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Previous: RUSSELL FRANK INVESTMENT CO, NSAR-A, 1996-08-29 |
Next: WPL HOLDINGS INC, DEFA14A, 1996-08-29 |
<PAGE>
N-30D Table of Contents
Frank Russell Investment Company Fund Name N-30D Page
- ------------------------------------------ ----------
External Funds . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Equity I. . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Equity II . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Equity III. . . . . . . . . . . . . . . . . . . . . . . . . . 32
Equity Q. . . . . . . . . . . . . . . . . . . . . . . . . . . 40
International . . . . . . . . . . . . . . . . . . . . . . . . 51
Fixed Income I. . . . . . . . . . . . . . . . . . . . . . . . 75
Fixed Income II . . . . . . . . . . . . . . . . . . . . . . . 91
Fixed Income III. . . . . . . . . . . . . . . . . . . . . . . 99
Money Market. . . . . . . . . . . . . . . . . . . . . . . . . 111
Notes to Financial Statements . . . . . . . . . . . . . . . . 118
Manager and Money Managers . . . . . . . . . . . . . . . . . 127
Internal Funds . . . . . . . . . . . . . . . . . . . . . . . . . . 129
Diversified Equity. . . . . . . . . . . . . . . . . . . . . . 133
Special Growth. . . . . . . . . . . . . . . . . . . . . . . . 144
Equity Income . . . . . . . . . . . . . . . . . . . . . . . . 158
Quantitative Equity . . . . . . . . . . . . . . . . . . . . . 166
International Securities. . . . . . . . . . . . . . . . . . . 177
Diversified Bond. . . . . . . . . . . . . . . . . . . . . . . 200
Volatility Constrained Bond . . . . . . . . . . . . . . . . . 215
Multistrategy Bond. . . . . . . . . . . . . . . . . . . . . . 223
Notes to Financial Statements . . . . . . . . . . . . . . . . 234
Manager and Money Managers . . . . . . . . . . . . . . . . . 242
Specialty Funds . . . . . . . . . . . . . . . . . . . . . . . . . 244
Real Estate Securities. . . . . . . . . . . . . . . . . . . . 248
Emerging Markets. . . . . . . . . . . . . . . . . . . . . . . 255
Limited Volatility Tax Free . . . . . . . . . . . . . . . . . 269
US Government Money Market. . . . . . . . . . . . . . . . . . 278
Tax Free Money Market . . . . . . . . . . . . . . . . . . . . 284
Notes to Financial Statements . . . . . . . . . . . . . . . . 294
Manager and Money Managers . . . . . . . . . . . . . . . . . 299
<PAGE>
[Logo]
[Photo]
FRANK RUSSELL INVESTMENT COMPANY
1996-----------------------------------------------------------------------
SEMIANNUAL REPORT
-----------------------------------------------------------------------
EQUITY I FUND
EQUITY II FUND
EQUITY III FUND
EQUITY Q FUND
INTERNATIONAL FUND
FIXED INCOME I FUND
FIXED INCOME II FUND
FIXED INCOME III FUND
MONEY MARKET FUND
June 30,1996
<PAGE>
FRANK RUSSELL INVESTMENT
COMPANY
Frank Russell Investment Company is a "series
mutual fund" with 22 different investment
portfolios. These financial statements report on
nine 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
Letter to Our Clients . . . . . . . . . . . . . . . . . . . . . . 1
Equity I Fund . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Equity II Fund . . . . . . . . . . . . . . . . . . . . . . . . . 15
Equity III Fund . . . . . . . . . . . . . . . . . . . . . . . . . 29
Equity Q Fund . . . . . . . . . . . . . . . . . . . . . . . . . . 37
International Fund . . . . . . . . . . . . . . . . . . . . . . . 49
Fixed Income I Fund . . . . . . . . . . . . . . . . . . . . . . . 73
Fixed Income II Fund. . . . . . . . . . . . . . . . . . . . . . . 89
Fixed Income III Fund . . . . . . . . . . . . . . . . . . . . . . 97
Money Market Fund . . . . . . . . . . . . . . . . . . . . . . . . 109
Notes to Financial Statements . . . . . . . . . . . . . . . . . . 115
Manager and Money Managers . . . . . . . . . . . . . . . . . . . 124
FRANK RUSSELL INVESTMENT COMPANY - EXTERNAL FEE FUNDS
Copyright -C- Frank Russell Company 1996. 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>
TO OUR CLIENTS
Frank Russell Investment Company is pleased to present its 1996 Semiannual
Report. This report covers information for the Funds' first six months
of our fifteenth year of operation.
Our focus continued to be on the benefits of multi-manager, multi-style
diversification. We remain committed to providing our clients with
superior investments across each of our products. To reflect this
commitment the Funds' investment advisor, Frank Russell Investment
Management Company, has adopted the following Investment Philosophy
Statement stating its beliefs:
"We believe that financial markets reward knowledgeable, disciplined
investors. Capitalizing on our extensive understanding of markets,
managers, and investors, we design portfolios that deliver superior,
consistent, long-term results, while controlling the chances of
substantial short-term disappointment. Our knowledge and commitment to a
disciplined investment process are reflected in every portfolio we
manage."
Consistent with that investment philosophy, Frank Russell Investment
Management Company continuously evaluates the funds we offer to our
clients. Each of these funds is continually reviewed and monitored
by Russell's investment professionals to ensure that the most appropriate
investment advisors and strategies are utilized within each fund.
Each of the advisors is monitored by the Investment Management Group
within the Frank Russell Investment Management Company, using the
research, tools, and advice of the consulting group of Frank Russell
Company.
We look forward to the remainder of this year and continuing to earn
your support by exceeding your expectations. Thank you for your continued
confidence and investment with Frank Russell Investment Company.
Sincerely,
/s/ George F. Russell
George F. Russell, Jr.
Chairman of the Board
Frank Russell Investment Company
/s/ Lynn L. Anderson
Lynn L. Anderson
President and Chief Executive Officer
Frank Russell Investment Company
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
COMMON STOCKS - 93.7%
BASIC INDUSTRIES - 5.7%
Aluminum Co. of America 96,900 $ 5,560
ASARCO, Inc. 2,600 72
Battle Mountain Gold Co. 4,800 35
Bethlehem Steel Corp. (a) 27,400 325
Cameco Corp. 23,300 489
Consolidated Papers, Inc. 8,600 447
Cyprus Amax Minerals Co. 18,800 425
Dow Chemical Co. 26,700 2,029
du Pont (E.I.) de Nemours & Co. 16,400 1,298
First Brands Corp. 2,700 73
FMC Corp. (a) 12,300 803
Goodrich (B.F.) Co. 76,600 2,863
Grace (W.R.) & Co. 41,300 2,927
Great Lakes Chemical Corp. 65,640 4,086
Illinois Tool Works, Inc. 41,500 2,806
IMC Global, Inc. 41,200 1,550
International Specialty Products (a) 4,900 54
James River Corp. of Virginia 94,900 2,503
Kimberly-Clark Corp. 19,400 1,499
Lone Star Technologies, Inc. (a) 85,000 935
Lubrizol Corp. 2,100 64
Mallinckrodt Group, Inc. 2,700 105
Minnesota Mining & Manufacturing Co. 41,500 2,864
Monsanto Co. 103,000 3,348
Morton International, Inc. 2,300 86
Olin Corp. 8,500 759
Owens-Illinois, Inc. (a) 2,600 42
P.H. Glatfelter Co. 700 13
Phelps Dodge Corp. 5,400 337
Potlatch Corp. 17,300 677
Praxair, Inc. 38,700 1,635
Precision Castparts Corp. 36,600 1,574
Rhone Poulenc SA - ADR 42,191 1,118
Rohm & Haas Co. 20,400 1,280
Sealed Air Corp. 1,100 37
Sequa Corp. (a) 31,100 1,341
Sigma Aldrich Corp. 6,300 334
Terra Industries, Inc. 53,500 662
Titanium Metals Corp. (a) 14,900 386
Union Carbide Corp. 40,300 1,602
Westvaco Corp. 24,400 728
Willamette Industries, Inc. 5,700 337
Witco Chemical Corp. 13,300 456
--------
50,564
--------
CAPITAL GOODS - 3.1%
Albany International Corp. New Class A 45,000 1,018
Alcatel Alsthom Compagnie
Generale d'Electricite - ADR 85,100 1,500
Anixter International, Inc. 1,800 27
Atmel Corp. 35,700 1,075
Aviall, Inc. 69,500 643
Ball Corp. 6,300 181
Case Corp. 25,100 1,205
Caterpillar, Inc. 3,100 210
Cooper Industries, Inc. 3,200 133
Cummins Engine Co., Inc. 13,300 537
Deere & Co. 23,500 940
Dover Corp. 12,600 581
Duracell International, Inc. 7,200 311
Far East Levingston (a) 190,000 1,050
Fisher Scientific International, Inc. 10,000 375
Foster Wheeler Corp. 2,200 99
General Electric Co. 41,900 3,624
Giant Cement Holding, Inc. (a) 40,400 510
Harnischfeger Industries, Inc. 8,900 296
Harsco Corp. 8,300 558
Ingersoll-Rand Co. 35,800 1,566
Johnson Controls, Inc. 17,100 1,188
Magna International, Inc. Class A 32,500 1,495
Millipore Corp. 9,100 381
National Service Industries, Inc. 5,800 227
Novellus Systems, Inc. (a) 4,500 162
Pall Corp. 7,500 181
Parker-Hannifin Corp. 1,900 81
Pentair, Inc. 2,100 63
Raychem Corp. 1,800 129
SPS Technologies, Inc. (a) 31,700 2,235
Technip SA - ADR 26,400 1,214
Tecumseh Products Co. Class A 14,100 758
Tremont Corp. (a) 40,000 1,445
Tyco International, Ltd. 6,100 249
WMX Technologies, Inc. 43,300 1,418
--------
27,665
--------
CONSUMER BASICS - 17.9%
Abbott Laboratories 84,400 3,671
ALZA Corp. (a) 600 16
American Brands, Inc. 53,000 2,405
American Home Products Corp. 132,300 7,955
American Stores Co. 72,000 2,970
Amgen, Inc. 37,500 2,016
Archer-Daniels-Midland Co. 119,591 2,287
Bausch & Lomb, Inc. 21,800 927
Equity I Fund 3
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Baxter International, Inc. 39,000 $ 1,843
Becton, Dickinson & Co. 28,400 2,279
Bergen Brunswig Corp. Class A 1,900 53
Beverly Enterprises, Inc. (a) 47,400 569
Bristol-Myers Squibb Co. 30,600 2,754
Campbell Soup Co. 12,200 860
Cardinal Health, Inc. 18,610 1,342
Chiquita Brands International, Inc. 65,700 854
ChiRex, Inc. (a) 52,500 578
Clorox Co. 6,050 536
Coca-Cola Co. (The) 99,800 4,878
Coca-Cola Enterprises, Inc. 7,500 260
Columbia/HCA Healthcare Corp. 176,100 9,399
Dial Corp. (The) 47,000 1,345
Dimon, Inc. 40,700 753
Dole Food, Inc. 21,100 907
Eckerd Corp. 3,600 81
FHP International Corp. (a) 5,600 153
Fleming Cos., Inc. 95,000 1,366
Giant Food, Inc. Class A 11,300 405
Gillette Co. 46,900 2,925
Great Atlantic & Pacific Tea Co., Inc. 3,800 125
Health Management Associates Class A 9,300 188
HealthCare COMPARE (a) 11,500 559
HEALTHSOUTH Rehabilitation Corp. (a) 8,300 299
Hershey Foods Corp. 1,300 95
Humana, Inc. (a) 400 7
IBP, Inc. 45,200 1,249
International Multifoods Corp. 50,000 913
Interstate Bakeries Corp. 45,000 1,204
IVAX Corp. 1,300 21
Johnson & Johnson 227,500 11,261
Lilly (Eli) & Co. 82,300 5,350
Magellan Health Services, Inc. (a) 40,000 860
McKesson Corp. 14,700 700
Merck & Co., Inc. 93,950 6,072
Mylan Laboratories, Inc. 165,000 2,846
Oxford Health Plans, Inc. 20,300 832
PepsiCo, Inc. 434,350 15,365
Pfizer, Inc. 67,300 4,804
Pharmacia & Upjohn, Inc. 89,100 3,954
Philip Morris Cos., Inc. 167,550 17,425
Procter & Gamble Co. 53,800 4,876
Quorum Health Group, Inc. (a) 3,200 84
RJR Nabisco Holdings Corp. 47,020 1,458
Safeway, Inc. 9,900 327
Sara Lee Corp. 40,000 1,295
Schering-Plough Corp. 81,100 5,089
Smithkline Beecham PLC - ADR 80,800 4,394
Sybron International Corp. 1,000 25
Tambrands, Inc. 4,000 164
Tenet Healthcare Corp. (a) 33,000 705
U.S. Healthcare, Inc. 11,350 623
Unilever NV 14,800 2,148
United Healthcare Corp. 73,700 3,722
Universal Corp. 51,200 1,357
US Bioscience, Inc. (a) 563 8
Vons Cos., Inc. (a) 17,200 643
Watson Pharmaceuticals, Inc. (a) 21,700 819
Weis Markets, Inc. 2,800 91
Wellpoint Health Networks, Inc. Class A (a) 14,506 452
Whitman Corp. 7,700 185
--------
158,981
--------
CONSUMER DURABLES - 3.1%
AutoZone Inc. (a) 29,000 1,008
Borg-Warner Automotive, Inc. 17,000 672
Chrysler Corp. 123,600 7,663
Dana Corp. 9,900 307
Elsag Bailey Process Automation NV (a) 81,500 2,180
Fleetwood Enterprises, Inc. 5,900 183
Ford Motor Co. 153,371 4,965
General Motors Corp. 91,600 4,798
Goodyear Tire & Rubber Co. 13,300 642
Harley-Davidson, Inc. 9,700 399
Leggett & Platt, Inc. 7,500 208
Maytag Corp. 1,000 21
PACCAR, Inc. 14,600 712
Pep Boys - Manny, Moe & Jack 17,525 596
Snap-On Tools Corp. 4,500 213
UNC, Inc. (a) 122,800 1,028
Whirlpool Corp. 32,000 1,587
--------
27,182
--------
CONSUMER NON-DURABLES - 6.8%
Anheuser-Busch Cos., Inc. 17,850 1,339
Avon Products, Inc. 1,300 59
Barnes & Noble, Inc. (a) 1,900 68
Barry (R.G.) Corp. 75,000 1,069
Bed Bath & Beyond, Inc. 4,500 119
Cintas Corp. 2,800 148
Dayton Hudson Corp. 35,100 3,620
Dillard Department Stores, Inc. Class A 48,300 1,763
Dollar General Corp. 4,625 135
Donna Karan International, Inc. (a) 2,500 60
4 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Eastman Kodak Co. 16,400 $ 1,275
Federated Department Stores, Inc. (a) 145,110 4,952
Gap, Inc. 111,200 3,572
Hasbro, Inc. 16,700 597
Heilig-Meyers, Co. 10,200 245
Hills Store Co. (a) 27,926 248
Home Depot, Inc. (The) 32,700 1,766
Jones Apparel Group, Inc. (a) 500 25
Jostens, Inc. 56,700 1,120
K mart Corp. 141,900 1,756
Kohl's Corp. 8,800 322
Liz Claiborne, Inc. 17,800 616
Lowe's Cos., Inc. 40,645 1,468
Mattel, Inc. 105,143 3,010
May Department Stores Co. 44,500 1,947
Mercantile Stores, Inc. 1,500 88
NIKE, Inc. Class B 15,000 1,541
Payless ShoeSource, Inc. (a) 54,420 1,728
Penney (J.C.) Co., Inc. 72,000 3,780
Petrie Stores Corp. (a) 36,500 100
Phar-Mor, Inc. (a) 121,500 957
Polaroid Corp. 40,000 1,825
Rayonier, Inc. 36,000 1,368
Revco D.S., Inc. (a) 14,600 349
Rite Aid Corp. 49,000 1,458
Russell Corp. 11,500 318
Sears Roebuck & Co. 45,400 2,208
SuperValu, Inc. 44,900 1,414
TJX Cos., Inc. 64,500 2,177
Toys "R" Us, Inc. (a) 147,000 4,190
Unifi, Inc. 35,000 984
Wal-Mart Stores, Inc. 87,400 2,217
Warnaco Group, Inc. Class A 19,300 496
Woolworth Corp. (a) 47,800 1,075
Zale Corp. (a) 65,000 1,096
--------
60,668
--------
CONSUMER SERVICES - 5.1%
America West Airlines, Inc. Class B (a) 52,700 1,159
AMR Corp. (a) 60,800 5,533
Boston Chicken, Inc. (a) 18,500 599
Brinker International, Inc. (a) 82,600 1,239
British Airways PLC - ADS 5,300 454
Callaway Golf Co. 3,400 113
Carnival Corp. Class A 92,300 2,665
Circus Circus Enterprises, Inc. (a) 60,000 2,460
Darden Restaurants, Inc. 80,000 860
Delta Air Lines, Inc. 38,800 3,220
Disney (Walt) Co. 75,800 4,766
Harrah's Entertainment, Inc. 75,200 2,124
Hilton Hotels Corp. 11,500 1,294
International Game Technology 9,500 160
ITT Corp. 49,200 3,260
King World Productions, Inc. (a) 21,900 797
KLM Royal Dutch Airlines 49,329 1,566
Marriot International, Inc. 5,800 312
McDonald's Corp. 73,700 3,445
MGM Grand, Inc. (a) 7,700 307
Mirage Resorts, Inc. (a) 15,900 859
Northwest Airlines Corp. Class A (a) 53,500 2,107
Southwest Airlines Co. 65,075 1,895
UAL Corp. (a) 73,800 3,967
--------
45,161
--------
ENERGY - 7.5%
Amerada Hess Corp. NPV 68,000 3,647
Amoco Corp. 67,900 4,914
Apache Corp. 63,600 2,091
Ashland, Inc. 22,000 872
Atlantic Richfield Co. 13,100 1,552
Baker Hughes, Inc. 67,600 2,222
British Petroleum Co. PLC - ADR 28,870 3,085
Burlington Resources, Inc. 39,100 1,681
Chevron Corp. 42,400 2,502
Crown Centennial Petroleum Co. Class B (a) 67,000 1,030
Dresser Industries, Inc. 11,400 336
Enron Oil & Gas Co. 10,800 301
ENSCO International, Inc. (a) 3,700 120
Exxon Corp. 71,900 6,246
Halliburton Co. 5,600 311
Kerr-McGee Corp. 15,200 925
LTV Corp. 2,500 28
Mobil Corp. 48,850 5,477
NGC Corp. 6,700 101
Noble Affiliates, Inc. 2,300 87
Noble Drilling Corp. (a) 100,000 1,388
NorAm Energy Corp. 32,300 351
Oryx Energy Co. (a) 102,200 1,661
Petroleum Heat & Power, Inc. Class A 235,501 1,737
Questar Corp. 28,500 969
Repsol - ADR 26,100 907
Royal Dutch Petroleum Co. - ADR 29,800 4,582
Santa Fe Energy Resources, Inc. (a) 28,500 338
Equity I Fund 5
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Schlumberger, Ltd. 56,500 $ 4,760
Smith International, Inc. (a) 34,500 1,039
Sonat Offshore Drilling, Inc. 2,200 111
Tenneco, Inc. 60,900 3,114
Texaco, Inc. 21,900 1,837
Tosco Corp. 45,000 2,261
USX-Marathon Group 122,900 2,473
Valero Energy Corp. 21,800 545
YPF Sociedad Anonima Class D - ADR 45,000 1,014
--------
66,615
--------
FINANCE - 16.0%
Advanta Corp. Class A 1,100 56
Aetna Life & Casualty Co. 36,700 2,624
AFLAC, Inc. 105,000 3,137
Allstate Corp. 85,966 3,922
AMBAC, Inc. 9,000 469
American Financial Group, Inc. 37,100 1,118
American General Corp. 64,900 2,361
American International Group, Inc. 79,825 7,873
American Re Corp. 4,700 211
Associates First Capital Corp. Class A (a) 36,400 1,370
Banc One Corp. 67,430 2,293
Bancorp Hawaii, Inc. 17,100 616
Bank of Boston Corp. 1,900 94
BankAmerica Corp. 48,600 3,681
Bankers Life Holding Corp. 6,600 146
Bankers Trust New York Corp. 2,500 185
Barnett Banks, Inc. 16,500 1,007
Bear Stearns Cos., Inc. 20,460 483
Beneficial Corp. 10,400 584
Chase Manhattan Corp. 179,584 12,683
Chubb Corp. (The) 135,400 6,753
CIGNA Corp. 38,150 4,497
Cincinnati Financial Corp. 3,100 178
Citicorp 10,900 901
Coast Savings Financial, Inc. (a) 42,900 1,405
Comerica, Inc. 15,900 710
CoreStates Financial Corp. 64,200 2,472
Countrywide Credit Industries, Inc. 54,000 1,337
Danielson Holding Corp. (a) 128,300 858
Dean Witter, Discover & Co. 64,745 3,707
Edwards (A.G.), Inc. 25,000 678
Equifax, Inc. 5,000 131
Equitable Companies, Inc. 9,600 239
Federal Home Loan Mortgage Corp. 22,800 1,949
Federal National Mortgage Association 224,000 7,504
FINOVA Group, Inc. 9,800 478
First American Corp. 800 34
First Chicago NBD Corp. 30,001 1,174
First Empire State Corp. 500 121
First Tennessee National Corp. 44,200 1,348
First Union Corp. 25,700 1,564
Firstar Corp. 4,000 185
Fleet Financial Group, Inc. 23,600 1,027
Franklin Resources, Inc. 3,100 189
General Re Corp. 15,500 2,360
Golden West Financial Corp. 41,100 2,302
Green Tree Financial Corp. 28,200 881
Greenpoint Financial Corp. 10,300 291
Hartford Steam Boiler Inspection
& Insurance Co. 900 44
Hibernia Corp. 7,200 78
Highlands Insurance Group, Inc. (a) 50,000 938
Household International Corp. 32,500 2,470
Jefferson-Pilot Corp. 11,300 583
Lehman Brothers Holdings, Inc. 70,400 1,742
MBNA Corp. 81,150 2,313
Mercantile Bankshares Corp. 3,900 99
Merrill Lynch & Co., Inc. 67,400 4,389
MGIC Investment Corp. 2,400 135
Morgan Stanley Group, Inc. 33,800 1,660
National City Corp. 19,100 671
National Re Corp. 30,000 1,133
NationsBank Corp. 67,960 5,615
Northern Trust Corp. 2,100 121
Norwest Corp. 155,300 5,416
Old Republic International Corp. 50,950 1,095
PaineWebber Group, Inc. 27,700 658
Paul Revere Corp. 44,400 1,221
Pohjola Series B (a) 70,000 1,186
Progressive Corp. 5,900 273
Provident Companies, Inc. 14,100 522
Reliastar Financial Corp. 24,100 1,039
SAFECO Corp. 2,800 99
Salomon, Inc. 16,900 744
Schwab (Charles) Corp. 2,500 61
Signet Banking Corp. 22,500 523
Southern National Corp. 53,400 1,695
SouthTrust Corp. 11,700 329
Star Banc Corp. 2,800 189
State Street Boston Corp. 86,900 4,432
Student Loan Marketing Association 3,000 222
SunAmerica, Inc. 800 45
SunTrust Banks, Inc. 78,000 2,886
6 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
TCF Financial Corp. 17,700 $ 589
TIG Holdings, Inc. 900 26
Torchmark Corp. 64,000 2,800
Transamerica Financial Corp. 6,700 543
Transatlantic Holdings, Inc. 3,300 231
Travelers, Inc. 20,400 931
U.S. Bancorp of Oregon 30,700 1,105
USLIFE Corp. 16,700 548
Washington Federal, Inc. 5,100 104
Washington Mutual, Inc. 1,300 38
Zurich Reins Centre Holdings, Inc. 4,400 138
--------
141,865
--------
GENERAL BUSINESS - 3.8%
American Greetings Corp. Class A 42,500 1,158
Automatic Data Processing, Inc. 162,200 6,265
Cascade Communications Corp. 33,200 2,258
Central Newspapers, Inc. Class A 11,400 428
Comdisco, Inc. 11,000 293
Computer Sciences Corp. (a) 49,700 3,715
Cox Communications, Inc. Class A (a) 41,600 900
Deluxe Corp. 42,300 1,502
Donnelley (R.R.) & Sons Co. 7,000 244
Figgie International Holdings, Inc. Class A (a) 55,700 822
First Data Corp. 30,126 2,399
Flightsafety International, Inc. 7,800 423
GTECH Holdings Corp. (a) 5,400 160
Knight-Ridder, Inc. 2,700 196
Manpower, Inc. 5,100 200
Marvel Entertainment Group, Inc. (a) 5,300 50
Media General, Inc. Class A 6,400 238
Ogden Corp. 26,100 473
QUALCOMM, Inc. (a) 23,200 1,230
Reuters Holdings PLC Class B - ADR 13,600 984
Safety-Kleen Corp. 5,500 96
Service Corp. International 68,600 3,945
Staples, Inc. 17,000 329
Tele-Communications, Inc. Class A 86,000 1,548
Tele-Communications, Inc. Series A (a) 69,375 1,838
Tribune Co. 21,100 1,532
Viacom, Inc. Class B (a) 24,800 963
--------
34,189
--------
MISCELLANEOUS - 0.8%
American Real Estate Partners, L.P. (a) 96,242 854
Bradley Real Estate, Inc. 32,722 474
Canadian Pacific, Ltd. 57,000 1,254
Catellus Development Corp. (a) 130,000 1,186
GenCorp, Inc. 80,000 1,210
Koger Equity, Inc. (a) 5,900 79
Newhall Land & Farming Co. 56,000 924
Providian Corp. 26,600 1,141
--------
7,122
--------
SHELTER - 0.5%
Armstrong World Industries, Inc. 33,800 1,948
Centex Corp. 18,700 582
Georgia Pacific Corp. 19,000 1,349
Schuller Corp. 21,600 224
St. Lawrence Cement Inc. Class A 87,000 583
Standard Pacific Corp. 22,000 159
--------
4,845
--------
TECHNOLOGY - 13.8%
3Com Corp. 42,600 1,944
Adaptec, Inc. (a) 2,900 137
ADC Telecommunications, Inc. (a) 37,200 1,655
Advanced Micro Devices, Inc. (a) 2,800 38
Altera Corp. (a) 11,900 451
AMP, Inc. 34,000 1,364
Andrew Corp. 1,900 103
Applied Materials, Inc. 125,100 3,800
Avery Dennison Corp. 7,900 434
Avnet, Inc. 22,400 944
BE Aerospace, Inc. (a) 156,800 2,038
Boeing Co. 113,000 9,845
Cabletron Systems, Inc. (a) 3,600 247
Cadence Design Systems, Inc. 6,600 223
CAE, Inc. 115,300 959
Ceridian Corp. (a) 4,400 222
Cisco Systems, Inc. (a) 205,700 11,648
COMPAQ Computer Corp. (a) 95,900 4,723
Computer Associates International, Inc. 32,500 2,316
Compuware Corp. (a) 56,000 2,198
Curtiss-Wright Corp. 16,400 886
Dell Computer Corp. 4,000 203
EG&G, Inc. 15,000 321
Electronic Data Systems Corp. 34,600 1,860
EMC Corp. (a) 700 13
Ericsson (LM) Telephone Co.
Class B - ADR 133,470 2,853
Equity I Fund 7
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Gateway 2000, Inc. (a) 1,300 $ 44
General Dynamics Corp. 1,600 99
General Motors Corp. Class H 24,800 1,491
Guidant Corp. 8,600 424
Harris Corp. 4,000 244
Hewlett-Packard Co. 107,300 10,690
Honeywell, Inc. 47,600 2,594
Informix Corp. (a) 40,800 913
Intel Corp. 227,300 16,678
International Business Machines Corp. 41,400 4,099
KLA Instruments Corp. 3,400 79
Komag, Inc. 4,700 123
Lockheed Martin Corp. 44,600 3,746
Longview Fibre Co. 14,800 252
Microsoft Corp. (a) 65,900 7,908
Molex, Inc. Class A 8,100 238
Motorola, Inc. 52,200 3,282
Oracle Systems Corp. 49,300 1,941
Pitney Bowes, Inc. 3,300 158
Raytheon Co. 54,900 2,834
Rockwell International Corp. 49,100 2,811
Seagate Technology (a) 32,300 1,454
Storage Technology Corp. (a) 50,800 1,943
Sun Microsystems, Inc. 9,100 535
Symbol Technologies, Inc. (a) 8,100 360
Tandem Computers, Inc. (a) 6,800 84
Tellabs, Inc. (a) 4,000 267
TRW, Inc. 1,800 162
U.S. Robotics Corp. 17,500 1,492
United Technologies Corp. 10,600 1,218
Western Digital Corp. (a) 26,200 683
Xerox Corp. 34,800 1,861
Xilinx, Inc. 21,800 688
--------
122,820
--------
TRANSPORTATION - 1.4%
BT Shipping, Ltd. - ADR (a) 201,600 756
Conrail, Inc. 28,200 1,872
CSX Corp. 38,600 1,862
GATX Corp. 11,200 540
Johnstown America Industries, Inc. (a) 60,000 195
Navistar International Corp. (a) 50,600 500
Nordic American Tanker Shipping, Ltd.
1997 Warrants (a) 36,200 140
Norfolk Southern Corp. 38,800 3,288
OMI Corp. (a) 63,700 549
Overseas Shipholding Group, Inc. 45,000 816
Ryder System, Inc. 42,400 1,193
Teekay Shipping Corp. 20,000 525
Tidewater, Inc. 7,000 308
--------
12,544
--------
UTILITIES - 8.2%
Airtouch Communications, Inc. (a) 150,000 4,238
Allegheny Power System, Inc. 15,900 491
AT&T Corp. 117,500 7,285
Baltimore Gas & Electric Co. 14,600 414
BCE, Inc. 38,400 1,517
BellSouth Corp. 35,300 1,496
Boston Edison Co. 17,600 449
Carolina Power & Light Co. 18,300 695
Centerior Energy Corp. 44,800 330
Central & Southwest Corp. 4,400 128
Central Maine Power Co. 44,200 641
Century Telephone Enterprises, Inc. 700 22
CMS Energy Corp. 8,500 262
Columbia Gas System, Inc. 13,300 693
Consolidated Natural Gas Co. 12,100 632
Edison International 142,900 2,519
El Paso Natural Gas Co. 8,300 320
ENSERCH Corp. 32,000 696
Florida Progress Corp. 1,800 63
FPL Group, Inc. 20,500 943
General Public Utilities Corp. 38,800 1,368
GTE Corp. 27,700 1,240
Idaho Power Co. 4,800 149
LG&E Energy Corp. 2,200 50
Long Island Lighting Co. 30,000 503
Lucent Technologies, Inc. 44,700 1,693
MCI Communications Corp. 243,200 6,202
MidAmerican Energy Co. 4,100 71
National Fuel & Gas Co. 7,900 284
Niagara Mohawk Power Corp. 327,900 2,541
NICOR, Inc. 10,500 298
NIPSCO Industries, Inc. 6,600 266
Northeast Utilities 86,000 1,150
Northern States Power Co. 6,000 296
NYNEX Corp. 55,900 2,655
Pacific Gas & Electric Co. 173,400 4,032
Pacific Telesis Group 85,643 2,890
Pinnacle West Capital Corp. 12,800 389
Portland General Electric Co. 6,300 195
Potomac Electric Power Co. 75,000 1,988
8 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
SCANA Corp. 500 $ 14
Sonat, Inc. 800 36
Southern New England
Telecommunications Corp. 49,300 2,071
Sprint Corp. 96,900 4,070
Telefonica de Espana SA - ADR 78,000 4,300
Telefonos de Mexico SA Series L - ADR 98,000 3,283
Texas Utilities Co. 45,000 1,924
U.S. West Communications Group 25,700 819
Unicom Corp. 60,800 1,695
Washington Water Power Co. 17,200 320
Western Resources, Inc. 3,300 99
WorldCom, Inc. (a) 33,800 1,866
WPL Holdings, Inc. 400 12
--------
72,603
--------
TOTAL COMMON STOCKS
(cost $702,095) 832,824
--------
CONVERTIBLE PREFERRED STOCKS - 0.3%
Elsag Bailey Financing Trust 21,700 1,063
Glendale Federal Bank Series E 22,100 1,061
Sun, Inc. Series A 10,799 319
--------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $2,029) 2,443
--------
PREFERRED STOCKS - 0.1%
Ann Taylor Finance Trust 17,000 1,007
--------
TOTAL PREFERRED STOCKS
(cost $856) 1,007
--------
SHORT-TERM INVESTMENTS - 5.5%
Frank Russell Investment Company
Money Market Fund, due on demand (b) 46,452 46,452
United States Treasury Bills (c)(d)
4.940% due 10/17/96 400 394
4.975% due 10/17/96 2,500 2,462
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $49,309) 49,308
--------
TOTAL INVESTMENTS
(identified cost $754,289)(e) - 99.6% 885,582
OTHER ASSETS AND LIABILITIES,
Net - 0.4% 3,706
--------
NET ASSETS - 100.0% $889,288
--------
--------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) Held as collateral by the custodian in connection
with futures contracts purchased by the Fund.
(e) See Note 2 for federal income tax information.
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- ------------
FUTURES CONTRACTS
(Notes 2 and 3)
S & P 500 Index Futures Contracts
expiration date 09/96 112 $ 71
S & P 400 Midcap Index Futures Contracts
expiration date 09/96 81 (269)
--------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (Section) $ (198)
--------
--------
(Section) At June 30, 1996, United States Treasury Bills valued at $2,856 were
held as collateral by the custodian in connection with futures
contracts purchased by the Fund.
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, 1996 (Unaudited)
December 31, 1996
<TABLE>
<CAPTION>
ASSETS
<S> <C> <C>
Investments at market (identified cost $754,288,635) (Note 2). . . . . . . . . . . $ 885,581,708
Foreign currency holdings (identified cost $24,151). . . . . . . . . . . . . . . . 24,618
Receivables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,536,649
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,532,800
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,307,744
Daily variation margin on futures contracts (Notes 2 and 3) . . . . . . . . . . . 315,300
--------------
900,298,819
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . . . . . . . . . . $ 9,678,712
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . 763,335
Accrued fees to affiliates (Note 4) . . . . . . . . . . . . . . . 466,012
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . 103,122 11,011,181
-------------- --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 889,287,638
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . $ 3,165,269
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . 54,521,525
Unrealized appreciation (depreciation) on: ,
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131,293,520
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (197,765)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . 294,585
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . 700,210,504
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 889,287,638
--------------
--------------
Net asset value, offering and redemption price per share
($889,287,638 divided by 29,458,533 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . $30.19
--------------
--------------
</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, 1996 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C> <C>
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,811,394
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,238,380
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,974
-------------
9,121,748
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,493,034
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 262,866
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117,653
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,663
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,494
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,830
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,463
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,706 2,991,709
-------------- --------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,130,039
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,421,617
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,336,926
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,101,090
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106,717
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,966,350
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . $ 82,096,389
--------------
--------------
</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, 1996 Ended
(Unaudited) December 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,130,039 $ 12,250,113
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,421,617 79,868,574
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . 3,336,926 2,303,306
Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . -- 2,036,237
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,101,090 97,440,790
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . 106,717 (304,482)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (281,884)
-------------- --------------
Net increase (decrease) in net assets resulting from operations. . . . . . 82,096,389 193,312,654
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . (2,964,770) (12,344,719)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . (16,990,895) (73,241,302)
Increase (decrease) in net assets from Fund share transactions . . . . . . 75,650,227 96,528,353
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 137,790,951 204,254,986
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . 751,496,687 547,241,701
-------------- --------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $3,165,269 AT JUNE 30, 1996). . . . . . . . . . . . . . . . . . . . . $ 889,287,638 $ 751,496,687
-------------- --------------
-------------- --------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1995
--------------------------------- ----------------------------------
SHARES AMOUNT SHARES AMOUNT
------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . 4,890,005 $ 142,332,490 8,042,540 $ 218,753,104
Fund shares issued to shareholders
in reinvestments of distributions. . . 634,298 18,446,612 2,917,909 80,302,078
Fund shares redeemed . . . . . . . . . . (2,906,834) (85,128,875) (7,584,655) (202,526,829)
------------- -------------- -------------- --------------
Net increase (decrease). . . . . . . . . 2,617,469 $ 75,650,227 3,375,794 $ 96,528,353
------------- -------------- -------------- --------------
------------- -------------- -------------- --------------
</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>
1996* 1995 1994 1993 1992 1991
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 28.00 $ 23.32 $ 24.91 $ 25.00 $ 25.17 $ 21.13
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . .21 .52 .62 .60 .61 .75
Net realized and unrealized gain (loss) on investments . 2.69 7.71 (.41) 2.18 1.54 5.61
-------- -------- -------- -------- -------- --------
Total income from investment operations. . . . . . . . . 2.90 8.23 .21 2.78 2.15 6.36
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . (.10) (.52) (.62) (.60) (.62) (.75)
Net realized gain on investments . . . . . . . . . . . . (.61) (3.03) (.94) (2.11) (1.70) (1.57)
In excess of net realized gain on investments. . . . . . -- -- (.24) (.16) -- --
-------- -------- -------- -------- -------- --------
Total distributions. . . . . . . . . . . . . . . . . . . (.71) (3.55) (1.80) (2.87) (2.32) (2.32)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 30.19 $ 28.00 $ 23.32 $ 24.91 $ 25.00 $ 25.17
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a)(c) . . . . . . . . . . . . . . . . . . 10.48 35.94 0.79 11.61 9.02 31.22
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . .72 .59 .12 .14 .15 .19
Net investment income to average net assets (b)(c) . . . 1.47 1.91 2.52 2.36 2.53 3.14
Portfolio turnover (b) . . . . . . . . . . . . . . . . . 99.84 92.04 75.02 91.87 71.14 119.55
Net assets, end of period ($000 omitted) . . . . . . . . 889,288 751,497 547,242 514,356 410,170 330,507
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . . . . . . . .0470 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net of
investment management fees but gross of any investment services fees. See
Note 4.
Equity I Fund 13
<PAGE>
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
COMMON STOCKS - 87.1%
BASIC INDUSTRIES - 2.9%
AK Steel Holding Corp. 7,900 $ 309
Albemarle Corp. 14,300 261
Alumax, Inc. (a) 12,900 392
Amcast Industrial Corp. 2,600 53
Arcadian Corp. 20,600 407
ASARCO, Inc. 11,000 304
Bethlehem Steel Corp. (a) 38,700 459
Bio-Rad Laboratories, Inc. Class A 2,850 102
Bowater, Inc. 8,900 335
Brush Wellman, Inc. 1,900 36
BWay Corp. (a) 6,000 108
Cambrex Corp. 3,600 184
Carpenter Technology Corp. 4,400 141
CasTech Aluminum Group, Inc. (a) 6,600 97
Chaparral Steel Co. 1,400 18
Cleveland-Cliffs, Inc. 3,000 117
Commercial Metals Co. 2,000 66
Commonwealth Aluminum Corp. 7,600 119
Cyprus Amax Minerals Co. 25,800 584
Dexter Corp. 8,300 247
Easco, Inc. 15,000 114
Ferro Corp. 2,900 77
Fort Howard Corp. New (a) 14,000 278
Goodrich (B.F.) Co. 8,000 298
Hecla Mining Co. (a) 11,800 83
Huntco, Inc. Class A 2,000 36
International Specialty Products (a) 7,000 76
Lubrizol Corp. 13,400 407
Lukens, Inc. 4,000 96
Mark IV Industries, Inc. 1,260 29
Mississippi Chemical Corp. 8,500 168
Mueller Industries, Inc. 5,800 241
National Steel Corp. Class B (a) 6,400 70
OM Group 1,300 51
Oregon Steel Mills, Inc. 5,800 80
PENWEST, Ltd. 6,000 108
Pope & Talbot, Inc. 2,700 41
Proler International Corp. (a) 62,500 383
Quanex Corp. 4,300 102
Reliance Steel & Aluminum Co. 2,100 77
Rouge Steel Co. Class A 2,200 47
Slater Steel, Inc. (a) 18,000 170
Steel Technologies, Inc. 2,000 30
Terra Industries, Inc. 29,200 361
Texas Industries, Inc. 12,000 824
Tredegar Industries, Inc. 1,100 33
Universal Stainless & Alloy
Products, Inc. (a) 12,000 108
Webco Industries, Inc. (a) 15,000 90
Wellman, Inc. 6,500 152
WHX Corp. (a) 41,500 379
Witco Chemical Corp. 5,500 189
Wolverine Tube, Inc. (a) 2,100 74
--------
9,611
--------
CAPITAL GOODS - 5.7%
ABC Rail Products Corp. (a) 5,000 108
ABT Building Products Corp. (a) 1,800 40
ADCO Technologies, Inc. 12,000 106
AFC Cable Systems, Inc. (a) 8,000 133
American Buildings Co. New (a) 5,000 144
Anixter International, Inc. 16,100 239
AptarGroup, Inc. 24,400 738
Avondale Industries, Inc. (a) 2,900 52
Baldor Electric Co. 2,800 63
Ball Corp. 7,500 216
Barnes Group, Inc. 1,400 72
Bearings, Inc. 1,900 51
BMC West Corp. (a) 8,000 132
Briggs & Stratton Corp. 7,400 304
Cable Design Technologies Corp. 22,000 721
Cascade Corp. 8,000 103
Central Tractor Farm & Country, Inc. (a) 10,000 123
Cohu, Inc. 26,000 507
Columbus McKinnon Corp. 35,500 541
Commercial Intertech Corp. 2,300 59
Core Industries, Inc. 47,000 676
Cummins Engine Co., Inc. 12,300 497
DT Industries, Inc. 1,500 27
Eastern Co. 22,900 260
Farr Co. (a) 8,000 102
Flow International Corp. (a) 10,000 79
Fluke Corp. 1,000 40
FSI International, Inc. (a) 4,400 54
Giant Cement Holding, Inc. (a) 10,000 126
Gleason Corp. 2,500 98
Global Industrial Technologies, Inc. (a) 30,400 486
Greenbrier Companies, Inc. 2,100 29
Harmon Industries, Inc. 7,000 110
Harsco Corp. 3,400 229
Hughes Supply, Inc. 5,000 174
Hurco Cos., Inc. (a) 20,000 105
JLG Industries, Inc. 9,700 720
Kennametal, Inc. 5,200 177
Kent Electronics Corp. 16,100 503
Kuhlman Corp. 8,300 144
Lindsay Manufacturing Co. 1,700 67
Equity II Fund 15
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Measurex Corp. 5,120 $150
National Service Industries, Inc. 7,600 297
NCI Building Systems, Inc. (a) 22,300 736
Park Electrochemical Corp. 7,000 140
Park Ohio Industries, Inc. (a) 2,400 47
Plantronics, Inc. New (a) 4,100 151
Powell Industries, Inc. (a) 9,100 105
Regal-Beloit Corp. 34,300 677
Rexel, Inc. (a) 8,700 123
Sanifill, Inc. (a) 18,400 906
Scotman Industries, Inc. 1,400 28
Shelter Components Corp. 8,000 135
SIFCO Industries (a) 81,000 699
Synalloy Corp. 7,000 110
Tecumseh Products Co. Class A 3,500 188
TETRA Technologies, Inc. New (a) 40,969 799
Thomas Industries, Inc. 1,300 25
Timken Co. 7,500 291
U.S. Filter Corp. New (a) 51,000 1,772
United Waste Systems, Inc. 46,800 1,486
Weatherford Enterra, Inc. 19,700 591
Zurn Industries, Inc. 5,500 114
Zycon Corp. (a) 12,000 110
--------
18,835
--------
CONSUMER BASICS - 11.5%
ABR Information Services, Inc. 11,000 549
Alpharma, Inc. Class A 5,000 99
American HomePatient, Inc. (a) 15,200 664
American Medical Response (a) 3,000 106
American Oncology Resources, Inc. 34,300 737
Bergen Brunswig Corp. Class A 7,900 219
Beverly Enterprises, Inc. (a) 12,400 149
Bindley Western Industries, Inc. 3,800 64
BioChem Pharma, Inc. (a) 21,300 796
Biogen, Inc. (a) 10,500 572
Biovail Corp. International 20,100 628
Bush Boake Allen, Inc. (a) 28,100 611
Central Sprinkler Corp. (a) 4,000 84
Cephalon, Inc. (a) 3,800 74
Chemed Corp. 1,900 71
ChiRex, Inc. (a) 35,800 394
Chronimed, Inc. (a) 28,400 515
Church and Dwight Co., Inc. 3,000 63
Coca-Cola Bottling Co. 19,500 678
Coherent, Inc. (a) 18,900 983
Collagen Corp. 6,000 113
Curative Technologies, Inc. (a) 40,100 1,053
Dean Foods Co. 5,000 124
Duckwall-ALCO Stores, Inc. New (a) 6,000 86
Dura Pharmaceuticals, Inc. (a) 14,800 829
Fleming Cos., Inc. 3,000 43
Fuisz Technologies, Ltd. 25,000 469
Gilead Sciences, Inc. (a) 29,300 733
GranCare, Inc. (a) 5,000 99
Health Management Associates Class A 24,000 486
Health Management Systems, Inc. 30,000 953
HealthCare COMPARE (a) 22,000 1,070
Healthcare Services Group, Inc. (a) 10,000 90
Healthdyne Technologies, Inc. (a) 9,711 125
HemaSure, Inc. (a) 30,000 401
Hologic, Inc. 13,800 600
Home Health Corp. of America, Inc. (a) 6,200 83
Hosposable Products, Inc. (a) 79,000 573
Hudson Foods, Inc. 5,800 81
IDEXX Laboratories, Inc. (a) 4,600 179
Immucor Corp. (a) 13,300 160
ImmuLogic Pharmaceutical Corp. (a) 12,300 108
Interferon Sciences, Inc. (a) 235,000 477
International Multifoods Corp. 3,200 58
Interneuron Pharmaceuticals, Inc. (a) 10,000 295
Interstate Bakeries Corp. 4,100 110
Lincare Holdings, Inc. (a) 16,100 628
Mariner Health Group, Inc. (a) 37,900 696
Maxxim Medical, Inc. (a) 800 14
McKesson Corp. 8,100 386
Medical Imaging Centers
of America, Inc. New (a) 133 1
Medicis Pharmaceutical Corp. Class A. 7,000 289
Minntech Corp. 7,000 74
MMI Companies, Inc. 400 12
Nature's Sunshine Products, Inc. 5,000 128
NBTY, Inc. (a) 15,000 149
NeoPath, Inc. (a) 20,000 500
Northland Cranberries, Inc. Class A 4,000 120
OrNda Healthcorp (a) 32,700 785
Orthodontic Centers of America, Inc. 15,300 398
Outback Steakhouse, Inc. (a) 19,100 654
PCI Services, Inc. (a) 57,200 1,073
PhyCor, Inc. 38,175 1,441
PhyMatrix Corp. (a) 48,400 1,113
Physician Sales & Service, Inc. 68,100 1,651
Physicians Health Services, Inc.
Class A (a) 5,000 111
Prime Hospitality Corp. (a) 8,000 132
Renal Treatment Centers, Inc. 28,800 828
Respironics, Inc. (a) 29,800 544
16 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
RightCHOICE Managed Care, Inc.
Class A (a) 600 $ 7
Ruddick Corp. 3,500 43
Rykoff-Sexton, Inc. 4,100 59
Safeskin Corp. (a) 17,800 739
Safety 1st, Inc. (a) 10,000 80
Schultz Sav-O Stores, Inc. 40,500 506
Sequus Pharmaceuticals, Inc. (a) 7,000 139
Smith's Food & Drug Centers, Inc.
Class B 3,800 91
Sofamor/Danek Group, Inc. (a) 18,500 513
Sola International, Inc. (a) 40,000 1,150
Starbucks Corp. 12,000 338
Starrett (L.S.) Co. Class A 23,000 598
Strategic Distribution, Inc. 18,160 142
Sun Healthcare Group, Inc. (a) 11,400 162
Sunrise Medical, Inc. (a) 2,800 54
Total Renal Care Holdings, Inc. (a) 25,900 1,094
Universal Corp. 7,300 193
Universal Health Services, Inc. Class B 11,800 308
Utah Medical Products (a) 9,000 113
VISX, Inc. (a) 21,100 717
Vivus, Inc. (a) 20,000 655
Watson Pharmaceuticals, Inc. (a) 30,700 1,159
Weis Markets, Inc. 1,000 33
Wellpoint Health Networks, Inc.
Class A (a) 6,700 209
--------
38,283
--------
CONSUMER DURABLES - 1.6%
Arvin Industries, Inc. 6,900 154
Bassett Furniture Industries, Inc. 1,200 32
Cavalier Homes, Inc. 42,600 985
Coachmen Industries, Inc. 2,000 70
Coast Distribution Systems (a) 18,000 110
CORT Business Services Corp. (a) 7,800 152
Donaldson Co., Inc. 3,200 83
Ethan Allen Interiors, Inc. (a) 3,500 87
Excel Industries, Inc. 10,000 125
Furniture Brands International, Inc. (a) 14,100 155
Kimball International, Inc. Class B 1,000 28
Kinetic Concepts, Inc. 29,500 457
La-Z-Boy Chair Co. 1,300 39
Myers Industries, Inc. 38,200 711
National Presto Industries, Inc. 1,000 38
Oakwood Homes Corp. 24,300 501
PACCAR, Inc. 5,400 263
Pronet, Inc. (a) 5,000 61
Schult Homes Corp. 5,000 94
Smith (A.O.) Corp. 34,800 870
Standard Products Co. 4,600 107
Titan Wheel International, Inc. 9,400 150
Toro Co. 4,700 156
West, Inc. 1,300 39
--------
5,467
--------
CONSUMER NON-DURABLES - 4.7%
Blair Corp. 1,000 24
Block Drug Co., Inc. Class A 12,649 519
Books A Million, Inc. (a) 10,000 82
Borders Group, Inc. (a) 7,100 229
Brown Group, Inc. 6,600 115
Burlington Coat Factory
Warehouse Corp. (a) 64,700 679
Burlington Industries, Inc. (a) 7,700 109
Carson Pirie Scott & Co. (a) 6,400 171
Chic By H.I.S., Inc. (a) 38,900 204
Claire's Stores, Inc. 35,600 983
Cone Mills Corp. (a) 5,700 64
Daisytek International Corp. (a) 2,000 81
Designer Holdings, Ltd. (a) 10,100 269
Dress Barn, Inc. (a) 3,000 31
Family Dollar Stores, Inc. 14,735 256
Fieldcrest Cannon, Inc. (a) 5,900 116
Gadzooks, Inc. 7,600 242
Hartmarx Corp. (a) 1,100 7
Helen of Troy, Ltd. New (a) 4,000 111
Jean Phillippe Fragrances, Inc. New (a) 16,000 132
Kellwood Co. 8,000 147
Leslie's Poolmart 8,000 138
Longs Drug Stores, Inc. 3,600 161
Meyer (Fred), Inc. (a) 7,900 232
Morningstar Group, Inc. (a) 3,200 35
Movado Group, Inc. 41,500 835
Nautica Enterprises, Inc. 52,400 1,507
Nutramax Products, Inc. New (a) 14,000 119
Orchard Supply Hardware Stores Corp. (a) 5,100 154
Oxford Industries, Inc. 29,500 476
Paragon Trade Brands, Inc. (a) 28,400 611
PeopleSoft, Inc. 16,000 1,136
Phillips-Van Heusen Corp. 4,100 52
Pier 1 Imports, Inc. 15,200 226
Quaker Fabric Corp. New (a) 15,000 128
Rayonier, Inc. 6,500 247
Rite Aid Corp. 21,500 640
Robert Mondavi Corp. Class A (a) 2,600 82
Equity II Fund 17
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Ross Stores, Inc. 29,500 $ 1,025
Russ Berrie & Co., Inc. 1,300 24
Russell Corp. 5,100 141
Shopko Stores, Inc. 44,900 724
Sports Authority, Inc. (a) 4,600 151
Springs Industries, Inc. 3,800 192
Tiffany & Co. 10,000 730
Tuesday Morning, Inc. (a) 1,600 21
Tyco Toys, Inc. (a) 17,500 90
Value City Department Stores, Inc. (a) 51,300 564
Waban, Inc. (a) 17,100 408
Windmere Corp. 6,500 85
--------
15,505
--------
CONSUMER SERVICES - 2.6%
AAR Corp. 4,400 90
Atlantic Coast Airlines, Inc. (a) 29,700 382
Carmike Cinemas, Inc. (a) 2,600 70
Children's Discovery Centers
of America, Inc. New (a) 15,000 94
Comair Holdings, Inc. 29,650 804
Equity Inns, Inc. 13,000 146
GC Companies, Inc. (a) 1,000 37
Golf Enterprises, Inc. (a) 12,000 138
Harvey's Casino Resorts 3,800 81
K2, Inc. 3,739 101
King World Productions, Inc. (a) 12,600 458
La Quinta Motor Inns, Inc. 19,500 653
Lodgenet Entertainment Corp. (a) 10,000 138
Luby's Cafeterias, Inc. 7,500 176
Marcus Corp. 900 23
Max & Erma's Restaurants, Inc. (a) 14,000 102
Mesa Airlines, Inc. (a) 52,400 609
O'Charleys, Inc. (a) 8,000 92
Papa Johns International, Inc. 7,650 369
Qantas Airways, Ltd. ADR Warrants (a) 28,500 482
Recoton Corp. (a) 10,700 183
Regis Corp. 30,000 915
Reno Air, Inc. (a) 28,500 321
Ruby Tuesday, Inc. 4,900 111
Ryan's Family Steak Houses, Inc. (a) 67,500 624
ShoLodge, Inc. (a) 10,000 120
Showbiz Pizza Time, Inc. 39,200 598
Skywest, Inc. 4,100 75
Speedway Motorsports, Inc. 6,600 169
Studio Plus America, Inc. (a) 3,000 98
Sunstone Hotel Investors, Inc. 42,300 450
Supertel Hospitality, Inc. (a) 12,000 123
--------
8,832
--------
ENERGY - 5.8%
AGL Resources, Inc. 6,400 121
Alamco, Inc. (a) 10,000 112
Apache Corp. 22,200 730
Arch Petroleum, Inc. New (a) 52,800 106
Atmos Energy Corp. 1,000 31
Basin Exploration, Inc. (a) 91,100 569
Belden & Blake Corp. (a) 6,200 129
Benton Oil & Gas Co. (a) 36,600 805
Berry Petroleum Co. Class A 47,500 540
BJ Services Co. (a) 22,250 782
Brown (Tom), Inc. (a) 40,700 682
Callon Petroleum Co. (a) 10,000 124
Camco International, Inc. 10,700 362
Coho Energy, Inc. (a) 13,181 87
Cross Timbers Oil Co. 42,500 1,052
Crown Centennial Petroleum Co.
Class B (a) 21,700 334
Diamond Shamrock, Inc. 32,800 947
Energen Corp. 1,700 38
ENSCO International, Inc. (a) 24,712 803
Global Industries, Inc. 2,000 60
Harcor Energy, Inc. New (a) 25,000 112
Helmerich & Payne, Inc. 28,800 1,055
ICO, Inc. 17,000 96
Indiana Energy, Inc. 1,400 40
K N Energy, Inc. 700 23
Laclede Gas Co. 31,200 698
Louis Dreyfus Natural Gas Corp. (a) 400 6
LTV Corp. 35,000 398
Marine Drilling Co, Inc. (a) 15,000 150
Mitchell Energy & Development Corp. 2,600 49
NGC Corp. 11,500 173
Noble Drilling Corp. (a) 59,000 819
NorAm Energy Corp. 10,900 119
Nuevo Energy Co. (a) 2,600 84
NUI Corp. 1,200 21
Oryx Energy Co. (a) 15,000 244
Parker & Parsley Petroleum Co. 31,000 860
Production Operators Corp. 4,000 135
Quaker State Oil Refining Corp. 11,200 168
Questar Corp. 7,000 238
Reading & Bates Corp. (a) 30,000 664
Santa Fe Energy Resources, Inc. (a) 28,000 333
Seagull Energy Corp. (a) 7,000 175
Snyder Oil Corp. 16,500 167
Tuboscope Vetco International Corp. (a) 10,000 111
Ultramar Corp. 27,000 783
USX-Delhi Group 57,400 703
Valero Energy Corp. 29,400 735
18 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Vintage Petroleum, Inc. 55,800 $ 1,423
Wiser Oil Co. 35,500 448
--------
19,444
--------
FINANCE - 16.6%
Aames Financial Corp. 27,700 994
Acceptance Insurance Companies, Inc. (a) 3,300 57
AlBank Financial Corp. 9,000 237
Allied Group, Inc. 1,500 65
Allmerica Property & Casualty Cos. 2,800 76
American Bankers Insurance Group, Inc. 46,600 2,033
American National Insurance Co. 8,900 574
American Travellers Corp. 74,150 1,696
AMRESCO, Inc. 22,000 377
AmSouth Bancorp 10,600 383
AmVestors Financial Corp. 3,300 52
Associated Banc-Corp. 1,000 39
Astoria Financial Corp. 8,900 241
AVEMCO Corp. 31,000 418
Bancorp Hawaii, Inc. 1,400 50
Bankers Corp. 6,000 103
Bankers Life Holding Corp. 4,700 104
Bay View Capital Corp. 1,800 61
Bear Stearns Cos., Inc. 28,710 678
Berkley (W.R.) Corp. 20,000 834
BHC Financial, Inc. 8,000 109
Capital RE Corp. 2,900 107
Carolina First Corp. 4,000 68
Centura Banks, Inc. 1,300 48
CFI ProServices, Inc. (a) 5,000 124
Charter One Financial, Inc. 35,200 1,223
CitiFed Bancorp, Inc. 4,000 157
City National Corp. 14,000 221
CNB Bancshares, Inc. 1,000 29
Collective Bancorp, Inc. 2,400 57
Colonial BancGroup, Inc. 27,500 921
Commerce Bancorp, Inc. 1,500 35
Commerce Bancshares, Inc. 1,000 34
Commerce Group, Inc. 2,800 58
Commercial Federal Corp. 4,200 161
Conseco, Inc. 24,800 991
Corporate Express, Inc. (a) 41,550 1,662
CorVel Corp. (a) 800 28
Cullen Frost Bankers, Inc. 4,000 111
Dauphin Deposit Corp. 1,800 51
Delphi Finanical Group, Inc. (a) 3,000 80
Deposit Guaranty Corp. 1,000 44
Donaldson, Lufkin & Jenrette, Inc. 3,100 96
Downey Financial Corp. 1,100 24
Eaton Vance Corp. 20,900 742
Edwards (A.G.), Inc. 21,700 589
Enhance Financial Services Group, Inc. 1,200 34
Envoy Corp. New (a) 31,800 922
Equitable of Iowa Cos. 500 18
Everest Re Holdings, Inc. 13,800 357
Executive Risk, Inc. 1,000 38
Fidelity National Financial 5,201 79
Financial Fed Corp. 6,000 94
Financial Security Assurance
Holdings, Ltd. 3,800 104
First American Corp. 6,200 261
First American Financial Corp. 31,500 1,063
First Bell Bancorp, Inc. 8,300 113
First Colony Corp. 4,500 140
First Commerce Corp. 20,500 725
First Commercial Corp. Rights (a) 300 9
First Federal Savings Bank
of Colorado, Inc. 4,300 56
First Financial Caribbean Corp. 6,000 119
First Financial Corp. 3,200 72
First Mortgage Corp. (a) 20,000 93
First Republic Bancorp, Inc. (a) 10,000 154
First Security Corp. 5,600 134
First Tennessee National Corp. 17,000 519
First Virginia Banks, Inc. 2,400 96
FirstBank Puerto Rico 1,000 23
Flushing Financial Corp. (a) 6,200 105
Fremont General Corp. 77,550 1,784
Frontier Insurance Group, Inc. 1,540 53
Great Financial Corp. 2,100 54
Greenpoint Financial Corp. 18,600 525
Horace Mann Educators Corp. 7,700 244
Imperial Credit Industries, Inc. 31,118 941
Inter-Regional Financial Group, Inc. 1,800 47
Jefferies Group, Inc. 20,000 620
Keystone Financial, Inc. 1,700 57
Leader Financial Corp. 34,200 1,513
Legg Mason, Inc. 2,200 71
Lehman Brothers Holdings, Inc. 23,900 592
Leucadia National Corp. 3,800 93
Liberty Corp. 1,100 35
Litchfield Financial Corp. 7,000 93
Long Island Bancorp, Inc. 6,900 210
MAF Bancorp, Inc. 3,411 82
Magna Group, Inc. 3,400 81
Markel Corp. (a) 12,500 1,125
MLF Bancorp, Inc. 3,300 79
Equity II Fund 19
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------- -------
Money Store, Inc. 40,900 $ 890
National Auto Credit, Inc. 3,960 45
National Re Corp. 21,800 823
New York Bancorp, Inc. 900 23
Ohio Casualty Corp. 17,500 608
Old Kent Financial Corp. 12,495 489
Old Republic International Corp. 18,300 393
Olympic Financial, Ltd. (a) 14,000 322
ONBANCorp, Inc. 21,900 714
Orion Capital Corp. 3,300 168
Pace American Group, Inc. (a) 25,000 3
Paine Webber Group, Inc. 41,800 993
Penn Treaty American Corp. (a) 7,000 151
PennCorp Financial Group, Inc. 24,900 791
Peoples Heritage Financial Group 57,800 1,178
Provident Bancorp, Inc. 3,000 106
Provident Bankshares Corp. 1,260 42
Quaker City Bancorp, Inc. (a) 8,400 114
Queens County Bancorp 5,000 243
RCSB Financial, Inc. 4,300 111
RenaissanceRe Holdings, Ltd. 30,000 923
Resource Bancshares Mortgage Group 10,069 122
Riggs National Corp. 5,000 61
Robert Half International, Inc. 48,600 1,355
Roosevelt Financial Group, Inc. 13,900 268
Seacor Holdings, Inc. (a) 4,000 177
Security Capital Corp. 1,000 60
Security Connecticut Corp. 8,300 226
Selective Insurance Group, Inc. 16,300 530
Signet Banking Corp. 17,300 402
Silicon Valley Bancshares (a) 1,100 28
Southern Pacific Funding Corp. (a) 18,000 315
SouthTrust Corp. 26,500 745
Sovereign Bancorp, Inc. 9,655 97
St. Paul Bancorp, Inc. 3,200 74
Standard Federal Bancorporation 5,900 227
Standard Financial, Inc. 3,700 61
State Auto Financial Corp. 5,000 121
SunAmerica, Inc. 31,800 1,797
Susquehanna Bancshares, Inc. 1,000 27
T R Financial Corp. 3,800 103
TCF Financial Corp. 25,600 851
Titan Holdings, Inc. 8,020 112
Transatlantic Holdings, Inc. 13,000 912
Transnational Re Corp. Class A 24,500 594
Trenwick Group, Inc. Rights (a) 11,700 585
Union Planters Corp. 33,027 1,003
UnionBanCal Corp. 100 5
United Fire & Casualty Co. 25,575 780
US Facilities Corp. 40,200 678
USLIFE Corp. 31,800 1,045
Valley National Bancorp 2,200 56
Vesta Insurance Group, Inc. 5,550 185
Washington Mutual, Inc. 29,800 890
Washington National Corp. 3,500 90
Westco Bancorp, Inc. 7,000 147
Westcorp, Inc. 7,365 131
Whitney Holding Corp. 1,000 30
Zenith National Insurance Corp. 1,100 30
Zions Bancorp 12,800 931
Zurich Reins Centre Holdings, Inc. 1,000 32
--------
55,482
--------
GENERAL BUSINESS - 10.2%
AccuStaff, Inc. 18,000 490
Alternative Resources Corp. (a) 19,900 716
American Business Products, Inc. 1,200 26
American Radio Systems Corp. Class A (a) 29,000 1,246
Argyle Television, Inc. Class A (a) 30,000 734
Ascend Communications, Inc. 50,000 2,806
Assisted Living Concepts, Inc. (a) 4,300 88
Belo (A.H.) Corp. Class A 17,500 652
BHC Communications, Inc. Class A 500 49
BISYS Group, Inc. New (a) 4,000 149
Bowne & Co., Inc. 3,000 62
Cascade Communications Corp. 16,800 1,142
Central Newspapers, Inc. Class A 28,600 1,073
Clear Channel Communications, Inc. 2,800 231
Cognos, Inc. 48,000 1,092
Coherent Communications
Systems Corp. (a) 21,000 436
Comarco, Inc. (a) 5,000 91
Comnet Cellular, Inc. (a) 4,000 120
Comsat Corp. Series 1 11,500 299
Dames & Moore, Inc. 2,800 34
DeVRY, Inc. (a) 26,600 1,197
ECI Telecom, Ltd. 31,300 724
Effective Management Systems, Inc. (a) 16,000 104
Ennis Business Forms, Inc. 36,050 410
Express Scripts, Inc. Class A (a) 20,900 956
General Communication, Inc. Class A (a) 16,000 124
Gibson Greetings, Inc. (a) 3,600 50
Grey Advertising 4,000 884
Harmonic Lightwaves, Inc. (a) 30,000 675
Harte Hanks Communications 24,000 666
Houghton Mifflin Co. 14,500 721
Hunt Manufacturing Co. 700 10
20 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
ICT Group, Inc. (a) 5,500 $ 105
Interim Services, Inc. (a) 3,300 139
Iron Mountain, Inc. (a) 7,000 142
IVI Publishing, Inc. (a) 39,800 279
Jones Intercable, Inc. Class A (a) 38,500 505
Kronos, Inc. 4,000 138
Lee Enterprises, Inc. 37,000 874
Logicon, Inc. 3,600 108
Macromedia, Inc. 13,200 289
McClatchy Newspapers, Inc. Class A 28,400 785
Merrill Corp. 1,400 35
META Group, Inc. (a) 43,100 1,024
Metricom, Inc. (a) 2,800 44
Metromedia International Group, Inc. (a) 10,500 129
Miller (Herman), Inc. 3,900 119
Multi-Market Radio, Inc. Class A (a) 5,000 54
New England Business Service, Inc. 2,100 41
OfficeMax, Inc. 12,100 289
Paging Network, Inc. 18,200 430
Paychex, Inc. 43,650 2,095
PC Service Source, Inc. (a) 8,000 116
Personnel Group of America, Inc. (a) 7,400 182
Quintiles Transnational Corp. 11,900 776
Saga Communications Class A 7,000 151
SFX Broadcasting, Inc. Class A (a) 4,000 154
Sitel Corp. 9,400 390
Spelling Entertainment Group, Inc. (a) 14,000 107
Standard Register Co. 2,100 52
TCSI Corp. 28,150 669
TRM Copy Centers Corp. (a) 10,000 111
True North Communications, Inc. 1,200 27
US Office Products Co. (a) 31,600 1,319
Verifone, Inc. (a) 14,600 617
Viking Office Products, Inc. 75,600 2,363
Wackenhut Corp. 5,000 123
Washington Post Co. Class B 2,600 842
Zilog, Inc. (a) 15,400 370
--------
34,050
--------
MISCELLANEOUS - 1.5%
Castle & Cook, Inc. New (a) 8,000 128
Chris Craft Industries, Inc. 24,992 1,100
Citation Corp. (a) 12,000 138
CRIIMI MAE, Inc. 6,600 73
FRP Properties, Inc. (a) 6,000 123
Geon Co. 5,100 115
Griffon Corp. (a) 77,600 630
Gyrodyne Co. of America, Inc. (a) 3,800 48
Ha-Lo Industries, Inc. 4,000 104
Hirsch International Group Class A 5,000 95
ITT Educational Services, Inc. 4,400 127
Jabil Circuit, Inc. (a) 6,300 76
Landair Services, Inc. (a) 8,000 120
Learning Tree International, Inc. (a) 4,000 121
Leather Factory, Inc. (a) 40,000 78
M.D.C. Holdings, Inc. 15,000 101
Mark VII, Inc. (a) 6,000 121
McWhorter Technologies, Inc. (a) 1,800 32
Miller Industries, Inc. 1,300 37
NN Ball & Roller, Inc. 7,000 140
NUMAR Corp. (a) 8,000 123
On Assignment, Inc. (a) 13,600 490
PXRE Corp. 26,000 631
Supreme Industries, Inc. Class A 15,000 117
Texoil, Inc. (a) 65,000 65
Tracor, Inc. New (a) 6,600 111
Webb (Del E.) Corp. 3,400 68
--------
5,112
--------
SHELTER - 2.6%
Ameron, Inc. 200 8
Beazer Homes USA, Inc. (a) 29,100 466
Cameron Ashley, Inc. (a) 10,000 115
Centex Construction Products, Inc. 9,700 137
Centex Corp. 17,000 529
Champion Enterprises, Inc. 40,800 852
Continental Homes Holding Corp. 5,000 107
Dayton Superior Corp. Class A (a) 41,000 538
Florida Rock Industries, Inc. 700 18
Granite Construction, Inc. 30,750 707
Kaufman & Broad Home Corp. 52,800 766
Lennar Corp. 30,100 752
Redman Industries, Inc. 34,400 687
Ryland Group, Inc. 3,700 56
Schuller Corp. 28,600 297
Smith (Charles E.) Residential Realty, Inc. 29,000 696
Southdown, Inc. 24,500 576
St. Joe Corp. 11,900 768
Standard Pacific Corp. 15,000 109
U.S. Home Corp. (a) 20,500 505
--------
8,689
--------
TECHNOLOGY - 15.7%
Accent Software International, Inc. 25,600 787
ACX Technologies, Inc. 10,100 201
Equity II Fund 21
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
ADC Telecommunications, Inc. (a) 38,200 $ 1,700
Amisys Managed Care Systems, Inc. (a) 10,100 261
Amplicon, Inc. 10,000 160
Applix, Inc. 22,900 653
Astea International, Inc. (a) 6,500 158
Atria Software, Inc. 18,000 900
Augat, Inc. 50,000 956
Auspex Systems, Inc. (a) 11,600 171
Baan Co. NV 15,600 530
Banctec, Inc. (a) 41,500 840
Bell Industries 30,941 518
BI Incorporated Co. New (a) 10,000 133
Boole & Babbage, Inc. 5,000 116
Brooktree Corp. NPV (a) 6,200 64
Business Objects SA - ADR 23,000 926
Cambridge Technology Partners, Inc. 30,000 915
CBT Group PLC - ADR 37,000 1,665
CDW Computer Centers, Inc. (a) 11,400 784
CEM Corp. (a) 10,000 133
Centennial Technologies, Inc. 3,000 90
Chips & Technologies, Inc. (a) 74,100 713
Circon Corp. (a) 11,200 132
Citrix Systems, Inc. 24,000 906
Computer Horizons Corp. 14,100 553
Comverse Technology, Inc. New (a) 38,600 1,177
Consilium, Inc. (a) 15,000 107
Cray Research, Inc. (a) 22,200 536
Data General Corp. (a) 36,800 478
Data Processing Corp. (a) 11,800 313
Data Transmission Network Corp. (a) 2,000 122
DH Technology, Inc. 6,000 135
Documentum, Inc. (a) 6,900 210
DSP Group, Inc. (a) 14,000 126
DST Systems, Inc. (a) 14,500 464
DuPont Photomasks, Inc. (a) 500 10
Dynamics Research Corp. (a) 57,222 465
Electromagnetic Sciences, Inc. (a) 8,000 115
Electronics For Imaging, Inc. 9,500 659
Enterprise Systems, Inc. (a) 13,200 360
Esterline Corp. (a) 5,800 145
Etec Systems, Inc. (a) 9,600 211
Evans & Sutherland Computer Corp. (a) 1,500 32
Exar Corp. (a) 8,000 102
FORE Systems 15,000 540
Forte Software, Inc. (a) 11,000 575
Furon Co. 1,200 30
Gateway 2000, Inc. (a) 20,200 684
Gerber Scientific, Inc. 2,500 40
Global Village Communication (a) 13,000 107
GT Interactive Software Corp. (a) 37,200 623
GTI Corp. (a) 10,000 69
Hadco Corp. (a) 24,700 519
HBO & Co. 43,000 2,903
Hello Direct, Inc. (a) 13,000 83
Imnet Systems, Inc. (a) 5,800 175
Input/Output, Inc. 44,600 1,444
Insignia Solutions, Inc. PLC - ADR (a) 6,300 52
Inso Corp. 18,000 918
Integrated Circuit Systems, Inc. (a) 8,000 86
Jack Henry & Assocociates, Inc. 43,200 1,469
Kaman Corp. Class A 2,100 21
KLA Instruments Corp. 23,500 543
Komag, Inc. (a) 17,400 455
Landauer, Inc. 3,500 74
Littlefuse, Inc. (a) 1,600 60
Litton Industries, Inc. (a) 10,800 470
LTX Corp. (a) 78,000 478
M-Wave, Inc. (a) 10,700 45
Marshall Industries (a) 26,700 748
McAfee Associates, Inc. 28,600 1,401
Medic Computer Systems, Inc. (a) 16,700 1,353
Meridian Data, Inc. (a) 30,900 274
Metrologic Instruments, Inc. (a) 10,000 115
Molex, Inc. Class A 16,000 470
Mylex Corp. (a) 33,100 579
National Semiconductor Corp. (a) 35,500 550
Natural Microsystems Corp. (a) 9,300 323
Network General Corp. 37,200 791
ON Technology Corp. (a) 9,300 95
Orbital Sciences Corp. Class A (a) 9,600 156
Pacific Scientific Co. 2,800 44
Parametric Technology Corp. 24,000 1,038
Photronics, Inc. (a) 4,000 105
Picturetel Corp. 20,000 788
Pittway Corp. Class A 19,561 910
Planar Systems, Inc. (a) 3,700 52
Saville Systems Ireland PLC - ADR (a) 24,300 674
Software Artistry, Inc. (a) 15,000 103
Software Spectrum, Inc. (a) 4,000 90
SpaceLabs, Inc. (a) 1,100 25
Spectralink Corp. (a) 17,400 157
Storage Technology Corp. (a) 18,600 711
Structural Dynamics Research Corp. (a) 47,900 1,042
Sykes Enterprises, Inc. (a) 5,000 246
Syratech Corp. (a) 1,200 27
TB Wood's Corporation 15,000 146
Tech-Sym Corp. (a) 22,100 658
Tecnomatix Technologies, Ltd. (a) 17,500 326
22 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Tellabs, Inc. (a) 9,000 $ 601
Teradyne, Inc. 29,000 500
Thiokol Corp. 6,200 245
Thomas & Betts Corp. 7,500 281
Transaction Systems Architects, Inc.
Class A (a) 17,000 1,139
ULTRADATA Corp. (a) 16,600 129
Uniphase Corp. 14,700 511
Veritas Software Corp. (a) 13,900 591
Wall Data, Inc. (a) 5,000 106
Watkins-Johnson Co. 9,900 271
WinStar Communications, Inc. (a) 10,500 260
Xylan Corp. (a) 10,200 474
Zero Corp. 4,400 94
--------
52,394
--------
TRANSPORTATION - 1.4%
Air Express International Corp. 5,000 139
Arnold Industries, Inc. 30,500 426
Caliber Systems, Inc. 6,300 214
Fritz Companies, Inc. 24,000 767
Kirby Corp. (a) 4,300 73
Knight Transportation, Inc. (a) 8,500 172
MTL, Inc. (a) 38,500 655
Overseas Shipholding Group, Inc. 34,600 627
Roadway Express, Inc. 5,300 75
Transport Corp. of America (a) 10,000 121
Trico Marine Services, Inc. (a) 2,100 47
U.S. Xpress Enterprises, Inc. Class A (a) 14,000 100
Wisconsin Central Transportation Corp. 31,000 992
XTRA Corp. 3,900 173
--------
4,581
--------
UTILITIES - 4.3%
American Water Works, Inc. 4,900 197
Aquarion Co. 1,000 25
Atlantic Energy, Inc. 10,400 190
Bay State Gas Co. 1,100 31
Black Hills Corp. 1,000 25
Boston Edison Co. 10,000 255
Cellular Communications
of Puerto Rico, Inc. (a) 25,800 832
Centennial Cellular Corp. Class A (a) 46,500 773
Centerior Energy Corp. 17,500 129
Central Hudson Gas & Electric Corp. 2,000 63
Central Louisiana Electric Co., Inc. 2,200 59
Central Maine Power Co. 45,500 660
CILCORP, Inc. 2,000 86
Citizens Utility Co. Class A 74,676 859
Commonwealth Energy System 2,000 52
Connecticut Natural Gas Corp. 1,000 22
Delmarva Power & Light Co. 2,800 59
E'town Corp. 300 8
Eastern Enterprises, Inc. 4,700 156
Eastern Utilities Associates 4,400 86
El Paso Natural Gas Co. 9,000 347
Empire District Electric Co. 1,400 24
Equitable Resources, Inc. 8,400 237
Idaho Power Co. 7,100 221
IPALCO Enterprises, Inc. 5,850 154
KU Energy Corp. 3,400 102
Long Island Lighting Co. 33,700 564
MCN Corp. 10,500 256
MDU Resources Group, Inc. 1,900 41
MidAmerican Energy Co. 12,400 214
Minnesota Power & Light Co. 4,600 133
Montana Power Co. 7,400 165
National Fuel & Gas Co. 6,700 241
New England Electric System 12,900 469
New York State Electric & Gas Corp. 15,900 388
NICOR, Inc. 17,000 482
Northwestern Public Service Co. 5,000 134
ONEOK, Inc. 8,300 208
Peoples Energy Corp. 24,300 814
Piedmont Natural Gas Co., Inc. 2,705 63
Pinnacle West Capital Corp. 11,000 334
Portland General Electric Co. 9,300 287
Primark Corp. (a) 3,000 98
Public Service Co. of New Mexico 10,700 219
Public Service Co. of North Carolina, Inc. 1,700 29
Rochester Gas & Electric Corp. 9,500 204
SIG Corp., Inc. 1,000 35
Southwestern Energy Co. 4,700 66
TNP Enterprises, Inc. 2,400 68
TresCom International, Inc. (a) 8,500 85
UGI Corp. 5,600 123
United Illuminating Co. 20,400 762
Washington Gas & Light Co. 28,700 631
Washington Water Power Co. 42,400 790
Western Resources, Inc. 20,900 624
WICOR, Inc. 2,200 83
WPL Holdings, Inc. 3,800 125
WPS Resources Corp. 2,000 63
--------
14,450
--------
TOTAL COMMON STOCKS
(cost $247,974) 290,735
--------
Equity II Fund 23
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
PREFERRED STOCKS - 0.0%
Triathlon Broadcasting Co. (conv.) 15,000 $ 144
---------
TOTAL PREFERRED STOCKS
(cost $150) 144
---------
PRINCIPAL
AMOUNT
(000)
----------
SHORT-TERM INVESTMENTS - 12.8%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 40,449 40,449
United States Treasury Bills (c)(d)
4.975% due 10/17/96 2,200 2,166
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $42,616) 42,615
---------
TOTAL INVESTMENTS
(identified cost $290,740)(e) - 99.9% 333,494
OTHER ASSETS AND LIABILITIES,
NET - 0.1% 171
---------
NET ASSETS - 100.0% $ 333,665
---------
---------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) Held as collateral by the cutodian in connection
with futures contracts purchased by the Fund.
(e) See Note 2 for federal income tax information.
Number Unrealized
of Appreciation
Contracts (Depreciation)
--------- (000)
-------------
FUTURES CONTRACTS
(Notes 2 and 3)
S&P 400 Midcap Index Futures Contracts
expiration date 09/96 162 $ (345)
S&P 500 Index Futures Contracts
expiration date 09/96 36 48
Russell 2000 -REGISTERED TRADEMARK-
Index Futures Contracts
expiration date 09/96 52 (40)
---------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (Section) $ (337)
---------
---------
(Section) At June 30, 1996, United States Treasury Bills valued
at $2,166 were held as collateral by the custodian in connection
with futures contracts purchased by the Fund.
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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $290,740,490)(Note 2) . . . . . . . . . . . $ 333,493,793
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390,164
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,136,087
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 998,840
Daily variation margin on futures contracts (Notes 2 and 3). . . . . . . . . . 384,700
-----------------
340,403,584
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . $ 6,014,000
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . 399,497
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . 240,862
Other accrued expenses . . . . . . . . . . . . . . . . . . . . 83,891 6,738,250
--------------- --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 333,665,334
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . $ 443,451
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . 26,349,426
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 42,752,986
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (337,271)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . 106,961
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . 264,349,781
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 333,665,334
--------------
--------------
Net asset value, offering and redemption price per share
($333,665,334 divided by 10,696,061 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . $ 31.20
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity II Fund 25
<PAGE>
EQUITY II FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,597,630
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . 651,094
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,981
-------------
2,301,705
Expenses (Notes 2 and 4):
Management fees . . . . . . . . . . . . . . . . . . . . . . . . $ 1,152,631
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . 211,486
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . 109,877
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . 12,793
Professional fees . . . . . . . . . . . . . . . . . . . . . . . 16,231
Registration fees . . . . . . . . . . . . . . . . . . . . . . . 27,085
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . 2,464
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . 2,374 1,534,941
------------- -------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . 766,764
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 25,110,882
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . 1,400,566
Options written. . . . . . . . . . . . . . . . . . . . . . . . 145,075
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 4,412,245
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (267,746)
Options written. . . . . . . . . . . . . . . . . . . . . . . . (6,107)
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . 30,794,915
-------------
Net increase (decrease) in net assets resulting from operations. . . $ 31,561,679
-------------
-------------
</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, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
INCREASE (DECREASE) IN NET ASSETS
<S> <C> <C>
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . $ 766,764 2,368,381
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 25,110,882 31,405,903
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . 1,400,566 807,995
Options written. . . . . . . . . . . . . . . . . . . . . . . . 145,075 2,154,282
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 4,412,245 25,733,658
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (267,746) (69,525)
Options written. . . . . . . . . . . . . . . . . . . . . . . . (6,107) (511,087)
------------- -------------
Net increase (decrease) in net assets resulting from operations. . . 31,561,679 61,889,607
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (503,069) (2,492,894)
Net realized gain on investments . . . . . . . . . . . . . . . . (6,474,750) (26,029,358)
Increase (decrease) in net assets from Fund share transactions . . . 29,515,527 43,221,134
------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . 54,099,387 76,588,489
Net assets at beginning of period. . . . . . . . . . . . . . . . . 279,565,947 202,977,458
------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $443,451 and $179,756, respectively). . . . . . . . . . . . . $ 333,665,334 $ 279,565,947
------------- -------------
------------- -------------
</TABLE>
FUND SHARE TRANSACTIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------------------- -------------------------------
SHARES AMOUNT SHARES AMOUNT
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . . . . 2,285,114 $ 68,155,729 3,638,096 $ 101,842,162
Fund shares issued to shareholders
In reinvestments of distributions. . . . . . . . . . 223,510 6,446,982 938,560 26,562,853
Fund shares redeemed . . . . . . . . . . . . . . . . (1,492,091) (45,087,184) (3,015,897) (85,183,881)
-------------- -------------- -------------- --------------
Net increase (decrease). . . . . . . . . . . . . . . 1,016,533 $ 29,515,527 1,560,759 $ 43,221,134
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</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>
1996* 1995 1994 1993 1992 1991
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 28.88 $ 25.00 $ 26.58 $ 27.71 $ 26.32 $ 19.24
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . .07 .27 .36 .32 .30 .41
Net realized and unrealized gain (loss) on investments . 2.94 6.80 (.86) 3.97 3.13 7.65
Total Income From Investment Operations. . . . . . . . . 3.01 7.07 (.50) 4.29 3.3 8.06
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . (.05) (.29) (.31) (.31) (.30) (.41)
Net realized gain on investments . . . . . . . . . . . . (.64) (2.90), (.21) (4.72) (1.74) (.57)
In excess of net realized gain on investments . . . . . -- -- (.56) (.39) -- --
------- ------- ------- ------- ------- -------
Total Distributions. . . . . . . . . . . . . . . . . . . (.69) (3.19) (1.08) (5.42) (2.04), (.98)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 31.20 $ 28.88 $ 25.00 $ 26.58 $ 27.71 $ 26.32
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a)(c) . . . . . . . . . . . . . . . . . . 10.62 28.67 (2.60) 16.70 13.3 42.40
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . 1.00 .83, .23 .34 .32 .37
Net investment income to average net assets (b)(c) . . . .50 .97 1.46 1.14 1.10 1.79
Portfolio turnover (b) . . . . . . . . . . . . . . . . . 134.32 89.31 58.04 87.25 43.33 42.16
Net assets, end of period ($000 omitted) . . . . . . . . 333,665 279,566 202,977 171,421 120,789 101,206
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . . . . . . . .0368 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net
of investment management fees but gross of any investment services fees.
See Note 4.
28 Equity II Fund
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
COMMON STOCKS - 92.7%
BASIC INDUSTRIES - 8.7%
AK Steel Holding Corp. 6,700 $ 262
Allegheny Ludlum Corp. 17,500 330
Alumax, Inc. (a) 44,400 1,349
Aluminum Co. of America 31,200 1,790
ASARCO, Inc. 26,400 729
Boise Cascade Corp. 11,600 425
Bowater, Inc. 16,400 617
Champion International Corp. 16,100 672
Crown Vantage, Inc. (a) 14,640 205
Cyprus Amax Minerals Co. 32,450 734
Dow Chemical Co. 18,200 1,383
FMC Corp. New (a) 31,000 2,023
Goodrich (B.F.) Co. 29,400 1,099
Great Lakes Chemical Corp. 18,900 1,177
James River Corp. of Virginia 45,400 1,197
Mead Corp. 19,300 1,001
Methanex Corp. (a) 43,100 323
Olin Corp. 12,800 1,142
Potlatch Corp. 6,600 258
PPG Industries, Inc. 12,800 624
Rohm & Haas Co. 7,000 439
Temple-Inland, Inc. 7,200 337
Terra Industries, Inc. 30,100 372
USX-U.S. Steel Group 21,200 603
Wellman, Inc. 13,700 321
--------
19,412
--------
CAPITAL GOODS - 3.4%
AGCO Corp. 31,700 880
Ball Corp. 7,000 201
Browning-Ferris Industries, Inc. 21,400 621
Caterpillar, Inc. 13,600 921
Cummins Engine Co., Inc. 9,700 392
Deere & Co. 8,700 348
General Electric Co. 18,800 1,626
Harnischfeger Industries, Inc. 16,200 539
Johnson Controls, Inc. 15,400 1,070
Tecumseh Products Co. Class A 10,200 548
Timken Co. 12,200 473
--------
7,619
--------
CONSUMER BASICS - 8.7%
American Stores Co. 19,300 796
Archer-Daniels-Midland Co. 124,650 2,384
Baxter International, Inc. 23,300 1,101
Becton, Dickinson & Co. 15,800 1,268
Beverly Enterprises, Inc. (a) 79,500 954
Bristol-Myers Squibb Co. 27,600 2,484
Columbia/HCA Healthcare Corp. 22,000 1,174
Community Psychiatric Centers (a) 48,100 457
Dial Corp. (The) 35,000 1,002
IBP, Inc. 59,400 1,641
McKesson Corp. New 11,800 562
Philip Morris Cos., Inc. 18,000 1,872
RJR Nabisco Holdings Corp. New 14,180 440
Sara Lee Corp. 31,300 1,013
Schering-Plough Corp. 24,700 1,550
Sun Healthcare Group, Inc. (a) 10,700 152
Tenet Healthcare Corp. (a) 9,000 192
U.S. Surgical Corp. 8,500 264
United Healthcare Corp. 5,100 258
--------
19,564
--------
CONSUMER DURABLES - 3.9%
Chrysler Corp. 38,900 2,412
Dana Corp. 7,100 220
Federal-Mogul Corp. 28,300 520
Ford Motor Co. 28,400 919
General Motors Corp. 50,600 2,650
Goodyear Tire & Rubber Co. 3,800 183
PACCAR, Inc. 11,700 570
Whirlpool Corp. 26,100 1,296
--------
8,770
--------
CONSUMER NON-DURABLES - 5.3%
Anheuser-Busch Cos., Inc. 13,800 1,035
Burlington Coat Factory Warehouse Corp. (a) 34,600 363
Burlington Industries, Inc. (a) 54,800 774
Dayton Hudson Corp. 10,800 1,114
Federated Department Stores, Inc. (a) 66,700 2,276
Hasbro, Inc. 12,500 447
Michaels Stores, Inc. (a) 29,800 507
Penney (J.C.) Co., Inc. 15,700 824
Pier 1 Imports, Inc. 32,400 482
Russell Corp. 8,700 240
Sears Roebuck & Co. 20,100 977
SuperValu, Inc. 33,500 1,055
Toys "R" Us, Inc. (a) 52,900 1,508
Woolworth Corp. (a) 16,200 365
--------
11,967
--------
CONSUMER SERVICES - 2.0%
AMR Corp. (a) 36,200 3,294
Brinker International, Inc. (a) 44,300 665
Equity III Fund 29
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
King World Productions, Inc. (a) 7,400 $ 269
Wendy's International, Inc. 8,800 164
--------
4,392
--------
ENERGY - 11.3%
Amerada Hess Corp. NPV 11,600 622
Amoco Corp. 20,600 1,491
Ashland, Inc. 5,300 210
Atlantic Richfield Co. 17,600 2,086
British Petroleum Co. PLC - ADR 11,562 1,236
Castle Energy Corp. New (a) 11,700 117
Chevron Corp. 25,100 1,481
Exxon Corp. 14,400 1,251
Kerr-McGee Corp. 15,700 956
LTV Corp. New 41,600 473
Mobil Corp. 36,700 4,115
Murphy Oil Corp. 21,700 985
Norsk Hydro AS - ADR 14,800 723
Questar Corp. 20,700 704
Repsol - ADR 20,100 698
Royal Dutch Petroleum Co. - ADR 9,700 1,491
Sun Co., Inc. 4,800 146
Tenneco, Inc. 41,600 2,127
Texaco, Inc. 17,100 1,434
USX-Marathon Group 44,800 902
Valero Energy Corp. 44,900 1,122
YPF Sociedad Anonima
Class D - ADR 43,400 976
--------
25,346
--------
FINANCE - 19.6%
Allstate Corp. 32,731 1,493
AMBAC, Inc. 19,200 1,001
American General Corp. 78,700 2,863
Banc One Corp. 53,030 1,803
Bank of Boston Corp. 23,400 1,158
BankAmerica Corp. 18,700 1,417
Bankers Trust New York Corp. 14,800 1,093
Barnett Banks, Inc. 11,500 702
Chase Manhattan Corp. New 65,556 4,630
Chubb Corp. (The) 30,900 1,541
CoreStates Financial Corp. 59,000 2,272
Countrywide Credit Industries, Inc. 26,900 666
Dean Witter, Discover & Co. 26,500 1,517
Everest Re Holdings, Inc. 54,000 1,397
Federal Home Loan Mortgage Corp. 3,800 325
Federal National Mortgage Association 76,200 2,553
First Chicago NBD Corp. 49,991 1,956
First Colony Corp. 13,900 431
First Tennessee National Corp. 34,800 1,061
First Union Corp. 10,700 651
First Virginia Banks, Inc. 13,200 528
Fleet Financial Group, Inc. 15,000 653
Golden West Financial Corp. 17,300 969
Jefferson-Pilot Corp. 3,300 170
John Alden Financial Corp. 15,300 339
Life Re Corp. 20,100 621
Loews Corp. 2,800 221
Mellon Bank Corp. 18,400 1,049
Mid Ocean, Ltd. 22,500 923
NationsBank Corp. 18,300 1,512
Norwest Corp. 17,100 596
Old Republic International Corp. 34,200 735
Paine Webber Group, Inc. 18,300 435
Reliance Group Holdings, Inc. 67,100 503
Reliastar Financial Corp. 15,500 668
Signet Banking Corp. 25,000 581
Southern National Corp. 46,600 1,480
SouthTrust Corp. 10,100 284
TCF Financial Corp. 16,800 558
U.S. Bancorp of Oregon 14,800 532
--------
43,887
--------
GENERAL BUSINESS - 1.5%
American Greetings Corp. Class A 33,300 907
Donnelley (R.R.) & Sons Co. 5,000 174
Ogden Corp. 21,200 384
Tribune Co. 16,500 1,198
Viacom, Inc. Class B (a) 17,800 693
--------
3,356
--------
MISCELLANEOUS - 1.6%
Chelsea GCA Realty, Inc. 9,800 311
Colonial Properties Trust 16,200 393
Geon Co. 32,600 734
Irvine Apartment Communities, Inc. 12,200 246
Macerich Co. 21,700 456
Providian Corp. 17,800 763
PXRE Corp. 13,100 318
South West Property Trust, Inc. 12,600 169
Town & Country Trust 13,900 181
--------
3,571
--------
Equity III Fund 30
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
SHELTER - 0.6%
Armstrong World Industries, Inc. 4,900 $ 282
Louisiana Pacific Corp. 18,100 400
Weyerhaeuser Co. 13,200 562
--------
1,244
--------
TECHNOLOGY - 7.4%
Advanced Micro Devices, Inc. (a) 27,200 371
Amdahl Corp. (a) 61,300 659
Avnet, Inc. 11,900 501
Boeing Co. 20,100 1,751
Data General Corp. (a) 13,300 173
Hewlett-Packard Co. 11,100 1,106
Intel Corp. 23,400 1,717
International Business Machines Corp. 40,200 3,980
Kaman Corp. Class A 11,300 113
Longview Fibre Co. 22,500 383
Motorola, Inc. 17,300 1,088
Pitney Bowes, Inc. 3,200 153
Raytheon Co. 16,000 826
Rockwell International Corp. 28,800 1,649
Seagate Technology (a) 15,100 679
Teradyne, Inc. 40,900 705
United Technologies Corp. 7,300 839
--------
16,693
--------
TRANSPORTATION - 2.5%
Conrail, Inc. 21,700 1,440
CSX Corp. 27,300 1,317
Federal Express Corp. (a) 15,200 1,246
GATX Corp. 8,800 425
Ryder System, Inc. 39,600 1,114
--------
5,542
--------
UTILITIES - 16.2%
Baltimore Gas & Electric Co. 13,100 372
BCE, Inc. 52,200 2,062
BellSouth Corp. 27,700 1,174
Boston Edison Co. 23,900 609
Edison International 103,600 1,826
Entergy Corp. 59,900 1,700
Equitable Resources, Inc. 22,800 644
FPL Group, Inc. 17,200 791
General Public Utilities Corp. 27,100 955
GTE Corp. 21,400 958
MCI Communications Corp. 50,200 1,280
New England Electric System 26,100 949
Niagara Mohawk Power Corp. 45,000 349
Northeast Utilities 64,200 859
NYNEX Corp. 77,700 3,691
Pacific Gas & Electric Co. 101,600 2,362
Pacific Telesis Group 92,700 3,129
PacifiCorp. 41,900 932
Potomac Electric Power Co. 60,200 1,595
PP&L Resources, Inc. 25,400 600
Southern New England
Telecommunications Corp. 4,200 176
Sprint Corp. 78,200 3,284
Telefonica de Argentina Class B - ADR 15,100 447
Texas Utilities Co. 32,900 1,406
U.S. West Communications Group 89,900 2,866
Unicom Corp. 44,700 1,246
--------
36,262
--------
TOTAL COMMON STOCKS
(cost $184,415) 207,625
--------
CONVERTIBLE PREFERRED STOCKS - 0.7%
Atlantic Richfield Co. 42,300 1,031
Sun, Inc. Series A 21,900 646
--------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $1,656) 1,677
--------
PREFERRED STOCKS - 1.1%
Nokia Corp. - ADR 25,500 944
RJR Nabisco Holdings Class C 232,300 1,509
--------
TOTAL PREFERRED STOCKS
(cost $2,458) 2,453
--------
SHORT-TERM INVESTMENTS - 4.9%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 10,077 10,077
United States Treasury Bills
4.975% due 10/17/96 (c)(d) 1,000 985
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $11,062) 11,062
--------
Equity III Fund 31
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
MARKET
VALUE
(000)
---------
TOTAL INVESTMENTS
(identified cost $199,591)(e) - 99.4% $ 222,817
OTHER ASSETS AND LIABILITIES,
NET - 0.6% 1,256
--------
NET ASSETS - 100.0% $ 224,073
--------
--------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Held as collateral by the custodian in connection with futures contracts
purchased by the fund.
(d) Rate noted is yield-to-maturity.
(e) See note 2 for federal income tax information.
NUMBER UNREALIZED
OF APPRECIATION
CONTRACTS UNREALIZED
(000)
--------- ----------
FUTURES CONTRACTS
(Notes 2 and 3)
S&P 500 Index Futures Contracts
expiration date 09/96 26 $ (39)
S&P Barra Value Futures Contracts
expiration date 09/96 11 (12)
--------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (Section) $ (51)
--------
--------
(Section) At June 30, 1996, United States Treasury Bills valued at $985 were
held as collateral by the custodian in connection with futures contracts
purchased by the Fund.
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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $199,591,337) (Note 2). . . . . . . . . . . $ 222,817,249
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . 504,870
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,848,946
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419,728
Daily variation margin on futures contracts (Notes 2 and 3). . . . . . . . . . 74,190
-----------
225,664,983
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . $ 1,324,182
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . 106,399
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . . . 126,497
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . 34,861 1,591,939
------------ -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 224,073,044
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . $ 1,296,001
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . 17,555,865
Unrealized appreciation (depreciation) on:,
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,225,929
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (51,100)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . 73,887
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181,972,462
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 224,073,044
------------
------------
Net asset value, offering and redemption price per share
($224,073,044 divided by 7,388,691 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . $30.33
------------
------------
</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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,148,083
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . 264,411
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,784
------------
3,471,278
------------
------------
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . $ 688,423
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . 95,396
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . 72,303
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . 5,596
Professional fees. . . . . . . . . . . . . . . . . . . . . . . 13,278
Registration fees. . . . . . . . . . . . . . . . . . . . . . . 15,566
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . 2,465
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . 10,395 903,422
----------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,567,856
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,683,752
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404,673
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,626,355)
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (44,300)
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . 13,417,770
------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . $ 15,985,626
------------
------------
</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, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . $ 2,567,856 $ 5,834,218
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 17,683,752 23,476,461
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . 404,673 660,171
Options written. . . . . . . . . . . . . . . . . . . . . . . . -- 770,438
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . (4,626,355) 30,571,095
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (44,300) (6,800)
Options written. . . . . . . . . . . . . . . . . . . . . . . . -- (96,288)
------------ ------------
Net increase (decrease) in net assets resulting from operations. . 15,985,626 61,209,295
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (1,301,357) (5,956,213)
Net realized gain on investments . . . . . . . . . . . . . . . . (5,154,173) (20,008,945)
Increase (decrease) in net assets from Fund share transactions . . (7,997,584) 9,489,136
----------- -----------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . 1,532,512 44,733,273
Net assets at beginning of period. . . . . . . . . . . . . . . . . 222,540,532 177,807,259
----------- -----------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $1,296,001 and $29,502, respectively) . . . . . . . . . . . . $224,073,044 $222,540,532
----------- -----------
----------- -----------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1995
-------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
------------ ------------ ----------- ------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . 952,246 $28,170,055 1,995,925 $55,610,295
Fund shares issued to shareholders
in reinvestments of distributions. . . 197,044 5,870,101 841,738 24,119,117
Fund shares redeemed . . . . . . . . . (1,406,285) (42,037,740) (2,546,275) (70,240,276)
------------ ------------ ----------- ------------
Net increase (decrease). . . . . . . . (256,995) $(7,997,584) 291,388 $ 9,489,136
------------ ------------ ----------- ------------
------------ ------------ ----------- ------------
</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>
1996* 1995 1994 1993 1992 1991
------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . $ 29.11 $ 24.18 $ 27.05 $ $26.75 $ 27.08 $ 23.30
------- ------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . .34 .82 .93 .89 .98 1.08
Net realized and unrealized gain (loss) on investments . . . . . . 1.70 7.73 (.85) 2.99 2.24 5.21
------- ------ ------ ------ ------ ------
Total Income From Investment Operations. . . . . . . . . . . . . 2.04 8.55 .08 3.88 3.22 6.29
------- ------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.17) (.83) (.91) (.90) (.99) (1.07)
In excess of net investment income . . . . . . . . . . . . . . . -- -- -- (.00) -- --
Net realized gain on investments . . . . . . . . . . . . . . . . (.65) (2.79) (1.94) (2.68) (2.56) (1.44)
In excess of net realized gain on investments. . . . . . . . . . -- -- (.10) -- -- --
------- ------ ------ ------ ------ ------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (.82) (3.62) (2.95) (3.58) (3.55) (2.51)
------- ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . $ 30.33 $ 29.11 $ 24.18 $ 27.05 $ 26.75 $ 27.08
------- ------ ------ ------ ------ ------
------- ------ ------ ------ ------ ------
TOTAL RETURN (%)(a)(c) . . . . . . . . . . . . . . . . . . . . . . . 7.07 35.96 1.16 14.95 12.30 27.86
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . . . . . .79 .65 .17 .16 .20 .25
Net investment income to average net assets (b)(c) . . . . . . . 2.23 2.90 3.39 3.09 3.57 4.05
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 96.89 103.40 85.92 76.77 84.56 56.99
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 224,073 222,541 177,807 181,630 166,782 138,076
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . . . . . . . . . . . .0459 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net of
investment management fees but gross of any investment services fees. See
Note 4.
36 Equity III Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
COMMON STOCKS - 94.5%
BASIC INDUSTRIES - 4.5%
Air Products & Chemicals, Inc. 9,000 $ 520
Albemarle Corp. 5,300 97
Alcan Aluminum, Ltd. 14,800 451
Allegheny Ludlum Corp. 7,700 145
Aluminum Co. of America 32,700 1,876
Bethlehem Steel Corp. (a) 22,600 268
Bowater, Inc. 6,000 226
Cabot Corp. 61,800 1,514
Champion International Corp. 14,600 610
Cincinnati Milacron, Inc. 4,700 113
Crompton & Knowles Corp. 5,600 94
Crown Cork & Seal Co., Inc. 19,800 891
Cytec Industries, Inc. (a) 1,300 111
Dow Chemical Co. 85,900 6,528
du Pont (E.I.) de Nemours & Co. 46,800 3,703
Eastman Chemical Co. 9,000 548
Engelhard Corp. 19,300 444
Freeport McMoRan, Inc. 24,800 880
Georgia Gulf Corp. 2,700 79
IMC Global, Inc. 1,200 45
Inco, Ltd. 12,900 416
Inland Steel Industries, Inc. 5,400 106
International Paper Co. 32,200 1,187
International Specialty Products (a) 39,000 429
James River Corp. of Virginia 13,000 343
Jefferson Smurfit Corp. (a) 12,900 140
Kimberly-Clark Corp. 2,700 209
Lubrizol Corp. 2,800 85
Mead Corp. 8,100 420
Monsanto Co. 34,500 1,121
Morton International, Inc. 24,300 905
Nucor Corp. 4,900 248
Oregon Steel Mills, Inc. 17,000 234
P.H. Glatfelter Co. 4,800 88
Petrolite Corp. 2,600 81
Phelps Dodge Corp. 15,500 967
Pope & Talbot, Inc. 11,000 166
PPG Industries, Inc. 28,400 1,385
Praxair, Inc. 17,200 727
Precision Castparts Corp. 1,700 73
Reynolds Metals Co. 7,400 386
Rohm & Haas Co. 10,800 678
Sealed Air Corp. 700 24
Temple-Inland, Inc. 20,000 935
Terra Industries, Inc. 15,700 194
Union Carbide Corp. 11,000 437
USX-U.S. Steel Group 9,200 261
Westvaco Corp. 41,300 1,234
--------
32,622
--------
CAPITAL GOODS - 5.5%
Anixter International, Inc. 4,900 73
Arrow Electronics, Inc. (a) 14,700 634
Atmel Corp. 26,200 789
Browning-Ferris Industries, Inc. 37,500 1,088
BWIP Holding, Inc. Class A 10,400 198
Caterpillar, Inc. 62,500 4,234
Cooper Industries, Inc. 12,600 523
Cummins Engine Co., Inc. 22,400 904
Deere & Co. 17,600 704
Dover Corp. 89,700 4,137
Duracell International, Inc. 10,400 449
Emerson Electric Co. 9,200 831
Exide Corp. 3,900 95
General Electric Co. 125,900 10,890
Grainger (W.W.), Inc. 6,000 465
Harnischfeger Industries, Inc. 17,900 595
Harsco Corp. 9,000 605
Ingersoll-Rand Co. 9,100 398
ITT Industries, Inc. 21,400 538
Johnson Controls, Inc. 6,900 480
Kaydon Corp. 6,900 297
Millipore Corp. 39,300 1,646
NACCO Industries, Inc. Class A 10 1
National Service Industries, Inc. 30,900 1,209
Novellus Systems, Inc. (a) 21,900 788
Parker-Hannifin Corp. 14,500 614
Pentair, Inc. 26,750 803
Raychem Corp. 21,600 1,553
Sturm, Ruger & Co., Inc. 6,800 316
Tecumseh Products Co. Class A 20,000 1,075
TRINOVA Corp. 3,400 113
Tyco International, Ltd. 28,100 1,145
WMX Technologies, Inc. 49,700 1,627
--------
39,817
--------
CONSUMER BASICS - 19.6%
Abbott Laboratories 58,700 2,553
ALZA Corp. (a) 15,000 411
American Home Products Corp. 78,600 4,726
Amgen, Inc. 6,100 328
Apria Healthcare Group, Inc. (a) 8,300 260
Archer-Daniels-Midland Co. 175,125 3,349
Bausch & Lomb, Inc. 9,600 408
Baxter International, Inc. 5,000 236
Becton, Dickinson & Co. 45,600 3,659
Biomet, Inc. (a) 20,000 283
Black & Decker Corp. 52,900 2,043
Bristol-Myers Squibb Co. 57,740 5,197
Equity Q Fund 37
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Campbell Soup Co. 4,000 $ 282
Cardinal Health, Inc. 55,100 3,974
Church and Dwight Co., Inc. 800 17
Clorox Co. 3,200 284
Coca-Cola Co. (The) 181,600 8,876
Colgate-Palmolive Co. 13,000 1,102
Columbia/HCA Healthcare Corp. 68,600 3,662
ConAgra, Inc. 49,208 2,233
CPC International, Inc. 26,500 1,908
Dole Food, Inc. 13,300 572
Eckerd Corp. 25,800 584
FHP International Corp. (a) 25,700 704
Forest Labs, Inc. (a) 6,500 251
Foundation Health Corp. (a) 25,300 908
General Mills, Inc. 500 27
Giant Food, Inc. Class A 4,200 151
Gillette Co. 3,600 225
Great Atlantic & Pacific Tea Co., Inc. 5,700 187
Health Care & Retirement Corp. (a) 34,050 809
Health Management Associates Class A 18,100 367
HealthCare COMPARE (a) 2,100 102
HEALTHSOUTH Rehabilitation Corp. (a) 10,000 360
Heinz (H.J.) Co. 13,650 415
Hershey Foods Corp. 14,550 1,068
Humana, Inc. (a) 28,100 502
Johnson & Johnson 203,500 10,073
Kellogg Co. 3,100 227
Lilly (Eli) & Co. 53,500 3,478
Manor Care, Inc. 10,800 425
McKesson Corp. New 37,500 1,786
Meditrust 600 20
Medtronic, Inc. 34,800 1,949
Merck & Co., Inc. 132,507 8,563
Michael Foods, Inc. 1,500 17
Nabisco Holdings Corp. Class A 4,400 156
PepsiCo, Inc. 224,600 7,945
Pfizer, Inc. 83,600 5,967
Philip Morris Cos., Inc. 153,000 15,912
Procter & Gamble Co. 111,700 10,123
Quaker Oats Co. 2,600 89
Ralston-Purina Group 9,400 603
RJR Nabisco Holdings Corp. New 53,800 1,668
Rubbermaid, Inc. 1,400 38
Safeway, Inc. 125,600 4,145
Sara Lee Corp. 42,700 1,382
Schering-Plough Corp. 49,800 3,125
Smith's Food & Drug Centers, Inc. Class B 6,300 150
Tenet Healthcare Corp. (a) 37,200 795
U.S. Healthcare, Inc. 700 38
Unilever NV 14,200 2,061
United Healthcare Corp. 31,500 1,591
Vivra, Inc. 6,200 204
Vons Cos., Inc. (a) 63,600 2,377
Warner-Lambert Co. 39,400 2,166
Watson Pharmaceuticals, Inc. (a) 4,400 165
Wellpoint Health Networks, Inc.
Class A (a) 71,403 2,230
--------
142,491
--------
CONSUMER DURABLES - 2.4%
Carlisle Cos., Inc. 600 32
Chrysler Corp. 108,900 6,752
Cooper Tire & Rubber Co. 6,700 149
Eaton Corp. 9,100 533
Fleetwood Enterprises, Inc. 37,200 1,153
Ford Motor Co. 118,900 3,849
General Motors Corp. 49,700 2,603
Goodyear Tire & Rubber Co. 9,800 473
Kimball International, Inc. Class B 18,400 506
Leggett & Platt, Inc. 22,700 630
Modine Manufacturing Co. 3,600 95
PACCAR, Inc. 4,500 219
Standard Products Co. 300 7
Whirlpool Corp. 14,500 720
--------
17,721
--------
CONSUMER NON-DURABLES - 5.3%
Anheuser-Busch Cos., Inc. 12,500 938
Block Drug Co., Inc. Class A 9,200 377
Brunswick Corp. 14,800 296
Circuit City Stores, Inc. 10,100 365
Claire's Stores, Inc. 3,900 108
Dayton Hudson Corp. 26,600 2,743
Department 56, Inc. (a) 31,600 715
Federated Department Stores, Inc. (a) 40,900 1,396
Fruit of the Loom, Inc. Class A (a) 11,200 286
Gap, Inc. 31,700 1,018
Hartmarx Corp. (a) 17,300 108
Heilig-Meyers, Co. 5,400 130
International Flavors & Fragrances, Inc. 9,900 471
Limited, Inc. (The) 41,800 899
Longs Drug Stores, Inc. 15,200 678
Lowe's Cos., Inc. 16,700 603
Mattel, Inc. 15,000 429
Melville Corp. 11,200 454
38 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Mercantile Stores, Inc. 73,300 $ 4,297
Newell Co. 32,500 995
NIKE, Inc. Class B 31,500 3,237
Nine West Group, Inc. (a) 3,600 184
Penney (J.C.) Co., Inc. 23,100 1,213
PriceCostco, Inc. (a) 53,100 1,135
Revco D.S., Inc. New (a) 54,000 1,289
Ross Stores, Inc. 69,300 2,408
Sears Roebuck & Co. 89,200 4,337
SuperValu, Inc. 7,200 227
Toys "R" Us, Inc. (a) 29,400 838
Tultex Corp. (a) 2,000 10
V.F. Corp. 12,500 745
Wal-Mart Stores, Inc. 207,300 5,260
Warnaco Group, Inc. Class A 5,800 149
Woolworth Corp. (a) 20,700 466
--------
38,804
--------
CONSUMER SERVICES - 3.4%
Alaska Air Group, Inc. (a) 79,600 2,179
AMR Corp. (a) 31,700 2,885
Boston Chicken, Inc. (a) 41,800 1,353
Boyd Gaming Corp. (a) 4,200 63
Callaway Golf Co. 29,400 978
Carnival Corp. Class A 15,900 459
Circus Circus Enterprises, Inc. (a) 13,400 549
Continental Airlines, Inc. Class B (a) 800 49
Disney (Walt) Co. 91,918 5,779
International Game Technology 16,800 284
ITT Corp. New 7,500 497
King World Productions, Inc. (a) 76,300 2,775
La Quinta Motor Inns, Inc. 4,800 161
MGM Grand, Inc. (a) 78,300 3,122
Mirage Resorts, Inc. (a) 12,700 686
Promus Hotel Corp. (a) 39,900 1,182
Ruby Tuesday, Inc. 14,600 330
UAL Corp. (a) 17,600 947
--------
24,278
--------
ENERGY - 7.9%
Amerada Hess Corp. NPV 42,800 2,295
Amoco Corp. 22,900 1,657
Anadarko Petroleum Corp. 4,700 273
Ashland, Inc. 6,300 250
Atlantic Richfield Co. 20,300 2,406
Baker Hughes, Inc. 40,300 1,325
Chevron Corp. 63,200 3,729
Cooper Cameron Corp. (a) 2,778 122
Diamond Shamrock, Inc. 2,200 64
Dresser Industries, Inc. 31,000 915
Exxon Corp. 178,600 15,516
Halliburton Co. 12,000 666
Helmerich & Payne, Inc. 3,000 110
Kerr-McGee Corp. 1,500 91
Lyondell Petrochemical Co. 6,500 157
Mitchell Energy & Development Corp.
Class A 1,000 19
Mobil Corp. 60,700 6,806
Occidental Petroleum Corp. 13,400 332
Oryx Energy Co. (a) 23,700 385
PanEnergy Corp. 14,300 470
Parker & Parsley Petroleum Co. 17,000 472
Phillips Petroleum Co. 89,300 3,739
Pogo Producing Co. 1,800 69
Quaker State Oil Refining Corp. 1,900 29
Reading & Bates Corp. (a) 500 11
Rowan Cos., Inc. (a) 18,000 266
Royal Dutch Petroleum Co. - ADR 48,300 7,426
Santa Fe Energy Resources, Inc. (a) 7,200 86
Seagull Energy Corp. (a) 16,700 418
Smith International, Inc. (a) 2,300 69
Sun Co., Inc. 9,400 286
Tenneco, Inc. 8,400 429
Texaco, Inc. 65,600 5,501
Unocal Corp. 24,500 826
USX-Marathon Group 15,300 307
Vastar Resources, Inc. 5,000 186
--------
57,708
--------
FINANCE - 15.8%
Advanta Corp. Class B 1,700 77
AFLAC, Inc. 45,787 1,368
Ahmanson (H.F.) & Co. 8,800 238
Allstate Corp. 67,514 3,080
AMBAC, Inc. 2,100 109
American Financial Group, Inc. 6,000 181
American General Corp. 18,100 658
American International Group, Inc. 14,000 1,381
American National Insurance Co. 5,900 381
American Re Corp. 4,900 220
AmSouth Bancorp 35,500 1,282
Banc One Corp. 31,600 1,074
Bancorp Hawaii, Inc. 11,000 396
Bank of Boston Corp. 19,975 989
BankAmerica Corp. 140,600 10,650
Equity Q Fund 39
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Bankers Life Holding Corp. 42,500 $ 940
BanPonce Corp. 2,000 90
Barnett Banks, Inc. 13,400 817
BayBanks, Inc. 2,500 269
Bear Stearns Cos., Inc. 58,575 1,384
Beneficial Corp. 3,700 208
Central Fidelity Banks, Inc. 4,200 93
Charter One Financial, Inc. 3,400 118
Chase Manhattan Corp. New 14,620 1,033
Chubb Corp. (The) 18,200 908
CIGNA Corp. 22,000 2,593
Citicorp 58,100 4,801
City National Corp. 40,700 641
CNA Financial Corp. (a) 4,900 505
Comerica, Inc. 42,700 1,905
CoreStates Financial Corp. 17,000 655
Crestar Financial Corp. 3,300 176
Dean Witter, Discover & Co. 14,000 802
Dime Bancorp, Inc. New (a) 7,000 91
Edwards (A.G.), Inc. 50,200 1,362
Equifax, Inc. 69,500 1,824
Federal Home Loan Mortgage Corp. 6,200 530
Federal National Mortgage Association 207,800 6,961
First Bank System, Inc. 17,000 986
First Chicago NBD Corp. 130,281 5,097
First Colony Corp. 4,300 133
First Tennessee National Corp. 5,100 156
First Union Corp. 21,800 1,327
First USA, Inc. 4,500 248
First Virginia Banks, Inc. 2,400 96
Firstar Corp. 5,600 258
Fleet Financial Group, Inc. 20,219 880
Golden West Financial Corp. 19,600 1,098
Great Western Financial Corp. 10,600 253
Greenpoint Financial Corp. 3,700 105
Household International Corp. 7,800 593
ITT Hartford Group, Inc. 21,400 1,140
Jefferson-Pilot Corp. 30,050 1,551
Lehman Brothers Holdings, Inc. 132,300 3,274
Lincoln National Corp. 17,200 796
Loews Corp. 46,800 3,691
MBIA, Inc. 3,700 288
MBNA Corp. 19,950 569
Mercantile Bancorp, Inc. 4,500 200
Mercantile Bankshares Corp. 3,700 94
Mercury Finance Corp. 13,200 168
Merrill Lynch & Co., Inc. 11,100 723
Morgan (J.P.) & Co., Inc. 64,700 5,475
Morgan Stanley Group, Inc. 43,300 2,127
National City Corp. 18,100 636
NationsBank Corp. 101,310 8,371
Northern Trust Corp. 4,500 260
Norwest Corp. 46,800 1,632
Old Republic International Corp. 40,550 872
Paine Webber Group, Inc. 9,600 228
PMI Group, Inc. (The) 3,100 132
PNC Bank Corp. 57,550 1,712
Protective Life Corp. 6,100 214
Provident Companies, Inc. 7,000 259
Regions Financial Corp. 4,800 224
Republic New York Corp. 4,300 268
SAFECO Corp. 10,800 382
Salomon, Inc. 117,700 5,179
Southern National Corp. 7,700 244
SouthTrust Corp. 7,200 203
St. Paul Cos., Inc. 7,800 417
Standard Federal Bancorporation 2,200 85
Star Banc Corp. 8,800 593
Student Loan Marketing Association 4,500 333
SunAmerica, Inc. 9,500 537
TCF Financial Corp. 2,600 86
Torchmark Corp. 6,300 276
Transamerica Financial Corp. 28,200 2,284
Travelers, Inc. 117,250 5,350
UMB Financial Corp. 1,100 40
Union Planters Corp. 3,500 106
UNUM Corp. 5,200 324
USLIFE Corp. 39,400 1,295
Washington Federal, Inc. 3,000 62
Washington Mutual, Inc. 5,500 164
Wilmington Trust Corp. 2,500 81
Zenith National Insurance Corp. 7,900 215
--------
115,180
--------
GENERAL BUSINESS - 3.3%
ADT, Ltd. (a) 4,700 89
BHC Communications, Inc. Class A 3,000 293
Central Newspapers, Inc. Class A 10,900 409
Comcast Corp. Special Class A 16,800 307
Corrections Corp. America 300 21
Cox Communications, Inc. Class A (a) 4,300 93
Donnelley (R.R.) & Sons Co. 16,600 579
Ecolab, Inc. 4,200 139
First Data Corp. 17,800 1,417
GTECH Holdings Corp. (a) 12,400 367
Harcourt General, Inc. 5,300 265
40 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
McClatchy Newspapers, Inc. Class A 3,000 $ 83
Media General, Inc. Class A 7,800 291
Moore Corp., Ltd. 177,100 3,343
New York Times Co. Class A 40,700 1,328
Omnicom Group, Inc. 25,900 1,204
Paging Network, Inc. 8,200 194
PHH Group, Inc. 25,700 1,465
SBC Communications, Inc. 56,650 2,790
Service Corp. International 18,500 1,064
Staples, Inc. 96,450 1,869
Tele-Communications, Inc. Class A 66,300 1,193
Time Warner, Inc. 38,400 1,507
Turner Broadcasting Systems, Inc. Class B 16,200 446
Viacom, Inc. Class B (a) 33,500 1,302
Wallace Computer Services, Inc. 7,900 472
Washington Post Co. Class B 4,600 1,489
--------
24,019
--------
MISCELLANEOUS - 0.3%
Chris Craft Industries, Inc. 6,042 266
GenCorp, Inc. 1,600 24
Providian Corp. 8,200 352
Security Capital Pacific Trust 51,700 1,124
--------
1,766
--------
SHELTER - 0.6%
Centex Corp. 22,900 713
Fastenal Co. 3,900 170
Georgia Pacific Corp. 400 28
Granite Construction, Inc. 2,100 48
Kaufman & Broad Home Corp. 61,800 896
Louisiana Pacific Corp. 16,600 367
Owens-Corning Fiberglas Corp. (a) 8,400 361
Schuller Corp. 52,300 543
Sherwin-Williams Co. 3,400 158
USG Corp. (a) 7,300 203
Weyerhaeuser Co. 17,400 740
--------
4,227
--------
TECHNOLOGY - 12.2%
Adaptec, Inc. (a) 2,500 118
ADC Telecommunications, Inc. (a) 3,900 174
Advanced Micro Devices, Inc. (a) 11,800 161
AlliedSignal, Inc. 59,700 3,410
Altera Corp. (a) 4,200 159
AMP, Inc. 21,100 847
Analog Devices, Inc. 26,000 663
Andrew Corp. 7,300 394
Applied Materials, Inc. 15,800 480
Autodesk, Inc. 3,600 107
Avery Dennison Corp. 24,600 1,350
Avnet, Inc. 52,800 2,224
Bay Networks, Inc. 15,700 404
Boeing Co. 54,200 4,722
Cadence Design Systems, Inc. 27,150 916
Ceridian Corp. (a) 1,700 86
Cisco Systems, Inc. (a) 71,700 4,060
Coltec Industries, Inc. (a) 5,900 84
COMPAQ Computer Corp. (a) 57,800 2,847
Cray Research, Inc. (a) 22 1
Cubic Corp. 1,000 33
Cypress Semiconductor Corp. 39,300 472
Davidson & Associates, Inc. 2,700 81
Dell Computer Corp. 7,300 370
Destec Energy, Inc. (a) 4,400 56
Digital Equipment Corp. (a) 22,100 995
EG&G, Inc. 14,300 306
EMC Corp. (a) 19,700 367
General Dynamics Corp. 5,900 366
General Instrument Corp. (a) 11,200 323
General Motors Corp. Class H 39,900 2,399
Guidant Corp. 44,600 2,197
Harris Corp. 12,400 756
Hewlett-Packard Co. 99,650 9,928
Honeywell, Inc. 17,500 954
Informix Corp. (a) 13,400 300
Input/Output, Inc. 3,700 120
Intel Corp. 82,200 6,031
International Business Machines Corp. 103,300 10,227
Komag, Inc. (a) 11,100 290
Lam Research Corp. (a) 9,300 241
Lockheed Martin Corp. 21,600 1,814
Longview Fibre Co. 12,400 211
Maxim Integrated Products, Inc. 4,000 109
McDonnell Douglas Corp. 19,800 960
Microsoft Corp. (a) 48,500 5,820
Molex, Inc. Class A 400 12
Motorola, Inc. 13,900 874
National Semiconductor Corp. (a) 12,400 192
Oracle Systems Corp. 50,100 1,973
Perkin-Elmer Corp. 7,400 357
Quantum Corp. (a) 4,500 65
Raytheon Co. 29,400 1,518
Read-Rite Corp. (a) 4,000 56
Rockwell International Corp. 23,400 1,340
Equity Q Fund 41
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Rohr, Inc. (a) 13,700 $ 286
SCI Systems, Inc. (a) 7,300 297
Scientific-Atlanta, Inc. 7,000 109
Seagate Technology (a) 10,900 491
Sensormatic Electronics Corp. 6,700 110
Solectron Corp. (a) 19,600 742
Storage Technology Corp. (a) 2,000 77
Sun Microsystems, Inc. 22,700 1,334
Sundstrand Corp. 7,200 264
Sybase, Inc. (a) 6,600 156
Symbol Technologies, Inc. (a) 13,200 587
Tandem Computers, Inc. (a) 1,000 12
Teradyne, Inc. 22,900 395
Texas Instruments, Inc. 14,400 717
Textron, Inc. 18,800 1,501
Thermo Instrument Systems, Inc. 2,100 67
Varian Associates, Inc. 34,000 1,759
Vishay Intertechnology, Inc. 17,535 413
Western Digital Corp. (a) 153,100 3,999
Xilinx, Inc. 6,500 205
--------
88,841
--------
TRANSPORTATION - 1.1%
Burlington Northern, Inc. 10,600 857
Conrail, Inc. 5,800 385
Consolidated Freightways, Inc. 3,100 65
CSX Corp. 13,300 642
Federal Express Corp. (a) 3,300 271
GATX Corp. 10,200 492
Illinois Central Corp. 3,800 108
Laidlaw, Inc. Class B 17,600 178
Norfolk Southern Corp. 35,900 3,043
Ryder System, Inc. 5,600 158
Tidewater, Inc. 19,100 838
Union Pacific Corp. 15,200 1,061
--------
8,098
--------
UTILITIES - 12.6%
360 Communications Co. (a) 9,101 218
Airtouch Communications, Inc. (a) 1,000 28
Allegheny Power System, Inc. 9,400 290
Ameritech Corp. 149,500 8,877
AT&T Corp. 161,800 10,032
Baltimore Gas & Electric Co. 9,100 258
Bell Atlantic Corp. 61,700 3,933
BellSouth Corp. 103,800 4,399
Carolina Power & Light Co. 8,500 323
Central & Southwest Corp. 37,300 1,082
CINergy Corp. 49,700 1,590
Coastal Corp. 32,100 1,340
Columbia Gas System, Inc. 30,300 1,579
Consolidated Edison Co. 31,400 918
Consolidated Natural Gas Co. 38,200 1,996
Dominion Resources, Inc. 13,700 548
DQE, Inc. 1,800 50
DTE Energy Co. 19,900 614
Duke Power Co. 28,500 1,461
Eastern Enterprises, Inc. 17,400 579
Edison International 165,800 2,922
El Paso Natural Gas Co. 2,300 89
Enron Corp. 28,300 1,157
Entergy Corp. 132,200 3,751
FPL Group, Inc. 14,400 662
General Public Utilities Corp. 2,900 102
GTE Corp. 278,153 12,447
Houston Industries, Inc. 20,500 505
Illinova Corp. 5,900 170
Long Island Lighting Co. 171,300 2,869
MCI Communications Corp. 72,400 1,846
MCN Corp. 31,500 768
National Fuel & Gas Co. 8,500 306
New England Electric System 4,000 146
New York State Electric & Gas Corp. 28,200 687
Niagara Mohawk Power Corp. 4,800 37
Northeast Utilities 8,500 114
Northern States Power Co. 17,300 854
NYNEX Corp. 34,700 1,648
Pacific Gas & Electric Co. 112,400 2,613
Pacific Telesis Group 39,500 1,333
PacifiCorp. 28,300 630
Peco Energy Co. 28,800 749
Peoples Energy Corp. 3,400 114
Pinnacle West Capital Corp. 6,800 207
Portland General Electric Co. 23,300 719
PP&L Resources, Inc. 12,400 293
Southern Co. 18,800 463
Southern New England
Telecommunications Corp. 11,800 496
Sprint Corp. 126,550 5,315
Texas Utilities Co. 20,900 893
TransCanada Pipelines, Ltd. 4,500 66
U.S. West Communications Group 36,700 1,170
U.S. West Media Group (a) 50,300 918
Unicom Corp. 87,700 2,445
Western Gas Resources, Inc. 6,000 98
Western Resources, Inc. 31,800 950
42 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
Williams Cos. (The) 19,700 $ 976
---------
91,643
---------
TOTAL COMMON STOCKS
(cost $567,313) 687,215
---------
PRINCIPAL
AMOUNT
(000)
---------
SHORT-TERM INVESTMENTS - 5.1%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 35,277 35,277
United States Treasury Bills
4.975% due 10/17/96 (c)(d) 2,000 1,969
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $37,247) 37,246
---------
TOTAL INVESTMENTS
(identified cost $604,560)(e) - 99.6% 724,461
OTHER ASSETS AND LIABILITIES,
NET - 0.4% 2,770
---------
NET ASSETS - 100.0% $ 727,231
---------
---------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) Held as collateral by the custodian in connection
with futures contracts purchased by the Fund.
(e) See Note 2 for federal income tax information.
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
------------ ------------
FUTURES CONTRACTS
(Notes 2 and 3)
S&P 400 Midcap Index Futures Contracts
expiration date 09/96 72 $ (238)
S&P 500 Index Futures Contracts
expiration date 09/96 83 141
-----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (Section) $ (97)
-----------
-----------
(Section) At June 30, 1996, United States Treasury Bills valued at
$1,969 were held as collateral by the custodian in connection
with futures contracts purchased by the Fund.
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, 1996 (Unaudited)
ASSETS
Investments at market (identified cost $604,559,795)(Note 2) . . $ 724,460,740
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . 1,701,173
Investments sold . . . . . . . . . . . . . . . . . . . . . . . 4,528,450
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . 1,802,200
Daily variation margin on futures contracts (Notes 2 and 3). . 261,660
------------
732,754,223
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . $ 3,803,212
Fund shares redeemed . . . . . . . . . . . . 1,253,726
Accrued fees to affiliates (Note 4). . . . . 384,373
Other accrued expenses . . . . . . . . . . . 81,851 5,523,162
------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 727,231,061
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . $ 4,107,861
Accumulated net realized gain (loss) . . . . . . . . . . . . . . 45,622,977
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 119,900,943
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (97,400)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . 224,425
Additional paid-in capital . . . . . . . . . . . . . . . . . . . 557,472,255
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 727,231,061
------------
------------
Net asset value, offering and redemption price per share
($727,231,061 divided by 22,442,547 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . $32.40
------------
------------
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, 1996 (Unaudited)
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,456,062
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 863,213
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,091
------------
9,369,366
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . $ 2,058,827
Custodian fees . . . . . . . . . . . . . . . 197,823
Transfer agent fees. . . . . . . . . . . . . 99,511
Bookkeeping service fees . . . . . . . . . . 11,012
Professional fees. . . . . . . . . . . . . . 19,874
Registration fees. . . . . . . . . . . . . . 45,696
Trustees' fees . . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . . 23,344 2,458,551
------------ ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . 6,910,815
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 44,426,802
Futures contracts. . . . . . . . . . . . . . . . . . . . . . 2,295,764
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 11,017,041
Futures contracts. . . . . . . . . . . . . . . . . . . . . . (37,857)
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . 57,701,750
-------------
Net increase (decrease) in net assets resulting from operations. .$ 64,612,565
-------------
-------------
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, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . $ 6,910,815 $ 10,645,251
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 44,426,802 59,195,198
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . 2,295,764 1,316,359
Options written. . . . . . . . . . . . . . . . . . . . . . . . -- 1,550,868
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 11,017,041 89,427,252
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (37,857) (59,543)
Options written. . . . . . . . . . . . . . . . . . . . . . . . -- (214,197)
----------------- ---------------
Net increase (decrease) in net assets resulting from operations. . 64,612,565 161,861,188
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (2,802,954) (10,815,119)
Net realized gain on investments . . . . . . . . . . . . . . . . (18,399,239) (47,298,452)
Increase (decrease) in net assets from Fund share transactions . . 63,562,086 85,849,747
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . 106,972,458 189,597,364
Net assets at beginning of period. . . . . . . . . . . . . . . . . 620,258,603 430,661,239
-------------- --------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $4,107,861 at June 30, 1996) . . . . . . . . . . . . . . . . $ 727,231,061 $ 620,258,603
-------------- --------------
-------------- --------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1995
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . . 3,694,450 $ 115,796,700 6,435,805 $ 185,897,050
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . 631,978 19,834,216 1,857,979 55,099,559
Fund shares redeemed . . . . . . . . . . . . . . . (2,285,349) (72,068,830) (5,522,121) (155,146,862)
---------- ------------- ---------- -------------
Net increase (decrease). . . . . . . . . . . . . . 2,041,079 $ 63,562,086 2,771,663 $ 85,849,747
---------- ------------- ---------- -------------
---------- ------------- ---------- -------------
</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>
1996* 1995 1994 1993 1992 1991
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 30.40 $ 24.43 $ 26.03 $ 25.23 $ 24.90 $ 20.20
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . .31 .59 .69 .66 .67 .75
Net realized and unrealized gain (loss) on investments . 2.69 8.52 (0.41) 2.71 1.73 5.58
------- ------- ------- ------- ------- -------
Total Income From Investment Operations. . . . . . . . . 3.00 9.11 0.28 3.37 2.40 6.33
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . (.13) (.61) (.69) (.66) (.68) (.75)
Net realized gain on investments . . . . . . . . . . . . (.87) (2.53) (.97) (1.85) (1.39) (.88)
In excess of net realized gain on investments. . . . . . -- -- (.22) (.06) -- --
------- ------- ------- ------- ------- -------
Total Distributions. . . . . . . . . . . . . . . . . . . (1.00) (3.14) (1.88) (2.57) (2.07) (1.63)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 32.40 $ 30.40 $ 24.43 $ 26.03 $ 25.23 $ 24.90
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a)(c) . . . . . . . . . . . . . . . . . . 9.98 37.91 .99 13.80 9.97 32.14
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . 0.71 .58 .11 .15 .18 .23
Net investment income to average net assets (b)(c) . . . 2.01 2.07 2.74 2.50 2.80 3.23
Portfolio turnover (b) . . . . . . . . . . . . . . . . . 76.98 74.00 45.87 54.69 58.35 51.37
Net assets, end of period ($000 omitted) . . . . . . . . 727,231 620,259 430,661 382,939 290,357 215,779
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . . . . . . . .0324 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net of
investment management fees but gross of any investment services fees. See
Note 4.
Equity Q Fund 47
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
COMMON STOCKS - 89.1%
ARGENTINA - 0.1%
Banco de Galicia y Buenos Aires
Class B New - ADR 3,351 $ 86
Banco Frances del Rio la Plata - ADR 3,038 87
Buenos Aires Embotelladora SA
Class B - ADR 1,686 22
Comercial de Plata (a) 5,010 15
Naviera Perez Companc Class B 29,589 194
Sociedad Comercial del Plata - ADR (a) 1,928 61
Telecom Argentina SA Class B - ADR 1,485 70
Telefonica de Argentina Class B - ADR 13,060 387
Transportadora de Gas Del Sur
Class B - ADR 5,591 68
YPF Sociedad Anonima Class D - ADR 10,790 243
-------
1,233
-------
AUSTRALIA - 3.6%
Aberfoyle, Ltd. (a) 1,100 3
Adelaide Brighton (a) 4,500 5
Advance Property Fund (units) (a) 5,400 5
Amalgamated Holdings, Ltd. (a) 700 12
Amcor, Ltd. 65,000 442
Australia & New Zealand
Bank Group, Ltd. 511,427 2,419
Australian Gas & Light Co. 74,780 311
Australian National Industries, Ltd. 519,483 421
Australian Resources, Ltd. 12,971 11
Australian Tourism Group 14,411 9
Azon, Ltd. 7,691 15
Bank of Melbourne, Ltd. (a) 1,700 10
Boral, Ltd. 123,903 321
BRL Hardy, Ltd. 2,666 5
Broken Hill Proprietary Co. 335,803 4,637
Burns Philip & Co., Ltd. 11,200 21
Burswood Property Trust (Units) 24,957 34
Caltex Australia 103,342 414
Coca-Cola Amatil, Ltd. 18,518 206
Coeval Holdings, Ltd. (a)(d) 100,000 0
Coles Myer, Ltd. 144,777 526
Comalco 3,300 19
Commonwealth Bank of Australia 7,047 58
Cortecs International, Ltd. (a) 300 1
CRA, Ltd. 3,800 58
Crown, Ltd. (a) 4,500 10
CSR, Ltd. 344,447 1,215
Eastern Aluminum 236,000 224
Elders Australia, Ltd. 307,594 399
Eltin, Ltd. 208,150 344
Email, Ltd. 117,965 306
Emperor Mines, Ltd. (a) 700 2
Foodland Associated, Ltd. 6,632 24
Foster's Brewing Group, Ltd. (a) 151,200 260
George Weston Foods, Ltd. 2,741 16
Giant Resources (a)(d) 400,000 0
GIO Australia Holdings 336,042 827
Goldmines of Kalgoorlie (a) 17,900 20
Goodman Fielder Wattie 308,020 312
GWA International, Ltd. 9,836 14
Holyman Limited 4,020 11
Hudson Conway, Ltd. (a) 1,500 17
Leighton Holdings, Ltd. Class A (a) 343 1
Lend Lease Corp. 10,123 155
M.I.M. Holdings, Ltd. 33,468 43
Mt. Leyshon Gold Mines, Ltd. 3,158 9
National Australia Bank, Ltd. 145,814 1,346
News Corp. 543,408 3,079
Normandy Poseidon 17,700 28
North Broken Hill Peko 30,138 86
Orion Resources NL (a) 3,877 6
Pacific Dunlop, Ltd. 92,188 207
Pasminco, Ltd. 247,500 348
Pioneer International, Ltd. 172,600 502
Publishing Broadcasting, Ltd. 45,430 200
QCT Resources 16,834 22
QNI Limited 485,380 1,083
RGC Limited 172,908 836
Ross Mining NL (a) 10,076 11
Rothmans Holdings 71,525 399
Santos, Ltd. 348,600 1,205
Schroders Property Fund 88,866 154
Sea World Property Australia, Ltd. 2,814 3
Simsmetal, Ltd. 5,518 32
Smith (Howard), Ltd. 33,747 210
Sons of Gwalia, Ltd. (a) 1,400 10
Southcorp Holdings, Ltd. 158,800 393
St. Barbara Mines, Ltd. (a) 6,548 4
Stockland Trust Group (a) 46,184 105
T N T, Ltd. (a) 561,519 631
Tabcorp. Holdings, Ltd. 69,700 315
Walker Corp., Ltd. 17,715 6
Wesfarmers 51,894 310
Wesfi, Ltd. (a) 1,844 3
Western Mining Corp. 698,818 4,997
Westfield Holdings (a) 800 14
Westfield Trust 178,181 321
Westfield Trust (units)(a) 7,734 14
Westpac Banking Corp. 88,546 392
Wills (W.D. & H.O.) 74,700 132
International Fund 49
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Woodside Petroleum, Ltd. 47,900 $ 288
-------
31,864
-------
AUSTRIA - 0.4%
Austrian Airlines (a) 150 23
Bank Austria AG 3,500 281
Boehler-Uddeholm AG 2,000 155
Brau-Union Goess AG 2,528 160
BWT AG 2,200 281
Creditanstalt-Bankverein 7,488 496
EA-Generali AG 300 89
EVN Energ-Versorg 1,080 149
Flughafen Wien AG 1,534 105
Interunfall Vericherungs AG 490 72
Lenzing AG 420 27
Leykam-Murzta Papi (a) 440 12
Oester Brau Beteil 1,562 89
Oester Elektrizita Class A 7,700 588
OMV AG 2,296 232
Radex-Heraklith 1,135 35
Universale-Bau (a) 660 28
VA Technologie AG (BR) 2,300 282
Wienerberger Baustoff 600 121
Z Landerbank Bank Austria AG 8,460 288
-------
3,513
-------
BELGIUM - 0.5%
Arbed SA NPV (a) 1,046 120
Banque Bruxelles Lambert New 57 11
Banque Bruxelles Lambert NPV 549 102
Electrabel NPV 4,452 957
Fortis AG 2,700 357
Generale de Banque NPV 2,380 838
Gevaert Photo-Producten NPV 900 60
Groupe Bruxelles Lambert NPV 450 57
Kredietbank NPV 2,911 873
Petrofina SA NPV 1,350 427
Societe Generale de Belgique NPV 776 59
Solvay SA NPV 759 470
Tractebel Investments International NPV 100 42
UCB Capital NV 226 424
-------
4,797
-------
BRAZIL - 0.3%
Eletrobras (centrais) NPV 764,130 205
Sider Nacional Cia NPV 3,558,460 91
Telecommunications de Sao Paulo SA (a) 61,873 11
Telecomunicacoes Brasileiras - ADR 417 29
Telecomunicacoes Brasileiras - ADR 20,043 1,433
Telecomunicacoes Brasileiras NPV 4,826,000 283
Usinas Siderurgicas de Minas - ADR (a) 4,116 45
White Martins SA NPV 59,520,000 84
-------
2,181
-------
CANADA - 0.8%
Alcan Aluminum, Ltd. 11,850 361
Bank of Montreal 9,800 240
Bank of Nova Scotia Halifax 10,035 244
Barrick Gold Corp. 29,200 792
Brascan, Ltd. Class A 3,700 69
Canadian Imperial Bank of Commerce 10,100 326
Cominco, Ltd. 12,500 270
Domtar, Inc. NPV (a) 14,500 106
Imasco, Ltd. IF 6,200 127
Imperial Oil, Ltd. New 14,000 591
Inco, Ltd. 71,731 2,313
Inco, Ltd. 15,700 505
National Bank of Canada 9,100 76
Petro-Canada 12,500 155
Placer Dome, Inc. 32,600 778
Ranger Oil, Ltd. 11,400 83
Royal Bank of Canada 5,040 121
Suncor, Inc. NPV 400 13
--------
7,170
--------
CHILE - 0.1%
Administradora de Fondos
de Pensiones Provida SA - ADR 1,300 33
Chile Fund, Inc. 10,298 252
Chilectra SA - ADR 2,534 139
Chilgener SA - ADR 4,370 105
Compania de Telefonos (Chile) SA - ADR 936 92
Enersis SA - ADR 5,809 180
-------
801
-------
CHINA - 0.1%
Huaneng Power International, Inc.
- ADR Series N (a) 27,400 490
Yizheng Chemical Fibre Class H 651,000 144
-------
634
-------
50 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
DENMARK - 0.6%
Bang & Olufsen Holding Series B (a) 14,000 $ 550
Carlsberg AS Series B 11,000 648
Coloplast AS Class B (Regd) 4,900 485
Den Danske Bank 6,860 460
ISS International Series B 12,000 268
Novo Nordisk AS Class B 13,899 1,969
Sophus Berendsen Class B 3,500 469
Tele Danmark AS Series B 6,700 337
Unidanmark Class A (Regd) 3,300 153
-------
5,339
-------
FINLAND - 0.5%
America Group Class A (a) 13,900 234
Cultor OY Series I 2,200 108
Cultor OY Series II 5,050 259
Enso OY Series A (a) 12,000 93
Instrumentarium (a) 100 3
Instrumentarium Series A (a) 300 10
Kymmene OY (a) 36,360 754
Merita, Ltd. Series A (a) 206,000 431
Metra AB Series A (a) 200 9
Metra AB Series B (a) 300 14
Nokia AB Series A 17,508 646
Nokia AB Series K 12,650 464
Outokumpu OY Class A 47,500 800
Partek AB OY 6,400 93
Rautaruukki OY 59,300 432
Stockmann OY AB Series B 900 47
Valmet Corp. Series A (a) 13,700 232
-------
4,629
-------
FRANCE - 6.3%
Accor SA 2,975 416
Alcatel Alsthom 39,575 3,455
Assurances Generales de France 16,852 457
AXA (a) 15,200 828
Banque Nationale Paris 43,180 1,517
Bertrand Faure SA 10,200 337
BIC 330 47
Boiron 1,500 183
Bouygues 5,388 601
Canal Plus 3,250 796
Cap Gemini Sogeti (a) 600 23
Carrefour SA 3,221 1,806
Carrefour SA 1998 Rights (a) 3,654 1,010
Casino Guich-Perr (a) 1,100 45
Castorama Dubois 3,682 726
Cerus Co. (a) 1,200 26
Cetelem 100 23
CGIP (a) 230 53
Chargeurs International SA (a) 1,566 70
Christian Dior 6,000 782
Cie de St. Gobain 9,884 1,324
Cie de Suez 19,352 708
Cie Finance Paribas Class A (BR) 31,360 1,853
Clarins 3,757 578
Club Mediterranee SA (a) 270 24
Compagnie Bancaire SA 1,814 205
Credit Commercial de France 11,430 530
Credit Foncier de France (a) 1,100 7
Credit Local de France 9,205 750
Credit Lyonnais Cert d'Invest. (a) 3,645 85
Credit National (a) 942 64
D.M.C. Dollfuss-Mieg 3,900 174
Eaux (cie Generale) 46,542 5,203
Ecco STE 2,431 612
Elf Gabon 70 14
Erid Beghin-Say 908 142
Essilor Internationale 120 34
Euro Disney SCA (BR)(a) 4,500 12
Eurotunnel/Euro SA Units (a) 29,000 43
Finextel (Soc. Fin.) 100 1
GAN Group (a) 300 8
Gaz et Eaux (a) 50 20
Groupe Danone (a) 5,566 841
GTM - Entrepose 2,700 175
Guilbert SA 1,891 276
Havas 1,790 147
Ingenico (a) 100 1
L'Air Liquide 4,835 854
L'Oreal (Societe) 653 217
Labinal 10 1
Lafarge Corp. SA (BR) 4,286 260
Lagardere Groupe (Regd) 29,900 771
Lapeyre (BR) 4,390 257
Legrand 874 157
Legris Industries SA 100 5
LVMH Moet-Hennessy 4,224 1,003
Lyonnais Eaux Dumez 1,010 97
Michelin (Cie Gen) Class B (Regd) 5,665 277
Moulinex (a) 200 4
Nord-Est 200 6
Pathe SA (a) 1,566 368
Pechiney International Class A (a) 19,052 767
Peugeot SA 7,190 963
Pinault-Printemps Redoute SA 3,239 1,134
Primagaz Cie 2,075 230
International Fund 51
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Primagaz Cie 1998 Warrants (a) 220 $ 5
Promodes 2,770 799
Remy Cointreau SA (a) 200 6
Renault 2,360 61
Rexel SA 300 83
Rhone Poulenc Series A (a) 369 8
Rhone Poulenc SA Class A - ADR (a) 15,300 402
S.G.E. (a) 400 8
Saint Louis 130 35
Salomon SA (a) 20 18
Sanofi SA 13,860 1,040
Schneider SA 20,220 1,061
SEITA 10,570 485
SGS Thomson Microelectronics (a) 7,400 260
Sidel SA 4,819 1,226
Societe Generale (a) 31,989 3,518
Societe Nationale Elf d'Aquitaine 19,604 1,443
Sodexho 1,390 617
Strafor-Facom SA (a) 100 8
Synthelabo 7,800 660
Technip (a) 100 9
Thomson-CSF 6,335 178
Total Co. SA Class B 68,326 5,072
TV Francaise (TFI) 12,073 1,380
Union des Assurances Federales 6,140 758
Union des Assurances Paris 2,800 57
Union Financiere de France Banque SA 2,100 180
Usinor Sacilor (a) 85,900 1,240
Valeo 21,072 1,129
Vallourec (Usin) 100 5
Worms & Cie (Regd) 1,300 68
-------
56,222
-------
GERMANY - 4.7%
AEG AG (a) 1,150 121
AGIV AG fuer Industrie
und Verkehrswesen (a) 1,100 21
Allianz AG 1998 Warrants (a) 7,000 357
Allianz AG Holdings 302 523
Altana AG 151 117
AVA ALG Handels VB 1,420 439
BASF AG 4,500 1,287
Bayer AG (a) 104,300 3,687
Bayer Motoren Werk 527 306
Bayerische Hypotheken
-und Wechsel Bank AG (a) 17,390 422
Bayerische Vereinsbank AG 33,500 941
Berliner Kraft & Licht 200 57
BHF - Bank AG 14,600 377
Bilfinger & Berger 1,955 826
Buderus AG 1,447 614
Colonia Konzern AG (Vinkuliert)(a) 500 405
Commerzbank AG 2,472 512
Continental AG 24,600 400
Daimler Benz AG 1996 Rights (a) 10,377 1
Daimler-Benz AG (a) 11,257 6,030
Deutsche Bank AG 28,725 1,360
Deutsche Pfandbrief & Hypothekenbank AG 15,700 622
Douglas Holding AG 1,800 72
Dresdner Bank AG 72,000 1,811
DT Babcock & Wilcox (a) 500 29
Fried, Krupp AG Hoesch 3,800 585
Gehe AG 2,152 1,447
Gerresheimer Glas 100 21
Hamburgische Electricitaets Werke AG (a) 100 27
Hoechst AG (a) 119,770 4,065
Hornback Baumarkt AG (a) 1,949 88
Klockner Humb Deut (a) 3,700 14
Klockner-Werke AG (a) 200 7
Leifheit AG 200 9
Lufthansa AG 200 28
M.A.N. AG 990 247
Mannesmann AG 12,046 4,167
Metallgesellschaft AG (a) 3,200 55
Muenchener Rueckversicherungs 589 1,216
Praktiker Bau und
Heimwerkemaerkte AG (a) 2,245 58
Rhoen - Klinikum AG (a) 3,402 448
SAP AG 5,930 879
Schering AG 6,694 487
Schwarz Pharma AG (a) 100 8
Siemens AG (a) 32,800 1,754
SKW Trostberg AG (a) 400 10
Veba AG 43,235 2,300
Veba International Finance
1998 Warrants (a) 3,000 856
Volkswagen International AG 3,942 1,466
-------
41,579
-------
HONG KONG - 3.6%
Allied Properties, Ltd. 554,000 84
Amoy Properties, Ltd. (a) 364,500 440
Cathay Pacific Airways 629,000 1,154
Cheung Kong Holdings, Ltd. 335,000 2,413
Dairy Farm International Holdings, Ltd. 232,932 197
Dao Heng Bank Group, Ltd. 103,000 398
52 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Dickson Concept International 11,000 $ 14
First Pacific Co. 612,154 941
Goldlion Holdings, Ltd. (a) 23,000 20
Great Eagle Holdings 37,665 110
Guangdong Investment 466,000 295
Guangshen Railway Co., Ltd. (a) 1,192,000 450
Guangzhou Investment 1,768,000 445
Guoco Group, Ltd. 113,000 539
Hang Lung Development Co. (a) 236,000 444
Hang Seng Bank 153,900 1,551
Henderson Investment, Ltd. 238,000 214
Henderson Land Development Co., Ltd. 99,000 742
Hong Kong & China Gas Co., Ltd. 283,339 452
Hong Kong & China Gas Co., Ltd.
1997 Warrants (a) 23,600 6
Hong Kong & Shanghai Hotel 28,000 48
Hong Kong Aircraft Engineering 27,200 82
Hong Kong Electric 316,000 963
Hong Kong Ferry 42,500 44
Hong Kong Land Holdings, Ltd. 671,444 1,511
Hong Kong Telecommunications 494,000 887
Hong Kong China, Ltd. 12,000 3
Hopewell Holdings, Ltd. 1,284,000 697
HSBC Holdings (UK Regd) PLC 75,350 1,137
Hutchison Whampoa, Ltd. 744,000 4,681
Hysan Development 148,000 453
Kumagai Gumi Hong Kong 64,000 57
Lai Sun Development Co., Ltd. 712,000 145
Lai Sun Garment International 22,000 26
Liu Chong Hing Investment, Ltd. 34,000 34
Mandarin Oriental International, Ltd. 356,613 499
Manhattan Card Co., Ltd. (a) 6,000 3
New Asia Realty & Trust Class A 12,000 39
New World Development Co., Ltd. (a) 646,278 2,997
Peregrine Investment Holdings, Ltd. (a) 3,000 4
Pokphand (CP) Co. (HK Regd) (a) 10,000 4
Regal Hotels International 276,519 74
San Miguel Brewery 23,200 11
Shanghai Petrochemical Class H 864,000 246
Shangri-La Asia, Ltd. 8,000 11
Shaw Bros. (H.K.), Ltd. 38,000 44
Shun Tak Holdings, Ltd. 82,000 50
Sing Tao 370,000 219
Sino Land Co. 29,718 29
South China Morning Post 110,000 75
Sun Hung Kai & Co. 134,000 48
Sun Hung Kai Properties, Ltd. 186,200 1,882
Swire Pacific, Ltd. Class A 195,000 1,541
Swire Pacific, Ltd. Class B 90,000 124
Tai Cheung Holdings 135,000 112
Television Broadcast 279,000 1,047
Wharf Holdings 232,000 830
Wheelock & Co. 64,000 126
Wing Lung Bank (a) 3,300 20
Winsor Industrial Corp., Ltd. 46,000 40
-------
31,752
-------
IRELAND - 0.1%
Allied Irish Banks 143,000 748
-------
748
-------
ITALY - 3.0%
Alitalia-Linee Aeree (a) 116,000 50
Ansaldo Trasporti SPA (a) 7,800 10
Assicurazioni Generali SPA 73,558 1,698
Banca Commerciale Italiana 111,124 224
Banca Pop di Bergamo CV 25,800 393
Banca Pop di Milano (a) 5,100 25
Banca Toscana (a) 1,800 3
Banco Ambrosiano Veneto di Risp 8,800 12
Banco Commerciale Italiana di Risp 42,000 88
Banco di Napoli di Risp (a) 215,100 51
Banco di Roma (a) 198,750 177
Banco Fideuram SPA 191,245 415
Burgo (Cartiere) SPA 27,200 149
Caffaro SPA (a) 4,700 5
Cementir SPA (a) 17,500 15
Ciga Hotels (a) 48,100 22
CIR Compagnie Industriali di Risp (a) 22,500 7
CIR Compagnie Industriali Riunite (a) 41,800 26
Cofide NC Risp (a) 12,000 3
Cofide SPA (a) 44,400 15
Credito Italiano di Risp NC 85,500 86
Dalmine SPA (a) 24,400 6
Danieli & Co. 3,000 20
Danieli & Co. 1999 Warrants (a) 5,020 4
Edison 53,000 320
Editoriale La Repubblica SPA (a) 125,000 209
Ente Nazionale Idrocarburi SPA (Regd)(a) 264,000 1,318
Ericsson 950 11
Falck, Acciaierie Fer Lombarde 9,200 34
Fiat SPA 880,700 2,953
Fiat SPA di Risp 56,500 97
Finanziaria Autogrill SPA (a) 30,059 34
First Banco S. Paolo 9,400 61
Gemina SPA (a) 106,800 46
Gewiss SPA 12,000 180
International Fund 53
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
I.F.I.L. (a) 22,100 $ 67
I.F.I.L. Risp NC (a) 21,400 34
Industrie Natuzzi SPA - ADR 12,660 649
Istituto Mobiliane Italiano (a) 83,968 702
Istituto Nazionale Delle Assicurazioni 1,606,500 2,397
Italcementi 7,500 60
Italcementi di Risp NC 5,500 17
Italgas (Soc. Ital.) 85,491 320
Luxottica Group SPA - ADR 3,200 235
Mediobanca SPA 1999 Warrants (a) 775 1
Mediolanum SPA (a) 15,750 157
Mondadori (Arnoldo) Editore 81,800 620
Montedison SPA (Ferruzzi Agricola)(a) 490,700 286
Montedison SPA di Risp (Ferruzzi Agricola)
NC (a) 35,200 21
Olivetti & Cie SPA (a) 6,502,500 3,512
Parmalat Finanziaria SPA (a) 119,100 160
Pirelli & Co. 35,150 45
Pirelli & Co. di Risp 2,000 2
Pirelli NC di Risp 6,900 7
Pirelli SPA 23,300 39
R.A.S. 4,114 43
Rinascente (LA) 15,500 111
Rinascente (LA) di Risp NC 10,600 29
Safilo SPA 1,300 31
Saipem AG (a) 7,200 30
Sasib SPA di Risp NC 63,761 127
Sirti SPA 36,500 235
SMI (Soc Metal Italy)(a) 61,200 22
SOFAP 125,000 140
Stefanel SPA (a) 5,600 7
Stet 361,110 1,222
Stet di Risp 229,290 603
Telecom Italia di Risp 152,300 236
Telecom Italia Mobile SPA (a) 1,373,296 3,072
Telecom Italia Mobile SPA - di Risp (a) 26,018 36
Telecom Italia SPA 1,206,724 2,597
Unicem di Risp (a) 8,263 60
-------
26,699
-------
JAPAN - 31.6%
Advantest 4,300 171
Aisin Seiki Co., Ltd. 14,000 211
Ajinomoto Co., Inc. 3,000 36
Alps Electric Co. 85,000 1,034
Amada Co., Ltd. 85,000 917
Anritsu Corp. (a) 3,000 42
Aoki Corp. (a) 85,000 316
Apic Yamada Corp. 13,200 308
Arabian Oil Co. 2,400 113
Asahi Bank 180,000 2,090
Asahi Breweries 8,000 94
Asahi Glass Co. 65,000 779
Ashikaga Bank (a) 2,000 13
Bank of Yokohama 19,000 173
Brother Industries 253,000 1,552
Canon Sales Co., Inc. 18,000 502
Canon Sales Co., Inc. 1997 Warrants (a) 330 53
Canon, Inc. 62,000 1,293
Casio Computer Co. (a) 2,000 19
Chiba Bank, Ltd. 11,000 97
Chubu Electric Power Co., Inc. 2,400 54
Chugai Pharmaceutical Co. 118,000 1,154
Chuo Trust & Banking 50,000 494
Citizen Watch Co., Ltd. 36,000 301
Cosmo Oil Co. 176,000 1,091
CSK Corp., Ltd. 13,400 399
Dai Ichi Kangyo Bank 100,000 1,865
Dai Ichi Pharmaceutical Co. 49,000 757
Dai Nippon Printing, Ltd. 18,000 349
Dai Nippon Screen Manufacturing Co. (a) 45,000 402
Daicel Chemical Industries 45,000 278
Daido Steel Co. 100,000 496
Daiei, Inc. 301,000 3,633
Daifuku Machinery Co. 12,000 184
Daiken Corp. 45,000 383
Daikin Industries 110,000 1,207
Daikyo, Inc. 6,000 45
Daishinku Corp. 60,000 658
Daito Trust Construction 1,000 15
Daiwa Bank 260,000 1,802
Daiwa Danchi Co., Ltd. (a) 45,000 290
Daiwa House Industries Co. 60,000 933
Daiwa Kosho Lease Co.. Ltd. 63,000 674
Daiwa Securities 275,000 3,545
DDI Corp. 516 4,511
Denny's Japan 1,000 36
Diamond Lease Co. 9,000 123
Dowa Mining Co. 3,000 14
Dowa Mining Co.
Series 5 1997 Warrants (a) 124 146
East Japan Railway 540 2,839
Ebara Corp. 69,000 1,104
Eisai Co. 63,300 1,198
Familymart, Co. 23,000 1,026
Fanuc Co. 15,000 598
Fuji Bank (a) 24,000 518
54 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Fuji Denki Reiki 59,850 $ 766
Fuji Electric Co. 230,000 1,247
Fuji Heavy Industries (a) 8,000 41
Fuji Oil Co. 120,000 985
Fuji Photo Film Co. (a) 23,000 728
Fujikura 98,000 814
Fujisawa Pharmaceutical 45,000 473
Fujita Corp. 9,000 42
Fujita Kanko, Inc. 3,000 60
Fujitsu Denso 20,000 525
Fujitsu, Ltd. 157,000 1,436
Fukui Bank 160,000 923
Fukuyama Transporting Co. 9,000 87
Furukawa Co., Ltd. (a) 1,000 5
Furukawa Electric Co. (a) 286,000 1,713
Futaba Corp. 25,000 1,132
Futaba Industrial (a) 15,000 272
Gakken Co. (a) 260,000 1,930
General Sekiyu KK 19,000 168
Green Cross Corp. (a) 3,000 16
Gunze, Ltd. 160,000 1,005
Hankyu Corp. (a) 30,000 176
Hanwa Co. (a) 5,000 19
Haseko Corp. (a) 47,000 204
Heiwa Corp. 20,000 463
Heiwa Real Estate 70,000 576
Hirose Electric (a) 1,000 62
Hiroshima Bank (a) 6,000 37
Hitachi Maxell (a) 1,000 21
Hitachi Zosen Corp. 75,000 426
Hitachi, Ltd. 374,000 3,488
Hokkaido Bank (a) 3,000 10
Hokkaido Takushoku Bank, Ltd. 311,000 944
Hokuetsu Bank 90,000 509
Hokuetsu Paper Mills (a) 1,000 8
Honda Motor Co., Ltd. 37,000 961
Hoya Corp. 2,000 65
Hyakugo Bank 80,000 536
Inax Corp. 25,000 249
Industrial Bank of Japan 15,000 373
Intec, Inc. 62,000 1,009
Isetan Co. 44,000 668
Ishihara Sangyo (a) 28,000 112
Ishikawajima-Harima Heavy Industries 400,000 1,957
Isuzu Motors, Ltd. 86,000 492
Ito-Yokado Co., Ltd. 53,000 3,203
Itoham Foods, Inc. 105,000 802
Izumi Co. 33,000 661
Japan Air Lines Co. (a) 156,000 1,265
Japan Airport Terminal 6,000 85
Japan Aviation Electronics (a) 8,000 63
Japan Energy Corp. 61,000 227
Japan Radio Co. (a) 1,000 14
Japan Steel Works (a) 15,000 49
Japan Synthetic Rubber 20,000 144
Japan Tobacco, Inc. 131 1,006
Japan Wool Textile Co. (a) 2,000 19
Joshin Denki Co. 6,000 87
Jusco Co. (a) 2,000 66
Kamigumi Co. 6,000 55
Kankaku Securities (a) 28,000 119
Kao Corp. 140,000 1,895
Kashiyama Onward (a) 1,000 16
Kawasaki Heavy Industries 369,000 1,873
Kawasaki Kisen (a) 176,000 595
Kawasho Corp. (a) 163,000 793
Keihin Electric Express 16,480 98
Keio Teito Electric Railway 17,000 101
Kenwood Corp. (a) 2,000 14
Kinden Corp. 300 5
Kinki Nippon Railway 60,770 438
Kirin Beverage Corp. 20,000 294
Kirin Brewery Co. 20,000 245
Kissei Pharmaceutical Co. 1,100 31
Kokusai Denshin Denwa (a) 1,000 106
Kokusai Electric Co., Ltd. (a) 1,000 19
Kokuyo Co., Ltd. 22,000 610
Komatsu Forklift Co., Ltd. 64,000 632
Komori Corp. 93,000 2,381
Konica Corp. 3,000 23
Kubota Corp. 245,000 1,620
Kumagai Gumi Co. 167,000 672
Kumagai Gumi Co., Ltd.
1998 Warrants (a) 17,000 3
Kurabo Industries 25,000 100
Kuraray Co., Ltd. 52,000 585
Kuraray Co., Ltd. 1999 Warrants (a) 115 101
Kureha Chemical Industrial Co. 40,000 226
Kyocera Corp. 49,000 3,472
Kyodo Printing Co. 20,000 236
Kyokuto Boeki 30,000 243
Kyowa Hakko Kogyo 83,000 797
Kyushu Matsushita (a) 3,000 54
Long Term Credit Bank Japan (a) 18,000 140
Maeda Corp. 10,000 100
Maeda Corp. 1997 Warrants (a) 130 203
Maeda Road Construction (a) 1,000 17
Makino Milling (a) 2,000 20
International Fund 55
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Makita Corp. 39,000 $ 635
Marubeni Corp. 163,000 894
Maruetsu, Inc. 33,000 298
Marui Co., Ltd. 54,000 1,200
Matsushita Communication (a) 1,000 26
Matsushita Electric Industrial Co., Ltd. 235,000 4,383
Matsushita Electric Works 10,000 109
Matsuzakaya Co. 64,000 784
Mazda Motor Corp. (a) 48,000 239
Minebea Co., Ltd. 9,000 76
Minolta Camera Co. (a) 2,000 13
Mitsubishi Chemical 75,000 347
Mitsubishi Corp. 107,000 1,409
Mitsubishi Electric Corp. 67,000 468
Mitsubishi Estate Co., Ltd. 59,000 815
Mitsubishi Heavy Industries 377,000 3,285
Mitsubishi Kakoki 13,000 102
Mitsubishi Material 94,000 512
Mitsubishi Motors Corp. 8,000 70
Mitsubishi Oil Co. 22,000 188
Mitsubishi Paper Mills 35,000 219
Mitsubishi Trust & Banking 146,000 2,470
Mitsubishi Warehouse 4,000 72
Mitsui & Co. 312,000 2,833
Mitsui Fudosan Co., Ltd. 157,000 2,125
Mitsui Mining & Smelting (a) 185,000 758
Mitsui O.S.K. Lines (a) 7,000 24
Mitsui Petrochemical Industry 123,000 990
Mitsui Toatsu Chemical 250,000 990
Mitsui Trust & Banking 91,000 1,065
Mizuno Corp. 33,000 311
Mori Seiki Co. 5,000 101
Murata Manufacturing Co. 57,000 2,163
Nagasakiya Co. (a) 3,000 26
Nagase & Co. (a) 26,000 247
Nagoya Railroad Co., 1997 Warrants (a) 175 262
Nagoya Railroad Co., Ltd. 20,000 102
Namco 48,000 1,593
Nankai Electric Railway 14,850 94
National House Industrial 18,000 281
NCR Japan, Ltd. (a) 3,000 30
NEC Corp. 331,000 3,602
New Oji Paper Co. 15,000 130
New Oji Paper Co., Ltd. 1998 Warrants (a) 80 129
NGK Spark Plug Co. (a) 3,000 33
NHK Spring Co. (a) 2,000 11
Nichicon Corp. (a) 2,000 29
Nichido Fire & Marine 227,400 1,761
Nichiei Co., Ltd. of Kyoto 19,000 90
Nichiei Co., Ltd. of Yokohama 7,000 116
Nichimo Co. (a) 88,000 430
Nihon Cement Co. (a) 4,000 30
Nikon Corp. 61,000 703
Nippon Carbon Co. (a) 2,000 9
Nippon Chemi-Con Co., Ltd. (a) 1,000 7
Nippon Chemical Industrial (a) 3,000 32
Nippon Credit Bank (a) 5,000 19
Nippon Denko Co. (a) 1,000 5
Nippon Denso Co. 57,000 1,240
Nippon Electric Glass (a) 4,000 68
Nippon Express Co. 105,000 1,027
Nippon Hodo Co. 13,000 221
Nippon Kayaku Co., Ltd. (a) 3,000 22
Nippon Light Metal Co. (a) 3,000 17
Nippon Oil Co. 217,000 1,474
Nippon Paint Co., Ltd. (a) 1,000 5
Nippon Paper Industries 9,000 56
Nippon Road Co. 85,000 734
Nippon Sheet Glass 50,000 246
Nippon Shokubai Kagaku Kogyo Co. (a) 1,000 10
Nippon Soda Co. (a) 2,000 18
Nippon Steel Corp. 2,293,000 7,883
Nippon Suisan (a) 206,000 880
Nippon Telegraph & Telephone Corp. 582 4,321
Nippon Zeon Co., Ltd. (a) 2,000 12
Nishimatsu Construction (a) 143,000 1,569
Nissan Diesel Motor Co. (a) 88,000 522
Nissan Motor Co., Ltd. 849,000 7,553
Nisshinbo Industries, Inc. 24,000 237
Nissho Iwai Corp. (a) 17,000 96
Nitto Denko Corp. 17,000 300
NKK Corp. (a) 558,000 1,694
Nomura Securities 359,000 7,025
North Pacific Bank 100,000 549
NSK, Ltd. 161,000 1,220
NTT Data Communications Systems Corp. 89 2,669
Obayashi Corp. 182,000 1,649
Odakyu Electric Railway 25,750 174
Okamoto Industries, Inc. 7,000 44
Okamura Corp. 50,000 419
Oki Electric Industries (a) 9,000 62
Okuma Corp. (a) 5,000 56
Ono Pharmaceutical 34,000 1,172
Orix Corp. (a) 1,000 37
Osaka Gas Co. 204,000 748
Penta Ocean Construction (a) 5,000 34
Pioneer Electronics Corp. 116,000 2,768
Renown, Inc. (a) 63,000 253
56 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Ricoh Co., Ltd. 53,000 $ 562
Royal Co., Ltd. 8,000 157
Ryobi, Ltd. 84,000 429
Sakura Bank 376,000 4,194
Samsung Electronics, Ltd. - GDR (a) 2,331 57
Sangetsu Co. 6,000 161
Sankyo Aluminum 51,000 299
Sankyo Co. 48,000 1,246
Sankyo Seiko Co. 83,000 626
Sanrio Co. (a) 1,000 12
Sanshin Electronics 30,000 491
Sanwa Bank 84,000 1,559
Sanyo Electric Co., Ltd. 138,000 844
Sapporo Breweries 6,000 57
Sato Kogyo Co. (a) 4,000 25
Secom Co. 2,000 132
Sega Enterprises 9,300 435
Seibu Railway Co. 18,000 961
Seiko Corp. (a) 2,000 19
Seino Transportation 4,000 63
Sekisui Chemical Co., Ltd. 94,000 1,152
Sekisui House, Ltd. 98,000 1,120
Seven-Eleven Japan NPV 7,300 467
Sharp Corp. 380,000 6,671
Shikoku Electric Power 41,200 915
Shin-Etsu Chemical Co. 36,400 699
Shionogi & Co. 5,000 43
Shiseido Co., Ltd. 111,000 1,421
Shokusan Jutaku Co. (a) 5,000 21
Showa Shell Sekiyu 48,000 500
Sintokogio 126,000 1,164
Skylark Co. 2,000 42
Snow Brand Milk 125,000 852
Sony Corp. 137,700 9,078
Sony Music Entertainment, Inc. 18,000 839
Stanley Electric 120,000 834
Sumitomo Bank 222,000 4,303
Sumitomo Corp. 157,000 1,398
Sumitomo Electric Industries 77,000 1,105
Sumitomo Forestry 98,000 1,461
Sumitomo Heavy Industry (a) 15,000 66
Sumitomo Metal Industries, Ltd. (a) 665,000 2,043
Sumitomo Metal Mining (a) 7,000 61
Sumitomo Realty & Development 611,000 4,844
Sumitomo Rubber Industries 140,000 1,215
Sumitomo Sitix Corp. 82,000 1,814
Sumitomo Trust & Banking 155,000 2,126
Suzuki Motor Corp. (a) 1,000 13
Taisei Corp. 176,000 1,252
Taisho Pharmaceutical Co., Ltd. 5,000 108
Taiyo Yuden Co. (a) 2,000 25
Takashimaya Co. 81,000 1,259
Takeda Chemical Industries 14,000 248
TDK Corp. 36,000 2,153
Teijin, Ltd. 204,000 1,110
Teikoku Oil 13,000 89
Tekken Corp. (a) 2,000 15
Terumo Corp. (a) 6,000 76
TOA Corp. 2,000 14
Toagosei Co., Ltd. 2,000 11
Tobu Railway Co. 75,000 493
Toenec Corp. 30,000 280
Toho Co. 400 71
Toho Zinc Co. (a) 3,000 19
Tokai Bank (a) 9,000 117
Tokio Marine & Fire 156,000 2,083
Tokyo Broadcasting 82,000 1,455
Tokyo Dome Corp. 4,000 81
Tokyo Electric Co., Ltd. (a) 6,000 34
Tokyo Electric Power 90,000 2,288
Tokyo Electronics 16,000 467
Tokyo Kisen Co. 5,000 40
Tokyo Steel Manufacturing 25,000 491
Tokyo Tatemono Co., Ltd. (a) 8,000 52
Tokyotokeiba Co. 7,000 31
Tokyu Construction 26,000 121
Tokyu Corp. 45,000 344
Tokyu Land Corp. (a) 4,000 21
Tomen Corp. 256,000 985
Tonen Corp. 34,000 501
Toppan Printing 58,000 849
Torii Pharmaceutical Co., Ltd. (a) 18,300 432
Toshiba Ceramics Co. (a) 2,000 22
Toshiba Corp. (a) 22,000 157
Toshiba Machine Co. (a) 133,000 851
Toshiba Tungaloy Co. (a) 1,000 6
Tostem Corp. 2,000 59
Toto, Ltd. 3,000 45
Toyo Construction 140,000 716
Toyo Engineering Co. 140,000 945
Toyo Trust & Banking 112,000 1,157
Toyota Motor Corp. 206,000 5,161
Tsubakimoto Chain 70,000 478
Tsugami Corp. (a) 1,000 5
UBE Industries (a) 295,000 1,125
UNY Co., Ltd. (a) 8,000 159
Victor Co. of Japan (a) 65,000 933
Wacoal Corp. 25,000 341
International Fund 57
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Yamaha Corp. 9,000 $ 149
Yamaha Motor Co. 144,000 1,475
Yamaichi Securities Co. 111,000 763
Yamanouchi Pharmaceutical 5,000 109
Yamato Transport 4,000 47
Yamazaki Baking Co., Ltd. 54,000 1,002
Yasuda Fire & Marine Insurance Co.,
Ltd. (The) 186,000 1,393
Yasuda Trust & Banking 80,000 507
Yokogawa Electric Co. 7,000 70
Yokohama Rubber Co. 204,000 1,281
Yurtec Corp. 11,000 194
-------
281,481
-------
MALAYSIA - 1.7%
Affin Holdings Berhad 348,000 816
Affin Holdings Berhad 1999 Warrants (a) 98,600 95
Berjaya Sports 138,000 456
Carlsberg Brewery Malaysia Berhad 114,000 777
Commerce Asset Holdings 44,000 268
Commerce Asset Holdings Rights (a) 54,000 195
Edaran Otomobil 4,300 41
Faber Group Berhad (a) 25,400 27
Genting Berhad 66,000 516
Golden Hope Plantation 19,000 30
Highlands & Lowlands 10,900 19
IGB Corp. Berhad (a) 9,000 9
IND Oxygen, Inc. 289,000 401
Kedah Cement Holdings Berhad (a) 7,000 13
Kuala Lumpur Kepong 4,000 10
Kuala Lumpur Kepong Berhad
A Shares (a) 12,500 32
Malayan Cement Berhad (a) 3,000 7
Malayan United Industries 22,000 18
Malaysia Mining Corp.
Berhad 1996 Rights (a) 13,200 3
Malaysia Mining Series A (a) 8,800 9
Malaysian Airline System 11,000 35
Malaysian International Shipping Corp.
(Alien Market) 85,000 264
Malaysian Pacific (a) 8,000 33
MBF Capital Berhad 222,000 306
Multi Purpose Holding (a) 348,000 561
New Straits Times 216,000 1,126
Oriental Holdings Berhad (a) 2,000 13
Perlis Plantations (a) 8,000 31
Petronas Dagangan Berhad 8,000 22
Public Bank Berhad (Alien Market)(a) 6,000 17
Rashid Hussain Berhad (a) 7,000 26
Renong Berhad (a) 956,000 1,525
Renong Berhad 2000 Warrants
(Alien Market)(a) 36,875 10
Resorts World Berhad 452,000 2,591
Selangor Properties 31,000 38
Sime Darby Berhad (Resident Shares) 721,600 1,996
Sime UEP Properties Berhad 100,000 200
Tan Chong Motor Holdings 236,000 344
Tanjong PLC 100,000 377
Technical Resource Industries Berhad (a) 354,000 1,235
United Engineers Berhad 139,632 968
-------
15,460
-------
MEXICO - 0.4%
Cemex SA de CV Class B NPV 39,709 157
Cemex SA de CV NPV 104,790 376
Cifra SA de CV - ADR (a) 304,619 440
Compania Cervecerias Unidas SA - ADR 3,214 75
Empresa Nacional de Electric - ADR 9,929 214
Fomento Economico Mexicano SA de
CV Series B NPV 26,557 76
Gruma SA Series B NPV (a) 31,429 145
Grupo Financiero Banamex AC
Series B NPV (a) 82,052 171
Grupo Financiero Banamex AC
Series L NPV (a) 3,655 7
Grupo Industrial Maseca Series B NPV 131,263 137
Grupo Modelo SA Series C 27,752 130
Grupo Television SA de CV - GDR (a) 5,076 156
Kimberly-Clark, Mexico Class A NPV 11,138 203
Pan American Beverages, Inc. Class A 6,177 276
Telefonos de Mexico SA Series L - ADR 16,479 552
-------
3,115
-------
NETHERLANDS - 3.4%
ABN AMRO Holdings NV 34,297 1,842
Aegon NV 11,300 521
Ahold NV 7,388 401
AKZO Nobel NV 1,729 207
Boskalis Westminster CVA 16,073 287
CSM NV CVA 16,139 774
DSM NV (BR) 6,500 646
Elsevier NV 176,672 2,683
Fortis Amev NV (a) 15,463 443
Hagemeyer NV 3,174 226
ING Groep NV (a) 86,025 2,149
Koninklijke Bijenkorf Beheer 6,300 533
58 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Moeara Enim Petroleum NPV (a) 48 $ 827
Nedlloyd Groep NV 30,000 691
Nutricia Verenigde Bedrijven CVA 2,750 291
Otra NV (a) 3,590 83
Philips Electronics 18,800 612
Polygram 27,956 1,652
Randstad Holdings NV 10,000 739
Royal Dutch Petroleum Co. (BR) 38,359 5,929
Royal PTT Nederland NV 27,771 1,052
Unilever NV CVA 12,760 1,848
Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit 139,670 2,170
Wolters Kluwer CVA 34,881 3,966
-------
30,572
-------
NEW ZEALAND - 0.4%
Air New Zealand Class B 191,278 586
Brierley Investments, Ltd. 17,642 17
Carter Holt Harvey 146,441 335
Fernz Corp. 34,700 104
Fisher & Paykel 8,396 27
Fletcher Challenge Building (a) 81,649 160
Fletcher Challenge Energy (a) 81,649 181
Fletcher Challenge Paper (a) 163,298 317
Fletcher Challenge, Ltd.
(Forests Division) 124,86 155
Lion Nathan, Ltd. 277,000 726
Telecom Corp. of New Zealand 96,000 404
Trans Tasman Properties, Ltd. NPV 982,784 446
Wrightson Limited 300,000 221
-------
3,679
-------
NORWAY - 1.0%
Aker AS Series A 2,100 40
Aker AS Series B 20,800 372
Bergesen DY AS Series A 17,230 358
Bergesen DY AS Series B 2,000 40
Den Norske Creditbank AS 29,100 88
Det Norske Luftfartselskap AS Series B 9,711 106
Dyno Industrier AS 12,500 277
Elkem AS Series A 6,000 83
Hafslund Nycomed AS Series A 2,945 21
Hafslund Nycomed AS Series B 19,463 125
Kvaerner Industries AS 2,100 89
Kvaerner Industries AS Series B 6,200 240
Leif Hoegh & Co. AS 5,900 103
NCL Holdings AS (a) 3,557 8
Norsk Hydro AS 70,946 3,477
Norske Skogindustrier AS Class A 900 27
Nycomed ASA Series A (a) 4,645 67
Nycomed ASA Series B (a) 21,763 302
Olav Thon Eiendomsselskap AS 23,500 416
Orkla AS New 18,589 980
Saga Petroleum AS Series B 8,070 109
Schibsted AS 69,600 901
Veidekke AS 6,100 145
-------
8,374
-------
PHILIPPINES - 0.0%
Enron Global Power & Pipelines L.L.C. 2,144 52
-------
52
-------
PORTUGAL - 0.1%
Jeronimo Martins SGPS 8,445 761
-------
761
-------
SINGAPORE - 2.1%
Amcol Holdings 53,000 117
Chuan HUP Holdings, Ltd. 134,000 103
City Developments 273,000 2,128
DBS Land 147,000 504
Development Bank of Singapore, Ltd.
(Alien Market) 82,000 1,023
Far East Levingston 27,000 149
First Capital Corp. 105,000 260
Fraser & Neave 121,400 1,256
Hai Sun Hup Group 220,000 167
Haw Par Brothers International, Ltd. 62,100 142
Haw Par Brothers International, Ltd.
1996 Rights (a) 6,210 2
Hotel Properties 199,000 353
Inchcape Berhad 31,000 99
Jardine Matheson Holdings, Ltd. 126,623 845
Jardine Strategic Holdings, Ltd. 643,656 2,060
Jardine Strategic Holdings, Ltd.
1998 Warrants (a) 58,794 18
Jurong Shipyard 9,000 46
Keppel Corp. 177,000 1,480
Lum Chang Holdings 26,000 24
Natsteel, Ltd. 231,000 458
Neptune Orient Lines, Ltd. 156,000 164
Overseas Chinese Bank 1996 Rights (a) 6,232 50
Overseas Chinese Banking (Alien Market) 62,332 729
Overseas Union Bank (Alien Market) 85,500 588
Prima, Ltd. 11,000 39
International Fund 59
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Robinson & Co., Ltd. 30,000 $ 128
Sembawang Shipyard 13,000 64
Singapore Airlines, Ltd. (Alien Market) 83,000 876
Singapore Land 146,000 988
Singapore Press Holdings (Alien Market) 16,600 326
Singapore Telecommunications, Ltd. 202,000 538
Straits Trading Co. 130,000 341
Times Publishing 28,000 68
Total Access Communication, Ltd. (a) 11,000 94
United Engineers 16,000 30
United Industrial Corp., Ltd. 457,000 466
United Overseas Bank, Ltd.
(Alien Market) 146,379 1,401
United Overseas Bank, Ltd.
1997 Warrants (a) 17,618 70
United Overseas Land 358,000 629
United Overseas Land 1997 Warrants (a) 17,646 13
United Overseas Land 2001 Warrants (a) 21,000 14
United Overseas Land, Ltd.
1996 Rights (a) 2,100 1
WBL Corp., Ltd. 20,000 47
-------
18,898
-------
SOUTH KOREA - 0.2%
Bank of Seoul (a) 14,000 104
Cho Hung Bank 18,200 192
Hanil Bank 12,000 120
Kookmin Bank 10,834 200
Korea Electric Power Corp. (a) 11,600 400
Pohang Iron & Steel 4,700 295
Samsung Electronics Co. - GDR (a) 670 34
Samsung Electronics Co., Ltd. (a) 606 48
Samsung Electronics, Ltd. 2,111 177
Samsung Electronics, Ltd.
- GDR (a) 201 10
Samsung Electronics, Ltd.
- GDS (a) 7,736 189
Samsung Fire & Marine Insurance (a) 55 36
Shin Han Bank 2,570 47
Yukong, Ltd. 4,255 125
-------
1,977
-------
SPAIN - 2.4%
Acerinox SA 4,500 469
Argentaria 23,422 1,023
Asturiana Del Zinc (a) 10,351 78
Aumar (Aut Del Mar) 8,149 105
Banco Bilbao Vizcaya (Regd) 32,216 1,306
Banco Central Hispano Americano SA
(Regd) 26,900 549
Banco de Santander SA (Regd) 9,188 429
Banco Intercontinental (Regd) 12,000 1,343
Banco Pastor SA 4,000 250
Banco Popular Espanol (Regd) 7,106 1,268
Banco Zaragozano (Regd) 4,200 77
Bodegas y Bebidas Series III (BR) 2,500 61
Ceneral de Aguas D'Barcelona 2,346 87
Centros Comerciales Continente S.A. 3,610 86
Centros Commerciales Pryca 39,100 978
Conserva Campofrio SA 950 36
Cristale Espanola (BR)(a) 7,024 441
Ebro Agricolas 44,900 519
Empresa Nacional de Celulosas 9,500 135
Empresa Nacional de Electricidad 24,006 1,498
Fab Autom Renault 1,500 33
Fom Construction y Contra 1,042 86
Fuerzas Electricat Series A 109,323 893
Gas Natural SDG SA 2,738 575
Grupo Anaya SA 1,900 35
Iberdrola SA 211,160 2,169
Koipe SA 1,145 63
Obrascon SA 7,000 71
Prosegur Compania (Regd) 11,000 387
Repsol SA 39,745 1,383
Sarrio SA 19,700 65
Sevillana de Electrica 21,300 196
Sociedad General Azucarera
de Espana SA de CV 10,650 369
Tabacalera SA Series A (Regd) 23,593 1,189
Tableros de Fibras Series B 14,314 130
Telefonica de Espana 132,647 2,446
Union Electrica Fenosa 28,100 181
Uralita 14,700 138
Vallehermoso SA 4,200 83
Viscofan Envoltura 25,500 403
-------
21,633
-------
SWEDEN - 2.7%
AGA AB Series B (a) 850 15
Asea AB Series A 3,000 319
Astra AB Series A 150,937 6,680
Astra AB Series B 63,030 2,752
Atlas Copco AB Series B 17,490 326
Autoliv AB (a) 500 15
Avesta-Sheffield 54,500 515
Bilspedition Transportation & Log
Series B (a) 1,600 5
60 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
BT Industries AB (a) 35,000 $ 539
Celsius Industrier AB Series B (a) 500 7
Electrolux AB Series B 12,810 645
Esselte AB Series A Free (a) 300 6
Esselte AB Series B 3,770 77
Hennes & Mauritz AB Series B 10,770 1,001
Hoganas AB B Shares 18,300 641
Hufvudstaden Fast Series A 7,500 49
Industrivarden AB Series A (a) 100 4
Kinnevik Investment Series B 27,800 844
Marieberg Tidnings Series A (a) 500 13
Mo Och Domsjo AB Series B (a) 2,300 59
Munksjo AB 50,800 399
NetCom Systems AB Series B (a) 27,400 310
Nordbanken AB (a) 28,000 541
OM Gruppen AB (a) 41,200 1,133
Sandvik AB Series B 21,570 499
Scania AB 1999 Warrants (a) 1,400 2
Scribona AB Series B Free 4,140 43
Skand Enskilda Barken Series A 93,700 750
Skandia Group Foersakerings Free (a) 400 11
Skanska AB Series B 5,700 202
SKF AB Series A Free 39,300 914
SKF AB Series B Free 600 14
Sparbanken Sverige AB Series A (a) 1,500 20
SSAB Svenskt Stal AB Series B (a) 200 3
Stadshypotek AB Series A 15,600 349
Stora Kopparbergs Series A (a) 1,700 22
Stora Kopparbergs Series B 13,050 172
Svenska Celluosa Series B Free 37,200 767
Svenska Handelsbank Series A 4,500 94
Svenskt Staal AB Series A (a) 600 8
Telefonaktiebolaget Ericsson (LM)
Series B 79,920 1,726
Trelleborg AB Series B Free 56,200 705
Volvo AB Series A 450 10
Volvo AB Series B 32,100 732
-------
23,938
-------
SWITZERLAND - 4.1%
Baer Holdings AG (BR) 230 248
Baloise Holdings (Regd) 160 348
BBC Brown Boveri (BR) 856 1,060
Bil GT Gruppe AG 740 361
Ciba Geigy AG (BR) 175 213
Ciba Geigy AG (Regd) 4,584 5,592
CS Holdings (Regd) 20,218 1,924
Fischer (Georg) AG (BR) 1,050 1,214
Helvetia Schweizerische
Vericherungs-Gesellschaft (Regd) 200 93
Hilti AG 225 169
Holderbank Financiere Glarus AG (BR) 390 312
Lion Corp. 1999 Warrants (a) 700 151
Merkur Holding AG (Regd) 1,100 231
Nestle SA (Regd) 2,766 3,162
Phoenix Mecano (BR) 800 395
Richemont Series A (BR) 300 475
Roche Holdings Genusscheine AG NPV 667 5,092
Sandoz AG (Regd) 3,874 4,434
Sarna Kunststoff Holdings AG (Regd) 250 264
Schindler Holding AG (Regd) 30 32
Schweiz Bankgesellsch (BR) 940 921
Schweiz Bankverein (Regd) 14,575 2,880
Schweiz Ruckversicher (Regd) 1,230 1,264
SGS Holding (BR) 560 1,342
SMH AG Neuenburg (BR) 240 167
SMH AG Neuenburg (Regd) 3,900 610
Swissair (Regd)(a) 340 329
Winterthur (Regd) 1,175 700
Zurich Versicherungsgesellschaft (Regd) 7,200 1,964
-------
35,947
-------
THAILAND - 0.2%
Advanced Information Services
(Alien Market) 12,400 195
Bangkok Bank (Alien Market) 35,700 484
Bank of Ayudhya (Alien Market) 27,800 153
Bank of Ayudhya, Ltd. 1996 Rights
(Alien Market)(a) 6,950 21
Land & House (Alien Market) 5,500 69
Siam Cement Co. (Alien Market) 2,450 120
Siam Commercial Bank PLC
(Alien Market) 19,600 284
Thai Farmers Bank (Alien Market) 16,200 177
-------
1,503
-------
UNITED KINGDOM - 14.1%
3i Group PLC (a) 100 1
Abbey National PLC 213,480 1,794
Airtours PLC 75,000 592
Allied Colloids PLC 345,700 698
Allied Lyons 147,600 1,038
Amec PLC 29,600 45
Amersham International PLC 28,700 468
International Fund 61
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Amstrad PLC 14,300 $ 43
Anglian Water PLC 4,000 37
Argos PLC 103,211 1,196
Argyll Group PLC 180,400 972
Arjo, Wiggins, Appleton Co. PLC (a) 3,900 11
ASDA-MFI Group PLC 621,920 1,130
Associated British Foods PLC (a) 33,500 201
Associated British Ports PLC 128,800 554
Astec (BSR) PLC 20,100 47
B.A.T. Industries PLC 143,700 1,118
BAA PLC 26,360 191
Barclays Bank PLC 178,000 2,135
Barratt Development PLC 27,600 109
BASS PLC 22,100 277
BBA Group PLC (a) 4,500 22
Beazer Homes PLC 19,300 52
Berisford PLC 22,700 63
BICC PLC 3,800 18
Blue Circle Industries PLC 40,200 225
BOC Group PLC 36,000 516
Booker PLC 9,660 56
Boots Co. PLC 29,840 268
Bowthorpe PLC (a) 2,700 19
BPB Industries PLC (a) 6,900 34
Britannic Assurance PLC 55,000 614
British & Commonwealth
Holdings PLC (a)(d) 30,000 0
British Aerospace PLC 134,573 2,041
British Airways PLC 27,900 240
British Gas PLC 259,100 720
British Land Co. PLC 4,200 28
British Petroleum Co. PLC 804,969 7,063
British Sky Broadcasting Group PLC (a) 23,300 159
British Steel PLC 62,700 160
British Telecom PLC 239,707 1,288
BTR PLC 266,466 1,047
Bunzl PLC 30,166 111
Burton Group PLC 303,272 730
Cable & Wireless PLC 257,560 1,702
Cadbury Schweppes PLC 559,928 4,426
Calor Group PLC 11,300 43
Caradon PLC 178,482 597
Carlton Communications PLC 3,060 25
Charter PLC (Regd) 4,400 63
Christian Salvesen PLC 4,600 18
Chubb Security PLC 116,300 582
Coats Viyella PLC 155,300 414
Compass Group PLC 57,700 529
Cookson Group PLC 58,517 257
Costain Group PLC (a) 6,900 4
Courtaulds PLC 7,700 51
Cowie Group PLC 119,375 762
Dalgety PLC 102,800 563
Dawson International PLC 23,200 29
Delta PLC (a) 2,700 15
Devro International PLC 110,000 412
Dixon Group PLC 9,300 76
E D & F Man Group PLC 140,000 378
East Midlands Electricity PLC 44,080 359
Electrocomponents PLC 35,400 210
English China Clay PLC 11,949 48
Eurotunnel PLC/Euro SA Units
(Regd)(a) 14,200 21
First Leisure Corp. PLC 120,000 669
FR Group PLC 3,200 32
General Electric Co. PLC 394,500 2,123
GKN PLC 16,400 252
Glaxo Wellcome PLC 563,766 7,591
Glynwed International PLC 79,800 392
Granada Group PLC 85,700 1,147
Grand Metropolitan PLC 271,388 1,800
Great Portland Estates PLC 8,060 20
Great University Stores PLC 67,390 684
Greenalls Group PLC 22,283 199
Greycoat PLC 3,600 8
Guardian Royal Exchange PLC 261,000 1,005
Guinness PLC 276,680 2,011
Hambros PLC 3,300 12
Hammerson Property PLC 1,870 11
Hanson PLC 160,800 450
Harrison & Crosfield PLC (a) 5,330 11
Hazelwood Foods PLC 15,500 24
Hepworth PLC (a) 1,200 5
Heywood Williams Group PLC 21,666 79
Hillsdown Holdings PLC 507,316 1,366
HSBC Holdings (a) 1,500 23
HSBC Holdings PLC 86,000 1,346
Huntingdon International Holdings
PLC - ADR (a) 53,200 319
Hyder PLC 86,133 954
IMI PLC 8,300 46
Imperial Chemical Industries PLC 20,620 252
Inchcape PLC 133,700 608
Invesco PLC 273,000 981
Johnson Matthey PLC 1,530 15
Kingfisher PLC 207,257 2,081
Kwik Save Group PLC 3,940 28
Ladbroke Group, Ltd. PLC 359,161 996
62 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Laing (John) PLC (a) 7,900 $ 38
Laing (John) PLC Class A NV 45,800 204
Laporte PLC (a) 700 7
LASMO PLC 20,500 56
Laura Ashley Holdings PLC 22,200 65
Legal & General Group PLC 4,670 48
Lex Service Group, Ltd. PLC 12,700 74
Lloyds Abbey Life PLC (a) 5,670 45
London Clubs International 100,000 865
London Electricity PLC 50,474 490
London International Group PLC 17,900 42
Lonrho PLC 284,987 819
Lucas Industries, Ltd. PLC 117,900 415
Manchester United PLC 125,000 835
Marks & Spencer PLC 112,000 818
Marley, Ltd. PLC 12,241 25
Meggitt PLC 7,700 12
MEPC PLC 97,000 612
Meyer International PLC 4,300 25
MFI Furniture Group PLC 8,600 23
Midlands Electricity PLC (a) 21,912 143
Mirror Group News PLC 54,500 172
National Grid Group PLC (a) 145,481 385
National Power PLC 156,670 1,265
National Westminster Bank PLC 283,000 2,699
Next PLC (a) 3,900 34
Norcros PLC (a) 38,700 63
North West Water PLC 7,300 61
Northern Electric PLC 5,000 44
Northern Foods PLC 36,584 105
Nynex CableComms Group (Units)(a) 33,900 55
Ocean Group PLC 5,820 41
Orange PLC (a) 136,200 477
Pearson PLC 68,400 705
Pen & Orient DFD PLC 86,100 647
Pilkington Brothers PLC 62,000 174
Polly Peck International PLC (a)(d) 228,423 0
Powergen PLC 25,000 182
Premier Farnell PLC 3,800 40
Provident Financial PLC 116,290 830
Prudential Corp. PLC (a) 22,700 143
Racal Electronics PLC 259,300 1,228
Rank Organisation PLC 269,590 2,083
Ratners Group PLC (a) 116,700 45
Reckitt & Colman PLC 28,272 297
Redland PLC 1,200 7
Reed International PLC 114,140 1,908
Rentokil Group PLC (a) 24,400 155
Reuter's Holdings PLC 199,600 2,415
Rexam PLC 45,500 240
Rolls-Royce PLC 463,070 1,611
Royal Bank of Scotland Group PLC 23,000 176
RTZ Corp. PLC (Regd) 191,050 2,828
Saatchi & Saatchi Co. PLC (a) 8,400 14
Sainsbury (J.) PLC 156,100 919
Schroders, Ltd. PLC (a) 2,300 48
Scottish & Newcastle PLC (a) 12,700 130
Scottish Hydro-Electric PLC 16,800 77
Scottish Power PLC 33,253 157
Sears PLC 610,704 939
Securicor PLC (a) 1,151 5
Sedgwick Group PLC (a) 14,300 31
Sevren Trent Water PLC 4,100 35
Shell Transportation & Trading
PLC (Regd) 299,690 4,394
Siebe PLC (a) 23,840 339
Simon Engineering PLC 18,500 17
Slough Estates PLC 3,440 12
Smith & Nephew PLC 31,300 100
Smith (David S.) Holdings PLC 77,000 327
SmithKline Beecham PLC 348,478 3,726
Smiths Industries PLC (a) 970 11
South West Water PLC 54,500 554
Southern Electric PLC 13,800 153
Southern Water PLC (a) 2,800 44
Spring Ram Corp. PLC (a) 31,777 7
St. James's Place Capital PLC 7,600 14
Stagecoach Holdings PLC 140,000 941
Standard Chartered Bank Group PLC 57,300 570
Storehouse PLC 44,300 85
T & N PLC 169,100 368
Tarmac, Ltd. PLC 520,661 889
Tate & Lyle, Ltd. PLC 16,300 116
Taylor Woodrow PLC 519,900 1,256
Tesco Store Holdings PLC 246,963 1,128
Thames Water PLC 6,200 55
Thorn EMI PLC 29,110 811
TI Group PLC (a) 9,000 75
Tomkins PLC 464,210 1,745
Trinity Holdings PLC 100,000 564
TSB Group PLC 247,508 1,211
Unigate, Ltd. PLC 11,400 70
Unilever PLC 52,310 1,040
United Biscuits PLC 22,100 73
United Newspaper, Ltd. PLC 96,300 1,041
Vendome PLC 96,800 899
Vickers, Ltd. PLC 15,000 56
Vodafone Group PLC 1,131,640 4,209
International Fund 63
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ -------
Waste Management International PLC (a) 23,500 $ 131
Wessex Water PLC 3,700 21
Whitbread & Co. PLC 7,300 80
Willis Corroon Group PLC 10,800 26
Wilson Connolly Holdings PLC 23,200 58
Wimpey (George), Ltd. PLC 59,846 138
Wolseley PLC 1,340 9
WPP Group PLC 250,000 843
Yorkshire Electricity Group PLC 4,900 55
Yorkshire Water PLC 4,000 41
Zeneca Group PLC 32,900 728
-------
125,416
-------
TOTAL COMMON STOCKS
(cost $692,835) 791,967
-------
CONVERTIBLE PREFERRED STOCKS - 0.0%
AUSTRALIA - 0.0%
TNT, Ltd. (a) 17,000 23
-------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $17) 23
-------
PREFERRED STOCKS - 1.2%
AUSTRALIA - 0.2%
News Corp., Ltd. 135,436 660
Sydney Harbour Casino Holdings, Ltd. (a) 886,021 1,225
-------
1,885
-------
AUSTRIA - 0.0%
Bau Holdings AG 2,200 112
Creditanstalt-Bankverein 3,475 176
EA Generali AG 270 39
Z Landerbank Bank Austria AG 1,161 48
-------
375
-------
BRAZIL - 0.3%
Banco Bradesco SA NPV (a) 48,456,256 396
Banco Itau SA (Regd) 301,000 122
Brahma (Cia Cervej) NPV 443,989 265
Brasmotor SA NPV 529,000 165
CEMIG SA 7,101,699 189
Cim Port Itau (Cia) 370,920 105
Companhia Energetica de Sao Paulo
- ADR (Regd)(a) 4,600 46
Coteminas (Cia Tec) NPV 288,490 114
Lojas Americanas NPV 5,224,000 103
Petroleo Brasileiro SA NPV 828,320 102
Telecomunicacoes Brasileiras NPV 114,126 8
Telecomunicacoes de Minas Gerais
Class B NPV 828,000 85
Telecomunicacoes do Rio de Janeiro
SA NPV (a) 780,000 88
TELESP NPV 1,443,753 309
Uniao de Bancos Brasileiros NPV 9,166,000 248
Usiminas Uni Sd Mg NPV 181,000,000 191
-------
2,536
-------
FRANCE - 0.0%
Ciments Francais Series B 100 4
-------
4
-------
GERMANY - 0.7%
Bayer Motoren Werk 900 376
Escada AG 400 70
Fag Kugelfischer (a) 300 44
Fielmann AG 2,133 102
Fresenius AG 800 145
GEA AG 840 279
Henkel 1,930 834
Hornbach Holding AG (a) 2,890 249
Hugo Boss 150 173
Jungheinrich 900 160
Krones AG NV 1,210 461
Lufthansa AG NV 2,500 353
Porsche AG (a) 1,025 615
RWE AG (a) 36,600 1,126
SAP AG 1,500 223
Wella AG 1,050 615
-------
5,825
-------
ITALY - 0.0%
Autostrade Conc. SPA 113,700 197
Fiat SPA 37,600 66
Instituto Financiaro Industriale SPA (a) 7,800 70
-------
333
-------
NETHERLANDS - 0.0%
International Nederlanden CVA 2,901 15
-------
15
-------
TOTAL PREFERRED STOCKS
(cost $10,159) 10,973
-------
64 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
LONG-TERM INVESTMENTS - 1.3%
BELGIUM - 0.0%
Kredietbank (conv.)
5.750% due 12/31/03 BEF 20 $ 61
-------
61
-------
FRANCE - 0.0%
Michelin (Cie Gle)(conv.)
2.500% due 01/01/01 FRF 235 131
-------
131
-------
ITALY - 0.0%
Danieli & Co.
7.250% due 01/01/00 ITL 30,120 18
Italy, Republic of (a)
6.500% due 06/28/01 210,000 139
-------
157
-------
JAPAN - 0.9%
Bank of Tokyo - Cayman Finance, Ltd.
4.250% due 12/31/99 JPY 290,000 3,984
Daido Hoxan, Inc. (conv.)
1.600% due 03/29/02 56,000 574
Hitachi, Ltd. (conv.)
2.700% due 03/31/97 50,000 582
Izumiya Co. (conv.)
0.800% due 08/31/99 83,000 1,169
Matsushita Electric Works (conv.)
2.700% due 05/31/02 20,000 234
Ricoh Co., Ltd. (conv.)
1.500% due 03/29/02 24,000 262
Sumitomo Bank (conv.)
0.750% due 05/31/01 25,000 247
Yamanouchi Pharmaceutical (conv.)
1.250% due 03/31/14 20,000 220
Yamato Transport Co., Ltd. (conv.)
3.900% due 03/30/01 29,000 361
-------
7,633
-------
MALAYSIA - 0.2%
Commerce Asset Holdings (conv.)
1.750% due 09/26/04 $ 545 651
Renong Berhad (a)
4.000% due 05/22/01 MYR 59 22
Telekom Malaysia Berhad (conv.)
4.000% due 10/03/04 $ 1,420 1,497
-------
2,170
-------
SWITZERLAND - 0.1%
Sandoz Capital (conv.)(a)
1.250% due 10/23/02 CHF 755 844
-------
844
-------
UNITED KINGDOM - 0.1%
BPB Industries PLC (conv.)
7.250% due 08/25/08 GBP 388 754
-------
754
-------
TOTAL LONG-TERM INVESTMENTS
(cost $10,782) 11,750
-------
SHORT-TERM INVESTMENTS - 6.7%
UNITED STATES - 6.7%
Frank Russell Investment Company
Money Market Fund, due
on demand (b) $ 51,490 51,490
United States Treasury Bills (e)(f)
4.080% due 10/17/96 1,000 985
4.760% due 10/17/96 1,250 1,231
4.795% due 10/17/96 6,000 5,908
-------
TOTAL SHORT-TERM INVESTMENTS
(cost $59,618) 59,614
-------
TOTAL INVESTMENTS
(identified cost $773,411)(c) - 98.3% 874,327
OTHER ASSETS AND LIABILITIES,
NET - 1.7% 15,392
-------
NET ASSETS - 100.0% $889,719
-------
-------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
(d) Securities are currently undergoing bankruptcy proceedings
and present negligible market value.
(e) Held as collateral by the custodian in connection with
futures contracts purchased by the Fund.
(f) Rate noted is yield-to-maturity.
The accompanying notes are an integral part of the financial statements.
International Fund 65
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- --------------
<S> <C> <C>
FUTURES CONTRACTS
(Notes 2 and 3)
FTSE - 100 Index
Futures Contracts (UK)
expiration date 09/96 150 $ (297)
TOPIX Index
Futures Contracts (Japan)
expiration date 09/96 249 682
-------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (SECTION) $ 385
-------
-------
</TABLE>
(SECTION) At June 30, 1996, United States Treasury Bills valued at $8,124 were
held as collateral by the custodian in connection with futures
contracts purchased by the Fund.
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- ----------------------------------------------------- -------- --------
Basic Industries 8.7% $77,131
Capital Goods 8.2 72,971
Consumer Basics 11.1 98,446
Consumer Durable Goods 7.4 65,703
Consumer Non-Durables 5.6 49,380
Consumer Services 2.5 22,637
Energy 5.3 47,574
Finance 16.0 142,008
General Business 5.5 49,006
Miscellaneous 6.6 58,930
Shelter 2.4 21,068
Technology 3.5 31,565
Transportation 1.5 13,196
Utilities 6.0 53,348
Long-Term Investments 1.3 11,750
Short-Term Investments 6.7 59,614
------- -------
Total Investments 98.3 874,327
Other Assets and Liabilities, Net 1.7 15,392
------- -------
NET ASSETS 100% $889,719
------- -------
------- -------
% OF MARKET
NET VALUE
GEOGRAPHIC DIVERSIFICATION ASSETS (000)
- ------------------------------------------------ -------- ---------
Japan 32.5% $ 289,114
Europe 30.6 272,496
United Kingdom 14.2 126,170
Pacific Basin 12.4 109,897
Latin America 1.1 9,866
United States (Short-Term Investments) 6.7 59,614
Other 0.8 7,170
-------- ---------
Total Investments 98.3 874,327
Other Assets and Liabilities, Net 1.7 15,392
-------- ---------
NET ASSETS 100% $ 889,719
-------- ---------
-------- ---------
The accompanying notes are an integral part of the financial statements.
66 International Fund
<PAGE>
INTERNATIONAL FUND
FOREIGN CURRENCY EXCHANGE CONTRACTS (NOTE 2)
June 30, 1996 (Unaudited)
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
-------------- ------------- ---------- --------------
USD 818 CHF 1,031 07/01/96 $ 7
USD 345 ITL 530,475 07/01/96 1
USD 327 ITL 502,979 07/02/96 1
USD 567 JPY 62,034 07/01/96 --
USD 137 JPY 14,928 07/02/96 --
USD 76 JPY 8,321 07/03/96 --
USD 160 MYR 400 07/01/96 --
USD 15 THB 371 07/03/96 --
ATS 49 USD 5 07/01/96 --
BRL 13 USD 11 07/01/96 (2)
CHF 20 USD 16 07/01/96 --
DEM 8 USD 5 07/01/96 --
FRF 3,879 USD 752 07/01/96 (2)
GBP 660 USD 1,02 07/01/96 (4)
GBP 86 USD 134 07/05/96 --
HKD 3,500 USD 452 07/01/96 --
HKD 1,021 USD 132 07/05/96 --
HKD 151 USD 19 07/02/96 --
ITL 28,777 USD 19 07/01/96 --
ITL 40,422 USD 26 07/01/96 --
JPY 122,024 USD 1,111 07/01/96 (5)
JPY 46,579 USD 427 07/02/96 1
JPY 21,395 USD 195 07/03/96 (1)
MYR 18 USD 7 07/01/96 --
MYR 48 USD 19 07/05/96 --
NLG 53 USD 31 07/01/96 --
NOK 1,344 USD 207 07/01/96 --
KEK 89 USD 13 07/01/96 --
SDG 4 USD 3 07/01/96 --
SDG 500 USD 354 07/02/96 --
SGD 381 USD 269 07/05/96 --
-----------
(4)
-----------
-----------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
-------------- -------------- ---------- --------------
USD 18,477 GBP 12,000 09/29/96 $ 150
USD 35,115 JPY 38,000,000 09/27/96 74
DEM 4,530 USD 3,000 12/02/96 (8)
GBP 1,700 USD 2,575 02/03/97 (64)
HKD 34,841 USD 4,500 12/02/96 --
-----------
152
-----------
-----------
The accompanying notes are an integral part of the financial statements.
International Fund 67
<PAGE>
INTERNATIONAL FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $773,411,400)(Note 2) . . . . . . . . . . . $ 874,327,211
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113,728
Foreign currency holdings (identified cost $11,141,532). . . . . . . . . . . . . . 11,159,731
Forward foreign currency exchange contracts (cost $63,667,425)
(Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63,891,976
Foreign currency exchange spot contracts (cost $7,672,815)(Note 2) . . . . . . . . 7,683,129
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,348,260
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,974,270
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,344,261
Foreign taxes recoverable. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,217,309
Daily variation margin on futures contracts (Notes 2 and 3). . . . . . . . . . 132,666
-------------
970,192,541
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . $ 7,065,644
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . 1,014,024
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . 609,588
Other accrued expenses. . . . . . . . . . . . . . . . . . . 356,960
Forward foreign currency exchange contracts
(Cost $63,667,425)(Note 2) . . . . . . . . . . . . . . . . . . . 63,740,286
Foreign currency exchange spot contracts
(Cost $7,672,815)(Note 2) . . . . . . . . . . . . . . . . . . . . 7,686,753 80,473,255
------------ -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 889,719,286
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . $ 4,543,824
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . 19,987,027
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,915,811
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 385,487
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . 177,625
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . 232,191
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . 763,477,321
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 889,719,286
-------------
-------------
Net asset value, offering and redemption price per share
($889,719,286 divided by 23,219,134 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . $ 38.32
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
68 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,283,459
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . 1,456,875
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347,116
Less foreign taxes withheld. . . . . . . . . . . . . . . . . . . . . . . . . . (1,435,252)
-------------
11,652,198
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . $ 3,149,567
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . 1,035,971
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . 112,345
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . 88,703
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . 35,082
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . 31,717
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . 2,465
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . 37,772
-------------
Expenses before waivers. . . . . . . . . . . . . . . . . . . . . . 4,493,622
Expenses waived by Manager (Note 4). . . . . . . . . . . . . . . . . (21,493) 4,472,129
------------- -------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,180,069
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,724,527
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,023,545
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . (2,008,633)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,162,247
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (948,022)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . 11,234
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . 45,964,898
-------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . $ 53,144,967
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
International Fund 69
<PAGE>
INTERNATIONAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEAR
JUNE 30, 1996 ENDED
INCREASE (DECREASE) IN NET ASSETS (UNAUDITED) DECEMBER 31, 1995
---------------- -----------------
<S> <C> <C>
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . $ 7,180,069 $ 9,992,340
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 20,724,527 23,276,750
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . 4,023,545 1,053,963
Foreign currency-related transactions. . . . . . . . . . . . . (2,008,633) 145,258
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 24,162,247 39,783,487
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (948,022) 1,333,509
Foreign currency-related transactions. . . . . . . . . . . . . . 11,234 479,806
------------- -------------
Net increase (decrease) in net assets resulting from operations. . . 53,144,967 76,065,113
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (442,369) (13,261,547)
In excess of net investment income . . . . . . . . . . . . . . . -- (1,712,195)
Net realized gain on investments . . . . . . . . . . . . . . . . (6,121,670) (19,789,300)
Increase (decrease) in net assets from Fund share transactions . . 46,360,987 81,295,220
------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . 92,941,915 122,597,291
Net assets at beginning of period. . . . . . . . . . . . . . . . . 796,777,371 674,180,080
------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income of $4,543,824 and
accumulated distributions in excess of net investment income
of $1,712,195, respectively) . . . . . . . . . . . . . . . . . . $ 889,719,286 $796,777,371
------------- -------------
------------- -------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------------------ --------------------------
FUND SHARE TRANSACTIONS SHARES AMOUNT SHARES AMOUNT
---------- --------------- ---------- -------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . 3,895,531 $ 145,064,242 7,634,975 $ 268,170,784
Fund shares issued to
shareholders in
reinvestments of
distributions. . . . . . . . 163,976 6,055,635 885,952 31,552,805
Fund shares redeemed . . . . . (2,812,684) (104,758,890) (6,215,446) (218,428,369)
---------- --------------- ---------- -------------
Net increase (decrease). . . . 1,246,823 $ 46,360,987 2,305,481 $ 81,295,220
---------- --------------- ---------- -------------
---------- --------------- ---------- -------------
</TABLE>
The accompanying note are an integral part of the financial statements.
70 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>
1996* 1995 1994 1993 1992 1991
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $36.26 $ 34.28 $ 37.34 $ 28.92 $ 31.96 $ 29.18
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . .31 .48 .61 .58 .67 .73
Net realized and unrealized gain (loss) on
investments (c). . . . . . . . . . . . . . . 2.04 3.16 .65 9.63 (2.62) 3.16
------- ------- ------- ------- ------- -------
Total Income From Investment Operations. . . . . 2.35 3.64 1.26 10.21 (1.95) 3.89
------- ------- ------- ------- ------- -------
DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . (.02) (.64) (.36) (.57) (.67) (.80)
In excess of net investment income . . . . . . -- (.08) -- (.16) -- --
Net realized gain on investments . . . . . . . (.27) (.94) (3.73) (1.06) (.42) (.31)
In excess of net realized gain on investments. -- -- (.23) -- -- --
------- ------- ------- ------- ------- -------
Total Distributions. . . . . . . . . . . . . . (.29) (1.66) (4.32) (1.79) (1.09) (1.11)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 38.32 $ 36.26 $ 34.28 $ 37.34 $ 28.92 $ 31.96
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a)(d) . . . . . . . . . . . . . 6.52 10.71 5.38 35.56 (6.11) 13.47
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average
net assets (b)(d) . . . . . . . . . . . . . . 1.06 .88 .32 .39 .45 .48
Operating expenses, gross, to average
net assets (b)(d) . . . . . . . . . . . . . . 1.07 .89 .34 .41 .46 .48
Net investment income to average net
assets (b)(d) . . . . . . . . . . . . . . . . 1.71 1.41 1.63 1.83 2.46 2.61
Portfolio turnover (b) . . . . . . . . . . . . 44.18 36.78 71.09 62.04 48.99 53.13
Net assets, end of period ($000 omitted) . . . 889,719 796,777 674,180 562,497 348,869 252,828
Per share amount of fees waived ($ omitted)(e) .0009 .0041 .0093 .0091 .0030 --
Average commission rate paid per share
of security ($ omitted)(f). . . . . . . . . . .0028 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) Provision for federal income tax for the year ended December 31, 1991
amounted to $.024 per share.
(d) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net of
investment management fees but gross of any investment services fees. See
Note 4.
(e) See Note 4 for current period amounts.
(f) In certain foreign markets the relationship between the translated U.S.
dollar price per share and commission paid per share may vary from that of
domestic markets.
International Fund 71
<PAGE>
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
LONG-TERM INVESTMENTS - 96.0%
ASSET-BACKED SECURITIES - 7.1%
Advanta Home Equity Loan Trust
9.000% due 02/25/06 $ 91 $ 93
American Express
Credit Account Master Trust
Series 1996-1 Class A
6.800% due 12/15/03 1,015 1,019
Case Equipment Loan Trust
Series 1995-B Class A3
6.150% due 09/15/02 2,950 2,930
Chase Manhattan Comm
7.600% due 06/30/28 950 961
Chase Manhattan Credit Card Master Trust
Series 1996-4 Class A
6.730% due 02/15/03 1,215 1,222
Chase Manhattan Grantor Trust
Pass-thru Certificate
Series 1996-A Class A
5.200% due 02/15/02 1,095 1,078
Chevy Chase Auto Receivables Trust
Series 1996-1 Class A
6.600% due 12/15/02 1,915 1,917
Contimortgage Home Equity Loan Trust
Mortgage Pass-thru Certificate
Series 1994-4 Class A6
8.270% due 12/15/24 873 879
Series 1995-1 Class A2-A
8.600% due 06/15/25 583 598
Discover Card Trust
Series 1992-B Class A
6.800% due 06/16/00 4,115 4,139
Federal Housing Authority:Project Citi 68
Mortgage Pass-thru Certificate
7.430% due 06/27/21 1,630 1,560
Federal National Mortgage Association
REMIC Series G92-36 Class A
7.000% due 04/25/15 712 715
Fingerhut Master Trust
Series 1996-1 Class A
6.450% due 02/20/02 670 668
First Chicago Master Trust II Credit Card
Certificates Series 1994-L
7.150% due 04/15/01 3,895 3,953
Fleetwood Credit Corp. Grantor Trust
Series 1996-A Class A
6.750% due 10/17/11 1,523 1,522
Goldman Sachs Mortgage Securities Corp. II
Series 1996 Class A1
7.020% due 02/15/27 769 763
Green Tree Financial Corp.
Series 1994-7 Class A-2
7.600% due 03/15/20 3,089 3,112
Series 1995-A Class A
7.250% due 07/15/05 532 531
Greenwich Capital Acceptance, Inc.
Mortgage Pass-thru Certificate
Series 1993 Class LB-1
7.140% due 04/25/23 (c) 1,239 1,246
Lehman Pass-thru Securities, Inc.
Series 1991-2 Class A-1
8.000% due 03/20/99 162 164
Mortgage Capital Funding, Inc.
Multifamily Coverage Pass-thru
7.700% due 05/25/27 950 963
Onyx Acceptance Grantor Trust
Pass-thru Certificate
Series 1996-2 Class A
6.400% due 10/15/01 578 578
Prime Credit Card Master Trust
Series 1996-1 Class A
6.700% due 07/15/04 1,090 1,084
Resolution Trust Corp.
Mortgage Pass-thru Certificate
Series 1992-C2 Class A-1
9.000% due 10/25/22 68 69
Series 1994-C1 Class D
8.000% due 06/25/26 418 413
Series 1994-C2 Class D
8.000% due 04/25/25 288 286
Series 1995-C1 Class C
6.900% due 02/25/27 (c) 400 373
Salomon Brothers
Mortgage Securities VII, Inc.
Mortgage Pass-thru Certificate
Series 1994-16
7.890% due 11/25/24 (c) 2,902 2,971
Sears Credit Account Master Trust II
Series 1996-2 Class A
6.500% due 10/15/03 535 534
Sears Mortgage Securities Corp.
Series 1992 Class A
7.587% due 10/25/22 (c) 3,445 3,473
Sears Savings Bank
Mortgage Pass-thru Certificate
Series 1992-A Class A
8.700% due 05/25/32 (c) 1,097 1,083
The Money Store Home Equity Trust
Series 1996-B Class A5
7.180% due 12/15/14 1,025 1,025
Fixed Income I Fund 73
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
TMS Home Equity Loan Trust
Series 1994-D Class A-4
8.750% due 01/15/20 $ 150 $ 156
TMS Trust
Series 1996-A Class A5
6.850% due 06/15/19 1,050 1,033
Wal Mart Stores, Inc.
Series 1994-B3
8.800% due 12/30/14 360 389
World Omni Automobile
Lease Securitization Trust
Series 1995-A Class A
6.050% due 11/25/01 1,245 1,238
Series 1996-A Class A1
6.300% due 06/25/02 1,205 1,199
Series 1996-A Class A2
6.550% due 06/25/02 2,000 1,993
--------
47,930
--------
CORPORATE BONDS AND NOTES - 16.7%
American Brands, Inc.
8.625% due 11/15/21 500 546
7.875% due 01/15/23 100 101
American Express Co.
8.500% due 08/15/01 45 48
American General Finance Corp.
8.250% due 01/15/98 705 724
7.250% due 03/01/98 365 370
8.500% due 08/15/98 375 389
AMR Corp.
8.100% due 11/01/98 150 152
9.500% due 05/15/01 250 273
Analog Devices, Inc.
6.625% due 03/01/00 225 220
Appalachian Power Co.
6.800% due 03/01/06 1,250 1,217
Aristar, Inc.
6.300% due 07/15/00 190 186
Associates Corp. of North America
6.250% due 03/15/99 1,520 1,507
Associates Corp. of North America
Series H (MTN)
7.090% due 04/11/03 400 402
AT&T Corp.
8.625% due 12/01/31 440 462
Atlantic Richfield Co.
9.125% due 08/01/31 450 527
Auburn Hills Trust
12.000% due 05/01/20 295 426
AVCO Financial Services, Inc.
7.250% due 07/15/99 415 420
8.500% due 10/15/99 655 687
Banc One Corp.
7.250% due 08/01/02 790 796
Bank of New York, Inc.
7.875% due 11/15/02 500 519
Bank One, Columbus, Ohio
7.375% due 12/01/02 195 194
BankAmerica Corp.
6.850% due 03/01/03 425 419
Barnett Bank, Inc.
6.900% due 09/01/05 775 750
Bell Telephone Co. of Pennsylvania
8.350% due 12/15/30 645 736
BellSouth Telecommunications
7.000% due 12/01/95 295 273
Beneficial Corp.
8.400% due 05/15/08 757 834
Broken Hill Property Finance USA
6.420% due 03/01/26 1,000 967
C.I.T. Group Holdings, Inc. (MTN)
7.000% due 09/30/97 1,030 1,039
Case Corp.
7.250% due 08/01/05 395 388
7.250% due 01/15/16 150 140
Caterpillar Financial Services (MTN)
9.500% due 02/06/07 80 93
Caterpillar, Inc.
8.000% due 02/15/23 600 626
Central Fidelity Banks, Inc.
8.150% due 11/15/02 280 293
Champion International Corp.
7.700% due 12/15/99 655 668
Chase Manhattan Corp.
10.375% due 03/15/99 260 281
10.125% due 11/01/00 250 279
9.375% due 07/01/01 950 1,042
Chesapeake & Potomac Telephone Co.
8.375% due 10/01/29 405 453
Chevron Corp.
Profit Sharing Savings Plan Trust Fund
8.110% due 12/01/04 385 405
Chrysler Financial Corp.
9.500% due 12/15/99 445 482
Circus Circus Enterprises, Inc.
6.450% due 02/01/06 700 648
Fixed Income I Fund 74
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
Citicorp
9.500% due 02/01/02 $ 195 $ 217
7.125% due 06/01/03 75 75
Coastal Corp.
10.375% due 10/01/00 195 219
Coca-Cola Enterprises, Inc.
8.500% due 02/01/22 525 574
Commercial Credit Group, Inc.
6.000% due 06/15/00 500 485
5.750% due 07/15/00 255 244
8.700% due 06/15/10 795 891
Commonwealth Edison Co. Series 85
7.375% due 09/15/02 1,120 1,120
Consolidated Natural Gas Co.
8.625% due 12/01/11 345 364
Consolidated Rail Corp.
Pass-thru Certificate Structured Note
Series 1995 Class A
6.760% due 05/25/15 609 582
CoreStates Capital Corp.
5.875% due 10/15/03 750 694
Corporate Property Investors
7.875% due 03/15/16 1,050 1,028
CSFB Finance Co., Ltd.
Series 1995-A Class A
8.364% due 11/15/05 (c) 450 424
Dayton Hudson Corp.
9.750% due 07/01/02 425 477
Discover Credit Corp. (MTN)
8.350% due 04/27/99 465 481
Dole Food Co., Inc.
6.750% due 07/15/00 280 276
Duke Power Co.
7.000% due 07/01/33 1,030 936
Eaton Corp.
7.000% due 04/01/11 545 509
Equitable Life Assurance Society
6.950% due 12/01/05 925 887
7.700% due 12/01/15 975 953
ERP Operating, L.P.
8.500% due 05/15/99 725 749
Evans Whitycombe Trust
Series 1994 Class A-1
7.980% due 08/01/01 500 514
Federal Express Corp.
Series 1993 Class B1
6.680% due 01/01/08 725 689
First Bank Systems, Inc.
8.000% due 07/02/04 650 674
First Chicago Corp.
8.875% due 03/15/02 600 650
First Fidelity Bancorp
9.625% due 08/15/99 415 447
First Interstate Bancorp (MTN)
9.375% due 01/23/02 225 245
First Union Corp.
6.550% due 10/15/35 1,950 1,858
First USA Bank
5.750% due 01/15/99 975 951
Fleet Financial Group, Inc.
8.125% due 07/01/04 675 705
Ford Motor Credit Co.
8.375% due 01/15/00 675 706
Ford Motor Credit Co. (MTN)
6.000% due 02/27/01 1,450 1,398
6.290% due 03/05/01 865 844
Franchise Finance Corp.
7.000% due 11/30/00 750 729
General Electric Capital Corp.
8.300% due 09/20/09 470 513
6.660% due 05/01/18 (c) 1,025 1,021
General Motors Acceptance Corp.
6.625% due 10/01/02 1,845 1,801
General Motors Acceptance Corp. (MTN)
8.000% due 12/05/96 5,000 5,045
Georgia-Pacific Corp.
7.375% due 12/01/25 460 419
Goldman Sachs Group, L.P.
6.875% due 09/15/99 825 825
6.375% due 06/15/00 415 404
6.200% due 12/15/00 725 704
Grand Metropolitan Investment Corp.
7.450% due 04/15/35 425 436
Hanson America, Inc. (conv.)
2.390% due 03/01/01 1,200 1,020
Hertz Corp.
7.000% due 04/15/01 850 851
9.000% due 11/01/09 390 436
Household Finance Corp.
6.375% due 06/30/00 750 737
Household Finance Corp. (MTN)
7.150% due 06/15/00 1,025 1,035
Integra Financial Corp.
6.500% due 04/15/00 850 835
International Lease Finance Corp.
5.750% due 01/15/99 685 670
International Paper Co.
9.400% due 06/01/02 600 665
Fixed Income I Fund 75
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
ITT Corporations
7.375% due 11/15/15 $ 420 $ 395
ITT Financial Corp.
7.400% due 11/15/25 640 605
Kern River Funding Corp. Series B
6.720% due 09/30/01 1,025 1,011
Lockheed Martin Corp.
7.750% due 05/01/26 800 797
Martin Marietta Corp.
7.000% due 03/15/11 325 306
Merrill Lynch & Co., Inc.
6.000% due 01/15/01 1,000 965
Merry Land & Investment, Inc.
6.875% due 11/01/03 175 168
7.250% due 06/15/05 800 777
Morgan Stanley Group, Inc.
8.875% due 10/15/01 1,150 1,244
8.100% due 06/24/02 175 183
Morgan Stanley Group, Inc. (MTN)
5.750% due 02/15/01 800 762
Motorola, Inc.
7.500% due 05/15/25 375 377
Nabisco, Inc.
6.700% due 06/15/02 325 317
NationsBank Corp.
6.625% due 01/15/98 250 251
New England Mutual Life Insurance Co.
7.875% due 02/15/24 750 727
New England Telephone & Telegraph Co.
7.875% due 11/15/29 430 455
News America Holdings, Inc.
7.700% due 10/30/25 1,250 1,150
Northwestern Bell Telephone Co.
7.750% due 05/01/30 330 332
Norwest Corp. (MTN)
6.375% due 09/15/02 650 631
Norwest Financial, Inc.
6.250% due 11/01/02 425 410
NYNEX Corp.
9.550% due 05/01/10 620 693
Occidental Petroleum Corp.
10.125% due 11/15/01 255 290
Occidental Petroleum Corp. (MTN)
8.500% due 11/09/01 295 314
Pacific Bell
7.500% due 02/01/33 610 580
Pennsylvania Power & Light Co.
6.875% due 03/01/04 1,200 1,167
Pennzoil Co.
10.125% due 11/15/09 215 249
PepsiCo, Inc.
7.625% due 12/18/98 360 369
Philadelphia Electric Co. Series 1992
7.500% due 01/15/99 200 203
Philip Morris Cos. , Inc.
6.950% due 06/01/06 775 781
Pitney Bowes Credit Corp.
8.550% due 09/15/09 780 860
Praxair, Inc.
6.850% due 06/15/05 680 659
Procter & Gamble Co.
8.000% due 10/26/29 220 234
Procter & Gamble Co.
Sharing ESOP Series A
9.360% due 01/01/21 450 533
Ralston Purina Co.
7.875% due 06/15/25 845 834
Republic New York Corp.
9.750% due 12/01/00 130 144
8.250% due 11/01/01 240 254
Residential Accredit Loans, Inc.
Series 1996-QS1 Class AI4
6.900% due 01/25/26 3,000 2,862
RJR Nabisco, Inc.
8.625% due 12/01/02 400 406
Rockwell International Corp.
8.875% due 09/15/99 300 319
Salomon, Inc.
7.000% due 05/15/99 1,400 1,401
7.250% due 05/01/01 575 568
Salomon, Inc. (MTN)
6.820% due 07/26/99 100 99
Seagram Co., Ltd.
8.350% due 01/15/22 740 780
Sears Roebuck Acceptance Corp.
Series II (MTN)
6.690% due 04/30/01 975 966
Security-Connecticut Corp. (MTN)
7.125% due 03/01/03 1,000 961
Shopping Center Associates
6.750% due 01/15/04 750 707
SKW Real Estate, L.P. Class C
7.450% due 04/15/03 775 775
Smith Barney Holdings, Inc.
7.980% due 03/01/00 775 802
Southtrust Corp.
9.950% due 06/01/99 621 666
Spieker Properties, Inc.
6.900% due 01/15/04 1,000 940
Fixed Income I Fund 76
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
Suntrust Banks, Inc.
7.375% due 07/01/02 $ 400 $ 408
System Energy Resources, Inc.
6.000% due 04/01/98 800 789
Temple Inland, Inc.
7.250% due 09/15/04 575 573
Tenneco, Inc.
10.000% due 03/15/08 525 625
Texaco Capital, Inc.
9.750% due 03/15/20 225 278
8.875% due 09/01/21 440 504
Texas Utilities Electric Co.
9.500% due 08/01/99 1,370 1,459
Time Warner Entertainment Co., L.P.
10.150% due 05/01/12 400 461
8.375% due 03/15/23 925 901
8.375% due 07/15/33 4,525 4,345
Time Warner, Inc.
6.460% due 08/15/00 (c) 750 758
7.975% due 08/15/04 450 448
8.110% due 08/15/06 900 894
8.180% due 08/15/07 900 897
Transamerica Financial Corp.
8.375% due 02/15/98 360 370
U.S. Bancorp of Oregon
7.000% due 03/15/03 90 89
Union Carbide Chemicals & Plastics
7.875% due 04/01/23 835 838
Union Oil Co. (MTN)
9.400% due 02/15/11 390 444
Union Pacific Corp.
7.600% due 05/01/05 350 354
Union Pacific Railroad Trust
Pass-thru Certificate Series 1996-A2
7.060% due 05/15/03 450 448
United Technologies Corp.
8.750% due 03/01/21 445 503
Virginia Electric & Power Co.
8.750% due 04/01/21 335 351
Wachovia Corp.
6.800% due 06/01/05 280 272
Wells Fargo & Co.
6.875% due 04/01/06 500 482
Whirlpool Corp.
9.500% due 06/15/00 400 434
Willamette Industries, Inc.
7.850% due 07/01/26 650 650
--------
111,848
--------
MORTGAGE-BACKED SECURITIES - 34.8%
Citicorp Mortgage Securities, Inc.
Series 1987-2 Class A-1
8.500% due 04/01/02 3,025 3,085
Federal Home Loan Mortgage Corp.
Pool # D5-9294 9.000% due 03/01/25 853 890
Pool # D6-0929 8.000% due 06/01/25 888 895
Pool # D6-0991 8.000% due 06/01/25 354 357
Pool # D6-1272 8.000% due 06/01/25 321 324
Federal Home Loan Mortgage Corp.
6.000% 15 Year TBA (b) 10,315 9,983
7.500% 30 Year TBA (b) 1,125 1,137
7.500% 30 Year TBA (b) 445 439
8.000% 30 Year TBA (b) 1,790 1,805
8.500% 30 Year TBA (b) 20,920 20,142
8.500% 30 Year TBA (b) 520 534
Federal Home Loan Mortgage Corp.
Participation Certificate
Group # 14-1607 8.000% due 08/01/18 81 82
Group # 17-0164 9.000% due 05/01/16 165 173
Group # 17-0170 9.000% due 06/01/16 146 154
Group # 17-0171 9.000% due 06/01/16 310 325
Group # 17-0181 9.000% due 08/01/16 76 80
Group # 17-0195 9.000% due 10/01/16 382 401
Group # 17-0196 9.000% due 10/01/16 230 241
Group # 17-0197 9.000% due 10/01/16 478 502
Group # 17-0204 9.000% due 11/01/16 107 112
Group # 17-0208 9.000% due 12/01/16 115 120
Group # 26-0607 12.000% due 06/01/14 233 263
Group # 27-8582 9.000% due 10/01/16 43 45
Group # 28-4634 9.000% due 01/01/17 2 2
Group # 30-0025 12.500% due 04/01/16 387 443
Group # 30-5382 9.000% due 12/01/17 81 84
Group # 84-5481 7.501% due 09/01/23 (c) 919 942
Group # A0-0690 9.000% due 02/01/20 2,005 2,105
Group # C0-0109 8.000% due 04/01/22 1,430 1,447
Group # C0-0335 7.500% due 05/01/24 347 343
Group # C0-0398 9.000% due 05/01/25 499 521
Group # C0-0413 8.000% due 08/01/25 119 120
Group # C0-0444 8.000% due 01/01/26 761 767
Group # C0-0452 7.000% due 04/01/26 335 323
Group # C8-0328 7.500% due 07/01/25 800 790
Group # C8-0371 8.000% due 12/01/25 730 737
Group # C8-0385 6.500% due 03/01/26 655 613
Group # C8-0391 7.000% due 03/01/26 330 318
Group # D2-7264 7.500% due 11/01/22 314 311
Group # D5-2246 7.000% due 04/01/24 248 240
Group # D5-3905 7.500% due 06/01/24 253 251
Fixed Income I Fund 77
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
Group # D5-6375 7.500% due 09/01/24 $ 269 $ 266
Group # D5-6485 7.500% due 09/01/24 599 593
Group # D5-9553 8.500% due 04/01/25 447 459
Group # D5-9609 8.000% due 04/01/25 165 166
Group # D5-9633 9.000% due 04/01/25 295 308
Group # D5-9707 9.000% due 04/01/25 16 17
Group # D5-9741 8.000% due 04/01/25 87 88
Group # D5-9816 8.000% due 04/01/25 48 49
Group # D6-0033 8.000% due 05/01/25 67 68
Group # D6-0224 9.000% due 05/01/25 166 173
Group # D6-0678 8.000% due 06/01/25 1,497 1,509
Group # D6-0728 8.000% due 06/01/25 193 195
Group # D6-1491 8.000% due 06/01/25 1,516 1,529
Group # D6-1528 8.000% due 07/01/25 754 761
Group # D6-1597 8.000% due 07/01/25 87 88
Group # D6-1887 8.000% due 07/01/25 1,685 1,699
Group # D6-2110 8.000% due 07/01/25 1,705 1,721
Group # D6-2114 8.000% due 07/01/25 306 308
Group # D6-2134 8.000% due 07/01/25 849 856
Group # D6-2156 8.000% due 07/01/25 1,358 1,370
Group # D6-2616 8.000% due 08/01/25 35 35
Group # D6-2666 7.000% due 08/01/25 1,008 970
Group # D6-2913 8.000% due 08/01/25 1,858 1,874
Group # D6-3713 8.000% due 09/01/25 392 395
Group # D6-3752 8.000% due 09/01/25 509 514
Group # D6-3976 7.000% due 09/01/25 441 425
Group # D6-4128 8.000% due 10/01/25 115 116
Group # D6-4296 8.000% due 10/01/25 429 433
Group # D6-4458 8.000% due 09/01/25 350 353
Group # D6-4861 8.000% due 10/01/25 717 723
Group # D6-5028 8.000% due 11/01/25 319 322
Group # D6-5188 8.000% due 11/01/25 370 373
Group # D6-5396 7.500% due 10/01/25 645 637
Group # D6-5854 8.000% due 11/01/25 28 28
Group # D6-6337 7.000% due 12/01/25 1,807 1,739
Group # D6-6409 8.000% due 12/01/24 784 792
Group # D6-6660 8.000% due 12/01/25 518 523
Group # D6-6779 7.500% due 01/01/26 846 835
Group # D6-7153 7.000% due 01/01/26 1,770 1,704
Group # D6-7251 7.500% due 01/01/25 60 59
Group # D6-7703 7.500% due 01/01/26 194 192
Group # D6-8074 7.000% due 02/01/26 193 186
Group # D7-0013 7.000% due 04/01/26 240 231
Group # D7-0251 6.500% due 04/01/26 1,008 944
Group # D7-0509 7.000% due 04/01/26 192 184
Group # D7-0576 7.000% due 04/01/26 506 487
Group # D7-2155 7.500% due 07/01/26 598 590
Group # D7-2272 7.000% due 06/01/26 566 545
Group # D7-2304 7.500% due 06/01/26 208 205
Group # E0-0333 8.000% due 08/01/09 249 255
Group # E2-0123 7.500% due 08/01/09 302 305
Group # E2-0145 7.500% due 11/01/09 (c) 224 226
Group # E2-0153 8.000% due 01/01/10 79 81
Group # E2-0216 6.500% due 01/01/16 624 604
Group # E2-0244 6.500% due 06/01/11 429 415
Group # E4-7089 7.000% due 05/01/08 223 221
Group # E4-8842 7.000% due 07/01/08 263 261
Group # E5-6830 6.500% due 02/01/09 419 409
Group # E5-6953 6.500% due 02/01/09 62 61
Group # E5-9472 7.500% due 08/01/09 123 124
Group # E5-9494 7.000% due 08/01/09 518 513
Group # E5-9512 7.500% due 08/01/09 168 169
Group # E5-9554 7.500% due 08/01/09 687 693
Group # E5-9577 7.500% due 09/01/09 475 479
Group # E5-9921 7.500% due 11/01/09 101 102
Group # E5-9923 7.500% due 11/01/09 223 225
Group # E5-9926 7.500% due 11/01/09 133 135
Group # E5-9932 7.500% due 11/01/09 315 317
Group # E6-0172 8.000% due 02/01/10 564 575
Group # E6-0173 8.000% due 02/01/10 293 299
Group # E6-0194 8.000% due 03/01/10 130 133
Group # E6-0386 8.000% due 04/01/10 87 89
Group # E6-2831 6.500% due 01/01/11 566 548
Group # E6-2966 6.500% due 02/01/11 71 68
Group # E6-4226 6.500% due 05/01/11 296 287
Group # E6-4516 6.500% due 06/01/11 90 87
Group # G0-0279 7.500% due 12/01/24 899 890
Group # G0-0289 8.000% due 01/01/25 734 741
Group # G1-0239 7.000% due 07/01/09 21 20
Group # M1-1773 7.500% due 03/01/97 345 346
Group # M1-3104 7.000% due 03/01/97 164 164
Group # M1-3357 7.500% due 04/01/97 601 603
Group # M1-3486 7.500% due 04/01/97 103 103
Group # M1-4825 7.000% due 08/01/97 18 18
Group # M1-9003 7.000% due 04/01/97 296 297
Group # M1-9073 7.500% due 11/01/97 243 244
Group # N9-6019 7.500% due 10/01/02 295 298
Federal Home Loan Mortgage Corp.
Series K Class K-5
7.760% due 05/01/12 2,386 2,413
Federal National Mortgage Association
Pool # 040208 8.000% due 01/01/02 3 3
Pool # 040403 8.000% due 01/01/02 5 5
Pool # 040841 8.000% due 01/01/02 93 94
Pool # 041060 8.000% due 02/01/02 155 158
Pool # 042014 8.000% due 03/01/02 9 10
Pool # 042675 8.000% due 02/01/02 9 9
Pool # 043467 8.000% due 03/01/02 11 11
Fixed Income I Fund 78
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
Pool # 046329 8.000% due 04/01/02 $ 6 $ 6
Pool # 047205 8.000% due 05/01/02 52 54
Pool # 047293 8.000% due 05/01/02 19 19
Pool # 047565 8.000% due 07/01/02 86 87
Pool # 047690 8.000% due 05/01/02 8 8
Pool # 048419 8.000% due 06/01/02 73 74
Pool # 048902 8.000% due 06/01/02 107 110
Pool # 049385 8.000% due 06/01/02 12 12
Pool # 049441 8.000% due 06/01/02 5 5
Pool # 050752 7.000% due 05/01/00 526 524
Pool # 050758 7.000% due 06/01/00 151 150
Pool # 050762 6.500% due 07/01/08 513 500
Pool # 050974 6.500% due 01/01/09 1,082 1,055
Pool # 051057 8.000% due 06/01/02 94 96
Pool # 053628 8.000% due 07/01/02 75 77
Pool # 053865 8.000% due 07/01/02 29 30
Pool # 061217 8.000% due 05/01/03 18 18
Pool # 065408 8.000% due 09/01/18 (c) 329 341
Pool # 067922 8.000% due 07/01/03 371 378
Pool # 070424 8.000% due 06/01/02 13 13
Pool # 076261 8.000% due 12/01/03 222 226
Pool # 087274 8.000% due 08/01/04 126 129
Pool # 120778 8.000% due 03/01/17 74 76
Pool # 124542 7.000% due 11/01/99 821 818
Pool # 125335 7.500% due 06/01/24 270 267
Pool # 153690 8.000% due 07/01/02 202 207
Pool # 156065 8.000% due 09/01/02 274 280
Pool # 156799 8.000% due 03/01/05 184 188
Pool # 178066 7.000% due 09/01/99 411 410
Pool # 183514 8.000% due 08/01/22 309 313
Pool # 187852 10.500% due 08/01/10 9 10
Pool # 190506 6.500% due 12/01/08 762 743
Pool # 190962 6.500% due 07/01/09 469 457
Pool # 207010 6.500% due 04/01/09 33 32
Pool # 208101 6.500% due 05/01/00 98 96
Pool # 211454 7.000% due 05/01/00 163 162
Pool # 216515 6.500% due 06/01/08 54 53
Pool # 220817 6.500% due 06/01/08 27 26
Pool # 223595 6.500% due 07/01/08 96 93
Pool # 224716 6.500% due 07/01/23 227 214
Pool # 231502 7.000% due 10/01/23 408 394
Pool # 234968 6.500% due 09/01/08 214 208
Pool # 235710 7.000% due 11/01/23 501 484
Pool # 238372 7.000% due 11/01/23 1,774 1,710
Pool # 239803 7.000% due 11/01/23 282 273
Pool # 244286 7.000% due 05/01/24 348 335
Pool # 244370 7.000% due 11/01/23 959 926
Pool # 246161 7.000% due 11/01/23 91 88
Pool # 246197 7.000% due 11/01/23 542 522
Pool # 247337 7.000% due 11/01/23 898 867
Pool # 248444 6.500% due 05/01/09 192 187
Pool # 250009 6.500% due 04/01/09 873 851
Pool # 250030 7.000% due 05/01/24 413 398
Pool # 250345 7.000% due 09/01/25 1,958 2,546
Pool # 263021 6.500% due 05/01/09 56 54
Pool # 266371 6.500% due 01/01/01 354 347
Pool # 269791 6.500% due 05/01/09 362 352
Pool # 270990 6.500% due 02/01/01 45 44
Pool # 270992 6.500% due 02/01/01 295 289
Pool # 275276 7.500% due 06/01/24 320 316
Pool # 275290 7.000% due 06/01/24 433 417
Pool # 276075 6.500% due 04/01/09 599 584
Pool # 277550 6.500% due 04/01/09 330 322
Pool # 279004 7.000% due 04/01/24 222 214
Pool # 279137 6.500% due 05/01/09 484 471
Pool # 280352 6.500% due 05/01/09 269 262
Pool # 280980 6.500% due 05/01/09 45 44
Pool # 280984 6.500% due 05/01/09 1,719 1,676
Pool # 281297 6.500% due 05/01/09 426 415
Pool # 281298 6.500% due 05/01/09 280 273
Pool # 281439 6.500% due 04/01/09 283 276
Pool # 282305 7.000% due 05/01/24 618 596
Pool # 283040 6.500% due 05/01/09 426 415
Pool # 283486 6.500% due 05/01/09 456 445
Pool # 283947 7.500% due 06/01/24 212 210
Pool # 284279 7.000% due 05/01/24 463 446
Pool # 284451 6.500% due 05/01/09 452 440
Pool # 284577 6.500% due 05/01/09 778 758
Pool # 285147 7.000% due 06/01/24 805 775
Pool # 286112 7.000% due 06/01/24 1,846 1,779
Pool # 286978 7.000% due 06/01/24 449 433
Pool # 287464 6.500% due 06/01/09 420 409
Pool # 287716 7.500% due 09/01/24 706 698
Pool # 289234 6.500% due 06/01/09 673 656
Pool # 289660 7.500% due 08/01/24 198 196
Pool # 290876 7.500% due 07/01/24 620 613
Pool # 295187 6.500% due 09/01/09 59 57
Pool # 303555 7.000% due 09/01/25 1,962 1,887
Pool # 312495 7.000% due 07/01/25 665 640
Pool # 312998 7.000% due 07/01/25 144 138
Pool # 316786 7.000% due 07/01/25 729 701
Pool # 316938 7.000% due 07/01/25 328 316
Pool # 319622 7.000% due 08/01/25 672 647
Pool # 319647 7.000% due 08/01/25 235 227
Pool # 319761 7.000% due 08/01/25 623 599
Pool # 320080 7.000% due 08/01/25 1,934 1,860
Pool # 324205 7.000% due 09/01/25 2,206 2,122
Pool # 330474 7.000% due 11/01/25 174 168
Fixed Income I Fund 79
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
Pool # 332461 6.500% due 01/01/26 $ 505 $ 472
Pool # 338414 6.500% due 05/01/26 328 307
Pool # 338417 6.500% due 05/01/26 1,009 944
Pool # 342072 6.500% due 03/01/26 1,083 1,013
Pool # 346095 7.500% due 05/01/03 459 464
Pool # 346212 7.000% due 04/01/26 257 248
Federal National Mortgage Association
Pass-thru Certificate
7.500% 30 Year TBA (b) 3,090 3,048
Principal Only Strip
Zero Coupon due 03/25/20 257 191
REMIC Trust Series 1993-89 Z Tranche
7.000% due 06/25/23 3,677 2,853
Federal National Mortgage Association (MTN)
6.180% due 03/15/01 1,025 1,004
6.170% due 12/30/03 1,755 1,665
Government National Mortgage Association
Pool # 008528 7.000% due 10/20/24 (c) 4,137 4,200
Pool # 139796 9.500% due 03/15/16 127 136
Pool # 146110 9.500% due 05/15/16 31 33
Pool # 148211 9.500% due 02/15/16 111 119
Pool # 148618 8.500% due 08/15/16 21 22
Pool # 152577 9.000% due 10/15/16 84 89
Pool # 152837 9.000% due 10/15/16 44 46
Pool # 154592 9.000% due 04/15/16 277 294
Pool # 156625 9.000% due 09/15/16 473 500
Pool # 157439 9.000% due 05/15/16 221 233
Pool # 157532 8.500% due 07/15/16 56 58
Pool # 161209 9.000% due 08/15/16 166 176
Pool # 161412 9.000% due 05/15/16 50 53
Pool # 161534 9.000% due 10/15/16 504 533
Pool # 161598 9.000% due 06/15/16 107 113
Pool # 163611 9.000% due 05/15/16 267 282
Pool # 164705 9.000% due 09/15/16 473 500
Pool # 165541 8.500% due 07/15/16 144 149
Pool # 168336 9.000% due 08/15/20 17 18
Pool # 168822 9.000% due 08/15/16 281 298
Pool # 173346 9.000% due 10/15/16 129 136
Pool # 173661 8.500% due 08/15/16 339 352
Pool # 174110 8.500% due 11/15/16 356 369
Pool # 174840 9.000% due 10/15/16 219 232
Pool # 175753 9.000% due 10/15/16 106 112
Pool # 177139 9.000% due 11/15/16 99 105
Pool # 177163 9.000% due 10/15/16 74 78
Pool # 179721 10.500% due 09/15/20 47 51
Pool # 180669 8.500% due 04/15/17 36 38
Pool # 181250 9.000% due 11/15/16 120 127
Pool # 183409 8.500% due 10/15/16 226 235
Pool # 183690 8.500% due 01/15/17 127 132
Pool # 186094 8.500% due 03/15/17 633 657
Pool # 186658 9.000% due 11/15/16 234 248
Pool # 188014 9.000% due 12/15/16 151 160
Pool # 188459 8.500% due 05/15/17 108 112
Pool # 188531 8.500% due 05/15/17 105 109
Pool # 193313 9.000% due 11/15/16 201 213
Pool # 194421 8.500% due 01/15/17 100 104
Pool # 194842 9.000% due 11/15/16 10 11
Pool # 195538 9.000% due 11/15/16 56 59
Pool # 195910 8.500% due 12/15/16 86 89
Pool # 196521 8.500% due 01/15/17 387 402
Pool # 196528 8.500% due 02/15/17 276 286
Pool # 197003 8.500% due 02/15/17 94 98
Pool # 197387 8.500% due 01/15/17 529 549
Pool # 198202 8.500% due 01/15/17 165 171
Pool # 199668 8.500% due 02/15/17 240 249
Pool # 199686 8.000% due 03/15/17 152 156
Pool # 200712 8.500% due 02/15/17 332 345
Pool # 201206 8.500% due 02/15/17 203 211
Pool # 201789 9.000% due 02/15/17 373 394
Pool # 201795 8.500% due 02/15/17 153 158
Pool # 204153 8.500% due 01/15/17 172 178
Pool # 204268 8.500% due 02/15/17 148 154
Pool # 210896 8.500% due 04/15/17 511 530
Pool # 212049 8.500% due 05/15/17 258 268
Pool # 213264 9.000% due 03/15/17 484 512
Pool # 213265 8.500% due 03/15/17 180 187
Pool # 213365 8.000% due 04/15/17 28 29
Pool # 225968 8.500% due 07/15/17 201 209
Pool # 266892 7.000% due 06/15/23 329 317
Pool # 273024 10.500% due 08/15/20 88 97
Pool # 285402 10.500% due 05/15/20 47 52
Pool # 286050 9.000% due 09/15/20 25 26
Pool # 290338 10.500% due 06/15/20 1,008 1,112
Pool # 290680 10.500% due 08/15/20 73 81
Pool # 294919 10.500% due 09/15/20 21 23
Pool # 295408 10.500% due 08/15/20 66 73
Pool # 297998 10.500% due 11/15/20 135 150
Pool # 299159 10.500% due 11/15/20 132 145
Pool # 300795 10.500% due 12/15/20 67 75
Pool # 301683 10.500% due 01/15/21 138 153
Pool # 303754 9.000% due 12/15/21 612 645
Pool # 310003 9.000% due 07/15/21 23 25
Pool # 321967 7.000% due 05/15/23 313 301
Pool # 329174 7.500% due 05/15/07 114 115
Pool # 332559 7.000% due 04/15/23 120 116
Pool # 334930 7.500% due 08/15/23 766 757
Pool # 336092 7.000% due 09/15/23 130 125
Fixed Income I Fund 80
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
Pool # 336136 7.000% due 04/15/23 $ 112 $ 108
Pool # 336166 7.000% due 02/15/23 292 281
Pool # 336917 7.000% due 05/15/23 680 655
Pool # 337344 7.000% due 08/15/23 329 317
Pool # 337419 7.000% due 06/15/23 463 447
Pool # 337470 7.000% due 07/15/23 86 83
Pool # 338364 7.500% due 12/15/22 45 44
Pool # 339059 7.000% due 10/15/23 324 312
Pool # 339637 7.500% due 04/01/23 454 449
Pool # 342398 7.000% due 06/15/23 470 453
Pool # 342805 7.000% due 06/15/23 108 104
Pool # 343557 7.000% due 05/15/23 326 314
Pool # 343608 7.000% due 05/15/23 236 227
Pool # 343620 7.000% due 06/15/23 522 503
Pool # 343632 7.000% due 07/15/23 328 316
Pool # 345984 7.000% due 12/15/23 89 86
Pool # 346058 7.000% due 01/15/24 750 723
Pool # 346836 7.000% due 10/15/23 109 105
Pool # 347706 7.000% due 12/15/23 115 111
Pool # 348651 7.500% due 05/15/23 227 225
Pool # 348875 7.000% due 07/15/23 322 310
Pool # 348895 7.000% due 07/15/23 427 412
Pool # 349383 7.000% due 06/15/23 104 100
Pool # 350138 7.500% due 03/15/23 95 94
Pool # 351270 7.000% due 07/15/23 91 87
Pool # 352023 7.000% due 11/15/23 517 498
Pool # 352050 7.000% due 10/15/23 536 517
Pool # 352510 7.000% due 10/15/23 530 511
Pool # 352789 7.000% due 10/15/23 324 313
Pool # 355230 7.000% due 09/15/23 461 445
Pool # 356127 7.000% due 10/15/23 92 89
Pool # 356693 7.000% due 08/15/23 360 347
Pool # 356952 7.000% due 06/15/23 525 506
Pool # 357351 7.000% due 11/15/23 328 316
Pool # 358427 7.000% due 09/15/23 350 338
Pool # 358519 7.000% due 12/15/23 494 476
Pool # 358542 7.000% due 07/15/23 446 430
Pool # 358565 7.000% due 05/15/23 476 458
Pool # 359935 7.000% due 11/15/23 81 78
Pool # 360181 7.000% due 08/15/23 130 125
Pool # 360418 7.000% due 10/15/23 331 319
Pool # 361056 6.500% due 08/15/08 201 196
Pool # 362703 7.000% due 10/15/23 364 351
Pool # 363166 7.000% due 11/15/23 118 114
Pool # 364136 7.000% due 08/15/23 132 128
Pool # 364600 7.000% due 08/15/23 168 162
Pool # 366219 7.000% due 11/15/23 496 477
Pool # 366793 7.000% due 05/15/24 2,182 2,101
Pool # 366912 9.000% due 11/15/24 241 252
Pool # 368782 7.000% due 10/15/23 407 392
Pool # 368988 6.500% due 03/15/09 237 231
Pool # 370096 7.000% due 11/15/23 462 446
Pool # 370280 7.000% due 11/15/23 350 337
Pool # 370996 7.000% due 12/15/23 527 508
Pool # 371085 7.000% due 10/15/23 77 74
Pool # 371874 7.500% due 06/15/24 1,298 1,283
Pool # 372850 7.000% due 01/15/24 668 643
Pool # 373755 7.000% due 05/15/11 355 352
Pool # 373788 7.000% due 10/15/23 390 375
Pool # 373794 7.000% due 10/15/23 81 78
Pool # 374718 7.000% due 11/15/23 357 344
Pool # 377593 6.500% due 10/15/10 202 197
Pool # 380163 7.000% due 12/15/23 118 113
Pool # 390783 9.000% due 07/15/24 770 806
Pool # 394904 6.500% due 06/15/09 449 437
Pool # 395148 6.500% due 04/15/09 205 200
Pool # 402578 7.000% due 05/15/11 416 412
Pool # 404874 9.000% due 12/15/24 20 21
Pool # 407106 9.000% due 11/15/24 376 393
Pool # 408271 7.000% due 04/15/26 1,008 967
Pool # 413886 7.500% due 08/15/25 656 646
Pool # 414098 7.500% due 08/15/25 37 37
Pool # 421717 7.000% due 04/15/26 600 575
Pool # 422688 7.000% due 05/15/26 1,367 1,311
Pool # 423447 7.000% due 01/15/11 276 273
Pool # 780029 9.000% due 11/15/24 1,140 1,207
Government National Mortgage Association
6.500% 30 Year TBA (b) 20,000 18,612
8.000% 30 Year TBA (b) 10,000 10,088
9.000% 30 Year TBA (b) 660 691
Guaranteed Export Trust
Series 1996-A
6.550% due 06/15/04 998 993
Merrill Lynch Mortgage Investors, Inc.
Series 1995-C2 Class D
8.270% due 06/15/21 (c) 940 940
Mid-St Trust II Class A-3 CMO
9.350% due 04/01/98 506 528
PNC Mortgage Securities Corp.
Series 1994-3 Class A-1
7.500% due 06/18/10 1,147 1,148
United States Department
of Veteran Affairs
REMIC Series 1992-1 Class 2-E
7.750% due 03/15/16 775 778
--------
234,037
--------
Fixed Income I Fund 81
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
--------- --------
NON-US BONDS - 1.0%
Canada, Government of
8.750% due 12/01/05 CAD 3,000 $ 2,366
Germany, Republic of
7.500% due 11/11/04 DEM 5,000 3,503
Skandinaviska Enskilda Banken
6.625% due 03/29/49 (c) $ 1,000 960
--------
6,829
--------
UNITED STATES GOVERNMENT
AGENCIES - 4.2%
Federal National Mortgage Association
8.200% due 03/10/16 3,360 3,647
Federal National Mortgage Association (MTN)
7.640% due 06/16/04 570 565
Government Backed Trust Certificates
Class 1-C
9.250% due 11/15/01 12,825 13,698
Series 2E
9.400% due 05/15/02 2,415 2,589
Series T-3
9.625% due 05/15/02 (c) 2,855 3,057
Resolution Funding Corp.
8.875% due 07/15/20 2,275 2,704
8.625% due 01/15/21 1,200 1,394
8.625% due 01/15/30 240 285
--------
27,939
--------
UNITED STATES GOVERNMENT
TREASURIES - 30.7%
United States Treasury Bills
5.545% due 06/26/97 10,000 9,463
United States Treasury Bonds
10.750% due 02/15/03 4,050 4,942
10.750% due 05/15/03 2,580 3,161
11.875% due 11/15/03 945 1,229
10.750% due 08/15/05 12,970 16,466
11.750% due 02/15/10 490 646
12.750% due 11/15/10 2,455 3,447
13.875% due 05/15/11 4,620 6,924
10.375% due 11/15/12 975 1,238
13.250% due 05/15/14 1,975 3,020
12.500% due 08/15/14 325 478
7.250% due 05/15/16 735 752
7.500% due 11/15/16 2,925 3,073
8.875% due 08/15/17 960 1,153
8.125% due 08/15/19 19,535 21,934
7.875% due 02/15/21 9,655 10,592
8.125% due 08/15/21 3,525 3,969
7.250% due 08/15/22 1,380 1,413
6.250% due 08/15/23 2,290 2,076
6.875% due 08/15/25 3,000 2,964
United States Treasury Bond
Principal Only Strip
Zero Coupon due 11/15/99 325 263
Zero Coupon due 05/15/18 1,500 317
Zero Coupon due 11/15/18 (d) 13,900 797
United States Treasury Notes
6.625% due 03/31/97 (d) 65 65
6.500% due 04/30/97 (d) 170 171
6.500% due 05/15/97 855 860
6.500% due 08/15/97 2,340 2,355
6.000% due 08/31/97 3,465 3,468
5.750% due 09/30/97 1,035 1,033
8.750% due 10/15/97 165 171
5.625% due 10/31/97 445 443
5.750% due 10/31/97 6,355 6,339
8.875% due 11/15/97 175 182
5.250% due 12/31/97 2,280 2,256
5.625% due 01/31/98 570 566
5.125% due 02/28/98 270 266
5.125% due 03/31/98 2,390 2,353
6.125% due 05/15/98 960 960
5.375% due 05/31/98 4,290 4,233
5.125% due 06/30/98 1,805 1,771
8.250% due 07/15/98 985 1,024
5.250% due 07/31/98 2,880 2,830
9.250% due 08/15/98 60 64
4.750% due 08/31/98 3,300 3,207
4.750% due 09/30/98 615 597
4.750% due 10/31/98 40 39
5.125% due 11/30/98 3,970 3,874
5.875% due 03/31/99 480 475
6.500% due 04/30/99 1,035 1,040
6.750% due 06/30/99 3,830 3,874
6.375% due 07/15/99 4,890 4,898
6.875% due 08/31/99 6,300 6,390
7.875% due 11/15/99 7,150 7,468
7.750% due 11/30/99 2,140 2,228
6.375% due 01/15/00 (d) 1,975 1,975
7.750% due 01/31/00 9,145 9,532
Fixed Income I Fund 82
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
7.125% due 02/29/00 $ 1,000 $ 1,023
6.875% due 03/31/00 4,790 4,860
6.250% due 08/31/00 11,335 11,255
5.750% due 10/31/00 380 370
6.250% due 04/30/01 2,075 2,055
7.500% due 11/15/01 3,975 4,150
5.875% due 02/15/04 1,250 1,195
7.250% due 05/15/04 3,000 3,108
United States Treasury Security
Stripped Interest Payment
Zero Coupon due 08/15/08 1,575 685
Zero Coupon due 02/15/19 2,700 541
--------
206,566
--------
YANKEE BONDS - 1.5%
African Development Bank
8.800% due 09/01/19 535 614
Alberta, Province of
9.250% due 04/01/00 265 287
Asian Development Bank
8.500% due 05/02/01 295 317
British Columbia Hydro & Power
15.500% due 07/15/11 220 236
European Investment Bank
10.125% due 10/01/00 320 358
Fletcher Challenge Capital II
7.750% due 06/20/06 1,025 1,039
Inter-American Development Bank
7.000% due 06/15/25 1,770 1,678
Manitoba, Province of
9.250% due 04/01/20 335 399
New Brunswick, Province of
9.750% due 05/15/20 320 397
Newfoundland, Province of
10.000% due 12/01/20 150 183
Noranda Forest, Inc.
6.875% due 11/15/05 350 331
Nova Scotia, Province of
9.125% due 05/01/21 585 662
Quebec, Province of
7.125% due 02/09/24 1,450 1,325
Saskatchewan, Province of
6.625% due 07/15/03 100 96
8.000% due 07/15/04 1,290 1,351
St. George Bank, Ltd.
7.150% due 10/01/05 975 943
--------
10,216
--------
TOTAL LONG-TERM INVESTMENTS
(cost $644,938) 645,365
--------
OPTIONS PURCHASED - 0.0%
United States Treasury 30 Year Bonds
Jul 86.06 Put (e) 1,050* 3
Jul 86.03 Put (e) 1,050* 3
--------
TOTAL OPTIONS PURCHASED
(cost $34) 6
--------
Number
of
Shares
---------
PREFERRED STOCKS - 0.8%
Australia & New Zealand
Banking Group, Ltd. 13,400 353
Banco Bilbao Vizcaya International
- ADR 10,000 278
ConAgra Capital LC Series B 15,000 323
Credit Lyonnais Capital S.C.A. - ADR 22,600 506
Credit Lyonnais Capital S.C.A. - ADR
(144A) 100,000 2,225
Lasalle National Corp. Series K 17,000 890
Texaco Capital Series B 18,000 385
TIG Holdings, Inc. 7,500 773
--------
TOTAL PREFERRED STOCKS
(cost $6,443) 5,733
--------
Principal
Amount
(000)
---------
SHORT-TERM INVESTMENTS - 10.8%
Frank Russell Investment Company
Money Market Fund, due on demand (a) $72,399 72,399
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $72,399) 72,399
--------
FIXED INCOME I FUND 83
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
MARKET
VALUE
(000)
---------
TOTAL INVESTMENTS
(identified cost $723,814)(f) - 107.6% $723,503
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (7.6%) (51,213)
--------
NET ASSETS - 100.0% $672,290
--------
--------
(a) At cost, which approximates market.
(b) Forward commitment. See Note 2.
(c) Adjustable or floating rate securities.
(d) Held by the Fund to cover put options written.
(e) Nonincome-producing security.
(f) See Note 2 for federal income tax information.
(MTN) Represents Medium Term Note.
* Represents 1 over-the-counter contract.
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
PUT OPTIONS WRITTEN
(Notes 2 and 3)
United States Treasury 10 Year Notes
strike price 99.19
expiration date 07/96 $ 1,837* $ 6
United States Treasury 10 Year Notes
strike price 99.20
expiration date 07/96 1,837* 6
--------
Total Liability for Put Options Written
(premiums received $46)(++) $ 12
--------
--------
(++) At June 30, 1996, United States Treasury Securities valued
at $1,234 were held by the Fund to cover put options written.
FOREIGN CURRENCY EXCHANGE CONTRACTS
(Note 2)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- ------------ ----------- ---------- --------------
CAD 1,000 USD 737 10/21/96 $ 2
CAD 1,000 USD 736 10/31/96 2
DEM 5,338 USD 3,499 07/31/96 (19)
--------------
$ (15)
--------------
--------------
The accompanying notes are an integral part of the financial statements.
Fixed Income I Fund 84
<PAGE>
FIXED INCOME I FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $723,814,161)(Note 2) . . . . . . . . . . . $ 723,503,193
Forward foreign currency exchange contracts (cost $4,971,537)(Note 2). . . . . . . 4,971,537
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,048,191
Investments sold (regular settlement) . . . . . . . . . . . . . . . . . . . . 12,464,906
Investments sold (delayed settlement)(Note 2) . . . . . . . . . . . . . . . . 6,885,923
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 747,265
-----------------
757,621,015
LIABILITIES
Payables:
Investments purchased (regular settlement). . . . . . . $ 4,442,448
Investments purchased (delayed settlement)(Note 2). . . 75,235,010
Fund shares redeemed. . . . . . . . . . . . . . . . . . 365,645
Accrued fees to affiliates (Note 4) . . . . . . . . . . 197,816
Other accrued expenses. . . . . . . . . . . . . . . . . 92,318
Forward foreign currency exchange contracts
(cost $4,971,537)(Note 2). . . . . . . . . . . . . . . . . 4,986,125
Options written, at market value . . . . . . . . . . . . . .
(premiums received $45,925)(Notes 2 and 3) . . . . . . . . 11,638 85,331,000
----------------- -----------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 672,290,015
-----------------
-----------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . $ 10,483,359
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . (14,994,153)
Unrealized appreciation (depreciation) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (310,969)
Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,287
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . (18,889)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . 320,469
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . 676,775,911
-----------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 672,290,015
-----------------
-----------------
Net asset value, offering and redemption price per share
($672,290,015 divided by 32,046,904 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . $ 20.98
-----------------
-----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income I Fund 85
<PAGE>
FIXED INCOME I FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 20,335,998
Dividends from Money Market Fund (Note 5) . . . . . . . . . . . . . . . . . . 2,182,798
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 322,463
-----------------
22,841,259
Expenses (Notes 2 and 4):
Management fees . . . . . . . . . . . . . . . . . . . . $ 984,079
Custodian fees. . . . . . . . . . . . . . . . . . . . . 176,484
Transfer agent fees . . . . . . . . . . . . . . . . . . 100,606
Bookkeeping service fees. . . . . . . . . . . . . . . . 33,491
Professional fees . . . . . . . . . . . . . . . . . . . 22,067
Registration fees . . . . . . . . . . . . . . . . . . . 43,530
Trustees' fees. . . . . . . . . . . . . . . . . . . . . 2,464
Miscellaneous . . . . . . . . . . . . . . . . . . . . . 24,059 1,386,780
----------------- -----------------
Net investment income. . . . . . . . . . . . . . . . . . . . 21,454,479
-----------------
REALIZED AND UNREALIZED,
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,224,464)
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . 790,617
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (26,934,762)
Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,287
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . (291,057)
-----------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . (29,625,379)
-----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . $ (8,170,900)
-----------------
-----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income I Fund 86
<PAGE>
FIXED INCOME I FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS,
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . $ 21,454,479 $ 38,033,163
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,224,464) 7,665,181
Foreign currency-related transactions . . . . . . . . . . . . . . . . 790,617 122,658
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (26,934,762) 44,912,005
Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,287 --
Foreign currency-related transactions . . . . . . . . . . . . . . . . (291,057) 272,168
------------- -------------
Net increase (decrease) in net assets resulting from operations. . . . . . (8,170,900) 91,005,175
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . (10,935,497) (38,659,290)
Increase (decrease) in net assets from Fund share transactions . . . . . . 53,079,399 89,932,896
------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 33,973,002 142,278,781
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . 638,317,013 496,038,232
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $10,483,359 and $233,747, respectively) . . . . . . . . . . . . . . . $ 672,290,015 $ 638,317,013
------------- -------------
------------- -------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
FUND SHARE TRANSACTIONS ------------------------------- --------------------------------
SHARES AMOUNT SHARES AMOUNT
----------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . 5,876,389 $ 124,683,896 13,120,392 $ 272,492,800
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . 384,330 8,065,372 1,572,860 32,941,373
Fund shares redeemed . . . . . . . . . . . . . . (3,784,227) (79,669,869) (10,440,155) (215,501,277)
---------- ------------- ------------ -------------
Net increase (decrease). . . . . . . . . . . . . 2,476,492 $ 53,079,399 4,253,097 $ 89,932,896
---------- ------------- ------------ -------------
---------- ------------- ------------ -------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income I Fund 87
<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>
1996* 1995 1994 1993 1992 1991
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . $ 21.59 $ 19.59 $ 21.74 $ 21.61 $ 22.29 $ 20.86
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . .67 1.42 1.46 1.50 1.63 1.71
Net realized and unrealized gain (loss) on investments. . . . (.93) 2.02 (2.06) .72 (.07) 1.49
-------- -------- -------- -------- -------- --------
Total Income From Investment Operations . . . . . . . . . . . (.26) 3.44 (.60) 2.22 1.56 3.20
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . (.35) (1.44) (1.44) (1.50) (1.62) (1.69)
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 . . . . . . . . . . . . . . . . . . . . . (.35) (1.44) (1.55) (2.09) (2.24) (1.77)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . $ 20.98 $ 21.59 $ 19.59 $ 21.74 $ 21.61 $ 22.29
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a)(c) . . . . . . . . . . . . . . . . . . . . . . (1.22) 18.03 (2.97) 10.46 7.26 16.01
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c) . . . . . . . .42 .35 .10 .09 .10 .10
Net investment income to average net assets (b)(c). . . . . . 6.52 6.82 7.06 6.71 7.45 8.08
Portfolio turnover (b). . . . . . . . . . . . . . . . . . . . 157.32 138.05 173.97 173.27 211.26 121.91
Net assets, end of period ($000 omitted). . . . . . . . . . . 672,290 638,317 496,038 533,696 530,857 458,201
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net of
investment management fees but gross of any investment services fees. See
Note 4.
Fixed Income I Fund 88
<PAGE>
FIXED INCOME II FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
LONG-TERM INVESTMENTS - 89.9%
ASSET-BACKED SECURITIES - 19.1%
Advanta Home Equity Loan Trust
Series 1994-1 Class A-2
6.300% due 07/25/25 $ 61 $ 59
ALPS Pass-thru Trust
Series 1994-1 Class A-2
7.150% due 11/15/97 (c) 323 325
American Express
Credit Account Master Trust
Series 1996-1 Class A
6.800% due 12/15/03 4,250 4,268
Banc One Auto Grantor Trust
Series 1996-B Class A
6.550% due 02/15/03 450 452
Chase Manhattan
Credit Card Master Trust
Series 1996-4 Class A
6.730% due 02/15/03 4,500 4,527
Chase Manhattan Grantor Trust
Pass-thru Certificate
Series 1995-A Class A
6.000% due 09/17/01 1,404 1,401
Series 1995-B Class A
5.900% due 11/15/01 614 613
Series 1996-A Class A
5.200% due 02/15/02 550 541
Daimler-Benz Auto Grantor Trust
Series 1995-A Class A
5.850% due 05/15/02 1,345 1,342
Discover Card Master Trust I
Series 1994-2 Class A
5.850% due 10/16/04 (c) 1,000 1,007
EQCC Home Equity Loan Trust
Series 1993-4 Class A
5.725% due 12/15/08 65 63
Fifth Third Bank Auto Grantor Trust
Series 1996-A Class A
6.200% due 09/01/01 445 446
First Chicago Master Trust II
Series 1994-J Class A
5.720% due 01/16/01 (c) 500 501
Green Tree Financial Corp.
Series 1992-2 Class A-2
7.050% due 01/15/18 58 58
Series 1995-A Class A
7.250% due 07/15/05 256 256
Honda Auto Receivables Grantor Trust
Series 1995-A Class A
6.200% due 12/15/00 999 998
Nationsbank Auto Grantor Trust
Series 1995-A Class A
5.850% due 06/15/02 561 559
Olympic Automobile Receivables
Series 1996-B Class A3
6.500% due 12/15/00 4,600 4,607
Premier Auto Trust
Series 1996-3 Class A3
6.500% due 03/06/00 4,500 4,510
Prudential Home Mortgage Securities Co.
Series 1993-55 Class A1
7.942% due 12/25/23 (c) 364 370
Remodelers Home Improvement Loan
Series 1995-3 Class A2
6.800% due 12/20/07 425 421
Resolution Trust Corp.
Mortgage Pass-thru Certificate
Series 1992-M3 Class A-1
7.450% due 07/25/30 (c) 88 88
Sears Credit Account Master Trust II
Series 1995-4 Class A
6.250% due 01/15/03 4,000 3,991
SPNB Home Equity Loan
Series 1991-1 Class B
8.150% due 06/15/20 174 177
Standard Credit Card Master Trust I
Series 1995-6 Class A
6.750% due 06/07/00 3,700 3,723
Structured Asset Securities Corp.
Mortgage Pass-thru Certificate
Series 1996-CFL Class A1A
5.711% due 02/25/28 234 232
The Money Store Home Equity Trust
Series 1993-D Class A-1
5.675% due 12/15/08 804 775
Series 1996-B Class A3
6.820% due 02/15/10 575 576
UCFC Home Equity Loan
Series 1995-B1 Class A2
6.600% due 07/10/09 625 623
---------
37,509
---------
CORPORATE BONDS AND NOTES - 18.1%
Ahmanson (H.F.)
9.875% due 11/15/99 375 407
Bank of Boston Corp.
9.500% due 08/15/97 995 1,029
Fixed Income II Fund 89
<PAGE>
FIXED INCOME II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
Capital One Bank (MTN)
6.844% due 06/13/00 $ 1,150 $ 1,139
Caterpillar Financial Services (MTN)
6.100% due 07/15/99 475 467
Chase Manhattan Corp
5.718% due 12/05/09 (c) 200 195
Chase Manhattan Corp. New
7.500% due 12/01/97 950 964
10.375% due 03/15/99 250 270
10.125% due 11/01/00 259 289
CIT Group Holdings, Inc. (MTN)
5.500% due 02/28/97 425 423
6.200% due 04/15/98 725 724
Comdisco, Inc.
6.500% due 06/15/00 425 419
5.750% due 02/15/01 450 430
Connecticut Light & Power Co.
7.625% due 04/01/97 784 785
Enterprise Rent-A-Car
USA Finance Co. (MTN)
7.875% due 03/15/98 1,100 1,127
ERP Operating, L.P.
6.250% due 12/22/97 (c) 700 707
First Union Corp.
6.750% due 01/15/98 750 752
First USA Bank
8.200% due 02/15/98 250 256
5.750% due 01/15/99 875 853
Fleet Financial Group, Inc.
7.250% due 10/15/97 350 354
6.000% due 10/26/98 600 594
Ford Motor Credit Co. CMS Floater (MTN)
5.100% due 07/08/96 (c) 1,250 1,249
General Motors Acceptance Corp. (MTN)
8.250% due 08/29/96 400 401
7.850% due 05/08/97 350 355
7.500% due 07/22/99 125 128
Georgia Pacific Corp.
9.850% due 06/15/97 1,050 1,081
Goldman Sachs Group, L.P.
7.625% due 05/29/97 550 555
6.375% due 06/15/00 325 317
6.200% due 12/15/00 275 267
Greyhound Financial Corp.
9.670% due 07/01/97 750 774
GTE Corp.
10.750% due 09/15/17 1,150 1,255
Health & Rehabilitation Properties Trust
6.255% due 07/13/99 (c) 725 725
Heller Financial, Inc.
Series G (MTN)
6.570% due 05/20/99 400 397
Hertz Corp.
9.500% due 05/15/98 675 711
6.500% due 04/01/00 450 444
International Lease Finance Corp.
5.750% due 12/15/99 1,000 965
ITT Corp. New
6.250% due 11/15/00 425 413
Lehman Brothers Holdings, Inc.
Series IBC (MTN)
7.000% due 05/13/99 800 801
Merrill Lynch & Co., Inc.
9.000% due 05/01/98 900 939
Midlantic Corp.
9.250% due 09/01/99 375 399
Morgan Stanley Group, Inc.
8.000% due 10/15/96 450 452
Morgan Stanley Group, Inc. (MTN)
5.625% due 03/01/99 500 487
Occidental Petroleum Corp. (MTN)
5.950% due 11/09/98 1,225 1,206
Salomon, Inc.
6.700% due 12/01/98 500 499
7.000% due 05/15/99 500 500
Salomon, Inc.
CMT Floater (MTN)
5.708% due 04/05/99 (c) 1,100 1,085
Sears Roebuck & Co.
Series 7 (MTN)
5.490% due 09/28/98 450 441
Shawmut Corp.
8.125% due 02/01/97 533 539
Smith Barney Holdings, Inc.
5.500% due 01/15/99 650 633
7.980% due 03/01/00 765 792
Taubman Realty Group, L.P.
8.000% due 06/15/99 350 356
Tennessee Gas Pipeline Co.
9.000% due 01/15/97 450 456
Time Warner, Inc.
9.625% due 05/01/02 800 882
Transamerica Financial Corp.
9.875% due 01/01/98 775 813
USF&G Corp.
7.000% due 05/15/98 1,150 1,152
Wells Fargo & Co.
8.200% due 11/01/96 100 101
90 Fixed Income II Fund
<PAGE>
FIXED INCOME II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
WMX Technologies, Inc.
6.250% due 04/01/99 $ 725 $ 719
---------
35,473
---------
EURODOLLAR BONDS - 0.3%
Goldman Sachs Group, L.P.
5.000% due 08/23/96 700 699
---------
699
---------
MORTGAGE-BACKED SECURITIES - 9.2%
Federal Home Loan Mortgage Corp.
Participation Certificate
Group # 23-0114 7.375% due 03/01/06 (c) 311 314
Group # 25-1211 6.250% due 06/01/07 208 208
Group # 84-6286 7.681% due 01/01/24 (c) 957 984
Group # 85-0105 9.000% due 09/01/05 351 362
Group # D2-9159 7.500% due 10/01/07 528 534
Group # D3-2311 8.500% due 12/01/17 854 883
Group # G0-0238 8.500% due 07/01/24 1,028 1,063
Group # G5-0258 7.500% due 05/01/00 489 491
Group # G5-0259 7.500% due 03/01/02 223 224
Group # G5-0297 7.500% due 10/01/00 166 167
Group # G5-0307 7.500% due 08/01/00 380 384
Federal National Mortgage Association
Pool # 040063 8.500% due 12/01/08 150 155
Pool # 124622 7.000% due 12/01/99 354 353
Pool # 278545 6.890% due 07/01/24 (c) 951 987
Pool # 303751 8.000% due 10/01/09 1,178 1,213
Government National Mortgage Association
Pool # 002626 7.250% due 01/15/04 274 275
Pool # 007192 7.250% due 05/15/05 142 142
Pool # 007397 7.250% due 07/15/05 136 136
Pool # 008000 7.375% due 06/20/22 (c) 1,807 1,837
Pool # 008144 6.500% due 02/20/23 (c) 688 691
Pool # 008259 7.000% due 08/20/23 (c) 1,233 1,248
Pool # 008334 7.250% due 10/15/05 276 276
Pool # 008348 7.000% due 12/20/23 (c) 1,051 1,066
Pool # 008373 6.500% due 02/20/24 (c) 1,270 1,276
Pool # 174303 9.000% due 11/15/16 368 389
Pool # 393733 9.000% due 03/15/25 231 242
Pool # 780285 9.500% due 11/15/25 775 828
Government National Mortgage Association II
6.500% 30Year TBA (b)(c) 500 501
Resolution Trust Corp.
Series 1995-2 Class C1 7.450% due 05/25/29 311 302
---------
17,531
---------
UNITED STATES GOVERNMENT
AGENCIES - 0.4%
Resolution Funding Corp.
Interest only Strips
Zero Coupon due 10/15/98 850 737
Tennessee Valley Authority
5.980% due 04/01/36 500 501
---------
1,238
---------
UNITED STATES GOVERNMENT
TREASURIES - 41.1%
United States Treasury Notes
5.625% due 01/31/98 175 174
7.250% due 02/15/98 14,150 14,400
5.125% due 02/28/98 18,900 18,622
5.125% due 03/31/98 23,950 23,576
6.125% due 03/31/98 11,750 11,759
5.875% due 04/30/98 460 458
6.125% due 05/15/98 5,500 5,500
5.125% due 11/30/98 1,575 1,537
6.375% due 01/15/99 175 175
6.375% due 05/15/99 4,100 4,109
6.875% due 03/31/00 450 457
---------
80,767
---------
YANKEE BONDS - 1.7%
Ford Capital BV
9.000% due 08/15/98 325 340
Forte PLC
7.750% due 12/19/96 420 423
Household International
5.250% due 10/15/98 1,150 1,114
Ontario, Province of
11.500% due 03/10/13 760 850
Quebec, Province of
13.250% due 09/15/14 450 547
---------
3,274
---------
TOTAL LONG-TERM INVESTMENTS
(cost $177,530) 176,491
---------
OPTIONS PURCHASED - 0.0%
United States Treasury 5 Year Notes
Sep 100 Call 2,350* 21
---------
TOTAL OPTIONS PURCHASED
(cost $13) 21
---------
Fixed Income II Fund 91
<PAGE>
FIXED INCOME II FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
PREFERRED STOCKS - 0.3%
ConAgra Capital LC Series B 14,000 $ 301
Texaco Capital Series B 15,000 321
---------
TOTAL PREFERRED STOCKS
(cost $725) 622
---------
PRINCIPAL
AMOUNT
(000)
---------
SHORT-TERM INVESTMENTS - 9.0%
Centura Banks
6.000% due 04/07/97 $ 875 875
Frank Russell Investment Company
Money Market Fund, due on demand (a) 16,692 16,692
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $17,567) 17,567
---------
TOTAL INVESTMENTS
(identified cost $195,835)(d) - 99.2% 194,701
OTHER ASSETS AND LIABILITIES,
NET - 0.8% 1,571
---------
NET ASSETS - 100.0% $ 196,272
---------
---------
(a) At cost, which approximates market.
(b) Forward commitment. See Note 2.
(c) Adjustable or floating rate securities.
(d) See Note 2 for federal income tax information.
(MTN) Represents Medium Term Note.
* Represents 1 over-the-counter contract.
The accompanying notes are an integral part of the financial statements.
92 Fixed Income II Fund
<PAGE>
FIXED INCOME II FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
ASSETS
Investments at market (identified cost $195,834,668)(Note 2) . . $ 194,700,963
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . 2,403,883
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . 213,973
--------------
197,318,819
LIABILITIES
Payables:
Investments purchased (delayed settlement)(Note 2) $ 504,654
Fund shares redeemed . . . . . . . . . . . . . . . 407,217
Accrued fees to affiliates (Note 4). . . . . . . . 100,570
Other accrued expenses . . . . . . . . . . . . . . 34,687 1,047,128
---------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 196,271,691
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . $ 2,764,985
Accumulated net realized gain (loss) . . . . . . . . . . . . . . (7,329,764)
Unrealized appreciation (depreciation) on investments. . . . . . (1,133,705)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . 106,210
Additional paid-in capital . . . . . . . . . . . . . . . . . . . 201,863,965
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 196,271,691
-------------
-------------
Net asset value,, offering and redemption price per share,
($196,271,691 divided by 10,621,029 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . $18.48
-------------
-------------
The accompanying notes are an integral part of the financial statements.
Fixed Income II Fund 93
<PAGE>
FIXED INCOME II FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,589,671
Dividends from Money Market Fund (Note 5). . . . . . . . . . . 613,026
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . 22,152
-------------
6,224,849
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . $ 479,022
Custodian fees . . . . . . . . . . . . . . . . . 80,171
Transfer agent fees. . . . . . . . . . . . . . . 59,209
Bookkeeping service fees . . . . . . . . . . . . 15,195
Professional fees. . . . . . . . . . . . . . . . 15,159
Registration fees. . . . . . . . . . . . . . . . 23,030
Trustees' fees . . . . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . . . . 9,548 683,798
------------ -------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 5,541,051
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . (1,989,434)
Options written. . . . . . . . . . . . . . . . . . . . . . . . 1,289
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . (1,042,496)
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . (3,030,641)
-------------
Net increase (decrease) in net assets resulting from operations. $ 2,510,410
-------------
-------------
The accompanying notes are an integral part of the financial statements.
94 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, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . $ 5,541,051 $ 10,359,836
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . (1,989,434) (84,433)
Options written. . . . . . . . . . . . . . . . . . . . . . . . 1,289 (12,969)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . (1,042,496) 4,916,070
Options written. . . . . . . . . . . . . . . . . . . . . . . . -- (424)
-------------- --------------
Net increase (decrease) in net assets resulting from operations. . 2,510,410 15,178,080
Distributions to shareholders from net investment income . . . . . (3,185,518) (10,433,057)
Increase (decrease) in net assets from Fund share transactions . . 13,369,733 34,801,870
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . 12,694,625 39,546,893
Net assets at beginning of period. . . . . . . . . . . . . . . . . 183,577,066 144,030,173
-------------- --------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $2,764,985 and $409,452, respectively). . . . . . . . . . . . $ 196,271,691 $ 183,577,066
-------------- --------------
-------------- --------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
---------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
FUND SHARE TRANSACTIONS
Fund shares sold . . . . . . . . . . . . 2,105,374 $ 38,932,727 5,221,430 $ 96,387,044
Fund shares issued to shareholders
in reinvestments of distributions. . . 143,506 2,637,532 498,074 9,137,877
Fund shares redeemed . . . . . . . . . . (1,525,874) (28,200,526) (3,831,364) (70,723,051)
------------ ------------ ------------ ------------
Net increase (decrease). . . . . . . . . 723,006 $ 13,369,733 1,888,140 $ 34,801,870
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Fixed Income II Fund 95
<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>
1996* 1995 1994 1993 1992 1991
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . $ 18.55 $ 17.98 $ 18.99 $ 18.56 $ 19.68 $ 18.94
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . 0.53 1.16 1.21 .84 1.35 1.52
Net realized and unrealized gain (loss) on investments . . . (0.29) .59 (1.07) .44 (.83) .72
-------- -------- -------- -------- -------- --------
Total Income From Investment Operations. . . . . . . . . . . 0.24 1.75 .14 1.28 .52 2.24
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . (0.31) (1.18) (1.15) (.71) (1.36) (1.50)
Net realized gain on investments . . . . . . . . . . . . . . -- -- -- -- (.28) --
Tax return of capital. . . . . . . . . . . . . . . . . . . . -- -- -- (.14) -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . (0.31) (1.18) (1.15) (.85) (1.64) (1.50)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . $ 18.48 18.55 17.98 $ 18.99 $ 18.56 $ 19.68
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a)(c) . . . . . . . . . . . . . . . . . . . . 1.30 9.95 .82 6.98 2.74 12.31
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b)(c). . . . . . . 0.71 .58 .19 .16 .19 .13
Net investment income to average net assets (b)(c) . . . . . 5.77 6.41 6.52 6.16 7.21 8.06
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . 338.97 269.31 233.75 229.07 330.58 188.30
Net assets, end of period ($000 omitted) . . . . . . . . . . 196,272 183,577 144,030 138,619 182,735 156,685
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net of
investment management fees but gross of any investment services fees. See
Note 4.
96 Fixed Income II Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
LONG-TERM INVESTMENTS - 90.4%
ASSET-BACKED SECURITIES - 6.1%
American Airlines, Inc. Series 1990-P
10.600% due 03/04/09 $ 1,013 $ 1,223
CIT RV Grantor Trust
Series 1994-A Class A
4.900% due 07/15/09 858 833
Cityscape Home Equity Loan Trust
Pass-thru Certificate
Series 1996-2 Class A2
7.200% due 08/25/26 850 849
Drexel Burnham Lambert CMO Trust
8.900% due 06/01/16 108 108
Equicon Home Equity Loan Trust
Series 1993-1 Class A
5.850% due 11/18/12 37 37
Fleetwood Credit Corp. Grantor Trust
Series 1994-B Class A
6.750% due 03/15/10 515 511
Fund America Investors Corp. II
Pass-thru Certificate
Series 1993-F Class A-1
5.400% due 09/25/09 145 138
Goldman Sachs Mortgage
Securities Corp. II
Series 1996 Class A1
7.020% due 02/15/27 (c) 397 394
Green Tree Financial Corp.
Series 1995-A Class A
7.250% due 07/15/05 394 393
Series 1995-5 Class A3
6.250% due 10/15/25 600 591
Series 1995-6 Class A3
6.650% due 11/15/25 900 889
Series 1995-7 Class A2
6.150% due 11/15/25 1,150 1,143
Series 1995-8 Class A2
6.150% due 12/15/26 (c) 950 943
Green Tree Securitized Net Interest
Series 1994-A Class A
6.900% due 02/15/04 446 441
Greenwich Capital Acceptance, Inc.
Series 1994 Class A-1
8.110% due 11/25/24 (c) 816 829
Kearny Street Real Estate, L.P.
Series 1995-1 Class B
6.600% due 10/15/02 (c) 429 429
Prudential Home Mortgage Securities Co.
Mortgage Pass-thru Series 189
10.000% due 11/01/19 28 29
Series 1992-51 Class A-8
8.000% due 02/25/23 500 509
Resolution Trust Corp.
Mortgage Pass-thru Certificates
Series 1994-1 Class M-2
7.750% due 09/25/29 $ 438 $ 428
Series 1995-C1 Class C
6.900% due 02/25/27 (c) 300 280
Series 1995-1 Class 2-C
7.500% due 10/25/28 (c) 322 320
Salomon Brothers Mortgage
Securities VII, Inc.
Mortgage Pass-thru Certificate
Series 1994-16
7.890% due 11/25/24 (c) 1,161 1,188
Structured Asset Securities Corp.
Mortgage Pass-thru Certificates
Series 1996-CFL Class A1C
5.944% due 02/25/28 470 451
Series 1996-CFL Class C
6.525% due 02/25/28 300 285
The Money Store Home Equity Loan Trust
Series 1996-A Class A5
6.850% due 06/15/19 800 787
Series 1996-B Class A5
7.180% due 12/15/14 825 825
UCFC Home Equity Loan Trust
Series 1994-B Class A-6
7.100% due 06/10/23 238 239
Union Acceptance Corp.
Series 1995-D Class A
5.965% due 01/07/03 1,099 1,087
--------
16,179
--------
CORPORATE BONDS AND NOTES - 23.1%
AT&T Capital Corp. (MTN)
6.030% due 10/27/97 1,050 1,048
Acme Metals, Inc. Step Up Bond
13.500% due 08/01/04 (c) 370 337
Adelphia Communications Corp.
PIK Series B
9.500% due 02/15/04 471 392
ADT Operations, Inc.
8.250% due 08/01/00 375 381
Advanta National Bank
6.450% due 10/30/00 825 802
AK Steel Corp.
10.750% due 04/01/04 700 754
American Airlines Class A-1
9.710% due 01/02/07 367 406
American Standard, Inc.
10.875% due 05/15/99 375 398
Fixed Income III fund 97
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
AMR Corp. (MTN)
9.950% due 03/07/01 $ 1,000 $ 1,104
Anchor Bancorp, Inc.
8.937% due 07/09/03 150 148
Arkla, Inc. (MTN)
8.780% due 07/19/96 1,000 1,001
Armco, Inc.
9.375% due 11/01/00 265 257
Banesto Delaware, Inc.
8.250% due 07/28/02 1,000 1,034
BellSouth Telecommunications, Inc.
5.850% due 11/15/45 1,100 1,070
Berkeley Federal Bank & Trust
12.000% due 06/15/05 325 336
Cablevision Industries Co.
9.250% due 04/01/08 380 390
Capital One Bank
5.950% due 02/15/01 475 452
Capital One Bank (MTN)
8.125% due 03/01/00 325 336
6.875% due 04/24/00 400 397
Chelsea GCA Realty, Inc.
7.750% due 01/26/01 550 536
Chevy Chase Savings Bank
9.250% due 12/01/05 500 480
Citicorp (MTN)
6.750% due 10/15/07 380 361
Clark Oil & Refining Corp.
9.500% due 09/15/04 200 204
Cleveland Electric Illum Co.
9.375% due 03/01/17 1,000 925
Cleveland Electric Illum Co. (MTN)
9.110% due 07/22/96 1,000 1,001
Cleveland Electric Illum Co. Series B
9.500% due 05/15/05 130 128
CMS Energy Corp.
9.500% due 10/01/97 (c) 1,000 1,025
Coast Federal Bank
13.000% due 12/31/02 250 272
Coast Savings Financial, Inc.
10.000% due 03/01/00 275 282
Comcast Corp.
9.125% due 10/15/06 475 448
Comdisco, Inc.
5.750% due 02/15/01 250 239
CTC Mansfield Funding Corp.
10.250% due 03/30/03 997 1,018
Delta Air Lines, Inc.
10.375% due 02/01/11 330 393
Dime Bancorp, Inc.
10.500% due 11/15/05 395 427
EnviroSource, Inc.
9.750% due 06/15/03 $ 570 $ 519
ERAC USA Finance Co. (MTN)
6.350% due 01/15/01 800 780
ERP Operating, L.P.
8.500% due 05/15/99 425 439
Exide Corp.
10.750% due 12/15/02 250 255
10.000% due 04/15/05 300 293
Exide Corp. Step Up Bond
12.250% due 12/15/04 (c) 580 476
Falcon Holdings Group, L.P. PIK Series B
11.000% due 09/15/03 448 407
Federal Realty Investment Trust
8.875% due 01/15/00 725 761
First Nationwide Holdings, Inc.
12.250% due 05/15/01 425 465
12.500% due 04/15/03 1,785 1,865
First USA Bank
5.850% due 02/22/01 475 449
Ford Motor Credit Co.
6.850% due 08/15/00 600 597
Gaylord Container Corp. Step Up Bond
12.750% due 05/15/05 (c) 165 174
General Motors Acceptance Corp.
6.900% due 06/06/00 280 281
General Motors Acceptance Corp. (MTN)
5.670% due 07/19/96 (c) 2,000 2,000
7.375% due 04/15/99 1,000 1,019
6.625% due 04/24/00 600 597
Goldman Sachs Group, L.P.
6.375% due 06/15/00 1,050 1,023
Goldman Sachs Group, L.P. (MTN)
6.250% due 02/01/03 550 520
Hanson America, Inc. (conv.)
2.390% due 03/01/01 1,025 871
Healthsouth Rehabilitation Corp.
9.500% due 04/01/01 775 800
Hills Stores Co.
12.500% due 07/01/03 660 647
Homeside, Inc.
11.250% due 05/15/03 375 386
Inland Steel Co. Series T
12.000% due 12/01/98 475 513
Koppers Industries, Inc.
8.500% due 02/01/04 550 517
Loewen Group International, Inc.
Series I
7.500% due 04/15/01 800 778
Long Island Lighting Co.
9.000% due 11/01/22 690 633
Merrill Lynch & Co., Inc.
6.000% due 01/15/01 700 675
98 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
Morgan Stanley Group, Inc.
Series C (MTN)
6.500% due 03/30/01 $ 800 $ 781
Nabisco, Inc.
8.000% due 01/15/00 2,000 2,067
New England Mutual Life Insurance Co.
7.875% due 02/15/24 400 388
News America Holdings, Inc.
8.875% due 04/26/23 375 389
7.700% due 10/30/25 325 299
Niagara Mohawk Power Corp.
5.875% due 09/01/02 260 218
7.375% due 08/01/03 400 356
NWA Trust
13.875% due 06/21/08 90 106
Owens-Illinois, Inc.
11.000% due 12/01/03 700 753
PDV America, Inc.
7.875% due 08/01/03 830 800
Peters (JM), Co.
12.750% due 05/01/02 280 262
Pueblo Xtra International
9.500% due 08/01/03 255
225
Riggs National Corp.
9.650% due 06/15/09 875 963
Safeway, Inc.
10.000% due 12/01/01 400 435
Salomon, Inc.
9.375% due 04/15/98 250 259
6.700% due 12/01/98 450 449
7.125% due 08/01/99 425 426
7.750% due 05/15/00 500 509
Smith Barney Holdings, Inc.
7.980% due 03/01/00 325 336
Stone Container Corp.
9.875% due 02/01/01 1,025 994
Summit Communications Group, Inc.
10.500% due 04/15/05 560 605
Swiss Bank Corp.
6.750% due 07/15/05 420 405
Taubman Realty Group, L.P.
8.000% due 06/15/99 450 458
Tenneco, Inc.
7.250% due 12/15/25 765 712
Time Warner, Inc.
6.460% due 08/15/00 (c) 625 631
7.975% due 08/15/04 375 373
8.110% due 08/15/06 750 745
8.180% due 08/15/07 750 747
9.125% due 01/15/13 575 601
9.150% due 02/01/23 675 698
6.850% due 01/15/26 2,080 1,992
Toledo Edison Co.
8.700% due 09/01/02 $ 500 $ 459
Toledo Edison Co. (MTN)
8.000% due 12/31/98 500 488
Transco Energy Co.
9.375% due 08/15/01 500 549
U.S. West Communications, Inc.
7.200% due 11/10/26 400 368
UCC Investors Holding, Inc.
Step Up Bond
12.000% due 05/01/05 (c) 230 189
United Companies Financial Corp.
9.350% due 11/01/99 375 394
United Technologies Corp.
8.875% due 11/15/19 170 193
USF&G Corp.
8.375% due 06/15/01 250 263
Viacom, Inc.
7.750% due 06/01/05 1,425 1,389
Wellsford Residential Property Trust
9.375% due 02/01/02 475 509
--------
61,305
--------
EURODOLLAR BONDS - 2.2%
Argentina, Republic of Series L
6.3125% due 03/31/05 (c) 1,980 1,547
Auxiliaire Du Cred
5.332% due 09/25/02 (c) 290 262
Bulgaria, Republic of Series A
6.250% due 07/28/24 (c) 550 285
Credit Fonc France
8.000% due 01/14/02 655 662
Credit Lyonnais
6.625% due 09/19/49 (f) 230 217
Fifth Mexican Acceptance Corp.Class A
8.000% due 12/15/98 800 264
Hong Kong & Shanghai Bank
5.563% due 08/29/49 (f) 625 529
Indah Kiat Paper & Pulp
8.875% due 11/01/00 325 312
Mexico (United Mexican States)
6.398% due 12/31/19 (c) 2,000 1,573
Midland Bank
5.750% due 12/31/99 (f) 60 51
--------
5,702
--------
MORTGAGE-BACKED SECURITIES - 24.3%
Asset Securitization Corp.
Series 1995-MD4 Class A1
7.100% due 08/13/29 694 673
Fixed Income III Fund 99
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
Collateralized Mortgage Securities Corp.
Series J Class J-5 CMO
7.985% due 05/01/17 $ 1,545 $ 1,540
FDIC REMIC Trust
Series 1994-C1 Class 2A-2
7.850% due 09/25/25 491 496
Federal Home Loan Mortgage Corp.
6.000% 5 Year TBA (e) 525 514
7.000% 7 Year TBA (e) 1,900 1,895
6.500% 30 Year TBA (e) 2,000 1,873
8.500% 30 Year TBA (e) 1,000 963
Federal Home Loan Mortgage Corp.
Participation Certificates
Group #17-0214 8.500% due 02/01/17 1,568 1,625
Group #D6-3632 7.000% due 09/01/25 1,623 1,562
Group #D6-9873 6.500% due 04/01/26 781 731
Group #G0-0453 6.500% due 03/01/26 504 472
Federal Home Loan Mortgage Corp.
Participation Certificates
Series 1014 Class E
7.950% due 02/15/20 1,071 1,091
Series 1037 Class Z
9.000% due 02/15/21 1,601 1,676
Series 1754 Class A
8.500% due 09/15/20 3,102 3,172
Federal National Mortgage Association
Pool #124032 10.000% due 02/01/05 431 456
Pool #250329 7.000% due 08/01/25 288 277
Pool #265289 7.000% due 05/01/24 92 89
Pool #265560 7.548% due 01/01/24 (c) 2,269 2,310
Pool #275296 7.000% due 07/01/24 476 458
Pool #280365 7.000% due 05/01/24 694 670
Pool #303016 6.000% due 10/01/01 1,299 1,252
Pool #303555 7.000% due 09/01/25 2,134 2,052
Pool #307564 7.000% due 06/01/25 854 822
Pool #312494 7.000% due 07/01/25 438 421
Pool #316651 7.000% due 08/01/25 1,981 1,906
Pool #316681 7.000% due 07/01/25 905 871
Pool #317262 7.000% due 07/01/25 348 335
Pool #319580 7.000% due 08/01/25 117 112
Pool #319640 7.000% due 08/01/25 451 434
Pool #324205 7.000% due 09/01/25 741 713
Pool #331928 6.500% due 01/01/26 51 48
Pool #334652 6.500% due 01/01/26 858 802
Pool #338417 6.500% due 05/01/26 25 24
Pool #343084 6.500% due 04/01/26 776 726
Pool #343809 6.500% due 04/01/26 1,009 944
Federal National Mortgage Association
7.000% 15 Year TBA (e) 2,500 2,466
REMIC Trust Series 1994-79 Class Z
7.000% due 04/25/24 2,891 2,486
Government National Mortgage Association
Pool #008288 7.250% due 09/20/23 (c) $ 738 $ 748
Pool #008302 7.000% due 10/20/23 (c) 1,200 1,214
Pool #008346 7.000% due 12/20/23 (c) 847 859
Pool #008528 7.000% due 10/20/24 (c) 2,896 2,940
Pool #146513 7.000% due 05/15/16 504 533
Pool #147482 7.000% due 04/15/16 302 320
Pool #159768 7.000% due 07/15/16 488 516
Pool #159949 7.000% due 09/15/16 492 521
Pool #183723 7.000% due 12/15/16 99 104
Pool #297864 7.000% due 10/15/21 109 114
Pool #330255 7.000% due 07/15/23 80 79
Pool #342022 7.000% due 05/15/23 87 86
Pool #345644 7.000% due 03/15/24 81 80
Pool #346746 7.000% due 09/15/23 569 548
Pool #348193 7.500% due 07/15/23 530 524
Pool #352050 7.000% due 10/15/23 457 440
Pool #352129 9.000% due 08/15/24 565 591
Pool #360592 7.500% due 07/15/25 438 431
Pool #361036 7.500% due 07/15/23 119 118
Pool #369166 7.500% due 10/15/23 316 313
Pool #372591 7.500% due 11/15/23 485 480
Pool #373789 7.500% due 10/15/23 386 382
Pool #376352 7.500% due 12/15/23 424 419
Pool #380708 9.000% due 01/15/25 179 188
Pool #380893 7.500% due 03/15/24 364 360
Pool #385312 9.000% due 11/15/24 531 556
Pool #389622 9.000% due 10/15/24 340 356
Pool #394467 7.500% due 08/15/25 132 131
Pool #403241 9.000% due 02/15/25 455 476
Pool #403995 9.000% due 11/15/24 56 59
Pool #417192 7.000% due 01/15/26 2,437 2,336
Pool #418666 7.500% due 09/15/25 556 548
Pool #780023 7.000% due 09/15/24 5 5
Pool #780029 9.000% due 11/15/24 349 370
Government National Mortgage Association
7.000% 30 Year TBA (e) 5,000 4,794
9.000% 30 Year TBA (e) 775 811
Merrill Lynch Mortgage Investors, Inc.
Series 1995-C2 Class D
8.270% due 06/15/21 (c) 747 747
PaineWebber Mortgage Acceptance Corp. IV
Series 1995-M1 Class A
6.700% due 01/15/07 720 700
Ryland Mortgage Securities Corp. CMO
Series 1993-8 Class A
7.810% due 09/25/23 (c) 747 758
-------- --------
64,512
--------
100 Fixed Inoome III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
MUNICIPAL BONDS - 0.5%
Atlanta Water & Sewer Revenue
4.750% due 01/01/23 $ 350 $ 292
Chicago, Illinois Water Revenue
5.000% due 11/01/20 310 271
Salt River Project, Arizona
Agricultural Improvement
& Power District Series B
5.250% due 01/01/19 290 265
South Carolina, Public Service Authority
Series C
5.000% due 01/01/25 650 561
--------
1,389
--------
NON-US BONDS - 1.5%
Canada, Government of
8.750% due 12/01/05 CAD 1,000 788
Cemex SA (MTN)
8.500% due 08/31/00 $ 1,000 937
937
Companhia Petroleo Ipiranga
8.625% due 02/25/02 (c) 650 646
Italy, Republic of
6.875% due 09/27/23 645 582
Poland, Government of
6.4375% due 10/27/24 (c) 425 396
Skandinaviska Enskilda Banken
6.625% due 03/29/49 (f) 825 792
--------
4,141
--------
UNITED STATES GOVERNMENT AGENCIES - 0.5%
Tennessee Valley Authority
6.235% due 07/15/45 1,100 1,083
Tennessee Valley Authority
5.980% due 04/01/36 430 431
--------
1,514
--------
UNITED STATES GOVERNMENT TREASURIES - 28.7%
United States Treasury Bonds
7.500% due 11/15/16 2,250 2,364
8.125% due 08/15/19 2,510 2,817
8.750% due 08/15/20 2,350 2,811
7.875% due 02/15/21 9,135 10,021
United States Treasury Bond
Principal Only Strips
Zero Coupon due 05/15/18 2,025 428
Zero Coupon due 11/15/18 (h) 3.125 639
United States Treasury Notes
5.875% due 07/31/97 $ 20,000 $ 20,006
5.625% due 01/31/98 (h) 2,925 2,907
5.375% due 05/31/98 2,350 2,319
6.750% due 05/31/99 1,750 1,770
7.750% due 11/30/99 9,510 9,902
6.125% due 09/30/00 5,000 4,941
6.250% due 04/30/01 1,175 1,164
6.250% due 02/15/03 1,375 1,351
5.875% due 02/15/04 2,825 2,700
7.250% due 05/15/04 3,505 3,631
7.500% due 02/15/05 4,450 4,682
United States Treasury Note
Principal Only Strip
Zero Coupon due 11/15/99 650 526
United States Treasury Bond
Interest Only Strips
Zero Coupons due 08/15/08 1,750 761
Zero Coupons due 02/15/19 2,050 411
--------
76,151
--------
YANKEE BONDS - 3.5%
Argentina, Republic of
5.250% due 03/31/23 (c) 975 535
Bombril SA
8.000% due 08/26/98 400 379
Brazil, Federal Republic of
6.375% due 01/01/01 (c) 465 435
Colombia, Republic of
7.250% due 02/23/04 270 246
Den Norske Creditbank AS
5.750% due 11/30/49 (f) 250 205
Doman Industries, Ltd.
8.750% due 03/15/04 500 450
Domtar, Inc.
11.750% due 03/15/99 200 220
12.000% due 04/15/01 500 583
Fresh Delmonte Produce
Series B
10.000% due 05/01/03 250 233
Lloyds Bank
5.688% due 12/31/99 (f) 290 250
Methanex Corp.
7.750% due 08/15/05 900 884
Mexico (United Mexican States)
6.250% due 12/31/19 500 323
6.453% due 12/31/19 (c) 1,000 786
Rogers Cantel, Inc.
9.375% due 06/01/08 800 776
Fixed Income III Fund 101
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
Santander Finnish Issuances
6.525% due 09/30/49 (c) $ 500 $ 491
St. George Bank, Ltd.
7.150% due 10/01/05 745 750
Telewest Communications PLC Step Up Bond
11.000% due 10/01/07 (c) 1,725 1,018
Tembec Finance Corp.
9.875% due 09/30/05 700 651
Videotron Holdings PLC Step Up Bond
11.000% due 08/15/05 (c) 210 134
--------
9,349
--------
TOTAL LONG-TERM INVESTMENTS
(cost $242,737)
240,242
--------
OPTIONS PURCHASED - 0.0%
United States Treasury 30 Year Bonds (a)
Jul 86.06 Put 850* 2
Jul 86.03 Put 850* 3
--------
TOTAL OPTIONS PURCHASED
(cost $28) 5
--------
NUMBER
OF
SHARES
------
PREFERRED STOCKS - 0.7%
Australia & New Zealand Banking Group, 7,200 190
California Federal Bank of Los Angeles 4,500 493
Credit Lyonnais Capital S.C.A. - ADR 3,500 78
Lasalle National Corp. 3,000 157
Newscorp Overseas, 10,000 225
Texaco Capital 4,000 85
Time Warner, Inc. 500 483
Wellsford Residential Property Trust 5,600 139
--------
TOTAL PREFERRED STOCKS
(cost $1,874) 1,850
--------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
SHORT-TERM INVESTMENTS - 11.9%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 31,019 $ 31,019
United States Treasury Bills (g)(i)
4.950% due 08/29/96 (b) 110 110
4.955% due 08/29/96 (b) 75 74
5.010% due 10/17/96 135 133
5.145% due 10/17/96 155 152
5.115% due 10/24/96 20 20
5.175% due 11/14/96 120 118
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $31,508) 31,626
--------
TOTAL INVESTMENTS
(identified cost $276,146)(d) - 103.0% 273,723
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (3.0%) (8,008)
--------
NET ASSETS - 100.0% $ 265,715
--------
--------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Adjustable or floating rate security.
(d) See Note 2 for federal income tax information.
(e) Forward Commitment. See Note 2.
(f) Perpetual floating rate note.
(g) Held as collateral by the custodian in connection with futures contracts
purchased by the Fund.
(h) Held by the Fund to cover put options written.
(i) Rate noted is yield-to-maturity.
(MTN) Represents Medium Term Note.
* Represents 1 over-the-counter contract.
102 Fixed Icome III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER UNREALIZED
OF APPRECIATION
CONTRACTS (DEPRECIATION)
(000)
--------- --------------
FUTURES CONTRACTS
(Notes 2 and 3)
United States Treasury 10 Year Note
Futures Contracts
expiration date 09/96 256 $ 290
United States Treasury 30 Year Note
Futures Contracts
expiration date 09/96 95 219
--------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (Section) $ 509
--------
--------
(Section) At June 30, 1996, United States Treasury Bills valued at $607 were
held as collateral by the custodian in connection with futures
contracts purchased by the Fund.
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
PUT OPTIONS WRITTEN
(Notes 2 and 3)
United States Treasury 10 Year Notes
strike price 99.19
expiration date 07/96 $ 1,488* $ 5
United States Treasury 10 Year Notes
strike price 99.20
expiration date 07/96 1,488* 4
Eurodollar Financial Futures Contracts
strike price 93.00
expiration date 03/97 20,000** 5
--------
Total Liability for Put Options Written
(premiums received $45)(++) $ 14
--------
--------
(++) At June 30, 1996, United States Treasury securities valued at $1,403 were
held by the Fund to cover put options written.
* Represents 1 over-the-counter contract.
** Represents 20 contracts.
FOREIGN CURRENCY EXCHANGE CONTRACTS
(Note 2)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- ---------------- --------------- ---------------- -----------------
CAD 1,000 USD 736 03/06/97 $ --
The accompanying notes are an integral part of the financial statements.
Fixed Income III Fund 103
<PAGE>
FIXED INCOME III FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at market (identified cost $276,145,810) (Note 2). . . . . . . . . . . $ 273,722,665
Closed forward foreign currency exchange contracts (Note 2). . . . . . . . . . . . 367,390
Forward foreign currency exchange contracts (cost $735,781) (Note
2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 735,781
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,973,630
Investments sold (regular settlement). . . . . . . . . . . . . . . . . . . . . 41,686
Investments sold (delayed settlement)(Note 2). . . . . . . . . . . . . . . . . 1,191,999
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 771,345
Daily variation margin on futures contracts (Note 2) . . . . . . . . . . . . . 290,875
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . 9,557
------------
281,104,928
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
LIABILITIES
Payables:
Investments purchased (delayed settlement)(Note 2) . . . . . . . $ 14,366,823
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . 106,287
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . 135,124
Other accrued expenses . . . . . . . . . . . . . . . . . . . . 31,984
Forward foreign currency exchange contracts
(Cost $735,781) (Note 2) . . . . . . . . . . . . . . . . . . . 735,536
Options written, at market value, . . . . . . . . . . . . . . . . .
(Premiums received $45,093) (Note 2) . . . . . . . . . . . . . 14,427 15,390,181
---------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 265,714,747
------------
------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . $ 4,134,171
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . (4,993,541)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,423,145)
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 508,618
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,666
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . 247
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . 263,057
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . 268,194,674
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 265,714,747
------------
------------
Net asset value, offering and redemption price per share
($265,714,747 divided by 26,305,739 shares of $.01 par value
Shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . $10.10
------------
------------
</TABLE>
The accompanying Notes are an integral part of the financial Statements.
104 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,699,771
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . 1,328,474
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,633
------------
9,085,878
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
Expenses (notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 704,568
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . 95,548
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . 60,591
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . 17,795
Professional fees. . . . . . . . . . . . . . . . . . . . . . . 14,138
Registration fees. . . . . . . . . . . . . . . . . . . . . . . 28,544
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . 2,465
Amortization of deferred organization expenses . . . . . . . . 3,036
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . 10,979 937,664
----------- ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,148,214
------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
REALIZED AND UNREALIZED,
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3),
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,024,368)
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,933,163)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,536
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . 422,633
Net change in unrealized appreciation or depreciation of:,
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (7,490,846)
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 201,016
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,605
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . 14,295
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . (9,779,292)
------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . $ (1,631,078)
------------
------------
</TABLE>
The accompanying Notes are an integral part of the financial statements.
Fixed Income III Fund 105
<PAGE>
FIXED INCOME III FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . $ 8,148,214 $ 13,968,646
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . (1,024,368) 578,603
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (1,933,163) 3,037,656
Options written. . . . . . . . . . . . . . . . . . . . . . . . 6,536 379,327
Foreign currency-related transactions. . . . . . . . . . . . . 422,633 242,339
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . (7,490,846) 14,808,353
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . 201,016 315,992
Options written. . . . . . . . . . . . . . . . . . . . . . . . 24,605 43,948
Foreign currency-related transactions. . . . . . . . . . . . . 14,295 (14,048)
----------- -----------
Net increase (decrease) in net assets resulting from operations. . . (1,631,078) 33,360,816
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (4,080,680) (14,094,063)
Increase (decrease) in net assets from Fund share transactions . . 18,961,692 66,578,025
----------- -----------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . 13,249,934 85,844,778
Net assets at beginning of period. . . . . . . . . . . . . . . . . 252,464,813 166,620,035
----------- -----------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $4,134,171 and $66,680, respectively) . . . . . . . . . . . . . $ 265,714,747 $252,464,813
----------- -----------
----------- -----------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
FUND SHARE TRANSACTIONS ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . 5,959,333 $60,625,875 10,309,335 $102,755,822
Fund shares issued to shareholders
in reinvestments of distributions . . 384,498 3,868,041 1,373,663 13,707,352
Fund shares redeemed . . . . . . . . . (4,465,922) (45,532,224) (5,030,481) (49,885,149)
--------- ---------- ---------- ----------
Net increase (decrease). . . . . . . . 1,877,909 $18,961,692 6,652,517 $ 66,578,025
--------- ---------- ---------- ----------
--------- ---------- ---------- ----------
</TABLE>
The accompanying Notes are an integral part of the financial statements.
106 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>
1996* 1995 1994 1993++
-------- -------- -------- --------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . $ 10.34 $ 9.37 $ 10.44 $ 10.00
-------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . .32 .67 .66 .49
Net realized and unrealized gain (loss) on investments . . . . . (.39) .97 (1.07) .52
-------- -------- -------- --------
Total Income From Investment Operations. . . . . . . . . . . . . . . (.07) 1.64 (.41) 1.01
-------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (.17) (.67) (.66) (.48)
Net realized gain on investments . . . . . . . . . . . . . . . . -- -- -- (.08)
In excess of net realized gain on investments. . . . . . . . . . -- -- (.00) (.01)
-------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . (.17) (.67) (.66) (.57)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . $ 10.10 $ 10.34 $ 9.37 $ 10.44
-------- -------- -------- --------
-------- -------- -------- --------
TOTAL RETURN (%)(a)(c) . . . . . . . . . . . . . . . . . . . . . . . (.70) 17.99 (3.89) 10.22
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c). . . . . . .73 .61 .20 .20
Operating expenses, gross, to average net assets (b)(c). . . . . .73 .61 .20 .40
Net investment income to average net assets (b)(c) . . . . . . . 6.34 6.83 7.02 6.30
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 147.35 141.37 134.11 181.86
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 265,715 252,465 166,620 124,234
Per share amount of fees waived ($ omitted). . . . . . . . . . . -- -- -- .0003
Per share amount of fees reimbursed ($ omitted). . . . . . . . . -- -- -- .0154
</TABLE>
* For the six months ended June 30, 1996 (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, 1996 and December 31, 1993 are
annualized.
(c) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net of
investment management fees but gross of any investment services fees. See
Note 4.
Fixed Income III Fund 107
<PAGE>
This page intentionally left blank.
<PAGE>
MONEY MARKET FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- -------- --------- ---------
<S> <C> <C> <C> <C>
BANKERS ACCEPTANCE - 1.8%
Seattle First National Bank $ 10,000 5.310% 08/20/96 $ 9,926
---------
TOTAL BANKERS ACCEPTANCE (cost $9,926) 9,926
---------
YANKEE CERTIFICATES OF DEPOSIT - 13.7%
Bank of Tokyo 6,000 5.520 11/25/96 6,000
Bayerische Vereinsbank 25,000 5.340 03/24/97 25,000
Canadian Imperial Bank 15,000 5.430 07/25/96 15,000
Dresdner Bank 5,000 5.850 05/06/97 4,998
Landesbank Hessen Thuringen 25,000 5.350 03/31/97 25,000
---------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (cost $75,998) 75,998
---------
CORPORATE BONDS AND NOTES - 14.6%
Ford Motor Credit Co. 2,450 7.875 01/15/97 2,478
Ford Motor Credit Co. 3,675 9.500 05/30/97 3,791
General Electric Capital Corp. MTN 11,000 7.780 12/30/96 11,112
General Motor Acceptance Corp. MTN (a) 1,500 5.670 07/19/96 1,500
General Motor Acceptance Corp. MTN 10,000 7.500 02/28/97 10,102
Goldman Sachs Group L.P. (a) 25,000 5.330 08/26/96 25,000
Merrill Lynch & Co., Inc. (a) 25,000 5.400 04/28/97 24,996
Norwest Corp. MTN 2,000 7.875 01/30/97 2,024
---------
TOTAL CORPORATE BONDS AND NOTES (cost $81,003) 81,003
---------
DOMESTIC COMMERCIAL PAPER - 30.1%
Associates Corp. of North America 26,600 5.583 07/01/96 26,600
Beta Finance, Inc. 12,500 5.370 10/10/96 12,312
Bishopsgate 18,000 5.405 07/19/96 17,951
Briarcliff Capital Corp. 10,274 5.400 07/11/96 10,259
Centric Funding Corp. 10,000 5.340 07/08/96 9,990
Centric Funding Corp. 10,000 5.350 07/03/96 9,997
Ford Motor Credit Co. 22,000 5.380 07/19/96 22,000
General Electric Capital Corp. (a) 20,000 5.430 02/21/97 20,000
General Motors Acceptance Corp. 5,000 5.600 12/19/96 4,867
General Motors Acceptance Corp. 15,000 5.420 08/19/96 14,889
Redwood Receivable Corp. 5,000 5.370 07/03/96 4,999
Redwood Receivable Corp. 12,615 5.380 07/11/96 12,595
---------
TOTAL DOMESTIC COMMERCIAL PAPER (cost $166,459) 166,459
---------
YANKEE COMMERCIAL PAPER - 7.5%
Banco de Columbia 26,600 5.652 07/01/96 26,600
Nacional Financiera 15,000 5.300 07/02/96 14,998
---------
TOTAL YANKEE COMMERCIAL PAPER (cost $41,598) 41,598
---------
</TABLE>
Money Market Fund 109
<PAGE>
MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- -------- --------- ---------
<S> <C> <C> <C> <C>
EURODOLLAR TIME DEPOSITS - 18.5%
Bank of Tokyo Mitsubishi $ 20,000 5.687% 10/24/96 $ 20,000
Bank of Tokyo Mitsubishi 4,700 5.500 08/01/96 4,700
Dai Ichi Kangyo 25,000 5.625 07/01/96 25,000
Industrial Bank of Japan 11,768 5.625 07/01/96 11,768
Sumitomo Bank 10,000 5.438 07/01/96 10,000
Sumitomo Bank 21,000 5.500 07/08/96 21,000
Toronto Dominion Bank 10,000 5.950 06/05/97 10,000
---------
TOTAL EURODOLLAR TIME DEPOSITS (cost $102,468) 102,468
---------
UNITED STATES GOVERNMENT AGENCIES - 9.1%
Aid to Chile Guaranteed Note (a) 13,991 5.937 06/01/05 14,006
Aid to INH Portugal Guaranteed Note (a) 12,500 5.981 12/01/17 12,729
Federal Farm Credit Bank 3,000 5.350 05/12/97 2,988
Federal Home Loan Bank 8,900 5.250 02/07/97 8,900
Federal National Mortgage Association MTN (a) 12,000 5.400 04/04/97 11,968
---------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $50,591) 50,591
---------
UNITED STATES GOVERNMENT TREASURIES - 4.6%
United States Treasury Notes 10,000 6.625 03/31/97 10,075
United States Treasury Notes 15,000 8.500 04/15/97 15,316
---------
TOTAL UNITED STATES GOVERNMENT TREASURIES (cost $25,391) 25,391
---------
TOTAL INVESTMENTS (amortized cost $553,434)(b) - 99.9% 553,434
OTHER ASSETS AND LIABILITIES, NET - 0.1% 769
---------
NET ASSETS - 100.0% $ 554,203
---------
---------
</TABLE>
* 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.
The accompanying notes are an integral part of the financial statements.
110 Money Market Fund
<PAGE>
MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . $ 553,433,754
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,590,828
--------------
557,024,582
LIABILITIES
Payables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,738,760
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . . 1,442
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . 81,380 2,821,582
------------- --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 554,203,000
--------------
--------------
NET ASSETS CONSIST OF:
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,542,030
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 548,660,970
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 554,203,000
--------------
--------------
Net asset value, offering and redemption price per share,
($554,203,000 divided by 554,203,000 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 111
<PAGE>
MONEY MARKET FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 16,799,950
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . $ 759,368
Custodian fees . . . . . . . . . . . . . . . . 81,361
Professional fees. . . . . . . . . . . . . . . 8,645
Registration fees. . . . . . . . . . . . . . . 34,274
Trustees' fees . . . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . . . 1,586
------------
Expenses before waiver . . . . . . . . . . . . 887,698
Expenses waived by Manager (Note 4). . . . . . (759,368) 128,330
------------ -------------
Net investment income. . . . . . . . . . . . . . . . . . . . . 16,671,620
-------------
Net increase in net assets resulting from operations . . . . . $ 16,671,620
-------------
-------------
The accompanying notes are an integral part of the financial statements.
112 Money Market Fund
<PAGE>
MONEY MARKET FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
INCREASE (DECREASE) IN NET ASSETS, (UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
Operations:
Net investment income and net increase
In net assets resulting from operations. . . . $16,671,620 $29,923,729
Distributions to shareholders from net
investment income . . . . . . . . . . . . . . . (16,671,620) (29,923,729)
Increase (decrease) in net assets from fund
share transactions. . . . . . . . . . . . . . . . 20,560,120 31,341,062
------------- ------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . 20,560,120 31,341,062
Net assets at beginning of period. . . . . . . . .533,642,880 502,301,818
------------- ------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . $554,203,000 $533,642,880
------------- ------------
------------- ------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . .3,038,993,612 4,628,769,576
Fund shares issued to shareholders
in reinvestments of distributions . . . . . . . . . . 90,874 1,601,278
Fund shares redeemed . . . . . . . . . . . . . (3,018,524,366) (4,599,029,792)
-------------- -------------
Net increase (decrease). . . . . . . . . . . . . . 20,560,120 31,341,062
-------------- -------------
-------------- -------------
The accompanying notes are an integral part of the financial statements.
Money Market Fund 113
<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>
1996* 1995 1994 1993 1992 1991
------- ------- ------- ------- ------- -------
<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. . . . . . . . . .0273 .0601 .0447 .0342 .0403 .0618
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . (.0273) (.0601) (.0447) (.0342) (.0403) (.0618)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . $1.0000 $ 1.0000 1.0000 $1.0000 $1.0000 $1.0000
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a)(c) . . . . . . . . . 2.76 6.19 4.57 3.48 4.11 6.38
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average
daily net assets (b)(c) . . . . . . . .04 .06 .05 .07 .08 .07
Operating expenses, gross, to average
daily net assets (b)(c) . . . . . . . .29 .26 .05 .07 .08 .07
Net investment income to average daily
net assets (b)(c) . . . . . . . . . . 5.47 6.01 4.49 3.38 4.04 6.13
Net assets, end of period ($000
omitted). . . . . . . . . . . . . . . 554,203 533,643 502,302 415,998 347,464 316,426
Per share amount of fees waived
($ omitted)(d). . . . . . . . . . . . .0012 .0020 -- -- -- --
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net of
investment advisory fees but gross of investment
service fees. See Note 4.
(d) See Note 4 for current period amounts.
114 Money Market Fund
<PAGE>
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30,1996 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 23 different investment portfolios, referred to as
"Funds," of which 22 are in operation as of June 30, 1996. These financial
statements report on nine 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. It 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 Funds' financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
estimates. The following is a summary of the significant accounting
policies 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/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. Realized gains and losses from securities transactions are
recorded on the basis of identified cost incurred by each money manager.
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. However, on December 7, 1995, the
Funds suspended the securities lending program. Outstanding loans at
December 31, 1995 were completed in January 1996. No further activity
occurred for the six months ended June 30, 1996.
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.
115
<PAGE>
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. Therefore, no federal income tax
provision was required for the Funds. From November 1, 1995 to December 31,
1995, the Fixed Income II Fund incurred net realized capital losses of
$122,411. As permitted by tax regulations, the Fixed Income II Fund intends
to elect to defer these losses and treat them as arising in the year ending
December 31, 1996.
At December 31, 1995, certain Funds had net tax basis capital loss
carryforwards which may be applied against any net realized taxable gains
in each succeeding year or until their respective expiration dates,
whichever occurs first. Available capital loss carryforwards and expiration
dates are as follows:
12/31/01 12/31/02 12/31/03 Totals
-------- ---------- -------- -----------
Fixed Income I $ -- 12,046,548 $ -- $12,046,548
Fixed Income II 948,478 3,534,633 698,949 5,182,060
Fixed Income III -- 2,010,657 -- 2,010,657
Money Market -- -- 42,377 42,377
The aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of June 30, 1996 are as follows:
NET
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ ------------ ------------
Equity I $757,296,419 $146,488,972 $(18,203,683) $128,285,289
Equity II 290,702,177 55,051,414 (12,259,798) 42,791,616
Equity III 199,799,036 27,589,630 (4,571,417) 23,018,213
Equity Q 604,484,140 131,494,354 (11,517,754) 119,976,600
International 775,207,430 129,093,603 (29,973,822) 99,119,781
Fixed Income I 723,586,174 8,835,850 (8,918,831) (82,981)
Fixed Income II 195,838,974 343,110 (1,481,121) (1,138,011)
Fixed Income III 275,955,370 2,835,535 (5,068,240) (2,232,705)
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 Fund, which generally declares and pays
dividends annually, and the Money Market Fund, which declares and records
dividends daily and pays 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 gain
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.
116
<PAGE>
The following reclassifications have been made to reflect activity for the
six months ended June 30, 1996:
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED ADDITIONAL
INCOME GAIN (LOSS) PAID-IN CAPITAL
---------------- -------------- ----------------
EQUITY I $ -- $ 273,723 $ (273,723)
EQUITY II -- (51,705) 51,705
EQUITY III -- 46,200 (46,200)
EQUITY Q -- 339,784 (339,784)
INTERNATIONAL (481,681) 601,354 (119,673)
FIXED INCOME I (269,370) 353,550 (84,180)
FIXED INCOME II -- (49,440) 49,440
FIXED INCOME III (43) 295,236 (295,193)
EXPENSES: Most expenses can be directly attributed to the individual
Funds. Expenses which cannot be directly attributed are allocated among all
funds principally based on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: Organization and initial registration
costs of the Fixed Income III 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 a 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) of the underlying securities at Fedwire
closing time 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 period-end, as a
result of changes in the exchange rates.
It is not practical to isolate that portion of the results of operations of
the Funds that arises as a result of changes in exchange rates from that
portion that arises 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
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.
117
<PAGE>
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 their 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, Funds may more effectively achieve the desired
portfolio characteristics that allow them to meet their investment
objectives. Depending on how the derivatives are structured and utilized,
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 Funds may enter into foreign currency exchange spot contracts and
forward foreign currency exchange contracts ("contracts"). The
International Fund may enter into foreign currency forward overlays on
liquidity reserve balances. Additionally, from time to time the
International, Fixed Income I, Fixed Income II and Fixed Income III 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
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. Open contracts at June
30, 1996, are presented on the Statement of Net Assets for the applicable
Funds.
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 commitment" or "delayed settlement"
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.
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. The domestic equity Funds utilize
options to equitize liquidity reserve balances.
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 Fund receives a premium on the sale
of a call option but gives up the opportunity to profit from any increase
in stock value above the exercise price of the option, and when the Fund
writes a put option it is exposed to a decline in the price of the
underlying security. 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.
118
<PAGE>
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 these 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: The domestic and international equity Funds utilize futures to
equitize liquidity reserve balances. Fixed Income III Fund may utilize
futures contracts (i.e., interest rate, foreign currency and index futures
contracts) to a limited extent. The face or contract amounts of these
instruments reflect the extent of the Funds' exposure to off balance sheet
risk. 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. Changes in the initial settlement values of futures
contracts 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, 1996, purchases and sales
of investment securities (excluding U.S. Government and Agency obligations,
short-term investments, options, futures and repurchase agreements) were as
follows:
PURCHASES SALES
------------- -------------
Equity I $ 473,280,982 $ 416,597,961
Equity II 209,200,408 215,271,067
Equity III 110,341,459 128,265,990
Equity Q 307,466,835 264,244,543
PURCHASES SALES
------------- -------------
International $ 225,752,446 $ 185,959,321
Fixed Income I 84,730,860 63,418,514
Fixed Income II 92,418,462 83,147,166
Fixed Income III 37,823,976 30,799,058
Purchases and sales of U.S. Government and Agency obligations (excluding
short-term investments, options, futures and repurchase agreements) were as
follows:
PURCHASES SALES
------------- -------------
Fixed Income I $ 528,361,954 $ 502,511,650
Fixed Income II 256,944,867 247,107,491
Fixed Income III 218,206,740 169,759,231
Money Market purchases, sales and maturities of securities (excluding U.S.
Government and Agency obligations and repurchase agreements) were
$6,558,737,591, $15,000,000 and $6,554,495,700, respectively. Purchases,
sales and maturities of U.S. Government and Agency obligations (excluding
repurchase agreements) were $110,895,761, $31,536,434 and $54,757,000,
respectively.
OPTIONS WRITTEN AND FUTURES CONTRACTS: Fund transactions in written put
options and futures contract purchases for the six months ended June 30,
1996 were as follows:
EQUITY I FUTURES CONTRACTS
AGGREGATE
NUMBER OF CONTRACTS FACE VALUE OF
CONTRACTS CONTRACTS (1)
------------------- --------------
Outstanding December 31, 1995 119 $ 37,102,257
Opened 537 143,775,367
Closed (463) (133,184,609)
------------------- --------------
Outstanding June 30, 1996 193 $ 47,693,015
------------------- --------------
------------------- --------------
119
<PAGE>
EQUITY II WRITTEN PUT OPTIONS FUTURES CONTRACTS
AGGREGATE
NUMBER OF PREMIUMS NUMBER OF FACE VALUE OF
CONTRACTS RECEIVED CONTRACTS CONTRACTS(1)
--------- --------- --------- -------------
Outstanding December 31, 1995 130 $ 77,607 65 $ 7,813,300
Opened 130 77,607 467 83,048,392
Closed (130) (77,607) (282) (50,085,621)
Expired (130) (77,607) -- --
--------- --------- --------- -------------
Outstanding June 30, 1996 -- $ -- 250 $ 40,776,071
--------- --------- --------- -------------
--------- --------- --------- -------------
EQUITY III FUTURES CONTRACTS
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
----------- ---------------
Outstanding december 31, 1995 7 $ 2,171,375
Opened 167 51,117,562
Closed (137) (42,510,587)
----------- ---------------
Outstanding June 30, 1996 37 $ 10,778,350
----------- ---------------
----------- ---------------
EQUITY Q FUTURES CONTRACTS
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
----------- ---------------
Outstanding December 31, 1995 86 $ 26,652,893
Opened 412 106,842,430
Closed (343) (96,782,323)
----------- ---------------
Outstanding June 30, 1996 155 $ 36,713,000
----------- ---------------
----------- ---------------
INTERNATIONAL FUTURES CONTRACTS
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
----------- ---------------
Outstanding December 31, 1995 427 $ 50,993,954
Opened 1,010 148,655,140
Closed (1,038) (139,640,812)
----------- ---------------
Outstanding June 30, 1996 399 $ 60,008,282
----------- ---------------
----------- ---------------
FIXED INCOME I WRITTEN PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- ---------------
Outstanding December 31, 1995 -- $ --
Opened 2 45,925
Closed -- --
----------- ---------------
Outstanding June 30, 1996 2 $ 45,925
----------- ---------------
----------- ---------------
120
<PAGE>
FIXED INCOME II WRITTEN PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- ---------------
Outstanding december 31, 1995 -- $ --
Opened 1 1,289
Closed (1) (1,289)
----------- ---------------
Outstanding june 30, 1996 -- $ --
----------- ---------------
----------- ---------------
FIXED INCOME III WRITTEN PUT OPTIONS FUTURES CONTRACTS
AGGREGATE
NUMBER OF PREMIUMS NUMBER OF FACE VALUE OF
CONTRACTS RECEIVED CONTRACTS CONTRACTS (1)
--------- -------- --------- -------------
Outstanding December 31, 1995 19 $ 6,536 337 $ 38,102,361
Opened 22 45,093 833 92,356,29
Closed (19) (6,536) (819) (93,041,371)
--------- -------- --------- -------------
Outstanding June 30, 1996 22 $ 45,093 351 $ 37,417,281
--------- -------- --------- -------------
--------- -------- --------- -------------
(1) The aggregate face value of contracts is computed on the date each contract
was opened.
4. RELATED PARTIES
Frank Russell Investment Management Company ("FRIMCo" or "Manager") operates and
administers all of the Funds which comprise the Investment Company, and manages
the Money Market and the U.S. Government Money Market Funds (the U.S. Government
Money Market Fund is a series of the Investment Company that is not presented in
this semiannual report). FRIMCo is a wholly owned subsidiary of Frank Russell
Company, which researches and recommends to FRIMCo, and to the Investment
Company, one or more investment management organizations to manage the portfolio
of each Fund.
For the six months ended June 30, 1996, the management fee paid to FRIMCo, in
accordance with the Investment Company's Management Agreement with that firm,
amounted to $12,469,519 before waivers. 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.
ANNUAL RATE ANNUAL RATE
----------- -----------
Equity I 0.60% Fixed Income I 0.30%
Equity II 0.75 Fixed Income II 0.50
Equity III 0.60 Fixed Income III 0.55
Equity Q 0.60 Money Market 0.25
International 0.75
The management contract also provides that if any Fund's expenses (exclusive of
interest and taxes) exceed specified limits imposed by the Manager on an annual
basis, such excess will be paid by FRIMCo. Prior to May 1, 1996, the Management
Agreement provided that Fixed Income III Fund expenses (exclusive of interest
and taxes) exceeding 0.75% of the Fund's average daily net assets, on an annual
basis, would be reimbursed by FRIMCo. Effective May 1, 1996, the Manager
voluntarily agreed to waive a portion of its 0.55% management fee, to the extent
total expenses for the Fund exceed 0.75% of its average daily net assets on an
annual basis. There were no reimbursements or waivers for the Fixed Income III
Fund for the six months ended June 30, 1996.
The manager has voluntarily agreed to waive its 0.25% management fee for the
Money Market Fund. The amount of such waiver for the six months ended June 30,
1996 was $759,368.
121
<PAGE>
Fees for bookkeeping services provided to the Funds are paid or accrued to Frank
Russell Company, an affiliate of the Investment Company. Frank Russell Company
provides its Portfolio Verification System ("PVS") to the Funds, except the
Money Market Fund, pursuant to a written Service Agreement. The PVS computerized
database system records detailed transactions data for each of the Funds
necessary to prepare various financial and Internal Revenue Service accounting
reports. The Funds' fees for the six months ended June 30, 1996 were $197,248
before waivers. The Manager voluntarily agreed to waive $21,493 of these fees
for the International Fund. Effective May 1, 1996, the manager discontinued
waiving these fees for the International Fund.
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, 1996 were
$732,095.
ACCRUED FEES PAYABLE TO AFFILIATES AS OF JUNE 30, 1996 WERE AS FOLLOWS:
MANAGEMENT BOOKKEEPING TRANSFER
FEES SERVICE FEES AGENT FEES TOTALS
----------- ------------ ----------- ----------
Equity I $ 436,534 $ 5,777 $ 23,701 $ 466,012
Equity II 202,904 6,598 31,360 240,862
Equity III 111,326 2,596 12,575 126,497
Equity Q 357,622 5,354 21,397 384,373
International 542,463 45,880 21,245 609,588
Fixed Income I 163,609 12,916 21,291 197,816
Fixed Income II 80,523 6,603 13,444 100,570
Fixed Income III 117,235 7,041 10,848 135,124
Money Market -- -- 1,442 1,442
----------- ------------ ----------- ----------
2,012,216 92,765 157,303 2,262,284
----------- ------------ ----------- ----------
----------- ------------ ----------- ----------
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, 1996 were as follows:
Equity I $51,434 Equity III $18,389
Equity II 260 International 93,478
The Investment Company pays each of its Trustees not affiliated with FRIMCo a
retainer of $20,000 per year plus out-of-pocket expenses. Total trustee expenses
were $54,206 for the six months ended June 30, 1996, and were allocated to each
Fund on a pro rata basis, including 13 affiliated funds not represented here.
Russell Fund Distributors, Inc. (the "Distributor"), a wholly owned subsidiary
of FRIMCo, is the principal Distributor for Investment Company shares. The
Distributor receives no compensation from the Investment Company for its
services.
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, 1996, $303,855,000 of the Money Market Fund's net assets
represents investments by these Funds and $250,348,000 represents the
investments of other affiliated Funds not presented in this semiannual report.
122
<PAGE>
6. DIVIDENDS
On July 1, 1996, the board of Trustees declared the following dividends from net
investment income payable on July 10, 1996, to shareholders on record on July 2,
1996:
Equity I 0.1090 Fixed Income I 0.3576
Equity II 0.0408 Fixed Income II 0.2598
Equity III 0.1798 Fixed Income III 0.1557
Equity Q 0.1862
123
<PAGE>
Frank Russell Investment Company
909 A Street, Tacoma, WA 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
George W. Weber, 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
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street,
Tacoma, WA 98402
MONEY MANAGERS
EQUITY I
Alliance Capital Management L.P., Minneapolis, MN
BZW Barclays Global Fund Advisors, San Francisco, CA
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
Fiduciary International, Inc., New York, NY
GlobeFlex Capital, L.P., San Diego, CA
Jacobs Levy Equity Management, Inc., Roseland, NJ
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
BZW Barclays Global Fund Advisors, San Francisco, CA
Franklin Portfolio Associates Trust, Boston, MA
J.P. Morgan Investment Management, Inc., New York, NY
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
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
STW Fixed Income Management Ltd., Hamilton, Bermuda
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.
124 Manager and Money Managers
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL
FRANK RUSSELL INVESTMENT COMPANY
909 A Street
Tacoma, WA 98402
206-627-7001
IN166(896)
<PAGE>
[Logo]
[Photo]
FRANK RUSSELL INVESTMENT COMPANY
1996------------------------------------------------------------------------
SEMIANNUAL REPORT
- ----------------------------------------------------------------------------
DIVERSIFIED EQUITY FUND
SPECIAL GROWTH FUND
EQUITY INCOME FUND
QUANTITATIVE EQUITY FUND
INTERNATIONAL SECURITIES FUND
DIVERSIFIED BOND FUND
VOLATILITY CONSTRAINED BOND FUND
MULTISTRATEGY BOND FUND
June 30, 1996
<PAGE>
FRANK RUSSELL INVESTMENT
COMPANY
Frank Russell Investment Company is a "series
mutual fund" with 22 different investment
portfolios. These financial statements report on
eight 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
Letter to Our Clients 1
Diversified Equity Fund 3
Special Growth Fund 15
Equity Income Fund 29
Quantitative Equity Fund 37
International Securities Fund 49
Diversified Bond Fund 73
Volatility Constrained Bond Fund 89
Multistrategy Bond Fund 97
Notes to Financial Statements 108
Manager and Money Managers 116
FRANK RUSSELL INVESTMENT COMPANY - INTERNAL FEE FUNDS
Copyright-C- Frank Russell Company 1996. 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>
TO OUR CLIENTS
Frank Russell Investment Company is pleased to present its 1996 Semiannual
Report. This report covers information for the Funds' first six months
of our fifteenth year of operation.
Our focus continued to be on the benefits of multi-manager, multi-style
diversification. We remain committed to providing our clients with
superior investments across each of our products. To reflect this
commitment the Funds' investment advisor, Frank Russell Investment
Management Company, has adopted the following Investment Philosophy
Statement stating its beliefs:
"We believe that financial markets reward knowledgeable,
disciplined investors. Capitalizing on our extensive understanding
of markets, managers, and investors, we design portfolios that deliver
superior, consistent, long-term results, while controlling the chances
of substantial short-term disappointment. Our knowledge and commitment
to a disciplined investment process are reflected in every portfolio
we manage."
Consistent with that investment philosophy, Frank Russell Investment
Management Company continuously evaluates the funds we offer to our
clients. Each of these funds is continually reviewed and monitored
by Russell's investment professionals to ensure that the most appropriate
investment advisors and strategies are utilized within each fund.
Each of the advisors is monitored by the Investment Management Group
within the Frank Russell Investment Management Company, using the
research, tools, and advice of the consulting group of Frank Russell
Company.
We look forward to the remainder of this year and continuing to earn
your support by exceeding your expectations. Thank you for your continued
confidence and investment with Frank Russell Investment Company.
Sincerely,
/s/ George F. Russell, Jr.
George F. Russell, Jr.
Chairman of the Board
Frank Russell Investment Company
/s/ Lynn L. Anderson
Lynn L. Anderson
President and Chief Executive Officer
Frank Russell Investment Company
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
Number Market
of Value
Shares (000)
------- -------
COMMON STOCKS - 93.0%
BASIC INDUSTRIES - 5.6%
Aluminum Co. of America 72,800 $4,177
ASARCO, Inc. 1,800 50
Battle Mountain Gold Co. 600 4
Bethlehem Steel Corp. (a) 26,100 310
Cameco Corp. 16,100 338
Cyprus Amax Minerals Co. 14,000 317
Dexter Corp. 25,000 744
Dow Chemical Co. 20,700 1,573
du Pont (E.I.) de Nemours & Co. 11,900 942
Eastman Chemical Co. 800 49
First Brands Corp. 900 24
FMC Corp. (a) 8,600 561
Goodrich (B.F.) Co. 51,600 1,929
Grace (W.R.) & Co. 28,500 2,020
Great Lakes Chemical Corp. 44,800 2,789
Illinois Tool Works, Inc. 29,700 2,008
IMC Global, Inc. 24,000 903
International Specialty Products (a) 3,100 34
James River Corp. of Virginia 42,600 1,124
Kimberly-Clark Corp. 12,700 981
Lone Star Technologies, Inc. (a) 40,000 440
Lubrizol Corp. 800 24
Mallinckrodt Group, Inc. 1,400 54
Mead Corp. 7,700 399
Minnesota Mining
& Manufacturing Co. 24,475 1,689
Monsanto Co. 50,500 1,641
Morton International, Inc. 1,800 67
Olin Corp. 10,500 937
Owens-Illinois, Inc. (a) 1,900 30
P.H. Glatfelter Co. 700 13
Phelps Dodge Corp. 3,300 206
Potlatch Corp. 11,900 466
Praxair, Inc. 29,400 1,242
Precision Castparts Corp. 21,400 920
Rhone Poulenc SA - ADR 33,714 893
Rohm & Haas Co. 8,100 508
Sealed Air Corp. 1,100 37
Sequa Corp. (a) 21,000 906
Sigma Aldrich Corp. 3,600 191
Terra Industries, Inc. 36,900 457
Titanium Metals Corp. (a) 10,200 264
Union Carbide Corp. 28,100 1,117
Westvaco Corp. 12,100 362
------
33,740
------
CAPITAL GOODS - 2.8%
Albany International Corp. Class A 35,000 792
Alcatel Alsthom Compagnie
Generale d'Electricite - ADR 47,000 $828
Anixter International, Inc. 1,700 25
Atmel Corp. 23,200 699
Aviall, Inc. 53,700 497
Ball Corp. 5,100 147
Case Corp. 18,100 869
Caterpillar, Inc. 2,100 142
Cooper Industries, Inc. 1,000 42
Cummins Engine Co., Inc. 8,500 343
Deere & Co. 15,700 628
Dover Corp. 8,760 404
Duracell International, Inc. 5,000 216
Foster Wheeler Corp. 1,400 63
General Electric Co. 29,875 2,584
Giant Cement Holding, Inc. (a) 15,900 201
Harnischfeger Industries, Inc. 5,700 190
Harsco Corp. 5,000 336
Ingersoll-Rand Co. 29,000 1,269
Johnson Controls, Inc. 14,300 994
Magna International, Inc. Class A 23,000 1,058
Millipore Corp. 5,800 243
National Service Industries, Inc. 4,600 180
Novellus Systems, Inc. (a) 3,000 108
Pall Corp. 4,200 101
Parker-Hannifin Corp. 1,400 59
Pentair, Inc. 1,600 48
Raychem Corp. 800 58
SPS Technologies, Inc. (a) 14,200 1,001
Technip SA - ADR 15,938 733
Tecumseh Products Co. Class A 12,500 672
Timken Co. 5,000 194
Tyco International, Ltd. 4,600 187
WMX Technologies, Inc. 24,000 786
------
16,697
------
CONSUMER BASICS - 17.5%
Abbott Laboratories 38,300 1,666
ALZA Corp. (a) 400 11
American Brands, Inc. 36,000 1,633
American Home Products Corp. 89,800 5,399
American Stores Co. 24,435 1,008
Amgen, Inc. 24,800 1,333
Archer-Daniels-Midland Co. 83,988 1,606
Bausch & Lomb, Inc. 14,300 608
Baxter International, Inc. 27,900 1,318
Becton, Dickinson & Co. 15,000 1,204
Bergen Brunswig Corp. Class A 1,700 47
Diversified Equity Fund 3
<PAGE>
Number Market
of Value
Shares (000)
------ ------
Beverly Enterprises, Inc. (a) 38,300 $ 460
Bristol-Myers Squibb Co. 22,850 2,057
Campbell Soup Co. 8,000 564
Cardinal Health, Inc. 13,022 939
Chiquita Brands International, Inc. 43,600 567
ChiRex, Inc. (a) 22,500 248
Clorox Co. 4,100 363
Coca-Cola Co. (The) 69,000 3,372
Coca-Cola Enterprises, Inc. 5,200 180
Columbia/HCA Healthcare Corp. 120,300 6,421
Dial Corp. (The) 33,700 965
Dimon, Inc. 30,000 555
Dole Food, Inc. 17,300 744
Eckerd Corp. 2,000 45
FHP International Corp. (a) 2,800 77
Fleming Cos., Inc. 80,000 1,150
Giant Food, Inc. Class A 8,900 319
Gillette Co. 32,500 2,027
Great Atlantic & Pacific Tea Co., Inc. 2,500 82
Health Management Associates Class A 6,450 131
HealthCare COMPARE (a) 8,100 394
HEALTHSOUTH Rehabilitation Corp. (a) 5,700 205
Hershey Foods Corp. 500 37
Humana, Inc. (a) 100 2
IBP, Inc. 32,600 901
Integrated Health Services, Inc. 37,000 879
International Multifoods Corp. 35,000 639
Interstate Bakeries Corp. 30,000 803
Johnson & Johnson 145,200 7,187
Lilly (Eli) & Co. 59,500 3,868
McKesson Corp. 10,300 491
Merck & Co., Inc. 61,000 3,942
Mylan Laboratories, Inc. 98,000 1,691
Oxford Health Plans, Inc. 13,300 545
PepsiCo, Inc. 270,900 9,583
Pfizer, Inc. 46,300 3,305
Pharmacia & Upjohn, Inc. 56,300 2,498
Philip Morris Cos., Inc. 114,725 11,931
Procter & Gamble Co. 37,500 3,398
Quorum Health Group, Inc. (a) 1,500 39
RJR Nabisco Holdings Corp. 11,861 368
Safeway, Inc. 6,600 218
Sara Lee Corp. 29,100 942
Schering-Plough Corp. 51,700 3,244
Schweitzer-Mauduit International, Inc. 26,700 751
SmithKline Beecham PLC - ADR 54,000 2,936
Snap-On Tools Corp. 3,000 142
Standard Commercial Corp. 28,679 344
Sybron International Corp. 700 18
Tambrands, Inc. 7,600 $ 311
Tenet Healthcare Corp. (a) 7,400 158
U.S. Healthcare, Inc. 6,150 337
Unilever NV 10,200 1,480
United Healthcare Corp. 50,400 2,545
Universal Corp. 36,800 975
US Bioscience, Inc. (a) 750 10
Vons Cos., Inc. (a) 11,600 434
Watson Pharmaceuticals, Inc. (a) 3,700 140
Weis Markets, Inc. 2,000 65
Wellpoint Health Networks, Inc. Class A (a) 9,437 295
Whitman Corp. 4,700 113
------
105,263
-------
CONSUMER DURABLES - 2.9%
AutoZone Inc. (a) 19,700 685
Borg-Warner Automotive, Inc. 12,500 494
Chrysler Corp. 84,900 5,264
Dana Corp. 6,500 201
Elsag Bailey Process Automation NV (a) 25,000 669
Fleetwood Enterprises, Inc. 5,500 170
Ford Motor Co. 102,693 3,325
General Motors Corp. 63,924 3,348
Goodyear Tire & Rubber Co. 9,700 468
Harley-Davidson, Inc. 5,700 234
Leggett & Platt, Inc. 4,900 136
Maytag Corp. 800 17
PACCAR, Inc. 11,700 570
UNC, Inc. (a) 112,200 940
Whirlpool Corp. 23,200 1,151
-------
17,672
-------
CONSUMER NON-DURABLES - 6.6%
Anheuser-Busch Cos., Inc. 12,500 938
Avon Products, Inc. 1,300 59
Barnes & Noble, Inc. (a) 200 7
Bed Bath & Beyond, Inc. 2,700 71
Cintas Corp. 1,200 63
Dayton Hudson Corp. 25,600 2,640
Dillard Department Stores, Inc.
Class A 34,200 1,248
Dollar General Corp. 3,250 95
Donna Karan International, Inc. (a) 1,700 41
Eastman Kodak Co. 11,300 879
Federated Department Stores, Inc. (a) 113,000 3,856
Gap, Inc. 65,600 2,107
Hasbro, Inc. 10,600 379
4 Diversified Equity Fund
<PAGE>
Number Market
of Value
Shares (000)
------- -------
Heilig-Meyers, Co. 6,900 $ 166
Hills Store Co. (a) 17,926 159
Home Depot, Inc. (The) 22,200 1,199
Jones Apparel Group, Inc. (a) 700 34
Jostens, Inc. 40,400 798
Kellwood Co. 40,000 735
K mart Corp. 115,000 1,423
Kohl's Corp. 5,700 209
Liz Claiborne, Inc. 9,900 343
Lowe's Cos., Inc. 27,900 1,008
Mattel, Inc. 73,341 2,099
May Department Stores Co. 30,900 1,352
Mercantile Stores, Inc. 1,500 88
NIKE, Inc. Class B 9,900 1,017
Payless ShoeSource, Inc. (a) 37,944 1,205
Penney (J.C.) Co., Inc. 32,500 1,706
Pep Boys - Manny, Moe & Jack 10,900 371
Petrie Stores Corp. (a) 7,400 20
Phar-Mor, Inc. (a) 98,500 776
Polaroid Corp. 18,000 821
Revco D.S., Inc. (a) 9,500 227
Rite Aid Corp. 34,100 1,014
Russell Corp. 8,000 221
Salant Corp. (a) 156,200 566
Sears Roebuck & Co. 30,700 1,493
SuperValu, Inc. 31,300 986
Talbots, Inc. 300 10
TJX Cos., Inc. 41,600 1,404
Toys "R" Us, Inc. (a) 93,100 2,653
Unifi, Inc. 20,000 563
Wal-Mart Stores, Inc. 61,800 1,568
Warnaco Group, Inc. Class A 13,300 342
Woolworth Corp. (a) 32,300 727
-------
39,686
-------
CONSUMER SERVICES - 5.1%
America West Airlines, Inc. Class B (a) 36,000 792
AMR Corp. (a) 43,300 3,940
Boston Chicken, Inc. (a) 12,100 392
Brinker International, Inc. (a) 60,800 912
British Airways PLC - ADS 3,500 300
Callaway Golf Co. 2,500 83
Carnival Corp. Class A 56,800 1,640
Circus Circus Enterprises, Inc. (a) 49,400 2,026
Darden Restaurants, Inc. 50,000 538
Delta Air Lines, Inc. 25,600 2,125
Disney (Walt) Co. 51,600 3,244
Harrah's Entertainment, Inc. 48,700 1,376
Hilton Hotels Corp. 7,600 $ 855
International Game Technology 5,600 95
ITT Corp. 34,900 2,312
King World Productions, Inc. (a) 13,200 480
KLM Royal Dutch Airlines 34,056 1,081
Marriot International, Inc. 3,800 204
McDonald's Corp. 50,400 2,356
MGM Grand, Inc. (a) 4,800 191
Mirage Resorts, Inc. (a) 10,800 583
Northwest Airlines Corp. Class A (a) 35,300 1,390
Southwest Airlines Co. 43,400 1,264
UAL Corp. (a) 50,800 2,731
Wendy's International, Inc. 7,800 145
-------
31,055
-------
ENERGY - 7.7%
Amerada Hess Corp. NPV 59,100 3,169
Amoco Corp. 45,900 3,322
Apache Corp. 41,900 1,377
Atlantic Richfield Co. 10,400 1,232
Baker Hughes, Inc. 48,300 1,588
British Petroleum Co. PLC - ADR 22,120 2,364
Burlington Resources, Inc. 22,700 976
Chevron Corp. 25,548 1,507
Crown Centennial Petroleum Co.
Class B (a) 40,000 615
Dresser Industries, Inc. 6,900 204
Enron Oil & Gas Co. 7,500 209
ENSCO International, Inc. (a) 2,800 91
Exxon Corp. 41,400 3,597
Halliburton Co. 3,000 167
Kerr-McGee Corp. 9,900 603
LTV Corp. 2,000 23
Mobil Corp. 33,930 3,804
Murphy Oil Corp. 15,000 681
NGC Corp. 4,300 64
Noble Affiliates, Inc. 1,700 64
Noble Drilling Corp. (a) 90,000 1,249
NorAm Energy Corp. 20,300 221
Oryx Energy Co. (a) 82,400 1,339
Petroleum Heat & Power, Inc.
Class A 139,044 1,025
Questar Corp. 11,800 401
Repsol - ADR 19,200 667
Royal Dutch Petroleum Co. - ADR 20,130 3,095
Santa Fe Energy Resources, Inc. (a) 17,000 202
Schlumberger, Ltd. 38,150 3,214
Seagull Energy Corp. (a) 35,700 892
Diversified Equity Fund 5
<PAGE>
Number Market
of Value
Shares (000)
------ ------
Smith International, Inc. (a) 43,700 $ 1,316
Sonat Offshore Drilling, Inc. 1,400 71
Tenneco, Inc. 39,800 2,035
Texaco, Inc. 15,800 1,325
Tosco Corp. 20,000 1,005
Unocal Corp. 22,000 743
USX-Marathon Group 78,900 1,588
Valero Energy Corp. 14,300 358
-------
46,403
-------
FINANCE - 16.0%
Aetna Life & Casualty Co. 24,600 1,759
AFLAC, Inc. 62,500 1,867
Allstate Corp. 59,308 2,706
AMBAC, Inc. 7,100 370
American Financial Group, Inc. 41,900 1,262
American General Corp. 44,600 1,622
American International Group, Inc. 54,062 5,332
American Re Corp. 2,700 121
Associates First Capital Corp. Class A (a) 23,900 899
Banc One Corp. 43,650 1,484
Bancorp Hawaii, Inc. 11,100 400
Bank of Boston Corp. 1,500 74
BankAmerica Corp. 34,200 2,591
Bankers Life Holding Corp. 6,500 144
Bankers Trust New York Corp. 1,800 133
Barnett Banks, Inc. 11,500 702
Bear Stearns Cos., Inc. 14,240 336
Beneficial Corp. 10,600 595
Borg-Warner Security Corp. (a) 25,800 252
California Federal Bancorp, Inc. 40,000 730
Chase Manhattan Corp. 127,408 8,998
Chubb Corp. (The) 91,400 4,559
CIGNA Corp. 24,050 2,835
Cincinnati Financial Corp. 2,700 155
Citicorp 6,900 570
Coast Savings Financial, Inc. (a) 24,900 815
Comerica, Inc. 10,100 451
CoreStates Financial Corp. 44,800 1,725
Countrywide Credit Industries, Inc. 43,700 1,082
Dean Witter, Discover & Co. 50,300 2,880
Edwards (A.G.), Inc. 16,200 439
Equifax, Inc. 2,800 74
Equitable Companies, Inc. 5,700 142
Federal Home Loan Mortgage Corp. 18,900 1,616
Federal National Mortgage Association 146,200 4,898
First American Corp. 700 29
First Chicago NBD Corp. 21,595 845
First Tennessee National Corp. 29,400 $ 897
First Union Corp. 19,700 1,199
Firstar Corp. 2,400 111
Fleet Financial Group, Inc. 15,700 683
Franklin Resources, Inc. 1,600 98
GAN Group (a) 20,000 537
General Re Corp. 11,000 1,675
Golden West Financial Corp. 24,900 1,394
Green Tree Financial Corp. 16,900 528
Greenpoint Financial Corp. 7,500 212
Hartford Steam Boiler Inspection
& Insurance Co. 900 44
Hibernia Corp. 5,100 55
Household International Corp. 21,900 1,664
Jefferson-Pilot Corp. 19,300 996
Lehman Brothers Holdings, Inc. 54,900 1,359
MBNA Corp. 55,050 1,569
Mercantile Bankshares Corp. 2,800 71
Merrill Lynch & Co., Inc. 43,400 2,826
MGIC Investment Corp. 1,100 62
Morgan Stanley Group, Inc. 22,600 1,110
National City Corp. 12,200 429
National Re Corp. 23,800 898
NationsBank Corp. 41,800 3,454
Northern Trust Corp. 800 46
Norwest Corp. 108,500 3,784
Old Republic International Corp. 41,100 884
Onex Corp. 37,000 386
PaineWebber Group, Inc. 18,400 437
Paul Revere Corp. 25,800 709
Progressive Corp. 3,600 166
Provident Companies, Inc. 8,900 329
Reliastar Financial Corp. 13,900 599
Salomon, Inc. 11,000 484
Schwab (Charles) Corp. 1,900 47
Signet Banking Corp. 25,200 586
Southern National Corp. 42,600 1,353
SouthTrust Corp. 10,800 304
Star Banc Corp. 2,400 162
State Street Boston Corp. 42,500 2,167
Student Loan Marketing Association 1,900 141
SunAmerica, Inc. 500 28
SunTrust Banks, Inc. 49,000 1,813
TCF Financial Corp. 16,800 559
TIG Holdings, Inc. 600 17
Torchmark Corp. 40,000 1,750
Transamerica Financial Corp. 4,400 356
Transatlantic Holdings, Inc. 3,300 231
Travelers, Inc. 13,650 623
6 Diversified Equity Fund
<PAGE>
Number Market
of Value
Shares (000)
------ ------
U.S. Bancorp of Oregon 8,600 $ 310
USLIFE Corp. 11,800 388
Washington Federal, Inc. 4,800 98
Zurich Reins Centre Holdings, Inc. 3,600 113
-------
96,233
-------
GENERAL BUSINESS - 3.8%
American Greetings Corp. Class A 29,900 815
Automatic Data Processing, Inc. 106,550 4,115
Cascade Communications Corp. 21,900 1,489
Central Newspapers, Inc. Class A 9,000 337
Comdisco, Inc. 8,000 213
Computer Sciences Corp. (a) 34,000 2,542
Cox Communications, Inc. Class A (a) 22,900 495
Deluxe Corp. 30,300 1,076
Donnelley (R.R.) & Sons Co. 4,900 171
Figgie International Holdings, Inc.
Class A (a) 27,000 398
First Data Corp. 20,960 1,669
Flightsafety International, Inc. 5,000 271
GTECH Holdings Corp. (a) 3,600 107
Knight-Ridder, Inc. 1,100 80
Manpower, Inc. 3,500 137
Marvel Entertainment Group, Inc. (a) 1,600 15
Media General, Inc. Class A 5,400 201
Ogden Corp. 20,800 377
QUALCOMM, Inc. (a) 15,300 811
Reuters Holdings PLC Class B - ADR 10,125 733
Safety-Kleen Corp. 4,300 75
Service Corp. International 47,500 2,731
Staples, Inc. 10,400 202
Tele-Communications, Inc. Class A 59,100 1,064
Tele-Communications, Inc.
Series A New (a) 48,275 1,279
Tribune Co. 15,200 1,104
Viacom, Inc. Class B (a) 16,300 634
-------
23,141
-------
MISCELLANEOUS - 0.7%
American Real Estate Partners, L.P. (a) 64,426 572
Canadian Pacific, Ltd. 31,700 697
Catellus Development Corp. (a) 80,000 730
Home State Holdings, Inc. (a) 21,300 178
Koger Equity, Inc. (a) 37,500 502
Newhall Land & Farming Co. 47,900 790
Providian Corp. 18,400 789
-------
4,258
-------
SHELTER - 0.6%
Armstrong World Industries, Inc. 22,800 $ 1,314
Centex Corp. 11,900 370
Georgia Pacific Corp. 12,500 887
Schuller Corp. 21,600 224
St. Lawrence Cement Inc. Class A 58,200 390
Standard Pacific Corp. 35,000 254
Weyerhaeuser Co. 5,100 217
-------
3,656
-------
TECHNOLOGY - 14.1%
3Com Corp. 35,000 1,597
Adaptec, Inc. (a) 1,900 90
ADC Telecommunications, Inc. (a) 26,100 1,161
Advanced Micro Devices, Inc. (a) 1,400 19
Altera Corp. (a) 8,500 322
AMP, Inc. 25,500 1,023
Andrew Corp. 1,200 65
Applied Materials, Inc. 83,800 2,545
Avery Dennison Corp. 4,900 269
Aviation Sales Co. (a) 36,400 746
Avnet, Inc. 15,700 661
BE Aerospace, Inc. (a) 105,000 1,365
Beckman Instruments, Inc. 9,600 365
Boeing Co. 77,200 6,726
Cabletron Systems, Inc. (a) 2,400 165
Cadence Design Systems, Inc. 4,500 152
CAE, Inc. 95,000 790
Ceridian Corp. (a) 2,800 141
Cisco Systems, Inc. (a) 141,400 8,007
COMPAQ Computer Corp. (a) 59,200 2,916
Computer Associates International, Inc. 21,350 1,521
Compuware Corp. (a) 37,000 1,452
Dell Computer Corp. 2,500 127
EG&G, Inc. 3,000 64
Electronic Data Systems Corp. 24,625 1,324
EMC Corp. (a) 700 13
Ericsson (LM) Telephone Co.
Class B - ADR 90,970 1,944
Gateway 2000, Inc. (a) 1,100 37
General Dynamics Corp. 1,300 81
General Motors Corp. Class H 16,200 974
Guidant Corp. 5,500 271
Harris Corp. 2,100 128
Hewlett-Packard Co. 73,300 7,303
Honeywell, Inc. 31,600 1,722
Informix Corp. (a) 23,100 517
Intel Corp. 154,100 11,307
International Business Machines Corp. 38,000 3,762
Komag, Inc. (a) 3,000 78
Lockheed Martin Corp. 28,300 2,377
Diversified Equity Fund 7
<PAGE>
Number Market
of Value
Shares (000)
------ ------
Longview Fibre Co. 8,500 $ 145
Microsoft Corp. (a) 44,200 5,304
Molex, Inc. Class A 5,600 164
Motorola, Inc. 35,700 2,245
Oracle Systems Corp. 34,100 1,343
Pitney Bowes, Inc. 3,425 164
Raytheon Co. 35,100 1,812
Rockwell International Corp. 33,600 1,924
Seagate Technology (a) 22,600 1,017
Storage Technology Corp. (a) 33,300 1,274
Sun Microsystems, Inc. 6,000 352
Symbol Technologies, Inc. (a) 5,100 227
Tandem Computers, Inc. (a) 1,000 12
Tellabs, Inc. (a) 3,100 207
Textron, Inc. 1,900 152
TRW, Inc. 1,300 117
U.S. Robotics Corp. 11,500 980
United Technologies Corp. 8,300 954
Western Digital Corp. (a) 17,000 444
Xerox Corp. 23,700 1,268
Xilinx, Inc. 15,000 474
-------
84,706
-------
TRANSPORTATION - 1.3%
BT Shipping, Ltd. - ADR (a) 155,000 581
Conrail, Inc. 20,400 1,354
CSX Corp. 28,050 1,353
GATX Corp. 8,900 429
Johnstown America Industries, Inc. (a) 85,000 276
Navistar International Corp. (a) 32,200 318
Nordic American Tanker
Shipping, Ltd. 1997 Warrants (a) 28,400 110
Norfolk Southern Corp. 23,900 2,026
OMI Corp. (a) 15,500 134
Overseas Shipholding Group, Inc. 19,100 346
Ryder System, Inc. 20,000 563
Teekay Shipping Corp. 5,500 144
Tidewater, Inc. 4,300 189
-------
7,823
-------
UTILITIES - 8.3%
Airtouch Communications, Inc. (a) 101,000 2,853
Allegheny Power System, Inc. 12,100 373
AT&T Corp. 82,900 5,140
Baltimore Gas & Electric Co. 10,600 301
BCE, Inc. 43,000 1,698
BellSouth Corp. 25,590 1,084
Carolina Power & Light Co. 11,700 $ 445
Centerior Energy Corp. 78,600 580
Central & Southwest Corp. 1,300 38
Central Maine Power Co. 46,400 673
CMS Energy Corp. 3,200 99
Columbia Gas System, Inc. 8,600 448
Consolidated Natural Gas Co. 8,000 418
Edison International 79,150 1,395
El Paso Natural Gas Co. 5,200 200
ENSERCH Corp. 21,000 457
Equitable Resources, Inc. 9,000 254
FPL Group, Inc. 14,800 681
General Public Utilities Corp. 17,500 617
GTE Corp. 23,000 1,029
Idaho Power Co. 4,200 131
LG&E Energy Corp. 1,400 32
Long Island Lighting Co. 21,000 352
Lucent Technologies, Inc. 29,800 1,129
MCI Communications Corp. 166,900 4,256
MidAmerican Energy Co. 4,400 76
National Fuel & Gas Co. 5,300 191
New England Electric System 6,700 244
New York State Electric & Gas Corp. 400 10
Niagara Mohawk Power Corp. 226,600 1,756
NICOR, Inc. 7,800 221
NIPSCO Industries, Inc. 9,200 370
Northeast Utilities 54,000 722
Northern States Power Co. 3,700 183
NYNEX Corp. 33,700 1,601
Pacific Gas & Electric Co. 116,900 2,718
Pacific Telesis Group 51,000 1,721
Pinnacle West Capital Corp. 5,500 167
Portland General Electric Co. 6,500 201
Potomac Electric Power Co. 54,200 1,436
Sonat, Inc. 800 36
Southern New England
Telecommunications Corp. 30,400 1,277
Sprint Corp. 80,000 3,360
Telefonica de Espana SA - ADR 38,000 2,095
Telefonos de Mexico SA
Series L - ADR 55,000 1,842
Texas Utilities Co. 32,600 1,394
U.S. West Communications Group 21,100 672
Unicom Corp. 43,800 1,221
Washington Water Power Co. 17,300 322
WorldCom, Inc. (a) 22,200 1,226
-------
49,745
-------
TOTAL COMMON STOCKS
(cost $468,825) 560,078
-------
8 Diversified Equity Fund
<PAGE>
Number Market
of Value
Shares (000)
------ ------
CONVERTIBLE PREFERRED STOCKS - 0.8%
Continental Airlines Finance Trust (a) 12,500 $ 919
Elsag Bailey Financing Trust 22,600 1,107
Glendale Federal Bank Series E 22,100 1,061
Sun, Inc. Series A 5,867 173
Tyco Toys, Inc. Series C (a) 270,000 1,519
-------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $3,953) 4,779
-------
PREFERRED STOCKS - 0.3%
Ann Taylor Finance Trust (a) 12,800 758
Cooper Industries, Inc. 40,000 670
RJR Nabisco Holdings Class C 100,000 650
-------
TOTAL PREFERRED STOCKS
(cost $1,852) 2,078
-------
Principal
Amount
(000)
---------
SHORT-TERM INVESTMENTS - 5.4%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 30,384 $ 30,384
United States Treasury Bills
4.975% due 10/17/96 (c)(d) 2,000 1,970
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $32,355) 32,354
--------
TOTAL INVESTMENTS
(identified cost $506,985)(e) - 99.5% 599,289
OTHER ASSETS AND LIABILITIES,
NET - 0.5% 3,242
--------
NET ASSETS - 100.0% $ 602,531
--------
--------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) Held as collateral by the custodian in connection with futures contracts
purchased by the Fund.
(e) See Note 2 for federal income tax information.
Unrealized
Number Appreciation
of (Depreciation)
Contracts (000)
--------- --------------
FUTURES CONTRACTS
(Notes 2 and 3)
S & P 500 Index Futures Contracts
expiration date 09/96 74 $ 93
S & P 400 Midcap Index Futures Contracts
expiration date 09/96 60 (194)
--------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased () $ (101)
--------
--------
() At June 30, 1996, United States Treasury Bills valued at $1,970 were held
as collateral by the custodian in connection with futures contracts
purchased by the Fund.
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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at market (identified cost $506,984,745)(Note 2) . . . . . . . . . . . $ 599,288,528
Receivables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,059,409
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,918,758
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,583,933
Daily variation margin on futures contracts (Notes 2 and 3). . . . . . . . . . . 216,750
------------
611,067,378
LIABILITIES <C>
Payables:
Investments purchased . . . . . . . . . . . . . . . . . . . . $ 7,691,638
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . 334,966
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . 421,836
Other accrued expenses . . . . . . . . . . . . . . . . . . . . 87,544 8,535,984
------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 602,531,394
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $ 1,778,557
Accumulated net realized gain (loss) . . . . . . . . . . . . . 40,221,002
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 92,304,593
Futures contracts. . . . . . . . . . . . . . . . . . . . . . (101,006)
Shares of beneficial interest. . . . . . . . . . . . . . . . . 146,271
Additional paid-in capital . . . . . . . . . . . . . . . . . . 468,181,977
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 602,531,394
------------
------------
Net asset value, offering and redemption price per share
($602,531,394 divided by 14,627,083 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . $41.19
------------
------------
</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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME,
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,310,394
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . 781,949
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,026
------------
6,142,369
Expenses (Notes 2 and 4): <C>
Management fees . . . . . . . . . . . . . . . . . . . . . . $ 2,209,654
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . 228,055
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . 180,493
Bookkeeping service fees . . . . . . . . . . . . . . . . . . 11,736
Professional fees. . . . . . . . . . . . . . . . . . . . . . 18,839
Registration fees. . . . . . . . . . . . . . . . . . . . . . 23,166
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . 21,303 2,695,710
------------ ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,446,659
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,415,032
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,645,270
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,241,068
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59,438
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . 51,360,808
------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . $ 54,807,467
------------
------------
</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 Month For the Year
Ended June 30, 1996 Ended
(Unaudited) December 31, 1995
------------------- ----------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETSS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . $ 3,446,659 $ 7,699,338
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . 42,415,032 66,416,347
Futures contracts. . . . . . . . . . . . . . . . . . . . . 1,645,270 1,332,925
Options written. . . . . . . . . . . . . . . . . . . . . . -- 1,735,415
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . 7,241,068 70,149,433
Futures contracts. . . . . . . . . . . . . . . . . . . . . 59,438 (160,438)
Options written. . . . . . . . . . . . . . . . . . . . . . -- (221,411)
------------ ------------
Net increase (decrease) in net assets resulting from operations. . 54,807,467 146,951,609
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . (1,668,102) (7,795,700)
Net realized gain on investments . . . . . . . . . . . . . . (16,599,665) (53,844,603)
Increase (decrease) in net assets from Fund share transactions 35,346,217 31,298,027
------------ ------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . 71,885,917 116,609,333
Net assets at beginning of period. . . . . . . . . . . . . . . 530,645,477 414,036,144
------------ ------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $1,778,557 at June 30, 1996). . . . . . . . . . . . . . . $ 602,531,394 $ 530,645,477
------------ ------------
------------ ------------
</TABLE>
<TABLE>
<CAPTION>
For the Six Months For the Year
Ended June 30, 1996 Ended
(Unaudited) December 31, 1995
FUND SHARE TRANSACTIONS ------------------------------ ------------------------------
Shares Amount Shares Amount
----------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . 2,726,350 $ 109,051,186 4,083,541 $ 150,019,014
Fund shares issued to shareholders . .
in reinvestments of distributions. . . 341,538 13,562,435 1,155,887 44,249,578
Fund shares redeemed . . . . . . . . . (2,182,756) (87,267,404) (4,330,675) (162,970,565)
------------ ------------ ------------ ------------
Net increase (decrease). . . . . . . . 885,132 $ 35,346,217 908,753 $ 31,298,027
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</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>
1996* 1995 1994 1993 1992 1991
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . $ 38.62 $ 32.26 $ 34.88 $ 35.60 $ 36.36 $ 30.66
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . .24 .60 .58 .56 .60 .81
Net realized and unrealized gain (loss) on investments . . . 3.64 10.63 (.49) 3.03 2.30 8.36
------- ------- ------- ------- ------- -------
Total Income From Investment Operations. . . . . . . . . . . 3.88 11.23 .09 3.59 2.90 9.17
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . (.12) (.60) (.58) (.55) (.61) (.82)
Net realized gain on investments . . . . . . . . . . . . . . (1.19) (4.27) (1.87) (3.76) (3.05) (2.65)
In excess of net realized gain on investments. . . . . . . . -- -- (.26) -- -- --
------- ------- ------- ------- ------- -------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . (1.31) (4.87) (2.71) (4.31) (3.66) (3.47)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . $ 41.19 $ 38.62 $ 32.26 $ 34.88 $ 35.60 $ 36.36
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . 10.17 35.17 (0.01) 10.53 8.32 31.05
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) . . . . . . . . .95 .95 .95 .96 .98 .98
Net investment income to average net assets (b). . . . . . . 1.21 1.56 1.73 1.54 1.69 2.28
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . 102.55 92.53 57.53 99.80 77.02 116.53
Net assets, end of period ($000 omitted) . . . . . . . . . . 602,531 530,645 414,036 388,420 337,549 325,746
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . . . . . . . . . .0477 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
Diversified Equity Fund 13
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
COMMON STOCKS - 90.7%
BASIC INDUSTRIES - 3.1%
AK Steel Holding Corp. 8,000 $ 313
Albemarle Corp. 12,400 226
Alumax, Inc. (a) 13,000 395
Amcast Industrial Corp. 3,200 65
Arcadian Corp. 20,000 395
ASARCO, Inc. 11,200 309
Bethlehem Steel Corp. (a) 39,600 470
Bio-Rad Laboratories, Inc. Class A 3,000 108
Bowater, Inc. 9,000 339
Brush Wellman, Inc. 1,900 36
BWay Corp. (a) 7,000 126
Cambrex Corp. 3,300 169
Carpenter Technology Corp. 7,200 230
CasTech Aluminum Group, Inc. (a) 6,800 100
Chaparral Steel Co. 1,300 17
Cleveland-Cliffs, Inc. 2,200 86
Commercial Metals Co. 2,000 67
Commonwealth Aluminum Corp. 7,700 120
Cyprus Amax Minerals Co. 31,700 717
Dexter Corp. 8,500 253
Easco, Inc. 15,000 114
Ferro Corp. 3,000 80
Fort Howard Corp. New (a) 20,000 398
Goodrich (B.F.) Co. 6,000 224
Hecla Mining Co. (a) 13,300 93
Huntco, Inc. Class A 2,000 37
Inland Steel Industries, Inc. 10,000 196
International Specialty Products (a) 9,700 107
Lubrizol Corp. 7,800 237
Lukens, Inc. 4,400 105
Mark IV Industries, Inc. 6,825 154
Mississippi Chemical Corp. 8,700 172
Mueller Industries, Inc. 5,800 241
National Steel Corp. Class B (a) 5,800 63
New Jersey Steel Corp. (a) 42,000 252
OM Group 1,300 51
Oregon Steel Mills, Inc. 5,800 80
PENWEST, Ltd. 6,000 108
Proler International Corp. (a) 81,000 496
Quanex Corp. 5,000 118
Reliance Steel & Aluminum Co. 2,200 80
Rouge Steel Co. Class A 1,200 26
Slater Steel, Inc. (a) 18,000 170
Steel Technologies, Inc. 1,300 20
Terra Industries, Inc. 29,400 364
Texas Industries, Inc. 13,200 906
Tredegar Industries, Inc. 1,300 39
Universal Stainless & Alloy
Products, Inc. (a) 15,500 140
Webco Industries, Inc. (a) 18,000 $ 108
Weirton Steel Corp. (a) 6,700 20
Wellman, Inc. 11,200 262
WHX Corp. (a) 44,500 406
Witco Chemical Corp. 5,300 182
Wolverine Tube, Inc. (a) 1,600 55
--------
10,645
--------
CAPITAL GOODS - 5.8%
ABC Rail Products Corp. (a) 5,000 108
ABT Building Products Corp. (a) 2,700 59
ADCO Technologies, Inc. 12,000 107
AFC Cable Systems, Inc. (a) 9,000 151
American Buildings Co. New (a) 5,000 144
Anixter International, Inc. 15,000 223
AptarGroup, Inc. 21,700 656
Baldor Electric Co. 3,800 86
Ball Corp. 11,300 325
Barnes Group, Inc. 1,800 92
Bearings, Inc. 1,900 51
BMC West Corp. (a) 8,000 132
Briggs & Stratton Corp. 8,200 337
Cable Design Technologies Corp. 21,000 688
Cascade Corp. 10,000 129
Central Tractor Farm & Country, Inc. (a) 12,000 147
Cohu, Inc. 28,000 546
Columbus McKinnon Corp. 44,500 679
Commercial Intertech Corp. 2,300 59
Cummins Engine Co., Inc. 12,000 485
DT Industries, Inc. 1,500 27
Eastern Co. 26,400 300
Farr Co. (a) 9,000 115
Flow International Corp. (a) 10,000 79
Fluke Corp. 1,000 40
Giant Cement Holding, Inc. (a) 10,000 126
Gleason Corp. 2,600 101
Global Industrial Technologies, Inc. (a) 30,000 480
Greenbrier Companies, Inc. 2,100 29
Harmon Industries, Inc. 7,000 110
Harsco Corp. 4,300 289
Heist (C.H.) Corp. (a) 52,100 352
Hughes Supply, Inc. 5,100 177
Hurco Cos., Inc. (a) 22,000 116
JLG Industries, Inc. 9,600 713
Kennametal, Inc. 6,500 221
Kent Electronics Corp. 17,100 534
Kuhlman Corp. 7,900 137
Measurex Corp. 6,790 199
Special Growth Fund 15
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Monarch Machine Tool Co. 44,000 $ 517
National Service Industries, Inc. 14,900 583
NCI Building Systems, Inc. (a) 23,400 772
Park Electrochemical Corp. 7,300 146
Plantronics, Inc. New (a) 4,000 147
Powell Industries, Inc. (a) 11,100 128
Regal-Beloit Corp. 38,100 752
Rexel, Inc. (a) 8,900 126
Sanifill, Inc. (a) 18,500 911
Scotman Industries, Inc. 800 16
Shelter Components Corp. 8,850 149
SIFCO Industries (a) 98,500 850
Synalloy Corp. 7,000 110
Tecumseh Products Co. Class A 3,500 188
TETRA Technologies, Inc. New (a) 44,000 858
Timken Co. 7,200 279
U.S. Filter Corp. New (a) 52,700 1,831
United Waste Systems, Inc. 48,500 1,540
Weatherford Enterra, Inc. 20,900 627
Zurn Industries, Inc. 5,600 116
Zycon Corp. (a) 12,000 110
--------
20,105
--------
CONSUMER BASICS - 11.6%
ABR Information Services, Inc. 12,000 600
Alpharma, Inc. Class A 5,000 99
American HomePatient, Inc. (a) 15,200 665
American Medical Response (a) 5,000 176
American Oncology Resources, Inc. 33,400 718
Bergen Brunswig Corp. Class A 8,900 247
Beverly Enterprises, Inc. (a) 12,600 151
Bindley Western Industries, Inc. 3,800 64
BioChem Pharma, Inc. (a) 22,800 852
Biogen, Inc. (a) 17,000 927
Biovail Corp. International 21,400 669
Bush Boake Allen, Inc. (a) 27,000 587
Central Sprinkler Corp. (a) 4,000 84
Cephalon, Inc. (a) 2,900 57
Chemed Corp. 1,500 56
ChiRex, Inc. (a) 27,000 297
Chronimed, Inc. (a) 30,400 551
Coca-Cola Bottling Co. 23,500 817
Coherent, Inc. (a) 19,500 1,014
Collagen Corp. 6,000 113
Curative Technologies, Inc. (a) 43,300 1,137
Dean Foods Co. 5,600 139
Diagnostic Health Services, Inc. (a) 70,000 459
Duckwall-ALCO Stores, Inc. New (a) 6,000 86
Dura Pharmaceuticals, Inc. (a) 14,900 $ 834
Fuisz Technologies, Ltd. 25,000 469
Gilead Sciences, Inc. (a) 31,600 790
GranCare, Inc. (a) 5,000 99
Great Atlantic & Pacific Tea Co., Inc. 2,100 69
Harborside Healthcare Corp. (a) 35,500 364
Health Management Associates Class A 25,500 516
Health Management Systems, Inc. 30,000 953
HealthCare COMPARE (a) 23,800 1,157
Healthcare Services Group, Inc. (a) 10,000 90
Healthdyne Technologies, Inc. (a) 10,062 130
HemaSure, Inc. (a) 32,000 428
Hologic, Inc. 14,000 609
Home Health Corp. of America, Inc. (a) 6,200 83
Hudson Foods, Inc. 3,700 52
IDEXX Laboratories, Inc. (a) 4,800 187
Immucor Corp. (a) 13,300 160
ImmuLogic Pharmaceutical Corp. (a) 12,600 110
Interferon Sciences, Inc. (a) 240,000 488
International Multifoods Corp. 3,300 60
Interneuron Pharmaceuticals, Inc. (a) 15,000 443
Interstate Bakeries Corp. 3,900 104
Lincare Holdings, Inc. (a) 17,100 667
Mariner Health Group, Inc. (a) 36,200 665
McKesson Corp. 8,200 391
Medical Imaging Centers
of America, Inc. New (a) 54 1
Medicis Pharmaceutical Corp. Class A. 7,500 309
Minntech Corp. 7,000 74
MMI Companies, Inc. 1,000 31
Nature's Sunshine Products, Inc. 5,000 128
NBTY, Inc. (a) 16,000 159
NeoPath, Inc. (a) 20,100 503
Northland Cranberries, Inc. Class A 4,000 120
OrNda Healthcorp (a) 34,400 826
Orthodontic Centers of America, Inc. 15,200 395
Outback Steakhouse, Inc. (a) 19,800 678
PhyCor, Inc. 41,813 1,578
PhyMatrix Corp. (a) 52,000 1,196
Physician Sales & Service, Inc. 70,700 1,714
Physicians Health Services, Inc. Class A (a) 5,200 116
Prime Hospitality Corp. (a) 9,000 149
Renal Treatment Centers, Inc. 29,700 854
Respironics, Inc. (a) 37,500 684
RightCHOICE Managed Care, Inc. Class A (a) 1,600 20
Ruddick Corp. 3,600 44
Rykoff-Sexton, Inc. 3,400 49
Safeskin Corp. (a) 17,800 739
Safety 1st, Inc. (a) 10,000 80
16 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Schultz Sav-O Stores, Inc. 43,500 $ 544
Sequus Pharmaceuticals, Inc. (a) 7,500 149
Smith's Food & Drug Centers, Inc. Class B 3,800 91
Snap-On Tools Corp. 1,600 76
Sofamor/Danek Group, Inc. (a) 19,600 544
Sola International, Inc. (a) 40,000 1,150
Starbucks Corp. 21,200 596
Starrett (L.S.) Co. Class A 25,300 658
Strategic Distribution, Inc. 18,050 141
Sunrise Medical, Inc. (a) 2,000 39
Total Renal Care Holdings, Inc. (a) 28,100 1,187
Universal Corp. 7,300 193
Universal Health Services, Inc. Class B 12,200 319
Uromed Corp. (a) 50,000 674
Utah Medical Products (a) 10,000 124
VISX, Inc. (a) 21,200 720
Vivus, Inc. (a) 20,000 654
Watson Pharmaceuticals, Inc. (a) 32,000 1,207
Weis Markets, Inc. 1,000 32
--------
40,028
--------
CONSUMER DURABLES - 2.0%
Arrow Automotive Industries, Inc. (a) 68,500 368
Arvin Industries, Inc. 7,000 156
Bassett Furniture Industries, Inc. 1,200 32
Cavalier Homes, Inc. 42,900 992
Coachmen Industries, Inc. 31,000 1,085
Coast Distribution Systems (a) 18,000 110
CORT Business Services Corp. (a) 7,700 150
Donaldson Co., Inc. 4,000 103
Ethan Allen Interiors, Inc. (a) 3,500 87
Excel Industries, Inc. 10,000 125
Furniture Brands International, Inc. (a) 14,500 160
Kimball International, Inc. Class B 1,000 28
Kinetic Concepts, Inc. 31,400 487
La-Z-Boy Chair Co. 1,300 39
Myers Industries, Inc. 40,100 747
National Presto Industries, Inc. 1,000 38
Oakwood Homes Corp. 25,800 532
Pronet, Inc. (a) 6,000 74
Schult Homes Corp. 6,000 113
Skyline Corp. 2,400 60
Smith (A. O.) Corp. 39,900 998
Standard Products Co. 5,000 116
Titan Wheel International, Inc. 9,500 152
Toro Co. 4,800 158
West, Inc. 1,300 38
--------
6,948
--------
CONSUMER NON-DURABLES - 5.0%
Blair Corp. 1,000 $ 24
Block Drug Co., Inc. Class A 21,050 863
Books A Million, Inc. (a) 10,000 83
Borders Group, Inc. (a) 7,100 229
Brown Group, Inc. 6,600 115
Burlington Coat Factory
Warehouse Corp. (a) 68,200 716
Burlington Industries, Inc. (a) 7,800 110
Carson Pirie Scott & Co. (a) 5,900 158
Claire's Stores, Inc. 35,800 989
Cone Mills Corp. (a) 5,800 65
Daisytek International Corp. (a) 3,000 123
Designer Holdings, Ltd. (a) 10,900 290
Dress Barn, Inc. (a) 3,900 41
Family Dollar Stores, Inc. 14,500 252
Gadzooks, Inc. 7,800 249
Guilford Mills, Inc. 1,000 25
Hartmarx Corp. (a) 5,900 37
Helen of Troy, Ltd. New (a) 4,000 111
Jean Phillippe Fragrances, Inc. New (a) 15,000 124
Johnston Industries, Inc. 38,750 334
Kellwood Co. 8,100 149
Leslie's Poolmart 8,000 138
Longs Drug Stores, Inc. 3,700 165
MacFrugals Bargains Close Outs, Inc. (a) 3,600 64
Meyer (Fred), Inc. (a) 8,000 235
Morningstar Group, Inc. (a) 3,000 33
Movado Group, Inc. 46,500 936
Nautica Enterprises, Inc. 55,400 1,593
Nutramax Products, Inc. New (a) 14,000 119
Orchard Supply Hardware Stores Corp. (a) 4,900 148
Oxford Industries, Inc. 31,500 508
Paragon Trade Brands, Inc. (a) 30,000 645
PeopleSoft, Inc. 16,000 1,136
Phillips-Van Heusen Corp. 4,200 54
Pier 1 Imports, Inc. 24,500 364
Quaker Fabric Corp. New (a) 18,000 153
Rayonier, Inc. 6,500 247
Rite Aid Corp. 28,000 833
Robert Mondavi Corp. Class A (a) 3,100 98
Ross Stores, Inc. 29,800 1,036
Russ Berrie & Co., Inc. 1,300 24
Russell Corp. 5,200 144
Shopko Stores, Inc. 45,200 729
Sports Authority, Inc. (a) 4,700 154
Springs Industries, Inc. 3,400 172
Tiffany & Co. 18,000 1,314
Tranzonic Cos. Class B 26,000 299
Tuesday Morning, Inc. (a) 1,600 21
Special Growth Fund 17
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Tyco Toys, Inc. (a) 19,200 $ 98
Value City Department Stores, Inc. (a) 14,200 155
Waban, Inc. (a) 19,700 469
Windmere Corp. 6,600 86
--------
17,257
--------
CONSUMER SERVICES - 2.9%
AAR Corp. 4,400 90
Atlantic Coast Airlines, Inc. (a) 31,900 411
Carmike Cinemas, Inc. (a) 2,100 57
Children's Discovery Centers
of America, Inc. New (a) 20,000 125
Comair Holdings, Inc. 29,800 808
Equity Inns, Inc. 14,000 158
Falcon Cable Systems Co. L.P. (a) 61,700 551
GC Companies, Inc. (a) 700 26
Golf Enterprises, Inc. (a) 12,000 138
Harvey's Casino Resorts 4,700 100
K2, Inc. 3,100 84
King World Productions, Inc. (a) 13,300 484
La Quinta Motor Inns, Inc. 20,300 680
Lodgenet Entertainment Corp. (a) 12,000 165
Luby's Cafeterias, Inc. 5,700 134
Marcus Corp. 1,100 28
Max & Erma's Restaurants, Inc. (a) 15,000 109
Mesa Airlines, Inc. (a) 56,600 658
O'Charleys, Inc. (a) 10,000 115
Papa Johns International, Inc. 8,150 393
Qantas Airways, Ltd. ADR Warrants (a) 41,700 706
Recoton Corp. (a) 11,800 202
Regis Corp. 25,350 773
Reno Air, Inc. (a) 30,700 345
Ruby Tuesday, Inc. 4,900 111
Ryan's Family Steak Houses, Inc. (a) 92,900 859
ShoLodge, Inc. (a) 10,133 122
Showbiz Pizza Time, Inc. 39,400 601
Skywest, Inc. 4,200 77
Speedway Motorsports, Inc. 5,700 146
Studio Plus America, Inc. (a) 3,000 98
Sunstone Hotel Investors, Inc. 43,300 459
Supertel Hospitality, Inc. (a) 14,000 143
--------
9,956
--------
ENERGY - 7.0%
AGL Resources, Inc. 6,400 121
Alamco, Inc. (a) 10,000 113
Apache Corp. 23,500 773
Arch Petroleum, Inc. New (a) 61,800 $ 124
Atmos Energy Corp. 1,100 34
Basin Exploration, Inc. (a) 110,000 688
Belden & Blake Corp. (a) 7,400 154
Benton Oil & Gas Co. (a) 36,400 801
Berry Petroleum Co. Class A 54,200 617
BJ Services Co. (a) 22,100 776
Brown (Tom), Inc. (a) 43,100 722
Callon Petroleum Co. (a) 11,000 138
Camco International, Inc. 10,800 366
Coho Energy, Inc. (a) 94,480 626
Cross Timbers Oil Co. 45,000 1,114
Crown Centennial Petroleum Co. Class B (a) 30,800 474
Diamond Shamrock, Inc. 38,700 1,117
Energen Corp. 1,900 42
ENSCO International, Inc. (a) 24,850 808
Equity Oil Co. (a) 105,000 499
Global Industries, Inc. 3,000 89
Harcor Energy, Inc. (a) 25,000 113
Helmerich & Payne, Inc. 30,000 1,099
ICO, Inc. 17,000 96
Indiana Energy, Inc. 1,500 43
K N Energy, Inc. 500 17
Laclede Gas Co. 35,700 799
LTV Corp. 45,500 518
Marine Drilling Co, Inc. (a) 16,000 160
Maynard Oil Co. (a) 90,500 747
Mitchell Energy & Development Corp. 2,600 49
NGC Corp. 11,100 167
Noble Drilling Corp. (a) 75,000 1,041
NorAm Energy Corp. 11,100 121
Nuevo Energy Co. (a) 2,500 81
NUI Corp. 1,300 23
Oryx Energy Co. (a) 33,900 551
Parker & Parsley Petroleum Co. 57,000 1,582
Production Operators Corp. 4,000 135
Quaker State Oil Refining Corp. 9,900 149
Questar Corp. 7,000 238
Reading & Bates Corp. (a) 32,300 715
Santa Fe Energy Resources, Inc. (a) 28,800 342
Seagull Energy Corp. (a) 19,900 497
Snyder Oil Corp. 16,800 169
Tuboscope Vetco International Corp. (a) 10,000 110
Ultramar Corp. 30,700 889
USX-Delhi Group 60,900 745
Valero Energy Corp. 32,200 804
Vintage Petroleum, Inc. 60,800 1,549
Wiser Oil Co. 37,500 472
--------
24,217
--------
18 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
FINANCE - 16.8%
Aames Financial Corp. 27,950 $ 1,003
Acceptance Insurance Companies, Inc. (a) 3,400 58
AlBank Financial Corp. 9,100 240
Alex Brown, Inc. 5,100 288
Allied Group, Inc. 1,500 65
Allmerica Property & Casualty Cos. 2,000 54
American Bankers Insurance Group, Inc. 49,600 2,164
American National Insurance Co. 9,400 606
American Travellars Corp. 76,350 1,747
AMRESCO, Inc. 22,700 389
AmVestors Financial Corp. 3,400 54
Astoria Financial Corp. 9,000 244
AVEMCO Corp. 33,000 446
Bancorp Hawaii, Inc. 4,600 166
Bankatlantic Bancorp, Inc. Class A 31,500 441
Bankers Corp. 6,000 104
Bankers Life Holding Corp. 4,700 104
Bay View Capital Corp. 1,800 61
Bear Stearns Cos., Inc. 30,465 720
Berkley (W.R.) Corp. 19,000 793
BHC Financial, Inc. 8,000 110
Capital RE Corp. 2,900 107
Carolina First Corp. 4,100 71
Centura Banks, Inc. 1,500 55
CFI ProServices, Inc. (a) 5,000 124
Charter One Financial, Inc. 31,400 1,091
CitiFed Bancorp, Inc. 4,000 157
City National Corp. 13,200 208
CNB Bancshares, Inc. 700 20
Collective Bancorp, Inc. 2,400 57
Colonial BancGroup, Inc. 31,000 1,039
Commerce Bancorp, Inc. 1,100 26
Commerce Group, Inc. 3,200 67
Commercial Federal Corp. 3,900 149
Conseco, Inc. 26,000 1,040
Corporate Express, Inc. (a) 44,000 1,760
CorVel Corp. (a) 700 25
Cullen Frost Bankers, Inc. 4,000 111
Dauphin Deposit Corp. 1,800 51
Delphi Financial Group, Inc. (a) 2,700 72
Deposit Guaranty Corp. 1,000 44
Downey Financial Corp. 1,200 26
Eaton Vance Corp. 22,100 785
Edwards (A.G.), Inc. 23,000 624
Enhance Financial Services Group, Inc. 1,400 39
Envoy Corp. New (a) 34,100 989
Equitable of Iowa Cos. 4,100 146
Everest Re Holdings, Inc. 14,100 365
Executive Risk, Inc. 700 27
Fidelity National Financial 4,300 $ 65
Financial Fed Corp. 7,000 109
Financial Security Assurance Holdings, Ltd. 3,000 82
First American Corp. 6,400 270
First American Financial Corp. 31,000 1,046
First Bell Bancorp, Inc. 6,900 94
First Colony Corp. 4,500 140
First Commerce Corp. 25,200 891
First Commercial Corp. Rights (a) 1,000 31
First Federal Savings Bank
of Colorado, Inc. 4,300 56
First Financial Caribbean Corp. 6,000 119
First Financial Corp. 3,200 72
First Mortgage Corp. (a) 30,000 139
First Republic Bancorp, Inc. (a) 10,000 154
First Tennessee National Corp. 21,200 647
First Virginia Banks, Inc. 2,200 88
FirstBank Puerto Rico 1,200 28
Flushing Financial Corp. (a) 6,300 107
Fremont General Corp. 80,075 1,842
Frontier Insurance Group, Inc. 1,870 65
Great Financial Corp. 3,000 78
Greenpoint Financial Corp. 19,000 537
Horace Mann Educators Corp. 4,700 149
Imperial Bancorp 2,080 50
Imperial Credit Industries, Inc. 32,611 986
Inter-Regional Financial Group, Inc. 1,800 47
Jefferies Group, Inc. 22,000 682
Keystone Financial, Inc. 1,800 60
Leader Financial Corp. 38,700 1,712
Legg Mason, Inc. 2,500 81
Lehman Brothers Holdings, Inc. 25,400 629
Leucadia National Corp. 4,700 115
Liberty Corp. 1,100 35
Litchfield Financial Corp. 7,000 93
Long Island Bancorp, Inc. 6,900 210
MAF Bancorp, Inc. 3,411 82
Magna Group, Inc. 3,400 81
Markel Corp. (a) 9,500 855
MLF Bancorp, Inc. 3,400 81
Money Store, Inc. 44,000 957
National Auto Credit, Inc. 4,070 46
National Re Corp. 19,800 747
New York Bancorp, Inc. 1,100 28
Ohio Casualty Corp. 22,500 782
Old Kent Financial Corp. 15,540 608
Old Republic International Corp. 15,400 331
Olympic Financial, Ltd. (a) 15,000 345
ONBANCorp 23,400 763
Special Growth Fund 19
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
One Valley Bancorp of West Virginia, Inc. 2,000 $ 69
Orion Capital Corp. 4,200 214
Pace American Group, Inc. (a) 25,000 3
Paine Webber Group, Inc. 42,000 998
Penn Treaty American Corp. (a) 7,000 151
PennCorp Financial Group, Inc. 26,100 829
Peoples Heritage Financial Group 66,500 1,355
Provident Bancorp, Inc. 3,000 106
Provident Bankshares Corp. 2,100 69
Quaker City Bancorp, Inc. (a) 9,200 125
Queens County Bancorp 5,000 243
RCSB Financial, Inc. 2,300 59
RenaissanceRe Holdings, Ltd. 38,000 1,169
Republic Bancorp, Inc. 2,700 30
Resource Bancshares Mortgage Group 9,744 118
Riggs National Corp. 5,100 62
Robert Half International, Inc. 51,600 1,438
Roosevelt Financial Group, Inc. 13,700 264
Seacor Holdings, Inc. (a) 4,000 177
Security Capital Corp. 1,000 60
Security Connecticut Corp. 8,300 226
Selective Insurance Group, Inc. 19,900 647
Signet Banking Corp. 15,300 356
Southern Pacific Funding Corp. (a) 19,400 340
SouthTrust Corp. 32,000 900
Sovereign Bancorp, Inc. 9,560 96
St. Paul Bancorp, Inc. 2,900 67
Standard Federal Bancorporation 3,000 116
Standard Financial, Inc. 4,300 70
State Auto Financial Corp. 6,000 146
SunAmerica, Inc. 29,800 1,684
Susquehanna Bancshares, Inc. 1,300 35
T R Financial Corp. 3,000 81
TCF Financial Corp. 27,600 918
Titan Holdings, Inc. 8,750 123
Transatlantic Holdings, Inc. 9,000 631
Transnational Re Corp. Class A 27,500 667
Trenwick Group, Inc. Rights (a) 12,000 600
Union Planters Corp. 29,050 882
United Fire & Casualty Co. 32,450 989
US Facilities Corp. 50,000 843
USLIFE Corp. 32,100 1,054
Valley National Bancorp 2,300 58
Vesta Insurance Group, Inc. 5,550 184
Washington Mutual, Inc. 31,200 931
Washington National Corp. 3,500 89
Westco Bancorp, Inc. 7,500 157
Westcorp, Inc. 7,366 130
Whitney Holding Corp. 1,000 29
Zenith National Insurance Corp. 1,100 $ 29
Zions Bancorp 15,600 1,134
Zurich Reins Centre Holdings, Inc. 1,000 31
--------
58,129
--------
GENERAL BUSINESS - 10.2%
AccuStaff, Inc. 17,700 482
Alternative Resources Corp. (a) 20,300 731
American Business Products, Inc. 1,200 26
American Radio Systems Corp. Class A (a) 28,100 1,208
Argyle Television, Inc. Class A (a) 38,500 943
Ascend Communications, Inc. 44,000 2,470
Assisted Living Concepts, Inc. (a) 4,700 96
Belo (A.H.) Corp. Class A 22,500 838
BHC Communications, Inc. Class A 300 29
BISYS Group, Inc. New (a) 4,000 150
Bowne & Co., Inc. 3,100 64
Cascade Communications Corp. 13,800 938
Central Newspapers, Inc. Class A 31,700 1,189
Clear Channel Communications, Inc. 3,000 247
Cognos, Inc. 50,400 1,147
Coherent Communications Systems Corp. (a) 22,500 467
Comarco, Inc. (a) 5,000 91
Comnet Cellular, Inc. (a) 6,000 180
Comsat Corp. Series 1 11,700 304
Dames & Moore, Inc. 2,800 34
DeVRY, Inc. (a) 20,300 914
ECI Telecom, Ltd. 34,300 793
Effective Management Systems, Inc. (a) 20,000 130
Ennis Business Forms, Inc. 37,250 424
Express Scripts, Inc. Class A (a) 22,300 1,020
General Communication, Inc. Class A (a) 16,000 124
Gibson Greetings, Inc. (a) 3,700 51
Grey Advertising 4,400 972
Harmonic Lightwaves, Inc. (a) 30,000 675
Harte Hanks Communications 30,500 846
Houghton Mifflin Co. 16,000 796
Hunt Manufacturing Co. 2,000 30
ICT Group, Inc. (a) 5,900 112
Interim Services, Inc. (a) 2,400 101
Iron Mountain, Inc. (a) 7,000 142
IVI Publishing, Inc. (a) 38,000 266
Jones Intercable, Inc. Class A (a) 44,000 578
Kronos, Inc. 4,000 138
Lee Enterprises, Inc. 43,500 1,028
Logicon, Inc. 3,700 111
Macromedia, Inc. 13,700 300
McClatchy Newspapers, Inc. Class A 29,800 823
20 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Merrill Corp. 1,400 $ 35
META Group, Inc. (a) 44,000 1,045
Metromedia International Group, Inc. (a) 11,000 135
Miller (Herman), Inc. 4,100 125
Multi-Market Radio, Inc. Class A (a) 5,000 54
New England Business Service, Inc. 2,100 41
OfficeMax, Inc. 6,500 155
Paging Network, Inc. 20,000 473
Paychex, Inc. 39,675 1,904
PC Service Source, Inc. (a) 9,000 131
Personnel Group of America, Inc. (a) 6,400 158
Pittston Brink's Group 14,500 422
Quintiles Transnational Corp. 10,000 653
Saga Communications Class A 7,312 158
SFX Broadcasting, Inc. Class A (a) 5,000 193
Sitel Corp. 9,800 407
Spelling Entertainment Group, Inc. (a) 14,400 110
Standard Register Co. 3,100 76
TCSI Corp. 30,450 723
TRM Copy Centers Corp. (a) 11,000 122
True North Communications, Inc. 1,900 42
US Office Products Co. (a) 32,900 1,374
Verifone, Inc. (a) 14,800 625
Viking Office Products, Inc. 80,900 2,528
Wackenhut Corp. 6,000 147
Washington Post Co. Class B 3,400 1,101
Zilog, Inc. (a) 14,500 347
--------
35,292
--------
MISCELLANEOUS - 1.7%
Castle & Cook, Inc. New (a) 8,000 128
Chris Craft Industries, Inc. 31,247 1,375
Citation Corp. (a) 14,000 161
CRIIMI MAE, Inc. 6,400 70
FRP Properties, Inc. (a) 6,000 123
Geon Co. 5,100 115
Griffon Corp. (a) 96,500 784
Gyrodyne Co. of America, Inc. (a) 4,175 53
Ha-Lo Industries, Inc. 4,000 104
Hirsch International Group Class A 5,000 95
ITT Educational Services, Inc. 4,400 127
Jabil Circuit, Inc. (a) 6,300 76
Landair Services, Inc. (a) 8,000 120
Learning Tree International, Inc. (a) 5,000 151
Leather Factory, Inc. (a) 40,000 78
M.D.C. Holdings, Inc. 15,000 101
Mark VII, Inc. (a) 6,000 121
McWhorter Technologies, Inc. (a) 1,800 32
Mercer International, Inc. 11,200 $ 148
Miller Industries, Inc. 1,300 37
NN Ball & Roller, Inc. 8,000 160
NUMAR Corp. (a) 8,000 123
On Assignment, Inc. (a) 12,200 439
PXRE Corp. 28,000 679
Supreme Industries, Inc. Class A 16,000 125
Texoil, Inc. (a) 65,000 65
Tracor, Inc. New (a) 6,700 113
Webb (Del E.) Corp. 3,500 71
--------
5,774
--------
SHELTER - 2.6%
Ameron, Inc. 1,000 40
Beazer Homes USA, Inc. (a) 33,100 530
Cameron Ashley, Inc. (a) 10,000 115
Centex Construction Products, Inc. 10,300 145
Centex Corp. 18,100 563
Champion Enterprises, Inc. 41,100 858
Continental Homes Holding Corp. 4,100 88
Elcor Chemical Corp. 100 2
Granite Construction, Inc. 35,150 808
Kaufman & Broad Home Corp. 55,200 800
Lennar Corp. 36,200 905
Redman Industries, Inc. 36,500 730
Schuller Corp. 28,700 298
Smith (Charles E.) Residential Realty, Inc. 35,000 840
Southdown, Inc. 31,000 729
St. Joe Corp. 13,000 839
Standard Pacific Corp. 18,000 131
U.S. Home Corp. (a) 21,800 536
--------
8,957
--------
TECHNOLOGY - 16.4%
Accent Software International, Inc. 23,850 733
ACX Technologies, Inc. 10,500 209
Adaptec, Inc. (a) 1,600 76
ADC Telecommunications, Inc. (a) 43,800 1,949
Amisys Managed Care Systems, Inc. (a) 11,000 285
Amplicon, Inc. 10,000 160
Applix, Inc. 24,000 684
Astea International, Inc. (a) 7,000 170
Atria Software, Inc. 15,400 770
Augat, Inc. 57,000 1,090
Auspex Systems, Inc. (a) 13,800 204
Baan Co. NV 17,000 578
Banctec, Inc. (a) 42,700 865
Special Growth Fund 21
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Bell Industries 35,291 $ 591
BI Incorporated Co. New (a) 10,000 133
Boole & Babbage, Inc. 5,000 116
Brooktree Corp. NPV (a) 6,300 65
Business Objects SA - ADR 24,400 982
Cambridge Technology Partners, Inc. 33,000 1,007
CBT Group PLC - ADR 38,000 1,710
CDW Computer Centers, Inc. (a) 11,900 818
CEM Corp. (a) 10,000 133
Centennial Technologies, Inc. 3,500 105
Chips & Technologies, Inc. (a) 74,200 714
Circon Corp. (a) 12,400 146
Citrix Systems, Inc. 26,000 982
Computer Horizons Corp. 15,300 601
Comverse Technology, Inc. New (a) 40,200 1,226
Consilium, Inc. (a) 15,700 112
Cray Research, Inc. (a) 23,600 569
Data General Corp. (a) 39,100 508
Data Processing Corp. (a) 12,600 334
Data Transmission Network Corp. (a) 2,000 122
DH Technology, Inc. 7,000 158
Documentum, Inc. (a) 8,800 268
DSP Group, Inc. (a) 20,000 180
DST Systems, Inc. (a) 15,500 496
DuPont Photomasks, Inc. (a) 600 12
Dynamics Research Corp. (a) 81,650 663
Electromagnetic Sciences, Inc. (a) 10,000 144
Eletronics For Imaging, Inc. 10,500 728
Enterprise Systems, Inc. (a) 14,100 384
Esterline Corp. (a) 5,900 148
Etec Systems, Inc. (a) 4,000 88
Evans & Sutherland Computer Corp. (a) 2,400 50
Exar Corp. (a) 8,000 102
FORE Systems 20,000 720
Forte Software, Inc. (a) 12,000 627
Furon Co. 1,300 32
Gateway 2000, Inc. (a) 20,200 684
Gerber Scientific, Inc. 2,500 40
Global Village Communication (a) 14,000 116
GT Interactive Software Corp. (a) 40,100 672
GTI Corp. (a) 10,000 69
Hadco Corp. (a) 26,200 550
HBO & Co. 42,200 2,849
Hello Direct, Inc. (a) 20,000 128
Imnet Systems, Inc. (a) 5,900 178
Input/Output, Inc. 47,000 1,522
Insignia Solutions, Inc. PLC - ADR (a) 6,800 56
Inso Corp. 17,800 908
Integrated Circuit Systems, Inc. (a) 10,000 108
Jack Henry & Assocociates, Inc. 42,900 $ 1,459
Kaman Corp. Class A 1,900 19
KLA Instruments Corp. 30,000 694
Komag, Inc. (a) 18,500 483
Landauer, Inc. 4,300 91
Littlefuse, Inc. (a) 1,400 53
Litton Industries, Inc. (a) 10,900 474
LTX Corp. (a) 78,100 478
M-Wave, Inc. (a) 11,100 47
Marshall Industries (a) 32,800 918
McAfee Associates, Inc. 31,075 1,523
Medic Computer Systems, Inc. (a) 18,600 1,507
Meridian Data, Inc. (a) 31,300 278
Metrologic Instruments, Inc. (a) 10,000 115
Molex, Inc. Class A 16,000 470
Mylex Corp. (a) 35,500 621
National Semiconductor Corp. (a) 43,100 668
Natural Microsystems Corp. (a) 10,000 348
Network General Corp. 39,800 846
ON Technology Corp. (a) 9,400 96
Orbital Sciences Corp. Class A (a) 11,200 182
Parametric Technology Corp. 25,300 1,094
Photronics, Inc. (a) 5,000 131
Picturetel Corp. 20,000 788
Pittway Corp. Class A 24,467 1,138
Planar Systems, Inc. (a) 3,800 54
Saville Systems Ireland PLC - ADR (a) 26,100 724
Software Artistry, Inc. (a) 15,000 103
Software Spectrum, Inc. (a) 4,000 90
SpaceLabs, Inc. (a) 1,100 25
Spectralink Corp. (a) 18,800 169
Storage Technology Corp. (a) 19,800 757
Structural Dynamics Research Corp. (a) 51,300 1,116
Sykes Enterprises, Inc. (a) 5,000 246
Syratech Corp. (a) 700 16
TB Wood's Corporation 15,000 146
Tech-Sym Corp. (a) 25,700 765
Tecnomatix Technologies, Ltd. (a) 18,800 350
Tellabs, Inc. (a) 15,000 1,001
Teradyne, Inc. 47,582 821
Thiokol Corp. 6,000 237
Thomas & Betts Corp. 5,000 188
Transaction Systems Architects, Inc.
Class A (a) 16,300 1,092
ULTRADATA Corp. (a) 21,600 167
Uniphase Corp. 15,000 521
Veritas Software Corp. (a) 13,200 561
Wall Data, Inc. (a) 4,000 85
Watkins-Johnson Co. 10,100 276
22 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
WinStar Communications, Inc. (a) 11,300 $ 279
Wyle Laboratories 13,500 446
Xylan Corp. (a) 9,800 455
Zero Corp. 4,400 93
--------
56,731
--------
TRANSPORTATION - 1.2%
Air Express International Corp. 6,000 167
Caliber Systems, Inc. 6,700 228
Fritz Companies, Inc. 25,500 816
Kirby Corp. (a) 4,400 74
Knight Transportation, Inc. (a) 9,800 198
MTL, Inc. (a) 48,000 816
Overseas Shipholding Group, Inc. 36,000 653
Roadway Express, Inc. 5,500 78
Transport Corp. of America (a) 12,000 146
Trico Marine Services, Inc. (a) 2,300 51
U.S. Xpress Enterprises, Inc. Class A (a) 15,000 107
Wisconsin Central Transportation Corp. 28,000 896
XTRA Corp. 4,100 180
--------
4,410
--------
UTILITIES - 4.4%
American Water Works, Inc. 3,700 149
Aquarion Co. 1,000 25
Atlantic Energy, Inc. 4,100 75
Bay State Gas Co. 1,100 31
Black Hills Corp. 1,000 25
Boston Edison Co. 10,200 260
Cellular Communications
of Puerto Rico, Inc. (a) 32,966 1,063
Centennial Cellular Corp. Class A (a) 59,000 981
Centerior Energy Corp. 17,700 131
Central Hudson Gas & Electric Corp. 3,300 103
Central Louisiana Electric Co., Inc. 2,200 59
Central Maine Power Co. 48,300 700
CILCORP, Inc. 2,000 86
Citizens Utility Co. Class A 83,864 964
Commonwealth Energy System 2,000 52
Connecticut Natural Gas Corp. 600 13
Delmarva Power & Light Co. 2,900 61
E'town Corp. 1,000 28
Eastern Enterprises, Inc. 4,700 156
Eastern Utilities Associates 4,500 88
El Paso Natural Gas Co. 10,200 393
Empire District Electric Co. 1,300 22
Equitable Resources, Inc. 8,700 246
Idaho Power Co. 7,200 $ 224
IPALCO Enterprises, Inc. 6,150 161
KU Energy Corp. 3,400 102
LG&E Energy Corp. 4,000 92
Long Island Lighting Co. 34,400 576
MCN Corp. 11,500 280
MDU Resources Group, Inc. 1,000 22
MidAmerican Energy Co. 12,600 217
Minnesota Power & Light Co. 3,600 104
Montana Power Co. 7,500 167
National Fuel & Gas Co. 6,200 223
New England Electric System 7,600 276
New York State Electric & Gas Corp. 16,200 395
NICOR, Inc. 16,100 457
Northwestern Public Service Co. 6,000 161
ONEOK, Inc. 7,000 175
Peoples Energy Corp. 26,400 884
Piedmont Natural Gas Co., Inc. 2,700 62
Pinnacle West Capital Corp. 11,200 340
Portland General Electric Co. 9,400 290
Primark Corp. (a) 2,600 85
Public Service Co. of New Mexico 14,100 289
Public Service Co. of North Carolina, Inc. 1,700 29
Rochester Gas & Electric Corp. 9,300 200
SIG Corp., Inc. 200 7
Southwestern Energy Co. 4,800 68
TNP Enterprises, Inc. 3,100 88
TresCom International, Inc. (a) 8,700 87
UGI Corp. 5,700 125
United Illuminating Co. 21,600 807
Washington Gas & Light Co. 28,800 634
Washington Water Power Co. 44,500 829
Western Resources, Inc. 22,200 663
WICOR, Inc. 2,900 109
WPL Holdings, Inc. 4,200 138
WPS Resources Corp. 1,700 55
--------
15,132
--------
TOTAL COMMON STOCKS
(cost $265,773) 313,581
--------
PREFERRED STOCKS - 0.0%
Triathlon Broadcasting Co. (conv.) 15,000 144
--------
TOTAL PREFERRED STOCKS
(cost $150) 144
--------
Special Growth Fund 23
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
SHORT-TERM INVESTMENTS - 7.9%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 24,596 $ 24,596
United States Treasury Bills (c)(d)
4.930% due 10/17/96 100 98
4.975% due 10/17/96 2,500 2,462
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $27,157) 27,156
--------
TOTAL INVESTMENTS
(identified cost $293,080)(e) - 98.6% 340,881
OTHER ASSETS AND LIABILITIES,
NET - 1.4% 4,723
--------
NET ASSETS - 100.0% $345,604
--------
--------
(a) Non income-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) Held as collateral by the custodian in connection with futures contracts
purchased by the Fund.
(e) See Note 2 for federal income tax information.
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- --------------
FUTURES CONTRACTS
(NOTES 2 AND 3)
S&P 500 Index Futures Contracts
expiration date 09/96 10 $ 9
S&P 400 Midcap Index Futures Contracts
expiration date 09/96 137 (412)
Russell 2000-Registered Trademark- Index
Futures Contracts
expiration date 09/96 31 (100)
------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (Section) $ (503)
------------
------------
(Section) At June 30, 1996, United States Treasury Bills valued at $2,560 were
held as collateral by the custodian in connection with futures
contracts purchased by the Fund.
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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $293,080,053)(Note 2) . . . . . . . . . . . $ 340,881,137
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111,775
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 401,240
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,880,814
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,460,248
Daily variation margin on futures contracts (Notes 2 and 3). . . . . . . . . . . 260,400
-------------
348,995,614
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . . $ 2,744,440
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . 222,097
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . . 328,260
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . 96,377 3,391,174
------------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 345,604,440
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . $ 240,107
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . 29,847,355
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,800,715
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (503,053)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . 81,904
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . 268,137,412
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 345,604,440
-------------
-------------
Net asset value, offering and redemption price per share,
($ 345,604,440 divided by 8,190,385 shares of $.01 par value,
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . $42.20
-------------
-------------
</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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,679,565
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . . 775,062
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67,470
------------
2,522,097
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . $ 1,577,537
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . 218,158
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . 173,058
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . 12,086
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . 14,948
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . 17,548
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . 13,996 2,029,795
------------ ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 492,302
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,677,709
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,091,496
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184,403
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,720,239
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (465,180)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (7,987)
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . 32,200,680
------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . $ 32,692,982
------------
------------
</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, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . $ 492,302 $ 1,346,692
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 27,677,709 33,338,109
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . 2,091,496 516,129
Options written. . . . . . . . . . . . . . . . . . . . . . . . 184,403 2,189,384
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 2,720,239 31,555,328
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (465,180) (37,873)
Options written. . . . . . . . . . . . . . . . . . . . . . . . (7,987) (554,772)
------------- -------------
Net increase (decrease) in net assets resulting from operations. . 32,692,982 68,352,997
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . (538,737) (1,514,994)
Net realized gain on investments . . . . . . . . . . . . . . . . (7,374,398) (25,900,014)
Increase (decrease) in net assets from Fund share transactions . . 7,146,926 43,663,052
------------- -------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . 31,926,773 84,601,041
Net assets at beginning of period. . . . . . . . . . . . . . . . . 313,677,667 229,076,626
------------- -------------
Net Assets at End of Period
(including undistributed net investment income
of $240,107 and $286,547, respectively) . . . . . . . . . . . . $ 345,604,440 $ 313,677,667
------------- -------------
------------- -------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------------------ ------------------------------
FUND SHARE TRANSACTIONS Shares Amount Shares Amount
-------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . 1,825,337 $ 74,115,419 3,140,651 $ 117,908,654
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . 141,647 5,527,252 483,880 18,530,761
Fund shares redeemed . . . . . . . . . . . . . . (1,785,359) (72,495,745) (2,460,757) (92,776,363)
-------------- ------------- ------------- --------------
Net increase (decrease). . . . . . . . . . . . . 181,625 $ 7,146,926 1,163,774 $ 43,663,052
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
</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>
1996* 1995 1994 1993 1992 1991
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . $ 39.17 $ 33.47 $ 35.82 $ 36.63 $ 34.47 $ 24.71
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . 0.06 .18 .16 .07 .05 .24
Net realized and unrealized gain (loss) on
investments . . . . . . . . . . . . . . 3.94 9.25 (.71) 5.22 4.22 10.34
-------- -------- -------- -------- -------- --------
Total Income From Investment Operations. 4.00 9.43 (.55) 5.29 4.27 10.58
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . (0.07) (.21) (.10) (.07) (.06) (.24)
Net realized gain on investments . . . . (0.90) (3.52) (.85) (6.03) (2.05) (.58)
In excess of net realized gain on investments -- -- (.85) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . (0.97) (3.73) (1.80) (6.10) (2.11) (.82)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . $ 42.20 $ 39.17 $ 33.47 $ 35.82 $ 36.63 $ 34.47
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . 10.43 28.52 (3.71) 15.48 12.52 43.11
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) 1.22 1.22 1.20 1.31 1.33 1.36
Net investment income to average net assets (b) 0.30 .49 .50 .19 .14 .80
Portfolio turnover (b) . . . . . . . . . 134.84 87.56 55.40 91.97 42.20 42.81
Net assets, end of period ($000 omitted) 345,604 313,678 229,077 188,891 134,913 105,245
Average commission rate paid per share
of security ($ omitted) . . . . . . . . .0364 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
28 Special Growth Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
COMMON STOCKS - 92.0%
BASIC INDUSTRIES - 9.2%
AK Steel Holding Corp. 4,300 $ 168
Allegheny Ludlum Corp. 14,500 274
Alumax, Inc. (a) 34,800 1,057
Aluminum Co. of America 25,900 1,486
ASARCO, Inc. 20,900 577
Boise Cascade Corp. 10,500 385
Bowater, Inc. 14,300 538
Cabot Corp. 12,800 314
Champion International Corp. 13,700 572
Consolidated Papers, Inc. 4,400 229
Crown Vantage, Inc. (a) 11,940 167
Cyprus Amax Minerals Co. 29,075 658
Dow Chemical Co. 17,825 1,355
FMC Corp. New (a) 25,400 1,657
Goodrich (B.F.) Co. 23,900 893
Great Lakes Chemical Corp. 15,400 959
James River Corp. of Virginia 37,100 979
Mark IV Industries, Inc. 18,165 411
Mead Corp. 8,400 436
Methanex Corp. (a) 35,600 267
Olin Corp. 6,300 562
Owens-Illinois, Inc. (a) 6,800 109
Potlatch Corp. 11,400 446
PPG Industries, Inc. 10,700 522
Rohm & Haas Co. 4,400 276
Temple-Inland, Inc. 6,100 285
Terra Industries, Inc. 25,200 312
USX-U.S. Steel Group 18,200 516
Wellman, Inc. 11,600 271
Westvaco Corp. 10,900 325
Willamette Industries, Inc. 3,200 189
--------
17,195
--------
CAPITAL GOODS - 3.0%
AGCO Corp. 26,600 738
Browning-Ferris Industries, Inc. 18,100 525
Caterpillar, Inc. 11,600 786
Cummins Engine Co., Inc. 7,900 319
Deere & Co. 7,700 308
General Electric Co. 15,400 1,332
Harnischfeger Industries, Inc. 4,800 160
Johnson Controls, Inc. 12,900 897
Tecumseh Products Co. Class A 8,200 441
Timken Co. 4,600 177
--------
5,683
--------
CONSUMER BASICS - 9.0%
American Stores Co. 27,400 1,130
Archer-Daniels-Midland Co. 103,245 1,975
Baxter International, Inc. 20,500 969
Becton, Dickinson & Co. 6,300 506
Bergen Brunswig Corp. Class A 16,000 444
Beverly Enterprises, Inc. (a) 70,600 847
Bristol-Myers Squibb Co. 23,275 2,095
Columbia/HCA Healthcare Corp. 17,700 945
Community Psychiatric Centers (a) 43,900 417
Dial Corp. (The) 28,600 819
IBP, Inc. 51,100 1,412
McKesson Corp. 8,000 381
Philip Morris Cos., Inc. 14,700 1,529
RJR Nabisco Holdings Corp. 11,660 361
Sara Lee Corp. 25,500 826
Schering-Plough Corp. 20,200 1,268
Sun Healthcare Group, Inc. (a) 9,200 130
Tambrands, Inc. 6,700 273
United Healthcare Corp. 11,500 580
--------
16,907
--------
CONSUMER DURABLES - 3.8%
Chrysler Corp. 32,000 1,984
Federal-Mogul Corp. 23,200 426
Ford Motor Co. 24,800 803
General Motors Corp. 42,000 2,200
Goodyear Tire & Rubber Co. 8,600 415
PACCAR, Inc. 6,300 307
Whirlpool Corp. 21,300 1,057
--------
7,192
--------
CONSUMER NON-DURABLES - 4.8%
Anheuser-Busch Cos., Inc. 11,900 893
Burlington Coat Factory
Warehouse Corp. (a) 30,400 319
Burlington Industries, Inc. (a) 46,500 657
Dayton Hudson Corp. 8,900 918
Federated Department Stores, Inc. (a) 26,600 908
Hasbro, Inc. 10,200 365
Michaels Stores, Inc. (a) 24,000 408
Penney (J.C.) Co., Inc. 13,100 688
Pier 1 Imports, Inc. 26,800 399
Russell Corp. 6,500 180
Sears Roebuck & Co. 16,500 802
SuperValu, Inc. 29,400 926
Equity Income Fund 29
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Toys "R" Us, Inc. (a) 43,600 $ 1,242
Woolworth Corp. (a) 13,200 296
--------
9,001
--------
CONSUMER SERVICES - 1.9%
AMR Corp. (a) 28,800 2,621
Brinker International, Inc. (a) 36,200 543
King World Productions, Inc. (a) 6,300 229
Wendy's International, Inc. 7,000 130
--------
3,523
--------
ENERGY - 11.0%
Amerada Hess Corp. NPV 9,400 504
Amoco Corp. 17,275 1,250
Ashland, Inc. 4,500 178
Atlantic Richfield Co. 18,800 2,228
British Petroleum Co. PLC - ADR 9,444 1,009
Castle Energy Corp. New (a) 10,700 107
Chevron Corp. 10,300 608
Exxon Corp. 11,300 982
LTV Corp. 33,600 382
Mobil Corp. 30,200 3,386
Murphy Oil Corp. 17,400 790
Norsk Hydro AS - ADR 12,600 616
Occidental Petroleum Corp. 9,100 225
Questar Corp. 13,500 459
Repsol - ADR 17,100 594
Royal Dutch Petroleum Co. - ADR 7,600 1,169
Sun Co., Inc. 4,300 131
Tenneco, Inc. 31,000 1,585
Texaco, Inc. 23,500 1,971
USX-Marathon Group 41,100 827
Valero Energy Corp. 38,600 965
YPF Sociedad Anonima Class D - ADR 28,800 648
--------
20,614
--------
FINANCE - 19.7%
Allstate Corp. S26,720 1,219
AMBAC, Inc. 16,100 839
American General Corp. 66,400 2,415
Banc One Corp. 36,680 1,247
Bank of Boston Corp. 20,000 990
BankAmerica Corp. 15,300 1,159
Bankers Trust New York Corp. 12,600 931
Barnett Banks, Inc. 9,400 573
Chase Manhattan Corp. 54,888 3,876
Chubb Corp. (The) 25,300 1,262
CoreStates Financial Corp. 49,300 1,898
Countrywide Credit Industries, Inc. 35,200 871
Dean Witter, Discover & Co. 21,600 1,237
Everest Re Holdings, Inc. 45,800 1,185
Federal National Mortgage Association 55,100 1,846
First Chicago NBD Corp. 42,342 1,657
First Colony Corp. 10,300 319
First Tennessee National Corp. 26,900 820
First Union Corp. 12,400 755
First Virginia Banks, Inc. 11,300 452
Fleet Financial Group, Inc. 12,700 552
Golden West Financial Corp. 20,100 1,126
Jefferson-Pilot Corp. 13,300 687
John Alden Financial Corp. 12,900 285
Life Re Corp. 14,600 451
Mellon Bank Corp. 16,000 912
Mid Ocean, Ltd. 19,000 779
NationsBank Corp. 14,900 1,231
Norwest Corp. 22,500 785
Old Republic International Corp. 28,650 616
Paine Webber Group, Inc. 14,900 354
Reliance Group Holdings, Inc. 56,800 426
Reliastar Financial Corp. 13,200 569
Southern National Corp. 38,500 1,222
TCF Financial Corp. 9,400 313
U.S. Bancorp of Oregon 29,200 1,052
--------
36,911
--------
GENERAL BUSINESS - 1.5%
American Greetings Corp. Class A 28,000 763
Donnelley (R.R.) & Sons Co. 4,100 143
Ogden Corp. 19,000 344
Tribune Co. 13,500 980
Viacom, Inc. Class B (a) 15,400 599
--------
2,829
--------
MISCELLANEOUS - 1.5%
Chelsea GCA Realty, Inc. 7,800 248
Colonial Properties Trust 12,700 308
Geon Co. 27,100 610
Irvine Apartment Communities, Inc. 10,700 215
Macerich Co. 18,100 380
30 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Providian Corp. 10,700 $ 459
PXRE Corp. 10,600 257
South West Property Trust, Inc. 10,500 140
Town & Country Trust 11,800 155
--------
2,772
--------
SHELTER - 0.3%
Armstrong World Industries, Inc. 4,000 231
Louisiana Pacific Corp. 13,500 298
--------
529
--------
TECHNOLOGY - 7.5%
Advanced Micro Devices, Inc. (a) 23,300 317
Amdahl Corp. (a) 52,000 559
Avnet, Inc. 9,900 417
Boeing Co. 16,400 1,429
Data General Corp. (a) 11,500 150
Hewlett-Packard Co. 8,700 867
Intel Corp. 17,700 1,299
International Business Machines Corp. 37,200 3,683
Kaman Corp. Class A 10,000 100
Longview Fibre Co. 19,200 326
Motorola, Inc. 14,100 887
Pitney Bowes, Inc. 2,700 129
Raytheon Co. 12,800 661
Rockwell International Corp. 24,800 1,420
Seagate Technology (a) 9,100 410
Teradyne, Inc. 32,300 556
United Technologies Corp. 6,700 770
--------
13,980
--------
TRANSPORTATION - 2.5%
Caliber Systems, Inc. 3,300 112
Conrail, Inc. 17,700 1,175
CSX Corp. 24,100 1,163
Federal Express Corp. (a) 13,000 1,066
GATX Corp. 7,200 347
Ryder System, Inc. 27,800 782
--------
4,645
--------
UTILITIES - 16.3%
Baltimore Gas & Electric Co. 9,300 264
BCE, Inc. 38,400 1,517
BellSouth Corp. 22,600 958
Boston Edison Co. 23,000 587
Centerior Energy Corp. 62,300 459
Edison International 119,400 2,104
Entergy Corp. 50,900 1,444
Equitable Resources, Inc. 19,300 545
FPL Group, Inc. 13,900 639
GTE Corp. 17,500 783
MCI Communications Corp. 41,366 1,055
New England Electric System 5,400 196
Niagara Mohawk Power Corp. 92,100 714
Northeast Utilities 44,300 593
NYNEX Corp. 57,300 2,722
Pacific Gas & Electric Co. 89,700 2,086
Pacific Telesis Group 98,100 3,311
PacifiCorp. 35,100 781
Potomac Electric Power Co. 40,400 1,071
PP&L Resources, Inc. 21,600 510
Southern New England
Telecommunications Corp. 25,300 1,063
Sprint Corp. 56,100 2,356
Telefonica de Argentina
Class B - ADR 14,900 441
Texas Utilities Co. 26,900 1,150
U.S. West Communications Group 61,000 1,944
Unicom Corp. 36,500 1,017
UtiliCorp United, Inc. 5,600 155
--------
30,465
--------
TOTAL COMMON STOCKS
(cost $154,764) 172,246
--------
CONVERTIBLE PREFERRED STOCKS - 0.8%
Atlantic Richfield Co. 35,200 858
Sun, Inc. Series A 18,800 555
--------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $1,393) 1,413
--------
PREFERRED STOCKS - 1.1%
Nokia Corp. - ADR 22,100 818
RJR Nabisco Holdings Class C 196,700 1,278
--------
TOTAL PREFERRED STOCKS
(cost $2,094) 2,096
--------
Equity Income Fund 31
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
SHORT-TERM INVESTMENTS - 5.7%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 9,612 $ 9,612
United States Treasury Bills
4.975% due 10/17/96 (c)(d) 1,000 985
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $10,597) 10,597
--------
TOTAL INVESTMENTS
(identified cost $168,848)(e) - 99.6% 186,352
OTHER ASSETS AND LIABILITIES,
NET - 0.4% 810
--------
NET ASSETS - 100.0% $187,162
--------
--------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) Held as collateral by the custodian in connection with futures contracts
purchased by the Fund.
(e) See Note 2 for federal income tax information.
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- -------------
FUTURES CONTRACTS
(Notes 2 and 3)
S & P 500 Index Futures Contracts
expiration date 09/96 24 $ (26)
S & P Barra Value Futures Contracts
expiration date 09/96 15 (18)
-------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (Section) $ (44)
-------
-------
(Section) At June 30, 1996, United States Treasury Bills valued at $985 were
held as collateral by the custodian in connection with futures
contracts purchased 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, 1996 (Unaudited)
<TABLE>
<CAPTION>
ASSETS
<S> <C> <C>
Investments at market (identified cost $168,847,571)(Note 2) . . . . . . . . . . . $ 186,352,286
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 425,470
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,489,089
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303,680
Daily variation margin on futures contracts (Notes 2 and 3) . . . . . . . . . . 60,750
--------------
188,631,275
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . . $ 1,169,611
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . 109,177
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . . 148,879
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . 41,309 1,468,976
-------------- --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 187,162,299
--------------
--------------
NET ASSETS CONSIST OF:,
Undistributed net investment income. . . . . . . . . . . . . . . . $ 920,326
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . 13,433,659
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . 17,504,715
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . (43,875)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . 47,063
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . 155,300,411
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 187,162,299
--------------
--------------
Net asset value, offering and redemption price per share
($187,162,299 divided by 4,706,294 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . $39.77
--------------
--------------
</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, 1996 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C> <C>
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,565,154
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . . . . . . . . . . 245,361
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,105
--------------
2,862,620
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 742,963
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102,556
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126,195
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,860
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,528
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,632
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,464
Miscellaneous expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,511 1,008,709
-------------- --------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,853,911
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,428,995
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367,237
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,350,948)
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,597
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,457,881
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . $ 13,311,792
--------------
--------------
</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, 1996 Ended
(Unaudited) December 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,853,911 $ 4,097,207
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,428,995 21,001,868
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . 367,237 553,919
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . -- 563,424
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,350,948) 22,576,087
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,597 (56,472)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (75,229)
-------------- --------------
Net increase (decrease) in net assets resulting from operations. . . . . . 13,311,792 48,660,804
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . (933,585) (4,229,298)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . (6,025,746) (16,619,522)
Increase (decrease) in net assets from Fund share transactions . . . . . . 694,020 8,018,497
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 7,046,481 35,830,481
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . 180,115,818 144,285,337
-------------- --------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $920,326 at June 30, 1996). . . . . . . . . . . . . . . . . . . . . . $ 187,162,299 $ 180,115,818
-------------- --------------
-------------- --------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1995
--------------------------------- ----------------------------------
<S> <C> <C> <C> <C>
SHARES AMOUNT SHARES AMOUNT
------------- -------------- -------------- --------------
Fund shares sold . . . . . . . . . . . . . 777,683 $ 30,516,764 1,419,456 $ 52,652,979
Fund shares issued to shareholders
in reinvestments of distributions. . . . 113,349 4,416,266 338,403 12,788,889
Fund shares redeemed . . . . . . . . . . . (871,201) (34,239,010) (1,551,581) (57,423,371)
------------- -------------- -------------- --------------
Net increase (decrease). . . . . . . . . . 19,831 $ 694,020 206,278 $ 8,018,497
------------- -------------- -------------- --------------
------------- -------------- -------------- --------------
</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>
1996* 1995 1994 1993 1992 1991
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 38.43 $ 32.21 $ 35.90 $ 35.32 $ 36.54 $ 30.75
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . .40 .94 .90 .83 .99 1.11
Net realized and unrealized gain (loss) on investments . 2.41 10.08 (.70) 3.69 3.08 7.15
-------- -------- -------- -------- -------- --------
Total Income From Investment Operations. . . . . . . . . 2.81 11.02 .20 4.52 4.07 8.26
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . (.20) (.97) (.89) (.83) (1.00) (1.10)
In excess of net investment income . . . . . . . . . . . -- -- -- (.00) -- --
Net realized gain on investments . . . . . . . . . . . . (1.27) (3.83) (3.00) (3.11) (4.29) (1.37)
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . (1.47) (4.80) (3.89) (3.94) (5.29) (2.47)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 39.77 $ 38.43 $ 32.21 $ 35.90 $ 35.32 $ 36.54
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . 7.40 34.76 .69 13.23 11.51 27.52
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) . . . . . . 1.08 1.06 1.04 1.05 1.08 1.11
Net investment income to average net assets (b). . . . . 1.99 2.51 2.56 2.23 2.68 3.11
Portfolio turnover (b) . . . . . . . . . . . . . . . . . 108.08 92.40 89.91 78.72 95.07 61.73
Net assets, end of period ($000 omitted) . . . . . . . . 187,162 180,116 144,285 149,532 134,365 122,689
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . . . . . . . .0443 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
36 Equity Income Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
COMMON STOCKS - 94.4%
BASIC INDUSTRIES - 4.5%
Air Products & Chemicals, Inc. 2,600 $ 150
Albemarle Corp. 4,100 75
Alcan Aluminum, Ltd. 9,500 290
Allegheny Ludlum Corp. 6,600 125
Aluminum Co. of America 23,000 1,320
Bethlehem Steel Corp. (a) 15,300 182
Bowater, Inc. 4,600 173
Cabot Corp. 53,600 1,313
Champion International Corp. 11,500 480
Cincinnati Milacron, Inc. 3,600 86
Crompton & Knowles Corp. 4,300 72
Crown Cork & Seal Co., Inc. 15,200 684
Cytec Industries, Inc. (a) 1,000 86
Dow Chemical Co. 67,200 5,107
du Pont (E.I.) de Nemours & Co. 35,300 2,793
Eastman Chemical Co. 4,800 292
Engelhard Corp. 18,500 426
Freeport McMoRan, Inc. 18,600 660
Georgia Gulf Corp. 1,900 56
Goodrich (B.F.) Co. 600 22
IMC Global, Inc. 700 26
Inco, Ltd. 9,900 319
Inland Steel Industries, Inc. 3,900 77
International Paper Co. 27,400 1,010
International Specialty Products (a) 33,100 364
James River Corp. of Virginia 10,000 264
Jefferson Smurfit Corp. (a) 10,800 117
Mead Corp. 6,200 322
Monsanto Co. 43,000 1,398
Morton International, Inc. 18,000 671
Nucor Corp. 1,700 86
Oregon Steel Mills, Inc. 17,200 237
P.H. Glatfelter Co. 3,400 62
Petrolite Corp. 1,000 31
Phelps Dodge Corp. 16,900 1,054
Pope & Talbot, Inc. 12,900 195
PPG Industries, Inc. 24,300 1,185
Praxair, Inc. 15,600 659
Precision Castparts Corp. 500 22
Reynolds Metals Co. 6,600 344
Rohm & Haas Co. 8,900 558
Temple-Inland, Inc. 15,200 711
Union Carbide Corp. 9,800 390
USX-U.S. Steel Group 7,000 199
Westvaco Corp. 31,500 941
Witco Chemical Corp. 100 3
---------
25,637
---------
CAPITAL GOODS - 5.4%
Anixter International, Inc. 5,400 $ 80
Arrow Electronics, Inc. (a) 13,100 565
Atmel Corp. 19,900 599
Browning-Ferris Industries, Inc. 28,400 824
BWIP Holding, Inc. Class A 4,200 80
Caterpillar, Inc. 47,500 3,218
Cooper Industries, Inc. 9,700 403
Cummins Engine Co., Inc. 19,700 795
Deere & Co. 19,500 780
Dover Corp. 66,500 3,067
Duracell International, Inc. 8,200 354
Emerson Electric Co. 2,900 262
Exide Corp. 2,700 65
General Electric Co. 101,200 8,754
Grainger (W.W.), Inc. 4,600 357
Harnischfeger Industries, Inc. 10,900 362
Harsco Corp. 9,000 605
Ingersoll-Rand Co. 6,600 289
ITT Industries, Inc. 16,300 410
Johnson Controls, Inc. 5,300 368
Kaydon Corp. 5,300 228
Millipore Corp. 27,600 1,156
National Service Industries, Inc. 13,500 528
Novellus Systems, Inc. (a) 22,000 792
Parker-Hannifin Corp. 10,850 460
Pentair, Inc. 19,200 576
Raychem Corp. 15,700 1,128
Sturm, Ruger & Co., Inc. 7,300 339
Tecumseh Products Co. Class A 18,800 1,011
Timken Co. 200 8
TRINOVA Corp. 2,600 87
Tyco International, Ltd. 21,400 872
WMX Technologies, Inc. 33,200 1,087
---------
30,509
---------
CONSUMER BASICS - 19.3%
Abbott Laboratories 44,100 1,918
ALZA Corp. (a) 9,000 246
American Home Products Corp. 60,000 3,608
Amgen, Inc. 6,000 323
Apria Healthcare Group, Inc. (a) 6,300 198
Archer-Daniels-Midland Co. 145,047 2,774
Bausch & Lomb, Inc. 7,500 319
Baxter International, Inc. 2,300 109
Becton, Dickinson & Co. 39,600 3,178
Biomet, Inc. (a) 15,300 216
Black & Decker Corp. 41,000 1,584
Quantitative Equity Fund 37
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, continued
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Bristol-Myers Squibb Co. 39,900 $ 3,591
Campbell Soup Co. 3,400 240
Cardinal Health, Inc. 38,600 2,784
Church and Dwight Co., Inc. 2,200 46
Clorox Co. 2,400 213
Coca-Cola Co. (The) 131,400 6,422
Coca-Cola Enterprises, Inc. 1,400 48
Colgate-Palmolive Co. 10,000 848
Columbia/HCA Healthcare Corp. 52,600 2,808
ConAgra, Inc. 36,850 1,672
CPC International, Inc. 21,500 1,548
Dole Food, Inc. 10,000 430
Eckerd Corp. 21,300 482
FHP International Corp. (a) 21,600 591
Forest Labs, Inc. (a) 4,200 162
Foundation Health Corp. (a) 17,300 621
General Mills, Inc. 100 5
Giant Food, Inc. Class A 2,800 100
Gillette Co. 9,050 564
Great Atlantic & Pacific Tea Co., Inc. 2,700 89
Health Care & Retirement Corp. (a) 27,900 663
Health Management Associates Class A 13,900 281
HealthCare COMPARE (a) 800 39
Heinz (H.J.) Co. 4,350 132
Hershey Foods Corp. 11,100 814
Humana, Inc. (a) 21,500 384
Johnson & Johnson 163,700 8,103
Kellogg Co. 2,500 183
Lilly (Eli) & Co. 44,400 2,886
Manor Care, Inc. 8,300 327
McKesson Corp. New 26,500 1,262
Meditrust 700 23
Medtronic, Inc. 30,700 1,719
Merck & Co., Inc. 100,170 6,473
Michael Foods, Inc. 1,500 17
Mine Safety Appliances Co. 600 25
Nabisco Holdings Corp. Class A 3,400 120
PepsiCo, Inc. 170,800 6,042
Pfizer, Inc. 57,900 4,133
Philip Morris Cos., Inc. 120,300 12,511
Procter & Gamble Co. 78,675 7,130
Quaker Oats Co. 1,000 34
Ralston-Purina Group 7,200 462
RJR Nabisco Holdings Corp. New 41,200 1,277
Rubbermaid, Inc. 2,900 79
Safeway, Inc. 96,800 3,194
Sara Lee Corp. 36,050 1,167
Schering-Plough Corp. 45,300 2,843
Smith's Food & Drug Centers, Inc. Class B 3,500 $ 84
Smucker (J.M.) Co. 300 6
Stryker Corp. 3,400 77
Tenet Healthcare Corp. (a) 28,500 609
Tootsie Roll Industries, Inc. 600 21
U.S. Healthcare, Inc. 5,400 296
U.S. Surgical Corp. 200 6
Unilever NV 10,900 1,582
United Healthcare Corp. 24,100 1,217
Vivra, Inc. 4,700 155
Vons Cos., Inc. (a) 54,500 2,037
Warner-Lambert Co. 29,600 1,628
Watson Pharmaceuticals, Inc. (a) 3,500 132
Wellpoint Health Networks, Inc. Class A (a) 53,029 1,657
Whitman Corp. 900 23
---------
109,590
---------
CONSUMER DURABLES - 2.5%
Carlisle Cos., Inc. 900 48
Chrysler Corp. 84,500 5,239
Cooper Tire & Rubber Co. 4,200 93
Dana Corp. 700 22
Eaton Corp. 7,000 410
Fleetwood Enterprises, Inc. 26,900 834
Ford Motor Co. 98,100 3,176
General Motors Corp. 38,700 2,027
Genuine Parts Co. 100 5
Goodyear Tire & Rubber Co. 7,800 376
Kimball International, Inc. Class B 16,200 446
Leggett & Platt, Inc. 15,600 433
Modine Manufacturing Co. 11,500 302
PACCAR, Inc. 3,500 171
Whirlpool Corp. 8,900 441
---------
14,023
---------
CONSUMER NON-DURABLES - 5.4%
Anheuser-Busch Cos., Inc. 9,600 720
Avon Products, Inc. 5,500 248
Block Drug Co., Inc. Class A 8,552 351
Brunswick Corp. 12,300 246
Circuit City Stores, Inc. 7,700 278
Claire's Stores, Inc. 6,200 171
Dayton Hudson Corp. 18,900 1,949
Department 56, Inc. (a) 20,300 459
Federated Department Stores, Inc. (a) 35,000 1,194
38 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, continued
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Fruit of the Loom, Inc. Class A (a) 8,500 $ 217
Gap, Inc. 20,100 646
Hartmarx Corp. (a) 20,800 130
International Flavors & Fragrances, Inc. 7,700 367
Jones Apparel Group, Inc. (a) 400 20
Limited, Inc. (The) 37,000 796
Longs Drug Stores, Inc. 9,500 424
Lowe's Cos., Inc. 12,700 459
Mattel, Inc. 7,300 209
Melville Corp. 8,300 336
Mercantile Stores, Inc. 65,500 3,840
Newell Co. 28,300 867
NIKE, Inc. Class B 19,100 1,963
Nine West Group, Inc. (a) 2,800 143
Penney (J.C.) Co., Inc. 17,700 929
PriceCostco, Inc. (a) 45,800 979
Revco D.S., Inc. New (a) 35,900 857
Ross Stores, Inc. 55,000 1,911
Seagram Co., Ltd. 400 13
Sears Roebuck & Co. 76,000 3,696
SuperValu, Inc. 6,000 189
Toys "R" Us, Inc. (a) 21,600 616
V.F. Corp. 9,900 590
Waban, Inc. (a) 200 5
Wal-Mart Stores, Inc. 161,500 4,098
Warnaco Group, Inc. Class A 4,400 113
Woolworth Corp. (a) 18,800 422
---------
30,451
---------
CONSUMER SERVICES - 3.3%
Alaska Air Group, Inc. (a) 72,000 1,971
AMR Corp. (a) 24,600 2,239
Boston Chicken, Inc. (a) 29,600 958
Boyd Gaming Corp. (a) 3,500 53
Callaway Golf Co. 18,500 615
Carnival Corp. Class A 8,300 240
Circus Circus Enterprises, Inc. (a) 10,600 435
Delta Air Lines, Inc. 900 75
Disney (Walt) Co. 74,975 4,714
International Game Technology 11,600 196
ITT Corp. New 5,000 331
King World Productions, Inc. (a) 55,200 2,008
La Quinta Motor Inns, Inc. 4,600 154
MGM Grand, Inc. (a) 51,000 2,034
Mirage Resorts, Inc. (a) 14,400 777
Promus Hotel Corp. (a) 32,800 971
Ruby Tuesday, Inc. 20,000 452
UAL Corp. (a) 12,400 666
---------
18,889
---------
ENERGY - 8.0%
Amerada Hess Corp. NPV 32,500 $ 1,743
Amoco Corp. 15,700 1,136
Anadarko Petroleum Corp. 5,000 290
Ashland, Inc. 4,300 170
Atlantic Richfield Co. 11,700 1,386
Baker Hughes, Inc. 36,300 1,193
Chevron Corp. 52,800 3,115
Cooper Cameron Corp. (a) 2,300 101
Diamond Shamrock, Inc. 1,700 49
Dresser Industries, Inc. 34,100 1,006
Exxon Corp. 148,522 12,903
Halliburton Co. 9,200 511
Helmerich & Payne, Inc. 2,000 73
Lyondell Petrochemical Co. 5,000 121
Mitchell Energy & Development Corp.
Class A 1,000 19
Mobil Corp. 51,618 5,788
Occidental Petroleum Corp. 11,100 275
Oryx Energy Co. (a) 35,500 577
PanEnergy Corp. 11,300 371
Parker & Parsley Petroleum Co. 11,200 311
Phillips Petroleum Co. 67,600 2,831
Pogo Producing Co. 1,900 72
Rowan Cos., Inc. (a) 13,000 192
Royal Dutch Petroleum Co. - ADR 38,400 5,904
Santa Fe Energy Resources, Inc. (a) 2,000 24
Seagull Energy Corp. (a) 16,300 408
Smith International, Inc. (a) 2,300 69
Sun Co., Inc. 5,200 158
Tenneco, Inc. 15,000 767
Texaco, Inc. 35,500 2,978
Unocal Corp. 20,200 682
USX-Marathon Group 12,400 249
Vastar Resources, Inc. 3,800 141
---------
45,613
---------
FINANCE - 15.9%
Advanta Corp. Class B 1,300 59
AFLAC, Inc. 37,987 1,135
Ahmanson (H.F.) & Co. 6,800 184
Allstate Corp. 50,979 2,326
AMBAC, Inc. 1,100 57
American General Corp. 14,100 513
American International Group, Inc. 14,700 1,450
American National Insurance Co. 1,800 116
American Re Corp. 4,300 193
AmSouth Bancorp 29,900 1,080
Banc One Corp. 24,200 823
Quantitative Equity Fund 39
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Bancorp Hawaii, Inc. 4,800 $ 173
Bank of Boston Corp. 17,979 890
BankAmerica Corp. 110,900 8,401
Bankers Life Holding Corp. 29,100 644
Barnett Banks, Inc. 11,600 708
BayBanks, Inc. 1,800 194
Bear Stearns Cos., Inc. 50,620 1,196
Beneficial Corp. 3,100 174
Central Fidelity Banks, Inc. 3,200 71
Charter One Financial, Inc. 2,400 83
Chase Manhattan Corp. New 11,300 798
Chubb Corp. (The) 14,100 703
CIGNA Corp. 19,700 2,322
Citicorp 41,400 3,421
City National Corp. 49,000 772
CNA Financial Corp. (a) 2,300 237
Comerica, Inc. 49,500 2,209
CoreStates Financial Corp. 13,000 501
Crestar Financial Corp. 2,500 133
Dean Witter, Discover & Co. 9,900 567
Dime Bancorp, Inc. New (a) 5,300 69
Edwards (A.G.), Inc. 31,600 857
Equifax, Inc. 55,900 1,467
Federal Home Loan Mortgage Corp. 1,600 137
Federal National Mortgage Association 169,100 5,665
FINOVA Group, Inc. 1,600 78
First Bank System, Inc. 12,800 742
First Chicago NBD Corp. 90,052 3,523
First Colony Corp. 3,300 102
First Empire State Corp. 100 24
First Tennessee National Corp. 3,900 119
First Union Corp. 16,700 1,017
First USA, Inc. 3,500 193
First Virginia Banks, Inc. 1,800 72
Firstar Corp. 4,300 198
Fleet Financial Group, Inc. 18,640 811
Golden West Financial Corp. 15,900 890
Great Western Financial Corp. 8,000 191
Greenpoint Financial Corp. 2,800 79
Household International Corp. 5,400 410
ITT Hartford Group, Inc. 16,300 868
Jefferson-Pilot Corp. 21,300 1,100
Kansas City Life Insurance Co. 1,300 71
Lehman Brothers Holdings, Inc. 79,200 1,960
Lincoln National Corp. 12,400 574
Loews Corp. 38,800 3,060
MBIA, Inc. 2,800 218
MBNA Corp. 15,000 428
Mercantile Bancorp, Inc. 3,400 151
Mercantile Bankshares Corp. 2,500 64
Mercury Finance Corp. 10,100 129
Merrill Lynch & Co., Inc. 15,900 1,035
Morgan (J.P.) & Co., Inc. 49,500 4,189
Morgan Stanley Group, Inc. 36,000 1,769
National City Corp. 15,500 544
NationsBank Corp. 80,597 6,659
Northern Trust Corp. 3,400 196
Norwest Corp. 30,900 1,078
Ohio Casualty Corp. 2,400 83
Old Republic International Corp. 31,750 683
Paine Webber Group, Inc. 8,000 190
PMI Group, Inc. (The) 2,300 98
PNC Bank Corp. 33,605 1,000
Protective Life Corp. 1,500 53
Provident Companies, Inc. 5,700 211
Regions Financial Corp. 3,700 173
Republic New York Corp. 3,300 205
SAFECO Corp. 8,600 304
Salomon, Inc. 93,100 4,096
Southern National Corp. 5,900 187
SouthTrust Corp. 5,500 155
St. Paul Cos., Inc. 5,600 300
Standard Federal Bancorporation 1,700 65
Star Banc Corp. 16,300 1,098
Student Loan Marketing Association 3,700 274
SunAmerica, Inc. 6,600 373
TCF Financial Corp. 2,000 67
Torchmark Corp. 4,800 210
Transamerica Financial Corp. 21,200 1,717
Travelers, Inc. 98,600 4,499
UMB Financial Corp. 310 11
Union Planters Corp. 2,700 82
UNUM Corp. 2,200 137
USLIFE Corp. 31,700 1,042
Washington Federal, Inc. 2,300 47
Washington Mutual, Inc. 4,200 125
Wilmington Trust Corp. 1,900 61
Zenith National Insurance Corp. 2,200 60
---------
90,476
---------
GENERAL BUSINESS - 3.3%
BHC Communications, Inc. Class A 2,900 283
Central Newspapers, Inc. Class A 6,000 225
Comcast Corp. Special Class A 13,300 243
Cox Communications, Inc. Class A (a) 3,300 71
Donnelley (R.R.) & Sons Co. 12,600 439
40 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Ecolab, Inc. 3,300 $ 109
First Data Corp. 13,900 1,107
Harcourt General, Inc. 8,200 410
McClatchy Newspapers, Inc. Class A 2,100 58
Media General, Inc. Class A 9,600 358
Moore Corp., Ltd. 128,900 2,433
New York Times Co. Class A 29,500 962
Omnicom Group, Inc. 22,500 1,046
Paging Network, Inc. 6,000 142
PHH Group, Inc. 33,200 1,892
SBC Communications, Inc. 41,800 2,059
Service Corp. International 7,900 454
Staples, Inc. 71,825 1,392
Tele-Communications, Inc. Class A 52,700 949
Time Warner, Inc. 31,500 1,236
Turner Broadcasting Systems, Inc. Class B 13,500 371
Viacom, Inc. Class B (a) 26,100 1,015
Wallace Computer Services, Inc. 6,000 359
Washington Post Co. Class B 4,100 1,328
---------
18,941
---------
MISCELLANEOUS - 0.2%
Chris Craft Industries, Inc. 4,948 218
GenCorp, Inc. 5,200 79
Providian Corp. 6,300 270
Security Capital Pacific Trust 38,800 843
---------
1,410
---------
SHELTER - 0.6%
Centex Corp. 15,400 479
Fastenal Co. 2,700 117
Georgia Pacific Corp. 7,100 504
Granite Construction, Inc. 1,500 35
Kaufman & Broad Home Corp. 37,800 548
Louisiana Pacific Corp. 12,700 281
Owens-Corning Fiberglas Corp. (a) 5,600 241
Schuller Corp. 54,000 560
Sherwin-Williams Co. 2,400 112
USG Corp. (a) 5,600 156
Weyerhaeuser Co. 14,000 595
---------
3,628
---------
TECHNOLOGY - 12.0%
Adaptec, Inc. (a) 4,000 189
ADC Telecommunications, Inc. (a) 4,300 191
Advanced Micro Devices, Inc. (a) 9,100 124
AlliedSignal, Inc. 39,600 2,262
Altera Corp. (a) 3,000 114
AMP, Inc. 15,200 610
Analog Devices, Inc. 26,900 686
Andrew Corp. 6,300 340
Applied Materials, Inc. 19,900 604
Autodesk, Inc. 2,100 62
Avery Dennison Corp. 19,100 1,048
Avnet, Inc. 39,500 1,664
Bay Networks, Inc. 11,300 291
Boeing Co. 40,700 3,546
Cabletron Systems, Inc. (a) 1,100 75
Cadence Design Systems, Inc. 17,700 597
Ceridian Corp. (a) 600 30
Cisco Systems, Inc. (a) 53,700 3,041
Coltec Industries, Inc. (a) 7,300 104
COMPAQ Computer Corp. (a) 43,600 2,147
Cubic Corp. 1,500 49
Cypress Semiconductor Corp. 32,300 388
Davidson & Associates, Inc. 2,000 60
Destec Energy, Inc. (a) 4,400 56
Digital Equipment Corp. (a) 17,600 792
EG&G, Inc. 11,800 252
EMC Corp. (a) 15,100 281
General Dynamics Corp. 7,400 459
General Instrument Corp. (a) 10,000 289
General Motors Corp. Class H 31,200 1,876
Guidant Corp. 29,200 1,438
Harris Corp. 7,400 451
Hewlett-Packard Co. 71,600 7,133
Honeywell, Inc. 5,200 283
Informix Corp. (a) 11,100 248
Input/Output, Inc. 2,800 91
Intel Corp. 61,300 4,498
International Business Machines Corp. 79,100 7,831
Komag, Inc. (a) 8,000 209
Lam Research Corp. (a) 7,700 199
Lockheed Martin Corp. 17,400 1,462
Longview Fibre Co. 10,600 180
Maxim Integrated Products, Inc. 4,900 133
McDonnell Douglas Corp. 18,100 878
Microsoft Corp. (a) 40,800 4,896
Motorola, Inc. 10,600 666
National Semiconductor Corp. (a) 9,500 147
Northrop Grumman Corp. 1,900 129
Oracle Systems Corp. 38,300 1,508
Perkin-Elmer Corp. 5,700 275
Quantum Corp. (a) 4,300 62
Raytheon Co. 17,300 893
Quantitative Equity Fund 41
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- ---------
Read-Rite Corp. (a) 3,700 $ 52
Rockwell International Corp. 19,100 1,093
Rohr, Inc. (a) 9,800 205
SCI Systems, Inc. (a) 10,000 406
Scientific-Atlanta, Inc. 5,800 90
Seagate Technology (a) 9,900 446
Sensormatic Electronics Corp. 5,200 85
Silicon Graphics, Inc. (a) 3,600 86
Solectron Corp. (a) 16,200 614
Storage Technology Corp. (a) 3,700 142
Stratus Computer, Inc. (a) 600 17
Sun Microsystems, Inc. 18,400 1,081
Sundstrand Corp. 5,500 201
Sybase, Inc. (a) 4,300 102
Symbol Technologies, Inc. (a) 9,600 427
Tandem Computers, Inc. (a) 900 11
Teradyne, Inc. 19,200 331
Texas Instruments, Inc. 11,000 549
Textron, Inc. 12,900 1,030
Thermo Instrument Systems, Inc. 2,200 71
United Technologies Corp. 1,100 127
Varian Associates, Inc. 28,100 1,455
Vishay Intertechnology, Inc. 10,660 253
Western Digital Corp. (a) 118,200 3,089
Xilinx, Inc. 5,800 184
----------
67,984
----------
TRANSPORTATION - 1.1%
Burlington Northern, Inc. 8,400 679
Caliber Systems, Inc. 1,900 65
Conrail, Inc. 5,900 392
Consolidated Freightways, Inc. 2,100 44
CSX Corp. 10,800 521
Federal Express Corp. (a) 2,700 221
GATX Corp. 8,700 420
Illinois Central Corp. 2,900 82
Laidlaw, Inc. Class B 7,900 80
Norfolk Southern Corp. 24,300 2,059
Ryder System, Inc. 4,200 118
Tidewater, Inc. 15,800 693
Union Pacific Corp. 14,100 985
Wisconsin Central Transportation Corp. 300 11
----------
6,370
----------
UTILITIES - 12.9%
360 Communications Co. (a) 6,901 166
Airtouch Communications, Inc. (a) 1,500 42
Allegheny Power System, Inc. 7,200 222
American Electric Power Co., Inc. 6,100 260
Ameritech Corp. 117,000 6,947
AT&T Corp. 128,900 7,992
Baltimore Gas & Electric Co. 7,000 199
Bell Atlantic Corp. 56,630 3,610
BellSouth Corp. 86,600 3,670
Carolina Power & Light Co. 9,200 350
Centerior Energy Corp. 22,300 164
Central & Southwest Corp. 4,200 122
Central Maine Power Co. 11,000 160
CINergy Corp. 34,900 1,117
Coastal Corp. 25,100 1,048
Columbia Gas System, Inc. 28,900 1,506
Consolidated Edison Co. 24,900 728
Consolidated Natural Gas Co. 23,900 1,249
Dominion Resources, Inc. 10,500 420
DTE Energy Co. 23,500 726
Duke Power Co. 30,704 1,574
Eastern Enterprises, Inc. 15,200 505
Edison International 196,600 3,465
El Paso Natural Gas Co. 2,600 100
Enron Corp. 20,800 850
Entergy Corp. 92,600 2,628
FPL Group, Inc. 11,000 506
General Public Utilities Corp. 9,600 338
GTE Corp. 215,565 9,647
Houston Industries, Inc. 15,700 387
Idaho Power Co. 900 28
Illinova Corp. 4,500 129
Long Island Lighting Co. 86,000 1,441
MCI Communications Corp. 58,400 1,489
MCN Corp. 26,000 634
National Fuel & Gas Co. 3,400 122
New England Electric System 3,100 113
New York State Electric & Gas Corp. 31,200 761
Northeast Utilities 6,500 87
Northern States Power Co. 13,400 662
NYNEX Corp. 30,700 1,458
Pacific Gas & Electric Co. 100,500 2,337
Pacific Telesis Group 25,600 864
PacifiCorp. 23,800 530
Peco Energy Co. 17,200 447
Peoples Energy Corp. 2,600 87
Pinnacle West Capital Corp. 5,200 158
Portland General Electric Co. 16,900 522
PP&L Resources, Inc. 9,500 224
Southern Co. 13,418 330
42 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- ---------
Southern New England
Telecommunications Corp. 7,800 $ 328
Sprint Corp. 97,500 4,095
Texas Utilities Co. 11,900 509
TransCanada Pipelines, Ltd. 5,100 75
U.S. West Communications Group 28,100 896
U.S. West Media Group (a) 32,600 595
Unicom Corp. 82,600 2,302
Western Gas Resources, Inc. 6,600 106
Western Resources, Inc. 22,400 668
Williams Cos. (The) 16,100 796
----------
73,491
----------
TOTAL COMMON STOCKS
(cost $439,388) 537,012
----------
PRINCIPAL
AMOUNT
(000)
---------
SHORT-TERM INVESTMENTS - 5.1%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 26,990 26,990
United States Treasury Bills (c)(d)
4.975% due 10/17/96 2,000 1,970
5.110% due 10/17/96 100 98
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $29,059) 29,058
----------
TOTAL INVESTMENTS
(identified cost $468,447)(e) - 99.5% 566,070
OTHER ASSETS AND LIABILITIES,
NET - 0.5% 2,627
----------
NET ASSETS - 100.0% $ 568,697
----------
----------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) Held as collateral by the custodian in connection with futures contracts
purchased by the Fund.
(e) See Note 2 for federal income tax information.
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- ------------
FUTURES CONTRACTS
(Notes 2 and 3)
S & P 500 Index Futures Contracts
expiration date 09/96 68 $ 142
S & P 400 Midcap Index Futures Contracts
expiration date 09/96 65 (234)
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (SECTION) $ (92)
----------
----------
(SECTION) At June 30, 1996, United States Treasury Bills valued at $2,068 were
held as collateral by the custodian in connection with futures
contracts purchased by the Fund.
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, 1996 (Unaudited)
ASSETS
Investments at market (identified cost $468,447,053)(Note 2) . . . $566,069,647
Receivables:,
Dividends and interest . . . . . . . . . . . . . . . . . . . . . 1,321,682
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . 3,425,350
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . 2,771,772
Daily variation margin on futures contracts (Notes 2 and 3). . . 241,564
------------
573,830,015
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . $ 4,247,386
Fund shares redeemed . . . . . . . . . . . . . . 399,834
Accrued fees to affiliates (Note 4). . . . . . . 407,421
Other accrued expenses . . . . . . . . . . . . . 78,842 5,133,483
------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $568,696,532
------------
------------
Net assets consist of:
Undistributed net investment income. . . . . . . . . . . . . . $ 2,879,194
Accumulated net realized gain (loss) . . . . . . . . . . . . . 35,043,624
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 97,622,591
Futures contracts. . . . . . . . . . . . . . . . . . . . . . (91,500)
Shares of beneficial interest. . . . . . . . . . . . . . . . . 176,344
Additional paid-in capital . . . . . . . . . . . . . . . . . . 433,066,279
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $568,696,532
------------
------------
Net asset value, offering and redemption price per share
($568,696,532 divided by 17,634,392 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . $32.25
------------
------------
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, 1996 (Unaudited)
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,505,396
Dividends from Money Market Fund (Note 5). . . . . . . . . . 712,177
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . 50,206
------------
7,267,779
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . $ 2,060,953
Custodian fees . . . . . . . . . . . . . . . . 182,297
Transfer agent fees. . . . . . . . . . . . . . 174,739
Bookkeeping service fees . . . . . . . . . . . 11,462
Professional fees. . . . . . . . . . . . . . . 14,798
Registration fees. . . . . . . . . . . . . . . 23,256
Trustees' fees . . . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . . . 20,354 2,490,323
------------ ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . 4,777,456
------------
REALIZED AND UNREALIZED,
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 34,661,442
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . 1,332,736
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 7,904,803
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (36,287)
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . 43,862,694
------------
Net increase (decrease) in net assets resulting from operations. $48,640,150
------------
------------
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, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . $ 4,777,456 $ 7,601,625
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . 34,661,442 58,340,418
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . 1,332,736 441,477
Options written. . . . . . . . . . . . . . . . . . . . . . . . . -- 1,273,528
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . 7,904,803 73,354,634
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . (36,287) (55,213)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . -- (250,179)
--------------- ---------------
Net increase (decrease) in net assets resulting from operations. . . 48,640,150 140,706,290
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . (1,898,262) (7,728,318)
Net realized gain on investments . . . . . . . . . . . . . . . . . (21,775,142) (41,635,634)
Increase (decrease) in net assets from Fund share transactions . . . 54,781,487 17,013,464
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . 79,748,233 108,355,802
Net assets at beginning of period. . . . . . . . . . . . . . . . . . 488,948,299 380,592,497
--------------- ---------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $2,879,194 and $2,561, respectively) . . . . . . . . . . . . . $ 568,696,532 $ 488,948,299
--------------- ---------------
--------------- ---------------
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1995
-------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ----------- -------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . 3,365,124 $106,193,833 4,324,277 $ 124,379,767
Fund shares issued to shareholders
in reinvestments of distributions . . . . . . . 543,316 16,971,067 1,137,910 34,236,981
Fund shares redeemed . . . . . . . . . . . . . . (2,169,595) (68,383,413) (4,885,755) (141,603,284)
----------- ------------- ----------- -------------
Net increase (decrease). . . . . . . . . . . . . 1,738,845 $ 54,781,487 576,432 $ 17,013,464
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
</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>
1996* 1995 1994 1993 1992 1991
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . $ 30.76 $ 24.84 $ 26.44 $ 25.82 $ 25.88 $ 21.07
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . 0.28 .50 .49 .45 .49 .58
Net realized and unrealized gain (loss) on investments . . . . 2.67 8.72 (.19) 2.69 1.67 5.93
-------- -------- -------- -------- -------- --------
Total Income From Investment Operations . . . . . . . . . . . 2.95 9.22 .30 3.14 2.16 6.51
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . (0.11) (.51) (.49) (.45) (.49) (.58)
Net realized gain on investments . . . . . . . . . . . . . . . (1.35) (2.79) (1.41) (2.07) (1.73) (1.12)
-------- -------- -------- -------- -------- --------
Total Distributions . . . . . . . . . . . . . . . . . . . . . (1.46) (3.30) (1.90) (2.52) (2.22) (1.70)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . $ 32.25 $ 30.76 $ 24.84 $ 26.44 $ 25.82 $ 25.88
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . 9.76 37.69 .19 12.56 8.67 31.70
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) . . . . . . . . 0.94 .93 .94 98 1.02 1.03
Net investment income to average net assets (b). . . . . . . 1.80 1.71 1.95 1.68 1.94 2.39
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . 76.68 78.83 45.97 62.48 59.19 58.07
Net assets, end of period ($000 omitted) . . . . . . . . . . 568,697 488,948 380,592 314,647 244,870 201,614
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . . . . . . . . . .0322 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
Quantitative Equity Fund 47
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
COMMON STOCKS - 89.2%
ARGENTINA - 0.2%
Banco de Galicia y Buenos Aires
Class B New - ADR 2,866 $ 73
Banco Frances del Rio la Plata - ADR 3,611 104
Buenos Aires Embotelladora SA
Class B - ADR 1,507 20
Comercial de Plata (a) 20,590 64
Naviera Perez Companc Class B 29,554 194
Sociedad Comercial del Plata - ADR (a) 1,556 49
Telecom Argentina SA Class B - ADR 1,280 60
Telefonica de Argentina Class B - ADR 9,510 282
Transportadora de Gas Del Sur
Class B - ADR 4,760 58
YPF Sociedad Anonima Class D - ADR 9,210 207
--------
1,111
--------
AUSTRALIA - 3.6%
Advance Property Fund (units) 4,500 4
Amcor, Ltd. 51,300 349
Australia & New Zealand Bank Group, Ltd. 299,807 1,418
Australian Gas & Light Co. 57,266 238
Australian National Industries, Ltd. 336,270 272
Australian Resources, Ltd. 11,455 9
Australian Tourism Group 12,780 8
Azon, Ltd. 6,793 13
Boral, Ltd. 82,602 214
BRL Hardy, Ltd. 2,343 4
Broken Hill Proprietary Co. 248,315 3,429
Burns Philip & Co., Ltd. 9,300 18
Burswood Property Trust (Units) 22,044 30
Caltex Australia 192,833 773
Coca-Cola Amatil, Ltd. 16,557 184
Coles Myer, Ltd. 124,164 451
Comalco 2,700 16
Commonwealth Bank of Australia 5,606 46
Cortecs International, Ltd. (a) 200 1
CRA, Ltd. 3,100 48
Crown, Ltd. (a) 3,700 8
CSR, Ltd. 287,568 1,015
Eastern Aluminum 272,000 259
Elders Australia, Ltd. 307,594 399
Eltin, Ltd. 156,618 258
Email, Ltd. 70,529 183
Emperor Mines, Ltd. 700 2
Foodland Associated, Ltd. 5,845 21
Foster's Brewing Group, Ltd. 131,460 226
George Weston Foods, Ltd. 2,409 14
Giant Resources (a)(d) 250,000 0
GIO Australia Holdings 292,547 720
Goldmines of Kalgoorlie 14,800 16
Goodman Fielder Wattie 219,151 222
GWA International, Ltd. 8,687 12
HIH Winterthur International Holdings, Ltd. 200 1
Holyman Limited 3,539 9
Hudson Conway, Ltd. (a) 1,200 14
Leighton Holdings, Ltd. Class A 284 1
Lend Lease Corp. 7,185 110
M.I.M. Holdings, Ltd. 31,974 41
Mt. Leyshon Gold Mines, Ltd. 2,779 8
National Australia Bank, Ltd. 96,551 892
News Corp. 434,022 2,459
Normandy Poseidon 14,700 23
North Broken Hill Peko 26,170 75
Orion Resources NL 3,413 5
Pacific Dunlop, Ltd. 130,496 293
Pasminco, Ltd. 280,000 394
Pioneer International, Ltd. 157,700 459
Publishing Broadcasting, Ltd. 41,660 183
QCT Resources 14,867 20
QNI, Ltd. 248,336 554
Ranger Minerals NL (a) 100 1
RGC Limited 134,345 649
Ross Mining NL 8,964 10
Rothmans Holdings 63,771 356
Santos, Ltd. 207,100 716
Sea World Property Australia, Ltd. 2,485 2
Siddons Ramset 100 1
Simsmetal, Ltd. 4,955 29
Smith (Howard), Ltd. 25,566 159
Southcorp Holdings, Ltd. 139,500 345
St. Barbara Mines, Ltd. 5,783 4
Stockland Trust Group 39,966 90
T N T, Ltd. (a) 461,790 519
Tabcorp. Holdings, Ltd. 62,000 280
Village Roadshow, Ltd. 100 1
Walker Corp., Ltd. 15,646 5
Wesfarmers 61,661 368
Wesfi, Ltd. 1,585 2
Western Mining Corp. 567,531 4,058
Westfield Holdings 700 12
Westfield Trust 156,990 283
Westfield Trust (units) 6,814 12
Westpac Banking Corp. 133,714 592
Wills (W.D. & H.O.) 18,000 32
Woodside Petroleum, Ltd. 31,200 187
--------
25,134
--------
International Securities Fund 49
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
AUSTRIA - 0.4%
Bank Austria AG 2,400 $ 193
Boehler-Uddeholm AG 1,500 116
Brau-Union Goess AG 1,346 85
BWT AG 1,700 217
Creditanstalt-Bankverein 5,264 349
EA-Generali AG 122 36
EVN Energ-Versorg 698 97
Flughafen Wien AG 1,323 91
Interunfall Vericherungs AG 900 132
Lenzing AG 310 20
Oester Brau Beteil 1,200 68
Oester Elektrizita Class A 5,680 434
OMV AG 1,231 124
VA Technologie AG (BR) 2,000 245
Wiener Allianz Verscherung 700 113
Wienerberger Baustoff 233 47
Z Landerbank Bank Austria AG 12,210 414
--------
2,781
--------
BELGIUM - 0.5%
Algem Maatsch Voor Nijverheidskredit
Almanij NPV 205 64
Arbed SA NPV 1,115 128
Banque Bruxelles Lambert NPV 184 34
Barco NV NPV 702 113
Electrabel NPV 2,928 630
Fortis AG 2,200 291
Generale de Banque NPV 1,980 697
Groupe Bruxelles Lambert NPV 200 25
Kredietbank NPV 2,301 690
Petrofina SA NPV 1,330 421
Societe Generale de Belgique NPV 356 27
Solvay SA NPV 680 421
UCB Capital NV 145 271
--------
3,812
--------
BRAZIL - 0.2%
Eletrobras (centrais) NPV 655,618 176
Sider Nacional Cia NPV 3,980,000 101
Telecommunications de Sao Paulo SA (a) 37,771 7
Telecomunicacoes Brasileiras - ADR 15,624 1,117
Telecomunicacoes Brasileiras NPV 3,421,000 201
Usinas Siderurgicas de Minas - ADR 3,738 41
White Martins SA NPV 47,400,000 66
--------
1,709
--------
CANADA - 0.8%
Abitibi-Price, Inc. 4,200 57
Air Canada, Inc. (a) 11,600 41
Alcan Aluminum, Ltd. 9,140 278
Bank of Nova Scotia Halifax 77 2
Barrick Gold Corp. 22,700 616
BCE, Inc. NPV 1,100 43
Brascan, Ltd. Class A 5,900 110
CAE, Inc. 6,100 51
Canadian Imperial Bank of Commerce 9,900 319
CCL Industries, Inc. Class B 7,400 70
Cominco, Ltd. 11,900 258
Domtar, Inc. NPV 14,000 103
Imperial Oil, Ltd. New 12,000 506
Inco, Ltd. 55,687 1,796
Laidlaw, Inc. Class B 8,200 83
Moore Corp., Ltd. 4,600 86
National Bank of Canada 10,100 84
Noranda, Inc. 4,300 88
Placer Dome, Inc. 25,200 602
Royal Bank of Canada 4,000 96
Teck Corp. Class B 13,400 275
Transalta Corp. 8,000 86
United Dominion Industries, Ltd. 1,100 25
--------
5,675
--------
CHILE - 0.1%
Administradora de Fondos
de Pensiones Provida SA - ADR 1,208 30
Chile Fund, Inc. 7,134 175
Chilectra SA - ADR 2,570 142
Chilgener SA - ADR 4,052 97
Compania de Telefonos (Chile) SA - ADR 704 69
Enersis SA - ADR 4,419 137
--------
650
--------
CHINA - 0.1%
Huaneng Power International, Inc.
- ADR Series N (a) 24,100 431
Yizheng Chemical Fibre Class H 555,000 122
--------
553
--------
DENMARK - 0.6%
Bang & Olufsen Holding Series B 10,000 393
Carlsberg AS Series B 5,000 294
Coloplast AS Class B (Regd) 3,500 347
50 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Den Danske Bank 5,225 $ 350
ISS International Series B 10,000 224
Novo Nordisk AS Class B 10,731 1,520
Sophus Berendsen Class B 3,000 401
Tele Danmark AS Series B 5,500 277
Unidanmark Class A (Regd) 2,600 121
--------
3,927
--------
FINLAND - 0.5%
America Group Class A 12,600 212
Cultor OY Series I 2,000 98
Instrumentarium (a) 100 3
Instrumentarium Series A 300 10
Kemira OY (a) 3,800 40
Kymmene OY (a) 27,400 569
Merita, Ltd. Series A (a) 239,666 502
Metra AB Series A 200 9
Metra AB Series B 200 9
Nokia AB Series A 11,244 415
Nokia AB Series K 8,550 313
Outokumpu OY Class A 37,200 627
Partek AB OY 6,900 100
Rautaruukki OY 51,100 372
Stockmann OY AB Series B 800 41
Valmet Corp. Series A 13,700 232
--------
3,552
--------
FRANCE - 6.4%
Accor SA 2,350 329
Alcatel Alsthom 31,922 2,787
Assurances Generales de France 13,192 358
AXA 12,180 664
AXA (a) 410 21
Banque Nationale Paris 39,019 1,371
Bertrand Faure SA 200 7
BIC 270 38
Boiron 1,700 208
Bouygues 4,211 470
Canal Plus 2,700 661
Cap Gemini Sogeti (a) 500 19
Carrefour SA 2,585 1,449
Carrefour SA 1998 Rights (a) 2,834 783
Casino Guich-Perr 900 37
Castorama Dubois 2,910 574
Cerus Co. (a) 1,000 22
Cetelem 100 22
CGIP 210 48
Chargeurs International SA (a) 1,276 57
Christian Dior 5,500 716
Cie de St. Gobain 8,032 1,076
Cie de Suez 18,073 662
Cie Finance Paribas Class A (BR) 24,610 1,455
Clarins 2,728 420
Club Mediterranee SA 220 20
Compagnie Bancaire SA 1,398 158
Credit Commercial de France 8,590 398
Credit Foncier de France (a) 900 6
Credit Local de France 7,667 625
Credit Lyonnais Cert d'Invest. (a) 3,010 71
Credit National 798 55
D.M.C. Dollfuss-Mieg 3,700 165
Eaux (cie Generale) 36,377 4,067
Ecco STE 1,997 503
Elf Gabon 60 12
Erid Beghin-Say 765 120
Essilor Internationale 100 28
Euro Disney SCA (BR)(a) 3,700 10
Eurotunnel/Euro SA Units (a) 24,000 35
Finextel (Soc. Fin.) 100 1
GAN Group (a) 300 8
Gaz et Eaux 40 16
Groupe Danone 3,471 526
Groupe Danone (a) 80 11
GTM - Entrepose 1,900 123
Guilbert SA 1,535 224
Havas 1,450 119
L'Air Liquide 3,425 605
L'Oreal (Societe) 556 185
Labinal 10 1
Lafarge Corp. SA (BR) 3,581 217
Lagardere Groupe (Regd) 23,400 604
Lapeyre (BR) 3,750 220
Legrand 665 119
Legris Industries SA 100 5
LVMH Moet-Hennessy 3,352 796
Lyonnais Eaux Dumez 805 77
Michelin (Cie Gen) Class B (Regd) 4,690 229
Nord-Est 200 6
Pathe SA (a) 1,276 300
Pechiney International Class A 16,118 649
Peugeot SA 6,140 822
Pinault-Printemps Redoute SA 2,433 852
Primagaz Cie 1,862 207
International Securities Fund 51
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Primagaz Cie 1998 Warrants (a) 190 $ 4
Promodes 1,940 560
Remy Cointreau SA 200 6
Renault 1,950 50
Rhone Poulenc SA Class A - ADR 13,100 344
Rhone Poulenc Series A 227 5
S.G.E. (a) 1,213 25
Saint Louis 175 47
Salomon SA 20 18
Sanofi SA 10,827 812
Schneider SA 16,040 842
SEITA 8,810 404
SGS Thomson Microelectronics (a) 5,800 204
Sidel SA 3,703 942
Simco (Regd) 464 43
Societe Generale 25,071 2,757
Societe Nationale Elf d'Aquitaine 14,855 1,093
Sodexho 1,110 493
Strafor-Facom SA 100 8
Synthelabo 6,700 567
Technip 100 9
Thomson-CSF 5,399 152
Total Co. SA Class B 54,422 4,040
TV Francaise (TFI) 9,402 1,075
Union des Assurances Federales 4,800 592
Union des Assurances Paris 2,300 47
Union Financiere de France Banque SA 1,500 128
Usinor Sacilor 70,900 1,023
Valeo 16,741 896
Vallourec (Usin) 100 5
Worms & Cie (Regd) 1,080 55
--------
44,695
--------
GERMANY - 4.5%
AGIV AG fuer Industrie und Verkehrswesen 900 17
Allianz AG 1998 Warrants (a) 5,500 280
Allianz AG Holdings 241 418
Altana AG 115 89
AVA ALG Handels VB 1,190 368
BASF AG 3,300 944
Bayer AG 113,200 4,002
Bayer Motoren Werk 400 232
Bayerische Hypotheken - und
Wechsel Bank AG 890 22
Bayerische Vereinsbank AG 35,000 983
BHF - Bank AG 12,100 313
Bilfinger & Berger 1,361 575
Buderus AG 1,093 464
Continental AG 15,200 247
Daimler Benz AG 1996 Rights (a) 8,236 1
Daimler-Benz AG (a) 8,536 4,573
Deutsche Bank AG 20,060 950
Deutsche Pfandbrief & Hypothekenbank AG 9,700 384
Douglas Holding AG 1,550 62
Dresdner Bank AG 56,200 1,414
DT Babcock & Wilcox (a) 400 23
Fried, Krupp AG Hoesch New 3,000 462
Gehe AG 1,593 1,071
Gerresheimer Glas 100 21
Hamburgische Electricitaets Werke AG 50 13
Hoechst AG 99,230 3,367
Hornback Baumarkt AG 1,135 52
Klockner Humb Deut (a) 3,100 11
Klockner-Werke AG (a) 200 7
Leifheit AG 200 9
Lufthansa AG 150 21
M.A.N. AG 1,000 249
Mannesmann AG 9,150 3,165
Metallgesellschaft AG (a) 2,600 45
Muenchener Rueckversicherungs 501 1,035
Praktiker Bau und Heimwerkemaerkte AG (a) 2,084 54
Rheinmetall Berlin 100 15
Rhoen - Klinikum AG 2,764 364
SAP AG 1,180 175
Schering AG 5,310 387
Schwarz Pharma AG 100 7
Siemens AG 25,380 1,356
SKW Trostberg AG (a) 300 8
Veba AG 24,720 1,315
Veba International Finance 1998 Warrants (a) 2,920 833
Volkswagen International AG 3,028 1,125
--------
31,528
--------
HONG KONG - 3.7%
Allied Properties, Ltd. 468,000 71
Amoy Properties, Ltd. 310,000 374
Cathay Pacific Airways 504,000 925
Cheung Kong Holdings, Ltd. 242,000 1,743
Dairy Farm International Holdings, Ltd. 155,424 131
Dao Heng Bank Group, Ltd. 80,000 309
Dickson Concept International 9,000 12
First Pacific Co. 466,615 717
52 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Goldlion Holdings, Ltd. 19,000 $ 16
Great Eagle Holdings 32,446 95
Guangdong Investment 348,000 220
Guangshen Railway Co., Ltd. (a) 874,000 330
Guangzhou Investment 1,346,000 339
Guoco Group, Ltd. 96,000 458
Hang Lung Development Co. 199,000 374
Hang Seng Bank 122,900 1,238
Henderson Investment, Ltd. 197,000 177
Henderson Land Development Co., Ltd. 56,000 420
Hong Kong & China Gas Co., Ltd. 246,000 392
Hong Kong & China Gas Co., Ltd.
1997 Warrants (a) 20,500 5
Hong Kong & Shanghai Hotel 23,000 39
Hong Kong Aircraft Engineering 23,200 70
Hong Kong Electric 235,000 716
Hong Kong Ferry 36,000 37
Hong Kong Land Holdings, Ltd. 569,659 1,282
Hong Kong Telecommunications 478,400 859
Hong Kong China, Ltd. 10,000 3
Hopewell Holdings, Ltd. 954,000 518
HSBC Holdings (UK Regd) PLC 65,150 883
Hutchison Whampoa, Ltd. 591,000 3,718
Hysan Development 128,000 392
Kumagai Gumi Hong Kong 54,000 48
Lai Sun Development Co., Ltd. 610,000 125
Lai Sun Garment International 18,000 22
Liu Chong Hing Investment, Ltd. 30,000 30
Mandarin Oriental International, Ltd. 445,641 624
Manhattan Card Co., Ltd. 6,000 3
New Asia Realty & Trust Class A 10,000 32
New World Development Co., Ltd. 521,952 2,421
Peregrine Investment Holdings, Ltd. 2,000 3
Regal Hotels International 228,906 61
San Miguel Brewery 18,000 8
Shanghai Petrochemical Class H 742,000 211
Shangri-La Asia, Ltd. 6,000 8
Shaw Bros. (H.K.), Ltd. 32,000 37
Shun Tak Holdings, Ltd. 68,000 42
Sing Tao 546,000 323
Sino Land Co. 25,056 25
South China Morning Post 92,000 63
Sun Hung Kai & Co. 114,000 41
Sun Hung Kai Properties, Ltd. 149,000 1,506
Swire Pacific, Ltd. Class A 160,500 1,267
Swire Pacific, Ltd. Class B 77,500 107
Tai Cheung Holdings 115,000 96
Television Broadcast 204,000 766
Wharf Holdings 180,000 643
Wheelock & Co. 53,000 105
Wing Lung Bank 2,800 16
Winsor Industrial Corp., Ltd. 39,000 33
--------
25,529
--------
IRELAND - 0.1%
Allied Irish Banks 112,000 586
--------
586
--------
ITALY - 3.1%
Alitalia-Linee Aeree (a) 60,800 26
Ansaldo Trasporti SPA 6,500 8
Assicurazioni Generali SPA 55,612 1,284
Banca Commerciale Italiana 114,125 230
Banca Pop di Bergamo CV 17,000 259
Banca Pop di Milano 4,200 21
Banca Toscana 1,500 3
Banco Commerciale Italiana di Risp 36,000 75
Banco di Napoli di Risp (a) 201,884 47
Banco di Roma (a) 35,850 32
Banco Fideuram SPA 146,545 318
Benetton Group SPA 2,000 26
Burgo (Cartiere) SPA 26,800 147
Cementir SPA 12,500 10
Ciga Hotels (a) 40,100 18
CIR Compagnie Industriali di Risp (a) 20,500 7
CIR Compagnie Industriali Riunite (a) 37,000 23
Cofide NC Risp (a) 10,000 2
Cofide SPA (a) 37,000 13
Credito Italiano di Risp NC 68,000 69
Dalmine SPA 20,600 5
Danieli & Co. 3,000 20
Danieli & Co. 1999 Warrants (a) 3,350 3
Edison 59,000 356
Editoriale La Repubblica SPA (a) 85,000 142
Ente Nazionale Idrocarburi SPA (Regd) 210,000 1,048
Falck, Acciaierie Fer Lombarde 8,100 30
Fiat SPA 688,766 2,310
Fiat SPA di Risp 54,300 93
Finanziaria Autogrill SPA (a) 25,612 29
First Banco S. Paolo 3,200 21
International Securities Fund 53
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Gemina SPA (a) 89,100 $ 38
Gewiss SPA 10,000 150
I.F.I.L. (a) 18,100 54
I.F.I.L. Risp NC 17,700 28
Industrie Natuzzi SPA - ADR 12,060 618
Istituto Mobiliane Italiano 69,750 583
Istituto Nazionale Delle Assicurazioni 1,259,200 1,879
Italcementi 6,250 50
Italcementi di Risp NC 4,500 14
Italgas (Soc. Ital.) 71,300 267
Luxottica Group SPA - ADR 2,800 205
Mediobanca SPA 1999 Warrants (a) 655 1
Mediolanum SPA (a) 12,550 125
Mondadori (Arnoldo) Editore 65,400 495
Montedison SPA (Ferruzzi Agricola)(a) 407,700 237
Montedison SPA di Risp
(Ferruzzi Agricola) NC (a) 30,000 18
Olivetti & Cie SPA (a) 5,042,694 2,724
Parmalat Finanziaria SPA (a) 99,000 133
Pirelli & Co. 60,950 78
Pirelli & Co. di Risp 1,700 2
Pirelli NC di Risp 5,800 6
Pirelli SPA 20,200 34
R.A.S. 3,399 35
Rinascente (LA) 13,100 94
Rinascente (LA) di Risp NC 9,800 27
Safilo SPA 1,200 29
Saipem AG 5,800 25
Sasib SPA di Risp NC 83,278 166
Sirti SPA 31,000 200
SMI (Soc Metal Italy)(a) 51,100 18
Stefanel SPA (a) 4,700 6
Stefanel SPA 1996 Rights (a) 4,700 1
Stet 290,030 981
Stet di Risp 176,600 464
Telecom Italia di Risp 145,200 197
Telecom Italia Mobile SPA 1,088,397 2,435
Telecom Italia Mobile SPA - di Risp 90,073 123
Telecom Italia SPA 962,929 2,072
Unicem di Risp (a) 6,960 51
--------
21,338
--------
JAPAN - 31.3%
Advantest 3,200 127
Aisin Seiki Co., Ltd. 11,000 166
Ajinomoto Co., Inc. 3,000 36
Alps Electric Co. 67,000 815
Amada Co., Ltd. 66,000 712
Anritsu Corp. 2,000 28
Aoki Corp. (a) 67,000 249
Apic Yamada Corp. 14,300 333
Arabian Oil Co. 1,800 84
Asahi Bank 140,000 1,626
Asahi Breweries 7,000 82
Asahi Glass Co. 50,000 599
Ashikaga Bank 2,000 13
Bank of Yokohama 16,000 146
Brother Industries 166,000 1,018
Canon Sales Co., Inc. 12,000 335
Canon Sales Co., Inc. 1997 Warrants (a) 330 53
Canon, Inc. 46,000 959
Casio Computer Co. 2,000 19
Chugai Pharmaceutical Co. 94,000 920
Chugoku Bank 11,000 206
Chuo Trust & Banking 70,000 691
Citizen Watch Co., Ltd. 25,000 209
Cosmo Oil Co. 144,000 893
CSK Corp., Ltd. 10,500 313
Dai Ichi Kangyo Bank 98,000 1,828
Dai Ichi Pharmaceutical Co. 42,000 649
Dai Nippon Printing, Ltd. 15,000 291
Dai Nippon Screen Manufacturing Co. 39,000 348
Daicel Chemical Industries 53,000 327
Daido Steel Co. 85,000 421
Daiei, Inc. 236,000 2,848
Daifuku Machinery Co. 9,000 138
Daiken Corp. 35,000 298
Daikin Industries 85,000 933
Daikyo, Inc. 6,000 45
Daishinku Corp. 50,000 549
Daito Trust Construction 1,000 15
Daiwa Bank 145,000 1,005
Daiwa Danchi Co., Ltd. (a) 40,000 257
Daiwa House Industries Co. 44,000 684
Daiwa Kosho Lease Co.. Ltd. 38,000 407
Daiwa Securities 216,000 2,785
DDI Corp. 397 3,470
Dowa Mining Co. 3,000 15
Dowa Mining Co. Series 5 1997 Warrants (a) 94 110
East Japan Railway 435 2,287
Ebara Corp. 62,000 992
Eisai Co. 51,050 966
Familymart, Co. 18,000 803
Fanuc Co. 11,000 439
Fuji Denki Reiki 32,550 417
Fuji Electric Co. 200,000 1,084
Fuji Heavy Industries 10,000 51
54 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Fuji Oil Co. 100,000 $ 821
Fuji Photo Film Co. 13,000 411
Fujikura 80,000 664
Fujisawa Pharmaceutical 31,000 326
Fujita Corp. 43,000 201
Fujita Kanko, Inc. 3,000 60
Fujitsu Denso 9,000 236
Fujitsu, Ltd. 126,000 1,152
Fukui Bank 135,000 779
Fukuyama Transporting Co. 9,000 87
Furukawa Co., Ltd. 1,000 5
Furukawa Electric Co. 222,000 1,330
Futaba Corp. 17,000 769
Futaba Industrial 10,000 181
Gakken Co. 212,000 1,574
General Sekiyu KK 12,000 106
Green Cross Corp. 3,000 16
Gunze, Ltd. 122,000 766
Hankyu Corp. (a) 22,000 129
Hanwa Co. (a) 4,000 15
Haseko Corp. (a) 49,000 213
Heiwa Corp. 20,000 463
Heiwa Real Estate 70,000 576
Hiroshima Bank 4,000 25
Hitachi Cable 7,000 59
Hitachi Maxell 1,000 21
Hitachi Zosen Corp. 65,000 369
Hitachi, Ltd. 312,000 2,910
Hokkaido Bank 3,000 10
Hokkaido Takushoku Bank, Ltd. 250,000 759
Hokuetsu Bank 74,000 419
Honda Motor Co., Ltd. 48,000 1,246
Hoya Corp. 2,000 65
Hyakugo Bank 70,000 469
Inax Corp. 37,000 369
Intec, Inc. 49,000 798
Isetan Co. 37,000 562
Ishihara Sangyo (a) 24,000 96
Ishikawajima-Harima Heavy Industries 300,000 1,468
Ito-Yokado Co., Ltd. 42,000 2,538
Itoham Foods, Inc. 75,000 573
Izumi Co. 26,000 521
Japan Air Lines Co. (a) 112,000 908
Japan Airport Terminal 4,000 57
Japan Aviation Electronics (a) 5,000 40
Japan Energy Corp. 41,000 153
Japan Radio Co. 1,000 14
Japan Synthetic Rubber 30,000 216
Japan Tobacco, Inc. 110 845
Japan Wool Textile Co. 2,000 19
Joshin Denki Co. 5,000 72
Jusco Co. 2,000 66
Kamigumi Co. 5,000 46
Kankaku Securities (a) 27,000 115
Kao Corp. 104,000 1,407
Kashiyama Onward 1,000 16
Kawasaki Heavy Industries 287,000 1,456
Kawasaki Kisen (a) 130,000 440
Kawasho Corp. (a) 122,000 593
Keihin Electric Express 12,360 73
Keio Teito Electric Railway 14,000 83
Kenwood Corp. 2,000 14
Kinden Corp. 200 3
Kinki Nippon Railway 40,170 290
Kirin Beverage Corp. 14,000 206
Kirin Brewery Co. 16,000 196
Kokusai Electric Co., Ltd. 1,000 19
Kokuyo Co., Ltd. 20,000 554
Komatsu Forklift Co., Ltd. 55,000 543
Komori Corp. 71,000 1,818
Konica Corp. 3,000 23
Kubota Corp. 189,000 1,249
Kumagai Gumi Co. 147,000 591
Kumagai Gumi Co., Ltd.
1998 Warrants (a) 14,400 2
Kurabo Industries 27,000 108
Kuraray Co., Ltd. 40,000 450
Kuraray Co., Ltd. 1999 Warrants (a) 90 79
Kureha Chemical Industrial Co. 45,000 254
Kyocera Corp. 36,000 2,551
Kyodo Printing Co. 13,000 153
Kyokuto Boeki 35,000 283
Kyowa Hakko Kogyo 66,000 634
Kyushu Matsushita 2,000 36
Maeda Corp. 9,000 90
Maeda Corp. 1997 Warrants (a) 105 164
Makino Milling 2,000 20
Makita Corp. 29,000 472
Marubeni Corp. 142,000 779
Maruetsu, Inc. 25,000 226
Marui Co., Ltd. 64,000 1,422
Matsushita Electric Industrial Co., Ltd. 190,000 3,544
Matsushita Electric Works 7,000 76
Matsuzakaya Co. 51,000 625
Minebea Co., Ltd. 7,000 59
Minolta Camera Co. 2,000 13
Mitsubishi Chemical 140,000 648
Mitsubishi Corp. 73,000 961
International Securities Fund 55
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Mitsubishi Electric Corp. 55,000 $ 384
Mitsubishi Estate Co., Ltd. 34,000 469
Mitsubishi Gas & Chemical 39,000 172
Mitsubishi Heavy Industries 278,000 2,422
Mitsubishi Kakoki 10,000 78
Mitsubishi Material 99,000 540
Mitsubishi Motors Corp. 6,000 53
Mitsubishi Oil Co. 22,000 188
Mitsubishi Paper Mills 30,000 188
Mitsubishi Trust & Banking 114,000 1,928
Mitsubishi Warehouse 3,000 54
Mitsui & Co. 206,000 1,870
Mitsui Fudosan Co., Ltd. 101,000 1,367
Mitsui Mining & Smelting 170,000 696
Mitsui O.S.K. Lines (a) 6,000 21
Mitsui Petrochemical Industry 118,000 949
Mitsui Toatsu Chemical 210,000 831
Mitsui Trust & Banking 63,000 737
Mizuno Corp. 26,000 245
Mori Seiki Co. 2,000 40
Murata Manufacturing Co. 46,000 1,746
Nagasakiya Co. (a) 3,000 26
Nagase & Co. 20,000 190
Nagoya Railroad Co., 1997 Warrants (a) 140 210
Nagoya Railroad Co., Ltd. 17,000 87
Namco 37,800 1,255
Nankai Electric Railway 10,600 67
National House Industrial 12,000 188
NCR Japan, Ltd. 2,000 20
NEC Corp. 251,000 2,731
New Oji Paper Co. 12,000 104
New Oji Paper Co., Ltd. 1998 Warrants (a) 60 97
NGK Spark Plug Co. 3,000 33
NHK Spring Co. 1,000 5
Nichicon Corp. 2,000 29
Nichido Fire & Marine 180,450 1,398
Nichiei Co., Ltd. of Kyoto 15,000 71
Nichiei Co., Ltd. of Yokohama 5,000 83
Nichimo Co. (a) 78,000 382
Nihon Cement Co. 3,000 22
Nikon Corp. 49,000 565
Nippon Carbon Co. (a) 1,000 5
Nippon Chemi-Con Co., Ltd. 1,000 7
Nippon Chemical Industrial 3,000 32
Nippon Credit Bank 4,000 15
Nippon Denso Co. 46,000 1,001
Nippon Electric Glass 3,000 51
Nippon Express Co. 75,000 734
Nippon Hodo Co. 11,000 187
Nippon Kayaku Co., Ltd. 2,000 15
Nippon Light Metal Co. 2,000 11
Nippon Oil Co. 212,000 1,440
Nippon Paint Co., Ltd. 1,000 5
Nippon Road Co. 60,000 518
Nippon Sheet Glass 53,000 260
Nippon Shokubai Kagaku Kogyo Co. 1,000 10
Nippon Soda Co. 2,000 18
Nippon Steel Corp. 1,795,000 6,171
Nippon Suisan (a) 160,000 683
Nippon Telegraph & Telephone Corp. 457 3,393
Nippon Zeon Co., Ltd. 1,000 6
Nishimatsu Construction 123,000 1,350
Nissan Diesel Motor Co. 70,000 415
Nissan Motor Co., Ltd. 593,000 5,276
Nisshinbo Industries, Inc. 22,000 217
Nissho Iwai Corp. 14,000 79
Nitto Denko Corp. 15,000 265
NKK Corp. (a) 432,000 1,311
Nomura Securities 261,000 5,107
NSK, Ltd. 110,000 834
NTT Data Communications
Systems Corp. 69 2,069
Obayashi Corp. 141,000 1,278
Odakyu Electric Railway 18,540 125
Okamoto Industries, Inc. 6,000 38
Okamura Corp. 60,000 503
Oki Electric Industries 8,000 55
Okuma Corp. (a) 4,000 45
Ono Pharmaceutical 27,000 931
Onoda Cement Co. 5,000 29
Orix Corp. 1,000 37
Osaka Gas Co. 165,000 605
Penta Ocean Construction 5,000 34
Pioneer Electronics Corp. 89,000 2,124
Renown, Inc. (a) 56,000 225
Ricoh Co., Ltd. 6,000 64
Royal Co., Ltd. 1,000 20
Ryobi, Ltd. 65,000 332
Sakura Bank 281,000 3,135
Samsung Electronics, Ltd. - GDR (a) 2,115 52
Sangetsu Co. 6,000 161
Sankyo Aluminum 36,000 211
Sankyo Co. 39,000 1,013
Sankyo Seiko Co. 96,000 724
Sanrio Co. (a) 1,000 12
Sanshin Electronics 22,000 360
Sanwa Bank 62,000 1,151
Sanyo Electric Co., Ltd. 75,000 459
56 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Sapporo Breweries 5,000 $ 47
Sato Kogyo Co. 3,000 18
Secom Co. 2,000 132
Sega Enterprises 7,800 365
Seibu Railway Co. 6,000 320
Seiko Corp. 1,000 9
Seino Transportation 13,000 206
Sekisui Chemical Co., Ltd. 59,000 723
Sekisui House, Ltd. 89,000 1,017
Seven-Eleven Japan NPV 2,200 141
Sharp Corp. 296,000 5,197
Shikoku Electric Power 35,700 793
Shin-Etsu Chemical Co. 29,050 558
Shionogi & Co. 5,000 43
Shiseido Co., Ltd. 90,000 1,152
Shokusan Jutaku Co. (a) 4,000 17
Showa Aircraft Industry 8,000 92
Showa Shell Sekiyu 36,300 378
Sintokogio 82,000 757
Skylark Co. 2,000 42
Snow Brand Milk 90,000 613
Sony Corp. 110,100 7,259
Sony Music Entertainment, Inc. 13,600 634
Stanley Electric 88,000 612
Sumitomo Bank 155,000 3,005
Sumitomo Corp. 132,000 1,176
Sumitomo Electric Industries 66,000 948
Sumitomo Forestry 84,000 1,252
Sumitomo Heavy Industry (a) 13,000 57
Sumitomo Metal Industries, Ltd. 517,000 1,588
Sumitomo Metal Mining 6,000 52
Sumitomo Realty & Development 481,000 3,813
Sumitomo Rubber Industries 108,000 937
Sumitomo Sitix Corp. 50,000 1,106
Sumitomo Trust & Banking 119,000 1,632
Suzuki Motor Corp. 1,000 13
Taisei Corp. 136,000 968
Taisho Pharmaceutical Co., Ltd. 5,000 108
Taiyo Yuden Co. 2,000 25
Takashimaya Co. 61,000 948
Takeda Chemical Industries 15,000 266
TDK Corp. 23,000 1,376
Teijin, Ltd. 203,000 1,105
Teikoku Oil 13,000 89
Tekken Corp. 2,000 15
Terumo Corp. 5,000 64
TOA Corp. 1,000 7
Toagosei Co., Ltd. 1,000 5
Tobu Railway Co. 50,000 329
Toenec Corp. 22,000 205
Toho Co. 300 53
Toho Zinc Co. 2,000 13
Tokai Bank 7,000 91
Tokio Marine & Fire 122,000 1,629
Tokyo Broadcasting 64,000 1,135
Tokyo Dome Corp. 3,000 61
Tokyo Electric Co., Ltd. (a) 29,000 163
Tokyo Electric Power 70,000 1,779
Tokyo Electronics 14,000 408
Tokyo Steel Manufacturing 19,000 374
Tokyo Tatemono Co., Ltd. (a) 7,000 45
Tokyotokeiba Co. 6,000 27
Tokyu Construction 28,000 130
Tokyu Corp. 16,000 122
Tokyu Land Corp. (a) 3,000 16
Tomen Corp. 197,000 758
Tonen Corp. 21,000 309
Toppan Printing 49,000 717
Toshiba Ceramics Co. 2,000 22
Toshiba Corp. 18,000 129
Toshiba Machine Co. (a) 40,000 256
Tostem Corp. 2,000 59
Toto, Ltd. 3,000 45
Toyo Construction 110,000 562
Toyo Engineering Co. 40,000 270
Toyo Trust & Banking 61,000 630
Toyoda Automatic Loom 20,000 401
Toyota Motor Corp. 157,000 3,934
Tsubakimoto Chain 45,000 307
Tsugami Corp. 1,000 5
UBE Industries 225,000 858
UNY Co., Ltd. 6,000 119
Victor Co. of Japan 52,000 747
Wacoal Corp. 20,000 272
Yamaha Corp. 8,000 133
Yamaha Motor Co. 110,000 1,127
Yamaichi Securities Co. 127,000 873
Yamanouchi Pharmaceutical 4,000 87
Yamato Transport 3,000 35
Yamazaki Baking Co., Ltd. 25,000 464
Yasuda Fire & Marine
Insurance Co., Ltd. (The) 150,000 1,123
Yasuda Trust & Banking 60,000 380
Yokogawa Electric Co. 5,000 50
Yokohama Rubber Co. 157,000 986
Yurtec Corp. 11,000 194
--------
216,886
---------
International Securities Fund 57
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
MALAYSIA - 1.7%
Affin Holdings Berhad 297,000 $ 697
Affin Holdings Berhad 1999 Warrants (a) 85,000 82
Berjaya Sports 104,000 344
Carlsberg Brewery Malaysia Berhad 80,000 545
Commerce Asset Holdings Rights (a) 43,333 156
Edaran Otomobil 3,400 33
Genting Berhad 51,000 399
Highlands & Lowlands 13,000 23
IGB Corp. Berhad 7,000 7
IND Oxygen, Inc. 324,000 449
Kedah Cement Holdings Berhad 6,000 11
Malayan Cement Berhad 2,000 5
Malayan United Industries 18,000 15
Malaysian Airline System 9,000 29
Malaysian Pacific 7,000 29
MBF Capital Berhad 188,000 259
Multi Purpose Holding 258,000 416
New Straits Times 175,000 912
Oriental Holdings Berhad 1,000 7
Perlis Plantations 6,000 23
Petronas Dagangan Berhad 6,000 16
Public Bank Berhad (Alien Market) 5,000 14
Rashid Hussain Berhad 6,000 22
Renong Berhad 736,000 1,174
Renong Berhad 2000 Warrants
(Alien Market)(a) 27,875 8
Resorts World Berhad 351,000 2,012
Selangor Properties 21,000 26
Sime Darby Berhad (Resident Shares) 547,800 1,515
Sime UEP Properties Berhad 80,000 160
Tan Chong Motor Holdings 263,000 384
Tanjong PLC 79,000 298
Technical Resource Industries Berhad (a) 262,000 913
United Engineers Berhad 114,000 790
--------
11,773
--------
MEXICO - 0.4%
Cemex SA de CV Class B NPV 33,360 132
Cemex SA de CV NPV 67,657 243
Cifra SA de CV - ADR (a) 246,780 356
Compania Cervecerias Unidas SA - ADR 2,702 63
Empresa Nacional de Electric - ADR 7,939 171
Fomento Economico Mexicano
SA de CV Series B NPV 21,157 61
Gruma SA Series B NPV (a) 26,427 122
Grupo Embotellador de Mexico (a) 38,548 70
Grupo Financiero Banamex AC
Series B NPV (a) 76,168 158
Grupo Financiero Banamex
AC Series L NPV (a) 3,237 6
Grupo Financiero Bancomer SA
- ADR Class B (a) 520 4
Grupo Industrial Maseca Series B NPV 148,656 155
Grupo Modelo SA Series C 22,110 104
Grupo Television SA de CV - GDR (a) 4,127 127
Kimberly-Clark, Mexico Class A NPV 8,490 155
Pan American Beverages, Inc. Class A 4,754 213
Telefonos de Mexico SA Series L - ADR 13,675 458
--------
2,598
--------
NETHERLANDS - 3.4%
ABN AMRO Holdings NV 27,296 1,466
Aegon NV 8,800 406
Ahold NV 6,316 343
AKZO Nobel NV 1,315 158
Boskalis Westminster CVA 14,128 253
CSM NV CVA 12,404 595
DSM NV (BR) 5,900 586
Elsevier NV 137,144 2,083
Fortis Amev NV 13,848 397
Hagemeyer NV 2,708 193
ING Groep NV 46,874 1,399
ING Groep NV (a) 23,437 357
Koninklijke Bijenkorf Beheer 5,000 423
Moeara Enim Petroleum NPV New 37 638
Nedlloyd Groep NV 23,800 548
Nutricia Verenigde Bedrijven CVA 2,354 249
Otra NV 2,860 66
Philips Electronics 15,600 508
Polygram 18,353 1,085
Randstad Holdings NV 7,000 517
Royal Dutch Petroleum Co. (BR) 27,787 4,295
Royal PTT Nederland NV 21,427 812
Unilever NV CVA 10,900 1,578
Verenigde Nederlandse Uitgeversbedrijven
Verenigd Bezit 108,420 1,684
Wolters Kluwer CVA 28,113 3,195
--------
23,834
--------
NEW ZEALAND - 0.4%
Air New Zealand Class B 95,440 292
Carter Holt Harvey 138,855 318
DB Group, Ltd. 92,500 54
Fernz Corp. 25,900 78
Fletcher Challenge Building (a) 51,309 101
58 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Fletcher Challenge Energy (a) 51,309 $ 114
Fletcher Challenge Paper (a) 102,619 199
Fletcher Challenge, Ltd. (Forests Division) 66,229 82
Lion Nathan, Ltd. 237,156 622
Telecom Corp. of New Zealand 76,600 323
Trans Tasman Properties, Ltd. NPV 915,006 415
Wrightson Limited 150,000 110
--------
2,708
--------
NORWAY - 0.9%
Aker AS Series A 1,200 23
Aker AS Series B 1,400 25
Bergesen DY AS Series A 8,010 167
Bergesen DY AS Series B 1,800 36
Den Norske Creditbank AS 41,100 125
Det Norske Luftfartselskap AS Series B 11,580 126
Dyno Industrier AS 2,100 47
Elkem AS Series A 7,600 105
Hafslund Nycomed AS Series A 3,628 26
Hafslund Nycomed AS Series B 13,110 84
Kvaerner Industries AS 1,750 73
Kvaerner Industries AS Series B 6,750 261
NCL Holdings AS (a) 2,228 5
Norsk Hydro AS 60,254 2,953
Norske Skogindustrier AS Class A 1,000 30
Nycomed ASA Series A (a) 5,728 83
Nycomed ASA Series B (a) 14,610 203
Olav Thon Eiendomsselskap AS 18,300 324
Orkla AS New 14,461 761
Orkla AS Series B Free 400 19
Saga Petroleum AS Series B 6,610 90
Schibsted AS 50,100 649
Unitor AS 1,600 26
Veidekke AS 8,100 192
--------
6,433
--------
PHILIPPINES - 0.0%
Enron Global Power & Pipelines L.L.C. 1,849 45
--------
45
--------
PORTUGAL - 0.1%
Jeronimo Martins SGPS 6,796 612
--------
612
--------
SINGAPORE - 2.2%
Chuan HUP Holdings, Ltd. 125,500 96
City Developments 216,000 1,684
DBS Land 69,000 237
Development Bank of Singapore, Ltd.
(Alien Market) 62,000 773
Far East Levingston 16,000 88
First Capital Corp. 89,000 221
Fraser & Neave 107,800 1,115
Hai Sun Hup Group 58,000 44
Haw Par Brothers International, Ltd. 105,300 240
Haw Par Brothers International, Ltd.
1996 Rights (a) 10,530 4
Hotel Properties 184,000 326
Inchcape Berhad 23,000 73
Jardine Matheson Holdings, Ltd. 113,154 760
Jardine Strategic Holdings, Ltd. 418,361 1,339
Jardine Strategic Holdings, Ltd.
1998 Warrants (a) 39,817 12
Jurong Shipyard 7,000 35
Keppel Corp. 138,000 1,154
Lum Chang Holdings 56,800 52
Metro Holdings, Ltd. 800 3
Natsteel, Ltd. 180,000 357
Neptune Orient Lines, Ltd. 131,100 138
Overseas Chinese Bank 1996 Rights (a) 6,833 55
Overseas Chinese Banking (Alien Market) 68,333 799
Overseas Union Bank (Alien Market) 71,100 489
Prima, Ltd. 7,000 25
Robinson & Co., Ltd. 21,000 89
Sembawang Shipyard 10,000 50
Singapore Airlines, Ltd. (Alien Market) 64,000 676
Singapore Land 97,000 657
Singapore Press Holdings (Alien Market) 14,760 290
Singapore Telecommunications, Ltd. 146,000 389
Straits Trading Co. 140,000 367
Times Publishing 38,000 93
Total Access Communication, Ltd. 7,000 60
United Industrial Corp., Ltd. 690,000 704
United Overseas Bank, Ltd.
(Alien Market) 102,966 985
United Overseas Bank, Ltd.
1997 Warrants (a) 15,866 63
United Overseas Land 279,000 490
United Overseas Land 2001 Warrants (a) 22,900 15
WBL Corp., Ltd. 20,000 47
--------
15,094
--------
SOUTH KOREA - 0.2%
Bank of Seoul (a) 13,000 97
Cho Hung Bank 2,000 21
International Securities Fund 59
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Hanil Bank 11,000 $ 110
Hanil Securities Co. (a) 6,600 82
Kookmin Bank 7,994 148
Korea Electric Power Corp. 8,800 304
Pohang Iron & Steel 4,810 302
Samsung Electronics Co. - GDR 566 28
Samsung Electronics Co., Ltd. New 600 48
Samsung Electronics, Ltd. 1,993 167
Samsung Electronics, Ltd. - GDR 170 9
Samsung Electronics, Ltd. - GDS 7,020 171
Samsung Fire & Marine Insurance 45 30
Shin Han Bank 1,960 36
Yukong, Ltd. 3,927 114
--------
1,667
--------
SPAIN - 2.5%
Acerinox SA 3,500 365
Argentaria 14,939 652
Aumar (Aut Del Mar) 8,480 110
Banco Bilbao Vizcaya (Regd) 18,436 747
Banco Central Hispano Americano SA (Regd) 46,700 952
Banco de Santander SA (Regd) 7,859 367
Banco Intercontinental (Regd) 7,125 798
Banco Pastor SA 3,000 187
Banco Popular Espanol (Regd) 6,129 1,094
Banco Zaragozano (Regd) 6,200 114
Bodegas y Bebidas Series III (BR) 2,875 70
Ceneral de Aguas D'Barcelona 1,870 70
Centros Comerciales Continente S.A. 2,930 70
Centros Comerciales Pryca 31,116 778
Conserva Campofrio SA 750 28
Cristale Espanola (BR) 3,789 238
Dragados y Construcciones SA 1,200 16
Ebro Agricolas 29,240 338
Empresa Nacional de Celulosas 11,900 169
Empresa Nacional de Electricidad 17,797 1,111
Fom Construction y Contra 793 66
Fuerzas Electricat Series A 59,521 486
Gas Natural SDG SA 2,081 437
Iberdrola SA 192,572 1,978
Koipe SA 1,212 66
Obrascon SA 8,000 81
Prosegur Compania (Regd) 8,000 281
Repsol SA 34,459 1,199
Sevillana de Electrica 20,027 185
Sociedad General Azucarera
de Espana SA de CV 12,271 426
Tabacalera SA Series A (Regd) 20,569 1,036
Tableros de Fibras Series B 18,834 171
Telefonica de Espana 99,147 1,828
Union Electrica Fenosa 26,500 171
Uralita 17,750 166
Vallehermoso SA 4,266 84
Viscofan Envoltura 20,000 317
--------
17,252
--------
SWEDEN - 2.7%
AGA AB Series B 700 12
Asea AB Series A 2,560 272
Astra AB Series A 117,174 5,186
Astra AB Series B 46,890 2,047
Atlas Copco AB Series B 15,040 281
Autoliv AB 400 12
Avesta-Sheffield 24,500 231
Bilspedition Transportation & Log
Series B (a) 1,400 4
BT Industries AB 30,000 462
Celsius Industrier AB Series B (a) 400 5
Electrolux AB Series B 9,740 491
Esselte AB Series A Free 300 6
Esselte AB Series B 3,190 65
Hennes & Mauritz AB Series B 7,500 697
Hoganas AB B Shares 14,000 491
Hufvudstaden Fast Series A 5,200 34
Investor AB Series A Free 100 4
Kinnevik Investment Series B 21,800 662
Marieberg Tidnings Series A 300 8
Mo Och Domsjo AB Series B 2,300 59
Munksjo AB 40,900 321
NetCom Systems AB Series B (a) 21,500 244
Nordbanken AB 30,000 580
OM Gruppen AB 36,000 990
Sandvik AB Series B 15,050 348
Scania AB 1999 Warrants (a) 1,500 2
Scribona AB Series B Free 3,060 32
Skand Enskilda Barken Series A 75,500 604
Skandia Group Foersakerings Free 400 11
Skanska AB Series B 5,600 198
SKF AB Series A Free 29,000 675
SKF AB Series B Free 1,800 43
Sparbanken Sverige AB Series A 1,300 17
SSAB Svenskt Stal AB Series B 200 3
Stadshypotek AB Series A 500 11
Stora Kopparbergs Series A 1,400 19
Stora Kopparbergs Series B 12,850 170
Svenska Celluosa Series B Free 31,900 658
60 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Svenska Handelsbank Series A 5,300 $ 111
Svenskt Staal AB Series A 500 6
Telefonaktiebolaget Ericsson (LM) Series B 75,260 1,625
Trelleborg AB Series B Free 36,300 454
Volvo AB Series B 30,850 703
--------
18,854
--------
SWITZERLAND - 4.0%
Baer Holdings AG (BR) 210 227
Baloise Holdings (Regd) 95 207
BBC Brown Boveri (BR) 639 791
Bil GT Gruppe AG 580 283
Ciba Geigy AG (BR) 50 61
Ciba Geigy AG (Regd) 3,357 4,095
CS Holdings (Regd) 17,740 1,689
Fischer (Georg) AG (BR) 805 930
Helvetia Schweizerische
Vericherungs-Gesellschaft (Regd) 200 93
Hilti AG 175 132
Holderbank Financiere Glarus AG (BR) 390 312
Lion Corp. 1999 Warrants (a) 500 108
Merkur Holding AG (Regd) 850 179
Nestle SA (Regd) 2,245 2,566
Phoenix Mecano (BR) 500 247
Richemont Series A (BR) 200 317
Roche Holdings Genusscheine AG NPV 522 3,985
Sandoz AG (Regd) 3,091 3,538
Sarna Kunststoff Holdings AG (Regd) 200 211
Schweiz Bankgesellsch (BR) 840 823
Schweiz Bankverein (Regd) 10,915 2,156
Schweiz Ruckversicher (Regd) 1,687 1,734
SGS Holding (BR) 450 1,078
SGS Holding (Regd) 200 88
SMH AG Neuenburg (BR) 196 136
SMH AG Neuenburg (Regd) 3,700 579
Swissair (Regd)(a) 180 174
Winterthur (BR) 160 95
Winterthur (Regd) 560 334
Zurich Versicherungsgesellschaft (Regd) 3,325 907
--------
28,075
--------
THAILAND - 0.2%
Advanced Information Services
(Alien Market) 9,600 151
Bangkok Bank (Alien Market) 28,800 390
Bank of Ayudhya (Alien Market) 23,300 129
Bank of Ayudhya, Ltd. 1996 Rights
(Alien Market)(a) 5,825 17
Land & House (Alien Market) 5,000 63
Siam Cement Co. (Alien Market) 2,100 103
Siam Commercial Bank PLC (Alien Market) 17,000 246
Thai Farmers Bank (Alien Market) 13,900 152
--------
1,251
--------
UNITED KINGDOM - 14.4%
3i Group PLC 100 1
Abbey National PLC 166,370 1,398
Airtours PLC 60,000 474
Allied Colloids PLC 210,400 425
Allied Lyons 116,400 819
Amec PLC 24,500 37
Amersham International PLC 11,400 186
Amstrad PLC 11,800 35
Anglian Water PLC 3,300 30
Argos PLC 83,080 963
Argyll Group PLC 152,100 820
Arjo, Wiggins, Appleton Co. PLC 3,200 9
ASDA-MFI Group PLC 496,300 902
Associated British Foods PLC 27,800 167
Associated British Ports PLC 100,600 433
Astec (BSR) PLC 16,600 39
B.A.T. Industries PLC 116,400 906
BAA PLC 26,000 188
Barclays Bank PLC 137,000 1,644
Barratt Development PLC 22,900 90
BASS PLC 18,400 231
BBA Group PLC 3,700 18
Beazer Homes PLC 16,100 44
Berisford PLC 18,800 52
BICC PLC 3,100 15
Blue Circle Industries PLC 33,400 187
BOC Group PLC 36,800 528
Booker PLC 8,000 46
Boots Co. PLC 24,725 222
Bowthorpe PLC 2,300 16
BPB Industries PLC 5,730 28
Britannic Assurance PLC 46,000 514
British & Commonwealth Holdings
PLC (a)(d) 23,000 0
British Aerospace PLC 106,635 1,617
British Airways PLC 23,200 199
British Gas PLC 209,300 582
British Land Co. PLC 3,500 23
British Petroleum Co. PLC 629,290 5,522
British Sky Broadcasting Group PLC 19,400 132
British Steel PLC 52,100 133
International Securities Fund 61
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
British Telecom PLC 188,660 $ 1,014
BTR PLC 207,100 814
Bunzl PLC 25,004 92
Burton Group PLC 252,093 607
Cable & Wireless PLC 187,800 1,241
Cadbury Schweppes PLC 442,418 3,497
Calor Group PLC 9,400 35
Caradon PLC 133,716 448
Carlton Communications PLC 2,540 20
Charter PLC (Regd) 3,916 56
Christian Salvesen PLC 3,800 15
Chubb Security PLC 96,100 481
Coats Viyella PLC 129,700 345
Compass Group PLC 48,400 443
Cookson Group PLC 48,600 214
Cordiant PLC (a) 7,000 12
Costain Group PLC (a) 5,700 3
Courtaulds PLC 6,400 42
Cowie Group PLC 97,812 624
Dalgety PLC 72,300 396
Dawson International PLC 19,300 24
Delta PLC 2,300 13
Devro International PLC 85,000 318
Dixon Group PLC 7,700 63
E D & F Man Group PLC 110,000 297
East Midlands Electricity PLC 33,380 272
Electrocomponents PLC 26,700 158
English China Clay PLC 10,029 40
Eurotunnel PLC/Euro SA Units (Regd) 11,800 17
First Leisure Corp. PLC 85,000 474
FR Group PLC 2,600 26
General Electric Co. PLC 317,900 1,711
GKN PLC 12,700 195
Glaxo Wellcome PLC 457,338 6,158
Glynwed International PLC 66,800 328
Granada Group PLC 71,500 957
Grand Metropolitan PLC 223,871 1,485
Great Portland Estates PLC 6,720 17
Great University Stores PLC 55,930 568
Greenalls Group PLC 18,530 165
Greycoat PLC 3,000 7
Guardian Royal Exchange PLC 203,600 784
Guinness PLC 210,400 1,529
Hambros PLC 2,100 8
Hammerson Property PLC 2,019 11
Hanson PLC 131,600 368
Harrison & Crosfield PLC 4,470 9
Hazelwood Foods PLC 12,900 20
Heywood Williams Group PLC 21,041 77
Hillsdown Holdings PLC 392,461 1,057
HSBC Holdings 1,200 19
HSBC Holdings PLC 67,000 1,049
Huntingdon International
Holdings PLC - ADR (a) 41,600 250
Hyder PLC 87,750 972
IMI PLC 6,900 38
Imperial Chemical Industries PLC 17,060 209
Inchcape PLC 106,000 482
Invesco PLC 219,000 787
Johnson Matthey PLC 1,240 12
Kingfisher PLC 158,442 1,591
Kwik Save Group PLC 3,240 23
Ladbroke Group, Ltd. PLC 291,025 807
Laing (John) PLC 6,600 32
Laing (John) PLC Class A NV 43,000 192
Laporte PLC 600 6
LASMO PLC 17,100 47
Laura Ashley Holdings PLC 18,400 54
Legal & General Group PLC 3,680 38
Lex Service Group, Ltd. PLC 10,600 62
Lloyds Abbey Life PLC 4,790 38
London Clubs International 80,000 692
London Electricity PLC 43,842 426
London International Group PLC 14,800 35
Lonrho PLC 236,705 680
Lucas Industries, Ltd. PLC 95,600 336
Manchester United PLC 100,000 668
Marks & Spencer PLC 87,000 636
Marley, Ltd. PLC 10,216 20
Meggitt PLC 6,400 10
MEPC PLC 75,800 478
Meyer International PLC 3,500 21
MFI Furniture Group PLC 7,200 19
Midlands Electricity PLC 18,300 119
Mirror Group News PLC 45,200 143
National Grid Group PLC 114,324 303
National Power PLC 114,000 921
National Westminster Bank PLC 209,000 1,993
Next PLC 3,200 28
Norcros PLC (a) 32,200 52
North West Water PLC 6,000 50
Northern Electric PLC 4,200 37
Northern Foods PLC 30,400 87
Nynex CableComms Group (Units)(a) 28,100 45
Ocean Group PLC 4,810 34
Orange PLC (a) 105,700 370
Pearson PLC 58,000 598
Pen & Orient DFD PLC 68,900 518
62 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Pilkington Brothers PLC 51,500 $ 145
Polly Peck International PLC (a)(d) 200,054 0
Powergen PLC 20,800 152
Premier Farnell PLC 3,200 34
Provident Financial PLC 82,000 585
Prudential Corp. PLC 18,900 119
Racal Electronics PLC 193,600 917
Rank Organisation PLC 206,180 1,593
Reckitt & Colman PLC 23,442 246
Redland PLC 1,000 6
Reed International PLC 91,140 1,524
Rentokil Group PLC 20,200 128
Reuter's Holdings PLC 161,100 1,949
Rexam PLC 37,800 199
Rolls-Royce PLC 341,737 1,189
RTZ Corp. PLC (Regd) 138,510 2,050
Sainsbury (J.) PLC 121,800 717
Schroders, Ltd. PLC 1,900 40
Scottish & Newcastle PLC 10,600 108
Scottish Hydro-Electric PLC 13,900 64
Scottish Power PLC 27,633 130
Sears PLC 475,200 731
Sedgwick Group PLC 11,900 26
Sevren Trent Water PLC 3,400 29
Shell Transportation & Trading
PLC (Regd) 244,050 3,578
Siebe PLC 19,830 282
Signet Group PLC (a) 96,900 37
Simon Engineering PLC 15,300 14
Slough Estates PLC 2,190 7
Smith & Nephew PLC 26,000 83
Smith (David S.) Holdings PLC 65,500 278
SmithKline Beecham PLC 282,961 3,026
Smiths Industries PLC 810 9
South West Water PLC 41,900 426
Southern Electric PLC 11,500 127
Southern Water PLC 2,300 36
Spring Ram Corp. PLC (a) 23,222 5
St. James's Place Capital PLC 6,300 12
Stagecoach Holdings PLC 115,000 773
Standard Chartered Bank Group PLC 47,900 477
Storehouse PLC 32,900 61
T & N PLC 143,348 312
Tarmac, Ltd. PLC 431,000 736
Tate & Lyle, Ltd. PLC 13,500 96
Taylor Woodrow PLC 400,700 968
Tesco Store Holdings PLC 194,881 890
Thames Water PLC 5,100 45
Thorn EMI PLC 22,920 639
TI Group PLC 7,500 63
Tomkins PLC 379,870 1,428
Trinity Holdings PLC 80,000 451
TSB Group PLC 193,220 945
Unigate, Ltd. PLC 9,500 59
Unilever PLC 42,050 836
United Biscuits PLC 18,300 61
United Newspaper, Ltd. PLC 74,400 804
Vendome PLC 61,100 567
Vickers, Ltd. PLC 12,500 47
Vodafone Group PLC 855,430 3,182
Waste Management International PLC (a) 19,500 109
Wessex Water PLC 3,100 17
Whitbread & Co. PLC 6,120 67
Willis Corroon Group PLC 9,000 22
Wilson Connolly Holdings PLC 19,200 48
Wimpey (George), Ltd. PLC 49,747 115
Wolseley PLC 1,179 8
WPP Group PLC 215,000 725
Yorkshire Electricity Group PLC 4,100 45
Yorkshire Water PLC 3,300 34
Zeneca Group PLC 25,600 565
--------
99,053
--------
TOTAL COMMON STOCKS
(cost $543,688) 618,715
--------
PREFERRED STOCKS - 1.1%
AUSTRALIA - 0.2%
News Corp., Ltd. 72,022 351
Sydney Harbour Casino Holdings, Ltd. (a) 690,234 955
--------
1,306
--------
AUSTRIA - 0.0%
Bau Holdings AG 1,500 77
Creditanstalt-Bankverein 2,053 104
Z Landerbank Bank Austria AG 1,039 43
--------
224
--------
BRAZIL - 0.3%
Banco Bradesco SA NPV 41,426,228 338
Banco Itau SA (Regd) 253,000 103
International Securities Fund 63
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
------ ------
Brahma (Cia Cervej) NPV 379,465 $ 226
Brasmotor SA NPV 445,000 139
CEMIG SA 4,668,942 124
Cim Port Itau (Cia) 313,600 89
Companhia Energetica de Sao Paulo
- ADR (Regd)(a) 3,600 36
Coteminas (Cia Tec) NPV 312,000 123
Lojas Americanas NPV 4,389,000 86
Petroleo Brasileiro SA NPV 713,990 88
Telecomunicacoes Brasileiras NPV 94,858 7
Telecomunicacoes de Minas Gerais
Class B NPV 660,000 68
Telecomunicacoes do Rio de Janeiro
SA NPV (a) 621,000 70
TELESP NPV 881,356 189
Uniao de Bancos Brasileiros NPV 6,974,000 189
Usiminas Uni Sd Mg NPV 154,000,000 162
--------
2,037
--------
FRANCE - 0.0%
Ciments Francais Series B 100 4
--------
4
--------
GERMANY - 0.6%
Bayer Motoren Werk 600 250
Fielmann AG 2,271 109
Fresenius AG 700 127
GEA AG 460 153
Henkel 1,360 588
Hornbach Holding AG 2,150 185
Jungheinrich 900 160
Krones AG NV 1,147 438
Lufthansa AG NV 2,000 282
Porsche AG (a) 750 451
RWE AG (a) 24,050 740
SAP AG 4,950 735
--------
4,218
--------
ITALY - 0.0%
Autostrade Conc. SPA 106,600 185
Fiat SPA 35,200 62
Instituto Financiaro Industriale SPA 6,600 59
--------
306
--------
NETHERLANDS - 0.0%
International Nederlanden CVA 2,274 11
--------
11
--------
TOTAL PREFERRED STOCKS
(cost $7,416) 8,106
--------
PRINCIPAL
AMOUNT
(000)
---------
LONG-TERM INVESTMENTS - 1.4%
BELGIUM - 0.0%
Kredietbank (conv.)
5.750% due 12/31/03 BEF 15 46
--------
46
--------
FRANCE - 0.0%
Michelin (Cie Gle)(conv.)
2.500% due 01/01/01 FRF 191 106
--------
106
--------
ITALY - 0.0%
Danieli & Co. (conv.)
7.250% due 01/01/00 ITL 20,100 12
Italy, Republic of
6.500% due 06/28/01 165,000 109
--------
121
--------
JAPAN - 0.9%
Bank of Tokyo - Cayman Finance, Ltd.
4.250% due 03/31/49 JPY240,000 3,297
Daido Hoxan, Inc (conv.)
1.600% due 03/29/02 60,000 616
Hitachi, Ltd. (conv.)
2.700% due 03/31/97 40,000 465
Izumiya Co. (conv.)
0.800% due 08/31/99 71,000 1,000
Ricoh Co., Ltd. (conv.)
1.500% due 03/29/02 48,000 524
Sumitomo Bank (conv.)
0.750% due 05/31/01 19,000 188
Yamanouchi Pharmaceutical (conv.)
1.250% due 03/31/14 10,000 110
Yamato Transport Co., Ltd. (conv.)
3.900% due 03/30/01 21,000 261
--------
6,461
--------
64 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ------
MALAYSIA - 0.3%
Commerce Asset Holdings (conv.)
1.750% due 09/26/04 $ 470 $ 562
Renong Berhad (a)
4.000% due 05/22/01 MYR 45 17
Telekom Malaysia Berhad (conv.)
4.000% due 10/03/04 $ 1,260 1,327
--------
1,906
--------
SWITZERLAND - 0.1%
Sandoz Capital (conv.)
1.250% due 10/23/02 CHF 650 727
--------
727
--------
UNITED KINGDOM - 0.1%
BPB Industries PLC (conv.)
7.250% due 08/25/08 GBP 272 529
--------
529
--------
TOTAL LONG-TERM INVESTMENTS
(cost $9,063) 9,896
--------
SHORT-TERM INVESTMENTS - 6.4%
UNITED STATES - 6.4%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 38,668 $ 38,668
United States Treasury Bills (e)(f)
4.975% due 10/17/96 5,000 4,924
5.120% due 10/17/96 500 492
5.190% due 10/17/96 250 246
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $44,332) 44,330
--------
TOTAL INVESTMENTS
(identified cost $604,499)(c) - 98.1% 681,047
OTHER ASSETS AND LIABILITIES,
NET - 1.9% 12,898
--------
NET ASSETS - 100.0% $693,945
--------
--------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
(d) Securities are currently undergoing bankruptcy proceedings, and present
negligible market value.
(e) Held as collateral by the custodian in connection with futures purchased by
the Fund.
(f) Rate noted is yield-to-maturity.
The accompanying notes are an integral part of the financial statements.
International Securities Fund 65
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- --------------
FUTURES CONTRACTS
(Notes 2 and 3)
FTSE - 100 Index
Futures Contracts (UK)
expiration date 09/96 109 $ (219)
TOPIX Index
Futures Contracts (Japan)
expiration date 09/96 179 502
--------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (SECTION) $ 283
--------------
--------------
(SECTION) At June 30, 1996, United States Treasury Bills valued at $5,662 were
held as collateral by the custodian in connection with futures
contracts purchased by the Fund.
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- --------------------------------------------------- ------------ ----------
Basic Industries 8.9% $ 61,845
Capital Goods 8.3 57,899
Consumer Basics 11.0 75,975
Consumer Durable Goods 7.2 50,109
Consumer Non-Durables 5.6 38,674
Consumer Services 2.5 17,563
Energy 5.4 37,684
Finance 15.7 108,993
General Business 5.6 39,084
Miscellaneous 6.7 46,296
Shelter 2.6 17,839
Technology 3.4 23,744
Transportation 1.4 9,471
Utilities 6.0 41,645
Long-Term Investments 1.4 9,896
Short-Term Investments 6.4 44,330
------------ ----------
Total Investments 98.1 681,047
Other Assets and Liabilities, Net 1.9 12,898
------------ ----------
NET ASSETS 100.0% $ 693,945
------------ ----------
------------ ----------
% OF MARKET
NET VALUE
GEOGRAPHIC DIVERSIFICATION ASSETS (000)
- --------------------------------------------------- ------------ ----------
Japan 32.2% $ 223,347
Europe 30.7 213,042
United Kingdom 14.3 99,582
Pacific Basin 12.5 86,966
Latin America 1.2 8,105
United States (Short-Term Investments) 6.4 44,330
Other 0.8 5,675
------------ ----------
Total Investments 98.1 681,047
Other Assets and Liabilities, Net 1.9 12,898
------------ ----------
NET ASSETS 100.0% $ 693,945
------------ ----------
------------ ----------
The accompanying notes are an integral part of the financial statements.
66 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
FOREIGN CURRENCY EXCHANGE CONTRACTS (NOTE 2)
June 30, 1996 (Unaudited)
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- ------------ ------------- ---------- --------------
USD 636 CHF 802 07/01/96 $ 5
USD 268 ITL 411,969 07/01/96 1
USD 254 ITL 390,748 07/02/96 1
USD 668 JPY 72,806 07/01/96 (3)
USD 408 JPY 44,614 07/01/96 --
USD 118 JPY 12,858 07/02/96 --
USD 57 JPY 6,240 07/03/96 --
USD 12 THB 311 07/03/96 --
AUD 11 USD 8 07/01/96 --
CHF 10 USD 8 07/01/96 --
DEM 1 USD 1 07/01/96 --
DEM 900 USD 592 07/02/96 --
ESP 3,170 USD 25 07/01/96 --
FRF 3,483 USD 675 07/01/96 (2)
GBP 310 USD 477 07/01/96 (4)
GBP 1 USD 1 07/01/96 --
GBP 65 USD 101 07/01/96 --
HKD 1,616 USD 209 07/05/96 --
HKD 106 USD 14 07/01/96 --
ITL 20,416 USD 13 07/01/96 --
ITL 81,106 USD 53 07/05/96 --
JPY 46,797 USD 428 07/01/96 --
JPY 36,277 USD 332 07/02/96 1
JPY 17,663 USD 161 07/03/96 (1)
MYR 65 USD 26 07/05/96 --
MYR 25 USD 10 07/01/96 --
SGD 3 USD 2 07/01/96 --
SGD 29 USD 21 07/01/96 --
---------------
$ (2)
---------------
---------------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- ------------ ------------- ---------- --------------
USD 13,858 GBP 9,000 09/27/96 $ 112
USD 24,960 JPY 2,700,000 09/27/96 43
DEM 4,530 USD 3,000 12/02/96 (8)
GBP 1,500 USD 2,242 02/03/97 (87)
HKD 34,841 USD 4,500 12/02/96 --
---------------
$ 60
---------------
---------------
The accompanying notes are an integral part of the financial statements.
International Securities Fund 67
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investments at market (identified cost $604,499,056)(Note 2). . . . . . . . . . . . $ 681,047,051
Foreign currency holdings (identified cost $8,497,711). . . . . . . . . . . . . . . 8,470,871
Forward foreign currency exchange contracts (cost $48,560,273)(Note 2). . . . . . . 48,715,753
Foreign currency exchange spot contracts (cost $5,575,774)(Note 2). . . . . . . . . 5,580,785
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,872,886
Investments sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,817,667
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,828,242
Foreign taxes recoverable . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,101,610
Daily variation margin on futures contracts (Notes 2 AND 3) . . . . . . . . . . . 96,217
--------------
755,531,082
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . . . . . . . . . $ 6,159,842
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . 200,785
Accrued fees to affiliates (Note 4) . . . . . . . . . . . . . . 625,983
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . 329,480
Closed forward foreign currency contracts (Note 2) . . . . . . . . . 31,350
Forward foreign currency exchange contracts
(Cost $48,560,273)(Note 2). . . . . . . . . . . . . . . . . . . 48,655,517
Foreign currency exchange spot contracts
(Cost $5,575,774)(Note 2) . . . . . . . . . . . . . . . . . . . 5,582,649 61,585,606
------------ --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 693,945,476
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . $ 2,112,280
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . 14,992,873
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,547,995
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282,967
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . 29,597
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . 116,396
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 599,863,368
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 693,945,476
--------------
--------------
Net asset value, offering and redemption price per share,
($693,945,476 divided by 11,639,570 shares of $.01 par value ,
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . $ 59.62
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
68 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,916,536
Dividends from money market fund (Note 5). . . . . . . . . . . . . . . . . . . 900,266
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250,156
Less foreign taxes withheld. . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,139,284)
--------------
8,927,674
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . $ 3,127,417
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . 918,424
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . 197,524
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . 94,150
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . 29,115
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . 8,841
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . 30,815
------------
Expenses before waivers. . . . . . . . . . . . . . . . . . . . . 4,408,750
Expenses waived by manager (Note 4). . . . . . . . . . . . . . . (21,825) 4,386,925
------------ --------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,540,749
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,740,365
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,916,678
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . (170,345)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,509,541
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (148,864)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . (473,840)
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . 36,373,535
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . $ 40,914,284
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
International Securities Fund 69
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
INCREASE (DECREASE) IN NET ASSETS ------------------- -----------------
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,540,749 $ 5,814,393
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,740,365 23,860,138
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,916,678 208,923
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . (170,345) 260,551
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,509,541 29,328,416
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (148,864) 431,831
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . (473,840) 781,608
------------------ -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . 40,914,284 60,685,860
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (9,375,452)
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . -- (2,395,248)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (6,701,326) (18,007,535)
Increase (decrease) in net assets from fund share transactions . . . . . . . . . . 36,343,975 29,147,560
------------------ -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . 70,556,933 60,055,185
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . 623,388,543 563,333,358
------------------ -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income of $2,112,280 and
accumulated distributions in excess of net investment income
of $2,395,248, respectively) . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 693,945,476 $ 623,388,543
------------------ -----------------
------------------ -----------------
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
FUND SHARE TRANSACTIONS ------------------------------------ ----------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ---------------- ------------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . 2,069,545 $ 120,103,758 3,789,941 $ 207,530,515
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . 86,425 4,972,021 370,011 20,569,490
Fund shares redeemed . . . . . . . . . . . . . . (1,528,706) (88,731,804) (3,586,875) (198,952,445)
-------------- -------------- -------------- ---------------
Net increase (decrease). . . . . . . . . . . . . 627,264 $ 36,343,975 573,077 $ 29,147,560
-------------- -------------- -------------- ---------------
-------------- -------------- -------------- ---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
70 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>
1996* 1995 1994 1993 1992 1991
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . $ 56.61 $ 53.96 $ 57.95 $ 44.75 $ 49.15 $ 44.60
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . 0.40 .56 .44 .40 .61 .72
Net realized and unrealized gain (loss) on investments (c) . . . 3.20 4.89 1.23 14.53 (4.02) 4.60
------- ------- ------- ------- ------- -------
Total Income From Investment Operations. . . . . . . . . . . . . 3.60 5.45 1.67 14.93 (3.41) 5.32
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . -- (.88) (.04) (.38) (.68) (.76)
In excess of net investment income . . . . . . . . . . . . . . . -- (.23) (.02) (.23) -- --
Net realized gain on investments . . . . . . . . . . . . . . . . (0.59) (1.69) (5.60) (1.12) (.31) (.01)
------- ------- ------- ------- ------- -------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (0.59) (2.80) (5.66) (1.73) (.99) (.77)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . $59.62 $56.61 $53.96 $57.95 $44.75 $49.15
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 6.40 10.20 4.86 33.48 (6.94) 11.99
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b) . . . . . . . 1.33 1.30 1.30 1.38 1.45 1.49
Operating expenses, gross, to average net assets (b) . . . . . . 1.34 1.31 1.33 1.42 1.47 1.49
Net investment income to average net assets (b). . . . . . . . . 1.38 .97 .70 .82 1.37 1.68
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . 45.11 42.96 72.23 60.22 48.93 52.46
Net assets, end of period ($000 omitted) . . . . . . . . . . . . 693,945 623,389 563,333 454,482 262,886 243,065
Per share amount of fees waived ($ omitted)(d) . . . . . . . . . .0019 .0080 .0178 .0161 .0054 --
Average commission rate paid per share
of security ($ omitted)(e) . . . . . . . . . . . . . . . . . . .0026 N/A N/A N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) Provision for federal income tax for the year ended December 31, 1991
amounted to $.03 per share.
(d) See Note 4 for current period amounts.
(e) In certain foreign markets the relationship between the translated
U.S. dollar price per share and commission paid per share may vary
from that of domestic markets.
International Securities Fund 71
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ------
LONG-TERM INVESTMENTS - 94.0%
ASSET-BACKED SECURITIES - 5.4%
Advanta Home Equity Loan Trust
9.000% due 02/25/06 $ 91 $ 93
American Express Credit
Account Master Trust
Series 1996-1 Class A
6.800% due 12/15/03 900 904
Case Equipment Loan Trust
Series 1995-B Class A-3
6.150% due 09/15/02 2,500 2,483
Chase Manhattan Comm
7.600% due 06/30/28 775 784
Chase Manhattan Credit Card Master Trust
Series 1996-4 Class A
6.730% due 02/15/03 1,685 1,695
Chase Manhattan Grantor Trust
Pass-thru Certificate
Series 1996-A Class A
5.200% due 02/15/02 472 464
Chevy Chase Auto Receivables
Series 1996-1 Class A
6.600% due 12/15/02 3,865 3,869
Contimortgage Home Equity Loan
Series 1994-3 Class A-4
7.850% due 06/01/24 600 608
Contimortgage Home Equity Loan Trust
Mortgage Pass-thru Certificate
Series 1994-4 Class A-6
8.270% due 12/15/24 451 455
Series 1995-1 Class A2-A
8.600% due 06/15/25 326 335
Discover Card Trust
Series 1992-B Class A
6.800% due 06/16/00 635 639
Fingerhut Master Trust
Series 1996-1 Class A
6.450% due 02/20/02 680 678
First Chicago Master Trust II
Credit Card Certificates
Series 1994-L
7.150% due 04/15/01 2,520 2,558
Fleetwood Credit Corp. Grantor Trust
Series 1996-A Class A
6.750% due 10/17/11 1,014 1,013
Goldman Sachs Mortgage Securities Corp. II
Series 1996 Class A-1
7.020% due 02/15/27 372 369
Green Tree Financial Corp.
Series 1995-A Class A
7.250% due 07/15/05 492 492
Lehman Pass-thru Securities, Inc.
Series 1991-2 Class A-1
8.000% due 03/20/99 $ 84 $ 85
Mortgage Capital Funding, Inc.
Multifamily Coverage Pass-thru
7.700% due 05/25/27 775 785
Onyx Acceptance Grantor Trust
Pass-thru Certificate
Series 1996-2 Class A
6.400% due 10/15/01 251 250
Prime Credit Card Master Trust
Series 1996-1 Class A
6.700% due 07/15/04 970 964
Resolution Trust Corp.
Mortgage Pass-thru Certificate
Series 1992 Class A-3
10.600% due 05/25/24 (c) 699 711
Series 1994-C1 Class D
8.000% due 06/25/26 464 459
Series 1994-C2 Class D
8.000% due 04/25/25 384 381
Series 1995-C1 Class C
6.900% due 02/25/27 (c) 350 326
Sears Credit Account Master Trust II
Series 1996-2 Class A
6.500% due 10/15/03 740 739
Sears Savings Bank
Mortgage Pass-thru Certificate
Series 1992-A Class A
8.700% due 05/25/32 (c) 1,097 1,083
Structured Asset Securities Corp.
Mortgage Pass-thru Certificate
Series 1996-CFL Class C
6.525% due 02/25/28 300 285
The Money Store Home Equity Trust
Series 1996-B Class A-5
7.180% due 12/15/14 775 775
TMS Home Equity Loan Trust
Series 1994-D Class A-4
8.750% due 01/15/20 700 726
Wal Mart Stores, Inc.
Series 1994-B3
8.800% due 12/30/14 315 340
World Omni Automobile Lease
Securitization Trust
Series 1995-A Class A
6.050% due 11/25/01 1,245 1,238
Series 1996-A Class A-1
6.300% due 06/25/02 1,205 1,199
Diversified Bond Fund 73
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
Series 1996-A Class A-2
6.550% due 06/25/02 $ 750 $ 747
--------
28,532
--------
CORPORATE BONDS AND NOTES - 15.8%
American Brands, Inc.
8.625% due 11/15/21 420 459
7.875% due 01/15/23 80 81
American Express Co.
8.500% due 08/15/01 255 273
American General Finance Corp.
8.250% due 01/15/98 500 513
7.250% due 03/01/98 455 461
8.500% due 08/15/98 260 270
AMR Corp.
8.100% due 11/01/98 160 163
9.500% due 05/15/01 150 164
Analog Devices, Inc.
6.625% due 03/01/00 125 122
Aristar, Inc.
6.300% due 07/15/00 1,020 997
Associates Corp. of North America
6.250% due 03/15/99 1,010 1,002
Associates Corp. of North America
Series H (MTN)
7.090% due 04/11/03 400 402
AT&T Corp.
8.625% due 12/01/31 220 231
Atlantic Richfield Co.
9.125% due 08/01/31 400 468
Auburn Hills Trust
12.000% due 05/01/20 400 578
AVCO Financial Services, Inc.
7.250% due 07/15/99 275 278
8.500% due 10/15/99 405 425
Bank of New York, Inc.
7.875% due 11/15/02 350 363
Bank One, Columbus, Ohio
7.375% due 12/01/02 120 120
BankAmerica Corp.
6.850% due 03/01/03 425 419
Barnett Bank, Inc.
6.900% due 09/01/05 200 194
Bell Telephone Co. of Pennsylvania
8.350% due 12/15/30 355 405
BellSouth Telecommunications
7.000% due 12/01/2095 385 356
Beneficial Corp.
8.400% due 05/15/08 $ 1,235 $ 1,361
Boeing Co.
8.750% due 08/15/21 500 567
Broken Hill Property Finance USA
6.420% due 03/01/26 800 773
Case Corp.
7.250% due 08/01/05 330 324
7.250% due 01/15/16 120 112
Caterpillar Financial Services (MTN)
9.500% due 02/06/07 420 486
Central Fidelity Banks, Inc.
8.150% due 11/15/02 170 178
Champion International Corp.
7.700% due 12/15/99 530 541
Chase Manhattan Corp. New
10.125% due 11/01/00 200 223
9.375% due 07/01/01 775 850
10.375% due 03/15/99 155 168
Chesapeake & Potomac Telephone Co.
8.375% due 10/01/29 230 257
Chrysler Financial Corp.
9.500% due 12/15/99 275 298
CIT Group Holdings, Inc. (MTN)
7.000% due 09/30/97 970 979
Citicorp
9.500% due 02/01/02 120 134
7.125% due 06/01/03 390 390
Coastal Corp.
10.375% due 10/01/00 120 135
Coca-Cola Enterprises, Inc.
8.500% due 02/01/22 475 520
Commercial Credit Group, Inc.
5.750% due 07/15/00 295 283
8.700% due 06/15/10 380 426
Commonwealth Edison Co. Series 85
7.375% due 09/15/02 945 945
Consolidated Natural Gas Co.
8.625% due 12/01/11 200 211
Consolidated Rail Corp.
Pass-thru Certificate Structured Note
Series 1995 Class A
6.760% due 05/25/15 495 473
CoreStates Capital Corp.
5.875% due 10/15/03 400 370
Corporate Property Investors
7.875% due 03/15/16 775 759
74 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
CSFB Finance Co., Ltd.
Series 1995-A Class A
8.364% due 11/15/05 (c) $ 450 $ 424
Dayton Hudson Corp.
9.750% due 07/01/02 300 337
Discover Credit Corp. (MTN)
8.350% due 04/27/99 360 372
Dole Food Co., Inc.
6.750% due 07/15/00 170 168
Duke Power Co.
7.000% due 07/01/33 695 631
Eaton Corp.
7.000% due 04/01/11 315 294
Equitable Life Assurance Society
6.950% due 12/01/05 775 744
7.700% due 12/01/15 800 782
ERP Operating, L.P.
8.500% due 05/15/99 850 878
Evans Whitycombe Trust
Series 1994 Class A-1
7.980% due 08/01/01 600 617
Federal Express Corp.
Series 1993 Class B-1
6.680% due 01/01/08 600 570
First Chicago Corp.
8.875% due 03/15/02 505 547
First Fidelity Bancorp New
9.625% due 08/15/99 255 275
First Interstate Bancorp (MTN)
9.375% due 01/23/02 135 147
First Union Corp.
6.550% due 10/15/35 1,550 1,477
Fleet Financial Group, Inc.
8.125% due 07/01/04 525 549
Ford Motor Credit Co. (MTN)
6.000% due 02/27/01 1,170 1,128
6.290% due 03/05/01 580 566
General Electric Capital Corp.
8.300% due 09/20/09 235 256
6.660% due 05/01/18 (c) 775 772
General Motors Acceptance Corp.
6.625% due 10/01/02 1,550 1,513
General Motors Acceptance Corp. (MTN)
8.000% due 12/05/96 1,000 1,009
Georgia-Pacific Corp.
7.375% due 12/01/25 350 319
Goldman Sachs Group, L.P.
6.875% due 09/15/99 675 675
6.375% due 06/15/00 465 453
6.200% due 12/15/00 425 413
Grand Metropolitan Investment Corp.
7.450% due 04/15/35 $ 300 $ 308
Hanson America, Inc. (conv.)
2.390% due 03/01/01 900 765
Hertz Corp.
7.000% due 04/15/01 790 791
9.000% due 11/01/09 230 257
Household Finance Co. (MTN)
7.150% due 06/15/00 775 782
Household Finance Corp.
6.375% due 06/30/00 1,200 1,179
International Lease Finance Corp.
5.750% due 01/15/99 455 445
ITT Corporations New
7.375% due 11/15/15 340 320
ITT Financial Corp.
7.400% due 11/15/25 505 477
Kern River Funding Corp.
Series B
6.720% due 09/30/01 775 764
Liberty Mutual Insurance Co.
8.500% due 05/15/25 500 517
Lockheed Martin Corp.
7.750% due 05/01/26 600 598
May Department Stores Co.
9.875% due 12/01/02 400 454
Merrill Lynch & Co., Inc.
6.000% due 01/15/01 800 772
Merry Land & Investment, Inc.
7.250% due 06/15/05 750 728
Morgan Stanley Group, Inc.
8.100% due 06/24/02 125 131
Morgan Stanley Group, Inc. (MTN)
5.750% due 02/15/01 650 619
Motorola, Inc.
7.500% due 05/15/25 325 327
Nabisco, Inc.
6.700% due 06/15/02 260 254
NationsBank Corp.
6.625% due 01/15/98 170 171
New England Mutual Life Insurance Co.
7.875% due 02/15/24 1,550 1,502
7.875% due 11/15/29 235 249
News America Holdings, Inc.
7.700% due 10/30/25 975 897
Northwestern Bell Telephone Co.
7.750% due 05/01/30 630 633
Norwest Corp. (MTN)
6.375% due 09/15/02 575 558
Diversified Bond Fund 75
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
Norwest Financial, Inc.
6.250% due 11/01/02 $ 525 $ 507
NYNEX Corp.
9.550% due 05/01/10 399 446
Occidental Petroleum Corp.
10.125% due 11/15/01 210 239
Occidental Petroleum Corp. (MTN)
8.500% due 11/09/01 245 261
Pacific Bell
7.500% due 02/01/33 785 746
Pennsylvania Power & Light Co.
6.875% due 03/01/04 1,000 972
Pennzoil Co.
10.125% due 11/15/09 85 98
PepsiCo, Inc.
7.625% due 12/18/98 285 292
Philip Morris Cos., Inc.
6.950% due 06/01/06 605 609
Philip Morris Cos., Inc.
8.875% due 07/01/96 (a) 2,500 2,501
Pitney Bowes Credit Corp.
8.550% due 09/15/09 460 507
Praxair, Inc.
6.850% due 06/15/05 550 533
Procter & Gamble Co.
8.000% due 10/26/29 145 154
Procter & Gamble Co.
Sharing ESOP Series A
9.360% due 01/01/21 275 326
Ralston Purina Co.
7.875% due 06/15/25 565 558
Republic New York Corp.
9.750% due 12/01/00 190 210
8.250% due 11/01/01 150 159
RJR Nabisco, Inc.
8.625% due 12/01/02 325 330
Rockwell International Corp.
8.875% due 09/15/99 255 271
Salomon, Inc.
7.000% due 05/15/99 1,325 1,326
Salomon, Inc. (MTN)
6.820% due 07/26/99 75 75
Seagram Co., Ltd.
8.350% due 01/15/22 220 232
Sears Roebuck Acceptance Corp.
Series II (MTN)
6.690% due 04/30/01 675 669
Security-Connecticut Corp. (MTN)
7.125% due 03/01/03 800 769
Shopping Center Associates
6.750% due 01/15/04 $ 750 $ 707
SKW Real Estate, L.P. Class C
7.450% due 04/15/03 850 851
Smith Barney Holdings, Inc. New
7.980% due 03/01/00 925 958
Southtrust Corp.
9.950% due 06/01/99 650 698
Spieker Properties, Inc.
6.900% due 01/15/04 800 752
Suntrust Banks, Inc.
7.375% due 07/01/02 300 306
System Energy Resources, Inc.
6.000% due 04/01/98 675 666
Tenneco, Inc.
10.000% due 03/15/08 415 494
Texaco Capital, Inc.
9.750% due 03/15/20 190 235
8.875% due 09/01/21 220 252
Texas Utilities Electric Co.
9.500% due 08/01/99 805 858
Time Warner Entertainment Co., L.P.
10.150% due 05/01/12 350 403
8.375% due 03/15/23 1,075 1,047
8.375% due 07/15/33 1,000 960
Time Warner, Inc.
6.460% due 08/15/00 (c) 500 505
7.975% due 08/15/04 300 298
8.110% due 08/15/06 600 596
8.180% due 08/15/07 600 598
Transamerica Financial Corp.
8.375% due 02/15/98 210 216
Transamerica Financial Corp. (MTN)
9.250% due 02/16/98 500 522
U.S. Bancorp of Oregon
7.000% due 03/15/03 470 467
Union Carbide Chemicals & Plastics
7.875% due 04/01/23 590 592
Union Oil Co. (MTN)
9.400% due 02/15/11 470 535
Union Pacific Railroad Trust
Pass-thru Certificate
Series 1996-A2
7.060% due 05/15/03 500 497
United Technologies Corp.
8.750% due 03/01/21 380 428
Virginia Electric & Power Co.
8.750% due 04/01/21 200 209
Wachovia Corp. New
6.800% due 06/01/05 305 296
76 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
Wells Fargo & Co.
6.875% due 04/01/06 $ 500 $ 481
Wellsford Residential Property Trust
9.375% due 02/01/02 750 803
Whirlpool Corp.
9.500% due 06/15/00 250 271
9.000% due 03/01/03 220 240
Willamette Industries, Inc.
7.850% due 07/01/26 520 519
Wilmington Trust
10.370% due 01/02/07 1,897 2,122
--------
83,093
--------
EURODOLLAR BONDS - 0.3%
Euratom
7.750% due 01/15/97 1,200 1,211
--------
1,211
--------
MORTGAGE-BACKED SECURITIES - 35.1%
American Southwest Financial Corp.
Series G Class G-4 CMO
12.250% due 11/01/14 316 358
Citicorp Mortgage Securities, Inc.
Series 1992-1 Class A-5
8.000% due 04/25/21 2,064 2,058
Collateralized Mortgage Obligation Trust 56
Class B CMO
9.985% due 12/01/18 299 319
DLJ Mortgage Acceptance Corp.
Series 1993 Class A-2 CMO
7.650% due 09/18/03 2,500 2,470
FDIC REMIC Trust
Series 1994-C1 Class 2A-2
7.850% due 09/25/25 835 843
Federal Home Loan Mortgage Corp.
Pool #D5-9208 8.000% due 03/01/25 76 77
Pool #D6-75617.500% due 01/01/26 1,805 1,783
Pool #D6-99017.000% due 04/01/26 853 821
Federal Home Loan Mortgage Corp.
6.000% 15 Year TBA (b) 8,370 8,101
7.500% 30 Year TBA (b) 445 439
8.500% 30 Year TBA (b) 8,140 7,837
6.500% 30 Year TBA (b) 4,000 3,746
8.000% 30 Year TBA (b) 550 555
Federal Home Loan Mortgage Corp.
Participation Certificate
Group # 17-0171 9.000% due 06/01/16 367 385
Group # 17-0195 9.000% due 10/01/16 128 134
Group # 17-0197 9.000% due 10/01/16 16 17
Group # 17-0202 9.000% due 11/01/16 $ 352 $ 369
Group # 17-0203 9.000% due 11/01/16 178 187
Group # 18-1338 8.000% due 05/01/08 171 175
Group # 18-2098 8.000% due 11/01/08 27 28
Group # 18-2161 6.750% due 08/01/07 506 502
Group # 18-6664 8.500% due 02/01/08 231 239
Group # 21-7242 7.000% due 05/01/02 103 103
Group # 26-0607 12.000% due 06/01/14 116 132
Group # 28-4634 9.000% due 01/01/17 12 12
Group # 30-0025 12.500% due 04/01/16 195 223
Group # 30-8522 12.000% due 12/01/15 85 97
Group # 50-1051 7.000% due 06/01/03 424 427
Group # 84-5481 7.501% due 09/01/23 (c) 2,298 2,356
Group # A0-0690 9.000% due 02/01/20 1,006 1,057
Group # C0-0140 9.000% due 07/01/22 358 375
Group # C0-0335 7.500% due 05/01/24 392 388
Group # C0-0404 8.500% due 06/01/25 457 469
Group # C0-0413 8.000% due 08/01/25 80 80
Group # C0-0452 7.000% due 04/01/26 852 820
Group # C8-0359 8.000% due 11/01/25 324 327
Group # C8-0398 6.500% due 05/01/26 697 653
Group # D2-3334 8.500% due 09/01/22 144 148
Group # D2-3590 8.500% due 09/01/22 47 49
Group # D5-0323 7.000% due 04/01/24 727 702
Group # D5-1011 7.000% due 04/01/24 124 119
Group # D5-1373 7.000% due 04/01/24 146 141
Group # D5-1426 7.000% due 04/01/24 47 45
Group # D5-2246 7.000% due 04/01/24 342 330
Group # D5-2665 7.500% due 05/01/24 64 64
Group # D5-3691 7.500% due 06/01/24 115 114
Group # D5-5057 7.500% due 07/01/24 512 507
Group # D5-7163 9.000% due 10/01/24 220 230
Group # D5-8304 7.500% due 01/01/25 608 602
Group # D5-8320 8.500% due 01/01/25 151 155
Group # D5-8727 8.500% due 02/01/25 72 74
Group # D5-9437 9.000% due 03/01/25 162 169
Group # D5-9709 8.500% due 04/01/25 481 494
Group # D5-9816 8.000% due 04/01/25 27 27
Group # D6-0132 7.500% due 05/01/25 129 127
Group # D6-0184 8.000% due 05/01/25 28 28
Group # D6-0367 8.500% due 05/01/25 212 218
Group # D6-0678 8.000% due 06/01/25 106 107
Group # D6-0679 8.000% due 06/01/25 266 269
Group # D6-0685 9.000% due 06/01/25 790 823
Group # D6-0727 8.000% due 06/01/25 258 260
Group # D6-0728 8.000% due 06/01/25 539 543
Group # D6-1551 8.000% due 07/01/25 30 30
Group # D6-1826 8.000% due 07/01/25 35 36
Group # D6-2015 8.000% due 07/01/25 1,384 1,397
Diversified Bond Fund 77
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
-------- --------
Group # D6-2113 8.000% due 07/01/25 $481 $486
Group # D6-2748 8.000% due 08/01/25 266 268
Group # D6-4698 8.500% due 10/01/25 316 324
Group # D6-6346 7.000% due 12/01/25 40 38
Group # D6-6660 8.000% due 12/01/25 724 730
Group # D6-6777 6.500% due 01/01/26 799 748
Group # D6-6779 7.500% due 01/01/26 103 102
Group # D6-7032 7.500% due 01/01/26 105 104
Group # D6-7251 7.500% due 01/01/25 985 975
Group # D6-7298 7.500% due 01/01/26 668 660
Group # D6-7508 7.500% due 01/01/26 1,379 1,365
Group # D6-7637 7.500% due 11/01/24 1,240 1,228
Group # D6-7847 6.500% due 02/01/26 756 708
Group # D6-8074 7.000% due 02/01/26 1,008 971
Group # D6-8132 6.500% due 02/01/26 211 198
Group # D6-8778 8.000% due 02/01/26 485 489
Group # D7-0441 6.500% due 04/01/26 677 634
Group # D7-0557 6.500% due 04/01/26 359 337
Group # D7-0767 6.500% due 05/01/26 639 599
Group # D7-1161 6.500% due 05/01/26 505 473
Group # E0-0318 7.500% due 06/01/09 337 339
Group # E0-0332 7.500% due 08/01/09 206 208
Group # E0-0339 7.500% due 09/01/09 363 366
Group # E0-0344 7.500% due 10/01/09 244 246
Group # E2-0145 7.500% due 11/01/09 (c) 187 188
Group # E2-0153 8.000% due 01/01/10 72 73
Group # E2-0244 6.500% due 06/01/11 429 415
Group # E5-6296 6.500% due 01/01/09 378 369
Group # E5-6562 6.500% due 02/01/09 1,041 1,014
Group # E5-6737 6.500% due 02/01/09 229 223
Group # E5-6830 6.500% due 02/01/09 106 103
Group # E5-6953 6.500% due 02/01/09 117 114
Group # E5-9461 7.500% due 08/01/09 232 234
Group # E5-9610 7.500% due 08/01/09 225 227
Group # E5-9853 8.000% due 10/01/09 398 407
Group # E6-3012 6.500% due 02/01/11 419 406
Group # E6-4528 6.500% due 06/01/11 242 235
Group # G0-0311 8.000% due 03/01/25 258 260
Group # G1-0329 7.500% due 02/01/10 75 76
Group # L7-0277 7.000% due 08/01/98 39 39
Group # M1-1780 7.000% due 04/01/97 144 144
Group # M1-3072 7.000% due 03/01/97 469 471
Group # M1-3104 7.000% due 03/01/97 280 281
Group # M1-4743 7.000% due 08/01/97 28 28
Group # M8-0325 7.500% due 05/01/01 271 274
Pool #D6-1022 8.000% due 06/01/25 1,166 1,176
Pool #D6-1023 8.000% due 06/01/25 1,637 1,651
Pool #D6-8163 7.500% due 02/01/26 1,014 1,004
Federal Home Loan Mortgage Corp.
Participation Certificate
Series 1053 Class G
7.000% due 03/15/21 $2,000 $1,942
Federal National Mortgage Association
REMIC Series G92-36 Class A
7.000% due 04/25/15 534 536
REMIC Series G92-57 Class Z
7.800% due 10/25/22 4,938 4,825
Federal National Mortgage Association
Pool #030891 9.500% due 06/01/01 80 84
Pool # 038842 8.000% due 07/01/10 39 40
Pool # 042678 8.000% due 03/01/17 153 155
Pool # 046939 8.000% due 05/01/17 57 58
Pool # 047728 8.000% due 05/01/02 84 86
Pool # 050377 9.500% due 12/01/05 56 59
Pool # 050389 9.500% due 01/01/06 187 197
Pool # 050621 7.000% due 08/01/99 5 5
Pool # 050752 7.000% due 05/01/00 103 102
Pool # 050758 7.000% due 06/01/00 80 80
Pool # 050765 7.000% due 07/01/23 92 88
Pool # 050989 7.000% due 02/01/09 127 126
Pool # 052078 8.000% due 07/01/02 110 113
Pool # 053718 8.000% due 08/01/17 122 124
Pool # 054738 8.000% due 09/01/02 52 53
Pool # 055397 8.000% due 07/01/17 356 361
Pool # 057194 8.000% due 10/01/17 115 116
Pool # 061217 8.000% due 05/01/03 3 3
Pool # 061354 8.000% due 05/01/03 115 117
Pool # 062502 8.000% due 06/01/03 50 51
Pool # 063743 9.500% due 07/01/03 141 148
Pool # 064518 9.500% due 08/01/02 176 185
Pool # 070607 8.000% due 07/01/02 391 399
Pool # 070694 9.500% due 12/01/05 87 92
Pool # 087274 8.000% due 08/01/04 327 334
Pool # 103914 9.500% due 09/01/05 56 59
Pool # 110503 8.000% due 01/01/17 172 176
Pool # 120778 8.000% due 03/01/17 52 54
Pool # 124542 7.000% due 11/01/99 426 425
Pool # 124721 7.000% due 02/01/23 914 883
Pool # 124748 6.500% due 03/01/00 74 72
Pool # 125350 6.500% due 06/01/09 1,780 1,735
Pool # 127926 8.000% due 05/01/20 58 59
Pool # 145536 8.000% due 06/01/03 40 41
Pool # 157517 7.000% due 04/01/07 209 208
Pool # 183514 8.000% due 08/01/22 54 54
Pool # 187852 10.500% due 08/01/10 50 55
78 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
Pool # 190506 6.500% due 12/01/08 $300 $292
Pool # 190560 6.500% due 01/01/09 336 327
Pool # 199710 7.000% due 05/01/00 10 10
Pool # 204951 8.000% due 05/01/22 333 338
Pool # 208747 7.000% due 05/01/00 229 228
Pool # 210307 7.000% due 04/01/00 407 405
Pool # 217364 8.000% due 01/01/22 577 584
Pool # 224716 6.500% due 07/01/23 983 927
Pool # 226836 7.000% due 09/01/08 223 221
Pool # 229363 6.500% due 08/01/23 50 47
Pool # 232574 6.500% due 08/01/08 462 451
Pool # 233079 7.000% due 09/01/08 96 95
Pool # 235711 7.000% due 11/01/23 161 155
Pool # 236344 7.000% due 09/01/08 205 204
Pool # 237598 7.500% due 05/01/24 198 196
Pool # 238739 7.000% due 10/01/23 412 398
Pool # 239057 7.000% due 09/01/23 289 279
Pool # 240738 6.500% due 10/01/08 181 177
Pool # 244286 7.000% due 05/01/24 167 161
Pool # 244550 7.000% due 11/01/23 463 448
Pool # 244970 7.000% due 11/01/23 454 437
Pool # 245865 6.500% due 02/01/09 310 302
Pool # 246599 7.000% due 11/01/23 154 149
Pool # 248089 7.000% due 11/01/23 404 390
Pool # 250030 7.000% due 05/01/24 27 26
Pool # 250035 6.500% due 05/01/09 54 53
Pool # 250576 7.000% due 05/01/26 1,008 969
Pool # 263037 6.500% due 05/01/09 379 370
Pool # 265868 6.500% due 01/01/24 147 139
Pool # 268936 6.500% due 01/01/24 47 44
Pool # 270164 6.500% due 02/01/09 651 635
Pool # 279123 6.500% due 04/01/09 341 333
Pool # 280199 7.000% due 04/01/24 63 61
Pool # 280256 7.000% due 05/01/24 335 322
Pool # 280810 6.500% due 05/01/09 213 208
Pool # 281940 6.500% due 05/01/09 376 366
Pool # 282125 6.500% due 05/01/09 88 86
Pool # 282300 6.500% due 04/01/09 730 712
Pool # 282424 6.500% due 05/01/09 412 402
Pool # 282833 7.000% due 06/01/09 177 174
Pool # 284192 6.500% due 05/01/09 105 102
Pool # 284451 6.500% due 05/01/09 56 54
Pool # 284659 7.000% due 05/01/09 261 259
Pool # 284690 7.000% due 06/01/09 285 283
Pool # 285203 7.000% due 06/01/24 216 209
Pool # 285280 7.000% due 06/01/24 398 384
Pool # 286112 7.000% due 06/01/24 2,769 2,668
Pool # 286570 7.000% due 06/01/24 795 766
Pool # 286829 7.000% due 06/01/24 327 316
Pool # 287464 6.500% due 06/01/09 127 124
Pool # 290876 7.500% due 07/01/24 41 40
Pool # 295473 7.500% due 09/01/24 153 151
Pool # 296279 7.500% due 10/01/24 531 524
Pool # 303555 7.000% due 09/01/25 1,463 1,408
Pool # 307029 7.000% due 07/01/25 808 777
Pool # 316681 7.000% due 07/01/25 730 702
Pool # 316938 7.000% due 07/01/25 281 271
Pool # 318203 7.000% due 08/01/25 735 707
Pool # 318949 7.000% due 08/01/25 790 760
Pool # 319141 7.000% due 08/01/25 56 54
Pool # 319622 7.000% due 08/01/25 644 620
Pool # 319647 7.000% due 08/01/25 679 653
Pool # 320080 7.000% due 08/01/25 299 288
Pool # 320320 7.000% due 08/01/25 950 914
Pool # 320333 7.000% due 08/01/25 125 121
Pool # 331614 6.500% due 01/01/26 504 472
Pool # 336257 6.500% due 02/01/26 47 44
Pool # 338416 6.500% due 05/01/26 984 920
Pool # 342105 7.000% due 04/01/26 657 632
Pool # 343090 6.500% due 04/01/26 784 734
Pool # 344394 7.500% due 05/01/03 292 295
Pool # 344571 7.000% due 04/01/26 1,867 1,796
Pool # 346095 7.500% due 05/01/03 262 265
Pool # 346213 7.000% due 05/01/26 1,509 1,451
Pool # 346321 7.000% due 04/01/26 599 576
Pool # 347572 7.500% due 05/01/03 717 724
Federal National Mortgage Association
Pass-thru Certificate
7.500% 30 Year TBA (b) 1,120 1,105
Principal Only Strip
Zero coupon due 03/25/20 206 153
Interest Only Inverse Floater
Series 1993-208 Class SA
0.215% due 02/25/23 (c) 51,098 511
Federal National Mortgage Association (MTN)
6.180% due 03/15/01 775 759
Government National Mortgage Association
Pool # 008148 6.500% due 02/20/23 (c) 4,475 4,504
Pool # 008482 7.250% due 08/20/24 (c) 1,625 1,650
Pool # 008503 7.250% due 09/20/24 (c) 2,376 2,413
Pool # 146110 9.500% due 05/15/16 28 30
Pool # 147480 9.500% due 03/15/16 43 46
Pool # 147482 9.000% due 04/15/16 302 320
Pool # 149590 9.000% due 05/15/16 91 96
Pool # 153267 9.500% due 04/15/16 21 23
Pool # 153617 8.500% due 03/15/17 311 324
Pool # 154050 9.500% due 05/15/16 24 26
Pool # 155749 8.500% due 06/15/16 33 35
Pool # 156576 8.500% due 01/15/17 220 229
Pool # 159956 9.000% due 06/15/16 350 370
Diversified Bond Fund 79
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
Pool # 161534 9.000% due 10/15/16 $756 $800
Pool # 161666 9.000% due 08/15/16 30 32
Pool # 166178 8.500% due 07/15/16 226 235
Pool # 168336 9.000% due 08/15/20 92 97
Pool # 169642 9.000% due 07/15/16 482 510
Pool # 169824 9.000% due 11/15/16 56 59
Pool # 170662 8.500% due 08/15/16 262 273
Pool # 171553 9.000% due 07/15/16 522 552
Pool # 171772 9.000% due 10/15/16 669 707
Pool # 171776 9.000% due 11/15/16 161 170
Pool # 172035 9.000% due 08/15/16 101 107
Pool # 172723 8.500% due 07/15/16 70 73
Pool # 172908 9.000% due 09/15/16 39 41
Pool # 173049 9.000% due 07/15/16 316 334
Pool # 174840 9.000% due 10/15/16 64 68
Pool # 176375 9.000% due 08/15/16 301 319
Pool # 178046 8.500% due 05/15/17 332 345
Pool # 180290 8.500% due 11/15/16 598 620
Pool # 180303 9.000% due 10/15/16 74 78
Pool # 182526 8.500% due 02/15/17 304 315
Pool # 182616 9.000% due 06/15/17 39 41
Pool # 182643 9.000% due 10/15/16 8 8
Pool # 187956 9.000% due 11/15/16 26 27
Pool # 188448 8.500% due 03/15/17 288 299
Pool # 190486 8.000% due 03/15/17 125 127
Pool # 192748 8.500% due 08/15/17 66 69
Pool # 192883 8.500% due 01/15/17 133 138
Pool # 193242 8.500% due 01/15/17 111 116
Pool # 193800 9.000% due 10/15/16 126 134
Pool # 194001 8.500% due 02/15/17 310 322
Pool # 196932 8.500% due 04/15/17 30 31
Pool # 197268 8.500% due 05/15/17 146 151
Pool # 199031 8.500% due 01/15/17 119 124
Pool # 199531 8.500% due 02/15/17 327 339
Pool # 200712 8.500% due 02/15/17 934 970
Pool # 202144 8.500% due 02/15/17 520 540
Pool # 202883 8.500% due 03/15/17 158 164
Pool # 204828 8.500% due 02/15/17 7 7
Pool # 205426 8.500% due 02/15/17 142 148
Pool # 208209 8.000% due 05/15/17 28 28
Pool # 209198 8.500% due 03/15/17 236 245
Pool # 209432 9.000% due 05/15/17 141 149
Pool # 211127 8.500% due 03/15/17 294 306
Pool # 211129 8.500% due 06/15/17 57 59
Pool # 213365 8.000% due 04/15/17 26 26
Pool # 216928 8.500% due 05/15/17 267 277
Pool # 217536 8.500% due 05/15/17 90 93
Pool # 220383 8.500% due 07/15/17 285 296
Pool # 224505 9.000% due 07/15/17 37 39
Pool # 225968 8.500% due 07/15/17 53 55
Pool # 246616 9.000% due 04/15/18 19 20
Pool # 290338 10.500% due 06/15/20 81 90
Pool # 291365 10.500% due 07/15/20 32 36
Pool # 295123 10.500% due 10/15/20 77 85
Pool # 297999 10.500% due 12/15/20 149 165
Pool # 299159 10.500% due 11/15/20 365 403
Pool # 299881 9.000% due 04/15/21 20 21
Pool # 301982 0.500% due 01/15/21 117 129
Pool # 305463 9.000% due 04/15/21 12 13
Pool # 330230 7.000% due 06/15/23 75 72
Pool # 330867 7.000% due 11/15/22 310 298
Pool # 335301 6.500% due 03/15/09 182 177
Pool # 338250 7.000% due 11/15/22 506 488
Pool # 340165 6.500% due 03/15/09 25 25
Pool # 340376 7.000% due 05/15/23 502 484
Pool # 343370 7.000% due 07/15/23 512 493
Pool # 344510 7.000% due 09/15/23 343 330
Pool # 345119 7.500% due 12/15/08 457 462
Pool # 345170 7.000% due 08/15/23 491 474
Pool # 345626 7.500% due 03/15/24 634 627
Pool # 347721 6.500% due 06/15/09 240 234
Pool # 350386 7.000% due 05/15/23 312 300
Pool # 350934 7.000% due 08/15/23 91 87
Pool # 351129 6.500% due 07/15/08 234 228
Pool # 351553 7.000% due 10/15/23 463 446
Pool # 351711 7.000% due 10/15/23 497 479
Pool # 351923 7.500% due 06/15/23 556 550
Pool # 352163 7.000% due 06/15/23 466 449
Pool # 352474 7.000% due 06/15/23 499 481
Pool # 354191 7.000% due 06/15/23 349 336
Pool # 355637 7.000% due 07/15/23 331 319
Pool # 356469 7.000% due 07/15/23 334 322
Pool # 356697 7.000% due 08/15/23 363 350
Pool # 356952 7.000% due 06/15/23 1,514 1,459
Pool # 357959 7.000% due 07/15/23 477 460
Pool # 358499 7.000% due 07/15/23 38 37
Pool # 358674 7.000% due 06/15/23 76 74
Pool # 358801 7.500% due 06/15/23 786 778
Pool # 359897 7.000% due 10/15/23 64 62
Pool # 361279 7.000% due 12/15/23 36 34
Pool # 362159 7.500% due 12/15/08 181 183
Pool # 363681 7.000% due 11/15/23 72 71
Pool # 363760 7.000% due 11/15/23 70 68
Pool # 363909 7.500% due 05/15/24 610 603
Pool # 364318 7.000% due 08/15/23 514 495
Pool # 364457 7.000% due 09/15/23 537 517
Pool # 366328 7.000% due 09/15/23 74 72
Pool # 366437 7.000% due 09/15/23 35 34
80 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
Pool # 366793 7.000% due 05/15/24 $2,664 $2,565
Pool # 367124 7.000% due 10/15/23 480 462
Pool # 367861 7.000% due 10/15/23 121 117
Pool # 368988 6.500% due 03/15/09 223 217
Pool # 370426 7.000% due 09/15/23 495 477
Pool # 370890 7.000% due 11/15/23 288 278
Pool # 370931 7.000% due 11/15/23 321 309
Pool # 371539 7.000% due 10/15/23 281 271
Pool # 371828 6.500% due 06/15/09 567 553
Pool # 372782 6.500% due 01/15/09 550 535
Pool # 373788 7.000% due 10/15/23 93 89
Pool # 374508 7.000% due 10/15/23 66 63
Pool # 376293 7.000% due 11/15/23 66 64
Pool # 376535 9.000% due 06/15/24 300 314
Pool # 381495 7.000% due 12/15/23 74 71
Pool # 386652 9.000% due 01/15/25 133 139
Pool # 389814 6.500% due 05/15/09 139 136
Pool # 390393 6.500% due 03/15/09 195 189
Pool # 398654 7.000% due 05/15/11 286 283
Pool # 403980 9.000% due 10/15/24 658 689
Pool # 404014 9.000% due 12/15/24 553 579
Pool # 405801 9.000% due 11/15/24 649 679
Pool # 412531 7.000% due 12/15/25 985 943
Pool # 413889 7.500% due 08/15/25 194 190
Pool # 414123 7.500% due 08/15/25 457 449
Pool # 423305 7.000% due 04/15/26 857 821
Pool # 818263 5.000% due 05/20/24 (c) 2,489 2,463
Government National Mortgage Association
6.500% 30 Year TBA (b) 5,000 4,652
7.000% 30 Year TBA (b) 745 713
8.000% 30 Year TBA (b) 1,000 1,008
9.000% 30 Year TBA (b) 1,390 1,454
Mid-St Trust II Class A-3 CMO
9.350% due 04/01/98 458 477
PNC Mortgage Securities Corp.
Series 1994-3 Class A-1
7.500% due 06/18/10 573 573
Ryland Acceptance Corp. Four
Series 88 Class E CMO
7.950% due 01/01/19 2,230 2,215
Thomson McKinnon Mortgage
Assets Series 10 Class Z CMO
9.100% due 06/20/19 4,646 4,618
United States Department
of Veteran Affairs REMIC
Series 1992-1 Class 2-E
7.750% due 03/15/16 550 551
--------
184,546
--------
NON-US BONDS - 0.6%
Canada, Government of
8.750% due 12/01/05 CAD 3,000 $2,366
Skandinaviska Enskilda Banken
6.625% due 03/29/49 (c) 800 768
--------
3,134
--------
UNITED STATES GOVERNMENT
AGENCIES - 4.7%
Federal National Mortgage Association
8.200% due 03/10/16 2,310 2,507
Federal National Mortgage Association
(MTN)
7.640% due 06/16/04 1,480 1,466
Government Backed Trust Certificates
Class 1-C
9.250% due 11/15/01 8,305 8,870
Series 2-E
9.400% due 05/15/02 1,135 1,217
Series T-3
9.625% due 05/15/02 (c) 4,955 5,306
Resolution Funding Corp.
8.875% due 07/15/20 3,155 3,751
8.625% due 01/15/21 880 1,022
8.625% due 01/15/30 390 463
--------
24,602
--------
UNITED STATES GOVERNMENT
TREASURIES - 30.5%
United States Treasury Bonds
10.750% due 02/15/03 6,280 7,663
10.750% due 05/15/03 7,830 9,593
11.875% due 11/15/03 900 1,171
10.750% due 08/15/05 8,915 11,318
11.750% due 02/15/10 775 1,021
12.750% due 11/15/10 2,425 3,405
13.875% due 05/15/11 2,280 3,417
10.375% due 11/15/12 475 603
13.250% due 05/15/14 725 1,109
12.500% due 08/15/14 245 360
7.250% due 05/15/16 315 322
7.500% due 11/15/16 8,600 9,035
8.750% due 05/15/17 1,500 1,780
8.875% due 08/15/17 615 738
8.125% due 08/15/19 (f) 12,245 13,745
7.875% due 02/15/21 4,715 5,172
8.125% due 08/15/21 1,545 1,740
7.250% due 08/15/22 3,630 3,717
Diversified Bond Fund 81
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
7.125% due 02/15/23 $250 $253
6.250% due 08/15/23 625 567
6.875% due 08/15/25 1,250 1,235
United States Treasury Notes
6.500% due 08/15/97 7,790 7,841
5.750% due 09/30/97 445 444
8.750% due 10/15/97 555 574
5.625% due 10/31/97 445 443
5.750% due 10/31/97 2,795 2,788
8.875% due 11/15/97 955 991
5.500% due 11/30/97 700 694
5.250% due 12/31/97 2,965 2,934
5.625% due 01/31/98 2,260 2,246
5.125% due 02/28/98 40 39
5.125% due 03/31/98 1,780 1,752
6.125% due 05/15/98 1,980 1,980
5.375% due 05/31/98 340 335
5.125% due 06/30/98 2,460 2,414
8.250% due 07/15/98 1,770 1,840
5.250% due 07/31/98 1,405 1,381
4.750% due 08/31/98 375 364
4.750% due 09/30/98 3,735 3,624
4.750% due 10/31/98 40 39
5.500% due 11/15/98 135 133
5.875% due 03/31/99 2,595 2,569
6.750% due 05/31/99 200 202
6.750% due 06/30/99 3,400 3,439
6.375% due 07/15/99 1,295 1,297
6.875% due 08/31/99 2,315 2,348
7.875% due 11/15/99 4,515 4,716
7.750% due 01/31/00 13,295 13,858
8.750% due 08/15/00 795 861
6.250% due 08/31/00 3,965 3,937
6.375% due 03/31/01 90 90
6.250% due 04/30/01 1,550 1,535
6.250% due 02/15/03 4,280 4,204
5.750% due 08/15/03 2,780 2,648
5.875% due 02/15/04 1,175 1,123
6.875% due 05/15/06 5,000 5,055
United States Treasury
Principal Only Strip
Zero Coupon due 05/15/18 2,300 486
Zero Coupon due 11/15/99 200 162
Stripped Interest Payment
Zero Coupon due 08/15/08 1,700 741
Zero Coupon due 02/15/19 1,600 321
--------
160,412
--------
YANKEE BONDS - 1.6%
African Development Bank
8.800% due 09/01/19 295 338
Alberta, Province of
9.250% due 04/01/00 160 173
Asian Development Bank
8.500% due 05/02/01 180 193
European Investment Bank
10.125% due 10/01/00 190 213
Fletcher Challenge Capital II
7.750% due 06/20/06 775 786
Hydro Quebec
9.710% due 12/24/97 1,000 1,046
Inter-American Development Bank
7.000% due 06/15/25 1,400 1,328
Manitoba, Province of
9.250% due 04/01/20 200 238
New Brunswick, Province of
9.750% due 05/15/20 190 236
Newfoundland, Province of
10.000% due 12/01/20 90 110
Noranda Forest, Inc.
6.875% due 11/15/05 250 237
Nova Scotia, Province of
9.125% due 05/01/21 640 725
Quebec, Province of
7.125% due 02/09/24 1,200 1,096
Saskatchewan, Province of
8.000% due 07/15/04 1,045 1,093
St. George Bank, Ltd.
7.150% due 10/01/05 775 749
--------
8,561
--------
TOTAL LONG-TERM INVESTMENTS
(cost $493,785) 494,091
--------
OPTIONS PURCHASED - 0.2%
United States Treasury 5 Year Notes
Aug 90.53 Call (e) 15,000* 1,117
United States Treasury 30 Year Bonds
Jul 86.06 Put (e) 800* 2
Jul 86.03 Put (e) 800* 2
--------
TOTAL OPTIONS PURCHASED
(cost $982) 1,121
--------
82 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER
OF MARKET
SHARES VALUE
(000) (000)
--------- --------
PREFERRED STOCKS - 0.6%
Australia & New Zealand
Banking Group, Ltd. 23,500 $ 620
Conagra Capital Lc Series B (c) 13,000 280
Credit Lyonnais Capital S.c.a. - Adr 15,700 351
Lasalle National Corp. Series K 14,000 733
Texaco Capital Series B 15,600 333
TIG Holdings, Inc. 7,200 743
--------
TOTAL PREFERRED STOCKS
(cost $3,196) 3,060
--------
PRINCIPAL
AMOUNT
(000)
---------
SHORT-TERM INVESTMENTS - 8.8%
Frank Russell Investment Company
Money Market Fund, due on demand (a) $ 46,258 46,258
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $46,258) 46,258
--------
TOTAL INVESTMENTS
(identified cost $544,221)(d) - 103.6% 544,530
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (3.6%) (18,761)
--------
NET ASSETS - 100.0% $ 525,769
--------
--------
(a) At cost, which approximates market.
(b) Forward commitment. See Note 2.
(c) Adjustable or floating rate securities.
(d) See Note 2 for federal income tax information.
(e) Nonincome-producing security.
(f) Held by the Fund to cover put options written.
(MTN) Represents Medium Term Note.
* Represents 1 over-the-counter contract.
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
PUT OPTIONS WRITTEN
(Notes 2 and 3)
United States Treasury 10 Year Notes
strike price 99.19
expiration date 07/96 $ 1,400* $ (5)
United States Treasury 10 Year Notes
strike price 99.20
expiration date 07/96 1,400* (4)
--------
Total Liability for Put Options Written
(premiums received $35)(++) $ (9)
--------
--------
(++) At June 30, 1996, United States Treasury Bonds valued
at $2,021 were held by the Fund to cover put options written.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
(Note 2)
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------ ----------- ---------- --------------
CAD 1,000 USD 735 10/21/96 $ 1
CAD 1,000 USD 737 10/25/96 2
DEM 148 USD 105 12/09/96 7
--------
$ 10
--------
--------
The accompanying notes are an integral part of the financial statements.
Diversified Bond Fund 83
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $544,220,564)(Note 2) . . . . . . . . . . . $ 544,530,366
Forward foreign currency exchange contracts (cost $1,577,750)(Note2) . . . . . . . 1,577,750
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,210,893
Investments sold (regular settlement). . . . . . . . . . . . . . . . . . . . . 10,176,529
Investments sold (delayed settlement)(Note 2). . . . . . . . . . . . . . . . . 4,124,657
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,235,707
---------------
570,855,902
LIABILITIES
Payables:
Investments purchased (regular settlement) . . . . . . . . . . $ 11,536,385
Investments purchased (delayed settlement)(Note 2) . . . . . . 31,574,777
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . 100,638
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . 231,897
Other accrued expenses . . . . . . . . . . . . . . . . . . . . 59,777
Closed forward foreign currency contracts (Note 2) . . . . . . . . 6,947
Forward foreign currency exchange contracts
(cost $1,577,750)(Note 2). . . . . . . . . . . . . . . . . . . 1,567,602
Options written, at market value
(premiums received $35,000)(Notes 2 and 3) . . . . . . . . . . 8,864 45,086,887
------------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 525,769,015
---------------
---------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . $ 2,691,034
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . (11,981,848)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 309,802
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,131
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . 10,153
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . 231,242
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . 534,482,501
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 525,769,015
---------------
---------------
Net asset value, offering and redemption price per share
($525,769,015 divided by 23,124,260 shares of $.01 par value ,
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . $22.74
---------------
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
84 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 16,414,385
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . 1,184,262
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 354,696
--------------
17,953,343
Expenses (Notes 2 and 4):
Management fees . . . . . . . . . . . . . . . . . . . . . . . $ 1,148,812
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . 163,497
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . 147,689
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . 26,626
Professional fees. . . . . . . . . . . . . . . . . . . . . . . 19,064
Registration fees. . . . . . . . . . . . . . . . . . . . . . . 8,394
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . 17,441 1,533,987
-------------- --------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,419,356
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,127,411)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . 391,656
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (21,879,911)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,131
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . (105,749)
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . (23,695,284)
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . $ (7,275,928)
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Diversified Bond Fund 85
<PAGE>
DIVERSIFIED BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
--------------------- -----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 16,419,356 $ 34,316,604
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,127,411) 4,954,837
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . 391,656 84,358
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (21,879,911) 44,675,270
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,131 --
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . (105,749) 115,902
------------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . (7,275,928) 84,146,971
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (13,659,166) (34,786,410)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . 32,895,737 (60,866,783)
------------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . 11,960,643 (11,506,222)
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . 513,808,372 525,314,594
------------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $2,691,034 and $48,520, respectively) . . . . . . . . . . . . . . . . . . . . . . $ 525,769,015 $ 513,808,372
------------------- -----------------
------------------- -----------------
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
FUND SHARE TRANSACTIONS ----------------------------------- -----------------------------------------
SHARES AMOUNT SHARES AMOUNT
---------------- ----------------- -------------------- -------------------
Fund shares sold . . . . . . . . . . . . . . . . 4,833,882 $ 111,265,888 7,173,629 $ 163,517,029
Fund shares issued to shareholders
in reinvestments of distributions . . . . . . 315,532 7,247,835 841,387 19,186,853
Fund shares redeemed . . . . . . . . . . . . . . (3,716,729) (85,617,986) (10,716,980) (243,570,665)
---------------- ----------------- -------------------- -------------------
Net increase (decrease). . . . . . . . . . . . . 1,432,685 $ 32,895,737 (2,701,964) $ (60,866,783)
---------------- ----------------- -------------------- -------------------
---------------- ----------------- -------------------- -------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
86 DIVERSIFIED BOND FUND
<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>
1996* 1995 1994, 1993 1992 1991
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . $ 23.69 21.53 $ 23.73 23.49 24.29 22.81
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . 0.73 1.54 1.46 1.48 1.62 1.72
Net realized and unrealized gain (loss) on investments . . . . (1.07) 2.18 (2.22) .83 (.10) 1.61
-------- -------- -------- -------- -------- --------
Total Income from Investment Operations. . . . . . . . . . . . . (0.34) 3.72 (.76) 2.31 1.52 3.33
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . (0.61) (1.56) (1.42) (1.48) (1.63) (1.69)
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. . . . . . . . . . . . . . . . . . . . . . (0.61) (1.56) (1.44) (2.07) (2.32) (1.85)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . $ 22.74 $ 23.69 $ 21.53 $ 23.73 $ 23.49 $ 24.29
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . (1.41) 17.76 (3.25) 10.02 6.57 15.29
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b) . . . . . . 0.60 .59 .56 .58 .62 .74
Operating expenses, gross, to average net assets (b) . . . . . 0.60 .59 .56 .58 .67 .74
Net investment income to average net assets (b). . . . . . . . 6.42 6.69 6.57 6.13 6.79 7.38
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . 162.25 135.85 153.21 177.74 228.37 130.96
Net assets, end of period ($000 omitted) . . . . . . . . . . . 525,769 513,808 525,315 477,341 412,394 344,081
Per share amount of fees waived ($ omitted). . . . . . . . . . -- -- -- -- .0115 --
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
Diversified Bond Fund 87
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
LONG-TERM INVESTMENTS - 92.0%
ASSET-BACKED SECURITIES - 19.8%
ALPS Pass-thru Trust
Series 1994-1 Class A-2
7.150% due 11/15/97 (c) $ 403 $ 406
American Express Credit
Account Master Trust
Series 1996-1 Class A
6.800% due 12/15/03 3,000 3,013
Banc One Auto Grantor Trust
Series 1996-A Class A
6.100% due 10/15/02 706 706
Series 1996-B Class A
6.550% due 02/15/03 450 452
Chase Manhattan Credit
Card Master Trust
Series 1996-4 Class A
6.730% due 02/15/03 3,900 3,923
Chase Manhattan Grantor Trust
Pass-thru Certificate
Series 1995-A Class A
6.000% due 09/17/01 702 700
Series 1995-B Class A
5.900% due 11/15/01 768 766
Series 1996-A Class A
5.200% due 02/15/02 649 639
Daimler-Benz Auto Grantor Trust
Series 1995-A Class A
5.850% due 05/15/02 1,046 1,044
Discover Card Master Trust I
Series 1994-2 Class A
5.850% due 10/16/04 (c) 1,000 1,007
EQCC Home Equity Loan Trust
Series 1993-4 Class A
5.725% due 12/15/08 83 81
Fifth Third Bank Auto Grantor Trust
Series 1996-A Class A
6.200% due 09/01/01 445 445
First Chicago Master Trust II
Series 1994-J Class A
5.720% due 01/16/01 (c) 425 426
Green Tree Financial Corp.
Series 1992-2 Class A-2
7.050% due 01/15/18 73 74
Series 1995-A Class A
7.250% due 07/15/05 335 334
Honda Auto Receivables Grantor Trust
Series 1995-A Class A
6.200% due 12/15/00 998 997
Nationsbank Auto Grantor Trust
Series 1995-A Class A
5.850% due 06/15/02 374 373
Olympic Automobile Receivables
Series 1996-B Class A3
6.500% due 12/15/00 3,900 3,906
Premier Auto Trust
Series 1996-3 Class A3
6.500% due 03/06/00 3,900 3,909
Prudential Home Mortgage Securities Co.
Series 1993-55 Class A1
7.942% due 12/25/23 (c) 364 370
Remodelers Home Improvement Loan
Series 1995-3 Class A2
6.800% due 12/20/07 550 545
Resolution Trust Corp.
Mortgage Pass-thru Certificate
Series 1992-M3 Class A-1
7.750% due 07/25/30 146 146
Sears Credit Account Master Trust II
Series 1995-4 Class A
6.250% due 01/15/03 3,500 3,492
SPNB Home Equity Loan
Series 1991-1 Class B
8.150% due 06/15/20 290 296
Standard Credit Card Master Trust I
Series 1995-6 Class A
6.750% due 06/07/00 3,500 3,522
Structured Asset Securities Corp.
Mortgage Pass-thru Certificate
Series 1996-CFL Class A1A
5.711% due 02/25/28 176 174
The Money Store Home Equity Trust
Series 1996-B Class A3
6.820% due 02/15/10 600 601
UCFC Home Equity Loan Trust
Series 1995-B1 Class A2
6.600% due 07/10/09 450 448
Series 1993-B1 Class A-1
6.075% due 07/25/14 178 173
-------
32,968
-------
Corporate Bonds and Notes - 20.3%
Ahmanson (H.F.)
9.875% due 11/15/99 400 434
Volatility Constrained Bond Fund 89
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
Bank of Boston Corp.
9.500% due 08/15/97 $ 850 $ 879
Capital One Bank (MTN)
6.844% due 06/13/00 900 891
Caterpillar Financial Services (MTN)
6.100% due 07/15/99 500 492
Chase Manhattan Corp.
7.500% due 12/01/97 50 51
10.375% due 03/15/99 895 968
5.719% due 12/05/09 (c) 800 778
CIT Group Holdings, Inc.
7.625% due 12/05/96 475 478
CIT Group Holdings, Inc. (MTN)
6.200% due 04/15/98 725 724
Comdisco, Inc.
6.500% due 06/15/00 610 602
Connecticut Light & Power Co.
7.625% due 04/01/97 784 785
Enterprise Rent-A-Car
USA Finance Co. (MTN)
7.875% due 03/15/98 925 948
ERP Operating, L.P.
6.250% due 12/22/97 (c) 875 883
First Union Corp.
6.750% due 01/15/98 410 411
First USA Bank
5.750% due 01/15/99 875 853
Fleet Financial Group, Inc.
7.250% due 10/15/97 225 228
6.000% due 10/26/98 150 148
Fleet/Norstar Financial Group, Inc.
7.650% due 03/01/97 875 883
Ford Motor Credit Co.
CMS Floater (MTN)
5.100% due 07/08/96 (c) 2,100 2,099
General Motors Acceptance Corp.(MTN)
7.500% due 07/22/99 450 460
Georgia Pacific Corp.
9.850% due 06/15/97 700 721
Goldman Sachs Group, L.P.
7.625% due 05/29/97 450 454
6.200% due 12/15/00 450 436
Great Northern Nekoosa Corp.
9.125% due 02/01/98 200 207
Greyhound Financial Corp.
8.500% due 02/15/99 775 808
GTE Corp.
10.750% due 09/15/17 1,200 1,310
Health & Rehabilitation Properties Trust
6.255% due 07/13/99 (c) 975 975
Heller Financial, Inc. Series G (MTN)
6.570% due 05/20/99 400 397
Hertz Corp.
6.625% due 07/15/00 650 642
International Lease Finance Corp.
5.750% due 12/15/99 850 821
ITT Corp.
6.250% due 11/15/00 450 437
Lehman Brothers Holdings, Inc.
Series IBC (MTN)
7.000% due 05/13/99 700 701
Merrill Lynch & Co., Inc.
9.000% due 05/01/98 765 798
Midlantic Corp.
9.250% due 09/01/99 450 479
Morgan Stanley Group, Inc. (MTN)
5.625% due 03/01/99 500 487
5.750% due 02/15/01 400 381
Occidental Petroleum Corp. (MTN)
5.950% due 11/09/98 1,000 985
5.960% due 11/09/98 150 148
Salomon, Inc.
6.700% due 12/01/98 500 499
Salomon, Inc.
CMT Floater (MTN)
5.708% due 04/05/99 (c) 1,700 1,677
Sears Roebuck & Co.
Series 7 (MTN)
5.490% due 09/28/98 450 441
Smith Barney Holdings, Inc.
5.500% due 01/15/99 1,225 1,193
Taubman Realty Group, L.P.
8.000% due 06/15/99 475 483
Tennessee Gas Pipeline Co.
9.000% due 01/15/97 750 760
Time Warner, Inc.
9.625% due 05/01/02 825 909
Transamerica Financial Corp.
9.875% due 01/01/98 500 524
USF&G Corp.
7.000% due 05/15/98 1,500 1,503
WMX Technologies, Inc.
6.250% due 04/01/99 750 744
-------
33,915
-------
90 Volatility Constrained Bond Fund
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
EURODOLLAR BONDS - 0.6%
Goldman Sachs Group, L.P.
5.000% due 08/23/96 $ 1,050 $ 1,048
-------
1,048
-------
MORTGAGE-BACKED SECURITIES - 10.3%
Federal Home Loan Mortgage Corp.
Participation Certificates
Group # 23-0114 7.375% due 03/01/06 (c) 466 472
Group # 27-4978 8.000% due 07/01/96 1 1
Group # 84-6286 7.681% due 01/01/24 (c) 957 984
Group # 85-0105 9.000% due 09/01/05 468 482
Group # A0-1600 8.000% due 09/01/18 1,083 1,115
Group # A0-1607 8.500% due 06/01/11 228 236
Group # D2-9159 7.500% due 10/01/07 704 711
Group # G0-0238 8.500% due 07/01/24 1,096 1,134
Group # G5-0258 7.500% due 05/01/00 352 354
Group # G5-0259 7.500% due 03/01/02 297 298
Federal National Mortgage Association
Pool # 013957 8.500% due 11/01/01 213 218
Pool # 019455 8.750% due 03/01/04 72 74
Pool # 303749 7.000% due 11/01/08 521 520
Government National Mortgage Association
Pool #003196 7.250% due 11/15/03 227 228
Pool #005719 7.250% due 02/15/05 267 267
Pool #007204 7.250% due 05/15/05 25 25
Pool #007433 7.250% due 07/15/05 168 168
Pool #007612 7.250% due 06/15/05 314 314
Pool #008000 7.375% due 06/20/22 (c) 2,410 2,449
Pool #008144 6.500% due 02/20/23 (c) 688 691
Pool #008259 7.000% due 08/20/23 (c) 1,233 1,248
Pool #008348 7.000% due 12/20/23 (c) 911 924
Pool #008373 6.500% due 02/20/24 (c) 1,270 1,275
Pool #008580 7.250% due 11/15/05 159 159
Pool #009360 7.250% due 01/15/06 280 280
Pool #177711 9.000% due 09/15/16 193 204
Pool #404594 9.000% due 01/15/25 380 398
Pool #780285 9.500% due 11/15/25 947 1,012
Government National Mortgage Association II
6.500% due 30 Year TBA (c)(e) 500 501
Resolution Trust Corp.
Series 1995-2 Class C1
7.450% due 05/25/29 (c) 377 366
-------
17,108
-------
UNITED STATES GOVERNMENT
AGENCIES - 0.8%
Resolution Funding Corp.
Interest Only
Zero Coupon due 10/15/98 950 824
Tennessee Valley Authority
5.980% due 04/01/36 500 501
-------
1,325
-------
UNITED STATES GOVERNMENT
TREASURIES - 37.9%
United States Treasury Notes
5.625% due 01/31/98 900 895
7.250% due 02/15/98 13,550 13,789
5.125% due 02/28/98 7,800 7,685
5.125% due 03/31/98 27,200 26,775
6.125% due 03/31/98 4,900 4,904
5.875% due 04/30/98 460 458
6.125% due 05/15/98 5,000 5,000
5.125% due 11/30/98 1,300 1,269
6.375% due 05/15/99 2,300 2,305
6.875% due 03/31/00 175 178
-------
63,258
-------
YANKEE BONDS - 2.3%
Forte PLC
7.750% due 12/19/96 600 604
Household International
5.250% due 10/15/98 1,350 1,308
Ontario, Province of
11.500% due 03/10/13 1,240 1,387
Quebec, Province of
13.250% due 09/15/14 450 547
-------
3,846
-------
TOTAL LONG-TERM INVESTMENTS
(cost $154,502) 153,468
-------
OPTIONS PURCHASED - 0.0%
United States Treasury 5 Year Notes
Sep 100 Call (b) 2,100* 19
-------
Total Options Purchased
(cost $11) 19
-------
Volatility Constrained Bond Fund 91
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
--------- ---------
PREFERRED STOCKS - 0.5%
ConAgra Capital LC Series C (c) 21,000 $ 451
Texaco Capital Series B (c) 22,000 470
-------
Total Preferred Stocks
(cost $1,075) 921
-------
PRINCIPAL
AMOUNT
(000)
----------
SHORT-TERM INVESTMENTS - 3.4%
Centura Banks
6.000% due 04/07/97 $ 400 400
Frank Russell Investment Company
Money Market Fund, due on demand (a) 5,218 5,218
-------
TOTAL SHORT-TERM INVESTMENTS
(cost $5,618) 5,618
-------
TOTAL INVESTMENTS
(identified cost $161,207)(d) - 95.9% 160,026
OTHER ASSETS AND LIABILITIES,
NET - 4.1% 6,839
-------
NET ASSETS - 100.0% $166,865
--------
--------
(a) At cost, which approximates market.
(b) Nonincome-producing security.
(c) Adjustable or floating rate securities.
(d) See Note 2 for federal income tax information.
(e) Forward Commitment. See Note 2.
(MTN) Represents Medium Term Note.
* Represents 1 over-the-counter contract.
The accompanying notes are an integral part of the financial statements.
92 Volatility Consstrained Bond Fund
<PAGE>
VOLATILITY CONSTRAINED BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $161,206,578)(Note 2) . . . . . . . . . . . . $ 160,026,360
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,044,619
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,075,459
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,439,632
-------------
167,586,070
LIABILITIES
Payables:
Investments purchased (delayed settlement)(Note 2) . . . . . . .$ 502,578
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . 87,402
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . . 95,511
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . 35,095 720,586
---------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 166,865,484
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . $ 794,391
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . (12,050,185)
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . (1,180,218)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . 87,922
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179,213,574
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 166,865,484
-------------
-------------
Net asset value, offering and redemption price per share
($166,865,484 divided by 8,792,162 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . $18.98
-------------
-------------
</TABLE>
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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,166,807
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . 427,342
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,489
-------------
5,627,638
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . $ 432,754
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . 81,035
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . 90,903
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . 17,222
Professional fees. . . . . . . . . . . . . . . . . . . . . . . 15,499
Registration fees. . . . . . . . . . . . . . . . . . . . . . . 5,052
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . 2,463
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . 9,915 654,843
----------- -------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,972,795
-------------
REALIZED AND UNREALIZED,
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3),
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,305,126)
Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,162)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (536,048)
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . (2,844,336)
-------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . $ 2,128,459
-------------
-------------
</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 ENDED FOR THE YEAR
JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . $ 4,972,795 12,472,159
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . (2,305,126) (890,274)
Options written . . . . . . . . . . . . . . . . . . . (3,162) (19,453)
Net change in unrealized appreciation
or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . (536,048) 6,898,312
Options written . . . . . . . . . . . . . . . . . . . . -- (2,847)
------------ ------------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . . . . . . . . 2,128,459 18,457,897
Distributions to shareholders from net
investment income . . . . . . . . . . . . . . . . . . . . (4,233,516) (12,574,744)
Increase (decrease) in net assets from
Fund share transactions . . . . . . . . . . . . . . . . . (12,910,930) (19,008,806)
------------ ------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . (15,015,987) (13,125,653)
Net assets at beginning of period. . . . . . . . . . . . . 181,881,471 195,007,124
------------ ------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment
income of $794,391 and $55,112,
respectively) . . . . . . . . . . . . . . . . . . . . . $ 166,865,484 181,881,471
------------ ------------
------------ ------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
FUND SHARE TRANSACTIONS ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ---------- --------- -------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . 1,599,544 30,498,668 4,380,834 83,390,317
Fund shares issued to shareholders
in reinvestments of distributions. . . 143,232 2,727,742 400,321 7,621,504
Fund shares redeemed . . . . . . . . . (2,419,358) (46,137,340) (5,771,882) (110,020,627)
---------- ---------- --------- -------------
Net increase (decrease). . . . . . . . (676,582) (12,910,930) (990,727) $ (19,008,806)
---------- ---------- --------- -------------
---------- ---------- --------- -------------
</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>
1996* 1995 1994 1993 1992 1991
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 19.21 $ 18.64 $ 19.78 $ 19.51 $ 20.33 $ 19.51
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . .55 1.21 1.15 .82 1.34 1.45
Net realized and unrealized gain (loss) on
investments . . . . . . . . . . . . . . . . (.32) .58 (1.16) .45 (.88) .80
------- ------- ------- ------- ------- -------
Total Income From Investment Operations. . . .23 1.79 (.01) 1.27 .46 2.25
------- ------- ------- ------- ------- -------
Less Distributions:
Net investment income. . . . . . . . . . . . (.46) (1.22) (1.13) (.71) (1.28) (1.43)
Tax return of capital. . . . . . . . . . . . -- -- -- (.29) -- --
------- ------- ------- ------- ------- -------
Total Distributions. . . . . . . . . . . . . (.46) (1.22) (1.13) (1.00) (1.28) (1.43)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 18.98 $ 19.21 $ 18.64 $ 19.78 $ 19.51 $ 20.33
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 1.24 9.89 (.02) 6.67 2.29 12.00
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) .75 .71 .67 .66 .68 .62
Net investment income to average
net assets (b). . . . . . . . . . . . . . . 5.73 6.33 5.97 5.79 6.74 7.34
Portfolio turnover (b) . . . . . . . . . . . 413.41 256.72 182.65 220.77 312.05 159.20
Net assets, end of period ($000 omitted) . . 166,865 181,881 195,007 225,672 292,909 293,603
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
96 Volatility Constrained Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS
JUNE 30, 1996 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
LONG-TERM INVESTMENTS - 90.5%
ASSET-BACKED SECURITIES - 5.9%
American Airlines, Inc.
Series 1990-H
9.800% due 01/02/08 $ 1,190 $ 1,336
CIT RV Grantor Trust
Series 1994-A Class A
4.900% due 07/15/09 670 651
Cityscape Home Equity Loan Trust
Pass-thru Certificate
Series 1996-2 Class A2
7.200% due 08/25/26 900 899
Fleetwood Credit Corp. Grantor Trust
Series 1994-B Class A
6.750% due 03/15/10 515 511
Fund America Investors Corp. II
Pass-thru Certificate
Series 1993-F Class A-1
5.400% due 09/25/09 181 172
Goldman Sachs
Mortgage Securities Corp. II
Series 1996 Class A1
7.020% due 02/15/27 (c) 347 345
Green Tree Financial Corp.
Series 1995-A Class A
7.250% due 07/15/05 355 354
Series 1995-5 Class A3
6.250% due 10/15/25 600 591
Series 1995-6 Class A3
6.650% due 11/15/25 900 889
Series 1995-7 Class A2
6.150% due 11/15/25 1,150 1,143
Series 1995-8 Class A2
6.150% due 12/15/26 (c) 950 943
Greenwich Capital Acceptance, Inc.
Series 1994 Class A-1
8.110% due 11/25/24 (c) 816 828
Resolution Trust Corp.
Mortgage Pass-thru Certificates
Series 1994-1 Class M-2
7.750% due 09/25/29 438 428
Series 1995-C1 Class C
6.900% due 02/25/27 (c) 300 280
Series 1995-1 Class 2-C
7.500% due 10/25/28 (c) 325 324
Salomon Brothers Mortgage
Securities VII, Inc.
Mortgage Pass-thru Certificate
Series 1994-16
7.890% due 11/25/24 (c) 1,741 1,783
Structured Asset Securities Corp.
Mortgage Pass-thru Certificates
Series 1996-CFL Class A1C
5.944% due 02/25/28 360 346
Series 1996-CFL Class C
6.525% due 02/25/28 250 238
The Money Store Home Equity Loan Trust
Series 1992-B Class A
6.900% due 07/15/07 332 329
Series 1996-A Class A5
6.850% due 06/15/19 700 689
Series 1996-B Class A5
7.180% due 12/15/14 750 750
UCFC Home Equity Loan Trust
Series 1994-B Class A-6
7.100% due 06/10/23 417 419
Union Acceptance Corp.
Series 1995-D Class A
5.965% due 01/07/03 855 845
--------
15,093
--------
CORPORATE BONDS AND NOTES - 22.0%
AT&T Capital Corp. (MTN)
6.030% due 10/27/97 1,100 1,097
Acme Metals, Inc. Step Up Bond
13.500% due 08/01/04 (c) 370 337
Adelphia Communications Corp.
PIK Series B
9.500% due 02/15/04 360 300
ADT Operations, Inc.
8.250% due 08/01/00 400 406
Advanta National Bank
6.450% due 10/30/00 700 681
AK Steel Corp.
10.750% due 04/01/04 625 673
American Airlines Class A-1
9.710% due 01/02/07 367 406
American Standard, Inc.
10.875% due 05/15/99 350 371
American Standard, Inc. Step Up Bond
10.500% due 06/01/05 (c) 500 436
AMR Corp. (MTN)
9.950% due 03/07/01 1,000 1,104
Anchor Bancorp, Inc.
8.937% due 07/09/03 375 370
Arkla, Inc. (MTN)
8.780% due 07/19/96 500 501
Multistrategy Bond Fund 97
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1996 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
Armco, Inc.
9.375% due 11/01/00 $ 265 $ 257
Banesto Delaware, Inc.
8.250% due 07/28/02 500 517
BellSouth Telecommunications, Inc.
5.850% due 11/15/45 1,100 1,070
Berkeley Federal Bank & Trust
12.000% due 06/15/05 300 311
Cablevision Industries Co.
9.250% due 04/01/08 320 328
Capital One Bank
5.950% due 02/15/01 375 357
Capital One Bank (MTN)
8.125% due 03/01/00 325 336
6.875% due 04/24/00 375 372
Chelsea GCA Realty, Inc.
7.750% due 01/26/01 440 429
Chevy Chase Savings Bank
9.250% due 12/01/05 500 480
Citicorp (MTN)
6.750% due 10/15/07 380 361
Clark Oil & Refining Corp.
10.500% due 12/01/01 75 78
9.500% due 09/15/04 150 153
Cleveland Electric Illum Co.
9.375% due 03/01/17 1,000 925
Cleveland Electric Illum Co. (MTN)
9.110% due 07/22/96 1,000 1,001
Cleveland Electric Illum Co. Series B
9.500% due 05/15/05 130 128
CMS Energy Corp.
9.500% due 10/01/97 1,000 1,025
Coast Federal Bank
13.000% due 12/31/02 375 409
Coast Savings Financial, Inc.
10.000% due 03/01/00 175 179
Coastal Corp.
10.375% due 10/01/00 500 561
Comcast Corp.
9.125% due 10/15/06 350 330
Comdisco, Inc.
5.750% due 02/15/01 250 239
CP Limited Partnership
8.750% due 03/02/00 500 509
CTC Mansfield Funding Corp.
10.250% due 03/30/03 498 509
Delta Air Lines, Inc.
10.375% due 02/01/11 340 405
Dime Bancorp, Inc.
10.500% due 11/15/05 320 346
EnviroSource, Inc.
9.750% due 06/15/03 470 428
ERAC USA Finance Co. (MTN)
6.350% due 01/15/01 725 707
ERP Operating, L.P.
8.500% due 05/15/99 350 362
Exide Corp.
10.750% due 12/15/02 250 255
10.000% due 04/15/05 250 244
Exide Corp. Step Up Bond
12.250% due 12/15/04 (c) 665 545
Falcon Holdings Group, L.P.
PIK Series B
11.000% due 09/15/03 443 403
Federal Realty Investment Trust
8.875% due 01/15/00 650 683
First Nationwide Holdings, Inc.
12.250% due 05/15/01 425 465
12.500% due 04/15/03 1,495 1,562
First USA Bank
5.850% due 02/22/01 500 472
Ford Motor Credit Co.
6.850% due 08/15/00 475 473
Gaylord Container Corp. Step Up Bond
12.750% due 05/15/05 (c) 165 174
General Motors Acceptance Corp.
8.400% due 10/15/99 185 194
6.900% due 06/06/00 135 136
General Motors Acceptance Corp. (MTN)
5.670% due 07/19/96 (c) 2,000 2,000
7.375% due 04/15/99 940 958
6.625% due 04/24/00 550 547
Goldman Sachs Group, L.P.
6.375% due 06/15/00 400 390
6.200% due 02/15/01 300 289
Goldman Sachs Group, L.P. (MTN)
6.250% due 02/01/03 725 685
Hanson America, Inc. (conv.)
2.390% due 03/01/01 875 744
Healthsouth Rehabilitation Corp.
9.500% due 04/01/01 750 774
Hills Stores Co.
12.500% due 07/01/03 500 490
Homeside, Inc.
11.250% due 05/15/03 350 360
Inland Steel Co. Series T
12.000% due 12/01/98 530 572
98 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1996 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
Koppers Industries, Inc.
8.500% due 02/01/04 $ 500 $ 470
Loewen Group International, Inc.
Series I
7.500% due 04/15/01 700 681
Long Island Lighting Co.
9.000% due 11/01/22 530 487
Merrill Lynch & Co., Inc.
6.500% due 04/01/01 700 688
Morgan Stanley Group, Inc.
Series C (MTN)
6.500% due 03/30/01 700 684
Nabisco, Inc.
8.000% due 01/15/00 2,000 2,067
New England Mutual Life Insurance Co.
7.875% due 02/15/24 325 315
News America Holdings, Inc.
8.875% due 04/26/23 350 363
7.700% due 10/30/25 300 276
Niagara Mohawk Power Corp.
5.875% due 09/01/02 240 201
7.375% due 08/01/03 410 365
NWA Trust
13.875% due 06/21/08 90 106
Owens-Illinois, Inc.
11.000% due 12/01/03 625 672
PDV America, Inc.
7.875% due 08/01/03 750 723
Peters (JM), Co.
12.750% due 05/01/02 230 215
Pueblo Xtra International
9.500% due 08/01/03 220 194
Riggs National Corp.
9.650% due 06/15/09 250 275
Safeway, Inc.
10.000% due 12/01/01 450 489
Salomon, Inc.
9.375% due 04/15/98 100 103
6.700% due 12/01/98 425 424
7.000% due 05/15/99 175 175
7.125% due 08/01/99 275 275
7.750% due 05/15/00 550 560
Smith Barney Holdings, Inc.
7.980% due 03/01/00 400 414
Stone Container Corp.
9.875% due 02/01/01 975 946
Summit Communications Group, Inc.
10.500% due 04/15/05 590 637
Swiss Bank Corp.
6.750% due 07/15/05 420 405
Taubman Realty Group, L.P.
8.000% due 06/15/99 450 458
Tenneco, Inc.
7.250% due 12/15/25 915 852
Time Warner, Inc.
6.460% due 08/15/00 (c) 375 379
7.975% due 08/15/04 225 224
8.110% due 08/15/06 450 447
8.180% due 08/15/07 450 448
9.125% due 01/15/13 845 882
9.150% due 02/01/23 125 129
6.850% due 01/15/26 1,760 1,686
Toledo Edison Co.
8.700% due 09/01/02 500 459
Toledo Edison Co. (MTN)
8.000% due 12/31/98 500 487
U.S. West Communications, Inc.
7.200% due 11/10/26 375 345
UCC Investors Holding, Inc.
Step Up Bond
12.000% due 05/01/05 (c) 220 180
United Companies Financial Corp.
9.350% due 11/01/99 375 394
USAT Holdings, Inc.
9.050% due 05/15/98 (c) 200 195
Varity Corp.
11.375% due 11/15/98 250 254
Viacom, Inc.
7.750% due 06/01/05 1,550 1,511
Wellsford Residential Property Trust
9.375% due 02/01/02 475 510
--------
56,259
--------
EURODOLLAR BONDS - 2.2%
Argentina, Republic of
Series L
6.313% due 03/31/05 (c) 1,980 1,547
Auxiliaire Du Cred
5.332% due 09/25/02 (c) 300 271
Bulgaria, Republic of Series A
6.250% due 07/28/24 (c) 550 285
Credit Fonc France
8.000% due 01/14/02 685 692
Credit Lyonnais
6.625% due 09/19/49 (f) 230 217
Fifth Mexican Acceptance Corp. Class A
8.000% due 12/15/98 550 181
Hong Kong & Shanghai Bank
5.563% due 08/29/49 (f) 535 453
Multistrategy Bond Fund 99
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1996 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
Indah Kiat Paper & Pulp
8.875% due 11/01/00 $ 195 $ 187
Mexico (United Mexican States)
6.398% due 12/31/19 (c) 2,000 1,573
Midland Bank
5.750% due 12/31/49 (f) 130 111
--------
5,517
--------
MORTGAGE-BACKED SECURITIES - 23.3%
Asset Securitization Corp.
Series 1995-MD4 Class A1
7.100% due 08/13/29 694 673
Collateralized Mortgage Securities Corp.
Series J Class J-5 CMO
7.985% due 05/01/17 2,060 2,053
FDIC REMIC Trust
Series 1994-C1 Class 2A-2
7.850% due 09/25/25 491 496
Federal Home Loan Mortgage Corp.
6.000% 5 Year TBA (e) 830 812
7.000% 7 Year TBA (e) 1,825 1,820
6.500% 30 Year TBA (e) 2,000 1,873
8.500% 30 Year TBA (e) 1,750 1,685
Federal Home Loan Mortgage Corp.
Participation Certificates
Group#D6-9409 6.500% due 03/01/26 655 614
Group#D7-1567 6.500% due 05/01/26 454 425
Federal Home Loan Mortgage Corp.
Participation Certificates
Series 1014 Class E
7.950% due 02/15/20 1,007 1,026
Series 1037 Class Z
9.000% due 02/15/21 1,601 1,676
Federal National Mortgage Association
Pool#124032 10.000% due 02/01/05 431 456
Pool#190504 7.338% due 11/01/23 (c) 1,670 1,710
Pool#209541 6.500% due 02/01/26 68 63
Pool#250359 7.000% due 10/01/25 1,254 1,206
Pool#276234 7.000% due 05/01/24 513 494
Pool#286017 7.000% due 06/01/24 738 712
Pool#303016 6.000% due 10/01/01 1,174 1,131
Pool#303555 7.000% due 09/01/25 2,011 1,935
Pool#312494 7.000% due 07/01/25 461 443
Pool#316651 7.000% due 08/01/25 290 279
Pool#316681 7.000% due 07/01/25 1,334 1,283
Pool#317262 7.000% due 07/01/25 398 383
Pool#318863 7.000% due 08/01/25 757 728
Pool#319580 7.000% due 08/01/25 867 834
Pool#324193 7.000% due 09/01/25 283 272
Pool#324205 7.000% due 09/01/25 959 923
Pool#331614 6.500% due 01/01/26 454 425
Pool#338417 6.500% due 05/01/26 908 849
Pool#339682 6.500% due 03/01/26 731 684
Pool#342072 6.500% due 03/01/26 663 620
Federal National Mortgage Association
7.000% 15 Year TBA (e) 2,450 2,417
Federal National Mortgage Association
REMIC Trust Series 1994-79 Class Z
7.000% due 04/25/24 2,313 1,988
Government National Mortgage Association
Pool#008163 6.500% due 03/20/23 (c) 2,263 2,277
Pool#008288 7.250% due 09/20/23 (c) 738 748
Pool#008302 7.000% due 10/20/23 (c) 1,200 1,214
Pool#008528 7.000% due 10/20/24 (c) 2,896 2,940
Pool#156811 9.000% due 04/15/16 277 293
Pool#157764 9.000% due 04/15/16 151 160
Pool#159768 9.000% due 07/15/16 512 542
Pool#160543 9.000% due 05/15/16 492 520
Pool#165612 9.000% due 06/15/16 266 282
Pool#176634 9.000% due 08/15/16 428 453
Pool#321855 7.500% due 06/15/23 198 196
Pool#330320 7.500% due 10/15/23 42 42
Pool#348193 7.500% due 07/15/23 487 482
Pool#348888 7.000% due 07/15/23 1,580 1,523
Pool#352050 7.000% due 10/15/23 1,005 968
Pool#352129 9.000% due 08/15/24 558 584
Pool#353132 7.500% due 07/15/23 124 123
Pool#359600 7.500% due 07/15/23 85 84
Pool#366793 7.000% due 05/15/24 872 839
Pool#369166 7.500% due 10/15/23 337 333
Pool#369168 7.500% due 11/15/23 218 216
Pool#376352 7.500% due 12/15/23 868 859
Pool#385312 9.000% due 11/15/24 520 544
Pool#389622 9.000% due 10/15/24 340 356
Pool#393138 7.500% due 04/15/24 236 234
Pool#401237 9.000% due 01/15/25 210 220
Pool#404014 9.000% due 12/15/24 214 224
Pool#405334 9.000% due 10/15/24 136 143
Pool#409930 7.500% due 08/15/25 501 494
Pool#780029 9.000% due 11/15/24 349 370
Government National Mortgage Association
7.000% 30 Year TBA (e) 5,000 4,794
9.000% 30 Year TBA (e) 690 722
PaineWebber Mortgage
Acceptance Corp. IV
Series 1995-M1 Class A
6.700% due 01/15/07 720 700
100 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1996 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
Ryland Acceptance Corp. CMO
Series 83 Class 83-E
8.150% due 10/01/17 $ 77 $ 78
Ryland Mortgage Securities Corp. CMO
Series 1993-8 Class A
7.870% due 09/25/23 (c) 1,974 2,004
--------
59,549
--------
MUNICIPAL BONDS - 0.4%
Atlanta Water & Sewer Revenue
4.750% due 01/01/23 290 242
Chicago, Illinois Series B
5.125% due 01/01/25 160 140
Salt River Project, Arizona
Agricultural Improvement
& Power District Series B
5.250% due 01/01/19 290 265
South Carolina, Public Service Authority
Series C
5.125% due 01/01/21 500 450
--------
1,097
--------
NON-US BONDS - 1.1%
Canada, Government of
8.750% due 12/01/05 CAD 1,000 788
Companhia Petroleo Ipiranga
8.625% due 02/25/02 (c) $ 600 596
Italy, Republic of
6.875% due 09/27/23 470 424
Poland, Government of
6.438% due 10/27/24 (c) 420 392
Skandinaviska Enskilda Banken
6.625% due 03/29/49 (f) 700 672
--------
2,872
--------
UNITED STATES GOVERNMENT
AGENCIES - 0.4%
Tennessee Valley Authority
6.235% due 07/15/45 1,100 1,083
--------
1,083
--------
UNITED STATES GOVERNMENT
TREASURIES - 31.7%
United States Treasury Bonds
7.250% due 05/15/16 350 358
7.500% due 11/15/16 1,800 1,891
8.125% due 08/15/19 1,850 2,077
8.750% due 08/15/20 3,300 3,948
7.875% due 02/15/21 10,455 11,469
United States Treasury Bond
Principal Only Strips
Zero Coupon due 05/15/18 950 201
Zero Coupon due 11/15/18 (h) 2,475 506
United States Treasury Notes
5.875% due 07/31/97 25,000 25,008
5.500% due 11/30/97 (h) 325 322
5.625% due 01/31/98 (h) 525 522
5.125% due 02/28/98 850 837
6.750% due 05/31/99 2,065 2,089
7.750% due 11/30/99 15,270 15,900
6.250% due 04/30/01 1,400 1,387
6.250% due 02/15/03 2,000 1,965
5.875% due 02/15/04 2,400 2,294
7.250% due 05/15/04 4,265 4,419
7.500% due 02/15/05 4,300 4,524
United States Treasury Note
Principal Only Strip
Zero Coupon due 11/15/99 465 376
United States Treasury Bond
Interest Only Strips
Zero Coupon due 08/15/08 1,550 674
Zero Coupon due 02/15/19 1,775 355
--------
81,122
--------
YANKEE BONDS - 3.5%
Argentina, Republic of
5.250% due 03/31/23 (c) 875 480
Bombril SA
8.000% due 08/26/98 400 379
Brazil, Federal Republic of
6.375% due 01/01/01 (c) 465 435
Colombia, Republic of
7.250% due 02/23/04 210 191
Den Norske Creditbank AS
5.750% due 11/30/49 (f) 250 205
Doman Industries, Ltd.
8.750% due 03/15/04 420 378
Domtar, Inc.
11.750% due 03/15/99 200 220
12.000% due 04/15/01 500 583
Fresh Delmonte Produce
Series B
10.000% due 05/01/03 260 242
Lloyds Bank
5.688% due 12/31/99 (f) 290 250
Methanex Corp.
7.750% due 08/15/05 775 762
Multistrategy Bond Fund 101
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1996 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
Mexico (United Mexican States)
6.250% due 12/31/19 $ 500 $ 323
6.453% due 12/31/19 (c) 1,000 786
Rogers Cantel, Inc.
9.375% due 06/01/08 800 776
Santander Finnish Issuances
6.525% due 09/30/49 (c) 500 491
St. George Bank, Ltd.
7.150% due 10/01/05 700 677
Telewest Communications PLC
Step Up Bond
11.000% due 10/01/07 (c) 1,700 1,003
Tembec Finance Corp.
9.875% due 09/30/05 600 558
Videotron Holdings PLC
Step Up Bond
11.000% due 08/15/05 (c) 200 128
--------
8,867
--------
TOTAL LONG-TERM INVESTMENTS
(Cost $232,795) 231,459
--------
OPTIONS PURCHASED - 0.0%
United States Treasury 30 Year Bonds (a)
Jul 86.06 Put 750* 2
Jul 86.03 Put 750* 2
--------
TOTAL OPTIONS PURCHASED
(cost $24) 4
--------
NUMBER
OF
SHARES
-------
PREFERRED STOCKS - 0.7%
Australia & New Zealand
Banking Group, Ltd. 5,300 140
California Federal Bank
of Los Angeles Series B 4,475 490
Credit Lyonnais Capital S.C.A. - ADR 6,400 143
Lasalle National Corp. Series K 2,500 131
Newscorp Overseas, Ltd 8,000 180
Texaco Capital Series 2,100 45
Time Warner, Inc. Series K 450 434
Wellsford Residential Property Trust
Series B 5,000 124
--------
TOTAL PREFERRED STOCKS
(cost $1,712) 1,687
--------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- --------
SHORT-TERM INVESTMENTS - 11.8%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 29,685 29,685
United States Treasury Bills (g)(i)
4.950% due 08/29/96 (b) 140 139
4.955% due 08/29/96 (b) 45 45
5.010% due 10/17/96 115 113
5.145% due 10/17/96 155 153
5.115% due 10/24/96 50 49
5.175% due 11/14/96 40 39
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $30,223) 30,223
--------
TOTAL INVESTMENTS
(identified cost $264,754)(d) - 103.0% 263,373
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (3.0%) (7,533)
--------
NET ASSETS - 100.0% $ 255,840
--------
--------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Adjustable or floating rate security.
(d) See Note 2 for federal income tax information.
(e) Forward commitment. See Note 2.
(f) Perpetual floating rate note.
(g) Held as collateral by the custodian in connection with futures contracts
purchased by the Fund.
(h) Held by the Fund to cover put options written.
(i) Rate noted is yield-to-maturity.
(MTN) Represents Medium Term Note.
* Represents 1 over-the-counter contract.
The accompanying notes are an integral part of the financial statements.
102 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
-------- -------------
FUTURES CONTRACTS
(Notes 2 and 3)
United States Treasury 5 Year Note
Futures Contracts
expiration date 09/96 10 $ 11
United States Treasury 10 Year Note
Futures Contracts
expiration date 09/96 264 480
United States Treasury 30 Year Bond
Futures Contracts
expiration date 09/96 75 168
--------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (Section) $ 659
--------
--------
(Section) At June 30, 1996, United States Treasury Bills valued at $538 were
held as collateral by the custodian in connection with futures
contracts purchased by the Fund.
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- ---------
PUT OPTIONS WRITTEN
(Notes 2 and 3)
United States Treasury 10 Year Notes
strike price 99.19
expiration date 07/96 $ 1,312* $ 4
United States Treasury 10 Year Notes
strike price 99.20
expiration date 07/96 1,312* 4
Eurodollar Financial Futures Contract
strike price 93.00
expiration date 03/97 19,000** 5
--------
Total Liability for Put Options Written
(premiums received $40)(++) $ 13
--------
--------
(++) At June 30, 1996, United States Treasury securities valued
at $1,212 were held by the Fund to cover put options written.
* Represents 1 over-the-counter contract.
** Represents 19 contracts.
FOREIGN CURRENCY EXCHANGE CONTRACTS
(Note 2)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
---------- ---------- ---------- -------------
CAD 1,000 USD 736 03/06/97 --
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, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at market (identified cost $264,753,868)(Note 2) . . . . . . . . . . . $ 263,373,472
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 343,800
Closed foreign currency exchange contracts (note 2). . . . . . . . . . . . . . . . 367,390
Forward foreign currency exchange contracts (cost $735,781)(note 2). . . . . . . . 735,781
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,799,906
Investments sold (delayed settlement)(note 2). . . . . . . . . . . . . . . . . . 1,411,975
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,822,097
From manager (note 4). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,683
Daily variation margin on futures contracts (notes 2 and 3). . . . . . . . . . . 279,281
Deferred organization expenses (note 2). . . . . . . . . . . . . . . . . . . . . . 10,713
------------
272,158,098
LIABILITIES
Payables: <C>
Investments purchased (delayed settlement)(note 2) . . . . . $15,388,810
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . 22,351
Accrued fees to affiliates (NOTE 4). . . . . . . . . . . . . 118,505
Other accrued expenses . . . . . . . . . . . . . . . . . . . 39,656
Forward foreign currency exchange contracts
(Cost $735,781)(note 2). . . . . . . . . . . . . . . . . . . 735,536
Options written, at market value
(Premiums received $40,298)(notes 2 and 3) . . . . . . . . . 13,062 16,317,920
------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 255,840,178
------------
------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . $ 1,348,758
Accumulated net realized gain (loss) . . . . . . . . . . . . (2,754,294)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . (1,380,396)
Futures contracts. . . . . . . . . . . . . . . . . . . . . 658,594
Options written. . . . . . . . . . . . . . . . . . . . . . 27,236
Foreign currency-related transactions. . . . . . . . . . . 246
Shares of beneficial interest. . . . . . . . . . . . . . . . 257,148
Additional paid-in capital . . . . . . . . . . . . . . . . . 257,682,886
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 255,840,178
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . ------------
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . ------------
Net asset value, offering and redemption price per share
($255,840,178 divided by 25,714,799 shares of $.01 par value,
shares of beneficial interest outstanding) . . . . . . . . $9.95
-----------
-----------
</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, 1996 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,865,775
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . . 1,338,300
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54,467
------------
8,258,542
<C>
Expenses (Notes 2 and 4):
Management Fees . . . . . . . . . . . . . . . . . . . . . $ 762,396
Custodian Fees. . . . . . . . . . . . . . . . . . . . . . 93,268
Transfer Agent Fees . . . . . . . . . . . . . . . . . . . 114,328
Bookkeeping Service Fees. . . . . . . . . . . . . . . . . 18,004
Registration Fees . . . . . . . . . . . . . . . . . . . . 15,584
Professional Fees . . . . . . . . . . . . . . . . . . . . 12,699
Trustees' Fees. . . . . . . . . . . . . . . . . . . . . . 2,463
Amortization of Deferred Organization Expenses. . . . . . 3,404
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . 10,850
------------
Expenses Before Waivers and Reimbursements . . . . . . . 1,032,996
Expenses Waived and Reimbursed by Manager (Note 4). . . . (56,563) 976,433
------------ ------------
Net investment income. . . . . . . . . . . . . . . . . . . . 7,282,109
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . (992,411)
Futures contracts . . . . . . . . . . . . . . . . . . . . (1,724,893)
Options written . . . . . . . . . . . . . . . . . . . . . 6,536
Foreign currency-related transactions . . . . . . . . . . 422,235
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . (6,115,804)
Futures contracts . . . . . . . . . . . . . . . . . . . . 372,375
Options written . . . . . . . . . . . . . . . . . . . . . 21,175
Foreign currency-related transactions . . . . . . . . . . 14,290
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . (7,996,497)
------------
Net increase (decrease) in net assets resulting from operations $ (714,388)
------------
------------
</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>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
INCREASE (DECREASE) IN NET ASSETS (UNAUDITED) DECEMBER 31, 1995
-------------------- -------------------
<S> <C> <C>
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,282,109 $ 12,917,252
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (992,411) 1,563,456
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,724,893) 3,136,612
Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,536 379,327
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . . . . 422,235 242,452
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,115,804) 13,490,293
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 372,375 294,891
Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,175 43,948
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . . . . 14,290 (14,044)
------------ ------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . (714,388) 32,054,187
Distributions to shareholders:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,947,088) (13,104,794)
In excess of net realized gain on investments . . . . . . . . . . . . . . . . . . . . (87,471) --
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . . 43,823,632 26,780,829
------------ -----------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . 37,074,685 45,730,222
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . 218,765,493 173,035,271
------------ ------------
NET ASSETS AT END OF PERIOD
(Including undistributed net investment income
of $1,348,758 AND $13,737, respectively) . . . . . . . . . . . . . . . . . . . . . $ 255,840,178 $ 218,765,493
------------ ------------
------------ ------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1995
------------------------------ --------------------------------
SHARES AMOUNT SHARES AMOUNT
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . 7,469,532 $ 74,913,154 9,709,055 $ 94,838,687
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . 489,510 4,901,471 1,058,466 10,420,168
Fund Shares Redeemed . . . . . . . . . . . . . . (3,592,282) (35,990,993) (8,041,858) (78,478,026)
------------ ------------ ------------ ------------
Net Increase (Decrease). . . . . . . . . . . . . 4,366,760 $ 43,823,632 2,725,663 $ 26,780,829
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</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>
1996* 1995 1994 1993++
-------- ------- -------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . $ 10.25 $ 9.29 $ 10.31 $ 10.00
-------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . .31 .65 .58 .46
Net realized and unrealized gain (loss) on investments . . . . (.35) .97 (1.03) .40
-------- -------- -------- --------
Total Income From Investment Operations. . . . . . . . . . . . (.04) 1.62 (.45) .86
-------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . (.25) (.66) (.57) (.46)
Net realized gain on investments . . . . . . . . . . . . . . . -- -- -- (.08)
In excess of net realized gain on investments. . . . . . . . . (.01) -- -- (.01)
-------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . (.26) (.66) (.57) (.55)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . $ 9.95 $ 10.25 $ 9.29 $ 10.31
-------- -------- -------- --------
-------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . (.42) 17.92 (4.35) 8.74
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets(b)(c) . . . . . .83 .85 .85 .85
Operating expenses, gross, to average net assets(b)(c) . . . . .88 .89 .90 1.20
Net investment income to average net assets(b) . . . . . . . . 6.19 6.61 6.26 5.60
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . 151.59 142.26 136.39 188.95
Net assets, end of period ($000 omitted). . . . . . . . . . . 255,840 218,765 173,035 98,374
Per share amount of fees waived ($ omitted)(c) . . . . . . . . .0018 -- -- .0002
Per share amount of fees reimbursed ($ omitted)(c) . . . . . . .0006 .0042 .0043 .0286
</TABLE>
* For the six months ended June 30, 1996 (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, 1996 and December 31, 1993 are
annualized.
(c) See Note 4 for current period amounts.
Multistrategy Bond Fund 107
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996 (UNAUDITED)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 23 different investment portfolios, referred to as
"Funds," of which 22 are in operation as of June 30, 1996. These financial
statements report on eight 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. It 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. As of July 8, 1996, the
eight Funds that are reported in these financial statements have available
Class S and Class C shares. Class C shares contain a 12b-1 distribution fee
and a shareholder service fee. Class S shares which are reported herein
contain no such fees.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
estimates. The following is a summary of the significant accounting
policies 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.
Money Market instruments held by the Funds maturing within 60 days of the
valuation date are 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. Realized gains and losses from securities transactions are
recorded on the basis of identified cost incurred by each money manager.
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. However, on December 7, 1995, the
Funds suspended the securities lending program. Outstanding loans at
December 31, 1995 were completed in January 1996. No further activity
occurred for the six months ended June 30, 1996.
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.
108 Notes to Financial Statements
<PAGE>
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. Therefore, no federal income tax
provision was required for the Funds. From November 1, 1995 to December 31,
1995, the Volatility Constrained Bond Fund incurred net realized capital
losses of $9,180. As permitted by tax regulations, the Volatility
Constrained Bond Fund intends to elect to defer these losses and treat them
as arising in the year ending December 31, 1996.
At December 31, 1995, certain Funds had net tax basis capital loss
carryforwards which may be applied against any net realized taxable gains
in each succeeding year or until their respective expiration dates,
whichever occurs first. Available capital loss carryforwards and expiration
dates are as follows:
12/31/96 12/31/02 12/31/03 Totals
--------- ---------- --------- ----------
Diversified Bond $ -- $9,899,442 $ -- $9,899,442
Volatility Constrained Bond 2,298,957 5,583,410 1,871,605 9,753,972
The aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of June 30, 1996 are as follows:
Net
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
----------- ----------- ------------ -------------
Diversified Equity 509,066,368 103,331,440 (13,109,280) $90,222,160
Special Growth 293,076,551 60,721,385 (12,916,799) 47,804,586
Equity Income 169,071,590 21,711,466 (4,430,770) 17,280,696
Quantitative Equity 468,484,978 106,328,255 (8,743,586) 97,584,669
International Securitie 606,053,181 100,184,311 (25,190,441) 74,993,870
Diversified Bond 543,391,711 8,355,792 (7,217,137) 1,138,655
Volatility Constrained
Bond 161,211,492 352,814 (1,537,946) (1,185,132)
Multistrategy Bond 264,478,116 2,670,698 (3,775,342) (1,104,644)
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 for
the equity Funds, annually for the International Securities Fund and
monthly for the fixed income Funds. 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 gain
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.
Notes to Financial Statements 109
<PAGE>
The following reclassifications have been made to reflect activity for the
six months ended June 30, 1996:
Undistributed Accumulated
Net Investment Net Realized Additional
Income Gain (Loss) Paid-in Capital
-------------- ------------ ----------------
Diversified Equity $ -- $ 45,554 $ (45,554)
Special Growth (6) (2,814) 2,820
Equity Income -- (31,397) 31,397
Quantitative Equity (2,561) 81,518 (78,957)
International Securities (33,204) 448,714 (415,510)
Diversified Bond (117,676) 294,901 (177,225)
Volatility Constrained Bond -- 696,029 (696,029)
Multistrategy Bond -- 236,087 (236,087)
EXPENSES: Most expenses can be directly attributed to the individual
Funds. Expenses which cannot be directly attributed are allocated among all
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 a 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) of the underlying securities at Fedwire
closing time 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 period-end, as a
result of changes in the exchange rates.
It is not practical to isolate that portion of the results of operations of
the funds that arises as a result of changes in exchange rates from that
portion that arises 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
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.
110 Notes to Financial Statements
<PAGE>
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 their 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, Funds may more effectively achieve the desired
portfolio characteristics that assist them in meeting their investment
objectives. Depending on how the derivatives are structured and utilized,
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 Funds may enter into foreign currency exchange spot contracts and
forward foreign currency exchange contracts ("contracts"). The
International Securities Fund may enter into foreign currency forward
overlays on liquidity reserve balances. 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 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. Open
contracts at June 30, 1996, are presented on the Statement of Net Assets
for the applicable Funds.
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 commitment" or "delayed settlement"
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.
OPTIONS: The 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. The
domestic equity Funds utilize options to equitize liquidity reserve
balances.
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 Fund receives a premium on the sale
of a call option but gives up the opportunity to profit from any increase
in stock value above the exercise price of the option, and when the Fund
writes a put option it is exposed to a decline in the price of the
underlying security. 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 these 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.
Notes to Financial Statements 111
<PAGE>
FUTURES: The domestic and international equity Funds utilize futures to
equitize liquidity reserve balances. Multistrategy Bond Fund may utilize
futures contracts (i.e., interest rate, foreign currency and index futures
contracts) to a limited extent. The face or contract amounts of these
instruments reflect the extent of the Funds' exposure to off balance sheet
risk. 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. Changes in the initial settlement values of futures
contracts 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, 1996, purchases and sales
of investment securities (excluding U.S. Government and Agency obligations,
short-term investments, options, futures and repurchase agreements) were as
follows:
Purchases Sales
------------- -------------
Diversified Equity $ 304,569,935 $ 291,678,048
Special Growth 225,158,344 225,299,496
Equity Income 99,502,973 101,889,148
Quantitative Equity 237,839,267 202,524,336
Purchases Sales
------------- -------------
International Securities $ 161,949,521 $ 148,769,242
Diversified Bond 58,711,495 58,686,454
Volatility Constrained Bond 90,919,157 95,399,192
Multistrategy Bond 33,869,532 30,865,319
Purchases and sales of U.S. Government and Agency obligations (excluding
short-term investments, options, futures and repurchase agreements) were as
follows:
Purchases Sales
------------ ------------
Diversified Bond $403,780,670 $390,834,181
Volatility Constrained Bond 265,269,636 275,357,465
Multistrategy Bond 207,448,449 157,553,186
OPTIONS WRITTEN AND FUTURES CONTRACTS: Fund transactions in written put
options and futures contract purchases for the six months ended June 30,
1996 were as follows:
DIVERSIFIED EQUITY FUTURES CONTRACTS
Aggregate
Number of Face Value of
Contracts Contracts (1)
--------- --------------
Outstanding December 31, 1995 60 $ 18,713,938
Opened 364 94,310,997
Closed (290) (80,775,335)
--------- --------------
Outstanding June 30, 1996 134 32,249,600
--------- --------------
--------- --------------
112 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
SPECIAL GROWTH WRITTEN PUT OPTIONS FUTURES CONTRACTS
AGGREGATE
NUMBER OF PREMIUMS NUMBER OF FACE VALUE OF
CONTRACTS RECEIVED CONTRACTS CONTRACTS (1)
----------- ----------- ----------- --------------
Outstanding
December 31, 1995 170 $ 101,487 150 $ 20,217,423
Opened 170 101,487 450 80,918,009
Closed (190) (113,427) (422) (75,615,104)
Expired (150) (89,547) -- --
----------- ----------- ----------- --------------
Outstanding
June 30, 1996 -- $ -- 178 $ 25,520,328
----------- ----------- ----------- --------------
----------- ----------- ----------- --------------
EQUITY INCOME FUTURES CONTRACTS
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
----------- --------------
Outstanding December 31, 1995 32 $ 9,951,672
Opened 123 35,724,003
Closed (116) (34,879,950)
----------- --------------
Outstanding June 30, 1996 39 $ 10,795,725
----------- --------------
----------- --------------
QUANTITATIVE EQUITY FUTURES CONTRACTS
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
----------- --------------
Outstanding December 31, 1995 60 $ 18,608,713
Opened 376 94,488,558
Closed (303) (82,295,321)
----------- --------------
Outstanding June 30, 1996 133 $ 30,801,950
----------- --------------
----------- --------------
INTERNATIONAL SECURITIES FUTURES CONTRACTS
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
----------- --------------
Outstanding December 31, 1995 156 $ 19,363,930
Opened 684 101,130,536
Closed (552) (77,193,699)
----------- --------------
Outstanding June 30, 1996 288 $ 43,300,767
----------- --------------
----------- --------------
DIVERSIFIED BOND WRITTEN PUT OPTIONS
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- --------------
Outstanding December 31, 1995 -- $ --
Opened 2 35,000
Closed -- --
----------- --------------
Outstanding June 30, 1996 2 $ 35,000
----------- --------------
----------- --------------
Notes to Financial Statements 113
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
MULTISTRATEGY BOND WRITTEN PUT OPTIONS FUTURES CONTRACTS
AGGREGATE
NUMBER OF PREMIUMS NUMBER OF FACE VALUE OF
CONTRACTS RECEIVED CONTRACTS CONTRACTS (1)
--------- -------- --------- -------------
Outstanding December 31, 1995 19 $ 6,536 285 $ 31,832,416
Opened 21 40,298 779 86,117,072
Closed -- -- (715) (80,955,738)
Exercised (19) (6,536) -- --
--------- -------- --------- -------------
Outstanding June 30, 1996 21 $40,298 349 $ 36,993,750
--------- -------- --------- -------------
--------- -------- --------- -------------
(1) The aggregate face value of contracts is computed on the date each
contract was opened.
4. RELATED PARTIES
Frank Russell Investment Management Company ("FRIMCo" or "Manager")
operates and administers all the Funds which comprise the Investment
Company, and manages the U.S. Government Money Market and Money Market
Funds (two series of the Investment Company not presented in this
semiannual report). FRIMCo is a wholly owned subsidiary of Frank Russell
Company, which researches and recommends to FRIMCo, and to the Investment
Company, one or more investment management organizations to manage the
portfolio of each Fund.
For the six months ended June 30, 1996, the management fee paid to FRIMCo,
in accordance with the Investment Company's Management Agreement with that
firm, amounted to $12,062,486 before waivers. 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.
ANNUAL RATE ANNUAL RATE
----------- -----------
Diversified Equity 0.78% International Securities 0.95%
Special Growth 0.95 Diversified Bond 0.45
Equity Income 0.80 Volatility Constrained Bond 0.50
Quantitative Equity 0.78 Multistrategy Bond 0.65
The management contract also provides that if any Fund's expenses
(exclusive of interest and taxes) exceed specified limits imposed by the
manager on an annual basis, such excess will be paid by FRIMCo. Prior to
May 1, 1996, the Management Agreement provided that Multistrategy Bond Fund
expenses (exclusive of interest and taxes) exceeding 0.85% of the Fund's
average daily net assets, on an annual basis, would be reimbursed by
FRIMCo. The amount of such reimbursement for the four months ended April
30, 1996 was $13,683. Effective May 1, 1996, the Manager voluntarily agreed
to waive a portion of its management fee, to the extent that total expenses
for this Fund exceed 0.80% of its average daily net assets on an annual
basis. The amount of such waiver for the two months ended June 30, 1996 was
$42,880.
Fees for bookkeeping services provided to the Funds are paid or accrued to
Frank Russell Company, an affiliate of the Investment Company. Frank
Russell Company provides its Portfolio Verification System ("PVS") to the
Funds, pursuant to a written Service Agreement. The PVS computerized
database system records detailed transactions data for each of the Funds
necessary to prepare various financial and Internal Revenue Service
accounting reports. The Funds' total fees for the six months ended June 30,
1996 were $197,146 before waivers. The Manager voluntarily agreed to waive
$21,825 of these fees for the International Securities Fund. Effective May
1, 1996, the Manager discontinued waiving these fees for the International
Securities Fund.
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, 1996
were $1,204,929.
114 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
ACCRUED FEES PAYABLE TO AFFILIATES AS OF JUNE 30, 1996 WERE AS FOLLOWS:
MANAGEMENT BOOKKEEPING TRANSFER
FEES SERVICE FEES AGENT FEES TOTALS
----------- ------------ ---------- ----------
Diversified Equity $ 384,473 $ 5,490 $ 31,873 $ 421,836
Special Growth 278,024 6,230 44,006 328,260
Equity Income 123,563 2,860 22,456 148,879
Quantitative Equity 362,003 5,711 39,707 407,421
International Securities 536,036 50,995 38,952 625,983
Diversified Bond 189,771 11,447 30,679 231,897
Volatility Constrained Bond 68,038 7,530 19,943 95,511
Multistrategy Bond 90,286 7,357 20,862 118,505
----------- ------------ ---------- ----------
$2,032,194 $ 97,620 $ 248,478 $2,378,292
----------- ------------ ---------- ----------
----------- ------------ ---------- ----------
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, 1996 were as follows:
Diversified Equity $ 41,871 Equity Income $ 18,101
Special Growth 503 International Securities 75,607
The Investment Company pays each of its Trustees not affiliated with FRIMCo
a retainer of $20,000 per year plus out-of-pocket expenses. Total trustee
expenses were $54,206 for the six months ended June 30, 1996, and were
allocated to each Fund on a pro rata basis, including 14 affiliated funds
not presented here.
Russell Fund Distributors, Inc. (the "Distributor"), a wholly owned
subsidiary of FRIMCo, is the principal Distributor of the Investment
Company shares. The Distributor receives no compensation from the
Investment Company for its services.
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 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, 1996, $211,411,000 of the Money
Market Fund's net assets represents investments by these Funds and
$342,792,000 represents the investments of other affiliated Funds not
presented here.
6. DIVIDENDS
On July 1, 1996, the Board of Trustees declared the following dividends
from net investment income payable on July 10, 1996, to shareholders of
record on July 2, 1996:
Diversified Equity $ 0.1215 Diversified Bond $ 0.1222
Special Growth 0.0292 Volatility Constrained Bond 0.0873
Equity Income 0.1956 Multistrategy Bond 0.0519
Quantitative Equity 0.1631
Notes to Financial Statements 115
<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
George W. Weber, 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
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
DIVERSIFIED EQUITY
Alliance Capital Management L.P., Minneapolis, MN
BZW Barclays Global Fund Advisors, San Francisco, CA
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
Fiduciary International, Inc., New York, NY
Globeflex Capital, L.P., San Diego, CA
Jacobs Levy Equity Management, Inc., Roseland, NJ
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
BZW Barclays Global Fund Advisors, San Francisco, CA
Franklin Portfolio Associates Trust, Boston, MA
J.P. Morgan Investment Management, Inc., New York, NY
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
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
STW Fixed Income Management Ltd., Hamilton, Bermuda
MULTISTRATEGY BOND
BEA Associates, New York, NY
Pacific Investment Management Company, Newport Beach, CA
Standish, Ayer & Wood, Inc., Boston, MA
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.
116 Manager and Money Managers
<PAGE>
RUSSELL
FRANK RUSSELL INVESTMENT COMPANY
909 A Street
Tacoma, WA 98402
206-627-7001
IN166(896)
<PAGE>
[logo]
[photo]
FRANK RUSSELL INVESTMENT COMPANY
1996----------------------------------------------------------------------------
SEMIANNUAL REPORT
- --------------------------------------------------------------------------------
REAL ESTATE SECURITIES FUND
SPECIALTY FUNDS
EMERGING MARKETS FUND
LIMITED VOLATILITY TAX FREE FUND
U.S. GOVERNMENT MONEY MARKET FUND
TAX FREE MONEY MARKET FUND
June 30,1996
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
Frank Russell Investment Company is a "series mutual fund" with 22 different
investment portfolios. These financial statements report on five 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
LETTER TO OUR CLIENTS. . . . . . . . . . . . . . . . . . . . . . 1
REAL ESTATE SECURITIES FUND. . . . . . . . . . . . . . . . . . . 3
EMERGING MARKETS FUND . . . . . . . . . . . . . . . . . . . . . 9
LIMITED VOLATILITY TAX FREE FUND . . . . . . . . . . . . . . . . 23
U.S. GOVERNMENT MONEY MARKET FUND. . . . . . . . . . . . . . . . 33
TAX FREE MONEY MARKET FUND . . . . . . . . . . . . . . . . . . . 39
NOTES TO FINANCIAL STATEMENTS. . . . . . . . . . . . . . . . . . 49
MANAGER AND MONEY MANAGERS . . . . . . . . . . . . . . . . . . . 54
FRANK RUSSELL INVESTMENT COMPANY - SPECIALTY FUNDS
Copyright -C- Frank Russell Company 1996. 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>
TO OUR CLIENTS
Frank Russell Investment Company is pleased to present its 1996 Semiannual
Report. This report covers information for the Funds' first six months of our
fifteenth year of operation.
Our focus continued to be on the benefits of multi-manager, multi-style
diversification. We remain committed to providing our clients with superior
investments across each of our products. To reflect this commitment the Funds'
investment advisor, Frank Russell Investment Management Company, has adopted
the following Investment Philosophy Statement stating its beliefs:
"We believe that financial markets reward knowledgeable, disciplined
investors. Capitalizing on our extensive understanding of markets,
managers, and investors, we design portfolios that deliver superior,
consistent, long-term results, while controlling the chances of
substantial short-term disappointment. Our knowledge and commitment to a
disciplined investment process are reflected in every portfolio we
manage."
Consistent with that investment philosophy, Frank Russell Investment Management
Company continuously evaluates the funds we offer to our clients. Each of these
funds is continually reviewed and monitored by Russell's investment
professionals to ensure that the most appropriate investment advisors and
strategies are utilized within each fund. Each of the advisors is monitored by
the Investment Management Group within the Frank Russell Investment Management
Company, using the research, tools, and advice of the consulting group of Frank
Russell Company.
We look forward to the remainder of this year and continuing to earn your
support by exceeding your expectations. Thank you for your continued confidence
and investment with Frank Russell Investment Company.
Sincerely,
/s/ George F. Russell, Jr.
George F. Russell, Jr.
Chairman of the Board
Frank Russell Investment Company
/s/ Lynn L. Anderson
Lynn L. Anderson
President and Chief Executive Officer
Frank Russell Investment Company
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- ---------
COMMON STOCKS (B) - 95.7%
APARTMENT - 18.7%
Associated Estates Realty Corp. 229,900 $ 4,828
Avalon Properties, Inc. 327,900 7,132
Camden Property Trust 294,600 6,997
Colonial Properties Trust 324,800 7,876
Columbus Realty Trust 227,800 4,414
Irvine Apartment Communities, Inc. 166,300 3,347
Merry Land and Investment Co., Inc. 204,900 4,302
Oasis Residential, Inc. 123,400 2,699
Post Properties, Inc. 294,400 10,414
Security Capital Pacific Trust 80,600 1,753
Smith (Charles E.) Residential Realty, Inc. 178,300 4,279
Summit Properties, Inc. 162,900 3,197
United Dominion Realty Trust, Inc. 219,100 3,150
--------
64,388
--------
HEALTH CARE - 3.1%
Health Care Property Investors, Inc. 138,500 4,674
Nationwide Health Properties, Inc. 221,300 4,675
Sunrise Assisted Living, Inc. (a) 54,000 1,296
--------
10,645
--------
HOTELS - 5.8%
Bristol Hotel Co. (a) 118,500 3,851
FelCor Suite Hotels, Inc. 141,500 4,316
Patriot American Hospitality, Inc. 165,000 4,888
Starwood Lodging Trust 187,000 6,802
--------
19,857
--------
MANUFACTURED HOMES - 0.9%
Sun Communities, Inc. 113,600 3,053
--------
3,053
--------
OUTLET CENTERS - 4.1%
Chelsea GCA Realty, Inc. 218,800 6,947
Horizon Group, Inc. 211,200 4,330
Tanger Factory Outlet Centers, Inc. 126,400 2,938
--------
14,215
--------
OFFICE/INDUSTRIAL - 27.1%
Beacon Properties 385,600 $ 9,881
Cali Realty Corp. 299,000 7,251
CarrAmerica Realty Corp. 249,300 5,983
CenterPoint Properties Corp. 215,900 5,236
Cousins Properties, Inc. 432,000 8,478
Crescent Real Estate Equities, Inc. 395,400 14,531
Duke Realty Investments, Inc. 109,200 3,303
Highwoods Properties, Inc. 463,700 12,810
Reckson Associates Realty Corp. 201,800 6,659
Spieker Properties, Inc. 485,100 13,219
Weeks Corporation 217,300 5,650
--------
93,001
--------
REGIONAL MALLS - 18.6%
CBL & Associates Properties, Inc. 330,900 7,404
DeBartolo Realty Corp. 664,900 10,722
Glimcher Realty Trust 385,200 6,500
J.P. Realty, Inc. 338,700 7,240
Macerich Co. 390,500 8,201
Mills Corp. (The) 345,400 6,045
Rouse Co. (The) 571,000 14,774
Simon Property Group, Inc. 123,400 3,022
--------
63,908
--------
SHOPPING CENTER - 17.4%
Bradley Real Estate, Inc. 38,500 558
Developers Diversified Realty Corp. 436,300 13,907
Federal Realty Investment Trust 409,400 9,212
Kimco Realty Corp. 498,000 14,069
Price, Inc. (The) Class B 148,600 4,811
Vornado Realty Trust 326,700 13,354
Weingarten Realty Investors, Inc. 95,400 3,697
--------
59,608
--------
TOTAL COMMON STOCKS
(cost $296,962) 328,675
--------
Specialty Funds Real Estate Securities Fund 3
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
Principal Market
Amount Value
(000) (000)
----------- ----------
SHORT-TERM INVESTMENTS - 4.5%
Frank Russell Investment Company
Money Market Fund, due on demand (c) $ 15,363 $ 15,363
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $15,363) 15,363
----------
TOTAL INVESTMENTS
(identified cost $312,325)(d) - 100.2% 344,038
OTHER ASSETS AND LIABILITIES,
NET - (0.2%) (771)
----------
NET ASSETS - 100.0% $ 343,267
----------
----------
(a) Nonincome-producing security.
(b) All common stocks held are Real Estate Investment Trusts with the exception
of Bristol Hotel Co. and Rouse Co.
(c) At cost, which approximates market.
(d) See Note 2 for federal income tax information.
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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $312,325,473)(Note 2) . . . . . . . . . $ 344,038,375
Receivables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,371,009
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,319,889
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 741,070
-------------
352,470,343
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . $ 8,580,329
Fund shares redeemed . . . . . . . . . . . . . . . . . 322,328
Accrued fees to affiliates (Note 4). . . . . . . . . . 269,970
Other accrued expenses . . . . . . . . . . . . . . . . 31,021 9,203,648
------------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 343,266,695
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . $ 4,731,527
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . 3,963,607
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . 31,712,902
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . 137,291
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . 302,721,368
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 343,266,695
-------------
-------------
Net asset value, offering and redemption price per share,
($343,266,695 divided by 13,729,105 shares of $.01 par value,
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . $25.00
-------------
-------------
</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, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,863,172
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . 603,214
-------------
10,466,386
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . $ 1,321,865
Custodian fees . . . . . . . . . . . . . . . . . . . . 58,717
Transfer agent fees. . . . . . . . . . . . . . . . . . 171,432
Bookkeeping service fees . . . . . . . . . . . . . . . 3,592
Professional fees. . . . . . . . . . . . . . . . . . . 11,332
Registration fees. . . . . . . . . . . . . . . . . . . 18,041
Trustees' fees . . . . . . . . . . . . . . . . . . . . 2,463
Miscellaneous. . . . . . . . . . . . . . . . . . . . . 15,596 1,603,038
------------- -------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,863,348
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . 6,403,464
Net change in unrealized appreciation or depreciation of investments . . . . . 9,250,494
-------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . 15,653,958
-------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . $ 24,517,306
-------------
-------------
</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, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . $ 8,863,348 $ 14,826,585
Net realized gain (loss) from investments. . . . . . . 6,403,464 (947,446)
Net change in unrealized appreciation or depreciation
of investments during the year. . . . . . . . . . . 9,250,494 14,217,578
-------------- --------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . 24,517,306 28,096,717
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . (4,131,821) (15,134,155)
Tax return of capital. . . . . . . . . . . . . . . . . -- (207,871)
Increase (decrease) in net assets from
Fund share transactions. . . . . . . . . . . . . . . . 31,891,274 69,027,371
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . 52,276,759 81,782,062
Net assets at beginning of period. . . . . . . . . . . . . 290,989,936 209,207,874
-------------- --------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income
of $4,731,527 at June 30, 1996). . . . . . . . . . . . $ 343,266,695 $ 290,989,936
-------------- --------------
-------------- --------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1995
--------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . 2,633,349 $ 62,487,186 4,842,544 $ 108,140,650
Fund shares issued to shareholders
in reinvestments of distributions . . . . . 143,096 3,381,346 548,366 12,360,832
Fund shares redeemed . . . . . . . . . . . . . . (1,423,906) (33,977,258) (2,298,035) (51,474,111)
----------- ------------- ---------- -------------
Net increase (decrease). . . . . . . . . . . . . 1,352,539 $ 31,891,274 3,092,875 $ 69,027,371
----------- ------------- ---------- -------------
----------- ------------- ---------- -------------
</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>
1996* 1995 1994 1993 1992 1991
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . $ 23.51 $ 22.53 $ 22.76 $ 21.50 $ 19.33 $ 14.99
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .66 1.32 1.25 1.05 1.08 1.11
Net realized and unrealized gain (loss) on investments . . . 1.15 1.03 .40 2.68 2.16 4.36
------- ------- ------- ------- ------- -------
Total income from investment operations. . . . . . . . . . . . 1.81 2.35 1.65 3.73 3.24 5.47
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.32) (1.35) (1.23) (1.04) (1.07) (1.13)
Net realized gain on investments . . . . . . . . . . . . . . -- -- (.45) (1.43) -- --
In excess of net realized gain on investments. . . . . . . -- -- (.20) -- -- --
Tax return of capital. . . . . . . . . . . . . . . . . . . -- (.02) -- -- -- --
------- ------- ------- ------- ------- -------
Total distributions. . . . . . . . . . . . . . . . . . . . (.32) (1.37) (1.88) (2.47) (1.07) (1.13)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . $ 25.00 $ 23.51 $ 22.53 $ 22.76 $ 21.50 $ 19.33
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . 7.77 10.87 7.24 17.42 17.29 37.08
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expense, net, to average net assets (b). . . . . 1.03 1.04 1.05 1.11 1.20 1.26
Operating expenses, gross, to average net assets (b) . . . 1.03 1.04 1.05 1.11 1.20 1.31
Net investment income to average net assets (b). . . . . . . 5.68 6.10 5.65 4.52 5.60 6.50
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . 35.46 23.49 45.84 58.38 19.72 13.28
Net assets, end of period ($000 omitted) . . . . . . . . . 343,267 290,990 209,208 145,167 75,902 42,771
Per share amount of fees reimbursed ($ omitted). . . . . . -- -- -- -- -- .0076
Average commission rate paid per share
of security ($ omitted) . . . . . . . . . . . . . . . . .0685 N/A N/A N/A N/A N/A
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
</TABLE>
8 Real Estate Securities Fund Specialty Funds
<PAGE>
(This page intentionally left blank)
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
COMMON STOCKS - 77.3%
ARGENTINA - 5.4%
Astra Cia Argentina de Petro 91,390 $ 217
Banco Frances del Rio la Plata - ADR 28,970 833
Capex SA Series A (a) 49,200 399
Central Costanera Class B 80,877 298
Central Puerto SA Class B 120,000 432
Ciadea SA (a) 54,901 382
Comercial de Plata (a) 231,100 717
Cresud SA (a) 349,500 699
Inversiones Y Representaciones 66,529 223
Inversiones Y Representaciones SA - GDR 6,224 210
Molinos Rio Plata Class B 42,840 450
Naviera Perez Companc Class B 263,256 1,725
Perez Companc SA Class B - ADR (a) 36,500 488
Siderar SA Series A (a) 222,000 571
Telecom Argentina Class B 87,122 410
Telefonica de Argentina Class B 150,000 444
Telefonica de Argentina Class B - ADR 45,600 1,351
Transportadora de Gas del Sur SA
Class B 280,000 674
Transportadora de Gas del Sur SA
Class B - ADR 25,600 314
YPF Sociedad Anonima Class D - ADR 89,100 2,004
---------
12,841
---------
AUSTRALIA - 0.3%
Lihir Gold, Ltd. (a) 444,200 712
---------
712
---------
AUSTRIA - 0.6%
Julius Meinl International 5,626 178
Nafta (a) 5,110 400
Tabak AS (a) 3,500 865
---------
1,443
---------
BANGLADESH - 0.2%
Apex Tannery 4,600 66
Beximco Infusion 7,500 58
Eastern Housing, Ltd. 5,000 11
Mala Chemical & Pharmaceutical (a) 80,000 227
---------
362
---------
BERMUDA - 0.1%
Central European Media Enterprises, Ltd.
Class A (a) 14,600 350
---------
350
---------
BRAZIL - 4.0%
CEMIG SA - ADR 25,500 $ 734
Companhia Vale Do Rio Doce - ADR 11,400 229
Forca E Luz (Cia Paul) NPC (a) 14,187,000 1,300
Makro Atacadista SA - GDR (a) 44,300 419
Makro Atacadista SA - GDS (a) 60,000 567
Rhodia Ster SA NPV 129,820 80
Souza Cruz NPV 15,920 139
Telecommunicacoes de Minas
Gerais SA (a) 36,463 3
Telecommunications de Sao Paulo
SA (a) 19,113 3
Telecomunicacoes Brasileiras - ADR 40,820 2,842
Telecomunicacoes Brasileiras
- ADR (144A) 88 6
Telecomunicacoes Brasileiras NPV 40,323,900 2,369
White Martins SA NPV 719,259,392 1,010
---------
9,701
---------
CHILE - 3.5%
Administradora de Fondos de Pensiones
Provida SA - ADR 12,370 308
Antofagasta Holdings PLC 240,000 1,193
Banco O'Higgins - ADR 20,000 483
Chilgener SA - ADR 30,000 720
Compania de Telefonos (Chile) SA - ADR 18,322 1,798
Embotelladora Andina - ADR 20,000 735
Enersis SA - ADR 65,430 2,028
Laboratorio Chile SA - ADR 30,000 405
Madeco SA - ADR 7,942 223
Maderas Y Sinteticos Sociedad - ADR 25,400 451
Moneda Chile Fund (a) 5,125 41
Sociedad Quimica Y Minera
de Chile SA - ADR 2,030 109
---------
8,494
---------
CHINA - 0.4%
China Steel Corp. - ADR 9,720 248
Huaneng Power International, Inc.
- ADR Series N (a) 13,700 245
Luoyang Glasswork Class H 38,000 9
Shanghai Dazhong Taxi Class B 235,170 172
Yizheng Chemical Fibre Class H 800,000 176
---------
850
---------
COLOMBIA - 0.0%
Banco Industrial Colombiano SA - ADR 3,800 64
---------
64
---------
Specialty Funds Emerging Markets Fund 9
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
CROATIA - 0.2%
Pliva D. D. - GDR (a) 14,900 $ 592
---------
592
---------
CZECH REPUBLIC - 1.5%
CEZ (a) 7,900 314
Cokoladovny AS (a) 3,442 475
Czechoslovakian Value Fund (Units)(a) 24,000 222
Czechoslovakian Value Fund
1998 Warrants (a) 1,800 3
Elektrarny Opatovice AS 1,800 302
Komercni Banka AS - GDR (a) 7,600 198
Komercni Banka IF 19,900 558
Privat Fonds 16,900 335
SPT Telecom AS (a) 7,800 953
Vseobecny Investment Fund (a) 16,000 82
Vynosovy Investment Fund (a) 27,800 151
---------
3,593
---------
ECUADOR - 0.2%
La Cement National - GDR (a) 3,300 584
---------
584
---------
GREECE - 1.5%
AEGEK SA (a) 15,400 102
Alpha Credit Bank (Regd) 4,660 246
Athens Medical Center SA (Regd) 36,700 275
Ergo Bank (Regd) 29,660 1,634
Greek Progress Fund 11,510 102
Hellenic Bottling 12,902 429
Hellenic Telecommunication
Organization SA 20,000 332
Titan Cement Co. 9,260 458
---------
3,578
---------
HONG KONG - 1.0%
Alco Holdings 1,000,000 140
Alco Holdings, Ltd. 1998 Warrants (a) 100,000 2
Chen Hsong Holding 1,400,000 751
Formosa Fund - IDR (Regd)(a) 38 325
Guangdong Investment 204,000 129
Guangshen Railway Co., Ltd. - ADR (a) 10,300 197
Johnson Electric Holdings, Ltd. 87,000 196
M.C. Packaging 651,000 275
Shangri-La Asia, Ltd. 192,000 269
Zhenhai Refining & Chemical Co., Ltd.
Series H 620,000 $ 175
---------
2,459
---------
HUNGARY - 1.8%
Borsodchem Rt. - GDR 42,000 819
Borsodchem Rt. - GDR (144A) 7,700 152
Chemical Works of Gedeon Richter - ADR 29,952 1,483
Egis Gyogyszergyar 16,000 956
Mol Magyar Olay-Es Gazipari - GDS (a) 80,000 848
---------
4,258
---------
INDIA - 3.0%
Ashok Leyland, Ltd. - GDR (a) 22,600 305
Bajaj Auto Ltd. - GDR 30,200 1,133
Genesis India Investment Co. (a) 95,742 1,029
Global Tele-Systems Group, Inc. (a) 525 9
Grasim Industries, Ltd. - GDS (a) 20,900 376
Hindalco Industries, Ltd. - GDR (a) 12,200 454
I.T.C., Ltd.- GDR (a) 35,100 369
Indian Hotels Co., Ltd. - GDR (a) 7,000 201
Indian Hotels Co., Ltd. - GDS (a) 12,500 359
Indian Petrochemicals - GDR 29,700 497
Indo Gulf Fertilizers & Chemicals - GDR 158,200 245
Perusahaan Persero Telekom - ADR 19,000 565
Raymond Woolen Mills, Ltd. - GDR (a) 10,200 207
Tata Engineering &
Locomotive Co., Ltd. (a) 13,800 248
Tata Engineering &
Locomotive Co., Ltd. - GDR (a) 46,300 833
Tube Investments of India - GDR 123,080 369
Videocon International - GDS 20,225 59
---------
7,258
---------
INDONESIA - 2.7%
Bimantara Citra (Alien Market) 199,500 251
Ciputra Development (Alien Market) 80,000 162
HM Sampoerna (Alien Market) 49,000 558
Indorama Synthetic (Alien Market) 900 2
Indosat (Alien Market) 140,000 471
Inti Indorayon Utama (Alien Market) 275,000 266
Kalbe Farma (Alien Market) 101,000 226
Matahari Putra Prima (Alien Market) 147,000 268
Modern Photo Film Co. (Alien Market) 35,000 150
Mulia Industrindo (Alien Market) 366,000 543
10 Emerging Markets Fund Specialty Funds
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Ometraco Corporation (Alien Market)
2000 Warrants (a) $ 75,000 $ 28
Ometraco Finance (Alien Market) 700,000 737
Pabrik Kertas Tjiwi Kimia (Alien Market) 29,436 30
Pakuwon Jati (Alien Market) 402,000 147
PT Aneka Kimia Raya (Alien Market) 108,500 177
PT Asahimas Flat Glass (Alien Market) 106,000 112
PT Sekar Bumi (Alien Market)(a) 71,500 43
Ramayana Lestari (Alien Market)(a) 540,000 745
Semen Cibinong (Alien Market) 357,100 767
Semen Gresik (Alien Market) 44,000 128
Smart (Sinar Mas) AG (Alien Market) 300,000 219
Tambang Timah - GDR 10,300 187
Unilever Indonesia (Alien Market) 19,000 281
---------
6,498
---------
ISRAEL - 0.4%
ECI Telecom, Ltd. 1,200 28
Elbit, Ltd. 60 4
Israel Chemicals, Ltd. (a) 74,400 62
Koor Industries, Ltd. 280 24
Koor Industries, Ltd. - ADR 20,200 348
Osem Investment, Ltd. (a) 10,000 59
Teva Pharmaceutical Industries, Ltd. 252 95
Teva Pharmaceutical Industries, Ltd. - ADR 10,350 391
---------
1,011
---------
LUXEMBOURG - 0.6%
Millicom International Cellular SA (a) 30,000 1,410
---------
1,410
---------
MALAYSIA - 6.8%
AMMB Holdings Berhad 22,318 313
Arab Malaysian Corp. Berhad 610,000 2,396
Arab Malaysian Finance (Alien Market) 40,000 175
DCB Holdings Berhad 326,000 1,117
DCB Holdings Berhad 1999 Warrants (a) 284,000 373
Edaran Otomobil 45,000 431
Hong Leong Industries Berhad 86,000 417
IJM Corp. Berhad 471,000 816
IND Oxygen, Inc. 696,000 965
Kian Joo Can Factory 68,000 373
Land & General Berhad 138,000 340
Linatex Process 137,500 772
Lion Corp. Berhad (a) 32,000 81
London & Pacific Insurance Co. Berhad 4,000 26
Malaysia Mining Corp. Berhad 162,000 $ 164
Malaysia Mining Corp. Berhad
1996 Rights (a) 97,200 13
Malaysia Mining Series A (a) 64,800 65
Malaysian Assurance Alliance Berhad 31,125 165
Malaysian International Shipping Corp.
(Alien Market) 87,000 270
Malaysian Tobacco 135,000 220
Matsushita Electric Co. Berhad (a) 17,000 174
Metacorp Berhad 149,000 430
Nestle Berhad 55,000 443
New Straits Times 143,000 745
Nylex Berhad (a) 83,000 319
OYL Industries Berhad 90,000 938
OYL Industries Berhad 1996 Rights (a) 9,000 40
Petronas Gas Berhad (a) 183,000 785
Petronas Gas Berhad 2000 Warrants (a) 11,000 24
Public Finance 1996 Rights
(Alien Market)(a) 120,000 23
Public Finance Berhad (Alien Market) 375,000 676
Renong Berhad 109,000 174
Resorts World Berhad 141,000 809
SAP Holdings Berhad 77,000 350
Sistem Televisyen Malaysia Berhad 130,000 267
Sistem Televisyen Malaysia Berhad
Series A (a) 130,000 246
Tanjong PLC 68,000 257
---------
16,192
---------
MEXICO - 7.4%
Alfa SA de CV Class A NPV 309,770 1,399
Cemex SA de CV Class B NPV 622,400 2,458
Cemex SA de CV NPV 140,640 504
Cifra SA de CV Class B NPV (a) 115,000 166
Cifra SA de CV Class C NPV (a) 97,960 140
Compania Cervecerias Unidas SA - ADR 18,600 432
Corporacion Industrial Sanluis SA
de CV - CPO (Units) 36,000 221
Desc SA de CV NPV Series C (a) 1,150 6
Desc Sociedad de Fomento Industrial
SA de CV Series B NPV (a) 55,200 298
Empresas ICA Sociedad - ADR (a) 44,000 611
Empresas la Moderna SA de CV - ADR 13,086 236
Empresas la Moderna SA de CV
Class A NPV 168,000 752
Fomento Economico Mexicano SA
de CV Series B NPV 231,000 664
Specialty Funds Emerging Markets Fund 11
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Grupo Carso Series A NPV (a) 51,000 $ 362
Grupo Casa Autrey SA de CV - ADR 11,000 237
Grupo Financiero Banamex AC
Series B NPV (a) 524,600 1,090
Grupo Financiero Banamex AC
Series L NPV (a) 232,828 442
Grupo Financiero Bancomer
Series B NPV (a) 330,000 144
Grupo Modelo SA Series C 58,000 271
Herdez Class B NPV 300,000 101
Industrias Penoles NPV 207,700 953
Kimberly-Clark, Mexico Class A NPV 59,000 1,077
Pan American Beverages, Inc. Class A 22,000 985
Sears Roebuck de Mexico
Series B - GDS (a) 21,000 95
Seguros Comercial America NPV
Series B (a) 870,000 274
Telefonos de Mexico SA Series L - ADR 93,450 3,130
Transportacion Maritima Mexicana
SA de CV - ADR Series A 80,000 509
Transportacion Maritima Mexicana
SA de CV - ADR Series L 28,100 206
---------
17,763
---------
MOROCCO - 0.3%
Banque Marocaine Du Commerce
Exterieur - GDR (a) 42,835 600
---------
600
---------
NETHERLANDS - 0.6%
Ceteco Holding NV CVA 25,618 1,397
---------
1,397
---------
PAKISTAN - 0.9%
Adamjee Insurance 5,250 21
Dewan Salmon Fibre 12,360 15
DG Kahn Cement 34,554 14
Engro Chemical 9,600 44
Hub Power Co. (a) 23,800 601
Hub Power Co. - GDR (a) 15,000 368
Hub Power, Ltd. - GDR (a) 1,300 32
Khadim Ali Shah 1,452 1
National Development Bank (a) 7,628 3
Nishat Textile (a) 19,904 8
Pakistan State Oil 60,906 719
Pakistan Telecommunications Corp. (a) 160,000 $ 182
Pakistan Telecommunications Corp.
- GDS (a) 1,200 143
---------
2,151
---------
PANAMA - 0.3%
Banco Latinoamericano de Exportaciones
SA Class E 14,000 788
---------
788
---------
PAPUA NEW GUINEA - 0.3%
Oil Search, Ltd. (Australia Regd) 700,000 699
---------
699
---------
PERU - 2.1%
Backus & Johnston Class T 200,205 253
Cementos Norte Pacasmayo SA Class T 143,700 247
Compania de Minas Buenaventura
Series A (a) 31,166 281
Compania de Minas Buenaventura
Series B (a) 10,401 102
Compania de Minas Buenaventura
Series B - ADR (a) 13,700 272
CPT Telefonica del Peru Class B 806,598 1,638
Credicorp, Ltd. 97,447 1,937
Minsur SA Class T (a) 33,400 299
---------
5,029
---------
PHILIPPINES - 4.1%
Aboitiz Equity Ventures (a) 805,960 151
Ayala Land, Inc. Class B 230,012 413
Bacnotan Consolidated Industries 141,867 666
Belle Corporation (a) 2,600,000 625
C & P Homes, Inc. 214,000 186
DMCI Holdings, Inc. (a) 430,000 308
Enron Global Power & Pipelines L.L.C. 35,000 849
Far East Bank & Trust Co. 20,000 702
Filinvest Land (a) 736,950 302
First Philippine Holdings Class B 203,814 498
JG Summit Holdings, Inc. Series B 868,000 325
Keppel Philippine Holdings Class B (a) 41,437 8
Manila Electric Co. Class B 110,300 1,158
Manila Mining Corp. Class B (a) 90,230,256 90
Metro Pacific Corp. Class A 1,399,568 417
Petron Corp. (a) 505,000 231
12 Emerging Markets Fund Specialty Funds
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Philippine Long Distance Telephone Co. 200 $ 12
Philippine Long Distance Telephone Co.
- ADR 28,900 1,680
Philippine Long Distance Telephone Co.
- GDS 700 38
Philippine National Bank (a) 36,600 611
Republic Glass Holdings Corp. 222,000 85
San Miguel Corp. Class B 82,500 284
SM Prime Holdings 450,000 116
---------
9,755
---------
POLAND - 0.7%
Bank Slaski SA 3,400 288
Banka Przemysl Handl (a) 4,830 348
Debica Series A (a) 7,500 182
E. Wedel SA (a) 9,990 448
Polifarb-Cieszyn SA (a) 52,377 266
Zywiec 1,390 108
---------
1,640
---------
PORTUGAL - 3.9%
Banco Totta e Acores (Regd) 14,707 288
Capital Portugal (a) 7,760 766
CEL CAT Fabrica Nacional de
Condutores Electricos SA (a) 7,200 127
Cimpor Cimentos de Portugal 13,400 279
Corp. Ind. Norte 6,300 166
Empresa Fabril de Maquinas
Electricas - Efacec (a) 54,500 512
Jeronimo Martins SGPS 9,880 890
Jornalgeste SGPS (a) 5,000 47
Portucel Industrial SA 158,500 1,016
Portugal Telecom SA 50,000 1,308
Portugal Telecom SA - ADR 13,100 344
Sonae Investimento 130,600 3,396
Unicer-Uniao Cervj (Regd) 9,000 160
---------
9,299
---------
RUSSIA - 0.7%
AO Mosenergo - ADR (a) 5,600 157
Lukoil Oil Co. - ADR 17,800 792
Russian Depositary Trust (a) 5 250
Russian Depositary Trust (144A)(a) 17 415
SFMT, Inc. (a) 2,000 33
---------
1,647
---------
SINGAPORE - 0.2%
Far East Levingston 98,000 $ 542
---------
542
---------
SOUTH AFRICA - 5.7%
Amalgamated Banks of South Africa 105,100 582
Anglo America Coal 2,183 156
Anglo America Corp. SA 10,500 665
Anglo American Gold Investment Co., Ltd. 1,000 87
Anglo American Industrial Corp. 2,110 85
Anglovaal Holdings, Ltd. (a) 3,000 109
Barlow, Ltd. 31,600 330
Clinic Holdings, Ltd. 219,100 263
De Beers Centenary AG 9,126 310
De Beers Consolidated Mines, Ltd. - ADR 4,957 167
Engen, Ltd. 50,881 346
Gencor, Ltd. 76,060 281
Gencor, Ltd. - ADR 54,679 202
Highstone Property 786,000 254
ISCOR 2,096,698 1,640
Kersaf Investments, Ltd. 22,200 227
Lonrho PLC 362,600 1,025
Malbak, Ltd. NPV 221,600 1,100
Nampak, Ltd. - ADR 19,260 79
Pepkor, Ltd. (a) 124,600 604
PepsiCo International, Inc. (a) 2,000 203
Polifin, Ltd. 1,603 3
Premier Group Holdings, Ltd. 110,247 159
Randgold & Exploration Co., Ltd. (a) 64,000 340
Rembrandt Group, Ltd. 120,752 1,134
Safmarine & Rennie Holdings, Ltd. 99,000 291
Sappi, Ltd. 35,500 392
Sasol NPV 145,994 1,584
Servgro International, Ltd. 41,700 245
Trans Natal Coal Corp., Ltd. 51,900 362
Zambia Consolidated Copper
Series B (UK Regd)(a) 43,846 59
Zambia Copper Investments
PLC (BR)(a) 369,265 271
---------
13,555
---------
SOUTH KOREA - 3.4%
Daewoo Securities (a) 4,457 104
Dong-Ah Construction - EDR (a) 11,800 244
Hankook Tire Manufacturing Co. New (a) 17 1
Hansol Paper Co. - GDS (a) 10,000 205
Hyundai Engineering & Construction (a) 452 19
Specialty Funds Emerging Markets Fund 13
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- --------
Hyundai Motor Co. - GDR (a) 27,700 $ 343
Korea Electric Power Corp. (a) 31,830 1,099
Korea Housing Bank New (a) 5,540 129
Korea Mobile Telecommunications Corp. 810 639
Kwang Ju Bank 21,744 196
Pohang Iron & Steel (a) 18,990 892
Samsung Co. 10,687 228
Samsung Corp. 1996 Rights (a) 10,687 3
Samsung Electronics Co. - GDR 8,284 416
Samsung Electronics Co., Ltd. New (a) 1,825 145
Samsung Electronics, Ltd. 1,919 161
Samsung Electronics, Ltd. - GDR (144A) 2,475 127
Samsung Electronics, Ltd. - GDR (144A)(a) 5,725 139
Samsung Electronics, Ltd. - GDS (144A) 34,049 826
Samsung Engineering & Construction (a) 34 1
Shin Han Bank 63,930 1,166
Ssangyong Cement Co., Ltd. (a) 9,300 222
Ssangyong Oil Refining Co., Ltd. (a) 24,620 571
Yukong, Ltd. 6,870 201
---------
8,077
---------
SPAIN - 0.3%
Quilmes Industrial (Regd) 63,100 647
---------
647
---------
SRI LANKA - 0.3%
Aitken Spence & Co. 15,865 43
Ceylon Theatre 6,830 43
Development Finance Corp. 84,999 461
Hayleys 15,200 51
John Keells Holdings, Ltd. 30,475 80
National Development Bank (a) 9,800 35
---------
713
---------
SWITZERLAND - 0.5%
Holderbank Financiere Glarus AG (BR) 1,392 1,113
---------
1,113
---------
TAIWAN - 3.7%
Advanced Semiconductor Engineering
- GDR (a) 53,470 461
Asia Cement Corp. - GDR 56,500 1,151
China Steel Corp. - GDS 71,300 1,818
Hocheng Group Corp. - GDR (a) 104,817 1,258
Microelectronics - GDS (a) 39,381 $ 207
President Enterprises - GDS (a) 78,500 1,590
ROC Taiwan Fund 86,100 979
Yageo Corp. - GDR (a) 190,529 1,381
---------
8,845
---------
THAILAND - 5.4%
Advanced Information Services
(Alien Market) 25,000 370
Ban Pu Coal (Alien Market) 20,922 603
Bangkok Bank (Alien Market) 38,100 516
Bangkok Insurance PLC (Alien Market) 5,900 111
Bank of Ayudhya (Alien Market) 109,000 601
Bank of Ayudhya, Ltd. 1996 Rights
(Alien Market)(a) 27,250 81
Central Pattana Public Co., Ltd. (a) 12,200 57
Central Pattana Public Co., Ltd.
(Alien Market) 45,500 212
Ch Karnchang Public Co., Ltd. (a) 13,900 96
Ch Karnchang Public Co., Ltd.
(Alien Market) 28,400 197
Dhana Siam Finance & Securities
(Alien Market)(a) 57,000 317
Electricity General Public Co. Ltd. (a) 12,210 41
Electricity Generating Public Co., Ltd.
(Alien Market) 85,300 297
Industrial Finance Corp. of Thailand
(Alien Market) 420,000 1,886
International Cosmetics PLC
(Alien Market) 29,000 228
Krung Thai Bank PLC (Alien Market)(a) 56,500 265
Land & House (Alien Market) 9,000 113
Lanna Lignite Public Co. (Alien Market) 18,600 163
Nation Publishing (Alien Market) 35,500 120
Peregrine (Alien Market)(Units) 72,700 490
Peregrine Bank - GDR 49,400 467
Peregrine Bank 2006 Warrants (a) 11,000 104
Peregrine Thailand Securities 25,000 579
Phatra Thanakit Co. (Alien Market) 50,400 351
Precious Shipping (Alien Market) 137,000 567
PTT Exploration & Production
Public Co., Ltd. (Alien Market) 26,100 382
Regional Container Line (Alien Market) 49,850 731
Sahaviriya Steel Industries
Public Co., Ltd. (Alien Market)(a) 168,000 109
Siam Cement Co. (Alien Market) 12,100 594
Siam Commercial Bank PLC
(Alien Market) 98,000 1,421
14 Emerging Markets Fund Specialty Funds
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- ---------
Thai Farmers Bank 43,300 $ 321
Thai Farmers Bank (Alien Market) 39,000 427
Thai Plastic & Chemical Co., Ltd.
(Alien Market) 31,000 137
Wong Paitoon Footwear (Alien Market) 68,700 36
---------
12,990
---------
TURKEY - 0.6%
Akbank T.A.S. (a) 62,500 8
Efes Sinai Yatirim (a) 268,800 18
EGE Biracilik Ve M 1,173,000 536
Erciyas Biracilik Ve Malt Sanayii - ADR 16,400 185
Koc Holding 202,800 49
T Garanti Bankasi Group (a) 3,816,000 261
T Sise Cam (a) 730,000 58
Tat Konserve Sanayii AS 141,816 33
Tat Konserve Sanayii AS
1996 Rights (a) 106,365 16
Tofas Turk Otomobil Fabrikasi AS - GDS 37,975 7
Trakya Cam Sanayii AS 1,144,234 62
Yapi Kredi Bankasi (a) 8,362,500 236
---------
1,469
---------
UNITED KINGDOM - 0.6%
Ashanti Goldfields, Ltd. - ADR (a) 34,000 672
Lonrho PLC 300,000 861
---------
1,533
---------
VENEZUELA - 0.7%
Electricidad de Caracas (Regd) 74,356 62
Mavesa SA - ADR (a) 76,875 298
Siderurgica Venezolana Sivensa - ADR 395,000 1,265
Venezolana de Ceme 3,564 7
---------
1,632
---------
ZIMBABWE - 0.4%
Delta Corp. 393,000 994
---------
994
---------
TOTAL COMMON STOCKS
(cost $168,501) 185,128
---------
CONVERTIBLE PREFERRED STOCKS - 0.0%
PHILIPPINES - 0.0%
Philippine Long Distance - GDS 2,800 $ 92
---------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $104) 92
---------
PREFERRED STOCKS - 10.4%
ARGENTINA - 0.3%
Quilmes Industrial Quinsa Societe - ADR 65,250 669
---------
669
---------
BRAZIL - 9.8%
Acos Especitabira NPV 113,311,200 328
Banco Bradesco SA NPV 456,961,216 3,731
Banco Itau SA (Regd) 809,000 329
Brahma (cia Cervej) NPV 1,493,000 891
Brasmotor SA NPV 4,575,000 1,431
Casa Anglo Bras SA NPV 2,524,000 138
CEMIG - ADR 25,623 717
CEMIG SA 44,753,776 1,190
Ceval Alimentos SA - ADR 10,700 113
Ceval Alimentos SA NPV 15,847,000 165
Cim Port Itau (Cia) 300,000 85
Companhia de Acos Especiais
Itabria - ADR 20,580 116
Companhia Energetica
de Sao Paulo - ADR (Regd)(a) 10,600 95
Companhia Energetica
de Sao Paulo NPV (a) 1,225,000 43
Coteminas (Cia Tec) NPV 3,027,505 1,194
Duratex SA (BR) 3,364,000 145
Electrobras (centr) Series B NPV 11,070,439 3,164
Industrias Klabin de Papel e
Celulose SA NPV (a) 704,928 892
Industrias Romi SA NPV 3,310,700 50
Iochpe Maxion SA - ADR (a) 50,100 163
Kepler Weber SA NPV 3,200 20
Lojas Americanas NPV 4,900,000 97
Lojas Renner SA NPV 6,000,000 317
Marco Polo SA Class B NPV 800,000 183
Metalurgica Schulz NPV 850,000 15
Petro Ipiranga (cia) NPV 79,100,000 1,134
Petrobras Distribuidora NPV 7,372,500 155
Petroleo Brasileiros SA NPV 9,118,866 1,121
Randon Participacoes SA 170,777,104 90
Refrigeracao Parana SA NPV 285,893,440 712
Specialty Funds Emerging Markets Fund 15
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
-------- ---------
Sadia Concordia SA NPV 635,000 $ 443
Telecomunicacoes Brasileiras NPV 27,535,542 1,922
Telecomunicacoes de Minas Gerais
Class B NPV 2,700,000 278
Telecomunicacoes de Sao Paulo NPV 1,726,000 370
Telecomunicacoes do Rio de Janeiro
SA NPV (A) 5,797,448 652
Vale Rio Doce (Cia) NPV 35,632 690
Weg SA NPV 630,000 299
---------
23,478
---------
GREECE - 0.0%
Delta Dairy 12,100 98
---------
98
---------
RUSSIA - 0.3%
Fleming Russia Securities Fund (a) 53,458 607
---------
607
---------
TOTAL PREFERRED STOCKS
(cost $21,503) 24,852
---------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
--------- -------
LONG-TERM INVESTMENTS - 1.8%
INDONESIA - 0.0%
Modernland Realty (conv.)
6.000% due 01/04/03 IDR 30 31
---------
31
---------
MALAYSIA - 0.3%
Telekom Malaysia Berhad (conv.)
4.000% due 10/03/04 $ 645 680
---------
680
---------
PHILIPPINES - 0.1%
Ayala Corp. (conv.)(a) 105 92
Metro Pacific Capital, Ltd. (conv.)(a)
2.500% due 04/11/03 105 116
---------
208
---------
SOUTH AFRICA - 0.0%
Sappi Bvi Finance (conv.)
7.500% due 08/01/02 $ 60 $ 55
---------
55
---------
SOUTH KOREA - 0.4%
Inkel Corp. (conv.)
0.750% due 12/31/03 250 138
Shinwon Corp. (conv.)
0.500% due 12/31/08 520 530
Ssangyong Oil Refining Co., Ltd. (conv.)
3.000% due 12/31/04 480 350
---------
1,018
---------
TAIWAN - 0.5%
Nan Ya Plastics Corp. (conv.)
1.750% due 07/19/01 655 707
Nan Ya Plastics Corp. (conv.)(144A)
1.750% due 07/19/01 50 54
United Microelectronics Corp., Ltd. (conv.)
1.250% due 06/08/04 205 261
United Microelectronics Corp., Ltd.
(conv.)(144A)
1.250% due 06/08/04 90 116
---------
1,138
---------
THAILAND - 0.4%
Bangkok Bank Public Co. (conv.)
3.250% due 03/03/04 690 778
Siam Sindhorn BVI, Ltd. (conv.)(a)
2.000% due 07/31/00 50 36
---------
814
---------
UNITED KINGDOM - 0.1%
Barlow International Investments (conv.)
7.000% due 09/20/04 245 301
---------
301
---------
TOTAL LONG-TERM INVESTMENTS
(cost $4,434) 4,245
---------
16 Emerging Markets Fund Specialty Funds
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) 00)
--------- -------
SHORT-TERM INVESTMENTS - 9.8%
UNITED STATES - 9.8%
Frank Russell Investment Company
Money Market Fund, due on demand (b) $ 23,574 $ 23,574
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $23,574) 23,574
---------
TOTAL INVESTMENTS
(identified cost $218,116)(c) - 99.3% 237,891
OTHER ASSETS AND LIABILITIES,
NET - 0.7% 1,642
---------
NET ASSETS - 100.0% $239,533
---------
---------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- ------------------------ -------- ----------
Basic Industries 11.8% $ 28,308
Capital Goods 6.0 14,460
Consumer Basics 8.2 19,558
Consumer Durable Goods 4.9 11,678
Consumer Non-Durables 2.7 6,413
Consumer Services 0.9 2,153
Energy 7.8 18,691
Finance 15.7 37,689
General Business 6.3 15,003
Miscellaneous 5.2 12,343
Shelter 2.8 6,874
Technology 1.5 3,585
Transportation 1.3 3,023
Utilities 12.6 30,294
Long-Term Investments 1.8 4,245
Short-Term Investments 9.8 23,574
-------- ----------
Total Investments 99.3 237,891
Other Assets and Liabilities, Net 0.7 1,642
-------- ----------
NET ASSETS 100.0% $ 239,533
-------- ----------
-------- ----------
% OF MARKET
NET VALUE
GEOGRAPHIC DIVERSIFICATION ASSETS (000)
- -------------------------- -------- ----------
Latin America 34.0% $ 81,393
Pacific Basin 29.9 71,600
Eurasia 19.3 46,120
Africa 6.3 15,204
United States (Short-Term Investments) 9.8 23,574
-------- ----------
Total Investments 99.3 237,891
Other Assets and Liabilities, Net 0.7 1,642
-------- ----------
NET ASSETS 100.0% $ 239,533
-------- ----------
-------- ----------
The accompanying notes are an integral part of the financial statements.
Specialty Funds Emerging Markets Fund 17
<PAGE>
EMERGING MARKETS FUND
FOREIGN CURRENCY EXCHANGE CONTRACTS (Note 2)
June 30, 1996 (Unaudited)
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
Unrealized
Contracts to In Exchange Appreciation
Deliver For Settlement (Depreciation)
(000) (000) Date (000)
- ----------- ------------- ---------- --------------
USD 1 GRD 351 07/01/96 $ --
USD 258 HKD 2,000 07/01/96 --
USD 148 KRW 119,550 07/01/96 (1)
USD 113 PTE 17,982 07/01/96 2
USD 52 THB 1,327 07/02/96 --
ARS 189 USD 189 07/01/96 --
CZK 4,811 USD 173 07/01/96 (2)
IDR 147,712 USD 63 07/01/96 --
IDR 12,150 USD 5 07/03/96 --
MYR 293 USD 118 07/01/96 --
PHP 8 USD -- 07/01/96 --
THB 328 USD 13 07/01/96 --
TRL 147,921 USD 2 07/01/96 --
--------
$ (1)
--------
--------
The accompanying notes are an integral part of the financial statements.
18 Emerging Markets Fund Specialty Funds
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $218,115,956)(Note 2) . . . . . . . . . . . . . . $ 237,891,041
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 764,730
Foreign currency holdings (identified cost $2,976,023) . . . . . . . . . . . . . . . . . 2,960,430
Foreign currency exchange spot contracts (cost $1,137,067)(Note 2) . . . . . . . . . . . 1,138,147
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,017,648
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,204,755
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 523,080
Foreign taxes recoverable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,612
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . 11,743
-------------
245,518,186
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,204,606
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . 242,300
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . . . . . . 273,218
Other accrued expenses and payables. . . . . . . . . . . . . . . . . . . 125,932
Foreign currency exchange spot contracts (cost $1,137,067)(Note 2) . . . 1,138,938 5,984,994
------------ -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 239,533,192
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 275,026
Accumulated distributions in excess of net realized gains. . . . . . . . . . . . . . . . (8,030,297)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,775,085
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . (29,327)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188,427
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227,354,278
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 239,533,192
-------------
-------------
Net asset value, offering and redemption price per share
($239,533,192 divided by 18,842,718 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . $12.71
-------------
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds Emerging Markets Fund 19
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,708,173
Dividends from Money Market Fund (Note 5). . . . . . . . . . . . . . . . . . . . . . . 784,610
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66,551
Less foreign taxes withheld. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (233,025)
------------
3,326,309
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,258,705
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316,123
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . 151,028
Bookkeeping service fees . . . . . . . . . . . . . . . . . . . . . . . . 33,081
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,435
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,174
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,464
Amortization of deferred organization expenses . . . . . . . . . . . . . 3,731
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,092
------------
Expenses before waivers. . . . . . . . . . . . . . . . . . . . . . . . . 1,841,833
Expenses waived (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . (4,501) 1,837,332
------------ ------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,488,977
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117,169
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . (344,828)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,820,620
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . 39,503
------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,632,464
------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . $ 27,121,441
------------
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
20 Emerging Markets Fund Specialty Funds
<PAGE>
EMERGING MARKETS FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six Months For the Year
Ended June 30, 1996 Ended
(Unaudited) December 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . $ 1,488,977 $ 1,276,932
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117,169 (6,504,249)
Foreign currency-related transactions. . . . . . . . . . . . . . . . (344,828) (805,707)
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,820,620 (5,221,432)
Foreign currency-related transactions. . . . . . . . . . . . . . . 39,503 88,862
-------------- ---------------
Net increase (decrease) in net assets resulting from operations. . . 27,121,441 (11,165,594)
Distributions to shareholders:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . (847,172) (461,248)
In excess of net investment income . . . . . . . . . . . . . . . . -- (226,144)
In excess of net realized gain on investments. . . . . . . . . . . -- (400,869)
Increase (decrease) in net assets from Fund share transactions . . . 40,585,874 57,655,780
-------------- ---------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . 66,860,143 45,401,925
Net assets at beginning of period. . . . . . . . . . . . . . . . . . 172,673,049 127,271,124
-------------- ---------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income of
$275,026 and accumulated distributions in excess
of net investment of $226,144, respectively). . . . . . . . . . . $ 239,533,192 $ 172,673,049
-------------- ---------------
-------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1995
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . . 5,185,617 $ 62,879,389 8,376,850 $ 94,656,077
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . 63,356 762,802 90,071 985,053
Fund shares redeemed . . . . . . . . . . . . . . (1,876,120) (23,056,317) (3,386,748) (37,985,350)
------------ ------------ ------------ ------------
Net increase (decrease). . . . . . . . . . . . . 3,372,853 $ 40,585,874 5,080,173 $ 57,655,780
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds Emerging Markets Fund 21
<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>
1996* 1995 1994 1993++
-------- -------- -------- --------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . $ 11.16 $ 12.25 $ 13.90 $ 10.00
-------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .09 .11 .15 .07
Net realized and unrealized gain (loss) on investments . . 1.51 (1.12) (1.24) 4.09
-------- -------- -------- --------
Total Income From Investment Operations. . . . . . . . . . . 1.60 (1.01) (1.09) 4.16
-------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.05) (.03) (.10) (.07)
In excess of net investment income . . . . . . . . . . . . -- (.02) (.10) (.01)
Net realized gain on investments . . . . . . . . . . . . . -- -- (.31) (.18)
In excess of net realized gain on investments. . . . . . . -- (.03) (.05) --
-------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . (.05) (.08) (.56) (.26)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . $ 12.71 $ 11.16 $ 12.25 $13.90
-------- -------- -------- --------
-------- -------- -------- --------
TOTAL RETURN (%)(a)(c) . . . . . . . . . . . . . . . . . . . 14.37 (8.21) (5.83) 41.83
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c). . . 1.75 1.75 .80 .80
Operating expenses, gross, to average net assets (b)(c). . 1.75 1.80 .83 1.60
Net investment income to average net assets (b)(c) . . . . 1.42 .88 1.10 1.33
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . 36.64 71.16 57.47 89.99
Net assets, end of period ($000 omitted) . . . . . . . . . 239,533 172,673 127,271 65,457
Per share amount of fees waived ($ omitted)(d) . . . . . . .0003 .0022 .0044 .0016
Per share amount of fees reimbursed ($ omitted)(d) . . . . -- .0032 .0017 .0420
Average commission rate paid per share
of security ($ omitted)(e) . . . . . . . . . . . . . . . .0012 N/A N/A N/A
</TABLE>
* For the six months ended June 30, 1996 (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, 1996 and December 31, 1993, are
annualized.
(c) For periods prior to April 1, 1995, fund performance, operating expenses,
and net investment income do not include any management fees paid to the
Manager or money managers. For periods thereafter, they are reported net of
investment management fees but gross of any investment services fees. See
Note 4.
(d) See Note 4 for current period amounts.
(e) In certain foreign markets the relationship between the translated U.S.
dollar price per share and commission paid per share may vary from that of
domestic markets.
22 Emerging Markets Fund Specialty Funds
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
-------- -------- ----------- ---------
<S> <C> <C> <C> <C>
MUNICIPAL BONDS - 81.3%
ALASKA - 2.5%
North Slope Borough, Alaska, Zero Coupon Series A, General Obligation (a) $ 500 0.000% 06/30/99 $ 434
North Slope Borough, Alaska, Zero Coupon Series A, General Obligation (a) 1,385 0.000 06/30/00 1,149
---------
1,583
---------
ARIZONA - 2.5%
Arizona State Transportation Board, Series A,
Special Obligations Revenue (pre-refunded 07/01/01) 1,425 6.450 07/01/06 1,550
---------
1,550
---------
CALIFORNIA - 9.0%
California Health Facilities Financing, Series D, Health Care Revenue (a) 500 5.600 07/01/97 509
California Health Facilities Financing, Series D, Health Care Revenue (a) 665 5.750 07/01/98 684
California State Public Works Lease, Series A,
State and Local Appropriation (a) 500 5.100 12/01/98 510
California State Public Works Lease, State and Local Appropriation (a) 600 5.250 12/01/98 614
California, State of, General Obligation (a) 850 6.100 11/01/01 907
Los Angeles County, California, California Transporation
Participation Certification, Series B, Tax Revenue 760 5.900 07/01/00 788
Sacramento, California Municipal Utility District, Series Z,
Utility Revenue (a) 1,000 6.000 07/01/01 1,062
San Diego County, California Transportation Commission,
Series A, Tax Revenue (a) 500 5.000 04/01/98 507
---------
5,581
---------
COLORADO - 2.5%
Denver, Colorado, City and County, General Obligation 500 5.950 08/01/97 511
Jefferson County, Colorado Participation Certificate, Series 1988,
Special Obligation Revenue (pre-refunded 12/01/96) 1,000 7.050 12/01/96 1,015
---------
1,526
---------
CONNECTICUT - 5.3%
Bridgeport, Connecticut, Series A, General Obligation (a) 1,150 5.250 09/01/99 1,170
Connecticut State Unemployment, Series A, Compensation Revenue (a) 2,125 5.000 11/15/99 2,155
---------
3,325
---------
DISTRICT OF COLUMBIA - 0.8%
District of Columbia, Series A, General Obligation (a) 500 7.250 06/01/98 525
---------
525
---------
</TABLE>
Specialty Funds Limited Volatility Tax Free Fund 23
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
-------- -------- ----------- ---------
<S> <C> <C> <C> <C>
GEORGIA - 0.8%
Atlanta, Georgia Airport Facilities Revenue (a) $ 500 5.500% 01/01/01 $ 514
---------
514
---------
ILLINOIS - 7.8%
Chicago, Illinois School Financial Authority, Series A,
State and Local Appropriation (a) 1,000 5.400 06/01/97 1,014
Chicago, Illinois, Series C, General Obligation (a) 1,500 6.250 10/31/01 1,600
Cook County, IIlinois, Series B, General Obligation (a) 1,000 5.100 11/15/99 1,015
Illinois Health Facilities Authority, Series C, Special Obligation
Revenue (pre-refunded 04/01/99) 500 7.500 04/01/18 548
Illinois, State of, General Obligation (pre-refunded 06/01/98) 625 5.800 06/01/98 643
---------
4,820
---------
IOWA - 1.7%
Iowa Student Loan Liquidity Corp., Series A, Student Loan Revenue 1,000 6.000 03/01/98 1,026
---------
1,026
---------
KENTUCKY - 1.7%
McCracken County, Kentucky Hospital Revenue,
Series A, Health Care Revenue (a) 1,000 5.700 11/01/00 1,036
---------
1,036
---------
LOUISIANA - 1.7%
Louisiana Public Facilities Authority Revenue, Health Care Revenue 500 5.500 10/15/99 513
Louisiana, State of, Series A, General Obligation (a) 500 6.000 08/01/00 524
---------
1,037
---------
MICHIGAN - 6.4%
Michigan Municipal Bond Authority Revenue, Series B,
State and Local Appropriation (a) 550 6.900 05/01/99 583
Michigan State Trunk Line, Series A, Special Obligation Revenue
(pre-refunded 08/15/99) 400 7.000 08/15/17 436
Michigan State Underground Storage Tank Assurance
Authority Revenue, Series I (a) 2,900 5.000 05/01/99 2,933
---------
3,952
---------
</TABLE>
24 Limited Volatility Tax Free Fund Specialty Funds
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
-------- -------- ----------- ---------
<S> <C> <C> <C> <C>
MINNESOTA - 6.1%
Minneapolis St. Paul, Minnesota Metropolitan Council, Series D,
General Obligation $ 535 5.900% 09/01/97 $ 548
Minnesota State Revenue, Series A, Health Care Revenue (a) 500 5.000 06/30/98 507
Minnesota State Revenue, Series A, Health Care Revenue (a) 1,500 5.000 06/30/99 1,520
Minnesota, State of, General Obligation 500 6.400 08/01/98 522
Minnesota, State of, General Obligation 700 5.600 10/01/99 724
---------
3,821
---------
NEW YORK - 4.5%
New York, New York, Series A, General Obligation 500 5.700 08/01/02 500
New York, New York, Series D, General Obligation 350 5.125 08/01/98 354
New York, New York, Series D, General Obligation 350 6.000 02/01/99 359
New York, New York, Series C, General Obligation 500 7.000 02/01/00 511
New York, New York, Series C, General Obligation 500 6.125 08/01/01 514
New York State Dormitory Authority Revenue, Series E,
State and Local Appropriation 500 7.300 07/01/99 532
---------
2,770
---------
PENNSYLVANIA - 2.5%
Lehigh County, Pennsylvania, Special Obligation Revenue
(pre-refunded 08/01/00) (a) 500 6.900 08/01/11 549
Pennsylvania State First Series, General Obligation (a) 500 5.250 05/15/99 510
Pennsylvania, State of, General Obligation 500 5.300 07/01/99 511
---------
1,570
---------
RHODE ISLAND - 2.4%
Rhode Island Housing & Mortgage Finance Authority,
Series A, Housing Revenue (a) 1,000 5.150 07/01/01 1,008
Rhode Island State Consolidated Capital Development,
Series B, General Obligation 500 6.000 05/15/97 509
---------
1,517
---------
SOUTH CAROLINA - 1.6%
Piedmont, South Carolina, Municipal Power Agency Service,
Series A, Utility Revenue (a) 500 5.700 01/01/98 511
South Carolina Public Service Authority Revenue, Series B,
Utility Revenue (a) 500 5.000 01/01/99 506
---------
1,017
---------
SOUTH DAKOTA - 1.1%
South Dakota State Lease Revenue, Series B,
State and Local Appropriation 650 5.700 09/01/97 663
---------
663
---------
</TABLE>
Specialty Funds Limited Volatility Tax Free Fund 25
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
-------- -------- ----------- ---------
<S> <C> <C> <C> <C>
TEXAS - 6.6%
Abilene, Texas, Health Facilities Development Corp.,
Medical Center A, Health Care Revenue (a) $ 500 5.100% 09/01/99 $ 508
Arlington, Texas Independant School District, General Obligation 600 5.150 02/15/99 610
Austin, Texas, Zero Coupon, General Obligation (a) 645 0.000 09/01/97 615
Austin, Texas, Zero Coupon, General Obligation (pre-refunded 09/01/97)(a) 30 0.000 09/01/97 29
Houston, Texas Water & Sewer System Revenue,
Special Obligation Revenue (pre-refunded 12/01/97) 780 8.000 12/01/07 839
Texas, State of, Series C, General Obligation 1,500 5.000 04/01/99 1,519
---------
4,120
---------
UTAH - 2.5%
Intermountain Power Agency, Series B, Utility Revenue 500 7.200 07/01/99 533
Intermountain Power Agency, Series C, Utility Revenue (a) 1,000 5.500 07/01/99 1,027
---------
1,560
---------
VIRGINIA - 2.0%
Virginia Public Building Authority Revenue, State and Local Apropriation 500 5.100 08/01/99 507
Virginia, State of, General Obligation 740 5.375 06/01/99 760
---------
1,267
---------
WASHINGTON - 9.3%
Clark County, Washington Public Utility District Number 1, Utility Revenue (a) 500 5.000 01/01/99 505
Washington State Public Power Supply System, Series B, Utility Revenue 650 7.200 07/01/99 691
Washington State Public Power Supply System, Series A, Utility Revenue 1,500 5.450 07/01/00 1,513
Washington, State of, Series C, General Obligation 2,000 5.500 07/01/99 2,052
Washington, State of, Series R, General Obligation 500 5.000 07/01/99 506
Washington, State of, Series R-92 B, General Obligation 500 5.750 09/01/97 510
---------
5,777
---------
TOTAL MUNICIPAL BONDS (COST $50,017) 50,557
---------
SHORT-TERM TAX-EXEMPT OBLIGATIONS - 18.2%
East Baton Rouge, Louisiana Pollution Control Revenue, daily demand (b) 4,200 3.600 11/01/19 4,200
Georgia State Hospital Financing Authority Revenue, daily demand (b) 100 3.600 03/01/01 100
Harris County, Texas Health Facilities Development Revenue, daily demand (b) 300 3.850 02/15/22 300
Jackson County, Mississippi Pollution Control Revenue, daily demand (b) 400 3.500 12/01/16 400
Jackson County, Mississippi Pollution Control Revenue, daily demand (b) 200 3.500 06/01/23 200
Lincoln County, Wyoming Pollution Control Revenue Project B, daily demand (b) 600 4.100 11/01/14 600
Perry County, Mississippi Pollution Control Revenue, daily demand (b) 3,605 3.550 03/01/02 3,605
</TABLE>
26 Limited Volatility Tax Free Fund Specialty Funds
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE MARKET
AMOUNT OF VALUE
(000) COUPON MATURITY (000)
-------- -------- ----------- ---------
<S> <C> <C> <C> <C>
Uinta County, Wyoming Pollution Control Revenue, daily demand (b) $1,500 4.050% 08/15/20 $ 1,500
Uinta County, Wyoming Pollution Control Revenue, daily demand (b) 400 3.600 12/01/22 400
---------
TOTAL SHORT-TERM TAX-EXEMPT OBLIGATIONS
(cost $11,305) 11,305
---------
TOTAL INVESTMENTS (identified cost $61,322)(c) - 99.5% 61,862
OTHER ASSETS AND LIABILITIES, NET - 0.5% 292
---------
NET ASSETS - 100.0% $62,154
---------
---------
</TABLE>
(a) Bond is insured by AMBAC, FGIC, or MBIA.
(b) Adjustable or floating rate security.
(c) See Note 2 for federal income tax information.
QUALITY RATINGS AS A % OF MARKET VALUE (UNAUDITED)
AAA 59%
AA 18
A 1
BBB 5
Cash Equivalents 17
--------
100%
--------
--------
ECONOMIC SECTOR EMPHASIS AS A % OF MARKET VALUE (UNAUDITED)
General Obligation 33%
Utility Revenue 10
Refunded 9
State and Community Lease 7
Health Care Revenue 5
Housing Revenue 2
Student Loan Revenue 2
Other 15
Cash Equivalents 17
--------
100%
--------
--------
The accompanying notes are an integral part of the financial statements.
Specialty Funds Limited Volatility Tax Free Fund 27
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
ASSETS
Investments at market (identified cost $61,321,745)(Note 2)...... $ 61,862,303
Cash............................................................. 98,031
Receivables:
Interest....................................................... 804,991
Fund shares sold............................................... 453,814
-------------
63,219,139
LIABILITIES
Payables:
Investments purchased............................. $ 1,010,341
Fund shares redeemed.............................. 6,457
Accrued fees to affiliates(Note 4)................ 30,445
Other accrued expenses............................ 17,440 1,064,683
------------ -------------
NET ASSETS....................................................... $62,154,456
-------------
-------------
NET ASSETS CONSIST OF:
Undistributed net investment income.............................. $ 210,930
Accumulated net realized gain (loss)............................. (1,245,374)
Unrealized appreciation (depreciation) on investments............ 540,557
Shares of beneficial interest.................................... 29,629
Additional paid-in capital....................................... 62,618,714
-------------
NET ASSETS $ 62,154,456
-------------
-------------
Net asset value, offering and redemption price per share
($62,154,456 divided by 2,962,932 shares of $.01 par value
shares of beneficial interest outstanding) $20.98
-------------
-------------
The accompanying notes are an integral part of the financial statements.
28 Limited Volatility Tax Free Fund Specialty Funds
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
INVESTMENT INCOME
Income:
Interest....................................................... $ 1,497,371
Expenses (Notes 2 and 4):
Management fees.................................... $ 155,767
Custodian fees..................................... 30,952
Transfer agent fees................................ 20,846
Professional fees.................................. 9,093
Registration fees.................................. 6,618
Trustees' fees..................................... 2,463
Miscellaneous...................................... 7,795 233,534
----------- ------------
Net investment income............................................ 1,263,837
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments........................ (36,969)
Net change in unrealized appreciation or depreciation
of investments................................................. (953,330)
------------
Net gain (loss) on investments................................... (990,299)
------------
Net increase (decrease) in net assets resulting
from operations................................................ $ 273,538
------------
------------
The accompanying notes are an integral part of the financial statements.
Specialty Funds Limited Volatility Tax Free Fund 29
<PAGE>
LIMITED VOLATILITY TAX FREE FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
------------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income...................... $ 1,263,837 $ 2,296,364
Net realized gain (loss) from investments.. (36,969) 20,010
Net change in unrealized appreciation
or depreciation of investments........... (953,330) 2,069,894
------------- -------------
Net increase (decrease) in net
assets resulting from operations.......... 273,538 4,386,268
Distributions to shareholders from
net investment income..................... (1,070,856) (2,311,453)
Increase (decrease) in net assets
from Fund share transactions.............. (885,793) 12,787,880
------------- -------------
INCREASE (DECREASE) IN NET ASSETS........... (1,683,111) 14,862,695
Net assets at beginning of period........... 63,837,567 48,974,872
------------- -------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment
income of $210,930 and $17,949
respectively)............................. $ 62,154,456 $ 63,837,567
------------- -------------
------------- -------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1996 ENDED
FUND SHARE TRANSACTIONS (UNAUDITED) DECEMBER 31, 1995
-------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . 690,905 $ 14,619,841 1,982,132 $ 41,531,111
Fund shares issued to shareholders in
reinvestments of distributions . . . . . 34,956 738,255 76,958 1,614,988
Fund shares redeemed . . . . . . . . . . . (767,814) (16,243,889) (1,445,790) (30,358,219)
----------- ------------ ---------- ------------
Net increase (decrease). . . . . . . . . . (41,953) $ (885,793) 613,300 $ 12,787,880
----------- ------------ ---------- ------------
----------- ------------ ---------- ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
30 Limited Volatility Tax Free Fund Specialty Funds
<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>
1996* 1995 1994 1993 1992 1991
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . $ 21.24 $ 20.48 $ 21.45 $ 21.03 $ 20.85 $ 20.49
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . .43 .81 .86 .94 1.01 1.17
Net realized and unrealized gain (loss) on investments . . . . (.33) .77 (.97) .42 .18 .35
-------- -------- -------- -------- -------- --------
Total Income from Investment Operations. . . . . . . . . . . . .10 1.58 (.11) 1.36 1.19 1.52
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . (.36) (.82) (.86) (.94) (1.01) (1.16)
In excess of net investment income . . . . . . . . . . . . . . -- -- -- (.00) -- --
-------- -------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . (.36) (.82) (.86) (.94) (1.01) (1.16)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . $ 20.98 $ 21.24 $ 20.48 $ 21.45 $ 21.03 $ 20.85
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . 0.49 7.81 (0.54) 6.58 5.85 7.64
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b) . . . . . . . . . .75 .74 .72 .75 .80 .84
Net investment income to average net assets (b). . . . . . . . 4.05 3.91 4.14 4.40 4.89 5.68
Portfolio turnover (b)(c). . . . . . . . . . . . . . . . . . . 75.77 73.91 71.71 24.05 18.21 129.12
Net assets, end of period ($000 omitted) . . . . . . . . . . . 62,154 63,838 48,975 51,211 38,399 26,173
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) Beginning in 1992, variable rate daily demand securities were excluded from
the portfolio turnover calculation.
Specialty Funds Limited Volatility Tax Free Fund 31
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
------- ------ -------- ---------
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT AGENCIES - 94.2%
Aid To Chile Guaranteed Note (LIBOR Floater)(a) $ 6,574 5.937% 06/01/05 $ 6,581
Aid To Sri Lanka Guaranteed Note (LIBOR Floater)(a) 4,000 5.981 06/15/12 4,044
Downey Savings & Loan Association 6,750 5.390 07/12/96 6,739
Federal Farm Credit Bank 3,000 4.950 03/03/97 2,993
Federal Farm Credit Bank 2,000 5.350 05/12/97 1,992
Federal Home Loan Bank (a) 3,350 5.100 07/08/96 3,350
Federal Home Loan Bank 1,000 6.140 07/08/96 1,000
Federal Home Loan Bank 1,225 8.000 07/25/96 1,227
Federal Home Loan Bank 1,500 5.715 08/23/96 1,500
Federal Home Loan Bank 2,000 4.500 09/23/96 1,997
Federal Home Loan Bank 2,000 5.550 12/27/96 2,000
Federal Home Loan Bank 6,000 5.250 02/07/97 5,998
Federal Home Loan Bank 5,000 5.265 03/13/97 4,999
Federal Home Loan Bank 2,000 4.250 06/30/97 1,966
Federal Home Loan Bank Discount Notes 50,000 5.520 07/01/96 50,000
Federal Home Loan Mortgage Corp. 2,000 4.290 10/07/96 1,993
Federal Home Loan Mortgage Corp. 1,900 7.880 12/20/96 1,920
Federal Home Loan Mortgage Corp. 1,000 7.860 01/21/97 1,014
Federal Home Loan Mortgage Corp. 1,000 4.780 02/10/97 998
Federal National Mortgage Association (MTN) 1,190 5.590 07/01/96 1,190
Federal National Mortgage Association (MTN) 2,175 8.150 08/12/96 2,181
Federal National Mortgage Association (MTN)(a) 5,000 5.280 08/30/96 5,000
Federal National Mortgage Association (MTN)(a) 5,000 5.180 11/20/96 4,998
Federal National Mortgage Association (MTN) 2,700 5.050 03/14/97 2,688
Federal National Mortgage Association (MTN)(a) 10,000 5.400 04/04/97 9,973
Federal National Mortgage Association (MTN) 3,550 6.750 04/22/97 3,577
Federal National Mortgage Association (MTN)(a) 3,460 5.450 06/02/99 3,427
Secondary Market Services 10,000 0.000 07/08/96 9,990
Student Loan Corp. 5,000 5.290 07/17/96 4,988
Student Loan Marketing Association 5,000 6.080 07/01/96 5,000
Tennessee Valley Authority 4,355 8.250 11/15/96 4,398
-------
TOTAL UNITED STATES GOVERNMENT AGENCIES
(cost $159,721) 159,721
-------
UNITED STATES GOVERNMENT TREASURIES - 5.4%
United States Treasury Notes 6,000 6.625 03/31/97 6,048
United States Treasury Notes 3,000 6.500 04/30/97 3,014
-------
TOTAL UNITED STATES GOVERNMENT TREASURIES
(cost $9,062) 9,062
-------
</TABLE>
Specialty Funds U.S. Government Money Market Fund 33
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
VALUE
(000)
---------
<S> <C>
TOTAL INVESTMENTS
(amortized cost $168,783)(b) - 99.6% $ 168,783
OTHER ASSETS AND LIABILITIES, NET - 0.4% 709
---------
NET ASSETS - 100.0% $ 169,492
---------
---------
</TABLE>
* 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.
The accompanying notes are an integral part of the financial statements.
34 U.S. Government Money Market Fund Specialty Funds
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . $ 168,782,797
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,454,426
--------------
170,237,223
LIABILITIES
Payables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 716,142
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . 23,311
Other accrued expenses . . . . . . . . . . . . . . . . . . . . 5,273 744,726
------------- --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 169,492,497
--------------
--------------
NET ASSETS CONSIST OF:,
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,694,925
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167,797,572
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 169,492,497
--------------
--------------
Net asset value, offering and redemption price per share
($169,492,497 divided by 169,492,497 shares of $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . $1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds U.S. Government Money Market Fund 35
<PAGE>
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . $ 4,463,071
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . $ 201,634
Custodian fees . . . . . . . . . . . . . . 35,478
Transfer agent fees. . . . . . . . . . . . 128,288
Professional fees. . . . . . . . . . . . . 5,241
Registration fees. . . . . . . . . . . . . 5,314
Trustees' fees . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . 10,026
------------
Expenses before waivers. . . . . . . . . . . . 388,445
Expenses waived by Manager (Note 4). . . . . . (201,634) 186,811
------------ ------------
Net investment income. . . . . . . . . . . . . . . . . . . 4,276,260
------------
Net increase in net assets resulting from operations . . . $ 4,276,260
------------
------------
The accompanying notes are an integral part of the financial statements.
36 U.S. Government Money Market Fund Specialty Funds
<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, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
-------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income and net increase
in net assets resulting from operations . . . . . . . . . . . . . $ 4,276,260 $ 7,880,740
Distributions to shareholders from net investment income . . . . . . . . (4,276,260) (7,880,740)
Increase (decrease) in net assets from Fund share transactions . . . . . 19,551,097 37,864,438
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . 19,551,097 37,864,438
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . 149,941,400 112,076,962
-------------- --------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . $ 169,492,497 $ 149,941,400
-------------- --------------
-------------- --------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282,505,543 474,116,728
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . . 3,434,864 5,695,155
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . (266,389,310) (441,947,445)
-------------- --------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . 19,551,097 37,864,438
-------------- --------------
-------------- --------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds U.S. Government Money Market Fund 37
<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>
1996* 1995 1994 1993 1992 1991
------- ------- ------- ------- ------- -------
<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. . . . . . . . . . . . . . . . . . . . . .0264 .0580 .0380 .0284 .0347 .0573
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . (.0264) (.0580) (.0380) (.0284) (.0347) (.0573)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . 2.67 5.98 3.87 2.88 3.53 5.90
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average daily net assets (b)(c). . .23 .32 .57 .49 .41 .38
Operating expenses, gross, to average daily net assets (b)(c). .48 .51 .57 .49 .41 .38
Net investment income to average daily net assets (b). . . . . 5.29 5.82 3.91 2.85 3.47 5.74
Net assets, end of period ($000 omitted) . . . . . . . . . . . 169,492 149,941 112,077 95,410 153,976 182,747
Per share amount of fees waived ($ omitted)(c) . . . . . . . . .0012 .0019 -- -- -- --
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
(c) See Note 4 for current period amounts.
38 U.S. Government Money Market Fund Specialty Funds
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
ALABAMA - 1.3%
Mobile, Alabama Industrial Development Revenue, weekly demand $ 1,150 3.550%(2) 12/01/97 $ 1,150
---------
1,150
---------
ARIZONA - 1.0%
Maricopa County, Arizona Industrial Development Authority Revenue,
weekly demand 900 3.950(2) 10/01/04 900
---------
900
---------
CALIFORNIA - 2.3%
Apple Valley, California Unified School District, General Obligation 2,000 4.500 08/30/96 2,001
---------
2,001
---------
COLORADO - 4.5%
Colorado Multi-family Housing Financing Authority, Series A 3,100 3.425(2) 11/01/09 3,100
Denver, Colorado City and County Multi-family Housing Revenue 800 4.250(1) 12/01/09 800
---------
3,900
---------
FLORIDA - 3.6%
Boca Raton, Florida Industrial Development Authority Revenue, weekly demand 425 3.675(2) 12/01/14 425
Broward County, Florida Multi-family Housing Revenue, weekly demand 1,875 3.550(2) 12/01/10 1,875
Florida School Boards Association Lease Revenue (a) 200 6.700 07/01/96 200
Florida State Finance Department General Services (pre-refunded 11/01/96)(b) 500 7.600 11/01/07 516
St. John's County, Florida School District (a) 100 4.000 12/01/96 100
---------
3,116
---------
GEORGIA - 1.6%
Atlanta, Georgia Urban Residential Multi-family Mortgage Revenue 1,400 3.850(2) 12/01/08 1,400
---------
1,400
---------
HAWAII - 0.7%
Kauai County, Hawaii, General Obligation (a) 560 6.600 08/01/96 561
---------
561
---------
ILLINOIS - 17.2%
Chicago, Illinois Multi-family Housing Revenue 550 3.450(2) 11/01/10 550
Chicago, Illinois Park District, Series A 280 5.000(5) 10/30/96 281
Chicago, Illinois O'Hare International Airport Revenue, Series C 1,200 3.700(1) 12/01/17 1,200
Chicago, Illinois O'Hare International Airport Revenue, Series D 2,500 3.700(1) 12/01/17 2,500
Du Page County, Illinois High School District 500 4.000 12/01/96 501
East Peoria, Illinois Multi-family Housing Authority, weekly demand 1,915 3.550(2) 06/01/08 1,915
Specialty Funds Tax Free Money Market Fund 39
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Illinois Development Finance Authority, quarterly demand $ 700 3.800%(4) 08/01/25 $ 700
Illinois Development Finance Authority, Industrial Revenue, quarterly demand 3,000 3.800(2) 12/01/05 3,000
Illinois Development Finance Authority, Pollution Control Revenue 1,000 3.800(1) 12/01/08 1,000
Illinois Development Finance Authority, Pollution Control Revenue, Series A 1,500 3.500(2) 12/01/06 1,500
St. Clair County, Illinois Industrial Development Board Revenue,
weekly demand (a) 1,000 3.800(2) 10/01/15 1,000
Troy Grove, Illinois Revenue, weekly demand 750 4.868(2) 05/01/10 750
---------
14,897
---------
INDIANA - 4.9%
East Chicago, Indiana School City 1,000 4.000 12/31/96 1,001
Lake County, Indiana Judgment Funding, General Obligation 700 4.700 12/01/96 702
Valparaiso, Indiana Community Schools 1,550 4.100 12/31/96 1,553
Wayne Township, Indiana Metropolitan School District, General Obligation 1,000 4.000 07/01/96 1,000
---------
4,256
---------
KENTUCKY - 2.9%
Elsmere, Kentucky Industrial Building Revenue, semiannual demand 500 3.850(5) 02/01/06 500
Kentucky Development Finance Authority, Health Care Revenue, weekly demand 2,000 3.550(2) 09/01/06 2,000
---------
2,500
---------
LOUISIANA - 3.8%
Calcasieu Parish, Louisiana Sales Tax Revenue 2,770 3.350(2) 09/01/01 2,770
Louisiana State Recovery District Sales Tax Revenue (a) 500 7.375 07/01/96 500
---------
3,270
---------
MARYLAND - 1.9%
Maryland State Department of Transportation 225 6.200 11/01/96 227
Montgomery County, Maryland Industrial Development Revenue, monthly demand 800 3.550(3) 04/01/14 800
Prince George's County, Maryland, Housing Authority Mortgage Revenue 450 3.425(2) 10/01/07 450
Washington Suburban Sanitation District Maryland (pre-refunded 01/01/97)(b) 200 7.250 01/01/03 208
---------
1,685
---------
MICHIGAN - 11.4%
Lansing, Michigan Economic Development Corp., semiannual demand 2,000 3.700(5) 05/01/15 2,000
Livonia, Michigan Economic Development Corp., semiannual demand 310 3.800(5) 11/15/04 310
McDonald Tax-Exempt Mortgage Bond Trust, thirteen-month demand 174 4.250(7) 01/15/09 174
Michigan State Job Development Authority Revenue 1,100 3.750(3) 11/01/14 1,100
Michigan State Job Development Authority Revenue, weekly demand 875 3.750(2) 10/01/08 875
Michigan State Strategic Fund Revenue, weekly demand 2,370 3.465(2) 11/01/01 2,370
University of Michigan, University Revenue, Series A 3,100 3.550(1) 12/01/27 3,100
---------
9,929
---------
40 Tax Free Money Market Fund Specialty Funds
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
MINNESOTA - 4.0%
Mendota Heights, Minnesota Commercial Development $ 1,630 3.500%(2) 12/01/15 $ 1,630
Minneapolis, Minnesota General Obligation, weekly demand 1,300 3.350(2) 12/01/05 1,300
Minnesota State, Housing Finance Agency, Single-family
Housing Revenue, Series M, annual demand 500 3.500(6) 07/01/25 500
---------
3,430
---------
MISSISSIPPI - 1.2%
DeSoto County, Mississippi Industrial Development Revenue, weekly demand 1,000 4.868(2) 12/01/08 1,000
---------
1,000
---------
MISSOURI - 3.1%
Kansas City, Missouri Industrial Development Authority Revenue, weekly demand 2,025 3.650(2) 08/01/18 2,025
St. Louis, Missouri Industrial Development Authority Revenue 700 3.850(2) 08/30/97 700
---------
2,725
---------
NEBRASKA - 2.1%
Douglas County, Nebraska School District 17 715 4.000(8) 01/15/97 715
Oshkosh, Nebraska Industrial Development Revenue, semiannual demand 1,110 3.800(5) 12/01/96 1,110
---------
1,825
---------
NEW MEXICO - 0.7%
Albuquerque, New Mexico Storm Sewer (pre-refunded 07/01/96) 400 6.625 07/01/98 400
New Mexico State Severance Tax, Series B 185 5.750 07/01/96 185
---------
585
---------
New York - 0.2%
New York State Power Authority Revenue, Series T 200 6.900 01/01/97 203
---------
203
---------
OHIO - 11.7%
Buckeye, Ohio Tax-Exempt Mortgage Bond Trust, semiannual demand 505 3.800(5) 02/01/05 505
Cincinnati & Hamilton County, Ohio Port Authority, quarterly demand 260 3.600(4) 09/01/99 260
Citizens Federal Tax-Exempt Mortgage Bond Trust, semiannual demand 75 3.450(5) 09/01/08 75
Clark County, Ohio Hospital Improvement Revenue, semiannual demand 430 3.650(5) 04/01/09 430
Clermont County, Ohio Economic Development Revenue,
semiannual demand 215 3.900(5) 05/01/12 215
Cuyahoga County, Ohio Industrial Development Revenue, semiannual
demand 230 3.650(5) 06/01/99 230
Franklin County, Ohio Industrial Development Revenue, semiannual demand 325 3.900(5) 04/01/15 325
Specialty Funds Tax Free Money Market Fund 41
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Franklin County, Ohio Industrial Development Revenue, semiannual demand $ 170 3.650%(5) 11/01/15 $ 170
Greater Cleveland Regional Transportation Participation Certificates (a) 150 9.100(4) 07/01/96 150
Mahoning County, Ohio Industrial Development Revenue, Project A,
weekly demand 15 3.500(2) 10/01/00 15
Mahoning County, Ohio Industrial Development Revenue, Project B,
weekly demand 65 3.500(2) 10/01/00 65
McDonald Tax Exempt Mortgage Bond Trust, thirteen-month demand 812 4.250(7) 01/15/09 812
Montgomery County, Ohio, Economic Development Authority,
semiannual demand 460 3.800(5) 12/15/04 460
Ohio State Economic Development Revenue 795 3.600(5) 03/01/98 795
Ohio State Economic Development Revenue 1,000 3.550(2) 10/01/98 1,000
Ohio State Higher Educational Facilities Community College Revenue 700 3.450(2) 09/01/20 700
Scioto County, Ohio Health Care Facilities, semiannual demand 725 3.650(5) 12/01/15 725
Stark County, Ohio Health Care Facilities, semiannual demand 1,710 3.350(5) 09/15/16 1,710
Trumbull County, Ohio Correctional Facility, General Obligation 1,000 4.070 04/10/97 1,002
Trumbull County, Ohio Industrial Development Revenue Refunding,
weekly demand 555 3.500(2) 04/01/04 555
---------
10,199
---------
OKLAHOMA - 3.6%
Creek County, Oklahoma Industrial Development Authority Revenue,
semiannual demand 1,405 3.800(5) 12/01/05 1,405
Muskogee, Oklahoma, Industrial Development Revenue 890 3.700(2) 12/01/15 890
Norman, Oklahoma Utilities Authority Revenue (a) 300 3.625 11/01/96 300
Tulsa County, Oklahoma Industrial Authority Healthcare Revenue 550 4.000 12/15/96 551
---------
3,146
---------
OREGON - 3.5%
Port of Portland, Oregon Public Grain Elevator Revenue 3,075 3.550(2) 12/01/14 3,075
---------
3,075
---------
PENNSYLVANIA - 4.1%
Commonwealth Tax-Exempt Mortgage Bond Trust, semiannual demand 755 3.850(5) 11/01/05 755
McDonald Tax Exempt Mortgage Bond Trust, thirteen-month demand 174 4.250(7) 01/15/09 174
Pennsylvania State Higher Education Revenue 810 3.300(8) 06/01/07 810
Schuylkill County, Pennsylvania Industrial Development 1,000 3.850(1) 11/01/09 1,000
York County, Pennslyvania Industrial Development Authority 775 3.450(2) 07/01/09 775
---------
3,514
---------
SOUTH DAKOTA - 2.1%
Sioux Falls, South Dakota Industrial Development Revenue, weekly demand 1,835 3.600(2) 06/01/06 1,835
---------
1,835
---------
42 Tax Free Money Market Fund Specialty Funds
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
<CAPTION>
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
TENNESSEE - 2.7%
Franklin County, Tennessee Health and Education Facilities, monthly demand $ 1,500 3.750%(3) 09/01/10 $ 1,500
Shelby County, Tennessee, Health, Education, and Hospital Facility
Revenue (a) 845 3.800 08/01/96 845
---------
2,345
---------
TEXAS - 0.1%
Texas State Tax and Revenue Anticipation Notes, Series A 100 4.750 08/30/96 100
---------
100
---------
UTAH - 0.4%
Salt Lake City, Utah Industrial Development Revenue 350 3.550(2) 12/01/14 350
---------
350
---------
VIRGINIA - 2.9%
Hampton, Virginia Redevelopment and Housing Revenue, Series A 1,400 3.425(2) 12/01/06 1,400
Norfolk, Virginia, Industrial Development Authority Revenue 1,075 3.425(2) 03/01/16 1,075
---------
2,475
---------
WASHINGTON - 0.7%
Student Loan Finance Association, Washington 200 3.700(2) 01/01/01 200
Washington State Nonprofit Housing Revenue 200 3.700(1) 07/01/11 200
Washington, State of, Motor Vehicle Fuel, Series E, General Obligation
(pre-refunded 09/01/96)(b) 200 8.000 09/01/05 202
---------
602
---------
WEST VIRGINIA - 2.3%
Charleston, West Virginia Building Community Parking Facility Revenue,
weekly demand 2,000 3.250(2) 12/01/16 2,000
---------
2,000
---------
Total Investments (amortized cost $88,974)(c) - 102.5% 88,974
Other Assets and Liabilities, Net - (2.5)% (2,156)
---------
Net Assets - 100.0% $ 86,818
---------
---------
</TABLE>
(a) Bond is insured by AMBAC, FGIC, or MBIA.
(b) Pre-refunded: These bonds are collateralized by U.S. Treasury securities,
which are held in escrow by a trustee and used to pay principal and
interest in the tax-exempt issue and to retire the bonds in full at the
earliest refunding date. The rated noted is for descriptive purposes;
effective yield may vary.
(c) The cost for federal income tax purposes is the same as shown above.
Specialty Funds Tax Free Money Market Fund 43
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 1996 (Unaudited)
* 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) Eight-month
(7) Thirteen-month
(8) Annual
QUALITY RATINGS AS A % OF MARKET VALUE (UNAUDITED) ++
VMIG1 or SP-1 98%
P2 2
-----------
100%
-----------
-----------
ECONOMIC SECTOR EMPHASIS AS A % OF MARKET VALUE (UNAUDITED)
Manufacturing 26%
Housing Revenue 16
Healthcare Revenue 11
Education Revenue 6
Municipal Cash Flow Note 6
Airline Facility 4
General Obligation 4
Public Facility 4
Real Estate 4
Special Tax 4
Agriculture 3
Pollution Control Revenue 3
Revenue Other 3
Bond Anticipation Notes 2
Refunded 2
Chemical/Fuel 1
Transportation Revenue, 1
-----------
100%
-----------
-----------
++ VMIG1: The highest short-term municipal note credit rating given by Moody's
Investors Services to notes with a demand feature which are of the
"best quality."
SP-1: The highest short-term municipal note credit rating given by
Standard & Poor's Corporation to notes with a "very strong or strong
capacity to pay principal and interest."
P2: The second highest tax-exempt commercial paper rating given by
Moody's Investors Services to commercial paper with a "strong
capacity for repayment."
The accompanying notes are an integral part of the financial statements.
44 Tax Free Money Market Fund Specialty Funds
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . $ 88,973,975
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 688,723
--------------
89,662,698
LIABILITIES
Payables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 229,320
Investments purchased. . . . . . . . . . . . . . . . . . . . . . 2,576,506
Accrued fees to affiliates (Note 4). . . . . . . . . . . . . . . 27,708
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . 10,956 2,844,490
------------ --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 86,818,208
--------------
--------------
NET ASSETS CONSIST OF:
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 868,182
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,950,026
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 86,818,208
--------------
--------------
Net asset value, offering and redemption price per share
($86,818,208 divided by 86,818,208 shares $.01 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . $ 1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds Tax Free Money Market Fund 45
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,590,078
Expenses (Notes 2 and 4):
Management fees. . . . . . . . . . . . . . . . . . . . . . . . . $ 106,599
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . 25,820
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . 29,902
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . 5,337
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . 2,464
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . 7,169 177,291
------------ --------------
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,412,787
--------------
Net Increase in net assets resulting from operations . . . . . . . . . . . . . . . $ 1,412,787
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
46 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, 1996 Ended
(Unaudited) December 31, 1995
INCREASE (DECREASE) IN NET ASSETS ------------------- -----------------
<S> <C> <C>
Operations:
Net investment income and net increase
In net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . . . $1,412,787 $3,173,244
Distributions to shareholders from net investment income . . . . . . . . . . . . . . . (1,412,787) (3,173,244)
Increase (decrease) in net assets from fund share transactions . . . . . . . . . . . . 8,818,550 (22,819,224)
------------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . 8,818,550 (22,819,224)
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . 77,999,658 100,818,882
------------------- -----------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $86,818,208 $77,999,658
------------------- -----------------
------------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS)
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,458,518 133,513,901
Fund shares issued to shareholders
in reinvestments of distributions. . . . . . . . . . . . . . . . . . . . . . . . . 381,753 868,416
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (75,021,721) (157,201,541)
------------------- -----------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,818,550 (22,819,224)
------------------- -----------------
------------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Specialty Funds Tax Free Money Market Fund 47
<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>
1996* 1995 1994 1993 1992 1991
------- ------- ------- ------- ------- -------
<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 . . . . . . . . . . . . . . . . . . . . . .0165 .0370 .0279 .0251 .0304 .0473
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . (.0165) (.0370) (.0279) (.0251) (.0304) (.0473)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . 1.66 3.76 2.83 2.55 3.09 4.84
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average daily net assets (b) . . . . . .41 .48 .40 .43 .45 .45
Operating expenses, gross, to average daily net assets (b) . . . . .41 .48 .40 .43 .45 .46
Net investment income to average daily net assets (b). . . . . . . 3.30 3.69 2.84 2.52 3.03 4.73
Net assets, end of period ($000 omitted) . . . . . . . . . . . . . 86,818 78,000 100,819 68,154 73,203 61,288
Per share amount of fees reimbursed ($ omitted). . . . . . . . . . -- -- -- -- -- .0001
</TABLE>
* For the six months ended June 30, 1996 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended June 30, 1996 are annualized.
48 Tax Free Money Market Fund Specialty Funds
<PAGE>
FRANK RUSSEL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1996 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 23 different investment portfolios, referred to as "Funds,"
of which 22 are in operation as of June 30, 1996. These financial statements
report on five 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. It 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. As of July 8, 1996, the Real Estate Securities
and Emerging Markets Funds have available Class S and Class C shares. Class
C shares contain a 12b-1 distribution fee and a shareholder service fee.
Class S shares which are reported herein contain no such fees.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
estimates. The following is a summary of the significant accounting policies
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/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. Realized gains and losses from securities transactions are
recorded on the basis of identified cost incurred by each money manager. The
Funds, except 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. No activity occurred for the six
months ended June 30, 1996.
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
Specialty Funds Notes to Financial Statements 49
<PAGE>
FRANK RUSSEL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
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: Premiums and discounts 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. Therefore, no federal income tax
provision was required for the Funds. From November 1, 1995 to December 31,
1995, the Emerging Markets Fund incurred net realized capital losses of
$1,534,569. As permitted by tax regulations, the Emerging Markets Fund
intends to elect to defer these losses and treat them as arising in the year
ending December 31, 1996.
At December 31, 1995, certain Funds had net tax basis capital loss
carryforwards 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 carryforwards and expiration dates are
as follows:
<TABLE>
<CAPTION>
12/31/96 12/31/97 12/31/98 12/31/99 12/31/02 12/31/03 TOTALS
---------- ---------- --------- --------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Real Estate Securities $ -- $ -- $ -- $ -- $ -- $ 2,387,399 $ 2,387,399
Emerging Markets -- -- -- -- -- 5,631,976 5,631,976
Limited Volatility Tax Free 238,975 103,283 26,604 383,404 345,504 110,634 1,208,404
U.S. Government
Money Market -- -- -- -- 1,309 4,913 6,222
</TABLE>
The aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of June 30, 1996 were as follows:
<TABLE>
<CAPTION>
NET
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
Real Estate Securities $ 312,873,289 $ 35,412,887 $ (4,247,801) $ 31,165,086
Emerging Markets 218,630,555 35,152,313 (15,891,827) 19,260,486
Limited Volatility Tax Free 61,321,746 583,207 (42,650) 540,557
</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 monthly for the Limited
Volatility Tax Free Fund; quarterly for the Real Estate Securities Fund; and
annually for the Emerging Markets Fund. The U.S. Government Money Market and
Tax Free Money Market Funds 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 gain
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.
50 Notes to Financial Statements Specialty Funds
<PAGE>
FRANK RUSSEL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
The following reclassifications have been made to reflect activity for the
six months ended June 30, 1996:
UNDISTRIBUTED ACCUMULATED ADDITIONAL
NET INVESTMENT NET REALIZED PAID-IN
INCOME GAIN (LOSS) CAPITAL
-------------- ------------ ----------
Real Estate Securities $ -- $ (114) $ 114
Emerging Markets (140,635) 115,780 24,855
Limited Volatility Tax Free -- 162,781 (162,781)
EXPENSES: Most expenses can be directly attributed to the individual Funds.
Expenses which cannot be directly attributed are allocated among all funds
principally based on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: Organization and initial registration costs
of the Emerging Markets 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 a 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) of the underlying securities at Fedwire closing
time 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 Emerging Markets
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 period-end, as a
result of changes in the exchange rates.
It is not practical to isolate that portion of the results of operations of
the Emerging Markets Fund that arises as a result of changes in exchange
rates from that portion that arises 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 Funds' Prospectus and Statement
of Additional Information, certain 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.
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 their 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
Specialty Funds Notes to Financial Statements 51
<PAGE>
FRANK RUSSEL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
purchasing certain instruments, Funds may more effectively achieve the
desired portfolio characteristics that assist them in meeting their
investment objectives. Depending on how the derivatives are structured and
utilized, 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, the
Emerging Markets Fund may enter into foreign currency exchange spot
contracts and forward foreign currency exchange contracts ("contracts").
Additionally, from time to time the Emerging Markets 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 its contracts. Realized gains or losses arising from such
transactions are included in net realized gain (or loss) from foreign
currency-related transactions. Open contracts at June 30, 1996, are
presented on the Statement of Net Assets.
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, 1996, purchases and sales
of investment securities excluding U.S. Government and Agency obligations,
short-term investments, and repurchase agreements were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES PURCHASES SALES
------------- ------------ -------------- ------------
<S> <C> <C> <C> <C> <C>
Real Estate Securities $ 102,061,505 $ 55,079,760 Limited Volatility $ 23,060,906 $ 33,830,646
Emerging Markets 86,515,742 38,592,356
</TABLE>
U.S. Government Money Market purchases and maturities of U.S. Government and
Agency obligations (excluding repurchase agreements) were $396,710,241 and
$289,443,000, respectively. There were no sales for the six months ended
June 30, 1996.
Tax Free Money Market purchases, sales and maturities of short-term tax
exempt obligations were $102,808,522, $77,010,000 and $13,865,000,
respectively.
4. RELATED PARTIES
Frank Russell Investment Management Company ("FRIMCo" or "Manager") operates
and administers all the Funds which comprise the Investment Company, and
manages the U.S. Government Money Market and the Money Market Funds (The
Money Market Fund is a series of the Investment Company that is not
presented in this semiannual report). FRIMCo is a wholly owned subsidiary of
Frank Russell Company, which researches and recommends to FRIMCo, and to the
Investment Company, one or more investment management organizations to
manage the portfolio of each Fund.
For the six months ended June 30, 1996, the management fee paid to the
FRIMCo, in accordance with the Investment Company's Management Agreement
with that firm, amounted to $3,044,570 before waivers. 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.
ANNUAL RATE ANNUAL RATE
------------- -----------
Real Estate Securities 0.85% U.S. Government Money Market 0.25%
Emerging Markets 1.20 Tax Free Money Market 0.25
Limited Volatility Tax Free 0.50
The management contract also provides that if any Fund's expenses (exclusive
of interest and taxes) exceed specified limits imposed by the Manager on an
annual basis, such excess will be paid by FRIMCo. Prior to May 1, 1996, the
Management Agreement provided that Emerging Markets Fund expenses (exclusive
of interest and taxes) exceeding 2.00% of its average
52 Notes to Financial Statements Specialty Funds
<PAGE>
FRANK RUSSEL INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS, CONTINUED
daily net assets, on an annual basis, would be reimbursed by FRIMCo.
Effective May 1, 1996, The Manager voluntarily agreed to waive a portion of
its 1.20% management fee, to the extent total expenses for the Fund exceed
1.95% of its average daily net assets on an annual basis. There were no
reimbursements or waivers for the six months ended June 30, 1996.
The Manager has voluntarily agreed to waive its 0.25% management fee for the
U.S. Government Money Market Fund. The amount of such waiver for the six
months ended June 30, 1996 was $201,634.
Fees for bookkeeping services provided to the funds are paid or accrued to
Frank Russell Company. Frank Russell Company provides its Portfolio
Verification System ("PVS") to the Real Estate Securities and Emerging
Markets Funds, pursuant to a written Service Agreement. The PVS computerized
database system records detailed transactions data for each of the Funds
necessary to prepare various financial and Internal Revenue Service
accounting reports. Total fees for the six months ended June 30 1996 for the
Real Estate Securities and Emerging Markets Funds were $36,673 before
waivers. The Manager voluntarily agreed to waive $4,501 of these fees for
the Emerging Markets Fund. Effective May 1, 1996, The Manager discontinued
waiving these fees for the Emerging Markets Fund.
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, 1996
were $501,496.
ACCRUED FEES PAYABLE TO AFFILIATES AS OF JUNE 30, 1996 WERE AS FOLLOWS:
MANAGEMENT BOOKKEEPING TRANSFER
FEES SERVICE FEES AGENT FEES TOTALS
---------- ------------ ---------- ---------
Real Estate Securities $ 235,347 $ 1,523 $ 33,100 $ 269,970
Emerging Markets 230,012 17,638 25,568 273,218
Limited Volatility Tax Free 26,099 -- 4,346 30,445
U.S. Government Money Market -- -- 23,311 23,311
Tax Free Money Market, 17,606 -- 10,102 27,708
---------- ---------- --------- ---------
$ 509,064 $ 19,161 $ 96,427 $ 624,652
---------- ---------- --------- ---------
---------- ---------- --------- ---------
The Investment Company pays each of its Trustees not affiliated with
FRIMCo a retainer of $20,000 per year plus out-of-pocket expenses. Total
trustee expenses were $54,206 for the six months ended June 30, 1996, and
were allocated to each Fund on a pro rata basis, including 17 other
affiliated funds not represented here.
Russell Fund Distributors, Inc. (the "Distributor"), a wholly owned
subsidiary of FRIMCo, is the principal Distributor of the Investment
Company shares. The Distributor receives no compensation from the
Investment Company for its services.
5. MONEY MARKET FUND
The Real Estate Securities and Emerging Markets 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, 1996, $38,937,000 of the Money Market Fund's net
assets represents investments by these Funds and $515,266,000 represents
the investments of other affiliated Funds not presented here.
6. DIVIDENDS
On July 1, 1996, the Board of Trustees declared the following dividends
from net investment income payable on July 10, 1996, to shareholders of
record on July 2, 1996:
Real Estate Securities $ 0.3442
Limited Volatility Tax Free 0.0682
Specialty Funds Notes to Financial Statements 53
<PAGE>
FRANK RUSSEL 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
George W. Weber, 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
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
REAL ESTATE SECURITIES
Cohen & Steers Capital Management, New York, NY
EMERGING MARKETS
Genesis Asset Managers Limited, London, England
J.P. Morgan Investment Management, Inc., New York, NY
Montgomery Asset Management, L.p., San Francisco, CA
LIMITED VOLATILITY TAX FREE
MFS Asset Management, Inc., 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, L.L.C., New York, NY
THIS REPORT IS PREPARED FORM 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 RUSSEL
INVESTMENT COMPANY. SUCH OFFERING IS MADE ONLY BY PROSPECTUS, WHICH
INCLUDES DETAILS AS TO OFFERING PRICE AND OTHER MATERIAL INFORMATION.
54 Manager and Money Managers Specialty Funds
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
[LOGO]
FRANK RUSSELL INVESTMENT COMPANY
909 A Street
Tacoma, WA 98402
206-627-7001
IN166(896)
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