a) 12,563 68
Scitex, Ltd. 3,500 75
Teva Pharmaceutical Industries, Ltd. 332 124
Teva Pharmaceutical Industries, Ltd. - ADR 3,950 147
--------
1,543
--------
LUXEMBOURG - 0.6%
Millicom International Cellular SA (a) 30,000 889
--------
889
--------
MALAYSIA - 9.5%
AMMB Holdings Berhad (a) 127,000 1,511
Arab Malaysian Corp. Berhad (a) 435,000 1,553
Arab Malaysian Finance (Alien Market)(a) 11,000 44
Berjaya Leisure 1999 Warrants (a) 2,000 1
DCB Holdings Berhad 246,000 721
DCB Holdings Berhad 1999 Warrants (a) 33,000 38
Genting Berhad 86,500 855
Hong Leong Credit 75,500 381
IJM Corp. Berhad 196,000 780
IND Oxygen, Inc. (a) 351,000 461
IOI Properties Berhad 10,000 35
Kian Joo Can Factory 8,000 31
Land & General Berhad 120,000 401
Leader Universal Holdings 193,000 689
Linatex Process (a) 137,500 581
Malayan Banking Berhad (a) 74,000 586
Public Finance Berhad (Alien Market) 300,000 769
Renong Berhad 109,000 203
Resorts World Berhad 213,000 1,249
Sime Darby Berhad (Resident Shares) 211,000 589
Tanjong PLC 98,000 338
Telekom Malaysia 37,000 280
United Engineers Berhad 272,000 1,728
--------
13,824
--------
MEXICO - 4.1%
Cifra SA de CV Class C NPV 207,960 274
Empresa Nacional de Electric - ADR 8,550 227
Empresas ICA Sociedad - ADR 16,000 164
Empresas la Moderna SA de CV - ADR (a) 20,886 313
Formento Economico Series B NPV 105,000 245
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Grupo Financiero Inbursa SA de CV
Series B NPV (a) 141,700 $ 345
Grupo Mexico SA B Shares NPV (a) 26,000 127
Herdez Class B NPV (a) 300,000 97
Hylsamex SA de CV Series B NPV (a) 77,000 235
Industrias Penoles NPV 195,700 584
Kimberly-Clark, Mexico Class A NPV 25,000 287
Pan American Beverage Class A 22,000 660
Sears Roebuck de Mexico SA
Series B - ADR (a) 21,000 97
Seguros Comercial America NPV
Series B (a) 870,000 193
Telefonos de Mexico SA Series L - ADR 55,465 1,643
Tolmex SA de CV Class B 49,000 192
Transportacion Maritima Mexica
Series A - ADR (a) 47,000 236
--------
5,919
--------
NETHERLANDS - 0.5%
Ceteco Holding NV CVA 25,357 769
--------
769
--------
PAKISTAN - 0.8%
Adamjee Insurance 16,675 61
Bank of Punjab 12,890 10
Dandot Cement Co. (a) 19,687 19
Dewan Salmon Fibre (a) 10,300 34
DG Kahn Cement 92,940 131
Engro Chemical 7,320 37
Hub Power Co. - GDR (a) 16,300 235
K A S B & Co. 14,520 17
National Development Bank 7,062 6
Nishat Textile (a) 41,421 38
Pak Elektron (a) 11,750 19
Pakistan State Oil 38,082 461
Pakistan Telecommunications Corp. (a) 160,000 169
--------
1,237
--------
PAPUA NEW GUINEA - 0.4%
Oil Search, Ltd. (Australia Regd)(a) 700,000 522
--------
522
--------
PERU - 0.8%
Backus & Johnston Class T 51,277 121
</TABLE>
Emerging Markets Fund 5
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
June 30, 1995 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Banco de Credito del Peru NPV 205,289 $ 360
CPT Telefonica del Peru B Shares 66,080 113
Enrique Ferreyros 26,527 37
Minas Buenaventura 24,944 144
Southern Peru Copper Corp. (a) 65,754 299
Telefons Series A (a) 95,718 155
--------
1,229
--------
PHILIPPINES - 5.1%
Aboitiz Equity Ventures (a) 1,422,960 290
Ayala Corp. Class B 145,073 162
Ayala Land, Inc. Class B 224,312 259
Bacnotan Cement Co. (a) 235,100 285
Bacnotan Consolidated 96,375 634
Belle Corporation (a) 2,600,000 443
Benpress Holdings Corp. - GDR (a) 20,100 161
Benpress Holdings Corp. - GDR (144A) 3,200 26
Enron Global Power & Pipelines L.L.C. 21,000 499
First Philippine Holdings Class B 147,679 396
International Container (a) 82,600 57
JG Summit Holdings, Inc. Series B 755,000 219
Keppel Philippine Holdings Class B (a) 340,250 160
Kepphil Philippine Shipyard (a) 1,965,200 204
La Tondena Distillers, Inc. (a) 74,300 89
Manila Mining Corp. Class B 64,450,180 252
Metro Pacific Corp. Class A 358,568 44
Petron Corp. 327,875 215
Philippine Long Distance Telephone Co. 2,900 207
Philippine Long Distance Telephone Co. 7,000 502
Philippine Long Distance
Telephone Co.- ADR 20,060 1,439
San Miguel Corp. Class B 101,825 423
SM Prime Holdings, Inc. - GDS (a) 32,500 406
Universal Robina 204,000 105
--------
7,477
--------
POLAND - 1.1%
Bank Slaski SA 500 30
Bank Slaski SA (a) 3,400 203
Banka Przemyslowo 5,347 185
Bre Bk Rozwoju Eks (a) 13,200 211
Debica Series A (a) 7,500 106
E. Wedel SA 2,690 157
Elektrim 54,100 191
Gorazdze SA (a) 5,510 72
Mostostal-Export (a) 20,000 50
Polifarb 17,400 96
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Polifarb-Wroclaw SA 23,600 $ 75
WBK 28,125 69
Zywiec 2,290 174
--------
1,619
--------
PORTUGAL - 3.0%
Banco Espir Santo (Regd) 30,000 501
Banco Totta e Acores (Regd) 5,940 126
Capital Portugal (a) 1,850 181
Cimentos de Portugal SA New (a) 3,053 50
Cimpor Cimentos de Portugal 2,265 37
Empresa Fabril de Maquinas Electricas
- Efacec 13,800 164
Jeronimo Martins 10,000 509
Jornalgeste SGPS (a) 5,000 84
Modelo Superm SGPS 15,000 531
Portucel Industrial SA (a) 5,600 40
Portugal Telecom (a) 43,000 823
Sonae Investimento 55,500 1,328
Soporcel SA (a) 1,410 36
--------
4,410
--------
RUSSIA - 0.2%
SFMT, Inc. (a) 2,525 34
Russian Depositary Trust (a) 1 138
Templeton Russia Fund, Inc. (a) 6,500 95
--------
267
--------
SINGAPORE - 1.1%
City Developments 30,000 184
Development Bank (Alien Market) 45,250 515
Far East Levingston 35,000 168
Singapore Airlines, Ltd. (Alien Market) 19,000 175
Singapore Press Holdings (Alien Market) 11,800 176
United Overseas Bank, Ltd. (Alien Market) 48,840 461
--------
1,679
--------
SOUTH AFRICA - 4.7%
Anglo America Coal 1,857 126
Anglo America Corp. 7,400 398
Anglo American Industrial Corp. 2,099 103
Barlow, Ltd. 18,500 190
De Beers Centenary AG 6,926 181
De Beers Consolidated Mines, Ltd. - ADR 6,278 162
Driefontein Consolidated 7,100 104
</TABLE>
6 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
June 30, 1995 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Engen, Ltd. (a) 6,485 $ 39
Free State Consolidated Gold Mines, Ltd. 9,610 123
Free State Consolidated Gold Mines, Ltd.
- ADR 11,522 141
Gencor, Ltd. 51,420 177
Gencor, Ltd. - ADR 54,679 188
Impala Platinum Holdings, Ltd. (a) 1,355 35
Iscor 1,023,188 1,162
Liberty Life Association of Africa (a) 5,800 160
Nampak, Ltd - EDR (a) 6,420 72
Nampak, Ltd. 40,100 180
Nedcor, Ltd. (units)(a) 4,700 231
Premier Group Holdings, Ltd. (a) 48,906 63
Rembrandt Group, Ltd. 163,252 1,122
Rustenberg Platinum Holdings, Ltd. 5,022 104
Rustenburg Platinum Holdings, Ltd. - ADR 3,132 65
Sasol NPV 53,865 516
South African Breweries 20,419 583
Standard Bank Investment Corp., Ltd. 7,700 277
Zambia Cons Copper
Series B (UK Regd)(a) 43,846 99
Zambia Copper Investments PLC (BR)(a) 369,265 230
--------
6,831
--------
SOUTH KOREA - 4.2%
Hanil Iron & Steel Co. (a) 3,020 203
Hankook Tire Manufacturing (a) 1,900 153
Hyundai Engineering
& Construction (a) 6,335 295
Hyundai Engineering
& Construction New (a) 126 6
Hyundai Motor Co. - GDR 9,000 182
Hyundai Motor Services 5,736 310
Korea Electric Power Corp. 19,430 728
Korea Long-Term Credit Bank 8,613 246
Kwang Ju Bank (a) 16,000 161
Kwang Ju Bank New (a) 3,344 31
L.G. Chemical, Ltd. 9,530 249
Pohang Iron & Steel 3,820 329
Pohang Iron & Steel - ADR 400 12
Samsung Construction (a) 2,655 72
Samsung Electronics - GDS (a) 1,601 76
Samsung Electronics Co. - GDR (a) 6,160 591
Samsung Electronics Co. - GDS (a) 15,930 840
Samsung Electronics New (a) 1,302 207
Samsung Electronics, Ltd. 431 69
Samsung Electronics, Ltd. - GDR (a) 402 21
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Samsung Engineering
& Construction (a) 65 $ 2
Samsung Engineering
& Construction - GDR (a) 3,700 26
Samsung Engineering
& Construction Co. New (a) 3,045 82
Samsung Engineering
& Construction New - GDR (a) 118 1
Samsung Engineering
& Construction, Ltd. New - GDR (a) 307 2
Shin Han Bank 24,240 499
Shin Han Bank New (a) 22,137 435
Shinil Engineering 10,464 168
Shinil Engineering New (a) 1,698 24
Ssangyong Investment & Securities 8,729 149
Ssangyong Investment & Securities New 840 14
Tong Yang Securities Co. 120 3
--------
6,186
--------
SPAIN - 0.7%
Quilmes Industrial (Regd) 50,000 975
--------
975
--------
SRI LANKA - 0.9%
Aitken Spence & Co. 30,365 116
Blue Diamond Jewel NPV (a) 91,080 43
Ceylon Theatre 6,830 46
Development Finance Corp. 83,999 626
Habarana Lodge, Ltd. 17,000 12
Hayleys 13,680 52
John Keells Holdings, Ltd. 43,366 164
John Keells Holdings, Ltd. - GDR 3,400 25
Lanka Orix Leasing 14,000 58
National Development Bank 24,000 113
--------
1,255
--------
SWITZERLAND - 0.8%
Holderbank Financiere Glarus (BR) 1,359 1,115
Holderbank Financiere Glarus AG
1995 Warrants (a) 6,795 9
--------
1,124
--------
TAIWAN - 1.0%
China Steel Corp. - GDS 3,300 68
Hocheng Group Corp. - GDR (a) 12,655 142
</TABLE>
Emerging Markets Fund 7
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
June 30, 1995 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Microelectronics - GDS (a) 30,000 $ 210
ROC Taiwan Fund (a) 23,700 261
Taiwan Fund, Inc. 10,762 235
Yageo Corp. - GDR (a) 37,490 534
--------
1,450
--------
THAILAND - 6.1%
Ban Pu Coal (Alien Market)(a) 17,500 414
Bangchak Petroleum 160,000 319
Bangkok Bank (Alien Market) 33,900 374
Bangkok Insurance PLC (Alien Market) 9,200 151
Bank of Ayudhya Public Co., Ltd.
(Alien Market) 301,000 1,475
Dhana Siam Finance & Securities
(Alien Market) 50,000 296
Electricity Generating Public Co., Ltd. (a) 15,300 45
Electricity Generating Public Co., Ltd.
(Alien Market)(a) 105,600 319
Finance One Public Co., Ltd.
(Alien Market) 60,000 442
Land & House (Alien Market) 10,300 217
Nation Publishing (Alien Market) 35,500 58
Phatra Thanakit Co. (Alien Market) 14,700 123
Precious Shipping (Alien Market) 10,000 109
Regional Container Line (Alien Market) 29,950 473
Siam Cement Co. (Alien Market) 15,600 996
Siam Commercial Bank (Alien Market) 148,000 1,415
Thai Farmers Bank (Alien Market) 84,200 805
Thai Military Bank (Alien Market) 116,200 471
United Communications Industires (a) 16,300 238
Wong Paitoon Footwear (Alien Market) 93,700 144
--------
8,884
--------
TURKEY - 1.6%
Akbank 182,200 46
Cimentas 82,646 53
Efes Sinai Yatirim (a) 268,800 14
EGE Biracilik Ve M (a) 579,400 681
Kartonsan 169,425 66
Kartonsan Rights New (a) 112,950 21
Koc Holding (a) 101,600 100
Petrol Ofisi 1,695,000 498
T Garanti Bankasi 1,187,200 161
T Garanti Bankasi (a) 508,800 69
Tat Konserve Sanay 241,365 188
Tofas Turk Otomobil Fabrikasi (a) 388,100 343
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Tofas Turk Otomobil Fabrikasi
AS - GDS (a) 12,000 $ 51
--------
2,291
--------
UNITED KINGDOM - 0.6%
Central European Growth Fund 125,000 77
Lonrho PLC 300,000 705
--------
782
--------
VENEZUELA - 0.8%
Electricidad de Caracas (Regd) 114,999 120
Mavesa SA - ADR (a) 51,250 178
Sider Venezolana 122,000 41
Siderurgica Venezolana Sivensa - ADR 411,100 684
Venezolana de Ceme 3,564 5
Venprecar - GDS 11,600 70
--------
1,098
--------
ZIMBABWE - 0.3%
Delta Corp. 340,000 497
--------
497
--------
TOTAL COMMON STOCKS
(cost $112,735) 113,707
--------
PREFERRED STOCKS - 9.0%
BRAZIL - 8.7%
Acos Especitabira NPV 44,833,428 334
Banco Bradesco SA NPV 168,663,324 1,429
Banco Bradesco SA NPV Rights (a) 2,556,930 3
Banco Itau SA (Regd) 835,000 254
Banco Itau SA NPV 66,700 20
Brahma (cia Cervej) NPV 490,000 161
Brahma Class A (a) 3,546 1
Brasmotor SA NPV 4,575,500 845
Casa Anglo Bras SA NPV 2,108,300 199
CEMIG - ADR (a) 25,623 506
Ceval Alimentos SA NPV 14,591,100 166
Cim Port Itau (Cia) 802,800 235
Companhia Energetica de Sao Paulo
- ADR (Regd)(a) 9,200 104
Companhia Energetica de Sao Paulo
NPV (a) 719,000 28
Confab (Regd) 116,000 86
</TABLE>
8 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
June 30, 1995 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
<S> <C> <C>
Copene Petroquimica do Nordestse
Series A (Regd) 241,700 $ 191
Coteminas (Cia Tec) NPV 2,745,505 865
Duratex SA (BR) 3,179,000 155
Electrobras (centr) Series B NPV 8,099,439 2,156
Gradiente Eletronica SA Class A NPV 716,000 93
Industrias Romi SA NPV 3,310,700 86
Inepar SA - Industria e Construction
NPV 68,373,000 93
Kepler Weber SA NPV (a) 3,200 26
Lojas Renner SA NPV 2,000,000 34
Marco Polo SA Class B NPV (a) 500,000 84
Metalurgica Schulz NPV (a) 850,000 33
Petrobras Distribuidora NPV 9,290,000 321
Petrol Brasileiros 4,648,866 394
Randon Participacoes SA 170,777,104 197
Refrigeracao Parana SA NPV 355,453,440 691
Sadia Concordia SA NPV (a) 100,000 93
Siderurgica Tubarao NPV 287,300 213
Telec SP Telesp NPV 4,203,278 521
Telecomunicacoes Brasileiras NPV 26,437,410 870
Usiminas Uni Sd Mg NPV 577,712,384 699
Vale Rio Doce (Cia) NPV 2,989,000 452
--------
12,638
--------
COLOMBIA - 0.0%
Gran Cadena de Almacenes
Class B - ADR 1,300 27
--------
27
--------
PHILIPPINES - 0.0%
Philippine Long Distance
Telephone Co. - GDS 700 44
--------
44
--------
SOUTH KOREA - 0.3%
Daishin Securities 291 3
Mando Machinery Corp. (a) 4,100 143
Samsung Electronics, Ltd. (a) 1,672 144
Samsung Electronics New (a) 614 50
Tong Yang Securities Co. 4,029 34
--------
374
--------
TOTAL PREFERRED STOCKS
(cost $13,764) 13,083
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
LONG-TERM INVESTMENTS - 3.7%
HONG KONG - 0.3%
Bangkok Bank Public Co. (conv.)
3.250% due 03/03/04 $ 400 $ 406
--------
406
--------
INDIA - 0.5%
Essar Gujarat (conv.)
5.500% due 08/05/98 150 158
Gujarat Ambuja Cement (conv.)
3.500% due 06/30/99 195 260
Industrial Credit & Investment Corp. (conv.)
2.500% due 04/03/00 145 115
Scici (conv.)
3.500% due 04/01/04 250 235
--------
768
--------
INDONESIA - 0.0%
Modernland Realty
6.000% due 02/02/03 IDR 30 32
--------
32
--------
MALAYSIA - 0.3%
AMMB Holdings Berhad (conv.)
7.000% due 11/20/99 MYR 29 16
United Engineers Berhad (conv.)
2.000% due 03/01/04 $340 383
--------
399
--------
SOUTH AFRICA - 0.3%
Liblife International BV (conv.)
6.500% due 09/30/04 130 152
Samancor (conv.)
7.000% due 06/30/04 250 230
--------
382
--------
SOUTH KOREA - 0.4%
Inkel Corp. (conv.)
0.750% due 12/31/03 250 135
Shinwon Corp. (conv.)
0.500% due 12/31/08 520 510
--------
645
--------
</TABLE>
Emerging Markets Fund 9
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
June 30, 1995 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
<S> <C> <C>
TAIWAN - 1.4%
Nan Ya Plastics Corp. (conv.)
1.750% due 07/19/01 $ 670 $ 640
U Ming Marine Holdings (conv.)
1.500% due 02/07/01 516 521
United Microelectronics Corp., Ltd. (conv.)
1.250% due 06/08/04 545 927
--------
2,088
--------
THAILAND - 0.3%
Banpu Coal Co., Ltd. (conv.)
3.500% due 08/25/04 352 426
--------
426
--------
UNITED KINGDOM - 0.2%
Barlow International Investments (conv.)
7.000% due 09/20/04 200 232
--------
232
--------
TOTAL LONG-TERM INVESTMENTS
(cost $5,600) 5,378
--------
SHORT-TERM INVESTMENTS - 8.1%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 11,851 11,851
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $11,851) 11,851
--------
TOTAL INVESTMENTS
(identified cost $143,950)(c) - 98.7% 144,019
OTHER ASSETS AND LIABILITIES,
NET - 1.3% 1,912
--------
NET ASSETS - 100.0% $145,931
--------
--------
<FN>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) At June 30, 1995, the cost for federal income tax purposes was $144,349 and
net unrealized depreciation for all securities was $330. This consisted of
aggregate gross unrealized appreciation for all securities in which there
was an excess of market value over tax cost of $37,948 and aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over market value of $38,278.
</TABLE>
<TABLE>
<CAPTION>
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- ----------------------------------------------- ------- ----------
<S> <C> <C>
Basic Industries 18.2% $ 26,621
Capital Goods 9.8 14,321
Consumer Basics 6.9 10,090
Consumer Durable Goods 4.0 5,897
Consumer Non-Durables 3.2 4,607
Consumer Services 2.5 3,683
Energy 3.5 5,091
Finance 14.5 21,183
General Business 2.2 3,182
Miscellaneous 8.1 11,771
Shelter 2.4 3,432
Technology 2.5 3,579
Transportation 0.9 1,383
Utilities 8.2 11,950
Long-Term Investments 3.7 5,378
Short-Term Investments 8.1 11,851
------- ----------
Total Investments 98.7 144,019
Other Assets and Liabilities, Net 1.3 1,912
------- ----------
NET ASSETS 100.0% $145,931
------- ----------
------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30,1995 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $143,950,121)(Note 2) . . . . . . . $144,019,226
Foreign currency holdings (identified cost $3,337,809) . . . . . . . . . . 3,347,466
Foreign currency exchange spot contracts (cost $562,994)(Notes 2 and 6). . 562,930
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . 396,865
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,912,172
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 988,749
Receivable from manager (Note 4) . . . . . . . . . . . . . . . . . . . . 34,771
Foreign taxes recoverable. . . . . . . . . . . . . . . . . . . . . . . . 6,587
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,520
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . 19,216
------------
151,290,502
LIABILITIES
Payables:
Bank overdraft . . . . . . . . . . . . . . . . . . . . $ 729,939
Investments purchased. . . . . . . . . . . . . . . . . 3,033,298
Fund shares redeemed . . . . . . . . . . . . . . . . . 665,063
Accrued management fees (Note 4) . . . . . . . . . . . 142,851
Accrued bookkeeping service fees (Note 4). . . . . . . 11,719
Other accrued expenses . . . . . . . . . . . . . . . . 213,554
Foreign currency exchange spot contracts (cost
$562,994)(Notes 2 and 6) . . . . . . . . . . . . . . . 562,721 5,359,145
--------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $145,931,357
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . $163,904
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . (7,872,220)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69,105
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . 4,739
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . 125,791
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . 153,440,038
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $145,931,357
------------
------------
Net asset value, offering and redemption price per share
($145,931,357 divided by 12,579,054 shares of $.01 par value,
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . $11.60
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Emerging Markets Fund 11
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,406,810
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 661,635
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . 69,307
Less foreign taxes withheld. . . . . . . . . . . . . . . . . . (205,294)
-----------
1,932,458
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $409,322
Custodian fees . . . . . . . . . . . . . . . . . 415,314
Bookkeeping service fees . . . . . . . . . . . . 24,350
Professional fees. . . . . . . . . . . . . . . . 8,888
Registration fees. . . . . . . . . . . . . . . . 14,233
Transfer agent fees. . . . . . . . . . . . . . . 72,868
Trustees' fees . . . . . . . . . . . . . . . . . 1,940
Amortization of deferred organization expenses . 3,682
Miscellaneous. . . . . . . . . . . . . . . . . . 5,157
---------
Expenses before reimbursement. . . . . . . . . . 955,754
Expenses reimbursed by Manager (Note 4). . . . . (34,771) 920,983
--------- -----------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 1,011,475
-----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from:
Investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . (6,773,684)
Foreign currency-related transactions (Notes 2 and 3). . . . . (521,952)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 893,207
Foreign currency-related transactions. . . . . . . . . . . . . 162,432
-----------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . (6,239,997)
-----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . . . . $ (5,228,522)
-----------
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,011,475 $1,153,059
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,773,684) 3,579,128
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . (521,952) (374,943)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 893,207 (11,391,205)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . 162,432 (87,886)
-------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . (5,228,522) (7,121,847)
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (832,396)
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (902,784)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (5,126,070)
In excess of net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (400,878) (812,357)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . . . 24,289,633 76,609,101
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,660,233 61,813,647
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127,271,124 65,457,477
-------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $163,904 and accumulated distributions in
excess of net investment income of $902,784) . . . . . . . . . . . . . . . . . . . . . $145,931,357 $127,271,124
-------------- -------------
-------------- -------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1995 ENDED
(UNAUDITED) DECEMBER 31, 1994
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 3,911,306 $ 43,445,699 7,223,682 $ 97,277,256
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . 33,636 366,520 536,210 6,993,116
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (1,755,580) (19,522,586) (2,077,684) (27,661,271)
----------- ----------- ----------- ------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . 2,189,362 $ 24,289,633 5,682,208 $ 76,609,101
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Emerging Markets Fund 13
<PAGE>
EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each year or period and other performance information derived from the
financial statements.
<TABLE>
<CAPTION>
1995+ 1994 1993++
-------- -------- --------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $12.25 $13.90 $10.00
-------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .10 .15 .07
Net realized and unrealized gain (loss) on investments . . . . . (.71) (1.24) 4.09
-------- -------- --------
Total From Investment Operations . . . . . . . . . . . . . . . . (.61) (1.09) 4.16
-------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . -- (.10) (.07)
In excess of net investment income . . . . . . . . . . . . . . . -- (.10) (.01)
Net realized gain on investments . . . . . . . . . . . . . . . . -- (.31) (.18)
In excess of net realized gain on investment . . . . . . . . . . (.04) (.05) --
-------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.04) (.56) (.26)
-------- -------- --------
NET ASSET VALUE,
END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . $11.60 $12.25 $13.90
-------- -------- --------
-------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . (4.99) (5.83) 41.83
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c)(d) . . . . 1.44 .80 .80
Operating expenses, gross, to average net assets (b)(c)(d) . . . 1.49 .82 1.59
Net investment income to average net assets (b). . . . . . . . . 1.58 1.10 1.33
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 69.96 57.47 89.99
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 145,931 127,271 65,457
Per share amount of fees waived ($ omitted). . . . . . . . . . . -- -- .0007
Per share amount of fees reimbursed ($ omitted)(d) . . . . . . . .0033 .0017 .0420
<FN>
+ For the six months ended June 30, 1995 (Unaudited).
++ For the period January 29, 1993 (commencement of operations) to December
31, 1993.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1995 and December 31, 1993, are
annualized.
(c) For periods prior to April 1, 1995, expenses do not include any management
fees paid to the Manager or money managers.
Effective April 1, 1995, management fees are included in expenses.
See Note 4.
(d) See Note 4.
</TABLE>
14 Emerging Markets Fund
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1995 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund, currently comprised of 22 different investment portfolios
referred to as "Funds". These financial statements report on one Fund, The
Frank Russell Investment Company Emerging Markets Fund (the "Fund"), which
has distinct investment objectives and strategies. The Investment Company
is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company, and is organized and
operates as a Massachusetts business trust under an amended master trust
agreement dated July 26, 1984. The Investment Company's master trust
agreement permits the Board of Trustees to issue an unlimited number of
full and fractional shares of beneficial interest at a $.01 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies (except as noted below) are consistently followed by the Fund in
the preparation of these financial statements.
SECURITY VALUATION: United States equity and fixed-income securities listed
and traded principally on any national securities exchange are valued on
the basis of the last sale price or, lacking any sale, at the closing bid
price, on the primary exchange on which the security is traded. United
States over-the-counter equity and fixed-income securities are valued on
the basis of the closing bid price. Many fixed-income securities do not
trade each day and, thus, last sale or bid prices are frequently not
available. Fixed-income securities, therefore, may be valued using prices
provided by a pricing service when such prices are believed to reflect the
fair market value of such securities. International equity and fixed-income
securities traded on a national securities exchange are valued on the basis
of the last sale price. International securities traded over the counter
are valued on the basis of the mean of bid prices. In the absence of a last
sale or mean bid price, respectively, such securities may be valued on the
basis of prices provided by a pricing service if those prices are believed
to reflect the fair market value of such securities.
The Fund may value certain securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to
procedures established by the Board of Trustees.
INVESTMENT TRANSACTIONS: Securities transactions are recorded on a trade
date basis. The Fund may lend portfolio securities with a value of up to
50% of its total assets. The Fund will receive cash, U.S. government
treasuries or U.S. government agency securities as collateral. The Fund
will retain most rights of beneficial ownership, including dividends,
interest or other distributions on the loaned securities. Realized gains
and losses from securities transactions are recorded on the basis of
identified cost incurred by each money manager.
CHANGE IN ACCOUNTING PRINCIPLE: Effective January 1, 1995, the Fund
changed its method of accounting for the cost of investments from the
average cost method to the specific identification method. The new method
of accounting for the cost of investments was adopted because it better
matches specific costs with proceeds from sales of securities and more
closely conforms realized gains with related distributions. The change in
accounting principle had no effect on the Fund's net assets, net asset
value per share, its net decrease in net assets resulting from operations,
or its distributions. The effect of the change was to increase accumulated
net realized gain (loss) on investments and decrease net unrealized
appreciation (depreciation) on investments previously reported through
December 31, 1994 by $797,463.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded on the accrual basis.
FEDERAL INCOME TAXES: As a Massachusetts business trust, the Fund is a
separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to the Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. No federal income tax provision was
required for the year ended December 31, 1994.
Emerging Markets Fund Notes to Financial Statements 15
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1995 (Unaudited)
from distributions during such period. The differences between tax
regulations and GAAP primarily relate to investments in foreign currency
exchange contracts, passive foreign investment companies, foreign
denominated investments, and certain securities sold at a loss.
Accordingly, the Fund may periodically make a reclassification among
certain of its capital accounts without impacting its net asset value.
The following reclassifications have been made by the Fund to reflect
activity for the six months ended June 30, 1995:
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED ADDITIONAL
INCOME GAIN (LOSS) PAID-IN CAPITAL
-------------- ------------- ---------------
55,212 (160,810) 105,598
EXPENSES: Expenses such as management fees, custodian fees, trustees'
fees, transfer agent fees, bookkeeping service fees, and registration fees
are charged directly to the Fund, while indirect expenses such as printing,
professional fees and insurance are allocated among the Funds based
principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund incurred expenses in connection
with its organization and initial registration. These costs have been
deferred and are being amortized over 60 months on a straight-line basis.
FOREIGN CURRENCY TRANSLATIONS: The books and records of the Fund are
maintained in U.S. dollars. Foreign currency amounts and transactions of
the Fund are translated into U.S. dollars on the following basis:
(a) Market value of investment securities, other assets and liabilities at
the closing rate of exchange on the valuation date.
(b) Purchases and sales of investment securities and income at the closing
rate of exchange prevailing on the respective trade dates of such
transactions.
Reported net realized gains or losses from foreign currency-related
transactions arise from sales and maturities of short-term securities;
sales of foreign currencies; currency gains or losses realized between the
trade and settlement dates on securities transactions; the difference
between the amounts of dividends, interest, and foreign withholding taxes
recorded on the Fund's books; and the U.S. dollar equivalent of the amounts
actually received or paid. Net unrealized gains or losses from foreign
currency-related transactions arise from changes in the value of assets and
liabilities, other than investments in securities, at fiscal year-end,
resulting from changes in the exchange rates.
It is not practical to isolate that portion of the results of operations of
the Fund that arise as a result of changes in exchange rates from that
portion that arise from changes in market prices of investments during the
year. Such fluctuations are included with the net realized and unrealized
gain or loss from investments. However, for federal income tax purposes the
Fund does isolate the effects of changes in foreign exchange rates from the
fluctuations arising from changes in market prices for realized gain (or
loss) on debt obligations.
DERIVATIVES: To the extent permitted by the investment objectives,
restrictions and policies set forth in the Fund's Prospectus and Statement
of Additional Information, the Fund may participate in various
derivative-based transactions. Derivative securities are instruments or
agreements whose value is derived from an underlying security or index.
They include options, futures, swaps, forwards, structured notes and
stripped securities. These instruments offer unique characteristics and
risks that assist the Fund in meeting its investment strategies.
The Fund typically uses derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may
be used by certain funds through the use of options and futures to earn
"market-like" returns with a fund's excess and liquidity reserve cash
balances. Hedging is used by some funds to limit or control risks, such as
adverse movements in exchange rates and interest rates. Return enhancement
can be accomplished through the use of derivatives in a fund. By purchasing
certain instruments, a fund may more effectively achieve the desired
portfolio characteristics that allow the fund to
16 Notes to Financial Statements Emerging Markets Fund
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1995 (Unaudited)
meet its investment objectives. Depending on how the derivatives are
utilized and their structure, the risks associated with them may vary
widely. These risks are generally categorized as market risk, liquidity
risk and counterparty or credit risk.
FOREIGN CURRENCY EXCHANGE CONTRACTS: In connection with portfolio
purchases and sales of securities denominated in a foreign currency, the
Fund may enter into foreign currency exchange spot contracts and forward
foreign currency exchange contracts ("contracts"). Additionally, from time
to time the Fund may enter into contracts to hedge certain foreign
currency-denominated assets. Contracts are recorded at market value.
Certain risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts.
Realized gains or losses arising from such transactions are included in net
realized gain (or loss) from foreign currency-related transactions.
INVESTMENT IN EMERGING MARKETS: Investing in emerging markets may involve
special risks and considerations not typically associated with investing in
the United States markets. These risks include revaluation of currencies
and future adverse political and economic developments. Moreover,
securities issued in these markets may be less liquid and their prices more
volatile than those of comparable securities in the United States.
3. INVESTMENT TRANSACTIONS
SECURITIES: During the six months ended June 30, 1995, purchases and sales
of investment securities (excluding short-term investments) aggregated to
$72,469,237 and $37,128,319, respectively.
4. RELATED PARTIES
On January 16, 1995 and March 28, 1995, the Investment Company's Board of
Trustees and shareholders, respectively, approved amendments to the
Investment Company's Management Agreement with Frank Russell Investment
Management Company ("FRIMCo" or "Manager") to (i) provide for an annual
management fee to be paid to the Manager by each Fund based on the Fund's
average daily net assets; and (ii) clarify the agency relationship between
the Investment Company and the Manager with respect to fees paid to the
money managers selected to manage the Investment Company's assets. The
amendments became effective April 1, 1995.
Prior to April 1, 1995, the Fund paid no management or advisory fees.
Rather, each shareholder entered into a written Asset Management Service
Agreement with the Manager, pursuant to which the shareholder paid an asset
management service fee directly to the Manager, which in turn, acting as a
fiduciary for the Fund, compensated the money managers. Effective April 1,
1995, as approved by shareholders on March 28, 1995, the Fund began
incurring a management fee based on 1.20% of its average daily net assets.
For the six months ended June 30, 1995, the management fee paid to Frank
Russell Investment Management Company ("FRIMCo" or "Manager"), in
accordance with the Investment Company's Management Agreement with that
firm, amounted to $409,322. Such fee is payable monthly and is equal to the
annual rate, noted above, of the average daily net assets.
Prior to April 1, 1995, the Management Agreement provided that Fund
expenses (exclusive of interest and taxes) exceeding 0.80% of its average
daily net assets on an annual basis, would be paid by FRIMCo. Effective
April 1, 1995, the amendment to the management contract, as approved by
shareholders on March 28, 1995, provides that Fund expenses (exclusive of
interest and taxes) exceeding 2.00% of its average daily net assets on an
annual basis will be paid by FRIMCo. For the six months ended June 30,
1995, the amount of such reimbursement was $34,771.
Effective April 1, 1995, as approved by shareholders on March 28, 1995,
each shareholder continues to enter into a written Asset Management
Services Agreement with the Manager, pursuant to which the shareholder
agrees to pay an annual shareholder investment services fee calculated as a
specified percentage of the shareholder's average net assets in the Fund.
Currently, the Manager does not intend to impose such shareholder
investment services fee with respect to the Fund. In addition, a
shareholder may pay additional fees, expressed as fixed dollar amounts, for
the other services or reports provided by the Manager to the shareholder.
Accordingly, the expense information does not reflect an amount for fees
paid directly by an investor to the Manager.
Emerging Markets Fund Notes to Financial Statements 17
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1995 (Unaudited)
The Investment Company paid each of its Trustees not affiliated with FRIMCo
$16,000 per year plus out-of-pocket expenses. Total trustee expenses for
the six months ended June 30, 1995 were $42,947 and were allocated to each
Fund on a pro rata basis, including 21 affiliated funds not represented
here. Effective April 28, 1995, the Investment Company began paying each of
its Trustees not affiliated with FRIMCo $20,000 per year plus out-of-pocket
expenses.
Fees for bookkeeping services related to maintaining the tax records for
the Fund are paid or accrued to Frank Russell Company, an affiliate of the
Investment Company. Total fees for the six months ended June 30, 1995, were
$24,350.
The Fund has a contract with FRIMCo to provide transfer agent services to
the Investment Company. Total fees for the six months ended June 30, 1995
were $72,868.
5. MONEY MARKET FUND
The Fund is permitted to invest its cash reserves (i.e., monies awaiting
investment in portfolio securities suitable for the Fund's objectives) in
the Frank Russell Investment Company Money Market Fund (a series of Frank
Russell Investment Company not represented in this report). As of June 30,
1995, $11,851,000 of the Money Market Fund's net assets represents
investments by this Fund.
6. COMMITMENTS
As of June 30, 1995, the Fund has entered into various forward foreign
currency exchange and foreign currency exchange spot contracts which
contractually obligate the Fund to deliver or receive currencies at
specified future dates. Open contracts were as follows:
EMERGING MARKETS FUND
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE (DEPRECIATION)
- -------------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
USD 41,116 ARS 41,087 07/03/95 $ (21)
USD 20,391 CZK 525,974 07/03/95 (44)
BRL 18,293 USD 19,905 07/01/95 33
BRL 387,328 USD 421,009 07/05/95 229
THB 1,494,954 USD 60,573 07/03/95 12
------------
$ 209
------------
------------
</TABLE>
The related net unrealized appreciation (depreciation) is reflected in the
Fund's financial statements.
18 Notes to Financial Statements Emerging Markets Fund
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
ADDITIONAL INFORMATION
On March 28, 1995, a special meeting of the shareholders of the Emerging Markets
Fund was held for the purpose of voting on the following matters:
1. To approve or disapprove an amendment for an annual management fee,
and
2. To approve or disapprove an amendment clarifying the fiduciary and
client status of the Manager.
The results of the vote on Proposal 1 were as follows:
<TABLE>
<CAPTION>
NUMBER OF % OF OUTSTANDING % OF SHARES
VOTE SHARES SHARES VOTED
------------ ---------- ---------------- -----------
<S> <C> <C> <C> <C>
EMERGING MARKETS Affirmative 8,058,386 74% 97%
Against 251,280 2% 3%
Abstain -- -- --
---------- ---------------- -----------
Total 8,309,666 76% 100%
---------- ---------------- -----------
---------- ---------------- -----------
</TABLE>
The results of the vote on Proposal 2, including 9 affiliated funds not
represented in these financial statements were as follows:
<TABLE>
<CAPTION>
NUMBER OF % OF OUTSTANDING % OF SHARES
VOTE SHARES SHARES VOTED
------------ ---------- ---------------- -----------
<S> <C> <C> <C> <C>
Affirmative 121,284,261 70% 98%
Against 3,015,119 2% 2%
Abstain -- -- --
---------- ---------------- -----------
Total 124,299,380 72% 100%
---------- ---------------- -----------
---------- ---------------- -----------
</TABLE>
Emerging Markets Fund Additional Information 19
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(206) 627-7001
TRUSTEES
George F. Russell, Jr., Chairman
Lynn L. Anderson
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Lee C. Gingrich
Eleanor W. Palmer
OFFICERS
Lynn L. Anderson, President and Chief Executive Officer
Peter Apanovitch, Manager of Short Term Investment Funds
Margaret L. Barclay, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary
MANAGER
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
EMERGING MARKETS
Baring International Investment Limited, London, England
Genesis Asset Managers Limited, London, England
Montgomery Asset Management, L.P., San Francisco, CA
CUSTODIAN
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, MA 02171
TRANSFER AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young
2600 - One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, MA 02109
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUNDS AND IS SUBMITTED
FOR THE GENERAL INFORMATION OF SHAREHOLDERS AND IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY AN
EFFECTIVE PROSPECTUS. NOTHING HEREIN CONTAINED IS TO BE CONSIDERED AN OFFER OF
SALE OR A SOLICITATION OF AN OFFER TO BUY SHARES OF FRANK RUSSELL INVESTMENT
COMPANY. SUCH OFFERING IS MADE ONLY BY PROSPECTUS, WHICH INCLUDES DETAILS AS TO
OFFERING PRICE AND OTHER MATERIAL INFORMATION.
20 Manager and Money Managers Emerging Markets Fund
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