<PAGE>
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x INSTITUTIONAL FUNDS x
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FRANK RUSSELL INVESTMENT COMPANY
2000 Semiannual Report
CLASS E, I, AND Y SHARES
EQUITY I FUND
EQUITY II FUND
EQUITY III FUND
EQUITY Q FUND
INTERNATIONAL FUND
FIXED INCOME I FUND
FIXED INCOME III FUND
CLASS C, E, AND S SHARES
EMERGING MARKETS FUND
REAL ESTATE SECURITIES FUND
SHORT TERM BOND FUND
APRIL 30, 2000
[LOGO OF FRANK RUSSELL]
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
Frank Russell Investment Company
is a "series mutual fund" with 29
different investment portfolios.
These financial statements report
on ten Funds, each of which has
distinct investment objectives and
strategies.
FRANK RUSSELL INVESTMENT MANAGEMENT COMPANY
Responsible for overall management
and administration of the Funds.
FRANK RUSSELL COMPANY
Consultant to Frank Russell
Investment Management Company.
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
SEMIANNUAL REPORT
APRIL 30, 2000 (UNAUDITED)
TABLE OF CONTENTS
Page
Equity I Fund. . . . . . . . . . . . . . . . . . . 2
Equity II Fund . . . . . . . . . . . . . . . . . . 18
Equity III Fund. . . . . . . . . . . . . . . . . . 38
Equity Q Fund. . . . . . . . . . . . . . . . . . . 50
International Fund . . . . . . . . . . . . . . . . 64
Fixed Income I Fund. . . . . . . . . . . . . . . . 82
Fixed Income III Fund. . . . . . . . . . . . . . . 102
Emerging Markets Fund. . . . . . . . . . . . . . . 126
Real Estate Securities Fund. . . . . . . . . . . . 142
Short Term Bond Fund . . . . . . . . . . . . . . . 150
Notes to Financial Statements. . . . . . . . . . . 162
Manager, Money Managers and Service Providers. . . 174
FRANK RUSSELL INVESTMENT COMPANY - INSTITUTIONAL FUNDS
Copyright (C) Frank Russell Company 2000. 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% off average managed assets will reduce a 10.0%
Semiannual return to 9.8%). The performance quoted represents past performance
and the investment return and principal value of an investment will fluctuate so
that shares, when redeemed, may be worth more or less than their original cost.
Investments in securities of non-US issuers and foreign currencies involve
investment risks different than those of US issuers; the Prospectus contains
further information and details regarding these risks. Russell Fund
Distributors, Inc., is the distributor of Frank Russell Investment Company.
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
COMMON STOCKS - 93.9%
AUTO AND TRANSPORTATION - 2.6%
AMR Corp. (a) 18,100 617
Arvin Industries, Inc. 2,400 52
AutoZone, Inc. 5,600 128
Bandag, Inc. 1,900 45
Boeing Co. 75,900 3,012
Borg-Warner Automotive, Inc. 4,000 167
Burlington Northern, Inc. 67,470 1,628
C.H. Robinson Worldwide, Inc. 2,200 110
CNF Transportation, Inc. 3,300 92
Continental Airlines, Inc. Class B (a) 40,400 1,616
Cooper Tire & Rubber Co. 10,000 135
Dana Corp. 8,300 252
Delphi Automotive Systems Corp. 25,217 482
Delta Air Lines, Inc. 41,100 2,168
Eaton Corp. 9,700 815
FedEx Corp. (a) 14,600 550
Ford Motor Co. 110,337 6,034
GATX Corp. 1,500 54
General Motors Corp. (a) 154,273 14,444
Genuine Parts Co. 5,410 142
Hunt (JB) Transportation
Services, Inc. 8,400 138
Kansas City Southern Industries, Inc. 5,500 395
KLM Royal Dutch Airlines (a) 37,900 647
Lear Corp. (a) 49,300 1,476
Meritor Automotive, Inc. 19,200 288
Navistar International Corp. 1,300 46
Northwest Airlines Corp. Class A (a) 53,300 1,316
PACCAR, Inc. 3,340 159
Ryder System, Inc. 1,700 38
Southwest Airlines Co. 7,400 160
Superior Industries International, Inc. 4,100 132
Trinity Industries, Inc. 900 20
TRW, Inc. 6,850 401
UAL Corp. (a) 48,530 2,809
Union Pacific Corp. 60,700 2,556
USFreightways Corp. 4,000 184
-----------
43,308
-----------
CONSUMER DISCRETIONARY - 12.3%
Abercrombie & Fitch Co. Class A 4,400 48
AC Nielsen Corp. 12,500 288
Alberto Culver Co. Class B 6,100 144
AMFM, Inc. (a) 35,200 2,336
Applebee's International, Inc. 3,600 131
AT&T Corp. - Liberty Media Group Class A
(a) 217,900 10,881
Avon Products, Inc. 4,500 187
Banta Corp. 5,000 98
Best Buy Co. 27,100 2,188
BJ's Wholesale Club, Inc. 1,500 53
Black & Decker Corp. 34,300 1,443
Brinker International, Inc. 10,200 325
Brunswick Corp. 20,800 399
Callaway Golf Co. 9,800 163
Carnival Corp. 11,575 288
Catalina Marketing Corp. (a) 2,310 234
CBS Corp. (a) 93,520 5,494
CEC Entertainment, Inc. (a) 3,400 102
Cendant Corp. 16,500 255
Circuit City Stores, Inc. 16,160 950
Clear Channel Communications,
Inc. (a) 47,742 3,437
Cost Plus, Inc. (a) 1,900 57
Costco Wholesale Corp. (a) 149,970 8,108
Darden Restaurants, Inc. 18,000 332
Delhaize America, Inc. 16,000 283
Disney (Walt) Co. 385,960 16,717
Donnelley (R.R.) & Sons Co. 28,500 606
Eastman Kodak Co. 50,800 2,842
EchoStar Communications Corp.
Class A 2,400 153
Energizer Holdings, Inc. (a) 12,499 213
Federated Department Stores, Inc. (a) 41,460 1,410
Fluor Corp. 13,600 456
Fortune Brands, Inc. 16,200 405
Four Seasons Hotels, Inc. 37,270 2,087
Furniture Brands International, Inc. 4,300 80
Gannett Co., Inc. 40,000 2,555
Gap, Inc. 117,700 4,325
Harrah's Entertainment, Inc. (a) 15,800 325
Hasbro, Inc. 11,700 186
Home Depot, Inc. (The) 400,358 22,445
Houghton Mifflin Co. 5,500 229
Infinity Broadcasting Corp.
Class A 3,800 129
Interpublic Group Cos., Inc. 17,100 701
Jack in the Box, Inc. (a) 7,570 185
JC Penney & Co., Inc. 25,060 346
Kelly Services, Inc. Class A 1,000 24
Kmart Corp. (a) 54,700 444
Knight-Ridder, Inc. 25,230 1,238
Kohl's Corp. (a) 136,200 6,538
La-Z-Boy Inc. 4,200 66
Lancaster Colony Corp. 1,500 39
Land's End, Inc. 2,600 110
Leggett & Platt, Inc. 6,200 133
Limited, Inc. (The) 25,600 1,157
Liz Claiborne, Inc. 6,700 310
Lowe's Cos., Inc. 95,740 4,739
</TABLE>
2 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
May Department Stores Co. 43,200 1,188
Maytag Corp. 3,700 127
McDonald's Corp. 38,100 1,453
McGraw-Hill, Inc. 7,500 394
MediaOne Group, Inc. (a) 159,300 12,047
MGM Grand, Inc. 6,600 195
Michaels Stores, Inc. (a) 4,300 170
Mirage Resorts, Inc. 8,600 175
Neiman Marcus Group, Inc. (The)
Class A 2,500 64
New York Times Co. Class A 157,500 6,487
Newell Rubbermaid, Inc. 3,100 78
NIKE, Inc. Class B 4,400 191
Office Depot, Inc. 3,600 38
Omnicom Group, Inc. 24,496 2,231
Pacific Sunwear of California (a) 1,900 65
PanAmSat Corp. 2,000 86
Park Place Entertainment Corp. (a) 50,700 650
Payless ShoeSource, Inc. (a) 4,100 226
Pier 1 Imports, Inc. 15,400 175
Pittston Brink's Group 6,600 108
Pixar, Inc. 100 4
Reynolds & Reynolds Co. Class A 1,600 38
Ross Stores, Inc. 4,000 83
Royal Caribbean Cruises, Ltd. 31,800 662
Russell Corp. 3,300 65
Scholastic Corp. (a) 1,600 75
Sears Roebuck & Co. 66,010 2,418
SFX Entertainment, Inc. (a) 75,800 3,155
Shaw Industries, Inc. 8,000 127
Stanley Works (The) 14,200 419
Starwood Hotels & Resorts Worldwide,
Inc. 3,100 88
Target Corp. 51,100 3,401
TeleTech Holdings, Inc. (a) 2,300 75
Tiffany & Co. 38,791 2,820
Time Warner, Inc. 153,724 13,826
Tommy Hilfiger Corp. (a) 38,400 338
Toys "R" Us, Inc. (a) 35,730 545
Tribune Co. 72,200 2,807
Tricon Global Restaurants, Inc. 12,300 420
Tupperware Corp. 10,500 198
UnitedGlobalCom, Inc. Class A 1,900 101
Univision Communications, Inc.
Class A 21,800 2,382
USA Networks, Inc. (a) 139,600 3,211
Valassis Communications, Inc. 5,100 174
Venator Group, Inc. (a) 41,700 495
Viacom, Inc. Class B (a) 139,000 7,558
Wal-Mart Stores, Inc. 336,510 18,634
Wallace Computer Services, Inc. 9,700 106
Washington Post Co (The) Class B 56 27
Wendy's International, Inc. 15,665 350
Westwood One, Inc. 1,400 49
Whirlpool Corp. 23,660 1,541
Young & Rubicam, Inc. 7,400 412
Zale Corp. (a) 44,910 1,853
-----------
204,022
-----------
CONSUMER STAPLES - 3.9%
Albertson's, Inc. 7,800 254
Anheuser-Busch Cos., Inc. 75,251 5,310
Bestfoods 23,600 1,186
Campbell Soup Co. 11,900 309
Church and Dwight Co., Inc. 4,200 75
Coca-Cola Co. (The) 61,703 2,904
Coca-Cola Enterprises, Inc. 68,400 1,458
Colgate-Palmolive Co. 100,130 5,720
ConAgra, Inc. 50,920 961
Coors (Adolph) Co. Class B 4,100 209
General Mills, Inc. 68,420 2,489
Gillette Co. (The) 8,800 326
Hannaford Brothers Co. 900 65
Heinz (H.J.) Co. 47,680 1,621
IBP, Inc. 35,470 585
Interstate Bakeries Corp. 3,800 48
Keebler Foods Co. 1,100 35
Kellogg Co. 12,100 296
Kimberly-Clark Corp. 95,114 5,523
Kroger Co. (The) (a) 50,600 939
McCormick & Co., Inc. 13,100 409
Nabisco Group Holdings Corp. 14,300 184
Pepsi Bottling Group, Inc. (The) 26,800 578
PepsiCo, Inc. 248,020 9,099
Philip Morris Cos., Inc. 189,760 4,151
Procter & Gamble Co. 21,699 1,294
Quaker Oats Co. 43,260 2,820
R.J. Reynolds Tobacco Holdings, Inc. 8,300 172
Ralston-Purina Group 98,600 1,744
Safeway, Inc. (a) 150,460 6,639
Sara Lee Corp. 48,400 726
Seagram Co., Ltd. 51,600 2,786
Suiza Foods Corp. 800 31
SuperValu, Inc. 14,300 296
SYSCO Corp. 53,200 2,002
Tyson Foods, Inc. Class A 13,200 138
UST Corp. 14,200 213
Walgreen Co. 49,700 1,398
</TABLE>
Equity I Fund 3
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Winn-Dixie Stores, Inc. 6,100 101
Wrigley (Wm.), Jr. Co. 2,600 188
-----------
65,282
-----------
FINANCIAL SERVICES - 14.9%
Aetna, Inc. 17,100 990
AFLAC, Inc. 12,200 596
Allmerica Financial Corp. 7,100 384
Allstate Corp. 97,600 2,306
Ambac Financial Group, Inc. 13,800 662
American Express Co. 22,500 3,376
American General Corp. 57,800 3,237
American International Group, Inc. 161,560 17,721
AmSouth Bancorp 78,750 1,147
AON Corp. 8,200 222
Apartment Investment & Management Co.
Class A (e) 11,100 441
Associates First Capital Corp. Class A 60,100 1,333
Astoria Financial Corp. 12,220 336
AXA Financial, Inc. 27,100 884
Bank of America Corp. 229,751 11,258
Bank of New York Co., Inc. 37,400 1,536
Bank One Corp. 85,900 2,620
BB&T Corp. 24,200 644
Bear Stearns Cos., Inc. 13,983 600
Block (H&R) Co., Inc. 9,900 414
Catellus Development Corp. (e) 3,700 48
Charter One Financial, Inc. 52,506 1,067
Chase Manhattan Corp. 170,784 12,307
Chubb Corp. (The) 13,620 867
CIGNA Corp. 82,380 6,570
Cincinnati Financial Corp. 11,700 472
CIT Group, Inc. 121,900 2,065
Citigroup, Inc. 693,726 41,233
CNA Financial Corp. (a) 4,420 136
Colonial BancGroup, Inc. 5,000 47
Comerica, Inc. 14,900 631
Commerce Bancshares, Inc. 24,871 766
Compass Bancshares, Inc. 4,700 87
Conseco, Inc. 198,200 1,078
Cornerstone Properties, Inc. 2,600 47
Countrywide Credit Industries, Inc. 8,630 238
Dime Bancorp, Inc. 3,400 64
Donaldson, Lufkin & Jenrette, Inc. 15,200 634
Dow Jones & Co., Inc. 42,600 2,764
Duke Realty Investments, Inc. (e) 18,300 397
Dun & Bradstreet Corp. 17,510 527
Edwards (A.G.), Inc. 6,500 245
Equity Office Properties Trust (e) 17,500 476
Equity Residential Properties Trust (e) 7,600 346
Erie Indemnity Co. Class A 1,400 41
Everest Re Group, Ltd. 5,600 164
Fannie Mae 196,625 11,859
Federal Home Loan Mortgage Corp. 103,200 4,741
FelCor Lodging Trust, Inc. (e) 5,200 102
Fifth Third Bancorp 10,800 682
Financial Security Assurance Holdings,
Ltd. 1,000 74
FINOVA Group, Inc. 6,910 89
First Data Corp. 30,200 1,470
First Security Corp. 7,400 104
First Union Corp. 90,180 2,874
Firstar Corp. 35,500 883
FleetBoston Financial Corp. 301,695 10,691
Franchise Finance Corp. of
America (e) 7,500 178
Franklin Resources, Inc. 48,100 1,551
Fulton Financial Corp. 2,800 58
Gallagher (Arthur J.) & Co. 2,000 75
General Growth Properties, Inc. (e) 3,700 122
Golden State Bancorp, Inc. (a) 12,040 185
Golden West Financial Corp. 21,650 739
Goldman Sachs Group, Inc. 20,500 1,912
Greenpoint Financial Corp. 9,670 180
Hartford Financial Services Group, Inc.
(The) 77,700 4,055
Heller Financial, Inc. Class A 2,680 52
Hertz Corp. Class A 4,700 147
Hibernia Corp. Class A 9,100 97
Household International Corp. 46,400 1,937
Imperial Bancorp (a) 6,100 120
Jefferson-Pilot Corp. 13,000 865
KeyCorp 52,080 963
Knight/Trimark Group, Inc.
Class A (a) 50,000 1,881
Lehman Brothers Holdings, Inc. 18,930 1,553
Leucadia National Corp. 3,600 84
Liberty Property Trust (e) 4,800 119
Lincoln National Corp. 14,500 505
Loews Corp. 17,820 982
Marsh & McLennan Cos., Inc. 23,895 2,355
Marshall & Ilsley Corp. 9,000 418
MBIA, Inc. 5,840 289
MBNA Corp. 251,560 6,682
Mellon Financial Corp. 30,300 973
Merrill Lynch & Co., Inc. 40,500 4,128
Metris Companies, Inc. 3,400 128
MGIC Investment Corp. 26,900 1,286
MONY Group, Inc. (The) 3,000 93
Morgan (J.P.) & Co., Inc. 38,600 4,955
Morgan Stanley Dean Witter & Co. 239,665 18,394
National City Corp. 56,660 963
</TABLE>
4 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Nationwide Financial Services, Inc.
Class A 2,800 78
North Fork Bancorp., Inc. 4,600 74
Northern Trust Corp. 29,200 1,872
Old Kent Financial Corp. 3,600 108
Old Republic International Corp. 34,740 495
Paine Webber Group, Inc. 13,100 575
Paychex, Inc. 38,900 2,047
PMI Group, Inc. (The) 2,100 102
PNC Bank Corp. 92,180 4,021
Popular, Inc. 2,300 46
Providian Financial Corp. 22,600 1,990
Radian Group, Inc. 4,200 214
Regions Financial Corp. 9,300 190
Reinsurance Group Of America 2,600 65
Reliastar Financial Corp. 2,400 103
SAFECO Corp. 8,570 190
Schwab (Charles) Corp. 15,200 676
Silicon Valley Bancshares (a) 2,900 179
Simon Property Group, Inc. (e) 10,200 259
SLM Holding Corp. 5,600 175
SouthTrust Corp. 17,860 426
Sovereign Bancorp, Inc. 24,200 166
Spieker Properties, Inc. (e) 2,700 120
St. Paul Cos., Inc. 75,410 2,686
State Street Corp. 29,400 2,848
Summit Bancorp 6,830 173
SunTrust Banks, Inc. 22,500 1,142
TCF Financial Corp. 10,740 251
Torchmark Corp. 7,100 178
Transatlantic Holdings, Inc. 970 80
U.S. Bancorp 61,000 1,239
Union Planters Corp. 3,800 108
UnionBanCal Corp. 25,280 700
UnumProvident Corp. 37,700 641
Wachovia Corp. 7,000 439
Waddell & Reed Financial, Inc.
Class A 9,950 265
Washington Mutual, Inc. 37,190 951
Wells Fargo Co. 107,590 4,418
Wilmington Trust Corp. 900 41
-----------
246,948
-----------
HEALTH CARE - 8.6%
Abbott Laboratories 58,360 2,243
Allergan, Inc. 12,520 737
American Home Products Corp. 94,910 5,333
Amgen, Inc. 71,400 3,998
Bard (C.R.), Inc. 3,600 157
Bausch & Lomb, Inc. 4,800 290
Baxter International, Inc. 117,400 7,646
Becton, Dickinson & Co. 115,600 2,962
Biogen, Inc. 400 24
Bristol-Myers Squibb Co. 146,410 7,677
Cardinal Health, Inc. 92,200 5,077
Celera Genomics 300 25
Chiron Corp. 1,100 50
Columbia/HCA Healthcare Corp. 164,220 4,670
Covance, Inc. 2,900 27
Edwards Lifesciences Corp. (a) 14,520 218
Elan Corp. PLC - ADR (a) 105,700 4,532
First Health Group Corp. (a) 6,400 195
Foundation Health Systems, Inc. (a) 15,400 155
Genentech, Inc. (a) 63,573 7,438
Genzyme Corp. 3,200 156
Humana, Inc. (a) 15,470 119
ICOS Corp. 700 28
Immunex Corp. 900 35
IVAX Corp. (a) 8,350 229
Johnson & Johnson 97,460 8,040
Jones Pharma, Inc. 1,650 47
Lilly (Eli) & Co. 30,200 2,335
Mallinckrodt, Inc. 21,100 567
Medtronic, Inc. 95,660 4,968
Merck & Co., Inc. 150,570 10,465
PacifiCare Health Systems, Inc. (a) 11,900 611
PE Corp. 18,200 1,092
Perrigo Co. 5,900 33
Pfizer, Inc. 213,490 8,993
Pharmacia Corp. (a) 206,077 10,291
Priority Healthcare Corp. Class B (a) 47,827 2,636
Schering-Plough Corp. 147,800 5,958
Techne Corp. (a) 2,500 178
Tenet Healthcare Corp. 112,670 2,873
Trigon Healthcare, Inc. (a) 6,700 241
UnitedHealth Group, Inc. (a) 57,600 3,841
Universal Health Services, Inc.
Class B 1,400 77
Warner-Lambert Co. 213,880 24,342
Wellpoint Health Networks, Inc. 6,500 480
-----------
142,089
-----------
INTEGRATED OILS - 4.5%
Amerada Hess Corp. 68,750 4,374
Ashland, Inc. 7,120 243
Chevron Corp. 89,900 7,653
Coastal Corp. 39,500 1,982
Conoco, Inc. Class B 160,130 3,983
Enron Corp. 195,500 13,624
Exxon Mobil Corp. 400,925 31,147
Kerr-McGee Corp. 22,500 1,164
Lyondell Petrochemical Co. 9,600 176
Murphy Oil Corp. 2,600 153
Phillips Petroleum Co. 42,570 2,019
</TABLE>
Equity I Fund 5
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Texaco, Inc. 90,890 4,499
USX-Marathon Group 145,200 3,386
-----------
74,403
-----------
MATERIALS AND PROCESSING - 4.6%
Air Products & Chemicals, Inc. 18,100 562
Albemarle Corp. 9,300 195
Alcoa, Inc. 85,900 5,573
Allegheny Technologies, Inc. 1,100 27
American Standard Cos., Inc. (a) 18,800 771
Archer-Daniels-Midland Co. 54,259 539
Avery Dennison Corp. 900 59
B.F. Goodrich Co. 21,540 687
Boise Cascade Corp. 43,500 1,416
Bowater, Inc. 8,000 440
Centex Corp. 23,700 572
Champion International Corp. 11,500 756
Chesapeake Corp. 900 28
Consolidated Papers, Inc. 7,000 265
Corning, Inc. 64,299 12,699
Dow Chemical Co. 38,721 4,375
du Pont (E.I.) de Nemours & Co. 88,400 4,193
Eastman Chemical Co. 34,000 1,779
Engelhard Corp. 17,000 299
FBR Asset Investment Corp. 31,600 373
FMC Corp. 2,300 134
Fort James Corp. 5,500 132
Freeport-McMoRan Copper & Gold, Inc.
Class A 3,400 31
Georgia Gulf Corp. 6,700 161
Georgia-Pacific Corp. (Timber Group) 3,000 70
Georgia-Pacific Group 31,340 1,152
Granite Construction, Inc. 3,800 90
Hanna (M.A.) Co. 4,000 46
Harsco Corp. 3,100 92
Illinois Tool Works, Inc. 3,300 211
IMC Global, Inc. 11,900 184
International Paper Co. 73,484 2,701
Johns Manville Corp. 12,200 127
Kaufman & Broad Home Corp. 7,960 153
Lafarge Corp. 10,200 258
Longview Fibre Co. 3,400 43
Louisiana Pacific Corp. 34,300 459
Lubrizol Corp. 26,200 671
Masco Corp. 22,375 502
Millennium Chemicals, Inc. 10,600 211
Minnesota Mining &
Manufacturing Co. 54,570 4,720
Newmont Mining Corp. 10,500 246
Nucor Corp. 36,430 1,566
Owens Corning 56,400 1,026
PPG Industries, Inc. 16,700 908
Praxair, Inc. 72,260 3,211
Precision Castparts Corp. 4,400 184
Rayonier, Inc. 2,800 131
Reynolds Metals Co. 7,000 466
Rohm & Haas Co. 5,300 189
Sherwin-Williams Co. 32,600 811
Sigma Aldrich Corp. 9,600 281
Southdown, Inc. 2,700 157
Standard Register Co. 1,700 22
Temple-Inland, Inc. 1,400 70
Timken Co. 7,100 131
Tyco International, Ltd. 315,460 14,491
Union Carbide Corp. 10,900 643
US Industries, Inc. 7,300 89
USX-U.S. Steel Group 300 8
Westvaco Corp. 30,800 951
Weyerhaeuser Co. 32,260 1,724
Willamette Industries, Inc. 11,800 452
-----------
75,513
-----------
OTHER ENERGY - 1.8%
AES Corp. 16,300 1,466
Apache Corp. 37,300 1,807
Baker Hughes, Inc. 15,100 480
BJ Services Co. 2,900 204
BP Amoco PLC - ADR 102,492 5,227
Burlington Resources, Inc. 7,300 287
Constellation Energy Group 37,400 1,237
Cooper Cameron Corp. 2,200 165
El Paso Energy Corp. 35,500 1,509
ENSCO International, Inc. 9,900 329
EOG Resources, Inc. 3,700 92
Flowserve Corp. 3,900 55
Global Marine, Inc. 5,400 130
Halliburton Co. 4,600 203
Helmerich & Payne, Inc. 5,500 172
Noble Drilling Corp. 8,900 355
Occidental Petroleum Corp. 66,580 1,427
Ocean Energy, Inc. 4,600 60
ONEOK, Inc. 3,000 76
Pioneer Natural Resources Co. 3,400 35
R&B Falcon Corp. (a) 14,700 305
Rowan Cos., Inc. (a) 10,100 282
Santa Fe Snyder Corp. 6,300 58
Schlumberger, Ltd. 36,900 2,825
Sempra Energy 48,200 895
Smith International, Inc. 1,900 144
Sunoco, Inc. 19,980 606
Tidewater, Inc. 1,700 51
Tosco Corp. 57,070 1,830
Transocean Sedco Forex, Inc. 59,000 2,773
</TABLE>
6 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Ultramar Diamond Shamrock Corp. 53,140 1,315
Union Pacific Resources Group, Inc. 22,600 433
Unocal Corp. 96,400 3,116
Valero Energy Corp. 6,900 200
Weatherford International, Inc. 5,700 231
-----------
30,380
-----------
PRODUCER DURABLES - 7.1%
AMETEK, Inc. 1,300 27
Applied Materials, Inc. (a) 202,178 20,584
Beckman Coulter, Inc. 5,700 369
Boston Scientific Corp. 9,500 252
Briggs & Stratton Corp. 3,600 138
Caterpillar, Inc. 29,410 1,160
Chartered Semiconductor Manufacturing -
ADR (a) 1,377 120
Clayton Homes, Inc. 12,200 116
Cognex Corp. (a) 2,300 129
Cordant Technologies, Inc. 5,900 334
Crane Co. 5,800 156
Credence Systems Corp. (a) 1,100 157
Cummins Engine Co., Inc. 11,830 421
D.R. Horton, Inc. 9,300 120
Deere & Co. 132,500 5,350
Donaldson Co., Inc. 2,200 51
Dover Corp. 56,900 2,891
Emerson Electric Co. 46,500 2,552
General Electric Co. 295,818 46,517
Grant Prideco, Inc. 5,700 110
Honeywell International, Inc. 122,433 6,856
Ingersoll-Rand Co. 63,920 3,000
Johnson Controls, Inc. 13,500 855
Kennametal, Inc. 7,600 219
KLA Tencor Corporation (a) 36,300 2,718
Lexmark International Group, Inc.
Class A (a) 5,267 622
Litton Industries, Inc. (a) 5,960 259
Lockheed Martin Corp. 27,400 682
MagneTek, Inc. 5,000 42
Mettler-Toledo International, Inc. (a) 3,200 110
Millipore Corp. 4,000 287
Molex, Inc. 1,750 96
NACCO Industries, Inc. Class A 1,000 45
National Service Industries, Inc. 7,900 170
Northrop Grumman Corp. 23,570 1,671
Novellus Systems, Inc. (a) 17,000 1,131
Pall Corp. 13,600 303
Parker-Hannifin Corp. 17,250 802
Pitney Bowes, Inc. 2,800 114
Pulte Corp. 6,580 141
Raytheon Co. Class B 31,300 694
Rockwell International Corp. 27,800 1,095
Sawtek, Inc. 1,000 48
Solectron Corp. 14,300 669
Stewart & Stevenson Services, Inc. 2,100 25
Tecumseh Products Co. Class A 1,990 92
Teradyne, Inc. 17,300 1,903
Textron, Inc. 42,875 2,656
Thermo Instrument Systems, Inc. 1,000 18
United Technologies Corp. 101,800 6,330
Xerox Corp. 64,000 1,691
-----------
116,898
-----------
TECHNOLOGY - 23.1%
3Com Corp. (a) 50,262 1,979
Adaptec, Inc. (a) 3,300 89
Adobe Systems, Inc. 30,153 3,647
Adtran, Inc. (a) 32,400 2,187
Advanced Micro Devices, Inc. (a) 61,600 5,405
Agilent Technologies, Inc. (a) 19,565 1,734
Altera Corp. 14,800 1,512
America Online, Inc. (a) 244,855 14,645
Analog Devices, Inc. (a) 57,100 4,386
Apple Computer, Inc. (a) 54,600 6,774
Applied Micro Circuits Corp. (a) 30,900 3,980
Arrow Electronics, Inc. (a) 60,100 2,633
Atmel Corp. 4,500 220
Autodesk, Inc. 49,200 1,888
Automatic Data Processing, Inc. 9,700 522
Avnet, Inc. 5,400 425
AVX Corp. 5,800 565
BEA Systems, Inc. 400 19
Broadcom Corp. Class A 5,900 1,017
BroadVision, Inc. 17,900 786
Brocade Communications Systems,
Inc. (a) 6,600 816
Cabletron Systems, Inc. 5,800 133
Cisco Systems, Inc. (a) 601,995 41,763
CMGI, Inc. (a) 13,000 927
Comdisco, Inc. 5,600 174
COMPAQ Computer Corp. 182,940 5,351
Computer Associates
International, Inc. 82,232 4,590
Computer Sciences Corp. (a) 44,700 3,646
Comverse Technology, Inc. (a) 14,600 1,302
Cooper Industries, Inc. 3,660 126
Cypress Semiconductor Corp. (a) 76,500 3,973
Dell Computer Corp. (a) 154,190 7,719
DST Systems, Inc. 3,000 223
E-Tek Dynamics, Inc. 13,900 2,845
EarthLink, Inc. (a) 67,846 1,276
Electronic Data Systems Corp. 65,426 4,498
</TABLE>
Equity I Fund 7
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
EMC Corp. (a) 152,669 21,211
Fairchild Semiconductor Corp.
Class A (a) 30,000 1,425
Fiserv, Inc. 9,900 455
General Dynamics Corp. 71,510 4,183
General Motors Corp. Class H (a) 40,373 3,888
GTECH Holdings Corp. 8,700 181
Hewlett-Packard Co. 92,750 12,521
i2 Technologies, Inc. (a) 2,100 271
Ikon Office Solutions, Inc. 6,300 37
Imation Corp. (a) 4,500 126
IMS Health, Inc. 68,300 1,165
Integrated Device Technology, Inc. 3,400 163
Intel Corp. 261,488 33,160
International Business
Machines Corp. 133,070 14,854
International Game Technology 8,800 215
JDS Uniphase Corp. (a) 76,622 7,945
Juniper Networks, Inc. (a) 22,653 4,815
Kemet Corp. (a) 2,700 201
Koninklijke (Royal)
Philips Electronics 97,088 4,333
LSI Logic Corp. (a) 97,000 6,063
Lucent Technologies, Inc. 127,890 7,953
Maxim Integrated Products, Inc. 2,800 181
Mercury Interactive Corp. (a) 1,800 162
Microchip Technology, Inc. 1,500 93
Micron Technology, Inc. (a) 22,850 3,182
Microsoft Corp. (a) 197,520 13,777
Motorola, Inc. 99,920 11,897
National Semiconductor Corp. (a) 11,800 717
NCR Corp. 2,900 112
Network Appliance, Inc. (a) 27,030 1,999
Nortel Networks Corp. 123,800 14,020
Oracle Systems Corp. (a) 294,798 23,547
PeopleSoft, Inc. 2,300 32
PMC - Sierra, Inc. (a) 15,800 3,030
QUALCOMM, Inc. (a) 65,018 7,050
Quantum Corp. - DLT & Storage
Systems (a) 7,000 82
Quantum Corp. - Hard Disk Drive (a) 7,700 90
Redback Networks, Inc. (a) 9,900 783
Safeguard Scientifics, Inc. 4,800 200
SCI Systems, Inc. (a) 10,600 564
Seagate Technology 13,300 676
Siebel Systems, Inc. (a) 9,500 1,167
Sony Corp. - ADR 28,016 6,321
Structural Dynamics
Research Corp. 3,400 44
Sun Microsystems, Inc. (a) 181,531 16,690
SunGard Data Systems 3,034 105
Sybase, Inc. 4,000 81
Symantec Corp. (a) 3,100 193
Tech Data Corp. (a) 7,200 301
Teledyne Technologies, Inc. 1,400 25
Texas Instruments, Inc. 58,989 9,608
Titan Corp. (a) 4,236 182
Total Systems Services, Inc. 3,000 60
Veritas Software Corp. (a) 41,690 4,471
Vishay Intertechnology, Inc. (a) 7,600 637
Xilinx, Inc. 32,000 2,345
-----------
383,364
-----------
UTILITIES - 10.5%
ADC Telecommunications, Inc. (a) 56,200 3,411
Adelphia Communications Corp. (a) 45,000 2,225
Allegheny Energy, Inc. 18,930 575
Alliant Energy Corp. 6,600 198
Alltel Corp. 15,700 1,046
Ameren Corp. 19,060 699
American Electric Power Co., Inc. 16,100 590
AT&T Corp. (a) 316,230 14,764
AT&T Wireless Group 109,200 3,474
Bell Atlantic Corp. 221,020 13,095
BellSouth Corp. 255,370 12,433
BroadWing, Inc. (a) 55,000 1,557
Cablevision Systems Corp. Class A 2,000 135
Calpine Corp. (a) 5,340 489
Centennial Cellular Corp. Class A 1,900 37
Central & Southwest Corp. 19,500 423
CenturyTel, Inc. 13,500 331
Cinergy Corp. 18,670 499
Citizens Utilities Co. Class B (a) 27,600 443
CMS Energy Corp. 4,330 82
Columbia Energy Group 3,200 201
Comcast Corp. Special Class A 179,799 7,203
CommScope, Inc. (a) 44,000 2,090
Consolidated Edison, Inc. 20,600 725
Cox Communications, Inc. Class A (a) 11,000 471
Dominion Resources, Inc. 35,201 1,584
DPL, Inc. 18,500 430
DTE Energy Co. 12,600 411
Duke Energy Corp. 30,390 1,747
Dycom Industries, Inc. (a) 1,800 94
Dynegy, Inc. Class A 27,000 1,767
Edison International 17,000 324
Energy East Corp. 4,200 88
Entergy Corp. 33,530 853
FirstEnergy Corp. 77,200 1,964
Florida Progress Corp. 10,900 534
FPL Group, Inc. 15,200 687
GPU, Inc. 24,250 681
</TABLE>
8 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
GTE Corp. 84,960 5,756
KeySpan Corp. 23,430 688
Level 3 Communications, Inc. 24,700 2,195
MasTec, Inc. (a) 1,200 104
MCI WorldCom, Inc. (a) 148,411 6,743
MCN Energy Group, Inc. 2,300 57
New Century Energies, Inc. 4,700 153
Nextlink Communications, Inc.
Class A 400 34
Nextel Communications, Inc.
Class A (a) 24,950 2,730
Nokia Corp. - ADR 216,480 12,312
Northeast Utilities 24,100 518
OGE Energy Corp. 2,600 52
Peco Energy Co. 16,100 671
PG&E Corp. 113,360 2,940
Pinnacle West Capital Corp. 18,900 664
Powertel, Inc. (a) 1,500 100
PPL Corp. 85,400 2,039
Public Service Co. of New Mexico 6,110 110
Public Service Enterprise Group, Inc. 42,120 1,511
Quanta Services, Inc. (a) 3,600 167
Questar Corp. 4,600 87
Reliant Energy, Inc. 70,010 1,864
SBC Communications, Inc. 334,749 14,666
SDL, Inc. (a) 15,800 3,080
Southern Co. 48,200 1,202
Sprint Corp. (Fon Group) (a) 161,000 9,902
Sprint Corp. (PCS Group) (a) 136,806 7,524
Telephone & Data Systems, Inc. 5,900 602
Texas Utilities Co. 73,540 2,477
U.S. West, Inc. 33,900 2,413
Unicom Corp. 20,300 807
UtiliCorp United, Inc. 6,790 131
Viacom, Inc. Class A 1,500 82
Vodafone Group PLC - ADR 214,650 10,089
VoiceStream Wireless Corp. 900 89
Western Resources, Inc. 26,960 425
WinStar Communications, Inc. (a) 8,600 342
Wisconsin Energy Corp. 21,100 452
-----------
174,138
-----------
TOTAL COMMON STOCKS
(cost $1,293,616) 1,556,345
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
-------- --------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.0%
CORPORATE BONDS AND NOTES - 0.0%
Redback Networks, Inc. (conv.)
5.000% due 04/01/07 215 145
-----------
TOTAL LONG-TERM INVESTMENTS
(cost $215) 145
-----------
SHORT-TERM INVESTMENTS - 6.2%
Frank Russell Investment Company Money
Market Fund, due on
demand (b) 90,295 90,295
United States Treasury Bills (b)(c)(d)
5.460% due 06/29/00 1,000 991
5.465% due 06/29/00 4,500 4,458
5.470% due 06/29/00 4,250 4,211
5.620% due 06/29/00 2,000 1,982
-----------
TOTAL SHORT-TERM INVESTMENTS
(cost $101,937) 101,937
-----------
TOTAL INVESTMENTS - 100.1%
(identified cost $1,395,768) 1,658,427
OTHER ASSETS AND LIABILITIES,
NET - (0.1%) (1,633)
-----------
NET ASSETS - 100.0% 1,656,794
===========
</TABLE>
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Held as collateral in connection with futures contract purchased by
the Fund.
(d) Rate noted is yield-to-maturity from date of acquisition.
(e) Real Estate Investment Trust (REIT).
Abbreviations:
ADR - American Depositary Receipt
See accompanying notes which are an integral part of the financial statements.
Equity I Fund 9
<PAGE>
EQUITY I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
----------- ----------------
<S> <C> <C>
FUTURES CONTRACTS
S&P 500 Index
expiration date 6/00 288 $ 3019
--------
Total Unrealized Appreciation
(Depreciation on Open Futures
Contracts Purchased $ 3019
========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
10 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $1,395,768). . . . . . $ 1,658,427
Cash. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,700
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . 1,609
Investments sold . . . . . . . . . . . . . . . . . . . . . . 28,434
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 3,490
Prepaid expenses. . . . . . . . . . . . . . . . . . . . . . . 18
------------
Total assets . . . . . . . . . . . . . . . . . . . . . . . 1,693,678
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . $ 29,910
Fund shares redeemed . . . . . . . . . . . . . 5,407
Accrued fees to affiliates . . . . . . . . . . 916
Other accrued expenses. . . . . . . .. . . . . 125
Daily variation margin on futures contracts. . 526
---------
Total liabilities. . . . . . . . . . . . . . 36,884
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,656,794
============
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . . $ 640
Accumulated net realized gain (loss). . . . . . . . . . . . . 147,561
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . 262,659
Futures contracts. . . . . . . . . . . . . . . . . . . . . . 3,019
Shares of beneficial interest . . . . . . . . . . . . . . . . 467
Additional paid-in capital. . . . . . . . . . . . . . . . . . 1,242,448
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,656,794
============
NET ASSET VALUE, offering and redemption price per share:
Class E ($46,361,340 divided by 1,307,898 shares of $.01
par value shares of beneficial interest outstanding). . . . $ 35.45
============
Class I ($1,566,710,586 divided by 44,201,458 shares of
$.01 par value shares of beneficial interest outstanding) . $ 35.44
============
Class Y ($43,721,847 divided by 1,233,439 shares of $.01
par value shares of beneficial interest outstanding). . . . $ 35.45
============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity I Fund 11
<PAGE>
Equity I Fund
Statement of Operations
Amounts in thousands
<TABLE>
<CAPTION>
Four Months Ended
April 30, 2000 Year Ended
(Unaudited) December 31, 1999
----------------- -----------------
<S> <C> <C>
Investment Income
Dividends. . . . . . . . . . . . . . . . . . . $ 5,558 $ 17,335
Dividends from Money Market Fund . . . . . . . 2,044 3,418
Interest . . . . . . . . . . . . . . . . . . . 83 401
-------- ---------
Total investment income. . . . . . . . . . . 7,685 21,154
-------- ---------
Expenses
Advisory fees. . . . . . . . . . . . . . . . . 2,981 8,157
Administrative fees. . . . . . . . . . . . . . 272 748
Custodian fees . . . . . . . . . . . . . . . . 241 620
Transfer agent fees. . . . . . . . . . . . . . 154 497
Professional fees. . . . . . . . . . . . . . . 19 40
Registration fees. . . . . . . . . . . . . . . 62 114
Shareholder servicing fees - Class E . . . . . 40 60
Trustees' fees . . . . . . . . . . . . . . . . 4 5
Miscellaneous. . . . . . . . . . . . . . . . . 37 116
-------- ---------
Total expenses . . . . . . . . . . . . . . . 3,810 10,357
-------- ---------
Net investment income. . . . . . . . . . . . . . 3,875 10,797
-------- ---------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments. . . . . . . . . . . . . . . . . . 33,604 253,148
Futures contracts. . . . . . . . . . . . . . . 1,190 11,105
Foreign currency-related transactions. . . . . (6) (1)
-------- ---------
34,788 264,252
-------- ---------
Net change in unrealized appreciation
(depreciation) on:
Investments. . . . . . . . . . . . . . . . . . (93,090) (9,387)
Futures contracts. . . . . . . . . . . . . . . (2,345) 3,606
Foreign currency-related transactions. . . . . 6 (3)
-------- --------
(95,429) (5,784)
-------- --------
Net realized and unrealized gain (loss) . . . . (60,641) 258,468
-------- --------
Net increase (decrease) in net assets from
operations. . . . . . . . . . . . . . . . . . . $(56,766) $269,265
======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
12 Equity I Fund
<PAGE>
EQUITY I FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
------------------ ----------------- ----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income . . . . . . $ 3,875 $ 10,797 $ 10,430
Net realized gain (loss). . . . . 34,788 264,252 122,357
Net change in unrealized
appreciation (depreciation) . . . (95,429) (5,784) 155,425
----------- ----------- -----------
Net increase (decrease) in net
assets from operations. . . . . (56,766) 269,265 288,212
----------- ----------- -----------
DISTRIBUTIONS
From net investment income
Class E . . . . . . . . . . . . (108) (121) --
Class I . . . . . . . . . . . . (3,041) (11,264) (10,494)
Class Y . . . . . . . . . . . . (86) -- --
From net realized gain
Class E . . . . . . . . . . . . (852) (4,447) --
Class I . . . . . . . . . . . . (28,217) (154,221) (92,776)
----------- ----------- -----------
Net decrease in net assets
from distributions. . . . . . (32,304) (170,053) (103,270)
----------- ----------- -----------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions. . 63,797 201,151 60,389
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS . . . . . . . . . . . . (25,273) 300,363 245,331
NET ASSETS
Beginning of period . . . . . . . 1,682,067 1,381,704 1,136,373
----------- ----------- -----------
End of period (including
undistributed net investment
income of $640 at
April 30, 2000). . . . . . . . . $ 1,656,794 $ 1,682,067 $ 1,381,704
=========== =========== ===========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity I Fund 13
<PAGE>
EQUITY I FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
------- --------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 37.51 $ 38.01
------- --------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . . .05 .13
Net realized and unrealized gain (loss) . . . . . . . . . (1.40) 3.11
------- --------
Total income from operations. . . . . . . . . . . . . . (1.35) 3.24
------- --------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . . (.08) (.12)
From net realized gain. . . . . . . . . . . . . . . . . . (.63) (3.62)
------- --------
Total distributions . . . . . . . . . . . . . . . . . . (.71) (3.74)
------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 35.45 $ 37.51
======= ========
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . (3.52) 8.97
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . . 46,361 49,284
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . .95 .95
Net investment income . . . . . . . . . . . . . . . . . .45 .57
Portfolio turnover rate (%) . . . . . . . . . . . . . . . 64.00 111.56
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period May 14, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
14 Equity I Fund
<PAGE>
EQUITY I FUND
FINANCIAL HIGHLIGHTS - CLASS I
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-----------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
------------ ----------- ----------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . $ 37.46 $ 35.17 $ 30.51 $ 30.34 $ 28.00 $ 23.32
------------ ----------- ----------- ----------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . .09 .27 .27 .34 .42 .52
Net realized and unrealized gain
(loss). . . . . . . . . . . . . . . (1.41) 6.18 7.10 8.89 5.96 7.71
------------ ----------- ----------- ----------- --------- ---------
Total income from operations. . . . (1.32) 6.45 7.37 9.23 6.38 8.23
DISTRIBUTIONS
From net investment income. . . . . . (.07) (.28) (.27) (.34) (.42) (.52)
From net realized gain. . . . . . . . (.63) (3.88) (2.44) (8.72) (3.62) (3.03)
------------ ----------- ----------- ----------- --------- ---------
Total distributions . . . . . . . . (.70) (4.16) (2.71) (9.06) (4.04) (3.55)
------------ ----------- ----------- ----------- --------- ---------
NET ASSET VALUE, END OF PERIOD . . . . $ 35.44 $ 37.46 $ 35.17 $ 30.51 $ 30.34 $ 28.00
============ =========== =========== =========== ========= =========
TOTAL RETURN (%)(b)(c) . . . . . . . . (3.41) 18.98 25.10 32.02 23.58 35.94
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in
thousands). . . . . . . . . . . . . 1,566,711 1,632,783 1,381,704 1,136,373 961,953 751,497
Ratios to average net assets
(%)(c)(d):
Operating expenses. . . . . . . . . .69 .69 .70 .70 .71 .59
Net investment income . . . . . . . .72 .72 .82 .96 1.38 1.91
Portfolio turnover rate (%) . . . . . 64.00 111.56 100.68 110.75 99.51 92.04
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) 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) The ratios for periods less than one year are annualized.
Equity I Fund 15
<PAGE>
EQUITY I FUND
FINANCIAL HIGHLIGHTS - CLASS Y
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000*
--------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD. . . . . . . . . . . . . . . . $ 36.90
---------
INCOME FROM OPERATIONS
Net investment income (a). . . . . . . . . . . . . . . . . . . . . .02
Net realized and unrealized gain (loss). . . . . . . . . . . . . . (1.40)
---------
Total income from operations . . . . . . . . . . . . . . . . . . (1.38)
---------
DISTRIBUTIONS
From net investment income . . . . . . . . . . . . . . . . . . . . (.07)
---------
NET ASSET VALUE, END OF PERIOD. . . . . . . . . . . . . . . . . . . $ 35.45
=========
TOTAL RETURN (%)(b) . . . . . . . . . . . . . . . . . . . . . . . . (3.70)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) . . . . . . . . . . . . . 43,722
Ratios to average net assets (%)(c):
Operating expenses . . . . . . . . . . . . . . . . . . . . . . . .64
Net investment income. . . . . . . . . . . . . . . . . . . . . . .52
Portfolio turnover rate (%). . . . . . . . . . . . . . . . . . . . 64.00
</TABLE>
* For the period March 30, 2000 (commencement of sale) to April 30, 2000
(Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Not annualized.
(c) Annualized.
16 Equity I Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
COMMON STOCKS - 91.7%
AUTO AND TRANSPORTATION - 2.9%
AAR Corp. 24,900 375
Alaska Air Group, Inc. (a) 2,300 66
America West Holding Corp.
Class B (a) 10,500 154
American Axle & Manufacturing Holdings,
Inc. (a) 4,000 60
American Freightways Corp. (a) 27,000 498
Amtran, Inc. (a) 4,200 69
Atlantic Coast Airlines, Inc. (a) 10,000 301
AutoZone, Inc. (a) 51,100 1,172
Aviall, Inc. (a) 7,600 47
Avis Rent A Car, Inc. (a) 31,800 644
Bandag, Inc. 4,400 105
Borg-Warner Automotive, Inc. 5,400 226
C.H. Robinson Worldwide, Inc. 22,900 1,144
CNF Transportation, Inc. 28,300 791
Coachmen Industries, Inc. 41,000 633
Continental Airlines, Inc. Class B (a) 5,200 208
Dollar Thrifty Automotive
Group, Inc. (a) 27,700 582
Dura Automotive Systems, Inc. (a) 7,100 115
Expeditors International of
Washington, Inc. 16,900 718
Federal-Mogul Corp. 4,400 60
FedEx Corp. (a) 32,700 1,232
Fleetwood Enterprises, Inc. 7,400 108
Fritz Companies, Inc. (a) 15,500 148
Hertz Corp. Class A 4,100 128
Kirby Corp. (a) 3,600 74
Landstar Systems, Inc. (a) 21,300 1,218
Lear Corp. (a) 30,200 904
M.S. Carriers, Inc. (a) 1,300 30
Meritor Automotive, Inc. 14,400 216
Midwest Express Holdings, Inc. (a) 6,400 162
Monaco Coach Corp. (a) 6,000 98
National R.V. Holdings, Inc. (a) 4,500 55
Navistar International Corp. (a) 7,000 245
Northwest Airlines Corp. Class A (a) 3,700 91
Polaris Industries, Inc. 18,000 551
Roadway Express, Inc. 10,000 234
Ryder System, Inc. 13,400 297
Skywest, Inc. 51,300 2,161
Superior Industries International, Inc. 45,500 1,465
Thor Industries, Inc. 21,800 587
Tower Automotive, Inc. (a) 10,100 158
Trinity Industries, Inc. 67,100 1,493
UAL Corp. (a) 37,600 2,176
United Auto Group, Inc. (a) 7,000 61
USFreightways Corp. 27,300 1,259
Wabash National Corp. 15,600 227
XTRA Corp. (a) 6,600 311
Yellow Corp. (a) 24,600 468
----------
24,125
----------
CONSUMER DISCRETIONARY - 13.0%
24/7 Media, Inc. (a) 2,500 49
Aaron Rents, Inc. 9,000 131
ABM Industries, Inc. 4,400 111
American Greetings Corp. Class A 109,700 1,988
Ames Department Stores, Inc. (a) 3,800 68
Anchor Gaming (a) 5,800 233
Applebee's International, Inc. 27,300 995
Argosy Gaming Co. (a) 55,400 886
Aztar Corp. (a) 47,500 567
Banta Corp. 73,000 1,428
Barnes & Noble, Inc. (a) 2,600 48
Belo (A.H.) Corp. Class A 11,900 199
BHC Communications, Inc. Class A 500 77
BJ's Wholesale Club, Inc. (a) 9,600 340
Borders Group, Inc. (a) 3,100 49
Boyd Gaming Corp. (a) 24,100 122
Brightpoint, Inc. (a) 51,600 603
Brinker International, Inc. (a) 71,800 2,289
Brown Shoe Co., Inc. 12,400 127
Brunswick Corp. 62,500 1,199
Buckeye Technologies, Inc. (a) 21,000 402
Buffets, Inc. (a) 14,700 143
Burlington Coat Factory
Warehouse Corp. 27,100 407
Callaway Golf Co. 3,300 55
Catalina Marketing Corp. (a) 900 91
Cato Corp. Class A 9,300 97
CDI Corp. (a) 5,800 131
CEC Entertainment, Inc. (a) 22,825 685
Central Garden & Pet Co. (a) 7,500 78
Central Newspapers, Inc. Class A 49,350 1,514
Charming Shoppes, Inc. (a) 28,600 191
Choice Hotels International, Inc. (a) 7,000 92
Chris Craft Industries, Inc. (a) 7,275 447
Claire's Stores, Inc. 65,500 1,208
Coldwater Creek, Inc. (a) 3,400 85
Convergys Corp. (a) 35,600 1,566
Cost Plus, Inc. (a) 2,800 85
Cox Radio, Inc. Class A (a) 7,700 558
Crestline Capital Corp. (a) 12,600 217
CSX Auto Corp. (a) 6,200 65
Darden Restaurants, Inc. 5,100 94
DeVry, Inc. (a) 61,900 1,474
Diamond Technology
Partners, Inc. (a) 43,200 3,418
</TABLE>
18 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Dillard's, Inc. Class A 3,600 50
Dollar Tree Stores, Inc. (a) 18,900 1,093
Dover Downs Entertainment, Inc. 4,500 55
Dress Barn, Inc. (a) 4,500 87
eLoyalty Corp. New (a) 3,000 49
Emmis Broadcasting Corp.
Class A (a) 40,100 1,702
Entercom Communications Corp. (a) 22,000 935
Ethan Allen Interiors, Inc. 8,800 235
Extended Stay America, Inc. (a) 15,800 141
Fairfield Communities, Inc. (a) 6,100 55
Family Dollar Stores, Inc. 33,600 641
Federated Department Stores, Inc. (a) 31,000 1,054
Fluor Corp. 49,100 1,648
Fossil, Inc. (a) 4,200 87
Furniture Brands International, Inc. (a) 86,100 1,609
G & K Services, Inc. Class A 23,900 583
Genesco, Inc. (a) 6,200 80
Genlyte Group, Inc. (The) (a) 9,000 177
Getty Images, Inc. (a) 1,700 52
Grey Advertising, Inc. 4,270 1,918
Handleman Co. (a) 12,800 154
Harman International Industries, Inc. 1,100 72
Harrah's Entertainment, Inc. (a) 40,900 841
Harte Hanks Communications 56,200 1,391
Haverty Furniture Co., Inc. 17,400 196
Hearst-Argyle Television, Inc. (a) 49,200 1,049
Hispanic Broadcasting Corp. (a) 9,100 916
HotJobs.com, Ltd. (a) 2,600 30
Houghton Mifflin Co. 12,300 511
IHOP Corp. (a) 2,120 34
Interim Services, Inc. (a) 3,000 51
Interpublic Group Cos., Inc. 32,500 1,333
JAKKS Pacific, Inc. (a) 4,900 90
Jones Apparel Group, Inc. (a) 6,700 199
K-Swiss, Inc. Class A 4,000 59
Kelly Services, Inc. Class A 6,400 151
Knight-Ridder, Inc. 31,000 1,521
La-Z-Boy Inc. 28,300 444
Lamar Advertising Co. Class A (a) 33,100 1,440
Landry's Seafood Restaurants, Inc. 27,100 234
Lason, Inc. (a) 9,100 41
Learning Tree International, Inc. (a) 41,600 1,979
Lee Enterprises, Inc. 39,500 896
Libbey, Inc. 5,300 162
Liberty Digital, Inc. Class A (a) 2,300 73
Linens 'N Things, Inc. (a) 2,100 65
Liz Claiborne, Inc. 1,700 79
Lone Star Steakhouse & Saloon 8,600 101
Mail-Well, Inc. (a) 8,600 77
Mandalay Resort Group (a) 4,900 92
Manpower, Inc. 31,200 1,102
MAXIMUS, Inc. (a) 27,000 636
McClatchy Co. (The) Class A 54,000 1,711
McGraw-Hill, Inc. 35,000 1,838
Media General, Inc. Class A 1,300 64
MGM Grand, Inc. 51,600 1,522
Michaels Stores, Inc. (a) 55,600 2,193
Modem Media Poppe Tyson, Inc. (a) 5,400 79
Modis Professional Services, Inc. (a) 42,200 319
Movado Group, Inc. 5,300 45
Nautica Enterprises, Inc. (a) 6,800 76
NBC Internet, Inc. Class A New (a) 1,900 44
NOVA Corp. / Georgia (a) 3,500 111
Nu Skin Enterprises, Inc. Class A (a) 8,300 64
Oakley, Inc. (a) 15,500 178
On Assignment, Inc. (a) 86,400 2,700
Oshkosh B' Gosh, Inc. Class A 30,500 494
Outback Steakhouse, Inc. (a) 35,700 1,167
Oxford Industries, Inc. 6,900 117
P.F. Chang's China Bistro, Inc.
New (a) 9,700 339
Pacific Sunwear of California (a) 31,700 1,080
Park Place Entertainment Corp. (a) 158,500 2,031
Payless ShoeSource, Inc. (a) 217 12
Penton Media, Inc. 55,761 1,467
Personnel Group of America, Inc. (a) 10,100 53
Petco Animal Supplies, Inc. (a) 33,400 384
Phillips-Van Heusen Corp. 6,700 57
Pier 1 Imports, Inc. 57,100 650
Pinnacle Entertainment, Inc. (a) 27,300 548
Pittston Brink's Group 40,600 665
Polo Ralph Lauren Corp. Class A (a) 57,400 933
Pomeroy Computer
Resources, Inc. (a) 4,000 63
Pre-paid Legal Services, Inc. (a) 32,600 1,043
Premier Parks, Inc. (a) 2,200 47
Pulitzer, Inc. 5,400 207
R.H. Donnelley Corp. 13,500 270
RARE Hospitality
International, Inc. (a) 16,500 510
Reebok International, Ltd. (a) 7,300 124
Regis Corp. 31,500 366
Rent-A-Center, Inc. (a) 3,500 70
Rent-Way, Inc. (a) 4,500 117
Robert Half International, Inc. (a) 16,000 978
Ross Stores, Inc. 122,600 2,536
Ruby Tuesday, Inc. 22,500 471
Russell Corp. 13,800 271
Ryan's Family Steak Houses, Inc. (a) 115,500 1,130
S1 Corporation (a) 1,800 98
Salton, Inc. (a) 11,550 496
</TABLE>
Equity II Fund 19
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Scholastic Corp. (a) 13,200 616
Schultz Sav-o Stores, Inc. 63,750 725
SCP Pool Corp. (a) 2,600 96
Scripps (E.W.) Co. Class A 35,000 1,634
ShopKo Stores, Inc. (a) 8,400 150
Sitel Corp. (a) 8,200 56
Source Information Mgmt. Co.
(The) (a) 41,700 612
Spiegel, Inc. Class A 15,300 126
Springs Industries, Inc. 19,400 797
Stanley Works (The) 1,800 53
Station Casinos, Inc. (a) 68,500 1,952
Steven Madden, Ltd. (a) 27,100 584
Sturm, Ruger & Co., Inc. 13,000 130
Talbots, Inc. 20,600 1,042
TETRA Technologies, Inc. (a) 54,000 1,269
Tiffany & Co. 61,150 4,444
Timberland Co. Class A (a) 16,100 1,116
TMP Worldwide, Inc. (a) 2,200 144
Tommy Hilfiger Corp. (a) 54,100 477
Topps Co., Inc. (a) 8,900 78
Toro Co. 12,800 394
Travelocity.com, Inc. New (a) 2,200 39
Trendwest Resorts, Inc. (a) 2,500 58
True North Communications, Inc. 15,400 634
Tupperware Corp. 30,800 581
Tweeter Home Entertainment
Group, Inc. New (a) 9,700 353
United Stationers, Inc. (a) 45,500 1,515
United Television, Inc. 11,600 1,562
URS Corp. (a) 15,600 199
Valassis Communications, Inc. (a) 3,900 133
Value City Department Stores, Inc. (a) 10,600 108
Valuevision International, Inc.
Class A (a) 2,100 42
Viad Corp. 21,600 548
Wallace Computer Services, Inc. 6,100 67
Washington Post Co (The),. Class B 3,700 1,805
Wendy's International, Inc. 2,500 56
Westwood One, Inc. (a) 21,400 756
Whitehall Jewellers, Inc. (a) 3,100 53
Williams-Sonoma, Inc. (a) 2,300 80
Windmere Corp. (a) 12,600 202
WMS Industries, Inc. (a) 2,800 25
Wolverine World Wide, Inc. 15,000 180
Young & Rubicam, Inc. 2,000 111
Zale Corp. (a) 34,000 1,402
Zomax, Inc. (a) 2,200 104
----------
109,728
----------
CONSUMER STAPLES - 1.9%
Alberto-Culver Co. Class A 56,800 1,285
Block Drug Co., Inc. Class A 30,039 854
Canandaigua Brands Co., Inc.
Class A (a) 16,800 846
Church and Dwight Co., Inc. 3,100 55
Coca-Cola Bottling Co. Consolidated 24,500 1,225
Dean Foods Co. 26,200 642
Earthgrains Co. 25,500 359
Hormel Foods Corp. 77,200 1,177
IBP, Inc. 63,900 1,054
International Home Foods, Inc. (a) 30,400 443
International Multifoods Corp. 15,800 202
Longs Drug Stores, Inc. 15,600 363
McCormick & Co., Inc. 31,300 976
Michael Foods, Inc. 4,800 103
Nature's Sunshine Products, Inc. 48,000 396
Pepsi Bottling Group, Inc. (The) 53,300 1,149
Performance Food Group Co. (a) 4,800 127
R.J. Reynolds Tobacco Holdings, Inc. 38,100 791
Ralcorp Holdings, Inc. (a) 16,900 233
Robert Mondavi Corp. Class A (a) 4,100 136
Schweitzer-Mauduit
International, Inc. 11,600 169
Suiza Foods Corp. (a) 37,100 1,445
SuperValu, Inc. 11,300 234
Tootsie Roll Industries, Inc. 29,404 906
Universal Corp. 7,000 132
Universal Foods Corp. 23,000 378
Whitman Corp. 19,000 217
Whole Foods Market, Inc. (a) 1,300 56
----------
15,953
----------
FINANCIAL SERVICES - 10.5%
ACE, Ltd. 39,100 936
Advanta Corp. Class A 60,500 1,029
Affiliated Managers Group, Inc. (a) 21,000 843
Allmerica Financial Corp. 27,900 1,510
American Financial Group, Inc. 10,900 277
American National Insurance Co. 2,200 113
AmeriCredit Corp. (a) 58,300 1,089
AmerUs Life Holdings, Inc. 13,000 259
Andover Bancorp, Inc. 1,600 44
Arden Realty Group, Inc. 3,031 67
Associated Banc-Corp. 5,000 128
Astoria Financial Corp. 65,400 1,799
Avalonbay Communities, Inc. 4,072 159
BancWest Corp. 10,800 198
Bank United Corp. Class A 19,700 651
</TABLE>
20 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Bay View Capital Corp. 9,300 67
Bear Stearns Companies Inc. (The) 33,599 1,441
Bedford Property Investors, Inc. 4,633 82
Boston Properties, Inc. 2,093 73
Brandywine Realty Trust 2,936 51
BRE Properties, Inc. 4,190 117
Brookline Bancorp., Inc. 8,600 80
Cabot Industrial Trust 8,984 173
Capital Automotive 7,300 101
Capitol Federal Financial 22,700 221
Capstead Mortgage Corp. 8,740 32
CarrAmerica Realty Corp. 3,357 80
Cathay Bancorp, Inc. 13,400 590
Charter One Financial, Inc. 43,937 892
Chittenden Corp. 7,100 189
Citizens Banking Corp. 1,500 26
City National Corp. 33,100 1,218
Colonial BancGroup, Inc. 87,000 816
Commerce Bancorp, Inc. 3,417 136
Commerce Bancshares, Inc. 7,470 230
Commerce Group, Inc. 13,400 395
Commonwealth Bancorp, Inc. 11,900 152
Community Bank System, Inc. 47,200 1,074
Compass Bancshares, Inc. 2,700 50
CompuCredit Corp. (a) 800 26
Cornerstone Realty Income Trust, Inc. 8,600 88
Crescent Real Estate Equities, Inc. 5,578 96
Cullen Frost Bankers, Inc. 13,400 331
Dain Rauscher Corp. 8,800 545
Dime Community Bancorp, Inc. 12,400 214
Donaldson, Lufkin & Jenrette, Inc. 34,550 1,440
Donaldson, Lufkin & Jenrette, Inc. (a) 41,700 448
Doral Financial Corp. 4,800 57
Downey Financial Corp. 20,100 600
Duke Realty Investments, Inc. 58,369 1,266
DVI, Inc. (a) 11,900 165
East West Bancorp, Inc. 10,000 124
EastGroup Properties, Inc. 8,800 183
Eaton Vance Corp. 25,600 1,083
Edwards (A.G.), Inc. 4,600 173
Enhance Financial Services
Group, Inc. 15,300 155
F&M National Corp. 7,600 182
FBL Financial Group, Inc. Class A 2,700 42
Federated Investors, Inc. Class B 2,400 68
FelCor Lodging Trust, Inc. 3,200 63
Fidelity National Financial, Inc. 5,300 78
Financial Federal Corp. (a) 3,800 71
FINOVA Group, Inc. 3,300 42
First Commerce Bancshares,
Inc. Class B 2,000 70
First Commonwealth Financial Corp. 2,600 30
First Federal Capital Corp. 6,500 74
First Industrial Realty Trust, Inc. 3,200 96
First United Bancshares, Inc. 2,700 44
First Washington Bancorp, Inc. 2,530 36
FirstFed Financial Corp. (a) 26,200 328
FirstMerit Corp. 1,800 29
Fremont General Corp. 38,000 221
Friedman, Billings, Ramsey
Group, Inc. (a) 6,400 50
Frontier Financial Corp. 2,367 44
GBC Bancorp 5,600 155
Golden State Bancorp, Inc. (a) 23,400 360
Greater Bay Bancorp 9,400 400
Greenpoint Financial Corp. 55,800 1,039
Hamilton Bancorp, Inc. (a) 9,600 176
Harbor Florida Bancshares, Inc. 9,500 99
Heller Financial, Inc. Class A 10,300 200
Hibernia Corp. Class A 24,900 265
Highwoods Properties, Inc. 3,100 70
Host Marriott Corp. 4,993 53
Hudson United Bancorp 42,800 966
Imperial Bancorp (a) 39,608 777
Independence Community Bank Corp. 14,400 168
IndyMac Mortgage Holdings, Inc. 6,300 82
Investment Technology Group (a) 1,900 71
Investors Financial Services Corp. 31,400 2,547
IPC Holdings, Ltd. 74,500 931
Irwin Financial Corp. 3,200 54
Jack Henry & Associates, Inc. 39,200 1,546
Jefferies Group, Inc. 17,300 382
John Nuveen & Co., Inc. Class A 6,700 267
Keystone Financial, Inc. 15,700 235
Kimco Realty Corp. 1,332 53
LandAmerica Financial Group, Inc. 3,300 58
LaSalle Hotel Properties 8,200 124
Legg Mason, Inc. 56,300 2,129
Leucadia National Corp. 29,300 683
Liberty Financial Cos., Inc. 9,300 174
Liberty Property Trust 3,100 77
LNR Property Corp. 83,200 1,794
MAF Bancorp, Inc. 2,400 45
Markel Corp. (a) 9,100 1,320
Medical Assurance, Inc. (a) 7,440 99
Mercantile Bankshares Corp. 12,300 350
Mercury General Corp. 20,300 556
MeriStar Hospitality Corp. 2,770 55
Metris Companies, Inc. 41,450 1,554
MGIC Investment Corp. 18,200 870
MONY Group, Inc. (The) 27,100 838
Morgan Keegan, Inc. 11,200 179
</TABLE>
Equity II Fund 21
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
National City Bancshares, Inc. 2,500 55
National Commerce Bancorp 77,200 1,259
National Discount Brokers
Group, Inc. (a) 1,600 47
National Western Life Insurance Co.
Class A (a) 1,000 71
NCO Group, Inc. (a) 3,000 103
New Century Financial Corp. (a) 11,100 76
North Fork Bancorp., Inc. 79,100 1,280
OceanFirst Financial Corp. 4,600 73
Old Republic International Corp. 63,700 908
Pacific Century Financial Corp. 25,900 533
Pacific Gulf Properties, Inc. 7,500 161
Pan Pacific Retail Properties, Inc. 1,900 36
Park National Corp. 500 46
Paychex, Inc. 47,800 2,515
Penn Treaty American Corp. (a) 5,700 87
People's Bank 4,000 82
Peoples Heritage Financial Group 84,200 1,095
PFF Bancorp, Inc. 9,700 134
PMI Group, Inc. (The) 18,050 874
Post Properties, Inc. 2,018 85
Prentiss Properties Trust 2,212 53
Presidential Life Corp. 5,900 94
Price (T. Rowe) & Associates, Inc. 43,000 1,639
Profit Recovery Group
International, Inc. (The) (a) 37,400 650
ProLogis Trust 2,716 53
Provident Bankshares Corp. 11,904 176
Provident Financial Group, Inc. 6,900 201
Queens County Bancorp 8,997 182
Radian Group, Inc. 86,500 4,406
Raymond James Financial, Inc. 32,500 654
Reliastar Financial Corp. 31,400 1,352
RenaissanceRe Holdings, Ltd. 33,500 1,231
Republic Bancorp, Inc. 2,530 24
RFS Hotel Investors, Inc. 7,000 85
Richmond County Financial Corp. 84,500 1,442
RLI Corp. 4,400 141
Rollins Truck Leasing Corp. 14,400 143
Roslyn Bancorp, Inc. 27,500 466
SCPIE Holdings, Inc. 2,900 86
Selective Insurance Group, Inc. 7,900 149
Senior Housing Properties Trust 11,900 102
SierraCities.com, Inc. (a) 4,700 28
Silicon Valley Bancshares (a) 94,700 5,842
SL Green Realty Corp. 5,000 128
Smith (Charles E.) Residential
Realty, Inc. 36,600 1,379
Southwest Bancorporation of
Texas, Inc. (a) 3,200 62
Southwest Securities Group, Inc. 2,000 82
Sovereign Bancorp, Inc. 79,524 544
Sovran Self Storage, Inc. 46,500 956
Spieker Properties, Inc. 3,000 133
Stancorp Financial Group, Inc. 17,400 507
Staten Island Bancorp, Inc. 23,200 399
Stewart Information Services Corp. 10,000 143
TCF Financial Corp. 13,100 306
Texas Regional Bancshares, Inc.
Class A 25,600 731
Thornburg Mortgage Asset Corp. 18,200 159
Transatlantic Holdings, Inc. 16,300 1,352
Trenwick Group, Inc. 8,300 117
Triad Guaranty, Inc. (a) 6,600 137
Trustmark Corp. 4,800 87
UICI (a) 13,500 59
UMB Financial Corp. 1,650 60
Union Planters Corp. 24,502 694
Vornado Realty Trust 2,620 90
Waddell & Reed Financial, Inc.
Class A 3,000 80
Washington Federal, Inc. 8,955 156
Webster Financial Corp. 56,500 1,204
Wesco Financial Corp. 440 103
Westamerica Bancorporation 47,800 1,190
WFS Financial, Inc. (a) 4,600 90
Whitney Holding Corp. 5,700 198
XL Capital, Ltd. Class A 28,000 1,335
----------
88,951
----------
HEALTH CARE - 7.0%
Abgenix, Inc. (a) 21,800 1,951
Accredo Health, Inc. (a) 4,200 116
Affymetrix, Inc. (a) 14,300 1,931
Alkermes, Inc. (a) 35,900 1,907
Alpharma, Inc. Class A 2,500 97
ALZA Corp. (a) 2,300 101
AmeriPath, Inc. (a) 7,800 59
AmeriSource Health Corp. Class A (a) 7,900 158
Andrx Corp. (a) 3,100 158
Bard (C.R.), Inc. 14,000 610
Bindley Western Industries, Inc. 42,600 743
Bio-Technology General Corp. (a) 6,800 96
Biomatrix, Inc. (a) 2,600 50
Celera Genomics (a) 4,200 347
Celgene Corp. (a) 2,100 99
Cephalon, Inc. (a) 15,400 862
Chiron Corp. (a) 20,000 905
Conmed Corp. (a) 2,400 62
Cooper Companies, Inc. 4,900 165
Cor Therapeutics, Inc. (a) 26,600 2,027
</TABLE>
22 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Corixa Corp. (a) 65,400 1,995
Coventry Health Care, Inc. (a) 10,600 112
Cytyc Corp. (a) 29,700 1,333
Datascope Corp. 13,200 436
Diversa Corp. New (a) 16,300 438
Enzo Biochem, Inc. (a) 1,500 61
Enzon, Inc. (a) 24,950 928
First Health Group Corp. (a) 89,800 2,739
Foundation Health Systems, Inc. (a) 11,900 120
Genzyme Corp. (a) 30,100 1,467
Gilead Sciences, Inc. (a) 13,200 715
Health Management Associates
Class A (a) 11,700 186
Hooper Holmes, Inc. 49,000 851
Human Genome Sciences, Inc. (a) 32,600 2,494
Humana, Inc. (a) 99,200 763
ICOS Corp. (a) 1,600 64
IDEC Pharmaceuticals Corp. (a) 19,100 1,219
Imclone Systems, Inc. (a) 1,000 91
Incyte Pharmaceuticals, Inc. (a) 39,300 3,024
IVAX Corp. (a) 111,900 3,063
Jones Pharma, Inc. 34,637 991
King Pharmaceuticals, Inc. (a) 2,800 138
LifePoint Hospitals, Inc. (a) 19,700 336
Lincare Holdings, Inc. (a) 49,300 1,504
Mallinckrodt, Inc. 53,800 1,446
Maxim Pharmaceuticals, Inc. (a) 23,900 923
Medicis Pharmaceutical Corp.
Class A. (a) 2,800 123
MedImmune, Inc. (a) 10,000 1,593
Medquist, Inc. (a) 1,900 67
Mentor Corp. 12,500 219
Millennium Pharmaceuticals, Inc. (a) 2,800 222
MiniMed, Inc. (a) 9,300 1,143
National Data Corp. 9,100 253
NBTY, Inc. (a) 83,300 1,473
Ocular Sciences, Inc. (a) 6,300 103
Oxford Health Plans, Inc. (a) 83,000 1,577
Patterson Dental Co. (a) 1,400 67
Perrigo Co. (a) 109,200 611
Pharmacyclics, Inc. (a) 1,300 59
Priority Healthcare Corp. Class B (a) 16,100 888
Professional Detailing, Inc. (a) 2,700 73
Protein Design Labs, Inc. (a) 900 92
Province Healthcare Co. (a) 44,000 1,271
QLT PhotoTherapeutics, Inc. (a) 34,900 1,939
Quest Diagnostics, Inc. (a) 29,100 1,692
Renal Care Group, Inc. (a) 41,775 929
Rexall Sundown, Inc. (a) 8,200 158
SICOR, Inc. (a) 5,200 59
SonoSite, Inc. (a) 23,200 751
St. Jude Medical, Inc. (a) 5,200 162
Sybron International Corp. (a) 2,900 90
Syncor International Corp. (a) 4,200 173
Techne Corp. (a) 800 57
Teva Pharmaceutical Industries,
Ltd. - ADR 25,000 1,096
Theragenics Corp. (a) 7,500 75
Trigon Healthcare, Inc. (a) 22,700 815
Universal Health Services, Inc.
Class B (a) 1,000 55
Varian Medical Systems, Inc. (a) 23,200 927
Vertex Pharmaceuticals, Inc. (a) 1,200 63
Vical, Inc. (a) 1,800 32
VISX, Inc. (a) 3,700 58
Vital Signs, Inc. 3,400 68
Watson Pharmaceuticals, Inc. (a) 3,000 135
----------
59,049
----------
INTEGRATED OILS - 0.5%
Ashland, Inc. 1,600 55
Cross Timbers Oil Co. 152,325 2,198
Giant Industries, Inc. (a) 76,500 684
Lyondell Petrochemical Co. 5,200 96
Murphy Oil Corp. 20,000 1,180
Tesoro Petroleum Corp. (a) 10,000 118
----------
4,331
----------
MATERIALS AND PROCESSING - 6.0%
Advanced Energy Industries, Inc. (a) 1,200 83
Agrium, Inc. 96,600 906
AK Steel Holding Corp. 46,900 519
AMCOL International Corp. 45,100 739
American Standard Cos., Inc. (a) 3,800 156
Ameron, Inc. 2,700 96
AptarGroup, Inc. 57,600 1,642
Arch Chemicals, Inc. 12,400 245
Armstrong World Industries, Inc. 16,600 325
Ball Corp. 12,900 406
Bemis Co., Inc. 2,400 88
Bethlehem Steel Corp. (a) 66,800 359
Boise Cascade Corp. 32,600 1,062
Bowater, Inc. 2,600 143
Brady Corp. Class A 4,900 144
Butler Manufacturing Co. 2,600 61
Cambrex Corp. 6,100 250
Carlisle Cos., Inc. 8,000 330
Centex Construction Products, Inc. 1,800 56
Centex Corp. 20,700 499
Chemed Corp. 12,600 376
Commercial Metals Co. 12,300 361
Cytec Industries, Inc. (a) 5,800 175
</TABLE>
Equity II Fund 23
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Engelhard Corp. 4,800 84
Ennis Business Forms, Inc. 68,200 460
FMC Corp. (a) 4,900 285
Freeport-McMoRan Copper &
Gold, Inc. Class B (a) 11,400 110
Fuller (H.B.) Co. 3,100 119
Geon Co. 17,900 392
Georgia Gulf Corp. 85,100 2,048
Georgia-Pacific Corp. (Timber Group) 3,100 72
Granite Construction, Inc. 19,700 468
Great Lakes Chemical Corp. 19,900 536
Greif Bros. Corp. Class A 3,700 119
Hanna (M.A.) Co. 23,400 269
Harland (John H.) Co. 13,900 214
Harsco Corp. 16,600 493
Hercules, Inc. 3,100 48
Hughes Supply, Inc. 22,000 336
Jacob's Engineering Group, Inc. (a) 8,500 266
Justin Industries, Inc. 3,372 61
Kaufman & Broad Home Corp. 43,800 843
Kaydon Corp. 28,700 671
Lafarge Corp. 12,700 321
Lone Star Technologies, Inc. (a) 9,600 443
Louisiana Pacific Corp. 77,800 1,041
LTV Corp. 108,600 387
Lubrizol Corp. 25,500 653
MacDermid, Inc. 16,300 382
Martin Marietta Materials, Inc. 23,900 1,267
Mead Corp. 5,000 174
Minerals Technologies, Inc. 28,700 1,327
Mississippi Chemical Corp. 9,600 74
Mohawk Industries, Inc. (a) 33,100 821
Mueller Industries, Inc. (a) 13,300 438
National Steel Corp. Class B 19,500 122
NCI Building Systems, Inc. (a) 4,800 92
Newmont Mining Corp. 34,000 797
NL Industries, Inc. 9,400 153
Nortek, Inc. (a) 6,000 125
Olin Corp. 45,700 811
OM Group 16,200 745
P.H. Glatfelter Co. 46,700 502
Paxar Corp. (a) 18,100 184
Pentair, Inc. 700 27
Phelps Dodge Corp. 46,500 2,151
Plum Creek Timber Co., Inc. 38,000 926
Precision Castparts Corp. 37,400 1,561
Rayonier, Inc. 25,600 1,202
Reliance Steel & Aluminum Co. 6,850 158
Reynolds Metals Co. 22,600 1,503
RPM, Inc. 44,200 448
Ryerson Tull, Inc. 4,300 53
SIFCO Industries 67,400 472
Sigma Aldrich Corp. 3,700 108
Simpson Manufacturing Co., Inc. (a) 6,100 276
Solutia, Inc. 4,900 67
Sonoco Products Co. 3,800 79
Southdown, Inc. 24,400 1,418
Spartech Corp. 13,100 455
SPS Technologies, Inc. (a) 34,600 1,086
St. Joe Co. (The) 46,500 1,340
Standard Register Co. 10,700 140
Standex International Corp. 3,700 61
Stillwater Mining Co. (a) 1,600 45
Stone & Webster, Inc. 6,900 91
Temple-Inland, Inc. 2,400 120
Texas Industries, Inc. 55,800 1,819
Timken Co. 5,500 102
Trex Co., Inc. New (a) 5,000 201
Unifi, Inc. (a) 22,000 224
USG Corp. 50,500 2,107
USX-U.S. Steel Group 42,700 1,070
W.R. Grace & Co. (a) 16,700 217
Waters Corp. (a) 18,000 1,705
Webb (Del E.) Corp. (a) 25,500 381
Westinghouse Air Brake Co. 6,200 70
Westvaco Corp. 21,700 670
Worthington Industries, Inc. 55,400 685
----------
50,812
----------
MISCELLANEOUS - 0.0%
Agribrands International, Inc. New (a) 2,100 79
Career Education Corp. (a) 1,900 71
Safety-Kleen Corp. (a) 39,100 39
Trammell Crow Co. (a) 4,600 60
----------
249
----------
OTHER ENERGY - 6.7%
Atwood Oceanics, Inc. (a) 7,100 430
Berry Petroleum Co. Class A 20,000 316
BJ Services Co. (a) 96,400 6,772
Cal Dive International, Inc. (a) 2,000 99
Cleco Corp. 8,100 279
Cooper Cameron Corp. (a) 28,700 2,153
Devon Energy Corp. 41,200 1,985
ENSCO International, Inc. 81,200 2,695
EOG Resources, Inc. 4,100 102
Global Industries, Inc. (a) 31,150 442
Global Marine, Inc. (a) 100,200 2,405
Hanover Compressor Co. (a) 7,500 437
Helmerich & Payne, Inc. 90,100 2,821
HS Resources, Inc. (a) 5,100 123
Hugoton Royalty Trust 97,200 942
</TABLE>
24 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Key Energy Group, Inc. (a) 36,700 358
Kinder Morgan, Inc. 6,400 194
Louis Dreyfus Natural Gas Corp. (a) 66,300 1,856
Marine Drilling Co, Inc. (a) 2,100 55
Mitchell Energy &
Development Corp. 8,400 201
Nabors Industries, Inc. (a) 83,307 3,285
Newfield Exploration Co. (a) 1,600 65
Noble Affiliates, Inc. 1,600 58
Noble Drilling Corp. (a) 68,300 2,728
Northwestern Corp. 6,600 152
Nuevo Energy Co. (a) 15,400 270
Ocean Energy, Inc. (a) 6,100 79
Octel Corp. (a) 8,100 75
ONEOK, Inc. 14,200 359
Patterson Energy, Inc. (a) 4,500 127
Pogo Producing Co. 30,300 776
Pride International, Inc. (a) 24,300 550
Rowan Cos., Inc. (a) 67,200 1,877
Santa Fe International Corp. 75,700 2,602
Seacor Holdings, Inc. (a) 3,300 202
Smith International, Inc. (a) 47,900 3,640
Stone Energy Corp. (a) 25,300 1,195
Sunoco, Inc. 2,000 61
Talisman Energy, Inc. (a) 41,900 1,252
Tidewater, Inc. 87,400 2,600
Transocean Sedco Forex, Inc. 29,200 1,372
Tuboscope Vetco
International Corp. (a) 18,800 327
Ultramar Diamond Shamrock Corp. 51,100 1,265
Union Pacific Resources Group, Inc. 10,800 207
UniSource Energy Corp. 15,900 258
UTI Energy Corp. (a) 12,200 424
Valero Energy Corp. 117,100 3,396
Varco International, Inc. (a) 17,100 214
Vintage Petroleum, Inc. 141,050 2,804
Weatherford International, Inc. (a) 3,800 154
----------
57,039
----------
PRODUCER DURABLES - 6.7%
American Power Conversion Corp. (a) 91,700 3,232
American Superconductor Corp. (a) 27,200 1,034
Applied Industrial Technology, Inc. 11,100 193
Applied Power, Inc., Class A 13,800 395
Asyst Technologies, Inc. (a) 1,600 86
ATMI, Inc. (a) 31,500 1,213
Belden, Inc. 2,000 59
Briggs & Stratton Corp. 16,600 637
Brooks Automation, Inc. (a) 4,500 403
C-COR Electronics, Inc. (a) 2,100 81
Celestica, Inc. (a) 23,000 1,255
Clayton Homes, Inc. 44,300 421
Cognex Corp. (a) 1,900 106
Cohu, Inc. 68,200 2,604
Credence Systems Corp. (a) 6,600 942
Crossmann Communities, Inc. (a) 7,000 113
CTS Corp. 2,000 126
Cummins Engine Co., Inc. 39,800 1,415
D.R. Horton, Inc. 78,200 1,012
Detroit Diesel Corp. 8,100 126
Donaldson Co., Inc. 14,800 344
Electroglas, Inc. (a) 48,600 1,880
EMCOR Group, Inc. (a) 14,700 328
Fastenal Co. 900 52
Fisher Scientific International, Inc. (a) 1,300 52
Gemstar International Group, Ltd. (a) 22,500 1,039
GenCorp, Inc. 33,300 335
General Semiconductor, Inc. (a) 3,100 62
GenRad, Inc. (a) 4,800 36
Gentex Corp. (a) 2,700 87
Grant Prideco, Inc. (a) 3,700 71
Helix Technology Corp. 900 46
Hubbell, Inc. Class B 48,800 1,272
ITT Industries, Inc. 39,400 1,244
Johnson Controls, Inc. 25,000 1,583
Kaman Corp. Class A 19,600 203
Kennametal, Inc. 2,800 81
Kent Electronics Corp. (a) 3,100 90
KLA Tencor Corporation (a) 28,500 2,134
Kulicke & Soffa Industries, Inc. (a) 29,800 2,334
Lennar Corp. 48,700 907
Littlefuse, Inc. (a) 20,000 708
Litton Industries, Inc. (a) 50,500 2,194
LTX Corp. (a) 20,500 938
M.D.C. Holdings, Inc. 20,900 398
Manitowoc Co., Inc. 10,650 353
Methode Electronics, Inc. Class A 1,200 50
Micrel, Inc. (a) 15,700 1,351
Millipore Corp. 1,500 108
Moog, Inc. (a) 4,200 99
National Service Industries, Inc. 36,000 774
National-Oilwell, Inc. (a) 30,000 718
Novellus Systems, Inc. (a) 21,100 1,403
NVR, Inc. (a) 28,400 1,768
Pall Corp. 116,800 2,606
Power Integrations, Inc. (a) 2,900 66
Power-One, Inc. (a) 1,800 123
Presstek, Inc. (a) 2,800 57
PRI Automation, Inc. (a) 800 64
Primex Technologies, Inc. 8,100 180
Pulte Corp. 70,500 1,516
Ryland Group, Inc. 14,400 290
</TABLE>
Equity II Fund 25
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Sawtek, Inc. (a) 1,900 91
Sensormatic Electronics Corp. (a) 4,400 73
Silicon Valley Group, Inc. (a) 2,100 60
SPX Corp. (a) 1,100 121
Standard Pacific Corp. 24,200 244
Starrett (L.S.) Co. Class A 25,200 611
Steelcase, Inc. Class A 24,900 293
Tecumseh Products Co. Class A 10,500 487
Tektronix, Inc. 36,400 2,106
Teleflex, Inc. 18,500 639
Teradyne, Inc. (a) 16,300 1,792
Terex Corp. (a) 6,800 106
Textron, Inc. 12,500 774
Thermo Electron Corp. (a) 5,400 105
Thermo Optek Corp. (a) 1,200 18
Thomas & Betts Corp. 35,700 1,100
Toll Brothers, Inc. (a) 71,300 1,545
Triquint Semiconductor, Inc. (a) 1,500 154
U S Liquids, Inc. (a) 9,500 55
Watts Industries, Inc. Class A 5,500 74
York International Corp. 33,100 799
----------
56,644
----------
TECHNOLOGY - 27.0%
Actel Corp. (a) 1,800 66
Activision, Inc. (a) 7,500 47
Actuate Corp. (a) 17,200 515
Acxiom Corp. (a) 1,800 49
Adaptec, Inc. (a) 30,800 832
Adaptive Broadband Corp. (a) 1,400 45
Adtran, Inc. (a) 1,600 108
Advanced Digital Information (a) 19,100 468
Advanced Fibre Communications (a) 3,700 169
Advanced Micro Devices, Inc. (a) 35,100 3,080
Advanced Radio Telecom Corp. (a) 53,000 871
Advent Software, Inc. (a) 2,600 137
Affiliated Computer Services, Inc.
Class A (a) 1,700 56
Akamai Technologies, Inc. (a) 1,800 178
Allaire Corp. (a) 1,700 94
Alliant Techsystems, Inc. (a) 1,800 125
Alpha Industries, Inc. (a) 20,600 1,062
American Management
Systems, Inc. (a) 15,000 553
Amkor Technology, Inc. (a) 48,400 2,955
Amphenol Corp. Class A (a) 16,000 1,020
ANADIGICS, Inc. (a) 1,600 120
Anaren Microwave, Inc. (a) 9,900 1,017
Andrew Corp. (a) 30,100 886
Anixter International, Inc. (a) 37,900 1,277
Apex, Inc. (a) 1,500 44
Applied Micro Circuits Corp. (a) 4,500 580
Arrow Electronics, Inc. (a) 74,600 3,268
ASE Test, Ltd. (a) 50,500 1,493
Aspect Development, Inc. (a) 1,500 103
Aspen Technology, Inc. (a) 1,800 63
Atmel Corp. (a) 78,600 3,842
Autodesk, Inc. 2,200 84
Avant! Corp. (a) 4,400 79
Avid Technology, Inc. (a) 34,900 478
Avnet, Inc. 53,600 4,214
AVX Corp. 21,700 2,114
AXENT Technologies, Inc. (a) 3,100 61
Barra, Inc. (a) 22,100 930
BEA Systems, Inc. (a) 29,200 1,403
BindView Development Corp. (a) 30,600 247
BISYS Group, Inc. (a) 35,500 2,214
Black Box Corp. (a) 1,100 84
BreezeCom, Ltd. New (a) 12,000 324
Brio Technology, Inc. (a) 2,200 54
BroadVision, Inc. (a) 84,200 3,700
Brocade Communications
Systems, Inc. (a) 11,100 1,372
Burr-Brown Corp. (a) 10,550 718
Business Objects SA - ADR (a) 47,700 4,660
C-Cube Microsystems, Inc. (a) 10,700 686
Cabletron Systems, Inc. (a) 8,200 188
Cadence Design Systems, Inc. (a) 10,200 171
Caldera Systems, Inc. New (a) 22,800 296
Carrier Access Corp. (a) 1,400 61
CDW Computer Centers, Inc. (a) 25,700 2,668
Check Point Software
Technologies, Ltd. (a) 2,500 433
CheckFree Holdings Corp. (a) 1,700 86
China.com Corp. Class A (a) 4,800 233
ChoicePoint, Inc. New (a) 44,000 1,672
Ciber, Inc. (a) 4,800 87
CIENA Corp. (a) 18,400 2,274
Cirrus Logic, Inc. (a) 84,600 1,375
Clarent Corp. (a) 74,300 5,043
CNET Networks, Inc. (a) 2,300 79
Coherent, Inc. (a) 1,600 92
Comdisco, Inc. 105,600 3,280
Comverse Technology, Inc. (a) 28,800 2,569
Concentric Network Corp. (a) 13,300 578
Conexant Systems, Inc. (a) 58,300 3,491
Covad Communications
Group, Inc. (a) 47,200 1,301
Cree, Inc. (a) 1,000 144
CSG Systems International, Inc. (a) 2,100 96
Cybex Computer Products Corp. (a) 1,600 44
Cymer, Inc. (a) 11,400 445
</TABLE>
26 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Cypress Semiconductor Corp. (a) 68,800 3,573
Dallas Semiconductor Corp. 3,800 163
Dendrite International, Inc. (a) 3,100 71
Digex, Inc. (a) 43,900 3,402
Documentum, Inc. (a) 1,300 77
DoubleClick, Inc. (a) 4,300 326
DSP Group, Inc. (a) 35,700 2,537
DST Systems, Inc. (a) 49,300 3,657
E-Tek Dynamics, Inc. (a) 4,600 942
EarthLink, Inc. (a) 4,672 88
Electro Rent Corp. (a) 10,000 108
Electro Scientific Industries, Inc. (a) 4,700 296
Electronic Arts, Inc. (a) 3,200 193
Electronics for Imaging, Inc. (a) 20,100 1,043
Emulex Corp. (a) 1,600 73
ESS Technology, Inc. (a) 14,500 188
Esterline Corp. (a) 3,700 45
Exar Corp. (a) 800 64
Exchange Applications, Inc. (a) 2,300 29
Exodus Communications, Inc. (a) 6,700 592
Extreme Networks, Inc. (a) 19,900 1,139
Fair, Isaac and Co., Inc. 1,500 63
FileNet Corp. (a) 30,300 879
General Dynamics Corp. 28,000 1,638
Globecomm Systems, Inc. (a) 8,100 151
go.com (a) 3,300 45
Go2Net, Inc. (a) 21,000 1,244
GT Group Telecom, Inc.
Class B New (a) 9,300 120
GTECH Holdings Corp. (a) 9,600 199
Hadco Corp. (a) 1,700 140
Harbinger Corp. (a) 2,400 45
Harmonic Lightwaves, Inc. (a) 14,100 1,040
Harris Corp. 56,400 1,822
HNC Software, Inc. (a) 25,300 1,233
Hyperion Solutions Corp. (a) 2,300 70
i2 Technologies, Inc. (a) 19,200 2,480
IDT Corp. (a) 17,500 552
iGATE Capital Corp. (a) 1,533 46
Ikon Office Solutions, Inc. 14,700 86
Imation Corp. (a) 24,800 696
In Focus Systems, Inc. (a) 46,200 1,380
Informatica Corp. (a) 20,900 873
Informix Corp. (a) 64,000 700
Inktomi Corp. (a) 9,000 1,385
Insight Enterprises, Inc. (a) 9,100 380
Integrated Device Technology, Inc. (a) 70,300 3,374
Integrated Silicon Solution, Inc. (a) 75,000 2,288
Intelligroup, Inc. (a) 12,600 195
Interliant, Inc. New (a) 78,000 1,619
Internap Network Services Corp. (a) 14,100 538
International Rectifier Corp. (a) 41,400 2,034
IntraNet Solutions, Inc. (a) 6,600 146
ISS Group, Inc. (a) 9,500 859
Ixnet, Inc. (a) 17,200 634
J.D. Edwards & Co. (a) 19,900 354
Jabil Circuit, Inc. (a) 69,700 2,853
JDA Software Group, Inc. (a) 4,800 89
JDS Uniphase Corp. (a) 23,000 2,385
Kemet Corp. (a) 32,200 2,399
Kopin Corp. (a) 1,400 108
Lam Research Corp. (a) 21,800 999
Lattice Semiconductor Corp. (a) 11,700 780
Legato Systems, Inc. (a) 3,200 41
LSI Logic Corp. (a) 58,100 3,631
Macromedia, Inc. (a) 36,650 3,179
Macrovision Corp. (a) 2,400 117
MarchFirst, Inc. (a) 4,900 104
Marimba, Inc. (a) 1,900 38
Mechanical Technology, Inc. New (a) 1,900 34
Media Metrix, Inc. (a) 33,500 1,080
Mentor Graphics Corp. (a) 4,000 52
Mercator Software, Inc. (a) 19,100 702
Mercury Computer Systems, Inc. (a) 1,500 57
Mercury Interactive Corp. (a) 39,400 3,541
Microchip Technology, Inc. (a) 16,300 1,011
Micromuse, Inc. (a) 14,400 1,412
MICROS Systems, Inc. (a) 1,800 72
MicroStrategy, Inc. (a) 3,500 90
Midway Games, Inc. (a) 6,700 44
MTI Technology Corp. (a) 3,100 48
N2H2, Inc. (a) 5,500 28
National Computer Systems, Inc. 1,100 57
National Instruments Corp. (a) 17,250 840
National Semiconductor Corp. (a) 55,600 3,378
Net2Phone, Inc. (a) 9,400 415
Netopia, Inc. Net (a) 1,200 50
Network Appliance, Inc. (a) 44,700 3,305
Network Associates, Inc. (a) 194,400 4,933
Network Solutions, Inc. (a) 9,800 1,450
New Era of Networks, Inc. (a) 21,100 658
NVIDIA Corp. (a) 900 80
Open Market, Inc. (a) 3,900 40
Optimal Robotics Corp. New (a) 36,500 1,542
Ortel Corp. (a) 3,500 682
Parametric Technology Corp. (a) 10,400 85
Park Electrochemical Corp. 9,000 231
Pegasus Systems, Inc. (a) 3,300 59
Peregrine Systems, Inc. (a) 2,200 53
Pericom Semiconductor Corp. (a) 22,100 970
PerkinElmer, Inc. 32,500 1,779
Perot Systems Corp. Class A (a) 2,800 46
</TABLE>
Equity II Fund 27
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Phoenix Technologies, Ltd. (a) 3,700 72
Photronics, Inc. (a) 56,500 1,882
Pioneer-Standard Electronics, Inc. 7,800 119
PMC - Sierra, Inc. (a) 24,300 4,660
Polycom, Inc. (a) 1,400 111
Portal Software, Inc. (a) 80,500 3,673
Progress Software Corp. (a) 36,900 738
Proxicom, Inc. (a) 1,500 51
Proxim, Inc. (a) 600 46
PSINet, Inc. (a) 78,200 1,808
QLogic Corp. (a) 14,900 1,494
Quantum Corp. - DLT &
Storage Systems 6,700 79
Quantum Corp. - Hard Disk Drive (a) 261,200 3,053
Rambus, Inc. (a) 800 184
Rare Medium Group, Inc. (a) 2,800 57
Rational Software Corp. (a) 11,000 936
Razorfish, Inc. (a) 2,400 45
RealNetworks, Inc. (a) 11,500 547
Redback Networks, Inc. (a) 6,400 506
REMEC, Inc. (a) 15,800 592
Remedy Corp. (a) 9,100 483
RF Micro Devices, Inc. (a) 4,600 478
Rhythms NetConnections, Inc. (a) 2,700 55
Rogers Corp. (a) 6,300 424
RSA Security, Inc. (a) 2,200 129
Rudolph Technologies, Inc. New (a) 27,500 835
Safeguard Scientifics, Inc. (a) 35,000 1,461
Sandisk Corp. (a) 23,000 2,106
Sapient Corp. (a) 1,600 127
SCI Systems, Inc. (a) 6,500 346
Scient Corp. New (a) 14,000 753
Scientific-Atlanta, Inc. 41,400 2,694
Semtech Corp. (a) 12,000 818
Silicon Graphics, Inc. (a) 69,300 498
Silicon Storage Technology, Inc. (a) 4,500 436
Siliconix, Inc. (a) 1,000 83
SpeedFam International, Inc. (a) 76,000 1,197
StarTek, Inc. (a) 1,500 77
Stoneridge, Inc. (a) 8,500 112
SunGard Data Systems (a) 34,000 1,175
Sybase, Inc. (a) 15,100 305
Symantec Corp. (a) 38,800 2,415
Symbol Technologies, Inc. 1,950 109
Synopsys, Inc. (a) 3,200 134
Systemax, Inc. (a) 11,500 88
Tech Data Corp. (a) 5,500 230
Tech-Sym Corp. (a) 33,500 712
Tekelec, Inc. (a) 1,500 52
THQ, Inc. (a) 3,500 54
Titan Corp. (a) 2,700 116
Unigraphics Solutions, Inc. (a) 19,300 519
USinternetworking, Inc. (a) 91,787 2,277
Varian Semiconductor Equipment
Associates, Inc. (a) 49,900 3,356
Verio, Inc. (a) 36,700 1,379
VeriSign, Inc. (a) 9,200 1,279
Veritas Software Corp. (a) 21,000 2,251
Verity, Inc. (a) 7,700 249
VerticalNet, Inc. (a) 3,400 183
ViaSat, Inc. (a) 5,400 252
Vignette Corp. (a) 18,300 883
Vishay Intertechnology, Inc. (a) 51,200 4,293
Visual Networks, Inc. (a) 1,200 47
Volt Information Sciences, Inc. (a) 3,200 111
Wave Systems Corp. (a) 2,400 46
WebTrends Corp. (a) 17,700 580
Western Digital Corp. (a) 254,400 1,764
Wind River Systems, Inc. (a) 1,600 68
Xircom, Inc. (a) 22,900 903
Zebra Technologies Corp. Class A (a) 1,500 86
----------
228,393
----------
UTILITIES - 9.5%
Adelphia Business Solutions, Inc. (a) 53,000 1,838
Allegiance Telecom, Inc. (a) 3,150 222
Alliant Energy Corp. 26,000 780
Amdocs, Ltd. (a) 7,700 521
American Tower Corp. Class A (a) 28,000 1,302
American Water Works, Inc. 10,300 234
Aspect Communications Corp. (a) 3,200 114
Black Hills Corp. 5,900 135
BroadWing, Inc. (a) 101,040 2,861
C&D Technologies, Inc. 1,900 122
Cable Design Technologies Corp. (a) 59,200 2,028
Calpine Corp. (a) 35,900 3,285
CapRock Communications Corp.
New (a) 2,000 67
Cascade Natural Gas Corp. 500 8
Centennial Cellular Corp. Class A (a) 2,700 52
CH Energy Group, Inc. 9,700 319
Charter Communications
Holdings, Inc. (a) 103,500 1,520
Citizens Utilities Co. Class B (a) 18,500 297
Columbia Energy Group 12,500 784
Comcast Corp. Special Class A 50,400 2,019
CommScope, Inc. (a) 52,800 2,508
Conectiv, Inc. 39,800 706
Copper Mountain Networks, Inc. (a) 8,900 741
Digital Microwave Corp. (a) 56,700 2,091
Dobson Communications Corp.
New (a) 29,500 750
</TABLE>
28 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
DPL, Inc. 2,300 53
DQE, Inc. 47,800 1,828
Dycom Industries, Inc. (a) 24,250 1,261
Dynegy, Inc. Class A 58,412 3,822
El Paso Electric Co. (a) 19,900 220
Energen Corp. 12,200 223
Energy East Corp. 9,900 207
Global TeleSystems Group, Inc. (a) 32,500 473
Hawaiian Electric Industries, Inc. 90,400 3,345
Idacorp, Inc. 14,100 520
InterDigital
Communications Corp. (a) 3,000 62
Intermedia Communications, Inc. (a) 1,800 73
ITC DeltaCom, Inc. (a) 1,800 59
Latitude Communications, Inc. (a) 22,900 328
MasTec, Inc. (a) 39,800 3,438
McLeodUSA, Inc. (a) 12,900 323
MDU Resources Group, Inc. 4,000 87
Minnesota Power, Inc. 21,800 402
Montana Power Co. 51,000 2,247
MRV Communications, Inc. (a) 1,100 76
New Jersey Resources Corp. 2,600 105
Niagara Mohawk Holdings, Inc. (a) 38,100 529
NICOR, Inc. 13,200 447
NSTAR 2,300 101
OGE Energy Corp. 27,000 535
Optical Cable Corp. (a) 1,800 43
PairGain Technologies, Inc. (a) 3,800 94
Peoples Energy Corp. 19,000 590
Piedmont Natural Gas Co., Inc. 6,605 187
Pinnacle Holdings, Inc. (a) 16,900 946
Pinnacle West Capital Corp. 60,500 2,125
Potomac Electric Power Co. 2,300 54
Powertel, Inc. (a) 800 53
Powerwave Technologies, Inc. (a) 5,100 1,061
Price Communications Corp. (a) 51,300 1,039
Primus Telecommunications
Group, Inc. (a) 39,100 1,281
Public Service Co. of New Mexico 64,300 1,157
Puget Sound Energy, Inc. 17,900 425
Quanta Services, Inc. (a) 49,700 2,308
Questar Corp. 41,000 771
RCN Corp. (a) 67,600 1,935
RGS Energy Group, Inc. 33,000 776
RSL Communications, Ltd.
Class A (a) 35,300 492
SCANA Corp. 2,700 70
SDL, Inc. (a) 15,200 2,963
South Jersey Industries, Inc. 4,200 112
TECO Energy, Inc. 4,300 94
Telephone & Data Systems, Inc. 14,800 1,510
Terayon Communication
Systems, Inc. (a) 800 74
Time Warner Telecom, Inc.
Class A (a) 115,000 6,296
TranSwitch Corp. (a) 1,700 149
Tut Systems, Inc. (a) 1,300 62
UGI Corp. 20,900 427
United Illuminating Co. 12,900 593
United States Cellular Corp. (a) 25,500 1,532
UtiliCorp United, Inc. 41,200 793
VoiceStream Wireless Corp. (a) 11,700 1,158
Vyyo, Inc. New (a) 25,200 528
West TeleServices Corp. (a) 3,500 74
Western Resources, Inc. 56,800 895
Western Wireless Corp. Class A (a) 2,100 104
WinStar Communications, Inc. (a) 31,700 1,263
Wisconsin Energy Corp. 28,900 618
----------
80,720
----------
TOTAL COMMON STOCKS
(cost $644,295) 775,994
----------
PREFERRED STOCKS - 0.0%
Sovereign Bancorp, Inc. (conv.) 2,000 90
----------
TOTAL PREFERRED STOCKS
(cost $100) 90
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(000)
$
------------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 8.3%
Frank Russell Investment Company
Money Market Fund,
due on demand (b) 64,540 64,540
United States Treasury Bills (b)(c)(d)
5.465% due 06/29/00 2,500 2,477
5.470% due 06/29/00 1,950 1,932
5.620% due 06/29/00 500 495
5.640% due 06/29/00 600 595
-------
TOTAL SHORT-TERM INVESTMENTS
(cost $70,039) 70,039
-------
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity II Fund 29
<PAGE>
EQUITY II FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
$
--------
<S> <C>
TOTAL INVESTMENTS - 100.0%
(identified cost $714,435) 846,123
OTHER ASSETS AND LIABILITIES,
NET - 0.0% 32
----------
NET ASSETS - 100.0% 846,155
==========
</TABLE>
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Rate noted is yield-to-maturity from date of acquisition.
(d) Held as collateral in connection with futures contracts purchased by the
Fund.
Abbreviation:
ADR - American Depositary Receipt
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
FUTURES CONTRACTS CONTRACTS (000)
--------- ----------
<S> <C> <C>
S&P Midcap 400
expiration date 06/00 181 $ (2)
S&P 500 Index
expiration date 06/00 72 751
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $749
==========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
30 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $714,435) . . . . . . . $ 846,123
Receivables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . 708
Investments sold. . . . . . . . . . . . . . . . . . . . . . . 6,157
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . 1,130
Daily variation margin on futures contracts . . . . . . . . . 368
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . 7
----------
Total assets. . . . . . . . . . . . . . . . . . . . . . . . 854,493
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . $ 4,887
Fund shares redeemed . . . . . . . . . . . . . 2,718
Accrued fees to affiliates . . . . . . . . . . 607
Other accrued expenses . . . . . . . . . . . . 126
--------
Total liabilities . . . . . . . . . . . . . . . . . . . . . 8,338
----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 846,155
==========
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $ 279
Accumulated net realized gain (loss) . . . . . . . . . . . . . 85,098
Unrealized appreciation (depreciation) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . 131,688
Futures contracts . . . . . . . . . . . . . . . . . . . . . . 749
Shares of beneficial interest. . . . . . . . . . . . . . . . . 227
Additional paid-in capital . . . . . . . . . . . . . . . . . . 628,114
----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 846,155
==========
NET ASSET VALUE, offering and redemption price per share:
Class E ($34,890,717 divided by 934,908 shares of $.01 par
value shares of beneficial interest outstanding). . . . . . $ 37.32
==========
Class I ($768,736,473 divided by 20,591,240 shares of $.01
par value shares of beneficial interest outstanding). . . . $ 37.33
==========
Class Y ($42,528,297 divided by 1,139,041 shares of $.01 par
value shares of beneficial interest outstanding). . . . . . $ 37.34
==========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity II Fund 31
<PAGE>
EQUITY II FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Dividends. . . . . . . . . . . . . . . . . . . $ 1,820 $ 5,107
Dividends from Money Market Fund . . . . . . . 1,205 2,294
Interest . . . . . . . . . . . . . . . . . . . 15 296
--------- ---------
Total investment income. . . . . . . . . . . 3,040 7,697
--------- ---------
EXPENSES
Advisory fees. . . . . . . . . . . . . . . . . 1,913 4,325
Administrative fees. . . . . . . . . . . . . . 136 312
Custodian fees . . . . . . . . . . . . . . . . 216 453
Transfer agent fees. . . . . . . . . . . . . . 159 451
Professional fees. . . . . . . . . . . . . . . 12 24
Registration fees. . . . . . . . . . . . . . . 44 118
Shareholder servicing fees - Class E . . . . . 30 40
Trustees' fees . . . . . . . . . . . . . . . . 4 5
Miscellaneous. . . . . . . . . . . . . . . . . 23 74
--------- ---------
Total expenses . . . . . . . . . . . . . . . 2,537 5,802
--------- ---------
Net investment income . . . . . . . . . . . . . 503 1,895
--------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments. . . . . . . . . . . . . . . . . . 78,227 51,643
Futures contracts. . . . . . . . . . . . . . . 4,337 7,164
Foreign currency-related transactions. . . . . -- 1
--------- ---------
82,564 58,808
--------- ---------
Net change in unrealized appreciation
(depreciation) on:
Investments. . . . . . . . . . . . . . . . . . (27,348) 86,803
Futures contracts. . . . . . . . . . . . . . . (1,884) (405)
--------- ---------
(29,232) 86,398
--------- ---------
Net realized and unrealized gain (loss) . . . . 53,332 145,206
--------- ---------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS. . . . . . . . . . . . . . . . . . . $ 53,835 $ 147,101
========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
32 Equity II Fund
<PAGE>
EQUITY II FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income. . . . . . . . . . . . . . . . . . . . $ 503 $ 1,895 $ 1,453
Net realized gain (loss) . . . . . . . . . . . . . . . . . . 82,564 58,808 29,064
Net change in unrealized appreciation (depreciation) . . . . (29,232) 86,398 (25,411)
--------- --------- ---------
Net increase (decrease) in net
assets from operations . . . . . . . . . . . . . . . . . . 53,835 147,101 5,106
--------- --------- ---------
DISTRIBUTIONS
From net investment income
Class E. . . . . . . . . . . . . . . . . . . . . . . . . . -- (6) --
Class I. . . . . . . . . . . . . . . . . . . . . . . . . . (358) (1,914) (1,505)
Class Y. . . . . . . . . . . . . . . . . . . . . . . . . . (20) -- --
From net realized gain
Class E. . . . . . . . . . . . . . . . . . . . . . . . . . (683) (1,580) --
Class I. . . . . . . . . . . . . . . . . . . . . . . . . . (15,153) (37,803) (32,392)
--------- --------- ---------
Net decrease in net assets from distributions. . . . . . (16,214) (41,303) (33,897)
--------- --------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions . . . . . . . . . . . . . . . . . . . . . . . . 22,479 146,438 80,451
--------- --------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS . . . . . . . . . 60,100 252,236 51,660
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . 786,055 533,819 482,159
--------- --------- ---------
End of period (including undistributed net investment
income of $279, $154 and $178, respectively). . . . . . . . $ 846,155 $ 786,055 $ 533,819
========= ========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity II Fund 33
<PAGE>
EQUITY II FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
------- -------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $ 35.71 $ 31.37
------- -------
INCOME FROM OPERATIONS
Net investment income (loss)(a) . . . . . . . . . . . . (.01) .02
Net realized and unrealized gain (loss) . . . . . . . . 2.33 5.99
------- -------
Total income from operations. . . . . . . . . . . . . 2.32 6.01
------- -------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . -- (.01)
From net realized gain. . . . . . . . . . . . . . . . . (.71) (1.66)
------- -------
Total distributions . . . . . . . . . . . . . . . . . (.71) (1.67)
------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $ 37.32 $ 35.71
======= =======
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . 6.57 19.55
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . 34,891 33,525
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . 1.16 1.17
Net investment income (loss). . . . . . . . . . . . . (.06) .09
Portfolio turnover rate (%) . . . . . . . . . . . . . . 65.16 111.89
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period May 14, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
34 Equity II Fund
<PAGE>
EQUITY II FUND
FINANCIAL HIGHLIGHTS - CLASS I
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
---------------------------------------------------
2000* 1999 1998 1997 1996 1995
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . $ 35.71 $ 30.94 $ 32.96 $ 30.05 $ 28.88 $ 25.00
------- ------- ------- ------- ------- -------
INCOME FROM OPERATIONS
Net investment income(a). . . . . . . . . . .02 .10 .09 .11 .16 .27
Net realized and unrealized gain (loss) . . 2.33 6.68 .04 8.11 4.96 6.80
------- ------- ------- ------- ------- -------
Total income from operations. . . . . . . 2.35 6.78 .13 8.22 5.12 7.07
------- ------- ------- ------- ------- -------
DISTRIBUTIONS
From net investment income. . . . . . . . . (.02) (.10) (.10) (.11) (.16) (.29)
From net realized gain. . . . . . . . . . . (.71) (1.91) (2.05) (5.20) (3.79) (2.90)
------- ------- ------- ------- ------- -------
Total distributions . . . . . . . . . . . (.73) (2.01) (2.15) (5.31) (3.95) (3.19)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . 37.33 $ 35.71 $ 30.94 $32.96 $ 30.05 $ 28.88
======= ======= ======= ======= ======= =======
TOTAL RETURN (%)(b)(c) . . . . . . . . . . . 6.67 22.60 .70 28.66 18.51 28.67
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . 768,736 752,530 533,819 482,159 365,955 279,566
Ratios to average net assets (%)(c)(d):
Operating expenses. . . . . . . . . . . . .91 .92 .91 .92 .95 .83
Net investment income . . . . . . . . . . .19 .31 .29 .35 .52 .97
Portfolio turnover rate (%) . . . . . . . . 65.16 111.89 128.87 103.00 120.78 89.31
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) 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) The ratios for periods less than one year are annualized.
Equity II Fund 35
<PAGE>
EQUITY II FUND
FINANCIAL HIGHLIGHTS - CLASS Y
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000*
----------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . $ 38.89
----------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . . . . . . .01
Net realized and unrealized gain (loss) . . . . . . . . . . . . . (1.54)
----------
Total income from operations. . . . . . . . . . . . . . . . . . (1.53)
----------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . . . . . . (.02)
----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . $ 37.34
==========
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . . . . . (3.94)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . . . . . . 42,528
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . . . . . .87
Net investment income . . . . . . . . . . . . . . . . . . . . . .22
Portfolio turnover rate (%) . . . . . . . . . . . . . . . . . . . 65.16
</TABLE>
* For the period March 30, 2000 (commencement of sale) to April 30, 2000
(Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Not annualized.
(c) Annualized.
36 Equity II Fund
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
COMMON STOCKS - 99.5%
AUTO AND TRANSPORTATION - 5.8%
AMR Corp. (a) 800 27
Arvin Industries, Inc. 500 11
AutoZone, Inc. (a) 1,200 28
Bandag, Inc. 400 10
Boeing Co. (The) 25,400 1,008
Borg-Warner Automotive, Inc. 800 33
Burlington Northern, Inc. 14,900 359
CNF Transportation, Inc. 700 20
Dana Corp. 1,700 52
Delphi Automotive Systems Corp. 19,800 379
Delta Air Lines, Inc. 13,400 707
Eaton Corp. 3,700 311
FedEx Corp. (a) 2,500 94
Ford Motor Co. 42,900 2,346
GATX Corp. 300 11
General Motors Corp. 23,100 2,163
Hertz Corp. Class A 4,000 125
Hunt (JB) Transportation Services, Inc. 1,800 30
Lear Corp. (a) 500 15
Meritor Automotive, Inc. 4,000 60
Navistar International Corp. (a) 300 11
PACCAR, Inc. 200 10
Ryder System, Inc. 400 9
Southwest Airlines Co. 1,600 34
Superior Industries International, Inc. 800 25
Trinity Industries, Inc. 200 3
UAL Corp. (a) 2,500 144
Union Pacific Corp. 21,600 910
------------
8,935
------------
CONSUMER DISCRETIONARY - 9.5%
Abercrombie & Fitch Co. Class A (a) 900 10
AC Nielsen Corp. (a) 2,600 60
AMFM, Inc. (a) 1,500 100
AT&T Corp. - Liberty Media Group
Class A (a) 43,972 2,196
Banta Corp. 1,000 20
Best Buy Co. (a) 300 24
BJ's Wholesale Club, Inc. (a) 300 11
Brinker International, Inc. (a) 2,100 67
Brunswick Corp. 8,800 169
Callaway Golf Co. 2,100 35
CBS Corp. (a) 3,500 206
Cendant Corp. (a) 3,400 52
Chris Craft Industries, Inc. (a) 1,133 70
Circuit City Stores - Circuit City Group 100 6
Clear Channel Communications, Inc. (a) 300 22
Darden Restaurants, Inc. 7,800 144
Delhaize America, Inc. 3,400 60
Disney (Walt) Co. 52,300 2,265
Donnelley (R.R.) & Sons Co. 6,000 128
Eastman Kodak Co. 3,200 179
EchoStar Communications Corp. Class A (a) 500 32
Energizer Holdings, Inc. (a) 3,100 53
Federated Department Stores, Inc. (a) 10,500 357
Fluor Corp. 2,900 97
Furniture Brands International, Inc. (a) 900 17
Gannett Co., Inc. 7,200 460
Harrah's Entertainment, Inc. (a) 2,200 45
Hasbro, Inc. 900 14
Houghton Mifflin Co. 1,200 50
Infinity Broadcasting Corp. Class A (a) 800 27
Kelly Services, Inc. Class A 200 5
Kmart Corp. (a) 6,000 49
Knight-Ridder, Inc. 2,100 103
Lancaster Colony Corp. 300 8
Land's End, Inc. (a) 600 25
Leggett & Platt, Inc. 1,400 30
Limited, Inc. (The) 5,400 244
Liz Claiborne, Inc. 1,400 65
Lowe's Cos., Inc. 400 20
Manpower, Inc. 3,800 134
May Department Stores Co. 5,600 154
McDonald's Corp. 4,000 153
McGraw-Hill, Inc. 2,300 121
MediaOne Group, Inc. (a) 18,800 1,422
MGM Grand, Inc. 6,600 195
Mirage Resorts, Inc. (a) 1,800 37
Neiman Marcus Group, Inc. (The)
Class A (a) 500 13
New York Times Co. Class A 15,200 626
Newell Rubbermaid, Inc. 700 18
Office Depot, Inc. (a) 800 8
PanAmSat Corp. (a) 400 17
Park Place Entertainment Corp. (a) 4,600 59
Payless ShoeSource, Inc. (a) 900 50
Pittston Brink's Group 1,400 23
Reader's Digest Association, Inc.
Class A 2,700 86
</TABLE>
38 Equity III Fund
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Reynolds & Reynolds Co. Class A 300 7
Ross Stores, Inc. 800 17
Russell Corp. 700 14
Sears Roebuck & Co. 12,000 440
Shaw Industries, Inc. 1,700 27
Stanley Works (The) 1,000 30
Starwood Hotels & Resorts Worldwide,
Inc. 700 20
Time Warner, Inc. 3,200 288
Toys "R" Us, Inc. (a) 4,300 66
Tribune Co. 35,000 1,361
Tricon Global Restaurants, Inc. (a) 2,200 75
UnitedGlobalCom, Inc. Class A (a) 400 20
USA Networks, Inc. (a) 500 11
Valassis Communications, Inc. (a) 1,100 36
Viacom, Inc. Class B (a) 16,600 902
Wallace Computer Services, Inc. 2,000 21
Wendy's International, Inc. 900 20
Westwood One, Inc. (a) 400 13
Whirlpool Corp. 9,200 598
------------
14,607
------------
CONSUMER STAPLES - 2.5%
Albertson's, Inc. 1,600 52
Anheuser-Busch Cos., Inc. 8,200 579
Bestfoods 400 20
Campbell Soup Co. 1,500 39
Coca-Cola Enterprises, Inc. 2,000 43
Colgate-Palmolive Co. 400 23
ConAgra, Inc. 4,700 89
Coors (Adolph) Co. Class B 900 46
General Mills, Inc. 13,800 502
Hannaford Brothers Co. 200 14
Heinz (H.J.) Co. 16,100 547
IBP, Inc. 8,400 139
Interstate Bakeries Corp. 800 10
Keebler Foods Co. 200 6
Kimberly-Clark Corp. 7,300 424
Kroger Co. (The) (a) 700 13
McCormick & Co., Inc. 2,800 87
Nabisco Group Holdings Corp. 3,000 39
Pepsi Bottling Group, Inc. (The) 1,500 32
PepsiCo, Inc. 3,200 117
Philip Morris Cos., Inc. 10,800 236
Procter & Gamble Co. 200 12
Quaker Oats Co. (The) 1,300 85
R.J. Reynolds Tobacco Holdings, Inc. 1,700 35
Ralston-Purina Group 9,300 164
Sara Lee Corp. 2,700 41
Suiza Foods Corp. (a) 200 8
SuperValu, Inc. 1,200 25
SYSCO Corp. 7,000 263
Tyson Foods, Inc. Class A 2,800 29
UST Corp. 10,000 150
Winn-Dixie Stores, Inc. 1,300 22
------------
3,891
------------
FINANCIAL SERVICES - 27.5%
Aetna, Inc. 700 41
AFLAC, Inc. 1,800 88
Allmerica Financial Corp. 1,500 81
Allstate Corp. 9,800 232
Ambac Financial Group, Inc. 11,100 533
American Express Co. 600 90
American General Corp. 17,300 969
American International Group, Inc. 22,750 2,495
AmSouth Bancorp 5,100 74
AON Corp. 1,700 46
Apartment Investment & Management Co.
Class A 2,300 91
Associated Banc-Corp. 3,500 89
Associates First Capital Corp. Class A 5,800 129
Astoria Financial Corp. 900 25
AXA Financial, Inc. 12,300 401
Bank of America Corp. 40,313 1,975
Bank of New York Co., Inc. 5,000 205
Bank One Corp. 10,500 320
BB&T Corp. 5,100 136
Bear Stearns Companies Inc. (The) 7,520 322
Block (H&R) Co., Inc. 900 38
Catellus Development Corp. (a) 800 10
Chase Manhattan Corp. 41,676 3,003
Chubb Corp. (The) 4,000 255
CIGNA Corp. 19,100 1,523
Cincinnati Financial Corp. 2,500 101
CIT Group, Inc. 1,500 25
Citigroup, Inc. 100,000 5,944
Colonial BancGroup, Inc. 1,100 10
Comerica, Inc. 3,100 131
Commerce Bancshares, Inc. 200 6
Compass Bancshares, Inc. 1,000 18
Conseco, Inc. 60,900 331
Dime Bancorp, Inc. 700 13
Donaldson, Lufkin & Jenrette, Inc. 1,600 67
Dow Jones & Co., Inc. 1,700 110
Duke Realty Investments, Inc. 3,900 85
Dun & Bradstreet Corp. 400 12
Edwards (A.G.), Inc. 3,700 139
Equity Office Properties Trust 3,700 101
Equity Residential Properties Trust 1,600 73
Erie Indemnity Co. Class A 300 9
Everest Re Group, Ltd. 1,200 35
</TABLE>
Equity III Fund 39
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Fannie Mae 21,600 1,303
Federal Home Loan Mortgage Corp. 2,300 106
FelCor Lodging Trust, Inc. 1,100 22
Financial Security Assurance Holdings,
Ltd. 200 15
FINOVA Group, Inc. 900 12
First Data Corp. 6,100 297
First Security Corp. 1,600 23
First Union Corp. 13,300 424
Firstar Corp. 7,500 187
FleetBoston Financial Corp. 51,900 1,839
Franchise Finance Corp. of America 1,600 38
Franklin Resources, Inc. 2,700 87
Fulton Financial Corp. 600 12
General Growth Properties, Inc. 800 26
Golden State Bancorp, Inc. (a) 18,400 283
Golden West Financial Corp. 1,600 55
Goldman Sachs Group, Inc. (The) 700 65
Greenpoint Financial Corp. 1,100 20
Hartford Financial Services Group, Inc.
(The) 24,800 1,294
Hibernia Corp. Class A 2,300 24
Household International Corp. 11,100 463
Jefferson-Pilot Corp. 1,900 126
KeyCorp 7,000 130
Lehman Brothers Holdings, Inc. 4,800 394
Liberty Property Trust 1,000 25
Lincoln National Corp. 12,200 425
Loews Corp. 7,000 386
Marsh & McLennan Cos., Inc. 4,200 414
Marshall & Ilsley Corp. 1,400 65
MBIA, Inc. 200 10
MBNA Corp. 700 19
Mellon Financial Corp. 4,400 141
Merrill Lynch & Co., Inc. 7,700 785
MGIC Investment Corp. 7,800 373
Morgan (J.P.) & Co., Inc. 19,300 2,478
Morgan Stanley Dean Witter & Co. 47,000 3,607
National City Corp. 8,200 139
Nationwide Financial Services, Inc.
Class A 600 17
North Fork Bancorp., Inc. 1,000 16
Northern Trust Corp. 1,200 77
Old Kent Financial Corp. 700 21
Paine Webber Group, Inc. 6,300 276
PMI Group, Inc. (The) 5,400 262
PNC Bank Corp. 30,500 1,331
Popular, Inc. 500 10
Provident Financial Group, Inc. 7,100 207
Radian Group, Inc. 4,000 204
Regions Financial Corp. 2,000 41
Reinsurance Group Of America 500 12
Reliastar Financial Corp. 500 22
Simon Property Group, Inc. 2,100 53
SLM Holding Corp. 300 9
SouthTrust Corp. 2,400 57
Spieker Properties, Inc. 600 27
St. Paul Cos., Inc. 22,200 791
State Street Corp. 800 78
SunTrust Banks, Inc. 1,900 96
TCF Financial Corp. 800 19
Torchmark Corp. 1,500 38
U.S. Bancorp 10,400 211
UnionBanCal Corp. 28,800 797
UnumProvident Corp. 3,300 56
Wachovia Corp. 1,100 69
Waddell & Reed Financial, Inc.
Class A 600 16
Washington Mutual, Inc. 5,800 148
Wells Fargo Co. 23,000 945
Wilmington Trust Corp. 200 9
------------
42,408
------------
HEALTH CARE - 5.6%
Abbott Laboratories 6,600 254
Allergan, Inc. 800 47
American Home Products Corp. 1,300 73
Bausch & Lomb, Inc. 400 24
Baxter International, Inc. 17,000 1,107
Biogen, Inc. (a) 100 6
Bristol-Myers Squibb Co. 21,100 1,106
Chiron Corp. (a) 200 9
Columbia/HCA Healthcare Corp. 51,300 1,459
Covance, Inc. (a) 600 6
First Health Group Corp. (a) 400 12
Foundation Health Systems, Inc. (a) 1,100 11
Genzyme Corp. (a) 600 29
Humana, Inc. (a) 1,400 11
ICOS Corp. (a) 100 4
Immunex Corp. (a) 200 8
IVAX Corp. (a) 10,800 296
Johnson & Johnson 25,200 2,079
Lilly (Eli) & Co. 100 8
Mallinckrodt, Inc. 8,100 218
Merck & Co., Inc. 8,000 556
PacifiCare Health Systems, Inc. (a) 1,000 51
Perrigo Co. (a) 1,300 7
Pharmacia Corp. (a) 6,288 314
</TABLE>
40 Equity III Fund
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Tenet Healthcare Corp. 8,900 227
United Health Corp (a) 9,100 607
Universal Health Services, Inc.
Class B (a) 300 16
Wellpoint Health Networks, Inc. (a) 1,400 103
------------
8,648
------------
INTEGRATED OILS - 9.6%
Amerada Hess Corp. 28,500 1,813
Chevron Corp. 23,500 2,000
Coastal Corp. 1,600 80
Conoco, Inc. Class B 8,200 204
Enron Corp. 16,300 1,136
Exxon Mobil Corp. 85,453 6,639
Kerr-McGee Corp. 3,000 155
Lyondell Petrochemical Co. 2,000 37
Murphy Oil Corp. 1,500 89
Phillips Petroleum Co. 19,600 930
Texaco, Inc. 28,200 1,395
USX-Marathon Group 15,000 350
------------
14,828
------------
MATERIALS AND PROCESSING - 6.8%
Air Products & Chemicals, Inc. 2,400 75
Albemarle Corp. 1,900 40
Alcoa, Inc. 16,300 1,057
Allegheny Technologies, Inc. 300 7
American Standard Cos., Inc. (a) 2,300 94
Archer-Daniels-Midland Co. 6,200 62
Avery Dennison Corp. 200 13
B.F. Goodrich Co. 1,700 54
Ball Corp. 5,500 173
Boise Cascade Corp. 800 26
Bowater, Inc. 1,200 66
Centex Corp. 3,500 84
Champion International Corp. 2,300 151
Chesapeake Corp. 200 6
Cornerstone Properties, Inc. 600 11
Dow Chemical Co. 15,200 1,718
du Pont (E.I.) de Nemours & Co. 23,500 1,115
Eastman Chemical Co. 2,500 131
FMC Corp. (a) 2,100 122
Freeport-McMoRan Copper & Gold, Inc.
Class A (a) 700 6
Georgia-Pacific Corp. (Timber Group) 12,700 294
Georgia-Pacific Group 3,700 136
Granite Construction, Inc. 800 19
Hanna (M.A.) Co. 900 10
Harsco Corp. 700 21
IMC Global, Inc. 2,500 39
International Paper Co. 20,000 735
Johns Manville Corp. 2,600 27
Lafarge Corp. 2,200 56
Longview Fibre Co. 700 9
Louisiana Pacific Corp. 4,100 55
Lubrizol Corp. 13,500 346
Masco Corp. 3,200 72
Minnesota Mining & Manufacturing Co. 13,500 1,168
Morrison Knudsen Corp. 2003 Warrants (a) 350 1
Newmont Mining Corp. 2,300 54
Nucor Corp. 6,300 271
PPG Industries, Inc. 4,500 245
Praxair, Inc. 1,500 67
Rayonier, Inc. 600 28
Reynolds Metals Co. 500 33
Sherwin-Williams Co. 2,600 65
Sigma Aldrich Corp. 1,900 56
Southdown, Inc. 600 35
Standard Register Co. 300 4
Temple-Inland, Inc. 2,900 145
Timken Co. 1,500 28
Tyco International, Ltd. 100 5
Union Carbide Corp. 1,000 59
US Industries, Inc. 1,500 18
USG Corp. 8,300 347
USX-U.S. Steel Group 100 3
Westvaco Corp. 12,000 371
Weyerhaeuser Co. 3,800 202
Willamette Industries, Inc. 6,800 260
Worthington Industries, Inc. 5,200 63
------------
10,358
------------
OTHER ENERGY - 2.7%
Anadarko Petroleum Corp. 2,800 122
Apache Corp. 6,000 291
Baker Hughes, Inc. 2,300 73
BJ Services Co. (a) 600 42
BP Amoco PLC - ADR 1,804 92
Burlington Resources, Inc. 1,500 59
Constellation Energy Group 14,500 479
Cooper Cameron Corp. (a) 500 38
El Paso Energy Corp. 6,700 285
ENSCO International, Inc. 4,000 133
EOG Resources, Inc. 800 20
Flowserve Corp. 800 11
Global Marine, Inc. (a) 1,200 29
Halliburton Co. 1,000 44
Helmerich & Payne, Inc. 4,400 138
Noble Drilling Corp. (a) 3,800 152
Occidental Petroleum Corp. 11,000 236
</TABLE>
Equity III Fund 41
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Ocean Energy, Inc. (a) 1,000 13
ONEOK, Inc. 600 15
Pioneer Natural Resources Co. (a) 800 8
Rowan Cos., Inc. (a) 1,200 34
Santa Fe Snyder Corp. (a) 1,300 12
Sempra Energy 13,800 256
Smith International, Inc. (a) 400 30
Tidewater, Inc. 400 12
Tosco Corp. 2,100 67
Transocean Sedco Forex, Inc. 300 14
Ultramar Diamond Shamrock Corp. 13,900 344
Unocal Corp. 33,800 1,092
Weatherford International, Inc. (a) 1,200 48
------------
4,189
------------
PRODUCER DURABLES - 5.0%
AMETEK, Inc. 200 4
Boston Scientific Corp. (a) 2,000 53
Caterpillar, Inc. 9,900 390
Clayton Homes, Inc. 2,600 25
Cordant Technologies, Inc. 1,200 68
Crane Co. 1,200 32
Cummins Engine Co., Inc. 7,100 252
Deere & Co. 28,200 1,139
Donaldson Co., Inc. 500 12
Dover Corp. 8,900 452
Emerson Electric Co. 3,900 214
General Electric Co. 7,600 1,195
Grant Prideco, Inc. (a) 1,200 23
Honeywell International, Inc. 13,400 750
Ingersoll-Rand Co. 1,200 56
Johnson Controls, Inc. 2,200 139
Kennametal, Inc. 1,600 46
Litton Industries, Inc. (a) 1,000 43
MagneTek, Inc. (a) 1,100 9
Molex, Inc. 325 18
NACCO Industries, Inc. Class A 200 9
Northrop Grumman Corp. 4,800 340
Pall Corp. 800 18
Parker-Hannifin Corp. 8,000 372
Raytheon Co. Class B 1,100 24
Rockwell International Corp. 10,600 417
Sawtek, Inc. (a) 200 10
Stewart & Stevenson Services, Inc. 400 5
Tecumseh Products Co. Class A 9,000 417
Teradyne, Inc. (a) 800 88
Textron, Inc. 15,700 973
Thermo Instrument Systems, Inc. (a) 200 5
United Technologies Corp. 1,900 119
------------
7,717
------------
TECHNOLOGY - 7.4%
3Com Corp. (a) 1,900 75
Advanced Micro Devices, Inc. (a) 2,000 176
Altera Corp. (a) 200 20
America Online, Inc. (a) 100 6
Analog Devices, Inc. (a) 400 31
Apple Computer, Inc. (a) 3,400 422
Applied Micro Circuits Corp. (a) 80 10
Atmel Corp. (a) 900 44
Autodesk, Inc. 300 12
AVX Corp. 3,100 302
Cabletron Systems, Inc. (a) 1,200 27
Cisco Systems, Inc. (a) 300 21
Comdisco, Inc. 3,800 118
COMPAQ Computer Corp. 39,000 1,141
Computer Associates
International, Inc. 200 11
Computer Sciences Corp. (a) 700 57
Cypress Semiconductor Corp. (a) 400 21
Dell Computer Corp. (a) 2,200 110
DST Systems, Inc. (a) 3,300 245
Electronic Data Systems Corp. 19,067 1,311
General Motors Corp. Class H (a) 500 48
GTECH Holdings Corp. (a) 1,800 37
Hewlett-Packard Co. 8,700 1,175
Ikon Office Solutions, Inc. 1,300 8
IMS Health, Inc. 700 12
Integrated Device Technology, Inc. (a) 700 34
Intel Corp. 4,456 565
International Business
Machines Corp. 12,900 1,440
LSI Logic Corp. (a) 4,700 294
Lucent Technologies, Inc. 13,900 864
Maxim Integrated Products, Inc. (a) 600 39
Microchip Technology, Inc. (a) 300 19
Micron Technology, Inc. (a) 1,200 167
Motorola, Inc. 12,700 1,512
National Semiconductor Corp. (a) 3,600 219
NCR Corp. (a) 600 23
Nortel Networks Corp. 700 79
Oracle Systems Corp. (a) 500 40
PeopleSoft, Inc. (a) 500 7
Quantum Corp. - DLT &
Storage Systems 1,500 18
Safeguard Scientifics, Inc. (a) 1,600 67
SCI Systems, Inc. (a) 800 43
Seagate Technology (a) 2,800 142
Structural Dynamics Research
Corp. (a) 700 9
Sun Microsystems, Inc. (a) 200 18
SunGard Data Systems (a) 600 21
</TABLE>
42 Equity III Fund
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Sybase, Inc. (a) 900 18
Symantec Corp. (a) 100 6
Teledyne Technologies, Inc. (a) 300 5
Total Systems Services, Inc. 600 11
Vishay Intertechnology, Inc. (a) 2,900 242
------------
11,342
------------
UTILITIES - 17.1%
ADC Telecommunications, Inc. (a) 600 36
Allegheny Energy, Inc. 1,600 49
Alliant Energy Corp. 4,800 144
Alltel Corp. 3,600 240
Ameren Corp. 1,100 40
AT&T Corp. 89,193 4,164
AT&T Wireless Group New (a) 10,200 324
Bell Atlantic Corp. 62,568 3,707
BellSouth Corp. 78,800 3,837
Cablevision Systems Corp.
Class A (a) 400 27
Centennial Cellular Corp. Class A (a) 400 8
Central & Southwest Corp. 1,600 35
CenturyTel, Inc. 1,800 44
Citizens Utilities Co. Class B (a) 3,100 50
Columbia Energy Group 700 44
Comcast Corp. Special Class A 500 20
CommScope, Inc. (a) 3,800 181
Consolidated Edison, Inc. 3,500 123
Cox Communications, Inc. Class A (a) 1,100 47
Dominion Resources, Inc. 4,700 212
DTE Energy Co. 700 23
Duke Energy Corp. 4,200 242
Edison International 11,600 221
Energy East Corp. 900 19
Entergy Corp. 1,100 28
FirstEnergy Corp. 11,500 293
Florida Progress Corp. 800 39
FPL Group, Inc. 3,200 145
GPU, Inc. 8,700 244
GTE Corp. 9,500 644
KeySpan Corp. 3,800 112
MCI WorldCom, Inc. (a) 28,450 1,293
MCN Energy Group, Inc. 500 12
New Century Energies, Inc. 1,000 33
Nextel Communications, Inc.
Class A (a) 100 11
Nextlink Communications, Inc.
Class A (a) 1,400 118
Northeast Utilities 800 17
OGE Energy Corp. 500 10
Peco Energy Co. 14,900 621
PG&E Corp. 21,300 552
Pinnacle West Capital Corp. 9,300 327
PPL Corp. 9,500 227
Public Service Enterprise Group, Inc. 30,200 1,083
Questar Corp. 1,000 19
Reliant Energy, Inc. 23,900 636
SBC Communications, Inc. 71,300 3,124
SDL, Inc. (a) 100 19
Southern Co. 4,300 107
Sprint Corp. (Fon Group) 19,954 1,227
Sprint Corp. (PCS Group) (a) 3,900 215
Telephone & Data Systems, Inc. 2,800 286
Texas Utilities Co. 22,700 765
U.S. West, Inc. 3,000 214
Unicom Corp. 1,900 75
Viacom, Inc. Class A 300 15
VoiceStream Wireless Corp. (a) 200 20
Western Resources, Inc. 900 14
------------
26,382
------------
TOTAL COMMON STOCKS
(cost $139,945) 153,305
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(000)
$
-----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 5.5%
Frank Russell Investment Company Money
Market Fund, due on demand (b) 7,008 7,008
United States Treasury Bills (b)(c)(d)
5.465% due 06/29/00 500 495
5.470% due 06/29/00 1,000 991
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $8,494) 8,494
------------
</TABLE>
Equity III Fund 43
<PAGE>
EQUITY III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
$
-------
<S> <C>
TOTAL INVESTMENTS - 105.0%
(identified cost $148,439) 161,799
OTHER ASSETS AND LIABILITIES,
NET - (5.0%) (7,689)
-------
NET ASSETS - 100.0% 154,110
=======
</TABLE>
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Rate noted is yield-to-maturity from date of acquisition.
(d) Held as collateral in connection with futures contracts purchased by the
fund.
Abbreviations:
ADR - American Depositary Receipt
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
FUTURE CONTRACTS CONTRACTS (000)
--------- --------------
<S> <C> <C>
S&P Barra Value Index
expiration date 06/00 22 $ 306
S&P 500 Index
expiration date 06/00 14 (183)
-----
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 123
=====
</TABLE>
See accompanying notes which are an integral part of the financial statements.
44 Equity III Fund
<PAGE>
EQUITY III FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified
cost $148,439) . . . . . . . . . . . . . . . . $ 161,799
Receivables:
Dividends. . . . . . . . . . . . . . . . . . . 251
Investments sold . . . . . . . . . . . . . . . 194
Prepaid expenses. . . . . . . . . . . . . . . . 4
----------
Total assets . . . . . . . . . . . . . . . . 162,248
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . $ 983
Fund shares redeemed . . . . . . . . . . . . . 7,023
Accrued fees to affiliates . . . . . . . . . . 88
Other accrued expenses . . . . . . . . . . . . 7
Daily variation margin on futures contracts. . 37
---------
Total liabilities. . . . . . . . . . . . . . 8,138
----------
NET ASSETS. . . . . . . . . . . . . . . . . . . $ 154,110
==========
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . $ 139
Accumulated net realized gain (loss). . . . . . (6,358)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . 13,360
Futures contracts. . . . . . . . . . . . . . . 123
Shares of beneficial interest . . . . . . . . . 62
Additional paid-in capital. . . . . . . . . . . 146,784
----------
NET ASSETS. . . . . . . . . . . . . . . . . . . $ 154,110
==========
NET ASSET VALUE, offering and redemption price per share:
Class E ($7,675,952 divided by 309,704 shares of $.01 par
value shares of beneficial interest
outstanding). . . . . . . . . . . . . . . . . $ 24.78
==========
Class I ($146,434,174 divided by 5,904,779 shares of $.01 par
value shares of beneficial interest
outstanding). . . . . . . . . . . . . . . . . $ 24.80
==========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity III Fund 45
<PAGE>
EQUITY III FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------- ------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends. . . . . . . . . . . . . . . . . . . $ 998 $ 3,746
Dividends from Money Market Fund . . . . . . . 156 479
Interest . . . . . . . . . . . . . . . . . . . -- 106
---------- --------------
Total investment income. . . . . . . . . . . 1,154 4,331
---------- --------------
EXPENSES
Advisory fees. . . . . . . . . . . . . . . . . 293 1,080
Administrative fees. . . . . . . . . . . . . . 27 99
Custodian fees . . . . . . . . . . . . . . . . 47 148
Transfer agent fees. . . . . . . . . . . . . . 25 99
Professional fees. . . . . . . . . . . . . . . 9 20
Registration fees. . . . . . . . . . . . . . . 15 77
Shareholder servicing fees - Class E . . . . . 6 10
Trustees' fees . . . . . . . . . . . . . . . . 4 6
Miscellaneous. . . . . . . . . . . . . . . . . 10 34
---------- --------------
Total expenses . . . . . . . . . . . . . . . 436 1,573
---------- --------------
Net investment income . . . . . . . . . . . . . 718 2,758
---------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments. . . . . . . . . . . . . . . . . . (9,944) 14,007
Futures contracts. . . . . . . . . . . . . . . (435) 1,696
---------- --------------
(10,379) 15,703
---------- --------------
Net change in unrealized appreciation
(depreciation) on:
Investments. . . . . . . . . . . . . . . . . . 1,009 (18,033)
Futures contracts. . . . . . . . . . . . . . . (149) (276)
---------- --------------
860 (18,309)
---------- --------------
Net realized and unrealized gain (loss) . . . . (9,519) (2,606)
---------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS. . . . . . . . . . . . . . . . . . . $ (8,801) $ 152
========== ==============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
46 Equity III Fund
<PAGE>
EQUITY III FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
---------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income. . . . . . . $ 718 $ 2,758 $ 3,613
Net realized gain (loss) . . . . . (10,379) 15,703 28,478
Net change in unrealized
appreciation (depreciation). . . . 860 (18,309) (9,816)
---------------- ----------------- -----------------
Net increase (decrease) in net
assets from operations . . . . . (8,801) 152 22,275
---------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income
Class E. . . . . . . . . . . . . (26) (52) --
Class I. . . . . . . . . . . . . (553) (2,693) (3,541)
From net realized gain
Class E. . . . . . . . . . . . . -- (545) --
Class I. . . . . . . . . . . . . -- (16,024) (25,167)
---------------- ----------------- -----------------
Net decrease in net assets
from distributions . . . . . . (579) (19,314) (28,708)
---------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions. . (12,798) (15,041) (25,188)
---------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS. . . . . . . . . . . . . (22,178) (34,203) (31,621)
NET ASSETS
Beginning of period. . . . . . . . 176,288 210,491 242,112
---------------- ----------------- -----------------
End of period (including
undistributed net investment
income of $139 at April 30, 2000
and $72 at December 31, 1998) . . $ 154,110 $ 176,288 $ 210,491
================ ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity III Fund 47
<PAGE>
EQUITY III FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
-------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 26.18 $ 30.27
-------- ---------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . . .09 .21
Net realized and unrealized gain (loss) . . . . . . . . . (1.40) (2.12)
-------- ---------
Total income from operations. . . . . . . . . . . . . . (1.31) (1.91)
-------- ---------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . . (.09) (.25)
From net realized gain. . . . . . . . . . . . . . . . . . -- (1.93)
-------- ---------
Total distributions . . . . . . . . . . . . . . . . . . (.09) (2.18)
-------- ---------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 24.78 $ 26.18
======== =========
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . (4.99) (6.13)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . . 7,676 7,927
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . 1.05 1.03
Net investment income . . . . . . . . . . . . . . . . . 1.09 1.25
Portfolio turnover rate (%) . . . . . . . . . . . . . . . 64.68 146.28
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period May 14, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
48 Equity III Fund
<PAGE>
EQUITY III FUND
FINANCIAL HIGHLIGHTS - CLASS I
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------------------------
2000* 1999 1998 1997 1996 1995
-------- ------- -------- -------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD . . . $ 26.18 $ 29.12 $ 29.80 $ 29.68 $ 29.11 $ 24.18
-------- ------- -------- -------- --------- --------
INCOME FROM OPERATIONS
Net investment
income (a) . . . . . . .11 .40 .47 .60 .70 .82
Net realized and
unrealized gain
(loss) . . . . . . . . (1.40) (.41) 2.75 8.69 5.10 7.73
-------- ------- -------- -------- --------- --------
Total income from
operations . . . . . . (1.29) (.01) 3.22 9.29 5.80 8.55
-------- ------- -------- -------- --------- --------
DISTRIBUTIONS
From net investment
income . . . . . . . . (.09) (.40) (.47) (.61) (.71) (.83)
From net realized
gain . . . . . . . . . -- (2.53) (3.43) (8.56) (4.52) (2.79)
-------- ------- -------- -------- --------- --------
Total distributions. . (.09) (2.93) (3.90) (9.17) (5.23) (3.62)
-------- ------- -------- -------- --------- --------
NET ASSET VALUE, END OF
PERIOD. . . . . . . . . . $ 24.80 $ 26.18 $ 29.12 $ 29.80 $ 29.68 $ 29.11
======== ======= ======== ======== ========= ========
TOTAL RETURN (%)(b)(c). . (4.94) .25 11.53 33.13 20.90 35.96
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period (in
thousands) . . . . . . 146,434 168,361 210,491 242,112 221,778 222,541
Ratios to average net
assets (%)(c)(d):
Operating expenses . . .80 .79 .74 .78 .79 .65
Net investment
income . . . . . . . . 1.34 1.39 1.54 1.77 2.23 2.90
Portfolio turnover
rate (%) . . . . . . . 64.68 146.28 135.53 128.86 100.78 103.40
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) 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) The ratios for periods less than one year are annualized.
Equity III Fund 49
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
COMMON STOCKS - 95.8%
AUTO AND TRANSPORTATION - 2.3%
AMR Corp. (a) 700 24
Boeing Co. 89,300 3,544
Burlington Northern, Inc. 81,500 1,966
C.H. Robinson Worldwide, Inc. 3,700 185
CNF Transportation, Inc. 4,000 112
Cooper Tire & Rubber Co. 5,700 77
CSX Corp. 19,200 402
Dana Corp. 27,400 832
Delphi Automotive Systems Corp. 75,525 1,444
Delta Air Lines, Inc. 54,500 2,875
Eaton Corp. 11,100 932
Ford Motor Co. 191,846 10,492
General Motors Corp. 30,300 2,837
Genuine Parts Co. 10,400 273
Goodyear Tire & Rubber Co. 26,000 718
Harley-Davidson, Inc. 6,500 259
Kansas City Southern Industries, Inc. 6,600 474
Lear Corp. (a) 32,300 967
Meritor Automotive, Inc. 31,400 471
Modine Manufacturing Co. 2,700 59
Norfolk Southern Corp. 24,000 423
PACCAR, Inc. 12,700 603
Ryder System, Inc. 6,300 140
Trinity Industries, Inc. 16,200 360
UAL Corp. (a) 12,600 730
Union Pacific Corp. 42,220 1,779
USFreightways Corp. 7,100 328
Wisconsin Central Transportation
Corp. (a) 3,200 46
-----------
33,352
-----------
CONSUMER DISCRETIONARY - 10.1%
Abercrombie & Fitch Co. Class A (a) 88,900 978
Alberto Culver Co. Class B 8,100 191
Amazon.com, Inc. (a) 5,900 326
American Eagle Outfitters, Inc.
NPV (a) 22,100 376
Applebee's International, Inc. 7,100 259
AT&T Corp. - Liberty Media Group Class
A (a) 79,500 3,970
Banta Corp. 13,500 264
Barnes & Noble, Inc. (a) 12,300 228
Best Buy Co. (a) 52,135 4,210
BHC Communications, Inc. Class A 500 77
BJ's Wholesale Club, Inc. (a) 5,100 181
Brunswick Corp. 102,528 1,967
Buffets, Inc. (a) 6,800 66
Callaway Golf Co. 40,600 675
Catalina Marketing Corp. (a) 4,100 415
CBS Corp. (a) 26,400 1,551
CEC Entertainment, Inc. (a) 5,500 165
Cendant Corp. (a) 243,300 3,756
Circuit City Stores, Inc. 19,400 1,141
Clear Channel Communications,
Inc. (a) 33,300 2,398
Convergys Corp. NPV (a) 15,900 700
Costco Wholesale Corp. (a) 32,800 1,773
Darden Restaurants, Inc. 130,200 2,401
Delhaize America, Inc. 5,800 103
Disney (Walt) Co. 112,800 4,886
Donnelley (R.R.) & Sons Co. 2,100 45
Eastman Kodak Co. 29,892 1,672
Energizer Holdings, Inc. (a) 41,033 700
Enesco Group, Inc. 10,400 47
eToys, Inc. (a) 6,600 52
Extended Stay America, Inc. (a) 12,300 110
Federated Department Stores, Inc. (a) 95,600 3,250
Fortune Brands, Inc. 25,930 648
Fox Entertainment Group, Inc.
Class A (a) 18,800 484
Gannett Co., Inc. 43,300 2,766
Gap, Inc. 112,500 4,134
Hasbro, Inc. 9,800 156
Hilton Hotels Corp. 60,800 517
Home Depot, Inc. (The) 237,890 13,337
Houghton Mifflin Co. 5,300 220
Infinity Broadcasting Corp.
Class A (a) 26,200 889
Interpublic Group Cos., Inc. 2,860 117
Jack in the Box, Inc. (a) 11,900 292
JC Penney & Co., Inc. 57,000 787
Jones Apparel Group, Inc. (a) 18,700 555
Jostens, Inc. 6,700 165
Kmart Corp. (a) 95,000 772
Knight-Ridder, Inc. 25,300 1,241
Kohl's Corp. (a) 17,800 854
La-Z-Boy Inc. 7,300 115
Lancaster Colony Corp. 15,300 401
Land's End, Inc. (a) 22,000 931
Leggett & Platt, Inc. 35,500 759
Liberty Digital, Inc. Class A (a) 12,700 402
Limited, Inc. (The) 18,400 831
Lowe's Cos., Inc. 46,300 2,292
Mandalay Resort Group (a) 12,100 228
Marriott International, Inc. Class A 9,900 317
Mattel, Inc. 70,800 867
May Department Stores Co. 49,800 1,370
MediaOne Group, Inc. (a) 95,300 7,207
Metro-Goldwyn-Mayer, Inc. (a) 23,400 702
Michaels Stores, Inc. (a) 5,700 225
</TABLE>
50 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- ---------
<S> <C> <C>
Mirage Resorts, Inc. (a) 47,800 974
New York Times Co. Class A 11,800 486
NIKE, Inc. Class B 100 4
Nordstrom, Inc. 17,100 476
Office Depot, Inc. (a) 23,600 249
Omnicom Group, Inc. 20,970 1,910
Pacific Sunwear of California (a) 3,100 106
Payless ShoeSource, Inc. (a) 15,600 860
Pier 1 Imports, Inc. 26,400 300
Priceline.com, Inc. (a) 5,300 335
Reebok International, Ltd. (a) 9,500 162
Russell Corp. 1,900 37
SABRE Group Holdings, Inc. (The), Class
A 305 11
Scholastic Corp. (a) 2,600 121
Sears Roebuck & Co. 173,600 6,359
Service Corp. International 67,800 347
Shaw Industries, Inc. 63,600 1,006
Starwood Hotels & Resorts Worldwide,
Inc. 41,600 1,183
Target Corp. 51,779 3,447
TeleTech Holdings, Inc. (a) 4,000 130
Tiffany & Co. 17,600 1,279
Time Warner, Inc. 96,900 8,715
TJX Cos., Inc. 46,100 885
TMP Worldwide, Inc. (a) 9,800 639
Toys "R" Us, Inc. (a) 122,500 1,868
Tribune Co. 52,704 2,049
Tricon Global Restaurants, Inc. (a) 82,100 2,802
Tupperware Corp. 26,000 491
UnitedGlobalCom, Inc. Class A (a) 1,300 69
Univision Communications, Inc.
Class A (a) 500 55
Valassis Communications, Inc. (a) 10,700 364
Viacom, Inc. Class B (a) 58,569 3,185
Wal-Mart Stores, Inc. 335,143 18,559
Washington Post Co (The) Class B 94 45
Westwood One, Inc. (a) 10,000 353
Whirlpool Corp. 39,300 2,559
Young & Rubicam, Inc. 11,800 657
Zale Corp. (a) 12,800 528
-----------
147,119
-----------
CONSUMER STAPLES - 5.3%
Albertson's, Inc. 19,800 645
Anheuser-Busch Cos., Inc. 36,720 2,591
Bestfoods 28,000 1,407
Brown-Forman Distillers, Inc. Class B 7,652 418
Canandaigua Brands Co., Inc.
Class A (a) 600 30
Church and Dwight Co., Inc. 7,800 139
Clorox Co. (The) 21,700 797
Coca-Cola Co. (The) 63,900 3,007
Colgate-Palmolive Co. 30,000 1,714
ConAgra, Inc. 130,256 2,459
Dial Corp. 42,700 595
General Mills, Inc. 12,400 451
Gillette Co. (The) 70,400 2,605
Heinz (H.J.) Co. 32,400 1,102
Hershey Foods Corp. 9,700 440
Hormel Foods Corp. 91,400 1,394
IBP, Inc. 202,000 3,333
International Flavors &
Fragrances, Inc. 11,974 412
Interstate Bakeries Corp. 2,300 29
Kellogg Co. 20,600 503
Kimberly-Clark Corp. 50,959 2,959
Kroger Co. (The) (a) 110,200 2,046
Pepsi Bottling Group, Inc. (The) 34,900 753
PepsiCo, Inc. 211,500 7,759
Philip Morris Cos., Inc. 369,350 8,080
Procter & Gamble Co. 163,200 9,731
Quaker Oats Co. 52,800 3,442
Ralston-Purina Group 123,100 2,177
Safeway, Inc. (a) 70,625 3,116
Sara Lee Corp. 154,700 2,321
Seagram Co., Ltd. NPV 106,200 5,735
SuperValu, Inc. 13,300 275
SYSCO Corp. 51,125 1,924
Tyson Foods, Inc. Class A 17,800 186
Unilever NV 24,900 1,134
Universal Corp. 31,400 592
-----------
76,301
-----------
FINANCIAL SERVICES - 13.3%
Aetna, Inc. 32,900 1,904
Allstate Corp. 221,900 5,242
Ambac Financial Group, Inc. 11,900 571
American General Corp. 3,100 174
American International Group, Inc. 156,101 17,122
American National Insurance Co. 1,600 82
Ameritrade Holding Corp. Class A (a) 6,000 100
AmSouth Bancorp 103,175 1,502
AON Corp. 72,710 1,968
Associates First Capital Corp. Class A 91,884 2,039
Astoria Financial Corp. 18,500 509
AXA Financial, Inc. 24,000 783
Bank of America Corp. 397,318 19,469
Bank One Corp. 95,500 2,913
BB&T Corp. 900 24
Bear Stearns Cos., Inc. 20,470 878
Block (H&R) Co., Inc. 10,415 435
</TABLE>
Equity Q Fund 51
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- ---------
<S> <C> <C>
Capital One Financial Corp. 4,200 184
Charter One Financial, Inc. 32,005 650
Chase Manhattan Corp. 93,355 6,727
CIGNA Corp. 21,200 1,691
CIT Group, Inc. 62,800 1,064
Citigroup, Inc. 381,652 22,684
City National Corp. 5,200 191
CNA Financial Corp. (a) 7,900 243
Colonial BancGroup, Inc. 4,400 41
Comerica, Inc. 44,900 1,903
Compass Bancshares, Inc. 11,500 212
Conseco, Inc. 67,900 369
Countrywide Credit Industries, Inc. 27,200 751
Dime Bancorp, Inc. 19,800 371
Donaldson, Lufkin & Jenrette, Inc. 12,900 538
Dow Jones & Co., Inc. 21,300 1,382
Edwards (A.G.), Inc. 2,100 79
Equifax, Inc. 10,700 261
Fannie Mae 53,000 3,197
Federal Home Loan Mortgage Corp. 162,384 7,460
Financial Security Assurance Holdings,
Ltd. 600 44
FINOVA Group, Inc. 11,400 146
First Tennessee National Corp. 13,400 255
First Union Corp. 122,900 3,917
Firstar Corp. 80,500 2,002
FirstMerit Corp. 4,900 80
FleetBoston Financial Corp. 208,317 7,382
Fremont General Corp. 9,000 52
Golden State Bancorp, Inc. (a) 9,700 149
Golden West Financial Corp. 25,800 880
Goldman Sachs Group, Inc. 41,600 3,879
Greenpoint Financial Corp. 33,800 630
Hartford Financial Services Group, Inc.
(The) 12,800 668
Heller Financial, Inc. Class A 4,900 95
Hibernia Corp. Class A 17,400 185
Household International Corp. 34,400 1,436
Huntington Bancshares, Inc. 2,600 47
John Hancock Financial Services,
Inc. (a) 53,200 971
KeyCorp 67,500 1,249
Knight/Trimark Group, Inc.
Class A (a) 6,700 252
Lehman Brothers Holdings, Inc. 18,900 1,551
Leucadia National Corp. 5,900 138
Lincoln National Corp. 23,500 818
Loews Corp. 9,100 502
M & T Bank Corp. 800 351
Marsh & McLennan Cos., Inc. 5,750 567
Marshall & Ilsley Corp. 10,800 502
MBIA, Inc. 20,900 1,033
MBNA Corp. 114,373 3,038
Mercantile Bankshares Corp. 7,500 213
Mercury General Corp. 4,500 123
Merrill Lynch & Co., Inc. 34,070 3,473
MetLife, Inc. New (a) 77,600 1,285
Metris Companies, Inc. 5,800 218
MGIC Investment Corp. 3,300 158
MONY Group, Inc. (The) 5,000 155
Morgan (J.P.) & Co., Inc. 20,118 2,583
Morgan Stanley Dean Witter & Co. 191,396 14,690
National City Corp. 32,000 544
North Fork Bancorp., Inc. 44,000 712
Ocwen Financial Corp. (a) 4,200 30
Old Republic International Corp. 21,900 312
Pacific Century Financial Corp. 7,200 148
Paine Webber Group, Inc. 16,700 733
Paychex, Inc. 18,970 998
Peoples Heritage Financial Group 8,400 109
PMI Group, Inc. (The) 35,700 1,729
PNC Bank Corp. 117,150 5,111
Provident Financial Group, Inc. 3,000 88
Providian Financial Corp. 3,247 286
Radian Group, Inc. 3,300 168
Regions Financial Corp. 23,000 470
SAFECO Corp. 1,500 33
Schwab (Charles) Corp. 5,345 238
SEI Corp. 500 60
Silicon Valley Bancshares (a) 8,600 531
SouthTrust Corp. 99,450 2,374
Sovereign Bancorp, Inc. 57,600 394
St. Paul Cos., Inc. 7,800 278
State Street Corp. 2,600 252
Summit Bancorp 18,400 467
SunTrust Banks, Inc. 43,654 2,215
TCF Financial Corp. 8,000 187
TD Waterhouse Group, Inc. 38,500 772
Torchmark Corp. 22,900 574
Transatlantic Holdings, Inc. 1,800 149
Trustmark Corp. 1,900 34
U.S. Bancorp 76,300 1,550
Union Planters Corp. 11,900 337
UnionBanCal Corp. 31,458 871
UnumProvident Corp. 41,300 702
Waddell & Reed Financial, Inc.
Class A 11,600 309
Washington Federal, Inc. 4,900 86
Washington Mutual, Inc. 104,816 2,680
Wells Fargo Co. 103,000 4,230
-----------
192,191
-----------
</TABLE>
52 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- ---------
<S> <C> <C>
HEALTH CARE - 9.3%
Abbott Laboratories 128,300 4,932
Allergan, Inc. 110,212 6,489
ALZA Corp. (a) 62,400 2,750
American Home Products Corp. 144,400 8,113
Amgen, Inc. (a) 31,500 1,764
Baxter International, Inc. 16,000 1,042
Becton, Dickinson & Co. 23,700 607
Biogen, Inc. (a) 11,832 695
Bristol-Myers Squibb Co. 295,660 15,504
Cardinal Health, Inc. 24,473 1,348
Chiron Corp. (a) 17,871 809
Columbia/HCA Healthcare Corp. 95,351 2,712
Edwards Lifesciences Corp. (a) 3,200 48
Express Scripts, Inc. Class A (a) 11,900 424
First Health Group Corp. (a) 7,100 217
Forest Labs, Inc. (a) 14,300 1,202
Foundation Health Systems, Inc. (a) 16,700 168
Genzyme Corp. (a) 13,900 678
Guidant Corp. 4,900 281
HEALTHSOUTH Corp. (a) 16,200 131
Human Genome Sciences, Inc. (a) 3,300 252
Humana, Inc. (a) 16,200 125
Immunex Corp. (a) 31,508 1,239
IVAX Corp. (a) 53,750 1,471
Johnson & Johnson 177,900 14,677
Jones Pharma, Inc. 5,500 157
Lilly (Eli) & Co. 105,000 8,118
Mallinckrodt, Inc. 80,800 2,172
MedImmune, Inc. (a) 6,481 1,033
Medtronic, Inc. 63,100 3,277
Merck & Co., Inc. 195,254 13,570
PacifiCare Health Systems, Inc. (a) 41,800 2,147
PE Corp. 19,600 1,176
Pfizer, Inc. 156,900 6,609
Pharmacia Corp. (a) 214,752 10,724
Schering-Plough Corp. 125,800 5,071
St. Jude Medical, Inc. (a) 4,300 134
Techne Corp. (a) 4,900 349
Tenet Healthcare Corp. 66,200 1,688
UnitedHealth Group, Inc. (a) 20,132 1,342
Warner-Lambert Co. 78,600 8,945
Watson Pharmaceuticals, Inc. (a) 2,700 121
Wellpoint Health Networks, Inc. (a) 17,478 1,289
-----------
135,600
-----------
INTEGRATED OILS - 3.7%
Amerada Hess Corp. 14,200 903
Ashland, Inc. 11,800 403
Chevron Corp. 94,700 8,061
Coastal Corp. 6,200 311
Conoco, Inc. Class B NPV 50,187 1,248
Exxon Mobil Corp. NPV 415,195 32,255
Kerr-McGee Corp. 14,885 771
Phillips Petroleum Co. 12,900 612
Royal Dutch Petroleum Co. 94,600 5,428
Texaco, Inc. 33,000 1,634
USX-Marathon Group 83,600 1,949
-----------
53,575
-----------
MATERIALS AND PROCESSING - 4.3%
Air Products & Chemicals, Inc. 94,800 2,945
Alcoa, Inc. 23,700 1,538
Allegheny Technologies, Inc. 14,500 351
Archer-Daniels-Midland Co. 117,743 1,170
B.F. Goodrich Co. 11,600 370
Boise Cascade Corp. 4,900 160
Bowater, Inc. 2,000 110
Champion International Corp. 3,500 230
Corning, Inc. 14,600 2,884
Dow Chemical Co. 83,602 9,447
Eastman Chemical Co. 3,400 178
Fort James Corp. 23,600 565
Freeport-McMoRan Copper & Gold, Inc.
Class B (a) 14,700 141
Georgia Gulf Corp. 13,200 318
Georgia-Pacific Group 47,900 1,760
Harland (John H.) Co. 2,000 31
Illinois Tool Works, Inc. 10,591 678
IMC Global, Inc. 7,900 122
International Paper Co. 36,162 1,329
Johns Manville Corp. 9,500 99
Kaufman & Broad Home Corp. 13,500 260
Lafarge Corp. 10,900 275
Louisiana Pacific Corp. 25,400 340
Lubrizol Corp. 3,600 92
Masco Corp. 18,500 415
Minnesota Mining &
Manufacturing Co. 91,415 7,907
Nucor Corp. 33,400 1,436
Pentair, Inc. 17,600 673
Phelps Dodge Corp. 8,300 384
PPG Industries, Inc. 7,200 392
Praxair, Inc. 12,400 551
Precision Castparts Corp. 8,500 355
Pulte Corp. 11,400 245
Reynolds Metals Co. 9,400 625
Rohm & Haas Co. 50,501 1,799
RPM, Inc. 1,205 12
Sherwin-Williams Co. 66,091 1,644
Sigma Aldrich Corp. 55,200 1,618
Smurfit-Stone Container Corp. (a) 37,900 576
</TABLE>
Equity Q Fund 53
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Solutia, Inc. 33,000 450
Teleflex, Inc. 354 12
Temple-Inland, Inc. 7,500 376
Textron, Inc. 7,200 446
Tyco International, Ltd. 249,681 11,470
Unifi, Inc. (a) 8,000 82
Union Carbide Corp. 3,800 224
USEC, Inc. 9,300 43
USG Corp. 81,300 3,394
USX-U.S. Steel Group 7,100 177
Weyerhaeuser Co. 28,634 1,530
-----------
62,229
-----------
OTHER ENERGY - 1.3%
Apache Corp. 78,100 3,783
Diamond Offshore Drilling, Inc. 2,200 89
El Paso Energy Corp. 1,500 64
ENSCO International, Inc. 11,400 378
Global Marine, Inc. (a) 22,200 533
Input/Output, Inc. (a) 2,800 21
Nabors Industries, Inc. (a) 7,400 292
Noble Drilling Corp. (a) 42,900 1,713
Occidental Petroleum Corp. 96,400 2,067
Pioneer Natural Resources Co. (a) 3,234 33
R&B Falcon Corp. (a) 100 2
Sunoco, Inc. 9,600 291
Tidewater, Inc. 13,400 399
Tosco Corp. 84,800 2,719
Transocean Sedco Forex, Inc. 21,486 1,010
Ultramar Diamond Shamrock Corp. 100,900 2,497
Union Pacific Resources Group, Inc. 112,500 2,158
Valero Energy Corp. 20,600 597
-----------
18,646
-----------
PRODUCER DURABLES - 7.6%
Applied Materials, Inc. (a) 93,600 9,530
Beckman Coulter, Inc. 7,700 499
Boston Scientific Corp. (a) 41,800 1,108
Caterpillar, Inc. 34,700 1,368
Cognex Corp. (a) 2,600 145
Cordant Technologies, Inc. 800 45
Credence Systems Corp. (a) 1,800 257
Cummins Engine Co., Inc. 13,300 473
D.R. Horton, Inc. 21,300 276
Diebold, Inc. 15,144 437
Dover Corp. 62,900 3,196
Emerson Electric Co. 26,500 1,454
General Electric Co. 384,922 60,529
Honeywell International, Inc. 89,200 4,995
Hubbell, Inc. Class B 7,000 182
Ingersoll-Rand Co. 47,627 2,235
ITT Industries, Inc. 23,300 735
KLA Tencor Corporation (a) 6,000 449
Lexmark International Group, Inc.
Class A (a) 5,700 673
Litton Industries, Inc. (a) 10,400 452
Lockheed Martin Corp. 64,500 1,604
Mettler-Toledo International, Inc. (a) 5,200 179
Milacron, Inc. 4,200 77
Miller (Herman), Inc. 6,200 169
Millipore Corp. 6,900 495
NACCO Industries, Inc. Class A 1,700 76
Northrop Grumman Corp. 62,200 4,408
Pall Corp. 1,417 32
Parker-Hannifin Corp. 4,900 228
Raytheon Co. Class A 15,400 353
Raytheon Co. Class B 39,000 865
Rockwell International Corp. 24,231 954
Solectron Corp. (a) 29,048 1,360
Tecumseh Products Co. Class A 3,300 154
Teradyne, Inc. (a) 68,200 7,502
United Technologies Corp. 27,000 1,680
Waste Management, Inc. 35,500 564
-----------
109,738
-----------
TECHNOLOGY - 29.1%
3Com Corp. (a) 42,300 1,666
Adaptec, Inc. New (a) 16,502 446
Adobe Systems, Inc. 28,000 3,386
Advanced Micro Devices, Inc. (a) 7,700 676
Altera Corp. (a) 23,177 2,368
America Online, Inc. (a) 220,051 13,162
Analog Devices, Inc. (a) 33,200 2,550
Anixter International, Inc. (a) 3,000 101
Apple Computer, Inc. (a) 15,596 1,935
Applied Micro Circuits Corp. (a) 10,000 1,288
At Home Corp. Series A (a) 11,500 213
Autodesk, Inc. 400 15
Automatic Data Processing, Inc. 5,700 307
AVX Corp. 37,000 3,605
BEA Systems, Inc. (a) 27,200 1,307
Broadcom Corp. Class A (a) 6,000 1,034
Brocade Communications Systems,
Inc. (a) 2,700 334
Cisco Systems, Inc. (a) 921,204 63,909
Citrix Systems, Inc. (a) 17,800 1,087
CMGI, Inc. (a) 10,400 742
CNET Networks, Inc. (a) 1,800 62
COMPAQ Computer Corp. 79,300 2,320
Computer Associates
International, Inc. 124,800 6,965
Computer Sciences Corp. (a) 3,600 294
</TABLE>
54 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Comverse Technology, Inc. (a) 10,600 945
Conexant Systems, Inc. (a) 15,200 910
Cooper Industries, Inc. 15,700 539
Cypress Semiconductor Corp. (a) 53,800 2,794
Dell Computer Corp. (a) 238,400 11,935
DoubleClick, Inc. (a) 10,600 804
DST Systems, Inc. (a) 12,100 898
E*TRADE Group, Inc. (a) 22,800 489
E-Tek Dynamics, Inc. (a) 1,300 266
eBay, Inc. (a) 1,000 159
Electronic Data Systems Corp. 39,801 2,736
EMC Corp. (a) 133,686 18,574
Exodus Communications, Inc. (a) 19,200 1,696
Galileo International, Inc. 110,100 2,546
General Dynamics Corp. 19,696 1,152
GTECH Holdings Corp. (a) 10,800 224
Hewlett-Packard Co. 42,100 5,684
i2 Technologies, Inc. (a) 3,500 452
Ikon Office Solutions, Inc. 60,300 354
Imation Corp. (a) 5,600 157
InfoSpace.com, Inc. (a) 3,400 245
Inktomi Corp. (a) 3,600 554
Integrated Device Technology, Inc. (a) 23,300 1,118
Intel Corp. 390,900 49,571
International Business
Machines Corp. 170,002 18,976
International Game Technology 21,300 519
JDS Uniphase Corp. (a) 28,900 2,997
Kemet Corp. (a) 4,800 358
Lattice Semiconductor Corp. (a) 4,400 293
Linear Technology Corp. 25,700 1,468
LSI Logic Corp. (a) 29,800 1,863
Lucent Technologies, Inc. 203,632 12,663
Lycos, Inc. (a) 11,300 525
Macromedia, Inc. (a) 1,600 139
MarchFirst, Inc. (a) 2,941 62
Maxim Integrated Products, Inc. (a) 39,700 2,571
Mercury Interactive Corp. (a) 2,800 252
Microchip Technology, Inc. (a) 28,800 1,786
Microsoft Corp. (a) 416,031 29,018
Motorola, Inc. 88,129 10,493
National Semiconductor Corp. (a) 97,125 5,900
NCR Corp. (a) 4,164 161
Network Appliance, Inc. (a) 25,300 1,871
Network Solutions, Inc. (a) 3,200 473
Nortel Networks Corp. 123,700 14,009
NorthPoint Communications Group,
Inc. (a) 14,100 226
Oracle Systems Corp. (a) 299,560 23,927
Palm, Inc. New (a) 545 15
Parametric Technology Corp. (a) 27,300 223
PeopleSoft, Inc. (a) 5,100 71
PMC - Sierra, Inc. (a) 20,600 3,950
QUALCOMM, Inc. (a) 71,016 7,701
Quantum Corp. - DLT & Storage
Systems 14,400 169
Rational Software Corp. (a) 600 51
RealNetworks, Inc. (a) 6,800 323
Safeguard Scientifics, Inc. (a) 3,600 150
Sanmina Corp. (a) 300 18
SCI Systems, Inc. (a) 6,200 330
Seagate Technology (a) 49,874 2,534
Siebel Systems, Inc. (a) 28,300 3,477
Silicon Graphics, Inc. (a) 4,800 35
Sun Microsystems, Inc. (a) 265,770 24,434
SunGard Data Systems (a) 113,000 3,906
Sybase, Inc. (a) 22,500 454
Symantec Corp. (a) 12,500 778
Tandy Corp. 24,500 1,397
Tellabs, Inc. (a) 400 22
Texas Instruments, Inc. 100,400 16,353
TIBCO Software, Inc. (a) 1,200 107
Unisys Corp. (a) 12,754 296
VeriSign, Inc. (a) 500 70
Veritas Software Corp. (a) 35,089 3,763
Vignette Corp. (a) 3,600 174
Vishay Intertechnology, Inc. (a) 26,000 2,180
Vitesse Semiconductor Corp. (a) 3,200 217
Xilinx, Inc. (a) 17,962 1,315
Yahoo!, Inc. (a) 24,600 3,202
-----------
422,839
-----------
UTILITIES - 9.5%
ADC Telecommunications, Inc. (a) 13,700 831
Allegiance Telecom, Inc. (a) 3,150 222
Alltel Corp. 12,400 826
AT&T Corp. 185,577 8,664
Bell Atlantic Corp. 287,737 17,048
BellSouth Corp. 330,051 16,069
BroadWing, Inc. (a) 1,700 48
Calpine Corp. (a) 9,400 860
Carolina Power & Light Co. 35,700 1,305
Central & Southwest Corp. 55,700 1,208
Cinergy Corp. 20,500 548
CMS Energy Corp. 20,900 397
Columbia Energy Group 9,400 590
Comcast Corp. Special Class A 119,495 4,787
CommScope, Inc. (a) 10,500 499
Consolidated Edison, Inc. 27,401 964
Cox Communications, Inc. Class A (a) 3,736 160
Dominion Resources, Inc. NPV 50,600 2,277
DTE Energy Co. 54,600 1,781
</TABLE>
Equity Q Fund 55
<PAGE>
EQUITY Q FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Duke Energy Corp. 42,900 2,467
Dycom Industries, Inc. (a) 3,200 166
Dynegy, Inc. Class A 7,000 458
Edison International 79,900 1,523
Energy East Corp. 25,600 534
Entergy Corp. 22,700 577
FirstEnergy Corp. 49,900 1,269
FPL Group, Inc. 8,893 402
Global Crossing, Ltd. (a) 86,100 2,707
GPU, Inc. 37,000 1,038
GTE Corp. 93,700 6,348
KeySpan 48,900 1,436
Level 3 Communications, Inc. (a) 13,400 1,191
MasTec, Inc. (a) 2,100 181
MCI WorldCom, Inc. (a) 358,647 16,296
Nextel Communications, Inc.
Class A (a) 28,462 3,115
Nextlink Communications, Inc.
Class A (a) 6,400 539
NiSource, Inc. NPV 13,400 248
Northern States Power Co. 11,400 249
OGE Energy Corp. 24,200 479
PG&E Corp. 125,800 3,263
Pinnacle West Capital Corp. 16,900 594
Powertel, Inc. (a) 2,700 180
PPL Corp. 24,700 590
Public Service Co. of New Mexico 10,700 193
Public Service Enterprise Group, Inc. 78,700 2,823
Quanta Services, Inc. (a) 6,000 279
Reliant Energy, Inc. NPV 61,869 1,647
SBC Communications, Inc. 337,890 14,804
SDL, Inc. (a) 4,300 838
Southern Co. 71,460 1,782
Sprint Corp. (Fon Group) 23,300 1,433
Sprint Corp. (PCS Group) (a) 40,800 2,244
Texas Utilities Co. 107,543 3,623
U.S. West, Inc. 34,300 2,442
UtiliCorp United, Inc. 11,600 224
Western Resources, Inc. 7,960 126
Williams Cos. (The) 11,400 426
Wisconsin Energy Corp. 15,600 334
-----------
138,152
-----------
TOTAL COMMON STOCKS
(cost $1,074,574) 1,389,742
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 4.3%
Frank Russell Investment Company Money
Market Fund,
due on demand (b) 56,795 56,795
United States Treasury Bills (b)(c)(d)
5.470% due 06/29/00 4,950 4,905
-----------
TOTAL SHORT-TERM INVESTMENTS
(cost $61,700) 61,700
-----------
TOTAL INVESTMENTS - 100.1%
(identified cost $1,136,274) 1,451,442
OTHER ASSETS AND LIABILITIES,
NET - (0.1%) (1,063)
-----------
NET ASSETS - 100.0% 1,450,379
===========
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
----------- --------------
<S> <C> <C>
FUTURES CONTRACTS
S&P 400 Midcap Index
expiration date 06/00 48 $ 12
S&P 500 Index 134 1,744
-------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 1,756
=======
</TABLE>
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Rate noted is yield-to-maturity from date of acquisition.
(d) Held as collateral in connection with futures contracts purchased
by the Fund.
See accompanying notes which are an integral part of the financial statements.
56 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $1,136,274). . . . . . . $ 1,451,442
Cash. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 935
Receivables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,423
Investments sold . . . . . . . . . . . . . . . . . . . . . . . 11,547
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . 3,651
Prepaid expenses. . . . . . . . . . . . . . . . . . . . . . . . 17
-----------
Total assets . . . . . . . . . . . . . . . . . . . . . . . . 1,469,015
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . $ 12,243
Fund shares redeemed . . . . . . . . . . . . . 5,432
Accrued fees to affiliates . . . . . . . . . . 781
Other accrued expenses . . . . . . . . . . . . 66
Daily variation margin on futures contracts. . 114
---------
Total liabilities. . . . . . . . . . . . . . . . . . . . . . 18,636
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,450,379
===========
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . . . $ 665
Accumulated net realized gain (loss). . . . . . . . . . . . . . 116,942
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 315,168
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . 1,756
Shares of beneficial interest . . . . . . . . . . . . . . . . . 353
Additional paid-in capital. . . . . . . . . . . . . . . . . . . 1,015,495
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,450,379
===========
NET ASSET VALUE, offering and redemption price per share:
Class E ($27,870,885 divided by 678,867 shares of $.01 par
value shares of beneficial interest outstanding) . . . . . . $ 41.06
===========
Class I ($1,376,904,318 divided by 33,541,473 shares of $.01
par value shares of beneficial interest outstanding) . . . . $ 41.05
===========
Class Y ($45,603,496 divided by 1,110,837 shares of $.01 par
value shares of beneficial interest outstanding) . . . . . . $ 41.05
===========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity Q Fund 57
<PAGE>
EQUITY Q FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- ------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends. . . . . . . . . . . . . . . . . . . $ 5,368 $ 16,490
Dividends from Money Market Fund . . . . . . . 1,214 1,688
Interest . . . . . . . . . . . . . . . . . . . 20 243
--------- ---------
Total investment income. . . . . . . . . . . 6,602 18,421
--------- ---------
EXPENSES
Advisory fees. . . . . . . . . . . . . . . . . 2,515 6,772
Administrative fees. . . . . . . . . . . . . . 230 619
Custodian fees . . . . . . . . . . . . . . . . 186 472
Transfer agent fees. . . . . . . . . . . . . . 139 467
Professional fees. . . . . . . . . . . . . . . 17 31
Registration fees. . . . . . . . . . . . . . . 53 88
Shareholder servicing fees - Class E . . . . . 26 38
Trustees' fees . . . . . . . . . . . . . . . . 4 5
Miscellaneous. . . . . . . . . . . . . . . . . 26 90
--------- ---------
Total expenses . . . . . . . . . . . . . . . 3,196 8,582
--------- ---------
Net investment income . . . . . . . . . . . . . 3,406 9,839
--------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments. . . . . . . . . . . . . . . . . . 43,225 235,895
Futures contracts. . . . . . . . . . . . . . . 942 5,206
--------- ---------
44,167 241,101
--------- ---------
Net change in unrealized appreciation
(depreciation) on:
Investments. . . . . . . . . . . . . . . . . . (30,113) 774
Futures contracts. . . . . . . . . . . . . . . (793) 1,719
--------- ---------
(30,906) 2,493
--------- ---------
Net realized and unrealized gain (loss) . . . . 13,261 243,594
--------- ---------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS. . . . . . . . . . . . . . . . . . . $ 16,667 $ 253,433
========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
58 Equity Q Fund
<PAGE>
EQUITY Q FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income. . . . . . . . . . . . . . $ 3,406 $ 9,839 $ 9,340
Net realized gain (loss) . . . . . . . . . . . . 44,167 241,101 153,911
Net change in unrealized appreciation
(depreciation). . . . . . . . . . . . . . . . . (30,906) 2,493 87,859
----------- ----------- -----------
Net increase (decrease) in net assets from
operations. . . . . . . . . . . . . . . . . . 16,667 253,433 251,110
----------- ----------- -----------
DISTRIBUTIONS
From net investment income
Class E. . . . . . . . . . . . . . . . . . . . (54) (133) (9,349)
Class I. . . . . . . . . . . . . . . . . . . . (2,600) (10,782) --
Class Y. . . . . . . . . . . . . . . . . . . . (87) -- --
From net realized gain
Class E. . . . . . . . . . . . . . . . . . . . (644) (4,279) (117,001)
Class I. . . . . . . . . . . . . . . . . . . . (25,404) (191,979) --
----------- ----------- -----------
Net decrease in net assets from
distributions . . . . . . . . . . . . . . . (28,789) (207,173) (126,350)
----------- ----------- -----------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from
share transactions. . . . . . . . . . . . . . . 68,420 171,921 63,380
----------- ----------- -----------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS . . . 56,298 218,181 188,140
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . 1,394,081 1,175,900 987,760
----------- ----------- -----------
End of period (including undistributed net
investment income of $665 at April 30, 2000
and $40 at December 31, 1998) . . . . . . . . . $ 1,450,379 $ 1,394,081 $ 1,175,900
=========== =========== ===========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity Q Fund 59
<PAGE>
EQUITY Q FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
------- -------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $ 41.58 $ 42.99
------- -------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . .06 .14
Net realized and unrealized gain (loss) . . . . . . . . .25 4.35
------- -------
Total income from operations. . . . . . . . . . . . . .31 4.49
------- -------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . (.07) (.24)
From net realized gain. . . . . . . . . . . . . . . . . (.76) (5.66)
------- -------
Total distributions . . . . . . . . . . . . . . . . . (.83) (5.90)
------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $ 41.06 $ 41.58
======= =======
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . .89 11.01
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . 27,871 30,746
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . .95 .94
Net investment income . . . . . . . . . . . . . . . . .48 .55
Portfolio turnover rate (%) . . . . . . . . . . . . . . 43.18 90.16
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period May 14, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
60 Equity Q Fund
<PAGE>
EQUITY Q FUND
FINANCIAL HIGHLIGHTS - CLASS I
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD . $ 41.55 $ 40.22 $ 35.90 $ 32.94 $ 30.40 $ 24.43
------- ------- ------- ------- ------- -------
INCOME FROM OPERATIONS
Net investment income
(a). . . . . . . . .10 .34 .32 .44 .58 .59
Net realized and
unrealized gain
(loss) . . . . . . .24 8.03 8.53 10.01 6.33 8.52
------- ------- ------- ------- ------- -------
Total income from
operations . . . . .34 8.37 8.85 10.45 6.91 9.11
------- ------- ------- ------- ------- -------
DISTRIBUTIONS
From net investment
income . . . . . . (.08) (.38) (.32) (.44) (.59) (.61)
From net realized
gain . . . . . . . (.76) (6.66) (4.21) (7.05) (3.78) (2.53)
------- ------- ------- ------- ------- -------
Total distributions (.84) (7.04) (4.53) (7.49) (4.37) (3.14)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END
OF PERIOD . . . . . . $ 41.05 $ 41.55 $ 40.22 $ 35.90 $ 32.94 $ 30.40
======= ======= ======= ======= ======= =======
TOTAL RETURN (%)(b)(d) .97 21.96 25.98 33.07 23.67 37.91
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period (in
thousands) . . . . 1,376,904 1,363,336 1,175,900 987,760 818,281 620,259
Ratios to average net
assets (%)(c)(d):
Operating expenses .68 .69 .69 .68 .71 .58
Net investment
income . . . . . . .74 .80 .85 1.17 1.80 2.07
Portfolio turnover
rate (%) . . . . . 43.18 90.16 74.56 94.89 74.59 74.00
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(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.
Equity Q Fund 61
<PAGE>
EQUITY Q FUND
FINANCIAL HIGHLIGHTS - CLASS Y
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000*
--------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . $ 42.29
----------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . . . . . . .02
Net realized and unrealized gain (loss) . . . . . . . . . . . . . (1.18)
----------
Total income from operations. . . . . . . . . . . . . . . . . . (1.16)
----------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . . . . . . (.08)
----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . $ 41.05
==========
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . . . . . (2.71)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . . . . . . 45,603
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . . . . . .64
Net investment income . . . . . . . . . . . . . . . . . . . . . .61
Portfolio turnover rate (%) . . . . . . . . . . . . . . . . . . . 43.18
</TABLE>
* For the period March 30, 2000 (commencement of sale) to April 30, 2000
(Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Not annualized.
(c) Annualized.
62 Equity Q Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
COMMON STOCKS - 92.7%
AUSTRALIA - 2.0%
Amcor, Ltd. 539,265 1,597
AMP, Ltd. 42,900 376
Australia & New Zealand Bank Group,
Ltd. 297,359 2,056
Australian Gas & Light Co. 5,400 28
Boral, Ltd. (a) 36,973 43
Brambles Industries, Ltd. 2,400 68
Broken Hill Proprietary Co. 48,685 524
Cable & Wireless Optus, Ltd. (a) 1,084,300 3,502
Coles Myer, Ltd. 6,792 25
Colonial, Ltd. 10,354 53
CSR, Ltd. 1,046,900 2,293
Davnet, Ltd. 800,000 1,145
F.H. Faulding & Co., Ltd. 3,600 14
Fairfax (John) Holdings, Ltd. 444,400 1,285
Foster's Brewing Group, Ltd. 1,119,600 2,829
Goodman Fielder Wattie 810,912 601
Harvey Norman Holdings, Ltd. 27,800 58
Leighton Holdings, Ltd. Class A 5,100 13
Lend Lease Corp. 28,000 303
Macquarie Bank, Ltd. 2,000 28
National Australia Bank, Ltd. 249,400 3,417
National Foods, Ltd. 10,800 16
News Corp., Ltd. 31,217 396
Oil Search, Ltd. (Australia Regd) (a) 10,600 10
Orica, Ltd. 181,000 716
Origin Energy, Ltd. (a) 36,973 28
Pacific Dunlop, Ltd. 576,985 485
Paperlinx, Ltd. (a) 179,755 324
PMP Communications, Ltd. 196,000 211
Rio Tinto Ltd. 3,200 48
Southcorp Holdings, Ltd. 105,400 329
Tabcorp. Holdings, Ltd. 4,700 25
Telstra Corp., Ltd. 149,300 640
Telstra Corp., Ltd. Installment
Receipts 52,783 135
Wesfarmers, Ltd. 4,400 31
Westfield Holdings, Ltd. 7,100 39
Westfield Trust 172,846 317
Westfield Trust New (a) 17,857 32
Westpac Banking Corp. 58,700 375
WMC, Ltd. 48,800 203
Woodside Petroleum, Ltd. 4,600 27
Woolworth's, Ltd. 11,821 39
-----------
24,684
-----------
AUSTRIA - 0.2%
Bank Austria AG 38,072 1,689
Voest-Alpine Stahl AG 13,000 371
Wienerberger Baustoffindustrie AG 12,800 274
-----------
2,334
-----------
BELGIUM - 0.2%
Dexia 10,778 1,445
Electrabel 5,900 1,426
Real Software 1,500 101
Ubizen (a) 724 103
-----------
3,075
-----------
CANADA - 4.6%
Abitibi-Consolidated, Inc. 7,160 81
Air Canada, Inc. (a) 4,904 51
Air Canada Inc. Class A (a) 6,950 64
Alberta Energy Co., Ltd. 67,399 2,132
Alcan Aluminum, Ltd. 1,970 64
Anderson Exploration, Ltd. (a) 1,730 28
ATI Technologies, Inc. (a) 4,630 90
Ballard Power Systems, Inc. (a) 22,400 1,784
Bank of Montreal 61,720 2,240
Bank of Nova Scotia 19,195 437
Barrick Gold Corp. 16,040 270
BCE, Inc. 81,255 9,410
Bombardier, Inc. Class B 98,957 2,660
Canadian Imperial Bank of Commerce 21,265 557
Canadian National Railway Co. 117,840 3,290
Canadian Natural Resources, Ltd. (a) 3,997 107
Canadian Occidental Petroleum, Ltd. 1,730 40
Canadian Pacific, Ltd. 15,090 351
Celestica, Inc. (a) 4,020 218
Dofasco, Inc. 34,071 612
Domtar, Inc. 6,720 76
Enbridge, Inc. 5,520 119
Falconbridge, Ltd. New (a) 4,530 67
Franco-Nevada Mining Corp., Ltd. 1,536 18
Hudson's Bay Co. 208,000 2,472
Imperial Oil, Ltd. 14,692 344
Inco, Ltd. (a) 9,320 146
Loblaw Cos., Ltd. 1,640 44
Magna International, Inc. Class A 1,460 68
Magna International, Inc. Class A
Sub Voting 5,680 264
Manulife Financial Corp. 9,300 146
Mitel Corp. (a) 196,940 4,934
National Bank of Canada 38,200 537
Newbridge Networks Corp. (a) 56,940 2,040
Noranda, Inc. 13,631 129
Nortel Networks Corp. 54,970 6,217
</TABLE>
64 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
NOVA Chemicals Corp. 8,780 198
Petro-Canada 93,600 1,577
Placer Dome, Inc. 5,817 47
Potash Corp. of Saskatchewan, Inc. 2,320 125
Quebecor World Inc. (a) 20,850 473
Rogers Communications, Inc.
Class B (a) 39,360 1,025
Royal Bank of Canada 17,770 839
Seagram Co., Ltd. 64,428 3,390
Shaw Communications, Inc. Class B 2,790 65
Suncor, Inc. 6,337 271
Talisman Energy, Inc. (a) 138,640 4,133
TD Waterhouse Group, Inc. (a) 11,600 231
Teleglobe, Inc. 2,330 58
Thomson Corp. (The) 12,000 396
Toronto Dominion Bank (The) New 14,782 342
Torstar Corp. Class B 14,800 169
TransAlta Corp. 11,300 109
TransCanada Pipelines, Ltd. 11,700 82
Westcoast Energy, Inc. 81,883 1,381
-----------
57,018
-----------
DENMARK - 0.5%
ISS A/S (a) 22,471 1,421
Jyske Bank A/S (Regd) 56,205 1,098
Novo Nordisk A/S Series B 22,791 3,060
Sydbank A/S 3,699 116
-----------
5,695
-----------
FINLAND - 1.8%
Helsinki Telephone Corp. Series E 23,600 1,864
Huhtamaki Oyj Series I Free 3,000 89
Kesko Oyj 89,100 972
Nokia Corp. - ADR 9,200 523
Nokia Oyj 248,564 14,259
Pohjola Group Insurance Corp.
Series B 7,300 363
Sampo Insurance Co., Ltd. Series A 22,751 860
Sonera Group Oyj 29,920 1,641
Stora Enso Oyj Series R 46,000 475
Tietoenator Oyj 3,454 166
UPM-Kymmene Oyj 14,892 386
Valmet - Rauma Oyj 27,225 359
-----------
21,957
-----------
FRANCE - 9.9%
Accor SA (a) 43,000 1,597
Alcatel Alsthom 23,812 5,520
Alstom 189,716 4,727
Assurances Generales de France 26,856 1,334
Aventis SA (a) 68,561 3,783
AXA 4,839 717
Banque Nationale Paris 46,724 3,776
Bongrain SA 2,260 643
Bouygues SA 1,685 1,075
Canal Plus (a) 5,670 1,093
Carrefour SA 29,822 1,941
Castorama Dubois 11,740 2,561
Chargeurs International SA 3,100 166
Christian Dior SA 4,574 1,087
Cie de St. Gobain 13,000 1,774
CNP Assurances 4,200 122
Coface (a) 1,578 145
Coflexip SA 1,311 128
Credit Lyonnais 48,000 1,870
Dassault Systemes SA 3,023 232
Eridania Beghin-Say SA 1,843 152
Fimatex (a) 11,290 233
France Telecom SA 14,845 2,297
Gecina 1,288 119
Genset (a) 2,489 187
Groupe Danone 2,386 522
Havas Advertising SA 380 190
L'Air Liquide 12,892 1,678
Lafarge SA 13,735 1,138
Lagardere S.C.A. 2,985 202
Legris Industries SA 4,600 174
Louis Vuitton Moet-Hennessy 3,015 1,265
Michelin (Cie Gen) Class B 49,561 1,645
Peugeot SA 5,515 1,141
Pinault-Printemps-Redoute SA 1,188 240
Renault (Regie Nationale) 6,089 277
Rhodia SA 254,167 4,714
Rhone-Poulenc SA Class A - ADR 199,232 10,958
Sanofi-Synthelabo SA (a) 33,705 1,258
Schneider Electric SA 51,936 3,399
Scor SA 6,000 261
Simco (Regd) 3,900 252
Societe Generale 22,117 4,580
Societe Television Francaise 1 3,800 2,601
Suez Lyonnaise des Eaux SA 41,772 6,551
Sylea 2,800 107
Thomson-CSF 32,118 1,142
Total Co. SA Class B 151,276 22,953
Total Fina SA - ADR 41,985 3,175
Usinor Sacilor 107,814 1,417
Vivendi 126,219 12,485
-----------
121,604
-----------
</TABLE>
International Fund 65
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
GERMANY - 8.1%
1&1 Aktiengesellschaft & Co. (a) 2,783 724
Allianz AG 6,704 2,580
BASF AG 58,170 2,543
Bayer AG 151,314 6,304
Bayerische Hypo Vereinsbank AG 72,000 4,385
Bayerische Motoren Werke AG 109,200 2,939
Bilfinger & Berger BAU AG 3,900 55
Brokat Infosystems AG (a) 1,516 185
Celanese AG 590 12
Commerzbank AG 40,400 1,529
Consors Discount Broker AG (a) 23,980 2,681
Continental AG 86,000 1,575
DaimlerChrysler AG 6,962 406
Deutsche Bank AG (a) 53,715 3,609
Deutsche Lufthansa AG 77,746 1,615
Deutsche Pfandbrief & Hypothekenbank
AG 8,000 804
Deutsche Telekom AG (a) 76,247 4,948
Dresdner Bank AG (a) 68,425 2,819
EM.TV & Merchandising AG 21,240 1,680
Entrium Direct Bankers AG (a) 5,000 191
Epcos AG (a) 21,656 3,052
Gerresheimer Glas AG 11,350 133
Hannover Rueckversicherungs AG 6,262 396
IKB Deutsche Industriebank AG 2,250 34
Infineon Technologies AG (a) 38,740 2,668
Infor Business Solutions AG (a) 6,701 219
Intershop Communications AG (a) 391 174
Jenoptik AG 240,400 6,841
Karstadt AG (a) 60,900 1,855
Loewe AG (a) 600 14
Mannheimer Aktiengesellschaft (a) 5,000 280
Marschollek, Lautenschlaeger and
Partner AG 100 35
Merck KGAA 65,700 1,887
Metallgesellschaft AG 59,353 918
Metro AG 5,538 215
Muenchener
Rueckversicherungs-Gesellschaft AG 11,082 3,249
Phoenix AG 11,000 129
PrimaCom AG (a) 3,062 238
PSI AG (a) 19,000 653
RWE AG 67,330 2,183
SAP AG 779 365
Schering AG 9,640 1,363
SGL Carbon AG (a) 41,680 3,220
Siemens AG 84,679 12,548
Software AG (a) 9,771 1,128
Stinnes AG (a) 12,053 257
Systematics AG (a) 38,600 2,702
T-Online International AG (a) 2,400 90
Thyssen Krupp AG (a) 9,702 204
Veba AG 160,527 8,056
Viag AG (a) 70,710 1,380
Volkswagen AG 40,371 1,522
-----------
99,592
-----------
GREECE - 0.2%
Hellenic Telecommunication
Organization SA - ADR 182,200 2,129
-----------
HONG KONG - 1.4%
Asia Satellite Telecommunications
Holdings, Ltd. 10,000 31
Bank of East Asia, Ltd. 109,800 238
Cathay Pacific Airways 18,000 32
CDL Hotels International 611,000 176
Cheung Kong Holdings, Ltd. 361,900 4,321
China Telecom (Hong Kong), Ltd. (a) 39,900 286
CLP Holdings, Ltd. 144,300 647
Dao Heng Bank Group, Ltd. 7,000 32
Giordano International, Ltd. 38,000 62
Great Eagle Holdings 641,849 1,096
Hang Lung Development Co. 250,000 194
Hang Seng Bank 8,600 79
Hong Kong & China Gas Co., Ltd. 58,047 63
Hong Kong Electric Holding, Ltd. 1,241,414 3,881
Hong Kong Telecommunications, Ltd. 110,500 261
Hutchison Whampoa, Ltd. 81,800 1,187
i-CABLE Communications, Ltd. (a) 1,717,000 749
Jardine Matheson Holdings, Ltd. - ADR
(a) 232,700 931
JCG Holdings, Ltd. 60,800 32
Johnson Electric Holdings, Ltd. 13,400 108
Li & Fung, Ltd. 29,400 115
New World Infrastructure, Ltd. (a) 15,000 16
Orient Overseas International Ltd. 188,000 109
SmarTone Telecommunications Holdings,
Ltd. 53,000 166
Sun Hung Kai Properties, Ltd. 27,400 215
Sunevision Holdings, Ltd. (a) 116,500 152
Swire Pacific, Ltd. Class A 17,400 98
Tai Cheung Holdings 73,000 15
Television Broadcast 6,000 41
Wharf Holdings 696,537 1,444
Wheelock & Co. 15,000 11
Wing Hang Bank, Ltd. 11,900 28
-----------
16,816
-----------
</TABLE>
66 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
IRELAND - 0.4%
Bank of Ireland 358,090 2,415
CRH PLC 53,968 865
DCC PLC 97,400 961
Fyffes PLC 31,000 52
Irish Life & Permanent PLC 11,862 98
Jefferson Smurfit Group PLC 106,159 232
-----------
4,623
-----------
ITALY - 3.8%
Banca Commerciale Italiana 283,000 1,338
Banca Nazionale del Lavoro (a) 914,126 2,992
Banca Pop di Milano 79,181 472
Banca Popolare di Bergamo CV 38,600 699
Banca Popolare di Brescia 1,978 180
Banco Fideuram SpA 20,950 312
Bulgari SPA 116,400 1,270
Credito Emiliano SPA 38,258 109
ENI SPA - ADR 34,000 1,768
Ente Nazionale Idrocarburi SPA 486,226 2,418
Fiat SPA 7,130 175
Fiat SPA di Risp 26,435 329
Finmeccanica SPA (a) 358,818 564
Ifil (Finanziaria di Partecipazioni)
SPA (a) 31,000 118
Istituto Mobiliare Italiano SPA 367,678 5,148
Magneti Marelli SPA (a) 36,750 138
Mediaset SpA 440,357 7,146
Mediolanum SpA 54,668 907
Montefibre di Risp 90,000 42
Pirelli SPA 687,000 1,646
R.A.S. 211,400 2,160
Saipem SPA 26,100 129
Tecnost SPA (a) 50,000 175
Telecom Italia Mobile SPA 717,936 6,853
Telecom Italia SPA 685,936 4,321
Telecom Italia SPA di Risp 386,277 5,401
Unicredito Italiano SpA 57,319 233
-----------
47,043
-----------
JAPAN - 22.4%
77th Bank, Ltd. (The) 175,000 1,257
Advantest Corp. 2,500 572
AIFUL Corp. 8,950 903
AIFUL Corp. New (a) 4,475 452
Ajinomoto Co., Inc. 25,000 286
Aoki International 27,000 77
Aoyama Trading Co. 45,000 588
Asahi Bank, Ltd. 88,000 424
Asahi Chemical Industrial 51,000 294
Bank of Fukuoka, Ltd. (The) 35,000 231
Bank of Tokyo - Mitsubishi, Ltd. 82,000 1,058
Belluna Co., Ltd. 900 18
Bridgestone Tire Corp. 18,000 391
Canon, Inc. 260,000 11,891
Chuo Mitsui Trust & Banking Co. (The),
Ltd. (a) 9,300 42
Credit Saison Co. 128,000 2,092
Dai Ichi Kangyo Bank 14,000 116
Dai Ichi Pharmaceutical Co. 21,000 361
Dai-Tokyo Fire & Marine 388,000 1,052
Daito Trust Construction 34,990 551
Daiwa Kosho Lease Co., Ltd. 104,000 281
Daiwa Securities Group, Inc. 419,000 6,401
DDI Corp. 41 471
Deodeo Corp. 18,000 143
Ebara Corp. 50,000 578
Eisai Co. 104,000 3,033
Ezaki Glico Co. 76,000 354
Fast Retailing Co., Ltd. 300 132
Fuji Bank, Ltd. 361,000 3,008
Fuji Heavy Industries, Ltd. 56,000 428
Fuji Machine Manufacturing Co. 41,400 2,878
Fuji Photo Film Co. 5,000 200
Fujisawa Pharmaceutical 4,000 150
Fujitsu, Ltd. 257,000 7,281
Funai Electric Co., Ltd. 500 278
Furukawa Electric Co. 62,000 860
Futaba Corp. 22,000 845
General Sekiyu KK 32,000 63
Hikari Tsushin, Inc. 100 14
Hitachi Chemical Co., Ltd. 9,000 230
Hitachi Maxell 28,000 734
Hitachi Software Engineering
Co., Ltd. 1,000 102
Hitachi, Ltd. 765,000 9,136
Hokkaido Electric Power Co., Inc. 24,400 278
Honda Motor Co., Ltd. 65,000 2,907
Hosiden Electronics 5,000 233
Hoya Corp. 5,000 509
Ines Corp. 5,000 79
Isetan Co. 205,000 1,898
ITO EN, Ltd. 400 40
Ito-Yokado Co., Ltd. 8,000 584
Itochu Corp. (a) 228,000 1,062
Japan Telecom Co., Ltd. 4 204
Kaken Pharmaceutical Co., Ltd. 9,000 51
Kaneka Corp. 14,000 180
Kao Corp. 88,000 2,680
Katokichi Co. 21,000 511
Kawasaki Steel Corp. (a) 188,000 292
Keyence Corp. 220 73
</TABLE>
International Fund 67
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Kinki Coca-Cola Bottling 32,000 410
Kissei Pharmaceutical Co. 35,000 574
Koa Fire & Marine 97,000 256
Kokusai Denshin Denwa 1,800 209
Konami Co., Ltd. 3,700 226
Konami Co., Ltd. New (a) 3,700 216
Konica Corp. 2,000 10
Kurimoto Iron Works 97,000 211
Kyocera Corp. 31,800 5,320
Kyorin Pharmaceutical Co., Ltd. 83,000 4,073
Kyushu Electric Power 13,100 152
Laox 12,000 52
Mabuchi Motor Co., Ltd. 20,400 2,247
MACNICA, Inc. 2,600 460
Makita Corp. 106,000 921
Marubeni Corp. 888,000 2,573
Marui Co., Ltd. 4,000 75
Maruichi Steel Tube 51,000 596
Matsumotokiyoshi 31,500 2,479
Matsushita Communication 18,500 2,901
Matsushita Electric Industrial
Co., Ltd. 248,000 6,566
Minebea Co., Ltd. 228,000 2,786
Mitsubishi Chemical 204,000 818
Mitsubishi Corp. 88,000 766
Mitsubishi Electric Corp. 286,000 2,444
Mitsubishi Estate Co., Ltd. 162,000 1,822
Mitsubishi Heavy Industries 337,000 1,048
Mitsubishi Trust & Banking 14,000 118
Mitsui & Co. 384,000 2,848
Mitsui Mining & Smelting 13,000 75
Mitsui O.S.K. Lines 156,000 290
Mitsukoshi (a) 318,000 1,298
Mitsumi Electric Co. 5,000 206
Murata Manufacturing Co., Ltd. 20,000 3,888
Mycal Corp. 104,000 318
Namco 49,500 2,021
NEC Corp. 115,000 3,130
Net One Systems Co., Ltd. 1 34
Nichicon Corp. 12,000 322
Nichido Fire & Marine 188,000 853
Nichiei Co., Ltd. 30,000 594
NIDEC COPAL Corp. 5,000 81
NIDEC Corp. 1,500 104
NIDEC Corp. New (a) 1,500 126
Nihon Unisys 4,000 93
Nikko Securities Co., Ltd. 501,000 5,914
Nikon Corp. 19,000 668
Nintendo Co., Ltd. 2,600 433
Nippon Comsys Corp. 11,000 213
Nippon Electric Glass 10,000 179
Nippon Express Co., Ltd. 453,000 2,860
Nippon Fire & Marine 113,000 309
Nippon Meat Packers, Inc. 3,000 38
Nippon Sheet Glass 58,000 515
Nippon System Development 3,480 332
Nippon Telegraph & Telephone Corp. 668 8,287
Nippon Yusen 160,000 637
Nippon Zeon Co., Ltd. 21,000 130
Nishimatsu Construction 240,000 767
Nissan Chemical Industries, Ltd. 13,000 70
Nissan Motor Co., Ltd. (a) 513,000 2,332
Nitto Denko Corp. 9,000 353
Nomura Securities Co., Ltd. 272,000 6,849
NTT Data Corp. 8 107
NTT Mobile Communication Network, Inc. 462 15,441
Oki Electric Industries (a) 15,000 106
Omron Corp. 122,000 3,321
Oriental Land Co., Ltd. 1,700 181
Orix Corp. 5,640 805
Osaka Gas Co. 85,000 232
Paris Miki, Inc. 3,770 240
Pioneer Corp. 103,000 2,813
Promise Co., Ltd. 6,800 551
Ricoh Co., Ltd. 15,000 317
Rinnai Corp. 78,000 1,430
Rohm Co. 30,800 10,322
Ryohin Keikaku Co., Ltd. 1,800 334
Sailor Pen Co., Ltd. (The) 181,000 3,167
Sakura Bank, Ltd. 538,000 3,775
Sanki Engineering Co., Ltd. 11,000 43
Sankyo Co., Ltd. 66,000 1,454
Sanwa Bank 146,000 1,411
Sanyo Electric Co., Ltd. 70,000 467
Secom Co. 32,000 2,684
Sekisui Chemical Co., Ltd. 267,000 979
Sekisui House, Ltd. 63,000 577
Sharp Corp. 86,000 1,660
Shin-Etsu Chemical Co., Ltd. 53,400 2,823
Shiseido Co., Ltd. 111,000 1,404
Shohkoh Fund & Co., Ltd. 3,460 618
SMC Corp. 1,300 259
Snow Brand Milk Products Co., Ltd. 15,000 58
Softbank Corp. (a) 15,300 3,768
Sony Corp. 36,000 4,136
Sony Corp. New (a) 40,600 4,698
Sumitomo Bakelite Co., Ltd. 20,000 220
Sumitomo Bank 43,000 538
Sumitomo Osaka Cement Co. , Ltd. 70,000 265
Sumitomo Rubber Industries 58,000 303
Sumitomo Trust & Banking 44,000 322
</TABLE>
68 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Sunkus & Associates, Inc. 2,140 76
Suruga Bank, Ltd. 16,000 274
Suzuki Motor Corp. 17,000 253
Taiheiyo Cement Corp. 32,000 46
Taisho Pharmaceutical Co., Ltd. 67,000 2,245
Takeda Chemical Industries 60,000 3,949
Takefuji Corp. 15,700 1,661
TDK Corp. 17,000 2,277
Terumo Corp. 12,000 363
THK Co., Ltd. 7,600 320
Toc Co. 50,000 292
Toho Bank 100,000 347
Tohoku Electric Power 19,700 232
Tokai Corp. 5,000 55
Tokuyama Corp. 55,000 263
Tokyo Broadcasting 54,000 2,350
Tokyo Electric Power 15,200 359
Tokyo Electron, Ltd. 24,000 3,913
Tokyo Gas Co. 78,000 172
Tokyo Seimitsu Co., Ltd. 3,300 345
Tokyo Tomin Bank, Ltd. 1,700 54
Tokyu Corp. 414,000 1,625
Toppan Printing Co., Ltd. 57,000 596
Toshiba Corp. 476,000 4,618
Tostem Corp. 16,000 236
Toyo Trust & Banking Co., Ltd. (The) 53,000 194
Toyoda Gosei Co., Ltd. 13,000 752
Toyota Motor Corp. 102,000 5,071
Toys R Us - Japan, Ltd. (a) 3,000 455
Trend Micro, Inc. 500 75
UNION TOOL Co. 1,100 149
UNY Co., Ltd. 28,000 296
West Japan Railway Co. 893 3,075
World Co., Ltd. 1,900 143
World Co., Ltd. New (a) 950 64
Yakult Honsha Co., Ltd. 16,000 164
Yamaha Corp. 30,000 203
Yamanouchi Pharmaceutical 124,000 6,556
Yamato Kogyo Co. 42,000 136
Yamato Transport 5,000 126
Yodogawa Steel Works, Ltd. 71,000 183
York-Benimaru Co., Ltd. 4,000 103
Yoshitomi Pharmaceutical Ind., Ltd. 29,000 409
-----------
276,237
-----------
LUXEMBOURG - 0.0%
Carrier 1 International SA (a) 1,701 140
Compagnie Luxembourgeoise pour
l'Audio-Visuel et la Finance 2,023 249
-----------
389
-----------
NETHERLANDS - 6.5%
ABN Amro Holding 94,204 1,940
AKZO Nobel - ADR 31,140 1,292
ASM Lithography Holding (a) 88,200 3,517
Buhrmann 71,280 1,837
Elsevier 128,000 1,245
Equant (a) 63,067 4,881
Fortis (NL) 26,841 675
Getronics 3,842 229
Heineken 37,450 2,077
Heineken Holding Class A 15,624 526
Hollandsche Beton Groep 44,702 549
Hunter Douglas 54,176 1,236
ING Groep 179,289 9,783
Koninklijke (Royal) Philips
Electronics (a) 91,552 4,084
Koninklijke Ahold 11,293 263
Koninklijke KPN 133,902 13,494
Koninklijke Numico 4,579 170
Koninklijke Vopak 12,631 315
KPNQwest (a) 9,217 383
Laurus 20,211 216
Libertel (a) 20,990 368
Lycos Europe (a) 10,404 159
Nutreco Holding 31,400 1,220
Royal Dutch Petroleum Co. 81,071 4,673
STMicroelectronics 40,178 7,667
Stork 83,940 1,038
TNT Post Group 28 1
Unique International 32,100 737
United Pan-Europe
Communications New (a) 79,009 2,875
Vedior 73,800 782
Vendex 170,200 2,623
Verenigde Nederlandse
Uitgeversbedrijven 106,426 5,694
Versatel Telecom International (a) 31,312 1,255
Versatel Telecom International -
ADR (a) 16,900 666
Wereldhave 10,338 420
Wolters Kluwer 51,770 1,223
-----------
80,113
-----------
NEW ZEALAND - 0.4%
Carter Holt Harvey 773,300 653
Fletcher Challenge Paper 665,318 746
Lion Nathan, Ltd. 9,500 19
Telecom Corp. of New Zealand, Ltd. 900,990 3,806
Warehouse Group (The), Ltd. 8,000 18
-----------
5,242
-----------
</TABLE>
International Fund 69
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
NORWAY - 0.3%
Christiania Bank OG Kreditkasse 45,000 208
Den Norske Creditbank A/S 131,322 460
EDB Business Partner ASA 663 9
EDB Business Partner ASA
2000 Rights (a) 663 1
Norsk Hydro ASA 30,500 1,115
Norske Skogindustrier ASA Class A 4,000 132
Orkla ASA Class A 64,017 990
Petroleum Geo - Services - ADR (a) 43,000 699
Schibsted ASA 4,249 88
-----------
3,702
-----------
PORTUGAL - 0.3%
Banco Pinto & Sotto Mayor SA 16,788 352
Electricidade de Portugal SA 32,300 573
Portugal Telecom SA (a) 178,500 1,991
PT MULTIMEDIA - Servicos de
Telecomunicacoes e Multimedia SGPS SA
(a) 3,430 239
Telecel - Comunicacoes
Pessoais SA (a) 45,218 716
-----------
3,871
-----------
SINGAPORE - 0.6%
Chartered Semiconductor Manufacturing,
Ltd (a) 6,000 52
City Developments 7,700 35
Creative Technology, Ltd. 21,600 587
Datacraft Asia, Ltd. (a) 6,000 45
DBS Group Holdings, Ltd. (a) 202,052 2,782
DBS Land, Ltd. 16,000 23
Jardine Strategic Holdings Ltd. (a) 279,000 686
Natsteel, Ltd. 10,000 24
Natsteel Electronics, Ltd. 10,000 57
Oversea-Chinese Banking Corp., Ltd. 212,320 1,456
Overseas Union Bank, Ltd. 9,456 43
Singapore Airlines, Ltd.
(Alien Market) 12,300 128
Singapore Land, Ltd. 46,000 84
Singapore Land, Ltd. 2005
Warrants (a) 9,200 3
Singapore Press Holdings, Ltd. 14,700 288
Singapore Technologies
Engineering, Ltd. 27,400 39
Singapore Telecommunications, Ltd. 58,400 84
ST Assembly Test Services, Ltd. - ADR
(a) 500 21
Straits Steamship Land, Ltd. 110,000 131
United Overseas Bank, Ltd. 186,438 1,300
Venture Manufacturing
(Singapore), Ltd. 17,000 199
-----------
8,067
-----------
SOUTH KOREA - 0.8%
Samsung Electronics 13,730 3,712
Samsung Electronics - GDR 40,324 6,462
-----------
10,174
-----------
SPAIN - 3.1%
Amadeus Global Travel Distribution SA
Class A (a) 12,726 157
Banco Bilbao Vizcaya SA 308,644 4,209
Banco Popular Espanol SA 50,120 1,353
Banco Santander Central Hispano SA 187,649 1,957
Endesa SA 163,033 3,557
Fomento de Construcciones y Contratas
SA 78,000 1,581
Grupo Dragados SA 24,100 184
Iberdrola SA 219,867 2,820
Indra Sistemas SA 11,784 279
Prosegur CIA de Seguridad SA (Regd) 83,200 982
Repsol SA 65,058 1,331
Repsol SA - ADR 91,600 1,889
Tabacalera SA Class A (Regd) 272,174 3,199
Telefonica SA (a) 453,537 10,093
Union Electrica Fenosa SA 234,620 4,521
-----------
38,112
-----------
SWEDEN - 2.6%
Assa Abloy AB Series B 79,771 1,619
Autoliv, Inc. 69,462 1,945
Electrolux AB Series B 27,998 473
Hennes & Mauritz AB 6,419 170
Investor AB Class B 75,869 1,066
Mo och Domsjo AB Series B 10,000 235
Modern Times Group MTG AB
Series B (a) 2,907 143
Nordbanken Holding AB 317,000 1,998
OM Gruppen AB 3,100 129
Skandia Forsakrings AB 92,890 4,445
Skandinaviska Enskilda Banken Series A 30,544 334
SKF AB Series B 88,289 1,891
Stora Enso Oyj Class R 32,066 324
Svenska Handelsbanken AB Series A 40,367 534
Tele1 Europe Holding AB (a) 6,558 103
</TABLE>
70 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Telefonaktiebolaget Ericsson (LM)
Series B 173,340 15,408
Tornet Fastighets AB 52,000 672
Volvo AB Series B 9,000 217
-----------
31,706
-----------
SWITZERLAND - 3.3%
ABB, Ltd. 24,232 2,719
Ares-Serono Group Class B 534 1,640
Baloise Holding, Ltd. 1,425 1,188
Barry Callebaut AG (Regd) 8,885 1,185
Bobst AG 300 401
Clariant AG (Regd) 8,736 3,186
Credit Suisse Group 10,061 1,817
Fantastic Corp. German Certificate (a) 4,226 78
Forbo Holding AG 1,520 548
Julius Baer Holding, Ltd. Class B 1,221 4,269
Kuoni Reisen AG Series B 145 628
Nestle SA 1,387 2,445
Novartis AG 6,180 8,633
Richemont Series A 360 875
Roche Holdings Genusscheine AG 185 1,932
Schweizerische Lebensversicherungs-und
Rentenanstalt (a) 351 186
SGS Holding (BR) (a) 120 186
Sulzer AG (Regd) 1,728 1,106
Sulzer Medica AG (Regd) 1,000 217
Swatch Group (The) AG 90 96
Swisscom AG 7,473 2,635
UBS AG 15,481 3,793
Valora Holding AG (Regd) 1,200 312
Zurich Allied AG 947 402
-----------
40,477
-----------
UNITED KINGDOM - 18.7%
3i Group PLC 106,797 2,138
Alliance & Leicester PLC 59,579 602
Alliance UniChem PLC 200,000 1,199
Allied Zurich AG 205,599 2,045
Anglian Water PLC 244,916 2,231
Arjo, Wiggins, Appleton PLC 450,000 1,352
ARM Holdings PLC (a) 34,500 349
Associated British Foods PLC 257,840 1,525
AstraZeneca Group PLC 23,557 984
Baltimore Technologies PLC (a) 1,000 101
Bank of Scotland Governor
& Co. PLC 82,192 732
Barclays PLC 106,613 2,727
Bass PLC 208,080 2,438
BBA Group PLC 141,129 868
BG Group PLC 577,422 3,486
Billiton PLC 76,300 284
Blue Circle Industries PLC 353,000 2,369
BOC Group PLC 67,786 1,116
Boots Co. PLC 273,000 2,097
BP Amoco PLC 799,238 6,900
British Aerospace PLC 1,307,456 8,041
British Airways PLC 584,007 3,055
British American Tobacco PLC 21,190 132
British Sky Broadcasting Group PLC 30,700 753
British Telecom PLC 404,363 7,240
Bunzl PLC 443,101 1,997
Cable & Wireless Communications PLC
(a) 8,500 127
Cable & Wireless PLC 350,026 5,809
Cadbury Schweppes PLC 84,700 580
Carillion PLC 177,269 270
Carlton Communications PLC 14,000 170
Celltech Group PLC (a) 169,000 2,789
Centrica PLC 419,000 1,500
CMG PLC 3,200 208
Coats Viyella PLC 290,000 216
COLT Telecom Group PLC - ADR (a) 2,700 457
Commercial Union Assurance
Co. PLC 223,829 3,210
Compass Group PLC 66,581 959
Computacenter PLC 47,120 745
Corus Group PLC (a) 628,300 846
Courtaulds Textile Co. PLC 130,000 285
Diageo PLC 817,199 6,591
Dixons Group PLC New (a) 56,062 227
Elan Corp. PLC - ADR (a) 87,600 3,756
Energis PLC (a) 33,830 1,671
Enterprise Oil PLC 12,700 93
Fairview Holdings PLC 79,719 195
FirstGroup PLC 29,200 68
Freeserve PLC (a) 336,200 1,871
Gallaher Group PLC 188,837 926
GKN PLC 222,300 3,080
Glaxo Wellcome PLC 283,429 8,760
Glynwed International PLC 58,400 202
Granada Group PLC 3,382 33
Great University Stores PLC 478,900 2,900
Halifax PLC 110,900 1,039
Hanson PLC 35,000 256
Hays PLC 39,200 271
HSBC Holdings PLC 176,978 1,957
Hyder PLC 151,606 590
Imperial Chemical Industries PLC 192,339 1,647
Invensys PLC 1,055,800 5,096
Jazztel PLC (a) 9,947 493
Kingfisher PLC 39,500 323
</TABLE>
International Fund 71
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Ladbroke Group, Ltd. PLC 53,300 224
Laird Group PLC 228,447 697
LASMO PLC 430,000 723
Lloyds TSB Group PLC 186,276 1,818
Marconi PLC 52,900 658
Marks & Spencer PLC 316,700 1,172
MEPC PLC 234,337 1,551
MFI Furniture Group PLC 122,230 133
Misys PLC 55,800 640
Morgan Crucible PLC 436,865 1,738
National Grid Group PLC 118,205 975
National Power PLC 36,645 167
Newco (a) 8,000 41
Northern Foods PLC 59,647 94
Nycomed Amersham PLC 31,317 239
Ocean Group PLC 15,400 295
Pearson PLC 74,500 2,521
Powell Duffryn PLC 68,000 402
PowerGen PLC 585,315 3,682
Prudential Corp. PLC 40,200 617
Railtrack Group PLC 127,124 1,633
Rank Group PLC 285,000 656
Reckitt Benckiser PLC 32,400 333
Reed International 529,128 3,683
Reuters Group PLC 37,800 677
Rexam PLC 424,500 1,626
Rio Tinto Corp. PLC (Regd) 199,983 3,114
Royal & Sun Alliance Insurance Group
PLC 813,833 4,562
Royal Bank of Scotland Group PLC 395,817 6,175
Safeway PLC 436,722 1,472
Sage Group PLC (The) 34,100 380
Schroders PLC (a) 8,000 124
Scottish & Southern Energy PLC 135,270 1,163
ScottishPower PLC 281,600 2,250
SEMA Group PLC 13,400 216
Shell Transport & Trading Co. PLC 612,033 5,015
Smith & Nephew PLC 769,100 2,215
SmithKline Beecham PLC 231,562 3,173
Somerfield PLC 824,902 726
SSL International PLC 77,000 782
Standard Chartered Bank Group PLC 26,200 354
Sun Life and Provincial Holdings PLC 85,859 615
Tarmac PLC (a) 220,067 2,006
Tate & Lyle, Ltd. PLC 48,000 170
TeleWest Communications PLC (a) 477,338 2,921
Tesco Store Holdings PLC 123,600 420
Thistle Hotels PLC 272,222 502
Thus PLC (a) 146,000 848
TI Group PLC 22,000 120
Tomkins PLC 1,147,995 3,526
Trinity PLC 143,000 1,110
Unilever PLC 265,400 1,595
United Biscuits (Holdings) PLC 190,000 784
United Newspaper, Ltd. PLC 13,100 170
Vodafone Group PLC 7,003,337 32,057
Williams PLC 411,100 2,319
Wimpey (George), Ltd. PLC 150,000 270
Wolseley PLC 280,810 1,539
Woolwich PLC 44,600 218
WPP Group PLC 77,384 1,247
Zeneca Group PLC 70,851 2,970
-----------
231,100
-----------
UNITED STATES - 0.6%
Flextronics International,Ltd. (a) 41,300 2,899
Global TeleSystems Group, Inc. (a) 80,840 1,177
MIH, Ltd. (a) 16,900 786
Magna Entertainment Corp.
Class A (a) 800 3
NTL, Inc. (a) 24,300 1,859
VIA NET.WORKS, Inc. (a) 5,967 106
-----------
6,830
-----------
TOTAL COMMON STOCKS
(cost $984,236) 1,142,590
-----------
PREFERRED STOCKS - 1.3%
AUSTRALIA - 0.1%
News Corp., Ltd. 83,552 899
-----------
GERMANY - 1.2%
Dyckerhoff AG (a) 2,500 55
Fresenius AG 14,800 3,276
Hugo Boss AG (a) 6,380 1,003
Krones AG 14,000 406
M.A.N. AG 2,500 49
Marschollek, Lautenschlaeger und
Partner AG 350 186
Porsche AG 606 1,543
ProSieben Media AG 2,155 192
Rheinmetall AG 26,500 245
SAP AG 12,339 7,274
Volkswagen AG 1,800 40
Wella AG - (a) 33,729 859
-----------
15,128
-----------
ITALY - 0.0%
Fiat SPA (a) 3,139 46
-----------
TOTAL PREFERRED STOCKS
(cost $14,151) 16,073
-----------
</TABLE>
72 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- --------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.1%
JAPAN - 0.1%
Yamanouchi Pharmaceutical (conv.) (a)
1.250% due 03/31/14 JPY 30,000 799
-----------
TOTAL LONG-TERM INVESTMENTS
(cost $326) 799
-----------
SHORT-TERM INVESTMENTS - 5.1%
UNITED STATES - 5.1%
Frank Russell Investment Company Money
Market Fund,
due on demand (b) 58,439 58,439
United States Treasury Bills
5.465% due 06/29/00 (b)(c)(d) 5,000 4,955
-----------
TOTAL SHORT-TERM INVESTMENTS
(cost $63,394) 63,394
-----------
TOTAL INVESTMENTS - 99.2%
(identified cost $1,062,107) 1,222,856
OTHER ASSETS AND LIABILITIES,
NET - 0.8% 10,181
-----------
NET ASSETS - 100.0% 1,233,037
===========
</TABLE>
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
fund.
(d) Rate noted is yield-to-maturity from date of acquisition.
Abbreviations:
ADR - American Depositary Receipt
BR - Bearer
GDR - Global Depositary Receipt
GDS - Global Depositary Share
Foreign Currency Abbreviations:
CAD - Canadian dollar
CHF - Swiss franc
EUR - Euro dollar
GBP - British pound
JPY - Japanese yen
NOK - Norweigian krona
SEK - Swedish krona
SGD - Singapore dollar
USD - United States dollar
See accompanying notes which are an integral part of the financial statements.
International Fund 73
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
FUTURES CONTRACTS CONTRACTS (000)
--------- ------------
<TABLE>
<CAPTION>
<S> <C> <C>
CAC-40 Index
Futures Contracts (France)
expiration date 06/00 245 $ 29
DAX Index
Futures Contracts (Germany)
expiration date 06/00 71 (489)
FTSE-100 Index
Futures Contracts (UK)
expiration date 06/00 179 (205)
TOPIX Index
Futures Contracts (Japan)
expiration date 06/00 124 106
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ (559)
==========
</TABLE>
<TABLE>
<CAPTION>
MARKET
% OF VALUE
NET (000)
INDUSTRY DIVERSIFICATION ASSETS $
-------- --------
<S> <C> <C>
Auto &Transportation 4.2% 51,243
Consumer Discretionary 10.3 127,081
Consumer Staples 4.1 51,118
Financial Services 15.6 191,950
Health Care 6.2 76,770
Integrated Oils 1.0 11,827
Materials & Processing 8.9 109,564
Miscellaneous 0.7 8,201
Other Energy 4.9 60,896
Producer Durables 10.9 134,855
Technology 7.5 92,125
Utilities 19.7 243,032
Long-Term Investments 0.1 800
Short-Term Investments 5.1 63,394
-------- ---------
Total Investments 99.2 1,222,856
Other Assets and Liabilites, Net 0.8 10,181
-------- ---------
NET ASSETS 100.0% 1,233,037
======== =========
</TABLE>
<TABLE>
<CAPTION>
MARKET
% OF VALUE
NET (000)
GEOGRAPHIC DIVERSIFICATION ASSETS $
-------- --------
<S> <C> <C>
Europe 42.3% 521,595
Japan 22.4 276,236
United Kingdom 18.8 231,100
Pac Basin 5.3 65,881
Other 5.2 63,850
Long-Term Investments 0.1 800
Short-Term Investments 5.1 63,394
------- ---------
Total Investments 99.2 1,222,856
Other Assets and Liabilities, Net 0.8 10,181
------- ---------
NET ASSETS 100.0% 1,233,037
======= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
74 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
---------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
USD 16,058 EUR 16,450 06/16/00 $ (1,054)
USD 977 EUR 1,000 06/16/00 (65)
USD 1,438 EUR 1,500 06/16/00 (69)
USD 961 EUR 1,000 06/16/00 (49)
USD 940 EUR 1,000 06/16/00 (28)
USD 2,179 EUR 2,350 06/16/00 (35)
USD 1,837 EUR 2,000 06/16/00 (13)
USD 10,356 EUR 10,600 06/16/00 (687)
USD 11,935 GBP 7,575 06/16/00 (137)
USD 2,386 GBP 1,500 06/16/00 (50)
USD 790 GBP 500 06/16/00 (11)
USD 789 GBP 500 06/16/00 (11)
USD 4,795 GBP 3,050 06/16/00 (44)
USD 9,021 JPY 950,000 06/16/00 (149)
USD 955 JPY 100,000 06/16/00 (21)
USD 958 JPY 100,000 06/16/00 (25)
USD 476 JPY 50,000 06/16/00 (9)
USD 954 JPY 100,000 06/16/00 (20)
USD 948 JPY 100,000 06/16/00 (14)
USD 6,648 JPY 700,000 06/16/00 (111)
EUR 1,000 USD 972 06/16/00 59
EUR 1,500 USD 1,451 06/16/00 83
EUR 1,000 USD 961 06/16/00 49
GBP 500 USD 796 06/16/00 17
GBP 500 USD 798 06/16/00 19
JPY 100,000 USD 958 06/16/00 24
JPY 100,000 USD 984 06/16/00 50
-----------
$ (2,301)
===========
</TABLE>
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
---------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
USD 6 CAD 9 05/02/00 $ --
USD 214 EUR 231 05/02/00 (4)
USD 74 EUR 81 05/03/00 --
USD 865 EUR 946 05/03/00 (5)
USD 210 EUR 223 05/31/00 (7)
USD 458 EUR 486 05/31/00 (16)
USD 335 EUR 362 05/31/00 (6)
USD 415 JPY 44,079 05/01/00 (7)
USD 874 JPY 92,581 05/01/00 (18)
USD 74 JPY 7,789 05/01/00 (2)
USD 57 JPY 6,088 05/02/00 (1)
USD 887 JPY 95,111 05/02/00 (6)
USD 364 SEK 3,249 05/03/00 (2)
USD 8 SGD 14 05/02/00 --
CHF 573 USD 336 05/01/00 4
EUR 85 USD 78 05/01/00 --
EUR 325 USD 295 05/02/00 (1)
EUR 94 USD 85 05/02/00 --
EUR 332 USD 302 05/02/00 (1)
EUR 959 USD 870 05/02/00 (2)
EUR 50 USD 46 05/03/00 --
EUR 200 USD 182 05/04/00 --
EUR 138 USD 130 05/31/00 4
EUR 190 USD 172 05/31/00 (1)
EUR 59 USD 54 05/31/00 1
EUR 131 CHF 206 05/03/00 1
GBP 167 USD 264 05/02/00 4
JPY 5,628 USD 52 05/01/00 1
NOK 672 SEK 675 05/03/00 --
NOK 678 SEK 675 05/03/00 --
SEK 892 USD 101 05/02/00 1
SEK 1,898 EUR 231 05/02/00 (1)
-----------
$ (64)
===========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
International Fund 75
<PAGE>
INTERNATIONAL FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $1,062,107). . . . . . . $1,222,856
Foreign currency holdings (identified cost $6,750). . . . . . . 6,585
Unrealized appreciation on forward foreign currency exchange
contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . 301
Unrealized appreciation on foreign currency exchange spot
contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . 2,947
Investments sold . . . . . . . . . . . . . . . . . . . . . . . 12,979
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . 3,096
Foreign taxes recoverable. . . . . . . . . . . . . . . . . . . 1,067
Daily variation margin on futures contracts. . . . . . . . . . 1,513
Prepaid expenses. . . . . . . . . . . . . . . . . . . . . . . . 15
----------
Total assets . . . . . . . . . . . . . . . . . . . . . . . . 1,251,375
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . $ 13,223
Fund shares redeemed. . . . . . . . . . . . . . 1,271
Accrued fees to affiliates. . . . . . . . . . . 855
Other accrued expenses. . . . . . . . . . . . . 307
Unrealized depreciation on forward foreign
currency exchange contracts. . . . . . . . . . . 2,602
Unrealized depreciation on foreign currency 80
exchange spot contracts. . . . . . . . . . . . . --------
Total liabilities. . . . . . . . . . . . . . . . . . . . . . 18,338
----------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . $1,233,037
==========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income. . $ (2,383)
Accumulated net realized gain (loss). . . . . . . . . . . . . . 108,706
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . 160,749
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . (559)
Foreign currency-related transactions. . . . . . . . . . . . . (2,774)
Shares of beneficial interest . . . . . . . . . . . . . . . . . 287
Additional paid-in capital. . . . . . . . . . . . . . . . . . . 969,011
----------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . $1,233,037
==========
NET ASSET VALUE, offering and redemption price per share:
Class E ($28,320,834 divided by 659,024 shares of $.01 par
value shares of beneficial interest outstanding) . . . . . . . $ 42.97
==========
Class I ($1,166,754,843 divided by 27,129,481 shares of $.01
par value shares of beneficial interest outstanding) . . . . . $ 43.01
==========
Class Y ($37,961,345 divided by 882,584 shares of $.01 par
value shares of beneficial interest outstanding) . . . . . . . $ 43.01
==========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
76 International Fund
<PAGE>
INTERNATIONAL FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------------ ------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends. . . . . . . . . . . . . . . . . . . $ 6,701 $ 22,034
Dividends from Money Market Fund . . . . . . . 872 2,688
Interest . . . . . . . . . . . . . . . . . . . -- 491
Less foreign taxes withheld. . . . . . . . . . (858) (2,525)
------------------ ------------------
Total investment income. . . . . . . . . . . 6,715 22,688
------------------ ------------------
EXPENSES
Advisory fees. . . . . . . . . . . . . . . . . 2,920 7,599
Administrative fees. . . . . . . . . . . . . . 208 546
Custodian fees . . . . . . . . . . . . . . . . 795 2,067
Transfer agent fees. . . . . . . . . . . . . . 147 490
Professional fees. . . . . . . . . . . . . . . 27 65
Registration fees. . . . . . . . . . . . . . . 28 97
Shareholder servicing fees - Class E . . . . . 25 44
Trustees' fees . . . . . . . . . . . . . . . . 4 6
Miscellaneous. . . . . . . . . . . . . . . . . 33 107
------------------ ------------------
Total expenses . . . . . . . . . . . . . . . 4,187 11,021
------------------ ------------------
Net investment income . . . . . . . . . . . . . 2,528 11,667
------------------ ------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments. . . . . . . . . . . . . . . . . . 67,667 124,531
Futures contracts. . . . . . . . . . . . . . . 4,357 17,317
Foreign currency-related transactions. . . . . (3,318) (9,253)
------------------ ------------------
68,706 132,595
------------------ ------------------
Net change in unrealized appreciation
(depreciation) on:
Investments. . . . . . . . . . . . . . . . . . (126,372) 161,400
Futures contracts. . . . . . . . . . . . . . . (4,640) 2,286
Foreign currency-related transactions. . . . . (2,861) 2,612
------------------ ------------------
(133,873) 166,298
------------------ ------------------
Net realized and unrealized gain (loss) . . . . (65,167) 298,893
------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS. . . . . . . . . . . . . . . . . . . $ (62,639) $ 310,560
================== ==================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
International Fund 77
<PAGE>
INTERNATIONAL FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- --------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income . . . . . . $ 2,528 $ 11,667 $ 14,307
Net realized gain (loss). . . . . 68,706 132,595 39,005
Net change in unrealized
appreciation (depreciation) . . . (133,873) 166,298 73,399
------------- ---------- -----------
Net increase (decrease) in net
assets from operations. . . . . (62,639) 310,560 126,711
------------- ---------- -----------
DISTRIBUTIONS
Class E . . . . . . . . . . . . -- (276) --
Class I . . . . . . . . . . . . -- (12,571) (15,707)
From net realized gain
Class E . . . . . . . . . . . . (946) (1,407) --
Class I . . . . . . . . . . . . (39,155) (59,070) (16,426)
------------- ---------- -----------
Net decrease in net assets
from distributions. . . . . . (40,101) (73,324) (32,133)
------------- ---------- -----------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions. . 41,560 43,302 (53,634)
------------- ---------- -----------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS . . . . . . . . . . . . (61,180) 280,538 40,944
NET ASSETS
Beginning of period . . . . . . . 1,294,217 1,013,679 972,735
------------- ---------- -----------
End of period (including accumulated
distributions in excess of net
investment income of $2,383, $4,911
and $4,172, respectively). . . . $ 1,233,037 $1,294,217 $ 1,013,679
============= ========== ===========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
78 International Fund
<PAGE>
INTERNATIONAL FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
------- -------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $ 46.68 $ 39.07
------- -------
INCOME FROM OPERATIONS
Net investment income (a)***. . . . . . . . . . . . . . -- .24
Net realized and unrealized gain (loss) . . . . . . . . (2.27) 9.73
------- -------
Total income from operations. . . . . . . . . . . . . (2.27) 9.97
------- -------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . -- (.38)
From net realized gain. . . . . . . . . . . . . . . . . (1.44) (1.98)
------- -------
Total distributions . . . . . . . . . . . . . . . . . (1.44) (2.36)
------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $ 42.97 $ 46.68
======= =======
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . (4.94) 25.87
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . 28,321 30,541
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . 1.26 1.27
Net investment income . . . . . . . . . . . . . . . . . .34 .92
Portfolio turnover rate (%) . . . . . . . . . . . . . 36.87 118.99
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period May 14, 1999 (commencement of sale) to December 31, 1999.
*** Less than .01c per share for the period ended April 30, 2000.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
International Fund 79
<PAGE>
INTERNATIONAL FUND
FINANCIAL HIGHLIGHTS - CLASS I
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
--------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD. . . . . $ 46.67 $ 38.03 $ 34.60 $ 37.39 $ 36.26 $ 34.28
--------- --------- --------- --------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a). . . . . . . . . . .09 .43 .52 .46 .44 .48
Net realized and unrealized gain (loss). . . (2.31) 10.93 4.10 (.28) 2.41 3.16
--------- --------- --------- --------- --------- ---------
Total income from operations . . . . . . . (2.22) 11.36 4.62 .18 2.85 3.64
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS
From net investment income . . . . . . . . . -- (.48) (.59) (.55) (.35) (.72)
From net realized gain . . . . . . . . . . . (1.44) (2.24) (.60) (2.42) (1.37) (.94)
--------- --------- --------- --------- --------- ---------
Total distributions. . . . . . . . . . . . (1.44) (2.72) (1.19) (2.97) (1.72) (1.66)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD. . . . . . . . $ 43.01 $ 46.67 $ 38.03 $ 34.60 $ 37.39 $ 36.26
========= ========= ========= ========= ========= =========
TOTAL RETURN (%)(b)(d). . . . . . . . . . . . (4.83) 30.46 13.52 .58 7.98 10.71
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) . . 1,166,755 1,263,676 1,013,679 972,735 944,380 796,777
Ratios to average net assets (%)(c)(d):
Operating expenses, net. . . . . . . . . . .99 1.00 .98 1.00 1.04 .88
Operating expenses, gross. . . . . . . . . .99 1.00 .98 1.00 1.05 .89
Net investment income. . . . . . . . . . . .60 1.07 1.38 1.14 1.20 1.41
Portfolio turnover rate (%). . . . . . . . . 36.87 118.99 64.47 79.45 42.69 36.78
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) 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.
80 International Fund
<PAGE>
INTERNATIONAL FUND
FINANCIAL HIGHLIGHTS - CLASS Y
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000*
-------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . $ 46.09
-------
INCOME FROM OPERATIONS
Net investment income (a)** . . . . . . . . . . . . . . . . . . . --
Net realized and unrealized gain (loss) . . . . . . . . . . . . . (3.08)
-------
Total income from operations. . . . . . . . . . . . . . . . . . (3.08)
-------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . $ 43.01
=======
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . . . . . (6.68)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . . . . . . 37,961
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . . . . . .92
Net investment income . . . . . . . . . . . . . . . . . . . . . 1.09
Portfolio turnover rate (%) . . . . . . . . . . . . . . . . . . . 36.87
</TABLE>
* For the period March 29, 2000 (commencement of sale) to April 30, 2000
(Unaudited).
** Less than .01c per share.
(a) Average month-end shares were used for this calculation.
(b) Not annualized.
(c) Annualized.
International Fund 81
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 98.9%
ASSET-BACKED SECURITIES - 9.3%
Advanta Equipment Receivables
Series 2000-1 Class A3
7.405% due 02/15/07 1,600 1,590
Americredit Automobile Receivables Trust
Series 2000-A Class A4
7.290% due 12/12/06 1,575 1,565
ANRC Automobile Owner Trust
Series 1999-A Class A4
6.940% due 04/17/06 1,700 1,677
Arcadia Automobile Receivables Trust
Series 1998-B Class A3
5.950% due 11/15/02 728 725
Associates Manufactured Housing
Pass-thru Certificates
Series 1996-1 Class A5
7.600% due 03/15/27 870 849
Series 1997-2 Class A3
6.275% due 03/15/28 436 436
BankAmerica Manufactured
Housing Contract
Series 1997-1 Class A4
6.195% due 06/10/10 431 428
Bombardier Capital Mortgage
Securitization Corp.
Series 1999-B Class A3
7.180% due 12/15/15 1,230 1,210
Series 2000-A Class A2
7.575% due 06/15/30 1,075 1,065
California Infrastructure PG&E-1
Series 1997-1 Class A7
6.420% due 09/25/08 845 812
California Infrastructure SDG&E
Series 1997-1 Class A6
6.310% due 09/25/08 4,050 3,856
Capital One Master Trust
Series 2000-1 Class A
7.100% due 04/17/06 1,200 1,195
Case Equipment Loan Trust
Series 1999-B Class A4
6.900% due 06/15/06 1,245 1,228
Charter Financial, Inc.
Series 1999-1 Class A4
7.070% due 01/25/06 2,075 2,057
Chase Credit Card Master Trust
Series 1999-3 Class B
6.950% due 01/15/07 200 195
Citibank Credit Card Master Trust I
Series 1997-3 Class A
6.839% due 02/10/04 1,100 1,090
Series 1999-1 Class A
5.500% due 02/15/06 500 468
Conseco Finance Securitizations Corp.
Series 2000-1 Class A4
7.620% due 05/01/31 645 635
Copelco Capital Funding Corp.
Series 2000-A Class A3
7.120% due 08/18/03 1,740 1,730
Cross Country Master Credit Card Trust
II
Series 1999-1 Class A
6.500% due 09/15/05 (a) 1,700 1,700
DaimlerChrysler Auto Trust
Series 2000-A Class A3
7.090% due 12/06/03 1,735 1,727
Series 2000-A Class A4
7.230% due 01/06/05 1,520 1,514
Discover Card Master Trust I
Series 1998-7 Class A
5.600% due 05/15/06 1,750 1,653
Federal Housing Authority:
Project Citi 68
7.430% due 06/27/21 (a) 1,166 1,116
First Sierra Receivables
Series 2000-1 Class A1
7.490% due 01/18/05 1,555 1,551
Fleetwood Credit Corporation
Grantor Trust
Series 1997-B Class A
6.400% due 05/15/13 2,101 2,079
Ford Credit Automobile Owner Trust
Series 1999-D Class A5
6.520% due 09/15/03 1,940 1,907
Series 2000-A Class B
7.370% due 07/15/04 2,000 1,991
Green Tree Financial Corp.
Series 1994-1 Class A4
7.200% due 04/15/19 1,771 1,766
Series 1996-8 Class A6
7.600% due 10/15/27 445 441
Series 1997-4 Class A5
6.880% due 02/15/29 720 701
</TABLE>
82 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
<S> <C> <C>
Green Tree Home Improvement
Loan Trust
Series 1998-D Class HEA5
6.320% due 08/15/29 1,360 1,284
Series 1998-D Class HIA2
5.940% due 06/15/29 255 254
Series 1998-E Class HIA1
5.907% due 08/15/07 170 169
Green Tree Lease Finance
Series 1998-1 Class A4
5.740% due 01/20/04 610 593
Green Tree Recreational, Equipment &
Consumer Loan Trust
Series 1998-A Class A1C
6.180% due 06/15/19 298 290
Series 1998-C Class A4
6.170% due 02/15/11 465 457
Heller Equipment Asset
Receivables Trust
Series 1999-1 Class A3
5.500% due 07/13/03 3,465 3,409
Series 1999-2 Class A3
6.650% due 03/14/04 3,600 3,561
Household Automotive Trust IV
Series 2000-1 Class A3
7.300% due 07/19/04 4,830 4,828
Ikon Receivables, L.L.C.
Series 1999-1 Class A3
5.990% due 05/15/05 2,500 2,455
IndyMac Home Equity Loan Trust Step Up
Bond
Series 1998-A Class AF4
6.310% due 10/25/29 (a) 855 811
Series 2000-A Class AF2
7.820% due 05/25/26 (a) 2,755 2,754
MBNA Master Credit Card Trust
Series 1999-G Class B
6.600% due 12/15/06 1,250 1,207
MMCA Auto Owner Trust
Series 1999-2 Class A3
7.000% due 05/15/04 1,165 1,156
Navistar FinancialCorp. Owner Trust
Series 2000-A Class A4
7.340% due 01/15/07 2,345 2,342
Onyx Acceptance Automobile Trust
Series 2000-A Class A4
7.420% due 12/15/04 2,710 2,717
PacificAmerica Home Equity Loan
Step Up Bond
Series 1998-2 Class AF
6.590% due 06/26/28 (a) 1,217 1,178
Peco Energy Transition Trust
Series 1999-A Class A4
5.800% due 03/01/07 1,800 1,697
Series 1999-A Class A6
6.050% due 03/01/09 4,360 4,049
Series 2000-A Class A4
7.650% due 03/01/10 315 314
PNC Student Loan Trust I
Series 1997-2 Class A7
6.728% due 01/25/07 250 243
Premier Automobile Trust
Series 1999-3 Class A4
6.430% due 03/08/04 1,925 1,884
Residential Asset Securities
Corporation II, Inc.
Series 2000-KS2 Class AI4
7.895% due 10/25/28 630 627
Series 2000-KS2 Class AI6
7.830% due 03/25/31 315 309
Residential Funding Mortgage
Securities II, Inc.
Series 1999-HI1 Class A3
6.310% due 09/25/29 900 878
Series 1999-HI6 Class AI3
7.340% due 07/25/12 1,440 1,416
Series 2000-HI1 Class AI3
7.660% due 09/25/12 1,445 1,434
Sears Credit Account Master Trust
Series 1995-5 Class A
6.050% due 01/15/08 1,070 1,035
Series 1999-2 Class A
6.350% due 02/15/07 3,890 3,795
Sears Mortgage Securities Corp.
Series 1992 Class A
7.587% due 10/25/22 (a) 853 863
Team Fleet Financing Corp.
Series 1997-1 Class A
7.350% due 05/15/03 1,975 1,955
UCFC Home Equity Loan
Series 1996-B1 Class A4
7.525% due 12/15/17 276 275
Union Acceptance Corp.
Step Up Bond
Series 1999-D Class A4
6.850% due 02/08/06 (a) 1,225 1,208
USAA Auto Loan Grantor Trust
Series 1998-1 Class A
5.800% due 01/15/05 1,036 1,029
</TABLE>
Fixed Income I Fund 83
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
<S> <C> <C>
Vanderbilt Mortgage & Finance, Inc.
Series 1999-A Class 1A3
6.080% due 12/07/15 530 494
Series 1999-B Class 1A3
6.280% due 03/07/13 880 847
Series 1999-D Class IA2
6.815% due 08/07/12 1,410 1,373
West Penn Funding, LLC
Series 1999-A Class A2
6.630% due 12/26/05 3,200 3,151
WFS Financial Owner Trust
Series 2000-A Class A3
7.220% due 09/20/04 1,615 1,604
World Omni Automobile Lease
Securitization Trust
Series 1997-A Class B
6.490% due 06/25/03 774 772
---------
101,674
---------
BANKERS ACCEPTANCE NOTES - 0.1%
Mellon Bank, NA
7.625% due 09/15/07 510 504
Signet Bank
7.800% due 09/15/06 480 475
---------
979
---------
CORPORATE BONDS AND NOTES - 20.5%
Ahold Finance USA, Inc.
6.250% due 05/01/09 2,560 2,227
6.875% due 05/01/29 415 341
Air Products & Chemicals, Inc.
8.750% due 04/15/21 300 313
Albertson's, Inc.
7.450% due 08/01/29 885 825
Allegiance Corp.
7.000% due 10/15/26 100 94
America West Airlines
Series A
6.850% due 07/02/09 558 515
American Financial Group, Inc.
7.125% due 04/15/09 1,000 890
American Health Properties, Inc.
7.050% due 01/15/02 650 628
Appalachian Power Co.
6.800% due 03/01/06 1,250 1,200
Archer Daniels Co.
8.375% due 04/15/17 900 921
ARG Funding Corp.
Series 1999-1A Class A3
6.020% due 05/20/05 1,400 1,326
Aristar, Inc.
6.000% due 05/15/02 1,935 1,877
Associates Corp. of North America
6.500% due 10/15/02 400 390
Series H
7.090% due 04/11/03 400 395
5.500% due 02/15/04 2,000 1,851
AT&T Corp.
6.500% due 03/15/29 2,250 1,898
8.625% due 12/01/31 440 429
Atlantic Richfield Co.
9.125% due 08/01/31 700 828
Avco Financial Services, Inc.
6.000% due 08/15/02 400 387
Baltimore Gas & Electric Co.
6.500% due 02/15/03 550 536
Bank of New York, Inc.
7.875% due 11/15/02 500 505
Bank One Corp.
Series G
6.875% due 08/01/06 (a) 695 659
BankAmerica Corp.
6.850% due 03/01/03 425 417
BankBoston Corp.
6.125% due 03/15/02 1,200 1,169
Barnett Bank, Inc.
6.900% due 09/01/05 665 643
Baxter International, Inc.
6.630% due 02/15/28 1,150 936
Bear Stearns Co., Inc.
6.630% due 03/28/03 (a) 1,800 1,798
Bell Telephone Co. of Pennsylvania
8.350% due 12/15/30 645 682
BellSouth Capital Funding Corp.
7.875% due 02/15/30 1,000 993
BellSouth Telecommunications, Inc.
7.000% due 12/01/95 295 250
Beneficial Corp.
8.400% due 05/15/08 757 796
Block Financial
8.500% due 04/15/07 500 483
Burlington Northern Santa Fe
7.875% due 04/15/07 210 208
7.082% due 05/13/29 1,100 942
Camden Property Trust
7.000% due 04/15/04 1,310 1,256
Campbell Soup Co.
8.875% due 05/01/21 500 536
Carolina Power & Light Co.
6.875% due 08/15/23 250 223
</TABLE>
84 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
<S> <C> <C>
Case Corp.
7.250% due 08/01/05 395 363
7.250% due 01/15/16 400 358
Case Credit Corp.
Series B
5.850% due 02/20/01 3,000 2,970
Caterpillar Financial Services Corp.
9.500% due 02/06/07 80 87
Central Fidelity Banks, Inc.
8.150% due 11/15/02 280 283
Central Power & Light Co.
Series FF
6.875% due 02/01/03 550 541
Champion International Corp.
6.400% due 02/15/26 570 521
Chase Manhattan Corp.
Series C
6.750% due 12/01/04 1,065 1,031
Chesapeake & Potomac
Telephone Co.
8.375% due 10/01/29 405 429
Chrysler Financial Co., LLC
Series R
6.300% due 02/10/03 (a) 2,000 2,016
Cincinnati Gas & Electric Co.
7.200% due 10/01/23 250 217
CIT Group, Inc.
6.150% due 12/15/02 300 288
5.625% due 10/15/03 2,100 1,974
7.250% due 08/15/05 750 730
Citicorp
6.210% due 05/24/01 (a) 2,000 2,000
6.235% due 05/24/01 (a) 3,000 3,000
9.500% due 02/01/02 195 202
7.125% due 06/01/03 485 479
Citigroup, Inc.
6.875% due 02/15/98 920 780
City National Bank
6.375% due 01/15/08 575 523
Coca Cola Enterprises, Inc.
7.000% due 10/01/26 665 631
Comcast Cable Communications
8.375% due 05/01/07 300 303
6.200% due 11/15/08 950 834
Comerica Bank
7.250% due 06/15/07 700 673
6.000% due 10/01/08 275 241
Commercial Credit Group, Inc.
7.875% due 07/15/04 500 506
6.500% due 06/01/05 300 287
8.700% due 06/15/10 795 852
Commonwealth Edison Co.
Series 85
7.375% due 09/15/02 1,120 1,103
Conagra, Inc.
8.100% due 05/20/02 300 300
Conoco, Inc.
6.950% due 04/15/29 800 717
Countrywide Home Loan
Series H
6.250% due 04/15/09 1,300 1,132
Cox Communications, Inc.
6.500% due 11/15/02 600 581
7.500% due 08/15/04 1,525 1,505
6.690% due 09/20/04 500 476
CPC International, Inc.
Series E
7.250% due 12/15/26 1,150 1,054
CSX Corp.
6.250% due 10/15/08 925 814
7.900% due 05/01/17 500 478
CVS Corp.
5.500% due 02/15/04 400 376
DaimlerChrysler North America Holding
6.900% due 09/01/04 2,000 1,945
DaimlerChrysler AG
7.450% due 03/01/27 990 954
Dana Corp.
6.250% due 03/01/04 5,000 4,734
Deere & Co.
8.100% due 05/15/30 1,250 1,242
Delta Air Lines, Inc.
Series C
6.650% due 03/15/04 1,500 1,397
Dillards, Inc.
6.430% due 08/01/04 1,175 1,049
Duke Capital Corp.
7.250% due 10/01/04 500 494
Duke Energy Corp.
6.875% due 08/01/23 600 507
7.000% due 07/01/33 1,030 863
Duke Weeks Realty, L.P.
7.750% due 11/15/09 1,425 1,344
E. I. Du Pont de Nemours
6.750% due 10/15/04 1,000 975
Electronic Data Systems Corp.
6.850% due 10/15/04 1,300 1,268
7.450% due 10/15/29 500 477
EOP Operating, L.P.
6.500% due 01/15/04 1,225 1,152
</TABLE>
Fixed Income I Fund 85
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- ------------
<S> <C> <C>
Federal Express Corp.
7.600% due 07/01/97 400 330
Fifth Third Bank
6.750% due 07/15/05 900 867
Fifth Third Capital Trust I
Series A
8.136% due 03/15/27 365 340
Finova Capital Corp.
7.250% due 11/08/04 1,860 1,705
First Bank Systems, Inc.
8.000% due 07/02/04 1,050 1,059
First Chicago Corp.
6.199% due 11/14/01 (a) 3,000 3,001
First Interstate Bancorp
9.375% due 01/23/02 225 233
First Tennessee Bank
Series BKNT
5.750% due 12/01/08 1,325 1,125
First Union Corp.
6.875% due 09/15/05 750 723
7.500% due 07/15/06 250 245
First Union Institutional
Capital Trust I
8.040% due 12/01/26 100 90
First Union National Bank
7.125% due 10/15/06 555 533
Firstar Bank North America
7.125% due 12/01/09 850 802
Fleet Financial Group, Inc.
6.875% due 03/01/03 350 343
8.125% due 07/01/04 675 680
Ford Motor Credit Co.
6.000% due 01/14/03 3,000 2,877
6.125% due 04/28/03 690 661
6.700% due 07/16/04 6,000 5,770
6.750% due 05/15/05 425 406
7.375% due 10/28/09 740 715
Fort James Corp.
6.625% due 09/15/04 1,225 1,163
6.875% due 09/15/07 400 370
Fortune Brands, Inc.
7.875% due 01/15/23 400 373
GE Global Insurance Holding Corp.
6.450% due 03/01/19 900 774
General Electric Capital Corp.
6.650% due 09/03/02 900 888
Series A
6.267% due 07/23/03 1,450 1,405
8.300% due 09/20/09 470 498
General Motors Acceptance Corp.
5.480% due 12/16/02 3,075 2,913
6.750% due 03/15/03 5,000 4,878
Goldman Sachs Group
6.461% due 01/15/01 (a) 1,500 1,501
Series A
6.340% due 02/20/01 (a) 3,000 3,003
Grand Metropolitan Investment Corp.
7.450% due 04/15/35 425 421
Great Lakes Chemical Corp.
7.000% due 07/15/09 1,500 1,373
GTE California, Inc.
6.750% due 05/15/27 600 519
Harrahs Operating Co., Inc.
7.500% due 01/15/09 1,300 1,204
Heller Financial, Inc.
6.440% due 10/06/02 1,100 1,070
Hertz Corp.
7.625% due 08/01/02 450 447
9.000% due 11/01/09 390 413
Household Finance Corp.
6.125% due 07/15/02 (a) 800 775
7.200% due 07/15/06 770 741
Illinois Power
7.500% due 06/15/09 1,500 1,440
International Bank for Reconstruction
& Development
7.000% due 01/27/05 4,800 4,759
International Business
Machines Corp.
7.000% due 10/30/25 875 827
7.125% due 12/01/96 1,200 1,084
International Paper Co.
9.400% due 06/01/02 600 619
ITT Financial Corp.
7.400% due 11/15/25 1,165 994
John Deere Capital Corp.
Series C
6.461% due 04/21/03 (a) 3,200 3,196
JPM Capital Trust I
7.540% due 01/15/27 285 248
KeyCorp
8.000% due 07/01/04 200 202
7.500% due 06/15/06 875 858
Knight-Ridder, Inc.
6.875% due 03/15/29 1,288 1,118
Kroger Co.
7.625% due 09/15/06 800 774
6.800% due 12/15/18 650 560
</TABLE>
86 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
<S> <C> <C>
Lehman Brothers Holdings, Inc.
Series F
7.000% due 05/15/03 1,600 1,563
Liberty Mutual Insurance Co.
7.697% due 10/15/97 925 687
Lincoln National Corp.
7.250% due 05/15/05 450 430
6.500% due 03/15/08 250 233
7.000% due 03/15/18 600 532
Loral Corp.
7.000% due 09/15/23 900 752
Lowes Cos., Inc.
6.875% due 02/15/28 1,520 1,306
Manufacturers & Traders Trust Co.
7.000% due 07/01/05 525 500
Marsh & McLennan Cos., Inc.
6.625% due 06/15/04 650 625
Martin Marietta Corp.
7.000% due 03/15/11 325 286
Mattel, Inc.
6.000% due 07/15/03 1,000 911
MCI WorldCom, Inc.
6.400% due 08/15/05 600 570
6.950% due 08/15/28 1,300 1,146
Mercantile Bancorp.
7.050% due 06/15/04 1,000 975
Merck & Co., Inc.
Series B
5.760% due 05/03/37 1,575 1,575
Merrill Lynch & Co., Inc.
6.000% due 02/12/03 550 529
6.440% due 10/01/03 (a) 5,250 5,240
Mirage Resorts, Inc.
6.625% due 02/01/05 525 465
6.750% due 02/01/08 325 276
Morgan Stanley Dean Witter & Co.
5.625% due 01/20/04 805 755
Nabisco, Inc.
6.375% due 02/01/35 1,000 860
National City Corp.
5.750% due 02/01/09 340 292
New England Telephone &
Telegraph Co.
7.875% due 11/15/29 430 431
News America Holdings, Inc.
8.875% due 04/26/23 575 581
7.750% due 01/20/24 600 530
Norfolk Southern Corp.
6.950% due 05/01/02 950 932
Northern Trust Corp.
7.100% due 08/01/09 1,415 1,361
Northwestern Bell Telephone Co.
7.750% due 05/01/30 455 447
Norwest Corp.
Series H
6.750% due 06/15/07 150 141
Norwest Financial, Inc.
6.250% due 11/01/02 425 413
6.375% due 11/15/03 650 629
NRG Energy, Inc.
7.500% due 06/01/09 680 624
NYNEX Corp.
9.550% due 05/01/10 500 528
Paine Webber Group, Inc.
6.375% due 05/15/04 300 281
Panamsat Corp.
6.125% due 01/15/05 700 628
Pepsi Bottling Group, Inc.
Series B
7.000% due 03/01/29 500 441
Philip Morris Cos., Inc.
7.000% due 07/15/05 1,700 1,503
6.950% due 06/01/06 380 375
7.650% due 07/01/08 395 341
Pitney Bowes Credit Corp.
8.550% due 09/15/09 780 814
PNC Funding Corp.
6.875% due 07/15/07 1,100 1,043
Praxair, Inc.
6.850% due 06/15/05 880 839
Procter & Gamble Co.
6.600% due 12/15/04 635 614
Provident Cos., Inc.
6.375% due 07/15/05 1,200 1,096
Ralston Purina Co.
7.875% due 06/15/25 845 730
Raytheon Co.
6.300% due 03/15/05 1,020 939
Safeco Capital Trust I
8.072% due 07/15/37 300 247
Safeco Corp.
7.020% due 09/18/02 1,050 1,042
Safeway, Inc.
7.000% due 09/15/02 900 883
6.050% due 11/15/03 500 474
7.250% due 09/15/04 1,075 1,051
Seagram (Joseph) & Sons, Inc.
7.600% due 12/15/28 1,100 998
Sears Roebuck Acceptance Corp.
7.030% due 06/04/03 800 789
6.750% due 01/15/28 950 775
</TABLE>
Fixed Income I Fund 87
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
<S> <C> <C>
Security Capital Group, Inc.
6.950% due 06/15/05 700 633
Southern California Edison Co.
6.375% due 01/15/06 415 388
6.650% due 04/01/29 500 417
Spieker Properties, L.P.
8.000% due 07/19/05 800 796
Sprint Capital Corp.
6.125% due 11/15/08 1,100 975
6.900% due 05/01/19 1,385 1,241
SunTrust Banks, Inc.
7.375% due 07/01/02 575 573
6.250% due 06/01/08 160 145
Tele-Communications Inc.
8.650% due 09/15/04 225 234
7.250% due 08/01/05 875 858
9.800% due 02/01/12 450 521
Temple Inland, Inc.
7.250% due 09/15/04 575 555
Texaco Capital, Inc.
9.750% due 03/15/20 225 265
8.875% due 09/01/21 440 486
Time Warner, Inc.
7.975% due 08/15/04 450 454
7.750% due 06/15/05 650 644
6.875% due 06/15/18 1,050 924
6.625% due 05/15/29 975 810
Times Mirror Co.
7.450% due 10/15/09 475 462
Transamerica Finance Corp.
7.250% due 08/15/02 1,300 1,285
TRW, Inc.
6.625% due 06/01/04 875 822
7.125% due 06/01/09 750 682
U.S. Bancorp
Series J
6.000% due 05/15/04 700 660
Union Carbide Corp.
7.875% due 04/01/23 835 794
Union Oil Co.
9.400% due 02/15/11 390 440
Union Pacific Corp.
7.600% due 05/01/05 350 343
Union Pacific Railroad Trust
Pass-thru Certificate
Series 1996-A2
7.060% due 05/15/03 450 435
Union Planters Bank
6.500% due 03/15/18 700 603
United Technologies Corp.
7.000% due 09/15/06 800 774
8.750% due 03/01/21 445 485
US Bank National Association Minnesota
Series BNKZ
6.240% due 12/19/01 (a) 3,000 2,999
5.625% due 11/30/05 1,000 903
US West Communications, Inc.
7.200% due 11/10/26 1,500 1,274
USX Marathon Group
8.500% due 03/01/23 930 918
Virginia Electric & Power Co.
8.750% due 04/01/21 335 324
Wachovia Corp.
6.800% due 06/01/05 280 270
Wal-Mart Stores, Inc.
Series 1994-B3
8.800% due 12/30/14 360 397
7.550% due 02/15/30 1,000 1,004
Walt Disney Co.
7.300% due 02/08/05 1,575 1,567
Waste Management, Inc.
6.375% due 12/01/03 750 668
Wells Fargo & Co.
6.625% due 07/15/04 1,500 1,449
6.875% due 04/01/06 500 476
Westvaco Corp.
6.850% due 11/15/04 1,200 1,152
Willamette Industries, Inc.
7.850% due 07/01/26 750 718
Wisconsin Central Transportation Corp.
6.625% due 04/15/08 1,190 1,068
World Financial Properties Tower
Series 1996 WBF-B
6.910% due 09/01/13 1,231 1,168
---------
222,423
---------
EURODOLLAR BONDS - 2.3%
Asian Development Bank
6.250% due 10/24/05 400 381
Australian Gas Light Co.
6.400% due 04/15/08 1,350 1,189
Banco Latinoamericano de Exportaciones
SA
6.500% due 04/02/01 1,400 1,390
7.156% due 11/30/01 (a) 500 500
Bank of Tokyo Mitsubishi, Ltd.
8.400% due 04/15/10 600 600
Bear Stearns Co., Inc.
6.566% due 03/18/05 (a) 1,300 1,294
</TABLE>
88 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
<S> <C> <C>
Countrywide Home Loans, Inc.
6.360% due 06/03/03 (a) 3,200 3,185
Diageo Capital PLC
6.625% due 06/24/04 400 387
Korea Development Bank
7.375% due 09/17/04 1,555 1,495
Merita Bank, Ltd.
7.150% due 12/29/49 (c) 250 243
7.500% due 12/29/49 (c) 675 628
Mexican United States
9.875% due 02/01/10 1,700 1,756
Nationsbank Corp.
6.300% due 06/17/02 (a) 3,000 2,999
Ontario, Province of
7.375% due 01/27/03 450 450
5.500% due 10/01/08 150 133
Sanwa Finance Aruba AEC
8.350% due 07/15/09 3,000 2,976
SCL Term Aereo Santiago SA
6.950% due 07/01/12 3,000 2,735
Skandinaviska Enskilda Banken
8.125% due 09/06/49 (c) 375 355
Societe Generale
7.850% due 04/29/49 (c) 675 635
Tyco International Group SA
6.875% due 09/05/02 750 734
Vodafone Airtouch PLC
7.625% due 02/15/05 1,300 1,294
---------
25,359
---------
MORTGAGE-BACKED SECURITIES - 39.8%
ACLC Franchise Loan Receivables Trust
Series 1997 Class A
7.120% due 03/15/12 798 772
Chase Commercial Mortgage
Securities Corp.
Series 1997-1 Class E
6.490% due 12/19/07 1,800 1,647
COMM Mortgage Trust
Series 1999-1 Class A1
6.145% due 02/15/08 2,764 2,617
Credit Suisse First Boston Mortgage
Securities Corp.
Series 1999-C1 Class A2
7.290% due 09/15/09 1,620 1,574
DLJ Mortgage Acceptance Corp.
Series 1996-CF1 Class A1B
7.580% due 02/12/06 2,000 1,992
Federal Home Loan Mortgage Corp.(b)
6.000% 15 year Gold TBA 760 713
7.500% 15 year Gold TBA 415 413
8.000% 15 year TBA 4685 4684
6.500% 30 year Gold TBA 3075 2872
Federal Home Loan Mortgage Corp.
5.500% due 07/01/06 3,210 2,993
5.500% due 08/01/06 2,230 2,078
5.500% due 10/01/06 419 390
Series K Class S
7.760% due 05/01/12 (d) 944 945
7.500% due 09/01/12 128 128
9.000% due 03/01/25 201 206
Federal Home Loan Mortgage Corp.
Participation Certificate
6.500% due 2003 232 229
7.000% due 2003 7 7
7.000% due 2008 253 250
6.500% due 2009 285 277
8.000% due 2009 82 83
6.000% due 2010 175 166
6.500% due 2010 57 55
7.000% due 2010 1,365 1,343
7.500% due 2010 443 442
8.000% due 2010 332 335
6.000% due 2011 1,861 1,761
7.000% due 2011 148 145
7.500% due 2011 20 20
6.000% due 2012 164 155
7.500% due 2012 910 906
6.000% due 2013 957 897
5.500% due 2014 3,976 3,644
6.000% due 2014 5,156 4,832
6.500% due 2014 996 953
7.500% due 2014 923 918
12.000% due 2014 135 145
9.000% due 2016 681 695
12.500% due 2016 71 78
9.000% due 2017 13 13
9.000% due 2018 1,067 1,096
9.000% due 2020 651 675
6.500% due 2024 3,634 3,425
7.500% due 2024 90 88
6.500% due 2025 306 288
8.000% due 2025 713 716
8.500% due 2025 479 486
9.000% due 2025 226 231
9.000% due 2026 9 9
8.500% due 2027 1,259 1,278
6.000% due 2028 735 666
6.500% due 2028 744 696
6.000% due 2029 3,519 3,188
6.500% due 2029 10,385 9,702
7.500% due 2029 217 213
</TABLE>
Fixed Income I Fund 89
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- ----------
<S> <C> <C>
7.500% due 2030 5,983 5,860
Federal National Mortgage Association (b)
6.500% 15 Year TBA 7,150 6,842
6.000% 30 Year TBA 200 181
6.500% 30 Year TBA 22,105 20,627
7.000% 30 Year TBA 3,225 3,085
8.000% 30 Year TBA 21,670 21,636
Federal National Mortgage
Association Pools
7.000% due 2000 61 61
8.000% due 2002 269 270
7.000% due 2003 290 287
7.500% due 2003 459 456
8.000% due 2003 114 115
6.500% due 2004 148 144
8.000% due 2004 26 26
8.000% due 2005 11 11
7.200% due 2007 971 948
10.500% due 2010 3 3
6.500% due 2011 489 471
7.000% due 2011 128 125
8.000% due 2011 83 84
6.500% due 2012 648 621
6.000% due 2013 6,252 5,860
6.500% due 2013 894 856
5.500% due 2014 2,220 2,032
6.500% due 2014 665 637
7.000% due 2015 158 155
7.500% due 2017 20 20
8.000% due 2017 25 25
9.000% due 2017 261 268
8.000% due 2019 431 433
7.500% due 2022 18 17
7.500% due 2023 52 51
7.500% due 2024 1,610 1,584
8.000% due 2024 2,057 2,061
8.500% due 2024 424 430
7.000% due 2025 750 720
7.500% due 2025 559 549
8.500% due 2025 544 552
7.000% due 2026 1,035 994
7.500% due 2026 25 25
7.000% due 2027 330 317
7.500% due 2027 399 393
8.000% due 2027 469 470
9.000% due 2027 14 15
6.000% due 2028 25,763 23,325
6.500% due 2028 2,809 2,626
7.500% due 2028 1,249 1,228
8.000% due 2028 1,648 1,646
6.000% due 2029 3,989 3,611
6.500% due 2029 (d) 40,495 37,807
7.500% due 2029 4,550 4,452
7.500% due 2030 (d) 12,708 12,432
8.500% due 2030 1,210 1,227
Federal National Mortgage Association
Series 1993-134 Class H
6.500% due 08/25/08 1,930 1,826
Federal National Mortgage
Association - Aces
Series 1997-M5 Class B
6.650% due 08/25/07 1,720 1,656
6.250% due 01/25/08 1,250 1,165
Series 1999-M4 Class A
7.354% due 12/25/09 2,069 2,021
Series 2000-M1 Class A
7.369% due 01/17/13 1,851 1,857
Federal National Mortgage Association
Principal Only Strip
Series 108 Class I
Zero Coupon due 03/01/20 81 65
Federal National Mortgage
Association REMIC
Series 1992-158 Class ZZ
7.750% due 08/25/22 535 517
Series 1997-55 Class ZA
7.000% due 04/18/27 6,023 5,462
First Union Lehman Brothers
Commercial Mortgage Trust
Series 1997-C1 Class C
7.440% due 04/18/07 950 924
First Union National Bank
Commercial Mortgage Trust
Series 2000-C1 Class A2
7.841% due 03/15/10 95 95
GMAC Commercial Mortgage
Securities, Inc.
Series 1996-C1 Class A2A
6.790% due 09/15/03 2,005 1,975
Series 1997-C1 Class A3
6.869% due 08/15/07 140 133
Series 1999-C2 Class A1
6.570% due 09/15/33 3,141 2,987
Government National Mortgage
Association (b)
6.000% 30 Year TBA 2,800 2,538
6.500% 30 Year TBA 57,420 53,786
7.500% 30 Year TBA 1,300 1,278
8.000% 30 Year TBA 1,700 1,703
8.500% 30 Year TBA 7,645 7,779
</TABLE>
90 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- ----------
<S> <C> <C>
Government National Mortgage
Association Pools
8.500% due 2005 24 24
6.500% due 2008 70 68
6.500% due 2009 526 510
6.500% due 2010 131 127
7.000% due 2011 128 126
9.000% due 2016 997 1,037
9.500% due 2016 77 82
8.000% due 2017 67 68
9.000% due 2017 1,958 2,037
9.000% due 2020 3 3
10.500% due 2020 551 596
10.500% due 2021 64 69
7.000% due 2022 164 159
8.000% due 2022 273 274
8.500% due 2022 33 34
6.125% due 2023 (a) 1,644 1,660
6.500% due 2023 674 636
7.000% due 2023 8,014 7,744
7.500% due 2023 5,635 5,563
7.000% due 2024 16,570 15,995
7.125% due 2024 (a)(d) 1,634 1,648
7.500% due 2024 2,043 2,015
8.000% due 2024 802 805
8.500% due 2024 94 96
6.500% due 2026 3,100 2,913
7.000% due 2026 823 793
6.500% due 2027 116 108
7.000% due 2027 200 192
6.000% due 2028 4,548 4,134
6.500% due 2028 6,872 6,438
7.000% due 2028 9,726 9,355
8.500% due 2028 24 24
6.500% due 2029 6,480 6,070
7.000% due 2029 (d) 4,332 4,165
7.500% due 2029 1,272 1,251
8.000% due 2029 9,968 9,988
8.500% due 2029 404 411
8.000% due 2030 1,661 1,664
Greenwich Capital Acceptance, Inc.
Mortgage Pass-thru Certificate
Series 1993 Class LB-1
7.140% due 04/25/23 (a) 225 224
GS Mortgage Securities Corp. II
Series 1997-GL Class A2A
6.940% due 07/13/30 353 352
Guaranteed Export Trust
Series 1996-A
6.550% due 06/15/04 585 572
Housing Securities, Inc.
Series 1994-2 Class A1
6.500% due 07/25/09 678 651
JP Morgan Commercial Mortgage
Finance Corp.
Series 2000-C9 Class A2
7.770% due 10/15/32 1,565 1,568
Mellon Residential Funding Corp.
Series 2000-TBC1 Class A2B
6.922% due 03/25/30 1,980 1,941
Merrill Lynch Mortgage Investors, Inc.
Series 1995-C2 Class D
7.945% due 06/15/21 418 404
Merrill Lynch Mortgage Investors, Inc.
Pass-thru Certificates
Series 1999-C1 Class A2
7.560% due 09/15/09 1,475 1,458
Mortgage Capital Funding, Inc.
Series 1996-MC1 Class A2B
7.900% due 02/15/06 950 959
Nationslink Funding Corp.
Series 1999-2 Class A2C
7.229% due 10/20/08 1,840 1,781
Series 1999-2 Class A3
7.181% due 12/20/06 1,763 1,716
Prudential Home Mortgage Securities Co.
Series 1992-38 Class A8
6.950% due 11/25/22 1,640 1,479
Residential Accredited Loans, Inc.
Series 1996-QS1 Class A4
6.900% due 01/25/26 836 795
Resolution Trust Corp.
Series 1995-C1 Class D
6.900% due 02/25/27 900 873
Salomon Brothers Mortgage
Securities VII, Inc.
Mortgage Pass-thru Certificate
Series 1994-16 Class A
8.710% due 11/25/24 (a) 489 498
Small Business Investment Cos.
Series 1999-P10B Class 1
7.540% due 08/10/09 4,950 4,906
Structured Asset Securities Corp.
Series 1997-LLI Class A1
6.790% due 06/12/04 2,337 2,295
---------
432,922
---------
</TABLE>
Fixed Income I Fund 91
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- ----------
<S> <C> <C>
NON-US BONDS - 0.3%
Banque Centrale de Tunisie
7.500% due 08/06/09 EUR 2,500 2,298
International Bank for Reconstruction
& Development
7.250% due 05/27/03 NZD 200 97
New Zealand, Government of
10.000% due 03/15/02 NZD 900 460
Series 403
5.500% due 04/15/03 NZD 1,200 559
---------
3,414
---------
UNITED STATES GOVERNMENT AGENCIES - 7.5%
Federal Home Loan Bank
Series IZ02
6.450% due 03/13/02 2,625 2,591
Series V703
5.233% due 11/17/03 3,125 2,933
Series EV09
5.790% due 04/27/09 3,980 3,561
Federal Home Loan Mortgage Corp.
7.000% due 02/15/03 3,330 3,315
6.300% due 06/01/04 3,000 2,883
6.875% due 01/15/05 3,310 3,262
5.750% due 03/15/09 1,775 1,594
7.000% due 03/15/10 9,100 8,908
6.750% due 09/15/29 8,995 8,486
Federal National Mortgage Association
6.625% due 01/15/02 11,055 10,974
6.250% due 11/20/02 1,955 1,907
5.750% due 04/15/03 4,635 4,462
6.100% due 06/26/03 660 636
6.010% due 07/17/03 2,000 1,920
6.940% due 03/19/07 1,550 1,483
6.900% due 08/21/07 3,650 3,478
7.250% due 01/15/10 6,190 6,172
6.210% due 08/06/38 3,445 2,962
Government Backed Trust Certificates
Class 1-C
9.250% due 11/15/01 902 920
Series T-3
9.625% due 05/15/02 (a) 437 433
Resolution Funding Corp.
Series A
8.875% due 07/15/20 2,275 2,761
8.625% due 01/15/21 880 1,076
8.625% due 01/15/30 240 298
Tennessee Valley Authority
Series A
6.375% due 06/15/05 850 817
Series E
6.250% due 12/15/17 640 572
6.750% due 11/01/25 3,320 3,238
---------
81,642
---------
UNITED STATES GOVERNMENT TREASURIES - 16.8%
United States Treasury Bond
Principal Strip
8.875% due 02/15/19 8,300 2,645
8.750% due 05/15/20 1,000 296
United States Treasury Bond Strip
8.000% due 11/15/21 200 55
United States Treasury Bonds
10.750% due 02/15/03 630 693
10.750% due 05/15/03 2,730 3,032
10.750% due 08/15/05 6,245 7,372
10.375% due 11/15/09 2,130 2,428
11.750% due 02/15/10 3,165 3,803
12.750% due 11/15/10 16,650 21,203
13.875% due 05/15/11 3,365 4,547
14.000% due 11/15/11 1,590 2,196
10.375% due 11/15/12 2,840 3,458
12.000% due 08/15/13 4,895 6,542
13.250% due 05/15/14 2,670 3,853
12.500% due 08/15/14 2,385 3,340
11.250% due 02/15/15 3,790 5,545
10.625% due 08/15/15 245 346
9.250% due 02/15/16 3,660 4,709
8.875% due 08/15/17 8,415 10,646
8.875% due 02/15/19 12,925 16,532
8.125% due 05/15/21 7,925 9,613
8.125% due 08/15/21 6,725 8,168
8.000% due 11/15/21 200 241
7.625% due 11/15/22 900 1,047
6.750% due 08/15/26 760 812
6.625% due 02/15/27 (d) 2,350 2,474
6.375% due 08/15/27 10,060 10,272
6.125% due 11/15/27 1,675 1,657
6.250% due 05/15/30 500 520
United States Treasury Notes
6.250% due 04/30/01 2,105 2,097
5.625% due 05/15/01 1,995 1,978
6.625% due 06/30/01 490 490
7.875% due 08/15/01 8,600 8,725
5.625% due 09/30/01 350 345
6.625% due 04/30/02 2,115 2,112
</TABLE>
92 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- ----------
<S> <C> <C>
5.375% due 06/30/03 95 92
7.875% due 11/15/04 4,675 4,904
6.875% due 05/15/06 2,820 2,866
3.375% due 01/15/07 1,927 1,856
6.625% due 05/15/07 40 40
6.125% due 08/15/07 235 230
3.625% due 01/15/08 4,375 4,263
5.625% due 05/15/08 6,480 6,155
3.875% due 01/15/09 6,250 6,189
6.000% due 08/15/09 300 293
United States Treasury Strips
5.780% due 05/15/09 4,650 2,613
---------
183,293
---------
YANKEE BONDS - 2.3%
Abbey National PLC
6.700% due 06/29/49 (c) 2,700 2,408
African Development Bank
9.750% due 12/15/03 425 455
6.750% due 10/01/04 400 389
6.875% due 10/15/15 775 724
8.800% due 09/01/19 535 628
Canadian National Railway Co.
6.800% due 07/15/18 555 484
Carter Holt Harvey, Ltd.
7.625% due 04/15/02 500 496
8.875% due 12/01/04 350 359
Diageo Capital PLC
6.125% due 08/15/05 1,850 1,731
Hydro Quebec
Series GH
8.250% due 04/15/26 605 637
International American
Development Bank
6.950% due 08/01/26 425 417
Korea Development Bank
6.250% due 05/01/00 2,000 1,999
Manitoba, Province of
Series CD
9.250% due 04/01/20 335 393
National Westminster Bank PLC
7.750% due 04/29/49 (c) 1,250 1,184
New Brunswick, Province of
7.125% due 10/01/02 500 497
9.750% due 05/15/20 320 396
Newfoundland, Province of
10.000% due 12/01/20 150 185
Noranda Forest, Inc.
6.875% due 11/15/05 350 315
Nova Scotia, Province of
9.125% due 05/01/21 685 793
Pemex Finance, Ltd.
6.125% due 11/15/03 2,000 1,938
Quebec, Province of
8.800% due 04/15/03 750 777
Series NN
7.125% due 02/09/24 1,145 1,072
Royal Caribbean Cruises, Ltd.
8.125% due 07/28/04 625 598
7.250% due 03/15/18 1,300 1,099
7.500% due 10/15/27 200 168
Saskatchewan, Province of
6.625% due 07/15/03 100 98
8.000% due 07/15/04 1,290 1,315
Stagecoach Holdings PLC
8.625% due 11/15/09 200 162
Trans-Canada Pipelines, Ltd.
7.150% due 06/15/06 1,000 972
Tyco International Group SA
6.375% due 06/15/05 800 744
United News & Media PLC
7.250% due 07/01/04 1,300 1,256
---------
24,689
---------
TOTAL LONG-TERM INVESTMENTS
(cost $1,106,528) 1,076,395
---------
<CAPTION>
NOTIONAL
AMOUNT
(000)
$
-----------
<S> <C> <C>
OPTIONS PURCHASED - 0.0%
United States Treasury Bills (e) *
May 100.66 Call 3,100 --
United States Treasury Bonds (e) *
Aug 95.58 Call 2,175 55
Sep 104.75 Call 1,625 23
United States Treasury Notes (e) *
Aug 99.31 Call 4,825 42
Sep 102.52 Call 2,000 65
1,525 25
---------
TOTAL OPTIONS PURCHASED
(cost $254) 210
---------
</TABLE>
Fixed Income I Fund 93
<PAGE>
FIXED INCOME I FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
----------- -----------
<S> <C> <C>
PREFERRED STOCKS - 0.2%
Banco Bilbao Vizcaya
International - ADR 10,000 251
Credit Lyonnais Capital S.C.A. - ADR 40,000 960
Equity Office Properties Trust
Series B 28,000 1,084
---------
TOTAL PREFERRED STOCKS
(cost $2,759) 2,295
---------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
$
-----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 12.3%
Frank Russell Investment Company
Money Market Fund,
due on demand (f) 134,116 134,116
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $134,116) 134,116
---------
TOTAL INVESTMENTS - 111.4%
(identified cost $1,243,657) 1,213,016
OTHER ASSETS AND LIABILITIES, NET,
INCLUDING OPTIONS WRITTEN - (11.4%) (124,718)
---------
1,088,298
NET ASSETS - 100.0% =========
<CAPTION>
NOTIONAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
<S> <C> <C>
United States Treasury Bills*
May 104.66 Call 3,100 --
May 97.28 Put 3,100 6
United States Treasury Bonds*
Aug 98.68 Call 2,175 21
Sep 103.13 Put 4,825 122
United States Treasury Notes*
Aug 103.13 Call 2,000 22
Sep 106.53 Put 1,625 7
Sep 100.50 Put 1,525 18
Sep 99.02 Put 1,625 15
-------
Total Liability for Options Written
(premiums received $211) 211
=======
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
<CAPTION>
<S> <C> <C> <C>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------ ----------- ---------- --------------
EUR 2,607 USD 2,421 05/23/00 $ 2,471
=======
</TABLE>
* Each contract represents $100,000 notional value.
(a) Adjustable or floating rate security.
(b) Forward commitment.
(c) Perpetual floating rate note.
(d) Held as collateral in connection with options written by the Fund.
(e) Nonincome-producing security.
(f) At amortized cost, which approximates market.
Abbreviations:
ADR - American Depositary Receipt
REMIC - Real Estate Mortgage Investment Conduit
TBA - To Be Announced Security
Foreign Currency Abbreviations:
EUR - Euro Dollar
NZD - New Zealand Dollar
USD - US Dollar
See accompanying notes which are an integral part of the financial statements.
94 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $1,243,657). . . . . . $ 1,213,016
Unrealized appreciation on foreign currency exchange spot
contracts . . . . . . . . . . . . . . . . . . . . . . . . . . 51
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . 13,855
Investments sold (regular settlement). . . . . . . . . . . . 26,349
Investments sold (delayed settlement). . . . . . . . . . . . 6,340
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 457
Prepaid expenses. . . . . . . . . . . . . . . . . . . . . . . 12
-----------
Total assets . . . . . . . . . . . . . . . . . . . . . . . 1,260,080
LIABILITIES
Payables:
Investments purchased (regular settlement). . . $ 31,101
Investments purchased (delayed settlement). . . 136,874
Fund shares redeemed. . . . . . . . . . . . . . 3,227
Accrued fees to affiliates. . . . . . . . . . . 299
Other accrued expenses. . . . . . . . . . . . . 70
Options written, at market value (premiums
received $211) . . . . . . . . . . . . . . . . . 211
--------
Total liabilities. . . . . . . . . . . . . . . . . . . . . 171,782
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,088,298
===========
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . . $ 6,630
Accumulated net realized gain (loss). . . . . . . . . . . . . (24,500)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . (30,641)
Foreign currency-related transactions. . . . . . . . . . . . 61
Shares of beneficial interest . . . . . . . . . . . . . . . . 536
Additional paid-in capital. . . . . . . . . . . . . . . . . . 1,136,212
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,088,298
===========
NET ASSET VALUE, offering and redemption price per share:
Class E ($35,424,165 divided by 1,743,141 shares of $.01 par
value shares of beneficial interest outstanding) . . . . . . $ 20.32
===========
Class I ($885,776,204 divided by 43,594,603 shares of $.01 par
value shares of beneficial interest outstanding) . . . . . . $ 20.32
===========
Class Y ($167,097,773 divided by 8,223,600 shares of $.01 par
value shares of beneficial interest outstanding) . . . . . . $ 20.32
===========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Fixed Income I Fund 95
<PAGE>
FIXED INCOME I FUND
STATEMENT OF OPERATIONS
Amounts in thousands April 30, 2000 (Unaudited)
<TABLE>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- ----------------
<S> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . $ 23,476 $ 61,879
Dividends from Money Market Fund . . . . . . . 1,771 5,216
Dividends. . . . . . . . . . . . . . . . . . . 143 338
-------- -----------
Total investment income. . . . . . . . . . . 25,390 67,433
-------- -----------
EXPENSES
Advisory fees. . . . . . . . . . . . . . . . . 878 2,514
Administrative fees. . . . . . . . . . . . . . 175 523
Custodian fees . . . . . . . . . . . . . . . . 198 530
Transfer agent fees. . . . . . . . . . . . . . 85 339
Professional fees. . . . . . . . . . . . . . . 20 38
Registration fees. . . . . . . . . . . . . . . 37 128
Shareholder servicing fees - Class E . . . . . 30 53
Trustees' fees . . . . . . . . . . . . . . . . 4 6
Miscellaneous. . . . . . . . . . . . . . . . . 14 60
-------- -----------
Total expenses . . . . . . . . . . . . . . . 1,441 4,191
-------- -----------
Net investment income . . . . . . . . . . . . . 23,949 63,242
-------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments. . . . . . . . . . . . . . . . . . (7,309) (19,448)
Options written. . . . . . . . . . . . . . . . (119) 410
Foreign currency-related transactions. . . . . 375 60
-------- -----------
(7,053) (18,978)
-------- -----------
Net change in unrealized appreciation
(depreciation) on:
Investments. . . . . . . . . . . . . . . . . . 3,567 (54,674)
Options written. . . . . . . . . . . . . . . . 152 (192)
Foreign currency-related transactions. . . . . (82) 143
-------- -----------
3,637 (54,723)
-------- -----------
Net realized and unrealized gain (loss) . . . . (3,416) (73,701)
-------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS. . . . . . . . . . . . . . . . . . . $ 20,533 $ (10,459)
========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
96 Fixed Income I Fund
<PAGE>
FIXED INCOME I FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income. . . . . . $ 23,949 $ 63,242 $ 54,878
Net realized gain (loss) . . . . (7,053) (18,978) 19,960
Net change in unrealized
appreciation (depreciation). . . 3,637 (54,723) (1,058)
---------- ---------- --------
Net increase (decrease) in net
assets from operations . . . . 20,533 (10,459) 73,780
---------- ---------- --------
DISTRIBUTIONS
From net investment income
Class E. . . . . . . . . . . . (607) (1,388) --
Class I. . . . . . . . . . . . (14,584) (61,700) (55,645)
Class Y. . . . . . . . . . . . (2,676) -- --
From net realized gain
Class I. . . . . . . . . . . . -- (859) (9,092)
---------- ---------- --------
Net decrease in net assets
from distributions . . . . . (17,867) (63,947) (64,737)
---------- ---------- --------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share
transactions . . . . . . . . . . (1,680) 183,227 171,196
---------- ---------- --------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS. . . . . . . . . . . . 986 108,821 180,239
NET ASSETS
Beginning of period. . . . . . . 1,087,312 978,491 798,252
---------- ---------- --------
End of period (including
undistributed net investment
income of $6,630 at April 30,
2000 and $548 at December 31,
1999). . . . . . . . . . . . . . $1,088,298 $1,087,312 $978,491
========== ========== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Fixed Income I Fund 97
<PAGE>
FIXED INCOME I FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
------- -------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . $ 20.30 $ 21.25
------- -------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . . . .43 .74
Net realized and unrealized gain (loss) . . . . . . . . . . (.07) (.81)
------- -------
Total income from operations. . . . . . . . . . . . . . . .36 (.07)
------- -------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . . . (.34) (.88)
------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . $ 20.32 $ 20.30
======= =======
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . . 1.74 (.32)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . . . 35,424 35,950
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . . .65 .66
Net investment income . . . . . . . . . . . . . . . . . . 6.34 5.79
Portfolio turnover rate (%) . . . . . . . . . . . . . . . . 64.11 138.69
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period May 14, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
98 Fixed Income I Fund
<PAGE>
Fixed Income I Fund
Financial Highlights - Class I
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-----------------------------------------------------
2000* 1999 1998 1997 1996 1995
------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD . $20.27 $21.76 $21.51 $20.99 $21.59 $19.59
------ ------ ------ ------ ------ ------
INCOME FROM OPERATIONS
Net investment income
(a). . . . . . . . . .46 1.28 1.32 1.37 1.38 1.42
Net realized and
unrealized gain
(loss) . . . . . . (.08) (1.50) .45 .54 (.62) 2.02
------ ------ ------ ------ ------ ------
Total income from
operations . . . . .38 (.22) 1.77 1.91 .76 3.44
------ ------ ------ ------ ------ ------
DISTRIBUTIONS
From net investment
income . . . . . . (.33) (1.25) (1.31) (1.39) (1.36) (1.44)
From net realized
gain . . . . . . . -- (.02) (.21) -- -- --
------ ------ ------ ------ ------ ------
Total distributions (.33) (1.27) (1.52) (1.39) (1.36) (1.44)
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END
OF PERIOD . . . . . . $20.32 $20.27 $21.76 $21.51 $20.99 $21.59
====== ====== ====== ====== ====== ======
TOTAL RETURN (%)(b)(d) 1.86 (1.04) 8.37 9.42 3.75 18.03
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period (in
thousands) . . . . 885,776 1,051,362 978,491 798,252 662,899 638,317
Ratios to average net
assets (%)(c)(d):
Operating expenses .39 .39 .39 .42 .42 .35
Net investment
income . . . . . . 6.59 6.05 6.03 6.54 6.57 6.82
Portfolio turnover
rate (%) . . . . . 64.11 138.69 226.70 165.81 147.31 138.05
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) 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 99
<PAGE>
FIXED INCOME I FUND
FINANCIAL HIGHLIGHTS - CLASS Y
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000*
--------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . $ 20.61
--------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . . . . . . . .12
Net realized and unrealized gain (loss) . . . . . . . . . . . . . . (.08)
--------
Total income from operations. . . . . . . . . . . . . . . . . . . .04
--------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . . . . . . . (.33)
--------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . $ 20.32
========
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . . . . . . .18
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . . . . . . . 167,098
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . . . . . . .09
Net investment income . . . . . . . . . . . . . . . . . . . . . . 1.75
Portfolio turnover rate (%) . . . . . . . . . . . . . . . . . . . . 64.11
</TABLE>
* For the period March 29, 2000 (commencement of sale) to April 30, 2000
(Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Not annualized.
(c) Annualized.
100 Fixed Income I Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
LONG-TERM INVESTMENTS - 105.4%
ASSET-BACKED SECURITIES - 6.5%
Arcadia Automobile Receivables Trust
Series 1997-D Class A3
6.200% due 05/15/03 299 298
Caterpillar Financial Asset Trust
Series 1999-A Class A2
5.900% due 03/25/02 394 393
Centex Home Equity
Series 1999-2 Class A1
5.910% due 04/25/19 356 352
Chase Manhattan Auto Owner Trust
Series 1998-A Class A3
5.700% due 09/17/01 332 331
Chevy Chase Auto Receivables Trust
Series 1997-4 Class A
6.250% due 06/15/04 502 497
Citibank Credit Card Master Trust I
Series 1999-1 Class B
5.750% due 02/15/06 970 910
Conseco Finance
Series 1999-H Class AF1
6.450% due 12/15/29 355 353
Series 2000-B Class AF1
6.940% due 11/15/14 (b) 393 389
Conseco Finance
Securitizations Corp,
Series 2000-1 Class A1
6.840% due 05/01/31 434 433
Contimortgage Home Equity
Loan Trust
Series 1996-4 Class A8
7.220% due 01/15/28 105 103
Cross Country Master Credit
Card Trust II
Series 1999-1 Class A
6.630% due 09/15/05 (b) 400 400
Daimler-Benz Auto Grantor Trust
Series 1997-A Class A
6.050% due 03/31/05 387 384
Daimler-Benz Vehicle Trust
Series 1998-A Class A2
5.230% due 06/10/00 49 49
Series 1998-A Class A3
5.160% due 01/20/03 700 693
DaimlerChrysler Auto Trust
Series 2000-A Class A4
7.230% due 01/06/05 (b) 500 498
Delta Funding Home Equity
Loan Trust
Series 1998-4 Class A4F
6.340% due 04/15/26 1,250 1,146
Discover Card Master Trust I
Series 1999-6 Class A
6.850% due 07/17/07 1,200 1,170
DR Structured Finance Corp.
Series 1994-K1, Class A-1
7.600% due 08/15/07 69 64
Duck Automobile Grantor Trust
Step Up Bond
Series 1999-B Class A
6.450% due 04/15/04 190 190
EQCC Home Equity Loan Trust
Series 1999-1 Class A1F
5.770% due 05/20/10 406 403
Series 1999-3 Class A1F
6.548% due 04/25/10 368 338
First Plus Home Loan Trust
Step Up Bond
Series 1998-5 Class A3
6.060% due 09/10/11 (c) 3,292 3,279
Ford Credit Automobile Owner Trust
Series 1998-A Class A3
5.650% due 10/15/01 324 324
Series 1998-B Class A3
5.850% due 10/15/01 480 479
Series 1999-B Class A3
5.470% due 09/15/01 537 535
Series 1999-C Class A3
5.770% due 11/15/01 683 680
Series 1999-D Class A3
6.200% due 04/15/02 799 795
Series 2000-A Class A5
7.190% due 03/15/04 875 872
Series 1998-1 Class A2
5.850% due 11/01/29 371 370
Series 1999-C Class A1
5.990% due 07/15/30 279 278
Green Tree Lease Finance L.L.C.
Series 1997-1 Class A3
6.170% due 09/20/05 230 230
Greenpoint Manufactured Housing
Series 1999-5 Class A1
6.750% due 04/15/11 (b) 358 356
Greenwich Capital Acceptance, Inc.
Series 1994 Class A-1
9.090% due 11/25/24 (b) 20 20
</TABLE>
102 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Harley-Davidson Eaglemark Motorcycle
Trust
Series 1998-2 Class A1
5.770% due 09/16/02 329 328
Series 1999-3 Class A1
6.220% due 02/15/04 313 311
Honda Auto Receivables
Grantor Trust
Series 1997-A Class A
5.850% due 02/15/03 246 245
Honda Auto Receivables Owner Trust
Series 1999-1 Class A2
5.186% due 06/15/01 228 227
Household Home Equity Loan Trust
Series 1999-1 Class A1
6.830% due 12/20/16 (b) 295 294
MBNA Master Credit Card Trust
Series 1999-B Class A
5.900% due 08/15/11 1,385 1,248
Series 1999-J Class A
7.000% due 02/15/12 1,525 1,480
MMCA Auto Owner Trust
Series 1999-2 Class A1
6.300% due 06/15/02 351 350
Nissan Auto Receivables
Grantor Trust
Series 1998-A Class A
5.450% due 04/15/04 473 467
Nissan Auto Receivables Owner Trust
Series 2000-A Class A2
6.730% due 05/15/02 475 474
Peco Energy Transition Trust
Series 2000-A Class A3
7.625% due 03/01/10 (b) 300 299
Premier Auto Trust
Series 1998-5 Class A3
5.070% due 07/08/02 400 396
Student Loan Marketing Association
Series 1996-4 Class A1
6.280% due 07/25/04 (b) 1,389 1,381
Series 1997-3 Class A1
6.400% due 04/25/06 (b) 1,623 1,616
USAA Auto Loan Grantor Trust
Series 1997-1 Class A
6.000% due 05/15/04 455 452
Vanderbilt Mortgage & Finance, Inc.
Series 1998-C Class 1A6
6.750% due 10/07/28 (c) 1,000 882
WFS Financial Owner Trust
Series 1998-C Class A3
5.650% due 11/20/02 (b) 3,000 2,977
----------
31,039
----------
CORPORATE BONDS AND NOTES - 30.2%
Abitibi-Consolidated Finance
7.875% due 08/01/09 402 378
Adelphia Business Solutions
12.000% due 11/01/07 55 56
Adelphia Communications Corp.
7.875% due 05/01/09 55 47
9.375% due 11/15/09 325 302
Advantica Restaurant Group, Inc.
11.250% due 01/15/08 20 13
Agrilink Foods, Inc.
11.875% due 11/01/08 55 49
Ahold Finance USA, Inc.
6.250% due 05/01/09 850 740
6.875% due 05/01/29 275 226
Airgate Pcs, Inc.
Zero Coupon due 10/01/09 (b) 35 20
Albertson's, Inc.
7.450% due 08/01/29 295 275
Allied Waste North America
Series B
Zero Coupon due 08/01/09 20 14
Allied Waste North America, Inc.
Series B
7.875% due 01/01/09 25 19
American Airlines, Inc.
9.710% due 01/02/07 (b) 283 285
Series 90-P
10.600% due 03/04/09 1,013 1,122
American General
Institutional Capital
Series B
8.125% due 03/15/46 1,045 990
American Restaurant Group, Inc.
Series B
11.500% due 02/15/03 40 29
AMR Corp.
9.950% due 03/07/01 1,000 1,017
Amresco, Inc.
Series 98-A
9.875% due 03/15/05 575 385
Amtrol, Inc.
10.625% due 12/31/06 40 38
</TABLE>
Fixed Income III Fund 103
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Aramark Corp.
6.750% due 08/01/04 1,365 1,247
Arco Chemical Co.
9.800% due 02/01/20 50 46
ASAT Finance LLC
12.500% due 11/01/06 20 21
AT & T Capital Corp.
7.110% due 09/13/01 (c) 2,050 2,039
AT&T Corp.
6.500% due 03/15/29 475 401
Avon Products Inc.
7.150% due 11/15/09 409 385
Axa Financial, Inc.
7.000% due 04/01/28 530 465
Banc One Corp.
8.000% due 04/29/27 90 88
7.625% due 10/15/26 340 290
Banesto Delaware, Inc.
8.250% due 07/28/02 1,000 1,002
Bank of America Corp.
6.170% due 03/05/01 (b) 5,000 4,994
Bank United Corp.
8.875% due 05/01/07 1,050 988
BankBoston NA
6.375% due 04/15/08 290 263
Bay View Capital Corp.
9.125% due 08/15/07 180 135
BellSouth Telecommunications, Inc.
6.375% due 06/01/28 280 231
Beneficial Corp.
6.500% due 04/02/02 (b) 2,000 1,998
Budget Group, Inc.
9.125% due 04/01/06 25 20
Buhrmann Us, Inc.
12.250% due 11/01/09 55 56
Building Materials Corp.
8.000% due 10/15/07 500 428
Building One Services Corp.
10.500% due 05/01/09 50 45
Burlington Northern Santa Fe
6.700% due 08/01/28 325 268
Charter Communications
Holdings, LLC
8.250% due 04/01/07 575 515
Chase Manhattan Corp.
7.000% due 11/15/09 320 301
Cheasapeake Energy
9.625% due 05/01/05 50 48
Chevy Chase Auto Receivables
5.970% due 10/20/04 278 275
Chippac Intl, Ltd.
12.750% due 08/01/09 40 42
Cincinnati Financial Corp.
6.900% due 05/15/28 1,000 867
Citibank Mxn Linked Deposit
Zero Coupon due 12/03/01 (b) 35 35
Citicorp
6.189% due 08/13/02 (b) 2,000 1,997
6.375% due 11/15/08 851 778
CK Witco Corp.
8.500% due 03/15/05 675 673
CMS Energy Corp.
7.500% due 01/15/09 330 288
Coastal Corp.
6.200% due 05/15/04 1,000 942
Colo.Com
Series UNIT
13.875% due 03/15/10 15 15
Columbia Healthcare Corp.
7.500% due 12/15/23 530 430
Columbia/HCA Healthcare Corp.
8.020% due 08/05/02 2,000 1,938
Comstock Res, Inc.
11.250% due 05/01/07 42 42
Conmed Corp.
9.000% due 03/15/08 300 273
Connecticut Light & Power Co.
7.875% due 10/01/24 665 664
Conoco, Inc.
6.950% due 04/15/29 460 412
Continental Airlines, Inc.
Pass-thru Certificate
Series 1999-1 Class A
6.545% due 02/02/19 63 56
Courtyard Marriott II, Ltd.
Series B
10.750% due 02/01/08 60 59
Covad Communications Group
12.000% due 02/15/10 30 28
Crescent Real Estate Equities
7.000% due 09/15/02 (b) 850 771
7.500% due 09/15/07 (b) 425 344
CSC Holdings, Inc.
7.875% due 12/15/07 585 550
7.250% due 07/15/08 305 278
Series B
8.125% due 07/15/09 250 247
8.125% due 08/15/09 150 143
CSX Corp.
6.800% due 12/01/28 1,050 864
</TABLE>
104 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Cybernet Internet
Services International
14.000% due 07/01/09 5 4
Dade International, Inc.
Series B
11.125% due 05/01/06 25 24
DaimlerChrysler North
America Holding
7.400% due 01/20/05 1,325 1,306
Delphi Automotive Systems Corp.
7.125% due 05/01/29 350 296
Delta Air Lines
7.700% due 12/15/05 800 760
Delta Air Lines, Inc.
8.300% due 12/15/29 400 358
Series C
6.650% due 03/15/04 2,000 1,863
Dynegy, Inc.
7.450% due 07/15/06 406 390
Echostar DBS Corp.
9.375% due 02/01/09 23 22
Energis PLC
9.125% due 03/15/10 (b) 40 63
Enron Corp.
6.577% due 09/10/01 (b) 3,000 2,995
EOP Operating LLP
7.500% due 04/19/29 410 339
EOP Operating, L.P.
6.500% due 01/15/04 975 917
ERAC USA Finance Co.
6.350% due 01/15/01 800 794
8.250% due 05/01/05 160 158
Exide Corp.
2.900% due 12/15/05 625 359
Extendicare Health Services, Inc.
9.350% due 12/15/07 900 450
Fairchild Semiconductor Corp.
10.375% due 10/01/07 25 25
Federated Department Stores, Inc.
7.000% due 02/15/28 275 232
6.900% due 04/01/29 85 71
First Security Corp.
5.875% due 11/01/03 3,000 2,810
First Union Corp.
6.950% due 11/01/04 1,769 1,724
Firstworld Communications, Inc.
Step Up Bond
Zero Coupon due 04/15/08 (b) 30 14
Fleet Boston Corp.
7.375% due 12/01/09 400 384
Fleming Cos., Inc.
Series B
10.500% due 12/01/04 20 18
Florida Windstorm Underwriting
7.125% due 02/25/19 350 328
Foamex LP Foamex Capital Corp.
13.500% due 08/15/05 20 18
Ford Motor Credit Co.
6.224% due 02/13/03 (b) 2,000 1,994
7.500% due 03/15/05 1,050 1,037
6.350% due 03/17/03 (b) 5,000 4,990
6.310% due 05/21/04 (b) 3,000 2,978
5.800% due 01/12/09 400 349
7.375% due 10/28/09 655 633
Fuji JGB Investment LLC
9.870% due 12/31/49 (e) 450 439
Generac Portable Products, LLC
11.250% due 07/01/06 30 28
General Electric Capital Corp.
Series A
7.250% due 02/01/05 925 920
7.375% due 01/19/10 225 224
General Motors Acceptance Corp.
7.750% due 01/19/10 370 365
GEO Specialty Chemicals, Inc.
10.125% due 08/01/08 35 30
Global Crossing Holdings, Ltd.
9.125% due 11/15/06 240 233
9.625% due 05/15/08 750 735
Global Tele-Systems, Ltd.
11.500% due 12/15/07 55 24
Gold Eagle Capital, Ltd.
11.453% due 04/15/01 (b) 250 250
Golden State Holdings
7.125% due 08/01/05 1,015 891
Goldman Sachs Group
6.340% due 02/22/02 (b) 5,000 5,003
Goldman Sachs Group, Inc.
Series B
7.350% due 10/01/09 650 621
Grove Holdings, LLC
Step Up Bond
Zero Coupon due 05/01/09 (b) 250 21
Grove Worldwide, LLC
Step-Up Bond
9.250% due 05/01/08 150 63
GS Escrow Corp.
7.000% due 08/01/03 1,225 1,122
GTE Corp.
6.940% due 04/15/28 400 351
</TABLE>
Fixed Income III Fund 105
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
GTE North, Inc.
6.900% due 11/01/08 165 156
Halyard Re BV
10.504% due 04/05/02 (b) 250 250
Hanger Orthopedic Group
11.250% due 06/15/09 10 8
Harrahs Operating Co., Inc.
7.500% due 01/15/09 425 393
Hartford Life, Inc.
7.650% due 06/15/27 210 197
Health Care REIT, Inc.
7.625% due 03/15/08 500 439
High Voltage Engineering
10.500% due 08/15/04 35 27
HMH Properties, Inc.
Series A
7.875% due 08/01/05 335 302
Home Interiors & Gifts, Inc.
10.125% due 06/01/08 50 40
Honeywell International, Inc.
7.500% due 03/01/10 200 198
Horseshoe Gaming Holding Corp.
8.625% due 05/15/09 750 701
Household Finance Corp.
7.875% due 03/01/07 395 391
6.250% due 04/30/07 300 42
5.875% due 02/01/09 465 402
HSBC Capital Funding, L.P.
10.176% due 12/31/49 (b) 150 155
Huntsman Corp.
9.500% due 07/01/07 45 41
ICG Holdings, Inc.
Step Up Bond
Zero Coupon due 05/01/06 (b) 35 28
Imperial Capital Trust I
Series B
9.980% due 12/31/26 250 219
Impress Metal Pack Holding
9.875% due 05/29/07 45 21
Intermedia Communications, Inc.
8.600% due 06/01/08 230 210
Series B
8.500% due 01/15/08 215 196
International Business
Machines Corp.
7.000% due 10/30/25 115 109
Interpool Capital Trust
Series B
9.875% due 02/15/27 355 267
IPC Information Systems, Inc.
Step Up Bond
Zero Coupon due 05/01/08 (b) 35 29
IPC Magazines Group PLC
9.625% due 03/15/08 25 34
IT Group, Inc.
Series B
11.250% due 04/01/09 40 36
ITC Deltacom, Inc.
11.000% due 06/01/07 20 20
9.750% due 11/15/08 15 15
ITT Corp.
6.250% due 11/15/00 3,000 2,959
John Hancock Mutual Life
Insurance Co.
7.375% due 02/15/24 280 260
K Mart Funding Corp.
Series F
8.800% due 07/01/10 175 167
Kaufman and Broad Home Corp.
7.750% due 10/15/04 325 300
Kroger Co.
8.050% due 02/01/10 375 368
7.250% due 06/01/09 650 610
LCI International, Inc.
7.250% due 06/15/07 710 684
Leap Wireless
12.500% due 04/15/10 25 24
Lear Corp.
7.960% due 05/15/05 1,525 1,402
Lehman Brothers Holdings Corp.
7.145% due 11/30/06 (b) 3,000 2,775
Lehman Brothers Holdings, Inc.
7.625% due 06/01/06 450 443
6.625% due 04/01/04 1,515 1,448
Series E
7.190% due 04/02/02 (b) 3,000 3,012
Lenfest Communications, Inc.
8.375% due 11/01/05 260 260
Level 3 Communications, Inc.
10.750% due 03/15/08 40 35
11.000% due 03/15/08 145 140
11.250% due 03/15/10 95 91
Level 3 Communications, Inc.
Step Up Bond
Zero Coupon due 03/15/10 (b) 1,325 692
</TABLE>
106 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Lockheed Martin Corp.
6.850% due 05/15/01 5,000 4,960
8.200% due 12/01/09 50 49
8.500% due 12/01/29 275 269
Lodgenet Entertainment Corp.
10.250% due 12/15/06 45 45
Louisiana Land and Exploration Co.
7.650% due 12/01/23 398 351
Lowes Cos., Inc.
6.875% due 02/15/28 185 159
6.500% due 03/15/29 150 123
Lucent Technologies, Inc.
6.450% due 03/15/29 270 234
Luxfer Holdings PLC
10.125% due 05/01/09 25 37
MCI WorldCom, Inc.
6.950% due 08/15/28 560 494
McLeodUSA, Inc.
Step Up Bond
Zero Coupon due 03/01/07 (b) 775 620
Merrill Corp.
Series Unit
12.000% due 05/01/09 40 37
Merrill Lynch & Co.
Series E
7.375% due 12/17/07 60 95
Merrill Lynch & Co., Inc.
6.375% due 10/15/08 3,000 2,711
6.875% due 11/15/18 505 446
Metromedia Fiber Network, Inc.
1Zero Coupon due 12/15/09 15 14
MGC Communications, Inc.
13.000% due 04/01/10 45 43
MMI Capital Trust I
Series B
7.625% due 12/15/27 975 801
Morgan Stanley Dean Witter & Co.
Series C
5.820% due 06/19/00 (b) 3,000 2,962
Namazu Re, Ltd.
10.609% due 12/02/04 (b) 250 247
Nationsbank Corp.
6.800% due 03/15/28 515 441
Neff Corp.
10.250% due 06/01/08 45 37
News America Holdings, Inc.
8.875% due 04/26/23 250 253
News America, Inc.
7.300% due 04/30/28 160 138
Nextel Communications, Inc.
Step Up Bond
Zero Coupon due 02/15/08 305 214
Zero Coupon due 09/15/07 (b) 645 487
Nextlink Communications, Inc.
10.750% due 11/15/08 1,000 980
10.750% due 06/01/09 25 25
Step Up Bond
9.450% due 04/15/08 (b) 575 351
Niagara Mohawk Power Corp.
8.750% due 04/01/22 430 432
Series B
7.000% due 10/01/00 2,268 2,264
Norfolk Southern Corp.
7.050% due 05/01/37 890 858
North American Van Lines, Inc.
13.375% due 12/01/09 60 56
Northpoint Communication
Group, Inc.
12.875% due 02/15/10 30 27
NTL Communications Corp.
9.250% due 11/15/06 45 41
Ocwen Capital Trust
10.875% due 08/01/27 200 112
Official Information Co.
Series B
10.375% due 11/01/07 30 28
Oil Purchase Co.
7.100% due 04/30/02 168 158
Ono Finance PLC
13.000% due 05/01/09 15 14
Orion Power Holdings, Inc.
12.000% due 05/01/10 40 40
Orius Capital Corp.
12.750% due 02/01/10 30 30
Paine Webber Group, Inc.
6.375% due 05/15/04 350 328
6.450% due 12/01/03 400 379
Pannon Finance BV
7.750% due 08/03/04 35 32
Park Place Entertainment Corp.
7.950% due 08/01/03 450 437
Paxson Communications Corp.
11.625% due 10/01/02 450 464
Penhall International Corp.
12.000% due 08/01/06 20 20
Penn National Gaming, Inc.
10.625% due 12/15/04 30 30
</TABLE>
Fixed Income III Fund 107
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Pentacon, Inc.
Series B
12.250% due 04/01/09 20 10
Petro Stopping Centers
10.500% due 02/01/07 40 35
Pharmacia Corp.
6.600% due 12/01/28 370 315
Phoenix Color Corp.
10.375% due 02/01/09 50 45
Plains Resources, Inc.
Series B
10.250% due 03/15/06 5 5
Series E
10.250% due 03/15/06 45 43
PNC Funding Corp.
7.500% due 11/01/09 420 403
Polestar Corp.
10.500% due 05/30/08 20 30
Precision Partners, Inc.
12.000% due 03/15/09 10 7
Premier Parks, Inc.
9.750% due 06/15/07 100 95
Premier Parks, Inc.
Step Up Bond
Zero Coupon due 04/01/08 (b) 350 231
Procter & Gamble Co.
6.600% due 12/15/04 700 677
Prudential Insurance Co. of America
6.875% due 04/15/03 700 686
6.375% due 07/23/06 235 215
PSEG Energy Holdings
9.125% due 02/10/04 240 239
Psinet, Inc.
11.500% due 11/01/08 125 113
Public Service Co. New Mexico
7.100% due 08/01/05 500 476
PX Escrow Corp.
Step Up Bond
Zero Coupon due 02/01/06 (b) 925 472
Qwest Communications International,
Inc.
Series B
7.250% due 11/01/08 170 160
Railworks Corp.
11.500% due 04/15/09 55 52
Raytheon Co.
8.200% due 03/01/06 325 318
RBF Finance Co.
11.000% due 03/15/06 25 26
Regional Independent Media
12.875% due 07/01/08 20 21
Regional Independent Media
Group PLC
10.500% due 07/01/08 35 35
Republic of Brazil
8.000% due 04/15/14 212 152
Republic Services, Inc.
7.125% due 05/15/09 250 207
Resolution Funding Corp.
Principal Strip
Zero Coupon due 01/15/21 964 253
Revlon Consumer Products Corp.
8.625% due 02/01/08 725 352
Rhythms Netconnections, Inc.
12.750% due 04/15/09 15 13
Rockwell International Corp.
6.700% due 01/15/28 135 118
Rose Hills Corp.
9.500% due 11/15/04 475 295
RSL Communications PLC
12.875% due 03/01/10 5 5
Sabreliner Corp.
11.000% due 06/15/08 20 17
Saks, Inc.
7.375% due 02/15/19 260 191
Salomon, Inc.
6.356% due 11/28/00 35 35
6.000% due 12/03/02 (b) 45 44
Seagate Technology, Inc.
7.450% due 03/01/37 680 538
Seismic, Ltd.
10.790% due 01/01/02 (b) 250 250
Sempra Energy
7.950% due 03/01/10 275 268
Smithfield Foods, Inc.
7.625% due 02/15/08 275 240
Societe Generale
7.850% due 04/29/49 (e) 450 423
Spectrasite Holdings, Inc.
Zero Coupon due 03/15/10 (b) 60 31
Spieker Properties, L.P.
6.950% due 12/15/02 500 489
Sprint Capital Corp.
6.875% due 11/15/28 406 355
Sterling Chemicals, Inc.
Series A
11.250% due 04/01/07 5 4
Tele-Communications, Inc.
6.855% due 09/11/00 (b) 2,000 1,999
Telewest PLC
9.875% due 02/01/10 30 47
</TABLE>
108 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Tenet Healthcare Corp.
7.875% due 01/15/03 50 49
6.000% due 12/01/05 650 529
7.625% due 06/01/08 275 252
Time Warner, Inc.
7.975% due 08/15/04 375 378
7.750% due 06/15/05 275 273
8.110% due 08/15/06 1,000 1,005
Times Mirror Co.
7.450% due 10/15/09 400 389
Tokai Preferred Capital Co. LLC
9.980% due 12/29/49 (e) 500 486
Toledo Edison Co.
8.700% due 09/01/02 500 499
Toll Brothers Corp.
7.750% due 09/15/07 1,200 1,056
Transdigm, Inc.
10.375% due 12/01/08 50 40
Trenwick Capital Trust I
8.820% due 02/01/37 575 439
U.S. Bancorp
Series J
6.000% due 05/15/04 775 731
Union Planters Bank
6.500% due 03/15/18 400 345
United Rentals, Inc.
Series B
8.800% due 08/15/08 40 35
URS Corp.
Series B
12.250% due 05/01/09 40 40
US Airways Pass-Thru Certificate
Series 2000-1
8.110% due 02/20/17 155 154
US Unwired, Inc.
Step Up Bond
Zero Coupon due 11/01/09 (b) 66 36
US West Capital Funding, Inc.
6.875% due 08/15/01 1,600 1,587
6.875% due 07/15/28 600 517
Verio, Inc.
10.625% due 11/15/09 35 34
Viatel, Inc.
11.500% due 03/15/09 15 13
Viatel, Inc.
Step Up Bond
Zero Coupon due 04/15/08 (b) 40 22
Wal-Mart Stores, Inc.
7.550% due 02/15/30 490 492
Walt Disney Co.
5.125% due 12/15/03 700 652
Washington Mutual Capital I
8.375% due 06/01/27 305 274
Washington Mutual, Inc.
7.500% due 08/15/06 385 373
8.250% due 04/01/10 110 109
Waste Management Inc.
7.000% due 07/15/28 460 321
Waste Management, Inc.
6.875% due 05/15/09 500 409
Webster Capital Trust I
9.360% due 01/29/27 225 217
Wells Fargo & Co.
6.625% due 07/15/04 2,000 1,932
Western Resources, Inc.
7.125% due 08/01/09 375 268
William Hill Finance
Series REGS
10.625% due 04/30/08 5 8
Williams Communications
Group, Inc.
10.700% due 10/01/07 400 407
10.875% due 10/01/09 30 30
WRC Media, Inc.
Series Unit
12.750% due 11/15/09 50 47
XM Satellite Radio, Inc.
Series Unit
14.000% due 03/15/10 45 41
Yanknets LLC
12.750% due 03/01/07 25 23
----------
144,829
----------
EURODOLLAR BONDS - 7.7%
APP Global Finance
10.761% due 04/17/02 (b) 600 468
Argentina, Republic of
11.750% due 04/07/09 190 187
12.000% due 02/01/20 160 158
Series L
7.375% due 03/31/05 (b) 40 37
Asia Pulp & Paper
International Finance
Zero Coupon due 07/07/00 100 96
Brazil, Federal Republic of
7.000% due 01/01/01 (b) 2,362 2,359
Brazil, Republic of
7.375% due 04/15/24 (b) 40 31
Brokat Infosystems AG
11.500% due 03/31/10 5 4
</TABLE>
Fixed Income III Fund 109
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Bulgaria, National Republic of
Series A
2.750% due 07/28/12 (b) 235 164
Citicorp
6.298% due 06/27/02 (b) 3,000 2,993
Series E
5.500% due 06/30/10 190 85
Clondalkin Industries PLC
10.625% due 01/15/10 25 23
Colombia, Republic of
11.750% due 02/25/20 200 170
Colt Telecom Group PLC
7.625% due 12/15/09 30 26
Completel Europe
14.000% due 01/01/10 100 91
Concordia Bus AB
11.000% due 02/15/10 40 38
Countrywide Home Loan
5.250% due 12/15/05 150 68
Credit Lyonnais
6.313% due 07/10/00 (b) 4,000 3,988
Enitel ASA
Series UNT
12.500% due 04/15/10 20 18
Exodus Communications, Inc.
10.750% due 12/15/09 5 5
Flags Telecom Holdings, Ltd.
11.625% due 03/30/10 70 60
Ford Credit of Canada, Ltd.
6.320% due 12/16/02 (b) 5,000 4,974
Ford Motor Credit Co.
6.406% due 01/17/02 (b) 1,500 1,493
Fresenius Medical Care
Capital Trust III
7.375% due 02/01/08 10 2
GT Group Telecom, Inc.
Step Up Bond
Series UNIT
13.250% due 02/01/10 (b) 1,235 661
Household Bank Nevada NA
6.497% due 10/22/03 (b) 4,000 3,983
Hurst Group PLC
11.125% due 08/06/08 45 70
IFCO Systems
10.625% due 03/15/10 50 47
Jazztel PLC
13.250% due 12/15/09 10 10
Kappa Beheer BV
Step Up Bond
Zero Coupon due 07/15/09 (b) 20 12
KBC Bank Funding Trust II
6.875% due 06/30/49 (b) 1,000 853
KPNQwest BV
8.125% due 06/01/09 15 14
Merita Bank, Ltd.
7.150% due 12/29/49 (e) 1,200 1,165
Mexican United States
9.875% due 02/01/10 465 480
Mexico (United Mexican States)
11.375% due 09/15/16 330 374
Morgan Stanley Dean Witter
6.327% due 03/11/03 (b) 2,000 1,996
Nacional Financiera SNC
8.000% due 06/19/00 420 420
North America Capital Corp.
8.250% due 11/17/03 90 142
NTL Incorporated
Series B
Zero Coupon due 04/15/09 40 36
Panama, Republic of
8.875% due 09/30/27 355 301
Peru, Republic of
3.750% due 03/07/17 (b) 120 80
Series 20 YR
3.750% due 03/07/17 (b) 180 109
Poland, Republic of
Step Up Bond
4.000% due 10/27/24 (b) 1,250 825
PTC International Finance II
11.250% due 12/01/09 45 44
Royal Bank of Scotland PLC
Series 1
9.118% due 03/31/49 (e) 2,200 2,227
SCL Term Aereo Santiago SA
6.950% due 07/01/12 2,000 1,823
Skandinaviska Enskilda Banken
6.500% due 12/29/49 800 747
Turkey, Republic of
12.375% due 06/15/09 165 178
Tyco International Group SA
6.875% due 09/05/02 650 636
United Pan-Europe Communications
11.250% due 02/01/10 10 9
Upm-Kymmene Corp.
7.450% due 11/26/27 750 641
Versatel Telecom
11.250% due 03/30/10 20 18
Viatel, Inc.
11.500% due 03/15/09 5 4
</TABLE>
110 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- -------
<S> <C> <C>
Vodafone Airtouch PLC
7.625% due 02/15/05 1,115 1,109
7.875% due 02/15/30 390 374
----------
36,926
----------
MORTGAGE-BACKED SECURITIES - 45.8%
Bear Stearns Commercial Mortgage
Securities, Inc.
Series 2000-WF1 Class A1
7.640% due 02/15/09 459 459
Bear Stearns Mortgage Securities Inc.
Series 1998-2 Class B
6.750% due 04/30/30 (b) 1,456 1,359
Chase Commercial Mortgage
Securities Corp.
Series 1997-2 Class D
6.600% due 12/19/07 1,325 1,178
Credit Suisse First Boston Mortgage
Securities Corp.
Series 1998-C2 Class A1
5.960% due 12/15/07 505 474
Series 1999-C1 Class A2
7.290% due 09/15/09 (b) 370 359
DLJ Mortgage Acceptance Corp.
Series 1996-CF2 Class A1B
7.290% due 11/12/21 1,525 1,507
Series 1996-Q5 Class A1
6.690% due 06/25/26 (b) 587 576
Federal Home Loan Mortgage Corp.
6.000% 30 Year Gold TBA (d) 750 679
6.500% 30 Year Gold TBA (d) 10,680 9,976
7.500% 30 Year Gold TBA (d) 12,350 12,097
8.000% 30 Year Gold TBA (d) 7,720 7,709
Series 1037 Class Z
9.000% due 02/15/21 637 650
Series 2006 Class B
6.500% due 08/15/23 4,235 4,133
Federal Home Loan Mortgage Corp.
Participation Certificate
7.000% due 2009 267 263
8.500% due 2017 543 550
10.500% due 2017 256 272
10.000% due 2020 567 597
8.500% due 2025 319 324
7.500% due 2026 1 1
8.500% due 2027 1,458 1,479
6.500% due 2028 39 37
6.000% due 2029 5,737 5,198
6.500% due 2029 5,527 5,162
7.283% due 2029 (b) 1,283 1,267
7.500% due 2030 1,375 1,347
Federal National
Mortgage Association
6.500% due 08/15/04 250 243
6.000% 30 Year TBA (d) 3,000 2,715
6.500% 30 Year TBA (d) 4,500 4,199
7.000% 30 Year TBA (d) 2,800 2,679
6.000% due 2003 176 170
10.000% due 2005 94 97
10.000% due 2016 163 173
10.000% due 2018 354 376
7.575% due 2024 (b) 59 60
10.000% due 2024 381 405
7.037% due 2026 (b) 2,151 2,245
6.000% due 2029 5,932 5,371
6.500% due 2029 23,957 22,360
6.750% due 2030 427 422
6.875% due 2030 285 283
7.500% due 2030 9,456 9,251
Series 1997-77 Class
6.500% due 05/18/23 2,112 2,063
Federal National Mortgage
Association (REMIC)
Series 1992-10 Class ZD
8.000% due 11/25/21 1,930 1,934
First Union Lehman Brothers
Commercial Mortgage Trust Pass-Thru
Certificates
Series 1997-C1 Class D
7.500% due 10/18/08 300 285
GMAC Commercial Mortgage Securities,
Inc.
Series 1997-C1 Class A2
6.850% due 09/15/06 (b) 200 194
Series 1998-C1 Class A2
6.700% due 03/15/08 3,000 2,806
Government National
Mortgage Association
10.500% due 03/15/16 219 237
11.000% due 06/15/20 365 399
10.000% due 08/15/22 350 373
6.000% due 02/20/27 89 90
6.500% due 05/15/29 521 488
6.000% 30 Year TBA (d) 1,850 1,680
6.500% 30 Year TBA (d) 35,560 33,310
7.000% 30 Year TBA (d) 14,000 13,462
7.500% 30 Year TBA (d) 4,300 4,229
8.000% 30 Year TBA (d) 1,960 1,962
9.000% due 2017 2,318 2,411
6.125% due 2023 (b) 493 498
6.750% due 2023 (b) 313 316
7.125% due 2023 (b) 342 346
</TABLE>
Fixed Income III Fund 111
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
6.750% due 2024 (b) 2,095 2,112
7.125% due 2024 (b) 2,138 2,156
7.500% due 2024 285 281
6.375% due 2025 (b) 103 104
6.375% due 2025 308 311
6.750% due 2025 (b) 69 70
7.000% due 2025 989 953
7.000% due 2026 2,686 2,658
6.125% due 2027 (b) 284 286
6.375% due 2027 (b) 1,723 1,735
6.500% due 2027 2,071 2,085
7.000% due 2027 450 433
6.375% due 2028 (b) 90 90
7.000% due 2028 1,963 1,888
6.500% due 2029 172 162
7.500% due 2029 (b) 1,394 1,371
8.000% due 2029 (b) 7,784 7,800
8.000% due 2030 3,150 3,156
Series 2000-8 Class SA
2.320% due 01/16/30 1,919 101
Series 2000-9 Class SH
3.180% due 02/16/30 3,300 2
Government National Mortgage
Association II
7.500% 30 Year TBA (d) 5,200 5,092
Government National Mortgage
Association Pass Through Certificate
Series 1999-43 Class UD
1.870% due 11/16/29 (b) 2,350 97
Government National Mortgage
Association Pass-thru Certificate
Series 1999-44 Class SA
2.420% due 12/16/29 (b) 1,850 100
LB Commercial Conduit
Mortgage Trust
Series 1999-C2 Class A2
7.325% due 10/15/32 404 393
Merrill Lynch Mortgage
Investors, Inc.
Series 1995-C2 Class D
7.780% due 06/15/21 (b) 1,198 1,158
Morgan Stanley Capital I, Inc.
Series 1998-XL1 Class A3
6.480% due 05/03/08 244 227
Series 1999-LIFE Class A1
6.970% due 10/15/08 1,338 1,299
Series 1999-LIFE Class A2
7.110% due 07/15/09 769 738
Residential Funding Mortgage
Securities II
Series 1997-HS5 Class M1
7.010% due 05/25/27 1,368 1,314
Resolution Trust Corp.
Series 1994 - C2 Class G
8.000% due 04/25/25 248 235
Series 1994-1 Class M-2
7.750% due 09/25/29 353 344
Salomon Brothers Mortgage
Securities VII
Series 1999-NC3 Class A
6.470% due 07/25/29 (b) 4,102 4,104
Salomon Brothers Mortgage
Securities VII, Inc. Mortgage
Pass-Thru Certificate
Series 1994-16 Class A
8.710% due 11/25/24 (b) 195 198
Vendee Mortgage Trust
Series 2000-1 Class 2G
7.250% due 06/15/09 260 253
Vornado Finance LLC
Series 2000-VNO Class C
8.100% due 03/15/10 (b) 790 791
----------
219,882
----------
NON-US BONDS - 0.5%
American Standard, Inc.
8.250% due 06/01/09 GBP 25 39
Argentina, Republic of
Series PRE1
3.013% due 04/01/01 (b) ARS 178 55
Series PRE3
2.951% due 09/01/02 (b) ARS 86 57
Series PRO1
Zero Coupon due 04/01/07 (b) ARS 144 101
British Aerospace PLC
7.450% due 03/03/39 GBP 80 121
Coca Cola Enterprises PLC
6.750% due 03/12/08 GBP 70 107
Coral Group Holdings PLC
Series B
13.500% due 09/30/09 GBP 10 16
Greece, Republic of
5.900% due 02/11/03 GRD 5,500 15
Hungary, Government of
Series 01/E
15.500% due 05/12/01 HUF 8,000 30
</TABLE>
112 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Hungary, Republic of
13.500% due 11/24/01 HUF 17,500 65
9.500% due 01/12/02 HUF 13,000 46
IPC Magazines Group PLC
Step Up Bond
Zero Coupon due 03/15/08 (b) GBP 20 18
Lesotho Highlands Water
12.000% due 12/01/05 ZAR 120 16
13.000% due 09/15/10 ZAR 850 113
New Zealand, Government of
Zero Coupon due 03/15/02 NZD 1,800 920
Series 403
5.500% due 04/15/03 NZD 1,200 559
Spintab AB
7.500% due 06/15/04 SEK 600 70
Stadshypotek AB
3.500% due 09/15/04 SEK 1,000 101
Unikredit
7.000% due 10/01/29 DKK 1,187 143
----------
2,592
----------
UNITED STATES GOVERNMENT AGENCIES - 4.7%
Federal Home Loan Bank Corp.
Discount Note
6.753% due 11/03/00 170 165
Federal Home Loan Mortgage Corp.
5.750% due 03/15/09 1,545 1,388
6.750% due 09/15/29 5,425 5,118
Federal National
Mortgage Association
5.125% due 02/13/04 725 675
5.625% due 05/14/04 2,975 2,808
6.250% due 05/15/29 3,615 3,201
7.125% due 01/15/30 2,450 2,425
Federal National
Mortgage Association
Zero Coupon due 06/01/17 5,350 1,598
Small Business Administration
Series 97-D
7.500% due 04/01/17 5,001 5,034
----------
22,412
----------
UNITED STATES GOVERNMENT TREASURIES - 8.3%
United States Treasury Bond
Principal Strip
Zero Coupon due 08/15/20 2,630 768
Zero Coupon due 05/15/20 1,000 296
Zero Coupon due 11/15/21 9,585 2,619
Zero Coupon due 11/15/24 1,985 457
United States Treasury Bonds
11.250% due 02/15/15 1,000 1,463
9.250% due 02/15/16 2,175 2,799
8.875% due 08/15/17 1,900 2,404
8.750% due 08/15/20 2,000 2,557
8.125% due 05/15/21 1,625 1,971
8.000% due 11/15/21 200 241
6.625% due 02/15/27 625 658
6.125% due 08/15/29 2,567 2,573
6.250% due 05/15/30 550 572
United States Treasury
Interest Strips
5.890% due 02/15/10 850 455
United States Treasury Notes
5.500% due 08/31/01 1,410 1,389
5.625% due 09/30/01 1,145 1,129
3.625% due 07/15/02 1,801 1,798
5.750% due 11/30/02 1,025 1,003
6.000% due 08/15/04 599 586
7.875% due 11/15/04 2,750 2,885
3.375% due 01/15/07 3,467 3,340
3.625% due 01/15/08 2,311 2,252
3.875% due 01/15/09 4,600 4,555
United States Treasury
Principal Strip
Zero Coupon due 11/15/04 1,748 1,297
----------
40,067
----------
YANKEE BONDS - 1.7%
Abbey National PLC
7.950% due 10/26/29 380 370
Amatek Industries Pty, Ltd.
12.000% due 02/15/08 55 51
Amvescap PLC
6.600% due 05/15/05 875 810
Asia Pulp & Paper Finance IX, Ltd.
10.526% due 10/04/01 1,000 880
Avecia Group PLC
11.000% due 07/01/09 25 25
Brazil, Republic of,
Series EI-L
7.376% due 04/15/06 (b) 372 332
British Sky Broadcasting
8.200% due 07/15/09 750 728
Cable Satisfaction International
Series UNIT
12.750% due 03/01/10 35 33
Colt Telecom Group PLC
Step Up Bond
Zero Coupon due 12/15/06 (b) 500 430
Edperbrascan Corp.
7.125% due 12/16/03 775 721
</TABLE>
Fixed Income III Fund 113
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ------
<S> <C> <C>
Glencore Nickel Party, Ltd.
9.000% due 12/01/14 250 208
Hyundai Semiconductor America, Inc.
8.625% due 05/15/07 280 245
Korea Electric Power Corp.
7.000% due 02/01/27 215 199
National Westminster Bank PLC
7.750% due 04/29/49 (e) 475 450
Philippines, Republic of
10.625% due 03/16/25 205 189
Repap New Brunswick
10.625% due 04/15/05 15 14
Royal Caribbean Cruises, Ltd.
7.000% due 10/15/07 900 795
7.500% due 10/15/27 450 377
RSL Communications PLC
12.000% due 11/01/08 50 45
9.875% due 11/15/09 75 60
RSL Communications PLC
Step Up Bond
Zero Coupon due 03/01/08 (b) 375 202
St. George Bank, Ltd.
7.150% due 10/01/05 775 744
Telewest Communications PLC
Step Up Bond
Zero Coupon due 04/15/09 (b) 25 23
Wolters Kluwer
5.500% due 09/22/06 160 142
-------
8,073
-------
TOTAL LONG-TERM INVESTMENTS
(cost $515,647) 505,820
-------
<CAPTION>
NOTIONAL
AMOUNT
(000)
$
--------
<S> <C> <C>
OPTIONS PURCHASED- 0.0%
United States Treasury Bonds (c)
Aug 95.58 Call 1,825 46
Sep 102.53 Call 1,400 20
Sep 104.75 Call 4,075 35
United States Treasury Notes (c)
Mar 100.83 Call 3,500 111
Aug 99.31 Call 2,300 75
Sep 102.52 Call 21
1,325
-------
TOTAL OPTIONS PURCHASED
(cost $281) 308
-------
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
<S> <C> <C>
PREFERRED STOCKS - 0.4%
Adelphia Communications Corp. 2 218
American Restaurant Group, Inc. 10 2
Australia & New Zealand Banking
Group, Ltd. 7,200 180
Avecia Group PLC 75 2
California Federal Preferred
Capital Corp. 18,750 417
Equity Office Properties Trust
Series B 15,000 585
Granite Broadcasting Corp. 32 31
High Voltage Engineering Corp.
Series A 7 5
Nextel Communications, Inc.
Series E 25 24
Nextlink Communications 502 24
Paxson Communications Corp. 318 312
PSINet, Inc.
Series D 490 15
R&B Falcon Corp. 28
25
-------
TOTAL PREFERRED STOCKS
(cost $2,134) 1,843
-------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
$
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 14.0%
American Express Credit Corp. 1&2
5.150% due 05/15/00 (a) 2,387 2,381
Citi Svc Linked Deposit
Zero Coupon due 05/08/00 20 20
Citi Svc Time Deposit
8.500% due 05/24/00 60 60
Citibank CRC Linked Time Deposit
14.750% due 05/03/00 105 105
14.250% due 07/03/00 112 112
Csfb Trl Weekly Reset 5
34.310% due 03/09/01 113 113
Deutche Bank BRL Linked
17.650% due 10/11/00 72 72
19.300% due 03/01/01 130 130
Federal Agricultural Mortgage Corp.
Discount Note
5.780% due 05/02/00 200 200
6.050% due 07/05/00 100 99
Federal Farm Credit Bank
Discount Notes
5.750% due 05/19/00 100 100
5.950% due 06/06/00 100 99
</TABLE>
114 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Federal Home Loan Bank
Consolidated Discount Notes
5.700% due 05/05/00 423 423
5.730% due 05/11/00 50 50
5.850% due 08/02/00 105 103
5.800% due 08/08/00 155 152
6.120% due 09/21/00 100 97
5.980% due 12/04/00 201 194
6.090% due 03/08/01 180 170
6.220% due 03/23/01 100 94
6.150% due 04/09/01 100 94
Federal Home Loan Bank Corp.
Discount Note
6.050% due 07/26/00 135 133
Federal Home Loan Mortgage Corp.
6.050% due 03/10/01 100 95
Federal Home Loan Mortgage Corp.
Discount Notes
5.630% due 05/31/00 100 100
5.880% due 06/08/00 50 50
Federal Home Loan Mortgage
Discount Notes
5.900% due 05/15/00 9,086 9,065
Federal National Mortgage
Association Discount Notes
5.870% due 05/04/00 440 430
5.750% due 05/11/00 75 75
5.850% due 06/01/00 100 99
5.940% due 06/06/00 100 99
5.960% due 06/22/00 1,680 1,666
6.010% due 07/06/00 100 99
5.860% due 07/20/00 270 266
6.733% due 10/27/00 122 118
Ford Motor Credit Co.
Zero Coupon due 05/11/00 2,387 2,382
Frank Russell Investment Company
Money Market Fund,
due on demand (a) 41,644 41,644
General Electric Capital Corp.
Discount Note
5.600% due 05/15/00 (a) 2,387 2,381
General Motors Acceptance Corp.
5.520% due 05/15/00 2,387 2,381
Salomon, Inc., KRW Indexed Note
6.950% due 01/10/01 (b) 93 94
Turkey Treasury Bill
32.750% due 06/07/00 TRL 118,000 168
32.300% due 08/23/00 TRL 65,700 88
United States Treasury Bills
5.800% due 07/13/01 20 18
5.950% due 10/12/00 30 28
5.830% due 11/09/00 100 97
United States Treasury Notes
5.125% due 08/31/00 670 669
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $67,004) 67,113
----------
<CAPTION>
NUMBER
OF
SHARES
----------
<S> <C> <C>
WARRANTS - 0.0%
Motient Corp. 2008 Warrants 30 1
----------
TOTAL WARRANTS
(cost $1) 1
----------
TOTAL INVESTMENTS - 119.8%
(cost $585,067) 575,085
OTHER ASSETS AND LIABILITIES, INCLUDING
OPTIONS WRITTEN, NET - (19.8%) (95,054)
----------
NET ASSETS - 100.0% 480,031
==========
</TABLE>
* Each contract represents $100,000 notional value.
(a) At amortized cost, which approximates market.
(b) Adjustable or floating rate security.
(c) Nonincome-producing security.
(d) Forward commitment.
(e) Perpetual floating rate note.
(f) Held as collateral in connection with futures contracts purchased
(sold) and options written by the Fund.
(g) Rate noted is yield-to-maturity from date of acquisition.
Abbreviations:
ADR - American Depositary Receipt
CMO - Collateralized Mortgage Obligation
REIT - Real Estate Investment Trust
REMIC - Real Estate Mortgage Investment Conduit
TBA - To Be Announced Security
Fixed Income III Fund 115
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Foreign Currency Abbreviations:
ARS - Argentine peso
BRL - Brazillian real
CLP - Chilean peso
CNY - Chinese renminbi yuan
COP - Colombian peso
CZK - Czech koruna
DKK - Danish krone
EUR - Euro dollar
GBP - British pound sterling
GRD - Greek drachma
HUF - Hungarian forint
IDR - Indonesian rupah
ILS - Israeli shekel
INR - Indian rupee
JPY - Japanese yen
KES - Kenyan shilling
KRW - South Korean won
NZD - New Zealand dollar
PEN - Peruvian nouveau sol
PHP - Phillipine peso
PLN - Polish zloty
SEK - Swedish krona
SKK - Slovakian koruna
THB - Thailand baht
TRL - Turkish lira
USD - United States dollar
ZAR - South African rand
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
FUTURES CONTRACTS CONTRACTS* (000)
---------- --------------
<S> <C> <C>
LONG POSITIONS
Eurodollar Futures
expiration date 03/01 56 $ (42)
United States Treasury Notes 5 Year
Futures expiration date 06/00 50 9
United States Treasury Notes 10 Year
Futures expiration date 06/00 196 84
United States Treasury Bonds 30 Year
Futures expiration date 06/00 127 150
SHORT POSITIONS
United States Treasury Notes 5 Year
Futures expiration date 06/00 165 39
United States Treasury Notes 10 Year
Futures expiration date 06/00 10 (18)
United States Treasury Bonds 30 Year
Futures expiration date 06/00 173 (20)
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures Contracts $202
==========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
116 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
NOTIONAL MARKET
AMOUNT VALUE
(000) (000)
Options Written $ $
-------- ------
<S> <C> <C>
United States Treasury Bills*
May 104.66 Call 3,100 --
May 97.28 Put 3,100 6
United States Treasury Notes*
Sep 106.50 Call 1,400 6
Aug 103.13 Call 2,300 25
Sep 100.50 Put 1,325 16
Sep 99.02 Put 1,400 14
Mar 98.27 Put 3,500 43
United States Treasury Bonds*
Sep 103.13 Put 4,075 103
May 100.00 Call 42 2
Aug 98.68 Call 1,825 17
May 98.00 Call 11 3
May 98.00 Call 2 1
United States Treasury Notes 5 Year
Futures
May 96.00 Put 61 4
United States Treasury Notes 10 Year
Futures
May 99.00 Call 11 2
May 96.00 Put 11 3
May 95.00 Put 11 1
Eurodollar Futures
Mar 93.25 Call 40 4
Mar 92.75 Put 40 14
Dec 93.50 Put 30 24
Dec 93.00 Put 113 46
Eurodollar Mid Curve 1 Year Future
Dec 93.50 Put 115 94
----------
Total Liability for Options Written
(premiums received $405) 428
==========
</TABLE>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<TABLE>
<CAPTION>
CONTRACTS TO IN EXCHANGE UNREALIZED
DELIVER FOR SETTLEMENT APPRECIATION
(000) (000) DATE (000)
------------ ----------- ---------- --------------
<S> <C> <C> <C> <C> <C>
USD 105 ARS 105 05/03/00 $ --
USD 150 ARS 155 05/03/00 5
USD 30 ARS 31 10/18/00 1
USD 50 ARS 51 10/18/00 --
USD 30 ARS 30 10/24/00 --
USD 69 BRL 125 05/15/00 --
USD 20 BRL 41 06/05/00 2
USD 105 BRL 198 08/04/00 1
USD 45 CLP 23,054 05/09/00 --
USD 20 CLP 10,302 05/17/00 --
USD 40 CLP 20,362 05/30/00 (1)
USD 55 CLP 28,089 06/20/00 (1)
USD 120 CLP 63,432 08/01/00 1
USD 45 CLP 23,783 08/03/00 0
USD 45 CLP 23,054 05/09/00 --
USD 20 CLP 10,302 05/17/00 --
USD 40 CLP 20,362 05/30/00 (1)
USD 37 CNY 308 06/05/00 --
USD 59 CNY 490 07/05/00 --
USD 80 COP 157,920 05/08/00 (1)
USD 53 CZK 1,994 05/03/00 (3)
USD 46 CZK 1,649 06/07/00 (4)
USD 57 CZK 2,260 08/03/00 --
USD 115 CZK 4,176 08/08/00 (10)
USD 63 CZK 2,377 10/04/00 (3)
USD 50 EUR 55 05/03/00 --
USD 5 EUR 5 07/28/00 --
USD 11 EUR 11 07/28/00 (1)
USD 17 EUR 17 07/28/00 (1)
USD 26 EUR 27 07/28/00 (1)
USD 10 EUR 11 07/28/00 --
USD 18 EUR 20 07/28/00 --
USD 16 GBP 10 07/28/00 --
USD 32 GBP 20 07/28/00 --
USD 50 GRD 17,700 06/20/00 (2)
USD 242 GRD 77,997 11/06/00 (32)
USD 215 HUF 54,191 05/04/00 (25)
USD 53 IDR 400,521 05/04/00 (2)
USD 50 IDR 367,300 05/04/00 (3)
USD 13 IDR 97,019 05/04/00 (1)
USD 32 IDR 240,000 06/20/00 (2)
USD 40 IDR 310,778 07/24/00 (1)
USD 35 ILS 144 05/10/00 --
USD 64 ILS 277 06/06/00 4
USD 55 ILS 225 03/09/01 --
USD 30 ILS 124 03/28/01 --
USD 29 INR 1,269 05/15/00 --
USD 26 INR 1,140 06/05/00 --
</TABLE>
Fixed Income III Fund 117
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------ ----------- ---------- --------------
<S> <C> <C> <C> <C> <C>
USD 81 INR 3,554 06/08/00 $ --
USD 139 INR 6,141 07/21/00 2
USD 23 JPY 2,355 07/28/00 --
USD 15 KES 1,116 05/03/00 --
USD 46 KES 3,408 05/03/00 --
USD 17 KES 1,250 07/03/00 --
USD 46 KES 3,480 07/14/00 --
USD 21 KRW 23,688 06/05/00 --
USD 30 KRW 33,525 06/09/00 --
USD 15 KRW 16,634 06/09/00 --
USD 49 KRW 54,537 07/06/00 --
USD 65 KRW 72,007 07/26/00 --
USD 70 KRW 77,553 07/26/00 --
USD 40 MXN 376 05/09/00 --
USD 41 MXN 382 05/09/00 --
USD 85 MXN 850 05/17/00 5
USD 20 MXN 209 10/03/00 1
USD 170 MXN 1,860 11/08/00 18
USD 65 MXN 664 11/13/00 2
USD 27 MXN 290 12/29/00 2
USD 28 MXN 304 12/29/00 2
USD 20 MXN 209 02/15/01 1
USD 70 MXN 717 04/16/01 (1)
USD 39 PEN 139 05/02/00 1
USD 25 PEN 89 05/09/00 --
USD 20 PEN 70 05/15/00 --
USD 140 PEN 507 08/08/00 2
USD 60 PEN 215 08/11/00 --
USD 25 PEN 90 08/14/00 --
USD 315 PHP 12,874 05/08/00 (3)
USD 27 PHP 1,121 05/09/00 --
USD 8 PHP 330 06/06/00 --
USD 73 PLN 317 05/03/00 (2)
USD 120 PLN 534 05/04/00 (1)
USD 74 PLN 321 07/06/00 (4)
USD 201 PLN 901 12/04/00 (12)
USD 88 PLN 405 03/02/01 (5)
USD 80 PLN 367 03/12/01 (5)
USD 16 PLN 70 03/21/01 (1)
USD 206 SKK 9,022 05/04/00 (9)
USD 34 SKK 1,500 03/09/01 (1)
USD 82 THB 3,098 07/10/00 --
ARS 105 USD 105 5/3/2000 --
ARS 155 USD 155 5/3/2000 --
BRL 125 USD 71 05/15/00 2
COP 157,920 USD 80 05/08/00 1
CZK 1,994 USD 50 05/03/00 --
DKK 1,231 USD 156 07/28/00 5
</TABLE>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------ ----------- ---------- --------------
<S> <C> <C> <C> <C> <C>
EUR 55 USD 53 05/03/00 $ 3
EUR 210 USD 206 05/04/00 15
EUR 46 USD 46 06/07/00 4
EUR 15 USD 14 07/28/00 1
EUR 50 USD 49 07/28/00 3
EUR 65 USD 62 07/28/00 3
EUR 4 USD 4 07/28/00 --
EUR 83 USD 78 07/28/00 2
EUR 1,869 USD 1,768 07/28/00 58
EUR 276 USD 261 07/28/00 9
EUR 30 USD 27 07/28/00 --
EUR 10 USD 9 07/28/00 --
EUR 62 USD 57 08/03/00 --
EUR 116 USD 115 08/08/00 9
EUR 65 USD 63 10/04/00 3
GBP 5 USD 8 07/28/00 --
GBP 15 USD 25 07/28/00 --
GBP 9 USD 14 07/28/00 --
GBP 58 USD 92 07/28/00 1
GBP 188 USD 297 07/28/00 4
GBP 172 USD 272 07/28/00 3
GBP 183 USD 288 07/28/00 4
GRD 40,000 USD 115 11/06/00 9
JPY 6,220 USD 60 07/28/00 2
JPY 18,027 USD 173 07/28/00 5
JPY 602 USD 6 07/28/00 --
JPY 2,465 USD 24 07/28/00 --
KES 3,305 USD 44 05/03/00 --
KES 1,220 USD 16 05/03/00 --
MXN 758 USD 80 05/09/00 --
MXN 360 USD 36 05/17/00 (3)
MXN 490 USD 49 05/17/00 (4)
MXN 300 USD 28 11/08/00 (3)
MXN 594 USD 55 12/29/00 (5)
PEN 139 USD 40 05/02/00 --
PEN 89 USD 25 05/09/00 --
PEN 70 USD 20 05/15/00 --
PEN 207 USD 58 08/08/00 --
PEN 215 USD 60 08/11/00 --
PHP 3,105 USD 75 05/08/00 --
PLN 852 USD 201 05/04/00 12
PLN 321 USD 75 07/06/00 5
SEK 1,568 USD 179 07/28/00 4
-------
$ 63
=======
</TABLE>
See accompanying notes which are an integral part of the financial statements.
118 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------ ----------- ---------- --------------
<S> <C> <C> <C> <C> <C>
USD 9 EUR 10 05/02/00 $ --
USD 336 NZD 164 05/01/00 (1)
USD 166 NZD 336 06/15/00 (3)
NZD 335 USD 168 05/25/00 5
NZD 336 USD 166 05/01/00 3
GBP 20 USD 32 05/02/00 1
EUR 992 USD 921 05/23/00 19
EUR 11 USD 10 05/02/00 --
EUR 20 USD 18 05/03/00 --
-------
$ 24
=======
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Fixed Income III Fund 119
<PAGE>
FIXED INCOME III FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified
cost $585,067) . . . . . . . . . . . . . . . . $ 575,085
Cash . . . . . . . . . . . . . . . . . . . . . . 275
Unrealized appreciation on forward
foreign currency exchange contracts. . . . . . 218
Unrealized appreciation on foreign
currency exchange spot contracts . . . . . . . 28
Receivables:
Dividends and interest. . . . . . . . . . . . . 5,847
Investments sold (regular settlement) . . . . . 11,215
Investments sold (delayed settlement) . . . . . 10,471
Fund shares sold. . . . . . . . . . . . . . . . 279
Daily variation margin on futures contracts . . 55
Prepaid expenses . . . . . . . . . . . . . . . . 6
--------------
Total assets. . . . . . . . . . . . . . . . . 603,480
LIABILITIES
Payables:
Investments purchased (regular settlement). . . $ 11,587
Investments purchased (delayed settlement). . . 110,241
Fund shares redeemed. . . . . . . . . . . . . . 735
Accrued fees to affiliates. . . . . . . . . . . 227
Other accrued expenses. . . . . . . . . . . . . 19
Daily variation margin on futures contracts . . 53
Unrealized depreciation on forward foreign
currency exchange contracts. . . . . . . . . . 155
Unrealized depreciation on foreign currency
exchange spot contracts. . . . . . . . . . . . 4
Options written, at market value (premiums
received $405) . . . . . . . . . . . . . . . . 428
-------------
Total liabilities . . . . . . . . . . . . . . 123,449
--------------
NET ASSETS. . . . . . . . . . . . . . . . . . . $ 480,031
==============
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . $ 2,608
Accumulated distributions in excess
of net realized gain . . . . . . . . . . . . . (23,495)
Unrealized appreciation (depreciation) on:
Investments . . . . . . . . . . . . . . . . . . (9,982)
Futures contracts . . . . . . . . . . . . . . . 202
Options written . . . . . . . . . . . . . . . . (23)
Foreign currency-related transactions . . . . . 118
Shares of beneficial interest. . . . . . . . . . 500
Additional paid-in capital . . . . . . . . . . . 510,103
--------------
NET ASSETS. . . . . . . . . . . . . . . . . . . $ 480,031
==============
Net Asset Value, offering and redemption price
per share:
Class E ($4,102,515 divided by 427,080
shares of $.01 par value shares of
beneficial interest outstanding). . . . . . . $ 9.61
==============
Class I ($475,928,747 divided by 49,600,473
shares of $.01 par value shares of
beneficial interest outstanding). . . . . . . $ 9.60
==============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
120 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . $ 10,818 $ 27,352
Dividends from Money Market Fund . . . . . . . 640 3,118
Dividends. . . . . . . . . . . . . . . . . . . 106 527
----------------- -----------------
Total investment income. . . . . . . . . . . 11,564 30,997
----------------- -----------------
EXPENSES
Advisory fees. . . . . . . . . . . . . . . . . 771 2,287
Administrative fees. . . . . . . . . . . . . . 78 235
Custodian fees . . . . . . . . . . . . . . . . 123 308
Transfer agent fees. . . . . . . . . . . . . . 72 272
Professional fees. . . . . . . . . . . . . . . 12 25
Registration fees. . . . . . . . . . . . . . . 20 90
Shareholder servicing fees - Class E . . . . . 3 4
Trustees' fees . . . . . . . . . . . . . . . . 4 5
Miscellaneous. . . . . . . . . . . . . . . . . 8 33
----------------- -----------------
Total expenses . . . . . . . . . . . . . . . 1,091 3,259
----------------- -----------------
Net investment income . . . . . . . . . . . . . 10,473 27,738
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments. . . . . . . . . . . . . . . . . . (3,339) (16,568)
Futures contracts. . . . . . . . . . . . . . . (904) (2,106)
Options written. . . . . . . . . . . . . . . . (90) 183
Foreign currency-related transactions. . . . . 467 19
----------------- -----------------
(3,866) (18,472)
----------------- -----------------
Net change in unrealized appreciation
(depreciation) on:
Investments. . . . . . . . . . . . . . . . . . 393 (10,588)
Futures contracts. . . . . . . . . . . . . . . 874 (178)
Options written. . . . . . . . . . . . . . . . 149 (330)
Foreign currency-related transactions. . . . . (22) 146
----------------- -----------------
1,394 (10,950)
----------------- -----------------
Net realized and unrealized gain (loss) . . . . (2,472) (29,422)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS . . . . . . . . . . . . . . . . . $ 8,001 $ (1,684)
================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Fixed Income III Fund 121
<PAGE>
FIXED INCOME III FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income. . . . . . . . $ 10,473 $ 27,738 $ 26,279
Net realized gain (loss) . . . . . . (3,866) (18,472) 9,736
Net change in unrealized
appreciation (depreciation). . . . . 1,394 (10,950) (6,742)
----------------- ----------------- -----------------
Net increase (decrease) in net
assets from operations . . . . . . 8,001 (1,684) 29,273
----------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income
Class E. . . . . . . . . . . . . . (68) (107) --
Class I. . . . . . . . . . . . . . (7,682) (28,340) --
----------------- ----------------- -----------------
Net decrease in net assets
from distributions . . . . . . . (7,750) (28,447) (38,511)
----------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions . . . 10,145 37,576 88,995
----------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS. . . . . . . . . . . . . . 10,396 7,445 79,757
NET ASSETS
Beginning of period. . . . . . . . . 469,635 462,190 382,433
----------------- ----------------- -----------------
End of period (including
undistributed net investment
income of $2,608 and accumulated
distributions in excess of net
investment income of $115 and
$145, respectively). . . . . . . . $ 480,031 $ 469,635 $ 462,190
================= ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
122 Fixed Income III Fund
<PAGE>
FIXED INCOME III FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
-------- --------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD. . . . . . . . . . . $ 9.61 $ 10.12
-------- --------
INCOME FROM OPERATIONS
Net investment income (a). . . . . . . . . . . . . . . . .20 .35
Net realized and unrealized gain (loss). . . . . . . . . (.04) (.43)
-------- --------
Total income from operations . . . . . . . . . . . . . .16 (.08)
-------- --------
DISTRIBUTIONS
From net investment income . . . . . . . . . . . . . . . (.16) (.43)
-------- --------
Total distributions. . . . . . . . . . . . . . . . . . (.16) (.43)
-------- --------
NET ASSET VALUE, END OF PERIOD. . . . . . . . . . . . . . $ 9.61 $ 9.61
======== ========
TOTAL RETURN (%)(b) . . . . . . . . . . . . . . . . . . . 1.66 (.83)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) . . . . . . . . 4,103 2,367
Ratios to average net assets (%)(c):
Operating expenses . . . . . . . . . . . . . . . . . . .95 .94
Net investment income. . . . . . . . . . . . . . . . . 6.50 5.63
Portfolio turnover rate (%). . . . . . . . . . . . . . . 51.30 131.38
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period May 14, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Fixed Income III Fund 123
<PAGE>
FIXED INCOME III FUND
FINANCIAL HIGHLIGHTS - CLASS I
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- ------------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD . . . $ 9.59 $ 10.22 $ 10.42 $ 10.17 $ 10.34 $ 9.37
--------- ------------- ----------- ----------- ----------- ------------
INCOME FROM OPERATIONS
Net investment
income (a) . . . . . . .21 .59 .62 .63 .64 .67
Net realized and
unrealized gain
(loss) . . . . . . . . (.04) (.62) .08 .32 (.16) .97
--------- ------------- ----------- ----------- ----------- ------------
Total income from
operations . . . . . . .17 (.03) .70 .95 .48 1.64
--------- ------------- ----------- ----------- ----------- ------------
DISTRIBUTIONS
From net investment
income . . . . . . . . (.16) (.60) (.62) (.64) (.65) (.67)
From net realized -- -- (.28) (.06) -- --
gain . . . . . . . . . --------- ------------- ----------- ----------- ----------- ------------
Total distributions. . (.16) (.60) (.90) (.70) (.65) (.67)
--------- ------------- ----------- ----------- ----------- ------------
NET ASSET VALUE, END
OF PERIOD. . . . . . . . $ 9.60 $ 9.59 $ 10.22 $ 10.42 $ 10.17 $ 10.34
========= ============= =========== =========== =========== ============
TOTAL RETURN (%)(b)(d). . 1.75 (.29) 6.80 9.64 4.88 17.99
RATIOS/SUPPLEMENTAL
DATA:
Net Assets, end of
period (in
thousands) . . . . . . 475,929 467,268 462,190 382,433 292,077 252,465
Ratios to average net
assets (%)(c)(d):
Operating expenses . . .70 .69 .67 .70 .73 .61
Net investment
income . . . . . . . . 6.69 5.91 5.91 6.13 6.32 6.83
Portfolio turnover
rate (%) . . . . . . . 51.30 131.38 342.49 274.84 144.26 141.37
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) 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.
124 Fixed Income III Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
COMMON STOCKS - 84.8%
ARGENTINA - 1.8%
Astra cia Argentina de Petro (a) 340,000 803
Banco de Galicia y Buenos Aires SA de
CV Class B - ADR 13,829 239
Banco Frances del Rio la Plata - ADR 14,500 286
Central Costanera SA Class B 187,100 356
Central Puerto SA Class B 120,000 195
El Sitio, Inc. (a) 3,400 36
Inversiones Y Representaciones
SA Class B 143,637 424
Nobleza Piccardo SA 91,100 257
Nortel Inversora SA - ADR 4,100 76
PC Holdings SA - ADR 8,092 124
PC Holdings SA Class B 672,481 1,023
Quilmes Industrial (Regd)(a) 71,000 577
Siderar SA Series A 29,800 116
Siderca SAIC 250,000 538
Telecom Argentina SA Class B - ADR 31,800 888
Telefonica de Argentina Class B 340,000 1,198
Telefonica de Argentina SA
Class B - ADR 14,600 513
Transportadora de Gas del Sur
SA Class B 54,005 87
----------
7,736
----------
AUSTRALIA - 0.4%
Lihir Gold, Ltd. (a) 1,083,000 367
Oil Search, Ltd. (Australia Regd)(a) 800,000 724
Orogen Minerals, Ltd. 800,000 589
----------
1,680
----------
BRAZIL - 1.4%
Centrais Eletricas Brasileiras SA 28,959,000 428
Companhia Cervejaria Brahma - ADR 7,200 112
Companhia Energetica de Minas Gerais SA
- ADR 23,547 360
Companhia Siderurgica Nacional 8,394,000 237
Companhia Vale do Rio Doce 12,000 266
Copel Parana Energ 20,000,000 105
Embratel Participacoes SA 30,114,000 567
Globo Cabo SA - ADR 26,500 439
Light Servicos de Eletricidade SA 6,802,914 785
Petroleo Brasileiro Petrobras SA - ADR 20,000 474
Tele Centro Sul Participacoes SA 40,933,000 420
Tele Norte Leste Participacoes SA 61,405,000 1,065
Tele Sudeste Celular Participacoes SA 47,617,000 200
Telesp Participacoes SA 24,712,000 370
Ultrapar Participacoes SA - ADR 10,100 91
White Martins SA 331,407 240
----------
6,159
----------
CHILE - 3.2%
Antofagasta Holdings PLC 408,036 2,509
Banco de A. Edwards Series A - ADR 9,944 163
Banco Santander Chile
Series A - ADR 9,200 136
Banco Santiago - ADR 13,300 263
BBV Banco BHIF - ADR 29,000 464
Compania de Telecomunicaciones
de Chile SA - ADR 41,769 773
Distribucion Y Servicio D&S
SA - ADR 119,500 2,032
Embotelladora Andina SA - ADR
Series A 65,000 756
Embotelladora Andina SA - ADR
Series B 58,000 595
Embotelladora Arica SA - ADR (a) 79,300 601
Enersis SA - ADR 58,472 1,089
Gener SA - ADR 92,900 1,272
Laboratorio Chile SA - ADR 30,000 602
Maderas y Sinteticos SA - ADR 49,900 686
Quinenco SA 166,300 1,870
Sociedad Quimica Y Minera de
Chile SA - ADR 3,750 92
----------
13,903
----------
CHINA - 3.1%
Beijing Yanhua Petrochemical Co., Ltd.
Class H 4,450,000 526
China Telecom (Hong Kong), Ltd. (a) 562,000 4,022
China Telecom (Hong Kong),
Ltd. - ADR (a) 8,500 1,247
Guangdong Kelon Electrical Holdings
Co., Ltd. 1,360,000 851
Huaneng Power International, Inc.
Series N - ADR 125,000 1,156
Jiangsu Expressway Co., Ltd. Class H 8,990,000 1,016
Jilin Chemical Industrial Company, Ltd.
Class H 1,800,000 125
New World China Land, Ltd. (a) 1,520,000 388
PetroChina Co., Ltd. New (a) 5,302,000 824
Shanghai Petrochemical Co.,
Ltd. Class H 5,660,000 763
Shenzhen Expressway Co.,
Ltd. Class H 2,000,000 223
</TABLE>
126 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- ----------
<S> <C> <C>
Yanzhou Coal Mining Co.,
Ltd. Series H 8,170,000 1,636
Yizheng Chemical Fibre Class H (a) 1,985,000 385
----------
13,162
----------
CROATIA - 0.2%
Pliva d.d. - GDR 82,600 1,020
----------
CZECH REPUBLIC - 0.4%
Ceske Energeticke Zavody AS (a) 33,000 96
Ceske Radiokomunikace -
GDR (a) 10,000 450
Czechoslovakian Value Fund
1998 warrants (a)(c) 1,800 0
SPT Telecom AS (a) 36,603 679
Tabak AS 3,500 562
----------
1,787
----------
ECUADOR - 0.0%
La Cemento Nacional - GDR (a) 700 25
La Cemento National - GDR (a) 3,700 129
----------
154
----------
EGYPT - 1.3%
Al-Ahram Beverages Co.
S.A.E. - GDR (a) 106,000 1,855
Al-Ahram Beverages Co.
S.A.E. - GDR (144A)(a) 15,530 272
Commercial International Bank 40,600 437
Commercial International Bank (Regd.) -
GDR 22,700 239
Eastern Company for Tobacco
& Cigarettes 5,100 123
Egypt International Pharmaceutical
Industries Co. 1,000 50
Egyptian Mobile Phone Network (a) 50,118 1,911
Misr International Bank 3,300 55
Orascom Construction (a) 48,425 665
Oriental Weavers Co. 4,100 70
Suez Cement Co. (Regd) - GDR 8,089 102
----------
5,779
----------
GREECE - 2.0%
Aluminum Co. of Greece SA 23,600 788
Attica Enterprises Holdings SA 5,175 60
Bank of Piraues 2,070 37
Commercial Bank of Greece 10,786 586
Credit Bank (Regd) 32,540 1,792
Hellenic Bottling Co. SA 11,370 180
Hellenic Telecommunication Organization
SA - ADR 5,600 65
Hellenic Telecommunication Organization
SA - GDR 131,485 2,960
Intracom SA 3,732 133
National Bank of Greece SA 15,622 667
Panafon Hellenic Telecom SA 90,400 1,087
STET Hellas Telecommunications
SA - ADR (a) 11,000 249
Titan Cement Co. SA 1,736 70
----------
8,674
----------
HONG KONG - 0.7%
Chen Hsong Holdings, Ltd. 1,900,000 327
Founder Holdings, Ltd. (a) 514,000 297
Legend Holdings, Ltd. (a) 648,000 749
New World Infrastructure, Ltd. (a) 1,238,100 1,319
Pacific Century CyberWorks, Ltd. (a) 224,000 417
----------
3,109
----------
HUNGARY - 2.4%
BorsodChem - GDR 44,200 1,613
BorsodChem Rt. 12,000 444
Egis Gyogyszergyar 6,100 268
Magyar Olaj Es Gas 5,200 92
Magyar Tavkozlesi Rt. - ADR 51,342 1,787
Magyar Tavkozlesi Rt. (Regd) 282,476 1,935
Mol Magyar Olaj-Es Gazipari
Rt. - GDR 101,900 1,783
Mol Magyar Olay-Es Gazipari - GDR 7,266 127
OTP Bank Rt. 8,534 378
Richter Gedeon, Ltd. - GDR 29,846 1,642
Tiszai Vegyi Kombinat Rt. 21,400 353
----------
10,422
----------
INDIA - 4.6%
Bajaj Auto, Ltd. - GDR 51,000 403
BSES, Ltd. (a) 22,800 388
BSES, Ltd. - GDR 27,000 459
Genesis India Investment Co. (a) 760,800 8,879
ICICI Bank, Ltd. - ADR (a) 22,000 380
ICICI, Ltd. - ADR 32,000 768
Indo Gulf Fertilizers &
Chemicals - GDR (a) 419,000 419
Infosys Technologies, Ltd. - ADR 8,120 1,640
ITC, Ltd. - GDR 23,900 397
Larsen & Toubro, Ltd. - GDR 11,750 159
Mahanagar Telephone Nigam, Ltd. - GDR
(a) 29,400 375
Perusahaan Persero Telekom - ADR 73,528 634
Reliance Industries, Ltd. - GDR 91,711 2,375
State Bank of India - GDR 14,100 130
</TABLE>
Emerging Markets Fund 127
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- ----------
<S> <C> <C>
Tata Engineering & Locomotive
Co. - GDR 75,400 226
Videsh Sanchar Nigam Ltd. - GDR 110,557 2,060
----------
19,692
----------
INDONESIA - 1.1%
Gulf Indonesia Resources, Ltd. (a) 88,300 618
Indah Kiat Pulp & Paper
(Alien Market)(a) 1,162,000 349
PT Bank Pan Indonesia Tbk (a) 2,014,000 96
PT Gudang Garam Tbk 149,000 236
PT Hanjaya Mandala Sampoerna Tbk 169,000 245
PT Indofood Sukses Makmur Tbk (a) 175,000 120
PT Indosat (Persero) Tbk 255,000 338
PT Indosat (Persero) Tbk - ADR 15,800 210
PT Matahari Putra Prima Tbk (a) 8,800,000 1,030
PT Ramayana Lestari Sentosa 1,670,000 851
PT Telekomunikasi
Indonesia Series B 438,000 191
Semen Gresik 232,000 242
----------
4,526
----------
ISRAEL - 3.6%
Bank Hapoalim, Ltd. 502,400 1,543
Bank Leumi Le-Israel 857,659 1,864
Bezeq Israeli Telecommunication Corp.,
Ltd. 131,186 696
Blue Square Israel, Ltd. - ADR 13,720 128
Check Point Software Technologies, Ltd.
(a) 8,000 1,387
Clal Industries, Ltd. 24,400 270
Delta-Galil Industries, Ltd. 27,279 556
ECI Telecom, Ltd. 4,023 111
Gilat Satellite Networks, Ltd. (a) 4,100 353
IDB Holding Corp., Ltd. 3,864 133
Israel Chemicals, Ltd. 194,724 236
Israel Discount Bank Series A (a) 300,000 373
Koor Industries, Ltd. 1,200 104
Koor Industries, Ltd. - ADR 25,000 438
M-Systems Flash Disk Pioneers,
Ltd. (a) 3,800 250
Makhteshim-Agan Industries, Ltd. (a) 10,000 20
Nice Systems, Ltd. - ADR (a) 5,170 338
Orbotech, Ltd. (a) 21,252 1,812
Orckit Communications, Ltd. (a) 9,800 432
Partner Communications Co.,
Ltd. - ADR (a) 4,500 48
Property & Building Corp., Ltd. 666 69
RADWARE, Ltd. (a) 7,800 209
Scitex Corp., Ltd. (a) 19,000 226
Supersol, Ltd. 50,000 163
Tecnomatix Technologies, Ltd. (a) 41,500 1,369
Teva Pharmaceutical Industries,
Ltd. - ADR 49,886 2,188
----------
15,316
----------
JORDAN - 0.2%
Arab Bank Group 3,510 831
----------
LEBANON - 0.1%
Solidere - GDR (a) 62,000 375
----------
LUXEMBOURG - 1.4%
Foreign & Colonial Emerging Markets
Indian Investment Co. (a) 304,121 2,244
Foreign & Colonial Emerging Markets
Taiwan Investment Co. (a) 61,000 1,083
Millicom International Cellular SA (a) 43,000 2,258
Ritek, Inc. - GDR (a) 17,690 332
----------
5,917
----------
MALAYSIA - 5.9%
AMMB Holdings Berhad 341,000 1,292
Arab Malaysian Finance (Alien
Market)(a) 97,000 139
Berjaya Sports 191,000 400
Commerce Asset-Holding Berhad 421,000 1,185
Genting Berhad 385,000 1,550
Golden Hope Plantation 519,000 549
IJM Corp. Berhad 456,000 442
Malakoff Berhad 231,000 596
Malayan Banking Berhad 688,000 2,861
Malaysian Pacific 122,000 1,364
O.Y.L. Industries Berhad 12,800 41
Oriental Holdings Berhad 407,000 969
Perusahaan Otomobil Nasional Berhad 230,000 318
Petronas Gas Berhad 213,000 348
Public Bank Berhad 918,000 957
Public Bank Berhad (Alien Market) 276,000 385
Resorts World Berhad 348,000 1,126
RHB Capital Berhad 213,000 303
Road Builder (M) Holdings Berhad 385,000 505
Rothmans of Pall Mall
(Malaysia) Berhad 103,200 801
Sime Darby Berhad 486,000 570
Technical Resource Industries Berhad 222,000 284
Telekom Malaysia Berhad 411,000 1,428
Tenaga Nasional Berhad 1,248,000 4,138
UMW Holdings Berhad 142,000 308
United Engineers (Malaysia)
Berhad (a) 772,000 1,991
</TABLE>
128 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- ----------
<S> <C> <C>
YTL Corp. Berhad 310,000 506
YTL Corp. Berhad 2009 Warrants (a) 16,500 9
----------
25,365
----------
MEXICO - 12.1%
Alfa SA de CV Class A 188,000 581
Carso Global Telecom Series A1 (a) 1,236,400 3,337
Cemex SA de CV 434,440 1,884
Cemex SA de CV - ADR 65,754 1,438
Cemex SA de CV 2000 Warrants (a) 1,737 5
Cemex SA de CV 2002 Warrants (a) 20,000 12
Cifra SA de CV Class C (a) 452,700 965
Cifra SA de CV Series V (a) 627,000 1,449
Coca-Cola Femsa SA - ADR 71,200 1,322
Compania Cervecerias Unidas
SA - ADR 59,200 1,321
Controladora Comercial Mexicana
SA de CV 1,188,000 1,250
Corporacion Interamericana de
Entretenimiento SA Series B (a) 374,400 1,536
Cydsa SA Series A 277,000 206
Empaques Ponderosa (a) 189,500 106
Empresa Nacional de Electricidad
SA - ADR 36,538 420
Fomento Economico Mexicano SA de CV 160,500 637
Fomento Economico Mexicano SA de CV
Series B - ADR 67,050 2,766
Grupo Elektra, SA de CV 160,000 156
Grupo Financiero Banamex Accival SA de
CV (Banacci) Series O (a) 598,483 2,162
Grupo Financiero Bancomer SA de CV
Series O (a) 1,462,000 653
Grupo Financiero Banorte
SA de CV (a) 275,000 374
Grupo Financiero Inbursa SA de CV Class
O (a) 182,000 739
Grupo Industrial Durango
SA - ADR (a) 17,250 175
Grupo Industrial Saltillo SA de CV 54,500 121
Grupo Mexico SA Series B 233,000 951
Grupo Modelo SA de CV Series C 142,000 302
Grupo Radio Centro SA de CV - ADR 16,400 230
Grupo Television SA de
CV - GDR (a) 45,675 2,898
Hylsamex SA de CV Series B (a) 150,000 274
Kimberly-Clark, Mexico Class A 773,500 2,491
Nuevo Grupo Iusacell SA de CV Series V
- ADR (a) 104,700 1,669
Organizacion Soriana SA
de CV Series B 86,000 341
Panamerican Beverages, Inc. Class A 129,000 2,120
Seguros Comercial America
Series B (a) 87,000 332
Telefonos de Mexico SA
Series L - ADR 252,074 14,825
Tubos de Acero de Mexico SA 11,500 171
TV Azteca SA de CV - ADR 178,600 1,964
----------
52,183
----------
PANAMA - 0.2%
Banco Latinoamericano de Exportaciones
SA Class E 40,000 988
----------
PERU - 0.5%
Compania de Minas Buenaventura Series B
- ADR 24,200 417
Companiade Minas Buenaventura
SA Series B 27,600 240
Credicorp, Ltd. 49,850 527
Enrique Ferreyros 236,970 84
Minsur SA 64,000 114
Southern Peru Copper Corp. 10,800 136
Telefonica Del Peru SA
Class B - ADR 48,838 739
----------
2,257
----------
PHILIPPINES - 1.3%
Ayala Corp. 134,000 31
Equitable PCI Bank 480,200 622
First Philippine Holdings Corp. (a) 270,000 157
Manila Electric Co. Class B 1,184,200 2,123
Metropolitan Bank & Trust Co. 11,000 61
Philippine Long Distance
Telephone Co. 16,100 289
Philippine Long Distance
Telephone Co. - ADR 70,327 1,297
San Miguel Corp. Class B 67,500 85
Security Bank Corp. (a) 350,000 280
SM Prime Holdings 960,000 125
Universal Robina 2,410,000 355
----------
5,425
----------
POLAND - 0.7%
Agora SA - GDR (a) 1,957 45
Bank Handlowy W.
Warszawie - GDR 13,590 193
Bank Polska Kasa Opieki Grupa Pekao SA
(a) 5,970 71
BRE Bank SA 1,843 58
Elektrim Spolka Akcyjna SA (a) 34,053 427
KGHM Polska Miedz SA - GDR 29,500 423
</TABLE>
Emerging Markets Fund 129
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- ----------
<S> <C> <C>
Optimus SA 5,200 181
Polski Koncern Naftowy SA - GDR 79,731 790
Prokom Software SA 5,400 219
Softbank SA - GDR 6,500 275
Telekomunikacja Polska SA
Class S - GDR 27,898 212
Telekomunikacja Polska SA
Series A - GDR (a) 6,140 45
WBK 8,246 46
----------
2,985
----------
RUSSIA - 1.6%
Golden Telecom, Inc. (a) 6,200 187
Lukoil Oil Co. - ADR 40,940 2,468
OAO Gazprom - ADR (a) 15,000 99
Rostelecom - ADR 7,200 140
Surgutneftegaz SP - ADR (a) 155,976 2,367
Unified Energy Systems - ADR 12,287 198
Unified Energy Systems - GDR 40,043 746
Vimpel-Communications - ADR (a) 24,513 821
----------
7,026
----------
SINGAPORE - 0.4%
Asia Pulp & Paper Co, - ADR Ltd. (a) 79,000 499
Datacraft Asia, Ltd. (a) 122,000 915
Total Access Communication, Ltd. (a) 160,000 420
----------
1,834
----------
SOUTH AFRICA - 6.2%
AECI, Ltd. 164,000 327
African Bank Investments, Ltd. (a) 73,900 160
Alexander Forbes, Ltd. 482,000 1,081
Amalgamated Banks of South Africa 315,767 1,118
Amalgamated Beverage
Industries, Ltd. 50,971 297
Anglo American Platinum Corp., Ltd. 45,800 1,108
Anglo American PLC 9,900 420
AngloGold, Ltd. 27,310 1,039
Ashanti Goldfields, Ltd. - ADR 216,178 378
Barlow, Ltd. 50,837 319
Billiton PLC 92,000 353
De Beers Centenary Linked Units 58,854 1,207
Dimension Data Holdings, Ltd. (a) 301,057 1,976
Fedsure Holdings, Ltd. 32,900 182
FirstRand, Ltd. 852,800 1,006
Impala Platinum Holdings, Ltd. 34,100 1,081
Imperial Holdings, Ltd. (a) 65,162 557
Iscor, Ltd. (a) 74,960 166
Ixchange Technology Holdings,
Ltd. (a) 102,000 217
JD Group, Ltd. 69,300 467
Johnnies Industrial Corp., Ltd. 18,200 268
Liberty Life Association of Africa 79,186 742
Lonrho Africa PLC 437,204 109
Lonrho PLC 115,176 1,177
M-Cell, Ltd. 63,400 339
Metro Cash and Carry, Ltd. 256,359 193
MIH, Ltd. (a) 6,900 321
Nampak, Ltd. 90,000 210
Nedcor, Ltd. 43,962 834
PepsiCo International, Inc. (a) 1,190 10
Profurn, Ltd. 300,490 182
Real Africa Holdings, Ltd. (a) 92,300 83
Rembrandt Group, Ltd. 299,200 2,321
Sanlam, Ltd. 987,100 1,172
Sappi, Ltd. 78,200 548
Sasol 403,063 2,366
South African Breweries PLC 176,800 1,305
Standard Bank Investment Corporation,
Ltd. 126,060 464
Tongaat-Hulett Group, Ltd. 103,000 512
----------
26,615
----------
SOUTH KOREA - 10.2%
Doosan Corp. (a) 40,172 963
Dreamline Co., Ltd. 2000 Rights (a) 1,188 7
Dreamline Corp. (a) 3,000 95
Haansoft, Inc. (a) 10,800 191
HandySoft Corp. (a) 5,000 186
Hanil Cement Manufacturing
Co., Ltd. 54,500 737
Hankuk Glass Industries, Inc. 63,000 744
Hansol Paper Co. 33,960 230
Hanwha Chemical Corp. (a) 40,110 167
Honam Petrochemical Corp. 20,500 214
Housing & Commercial Bank, Korea 49,690 851
Hyundai Electronics Industries Co. (a) 52,770 837
Hyundai Industrial Development
& Construction 13,786 59
Hyundai Motor Co., Ltd. 43,428 409
Hyundai Motor Co., Ltd. - GDR (a) 18,462 93
Kookmin Bank 248,148 2,683
Kookmin Bank - GDR 5,000 53
Korea Electric Power Corp. 122,298 3,582
Korea Electric Power Corp. - ADR 46,148 756
Korea Telecom Corp. - ADR 41,059 1,417
Korea Telecom Freetel (a) 3,500 201
Korea Tobacco & Ginseng Corp. 48,200 925
LG Chemical, Ltd. 68,100 1,565
Locus Corp. (a) 2,300 280
Lotte Confectionery Co. 4,500 556
Medidas Co., Ltd. 1,658 24
</TABLE>
130 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- ----------
<S> <C> <C>
Mirae Co. 25,940 134
Pohang Iron & Steel Co., Ltd. 14,171 1,108
Pohang Iron & Steel Co., Ltd. - ADR 17,100 359
S1 Corp. 52,681 707
Samsung Corp. 20,500 233
Samsung Electro-Mechanics Co. 5,000 340
Samsung Electronics 40,410 10,924
Samsung Electronics, Ltd. - GDS 35,719 2,884
Samsung Fire & Marine Insurance (a) 7,149 146
Samsung SDI Co., Ltd. - GDR (a) 52,250 536
Samsung Securities Co., Ltd. 27,378 461
Seoul City Gas Co., Ltd. 17,000 257
SEROME Technology, Inc. 7,000 206
Shin Han Bank 135,500 1,300
SK Corporation 68,362 1,291
SK Telecom Co., Ltd. (a) 9,510 2,528
SK Telecom Co., Ltd. - ADR 9,730 312
Ssangyong Oil Refining Co. 85,440 1,582
Tae Young Corp. 17,639 367
Turbo Tek Co., Ltd. 12,649 193
----------
43,693
----------
SRI LANKA - 0.1%
Ceylon Theatre 13,660 37
Development Finance Corp. of Ceylon 97,221 123
John Keells Holdings, Ltd. 65,302 100
----------
260
----------
SWITZERLAND - 0.2%
UBS AG 2001 Warrants (a) 141,000 907
----------
TAIWAN - 8.0%
Acer Peripherals, Inc. - GDR (a) 11,000 457
Acer, Inc. - GDR (144A)(a) 89,900 935
Acer, Inc. - GDR (a) 305,782 3,180
Advanced Semiconductor Engineering,
Inc. - GDR (a) 31,000 550
ASE Test, Ltd. (a) 23,500 695
Asia Cement Corp. - GDR 96,454 709
Asustek Computer, Inc. - GDR 110 1
Asustek Computer, Inc. - GDR (Regd) 159,840 2,062
Asustek Computer, Inc.
2000 Warrants (a) 47,000 521
China Steel Corp. - GDS (a) 83,702 1,161
Compal Electronics, Inc. - GDR 43,994 607
D-Link Corp. - GDR (a) 46,600 677
Evergreen Marine Corp. - GDR (a) 61,642 475
Far Eastern Textile, Ltd. - GDR (a) 89,000 1,780
Formosa Plastic Corp.
2000 Warrants (a) 115,700 241
Fubon Insurance Co., Ltd. - GDR 96,980 853
GigaMedia, Ltd. (a) 9,300 223
Hon Hai Precision Industry Co.,
Ltd. - GDR (a) 90,340 2,530
Hon Hai Precision Industry Co.,
Ltd. - GDR (a) 17,000 468
Macronix International Co.,
Ltd. - ADR 24,300 741
Powerchip Semiconductor
Corp. - GDR (a) 85,500 1,945
Siliconware Precision Industries
Co. - GDR (a) 35,670 473
Synnex Technology International Corp.
(Regd) - GDR 71,560 1,896
Taiwan Semiconductor Manufacturing 2001
Warrants (a) 288,000 1,854
Taiwan Semiconductor Manufacturing Co.,
Ltd. - ADR (a) 93,452 4,889
Winbond Electronics
Corp. - GDR (144A)(a) 27,800 866
Windbond Electronics
Corp. - GDR (a) 100,000 3,114
Yageo Corp. - GDR 70,200 572
----------
34,475
----------
THAILAND - 1.2%
Advanced Information Services
(Alien Market)(a) 18,000 211
Bangkok Bank PLC
(Alien Market)(a) 299,000 507
Delta Electronics (Thailand) PLC 37,000 383
Delta Electronics, Inc. 2000 Rights (a) 5,000 50
Hana Microelectronics PLC
(Alien Market) 145,000 1,089
Jasmine International PLC
(Alien Market)(a) 700,000 382
National Petrochemical PLC
(Alien Market) 410,000 469
PTT Exploration and Production PLC,
Ltd. (Alien Market) 242,000 1,227
Siam Cement Co. (Alien Market)(a) 7,000 162
Siam City Cement PLC (Alien Market)(a) 45,000 136
TelecomAsia (Alien Market)(a) 188,000 252
Thai Farmers Bank (Alien Market)(a) 436,700 458
----------
5,326
----------
</TABLE>
Emerging Markets Fund 131
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
<S> <C> <C>
TURKEY - 6.7%
Akansa Cimento AS 4,176,240 92
Akbank TAS 47,538,650 1,069
Arcelik AS 15,349,020 1,305
Brisa Bridgestone Sabanci Lastik San.
Ve Tic AS 6,600,000 486
Dogan Sirketler Grubu Holding AS (a) 13,597,600 423
Dogan Yayin Holding AS (a) 20,383,700 492
EGE Biracilik Ve Malt Sanayii AS 18,255,600 1,642
Erciyas Biracilik ve Malt
Sanayii AS (a) 3,500,000 260
Eregli Demir ve Celik Fabrikalari TAS
(a) 2,000,000 110
Haci Omer Sabanci Holding AS 29,797,452 482
Haci Omer Sabanci Holding
AS - ADR 182,972 732
Hurriyet Gazetecilik ve
Matbaacilik AS 20,207,000 512
Koc Holding AS 5,353,290 1,073
Migros 7,152,600 4,855
Sasa Suni ve Sentetik Elyaf Sanayii
Anonim Sirketi 5,000,000 186
Tupras 12,600,000 865
Turkiye Garanti Bankasi AS (a) 126,991,480 2,139
Turkiye Is Bankasi 38,711,564 2,121
Vestel Elektronik Sanayi ve Ticaret AS
(a) 1,341,220 505
Yapi ve Kredi Bankasi AS 297,478,456 9,487
----------
28,836
----------
UNITED KINGDOM - 0.7%
Genesis Smaller Companies Fund (a) 172,135 2,873
----------
UNITED STATES - 0.5%
Amdocs, Ltd. (a) 4,000 271
Comverse Technology, Inc. (a) 3,640 325
IMPSAT Fiber Networks, Inc. (a) 11,000 172
Merrill Lynch & Co., Inc.
2001 Warrants (a) 153,000 985
Tricom SA - ADR (a) 21,400 385
----------
2,138
----------
VENEZUELA - 0.3%
Companhia Anonima Nacional Telefonos de
Venezuela - ADR 31,446 912
Mavesa SA - ADR 151,875 399
Siderurgica Venezolana "Sivensa"
S.A.C.A. Class B - GDR (a) 13,167 17
----------
1,328
----------
ZIMBABWE - 0.1%
Delta Corp. 1,010,343 198
----------
TOTAL COMMON STOCKS
(cost $336,577) 364,954
----------
PREFERRED STOCKS - 9.0%
ARGENTINA - 0.2%
Quilmes Industrial Quinsa
Societe - ADR 120,300 1,143
----------
BRAZIL - 8.3%
Aracruz Celulose SA - ADR 5,400 101
Banco Bradesco SA 294,333,984 2,152
Banco do Estado de Sao Paulo 33,680,444 1,250
Banco Itau SA 29,431,480 2,201
CIA Energetica De Minas Gerais 60,377,148 920
Companhia Brasileira de Distribuicao
Grupo Pao de Acucar - ADR 51,600 1,471
Companhia de Tecidos Norte de Minas (a) 1,492,066 112
Companhia Energetica de Minas Gerais -
ADR 25,356 388
Companhia Paranaense de
Energia - Copel 140,282,000 1,037
Companhia Paranaense de Energia Copel
Class B - ADR 22,000 162
Companhia Siderurgica de
Tubarao (a) 31,000,000 433
Companhia Vale Do Rio
Doce Series A 73,300 1,815
Companmia Cervejaria Brahma 927,000 673
Coteminas (Cia Tec) 6,075,105 454
Eletropaulo Metropolitana-Electricidade
de Sao Paulo SA 17,910,000 1,032
Embratel Participacoes SA 12,591,500 282
Embratel Participacoes SA - ADR 97,434 2,192
Gerdau SA 9,300,000 225
Itausa Investimentos Itau SA 653,000 561
Marcopolo SA 521,000 750
Petroleo Brasileiro SA 13,607,000 3,241
Tele Celular Sul Participacoes SA 48,438,300 190
Tele Centro Sul Participacoes SA 29,926,600 391
Tele Centro Sul Participacoes
SA - ADR 29,900 1,906
Tele Norte Leste Participacoes SA 27,795,000 569
Tele Norte Leste Participacoes
SA - ADR 70,442 1,255
Telecomunicacoes Brasileiras
SA - ADR 900 106
Telemig Celular Participacoes SA 58,772,000 169
Telemig Celular SA Class C 35,333 1
</TABLE>
132 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
----------- ----------
<S> <C> <C>
Telesp Celular Participacoes SA 219,621,090 3,941
Telesp Celular Participacoes
SA - ADR 16,000 706
Telesp Participacoes SA 89,159,586 2,222
Uniao de Bancos Brasileiros
SA (Units) 7,100,000 346
Uniao de Bancos Brasileiros
SA - GDR 18,800 469
Usinas Siderurgicas de Minas
Gerais SA 291,100 1,217
Votorantim Celulose e Papel
SA - ADR 20,700,000 616
----------
35,556
----------
RUSSIA - 0.2%
Lukoil Holding Oil Co. - ADR 41,200 865
----------
SOUTH KOREA - 0.3%
Samsung Electronic, Ltd. 9,910 1,331
----------
TOTAL PREFERRED STOCKS
(cost $35,330) 38,895
----------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
$
-----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.0%
UNITED STATES - 0.0%
Far Eastern Textile
Zero Coupon due 01/26/05 65 65
----------
TOTAL LONG-TERM INVESTMENTS
(cost $65) 65
----------
SHORT-TERM INVESTMENTS - 5.6%
UNITED STATES - 5.6%
Frank Russell Investment Company Money
Market Fund,
due on demand (b) 23,908 23,908
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $23,908) 23,908
----------
TOTAL INVESTMENTS - 99.4%
(identified cost $395,880) 427,822
OTHER ASSETS AND LIABILITIES,
NET - 0.6% 2,360
----------
NET ASSETS - 100.0% 430,182
==========
</TABLE>
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) This security has been valued by the Security Valuation Committee of the
Board of Trustees. It is possible that the estimated value may differ
significantly from the amount that might ultimately be realized.
Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
GDS - Global Depositary Share
144A - Represents private placement security for qualified buyers according to
rule 144A of the Securities Act of 1933.
Foreign Currency Abbreviations:
ARS - Argentine peso
BRL - Brazilian real
GRD - Greek drachma
ILS - Israeli shekel
KRW - South Korean won
MXN - Mexican peso
PHP - Philippine peso
THB - Thailand baht
TRL - Turkish lira
USD - United States dollar
ZAR - South African rand
See accompanying notes which are an integral part of the financial statements.
Emerging Markets Fund 133
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
% OF VALUE
NET (000)
INDUSTRY DIVIERSIFICATION ASSETS $
---------- ----------
<S> <C> <C>
Auto & Transportation 1.2% 5,127
Consumer Discretionary 7.1 30,457
Consumer Staples 6.7 28,625
Financial Services 19.3 82,892
Health Care 1.3 5,794
Integrated Oils 2.3 9,760
Materials & Processing 9.9 42,674
Miscellaneous 2.7 11,799
Other Energy 3.8 16,472
Producer Durables 6.4 27,323
Technology 10.8 46,548
Utilities 22.3 96,378
Short-Term Investments 5.6 23,908
Long-Term Investments -- 65
------ --------
Total Investments 99.4 427,822
Other Assets and Liabilites, net 0.6 2,360
------ --------
Net Assets 100.0% 430,182
====== ========
<CAPTION>
MARKET
% OF VALUE
NET (000)
GEOGRAPHIC DIVERSIFICATION ASSETS $
---------- ----------
<S> <C> <C>
Africa 6.2% 26,812
Europe 7.1 30,691
Latin America 28.2 121,407
Middle East 16.5 70,830
Pacific Basin 32.6 140,187
Other 3.2 13,922
Short-Term Investments 5.6 23,908
Long-Term Investments -- 65
------ --------
Total Investments 99.4 427,822
Other Assets and Liabilities, net 0.6 2,360
------ --------
Net Assets 100.0% 430,182
====== ========
</TABLE>
Foreign Currency Exchange Spot Contracts
<TABLE>
<CAPTION>
CONTRACTS TO UNREALIZED
DELIVER IN EXCHANGE APPRECIATION
OUT FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------- --------------- ---------- --------------
<S> <C> <C> <C>
USD 72 BRL 129 05/02/00 $ (1)
USD 53 BRL 97 05/03/00 --
USD 316 GRD 115 05/02/00 (5)
USD 61 GRD 23 05/02/00 --
USD 134 GRD 148,370 05/01/00 --
USD 107 MXN 1,008 05/02/00 --
USD 103 MXN 975 05/02/00 --
USD 12 PHP 500 05/02/00 --
USD 31 THB 1,177 05/02/00 --
USD 42 THB 1,593 05/02/00 --
USD 310 TRL 189,200,000 05/01/00 --
USD 266 ZAR 1,800 05/02/00 --
ARS 25 USD 25 05/02/00 --
ARS 13 USD 13 05/03/00 --
BRL 136 USD 76 05/02/00 --
BRL 469 USD 259 05/02/00 (1)
BRL 626 USD 345 05/02/00 (2)
ILS 52 USD 13 05/01/00 --
ILS 67 USD 17 05/01/00 --
KRW 53,371 USD 48 05/01/00 --
KRW 147,727 USD 133 05/01/00 --
KRW 130,804 USD 118 05/01/00 --
MXN 1,159 USD 123 05/02/00 --
PHP 773 USD 19 05/02/00 --
PHP 2,345 USD 57 05/03/00 --
ZAR 259 USD 38 05/02/00 --
ZAR 228 USD 33 05/02/00 (1)
-----
$ (10)
=====
</TABLE>
See accompanying notes which are an integral part of the financial statements.
134 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $395,880) . . . . . . . $ 427,822
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194
Foreign currency holdings (identified cost $4,740) . . . . . . 4,717
Receivables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . 1,158
Investments sold. . . . . . . . . . . . . . . . . . . . . . . 4,743
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . 1,266
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . 5
---------
Total assets. . . . . . . . . . . . . . . . . . . . . . . . 439,905
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . $ 8,304
Fund shares redeemed . . . . . . . . . . . . . 546
Accrued fees to affiliates . . . . . . . . . . 642
Other accrued expenses . . . . . . . . . . . . 221
Unrealized depreciation on foreign currency
exchange spot contracts . . . . . . . . . . . . 10
-------
Total liabilities . . . . . . . . . . . . . . . . . . . . . 9,723
---------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 430,182
=========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income . $ (4,688)
Accumulated net realized gain (loss) . . . . . . . . . . . . . (50,368)
Unrealized appreciation (depreciation) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . 31,942
Foreign currency-related transactions . . . . . . . . . . . . (46)
Shares of beneficial interest. . . . . . . . . . . . . . . . . 375
Additional paid-in capital . . . . . . . . . . . . . . . . . . 452,967
---------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 430,182
=========
NET ASSET VALUE, offering and redemption price per share:
Class C ($2,034,862 divided by 178,002 shares of $.01 par
value shares of beneficial interest outstanding). . . . . . . $ 11.43
=========
Class E ($5,918,518 divided by 515,821 shares of $.01 par
value shares of beneficial interest outstanding). . . . . . . $ 11.47
=========
Class S ($422,228,276 divided by 36,789,578 shares of $.01 par
value shares of beneficial interest outstanding). . . . . . . $ 11.48
=========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Emerging Markets Fund 135
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
Four Months
Ended
April 30, Year Ended
2000 December 31,
(Unaudited) 1999
----------- ------------
<S> <C> <C>
INVESTMENT INCOME
Dividends. . . . . . . . . . . . . . . . . . . $ 2,945 $ 7,347
Dividends from Money Market Fund . . . . . . . 339 894
Less foreign taxes withheld. . . . . . . . . . (261) (607)
---------- ------------
Total investment income. . . . . . . . . . . 3,023 7,634
---------- ------------
EXPENSES
Advisory fees. . . . . . . . . . . . . . . . . 1,714 4,046
Administrative fees. . . . . . . . . . . . . . 75 177
Custodian fees . . . . . . . . . . . . . . . . 492 1,137
Distribution fees - Class C. . . . . . . . . . 5 4
Transfer agent fees. . . . . . . . . . . . . . 459 1,161
Professional fees. . . . . . . . . . . . . . . 24 48
Registration fees. . . . . . . . . . . . . . . 31 95
Shareholder servicing fees - Class C . . . . . 2 1
Shareholder servicing fees - Class E . . . . . 5 8
Trustees' fees . . . . . . . . . . . . . . . . 5 6
Miscellaneous. . . . . . . . . . . . . . . . . 31 72
---------- ------------
Total expenses. . . . . . . . . . . . . . . 2,843 6,755
---------- ------------
Net investment income . . . . . . . . . . . . . 180 879
---------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments. . . . . . . . . . . . . . . . . . 24,050 (2,140)
Foreign currency-related transactions. . . . . (297) (2,085)
---------- ------------
23,753 (4,225)
---------- ------------
Net change in unrealized appreciation
(depreciation) on:
Investments. . . . . . . . . . . . . . . . . . (60,398) 153,342
Foreign currency-related transactions. . . . . (35) (7)
---------- ------------
(60,433) 153,335
---------- ------------
Net realized and unrealized gain (loss) . . . . (36,680) 149,110
---------- ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS. . . . . . . . . . . . . . . . . . . $ (36,500) $ 149,989
========== ============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
136 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS
ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
---------------- ------------------- -------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income . . . . . . $ 180 $ 879 $ 4,050
Net realized gain (loss). . . . . 23,753 (4,225) (57,573)
Net change in unrealized
appreciation (depreciation) . . . (60,433) 153,335 (57,066)
--------- --------- -------------
Net increase (decrease) in net
assets from operations. . . . . (36,500) 149,989 (110,589)
DISTRIBUTIONS
From net investment income
Class C . . . . . . . . . . . . (3) -- --
Class E . . . . . . . . . . . . (22) (16) --
Class S . . . . . . . . . . . . (2,029) (3,161) (2,472)
--------- --------- -------------
Net decrease in net assets
from distributions. . . . . . (2,054) (3,177) (2,472)
--------- --------- -------------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions. . 29,997 (2,461) 74,397
--------- --------- -------------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS . . . . . . . . . . . . (8,557) 144,351 (38,664)
NET ASSETS
Beginning of period . . . . . . . 438,739 294,388 333,052
--------- --------- -------------
End of period (including
accumulated distributions in
excess of net investment income
of $4,688 and $2,814, and
undistributed net investment
income of $495, respectively) . $ 430,182 $ 438,739 $ 294,388
========= ========= =============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Emerging Markets Fund 137
<PAGE>
EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
-------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 12.47 $ 8.07
------- -------
INCOME FROM OPERATIONS
Net investment income (loss)(a). . . . . . . . . . . . . (.03) (.12)
Net realized and unrealized gain (loss). . . . . . . . . (.99) 4.57
------- -------
Total income from operations. . . . . . . . . . . . . . (1.02) 4.45
------- -------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . . (.02) (.05)
------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 11.43 $ 12.47
======= =======
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . (8.20) 55.43
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . . 2,035 1,631
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . 2.89 2.91
Net investment income (loss). . . . . . . . . . . . . . (.80) (1.23)
Portfolio turnover rate (%) . . . . . . . . . . . . . . . 28.17 94.85
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of operations) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
138 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
Years Ended December 31,
--------------------------
2000* 1999 1998**
-------- ------------- ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 12.51 $ 8.48 $ 7.37
------- --------- --------
INCOME FROM OPERATIONS
Net investment income (loss)(a) . . . . . . . . (.01) (.04) (.02)
Net realized and unrealized gain (loss) . . . . (.99) 4.14 1.13
------- --------- --------
Total income from operations. . . . . . . . . (1.00) 4.10 1.11
------- --------- --------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . (.04) (.07) --
------- --------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 11.47 $ 12.51 $ 8.48
======= ========= ========
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . (8.01) 48.71 15.06
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . 5,919 6,314 39
Ratios to average net assets (%)(c)(d):
Operating expenses. . . . . . . . . . . . . . 2.14 2.17 --
Net investment income (loss). . . . . . . . . (.15) (.40) --
Portfolio turnover rate (%) . . . . . . . . . . 28.17 94.85 59.35
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period September 22, 1998 (commencement of sale) to December 31,
1998.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) The ratios for the period ended December 31, 1998 are not meaningful due to
the Class's short period of operation.
Emerging Markets Fund 139
<PAGE>
EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD . $ 12.52 $ 8.48 $ 11.79 $ 12.35 $ 11.16 $ 12.25
--------- ------- ------- ------- ------- -------
INCOME FROM OPERATIONS
Net investment income
(a). . . . . . . . .01 .03 .12 .14 .10 .11
Net realized and
unrealized gain (.99) 4.10 (3.35) (.56) 1.26 (1.12)
(loss) . . . . . . --------- ------- -------- ------- ------- -------
Total income from (.98) 4.13 (3.23) (.42) 1.36 (1.01)
operations . . . . --------- ------- -------- ------- ------- -------
DISTRIBUTIONS
From net investment
income . . . . . . (.06) (.09) (.08) (.14) (.17) (.05)
From net realized
gain . . . . . . . -- -- -- -- -- (.03)
--------- ------- ------- ------- ------- -------
Total distributions (.06) (.09) (.08) (.14) (.17) (.08)
--------- ------- ------- ------- ------- -------
NET ASSET VALUE, END
OF PERIOD . . . . . . $ 11.48 $ 12.52 $ 8.48 $ 11.79 $ 12.35 $ 11.16
========= ======= ======= ======= ======= =======
TOTAL RETURN (%)(b)(d) (7.97) 49.03 (27.57) (3.45) 12.26 (8.21)
RATIOS/SUPPLEMENTAL
DATA:
Net Assets, end of
period (in
thousands) . . . . 422,228 430,794 294,349 333,052 271,490 172,673
Ratios to average net
assets (%)(c)(d):
Operating expenses,
net. . . . . . . . 1.89 1.91 1.75 1.64 1.71 1.75
Operating expenses,
gross. . . . . . . 1.89 1.91 1.75 1.64 1.72 1.80
Net investment
income . . . . . . .13 .26 1.20 .87 .77 .88
Portfolio turnover
rate (%) . . . . . 28.17 94.85 59.35 50.60 34.62 71.16
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) 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.
140 Emerging Markets Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ----------
<S> <C> <C>
COMMON STOCKS (b) - 96.9%
APARTMENT - 26.3%
Amli Residential Properties Trust 267,500 6,086
Apartment Investment & Management Co.
Class A 755,115 30,016
Archstone Communities Trust 324,024 7,007
Avalonbay Communities, Inc. 899,330 35,186
Brookfield Properties Corp. 340,600 4,470
Camden Property Trust 176,029 4,995
Equity Residential Properties Trust 695,288 31,636
Essex Property Trust, Inc. 323,000 12,476
Post Properties, Inc. 397,546 16,697
Smith (Charles E.) Residential
Realty, Inc. 450,150 16,965
Summit Properties, Inc. 137,100 2,733
Sun Communities, Inc. 58,800 1,948
----------
170,215
----------
HEALTH CARE - 4.5%
Health Care Property Investors, Inc. 487,200 13,581
Manor Care, Inc. (a) 483,000 5,766
Nationwide Health Properties, Inc. 718,200 9,516
----------
28,863
----------
HOTELS/LEISURE - 7.0%
Golf Trust of America, Inc. 44,200 763
Hospitality Properties Trust 220,100 4,897
Host Marriott Corp. 510,400 5,455
Starwood Hotels & Resorts Worldwide,
Inc. 1,207,400 34,335
----------
45,450
----------
LEASING - 0.9%
Entertainment Properties Trust 41,300 563
Franchise Finance Corp. of America 79,500 1,888
MeriStar Hospitality Corp. 182,900 3,612
----------
6,063
----------
OFFICE/INDUSTRIAL - 38.6%
AMB Property Corp. 567,500 12,521
Arden Realty Group, Inc. 1,012,250 22,523
Boston Properties, Inc. 481,850 16,805
Cabot Industrial Trust 78,300 1,507
CarrAmerica Realty Corp. 140,400 3,335
Cornerstone Properties, Inc. 405,600 7,402
Cousins Properties, Inc. 97,600 3,831
Crescent Operating, Inc. (a) 26,300 45
Crescent Real Estate Equities, Inc. 441,400 7,559
Duke Realty Investments, Inc. 340,719 7,389
Equity Office Properties Trust 1,519,048 41,299
Frontline Capital Group (a) 238,600 4,086
Highwoods Properties, Inc. 437,500 9,926
Kilroy Realty Corp. 182,600 4,405
Liberty Property Trust 452,200 11,192
Mack-Cali Realty Corp. 613,900 15,808
Prentiss Properties Trust 504,100 11,972
ProLogis Trust 803,818 15,825
PS Business Parks, Inc. 176,100 3,918
Reckson Associates Realty Corp. 597,400 11,985
SL Green Realty Corp. 333,600 8,569
Spieker Properties, Inc. 590,000 26,144
Trizec Hahn Corp. 142,000 2,308
----------
250,354
----------
OUTLET CENTERS - 0.4%
Chelsea GCA Realty, Inc. 88,300 2,881
----------
REGIONAL MALLS - 8.3%
General Growth Properties, Inc. 364,500 11,983
Macerich Co. (The) 397,900 9,226
Rouse Co. (The) 227,100 5,323
Simon Property Group, Inc. 624,350 15,843
Taubman Centers, Inc. 214,300 2,558
Urban Shopping Centers, Inc. 268,500 8,659
----------
53,592
----------
SELF STORAGE - 2.6%
Public Storage, Inc. 652,756 14,605
Shurgard Storage Centers, Inc.
Class A 88,900 2,328
----------
16,933
----------
SHOPPING CENTER - 8.3%
Bradley Real Estate, Inc. 163,900 2,960
Federal Realty Investment Trust 343,000 7,289
Glimcher Realty Trust 39,600 545
Kimco Realty Corp. 253,800 10,104
Philips International Realty Corp. 86,800 1,427
Regency Realty Corp. 120,300 2,662
Vornado Realty Trust 838,100 28,914
----------
53,901
----------
TOTAL COMMON STOCKS
(cost $601,770) 628,252
----------
</TABLE>
142 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 4.6%
Frank Russell Investment Company
Money Market Fund,
due on demand (c) 29,882 29,882
-------
TOTAL SHORT-TERM INVESTMENTS
(cost $29,882) 29,882
-------
TOTAL INVESTMENTS - 101.5%
(identified cost $631,652) 658,134
OTHER ASSETS AND LIABILITIES,
NET - (1.5%) (9,589)
-------
NET ASSETS - 100.0% 648,545
=======
</TABLE>
(a) Nonincome-producing security.
(b) All common stocks held are Real Estate Investment Trusts (REIT) with the
exception of the following:
Brookfield Properties Corp.
Crescent Operating, Inc.
Host Marriot Corp.
Manor Care, Inc.
Rouse Co. (The)
Starwood Hotels & Resorts Worldwide, Inc.
Trizec Hahn Corp.
(c) At amortized cost, which approximates market.
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 143
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $631,652). . . . . . . $ 658,134
Cash. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147
Receivables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . 949
Investments sold . . . . . . . . . . . . . . . . . . . . . . 2,900
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . 941
Prepaid expenses. . . . . . . . . . . . . . . . . . . . . . . 9
----------
Total assets . . . . . . . . . . . . . . . . . . . . . . . 663,080
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . $ 12,805
Fund shares redeemed . . . . . . . . . . . . . 1,072
Accrued fees to affiliates . . . . . . . . . . 605
Other accrued expenses . . . . . . . . . . . . 53
---------
Total liabilities. . . . . . . . . . . . . . . . . . . . . 14,535
----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 648,545
==========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income. $ (4,784)
Accumulated net realized gain (loss). . . . . . . . . . . . . (36,847)
Unrealized appreciation (depreciation) on investments . . . . 26,482
Shares of beneficial interest . . . . . . . . . . . . . . . . 267
Additional paid-in capital. . . . . . . . . . . . . . . . . . 663,427
----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 648,545
==========
NET ASSET VALUE, offering and redemption price per share:
Class C ($2,419,196 divided by 100,732 shares of $.01 par
value shares of beneficial interest outstanding) . . . . . $ 24.02
==========
Class E ($8,008,124 divided by 331,638 shares of $.01 par
value shares of beneficial interest outstanding) . . . . . $ 24.15
==========
Class S ($638,117,853 divided by 26,279,112 shares of $.01
par value shares of beneficial interest outstanding) . . . $ 24.28
==========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
144 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Dividends. . . . . . . . . . . . . . . . . . . $ 10,990 $ 38,576
Dividends from Money Market Fund . . . . . . . 671 1,751
Interest . . . . . . . . . . . . . . . . . . . -- 2
---------- ----------
Total investment income. . . . . . . . . . . 11,661 40,329
EXPENSES
Advisory fees. . . . . . . . . . . . . . . . . 1,619 4,886
Administrative fees. . . . . . . . . . . . . . 102 308
Custodian fees . . . . . . . . . . . . . . . . 76 250
Distribution fees - Class C. . . . . . . . . . 5 6
Transfer agent fees. . . . . . . . . . . . . . 449 1,339
Professional fees. . . . . . . . . . . . . . . 16 28
Registration fees. . . . . . . . . . . . . . . 35 123
Shareholder servicing fees - Class C . . . . . 2 2
Shareholder servicing fees - Class E . . . . . 6 11
Trustees' fees . . . . . . . . . . . . . . . . 6 7
Miscellaneous. . . . . . . . . . . . . . . . . 24 71
---------- ----------
Total expenses . . . . . . . . . . . . . . . 2,340 7,031
---------- ----------
Net investment income . . . . . . . . . . . . . 9,321 33,298
---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments . . . . (12,125) (22,242)
Net change in unrealized appreciation
(depreciation) on investments. . . . . . . . . 48,902 (10,653)
---------- ----------
Net realized and unrealized gain (loss) . . . . 36,777 (32,895)
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS. . . . . . . . . . . . . . . . . . . $ 46,098 $ 403
========== ==========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 145
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income. . . . . . . . . . . . . . . . . . $ 9,321 $ 33,298 $ 30,253
Net realized gain (loss) . . . . . . . . . . . . . . . . (12,125) (22,242) (1,281)
Net change in unrealized appreciation (depreciation) . . 48,902 (10,653) (137,901)
---------- ---------- -----------
Net increase (decrease) in net
assets from operations . . . . . . . . . . . . . . . . 46,098 403 (108,929)
---------- ---------- -----------
DISTRIBUTIONS
From net investment income
Class C. . . . . . . . . . . . . . . . . . . . . . . . (27) (67) --
Class E. . . . . . . . . . . . . . . . . . . . . . . . (100) (358) (26)
Class S. . . . . . . . . . . . . . . . . . . . . . . . (7,696) (42,467) (26,915)
From net realized gain
Class E. . . . . . . . . . . . . . . . . . . . . . . . -- -- (7)
Class S. . . . . . . . . . . . . . . . . . . . . . . . -- -- (9,488)
---------- ---------- -----------
Net decrease in net assets
from distributions . . . . . . . . . . . . . . . . . (7,823) (42,892) (36,436)
---------- ---------- -----------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions . . . . . . . . . . . . . 12,065 63,525 106,663
---------- ---------- -----------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS . . . . . . . 50,340 21,036 (38,702)
---------- ---------- -----------
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . 598,205 577,169 615,871
---------- ---------- -----------
End of period (including accumulated distributions in
excess of net investment income of $4,784 and $6,282,
and undistributed net investment income of $3,312,
respectively). . . . . . . . . . . . . . . . . . . . . $ 648,545 $ 598,205 $ 577,169
========== ========== ===========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
146 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
-------- --------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $ 22.69 $ 24.13
-------- --------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . .28 1.08
Net realized and unrealized gain (loss) . . . . . . . . 1.34 (1.06)
-------- --------
Total income from operations. . . . . . . . . . . . . 1.62 .02
-------- --------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . (.29) (1.46)
-------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $ 24.02 $ 22.69
======== ========
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . 7.19 .19
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . 2,419 1,771
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . 2.14 2.14
Net investment income . . . . . . . . . . . . . . . . 3.64 5.12
Portfolio turnover rate (%) . . . . . . . . . . . . . . 32.96 42.69
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Real Estate Securities Fund 147
<PAGE>
REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-------------------------------------
2000* 1999 1998 1997 1996**
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD. . . . . . . . $ 22.76 $ 24.27 $ 31.02 $ 29.18 $ 26.67
------- ------- ------- ------- -------
INCOME FROM OPERATIONS
Net investment income (a). . . . . . . . . . . . . .33 1.28 1.26 1.14 .24
Net realized and unrealized gain (loss). . . . . . 1.36 (1.24) (6.12) 3.95 3.85
------- ------- ------- ------- -------
Total income from operations . . . . . . . . . . 1.69 .04 (4.86) 5.09 4.09
------- ------- ------- ------- -------
DISTRIBUTIONS
From net investment income . . . . . . . . . . . . (.30) (1.55) (1.43) (1.04) (.32)
From net realized gain . . . . . . . . . . . . . . -- -- (.46) (2.21) (1.26)
------- ------- ------- ------- -------
Total distributions. . . . . . . . . . . . . . . (.30) (1.55) (1.89) (3.25) (1.58)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD. . . . . . . . . . . $ 24.15 $ 22.76 $ 24.27 $ 31.02 $ 29.18
======= ======= ======= ======= =======
TOTAL RETURN (%)(b) . . . . . . . . . . . . . . . . 7.49 .30 (16.25) 18.20 15.75
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) . . . . . 8,008 7,134 843 388 101
Ratios to average net assets (%)(c):
Operating expenses . . . . . . . . . . . . . . . 1.39 1.39 1.47 1.71 1.77
Net investment income. . . . . . . . . . . . . . 4.35 5.42 4.90 3.94 5.31
Portfolio turnover rate (%). . . . . . . . . . . . 32.96 42.69 42.58 49.40 51.75
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period November 4, 1996 (commencement of sale) to December 31,
1996.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
148 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------------------
2000* 1999 1998 1997 1996 1995
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 22.86 $ 24.44 $ 30.86 $ 29.19 $ 23.51 $ 22.53
-------- -------- -------- -------- -------- --------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . .35 1.30 1.34 1.36 1.39 1.32
Net realized and unrealized gain (loss) . . . . 1.36 (1.20) (6.13) 3.93 6.89 1.03
-------- -------- -------- -------- -------- --------
Total income from operations. . . . . . . . . 1.71 .10 (4.79) 5.29 8.28 2.35
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . (.29) (1.68) (1.17) (1.41) (1.34) (1.35)
From net realized gain. . . . . . . . . . . . . -- -- (.46) (2.21) (1.26) (.02)
-------- -------- -------- -------- -------- --------
Total distributions . . . . . . . . . . . . . (.29) (1.68) (1.63) (3.62) (2.60) (1.37)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 24.28 $ 22.86 $ 24.44 $ 30.86 $ 29.19 $ 23.51
======== ======== ======== ======== ======== ========
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . 7.56 .55 (15.94) 18.99 36.81 10.87
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . 638,118 589,300 576,326 615,483 445,619 290,990
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . 1.14 1.14 1.05 1.02 1.04 1.04
Net investment income . . . . . . . . . . . . 4.58 5.41 4.93 4.57 5.64 6.10
Portfolio turnover rate (%) . . . . . . . . . . 32.96 42.69 42.58 49.40 51.75 23.49
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Real Estate Securities Fund 149
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
LONG-TERM INVESTMENTS - 94.0%
ASSET-BACKED SECURITIES - 31.1%
ABFS Equipment Contract Trust
Series 1998-A Class A
6.100% due 10/15/05 388 380
American Express Credit Account
Master Trust
Series 1996-1, Class A
6.800% due 12/15/03 4,960 4,937
Series 1997-1, Class A
6.400% due 04/15/05 7,500 7,355
Arcadia Automobile Receivables Trust
Series 1997-C Class A5
6.550% due 06/15/05 1,280 1,261
Banc One Auto Grantor Trust
Series 1997-A, Class A
6.270% due 11/20/03 1,509 1,503
Barnett Auto Trust
Series 1997-A Class A3
6.030% due 11/15/01 213 212
Boston Edison Co.
Series 1999-1 Class A2
6.450% due 09/15/05 8,000 7,780
California Infrastructure PG&E
Series 1997-1 Class A3
6.150% due 06/25/02 94 94
Capital Auto Receivables
Asset Trust
Series 2000-1 Class A4
7.000% due 01/17/05 1,225 1,220
Captec Franchise Trust
Series 1999-1 Class A1
6.504% due 05/25/05 (a) 1,309 1,269
Case Equipment Loan Trust
Series 1997-B, Class C
6.410% due 09/15/04 69 69
Chase Manhattan Auto Owner Trust
Series 1998-B Class A4
5.800% due 02/17/03 2,000 1,964
Chase Manhattan Credit Card
Master Trust
Series 1996-3 Class A
7.040% due 02/15/05 11,000 10,962
Chevy Chase Auto Receivables Trust
Series 1997-1, Class A
6.500% due 10/15/03 600 599
Series 1997-2, Class A
6.350% due 01/15/04 200 199
Series 1997-3, Class A
6.200% due 03/20/04 (a) 418 415
Citibank Credit Card Master Trust I
Series 1997-2 Class A
6.550% due 02/15/04 11,500 11,342
Copelco Capital Funding Corp.
Series 1997-A, Class A3
6.270% due 04/20/05 125 125
Series 1999-A Class A2
5.500% due 03/15/01 940 938
Series 1999-A Class A3
5.665% due 03/15/02 750 743
Series 1999-A Class A5
5.950% due 06/15/04 1,250 1,197
Series 1999-B Class A3
6.610% due 12/18/02 850 845
Delta Funding Home Equity
Loan Trust
Series 1998-1 Class A2A
6.089% due 05/25/30 (a) 150 150
Discover Card Master Trust I
Series 1996-4 Class A
6.505% due 10/16/13 (a) 1,300 1,304
Series 1998-7 Class A
5.600% due 05/15/06 2,000 1,889
Series 1999-1 Class B
5.550% due 08/15/04 (a) 650 627
First Security Auto Grantor Trust
Series 1997-A, Class A
6.300% due 08/15/03 240 239
First Security Automobile
Owner Trust
Series 1999-2 Class A3
6.000% due 10/15/03 1,750 1,738
FMAC Loan Receivables Trust
Series 1998-CA Class A1
5.990% due 11/15/04 661 631
Ford Credit Automobile
Owner Trust
Series 1997-B Class B
6.400% due 05/15/02 825 816
Series 1999-B Class A4
5.800% due 06/15/02 1,225 1,211
Series 1999-C Class A4
6.080% due 09/16/02 4,675 4,617
Series 1999-D Class A4
6.400% due 10/15/02 1,100 1,086
Series 2000-A Class A3
6.820% due 06/17/02 1,600 1,597
Franchise Loan Trust
Series 1998-I Class A1
6.240% due 07/15/04 601 581
</TABLE>
150 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Green Tree Financial Corp.
Series 1995-9 Class A5
6.800% due 01/15/26 (a) 1,300 1,288
Series 1998-1, Class A3
5.950% due 11/01/29 1,250 1,239
Series 1998-6 Class A2
5.910% due 01/01/07 207 207
Honda Automobile Lease Trust
Series 1999-A Class A3
6.100% due 01/15/02 3,500 3,480
Huntington Auto Trust
Series 2000-A Class A3
7.330% due 07/15/04 2,200 2,204
IMC Home Equity Loan Trust
Series 1998-1 Class A3
6.410% due 04/20/18 1,050 1,038
MBNA Master Credit Card Trust
Series-F Class A
6.600% due 11/15/04 10,000 9,863
Mellon Auto Grantor Trust
Series 2000-1 Class A
7.180% due 10/15/06 1,630 1,631
NationsBank Credit Card Master Trust
Series 1993-2 Class A
6.000% due 12/15/05 8,400 8,051
Navistar Financial Corp. Owner Trust
Series 1999-A Class A3
5.950% due 04/15/03 1,675 1,653
Newcourt Equipment Trust Securities
Series 1998-1 Class A3
5.240% due 12/20/02 1,014 1,002
Series 1998-2 Class A3
5.450% due 10/15/02 475 471
Nissan Automobile Receivables Owner
Trust
Series 1999-A Class A3
6.470% due 09/15/03 1,025 1,011
NPF VI Inc.
Series 1998-1A, Class A
6.220% due 06/01/02 1,000 988
Olympic Automobile Receivables Trust
Series 1996-D Class CTFS
6.125% due 04/15/02 2,055 2,017
PBG Equipment Trust
Series 1A Class A
6.270% due 01/20/12 896 863
Pegasus Aviation Lease Securitization
Series 2000-1 Class A1
6.721% due 03/25/15 (a) 708 708
PNC Student Loan Trust I
Series 1997-2 Class A3
6.314% due 01/25/01 2,066 2,064
Premier Automobile Trust
Series 1999-1 Class A3
5.690% due 11/08/02 8,500 8,388
Series 1999-3 Class A4
6.430% due 03/08/04 (a) 1,600 1,566
Ryder Vehicle Lease Trust
Series 1998-A, Class A
6.100% due 09/15/08 (a) 532 522
Series 1999-A Class A4
6.890% due 04/15/05 1,100 1,086
Sears Credit Account Master Trust
Series 1995-2 Class A
8.100% due 06/15/04 1,613 1,621
Series 1998-1 Class A
5.800% due 08/15/05 1,500 1,487
Series 1999-2 Class A
6.350% due 02/16/07 1,400 1,366
Sears Credit Account Master Trust II
Series 1996-4 Class A
6.450% due 10/16/06 5,000 4,944
Team Fleet Financing Corp.
Series 1998-2A Class A
6.070% due 07/25/02 1,625 1,601
The Money Store Auto Grantor Trust
Series 1997-4, Class A2
6.350% due 03/20/04 28 28
The Money Store Small Business
Administration Loan Trust
Series 1996-2 Class A
6.277% due 04/15/24 (a) 697 692
Series 1997-1 Class A
6.211% due 01/15/25 (a) 996 989
Series 1997-1 Class B
6.688% due 01/15/25 (a) 664 660
UCFC Home Equity Loan
Series 1993-B1 Class A-1
6.075% due 07/25/14 36 35
USAA Automobile Loan
Grantor Trust
Series 1999-1 Class A
6.100% due 02/15/06 (a) 1,749 1,727
Wilshire Funding Corp.
Series 1998-WFC2 Class A3
7.000% due 12/28/37 705 695
</TABLE>
Short Term Bond Fund 151
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
World Omni Automobile
Lease Securitization Trust
Series 1999-A Class A1
6.254% due 02/15/02 (a) 1,600 1,600
Series 1997-A, Class A4
6.900% due 06/25/03 2,123 2,118
----------
142,798
----------
CORPORATE BONDS AND NOTES - 42.5%
Aerofreighter Finance Trust
7.850% due 10/30/09 630 627
Aristar, Inc.
6.125% due 12/01/00 1,225 1,218
Associates Corp. of North America
5.875% due 07/15/02 9,500 9,176
6.500% due 07/15/02 2,700 2,642
5.750% due 11/01/03 1,000 943
AT&T Capital Corp.
6.250% due 05/15/01 1,750 1,729
Avon Energy Partners Holdings
6.730% due 12/11/02 310 303
Banco De Latinoamerica
6.500% due 04/02/01 2,200 2,184
Bank of America Corp.
Series H
7.350% due 04/03/02 11,300 11,278
Bank One Corp.
6.400% due 08/01/02 2,725 2,659
Bear Stearns Co., Inc.
9.375% due 06/01/01 2,000 2,039
Business Loan Center, Inc.
Series 1998-1A
6.750% due 04/02/05 1,100 1,101
Carramerica Realty Corp.
6.625% due 10/01/00 1,575 1,564
Chase Manhattan Corp.
10.125% due 11/01/00 2,009 2,041
CIT Group Holdings, Inc.
6.125% due 12/15/00 8,100 8,050
CIT Group, Inc.
6.500% due 06/14/02 3,800 3,724
Coca-Cola Put Asset Trust
6.000% due 03/15/01 1,950 1,927
Comdisco, Inc.
6.000% due 01/30/02 2,000 1,933
Conseco, Inc.
6.400% due 06/15/01 1,850 1,314
Cox Communications, Inc.
7.000% due 08/15/01 2,000 1,984
DaimlerChrysler North America
Holding Corp.
7.125% due 03/01/02 12,000 11,933
6.380% due 08/23/02 (a) 2,250 2,256
Donaldson, Lufkin & Jenrette, Inc.
5.875% due 04/01/02 1,150 1,109
El Paso Energy Corp.
12.000% due 12/15/00 1,925 1,955
Series B
6.625% due 07/15/01 1,050 1,037
Enron Corp.
6.450% due 11/15/01 1,825 1,792
ERAC USA Finance Co.
6.375% due 05/15/03 1,900 1,825
Finova Capital Corp.
6.625% due 09/15/01 2,000 1,934
First Bank South Dakota
6.200% due 12/20/00 (a) 500 500
Firstar Corp.
6.500% due 07/15/02 3,145 3,081
Fleet Credit Card, LLC
6.450% due 10/30/00 250 249
Ford Motor Credit Corp.
7.250% due 01/15/03 12,000 11,868
6.700% due 07/16/04 1,600 1,539
Franchise Finance Corp.
7.000% due 11/30/00 1,575 1,567
General Electric Capital Corp.
5.430% due 02/25/02 4,000 3,873
Series A
5.180% due 02/01/02 2,380 2,291
6.520% due 10/08/02 2,500 2,455
5.880% due 05/19/03 5,500 5,283
General Motors Acceptance Corp.
5.350% due 04/16/01 12,000 11,793
6.850% due 04/17/01 750 747
8.500% due 01/01/03 1,500 1,528
Hertz Corp.
6.625% due 07/15/00 900 899
Household Finance Corp.
6.125% due 07/15/02 (a) 450 436
IBM Credit Corp.
6.450% due 11/12/02 1,300 1,273
IMC Global, Inc.
6.625% due 10/15/01 500 489
International Lease Finance Corp.
8.875% due 04/15/01 1,500 1,521
5.625% due 05/01/02 1,000 966
Lehman Brothers Holdings, Inc.
Series F
7.000% due 05/15/03 1,000 977
</TABLE>
152 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
MBNA Corp.
Series B
6.500% due 09/15/00 1,375 1,368
Metropolitan Life Insurance Co.
6.300% due 11/01/03 730 702
Midlantic Corp.
9.200% due 08/01/01 1,123 1,144
Morgan Stanley Dean Witter & Co.
7.125% due 01/15/03 935 925
5.625% due 01/20/04 1,750 1,641
Nabisco, Inc.
6.000% due 02/15/01 415 404
National Westminster Bank PLC
9.450% due 05/01/01 5,500 5,619
NationsBank Corp.
8.125% due 06/15/02 2,750 2,781
News America Holdings, Inc.
7.450% due 06/01/00 775 775
Norwest Financial, Inc.
6.375% due 09/15/02 1,000 978
Panamsat Corp.
6.000% due 01/15/03 1,100 1,037
Paramount Communications, Inc.
7.500% due 01/15/02 875 869
Popular North America, Inc.
Series D
6.875% due 06/15/01 1,100 1,089
Procter & Gamble
9.625% due 01/14/01 6,920 7,022
Salomon Smith Barney
Holdings, Inc.
6.625% due 07/01/02 75 74
6.500% due 10/15/02 300 293
Salomon, Inc.
7.750% due 05/15/00 1,000 999
Sears Roebuck Acceptance Corp.
Series II
6.690% due 04/30/01 1,800 1,788
Series III
6.820% due 10/17/02 6,000 5,909
Suntrust Banks, Inc.
8.250% due 07/15/02 1,825 1,842
Tele-Communications, Inc.
8.250% due 01/15/03 2,000 2,046
Textron, Inc.
6.750% due 09/15/02 11,000 10,796
US Bank National Association
Minnesota
6.350% due 09/28/01 2,000 1,972
US West Capital Funding, Inc.
6.875% due 08/15/01 1,230 1,220
Wal-Mart Stores, Inc.
6.150% due 08/10/01 2,300 2,271
Waste Management, Inc.
7.100% due 08/01/26 1,175 1,065
Wells Fargo Co.
6.500% due 09/03/02 1,500 1,467
WHX Corp.
9.375% due 11/15/03 1,700 1,759
----------
195,467
----------
EURODOLLAR BONDS - 2.7%
American Express Travel
6.410% due 10/24/01 (a) 1,500 1,497
Argentina, Republic of
Series B
Zero Coupon due 04/15/01 1,500 1,380
Diageo Capital PLC
6.625% due 06/24/04 545 527
Lehman Brothers Holdings, Inc.
6.089% due 06/10/03 (a) 2,278 2,238
Ontario, Province of
7.375% due 01/27/03 5,000 5,002
St. George Bank, Ltd.
Series E
6.235% due 11/29/01 (a) 2,000 1,998
----------
12,642
----------
MORTGAGE-BACKED SECURITIES - 10.5%
Asset Securitization Corp.
Series 1997-D5 Class A1A
6.500% due 02/14/41 839 823
Bank One Mortgage-backed
Pass-through
Series 2000-2 Class 4A
6.612% due 03/15/30 (a) 1,141 1,117
Bayview Financial Acquisition Trust
Series 1998-1, Class A1
7.010% due 05/25/29 880 858
Bear Stearns Mortgage
Securities, Inc.
Series 1996-6 Class A2
7.000% due 11/25/27 31 31
Chase Commercial Mortgage Securities
Corp.
Series 1997-2 Class A1
6.450% due 12/19/04 1,869 1,808
Citicorp Mortgage Securities, Inc.
Series 1994-4 Class A6
6.000% due 02/25/09 925 883
</TABLE>
Short Term Bond Fund 153
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Deutsche Mortgage & Asset Receiving
Corp.
Series 1998-C1 Class A1
6.220% due 09/15/07 344 328
DLJ Mortgage Acceptance Corp.
Series 1995-CF2 Class A1A
6.650% due 12/17/27 331 328
Series 1996-CF2 Class A1A
6.860% due 11/12/21 585 572
Series 1997-CF1 Class A1A
7.400% due 05/15/06 1,070 1,063
Federal Home Loan Mortgage Corp.
6.961% due 2027 (a) 2,159 2,187
Federal Home Loan Mortgage Corp.
Participation Certificate
7.500% due 2002 2 2
9.000% due 2005 139 141
6.250% due 2007 31 30
6.500% due 2008 1,787 1,740
5.500% due 2009 2,283 2,148
7.000% due 2011 1,224 1,201
6.910% due 2027 (a) 858 864
Federal National Mortgage
Association
7.000% due 2004 565 557
8.750% due 2004 16 16
6.500% due 2008 1,469 1,430
5.500% due 2009 8,731 8,181
7.000% due 2009 1,445 1,419
8.000% due 2009 (a) 1,616 1,620
7.000% due 2014 (a) 624 610
7.500% due 2014 1,288 1,282
8.500% due 2014 628 635
Series 1998-32 Class TB
6.000% due 05/18/13 875 849
Goldman Sachs Mortgage
Securities Corp.
Series 2000-1 Class A
6.513% due 06/20/24 (a) 1,450 1,450
Government National Mortgage
Association
7.250% due 2006 1,181 1,180
7.000% due 2007 63 62
6.000% due 2008 805 767
7.000% due 2008 778 765
7.000% due 2009 1,927 1,909
8.250% due 2009 643 656
7.000% due 2011 428 419
7.000% due 2012 369 362
9.500% due 2017 547 577
Prudential Home Mortgage Securities
Series 1994-19, Class A2
7.050% due 05/25/24 248 247
Residential Accredited Loans, Inc.
Series 1997-QS7, Class A1
7.500% due 07/25/27 53 53
Series 1999-QS2 Class A3
6.500% due 02/25/29 499 472
Residential Asset Securitization Trust
Series 1998-A1 Class A1
7.000% due 03/25/28 152 151
Series 1998-A2, Class A1
6.750% due 04/25/28 346 342
Residential Funding Mortgage Securities
Series 1998-NS1 Class A2
6.375% due 01/25/09 710 700
Resolution Trust Corp. Mortgage
Pass-thru Certificate
Series 1995-2, Class C1
7.450% due 05/25/29 (a) 342 329
Structured Asset Mortgage
Investments, Inc.
Series 1998-9 Class 2A2
6.125% due 11/25/13 1,266 1,183
Union Planters Mortgage
Finance Corp.
Series 1998-A, Class A1
6.350% due 01/25/28 364 361
Series 1999-1 Class A1
6.250% due 04/01/29 507 482
Washington Mutual Step Up
Series 2000-1 Class A1
6.420% due 06/25/24 (a) 2,466 2,454
Wilshire Funding Corporation
Series 1997-WFC1, Class AI
7.250% due 08/25/27 388 387
----------
48,031
----------
</TABLE>
154 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
MUNICIPAL BONDS - 0.5%
Missouri Higher Education
Loan Authority
Series 97 Class P
5.966% due 07/25/08 (a) 867 853
Philadelphia, Pennsylvania, Authority
for Industrial Development
Series 1997 Class A
6.488% due 06/15/04 1,381 1,266
----------
2,119
----------
UNITED STATES GOVERNMENT AGENCIES -
1.4%
Federal National Mortgage
Association
6.140% due 06/12/02 2,900 2,848
5.250% due 01/15/03 1,000 953
5.125% due 02/13/04 2,600 2,420
----------
6,221
----------
UNITED STATES GOVERNMENT TREASURIES
- 1.0%
United States Treasury Notes
6.500% due 02/28/02 3,530 3,517
3.625% due 01/15/08 1,260 1,227
----------
4,744
----------
YANKEE BONDS - 4.3%
Edperbrascan Corp.
7.375% due 10/01/02 2,000 1,949
Manitoba, Province of
8.000% due 04/15/02 5,600 5,665
Series CZ
6.750% due 03/01/03 5,200 5,121
Royal Caribbean Cruises, Ltd.
7.125% due 09/18/02 2,150 2,050
Tyco International, Ltd.
6.500% due 11/01/01 3,000 2,942
Westpac Banking, Ltd.
7.875% due 10/15/02 2,006 2,014
----------
19,741
----------
TOTAL LONG-TERM INVESTMENTS
(cost $439,606) 431,763
----------
SHORT-TERM INVESTMENTS - 5.2%
Federal Home Loan Bank Corp.
Discount Note
5.875% due 05/17/00 (b) 1,200 1,197
Frank Russell Investment Company
Money Market Fund,
due on demand (b) 22,631
22,631 ----------
TOTAL SHORT-TERM INVESTMENTS
(cost $23,828) 23,828
----------
TOTAL INVESTMENTS - 99.2%
(identified cost $463,434) 455,591
OTHER ASSETS AND LIABILITIES,
NET - 0.8% 3,878
----------
NET ASSETS - 100.0% 459,469
==========
</TABLE>
(a) Adjustable or floating rate security.
(b) At amortized cost, which approximates market.
See accompanying notes which are an integral part of the financial statements.
Short Term Bond Fund 155
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $463,434) . . . . . . . $ 455,591
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . 5,229
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . 213
From Advisor. . . . . . . . . . . . . . . . . . . . . . . . . 67
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . 4
----------
Total assets. . . . . . . . . . . . . . . . . . . . . . . . 461,104
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . $ 488
Fund shares redeemed. . . . . . . . . . . . . . 683
Accrued fees to affiliates. . . . . . . . . . . 290
Other accrued expenses. . . . . . . . . . . . . 174
------
Total liabilities . . . . . . . . . . . . . . . . . . . . . 1,635
----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 459,469
==========
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $ 2,342
Accumulated net realized gain (loss) . . . . . . . . . . . . . (19,671)
Unrealized appreciation (depreciation) on investments. . . . . (7,842)
Shares of beneficial interest. . . . . . . . . . . . . . . . . 255
Additional paid-in capital . . . . . . . . . . . . . . . . . . 484,385
---------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . $ 459,469
=========
NET ASSET VALUE, offering and redemption price per share:
Class C ($779,980 divided by 43,217 shares of $.01 par value
shares of beneficial interest outstanding). . . . . . . . . $ 18.05
=========
Class E ($9,497,448 divided by 526,130 shares of $.01 par
value shares of beneficial interest outstanding). . . . . . $ 18.05
=========
Class S ($449,191,773 divided by 24,920,636 shares of $.01
par value shares of beneficial interest outstanding). . . . $ 18.02
=========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
156 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . $ 9,522 $ 26,239
Dividends from Money Market Fund . . . . . . . 381 1,092
------- --------
Total investment income. . . . . . . . . . . 9,903 27,331
EXPENSES
Advisory fees. . . . . . . . . . . . . . . . . 680 2,041
Administrative fees. . . . . . . . . . . . . . 76 229
Custodian fees . . . . . . . . . . . . . . . . 83 334
Distribution fees - Class C. . . . . . . . . . 2 4
Transfer agent fees. . . . . . . . . . . . . . 186 607
Professional fees. . . . . . . . . . . . . . . 11 10
Registration fees. . . . . . . . . . . . . . . 28 159
Shareholder servicing fees - Class C . . . . . 1 1
Shareholder servicing fees - Class E . . . . . 8 15
Trustees' fees . . . . . . . . . . . . . . . . 5 12
Miscellaneous. . . . . . . . . . . . . . . . . 19 3
------- --------
Total expenses . . . . . . . . . . . . . . . 1,099 3,415
------- --------
Net investment income . . . . . . . . . . . . . 8,804 23,916
------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments . . . . (1,636) (2,426)
Net change in unrealized appreciation
(depreciation) on investments. . . . . . . . . (792) (7,220)
------- --------
Net realized and unrealized gain (loss) . . . . (2,428) (9,646)
------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS . . . . . . . . . . . . . . . . . . $ 6,376 $ 14,270
======= ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Short Term Bond Fund 157
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1999
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income . . . . . . $ 8,804 $ 23,916 $ 13,185
Net realized gain (loss). . . . . (1,636) (2,426) 1,126
Net change in unrealized
appreciation (depreciation) . . (792) (7,220) 355
------- -------- --------
Net increase (decrease) in net
assets from operations. . . . 6,376 14,270 14,666
------- -------- --------
DISTRIBUTIONS
From net investment income
Class C . . . . . . . . . . . . (12) (24) --
Class E . . . . . . . . . . . . (141) (303) --
Class S . . . . . . . . . . . . (6,477) (24,023) (13,149)
------- -------- --------
Net decrease in net assets
from distributions. . . . . (6,630) (24,350) (13,149)
------- -------- --------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions . 2,639 206,625 29,552
------- -------- --------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS . . . . . . . . . . . 2,385 196,545 31,069
NET ASSETS
Beginning of period . . . . . . . 457,084 260,539 229,470
------- -------- --------
End of period (including
undistributed net
investment income of
$2,342, $168 and $621,
respectively). . . . . . . . . $459,469 $457,084 $260,539
======== ======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
158 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
------ ------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $18.13 $18.36
------ ------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . .29 .68
Net realized and unrealized gain (loss) . . . . . . . . (.10) (.31)
------ ------
Total income from operations. . . . . . . . . . . . . .19 .37
------ ------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . (.27) (.60)
------ ------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $18.05 $18.13
------ ------
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . 1.07 2.02
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . 780 801
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . 1.71 1.72
Net investment income . . . . . . . . . . . . . . . . 4.78 4.41
Portfolio turnover rate (%) . . . . . . . . . . . . . . 39.14 177.08
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period March 3, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Short Term Bond Fund 159
<PAGE>
SHORT TERM BOND FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
----- ------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $18.08 $18.51
------ ------
INCOME FROM OPERATIONS
Net investment income (a) . . . . . . . . . . . . . . . .33 .80
Net realized and unrealized gain (loss) . . . . . . . . (.09) (.34)
------ ------
Total income from operations. . . . . . . . . . . . . .24 .46
------ ------
DISTRIBUTIONS
From net investment income. . . . . . . . . . . . . . . (.27) (.89)
------ ------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $18.05 $18.08
====== ======
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . 1.31 2.53
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . 9,497 8,693
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . .96 .97
Net investment income . . . . . . . . . . . . . . . . 5.53 5.05
Portfolio turnover rate (%) . . . . . . . . . . . . . . 39.14 177.08
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period February 18, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
160 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
---------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . $ 18.03 $ 18.46 $ 18.35 $ 18.36 $ 18.55 $ 17.98
-------- -------- -------- -------- -------- --------
INCOME FROM OPERATIONS
Net investment income(a) . . . . . . . . . . . . . . .35 .90 .99 1.08 1.04 1.16
Net realized and unrealized gain (loss). . . . . . . (.10) (.36) .11 -- (.19) .59
-------- -------- -------- -------- -------- --------
Total income from operations . . . . . . . . . . . .25 .54 1.10 1.08 .85 1.75
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS
From net investment income . . . . . . . . . . . . . (.26) (.97) (.99) (1.09) (1.04) (1.18)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . $ 18.02 $ 18.03 $ 18.46 $ 18.35 $ 18.36 $ 18.55
======== ======== ======== ======== ======== ========
TOTAL RETURN (%)(b)(c). . . . . . . . . . . . . . . . 1.39 3.03 6.09 6.02 4.76 9.95
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) . . . . . . 449,192 447,590 260,539 229,470 222,983 183,577
Ratios to average net assets (%)(c)(d):
Operating expenses . . . . . . . . . . . . . . . . .71 .74 .66 .66 .70 .58
Net investment income. . . . . . . . . . . . . . . 5.78 5.22 5.37 5.70 5.70 6.41
Portfolio turnover rate (%). . . . . . . . . . . . . 39.14 177.08 129.85 213.14 264.40 269.31
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not 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) The ratios for periods less than one year are annualized.
Short Term Bond Fund 161
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 2000 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 29 different investment portfolios referred to as "Funds."
These financial statements report on ten 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.
The Fund's Board of Trustees approved a change in the Fund's fiscal year
end from December 31 to October 31. As a result, this financial report
reflects the three-month period commencing on January 1, 2000 through April
30, 2000.
On February 26, 1999, the Fixed Income II Fund acquired all the net assets
of the Volatility Constrained Bond Fund (one of the Funds of the Investment
Company not presented herein) pursuant to a plan of reorganization approved
by the Volatility Constrained Bond Fund shareholders. The acquisition was
accomplished by a tax-free exchange of 8,934,738 shares of the Fixed Income
II Fund (valued at $163,684,403) for the 8,932,673 shares of the Volatility
Constrained Bond Fund on February 26, 1999. The Volatility Constrained Bond
Fund's net assets of $163,684,403, including $495,215 of unrealized
depreciation, were combined with those of the Fixed Income II Fund to form
the new Short Term Bond Fund. The aggregate net assets of the Fixed Income
II Fund and the Volatility Constrained Bond Fund immediately before the
acquisition were $320,538,146 and $163,684,403, respectively.
In addition, the Short Term Bond Fund made a reclassification among certain
of its capital accounts to reflect the acquisition of the Volatility
Constrained Bond Fund, without impacting its net asset value. The following
reclassification has been made for the year ended December 31, 1999:
<TABLE>
<CAPTION>
UNDISTRIBUTED NET ACCUMULATED NET PAID-IN
INVESTMENT INCOME REALIZED GAIN (LOSS) CAPITAL
-------------------- ---------------------- ----------
<S> <C> <C> <C>
Short Term Bond Fund $42,226 (9,588,387) $9,546,161
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with generally
accepted accounting principles ("GAAP") 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.
Short-term investments 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 specific identified cost incurred by each money
manager within a particular fund.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded on the accrual basis.
162 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
AMORTIZATION AND ACCRETION: All premiums and discounts, including original
issue discounts, for the Funds 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 and capital gains. Therefore, no
federal income tax provision was required for the Funds.
At December 31, 1999, the following 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:
<TABLE>
<CAPTION>
12/31/01 12/31/02 12/31/03 12/31/04
-------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C>
Emerging Markets $ -- $ -- $ (2,887,175) (348,806)
Real Estate Securities -- -- -- --
Short Term Bond (4,813,748) (5,161,817) (2,834,049) (1,947,924)
Fixed Income I -- -- -- --
Fixed Income III -- -- -- --
12/31/05 12/31/06 12/31/07 TOTALS
-------------- ---------------- ------------- --------------
Emerging Markets $ -- $ (56,335,865) $(26,958,651) $ (86,530,497)
Real Estate Securities -- (2,695,613) (22,446,311) (25,141,924)
Short Term Bond (574,853) (51,911) (3,470,874) (14,041,428)*
Fixed Income I -- -- (13,116,706) (13,116,706)
Fixed Income III -- -- (12,609,539) (12,609,539)
</TABLE>
* A portion of the loss carryforward was acquired from the Volatility
Constrained Bond Fund (See Note 1) and may be limited to offset future
capital gains of the Fund to the extent provided by regulations.
The aggregate cost of investments and the composition of gross unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of April 30, 2000 are as follows:
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Equity I $ 1,277,403,206 $ 447,129,450 $ (66,105,860) $ 381,023,590
Equity II 707,180,914 183,353,967 (44,411,490) 138,942,477
Equity III 143,503,183 26,967,845 (8,671,822) 18,296,023
Equity Q 1,046,939,279 494,126,922 (89,624,297) 404,502,625
International 1,018,457,863 313,159,263 (108,761,132) 204,398,131
Emerging Markets 387,938,246 101,060,230 (61,176,340) 39,883,890
Real Estate Securities 626,333,086 75,067,360 (43,266,537) 31,800,823
Short Term Bond 462,385,028 97,013 (6,890,590) (6,793,577)
Fixed Income I 1,243,277,307 6,630,474 (36,892,171) (30,261,697)
Fixed Income III 587,822,999 2,041,279 (14,779,279) (12,738,000)
</TABLE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: For all Funds, income
dividends and capital gain distributions, if any, are recorded on the ex-
dividend date. Dividends are generally declared and paid quarterly, except
for the International Fund, which generally declares and pays dividends
annually. 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.
Notes to Financial Statements 163
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from 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, certain securities sold at a loss
and by recording gains and losses from securities transactions on the basis
of specific identified cost incurred by each money manager for financial
reporting purposes and on the basis of specific identified cost incurred by
each Fund for tax purposes.
EXPENSES: The Funds, and when appropriate each Class, will pay their own
expenses other than those expressly assumed by Frank Russell Investment
Management Company ("FRIMCo" or "Advisor"). Most expenses can be directly
attributed to the individual Funds. Expenses which cannot be directly
attributed to a specific Fund or Class are allocated among all Funds and/or
Classes based on their relative net assets.
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.
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 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.
164 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
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, Emerging Markets, Fixed
Income I 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 and are generally limited to the amount of unrealized gain on the
contracts, if any, that are recognized in the Statement of Assets and
Liabilities. Realized gains or losses arising from such transactions are
included in net realized gain (or loss) from foreign currency-related
transactions. Open contracts at April 30, 2000, 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," "delayed settlement" or
"when issued" 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.
INVESTMENT IN EMERGING MARKETS: Investing in Emerging Markets may involve
special risks and considerations for the Emerging Markets Fund not
typically associated with investing in the United States markets. These
risks include revaluation of currencies, high rates of inflation,
repatriation, restrictions on income and capital, and future adverse
political and economic developments. Moreover, securities issued in these
markets may be less liquid, subject to government ownership controls,
delayed settlements, and their prices more volatile than those of
comparable securities in the United States.
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 call and put options on foreign currencies. The
domestic equity Funds may utilize options to equitize liquidity reserve
balances.
When a Fund writes a covered call or a 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. Realized gains (losses) on
purchased options are included in net realized gain (loss) from
investments.
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 market 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.
Notes to Financial Statements 165
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
FUTURES CONTRACTS: 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 market 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 period ended April 30, 2000, purchases and sales of
investment securities (excluding US Government and Agency obligations,
short-term investments, options, futures and repurchase agreements) were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES PURCHASES SALES
-------------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C>
Equity I $1,029,560,612 $987,860,978 Emerging Markets $ 131,811,027 $ 121,084,207
Equity II 499,152,020 501,095,256 Real Estate Securities 215,441,359 192,201,922
Equity III 99,294,671 101,220,600 Short Term Bond 96,674,185 82,480,642
Equity Q 349,783,239 290,257,442 Fixed Income I 93,600,335 94,583,921
International 444,234,398 465,189,880 Fixed Income III 90,587,732 74,564,305
</TABLE>
Purchases and sales of US Government and Agency obligations (excluding
short-term investments, options, futures and repurchase agreements) were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
-------------- --------------
<S> <C> <C>
Short Term Bond $ 74,158,781 $ 95,509,796
Fixed Income I 594,605,103 605,604,068
Fixed Income III 166,708,856 167,718,125
</TABLE>
WRITTEN OPTIONS CONTRACTS: Fund transactions in written options contracts
for the period ended April 30, 2000 were as follows:
<TABLE>
<CAPTION>
FIXED INCOME I
NOTIONAL VALUE (1) PREMIUMS
(000) RECEIVED
------------------ --------------
<S> <C> <C>
Outstanding December 31, 1999 $ 16,435 $ 147,312
Opened 26,279 304,495
Closed (20,645) (178,030)
Exercised -- --
Expired (2,094) (62,348)
--------- ---------
Outstanding April 30, 2000 $ 19,975 $ 211,429
========= =========
FIXED INCOME III
<CAPTION>
NOTIONAL VALUE (1) PREMIUMS
(000) RECEIVED
------------------ --------------
<S> <C> <C>
Outstanding December 31, 1999 $ 23,515 $ 313,644
Opened 25,820 470,270
Closed (23,045) (241,567)
Exercised (7,000) (11,843)
Expired (5,526) (125,561)
--------- ---------
Outstanding April 30, 2000 $ 13,764 $ 404,943
========= =========
</TABLE>
(1) Each $100,000 notional value represents 1 contract.
166 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
4. RELATED PARTIES
ADVISOR AND ADMINISTRATOR: FRIMCo advises and administers all of the Funds
which comprise the Investment Company, and advises the Money Market and the
US Government Money Market Funds (two series of the Investment Company not
presented in this report). FRIMCo is a wholly owned subsidiary of Frank
Russell Company, a wholly owned subsidiary of The Northwestern Mutual Life
Insurance Company. Frank Russell Company researches and recommends to
FRIMCo, and to the Investment Company, one or more investment management
organizations to manage the portfolio of each 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 herein). As of
April 30, 2000, $529,258,000 of the Money Market Fund's net assets
represents investments by these Funds and $419,356,000 represents the
investments of other affiliated Funds not presented herein.
The advisory and administrative fees, which are based upon the average
daily net assets of each Fund and the rates specified in the table below,
are payable monthly and aggregated $16,284,511 and $1,379,287 respectively,
for the period ended April 30, 2000. FRIMCo reduces its advisory fees for
each Fund by advisory fees incurred on assets invested in the Money Market
Fund thereby eliminating any duplication of fees.
<TABLE>
<CAPTION>
ANNUAL RATE ANNUAL RATE
------------------------------ ------------------------------
ADVISOR ADMINISTRATOR ADVISOR ADMINISTRATOR
---------- --------------- ---------- ---------------
<S> <C> <C> <C> <C> <C>
Equity I 0.55% 0.05% Emerging Markets 1.15% 0.05%
Equity II 0.70 0.05 Real Estate Securities 0.80 0.05
Equity III 0.55 0.05 Short Term Bond 0.45 0.05
Equity Q 0.55 0.05 Fixed Income I 0.25 0.05
International 0.70 0.05 Fixed Income III 0.50 0.05
</TABLE>
In accordance with the special servicing agreement entered into in February
1999 by the Advisor, the Fund of Funds (a group of five Fund of Funds and
the Tax-Managed Global Equity Fund which invest in a combination of Class S
shares of the Investment Company's portfolios) and the three Funds listed
below, the ("Underlying Funds") in which the Fund of Funds invest, expenses
from the operation of the Fund of Funds are borne by the Underlying Funds
based on each Underlying Fund's proportionate share of assets owned by the
Fund of Funds. No Underlying Funds will be charged expenses that exceed the
estimated savings to each respective Underlying Fund. These estimated
savings result from the elimination of separate shareholder accounts which
either currently are or have potential to be invested in the Underlying
Funds. In the event that the financial benefits to the Underlying Funds do
not exceed aggregate expenses of any Fund of Fund, the Advisor will
reimburse the respective Fund.
For the period ended April 30, 2000, the special servicing expense charged
to the Underlying Funds amounted to:
<TABLE>
<CAPTION>
AMOUNT
UNDERLYING FUND PAID
---------------------- ----------
<S> <C>
Emerging Markets $ 18,719
Real Estate Securities 24,991
Short-Term Bond 61,430
</TABLE>
ANALYTIC SERVICES: Fees for analytic services provided to the Funds are
paid or accrued to Russell/Mellon Analytical Services, an affiliate of the
Investment Company. Russell/Mellon Analytical Services provides its TruVP
System to the Funds, pursuant to a written Service Agreement. The TruVP
System provides analytics used by the investment department.
TRANSFER AGENT: The Funds have a contract with FRIMCo to provide transfer
agent services to the Investment Company. Total fees for the funds reported
herein for the period ended April 30, 2000 were $1,874,131.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has a
Distribution Plan pursuant to Rule 12b-1 (the "Plan") under the 1940 Act.
Under this Plan, the Investment Company was authorized to make payments to
the Russell Fund Distributors (the "Distributor") which is a wholly-owned
subsidiary of FRIMCo, or any Selling Agents, as defined in the Plan, an
amount (the "12b-1 Fee") for sales support services provided and related
expenses incurred which were primarily intended to result in the sale of
the Class C shares subject to the Distribution Plan. The 12b-1 distribution
payments shall not exceed 0.75% of the average daily net assets of a Fund's
Class C shares on an annual basis.
Notes to Financial Statements 167
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
In addition, the Investment Company has adopted a Shareholder Services Plan
(the "Services Plan") under which the Funds may make payments to the
Distributor or any Servicing Agent for any activities or expenses primarily
intended to assist, support or service the Servicing Agents' clients who
beneficially own Class E and Class C shares of the Funds. The shareholder
servicing payments shall not exceed 0.25% of the average daily net assets
of a Fund's Class E and Class C shares on an annual basis.
BROKERAGE COMMISSIONS: The Funds may effect portfolio transactions through
Frank Russell Securities, Inc., an affiliate of the Advisor, when a money
manager determines that the Fund will receive competitive execution, price,
and commissions. Upon completion of such transactions, Frank Russell
Securities, Inc. will refund up to 70% of the commissions paid by that Fund
after reimbursement for research services provided to FRIMCo. Amounts
retained by Frank Russell Securities, Inc. for the period ended April 30,
2000 were as follows:
<TABLE>
<S> <C> <C> <C>
Equity I $42,028 Equity Q $ 6,228
Equity II 8,079 International 104,261
Equity III 8,711 Emerging Markets 34,731
</TABLE>
Additionally, the Funds paid brokerage commissions to non-affiliated
brokers who provided brokerage and research services to the Advisor.
BOARD OF TRUSTEES: The Investment Company pays each of its Trustees not
affiliated with FRIMCo a retainer of $55,000 per year plus out-of-pocket
expenses. Total Trustee expenses for the period ended April 30, 2000 were
$47,048, and were allocated to each Fund where appropriate, on a pro rata
basis, including 19 affiliated Funds not presented herein.
5. FUND SHARE TRANSACTIONS
Share transactions for the period ended April 30, 2000, the year ended
December 31, 1999, and the year ended December 31, 1998 were as follows:
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
----------------------------------------- -------------------------------------
2000 1999 1998 2000 1999 1998
----------- ------------- ------------ --------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
EQUITY I
CLASS I
Proceeds from shares sold 5,331,570 14,156,753 11,649,184 $ 189,792 $ 524,846 $ 382,855
Proceeds from reinvestment of distributions 809,009 4,034,855 2,804,239 27,546 145,015 91,198
Payments for shares redeemed (5,523,304) (13,888,434) (12,417,244) (198,840) (518,304) (413,664)
----------- ------------- ------------ --------- ---------- -------------
Net increase (decrease) 617,275 4,303,174 2,036,179 (18,498) 151,557 60,389
----------- ------------- ------------ --------- ---------- -------------
CLASS E (a)
Proceeds from shares sold 142,232 1,354,362 -- 5,156 51,240 --
Proceeds from reinvestment of distributions 26,234 115,629 -- 895 4,159 --
Payments for shares redeemed (174,620) (155,939) -- (6,241) (5,805) --
----------- ------------- ------------ --------- ---------- -------------
Net increase (decrease) (6,154) 1,314,052 -- (190) 49,594 --
----------- ------------- ------------ --------- ---------- -------------
CLASS Y (b)
Proceeds from shares sold 1,231,097 -- -- 45,403 -- --
Proceeds from reinvestment of distributions 2,342 -- -- 86 -- --
Payments for shares redeemed -- -- -- -- -- --
----------- ------------- ------------ --------- ---------- -------------
Net increase (decrease) 1,233,439 -- -- 45,489 -- --
----------- ------------- ------------ --------- ---------- -------------
Total net increase (decrease) 1,844,560 5,617,226 2,036,179 $ 63,797 $ 201,151 $ 60,389
=========== ============= ============ ========= ========== =============
</TABLE>
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
------------------------------------------ ------------------------------------------
2000 1999 1998 2000 1999 1998
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
EQUITY II
CLASS I
Proceeds from shares
sold 2,484,313 8,372,629 6,590,024 $ 92,042 $ 260,038 $ 209,065
Proceeds from
reinvestment of
distributions 366,060 1,054,369 1,013,507 13,358 34,320 30,141
Payments for shares
redeemed (3,333,065) (5,608,745) (4,974,795) (127,016) (177,851) (158,755)
---------- ---------- ---------- --------- --------- ---------
Net increase
(decrease) (482,692) 3,818,253 2,628,736 (21,616) 116,507 80,451
---------- ---------- ---------- --------- --------- ---------
CLASS E (a)
Proceeds from shares
sold 177,052 1,114,666 -- 6,521 35,655 --
Proceeds from
reinvestment of
distributions 17,370 42,280 -- 633 1,407 --
Payments for shares
redeemed (198,333) (218,128) -- (7,368) (7,131) --
---------- ---------- ---------- --------- --------- ---------
Net increase
(decrease) (3,911) 938,818 -- (214) 29,931 --
---------- ---------- ---------- --------- --------- ---------
CLASS Y (b)
Proceeds from shares
sold 1,138,509 -- -- 44,289 -- --
Proceeds from
reinvestment of
distributions 532 -- -- 20 -- --
Payments for shares
redeemed -- -- -- -- -- --
---------- ---------- ---------- --------- --------- ---------
Net increase
(decrease) 1,139,041 -- -- 44,309 -- --
---------- ---------- ---------- --------- --------- ---------
Total net increase
(decrease) 652,438 4,757,071 2,628,736 $ 22,479 $ 146,438 $ 80,451
========== ========== ========== ========= ========= =========
EQUITY III
CLASS I
Proceeds from shares
sold 1,295,774 1,957,585 1,912,599 $ 31,279 $ 55,751 $ 57,633
Proceeds from
reinvestment of
distributions 15,780 577,930 832,353 399 15,142 23,877
Payments for shares
redeemed (1,838,131) (3,331,811) (3,641,754) (44,636) (94,786) (106,698)
---------- ---------- ---------- --------- --------- ---------
Total net increase
(decrease) (526,577) (796,296) (896,802) (12,958) (23,893) (25,188)
---------- ---------- ---------- --------- --------- ---------
CLASS E (a)
Proceeds from shares
sold 37,779 337,230 -- 906 9,867 --
Proceeds from
reinvestment of
distributions 1,011 22,539 -- 26 577 --
Payments for shares
redeemed (31,914) (56,941) -- (772) (1,592) --
---------- ---------- ---------- --------- --------- ---------
Net increase
(decrease) 6,876 302,828 -- 160 8,852 --
---------- ---------- ---------- --------- --------- ---------
Total net increase
(decrease) (519,701) (493,468) (896,802) $ (12,798) $ (15,041) $ (25,188)
========== ========== ========== ========= ========= =========
</TABLE>
(a) Share transactions for Class E are for the period May 14, 1999 (commencement
of sale of shares) to December 31, 1999.
(b) Share transactions for Class Y are for the period March 30, 2000
(commencement of sale of shares) to April 30, 2000.
Notes to Financial Statements 169
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
---------------------------------------- ---------------------------------
2000 1999 1998 2000 1999 1998
EQUITY Q ---------- ----------- ----------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
CLASS I
Proceeds from shares sold 4,485,545 9,489,238 7,788,647 $ 179,531 $ 402,156 $ 298,739
Proceeds from reinvestment of distributions 645,887 4,403,495 2,920,742 24,574 176,157 109,535
Payments for shares redeemed (4,402,187) (10,314,554) (8,992,387) (180,139) (437,835) (344,894)
---------- ----------- ----------- --------- --------- ---------
Total net increase (decrease) 728,245 3,578,179 1,717,002 23,966 140,478 63,380
---------- ----------- ----------- --------- --------- ---------
CLASS E (a)
Proceeds from shares sold 199,563 891,875 -- 8,046 38,092 --
Proceeds from reinvestment of distributions 17,481 101,824 -- 664 4,077 --
Payments for shares redeemed (277,622) (254,253) -- (11,200) (10,726) --
---------- ----------- ----------- --------- --------- ---------
Net increase (decrease) (60,578) 739,446 -- (2,490) 31,443 --
---------- ----------- ----------- --------- --------- ---------
CLASS Y (b)
Proceeds from shares sold 1,108,773 -- -- 46,857 -- --
Proceeds from reinvestment of distributions 2,064 -- -- 87 -- --
Payments for shares redeemed -- -- -- -- -- --
---------- ----------- ----------- --------- --------- ---------
Net increase (decrease) 1,110,837 -- -- 46,944 -- --
---------- ----------- ----------- --------- --------- ---------
Total net increase (decrease) 1,778,504 4,317,625 1,717,002 $ 68,420 $ 171,921 $ 63,380
========== =========== =========== ========= ========= =========
INTERNATIONAL
CLASS I
Proceeds from shares sold 3,030,278 8,507,370 8,855,148 $ 136,056 $ 342,619 $ 330,798
Proceeds from reinvestment of distributions 807,160 1,496,665 756,486 35,628 64,808 27,770
Payments for shares redeemed (3,783,279) (9,584,595) (11,065,451) (171,184) (389,449) (412,202)
---------- ----------- ----------- --------- --------- ---------
Net increase (decrease) 54,159 419,440 (1,453,817) 500 17,978 (53,634)
---------- ----------- ----------- --------- --------- ---------
CLASS E (a)
Proceeds from shares sold 69,737 799,750 -- 3,144 31,654 --
Proceeds from reinvestment of distributions 18,560 29,732 -- 819 1,314 --
Payments for shares redeemed (83,576) (175,179) -- (3,701) (7,644) --
---------- ----------- ----------- --------- --------- ---------
Net increase (decrease) 4,721 654,303 -- 262 25,324 --
---------- ----------- ----------- --------- --------- ---------
CLASS Y (b)
Proceeds from shares sold 925,751 -- -- 42,668 -- --
Proceeds from reinvestment of distributions -- -- -- -- -- --
Payments for shares redeemed (43,167) -- -- (1,870) -- --
---------- ----------- ----------- --------- --------- ---------
Net increase (decrease) 882,584 -- -- 40,798 -- --
---------- ----------- ----------- --------- --------- ---------
Total net increase (decrease) 941,464 1,073,743 (1,453,817) $ 41,560 $ 43,302 $ (53,634)
========== =========== =========== ========= ========= =========
</TABLE>
(a) Share transactions for Class E are for the period May 14, 1999 (commencement
of sale of shares) to December 31, 1999.
(b) Share transactions for Class Y are for the period March 30, 2000
(commencement of sale of shares) to April 30, 2000.
170 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
---------------------------------------- --------------------------------
2000 1999 1998 2000 1999 1998
EMERGING MARKETS ---------- ----------- ----------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
CLASS S
Proceeds from shares sold 6,107,256 14,900,682 22,508,124 $ 76,342 $ 140,982 $ 221,964
Proceeds from reinvestment of distributions 131,148 281,096 188,272 1,688 2,639 2,070
Payments for shares redeemed (3,856,535) (15,483,258) (16,241,312) (48,782) (152,294) (149,675)
---------- ----------- ----------- -------- --------- ---------
Net increase (decrease) 2,381,869 (301,480) 6,455,084 29,248 (8,673) 74,359
---------- ----------- ----------- -------- --------- ---------
CLASS E (c)
Proceeds from shares sold 82,168 852,482 4,558 1,033 8,575 38
Proceeds from reinvestment of distributions 1,435 1,091 -- 19 13 --
Payments for shares redeemed (72,446) (353,467) -- (900) (3,674) --
---------- ----------- ----------- -------- --------- ---------
Net increase (decrease) 11,157 500,106 4,558 152 4,914 38
---------- ----------- ----------- -------- --------- ---------
CLASS C (d)
Proceeds from shares sold 55,993 147,290 -- 708 1,466 --
Proceeds from reinvestment of distributions 229 45 -- 3 -- --
Payments for shares redeemed (8,937) (16,617) -- (113) (167) --
---------- ----------- ----------- -------- --------- ---------
Net increase (decrease) 47,285 130,718 -- 597 1,299 --
---------- ----------- ----------- -------- --------- ---------
Total net increase (decrease) 2,440,311 329,344 6,459,642 $ 29,997 $ (2,461) $ 74,397
========== =========== =========== ======== ========= =========
REAL ESTATE SECURITIES
CLASS S
Proceeds from shares sold 3,595,894 10,307,873 9,286,206 $ 82,713 $ 247,786 $ 254,637
Proceeds from reinvestment of distributions 268,519 1,500,692 1,114,356 6,179 34,444 30,226
Payments for shares redeemed (3,367,528) (9,610,223) (6,759,461) (77,759) (227,746) (178,741)
---------- ----------- ----------- -------- --------- ---------
Total net increase decrease 496,885 2,198,342 3,641,101 11,133 54,484 106,122
---------- ----------- ----------- -------- --------- ---------
CLASS E (a)
Proceeds from shares sold 49,837 378,070 28,391 1,154 9,451 715
Proceeds from reinvestment of distributions 3,887 13,837 375 89 312 9
Payments for shares redeemed (35,576) (113,177) (6,530) (828) (2,588) (183)
---------- ----------- ----------- -------- --------- ---------
Total net increase (decrease) 18,148 278,730 22,236 415 7,175 541
---------- ----------- ----------- -------- --------- ---------
CLASS C (b)
Proceeds from shares sold 27,839 84,921 -- 635 2,034 --
Proceeds from reinvestment of distributions 1,148 2,678 -- 26 59 --
Payments for shares redeemed (6,303) (9,550) -- (144) (227) --
---------- ----------- ----------- -------- --------- ---------
Net increase (decrease) 22,684 78,049 -- 517 1,866 --
---------- ----------- ----------- -------- --------- ---------
Total net increase (decrease) 537,717 2,555,121 3,663,337 12,065 $ 63,525 $ 106,663
========== =========== =========== ======== ========= =========
</TABLE>
(a) Share transactions for Class E are for the period May 14, 1999
(commencement of sale of shares) to December 31, 1999.
(b) Share transaction for Class Y are for the period March 30, 2000
(commencement of sales) to April 30, 2000.
(c) Effective May 18, 1998, Class C was renamed Class E.
(d) Share transactions for Class C are for the period January 27, 1999
(commencement of sale of shares) to December 31, 1999.
Notes to Financial Statements 171
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
---------------------------------------- --------------------------------
2000 1999 1998 2000 1999 1998
SHORT TERM BOND ----------- ----------- ----------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
CLASS S
Proceeds from shares sold 3,826,772 12,497,701 6,088,176 $ 69,295 $ 229,357 $ 112,707
Shares issued in connection with acquisition of
Volatility Constrained Bond Fund -- 8,934,738 -- -- 163,684 --
Proceeds from reinvestment of distributions 287,377 1,023,507 604,269 5,190 18,557 11,141
Payments for shares redeemed (4,012,038) (11,748,485) (5,088,094) (72,656) (214,600) (94,296)
----------- ----------- ----------- --------- --------- ---------
Total net increase (decrease) 102,111 10,707,461 1,604,351 1,829 196,998 29,552
----------- ----------- ----------- --------- --------- ---------
CLASS E (c)
Proceeds from shares sold 82,434 550,310 -- 1,500 10,084 --
Proceeds from reinvestment of distributions 7,364 14,963 -- 133 271 --
Payments for shares redeemed (44,428) (84,513) -- (806) (1,538) --
----------- ----------- ----------- --------- --------- ---------
Total net increase (decrease) 45,370 480,760 -- 827 8,817 --
----------- ----------- ----------- --------- --------- ---------
CLASS C (d)
Proceeds from shares sold 9,732 104,488 -- 177 1,907 --
Proceeds from reinvestment of distributions 600 1,225 -- 11 22 --
Payments for shares redeemed (11,274) (61,555) -- (205) (1,119) --
----------- ----------- ----------- --------- --------- ---------
Net increase (decrease) (942) 44,158 -- (17) 810 --
----------- ----------- ----------- --------- --------- ---------
Total net increase (decrease) 146,539 11,232,379 1,604,351 $ 2,639 $ 206,625 $ 29,552
=========== =========== =========== ========= ========= =========
FIXED INCOME I
CLASS I
Proceeds from shares sold 6,434,160 18,807,025 18,203,608 $ 131,264 $ 402,034 $ 398,149
Proceeds from reinvestment of distributions 597,744 2,614,237 2,497,093 12,284 54,266 54,549
Payments for shares redeemed (15,310,619) (14,519,562) (12,833,370) (314,131) (310,433) (281,502)
----------- ----------- ----------- --------- --------- ---------
Total net increase (decrease) (8,278,715) 6,901,700 7,867,331 (170,583) 145,867 171,196
----------- ----------- ----------- --------- --------- ---------
CLASS E (a)
Proceeds from shares sold 155,702 2,062,938 -- 3,169 43,403 --
Proceeds from reinvestment of distributions 27,893 61,886 -- 573 1,272 --
Payments for shares redeemed (211,783) (353,494) -- (4,313) (7,315) --
----------- ----------- ----------- --------- --------- ---------
Net increase (decrease) (28,188) 1,771,330 -- (571) 37,360 --
----------- ----------- ----------- --------- --------- ---------
CLASS Y (b)
Proceeds from shares sold 8,093,084 -- -- 166,798 -- --
Proceeds from reinvestment of distributions 130,516 -- -- 2,676 -- --
Payments for shares redeemed -- -- -- -- -- --
----------- ----------- ----------- --------- --------- ---------
Net increase (decrease) 8,223,60 -- -- 169,474 -- --
----------- ----------- ----------- --------- --------- ---------
Total net increase (decrease) (83,303) 8,673,030 7,867,331 $ (1,680) $ 183,227 $ 171,196
=========== =========== =========== ========= ========= =========
</TABLE>
(a) Effective May 18, 1998, Class C was renamed Class E.
(b) Share transactions for Class C are for the period January 27, 1999
(commencement of sale of shares) to December 31, 1999.
(c) Share transactions for Class E are for the period February 18, 1999
(commencement of sale of shares) to December 31, 1999.
(d) Share transactions for Class C are for the period March 3, 1999
(commencement of sale of shares) to December 31, 1999.
172 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
------------------------------------------ ------------------------------------
2000 1999 1998 2000 1999 1998
----------- -------------- -------------- --------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
FIXED INCOME III
CLASS I
Proceeds from shares sold 6,845,026 20,354,848 20,310,407 $ 66,709 $ 204,642 $ 212,963
Proceeds from reinvestment of distributions 754,393 2,728,636 3,397,977 6,599 26,843 35,268
Payments for shares redeemed (6,732,764) (19,561,642) (15,209,804) (69,404) (196,406) (159,236)
----------- -------------- -------------- --------- ---------- -------------
Total net increase (decrease) 866,655 3,521,842 8,498,580 8,404 35,079 88,995
----------- -------------- -------------- --------- ---------- -------------
CLASS E (a)
Proceeds from shares sold 177,253 308,301 -- 1,707 3,102 --
Proceeds from reinvestment of distributions 6,985 10,658 -- 68 104 --
Payments for shares redeemed (3,512) (72,605) -- (34) (709) --
----------- -------------- -------------- --------- ---------- -------------
Net increase (decrease) 180,726 246,354 -- 1,741 2,497 --
----------- -------------- -------------- --------- ---------- -------------
Total net increase (decrease) 1,047,381 3,768,196 8,498,580 $ 10,145 $ 37,576 $ 88,995
=========== ============== ============== ========= ========== =============
</TABLE>
(a) Share transactions for Class E are for the period May 14, 1999
(commencement of sale of shares) to December 31, 1999.
(b) Share transactions for Class Y are for the period March 30, 2000
(commencement of sale of shares) to April 30, 2000.
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $75
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .10% on the average daily unused amount of the
aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually (Federal Fund Rate
plus 1.75% prior to and including February 27, 2000), is calculated based
on the market rates at the time of the borrowing. The Fund may borrow up to
a maximum of 10 percent of the value of its net assets under the agreement.
The agreement will expire December 30, 2000. The Fund did not have any
drawdowns for the period ended April 30, 2000.
7. BENEFICIAL INTEREST
As of April 30, 2000, the following Funds have one or more shareholders
with shares of beneficial interest of greater than 10% of the total
outstanding shares of each respective Fund:
<TABLE>
<CAPTION>
% % % %
------------------------------------
<S> <C> <C> <C> <C>
Equity I - Class I 10.1 -- -- --
Equity I - Class E 33.4 -- -- --
Equity I - Class Y 100.0 -- -- --
Equity II - Class E 46.8 -- -- --
Equity II - Class Y 100.0 -- -- --
Equity III - Class E 24.4 18.3 16.4 --
Equity Q - Class I 11.5 -- -- --
Equity Q - Class E 35.8 14.9 -- --
Equity Q - Class Y 100.0 -- -- --
International - Class I 10.7 -- -- --
International - Class E 18.2 12.1 -- --
International - Class Y 100.0 -- -- --
Emerging Markets - Class E 14.9 13.9 -- --
Real Estate Securities - Class E 19.6 16.3 -- --
Short Term Bond - Class E 38.9 -- -- --
Short Term Bond - Class C 43.8 11.7 11.4 --
Fixed Income I - Class E 24.1 17.8 12.3 --
Fixed Income I - Class Y 100.0 -- -- --
Fixed Income III - Class I 14.3 -- -- --
Fixed Income III - Class E 22.7 18.7 15.4 11.3
</TABLE>
Notes to Financial Statements 173
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
Trustees
Lynn L. Anderson, Chairman
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Kristianne Blake
Lee C. Gingrich
Eleanor W. Palmer
Raymond P. Tennison, Jr.
Trustees Emeritus
George F. Russell, Jr.
Officers
Lynn L. Anderson, Chairman of the Board and President
Peter Apanovitch, Manager of Short Term Investment Funds
Mark E. Swanson, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary and General Counsel
Manager, Transfer and Dividend Paying Agent
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
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
Office of Shareholder Inquiries
909 A Street
Tacoma, WA 98402
(800) RUSSEL4
(800) 787-7354
Legal Counsel
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
Independent Accountants
PricewaterhouseCoopers LLP
1001 4th Avenue Plaza
Suite 4200
Seattle, WA 98154
Distributor
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
Money Managers
Equity I Fund
Alliance Capital Management L.P., Minneapolis, MN
Barclays Global Investors, San Francisco, CA
Equinox Capital Management, LLC, New York, NY
Jacobs Levy Equity Management, Inc., Roseland, NJ
Marsico Capital Management, LLC, Denver, CO
Peachtree Asset Management, Atlanta, GA
Sanford C. Bernstein & Co., Inc., New York, NY
Strong Capital Management, Inc. Menomonee Falls, WI
Suffolk Capital Management, Inc., New York, NY
Turner Investment Partners, Inc. Berwyn, PA
Westpeak Investment Advisors, L.P., Boulder, CO
Equity II Fund
CapitalWorks Investment Partners, LLC, San Diego, CA
Delphi Management, Inc., Boston, MA
Fiduciary Trust Company 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
Westpeak Investment Advisors, L.P., Boulder, CO
Equity III Fund
Barclays Global Investors, San Francisco, CA
Equinox Capital Management, LLC, New York, NY
Westpeak Investment Advisors, L.P., Boulder, CO
Equity Q Fund
Barclays Global Investors, San Francisco, CA
Franklin Portfolio Associates, LLC, Boston, MA
Jacobs Levy Equity Management, Inc., Roseland, NJ
J.P. Morgan Investment Management, Inc., New York, NY
International Fund
Delaware International Advisers Ltd., London, England
Fidelity Management Trust Company, Boston, MA
J.P. Morgan Investment Management, Inc., New York, NY
Mastholm Asset Management, LLC, Bellevue, WA
Montgomery Asset Management, LLC, San Francisco, CA
Oechsle International Advisors, LLC, Boston, MA
Sanford C. Bernstein & Co., Inc., New York, NY
The Boston Company Asset Management, Inc., Boston, MA
Emerging Markets Fund
Foreign & Colonial Emerging Markets Limited, London, England
Genesis Asset Managers Limited, London, England
Nicholas Applegate Capital Management, San Diego, CA
Sanford C. Bernstein & Co., Inc., New York, NY
Schroder Investment Management North America Limited,
New York, NY
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
174 Manager, Money Managers and Service Providers
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
Real Estate Securities Fund
AEW Capital Management, L.P., Boston, MA
Cohen & Steers Capital Management, Inc., New York, NY
Security Capital Global Capital Management Group Inc., Chicago, IL
Short Term Bond Fund
BlackRock Financial Management, Inc., New York, NY
Standish, Ayer & Wood, Inc., Boston, MA
STW Fixed Income Management California, Santa Barbara, CA
Fixed Income I Fund
Lincoln Capital Management Company, Chicago, IL
Pacific Investment Management Company, Newport Beach, CA
Standish, Ayer & Wood, Inc., Boston, MA
Fixed Income III Fund
Lazard Asset Management, New York, NY
Miller Anderson & Sherrerd, West Conshohocken, PA
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.
Manager, Money Managers and Service Providers 175
<PAGE>
[LOGO OF FRANK RUSSELL]
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com
<PAGE>
xxxxxxxxxxxxxxxxxxxxxx
x MONEY MARKET FUNDS x
xxxxxxxxxxxxxxxxxxxxxx
FRANK RUSSELL INVESTMENT COMPANY
2000 Semiannual Report
CLASS S SHARES
MONEY MARKET FUND
US GOVERNMENT MONEY MARKET FUND
TAX FREE MONEY MARKET FUND
APRIL 30, 2000
[LOGO OF FRANK RUSSELL]
<PAGE>
FRANK RUSSELL INVESTMENT
COMPANY
Frank Russell Investment Company is a "series mutual fund" with 29 different
investment portfolios. These financial statements report on three 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>
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
SEMIANNUAL REPORT
APRIL 30, 2000 (UNAUDITED)
TABLE OF CONTENTS
Page
Money Market Fund .......................................................... 2
US Government Money Market Fund ............................................ 10
Tax Free Money Market Fund ................................................. 16
Notes to Financial Statements .............................................. 28
Manager, Money Managers and Service Providers .............................. 31
FRANK RUSSELL INVESTMENT COMPANY - MONEY MARKET FUNDS
Copyright (C) Frank Russell Company 2000. 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, or state and local
taxes. Russell Fund Distributors, Inc., is the distributor of Frank Russell
Investment Company.
<PAGE>
MONEY MARKET FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
--------- -------- ---------- --------
CORPORATE BONDS AND NOTES - 28.8%
American Express Centurion Bank (a) 20,000 6.220 06/08/00 20,000
American Express Centurion Bank (a) 25,000 6.250 07/12/00 25,000
American Express Centurion Bank (a) 10,000 6.250 07/13/00 10,000
Blue Square Funding Ltd. 25,000 5.980 08/29/00 25,000
Chase Manhattan Corp. (a) 5,000 6.371 11/02/00 5,006
First National Bank of Chicago 20,000 5.485 06/05/00 19,999
First Union Corp. (a) 25,000 6.230 06/26/00 25,000
Ford Motor Credit 15,000 6.550 01/23/01 15,000
Gien Raven MLS, Inc. (a) 40,000 6.160 05/01/14 40,000
Grantor Trust Series 1996-2 (a) 6,780 6.250 12/23/06 6,779
Grantor Trust Series 1997-11 (a) 34,174 6.101 12/01/04 34,174
Grantor Trust Series 1998-T67 (a) 20,093 6.101 07/01/04 20,093
Gulf States Paper Corp.
Series 1998 (a) 40,000 6.160 11/01/18 40,000
Illinois Educational Facilities
Authority Revenues (a) 45,300 6.200 07/01/24 45,300
Morganite Industries
Series 1998-A (a) 50,000 6.160 07/01/18 50,000
Norwest Financial, Inc. (a) 50,000 6.175 07/07/00 49,994
Presbyterian Homes & Services
Series B2 (a) 21,955 6.200 12/01/28 21,955
Toyota Motor Credit Corp. 15,000 5.770 07/06/00 15,000
--------
TOTAL CORPORATE BONDS AND NOTES
(cost $468,300) 468,300
--------
YANKEE CERTIFICATES OF DEPOSIT - 21.8%
Bank of Nova Scotia 20,000 5.400 06/01/00 19,999
Bank of Nova Scotia 20,000 6.510 01/16/01 19,993
Bank of Nova Scotia 15,000 6.680 01/02/02 14,996
Bayerische Hypo-Und Vereinsbank AG 25,000 5.270 05/22/00 24,999
Bayerische Hypo-Und Vereinsbank AG 25,000 5.350 05/22/00 24,999
Commerzbank AG 20,000 5.295 05/19/00 19,999
Commerzbank AG 20,000 5.640 06/15/00 19,999
Credit Suisse First Boston Inc. (a) 30,000 6.220 06/07/00 30,000
Credit Suisse First Boston Inc. (a) 25,000 6.240 06/09/00 25,000
Deutsche Bank AG 25,000 5.250 05/18/00 24,999
Deutsche Bank AG 15,000 5.570 06/12/00 14,999
Deutsche Bank AG 25,000 6.750 02/22/01 24,990
UBS AG 20,000 5.410 06/01/00 19,999
UBS AG 10,000 5.600 06/26/00 9,998
UBS AG 25,000 5.660 06/26/00 24,999
UBS AG 15,000 6.820 03/28/01 14,996
Westpac Banking Corp. 20,000 6.720 02/07/01 19,995
--------
TOTAL YANKEE CERTIFICATES OF 354,959
DEPOSIT (cost $354,959) --------
2 Money Market Fund
<PAGE>
MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
--------- -------- ---------- --------
DOMESTIC COMMERCIAL PAPER - 49.1%
Associates Corp. of North America 25,000 6.375 06/15/00 25,027
Blue Circle 49,877 6.160 05/01/00 49,877
BTM Capital Corp. 18,468 6.110 05/08/00 18,446
Dominion Resources 49,634 6.160 05/01/00 49,634
Forrestal Funding Master Trust 50,000 5.930 05/15/00 49,885
Forrestal Funding Master Trust 20,000 6.110 06/06/00 19,878
Gotham Funding Corp. 50,000 6.120 05/01/00 50,000
Gotham Funding Corp. 20,000 6.120 05/03/00 19,993
ING America Insurance Holdings 25,000 5.840 05/03/00 24,992
Intrepid Funding Treasury 25,000 5.910 05/01/00 25,000
Intrepid Funding Treasury 13,250 6.110 06/06/00 13,169
Irish Permanent Treasury 25,000 5.930 05/09/00 24,967
Michigan National 50,000 6.160 05/01/00 50,000
Mitsubishi Motors Credit of America 15,000 6.100 05/03/00 14,995
Mitsubishi Motors Credit of America 20,000 6.120 05/04/00 19,990
Mitsubishi Motors Credit of America 10,000 6.120 05/15/00 9,976
Moat Funding LLC 30,000 6.040 05/01/00 30,000
Moat Funding LLC 15,000 6.020 06/14/00 14,888
National Financiera A 18,000 5.950 05/11/00 17,970
Royal Bank of Canada Trust Co. 15,000 6.450 01/05/01 14,994
Special Purpose Accounts
Receivable Co. 25,000 5.920 05/02/00 24,996
Special Purpose Accounts
Receivable Co. 20,000 6.000 05/23/00 19,927
Stellar Funding Group 25,000 5.920 05/04/00 24,988
Tasmanian Public Finance Corp. 15,000 5.920 05/16/00 14,963
Thames Asset Global Securitization 17,170 6.280 06/15/00 17,035
Thames Asset Global Securitization 25,473 6.170 06/23/00 25,242
Westways Funding III Ltd. 45,352 6.080 05/05/00 45,321
Westways Funding III Ltd. 18,450 6.080 05/08/00 18,428
Westways Funding III Ltd. 18,000 6.090 05/09/00 17,976
Westways Funding III Ltd. 15,000 6.090 05/10/00 14,977
Westways Funding III Ltd. 21,312 6.200 06/01/00 21,198
Yamaha Motor Finance Corp. 10,000 6.180 06/23/00 9,909
--------
TOTAL DOMESTIC COMMERCIAL PAPER 798,641
(cost $798,641) --------
EURODOLLAR TIME DEPOSIT - 0.9%
Canadian Imperial Bank 15,000 6.570 01/01/29 14,996
--------
EURODOLLAR TIME DEPOSIT (cost $14,996) 14,996
--------
Money Market Fund 3
<PAGE>
MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
--------- -------- ---------- --------
UNITED STATES GOVERNMENT
AGENCIES - 1.5%
Aid to Chile Guaranteed Note
(LIBOR Floater)(a) 9,729 6.743 06/01/05 9,735
Aid to INH Portugal Guranteed Note
(LIBOR Floater)(a) 11,250 6.743 12/01/17 11,419
Federal Home Loan Mortgage Corp. 2,000 5.250 01/01/19 1,980
Federal Home Loan Mortgage Corp. 2,000 5.270 01/01/19 1,980
---------
TOTAL UNITED STATES GOVERNMENT 25,114
AGENCIES (cost $25,114) ---------
TOTAL INVESTMENTS - 102.1%
(amortized cost $1,662,010)(b) 1,662,010
OTHER ASSETS AND LIABILITIES,
NET - (2.1%) (34,213)
---------
NET ASSETS - 100.0% 1,627,797
=========
* The interest rate for all securities with a maturity date 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.
Abbreviations:
LIBOR - London Interbank Offered Rate
See accompanying notes which are an integral part of the financial statements.
4 Money Market Fund
<PAGE>
MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
ASSETS
Investments at amortized cost which approximates market .......... $ 1,662,010
Receivables:
Interest ........................................................ 18,109
Investments sold ................................................ 6
Prepaid expenses ................................................. 2
-----------
Total assets .................................................. 1,680,127
LIABILITIES
Payables:
Due to Custodian .................................. $ 51,258
Accrued fees to affiliates ........................ 202
Other accrued expenses ............................ 53
Income distribution ............................... 817
-----------
Total liabilities ............................................. 52,330
-----------
NET ASSETS ....................................................... $ 1,627,797
===========
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) ............................. $ (30)
Shares of beneficial interest .................................... 16,278
Additional paid-in capital ....................................... 1,611,549
-----------
NET ASSETS ....................................................... $ 1,627,797
===========
NET ASSET VALUE, offering and redemption price per share:
($1,627,796,948 divided by 1,627,826,119 shares of $.01 par
value shares of beneficial interest outstanding) ............... $ 1.00
===========
See accompanying notes which are an integral part of the financial statements.
Money Market Fund 5
<PAGE>
MONEY MARKET FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Interest ..................................... $ 34,026 $ 108,659
---------------- ----------------
EXPENSES
Advisory fees ................................ 1,146 4,087
Administrative fees .......................... 286 1,022
Custodian fees ............................... 137 588
Transfer agent fees .......................... 121 612
Professional fees ............................ 9 20
Registration fees ............................ 84 123
Trustees' fees ............................... 4 5
Miscellaneous ................................ 19 49
---------------- ----------------
Expenses before reductions ................... 1,806 6,506
Expense reductions ........................... (859) (3,065)
---------------- ----------------
Expenses, net .............................. 947 3,441
---------------- ----------------
Net investment income ......................... 33,079 105,218
---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments ....... (9) (18)
---------------- ----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .... $ 33,070 $ 105,200
================ ================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
6 Money Market Fund
<PAGE>
MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets
OPERATIONS
Net investment income ........... $ 33,079 $ 105,218 $ 60,214
Net realized gain (loss) ....... (9) (18) (3)
----------------- ----------------- -----------------
Net increase in net assets from
operations .................... 33,070 105,200 60,211
----------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income ...... (33,079) (105,218) (60,214)
----------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions .. (398,911) 421,709 678,746
----------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS ...................... (398,920) 421,691 678,743
NET ASSETS
Beginning of period ............. 2,026,717 1,605,026 926,283
----------------- ----------------- -----------------
End of period ................... $ 1,627,797 $ 2,026,717 $ 1,605,026
================= ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Money Market Fund 7
<PAGE>
MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- --------- --------- -------- -------- --------
<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 OPERATIONS
Net investment income ........................... .0191 .0515 .0553 .0563 .0549 .0601
--------- --------- --------- -------- -------- --------
DISTRIBUTIONS
From net investment income ...................... (.0191) (.0515) (.0553) (.0563) (.0549) (.0601)
--------- --------- --------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD ................... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========= ========= ========= ======== ======== ========
TOTAL RETURN (%)(a)(c) ........................... 1.93 5.27 5.69 5.79 5.63 6.19
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........ 1,627,797 2,026,717 1,605,026 926,283 496,932 533,643
--------- --------- --------- -------- -------- --------
Ratios to average net assets (%)(b)(c):
Operating expenses, net (d) ................... .16 .17 .16 .08 .05 .06
Operating expenses, gross (d) ................. .31 .32 .31 .30 .30 .26
Net investment income ......................... 5.76 5.15 5.54 5.65 5.49 6.01
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for periods less than one year are annualized.
(c) 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 3.
(d) See Note 3 for current period amounts.
8 Money Market Fund
<PAGE>
US GOVERNMENT MONEY MARKET FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
----------- -------- ----------- --------
UNITED STATES GOVERNMENT
AGENCIES - 76.1%
Aid to Chile Guaranteed
Note (LIBOR Floater)(a) 4,571 6.743 05/06/01 4,574
Aid to Sri Lanka Guaranteed
Note (LIBOR Floater)(a) 3,125 6.743 12/06/15 3,151
Federal Farm Credit Bank(a) 10,000 6.060 06/22/00 9,999
Federal Home Loan Bank Bonds 2,000 5.100 05/11/00 1,999
Federal Home Loan Bank Bonds 3,000 5.150 05/19/00 3,000
Federal Home Loan Bank Bonds 2,250 5.550 08/17/00 2,247
Federal Home Loan Bank Bonds 1,500 6.635 09/27/00 1,501
Federal Home Loan Mortgage
Corporation Principal Only
Zero Coupon 3,175 0.000 05/15/00 3,168
Federal National Mortgage
Association 11,090 5.100 05/19/00 11,086
Federal National Mortgage
Association 10,035 5.900 07/06/00 10,032
Federal National Mortgage
Association (a) 10,000 6.120 08/09/00 9,999
Federal National Mortgage
Association 4,500 5.490 08/18/00 4,495
Federal National Mortgage
Association 1,000 5.650 08/25/00 998
Federal National Mortgage
Association 5,500 5.140 11/16/00 5,473
Federal National Mortgage
Association Discount Notes 5,414 5.770 06/29/00 5,363
Federal National Mortgage
Association Principal Only
Zero Coupon 7,000 0.000 05/19/00 6,980
----------
TOTAL UNITED STATES
GOVERNMENT AGENCIES 84,065
----------
TOTAL INVESTMENTS - 76.1%
(amortized cost $84,065) 84,065
----------
REPURCHASE AGREEMENT - 22.8%
Agreement with ABN AMRO Bank of $25,167
acquired April 28, 2000 at 5.850% to be repurchased at
$25,167 on May 1, 2000, collaterized by:
$25,558 United States Agency Obligations, valued
at $25,671 25,167
----------
TOTAL REPURCHASE AGREEMENT (identified cost $25,167) 25,167
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENT - 98.9% (cost
$109,232)(b) 109,232
OTHER ASSETS AND
LIABILITIES, NET - 1.1% 1,244
----------
NET ASSETS - 100.0% 110,476
==========
* The identified 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.
Abbreviations:
LIBOR - London Interbank Offered Rate
10 US Government Money Market Fund
<PAGE>
US GOVERNMENT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
ASSETS
Investments at amortized cost which approximates market .......... $ 84,065
Repurchase agreements (identified cost $25,167) ................. 25,167
Receivables:
Interest ........................................................ 1,270
From Advisor .................................................... 33
Prepaid expenses ................................................. 8
---------
Total assets .................................................. 110,543
LIABILITIES
Payables:
Accrued fees to affiliates ........................ $ 16
Other accrued expenses ............................ 2
Income distribution ............................... 49
---------
Total liabilities ............................................ 67
---------
NET ASSETS ...................................................... $ 110,476
=========
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) ........................... $ (12)
Shares of beneficial interest ................................... 1,105
Additional paid-in capital ...................................... 109,383
---------
NET ASSETS ...................................................... $ 110,476
=========
NET ASSET VALUE, offering and redemption price per share:
($110,475,975 divided by 110,487,924 shares of $.01 par value
shares of beneficial interest outstanding) .................. $ 1.00
=========
See accompanying notes which are an integral part of the financial statements.
US Government Money Market Fund 11
<PAGE>
US GOVERNMENT MONEY MARKET FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Interest ..................................... $ 2,672 $ 8,069
------------ ----------------
EXPENSES
Advisory fees ................................ 91 314
Administrative fees .......................... 23 79
Custodian fees ............................... 16 61
Transfer agent fees .......................... 52 279
Professional fees ............................ 4 10
Registration fees ............................ 24 81
Trustees' fees ............................... 4 5
Miscellaneous ................................ 4 22
------------ ----------------
Expenses before reductions ................... 218 851
Expense reductions ........................... (81) (380)
------------ ----------------
Expenses, net .............................. 137 471
------------ ----------------
Net investment income ......................... 2,535 7,598
------------ ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments ....... (7) (5)
NET INCREASE IN NET ASSETS FROM OPERATIONS .... $ 2,528 $ 7,593
============ ================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
12 US Government Money Market Fund
<PAGE>
US GOVERNMENT MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
FOUR MONTHS ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2000 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998
----------------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ............. $ 2,535 $ 7,598 $ 7,756
Net realized gain (loss) ......... (7) (5) --
--------- --------- ---------
Net increase in net assets from
operations ...................... 2,528 7,593 7,756
--------- --------- ---------
DISTRIBUTIONS
From net investment income ........ (2,535) (7,598) (7,756)
--------- --------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions ... (79,667) 23,931 (21,188)
--------- --------- ---------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS ......................... (79,674) 23,926 (21,188)
--------- --------- ---------
NET ASSETS
Beginning of period ............... 190,150 166,224 187,412
--------- --------- ---------
End of period ..................... $ 110,476 $ 190,150 $ 166,224
========= ========= =========
See accompanying notes which are an integral part of the financial statements.
US Government Money Market Fund 13
<PAGE>
US GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------------------------
2000* 1999 1998 1997 1996 1995
-------- ------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
BEGINNING OF PERIOD ... -------- ------- ------- ------- -------- --------
INCOME FROM OPERATIONS
Net investment income.. .0185 .0483 .0520 .0545 .0526 .0580
-------- ------- ------- ------- -------- --------
DISTRIBUTIONS
From net investment (.0185) (.0483) (.0520) (.0545) (.0526) (.0580)
income............... -------- ------- ------- ------- -------- --------
NET ASSET VALUE, END $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
OF PERIOD............... ======== ======= ======= ======= ======== ========
TOTAL RETURN (%)(a)(c) 1.86 4.93 5.34 5.59 5.40 5.98
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period (in
thousands)........... 110,476 190,150 166,224 187,412 239,725 149,941
Ratios to average net assets
(%)(b)(c):
Operating expenses,
net (d)............. .30 .30 .32 .20 .25 .32
Operating expenses,
gross (d)........... .48 .54 .55 .41 .50 .51
Net investment
income.............. 5.53 4.83 5.20 5.44 5.27 5.82
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for periods less than one year are annualized.
(c) 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 service fees. See Note 3.
(d) See Note 3 for current period amounts.
14 US Government Money Market Fund
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
-------- ------- --------- -----------
MUNINCIPAL BONDS - 99.9%
ALABAMA - 1.5%
Mobile, Alabama Industrial
Development Board Pollution Control
Revenue, weekly demand 3,000 5.225 06/01/04 3,000
----------
ARIZONA - 0.5%
Maricopa County, Arizona Industrial
Development Authority Revenue,
weekly demand 500 5.600 10/01/04 500
Yuma County, Arizona Jail District
Revenue (a) 500 4.500 07/01/00 500
----------
1,000
----------
ARKANSAS - 0.1%
Greystone Tax-Exempt Certificate
Trust Revenue, Series 1998-1,
weekly demand (e) 186 5.210 05/01/28 186
----------
COLORADO - 2.0%
Colorado Housing Financial Authority
Multi-family Housing Revenue,
weekly demand 1,150 5.100 06/01/05 1,150
Denver, Colorado City & County
Airport Revenue, Series B, weekly
demand 1,200 5.100 12/01/20 1,200
Denver, Colorado City & County
Multi-family Housing Revenue, daily
demand 150 6.100 12/01/09 150
SBC Metropolitan District, Colorado
General Obligation, Series 1998,
annual demand 1,670 4.000 12/01/17 1,670
----------
4,170
----------
DELAWARE - 1.8%
Delaware State Economic Development
Authority Multi-family Revenue,
weekly demand 650 5.500 12/01/15 650
Delaware State Economic Development
Authority Revenue, Series B,
weekly demand 3,000 5.100 05/01/15 3,000
----------
3,650
----------
DISTRICT OF COLUMBIA - 0.5%
District of Columbia Revenue, weekly
demand 1,110 5.200 12/01/23 1,110
----------
FLORIDA - 6.7%
Alachua County, Florida Industrial
Development Revenue, Series A,
monthly demand 345 4.300 01/01/12 345
Capital Trust Agency, Florida
Multi-family Housing Development
Revenue,
Series A, weekly demand 7,600 5.180 12/01/32 7,600
Fort Pierce, Florida Health Facility
Revenue, weekly demand 1,615 5.100 10/01/17 1,615
Greystone Tax-Exempt Certificate
Trust Revenue, Series 1998-1,
weekly demand (e) 282 5.210 05/01/28 282
Orange County, Florida Industrial
Development Authority Revenue,
monthly demand 1,025 4.300 01/01/11 1,025
Orange County, Florida Industrial
Development Authority Revenue,
Series A, semiannual demand 2,960 4.450 10/01/15 2,960
----------
13,827
----------
16 Tax Free Money Market Fund
<PAGE>
Tax Free Money Market Fund
Statement of Net Assets, continued
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
-------- ------- --------- ----------
GEORGIA - 4.4%
Cobb County, Georgia Housing
Authority Multi-family Housing
Revenue, weekly demand 1,000 5.050 06/01/25 1,000
Cobb County, Georgia Residential Care
Facilities Authority Revenue,
weekly demand 995 5.100 04/01/16 995
De Kalb County, Georgia Housing
Authority Multi-family Housing
Revenue, weekly demand 300 5.050 06/01/25 300
Fulton County, Georgia Development
Authority Revenue, weekly demand 300 5.100 12/01/16 300
Greystone Tax-Exempt Certificate
Trust Revenue, Series 1998-1,
weekly demand (e) 942 5.210 05/01/28 942
Gwinnett County, Georgia Development
Authority Revenue, weekly demand 115 5.100 03/01/17 115
Macon-Bibb County, Georgia Hospital
Authority Revenue, weekly demand 900 5.100 12/01/18 900
Savannah, Georgia Housing Authority
Multi-family Housing Revenue,
Series B, weekly demand 650 5.050 06/15/26 650
Thomasville, Georgia Hospital
Authority Revenue, weekly demand 3,150 5.100 11/01/17 3,150
Walton County, Georgia Development
Authority Industrial Development
Revenue, Series B, weekly demand 800 5.100 06/01/04 800
----------
9,152
----------
ILLINOIS - 9.7%
Belleville, Illinois Industrial
Development Revenue, weekly demand 1,750 5.100 12/01/08 1,750
Cook County, Illinois Community Unit
School District Number 401,
Tax Anticipation 2000 Warrants 2,500 4.980 10/25/00 2,506
De Kalb, Illinois Industrial
Development Revenue, Series C,
weekly demand 500 5.600 02/01/01 500
East Peoria, Illinois Multi-family
Housing Authority, weekly demand 1,690 5.350 06/01/08 1,690
Illinois Development Finance
Authority Revenue, quarterly demand 700 3.950 08/01/25 700
Illinois Development Finance
Authority Revenue, weekly demand 2,038 5.200 09/01/26 2,038
Illinois State Certificate of
Participation (a) 1,005 4.500 07/01/00 1,006
Kane, McHenry, Cook and De Kalb
Counties, Illinois Unit School
District Number 300 Tax Anticipation
Warrants 2,000 4.990 09/28/00 2,004
Troy Grove, Illinois Revenue, weekly
demand 750 5.310 05/01/10 750
Winnebago & Boone Counties, Illinois
School District Number 205
Tax Anticipation Warrants 7,000 6.100 10/30/00 7,028
----------
19,972
----------
INDIANA - 5.0%
Bartholomew, Indiana Construction
School Corporation, General
Obligation 1,100 4.300 07/01/00 1,100
Beech Grove, Indiana Tax Anticipation
Warrants 1,400 4.500 12/29/00 1,402
Carmel Clay, Indiana Schools Tax
Anticipation Warrants 2,000 4.550 12/29/00 2,001
Fort Wayne, Indiana Economic
Development Revenue, Series 83,
weekly demand 1,000 5.225 12/01/03 1,000
Hamilton County, Indiana County
Optional Income Tax Revenue, Series A 205 4.250 07/10/00 205
Indiana State Educational Facilities
Authority Revenue, weekly demand 20 5.150 10/01/19 20
Mishawaka, Indiana Waterworks Revenue
Bond Anticipation Notes, Series A 1,800 4.250 08/11/00 1,800
South Bend, Indiana Community School
Corporation General Obligation,
Series A 815 4.500 01/01/01 815
Whitco, Indiana Community School
Corporation Tax Anticipation Warrants 1,900 4.500 12/29/00 1,903
----------
10,246
----------
Tax Free Money Market Fund 17
<PAGE>
Tax Free Money Market Fund
Statement of Net Assets, continued
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
--------- ------- --------- ----------
IOWA - 2.6%
Chillicothe, Iowa Pollution Control
Revenue, Series A, weekly demand 900 5.150 05/01/23 900
Iowa Finance Authority Housing &
Health Care Revenue, weekly demand 1,095 5.150 04/01/05 1,095
Iowa Finance Authority Revenue, daily
demand 400 6.200 06/01/27 400
Iowa Higher Education Loan Authority
Revenue, daily demand 75 6.100 04/01/27 75
Storm Lake, Iowa Private College
Revenue, weekly demand 2,900 5.150 12/01/03 2,900
----------
5,370
----------
KANSAS - 0.1%
Greystone Tax-Exempt Certificate
Trust Revenue, Series 1998-1,
weekly demand (e) 140 5.210 05/01/28 140
----------
KENTUCKY - 3.0%
Jefferson County, Kentucky Industrial
Building Revenue, weekly demand 1,025 5.100 01/01/19 1,025
Jefferson County, Kentucky Retirement
Home Revenue, weekly demand 2,000 5.180 10/01/19 2,000
Kentucky Area Development Districts
Financing Lease Program Revenue,
Series E2, weekly demand 490 5.500 12/01/31 490
Louisville, Kentucky Industrial
Development Revenue, weekly demand 750 5.100 09/01/01 750
McCreary, Kentucky Industrial
Building Revenue, Series B, weekly
demand 2,005 5.100 04/01/13 2,005
----------
6,270
----------
LOUISIANA - 0.2%
Jefferson Parish, Louisiana Hospital
Service District Number 2 Hospital
Revenue 325 8.875 10/01/00 331
----------
MARYLAND - 3.2%
Anne Arundel County, Maryland
Industrial Development Revenue,
Series C, weekly demand 2,260 5.600 02/01/01 2,260
Maryland State Economic Development
Corporation Revenue, weekly demand 3,300 5.100 09/01/24 3,300
Maryland State Health & Higher
Education Facilities Authority
Revenue, weekly demand 100 5.100 09/01/24 100
Montgomery County, Maryland
Industrial Development Revenue,
monthly demand 930 3.850 04/01/14 930
----------
6,590
----------
MASSACHUSSETTS - 0.2%
New England Educational Loan
Marketing Corporation, Massachusetts
Student Loan Revenue, Series G 465 5.000 08/01/00 466
----------
MICHIGAN - 3.9%
Lansing, Michigan Economic
Development Corporation, semiannual
demand 1,885 3.850 05/01/15 1,885
Livonia, Michigan Economic
Development Corporation, semiannual
demand 320 4.100 11/15/04 320
McDonald Tax-Exempt Mortgage Bond
Trust, thirteen month demand (d) 101 3.450 01/15/09 101
Meridian, Michigan Economic
Development, monthly demand 455 4.300 11/15/14 455
Michigan State Housing Development
Authority Limited Obligation
Revenue, weekly demand 1,000 5.225 06/01/04 1,000
Michigan State Job Development
Authority Revenue, monthly demand 1,800 3.800 11/01/14 1,800
Northville Township, Michigan
Economic Development Corporation,
Limited Obligation Revenue, Series P,
weekly demand 500 4.625 05/01/14 500
18 Tax Free Money Market Fund
<PAGE>
Tax Free Money Market Fund
Statement of Net Assets, continued
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
--------- ------- --------- ----------
Oakland County, Michigan Economic
Development Corporation, Limited
Obligation Revenue, semiannual
demand 855 3.800 08/01/15 855
River Rouge, Michigan School District
Student Aid Notes 1,000 5.500 08/24/00 1,002
----------
7,918
----------
MINNESOTA - 6.5%
Burnsville, Minnesota Industrial
Development Revenue, Series C,
weekly demand 350 5.600 02/01/01 350
Capital Realty Investment Tax-Exempt
Fund, Series 96-1, weekly demand 8,535 5.330 12/01/04 8,535
Mendota Heights, Minnesota Commercial
Development, weekly demand 1,515 5.100 12/01/15 1,515
Minnesota State Revenue, Series A (a) 980 5.000 06/30/00 982
St. Paul, Minnesota Port Authority
Industrial Development Revenue,
Series 1, weekly demand 2,000 5.190 06/01/19 2,000
----------
13,382
----------
MISSISSIPPI - 0.2%
DeSoto County, Mississippi Industrial
Development Revenue, weekly demand 400 5.310 12/01/08 400
----------
MISSOURI - 9.1%
Clayton, Missouri Industrial
Development Authority Revenue,
weekly demand 1,000 5.300 01/01/09 1,000
Jackson County, Missouri Industrial
Development Authority Recreational
Facilities Revenue, Series A, daily
demand 800 6.150 11/01/16 800
Kansas City, Missouri Industrial
Development Authority Multi-family
Housing Revenue, weekly demand 3,900 5.400 10/01/15 3,900
Missouri State Health & Educational
Facilities Authority Revenue, daily
demand 4,900 6.150 11/01/29 4,900
Missouri State Health & Educational
Facilities Authority Revenue, daily
demand 900 6.150 12/01/24 900
Missouri State Health & Educational
Facilities Authority Revenue, Series A,
daily demand 1,000 6.050 10/01/09 1,000
Missouri State Health & Educational
Facilities Authority Revenue, Series A,
weekly demand 1,000 5.100 08/01/29 1,000
Missouri State Health & Educational
Facilities Authority School District
Advanced Funding Program Revenue,
Series D 2,000 4.250 09/19/00 2,004
St. Charles County, Missouri
Industrial Development Authority
Revenue, weekly demand 2,300 5.130 12/01/27 2,300
St Louis, Missouri Industrial
Development Authority Revenue,
Series C, weekly demand 965 5.600 02/01/01 965
----------
18,769
----------
NEVADA - 0.8%
Clark County, Nevada Economic
Development Revenue, weekly demand 1,545 5.050 08/01/19 1,545
Washoe County, Nevada General
Obligation (a) 100 8.250 06/01/00 100
----------
1,645
----------
NEW JERSEY - 0.6%
North Hudson, New Jersey Sewer
Authority Project Notes 1,200 5.000 03/30/01 1,200
----------
Tax Free Money Market Fund 19
<PAGE>
Tax Free Money Market Fund
Statement of Net Assets, continued
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
--------- ------- --------- ----------
NEW YORK - 1.0%
Jamestown, New York Community College
Regional Board of Trustees Revenue
Anticipation Notes 2,000 4.375 09/08/00 2,003
Rensselaer County, New York
Industrial Development Agency Senior
Housing Revenue, Series A, daily
demand 100 6.100 07/01/29 100
----------
2,103
----------
NORTH CAROLINA - 0.1%
Beaufort County, North Carolina
Industrial Facility & Pollution
Control Revenue, Series 85, weekly
demand 300 5.200 12/01/00 300
----------
OHIO - 6.2%
Bellevue, Ohio Hospital Facilities
Revenue, semiannual demand 320 4.300 03/01/17 320
Buckeye, Ohio Tax-Exempt Mortgage
Bond Trust, semiannual demand 205 4.520 02/01/05 205
Clermont County, Ohio Economic
Development Revenue, semiannual
demand 400 4.000 12/01/09 400
Clermont County, Ohio Economic
Development Revenue, semiannual
demand 540 4.000 05/01/12 540
Clinton County, Ohio Hospital
Revenue, weekly demand 1,000 5.100 06/01/28 1,000
Columbus, Ohio Electric System
Revenue, monthly demand 1,300 3.600 09/01/09 1,300
East Muskingum, Ohio Water Revenue
Anticipation Notes 1,000 4.320 06/22/00 1,000
Franklin County, Ohio Industrial
Development Revenue, semiannual
demand 130 3.850 11/01/15 130
Mahoning County, Ohio Industrial
Development Revenue, Series B,
weekly demand 5 5.250 10/01/00 5
McDonald Tax-Exempt Mortgage Bond
Trust, thirteen month demand (d) 473 3.450 01/15/09 473
North Olmsted, Ohio Bond Anticipation
Notes, Series 2 1,900 4.200 09/21/00 1,902
Ohio State Higher Educational
Facilities Community College
Revenue, weekly demand 2,865 5.150 09/01/20 2,865
Scioto County, Ohio Health Care
Facilities Revenue, semiannual demand 645 4.000 12/01/15 645
Stark County, Ohio Health Care
Facilities, semiannual demand 1,550 4.250 09/15/16 1,550
Trumbull County, Ohio Industrial
Development Revenue, Series A,
weekly demand 360 5.250 04/01/04 360
----------
12,695
----------
OKLAHOMA - 1.5%
Muskogee, Oklahoma Industrial Trust
Revenue, weekly demand 1,890 5.250 12/01/15 1,890
Tulsa County, Oklahoma Industrial
Authority Health Care Revenue,
semiannual demand 1,250 4.100 12/15/08 1,250
----------
3,140
----------
OREGON - 2.0%
Clackamas County, Oregon Hospital
Facilities Authority Revenue, Series C,
weekly demand 2,000 5.250 05/15/29 2,000
Hillsboro, Oregon Revenue, weekly demand 1,750 5.900 08/01/11 1,750
Medford, Oregon Hospital Facilities
Authority Revenue, weekly demand 400 5.250 05/15/27 400
----------
4,150
----------
PENNSYLVANIA - 5.1%
Berks County, Pennsylvania Industrial
Development Authority, weekly demand 2,450 5.225 12/01/04 2,450
Moon, Pennsylvania Industrial
Development Authority Revenue,
weekly demand 1,000 5.100 11/01/12 1,000
McDonald Tax-Exempt Mortgage Bond
Trust, thirteen month demand (d) 101 3.450 01/15/09 101
Pennsylvania State Higher Educational
Facilities Authority Revenue, Series E3,
weekly demand 1,500 5.150 11/01/14 1,500
20 Tax Free Money Market Fund
<PAGE>
Tax Free Money Market Fund
Statement of Net Assets, continued
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
--------- ------- --------- ----------
Philadelphia, Pennsylvania Hospitals
& Higher Educational Facilities
Authority Revenue, Series A-3,
weekly demand 1,500 5.250 03/01/19 1,500
Philadelphia, Pennsylvania Hospitals
& Higher Educational Facilities
Authority Revenue, Series B, weekly
demand 2,000 5.250 06/01/14 2,000
South Fork, Pennsylvania Municipal
Hospital Authority Revenue, Series B,
weekly demand 2,000 5.100 07/01/23 2,000
----------
10,551
----------
TENNESSEE - 3.8%
Franklin County, Tennessee Health &
Educational Facilities Revenue,
monthly demand 1,590 4.100 09/01/10 1,590
Greystone Tax-Exempt Certificate
Trust Revenue, Series 1998-1,
weekly demand (e) 1,054 5.210 05/01/28 1,054
Knox County, Tennessee Industrial
Development Revenue, monthly demand 4,200 4.950 12/01/14 4,200
Tusculum, Tennessee Health
Educational & Housing Facilities
Revenue, weekly demand 1,000 5.100 07/01/15 1,000
----------
7,844
----------
TEXAS - 4.3%
Austin County, Texas Industrial
Development Corporation Revenue,
weekly demand 1,980 5.100 11/01/02 1,980
Austin, Texas Utility Systems Revenue
(pre-refunded 05/15/00)(b) 350 10.750 05/15/15 360
Brazos Harbor, Texas Industrial
Development Corporation Revenue,
monthly demand 1,600 4.100 12/01/13 1,600
Tarrant County, Texas Housing Finance
Corporation Revenue, weekly demand 1,800 5.050 12/01/07 1,800
Texas Association of School Boards,
Tax Anticipation Notes, Series A 3,062 4.500 08/31/00 3,063
----------
8,803
----------
UTAH - 0.4%
Utah State Building Ownership
Authority Lease Revenue, Series B (a) 660 5.000 05/15/00 660
West Valley City, Utah Industrial
Development Revenue, daily demand 100 5.850 12/01/11 100
----------
760
----------
VIRGINIA - 1.1%
Greystone Tax-Exempt Certificate
Trust Revenue, Series 1998-1,
weekly demand (e) 496 5.210 05/01/28 496
Henrico County, Virginia Industrial
Development Authority Revenue,
Series C (pre-refunded 08/01/00)(b) 645 7.500 09/01/07 670
Norfolk, Virginia Industrial
Development Authority Industrial
Development Revenue, weekly demand 1,075 5.225 03/01/16 1,075
----------
2,241
----------
WASHINGTON - 3.2%
Seattle, Washington Municipality
Metropolitan Seattle Sewer Revenue,
Series U (pre-refunded
01/01/01)(a)(b) 2,600 6.600 01/01/32 2,715
Washington State Housing Finance
Commission Nonprofit Housing
Revenue, daily demand 100 6.050 07/01/11 100
Washington State Housing Finance
Commission Nonprofit Housing
Revenue, daily demand 600 6.500 01/01/27 600
Tax Free Money Market Fund 21
<PAGE>
Tax Free Money Market Fund
Statement of Net Assets, continued
April 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
--------- ------- --------- ----------
Washington State Housing Finance
Commission Nonprofit Housing
Revenue, weekly demand 685 5.100 07/01/11 685
Washington State Housing Finance
Commission Nonprofit Housing
Revenue, weekly demand 1,200 5.100 08/01/24 1,200
Washington State Public Power Supply
System Nuclear Project Number 1
Revenue, Series A (pre-refunded
07/01/00)(b) 1,300 7.000 07/01/11 1,346
----------
6,646
----------
WEST VIRGINIA - 0.5%
Marshall County, West Virginia
Pollution Control Revenue, weekly
demand 1,000 5.150 03/01/26 1,000
----------
WISCONSIN - 7.7%
Altoona, Wisconsin School District
Tax & Revenue Anticipation Notes 1,000 4.125 10/27/00 1,000
Jefferson, Wisconsin School District
Tax & Revenue Anticipation
Promisory Notes 1,100 4.020 09/08/00 1,100
Lac du Flambeau, Wisconsin School
District Number 1, Tax & Revenue
Anticipation Promisory Notes 700 4.170 07/28/00 700
Marinette County, Wisconsin Bond
Anticipation Notes 1,800 4.750 07/05/00 1,800
Slinger, Wisconsin School District
Tax & Revenue Anticipation Promisory
Notes 1,400 4.040 09/27/00 1,400
Sturgeon Bay, Wisconsin School
District Tax & Revenue Anticipation
Promisory Notes 1,100 4.230 10/27/00 1,100
Weyauwega-Freemont, Wisconsin School
District, Tax & Revenue
Anticipation Notes 1,800 4.170 08/25/00 1,801
Wisconsin State Health & Educational
Facilities Authority Revenue, Series A,
weekly demand 5,000 5.150 10/01/29 5,000
Wisconsin State Health & Educational
Facilities Authority Revenue, Series B
(pre-refunded 06/01/00)(a)(b) 1,800 7.000 06/01/20 1,860
----------
15,761
----------
WYOMING - 0.4%
Sweetwater County, Wyoming School
District Number 2, General
Obligation 450 4.000 06/01/00 450
Wyoming Community Development
Authority, Series A 450 6.700 06/01/00 451
----------
901
----------
TOTAL INVESTMENTS - 99.9% (amortized
cost $205,689)(c) 205,689
OTHER ASSETS AND LIABILITIES, NET - 0.1% 268
----------
NET ASSETS - 100.0% 205,957
==========
* The identified 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) Bond is insured by AMBAC, FGIC, or MBIA.
(b) Pre-refunded: These bonds are collateralized by US 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 rate is for descriptive purposes; effective
yield may vary.
(c) The cost for federal income tax purposes is the same as shown above.
(d) Multi-State bond issue including Michigan, Ohio, and Pennsylvania.
(e) Multi-State bond issue including Arkansas, Florida, Georgia, Kansas,
Tennessee, and Virginia.
See accompanying notes which are an integral part of the financial statements.
22 Tax Free Money Market Fund
<PAGE>
Tax Free Money Market Fund
Statement of Net Assets, continued
April 30, 2000 (Unaudited)
QUALITY RATINGS AS A % OF MARKET VALUE++
VMIG1 or SP-1 55%
P1 45
-------
100%
=======
ECONOMIC SECTOR EMPHASIS AS A % OF MARKET VALUE
Education Revenue 29%
Industrial Revenue Bonds 20
Housing Revenue 18
General Obligation 16
Healthcare Revenue 11
Pollution Control Revenue 4
Utility Revenue 2
-------
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."
P1: The highest tax-exempt commercial paper rating given by Moody's
Investors Services to commercial paper with a "superior capacity for
repayment."
See accompanying notes which are an integral part of the financial statements.
Tax Free Money Market Fund 23
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
ASSETS
Investments at amortized cost which approximates market ............. $205,689
Cash ................................................................ 271
Receivables:
Interest ........................................................... 1,778
Investments sold ................................................... 110
Prepaid expenses .................................................... 2
--------
Total assets ..................................................... 207,850
LIABILITIES
Payables:
Dividends ................................................. $ 79
Investments purchased ..................................... 1,800
Accrued fees to affiliates ................................ 12
Other accrued expenses .................................... 2
--------
Total liabilities ................................................ 1,893
--------
NET ASSETS .......................................................... $205,957
========
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) ............................... $ 3
Shares of beneficial interest ....................................... 2,060
Additional paid-in capital .......................................... 203,894
--------
NET ASSETS .......................................................... $205,957
========
NET ASSET VALUE, offering and redemption price per share:
($205,956,695 divided by 205,953,709 shares of $.01 par value
shares of beneficial interest outstanding)........................ $ 1.00
========
See accompanying notes which are an integral part of the financial statements.
24 Tax Free Money Market Fund
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Interest ...................................... $ 3,041 $ 6,855
---------------- -----------------
EXPENSES
Advisory fees ................................. 153 393
Administrative fees ........................... 38 98
Custodian fees ................................ 32 18
Transfer agent fees ........................... 43 26
Professional fees ............................. 6 15
Registration fees ............................. 15 47
Trustees' fees ................................ 4 5
Miscellaneous ................................. 14 14
---------------- -----------------
Expenses before reductions .................... 305 616
Expense reductions ............................ (76) (197)
---------------- -----------------
Expenses, net ............................... 229 419
---------------- -----------------
Net investment income .......................... 2,812 6,436
---------------- -----------------
NET REALIZED GAIN (LOSS)
Net realized gain (loss) on investments ........ (4) 12
---------------- -----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..... $ 2,808 $ 6,448
================ =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Tax Free Money Market Fund 25
<PAGE>
TAX FREE MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2000 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998
----------------- ------------ ------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ........................... $ 2,812 $ 6,436 $ 5,654
Net realized gain (loss) ....................... (4) 12 (5)
---------------- ------------ ------------
Net increase in net assets from operations .... 2,808 6,448 5,649
---------------- ------------ ------------
DISTRIBUTIONS
From net investment income ...................... (2,812) (6,436) (5,654)
---------------- ------------ ------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from
share transactions ............................ (40,734) 52,020 63,943
---------------- ------------ ------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ...... (40,738) 52,032 63,938
NET ASSETS
Beginning of period ............................. 246,695 194,663 130,725
---------------- ------------ ------------
End of period ................................... $ 205,957 $ 246,695 $ 194,663
================ ============ ============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
26 Tax Free Money Market Fund
<PAGE>
TAX FREE MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
---------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- --------- --------- --------- --------- ---------
<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 OPERATIONS
Net investment income........................... .0122 .0326 .0331 .0355 .0329 .0370
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS
From net investment income...................... (.0122) (.0326) (.0331) (.0355) (.0329) (.0370)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD................... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========= ========= ========= ========= ========= =========
TOTAL RETURN (%)(a)(c)........................... 1.23 3.31 3.36 3.61 3.35 3.76
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)........ 205,957 246,695 194,663 130,725 102,207 78,000
Ratios to average net assets (%)(b)(c):
Operating expenses, net (d)................... .30 .21 .34 .28 .42 .48
Operating expenses, gross (d)................. .40 .31 .44 .38 .42 .48
Net investment income......................... 3.69 3.28 3.29 3.55 3.28 3.69
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the periods less than one year are annualized.
(c) 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 service fees. See Note 3.
(d) See Note 3 for current period amounts.
Tax Free Money Market Fund 27
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 2000 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 29 different investment portfolios, referred to as
"Funds." These financial statements report on three 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.
The Fund's Board of Trustees approved a change in the Fund's fiscal year
end from December 31 to October 31. As a result, this financial report
reflects the four-month period commencing on January 1, 2000 through April
30, 2000.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with generally
accepted accounting principles ("GAAP") 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: The Money Market, US Government Money Market and the
Tax Free Money Market Funds' portfolio investments are valued in accordance
with Rule 2a-7 of the Investment Company Act of 1940, as amended, 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 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 specific identified cost incurred by each money
manager within a particular fund.
INVESTMENT INCOME: Interest income is recorded on the accrual basis.
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 and capital gains. Therefore, no
federal income tax provision was required for the Funds. From November 1,
1999 to December 31, 1999, the Funds listed below incurred net realized
capital losses. As permitted by tax regulations, these Funds have elected
to defer these losses and treat them as arising on January 1, 2000.
DEFERRED NET
REALIZED CAPITAL
LOSSES
----------------
Money Market $ 11,686
US Government Money Market 4,442
At December 31, 1999, 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>
12/31/02 12/31/03 12/31/04 12/31/05 12/31/06 12/31/07 TOTALS
---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Money Market $ -- $ (41,009) $ (814) $ -- $ (3,245) $ (12,600) $ (57,668)
US Government Money Market (1,309) (4,913) (3,331) (1,570) (762) (1,783) (13,668)
</TABLE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Money Market, US
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 GAAP. As a result, net investment income and net
realized gain (or loss) on investment for a reporting period may differ
significantly from distributions during such period. The differences
between tax regulations and GAAP primarily relate to investments in certain
securities sold at a loss. Accordingly, a Fund may periodically make
reclassifications among certain of its capital accounts without impacting
its net asset value.
EXPENSES: The Funds will pay their own expenses other than those expressly
assumed by Frank Russell Investment Management Company ("FRIMCo" or
"Advisor"). 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.
28 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
REPURCHASE AGREEMENTS: The Funds may engage in repurchase agreements with
several financial institutions whereby a Fund, through its custodian,
receives delivery of underlying securities as collateral. 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%.
3. RELATED PARTIES
ADVISOR AND ADMINISTRATOR: FRIMCo advises and administers all of the Funds
which comprise the Investment Company. FRIMCo is a wholly owned subsidiary
of The Northwestern Mutual Life Insurance Company. Frank Russell Company
researches and recommends to FRIMCo, and to the Investment Company, one or
more investment management organizations to manage the portfolio of each
Fund.
The Investment Company 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. As of April 30, 2000,
$948,614,000 represents the investments of other affiliated Funds not
presented herein.
The advisory and administrative fees, which are based upon the average
daily net assets of each Fund and the rates specified in the table below,
are payable monthly and aggregated $1,390,009 and $347,502, respectively,
for the period ended April 30, 2000. FRIMCo reduces its advisory fees for
each Fund by advisory fees incurred on assets invested in the Money Market
Fund or the Tax Free Money Market Fund thereby eliminating any duplication
of fees.
ANNUAL RATE
-------------------------------
ADVISOR ADMINISTRATOR
---------- ----------------
Money Market 0.20% 0.05%
US Government Money Market 0.20 0.05
Tax Free Money Market 0.20 0.05
The Advisor has contractually agreed to waive 0.15% of its 0.25% combined
advisory and administrative fees for the Money Market Fund. The amount of
such waiver for the period ended April 30, 2000 was $859,344.
The Advisor has contractually agreed to waive a portion of its combined
advisory and administrative fees for the US Government Money Market Fund,
its combined advisory and administrative fees, up to the full amount of
that fee, equal to the amount by which the Fund's total operating expenses
exceed 0.30% of the Fund's average daily net assets on an annual basis. The
amount of such waiver for the period ended April 30, 2000 was $81,201.
The Advisor has contractually agreed to waive 0.10% of its 0.25% combined
advisory and administrative fees for the Tax Free Money Market Fund. The
amount of such waiver for the period ended April 30, 2000 was $76,421.
ANALYTIC SERVICES: Fees for analytic services provided to the Funds are
paid or accrued to Russell/Mellon Analytical Services, an affiliate of the
Investment Company. Russell/Mellon Analytical Services provides TruVP
System to the Funds, pursuant to a written Service Agreement. The TruVP
System provides analytics used by the investment department.
TRANSFER AGENT: The Funds have a contract with FRIMCo to provide transfer
agent services to the Investment Company. Total fees for the Funds listed
for the period ended April 30, 2000 were $215,971.
BOARD OF TRUSTEES: The Investment Company pays each of its Trustees not
affiliated with FRIMCo a retainer of $55,000 per year plus out-of-pocket
expenses. Total Trustee expenses for the Funds listed for the period ended
April 30, 2000 were $13,484 and were allocated to each Fund, where
appropriate, on a pro rata basis, including 25 other affiliated Funds not
presented herein.
Notes to Financial Statements 29
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
4. FUND SHARE TRANSACTIONS
Share transactions for the period ended April 30, 2000, year ended December
31, 1999 and year ended December 31, 1998 were as follows:
ON A CONSTANT DOLLAR BASIS (000)
----------------------------------------
2000 1999 1998
MONEY MARKET ----------- ----------- ------------
Proceeds from shares sold 6,824,003 21,077,851 12,024,641
Proceeds from reinvestment
of distributions 11,584 50,168 17,841
Payments for shares redeemed (7,234,498) (20,706,310) (11,363,736)
----------- ----------- ------------
Total net increase (decrease) (398,911) 421,709 678,746
=========== =========== ============
US GOVERNMENT MONEY MARKET
Proceeds from shares sold 116,082 539,954 431,194
Proceeds from reinvestment
of distributions 2,266 7,536 6,807
Payments for shares redeemed (198,015) (523,559) (459,189)
----------- ----------- ------------
Total net increase (decrease) (79,667) 23,931 (21,188)
=========== =========== ============
TAX FREE MONEY MARKET
Proceeds from shares sold 151,549 486,976 367,890
Proceeds from reinvestment
of distributions 1,739 4,433 3,258
Payments for shares redeemed (194,022) (439,389) (307,205)
----------- ----------- ------------
Total net increase (decrease) (40,734) 52,020 63,943
=========== =========== ============
5. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $75
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .10% on the average daily unused amount of the
aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually (Federal Fund Rate
plus 1.75% prior to and including February 27, 2000), is calculated based
on the market rates at the time of the borrowing. The Fund may borrow up to
a maximum of 10 percent of the value of its net assets under the agreement.
The agreement will expire December 30, 2000. The Fund did not have any
drawdowns during the period ended April 30, 2000.
6. BENEFICIAL INTEREST
As of April 30, 2000, the following Fund has one or more shareholders with
shares of beneficial interest of greater than 10% of the total outstanding
shares of the Fund: Tax Free Money Market 26.5%.
30 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Kristianne Blake
Lee C. Gingrich
Eleanor W. Palmer
Raymond P. Tennison, Jr.
TRUSTEES EMERITUS
George F. Russell, Jr.
OFFICERS
Lynn L. Anderson, Chairman of the Board and President
Peter Apanovitch, Manager of Short Term Investment Funds
Mark E. Swanson, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary and General Counsel
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
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
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) RUSSEL4
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1001 Fourth Avenue Plaza
Suite 4200
Seattle, WA 98154
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
MONEY MARKET FUND
Frank Russell Investment Management Co., Tacoma, WA
U.S. GOVERNMENT MONEY MARKET FUND
Frank Russell Investment Management Co., Tacoma, WA
Standish, Ayer & Wood, Inc., Boston, MA
TAX FREE MONEY MARKET FUND
Weiss, Peck & Greer, LLC, New York, NY
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
Manager, Money Managers and Service Providers 31
<PAGE>
[LOGO OF FRANK RUSSELL]
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com
<PAGE>
xxxxxxxxxxxxxxxxxxxxxxx
x LIFEPOINTS/R/ FUNDS x
xxxxxxxxxxxxxxxxxxxxxxx
FRANK RUSSELL INVESTMENT COMPANY
2000 Semiannual Report
CLASS C, D, E, AND S SHARES
EQUITY AGGRESSIVE STRATEGY FUND
AGGRESSIVE STRATEGY FUND
BALANCED STRATEGY FUND
MODERATE STRATEGY FUND
CONSERVATIVE STRATEGY FUND
APRIL 30, 2000
[LOGO OF FRANK RUSSELL]
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
Frank Russell Investment Company is a "series mutual fund" with 29 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>
Frank Russell Investment Company
Lifepoints(R) Funds
Semiannual Report
April 30, 2000 (Unaudited)
Table of Contents
Page
Equity Aggressive Strategy Fund ......................................... 2
Aggressive Strategy Fund ................................................ 9
Balanced Strategy Fund .................................................. 16
Moderate Strategy Fund .................................................. 23
Conservative Strategy Fund .............................................. 30
Notes to Financial Statements ........................................... 37
Manager, Money Managers and Service Providers ........................... 47
FRANK RUSSELL INVESTMENT COMPANY - LIFEPOINTS(R) FUNDS
Copyright (C) Frank Russell Company 2000. All rights reserved. This material is
proprietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. Frank Russell Company and Standard & Poor's
Corporation are the owners of the trademarks, service marks, and copyrights
related to their respective indexes. This material must be accompanied or
preceded by a current Frank Russell Investment Company Prospectus containing
complete information concerning the investment objectives and operations of the
Company, charges, and expenses. The Prospectus should be read carefully before
an investment is made. The performance quoted represents past performance and
the investment return and principal value of an investment will fluctuate so
that shares, when redeemed, may be worth more or less than their original cost.
Investments in securities of non-US issuers and foreign currencies involve
investment risks different than those of US issuers; the Prospectus contains
further information and details regarding these risks. Russell Fund
Distributors, Inc., is the distributor of Frank Russell Investment Company.
<PAGE>
EQUITY AGGRESSIVE STRATEGY FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
INVESTMENTS
Portfolios of the Frank Russell Investment
Company Series Mutual
Fund - Class S Shares
DOMESTIC EQUITIES - 74.3%
Diversified Equity Fund 1,428,114 72,805
Quantitative Equity Fund 1,635,931 72,897
Real Estate Securities Fund 500,042 12,141
Special Growth Fund 501,800 25,597
---------
183,440
---------
INTERNATIONAL EQUITIES - 24.4%
Emerging Markets Fund 1,062,736 12,190
International Securities Fund 695,172 47,897
---------
60,087
---------
SHORT-TERM INVESTMENTS - 1.2%
Money Market Fund
due on demand (a) 3,053,000 3,053
---------
TOTAL INVESTMENTS - 99.9%
(identified cost $227,968) 246,580
---------
OTHER ASSETS AND LIABILITIES
Other assets 743
Liabilities (555)
---------
TOTAL OTHER ASSETS AND LIABILITIES,
NET - 0.1% 188
---------
NET ASSETS - 100.0% 246,768
=========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of
net investment income (2,855)
Accumulated net realized gain (loss) 2,925
Unrealized appreciation (depreciation)
on investments 18,612
Shares of beneficial interest 235
Additional paid-in capital 227,851
---------
NET ASSETS 246,768
=========
NET ASSET VALUE, offering and redemption price
per share:
Class C ($27,639,822 divided by 2,633,230
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.50
==========
Class D ($10,423,514 divided by 987,472
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.56
==========
Class E ($197,271,020 divided by 18,765,703
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.51
==========
Class S ($11,433,307 divided by 1,082,995
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.56
==========
</TABLE>
(a) At amortized cost, which approximates market.
See accompanying notes which are an integral part of the financial statements.
2 Equity Aggressive Strategy Fund
<PAGE>
EQUITY AGGRESSIVE STRATEGY FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
INVESTMENT INCOME
<S> <C> <C>
Income distributions from Underlying Funds ........ $ 422 $ 2,013
-------- --------
EXPENSES
Advisory fees ..................................... 140 323
Administrative fees ............................... 35 81
Distribution fees - Class C ....................... 56 29
Distribution fees - Class D ....................... 3 11
Shareholder servicing fees - Class C .............. 19 10
Shareholder servicing fees - Class D .............. 3 10
Shareholder servicing fees - Class E .............. 153 383
-------- --------
Expenses before reductions ........................ 409 847
Expense reductions ................................ (175) (404)
-------- --------
Expenses, net ................................... 234 443
-------- --------
Net investment income .............................. 188 1,570
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ...................................... (757) (351)
Capital gain distributions from Underlying Funds . 4,711 16,392
-------- --------
3,954 16,041
-------- --------
Net change in unrealized appreciation .............. (5,410) 18,491
(depreciation) on investments ...................... --
Net realized and unrealized gain (loss) ............ (1,456) 35,532
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS ......................................... $ (1,268) $ 36,102
======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity Aggressive Strategy Fund 3
<PAGE>
EQUITY AGGRESSIVE STRATEGY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ................................................. $ 188 $ 1,570 $ 161
Net realized gain (loss) .............................................. 3,954 16,041 2,539
Net change in unrealized appreciation (depreciation) .................. (5,410) 18,491 5,749
--------- --------- ---------
Net increase (decrease) in net assets from operations ............... (1,268) 36,102 8,449
--------- --------- ---------
DISTRIBUTIONS
From net investment income
Class C ............................................................. (278) (291) --
Class D ............................................................. (52) (93) (14)
Class E ............................................................. (2,680) (5,762) (1,028)
Class S ............................................................. (40) -- --
From net realized gain
Class C ............................................................. (1,227) (38) --
Class D ............................................................. (206) (76) (24)
Class E ............................................................. (9,906) (2,126) (430)
Class S ............................................................. (71) -- --
--------- --------- ---------
Net decrease in net assets from distributions ..................... (14,460) (8,386) (1,496)
--------- --------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ......... 40,839 97,559 86,444
--------- --------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ............................ 25,111 125,275 93,397
NET ASSETS
Beginning of period ................................................... 221,657 96,382 2,985
--------- --------- ---------
End of period (including accumulated distributions in excess
of net investment income of $2,855 at April 30, 2000 and $1
at December 31, 1998, and undistributed net investment income
of $7 at December 31, 1999) .......................................... $ 246,768 $ 221,657 $ 96,382
========= ========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
4 Equity Aggressive Strategy Fund
<PAGE>
EQUITY AGGRESSIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------
2000* 1999**
---------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .................... $11.38 $9.80
---------- ----------
INCOME FROM OPERATIONS
Net investment income (loss)(a)(b)*** .................. -- .06
Net realized and unrealized gain (loss) ................ (.11) 1.98
---------- ----------
Total income from operations ......................... (.11) 2.04
---------- ----------
DISTRIBUTIONS
From net investment income ............................. (.14) (.30)
From net realized gain ................................. (.61) (.16)
---------- ----------
Total distributions .................................. (.75) (.46)
---------- ----------
NET ASSET VALUE, END OF PERIOD .......................... $10.50 $11.38
========== ==========
TOTAL RETURN (%)(c) ..................................... (.92) 21.26
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ............... 27,640 15,860
Ratios to average net assets (%)(d):
Operating expenses, net (e) .......................... 1.00 1.00
Operating expenses, gross (e) ........................ 1.25 1.25
Net investment income (loss)(c) ......................
(.12) .59
Portfolio turnover rate (%) ............................ 42.42 76.20
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period February 11, 1999 (commencement of sale) to December 31,
1999.
*** Less than .01 cents per share.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
Equity Aggressive Strategy Fund 5
<PAGE>
EQUITY AGGRESSIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS D
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-----------------------------------
2000* 1999 1998**
--------- --------- ---------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ........... $11.43 $9.81 $9.92
--------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a)(b)*** ............... -- .06 .01
Net realized and unrealized gain (loss) ....... (.11) 2.01 .10
--------- --------- ---------
Total income from operations ................ (.11) 2.07 .11
--------- --------- ---------
DISTRIBUTIONS
From net investment income .................... (.15) (.29) (.17)
From net realized gain ........................ (.61) (.16) (.05)
--------- --------- ---------
Total distributions ......................... (.76) (.45) (.22)
--------- --------- ---------
NET ASSET VALUE, END OF PERIOD ................. $10.56 $11.43 $9.81
========= ========= =========
TOTAL RETURN (%)(c) ............................ (.76) 21.58 1.17
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ...... 10,424 3,732 4,923
Ratios to average net assets (%)(d):
Operating expenses, net (e) ................. .50 .50 .50
Operating expenses, gross (e) ............... .75 .75 .89
Net investment income (c) ................... .02 .64 .01
Portfolio turnover rate (%) ................... 42.42 76.20 73.95
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period March 24, 1998 (commencement of sale) to December 31, 1998.
*** Less than .01 cents share.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
6 Equity Aggressive Strategy Fund
<PAGE>
EQUITY AGGRESSIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------------------------------
2000* 1999 1998 1997**
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ....................... $11.39 $9.80 $8.83 $10.00
--------- --------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a)(b) .............................. .01 .10 .03 .09
Net realized and unrealized gain (loss) ................... (.11) 2.00 1.18 (.33)
--------- --------- --------- ---------
Total income from operations ............................ (.10) 2.10 1.21 (.24)
--------- --------- --------- ---------
DISTRIBUTIONS
From net investment income ................................ (.17) (.35) (.19) (.33)
From net realized gain .................................... (.61) (.16) (.05) (.60)
--------- --------- --------- ---------
Total distributions ..................................... (.78) (.51) (.24) (.93)
--------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD ............................. $10.51 $11.39 $9.80 $8.83
========= ========= ========= =========
TOTAL RETURN (%)(c) ........................................ (.71) 21.96 13.75 (2.42)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) .................. 197,271 202,066 91,459 2,985
Ratios to average net assets (%)(d):
Operating expenses, net (e) ............................. .25 .25 .25 .25
Operating expenses, gross (e)(f) ........................ .50 .50 .62 --
Net investment income (c) ............................... .11 .99 .28 .45
Portfolio turnover rate (%) ............................... 42.42 76.20 73.95 48.30
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period September 30, 1997 (commencement of operations) to December
31, 1997.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
(f) The ratio for the period ended December 31, 1997 is not meaningful due to
the class's short period of operation.
Equity Aggressive Strategy Fund 7
<PAGE>
EQUITY AGGRESSIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000*
----------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............................. $10.91
----------
INCOME FROM OPERATIONS
Net investment income (a)(b) .................................... .02
Net realized and unrealized gain ................................ .39
----------
Total income from operations .................................. .41
----------
DISTRIBUTIONS
From net investment income ...................................... (.15)
From net realized gain .......................................... (.61)
----------
Total distributions ........................................... (.76)
----------
NET ASSET VALUE, END OF PERIOD ................................... $10.56
==========
TOTAL RETURN (%)(c) .............................................. 2.92
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........................ 11,433
Ratios to average net assets (%)(d):
Operating expenses, net (e) ................................... .00
Operating expenses, gross (e) ................................. .20
Net investment income (c) ..................................... .24
Portfolio turnover rate (%) ..................................... 42.42
</TABLE>
* For the period ended January 31, 2000 (commencement of sale) to April 30,
2000 (Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Not annualized.
(d) Annualized.
(e) See Note 4 for current period amounts.
8 Equity Aggressive Strategy Fund
<PAGE>
AGGRESSIVE STRATEGY FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES $
-------- --------
INVESTMENTS
Portfolios of the Frank Russell Investment
Company Series Mutual
Fund - Class S Shares
DOMESTIC EQUITIES - 57.9%
Diversified Equity Fund 1,037,951 52,915
Quantitative Equity Fund 1,183,465 52,735
Real Estate Securities Fund 516,712 12,546
Special Growth Fund 570,383 29,095
----------
147,291
----------
INTERNATIONAL EQUITIES - 23.4%
Emerging Markets Fund 1,098,424 12,599
International Securities Fund 682,775 47,043
----------
59,642
----------
BONDS - 17.4%
Multistrategy Bond Fund 4,669,943 44,178
----------
SHORT-TERM INVESTMENTS - 1.2%
Money Market Fund
due on demand (a) 2,959,000 2,959
----------
TOTAL INVESTMENTS - 99.9%
(identified cost $246,439) 254,070
----------
OTHER ASSETS AND LIABILITIES
Other assets 958
Liabilities (578)
----------
TOTAL OTHER ASSETS AND LIABILITIES,
NET - 0.1% 380
----------
NET ASSETS - 100.0% 254,450
==========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of
net investment income (2,809)
Accumulated net realized gain (loss) 3,116
Unrealized appreciation (depreciation)
on investments 7,631
Shares of beneficial interest 241
Additional paid-in capital 246,271
----------
NET ASSETS 254,450
==========
NET ASSET VALUE, offering and redemption price
per share:
Class C ($47,416,520 divided by 4,501,546
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.53
==========
Class D ($11,867,480 divided by 1,120,594
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.59
==========
Class E ($188,457,757 divided by 17,850,820
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.56
==========
Class S ($6,708,209 divided by 633,991
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.58
==========
(a) At amortized cost, which approximates market.
Aggressive Strategy Fund 9
<PAGE>
AGGRESSIVE STRATEGY FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Income distributions from Underlying Funds ........ $ 1,046 $ 2,523
-------- --------
EXPENSES
Advisory fees ..................................... 151 250
Administrative fees ............................... 38 63
Distribution fees - Class C ....................... 100 51
Distribution fees - Class D ....................... 5 10
Shareholder servicing fees - Class C .............. 33 17
Shareholder servicing fees - Class D .............. 6 10
Shareholder servicing fees - Class E .............. 151 286
-------- --------
Expenses before reductions ........................ 484 687
Expense reductions ................................ (189) (313)
-------- --------
Expenses, net ................................... 295 374
-------- --------
Net investment income .............................. 751 2,149
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ....................................... (530) (216)
Capital gain distributions from Underlying Funds .. 4,388 11,244
-------- --------
3,858 11,028
-------- --------
Net change in unrealized appreciation
(depreciation) on investments ...................... (5,077) 11,618
-------- --------
Net realized and unrealized gain (loss) ............ (1,219) 22,646
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS ......................................... $ (468) $ 24,795
======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
10 Aggressive Strategy Fund
<PAGE>
AGGRESSIVE STRATEGY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
---------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ............................................... $ 751 $ 2,150 $ 721
Net realized gain (loss) ............................................ 3,858 11,028 1,160
Net change in unrealized
appreciation (depreciation) ......................................... (5,077) 11,617 1,403
--------- --------- ---------
Net increase (decrease) in net assets from operations ............. (468) 24,795 3,284
--------- --------- ---------
DISTRIBUTIONS
From net investment income
Class C ........................................................... (548) (503) --
Class D ........................................................... (92) (143) (54)
Class E ........................................................... (2,878) (4,608) (969)
Class S ........................................................... (42) -- --
From net realized gain
Class C ........................................................... (1,401) (22) --
Class D ........................................................... (218) (67) (4)
Class E ........................................................... (6,343) (1,243) (73)
Class S ........................................................... (86) -- --
--------- ---------- ---------
Net decrease in net assets from distributions ................... (11,608) (6,586) (1,100)
--------- ---------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ....... 63,388 119,092 58,346
--------- ---------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS .......................... 51,312 137,301 60,530
NET ASSETS
Beginning of period ................................................. 203,138 65,837 5,307
--------- --------- ---------
End of period (including accumulated distributions in excess of
net investment income of $2,809 and $188, and undistributed
net investment income of $3,828, respectively) .................... $ 254,450 $ 203,138 $ 65,837
========= ========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Aggressive Strategy Fund 11
<PAGE>
AGGRESSIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
--------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 11.15 $ 10.11
INCOME FROM OPERATIONS
Net investment income (a)(b) ...................... .01 .13
Net realized and unrealized gain (loss) ........... (.11) 1.36
--------- ---------
Total income from operations .................... (.10) 1.49
--------- ---------
DISTRIBUTIONS
From net investment income ........................ (.14) (.29)
From net realized gain ............................ (.38) (.16)
--------- ---------
Total distributions ............................. (.52) (.45)
--------- ---------
NET ASSET VALUE, END OF PERIOD ..................... $ 10.53 $ 11.15
========= =========
TOTAL RETURN (%)(c) ................................ (.79) 15.21
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) .......... 47,417 29,365
Ratios to average net assets (%)(d):
Operating expenses, net (e) ..................... 1.00 1.00
Operating expenses, gross (e) ................... 1.25 1.25
Net investment income (c) ....................... .13 1.50
Portfolio turnover rate (%) ....................... 22.98 71.44
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 29, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
12 Aggressive Strategy Fund
<PAGE>
AGGRESSIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS D
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------
2000* 1999 1998**
--------- -------- ---------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ................ $ 11.20 $ 9.95 $ 10.09
--------- -------- --------
INCOME FROM OPERATIONS
Net investment income (a)(b) ....................... .03 .15 .13
Net realized and unrealized gain (loss) ............ (.10) 1.57 (.05)
--------- -------- --------
Total income from operations ..................... (.07) 1.72 .08
--------- -------- ---------
DISTRIBUTIONS
From net investment income ......................... (.16) (.31) (.21)
From net realized gain ............................. (.38) (.16) (.01)
--------- -------- --------
Total distributions .............................. (.54) (.47) (.22)
--------- -------- --------
NET ASSET VALUE, END OF PERIOD ...................... $ 10.59 $ 11.20 $ 9.95
========= ======== ========
TOTAL RETURN (%)(c) ................................. (.57) 17.69 .96
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ......... 11,867 6,096 3,649
Ratios to average net assets (%)(d):
Operating expenses, net (e) ...................... .50 .50 .50
Operating expenses, gross (e) .................... .75 .75 .93
Net investment income (c) ........................ .27 1.48 1.35
Portfolio turnover rate (%) ........................ 22.98 71.44 93.08
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period March 24, 1998 (commencement of sale) to December 31, 1998.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
Aggressive Strategy Fund 13
<PAGE>
AGGRESSIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-----------------------------------
2000* 1999 1998 1997**
---------- ---------- ---------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............................ $ 11.17 $ 9.94 $ 9.14 $ 10.00
--------- --------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a)(b) ................................... .04 .18 .19 .10
Net realized and unrealized gain (loss) ........................ (.10) 1.56 .87 (.11)
--------- --------- --------- ---------
Total income from operations ................................. (.06) 1.74 1.06 (.01)
--------- --------- --------- ---------
DISTRIBUTIONS
From net investment income ..................................... (.17) (.35) (.25) (.31)
From net realized gain ......................................... (.38) (.16) (.01) (.54)
--------- --------- --------- ---------
Total distributions .......................................... (.55) (.51) (.26) (.85)
--------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD .................................. $ 10.56 $ 11.17 $ 9.94 $ 9.14
========= ========= ========= =========
TOTAL RETURN (%)(c) ............................................. (.46) 17.95 11.69 (.19)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ..................... 188,458 167,677 62,188 5,307
Ratios to average net assets (%)(d):
Operating expenses, net (e) .................................... .25 .25 .25 .25
Operating expenses, gross (e)(f) ............................... .50 .50 .66 --
Net investment income (c) ...................................... .37 1.73 1.88 .97
Portfolio turnover rate (%) .................................... 22.98 71.44 93.08 56.88
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period September 16, 1997 (commencement of operations) to December
31, 1997.
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
(f) The ratio for the period ended December 31, 1997 is not meaningful due to
the Class's short period of operation.
14 Aggressive Strategy Fund
<PAGE>
AGGRESSIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
2000*
---------
NET ASSET VALUE, BEGINNING OF PERIOD .............................. $ 10.82
---------
INCOME FROM OPERATIONS
Net investment income (a)(b) ..................................... .03
Net realized and unrealized gain (loss) .......................... .27
---------
Total income from operations ................................... .30
---------
DISTRIBUTIONS
From net investment income ....................................... (.16)
From net realized gain ........................................... (.38)
---------
Total distributions ............................................ (.54)
---------
NET ASSET VALUE, END OF PERIOD .................................... $ 10.58
=========
TOTAL RETURN (%)(c) ............................................... 2.10
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ......................... 6,708
Ratios to average net assets (%)(d):
Operating expenses, net (e) .................................... .00
Operating expenses, gross (e) .................................. .20
Net investment income (c) ...................................... .33
Portfolio turnover rate (%) ...................................... 22.98
* For the period February 1, 2000 (commencement of sale) to April 30, 2000
(Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Not annualized.
(d) Annualized.
(e) See Note 4 for current period amounts.
Aggressive Strategy Fund 15
<PAGE>
BALANCED STRATEGY FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
INVESTMENTS
Portfolios of the Frank Russell Investment
Company Series Mutual
Fund - Class S Shares
DOMESTIC EQUITIES - 42.5%
Diversified Equity Fund 1,191,827 60,759
Quantitative Equity Fund 1,358,972 60,556
Real Estate Securities Fund 774,500 18,805
Special Growth Fund 390,994 19,945
----------
160,065
----------
INTERNATIONAL EQUITIES - 16.8%
Emerging Markets Fund 988,426 11,337
International Securities Fund 753,588 51,922
----------
63,259
----------
BONDS - 40.2%
Diversified Bond Fund 4,236,160 92,391
Multistrategy Bond Fund 6,222,894 58,868
----------
151,259
----------
SHORT-TERM INVESTMENTS - 0.4%
Money Market Fund
due on demand (a) 1,581,000 1,581
----------
TOTAL INVESTMENTS - 99.9%
(identified cost $367,203) 376,164
----------
OTHER ASSETS AND LIABILITIES
Other assets 1,251
Liabilities (708)
----------
TOTAL OTHER ASSETS AND LIABILITIES,
NET - 0.1% 543
----------
NET ASSETS - 100.0% 376,707
==========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of
net investment income (3,011)
Accumulated net realized gain (loss) 2,374
Unrealized appreciation (depreciation)
on investments 8,961
Shares of beneficial interest 367
Additional paid-in capital 368,016
----------
NET ASSETS 376,707
==========
NET ASSET VALUE, offering and redemption price
per share:
Class C ($56,761,511 divided by 5,536,301
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.25
==========
Class D ($8,189,071 divided by 795,437
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.30
==========
Class E ($303,217,172 divided by 29,519,767
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.27
==========
Class S ($8,539,586 divided by 829,772
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.29
==========
(a) At amortized cost, which approximates market.
See accompanying notes which are an integral part of the financial statements.
16 Balanced Strategy Fund
<PAGE>
BALANCED STRATEGY FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- ------------------
<S> <C> <C>
INVESTMENT INCOME
Income distributions from Underlying Funds .................................... $ 2,766 $ 8,286
-------- --------
EXPENSES
Advisory fees ................................................................. 237 520
Administrative fees ........................................................... 59 130
Distribution fees - Class C ................................................... 122 85
Distribution fees - Class D ................................................... 7 10
Shareholder servicing fees - Class C .......................................... 41 28
Shareholder servicing fees - Class D .......................................... 7 10
Shareholder servicing fees - Class E .......................................... 249 612
-------- --------
Expenses before reductions .................................................... 722 1,395
Expense reductions ............................................................ (296) (650)
-------- --------
Expenses, net ............................................................... 426 745
-------- --------
Net investment income .......................................................... 2,340 7,541
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ................................................................... (1,143) (426)
Capital gain distributions from Underlying Funds .............................. 4,757 15,052
-------- --------
3,614 14,626
-------- --------
Net change in unrealized appreciation (depreciation) on investments ............ (5,217) 10,880
-------- --------
Net realized and unrealized gain (loss) ....................................... (1,603) 25,506
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .......................... $ 737 $ 33,047
======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Balanced Strategy Fund 17
<PAGE>
BALANCED STRATEGY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
------------------ ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income .............................................. $ 2,340 $ 7,541 $ 3,383
Net realized gain (loss) ........................................... 3,614 14,626 3,765
Net change in unrealized appreciation (depreciation) ............... (5,217) 10,880 3,463
--------- --------- ---------
Net increase (decrease) in net assets from operations ............ 737 33,047 10,611
--------- --------- ---------
DISTRIBUTIONS
From net investment income
Class C .......................................................... (639) (788) --
Class D .......................................................... (102) (230) (79)
Class E .......................................................... (4,567) (10,742) (4,774)
Class S .......................................................... (43) -- --
From net realized gain
Class C .......................................................... (1,484) (14) --
Class D .......................................................... (288) (55) (16)
Class E .......................................................... (9,187) (2,339) (493)
Class S .......................................................... (49) -- --
--------- --------- ---------
Net decrease in net assets from distributions .................. (16,359) (14,168) (5,362)
--------- --------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ...... 48,387 159,001 157,258
--------- --------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ......................... 32,765 177,880 162,507
NET ASSETS
Beginning of period ................................................ 343,942 166,062 3,555
--------- --------- ---------
End of period (including accumulated distributions in excess
of net investment income of $3,011 at April 30, 2000 and
undistributed net investment income of $6 at
December 31, 1998) ............................................... $ 376,707 $ 343,942 $ 166,062
========= ========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
18 Balanced Strategy Fund
<PAGE>
BALANCED STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
--------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ................. $ 10.72 $ 10.26
--------- ---------
INCOME FROM OPERATIONS
Net investment income (a)(b) ........................ .05 .25
Net realized and unrealized gain (loss) ............. (.07) .70
--------- ---------
Total income from operations ...................... (.02) .95
--------- ---------
DISTRIBUTIONS
From net investment income .......................... (.13) (.37)
From net realized gain .............................. (.32) (.12)
--------- ---------
Total distributions ............................... (.45) (.49)
--------- ---------
NET ASSET VALUE, END OF PERIOD ....................... $ 10.25 $ 10.72
========= =========
TOTAL RETURN (%)(c) .................................. (.09) 9.53
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ............ 56,761 39,325
Ratios to average net assets (%)(d):
Operating expenses, net (e) ....................... 1.00 1.00
Operating expenses, gross (e) ..................... 1.25 1.25
Net investment income (c) ......................... .46 2.96
Portfolio turnover rate (%) ......................... 16.77 64.63
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 29, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
Balanced Strategy Fund 19
<PAGE>
BALANCED STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS D
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------
2000* 1999 1998**
-------- -------- --------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .......................... $ 10.77 $ 10.13 $ 10.22
-------- -------- --------
INCOME FROM OPERATIONS
Net investment income (a)(b) ................................. .06 .30 .24
Net realized and unrealized gain (loss) ...................... (.06) .84 .07
-------- -------- --------
Total income from operations ............................... .00 1.14 .31
-------- -------- --------
DISTRIBUTIONS
From net investment income ................................... (.15) (.38) (.37)
From net realized gain ....................................... (.32) (.12) (.03)
-------- -------- --------
Total distributions ........................................ (.47) (.50) (.40)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD ................................ $ 10.30 $ 10.77 $ 10.13
======== ======== ========
TOTAL RETURN (%)(c) ........................................... .11 11.64 3.23
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ..................... 8,189 9,075 4,953
Ratios to average net assets (%)(d):
Operating expenses, net (e) ................................ .50 .50 .50
Operating expenses, gross (e) .............................. .75 .75 .86
Net investment income (c) .................................. .55 3.07 2.46
Portfolio turnover rate (%) .................................. 16.77 64.63 78.85
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period March 24, 1998 (commencement of sale) to December 31, 1998.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
20 Balanced Strategy Fund
<PAGE>
BALANCED STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
---------------------------------
2000* 1999 1998 1997**
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............................. $ 10.74 $ 10.12 $ 9.46 $ 10.00
--------- --------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a)(b) .................................... .07 .30 .31 .09
Net realized and unrealized gain (loss) ......................... (.06) .86 .78 .02
--------- --------- --------- ---------
Total income from operations .................................. .01 1.16 1.09 .11
--------- --------- --------- ---------
DISTRIBUTIONS
From net investment income ...................................... (.16) (.42) (.40) (.24)
From net realized gain .......................................... (.32) (.12) (.03) (.41)
--------- --------- --------- ---------
Total distributions ........................................... (.48) (.54) (.43) (.65)
--------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD ................................... $ 10.27 $ 10.74 $ 10.12 $ 9.46
========= ========= ========= =========
TOTAL RETURN (%)(c) .............................................. .19 11.80 11.66 1.04
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........................ 303,217 295,542 161,108 3,554
Ratios to average net assets (%)(d):
Operating expenses, net (e) ................................... .25 .25 .25 .25
Operating expenses, gross (e)(f) .............................. .50 .50 .61 --
Net investment income (c) ..................................... .68 2.89 3.05 1.30
Portfolio turnover rate (%) ..................................... 16.77 64.63 78.85 29.58
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period September 16, 1997 (commencement of operations) to December
31, 1997.
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
(f) The ratio for the period ended December 31, 1997 is not meaningful due to
the Class's short period of operation.
Balanced Strategy Fund 21
<PAGE>
BALANCED STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
2000*
---------
NET ASSET VALUE, BEGINNING OF PERIOD ............................... $ 10.45
---------
INCOME FROM OPERATIONS
Net investment income (a)(b) ...................................... .04
Net realized and unrealized gain (loss) ........................... .28
---------
Total income from operations .................................... .32
---------
DISTRIBUTIONS
From net investment income ........................................ (.16)
From net realized gain ............................................ (.32)
---------
Total distributions ............................................. (.48)
---------
NET ASSET VALUE, END OF PERIOD ..................................... $ 10.29
=========
TOTAL RETURN (%)(c) ................................................ 2.44
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) .......................... 8,540
Ratios to average net assets (%)(d):
Operating expenses, net (e) ..................................... .00
Operating expenses, gross (e) ................................... .20
Net investment income (c) ....................................... .57
Portfolio turnover rate (%) ....................................... 16.77
* For the period ended January 31, 2000 (commencement of sale) to April 30,
2000 (Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Not annualized.
(d) Annualized.
(e) See Note 4 for current period amounts.
22 Balanced Strategy Fund
<PAGE>
MODERATE STRATEGY FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- -------
INVESTMENTS
Portfolios of the Frank Russell Investment
Company Series Mutual
Fund - Class S Shares
DOMESTIC EQUITIES - 29.2%
Diversified Equity Fund 125,009 6,373
Quantitative Equity Fund 144,160 6,424
Real Estate Securities Fund 117,510 2,853
Special Growth Fund 24,153 1,232
----------
16,882
----------
INTERNATIONAL EQUITIES - 11.0%
Emerging Markets Fund 102,668 1,178
International Securities Fund 75,363 5,192
----------
6,370
----------
BONDS - 59.2%
Diversified Bond Fund 704,425 15,364
Short Term Bond Fund 1,042,796 18,791
----------
34,155
----------
SHORT-TERM INVESTMENTS - 0.6%
Money Market Fund
due on demand (a) 341,000 341
TOTAL INVESTMENTS - 100.0%
(identified cost $56,878) 57,748
==========
OTHER ASSETS AND LIABILITIES
Other assets 110
Liabilities (129)
----------
TOTAL OTHER ASSETS AND LIABILITIES,
NET - (0.0%) (19)
----------
NET ASSETS - 100.0% 57,729
==========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of
net investment income (281)
Accumulated net realized gain (loss) (180)
Unrealized appreciation (depreciation)
on investments 870
Shares of beneficial interest 57
Additional paid-in capital 57,263
----------
NET ASSETS 57,729
==========
NET ASSET VALUE, offering and redemption price
per share:
Class C ($6,956,070 divided by 683,437
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.18
Class D ($1,685,239 divided by 164,933 ==========
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.22
Class E ($48,195,236 divided by 4,737,428 ==========
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.17
Class S ($892,355 divided by 87,705 ==========
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.17
==========
(a) At amortized cost, which approximates market.
See accompanying notes which are an integral part of the financial statements.
Moderate Strategy Fund 23
<PAGE>
MODERATE STRATEGY FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------------ -----------------
<S> <C> <C>
INVESTMENT INCOME
Income distributions from Underlying Funds ............................ $ 541 $ 1,562
------- -------
EXPENSES
Advisory fees ......................................................... 35 76
Administrative fees ................................................... 9 19
Distribution fees - Class C ........................................... 14 10
Distribution fees - Class D ........................................... 1 4
Shareholder servicing fees - Class C .................................. 5 3
Shareholder servicing fees - Class D .................................. 1 4
Shareholder servicing fees - Class E .................................. 38 88
------- -------
Expenses before reductions ............................................ 103 204
Expense reductions .................................................... (44) (95)
------- -------
Expenses, net ....................................................... 59 109
------- -------
Net investment income .................................................. 482 1,453
------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ........................................................... (220) (112)
Capital gain distributions from Underlying Funds ...................... 451 1,483
------- -------
231 1,371
------- -------
Net change in unrealized appreciation (depreciation) on investments .... (343) 656
------- -------
Net realized and unrealized gain (loss) ................................ (112) 2,027
------- -------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .................. $ 370 $ 3,480
======= =======
</TABLE>
See accompanying notes which are an integral part of the financial statements.
24 Moderate Strategy Fund
<PAGE>
MODERATE STRATEGY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income .............................................. $ 482 $ 1,453 $ 448
Net realized gain (loss) ........................................... 231 1,371 65
Net change in unrealized appreciation (depreciation) ............... (343) 656 571
-------- -------- --------
Net increase (decrease) in net assets from operations ............ 370 3,480 1,084
-------- -------- --------
DISTRIBUTIONS
From net investment income
Class C .......................................................... (73) (86) --
Class D .......................................................... (22) (61) (45)
Class E .......................................................... (661) (1,721) (479)
Class S .......................................................... (7) -- --
From net realized gain
Class C .......................................................... (113) (12) --
Class D .......................................................... (30) (14) (1)
Class E .......................................................... (890) (274) (16)
Class S .......................................................... (7) -- --
-------- -------- --------
Net decrease in net assets from distributions .................. (1,803) (2,168) (541)
-------- -------- --------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ...... 8,307 29,190 19,425
-------- -------- --------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ......................... 6,874 30,502 19,968
NET ASSETS
Beginning of period ................................................ 50,855 20,353 385
-------- -------- --------
End of period (including accumulated distributions in excess of
net investment income of $281 at April 30, 2000 and
undistributed net investment income of $1 at
December 31, 1998) ............................................... $ 57,729 $ 50,855 $ 20,353
======== ======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Moderate Strategy Fund 25
<PAGE>
MODERATE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
-------- --------
NET ASSET VALUE, BEGINNING OF PERIOD .................. $ 10.46 $ 10.15
-------- --------
INCOME FROM OPERATIONS
Net investment income (a)(b) ......................... .08 .32
Net realized and unrealized gain (loss) .............. (.04) .48
-------- --------
Total income from operations ....................... .04 .80
-------- --------
DISTRIBUTIONS
From net investment income ........................... (.12) (.40)
From net realized gain ............................... (.20) (.09)
-------- --------
Total distributions ................................ (.32) (.49)
-------- --------
NET ASSET VALUE, END OF PERIOD ........................ $ 10.18 $ 10.46
======== ========
TOTAL RETURN (%)(c) ................................... .45 8.03
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........... 6,956 4,139
Ratios to average net assets (%)(d):
Operating expenses, net (e) .......................... 1.00 1.00
Operating expenses, gross (e) ........................ 1.25 1.25
Net investment income (c) ............................ .74 3.35
Portfolio turnover rate (%) .......................... 16.92 120.04
* For the four months ended April 30, 2000 (Unaudited).
** For the period February 11, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
26 Moderate Strategy Fund
<PAGE>
MODERATE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS D
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------
2000* 1999 1998**
-------- -------- --------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............................. $ 10.49 $ 10.15 $ 10.18
-------- -------- --------
INCOME FROM OPERATIONS
Net investment income (a)(b) .................................... .09 .33 .26
Net realized and unrealized gain (loss) ......................... (.02) .50 .09
-------- -------- --------
Total income from operations .................................. .07 .83 .35
-------- -------- --------
DISTRIBUTIONS
From net investment income ...................................... (.14) (.40) (.37)
From net realized gain .......................................... (.20) (.09) (.01)
-------- -------- --------
Total distributions ........................................... (.34) (.49) (.38)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD ................................... $ 10.22 $ 10.49 $ 10.15
======== ======== ========
TOTAL RETURN (%)(c) .............................................. .68 8.40 3.57
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........................ 1,685 1,367 1,780
Ratios to average net assets (%)(d):
Operating expenses, net (e) ................................... .50 .50 .50
Operating expenses, gross (e) ................................. .75 .75 1.01
Net investment income (c) ..................................... .85 3.28 2.65
Portfolio turnover rate (%) ..................................... 16.92 120.04 175.58
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period March 24, 1998 (commencement of sale) to December 31, 1998.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
Moderate Strategy Fund 27
<PAGE>
MODERATE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
--------------------------------
2000* 1999 1998 1997**
--------- --------- --------- --------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .................................. $ 10.46 $ 10.15 $ 9.61 $ 10.00
--------- --------- --------- --------
INCOME FROM OPERATIONS
Net investment income (a)(b) ......................................... .09 .40 .39 .07
Net realized and unrealized gain (loss) .............................. (.03) .46 .57 (.08)
--------- --------- --------- --------
Total income from operations ....................................... .06 .86 .96 (.01)
--------- --------- --------- --------
DISTRIBUTIONS
From net investment income ........................................... (.15) (.46) (.41) (.14)
From net realized gain ............................................... (.20) (.09) (.01) (.24)
--------- --------- --------- --------
Total distributions ................................................ (.35) (.55) (.42) (.38)
--------- --------- --------- --------
NET ASSET VALUE, END OF PERIOD ........................................ $ 10.17 $ 10.46 $ 10.15 $ 9.61
========= ========= ========= ========
TOTAL RETURN (%)(c) ................................................... .62 8.65 10.19 (.06)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ............................. 48,196 45,350 18,573 385
Ratios to average net assets (%)(d):
Operating expenses, net (e) ........................................ .25 .25 .25 .25
Operating expenses, gross (e)(f) ................................... .50 .50 .94 --
Net investment income (c) .......................................... .92 3.87 3.71 1.01
Portfolio turnover rate (%) .......................................... 16.92 120.04 175.58 9.66
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period October 2, 1997 (commencement of operations) to December 31,
1997.
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
(f) The ratio for the period ended December 31, 1997 is not meaningful due to
the Class's short period of operation.
28 Moderate Strategy Fund
<PAGE>
MODERATE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
2000*
--------
NET ASSET VALUE, BEGINNING OF PERIOD ............................... $ 10.27
--------
INCOME FROM OPERATIONS
Net investment income (a)(b) ...................................... .08
Net realized and unrealized gain (loss) ........................... .17
--------
Total income from operations .................................... .25
--------
DISTRIBUTIONS
From net investment income ........................................ (.15)
From net realized gain ............................................ (.20)
--------
Total distributions ............................................. (.35)
--------
NET ASSET VALUE, END OF PERIOD ..................................... $ 10.17
========
TOTAL RETURN (%)(c) ................................................ 1.09
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) .......................... 892
Ratios to average net assets (%)(d):
Operating expenses, net (e) ..................................... .00
Operating expenses, gross (e) ................................... .20
Net investment income (c) ....................................... 1.12
Portfolio turnover rate (%) ....................................... 16.92
* For the period February 1, 2000 (commencement of sale) to April 30, 2000
(Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Not annualized.
(d) Annualized.
(e) See Note 4 for current period amounts.
Moderate Strategy Fund 29
<PAGE>
CONSERVATIVE STRATEGY FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ --------
INVESTMENTS
Portfolios of the Frank Russell Investment
Company Series Mutual
Fund - Class S Shares
DOMESTIC EQUITIES - 16.4%
Diversified Equity Fund 16,638 848
Quantitative Equity Fund 23,034 1,026
Real Estate Securities Fund 35,409 860
--------
2,734
--------
INTERNATIONAL EQUITIES - 6.1%
Emerging Markets Fund 14,864 171
International Securities Fund 12,247 844
--------
1,015
--------
BONDS - 78.9%
Diversified Bond Fund 137,996 3,010
Short Term Bond Fund 563,662 10,157
--------
13,167
--------
TOTAL INVESTMENTS - 101.4%
(identified cost $16,856) 16,916
--------
OTHER ASSETS AND LIABILITIES
Other assets 57
Liabilities (293)
--------
TOTAL OTHER ASSETS AND LIABILITIES,
NET - 1.4% (236)
--------
NET ASSETS - 100.0% 16,680
========
NET ASSETS CONSIST OF:
Accumulated distribution in excess of
net investment income (49)
Accumulated net realized gain (loss) (210)
Unrealized appreciation (depreciation)
on investments 60
Shares of beneficial interest 17
Additional paid-in capital 16,862
--------
NET ASSETS 16,680
=======
NET ASSET VALUE, offering and redemption price
per share:
Class C ($1,927,773 divided by 191,130
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.09
========
Class D ($766,649 divided by 75,739
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.12
========
Class E ($13,437,976 divided by 1,330,825
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.10
========
Class S ($548,010 divided by 54,219
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.11
========
See accompanying notes which are an integral part of the financial statements.
30 Conservative Strategy Fund
<PAGE>
CONSERVATIVE STRATEGY FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Income distributions from Underlying Funds ................................. $ 209 $ 724
---------- ---------
EXPENSES
Advisory fees .............................................................. 12 29
Administrative fees ........................................................ 3 7
Distribution fees - Class C ................................................ 4 3
Distribution fees - Class D ................................................ 1 2
Shareholder servicing fees - Class C ....................................... 1 1
Shareholder servicing fees - Class D ....................................... 1 2
Shareholder servicing fees - Class E ....................................... 13 34
---------- ---------
Expenses before reductions ................................................. 35 78
Expense reductions ......................................................... (15) (36)
---------- ---------
Expenses, net ............................................................ 20 42
---------- ---------
Net investment income ....................................................... 189 682
---------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ................................................................ (169) (50)
Capital gain distributions from Underlying Funds ........................... 77 286
---------- ---------
(92) 236
---------- ---------
Net change in unrealized appreciation (depreciation) on investments ......... 75 (77)
---------- ---------
Net realized and unrealized gain (loss) .................................... (17) 159
---------- ---------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ....................... $ 172 $ 841
========== =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Conservative Strategy Fund 31
<PAGE>
CONSERVATIVE STRATEGY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS
<S> <C> <C> <C>
OPERATIONS
Net investment income ................................................. $ 189 $ 682 $ 112
Net realized gain (loss) .............................................. (92) 236 10
Net change in unrealized appreciation (depreciation) .................. 75 (77) 62
---------- ---------- ---------
Net increase (decrease) in net assets from operations ............... 172 841 184
---------- ---------- ---------
DISTRIBUTIONS
From net investment income
Class C ............................................................. (21) (49) --
Class D ............................................................. (10) (54) (18)
Class E ............................................................. (201) (864) (104)
Class S ............................................................. (6) -- --
From net realized gain
Class C ............................................................. -- (4) --
Class D ............................................................. -- (4) --
Class E ............................................................. -- (62) (1)
---------- ---------- ---------
Net decrease in net assets from distributions ..................... (238) (1,037) (123)
---------- --------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ......... (2,827) 14,740 4,945
---------- --------- ---------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS ............................................................. (2,893) 14,544 5,006
NET ASSETS
Beginning of period ................................................... 19,573 5,029 23
---------- --------- ---------
End of period (including accumulated distributions in excess of
net investment income of $49 at April 30, 2000) ..................... $ 16,680 $ 19,573 $ 5,029
========== ========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
32 Conservative Strategy Fund
<PAGE>
CONSERVATIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
-------- --------
NET ASSET VALUE, BEGINNING OF PERIOD ................... $ 10.12 $ 10.26
-------- --------
INCOME FROM OPERATIONS
Net investment income (a)(b) .......................... .09 .43
Net realized and unrealized gain (loss) ............... -- .04
-------- --------
Total income from operations ........................ .09 .47
-------- --------
DISTRIBUTIONS
From net investment income ............................ (.12) (.56)
From net realized gain ................................ -- (.05)
-------- --------
Total distributions ................................. (.12) (.61)
-------- --------
NET ASSET VALUE, END OF PERIOD ......................... $ 10.09 $ 10.12
======== ========
TOTAL RETURN (%)(c) .................................... .85 4.67
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) .............. 1,928 1,697
Ratios to average net assets (%)(d):
Operating expenses, net (e) ......................... 1.00 1.00
Operating expenses, gross (e) ....................... 1.25 1.25
Net investment income (c) ........................... .94 4.77
Portfolio turnover rate (%) ........................... 14.94 125.01
* For the four months ended April 30, 2000 (Unaudited).
** For the period February 11, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
Conservative Strategy Fund 33
<PAGE>
CONSERVATIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS D
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED
DECEMBER 31,
--------------------
2000* 1999 1998**
-------- -------- --------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .................... $ 10.16 $ 10.25 $ 10.20
-------- -------- --------
INCOME FROM OPERATIONS
Net investment income (a)(b) ........................... .10 .44 .32
Net realized and unrealized gain (loss) ................ -- .08 .06
-------- -------- --------
Total income from operations ......................... .10 .52 .38
-------- -------- --------
DISTRIBUTIONS
From net investment income ............................. (.14) (.56) (.33)
From net realized gain ................................. -- (.05) --
-------- -------- --------
Total distributions .................................. (.14) (.61) (.33)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD .......................... $ 10.12 $ 10.16 $ 10.25
======== ======== ========
TOTAL RETURN (%)(c) ..................................... .96 5.18 3.77
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ............... 766 1,001 618
Ratios to average net assets (%)(d):
Operating expenses, net (e) .......................... .50 .50 .50
Operating expenses, gross (e) ........................ .75 .75 1.73
Net investment income (c) ............................ 1.03 4.24 3.99
Portfolio turnover rate (%) ............................ 14.94 125.01 169.79
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period March 24, 1998 (commencement of sale) to December 31, 1998.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
34 Conservative Strategy Fund
<PAGE>
CONSERVATIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
---------------------------------
2000* 1999 1998 1997**
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ..................... $ 10.14 $ 10.24 $ 9.88 $ 10.00
--------- --------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a)(b) ............................ .11 .49 .46 .07
Net realized and unrealized gain (loss) ................. -- .06 .29 .07
--------- --------- --------- ---------
Total income from operations .......................... .11 .55 .75 .14
--------- --------- --------- ---------
DISTRIBUTIONS
From net investment income .............................. (.15) (.60) (.39) (.10)
From net realized gain .................................. -- (.05) -- (.16)
--------- --------- --------- ---------
Total distributions ................................... (.15) (.65) (.39) (.26)
--------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD ........................... $ 10.10 $ 10.14 $ 10.24 $ 9.88
========= ========= ========= =========
TOTAL RETURN (%)(c) ...................................... 1.07 5.54 7.70 1.36
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ................ 13,438 16,875 4,411 23
Ratios to average net assets (%)(d):
Operating expenses, net (e) ............................. .25 .25 .25 .25
Operating expenses, gross (e)(f) ........................ .50 .50 2.50 --
Net investment income (c) ............................... 1.06 4.76 4.41 .67
Portfolio turnover rate (%) ............................. 14.94 125.01 169.79 0.00
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period November 7, 1997 (commencement of operations) to December
31, 1997.
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) See Note 4 for current period amounts.
(f) The ratio for the period ended December 31, 1997 is not meaningful due to
the Class's short period of operation.
Conservative Strategy Fund 35
<PAGE>
CONSERVATIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
2000*
--------
NET ASSET VALUE, BEGINNING OF PERIOD ............................... $ 10.09
--------
INCOME FROM OPERATIONS
Net investment income (a)(b) ...................................... .14
Net realized and unrealized gain (loss) ........................... .03
--------
Total income from operations .................................... .17
--------
DISTRIBUTIONS
From net investment income ........................................ (.15)
--------
NET ASSET VALUE, END OF PERIOD ..................................... $ 10.11
========
TOTAL RETURN (%)(c) ................................................ 1.68
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) .......................... 548
Ratios to average net assets (%)(d):
Operating expenses, net (e) ..................................... .00
Operating expenses, gross (e) ................................... .20
Net investment income (c) ....................................... 1.90
Portfolio turnover rate (%) ....................................... 14.94
* For the period February 14, 2000 (commencement of sale) to April 30, 2000
(Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Not annualized.
(d) Annualized.
(e) See Note 4 for current period amounts.
36 Conservative Strategy Fund
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 2000 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 29 different investment portfolios, referred to as
"Funds." These financial statements report on five LifePoints(R) 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.
The Fund's Board of Trustees approved a change in the Fund's fiscal
year-end from December 31 to October 31. As a result, this financial report
reflects the four-month period commencing on January 1, 2000 through April
30, 2000.
Each of the LifePoints Funds allocates its assets by investing in a
combination of Class S shares of the Investment Company's portfolios (the
"Underlying Funds"). Each of the LifePoints Funds will adjust its
investments within set limits based on Frank Russell Investment Management
Company's ("FRIMCo" or "Advisor") outlook for the economy, financial
markets and relative market valuation of the asset classes represented by
each Underlying Fund. However, the LifePoints Funds may deviate from set
limits when, in FRIMCo's opinion, it is necessary to do so to pursue a
LifePoints Fund's investment objective. The amounts allocated to each
Underlying Fund by each LifePoints Fund will generally vary within 10% of
the percentages specified below:
<TABLE>
<CAPTION>
ASSET ALLOCATION RANGES
--------------------------------------------------------------
EQUITY
AGGRESSIVE AGGRESSIVE BALANCED MODERATE CONSERVATIVE
STRATEGY STRATEGY STRATEGY STRATEGY STRATEGY
ASSET CLASS/UNDERLYING FUNDS FUND FUND FUND FUND FUND
---------------------------------------------------------- ---------- ---------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C>
Equities
US Equities
Diversified Equity 30% 21% 16% 11% 5%
Special Growth 10 11 5 2 --
Quantitative Equity 30 21 16 11 6
Real Estate Equity 5 5 5 5 5
International Equities
International Securities 20 19 14 9 5
Emerging Markets 5 5 3 2 1
Bonds
Diversified Bond -- -- 25 27 18
Short-Term Bond -- -- -- 33 60
Multistrategy Bond -- 18 16 -- --
</TABLE>
OBJECTIVES OF THE UNDERLYING FUNDS:
DIVERSIFIED EQUITY FUND: To provide income and capital growth by investing
principally in equity securities.
SPECIAL GROWTH FUND: To maximize total return primarily through capital
appreciation and assuming a higher level of volatility than the Diversified
Equity Fund.
QUANTITATIVE EQUITY FUND: To provide a total return greater than the total
return of the US stock market (as measured by the Russell 1000(R) Index
over a market cycle of four to six years), while maintaining volatility and
diversification similar to the Index.
REAL ESTATE SECURITIES FUND: To generate a high level of total return
through above average current income while maintaining the potential for
capital appreciation by investing primarily in the equity securities of
companies in the real estate industry.
INTERNATIONAL SECURITIES FUND: To provide favorable total return and
additional diversification for US investors by investing primarily in
equity securities of non-US companies.
EMERGING MARKETS FUND: To maximize total return, primarily through capital
appreciation and by assuming a higher level of volatility than is
ordinarily expected from developed market international portfolios by
investing primarily in equity securities.
Notes to Financial Statements 37
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
DIVERSIFIED BOND FUND: To provide effective diversification against
equities and a stable level of cash flow by investing in fixed-income
securities.
MULTISTRATEGY BOND FUND: To provide maximum total return, primarily through
capital appreciation and by assuming a higher level of volatility than is
ordinarily expected from broad fixed-income market portfolios, by investing
in fixed-income securities.
SHORT TERM BOND FUND: The preservation of capital and the generation of
current income consistent with preservation of capital by investing
primarily in fixed-income securities with low-volatility characteristics.
Financial statements of the Underlying Funds can be obtained by calling the
Office of Shareholder Inquiries at (800) RUSSEL4, (800) 787-7354.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with generally
accepted accounting principles ("GAAP") 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: Investments in Underlying Funds are valued at the net
asset value per share of each Underlying Fund as of 4:00 p.m. or the close
of regular trading on the New York Stock Exchange, if earlier. Short-term
investments having a maturity of sixty days or less are valued at amortized
cost.
INVESTMENT TRANSACTIONS: Securities transactions are recorded on a trade
date basis. Realized gains and losses from securities transactions are
recorded on the basis of specific identified cost incurred by each money
manager within a particular fund.
INVESTMENT INCOME: Distributions of income and capital gains from the
Underlying Funds are recorded on the ex-dividend date.
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 and capital gains. Therefore, no
federal income tax provision was required for the Funds.
The aggregate cost of investments and the composition of gross unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of April 30, 2000 were as follows:
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Equity Aggressive Strategy $ 229,047,379 $ 17,532,724 $ -- $ 17,532,724
Aggressive Strategy 247,152,664 8,585,541 (1,668,463) 6,917,078
Balanced Strategy 368,408,404 14,360,938 (6,605,090) 7,755,848
Moderate Strategy 57,281,619 959,954 (493,880) 466,074
Conservative Strategy 16,972,823 196,915 (254,200 (57,285)
</TABLE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Income dividends are generally
declared and paid quarterly. 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 and capital gains.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from GAAP. As a result, net investment income and net
realized gain (or loss) from investment transactions for a reporting period
may differ significantly from distributions during such period. The
differences between tax regulations and GAAP relate primarily to certain
securities sold at a loss. Accordingly, the Funds may periodically make
reclassifications among certain of their capital accounts without impacting
their net asset value.
38 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
EXPENSES: Expenses, other than Class specific expenses, are allocated to
each Class of shares based upon their relative net assets. Expenses
included in the accompanying financial statements reflect the expenses of
each Fund and do not include any expenses associated with the Underlying
Funds.
3. INVESTMENT TRANSACTIONS
SECURITIES: During the period ended April 30, 2000, purchases and sales of
the Underlying Funds (excluding Money Market Fund investments) were as
follows:
PURCHASES SALES
------------- -------------
Equity Aggressive Strategy $ 125,005,505 $ 93,405,466
Aggressive Strategy 110,459,505 53,252,898
Balanced Strategy 99,192,968 60,360,197
Moderate Strategy 16,211,597 9,088,987
Conservative Strategy 2,709,543 5,546,457
4. RELATED PARTIES
ADVISOR AND ADMINISTRATOR: FRIMCo advises and administers all of the Funds
which compromise the Investment Company. FRIMCo is a wholly owned
subsidiary of Frank Russell Company, a wholly owned subsidiary of The
Northwestern Mutual Life Insurance Company.
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. As
of April 30, 2000, $7,934,000 of the Money Market Fund's net assets
represents investments by these Funds and $940,680,000 represents the
investments of other affiliated Funds not presented herein.
The Funds are charged an advisory fee equal to 0.20% of average daily net
assets and an Administrative fee equal to 0.05% of average daily net
assets. For the period ended April 30, 2000, the Advisor contractually
agreed to waive both the advisory fee and the administrative fee.
No LifePoints Fund will bear any operating expenses. Operating expenses
include those expenses arising from accounting, custody, auditing, legal
and transfer agent services. They do not include expenses attributable to
advisory and administrative fees (which are currently waived by FRIMCo),
any Rule 12b-1 distribution fee, any shareholder service fees, or any
nonrecurring extraordinary expenses, which will be borne by the LifePoints
Funds or their appropriate classes of shares.
A LifePoints Fund's operating expenses are borne either by the Underlying
Funds in which the LifePoints Fund invests or by FRIMCo. This arrangement
is governed by Special Servicing Agreements among each of the affected
Funds and FRIMCo. Those agreements are entered into on a yearly basis and
must be re-approved annually by the Investment Company's Board of Trustees.
TRANSFER AGENT: The Funds have a contract with FRIMCo to provide transfer
agent services to the Investment Company. The Underlying Funds have borne
this expense.
Notes to Financial Statements 39
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
DISTRIBUTOR AND SHAREHOLDER SERVICING: Pursuant to the Distribution
Agreement with the Investment Company, Russell Fund Distributors, Inc.
("Distributor"), a wholly owned subsidiary of FRIMCo, serves as distributor
for all Investment Company portfolio shares, including Class E, Class D,
and Class C shares of the Funds.
The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the
"Plan") under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to the Distributor or any Selling Agents, as
defined in the Plan, an amount (the "12b-1 Fee") for sales support services
provided, and related expenses incurred which are primarily intended to
result in the sale of the Class D and Class C shares subject to the
Distribution Plan. The 12b-1 distribution payments shall not exceed 0.25%
of the average daily net assets of a Fund's Class D shares or 0.75% of the
average daily net assets of a Fund's Class C shares on an annual basis.
In addition, the Investment Company has adopted a Shareholder Services Plan
(the "Services Plan") under which the Funds may make payments to the
Distributor or any Servicing Agent for any activities or expenses primarily
intended to assist, support or service the Servicing Agents' clients who
beneficially own Class E, Class D, and Class C shares of the Funds. The
shareholder servicing payments shall not exceed 0.25% of the average daily
net assets of a Fund's Class E, Class D, and Class C shares on an annual
basis.
ACCRUED SHAREHOLDER SERVICING AND DISTRIBUTION FEES PAYABLE TO AFFILIATES
AS OF APRIL 30, 2000 WERE AS FOLLOWS:
Equity Aggressive
Strategy $ 64,484
Aggressive Strategy 81,395
Balanced Strategy 111,620
Moderate Strategy 15,869
Conservative Strategy 4,679
----------
$ 278,047
==========
BOARD OF TRUSTEES: The Investment Company pays each of its Trustees not
affiliated with FRIMCo a retainer of $55,000 per year plus out-of-pocket
expenses. Total trustee expenses for the period ended April 30, 2000 are
paid for by the Underlying Funds or FRIMCo under the aforementioned Special
Servicing Agreements.
40 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
5. FUND SHARE TRANSACTIONS
Share transactions for the period ended April 30, 2000, the year ended
December 31, 1999 and the year ended December 31, 1998 were as follows:
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------------------- -------------------------------
2000 1999 1998 2000 1999 1998
EQUITY AGGRESSIVE STRATEGY ----------- ------------ ----------- -------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
CLASS E
Proceeds from shares sold 5,018,269 10,976,153 9,545,046 $ 53,787 $ 111,250 $ 86,677
Proceeds from reinvestment of distributions 1,206,788 735,158 150,876 12,340 7,740 1,443
Payments for shares redeemed (5,194,385) (3,307,666) (702,666) (57,106) (34,268) (6,451)
----------- ------------ ----------- -------- ---------- ---------
Net increase (decrease) 1,030,672 8,403,645 8,993,256 9,021 84,722 81,669
----------- ------------ ----------- -------- ---------- ---------
CLASS D (a)
Proceeds from shares sold 702,233 340,578 502,893 7,318 3,495 4,784
Proceeds from reinvestment of distributions 24,949 15,864 3,888 257 163 37
Payments for shares redeemed (66,208) (531,958) (4,767) (720) (5,425) (46)
----------- ------------ ----------- -------- ---------- ---------
Net increase (decrease) 660,974 (175,516) 502,014 6,855 (1,767) 4,775
----------- ------------ ----------- -------- ---------- ---------
CLASS C (b)
Proceeds from shares sold 1,210,513 1,544,511 -- 13,132 16,146 --
Proceeds from reinvestment of distributions 145,885 29,855 -- 1,490 326 --
Payments for shares redeemed (116,947) (180,588) -- (1,238) (1,868) --
----------- ------------ ----------- -------- ---------- ---------
Net increase (decrease) 1,239,451 1,393,778 -- 13,384 14,604 --
----------- ------------ ----------- -------- ---------- ---------
CLASS S (c)
Proceeds from shares sold 1,174,504 -- -- 12,569 -- --
Proceeds from reinvestment of distributions 10,718 -- -- 111 -- --
Payments for shares redeemed (102,227) -- -- (1,101) -- --
----------- ------------ ----------- -------- ---------- ---------
Net increase (decrease) 1,082,995 -- -- 11,579 -- --
----------- ------------ ----------- -------- ---------- ---------
Total increase (decrease) 4,014,092 9,621,907 9,495,270 $ 40,839 $ 97,559 $ 86,444
=========== ============ =========== ======== ========== =========
</TABLE>
(a) Fund share transactions for the period ended December 31, 1998 are for
the period March 24, 1998 (commencement of sale of shares) to December
31, 1998.
(b) Fund share transactions are for the period February 11, 1999
(commencement of sale of shares) to December 31, 1999.
(c) Fund share transactions are for the period January 31, 2000
(commencement of sale of shares) to April 30, 2000.
Notes to Financial Statements 41
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------------------- -----------------------------------
2000 1999 1998 2000 1999 1998
AGGRESSIVE STRATEGY ------------ ------------ ----------- ----------- ---------- ----------
CLASS E
<S> <C> <C> <C> <C> <C> <C>
Proceeds from shares sold 4,240,201 10,507,851 6,093,738 $ 45,651 $ 107,829 $ 58,658
Proceeds from reinvestment of
distributions 866,984 546,129 99,583 9,019 5,706 955
Payments for shares redeemed (2,268,974) (2,297,816) (517,340) (24,280) (23,659) (4,852)
----------- ------------ ----------- ---------- --------- --------
Net increase (decrease) 2,838,211 8,756,164 5,675,981 30,390 89,876 54,761
----------- ------------ ----------- ---------- --------- --------
CLASS D (a)
Proceeds from shares sold 621,522 506,069 450,907 6,529 5,174 4,314
Proceeds from reinvestment of
distributions 29,634 18,899 5,923 310 196 57
Payments for shares redeemed (75,023) (347,272) (90,064) (805) (3,547) (786)
----------- ------------ ----------- ---------- --------- --------
Net increase (decrease) 576,133 177,696 366,766 6,034 1,823 3,585
----------- ------------ ----------- ---------- --------- --------
CLASS C (b)
Proceeds from shares sold 1,829,176 2,762,515 -- 19,785 28,710 --
Proceeds from reinvestment of
distributions 183,456 47,843 -- 1,903 514 --
Payments for shares redeemed (145,624) (175,820) -- (1,557) (1,831) --
----------- ------------ ----------- ---------- --------- --------
Net increase (decrease) 1,867,008 2,634,538 -- 20,131 27,393 --
----------- ------------ ----------- ---------- --------- --------
CLASS S (c)
Proceeds from shares sold 950,568 -- -- 10,256 -- --
Proceeds from reinvestment of
distributions 11,740 -- -- 123 -- --
Payments for shares redeemed (328,316) -- -- (3,546) -- --
----------- ------------ ----------- ---------- --------- --------
Net increase (decrease) 633,992 -- -- 6,833 -- --
----------- ------------ ----------- ---------- --------- --------
Total increase (decrease) 5,915,344 11,568,398 6,042,747 $ 63,388 $ 119,092 $ 58,346
=========== ============ =========== ========== ========= ========
</TABLE>
(a) Fund share transactions for the period ended December 31, 1998 are for
the period March 24, 1998 (commencement of sale of shares) to December
31, 1998.
(b) Fund share transactions are for the period January 29, 1999
(commencement of sale of shares) to December 31, 1999.
(c) Fund share transactions are for the period February 1, 2000
(commencement of sale of shares) to April 30, 2000.
42 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
-------------------------------------- ------------------------------------
2000 1999 1998 2000 1999 1998
BALANCED STRATEGY ---------- ----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
CLASS E
Proceeds from shares sold 4,961,104 15,883,305 17,549,534 $ 51,899 $ 162,202 $ 172,156
Proceeds from reinvestment of distributions 1,312,921 1,237,575 523,953 13,354 12,727 5,173
Payments for shares redeemed (4,263,647) (5,535,963) (2,524,583) (44,401) (57,343) (24,861)
---------- ----------- ----------- ----------- ----------- ----------
Net increase (decrease) 2,010,378 11,584,917 15,548,904 20,852 117,586 152,468
---------- ----------- ----------- ----------- ----------- ----------
CLASS D (a)
Proceeds from shares sold 931,262 744,198 504,049 9,801 7,761 4,926
Proceeds from reinvestment of distributions 37,932 27,083 8,519 386 280 85
Payments for shares redeemed (1,016,733) (417,501) (23,373) (10,716) (4,290) (221)
---------- ----------- ----------- ----------- ----------- ----------
Net increase (decrease) (47,539) 353,780 489,195 (529) 3,751 4,790
---------- ----------- ----------- ----------- ----------- ----------
CLASS C (b)
Proceeds from shares sold 1,931,052 3,746,798 -- 20,157 38,468 --
Proceeds from reinvestment of distributions 201,250 74,392 -- 2,045 775 --
Payments for shares redeemed (263,732) (153,460) -- (2,759) (1,579) --
---------- ----------- ----------- ----------- ----------- ----------
Net increase (decrease) 1,868,570 3,667,730 -- 19,443 37,664 --
---------- ----------- ----------- ----------- ----------- ----------
CLASS S (c)
Proceeds from shares sold 827,725 -- -- 8,608 -- --
Proceeds from reinvestment of distributions 8,923 -- -- 92 -- --
Payments for shares redeemed (6,876) -- -- (79) -- --
---------- ----------- ----------- ----------- ----------- ----------
Net increase (decrease) 829,772 -- -- 8,621 -- --
---------- ----------- ----------- ----------- ----------- ----------
Total increase (decrease) 4,661,181 15,606,427 16,038,099 $ 48,387 $ 159,001 $ 157,258
========== =========== =========== =========== =========== ==========
</TABLE>
(a) Fund share transactions for the period ended December 31, 1998 are for
the period March 24, 1998 (commencement of sale of shares) to December
31, 1998.
(b) Fund share transactions are for the period January 29, 1999
(commencement of sale of shares) to December 31, 1999.
(c) Fund share transactions are for the period January 31, 2000
(commencement of sale of shares) to April 30, 2000.
Notes to Financial Statements 43
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
----------------------------------- --------------------------------
2000 1999 1998 2000 1999 1998
MODERATE STRATEGY ---------- ----------- ---------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
CLASS E
Proceeds from shares sold 953,103 3,290,795 2,231,041 $ 9,799 $ 33,625 $ 22,075
Proceeds from reinvestment of distributions 150,694 189,865 44,242 1,526 1,938 439
Payments for shares redeemed (703,600) (973,411) (485,375) (7,233) (9,947) (4,821)
---------- ----------- ---------- --------- ---------- ---------
Net increase (decrease) 400,197 2,507,249 1,789,908 4,092 25,616 17,693
---------- ----------- ---------- --------- ---------- ---------
CLASS D (a)
Proceeds from shares sold 67,508 208,042 195,126 695 2,111 1,929
Proceeds from reinvestment of distributions 5,082 7,349 4,649 52 75 46
Payments for shares redeemed (37,919) (260,416) (24,489) (393) (2,647) (243)
---------- ----------- ---------- --------- ---------- ---------
Net increase (decrease) 34,671 (45,025) 175,286 354 (461) 1,732
---------- ----------- ---------- --------- ---------- ---------
CLASS C (b)
Proceeds from shares sold 320,201 442,297 -- 3,295 4,516 --
Proceeds from reinvestment of distributions 17,933 9,292 -- 182 95 --
Payments for shares redeemed (50,414) (55,873) -- (521) (576) --
---------- ----------- ---------- --------- ---------- ---------
Net increase (decrease) 287,720 395,716 -- 2,956 4,035 --
---------- ----------- ---------- --------- ---------- ---------
CLASS S (c)
Proceeds from shares sold 86,498 -- -- 892 -- --
Proceeds from reinvestment of distributions 1,290 -- -- 13 -- --
Payments for shares redeemed (83) -- -- -- -- --
---------- ----------- ---------- --------- ---------- ---------
Net increase (decrease) 87,705 -- -- 905 -- --
---------- ----------- ---------- --------- ---------- ---------
Total increase (decrease) 810,293 2,857,940 1,965,194 $ 8,307 $ 29,190 $ 19,425
========== =========== ========== ========= ========== =========
</TABLE>
(a) Fund share transactions for the period ended December 31, 1998 are for
the period March 24, 1998 (commencement of sale of shares) to December
31, 1998.
(b) Fund share transactions are for the period February 11, 1999
(commencement of sale of shares) to December 31, 1999.
(c) Fund share transactions are for the period February 1, 2000
(commencement of sale of shares) to April 30, 2000.
44 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------------- -------------------------------
2000 1999 1998 2000 1999 1998
CONSERVATIVE STRATEGY ---------- ---------- --------- -------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
CLASS E
Proceeds from shares sold 239,839 1,647,322 511,083 $ 2,422 $ 16,886 $ 5,169
Proceeds from reinvestment of distributions 19,740 90,532 9,863 200 916 99
Payments for shares redeemed (593,141) (504,166) (92,535) (6,008) (5,164) (936)
-------- ---------- --------- -------- ---------- ---------
Net increase (decrease) (333,562) 1,233,688 428,411 (3,386) 12,638 4,332
-------- ---------- --------- -------- ---------- ---------
CLASS D (a)
Proceeds from shares sold 13,332 114,508 71,083 135 1,172 722
Proceeds from reinvestment of distributions 1,009 5,689 1,849 10 58 19
Payments for shares redeemed (37,106) (81,941) (12,685) (375) (834) (128)
-------- ---------- --------- -------- ---------- ---------
Net increase (decrease) (22,765) 38,256 60,247 (230) 396 613
-------- ---------- --------- -------- ---------- ---------
CLASS C (b)
Proceeds from shares sold 27,596 169,843 -- 279 1,729 --
Proceeds from reinvestment of distributions 1,763 4,421 -- 18 44 --
Payments for shares redeemed (5,925) (6,567) -- (60) (67) --
-------- ---------- --------- -------- ---------- ---------
Net increase (decrease) 23,434 167,697 -- 237 1,706 --
-------- ---------- --------- -------- ---------- ---------
CLASS S (c)
Proceeds from shares sold 54,845 -- -- 558 -- --
Proceeds from reinvestment of distributions 628 -- -- 6 -- --
Payments for shares redeemed (1,254) -- -- (12) -- --
-------- ---------- --------- -------- ---------- ---------
Net increase (decrease) 54,219 -- -- 552 -- --
-------- ---------- --------- -------- ---------- ---------
Total increase (decrease) (278,674) 1,439,641 488,658 $ (2,827) $ 14,740 $ 4,945
======== ========== ========= ======== ========== =========
</TABLE>
(a) Fund share transactions for the period ended December 31, 1998 are for the
period March 24, 1998 (commencement of sale of shares) to December 31,
1998.
(b) Fund share transactions are for the period February 11, 1999 (commencement
of sale of shares) to December 31, 1999.
(c) Fund share transactions are for the period February 14, 2000 (commencement
of sale of shares) to April 30, 2000.
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $75
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .10% on the average daily unused amount of the
aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually (Federal Fund Rate
plus 1.75% prior to and including February 27, 2000), is calculated based
on the market rates at the time of the borrowing. The Fund may borrow up to
a maximum of 10 percent of the value of its net assets under the agreement.
The agreement will expire December 30, 2000. The Fund did not have any
drawdowns during the period ended April 30, 2000.
Notes to Financial Statements 45
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
7. BENEFICIAL INTEREST
As of April 30, 2000, the following Funds have one or more shareholders
with shares of beneficial interest of greater than 10% of the total
outstanding shares of each respective Fund or Class:
% % % %
-------- -------- -------- --------
Equity Aggressive Strategy - Class E 22.3 10.4 -- --
Equity Aggressive Strategy - Class D 62.8 19.6 -- --
Aggressive Strategy - Class S 20.1 10.8 -- --
Aggressive Strategy - Class E 10.8 -- -- --
Aggressive Strategy - Class D 46.9 20.1 16.7 --
Balanced Strategy - Class S 16.5 -- -- --
Balanced Strategy - Class E 19.5 -- -- --
Balanced Strategy - Class D 29.3 26.7 21.9 10.8
Moderate Strategy - Class S 21.8 18.6 13.4 11.4
Moderate Strategy - Class E 19.1 11.2 -- --
Moderate Strategy - Class D 55.3 23.4 10.3 --
Conservative Strategy - Class S 51.3 32.3 -- --
Conservative Strategy - Class E 15.2 -- -- --
Conservative Strategy - Class D 80.1 -- -- --
Conservative Strategy - Class C 13.7 13.2 10.9 --
46 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Kristianne Blake
Lee C. Gingrich
Eleanor W. Palmer
Raymond P. Tennison, Jr.
TRUSTEES EMERITUS
George F. Russell, Jr.
OFFICERS
Lynn L. Anderson, Chairman of the Board and President
Peter Apanovitch, Manager of Short Term Investment Funds
Mark E. Swanson, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary and General Counsel
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
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
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) RUSSEL4
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1001 Fourth Avenue Plaza
Suite 4200
Seattle, WA 98154
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS OF UNDERLYING FUNDS
DIVERSIFIED EQUITY FUND
Alliance Capital Management L.P., Minneapolis, MN
Barclays Global Investors, San Francisco, CA
Equinox Capital Management, LLC, New York, NY
Jacobs Levy Equity Management, Inc., Roseland, NJ
Marsico Capital Management, LLC, Denver, CO
Peachtree Asset Management, Atlanta, GA
Sanford C. Bernstein & Co., Inc., New York, NY
Strong Capital Management, Inc., Menomonee Falls, WI
Suffolk Capital Management, Inc., New York,
Turner Investment Partners, Inc. Berwyn, PA
Westpeak Investment Advisors, L.P., Boulder, CO
SPECIAL GROWTH FUND
CapitalWorks Investment Partners, LLC, San Diego, CA
Delphi Management, Inc., Boston, MA
Fiduciary Trust Company 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
Westpeak Investment Advisors, L.P., Boulder, CO
QUANTITATIVE EQUITY FUND
Barclays Global Investors, San Francisco, CA
Franklin Portfolio Associates, LLC, Boston, MA
Jacobs Levy Equity Management, Inc., Roseland, NJ
J.P. Morgan Investment Management, Inc., New York, NY
INTERNATIONAL SECURITIES FUND
Delaware International Advisers Ltd., London, England
Fidelity Management Trust Company, Boston, MA
J.P. Morgan Investment Management, Inc., New York, NY
Mastholm Asset Management, LLC, Bellevue, WA
Montgomery Asset Management, LLC, San Francisco, CA
Oechsle International Advisors, LLC, Boston, MA
Sanford C. Bernstein & Co., Inc., New York, NY
The Boston Company Asset Management, Inc., Boston, MA
EMERGING MARKETS FUND
Foreign & Colonial Emerging Markets Limited, London, England
Genesis Asset Managers Limited, London, England
Nicholas Applegate Capital Management, San Diego, CA
Sanford C. Bernstein & Co., Inc., New York, NY
Schroder Investment Management North America Limited, New York, NY
REAL ESTATE SECURITIES FUND
AEW Capital Management, L.P., Boston, MA
Cohen & Steers Capital Management, Inc., New York, NY
Security Capital Global Capital Management Group Inc., Chicago, IL
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
Manager, Money Managers and Service Providers 47
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
SHORT TERM BOND FUND
BlackRock Financial Management, Inc., New York, NY
Standish, Ayer & Wood, Inc., Boston, MA
STW Fixed Income Management, California, Santa Barbara, CA
DIVERSIFIED BOND FUND
Lincoln Capital Management Company, Chicago, IL
Pacific Investment Management Company, Newport Beach, CA
Standish, Ayer & Wood, Inc., Boston, MA
MULTISTRATEGY BOND FUND
Lazard Asset Management, New York, NY
Miller Anderson & Sherrerd, West Conshohocken, PA
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.
48 Manager, Money Managers and Service Providers
<PAGE>
[LOGO OF FRANK RUSSELL]
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com
<PAGE>
xxxxxxxxxxxxxxxxx
x RUSSELL FUNDS x
xxxxxxxxxxxxxxxxx
FRANK RUSSELL INVESTMENT COMPANY
2000 Semiannual Report
CLASS C, E, AND S SHARES
DIVERSIFIED EQUITY FUND
SPECIAL GROWTH FUND
EQUITY INCOME FUND
QUANTITATIVE EQUITY FUND
INTERNATIONAL SECURITIES FUND
EMERGING MARKETS FUND
REAL ESTATE SECURITIES FUND
SHORT TERM BOND FUND
DIVERSIFIED BOND FUND
MULTISTRATEGY BOND FUND
TAX EXEMPT BOND FUND
CLASS C AND S SHARES
TAX-MANAGED LARGE CAP FUND
(FORMERLY EQUITY T FUND)
TAX-MANAGED SMALL CAP FUND
APRIL 30, 2000
[LOGO OF FRANK RUSSELL]
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
Frank Russell Investment Company is a "series mutual fund" with 29 different
investment portfolios. These financial statements report on thirteen 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>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
SEMIANNUAL REPORT
APRIL 30, 2000 (UNAUDITED)
TABLE OF CONTENTS
Page
Diversified Equity Fund ...................................... 2
Special Growth Fund .......................................... 18
Equity Income Fund ........................................... 38
Quantitative Equity Fund ..................................... 52
International Securities Fund ................................ 66
Emerging Markets Fund ........................................ 84
Real Estate Securities Fund................................... 100
Short Term Bond Fund ......................................... 108
Diversified Bond Fund......................................... 120
Multistrategy Bond Fund....................................... 140
Tax Exempt Bond Fund ......................................... 164
Tax-Managed Large Cap Fund ................................... 178
Tax-Managed Small Cap Fund ................................... 188
Notes to Financial Statements................................. 205
Manager, Money Managers and Service Providers................. 220
FRANK RUSSELL INVESTMENT COMPANY - RUSSELL FUNDS
Copyright (C) Frank Russell Company 2000. All rights reserved. This material is
proprietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. Frank Russell Company and Standard & Poor's
Corporation are the owners of the trademarks, service marks, and copyrights
related to their respective indexes. This material must be accompanied or
preceded by a current Frank Russell Investment Company Prospectus containing
complete information concerning the investment objectives and operations of the
Company, charges, and expenses. The Prospectus should be read carefully before
an investment is made. The performance quoted represents past performance and
the investment return and principal value of an investment will fluctuate so
that shares, when redeemed, may be worth more or less than their original cost.
Investments in securities of non-US issuers and foreign currencies involve
investment risks different than those of US issuers; the Prospectus contains
further information and details regarding these risks. Russell Fund
Distributors, Inc., is the distributor of Frank Russell Investment Company.
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
COMMON STOCKS - 92.2%
AUTO AND TRANSPORTATION - 2.5%
AMR Corp. (a) 16,400 559
Arvin Industries, Inc. 2,300 50
AutoZone, Inc. (a) 5,400 124
Bandag, Inc. 1,800 43
Boeing Co. (The) 71,320 2,831
Borg-Warner Automotive, Inc. 3,800 159
Burlington Northern, Inc. 62,320 1,503
C.H. Robinson Worldwide, Inc. 1,900 95
CNF Transportation, Inc. 3,200 89
Continental Airlines, Inc. Class B (a) 41,900 1,676
Cooper Tire & Rubber Co. 9,700 131
Dana Corp. 8,000 243
Delphi Automotive Systems Corp. 23,287 445
Delta Air Lines, Inc. 39,300 2,073
Eaton Corp. 9,200 773
FedEx Corp. (a) 13,900 524
Ford Motor Co. 104,344 5,706
GATX Corp. 1,400 50
General Motors Corp. 124,395 11,646
Genuine Parts Co. 4,910 129
Hunt (JB) Transportation
Services, Inc. 8,100 133
Kansas City Southern Industries, Inc. 3,700 266
KLM Royal Dutch Airlines (a) 37,400 638
Lear Corp. (a) 47,020 1,408
Meritor Automotive, Inc. 18,500 278
Navistar International Corp. (a) 1,300 46
Northwest Airlines Corp. Class A (a) 53,600 1,323
PACCAR, Inc. 3,290 156
Ryder System, Inc. 1,600 36
Southwest Airlines Co. 7,200 156
Superior Industries International, Inc. 4,000 129
Trinity Industries, Inc. 6,390 142
TRW, Inc. 6,280 367
UAL Corp. (a) 42,190 2,442
Union Pacific Corp. 50,640 2,133
USFreightways Corp. 3,910 181
-----------
38,683
-----------
CONSUMER DISCRETIONARY - 11.9%
Abercrombie & Fitch Co. Class A (a) 4,200 46
AC Nielsen Corp. (a) 12,100 279
Alberto Culver Co. Class B 7,300 172
AMFM, Inc. (a) 33,700 2,237
Applebee's International, Inc. 3,400 124
AT&T Corp. - Liberty Media Group
Class A (a) 199,550 9,965
Avon Products, Inc. 4,100 170
Banta Corp. 4,800 94
Best Buy Co. (a) 25,000 2,019
BJ's Wholesale Club, Inc. (a) 1,500 53
Black & Decker Corp. 27,900 1,174
Brinker International, Inc. (a) 9,800 312
Brunswick Corp. 20,100 386
Callaway Golf Co. 9,400 156
Carnival Corp. 14,100 351
Catalina Marketing Corp. (a) 2,280 231
CBS Corp. (a) 90,330 5,307
Cendant Corp. (a) 15,900 245
Circuit City Stores - Circuit
City Group 15,060 886
Clear Channel Communications,
Inc. (a) 45,920 3,306
Costco Wholesale Corp. (a) 141,110 7,629
Darden Restaurants, Inc. 17,300 319
Delhaize America, Inc. 15,400 272
Disney (Walt) Co. 356,700 15,450
Donnelley (R.R.) & Sons Co. 27,500 584
Eastman Kodak Co. 48,800 2,730
EchoStar Communications Corp.
Class A (a) 2,200 140
Energizer Holdings, Inc. (a) 12,199 208
Federated Department Stores, Inc. (a) 36,830 1,252
Fluor Corp. 13,000 436
Fortune Brands, Inc. 15,200 380
Four Seasons Hotels, Inc. 36,148 2,024
Furniture Brands International, Inc. (a) 4,100 77
Gannett Co., Inc. 36,400 2,325
Gap, Inc. 109,100 4,009
Harrah's Entertainment, Inc. (a) 14,800 304
Hasbro, Inc. 11,200 179
Home Depot, Inc. (The) 381,691 21,399
Houghton Mifflin Co. 5,300 220
Infinity Broadcasting Corp.
Class A (a) 3,600 122
Interpublic Group Cos., Inc. 13,400 549
Jack in the Box, Inc. (a) 4,510 110
JC Penney & Co., Inc. 17,940 248
Kelly Services, Inc. Class A 1,000 24
Kmart Corp. (a) 52,300 425
Knight-Ridder, Inc. 24,950 1,224
Kohl's Corp. (a) 124,600 5,981
La-Z-Boy Inc. 3,700 58
Lancaster Colony Corp. 1,400 37
Land's End, Inc. (a) 2,500 106
Leggett & Platt, Inc. 6,000 128
Limited, Inc. (The) 23,100 1,044
Liz Claiborne, Inc. 8,900 412
Lowe's Cos., Inc. 87,100 4,311
May Department Stores Co. 40,760 1,121
2 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Maytag Corp. 3,500 121
McDonald's Corp. 30,500 1,163
McGraw-Hill, Inc. 6,700 352
MediaOne Group, Inc. (a) 145,000 10,966
MGM Grand, Inc. 6,300 186
Michaels Stores, Inc. (a) 3,700 146
Mirage Resorts, Inc. (a) 8,300 169
Neiman Marcus Group, Inc. (The)
Class A (a) 2,400 62
New York Times Co. Class A 59,500 2,451
Newell Rubbermaid, Inc. 3,000 76
NIKE, Inc. Class B 4,900 213
Office Depot, Inc. (a) 3,500 37
Omnicom Group, Inc. 22,517 2,050
Pacific Sunwear of California (a) 1,700 58
PanAmSat Corp. (a) 1,900 82
Park Place Entertainment Corp. (a) 46,800 600
Payless ShoeSource, Inc. (a) 3,900 215
Pier 1 Imports, Inc. 13,500 154
Pittston Brink's Group 6,300 103
Pixar, Inc. (a) 100 4
Reynolds & Reynolds Co. Class A 1,600 38
Robert Half International, Inc. (a) 3,400 208
Ross Stores, Inc. 3,800 79
Royal Caribbean Cruises, Ltd. 25,400 529
Russell Corp. 3,100 61
Scholastic Corp. (a) 1,400 65
Sears Roebuck & Co. 57,940 2,122
SFX Entertainment, Inc. (a) 61,300 2,552
Shaw Industries, Inc. 7,700 122
Stanley Works (The) 13,000 384
Starwood Hotels & Resorts Worldwide,
Inc. 3,100 88
Target Corp. 43,300 2,882
TeleTech Holdings, Inc. (a) 2,000 65
Tiffany & Co. 37,382 2,717
Time Warner, Inc. 141,030 12,684
Tommy Hilfiger Corp. (a) 35,900 316
Toys "R" Us, Inc. (a) 34,680 529
Tribune Co. 68,400 2,659
Tricon Global Restaurants, Inc. (a) 11,900 406
Tupperware Corp. 10,300 194
UnitedGlobalCom, Inc. Class A (a) 1,800 96
Univision Communications, Inc.
Class A (a) 20,300 2,218
USA Networks, Inc. (a) 113,100 2,601
Valassis Communications, Inc. (a) 4,900 167
Venator Group, Inc. (a) 37,300 443
Viacom, Inc. Class B (a) 122,400 6,656
Wal-Mart Stores, Inc. 315,446 17,468
Wallace Computer Services, Inc. 9,300 102
Washington Post Co (The),. Class B 55 27
Wendy's International, Inc. 12,200 273
Westwood One, Inc. (a) 10,600 374
Whirlpool Corp. 22,310 1,452
Young & Rubicam, Inc. 5,600 311
Zale Corp. (a) 44,860 1,849
-----------
185,295
-----------
CONSUMER STAPLES - 3.9%
Albertson's, Inc. 7,500 244
Anheuser-Busch Cos., Inc. 71,376 5,036
Bestfoods 20,500 1,030
Campbell Soup Co. 11,100 289
Canandaigua Brands Co., Inc.
Class A (a) 2,300 116
Church and Dwight Co., Inc. 4,000 72
Coca-Cola Co. (The) 56,904 2,678
Coca-Cola Enterprises, Inc. 68,100 1,451
Colgate-Palmolive Co. 97,460 5,567
ConAgra, Inc. 48,370 913
Coors (Adolph) Co. Class B 3,900 199
General Mills, Inc. 71,220 2,591
Gillette Co. (The) 8,200 303
Hannaford Brothers Co. 900 65
Heinz (H.J.) Co. 45,370 1,543
IBP, Inc. 32,480 536
Interstate Bakeries Corp. 3,700 47
Keebler Foods Co. 1,100 35
Kellogg Co. 13,700 335
Kimberly-Clark Corp. 85,422 4,960
Kroger Co. (The) (a) 48,600 902
McCormick & Co., Inc. 12,600 393
Nabisco Group Holdings Corp. 13,700 176
Pepsi Bottling Group, Inc. (The) 23,900 515
PepsiCo, Inc. 218,080 8,001
Philip Morris Cos., Inc. 179,530 3,927
Procter & Gamble Co. 19,500 1,163
Quaker Oats Co. (The) 44,370 2,892
R.J. Reynolds Tobacco Holdings, Inc. 8,000 166
Ralston-Purina Group 97,400 1,723
Safeway, Inc. (a) 137,170 6,053
Sara Lee Corp. 36,100 542
Seagram Co., Ltd. 41,700 2,252
Suiza Foods Corp. (a) 800 31
SuperValu, Inc. 13,900 288
SYSCO Corp. 48,780 1,835
Tyson Foods, Inc. Class A 12,700 133
UST Corp. 10,300 155
Walgreen Co. 48,200 1,356
Diversified Equity Fund 3
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Winn-Dixie Stores, Inc. 5,900 97
Wrigley (Wm.), Jr. Co. 2,100 151
-----------
60,761
-----------
FINANCIAL SERVICES - 14.7%
Aetna, Inc. 16,000 926
AFLAC, Inc. 11,100 542
Allmerica Financial Corp. 6,800 368
Allstate Corp. 87,400 2,065
Ambac Financial Group, Inc. 10,400 499
American Express Co. 20,800 3,121
American General Corp. 53,900 3,018
American International Group, Inc. 151,805 16,651
AmSouth Bancorp 104,450 1,521
AON Corp. 7,900 214
Apartment Investment & Management Co.
Class A (e) 10,700 425
Associates First Capital Corp. Class A 59,500 1,320
Astoria Financial Corp. 11,840 326
AXA Financial, Inc. 25,100 819
Bank of America Corp. 212,528 10,414
Bank of New York Co., Inc. 35,000 1,437
Bank One Corp. 80,230 2,447
BB&T Corp. 23,300 620
Bear Stearns Companies Inc. (The) 14,139 606
Block (H&R) Co., Inc. 9,100 380
Catellus Development Corp. (a)(e) 3,600 47
Charter One Financial, Inc. 43,203 878
Chase Manhattan Corp. 152,650 11,000
Chubb Corp. (The) 12,750 811
CIGNA Corp. 79,020 6,302
Cincinnati Financial Corp. 11,200 452
CIT Group, Inc. 119,800 2,029
Citigroup, Inc. 644,259 38,293
CNA Financial Corp. (a) 4,320 133
Colonial BancGroup, Inc. 4,800 45
Comerica, Inc. 14,300 606
Commerce Bancshares, Inc. 25,099 773
Compass Bancshares, Inc. 4,500 83
Conseco, Inc. 181,300 986
Cornerstone Properties, Inc. 2,500 46
Countrywide Credit Industries, Inc. 9,060 250
Dime Bancorp, Inc. 3,200 60
Donaldson, Lufkin & Jenrette, Inc. 13,500 563
Dow Jones & Co., Inc. 40,800 2,647
Duke Realty Investments, Inc. (e) 17,600 382
Dun & Bradstreet Corp. 15,760 475
Edwards (A.G.), Inc. 6,200 233
Equity Office Properties Trust (e) 16,800 457
Equity Residential Properties Trust (e) 7,300 332
Erie Indemnity Co. Class A 1,400 41
Everest Re Group, Ltd. 5,400 158
Fannie Mae 182,793 11,025
Federal Home Loan Mortgage Corp. 97,200 4,465
FelCor Lodging Trust, Inc. (e) 5,000 98
Fifth Third Bancorp 10,600 669
Financial Security Assurance Holdings,
Ltd. 900 66
FINOVA Group, Inc. 6,650 85
First Data Corp. 27,900 1,358
First Security Corp. 7,200 101
First Union Corp. 84,830 2,704
Firstar Corp. 34,100 848
FleetBoston Financial Corp. 266,390 9,440
Franchise Finance Corp. of
America (e) 7,200 171
Franklin Resources, Inc. 41,700 1,345
Fulton Financial Corp. 2,700 56
Gallagher (Arthur J.) & Co. 2,000 75
General Growth Properties, Inc. (e) 3,600 118
Golden State Bancorp, Inc. (a) 11,610 179
Golden West Financial Corp. 20,860 712
Goldman Sachs Group, Inc. (The) 19,300 1,800
Greenpoint Financial Corp. 9,370 175
Hartford Financial Services Group, Inc.
(The) 73,800 3,851
Heller Financial, Inc. Class A 2,610 51
Hertz Corp. Class A (e) 4,600 143
Hibernia Corp. Class A 8,600 91
Household International Corp. 47,900 2,000
Imperial Bancorp (a) 5,600 110
Investors Financial Services Corp. 700 57
Jefferson-Pilot Corp. 10,500 699
KeyCorp 50,020 925
Knight/Trimark Group, Inc.
Class A (a) 50,000 1,881
Lehman Brothers Holdings, Inc. 17,450 1,432
Leucadia National Corp. 3,200 75
Liberty Property Trust (e) 4,600 114
Lincoln National Corp. 13,600 473
Loews Corp. 17,520 966
Marsh & McLennan Cos., Inc. 21,900 2,159
Marshall & Ilsley Corp. 8,500 395
MBIA, Inc. 5,470 270
MBNA Corp. 252,700 6,712
Mellon Financial Corp. 28,500 916
Merrill Lynch & Co., Inc. 34,700 3,537
Metris Companies, Inc. 3,000 113
MGIC Investment Corp. 23,800 1,138
MONY Group, Inc. (The) 5,900 183
Morgan (J.P.) & Co., Inc. 39,900 5,122
Morgan Stanley Dean Witter & Co. 225,715 17,324
4 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
National City Corp. 53,440 908
Nationwide Financial Services,
Inc. Class A 2,700 75
North Fork Bancorp., Inc. 4,400 71
Northern Trust Corp. 27,300 1,751
Old Kent Financial Corp. 3,400 102
Old Republic International Corp. 34,950 498
Paine Webber Group, Inc. 12,000 527
Paychex, Inc. 35,400 1,863
PMI Group, Inc. (The) 2,100 102
PNC Bank Corp. 87,180 3,803
Popular, Inc. 2,200 44
Providian Financial Corp. 18,500 1,629
Radian Group, Inc. 4,400 224
Regions Financial Corp. 9,000 184
Reinsurance Group Of America 2,500 62
Reliastar Financial Corp. 2,300 99
SAFECO Corp. 7,660 169
Schwab (Charles) Corp. 14,100 627
Silicon Valley Bancshares (a) 4,400 271
Simon Property Group, Inc. (e) 9,800 249
SLM Holding Corp. 4,900 153
SouthTrust Corp. 17,210 411
Sovereign Bancorp, Inc. 22,900 157
Spieker Properties, Inc. (e) 2,600 115
St. Paul Cos., Inc. 60,580 2,158
State Street Corp. 22,600 2,189
Summit Bancorp 6,210 158
SunTrust Banks, Inc. 21,300 1,081
TCF Financial Corp. 3,700 86
Torchmark Corp. 6,800 170
Transatlantic Holdings, Inc. 950 79
U.S. Bancorp 57,900 1,176
Union Planters Corp. 3,400 96
UnionBanCal Corp. 22,390 620
UnumProvident Corp. 29,700 505
Wachovia Corp. 6,600 414
Waddell & Reed Financial, Inc.
Class A 8,250 220
Washington Mutual, Inc. 44,530 1,138
Wells Fargo Co. 100,700 4,136
Wilmington Trust Corp. 900 43
-----------
230,391
-----------
HEALTH CARE - 8.4%
Abbott Laboratories 54,800 2,106
Allergan, Inc. 10,920 643
American Home Products Corp. 90,360 5,077
Amgen, Inc. (a) 67,570 3,784
Bard (C.R.), Inc. 3,500 152
Bausch & Lomb, Inc. 4,400 266
Baxter International, Inc. 100,200 6,526
Becton, Dickinson & Co. 94,100 2,411
Biogen, Inc. (a) 300 18
Bristol-Myers Squibb Co. 142,510 7,473
Cardinal Health, Inc. 76,700 4,223
Celera Genomics 300 25
Chiron Corp. (a) 1,000 45
Columbia/HCA Healthcare Corp. 153,510 4,365
Covance, Inc. (a) 2,800 26
Edwards Lifesciences Corp. (a) 11,660 175
Elan Corp. PLC - ADR (a) 84,600 3,627
First Health Group Corp. (a) 5,700 174
Foundation Health Systems, Inc. (a) 14,700 148
Genentech, Inc. (a) 61,378 7,181
Genzyme Corp. (a) 3,100 151
Humana, Inc. (a) 14,970 115
ICOS Corp. (a) 700 28
Immunex Corp. (a) 900 35
IVAX Corp. (a) 7,150 196
Johnson & Johnson 91,800 7,574
Jones Pharma, Inc. 1,350 39
Lilly (Eli) & Co. 25,900 2,002
Mallinckrodt, Inc. 19,900 535
MedImmune, Inc. (a) 77 12
Medtronic, Inc. 88,170 4,579
Merck & Co., Inc. 139,860 9,720
PacifiCare Health Systems, Inc. (a) 11,600 596
PE Corp. (a) 16,200 972
Perrigo Co. (a) 5,700 32
Pfizer, Inc. 200,320 8,438
Pharmacia Corp. (a) 196,281 9,802
Priority Healthcare Corp. Class B (a) 46,162 2,545
Schering-Plough Corp. 158,600 6,394
Techne Corp. (a) 2,600 185
Tenet Healthcare Corp. 100,780 2,570
Trigon Healthcare, Inc. (a) 6,000 216
United Health Corp (a) 56,000 3,735
Universal Health Services, Inc.
Class B (a) 1,300 71
Warner-Lambert Co. 197,810 22,513
Wellpoint Health Networks, Inc. (a) 6,300 464
-----------
131,964
-----------
INTEGRATED OILS - 4.4%
Amerada Hess Corp. 64,590 4,110
Ashland, Inc. 6,960 238
Chevron Corp. 83,480 7,106
Coastal Corp. 37,300 1,872
Conoco, Inc. Class B 140,725 3,501
Enron Corp. 178,800 12,460
Exxon Mobil Corp. 373,275 28,999
Diversified Equity Fund 5
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Kerr-McGee Corp. 21,100 1,092
Lyondell Petrochemical Co. 9,300 171
Murphy Oil Corp. 2,500 148
Phillips Petroleum Co. 40,220 1,908
Texaco, Inc. 86,250 4,268
USX-Marathon Group 121,700 2,836
-----------
68,709
-----------
MATERIALS AND PROCESSING - 4.5%
Air Products & Chemicals, Inc. 17,000 528
Albemarle Corp. 9,000 188
Alcoa, Inc. 86,000 5,579
Allegheny Technologies, Inc. 1,100 27
American Standard Cos., Inc. (a) 17,200 705
Archer-Daniels-Midland Co. 50,519 502
Avery Dennison Corp. 800 53
B.F. Goodrich Co. 19,820 632
Boise Cascade Corp. 43,400 1,413
Bowater, Inc. 7,600 418
Centex Corp. 22,900 552
Champion International Corp. 10,700 704
Chesapeake Corp. 800 25
Consolidated Papers, Inc. 6,300 239
Corning, Inc. 60,227 11,895
Dow Chemical Co. 34,270 3,873
du Pont (E.I.) de Nemours & Co. 83,185 3,946
Eastman Chemical Co. 33,600 1,758
Engelhard Corp. 16,100 283
FBR Asset Investment Corp. 23,000 272
FMC Corp. (a) 2,300 134
Fort James Corp. 4,900 117
Freeport-McMoRan Copper & Gold, Inc.
Class A (a) 3,300 31
Georgia Gulf Corp. 5,900 142
Georgia-Pacific Corp. (Timber Group) 2,900 67
Georgia-Pacific Group 29,510 1,084
Granite Construction, Inc. 3,700 88
Hanna (M.A.) Co. 3,900 45
Harsco Corp. 3,000 89
Illinois Tool Works, Inc. 3,200 205
IMC Global, Inc. 11,500 178
International Paper Co. 69,784 2,565
Johns Manville Corp. 11,700 122
Kaufman & Broad Home Corp. 7,740 149
Lafarge Corp. 9,800 247
Longview Fibre Co. 3,300 42
Louisiana Pacific Corp. 23,100 309
Lubrizol Corp. 23,200 595
Masco Corp. 20,500 460
Millennium Chemicals, Inc. 10,800 215
Minnesota Mining & Manufacturing Co. 52,100 4,507
Newmont Mining Corp. 10,200 239
Nucor Corp. 35,300 1,518
Owens Corning 49,000 891
PPG Industries, Inc. 15,800 859
Praxair, Inc. 60,130 2,672
Precision Castparts Corp. 100 4
Rayonier, Inc. 2,700 127
Reynolds Metals Co. 6,500 432
Rohm & Haas Co. 4,800 171
Sherwin-Williams Co. 29,800 741
Sigma Aldrich Corp. 9,300 273
Southdown, Inc. 2,600 151
Standard Register Co. 1,700 22
Temple-Inland, Inc. 1,400 70
Timken Co. 6,900 128
Tyco International, Ltd. 285,990 13,138
Union Carbide Corp. 10,600 625
US Industries, Inc. 7,100 87
USX-U.S. Steel Group 5,800 145
Westvaco Corp. 27,900 860
Weyerhaeuser Co. 31,750 1,696
Willamette Industries, Inc. 11,300 431
-----------
70,263
-----------
OTHER ENERGY - 1.8%
AES Corp. (a) 15,200 1,367
Apache Corp. 34,900 1,690
Baker Hughes, Inc. 14,300 455
BJ Services Co. (a) 2,800 197
BP Amoco PLC - ADR 82,484 4,207
Burlington Resources, Inc. 7,100 279
Constellation Energy Group 36,100 1,194
Cooper Cameron Corp. (a) 2,100 158
El Paso Energy Corp. 29,500 1,254
ENSCO International, Inc. 9,500 315
EOG Resources, Inc. 3,600 90
Flowserve Corp. 3,800 54
Global Marine, Inc. (a) 5,200 125
Halliburton Co. 4,400 194
Helmerich & Payne, Inc. 5,300 166
Noble Drilling Corp. (a) 8,600 343
Occidental Petroleum Corp. 63,700 1,366
Ocean Energy, Inc. (a) 4,400 57
ONEOK, Inc. 2,900 73
Pioneer Natural Resources Co. (a) 3,500 36
R&B Falcon Corp. (a) 13,200 274
Rowan Cos., Inc. (a) 9,400 263
Santa Fe Snyder Corp. (a) 6,100 56
Schlumberger, Ltd. 34,700 2,657
6 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Sempra Energy 45,600 846
Smith International, Inc. (a) 1,900 144
Sunoco, Inc. 18,350 556
Tidewater, Inc. 1,600 48
Tosco Corp. 55,740 1,787
Transocean Sedco Forex, Inc. 47,800 2,247
Ultramar Diamond Shamrock Corp. 49,860 1,234
Union Pacific Resources Group, Inc. 20,200 388
Unocal Corp. 90,500 2,924
Valero Energy Corp. 6,000 174
Weatherford International, Inc. (a) 5,500 222
-----------
27,440
-----------
PRODUCER DURABLES - 6.9%
AMETEK, Inc. 1,200 25
Applied Materials, Inc. (a) 192,811 19,631
Beckman Coulter, Inc. 5,200 337
Boston Scientific Corp. (a) 9,100 241
Briggs & Stratton Corp. 3,900 150
Caterpillar, Inc. 27,320 1,077
Chartered Semiconductor Manufacturing -
ADR (a) 1,330 116
Clayton Homes, Inc. 11,700 111
Cognex Corp. (a) 1,500 84
Cordant Technologies, Inc. 5,600 317
Crane Co. 5,500 148
Credence Systems Corp. (a) 1,000 143
Cummins Engine Co., Inc. 10,890 387
D.R. Horton, Inc. 8,900 115
Deere & Co. 127,600 5,152
Donaldson Co., Inc. 2,200 51
Dover Corp. 47,200 2,398
Emerson Electric Co. 42,000 2,305
General Electric Co. 273,658 43,033
Grant Prideco, Inc. (a) 5,500 106
Honeywell International, Inc. 114,912 6,435
Ingersoll-Rand Co. 54,100 2,539
ITT Industries, Inc. 7,960 251
Johnson Controls, Inc. 13,900 880
Kennametal, Inc. 7,300 210
KLA Tencor Corporation (a) 18,000 1,348
Lexmark International Group, Inc.
Class A (a) 5,088 600
Litton Industries, Inc. (a) 4,400 191
Lockheed Martin Corp. 25,500 634
MagneTek, Inc. (a) 4,800 40
Mettler-Toledo International, Inc. (a) 2,800 97
Millipore Corp. 3,100 222
Molex, Inc. 1,624 89
NACCO Industries, Inc. Class A 1,000 45
National Service Industries, Inc. 7,000 151
Northrop Grumman Corp. 21,100 1,495
Novellus Systems, Inc. (a) 17,000 1,131
Pall Corp. 13,100 292
Parker-Hannifin Corp. 17,480 813
Pitney Bowes, Inc. 2,800 114
Pulte Corp. 6,430 138
Raytheon Co. Class B 30,860 685
Rockwell International Corp. 26,000 1,024
Sawtek, Inc. (a) 1,000 48
Snap-On Tools Corp. 4,800 127
Solectron Corp. (a) 13,300 623
Stewart & Stevenson Services, Inc. 2,000 24
Tecumseh Products Co. Class A 1,940 90
Teradyne, Inc. (a) 18,000 1,980
Textron, Inc. 41,070 2,544
Thermo Instrument Systems, Inc. (a) 1,000 18
United Technologies Corp. 91,900 5,715
Xerox Corp. 64,000 1,691
-----------
108,211
-----------
TECHNOLOGY - 22.7%
3Com Corp. (a) 34,500 1,358
Adaptec, Inc. (a) 2,900 78
Adobe Systems, Inc. 32,345 3,912
Adtran, Inc. (a) 35,000 2,363
Advanced Micro Devices, Inc. (a) 59,700 5,239
Agilent Technologies, Inc. (a) 19,016 1,685
Altera Corp. (a) 13,800 1,410
America Online, Inc. (a) 226,405 13,542
Analog Devices, Inc. (a) 55,900 4,294
Apple Computer, Inc. (a) 45,850 5,688
Applied Micro Circuits Corp. (a) 28,900 3,723
Arrow Electronics, Inc. (a) 58,500 2,563
Atmel Corp. (a) 4,400 215
Autodesk, Inc. 49,200 1,888
Automatic Data Processing, Inc. 8,300 447
Avnet, Inc. 4,800 377
AVX Corp. 5,600 546
BEA Systems, Inc. (a) 400 19
Broadcom Corp. Class A (a) 5,500 948
BroadVision, Inc. (a) 16,700 734
Brocade Communications Systems, Inc. (a) 6,000 742
Cabletron Systems, Inc. (a) 5,600 128
Cisco Systems, Inc. (a) 561,551 38,958
CMGI, Inc.(a) 13,000 927
Comdisco, Inc. 10,900 339
COMPAQ Computer Corp. 174,740 5,111
Computer Associates International, Inc. 67,476 3,766
Computer Sciences Corp. (a) 36,500 2,977
Diversified Equity Fund 7
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Comverse Technology, Inc. (a) 13,400 1,195
Cooper Industries, Inc. 3,300 113
Cypress Semiconductor Corp. (a) 62,300 3,236
Dell Computer Corp. (a) 149,240 7,471
DST Systems, Inc. (a) 2,900 215
E-Tek Dynamics, Inc. (a) 13,000 2,661
EarthLink, Inc. (a) 64,631 1,216
Electronic Data Systems Corp. 61,898 4,255
EMC Corp. (a) 143,764 19,974
Fairchild Semiconductor Corp.
Class A (a) 24,600 1,169
Fiserv, Inc. (a) 9,100 418
General Dynamics Corp. 70,304 4,113
General Motors Corp. Class H (a) 38,774 3,734
GTECH Holdings Corp. (a) 8,300 172
Hewlett-Packard Co. 81,290 10,974
i2 Technologies, Inc. (a) 1,800 233
Ikon Office Solutions, Inc. 6,100 36
Imation Corp. (a) 3,800 107
IMS Health, Inc. 56,900 971
Integrated Device Technology, Inc. (a) 3,300 158
Intel Corp. 240,486 30,497
International Business Machines Corp. 117,400 13,105
International Game Technology 7,800 190
JDS Uniphase Corp. (a) 75,760 7,855
Juniper Networks, Inc. (a) 21,250 4,517
Kemet Corp. (a) 2,500 186
Koninklijke (Royal) Philips
Electronics - (a) 76,960 3,434
LSI Logic Corp. (a) 84,200 5,263
Lucent Technologies, Inc. 111,170 6,913
Maxim Integrated Products, Inc. (a) 2,700 175
Mercury Interactive Corp. (a) 1,600 144
Microchip Technology, Inc. (a) 1,400 87
Micron Technology, Inc. (a) 21,980 3,061
Microsoft Corp. (a) 169,270 11,807
Motorola, Inc. 90,225 10,742
National Semiconductor Corp. (a) 13,600 826
NCR Corp. (a) 2,800 108
Network Appliance, Inc. (a) 25,560 1,890
Nortel Networks Corp. 114,940 13,017
Oracle Systems Corp. (a) 277,079 22,132
PeopleSoft, Inc. (a) 2,200 31
PMC - Sierra, Inc. (a) 14,400 2,761
QUALCOMM, Inc. (a) 60,719 6,584
Quantum Corp. - DLT &
Storage Systems (a) 6,700 79
Quantum Corp. - Hard Disk Drive (a) 7,300 85
Redback Networks, Inc. (a) 9,300 735
Safeguard Scientifics, Inc. (a) 4,700 196
SCI Systems, Inc. (a) 9,500 506
Seagate Technology (a) 12,800 650
Siebel Systems, Inc. (a) 10,000 1,229
Sony Corp. - ADR 27,051 6,103
Structural Dynamics Research Corp. (a) 3,300 43
Sun Microsystems, Inc. (a) 178,258 16,389
SunGard Data Systems (a) 2,900 100
Sybase, Inc. (a) 3,900 79
Symantec Corp. (a) 2,900 181
Tech Data Corp. (a) 7,200 301
Teledyne Technologies, Inc. (a) 1,400 25
Texas Instruments, Inc. 55,313 9,009
Titan Corp. (a) 4,091 176
Total Systems Services, Inc. 2,800 55
Veritas Software Corp. (a) 38,160 4,092
Vishay Intertechnology, Inc. (a) 7,100 595
Xilinx, Inc. (a) 29,500 2,160
-----------
354,511
-----------
UTILITIES - 10.5%
ADC Telecommunications, Inc. (a) 50,500 3,065
Adelphia Communications Corp. (a) 36,500 1,804
Allegheny Energy, Inc. 17,380 528
Alliant Energy Corp. 5,900 177
Alltel Corp. 15,300 1,019
Ameren Corp. 17,370 637
American Electric Power Co., Inc. 14,400 527
AT&T Corp. 299,995 14,006
AT&T Wireless Group New (a) 103,100 3,280
Bell Atlantic Corp. 211,800 12,549
BellSouth Corp. 240,570 11,713
BroadWing, Inc. (a) 55,000 1,557
Cablevision Systems Corp. Class A (a) 2,000 135
Calpine Corp. (a) 5,200 476
Centennial Cellular Corp. Class A (a) 1,800 35
Central & Southwest Corp. 18,000 390
CenturyTel, Inc. 8,100 198
Cinergy Corp. 16,020 429
Citizens Utilities Co. Class B (a) 24,000 386
CMS Energy Corp. 4,230 80
Columbia Energy Group 3,100 195
Comcast Corp. Special Class A 165,510 6,631
8 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
CommScope, Inc. (a) 44,000 2,090
Consolidated Edison, Inc. 19,500 686
Cox Communications, Inc. Class A (a) 10,500 450
Dominion Resources, Inc. 34,400 1,548
DPL, Inc. 16,600 386
DTE Energy Co. 13,800 450
Duke Energy Corp. 20,200 1,162
Dycom Industries, Inc. (a) 1,500 78
Dynegy, Inc. Class A 25,000 1,636
Edison International 16,300 311
Energy East Corp. 4,100 86
Entergy Corp. 32,540 828
FirstEnergy Corp. 72,740 1,850
Florida Progress Corp. 10,400 510
FPL Group, Inc. 14,600 660
GPU, Inc. 24,030 674
GTE Corp. 83,200 5,637
KeySpan Corp. 22,600 664
Level 3 Communications, Inc. (a) 23,690 2,105
MasTec, Inc. (a) 1,100 95
MCI WorldCom, Inc. (a) 138,500 6,293
MCN Energy Group, Inc. 2,200 55
New Century Energies, Inc. 4,600 150
Nextel Communications, Inc.
Class A (a) 23,410 2,562
Nextlink Communications, Inc.
Class A (a) 300 25
Nokia Corp. - ADR 206,390 11,738
Northeast Utilities 21,800 469
OGE Energy Corp. 2,500 50
Peco Energy Co. 14,900 621
PG&E Corp. 108,360 2,811
Pinnacle West Capital Corp. 18,200 639
Powertel, Inc. (a) 1,400 93
PPL Corp. 84,300 2,013
Public Service Co. of New Mexico 5,970 107
Public Service Enterprise Group, Inc. 40,690 1,460
Quanta Services, Inc. (a) 3,150 146
Questar Corp. 4,500 85
Reliant Energy, Inc. 55,720 1,484
SBC Communications, Inc. 310,830 13,618
SDL, Inc. (a) 14,700 2,866
Southern Co. 39,500 985
Sprint Corp. (Fon Group) 149,550 9,197
Sprint Corp. (PCS Group) (a) 130,869 7,198
Telephone & Data Systems, Inc. 5,700 581
Texas Utilities Co. 69,010 2,325
U.S. West, Inc. 30,900 2,200
Unicom Corp. 18,900 751
UtiliCorp United, Inc. 6,630 128
Viacom, Inc. Class A (a) 1,400 77
Vodafone Group PLC - ADR 205,656 9,666
VoiceStream Wireless Corp. (a) 900 89
Western Resources, Inc. 22,970 361
WinStar Communications, Inc. (a) 7,700 306
Wisconsin Energy Corp. 18,600 397
-----------
163,269
-----------
TOTAL COMMON STOCKS
(cost $1,199,637) 1,439,497
-----------
PRINCIPAL
AMOUNT
(000)
$
------------
LONG-TERM INVESTMENTS - 0.0%
CORPORATE BONDS AND NOTES - 0.0%
Redback Networks, Inc. (conv.)
5.000% due 04/01/07 207 140
-----------
TOTAL LONG-TERM INVESTMENTS
(cost $207) 140
-----------
SHORT-TERM INVESTMENTS - 7.9%
Frank Russell Investment Company Money
Market Fund, due on demand (b) 113,346 113,346
United States Treasury
Bills (b)(c)(d)
5.390% due 06/29/00 700 694
5.440% due 06/29/00 1,000 991
5.465% due 06/29/00 2,500 2,477
5.470% due 06/29/00 4,000 3,963
5.500% due 06/29/00 750 743
5.620% due 06/29/00 1,500 1,486
-----------
TOTAL SHORT-TERM INVESTMENTS
(cost $123,700) 123,700
-----------
Diversified Equity Fund 9
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
VALUE
(000)
$
---------
TOTAL INVESTMENTS - 100.1%
(identified cost $1,323,544) 1,563,337
OTHER ASSETS AND LIABILITIES,
NET - (0.1%) (1,550)
---------
NET ASSETS - 100.0% 1,561,787
=========
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
------------ ----------------
FUTURES CONTRACTS
S&P 500 Index
expiration date 06/00 333 $ 3,213
----------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 3,213
================
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
(d) Rate noted is yield-to-maturity from date of acquisition.
(e) Real Estate Investment Trust (REIT).
Abbreviations:
ADR - American Depositary Receipt
See accompanying notes which are an integral part of the financial statements.
10 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
ASSETS
Investments at market (identified cost $1,323,544) ............... $ 1,563,337
Receivables:
Dividends and interest .......................................... 1,685
Investments sold ................................................ 25,379
Fund shares sold ................................................ 2,474
From Advisor .................................................... 24
Prepaid expenses ................................................. 17
------------
Total assets .................................................. 1,592,916
LIABILITIES
Payables:
Investments purchased ............................ $ 27,413
Fund shares redeemed ............................. 1,778
Accrued fees to affiliates ....................... 1,190
Other accrued expenses ........................... 143
Daily variation margin on futures contracts ...... 605
------------
Total liabilities ............................................. 31,129
------------
NET ASSETS ....................................................... $ 1,561,787
============
NET ASSETS CONSIST OF:
Undistributed net investment income .............................. $ 351
Accumulated net realized gain (loss) ............................ 118,600
Unrealized appreciation (depreciation) on:
Investments ..................................................... 239,793
Futures contracts ............................................... 3,213
Shares of beneficial interest .................................... 306
Additional paid-in capital ....................................... 1,199,524
------------
NET ASSETS ....................................................... $ 1,561,787
============
NET ASSET VALUE, offering and redemption price per share:
Class C ($17,599,330 divided by 347,233 shares of $.01 par
value shares of beneficial interest outstanding) ................ $ 50.68
============
Class E ($13,410,454 divided by 263,030 shares of $.01 par
value shares of beneficial interest outstanding) ................ $ 50.98
============
Class S ($1,530,777,687 divided by 30,030,666 shares of $.01
par value shares of beneficial interest outstanding) ............ $ 50.97
============
See accompanying notes which are an integral part of the financial statements.
Diversified Equity Fund 11
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Dividends ............................................... $ 5,185 $ 16,888
Dividends from Money Market Fund ........................ 2,104 3,899
Interest ................................................ 41 446
----------------- -----------------
Total investment income ............................... 7,330 21,233
----------------- -----------------
EXPENSES
Advisory fees ........................................... 3,705 10,643
Administrative fees ..................................... 256 734
Custodian fees .......................................... 221 711
Distribution fees - Class C ............................. 40 49
Transfer agent fees ..................................... 432 1,263
Professional fees ....................................... 25 52
Registration fees ....................................... 77 182
Shareholder servicing fees - Class C .................... 13 16
Shareholder servicing fees - Class E .................... 11 31
Trustees' fees .......................................... 7 10
Miscellaneous ........................................... 32 123
----------------- -----------------
Total expenses ........................................ 4,819 13,814
----------------- -----------------
Net investment income .................................... 2,511 7,419
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ............................................. 28,934 246,363
Futures contracts ....................................... (686) 11,461
Foreign currency-related transactions ................... 1 --
----------------- -----------------
28,249 257,824
----------------- -----------------
Net change in unrealized appreciation (depreciation) on:
Investments ............................................. (86,607) (16,913)
Futures contracts ....................................... (2,035) 1,995
Foreign currency-related transactions ................... (1) --
----------------- -----------------
(88,643) (14,918)
----------------- -----------------
Net realized and unrealized gain (loss) .................. (60,394) 242,906
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .... $ (57,883) $ 250,325
================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
12 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ........................................... $ 2,511 $ 7,419 $ 7,673
Net realized gain (loss) ........................................ 28,249 257,824 92,820
Net change in unrealized appreciation (depreciation) ............ (88,643) (14,918) 174,452
----------------- ----------------- -----------------
Net increase (decrease) in net assets from operations ......... (57,883) 250,325 274,945
----------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income
Class C ....................................................... -- (1) --
Class E ....................................................... (29) (23) (9)
Class S ....................................................... (2,131) (8,208) (7,563)
From net realized gain
Class C ....................................................... (375) (1,313) --
Class E ....................................................... (303) (1,234) (334)
Class S ....................................................... (35,620) (152,916) (66,093)
----------------- ----------------- -----------------
Net decrease in net assets from distributions ............... (38,458) (163,695) (73,999)
----------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ... 60,463 135,012 129,618
----------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ...................... (35,878) 221,642 330,564
NET ASSETS
Beginning of period ............................................. 1,597,665 1,376,023 1,045,459
----------------- ----------------- -----------------
End of period (including undistributed net investment income of
$351 at April 30, 2000 and $109 at December 31, 1998) ........ $ 1,561,787 $ 1,597,665 $ 1,376,023
================= ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Diversified Equity Fund 13
<PAGE>
DIVERSIFIED EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
---------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ..................... $ 54.13 $ 52.04
---------- ----------
INCOME FROM OPERATIONS
Net investment income (loss)(a) ......................... (.09) (.20)
Net realized and unrealized gain (loss) ................. (2.14) 8.14
---------- ----------
Total income from operations .......................... (2.23) 7.94
---------- ----------
DISTRIBUTIONS
From net investment income .............................. -- (.03)
From net realized gain .................................. (1.22) (5.82)
---------- ----------
Total distributions ................................... (1.22) (5.85)
---------- ----------
NET ASSET VALUE, END OF PERIOD ........................... $ 50.68 $ 54.13
========== ==========
TOTAL RETURN (%)(b) ...................................... (3.99) 15.83
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ................ 17,599 14,787
Ratios to average net assets (%)(c):
Operating expenses .................................... 1.93 1.94
Net investment income (loss) .......................... (.50) (.41)
Portfolio turnover rate (%) ............................. 64.59 110.36
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
14 Diversified Equity Fund
<PAGE>
DIVERSIFIED EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------------------
2000* 1999 1998 1997**
---------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............ $ 54.43 $ 51.40 $ 43.64 $ 45.55
---------- ----------- ----------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ...................... .04 .13 .10 .06
Net realized and unrealized gain (loss) ........ (2.16) 8.81 10.34 7.97
---------- ----------- ----------- ----------
Total income from operations ................. (2.12) 8.94 10.44 8.03
---------- ----------- ----------- ----------
DISTRIBUTIONS
From net investment income ..................... (.11) (.09) (.08) (.07)
From net realized gain ......................... (1.22) (5.82) (2.60) (9.87)
---------- ----------- ----------- ----------
Total distributions .......................... (1.33) (5.91) (2.68) (9.94)
---------- ----------- ----------- ----------
NET ASSET VALUE, END OF PERIOD .................. $ 50.98 $ 54.43 $ 51.40 $ 43.64
========== =========== =========== ==========
TOTAL RETURN (%)(b) ............................. (3.76) 17.95 24.59 15.99
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ....... 13,410 12,958 9,007 2,839
Ratios to average net assets (%)(c):
Operating expenses ........................... 1.18 1.19 1.33 1.63
Net investment income ........................ .25 .23 .21 .10
Portfolio turnover rate (%) .................... 64.59 110.36 100.31 114.11
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period May 27, 1997 (commencement of sale) to December 31, 1997.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Diversified Equity Fund 15
<PAGE>
DIVERSIFIED EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
----------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .... $ 54.33 $ 51.39 $ 43.64 $ 41.45 $ 38.62 $ 32.26
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) .............. .09 .28 .30 .37 .48 .60
Net realized and unrealized gain (loss). (2.16) 8.79 10.34 12.06 8.15 10.63
----------- ---------- ---------- ---------- ---------- ----------
Total income from operations ......... (2.07) 9.07 10.64 12.43 8.63 11.23
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS
From net investment income ............. (.07) (.31) (.29) (.37) (.48) (.60)
From net realized gain ................. (1.22) (5.82) (2.60) (9.87) (5.32) (4.27)
----------- ---------- ---------- ---------- ---------- ----------
Total distributions .................. (1.29) (6.13) (2.89) (10.24) (5.80) (4.87)
----------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD .......... $ 50.97 $ 54.33 $ 51.39 $ 43.64 $ 41.45 $ 38.62
========== ========== ========== ========== ========== ==========
TOTAL RETURN (%)(b) ..................... (3.68) 18.21 25.11 31.32 23.29 35.17
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) 1,530,778 1,569,920 1,367,016 1,042,620 699,691 530,645
Ratios to average net assets (%)(c):
Operating expenses ................... .93 .93 .91 .92 .94 .95
Net investment income ................ .50 .51 .62 .80 1.18 1.56
Portfolio turnover rate (%) ............ 64.59 110.36 100.31 114.11 99.90 92.53
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
16 Diversified Equity Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
COMMON STOCKS - 89.3%
AUTO AND TRANSPORTATION - 3.0%
AAR Corp. 23,700 357
Alaska Air Group, Inc. (a) 2,200 63
America West Holding Corp.
Class B (a) 19,500 285
American Axle & Manufacturing Holdings,
Inc. (a) 800 12
American Freightways Corp. (a) 25,700 474
Amtran, Inc. (a) 4,000 66
Atlantic Coast Airlines, Inc. (a) 9,600 289
Autoliv, Inc. 1,700 48
Aviall, Inc. (a) 7,300 45
Avis Rent A Car, Inc. (a) 33,700 682
Bandag, Inc. 4,500 107
Borg-Warner Automotive, Inc. 4,700 197
C.H. Robinson Worldwide, Inc. 20,300 1,014
CNF Transportation, Inc. 27,100 757
Coachmen Industries, Inc. 50,300 777
Continental Airlines, Inc. Class B (a) 4,900 196
Cooper Tire & Rubber Co. 19,100 258
Dollar Thrifty Automotive
Group, Inc. (a) 25,700 540
Dura Automotive Systems, Inc. (a) 5,900 96
Expeditors International of
Washington, Inc. 16,300 693
Federal-Mogul Corp. 4,100 56
FedEx Corp. (a) 29,900 1,127
Fleetwood Enterprises, Inc. 6,200 91
Florida East Coast Industries, Inc. 1,000 49
Fritz Companies, Inc. (a) 13,800 132
Kirby Corp. (a) 3,300 68
Landstar Systems, Inc. (a) 20,000 1,144
Lear Corp. (a) 34,900 1,045
M.S. Carriers, Inc. (a) 2,500 58
Meritor Automotive, Inc. 11,900 179
Monaco Coach Corp. (a) 5,050 83
National R.V. Holdings, Inc. (a) 3,800 47
Navistar International Corp. (a) 6,000 210
Northwest Airlines Corp. Class A (a) 3,500 86
Offshore Logistics, Inc. (a) 95,700 1,124
Polaris Industries, Inc. 16,000 490
Roadway Express, Inc. 11,700 274
Ryder System, Inc. 21,500 477
Skywest, Inc. 47,450 1,999
Superior Industries International, Inc. 40,500 1,304
Thor Industries, Inc. 20,000 539
Tower Automotive, Inc. (a) 6,200 97
Trinity Industries, Inc. 66,700 1,484
UAL Corp. (a) 32,500 1,881
United Auto Group, Inc. (a) 6,300 55
USFreightways Corp. 25,000 1,153
Wabash National Corp. 14,700 213
XTRA Corp. (a) 5,600 262
Yellow Corp. (a) 27,200 516
----------
23,199
----------
CONSUMER DISCRETIONARY - 13.2%
24/7 Media, Inc. (a) 2,100 41
Aaron Rents, Inc. 9,100 132
Alberto Culver Co. Class B 9,100 215
American Greetings Corp. Class A 97,900 1,774
Ames Department Stores, Inc. (a) 3,600 65
Anchor Gaming (a) 5,300 213
Applebee's International, Inc. 25,000 911
Argosy Gaming Co. (a) 50,500 808
Aztar Corp. (a) 44,300 529
Banta Corp. 70,600 1,381
Barnes & Noble, Inc. (a) 2,200 41
Belo (A.H.) Corp. Class A 10,800 180
BHC Communications, Inc. Class A 500 77
BJ's Wholesale Club, Inc. (a) 36,200 1,283
Borders Group, Inc. (a) 2,700 43
Boyd Gaming Corp. (a) 20,600 104
Brightpoint, Inc. (a) 47,200 552
Brinker International, Inc. (a) 63,900 2,037
Brown Shoe Co., Inc. 12,100 124
Brunswick Corp. 51,700 992
Buckeye Technologies, Inc. (a) 21,200 405
Buffets, Inc. (a) 12,400 121
Burlington Coat Factory
Warehouse Corp. 23,100 347
Callaway Golf Co. 3,100 52
Catalina Marketing Corp. (a) 800 81
Cato Corp. Class A 8,800 92
CDI Corp. (a) 4,900 110
CEC Entertainment, Inc. (a) 22,025 661
Central Garden & Pet Co. (a) 6,500 68
Central Newspapers, Inc. Class A 50,500 1,550
Choice Hotels International, Inc. (a) 6,800 90
Chris Craft Industries, Inc. (a) 2,603 160
Claire's Stores, Inc. 74,100 1,366
Convergys Corp. (a) 30,500 1,342
Cost Plus, Inc. (a) 2,600 78
Cox Radio, Inc. Class A (a) 6,300 457
Crestline Capital Corp. (a) 9,300 160
CSX Auto Corp. (a) 5,300 56
Darden Restaurants, Inc. 4,700 87
DeVry, Inc. (a) 59,800 1,424
Diamond Technology
Partners, Inc. (a) 37,600 2,975
Dillard's, Inc. Class A 3,400 47
18 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Dollar Tree Stores, Inc. (a) 18,500 1,070
Dover Downs Entertainment, Inc. 4,200 51
Dress Barn, Inc. (a) 4,300 83
Emmis Broadcasting Corp.
Class A (a) 37,300 1,583
Entercom Communications Corp. (a) 18,300 778
Ethan Allen Interiors, Inc. 7,100 189
Extended Stay America, Inc. (a) 3,000 27
Fairfield Communities, Inc. (a) 5,400 49
Family Dollar Stores, Inc. 32,300 616
Federated Department Stores, Inc. (a) 30,500 1,037
Fluor Corp. 45,400 1,524
Fossil, Inc. (a) 4,000 83
Furniture Brands International, Inc. (a) 75,600 1,413
G & K Services, Inc. Class A 23,100 563
Genlyte Group, Inc. (The) (a) 8,600 169
Getty Images, Inc. (a) 1,500 45
Grey Advertising, Inc. 4,025 1,808
Handleman Co. (a) 15,900 191
Harman International Industries, Inc. 1,100 72
Harrah's Entertainment, Inc. (a) 7,200 148
Harte Hanks Communications 50,800 1,257
Haverty Furniture Co., Inc. 16,000 180
Hearst-Argyle Television, Inc. (a) 49,900 1,063
Hispanic Broadcasting Corp. (a) 8,400 846
HotJobs.com, Ltd. (a) 2,000 23
Houghton Mifflin Co. 12,400 515
IHOP Corp. (a) 1,900 31
Interim Services, Inc. (a) 2,600 45
Interpublic Group Cos., Inc. 29,000 1,189
JAKKS Pacific, Inc. (a) 4,700 86
Jones Apparel Group, Inc. (a) 5,700 169
K-Swiss, Inc. Class A 3,800 56
Kelly Services, Inc. Class A 5,500 130
Knight-Ridder, Inc. 30,800 1,511
La-Z-Boy Inc. 25,000 392
Lamar Advertising Co. Class A (a) 27,800 1,209
Lancaster Colony Corp. 1,500 39
Landry's Seafood Restaurants, Inc. 25,500 220
Lason, Inc. (a) 7,900 36
Learning Tree International, Inc. (a) 33,900 1,612
Lee Enterprises, Inc. 50,000 1,134
Libbey, Inc. 3,000 92
Liberty Digital, Inc. Class A (a) 1,900 60
Linens 'N Things, Inc. (a) 1,800 56
Liz Claiborne, Inc. 1,500 69
Lone Star Steakhouse & Saloon 7,600 89
Mail-Well, Inc. (a) 7,200 64
Mandalay Resort Group (a) 4,600 87
Manpower, Inc. 24,900 879
MAXIMUS, Inc. (a) 22,300 525
McClatchy Co. (The) Class A 57,275 1,815
McGraw-Hill, Inc. 31,400 1,649
Media General, Inc. Class A 1,200 59
Meredith Corp. 43,900 1,221
MGM Grand, Inc. 42,500 1,254
Michaels Stores, Inc. (a) 51,800 2,043
Modem Media Poppe Tyson, Inc. (a) 5,700 83
Modis Professional Services, Inc. (a) 38,100 288
Movado Group, Inc. 4,600 39
Nautica Enterprises, Inc. (a) 6,400 72
NBC Internet, Inc. Class A New (a) 1,600 37
NOVA Corp. / Georgia (a) 3,100 98
Nu Skin Enterprises, Inc. Class A (a) 7,400 57
Oakley, Inc. (a) 16,100 185
On Assignment, Inc. (a) 77,200 2,413
Oshkosh B' Gosh, Inc. Class A 28,000 453
Outback Steakhouse, Inc. (a) 26,100 853
Oxford Industries, Inc. 5,900 100
P.F. Chang's China Bistro, Inc.
New (a) 9,400 328
Pacific Sunwear of California (a) 30,600 1,042
Park Place Entertainment Corp. (a) 108,500 1,390
Penton Media, Inc. 60,017 1,579
Personnel Group of America, Inc. (a) 8,500 45
Petco Animal Supplies, Inc. (a) 31,100 358
Phillips-Van Heusen Corp. 7,900 67
Pier 1 Imports, Inc. 49,000 557
Pinnacle Entertainment, Inc. (a) 26,000 522
Pittston Brink's Group 34,600 567
Polo Ralph Lauren Corp. Class A (a) 4,900 80
Pomeroy Computer
Resources, Inc. (a) 3,800 60
Pre-paid Legal Services, Inc. (a) 28,700 918
Premier Parks, Inc. (a) 1,900 41
Pulitzer, Inc. 4,800 184
R.H. Donnelley Corp. 12,900 258
RARE Hospitality
International, Inc. (a) 14,900 461
Reebok International, Ltd. (a) 6,800 116
Regis Corp. 35,700 415
Rent-A-Center, Inc. (a) 3,200 64
Rent-Way, Inc. (a) 3,800 99
Robert Half International, Inc. (a) 14,000 856
Ross Stores, Inc. 129,200 2,673
Ruby Tuesday, Inc. 16,700 350
Russell Corp. 11,300 222
Ryan's Family Steak Houses, Inc. (a) 123,800 1,211
S1 Corporation (a) 1,500 81
Salton, Inc. (a) 10,450 449
Scholastic Corp. (a) 10,600 495
Schultz Sav-o Stores, Inc. 74,500 847
Special Growth Fund 19
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
SCP Pool Corp. (a) 2,400 88
Scripps (E.W.) Co. Class A 31,400 1,466
ShopKo Stores, Inc. (a) 7,700 138
Sitel Corp. (a) 7,300 50
Source Information Mgmt.
Co. (The) (a) 37,100 545
Spiegel, Inc. Class A 22,000 181
Springs Industries, Inc. 17,800 731
Stanley Works (The) 1,700 50
Station Casinos, Inc. (a) 61,200 1,744
Steven Madden, Ltd. (a) 24,100 520
Sturm, Ruger & Co., Inc. 11,200 112
Talbots, Inc. 17,700 895
TeleTech Holdings, Inc. (a) 1,300 42
TETRA Technologies, Inc. (a) 49,600 1,166
Tiffany & Co. 54,800 3,983
Timberland Co. Class A (a) 14,600 1,013
TMP Worldwide, Inc. (a) 1,800 117
Tommy Hilfiger Corp. (a) 43,400 382
Topps Co., Inc. (a) 8,100 71
Toro Co. 9,000 277
Travelocity.com, Inc. New (a) 1,900 33
Trendwest Resorts, Inc. (a) 2,100 48
True North Communications, Inc. 16,700 688
Tupperware Corp. 17,200 325
Tweeter Home Entertainment
Group, Inc. New (a) 9,400 342
United Stationers, Inc. (a) 42,300 1,409
United Television, Inc. 11,450 1,543
URS Corp. (a) 15,200 194
Valassis Communications, Inc. (a) 3,300 112
Value City Department Stores, Inc. (a) 10,700 109
Valuevision International, Inc.
Class A (a) 1,800 36
Viad Corp. 19,700 500
Wallace Computer Services, Inc. 5,800 63
Washington Post Co (The),. Class B 4,200 2,050
Wendy's International, Inc. 2,200 49
Westwood One, Inc. (a) 17,600 622
Whitehall Jewellers, Inc. (a) 3,000 52
Williams-Sonoma, Inc. (a) 2,000 69
Windmere Corp. (a) 10,200 163
Young & Rubicam, Inc. 1,700 95
Zale Corp. (a) 28,900 1,191
Zomax, Inc. (a) 1,900 90
----------
100,802
----------
CONSUMER STAPLES - 1.6%
Block Drug Co., Inc. Class A 28,812 819
Canandaigua Brands Co., Inc.
Class A (a) 15,300 771
Church and Dwight Co., Inc. 2,700 48
Coca-Cola Bottling Co. Consolidated 23,100 1,155
Dean Foods Co. 23,400 573
Earthgrains Co. 26,300 370
Hormel Foods Corp. 68,700 1,048
IBP, Inc. 59,800 987
International Home Foods, Inc. (a) 22,800 332
International Multifoods Corp. 14,900 191
Longs Drug Stores, Inc. 16,000 372
Michael Foods, Inc. 5,200 111
Nature's Sunshine Products, Inc. 44,100 364
Pepsi Bottling Group, Inc. (The) 54,000 1,164
Performance Food Group Co. (a) 3,600 95
R.J. Reynolds Tobacco Holdings, Inc. 35,000 726
Ralcorp Holdings, Inc. (a) 15,000 207
Robert Mondavi Corp. Class A (a) 3,900 129
Schweitzer-Mauduit
International, Inc. 5,700 83
Suiza Foods Corp. (a) 33,000 1,285
SuperValu, Inc. 4,800 99
Tootsie Roll Industries, Inc. 27,840 858
Universal Corp. 5,500 104
Universal Foods Corp. 21,800 359
Whole Foods Market, Inc. (a) 1,300 55
----------
12,305
----------
FINANCIAL SERVICES - 10.8%
ACE, Ltd. 37,400 895
Advanta Corp. Class A 55,300 940
Affiliated Managers Group, Inc. (a) 29,900 1,200
Allied Capital Corp. 2,600 48
Allmerica Financial Corp. 27,100 1,467
American Financial Group, Inc. 10,500 267
American National Insurance Co. 2,300 118
AmeriCredit Corp. (a) 52,000 972
AmerUs Life Holdings, Inc. 11,600 231
Andover Bancorp, Inc. 2,000 54
Archstone Communities Trust 3,200 69
Associated Banc-Corp. 4,800 123
Astoria Financial Corp. 33,700 927
Avalonbay Communities, Inc. 3,117 122
BancWest Corp. 10,200 187
Bank United Corp. Class A 20,400 674
Bay View Capital Corp. 7,400 53
Bear Stearns Companies Inc. (The) 37,709 1,617
Bedford Property Investors, Inc. 3,585 63
Boston Properties, Inc. 1,315 46
BRE Properties, Inc. 2,610 73
Brookline Bancorp., Inc. 9,700 90
Cabot Industrial Trust 3,900 75
Capital Automotive 6,700 93
20 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Capitol Federal Financial 18,700 182
Capstead Mortgage Corp. 3,397 13
CarrAmerica Realty Corp. 2,400 57
Cathay Bancorp, Inc. 12,500 550
Charter One Financial, Inc. 39,000 792
Chittenden Corp. 6,400 170
Citizens Banking Corp. 1,900 33
City National Corp. 30,200 1,112
Colonial BancGroup, Inc. 96,000 900
Comerica, Inc. 36,000 1,526
Commerce Bancorp, Inc. 2,535 101
Commerce Bancshares, Inc. 6,000 185
Commerce Group, Inc. 11,900 351
Commonwealth Bancorp, Inc. 10,800 138
Compass Bancshares, Inc. 2,500 46
Cornerstone Realty Income Trust, Inc. 7,100 72
Crescent Real Estate Equities, Inc. 4,416 76
Cullen Frost Bankers, Inc. 14,100 348
CVB Financial Corp. 3,000 48
Dain Rauscher Corp. 11,000 681
Dime Community Bancorp, Inc. 11,300 195
Donaldson, Lufkin & Jenrette, Inc. 36,200 1,509
Donaldson, Lufkin & Jenrette, Inc. (a) 10,000 108
Doral Financial Corp. 10,300 122
Downey Financial Corp. 15,755 471
DVI, Inc. (a) 8,100 112
East West Bancorp, Inc. 4,300 53
EastGroup Properties, Inc. 7,300 152
Eaton Vance Corp. 23,400 990
Edwards (A.G.), Inc. 4,400 166
Enhance Financial Services
Group, Inc. 16,900 171
F&M National Corp. 4,600 110
Federated Investors, Inc. Class B 2,300 65
FelCor Lodging Trust, Inc. 2,700 53
Fidelity National Financial, Inc. 4,990 74
Financial Federal Corp. (a) 3,500 65
FINOVA Group, Inc. 2,900 37
First Commerce Bancshares, Inc. Class B 1,900 66
First Commonwealth Financial Corp. 5,200 60
First Federal Capital Corp. 5,800 66
First Industrial Realty Trust, Inc. 2,800 84
First Republic Bank (a) 2,100 41
First Washington Bancorp, Inc. 2,310 33
FirstFed Financial Corp. (a) 25,200 315
Fremont General Corp. 30,600 178
Friedman, Billings, Ramsey
Group, Inc. (a) 5,600 44
Frontier Financial Corp. 1,200 23
Gables Residential Trust 52,000 1,248
GBC Bancorp 4,900 136
Golden State Bancorp, Inc. (a) 24,000 369
Greater Bay Bancorp 8,700 370
Greenpoint Financial Corp. 52,800 983
Hamilton Bancorp, Inc. (a) 8,200 150
Harbor Florida Bancshares, Inc. 8,200 86
Hibernia Corp. Class A 7,600 81
Highwoods Properties, Inc. 2,600 59
Hudson United Bancorp 36,500 824
Imperial Bancorp (a) 37,168 729
Independence Community Bank Corp. 19,900 233
IndyMac Mortgage Holdings, Inc. 5,900 77
Investment Technology Group (a) 1,700 64
Investors Financial Services Corp. 25,600 2,077
IPC Holdings, Ltd. 67,000 838
Irwin Financial Corp. 2,700 46
Jack Henry & Associates, Inc. 40,000 1,578
Jefferies Group, Inc. 14,300 315
John Nuveen & Co., Inc. Class A 6,300 251
Keystone Financial, Inc. 14,000 209
LandAmerica Financial Group, Inc. 3,100 55
LaSalle Hotel Properties 7,300 110
Legg Mason, Inc. 50,400 1,906
Leucadia National Corp. 25,300 590
Liberty Financial Cos., Inc. 8,800 165
Liberty Property Trust 2,700 67
LNR Property Corp. 81,500 1,757
MAF Bancorp, Inc. 53,700 1,004
Markel Corp. (a) 8,900 1,291
Medical Assurance, Inc. (a) 3,360 45
Mercantile Bankshares Corp. 12,800 364
Mercury General Corp. 9,400 257
MeriStar Hospitality Corp. 2,470 49
Metris Companies, Inc. 37,700 1,414
MGIC Investment Corp. 17,600 842
MONY Group, Inc. (The) 23,700 733
Morgan Keegan, Inc. 6,700 107
National City Bancshares, Inc. 2,100 46
National Commerce Bancorp 66,800 1,090
National Discount Brokers
Group, Inc. (a) 1,300 38
National Western Life Insurance Co. Class
A (a) 900 64
NCO Group, Inc. (a) 2,900 100
New Century Financial Corp. (a) 10,700 73
North Fork Bancorp., Inc. 71,700 1,161
OceanFirst Financial Corp. 2,800 45
Old Republic International Corp. 46,000 656
Pacific Century Financial Corp. 24,400 502
Pacific Gulf Properties, Inc. 6,300 135
Pan Pacific Retail Properties, Inc. 1,200 23
Special Growth Fund 21
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Park National Corp. 500 46
Paychex, Inc. 26,000 1,368
Penn Treaty American Corp. (a) 9,300 141
People's Bank 3,000 61
Peoples Heritage Financial Group 94,480 1,228
PFF Bancorp, Inc. 8,900 123
PMI Group, Inc. (The) 21,800 1,056
Post Properties, Inc. 1,087 46
Prentiss Properties Trust 1,925 46
Presidential Life Corp. 2,600 41
Price (T. Rowe) & Associates, Inc. 36,100 1,376
Profit Recovery Group
International, Inc. (The) (a) 32,900 572
Provident Bankshares Corp. 6,930 102
Provident Financial Group, Inc. 1,900 55
Queens County Bancorp 4,000 81
Radian Group, Inc. 79,500 4,050
Raymond James Financial, Inc. 37,800 761
Reliastar Financial Corp. 32,800 1,412
RenaissanceRe Holdings, Ltd. 30,000 1,103
Republic Bancorp, Inc. 5,610 54
RFS Hotel Investors, Inc. 5,900 72
Richmond County Financial Corp. 72,000 1,229
RLI Corp. 4,100 132
Rollins Truck Leasing Corp. 11,600 115
Roslyn Bancorp, Inc. 28,900 489
SCPIE Holdings, Inc. 2,800 83
Selective Insurance Group, Inc. 7,000 132
Senior Housing Properties Trust 10,000 86
SierraCities.com, Inc. (a) 4,100 25
Silicon Valley Bancshares (a) 85,400 5,268
SL Green Realty Corp. 4,300 110
Smith (Charles E.) Residential
Realty, Inc. 40,000 1,508
Southwest Bancorporation of
Texas, Inc. (a) 3,100 60
Southwest Securities Group, Inc. 1,700 70
Sovereign Bancorp, Inc. 99,000 678
Sovran Self Storage, Inc. 38,200 785
Spieker Properties, Inc. 3,100 137
Stancorp Financial Group, Inc. 17,700 516
Staten Island Bancorp, Inc. 17,600 303
Stewart Information Services Corp. 9,900 141
TCF Financial Corp. 12,900 302
Texas Regional Bancshares, Inc.
Class A 23,400 667
Thornburg Mortgage Asset Corp. 15,500 136
Transatlantic Holdings, Inc. 22,000 1,824
Trenwick Group, Inc. 7,600 107
Triad Guaranty, Inc. (a) 6,300 131
UICI (a) 11,200 49
UMB Financial Corp. 2,960 107
Union Planters Corp. 31,475 890
Vornado Realty Trust 1,519 52
Waddell & Reed Financial, Inc.
Class A 2,900 77
Webster Financial Corp. 63,600 1,354
Wesco Financial Corp. 500 118
Westamerica Bancorporation 43,400 1,079
WFS Financial, Inc. (a) 4,200 82
Whitney Holding Corp. 4,300 150
XL Capital, Ltd. Class A 22,000 1,047
----------
82,393
----------
HEALTH CARE - 6.9%
Abgenix, Inc. (a) 19,500 1,745
Accredo Health, Inc. (a) 2,700 75
Affymetrix, Inc. (a) 12,400 1,674
Alkermes, Inc. (a) 31,300 1,663
Alpharma, Inc. Class A 2,000 77
ALZA Corp. (a) 2,000 88
AmeriPath, Inc. (a) 7,000 53
AmeriSource Health Corp. Class A (a) 7,300 146
Andrx Corp. (a) 2,800 143
Bard (C.R.), Inc. 3,000 131
Bindley Western Industries, Inc. 23,233 405
Bio-Technology General Corp. (a) 5,800 82
Biomatrix, Inc. (a) 2,500 48
Celera Genomics 3,600 297
Celgene Corp. (a) 1,800 85
Cephalon, Inc. (a) 16,000 896
Chiron Corp. (a) 17,400 787
Conmed Corp. (a) 2,200 57
Cooper Companies, Inc. 4,700 158
Cor Therapeutics, Inc. (a) 22,800 1,737
Corixa Corp. (a) 58,100 1,772
Coventry Health Care, Inc. (a) 10,100 107
Cytyc Corp. (a) 28,200 1,265
Datascope Corp. 9,900 327
Diversa Corp. New (a) 13,500 363
Dura Pharmaceuticals, Inc. (a) 3,800 49
Enzo Biochem, Inc. (a) 1,300 53
Enzon, Inc. (a) 21,150 787
First Health Group Corp. (a) 86,100 2,626
Foundation Health Systems, Inc. (a) 10,300 104
Genzyme Corp. (a) 30,600 1,492
Gilead Sciences, Inc. (a) 11,700 634
Health Management Associates
Class A (a) 9,800 156
Hooper Holmes, Inc. 39,600 688
Human Genome Sciences, Inc. (a) 28,500 2,180
Humana, Inc. (a) 99,700 766
22 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
ICOS Corp. (a) 1,300 52
IDEC Pharmaceuticals Corp. (a) 16,200 1,034
Imclone Systems, Inc. (a) 800 73
Incyte Pharmaceuticals, Inc. (a) 32,800 2,524
Invitrogen Corp. (a) 800 50
IVAX Corp. (a) 101,550 2,780
Jones Pharma, Inc. 33,200 950
King Pharmaceuticals, Inc. (a) 2,300 113
LifePoint Hospitals, Inc. (a) 19,200 328
Lincare Holdings, Inc. (a) 48,200 1,470
Mallinckrodt, Inc. 45,400 1,220
Maxim Pharmaceuticals, Inc. (a) 20,200 780
Medicis Pharmaceutical Corp.
Class A. (a) 2,300 101
MedImmune, Inc. (a) 9,200 1,466
Medquist, Inc. (a) 1,600 57
Mentor Corp. 8,200 144
Millennium Pharmaceuticals, Inc. (a) 2,400 190
MiniMed, Inc. (a) 8,900 1,094
National Data Corp. 6,600 183
NBTY, Inc. (a) 76,500 1,353
Ocular Sciences, Inc. (a) 5,100 84
Oxford Health Plans, Inc. (a) 76,300 1,450
Patterson Dental Co. (a) 1,300 62
Perrigo Co. (a) 83,500 467
Pharmacyclics, Inc. (a) 1,100 50
Priority Healthcare Corp. Class B (a) 14,800 816
Professional Detailing, Inc. (a) 2,500 68
Protein Design Labs, Inc. (a) 800 81
Province Healthcare Co. (a) 39,400 1,138
QLT PhotoTherapeutics, Inc. (a) 31,600 1,756
Quest Diagnostics, Inc. (a) 25,500 1,484
Renal Care Group, Inc. (a) 40,200 894
Rexall Sundown, Inc. (a) 7,700 148
Sepracor, Inc. (a) 1,300 119
SICOR, Inc. (a) 4,400 50
SonoSite, Inc. (a) 20,600 667
St. Jude Medical, Inc. (a) 4,500 140
Sybron International Corp. (a) 2,800 87
Syncor International Corp. (a) 3,800 157
Techne Corp. (a) 700 50
Teva Pharmaceutical Industries,
Ltd. - ADR 24,300 1,065
Theragenics Corp. (a) 6,300 63
Trigon Healthcare, Inc. (a) 21,000 754
Universal Health Services, Inc.
Class B (a) 800 44
Varian Medical Systems, Inc. (a) 21,800 871
Vertex Pharmaceuticals, Inc. (a) 1,100 57
Vical, Inc. (a) 1,500 27
VISX, Inc. (a) 3,100 49
Vital Signs, Inc. 4,500 90
Watson Pharmaceuticals, Inc. (a) 2,300 102
----------
52,568
----------
INTEGRATED OILS - 0.5%
Ashland, Inc. 1,600 55
Cross Timbers Oil Co. 135,400 1,955
Giant Industries, Inc. (a) 80,200 716
Lyondell Petrochemical Co. 4,500 83
Murphy Oil Corp. 15,400 908
Tesoro Petroleum Corp. (a) 8,500 100
----------
3,817
----------
MATERIALS AND PROCESSING - 5.7%
AK Steel Holding Corp. 46,400 513
Albemarle Corp. 13,200 276
AMCOL International Corp. 42,400 694
American Standard Cos., Inc. (a) 3,400 139
AptarGroup, Inc. 60,600 1,727
Arch Chemicals, Inc. 3,200 63
Armstrong World Industries, Inc. 21,900 428
Ball Corp. 10,500 331
Bemis Co., Inc. 2,300 85
Boise Cascade Corp. 30,500 993
Bowater, Inc. 2,500 138
Brady Corp. Class A 5,300 156
Butler Manufacturing Co. 400 9
Cambrex Corp. 3,300 135
Centex Construction Products, Inc. 1,600 49
Chemed Corp. 11,000 329
Commercial Metals Co. 10,500 308
CUNO, Inc. (a) 2,100 57
Cytec Industries, Inc. (a) 2,900 87
Dal-Tile International, Inc. (a) 3,600 35
Engelhard Corp. 4,000 70
FMC Corp. (a) 4,100 239
Freeport-McMoRan Copper &
Gold, Inc. Class B (a) 10,200 98
Fuller (H.B.) Co. 3,300 126
Geon Co. 20,500 448
Georgia Gulf Corp. 75,100 1,807
Georgia-Pacific Corp. (Timber Group) 2,400 56
Granite Construction, Inc. 18,100 430
Greif Bros. Corp. Class A 3,300 106
Hanna (M.A.) Co. 15,400 177
Harland (John H.) Co. 12,000 185
Harsco Corp. 15,000 445
Hercules, Inc. 2,700 42
Hughes Supply, Inc. 15,300 233
Special Growth Fund 23
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Jacob's Engineering Group, Inc. (a) 8,300 260
Justin Industries, Inc. 3,800 69
Kaufman & Broad Home Corp. 38,900 749
Kaydon Corp. 34,700 811
Lafarge Corp. 13,700 346
Lone Star Technologies, Inc. (a) 9,700 447
Louisiana Pacific Corp. 74,000 990
LTV Corp. 68,100 243
Lubrizol Corp. 31,700 812
MacDermid, Inc. 16,400 384
Martin Marietta Materials, Inc. 19,300 1,023
Mead Corp. 4,100 143
Millennium Chemicals, Inc. 13,100 261
Minerals Technologies, Inc. 26,500 1,226
Mississippi Chemical Corp. 8,700 67
Mohawk Industries, Inc. (a) 29,400 729
Morrison Knudsen Corp. (a) 10,800 99
Mueller Industries, Inc. (a) 8,400 277
National Steel Corp. Class B 18,100 113
NCI Building Systems, Inc. (a) 4,400 84
Newmont Mining Corp. 27,900 654
NL Industries, Inc. 6,900 112
Nortek, Inc. (a) 5,100 106
Olin Corp. 36,900 655
OM Group 14,600 672
P.H. Glatfelter Co. 42,900 461
Paxar Corp. (a) 15,600 159
Phelps Dodge Corp. 31,600 1,462
Plum Creek Timber Co., Inc. 35,500 865
Precision Castparts Corp. 32,100 1,340
Rayonier, Inc. 21,900 1,028
Reliance Steel & Aluminum Co. 4,800 110
Reynolds Metals Co. 19,700 1,310
RPM, Inc. 28,400 288
Ryerson Tull, Inc. 3,600 45
SIFCO Industries 63,000 441
Sigma Aldrich Corp. 3,300 97
Simpson Manufacturing Co., Inc. (a) 6,000 272
Solutia, Inc. 4,500 61
Sonoco Products Co. 3,600 75
Southdown, Inc. 24,800 1,442
Spartech Corp. 13,200 459
SPS Technologies, Inc. (a) 19,300 606
St. Joe Co. (The) 61,100 1,760
Standard Register Co. 9,500 124
Standex International Corp. 3,500 58
Stillwater Mining Co. (a) 1,500 42
Stone & Webster, Inc. 7,200 95
Temple-Inland, Inc. 2,200 110
Texas Industries, Inc. 46,850 1,528
Timken Co. 4,800 89
Trex Co., Inc. New (a) 5,400 217
Unifi, Inc. (a) 20,100 205
USG Corp. 55,900 2,334
USX-U.S. Steel Group 47,800 1,198
W.R. Grace & Co. (a) 1,000 13
Waters Corp. (a) 15,300 1,450
Webb (Del E.) Corp. (a) 19,400 290
Westinghouse Air Brake Co. 5,400 61
Westvaco Corp. 20,600 637
Worthington Industries, Inc. 37,100 459
----------
43,537
----------
MISCELLANEOUS - 0.1%
Agribrands International, Inc. New (a) 6,600 247
Career Education Corp. (a) 1,800 67
Safety-Kleen Corp. (a) 41,300 41
Trammell Crow Co. (a) 4,000 53
----------
408
----------
OTHER ENERGY - 6.7%
Atwood Oceanics, Inc. (a) 5,400 327
Berry Petroleum Co. Class A 18,400 291
BJ Services Co. (a) 88,000 6,182
Cleco Corp. 7,700 265
Cooper Cameron Corp. (a) 22,200 1,665
Devon Energy Corp. 30,000 1,446
ENSCO International, Inc. 71,000 2,356
EOG Resources, Inc. 70,400 1,751
Global Industries, Inc. (a) 30,400 431
Global Marine, Inc. (a) 74,300 1,783
Hanover Compressor Co. (a) 6,900 402
Helmerich & Payne, Inc. 88,200 2,762
HS Resources, Inc. (a) 4,300 104
Key Energy Group, Inc. (a) 38,300 373
Kinder Morgan, Inc. 5,700 173
Marine Drilling Co, Inc. (a) 2,200 57
Mitchell Energy &
Development Corp. 7,300 175
Nabors Industries, Inc. (a) 77,900 3,072
Newfield Exploration Co. (a) 1,500 61
Noble Affiliates, Inc. 1,400 50
Noble Drilling Corp. (a) 60,100 2,400
Northwestern Corp. 6,800 156
Nuevo Energy Co. (a) 13,800 242
Ocean Energy, Inc. (a) 5,600 72
Octel Corp. (a) 6,600 61
ONEOK, Inc. 15,100 381
Patterson Energy, Inc. (a) 3,600 101
Pogo Producing Co. 27,800 712
Pride International, Inc. (a) 23,500 532
Rowan Cos., Inc. (a) 69,300 1,936
24 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Santa Fe International Corp. 76,500 2,630
Seacor Holdings, Inc. (a) 2,800 172
Smith International, Inc. (a) 38,500 2,926
Stone Energy Corp. (a) 22,800 1,077
Sunoco, Inc. 1,700 52
Talisman Energy, Inc. 41,500 1,240
Tidewater, Inc. 73,900 2,199
Transocean Sedco Forex, Inc. 26,000 1,222
Tuboscope Vetco
International Corp. (a) 14,800 257
Ultramar Diamond Shamrock Corp. 49,000 1,214
Union Pacific Resources Group, Inc. 9,300 178
UniSource Energy Corp. 14,100 229
Unocal Corp. 40,200 1,299
UTI Energy Corp. (a) 10,300 358
Valero Energy Corp. 102,700 2,979
Varco International, Inc. (a) 14,900 186
Vintage Petroleum, Inc. 148,850 2,959
Weatherford International, Inc. (a) 3,200 130
----------
51,626
----------
PRODUCER DURABLES - 6.1%
Alpine Group, Inc. (a) 5,000 41
American Power Conversion Corp. (a) 80,500 2,838
American Superconductor Corp. (a) 24,600 935
Applied Industrial Technology, Inc. 13,500 235
Applied Power, Inc., Class A 14,300 409
Asyst Technologies, Inc. (a) 1,600 86
ATMI, Inc. (a) 28,500 1,097
Belden, Inc. 1,700 50
Briggs & Stratton Corp. 17,200 660
Brooks Automation, Inc. (a) 1,000 90
C-COR Electronics, Inc. (a) 1,800 69
Celestica, Inc. (a) 17,300 944
Clayton Homes, Inc. 46,600 443
Cognex Corp. (a) 1,700 95
Cohu, Inc. 62,000 2,368
Credence Systems Corp. (a) 5,700 813
Crossmann Communities, Inc. (a) 5,800 94
CTS Corp. 1,700 107
Cummins Engine Co., Inc. 35,200 1,252
D.R. Horton, Inc. 66,400 859
Donaldson Co., Inc. 10,900 253
Electroglas, Inc. (a) 2,000 77
EMCOR Group, Inc. (a) 12,800 286
Fastenal Co. 800 47
Fisher Scientific International, Inc. (a) 1,200 48
Gemstar International Group, Ltd. (a) 18,900 873
GenCorp, Inc. 30,500 307
General Semiconductor, Inc. (a) 2,900 58
Gentex Corp. (a) 2,500 80
Grant Prideco, Inc. (a) 3,100 60
Helix Technology Corp. 800 41
Hubbell, Inc. Class B 28,700 748
ITT Industries, Inc. 48,800 1,540
Johnson Controls, Inc. 23,500 1,488
Kaman Corp. Class A 17,300 179
Kennametal, Inc. 2,600 75
Kent Electronics Corp. (a) 2,600 76
KLA Tencor Corporation (a) 26,200 1,962
Kulicke & Soffa Industries, Inc. (a) 19,300 1,511
Lennar Corp. 47,700 888
Littlefuse, Inc. (a) 18,900 669
Litton Industries, Inc. (a) 42,500 1,846
LTX Corp. (a) 18,200 833
M.D.C. Holdings, Inc. 15,000 286
Manitowoc Co., Inc. 11,450 380
Methode Electronics, Inc. Class A 1,000 42
Micrel, Inc. (a) 15,800 1,360
Millipore Corp. 1,500 108
Moog, Inc. (a) 3,800 90
National Service Industries, Inc. 27,900 600
National-Oilwell, Inc. (a) 26,700 639
Novellus Systems, Inc. (a) 19,400 1,290
NVR, Inc. (a) 24,800 1,544
Pall Corp. 103,400 2,307
Power Integrations, Inc. (a) 2,500 57
Power-One, Inc. (a) 1,600 109
Presstek, Inc. (a) 2,600 53
PRI Automation, Inc. (a) 800 64
Primex Technologies, Inc. 6,300 140
Pulte Corp. 60,300 1,296
Ryland Group, Inc. 13,600 274
Sawtek, Inc. (a) 1,600 77
Sensormatic Electronics Corp. (a) 3,800 63
Silicon Valley Group, Inc. (a) 1,900 54
SPX Corp. (a) 1,100 121
Standard Pacific Corp. 22,200 223
Starrett (L.S.) Co. Class A 30,100 730
Steelcase, Inc. Class A 23,600 277
Tecumseh Products Co. Class A 9,400 436
Tektronix, Inc. 28,300 1,637
Teleflex, Inc. 17,000 588
Teradyne, Inc. (a) 14,464 1,590
Terex Corp. (a) 5,700 89
Thermo Electron Corp. (a) 5,100 99
Thomas & Betts Corp. 12,000 370
Toll Brothers, Inc. (a) 73,600 1,595
Triquint Semiconductor, Inc. (a) 1,500 154
U S Liquids, Inc. (a) 6,000 35
Special Growth Fund 25
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Varian, Inc. New (a) 1,300 47
Watts Industries, Inc. Class A 4,300 58
York International Corp. 25,700 619
----------
46,931
----------
TECHNOLOGY - 26.1%
Actel Corp. (a) 1,600 59
Activision, Inc. (a) 6,500 40
Actuate Corp. (a) 14,700 440
Acxiom Corp. (a) 1,600 43
Adaptec, Inc. (a) 26,700 721
Adaptive Broadband Corp. (a) 1,200 39
Adtran, Inc. (a) 1,300 88
Advanced Digital Information (a) 16,700 409
Advanced Fibre Communications (a) 3,100 141
Advanced Micro Devices, Inc. (a) 30,500 2,676
Advanced Radio Telecom Corp. (a) 47,100 774
Advent Software, Inc. (a) 2,200 116
Affiliated Computer Services, Inc. Class
A (a) 1,500 50
Akamai Technologies, Inc. (a) 1,500 148
Allaire Corp. (a) 1,400 77
Alpha Industries, Inc. (a) 20,400 1,052
American Management
Systems, Inc. (a) 14,000 516
Amkor Technology, Inc. (a) 45,000 2,748
Amphenol Corp. Class A (a) 12,400 791
ANADIGICS, Inc. (a) 1,400 105
Anaren Microwave, Inc. (a) 7,800 801
Andrew Corp. (a) 27,800 818
Anixter International, Inc. (a) 32,400 1,091
Apex, Inc. (a) 1,400 41
Applied Micro Circuits Corp. (a) 3,700 477
Arrow Electronics, Inc. (a) 66,900 2,931
ASE Test, Ltd. (a) 45,800 1,354
Aspect Development, Inc. (a) 1,300 90
Aspen Technology, Inc. (a) 1,500 53
Atmel Corp. (a) 66,700 3,260
Autodesk, Inc. 1,900 73
Avid Technology, Inc. (a) 30,400 416
Avnet, Inc. 48,100 3,782
AVX Corp. 19,200 1,871
AXENT Technologies, Inc. (a) 2,700 53
Barra, Inc. (a) 19,200 808
BEA Systems, Inc. (a) 25,600 1,230
BindView Development Corp. (a) 27,000 218
BISYS Group, Inc. (a) 36,700 2,289
Black Box Corp. (a) 1,100 84
BreezeCom, Ltd. New (a) 11,500 311
Brio Technology, Inc. (a) 1,900 47
BroadVision, Inc. (a) 74,700 3,282
Brocade Communications
Systems, Inc. (a) 9,100 1,125
Burr-Brown Corp. (a) 10,050 684
Business Objects SA - ADR (a) 40,700 3,976
C-Cube Microsystems, Inc. (a) 9,300 596
Cabletron Systems, Inc. (a) 6,900 158
CACI International, Inc. Class A (a) 2,800 65
Cadence Design Systems, Inc. (a) 8,500 143
Caldera Systems, Inc. New (a) 18,200 237
Carrier Access Corp. (a) 1,200 52
CDW Computer Centers, Inc. (a) 22,900 2,377
Check Point Software
Technologies, Ltd. (a) 2,200 381
CheckFree Holdings Corp. (a) 1,600 81
China.com Corp. Class A (a) 4,600 223
ChoicePoint, Inc. New (a) 43,400 1,649
Ciber, Inc. (a) 4,000 72
CIENA Corp. (a) 17,300 2,138
Cirrus Logic, Inc. (a) 75,200 1,222
Clarent Corp. (a) 63,100 4,283
CNET Networks, Inc. (a) 2,000 69
Coherent, Inc. (a) 1,400 81
Comdisco, Inc. 90,800 2,820
Comverse Technology, Inc. (a) 22,200 1,980
Concentric Network Corp. (a) 11,600 504
Conexant Systems, Inc. (a) 49,500 2,964
Covad Communications
Group, Inc. (a) 46,000 1,268
Cree, Inc. (a) 800 116
CSG Systems International, Inc. (a) 1,800 82
Cybex Computer Products Corp. (a) 1,400 38
Cymer, Inc. (a) 10,300 402
Cypress Semiconductor Corp. (a) 62,600 3,251
Dallas Semiconductor Corp. 3,400 146
Dendrite International, Inc. (a) 2,700 62
Digex, Inc. (a) 39,000 3,023
Documentum, Inc. (a) 1,100 65
DoubleClick, Inc. (a) 3,500 265
DSP Group, Inc. (a) 29,200 2,075
DST Systems, Inc. (a) 41,500 3,079
E-Tek Dynamics, Inc. (a) 4,500 921
EarthLink, Inc. (a) 4,067 77
Electro Rent Corp. (a) 8,300 89
Electro Scientific Industries, Inc. (a) 4,300 271
Electronic Arts, Inc. (a) 2,700 163
Electronics for Imaging, Inc. (a) 17,500 908
Emulex Corp. (a) 1,400 63
ESS Technology, Inc. (a) 8,800 114
Esterline Corp. (a) 3,200 39
Exar Corp. (a) 800 64
Exchange Applications, Inc. (a) 2,000 25
26 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Exodus Communications, Inc. (a) 5,600 495
Extreme Networks, Inc. (a) 17,900 1,025
Fair, Isaac and Co., Inc. 1,400 59
FileNet Corp. (a) 26,600 771
General Dynamics Corp. 25,000 1,463
Globecomm Systems, Inc. (a) 7,600 142
Go2Net, Inc. (a) 20,150 1,194
GT Group Telecom, Inc.
Class B New (a) 9,000 116
GTECH Holdings Corp. (a) 8,600 178
Hadco Corp. (a) 1,500 123
Harbinger Corp. (a) 2,100 39
Harmonic Lightwaves, Inc. (a) 12,500 922
Harris Corp. 24,300 785
HNC Software, Inc. (a) 21,600 1,053
Hyperion Solutions Corp. (a) 2,000 61
i2 Technologies, Inc. (a) 17,000 2,196
IDT Corp. (a) 15,200 480
iGATE Capital Corp. (a) 1,334 40
Ikon Office Solutions, Inc. 1,200 7
Imation Corp. (a) 20,100 564
In Focus Systems, Inc. (a) 37,300 1,114
Informatica Corp. (a) 18,800 785
Informix Corp. (a) 56,800 621
Inktomi Corp. (a) 8,600 1,323
Insight Enterprises, Inc. (a) 10,000 418
Integrated Device Technology, Inc. (a) 65,100 3,125
Integrated Silicon Solution, Inc. (a) 68,500 2,089
Intelligroup, Inc. (a) 11,500 178
Interliant, Inc. New (a) 71,600 1,486
Internap Network Services Corp. (a) 13,800 526
International Rectifier Corp. (a) 36,700 1,803
IntraNet Solutions, Inc. (a) 6,300 139
ISS Group, Inc. (a) 7,800 705
Ixnet, Inc. (a) 14,500 535
J.D. Edwards & Co. (a) 19,300 344
Jabil Circuit, Inc. (a) 58,200 2,383
JDA Software Group, Inc. (a) 7,400 137
JDS Uniphase Corp. (a) 23,000 2,385
Kemet Corp. (a) 28,500 2,123
Kopin Corp. (a) 1,400 108
Kronos, Inc. (a) 1,650 53
Lam Research Corp. (a) 19,000 870
Lattice Semiconductor Corp. (a) 10,600 706
Legato Systems, Inc. (a) 3,200 41
LSI Logic Corp. (a) 54,300 3,394
Macromedia, Inc. (a) 33,750 2,928
Macrovision Corp. (a) 2,000 98
MarchFirst, Inc. (a) 4,600 97
Marimba, Inc. (a) 1,600 32
Mechanical Technology, Inc. New (a) 1,800 32
Media Metrix, Inc. (a) 12,500 403
Mentor Graphics Corp. (a) 3,500 46
Mercator Software, Inc. (a) 17,300 636
Mercury Computer Systems, Inc. (a) 1,300 50
Mercury Interactive Corp. (a) 38,700 3,478
Microchip Technology, Inc. (a) 15,500 961
Micromuse, Inc. (a) 11,500 1,128
MICROS Systems, Inc. (a) 1,400 56
MicroStrategy, Inc. (a) 2,800 72
Midway Games, Inc. (a) 5,900 39
MTI Technology Corp. (a) 2,700 42
N2H2, Inc. (a) 2,500 13
National Computer Systems, Inc. 1,200 62
National Instruments Corp. (a) 16,125 785
National Semiconductor Corp. (a) 48,900 2,971
Net2Phone, Inc. (a) 9,000 397
Netopia, Inc. Net (a) 1,100 46
Network Appliance, Inc. (a) 40,900 3,024
Network Associates, Inc. (a) 171,200 4,344
Network Solutions, Inc. (a) 9,500 1,405
New Era of Networks, Inc. (a) 18,100 564
NVIDIA Corp. (a) 900 80
Open Market, Inc. (a) 3,400 35
Optimal Robotics Corp. New (a) 32,500 1,373
Ortel Corp. (a) 3,400 663
Parametric Technology Corp. (a) 9,000 73
Park Electrochemical Corp. 6,000 154
Pegasus Systems, Inc. (a) 2,800 50
Peregrine Systems, Inc. (a) 2,000 48
Pericom Semiconductor Corp. (a) 19,700 864
PerkinElmer, Inc. 28,100 1,538
Perot Systems Corp. Class A (a) 2,400 39
Phoenix Technologies, Ltd. (a) 3,200 62
Photronics, Inc. (a) 44,400 1,479
Pioneer-Standard Electronics, Inc. 6,600 101
PMC - Sierra, Inc. (a) 19,700 3,777
Polycom, Inc. (a) 1,200 95
Portal Software, Inc. (a) 67,200 3,066
Progress Software Corp. (a) 32,400 648
Proxicom, Inc. (a) 1,600 55
Proxim, Inc. (a) 600 46
PSINet, Inc. (a) 66,900 1,547
QLogic Corp. (a) 13,100 1,313
Quantum Corp. - DLT &
Storage Systems 6,400 75
Quantum Corp. - Hard Disk Drive (a) 236,300 2,762
Rambus, Inc. (a) 600 138
Rare Medium Group, Inc. (a) 2,700 55
Rational Software Corp. (a) 9,600 817
Razorfish, Inc. (a) 2,100 40
RealNetworks, Inc. (a) 11,100 528
Special Growth Fund 27
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Redback Networks, Inc. (a) 5,800 459
REMEC, Inc. (a) 14,000 524
Remedy Corp. (a) 8,600 457
RF Micro Devices, Inc. (a) 4,300 447
Rhythms NetConnections, Inc. (a) 2,400 49
Rogers Corp. (a) 4,800 323
RSA Security, Inc. (a) 2,000 117
Rudolph Technologies, Inc. New (a) 24,500 744
Safeguard Scientifics, Inc. (a) 32,900 1,374
Sandisk Corp. (a) 20,500 1,877
Sapient Corp. (a) 1,300 103
SCI Systems, Inc. (a) 5,700 304
Scient Corp. New (a) 12,900 693
Scientific-Atlanta, Inc. 38,400 2,498
Semtech Corp. (a) 10,500 716
SERENA Software, Inc. (a) 2,300 50
Silicon Graphics, Inc. (a) 79,000 568
Silicon Storage Technology, Inc. (a) 4,300 417
Siliconix, Inc. (a) 900 75
StarTek, Inc. (a) 1,300 67
Stoneridge, Inc. (a) 8,100 107
SunGard Data Systems (a) 26,000 899
Sybase, Inc. (a) 3,700 75
Symantec Corp. (a) 34,400 2,141
Symbol Technologies, Inc. 1,700 95
Synopsys, Inc. (a) 2,700 113
Systemax, Inc. (a) 7,800 60
Tech Data Corp. (a) 4,900 205
Tech-Sym Corp. (a) 41,300 878
Tekelec, Inc. (a) 1,300 45
Telescan, Inc. (a) 2,700 26
THQ, Inc. (a) 3,000 46
Titan Corp. (a) 2,300 99
Unigraphics Solutions, Inc. (a) 16,800 452
USinternetworking, Inc. (a) 83,562 2,073
Varian Semiconductor Equipment
Associates, Inc. (a) 46,300 3,114
Verio, Inc. (a) 31,400 1,179
VeriSign, Inc. (a) 7,800 1,084
Veritas Software Corp. (a) 15,000 1,609
Verity, Inc. (a) 8,000 259
VerticalNet, Inc. (a) 3,000 162
ViaSat, Inc. (a) 5,300 248
Vignette Corp. (a) 14,800 714
Vishay Intertechnology, Inc. (a) 45,000 3,774
Visual Networks, Inc. (a) 1,100 43
Volt Information Sciences, Inc. (a) 2,800 97
Wave Systems Corp. (a) 2,100 40
WebTrends Corp. (a) 17,000 557
Western Digital Corp. (a) 226,200 1,569
Wind River Systems, Inc. (a) 1,400 59
Xircom, Inc. (a) 20,300 801
Zebra Technologies Corp. Class A (a) 1,300 75
----------
199,793
----------
UTILITIES - 8.6%
Adelphia Business Solutions, Inc. (a) 47,100 1,634
Allegiance Telecom, Inc. (a) 2,700 190
Alliant Energy Corp. 29,400 882
Amdocs, Ltd. (a) 7,100 481
American States Water Co. 1,600 48
American Tower Corp. Class A (a) 23,100 1,074
American Water Works, Inc. 800 18
Aspect Communications Corp. (a) 2,700 96
Black Hills Corp. 8,100 186
BroadWing, Inc. (a) 81,200 2,299
C&D Technologies, Inc. 1,600 103
Cable Design Technologies Corp. (a) 37,000 1,267
Calpine Corp. (a) 30,200 2,763
CapRock Communications Corp.
New (a) 1,600 53
Cascade Natural Gas Corp. 3,500 56
Centennial Cellular Corp. Class A (a) 2,500 48
CH Energy Group, Inc. 8,300 273
Charter Communications
Holdings, Inc. (a) 94,000 1,381
Citizens Utilities Co. Class B (a) 16,100 259
Columbia Energy Group 12,200 766
Comcast Corp. Special Class A 53,900 2,159
CommScope, Inc. (a) 49,500 2,351
Conectiv, Inc. 26,800 476
Copper Mountain Networks, Inc. (a) 8,700 725
Digital Microwave Corp. (a) 49,000 1,807
Dobson Communications
Corp. New (a) 24,800 631
DPL, Inc. 3,100 72
DQE, Inc. 40,600 1,553
Dycom Industries, Inc. (a) 21,500 1,118
Dynegy, Inc. Class A 3,700 242
El Paso Electric Co. (a) 22,200 246
Energen Corp. 7,100 130
Energy East Corp. 10,500 219
Global TeleSystems Group, Inc. (a) 28,900 421
Hawaiian Electric Industries, Inc. 79,100 2,927
Idacorp, Inc. 11,300 417
InterDigital Communications
Corp. (a) 2,600 53
Intermedia Communications, Inc. (a) 1,600 65
ITC DeltaCom, Inc. (a) 1,600 52
28 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Latitude Communications, Inc. (a) 22,700 325
MasTec, Inc. (a) 33,500 2,894
McLeodUSA, Inc. (a) 10,800 270
MDU Resources Group, Inc. 11,400 249
Minnesota Power, Inc. 27,400 505
Montana Power Co. 45,400 2,000
MRV Communications, Inc. (a) 900 62
New Jersey Resources Corp. 2,300 93
NICOR, Inc. 13,100 444
NiSource, Inc. 6,100 113
NSTAR 3,100 137
OGE Energy Corp. 23,200 460
Optical Cable Corp. (a) 1,600 39
PairGain Technologies, Inc. (a) 3,300 82
Peoples Energy Corp. 11,200 348
Piedmont Natural Gas Co., Inc. 5,100 144
Pinnacle Holdings, Inc. (a) 15,000 840
Pinnacle West Capital Corp. 50,900 1,788
Potomac Electric Power Co. 3,500 82
Powertel, Inc. (a) 800 53
Powerwave Technologies, Inc. (a) 4,800 998
Price Communications Corp. (a) 43,100 873
Primus Telecommunications
Group, Inc. (a) 39,300 1,287
Public Service Co. of New Mexico 61,700 1,111
Puget Sound Energy, Inc. 17,400 413
Quanta Services, Inc. (a) 44,050 2,046
Questar Corp. 37,500 705
RCN Corp. (a) 61,000 1,746
RGS Energy Group, Inc. 30,300 712
RSL Communications, Ltd.
Class A (a) 31,800 443
SCANA Corp. 4,000 104
SDL, Inc. (a) 13,500 2,632
South Jersey Industries, Inc. 4,800 128
TECO Energy, Inc. 5,400 118
Telephone & Data Systems, Inc. 12,800 1,306
Terayon Communication
Systems, Inc. (a) 800 74
Time Warner Telecom, Inc.
Class A (a) 65,600 3,592
TranSwitch Corp. (a) 1,600 141
Tut Systems, Inc. (a) 1,100 52
UGI Corp. 20,400 417
United Illuminating Co. 10,500 483
United States Cellular Corp. (a) 22,500 1,351
UtiliCorp United, Inc. 39,000 751
VoiceStream Wireless Corp. (a) 10,300 1,018
Vyyo, Inc. New (a) 24,100 504
West TeleServices Corp. (a) 2,900 61
Western Resources, Inc. 51,400 809
Western Wireless Corp. Class A (a) 2,000 99
WinStar Communications, Inc. (a) 29,400 1,170
Wisconsin Energy Corp. 27,300 583
WPS Resources Corp. 2,900 86
----------
66,282
----------
TOTAL COMMON STOCKS
(cost $566,886) 683,661
----------
PREFERRED STOCKS - 0.0%
Sovereign Bancorp, Inc. (a) 2,500 113
----------
TOTAL PREFERRED STOCKS
(cost $125) 113
----------
PRINCIPAL
AMOUNT
(000)
$
-----------
SHORT-TERM INVESTMENTS - 10.4%
Frank Russell Investment Company Money
Market Fund,
due on demand (b) 74,172 74,172
United States Treasury Bills (b)(c)(d)
5.440% due 06/29/00 750 743
5.465% due 06/29/00 1,000 991
5.470% due 06/29/00 2,150 2,131
5.620% due 06/29/00 500 495
5.640% due 06/29/00 800 793
5.690% due 06/29/00 495
500 ----------
TOTAL SHORT-TERM INVESTMENTS
(cost $79,820) 79,820
----------
TOTAL INVESTMENTS - 99.7%
(identified cost $646,831) 763,594
OTHER ASSETS AND LIABILITIES,
NET - 0.3% 1,853
----------
765,447
NET ASSETS - 100.0% ==========
(a) Nonimcome-producing security.
(b) At amortized cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased
by the Fund.
(d) Rate noted is yeild-to-maturity from date of acquisition.
Abbreviations:
ADR - American Depositary Reciept
See accompanying notes which are an integral part of the financial statements.
Special Growth Fund 29
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
FUTURES CONTRACTS ----------- ----------------
S&P 400 Midcap Index
expiration date 06/00 228 $ (151)
S&P 500 Index
expiration date 06/00 65 615
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $464
==========
See accompanying notes which are an integral part of the financial statements.
30 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
ASSETS
Investments at market (identified cost $646,831) .............. $ 763,594
Receivables:
Dividends and interest ....................................... 747
Investments sold ............................................. 5,920
Fund shares sold ............................................. 1,190
Daily variation margin on futures contracts .................. 512
Prepaid expenses .............................................. 9
---------
Total assets ............................................... 771,972
LIABILITIES
Payables:
Investments purchased ............................ $ 5,200
Fund shares redeemed ............................. 483
Accrued fees to affiliates ....................... 741
Other accrued expenses ........................... 101
---------
Total liabilities .......................................... 6,525
---------
NET ASSETS .................................................... $ 765,447
=========
NET ASSETS CONSIST OF:
Accumulated net operating loss ................................ $ (67)
Accumulated net realized gain (loss) .......................... 76,090
Unrealized appreciation (depreciation) on:
Investments .................................................. 116,763
Futures contracts ............................................ 464
Shares of beneficial interest ................................. 150
Additional paid-in capital .................................... 572,047
---------
NET ASSETS .................................................... $ 765,447
=========
NET ASSET VALUE, offering and redemption price per share:
Class C ($8,087,796 divided by 162,357 shares of $.01 par
value shares of beneficial interest outstanding) ........... $ 49.81
=========
Class E ($6,800,227 divided by 135,219 shares of $.01 par
value shares of beneficial interest outstanding) ........... $ 50.29
=========
Class S ($750,559,254 divided by 14,716,075 shares of $.01 par
value shares of beneficial interest outstanding) ........... $ 51.00
=========
See accompanying notes which are an integral part of the financial statements.
Special Growth Fund 31
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF OPERATIONS
Amounts in thousands
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
-------------- ------------------
INVESTMENT INCOME
Dividends ................................... $ 1,659 $ 5,190
Dividends from Money Market Fund ............ 1,275 1,597
Interest .................................... 21 250
--------- ---------
Total investment income ................... 2,955 7,037
--------- ---------
EXPENSES
Advisory fees ............................... 2,182 5,557
Administrative fees ......................... 122 310
Custodian fees .............................. 194 469
Distribution fees - Class C ................. 18 18
Transfer agent fees ......................... 419 1,139
Professional fees ........................... 15 31
Registration fees ........................... 34 96
Shareholder servicing fees - Class C ........ 6 6
Shareholder servicing fees - Class E ........ 5 14
Trustees' fees .............................. 6 7
Miscellaneous ............................... 21 70
--------- ---------
Total expenses ............................ 3,022 7,717
--------- ---------
Net investment income (loss) ................ (67) (680)
--------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ................................. 70,944 63,510
Futures contracts ........................... 2,872 5,156
--------- ---------
73,816 68,666
--------- ---------
Net change in unrealized appreciation
(depreciation) on:
Investments ................................. (25,305) 59,584
Futures contracts ........................... (1,772) 333
--------- ---------
(27,077) 59,917
--------- ---------
Net realized and unrealized gain (loss) ..... 46,739 128,583
--------- ---------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS ................................. $ 46,672 $ 127,903
========= =========
See accompanying notes which are an integral part of the financial statements.
32 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
---------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss) .................. $ (67) $ (680) $ 189
Net realized gain (loss) ...................... 73,816 68,666 25,694
Net change in unrealized
appreciation (depreciation) ................. (27,077) 59,917 (28,689)
--------- --------- ---------
Net increase (decrease) in net
assets from operations ..................... 46,672 127,903 (2,806)
--------- --------- ---------
DISTRIBUTIONS
From net investment income
Class S ...................................... -- (78) (536)
From net realized gain
Class C ...................................... (189) (357) --
Class E ...................................... (165) (323) (281)
Class S ...................................... (19,077) (42,975) (32,238)
--------- --------- ---------
Net decrease in net assets
from distributions ....................... (19,431) (43,733) (33,055)
--------- --------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions ............... 29,594 22,442 62,073
--------- --------- ---------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS .................................... 56,835 106,612 26,212
NET ASSETS
Beginning of period ............................ 708,612 602,000 575,788
--------- --------- ---------
End of period (accumulated net operating loss of
$67 at April 30, 2000) ...................... $ 765,447 $ 708,612 $ 602,000
========= ========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Special Growth Fund 33
<PAGE>
SPECIAL GROWTH FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD ........ $ 48.22 $ 42.17
----------- -----------
INCOME FROM OPERATIONS
Net investment income (loss)(a) ............ (.17) (.45)
Net realized and unrealized gain (loss) .... 3.11 9.72
----------- -----------
Total income from operations ............. 2.94 9.27
----------- -----------
DISTRIBUTIONS
From net realized gain ..................... (1.35) (3.22)
----------- -----------
NET ASSET VALUE, END OF PERIOD .............. $ 49.81 $ 48.22
=========== ===========
TOTAL RETURN (%)(b) ......................... 6.21 22.53
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ... 8,088 5,990
Ratios to average net assets (%)(c):
Operating expenses ....................... 2.22 2.23
Net investment income (loss) ............. (1.00) (1.10)
Portfolio turnover rate (%) ................ 63.33 111.98
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
34 Special Growth Fund
<PAGE>
SPECIAL GROWTH FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-----------------------------------------------
2000* 1999 1998 1997 1996**
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD ........................... $ 48.55 $ 42.91 $ 45.42 $ 40.75 $ 43.48
--------- --------- --------- --------- --------
INCOME FROM OPERATIONS
Net investment income
(loss)(a) ....................... (.04) (.16) (.17) (.13) (.02)
Net realized and
unrealized gain (loss) .......... 3.13 9.02 .09 11.05 1.63
--------- --------- --------- --------- --------
Total income from
operations ....................... 3.09 8.86 (.08) 10.92 1.61
--------- --------- --------- --------- --------
DISTRIBUTIONS
From net realized gain ............. (1.35) (3.22) (2.43) (6.25) (4.34)
--------- --------- --------- --------- --------
NET ASSET VALUE, END OF
PERIOD .............................. $ 50.29 $ 48.55 $ 42.91 $ 45.42 $ 40.75
========= ========= ========= ========= ========
TOTAL RETURN (%)(b) ................ 6.46 21.19 .04 27.90 4.04
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(in thousands) .................. 6,800 5,411 6,139 3,153 910
Ratios to average net assets (%)(c):
Operating expenses ............... 1.47 1.49 1.58 1.83 1.89
Net investment income (loss) .... (.26) (.36) (.39) (.51) (.38)
Portfolio turnover rate (%) ....... 63.33 111.98 129.19 97.19 118.13
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period November 4, 1996 (commencement of sale) to December 31,
1996.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Special Growth Fund 35
<PAGE>
SPECIAL GROWTH FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
---------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD ......... $ 49.18 $ 43.34 $ 45.72 $ 40.79 $ 39.17 $ 33.47
--------- -------- -------- -------- -------- --------
INCOME FROM OPERATIONS
Net investment income
(loss)(a) ............... -- (.05) .01 .08 .12 .18
Net realized and
unrealized gain
(loss) .................. 3.17 9.12 .08 11.18 6.87 9.25
--------- -------- -------- -------- -------- --------
Total income from
operations ............... 3.17 9.07 .09 11.26 6.99 9.43
--------- -------- -------- -------- -------- --------
DISTRIBUTIONS
From net investment
income ................... -- (.01) (.04) (.08) (.12) (.21)
From net realized
gain ..................... (1.35) (3.22) (2.43) (6.25) (5.25) (3.52)
--------- -------- -------- -------- -------- --------
Total distributions ...... (1.35) (3.23) (2.47) (6.33) (5.37) (3.73)
--------- -------- -------- -------- -------- --------
NET ASSET VALUE, END
OF PERIOD ................... $ 51.00 $ 49.18 $ 43.34 $ 45.72 $ 40.79 $ 39.17
======== ======== ======== ======== ======== ========
TOTAL RETURN (%)(b) ........ 6.56 21.45 .42 28.77 18.65 28.52
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period (in
thousands) .............. 750,559 697,211 595,862 572,635 393,048 313,678
Ratios to average net assets
(%)(c):
Operating expenses ....... 1.22 1.24 1.15 1.15 1.19 1.22
Net investment
income (loss) ........... (.02) (.10) .03 .18 .28 .49
Portfolio turnover
rate (%) ................ 63.33 111.98 129.19 97.19 118.13 87.56
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
36 Special Growth Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
COMMON STOCKS - 95.5%
AUTO AND TRANSPORTATION - 5.8%
AMR Corp. (a) 800 27
Arvin Industries, Inc. 500 11
AutoZone, Inc. (a) 1,200 28
Bandag, Inc. 400 10
Boeing Co. (The) 28,200 1,118
Borg-Warner Automotive, Inc. 900 38
Burlington Northern, Inc. 11,200 270
CNF Transportation, Inc. 700 20
Dana Corp. 1,800 55
Delphi Automotive Systems Corp. 18,100 346
Delta Air Lines, Inc. 13,700 723
Eaton Corp. 3,900 328
FedEx Corp. (a) 2,500 94
Ford Motor Co. 42,000 2,296
GATX Corp. 300 11
General Motors Corp. 23,500 2,200
Hertz Corp. Class A 4,700 147
Hunt (JB) Transportation
Services, Inc. 1,800 30
Lear Corp. (a) 500 15
Meritor Automotive, Inc. 4,100 62
Navistar International Corp. (a) 300 11
PACCAR, Inc. 5,900 280
Ryder System, Inc. 400 9
Southwest Airlines Co. 1,600 35
Superior Industries International, Inc. 900 29
Trinity Industries, Inc. 200 4
UAL Corp. (a) 2,200 126
Union Pacific Corp. 21,900 922
----------
9,245
----------
CONSUMER DISCRETIONARY - 9.2%
Abercrombie & Fitch Co. Class A (a) 900 10
AC Nielsen Corp. (a) 2,700 62
AMFM, Inc. (a) 1,600 106
AT&T Corp. - Liberty Media Group Class A
(a) 45,734 2,284
Banta Corp. 1,000 20
Best Buy Co. (a) 300 24
BJ's Wholesale Club, Inc. (a) 3,300 117
Brinker International, Inc. (a) 2,200 70
Brunswick Corp. 2,800 54
Callaway Golf Co. 2,100 35
CBS Corp. (a) 3,600 212
Cendant Corp. (a) 3,600 56
Circuit City Stores - Circuit
City Group 100 6
Clear Channel Communications,
Inc. (a) 300 22
Darden Restaurants, Inc. 7,900 146
Delhaize America, Inc. 3,500 62
Disney (Walt) Co. 54,100 2,343
Donnelley (R.R.) & Sons Co. 6,100 130
Eastman Kodak Co. 3,300 185
EchoStar Communications Corp.
Class A (a) 500 32
Energizer Holdings, Inc. (a) 1,633 28
Federated Department Stores, Inc. (a) 10,800 367
Fluor Corp. 2,900 97
Furniture Brands International, Inc. (a) 900 17
Gannett Co., Inc. 7,200 460
Harrah's Entertainment, Inc. (a) 2,200 45
Hasbro, Inc. 900 14
Houghton Mifflin Co. 1,200 50
Infinity Broadcasting Corp.
Class A (a) 800 27
Kelly Services, Inc. Class A 200 5
Kmart Corp. (a) 6,100 50
Lancaster Colony Corp. 300 8
Land's End, Inc. (a) 500 21
Leggett & Platt, Inc. 1,400 30
Limited, Inc. (The) 6,400 289
Liz Claiborne, Inc. 1,500 69
Lowe's Cos., Inc. 400 20
Manpower, Inc. 3,400 120
May Department Stores Co. 5,700 157
McDonald's Corp. 4,100 156
McGraw-Hill, Inc. 2,300 121
MediaOne Group, Inc. (a) 19,200 1,452
MGM Grand, Inc. 7,200 212
Mirage Resorts, Inc. (a) 1,800 37
Class A
Neiman Marcus Group, Inc. (The) 500 13
Class A (a)
New York Times Co. Class A 16,000 659
Newell Rubbermaid, Inc. 700 18
Office Depot, Inc. (a) 800 8
PanAmSat Corp. (a) 400 17
Park Place Entertainment Corp. (a) 4,700 60
Payless ShoeSource, Inc. (a) 900 50
Pittston Brink's Group 1,400 23
Reader's Digest Association,
Inc. Class A 3,700 118
Reynolds & Reynolds Co. Class A 400 10
Ross Stores, Inc. 800 17
Russell Corp. 700 14
Sears Roebuck & Co. 10,200 374
Shaw Industries, Inc. 1,700 27
Stanley Works (The) 1,000 30
Starwood Hotels & Resorts Worldwide,
Inc. 700 20
38 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Time Warner, Inc. 3,300 297
Toys "R" Us, Inc. (a) 4,400 67
Tribune Co. 37,500 1,458
Tricon Global Restaurants, Inc. (a) 2,300 78
UnitedGlobalCom, Inc. Class A (a) 400 21
USA Networks, Inc. (a) 500 12
Valassis Communications, Inc. (a) 1,100 37
Viacom, Inc. Class B (a) 16,900 918
Wallace Computer Services, Inc. 2,100 22
Wendy's International, Inc. 900 20
Westwood One, Inc. (a) 400 13
Whirlpool Corp. 7,200 468
----------
14,697
----------
CONSUMER STAPLES - 2.2%
Albertson's, Inc. 1,900 62
Anheuser-Busch Cos., Inc. 5,400 381
Bestfoods 400 20
Campbell Soup Co. 1,500 39
Coca-Cola Enterprises, Inc. 2,000 43
Colgate-Palmolive Co. 400 23
ConAgra, Inc. 4,800 91
Coors (Adolph) Co. Class B 900 46
General Mills, Inc. 14,100 513
Hannaford Brothers Co. 200 14
Heinz (H.J.) Co. 16,500 561
IBP, Inc. 9,600 158
Interstate Bakeries Corp. 800 10
Keebler Foods Co. 200 6
Kimberly-Clark Corp. 6,700 389
Kroger Co. (The) (a) 700 13
McCormick & Co., Inc. 2,800 87
Nabisco Group Holdings Corp. 3,100 40
Pepsi Bottling Group, Inc. (The) 1,500 32
PepsiCo, Inc. 3,200 117
Philip Morris Cos., Inc. 11,000 241
Procter & Gamble Co. 200 12
Quaker Oats Co. (The) 1,300 85
R.J. Reynolds Tobacco Holdings, Inc. 1,800 37
Ralston-Purina Group 10,100 179
Sara Lee Corp. 2,800 42
Suiza Foods Corp. (a) 200 8
SuperValu, Inc. 1,200 25
SYSCO Corp. 1,600 60
Tyson Foods, Inc. Class A 2,800 29
UST Corp. 10,000 150
Winn-Dixie Stores, Inc. 1,300 22
----------
3,535
----------
FINANCIAL SERVICES - 26.4%
Aetna, Inc. 800 46
AFLAC, Inc. 1,800 88
Allmerica Financial Corp. 4,400 238
Allstate Corp. 10,000 236
Ambac Financial Group, Inc. 9,000 432
American Express Co. 600 90
American General Corp. 18,200 1,019
American International Group, Inc. 23,200 2,545
AmSouth Bancorp 5,200 76
AON Corp. 1,800 49
Apartment Investment & Management Co.
Class A 2,400 95
Associates First Capital Corp. Class A 5,900 131
Astoria Financial Corp. 900 25
AXA Financial, Inc. 11,300 369
Bank of America Corp. 41,184 2,018
Bank of New York Co., Inc. 5,100 209
Bank One Corp. 10,700 326
BB&T Corp. 5,200 138
Bear Stearns Companies Inc. (The) 10,355 444
Block (H&R) Co., Inc. 900 38
Catellus Development Corp. (a) 800 10
Chase Manhattan Corp. 41,336 2,979
Chubb Corp. (The) 4,100 261
CIGNA Corp. 20,100 1,603
Cincinnati Financial Corp. 2,500 101
CIT Group, Inc. 1,500 25
Citigroup, Inc. 99,200 5,896
Colonial BancGroup, Inc. 1,100 10
Comerica, Inc. 3,200 136
Commerce Bancshares, Inc. 200 6
Compass Bancshares, Inc. 1,000 18
Conseco, Inc. 62,400 339
Dime Bancorp, Inc. 700 13
Donaldson, Lufkin & Jenrette, Inc. 1,600 67
Dow Jones & Co., Inc. 1,900 123
Duke Realty Investments, Inc. 3,900 85
Dun & Bradstreet Corp. 400 12
Edwards (A.G.), Inc. 1,300 49
Equity Office Properties Trust 3,800 103
Equity Residential Properties Trust 1,600 73
Erie Indemnity Co. Class A 2,200 65
Everest Re Group, Ltd. 1,200 35
Fannie Mae 22,300 1,345
Federal Home Loan Mortgage Corp. 2,400 110
FelCor Lodging Trust, Inc. 1,100 22
Financial Security Assurance Holdings,
Ltd. 200 15
FINOVA Group, Inc. 900 12
First Data Corp. 6,100 297
Equity Income Fund 39
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
First Security Corp. 1,600 23
First Union Corp. 13,600 434
Firstar Corp. 7,600 189
FleetBoston Financial Corp. 52,800 1,871
Franchise Finance Corp. of America 1,600 38
Franklin Resources, Inc. 300 10
Fulton Financial Corp. 600 12
General Growth Properties, Inc. 800 26
Golden State Bancorp, Inc. (a) 21,800 335
Golden West Financial Corp. 1,600 55
Goldman Sachs Group, Inc. (The) 800 75
Greenpoint Financial Corp. 1,100 20
Hartford Financial Services Group, Inc.
(The) 25,300 1,320
Hibernia Corp. Class A 1,900 20
Household International Corp. 10,500 438
Jefferson-Pilot Corp. 1,900 126
KeyCorp 7,100 131
Lehman Brothers Holdings, Inc. 6,100 501
Liberty Property Trust 1,000 25
Lincoln National Corp. 5,700 198
Loews Corp. 1,900 105
Marsh & McLennan Cos., Inc. 2,000 197
Marshall & Ilsley Corp. 1,400 65
MBIA, Inc. 200 10
MBNA Corp. 700 19
Mellon Financial Corp. 4,500 145
Merrill Lynch & Co., Inc. 5,800 591
MGIC Investment Corp. 8,500 406
MONY Group, Inc. (The) 2,400 74
Morgan (J.P.) & Co., Inc. 19,700 2,529
Morgan Stanley Dean Witter & Co. 48,800 3,745
National City Corp. 8,400 143
Nationwide Financial Services, Inc.
Class A 600 17
North Fork Bancorp., Inc. 1,000 16
Northern Trust Corp. 1,300 83
Old Kent Financial Corp. 800 24
Paine Webber Group, Inc. 5,400 237
PMI Group, Inc. (The) 7,300 354
PNC Bank Corp. 30,500 1,331
Popular, Inc. 500 10
Provident Financial Group, Inc. 7,500 219
Radian Group, Inc. 6,100 311
Regions Financial Corp. 2,000 41
Reinsurance Group Of America 600 15
Reliastar Financial Corp. 500 22
Simon Property Group, Inc. 2,200 56
SLM Holding Corp. 300 9
SouthTrust Corp. 2,500 60
Spieker Properties, Inc. 600 27
St. Paul Cos., Inc. 22,700 809
State Street Corp. 800 78
SunTrust Banks, Inc. 1,900 96
TCF Financial Corp. 800 19
Torchmark Corp. 1,500 38
U.S. Bancorp 10,600 215
UnionBanCal Corp. 29,800 825
UnumProvident Corp. 3,500 60
Wachovia Corp. 1,100 69
Waddell & Reed Financial, Inc.
Class A 600 16
Washington Mutual, Inc. 5,900 150
Wells Fargo Co. 20,300 833
Wilmington Trust Corp. 200 9
----------
42,347
----------
HEALTH CARE - 5.5%
Abbott Laboratories 6,700 258
Allergan, Inc. 800 47
American Home Products Corp. 1,300 73
Bausch & Lomb, Inc. 400 24
Baxter International, Inc. 17,400 1,133
Biogen, Inc. (a) 100 6
Bristol-Myers Squibb Co. 19,100 1,002
Chiron Corp. (a) 200 9
Columbia/HCA Healthcare Corp. 54,000 1,536
Covance, Inc. (a) 600 6
First Health Group Corp. (a) 400 12
Foundation Health Systems, Inc. (a) 1,100 11
Genzyme Corp. (a) 600 29
Humana, Inc. (a) 1,400 11
ICOS Corp. (a) 100 4
Immunex Corp. (a) 200 8
IVAX Corp. (a) 11,000 301
Johnson & Johnson 25,800 2,129
Lilly (Eli) & Co. 100 8
Mallinckrodt, Inc. 8,000 215
Merck & Co., Inc. 8,700 605
PacifiCare Health Systems, Inc. (a) 1,000 51
Perrigo Co. (a) 1,300 7
Pharmacia Corp. (a) 6,407 320
Tenet Healthcare Corp. 9,900 252
United Health Corp (a) 8,800 587
Universal Health Services, Inc.
Class B (a) 300 15
Wellpoint Health Networks, Inc. (a) 1,400 103
----------
8,762
----------
40 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
INTEGRATED OILS - 9.3%
Amerada Hess Corp. 28,900 1,839
Chevron Corp. 24,300 2,069
Coastal Corp. 1,600 80
Conoco, Inc. Class B 8,300 206
Enron Corp. 16,700 1,164
Exxon Mobil Corp. 86,073 6,687
Kerr-McGee Corp. 3,000 155
Lyondell Petrochemical Co. 2,000 37
Murphy Oil Corp. 600 35
Phillips Petroleum Co. 19,100 906
Texaco, Inc. 28,600 1,416
USX-Marathon Group 14,500 338
----------
14,932
----------
MATERIALS AND PROCESSING - 6.5%
Air Products & Chemicals, Inc. 2,400 75
Albemarle Corp. 2,000 42
Alcoa, Inc. 16,300 1,057
Allegheny Technologies, Inc. 300 7
American Standard Cos., Inc. (a) 2,400 98
Archer-Daniels-Midland Co. 6,300 63
Avery Dennison Corp. 200 13
B.F. Goodrich Co. 1,700 54
Ball Corp. 5,200 164
Boise Cascade Corp. 800 26
Bowater, Inc. 1,300 72
Centex Corp. 3,500 84
Champion International Corp. 1,000 66
Chesapeake Corp. 200 6
Cornerstone Properties, Inc. 600 11
Dow Chemical Co. 16,600 1,876
du Pont (E.I.) de Nemours & Co. 20,700 982
Eastman Chemical Co. 2,500 131
FMC Corp. (a) 1,700 99
Freeport-McMoRan Copper & Gold, Inc.
Class A (a) 700 6
Georgia-Pacific Corp. (Timber Group) 10,900 253
Georgia-Pacific Group 4,400 162
Granite Construction, Inc. 800 19
Hanna (M.A.) Co. 900 10
Harsco Corp. 700 21
IMC Global, Inc. 2,500 39
International Paper Co. 20,500 753
Johns Manville Corp. 2,600 27
Lafarge Corp. 2,200 56
Longview Fibre Co. 700 9
Louisiana Pacific Corp. 4,100 55
Lubrizol Corp. 13,000 333
Masco Corp. 3,300 74
Minnesota Mining &
Manufacturing Co. 13,300 1,150
Morrison Knudsen Corp. 2003 Warrants (a) 292 1
Newmont Mining Corp. 2,300 54
Nucor Corp. 6,000 258
PPG Industries, Inc. 7,300 397
Praxair, Inc. 1,600 71
Rayonier, Inc. 600 28
Reynolds Metals Co. 500 33
Sherwin-Williams Co. 2,600 65
Sigma Aldrich Corp. 2,100 62
Southdown, Inc. 600 35
Standard Register Co. 300 4
Temple-Inland, Inc. 3,800 190
Timken Co. 1,500 28
Tyco International, Ltd. 100 5
Union Carbide Corp. 1,100 65
US Industries, Inc. 1,600 20
USG Corp. 9,800 409
USX-U.S. Steel Group 100 3
Westvaco Corp. 11,700 361
Weyerhaeuser Co. 2,700 144
Willamette Industries, Inc. 7,900 301
Worthington Industries, Inc. 4,600 56
----------
10,483
----------
OTHER ENERGY - 2.6%
Anadarko Petroleum Corp. 2,600 113
Apache Corp. 4,400 213
Baker Hughes, Inc. 2,400 76
BJ Services Co. (a) 600 42
BP Amoco PLC - ADR 1,804 92
Burlington Resources, Inc. 1,600 63
Constellation Energy Group 15,500 512
Cooper Cameron Corp. (a) 500 38
El Paso Energy Corp. 5,900 251
ENSCO International, Inc. 4,100 136
EOG Resources, Inc. 800 20
Flowserve Corp. 800 11
Global Marine, Inc. (a) 1,200 29
Halliburton Co. 1,000 44
Helmerich & Payne, Inc. 4,600 144
Noble Drilling Corp. (a) 3,700 148
Occidental Petroleum Corp. 10,800 232
Ocean Energy, Inc. (a) 1,000 13
ONEOK, Inc. 600 15
Pioneer Natural Resources Co. (a) 800 8
Rowan Cos., Inc. (a) 1,300 36
Santa Fe Snyder Corp. (a) 1,400 13
Sempra Energy 13,200 245
Equity Income Fund 41
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Smith International, Inc. (a) 300 23
Tidewater, Inc. 400 12
Tosco Corp. 2,100 67
Transocean Sedco Forex, Inc. 300 14
Ultramar Diamond Shamrock Corp. 12,800 317
Unocal Corp. 34,600 1,118
Weatherford International, Inc. (a) 1,200 49
----------
4,094
----------
PRODUCER DURABLES - 4.8%
AMETEK, Inc. 300 6
Boston Scientific Corp. (a) 2,000 53
Caterpillar, Inc. 10,100 398
Clayton Homes, Inc. 2,600 25
Cordant Technologies, Inc. 1,300 74
Crane Co. 1,200 32
Cummins Engine Co., Inc. 7,000 249
Deere & Co. 26,700 1,078
Donaldson Co., Inc. 500 12
Dover Corp. 9,200 467
Emerson Electric Co. 4,300 236
General Electric Co. 7,700 1,211
Grant Prideco, Inc. (a) 1,200 23
Honeywell International, Inc. 13,700 767
Ingersoll-Rand Co. 1,200 56
Johnson Controls, Inc. 2,300 146
Kennametal, Inc. 1,600 46
Litton Industries, Inc. (a) 1,000 43
MagneTek, Inc. (a) 1,100 9
Molex, Inc. 325 18
NACCO Industries, Inc. Class A 200 9
Northrop Grumman Corp. 4,400 312
Pall Corp. 800 18
Parker-Hannifin Corp. 8,000 372
Raytheon Co. Class B 1,100 24
Rockwell International Corp. 10,900 429
Sawtek, Inc. (a) 200 10
Stewart & Stevenson Services, Inc. 500 6
Tecumseh Products Co. Class A 8,900 413
Teradyne, Inc. (a) 800 88
Textron, Inc. 16,100 997
Thermo Instrument Systems, Inc. (a) 200 4
United Technologies Corp. 1,900 118
----------
7,749
----------
TECHNOLOGY - 7.1%
3Com Corp. (a) 1,900 75
Advanced Micro Devices, Inc. (a) 2,000 176
Altera Corp. (a) 200 20
America Online, Inc. (a) 100 6
Analog Devices, Inc. (a) 400 31
Apple Computer, Inc. (a) 2,400 298
Applied Micro Circuits Corp. (a) 80 10
Atmel Corp. (a) 1,000 49
Autodesk, Inc. 300 12
AVX Corp. 3,100 302
Cabletron Systems, Inc. (a) 1,300 30
Cisco Systems, Inc. (a) 300 21
Comdisco, Inc. 3,900 121
COMPAQ Computer Corp. 39,900 1,167
Computer Associates
International, Inc. 200 11
Computer Sciences Corp. (a) 800 65
Cypress Semiconductor Corp. (a) 400 21
Dell Computer Corp. (a) 2,200 110
DST Systems, Inc. (a) 3,600 267
Electronic Data Systems Corp. 19,562 1,345
General Motors Corp. Class H (a) 500 48
GTECH Holdings Corp. (a) 1,900 39
Hewlett-Packard Co. 8,600 1,161
Ikon Office Solutions, Inc. 1,400 8
IMS Health, Inc. 700 12
Integrated Device Technology, Inc. (a) 700 34
Intel Corp. 4,482 568
International Business
Machines Corp. 12,900 1,440
LSI Logic Corp. (a) 4,500 281
Lucent Technologies, Inc. 14,200 883
Maxim Integrated Products, Inc. (a) 600 39
Microchip Technology, Inc. (a) 300 19
Micron Technology, Inc. (a) 1,200 167
Motorola, Inc. 12,600 1,500
National Semiconductor Corp. (a) 3,100 188
NCR Corp. (a) 600 23
Nortel Networks Corp. 700 79
Oracle Systems Corp. (a) 500 40
PeopleSoft, Inc. (a) 500 7
Quantum Corp. - DLT &
Storage Systems 1,500 18
Safeguard Scientifics, Inc. (a) 1,600 67
SCI Systems, Inc. (a) 800 43
Seagate Technology (a) 2,900 147
Structural Dynamics Research
Corp. (a) 700 9
Sun Microsystems, Inc. (a) 200 18
SunGard Data Systems (a) 600 21
Sybase, Inc. (a) 4,200 85
Symantec Corp. (a) 100 6
Teledyne Technologies, Inc. (a) 300 5
Total Systems Services, Inc. 600 12
Vishay Intertechnology, Inc. (a) 3,600 302
----------
11,406
----------
42 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
UTILITIES - 16.1%
ADC Telecommunications, Inc. (a) 600 36
Allegheny Energy, Inc. 1,600 49
Alltel Corp. 3,700 247
Ameren Corp. 1,100 40
AT&T Corp. 87,392 4,080
Bell Atlantic Corp. 65,772 3,897
BellSouth Corp. 77,600 3,778
Cablevision Systems Corp.
Class A (a) 400 27
Centennial Cellular Corp. Class A (a) 400 8
Central & Southwest Corp. 1,700 37
CenturyTel, Inc. 1,800 44
Citizens Utilities Co. Class B (a) 2,900 47
Columbia Energy Group 700 44
Comcast Corp. Special Class A 500 20
CommScope, Inc. (a) 3,300 157
Consolidated Edison, Inc. 3,500 123
Cox Communications, Inc. Class A (a) 1,100 47
Dominion Resources, Inc. 4,800 216
DTE Energy Co. 700 23
Duke Energy Corp. 4,900 282
Edison International 13,200 252
Energy East Corp. 900 19
Entergy Corp. 1,200 31
FirstEnergy Corp. 11,700 298
Florida Progress Corp. 800 39
FPL Group, Inc. 3,300 149
GPU, Inc. 13,600 382
GTE Corp. 9,700 657
KeySpan Corp. 3,800 112
MCI WorldCom, Inc. (a) 24,850 1,129
MCN Energy Group, Inc. 500 12
New Century Energies, Inc. 1,000 33
Nextel Communications, Inc.
Class A (a) 100 11
Nextlink Communications, Inc.
Class A (a) 1,300 110
Northeast Utilities 800 17
OGE Energy Corp. 500 10
Peco Energy Co. 9,300 388
PG&E Corp. 20,000 519
Pinnacle West Capital Corp. 4,000 141
PPL Corp. 7,600 181
Public Service Enterprise Group, Inc. 35,900 1,288
Questar Corp. 1,000 19
Reliant Energy, Inc. 23,800 634
SBC Communications, Inc. 71,800 3,146
SDL, Inc. (a) 100 19
Southern Co. 4,300 107
Sprint Corp. (Fon Group) 20,328 1,250
Sprint Corp. (PCS Group) (a) 4,000 220
Telephone & Data Systems, Inc. 3,100 316
Texas Utilities Co. 23,400 788
U.S. West, Inc. 3,100 220
Unicom Corp. 2,000 80
Viacom, Inc. Class A 300 15
VoiceStream Wireless Corp. (a) 200 20
Western Resources, Inc. 900 13
----------
25,827
----------
TOTAL COMMON STOCKS
(cost $139,083) 153,077
----------
PRINCIPAL
AMOUNT
(000)
$
----------
SHORT-TERM INVESTMENTS - 4.6%
Frank Russell Investment Company Money
Market Fund, due on demand (b) 5,670 5,670
United States Treasury Bills (b)(c)(d)
5.465% due 6/29/00 1,000 991
5.440% due 6/29/00 750 743
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $7,403) 7,404
----------
TOTAL INVESTMENTS - 100.1%
(identified cost $146,486) 160,481
OTHER ASSETS AND LIABILITIES,
NET - (0.1%) (240)
----------
160,241
NET ASSETS - 100.0% ==========
(a) Nonincome-producing security
(b) At amoritized cost, which approximates market.
(c) Rate noted is yeild-to-maturity from date of acquisition.
(d) Held as collateral in connection with futures contracts purchased
by the fund.
Abbreviations:
ADR- American Depositary Receipt
See accompanying notes which are an integral part of the financial statements.
Equity Income Fund 43
<PAGE>
EQUITY INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
FUTURES CONTRACTS ----------- ---------------
S&P Barra Value Index
expiration date 06/00 16 $ 222
S&P 500 Index
expiration date 06/00 13 (195)
---------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 27
=========
See accompanying notes which are an integral part of the financial statements.
44 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $146,486).................... $ 160,481
Receivables:
Dividends and interest ............................................ 292
Investments sold .................................................. 194
Fund shares sold .................................................. 245
Prepaid expenses ................................................... 4
------------
Total assets..................................................... 161,216
LIABILITIES
Payables:
Investments purchased ................................. $ 642
Fund shares redeemed .................................. 179
Accrued fees to affiliates ............................ 111
Other accrued expenses ................................ 13
Daily variation margin on futures contracts ........... 30
----------
Total liabilities ............................................... 975
------------
NET ASSETS ......................................................... $ 160,241
============
NET ASSETS CONSIST OF:
Undistributed net investment income .............................. $ 137
Accumulated distributions in excess of net realized gain ......... (6,925)
Unrealized appreciation (depreciation) on:
Investments ..................................................... 13,995
Futures contracts ............................................... 27
Shares of beneficial interest .................................... 46
Additional paid-in capital ....................................... 152,961
------------
NET ASSETS........................................................ $ 160,241
============
NET ASSET VALUE, offering and redemption price per share:
Class C ($882,281 divided by 25,441 shares of $.01 par value
shares of beneficial interest outstanding)..................... $ 34.68
============
Class E ($943,644 divided by 27,115 shares of $.01 par value
shares of beneficial interest outstanding)..................... $ 34.80
============
Class S ($158,414,634 divided by 4,576,609 shares of $.01 par
value shares of beneficial interest outstanding)............... $ 34.61
============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity Income Fund 45
<PAGE>
EQUITY INCOME FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Dividends ................................................ $ 1,030 $ 4,243
Dividends from Money Market Fund ......................... 113 460
Interest ................................................. 1 107
----------------- -----------------
Total investment income ................................ 1,144 4,810
----------------- -----------------
EXPENSES
Advisory fees ............................................ 410 1,681
Administrative fees ...................................... 28 113
Custodian fees ........................................... 46 180
Distribution fees - Class C .............................. 2 4
Transfer agent fees ...................................... 97 377
Professional fees ........................................ 11 23
Registration fees ........................................ 15 76
Shareholder servicing fees - Class C ..................... 1 1
Shareholder servicing fees - Class E ..................... 1 3
Trustees' fees ........................................... 5 5
Miscellaneous ............................................ 8 35
----------------- -----------------
Total expenses ......................................... 624 2,498
----------------- -----------------
Net investment income ..................................... 520 2,312
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .............................................. (9,659) 16,273
Futures contracts ........................................ (255) 1,725
Foreign currency-related transactions .................... (6) 2
----------------- -----------------
(9,920) 18,000
----------------- -----------------
Net change in unrealized appreciation
(depreciation) on:
Investments .............................................. (1,218) (20,112)
Futures contracts ........................................ (224) (39)
Foreign currency-related transactions .................... 1 (1)
----------------- -----------------
(1,441) (20,152)
----------------- -----------------
Net realized and unrealized gain (loss) .................. (11,361) (2,152)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS...... $ (10,841) $ 160
================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
46 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ......................................... $ 520 $ 2,312 $ 3,335
Net realized gain (loss) ...................................... (9,920) 18,000 27,006
Net change in unrealized appreciation (depreciation) .......... (1,441) (20,152) (538)
----------------- ----------------- -----------------
Net increase (decrease) in net assets from operations ....... (10,841) 160 29,803
----------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income
Class C ..................................................... -- (2) --
Class E ..................................................... (4) (7) (7)
Class S ..................................................... (430) (2,290) (3,291)
From net realized gain
Class C ..................................................... (5) (68) --
Class E ..................................................... (6) (101) (56)
Class S ..................................................... (991) (20,115) (25,440)
----------------- ----------------- -----------------
Net decrease in net assets from distributions ............. (1,436) (22,583) (28,794)
----------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions . (16,521) (39,774) 22,937
----------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS ..................................................... (28,798) (62,197) 23,946
NET ASSETS
Beginning of period ........................................... 189,039 251,236 227,290
----------------- ----------------- -----------------
End of period (including undistributed net investment income of
$137, $51 and $37, respectively) ............................ $ 160,241 $ 189,039 $ 251,236
================= ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Equity Income Fund 47
<PAGE>
EQUITY INCOME FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
--------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .......... $ 37.02 $ 40.38
--------- ----------
INCOME FROM OPERATIONS
Net investment income (loss)(a) .............. (.01) .04
Net realized and unrealized gain (loss) ...... (2.12) .66
--------- ----------
Total income from operations ............... (2.13) .70
--------- ----------
DISTRIBUTIONS
From net investment income ................... -- (.17)
From net realized gain ....................... (.21) (3.89)
--------- ----------
Total distributions ........................ (.21) (4.06)
--------- ----------
NET ASSET VALUE, END OF PERIOD ................ $ 34.68 $ 37.02
========= ==========
TOTAL RETURN (%)(b) ........................... (5.71) 2.03
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ..... 882 995
Ratios to average net assets (%)(c):
Operating expenses ......................... 2.12 2.10
Net investment income (loss) ............... (.05) .10
Portfolio turnover rate (%) .................. 54.71 137.94
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares were used for this calculation.
(b) Not annualized.
(c) Annualized.
48 Equity Income Fund
<PAGE>
EQUITY INCOME FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
---------------------------------------------------
2000* 1999 1998 1997 1996**
---------- ------------ ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ..................... $ 37.20 $ 41.45 $ 41.43 $ 40.22 $ 41.86
---------- ------------ ---------- ---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) .............................. .08 .33 .37 .32 .10
Net realized and unrealized gain (loss) ................. (2.13) (.44) 4.49 12.20 2.39
---------- ------------ ---------- ---------- ----------
Total income from operations .......................... (2.05) (.11) 4.86 12.52 2.49
---------- ------------ ---------- ---------- ----------
DISTRIBUTIONS
From net investment income .............................. (.14) (.25) (.51) (.07) (.18)
From net realized gain .................................. (.21) (3.89) (4.33) (11.24) (3.95)
---------- ------------ ---------- ---------- ----------
Total distributions ................................... (.35) (4.14) (4.84) (11.31) (4.13)
---------- ------------ ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD ........................... $ 34.80 $ 37.20 $ 41.45 $ 41.43 $ 40.22
========== =========== ========== ========== ==========
TOTAL RETURN (%)(b) ..................................... (5.49) .04 12.41 32.68 6.23
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ............... 944 1,061 745 338 122
Ratios to average net assets (%)(c):
Operating expenses .................................... 1.37 1.35 1.42 1.74 1.77
Net investment income ................................. .70 .80 .90 .77 1.50
Portfolio turnover rate (%) ............................ 54.71 137.94 149.63 139.33 106.40
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period November 4, 1996 (commencement of sale) to December 31, 1996.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Equity Income Fund 49
<PAGE>
EQUITY INCOME FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ......... $ 36.92 $ 41.26 $ 41.08 $ 40.22 $ 38.43 $ 32.21
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ................... .11 .41 .55 .69 .82 .94
Net realized and unrealized gain (loss)...... (2.12) (.44) 4.49 12.11 7.03 10.08
---------- ---------- ---------- ---------- ---------- ----------
Total income from operations .............. (2.01) (.03) 5.04 12.80 7.85 11.02
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS
From net investment income .................. (.09) (.42) (.53) (.70) (.83) (.97)
From net realized gain ...................... (.21) (3.89) (4.33) (11.24) (5.23) (3.83)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ....................... (.30) (4.31) (4.86) (11.94) (6.06) (4.80)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD ............... $ 34.61 $ 36.92 $ 41.26 $ 41.08 $ 40.22 $ 38.43
========== ========== ========== ========== ========== ==========
TOTAL RETURN (%)(b) .......................... (5.40) .25 12.99 33.59 21.45 34.76
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)..... 158,415 186,983 250,491 226,952 195,132 180,116
Ratios to average net assets (%)(c):
Operating expense ......................... 1.12 1.11 1.01 1.04 1.07 1.06
Net investment income ..................... .95 1.03 1.30 1.51 2.03 2.51
Portfolio turnover rate (%) ................. 54.71 137.94 149.63 139.33 106.40 92.40
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
50 Equity Income Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
COMMON STOCKS - 96.3%
AUTO AND TRANSPORTATION - 2.3%
Boeing Co. 91,600 3,635
Burlington Northern, Inc. 81,200 1,959
C.H. Robinson Worldwide, Inc. 4,100 205
CNF Transportation, Inc. 1,700 47
Cooper Tire & Rubber Co. 6,400 86
CSX Corp. 21,900 459
Dana Corp. 31,400 954
Delphi Automotive Systems Corp. 84,527 1,617
Delta Air Lines, Inc. 59,700 3,149
Eaton Corp. 12,200 1,025
Ford Motor Co. 207,892 11,369
General Motors Corp. 33,800 3,165
Genuine Parts Co. 11,100 291
Goodyear Tire & Rubber Co. 30,600 845
Harley-Davidson, Inc. 6,500 259
Kansas City Southern Industries, Inc. 7,900 568
Lear Corp. (a) 43,500 1,302
Meritor Automotive, Inc. 45,900 689
Norfolk Southern Corp. 26,500 467
PACCAR, Inc. 15,100 717
Ryder System, Inc. 6,800 151
Trinity Industries, Inc. 4,300 96
UAL Corp. (a) 13,900 804
Union Pacific Corp. 37,666 1,587
USFreightways Corp. 8,800 405
Wisconsin Central Transportation
Corp. (a) 2,900 42
-----------
35,893
-----------
CONSUMER DISCRETIONARY - 10.4%
Abercrombie & Fitch Co. Class A (a) 95,100 1,046
Alberto Culver Co. Class B 9,500 224
Amazon.com, Inc. (a) 6,400 353
American Eagle Outfitters, Inc.
NPV (a) 24,400 415
Applebee's International, Inc. 7,300 266
AT&T Corp. - Liberty Media Group Class
A (a) 64,400 3,216
Banta Corp. 9,500 186
Best Buy Co. (a) 57,395 4,635
BJ's Wholesale Club, Inc. (a) 15,900 563
Brunswick Corp. 100,004 1,919
Buffets, Inc. (a) 1,500 15
Callaway Golf Co. 60,700 1,009
Catalina Marketing Corp. (a) 4,900 496
CBS Corp. (a) 27,400 1,610
CEC Entertainment, Inc. (a) 1,500 45
Cendant Corp. (a) 289,300 4,466
Circuit City Stores, Inc. 17,600 1,035
Clear Channel Communications,
Inc. (a) 32,200 2,318
Convergys Corp. NPV (a) 25,900 1,140
Costco Wholesale Corp. (a) 36,800 1,990
Darden Restaurants, Inc. 133,000 2,452
Delhaize America, Inc. 11,100 196
Disney (Walt) Co. 153,000 6,627
Eastman Kodak Co. 33,483 1,873
Energizer Holdings, Inc. (a) 47,199 805
Enesco Group, Inc. 3,300 15
Extended Stay America, Inc. (a) 11,100 99
Federated Department Stores, Inc. (a) 108,400 3,686
Fortune Brands, Inc. 32,820 821
Fox Entertainment Group, Inc.
Class A (a) 20,700 533
Gannett Co., Inc. 52,400 3,347
Gap, Inc. 123,700 4,546
Hasbro, Inc. 10,800 172
Hilton Hotels Corp. 74,400 632
Home Depot, Inc. (The) 263,221 14,757
Houghton Mifflin Co. 1,300 54
Infinity Broadcasting Corp.
Class A (a) 21,300 723
Interpublic Group Cos., Inc. 30,000 1,230
Jack in the Box, Inc. (a) 11,000 270
JC Penney & Co., Inc. 68,948 952
Jones Apparel Group, Inc. (a) 19,700 585
Jostens, Inc. 5,300 131
Kmart Corp. (a) 136,100 1,106
Knight-Ridder, Inc. 27,100 1,330
Kohl's Corp. (a) 20,200 970
La-Z-Boy Inc. 8,000 126
Lancaster Colony Corp. 17,000 445
Land's End, Inc. (a) 23,900 1,011
Leggett & Platt, Inc. 40,600 868
Liberty Digital, Inc. Class A (a) 13,900 440
Limited, Inc. (The) 20,600 931
Lowe's Cos., Inc. 44,349 2,195
Mandalay Resort Group (a) 12,900 243
Marriott International, Inc. Class A 15,700 502
Mattel, Inc. 75,400 924
May Department Stores Co. 66,300 1,823
MediaOne Group, Inc. (a) 89,300 6,753
Metro-Goldwyn-Mayer, Inc. (a) 25,800 774
Michaels Stores, Inc. (a) 6,400 252
Mirage Resorts, Inc. (a) 55,000 1,121
New York Times Co. Class A 23,400 964
Nordstrom, Inc. 18,900 526
Office Depot, Inc. (a) 21,700 229
Omnicom Group, Inc. 23,100 2,104
Pacific Sunwear of California (a) 3,600 123
52 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Payless ShoeSource, Inc. (a) 17,800 981
Pier 1 Imports, Inc. 29,000 330
Priceline.com, Inc. (a) 5,900 372
Reebok International, Ltd. (a) 10,800 184
Robert Half International, Inc. (a) 7,400 452
SABRE Group Holdings, Inc. (The),
Class A 2,500 87
Scholastic Corp. (a) 2,900 135
Sears Roebuck & Co. 189,300 6,933
Service Corp. International 84,400 433
Shaw Industries, Inc. 75,100 1,188
Starwood Hotels & Resorts Worldwide,
Inc. 50,900 1,447
Target Corp. 53,636 3,570
TeleTech Holdings, Inc. (a) 4,300 140
Tiffany & Co. 19,400 1,410
Time Warner, Inc. 128,800 11,584
TJX Cos., Inc. 59,400 1,140
TMP Worldwide, Inc. (a) 11,100 724
Toys "R" Us, Inc. (a) 177,624 2,709
Tribune Co. 58,470 2,273
Tricon Global Restaurants, Inc. (a) 86,700 2,959
Tupperware Corp. 28,200 532
UnitedGlobalCom, Inc. Class A (a) 1,400 74
Valassis Communications, Inc. (a) 14,100 480
Viacom, Inc. Class B (a) 64,757 3,521
Wal-Mart Stores, Inc. 371,216 20,556
Washington Post Co (The) Class B 115 56
Westwood One, Inc. (a) 10,900 386
Whirlpool Corp. 49,200 3,204
Young & Rubicam, Inc. 7,000 390
Zale Corp. (a) 14,600 602
-----------
166,065
-----------
CONSUMER STAPLES - 5.2%
Albertson's, Inc. 24,100 785
Anheuser-Busch Cos., Inc. 40,946 2,889
Bestfoods 36,400 1,829
Canandaigua Brands Co., Inc.
Class A (a) 4,900 247
Church and Dwight Co., Inc. 9,400 168
Clorox Co. (The) 24,400 897
Coca-Cola Co. (The) 72,900 3,431
Colgate-Palmolive Co. 32,900 1,879
ConAgra, Inc. 142,293 2,686
Dial Corp. 47,400 661
General Mills, Inc. 15,200 553
Gillette Co. (The) 79,600 2,945
Heinz (H.J.) Co. 32,400 1,102
Hershey Foods Corp. 12,100 549
Hormel Foods Corp. 94,400 1,440
IBP, Inc. 214,300 3,536
International Flavors &
Fragrances, Inc. 13,503 465
Interstate Bakeries Corp. 5,800 74
Kellogg Co. 13,700 335
Kimberly-Clark Corp. 58,343 3,388
Kroger Co. (The) (a) 128,400 2,383
Pepsi Bottling Group, Inc. (The) 35,200 759
PepsiCo, Inc. 226,300 8,302
Philip Morris Cos., Inc. 419,820 9,184
Procter & Gamble Co. 172,000 10,256
Quaker Oats Co. 57,800 3,768
Ralston-Purina Group 141,600 2,505
Safeway, Inc. (a) 65,628 2,896
Sara Lee Corp. 170,200 2,553
Seagram Co., Ltd. NPV 110,400 5,962
SuperValu, Inc. 5,200 107
SYSCO Corp. 57,900 2,178
Tyson Foods, Inc. Class A 38,200 398
Unilever NV 24,700 1,125
Universal Corp. 32,200 607
-----------
82,842
-----------
FINANCIAL SERVICES - 13.3%
Aetna, Inc. 38,000 2,199
Allstate Corp. 248,000 5,859
Ambac Financial Group, Inc. 13,100 629
American General Corp. 2,300 129
American International Group, Inc. 176,369 19,345
Ameritrade Holding Corp. Class A (a) 6,500 108
AmSouth Bancorp 103,175 1,502
AON Corp. 92,449 2,502
Associates First Capital Corp. Class A 102,660 2,278
Astoria Financial Corp. 22,200 611
AXA Financial, Inc. 27,700 904
Bank of America Corp. 439,058 21,514
Bank One Corp. 107,100 3,267
BB&T Corp. 20,700 551
Bear Stearns Cos., Inc. 25,885 1,110
Block (H&R) Co., Inc. 21,931 917
Capital One Financial Corp. 4,600 201
Charter One Financial, Inc. 23,630 480
Chase Manhattan Corp. 101,393 7,307
CIGNA Corp. 17,400 1,388
CIT Group, Inc. 69,200 1,172
Citigroup, Inc. 402,025 23,895
City National Corp. 4,100 151
CNA Financial Corp. (a) 9,800 301
Colonial BancGroup, Inc. 6,000 56
Comerica, Inc. 78,550 3,329
Compass Bancshares, Inc. 12,700 234
Quantitative Equity Fund 53
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Conseco, Inc. 77,400 421
Countrywide Credit Industries, Inc. 31,900 881
Dime Bancorp, Inc. 21,700 407
Donaldson, Lufkin & Jenrette, Inc. 13,500 563
Dow Jones & Co., Inc. 22,600 1,466
Edwards (A.G.), Inc. 3,600 135
Equifax, Inc. 15,000 367
Fannie Mae 58,500 3,528
Federal Home Loan Mortgage Corp. 156,512 7,190
Financial Security Assurance Holdings,
Ltd. 600 44
FINOVA Group, Inc. 13,100 168
First Tennessee National Corp. 15,600 296
First Union Corp. 141,700 4,517
Firstar Corp. 67,100 1,669
FirstMerit Corp. 5,400 88
FleetBoston Financial Corp. 223,822 7,932
Fremont General Corp. 10,000 58
Golden State Bancorp, Inc. (a) 12,000 185
Golden West Financial Corp. 30,800 1,051
Goldman Sachs Group, Inc. 50,500 4,709
Greenpoint Financial Corp. 22,900 427
Hartford Financial Services Group,
Inc. (The) 13,900 725
Heller Financial, Inc. Class A 6,100 119
Hibernia Corp. Class A 19,100 203
Household International Corp. 38,000 1,587
Huntington Bancshares, Inc. 3,800 69
Imperial Bancorp (a) 12,300 241
Investors Financial Services Corp. 200 16
John Hancock Financial Services,
Inc. (a) 61,600 1,124
KeyCorp 79,800 1,476
Knight/Trimark Group, Inc.
Class A (a) 7,500 282
Lehman Brothers Holdings, Inc. 24,300 1,994
Leucadia National Corp. 7,100 166
Lincoln National Corp. 26,800 933
Loews Corp. 11,200 617
M & T Bank Corp. 900 395
Marshall & Ilsley Corp. 11,900 553
MBIA, Inc. 20,000 989
MBNA Corp. 132,408 3,517
Mercantile Bankshares Corp. 8,300 236
Mercury General Corp. 5,000 137
Merrill Lynch & Co., Inc. 39,500 4,027
MetLife, Inc. New (a) 83,800 1,388
Metris Companies, Inc. 6,300 236
MGIC Investment Corp. 3,500 167
MONY Group, Inc. (The) 6,200 192
Morgan (J.P.) & Co., Inc. 23,283 2,989
Morgan Stanley Dean Witter & Co. 213,116 16,357
National City Corp. 28,820 490
National Commerce Bancorp 2,300 38
North Fork Bancorp., Inc. 39,050 632
Ocwen Financial Corp. (a) 4,000 29
Old Republic International Corp. 27,100 386
Pacific Century Financial Corp. 6,800 140
Paine Webber Group, Inc. 19,100 838
Paychex, Inc. 21,409 1,127
Peoples Heritage Financial Group 9,600 125
PMI Group, Inc. (The) 36,250 1,756
PNC Bank Corp. 111,705 4,873
Provident Financial Group, Inc. 3,400 99
Providian Financial Corp. 4,345 383
Radian Group, Inc. 4,100 209
Regions Financial Corp. 26,700 546
SAFECO Corp. 1,800 40
Schwab (Charles) Corp. 4,986 222
Silicon Valley Bancshares (a) 6,700 413
SouthTrust Corp. 97,200 2,321
Sovereign Bancorp, Inc. 67,900 465
St. Paul Cos., Inc. 21,320 760
State Street Corp. 2,600 252
Summit Bancorp 21,300 540
SunTrust Banks, Inc. 14,118 716
TCF Financial Corp. 8,400 196
TD Waterhouse Group, Inc. 42,400 851
Torchmark Corp. 24,700 619
Transatlantic Holdings, Inc. 1,000 83
U.S. Bancorp 83,500 1,696
Union Planters Corp. 15,000 425
UnionBanCal Corp. 85,350 2,363
UnumProvident Corp. 41,100 698
Waddell & Reed Financial, Inc.
Class A 12,700 338
Washington Federal, Inc. 4,700 81
Washington Mutual, Inc. 118,800 3,036
Wells Fargo Co. 104,500 4,291
-----------
210,853
-----------
HEALTH CARE - 9.6%
Abbott Laboratories 154,700 5,946
Allergan, Inc. 123,052 7,245
ALZA Corp. (a) 47,500 2,093
American Home Products Corp. 163,700 9,198
Amgen, Inc. (a) 33,900 1,898
Baxter International, Inc. 18,900 1,231
Becton, Dickinson & Co. 26,200 671
Biogen, Inc. (a) 13,570 797
Bristol-Myers Squibb Co. 345,300 18,107
Cardinal Health, Inc. 27,143 1,495
54 Quantitative Euity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Chiron Corp. (a) 19,779 895
Columbia/HCA Healthcare Corp. 77,090 2,192
Edwards Lifesciences Corp. (a) 3,780 57
Express Scripts, Inc. Class A (a) 13,200 470
First Health Group Corp. (a) 8,800 268
Forest Labs, Inc. (a) 11,900 1,000
Foundation Health Systems, Inc. (a) 10,800 109
Genzyme Corp. (a) 19,900 970
Guidant Corp. 5,500 316
HEALTHSOUTH Corp. (a) 3,700 30
Human Genome Sciences, Inc. (a) 3,600 275
Humana, Inc. (a) 20,100 155
Immunex Corp. (a) 35,076 1,379
IVAX Corp. (a) 70,800 1,938
Johnson & Johnson 203,100 16,756
Jones Pharma, Inc. 6,050 173
Lilly (Eli) & Co. 123,400 9,540
Mallinckrodt, Inc. 64,200 1,725
MedImmune, Inc. (a) 7,195 1,146
Medtronic, Inc. 69,900 3,630
Merck & Co., Inc. 223,340 15,522
PacifiCare Health Systems, Inc. (a) 49,700 2,553
PE Corp. 19,800 1,188
Pfizer, Inc. 165,600 6,976
Pharmacia Corp. (a) 251,891 12,579
Schering-Plough Corp. 143,400 5,781
St. Jude Medical, Inc. (a) 5,300 165
Techne Corp. (a) 4,900 349
Tenet Healthcare Corp. 85,700 2,185
Trigon Healthcare, Inc. (a) 2,200 80
UnitedHealth Group, Inc. (a) 23,954 1,598
Warner-Lambert Co. 92,500 10,528
Watson Pharmaceuticals, Inc. (a) 3,000 135
Wellpoint Health Networks, Inc. (a) 15,035 1,109
-----------
152,453
-----------
INTEGRATED OILS - 3.8%
Amerada Hess Corp. 13,900 884
Ashland, Inc. 14,600 498
Chevron Corp. 105,000 8,938
Coastal Corp. 6,900 346
Conoco, Inc. Class B NPV 57,719 1,436
Exxon Mobil Corp. NPV 463,380 35,999
Kerr-McGee Corp. 22,000 1,139
Phillips Petroleum Co. 15,000 712
Royal Dutch Petroleum Co. 104,000 5,967
Texaco, Inc. 58,800 2,911
USX-Marathon Group 93,267 2,174
-----------
61,004
-----------
MATERIALS AND PROCESSING - 4.4%
Air Products & Chemicals, Inc. 101,900 3,165
AK Steel Holding Corp. 20,400 226
Alcoa, Inc. 25,800 1,674
Allegheny Technologies, Inc. 17,900 433
Archer-Daniels-Midland Co. 114,283 1,136
B.F. Goodrich Co. 13,900 443
Boise Cascade Corp. 6,000 195
Bowater, Inc. 2,300 127
Centex Corp. 15,100 364
Champion International Corp. 3,900 256
Corning, Inc. 14,500 2,864
Dow Chemical Co. 86,167 9,737
Fort James Corp. 27,700 663
Georgia Gulf Corp. 14,600 351
Georgia-Pacific Group 53,200 1,955
Harland (John H.) Co. 6,500 100
Illinois Tool Works, Inc. 14,835 950
IMC Global, Inc. 19,000 293
International Paper Co. 38,941 1,431
Kaufman & Broad Home Corp. 16,700 321
Lafarge Corp. 7,700 194
Louisiana Pacific Corp. 31,600 423
Lubrizol Corp. 17,900 459
Masco Corp. 18,800 422
Minnesota Mining &
Manufacturing Co. 103,064 8,915
Nucor Corp. 34,700 1,492
Pentair, Inc. 19,600 750
Phelps Dodge Corp. 9,500 439
PPG Industries, Inc. 6,100 332
Praxair, Inc. 12,800 569
Precision Castparts Corp. 8,300 347
Pulte Corp. 14,100 303
Reynolds Metals Co. 10,300 685
Rohm & Haas Co. 62,001 2,209
Sherwin-Williams Co. 73,176 1,820
Sigma Aldrich Corp. 51,600 1,513
Smurfit-Stone Container Corp. (a) 43,100 655
Solutia, Inc. 37,000 504
Temple-Inland, Inc. 8,500 426
Textron, Inc. 8,500 526
Tyco International, Ltd. 288,996 13,276
Unifi, Inc. (a) 8,500 87
Union Carbide Corp. 4,600 271
Quantitative Equity Fund 55
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
USEC, Inc. 9,900 46
USG Corp. 98,500 4,112
USX-U.S. Steel Group 7,800 195
W.R. Grace & Co. (a) 14,372 187
Weyerhaeuser Co. 39,415 2,107
-----------
69,948
-----------
OTHER ENERGY - 1.3%
Apache Corp. 81,400 3,943
El Paso Energy Corp. 1,600 68
ENSCO International, Inc. 6,000 199
Global Marine, Inc. (a) 32,000 768
Input/Output, Inc. (a) 2,800 21
Nabors Industries, Inc. (a) 3,800 150
Noble Drilling Corp. (a) 58,600 2,340
Occidental Petroleum Corp. 87,600 1,878
Pioneer Natural Resources Co. (a) 3,813 39
R&B Falcon Corp. (a) 100 2
Sunoco, Inc. 11,900 361
Tidewater, Inc. 12,200 363
Tosco Corp. 85,200 2,732
Transocean Sedco Forex, Inc. 24,113 1,133
Ultramar Diamond Shamrock Corp. 123,400 3,054
Union Pacific Resources Group, Inc. 119,600 2,295
Valero Energy Corp. 19,900 577
-----------
19,923
-----------
PRODUCER DURABLES - 7.4%
Applied Materials, Inc. (a) 87,400 8,898
Beckman Coulter, Inc. 8,400 544
Boston Scientific Corp. (a) 52,500 1,391
Caterpillar, Inc. 38,300 1,510
Cognex Corp. (a) 4,300 240
Credence Systems Corp. (a) 2,000 285
Cummins Engine Co., Inc. 18,600 661
D.R. Horton, Inc. 25,000 323
Dover Corp. 62,400 3,171
Emerson Electric Co. 28,100 1,542
General Electric Co. 423,200 66,548
Honeywell International, Inc. 94,400 5,286
Hubbell, Inc. Class B 8,300 216
Ingersoll-Rand Co. 50,678 2,379
ITT Industries, Inc. 27,500 868
KLA Tencor Corporation (a) 300 22
Lexmark International Group, Inc.
Class A (a) 9,100 1,074
Lockheed Martin Corp. 66,100 1,644
Mettler-Toledo International, Inc. (a) 6,000 207
Milacron, Inc. 3,600 66
Miller (Herman), Inc. 3,000 82
Millipore Corp. 6,600 473
NACCO Industries, Inc. Class A 1,400 63
Northrop Grumman Corp. 67,000 4,749
Pall Corp. 14,839 331
Parker-Hannifin Corp. 6,100 284
Raytheon Co. Class A 23,100 530
Raytheon Co. Class B 36,400 808
Rockwell International Corp. 29,479 1,161
Solectron Corp. (a) 32,620 1,528
Tecumseh Products Co. Class A 4,000 186
Teradyne, Inc. (a) 75,800 8,338
United Technologies Corp. 29,600 1,841
Waste Management, Inc. 37,500 596
-----------
117,845
-----------
TECHNOLOGY - 29.2%
3Com Corp. (a) 47,000 1,851
Adaptec, Inc. New (a) 16,366 442
Adobe Systems, Inc. 28,600 3,459
Adtran, Inc. (a) 2,000 135
Advanced Micro Devices, Inc. (a) 6,800 597
Altera Corp. (a) 26,891 2,748
America Online, Inc. (a) 226,864 13,569
Analog Devices, Inc. (a) 37,300 2,865
Anixter International, Inc. (a) 2,600 88
Apple Computer, Inc. (a) 15,969 1,981
Applied Micro Circuits Corp. (a) 12,100 1,559
At Home Corp. Series A (a) 12,600 234
Autodesk, Inc. 100 4
Automatic Data Processing, Inc. 7,500 404
AVX Corp. 39,600 3,859
BEA Systems, Inc. (a) 30,000 1,442
Broadcom Corp. Class A (a) 6,600 1,137
Brocade Communications Systems,
Inc. (a) 3,000 371
Cisco Systems, Inc. (a) 1,018,124 70,632
Citrix Systems, Inc. (a) 19,300 1,179
CMGI, Inc. (a) 11,500 820
CNET Networks, Inc. (a) 1,600 55
COMPAQ Computer Corp. 101,800 2,978
Computer Associates
International, Inc. 139,100 7,764
Computer Sciences Corp. (a) 1,200 98
Comverse Technology, Inc. (a) 11,900 1,061
Conexant Systems, Inc. (a) 15,100 904
Cooper Industries, Inc. 18,600 638
Cypress Semiconductor Corp. (a) 59,300 3,080
Dell Computer Corp. (a) 262,000 13,116
DoubleClick, Inc. (a) 10,400 788
DST Systems, Inc. (a) 13,800 1,024
E*TRADE Group, Inc. (a) 25,100 538
E-Tek Dynamics, Inc. (a) 1,400 287
56 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
eBay, Inc. (a) 1,100 175
Electronic Data Systems Corp. 53,151 3,654
EMC Corp. (a) 154,688 21,492
Exodus Communications, Inc. (a) 20,800 1,837
Galileo International, Inc. 120,900 2,796
General Dynamics Corp. 22,593 1,322
GTECH Holdings Corp. (a) 16,500 342
Hewlett-Packard Co. 26,400 3,564
i2 Technologies, Inc. (a) 3,900 504
Ikon Office Solutions, Inc. 72,000 423
InfoSpace.com, Inc. (a) 3,800 273
Inktomi Corp. (a) 3,600 554
Integrated Device Technology, Inc. (a) 15,600 749
Intel Corp. 435,000 55,163
International Business
Machines Corp. 186,803 20,852
International Game Technology 23,293 568
JDS Uniphase Corp. (a) 32,000 3,318
Kemet Corp. (a) 5,300 395
Lattice Semiconductor Corp. (a) 4,700 313
Linear Technology Corp. 30,500 1,742
LSI Logic Corp. (a) 33,900 2,119
Lucent Technologies, Inc. 211,677 13,164
Lycos, Inc. (a) 12,500 581
Macromedia, Inc. (a) 1,700 147
MarchFirst, Inc. (a) 3,460 73
Maxim Integrated Products, Inc. (a) 45,900 2,972
Mercury Interactive Corp. (a) 3,400 306
Microchip Technology, Inc. (a) 38,400 2,381
Microsoft Corp. (a) 471,251 32,870
Motorola, Inc. 91,515 10,896
National Semiconductor Corp. (a) 91,903 5,583
NCR Corp. (a) 4,983 192
Network Appliance, Inc. (a) 28,700 2,122
Network Associates, Inc. (a) 1,300 33
Network Solutions, Inc. (a) 3,800 562
Nortel Networks Corp. 133,980 15,173
NorthPoint Communications Group,
Inc. (a) 15,800 253
Oracle Systems Corp. (a) 333,960 26,675
Palm, Inc. New (a) 589 16
Parametric Technology Corp. (a) 29,600 241
PeopleSoft, Inc. (a) 5,500 77
PMC - Sierra, Inc. (a) 23,000 4,410
QUALCOMM, Inc. (a) 78,288 8,489
Quantum Corp. - DLT & Storage
Systems 16,200 190
Rational Software Corp. (a) 800 68
RealNetworks, Inc. (a) 7,800 371
Safeguard Scientifics, Inc. (a) 3,900 163
Sanmina Corp. (a) 400 24
SCI Systems, Inc. (a) 7,000 373
Seagate Technology (a) 57,668 2,930
Siebel Systems, Inc. (a) 28,300 3,477
Silicon Graphics, Inc. (a) 38,400 276
Sun Microsystems, Inc. (a) 290,500 26,708
SunGard Data Systems (a) 128,800 4,452
Sybase, Inc. (a) 25,300 511
Symantec Corp. (a) 12,300 766
Tandy Corp. 26,000 1,482
Tech Data Corp. (a) 3,500 146
Tellabs, Inc. (a) 1,400 77
Texas Instruments, Inc. 117,300 19,105
TIBCO Software, Inc. (a) 1,300 116
Unisys Corp. (a) 15,843 367
VeriSign, Inc. (a) 4,100 570
Veritas Software Corp. (a) 34,952 3,749
Vignette Corp. (a) 4,100 197
Vishay Intertechnology, Inc. (a) 28,225 2,367
Vitesse Semiconductor Corp. (a) 3,500 238
Xilinx, Inc. (a) 20,880 1,529
Yahoo!, Inc. (a) 27,100 3,528
-----------
464,858
-----------
UTILITIES - 9.4%
ADC Telecommunications, Inc. (a) 13,900 844
Allegiance Telecom, Inc. (a) 3,450 243
Alltel Corp. 8,300 553
AT&T Corp. 172,116 8,036
Bell Atlantic Corp. 303,771 17,998
BellSouth Corp. 361,958 17,623
BroadWing, Inc. (a) 1,900 54
Calpine Corp. (a) 11,600 1,061
Carolina Power & Light Co. 37,300 1,364
Central & Southwest Corp. 61,400 1,332
Cinergy Corp. 22,400 599
CMS Energy Corp. 25,600 486
Columbia Energy Group 10,700 671
Comcast Corp. Special Class A 120,246 4,817
Consolidated Edison, Inc. 29,500 1,038
Copper Mountain Networks, Inc. (a) 1,200 100
Cox Communications, Inc. Class A (a) 4,472 191
Dominion Resources, Inc. NPV 54,400 2,448
DTE Energy Co. 101,800 3,321
Duke Energy Corp. 50,700 2,915
Dycom Industries, Inc. (a) 3,500 182
Dynegy, Inc. Class A 7,700 504
Edison International 83,300 1,588
Energy East Corp. 11,000 230
Entergy Corp. 27,800 707
FirstEnergy Corp. 50,300 1,280
FPL Group, Inc. 17,600 795
57 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Global Crossing, Ltd. (a) 99,800 3,137
GPU, Inc. 43,200 1,212
GTE Corp. 114,000 7,724
KeySpan 42,500 1,248
Level 3 Communications, Inc. (a) 14,900 1,324
MasTec, Inc. (a) 2,600 225
MCI WorldCom, Inc. (a) 401,040 18,222
Nextel Communications, Inc.
Class A (a) 32,815 3,591
Nextlink Communications, Inc.
Class A (a) 7,100 598
NiSource, Inc. NPV 14,300 265
Northern States Power Co. 14,000 305
OGE Energy Corp. 7,200 143
PG&E Corp. 102,100 2,648
Pinnacle West Capital Corp. 11,900 418
Powertel, Inc. (a) 2,900 193
PPL Corp. 34,300 819
Public Service Co. of New Mexico 13,300 239
Public Service Enterprise Group, Inc. 86,300 3,096
Quanta Services, Inc. (a) 7,050 327
Reliant Energy, Inc. NPV 91,600 2,439
SBC Communications, Inc. 383,841 16,817
SDL, Inc. (a) 4,200 819
Southern Co. 79,700 1,988
Sprint Corp. (Fon Group) 26,400 1,624
Sprint Corp. (PCS Group) (a) 44,900 2,470
Texas Utilities Co. 112,300 3,783
U.S. West, Inc. 19,800 1,410
Unicom Corp. 5,600 223
UtiliCorp United, Inc. 14,400 277
Williams Cos. (The) 13,300 496
Wisconsin Energy Corp. 16,400 350
-----------
149,410
-----------
TOTAL COMMON STOCKS
(cost $1,177,430) 1,531,094
-----------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
-------- --------
SHORT-TERM INVESTMENTS - 3.6%
Frank Russell Investment Company Money
Market Fund, due on
demand (b) 51,895 51,895
United States Treasury Bills (c)(d)
5.390% due 6/29/00 600 594
5.465% due 6/29/00 2,500 2,477
5.470% due 6/29/00 2,350 2,328
5.530% due 6/29/00 347
350 -----------
TOTAL SHORT-TERM INVESTMENTS
(cost $57,637) 57,641
-----------
TOTAL INVESTMENTS - 99.9%
(identified cost $1,235,067) 1,588,735
OTHER ASSETS AND LIABILITIES,
NET - 0.1% 1,511
-----------
1,590,246
NET ASSETS - 100.0% ===========
(a) Nonincome-producing security.
(b) At amoritized cost, which approximates market.
(c) Rate noted is yield-to-maturity from date of acquisition.
(d) Held as collateral in connection with futures contracts purchased by
the Fund.
Unrealized
Number Appreciation
of (Depreciation)
Futures Contracts Contracts (000)
--------------------------------------
S&P 500 Index
expiration date 06/00 128 $ 1,519
S&P 400 Midcap Index
expiration date 06/00 44 10
------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 1,529
============
See accompanying notes which are an integral part of the financial statements.
58 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts)
April 30, 2000 (Unaudited)
ASSETS
Investments at market (identified cost $1,235,067) ........... $1,588,735
Cash .......................................................... 304
Receivables:
Dividends and interest ....................................... 1,538
Investments sold ............................................. 15,023
Fund shares sold ............................................. 2,592
From Advisor ................................................. 25
Prepaid expenses .............................................. 17
----------
Total assets ............................................... 1,608,234
LIABILITIES
Payables:
Investments purchased ........................... $ 15,224
Fund shares redeemed ............................ 1,269
Accrued fees to affiliates ...................... 1,226
Other accrued expenses .......................... 155
Daily variation margin on futures contracts ..... 114
----------
Total liabilities .......................................... 17,988
----------
NET ASSETS .................................................... $1,590,246
==========
NET ASSETS CONSIST OF:
Undistributed net investment income ........................... $ 318
Accumulated net realized gain (loss) ......................... 119,059
Unrealized appreciation (depreciation) on:
Investments .................................................. 353,668
Futures contracts ............................................ 1,529
Shares of beneficial interest ................................. 357
Additional paid-in capital .................................... 1,115,315
----------
NET ASSETS .................................................... $1,590,246
==========
NET ASSET VALUE, offering and redemption price per share:
Class C ($16,360,534 divided by 370,051 shares of $.01 par
value shares of beneficial interest outstanding) ............ $ 44.21
==========
Class E ($9,109,317 divided by 204,578 shares of $.01 par
value shares of beneficial interest outstanding) ............. $ 44.53
==========
Class S ($1,564,776,458 divided by 35,115,247 shares of $.01
par value shares of beneficial interest outstanding) ......... $ 44.56
==========
See accompanying notes which are an integral part of the financial statements.
Quantitative Equity Fund 59
<PAGE>
Quantitative Equity Fund
Statement of Operations
Amounts in thousands
Four Months
Ended
April 30, 2000 Year Ended
(Unaudited) December 31, 1999
-------------- -----------------
INVESTMENT INCOME
Dividends .................................... $ 5,875 $ 18,946
Dividends from Money Market Fund ............. 1,188 1,650
Interest ..................................... 43 243
-------------- -----------------
Total investment income .................... 7,106 20,839
-------------- -----------------
EXPENSES
Advisory fees ................................ 3,708 10,414
Administrative fees .......................... 255 715
Custodian fees ............................... 187 580
Distribution fees - Class C .................. 37 44
Transfer agent fees .......................... 424 1,248
Professional fees ............................ 24 53
Registration fees ............................ 78 177
Shareholder servicing fees - Class C ......... 12 15
Shareholder servicing fees - Class E ......... 7 20
Trustees' fees ............................... 9 10
Miscellaneous ................................ 28 114
-------------- -----------------
Total expenses ............................. 4,769 13,390
-------------- -----------------
Net investment income ......................... 2,337 7,449
-------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .................................. 51,157 249,787
Futures contracts ............................ (193) 5,707
-------------- -----------------
50,964 255,494
-------------- -----------------
Net change in unrealized appreciation
(depreciation) on:
Investments .................................. (36,138) 17,217
Futures contracts ............................ (885) 533
-------------- -----------------
(37,023) 17,750
-------------- -----------------
Net realized and unrealized gain (loss) ...... 13,941 273,244
-------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS .................................... $ 16,278 $ 280,693
============== =================
See accompanying notes which are an integral part of the financial statements.
60 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
---------------- ----------------- ------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income .................... $ 2,337 $ 7,449 $ 7,998
Net realized gain (loss) ................ 50,964 255,494 102,532
Net change in unrealized
appreciation (depreciation) ........... (37,023) 17,750 149,884
----------- ----------- -----------
Net increase (decrease) in net
assets from operations ............... 16,278 280,693 260,414
----------- ----------- -----------
DISTRIBUTIONS
From net investment income
Class C ................................ -- (5) --
Class E ................................ (10) (19) (13)
Class S ................................ (2,009) (7,550) (7,962)
From net realized gain
Class C ................................ (307) (1,371) --
Class E ................................ (170) (927) (384)
Class S ................................ (31,384) (179,302) (81,901)
----------- ----------- -----------
Net decrease in net assets
from distributions ................. (33,880) (189,174) (90,260)
----------- ----------- -----------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions ......... 41,227 151,572 154,152
----------- ----------- -----------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS ................................ 23,625 243,091 324,306
NET ASSETS
Beginning of period ...................... 1,566,621 1,323,530 999,224
----------- ----------- -----------
End of period (including undistributed net
investment income of
$318 at April 30, 2000 and $3 at
December 31, 1998) .................. $ 1,590,246 $ 1,566,621 $ 1,323,530
=========== =========== ===========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Quantitative Equity Fund 61
<PAGE>
QUANTITATIVE EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 44.94 $ 43.02
---------- ----------
INCOME FROM OPERATIONS
Net investment income (loss)(a) .................. (.08) (.20)
Net realized and unrealized gain (loss) .......... .26 8.00
---------- ----------
Total income from operations .................... .18 7.80
---------- ----------
DISTRIBUTIONS
From net investment income ........................ -- (.04)
From net realized gain ............................ (.91) (5.84)
---------- ----------
Total distributions ............................. (.91) (5.88)
---------- ----------
NET ASSET VALUE, END OF PERIOD ..................... $ 44.21 $ 44.94
========== ==========
TOTAL RETURN (%)(b) ............................... .59 18.89
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ......... 16,361 13,613
Ratios to average net assets (%)(c):
Operating expenses .............................. 1.92 1.93
Net investment income (loss) ................... (.53) (.47)
Portfolio turnover rate (%) ...................... 39.60 89.52
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
62 Quantitative Equity Fund
<PAGE>
QUANTITATIVE EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-----------------------------------------------
2000* 1999 1998 1997 1996**
--------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............. $ 45.19 $ 42.50 $ 36.80 $ 33.05 $ 33.81
--------- --------- --------- --------- -------
INCOME FROM OPERATIONS
Net investment income (a) ...................... .03 .13 .12 .14 .05
Net realized and
unrealized gain (loss) ....................... .27 8.50 8.54 9.95 1.87
--------- --------- --------- --------- -------
Total income from operations .................. .30 8.63 8.66 10.09 1.92
--------- --------- --------- --------- -------
DISTRIBUTIONS
From net investment income ...................... (.05) (.10) (.16) (.07) (.08)
From net realized gain .......................... (.91) (5.84) (2.80) (6.27) (2.60)
--------- --------- --------- --------- -------
Total distributions ........................... (.96) (5.94) (2.96) (6.34) (2.68)
--------- --------- --------- --------- -------
NET ASSET VALUE, END OF PERIOD ................... $ 44.53 $ 45.19 $ 42.50 $ 36.80 $ 33.05
========= ========= ========= ========= =======
TOTAL RETURN (%)(b) ............................. .84 21.11 24.34 31.70 5.91
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ....... 9,109 7,987 7,479 2,344 322
Ratios to average net assets (%)(c):
Operating expenses ............................ 1.17 1.18 1.31 1.59 1.65
Net investment income ......................... .22 .28 .30 .33 .81
Portfolio turnover rate (%) .................... 39.60 89.52 77.23 87.67 74.33
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period November 4, 1996 (commencement of sale) to December 31,
1996.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Quantitative Equity Fund 63
<PAGE>
QUANTITATIVE EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------
2000* 1999 1998 1997 1996 1995
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ................. $ 45.19 $ 42.53 $ 36.78 $ 33.05 $ 30.76 $ 24.84
--------- --------- --------- --------- --------- -------
INCOME FROM OPERATIONS Net investment income (a) ..... .07 .24 .27 .38 .51 .50
Net realized and unrealized gain (loss) ............ .27 8.50 8.55 10.00 6.24 8.72
--------- --------- --------- --------- --------- -------
Total income from operations ...................... .34 8.74 8.82 10.38 6.75 9.22
--------- --------- --------- --------- --------- -------
DISTRIBUTIONS
From net investment income .......................... (.06) (.24) (.27) (.38) (.51) (.51)
From net realized gain .............................. (.91) (5.84) (2.80) (6.27) (3.95) (2.79)
--------- --------- --------- --------- --------- -------
Total distributions ............................... (.97) (6.08) (3.07) (6.65) (4.46) (3.30)
--------- --------- --------- --------- --------- -------
NET ASSET VALUE, END OF PERIOD ....................... $ 44.56 $ 45.19 $ 42.53 $ 36.78 $ 33.05 $ 30.76
========= ========= ========= ========= ========= =======
TOTAL RETURN (%)(b) ................................. .94 21.37 24.82 32.70 23.08 37.69
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........... 1,564,776 1,545,021 1,316,051 996,880 663,925 488,948
Ratios to average net assets (%)(c):
Operating expenses ................................ .92 .93 .91 .91 .93 .93
Net investment income ............................. .47 .53 .69 1.04 1.59 1.71
Portfolio turnover rate (%) ........................ 39.60 89.52 77.23 87.67 74.33 78.83
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
64 Quantitative Equity Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- --------
COMMON STOCKS - 91.2%
AUSTRALIA - 2.0%
Amcor, Ltd. 433,365 1,283
AMP, Ltd. 35,400 310
Australia & New Zealand Bank Group, Ltd 286,937 1,984
Australian Gas & Light Co. 4,000 21
Brambles Industries, Ltd. 1,900 53
Broken Hill Proprietary Co. 40,418 435
Cable & Wireless Optus, Ltd. (a) 1,026,400 3,315
Coles Myer, Ltd. 5,192 19
Colonial, Ltd. 6,928 36
CSR, Ltd. 950,400 2,081
Davnet, Ltd. 753,000 1,077
F.H. Faulding & Co., Ltd. 3,000 12
Fairfax (John) Holdings, Ltd. 387,900 1,121
Foster's Brewing Group, Ltd. 1,232,400 3,114
Goodman Fielder Wattie 790,778 587
Harvey Norman Holdings, Ltd. 19,300 40
Leighton Holdings, Ltd. Class A 4,300 11
Lend Lease Corp. 20,600 223
Macquarie Bank, Ltd. 1,400 19
National Australia Bank, Ltd. 265,900 3,643
National Foods, Ltd. 9,100 14
News Corp., Ltd. 24,197 307
Oil Search, Ltd. (Australia Regd) (a) 8,900 8
Orica, Ltd. 166,000 656
Pacific Dunlop, Ltd. 501,857 422
Paperlinx, Ltd. (a) 144,455 260
Rio Tinto Ltd. 2,200 33
Southcorp Holdings, Ltd. 84,900 265
Tabcorp. Holdings, Ltd. 4,000 21
Telstra Corp., Ltd. Installment Receipts 42,840 110
Telstra Corp., Ltd. 114,300 490
Wesfarmers, Ltd. 3,700 26
Westfield Holdings, Ltd. 5,700 31
Westfield Trust 13,017 24
Westfield Trust New (a) 331 1
Westpac Banking Corp. 47,500 303
WMC, Ltd. 37,800 157
Woodside Petroleum, Ltd. 3,900 24
Woolworth's, Ltd. 9,992 35
---------
22,571
---------
AUSTRIA - 0.2%
Bank Austria AG 41,321 1,833
OMV AG 1,500 123
Voest-Alpine Stahl AG 11,000 314
Wienerberger Baustoffindustrie AG 10,400 223
---------
2,493
---------
BELGIUM - 0.2%
Dexia 8,886 1,189
Electrabel 5,400 1,305
Real Software 1,253 85
Ubizen (a) 600 84
---------
2,663
---------
CANADA - 4.4%
Abitibi-Consolidated, Inc. 5,820 66
Air Canada, Inc. (a) 3,981 42
Air Canada Inc. Class A (a) 5,640 52
Alberta Energy Co., Ltd. 62,470 1,976
Alcan Aluminum, Ltd. 1,600 52
Anderson Exploration, Ltd. (a) 1,400 22
ATI Technologies, Inc. (a) 3,750 73
Ballard Power Systems, Inc. (a) 21,100 1,680
Bank of Montreal 73,390 2,664
Bank of Nova Scotia 4,939 113
Barrick Gold Corp. 12,850 216
BCE, Inc. 53,112 6,151
Bombardier, Inc. Class B 84,356 2,267
C-MAC Industries, Inc. (a) 660 34
Canada Life Financial Corp. (a) 4,000 72
Canadian Imperial Bank of Commerce 19,395 508
Canadian National Railway Co. 129,280 3,610
Canadian Natural Resources, Ltd. (a) 3,246 87
Canadian Occidental Petroleum, Ltd. 1,420 33
Canadian Pacific, Ltd. 12,040 280
Celestica, Inc. 590 32
Celestica, Inc. (a) 2,670 144
Dofasco, Inc. 28,711 516
Domtar, Inc. 5,460 62
Enbridge, Inc. 4,480 97
Falconbridge, Ltd. New (a) 3,670 54
Finning International, Inc. 17,000 138
Franco-Nevada Mining Corp., Ltd. 1,245 14
Hudson's Bay Co. 215,500 2,561
Imperial Oil, Ltd. 11,667 273
Inco, Ltd. (a) 7,410 116
Loblaw Cos., Ltd. 1,330 36
Magna International, Inc. Class A 6,050 282
Manulife Financial Corp. 7,550 119
Mitel Corp. (a) 166,570 4,173
National Bank of Canada 46,040 647
Newbridge Networks Corp. (a) 2,140 77
Newbridge Networks Corp. 51,500 1,844
Noranda, Inc. 10,780 102
Nortel Networks Corp. 46,150 5,220
NOVA Chemicals Corp. 7,120 161
66 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS (CONTINUED)
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
Petro-Canada 89,030 1,500
Placer Dome, Inc. 4,721 38
Potash Corp. of Saskatchewan, Inc. 1,880 102
Quebecor World Inc. (a) 9,300 211
Rogers Communications, Inc. Class B (a) 32,250 840
Royal Bank of Canada 14,550 687
Seagram Co., Ltd. 40,126 2,112
Shaw Communications, Inc. Class B 2,260 53
Shell Canada, Ltd. Class A 9,000 179
Suncor, Inc. 5,593 239
Talisman Energy, Inc. (a) 120,890 3,604
TD Waterhouse Group, Inc. (a) 9,100 182
Teleglobe, Inc. 1,890 47
Tembec, Inc. Class A (a) 56,000 643
Thomson Corp. (The) 9,500 314
Toronto Dominion Bank (The) 11,998 277
Torstar Corp. Class B 31,200 355
TransAlta Corp. 9,000 86
TransCanada Pipelines, Ltd. 9,200 64
Westcoast Energy, Inc. 114,109 1,925
---------
50,124
---------
DENMARK - 0.4%
ISS A/S (a) 17,211 1,088
Jyske Bank A/S (Regd) 54,000 1,055
Novo Nordisk A/S Series B 19,580 2,629
Sydbank A/S 2,785 88
---------
4,860
---------
FINLAND - 1.7%
Helsinki Telephone Corp. Series E 22,300 1,762
Kesko Oyj 93,146 1,016
Metsa-Serla Oyj Series B 13,000 110
Nokia Corp. - ADR 8,800 501
Nokia Oyj 211,652 12,141
Pohjola Group Insurance Corp. Series B 5,600 278
Sampo Insurance Co., Ltd. Series A 18,577 703
Sonera Group Oyj 27,000 1,482
Stora Enso OYJ Series R 32,900 339
Tietoenator Oyj 2,795 135
UPM-Kymmene Oyj 11,418 295
Valmet - Rauma Oyj 22,729 300
---------
19,062
---------
FRANCE - 9.7%
Accor SA (a) 38,100 1,415
Alcatel Alsthom 21,338 4,947
Alstom 175,552 4,374
Assurances Generales de France 30,818 1,531
Aventis SA (a) 62,806 3,466
AXA 3,965 588
Banque Nationale Paris 45,377 3,667
Bongrain SA 2,244 639
Bouygues SA 1,303 832
Canal Plus (a) 5,360 1,033
Carrefour SA 23,786 1,548
Castorama Dubois 10,888 2,376
Chargeurs International SA 2,550 137
Christian Dior SA 3,755 893
Cie de St. Gobain 16,300 2,224
CNP Assurances 3,700 108
Coface (a) 1,279 117
Coflexip SA 1,149 112
Credit Lyonnais 46,000 1,792
Dassault Systemes SA 2,317 178
Eridania Beghin-Say SA 1,605 133
Fimatex (a) 9,021 186
France Telecom SA 13,852 2,143
Genset (a) 1,997 150
Groupe Danone 1,912 418
Havas Advertising SA 1,607 802
L'Air Liquide 12,525 1,631
Lafarge SA 10,428 864
Lagardere S.C.A 3,184 216
Legris Industries SA 3,900 147
Louis Vuitton Moet-Hennessy 2,297 964
Michelin (Cie Gen) Class B 48,010 1,593
Pernod-Ricard 5,000 226
Peugeot SA 3,905 808
Pinault-Printemps-Redoute SA 1,011 204
Renault (Regie Nationale) 4,892 222
Rhodia SA 187,681 3,481
Rhone-Poulenc SA Class A - ADR 170,991 9,405
Sanofi-Synthelabo SA (a) 26,617 993
Schneider Electric SA 47,048 3,080
Scor SA 9,000 392
Simco (Regd) 3,300 213
Societe Generale 22,068 4,570
Societe Television Francaise 1 3,600 2,464
Suez Lyonnaise des Eaux SA 37,004 5,803
Sylea 2,400 92
Thomson-CSF 31,081 1,105
Total Co. SA Class B 130,804 19,847
Total Fina SA - ADR 40,738 3,081
International Securities Fund 67
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS (CONTINUED)
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- --------
Usinor Sacilor 99,009 1,300
Vallourec 360 12
Vivendi 105,631 10,447
---------
108,969
---------
GERMANY - 8.0%
1&1 Aktiengesellschaft & Co. (a) 2,216 576
Allianz AG 6,065 2,334
BASF AG 51,143 2,236
Bayer AG 151,674 6,319
Bayerische Hypo Vereinsbank AG 76,600 4,666
Bayerische Motoren Werke AG 57,699 1,553
Bilfinger & Berger BAU AG 3,900 55
Brokat Infosystems AG (a) 1,220 149
Commerzbank AG 26,300 995
Consors Discount Broker AG (a) 22,375 2,502
Continental AG 83,800 1,534
DaimlerChrysler AG 5,606 327
Deutsche Bank AG (a) 47,037 3,160
Deutsche Lufthansa AG 80,214 1,666
Deutsche Pfandbrief & Hypothekenbank AG 7,000 703
Deutsche Telekom AG (a) 63,399 4,115
Dresdner Bank AG (a) 55,898 2,303
EM.TV & Merchandising AG 20,090 1,589
Entrium Direct Bankers AG (a) 4,400 168
Epcos AG (a) 19,666 2,771
Gerresheimer Glas AG 10,500 123
Hannover Rueckversicherungs AG 7,573 478
IKB Deutsche Industriebank AG 16,750 253
Infineon Technologies AG (a) 36,560 2,518
Infor Business Solutions AG (a) 6,291 206
Intershop Communications AG (a) 314 139
Jenoptik AG 230,200 6,550
Karstadt AG (a) 57,000 1,736
Loewe AG (a) 1,100 26
Mannheimer Aktiengesellschaft (a) 4,000 224
Marschollek, Lautenschlaeger
and Partner AG 100 35
Merck KGAA 56,456 1,622
Metallgesellschaft AG 47,934 742
Metro AG 4,444 173
Muenchener Rueckversicherungs-Gesellschaft AG 9,634 2,825
Phoenix AG 10,000 117
PrimaCom AG (a) 2,468 192
PSI AG (a) 16,800 577
RWE AG 78,150 2,534
SAP AG 627 294
Schering AG 7,524 1,064
SGL Carbon AG (a) 35,877 2,772
Siemens AG 76,856 11,389
Software AG (a) 7,432 858
Stinnes AG (a) 9,301 199
Systematics AG (a) 36,600 2,562
T-Online International AG (a) 2,400 90
Thyssen Krupp AG (a) 7,397 155
Veba AG 151,717 7,614
Viag AG (a) 31,643 617
Volkswagen AG 51,157 1,930
---------
90,335
---------
GREECE - 0.2%
Hellenic Telecommunication Organization SA - ADR 172,988 2,022
---------
HONG KONG - 1.3%
Asia Satellite Telecommunications Holdings, Ltd. 8,000 25
Bank of East Asia, Ltd. 82,800 179
Cathay Pacific Airways 14,000 25
CDL Hotels International 629,000 182
Cheung Kong Holdings, Ltd. 331,000 3,952
China Telecom (Hong Kong), Ltd. (a) 30,000 215
CLP Holdings, Ltd. 54,400 244
Dao Heng Bank Group, Ltd. 5,000 23
Giordano International, Ltd. 31,000 51
Great Eagle Holdings 183,041 313
Hang Lung Development Co. 192,000 149
Hang Seng Bank 6,900 64
Hong Kong & China Gas Co., Ltd. 44,396 48
Hong Kong Electric Holding, Ltd. 1,314,573 4,110
Hong Kong Telecommunications, Ltd. 87,300 206
Hutchison Whampoa, Ltd. 62,300 904
i-CABLE Communications, Ltd. (a) 1,500,000 655
Jardine Matheson Holdings, Ltd. - ADR (a) 214,100 856
JCG Holdings, Ltd. 50,400 26
Johnson Electric Holdings, Ltd. 9,200 74
Kerry Properties, Ltd. 350,000 431
Li & Fung, Ltd. 22,800 89
New World Infrastructure, Ltd. (a) 11,000 12
Orient Overseas International Ltd. 121,000 70
SmarTone Telecommunications Holdings, Ltd 39,500 123
Sun Hung Kai Properties, Ltd. 21,600 169
Sunevision Holdings, Ltd. (a) 88,000 115
Swire Pacific, Ltd. Class A 12,300 69
Tai Cheung Holdings 56,000 12
Television Broadcast 5,000 34
Wharf Holdings 637,862 1,323
68 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS (CONTINUED)
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ---------
Wheelock & Co. 13,000 9
Wing Hang Bank, Ltd. 10,200 24
---------
14,781
---------
IRELAND - 0.4%
Bank of Ireland 312,686 2,109
CRH PLC 41,559 666
DCC PLC 84,900 837
Fyffes PLC 27,000 45
Irish Life & Permanent PLC 11,458 95
Jefferson Smurfit Group PLC 94,400 207
---------
3,959
---------
ITALY - 3.7%
Banca Commerciale Italiana 221,000 1,045
Banca Nazionale del Lavoro (a) 772,006 2,527
Banca Pop di Milano 68,884 411
Banca Popolare di Bergamo CV 50,595 916
Banca Popolare di Brescia 1,593 145
Banco Fideuram SPA 16,852 251
Bulgari SPA 100,800 1,100
Credito Emiliano SPA 30,570 87
ENI SPA - ADR 27,700 1,440
Ente Nazionale Idrocarburi SPA 529,954 2,635
Fiat SPA 5,740 141
Fiat SPA di Risp 17,930 223
Finmeccanica SPA (a) 277,346 436
Ifil (Finanziaria di Partecipazioni) SPA (a) 30,000 115
Istituto Mobiliare Italiano SPA 325,613 4,559
Mediaset SpA 363,849 5,904
Mediolanum SPA 43,443 721
Montefibre di Risp 67,000 32
Montefibre SPA 240,000 131
Pirelli SPA 665,000 1,593
R.A.S 200,500 2,049
Saipem SPA 23,400 116
Tecnost SPA (a) 84,000 295
Telecom Italia Mobile SPA 642,494 6,133
Telecom Italia Mobile SPA di Risp 17,000 67
Telecom Italia SPA 618,917 3,898
Telecom Italia SPA di Risp 317,261 4,435
Unicredito Italiano SPA 46,107 186
---------
41,591
---------
JAPAN - 22.1%
77th Bank, Ltd. (The) 168,000 1,207
Advantest Corp. 2,000 458
Aiful Corp. 7,600 767
Aiful Corp. New (a) 3,550 358
Ajinomoto Co., Inc. 20,000 229
Aoki International 32,000 92
Aoyama Trading Co. 29,900 391
Asahi Bank, Ltd. 71,000 342
Asahi Chemical Industrial 39,000 225
Bank of Fukuoka, Ltd. (The) 28,000 185
Bank of Tokyo - Mitsubishi, Ltd. 65,000 839
Belluna Co., Ltd. 500 10
Bridgestone Tire Corp. 15,000 326
Canon, Inc. 237,000 10,839
Chugoku Electric Power 36,000 447
Chuo Mitsui Trust & Banking Co. (The), Ltd. (a) 7,500 34
Credit Saison Co. 109,650 1,792
Dai Ichi Pharmaceutical Co. 33,000 568
Dai-Tokyo Fire & Marine 369,000 1,001
Daito Trust Construction 19,350 305
Daiwa Kosho Lease Co., Ltd. 87,000 235
Daiwa Securities Group, Inc. 332,000 5,072
DDI Corp. 34 390
Deodeo Corp. 15,000 119
Ebara Corp. 40,000 463
Eisai Co. 118,000 3,441
Fast Retailing Co., Ltd. 200 88
Fuji Bank, Ltd. 293,000 2,441
Fuji Heavy Industries, Ltd. 45,000 344
Fuji Machine Manufacturing Co. 42,700 2,969
Fuji Photo Film Co. 5,000 200
Fujisawa Pharmaceutical 3,000 112
Fujitsu, Ltd. 210,000 5,949
Funai Electric Co., Ltd. 500 278
Furukawa Electric Co. 48,000 666
Futaba Corp. 27,400 1,053
General Sekiyu KK 26,000 51
Hikari Tsushin, Inc. 100 14
Hitachi Chemical Co., Ltd. 7,000 179
Hitachi Maxell 24,000 629
Hitachi Software Engineering Co., Ltd. 800 82
Hitachi, Ltd. 752,000 8,981
Hokkaido Electric Power Co., Inc. 20,700 236
Honda Motor Co., Ltd. 60,000 2,683
Hosiden Electronics 3,000 140
House Foods Corporation 25,000 361
Hoya Corp. 4,000 407
Ines Corp. 4,000 63
Isetan Co. 194,000 1,796
ITO EN, Ltd. 100 10
Ito-Yokado Co., Ltd. 7,000 511
Itochu Corp. (a) 182,000 848
Japan Telecom Co., Ltd. 3 153
Kagoshima Bank 35,000 115
International Securities Fund 69
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS (CONTINUED)
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- ---------
Kaken Pharmaceutical Co., Ltd. 8,000 45
Kaneka Corp. 11,000 142
Kao Corp. 73,000 2,223
Katokichi Co. 21,000 511
Kawasaki Steel Corp. (a) 89,000 138
Keyence Corp. 220 73
Kinki Coca-Cola Bottling 27,000 346
Kissei Pharmaceutical Co. 34,000 557
Koa Fire & Marine 82,000 216
Kokusai Denshin Denwa 1,500 174
Konami Co., Ltd. 2,900 177
Konami Co., Ltd. New (a) 2,900 169
Konica Corp. 1,000 5
Kurimoto Iron Works 90,000 196
Kyocera Corp. 25,700 4,299
Kyorin Pharmaceutical Co., Ltd. 72,000 3,533
Kyushu Electric Power 34,900 405
Laox 10,000 43
Mabuchi Motor Co., Ltd. 19,500 2,148
MACNICA, Inc. 2,300 407
Makita Corp. 91,000 790
Marubeni Corp. 804,000 2,330
Marui Co., Ltd. 11,000 207
Maruichi Steel Tube 38,000 444
Matsumotokiyoshi 30,000 2,361
Matsushita Communication 17,700 2,776
Matsushita Electric Industrial Co., Ltd. 262,000 6,937
Minebea Co., Ltd. 214,000 2,615
Mitsubishi Chemical 172,000 689
Mitsubishi Corp. 68,000 592
Mitsubishi Electric Corp. 114,000 974
Mitsubishi Estate Co., Ltd. 152,000 1,710
Mitsubishi Heavy Industries 354,000 1,101
Mitsubishi Trust & Banking 11,000 92
Mitsui & Co. 363,000 2,692
Mitsui Mining & Smelting 10,000 58
Mitsui O.S.K. Lines 200,000 372
Mitsukoshi (a) 320,000 1,306
Mitsumi Electric Co. 5,000 206
Murata Manufacturing Co., Ltd. 19,000 3,694
Mycal Corp. 94,000 287
Namco 46,300 1,890
Nanto Bank 57,000 290
NEC Corp. 101,000 2,749
Net One Systems Co., Ltd. 1 34
Nichicon Corp. 48,000 1,289
Nichido Fire & Marine 172,000 780
Nichiei Co., Ltd. 29,100 577
NIDEC COPAL Corp. 5,000 81
NIDEC Corp. 1,100 76
NIDEC Corp. New (a) 1,100 93
Nihon Unisys 1,000 23
Nikko Securities Co., Ltd. 400,000 4,722
Nikon Corp. 18,000 633
Nintendo Co., Ltd. 1,900 317
Nippon Comsys Corp. 9,000 174
Nippon Electric Glass 8,000 143
Nippon Express Co., Ltd. 421,000 2,658
Nippon Fire & Marine 80,000 218
Nippon Meat Packers, Inc. 1,000 13
Nippon Oil Co. 50,000 173
Nippon Sheet Glass 44,000 391
Nippon System Development 2,640 252
Nippon Telegraph & Telephone Corp. 606 7,518
Nippon Yusen 128,000 510
Nippon Zeon Co., Ltd. 16,000 99
Nishimatsu Construction 232,000 741
Nissan Chemical Industries, Ltd. 10,000 54
Nissan Motor Co., Ltd. (a) 475,000 2,159
Nisshin Steel Co. 70,000 71
Nitto Denko Corp. 7,000 275
Nomura Securities Co., Ltd. 235,000 5,918
NTT Data Corp. 7 93
NTT Mobile Communication Network, Inc. 415 13,870
Oki Electric Industries (a) 13,000 91
Omron Corp. 105,000 2,858
Oriental Land Co., Ltd. 1,400 149
Orix Corp. 4,320 617
Osaka Gas Co. 70,000 191
Paris Miki, Inc. 3,770 240
Pioneer Corp. 84,000 2,294
Promise Co., Ltd. 5,500 446
Ricoh Co., Ltd. 12,000 253
Rinnai Corp. 73,000 1,338
Rohm Co. 26,900 9,015
Ryohin Keikaku Co., Ltd. 1,400 260
Sailor Pen Co., Ltd. (The) 158,000 2,765
Sakura Bank, Ltd. 478,000 3,354
Sankyo Co., Ltd. 69,000 1,520
Sanseido Co., Ltd. 34,000 272
Sanwa Bank 120,000 1,160
Sanyo Electric Co., Ltd. 56,000 374
Secom Co. 29,000 2,432
Sekisui Chemical Co., Ltd. 210,000 770
Sekisui House, Ltd. 81,000 742
Sharp Corp. 59,000 1,139
Shin-Etsu Chemical Co., Ltd. 51,050 2,699
Shiseido Co., Ltd. 105,000 1,328
Shohkoh Fund & Co., Ltd. 2,900 518
SMC Corp. 1,000 199
70 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS (CONTINUED)
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Snow Brand Milk Products Co., Ltd. 28,000 109
Softbank Corp. (a) 12,900 3,177
Sony Corp. 32,100 3,688
Sony Corp. New (a) 35,900 4,155
Sumitomo Bakelite Co., Ltd. 12,000 132
Sumitomo Bank 34,000 425
Sumitomo Osaka Cement Co., Ltd. 54,000 204
Sumitomo Rubber Industries 40,000 209
Sumitomo Trust & Banking 61,000 446
Sunkus & Associates, Inc. 1,620 58
Suruga Bank, Ltd. 14,000 240
Suzuki Motor Corp. 12,000 179
Taiheiyo Cement Corp. 35,000 50
Taisho Pharmaceutical Co., Ltd. 60,000 2,011
Takeda Chemical Industries 52,000 3,423
Takefuji Corp. 12,700 1,344
TDK Corp. 16,000 2,143
Terumo Corp. 9,000 272
THK Co., Ltd. 5,800 244
Toc Co. 42,000 245
Toho Bank 83,000 288
Tohoku Electric Power 16,500 195
Tokai Corp. 5,000 55
Tokuyama Corp. 27,000 129
Tokyo Broadcasting 51,000 2,219
Tokyo Electric Power 12,100 286
Tokyo Electron, Ltd. 23,000 3,750
Tokyo Gas Co. 61,000 134
Tokyo Seimitsu Co., Ltd. 2,400 251
Tokyo Steel Manufacturing 24,400 61
Tokyo Tomin Bank, Ltd. 2,100 66
Tokyu Corp. 393,000 1,543
Toppan Printing Co., Ltd. 47,000 492
Toshiba Corp. 392,000 3,803
Tostem Corp. 13,000 191
Toyo Trust & Banking Co., Ltd. (The) 44,000 161
Toyoda Gosei Co., Ltd. 10,000 579
Toyota Motor Corp. 82,000 4,077
Toys R Us - Japan, Ltd. (a) 3,000 455
Trend Micro, Inc. 500 75
UNION TOOL Co. 800 109
UNY Co., Ltd. 22,000 232
West Japan Railway Co. 971 3,344
World Co., Ltd. 1,400 105
World Co., Ltd. New (a) 700 47
Yakult Honsha Co., Ltd. 13,000 134
Yamaha Corp. 50,000 339
Yamanouchi Pharmaceutical 118,000 6,238
Yamato Kogyo Co. 34,000 109
Yamato Transport 4,000 100
Yodogawa Steel Works, Ltd. 122,000 313
Yokohama Rubber Co., Ltd. 225,000 544
York-Benimaru Co., Ltd. 2,000 51
Yoshitomi Pharmaceutical Ind., Ltd. 22,000 311
---------
248,982
---------
LUXEMBOURG - 0.0%
Carrier 1 International SA (a) 1,344 111
Compagnie Luxembourgeoise pour
l'Audio-Visuel et la Finance 1,276 157
---------
268
---------
NETHERLANDS - 6.4%
ABN Amro Holding 89,725 1,848
AKZO Nobel - ADR 28,446 1,181
ASM Lithography Holding (a) 83,400 3,326
Buhrmann 60,930 1,570
Elsevier 219,300 2,133
Equant (a) 54,862 4,247
Fortis (NL) 20,557 517
Getronics 2,687 160
Heineken 35,850 1,988
Heineken Holding Class A 13,125 442
Hollandsche Beton Groep 43,704 536
Hunter Douglas 57,137 1,304
ING Groep 173,313 9,457
Koninklijke (Royal) Philips Electronics (a) 77,688 3,466
Koninklijke Ahold 8,651 202
Koninklijke KPN 113,210 11,409
Koninklijke Numico 3,709 138
Koninklijke Vopak 5,052 126
KPNQwest (a) 7,357 306
Laurus 17,177 183
Libertel (a) 16,780 294
Lycos Europe (a) 8,369 128
Nutreco Holding 29,700 1,154
Royal Dutch Petroleum Co. 72,895 4,201
STMicroelectronics 33,698 6,430
Stork 77,496 958
TNT Post Group 27 1
Unique International 30,400 698
United Pan-Europe Communications New (a) 68,519 2,493
Vedior 76,401 809
Vendex 156,339 2,409
Verenigde Nederlandse Uitgeversbedrijven 93,839 5,020
Versatel Telecom International (a) 28,855 1,157
Versatel Telecom International - ADR (a) 15,900 627
International Securities Fund 71
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS (CONTINUED)
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Wereldhave 8,966 364
Wolters Kluwer (a) 57,780 1,364
---------
72,646
---------
NEW ZEALAND - 0.5%
Carter Holt Harvey 710,381 600
Fletcher Challenge Building 17,000 16
Fletcher Challenge Energy 9,500 22
Fletcher Challenge Paper 672,815 755
Lion Nathan, Ltd. 8,000 16
Telecom Corp. of New Zealand, Ltd. 1,076,024 4,546
Warehouse Group (The), Ltd. 6,600 14
---------
5,969
---------
NORWAY - 0.3%
Christiania Bank OG Kreditkasse 44,000 203
Den Norske Creditbank A/S 102,583 360
EDB Business Partner ASA 995 13
EDB Business Partner ASA 2000 Rights
(a) 995 2
Kvaerner Industries ASA (a) 1,000 12
Kvaerner Industries ASA Series B 1,000 10
Norsk Hydro AS 29,958 1,095
Norske Skogindustrier AS Class A 4,000 132
Orkla ASA Class A 67,612 1,045
Petroleum Geo - Services - ADR (a) 38,000 618
Schibsted AS 3,395 70
Sparebanken NOR 8,000 143
---------
3,703
---------
PORTUGAL - 0.4%
Banco Espirito Santo e Comercial de
Lisboa SA (Regd) 6,000 139
Banco Pinto & Sotto Mayor SA 12,820 269
Electricidade de Portugal SA 64,085 1,136
Portucel Industrial SA 17,000 107
Portugal Telecom SA (a) 160,125 1,786
PT MULTIMEDIA - Servicos de
Telecomunicacoes e Multimedia SGPS SA
(a) 2,755 192
Telecel - Comunicacoes
Pessoais SA (a) 35,146 556
---------
4,185
---------
SINGAPORE - 0.6%
Chartered Semiconductor Manufacturing,
Ltd. (a) 5,000 43
City Developments 6,400 29
Creative Technology, Ltd. 20,422 555
Datacraft Asia, Ltd. (a) 4,400 33
DBS Group Holdings, Ltd. (a) 160,330 2,208
DBS Land 13,000 18
Jardine Strategic Holdings Ltd. (a) 70,000 172
Natsteel Electronics, Ltd. 7,000 40
Natsteel, Ltd. 8,000 20
Oversea-Chinese Banking Corp., Ltd. 203,120 1,393
Overseas Union Bank 82,664 378
Singapore Airlines, Ltd. (Alien Market) 9,800 102
Singapore Land 40,000 73
Singapore Land, Ltd. 2005 Warrants (a) 8,000 3
Singapore Press Holdings, Ltd. 12,100 237
Singapore Technologies Engineering, Ltd. 22,800 32
Singapore Telecommunications, Ltd. 43,000 62
ST Assembly Test Services, Ltd. - ADR (a) 400 17
Straits Steamship Land, Ltd. 95,000 114
United Overseas Bank, Ltd. 169,117 1,179
Venture Manufacturing (Singapore), Ltd. 13,000 151
---------
6,859
---------
SOUTH KOREA - 0.9%
Samsung Electronics - GDR 61,316 9,826
---------
SPAIN - 3.0%
Amadeus Global Travel Distribution SA
Class A (a) 10,316 128
Banco Bilbao Vizcaya SA 277,244 3,781
Banco Popular Espanol SA 47,641 1,286
Banco Santander Central Hispano SA 219,369 2,287
Endesa SA 151,087 3,296
Fomento de Construcciones y Contratas SA 69,000 1,399
Grupo Dragados SA 19,200 147
Iberdrola SA 205,881 2,641
Indra Sistemas SA 9,345 221
Prosegur CIA de Seguridad SA (Regd) 72,900 860
Repsol SA 57,216 1,170
Repsol SA - ADR 90,330 1,863
Tabacalera SA Class A (Regd) 224,496 2,639
Telefonica SA (a) 391,692 8,717
Union Electrica Fenosa SA 196,219 3,780
---------
34,215
---------
SWEDEN - 2.4%
Assa Abloy AB Series B 61,796 1,254
Autoliv, Inc. 65,922 1,845
Electrolux AB Series B 34,065 576
Hennes & Mauritz AB 5,199 138
72 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS (CONTINUED)
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
Investor AB Class B 74,226 1,043
Holmen AB 15,400 362
Modern Times Group MTG AB Series B (a) 2,348 115
Nordbanken Holding AB 300,000 1,890
OM Gruppen AB 2,500 104
Skandia Forsakrings AB 78,568 3,759
Skandinaviska Enskilda Banken Series A 24,565 268
SKF AB Series B 72,655 1,556
Stora Enso Oyj Class R 29,899 302
Svenska Handelsbanken AB Series A 31,480 416
Tele1 Europe Holding AB (a) 6,068 95
Telefonaktiebolaget Ericsson (LM) Series B 141,955 12,619
Tornet Fastighets AB 36,400 471
Volvo AB Series B 18,000 438
---------
27,251
---------
SWITZERLAND - 3.2%
ABB, Ltd. 21,349 2,395
Ares-Serono Group Class B 504 1,547
Baloise Holding, Ltd. 1,500 1,251
Barry Callebaut AG (Regd) 8,398 1,120
Bobst AG 250 334
Clariant AG (Regd) 7,668 2,797
Credit Suisse Group 7,878 1,423
Fantastic Corp. German Certificate (a) 3,394 62
Forbo Holding AG 1,400 505
Julius Baer Holding, Ltd. Class B 1,119 3,913
Kuoni Reisen AG Series B 113 489
Nestle SA 1,153 2,032
Novartis AG 5,303 7,408
Richemont Series A 296 719
Roche Holdings Genusscheine AG 145 1,514
Schweizerische Lebensversicherungs-und
Rentenanstalt (a) 283 150
SGS Holding (BR) (a) 120 186
Sulzer AG (Regd) 1,592 1,019
Sulzer Medica AG (Regd) 1,500 325
Swatch Group (The) AG 73 78
Swisscom AG 6,703 2,363
UBS AG 14,101 3,456
Valora Holding AG (Regd) 800 209
Zurich Allied AG 763 325
---------
35,620
---------
UNITED KINGDOM - 18.6%
3i Group PLC 82,981 1,661
Alliance & Leicester PLC 46,731 472
Alliance UniChem PLC 203,000 1,217
Allied Zurich AG 158,029 1,572
Anglian Water PLC 218,227 1,988
Arjo, Wiggins, Appleton PLC 543,000 1,632
ARM Holdings PLC (a) 25,500 258
Associated British Foods PLC 236,720 1,401
AstraZeneca Group PLC 18,564 775
Baltimore Technologies PLC (a) 1,000 101
Bank of Scotland Governor & Co. PLC 64,612 575
Barclays PLC 91,929 2,352
Bass PLC 191,307 2,241
BBA Group PLC 108,133 665
BG Group PLC 641,545 3,873
Billiton PLC 62,600 233
Blue Circle Industries PLC 325,000 2,181
BOC Group PLC 62,757 1,033
Boots Co. PLC 322,001 2,473
BP Amoco PLC 991,915 8,563
British Aerospace PLC 1,118,906 6,881
British Airways PLC 763,713 3,995
British American Tobacco PLC 19,116 119
British Sky Broadcasting Group PLC 25,600 628
British Telecom PLC 373,993 6,696
Bunzl PLC 438,751 1,978
Cable & Wireless Communications PLC (a) 7,700 115
Cable & Wireless PLC 338,020 5,610
Cadbury Schweppes PLC 68,600 470
Carillion PLC 149,825 229
Carlton Communications PLC 12,000 145
Celltech Group PLC (a) 158,100 2,609
Centrica PLC 370,000 1,325
CMG PLC 2,600 169
Coats Viyella PLC 268,000 199
COLT Telecom Group PLC - ADR (a) 2,600 440
Commercial Union Assurance Co. PLC 227,487 3,262
Compass Group PLC 52,409 755
Computacenter PLC 36,610 579
Corus Group PLC (a) 432,700 583
Courtaulds Textile Co. PLC 111,200 244
Debenhams PLC 175,000 486
Diageo PLC 725,041 5,847
Dixons Group PLC New (a) 45,432 184
Elan Corp. PLC - ADR (a) 83,400 3,576
Elementis PLC 200,000 249
Energis PLC (a) 27,924 1,379
Enterprise Oil PLC 10,700 79
Fairview Holdings PLC 67,262 164
FirstGroup PLC 25,000 59
Freeserve PLC (a) 317,500 1,767
International Securities Fund 73
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS (CONTINUED)
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
Gallaher Group PLC 73,514 361
GKN PLC 229,600 3,182
Glaxo Wellcome PLC 259,190 8,010
Glynwed International PLC 47,300 163
Granada Group PLC 2,950 29
Great University Stores PLC 493,100 2,986
Halifax PLC 102,400 960
Hanson PLC 32,700 240
Hays PLC 34,100 236
HSBC Holdings PLC 140,703 1,556
Hyder PLC 140,765 548
Imperial Chemical Industries PLC 156,972 1,344
Invensys PLC 996,700 4,811
Jazztel PLC (a) 7,856 389
Kingfisher PLC 33,000 270
Ladbroke Group, Ltd. PLC 42,200 177
Laird Group PLC 219,596 670
LASMO PLC 350,000 589
Lloyds TSB Group PLC 150,678 1,471
Marconi PLC 42,800 532
Marks & Spencer PLC 260,200 963
MEPC PLC 419,734 2,777
MFI Furniture Group PLC 102,736 112
Misys PLC 42,861 492
Morgan Crucible PLC 416,571 1,657
National Grid Group PLC 90,572 747
National Power PLC 28,468 130
Newco (a) 6,100 31
Northern Foods PLC 48,760 77
Nycomed Amersham PLC 25,452 194
Ocean Group PLC 11,900 228
Pearson PLC 68,000 2,301
Powell Duffryn PLC 55,000 325
PowerGen PLC 550,420 3,462
Prudential Corp. PLC 33,000 506
Railtrack Group PLC 104,462 1,342
Rank Group PLC 300,000 690
Reckitt Benckiser PLC 26,000 267
Reed International 422,331 2,939
Reuters Group PLC 30,600 548
Rexam PLC 367,154 1,406
Rio Tinto Corp. PLC (Regd) 188,749 2,939
Royal & Sun Alliance Insurance Group PLC 741,167 4,154
Royal Bank of Scotland Group PLC 351,246 5,480
Safeway PLC 431,041 1,453
Sage Group PLC (The) 28,000 312
Schroders PLC (a) 6,100 94
Scottish & Southern Energy PLC 129,959 1,117
ScottishPower PLC 260,200 2,079
SEMA Group PLC 10,500 170
Shell Transport & Trading Co. PLC 489,624 4,012
Smith & Nephew PLC 876,000 2,523
SmithKline Beecham PLC 183,980 2,521
Somerfield PLC 505,401 445
SSL International PLC 73,000 742
Standard Chartered Bank Group PLC 21,100 285
Storehouse PLC 100,000 57
Tarmac PLC (a) 192,269 1,753
Tate & Lyle, Ltd. PLC 40,000 142
TeleWest Communications PLC (a) 424,644 2,598
Tesco Store Holdings PLC 108,800 370
Thistle Hotels PLC 286,666 529
Thus PLC (a) 138,500 804
TI Group PLC 20,800 113
Tomkins PLC 1,174,315 3,606
Trinity PLC 128,000 993
Unilever PLC 255,875 1,538
United Newspaper, Ltd. PLC 10,600 138
Vodafone Group PLC 5,782,547 26,469
Williams PLC 363,600 2,051
Wimpey (George), Ltd. PLC 160,000 288
Wolseley PLC 262,170 1,437
Woolwich PLC 35,400 173
WPP Group PLC 60,731 979
Zeneca Group PLC 56,745 2,378
---------
210,547
---------
UNITED STATES - 0.6%
Flextronics International, Ltd. (a) 39,000 2,737
Global TeleSystems Group, Inc. (a) 76,820 1,119
MIH, Ltd. (a) 16,000 744
Magna Entertainment Corp.
Class A (a) 700 2
NTL, Inc. (a) 23,000 1,760
VIA NET.WORKS, Inc. (a) 4,806 86
---------
6,448
---------
TOTAL COMMON STOCKS
(cost $893,570) 1,029,949
---------
PREFERRED STOCKS - 1.3%
AUSTRALIA - 0.1%
News Corp., Ltd. 66,921 720
---------
74 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS (CONTINUED)
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
GERMANY - 1.2%
Dyckerhoff AG (a) 17,000 371
Fresenius AG 12,900 2,856
Hugo Boss AG (a) 5,222 821
Krones AG 12,000 348
M.A.N. AG 2,000 39
Marschollek, Lautenschlaeger und Partner AG 290 154
Porsche AG 571 1,454
ProSieben Media AG 1,925 172
Rheinmetall AG 22,800 210
SAP AG 10,617 6,259
Volkswagen AG 11,400 251
Wella AG - (a) 25,594 651
---------
13,586
---------
ITALY - 0.0%
Compagnia Assicuratrice Unipol 56,000 102
Fiat SPA (a) 3,530 52
---------
154
---------
TOTAL PREFERRED STOCKS
(cost $12,996) 14,460
---------
Principal Market
Amount Value
(000) (000)
$ $
---------- ---------
SHORT-TERM INVESTMENTS - 6.2%
UNITED STATES - 6.2%
Frank Russell Investment Company Money
Market Fund, due on demand (b) 64,713 64,713
United States Treasury Bills (b)(c)(d)
5.465 due 06/29/00 5,000 4,954
---------
69,667
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $69,667) 69,667
---------
TOTAL INVESTMENTS - 98.7%
(identified cost $976,233) 1,114,076
---------
OTHER ASSETS AND LIABILITIES,
NET - 1.3% 15,001
---------
NET ASSETS - 100.0% 1,129,077
=========
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
(d) Rate noted is yield-to-maturity from date of acquisition.
Abbreviations:
ADR - American Depositary Receipt
BR - Bearer
GDR - Global Depositary Receipt
GDS - Global Depositary Share
Foreign Currency Abbreviations:
EUR - Euro dollar
CAD - Canadian dollar
GBP - British pound
JPY - Japanese yen
CHF - Swiss frank
SEK - Swedish kroner
USD - United States dollar
See accompanying notes which are an integral part of the financial statements.
International Securities Fund 75
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Unrealized
Number Appreciation
of (Depreciation)
Contracts (000)
------------ ----------------
Futures Contracts
CAC - 40 Index
Futures Contracts (France)
expiration date 06/00 285 $ (531)
DAX Index
Futures Contracts (Germany)
expiration date 06/00 85 1
FTSE - 100 Index
Futures Contracts (UK)
expiration date 06/00 227 (333)
TOPIX Index
Futures Contracts (Japan)
expiration date 06/00 144 295
--------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ (568)
==============
MARKET
% of VALUE
Net (000)
Industry Diversification Assets $
---------------------------------------- -------- ---------
Auto & Transportation 4.3% 48,921
Consumer Discretionary 10.4 117,062
Consumer Staples 3.9 43,843
Financial Services 15.3 172,807
Health Care 6.2 69,822
Integrated Oils 1.0 10,811
Materials & Processing 8.8 99,356
Miscellaneous 0.6 7,184
Other Energy 5.2 58,610
Producer Durables 10.4 117,836
Technology 7.6 85,297
Utilities 18.8 212,860
Short-Term Investments 6.2 69,667
--------- ---------
Total Investments 98.7 1,114,076
Other Assets and Liabilites, net 1.3 15,001
--------- ---------
Net Assets 100.0% 1,129,077
========= =========
MARKET
% OF VALUE
NET (000)
GEOGRAPHIC DIVERSIFICATION ASSETS $
---------------------------------------- -------- ----------
Europe 41.4% 467,581
Japan 22.1 248,983
United Kingdom 18.6 210,548
Pacific Basin 5.4 60,725
Other 5.0 56,572
Short-Term Investments 6.2 69,667
--------- ---------
Total Investments 98.7 1,114,076
Other Assets and Liabilities, net 1.3 15,001
--------- ---------
Net Assets 100.0% 1,129,077
========= =========
See accompanying notes which are an integral part of the financial statements.
76 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
FORWARD FOREIGN CURRENCY EXCHANGE
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------- ------------- -------------- ----------------
USD 20,256 EUR 20,750 06/16/00 $ (1,329)
USD 488 EUR 500 06/16/00 (32)
USD 961 EUR 1,000 06/16/00 (49)
USD 940 EUR 1,000 06/16/00 (28)
USD 1,623 EUR 1,750 06/16/00 (27)
USD 3,215 EUR 3,500 06/16/00 (23)
USD 12,213 EUR 12,500 06/16/00 (811)
USD 11,502 GBP 7,300 06/16/00 (132)
USD 790 GBP 500 06/16/00 (11)
USD 1,579 GBP 1,000 06/16/00 (21)
USD 9,432 GBP 6,000 06/16/00 (87)
USD 7,359 JPY 775,000 06/16/00 (121)
USD 483 JPY 50,000 06/16/00 (16)
USD 959 JPY 100,000 06/16/00 (25)
USD 948 JPY 100,000 06/16/00 (14)
USD 11,871 JPY 1,250,000 06/16/00 (197)
EUR 1,500 USD 1,457 06/16/00 89
EUR 2,000 USD 1,927 06/16/00 103
GBP 500 USD 790 06/16/00 11
JPY 100,000 USD 954 06/16/00 20
---------------
$ (2,700)
===============
FORWARD FOREIGN CURRENCY EXCHANGE
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------- ------------- -------------- ----------------
USD 5 CAD 7 05/02/00 $ --
USD 216 EUR 234 02/02/00 (4)
USD 57 EUR 63 05/03/00 --
USD 807 EUR 890 05/03/00 1
USD 167 EUR 178 05/31/00 (6)
USD 273 EUR 295 05/31/00 (5)
USD 458 EUR 486 05/31/00 (16)
USD 110 GBP 70 05/02/00 1
USD 389 GBP 250 05/03/00 --
USD 51 JPY 5,372 05/01/00 (1)
USD 387 JPY 41,074 05/01/00 (7)
USD 818 JPY 86,608 05/01/00 (16)
USD 235 JPY 25,256 05/02/00 (2)
USD 887 JPY 95,111 05/02/00 (6)
USD 346 SEK 3,084 05/03/00 (2)
USD 8 SGD 14 05/02/00 --
CHF 505 USD 296 05/01/00 4
EUR 71 USD 65 05/01/00 --
EUR 78 USD 70 05/02/00 --
EUR 305 USD 277 05/02/00 1
EUR 314 USD 285 05/02/00 (1)
EUR 898 USD 815 05/02/00 (1)
EUR 42 USD 38 05/03/00 --
EUR 196 USD 128 05/04/00 (50)
EUR 59 USD 54 05/31/00 --
EUR 133 USD 121 05/31/00 --
EUR 138 USD 130 05/31/00 4
JPY 4,221 USD 39 05/01/00 --
SEK 655 USD 74 05/02/00 1
CAD 49 SEK 298 05/03/00 --
EUR 38 CHF 60 05/03/00 --
GBP 68 EUR 116 05/02/00 --
GBP 26 SEK 365 05/03/00 --
SEK 1,495 EUR 182 05/02/00 (2)
----------------
$ (107)
================
See accompanying notes which are an integral part of the financial statements.
International Securities Fund 77
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investments at market (identified cost $976,233)..................................... $ 1,114,076
Cash ................................................................................ 8,636
Foreign currency holdings (identified cost $4,934)................................... 4,830
Receivables:
Dividends and interest ............................................................ 2,757
Investments sold .................................................................. 9,273
Fund shares sold .................................................................. 3,255
Foreign taxes recoverable ......................................................... 964
From Advisor ...................................................................... 11
Daily variation margin on futures contracts ....................................... 1,799
Unrealized appreciation on forward foreign currency exchange contracts............... 223
Unrealized appreciation on foreign currency exchange spot contracts ................. 12
Prepaid expenses .................................................................... 14
-------------
Total assets .................................................................... 1,145,850
LIABILITIES
Payables:
Investments purchased ............................................... $ 11,446
Fund shares redeemed ................................................ 860
Accrued fees to affiliates .......................................... 1,082
Other accrued expenses .............................................. 343
Unrealized depreciation on forward foreign
currency exchange contracts .......................................... 2,923
Unrealized depreciation on foreign currency exchange spot contracts... 119
------------
Total liabilities ................................................................ 16,773
-------------
NET ASSETS .......................................................................... $ 1,129,077
=============
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income ........................ $ (2,228)
Accumulated net realized gain (loss) ................................................ 107,688
Unrealized appreciation (depreciation) on:
Investments ........................................................................ 137,843
Futures contracts .................................................................. (568)
Foreign currency-related transactions .............................................. (3,083)
Shares of beneficial interest ....................................................... 164
Additional paid-in capital .......................................................... 889,261
-------------
NET ASSETS .......................................................................... $ 1,129,077
=============
NET ASSET VALUE, offering and redemption price per share:
Class C ($9,510,344 divided by 139,624 shares of $.01 par value shares
of beneficial interest outstanding) .............................................. $ 68.11
=============
Class E ($5,912,106 divided by 86,064 shares of $.01 par value shares
of beneficial interest outstanding) .............................................. $ 68.69
=============
Class S ($1,113,654,650 divided by 16,164,168 shares of $.01 par value
shares of beneficial interest outstanding) ....................................... $ 68.90
=============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
78 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Dividends ............................................. $ 5,907 $ 20,257
Dividends from Money Market Fund ...................... 1,301 2,478
Interest .............................................. -- 489
Less foreign taxes withheld ........................... (769) (2,303)
----------------- -----------------
Total investment income ............................. 6,439 20,921
EXPENSES
Advisory fees ......................................... 3,354 8,947
Administrative fees ................................... 188 500
Custodian fees ........................................ 744 2,093
Distribution fees - Class C ........................... 22 23
Transfer agent fees ................................... 410 1,126
Professional fees ..................................... 35 70
Registration fees ..................................... 42 140
Shareholder servicing fees - Class C .................. 7 8
Shareholder servicing fees - Class E .................. 5 13
Trustees' fees ........................................ 8 9
Miscellaneous ......................................... 40 129
----------------- -----------------
Total expenses ...................................... 4,855 13,058
----------------- -----------------
Net investment income .................................. 1,584 7,863
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ........................................... 63,162 122,855
Futures contracts ..................................... 5,421 15,568
Foreign currency-related transactions ................. (4,538) (9,722)
----------------- -----------------
64,045 128,701
----------------- -----------------
Net change in unrealized gain (loss) on:
Investments ........................................... (114,560) 134,124
Futures contracts ..................................... (6,010) 4,278
Foreign currency-related transactions ................. (3,088) 2,297
----------------- -----------------
(123,658) 140,699
----------------- -----------------
Net realized and unrealized gain (loss) ............... (59,613) 269,400
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS... $ (58,029) $ 277,263
================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
International Securities Fund 79
<PAGE>
INTERNATIONAL SECURITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ........................................... $ 1,584 $ 7,863 $ 10,770
Net realized gain (loss) ........................................ 64,045 128,701 22,759
Net change in unrealized appreciation (depreciation) ............ (123,658) 140,699 73,736
----------------- ----------------- -----------------
Net increase (decrease) in net assets from operations ......... (58,029) 277,263 107,265
----------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income
Class C ....................................................... -- (12) --
Class E ....................................................... -- (19) (42)
Class S ....................................................... -- (7,238) (9,775)
From net realized gain
Class C ....................................................... (299) (335) --
Class E ....................................................... (200) (248) (5)
Class S ....................................................... (38,616) (51,360) (3,176)
----------------- ----------------- -----------------
Net decrease in net assets from distributions ............... (39,115) (59,212) (12,998)
----------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ... 79,652 (16,692) 9,906
----------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ...................... (17,492) 201,359 104,173
NET ASSETS
Beginning of period ............................................. 1,146,569 945,210 841,037
----------------- ----------------- -----------------
End of period (including accumulated distributions in excess of
net investment income of $2,228, $3,812 and $2,960,
respectively ................................................. $ 1,129,077 $ 1,146,569 $ 945,210
================= ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
80 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
--------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ....................... $ 74.51 $ 60.66
--------- ---------
INCOME FROM OPERATIONS
Net investment income (loss) (a) ......................... (.12) (.32)
Net realized and unrealized gain (loss) .................. (3.74) 17.92
--------- ---------
Total income from operations ............................ (3.86) 17.60
--------- ---------
DISTRIBUTIONS
From net investment income ................................ -- (.17)
From net realized gain .................................... (2.54) (3.58)
--------- ---------
Total distributions ..................................... (2.54) (3.75)
--------- ---------
NET ASSET VALUE, END OF PERIOD ............................. $ 68.11 $ 74.51
========= =========
TOTAL RETURN (%)(b) ....................................... (5.27) 29.39
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)................... 9,510 7,522
Ratios to average net assets (%)(c):
Operating expenses ...................................... 2.28 2.30
Net investment income (loss) ............................ (.52) (.51)
Portfolio turnover rate (%) ............................... 38.45 120.52
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
International Securities Fund 81
<PAGE>
INTERNATIONAL SECURITIES FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------------------------
2000* 1999 1998 1997 1996**
-------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ....... $ 74.95 $ 60.68 $ 54.64 $ 58.47 $ 58.56
-------- --------- --------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a) ................. .05 .40 .28 .35 (.03)
Net realized and unrealized gain (loss) (3.77) 17.72 6.53 (.64) 1.68
-------- --------- --------- --------- ---------
Total income from operations ............ (3.72) 18.12 6.81 (.29) 1.65
-------- --------- --------- --------- ---------
DISTRIBUTIONS
From net investment income ................ -- (.27) (.57) (.29) (.43)
From net realized gain .................... (2.54) (3.58) (.20) (3.25) (1.31)
-------- --------- --------- --------- ---------
Total distributions ..................... (2.54) (3.85) (.77) (3.54) (1.74)
-------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD ............. $ 68.69 $ 74.95 $ 60.68 $ 54.64 $ 58.47
======== ========= ========= ========= =========
TOTAL RETURN (%)(b) ........................ (5.05) 30.21 12.53 (.41) 2.86
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)... 5,912 5,552 4,431 1,271 623
Ratios to average net assets (%)(c):
Operating expenses ...................... 1.53 1.55 1.64 1.96 2.00
Net investment income (loss) ............ .19 .61 .49 .19 (.61)
Portfolio turnover rate (%) ............... 38.45 120.52 68.46 73.54 42.43
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period November 4, 1996 (commencement of sale) to December 31, 1996.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
82 International Securities Fund
<PAGE>
INTERNATIONAL SECURITIES FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
----------- ----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 75.11 $ 60.86 $ 54.69 $ 58.48 $ 56.61 $ 53.96
----------- ----------- ----------- ----------- ----------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ................. .10 .51 .69 .56 .53 .56
Net realized and unrealized gain (loss).... (3.77) 17.82 6.32 (.46) 3.72 4.89
----------- ----------- ----------- ----------- ----------- ----------
Total income from operations ............ (3.67) 18.33 7.01 .10 4.25 5.45
----------- ----------- ----------- ----------- ----------- ----------
DISTRIBUTIONS
From net investment income ................ -- (.50) (.64) (.64) (.48) (1.11)
From net realized gain .................... (2.54) (3.58) (.20) (3.25) (1.90) (1.69)
----------- ----------- ----------- ----------- ----------- ----------
Total distributions ..................... (2.54) (4.08) (.84) (3.89) (2.38) (2.80)
----------- ----------- ----------- ----------- ----------- ----------
NET ASSET VALUE, END OF PERIOD ............. $ 68.90 $ 75.11 $ 60.86 $ 54.69 $ 58.48 $ 56.61
=========== =========== =========== =========== =========== ==========
TOTAL RETURN (%)(b) ........................ (4.97) 30.52 12.90 .26 7.63 10.20
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)... 1,113,655 1,133,495 940,779 839,767 743,615 623,389
Ratios to average net assets (%)(c):
Operating expenses, net ................. 1.28 1.30 1.22 1.26 1.30 1.30
Operating expenses, gross ............... 1.28 1.30 1.22 1.26 1.31 1.31
Net investment income ................... .43 .79 1.15 .91 .91 .97
Portfolio turnover rate (%)................ 38.45 120.52 68.46 73.54 42.43 42.96
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
International Securities Fund 83
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
--------- ---------
COMMON STOCKS - 84.8%
ARGENTINA - 1.8%
Astra cia Argentina de Petro (a) 340,000 803
Banco de Galicia y Buenos Aires SA de
CV Class B - ADR 13,829 239
Banco Frances del Rio la Plata - ADR 14,500 286
Central Costanera SA Class B 187,100 356
Central Puerto SA Class B 120,000 195
El Sitio, Inc. (a) 3,400 36
Inversiones Y Representaciones
SA Class B 143,637 424
Nobleza Piccardo SA 91,100 257
Nortel Inversora SA - ADR 4,100 76
PC Holdings SA - ADR 8,092 124
PC Holdings SA Class B 672,481 1,023
Quilmes Industrial (Regd)(a) 71,000 577
Siderar SA Series A 29,800 116
Siderca SAIC 250,000 538
Telecom Argentina SA Class B - ADR 31,800 888
Telefonica de Argentina Class B 340,000 1,198
Telefonica de Argentina SA
Class B - ADR 14,600 513
Transportadora de Gas del Sur
SA Class B 54,005 87
----------
7,736
----------
AUSTRALIA - 0.4%
Lihir Gold, Ltd. (a) 1,083,000 367
Oil Search, Ltd. (Australia Regd)(a) 800,000 724
Orogen Minerals, Ltd. 800,000 589
----------
1,680
----------
BRAZIL - 1.4%
Centrais Eletricas Brasileiras SA 28,959,000 428
Companhia Cervejaria Brahma - ADR 7,200 112
Companhia Energetica de Minas
Gerais SA - ADR 23,547 360
Companhia Siderurgica Nacional 8,394,000 237
Companhia Vale do Rio Doce 12,000 266
Copel Parana Energ 20,000,000 105
Embratel Participacoes SA 30,114,000 567
Globo Cabo SA - ADR 26,500 439
Light Servicos de Eletricidade SA 6,802,914 785
Petroleo Brasileiro Petrobras SA - ADR 20,000 474
Tele Centro Sul Participacoes SA 40,933,000 420
Tele Norte Leste Participacoes SA 61,405,000 1,065
Tele Sudeste Celular Participacoes SA 47,617,000 200
Telesp Participacoes SA 24,712,000 370
Ultrapar Participacoes SA - ADR 10,100 91
White Martins SA 331,407 240
----------
6,159
----------
CHILE - 3.2%
Antofagasta Holdings PLC 408,036 2,509
Banco de A. Edwards Series A - ADR 9,944 163
Banco Santander Chile
Series A - ADR 9,200 136
Banco Santiago - ADR 13,300 263
BBV Banco BHIF - ADR 29,000 464
Compania de Telecomunicaciones
de Chile SA - ADR 41,769 773
Distribucion Y Servicio D&S
SA - ADR 119,500 2,032
Embotelladora Andina SA - ADR
Series A 65,000 756
Embotelladora Andina SA - ADR
Series B 58,000 595
Embotelladora Arica SA - ADR (a) 79,300 601
Enersis SA - ADR 58,472 1,089
Gener SA - ADR 92,900 1,272
Laboratorio Chile SA - ADR 30,000 602
Maderas y Sinteticos SA - ADR 49,900 686
Quinenco SA 166,300 1,870
Sociedad Quimica Y Minera de
Chile SA - ADR 3,750 92
----------
13,903
----------
CHINA - 3.1%
Beijing Yanhua Petrochemical Co., Ltd.
Class H 4,450,000 526
China Telecom (Hong Kong), Ltd. (a) 562,000 4,022
China Telecom (Hong Kong),
Ltd. - ADR (a) 8,500 1,247
Guangdong Kelon Electrical Holdings
Co., Ltd. 1,360,000 851
Huaneng Power International, Inc.
Series N - ADR 125,000 1,156
Jiangsu Expressway Co., Ltd. Class H 8,990,000 1,016
Jilin Chemical Industrial Company, Ltd.
Class H 1,800,000 125
New World China Land, Ltd. (a) 1,520,000 388
PetroChina Co., Ltd. New (a) 5,302,000 824
Shanghai Petrochemical Co.,
Ltd. Class H 5,660,000 763
Shenzhen Expressway Co.,
Ltd. Class H 2,000,000 223
84 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
--------- ----------
Yanzhou Coal Mining Co.,
Ltd. Series H 8,170,000 1,636
Yizheng Chemical Fibre Class H (a) 1,985,000 385
----------
13,162
----------
CROATIA - 0.2%
Pliva d.d. - GDR 82,600 1,020
----------
CZECH REPUBLIC - 0.4%
Ceske Energeticke Zavody AS (a) 33,000 96
Ceske Radiokomunikace -
GDR (a) 10,000 450
Czechoslovakian Value Fund
1998 warrants (a)(c) 1,800 0
SPT Telecom AS (a) 36,603 679
Tabak AS 3,500 562
----------
1,787
----------
ECUADOR - 0.0%
La Cemento Nacional - GDR (a) 700 25
La Cemento National - GDR (a) 3,700 129
----------
154
----------
EGYPT - 1.3%
Al-Ahram Beverages Co.
S.A.E. - GDR (a) 106,000 1,855
Al-Ahram Beverages Co.
S.A.E. - GDR (144A)(a) 15,530 272
Commercial International Bank 40,600 437
Commercial International Bank (Regd.) -
GDR 22,700 239
Eastern Company for Tobacco
& Cigarettes 5,100 123
Egypt International Pharmaceutical
Industries Co. 1,000 50
Egyptian Mobile Phone Network (a) 50,118 1,911
Misr International Bank 3,300 55
Orascom Construction (a) 48,425 665
Oriental Weavers Co. 4,100 70
Suez Cement Co. (Regd) - GDR 8,089 102
----------
5,779
----------
GREECE - 2.0%
Aluminum Co. of Greece SA 23,600 788
Attica Enterprises Holdings SA 5,175 60
Bank of Piraues 2,070 37
Commercial Bank of Greece 10,786 586
Credit Bank (Regd) 32,540 1,792
Hellenic Bottling Co. SA 11,370 180
Hellenic Telecommunication Organization
SA - ADR 5,600 65
Hellenic Telecommunication Organization
SA - GDR 131,485 2,960
Intracom SA 3,732 133
National Bank of Greece SA 15,622 667
Panafon Hellenic Telecom SA 90,400 1,087
STET Hellas Telecommunications
SA - ADR (a) 11,000 249
Titan Cement Co. SA 1,736 70
----------
8,674
----------
HONG KONG - 0.7%
Chen Hsong Holdings, Ltd. 1,900,000 327
Founder Holdings, Ltd. (a) 514,000 297
Legend Holdings, Ltd. (a) 648,000 749
New World Infrastructure, Ltd. (a) 1,238,100 1,319
Pacific Century CyberWorks, Ltd. (a) 224,000 417
----------
3,109
----------
HUNGARY - 2.4%
BorsodChem - GDR 44,200 1,613
BorsodChem Rt. 12,000 444
Egis Gyogyszergyar 6,100 268
Magyar Olaj Es Gas 5,200 92
Magyar Tavkozlesi Rt. - ADR 51,342 1,787
Magyar Tavkozlesi Rt. (Regd) 282,476 1,935
Mol Magyar Olaj-Es Gazipari
Rt. - GDR 101,900 1,783
Mol Magyar Olay-Es Gazipari - GDR 7,266 127
OTP Bank Rt. 8,534 378
Richter Gedeon, Ltd. - GDR 29,846 1,642
Tiszai Vegyi Kombinat Rt. 21,400 353
----------
10,422
----------
INDIA - 4.6%
Bajaj Auto, Ltd. - GDR 51,000 403
BSES, Ltd. (a) 22,800 388
BSES, Ltd. - GDR 27,000 459
Genesis India Investment Co. (a) 760,800 8,879
ICICI Bank, Ltd. - ADR (a) 22,000 380
ICICI, Ltd. - ADR 32,000 768
Indo Gulf Fertilizers &
Chemicals - GDR (a) 419,000 419
Infosys Technologies, Ltd. - ADR 8,120 1,640
ITC, Ltd. - GDR 23,900 397
Larsen & Toubro, Ltd. - GDR 11,750 159
Mahanagar Telephone Nigam,
Ltd. - GDR (a) 29,400 375
Perusahaan Persero Telekom - ADR 73,528 634
Reliance Industries, Ltd. - GDR 91,711 2,375
State Bank of India - GDR 14,100 130
Emerging Markets Fund 85
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
--------- ---------
Tata Engineering & Locomotive
Co. - GDR 75,400 226
Videsh Sanchar Nigam Ltd. - GDR 110,557 2,060
----------
19,692
----------
INDONESIA - 1.1%
Gulf Indonesia Resources, Ltd. (a) 88,300 618
Indah Kiat Pulp & Paper
(Alien Market)(a) 1,162,000 349
PT Bank Pan Indonesia Tbk (a) 2,014,000 96
PT Gudang Garam Tbk 149,000 236
PT Hanjaya Mandala Sampoerna Tbk 169,000 245
PT Indofood Sukses Makmur Tbk (a) 175,000 120
PT Indosat (Persero) Tbk 255,000 338
PT Indosat (Persero) Tbk - ADR 15,800 210
PT Matahari Putra Prima Tbk (a) 8,800,000 1,030
PT Ramayana Lestari Sentosa 1,670,000 851
PT Telekomunikasi
Indonesia Series B 438,000 191
Semen Gresik 232,000 242
----------
4,526
----------
ISRAEL - 3.6%
Bank Hapoalim, Ltd. 502,400 1,543
Bank Leumi Le-Israel 857,659 1,864
Bezeq Israeli Telecommunication Corp.,
Ltd. 131,186 696
Blue Square Israel, Ltd. - ADR 13,720 128
Check Point Software Technologies, Ltd.
(a) 8,000 1,387
Clal Industries, Ltd. 24,400 270
Delta-Galil Industries, Ltd. 27,279 556
ECI Telecom, Ltd. 4,023 111
Gilat Satellite Networks, Ltd. (a) 4,100 353
IDB Holding Corp., Ltd. 3,864 133
Israel Chemicals, Ltd. 194,724 236
Israel Discount Bank Series A (a) 300,000 373
Koor Industries, Ltd. 1,200 104
Koor Industries, Ltd. - ADR 25,000 438
M-Systems Flash Disk Pioneers,
Ltd. (a) 3,800 250
Makhteshim-Agan Industries, Ltd. (a) 10,000 20
Nice Systems, Ltd. - ADR (a) 5,170 338
Orbotech, Ltd. (a) 21,252 1,812
Orckit Communications, Ltd. (a) 9,800 432
Partner Communications Co.,
Ltd. - ADR (a) 4,500 48
Property & Building Corp., Ltd. 666 69
RADWARE, Ltd. (a) 7,800 209
Scitex Corp., Ltd. (a) 19,000 226
Supersol, Ltd. 50,000 163
Tecnomatix Technologies, Ltd. (a) 41,500 1,369
Teva Pharmaceutical Industries,
Ltd. - ADR 49,886 2,188
----------
15,316
----------
JORDAN - 0.2%
Arab Bank Group 3,510 831
----------
LEBANON - 0.1%
Solidere - GDR (a) 62,000 375
----------
LUXEMBOURG - 1.4%
Foreign & Colonial Emerging Markets
Indian Investment Co. (a) 304,121 2,244
Foreign & Colonial Emerging Markets
Taiwan Investment Co. (a) 61,000 1,083
Millicom International Cellular SA (a) 43,000 2,258
Ritek, Inc. - GDR (a) 17,690 332
----------
5,917
----------
MALAYSIA - 5.9%
AMMB Holdings Berhad 341,000 1,292
Arab Malaysian Finance (Alien
Market)(a) 97,000 139
Berjaya Sports 191,000 400
Commerce Asset-Holding Berhad 421,000 1,185
Genting Berhad 385,000 1,550
Golden Hope Plantation 519,000 549
IJM Corp. Berhad 456,000 442
Malakoff Berhad 231,000 596
Malayan Banking Berhad 688,000 2,861
Malaysian Pacific 122,000 1,364
O.Y.L. Industries Berhad 12,800 41
Oriental Holdings Berhad 407,000 969
Perusahaan Otomobil Nasional Berhad 230,000 318
Petronas Gas Berhad 213,000 348
Public Bank Berhad 918,000 957
Public Bank Berhad (Alien Market) 276,000 385
Resorts World Berhad 348,000 1,126
RHB Capital Berhad 213,000 303
Road Builder (M) Holdings Berhad 385,000 505
Rothmans of Pall Mall
(Malaysia) Berhad 103,200 801
Sime Darby Berhad 486,000 570
Technical Resource Industries Berhad 222,000 284
Telekom Malaysia Berhad 411,000 1,428
Tenaga Nasional Berhad 1,248,000 4,138
UMW Holdings Berhad 142,000 308
United Engineers (Malaysia)
Berhad (a) 772,000 1,991
86 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
--------- ---------
YTL Corp. Berhad 310,000 506
YTL Corp. Berhad 2009 Warrants (a) 16,500 9
----------
25,365
----------
MEXICO - 12.1%
Alfa SA de CV Class A 188,000 581
Carso Global Telecom Series A1 (a) 1,236,400 3,337
Cemex SA de CV 434,440 1,884
Cemex SA de CV - ADR 65,754 1,438
Cemex SA de CV 2000 Warrants (a) 1,737 5
Cemex SA de CV 2002 Warrants (a) 20,000 12
Cifra SA de CV Class C (a) 452,700 965
Cifra SA de CV Series V (a) 627,000 1,449
Coca-Cola Femsa SA - ADR 71,200 1,322
Compania Cervecerias Unidas
SA - ADR 59,200 1,321
Controladora Comercial Mexicana
SA de CV 1,188,000 1,250
Corporacion Interamericana de
Entretenimiento SA Series B (a) 374,400 1,536
Cydsa SA Series A 277,000 206
Empaques Ponderosa (a) 189,500 106
Empresa Nacional de Electricidad
SA - ADR 36,538 420
Fomento Economico Mexicano SA de CV 160,500 637
Fomento Economico Mexicano SA de CV
Series B - ADR 67,050 2,766
Grupo Elektra, SA de CV 160,000 156
Grupo Financiero Banamex Accival SA de
CV (Banacci) Series O (a) 598,483 2,162
Grupo Financiero Bancomer SA de CV
Series O (a) 1,462,000 653
Grupo Financiero Banorte
SA de CV (a) 275,000 374
Grupo Financiero Inbursa SA de CV Class
O (a) 182,000 739
Grupo Industrial Durango
SA - ADR (a) 17,250 175
Grupo Industrial Saltillo SA de CV 54,500 121
Grupo Mexico SA Series B 233,000 951
Grupo Modelo SA de CV Series C 142,000 302
Grupo Radio Centro SA de CV - ADR 16,400 230
Grupo Television SA de
CV - GDR (a) 45,675 2,898
Hylsamex SA de CV Series B (a) 150,000 274
Kimberly-Clark, Mexico Class A 773,500 2,491
Nuevo Grupo Iusacell SA de CV
Series V - ADR (a) 104,700 1,669
Organizacion Soriana SA
de CV Series B 86,000 341
Panamerican Beverages, Inc. Class A 129,000 2,120
Seguros Comercial America
Series B (a) 87,000 332
Telefonos de Mexico SA
Series L - ADR 252,074 14,825
Tubos de Acero de Mexico SA 11,500 171
TV Azteca SA de CV - ADR 178,600 1,964
----------
52,183
----------
PANAMA - 0.2%
Banco Latinoamericano de Exportaciones 40,000 988
SA Class E ----------
PERU - 0.5%
Compania de Minas Buenaventura Series B
- ADR 24,200 417
Companiade Minas Buenaventura
SA Series B 27,600 240
Credicorp, Ltd. 49,850 527
Enrique Ferreyros 236,970 84
Minsur SA 64,000 114
Southern Peru Copper Corp. 10,800 136
Telefonica Del Peru SA
Class B - ADR 48,838 739
----------
2,257
----------
PHILIPPINES - 1.3%
Ayala Corp. 134,000 31
Equitable PCI Bank 480,200 622
First Philippine Holdings Corp. (a) 270,000 157
Manila Electric Co. Class B 1,184,200 2,123
Metropolitan Bank & Trust Co. 11,000 61
Philippine Long Distance
Telephone Co. 16,100 289
Philippine Long Distance
Telephone Co. - ADR 70,327 1,297
San Miguel Corp. Class B 67,500 85
Security Bank Corp. (a) 350,000 280
SM Prime Holdings 960,000 125
Universal Robina 2,410,000 355
----------
5,425
----------
POLAND - 0.7%
Agora SA - GDR (a) 1,957 45
Bank Handlowy W. Warszawie - GDR 13,590 193
Bank Polska Kasa Opieki Grupa
Pekao SA (a) 5,970 71
BRE Bank SA 1,843 58
Elektrim Spolka Akcyjna SA (a) 34,053 427
KGHM Polska Miedz SA - GDR 29,500 423
Emerging Markets Fund 87
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
--------- ---------
Optimus SA 5,200 181
Polski Koncern Naftowy SA - GDR 79,731 790
Prokom Software SA 5,400 219
Softbank SA - GDR 6,500 275
Telekomunikacja Polska SA
Class S - GDR 27,898 212
Telekomunikacja Polska SA
Series A - GDR (a) 6,140 45
WBK 8,246 46
----------
2,985
----------
RUSSIA - 1.6%
Golden Telecom, Inc. (a) 6,200 187
Lukoil Oil Co. - ADR 40,940 2,468
OAO Gazprom - ADR (a) 15,000 99
Rostelecom - ADR 7,200 140
Surgutneftegaz SP - ADR (a) 155,976 2,367
Unified Energy Systems - ADR 12,287 198
Unified Energy Systems - GDR 40,043 746
Vimpel-Communications - ADR (a) 24,513 821
----------
7,026
----------
SINGAPORE - 0.4%
Asia Pulp & Paper Co, - ADR Ltd. (a) 79,000 499
Datacraft Asia, Ltd. (a) 122,000 915
Total Access Communication, Ltd. (a) 160,000 420
----------
1,834
----------
SOUTH AFRICA - 6.2%
AECI, Ltd. 164,000 327
African Bank Investments, Ltd. (a) 73,900 160
Alexander Forbes, Ltd. 482,000 1,081
Amalgamated Banks of South Africa 315,767 1,118
Amalgamated Beverage
Industries, Ltd. 50,971 297
Anglo American Platinum Corp., Ltd. 45,800 1,108
Anglo American PLC 9,900 420
AngloGold, Ltd. 27,310 1,039
Ashanti Goldfields, Ltd. - ADR 216,178 378
Barlow, Ltd. 50,837 319
Billiton PLC 92,000 353
De Beers Centenary Linked Units 58,854 1,207
Dimension Data Holdings, Ltd. (a) 301,057 1,976
Fedsure Holdings, Ltd. 32,900 182
FirstRand, Ltd. 852,800 1,006
Impala Platinum Holdings, Ltd. 34,100 1,081
Imperial Holdings, Ltd. (a) 65,162 557
Iscor, Ltd. (a) 74,960 166
Ixchange Technology Holdings, Ltd. (a) 102,000 217
JD Group, Ltd. 69,300 467
Johnnies Industrial Corp., Ltd. 18,200 268
Liberty Life Association of Africa 79,186 742
Lonrho Africa PLC 437,204 109
Lonrho PLC 115,176 1,177
M-Cell, Ltd. 63,400 339
Metro Cash and Carry, Ltd. 256,359 193
MIH, Ltd. (a) 6,900 321
Nampak, Ltd. 90,000 210
Nedcor, Ltd. 43,962 834
PepsiCo International, Inc. (a) 1,190 10
Profurn, Ltd. 300,490 182
Real Africa Holdings, Ltd. (a) 92,300 83
Rembrandt Group, Ltd. 299,200 2,321
Sanlam, Ltd. 987,100 1,172
Sappi, Ltd. 78,200 548
Sasol 403,063 2,366
South African Breweries PLC 176,800 1,305
Standard Bank Investment Corporation,
Ltd. 126,060 464
Tongaat-Hulett Group, Ltd. 103,000 512
----------
26,615
----------
SOUTH KOREA - 10.2%
Doosan Corp. (a) 40,172 963
Dreamline Co., Ltd. 2000 Rights (a) 1,188 7
Dreamline Corp. (a) 3,000 95
Haansoft, Inc. (a) 10,800 191
HandySoft Corp. (a) 5,000 186
Hanil Cement Manufacturing
Co., Ltd. 54,500 737
Hankuk Glass Industries, Inc. 63,000 744
Hansol Paper Co. 33,960 230
Hanwha Chemical Corp. (a) 40,110 167
Honam Petrochemical Corp. 20,500 214
Housing & Commercial Bank, Korea 49,690 851
Hyundai Electronics Industries Co. (a) 52,770 837
Hyundai Industrial Development
& Construction 13,786 59
Hyundai Motor Co., Ltd. 43,428 409
Hyundai Motor Co., Ltd. - GDR (a) 18,462 93
Kookmin Bank 248,148 2,683
Kookmin Bank - GDR 5,000 53
Korea Electric Power Corp. 122,298 3,582
Korea Electric Power Corp. - ADR 46,148 756
Korea Telecom Corp. - ADR 41,059 1,417
Korea Telecom Freetel (a) 3,500 201
Korea Tobacco & Ginseng Corp. 48,200 925
LG Chemical, Ltd. 68,100 1,565
Locus Corp. (a) 2,300 280
Lotte Confectionery Co. 4,500 556
Medidas Co., Ltd. 1,658 24
88 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
--------- ---------
Mirae Co. 25,940 134
Pohang Iron & Steel Co., Ltd. 14,171 1,108
Pohang Iron & Steel Co., Ltd. - ADR 17,100 359
S1 Corp. 52,681 707
Samsung Corp. 20,500 233
Samsung Electro-Mechanics Co. 5,000 340
Samsung Electronics 40,410 10,924
Samsung Electronics, Ltd. - GDS 35,719 2,884
Samsung Fire & Marine Insurance (a) 7,149 146
Samsung SDI Co., Ltd. - GDR (a) 52,250 536
Samsung Securities Co., Ltd. 27,378 461
Seoul City Gas Co., Ltd. 17,000 257
SEROME Technology, Inc. 7,000 206
Shin Han Bank 135,500 1,300
SK Corporation 68,362 1,291
SK Telecom Co., Ltd. (a) 9,510 2,528
SK Telecom Co., Ltd. - ADR 9,730 312
Ssangyong Oil Refining Co. 85,440 1,582
Tae Young Corp. 17,639 367
Turbo Tek Co., Ltd. 12,649 193
----------
43,693
----------
SRI LANKA - 0.1%
Ceylon Theatre 13,660 37
Development Finance Corp. of Ceylon 97,221 123
John Keells Holdings, Ltd. 65,302 100
----------
260
----------
SWITZERLAND - 0.2%
UBS AG 2001 Warrants (a) 907
141,000 ----------
TAIWAN - 8.0%
Acer Peripherals, Inc. - GDR (a) 11,000 457
Acer, Inc. - GDR (144A)(a) 89,900 935
Acer, Inc. - GDR (a) 305,782 3,180
Advanced Semiconductor Engineering,
Inc. - GDR (a) 31,000 550
ASE Test, Ltd. (a) 23,500 695
Asia Cement Corp. - GDR 96,454 709
Asustek Computer, Inc. - GDR 110 1
Asustek Computer, Inc. - GDR (Regd) 159,840 2,062
Asustek Computer, Inc. 2000 Warrants (a) 47,000 521
China Steel Corp. - GDS (a) 83,702 1,161
Compal Electronics, Inc. - GDR 43,994 607
D-Link Corp. - GDR (a) 46,600 677
Evergreen Marine Corp. - GDR (a) 61,642 475
Far Eastern Textile, Ltd. - GDR (a) 89,000 1,780
Formosa Plastic Corp.
2000 Warrants (a) 115,700 241
Fubon Insurance Co., Ltd. - GDR 96,980 853
GigaMedia, Ltd. (a) 9,300 223
Hon Hai Precision Industry Co.,
Ltd. - GDR (a) 90,340 2,530
Hon Hai Precision Industry Co.,
Ltd. - GDR (a) 17,000 468
Macronix International Co.,
Ltd. - ADR 24,300 741
Powerchip Semiconductor
Corp. - GDR (a) 85,500 1,945
Siliconware Precision Industries
Co. - GDR (a) 35,670 473
Synnex Technology International Corp.
(Regd) - GDR 71,560 1,896
Taiwan Semiconductor Manufacturing 2001
Warrants (a) 288,000 1,854
Taiwan Semiconductor Manufacturing Co.,
Ltd. - ADR (a) 93,452 4,889
Winbond Electronics
Corp. - GDR (144A)(a) 27,800 866
Windbond Electronics
Corp. - GDR (a) 100,000 3,114
Yageo Corp. - GDR 70,200 572
----------
34,475
----------
THAILAND - 1.2%
Advanced Information Services
(Alien Market)(a) 18,000 211
Bangkok Bank PLC
(Alien Market)(a) 299,000 507
Delta Electronics (Thailand) PLC 37,000 383
Delta Electronics, Inc. 2000 Rights (a) 5,000 50
Hana Microelectronics PLC
(Alien Market) 145,000 1,089
Jasmine International PLC
(Alien Market)(a) 700,000 382
National Petrochemical PLC
(Alien Market) 410,000 469
PTT Exploration and Production PLC,
Ltd. (Alien Market) 242,000 1,227
Siam Cement Co. (Alien Market)(a) 7,000 162
Siam City Cement PLC (Alien Market)(a) 45,000 136
TelecomAsia (Alien Market)(a) 188,000 252
Thai Farmers Bank (Alien Market)(a) 436,700 458
----------
5,326
----------
Emerging Markets Fund 89
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
----------- ---------
TURKEY - 6.7%
Akansa Cimento AS 4,176,240 92
Akbank TAS 47,538,650 1,069
Arcelik AS 15,349,020 1,305
Brisa Bridgestone Sabanci Lastik San.
Ve Tic AS 6,600,000 486
Dogan Sirketler Grubu Holding AS (a) 13,597,600 423
Dogan Yayin Holding AS (a) 20,383,700 492
EGE Biracilik Ve Malt Sanayii AS 18,255,600 1,642
Erciyas Biracilik ve Malt
Sanayii AS (a) 3,500,000 260
Eregli Demir ve Celik Fabrikalari
TAS (a) 2,000,000 110
Haci Omer Sabanci Holding AS 29,797,452 482
Haci Omer Sabanci Holding
AS - ADR 182,972 732
Hurriyet Gazetecilik ve
Matbaacilik AS 20,207,000 512
Koc Holding AS 5,353,290 1,073
Migros 7,152,600 4,855
Sasa Suni ve Sentetik Elyaf Sanayii
Anonim Sirketi 5,000,000 186
Tupras 12,600,000 865
Turkiye Garanti Bankasi AS (a) 126,991,480 2,139
Turkiye Is Bankasi 38,711,564 2,121
Vestel Elektronik Sanayi ve
Ticaret AS (a) 1,341,220 505
Yapi ve Kredi Bankasi AS 297,478,456 9,487
----------
28,836
----------
UNITED KINGDOM - 0.7%
Genesis Smaller Companies Fund (a) 172,135 2,873
----------
UNITED STATES - 0.5%
Amdocs, Ltd. (a) 4,000 271
Comverse Technology, Inc. (a) 3,640 325
IMPSAT Fiber Networks, Inc. (a) 11,000 172
Merrill Lynch & Co., Inc.
2001 Warrants (a) 153,000 985
Tricom SA - ADR (a) 21,400 385
----------
2,138
----------
VENEZUELA - 0.3%
Companhia Anonima Nacional Telefonos de
Venezuela - ADR 31,446 912
Mavesa SA - ADR 151,875 399
Siderurgica Venezolana "Sivensa"
S.A.C.A. Class B - GDR (a) 13,167 17
----------
1,328
----------
ZIMBABWE - 0.1%
Delta Corp. 198
1,010,343 ----------
TOTAL COMMON STOCKS
(cost $336,577) 364,954
----------
PREFERRED STOCKS - 9.0%
ARGENTINA - 0.2%
Quilmes Industrial Quinsa
Societe - ADR 120,300 1,143
----------
BRAZIL - 8.3%
Aracruz Celulose SA - ADR 5,400 101
Banco Bradesco SA 294,333,984 2,152
Banco do Estado de Sao Paulo 33,680,444 1,250
Banco Itau SA 29,431,480 2,201
CIA Energetica De Minas Gerais 60,377,148 920
Companhia Brasileira de Distribuicao
Grupo Pao de Acucar - ADR 51,600 1,471
Companhia de Tecidos Norte de Minas (a) 1,492,066 112
Companhia Energetica de Minas
Gerais - ADR 25,356 388
Companhia Paranaense de
Energia - Copel 140,282,000 1,037
Companhia Paranaense de Energia Copel
Class B - ADR 22,000 162
Companhia Siderurgica de
Tubarao (a) 31,000,000 433
Companhia Vale Do Rio
Doce Series A 73,300 1,815
Companmia Cervejaria Brahma 927,000 673
Coteminas (Cia Tec) 6,075,105 454
Eletropaulo Metropolitana-Electricidade
de Sao Paulo SA 17,910,000 1,032
Embratel Participacoes SA 12,591,500 282
Embratel Participacoes SA - ADR 97,434 2,192
Gerdau SA 9,300,000 225
Itausa Investimentos Itau SA 653,000 561
Marcopolo SA 521,000 750
Petroleo Brasileiro SA 13,607,000 3,241
Tele Celular Sul Participacoes SA 48,438,300 190
Tele Centro Sul Participacoes SA 29,926,600 391
Tele Centro Sul Participacoes
SA - ADR 29,900 1,906
Tele Norte Leste Participacoes SA 27,795,000 569
Tele Norte Leste Participacoes
SA - ADR 70,442 1,255
Telecomunicacoes Brasileiras
SA - ADR 900 106
Telemig Celular Participacoes SA 58,772,000 169
Telemig Celular SA Class C 35,333 1
90 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
----------- ---------
Telesp Celular Participacoes SA 219,621,090 3,941
Telesp Celular Participacoes
SA - ADR 16,000 706
Telesp Participacoes SA 89,159,586 2,222
Uniao de Bancos Brasileiros
SA (Units) 7,100,000 346
Uniao de Bancos Brasileiros
SA - GDR 18,800 469
Usinas Siderurgicas de Minas
Gerais SA 291,100 1,217
Votorantim Celulose e Papel
SA - ADR 20,700,000 616
----------
35,556
----------
RUSSIA - 0.2%
Lukoil Holding Oil Co. - ADR 41,200 865
----------
SOUTH KOREA - 0.3%
Samsung Electronic, Ltd. 9,910 1,331
----------
TOTAL PREFERRED STOCKS
(cost $35,330) 38,895
----------
PRINCIPAL
AMOUNT
(000)
$
----------
LONG-TERM INVESTMENTS - 0.0%
UNITED STATES - 0.0%
Far Eastern Textile
Zero Coupon due 01/26/05 65 65
----------
TOTAL LONG-TERM INVESTMENTS
(cost $65) 65
----------
SHORT-TERM INVESTMENTS - 5.6%
UNITED STATES - 5.6%
Frank Russell Investment Company Money
Market Fund, 23,908
due on demand (b) 23,908 23,908
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $23,908) 23,908
----------
TOTAL INVESTMENTS - 99.4%
(identified cost $395,880) 427,822
OTHER ASSETS AND LIABILITIES,
NET - 0.6% 2,360
----------
NET ASSETS - 100.0% 430,182
==========
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) This security has been valued by the Security Valuation Committee of the
Board of Trustees. It is possible that the estimated value may differ
significantly from the amount that might ultimately be realized.
Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
GDS - Global Depositary Share
144A - Represents private placement security for qualified buyers according to
rule 144A of the Securities Act of 1933.
Foreign Currency Abbreviations:
ARS - Argentine peso
BRL - Brazilian real
GRD - Greek drachma
ILS - Israeli shekel
KRW - South Korean won
MXN - Mexican peso
PHP - Philippine peso
THB - Thailand baht
TRL - Turkish lira
USD - United States dollar
ZAR - South African rand
See accompanying notes which are an integral part of the financial statements.
Emerging Markets Funds 91
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Market
% of Value
Net (000)
Industry Diversification Assets $
---------- ----------
Auto & Transportation 1.2% 5,127
Consumer Discretionary 7.1 30,457
Consumer Staples 6.7 28,625
Financial Services 19.3 82,892
Health Care 1.3 5,794
Integrated Oils 2.3 9,760
Materials & Processing 9.9 42,674
Miscellaneous 2.7 11,799
Other Energy 3.8 16,472
Producer Durables 6.4 27,323
Technology 10.8 46,548
Utilities 22.3 96,378
Short-Term Investments 5.6 23,908
Long-Term Investments -- 65
---------- ----------
Total Investments 99.4 427,822
Other Assets and
Liabilites, net 0.6 2,360
---------- ----------
Net Assets 100.0% 430,182
========== ==========
MARKET
% OF VALUE
NET (000)
GEOGRAPHIC DIVERSIFICATION ASSETS $
-------- ---------
Africa 6.2% 26,812
Europe 7.1 30,691
Latin America 28.2 121,407
Middle East 16.5 70,830
Pacific Basin 32.6 140,187
Other 3.2 13,922
Short-Term Investments 5.6 23,908
Long-Term Investments -- 65
-------- ---------
Total Investments 99.4 427,822
Other Assets and Liabilities,
net 0.6 2,360
-------- ---------
Net Assets 100.0% 430,182
======== =========
Foreign Currency Exchange Spot Contracts
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------ ---------------- ---------- --------------
USD 72 BRL 129 05/02/00 $ (1)
USD 53 BRL 97 05/03/00 --
USD 316 GRD 115 05/02/00 (5)
USD 61 GRD 23 05/02/00 --
USD 134 GRD 148,370 05/01/00 --
USD 107 MXN 1,008 05/02/00 --
USD 103 MXN 975 05/02/00 --
USD 12 PHP 500 05/02/00 --
USD 31 THB 1,177 05/02/00 --
USD 42 THB 1,593 05/02/00 --
USD 310 TRL 189,200,000 05/01/00 --
USD 266 ZAR 1,800 05/02/00 --
ARS 25 USD 25 05/02/00 --
ARS 13 USD 13 05/03/00 --
BRL 136 USD 76 05/02/00 --
BRL 469 USD 259 05/02/00 (1)
BRL 626 USD 345 05/02/00 (2)
ILS 52 USD 13 05/01/00 --
ILS 67 USD 17 05/01/00 --
KRW 53,371 USD 48 05/01/00 --
KRW 147,727 USD 133 05/01/00 --
KRW 130,804 USD 118 05/01/00 --
MXN 1,159 USD 123 05/02/00 --
PHP 773 USD 19 05/02/00 --
PHP 2,345 USD 57 05/03/00 --
ZAR 259 USD 38 05/02/00 --
ZAR 228 USD 33 05/02/00 (1)
-------------
$ (10)
=============
See accompanying notes which are an integral part of the financial statements.
92 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
ASSETS
Investments at market (identified cost $395,880)............. $ 427,822
Cash......................................................... 194
Foreign currency holdings (identified cost $4,740)........... 4,717
Receivables:
Dividends................................................... 1,158
Investments sold............................................ 4,743
Fund shares sold............................................ 1,266
Prepaid expenses............................................. 5
---------
Total assets............................................. 439,905
LIABILITIES
Payables:
Investments purchased......................... $ 8,304
Fund shares redeemed.......................... 546
Accrued fees to affiliates.................... 642
Other accrued expenses........................ 221
Unrealized depreciation on foreign currency
exchange spot contracts....................... 10
-------
Total liabilities......................................... 9,723
---------
NET ASSETS................................................... $ 430,182
=========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment
income........................................................ $ (4,688)
Accumulated net realized gain (loss)........................... (50,368)
Unrealized appreciation (depreciation) on:
Investments................................................... 31,942
Foreign currency-related transactions......................... (46)
Shares of beneficial interest.................................. 375
Additional paid-in capital..................................... 452,967
---------
NET ASSETS..................................................... $ 430,182
=========
NET ASSET VALUE, offering and redemption price per share:
Class C ($2,034,862 divided by 178,002 shares of $.01 par
value shares of beneficial interest outstanding).............. $ 11.43
=========
Class E ($5,918,518 divided by 515,821 shares of $.01 par
value shares of beneficial interest outstanding).............. $ 11.47
=========
Class S ($422,228,276 divided by 36,789,578 shares of $.01 par
value shares of beneficial interest outstanding).............. $ 11.48
=========
See accompanying notes which are an integral part of the financial statements.
Emerging Markets Fund 93
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF OPERATIONS
Amounts in Thousands
<TABLE>
<CAPTION>
Four Months Ended
April 30, 2000 Year Ended
(Unaudited) December 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Dividends..................................... $ 2,945 $ 7,347
Dividends from Money Market Fund.............. 339 894
Less foreign taxes withheld................... (261) (607)
----------------- -----------------
Total investment income..................... 3,023 7,634
----------------- -----------------
EXPENSES
Advisory fees................................. 1,714 4,046
Administrative fees........................... 75 177
Custodian fees................................ 492 1,137
Distribution fees - Class C................... 5 4
Transfer agent fees........................... 459 1,161
Professional fees............................. 24 48
Registration fees............................. 31 95
Shareholder servicing fees - Class C.......... 2 1
Shareholder servicing fees - Class E.......... 5 8
Trustees' fees................................ 5 6
Miscellaneous................................. 31 72
----------------- -----------------
Total expenses.............................. 2,843 6,755
----------------- -----------------
Net investment income.......................... 180 879
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments................................... 24,050 (2,140)
Foreign currency-related transactions......... (297) (2,085)
----------------- -----------------
23,753 (4,225)
----------------- -----------------
Net change in unrealized appreciation
(depreciation) on:
Investments................................... (60,398) 153,342
Foreign currency-related transactions......... (35) (7)
----------------- -----------------
(60,433) 153,335
----------------- -----------------
Net realized and unrealized gain (loss)......... (36,680) 149,110
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS...................................... $ (36,500) $149,989
================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
94 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income............ $ 180 $ 879 $ 4,050
Net realized gain (loss)......... 23,753 (4,225) (57,573)
Net change in unrealized
appreciation (depreciation)...... (60,433) 153,335 (57,066)
----------------- ----------------- -----------------
Net increase (decrease) in net
assets from operations......... (36,500) 149,989 (110,589)
----------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income
Class C........................ (3) -- --
Class E........................ (22) (16) --
Class S........................ (2,029) (3,161) (2,472)
----------------- ----------------- -----------------
Net decrease in net assets
from distributions........... (2,054) (3,177) (2,472)
----------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net
assets from share transactions... 29,997 (2,461) 74,397
----------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS........................ (8,557) 144,351 (38,664)
NET ASSETS
Beginning of period.............. 438,739 294,388 333,052
----------------- ----------------- -----------------
End of period (including
accumulated distributions in
excess of net investment income
of $4,688 and $2,814, and
undistributed net investment
income of $495, respectively)... $ 430,182 $ 438,739 $ 294,388
================= ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statments.
Emerging Markets Fund 95
<PAGE>
EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999*
------- -------
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $12.47 $ 8.07
------- -------
INCOME FROM OPERATIONS
Net investment income (loss)(a) . . . . . . . . . . . . . (.03) (.12)
Net realized and unrealized gain (loss) . . . . . . . . . (.99) 4.57
------ - -------
Total income from operations. . . . . . . . . . . . . . (1.02) 4.45
------- -------
DISTRIBUTION
From net investment income. . . . . . . . . . . . . . . . (.02) (.05)
------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $11.43 $12.47
======= =======
TOTAL RETURN (%)(b). . . . . . . . . . . . . . . . . . . . (8.20) 55.43
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands). . . . . . . . . 2,035 1,631
Ratios to average net assets (%)(c):
Operating expenses. . . . . . . . . . . . . . . . . . . 2.89 2.91
Net investment income (loss). . . . . . . . . . . . . . (.80) (1.23)
Portfolio turnover rate (%) . . . . . . . . . . . . . . . 28.17 94.85
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of operations) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
96 Emerging Markets Fund
<PAGE>
EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
Years Ended
December 31,
------------------
2000* 1999 1998**
-------- -------- -------
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 12.51 $ 8.48 $ 7.37
-------- -------- -------
INCOME FROM OPERATIONS
Net investment income (loss)(a) . . . . . . . . (.01) (.04) (.02)
Net realized and unrealized gain (loss) . . . . (.99) 4.14 1.13
-------- -------- -------
Total income from operations . . . . . . . . (1.00) 4.10 1.11
-------- -------- -------
DISTRIBUTIONS
From net investment income . . . . . . . . . . (.04) (.07) --
-------- -------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 11.47 $ 12.51 $ 8.48
======== ======== =======
TOTAL RETURN (%)(b) . . . . . . . . . . . . . . (8.01) 48.71 15.06
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) . . . 5,919 6,314 39
Ratios to average net assets (%)(c)(d):
Operating expenses . . . . . . . . . . . . . 2.14 2.17 --
Net investment income (loss) . . . . . . . . (.15) (.40) --
Portfolio turnover rate (%) . . . . . . . . . . 28.17 94.85 59.35
* For the four months ended April 30, 2000 (Unaudited).
** For the period September 22, 1998 (commencement of sale) to December 31,
1998.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) The ratios for the period ended December 31, 1998 are not meaningful due
to the Class's short period of operation.
Emerging Markets Fund 97
<PAGE>
EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
Year Ended December 31,
------------------------------------------------------
2000* 1999 1998 1997 1996 1995
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD . . . . . $ 12.52 $ 8.48 $ 11.79 $ 12.35 $ 11.16 $ 12.25
-------- -------- -------- -------- -------- --------
INCOME FROM OPERATIONS
Net investment income(a) . . .01 .03 .12 .14 .10 .11
Net realized and unrealized
gain (loss) . . . . . . . (.99) 4.10 (3.35) (.56) 1.26 (1.12)
-------- -------- -------- -------- -------- --------
Total income from
operations . . . . . . . (.98) 4.13 (3.23) (.42) 1.36 (1.01)
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS
From net investment
income . . . . . . . . . . (.06) (.09) (.08) (.14) (.17) (.05)
From net realized gain . . . -- -- -- -- -- (.03)
-------- -------- -------- -------- -------- --------
Total distributions . . . (.06) (.09) (.08) (.14) (.17) (.08)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF
PERIOD . . . . . . . . . . $11.48 $12.52 $8.48 $11.79 $12.35 $11.16
======== ======== ======== ======== ======== ========
TOTAL RETURN (%)(b)(d) . . . (7.97) 49.03 (27.57) (3.45) 12.26 (8.21)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(in thousands) . . . . . . 422,228 430,794 294,349 333,052 271,490 172,673
Ratios to average net assets
(%)(c)(d):
Operating expenses,
net . . . . . . . . . . 1.89 1.91 1.75 1.64 1.71 1.75
Operating expenses,
gross . . . . . . . . . 1.89 1.91 1.75 1.64 1.72 1.80
Net investment income . . .13 .26 1.20 .87 .77 .88
Portfolio turnover rate (%). 28.17 94.85 59.35 50.60 34.62 71.16
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) 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.
98 Emerging Markets Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
COMMON STOCKS (b) - 96.9%
APARTMENT - 26.3%
Amli Residential Properties Trust 267,500 6,086
Apartment Investment & Management Co.
Class A 755,115 30,016
Archstone Communities Trust 324,024 7,007
Avalonbay Communities, Inc. 899,330 35,186
Brookfield Properties Corp. 340,600 4,470
Camden Property Trust 176,029 4,995
Equity Residential Properties Trust 695,288 31,636
Essex Property Trust, Inc. 323,000 12,476
Post Properties, Inc. 397,546 16,697
Smith (Charles E.) Residential
Realty, Inc. 450,150 16,965
Summit Properties, Inc. 137,100 2,733
Sun Communities, Inc. 58,800 1,948
----------
170,215
----------
HEALTH CARE - 4.5%
Health Care Property Investors, Inc. 487,200 13,581
Manor Care, Inc. (a) 483,000 5,766
Nationwide Health Properties, Inc. 718,200 9,516
----------
28,863
----------
HOTELS/LEISURE - 7.0%
Golf Trust of America, Inc. 44,200 763
Hospitality Properties Trust 220,100 4,897
Host Marriott Corp. 510,400 5,455
Starwood Hotels & Resorts Worldwide,
Inc. 1,207,400 34,335
----------
45,450
----------
LEASING - 0.9%
Entertainment Properties Trust 41,300 563
Franchise Finance Corp. of America 79,500 1,888
MeriStar Hospitality Corp. 182,900 3,612
----------
6,063
----------
OFFICE/INDUSTRIAL - 38.6%
AMB Property Corp. 567,500 12,521
Arden Realty Group, Inc. 1,012,250 22,523
Boston Properties, Inc. 481,850 16,805
Cabot Industrial Trust 78,300 1,507
CarrAmerica Realty Corp. 140,400 3,335
Cornerstone Properties, Inc. 405,600 7,402
Cousins Properties, Inc. 97,600 3,831
Crescent Operating, Inc. (a) 26,300 45
Crescent Real Estate Equities, Inc. 441,400 7,559
Duke Realty Investments, Inc. 340,719 7,389
Equity Office Properties Trust 1,519,048 41,299
Frontline Capital Group (a) 238,600 4,086
Highwoods Properties, Inc. 437,500 9,926
Kilroy Realty Corp. 182,600 4,405
Liberty Property Trust 452,200 11,192
Mack-Cali Realty Corp. 613,900 15,808
Prentiss Properties Trust 504,100 11,972
ProLogis Trust 803,818 15,825
PS Business Parks, Inc. 176,100 3,918
Reckson Associates Realty Corp. 597,400 11,985
SL Green Realty Corp. 333,600 8,569
Spieker Properties, Inc. 590,000 26,144
Trizec Hahn Corp. 142,000 2,308
----------
250,354
----------
OUTLET CENTERS - 0.4%
Chelsea GCA Realty, Inc. 2,881
88,300 ----------
REGIONAL MALLS - 8.3%
General Growth Properties, Inc. 364,500 11,983
Macerich Co. (The) 397,900 9,226
Rouse Co. (The) 227,100 5,323
Simon Property Group, Inc. 624,350 15,843
Taubman Centers, Inc. 214,300 2,558
Urban Shopping Centers, Inc. 268,500 8,659
----------
53,592
----------
SELF STORAGE - 2.6%
Public Storage, Inc. 652,756 14,605
Shurgard Storage Centers, Inc.
Class A 88,900 2,328
----------
16,933
----------
SHOPPING CENTER - 8.3%
Bradley Real Estate, Inc. 163,900 2,960
Federal Realty Investment Trust 343,000 7,289
Glimcher Realty Trust 39,600 545
Kimco Realty Corp. 253,800 10,104
Philips International Realty Corp. 86,800 1,427
Regency Realty Corp. 120,300 2,662
Vornado Realty Trust 838,100 28,914
----------
53,901
----------
TOTAL COMMON STOCKS
(cost $601,770) 628,252
----------
100 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
SHORT-TERM INVESTMENTS - 4.6%
Frank Russell Investment Company
Money Market Fund,
due on demand (c) 29,882 29,882
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $29,882) 29,882
---------
TOTAL INVESTMENTS - 101.5%
(identified cost $631,652) 658,134
OTHER ASSETS AND LIABILITIES,
NET - (1.5%) (9,589)
---------
648,545
NET ASSETS - 100.0% =========
(a) Nonincome-producing security.
(b) All common stocks held are Real Estate Investment Trusts (REIT) with the
exception of the following:
Brookfield Properties Corp.
Crescent Operating, Inc.
Host Marriot Corp.
Manor Care, Inc.
Rouse Co. (The)
Starwood Hotels & Resorts Worldwide, Inc.
Trizec Hahn Corp.
(c) At amortized cost, which approximates market.
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 101
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $631,652) ...................................... $ 658,134
Cash .................................................................................. 147
Receivables:
Dividends ............................................................................ 949
Investments sold ..................................................................... 2,900
Fund shares sold ..................................................................... 941
Prepaid expenses ...................................................................... 9
---------
Total assets ....................................................................... 663,080
LIABILITIES
Payables:
Investments purchased ................................................... $ 12,805
Fund shares redeemed .................................................... 1,072
Accrued fees to affiliates .............................................. 605
Other accrued expenses .................................................. 53
---------
Total liabilities .................................................................. 14,535
---------
NET ASSETS ............................................................................ $ 648,545
=========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income .......................... $ (4,784)
Accumulated net realized gain (loss) .................................................. (36,847)
Unrealized appreciation (depreciation) on investments ................................. 26,482
Shares of beneficial interest ......................................................... 267
Additional paid-in capital ............................................................ 663,427
---------
NET ASSETS ............................................................................ $ 648,545
=========
NET ASSET VALUE, offering and redemption price per share:
Class C ($2,419,196 divided by 100,732 shares of $.01 par value
shares of beneficial interest outstanding) ......................................... $ 24.02
=========
Class E ($8,008,124 divided by 331,638 shares of $.01 par value
shares of beneficial interest outstanding) ......................................... $ 24.15
=========
Class S ($638,117,853 divided by 26,279,112 shares of $.01 par value
shares of beneficial interest outstanding) ......................................... $ 24.28
=========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
102 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Dividends ............................................................. $ 10,990 $ 38,576
Dividends from Money Market Fund ...................................... 671 1,751
Interest .............................................................. -- 2
-------- --------
Total investment income ............................................. 11,661 40,329
EXPENSES
Advisory fees ......................................................... 1,619 4,886
Administrative fees ................................................... 102 308
Custodian fees ........................................................ 76 250
Distribution fees ..................................................... 5 6
Transfer agent fees ................................................... 449 1,339
Professional fees ..................................................... 16 28
Registration fees ..................................................... 35 123
Shareholder servicing fees - Class C .................................. 2 2
Shareholder servicing fees - Class E .................................. 6 11
Trustees' fees ........................................................ 6 7
Miscellaneous ......................................................... 24 71
-------- --------
Total expenses ...................................................... 2,340 7,031
-------- --------
Net investment income .................................................. 9,321 33,298
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments ................................ (12,125) (22,242)
Net change in unrealized appreciation (depreciation) on investments .... 48,902 (10,653)
-------- --------
Net realized and unrealized gain (loss) ................................ 36,777 (32,895)
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .................. $ 46,098 $ 403
======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 103
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
---------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ............................................... $ 9,321 $ 33,298 $ 30,253
Net realized gain (loss) ............................................ (12,125) (22,242) (1,281)
Net change in unrealized
appreciation (depreciation) ......................................... 48,902 (10,653) (137,901)
--------- --------- ---------
Net increase (decrease) in net assets from operations ............. 46,098 403 (108,929)
--------- --------- ---------
DISTRIBUTIONS
From net investment income
Class C ........................................................... (27) (67) --
Class E ........................................................... (100) (358) (26)
Class S ........................................................... (7,696) (42,467) (26,915)
From net realized gain
Class E ........................................................... -- -- (7)
Class S ........................................................... -- -- (9,488)
--------- --------- ---------
Net decrease in net assets from distributions ................... (7,823) (42,892) (36,436)
--------- --------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ....... 12,065 63,525 106,663
--------- --------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS .......................... 50,340 21,036 (38,702)
NET ASSETS
Beginning of period ................................................. 598,205 577,169 615,871
--------- --------- ---------
End of period (including accumulated distributions in excess of
net investment income of $4,784 and $6,282, and undistributed
net investment income of $3,312, respectively) .................... $ 648,545 $ 598,205 $ 577,169
========= ========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
104 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
--------- --------
NET ASSET VALUE, BEGINNING OF PERIOD ................. $ 22.69 $ 24.13
--------- --------
INCOME FROM OPERATIONS
Net investment income (a) ........................... .28 1.08
Net realized and unrealized gain (loss) ............. 1.34 (1.06)
--------- --------
Total income from operations ...................... 1.62 .02
--------- --------
DISTRIBUTIONS
From net investment income .......................... (.29) (1.46)
--------- --------
NET ASSET VALUE, END OF PERIOD ....................... $ 24.02 $ 22.69
======== ========
TOTAL RETURN (%)(b) .................................. 7.19 .19
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ............ 2,419 1,771
Ratios to average net assets (%)(c):
Operating expenses ................................ 2.14 2.14
Net investment income ............................. 3.64 5.12
Portfolio turnover rate (%) ......................... 32.96 42.69
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are annualized.
(c) The ratios for periods less than one year are not annualized.
Real Estate Securities Fund 105
<PAGE>
REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
---------------------------------------------------------
2000* 1999 1998 1997 1996**
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ...... $ 22.76 $ 24.27 $ 31.02 $ 29.18 $ 26.67
--------- --------- --------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a) ................ .33 1.28 1.26 1.14 .24
Net realized and unrealized gain (loss) .. 1.36 (1.24) (6.12) 3.95 3.85
--------- --------- --------- --------- ---------
Total income from operations ........... 1.69 .04 (4.86) 5.09 4.09
--------- --------- --------- --------- ---------
DISTRIBUTIONS
From net investment income ............... (.30) (1.55) (1.43) (1.04) (.32)
From net realized gain ................... -- -- (.46) (2.21) (1.26)
--------- --------- --------- --------- ---------
Total distributions .................... (.30) (1.55) (1.89) (3.25) (1.58)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD ............ $ 24.15 $ 22.76 $ 24.27 $ 31.02 $ 29.18
========= ========= ========= ========= =========
TOTAL RETURN (%)(b) ....................... 7.49 .30 (16.25) 18.20 15.75
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands).. 8,008 7,134 843 388 101
Ratios to average net assets (%)(c):
Operating expenses ..................... 1.39 1.39 1.47 1.71 1.77
Net investment income .................. 4.35 5.42 4.90 3.94 5.31
Portfolio turnover rate (%) .............. 32.96 42.69 42.58 49.40 51.75
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period November 4, 1996 (commencement of sale) to December 31,
1996.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
106 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .... $ 22.86 $ 24.44 $ 30.86 $ 29.19 $ 23.51 $ 22.53
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) .............. .35 1.30 1.34 1.36 1.39 1.32
Net realized and unrealized gain (loss) 1.36 (1.20) (6.13) 3.93 6.89 1.03
---------- ---------- ---------- ---------- ---------- ----------
Total income from operations ......... 1.71 .10 (4.79) 5.29 8.28 2.35
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS
From net investment income ............. (.29) (1.68) (1.17) (1.41) (1.34) (1.35)
From net realized gain ................. -- -- (.46) (2.21) (1.26) (.02)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions .................. (.29) (1.68) (1.63) (3.62) (2.60) (1.37)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD .......... $ 24.28 $ 22.86 $ 24.44 $ 30.86 $ 29.19 $ 23.51
========== ========== ========== ========== ========== ==========
TOTAL RETURN (%)(b) ..................... 7.56 .55 (15.94) 18.99 36.81 10.87
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) 638,118 589,300 576,326 615,483 445,619 290,990
Ratios to average net assets (%)(c):
Operating expenses ................... 1.14 1.14 1.05 1.02 1.04 1.04
Net investment income ................ 4.58 5.41 4.93 4.57 5.64 6.10
Portfolio turnover rate (%) ............ 32.96 42.69 42.58 49.40 51.75 23.49
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Real Estate Securities Fund 107
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ------
LONG-TERM INVESTMENTS - 94.0%
ASSET-BACKED SECURITIES - 31.1%
ABFS Equipment Contract Trust
Series 1998-A Class A
6.100% due 10/15/05 388 380
American Express Credit Account
Master Trust
Series 1996-1, Class A
6.800% due 12/15/03 4,960 4,937
Series 1997-1, Class A
6.400% due 04/15/05 7,500 7,355
Arcadia Automobile Receivables Trust
Series 1997-C Class A5
6.550% due 06/15/05 1,280 1,261
Banc One Auto Grantor Trust
Series 1997-A, Class A
6.270% due 11/20/03 1,509 1,503
Barnett Auto Trust
Series 1997-A Class A3
6.030% due 11/15/01 213 212
Boston Edison Co.
Series 1999-1 Class A2
6.450% due 09/15/05 8,000 7,780
California Infrastructure PG&E
Series 1997-1 Class A3
6.150% due 06/25/02 94 94
Capital Auto Receivables
Asset Trust
Series 2000-1 Class A4
7.000% due 01/17/05 1,225 1,220
Captec Franchise Trust
Series 1999-1 Class A1
6.504% due 05/25/05 (a) 1,309 1,269
Case Equipment Loan Trust
Series 1997-B, Class C
6.410% due 09/15/04 69 69
Chase Manhattan Auto Owner Trust
Series 1998-B Class A4
5.800% due 02/17/03 2,000 1,964
Chase Manhattan Credit Card
Master Trust
Series 1996-3 Class A
7.040% due 02/15/05 11,000 10,962
Chevy Chase Auto Receivables Trust
Series 1997-1, Class A
6.500% due 10/15/03 600 599
Series 1997-2, Class A
6.350% due 01/15/04 200 199
Series 1997-3, Class A
6.200% due 03/20/04 (a) 418 415
Citibank Credit Card Master Trust I
Series 1997-2 Class A
6.550% due 02/15/04 11,500 11,342
Copelco Capital Funding Corp.
Series 1997-A, Class A3
6.270% due 04/20/05 125 125
Series 1999-A Class A2
5.500% due 03/15/01 940 938
Series 1999-A Class A3
5.665% due 03/15/02 750 743
Series 1999-A Class A5
5.950% due 06/15/04 1,250 1,197
Series 1999-B Class A3
6.610% due 12/18/02 850 845
Delta Funding Home Equity
Loan Trust
Series 1998-1 Class A2A
6.089% due 05/25/30 (a) 150 150
Discover Card Master Trust I
Series 1996-4 Class A
6.505% due 10/16/13 (a) 1,300 1,304
Series 1998-7 Class A
5.600% due 05/15/06 2,000 1,889
Series 1999-1 Class B
5.550% due 08/15/04 (a) 650 627
First Security Auto Grantor Trust
Series 1997-A, Class A
6.300% due 08/15/03 240 239
First Security Automobile
Owner Trust
Series 1999-2 Class A3
6.000% due 10/15/03 1,750 1,738
FMAC Loan Receivables Trust
Series 1998-CA Class A1
5.990% due 11/15/04 661 631
Ford Credit Automobile
Owner Trust
Series 1997-B Class B
6.400% due 05/15/02 825 816
Series 1999-B Class A4
5.800% due 06/15/02 1,225 1,211
Series 1999-C Class A4
6.080% due 09/16/02 4,675 4,617
Series 1999-D Class A4
6.400% due 10/15/02 1,100 1,086
Series 2000-A Class A3
6.820% due 06/17/02 1,600 1,597
Franchise Loan Trust
Series 1998-I Class A1
6.240% due 07/15/04 601 581
108 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Green Tree Financial Corp.
Series 1995-9 Class A5
6.800% due 01/15/26 (a) 1,300 1,288
Series 1998-1, Class A3
5.950% due 11/01/29 1,250 1,239
Series 1998-6 Class A2
5.910% due 01/01/07 207 207
Honda Automobile Lease Trust
Series 1999-A Class A3
6.100% due 01/15/02 3,500 3,480
Huntington Auto Trust
Series 2000-A Class A3
7.330% due 07/15/04 2,200 2,204
IMC Home Equity Loan Trust
Series 1998-1 Class A3
6.410% due 04/20/18 1,050 1,038
MBNA Master Credit Card Trust
Series-F Class A
6.600% due 11/15/04 10,000 9,863
Mellon Auto Grantor Trust
Series 2000-1 Class A
7.180% due 10/15/06 1,630 1,631
NationsBank Credit Card Master Trust
Series 1993-2 Class A
6.000% due 12/15/05 8,400 8,051
Navistar Financial Corp. Owner Trust
Series 1999-A Class A3
5.950% due 04/15/03 1,675 1,653
Newcourt Equipment Trust Securities
Series 1998-1 Class A3
5.240% due 12/20/02 1,014 1,002
Series 1998-2 Class A3
5.450% due 10/15/02 475 471
Nissan Automobile Receivables Owner
Trust
Series 1999-A Class A3
6.470% due 09/15/03 1,025 1,011
NPF VI Inc.
Series 1998-1A, Class A
6.220% due 06/01/02 1,000 988
Olympic Automobile Receivables Trust
Series 1996-D Class CTFS
6.125% due 04/15/02 2,055 2,017
PBG Equipment Trust
Series 1A Class A
6.270% due 01/20/12 896 863
Pegasus Aviation Lease Securitization
Series 2000-1 Class A1
6.721% due 03/25/15 (a) 708 708
PNC Student Loan Trust I
Series 1997-2 Class A3
6.314% due 01/25/01 2,066 2,064
Premier Automobile Trust
Series 1999-1 Class A3
5.690% due 11/08/02 8,500 8,388
Series 1999-3 Class A4
6.430% due 03/08/04 (a) 1,600 1,566
Ryder Vehicle Lease Trust
Series 1998-A, Class A
6.100% due 09/15/08 (a) 532 522
Series 1999-A Class A4
6.890% due 04/15/05 1,100 1,086
Sears Credit Account Master Trust
Series 1995-2 Class A
8.100% due 06/15/04 1,613 1,621
Series 1998-1 Class A
5.800% due 08/15/05 1,500 1,487
Series 1999-2 Class A
6.350% due 02/16/07 1,400 1,366
Sears Credit Account Master Trust II
Series 1996-4 Class A
6.450% due 10/16/06 5,000 4,944
Team Fleet Financing Corp.
Series 1998-2A Class A
6.070% due 07/25/02 1,625 1,601
The Money Store Auto Grantor Trust
Series 1997-4, Class A2
6.350% due 03/20/04 28 28
The Money Store Small Business
Administration Loan Trust
Series 1996-2 Class A
6.277% due 04/15/24 (a) 697 692
Series 1997-1 Class A
6.211% due 01/15/25 (a) 996 989
Series 1997-1 Class B
6.688% due 01/15/25 (a) 664 660
UCFC Home Equity Loan
Series 1993-B1 Class A-1
6.075% due 07/25/14 36 35
USAA Automobile Loan
Grantor Trust
Series 1999-1 Class A
6.100% due 02/15/06 (a) 1,749 1,727
Wilshire Funding Corp.
Series 1998-WFC2 Class A3
7.000% due 12/28/37 705 695
Short Term Bond Fund 109
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
World Omni Automobile
Lease Securitization Trust
Series 1999-A Class A1
6.254% due 02/15/02 (a) 1,600 1,600
Series 1997-A, Class A4
6.900% due 06/25/03 2,123 2,118
--------
142,798
--------
CORPORATE BONDS AND NOTES - 42.5%
Aerofreighter Finance Trust
7.850% due 10/30/09 630 627
Aristar, Inc.
6.125% due 12/01/00 1,225 1,218
Associates Corp. of North America
5.875% due 07/15/02 9,500 9,176
6.500% due 07/15/02 2,700 2,642
5.750% due 11/01/03 1,000 943
AT&T Capital Corp.
6.250% due 05/15/01 1,750 1,729
Avon Energy Partners Holdings
6.730% due 12/11/02 310 303
Banco De Latinoamerica
6.500% due 04/02/01 2,200 2,184
Bank of America Corp.
Series H
7.350% due 04/03/02 11,300 11,278
Bank One Corp.
6.400% due 08/01/02 2,725 2,659
Bear Stearns Co., Inc.
9.375% due 06/01/01 2,000 2,039
Business Loan Center, Inc.
Series 1998-1A
6.750% due 04/02/05 1,100 1,101
Carramerica Realty Corp.
6.625% due 10/01/00 1,575 1,564
Chase Manhattan Corp.
10.125% due 11/01/00 2,009 2,041
CIT Group Holdings, Inc.
6.125% due 12/15/00 8,100 8,050
CIT Group, Inc.
6.500% due 06/14/02 3,800 3,724
Coca-Cola Put Asset Trust
6.000% due 03/15/01 1,950 1,927
Comdisco, Inc.
6.000% due 01/30/02 2,000 1,933
Conseco, Inc.
6.400% due 06/15/01 1,850 1,314
Cox Communications, Inc.
7.000% due 08/15/01 2,000 1,984
DaimlerChrysler North America
Holding Corp.
7.125% due 03/01/02 12,000 11,933
6.380% due 08/23/02 (a) 2,250 2,256
Donaldson, Lufkin & Jenrette, Inc.
5.875% due 04/01/02 1,150 1,109
El Paso Energy Corp.
12.000% due 12/15/00 1,925 1,955
Series B
6.625% due 07/15/01 1,050 1,037
Enron Corp.
6.450% due 11/15/01 1,825 1,792
ERAC USA Finance Co.
6.375% due 05/15/03 1,900 1,825
Finova Capital Corp.
6.625% due 09/15/01 2,000 1,934
First Bank South Dakota
6.200% due 12/20/00 (a) 500 500
Firstar Corp.
6.500% due 07/15/02 3,145 3,081
Fleet Credit Card, LLC
6.450% due 10/30/00 250 249
Ford Motor Credit Corp.
7.250% due 01/15/03 12,000 11,868
6.700% due 07/16/04 1,600 1,539
Franchise Finance Corp.
7.000% due 11/30/00 1,575 1,567
General Electric Capital Corp.
5.430% due 02/25/02 4,000 3,873
Series A
5.180% due 02/01/02 2,380 2,291
6.520% due 10/08/02 2,500 2,455
5.880% due 05/19/03 5,500 5,283
General Motors Acceptance Corp.
5.350% due 04/16/01 12,000 11,793
6.850% due 04/17/01 750 747
8.500% due 01/01/03 1,500 1,528
Hertz Corp.
6.625% due 07/15/00 900 899
Household Finance Corp.
6.125% due 07/15/02 (a) 450 436
IBM Credit Corp.
6.450% due 11/12/02 1,300 1,273
IMC Global, Inc.
6.625% due 10/15/01 500 489
International Lease Finance Corp.
8.875% due 04/15/01 1,500 1,521
5.625% due 05/01/02 1,000 966
Lehman Brothers Holdings, Inc.
Series F
7.000% due 05/15/03 1,000 977
Short Term Bond Fund 110
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
MBNA Corp.
Series B
6.500% due 09/15/00 1,375 1,368
Metropolitan Life Insurance Co.
6.300% due 11/01/03 730 702
Midlantic Corp.
9.200% due 08/01/01 1,123 1,144
Morgan Stanley Dean Witter & Co.
7.125% due 01/15/03 935 925
5.625% due 01/20/04 1,750 1,641
Nabisco, Inc.
6.000% due 02/15/01 415 404
National Westminster Bank PLC
9.450% due 05/01/01 5,500 5,619
NationsBank Corp.
8.125% due 06/15/02 2,750 2,781
News America Holdings, Inc.
7.450% due 06/01/00 775 775
Norwest Financial, Inc.
6.375% due 09/15/02 1,000 978
Panamsat Corp.
6.000% due 01/15/03 1,100 1,037
Paramount Communications, Inc.
7.500% due 01/15/02 875 869
Popular North America, Inc.
Series D
6.875% due 06/15/01 1,100 1,089
Procter & Gamble
9.625% due 01/14/01 6,920 7,022
Salomon Smith Barney
Holdings, Inc.
6.625% due 07/01/02 75 74
6.500% due 10/15/02 300 293
Salomon, Inc.
7.750% due 05/15/00 1,000 999
Sears Roebuck Acceptance Corp.
Series II
6.690% due 04/30/01 1,800 1,788
Series III
6.820% due 10/17/02 6,000 5,909
Suntrust Banks, Inc.
8.250% due 07/15/02 1,825 1,842
Tele-Communications, Inc.
8.250% due 01/15/03 2,000 2,046
Textron, Inc.
6.750% due 09/15/02 11,000 10,796
US Bank National Association
Minnesota
6.350% due 09/28/01 2,000 1,972
US West Capital Funding, Inc.
6.875% due 08/15/01 1,230 1,220
Wal-Mart Stores, Inc.
6.150% due 08/10/01 2,300 2,271
Waste Management, Inc.
7.100% due 08/01/26 1,175 1,065
Wells Fargo Co.
6.500% due 09/03/02 1,500 1,467
WHX Corp.
9.375% due 11/15/03 1,700 1,759
--------
195,467
--------
EURODOLLAR BONDS - 2.7%
American Express Travel
6.410% due 10/24/01 (a) 1,500 1,497
Argentina, Republic of
Series B
Zero Coupon due 04/15/01 1,500 1,380
Diageo Capital PLC
6.625% due 06/24/04 545 527
Lehman Brothers Holdings, Inc.
6.089% due 06/10/03 (a) 2,278 2,238
Ontario, Province of
7.375% due 01/27/03 5,000 5,002
St. George Bank, Ltd.
Series E
6.235% due 11/29/01 (a) 2,000 1,998
--------
12,642
--------
MORTGAGE-BACKED SECURITIES - 10.5%
Asset Securitization Corp.
Series 1997-D5 Class A1A
6.500% due 02/14/41 839 823
Bank One Mortgage-backed
Pass-through
Series 2000-2 Class 4A
6.612% due 03/15/30 (a) 1,141 1,117
Bayview Financial Acquisition Trust
Series 1998-1, Class A1
7.010% due 05/25/29 880 858
Bear Stearns Mortgage
Securities, Inc.
Series 1996-6 Class A2
7.000% due 11/25/27 31 31
Chase Commercial Mortgage Securities
Corp.
Series 1997-2 Class A1
6.450% due 12/19/04 1,869 1,808
Citicorp Mortgage Securities, Inc.
Series 1994-4 Class A6
6.000% due 02/25/09 925 883
Short Term Bond Fund 111
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Deutsche Mortgage & Asset Receiving
Corp.
Series 1998-C1 Class A1
6.220% due 09/15/07 344 328
DLJ Mortgage Acceptance Corp.
Series 1995-CF2 Class A1A
6.650% due 12/17/27 331 328
Series 1996-CF2 Class A1A
6.860% due 11/12/21 585 572
Series 1997-CF1 Class A1A
7.400% due 05/15/06 1,070 1,063
Federal Home Loan Mortgage Corp.
6.961% due 2027 (a) 2,159 2,187
Federal Home Loan Mortgage Corp.
Participation Certificate
7.500% due 2002 2 2
9.000% due 2005 139 141
6.250% due 2007 31 30
6.500% due 2008 1,787 1,740
5.500% due 2009 2,283 2,148
7.000% due 2011 1,224 1,201
6.910% due 2027 (a) 858 864
Federal National Mortgage
Association
7.000% due 2004 565 557
8.750% due 2004 16 16
6.500% due 2008 1,469 1,430
5.500% due 2009 8,731 8,181
7.000% due 2009 1,445 1,419
8.000% due 2009 (a) 1,616 1,620
7.000% due 2014 (a) 624 610
7.500% due 2014 1,288 1,282
8.500% due 2014 628 635
Series 1998-32 Class TB
6.000% due 05/18/13 875 849
Goldman Sachs Mortgage
Securities Corp.
Series 2000-1 Class A
6.513% due 06/20/24 (a) 1,450 1,450
Government National Mortgage
Association
7.250% due 2006 1,181 1,180
7.000% due 2007 63 62
6.000% due 2008 805 767
7.000% due 2008 778 765
7.000% due 2009 1,927 1,909
8.250% due 2009 643 656
7.000% due 2011 428 419
7.000% due 2012 369 362
9.500% due 2017 547 577
Prudential Home Mortgage Securities
Series 1994-19, Class A2
7.050% due 05/25/24 248 247
Residential Accredited Loans, Inc.
Series 1997-QS7, Class A1
7.500% due 07/25/27 53 53
Series 1999-QS2 Class A3
6.500% due 02/25/29 499 472
Residential Asset Securitization Trust
Series 1998-A1 Class A1
7.000% due 03/25/28 152 151
Series 1998-A2, Class A1
6.750% due 04/25/28 346 342
Residential Funding Mortgage Securities
Series 1998-NS1 Class A2
6.375% due 01/25/09 710 700
Resolution Trust Corp. Mortgage
Pass-thru Certificate
Series 1995-2, Class C1
7.450% due 05/25/29 (a) 342 329
Structured Asset Mortgage
Investments, Inc.
Series 1998-9 Class 2A2
6.125% due 11/25/13 1,266 1,183
Union Planters Mortgage
Finance Corp.
Series 1998-A, Class A1
6.350% due 01/25/28 364 361
Series 1999-1 Class A1
6.250% due 04/01/29 507 482
Washington Mutual Step Up
Series 2000-1 Class A1
6.420% due 06/25/24 (a) 2,466 2,454
Wilshire Funding Corporation
Series 1997-WFC1, Class AI
7.250% due 08/25/27 388 387
--------
48,031
--------
112 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
MUNICIPAL BONDS - 0.5%
Missouri Higher Education
Loan Authority
Series 97 Class P
5.966% due 07/25/08 (a) 867 853
Philadelphia, Pennsylvania, Authority
for Industrial Development
Series 1997 Class A
6.488% due 06/15/04 1,381 1,266
--------
2,119
UNITED STATES GOVERNMENT AGENCIES -
1.4%
Federal National Mortgage
Association
6.140% due 06/12/02 2,900 2,848
5.250% due 01/15/03 1,000 953
5.125% due 02/13/04 2,600 2,420
--------
6,221
--------
UNITED STATES GOVERNMENT TREASURIES
- 1.0%
United States Treasury Notes
6.500% due 02/28/02 3,530 3,517
3.625% due 01/15/08 1,260 1,227
--------
4,744
--------
YANKEE BONDS - 4.3%
Edperbrascan Corp.
7.375% due 10/01/02 2,000 1,949
Manitoba, Province of
8.000% due 04/15/02 5,600 5,665
Series CZ
6.750% due 03/01/03 5,200 5,121
Royal Caribbean Cruises, Ltd.
7.125% due 09/18/02 2,150 2,050
Tyco International, Ltd.
6.500% due 11/01/01 3,000 2,942
Westpac Banking, Ltd.
7.875% due 10/15/02 2,006 2,014
--------
19,741
--------
TOTAL LONG-TERM INVESTMENTS
(cost $439,606) 431,763
--------
SHORT-TERM INVESTMENTS - 5.2%
Federal Home Loan Bank Corp.
Discount Note
5.875% due 05/17/00 (b) 1,200 1,197
Frank Russell Investment Company
Money Market Fund,
due on demand (b) 22,631 22,631
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $23,828) 23,828
--------
TOTAL INVESTMENTS - 99.2%
(identified cost $463,434) 455,591
OTHER ASSETS AND LIABILITIES,
NET - 0.8% 3,878
--------
NET ASSETS - 100.0% 459,469
========
(a) Adjustable or floating rate security
(b) At amortized cost, which approximates market.
See accompanying notes which are an integral part of the financial statements.
Short Term Bond Fund 113
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $463,434) .......................................... $ 455,591
Receivables:
Dividends and interest .................................................................... 5,229
Fund shares sold .......................................................................... 213
From Advisor .............................................................................. 67
Prepaid expenses ........................................................................... 4
---------
Total assets ............................................................................ 461,104
LIABILITIES
Payables:
Investments purchased ......................................................... $ 488
Fund shares redeemed .......................................................... 683
Accrued fees to affiliates .................................................... 290
Other accrued expenses ........................................................ 174
---------
Total liabilities ....................................................................... 1,635
---------
NET ASSETS ................................................................................. $ 459,469
=========
NET ASSETS CONSIST OF:
Undistributed net investment income ........................................................ $ 2,342
Accumulated net realized gain (loss) ...................................................... (19,671)
Unrealized appreciation (depreciation) on investments ...................................... (7,842)
Shares of beneficial interest .............................................................. 255
Additional paid-in capital ................................................................. 484,385
---------
NET ASSETS ................................................................................. $ 459,469
=========
NET ASSET VALUE, offering and redemption price per share:
Class C ($779,980 divided by 43,217 shares of $.01 par value
shares of beneficial interest outstanding) ............................................. $ 18.05
Class E ($9,497,448 divided by 526,130 shares of $.01 par value =========
shares of beneficial interest outstanding) ............................................. $ 18.05
Class S ($449,191,773 divided by 24,920,636 shares of $.01 par value =========
shares of beneficial interest outstanding) ............................................. $ 18.02
=========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
114 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Interest ............................................................... $ 9,522 $ 26,239
Dividends from Money Market Fund ....................................... 381 1,092
-------- --------
Total investment income .............................................. 9,903 27,331
EXPENSES
Advisory fees .......................................................... 680 2,041
Administrative fees .................................................... 76 229
Custodian fees ......................................................... 83 334
Distribution fees - Class C ............................................ 2 4
Transfer agent fees .................................................... 186 607
Professional fees ...................................................... 11 10
Registration fees ...................................................... 28 159
Shareholder servicing fees - Class C ................................... 1 1
Shareholder servicing fees - Class E ................................... 8 15
Trustees' fees ......................................................... 5 12
Miscellaneous .......................................................... 19 3
-------- --------
Total expenses ....................................................... 1,099 3,415
-------- --------
Net investment income ................................................... 8,804 23,916
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments ................................. (1,636) (2,426)
Net change in unrealized appreciation (depreciation) on investments ..... (792) (7,220)
-------- --------
Net realized and unrealized gain (loss) ................................. (2,428) (9,646)
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ................... $ 6,376 $ 14,270
======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Short Term Bond Fund 115
<PAGE>
SHORT TERM BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ................................................ $ 8,804 $ 23,916 $ 13,185
Net realized gain (loss) ............................................ (1,636) (2,426) 1,126
Net change in unrealized appreciation (depreciation) ................ (792) (7,220) 355
--------- --------- ---------
Net increase (decrease) in net assets from operations .............. 6,376 14,270 14,666
--------- --------- ---------
DISTRIBUTIONS
From net investment income
Class C ............................................................ (12) (24) --
Class E ............................................................ (141) (303) --
Class S ............................................................ (6,477) (24,023) (13,149)
--------- --------- ---------
Net decrease in net assets from distributions .................... (6,630) (24,350) (13,149)
--------- --------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ........ 2,639 206,625 29,552
--------- --------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ........................... 2,385 196,545 31,069
NET ASSETS
Beginning of period .................................................. 457,084 260,539 229,470
--------- --------- ---------
End of period (including undistributed net investment income of
$2,342, $168 and $621, respectively) .............................. $ 459,469 $ 457,084 $ 260,539
========= ========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
116 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
-------- --------
NET ASSET VALUE, BEGINNING OF PERIOD ................. $ 18.13 $ 18.36
-------- --------
INCOME FROM OPERATIONS
Net investment income (a) .......................... .29 .68
Net realized and unrealized gain (loss) ............ (.10) (.31)
-------- --------
Total income from operations ...................... .19 .37
-------- --------
DISTRIBUTIONS
From net investment income .......................... (.27) (.60)
-------- --------
NET ASSET VALUE, END OF PERIOD ....................... $ 18.05 $ 18.13
======== ========
TOTAL RETURN (%)(b) ................................. 1.07 2.02
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........... 780 801
Ratios to average net assets (%)(c):
Operating expenses ................................ 1.71 1.72
Net investment income ............................. 4.78 4.41
Portfolio turnover rate (%) ........................ 39.14 177.08
* For the four months ended April 30, 2000 (Unaudited).
** For the period March 3, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Short Term Bond Fund 117
<PAGE>
SHORT TERM BOND FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
-------- --------
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 18.08 $ 18.51
-------- --------
INCOME FROM OPERATIONS
Net investment income (a) ........................ .33 .80
Net realized and unrealized gain (loss) .......... (.09) (.34)
-------- --------
Total income from operations .................... .24 .46
-------- --------
DISTRIBUTIONS
From net investment income ........................ (.27) (.89)
-------- --------
NET ASSET VALUE, END OF PERIOD ..................... $ 18.05 $ 18.08
======== ========
TOTAL RETURN (%)(b) ............................... 1.31 2.53
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ......... 9,497 8,693
Ratios to average net assets (%)(c):
Operating expenses .............................. .96 .97
Net investment income ........................... 5.53 5.05
Portfolio turnover rate (%) ...................... 39.14 177.08
* For the four months ended April 30, 2000 (Unaudited).
** For the period February 18, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
118 Short Term Bond Fund
<PAGE>
SHORT TERM BOND FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------------------------
2000* 1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .... $ 18.03 $ 18.46 $ 18.35 $ 18.36 $ 18.55 $ 17.98
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) .............. .35 .90 .99 1.08 1.04 1.16
Net realized and unrealized gain (loss) (.10) (.36) .11 -- (.19) .59
---------- ---------- ---------- ---------- ---------- ----------
Total income from operations ......... .25 .54 1.10 1.08 .85 1.75
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS
From net investment income ............. (.26) (.97) (.99) (1.09) (1.04) (1.18)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD .......... $ 18.02 $ 18.03 $ 18.46 $ 18.35 $ 18.36 $ 18.55
========== ========== ========== ========== ========== ==========
TOTAL RETURN (%)(b)(c) .................. 1.39 3.03 6.09 6.02 4.76 9.95
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) 449,192 447,590 260,539 229,470 222,983 183,577
Ratios to average net assets (%)(c)(d):
Operating expenses ................... .71 .74 .66 .66 .70 .58
Net investment income ................ 5.78 5.22 5.37 5.70 5.70 6.41
Portfolio turnover rate (%) ............ 39.14 177.08 129.85 213.14 264.40 269.31
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not 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) The ratios for periods less than one year are annualized.
Short Term Bond Fund 119
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
LONG-TERM INVESTMENTS - 99.9%
ASSET-BACKED SECURITIES - 9.4%
Advanta Equipment Receivables
Series 2000-1 Class A3
7.405% due 02/15/07 385 383
ANRC Automobile Owner Trust
Series 1999-A Class A4
6.940% due 04/17/06 1,200 1,184
Arcadia Automobile Receivables Trust
Series 1998-B Class A3
5.950% due 11/15/02 581 578
Associates Manufactured Housing
Pass-thru Certificates
Series 1996-1 Class A5
7.600% due 03/15/27 205 200
BankAmerica Manufactured
Housing Contract
Series 1997-1 Class A4
6.195% due 06/10/10 431 428
Bombardier Capital Mortgage
Securitization Corp.
Series 1999-B Class A3
7.180% due 12/15/15 1,050 1,033
Series 2000-A Class A2
7.575% due 06/15/30 920 912
California Infrastructure PG&E-1
Series 1997-1 Class A7
6.420% due 09/25/08 200 192
California Infrastructure SDG&E
Series 1997-1 Class A6
6.310% due 09/25/08 2,230 2,123
Case Equipment Loan Trust
Series 1999-B Class A4
6.900% due 06/15/06 1,000 986
Charter Financial, Inc.
Series 1999-1 Class A4
7.070% due 01/25/06 1,890 1,874
Chase Credit Card Master Trust
Series 1999-3 Class B
6.950% due 01/15/07 975 952
Citibank Credit Card Master Trust I
Series 1997-3 Class A
6.839% due 02/10/04 980 971
Conseco Finance Securitization Corp.
Series 1999-F Class A2
6.720% due 10/15/30 855 846
Series 2000-1 Class A4
7.620% due 05/01/31 520 512
Copelco Capital Funding Corp.
Series 2000-A Class A3
7.120% due 08/18/03 955 950
DaimlerChrysler Auto Trust
Series 2000-A Class A3
7.090% due 12/06/03 1,430 1,424
Series 2000-A Class A4
7.230% due 01/06/05 1,850 1,843
Delta Funding Home Equity
Loan Trust
Series 2000-1 Class A3F
7.690% due 10/15/26 1,080 1,072
First Sierra Receivables
Series 2000-1 Class A1
7.490% due 01/18/05 1,380 1,376
Fleetwood Credit Corporation
Grantor Trust
Series 1997-B Class A
6.400% due 05/15/13 1,790 1,771
Ford Credit Automobile Owner Trust
Series 1999-D Class A5
6.520% due 09/15/03 1,785 1,755
Series 2000-A Class A4
7.090% due 11/17/03 510 508
Series 2000-A Class B
7.370% due 07/15/04 1,000 995
Green Tree Financial Corp.
Series 1996-8 Class A6
7.600% due 10/15/27 355 352
Series 1997-4 Class A5
6.880% due 02/15/29 590 575
Green Tree Home Improvement
Loan Trust
Series 1998-D Class HEA5
6.320% due 08/15/29 1,360 1,284
Series 1998-D Class HIA2
5.940% due 06/15/29 116 116
Series 1998-E Class HIA1
5.907% due 08/15/07 267 267
Green Tree Lease Finance
Series 1998-1 Class A4
5.740% due 01/20/04 540 525
Green Tree Recreational, Equipment &
Consumer Loan Trust
Series 1998-A Class A1C
6.180% due 06/15/19 265 258
Series 1998-C Class A4
6.170% due 02/15/11 400 393
120 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Heller Equipment Asset
Receivables Trust
Series 1999-1 Class A3
5.500% due 07/13/03 2,115 2,081
Series 1999-2 Class A3
6.650% due 03/14/04 1,500 1,484
Household Automotive Trust IV
Series 2000-1 Class A3
7.300% due 07/19/04 2,735 2,734
Ikon Receivables, L.L.C
Series 1999-1 Class A3
5.990% due 05/15/05 2,580 2,534
IndyMac Home Equity Loan Trust Step
Up Bond
Series 1998-A Class AF4
6.310% due 10/25/29 (a) 855 811
Series 2000-A Class AF2
7.820% due 05/25/26 (a) 645 645
MBNA Master Credit Card Trust
Series 1999-G Class B
6.600% due 12/15/06 1,500 1,448
MMCA Auto Owner Trust
Series 1999-2 Class A2
6.800% due 08/15/03 770 765
Series 1999-2 Class A3
7.000% due 05/15/04 1,030 1,022
Navistar FinancialCorp. Owner Trust
Series 2000-A Class A4
7.340% due 01/15/07 1,975 1,972
Onyx Acceptance Automobile Trust
Series 2000-A Class A4
7.420% due 12/15/04 1,780 1,782
PacificAmerica Home Equity Loan Step
Up Bond
Series 1998-2 Class AF
6.590% due 06/26/28 (a) 1,052 1,019
Peco Energy Transition Trust
Series 1999-A Class A4
5.800% due 03/01/07 1,600 1,508
Series 1999-A Class A6
6.050% due 03/01/09 3,690 3,427
Series 2000-A Class A4
7.650% due 03/01/10 170 170
PNC Student Loan Trust I
Series 1997-2 Class A7
6.728% due 01/25/07 210 204
Premier Automobile Trust
Series 1999-3 Class A4
6.430% due 03/08/04 890 871
Provident Bank Home Equity
Loan Trust
Series 1998-4 Class A2
5.970% due 11/25/13 1,095 1,083
Residential Asset Securities
Corporation II, Inc.
Series 2000-KS2 Class AI4
7.895% due 10/25/28 530 527
Series 2000-KS2 Class AI6
7.830% due 03/25/31 265 260
Residential Funding Mortgage
Securities II, Inc.
Series 1999-HI1 Class A3
6.310% due 09/25/29 835 814
Series 1999-HI6 Class AI3
7.340% due 07/25/12 1,330 1,307
Series 2000-HI1 Class AI3
7.660% due 09/25/12 1,265 1,255
Sears Credit Account Master Trust
Series 1995-5 Class A
6.050% due 01/15/08 250 242
Series 1999-2 Class A
6.350% due 02/15/07 3,645 3,556
Student Loan Marketing Association
Series 1996-3 Class A1
6.294% due 10/25/04 (a) 1,030 1,024
Team Fleet Financing Corp.
Series 1997-1 Class A
7.350% due 05/15/03 1,800 1,782
UCFC Home Equity Loan
Series 1996-B1 Class A4
7.525% due 12/15/17 232 232
Union Acceptance Corp.
Step Up Bond
Series 1999-D Class A4
6.850% due 02/08/06 (a) 710 700
USAA Auto Loan Grantor Trust
Series 1998-1 Class A
5.800% due 01/15/05 1,157 1,149
Vanderbilt Mortgage & Finance, Inc.
Series 1999-A Class 1A3
6.080% due 12/07/15 690 643
Series 1999-B Class 1A3
6.280% due 03/07/13 905 871
Series 1999-D Class IA2
6.815% due 08/07/12 505 492
WFS Financial Owner Trust
Series 2000-A Class A3
7.220% due 09/20/04 935 928
-------
69,980
-------
Diversified Bond Fund 121
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
BANKERS ACCEPTANCE NOTES - 0.1%
Mellon Bank, NA
7.625% due 09/15/07 355 351
Signet Bank
7.800% due 09/15/06 255 252
-------
603
-------
CORPORATE BONDS AND NOTES - 21.3%
Ahold Finance USA, Inc.
6.250% due 05/01/09 2,135 1,858
Air Products & Chemicals, Inc
8.750% due 04/15/21 250 261
Allegiance Corp.
7.000% due 10/15/26 130 122
America West Airlines
Series A
6.850% due 07/02/09 459 424
American Financial Group, Inc.
7.125% due 04/15/09 775 690
American General Corp.
7.125% due 02/15/04 340 333
American Health Properties, Inc.
7.050% due 01/15/02 550 531
Archer Daniels Co.
8.375% due 04/15/17 665 681
ARG Funding Corp.
Series 1999-1A Class A3
6.020% due 05/20/05 1,225 1,160
Aristar, Inc.
6.000% due 05/15/02 1,635 1,586
Associates Corp. of North America
6.500% due 10/15/02 450 439
Series H
7.090% due 04/11/03 400 395
5.750% due 11/01/03 3,000 2,828
5.500% due 02/15/04 875 810
AT&T Corp.
6.500% due 03/15/29 1,015 856
8.625% due 12/01/31 220 215
Atlantic Richfield Co.
9.125% due 08/01/31 550 651
Avco Financial Services, Inc.
6.000% due 08/15/02 800 774
Baltimore Gas & Electric Co.
7.250% due 07/01/02 500 498
6.500% due 02/15/03 840 818
Bank of New York, Inc.
7.875% due 11/15/02 350 353
Bank One Corp.
Series G
6.875% due 08/01/06 (a) 800 759
BankAmerica Corp.
6.850% due 03/01/03 425 417
6.875% due 06/01/03 260 255
Series H
5.750% due 03/01/04 400 375
BankBoston Corp.
6.125% due 03/15/02 250 244
Barnett Bank, Inc.
6.900% due 09/01/05 405 392
Baxter International, Inc.
6.630% due 02/15/28 825 671
Bear Stearns Cos., Inc.
6.630% due 03/28/03 (a) 2,000 1,998
Series B
6.415% due 05/16/03 (a) 500 498
Bell Telephone Co. of Pennsylvania
8.350% due 12/15/30 355 375
BellSouth Capital Funding Corp.
7.750% due 02/15/10 750 750
BellSouth Telecommunications, Inc.
7.000% due 12/01/95 385 326
Beneficial Corp.
8.400% due 05/15/08 1,235 1,298
Boeing Co.
8.750% due 08/15/21 550 606
Burlington Northern Santa Fe
7.082% due 05/13/29 1,200 1,028
Camden Property Trust
7.000% due 04/15/04 600 575
Campbell Soup Co.
8.875% due 05/01/21 420 450
Carolina Power & Light Co.
6.875% due 08/15/23 410 365
Case Corp.
7.250% due 08/01/05 330 303
7.250% due 01/15/16 295 264
Caterpillar Financial Services Corp.
9.500% due 02/06/07 420 457
Series 2
6.189% due 02/12/01 (a) 4,000 4,002
Central Fidelity Banks, Inc.
8.150% due 11/15/02 170 172
Central Power & Light Co.
Series FF
6.875% due 02/01/03 600 590
Champion International Corp.
6.400% due 02/15/26 460 421
Chase Manhattan Corp.
Series C
6.750% due 12/01/04 700 678
6.500% due 08/01/05 300 286
122 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Chesapeake & Potomac
Telephone Co.
8.375% due 10/01/29 230 244
Chrysler Financial Corp., L.L.C
Series R
6.160% due 06/11/01 (a) 2,000 1,999
Cincinnati Gas & Electric Co.
7.200% due 10/01/23 410 357
CIT Group, Inc.
6.150% due 12/15/02 500 480
5.625% due 10/15/03 1,920 1,805
Citicorp
6.235% due 05/24/01 (a) 2,000 2,000
9.500% due 02/01/02 120 124
7.125% due 06/01/03 390 385
Citigroup, Inc.
6.875% due 02/15/98 790 670
City National Bank
6.375% due 01/15/08 600 546
Coca Cola Enterprises, Inc.
7.000% due 10/01/26 675 640
6.750% due 01/15/38 250 211
Comcast Cable Communications
8.375% due 05/01/07 850 858
Comerica Bank
7.250% due 06/15/07 700 673
6.000% due 10/01/08 400 351
Commercial Credit Group, Inc.
7.875% due 07/15/04 805 815
6.500% due 06/01/05 540 517
8.700% due 06/15/10 380 407
Commonwealth Edison Co.
Series 85
7.375% due 09/15/02 945 930
Conagra, Inc.
8.100% due 05/20/02 300 300
Conoco, Inc.
6.950% due 04/15/29 620 556
Countrywide Home Loan
Series H
6.250% due 04/15/09 500 435
Cox Communications, Inc.
6.500% due 11/15/02 550 533
7.500% due 08/15/04 1,200 1,185
6.690% due 09/20/04 400 381
CSX Corp.
7.250% due 05/01/04 750 729
7.900% due 05/01/17 400 383
CVS Corp.
5.500% due 02/15/04 300 282
DaimlerChrysler North
America Holding
6.900% due 09/01/04 1,625 1,580
DaimlerChrysler AG
7.450% due 03/01/27 800 771
Deere & Co.
8.100% due 05/15/30 800 795
Delta Air Lines, Inc.
Series C
6.650% due 03/15/04 1,130 1,053
Dillards Inc.
6.430% due 08/01/04 1,025 915
Duke Capital Corp.
7.250% due 10/01/04 900 890
Duke Energy Corp.
7.000% due 07/01/33 395 331
Duke Weeks Realty, L.P.
7.750% due 11/15/09 635 599
Eastman Chemical Co.
7.250% due 01/15/24 300 258
Electronic Data Systems Corp.
7.450% due 10/15/29 450 429
EOP Operating, L.P.
6.500% due 01/15/04 685 644
Federal Express Corp.
7.600% due 07/01/97 300 248
Fifth Third Capital Trust I
Series A
8.136% due 03/15/27 315 293
Finova Capital Corp.
7.250% due 11/08/04 1,520 1,394
First Bank Systems, Inc.
8.000% due 07/02/04 700 706
First Chicago Corp.
6.199% due 11/14/01 (a) 3,000 3,001
First Interstate Bancorp
9.375% due 01/23/02 135 140
First Union Corp.
6.875% due 09/15/05 400 386
7.500% due 07/15/06 425 417
First Union Institutional
Capital Trust I
8.040% due 12/01/26 225 202
First Union National Bank
7.125% due 10/15/06 500 480
Firstar Bank North America
7.125% due 12/01/09 950 896
Diversified Bond Fund 123
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Fleet Financial Group, Inc.
6.875% due 03/01/03 300 294
8.125% due 07/01/04 595 600
Ford Motor Credit Co.
7.750% due 11/15/02 2,000 2,002
7.500% due 06/15/04 300 297
6.700% due 07/16/04 3,000 2,885
6.750% due 05/15/05 350 335
Fort James Corp.
6.625% due 09/15/04 895 850
6.875% due 09/15/07 375 347
Fortune Brands, Inc.
7.875% due 01/15/23 380 354
General Electric Capital Corp.
6.650% due 09/03/02 795 784
Series A
6.267% due 07/23/03 1,225 1,187
8.300% due 09/20/09 235 249
General Electric Global Insurance
Holding Corp.
6.450% due 03/01/19 650 559
General Motors Acceptance Corp.
5.480% due 12/16/02 2,535 2,401
6.750% due 03/15/03 4,000 3,902
Grand Metropolitan Investment Corp.
7.450% due 04/15/35 300 297
Great Lakes Chemical Corp.
7.000% due 07/15/09 1,225 1,121
GTE California, Inc.
6.750% due 05/15/27 550 476
Harrahs Operating Co., Inc.
7.500% due 01/15/09 515 477
Heller Financial, Inc.
7.000% due 05/15/02 890 877
Hertz Corp.
7.625% due 08/01/02 550 547
9.000% due 11/01/09 230 244
Household Finance Corp.
6.125% due 07/15/02 (a) 325 315
7.200% due 07/15/06 370 356
ICI Wilmington, Inc.
9.500% due 11/15/00 5,000 5,052
Illinois Power
7.500% due 06/15/09 1,300 1,248
International Bank of Reconstruction
& Development
7.250% due 05/27/03 100 49
International Business
Machines Corp.
7.000% due 10/30/25 400 378
7.125% due 12/01/96 780 705
ITT Financial Corp.
7.400% due 11/15/25 955 815
JPM Capital Trust I
7.540% due 01/15/27 225 196
KeyCorp
8.000% due 07/01/04 150 152
7.500% due 06/15/06 750 735
Knight-Ridder, Inc.
6.875% due 03/15/29 900 781
Kroger Co.
6.800% due 12/15/18 600 517
Lehman Brothers Holdings, Inc.
Series F
7.000% due 05/15/03 1,075 1,050
Liberty Mutual Insurance Co.
7.697% due 10/15/97 675 502
Lincoln National Corp.
7.250% due 05/15/05 450 430
6.500% due 03/15/08 200 186
7.000% due 03/15/18 450 399
Loral Corp.
7.000% due 09/15/23 675 564
Lowes Cos., Inc.
6.875% due 02/15/28 680 584
Manufacturers & Traders Trust Co.
7.000% due 07/01/05 435 414
Marsh & McLennan Cos., Inc.
6.625% due 06/15/04 475 457
Mattel, Inc.
6.000% due 07/15/03 500 455
May Department Stores Co.
6.875% due 11/01/05 480 465
MCI WorldCom, Inc.
6.400% due 08/15/05 1,150 1,092
6.950% due 08/15/28 500 441
Mercantile Bancorp
7.050% due 06/15/04 825 804
Merck & Co., Inc.
6.400% due 03/01/28 325 283
Series B
5.760% due 05/03/37 1,200 1,200
Merrill Lynch & Co., Inc.
6.000% due 02/12/03 800 770
Mirage Resorts, Inc.
6.625% due 02/01/05 360 319
6.750% due 02/01/08 225 191
Morgan (J.P.) & Co., Inc.
5.750% due 02/25/04 200 188
Nabisco, Inc.
6.375% due 02/01/35 850 731
124 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Nationsbank Corp.
7.750% due 08/15/04 450 454
New England Telephone &
Telegraph Co.
7.875% due 11/15/29 235 235
News America Holdings, Inc.
8.875% due 04/26/23 500 505
7.750% due 01/20/24 450 398
Norfolk Southern Corp.
6.950% due 05/01/02 750 736
Northern Trust Corp.
7.100% due 08/01/09 490 471
Northwestern Bell Telephone Co.
7.750% due 05/01/30 630 619
Norwest Corp.
Series H
6.750% due 06/15/07 300 282
Norwest Financial, Inc.
6.250% due 11/01/02 525 510
6.375% due 11/15/03 575 556
6.000% due 02/01/04 600 567
6.750% due 06/01/05 200 192
NYNEX Capital Funding Co.
Series B
8.750% due 12/01/04 450 470
NYNEX Corp.
9.550% due 05/01/10 322 340
Panamsat Corp.
6.125% due 01/15/05 600 538
Park Place Entertainment Corp.
8.500% due 11/15/06 700 680
Philadelphia Electric Co.
7.125% due 09/01/02 550 541
Philip Morris Cos., Inc.
6.950% due 06/01/06 295 291
7.200% due 02/01/07 1,000 861
7.650% due 07/01/08 310 267
Pitney Bowes Credit Corp.
8.550% due 09/15/09 460 480
PNC Funding Corp.
6.875% due 07/15/07 800 758
Praxair, Inc.
6.850% due 06/15/05 700 667
Procter & Gamble Co.
Series A
9.360% due 01/01/21 90 103
Provident Cos., Inc.
6.375% due 07/15/05 1,000 913
Ralston Purina Co.
7.875% due 06/15/25 615 531
Raytheon Co.
6.300% due 03/15/05 880 810
Safeco Corp.
7.875% due 03/15/03 605 600
Safeway, Inc.
7.000% due 09/15/02 650 638
6.050% due 11/15/03 440 417
7.250% due 09/15/04 575 562
Sears Roebuck Acceptance Corp.
7.000% due 06/15/07 245 229
6.750% due 01/15/28 800 652
Security Capital Group, Inc.
6.950% due 06/15/05 600 542
Simon Property Group, Inc.
6.750% due 02/09/04 1,000 939
Spieker Properties, L.P.
8.000% due 07/19/05 700 696
Sprint Capital Corp.
6.125% due 11/15/08 1,150 1,020
6.900% due 05/01/19 900 807
SunTrust Banks, Inc.
7.375% due 07/01/02 700 697
6.250% due 06/01/08 150 136
TCI Communications, Inc.
6.375% due 05/01/03 625 610
Tele-Communications, Inc.
7.250% due 08/01/05 525 515
Texaco Capital, Inc.
9.750% due 03/15/20 440 518
8.875% due 09/01/21 220 243
Time Warner, Inc.
7.975% due 08/15/04 (d) 300 303
7.750% due 06/15/05 1,050 1,041
8.180% due 08/15/07 (d) 300 302
6.875% due 06/15/18 950 836
Times Mirror Co.
7.450% due 10/15/09 350 340
Transamerica Finance Corp.
7.250% due 08/15/02 1,000 988
TRW, Inc.
7.125% due 06/01/09 1,200 1,091
Union Carbide Corp.
7.875% due 04/01/23 590 561
Union Oil Co.
9.400% due 02/15/11 470 531
Union Pacific Corp.
7.600% due 05/01/05 570 558
Union Pacific Railroad Trust
Pass-thru Certificate
Series 1996-A2
7.060% due 05/15/03 500 484
Diversified Bond Fund 125
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Union Planters Bank
6.500% due 03/15/18 670 578
United Technologies Corp.
8.750% due 03/01/21 380 414
US Bank National Association
Minnesota
5.625% due 11/30/05 1,500 1,355
Series BNKZ
6.240% due 12/19/01 (a) 2,000 2,000
US West Communications, Inc.
7.200% due 11/10/26 500 425
USX Marathon Group
8.500% due 03/01/23 800 790
Viacom, Inc.
7.750% due 06/01/05 405 405
Virginia Electric & Power Co.
8.750% due 04/01/21 200 193
Wachovia Corp.
6.800% due 06/01/05 305 294
Wal-Mart Stores, Inc.
7.500% due 05/15/04 300 302
Series 1994-B3
8.800% due 12/30/14 315 347
Walt Disney Co.
7.300% due 02/08/05 1,125 1,119
Waste Management, Inc.
6.375% due 12/01/03 325 290
Wells Fargo & Co.
6.625% due 07/15/04 600 580
6.875% due 04/01/06 500 474
Wellsford Residential Property Trust
9.375% due 02/01/02 750 764
Westvaco Corp.
9.750% due 06/15/20 115 132
Willamette Industries, Inc.
7.850% due 07/01/26 520 497
Wilmington Trust
10.370% due 01/02/07 1,372 1,486
Wisconsin Central Transportation Corp.
6.625% due 04/15/08 850 761
World Financial Properties Tower
Series 1996 WBF-B
6.910% due 09/01/13 1,115 1,055
-------
158,863
-------
EURODOLLAR BONDS - 2.0%
Asian Development Bank
6.250% due 10/24/05 315 300
Australian Gas Light Co.
6.400% due 04/15/08 1,000 881
Bank of Tokyo Mitsubishi, Ltd.
8.400% due 04/15/10 400 400
Korea Development Bank
7.125% due 09/17/01 2,000 1,976
7.375% due 09/17/04 1,500 1,442
Merita Bank, Ltd.
7.150% due 12/29/49 (c) 250 243
7.500% due 12/29/49 (c) 850 791
Mexican United States
9.875% due 02/01/10 1,170 1,209
Nationsbank Corp.
6.300% due 06/17/02 (a) 3,000 2,999
Quebec, Province of
7.000% due 01/30/07 735 711
Sanwa Finance Aruba AEC
8.350% due 07/15/09 2,000 1,984
Societe Generale
7.850% due 04/29/49 (c) 625 588
Tyco International Group SA
6.875% due 09/05/02 575 562
Vodafone Airtouch PLC
7.625% due 02/15/05 875 870
-------
14,956
-------
MORTGAGE-BACKED SECURITIES - 40.3%
American Southwest Financial Corp.
Series G Class G-4
12.250% due 11/01/14 (d) 129 130
Chase Commercial Mortgage Securities
Corp
Series 1997-1 Class E
6.490% due 12/19/07 1,475 1,349
Collateralized Mortgage Obligation Trust
Series 56 Class B CMO
9.985% due 12/01/18 119 122
Credit Suisse First Boston Mortgage
Securities Corp.
Series 1999-C1 Class A2
7.290% due 09/15/09 1,285 1,248
DLJ Mortgage Acceptance Corp.
Series 1993 Class A-2 CMO
7.650% due 09/18/03 2,500 2,501
Series 1996-CF1 Class A1B
7.580% due 02/12/06 2,000 1,992
126 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Federal Home Loan Mortgage Corp.
5.500% due 2006 3,768 3,511
6.500% due 2029 469 439
Series 2006 Class B
6.500% due 08/15/23 4,235 4,133
Federal Home Loan Mortgage Corp. (b)
7.500% 15 Year Gold TBA 160 159
6.500% 30 Year Gold TBA 2,525 2,359
8.000% 30 Year TBA 1,855 1,855
Federal Home Loan Mortgage Corp.
Participation Certificate
7.500% due 2001 69 69
7.000% due 2002 (d) 33 33
6.500% due 2003 56 56
7.000% due 2003 (d) 171 172
6.750% due 2007 (d) 215 208
7.500% due 2007 378 377
7.000% due 2008 304 300
8.000% due 2008 (d) 55 55
8.500% due 2008 (d) 61 61
6.500% due 2009 1,137 1,106
7.500% due 2009 (a) 1,093 1,088
8.000% due 2009 115 117
6.500% due 2010 74 72
7.000% due 2010 247 243
7.500% due 2010 24 24
8.000% due 2010 18 18
6.000% due 2011 3,217 3,045
7.000% due 2011 78 77
7.500% due 2011 196 195
8.000% due 2011 229 232
6.000% due 2012 65 61
7.500% due 2012 371 369
8.000% due 2012 145 147
5.500% due 2014 3,532 3,238
6.500% due 2014 736 704
7.000% due 2014 476 464
12.000% due 2014 67 73
12.000% due 2015 (d) 44 48
9.000% due 2016 348 356
12.500% due 2016 36 39
8.000% due 2017 295 295
9.000% due 2017 2 2
9.000% due 2018 685 704
9.000% due 2020 326 339
9.000% due 2022 95 98
9.000% due 2024 402 411
6.500% due 2025 529 497
8.500% due 2025 383 388
9.000% due 2025 116 119
9.000% due 2026 9 9
8.500% due 2027 1,484 1,506
6.000% due 2028 2,782 2,521
6.500% due 2028 2,728 2,551
6.000% due 2029 2,422 2,194
6.500% due 2029 4,953 4,628
7.500% due 2030 3,838 3,758
Federal Home Loan Mortgage Corp.
Participation Certificate
Series 1053 Class G
6.000% due 01/01/15 1,722 1,614
7.000% due 03/15/21 (d) 738 718
Federal National Mortgage Association
7.280% due 05/23/07 655 634
Series 1993-134 Class H
6.500% due 08/25/08 1,385 1,311
6.500% due 05/01/13 684 655
6.000% due 08/01/13 703 660
6.500% due 04/01/29 464 433
6.500% due 06/01/29 85 79
6.000% due 07/01/29 1 1
6.500% due 12/01/29 1,287 1,201
Federal National Mortgage Association (b)
6.500% 15 Year TBA 5,460 5,225
6.000% 30 Year TBA 1,225 1,109
6.500% 30 Year TBA 9,770 9,117
7.000% 30 Year TBA 2,175 2,081
8.000% 30 Year TBA 16,025 16,000
Federal National Mortgage Association
Pools
7.000% due 2000 82 81
8.000% due 2002 150 150
9.500% due 2002 29 29
6.000% due 2003 260 254
7.000% due 2003 234 231
7.500% due 2003 287 285
8.000% due 2003 60 60
9.500% due 2003 70 72
6.500% due 2004 16 15
8.000% due 2004 68 68
9.500% due 2005 54 56
9.500% due 2006 55 56
7.000% due 2007 61 60
7.200% due 2007 971 948
7.000% due 2008 240 236
7.000% due 2009 355 348
8.000% due 2010 20 20
10.500% due 2010 14 15
7.000% due 2011 161 157
8.000% due 2011 39 39
6.500% due 2012 327 313
7.000% due 2012 129 126
Diversified Bond Fund 127
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
8.500% due 2012 47 48
5.500% due 2013 244 224
6.000% due 2013 2,107 1,974
5.500% due 2014 1,591 1,457
6.000% due 2014 312 292
7.000% due 2015 193 189
9.000% due 2016 13 14
8.000% due 2017 376 378
9.000% due 2017 346 355
8.000% due 2019 197 198
8.000% due 2020 20 20
7.500% due 2022 691 680
7.000% due 2023 196 188
7.500% due 2023 20 19
6.500% due 2024 148 140
7.500% due 2024 600 590
8.000% due 2024 1,508 1,510
7.000% due 2025 281 270
7.500% due 2025 200 197
8.500% due 2025 143 145
9.000% due 2025 1,635 1,676
9.000% due 2026 223 228
7.500% due 2027 197 194
8.000% due 2027 1,265 1,263
6.000% due 2028 13,472 12,197
6.500% due 2028 3,331 3,112
7.500% due 2028 451 444
8.000% due 2028 2,227 2,225
6.000% due 2029 5,188 4,698
6.500% due 2029 (d) 28,959 27,029
7.000% due 2029 2,746 2,627
7.500% due 2029 775 758
8.000% due 2029 109 109
7.000% due 2030 1,317 1,260
7.500% due 2030 8,537 8,352
8.500% due 2030 1,780 1,805
Federal National Mortgage Association
REMIC
Series 1992-10 Class ZD
8.000% due 11/25/21 1,938 1,942
Federal National Mortgage Association - Aces
Series 1998-M1 Class A
6.250% due 01/25/08 1,250 1,165
Series 1999-M4 Class A
7.354% due 12/25/09 1,682 1,643
Federal National Mortgage Association
Interest Only Inverse Floater
Series 1993-208 Class SA
0.155% due 02/25/23 (a)(g) 21,582 169
Federal National Mortgage Association
Principal Only Strip
Zero Coupon due 03/01/20 65 52
First Union Lehman Brothers
Commercial Mortgage Trust
Series 1997-C1 Class C
7.440% due 04/18/07 750 730
First Union Lehman Brothers
Commercial Mortgage Trust
Pass-thru Certificates
Series 1997-C1 Class D
7.500% due 10/18/08 300 285
First Union National Bank Commercial
Mortgage Trust
Series 2000-C1 Class A2
7.841% due 03/15/10 50 50
GMAC Commercial Mortgage Securities, Inc
Series 1996-C1 Class A2A
6.790% due 09/15/03 702 691
Series 1999-C2 Class A1
6.570% due 09/15/33 1,333 1,267
Government National Mortgage
Association (b)
6.000% 30 Year TBA 1,200 1,090
6.500% 30 Year TBA 24,300 22,762
7.500% 30 Year TBA 2,100 2,065
8.000% 30 Year TBA 2,235 2,240
8.500% 30 Year TBA 1,705 1,735
Government National Mortgage
Association
6.500% due 2008 119 116
6.500% due 2009 1,132 1,098
7.000% due 2011 14 14
9.000% due 2016 828 862
9.500% due 2016 33 35
8.000% due 2017 102 103
9.000% due 2017 1,313 1,366
9.000% due 2020 14 15
10.500% due 2020 152 165
7.000% due 2022 470 455
8.000% due 2022 321 322
8.500% due 2022 173 176
6.125% due 2023 (d) 1,644 1,660
6.175% due 2023 (d) 2,049 2,066
7.000% due 2023 5,836 5,639
7.125% due 2023 (d) 2,237 2,259
7.500% due 2023 4,745 4,684
6.375% due 2024 (d) 811 813
7.000% due 2024 10,543 10,178
7.500% due 2024 826 814
128 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
7.500% due 2025 247 244
8.000% due 2025 894 896
9.000% due 2025 2,867 2,974
6.500% due 2026 218 205
7.000% due 2026 259 249
7.000% due 2027 393 378
8.000% due 2027 19 19
6.500% due 2028 9,782 9,165
7.000% due 2028 9,602 9,236
6.000% due 2029 58 52
6.500% due 2029 2,037 1,908
7.500% due 2029 1,565 1,540
8.000% due 2029 5,008 5,018
8.500% due 2029 49 50
8.000% due 2030 1,400 1,402
8.500% due 2030 650 661
Government National Mortgage
Association REMIC
Series 1998-23 Class ZA
6.500% due 09/20/28 5,479 4,301
GS Mortgage Securities Corp. II
Series 1997-GL Class A2A
6.940% due 07/13/30 1,786 1,781
Housing Securities, Inc.
Series 1994-2 Class A1
6.500% due 07/25/09 581 558
JP Morgan Commercial Mortgage Finance
Corp
Series 2000-C9 Class A2
7.770% due 10/15/32 400 401
Mellon Residential Funding Corp.
Series 2000-TBC1 Class A2B
6.922% due 03/25/30 1,730 1,696
Merrill Lynch Mortgage Investors, Inc.
Pass-thru Certificates
Series 1999-C1 Class A2
7.560% due 09/15/09 1,165 1,152
Mortgage Capital Funding, Inc.
Series 1996-MC1 Class A2B
7.900% due 02/15/06 775 782
Nationslink Funding Corp.
Series 1999-2 Class A2C
7.229% due 10/20/08 1,455 1,407
Series 1999-2 Class A3
7.181% due 12/20/06 1,151 1,120
Resolution Trust Corp.
Series 1995 - C1 Class D
6.900% due 02/25/27 775 752
Ryland Acceptance Corp. Four
Series 88 Class E CMO
7.950% due 01/01/19 1,376 1,360
Small Business Investment Cos
Series 1999-P10B Class 1
7.540% due 08/10/09 4,950 4,906
Structured Asset Securities Corp.
Series 1997-LLI Class A1
6.790% due 06/12/04 1,740 1,708
-------
300,834
-------
NON-US BONDS - 0.3%
Banque Centrale de Tunisie
7.500% due 08/06/09 TND 1,700 1,563
New Zealand, Government of
10.000% due 03/15/02 NZD 900 460
Series 403
5.500% due 04/15/03 NZD 1,000 466
-------
2,489
-------
UNITED STATES GOVERNMENT AGENCIES - 8.5%
Federal Home Loan Bank
5.570% due 08/17/00 5,000 4,986
5.625% due 03/19/01 200 198
6.450% due 03/13/02 (a) 4,250 4,196
5.233% due 11/17/03 1,600 1,502
5.790% due 04/27/09 2,580 2,309
Federal Home Loan Mortgage Corp.
7.000% due 02/15/03 685 682
6.875% due 01/15/05 3,750 3,696
5.750% due 03/15/09 1,250 1,123
7.000% due 03/15/10 7,265 7,112
6.750% due 09/15/29 4,750 4,481
Federal National Mortgage Association
6.625% due 01/15/02 1,105 1,097
6.250% due 11/15/02 900 882
6.250% due 11/20/02 1,335 1,302
5.750% due 04/15/03 4,160 4,005
6.100% due 06/26/03 505 487
6.010% due 07/17/03 2,000 1,920
6.940% due 03/19/07 1,065 1,019
6.750% due 07/30/07 365 347
6.900% due 08/21/07 2,155 2,054
7.250% due 01/15/10 5,000 4,985
6.210% due 08/06/38 2,850 2,450
Federal National Mortgage Association
Series B
5.300% due 11/13/03 1,600 1,502
Diversified Bond Fund 129
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Government Backed Trust Certificates
Series 1-C
9.250% due 11/15/01 1,056 1,078
Series T-3
9.625% due 05/15/02 (a) 277 274
Resolution Funding Corp.
Series A
8.875% due 07/15/20 1,855 2,251
8.625% due 01/15/21 715 874
8.625% due 01/15/30 390 484
Tennessee Valley Authority
Series A
6.375% due 06/15/05 2,730 2,625
Series
6.250 due 12/15/17 610 545
6.750% due 11/01/25 2,900 2,826
--------
63,292
--------
UNITED STATES GOVERNMENT TREASURIES - 15.4%
United States Treasury Bond
Principal Strip
8.750% due 05/15/20 700 208
8.000% due 11/15/21 10,200 2,787
United States Treasury Bonds
10.750% due 08/15/05 5,900 6,965
11.750% due 02/15/10 940 1,130
12.750% due 11/15/10 6,170 7,857
12.000% due 08/15/13 7,940 10,611
13.250% due 05/15/14 680 981
12.500% due 08/15/14 4,620 6,471
11.250% due 02/15/15 1,110 1,624
9.875% due 11/15/15 695 935
9.250% due 02/15/16 1,250 1,608
8.875% due 08/15/17 5,255 6,648
8.875% due 02/15/19 8,345 10,674
8.125% due 05/15/21 5,100 6,186
8.125% due 08/15/21 7,810 9,485
8.000% due 11/15/21 200 241
6.875% due 08/15/25 25 27
6.375% due 08/15/27 10,990 11,222
6.250% due 05/15/30 300 312
United States Treasury Notes
7.500% due 11/15/01 5,210 5,269
6.250% due 01/31/02 715 709
3.625% due 07/15/02 (d) 1,100 1,098
5.875% due 09/30/02 70 69
5.750% due 11/30/02 830 812
5.750% due 04/30/03 4,540 4,437
5.750% due 08/15/03 1,305 1,272
7.875% due 11/15/04 1,225 1,285
7.500% due 02/15/05 90 93
6.875% due 05/15/06 1,590 1,616
6.500% due 10/15/06 2,955 2,949
3.375% due 01/15/07 2,662 2,564
6.625% due 05/15/07 25 25
3.625% due 01/15/08 2,101 2,047
5.625% due 05/15/08 820 779
3.875% due 01/15/09 4,250 4,209
6.000% due 08/15/09 200 195
--------
115,400
--------
YANKEE BONDS - 2.7%
Abbey National PLC
6.700% due 06/29/49 (a) 2,125 1,895
African Development Bank
9.750% due 12/15/03 325 348
6.750% due 10/01/04 300 292
6.875% due 10/15/15 1,245 1,163
8.800% due 09/01/19 295 346
Canadian National Railway Co.
6.800% due 07/15/18 450 393
Carter Holt Harvey, Ltd.
8.875% due 12/01/04 350 359
Diageo Capital PLC
6.125% due 08/15/05 1,800 1,684
Hydro Quebec
Series GH
8.250% due 04/15/26 505 532
International American
Development Bank
6.950% due 08/01/26 155 152
Italy, Republic of
6.875% due 09/27/23 150 147
Manitoba, Province of
Series CB
8.800% due 01/15/20 200 225
Series CD
9.250% due 04/01/20 200 235
National Westminster Bank PLC
7.750% due 04/29/49 (c) 1,275 1,208
New Brunswick, Province of
7.125% due 10/01/02 400 398
9.750% due 05/15/20 190 235
Newfoundland, Province of
10.000% due 12/01/20 90 111
Noranda Forest, Inc.
6.875% due 11/15/05 250 225
Nova Scotia, Province of
9.125% due 05/01/21 690 799
Pemex Finance, Ltd.
6.125% due 11/15/03 3,000 2,906
130 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Quebec, Province of
8.800% due 04/15/03 500 518
Series NN
7.125% due 02/09/24 985 922
Royal Caribbean Cruises, Ltd.
8.125% due 07/28/04 475 455
7.250% due 03/15/18 640 541
7.500% due 10/15/27 300 252
Saskatchewan, Province of
8.000% due 07/15/04 1,045 1,065
Stagecoach Holdings PLC
8.625% due 11/15/09 25 20
Trans-Canada Pipelines, Ltd.
7.150% due 06/15/06 800 778
Tyco International Group SA
6.375% due 06/15/05 700 651
United News & Media PLC
7.250% due 07/01/04 1,100 1,063
--------
19,918
--------
TOTAL LONG-TERM INVESTMENTS
(cost $767,869) 746,335
--------
NOTIONAL
AMOUNT
(000)
$
--------
OPTIONS PURCHASED - 0.0%
United States Treasury Bills (e)*
May 100.66 Call 2,600 --
United States Treasury Bonds (e)*
Aug 95.58 Call 1,450 36
Sep 102.53 Call 1,100 16
Sep 104.75 Call 1,000 9
United States Treasury Notes (e)*
Aug 99.31 Call 1,900 62
Sep 102.52 Call 1,050 17
Oct 100.83 Call 1,250 40
--------
TOTAL OPTIONS PURCHASED
(cost $166) 180
--------
NUMBER
OF
SHARES
--------
PREFERRED STOCKS - 0.3%
Credit Lyonnais Capital S.C.A. - ADR 60,000 1,440
Equity Office Properties Trust
Series B 22,000 839
--------
TOTAL PREFERRED STOCKS
(cost $2,605) 2,279
--------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
SHORT-TERM INVESTMENTS - 8.3%
Dominion Resources, Inc.
6.100% due 01/26/01 1,100 1,100
Frank Russell Investment Company
Money Market Fund,
due on demand (f) 60,667 60,667
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $61,767) 61,767
--------
TOTAL INVESTMENTS - 108.5%
(identified cost $832,407) 810,560
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS WRITTEN - (8.5%) (63,188)
--------
NET ASSETS - 100.0% 747,372
========
* Each contract represents $100,000 notional value.
(a) Adjustable or floating rate security.
(b) Forward commitment.
(c) Perpetual floating rate note.
(d) Held as collateral in connection with options written by the Fund.
(e) Nonincome producing security.
(f) At amortized cost, which approximates market.
(g) Represents notional amounts.
Abbreviations:
ADR - American Depositary Receipt
CMO - Collateralized Mortgage obligation
REMIC - Real Estate Mortgage Investment Conduit
TBA - To Be Anounced Security
Foreign Currency Abbreviations:
EUR - Euro dollar
ITL - Italian lira
NZD - New Zealand dollar
TND - Tunisian dinar
USD - US dollar
See accompanying notes which are an integral part of the financial statements.
Diversified Bond Fund 131
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
NOTIONAL MARKET
AMOUNT VALUE
(000) (000)
$ $
OPTIONS WRITTEN ---------- --------
United States Treasury Bills*
May 104.66 Call 2,600 --
May 97.28 Put 2,600 5
United States Treasury Bonds*
Aug 98.68 Call 1,450 14
Sep 103.13 Put 1,000 25
United States Treasury Notes*
Aug 103.13 Call 1,900 21
Sep 106.53 Call 1,100 4
Sep 100.50 Put 1,050 13
Sep 99.02 Put 1,100 11
Oct 98.27 Put 1,250 15
--------
Total Liability for Options Written
(premiums received $132) 108
========
* Each contract represents $100,000 notional value.
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
---------------- ---------------- ---------------- ----------------
EUR 1,776 USD 1,683 05/23/00 $ 34
================
See accompanying notes which are an integral part of the financial statements.
132 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investments at market (identified cost $832,407) ....................... $ 810,560
Cash ................................................................... 510
Unrealized appreciation on foreign currency exchange spot contracts .... 34
Receivables:
Dividends and interest ............................................... 9,484
Investments sold (regular settlement) ................................ 27,257
Investments sold (delayed settlement) ................................ 2,687
Fund shares sold ..................................................... 1,137
From Advisor ......................................................... 42
Prepaid expenses ....................................................... 11
--------------
Total assets ...................................................... 851,722
LIABILITIES
Payables:
Investments purchased (regular settlement) ............ $ 31,883
Investments purchased (delayed settlement) ............ 71,211
Fund shares redeemed .................................. 674
Accrued fees to affiliates ............................ 345
Other accrued expenses ................................ 129
Options written, at market value (premiums
received $132) ........................................ 108
--------------
Total liabilities ................................................. 104,350
--------------
NET ASSETS $ 747,372
==============
NET ASSETS CONSIST OF:
Undistributed net investment income .................................... $ 4,011
Accumulated net realized gain (loss) ................................... (32,860)
Unrealized appreciation (depreciation) on:
Investments .......................................................... (21,847)
Options written ...................................................... 24
Foreign currency-related transactions ................................ 52
Shares of beneficial interest .......................................... 343
Additional paid-in capital ............................................. 797,649
--------------
NET ASSETS.............................................................. $ 747,372
==============
Net Asset Value, offering and redemption price per share:
Class C ($5,238,090 divided by 235,876 shares of $.01 par value
shares of beneficial interest outstanding)......................... $ 22.21
==============
Class E ($3,785,584 divided by 170,391 shares of $.01 par value
shares of beneficial interest outstanding)......................... $ 22.22
==============
Class S ($738,348,707 divided by 33,851,821 shares of $.01 par value
shares of beneficial interest outstanding)......................... $ 21.81
==============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Diversified Bond Fund 133
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
INVESTMENT INCOME
<S> <C> <C>
Interest ............................................... $ 16,649 $ 49,620
Dividends from Money Market Fund ....................... 902 3,655
Dividends .............................................. 99 226
----------------- -----------------
Total investment income ............................. 17,650 53,501
----------------- -----------------
EXPENSES
Advisory fees .......................................... 996 3,277
Administrative fees .................................... 127 419
Custodian fees ......................................... 186 529
Distribution fees - Class C ............................ 12 19
Transfer agent fees .................................... 182 598
Professional fees ...................................... 19 48
Registration fees ...................................... 23 138
Shareholder servicing fees - Class C ................... 4 6
Shareholder servicing fees - Class E ................... 3 12
Trustees' fees ......................................... 6 9
Miscellaneous .......................................... 18 79
----------------- -----------------
Total expenses ...................................... 1,576 5,134
----------------- -----------------
Net investment income .................................... 16,074 48,367
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ............................................ (4,605) (18,318)
Options written ........................................ (134) 434
Foreign currency-related transactions .................. 186 42
----------------- -----------------
(4,553) (17,842)
----------------- -----------------
Net change in unrealized appreciation (depreciation) on:
Investments ............................................ 1,795 (41,035)
Options written ........................................ 165 (243)
Foreign currency-related transactions .................. 52 --
----------------- -----------------
2,012 (41,278)
----------------- -----------------
Net realized and unrealized gain (loss) .................. (2,541) (59,120)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .... $ 13,533 $ (10,753)
================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
134 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C> <C>
Net investment income ........................................... $ 16,074 $ 48,367 $ 45,167
Net realized gain (loss) ........................................ (4,553) (17,842) 15,381
Net change in unrealized appreciation (depreciation) ............ 2,012 (41,278) (183)
----------------- ----------------- -----------------
Net increase (decrease) in net assets from operations ........ 13,533 (10,753) 60,365
----------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income
Class C ...................................................... (79) (122) --
Class E ...................................................... (63) (255) (241)
Class S ...................................................... (11,921) (48,247) (45,737)
From net realized gain
Class C ...................................................... -- (2) --
Class E ...................................................... -- (29) (67)
Class S ...................................................... -- (4,549) (11,680)
Tax return of capital
Class S ...................................................... -- (880) --
----------------- ----------------- -----------------
Net decrease in net assets from distributions ............. (12,063) (54,084) (57,725)
----------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ... (28,063) 25,338 121,024
----------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ....................... (26,593) (39,499) 123,664
NET ASSETS
Beginning of period ............................................. 773,965 813,464 689,800
----------------- ----------------- -----------------
End of period (including undistributed net investment income of
$4,011 at April 30, 2000) .................................... $ 747,372 $ 773,965 $ 813,464
================= ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Diversified Bond Fund 135
<PAGE>
DIVERSIFIED BOND FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD .................. $ 22.24 $ 24.00
---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ........................... .40 1.03
Net realized and unrealized gain (loss) ............. (.08) (1.61)
---------- ----------
Total income from operations ..................... .32 (.58)
---------- ----------
DISTRIBUTIONS
From net investment income .......................... (.35) (1.05)
From net realized gain .............................. -- (.13)
---------- ----------
Total distributions .............................. (.35) (1.18)
---------- ----------
NET ASSET VALUE, END OF PERIOD ........................ $ 22.21 $ 22.24
========== ==========
TOTAL RETURN (%)(b) ................................... 1.44 (2.47)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ............ 5,238 4,652
Ratios to average net assets (%)(c):
Operating expenses ............................... 1.62 1.62
Net investment income ............................ 5.36 4.88
Portfolio turnover rate (%) ......................... 74.47 152.23
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of sale) to December 31,
1999.
(a) Average month-end shares were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
136 Diversified Bond Fund
<PAGE>
DIVERSIFIED BOND FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-------------------------------------------
2000* 1999 1998 1997 1996**
--------- -------- -------- -------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ....... $ 22.23 $ 23.92 $ 24.06 $ 22.98 $ 23.16
--------- -------- -------- -------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ................ .45 1.30 1.32 1.22 .25
Net realized and unrealized gain (loss) .. (.07) (1.65) .45 .66 (.09)
--------- -------- -------- -------- ----------
Total income from operations ............. .38 (.35) 1.77 1.88 .16
--------- -------- -------- -------- ----------
DISTRIBUTIONS
From net investment income ............... (.39) (1.21) (1.56) (.72) (.34)
From net realized gain ................... -- (.13) (.35) (.08) --
--------- -------- -------- -------- ----------
Total distributions ................... (.39) (1.34) (1.91) (.80) (.34)
--------- -------- -------- -------- ----------
NET ASSET VALUE, END OF PERIOD ............. $ 22.22 $ 22.23 $ 23.92 $ 24.06 $ 22.98
========= ======== ======== ======== ==========
TOTAL RETURN (%)(b) ........................ 1.72 (1.51) 7.63 8.35 .67
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands).. 3,786 3,639 4,703 2,469 962
Ratios to average net assets (%)(c):
Operating expenses .................... .87 .87 .98 1.29 1.31
Net investment income ................. 6.11 5.49 5.42 5.64 5.75
Portfolio turnover rate (%) .............. 74.47 152.23 216.88 172.43 138.98
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period November 4, 1996 (commencement of sale) to December 31,
1996.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Diversified Bond Fund 137
<PAGE>
DIVERSIFIED BOND FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- -------- -------- -------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ....... $ 21.77 $ 23.53 $ 23.43 $ 22.97 $ 23.69 $ 21.53
--------- -------- -------- -------- ---------- --------
INCOME FROM OPERATIONS
Net investment income (a) ................ .46 1.31 1.38 1.45 1.47 1.54
Net realized and unrealized gain (loss) .. (.08) (1.60) .47 .56 (.71) 2.18
--------- -------- -------- -------- ---------- --------
Total income from operations .......... .38 (.29) 1.85 2.01 .76 3.72
--------- -------- -------- -------- ---------- --------
DISTRIBUTIONS
From net investment income ............... (.34) (1.32) (1.40) (1.47) (1.48) (1.56)
From net realized gain ................... -- (.13) (.35) (.08) -- --
Tax return of capital .................... -- (.02) -- -- -- --
--------- -------- -------- -------- ---------- --------
Total distributions ................... (.34) (1.47) (1.75) (1.55) (1.48) (1.56)
--------- -------- -------- -------- ---------- --------
NET ASSET VALUE, END OF PERIOD ............. $ 21.81 $ 21.77 $ 23.53 $ 23.43 $ 22.97 $ 23.69
========= ======== ======== ======== ========== ========
TOTAL RETURN (%)(b)(c) ..................... 1.77 (1.26) 8.09 9.09 3.43 17.76
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands).. 738,348 765,674 808,761 687,331 554,804 513,808
Ratios to average net assets (%)(b)(d):
Operating expenses .................... .61 .61 .57 .60 .61 .59
Net investment income ................. 6.36 5.78 5.83 6.35 6.46 6.69
Portfolio turnover rate (%) .............. 74.47 152.23 216.88 172.43 138.98 135.85
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) 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 the periods thereafter, they are reported net of
investment management fees but gross of any investment services fees. See
Note 4.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
138 Diversified Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
LONG-TERM INVESTMENTS - 107.0%
ASSET-BACKED SECURITIES - 7.1%
ACLC Franchise Loan Receivables
Series 1997-B Class A1
6.728% due 04/15/14 919 872
Arcadia Automobile Receivables Trust
Series 1997-D Class A3
6.200% due 05/15/03 378 376
Caterpillar Financial Asset Trust
Series 1999-A Class A2
5.900% due 03/25/02 468 467
Centex Home Equity
Series 1999-2 Class A1
5.910% due 04/25/19 421 416
Chase Credit Card Master Trust
Series 1997-3 Class A
6.777% due 05/15/07 2,197 2,160
Chase Manhattan Auto Owner Trust
Series 1998-A Class A3
5.700% due 09/17/01 402 402
Citibank Credit Card Master Trust I
Series 1999-1 Class B
5.750% due 02/15/06 1,205 1,130
Conseco Finance
Series 1999-H Class AF1
6.450% due 12/15/29 443 441
Series 2000-B Class AF1
6.940% due 11/15/14 (b) 516 510
Conseco Finance
Securitizations Corp.
Series 2000-1 Class A1
6.840% due 05/01/31 548 546
Contimortgage Home Equity
Loan Trust
Series 1999-3
6.420% due 04/25/14 637 633
Cross Country Master Credit Card
Trust II
Series 1999-1 Class A
6.630% due 09/15/05 (b) 1,700 1,700
Daimler-Benz Auto Grantor Trust
Series 1997-A Class A
6.050% due 03/31/05 542 537
Daimler-Benz Vehicle Trust
Series 1998-A Class A3
5.160% due 01/20/03 1,000 991
Discover Card Master Trust I
Series 1998-7 Class A
5.600% due 05/15/06 485 458
Series 1999-6 Class A
6.850% due 07/17/07 650 634
Duck Automobile Grantor Trust
Step-Up Bond
Series 1999-B Class A
6.450% due 04/15/04 (b) 1,016 1,013
EQCC Home Equity Loan Trust
Series 1999-1 Class A1F
5.770% due 05/20/10 178 176
Series 1999-3 Class A1F
6.548% due 04/25/10 166 152
Federal Housing Authority
7.430% due 07/01/22 1,572 1,495
First Plus Home Loan Trust
Step-Up Bond
Series 1998-5 Class A3
6.060% due 09/10/11 (b) 1,975 1,968
Ford Credit Automobile Owner Trust
Series 1998-A Class A3
5.650% due 10/15/01 77 77
Series 1998-B Class A3
5.850% due 10/15/01 300 299
Series 1999-B Class A3
5.470% due 09/15/01 722 720
Series 1999-C Class A3
5.770% due 11/15/01 1,145 1,141
Series 1999-D Class A3
6.200% due 04/15/02 1,018 1,014
Series 2000-A Class A5
7.190% due 03/15/04 1,100 1,096
General Motors Acceptance Corp.
Grantor Trust
Series 1997-A Class A
6.500% due 04/15/02 306 304
GMAC Commercial Mortgage
Securities, Inc.
Series 1996-C1 Class F
7.860% due 11/15/06 500 418
Green Tree Financial Corp.
Series 1998-1 Class A2
5.850% due 11/01/29 167 166
Green Tree Home Improvement
Loan Trust
Series 1998-E Class HIA1
5.907% due 08/15/07 427 426
Green Tree Lease Finance LLC
Series 1997-1 Class A3
6.170% due 09/20/05 294 293
Greenpoint Manufactured Housing
Series 1999-5 Class A1
6.750% due 04/15/11 (b) 448 445
140 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
Greenwich Capital Acceptance, Inc.
Series 1994 Class A-1
8.869% due 11/25/24 (b) 20 20
Harley-Davidson Eaglemark
Motorcycle Trust
Series 1998-2 Class A1
5.770% due 09/16/02 445 444
Series 1999-3 Class A1
6.220% due 02/15/04 391 389
Household Home Equity Loan Trust
Series 1999-1 Class A1
6.830% due 12/20/16 (b) 369 368
MBNA Master Credit Card Trust
Series 1999-B Class A
5.900% due 08/15/11 1,709 1,540
Series 1999-J Class A
7.000% due 02/15/12 1,600 1,552
MMCA Auto Owner Trust
Series 1999-1 Class A2
5.430% due 01/15/04 251 250
Series 1999-2 Class A1
6.300% due 06/15/02 517 516
Nissan Auto Receivables
Grantor Trust
Series 1998-A Class A
5.450% due 04/15/04 398 393
Nissan Auto Receivables Owner Trust
Series 2000-A Class A2
6.730% due 05/15/02 600 599
Peco Energy Transition Trust
Series 2000-A Class A3
7.625% due 03/01/10 375 374
Premier Auto Trust
6.400% due 10/06/01 213 213
Series 1998-5 Class A3
5.070% due 07/08/02 459 454
Series 1999-2 Class A2
5.280% due 11/08/01 330 329
Series 1999-3 Class A2
5.820% due 02/08/02 533 531
Residential Asset Securities Corp.
Series 1999-KS2 Class AI1
6.225% due 04/25/14 (b) 169 168
Student Loan Marketing Association
Series 1996-4 Class A1
6.280% due 07/25/04 (b) 1,578 1,570
Series 1997-3 Class A1
6.400% due 04/25/06 (b) 1,623 1,616
The Money Store Home Equity Trust
Series 1998-B Class AF3
6.040% due 08/15/17 2,874 2,857
Toyota Auto Receivables Owner Trust
Series 1999-A Class A2
5.800% due 12/17/01 275 274
USAA Auto Loan Grantor Trust
Series 1997-1 Class A
6.000% due 05/15/04 553 549
WFS Financial Owner Trust
Series 1998-C Class A2
5.524% due 08/20/01 103 103
Series 1998-C Class A3
5.650% due 11/20/02 (b) 3,000 2,976
----------
41,561
----------
CORPORATE BONDS AND NOTES - 34.7%
AAG Holding Co., Inc.
6.875% due 06/01/08 450 409
Abitibi-Consolidated Finance
7.875% due 08/01/09 514 483
Adelphia Business Solutions
12.000% due 11/01/07 65 66
Adelphia Communications Corp.
7.875% due 05/01/09 65 55
9.375% due 11/15/09 410 381
Advantica Restaurant Group, Inc.
11.250% due 01/15/08 25 16
Agrilink Foods, Inc.
11.875% due 11/01/08 70 62
Ahold Finance USA, Inc.
6.250% due 05/01/09 1,025 892
6.875% due 05/01/29 350 288
Airgate Pcs, Inc.
Step-Up Bond
Zero Coupon due 10/01/09 (b) 40 23
Albertson's, Inc.
7.450% due 08/01/29 510 475
Allied Waste North America
Series B
10.000% due 08/01/09 30 20
7.375% due 01/01/04 550 470
7.625% due 01/01/06 1,025 794
7.875% due 01/01/09 30 23
American Airlines, Inc.
9.710% due 01/02/07 (b) 283 285
Series 1990-H
9.800% due 01/02/08 1,190 1,260
Multistrategy Bond Fund 141
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
American General Corp.
7.500% due 07/15/25 110 103
American General
Institutional Capital
Series B
8.125% due 03/15/46 1,260 1,177
American Restaurant Group, Inc.
Series B
11.500% due 02/15/03 45 32
American Standard, Inc.
Series GBP
8.250% due 06/01/09 35 54
AMR Corp.
9.950% due 03/07/01 1,000 1,017
Amresco, Inc.
Series 98-A
9.875% due 03/15/05 650 436
Amtrol, Inc.
10.625% due 12/31/06 45 43
APP Global Finance, Ltd.
10.526% due 10/04/01 (b) 2,650 1,977
Aramark Corp.
6.750% due 08/01/04 1,450 1,324
Arco Chemical Co.
9.800% due 02/01/20 65 59
ARG Funding Corp.
Series 1999-1A Class A3
6.020% due 05/20/05 (b) 1,825 1,728
ASAT Finance LLC
12.500% due 11/01/06 20 21
AT&T Capital Corp.
7.000% due 08/15/01 5,700 5,671
7.110% due 09/13/01 (b) 2,650 2,636
AT&T Corp.
6.500% due 03/15/29 610 515
Avon Products Inc.
7.150% due 11/15/09 510 480
AXA Financial, Inc.
6.500% due 04/01/08 250 229
7.000% due 04/01/28 420 369
Banc One Corp.
7.625% due 10/15/26 305 260
8.000% due 04/29/27 150 147
Banesto Delaware, Inc.
8.250% due 07/28/02 500 501
Bank of America Corp.
6.170% due 03/05/01 (b) 5,000 4,994
Bank One Corp.
Series A
6.000% due 02/17/09 175 153
BankBoston NA
6.375% due 04/15/08 495 449
Bankers Trust Corp.
6.200% due 05/11/03 (b) 2,000 1,995
Bay View Capital Corp.
9.125% due 08/15/07 230 173
BellSouth Telecommunications, Inc.
6.375% due 06/01/28 595 491
Beneficial Corp.
6.500% due 04/02/02 (b) 2,000 1,998
Brazil, Republic of
8.000% due 04/15/14 273 196
British Aerospace PLC
7.450% due 03/03/39 (b) 100 151
Budget Group, Inc.
9.125% due 04/01/06 30 24
Buhrmann US, Inc.
12.250% due 11/01/09 65 67
Building Materials Corp.
8.000% due 10/15/07 650 556
Building One Services Corp.
10.500% due 05/01/09 60 54
Burlington Northern Santa Fe
6.700% due 08/01/28 400 330
Charter Communications
Holdings, LLC
8.250% due 04/01/07 750 671
Chase Manhattan Corp.
7.000% due 11/15/09 510 479
Cheasapeake Energy
9.625% due 05/01/05 60 58
Chippac Intl., Ltd.
12.750% due 08/01/09 45 47
Cincinnati Financial Corp.
6.900% due 05/15/28 1,000 867
CIT Group, Inc.
7.125% due 10/15/04 165 161
Citibank Mxn Linked Deposit
Zero Coupon due 12/03/01 40 40
Citicorp
6.189% due 08/13/02 (b) 2,000 1,997
6.375% due 11/15/08 1,046 957
CK Witco Corp.
8.500% due 03/15/05 850 848
142 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
CMS Energy Corp.
7.500% due 01/15/09 435 380
Coastal Corp.
6.569% due 03/01/02 (b) 3,000 3,000
6.200% due 05/15/04 1,850 1,743
Coca Cola Enterprises PLC
6.750% due 03/12/08 80 122
Colo.Com
Series UNIT
13.875% due 03/15/10 20 20
Columbia/HCA Healthcare Corp.
8.020% due 08/05/02 2,000 1,938
7.190% due 11/15/15 250 204
7.500% due 12/15/23 645 523
Comcast Cable Communications
8.375% due 05/01/07 55 56
Comcast Corp.
7.625% due 02/15/08 100 96
Commercial Federal Corp.
7.950% due 12/01/06 100 95
Comstock Res, Inc.
11.250% due 05/01/07 55 54
Conmed Corp.
9.000% due 03/15/08 350 319
Connecticut Light & Power Co.
7.875% due 10/01/24 800 799
Conoco, Inc.
6.950% due 04/15/29 735 659
Courtyard Marriott II, Ltd.
Series B
10.750% due 02/01/08 70 69
Covad Communications Group
12.000% due 02/15/10 40 38
Crescent Real Estate Equities
7.000% due 09/15/02 (b) 900 816
7.125% due 09/15/07 (b) 525 425
CSC Holdings, Inc.
7.875% due 12/15/07 690 656
7.250% due 07/15/08 395 360
Series B
8.125% due 07/15/09 325 321
8.125% due 08/15/09 200 191
CSX Corp.
6.800% due 12/01/28 1,400 1,152
Cybernet Internet Services
International
14.000% due 07/01/09 5 4
Dade International, Inc.
Series B
11.125% due 05/01/06 30 28
DaimlerChrysler North America
Holding
7.400% due 01/20/05 1,625 1,602
Delphi Automotive Systems Corp.
7.125% due 05/01/29 415 352
Delta Air Lines, Inc.
7.700% due 12/15/05 950 903
8.300% due 12/15/29 575 514
Dow Chemical Co.
7.375% due 11/01/29 490 466
Dynegy, Inc.
7.450% due 07/15/06 519 499
Echostar DBS Corp.
9.375% due 02/01/09 29 28
Enron Corp.
6.578% due 09/10/01 (b) 3,000 2,995
EOP Operating LLP
7.500% due 04/19/29 510 422
EOP Operating, L.P.
6.500% due 01/15/04 1,100 1,034
ERAC USA Finance Co.
6.350% due 01/15/01 725 719
8.250% due 05/01/05 205 202
Exide Corp.
2.900% due 12/15/05 750 431
Extendicare Health Services, Inc.
9.350% due 12/15/07 1,150 575
Fairchild Semiconductor Corp.
10.375% due 10/01/07 35 35
Federated Department Stores, Inc.
7.000% due 02/15/28 245 207
6.900% due 04/01/29 210 175
Finova Capital Corp.
Series EMTN
6.441% due 06/18/03 (b) 2,000 1,992
First Security Corp.
5.875% due 11/01/03 3,000 2,810
First Union Corp.
6.950% due 11/01/04 2,164 2,109
Firstworld Communications, Inc.
Step-Up Bond
Zero Coupon due 04/15/08 (b) 35 16
Fleet Boston Corp.
7.375% due 12/01/09 500 480
Fleming Cos., Inc.
Series B
10.500% due 12/01/04 20 18
Florida Windstorm Underwriting
7.125% due 02/25/19 450 422
Multistrategy Bond Fund 143
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
Foamex LP Foamex Capital Corp.
13.500% due 08/15/05 25 22
Ford Motor Co.
6.625% due 10/01/28 145 124
Ford Motor Credit Co.
8.200% due 02/15/02 2,755 2,778
6.224% due 02/13/03 (b) 2,000 1,994
6.310% due 05/21/04 (b) 5,000 4,964
6.700% due 07/16/04 2,425 2,332
7.500% due 03/15/05 500 494
5.800% due 01/12/09 500 436
7.375% due 10/28/09 705 681
Fuji JGB Investment, LLC
9.870% due 12/31/49 (e) 575 560
Generac Portable Products, LLC
11.250% due 07/01/06 40 38
General Electric Capital Corp.
Series A
7.250% due 02/01/05 1,125 1,118
7.375% due 01/19/10 545 544
General Motors Acceptance Corp.
6.540% due 04/05/04 (b) 2,000 2,020
7.750% due 01/19/10 470 464
GEO Specialty Chemicals, Inc.
10.125% due 08/01/08 45 39
Global Crossing Holdings, Ltd.
9.125% due 11/15/06 310 301
9.625% due 05/15/08 450 441
Global Tele-Systems, Ltd.
11.500% due 12/15/07 70 30
Gold Eagle Capital, Ltd.
11.453% due 04/15/01 (b) 285 285
Golden State Holdings
7.125% due 08/01/05 1,835 1,610
Goldman Sachs Group, Inc.
6.340% due 02/22/02 (b) 5,000 5,003
Series B
7.350% due 10/01/09 500 478
Grove Holdings, LLC
Step-Up Bond
Zero Coupon due 05/01/09 (b) 250 21
Grove Worldwide, LLC
9.250% due 05/01/08 150 63
GS Escrow Corp.
7.000% due 08/01/03 425 389
GTE Corp.
6.940% due 04/15/28 670 587
GTE North, Inc.
6.900% due 11/01/08 195 184
Halyard Re BV
10.504% due 04/05/02 (b) 300 300
Hanger Orthopedic Group
11.250% due 06/15/09 10 8
Harrahs Operating Co., Inc.
7.500% due 01/15/09 550 509
Hartford Life, Inc.
7.650% due 06/15/27 220 207
Health Care REIT, Inc.
7.625% due 03/15/08 575 505
Heller Financial, Inc.
Series I
6.448% due 02/05/01 (b) 2,000 2,006
Hertz Corp.
7.625% due 08/15/07 130 127
High Voltage Engineering
10.500% due 08/15/04 45 34
HMH Properties, Inc.
Series A
7.875% due 08/01/05 430 387
Home Interiors & Gifts, Inc.
10.125% due 06/01/08 60 47
Honeywell International, Inc.
7.500% due 03/01/10 255 252
Horseshoe Gaming Holding Corp.
8.625% due 05/15/09 925 865
Household Finance Corp.
7.875% due 03/01/07 504 499
6.250% due 04/30/07 400 56
5.875% due 02/01/09 560 484
6.375% due 08/01/10 235 207
HSBC Capital Funding, L.P.
10.176% due 12/31/49 (b) 255 264
Huntsman Corp.
9.500% due 07/01/07 55 50
ICG Holdings, Inc.
Step-Up Bond
Zero Coupon due 05/01/06 (b) 45 36
Imperial Capital Trust I
Series B
9.980% due 12/31/26 250 219
Impress Metal Pack Holding
9.875% due 05/29/07 55 26
Intermedia Communications Inc.
8.600% due 06/01/08 350 319
Intermedia Communications, Inc.
Series B
8.500% due 01/15/08 205 187
International Business Machines Corp.
6.500% due 01/15/28 335 296
Interpool Capital Trust
Series B
9.875% due 02/15/27 415 312
144 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
IPC Information Systems, Inc.
Step-Up Bond
Zero Coupon due 05/01/08 (b) 40 34
IT Group, Inc.
Series B
11.250% due 04/01/09 50 45
ITC Deltacom, Inc.
11.000% due 06/01/07 25 26
9.750% due 11/15/08 20 19
ITT Corp.
6.250% due 11/15/00 3,000 2,959
John Hancock Mutual Life
Insurance Co.
7.375% due 02/15/24 350 325
K Mart Funding Corp.
Series F
8.800% due 07/01/10 460 440
Kaufman and Broad Home Corp.
7.750% due 10/15/04 300 277
Kroger Co.
8.050% due 02/01/10 475 466
7.250% due 06/01/09 750 704
LCI International, Inc.
7.250% due 06/15/07 850 819
Leap Wireless
12.500% due 04/15/10 35 34
Lear Corp.
7.960% due 05/15/05 1,850 1,701
Lehman Brothers Holdings Corp.
7.145% due 11/30/06 (b) 4,640 4,292
Lehman Brothers Holdings, Inc.
6.625% due 04/01/04 1,803 1,724
7.625% due 06/01/06 475 467
Series E
7.190% due 04/02/02 (b) 3,000 3,012
Lenfest Communications, Inc.
8.375% due 11/01/05 330 330
Level 3 Communications, Inc.
10.750% due 03/15/08 45 39
11.000% due 03/15/08 175 169
11.250% due 03/15/10 100 96
Step-Up Bond
Zero Coupon due 03/15/10 (b) 1,700 888
Lockheed Martin Corp.
6.850% due 05/15/01 5,000 4,960
8.500% due 12/01/29 445 435
Lodgenet Entertainment Corp.
10.250% due 12/15/06 55 55
Louisiana Land and Exploration Co.
7.650% due 12/01/23 494 435
Lowes Cos., Inc.
6.875% due 02/15/28 535 460
6.500% due 03/15/29 205 168
Lucent Technologies, Inc.
6.450% due 03/15/29 340 294
Luxfer Holdings PLC
10.125% due 05/01/09 30 45
McLeodUSA, Inc.
8.375% due 03/15/08 825 755
McLeodUSA, Inc.
Step-Up Bond
Zero Coupon due 03/01/07 (b) 950 760
Merrill Corp.
Series Unit
12.000% due 05/01/09 52 48
Merrill Lynch & Co.
Series B
6.189% due 06/04/01 (b) 5,000 4,982
Series E
7.375% due 12/17/07 80 127
Merrill Lynch & Co., Inc.
6.471% due 11/01/01 (b) 5,000 4,996
6.375% due 10/15/08 1,000 904
6.875% due 11/15/18 605 535
Metromedia Fiber Network, Inc.
10.000% due 12/15/09 20 19
MGC Communications, Inc.
13.000% due 04/01/10 55 52
MMI Capital Trust I
Series B
7.625% due 12/15/27 1,225 1,006
Morgan Stanley Dean Witter & Co.
Series C
5.820% due 06/19/00 (b) 3,000 2,962
Namazu Re, Ltd.
10.609% due 12/02/04 (b) 285 281
Nationsbank Corp.
6.800% due 03/15/28 450 385
Neff Corp.
10.250% due 06/01/08 60 49
New England Education Loan Marketing
Corp
6.310% due 06/11/01 (b) 4,000 3,997
News America Holdings, Inc.
8.875% due 04/26/23 275 278
News America, Inc.
7.300% due 04/30/28 250 216
Multistrategy Bond Fund 145
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
Nextel Communications, Inc.
9.950% due 02/15/08 425 298
Step-Up Bond
Zero Coupon due 09/15/07 (b) 855 646
NEXTLINK Communications, Inc.
10.750% due 11/15/08 1,000 980
10.750% due 06/01/09 35 34
Step-Up Bond
Zero Coupon due 04/15/08 (b) 625 381
Step-Up Bond
Zero Coupon due 06/01/09 (b) 400 234
Niagara Mohawk Power Corp.
8.750% due 04/01/22 500 502
Series B
7.000% due 10/01/00 2,268 2,264
Norfolk Southern Corp.
7.050% due 05/01/37 1,110 1,071
North American Van Lines, Inc.
13.375% due 12/01/09 75 71
Northpoint Communication
Group, Inc.
12.875% due 02/15/10 40 36
NTL Communications Corp.
9.250% due 11/15/06 55 50
Ocwen Capital Trust
10.875% due 08/01/27 300 168
Official Information Co.
Series B
10.375% due 11/01/07 35 33
Oil Purchase Co.
7.100% due 04/30/02 209 196
Orion Power Holdings, Inc.
12.000% due 05/01/10 50 50
Orius Capital Corp.
12.750% due 02/01/10 40 40
Paine Webber Group, Inc.
6.450% due 12/01/03 500 474
6.375% due 05/15/04 425 398
Park Place Entertainment Corp.
8.500% due 11/15/06 250 243
9.375% due 02/15/07 400 396
Paxson Communications Corp.
11.625% due 10/01/02 550 567
Penhall International Corp.
12.000% due 08/01/06 30 29
Penn National Gaming, Inc.
10.625% due 12/15/04 40 40
Pentacon, Inc.
Series B
12.250% due 04/01/09 25 13
Petro Stopping Centers
10.500% due 02/01/07 50 44
Pharmacia Corp.
6.600% due 12/01/28 570 485
Phoenix Color Corp.
10.375% due 02/01/09 60 53
Plains Resources, Inc.
Series B
10.250% due 03/15/06 5 5
Series E
10.250% due 03/15/06 55 53
PNC Funding Corp.
6.125% due 02/15/09 105 93
7.500% due 11/01/09 430 412
Polestar Corp.
10.500% due 05/30/08 25 38
Precision Partners, Inc.
12.000% due 03/15/09 15 10
Premier Parks, Inc.
9.750% due 06/15/07 225 214
Step-Up Bond
Zero Coupon due 04/01/08 (b) 375 247
Procter & Gamble Co.
6.600% due 12/15/04 1,195 1,156
Prudential Insurance Co. of America
6.875% due 04/15/03 700 686
6.375% due 07/23/06 475 435
PSEG Energy Holdings
9.125% due 02/10/04 300 299
Psinet, Inc.
11.500% due 11/01/08 145 131
PX Escrow Corp.
Step-Up Bond
Zero Coupon due 02/01/06 (b) 1,275 650
Qwest Communications International, Inc.
Series B
7.250% due 11/01/08 200 188
Railworks Corp.
11.500% due 04/15/09 70 66
Raytheon Co.
8.200% due 03/01/06 415 406
RBF Finance Co.
11.000% due 03/15/06 35 37
Regional Independent Media
12.875% due 07/01/08 25 27
Republic Services, Inc.
7.125% due 05/15/09 175 145
Resolution Funding Corp.
Principal Strip
Zero Coupon due 01/15/21 1,232 324
146 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
Revlon Consumer Products Corp.
8.625% due 02/01/08 675 327
Rhythms Netconnections, Inc.
12.750% due 04/15/09 20 17
Rockwell International Corp.
6.700% due 01/15/28 400 350
Rose Hills Corp.
9.500% due 11/15/04 500 310
RSL Communications PLC
12.875% due 03/01/10 5 5
Sabreliner Corp.
11.000% due 06/15/08 25 21
Saks, Inc.
7.375% due 02/15/19 320 235
Salomon, Inc.
6.356% due 11/28/00 45 45
6.000% due 12/03/02 (b) 51 49
Seagate Technology, Inc.
7.450% due 03/01/37 850 673
Seismic, Ltd.
10.790% due 01/01/02 320 320
Sempra Energy
7.950% due 03/01/10 350 341
Shopping Center Associates
7.625% due 05/15/05 500 477
Simon Debartolo Group, LP
6.625% due 06/15/03 500 473
Smithfield Foods, Inc.
7.625% due 02/15/08 325 283
Societe Generale
7.850% due 04/29/49 (e) 425 400
Spectrasite Holdings, Inc.
Zero Coupon due 03/15/10 75 39
Spieker Properties, L.P.
6.950% due 12/15/02 500 489
Spintab AB
7.500% due 06/15/04 800 94
Sprint Capital Corp.
6.875% due 11/15/28 519 453
Sterling Chemicals, Inc.
Series A
11.250% due 04/01/07 10 9
Suntrust Banks, Inc.
7.750% due 05/01/10 180 178
Tele-Communications, Inc.
6.855% due 09/11/00 (b) 2,000 1,999
Tenet Healthcare Corp.
7.875% due 01/15/03 50 49
6.000% due 12/01/05 725 590
Series B
7.625% due 06/01/08 375 343
Time Warner, Inc.
7.975% due 08/15/04 225 227
7.750% due 06/15/05 300 297
8.110% due 08/15/06 450 452
8.180% due 08/15/07 450 453
6.625% due 05/15/29 1,300 1,080
Times Mirror Co.
7.450% due 10/15/09 500 486
Tokai Preferred Capital Co. LLC
9.980% due 12/29/49 (e) 1,500 1,459
Toledo Edison Co.
8.700% due 09/01/02 500 499
Toll Brothers Corp.
7.750% due 09/15/07 1,175 1,034
Transdigm, Inc.
10.375% due 12/01/08 60 47
Trenwick Capital Trust I
8.820% due 02/01/37 625 477
U.S. Bancorp
Series J
6.000% due 05/15/04 950 896
6.875% due 12/01/04 850 825
Union Planters Bank
6.500% due 03/15/18 475 409
United Rentals, Inc.
Series B
8.800% due 08/15/08 50 44
URS Corp.
Series B
12.250% due 05/01/09 45 45
US Airways Pass-Thru Certificate
Series 2000-1
8.110% due 02/20/17 200 199
US Unwired, Inc.
Step-Up Bond
13.375% due 11/01/09 (b) 83 45
US West Capital Funding, Inc.
6.875% due 08/15/01 1,900 1,885
6.875% due 07/15/28 750 646
Verio, Inc.
11.250% due 12/01/08 10 10
10.625% due 11/15/09 40 38
Viatel, Inc.
11.500% due 03/15/09 15 13
Viatel, Inc.
Step-Up Bond
Zero Coupon due 04/15/08 (b) 50 27
Wal-Mart Stores, Inc.
7.550% due 02/15/30 610 613
Walt Disney Co.
5.125% due 12/15/03 850 791
Multistrategy Bond Fund 147
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
Washington Mutual, Inc.
7.500% due 08/15/06 478 463
8.250% due 04/01/10 155 153
Series A
8.206% due 02/01/27 370 313
Waste Management, Inc.
6.875% due 05/15/09 575 470
7.000% due 07/15/28 400 279
Webster Capital Trust I
9.360% due 01/29/27 250 241
Wells Fargo & Co.
6.625% due 07/15/04 2,000 1,932
Wellsford Residential Property Trust
9.375% due 02/01/02 475 484
Western Resources, Inc.
7.125% due 08/01/09 475 339
William Hill Finance
Series REGS
10.625% due 04/30/08 5 8
Williams Communications
Group, Inc.
10.700% due 10/01/07 500 509
10.875% due 10/01/09 35 35
WorldCom, Inc.
6.950% due 08/15/28 695 613
WRC Media, Inc.
Series Unit
12.750% due 11/15/09 60 57
XM Satellite Radio, Inc.
Series Unit
14.000% due 03/15/10 55 50
Yanknets LLC
12.750% due 03/01/07 30 28
----------
202,841
----------
EURODOLLAR BONDS - 6.6%
APP Global Finance
10.761% due 04/17/02 (b) 600 468
Argentina, Republic of
11.750% due 04/07/09 240 236
12.000% due 02/01/20 200 197
Series L
7.375% due 03/31/05 (b) 48 45
Asia Pulp & Paper International
Finance Bond
Zero Coupon due 07/07/00 200 192
Brazil, Republic of
7.000% due 01/01/01 (b) 2,927 2,924
7.375% due 04/15/24 (b) 50 38
Brokat Infosystems AG
11.500% due 03/31/10 5 4
Bulgaria, Republic of
Series A
2.750% due 07/28/12 (b) 300 209
Cemex SA
8.500% due 08/31/00 1,000 1,003
Citicorp
6.298% due 06/27/02 (b) 3,000 2,993
Series E
5.500% due 06/30/10 240 107
Clondalkin Industries PLC
10.625% due 01/15/10 35 32
Colombia, Republic of
11.750% due 02/25/20 255 217
Colt Telecom Group PLC
7.625% due 12/15/09 5 4
Completel Europe
14.000% due 01/01/10 100 91
Concordia Bus AB
11.000% due 02/15/10 50 48
Countrywide Home Loan
5.250% due 12/15/05 200 90
Credit Lyonnais
6.313% due 07/10/00 (b) 4,000 3,988
Enitel ASA
Series UNT
12.500% due 04/15/10 25 23
Flags Telecom Holdings, Ltd.
11.625% due 03/30/10 90 77
Ford Credit of Canada, Ltd.
6.320% due 12/16/02 (b) 5,000 4,974
Ford Motor Credit Co.
6.406% due 01/17/02 (b) 2,175 2,165
Fresenius Medical Care Capital
Trust III
7.375% due 02/01/08 10 2
GT Group Telecom, Inc.
Step-Up Bond
Series UNIT
13.250% due 02/01/10 (b) 1,515 811
Household Bank Nevada NA
6.498% due 10/22/03 (b) 4,000 3,983
Hurst Group PLC
11.125% due 08/06/08 55 86
IFCO Systems
10.625% due 03/15/10 50 47
Jazztel PLC
13.250% due 12/15/09 15 14
Kappa Beheer BV
Step-Up Bond
Zero Coupon due 07/15/09 (b) 20 12
148 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
KPNQwest BV
8.125% due 06/01/09 20 19
Merita Bank, Ltd.
7.150% due 12/29/49 (e) 1,200 1,165
Mexico (United Mexican States)
9.875% due 02/01/10 595 615
11.375% due 09/15/16 415 470
Morgan Stanley Dean Witter
6.327% due 03/11/03 (b) 1,700 1,697
North America Capital Corp.
8.250% due 11/17/03 110 173
NTL, Inc.
Series B
Zero Coupon due 04/15/09 45 41
Ono Finance PLC
13.000% due 05/01/09 30 28
Panama, Republic of
8.875% due 09/30/27 445 377
Pannon Finance BV
7.750% due 08/03/04 45 41
Peru, Republic of
4.500% due 03/07/17 (b) 145 97
Series 20 YR
3.750% due 03/07/17 (b) 225 136
Philippines, Republic of
9.500% due 10/21/24 859 822
Poland, Republic of
Step-Up Bond
Series RSTA
4.000% due 10/27/24 (b) 1,250 825
PTC International Finance II
11.250% due 12/01/09 10 10
Royal Bank of Scotland PLC
Series 1
9.118% due 03/31/49 (e) 2,650 2,683
Skandinaviska Enskilda Banken
6.500% due 12/29/49 (e) 950 887
Turkey, Republic of
12.375% due 06/15/09 205 221
Tyco International Group SA
6.875% due 09/05/02 800 783
United Pan-Europe Communications
11.250% due 02/01/10 15 14
Upm-Kymmene Corp.
7.450% due 11/26/27 750 641
Versatel Telecom
11.250% due 03/30/10 25 22
Viatel, Inc.
11.500% due 03/15/09 10 8
Vodafone Airtouch PLC
7.625% due 02/15/05 1,410 1,403
7.875% due 02/15/30 515 494
---------
38,752
---------
MORTGAGE-BACKED SECURITIES - 44.6%
Advanta Mortgage Loan Trust
Series 97-4 Class M1
7.040% due 01/25/29 1,600 1,556
Bear Stearns Commercial Mortgage
Securities, Inc.
Series 2000-WF1 Class A1
7.640% due 02/15/09 569 569
Bear Stearns Mortgage Securities Inc.
Series 1998-2 Class B
6.750% due 04/30/30 (b) 1,592 1,486
Chase Commercial Mortgage
Securities Corp.
Series 1997-2 Class D
6.600% due 12/19/07 1,500 1,333
Credit Suisse First Boston Mortgage
Securities Corp.
Series 1998-C2 Class A1
5.960% due 12/15/07 620 582
Series 1999-C1 Class A2
7.290% due 09/15/09 (b) 450 437
DLJ Mortgage Acceptance Corp.
Series 1996-Q5 Class A1
6.690% due 06/25/26 (b) 587 576
Federal Home Loan Mortgage Corp.
6.000% 30 Year Gold TBA (d) 2,050 1,857
6.500% 30 Year Gold TBA (d) 13,865 12,951
7.500% 30 Year Gold TBA (d) 16,010 15,682
8.000% 30 Year Gold TBA (d) 11,260 11,244
Series 1037 Class Z
9.000% due 02/15/21 637 650
Series 2006 Class B
6.500% due 08/15/23 4,235 4,133
Federal Home Loan Mortgage Corp.
Participation Certificate
7.000% due 2009 294 290
11.000% due 2020 596 644
8.500% due 2025 639 648
8.500% due 2027 2,957 3,000
6.000% due 2029 5,469 4,955
6.500% due 2029 (f) 9,214 8,609
7.283% due 2029 (b) 1,602 1,581
7.500% due 2030 3,250 3,183
Multistrategy Bond Fund 149
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
Federal National Mortgage Association
6.000% 30 Year TBA (d) 3,800 3,440
6.500% 30 Year TBA (d) 5,500 5,132
7.000% 30 Year TBA (d) 3,500 3,349
6.000% due 2003 146 142
10.000% due 2005 94 97
11.000% due 2016 539 587
7.447% due 2023 (b) 374 384
9.000% due 2025 2,003 2,053
7.347% due 2026 (b) 2,930 3,058
8.500% due 2026 (f) 1,615 1,638
9.000% due 2026 518 532
6.000% due 2029 7,223 6,539
6.500% due 2029 26,283 24,534
6.750% due 2030 532 526
6.875% due 2030 356 353
7.500% due 2030 8,775 8,585
Series 1997-77 Class G
6.500% due 05/18/23 2,112 2,063
Federal National Mortgage Association
(REMIC)
Series 1992-10 Class ZD
8.000% due 11/25/21 1,931 1,934
First Union Lehman Brothers Commercial
Mortgage Trust
Pass-Thru Certificates
Series 1997-C1 Class D
7.500% due 10/18/08 250 237
GMAC Commercial Mortgage
Securities, Inc.
Series 1997-C1 Class A2
6.850% due 09/15/06 230 223
Series 1998-C1 Class A2
6.700% due 03/15/08 3,000 2,806
Government National Mortgage
Association
10.000% due 08/15/22 531 567
10.000% due 04/15/25 798 852
6.500% due 05/15/29 882 827
Government National Mortgage
Association
6.000% 30 Year TBA (d) 17,800 16,121
6.500% 30 Year TBA (d) 22,150 20,748
7.000% 30 Year TBA (d) 19,120 18,385
7.500% 30 Year TBA (d) 3,000 2,950
8.000% 30 Year TBA (d) 2,500 2,502
9.000% due 2017 1,637 1,703
6.375% due 2023 (b) 975 983
6.750% due 2023 (b) 313 316
7.125% due 2023 (b) 493 498
6.750% due 2024 (b) 2,032 2,048
7.125% due 2024 (b) 2,138 2,156
8.000% due 2024 148 149
6.375% due 2025 1,004 1,013
6.375% due 2025 (b) 242 244
6.750% due 2025 (b) 170 171
7.000% due 2025 294 283
7.125% due 2026 (b) 1,443 1,460
8.500% due 2026 1,135 1,149
6.375% due 2027 (b) 1,723 1,735
6.750% due 2027 690 695
6.750% due 2027 (b) 170 171
6.500% due 2028 90 84
7.000% due 2028 (f) 6,961 6,696
7.500% due 2029 (b) 3,217 3,164
8.000% due 2029 (b) 9,323 9,341
8.000% due 2030 2,750 2,755
Series 2000-8 Class SA
2.320% due 01/16/30 2,017 106
Series 2000-9 Class SH
3.180% due 02/16/30 4,000 3
Government National Mortgage
Association II
7.500% 30 Year TBA (d) 2,200 2,154
Government National Mortgage
Association Pass Through Certificate
Series 1999-43 Class UD
1.870% due 11/16/29 (b) 3,025 125
Government National Mortgage
Association Pass-thru Certificate
Series 1999-44 Class SA
2.420% due 12/16/29 (b) 2,375 129
LB Commercial Conduit Mortgage Trust
Series 1999-C2 Class A2
7.325% due 10/15/32 501 488
Midland Realty Acceptance Corp.
Series 1996-C2 Class A2
7.233% due 01/25/29 1,000 974
Morgan Stanley Capital I, Inc.
Series 1998-XL1 Class A3
6.480% due 05/03/08 303 282
Series 1999-LIFE Class A1
6.970% due 10/15/08 1,625 1,577
Series 1999-LIFE Class A2
7.110% due 07/15/09 954 915
Residential Funding Mortgage
Securities I
Series 1993-S20 Class A8
6.980% due 06/25/08 900 886
Series 1997-S6 Class A5
7.000% due 05/25/12 896 845
150 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
Residential Funding Mortgage
Securities II
Series 1997-HS5 Class M1
7.010% due 05/25/27 1,400 1,344
Resolution Trust Corp.
Series 1994 - C2 Class G
8.000% due 04/25/25 580 548
Series 1994-1 Class M-2
7.750% due 09/25/29 353 344
Salomon Brothers Mortgage
Securities VII
Series 1999-NC3 Class A
6.475% due 07/25/29 (b) 4,102 4,104
Salomon Brothers Mortgage
Securities VII, Inc.
Mortgage Pass-Thru Certificate
Series 1994-16 Class A
8.519% due 11/25/24 (b) 293 299
Vendee Mortgage Trust
Series 2000-1 Class 2G
7.250% due 06/15/09 330 321
Vornado Finance LLC
Series 2000-VNO Class C
8.100% due 03/15/10 (b) 1,000 1,002
----------
260,390
----------
NON-US BONDS - 0.4%
Argentina, Republic of
Series PRE1
2.951% due 04/01/01 (b) ARS 159 49
Series PRE3
2.951% due 09/01/02 ARS 134 89
Series PRO1
2.951% due 04/01/07 (b) ARS 193 135
Coral Group Holdings PLC
Series B
13.500% due 09/30/09 GBP 10 16
Energis PLC
9.125% due 03/15/10 (b) GBP 45 70
Greece, Republic of
5.900% due 02/11/03 GRD 7,000 19
Hungary, Government of
Series 01/E
15.500% due 05/12/01 HUF 12,000 44
Hungary, Republic of
9.500% due 01/12/02 HUF 17,000 60
13.500% due 11/24/01 HUF 23,300 86
IPC Magazines Group PLC
9.625% due 03/15/08 GBP 25 34
Step-Up Bond
Zero Coupon due 03/15/08 (b) GBP 25 22
Lesoth Highlands Water
12.000% due 12/01/05 ZAR 230 31
13.000% due 09/15/10 ZAR 1,000 133
New Zealand, Government of
10.000% due 03/15/02 NZD 700 358
Series 403
5.500% due 04/15/03 NZD 1,400 652
Regional Independent Media
Group PLC
10.500% due 07/01/08 GBP 45 45
Stadshypotek AB
3.500% due 09/15/04 SEK 1,000 101
Telewest PLC
9.875% due 02/01/10 GBP 35 54
Unikredit
7.000% due 10/01/29 DKK 1,476 179
----------
2,177
----------
UNITED STATES GOVERNMENT AGENCIES - 4.1%
Federal Home Loan Bank Corp.
Discount Note
Zero Coupon due 11/03/00 210 203
Federal Home Loan Mortgage Corp.
5.750% due 03/15/09 1,800 1,617
6.750% due 09/15/29 4,725 4,458
Federal National Mortgage Association
5.625% due 05/14/04 (f) 5,225 4,931
6.250% due 05/15/29 2,170 1,921
7.125% due 01/15/30 4,145 4,103
Federal National Mortgage Association
Zero Coupon due 06/01/17 6,400 1,913
Small Business Administration
Series 97-D
7.500% due 04/01/17 5,001 5,034
----------
24,180
----------
UNITED STATES GOVERNMENT TREASURIES - 7.7%
United States Treasury Bonds
Principal Strip
8.750% due 05/15/20 1,200 356
8.750% due 08/15/20 3,298 963
8.000% due 11/15/21 11,983 3,274
7.500% due 11/15/24 4,994 1,149
United States Treasury Bonds
9.250% due 02/15/16 700 901
8.875% due 08/15/17 1,100 1,392
8.750% due 08/15/20 2,100 2,685
8.125% due 05/15/21 (f) 2,775 3,366
8.000% due 11/15/21 300 361
Multistrategy Bond Fund 151
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
6.625% due 02/15/27 (f) 4,195 4,416
5.250% due 02/15/29 1,325 1,164
3.875% due 04/15/29 619 621
6.125% due 08/15/29 2,439 2,445
6.250% due 05/15/30 850 883
United States Treasury Notes
5.625% due 09/30/01 1,436 1,415
3.625% due 07/15/02 (f) 106 106
6.000% due 08/15/04 1,661 1,626
7.875% due 11/15/04 675 707
3.375% due 01/15/07 2,768 2,667
3.625% due 01/15/08 1,996 1,945
3.875% due 01/15/09 7,534 7,461
6.000% due 08/15/09 948 926
United States Treasury Principal Strip
1.163% due 11/15/04 5,312 3,940
----------
44,769
----------
YANKEE BONDS - 1.8%
Abbey National PLC
7.950% due 10/26/29 620 604
Amatek Industries Pty, Ltd.
12.000% due 02/15/08 70 65
Amvescap PLC
6.600% due 05/15/05 925 856
Asia Pulp & Paper Finance IX, Ltd.
10.526% due 10/04/01 (b) 1,200 1,056
Avecia Group PLC
11.000% due 07/01/09 30 30
Brazil, Republic of,
Series EI-L
7.375% due 04/15/06 (b) 451 402
British Sky Broadcasting
8.200% due 07/15/09 1,275 1,237
Cable Satisfaction International
Series UNIT
12.750% due 03/01/10 45 42
Colt Telecom Group PLC
Step-Up Bond
Zero Coupon due 12/15/06 (b) 600 516
Edperbrascan Corp.
7.125% due 12/16/03 925 861
Glencore Nickel Party, Ltd.
9.000% due 12/01/14 305 253
Grupo Iusacell SA de CV
10.000% due 07/15/04 750 726
Hyundai Semiconductor America, Inc.
8.625% due 05/15/07 360 315
Korea Electric Power Corp.
7.000% due 02/01/27 305 282
National Westminster Bank PLC
7.750% due 04/29/49 (e) 600 568
Philippines, Republic of
10.625% due 03/16/25 260 241
Repap New Brunswick
10.625% due 04/15/05 15 14
Royal Caribbean Cruises, Ltd.
7.000% due 10/15/07 900 795
7.500% due 10/15/27 550 461
RSL Communications PLC
9.875% due 11/15/09 75 61
Step-Up Bond
Zero Coupon due 03/01/08 (b) 450 243
St. George Bank, Ltd.
7.150% due 10/01/05 700 672
Telewest Communications PLC
Step-Up Bond
Zero Coupon due 04/15/09 (b) 35 32
Wolters Kluwer
5.500% due 09/22/06 190 168
----------
10,500
----------
TOTAL LONG-TERM INVESTMENTS
(cost $637,262) 625,170
----------
NOTIONAL
AMOUNT
(000)
$
-----------
OPTIONS PURCHASED - 0.0%
United States Treasury Bills (c)
May 100.66 Call 3,700 --
United States Treasury Bonds (c)
Aug 95.58 Call 2,225 56
Sep 102.53 Call 1,725 25
Sep 104.75 Call 5,125 44
United States Treasury Notes (c)
Aug 99.31 Call 2,700 88
Sep 102.52 Call 1,675 27
----------
TOTAL OPTIONS PURCHASED 240
(cost $285) ----------
152 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
----------- -----------
PREFERRED STOCKS - 0.6%
Adelphia Communications Corp. 5,800 609
American Restaurant Group, Inc.
Series B 10 2
Australia & New Zealand Banking
Group, Ltd. 5,300 133
Avecia Group PLC 3
California Federal Preferred Capital Corp.
Series A 18,700 416
Equity Office Properties Trust
Series B 18,000 702
Global Crossing Holdings, Ltd. 10,000 990
Granite Broadcasting Corp. 43 41
High Voltage Engineering Corp.
Series A 10 7
Nextel Communications, Inc.
Series E 30 29
Nextlink Communications 626 30
Paxson Communications Corp. 398 390
PSINet, Inc.
Series D 610 19
R&B Falcon Corp. 30 32
------------
TOTAL PREFERRED STOCKS 3,403
(cost $3,740) ------------
PRINCIPAL
AMOUNT
(000)
$
-----------
SHORT-TERM INVESTMENTS - 11.1%
American Express Credit Corp. 1&2
5.150% due 07/17/00 (a) 3,049 3,042
Citibank Service Time Deposit
Zero Coupon due 05/24/00 (a) 85 85
Citibank Costa Rica Colon Linked Time
Deposit
14.250% due 07/03/00 143 143
Citibank CRC Linked Deposit
Zero Coupon due 05/03/00 (a) 130 130
Csfb Trl Weekly Reset 5
34.310% due 03/09/01 144 144
Deutsche Bank BRL Linked
17.650% due 10/11/00 90 90
19.300% due 03/01/01 170 170
Federal Agricultural Mortgage Corp.
Discount Note
6.050% due 07/05/00 100 99
Federal Agriculture Mortgage Corp.
Discount Note
5.780% due 05/02/00 (a) 250 250
Federal Farm Credit Bank Discount Notes
5.750% due 05/19/00 (a) 100 100
5.950% due 06/06/00 (a) 100 99
Federal Home Loan Bank Consolidated
Discount Notes
5.700% due 05/05/00 (a) 720 720
5.840% due 06/15/00 (a) 100 99
5.850% due 08/02/00 230 226
5.800% due 08/08/00 250 246
6.120% due 09/27/00 100 97
6.273% due 12/04/00 250 241
6.336% due 03/08/01 195 185
6.302% due 03/23/01 100 94
6.150% due 04/09/01 100 94
Federal Home Loan Bank Corp. Discount
Note
6.050% due 07/26/00 177 174
Federal Home Loan Mortgage Corp.
6.331% due 03/01/01 100 218
Federal Home Loan Mortgage Corp.
Discount Notes
5.630% due 05/31/00 (a) 100 100
6.059% due 06/08/00 (a)(c) 100 99
Federal Home Loan Mortgage Discount
Notes
5.900% due 05/15/00 (a) 13,466 13,435
Federal National Mortgage Association
Discount Notes
5.870% due 05/04/00 (a) 500 489
5.470% due 05/11/00 (a) 228 228
6.150% due 05/26/00 (a) 100 100
6.062% due 06/01/00 (a) 150 149
5.940% due 06/06/00 (a) 100 99
6.059% due 06/08/00 (a) 100 99
6.300% due 06/20/00 (a) 100 99
6.000% due 06/22/00 (a) 2,143 2,125
5.800% due 07/06/00 100 99
5.860% due 07/20/00 450 444
6.733% due 10/27/00 156 151
Multistrategy Bond Fund 153
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- -----------
Ford Motor Credit Co.
5.950% due 05/15/00 3,049 3,042
Frank Russell Investment Company
Money Market Fund,
due on demand (a) 29,328 29,328
General Electric Capital Corp.
Discount Note
5.600% due 06/14/00 (a) 3,049 3,042
General Motors Acceptance Corp.
5.520% due 05/15/00 3,049 3,042
Salomon, Inc.
6.950% due 01/10/01 (b) 115 116
Turkey Treasury Bills
32.750% due 06/07/00 169,000 240
32.300% due 08/23/00 68,100 91
United States Treasury Bills
5.950% due 10/12/00 50 49
5.830% due 11/09/00 100 97
5.800% due 02/01/01 30 29
United States Treasury Notes
5.125% due 08/31/00 1,045 1,041
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $64,420) 64,579
----------
NUMBER
OF
SHARES
-----------
WARRANTS - 0.00%
Motient Corp. 2008 Warrants (c) -- 1
----------
TOTAL INVESTMENTS - 118.7%
(identified cost $705,707) 693,393
OTHER ASSETS AND LIABILITIES,
NET - (18.7%) (109,048)
----------
NET ASSETS - 100.0% 584,345
==========
* Each contract represents $100,000 notional value.
(a) At amortized cost, which approximates market.
(b) Adjustable or floating rate security.
(c) Nonincome-producing security.
(d) Forward commitment.
(e) Perpetual floating rate note.
(f) Held as collateral in connection with futures contracts purchased (sold)
and options written by the Fund.
(g) Rate noted is yield-to-maturity from date of acquisition.
Abbreviations:
REIT - Real Estate Investment Trust
TBA - To Be Announced Security
Foreign Currency Abbreviations:
ARS - Argentine peso
BRL - Brazilian real
CLP - Chilean peso
CNY - Chinese renminbi yuan
COP - Colombian peso
CZK - Czech koruna
DKK - Danish krone
EUR - Euro currency
GBP - British pound sterling
GRD - Greek drachma
HUF - Hungarian forint
IDR - Indonesian rupiah
ILS - Israeli shekel
INR - Indian rupee
JPY - Japanese yen
KES - Kenyan shilling
KRW - South Korean won
MXN - Mexican peso
NZD - New Zealand dollar
PEN - Peruvian nouveau sol
PHP - Philippine peso
PLN - Polish zloty
SEK - Swedish krona
SKK - Slovakian koruna
THB - Thailand baht
USD - U.S. dollar
ZAR - South African rand
See accompanying notes which are an integral part of the financial statements.
154 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
FUTURES CONTRACTS CONTRACTS (000)
------------- -----------------
LONG POSITIONS
Eurodollar
expiration date 03/01 66 $ (50)
United States Treasury 5 year Note
expiration date 06/00 50 27
United States Treasury 10 year Note
expiration date 06/00 302 220
United States Treasury Bond
expiration date 06/00 191 136
SHORT POSITIONS
United States Treasury 5 year Note
expiration date 06/00 83 (19)
United States Treasury 10 year Note
expiration date 06/00 49 (87)
United States Treasury Bond
expiration date 06/00 196 (59)
--------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts $ 168
========
NOTIONAL MARKET
AMOUNT VALUE
(000) (000)
OPTIONS WRITTEN $ $
------------ ------------
Eurodollar 3 Month Futures
Dec 93.00 Put 150 61
Eurodollar Futures
Mar 93.25 Call 50 5
Mar 92.75 Put 50 18
Dec 93.50 Put 38 31
Eurodollar Mid Curve 1 Year Futures
Dec 93.50 Put 143 116
United States Treasury Bills*
May 104.66 Call 3,700 --
May 97.28 Put 3,700 7
United States Treasury Bonds*
Aug 98.68 Call 2,225 21
Sep 103.13 5,125 129
United States Treasury Notes*
Aug 103.13 Call 2,700 30
Sep 106.53 Call 1,725 7
Sep 100.50 Put 1,675 20
Sep 99.02 Put 1,725 17
United States Treasury 5 Year Notes*
May 96.00 Put 73 5
United States Treasury 10 Year Notes*
May 99.00 Call 14 3
May 95.00 Put 14 2
May 96.00 Put 14 3
United States Treasury Bond Futures*
May 98.00 Call 2 --
May 98.00 Call 14 4
May 100.00 Call 50 2
--------
Total Liability for Options Written
(premium received $443) 481
========
See accompanying notes which are an integral part of the financial statements.
Multistrategy Bond Fund 155
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------- ------------- -------------- ------------------
USD 143 ARS 143 05/03/00 --
USD 190 ARS 196 05/03/00 6
USD 45 ARS 46 10/18/00 1
USD 53 ARS 54 10/18/00 --
USD 35 ARS 36 10/24/00 --
USD 99 BRL 180 05/15/00 --
USD 24 BRL 49 06/05/00 3
USD 20 BRL 37 07/31/00 --
USD 130 BRL 245 08/04/00 2
USD 55 CLP 28,177 05/09/00 --
USD 30 CLP 15,453 05/17/00 --
USD 50 CLP 25,453 05/30/00 (1)
USD 65 CLP 33,196 06/20/00 (1)
USD 150 CLP 79,290 08/01/00 2
USD 55 CLP 29,068 08/03/00 1
USD 45 CNY 374 06/05/00 --
USD 74 CNY 615 07/05/00 --
USD 100 COP 197,400 05/08/00 (2)
USD 63 CZK 2,356 05/03/00 (4)
USD 66 CZK 2,366 06/07/00 (6)
USD 75 CZK 2,985 08/03/00 --
USD 139 CZK 5,064 08/08/00 (12)
USD 79 CZK 2,963 10/04/00 (4)
USD 59 EUR 65 05/03/00 --
USD 5 EUR 5 07/28/00 --
USD 16 EUR 16 07/28/00 (1)
USD 21 EUR 21 07/28/00 (1)
USD 15 EUR 16 07/28/00 --
USD 22 EUR 25 07/28/00 --
USD 16 GBP 10 07/28/00 --
USD 40 GBP 26 07/28/00 --
USD 64 GRD 22,700 06/20/00 (3)
USD 296 GRD 95,401 11/06/00 (39)
USD 260 HUF 65,533 05/04/00 (30)
USD 67 IDR 506,319 05/04/00 (3)
USD 70 IDR 514,220 05/04/00 (5)
USD 44 IDR 330,000 06/20/00 (2)
USD 59 IDR 458,657 07/24/00 (1)
USD 50 ILS 205 05/15/00 1
USD 80 ILS 346 06/06/00 5
USD 41 INR 1,794 05/15/00 --
USD 36 INR 1,579 06/05/00 --
USD 89 INR 3,905 06/08/00 --
USD 185 INR 8,173 07/21/00 2
USD 23 JPY 2,439 07/28/00 --
USD 19 KES 1,414 05/03/00 --
USD 57 KES 4,224 05/03/00 (1)
USD 27 KES 2,000 7/3/2000 --
USD 44 KES 3,300 07/14/00 --
USD 36 KRW 40,608 06/05/00 1
USD 37 KRW 41,348 06/09/00 --
USD 36 KRW 39,920 06/09/00 --
USD 37 KRW 41,181 07/06/00 --
USD 92 KRW 101,927 07/26/00 --
USD 48 MXN 447 05/09/00 --
USD 48 MXN 453 05/09/00 --
USD 100 MXN 1,000 05/17/00 6
USD 25 MXN 262 10/03/00 2
USD 210 MXN 2,297 11/08/00 22
USD 90 MXN 919 11/13/00 3
USD 34 MXN 365 12/29/00 2
USD 35 MXN 380 12/29/00 3
USD 30 MXN 314 02/15/01 1
USD 100 MXN 1,025 04/16/01 (1)
USD 53 PEN 189 05/02/00 1
USD 54 PEN 189 05/02/00 --
USD 35 PEN 124 05/09/00 1
USD 30 PEN 105 05/15/00 --
USD 240 PEN 869 08/08/00 4
USD 85 PEN 305 08/11/00 --
USD 30 PEN 108 08/14/00 --
USD 375 PHP 15,326 05/08/00 (4)
USD 34 PHP 1,411 05/09/00 --
USD 20 PHP 825 06/06/00 --
USD 90 PLN 391 05/03/00 (3)
USD 150 PLN 668 05/04/00 (1)
USD 88 PLN 382 06/06/00 (5)
USD 250 PLN 1,121 12/04/00 (15)
USD 127 PLN 582 03/02/01 (7)
USD 95 PLN 435 03/12/01 (6)
USD 245 SKK 10,740 05/04/00 (11)
USD 14 SKK 620 12/18/00 (1)
USD 46 SKK 2,040 03/09/01 (2)
USD 102 THB 3,854 07/10/00 (1)
ARS 143 USD 143 05/03/00 --
ARS 196 USD 196 05/03/00 --
BRL 180 USD 102 05/15/00 3
COP 197,400 USD 99 05/08/00 2
CZK 2,356 USD 59 05/03/00 --
DKK 1,532 USD 194 07/28/00 6
EUR 65 USD 63 05/03/00 4
EUR 250 USD 245 05/04/00 18
EUR 66 USD 66 06/07/00 5
EUR 5 USD 5 07/28/00 --
EUR 50 USD 48 07/28/00 3
EUR 83 USD 79 07/28/00 3
See accompanying notes which are an integral part of the financial statements.
156 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------- ------------- -------------- ------------------
EUR 5 USD 5 07/28/00 --
EUR 201 USD 189 07/28/00 6
EUR 1,996 USD 1,889 07/28/00 62
EUR 425 USD 402 07/28/00 13
EUR 88 USD 84 07/28/00 3
EUR 35 USD 32 07/28/00 --
EUR 10 USD 9 07/28/00 --
EUR 82 USD 75 08/03/00 --
EUR 140 USD 139 08/08/00 11
EUR 81 USD 79 10/04/00 4
EUR 14 USD 14 12/18/00 1
GBP 5 USD 8 07/28/00 --
GBP 21 USD 33 07/28/00 1
GBP 9 USD 14 07/28/00 --
GBP 68 USD 108 07/28/00 1
GBP 230 USD 363 07/28/00 5
GBP 201 USD 318 07/28/00 4
GBP 238 USD 376 07/28/00 5
GRD 47,000 USD 135 11/06/00 9
JPY 2,125 USD 20 07/28/00 --
JPY 7,871 USD 76 07/28/00 2
JPY 22,562 USD 217 07/28/00 5
JPY 1,801 USD 17 07/28/00 --
JPY 1,054 USD 10 07/28/00 --
KES 3,092 USD 41 05/03/00 --
KES 2,545 USD 34 5/3/2000 --
MXN 900 USD 95 05/09/00 --
MXN 440 USD 44 05/17/00 (3)
MXN 560 USD 56 05/17/00 (3)
MXN 327 USD 31 11/08/00 (2)
MXN 219 USD 22 11/13/00 --
MXN 745 USD 70 12/29/00 (5)
PEN 189 USD 55 05/02/00 1
PEN 189 USD 54 05/02/00 --
PEN 124 USD 35 05/09/00 --
PEN 105 USD 30 05/15/00 --
PEN 469 USD 132 08/08/00 --
PEN 305 USD 85 08/11/00 --
PHP 3,229 USD 78 05/08/00 --
PLN 1,059 USD 250 05/04/00 14
PLN 382 USD 89 06/06/00 5
SEK 1,788 USD 204 07/28/00 4
--------
$ 83
========
FORWARD FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------- ------------- -------------- ------------------
USD 9 EUR 10 05/02/00 --
USD 165 NZD 332 06/15/00 (3)
EUR 16 USD 15 05/02/00 --
EUR 25 USD 22 05/03/00 --
GBP 26 USD 40 05/02/00 1
NZD 335 USD 168 05/25/00 5
--------
$ 3
========
See accompanying notes which are an integral part of the financial statements.
Multistrategy Bond Fund 157
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at market (identified cost $705,707) ............................... $ 693,393
Cash ........................................................................... 455
Unrealized appreciation on forward foreign currency exchange contracts.......... 272
Unrealized appreciation on foreign currency exchange spot contracts ............ 6
Receivables:
Dividends and interest ........................................................ 6,899
Investments sold (regular settlement) ......................................... 9,019
Investments sold (delayed settlement) ......................................... 14,704
Fund shares sold .............................................................. 1,042
Daily variation margin on futures contracts ................................... 82
Prepaid expenses ............................................................... 8
----------
Total assets ................................................................ 725,880
LIABILITIES
Payables:
Investments purchased (regular settlement)........................ $ 8,873
Investments purchased (delayed settlement)........................ 131,034
Fund shares redeemed ............................................. 460
Accrued fees to affiliates ....................................... 361
Other accrued expenses ........................................... 71
Daily variation margin on futures contracts ...................... 63
Unrealized depreciation on forward foreign currency
exchange contracts ............................................... 189
Unrealized depreciation on foreign currency
exchange spot contracts .......................................... 3
Options written, at market value (premiums received $443).......... 481
----------
Total liabilities ........................................................... 141,535
----------
NET ASSETS ..................................................................... $ 584,345
==========
NET ASSETS CONSIST OF:
Undistributed net investment income ............................................ $ 3,380
Accumulated distributions in excess of net realized gain ....................... (30,501)
Unrealized appreciation (depreciation) on:
Investments ................................................................... (12,314)
Futures contracts ............................................................. 168
Options written ............................................................... (38)
Foreign currency-related transactions ......................................... 105
Shares of beneficial interest .................................................. 618
Additional paid-in capital ..................................................... 622,927
----------
NET ASSETS ..................................................................... $ 584,345
==========
NET ASSET VALUE, offering and redemption price per share:
Class C ($7,912,612 divided by 837,737 shares of $.01 par
value shares of beneficial interest outstanding)............................. $ 9.45
==========
Class E ($3,283,867 divided by 347,405 shares of $.01 par
value shares of beneficial interest outstanding)............................. $ 9.45
==========
Class S ($573,148,569 divided by 60,606,062 shares of $.01 par
value shares of beneficial interest outstanding)............................. $ 9.46
==========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
158 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Interest .................................................. $ 13,231 $ 33,288
Dividends from Money Market Fund .......................... 789 3,945
Dividends ................................................. 107 703
----------------- -----------------
Total investment income ................................. 14,127 37,936
EXPENSES
Advisory fees ............................................. 1,152 3,380
Administrative fees ....................................... 97 288
Custodian fees ............................................ 150 387
Distribution fees - Class C ............................... 18 24
Transfer agent fees ....................................... 209 668
Professional fees ......................................... 17 37
Registration fees ......................................... 32 110
Shareholder servicing fees - Class C ...................... 6 8
Shareholder servicing fees - Class E ...................... 3 8
Trustees' fees ............................................ 6 7
Miscellaneous ............................................. 14 57
----------------- -----------------
Expenses before reductions ................................ 1,704 4,974
Expense reductions ........................................ (128) (327)
----------------- -----------------
Expenses, net ........................................... 1,576 4,647
----------------- -----------------
Net investment income ...................................... 12,551 33,289
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ............................................... (4,641) (21,697)
Futures contracts ......................................... (626) (2,837)
Options written ........................................... (72) 307
Foreign currency-related transactions ..................... 519 25
----------------- -----------------
(4,820) (24,202)
----------------- -----------------
Net change in unrealized appreciation
(depreciation) on:
Investments ............................................... 592 (13,250)
Futures contracts ......................................... 816 (123)
Options written ........................................... 284 (472)
Foreign currency-related transactions ..................... (55) 165
----------------- -----------------
1,637 (13,680)
----------------- -----------------
Net realized and unrealized gain (loss)..................... (3,183) (37,882)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS....... $ 9,368 $ (4,593)
================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Multistrategy Bond Fund 159
<PAGE>
MULTISTRATEGY BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ........................................... $ 12,551 $ 33,289 $ 29,477
Net realized gain (loss) ........................................ (4,820) (24,202) 10,515
Net change in unrealized appreciation (depreciation) ............ 1,637 (13,680) (6,774)
----------------- ----------------- -----------------
Net increase (decrease) in net assets from operations ......... 9,368 (4,593) 33,218
----------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income
Class C ....................................................... (111) (148) --
Class E ....................................................... (53) (173) (43)
Class S ....................................................... (9,065) (32,695) (29,983)
From net realized gain
Class E ....................................................... -- (2) (48)
Class S ....................................................... -- (430) (11,829)
----------------- ----------------- -----------------
Net decrease in net assets from distributions ............... (9,229) (33,448) (41,903)
----------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ... 17,589 54,301 121,730
----------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ...................... 17,728 16,260 113,045
NET ASSETS
Beginning of period ............................................. 566,617 550,357 437,312
----------------- ----------------- -----------------
End of period (including undistributed net investment income of
$3,380, $58, and accumulated distributions in excess of net
investment income of $350, respectively)....................... $ 584,345 $ 566,617 $ 550,357
================= ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
160 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
2000* 1999**
--------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ..................... $ 9.47 $ 10.14
--------- ----------
INCOME FROM OPERATIONS
Net investment income (a)................................ .17 .42
Net realized and unrealized gain (loss).................. (.05) (.63)
--------- ----------
Total income from operations .......................... .12 (.21)
--------- ----------
DISTRIBUTIONS
From net investment income .............................. (.14) (.45)
From net realized gain .................................. -- (.01)
--------- ----------
Total distributions ................................... (.14) (.46)
--------- ----------
NET ASSET VALUE, END OF PERIOD ........................... $ 9.45 $ 9.47
========= ==========
TOTAL RETURN (%)(b)....................................... 1.30 (2.10)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)................. 7,913 6,666
Ratios to average net assets (%)(c):
Operating expenses, net (d)............................ 1.80 1.80
Operating expenses, gross (d).......................... 1.87 1.84
Net investment income ................................. 5.51 4.80
Portfolio turnover rate (%).............................. 47.80 134.11
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period January 27, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
Multistrategy Bond Fund 161
<PAGE>
MULTISTRATEGY BOND FUND
FINANCIAL HIGHLIGHTS - CLASS E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------
2000* 1999 1998**
---------- ---------- ----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ........... $ 9.47 $ 10.10 $ 10.30
---------- ---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ..................... .19 .56 .16
Net realized and unrealized gain (loss)........ (.05) (.66) .07
---------- ---------- ----------
Total income from operations ................ .14 (.10) .23
---------- ---------- ----------
DISTRIBUTIONS
From net investment income .................... (.16) (.52) (.20)
From net realized gain ........................ -- (.01) (.23)
---------- ---------- ----------
Total distributions ......................... (.16) (.53) (.43)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD ................. $ 9.45 $ 9.47 $ 10.10
========== ========== ==========
TOTAL RETURN (%)(b)............................. 1.49 (1.08) 1.89
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)....... 3,284 3,248 2,610
Ratios to average net assets (%)(c)(d):
Operating expenses, net (e).................. 1.05 1.05 --
Operating expenses, gross (e)................ 1.12 1.11 --
Net investment income ....................... 6.24 5.54 --
Portfolio turnover rate (%).................... 47.80 134.11 334.86
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period September 11, 1998 (commencement of sale) to
December 31, 1998.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) The ratios for the period ended December 31, 1998 are not meaningful due to
the Class's short period of operation.
(e) See Note 4 for current period amounts.
162 Multistrategy Bond Fund
<PAGE>
MULTISTRATEGY BOND FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
-------- ---------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .... $ 9.46 $ 10.11 $ 10.26 $ 10.11 $ 10.25 $ 9.29
-------- ---------- ---------- ---------- ---------- ---------
INCOME FROM OPERATIONS
Net investment income (a)............... .20 .57 .60 .60 .61 .65
Net realized and unrealized gain (loss) (.05) (.65) .08 .33 (.12) .97
-------- ---------- ---------- ---------- ---------- ---------
Total income from operations ......... .15 (.08) .68 .93 .49 1.62
-------- ---------- ---------- ---------- ---------- ---------
DISTRIBUTIONS
From net investment income ............. (.15) (.56) (.60) (.61) (.62) (.66)
From net realized gain ................. -- (.01) (.23) (.17) (.01) --
-------- ---------- ---------- ---------- ---------- ---------
Total distributions .................. (.15) (.57) (.83) (.78) (.63) (.66)
-------- ---------- ---------- ---------- ---------- ---------
NET ASSET VALUE, END OF PERIOD .......... $ 9.46 $ 9.46 $ 10.11 $ 10.26 $ 10.11 $ 10.25
======== ========== ========== ========== ========== =========
TOTAL RETURN (%)(b) ..................... 1.58 (.81) 6.79 9.50 4.97 17.92
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period (in thousands) ................ 573,149 556,703 547,747 437,312 305,428 218,765
Ratios to average net assets (%)(c):
Operating expenses, net (d)........... .80 .80 .80 .80 .81 .85
Operating expenses, gross (d)......... .87 .86 .81 .83 .88 .89
Net investment income ................ 6.49 5.79 5.76 5.93 6.19 6.61
Portfolio turnover rate (%) ............ 47.80 134.11 334.86 263.75 145.38 142.26
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
Multistrategy Bond Fund 163
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
---------- ------- --------- -------
<S> <C> <C> <C> <C>
MUNICIPAL BONDS - 89.2%
ALASKA - 1.1%
Alaska State Housing Finance Corp. Revenue, Series A-1 (a) 650 4.550 12/01/02 649
Anchorage, Alaska General Obligation (a) 1,000 5.125 12/01/13 953
-------
1,602
-------
ARIZONA - 3.2%
Arizona State Transportation Board Special Obligations Revenue, Series A
(pre-refunded 07/01/01)(e) 1,000 6.450 07/01/06 1,036
Phoenix, Arizona General Obligation 1,000 7.500 07/01/04 1,091
Phoenix, Arizona Civic Improvement Corporate Bus Acquisition
Special Revenue (a) 250 5.500 07/01/07 255
Salt River, Arizona Agriculture Improvement and Power District Electric
System Revenue 2,000 6.000 01/01/08 2,105
-------
4,487
-------
ARKANSAS - 1.1%
Ashdown, Arkansas Pollution Control Revenue 250 4.750 04/01/08 229
Baxter County, Arkansas Hospital Revenue, Series A 1,515 5.000 09/01/08 1,369
-------
1,598
-------
CALIFORNIA - 2.6%
ABAG Finance Authority For Nonprofit Corporations Insured Revenue
Certificate Participation 600 5.700 08/15/14 603
California, State of, General Obligation 1,000 6.600 02/01/10 1,123
California Statewide Communities Development Authority Multifamily Revenue 1,000 5.200 12/01/29 954
Sacramento, California Municipal Untility District Revenue, Series Z (a) 1,000 6.000 07/01/01 1,021
-------
3,701
-------
COLORADO - 2.6%
Arapahoe County, Colorado Capital Improvement Trust Fund Highway Revenue,
Series E 1,250 7.000 08/31/26 1,394
Colorado Housing Finance Authority Revenue, Series A-3 590 7.250 04/01/10 647
Colorado Housing Finance Authority Revenue, Series B-3 250 6.700 10/01/16 266
Colorado Housing Finance Authority Revenue, Series C-2 440 4.500 11/01/05 429
Denver, Colorado Health & Hospital Revenue, Series A 1,000 5.000 12/01/04 969
-------
3,705
-------
CONNECTICUT - 0.7%
Connecticut State Special Tax Obligation Revenue (a)(b) 1,000 5.250 10/01/09 1,004
-------
DISTRIC OF COLUMBIA - 3.1%
District of Columbia General Obligation, Series A (pre-refunded 06/01/06)(e) 800 6.375 06/01/16 865
District of Columbia General Obligation, Series B 1,000 5.500 06/01/09 1,009
District of Columbia Revenue (a) 1,000 5.250 10/01/02 1,006
District of Columbia Revenue, Series A 1,000 5.000 01/01/12 946
District of Columbia Revenue General Obligation, Series A (a) 500 5.500 04/01/01 505
-------
4,331
-------
</TABLE>
164 Tax Exempt Bond Fund
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF NET ASSETS, continued
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
--------- -------- --------- -------
<S> <C> <C> <C> <C>
FLORIDA - 2.7%
Florida, State of, General Obligation 500 5.800 07/01/18 522
Florida State Board of Education Capital Outlay General Obligation, Series A 765 7.250 06/01/23 782
Florida State Board of Education Capital Outlay General Obligation, Series D 750 6.750 06/01/03 789
Hillsborough County, Florida Educational Facilities Authority Revenue 1,500 5.750 04/01/18 1,478
Hillsborough County, Florida Utility Reform Revenue 200 6.200 12/01/08 207
-------
3,778
-------
GEORGIA - 5.1%
Atlanta, Georgia Airport Facilities Revenue (a) 500 5.500 01/01/01 504
Columbia County, Georgia Water and Sewer Revenue (a) 750 6.000 06/01/20 769
Dalton, Georgia Utilitis Revenue 500 5.750 01/01/09 518
Georgia, State of, General Obligation, Series B 1,000 5.750 08/01/08 1,043
Georgia, State of, General Obligation, Series C 750 6.500 07/01/07 813
Georgia, State of, General Obligation, Series D 1,000 7.400 08/01/07 1,137
Georgia, State of, General Obligation, Series F 600 6.500 08/01/07 661
Georgia State Municipal Electric Authority General Resolution Revenue,
Series A (a) 850 5.000 01/01/02 851
Georgia State Municipal Electric Authority Revenue, Series B (a) 850 6.250 01/01/17 912
-------
7,208
-------
HAWAII - 3.4%
Hawaii, State of, General Obligation, Series CA 1,000 5.750 01/01/10 1,030
Hawaii, State of, General Obligation, Series CP (a) 600 5.000 10/01/02 602
Hawaii State Housing Financial & Development Corp., Single Family Mortgage
Purchasing Revenue, Series B 1,000 4.450 07/01/03 979
Honolulu, Hawaii City & County General Obligation, Series A (a) 650 5.000 11/01/02 652
Honolulu, Hawaii City & County General Obligation, Series B 1,145 5.000 10/01/02 1,148
Kauai County, Hawaii General Obligation, Series A (a) 375 6.250 08/01/19 389
-------
4,800
-------
ILLINOIS - 7.6%
Bolingbrook, Illinois Parks District General Obligation Zero Coupon (a) 1,230 0.000 01/01/05 958
Chicago, Illinois General Obligation (a) 750 6.000 01/01/11 784
Chicago, Illinois Public Building Commercial Building Revenue, Series B (a) 500 5.250 12/01/18 468
Chicago, Illinois Public Building Commercial Building Revenue, Series C 500 5.500 02/01/06 507
Chicago, Illinois Sales Tax Revenue (a) 1,000 5.250 01/01/05 1,004
Illinois Development Finance Authority Revenue, Series A (a) 1,145 5.500 05/15/05 1,158
Illinois Health Facilities Authority Revenue 1,000 5.250 09/01/04 977
Illinois Health Facilities Authority Revenue (a) 230 4.550 07/01/01 230
Illinois Health Facilities Authority Revenue (a) 500 5.000 08/01/03 496
Illinois Health Facilities Authority Revenue (a) 270 5.250 08/15/03 271
Illinois Health Facilities Authority Revenue, Series A (a) 175 5.000 10/01/00 175
Illinois Health Facilities Authority Revenue, Series A (a) 1,420 5.500 08/15/05 1,437
Illinois Housing Development Authority Elderly Housing Development Revenue 265 4.350 01/01/04 259
Illinois Housing Development Authority Elderly Housing Development Revenue 500 4.450 01/01/05 485
Illinois, State of, Dedicated Tax Revenue, Series A (a) 1,000 7.000 12/15/13 1,033
Illinois, State of, General Obligation (a) 500 5.375 05/01/01 504
-------
10,746
-------
</TABLE>
Tax Exempt Bond Fund 165
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF NET ASSETS, continued
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
--------- --------- --------- --------
<S> <C> <C> <C> <C>
INDIANA - 3.7%
Indiana Health Facilities Financing Authority Hospital Revenue 395 4.500 02/15/05 381
Indiana Health Facilities Financing Authority Hospital Revenue, Series A (a) 1,250 5.000 12/01/03 1,245
Indiana Health Facilities Financing Authority Hospital Revenue, Series D (b) 1,410 5.000 11/01/26 1,395
Indiana Health Facilities Hospital Revenue, Series A (a) 500 5.000 11/01/02 500
Indiana State Housing Finance Authority Revenue, Series A 725 6.600 07/01/05 752
Indiana University Revenue, Series M 500 5.750 08/01/10 517
Monroe County, Indiana Hospital Authority Revenue (a) 500 4.500 05/01/03 488
--------
5,278
--------
KANSAS - 0.6%
Butler & Sedgwick Counties, Kansas University School District Number 385
Andover General Obligation 500 5.000 09/01/09 492
Kansas, State of, Department of Transportation Highway Revenue 300 7.250 03/01/04 323
--------
815
--------
KENTUCKY - 0.4%
McCracken County, Kentucky Hospital Revenue, Series A (a) 500 5.700 11/01/00 503
--------
LOUISIANA - 1.7%
De Soto Parish, Louisiana Pollution Control Revenue, Series A 650 5.050 12/01/02 648
Jefferson Parish, Louisiana Hospital Service District Number 2 Hospital
Revenue (a) 1,000 5.250 12/01/15 1,008
Shreveport, Louisiana General Obligation Zero Coupon (a) 1,000 0.000 01/01/05 782
--------
2,438
--------
MASSACHUSETTS - 1.6%
Massachusetts State Development Finance Agency Revenue, Series B 215 5.200 07/01/01 214
Massachusetts State Development Finance Agency Revenue, Series B 125 5.400 07/01/02 124
Massachusetts State Health & Educational Facilities Authority Revenue,
Series B (b) 470 4.550 01/01/21 461
Massachusetts State Industrial Finance Agency Resource Recovery Revenue,
Series A 500 4.850 12/01/05 477
Massachusetts, State of, Special Obligation Revenue, Series A 1,000 5.500 06/01/13 1,010
--------
2,286
--------
MICHIGAN - 4.0%
Bishop International Airport Authority, Michigan Airport Revenue, Series B 1,000 5.000 12/01/10 931
Bishop International Airport Authority, Michigan Airport Revenue, Series B 1,030 5.250 12/01/11 976
Jackson County, Michigan Hospital Financial Authority Revenue (a) 300 4.375 06/01/02 295
Manistee, Michigan Area Public Schools General Obligation (a) 235 6.000 05/01/08 247
Michigan State Building Authority Revenue, Series I 375 5.400 10/01/03 386
Michigan State Hospital Finance Authority Revenue, Series A 1,000 5.500 10/01/04 1,016
Michigan State Hospital Finance Authority Revenue, Series A (a) 500 5.000 07/01/02 500
Michigan State Hospital Finance Authority Revenue, Series A (a) 250 5.000 05/15/07 245
Michigan State Hospital Finance Authority Revenue, Series B 1,000 5.200 11/15/33 990
--------
5,586
--------
</TABLE>
166 Tax Exempt Bond Fund
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
-------- -------- -------- --------
<S> <C> <C> <C> <C>
NEBRASKA - 0.9%
Nebraska Public Power District Revenue 1,160 6.000 01/01/08 1,211
--------
NEVADA - 0.7%
Clark County, Nevada School District General Obligation 1,000 5.250 06/15/10 992
--------
NEW HAMPSHIRE - 0.6%
New Hampshire Higher Educational & Health Facilities Authority Revenue 750 9.000 03/01/23 838
--------
NEW JERSEY - 1.9%
New Jersey State Housing & Mortgage Finance Agency Revenue, Series 1 1,000 6.000 11/01/02 1,016
New Jersey State Transportation Corporation Capital Grant Anticipation Notes,
Series A 670 4.900 09/01/01 671
New Jersey State Transportation Trust Fund Authority Revenue, Series B 500 6.000 06/15/07 525
New Jersey State Turnpike Authority Revenue, Series A (a) 500 5.500 01/01/09 511
--------
2,723
--------
NEW MEXICO - 0.2%
New Mexico Mortgage Finance Authority Revenue, Series A-1 260 6.200 01/01/01 261
--------
NEW YORK - 11.0%
Long Island, New York Power Authority Electric System Revenue, Series A (a) 500 6.000 12/01/07 526
Metropolitan Transportation Authority, New York Service Contract Commuter
Facilities, Series 7 1,000 5.300 07/01/05 1,000
Metropolitan Transportation Authority, New York Transit Facilities Revenue,
Series R 650 5.000 07/01/03 651
Municipal Assistance Corp., New York, New York Revenue, Series E 1,000 4.700 07/01/02 996
Nassau County, New York Tobacco Settlement Corp. Revenue (b) 595 5.400 07/15/12 589
New York, New York General Obligation, Series E 500 5.300 08/01/03 504
New York, New York General Obligation, Series F 500 5.300 08/01/03 504
New York, New York General Obligation, Series H 750 5.250 08/01/03 754
New York State Certificate Participation 1,000 5.000 09/01/02 999
New York State Dormitory Authority Revenue 450 5.000 04/01/03 448
New York State Dormitory Authority Revenue (a) 1,900 7.000 07/01/09 2,077
New York State Dormitory Authority Revenue, Series 1 500 5.000 07/01/03 498
New York State Dormitory Authority Revenue, Series A 375 6.000 02/15/03 382
New York State Dormitory Authority Revenue, Series A 375 6.000 08/15/04 385
New York State Dormitory Authority Revenue, Series B 745 4.500 02/15/03 729
New York State Dormitory Authority Revenue, Series E 1,000 5.500 02/15/03 1,005
New York State Energy Research and Development Authority
Pollution Control Revenue (b) 900 2.920 06/01/29 900
New York State Urban Development Corp. Revenue 1,000 5.300 01/01/04 1,004
New York State Urban Development Corp. Revenue, Series 7 125 5.500 01/01/01 126
Suffolk County, New York Judical Facilities Agency
Service Agreement Revenue (a) 500 5.500 04/15/09 509
TSASC Inc., New York Revenue, Series 1 (b) 1,000 5.500 07/15/13 973
--------
15,559
--------
NORTH CAROLINA - 1.1%
North Carolina Municipal Power Agency Number 1 Catawba Electric Revenue (a) 1,500 6.000 01/01/12 1,574
--------
</TABLE>
Tax Exempt Bond Fund 167
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF NET ASSETS, continued
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
-------- -------- -------- --------
<S> <C> <C> <C> <C>
OHIO - 1.9%
Cleveland, Ohio General Obligation (a) 1,000 5.000 11/15/08 990
Medina, Ohio City School District (a) 750 4.850 12/01/01 711
Ohio State Revenue 1,000 5.000 12/15/06 993
--------
2,694
--------
OKLAHOMA - 0.5%
Oklahoma Housing Finance Agency Single Family Revenue 400 7.600 09/01/15 438
Stillwater, Oklahoma Medical Center Authority Revenue, Series A 300 5.550 05/15/01 300
--------
738
--------
OREGON - 0.4%
Oregon State Department Administration Services Lottery Revenue, Series B 500 5.250 04/01/06 504
--------
PENNSYLVANIA - 2.5%
Norwin, Pennsylvania School District General Obligation (a) 250 6.000 04/01/20 254
Philadelphia, Pennsylvania Gas Works Revenue, Series A 1,000 5.500 07/01/07 1,019
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority
Revenue, Series A 500 5.000 05/15/02 500
Philadelphia, Pennsylvania Water & Wastewater Revenue (a) 1,000 5.250 12/15/11 993
Scranton-Lackawanna, Pennsylvania Health & Welfare Authority Revenue,
Series A 700 7.375 07/15/08 729
--------
3,495
--------
RHODE ISLAND - 1.3%
Rhode Island Housing & Mortgage Finance Authority Housing Revenue,
Series A (a) 1,000 5.150 07/01/01 1,004
Rhode Island State Health & Educational Building Corp. Revenue (a) 785 5.500 04/01/17 771
--------
1,775
--------
SOUTH CAROLINA - 1.9%
Columbia, South Carolina Waterworks & Sewer System Revenue, Zero Coupon 1,000 0.000 02/01/04 823
Medical University South Carolina Hospital Facilities Revenue 1,355 5.500 07/01/03 1,359
Winnsboro, South Carolina Utility Revenue (a) 550 5.250 08/15/14 539
--------
2,721
--------
SOUTH DAKOTA - 0.7%
South Dakota Housing Development Authority Revenue, Series A 1,000 5.200 05/01/02 1,006
--------
TENNESSEE - 1.4%
Metropolitan Government, Nashville & Davidson Counties, Tennessee Health &
Educational Facilities Board Revenue, Series A 920 5.000 11/01/06 913
Metropolitan Government, Nashville & Davidson Counties, Tennessee Health &
Educational Facilities Board Revenue, Series A 615 5.250 05/01/01 620
White House Utility District, Tennessee, Robertson & Sumner Counties
Waterworks Revenue, Zero Coupon, Series B (a) 650 0.000 01/01/05 507
--------
2,040
--------
</TABLE>
168 Tax Exempt Bond Fund
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
-------- -------- -------- --------
<S> <C> <C> <C> <C>
TEXAS - 8.2%
Alvin, Texas Independent School District General Obligation (d) 515 6.750 08/15/09 572
Alvin, Texas Independent School District General Obligation (d) 545 6.750 08/15/10 608
Arlington, Texas Independent School District General Obligation 1,000 4.750 02/15/09 948
Brazos River Authority, Texas Revenue (b) 1,500 5.200 12/01/18 1,477
Harris County, Texas Health Facilities Development Corporate Revenue, Series B 1,000 3.420 02/15/27 1,000
Houston, Texas General Obligation, Series C 720 5.900 03/01/03 731
Houston, Texas General Obligation, Series C (pre-refunded 03/01/02)(e) 280 5.900 03/01/03 285
Matagorda County, Texas Navigation District Number 1 Pollution Control
Revenue, Series A (b) 1,000 4.900 05/01/30 995
Round Rock, Texas Independent School District General Obligation 1,000 6.500 08/01/10 1,092
Round Rock, Texas Independent School District General Obligation 750 6.500 08/01/11 816
San Antonio, Texas Electric & Gas Revenue 70 4.700 02/01/05 70
San Antonio, Texas Electric & Gas Revenue, Zero Coupon, Series B (a) 1,000 0.000 12/01/04 821
Texas A & M University Permanent University Funding Revenue (b) 1,000 5.000 07/01/08 986
Texas State Public Finance Authority Building Revenue, Series B 1,000 5.000 02/01/05 995
Waco, Texas Health Facilities Development Corp. Revenue, Series A 250 5.200 11/15/06 247
--------
11,643
--------
UTAH - 1.6%
Intermountain Power Agency, Utah Power Supply Revenue, Series C 1,000 4.700 07/01/02 993
Intermountain Power Agency, Utah Power Supply Revenue, Series E 500 5.250 07/01/01 503
Utah State Board of Regents Revenue (a) 300 5.000 08/01/02 300
Utah Water Finance Agency Revenue, Series A (a) 500 4.800 10/01/08 479
--------
2,275
--------
VIRGINIA - 1.4%
Arlington County, Virginia Industrial Development Authority Resource Recovery
Revenue, Series A 1,000 5.250 01/01/04 1,008
Virginia State Housing Development Authority Revenue, Series D 1,000 6.050 07/01/10 1,030
--------
2,038
--------
WASHINGTON - 4.8%
CDP King County III, Washington Lease Revenue (a) 1,000 4.600 06/01/03 985
Washington State Public Power Supply System Nuclear Project Number 1
Revenue, Series A 1,000 7.000 07/01/08 1,100
Washington State Public Power Supply System Nuclear Project Number 3
Revenue, Series A 1,000 5.000 07/01/04 993
Washington, State of, General Obligation 1,000 5.750 09/01/06 1,034
Washington, State of, General Obligation, Series A 1,060 6.500 07/01/04 1,116
Washington, State of, General Obligation, Series R 1,500 6.400 09/01/03 1,545
--------
6,773
--------
WEST VIRGINIA - 0.5%
South Charleston, West Virginia Pollution Control Revenue 700 7.625 08/01/05 756
--------
</TABLE>
Tax Exempt Bond Fund 169
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
-------- -------- -------- --------
<S> <C> <C> <C> <C>
WISCONSIN - 0.5%
Wisconsin Housing and Economic Development Authority Revenue, Series A 700 6.850 11/01/12 730
--------
TOTAL MUNICIPAL BONDS
(cost $128,708) 126,212
--------
SHORT-TERM INVESTMENTS - 10.6%
Frank Russell Investment Company Tax Free Money Market Fund, due on
demand (c) 15,081 15,081
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $15,081) 15,081
--------
TOTAL INVESTMENTS - 99.8%
(identified cost $143,789) 141,293
OTHER ASSETS & LIABILITIES, NET - 0.2% 247
--------
NET ASSETS - 100.0% 141,540
========
</TABLE>
(a) Bond is insured by AMBAC, FGIC or MBIA
(b) Adjustable or floating rate security
(c) At cost, which approximates market value.
(d) Forward commitment.
(e) Pre-refunded: These bonds are collateralized by the US Treasury Securities,
which are held in escrow by the 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 rate is for descriptive purposes; effective
yield may vary.
Abbreviations:
AMBAC - AMBAC Indemnity Corporation
FGIC - Financial Guaranty Insurance Corporation
MBIA - Municipal Bond Investors Assurance
170 Tax Exempt Bond Fund
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
QUALITY RATINGS AS A % OF MARKET VALUE
AAA 50%
AA 24
A 11
BBB 15
------
100%
======
ECONOMIC SECTOR EMPHASIS AS A % OF
MARKET VALUE
General Obligation 22%
Health Care Revenue 16
Utility Revenue 13
State and Community Lease 8
Housing Revenue 8
University Revenue 6
Pollution Control Revenue 1
Refunded & Special Obligation 1
Other 14
Cash Equivalents 11
------
100%
======
See accompanying notes which are an integral part of the financial statements.
Tax Exempt Bond Fund 171
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
ASSETS
Investments at market (identified cost $143,789) ............... $ 141,293
Cash ........................................................... 201
Receivables:
Dividends and interest ....................................... 2,175
Fund shares sold ............................................. 718
Prepaid expenses ............................................. 1
--------------
Total assets .............................................. 144,388
LIABILITIES
Payables:
Investments purchased ......................... $ 1,138
Investment purchased (delayed settlement) ..... 1,187
Fund shares redeemed .......................... 459
Accrued fees to affiliates .................... 35
Other accrued expenses ........................ 29
--------------
Total liabilities ......................................... 2,848
--------------
NET ASSETS ..................................................... $ 141,540
==============
NET ASSETS CONSIST OF:
Undistributed net investment income ............................ $ 353
Accumulated net realized gain (loss) ........................... (2,600)
Unrealized appreciation (depreciation) on investments .......... (2,496)
Shares of beneficial interest .................................. 69
Additional paid-in capital ..................................... 146,214
--------------
NET ASSETS ..................................................... $ 141,540
==============
NET ASSET VALUE, offering and redemption price per share:
Class C ($573,910 divided by 28,120 shares of $.01 par value
shares of beneficial interest outstanding) ................ $ 20.41
==============
Class E ($3,657,880 divided by 178,913 shares of $.01 par
value shares of beneficial interest outstanding) .......... $ 20.44
==============
Class S ($137,307,914 divided by 6,724,323 shares of $.01 par
value shares of beneficial interest outstanding) .......... $ 20.42
==============
See accompanying notes which are an integral part of the financial statements.
172 Tax Exempt Bond Fund
<PAGE>
TAX EXEMPT BOND FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
Four Months Ended
April 30, 2000 Year Ended
(Unaudited) December 31, 1999
----------------- -----------------
INVESTMENT INCOME
<S> <C> <C>
Interest ...................................... $ 1,955 $ 6,457
Dividends ..................................... 288 61
----------------- -----------------
Total investment income .................... 2,243 6,518
----------------- -----------------
EXPENSES
Advisory fees ................................. 128 427
Administrative fees ........................... 23 71
Custodian fees ................................ 32 81
Distribution fees - Class C ................... 1 1
Transfer agent fees ........................... 34 86
Professional fees ............................. 15 35
Registration fees ............................. 20 95
Shareholder servicing fees - Class C .......... 1 1
Shareholder servicing fees - Class E .......... 3 5
Trustees' fees ................................ 4 6
Miscellaneous ................................. 7 17
----------------- -----------------
Total expenses ............................. 268 825
----------------- -----------------
Net investment income ........................... 1,975 5,693
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments ......... (490) (1,498)
Net change in unrealized appreciation
(depreciation) on investments ................. 16 (5,063)
----------------- -----------------
Net realized and unrealized gain (loss) ......... (474) (6,561)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS .................................... $ 1,501 $ (868)
================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Tax Exempt Bond Fund 173
<PAGE>
Tax Exempt Bond Fund
Statement of Changes in Net Assets
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- ----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C> <C>
Net investment income ............................................. $ 1,975 $ 5,693 $ 4,119
Net realized gain (loss) .......................................... (490) (1,498) (141)
Net change in unrealized appreciation (depreciation) .............. 16 (5,063) 1,153
----------------- ----------------- -----------------
Net increase (decrease) in net assets from operations .......... 1,501 (868) 5,131
----------------- ----------------- -----------------
DISTRIBUTIONS
From net investment income
Class C ........................................................ (5) (7) --
Class E ........................................................ (41) (77) --
Class S ........................................................ (1,432) (5,753) (4,154)
----------------- ----------------- -----------------
Net decrease in net assets from distributions ............... (1,478) (5,837) (4,154)
----------------- ----------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ..... 14,229 5,034 44,906
----------------- ----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ......................... 14,252 (1,671) 45,883
NET ASSETS
Beginning of period ............................................... 127,288 128,959 83,076
----------------- ----------------- -----------------
End of period (including undistributed net investment income of
$353 at April 30, 2000 and accumulated distributions in excess
of net investment income of $144 at December 31, 1999) ......... $ 141,540 $ 127,288 $ 128,959
================= ================= =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
174 Tax Exempt Bond Fund
<PAGE>
Tax Exempt Bond Fund
Financial Highlights - Class C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD .................. $ 20.45 $ 21.38
---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ........................... .25 .45
Net realized and unrealized gain (loss) ............. (.10) (.84)
---------- ----------
Total income from operations ..................... .15 (.39)
---------- ----------
DISTRIBUTIONS
From net investment income ........................... (.19) (.54)
---------- ----------
NET ASSET VALUE, END OF PERIOD ........................ $ 20.41 $ 20.45
========== ==========
TOTAL RETURN (%)(b) ................................... .75 (1.82)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)............. 574 474
Ratios to average net assets(%)(c):
Operating expenses ............................... 1.58 1.57
Net investment income ............................ 3.79 3.12
Portfolio turnover rate (%) ......................... 46.71 119.34
* For the four months ended April 30, 2000 (Unaudited).
** For the period March 29, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Tax Exempt Bond Fund 175
<PAGE>
Tax Exempt Bond Fund
Financial Highlights - Class E
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD .................. $ 20.47 $ 21.19
---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ........................... .28 .50
Net realized and unrealized gain (loss) ............. (.08) (.71)
---------- ----------
Total income from operations ..................... .20 (.21)
---------- ----------
DISTRIBUTIONS
From net investment income .......................... (.23) (.51)
---------- ----------
NET ASSET VALUE, END OF PERIOD ........................ $ 20.44 $ 20.47
========== ==========
TOTAL RETURN (%)(b) ................................... .97 (.99)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ............ 3,658 2,854
Ratios to average net assets (%)(c):
Operating expenses ............................... .83 .82
Net investment income ............................ 4.13 3.76
Portfolio turnover rate (%) ......................... 46.71 119.34
* For the four months ended April 30, 2000 (Unaudited).
** For the period May 14, 1999 (commencement of sale) to December 31, 1999.
(a) Average month-end shares were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
176 Tax Exempt Bond Fund
<PAGE>
Tax Exempt Bond Fund
Financial Highlights - Class S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ....... $ 20.42 $ 21.39 $ 21.19 $ 21.02 $ 21.24 $ 20.48
--------- -------- -------- -------- -------- --------
INCOME FROM OPERATIONS
Net investment income (a) ................ .30 .84 .81 .84 .85 .81
Net realized and unrealized gain (loss) .. (.08) (.95) .19 .18 (.21) .77
--------- -------- -------- -------- -------- --------
Total income from operations .......... .22 (.11) 1.00 1.02 .64 1.58
--------- -------- -------- -------- -------- --------
DISTRIBUTIONS
From net investment income ............... (.22) (.86) (.80) (.85) (.86) (.82)
--------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD ............. $ 20.42 $ 20.42 $ 21.39 $ 21.19 $ 21.02 $ 21.24
========= ======== ======== ======== ======== ========
TOTAL RETURN (%)(b)(c) ..................... 1.07 (.52) 4.82 4.92 3.07 7.81
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) . 137,308 123,960 128,959 83,076 66,344 63,838
Ratios to average net assets (%)(c)(d):
Operating expenses .................... .58 .57 .72 .71 .75 .74
Net investment income ................. 4.37 3.99 3.80 3.99 4.02 3.91
Portfolio turnover rate (%) .............. 46.71 119.34 74.42 40.79 74.34 73.91
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) 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) The ratios for periods less than one year are annualized.
Tax Exempt Bond Fund 177
<PAGE>
TAX-MANAGED LARGE CAP FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
COMMON STOCKS - 98.5%
AUTO AND TRANSPORTATION - 3.5%
Boeing Co. (The) 1,100 44
CSX Corp. 109,500 2,293
Dana Corp. 89,800 2,728
Delphi Automotive Systems Corp. 61,300 1,172
Eaton Corp. 36,200 3,041
Ford Motor Co. 83,700 4,577
General Motors Corp. 21,900 2,050
Goodyear Tire & Rubber Co. 89,300 2,467
Lear Corp. (a) 42,400 1,269
PACCAR, Inc. 1,900 90
Union Pacific Corp. 50,100 2,111
----------
21,842
----------
CONSUMER DISCRETIONARY - 9.6%
Abercrombie & Fitch Co. Class A (a) 60,700 668
AT&T Corp. - Liberty Media Group
Class A (a) 32,232 1,610
Best Buy Co. (a) 5,500 444
Cendant Corp. (a) 109,700 1,693
Circuit City Stores - Circuit
City Group 17,500 1,029
Eastman Kodak Co. 40,800 2,282
Extended Stay America, Inc. (a) 1,700 15
Federated Department Stores, Inc. (a) 87,000 2,958
Fox Entertainment Group, Inc.
Class A (a) 9,100 234
Gannett Co., Inc. 43,800 2,798
Gap, Inc. 94,200 3,462
Home Depot, Inc. (The) 89,400 5,012
Jones Apparel Group, Inc. (a) 72,200 2,143
Kimberly-Clark Corp. 14,700 854
Knight-Ridder, Inc. 11,400 559
Limited, Inc. (The) 12,000 542
Lowe's Cos., Inc. 15,700 777
Marriott International, Inc. Class A 62,800 2,010
Mattel, Inc. 8,700 107
May Department Stores Co. 94,300 2,593
McDonald's Corp. 34,900 1,331
MediaOne Group, Inc. (a) 45,400 3,433
Mirage Resorts, Inc. (a) 9,200 187
Service Corp. International 11,400 58
Starwood Hotels & Resorts
Worldwide, Inc. 34 1
Target Corp. 34,500 2,296
Time Warner, Inc. 66,850 6,012
TJX Cos., Inc. 185,600 3,561
Wal-Mart Stores, Inc. 209,400 11,596
----------
60,265
----------
CONSUMER STAPLES - 6.4%
Anheuser-Busch Cos., Inc. 2,700 191
Bestfoods 44,700 2,246
Clorox Co. (The) 30,100 1,106
Coca-Cola Co. (The) 101,500 4,777
General Mills, Inc. 36,100 1,313
Gillette Co. 54,300 2,009
Heinz (H.J.) Co. 23,800 809
Kellogg Co. 37,000 904
Kroger Co. (The) (a) 23,900 444
PepsiCo, Inc. 9,600 352
Philip Morris Cos., Inc. 360,800 7,893
Procter & Gamble Co. 126,700 7,554
Quaker Oats Co. (The) 20,100 1,310
Safeway, Inc. (a) 34,400 1,518
Sara Lee Corp. 8,500 128
Seagram Co., Ltd. 139,800 7,549
Unilever 8,925 407
----------
40,510
----------
FINANCIAL SERVICES - 13.2%
AEGON 5,681 411
Aetna, Inc. 22,100 1,279
Allstate Corp. 93,100 2,199
Ambac Financial Group, Inc. 43,500 2,088
American International Group, Inc. 15,453 1,695
AON Corp. 63,200 1,710
Astoria Financial Corp. 88,785 2,442
AXA Financial, Inc. 200 7
Bank of America Corp. 64,751 3,173
Bank One Corp. 164,500 5,017
Bear Stearns Companies Inc. (The) 10,700 459
Capital One Financial Corp. 16,500 722
Charter One Financial, Inc. 85,630 1,739
CIGNA Corp. 19,900 1,587
CIT Group, Inc. 124,300 2,105
Citigroup, Inc. 135,400 8,048
Commercial Federal Corp. 7,500 117
Countrywide Credit Industries, Inc. 17,800 492
Dime Bancorp, Inc. 43,300 812
Edwards (A.G.), Inc. 10,200 384
Equifax, Inc. 42,800 1,046
Fannie Mae 19,800 1,194
FINOVA Group, Inc. 106,300 1,362
First Data Corp. 6,600 321
First Union Corp. 215,218 6,860
Goldman Sachs Group, Inc. (The) 19,300 1,800
Greenpoint Financial Corp. 85,500 1,592
Hartford Financial Services Group,
Inc. (The) 62,700 3,272
Hibernia Corp. Class A 56,000 595
178 Tax-Managed Large Cap Fund
<PAGE>
TAX-MANAGED LARGE CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
John Hancock Financial Services,
Inc. (a) 62,800 1,146
KeyCorp 238,400 4,410
Marsh & McLennan Cos., Inc. 17,150 1,690
MBIA, Inc. 17,200 850
Merrill Lynch & Co., Inc. 36,800 3,751
MetLife, Inc. New (a) 71,500 1,184
Paine Webber Group, Inc. 14,300 627
Peoples Heritage Financial Group 100,900 1,312
Provident Financial Group, Inc. 5,900 172
Regions Financial Corp. 32,800 670
Summit Bancorp 70,300 1,784
TD Waterhouse Group, Inc. 33,100 664
Torchmark Corp. 30,400 762
U.S. Bancorp 185,600 3,770
Union Planters Corp. 43,900 1,243
UnumProvident Corp. 26,200 445
Washington Mutual, Inc. 154,525 3,950
----------
82,958
----------
HEALTH CARE - 9.9%
Abbott Laboratories 92,600 3,559
ALZA Corp. (a) 120,900 5,327
American Home Products Corp. 74,700 4,197
Amgen, Inc. (a) 17,600 986
Bausch & Lomb, Inc. 4,600 278
Bristol-Myers Squibb Co. 145,800 7,645
Columbia/HCA Healthcare Corp. 51,400 1,462
Forest Labs, Inc. (a) 23,400 1,967
Genzyme Corp. (a) 2,700 132
Guidant Corp. 2,400 138
Human Genome Sciences, Inc. (a) 12,400 949
Johnson & Johnson 19,600 1,617
Lilly (Eli) & Co. 72,800 5,628
MedImmune, Inc. (a) 3,000 478
Medtronic, Inc. 39,800 2,067
Merck & Co., Inc. 51,000 3,545
PE Corp. 19,000 1,140
Pfizer, Inc. 73,000 3,075
Pharmacia Corp. (a) 191,400 9,558
Schering-Plough Corp. 38,400 1,548
St. Jude Medical, Inc. (a) 11,000 343
Tenet Healthcare Corp. 53,400 1,362
United Health Corp (a) 6,900 460
Warner-Lambert Co. 34,800 3,961
Wellpoint Health Networks, Inc. (a) 8,200 605
----------
62,027
----------
INTEGRATED OILS - 4.2%
Chevron Corp. 47,300 4,026
Exxon Mobil Corp. 213,302 16,571
Lyondell Petrochemical Co. 58,000 1,066
Royal Dutch Petroleum Co. 87,900 5,043
----------
26,706
----------
MATERIALS AND PROCESSING - 3.3%
Air Products & Chemicals, Inc. 45,700 1,420
Alcoa, Inc. 3,000 195
Allegheny Technologies, Inc. 57,600 1,393
B.F. Goodrich Co. 46,804 1,492
Dow Chemical Co. 1,000 113
Fort James Corp. 26,100 625
Georgia-Pacific Group 20,600 757
Praxair, Inc. 900 40
Reynolds Metals Co. 31,700 2,108
Rohm & Haas Co. 114,500 4,079
Smurfit-Stone Container Corp. (a) 19,800 301
Temple-Inland, Inc. 16,400 822
Tyco International, Ltd. 157,306 7,226
USEC, Inc. 61,300 287
----------
20,858
----------
OTHER ENERGY - 1.2%
BP Amoco PLC - ADR 31,880 1,626
El Paso Energy Corp. 38,000 1,615
Global Marine, Inc. (a) 57,500 1,380
R&B Falcon Corp. (a) 10,000 208
Tosco Corp. 30,500 978
Ultramar Diamond Shamrock Corp. 78,000 1,931
----------
7,738
----------
PRODUCER DURABLES - 6.4%
Applied Materials, Inc. (a) 36,500 3,716
Boston Scientific Corp. (a) 10,500 278
Deere & Co. 13,100 529
General Electric Co. 157,000 24,688
Honeywell International, Inc. 154,500 8,652
ITT Industries, Inc. 19,100 603
Lexmark International Group, Inc.
Class A (a) 2,700 319
Lockheed Martin Corp. 28,100 699
Raytheon Co. Class A 1,300 30
United Technologies Corp. 9,700 603
----------
40,117
----------
Tax-Managed Large Cap Fund 179
<PAGE>
TAX-MANAGED LARGE CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
TECHNOLOGY - 30.2%
3Com Corp. (a) 14,700 579
Adobe Systems, Inc. 9,200 1,113
America Online, Inc. (a) 102,600 6,137
Apple Computer, Inc. (a) 2,100 261
Automatic Data Processing, Inc. 41,300 2,222
Cisco Systems, Inc. (a) 347,500 24,108
Citrix Systems, Inc. (a) 18,500 1,130
COMPAQ Computer Corp. 66,200 1,936
Computer Associates
International, Inc. 84,217 4,700
Cooper Industries, Inc. 66,800 2,292
Dell Computer Corp. (a) 108,700 5,442
DoubleClick, Inc. (a) 10,600 804
E*TRADE Group, Inc. (a) 18,500 397
Electronic Data Systems Corp. 24,500 1,684
EMC Corp. (a) 76,600 10,643
Exodus Communications, Inc. (a) 13,000 1,148
Gateway, Inc. (a) 5,500 304
Hewlett-Packard Co. 35,100 4,739
Intel Corp. 173,900 22,053
International Business Machines Corp. 89,400 9,979
International Game Technology 26,150 637
Lucent Technologies, Inc. 159,200 9,900
Micron Technology, Inc. (a) 7,200 1,003
Microsoft Corp. (a) 266,100 18,560
Motorola, Inc. 35,200 4,191
National Semiconductor Corp. (a) 21,700 1,318
Network Appliance, Inc. (a) 3,600 266
Nortel Networks Corp. 75,400 8,539
Novell, Inc. (a) 5,000 98
Oracle Systems Corp. (a) 130,900 10,456
Palm, Inc. New (a) 1,890 52
Parametric Technology Corp. (a) 8,600 70
QUALCOMM, Inc. (a) 33,400 3,622
Siebel Systems, Inc. (a) 5,800 713
Sun Microsystems, Inc. (a) 153,200 14,085
Symantec Corp. (a) 8,600 535
Texas Instruments, Inc. 52,600 8,567
Veritas Software Corp. (a) 18,200 1,952
Xilinx, Inc. (a) 4,200 308
Yahoo!, Inc. (a) 24,100 3,137
----------
189,680
----------
UTILITIES - 10.6%
Allegheny Energy, Inc. 39,200 1,191
Allegiance Telecom, Inc. (a) 12,250 862
Alltel Corp. 17,800 1,186
AT&T Corp. 91,606 4,277
Bell Atlantic Corp. 19,364 1,147
Carolina Power & Light Co. 40,000 1,463
Columbia Energy Group 72,350 4,540
Comcast Corp. Special Class A 86,400 3,461
DTE Energy Co. 44,300 1,445
Dynegy, Inc. Class A 56,000 3,665
FPL Group, Inc. 17,900 809
Global Crossing, Ltd. (a) 132,735 4,173
GTE Corp. 103,800 7,032
Level 3 Communications, Inc. (a) 5,100 453
MCI WorldCom, Inc. (a) 239,385 10,877
Pinnacle West Capital Corp. 72,000 2,529
PPL Corp. 900 21
SBC Communications, Inc. 244,066 10,693
Sprint Corp. (Fon Group) 11,100 683
Sprint Corp. (PCS Group) (a) 59,800 3,289
Williams Cos. (The) 43,500 1,623
Wisconsin Energy Corp. 68,100 1,456
----------
66,875
----------
TOTAL COMMON STOCKS
(cost $487,060) 619,576
----------
PRINCIPAL
AMOUNT
(000)
$
----------
SHORT-TERM INVESTMENTS - 1.2%
Frank Russell Investment Company
Money Market Fund,
due on demand (b) 6,718 6,718
United States Treasury Bills (b)(c)(d)
5.470% due 06/29/00 900 892
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $7,610) 7,610
----------
TOTAL INVESTMENTS - 99.7%
(identified cost $494,670) 627,186
OTHER ASSETS AND LIABILITIES,
NET - 0.3% 1,581
----------
NET ASSETS - 100.0% 628,767
==========
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
(d) Rate noted is yield-to-maturity from date of acquisition.
Abbreviations:
ADR - American Depositary Receipt
See accompanying notes which are an integral part of the financial statements.
180 Tax-Managed Large Cap Fund
<PAGE>
TAX-MANAGED LARGE CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
FUTURES CONTRACTS CONTRACTS (000)
--------- --------------
S&P 500 Index
expiration date 06/00 20 $ 113
---------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 113
=========
See accompanying notes which are an integral part of the financial statements.
Tax-Managed Large Cap Fund 181
<PAGE>
TAX-MANAGED LARGE CAP FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $494,670) ........................................ $ 627,186
Receivables:
Dividends .............................................................................. 566
Investments sold ....................................................................... 365
Fund shares sold ....................................................................... 1,748
From advisor ........................................................................... 9
Deferred organization expenses ......................................................... 6
Prepaid expenses ........................................................................ 2
---------
Total assets ......................................................................... 629,882
LIABILITIES
Payables:
Investments purchased ...................................................... $ 358
Fund shares redeemed ....................................................... 256
Accrued fees to affiliates ................................................. 403
Other accrued expenses ..................................................... 58
Daily variation margin on futures contracts ................................ 40
---------
Total liabilities .................................................................... 1,115
---------
NET ASSETS .............................................................................. $ 628,767
=========
NET ASSETS CONSIST OF:
Undistributed net investment income ..................................................... $ 1,043
Accumulated net realized gain (loss) .................................................... (9,461)
Unrealized appreciation (depreciation) on:
Investments ............................................................................ 132,516
Futures contracts ...................................................................... 113
Shares of beneficial interest ........................................................... 303
Additional paid-in capital .............................................................. 504,253
---------
NET ASSETS .............................................................................. $ 628,767
=========
NET ASSET VALUE, offering and redemption price per share:
Class C ($3,046,552 divided by 147,162 shares of $.01 par value
shares of beneficial interest outstanding) ........................................... $ 20.70
Class S ($625,720,143 divided by 30,136,064 shares of $.01 par value =========
shares of beneficial interest outstanding) ........................................... $ 20.76
=========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
182 Tax-Managed Large Cap Fund
<PAGE>
TAX-MANAGED LARGE CAP FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------------- -------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends ............................................................ $ 2,546 $ 6,220
Dividends from Money Market Fund ..................................... 164 371
Interest ............................................................. 5 53
-------- --------
Total Investment Income ............................................ 2,715 6,644
-------- --------
EXPENSES
Advisory fees ........................................................ 1,359 2,968
Administrative fees .................................................. 98 212
Custodian fees ....................................................... 73 120
Distribution fees - Class C .......................................... 5 --
Transfer agent fees .................................................. 62 122
Professional fees .................................................... 14 28
Registration fees .................................................... 42 119
Shareholder servicing fees - Class C ................................. 2 --
Trustees' fees ....................................................... 5 5
Amortization of deferred organization expenses ....................... 1 7
Miscellaneous ........................................................ 10 34
-------- --------
Total Expenses ..................................................... 1,671 3,615
-------- --------
Net investment income ................................................. 1,044 3,029
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .......................................................... (5,139) (2,785)
Futures contracts .................................................... (993) 224
-------- --------
(6,132) (2,561)
-------- --------
Net change in unrealized appreciation (depreciation) on:
Investments .......................................................... (5,114) 65,388
Futures contracts .................................................... (157) 167
-------- --------
(5,271) 65,555
-------- --------
Net realized and unrealized gain (loss) .............................. (11,403) 62,994
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ................. $(10,359) $ 66,023
======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Tax-Managed Large Cap Fund 183
<PAGE>
TAX-MANAGED LARGE CAP FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000 YEAR ENDED YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998
------------------- ------------------- -------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ........................................... $ 1,044 $ 3,029 $ 1,202
Net realized gain (loss) ........................................ (6,132) (2,561) (729)
Net change in unrealized appreciation (depreciation) ............ (5,271) 65,555 58,053
--------- --------- ---------
Net increase (decrease) in net assets from operations ......... (10,359) 66,023 58,526
--------- --------- ---------
DISTRIBUTIONS
From net investment income
Class C ....................................................... -- (2) --
Class S ....................................................... (141) (2,888) (1,334)
From net realized gain
Class S ....................................................... -- -- (78)
--------- --------- ---------
Net decrease in net assets from distributions ............... (141) (2,890) (1,412)
--------- --------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ... 72,958 197,724 138,603
--------- --------- ---------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS ....................................................... 62,458 260,857 195,717
NET ASSETS
Beginning of period ............................................. 566,309 305,452 109,735
--------- --------- ---------
End of period (including undistributed net investment income of
$1,043 and $140, and accumulated distributions in excess
of net investment income of $110, respectively) ............... $ 628,767 $ 566,309 $ 305,452
========= ========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
184 Tax-Managed Large Cap Fund
<PAGE>
TAX-MANAGED LARGE CAP FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999
--------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 21.17 $ 20.92
--------- ---------
INCOME FROM OPERATIONS
Net investment income (loss)(a)*** ............... (.03) --
Net realized and unrealized gain (loss) .......... (.44) .35
--------- ---------
Total income from operations .................... (.47) .35
--------- ---------
DISTRIBUTIONS
From net investment income ........................ -- (.10)
--------- ---------
NET ASSET VALUE, END OF PERIOD ..................... $ 20.70 $ 21.17
========= =========
TOTAL RETURN (%)(b) ............................... (2.20) 2.24
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ......... 3,047 308
Ratios to average net assets (%)(c):
Operating Expenses .............................. 1.86 1.57
Net investment income (loss) ................... (.42) (.28)
Portfolio turnover rate (%) ...................... 9.14 48.35
* For the four months ended April 30, 2000 (Unaudited).
** For the period December 1, 1999 (commencement of sale) to December 31,
1999.
*** Less than .01c per share for the period ended December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Tax-Managed Large Cap Fund 185
<PAGE>
TAX-MANAGED LARGE CAP FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------------------
2000* 1999 1998 1997 1996**
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ...... $ 21.17 $ 18.26 $ 13.90 $ 10.61 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ................ .04 .14 .10 .08 .03
Net realized and unrealized gain (loss) .. (.44) 2.88 4.35 3.28 .61
---------- ---------- ---------- ---------- ----------
Total income from operations ........... (.40) 3.02 4.45 3.36 .64
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS
From net investment income ............... (.01) (.11) (.08) (.07) (.03)
From net realized gain ................... -- -- (.01) -- --
---------- ---------- ---------- ---------- ----------
Total distributions .................... (.01) (.11) (.09) (.07) (.03)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD ............ $ 20.76 $ 21.17 $ 18.26 $ 13.90 $ 10.61
========== ========== ========== ========== ==========
TOTAL RETURN (%)(b) ....................... (1.91) 16.57 32.08 31.73 6.10
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands).. 625,720 566,001 305,452 109,735 19,931
Ratios to average net assets (%)(c):
Operating expenses, net ................ .86 .85 .99 1.00 1.00
Operating expenses, gross .............. .86 .85 .99 1.08 2.83
Net investment income .................. .54 .71 .61 .92 1.62
Portfolio turnover rate (%) .............. 9.14 48.35 50.59 39.23 8.86
</TABLE>
* For the four months ended April 30, 2000 (Unaudited).
** For the period October 7, 1996 (commencement of operations) to December 31,
1996.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
186 Tax-Managed Large Cap Fund
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
COMMON STOCKS - 91.6%
AUTO AND TRANSPORTATION - 2.2%
A.S.V., Inc. (a) 400 5
AAR Corp. 1,700 26
ABC Rail Products Corp. (a) 1,100 12
Aftermarket Technology Corp. (a) 100 1
AHL Services, Inc. (a) 300 3
Airborne Freight Corp. 3,000 64
AirTran Holdings, Inc. (a) 1,900 8
Alaska Air Group, Inc. (a) 1,500 43
Alexander & Baldwin, Inc. 2,500 52
American Axle & Manufacturing Holdings,
Inc. (a) 400 6
American Freightways Corp. (a) 1,200 22
Amtran, Inc. (a) 100 2
Arnold Industries, Inc. 1,200 14
Arvin Industries, Inc. 1,500 33
Atlas Air, Inc. (a) 500 17
Avis Rent A Car, Inc. (a) 1,300 26
Bandag, Inc. 700 17
BE Aerospace, Inc. (a) 700 5
Borg-Warner Automotive, Inc. 1,500 63
Budget Group, Inc. Class A (a) 1,700 8
C.H. Robinson Worldwide, Inc. 1,700 85
Circle International Group, Inc. 800 21
Delco Remy International, Inc. (a) 600 5
Dura Automotive Systems, Inc. (a) 700 11
EGL, Inc. New (a) 600 14
Florida East Coast Industries, Inc. 1,800 89
Fritz Companies, Inc. (a) 1,200 11
Frontier Airlines, Inc. (a) 300 5
Group 1 Automotive, Inc. (a) 700 8
Harley-Davidson, Inc. 7,800 311
Hayes Lemmerz International, Inc. (a) 900 14
Heartland Express, Inc. (a) 400 7
Landstar Systems, Inc. (a) 400 23
M.S. Carriers, Inc. (a) 600 14
Meritor Automotive, Inc. 400 6
Mesaba Holdings, Inc. (a) 500 6
Midwest Express Holdings, Inc. (a) 700 18
Monaco Coach Corp. (a) 700 11
Myers Industries, Inc. 900 13
National R.V. Holdings, Inc. (a) 300 4
Newport News Shipbuilding, Inc. 1,200 40
Northwest Airlines Corp. Class A (a) 1,500 37
O'Reilly Automotive, Inc. (a) 1,400 19
Overseas Shipholding Group, Inc. 1,500 39
Polaris Industries, Inc. 800 25
Roadway Express, Inc. 700 16
Simpson Industries, Inc. 1,100 11
Superior Industries International, Inc 1,200 39
Swift Transportation Co., Inc. (a) 1,600 32
Thor Industries, Inc. 200 5
Tower Automotive, Inc. (a) 2,300 36
Trinity Industries, Inc. 2,400 53
USFreightways Corp. 1,600 74
Wabash National Corp. 1,200 17
Werner Enterprises, Inc. 1,800 33
Winnebago Industries, Inc. 600 10
Wisconsin Central Transportation Corp. (a) 2,500 36
XTRA Corp. (a) 800 38
----------
1,663
----------
CONSUMER DISCRETIONARY - 14.7%
99 Cents Only Stores (a) 400 15
Aaron Rents, Inc. 900 13
ABM Industries, Inc. 800 20
Advo Systems, Inc. (a) 700 21
AMC Entertainment, Inc. (a) 700 3
AMERCO (a) 500 8
American Eagle Outfitters, Inc. (a) 1,000 17
AMFM, Inc. (a) 9,900 657
Anchor Gaming (a) 300 12
AnnTaylor Stores Corp. (a) 900 19
Applebee's International, Inc. 1,100 40
AT&T Corp. - Liberty Media Group
Class A (a) 60,800 3,036
Aztar Corp. (a) 2,300 27
Bacou USA, Inc. (a) 300 6
Banta Corp. 1,500 29
Bassett Furniture Industries, Inc. 700 9
Bebe Stores, Inc. (a) 100 1
Belo (A.H.) Corp. Class A 5,400 90
BJ's Wholesale Club, Inc. (a) 400 14
Blyth Industries, Inc. 1,300 39
Bob Evans Farms, Inc. 2,300 30
Borders Group, Inc. (a) 4,100 65
Bowne & Co., Inc. 2,200 25
Boyd Gaming Corp. (a) 2,000 10
Buckeye Technologies, Inc. (a) 900 17
Buckle, Inc. (The) (a) 300 4
Buffets, Inc. (a) 2,400 23
Burlington Coat Factory
Warehouse Corp. 900 14
Burns International Services Corp. (a) 400 4
Callaway Golf Co. 3,900 65
Carriage Services, Inc. Class A (a) 700 3
Catalina Marketing Corp. (a) 600 61
Cato Corp. Class A 900 9
CDI Corp. (a) 600 14
CEC Entertainment, Inc. (a) 1,200 36
188 Tax-Managed Small Cap Fund
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSEST, CONTINUED
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
CellStar Corp. (a) 1,300 7
Central Newspapers, Inc. Class A 900 28
Charles River Associates, Inc. (a) 300 6
Charming Shoppes, Inc. (a) 5,800 39
Cheesecake Factory, Inc. (The) (a) 700 28
Choice Hotels International, Inc. (a) 2,100 28
Cintas Corp. 4,300 170
Claire's Stores, Inc. 1,900 35
Consolidated Graphics, Inc. (a) 500 6
Consolidated Products, Inc. (a) 800 7
Convergys Corp. (a) 300 13
Copart, Inc. (a) 1,600 28
Cox Radio, Inc. Class A (a) 400 29
CSX Auto Corp. (a) 800 8
Daisytek International Corp. (a) 900 11
Dave & Buster's, Inc. (a) 500 4
DeVry, Inc. (a) 2,500 60
Dollar Tree Stores, Inc. (a) 2,500 145
Dover Downs Entertainment, Inc. 600 7
EchoStar Communications Corp. Class A (a) 4,300 274
Emmis Broadcasting Corp.
Class A (a) 1,800 76
Entercom Communications Corp. (a) 900 38
Estee Lauder Cos., Class A 3,700 163
Ethan Allen Interiors, Inc. 1,700 45
Extended Stay America, Inc. (a) 3,600 32
Fairfield Communities, Inc. (a) 1,800 16
Footstar, Inc. (a) 1,000 37
Fossil, Inc. (a) 600 13
Furniture Brands International, Inc. (a) 2,000 37
Gaylord Entertainment Co. 1,100 26
Genesco, Inc. (a) 900 12
Genlyte Group, Inc (The) (a) 800 16
Goody's Family Clothing, Inc. (a) 1,000 6
Guitar Center, Inc. (a) 900 12
HA-LO Industries, Inc. (a) 1,500 11
Harman International Industries, Inc. 1,000 65
Harte Hanks Communications 500 12
Haverty Furniture Co., Inc. 1,000 11
Hines Horticulture, Inc. (a) 900 7
Hollywood Entertainment Corp. (a) 1,200 8
Houghton Mifflin Co. 1,500 62
IHOP Corp. (a) 900 15
Infinity Broadcasting Corp.
Class A (a) 12,200 414
Innkeepers USA Trust 2,200 20
Interim Services, Inc. (a) 3,000 51
Interpublic Group Cos., Inc. 385 16
Iron Mountain, Inc. New (a) 1,320 46
ITT Educational Services, Inc. (a) 700 13
Jack in the Box, Inc. (a) 1,700 42
JAKKS Pacific, Inc. (a) 600 11
Journal Register Co. (a) 1,300 19
K-Swiss, Inc. Class A 300 4
Kellwood Co. 1,800 31
Kelly Services, Inc. Class A 1,100 26
La-Z-Boy Inc. 2,800 44
Labor Ready, Inc. New (a) 1,300 12
Lamar Advertising Co. Class A (a) 2,100 91
Lancaster Colony Corp. 2,200 58
Land's End, Inc. (a) 600 25
Landry's Seafood Restaurants, Inc. 1,500 13
Lason, Inc. (a) 800 4
Lee Enterprises, Inc. 1,800 41
Libbey, Inc. 700 21
Linens 'N Things, Inc. (a) 1,500 46
Lone Star Steakhouse & Saloon 1,900 22
Luby's Cafeterias, Inc. 1,400 13
Manpower, Inc. 4,100 145
MAXIMUS, Inc. (a) 600 14
McClatchy Co. (The) Class A 1,200 38
Media General, Inc. Class A 1,300 64
MemberWorks, Inc. (a) 500 16
Men's Wearhouse, Inc. (The)(a) 1,100 23
MGM Grand, Inc. 200 6
Michaels Stores, Inc. (a) 600 24
Modis Professional Services, Inc. (a) 5,300 40
Morrison Management
Specialists, Inc. 550 15
Movado Group, Inc. 200 2
Musicland Stores Corp. (a) 1,000 8
Nautica Enterprises, Inc. (a) 1,800 20
Navigant Consulting, Inc (a) 1,400 14
NPC International, Inc. (a) 400 4
NTL, Inc. (a) 6,200 474
O'Charleys, Inc. (a) 300 4
Oakley, Inc. (a) 1,100 13
OfficeMax, Inc. (a) 6,700 38
Ogden Corp. 700 7
On Assignment, Inc. (a) 800 25
Oshkosh B' Gosh, Inc. Class A 500 8
Outback Steakhouse, Inc. (a) 2,600 85
Pacific Sunwear of California (a) 1,100 37
Papa Johns International, Inc. (a) 700 19
Park Place Entertainment Corp. (a) 15,400 197
Paxson Communications Corp. (a) 1,100 9
Payless ShoeSource, Inc. (a) 237 13
Pegasus Communications Corp.
Class A (a) 500 55
Personnel Group of America, Inc. (a) 1,400 7
Petco Animal Supplies, Inc. (a) 1,200 14
Tax-Manged Small Cap Fund 189
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
PETsMART, Inc. (a) 4,600 15
Phillips-Van Heusen Corp. 1,300 11
Pinnacle Entertainment, Inc. (a) 1,400 28
Pittston Brink's Group 3,000 49
Plantronics, Inc. (a) 700 62
Playtex Products, Inc. (a) 1,500 16
Polo Ralph Lauren Corp. Class A (a) 3,300 54
Pre-paid Legal Services, Inc. (a) 700 22
Prime Hospitality Corp. (a) 2,800 26
PRIMEDIA, Inc. (a) 2,500 52
Provant, Inc. (a) 300 2
Quicksilver, Inc. (a) 800 15
RARE Hospitality
International, Inc. (a) 500 15
Rayovac Corp. (a) 1,200 25
Regis Corp. 1,200 14
Rent-A-Center, Inc. (a) 600 12
Rent-Way, Inc. (a) 700 18
Revlon, Inc. Class A (a) 900 7
Reynolds & Reynolds Co. Class A 4,500 107
Ruby Tuesday, Inc. 1,400 29
Ryan's Family Steak Houses, Inc. (a) 2,100 21
Salton, Inc. (a) 300 13
Scholastic Corp. (a) 700 33
School Specialty, Inc. (a) 700 13
Scientific Games Holdings Corp. (a) 600 11
SCP Pool Corp. (a) 400 15
Scripps (E.W.) Co. Class A 1,600 75
ShopKo Stores, Inc. (a) 1,900 34
Snyder Communications, Inc. (a) 1,800 43
Sonic Corp. (a) 700 19
Specialty Equipment Cos., Inc. (a) 500 10
Speedway Motorsports, Inc. (a) 500 12
Staff Leasing, Inc. (a) 800 3
Starwood Hotels & Resorts Worldwide, Inc. 10,700 304
Station Casinos, Inc. (a) 1,000 29
Steinway Musical Instruments, Inc. (a) 300 6
Stewart Enterprises, Inc. Class A 5,400 26
Stride Rite Corp. 2,000 17
Sturm, Ruger & Co., Inc. 1,200 12
Sunglass Hut International, Inc. (a) 1,800 13
Sunterra Corp. (a) 1,900 4
Sylvan Learning Systems, Inc. (a) 2,600 39
Talbots, Inc. 600 30
TeleTech Holdings, Inc. (a) 800 26
TETRA Technologies, Inc. (a) 1,500 35
Tiffany & Co. 2,100 153
Timberland Co. Class A (a) 400 28
Toro Co. 700 22
Trans World Entertainment Corp. (a) 1,600 17
Trendwest Resorts, Inc. (a) 100 2
True North Communications, Inc. 2,000 82
Tuesday Morning Corp. (a) 200 3
Unifirst Corp. 700 7
United Natural Foods, Inc. (a) 400 6
Urban Outfitters, Inc. (a) 400 4
USA Networks, Inc. (a) 6,200 143
Venator Group, Inc. (a) 8,100 96
Wackenhut Corp. 500 7
Wackenhut Corrections Corp. (a) 400 3
WestPoint Stevens, Inc. 1,500 28
Westwood One, Inc. (a) 2,800 99
Whitehall Jewellers, Inc. (a) 800 14
Wiley (John) & Sons Inc. Class A 1,900 33
Windmere Corp. (a) 1,300 21
WMS Industries, Inc. (a) 1,000 9
Wolverine World Wide, Inc. 2,300 28
Zale Corp. (a) 300 12
Ziff-Davis, Inc. (a) 1,700 17
----------
10,886
----------
CONSUMER STAPLES - 1.2%
Aurora Foods, Inc. (a) 900 4
Bush Boake Allen, Inc. (a) 400 12
Canandaigua Brands Co., Inc.
Class A (a) 900 45
Casey's General Stores, Inc. 2,100 24
Church and Dwight Co., Inc. 1,600 29
Corn Products International, Inc. 2,100 50
Dean Foods Co. 2,300 56
IBP, Inc. 4,300 71
International Home Foods, Inc. (a) 1,200 17
Keebler Foods Co. 900 28
McCormick & Co., Inc. 4,400 137
Michael Foods, Inc. 800 17
Performance Food Group Co. (a) 600 16
Pilgrim's Pride Corp. 500 4
Ralcorp Holdings, Inc. (a) 1,800 25
Riviana Foods, Inc. 200 3
Robert Mondavi Corp. Class A (a) 500 17
Ruddick Corp. 1,800 21
Schweitzer-Mauduit
International, Inc. 900 13
Smithfield Foods, Inc. (a) 1,700 36
Smucker (J.M.) Co. 1,600 26
Suiza Foods Corp. (a) 1,900 74
Universal Corp. 1,900 36
Universal Foods Corp. 2,900 48
Whitman Corp. 1,400 16
Whole Foods Market, Inc. (a) 1,100 47
----------
872
----------
190 Tax-Managed Small Cap Fund
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSESTS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
FINANCIAL SERVICES - 10.9%
ACE, Ltd. 650 16
Advanta Corp. Class A 1,100 19
Affiliated Managers Group, Inc. (a) 800 32
Alexandria Real Estate Equities, Inc. 700 22
Alleghany Corp. (a) 300 51
Alliance Bancorp 600 10
Allied Capital Corp. 3,000 56
Amcore Financial, Inc. 1,600 32
American Annuity Group, Inc. 500 8
AmeriCredit Corp. (a) 2,800 52
Andover Bancorp, Inc. 400 11
Avalonbay Communities, Inc. 4,100 160
AXA Financial, Inc. 10,600 346
BancFirst Corp. 300 8
BancorpSouth, Inc. 3,700 57
BancWest Corp. 2,800 51
Bank United Corp. Class A 1,900 63
Bedford Property Investors, Inc. 1,200 21
BOK Financial Corp. (a) 600 10
BRE Properties, Inc. 2,700 75
Brown & Brown, Inc. 400 16
Cabot Industrial Trust 2,400 46
Camden Property Trust 2,400 68
Catellus Development Corp. (a) 5,600 73
Cathay Bancorp, Inc. 500 22
CB Richard Ellis Services (a) 500 5
Centura Banks, Inc. 2,670 110
Chelsea GCA Realty, Inc. 800 26
Chittenden Corp. 1,500 40
Citizens Banking Corp. 1,700 30
CNA Surety Corp. 1,000 15
Colonial BancGroup, Inc. 6,300 59
Commerce Bancorp, Inc. 1,400 56
Commerce Bancshares, Inc. 3,700 114
Commonwealth Bancorp, Inc. 700 9
Community Trust Bancorp, Inc. 800 14
Concord EFS, Inc. (a) 7,900 176
CORUS Bankshares, Inc. 500 12
Cullen Frost Bankers, Inc. 3,200 79
CVB Financial Corp. 600 10
Developers Diversified Realty Corp. 3,700 56
Dime Community Bancorp, Inc. 700 12
Doral Financial Corp. 1,300 15
Downey Financial Corp. 1,200 36
E.W. Blanch Holdings, Inc. 600 13
EastGroup Properties, Inc. 1,000 21
Enhance Financial Services
Group, Inc. 1,700 17
Equity Office Properties Trust 15,500 421
Equity Residential Properties Trust 7,800 355
Everest Re Group, Ltd. 2,100 61
F&M National Corp. 700 17
F.N.B. Corp. 1,365 27
Federated Investors, Inc. Class B 2,600 73
Fidelity National Financial, Inc. 1,892 28
Financial Federal Corp. (a) 400 7
Financial Security Assurance Holdings,
Ltd. 1,300 96
FINOVA Group, Inc. 200 3
First American Financial Corp. 3,300 51
First Charter Corp. 900 12
First Citizens BancShares, Inc. 300 18
First Commonwealth Financial Corp. 3,500 41
First Federal Capital Corp. 800 9
First Financial Bancorp 1,400 25
First Financial Holdings, Inc. 800 11
First Indiana Corp. 600 11
First Merchants Corp. 700 14
First Midwest Bancorp, Inc. 2,000 50
First Sentinel Bancorp, Inc. 2,400 18
First Tennessee National Corp. 300 6
First United Bancshares, Inc. 1,500 25
First Virginia Banks, Inc. 2,900 106
First Washington Bancorp, Inc. 700 10
FirstFed Financial Corp. (a) 1,100 14
Frontier Financial Corp. 600 11
Gallagher (Arthur J.) & Co. 1,500 56
GBC Bancorp 600 17
Glenborough Realty Trust, Inc. 1,900 28
Goldman Sachs Group, Inc. (The) 3,300 308
Greater Bay Bancorp 400 17
Hamilton Bancorp, Inc. (a) 500 9
Hancock Holding Co. 600 21
Harbor Florida Bancshares, Inc. 800 8
Health Care REIT, Inc. 1,700 27
Healthcare Realty Trust, Inc. 2,400 43
Hilb, Rogal & Hamilton Co. 500 14
HRPT Properties Trust 8,700 66
HSB Group, Inc. 1,200 35
Hudson United Bancorp 1,700 38
Independence Community Bank Corp. 4,100 48
Independent Bank Corp. 700 7
IndyMac Mortgage Holdings, Inc. 4,200 55
Insignia Financial Group, Inc. (a) 900 9
Interpool, Inc. 800 6
Investors Financial Services Corp. 600 49
Irwin Financial Corp. 500 8
Jack Henry & Assocociates, Inc. 1,000 39
John Nuveen & Co., Inc. Class A 300 12
Knight/Trimark Group, Inc.
Class A (a) 2,800 105
Tax-Managed Small Cap Fund 191
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
Leucadia National Corp. 2,300 54
Liberty Financial Cos., Inc. 800 15
LNR Property Corp. 1,300 28
MAF Bancorp, Inc. 1,500 28
McGrath RentCorp 400 7
MeriStar Hospitality Corp. 2,800 55
Metris Companies, Inc. 1,500 56
MidAmerica Bancorp 500 12
Mississippi Valley Bancshares, Inc. 200 4
MONY Group, Inc. (The) 2,800 87
Morgan Keegan, Inc. 1,200 19
National City Bancshares, Inc. 1,000 22
National Commerce Bancorp 3,300 54
National Penn Bancshares, Inc. 900 19
Nationwide Health Properties, Inc. 2,700 36
New Plan Excel Realty Trust 5,400 78
North Fork Bancorp., Inc. 8,900 144
OceanFirst Financial Corp. 700 11
Old National Bancorp 3,400 111
Omega Financial Corp. 400 10
One Valley Bancorp of
West Virginia, Inc. 2,000 68
Oriental Financial Group, Inc. 500 9
Pacific Gulf Properties, Inc. 1,100 24
Parkway Properties, Inc. 600 18
PFF Bancorp, Inc. 800 11
Pioneer Group, Inc. (a) 1,100 31
PMI Group, Inc. (The) 1,800 87
Policy Management Systems Corp. (a) 1,400 19
Prentiss Properties Trust 2,300 55
Protective Life Corp. 3,200 76
Provident Bankshares Corp. 1,680 25
Provident Financial Group, Inc. 1,300 38
PS Business Parks, Inc. 1,500 33
Queens County Bancorp 400 8
Radian Group, Inc. 2,100 107
Raymond James Financial, Inc. 400 8
Regency Realty Corp. 2,100 46
Reinsurance Group Of America 1,000 25
Republic Bancorp, Inc. 2,700 26
RFS Hotel Investors, Inc. 1,500 18
Richmond County Financial Corp. 1,800 31
Riggs National Corp. 1,100 15
Rollins Truck Leasing Corp. 2,800 28
S&T Bancorp, Inc. 1,100 19
SEI Corp. 500 60
Selective Insurance Group, Inc. 1,500 28
Silicon Valley Bancshares (a) 1,200 74
Simmons First National Corp. Class A 400 9
Simon Property Group, Inc. 7,800 198
Sky Financial Group, Inc. 3,000 49
SL Green Realty Corp. 1,400 36
Southwest Bancorporation of
Texas, Inc. (a) 1,100 21
Sovereign Bancorp, Inc. 10,600 73
St. Francis Capital Corp. 500 7
State Auto Financial Corp. 800 8
Staten Island Bancorp, Inc. 2,400 41
Sterling Bancshares, Inc. 1,100 12
Student Loan Corp., The 200 8
Summit Properties, Inc. 1,300 26
Susquehanna Bancshares, Inc. 2,400 33
TCF Financial Corp. 4,900 115
Texas Regional Bancshares, Inc.
Class A 800 23
Three Rivers Bancorp, Inc. (a) 350 3
Trammell Crow Co. (a) 1,000 13
Triad Guaranty, Inc. (a) 800 17
TrustCo Bank Corp. NY 2,400 29
U.S. Restaurant Properties, Inc. 900 11
U.S. Trust Corp. 700 108
UICI (a) 200 1
UMB Financial Corp. 1,100 40
United Bankshares, Inc. 1,800 39
United National Bancorp 900 18
USBANCORP, Inc. 900 5
Valley National Bancorp 3,700 97
Waddell & Reed Financial, Inc.
Class A 3,400 91
Washington Federal, Inc. 3,300 58
Webster Financial Corp. 2,600 55
WesBanco, Inc. 100 2
West Coast Bancorp 100 1
Westamerica Bancorporation 100 2
Whitney Holding Corp. 1,400 49
Zenith National Insurance Corp. 600 15
Zions Bancorp 1,800 74
----------
8,019
----------
HEALTH CARE - 5.9%
Abgenix, Inc. (a) 900 81
Acuson (a) 1,300 16
Advance Paradigm, Inc. (a) 700 9
Affymetrix, Inc. (a) 600 81
Alkermes, Inc. (a) 1,200 64
Alpharma, Inc. Class A 800 31
American Retirement Corp. (a) 600 5
AmeriPath, Inc. (a) 300 2
AmeriSource Health Corp. Class A (a) 1,900 38
Andrx Corp. (a) 1,400 72
Apria Healthcare Group, Inc. (a) 3,300 46
Arrow International, Inc. 700 24
192 Tax-Managed Small Cap Fund
<PAGE>
TAX MANAGED SMALL CAP FUND
STATEMENTS OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
Bindley Western Industries, Inc. 800 14
Biogen, Inc. (a) 3,900 229
Biomatrix, Inc. (a) 600 11
Celera Genomics (a) 3,300 272
Chiron Corp. (a) 1,900 86
Columbia Laboratories, Inc. (a) 800 8
Conmed Corp. (a) 700 18
Cooper Companies, Inc. 500 17
Covance, Inc. (a) 2,300 21
Coventry Health Care, Inc. (a) 3,400 36
Cytyc Corp. (a) 1,500 67
Datascope Corp. 700 23
DENTSPLY International, Inc. 200 6
Diagnostic Products Corp. 700 21
Dura Pharmaceuticals, Inc. (a) 2,200 28
EntreMed, Inc. (a) 500 26
Enzon, Inc. (a) 1,900 71
Express Scripts, Inc. Class A (a) 800 29
Forest Labs, Inc. (a) 3,200 269
Foundation Health Systems, Inc. (a) 6,000 60
GelTex Pharmaceuticals, Inc. (a) 300 5
Genzyme Corp. (a) 3,400 166
Gilead Sciences, Inc. (a) 2,000 108
Gliatech, Inc. (a) 400 6
Hanger Orthopedic Group, Inc. (a) 600 3
Henry Schein, Inc. (a) 1,000 14
Hooper Holmes, Inc. 2,400 42
Human Genome Sciences, Inc. (a) 2,200 168
ICOS Corp. (a) 1,700 68
IDEC Pharmaceuticals Corp. (a) 2,000 128
IDEXX Laboratories, Inc. (a) 1,400 37
Imclone Systems, Inc. (a) 1,100 100
Invacare Corp. 1,200 32
Jones Pharma, Inc. 2,100 60
King Pharmaceuticals, Inc. (a) 1,102 54
Laser Vision Centers, Inc. (a) 1,100 4
Lincare Holdings, Inc. (a) 1,800 55
Liposome Co., Inc. (a) 1,600 28
Magellan Health Services, Inc. (a) 2,200 8
Medicis Pharmaceutical Corp.
Class A. (a) 1,100 48
MedImmune, Inc. (a) 2,400 382
Mentor Corp. 1,000 18
Mid Atlantic Medical
Services, Inc. (a) 1,600 15
Mylan Laboratories, Inc. 5,900 167
National Data Corp. 1,400 39
NBTY, Inc. (a) 3,200 57
Owens & Minor, Inc., Holding Co. 1,600 19
Parexel International Corp. (a) 1,100 10
Patterson Dental Co. (a) 1,000 48
Pharmaceutical Product
Development, Inc. (a) 700 12
Professional Detailing, Inc. (a) 200 5
Protein Design Labs, Inc. (a) 700 71
Province Healthcare Co. (a) 400 12
PSS World Medical, Inc. (a) 2,900 25
Quest Diagnostics, Inc. (a) 2,400 140
Quorum Health Group, Inc. (a) 4,100 43
Renal Care Group, Inc. (a) 2,000 45
Res-Care, Inc. (a) 800 9
ResMed, Inc. (a) 1,200 41
Respironics, Inc. (a) 200 3
Sunrise Assisted Living, Inc. (a) 800 13
Sybron International Corp. (a) 4,000 125
Techne Corp. (a) 800 57
Theragenics Corp. (a) 1,300 13
Universal Health Services, Inc.
Class B (a) 300 16
US Oncology, Inc. (a) 1,500 5
Veterinary Centers of America,
Inc. (a) 1,100 15
Vical, Inc. (a) 900 16
Vital Signs, Inc. 400 8
Wesley Jessen VisionCare, Inc. (a) 700 27
West Pharmaceutical Services, Inc. 700 17
----------
4,388
----------
INTEGRATED OILS - 0.3%
Cabot Oil & Gas Corp. 1,300 24
Cross Timbers Oil Co. 2,100 30
Equitable Resources, Inc. 2,000 93
Pennzoil-Quaker State Co. 4,600 50
Tesoro Petroleum Corp. (a) 1,900 22
----------
219
----------
MATERIALS AND PROCESSING - 4.0%
Airgas, Inc. (a) 3,500 21
AMCOL International Corp. 1,300 21
American Standard Cos., Inc. (a) 4,100 168
Apogee Enterprises, Inc. 1,300 5
AptarGroup, Inc. 1,700 48
BMC Industries, Inc. 1,400 7
Brady Corp. Class A 900 26
Cabot Corp. 3,900 105
Calgon Carbon Corp. 2,000 13
Cambrex Corp. 1,400 57
Caraustar Industries, Inc. 1,200 18
Carlisle Cos., Inc. 1,700 70
Carpenter Technology Corp. 1,100 22
Centex Construction Products, Inc. 300 9
ChemFirst, Inc. 1,100 21
Tax-Managed Small Cap Fund 193
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
Chesapeake Corp. 1,100 34
Clarcor, Inc. 1,500 27
Comfort Systems USA, Inc. (a) 700 5
Commercial Metals Co. 700 21
Corning, Inc. 332 66
CUNO, Inc. (a) 400 11
Cytec Industries, Inc. (a) 2,500 75
Dal-Tile International, Inc. (a) 1,700 17
Deltic Timber Corp. 700 15
Dexter Corp. 1,100 60
Elcor Chemical Corp. 800 25
Ferro Corp. 1,800 41
Florida Rock Industries, Inc. 700 23
Forest City Enterprises, Inc. Class A 700 20
Geon Co. 1,300 28
Georgia Gulf Corp. 900 22
Gibraltar Steel Corp. 400 7
Granite Construction, Inc. 1,200 29
Griffon Corp. (a) 1,900 13
Hanna (M.A.) Co. 3,300 38
Harland (John H.) Co. 1,400 22
Harsco Corp. 2,400 71
Hughes Supply, Inc. 1,400 21
IMCO Recycling, Inc. 800 8
Internet Corp. 1,300 10
Ionics, Inc. (a) 1,000 24
Jacob's Engineering Group, Inc. (a) 1,100 34
Johns Manville Corp. 1,900 20
Justin Industries, Inc. 1,000 18
Kaiser Aluminum Corp. (a) 1,600 7
Kaydon Corp. 1,100 26
Lafarge Corp. 1,900 48
Lilly Industrial Coatings, Inc. Class A 1,300 14
Longview Fibre Co. 3,300 42
LSI Industries, Inc. 400 7
Lubrizol Corp. 3,400 87
Lydall, Inc. (a) 900 8
Mascotech, Inc. 400 5
Metals USA, Inc. 1,500 11
Methode Electronics, Inc. Class A 1,500 62
Minerals Technologies, Inc. 1,000 46
Mohawk Industries, Inc. (a) 100 2
Morrison Knudsen Corp. 1,900 17
Mueller Industries, Inc. (a) 1,900 63
NCI Building Systems, Inc. (a) 900 17
Nortek, Inc. (a) 600 12
OM Group 1,500 69
Omnova Solutions, Inc. 1,600 10
P.H. Glatfelter Co. 1,500 16
Paxar Corp. (a) 2,600 26
Polymer Group, Inc. 1,200 14
Quanex Corp. 800 13
Rayonier, Inc. 1,700 80
Reliance Steel & Aluminum Co. 1,200 28
Rock-Tenn Co. Class A 700 6
RPM, Inc. 6,600 67
Ryerson Tull, Inc. 900 11
Schulman (A.), Inc. 1,900 24
Scotts Co. (The) Class A (a) 700 25
Simpson Manufacturing Co., Inc. (a) 300 14
Spartech Corp. 700 24
SPS Technologies, Inc. (a) 700 22
St. Joe Co. (The) 300 9
Standard Register Co. 800 10
Standex International Corp. 300 5
Steel Dynamics, Inc. (a) 2,000 23
Stericycle, Inc. (a) 600 12
Stillwater Mining Co. (a) 2,200 62
Stone & Webster, Inc. 500 7
Texas Industries, Inc. 800 26
Tractor Supply Co. (a) 300 5
Tredegar Industries, Inc. 200 5
U.S. Can Corp. (a) 400 7
Universal Forest Products, Inc. 900 12
Valmont Industries, Inc. 900 18
Valspar Corp. 2,200 79
Waters Corp. (a) 2,700 256
WD-40 Co. 600 12
Webb (Del E.) Corp. (a) 1,000 15
Westinghouse Air Brake Co. 2,100 25
Wolverine Tube, Inc. (a) 800 13
----------
2,940
----------
MISCELLANEOUS - 0.1%
Agribrands International, Inc. (a) 600 22
Education Management Corp. (a) 800 13
F.Y.I., Inc. (a) 500 13
----------
48
----------
OTHER ENERGY - 2.5%
Barrett Resources Corp. (a) 1,100 35
Brown (Tom), Inc. (a) 1,100 21
Cal Dive International, Inc. (a) 300 15
Cleco Corp. 1,400 48
Devon Energy Corp. 1,500 72
Dril-Quip, Inc. (a) 400 16
Evergreen Resources, Inc. (a) 500 12
Forest Oil Corp. (a) 1,100 12
Global Industries, Inc. (a) 1,100 16
Hanover Compressor Co. (a) 1,000 58
Helmerich & Payne, Inc. 3,000 94
Kinder Morgan, Inc. 6,000 182
194 Tax-Managed Small Cap Fund
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
Louis Dreyfus Natural Gas Corp. (a) 1,300 36
Marine Drilling Co, Inc. (a) 3,400 88
McMoRan Exploration Co. (a) 800 11
Newfield Exploration Co. (a) 1,600 65
Northwestern Corp. 1,400 32
Nuevo Energy Co. (a) 1,000 18
Ocean Energy, Inc. (a) 10,000 129
Oceaneering International, Inc. (a) 1,200 21
Pioneer Natural Resources Co. (a) 6,300 65
Seacor Holdings, Inc. (a) 700 43
Seitel, Inc. (a) 1,600 10
SEMCO Energy, Inc. 1,100 14
St. Mary Land & Exploration Co. 800 27
Stone Energy Corp. (a) 700 33
Swift Energy Co. (a) 1,100 22
Ultramar Diamond Shamrock Corp. 5,100 126
Valero Energy Corp. 2,900 84
Varco International, Inc. (a) 3,600 45
Vastar Resources, Inc. 700 56
Vintage Petroleum, Inc. 300 6
Weatherford International, Inc. (a) 7,500 305
----------
1,817
----------
PRODUCER DURABLES - 4.1%
American Power Conversion Corp. (a) 8,100 286
AMETEK, Inc. 1,300 27
Applied Industrial Technology, Inc. 1,200 21
Applied Materials, Inc. (a) 908 92
Applied Power, Inc., Class A 1,600 46
Asyst Technologies, Inc. (a) 1,200 64
Baldor Electric Co. 1,600 30
Belden, Inc. 1,400 42
Champion Enterprises, Inc. (a) 1,900 13
Clayton Homes, Inc. 300 3
Cohu, Inc. 100 4
Columbus McKinnon Corp. 800 11
Cordant Technologies, Inc. 100 6
Credence Systems Corp. (a) 800 114
CTS Corp. 900 57
D.R. Horton, Inc. 3,100 40
Detroit Diesel Corp. 500 8
Diebold, Inc. 4,200 121
Donaldson Co., Inc. 2,000 47
Fastenal Co. 1,300 76
Fisher Scientific International, Inc. (a) 900 36
Franklin Electric Co., Inc. 200 14
GenCorp, Inc. 2,000 20
General Semiconductor, Inc. (a) 1,100 22
GenRad, Inc. (a) 1,500 11
Gentex Corp. (a) 3,500 113
Grant Prideco, Inc. (a) 5,400 104
HON Industries, Inc. 3,500 87
Howmet International, Inc. (a) 1,400 30
IDEX Corp. 1,500 47
JLG Industries, Inc. 2,000 19
Kennametal, Inc. 1,700 49
Kent Electronics Corp. (a) 1,600 47
Kimball International, Inc. Class B 1,900 26
Lennar Corp. 2,300 43
Lincoln Electric Holdings, Inc. 1,600 30
Littlefuse, Inc. (a) 400 14
LTX Corp. (a) 1,600 73
Manitowoc Co., Inc. 1,200 40
Mark IV Industries, Inc. 2,800 59
Mathews International Corp. Class A 600 14
Mettler-Toledo International, Inc. (a) 1,400 48
Micrel, Inc. (a) 1,100 95
Miller (Herman), Inc. 3,000 82
NationsRent, Inc. (a) 600 3
Nordson Corp. 300 13
NVR, Inc. (a) 400 25
Plexus Corp. (a) 700 54
PRI Automation, Inc. (a) 700 56
Regal-Beloit Corp. 1,300 23
Roper Industries, Inc. 1,200 38
Ryland Group, Inc. 800 16
Sawtek, Inc. (a) 900 43
Sensormatic Electronics Corp. (a) 3,700 62
Silicon Valley Group, Inc. (a) 200 6
Smith (A.O.) Corp. 1,400 29
Standard Pacific Corp. 600 6
Stewart & Stevenson Services, Inc. 1,700 20
Technitrol, Inc. 400 27
Teleflex, Inc. 2,300 79
Terex Corp. (a) 800 13
Thermo Instrument Systems, Inc. (a) 700 13
Toll Brothers, Inc. (a) 1,100 24
Triquint Semiconductor, Inc. (a) 1,100 113
Triumph Group, Inc. New (a) 600 16
U.S. Home Corp. (a) 700 25
Ultratech Stepper, Inc. (a) 400 6
Vicor Corp. (a) 700 18
Watsco, Inc. 700 9
Watts Industries, Inc. Class A 1,000 13
Wausau-Mosinee Paper Corp. 1,100 13
Woodward Governor Co. 500 11
----------
3,005
----------
Tax-Managed Small Cap Fund 195
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
TECHNOLOGY - 34.4%
Acclaim Entertainment, Inc. (a) 1,600 4
Actel Corp. (a) 1,100 40
Activision, Inc. (a) 1,000 6
Actuate Corp. (a) 900 27
Adaptive Broadband Corp. (a) 1,300 42
Adtran, Inc. (a) 700 47
Advanced Digital Information (a) 2,000 49
Advanced Fibre Communications (a) 2,700 123
Advent Software, Inc. (a) 1,100 58
Affiliated Computer Services, Inc.
Class A (a) 1,200 40
Allaire Corp. (a) 500 28
Alliant Techsystems, Inc. (a) 300 21
Alpha Industries, Inc. (a) 1,200 62
Altera Corp. (a) 6,600 674
American Management Systems, Inc. (a) 1,700 63
Amkor Technology, Inc. (a) 3,600 220
Amphenol Corp. Class A (a) 1,400 89
ANADIGICS, Inc. (a) 1,000 75
Analysts International Corp. 800 9
Ancor Communications, Inc. (a) 1,000 30
AnswerThink Consulting Group, Inc. (a) 1,000 19
Apex, Inc. (a) 800 24
Applied Micro Circuits Corp. (a) 3,900 502
Arrow Electronics, Inc. (a) 5,600 245
Artesyn Technologies, Inc. (a) 1,200 29
Aspect Development, Inc. (a) 1,700 117
Aspen Technology, Inc. (a) 500 18
At Home Corp. Series A (a) 7,000 130
Atmel Corp. (a) 10,600 518
AVT Corp. (a) 1,100 12
BEA Systems, Inc. (a) 11,800 567
BindView Development Corp. (a) 1,400 11
BISYS Group, Inc. (a) 1,100 69
Black Box Corp. (a) 800 61
Broadcom Corp. Class A (a) 4,100 706
BroadVision, Inc. (a) 6,200 272
Brocade Communications Systems, Inc. (a) 400 49
Burr-Brown Corp. (a) 1,400 95
C-Cube Microsystems, Inc. (a) 1,500 96
CACI International, Inc. Class A (a) 500 12
CDW Computer Centers, Inc. (a) 900 93
Checkpoint Systems, Inc. (a) 1,900 17
ChoicePoint, Inc. New (a) 1,200 46
CMGI, Inc (a) 7,400 528
Coherent, Inc. (a) 1,400 81
Computer Associates
International, Inc. 1,802 100
Concord Communications, Inc. (a) 700 19
Conexant Systems, Inc. (a) 3,700 222
Covad Communications Group, Inc. (a) 4,600 127
Cree, Inc. (a) 900 130
CSG Systems International, Inc. (a) 1,800 82
CyberCash, Inc. (a) 700 5
Cybex Computer Products Corp. (a) 700 19
Cymer, Inc. (a) 1,200 47
Cypress Semiconductor Corp. (a) 5,000 260
Dallas Semiconductor Corp. 2,200 94
Datastream Systems, Inc. (a) 600 8
Dendrite International, Inc. (a) 1,300 30
DoubleClick, Inc. (a) 4,000 303
DST Systems, Inc. (a) 500 37
E-Tek Dynamics, Inc. (a) 1,300 266
Electro Scientific Industries, Inc. (a) 1,100 69
Electronics for Imaging, Inc. (a) 1,800 93
Emulex Corp. (a) 1,200 54
Encompass Services Corp. New (a) 4,100 29
Entrust Technologies, Inc. (a) 900 44
Exchange Applications, Inc. (a) 900 11
Exodus Communications, Inc. (a) 6,100 539
Extreme Networks, Inc. (a) 800 46
FileNet Corp. (a) 1,200 35
Flextronics International,Ltd. (a) 1,932 136
Galileo International, Inc. 1,800 42
General Motors Corp. Class H (a) 4,800 462
Gerber Scientific, Inc. 1,100 15
Go2Net, Inc. (a) 1,100 65
Great Plains Software, Inc. (a) 400 17
GTECH Holdings Corp. (a) 1,900 39
Hadco Corp. (a) 800 66
Haemonetics Corp. (a) 500 12
Harbinger Corp. (a) 1,400 26
Harmonic Lightwaves, Inc. (a) 1,000 74
HNC Software, Inc. (a) 1,100 54
Hutchinson Technology, Inc. (a) 500 6
Hyperion Solutions Corp. (a) 1,300 39
i2 Technologies, Inc. (a) 2,500 323
Identix, Inc. (a) 900 14
iGATE Capital Corp. (a) 1,400 42
Imation Corp. (a) 2,100 59
Impath, Inc. (a) 300 14
In Focus Systems, Inc. (a) 1,300 39
Informatica Corp. (a) 600 25
Information Resources, Inc. (a) 2,000 13
Informix Corp. (a) 14,100 154
InfoSpace.com, Inc. (a) 3,500 252
196 Tax-Managed Small Cap Fund
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
Ingram Micro, Inc. Class A (a) 3,000 59
Inktomi Corp. (a) 2,800 431
Innovex, Inc. 400 4
Insight Enterprises, Inc. (a) 800 33
Integrated Device Technology, Inc. (a) 5,000 240
International Game Technology 4,300 105
International Rectifier Corp. (a) 2,500 123
InterVoice, Inc. (a) 1,300 21
ISS Group, Inc. (a) 900 81
ITI Technologies, Inc. (a) 500 13
Jabil Circuit, Inc. (a) 3,900 160
JDS Uniphase Corp. (a) 21,600 2,240
Kemet Corp. (a) 2,100 156
Kopin Corp. (a) 1,100 85
Kronos, Inc. (a) 400 13
L-3 Communications Holdings, Inc. (a) 1,200 64
Lam Research Corp. (a) 5,200 238
Lattice Semiconductor Corp. (a) 1,700 113
Linear Technology Corp. 9,600 548
Lycos, Inc. (a) 3,800 177
Macromedia, Inc. (a) 1,600 139
Macrovision Corp. (a) 1,100 54
Manugistics Group, Inc. (a) 900 38
Maxim Integrated Products, Inc. (a) 10,300 667
Maxwell Technologies, Inc. (a) 300 5
Mentor Graphics Corp. (a) 1,000 13
Mercury Interactive Corp. (a) 2,900 261
Metromedia Fiber Network, Inc.
Class A (a) 8,200 254
Miami Computer Supply Corp. (a) 500 10
Microchip Technology, Inc. (a) 2,900 180
Micromuse, Inc. (a) 800 79
Micron Electronics, Inc. (a) 1,500 16
MICROS Systems, Inc. (a) 800 32
Midway Games, Inc. (a) 1,400 9
MIPS Technologies, Inc. (a) 500 14
National Computer Systems, Inc. 1,200 62
National Instruments Corp. (a) 900 44
NeoMagic Corp. (a) 900 3
Network Solutions, Inc. (a) 1,000 148
Nortel Networks Corp. 780 88
NVIDIA Corp. (a) 600 53
Park Electrochemical Corp. 600 15
Peregrine Systems, Inc. (a) 1,900 46
Perot Systems Corp. Class A (a) 2,100 34
Pinnacle Systems, Inc. (a) 1,500 36
Pioneer-Standard Electronics, Inc. 1,300 20
PMC - Sierra, Inc. (a) 5,000 959
Polycom, Inc. (a) 900 71
Progress Software Corp. (a) 1,400 28
Proxim, Inc. (a) 500 38
QLogic Corp. (a) 2,700 271
QRS Corp. (a) 400 13
Qwest Communications
International, Inc. (a) 4,800 208
RadiSys Corp. (a) 400 17
Rational Software Corp. (a) 3,300 281
Razorfish, Inc. (a) 500 10
Redback Networks, Inc. (a) 300 24
Remedy Corp. (a) 900 48
Renaissance Worldwide, Inc. (a) 1,400 5
RF Micro Devices, Inc. (a) 2,100 218
Rogers Corp. (a) 500 34
RSA Security, Inc. (a) 1,400 82
S3, Inc. (a) 600 8
Safeguard Scientifics, Inc. (a) 5,900 246
Sandisk Corp. (a) 1,900 174
Sapient Corp. (a) 1,000 79
SCI Systems, Inc. (a) 6,800 362
Scott Technologies, Inc. (a) 200 4
Semtech Corp. (a) 1,200 82
Siebel Systems, Inc. (a) 5,100 627
SIPEX Corp. (a) 800 18
SPSS, Inc. (a) 300 9
Structural Dynamics Research Corp. (a) 100 1
Sybase, Inc. (a) 4,600 93
Sykes Enterprises, Inc. (a) 800 16
Symantec Corp. (a) 1,800 112
Symbol Technologies, Inc. 5,200 290
Synopsys, Inc. (a) 2,400 101
Systemax, Inc. (a) 2,100 16
theglobe.com (a) 400 1
THQ, Inc. (a) 700 11
Titan Corp. (a) 1,900 82
Total Systems Services, Inc. 1,500 30
Trimble Navigation, Ltd. (a) 800 22
US LEC Corp. (a) 400 10
Verio, Inc. (a) 2,700 101
VeriSign, Inc. (a) 2,900 403
Veritas Software Corp. (a) 8,850 949
VerticalNet, Inc. (a) 2,600 140
Vignette Corp. (a) 3,300 159
Vishay Intertechnology, Inc. (a) 4,400 369
Visual Networks, Inc. (a) 1,000 39
Vitesse Semiconductor Corp. (a) 6,200 422
Volt Information Sciences, Inc. (a) 500 17
Wind River Systems, Inc. (a) 1,900 81
Xircom, Inc. (a) 1,000 39
Zebra Technologies Corp. Class A (a) 900 52
----------
25,377
----------
Tax-Managed Small Cap Fund 197
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
UTILITIES - 11.3%
Allegheny Energy, Inc. 6,800 207
Allegiance Telecom, Inc. (a) 4,200 296
American States Water Co. 600 18
American Tower Corp. Class A (a) 3,500 163
American Water Works, Inc. 5,800 132
Aware, Inc. (a) 600 23
Black Hills Corp. 400 9
C&D Technologies, Inc. 500 32
Cable Design Technologies Corp. (a) 1,700 58
Cablevision Systems Corp.
Class A (a) 2,400 162
California Water Service Group 700 16
CapRock Communications Corp.
New (a) 1,400 47
Com21, Inc. (a) 800 22
Commonwealth Telephone Enterprises, Inc.
(a) 500 24
CommScope, Inc. (a) 2,000 95
Comsat Corp. 700 17
Conectiv, Inc. 5,000 89
CT Communications, Inc. 1,100 33
DPL, Inc. 10,000 233
DQE, Inc. 4,500 172
Dycom Industries, Inc. (a) 1,600 83
Dynegy, Inc. Class A 7,500 491
E'town Corp. 500 33
Energen Corp. 1,700 31
Hawaiian Electric Industries, Inc. 1,900 70
ICG Communications, Inc. (a) 1,900 57
Idacorp, Inc. 2,200 81
IMRglobal Corp. (a) 700 9
Intermedia Communications, Inc. (a) 1,800 73
IPC Communications, Inc. (a) 100 17
KeySpan Corp. 8,500 250
Laclede Gas Co. 1,200 24
Level 3 Communications, Inc. (a) 9,900 880
MasTec, Inc. (a) 800 69
MDU Resources Group, Inc. 3,500 76
Minnesota Power, Inc. 4,500 83
Montana Power Co. 6,200 273
MRV Communications, Inc. (a) 1,400 96
National Fuel Gas Co. 2,400 114
New Jersey Resources Corp. 1,100 44
Nextlink Communications, Inc.
Class A (a) 4,100 345
NiSource, Inc. 7,800 144
Northwest Natural Gas Co. 1,600 35
NSTAR 4,200 185
NUI Corp. 800 21
Otter Tail Power Co. 1,200 31
Pacific Gateway Exchange, Inc. (a) 600 4
Philadelphia Suburban Corp. 1,900 46
Piedmont Natural Gas Co., Inc. 1,900 54
Potomac Electric Power Co. 7,400 173
Powertel, Inc. (a) 1,100 73
Powerwave Technologies, Inc. (a) 500 104
Price Communications Corp. (a) 1,800 37
Public Service Co. of New Mexico 2,200 40
Quanta Services, Inc. (a) 2,000 93
SDL, Inc. (a) 2,800 546
Sierra Pacific Resources 4,600 70
SJW Corp. 100 12
South Jersey Industries, Inc. 500 13
Southwest Gas Corp. 1,800 34
TALK.com, Inc. (a) 1,700 17
Telephone & Data Systems, Inc. 3,200 326
TranSwitch Corp. (a) 1,400 123
UGI Corp. 2,000 41
United Illuminating Co. 900 41
United States Cellular Corp. (a) 300 18
UtiliCorp United, Inc. 5,800 112
VoiceStream Wireless Corp. (a) 6,600 653
Washington Gas & Light Co. 2,900 74
Western Resources, Inc. 4,000 63
Western Wireless Corp. Class A (a) 1,700 84
WPS Resources Corp. 1,600 48
----------
8,362
----------
TOTAL COMMON STOCKS
(cost $63,839) 67,596
----------
198 Tax-Managed Small Cap Fund
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
April 30, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- --------
SHORT-TERM INVESTMENTS - 7.1%
Frank Russell Investment Company Money
Market Fund,
due on demand (b) 4,913 4,913
United States Treasury Bills (b)(c)(d)
5.470% due 06/29/00 350 347
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $5,260) 5,260
----------
TOTAL INVESTMENTS - 98.7%
(identified cost $69,099) 72,856
OTHER ASSETS AND LIABILITIES,
NET - 1.3% 921
----------
NET ASSETS - 100.0% 73,777
==========
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
(d) Rate noted is yield-to-maturity from date of acquisition.
Abbreviations:
ADR - American Depositary Receipt
Unrealized
Number Appreciation
of (Depreciation)
Future Contracts Contracts (000)
---------- --------------
S&P 500 Index
expiration date 06/00 8 $ 48
S&P 400 Midcap
expiration date 06/00 12 59
--------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 107
==============
See accompanying notes which are an integral part of the financial statements.
Tax-Managed Small Cap Fund 199
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) April 30, 2000 (Unaudited)
ASSETS
Investments at market (identified cost $69,099) ................... $ 72,856
Receivables:
Dividends ......................................................... 56
Fund shares sold .................................................. 876
From Advisor ...................................................... 82
Daily variation margin on futures contracts ....................... 19
---------
Total assets .................................................... 73,889
LIABILITIES
Payables:
Fund shares redeemed ..................................... $ 30
Accrued fees to affiliates ............................... 56
Other accrued expenses ................................... 26
--------
Total liabilities .............................................. 112
---------
NET ASSETS ........................................................ $ 73,777
=========
NET ASSETS CONSIST OF:
Undistributed net investment income ............................... $ 36
Accumulated net realized gain (loss) .............................. (825)
Unrealized appreciation (depreciation) on:
Investments ...................................................... 3,757
Futures contracts ................................................ 107
Shares of beneficial interest ..................................... 66
Additional paid-in capital ........................................ 70,636
---------
NET ASSETS ........................................................ $ 73,777
=========
NET ASSET VALUE, offering and redemption price per share:
Class C ($1,479,741 divided by 131,627 shares of $.01 par
value shares of beneficial interest outstanding) ................. $ 11.24
=========
Class S ($72,297,207 divided by 6,418,784 shares of $.01 par
value shares of beneficial interest outstanding) ................. $ 11.26
=========
See accompanying notes which are an integral part of the financial statements.
200 Tax-Managed Small Cap Fund
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
Four Months Ended
April 30, 2000
(Unaudited) 1999*
----------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Dividends ............................................ $ 146 $ 25
Dividends from Money Market Fund ..................... 104 31
Interest ............................................. 6 1
----------------- -----------------
Total investment income .............................. 256 57
EXPENSES
Advisory fees ........................................ 168 18
Administrative fees .................................. 9 1
Custodian fees ....................................... 74 40
Distribution fees - Class C .......................... 2 --
Transfer agent fees .................................. 2 21
Professional fees .................................... 9 14
Registration fees .................................... 19 44
Shareholder servicing fees - Class C ................. 1 --
Trustees' fees ....................................... 5 --
Miscellaneous ........................................ 3 4
----------------- -----------------
Expenses before reductions ........................... 292 142
Expense reductions ................................... (72) (120)
----------------- -----------------
Expenses, net ...................................... 220 22
----------------- -----------------
Net investment income ................................. 36 35
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .......................................... (769) (155)
Futures contracts .................................... 125 (26)
----------------- -----------------
(644) (181)
----------------- -----------------
Net change in unrealized appreciation
(depreciation) on:
Investments .......................................... 2,040 1,717
Futures contracts .................................... (22) 129
----------------- -----------------
2,018 1,846
----------------- -----------------
Net realized and unrealized gain (loss) .............. 1,374 1,665
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS ............................................ $ 1,410 $ 1,700
================= =================
</TABLE>
* For the period December 1, 1999 (commencement of operations) to December 31,
1999.
See accompanying notes which are an integral part of the financial statements.
Tax-Managed Small Cap Fund Fund 201
<PAGE>
TAX-MANAGED SMALL CAP FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOUR MONTHS ENDED
APRIL 30, 2000
(UNAUDITED) 1999*
----------------- ------------------
INCREASE (DECREASE) IN NET ASSETS
<S> <C> <C>
OPERATIONS
Net investment income .......................... $ 36 $ 35
Net realized gain (loss) ...................... (644) (181)
Net change in unrealized appreciation
(depreciation) ................................ 2,018 1,846
----------------- ------------------
Net increase (decrease) in net assets from
operations ................................... 1,410 1,700
----------------- ------------------
DISTRIBUTIONS
From net investment income
Class C ...................................... (1) --
Class S ...................................... (34) --
----------------- ------------------
Net decrease in net assets from
distributions .............................. (35) --
----------------- ------------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions ................................... 43,127 27,575
----------------- ------------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ..... 44,502 29,275
NET ASSETS
Beginning of period ............................ 29,275 --
----------------- ------------------
End of period (including undistributed net
of $36 and $35, respectively) ................. $ 73,777 $ 29,275
================= ==================
</TABLE>
* For the period December 1, 1999 (commencement of operations) to December 31,
1999.
See accompanying notes which are an integral part of the financial statements.
202 Tax-Managed Small Cap Fund
<PAGE>
TAX-MANAGED SMALL CAP FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999**
---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD ..................... $ 10.71 $ 10.00
---------- ----------
INCOME FROM OPERATIONS
Net investment income (loss)(a)*** ..................... (.03) --
Net realized and unrealized gain (loss) ................ .57 .71
---------- ----------
Total income from operations ......................... .54 .71
---------- ----------
DISTRIBUTIONS
From net investment income ............................. (.01) --
---------- ----------
NET ASSET VALUE, END OF PERIOD ........................... $ 11.24 $ 10.71
========== ==========
TOTAL RETURN (%)(b) ..................................... 5.01 7.10
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ................ 1,480 222
Ratios to average net assets (%)(c):
Operating expenses, net (d) ........................... 2.25 2.18
Operating expenses, gross (d) ......................... 2.71 8.78
Net investment income (loss) .......................... (.79) .73
Portfolio turnover rate (%) ............................. 4.01 3.33
* For the four months ended April 30, 2000 (Unaudited).
** For the period December 1, 1999 (commencement of operations) to December 31,
1999.
*** Less than .01c per share for the period ended December 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
Tax-Managed Small Cap Fund Fund 203
<PAGE>
TAX-MANAGED SMALL CAP FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
2000* 1999*
---------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD ..................... $ 10.73 $ 10.00
---------- ---------
INCOME FROM OPERATIONS
Net investment income (a) .............................. .01 .01
Net realized and unrealized gain (loss) ................ .53 .72
---------- ---------
Total income from operations .......................... .54 .73
---------- ---------
DISTRIBUTIONS
From net investment income .............................. (.01) --
---------- ---------
NET ASSET VALUE, END OF PERIOD ........................... $ 11.26 $ 10.73
========= =========
TOTAL RETURN (%)(b) ..................................... 5.02 7.30
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ............... 72,297 29,053
Ratios to average net assets (%)(c):
Operating expenses, net (d) .......................... 1.25 1.25
Operating expenses, gross (d) ........................ 1.66 7.95
Net investment income ................................. .22 1.92
Portfolio turnover rate (%) ............................ 4.01 3.33
* For the four months ended April 30, 2000 (Unaudited).
** For the period December 1, 1999 (commencement of operations) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
204 Tax-Managed Small Cap Fund
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 2000 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 29 different investment portfolios, (one of which has not
yet commenced operations) referred to as "Funds." These financial statements
report on thirteen 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.
The Fund's Board of Trustees approved a change in the Fund's fiscal year end
from December 31 to October 31. As a result, this financial report reflects
the three-month period commencing on January 1, 2000 through April 30, 2000.
On February 26, 1999, the Fixed Income II Fund acquired all the net assets of
the Volatility Constrained Bond Fund (one of the Funds of the Investment
Company not presented herein) pursuant to a plan of reorganization approved
by the Volatility Constrained Bond Fund shareholders. The acquisition was
accomplished by a tax-free exchange of 8,934,738 shares of the Fixed Income
II Fund (valued at $163,684,403) for the 8,932,673 shares of the Volatility
Constrained Bond Fund on February 26, 1999. The Volatility Constrained Bond
Fund's net assets of $163,684,403, including $495,215 of unrealized
depreciation, were combined with those of the Fixed Income II Fund which
changed its name to the Short Term Bond Fund. The aggregate net assets of the
Fixed Income II Fund and the Volatility Constrained Bond Fund immediately
before the acquisition were $320,538,146 and $163,684,403, respectively.
In addition, the Short Term Bond Fund made a reclassification among certain
of its capital accounts to reflect the acquisition of the Volatility
Constrained Bond Fund, without impacting its net asset value. The following
reclassification has been made for the year ended December 31, 1999:
<TABLE>
<CAPTION>
UNDISTRIBUTED NET ACCUMULATED NET ADDITIONAL
INVESTMENT INCOME REALIZED GAIN (LOSS) PAID-IN CAPITAL
----------------- -------------------- ---------------
<S> <C> <C> <C>
Short Term Bond Fund $ 42,226 $ (9,588,387) $ 9,546,161
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with generally
accepted accounting principles ("GAAP") 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.
Short-term investments 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 specific identified cost incurred by each money manager within a
particular Fund.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded on the accrual basis.
AMORTIZATION AND ACCRETION: All premiums and discounts, including original
issue discounts, for the Funds are amortized/ accreted for both tax and
financial reporting purposes.
Notes to Financial Statements 205
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
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 and capital gains. Therefore, no federal
income tax provision was required for the Funds.
At December 31, 1999, the following 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:
<TABLE>
<CAPTION>
12/31/01 12/31/02 12/31/03 12/31/04
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Emerging Markets $ -- $ -- $ (2,887,175) $ (348,806)
Real Estate Securities -- -- -- --
Short Term Bond (4,813,748) (5,161,817) (2,834,049) (1,947,924)
Diversified Bond -- -- -- --
Multistrategy Bond -- -- -- --
Tax-Managed Large Cap -- -- -- --
Tax Exempt Bond -- (345,504) (110,634) (15,075)
<CAPTION>
12/31/05 12/31/06 12/31/07 Totals
-------------- -------------- -------------- --------------
Emerging Markets $ -- $ (56,335,865) $ (26,958,651) $ (86,530,497)
Real Estate Securities -- (2,695,613) (22,446,311) (25,141,924)
Short Term Bond (574,853) (51,911) (3,470,874) (18,855,176)*
Diversified Bond -- -- (11,070,653) (11,070,653)
Multistrategy Bond -- -- (17,634,520) (17,634,520)
Tax-Managed Large Cap -- (655,350) (716,802) (1,372,152)
Tax Exempt Bond -- (141,152) (399,027) (1,011,392)
</TABLE>
* A portion of the loss carryforward was acquired from the Volatility
Constrained Bond Fund (see Note 1) and may be limited to offset future
capital gains of the Fund to the extent provided by regulations.
206 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
The aggregate cost of investments and the composition of gross unrealized
appreciation and depreciation of investment securities for federal income tax
purposes as of April 30, 2000 are as follows:
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Diversified Equity $1,209,296,169 $ 418,959,083 $ (64,918,750) $ 354,040,333
Special Growth 640,469,820 163,969,508 (40,845,040) 123,124,468
Equity Income 141,627,202 26,862,275 (8,008,733) 18,853,542
Quantitative Equity 1,154,133,866 533,385,507 (98,783,889) 434,601,618
International Securities 929,789,461 283,216,650 (98,930,017) 184,286,633
Emerging Markets 387,938,246 101,060,230 (61,176,340) 39,883,890
Real Estate Securities 626,333,086 75,067,360 (43,266,537) 31,800,823
Short Term Bond 462,385,028 97,013 (6,890,590) (6,793,577)
Diversified Bond 844,991,385 3,633,878 (38,064,732) (34,430,854)
Multistrategy Bond 708,888,681 2,789,196 (18,285,058) (15,495,862)
Tax-Managed Large Cap 494,974,592 167,005,866 (34,794,866) 132,211,000
Tax-Managed Small Cap 69,099,670 7,854,405 (4,097,618) 3,756,787
Tax Exempt Bond 143,789,185 111,561 (2,607,665) (2,496,104)
</TABLE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: For all Funds, income dividends
and capital gain distributions, if any, are recorded on the ex-dividend date.
Dividends are generally declared and paid quarterly 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 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, certain securities sold at a loss and by recording gains and
losses from securities transactions on the basis of specific identified cost
incurred by each money manager for financial reporting purposes and on the
basis of specific identified cost incurred by each Fund for tax purposes.
EXPENSES: The Funds, and when appropriate each Class, will pay their own
expenses other than those expressly assumed by Frank Russell Investment
Management Company ("FRIMCo" or "Advisor"). Most expenses can be directly
attributed to the individual Funds. Expenses which cannot be directly
attributed to a specific Fund or Class are allocated among all Funds and/or
Classes based on their relative net assets.
DEFERRED ORGANIZATIONAL EXPENSES: Organization costs of the Tax-Managed Large
Cap Fund have been deferred and are being amortized over 60 months on a
straight-line basis.
Notes to Financial Statements 207
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
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.
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.
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 forward foreign currency overlays on liquidity reserve
balances. Additionally, from time to time the International Securities,
Emerging Markets, Diversified 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 and are generally limited to the amount of
unrealized gain on the contracts, if any, that are recognized in the
Statement of Assets and Liabilities. Realized gains or losses arising from
such transactions are included in net realized gain (or loss) from foreign
currency-related transactions. Open contracts at April 30, 2000 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", "delayed settlement" or "when
issued" 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.
208 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
INVESTMENT IN EMERGING MARKETS: Investing in emerging markets may involve
special risks and considerations for the Emerging Markets Fund not typically
associated with investing in the United States markets. These risks include
revaluation of currencies, high rates of inflation, repatriation on income
and capital, and future adverse political and economic developments.
Moreover, securities issued in these markets may be less liquid, subject to
government ownership controls, delayed settlements, and their prices more
volatile than those of comparable securities in the United States.
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 call and put options on foreign currencies. The
domestic equity Funds may utilize options to equitize liquidity reserve
balances.
When a Fund writes a covered call or a 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. Realized
gains (losses) on purchased options are included in net realized gain (loss)
from investments.
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.
FUTURES CONTRACTS: 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 period ended April 30, 2000, 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 $958,184,462 $925,424,682
Special Growth 424,997,056 435,728,613
Equity Income 86,879,223 101,528,721
Quantitative Equity 387,822,553 336,532,528
International Securities 441,794,437 404,299,926
Emerging Markets 131,811,027 121,084,207
Real Estate Securities 215,441,359 192,201,922
Short-Term Bond 96,674,185 82,480,642
Diversified Bond 58,672,435 73,279,178
Multistrategy Bond 116,979,659 82,768,314
Tax-Managed Large Cap 144,548,609 52,681,938
Tax-Managed Small Cap 49,451,638 6,542,619
Tax Exempt Bond 35,432,219 20,754,346
Notes to Financial Statements 209
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
Purchases and sales of U.S. Government and Agency obligations (excluding
short-term investments, options, futures and repurchase agreements) were as
follows:
PURCHASES SALES
------------ ------------
Short-Term Bond $ 74,158,781 $ 95,509,796
Diversified Bond 511,237,850 547,204,869
Multistrategy Bond 208,056,966 209,764,641
WRITTEN OPTIONS CONTRACTS: Fund transactions in written options contracts for
the period ended April 30, 2000, were as follows:
DIVERSIFIED BOND
NOTIONAL VALUE (1) PREMIUMS
(000) RECEIVED
------------------ ----------------
Outstanding December 31, 1999 $ 15,082 $ 141,138
Opened 20,792 221,018
Closed (18,832) (196,315)
Exercised -- --
Expired (2,123) (33,779)
--------- ---------
Outstanding April 30, 2000 $ 14,919 $ 132,062
========= =========
MULTISTRATEGY BOND
NOTIONAL VALUE (1) PREMIUMS
(000) RECEIVED
------------------ ----------------
Outstanding December 31, 1999 $ 20,624 $ 411,434
Opened 28,691 485,851
Closed (37,020) (235,286)
Exercised -- --
Expired (3,502) (218,624)
--------- ---------
Outstanding April 30, 2000 $ 8,793 $ 443,375
========= =========
(1) Each $100,000 notional value represents 1 contract.
4. RELATED PARTIES
ADVISOR AND ADMINISTRATOR: FRIMCo advises and administers all of the Funds
which comprise the Investment Company, and advises the Money Market and US
Government Money Market Funds (two series of the Investment Company not
presented in this report). FRIMCo is a wholly owned subsidiary of Frank
Russell Company, a wholly owned subsidiary of The Northwestern Mutual Life
Insurance Company. Frank Russell Company researches and recommends to FRIMCo,
and to the Investment Company, one or more investment management
organizations to manage the portfolio of each 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 herein). As of April 30, 2000, $487,843,000
of the Money Market Fund's net assets represents investments by these Funds
and $460,771,000 represents the investments of other affiliated Funds not
presented herein.
210 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
The advisory and administrative fees, which are based upon the average daily
net assets of each Fund and the rates specified in the table below, are
payable monthly and aggregated $21,175,823 and $1,454,971, respectively, for
the period ended April 30, 2000. FRIMCo reduces its advisory fees for each
Fund by advisory fees incurred on assets invested in the Money Market Fund
thereby eliminating any duplication of fees.
ANNUAL RATE
-----------------------------------
ADVISOR ADMINISTRATOR
----------- -----------------
Diversified Equity 0.73% 0.05%
Special Growth 0.90 0.05
Equity Income 0.75 0.05
Quantitative Equity 0.73 0.05
International Securities 0.90 0.05
Emerging Markets 1.15 0.05
Real Estate Securities 0.80 0.05
ANNUAL RATE
-----------------------------------
ADVISOR ADMINISTRATOR
----------- -----------------
Short Term Bond 0.45% 0.05%
Diversified Bond 0.40 0.05
Multistrategy Bond 0.60 0.05
Tax-Managed Large Cap 0.70 0.05
Tax-Managed Small Cap 0.98 0.05
Tax Exempt Bond 0.30 0.05
The Advisor has contractually agreed to waive up to the full amount of its
0.65% combined advisory and administrative fees for the Multistrategy Bond
Fund, up to the full amount of that fee, to the extent that Fund level
expenses exceed 0.80% of the Fund's average daily net assets on an annual
basis. The total amount of the waiver for the period ended April 30, 2000 was
$127,650.
The Advisor has contractually agreed to waive up to the full amount of its
1.03% combined advisory and administrative fees for the Tax-Managed Small Cap
Fund, and to reimburse the Fund to the extent that Fund level expenses exceed
1.25% of the Fund's average daily net assets on an annual basis. The total
amount of the waiver for the period ended April 30, 2000 was $72,166.
In accordance with the special servicing agreement entered into in February
1999 by the Advisor, the Fund of Funds (a group of five LifePoints and the
Tax-Managed Global Equity Fund which invest in a combination of Class S
shares of the Investment Company's portfolios) and the Funds listed above,
with the exception of the Equity Income Fund and the Tax-Exempt Bond Fund,
(the "Underlying Funds") in which the Fund of Funds invest, expenses from the
operation of the Fund of Funds are borne by the Underlying Funds based on
each Underlying Fund's proportionate share of assets owned by the Fund of
Funds. No Underlying Funds will be charged expenses that exceed the estimated
savings to each respective Underlying Fund. These estimated savings result
from the elimination of separate shareholder accounts which either currently
are or have potential to be invested in the Underlying Funds. In the event
that the financial benefits to the Underlying Funds do not exceed aggregate
expenses of any Fund of Funds, the Advisor will reimburse the respective
Fund.
For the period ended April 30, 2000, the special servicing expense charged to
the Underlying Funds amounted to:
AMOUNT
UNDERLYING FUNDS PAID
----------------------------------------------
Diversified Equity $ 91,086
Special Growth 32,516
Quantitative Equity 93,844
International Securities 77,684
Emerging Markets 18,719
AMOUNT
UNDERLYING FUNDS PAID
----------------------------------------------
Real Estate Securities $ 24,991
Short Term Bond 61,430
Diversified Bond 63,795
Multistrategy Bond 43,164
Tax-Managed Large Cap 10,582
Tax-Managed Small Cap 3,175
ANALYTIC SERVICES: Fees for analytic services provided to the Funds are paid
or accrued to Russell/Mellon Analytical Services, an affiliate of the
Investment Company. Russell/Mellon Analytical Services provides TruVP System
to the Funds, pursuant to a written Service Agreement. The TruVP System
provides analytics used by the investment department.
TRANSFER AGENT: The Funds have a contract with FRIMCo to provide transfer
agent services to the Investment Company. Total fees for the Funds reported
herein for the period ended April 30, 2000 were $3,365,149.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has a
Distribution Plan pursuant to Rule 12b-1 (the "Plan") under the 1940 Act.
Under this Plan, the Investment Company is authorized to make payments to the
Russell Fund Distributors (the "Distributor") which is a wholly-owned
subsidiary of FRIMCo, or any Selling Agents, as defined in the Plan, an
amount (the "12b-1 Fee") for sales support services provided, and related
expenses incurred which are primarily intended to result in the sale of
Notes to Financial Statements 211
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
the Class C shares subject to the Distribution Plan. The 12b-1 distribution
payments shall not exceed 0.75% of the average daily net assets of a Fund's
Class C shares on an annual basis.
In addition, the Investment Company has adopted a Shareholder Services Plan
(the "Services Plan") under which the Funds may make payments to the
Distributor or any Servicing Agent for any activities or expenses primarily
intended to assist, support or service the Servicing Agents' clients who
beneficially own Class E and Class C shares of the Funds. The shareholder
servicing payments shall not exceed 0.25% of the average daily net assets of
a Fund's Class E and Class C shares on an annual basis.
BROKERAGE COMMISSIONS: The Funds may effect portfolio transactions through
Frank Russell Securities, Inc., an affiliate of the Advisor, when a money
manager determines that the Fund will receive competitive execution, price,
and commissions. Upon completion of such transactions, Frank Russell
Securities, Inc. will refund up to 70% of the commissions paid by that Fund
after reimbursement for research services provided to FRIMCo. Amounts
retained by Frank Russell Securities, Inc. for the period ended April 30,
2000 were as follows:
Diversified Equity $ 38,321
Special Growth 5,737
Equity Income 9,583
Quantitative Equity 3,633
International Securities 76,552
Emerging Markets 34,731
Additionally, the Funds paid brokerage commissions to non-affiliated brokers
who provided brokerage and research services to the Advisor.
BOARD OF TRUSTEES: The Investment Company pays each of its Trustees not
affiliated with FRIMCo a retainer of $55,000 per year plus out-of-pocket
expenses. Total Trustee expenses for the period ended April 30, 2000 were
$75,627, and were allocated to each Fund, where appropriate, on a pro rata
basis, including 16 other affiliated Funds not presented herein.
5. FUND SHARE TRANSACTIONS
Share transactions for the period ended April 30, 2000, the year ended
December 31, 1999, and the year ended December 31, 1998 were as follows:
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------------------- ---------------------------------------
DIVERSIFIED EQUITY 2000 1999 1998 2000 1999 1998
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
CLASS S
Proceeds from shares sold 3,682,261 8,172,792 9,507,360 $ 189,106 $ 440,700 $ 448,918
Proceeds from reinvestment of distributions 606,713 2,438,734 1,274,778 29,651 127,171 59,999
Payments for shares redeemed (3,153,230) (8,318,075) (8,070,726) (163,345) (450,865) (384,259)
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 1,135,744 2,293,451 2,711,412 55,412 117,006 124,658
----------- ----------- ----------- ----------- ----------- -----------
CLASS E (a)
Proceeds from shares sold 35,650 184,280 123,298 1,839 9,964 5,595
Proceeds from reinvestment of distributions 6,741 23,961 5,378 331 1,251 257
Payments for shares redeemed (17,437) (145,404) (18,482) (881) (8,037) (892)
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 24,954 62,837 110,194 1,289 3,178 4,960
----------- ----------- ----------- ----------- ----------- -----------
CLASS C (b)
Proceeds from shares sold 89,375 283,102 -- 4,581 15,432 --
Proceeds from reinvestment of distributions 7,425 24,102 -- 360 1,252 --
Payments for shares redeemed (22,759) (34,012) -- (1,179) (1,856) --
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 74,041 273,192 -- 3,762 14,828 --
----------- ----------- ----------- ----------- ----------- -----------
Total increase (decrease) 1,234,739 2,629,480 2,821,606 $ 60,463 $ 135,012 $ 129,618
=========== =========== =========== =========== =========== ===========
</TABLE>
(a) Effective May 18, 1998, Class C was renamed Class E.
(b) Share transactions for Class C are for the period January 27, 1999
(commencement of sale of shares) to December 31, 1999.
212 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------------------- --------------------------------------
SPECIAL GROWTH 2000 1999 1998 2000 1999 1998
----------- ----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
CLASS S
Proceeds from shares sold 1,903,628 5,069,523 6,148,876 $ 96,207 $ 222,630 $ 275,513
Proceeds from reinvestment of distributions 310,493 743,772 617,896 15,320 34,121 25,944
Payments for shares redeemed (1,673,726) (5,387,701) (5,540,547) (84,982) (238,216) (242,340)
----------- ----------- ---------- ---------- ---------- ----------
Net increase (decrease) 540,395 425,594 1,226,225 26,545 18,535 59,117
----------- ----------- ---------- ---------- ---------- ----------
CLASS E (a)
Proceeds from shares sold 30,700 96,481 98,025 1,531 4,107 4,008
Proceeds from reinvestment of distributions 3,272 6,816 5,154 159 308 203
Payments for shares redeemed (10,187) (134,930) (29,520) (503) (5,986) (1,255)
----------- ----------- ---------- ---------- ---------- ----------
Net increase (decrease) 23,785 (31,633) 73,659 1,187 (1,571) 2,956
----------- ----------- ---------- ---------- ---------- ----------
CLASS C (b)
Proceeds from shares sold 39,736 130,681 -- 1,948 5,765 --
Proceeds from reinvestment of distributions 3,788 7,607 -- 183 342 --
Payments for shares redeemed (5,377) (14,078) -- (269) (629) --
----------- ----------- ---------- ---------- ---------- ----------
Net increase (decrease) 38,147 124,210 -- 1,862 5,478 --
----------- ----------- ---------- ---------- ---------- ----------
Total increase (decrease) 602,327 518,171 1,299,884 $ 29,594 $ 22,442 $ 62,073
=========== =========== ========== ========== ========== ==========
EQUITY INCOME
CLASS S
Proceeds from shares sold 599,337 1,558,390 2,229,736 $ 20,646 $ 62,668 $ 93,208
Proceeds from reinvestment of distributions 35,938 487,753 512,914 1,181 18,019 20,629
Payments for shares redeemed (1,122,834) (3,052,584) (2,196,713) (38,257) (121,986) (91,318)
----------- ----------- ---------- ---------- ---------- ----------
Net increase (decrease) (487,559) (1,006,441) 545,937 (16,430) (41,299) 22,519
----------- ----------- ---------- ---------- ---------- ----------
CLASS E (a)
Proceeds from shares sold 1,649 20,927 22,270 57 855 940
Proceeds from reinvestment of distributions 231 2,209 547 8 81 21
Payments for shares redeemed (3,289) (12,573) (13,005) (110) (522) (543)
----------- ----------- ---------- ---------- ---------- ----------
Net increase (decrease) (1,409) 10,563 9,812 (45) 414 418
----------- ----------- ---------- ---------- ---------- ----------
CLASS C (b)
Proceeds from shares sold 7,532 37,194 -- 264 1,522 --
Proceeds from reinvestment of distributions 171 1,899 -- 5 68 --
Payments for shares redeemed (9,144) (12,211) -- (315) (479) --
----------- ----------- ---------- ---------- ---------- ----------
Net increase (decrease) (1,441) 26,882 -- (46) 1,111 --
----------- ----------- ---------- ---------- ---------- ----------
Total increase (decrease) (490,409) (968,996) 555,749 $ (16,521) $ (39,774) $ 22,937
=========== =========== ========== ========== ========== ==========
</TABLE>
(a) Effective May 18, 1998, Class C was renamed Class E.
(b) Share transactions for Class C are for the period January 27, 1999
(commencement of sale of shares) to December 31, 1999
Notes to Financial Statements 213
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------------------- ---------------------------------------
QUANTITATIVE EQUITY 2000 1999 1998 2000 1999 1998
----------- ----------- ---------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
CLASS S
Proceeds from shares sold 4,141,469 10,418,764 10,401,417 $ 180,104 $ 468,516 $ 411,247
Proceeds from reinvestment of distributions 638,420 3,368,265 1,801,116 26,247 146,301 71,013
Payments for shares redeemed (3,851,636) (10,546,550) (8,361,539) (169,219) (476,897) (332,333)
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 928,253 3,240,479 3,840,994 37,132 137,920 149,927
----------- ----------- ---------- ----------- ----------- -----------
CLASS E (a)
Proceeds from shares sold 32,824 98,189 135,230 1,443 4,483 5,167
Proceeds from reinvestment of distributions 4,118 20,011 7,335 169 868 292
Payments for shares redeemed (9,089) (117,457) (30,285) (389) (5,392) (1,234)
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 27,853 743 112,280 1,223 (41) 4,225
----------- ----------- ---------- ----------- ----------- -----------
CLASS C (b)
Proceeds from shares sold 83,934 312,907 -- 3,638 14,227 --
Proceeds from reinvestment of distributions 7,290 29,988 -- 296 1,297 --
Payments for shares redeemed (24,098) (39,969) -- (1,062) (1,831) --
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 67,126 302,926 -- 2,872 13,693 --
----------- ----------- ---------- ----------- ----------- -----------
Total increase (decrease) 1,023,232 3,544,148 3,953,274 $ 41,227 $ 151,572 $ 154,152
=========== =========== ========== =========== =========== ===========
INTERNATIONAL SECURITIES
CLASS S
Proceeds from shares sold 2,187,531 4,491,720 5,496,045 $ 157,028 $ 289,151 $ 326,448
Proceeds from reinvestment of distributions 428,597 642,480 171,775 30,259 45,572 10,072
Payments for shares redeemed (1,542,764) (5,502,727) (5,562,388) (111,251) (357,980) (329,404)
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 1,073,364 (368,527) 105,432 76,036 (23,257) 7,116
----------- ----------- ---------- ----------- ----------- -----------
CLASS E (a)
Proceeds from shares sold 12,916 45,491 59,331 912 2,885 3,346
Proceeds from reinvestment of distributions 2,649 3,442 588 186 245 35
Payments for shares redeemed (3,571) (47,879) (10,159) (251) (3,102) (591)
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 11,994 1,054 49,760 847 28 2,790
----------- ----------- ---------- ----------- ----------- -----------
CLASS C (b)
Proceeds from shares sold 40,232 107,715 -- 2,887 6,967 --
Proceeds from reinvestment of distributions 4,156 4,664 -- 291 329 --
Payments for shares redeemed (5,716) (11,427) -- (409) (759) --
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 38,672 100,952 -- 2,769 6,537 --
----------- ----------- ---------- ----------- ----------- -----------
Total increase (decrease) 1,124,030 (266,521) 155,192 $ 79,652 $ (16,692) $ 9,906
=========== =========== ========== =========== =========== ===========
</TABLE>
(a) Effective May 18, 1998, Class C was renamed Class E.
(b) Share transactions for Class C are for the period January 27, 1999
(commencement of sale of shares) to December 31, 1999
214 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------------------- ---------------------------------------
EMERGING MARKETS 2000 1999 1998 2000 1999 1998
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
CLASS S
Proceeds from shares sold 6,107,256 14,900,682 22,508,124 $ 76,343 $ 140,982 $ 221,964
Proceeds from reinvestment of distributions 131,148 281,096 188,272 1,688 2,639 2,070
Payments for shares redeemed (3,856,535) (15,483,258) (16,241,312) (48,782) (152,294) (149,675)
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 2,381,869 (301,480) 6,455,084 29,249 (8,673) 74,359
----------- ----------- ----------- ----------- ----------- -----------
CLASS E (a)
Proceeds from shares sold 82,168 852,482 4,558 1,033 8,575 38
Proceeds from reinvestment of distributions 1,435 1,091 -- 18 13 --
Payments for shares redeemed (72,446) (353,467) -- (900) (3,674) --
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 11,157 500,106 4,558 151 4,914 38
----------- ----------- ----------- ----------- ----------- -----------
CLASS C (b)
Proceeds from shares sold 55,993 147,290 -- 708 1,466 --
Proceeds from reinvestment of distributions 229 45 -- 3 -- --
Payments for shares redeemed (8,937) (16,617) -- (114) (167) --
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 47,285 130,718 -- 597 1,299 --
----------- ----------- ----------- ----------- ----------- -----------
Total increase (decrease) 2,440,311 329,344 6,459,642 $ 29,997 $ (2,460) $ 74,397
=========== =========== =========== =========== =========== ===========
REAL ESTATE SECURITIES
CLASS S
Proceeds from shares sold 3,595,894 10,307,873 9,286,206 $ 82,712 $ 247,786 $ 254,637
Proceeds from reinvestment of distributions 268,519 1,500,692 1,114,356 6,179 34,444 30,226
Payments for shares redeemed (3,367,528) (9,610,223) (6,759,461) (77,759) (227,746) (178,741)
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 496,885 2,198,342 3,641,101 11,132 54,484 106,122
----------- ----------- ----------- ----------- ----------- -----------
CLASS E (a)
Proceeds from shares sold 49,837 378,070 28,391 1,154 9,451 715
Proceeds from reinvestment of distributions 3,887 13,837 375 89 312 9
Payments for shares redeemed (35,576) (113,177) (6,530) (828) (2,588) (183)
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 18,148 278,730 22,236 415 7,175 541
----------- ----------- ----------- ----------- ----------- -----------
CLASS C (b)
Proceeds from shares sold 27,839 84,921 -- 635 2,034 --
Proceeds from reinvestment of distributions 1,148 2,678 -- 26 59 --
Payments for shares redeemed (6,303) (9,550) -- (143) (227) --
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 22,684 78,049 -- 518 1,866 --
----------- ----------- ----------- ----------- ----------- -----------
Total increase (decrease) 537,717 2,555,121 3,663,337 $ 12,065 $ 63,525 $ 106,663
=========== =========== =========== =========== =========== ===========
</TABLE>
(a) Effective May 18, 1998, Class C was renamed Class E.
(b) Share transactions for Class C are for the period January 27, 1999
(commencement of sale of shares) to December 31, 1999
Notes to Financial Statements 215
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------------------- ---------------------------------------
SHORT-TERM BOND 2000 1999 1998 2000 1999 1998
----------- ----------- ---------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
CLASS S
Proceeds from shares sold 3,826,772 12,497,701 6,088,176 $ 69,295 $ 229,357 $ 112,707
Shares issued in connection with acquisition
of Volatility Constrained Bond Fund -- 8,934,738 -- -- 163,684 --
Proceeds from reinvestment of distributions 287,377 1,023,507 604,269 5,190 18,557 11,141
Payments for shares redeemed (4,012,038) (11,748,485) (5,088,094) (72,656) (214,600) (94,296)
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 102,111 10,707,461 1,604,351 1,829 196,998 29,552
----------- ----------- ---------- ----------- ----------- -----------
CLASS E (a)
Proceeds from shares sold 82,434 550,310 -- 1,500 10,084 --
Proceeds from reinvestment of distributions 7,364 14,963 -- 133 271 --
Payments for shares redeemed (44,428) (84,513) -- (806) (1,538) --
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 45,370 480,760 -- 827 8,817 --
----------- ----------- ---------- ----------- ----------- -----------
CLASS C (b)
Proceeds from shares sold 9,732 104,488 -- 177 1,907 --
Proceeds from reinvestment of distributions 600 1,225 -- 11 22 --
Payments for shares redeemed (11,274) (61,555) -- (205) (1,119) --
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) (942) 44,158 -- (17) 810 --
----------- ----------- ---------- ----------- ----------- -----------
Total increase (decrease) 146,539 11,232,379 1,604,351 $ 2,639 $ 206,625 $ 29,552
=========== =========== ========== =========== =========== ===========
DIVERSIFIED BOND
CLASS S
Proceeds from shares sold 4,248,597 15,223,893 15,009,859 $ 92,560 $ 346,136 $ 355,143
Proceeds from reinvestment of distributions 310,150 1,396,770 1,508,462 6,766 31,387 35,660
Payments for shares redeemed (5,875,941) (15,825,030) (11,474,358) (128,133) (356,343) (272,067)
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) (1,317,194) 795,633 5,043,963 (28,807) 21,180 118,736
----------- ----------- ---------- ----------- ----------- -----------
CLASS E (c)
Proceeds from shares sold 10,750 143,481 155,188 240 3,337 3,757
Proceeds from reinvestment of distributions 2,448 9,869 6,059 55 226 146
Payments for shares redeemed (6,492) (186,265) (67,274) (144) (4,229) (1,615)
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 6,706 (32,915) 93,973 151 (666) 2,288
----------- ----------- ---------- ----------- ----------- -----------
CLASS C (d)
Proceeds from shares sold 50,020 229,269 -- 1,113 5,279 --
Proceeds from reinvestment of distributions 3,146 4,803 -- 70 109 --
Payments for shares redeemed (26,488) (24,874) -- (590) (564) --
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease) 26,678 209,198 -- 593 4,824 --
----------- ----------- ---------- ----------- ----------- -----------
Total increase (decrease) (1,283,810) 971,916 5,137,936 $ (28,063) $ 25,338 $ 121,024
=========== =========== ========== =========== =========== ===========
</TABLE>
(a) Share transactions for Class E are for the period February 18, 1999
(commencement of sale of shares) to December 31, 1999.
(b) Share transactions for Class C are for the period March 3, 1999
(commencement of sale of shares) to December 31, 1999.
(c) Effective May 18, 1998, Class C was renamed Class E.
(d) Share transactions for Class C are for the period January 27, 1999
(commencement of sale of shares) to December 31, 1999.
216 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
---------------------------------------- ---------------------------------------
MULTISTRATEGY BOND 2000 1999 1998 2000 1999 1998
------------ ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
CLASS S
Proceeds from shares sold 9,397,393 23,568,739 22,246,273 $ 88,715 $ 231,504 $ 228,942
Proceeds from reinvestment of distributions 688,384 2,582,271 3,444,172 6,512 25,159 35,248
Payments for shares redeemed (8,340,922) (21,484,524) (14,104,977) (78,953) (210,088) (145,116)
------------ ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 1,744,855 4,666,486 11,585,468 16,274 46,575 119,074
------------ ----------- ----------- ----------- ----------- -----------
CLASS E (a)
Proceeds from shares sold 30,511 198,146 253,909 290 1,968 2,611
Proceeds from reinvestment of distributions 5,555 17,908 8,900 53 174 90
Payments for shares redeemed (31,533) (131,598) (4,393) (298) (1,294) (45)
------------ ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 4,533 84,456 258,416 45 848 2,656
------------ ----------- ----------- ----------- ----------- -----------
CLASS C (b)
Proceeds from shares sold 174,637 775,114 -- 1,655 7,565 --
Proceeds from reinvestment of distributions 11,124 14,479 -- 106 139 --
Payments for shares redeemed (51,884) (85,733) -- (491) (826) --
------------ ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 133,877 703,860 -- 1,270 6,878 --
------------ ----------- ----------- ----------- ----------- -----------
Total increase (decrease) 1,883,265 5,454,802 11,843,884 $ 17,589 $ 54,301 $ 121,730
============ =========== =========== =========== =========== ===========
TAX MANAGED LARGE CAP
CLASS S
Proceeds from shares sold 5,214,311 12,066,862 10,018,318 $ 107,259 $ 237,975 $ 157,138
Proceeds from reinvestment of distributions 6,754 121,536 66,849 131 2,510 1,142
Payments for shares redeemed (1,822,892) (2,179,216) (1,253,400) (37,130) (43,064) (19,677)
------------ ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 3,398,173 10,009,182 8,831,767 70,260 197,421 138,603
------------ ----------- ----------- ----------- ----------- -----------
CLASS C (c)
Proceeds from shares sold 136,595 16,790 -- 2,783 350 --
Proceeds from reinvestment of distributions 14 54 -- -- 1 --
Payments for shares redeemed (4,001) (2,291) -- (85) (48) --
------------ ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 132,608 14,553 -- 2,698 303 --
------------ ----------- ----------- ----------- ----------- -----------
Total increase (decrease) 3,530,781 10,023,735 8,831,767 $ 72,958 $ 197,724 $ 138,603
============ =========== =========== =========== =========== ===========
TAX MANAGED SMALL CAP
CLASS S (c)
Proceeds from shares sold 3,801,812 2,756,585 -- $ 42,888 $ 27,852 $--
Proceeds from reinvestment of distributions 2,801 -- -- 32 -- --
Payments for shares redeemed (93,686) (48,728) -- (1,048) (488) --
------------ ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 3,710,927 2,707,857 -- 41,872 27,364 --
------------ ----------- ----------- ----------- ----------- -----------
CLASS C (c)
Proceeds from shares sold 119,952 23,465 -- 1,352 240 --
Proceeds from reinvestment of distributions 43 -- -- -- -- --
Payments for shares redeemed (9,072) (2,761) -- (97) (29) --
------------ ----------- ----------- ----------- ----------- -----------
Net increase (decrease) 110,923 20,704 -- 1,255 211 --
------------ ----------- ----------- ----------- ----------- -----------
Total increase (decrease) 3,821,850 2,728,561 -- $ 43,127 $ 27,575 $ --
============ =========== =========== =========== =========== ===========
</TABLE>
(a) Effective May 18, 1998, Class C was renamed Class E.
(b) Share transactions for Class C are for the period January 27, 1999
(commencement of sale of shares) to December 31, 1999.
(c) Share transactions are for the period December 1, 1999 (commencement of
sale of shares) to December 31, 1999.
Notes to Financial Statements 217
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------------------- --------------------------------------
TAX EXEMPT BOND 2000 1999 1998 2000 1999 1998
----------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
CLASS S
Proceeds from shares sold 1,877,413 4,520,673 3,941,290 $ 38,504 $ 95,714 $ 83,966
Proceeds from reinvestment of distributions 54,294 211,531 140,598 1,106 4,417 2,994
Payments for shares redeemed (1,288,431) (4,689,527) (1,973,744) (26,286) (98,546) (42,054)
----------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) 643,276 42,677 2,108,144 13,324 1,585 44,906
----------- ---------- ---------- ---------- ---------- ----------
CLASS E (a)
Proceeds from shares sold 63,381 292,005 -- 1,294 6,103 --
Proceeds from reinvestment of distributions 197 626 -- 4 13 --
Payments for shares redeemed (24,073) (153,223) -- (493) (3,153) --
----------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) 39,505 139,408 -- 805 2,963 --
----------- ---------- ---------- ---------- ---------- ----------
CLASS C (b)
Proceeds from shares sold 11,733 34,719 -- 239 722 --
Proceeds from reinvestment of distributions 243 320 -- 5 7 --
Payments for shares redeemed (7,039) (11,856) -- (144) (243) --
----------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) 4,937 23,183 -- 100 486 --
----------- ---------- ---------- ---------- ---------- ----------
Total increase (decrease) 687,718 205,268 2,108,144 $ 14,229 $ 5,034 $ 44,906
=========== ========== ========== ========== ========== ==========
</TABLE>
(a) Share transactions for Class E are for the period May 14, 1999
(commencement of sale of shares) to December 31, 1999.
(b) Share transactions for Class C are for the period March 29, 1999
(commencement of sale of shares) to December 31, 1999.
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $75
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. The Participants are charged an annual
commitment fee of .10% on the average daily unused amount of the aggregate
commitment, which is allocated among each of the Participants. Interest, at
the Federal Fund Rate plus .50% annually (Federal Fund Rate plus 1.75% prior
to and including February 27, 2000), is calculated based on the market rates
at the time of the borrowing. The Fund may borrow up to a maximum of 10
percent of the value of its net assets under the agreement. The agreement
will expire December 30, 2000. The Fund did not have any drawdowns for the
period ended April 30, 2000.
7. DIVIDENDS
On May 1, 2000 and June 1, 2000, the Board of Trustees declared the following
dividends from net investment income payable on May 4, 2000, to shareholders
of record on May 2, 2000, and June 2, 2000, respectively.
MAY 2000 JUNE 2000
------------ -------------
Diversified Bond - Class S $ 0.1170 0.1144
Diversified Bond - Class E 0.1133 0.1098
Diversified Bond - Class C 0.0992 0.0956
Multistrategy Bond - Class S 0.0542 0.0499
Multistrategy Bond - Class E 0.0523 0.0479
Multistrategy Bond - Class C 0.0465 0.0419
Tax Exempt Bond - Class S 0.0722 0.0760
Tax Exempt Bond - Class E 0.0677 0.0717
Tax Exempt Bond - Class C 0.0550 0.0601
218 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
8. BENEFICIAL INTEREST
As of April 30, 2000, the following Funds had one or more shareholders with
shares of beneficial interest greater than 10% of the total outstanding
shares of each respective Fund:
% % % % %
------ ------ ------ ------ ------
Diversified Equity - Class E 35.8 -- -- -- --
Special Growth - Class E 11.4 11.4 -- -- --
Equity Income - Class E 25.8 17.5 14.4 12.7 11.0
International Securities - Class E 14.9 10.4 -- -- --
Emerging Markets - Class E 14.9 13.9 -- -- --
Real Estate Securities - Class E 19.6 16.3 -- -- --
Short Term Bond - Class E 38.9 -- -- -- --
Short Term Bond - Class C 43.8 11.7 11.4 -- --
Diversified Bond - Class S 15.7 12.5 -- -- --
Diversified Bond - Class E 23.0 13.4 12.0 -- --
Multistrategy Bond - Class S 10.3 -- -- -- --
Multistrategy Bond - Class E 20.2 -- -- -- --
Tax-Managed Large Cap - Class S 21.4 -- -- -- --
Tax-Managed Large Cap - Class C 13.5 -- -- -- --
Tax-Managed Small Cap - Class C 13.1 -- -- -- --
Tax Exempt Bond - Class E 15.2 -- -- -- --
Tax Exempt Bond - Class C 26.3 21.1 17.5 15.5 --
Notes to Financial Statements 219
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Kristianne Blake
Lee C. Gingrich
Eleanor W. Palmer
Raymond P. Tennison, Jr.
TRUSTEES EMERITUS
George F. Russell, Jr.
OFFICERS
Lynn L. Anderson, Chairman of the Board and President
Peter Apanovitch, Manager of Short Term Investment Funds
Mark E. Swanson, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary and General Counsel
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
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
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) RUSSEL4
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1001 4th Avenue Plaza
Suite 4200
Seattle, WA 98154
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
DIVERSIFIED EQUITY FUND
Alliance Capital Management L.P., Minneapolis, MN
Barclays Global Investors, San Francisco, CA
Equinox Capital Management, LLC, New York, NY
Jacobs Levy Equity Management, Inc., Roseland, NJ
Marsico Capital Management, LLC, Denver, CO
Peachtree Asset Management, Atlanta, GA
Sanford C. Bernstein & Co., Inc., New York, NY
Strong Capital Management, Inc. Menomonee Falls, WI
Suffolk Capital Management, Inc., New York, NY
Turner Investment Partners, Inc., Berwyn, PA
Westpeak Investment Advisors, L.P., Boulder, CO
SPECIAL GROWTH FUND
CapitalWorks Investment Partners, LLC, San Diego, CA
Delphi Management, Inc., Boston, MA
Fiduciary Trust Company 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
Westpeak Investment Advisors, L.P., Boulder, CO
EQUITY INCOME FUND
Barclays Global Fund Advisors, San Francisco, CA
Equinox Capital Management, LLC, New York, NY
Westpeak Investment Advisors, L.P., Boulder, CO
QUANTITATIVE EQUITY FUND
Barclays Global Investors, San Francisco, CA
Franklin Portfolio Associates, LLC, Boston, MA
Jacobs Levy Equity Management, Inc., Roseland, NJ
J.P. Morgan Investment Management, Inc., New York, NY
INTERNATIONAL SECURITIES FUND
Delaware International Advisers Ltd., London, England
Fidelity Management Trust Company, Boston, MA
J.P. Morgan Investment Management, Inc., New York, NY
Mastholm Asset Management, LLC, Bellevue, WA
Montgomery Asset Management, LLC, San Francisco, CA
Oechsle International Advisors, LLC, Boston, MA
Sanford C. Bernstein & Co., Inc., New York, NY
The Boston Company Asset Management, Inc., Boston, MA
EMERGING MARKETS FUND
Foreign & Colonial Emerging Markets Limited, London, England
Genesis Asset Managers Limited, London, England
Nicholas Applegate Capital Management, San Diego, CA
Sanford C. Bernstein & Co., Inc., New York, NY
Schroder Investment Management North America Limited, New York, NY
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
220 Manager, Money Managers and Service Providers
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
REAL ESTATE SECURITIES FUND
AEW Capital Management, L.P., Boston, MA
Cohen & Steers Capital Management, Inc., New York, NY
Security Capital Global Capital Management Group, Inc., Chicago, IL
SHORT TERM BOND FUND
BlackRock Financial Management, Inc., New York, NY
Standish, Ayer & Wood, Inc., Boston, MA
STW Fixed Income Management California, Santa Barbara, CA
DIVERSIFIED BOND FUND
Lincoln Capital Management Company, Chicago, IL
Pacific Investment Management Company, Newport Beach, CA
Standish, Ayer & Wood, Inc., Boston, MA
MULTISTRATEGY BOND FUND
Lazard Asset Management, New York, NY
Miller Anderson & Sherrerd, West Conshohocken, PA
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.
Manager, Money Managers and Service Providers 221
<PAGE>
[LOGO OF FRANK RUSSELL]
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com
<PAGE>
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
x TAX-MANAGED GLOBAL EQUITY FUND x
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
FRANK RUSSELL INVESTMENT COMPANY
2000 Semiannual Report
CLASS C AND S SHARES
TAX-MANAGED GLOBAL EQUITY FUND
APRIL 30, 2000
[LOGO OF FRANK RUSSELL]
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
Frank Russell Investment Company is a "series mutual fund" with 29 different
investment portfolios. These financial statements report on one Fund, 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>
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
SEMIANNUAL REPORT
APRIL 30, 2000 (UNAUDITED)
TABLE OF CONTENTS
Page
Statement of Net Assets ................................................... 2
Statement of Operations ................................................... 3
Statement of Changes in Net Assets ........................................ 4
Financial Highlights - Class C ............................................ 5
Financial Highlights - Class S ............................................ 6
Notes to Financial Statements ............................................. 7
Manager, Money Managers and Service Providers ............................. 11
FRANK RUSSELL INVESTMENT COMPANY - TAX-MANAGED FUNDS
Copyright (C) Frank Russell Company 2000. 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, or state and local
taxes. Russell Fund Distributors, Inc., is the distributor of Frank Russell
Investment Company.
<PAGE>
TAX-MANAGED GLOBAL EQUITY FUND
STATEMENT OF NET ASSETS
April 30, 2000 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES $
------------ ------------
INVESTMENTS
Portfolios of the Frank Russell Investment
Company Series Mutual
Fund - Class S Shares
DOMESTIC EQUITIES - 74.5%
Quantitative Equity Fund 22,622 1,008,040
Tax-Managed Large Cap Fund 242,494 5,034,181
Tax-Managed Small Cap Fund 141,339 1,591,482
------------
7,633,703
------------
INTERNATIONAL EQUITIES - 25.0%
Emerging Markets Fund 44,345 508,633
International Securities Fund 29,773 2,051,381
------------
2,560,014
------------
TOTAL INVESTMENTS - 99.5%
(identified cost $10,170,631) 10,193,717
------------
OTHER ASSETS AND LIABILITIES
Other assets 235,050
Liabilities (187,557)
------------
TOTAL OTHER ASSETS AND LIABILITIES,
NET - 0.5% 47,493
------------
NET ASSETS - 100.0% 10,241,210
------------
Market
Value
$
------------
NET ASSETS CONSIST OF:
Accumulated distributions in excess of
net investment income (17,191)
Accumulated net realized gain (loss) 14,239
Unrealized appreciation (depreciation)
on investments 23,086
Shares of beneficial interest 10,197
Additional paid-in capital 10,210,879
------------
NET ASSETS 10,241,210
============
NET ASSET VALUE, offering and redemption price
per share:
Class C ($2,665,685 divided by 265,250
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.05
============
Class S ($7,575,525 divided by 754,487
shares of $.01 par value shares of
beneficial interest outstanding) $ 10.04
============
See accompanying notes which are an integral part of the financial statements.
2 Tax-Managed Global Equity Fund
<PAGE>
TAX-MANAGED GLOBAL EQUITY FUND
STATEMENT OF OPERATIONS
JANUARY 31, 2000*
TO APRIL 30, 2000
(UNAUDITED)
-------------------
INVESTMENT INCOME
Income distributions from Underlying Funds .............. $ 2,323
-------------------
EXPENSES
Advisory fees ........................................... 2,853
Distribution fees - Class C ............................. 3,152
Shareholder servicing fees - Class C .................... 1,039
-------------------
Expenses before reductions .............................. 7,044
Expense reductions ...................................... (2,853)
-------------------
Expenses, net ......................................... 4,191
-------------------
Net investment income (loss) (1,868)
-------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ............................................. (1,033)
Capital gain distributions from Underlying Funds ........ 15,272
-------------------
14,239
-------------------
Net change in unrealized appreciation (depreciation) on
investments ............................................. 23,086
-------------------
Net realized and unrealized gain (loss) ................... 37,325
-------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ..... $ 35,457
===================
* Commencement of operations.
See accompanying notes which are an integral part of the financial statements.
Tax-Managed Global Equity Fund 3
<PAGE>
TAX-MANAGED GLOBAL EQUITY FUND
Statement of Changes in Assets
JANUARY 31, 2000*
TO APRIL 30, 2000
(UNAUDITED)
-------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss) ............................ $ (1,868)
Net realized gain (loss) ................................ 14,239
Net change in unrealized appreciation (depreciation) .... 23,086
-------------------
Net increase (decrease) in net assets from
operations ........................................... 35,457
-------------------
DISTRIBUTIONS
From net investment income
Class C ............................................... (3,469)
Class S ............................................... (11,854)
-------------------
Net decrease in net assets from distributions ....... (15,323)
-------------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions .......................................... 10,221,076
-------------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ............... 10,241,210
NET ASSETS
Beginning of period ..................................... --
-------------------
End of period (including accumulated distributions
in excess of net investment income of $17,191 at
April 30, 2000) ....................................... $ 10,241,210
===================
* Commencement of operations.
See accompanying notes which are an integral part of the financial statements.
4 Tax-Managed Global Equity Fund
<PAGE>
TAX-MANAGED GLOBAL EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS C
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
2000*
----------
NET ASSET VALUE, BEGINNING OF PERIOD ............................... $ 10.00
----------
INCOME FROM OPERATIONS
Net investment income (loss)(a)(b) ............................... (.02)
Net realized and unrealized gain (loss) .......................... .09
----------
Total income from operations ................................... .07
----------
DISTRIBUTIONS
From net investment income ....................................... (.02)
----------
NET ASSET VALUE, END OF PERIOD $ 10.05
==========
TOTAL RETURN (%)(c) ................................................ .65
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ......................... 2,666
Ratios to average net assets (%)(d):
Operating expenses, net (e) .................................... 1.00
Operating expenses, gross (e) .................................. 1.18
Net investment income (loss)(c) ................................ (.75)
Portfolio turnover rate (%) ...................................... 18.87
* For the period January 31, 2000 (commencement of operations) to April 30,
2000 (Unaudited).
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Not annualized.
(d) Annualized.
(e) See Note 4.
Tax-Managed Global Equity Fund 5
<PAGE>
TAX-MANAGED GLOBAL EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS S
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
2000*
----------
NET ASSET VALUE, BEGINNING OF PERIOD ............................... $ 10.00
----------
INCOME FROM OPERATIONS
Net investment income (loss)(a)(b)** ............................. --
Net realized and unrealized gain (loss) .......................... .06
----------
Total income from operations ...................................... .06
----------
DISTRIBUTIONS
From net investment income ....................................... (.02)
----------
NET ASSET VALUE, END OF PERIOD ..................................... $ 10.04
==========
TOTAL RETURN (%)(c) ................................................ .58
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ......................... 7,575
Ratio to average net assets (%)(d):
Operating expenses, net (e) .................................... .00
Operating expenses, gross (e) .................................. .20
Net investment income (c) ...................................... .13
Portfolio turnover rate (%) ...................................... 18.87
* For the period February 1, 2000 (commencement of sale) to April 30, 2000
(Unaudited).
** Less than .01c per share.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(c) Not annualized.
(d) Annualized.
(e) See Note 4.
6 Tax-Managed Global Equity Fund
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY TAX-MANAGED GLOBAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2000 (Unaudited)
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 29 different investment portfolios, referred to as
"Funds." These financial statements report on one Fund, which has a
distinct investment objective and strategy. 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.
The Fund allocates its assets by investing in a combination of Class S
shares of the Investment Company's portfolios (the "Underlying Funds"). The
Fund will adjust its investments within set limits based on Frank Russell
Investment Management Company's ("FRIMCo" or "Advisor") outlook for the
economy, financial markets and relative market valuation of the asset
classes represented by each Underlying Fund. However, the Fund may deviate
from set limits when, in FRIMCo's opinion, it is necessary to do so to
pursue the Fund's investment objective. The amounts allocated to each
Underlying Fund by the Fund will generally vary within 10% of the
percentages specified below:
ASSET ALLOCATION
ASSET CLASS/UNDERLYING FUNDS RANGES
------------------------------------------ ----------------
Equities
US Equities
Tax-Managed Large Cap 50%
Tax-Managed Small Cap 15
Quantitative Equity 10
International Equities
International Securities 20
Emerging Markets 5
OBJECTIVES OF THE UNDERLYING FUNDS:
TAX-MANAGED LARGE CAP FUND: To provide capital growth on an after-tax basis
by investing principally in equity securities.
TAX-MANAGED SMALL CAP FUND: To provide capital growth on an after-tax basis
by investing principally in equity securities of small capitalization
companies.
QUANTITATIVE EQUITY FUND: To provide a total return greater than the total
return of the US stock market (as measured by the Russell 1000(R) Index
over a market cycle of four to six years), while maintaining volatility and
diversification similar to the Index.
INTERNATIONAL SECURITIES FUND: To provide favorable total return and
additional diversification for US investors by investing primarily in
equity securities of non-US companies.
EMERGING MARKETS FUND: To provide maximum total return, primarily through
capital appreciation and by assuming a higher level of volatility than is
ordinarily expected from developed market international portfolios by
investing primarily in equity securities.
Financial statements of the Underlying Funds can be obtained by calling the
Office of Shareholder Inquiries at (800) RUSSEL4, (800) 787-7354.
Notes to Financial Statements 7
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles ("GAAP") which require the use of management
estimates. The following is a summary of the significant accounting
policies consistently followed by the Fund in the preparation of these
financial statements.
SECURITY VALUATION: Investments in Underlying Funds are valued at the net
asset value per share of each Underlying Fund as of 4:00 p.m. or the close
of regular trading on the New York Stock Exchange, if earlier. Short-term
investments having a maturity of sixty days or less are valued at amortized
cost.
INVESTMENT TRANSACTIONS: Securities transactions are recorded on a trade
date basis. Realized gains and losses from securities transactions are
recorded on the basis of specific identified cost incurred by each money
manager within a particular fund.
INVESTMENT INCOME: Distributions of income and capital gains from the
Underlying Funds are recorded on the ex-dividend date.
FEDERAL INCOME TAXES: As a Massachusetts business trust, the Fund is a
separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to the Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income and capital gains. Therefore, no
federal income tax provision was required for the Fund.
The aggregate cost of investments and the composition of gross unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of April 30, 2000 were as follows:
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Tax-Managed Global Equity $ 10,170,631 $ 197,550 $ (174,464) $ 23,086
</TABLE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Income dividends are generally
declared and paid quarterly. Capital gain distributions are generally
declared and paid annually. An additional distribution may be paid by the
Fund to avoid imposition of federal income tax on any remaining
undistributed capital gains and net investment income and capital gains.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from GAAP. As a result, net investment income and net
realized gain (or loss) from investment transactions for a reporting period
may differ significantly from distributions during such period. The
differences between tax regulations and GAAP relate primarily to certain
securities sold at a loss. Accordingly, the Fund may periodically make
reclassifications among certain of its capital accounts without impacting
its net asset value.
EXPENSES: Expenses, other than Class specific expenses, are allocated to
each Class of shares based upon their relative net assets. Expenses
included in the accompanying financial statements reflect the expenses of
the Fund and do not include any expenses associated with the Underlying
Funds.
3. INVESTMENT TRANSACTIONS
SECURITIES: During the period ended April 30, 2000, purchases and sales of
the Underlying Funds (excluding Money Market Fund investments) were as
follows:
PURCHASES SALES
------------- ------------
Tax-Managed Global Equity $ 11,573,185 $ 1,401,520
8 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY TAX-MANAGED GLOBAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
4. RELATED PARTIES
ADVISOR AND ADMINISTRATOR: FRIMCo advises and administers all of the Funds
which comprise the Investment Company. FRIMCo is a wholly owned subsidiary
of Frank Russell Company, a wholly owned subsidiary of The Northwestern
Mutual Life Insurance Company.
The Fund 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. As of April 30,
2000, there was no amount present in the Money Market Fund's net assets
represented investments by this Fund and $948,614,000 represents the
investments of other affiliated Funds not presented herein.
The Funds is charged an advisory fee equal to 0.20% of average daily net
assets. For the period ended April 30, 2000, the Advisor contractually
agreed to waive the advisory fee. The amount of such waiver for the period
ended April 30, 2000 was $2,853.
The Fund will not bear any operating expenses. Operating expenses include
those expenses arising from accounting, administrative custody, auditing,
legal and transfer agent services. They do not include expenses
attributable to advisory fees (which are currently waived by FRIMCo), any
Rule 12b-1 distribution fee, any shareholder service fees, or any
nonrecurring extraordinary expenses, which will be borne by the Fund or its
appropriate classes of shares.
The Fund's operating expenses are borne either by the Underlying Funds in
which the Fund invests or by FRIMCo. This arrangement is governed by
Special Servicing Agreements among each of the affected Funds and FRIMCo.
Those agreements are entered into on a yearly basis and must be re-approved
annually by the Investment Company's Board of Trustees.
TRANSFER AGENT: The Fund has a contract with FRIMCo to provide transfer
agent services to the Investment Company. The Underlying Funds have borne
this expense.
DISTRIBUTOR AND SHAREHOLDER SERVICING: Pursuant to the Distribution
Agreement with the Investment Company, Russell Fund Distributors, Inc.
("Distributor"), a wholly owned subsidiary of FRIMCo, serves as distributor
for all Investment Company portfolio shares, including Class C and Class S
shares of the Funds.
The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the
"Plan") under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to the Distributor or any Selling Agents, as
defined in the Plan, an amount (the "12b-1 Fee") for sales support services
provided, and related expenses incurred which are primarily intended to
result in the sale of Class C shares subject to the Distribution Plan. The
12b-1 distribution payments shall not exceed 0.75% of the average daily net
assets of the Fund's Class C shares on an annual basis.
In addition, the Investment Company has adopted a Shareholder Services Plan
(the "Services Plan") under which the Funds may make payments to the
Distributor or any Servicing Agent for any activities or expenses primarily
intended to assist, support or service the Servicing Agents' clients who
beneficially own Class C shares of the Fund. The shareholder servicing
payments shall not exceed 0.25% of the average daily net assets of a Fund's
Class C shares on an annual basis.
Accrued Shareholder Servicing and Distribution fees payable to affiliates
as of April 30, 2000 were $4,191.
BOARD OF TRUSTEES: The Investment Company pays each of its Trustees not
affiliated with FRIMCo a retainer of $55,000 per year plus out-of-pocket
expenses. The Underlying Funds have borne this expense.
Notes to Financial Statements 9
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
April 30, 2000 (Unaudited)
5. FUND SHARE TRANSACTIONS
Share transactions for the period ended April 30, 2000.
SHARES DOLLARS
------------ ------------
2000 2000
TAX-MANAGED GLOBAL EQUITY ------------ ------------
CLASS C (a)
Proceeds from shares sold 266,052 $ 2,673,692
Proceeds from reinvestment of distributions 301 3,118
Payments for shares redeemed (1,103) (11,781)
------------ ------------
Net increase (decrease) 265,250 2,665,029
------------ ------------
CLASS S (b)
Proceeds from shares sold 764,903 7,656,305
Proceeds from reinvestment of distributions 1,139 11,801
Payments for shares redeemed (11,554) (112,059)
------------ ------------
Net increase (decrease) 754,488 7,556,047
------------ ------------
Total increase (decrease) 1,019,738 $ 10,221,076
============ ============
(a) Fund share transactions are for the period January 31, 2000
(commencement of sale of shares) to April 30, 2000.
(b) Fund share transactions are for the period February 1, 2000
(commencement of sale of shares) to April 30, 2000.
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $75
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .10% on the average daily unused amount of the
aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually (Federal Fund Rate
plus 1.75% prior to and including February 27, 2000), is calculated based
on the market rates at the time of the borrowing. The Fund may borrow up to
a maximum of 10 percent of the value of its net assets under the agreement.
The agreement will expire December 30, 2000. The Fund did not have any
drawdowns during the period ended April 30, 2000.
7. BENEFICIAL INTEREST
As of April 30, 2000, the Fund has one or more shareholders with shares of
beneficial interest of greater than 10% of the total outstanding shares of
each respective Fund or Class:
%
---------
Tax-Managed Global Equity - Class C 13.5
Tax-Managed Global Equity - Class S 19.1
10 Notes to Financial Statements
<PAGE>
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Kristianne Blake
Lee C. Gingrich
Eleanor W. Palmer
Raymond P. Tennison, Jr.
TRUSTEES EMERITUS
George F. Russell, Jr.
OFFICERS
Lynn L. Anderson, Chairman of the Board and President
Peter Apanovitch, Manager of Short Term Investment Funds
Mark E. Swanson, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary and General Counsel
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
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
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) RUSSEL4
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1001 Fourth Avenue Plaza
Suite 4200
Seattle, WA 98154
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
TAX-MANAGED LARGE CAP FUND
J.P. Morgan Investment Management, Inc., New York, NY
TAX-MANAGED SMALL CAP FUND
Geewax, Terber & Company, Phoenixville, PA
TAX EXEMPT BOND FUND
MFS Institutional Advisors, Inc., Boston, MA
Standish, Ayer & Wood, Inc., Boston, MA
TAX FREE MONEY MARKET FUND
Weiss, Peck & Greer, LLC, New York, NY
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
Manager, Money Managers and Service Providers 11
<PAGE>
[LOGO OF FRANK RUSSELL]
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com
