MULTI FUND(R) 1997 SEMIANNUAL REPORT (UNAUDITED)
INDEX
LINCOLN NATIONAL MUTUAL FUNDS
PORTFOLIO MANAGER COMMENTARIES 3
-------------------------------------------------------------
STATEMENT OF NET ASSETS:
Lincoln National Aggressive Growth Fund, Inc. 10
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Lincoln National Bond Fund, Inc. 10
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Lincoln National Capital Appreciation Fund, Inc. 13
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Lincoln National Equity-Income Fund, Inc. 14
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Lincoln National Global Asset Allocation Fund, Inc. 18
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Lincoln National Growth and Income Fund, Inc. 28
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Lincoln National International Fund, Inc. 30
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Lincoln National Managed Fund, Inc. 31
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Lincoln National Money Market Fund, Inc. 36
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Lincoln National Social Awareness Fund, Inc. 36
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Lincoln National Special Opportunities Fund, Inc. 38
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STATEMENT OF OPERATIONS: 40
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STATEMENT OF CHANGES IN NET ASSETS: 42
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NOTES TO FINANCIAL STATEMENTS: 44
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FINANCIAL HIGHLIGHTS: 52
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<PAGE>
LINCOLN LIFE
August 1997
Dear Multi Fund(R) contractowner:
This booklet contains the 1997 semiannual report of the Multi Fund(R) Variable
Annuity's 14 underlying variable investment options. We are pleased to report
that most of the options produced favorable returns for the period ending June
30, 1997.
The first half of 1997 has been an exciting period for investors. The U.S.
stock market rebounded dramatically in the second quarter from its March-April
slump. However, returns of the magnitude posted during the second quarter are
rare under any circumstances. The stock market advance has been led by the
very largest companies, causing market indices, which are often weighted by
company size, to show better returns than the average stock. The top 15 stocks
in the S&P 500 index returned better than 32% during this semiannual period,
while the bottom 485 stocks averaged a 15% gain. Overall, the S&P 500 was up
20.5% as of June 30, 1997.
Non-U.S. stock markets had their best quarterly performance in over 10 years
during the second quarter of 1997. The Japanese stock market continued to
rebound from its first quarter selloff, returning 23.7% in U.S. dollars. The
U.S. bond market struggled in the first quarter as the Federal discount rate
was increased 0.25%. The second quarter was very positive for bonds as the
market rewarded both interest rate and credit risk. During the second quarter,
every major foreign bond market (except Japan) had positive returns in their
local currencies. However, U.S. dollar returns were reduced by currency moves.
We remain optimistic about the long-term prospects in the various financial
markets, but there are always uncertainties. We believe our portfolio
managers' disciplined approach will continue to prevail for those of you
willing to maintain a long-term investment strategy. Commentaries from each of
the portfolio managers begin on page 3 of this booklet. The following table
summarizes the performance results of the Multi Fund(R) Variable Annuity
contract for the first six months of this year. These figures are slightly
different from those appearing later in this report because the performance
results are net of all charges, while those shown later in the report are
before deduction of the contractual fees.
1997 YEAR-TO-DATE PERFORMANCE
JUNE 30, 1997
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Equity Balanced Fixed Income
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Aggressive Growth Fund 4.65% Global Asset Allocation Fund 12.25% Bond Fund 2.07%
Capital Appreciation Fund 14.24 Managed Fund 9.82 Money Market 1.94
Equity-Income Fund 17.28
Growth and Income Fund 15.97
International Fund 11.08
Social Awareness Fund 15.36
Special Opportunities Fund 10.88
</TABLE>
<PAGE>
The following additional table is provided in accordance with the Securities
and Exchange Commission regulations. It shows results as of the most recently
completed calendar quarter after the deduction of all charges. The charges
include surrender charges that apply to certain premature withdrawals from a
contract. Most contractowners regard Multi Fund(R) as a long-term investment
product, so they rarely contend with these surrender charges.
MULTI FUND(R)
SEC-REQUIRED QUARTERLY PERFORMANCE (1)
JUNE 30, 1997
Ten years
One year Five years or inception
6/30/96 to 6/30/92 to 6/30/87 to
Multi Fund(R) 6/30/97 6/30/97 6/30/97
- ------------------------------------------------------------
Aggressive Growth 1.78% N/A 8.50 (2)%
Bond (1.96) 5.23% 7.40
Capital Appreciation 11.95 N/A 14.27 (2)
Equity-Income 19.00 N/A 18.14 (2)
Global Asset Allocation 11.66 12.18 9.50 (2)
Growth and Income 16.03 16.60 12.25
International 3.92 9.95 7.68 (2)
Managed 8.21 10.98 9.70
Money Market (4.44) 2.29 4.51
Social Awareness 21.17 19.73 16.31 (2)
Special Opportunities 10.81 15.40 11.25
We invite you to review the reports provided in this booklet and hope they
help you develop a better understanding of your investment performance. Your
sales representative will help answer any questions you may have, or you may
contact a customer service representative at 800-4LINCOLN (800-454-6265). We
appreciate your continued confidence in Lincoln Life and look forward to
helping you meet your long-term financial goals.
Sincerely,
/s/ Reed P. Miller
Reed P. Miller
Vice President
(1) In compliance with SEC guidelines, these results show the percent change
for periodic contracts (on an annualized basis) for each of the required
periods with dividends reinvested and include reduction of all recurring
expenses (e.g., administrative fees) and non-recurring expenses (e.g.,
surrender charges -- periodic/years 1-5 = 8%, 6-10 = 4% and 11+years = 0%.
Flexible premium/7-6-5-4-3-2-1 declining 1% annually.)
(2) Indicates performance since inception.
Small-cap stocks and emerging company stocks may be subject to a higher degree
of risk than more established companies' securities. The illiquidity of the
small-cap market may adversely affect the value of these investments so that
shares, when redeemed, may be worth more or less than their original cost. The
investment return and principal value of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the
original cost. Past performance is not indicative of future results.
An investment in the Money Market Fund is neither insured nor guaranteed by
U.S. Government and there is no assurance that the subaccount will maintain a
stable $1.00 share price.
The risks associated with investing on a worldwide basis include differences
in regulation of financial data and reporting, currency exchange differences,
as well as economic and political systems which may be different from those in
the United States. Contracts with the elective Enhanced Guaranteed Minimum
Death Benefit rider are subject to an additional fee, as a result, returns
would have been lower.
This material must be preceded or accompanied by a prospectus for the Lincoln
National Life Variable Annuity Account C. Read the prospectus carefully before
you invest or send money.
SMR97-2914ALL
Aug 97
2
<PAGE>
AGGRESSIVE GROWTH FUND
MANAGED BY: [LYNCH & MAYER LOGO]
The Aggressive Growth Fund gained 5.2% for the six-month period ending June
30, 1997 compared to a 13.0% gain for its benchmark, the S&P Mid-Cap 400. The
fund's underperformance was largely attributable to the underperformance of
its investments in the healthcare and energy sectors and an underweighting in
the financial sector. On the positive side, the fund's technology stocks
performed well for the six-month period.
Lynch and Mayer believes mid-cap stocks are valued at nearly the same point as
large-cap stocks in terms of price/earnings ratio. This makes mid-cap stocks
especially attractive from a valuation standpoint. In addition, future
earnings prospects for mid-cap stocks are roughly twice those of large-cap
stocks. Therefore, stock valuation and future earnings prospects for mid-cap
stocks build a positive outlook for the fund.
Ed Petner
BOND FUND
MANAGED BY: [LINCOLN INVESTMENT MANAGEMENT LOGO]
The Bond Fund gained 2.6% over the six-month period ending June 30, 1997
compared to a 3.6% gain for its benchmark, the Lehman Government/ Corporate
Bond. During the first quarter, the fund was positioned with less interest
rate risk than the index, but more credit risk than the index. This
conservative interest rate risk position helped the fund's performance during
the first quarter, and hurt the fund during the second quarter. The increase
in the credit risk position was positive for second quarter performance.
In the government sector, long high coupon Treasury positions and a barbell
yield-curve strategy helped to take advantage of a flattening yield curve. In
the corporate sector, an overweight in industrials, utilities, and financials
helped performance.
Lincoln Investment Management expects to continue to take advantage of the
strong credit cycle and overweight corporate bonds. Until there is a change in
the credit cycle, the fund will maintain an overweight position in corporate
bonds. The fund will also maintain a neutral interest rate risk position,
unless there is a change in inflation or growth outlook.
Tim Policinski
CAPITAL APPRECIATION FUND
MANAGED BY: [JANUS LOGO]
The Capital Appreciation Fund rose 14.9% over the six-month period ending June
30, 1997 compared to a gain of 20.5% for its benchmark, the S&P 500. During
much of the first half of 1997, equity investors remained narrowly focused on
a few large companies.
Stock prices appeared to be overvalued during the period. Performance was
below the benchmark due to a high cash portion and selling stocks too early.
The portfolio's concentration was lowered by trimming large positions, which
had the effect of reducing risk but also reduced returns.
Top industry sector performers in the fund included health care, financial and
drug stocks.
Janus intends to stick to its investment discipline--weighing each
investment's potential risk against potential rewards and looking for strong
growth companies trading at reasonable valuations. It may mean sacrificing
some upside potential now, but Janus believes it will limit risk later and
serve investors well in the long term.
James P. Craig
3
<PAGE>
EQUITY-INCOME FUND
MANAGED BY: [FIDELITY INVESTMENTS LOGO]
The Equity-Income Fund returned 17.9% for the six-month period ending June 30,
1997 versus its benchmark, the S&P 500, which gained a very strong 20.5%.
During the first half of 1997, financial stocks provided good returns.
Contributors to performance included Bank of New York, American Express,
Fannie Mae, Allstate, and BankAmerica. Among capital goods stocks, selected
industrial positions performed well, including General Electric, Tyco
International, and Ingersoll Rand. In the broad consumer non-durables sector,
stocks such as Wal-Mart and Bristol Myers helped boost performance. Compared
with the S&P 500, however, little exposure to certain large company
growth-oriented consumer non-durables and capital goods stocks with strong
returns in the period detracted from relative performance.
Several diversified industrial, financial, tobacco, and aerospace defense
stocks were added or increased. The fund took profits due to price
appreciation in British Petroleum; TRW; Federal Mogul, cf.pfd; and General
Motors.
Stephen R. Petersen
GLOBAL ASSET ALLOCATION FUND
MANAGED BY: [PUTNAM INVESTMENTS LOGO]
The Global Asset Allocation Fund increased 12.9% during the first six months
of 1997. Global stock markets staged an astonishing rally in the second
quarter. The U.S. stock market rose 17.4% for the second quarter, as measured
by the S&P 500, the best quarterly return in 10 years. Non-U.S. markets, as
measured by the Morgan Stanley International Europe, Australia, Far East
(EAFE) index, rose a slightly less robust 13% in the second quarter, which
also represented the best quarterly return in ten years.
Global bond markets also posted positive returns, as interest rates remained
stable or declined moderately. The U.S. stock and bond markets both benefited
from an environment of moderating economic growth with benign inflation. The
Japanese stock market continued to rebound from its first-quarter selloff,
while Singapore and Malaysia were the only stock markets within EAFE that
showed losses. European markets benefited from improved economic growth
prospects and the Hong Kong market continued to rise in anticipation of its
transition to China.
Putnam believes the U.S. stock market has again become overvalued. Small-cap
stocks are more attractively valued, and may, paradoxically, offer some
protection in the event of U.S. equity-market weakness. Valuation in the U.S.
bond market is better than it has been since 1995, so a major bear market in
U.S. bonds is not expected.
An overweight exposure to international equity continues to be maintained in
the portfolio. Preferences have shifted within international markets, as
Putnam favors a reduction in Western Europe in favor of the Pacific Rim,
Canada, and the emerging markets. European bond markets are fairly valued and
these markets should offer important diversification benefits in the event of
a new equity market correction.
William Landes, Ph.D
4
<PAGE>
GROWTH AND INCOME FUND
MANAGED BY: [VANTAGE GLOBAL ADVISORS LOGO]
The Growth and Income Fund experienced a gain of 16.7% during the first half
of 1997 compared to a 20.5% gain for its benchmark, the S&P 500. As in 1996,
the 15 largest stocks in the S&P 500 drove returns.
The Growth and Income Fund participated in the market's tremendous rise and
has outperformed its peer groups over the long-term. In recent months,
however, the fund trailed its benchmark since the market's return was driven
by such a narrow segment. In order to fully capture the market's return, the
fund would have needed to invest heavily in the S&P 500's top 15 stocks. Such
concentrated positions are contrary to the fund's objective, which is to
provide diversified exposure to a broad range of stocks and industries. This
diversified approach provides the consistency and risk control for which the
fund is known.
Vantage has an optimistic long-term outlook for stocks. Increased
productivity, reduced government budget deficits, and accelerating
technological advances bode well for the U.S. economy. The strong economy
should translate into corporate earnings, which should result in attractive
returns from stocks.
T. Scott Wittman
INTERNATIONAL FUND
MANAGED BY: [CLAY FINLAY INC. LOGO]
The International Fund had an 11.6% return for the first six months of 1997
compared to an 11.4% return for the MSCI-World Ex USA (gross dividends) index.
The fund benefited from strong stock selection in Japan; an underweighting in
Great Britain and Canada; and stock selection and overweighting in emerging
markets, particularly Brazil.
After a strong second quarter bounce, the Japanese market is hesitating. If it
becomes clear that the upswing in the Japanese economy has been interrupted
rather than reversed, the fund weighting in Japan may be increased further;
with the focus primarily on domestic Japanese stocks as possible purchase
candidates. In Europe, the focus will continue to be on stocks that may
benefit from corporate restructuring programs. In southeast Asia and emerging
markets, more convincing signs of a global economic recovery would encourage
increased weightings.
Francis Finlay
5
<PAGE>
MANAGED FUND
MANAGED BY: [LINCOLN INVESTMENT MANAGEMENT LOGO]
The Managed Fund gained 10.5% during the first half of 1997 compared to its
benchmarks: Lehman Brothers Government/Corporate Bond (50% fixed-income
portion) gain of 2.7%, and the S&P 500 (50% equity portion) gain of 20.5%.
Both equity and bond prices declined in response to the Federal Reserve
Board's increase in short-term interest rates during the first quarter. It was
widely feared that this initial increase was a first in a series of rate
increases. Anticipated increases in the second quarter did not occur, however,
as the Fed left rates unchanged.
The asset allocation as of June 30, 1997 was 54.7% equities, 39.0%
fixed-income, and 6.3% cash. The portfolio's performance is related to two
basic components: the stock/bond/cash split and the style breakdown within the
equity holdings by large-cap versus small-cap. The equity component is
targeted to be approximately 85% large-cap and 15% small-cap.
Even though the equity market continued its upward trend, there were still
periods of concern. Lincoln Investment Management reduced the equity portion
of the portfolio throughout the first half of 1997 and put the assets into
either the cash or fixed-income portions.
Jay Yentis
MONEY MARKET FUND
MANAGED BY: [LINCOLN INVESTMENT MANAGEMENT LOGO]
The Money Market Fund showed a gain of 2.4% during the first half of 1997.
The Federal Reserve Board raised interest rates during the first quarter and
left them unchanged during the second quarter. The decision not to raise
short-term interest rates drove rates lower, causing the money market yield
curve to flatten. Lincoln Investment Management will select securities with
maturities ranging from one to three months, allowing the fund to work with
the current flatness of the short-term yield curve and take advantage of
interest rate pressures.
Cozey Baker, Jr.
6
<PAGE>
SOCIAL AWARENESS FUND
MANAGED BY: [VANTAGE GLOBAL ADVISORS LOGO]
The Social Awareness Fund rose 16.0% for the period ending June 30, 1997
compared to a 20.5% increase for its benchmark, the S&P 500. The fund
benefited from both exceptionally strong stock selection and favorable returns
in socially responsible industries.
The market followed an irrational return pattern in some industries during the
first half of 1997. Stocks with excessive valuations and average earnings were
outperforming stocks that appeared more attractive based on objective
measures. However, stocks performed as expected in socially responsible
industries such as financial companies. Attractively priced stocks with strong
earnings prospects led the way. Such stocks were quickly identified by
Vantage's methodical, objective approach to investment management.
Stocks may appear more volatile in the near-term as investors struggle to
accept the heights to which the market has risen. All eyes will be on the
economic indicators that provide insight into the levels of future inflation.
Investors will be optimistic as long as inflation remains under control. If
inflation remains under control, the Federal Reserve will likely keep interest
rates stable, supporting future economic growth.
T. Scott Wittman
SPECIAL OPPORTUNITIES FUND
MANAGED BY: [VANTAGE GLOBAL ADVISORS LOGO]
The Special Opportunities Fund rose 11.5% for the period ended June 30, 1997,
keeping pace with its benchmark, the S&P Mid-Cap 400 Index, which returned
13.0%. The fund is invested in medium-sized companies that have successfully
grown out of a start-up phase and are poised for strong growth. Medium-size
companies have generally lagged the broader market, which has been dominated
by the very largest stocks for the last several years.
The second quarter of 1997 saw a reversal of fortune between growth and value
medium-sized stocks. The first quarter strongly favored value stocks--stable,
more mature companies with healthy earnings relative to their price. The
second quarter favored stocks with future earnings expectations, where
attractiveness was determined by what the company is likely to earn.
Larger companies have been increasing in price so rapidly that they are now
relatively expensive for the earnings they are delivering. In contrast, there
are solid, attractively priced medium-sized companies that are delivering the
same earnings growth prospects as their more expensive and larger
counterparts. Medium-sized companies have outperformed larger companies
historically. Vantage believes that over time the market will return to
historical norms and medium-sized companies will grab their fair share of
returns.
T. Scott Wittman
7
<PAGE>
AGGRESSIVE GROWTH FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1997
INVESTMENTS:
Number Market
COMMON STOCKS: of Shares Value
---------------------------------
Agriculture Products: 1.9%
Delta and Pine Land 72,000 $2,565,000
Pioneer Hi-Bred International 31,500 2,520,000
-------------
5,085,000
BANKING, FINANCE, AND INSURANCE: 8.6%
Conseco 160,300 5,931,100
ReliaStar Financial 72,600 5,308,875
United Meridian* 75,300 2,259,000
Unum 96,400 4,048,800
Washington Mutual 99,800 5,966,165
-------------
23,513,940
BROADCASTING: 5.7%
Evergreen Media Class A* 148,900 6,635,356
Jacor Communications* 136,800 5,245,425
SFX Broadcasting-Class A* 89,900 3,784,228
-------------
15,665,009
BUSINESS PRODUCTS AND SERVICES: 2.6%
Corporate Express* 124,650 1,795,739
Outdoor Systems* 141,100 5,379,438
-------------
7,175,177
CHEMICALS: 2.6%
Crompton & Knowles 204,300 4,545,675
IMC Fertilizer Group 71,800 2,513,000
-------------
7,058,675
COMMUNICATIONS TECHNOLOGY: 5.5%
Brooks Fiber Properties* 64,700 2,187,669
Hyperion Software* 99,500 2,226,313
QUALCOMM* 92,000 4,683,375
Teleport Communications Group* 176,600 6,015,438
-------------
15,112,795
CONSUMER PRODUCTS AND SERVICES: 5.2%
CKE Restaurants 170,700 5,398,388
Hasbro 147,900 4,196,663
Samsonite* 106,700 4,714,806
-------------
14,309,857
ELECTRICAL AND ELECTRONICS: 10.9%
Adaptec* 95,000 3,301,250
Altera* 80,900 4,087,978
Etec Systems* 140,400 6,015,262
LSI Logic* 141,000 4,512,000
Scientific-Atlanta 62,100 1,358,438
Storage Technology* 105,600 4,699,200
Xilinx* 124,500 6,104,391
-------------
30,078,519
ENERGY: 15.5%
Benton Oil & Gas* 114,400 1,716,000
BJ Services* 121,600 6,520,800
Diamond Offshore Drilling 82,008 6,386,373
ENSCO International* 95,000 5,011,250
Forcenergy* 90,400 2,745,900
Nabors Industries* 223,400 5,529,150
Sun 167,700 5,198,700
Transocean Offshore 77,800 5,650,225
Triton Energy* 81,900 3,752,044
-------------
42,510,442
FOOD AND BEVERAGE: 4.9%
Coca-Cola Enterprises 198,000 4,554,000
Dole Food 88,900 3,800,475
Flowers Industries 295,750 4,972,297
-------------
13,326,772
Number Market
of Shares Value
--------------------------------
HEALTHCARE AND PHARMACEUTICALS: 7.4%
Biochem Pharma* 257,200 $5,722,700
Centocor* 135,800 4,214,044
Healthsouth 31,700 $790,519
Liposome* 45,600 406,125
MedPartners* 185,492 4,011,264
Vencor* 119,900 5,185,675
-------------
20,330,327
INDUSTRIAL MACHINERY: 1.9%
Harnischfeger Industries 32,600 1,352,900
Lear* 84,800 3,763,000
-------------
5,115,900
METALS AND MINING: 1.4%
Potash Corporation of Saskatchewan 50,900 3,820,681
MOTOR VEHICLES AND EQUIPMENT: 1.9%
Tower Automotive* 126,900 5,456,700
PAPER AND PAPER PRODUCTS: 1.5%
James River 111,400 4,121,800
RETAIL: 7.4%
Claire's Stores 149,075 2,608,813
Dollar General 105,225 3,945,938
Family Dollar Stores 150,600 4,103,850
Stage Stores* 178,400 4,655,125
Zale* 255,900 5,070,019
-------------
20,383,745
SOFTWARE TECHNOLOGY: 2.8%
BMC Software* 96,600 5,355,263
Sterling Commerce* 77,400 2,544,525
-------------
7,899,788
TOTAL COMMON STOCKS: 87.7%
(Cost $192,741,004) 240,965,127
-------------
Maturity
REPURCHASE AGREEMENT: Amount
-----------------
State Street Bank and Trust Co, repurchase
agreement, dated 6/30/97, 5.12%, maturing
7/1/97, collateralized by U.S. Treasury
Notes 6.000%, 9/30/98 $33,261,000 33,261,000
-------------
TOTAL REPURCHASE AGREEMENT: 12.1%
(Cost $33,261,000) 33,261,000
-------------
TOTAL INVESTMENTS: 99.8%
(Cost $226,002,004) 274,226,127
-------------
Other Assets Over Liabilities: 0.2% 526,856
-------------
NET ASSETS: 100.0%
(Equivalent to $14.001 per share based on
19,623,767 shares issued and outstanding) $274,752,983
=============
BOND FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1997
INVESTMENTS:
Par Market
LONG-TERM DEBT INVESTMENTS: Amount Value
---------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 25.4%
Federal Home Loan Mortgage Corp.
6.30%, 4/8/99 $5,250,000 $5,245,013
<PAGE>
Par Market
Amount Value
6.43%, 10/15/06 $2,000,000 $1,964,063
7.30%, 12/1/12 2,962,350 2,990,122
8.00%, 4/1/17 348,488 360,358
3.50%, 12/15/21 2,000,000 1,615,830
FNMA
7.60%, 7/25/05 732,776 735,981
6.80%, 8/1/05 935,705 933,951
7.18%, 10/1/05 2,563,203 2,635,279
6.66%, 11/1/05 985,726 979,257
6.66%, 12/1/05 1,971,869 1,958,929
7.04%, 7/1/06 2,477,799 2,504,559
7.15%, 10/1/15 2,886,474 2,855,805
7.00%, 10/1/25 2,777,423 2,729,866
FNMA- Strips*
0.00%, 7/24/06 9,500,000 5,210,179
GNMA
9.00%, 5/15/17 175,192 188,222
9.00%, 9/15/19 780,306 838,342
6.50%, 11/15/23 894,844 862,686
U.S. Treasury Bonds
12.75%, 11/15/10 20,280,000 28,148,841
12.00%,8/15/13 500,000 703,365
6.63%, 2/15/27 2,540,000 2,486,558
U.S. Treasury Notes
6.50%, 8/31/01 1,575,000 1,582,765
-------------
67,529,971
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.7%
Green Tree Home Improvement
7.35%, 7/15/21 1,500,000 1,513,752
Mid-StateTrust III
7.63%, 4/1/22 233,995 236,906
-------------
1,750,658
AUTOMOBILE AND AUTO PARTS: 0.8%
Chrysler Corp.
7.45%, 2/1/97 1,000,000 977,500
Goodyear Tire & Rubber Co.
6.625%, 12/1/06 1,250,000 1,210,938
-------------
2,188,438
BANKING, FINANCE AND INSURANCE: 26.0%
Ahmanson, H. F. & Co.
8.25%, 10/1/02 2,000,000 2,112,500
Aristar Financial
7.50%, 7/1/99 1,500,000 1,528,125
AT&T Capital Corp.
7.47%, 5/11/05 2,750,000 2,780,938
Banc One Corp.
9.875%, 3/1/09 500,000 601,875
Barnett Bank
6.90%, 9/1/05 1,500,000 1,479,375
Barnett Capital Trust Inc. 144A
8.06%, 12/1/26 1,900,000 1,897,625
BT Capital Trust-Series B
7.90%, 1/15/27 1,500,000 1,453,125
CIT Group Holdings Inc.
5.875%, 10/15/08 1,500,000 1,368,750
Citicorp Notes
6.33%, 1/5/06 1,600,000 1,524,000
Den Norske Bank
5.75%, 11/29/49 1,500,000 1,339,725
Dow Capital
9.00%, 5/15/10 3,000,000 3,375,000
Finova Capital
6.12%, 5/28/02 1,000,000 973,750
First Bank System Inc.
6.875%, 9/15/07 1,000,000 980,000
First of America Capital Trust I
8.12%, 1/31/27 2,000,000 1,985,000
First Security
7.00%, 7/15/05 1,000,000 988,750
First Union Corp.
8.00%, 8/15/09 2,000,000 2,085,000
Par Market
Amount Value
---------------------------------
First USA Bank
5.75%, 11/15/99 $2,000,000 $1,985,000
Fleet Financial Group
7.25%, 9/1/99 1,000,000 1,016,250
General Motors Acceptance Corp.
8.17%, 1/2/00 644,663 657,507
7.875%,3/7/01 1,500,000 1,554,375
8.875%, 6/1/10 1,500,000 1,732,500
Harris Bankcorp Inc.
9.375%, 6/01/01 250,000 272,500
Household Affinity Credit Card
6.05%, 5/15/01 1,000,000 993,015
Household Finance Corp.
9.625%, 7/15/00 875,000 946,094
International Lease Finance Co.
8.25%, 1/15/00 2,000,000 2,080,000
John Deere Capital Corp.
8.625%, 8/1/19 2,000,000 2,120,000
Lehman Brothers Holdings
8.875%, 3/1/02 1,000,000 1,072,500
Lloyd's Bank
5.8295%, 8/29/49 1,500,000 1,357,950
Mellon Capital Corp.
7.72%, 12/1/26 1,500,000 1,449,375
Mercantile Bancorp
7.30%, 6/15/07 1,325,000 1,328,313
Morgan Stanley Group
6.875%, 3/1/07 2,250,000 2,221,875
National Westminister Bank plc
9.45%, 5/1/01 500,000 545,625
Nynex Capital Funding
7.63%, 10/15/09 3,000,000 3,198,660
Salomon Inc.
7.25%, 1/15/00 1,000,000 1,012,500
Simon Debartolo Group Notes
7.125%, 6/24/05 1,300,000 1,293,500
Smith Barney Holdings
7.875%, 10/1/99 3,000,000 3,093,750
SouthTrust Bank of Birmingham Alabama
7.69%, 5/15/25 2,750,000 2,921,875
Spiegel Charge Account Trust II
6.95%, 2/15/01 285,714 286,299
State Street Capital-B
8.035%, 3/15/27 1,400,000 1,398,250
Student Loan Marketing Association
6.16%, 12/2/99 4,000,000 3,984,760
Union Bank Switzerland
7.25%, 7/15/06 2,250,000 2,278,125
Wachovia Capital Trust I
7.64%, 1/15//27 1,900,000 1,838,250
-------------
69,112,386
BUILDING AND MATERIALS: 0.4%
Georgia-Pacific Corp.
9.95%, 6/15/02 1,000,000 1,118,750
CABLE, MEDIA AND PUBLISHING: 1.6%
News America Holdings
8.45%, 8/1/34 1,500,000 1,633,125
Time Warner Corp.
9.125%, 1/15/13 2,000,000 2,200,000
Viacom Inc.
8.75%, 5/15/01 500,000 511,250
-------------
4,344,375
ENERGY: 1.8 %
Arkla Inc.
10.00%, 11/15/19 1,000,000 1,096,250
Atlantic Richfield Co.
10.25%, 7/2/00 1,000,000 1,017,500
Enron Corp.
9.50%, 6/15/01 1,000,000 1,093,750
<PAGE>
Par Market
Amount Value
---------------------------------
Petro-Canada Debentures
8.60%, 10/15/01 $1,500,000 $1,590,000
-------------
4,797,500
FOOD, BEVERAGE AND TOBACCO: 0.3%
Nabisco, Inc.
7.55%, 6/15/15 750,000 735,938
FOREIGN GOVERNMENT: 1.7%
Hydro-Quebec
7.20%, 10/5/09 3,000,000 2,996,430
Manitoba (Province of)
7.75%, 7/17/16 1,500,000 1,569,375
-------------
4,565,805
HEALTHCARE AND PHARMACEUTICALS: 1.1%
Allegiance
7.30%, 10/15/06 750,000 750,000
Glaxo Wellcome plc
6.125%, 1/25/06 2,250,000 2,140,313
-------------
2,890,313
LEISURE, LODGING AND ENTERTAINMENT: 0.5%
Darden Restaurants
6.375%, 2/1/06 1,500,000 1,398,750
METALS AND MINING: 2.8%
Alcan Aluminum
8.875%, 1/15/22 500,000 535,625
Cyprus Amax Minerals Co.
7.375%, 5/15/07 2,500,000 2,506,250
Inco Ltd.
9.60%, 6/15/22 1,300,000 1,441,375
Newmont Gold Co.
8.91%, 1/5/09 724,132 773,916
Placer Dome Inc.
7.37%, 6/3/26 1,000,000 1,015,000
Placer Dome-Series A
7.31%, 1/26/21 1,000,000 932,500
Reynolds Metals Co.
9.00%, 8/15/03 250,000 274,375
-------------
7,479,041
PAPER: 1.3%
Champion International
7.70%, 12/15/99 1,500,000 1,545,000
James River Corp.
6.70%, 11/15/03 2,000,000 1,935,000
-------------
3,480,000
RETAIL: 1.2%
Sears Roebuck & Co.
9.05%, 2/6/12 2,000,000 2,280,000
Service Corp International
7.00%, 6/1/15 1,000,000 1,011,250
-------------
3,291,250
TELECOMMUNICATIONS: 2.2%
Litton Industries
6.98%, 3/15/36 1,000,000 990,000
Nynex Corp.
9.55%, 5/1/10 1,454,760 1,623,876
Rochester Telephone Corp.
9.00%, 7/19/00 2,000,000 2,127,500
U.S. West Corp.
6.95%, 1/15/37 1,000,000 1,001,250
-------------
5,742,626
Transportation and Shipping: 4.5%
American Airlines Equipment Trust
10.18%, 1/12/13 1,500,000 1,797,060
Par Market
Amount Value
---------------------------------
Burlington Northern Railroad
6.94%, 1/2/14 $491,849 $484,876
Chicago & Northwestern Holdings
6.25%, 7/30/12 1,415,614 1,337,755
CSX Notes
7.25%, 5/1/27 1,000,000 1,008,750
Federal Express Corp.
7.96%, 3/28/17 2,000,000 1,992,500
Norfolk Southern Corp.
7.40%, 9/15/06 3,500,000 3,548,125
United Airlines Equipment Trust
9.35%, 4/7/16 1,500,000 1,664,441
-------------
11,833,507
UTILITIES: 14.6%
Central Maine Power Co.
6.50%, 7/22/97 1,500,000 1,500,000
Cleveland Electric Illumination Co.
8.26%, 10/30/98 2,500,000 2,550,000
Colonial Gas-Series A
6.81%, 5/19/27 1,500,000 1,509,375
Commonwealth Edison Co.
9.375%, 2/15/00 500,000 530,000
Consumers Power Co.
8.75%, 02/15/98 1,000,000 1,016,250
8.875%, 11/15/99 1,000,000 1,048,750
Detroit Edison Co.
6.56%, 5/1/01 2,000,000 1,987,500
DQU II Funding
8.70%, 6/1/16 2,474,000 2,665,735
Great Lakes Power Inc.
9.00%, 8/1/04 1,500,000 1,618,125
Houston Light & Power Capital Trust II
8.257%,2/1/37 1,900,000 1,923,750
MidAmerican Energy
6.50%, 12/15/01 1,250,000 1,235,938
National Power Plc
7.125%,7/11/01 2,000,000 2,012,500
National Rural Utility
7.20%, 10/1/15 1,000,000 985,000
Nevada Power Co.
7.06%, 5/1/00 1,500,000 1,516,875
New Jersey Bell Telephone
7.85%, 11/15/29 1,950,000 2,149,875
Noble Affiliates
7.25%, 10/15/23 600,000 566,250
Old Dominion Electric
8.76%, 12/1/22 1,600,000 1,768,000
Pacificorp
9.15%, 8/9/11 2,000,000 2,300,000
Pennsylvania Power & Light
7.70%,10/1/09 3,000,000 3,108,750
PSI Energy Inc.
8.56%, 12/27/11 2,000,000 2,227,500
Public Service Co. of Colorado
6.375%,11/1/05 1,500,000 1,443,750
Texas Gas Transmissions Corp.
8.625%,4/1/04 1,000,000 1,086,250
Washington Water & Power Co.
8.01%, 12/17/01 2,000,000 2,084,815
-------------
38,834,988
TOTAL LONG TERM DEBT INVESTMENTS: 86.9%
(Cost $227,367,104) 231,094,296
-------------
MONEY MARKET INSTRUMENTS:
Barclays U.S. Funding Corp
5.6%, 7/3/97 7,700,000 7,697,604
Hertz Corp
5.58%,7/7/97 9,600,000 9,591,216
Merrill Lynch and Co.
5.55%,7/2/97 5,000,000 4,999,232
<PAGE>
Par Market
Amount Value
Pepsico Inc.
5.5%, 7/10/97 $8,000,000 $7,989,000
-------------
TOTAL MONEY MARKET INSTRUMENTS: 11.4%
(Cost $30,277,052) 30,277,052
-------------
TOTAL INVESTMENTS: 98.3%
(Cost $257,644,156) 261,371,348
-------------
Other Assets Over Liabilities: 1.7% 4,406,795
-------------
NET ASSETS: 100.0%
(Equivalent to $12.077 per share based on
22,007,794 shares issued and outstanding) $265,778,143
=============
CAPITAL APPRECIATION FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1997
INVESTMENTS:
Number Market
COMMON STOCKS: of Shares Value
---------------------------------
AEROSPACE AND DEFENSE: 1.6%
Allied-Signal 29,525 $2,480,100
Boeing 20,000 1,061,250
United Technologies 28,250 2,344,750
-------------
5,886,100
AUTOMOBILES AND AUTO PARTS: 1.0%
Federal-Mogul 79,425 2,779,875
Pirelli Spa (Italy) 402,365 996,589
-------------
3,776,464
BANKING, FINANCE, AND INSURANCE: 21.7%
Associates First Capital 75,000 4,162,500
Bank of New York 163,525 7,113,338
BankAmerica 50,350 3,250,722
Barclays plc (UK) 201,339 3,995,575
Catskill Financial 10,000 154,375
Citicorp 49,500 5,967,844
Credit Local de France Dexia (France) 11,799 1,148,321
Deutsche Bank AG (Germany) 23,935 1,405,156
Equifax 85,000 3,160,937
First Empire State 9,450 3,184,650
Ing Groep NV (Netherlands) 94,087 4,336,579
Lloyds TSB Group plc (UK) 72,442 744,133
Long Island Bancorp. 22,975 833,562
Nationwide Financial Services-A 296,500 7,875,781
Northern Trust 16,325 790,232
Protective Life 30,000 1,507,500
Schwab (Charles) 80,350 3,269,241
Signet Banking 70,000 2,520,000
Star Banc 39,350 1,662,538
State Street Bank 66,225 3,062,906
Student Loan Marketing Association 19,775 2,511,425
Sumitomo Marine & Fire (Japan) 128,000 1,050,142
Tokio Marine & Fire Insurance (Japan) 87,000 1,138,992
United Healthcare 117,250 6,097,000
Unum 149,050 6,260,100
Western National 70,400 1,887,600
-------------
79,091,149
CABLE, MEDIA, AND PUBLISHING: 3.6%
Cablevision Systems Class A* 9,250 499,500
Meredith 41,450 1,202,050
Tele-communications A* 100,950 1,498,476
Univision Communications-A* 50,725 1,984,616
Westinghouse Electric 41,150 951,594
Number Market
of Shares Value
---------------------------------
Wolters Kluwer NV (Netherlands) 50,490 $6,145,714
Young Broadcasting Class A* 24,100 789,275
-------------
13,071,225
CHEMICALS: 5.1%
BASF (Germany) 91,198 3,364,536
Cytec Industries* 43,000 1,607,125
DuPont(E.I.)deNemours 86,750 5,454,406
Imperial Chemical ADR 50,000 2,843,750
Monsanto 97,275 4,188,905
Praxair 9,550 534,800
Rentokil Group (UK) 208,458 730,890
-------------
18,724,412
COMPUTERS AND TECHNOLOGY: 7.7%
Cadence Design Systems* 80,000 2,680,000
Cisco Systems* 23,375 1,569,777
Compaq Computer* 14,000 1,389,500
Computer Sciences* 94,725 6,832,041
First Data 92,525 4,065,317
Lo-Jack* 100,000 1,443,750
Microsoft* 30,000 3,794,063
Parametric Technology* 153,075 6,510,471
-------------
28,284,919
CONSUMER PRODUCTS AND SERVICES: 5.6%
Avon Products 27,700 1,954,581
Colgate-Palmolive 16,700 1,089,675
General Electric 86,650 5,664,744
Minnesota Mining & Manufacturing 47,750 4,870,500
ServiceMaster L.P. 12,038 273,101
Unilever NV 30,000 6,421,875
-------------
20,274,476
ELECTRICAL AND ELECTRONICS: 4.8%
Phillips Electronics NV (Netherlands) 115,913 8,300,162
Pittway 19,687 979,428
Texas Instruments 40,000 3,362,500
Tyco International 20,000 1,391,250
Xerox 45,225 3,567,122
-------------
17,600,462
ENERGY: 10.6%
BOC Group plc (UK) 113,231 1,967,129
British Petroleum (UK) 200,000 2,485,621
Enron Oil & Gas 60,000 1,087,500
Global Marine* 50,000 1,162,500
Gulf Canada Resources, Ltd.* 200,000 1,662,500
Mobil 20,000 1,397,500
Noble Affliates 35,000 1,354,062
Noble Drilling* 75,000 1,692,187
Rennaissance Energy, Ltd. (Canada)* 30,000 834,450
Royal Dutch Petroleum 64,500 3,507,188
Santa Fe International* 111,950 3,806,300
Schlumberger, Ltd. 24,175 3,021,875
Smith International* 120,000 7,290,000
Texaco 40,000 4,350,000
Unocal 76,000 2,949,750
-------------
38,568,562
ENVIRONMENTAL SERVICES: 0.1%
Perkin-Elmer 6,750 537,047
FOOD, BEVERAGE, AND TOBACCO: 2.2%
Coca-Cola Enterprises 32,550 748,650
ConAgra 50,000 3,206,250
JP Foodservice* 81,275 2,331,577
Philip Morris 40,300 1,788,312
-------------
8,074,789
HEALTHCARE AND PHARMACEUTICALS: 11.9%
AFLAC 33,900 1,601,775
American Home Products 29,675 2,270,138
<PAGE>
Number Market
of Shares Value
---------------------------------
Baxter International 21,375 $1,116,844
Bristol-Myers Squibb 58,975 4,776,975
Cardinal Health 46,162 2,642,775
Covance* 42,275 816,436
Fresenius Medical Care AG* 40,725 1,186,116
Glaxo Wellcome plc (UK) 53,762 1,112,108
Guidant 17,950 1,525,750
Immunex* 25,800 932,025
Johnson & Johnson 81,400 5,240,125
Omnicare 32,750 1,027,531
Pfizer 36,550 4,367,725
Rhone-Poulenc A (France) 23,212 947,864
SmithKline Beecham 43,500 3,985,688
SmithKline Beecham plc (UK) 62,500 1,150,307
Tenet Healthcare* 42,775 1,264,536
UICI* 21,825 642,473
Warner-Lambert 54,875 6,818,219
-------------
43,425,410
INDUSTRIAL MACHINERY: 2.8%
Baker Hughes 50,000 1,934,375
Dionex* 123,750 6,326,719
Parker Hannifin 31,750 1,926,828
-------------
10,187,922
LEISURE, LODGING, AND ENTERTAINMENT: 1.3%
Carnival Cruise Lines 59,225 2,443,031
Extended Stay America* 38,150 600,863
Royal Carribean Cruises* 46,150 1,612,366
-------------
4,656,260
METALS AND MINING: 0.8%
Reynolds Metals 41,100 2,928,375
MISCELLANEOUS: 3.3%
Amway Asia Pacific* 20,075 875,772
Halliburton 15,000 1,188,750
Manpower 25,000 1,112,500
Robert Half International* 46,075 2,168,405
SGS Holdings SA (Switzerland) 307 655,583
Siebe plc (UK) 217,446 3,685,312
Vendex International (Netherlands) 7,993 437,610
YPF Sociedad Anonima-ADR 62,525 1,922,644
-------------
12,046,576
PACKAGING AND CONTAINERS: 0.4%
Sealed Air* 31,475 1,495,063
PAPER AND FOREST PRODUCTS: 0.6%
Burlington Resources 50,825 2,242,653
RETAIL: 6.7%
Costco Companies* 101,775 3,349,033
Dayton Hudson 89,325 4,750,973
Fastenal 36,425 1,780,272
Gibson Greetings* 181,075 4,085,505
Penney (J.C.) 26,350 1,375,141
Safeway* 39,100 1,803,488
Tandy 23,025 1,289,400
TJX 13,025 343,534
Wal-Mart Stores 120,000 4,057,500
Wendy's International 59,100 1,532,906
-------------
24,367,752
TELECOMMUNICATIONS: 3.6%
Cincinnati Bell 64,400 2,028,600
Comcast, Special Class A 48,125 1,027,168
ECI Telecommunications 37,675 1,122,009
Ericsson (LM) Tel 'B' 28,300 1,115,197
Grupo Televisa S.A.* 13,950 423,731
Lucent Technologies 61,650 4,442,653
Northern Telecom Ltd 32,075 2,918,825
-------------
13,078,183
Number Market
of Shares Value
---------------------------------
TRANSPORTATION AND SHIPPING: 2.1%
Consolidated Freightways* 152,200 $2,497,031
Delta Air Lines 32,475 2,662,950
Union Pacific Resources 100,000 2,487,500
-------------
7,647,481
TOTAL COMMON STOCK: 97.5%
(Cost $298,448,522) 355,965,280
-------------
Par
MONEY MARKET INSTRUMENTS: ----------------
General Electric Capital
0.0%, 7/3/97 $10,000,000 9,996,944
Prudential Funding
6.0%, 7/1/97 5,800,000 5,800,000
-------------
TOTAL MONEY MARKET INSTRUMENTS: 4.3%
(Cost $15,797,906) 15,796,944
-------------
TOTAL INVESTMENTS: 101.8%
(Cost $314,246,428) 371,762,224
-------------
Other Assets Under Liabilities: (1.8)% (6,528,522)
-------------
NET ASSETS: 100.0%
(Equivalent to $16.069 per share based on
22,728,498 shares issued and outstanding) $365,233,702
-------------
EQUITY INCOME FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1997
INVESTMENTS:
Par Market
LONG-TERM DEBT INVESTMENTS: Amount** Value
---------------------------------
AIR TRANSPORTATION: 0.1%
Continental Airlines
6.75%, 4/15/06 $320,000 $414,400
Automotive: 0.2%
VOLKSWAGON INTERNATIONAL
3.0%, 1/24/02 860,000 1,244,850
BROADCASTING: 0.1%
Jacor Communications
0.0%, 6/12/11 610,000 343,888
COMPUTERS AND TECHNOLOGY: 0.4%
Apple Computer
6.0%, 6/1/01 600,000 518,250
Softkey International
5.5%, 11/1/00 770,000 631,400
Unisys Corporation
8.25%, 3/15/06 920,000 1,184,500
-------------
2,334,150
ELECTRICAL AND ELECTRONICS: 0.1%
Cirrus Logic
6.0%, 12/15/03 460,000 350,750
National Semiconductor
6.5%, 10/1/02 490,000 515,113
-------------
865,863
FINANCE: 0.3%
Daimler-Benz Capital (Germany)
4.125%, 7/5/03 830,000 709,491
MBL International Financial Bermuda Trust
3.0%, 11/30/02 1,000,000 1,096,250
-------------
1,805,741
<PAGE>
Par Market
Amount** Value
---------------------------------
Hotels: 0.1%
Hilton Hotels
5.0%, 5/15/06 $360,000 $385,200
MACHINERY AND ENGINEERING: 0.1%
Hexcel Corporation
7.0%, 8/1/03 210,000 282,450
Matsushita Electric Industries (Japan)
1.3%, 3/29/02 4,000,000 49,330
1.4%, 3/31/04 41,000,000 502,413
-------------
834,193
MISCELLANEOUS: 0.1%
ADT Operations
0.0%, 7/6/10 380,000 358,150
PETROLEUM AND PETROLEUM RELATED: 0.6%
Baker Hughes
0.0%, 5/5/08 750,000 600,000
Pennzoil
6.5%, 1/15/03 1,370,000 2,418,050
4.75%, 10/1/03 810,000 1,045,913
-------------
4,063,963
REAL ESTATE: 0.0%
Liberty Property Trust
8.0%, 7/1/01 10,000 12,488
RETAIL: 0.3%
Baker (J.)
7.0%, 6/1/02 260,000 233,350
Charming Shoppes
7.5%, 7/15/06 200,000 197,500
Federated Department Stores
5.0%, 10/1/03 720,000 861,300
Home Depot
3.25%, 10/1/01 910,000 1,044,225
-------------
2,336,375
TELECOMMUNICATIONS: 0.1%
Home Shopping Network
5.875%, 3/1/06 120,000 149,400
Midcom Communications
8.25%, 8/15/03 420,000 277,725
Salomon Inc. Exchangeable Notes
0.0%, 2/1/01 4,000 255,500
-------------
682,625
TOTAL LONG-TERM DEBT INVESTMENTS: 2.5%
(Cost $13,640,639) 15,681,886
-------------
Number
of Shares
COMMON STOCKS: ----------------
AEROSPACE: 4.6%
Allied-Signal 69,300 5,821,200
Boeing 73,686 3,909,963
GenCorp 27,600 638,250
General Dynamics 10,700 802,500
Gulfstream Aerospace* 17,900 528,050
Lockheed Martin 72,400 7,497,925
Northrop 19,100 1,677,219
Rockwell International 6,100 359,900
Textron 36,400 2,416,050
Thiokol 13,800 966,000
United Technologies 54,800 4,548,400
-------------
29,165,457
AUTOMOBILES AND AUTO PARTS: 2.7%
Bayerische Motoren Werke (BMW) AG (Germany 1,700 1,401,519
Chrysler 160,600 5,269,688
Cooper Industries 27,398 1,363,051
Number Market
of Shares Value
---------------------------------
Cummins Engine 13,100 $924,369
Dana 10,800 410,400
General Motors 72,900 4,059,619
Goodrich (B.F.) 9,000 389,813
Modine Manufacturing 31,900 953,013
Standard Products Company 7,500 189,375
Volvo AB 10,900 292,256
Volvo AB (Sweden) 80,100 2,148,872
-------------
17,401,975
BANKING, FINANCE AND INSURANCE: 22.6%
Aetna 25,200 2,579,850
Ahmanson (H.F.) & Co. 10,000 430,000
Allstate 116,305 8,490,265
American Bankers Insurance Group 32,700 2,066,231
American Express 169,600 12,635,200
American Financial Group 47,100 1,998,806
Bank of Boston 32,100 2,313,206
Bank of New York 166,200 7,229,700
Bank of Nova Scotia (Canada) 14,500 635,435
BankAmerica 133,000 8,586,813
Bear Stearns 19,475 665,802
Beneficial 29,900 2,124,769
Brascan Ltd Class A (Canada) 56,700 1,402,561
Canadian Imperial Bank of Commerce (Canada 61,700 1,555,293
Chase Manhattan 30,000 2,911,875
CIGNA 10,500 1,863,750
Citicorp 17,500 2,109,844
Comerica 35,900 2,441,200
Credit Communal Hldg Dexia (Belgium) 4,600 494,046
CS Holding AG (Switzerland) 11,000 1,411,656
Den Danske Bank (Denmark) 11,030 1,072,978
Den Norske Bank ASA (Norway) 290,300 1,138,136
Edper Group (Canada) 61,600 1,028,488
Federal National Mortgage 290,500 12,673,063
First Bank Systems 36,900 3,150,338
First Chicago NBD 127,723 7,727,242
First Marathon (Canada) 92,100 1,300,895
Fleet Financial Group 36,900 2,333,925
Fremont General 81,197 3,268,179
General Re Corporation 11,900 2,165,800
Great Western Financial 55,600 2,988,500
Hartford Financial Services 52,800 4,369,200
Highlands Insurance Group* 30,970 623,271
Household International 25,600 3,006,400
HSBC Holdings (Hong Kong) 26,340 792,206
Lehman Brothers Holdings 31,080 1,258,740
Marsh & McLennan 12,000 856,500
MBIA 3,600 406,125
Metallgesllschaft AG (Germany) 20,300 419,559
National Bank of Canada (Canada) 102,300 1,281,946
NationsBank 111,777 7,209,617
Nationwide Financial Services-A 8,700 231,094
Nomura Securities (Japan) 30,000 413,703
Norwest 51,983 2,924,044
Pinnacle West Capital 51,000 1,533,188
Provident 19,400 1,037,900
Providian Financial* 12,200 391,925
ReliaStar Financial 45,100 3,297,938
Royal Bank of Canada (Canada) 44,600 2,020,738
Sparbanken Sverige AB,Swedbank-A (Sweden) 32,200 717,781
Sparebanken NOR 15,700 467,543
TCF Financial 2,200 108,625
Transamerica 13,800 1,291,163
Washington Mutual 70,635 4,222,649
Wells Fargo 11,300 3,045,350
-------------
144,721,051
BUILDING AND MATERIALS: 0.3%
Fluor 9,000 496,688
Newport News Shipbuilding 31,440 611,115
Quanex 6,000 184,125
Zurn Industries 27,300 784,875
-------------
2,076,803
<PAGE>
Number Market
of Shares Value
---------------------------------
CABLE, MEDIA, AND PUBLISHING: 2.3%
Comsat 21,300 $507,206
Deluxe 35,700 1,218,263
Donnelley (R.R.) & Sons 49,700 1,820,263
Dun & Bradstreet 32,400 850,500
Ennis Business Forms 18,200 175,175
Evergreen Media Class A* 6,200 276,288
Harland (John H.) 1,200 27,375
Hollinger International* 18,700 209,206
Houghton Mifflin 4,500 300,375
McGraw-Hill 29,100 1,711,444
New England Bus Svc 15,500 407,844
Polaroid 18,000 999,000
Viacom Class A* 700 20,781
Viacom Class B* 72,300 2,169,000
Westinghouse Electric 167,285 3,868,466
-------------
14,561,186
CHEMICALS: 3.0%
Air Products & Chemicals 14,200 1,153,798
Akzo Nobel (Netherlands) 5,900 808,301
Dexter 27,000 864,000
Dial 46,900 732,813
DSM NV (Netherlands) 2,000 198,930
DuPont(E.I.)deNemours 62,400 3,923,400
Great Lakes Chemical 26,200 1,372,225
Hercules 18,700 895,263
Lyondell Petrochemicals 14,100 307,556
Millenium Chemicals 35,042 797,205
Nalco Chemical 33,300 1,286,213
Takeda Chemical Industries (Japan) 44,000 1,236,570
Union Carbide 85,400 4,019,138
Witco 42,800 1,623,725
-------------
19,219,137
COMPUTERS AND TECHNOLOGY: 1.1%
Cognizant 32,400 1,312,200
Digital Equipment* 18,300 648,506
EG&G 34,700 780,750
Electronic Data Systems 19,400 795,400
IBM 35,600 3,210,675
-------------
6,747,531
CONSUMER PRODUCTS AND SERVICES: 7.3%
Avon Products 7,400 522,163
B.A.T. Industries plc 5,100 93,394
B.A.T. Industries plc (UK) 123,278 1,103,162
Eastman Kodak 33,200 2,548,100
Fuji Photo Film (Japan) 29,000 1,166,834
General Electric 405,200 26,489,950
Masco 33,600 1,402,800
Maytag 74,200 1,938,475
Minnesota Mining & Manufacturing 45,300 4,620,600
Premark International 34,600 925,550
Rubbermaid 82,000 2,439,500
Unilever (UK) 77,600 2,220,817
Unilever NV 4,700 1,006,094
Unilever NV (Netherlands) 300 63,132
-------------
46,540,571
ELECTRICAL AND ELECTRONICS: 3.1%
AMP 38,200 1,594,850
Cilcorp 6,200 255,363
Eaton 33,100 2,890,044
Emerson Electric 19,000 1,046,188
Nitto Denko (Japan) 18,000 350,338
Raytheon 123,100 6,278,100
Sunbeam-Oster 28,100 1,060,775
Thomas & Betts 18,300 961,894
Tyco International 48,900 3,401,606
Whirlpool 28,100 1,533,206
Xerox 10,200 804,525
-------------
20,176,889
Number Market
of Shares Value
---------------------------------
ENERGY: 10.0%
Amerada Hess 25,300 $1,405,731
Amoco 32,400 2,816,775
Atlantic Richfield 63,800 4,497,900
British Petroleum ADR 161,713 12,108,261
Dresser Industries 56,100 2,089,725
Duke Energy 32,376 1,552,044
Exxon 19,400 1,193,100
Mobil 36,400 2,543,450
NOVA 63,500 539,750
Occidental Petroleum 44,700 1,120,294
Pacific Enterprises 66,700 2,242,788
Phillips Petroleum 42,000 1,837,500
Questar 57,700 2,329,638
Royal Dutch Petroleum 139,200 7,569,000
Santa Fe Energy Resources Inc* 33,989 499,217
Schlumberger, Ltd. 44,800 5,600,000
Total 63,533 3,224,300
Total (France) 53,254 5,382,212
US Industries* 9,100 324,188
USX-Marathon Group 89,800 2,592,975
Unocal 67,800 2,631,488
-------------
64,100,336
ENVIRONMENTAL SERVICES: 1.4%
Browning Ferris 108,200 3,597,650
Waste Management 160,800 5,165,700
-------------
8,763,350
FOOD BEVERAGE AND TOBACCO: 6.2%
DiMon 13,700 363,050
Dole Food 10,100 434,300
Gallagher Group plc* 27,000 497,813
General Mills 33,914 2,208,649
Goodman Fielder Limited (Australia) 629,790 925,428
Heinz (H.J.) 13,000 599,625
Kellogg Company 9,500 813,438
PepsiCo 19,500 732,469
Philip Morris 504,600 22,391,625
Ralston-Purina Group 27,300 2,243,719
RJR Nabisco Holdings 217,860 7,189,380
Swedish Match AB 1,090 36,924
Swedish Match AB (Sweden) 20,800 70,088
Universal 26,900 854,075
-------------
39,360,583
HEALTHCARE AND PHARMACEUTICALS: 3.2%
Allegiance 40,480 1,103,080
American Home Products 16,300 1,246,950
Bausch & Lomb 17,100 805,838
Baxter International 10,400 543,400
Bristol-Myers Squibb 57,600 4,665,600
Foundation Health Systems* 36,270 1,099,434
Johnson & Johnson 26,400 1,699,500
Merck & Company 3,200 331,200
Novartis (Switzerland) 1,000 1,597,481
Pfizer 6,900 824,550
Pharmacia & Upjohn 39,500 1,372,625
Schering-Plough 81,800 3,916,175
Tambrands 27,800 1,386,525
-------------
20,592,358
INDUSTRIAL MACHINERY: 2.6%
American Standard* 36,300 1,624,425
Baker Hughes 18,900 731,194
Caterpillar 18,000 1,932,750
Harnischfeger Industries 22,600 937,900
Ingersoll-Rand 29,400 1,815,450
ITT* 37,000 2,259,313
Johnson Controls 41,000 1,683,563
Keystone International 57,500 1,994,531
Parker Hannifin 30,700 1,863,106
Regal-Beloit 8,200 217,300
Snap-on 43,150 1,699,031
-------------
16,758,563
<PAGE>
Number Market
of Shares Value
---------------------------------
LEISURE, LODGING, AND ENTERTAINMENT: 0.7%
Brunswick 36,700 $1,146,875
Hasbro 32,700 927,863
MGM Grand* 23,700 876,900
Mirage Resorts* 12,700 320,675
Outboard Marine 30,100 534,275
Patriot American Hospitality 15,400 392,700
Sabre Group Holdings* 15,900 431,288
-------------
4,630,576
METALS AND MINING: 2.4%
Alcan Aluminum 19,100 662,531
Alcan Aluminum (Canada) 25,100 856,333
Allegheny Teledyne 22,300 602,100
Alumax* 53,274 2,021,072
Aluminum Co America 52,600 3,964,725
Inco, Ltd. 13,000 390,813
Inco, Ltd. (Canada) 31,700 947,177
Inland Steel 58,500 1,528,313
Kaiser Aluminum Corporation* 38,200 467,950
Lukens 18,200 342,388
Newmont Mining 44,700 1,743,300
Noranda (Canada) 20,100 433,143
Pechiney S.A. (France) 12,197 480,426
Phelps Dodge 7,300 621,869
USX-U.S. Steel Group 9,200 322,575
-------------
15,384,715
MISCELLANEOUS: 1.4%
AC Nielson 56,500 1,108,812
Aeroquip - Vickers 7,700 363,825
Block (H&R) 33,400 1,077,150
Brascan Ltd 12,300 302,888
Halliburton 28,600 2,266,550
Illinova 40,500 891,000
Jostens 18,700 493,213
Nordbanken AB (Sweden) 12,000 404,355
Olin 21,700 847,656
Omron (Japan) 20,000 424,176
Safety Kleen 45,800 772,875
-------------
8,952,500
PACKAGING AND CONTAINERS: 0.1%
Domtar 200 1,725
Domtar (Canada) 55,800 493,108
Owens-Illinois 8,300 257,300
-------------
752,133
PAPER AND FOREST PRODUCTS: 2.0%
Boise Cascade 42,700 1,507,844
Burlington Resources* 26,900 1,186,963
Champion International 40,900 2,259,725
Georgia-Pacific 14,200 1,212,325
Kimberly-Clark 63,800 3,174,050
Weyerhaeuser 71,500 3,718,000
-------------
13,058,907
REAL ESTATE: 0.5%
Boston Properties* 5,800 159,500
Equity Residential Properties 23,300 1,106,750
Fastighets AB Tornet (Sweden) 19,520 230,213
First Industrial Realty 8,800 257,400
Lennar Corporation 14,500 463,094
Liberty Property Trust 3,300 82,088
Macerich 14,700 407,925
Weeks 11,100 346,875
-------------
3,053,845
RETAIL: 5.3%
American Stores 13,700 676,438
Charming Shoppes 30,400 159,125
Coles Myer (Australia) 106,611 553,520
CVS Corporation 29,100 1,491,375
Number Market
of Shares Value
---------------------------------
Dayton Hudson 32,600 $1,733,913
Federated Department Stores* 60,200 2,091,950
Fingerhut 19,000 331,313
Footstar* 33,077 864,137
Harcourt General 33,200 1,581,150
Harsco 38,400 1,555,200
Limited 98,922 2,003,171
May Department Stores 21,200 1,001,700
Payless ShoeSource* 27,424 1,499,750
Public Storage 6,100 178,425
Sears,Roebuck 48,800 2,623,000
Tandy 27,100 1,517,600
TJX 109,640 2,891,755
Toys R Us* 58,100 2,033,500
Viad 83,800 1,613,150
Wal-Mart Stores 214,500 7,252,781
Woolworth* 10,100 242,400
-------------
33,895,353
TELECOMMUNICATIONS: 5.0%
Alcatel Alsthom (France) 24,440 3,060,562
Alltel 41,400 1,384,313
Ameritech 60,000 4,076,250
AT & T 8,700 305,044
BCE 3,600 100,800
BCE (Canada) 44,800 1,246,112
Bell Atlantic 40,900 3,103,288
BellSouth 88,000 4,081,000
Frontier 32,600 649,963
Lucent Technologies 5,999 432,303
MCI Communications 20,700 792,422
NYNEX 91,000 5,243,875
SBC Communications 43,100 2,666,813
Sprint 27,000 1,420,875
Telus (Canada) 48,500 890,569
WorldCom* 24,996 799,091
WorldCom 12,900 1,452,056
-------------
31,705,336
TEXTILES, APPAREL, AND FURNITURE: 0.5%
Burlington Industries 27,100 325,200
Kellwood 42,400 1,176,600
Steward & Stevens 17,000 443,063
Stride Rite 16,300 209,863
Unifi 35,700 1,334,288
-------------
3,489,014
TRANSPORTATION AND SHIPPING: 0.9%
CSX CORP 56,600 3,141,300
Norfolk Southern 23,600 2,377,700
-------------
5,519,000
UTLITIES: 2.8%
Alleghaney Power System 75,600 2,017,575
American Electric Power 65,100 2,734,200
Central Maine Power 48,800 603,900
Cinergy 43,000 1,496,938
Consolidated Edison of NY 20,700 609,356
DPL 44,000 1,083,500
DQE 5,000 141,250
Entergy 132,600 3,629,925
Manitoba Telecom Services (Canada) 22,700 241,708
National Grid Group plc (UK) 166,000 599,712
Niagara Mohawk Power* 82,200 703,838
Norwich Union plc (UK)* 62,500 330,889
Nova (Canada) 32,700 279,497
PacifiCorp 23,200 510,400
PECO Energy 14,000 294,000
PG&E 51,400 1,246,450
Unicom 9,300 206,925
Veba AG (Germany) 18,000 1,016,483
-------------
17,746,546
TOTAL COMMON STOCK: 92.0%
(Cost $428,472,183) 588,373,715
-------------
<PAGE>
Number Market
of Shares Value
---------------------------------
PREFERRED STOCKS:
Aetna 12,400 $1,162,500
Airtouch Communications 55,100 1,570,350
American Bankers Insurance 1,400 101,500
ARMCO 1,500 63,938
Atlantic Richfield 15,400 331,100
Automatic Com Exchange Sec. 17,800 427,200
Chiquita Brands 15,500 730,438
Chiquita Brands 7,300 423,400
Conseco 6,100 791,475
Evergreen Media 13,800 755,550
Hilton Hotels 17,300 436,825
Hollinger International 47,000 540,500
Host Marriott 5,000 294,375
International Paper 6,100 327,113
Kaiser Aluminum 26,500 298,125
Kmart Financing 24,700 1,352,325
Loral Space & Communications 17,000 850,000
MCM Financing 2,400 130,500
MCN CORP. 31,200 955,500
Merrill 6.25% IGL -Strypes 11,900 446,250
Occidental Petroleum 17,500 1,417,500
Saint Paul Capital 3,000 207,750
Sakura Finance 10 552,315
Salomon-Preferred 16,700 526,050
Time Warner Financing 25,400 1,066,800
TJX Companies 1,700 484,500
Tosco 3,200 178,400
U.S. West 21,000 795,375
Unocal Capital Trust 11,000 624,250
Vornado Realty Trust 12,400 657,200
Wang Laboratories-Series B 9,900 517,275
Wang Laboratories 10,700 559,075
Williams 3,600 378,000
-------------
TOTAL PREFERRED STOCKS: 3.1%
(Cost $16,928,046) 19,953,454
-------------
Maturity
REPURCHASE AGREEMENT: Amount
----------------
State Street Bank and Trust Co. repurchase
agreement, dated 6/30/97, 5.12%, maturing
7/1/97, collateralized by U.S. Treasury
Bonds 7.125%, 2/15/23 $14,881,000 14,881,000
-------------
TOTAL REPURCHASE AGREEMENT: 2.3%
(Cost $14,881,000) 14,881,000
-------------
TOTAL INVESTMENTS: 99.9%
(Cost $473,921,868) 638,890,055
-------------
Other Assets Over Liabilities: 0.1% 757,683
-------------
NET ASSETS: 100.0%
(Equivalent to $18.158 per share based on
35,227,215 shares issued and outstanding) $639,647,738
=============
GLOBAL ASSET ALLOCATION FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1997
INVESTMENTS:
Par Market
LONG-TERM DEBT INVESTMENTS: Amount** Value
---------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 11.2%
FDIC REMIC TRUST
6.75%, 7/15/26 $39,654 $39,537
FEDERAL HOME LOAN MORTGAGE
7.5%, 4/1/27 425,701 427,563
7.5%, 5/1/27 947,855 952,298
7.5%, 6/1/27 858,700 862,457
7.5%, 6/1/27 685,641 688,641
7.5%, 6/1/27 457,946 459,950
7.5%, 6/1/27 304,360 305,692
7.5%, 6/1/27 131,300 131,874
FEDERAL NATIONAL MORTGAGE ASSOCIATION
6.5%, 2/1/04 148,933 147,211
7.0%, 3/15/04 218,664 220,646
6.5%, 4/1/04 118,801 117,427
6.5%, 5/1/04 82,457 81,503
6.5%, 6/1/04 45,182 44,660
6.5%, 7/1/04 1,366,830 1,351,026
6.5%, 7/15/04 285,000 281,526
9.5%, 5/1/07 859,624 903,948
7.5%, 7/1/07 339,727 344,080
5.5%, 2/1/11 294,585 278,567
5.5%, 3/1/11 219,128 207,213
5.5%, 4/1/11 629,131 594,922
5.5%, 4/1/11 620,481 586,742
5.5%, 4/1/11 329,517 311,600
5.5%, 5/1/11 1,055,172 997,797
5.5%, 5/1/11 145,955 138,018
5.5%, 5/1/11 72,762 68,805
5.5%, 6/1/11 125,630 118,799
5.5%, 12/1/11 440,059 415,580
5.5%, 1/1/12 549,745 519,166
6.25%, 12/25/13 470,103 452,181
9.5%, 8/1/22 712,339 765,987
7.0%, 12/18/22 452,748 435,086
6.5%, 9/1/25 24,205 23,221
6.5%, 12/1/25 458,241 439,482
6.5%, 3/1/26 476,392 456,741
7.0%, 4/1/26 76,470 75,084
7.4%, 5/1/26 669,872 669,034
6.5%, 5/1/26 524,060 502,279
7.0%, 10/1/26 913,531 896,687
7.0%, 12/1/26 990,000 971,438
6.5%, 3/1/27 766,180 733,618
8.0%, 3/1/27 173,201 177,152
6.5%, 4/1/27 815,345 780,693
6.5%, 4/1/27 581,562 556,845
7.0%, 4/1/27 425,700 417,452
7.0%, 4/1/27 69,783 68,453
7.5%. 5/1/27 425,700 426,897
9.0%, 7/16/27 1,860,000 1,958,803
8.0%, 7/16/27 1,000,000 1,022,180
7.0%, 7/16/27 890,000 871,915
FICO CPN STRIP
0.0%, 4/6/06 600,000 329,142
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
9.625%, 3/1/07 25,000 25,375
10.0%, 6/15/13 532,327 585,227
11.0%, 12/15/15 65,534 72,887
11.0%, 12/15/15 53,878 59,923
11.0%, 12/15/15 3,740 4,160
7.0%, 5/15/23 767,817 758,460
7.5%, 11/15/25 702,259 706,429
7.5%, 12/15/25 266,561 268,144
7.0%, 1/15/26 476,228 469,085
7.0%, 2/15/26 712,133 701,228
7.0%, 2/15/26 495,537 487,949
7.0%, 2/15/26 435,670 428,999
6.5%, 3/15/26 5,520 5,284
<PAGE>
Par Market
Amount** Value
---------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
6.5%, 3/15/26 $3,528 $3,377
6.5%, 3/15/26 488 467
6.5%, 3/15/26 441 422
6.5%, 3/15/26 409 391
8.5%, 10/15/26 990,269 1,030,189
8.5%, 10/15/26 990,001 1,029,910
8.0%, 11/15/26 393,616 403,087
7.5%, 1/15/27 948,461 952,611
7.0%, 1/15/27 445,500 437,983
7.5%, 1/15/27 433,976 435,875
8.5%, 1/15/27 321,751 334,721
7.5%, 2/15/27 784,040 787,225
7.0%, 3/15/27 189,747 186,486
6.5%, 4/15/27 96 92
4.5%, 6/15/27 193,050 193,774
5.5%, 7/16/27 2,725,000 2,693,908
U.S. TREASURY BONDS
8.125%, 8/15/19 (+) 275,000 313,923
U.S. TREASURY NOTES
6.375%, 4/30/99 (+) 4,610,000 4,634,202
5.875%, 2/15/00 (+) 243,000 241,097
6.25%, 10/31/01 (+) 1,165,000 1,159,653
-------------
44,040,161
ASSET BACKED SECURITIES: 2.0%
AMLT 1997-2 A2
7.05% 5/25/21 685,000 688,639
Associates Manufactured
7.0%, 3/15/27 280,000 283,265
Capital Equipment Receivables Trust
6.28%, 6/15/00 180,000 179,985
Collateralized Mortgage Obligations
9.0%, 11/20/20 1,353,383 1,422,297
GE Capital Management Services
6.0%, 2/25/24 600,000 598,530
Greentree Financial
7.24%, 4/15/28 540,000 548,438
6.55%, 7/15/28 1,060,000 1,060,000
6.93%, 7/15/28 930,000 936,830
6.45%, 9/15/28 435,000 433,913
Premier Auto Trust
6.4%, 10/6/01 340,000 339,447
Residential Funding Mortgage
5.065%, 10/25/08 600,000 595,301
Salomon Brothers Mortgage Securities
6.9%, 1/18/23 365,000 367,059
Standard Credit Card Master Trust I
6.75%, 6/7/00 420,000 423,282
-------------
7,876,986
AEROSPACE AND DEFENSE: 0.1%
BE Aerospace
9.875%, 2/1/06 65,000 67,356
L-3 Comms.
10.375%, 5/1/07 20,000 21,300
Lockheed Martin
7.25%, 5/15/06 410,000 415,125
Sequa
9.375%, 12/15/03 5,000 5,119
Tracor
8.50%, 3/1/07 5,000 5,000
-------------
513,900
AUTOMOBILE AND AUTO EQUIPMENT: 0.4%
Exide
2.9%, 12/15/05 5,000 3,138
Ford Motor Credit
7.0%, 9/25/01 1,410,000 1,424,100
Harvard Industries
11.125%, 8/1/05 10,000 4,050
Lear
9.5%, 7/15/06 50,000 53,375
Par Market
Amount** Value
---------------------------------
Motors and Gears
10.75%, 11/15/06 $40,000 $41,450
Titan Wheel International
8.75%, 4/1/07 10,000 10,200
-------------
1,536,313
BANKING, FINANCE, AND INSURANCE: 1.9%
Aames Financial
9.125%, 11/1/03 45,000 45,900
Aegon NV
8.0%, 8/15/06 770,000 812,350
AFC Capital Trust I
8.207%, 2/3/27 230,000 232,875
AIM Management
9.0%, 11/15/03 50,000 53,313
Banponce
7.125%, 5/2/02 350,000 352,188
Chevy Chase Bank
9.25%, 12/1/05 50,000 50,250
Colonial Capital
8.92%, 1/15/27 35,000 35,700
Dime Capital Trust I
9.33%, 5/6/27 15,000 15,544
Dollar Financial Group
10.875%, 11/15/06 20,000 21,450
Empress River Casino Finance
10.75%, 4/1/02 40,000 42,950
ESAT Holdings
0.0%, 2/1/07 75,000 45,563
First Financial Caribbean
7.84%, 10/10/06 140,000 139,475
First Nationwide Holdings
12.5%, 4/15/03 50,000 56,250
10.625%, 10/1/03 40,000 44,200
General Motors Acceptance
6.4%, 5/19/99 710,000 711,775
Greenpoint Capital Trust
9.1%, 6/1/27 15,000 15,300
Imperial Credit Capital Trust I
10.25%, 6/14/02 30,000 30,038
Imperial Credit Industries
9.875%, 1/15/07 35,000 34,913
Intertek Finance
10.25%, 11/1/06 35,000 36,313
Korean Development Bank
7.9%, 2/1/02 200,000 209,500
Lehman Brothers Holdings
6.4%, 12/27/99 320,000 319,200
Merita Bank Ltd
6.5%, 1/15/06 565,000 537,456
Ministry Finance of Russia
9.25%, 11/27/01 238,000 239,785
NationsBank Corp.
6.5%, 3/15/06 270,000 259,538
North Fork BanCorporation
8.7%, 12/15/26 10,000 10,038
Ocwen Federal Bank
12.0%, 6/15/05 5,000 5,469
Ocwen Financial
11.875%, 10/1/03 5,000 5,475
Orange Cogen Funding
8.175%, 3/15/22 110,000 112,431
Phoenix Home Life Mutual
6.95%, 12/1/06 315,000 306,731
Polysindo International Finance
11.375%, 6/15/06 40,000 44,000
Provident Capital Trust I
8.6%, 12/1/26 35,000 34,388
PRT Funding
11.625%, 4/15/04 40,000 32,400
Quebec Province
7.125%, 2/9/24 770,000 724,763
Radnor Holdings
10.0%, 12/1/03 5,000 5,063
<PAGE>
Par Market
Amount** Value
---------------------------------
Reliance Group Holdings
9.75%, 11/15/03 $30,000 $31,538
Riggs Capital Trust
8.625%, 12/31/26 35,000 34,606
Salomon
7.0%, 5/15/99 260,000 262,600
7.3%, 5/15/02 395,000 398,456
Sampoerna International Finance
8.375%, 6/15/06 475,000 480,938
Southern Investments UK
6.8%, 12/1/06 195,000 190,369
Sovereign Capital Trust
9.0%, 4/1/27 20,000 19,975
Stand Master Trust
8.875%, 7/7/98 400,000 411,760
State Development Bank of China
7.375%, 2/1/07 125,000 125,000
Webster Capital Trust I
9.36%, 1/29/27 5,000 5,169
-------------
7,582,995
BUILDING AND MATERIALS: 0.1%
Atruim
10.5%, 11/15/06 5,000 5,150
Building Materials
8.625%, 12/15/06 5,000 5,125
Continental Homes Holdings
10.0%, 4/15/06 35,000 36,663
JCAC
10.125%, 6/15/06 50,000 53,500
MCII Holdings
0.0%, 11/15/02 65,000 56,144
Presley Companies
12.5%, 7/1/01 35,000 35,263
Southdown
10.0%, 3/1/06 25,000 27,313
Williams Scotsman
9.875%, 6/1/07 15,000 15,038
-------------
234,196
CABLE, MEDIA, AND PUBLISHING: 0.6%
Allbritton
11.5%, 8/15/04 15,000 15,806
American Media Operation
11.625%, 11/15/04 50,000 54,688
Argly Television
9.75%, 11/1/05 90,000 93,825
Cablevision Systems
9.25%, 11/1/05 10,000 10,400
Century Communications
9.5%, 3/1/05 50,000 51,500
Chancellor Broadcasting
9.375%, 10/1/04 5,000 5,200
Citadel Broadcasting
10.25%, 7/1/07 20,000 20,000
Comcast
9.5%, 1/15/08 50,000 53,000
Commodore Media
7.5%, 5/1/03 90,000 98,100
Gray Communications System
10.625%, 10/1/06 5,000 5,363
Heartland Wireless
14.0%, 10/15/04 20,000 8,200
Herff Jones
11.0%, 8/15/05 45,000 48,825
Hollinger International Publishing
8.625%, 3/15/05 20,000 20,400
9.25%, 3/15/07 20,000 20,450
Jones Intercable
9.625%, 3/15/02 100,000 104,750
10.5%, 3/1/08 65,000 70,525
Marcus Cable
0.0%, 8/1/04 50,000 43,500
11.875%, 10/1/05 70,000 75,775
Par Market
Amount** Value
--------------------------------
MFS Communications
0.0%, 1/15/06 $95,000 $74,813
News America Holdings
7.7%, 10/30/25 665,000 629,256
Outdoor Systems
8.875%, 6/15/07 50,000 48,750
Pegasus Media
12.5%, 7/1/05 50,000 55,125
Radio One
7.0%, 5/15/04 5,000 4,456
SFX Broadcasting
10.75%, 5/15/06 85,000 93,075
Sinclair Broadcast Group
10.0%, 9/30/05 75,000 77,813
Spanish Broadcasting System
11.0%, 3/15/04 30,000 31,650
Sullivan Broadcasting
10.25%, 12/15/05 75,000 77,625
TCI Satellite
10.875%, 2/15/07 65,000 65,325
Time Warner
8.875%, 10/1/12 360,000 397,350
Universal Outdoor
9.75%, 10/15/06 55,000 57,063
Viacom
8.0%, 7/7/06 55,000 53,763
Von Hoffman Press
10.375%, 5/15/07 15,000 15,600
Young Broadcasting
11.75%, 11/15/04 5,000 5,525
-------------
2,487,496
CHEMICALS: 0.1%
Astor
10.5%, 10/15/06 15,000 16,013
Freedom Chemical
10.625%, 10/15/06 10,000 10,325
Harris Chemical
10.75%, 10/15/03 50,000 51,375
ISP Holdings
9.75%, 2/15/02 45,000 47,981
NL Industries
0.0%, 10/15/05 40,000 37,900
Sterling Chemical Holdings
0.0%, 8/15/08 40,000 26,500
-------------
190,094
COMPUTERS AND TECHNOLOGY: 0.1%
Millipore
7.2%, 4/1/02 285,000 287,824
Nextlink Communications
12.5%, 4/15/06 50,000 53,250
Real Time Data
13.5%, 8/15/06 2,000 1,080
Wright Medical Technology
10.75%, 7/1/00 90,000 88,650
-------------
430,804
CONSUMER PRODUCTS AND SERVICES: 0.1%
Capstar
12.75%, 2/1/09 85,000 54,825
E&S Holdings
10.375%, 10/1/06 10,000 10,500
French Fragrance
10.375%, 5/15/07 15,000 15,488
Inter City Products
9.75%, 3/1/00 35,000 35,963
Revlon Worldwide
0.0%, 3/15/01 50,000 33,875
United Stationer Supply
12.75%, 5/1/05 10,000 11,200
William Carter Holdings
12.0%, 10/1/0 25,000 26,313
-------------
188,164
<PAGE>
Par Market
Amount** Value
--------------------------------
ELECTRICAL AND ELECTRONICS: 0.1%
Fairchild Semiconductor
10.125%, 3/15/07 $65,000 $68,900
0.0%, 3/14/08 30,000 31,350
HCC Industries
10.75%, 5/15/07 20,000 21,050
Health O Meter
13.0%, 5/15/02 100,000 108,000
National Semiconductor
6.5%, 10/1/02 10,000 10,513
Pagemart Nationwide
0.0%, 2/1/05 30,000 22,650
Pricellular Wire
0.0%, 11/15/01 50,000 52,188
Sygnet Wireless
11.5%, 10/1/06 15,000 15,056
VLSI Technology
8.25%, 10/1/05 20,000 19,950
Wavetek
10.125%, 6/15/07 10,000 10,150
-------------
359,807
ENERGY: 0.1%
Abraxas Petroleum
11.5%, 11/1/04 30,000 32,925
Chesapeake Energy
9.125%, 4/15/06 50,000 50,125
Costilla Energy
10.25%, 10/1/06 10,000 10,400
Kelley Oil & Gas
10.375%, 10/15/06 15,000 15,638
Maxus Energy
10.83%, 9/1/04 45,000 51,525
Pride Petroleum Services
9.375%, 5/1/07 20,000 20,800
Snyder Oil
8.75%, 6/15/07 15,000 15,000
Transamerican Energy
0.0%, 6/15/02 195,000 141,375
11.5%, 6/15/02 80,000 78,000
Transtexas Gas
13.25%, 12/31/03 257,000 140,386
Wiser Oil
9.5%, 5/15/07 15,000 15,075
-------------
571,249
ENVIRONMENTAL SERVICES: 0.6%
Allied Waste Industries
10.25%, 12/1/06 25,000 27,000
0.0%, 6/1/07 60,000 37,200
Columbia Gas Systems
7.32%, 11/28/10 500,000 491,875
El Paso Natural Gas
7.5%, 11/15/26 155,000 152,094
Lasmo
7.5%, 6/30/06 200,000 204,500
Petroleum Geo-Services
7.5%, 3/31/07 175,000 176,531
Ras Laffan Liquified Natural Gas
7.628%, 9/15/06 175,000 178,281
8.294%, 3/15/14 90,000 94,275
WMX Technologies
7.1%, 8/1/26 990,000 1,003,613
-------------
2,365,369
FOOD, BEVERAGE, AND TOBACCO: 0.3%
Canandaigua Wine
8.75%, 12/15/03 5,000 5,031
Chiquita Brands
9.625%, 1/15/04 50,000 52,188
Mafco
11.875%, 11/15/02 10,000 10,813
MBW Foods
9.875%, 2/15/07 20,000 20,650
Par Market
Amount** Value
--------------------------------
Philip Morris
7.5%, 1/15/02 $405,000 $412,594
7.75%, 1/15/27 355,000 347,900
Ralphs Grocery
11.0%, 6/15/05 5,000 5,475
RJR Nabisco
8.75%, 8/15/05 115,000 116,294
Southland
5.0%, 12/15/03 100,000 84,875
Windy Hill Pet Food
9.75%, 5/15/07 5,000 5,088
-------------
1,060,908
FOREIGN GOVERNMENT: 7.3%
Australia (Commonwealth)
9.75%, 3/15/02 1,240,000 1,059,378
Australian Government
6.75%, 11/15/06 880,000 652,686
Bonos Y Oblig Del Estado (Spain)
9.4%, 4/30/99 215,170,000 1,567,202
7.9%, 2/28/02 105,400,000 783,384
Buoni Poliennali Del Tes (Italy)
6.25%, 3/1/02 3,580,000,000 2,112,925
Canada (Government of)
5.5%, 9/1/02 3,025,000 2,166,286
Comp Nav Perez
9.0%, 1/30/04 35,000 36,313
France (Government of)
5.5%, 10/12/01 20,810,000 3,689,099
German Unity Fund
8.0%, 1/21/02 3,620,000 2,365,738
Germany (Federal Republic of)
6.0%, 1/4/07 3,600,000 2,118,618
Italy (Republic of)
7.75%, 9/15/01 2,855,000,000 1,769,515
Kingdom of Denmark
8.0%, 11/15/01 4,300,000 727,032
8.0%, 3/15/06 2,895,000 490,612
Mexico
6.82%, 12/31/19 311,000 286,120
NYKREDIT (Denmark)
7.0%, 10/1/26 3,300,000 486,894
South Africa (Republic of)
13.0%, 8/31/10 915,000 184,698
Sweden (Kingdom of)
5.5%, 4/12/02 5,900,000 744,474
United Kingdom Treasury
6.0%, 8/10/99 955,000 1,563,102
7.0%, 6/7/02 2,110,000 3,499,660
7.5%, 12/7/06 1,395,000 2,316,660
-------------
28,620,396
HEALTHCARE AND PHARMACEUTICALS: 0.4%
Columbia/HCA Healthcare
6.91%, 6/15/05 265,000 262,350
Dade International
11.125%, 5/1/06 50,000 55,750
Fresensius Medical
9.0%, 12/1/06 50,000 51,250
Frontiervision
11.0%, 10/15/06 15,000 15,750
Genesis Health Ventures
9.25%, 10/1/06 55,000 56,925
Icon Fitness
14.0%, 11/15/06 60,000 32,625
Imed
9.75%, 12/1/06 50,000 50,875
Integrated Health Services
9.5%, 9/15/07 70,000 72,275
Manor Care
7.5%, 6/15/06 285,000 289,631
National Health
7.3%, 7/15/07 565,000 563,028
<PAGE>
Par Market
Amount** Value
---------------------------------
Paracelsus Healthcare
10.0%, 8/15/06 $60,000 $61,500
Prime Hospitality
9.25%, 1/15/06 50,000 51,875
9.75%, 4/1/07 40,000 41,600
Tenet Healthcare
8.625%, 1/15/07 10,000 10,275
-------------
1,615,709
INDUSTRIAL MACHINERY: 0.1%
Foamex
9.875%, 6/15/07 15,000 15,450
Hawk
10.25%, 12/1/03 5,000 5,175
Millenium America
7.0%, 11/15/06 260,000 254,800
Pioneer Americas Acquisition
9.25%, 6/15/07 15,000 14,869
POGO Producing
8.75%, 5/15/07 5,000 5,031
Remington Product
11.0%, 5/15/06 75,000 66,375
Terex
13.25%, 5/15/02 45,000 50,513
ViaSystems
9.75%, 6/1/07 5,000 5,125
Waxman Industries
0.0%, 6/1/04 5,000 4,250
-------------
421,588
LEISURE, LODGING AND ENTERTAINMENT: 0.5%
ACT III Theatres
11.875%, 2/1/03 75,000 81,281
Alliance Gaming
12.875%, 6/30/03 75,000 84,750
AMC Entertainment
9.5%, 3/15/09 45,000 46,688
Argosy Gaming
12.0%, 6/1/01 100,000 75,750
Aztar
13.75%, 10/1/04 50,000 57,250
Casino Magic Louisiana
13.0%, 8/15/03 10,000 8,825
Cinemark
9.625%, 8/1/08 75,000 76,688
Coast Hotels & Casino
13.0%, 12/15/02 65,000 72,556
Cobb Theatres
10.625%, 3/1/03 50,000 54,938
Colorado Gaming
0.0%, 6/1/03 75,000 74,906
Hollywood Casino
12.75%, 11/1/03 75,000 80,063
Host Mar Travel Plaza
9.5%, 5/15/05 55,000 57,613
John Q. Hammons Hotels
8.875%, 2/15/04 50,000 50,813
Lady Luck Gaming
11.875%, 3/1/01 50,000 50,813
Mohegan Tribal Gaming
13.5%, 11/15/02 45,000 59,119
Premier Parks
12.0%, 8/15/03 50,000 55,563
9.75%, 1/15/07 100,000 104,250
Six Flags Theme Parks
0.0%, 6/15/05 50,000 51,000
Time Warner Entertainment
7.25%, 9/1/08 770,000 757,488
-------------
1,900,354
METALS AND MINING: 0.4%
AK Steel
9.125%, 12/15/06 65,000 66,950
Continental Global Group
11.0%, 4/1/07 30,000 31,538
Par Market
Amount** Value
---------------------------------
Noranda
7.0%, 7/15/05 $565,000 $553,700
Potash Corp. Saskatchewan
7.125%, 6/15/07 725,000 724,094
WCI Steel
10.0%, 12/1/04 50,000 51,875
Wells Aluminum
10.125%. 6/1/05 5,000 5,194
-------------
1,433,351
MISCELLANEOUS: 0.8%
Affinity Group Holding
11.0%, 4/1/07 50,000 52,750
Banco Nacional De Comm Ext Snc
11.25%, 5/30/06 75,000 84,563
Bulgaria
6.563%, 7/28/11 330,000 228,938
Coinmach
11.75%, 11/15/05 5,000 5,544
Del Monte
12.25%, 4/15/07 10,000 10,850
Falcon Holdings Group L.P.
0.0%, 9/15/03 55,000 54,038
Genesco
10.375%, 2/1/03 20,000 20,375
Glenoit
11.0%, 4/15/07 15,000 15,806
Graphic Controls
12.0%, 9/15/05 45,000 49,613
Hedstrom Holdings
10.0%, 6/1/07 15,000 15,300
0.0%, 6/1/09 500 2,975
Howmet
10.0%, 12/1/03 50,000 54,000
Integrated Device Technology
5.5%, 6/1/02 20,000 17,175
International Wire Group
11.75%, 6/1/05 40,000 43,750
Iron Mountain
10.125%, 10/1/06 10,000 10,700
Loomis Fargo & Co
10.0%, 1/15/04 15,000 15,300
McLeod
0.0%, 3/1/07 65,000 41,438
Midland Funding II
11.75%, 7/23/05 80,000 92,600
Mothers Work
12.625%, 8/1/05 25,000 25,656
N.J Economic Development Authority
7.425%, 2/15/29 730,000 731,752
OrbComm Global
14.0%. 8/15/04 50,000 50,875
Outsourcing Solutions
11.0%, 11/1/06 20,000 21,650
Parker Drilling
9.75%, 11/15/06 35,000 36,575
Petroliam Nasional Berhad
7.625%, 10/15/26 685,000 685,856
Pierce Leahy
11.125%, 7/15/06 5,000 5,500
Players International
10.875%, 4/15/05 25,000 25,813
Polymer Group
9.0%, 7/1/07 20,000 19,678
Premium Standard Farms
11.0%, 9/17/03 10,000 10,900
Railcar Leasing
6.75%, 7/15/06 681,060 676,804
Sassco Fashions
12.75%, 12/31/03 25,000 26,250
Soc Quimica Y Minera De
7.7%, 9/15/06 120,000 121,650
<PAGE>
Par Market
Amount** Value
---------------------------------
W.R. Carpenter North America
10.625%, 6/15/07 $10,000 $10,050
Webb
9.75%, 1/15/08 35,000 35,788
-------------
3,300,512
PACKAGING AND CONTAINERS: 0.1%
Gaylord Container
11.5%, 5/15/01 75,000 78,656
Ivex Packaging
12.5%, 12/15/02 50,000 53,688
Owens-Illinois
8.1%, 5/15/07 25,000 25,500
Stater Brothers
11.0%, 3/1/01 5,000 5,413
Stone Container
11.5%, 8/15/06 10,000 10,438
U.S. Can
10.125%, 10/15/06 15,000 16,013
-------------
189,708
PAPER AND FOREST PRODUCTS: 0.1%
Boise Cascade
7.35%, 2/1/16 90,000 85,163
Florida Coast Paper
12.75%, 6/1/03 45,000 46,688
MAXXAM Group Holdings
12.0%, 8/1/03 10,000 10,325
Repap,Wisconsin
9.875%, 5/1/06 50,000 50,500
Riverwood International
10.875%, 4/1/08 5,000 4,500
Stone Container
11.5%, 10/1/04 30,000 31,575
-------------
228,751
REAL ESTATE: 0.0%
Brooks Fiber Properties
0.0%, 3/1/06 45,000 30,713
10.0%, 6/1/07 25,000 25,438
-------------
56,151
RETAIL: 0.2%
Adams Outdoor Advertising
10.75%, 3/15/06 50,000 53,625
Affinity Group
11.5%, 10/15/03 75,000 80,625
Ameriking
10.75%, 12/1/06 10,000 10,513
Brylane L.P.
10.0%, 9/1/03 35,000 37,013
Corporate Express
9.125%, 3/15/04 50,000 49,938
FRD Acquisition
12.5%, 7/15/04 10,000 10,675
Lamar Advertising
9.625%, 12/1/06 85,000 87,338
Loehmann's
11.875%, 5/15/03 25,000 25,750
Outdoor Systems
9.375%, 10/15/06 5,000 5,050
Rite Aid
6.7%, 12/15/01 115,000 114,569
Sears Roebuck Acceptance
6.15%, 11/15/05 250,000 246,563
Specialty Retailers
8.5%, 7/15/05 5,000 5,038
-------------
726,697
TELECOMMUNICATIONS: 0.9%
Adelphia Communications
9.5%, 2/15/04 10,000 9,675
Advanced Radio Telecom
14.0%, 2/15/07 65,000 65,975
Par Market
Amount** Value
---------------------------------
AirTouch Communications
7.125%, 7/15/01 $380,000 $383,800
American Communication Services
0.0%, 11/1/05 80,000 46,800
0.0%, 4/1/06 20,000 11,000
American Telecasting
14.5%, 8/15/05 100,000 27,500
Arch Communications
0.0%, 3/15/08 40,000 21,100
Capstar Broadcasting
9.25%, 7/1/07 50,000 48,875
Cencall Communications
0.0%, 1/15/04 5,000 4,013
Centennial Cellular
8.875%, 11/1/01 90,000 90,225
Comcast Cellular
9.5%, 5/1/07 60,000 60,900
Compania Telecom Chile
7.625%, 7/15/06 1,060,000 1,089,150
Dobson Communications
11.75%, 4/15/07 55,000 53,900
Echostar Communications
0.0%, 6/1/04 40,000 33,800
GlobalStar
11.375%, 2/15/04 50,000 50,375
Granite Broadcasting
12.75%, 9/1/02 35,000 37,669
GST USA
0.0%, 12/15/05 45,000 27,338
Hyperion Telecommunication
0.0%, 4/15/03 60,000 31,350
Intelcom Group USA
0.0%, 5/1/06 60,000 40,050
Intercel
0.0%, 2/1/06 80,000 46,400
Intermedia Communications of Florida
0.0%, 5/15/06 75,000 52,500
ITC Deltacom
11.0%, 6/1/07 35,000 35,963
JACOR Communications
9.75%, 12/15/06 5,000 5,288
Lenfest Communication
10.5%, 6/15/06 50,000 54,500
Metrocall
10.375%, 10/1/07 30,000 27,600
MFS Communucations
0.0%, 1/15/04 85,000 78,838
Mobile Telecommunications
13.5%, 12/15/02 30,000 31,950
Nextel Communications
0.0%, 8/15/04 250,000 193,125
OmniPoint
11.625%, 8/15/06 30,000 28,500
Pronet
11.875%, 6/15/05 25,000 24,750
Teleport Communications
0.0%, 7/1/07 30,000 21,713
Ucar Global Enterprises
12.0%, 1/15/05 30,000 33,975
US West Capital Funding
6.95%, 1/15/37 620,000 620,775
Winstar Communications
0.0%, 10/15/05 80,000 48,800
Winstar Equipment
12.5%, 3/15/04 30,000 29,363
Wireless One
13.0%, 10/15/03 40,000 24,800
-------------
3,492,335
TEXTILES AND FURNITURE: 0.0%
Celestica International
10.5%, 12/31/06 25,000 27,000
<PAGE>
Par Market
Amount** Value
---------------------------------
Clark-Schwebel
10.5%, 4/15/06 $45,000 $48,038
Guess
9.5%, 8/15/03 5,000 5,106
-------------
80,144
TRANSPORTATION AND SHIPPING: 0.4%
Atlantic Express
10.75%, 2/1/04 10,000 10,438
Blue Bird Body
10.75%, 11/15/06 25,000 26,750
Chemical Leaman
10.375%, 6/15/05 10,000 10,225
Coach USA
9.375%, 7/1/07 20,000 20,150
Continental Airlines
7.42%, 10/1/08 100,000 100,668
CSX Transportation
7.95%, 5/1/27 315,000 325,890
Newport News
8.625%, 12/1/06 60,000 61,800
9.25%, 12/1/06 55,000 57,338
Norfolk Southern
6.95%, 5/1/02 400,000 402,868
7.8%,5/15/07 400,000 409,808
7.05%, 5/1/37 305,000 309,575
Viking Star Shipping
9.625%, 7/15/03 5,000 5,256
-------------
1,740,766
UTILITIES: 0.4%
AES
9.75%, 6/15/00 75,000 77,906
Arizona Public Service
6.75%, 11/15/06 135,000 131,456
Cleveland Electric
9.5%, 5/15/05 30,000 32,475
CMS Energy
8.125%, 5/15/02 30,000 30,188
Connecticut Light & Power
7.875%, 6/1/01 210,000 213,675
El Pase Electric
9.4%, 5/1/11 10,000 10,738
Enersis SA
7.4%, 12/1/16 735,000 707,438
Illinova
7.125%, 2/1/04 80,000 79,300
Jersey Central Power & Light
6.85%, 11/27/06 115,000 114,425
Long Island Lighting
9.0%, 11/1/22 45,000 49,388
Niagara Mohawk Power
9.95%, 6/1/00 50,000 50,000
5.875%, 9/1/02 50,000 46,313
Northeast Utilities
8.38%, 3/1/05 36,800 36,156
8.58%, 12/1/06 14,277 13,885
-------------
1,593,343
TOTAL LONG-TERM DEBT INVESTMENTS: 29.3%
(Cost $114,298,441) 114,838,247
-------------
Number
of Shares
COMMON STOCKS: -----------------
AEROSPACE AND DEFENSE: 1.3%
Boeing 16,700 886,144
Micrel* 1,900 96,425
Northrop 10,130 889,541
Remec* 5,925 137,016
Textron 18,400 1,221,300
United Technologies 24,050 1,996,150
-------------
5,226,576
Number Market
of Shares Value
--------------------------------
AUTOMOBILES AND AUTO PARTS: 2.0%
Bayerische Motoren Werke (BMW) AG (Germany 835 $688,393
Bridgestone (Japan) 9,000 208,946
Cooper Industries 17,110 851,223
Dana 18,745 712,310
Edaran Otmobil Nasional BHD (Malaysia) 7,000 59,604
Ford Motor 22,515 849,941
General Motors 18,630 1,037,458
General Motors Class H 13,460 777,315
Good Year Tire and Rubber 12,560 795,205
Lear* 13,445 596,622
Michelin (France) 7,440 446,732
Miller Industries* 10,500 168,000
Penske Motorsports* 3,000 97,688
Tenneco 15,550 702,666
-------------
7,992,103
BANKING, FINANCE, AND INSURANCE: 11.0%
ABN AMRO Holdings N.V. (Netherlands) 21,316 397,334
Ahmanson (H.F.) & Co. 20,130 865,590
Allied Irish Banks (Ireland) 55,363 425,736
AmeriTrade Holding-Class A* 1,800 28,238
American Express 28,000 2,086,000
American General 19,740 942,585
American International Group* 10,000 1,493,750
Aon 20,645 1,068,379
Banc One 40,915 1,981,820
Banco Frances Del Rio Plata (Argentina) 10,000 108,716
Bank of Boston 1,400 100,888
Bank of Ireland (Ireland) 38,222 420,098
Bank of Nova Scotia (Canada) 4,900 214,733
BankAmerica 32,200 2,078,913
Bankers Trust New York 9,690 843,030
Barnett Banks* 25,000 1,312,500
Beneficial 6,760 480,383
Cetelem (France) 2,116 266,062
Cigna 2,010 356,775
Citicorp 20,400 2,459,475
Comerica 10,600 720,800
Commonwealth Bank of Australia (Australia) 18,000 217,022
Conseco 28,600 1,058,200
Credit Local de France (France) 3,054 297,226
Dao Heng Bank Group Ltd. (Hong Kong) 40,000 218,923
Development Bank of Singapore (Singapore) 12,000 151,081
Dresdner Bank AG (Germany) 11,900 416,850
First Tennessee National Corporation 4,570 220,201
Fleet Financial Group 19,067 1,205,988
Franklin Resources 13,200 957,825
Guoco Group (Hong Kong) 32,000 168,530
HCC Insurance Holdings 6,075 162,127
HSBC Holdings (Hong Kong) 20,972 630,757
Huntington Bancshares 7,270 214,011
Ing Groep N.V. (Netrherlands) 10,660 491,332
Julius Baer Holding AG (Switzerland) 160 244,755
KeyCorp 13,960 780,015
Malayan Banking Berhad (Malaysia) 14,000 146,931
MBNA 41,475 1,519,022
Mellon Bank 10,880 490,960
Mercantile Bancorporation 6,040 366,930
Metris 2,400 78,675
MGIC Investment 10,600 508,138
Morgan (J.P.) 15,420 1,609,506
Old Kent Financial 4,473 241,262
Oxford Health Plans* 11,100 796,772
PNC Financial Group 38,240 1,591,740
Promise (Japan) 3,000 171,765
Regions Financial 10,060 318,776
Reinsurance Group of America 2,300 132,250
Salomon 11,350 631,344
SCHW Ruckversicher (Switzerland) 362 517,833
SCHW Ruckversicher (Switzerland) 37 52,295
Schweizerische Bankgesellschaft (Switzerla 526 601,225
Skandia Forsakrings AB (Sweden) 2,790 103,052
Summit Bancorp 8,690 435,586
<PAGE>
Number Market
of Shares Value
---------------------------------
Sungei Way Holdings Berhad (Malaysia) 46,000 $86,717
Travelers Group 32,065 2,022,099
Union Planters 8,890 461,169
United Overseas Bank (Singapore) 18,000 185,074
USF&G 44,490 1,067,760
Washington Mutual 35,900 2,146,147
Westpac Banking (Australia) 81,300 488,271
-------------
42,857,947
BUILDING AND MATERIALS: 0.5%
Armstrong World Industries 11,330 831,339
Barnett 3,400 83,300
Cemex,S.A. de C.V. (Mexico) 56,400 241,724
CRH (Ireland) 48,117 504,782
Daikin Industries (Japan) 16,000 145,232
IHC Caland (Netherlands) 6,600 360,672
-------------
2,167,049
CABLE, MEDIA, AND PUBLISHING: 1.6%
Dai Nippon Printing (Japan) 21,000 474,744
Evergreen Media Class A* 4,800 213,900
Gannett 21,400 2,113,250
Granite Broadcasting* 5,300 53,663
HBO 15,800 1,088,225
JPM* 2,900 104,038
Lamar Advertising* 4,000 102,500
McGraw-Hill 16,195 952,468
SFX Broadcasting-Class A* 1,850 77,873
Sinclair Broadcasting Group* 1,400 43,050
Ultratech Stepper* 4,850 110,792
Westinghouse Electric 31,400 726,125
Young Broadcasting Class A* 2,525 82,694
-------------
6,143,322
CHEMICALS: 2.1%
Akzo Nobel (Netherlands) 3,215 440,456
Bayer AG (Germany) 14,785 569,616
Ciba Specialty Chemicals (Switzerland)* 4,633 428,086
DuPont(E.I.)deNemours 35,280 2,218,230
Eastman Chemical 14,080 894,080
Hercules 12,445 595,804
Praxair 23,900 1,338,400
Sekisui Chemical (Japan) 16,000 161,990
Shin-Etsu Chemical (Japan) 23,000 610,255
Witco 28,800 1,092,600
-------------
8,349,517
COMPUTERS AND TECHNOLOGY: 4.7%
Analysts International* 3,600 120,600
Aris* 300 6,488
Aspect Development* 1,400 36,444
Black Box* 6,300 253,378
BMC Software 21,500 1,191,906
BTG 3,500 52,063
CFM Technologies* 3,600 117,675
Claremont Technology Group* 2,500 59,063
Compaq Computer* 11,500 1,141,375
Computer Associates International 42,095 2,344,165
Computer Horizons* 7,808 266,919
Computer Learning Centers* 8,100 339,188
Computer Task Group 4,800 178,800
Concord EFS* 3,814 99,402
Cotelligent Group* 6,000 81,000
Data Processing Resources* 3,400 79,475
Dell Computer* 3,900 457,884
Discreet Logic* 8,900 146,850
Elexsys International* 9,000 151,313
EMC* 23,700 924,300
Harbinger 2,700 75,938
Hewlett-Packard 18,640 1,043,840
Igen International* 3,100 23,638
Information Management Resources* 1,600 73,100
International Business Mach 20,860 1,881,311
Jabil Circuit 1,000 83,625
Keane* 5,300 275,600
Number Market
of Shares Value
---------------------------------
Micro Linear 4,800 $49,800
Microsoft* 21,800 2,757,019
National Techteam* 3,900 83,119
NCR 22,840 679,490
Parametric Technology* 17,800 757,056
PeopleSoft 24,200 1,275,038
Peregrine Systems* 5,300 79,831
PMC - Sierra* 7,100 185,931
PMT Services* 6,200 94,356
Raptor Systems* 4,400 49,087
Registry* 1,300 59,963
RWD Technologies* 500 8,719
SDL* 6,000 114,750
Splash Technology Holdings* 4,800 173,400
SPSS* 3,600 105,750
Summit Design* 3,700 29,600
Syke Enterprises 3,150 81,506
Technology Solutions* 6,450 254,372
Videoserver 8,200 108,650
-------------
18,452,777
CONSUMER PRODUCTS AND SERVICES: 4.9%
Avon Products 11,000 776,187
B.A.T. Industries plc (UK) 67,460 603,670
Blyth Industries* 5,400 182,250
Clorox 7,000 924,000
Colgate-Palmolive 13,440 876,960
Eastman Kodak 19,950 1,531,163
Electrolux AB (Sweden) 3,535 255,641
Equity* 6,350 153,591
Fuji Photo Film (Japan) 12,000 482,828
General Electric 44,800 2,928,800
Gillete 12,300 1,165,425
Home Products International* 5,800 57,638
Kao (Japan) 35,000 485,708
Magna International, Class A 300 18,056
Magna International, Class A (Canada) 4,100 246,496
Masco 23,885 997,199
Minnesota Mining & Manufacturing 17,380 1,772,760
Polaroid 28,940 1,606,170
Procter & Gamble 15,300 2,161,125
Racing Champions* 3,100 47,856
Sara Lee 38,680 1,610,055
TDK (Japan) 2,000 146,803
Weider Nutrition International 4,600 73,025
-------------
19,103,406
ELECTRICAL AND ELECTRONICS: 4.5%
ABB AB, "A" (Sweden) 1,415 19,897
ABB AG (Switzerland) 260 393,279
Act Manufacturing* 5,200 217,750
Advanced Lighting Technologies* 7,300 186,150
Anadigics* 1,500 46,688
Applied Materials* 10,500 743,203
Benchmark Microelectronics* 1,500 26,063
Canon Electronics (Japan) 26,000 708,008
Chicago Miniature Lamp 2,000 50,000
CP Clare* 5,675 88,672
Credence Systems* 6,825 204,537
Eaton 7,865 686,713
Electromagnetic Sciences 900 15,638
Flextronics International* 4,500 120,656
General Electric (UK) 67,814 405,311
Hadco* 3,400 221,850
Integrated Circuit Systems* 5,300 119,913
Intel 10,525 1,490,274
Motorola 34,845 2,648,220
Murata Manufacturing (Japan) 5,000 198,996
NEC (Japan) 39,000 544,622
Phillips Electronics N.V. (Netherlands) 10,267 735,187
Photronics* 1,300 61,750
Renaissance Solutions* 3,600 132,300
RF Micro Devices* 2,100 40,031
Rockwell International 11,650 687,350
<PAGE>
Number Market
of Shares Value
---------------------------------
Rohm (Japan) 5,000 $514,947
SGS Thomson Microelectronics* 8,156 652,480
Smiths Industries (UK) 23,090 295,230
Sony (Japan) 6,000 523,151
Texas Instruments 7,795 655,267
Tyco International* 21,100 1,467,769
Uniphase* 900 52,200
Veeco Instruments* 900 34,931
Whirlpool 13,300 725,681
Xerox 24,510 1,933,226
-------------
17,647,940
ENERGY: 4.1%
Amoco 12,530 1,089,327
Atlantic Richfield 6,230 439,215
British Petroleum (UK) 30,488 378,908
British Petroleum ADR 12,960 970,380
Burmah Castrol (UK) 24,833 420,047
Coastal 12,040 640,378
Duke Energy 15,369 736,758
Elf Aquitaine 22,350 1,216,678
ENI spa 3,300 187,688
ENI spa (Italy) 135,400 766,713
Exxon 27,787 1,708,901
Mobil 28,760 2,009,605
Occidental Petroleum 33,151 830,847
Schlumberger, Ltd. 11,600 1,450,000
Shell Transport & Trading (UK) 61,200 417,744
Sonat 13,200 676,500
Total 19,592 994,294
Total SA (France) 6,700 677,148
Watsco 2,700 67,500
YPF Sociedad Anonima-ADR 8,800 270,600
-------------
15,949,231
ENVIRONMENTAL SERVICES: 0.8%
Cuno* 3,700 61,050
Honeywell 24,400 1,851,350
Republic Industries* 18,700 453,475
Superior Services* 4,700 110,744
Waterlink 3,100 40,300
Waste Management 13,645 438,346
-------------
2,955,265
FARMING AND AGRICULTURE: 0.3%
New Holland NV 35,800 980,025
FOOD, BEVERAGE, AND TOBACCO: 2.6%
800-JR Cigar 1,800 37,688
Anheuser-Busch 13,950 585,028
Campbell Soup 17,500 875,000
Coca-Cola 16,600 1,157,850
ConAgra 15,300 981,113
Fine Host* 4,900 152,819
Fomento Economico Mexicano (Mexico) 27,300 162,774
Fortune Brands* 19,410 724,236
Gallagher Group plc 19,410 357,872
General Cigar Holdings 2,600 76,538
General Mills 12,920 841,415
Goodman Fielder Limited (Australia) 150,500 221,148
Greencore Group (Ireland) 69,234 311,727
Nestle SA (Switzerland) 495 652,524
Philip Morris 25,790 1,144,431
Rainforest Cafe 400 10,075
RJR Nabisco Holdings 19,815 653,895
Unilever NV (Netherlands) 1,770 372,480
Whitman 28,360 717,862
-------------
10,036,475
HEALTHCARE AND PHARMACEUTICALS: 5.7%
Abbott Laboratories 26,000 1,735,500
American Home Products 13,390 1,024,335
American Homepatient* 4,800 120,300
Number Market
of Shares Value
---------------------------------
Astra AB-A (Sweden) 25,066 $467,795
Baxter International 28,110 1,468,748
Bristol-Myers Squibb 36,740 2,975,940
Cardinal Health 19,300 1,104,925
Carriage Services* 1,600 34,400
Compdent* 3,425 71,925
CRA Managed Care* 2,150 112,270
Cytyc* 5,700 154,256
Dura Pharmaceuticals 4,800 191,100
Eli Lilly & Company 10,300 1,125,919
F.Y.I.* 2,800 66,500
Healthcare Recoveries* 8,400 161,700
Healthsouth* 44,800 1,117,200
Impath* 2,600 71,500
Medicis Pharmaceutical Cl A* 6,450 321,291
Merck & Company 19,600 2,028,600
Minimed* 2,400 63,600
National Surgery Centers* 3,450 122,044
NCS HealthCare* 2,200 67,513
Novartis (Switzerland) 252 402,565
Pediatrix Medical Group* 1,100 50,394
Pfizer 13,500 1,613,250
Pharmaceutical Product Development* 2,000 43,500
Pharmacia & Upjohn 45,497 1,581,021
Pharmacia & Upjohn (Sweden) 3,600 121,773
Promedco Management 5,200 44,850
Renal Care Group* 1,900 79,325
Rexall Sundown* 7,898 308,516
Sabratek* 4,100 115,313
Sankyo (Japan) 13,000 436,832
Santen Pharmaceutical (Japan) 6,160 124,195
Stewart Enterprises* 4,550 190,531
U.S. Surgical 23,400 871,650
Warner-Lambert 14,000 1,739,500
Yamanouchi Pharmaceutical (Japan) 9,000 241,938
-------------
22,572,514
INDUSTRIAL MACHINERY: 0.7%
ADE* 3,200 94,600
American Standard* 10,900 487,775
Baker Hughes 10,800 417,825
General Signal 13,220 576,723
Molins (UK) 7,800 66,228
PRI Automation* 2,000 75,875
Rieter Holdings (Switzerland) 465 181,729
Sandvik (Sweden) 14,190 403,668
Tomkins plc (UK) 61,530 266,339
-------------
2,570,762
LEISURE, LODGING, AND ENTERTAINMENT: 0.9%
Carnival Cruise Lines 7,800 321,750
Extended Stay America* 3,896 61,368
Marriott International 18,800 1,153,850
Morton's Restaurant Group* 2,500 49,688
North Face* 7,700 139,563
Penn National Gaming* 3,400 50,788
Prime Hospitality 9,100 179,725
Signature Resorts* 5,800 200,825
Walt Disney 16,800 1,348,200
-------------
3,505,757
METALS AND MINING: 0.4%
Freeport McMoran Copper & Gold-Class A 29,976 876,798
Kawasaki Steel (Japan) 35,000 113,943
Nippon Steel (Japan) 70,000 223,609
RTZ (United Kingdom) 23,463 408,788
-------------
1,623,138
MISCELLANEOUS: 2.6%
Alfa,S.A. de C.V.-Class A (Mexico) 49,000 334,779
Caribiner International* 1,600 52,200
CN Biosciences* 2,400 44,700
Commonwealth Installment (Australia) 10,200 89,506
Consolidated Stores* 21,250 738,438
<PAGE>
Number Market
of Shares Value
---------------------------------
COREStaff* 2,225 $60,214
Cycle & Carriage (Singapore) 18,000 186,333
Denso (Japan) 8,000 191,316
Education Management* 2,500 64,375
Elf Aquitaine (France) 5,050 544,757
Encad Incorporated* 3,700 154,244
Halliburton 18,100 1,434,425
Helix Technology 1,300 52,488
Hutchison Whampoa (Hong Kong) 45,000 389,183
Ito-Yokado,Ltd. (Japan) 8,000 464,325
Jardine Matheson Holdings, Ltd. (Malaysia) 451 3,202
Lafarge SA (France) 5,800 360,693
Lason Incorporated* 3,400 95,838
Learning Tree International* 1,200 53,625
Marui (Japan) 18,000 334,628
Mayr-Melnhof Karton 7,600 95,950
Memtec Ltd. 2,200 58,575
Metzler Group* 2,000 64,750
Mitsui & Company (Japan) 36,000 345,625
NCO Group* 4,200 123,375
Omron (Japan) 21,000 445,385
On Assignment* 3,550 138,894
Outdoor Systems* 2,100 80,062
Pierce Leahy* 1,400 25,200
Securicor (UK) 60,766 288,324
Service International 14,600 479,975
Staff Leasing* 3,400 63,113
Strayer Education* 4,000 155,000
Swire Pacific A (Hong kong) 19,500 175,568
TRW 21,420 1,216,924
Universal Outdoor Holdings* 3,000 104,813
VA Technologie (Austria) 2,850 521,557
-------------
10,032,359
PACKAGING AND CONTAINERS: 0.4%
Crown Cork & Seal 14,795 790,608
Owens-Illinois 29,625 918,375
-------------
1,708,983
PAPER AND FOREST PRODUCTS: 0.9%
Kimberly-Clark 32,620 1,622,845
Svenska Cellulosa (Sweden) 17,500 373,088
Temple-Inland 7,340 396,360
Weyerhaeuser 24,100 1,253,200
-------------
3,645,493
REAL ESTATE: 0.1%
Amoy Properties Ltd. (Hong Kong) 172,000 189,828
Cheung Kong Holdings (Hong Kong) 33,000 325,868
Hong Kong Land Holdings (Hong Kong) 2,305 6,131
-------------
521,827
RETAIL: 3.3%
99 Cents Only Stores* 1,400 42,175
Action Performance 4,600 111,838
Ameriking* 75 3,750
Cost Plus* 2,900 75,038
Costco Companies* 32,000 1,053,000
CVS Corporation* 34,922 1,789,735
Dayton Hudson 21,600 1,148,850
Gadzooks 200 3,925
Home Depot 1 69
K mart 80,000 980,000
Level One Communications* 1,900 73,150
Linens N Things* 3,100 91,838
Liz Claiborne 14,500 676,063
Lowe's Companies 24,535 910,862
Marks Bros Jewelers* 5,400 67,500
Mazel Stores* 1,800 31,275
Petco Animal Supplies* 1,400 41,956
Piercing Pagoda* 4,100 102,500
PJ America* 2,200 37,263
Safeway* 19,200 885,600
Number Market
of Shares Value
---------------------------------
Sanmina* 3,500 $219,188
Sears Roebuck 15,750 846,563
St. John Knits 6,400 345,600
The Men's Wearhouse* 4,800 152,100
TJX 31,800 838,725
Tupperware Corporation 26,210 956,665
Vendex International (Netherlands) 6,600 361,345
Walgreen 18,500 992,063
West Marine 3,400 87,975
-------------
12,926,611
TELECOMMUNICATIONS: 2.5%
Ameritech 13,180 895,416
Ascend Communications 12,700 498,872
AT & T 15,205 533,125
BellSouth 23,270 1,079,146
Brightpoint* 4,575 149,116
Computer Products 8,800 220,550
Del Global Technologies 7,011 58,719
Deutsche Telekom (Germany) 29,200 717,340
Deutsche Telekom AG 5,500 132,688
Heftel Broadcasting* 3,200 175,600
Intermedia Communications* 3,100 99,975
Lucent Technologies 6,800 490,025
Natural Microsystems* 3,600 129,487
Newbridge Network (Canada)* 2,100 90,051
Northern Telecom (Canada) 3,300 297,479
Oy Nokia AB (Finland) 4,100 306,115
Powerwave Technologies* 3,600 81,000
Saga Communications* 3,844 71,109
SBC Communications 20,382 1,261,152
Telefonaktiebolaget LM Ericsson (Sweden) 8,410 331,888
Tellabs* 13,500 753,469
U.S. West Communications Group 16,000 603,000
Vodafone Group plc (UK) 128,360 626,141
-------------
9,601,463
TEXTILES, APPAREL, AND FURNITURE: 0.3%
Cort Business Services* 5,300 156,350
French Fragrances 6,300 59,850
Onward Kashiyama (Japan) 14,000 232,162
Sherwin-Williams 20,600 636,025
Wolverine World Wide 7,485 227,357
-------------
1,311,744
TRANSPORTATION AND SHIPPING: 1.3%
Budget Group* 8,200 282,900
Canadian National Railway 10,460 457,625
Delta Air Lines 8,665 710,530
East Japan Railway (Japan) 55 282,261
Expeditors International 7,350 209,016
KLM Royal Dutch Air Lines NV (Netherlands) 6,990 215,378
Norfolk Southern 8,630 869,473
Rental Service* 4,100 107,625
Ryder Systems 23,060 760,980
Union Pacific 11,630 819,915
Yamato Transport (Japan) 17,000 212,175
-------------
4,927,878
UTILITIES: 1.9%
Compagnie Generale des Eaux (France) 2,800 358,736
Electricidade De Portugal SA (Portugal) 3,000 55,026
Hirose Electric (Japan) 3,000 205,804
Hong Kong & China Gas (Hong Kong) 74,600 149,258
Hong Kong Electric (Hong Kong) 21,000 84,575
Kurita Water Industries (Japan) 14,000 372,682
Matsushita Electric Works (Japan) 41,000 465,198
Norwich Union (UK)* 33,400 295,236
Portugal Telecom SA (Portugal) 14,300 576,547
Scottish Power (UK) 69,871 453,666
Sprint 67,970 3,576,921
Tokyo Electron (Japan) 6,000 286,974
Veba AG (Germany) 9,422 532,072
-------------
7,412,695
<PAGE>
Number Market
of Shares Value
---------------------------------
TOTAL COMMON STOCKS: 61.4%
(Cost $184,763,371) $240,222,857
-------------
PREFERRED STOCKS:
American Radio Systems 6 634
Ameriking 3,000 84,000
Cablevision Systems 944 96,268
Cablevision Systems* 72 7,576
Capstar Broadcasting 25 25,438
Case 5,035 811,264
Chancellor Radio Broadcast 475 54,031
Chevy Chase Preferred Capital 670 35,510
Citadel Broadcasting* 250 25,000
El Paso Electric 495 55,674
Intermedia Communication 20 208,000
K-III Communications 3,500 343,000
Nextlink Communications* 550 28,600
Public Service New Hampshire 2,110 53,911
Spanish Broadcasting 35 32,550
Time Warner 7,032 782,304
Von Hoffman* 360 10,296
-------------
TOTAL PREFERRED STOCKS: 0.7%
(Cost $2,334,577) 2,654,056
-------------
WARRANTS AND RIGHTS:
Compagnie Gen Eaux - Wt2001 (France)* 15 365
Hyperion Telecommunications* 100 3,000
Nextlink, Warrant* 550 6
Spanish Broadcasting - WT99* 35 4,200
Terex (Rights)* 600 7,200
-------------
TOTAL WARRANTS AND RIGHTS: 0.0%
(Cost $4,895) 14,771
-------------
Par
OPTIONS PURCHASED: Amount**
Japanese Yen Put $800,000,000 67,729
Japanese Yen Put 400,000,000 212,961
Japanese Yen Put 3,000,000 75,322
Put Option German 10 Yr. Future (Germany) 3,250,000 186
Put Option S&P 7/19/97 4,350,000 91,350
-------------
TOTAL OPTIONS PURCHASED: 0.1%
(Cost $1,036,089) 447,548
-------------
Maturity
REPURCHASE AGREEMENT: Amount
-----------------
J.P. Morgan repurchase
agreement, dated 6/30/97, 5.95%, maturing
7/1/97, collateralized by U.S. Treasury
Notes 7.875%, 2/15/21 $27,376,000 27,376,000
-------------
TOTAL REPURCHASE AGREEMENT: 7.0%
(Cost $27,376,000) 27,376,000
-------------
TOTAL INVESTMENTS: 98.5%
(Cost $329,813,373) 385,553,479
-------------
Par
SECURITIES SOLD SHORT: Amount
----------------
Federal Home Loan Mortgage
7.500%, 7/16/27 1,030,000 (1,033,219)
Par Market
Amount Value
---------------------------------
Federal National Mortgage Association
6.5%, 7/15/04 $2,047,000 ($2,022,047)
5.5%, 7/15/12 195,000 (184,610)
7.5%, 7/16/27 426,000 (426,666)
-------------
TOTAL SECURITIES SOLD SHORT: (0.9)%
(Proceeds $3,668,183) (3,666,542)
-------------
CALL OPTIONS WRITTEN:
Japanese Yen, 8/97, @ 109 7/64 1,612,900 (7,016)
-------------
TOTAL CALL OPTIONS WRITTEN: 0.0%
(Premiums Received $24,758) (7,016)
-------------
Other Assets Over Liabilities: 2.4% 9,442,409
-------------
NET ASSETS: 100.0%
(Equivalent to $14.773 per share based on
26,489,755 shares issued and outstanding) $391,322,330
=============
GROWTH AND INCOME FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1997
INVESTMENTS:
Number Market
COMMON STOCKS: of Shares Value
--------------------------------
AEROSPACE : 2.1%
McDonnell Douglas Corp. 290,600 $19,906,100
United Technologies 536,400 44,521,200
-------------
64,427,300
AUTOMOBILES AND AUTO PARTS: 3.1%
BF Goodrich Co. 308,600 13,366,238
Cooper Industries Inc. 405,200 20,158,700
Ford Motor Co. 1,342,700 50,686,925
General Motors Corp. 218,000 12,139,875
-------------
96,351,738
BANKING, FINANCE AND INSURANCE: 17.6%
Allstate Corp. 87,849 6,412,977
Bank of Boston Corp. 497,700 35,865,506
Bank of New York Inc. 1,005,000 43,717,500
Bear, Stearns & Co., Inc. 889,827 30,420,961
Chase Manhattan Corp. 528,200 51,268,413
Cigna Corp. 233,700 41,481,750
Comerica Corp. 251,300 17,088,400
First Chicago NBD Corp. 615,943 37,264,552
Marsh & McLennan Cos. Inc. 537,000 38,328,375
MBIA Inc. 118,200 13,334,438
NationsBank Corp. 476,200 30,714,900
Paine Webber Group Inc. 367,900 12,876,500
Salomon Inc. 201,300 11,197,313
Student Loan Marketing Association 273,400 34,721,800
Torchmark 265,600 18,924,000
Travelers Group Inc. 870,266 54,881,150
-------------
478,498,535
BUILDINGS AND MATERIALS: 1.1%
Armstrong World Industries 342,200 25,108,925
USG Corp. 207,800 7,584,700
-------------
32,693,625
CABLE, MEDIA AND PUBLISHING: 2.1%
Deluxe Corp. 145,900 4,978,838
Dun & Bradstreet 279,600 7,339,500
<PAGE>
Number Market
of Shares Value
---------------------------------
Harcourt General 128,000 $6,096,000
HBO & Co. 259,700 17,886,838
Knight-Ridder Corp. 150,000 7,359,375
New York Times Co. 321,800 16,250,900
Reynolds & Reynolds Co. 243,400 3,833,550
-------------
63,745,001
CHEMICALS: 1.8%
Dow Chemical Co. 470,400 40,983,600
Olin Corp. 358,800 14,015,625
-------------
54,999,225
COMPUTERS AND TECHNOLOGY: 6.8%
American Power Conversion Corp.* 690,400 13,052,875
Cadence Design Systems Inc.* 1,003,775 33,626,463
Compaq Computer Corp.* 351,800 34,916,150
Micron Electronics Inc.* 256,600 4,586,725
Microsoft Corp.* 112,700 14,253,028
PeopleSoft Inc.* 32,300 1,701,806
Read-Rite* 802,800 16,733,362
Sun Microsystems Inc.* 1,273,200 47,386,913
Western Digital Corp.* 1,304,400 41,251,650
-------------
207,508,972
CONSUMER PRODUCTS: 8.5%
Clorox Co. 303,400 40,048,800
General Electric Corp. 1,211,400 79,195,275
Maytag 34,700 906,538
Omnicom Group 232,800 14,346,300
Philip Morris Co. Inc. 1,809,900 80,314,313
Procter & Gamble Co. 320,700 45,298,875
-------------
260,110,101
ELECTRONICS AND ELECTRICAL: 0.2%
Tektronix Inc. 118,800 7,128,000
Tellabs 765,500 42,724,469
-------------
49,852,469
ENERGY: 9.4%
Atlantic Richfield Co. 185,800 13,098,900
Exxon Corp. 1,045,800 64,316,700
Halliburton Co. 277,800 22,015,650
Occidental Petroleum Corp. 1,327,400 33,267,963
Oryx Energy Co. 642,900 13,581,263
Royal Dutch Petroleum Co. 590,400 32,103,000
Texaco Inc. 389,000 42,303,750
Unocal Corp. 870,700 33,794,044
USX- Marathon Group Inc. 754,600 21,789,075
Williams Companies, Inc. 254,450 11,132,188
-------------
287,402,533
ENVIRONMENTAL SERVICES: 1.0%
Honeywell Inc. 406,300 30,828,013
FOOD, BEVERAGE AND TOBACCO: 6.3%
Boston Chicken Inc.* 823,700 11,506,059
Campbell Soup Co. 140,600 7,030,000
Coca Cola Co. 659,400 45,993,150
ConAgra Inc. 331,900 21,283,088
Fortune Brands Inc. 281,200 10,492,275
Gallagher Group Plc 281,200 5,184,625
Heinz H.J. Co. 703,850 32,465,081
Hershey Foods Corp. 378,300 20,924,719
RJR Nabisco Holdings Corp. 1,057,920 34,911,360
Universal Foods Corp. 142,600 5,436,625
-------------
195,226,982
HEALTHCARE AND PHARMACEUTICALS: 10.5%
Amgen Inc.* 666,600 38,725,294
Bristol-Myers Squibb Co. 923,800 74,827,800
Johnson & Johnson 533,800 34,363,375
Lincare Holdings Inc.* 340,800 14,665,050
Merck & Company Inc. 641,100 66,353,850
Number Market
of Shares Value
---------------------------------
Oxford Health Plans Inc.* 539,600 $38,733,162
Schering-Plough Corp. 1,078,100 51,614,038
-------------
319,282,569
INDUSTRIAL MACHINERY: 3.6%
Caterpillar Inc. 439,300 47,169,838
Harris Corp Delaware 226,900 19,059,600
Ingersoll-Rand Corp. 581,400 35,901,450
Johnson Controls Inc. 160,000 6,570,000
-------------
108,700,888
LEISURE, LODGING AND ENTERTAINMENT: 2.3%
Brunswick 511,300 15,978,125
Callaway Golf Co. 750,400 26,639,200
HFS * 272,255 15,790,790
King World Productions Inc.* 328,900 11,511,500
-------------
69,919,615
METALS AND MINING: 1.6%
Phelps Dodge Corp. 437,600 37,278,050
USX-U.S. Steel Group 299,100 10,487,194
-------------
47,765,244
PAPER AND FOREST PRODUCTS: 0.2%
Avery Dennison Corp. 408,200 16,379,025
James River-Virginia 187,100 6,922,700
-------------
23,301,725
RETAIL: 4.5%
The Gap Inc. 434,700 16,898,963
Jostens Inc. 56,100 1,479,638
Ross Stores 667,800 21,807,844
Safeway Inc* 719,500 33,186,938
Sears,Roebuck & Co. 284,600 15,297,250
Staples Inc.* 244,100 5,660,069
TJX Cos. Inc. 1,307,600 34,487,950
Woolworth Corp.* 324,800 7,795,200
-------------
136,613,852
TELECOMMUNICATIONS: 7.6%
ADC Telecommunications Inc.* 472,700 15,805,906
Ameritech Corp. 626,900 42,590,019
Ascend Communications Corp. 423,400 16,631,681
Bell Atlantic Corp. 112,500 8,535,938
BellSouth Corp. 573,600 26,600,700
GTE Corp. 788,700 34,604,213
NYNEX Corp. 279,700 16,117,713
PairGain Technologies Inc.* 620,300 9,634,034
SBC Communications Inc. 757,532 46,872,279
U.S. West Communications Group 347,500 13,096,406
-------------
230,488,889
TEXTILES AND APPAREL: 1.3%
Fruit of the Loom Inc.* 161,200 4,997,200
Miller (Herman) Inc. 68,100 2,443,088
Nike Inc. 253,400 14,792,225
Tommy Hilfiger Corp.* 234,800 9,436,025
-------------
31,668,538
TRANSPORTATION AND SHIPPING: 1.5%
AMR Corp.* 270,000 24,975,000
Tidewater Inc. 193,400 8,509,600
UAL Corp.* 143,800 10,290,688
-------------
43,775,288
UTILITIES: 2.7%
Baltimore Gas & Electric Co. 150,900 4,027,144
Edison International 203,700 5,067,038
General Public Utilities Corp. 657,150 23,575,256
Long Island Lighting Co. 307,200 7,065,600
New York State Electric & Gas Corp. 331,300 6,915,888
Texas Utilities Co. 794,200 27,350,263
Unicom Corp. 412,800 9,184,800
-------------
83,185,989
<PAGE>
Market
Value
--------------------
Total Common Stocks: 95.8%
(Cost $1,962,642,035) $2,916,347,091
Par
MONEY MARKET INSTRUMENTS: Amount
-------------
Corporate Asset Funding Co. Inc.
5.00%, 7/30/97 $15,300,000 15,231,596
Merrill Lynch
5.50%, 7/2/1997 8,100,000 8,098,756
5.55%, 7/7/1997 6,500,000 6,493,988
5.55%, 7/9/1997 12,100,000 12,084,794
5.55%, 7/14/1997 9,800,000 9,780,359
5.65%, 7/21/1997 13,200,000 13,159,153
5.59%, 7/23/97 14,500,000 14,450,644
Mitsubishi International Corp.
5.56%, 7/3/1997 2,500,000 2,499,229
5.58%, 7/8/1997 10,600,000 10,588,499
5.54%, 7/15/1997 10,300,000 10,277,809
PHH Corp.
5.61%, 7/10/1997 11,600,000 11,583,818
Sony Capital Corp.
5.54%, 7/16/1997 12,600,000 12,570,915
-------------
TOTAL MONEY MARKET INSTRUMENTS: 4.3%
(Cost $126,819,560) 126,819,560
-------------
TOTAL INVESTMENTS: 100.1%
(Cost $2,089,461,595) 3,043,166,651
--------------
Other Assets Under Liabilities: (0.1%) (185,070)
-------------
NET ASSETS: 100.0%
(Equivalent to $37.383 per share based on
81,400,219 shares issued and outstanding) $3,042,981,581
---------------
INTERNATIONAL FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1997
INVESTMENTS:
Number Market
COMMON STOCKS: of Shares Value
--------------------------------
ARGENTINA: 1.3%
Argentinian Investment Co. * 241,500 $6,382,845
AUSTRALIA: 3.7%
BRL Hardy Ltd. 770,000 2,196,764
Broken Hill Proprietary 263,200 3,864,148
QBE Insurance Group, Ltd. 600,000 3,617,040
Southcorp Holdings Ltd. 1,058,000 3,954,389
Woodside Petroleum, Ltd. 565,000 4,853,616
-------------
18,485,957
BRAZIL: 2.7%
F & C Emerging Markets * 110,900 6,657,327
Telecommunicacoes Brasileiras 33,400 5,068,450
Unibanco-GDR * 50,000 1,856,250
-------------
13,582,027
CANADA: 0.9%
Laidlaw 336,900 4,653,431
CHILE: 1.3%
Genesis Chile Fund 127,800 6,421,950
Number Market
of Shares Value
---------------------------------
FINLAND: 1.5%
Merita Ltd. 885,000 $2,946,934
Oy Nokia AB 60,800 4,539,462
-------------
7,486,396
FRANCE: 7.2%
Cap Gemini Sogeti 60,000 3,164,719
Compagnie de Saint Gobain 28,100 4,097,409
Elf Aquitaine 36,400 3,926,565
Le Carbone-Lorraine 5,680 1,381,995
Pinault-Printemps 4,020 1,931,581
Rhone-Poulenc A 114,500 4,675,616
Salomon S.A. 46,500 3,545,276
Schneider SA 64,000 3,406,190
Technip 43,300 5,024,518
Total SA 50,000 5,053,341
-------------
36,207,210
GERMANY: 7.8%
Adidas AG 40,000 4,471,836
Altana AG 3,060 3,280,608
Daimler-Benz AG 51,400 4,181,545
KSB AG-Vorzug 13,300 3,294,023
SAP AG 26,500 5,314,433
SGL Carbon AG 38,300 5,230,363
Veba AG 82,300 4,647,585
Viag AG 8,000 3,653,146
Volkswagen AG 8,500 4,751,326
-------------
38,824,865
HONG KONG: 5.2%
Cheung Kong Holdings * 453,000 4,473,280
Dao Heng Bank Group Ltd. 870,000 4,761,585
HSBC Holdings 118,000 3,548,987
Hutchison Whampoa 350,000 3,026,978
Peregrine Investment Holding - Warrants 222,500 97,651
Peregrine Investment Holdings, Ltd. 2,225,000 4,580,967
Swire Pacific A 415,000 3,736,446
Wheelock & Company 781,000 1,920,492
-------------
26,146,386
INDIA: 1.0%
India Magnum Fund 69,385 3,608,020
Tata Engineering & Locomotive 100,000 1,532,000
-------------
5,140,020
INDONESIA: 0.3%
Videsh Sanchar Nigam Ltd. * 80,400 1,593,930
IRELAND: 0.7%
Waterford Wedgewood 2,580,000 3,383,257
ITALY: 2.0%
Fila Holdings Spa 50,600 1,691,938
Pirelli Spa 1,603,000 3,970,354
Telecom Italia Mobile Spa 1,381,000 4,468,585
-------------
10,130,877
JAPAN: 27.7%
Amway Japan Ltd. 64,500 2,184,247
Bridgestone 165,000 3,830,680
Canon Electronics 208,000 5,664,064
CSK * 75,800 2,871,238
DDI 545 4,024,177
Eisai Co. Limited 180,000 3,409,122
Keyence 26,180 3,884,444
Matsushita Electric Works 187,000 2,121,755
Meitec 154,300 4,592,303
Mitsubishi Estate 251,000 3,636,571
Mitsui & Company 473,000 4,541,132
Mitsumi Electric 224,000 5,337,291
Nichiei 37,500 4,353,045
Nintendo 63,300 5,303,776
<PAGE>
Number Market
of Shares Value
---------------------------------
Nippon Telegraph & Telephone 622 $5,971,636
NTT Data Communications 90 3,479,818
ORIX Finance-Leasing 74,000 5,483,397
Rohm 60,000 6,179,360
Ryohin Keikaku Ltd. 46,000 3,629,414
Secom 68,000 4,991,317
Sekisui Chemical 192,000 1,943,880
Shiseido 146,000 2,408,379
Sho-Bond 106,400 2,776,662
Shohkoh Fund and Co., Ltd. 14,600 4,421,734
SMC 42,600 3,599,111
Sony 69,700 6,077,270
Taiyo Yuden Limited 291,000 4,800,263
TDK 75,000 5,505,129
Terumo 292,000 5,581,324
Tokyo Electron 122,000 5,835,131
Yamaha 295,000 5,406,940
Yamatake - Honeywell 250,000 4,756,711
-------------
138,601,321
MALAYSIA: 1.4%
HICOM Holdings BHD 1,294,000 2,449,632
Hong Leong Credit Berhad 618,000 2,300,673
Multi-Purpose Holdings 1,449,000 2,031,469
YTL Power 67,600 85,136
-------------
6,866,910
NETHERLANDS: 7.0%
Aegon 47,300 3,300,280
Ahrend Groep 40,400 2,726,254
Gucci Group N.V. 49,600 3,193,000
Ing Groep N.V. 96,033 4,426,286
Koninklijke Bols Wessanen N.V. 194,400 3,732,559
Koninklijke Pakhoed N.V. 115,900 4,084,686
Oce-Van Der Grinten N.V. 30,000 3,868,602
PolyGram N.V. 57,700 3,026,789
Stork N.V. 62,900 2,562,771
Vendex International 75,000 4,106,188
-------------
35,027,415
NEW ZEALAND: 0.6%
Fletcher Challenge - Forest 38,840 56,541
Fletcher Challenge Building 971,000 2,926,116
-------------
2,982,657
NORWAY: 0.7%
Saga Petroleum ASA 173,700 3,298,221
PORTUGAL: 0.9%
Portugal Telecommunication 110,000 4,413,750
SOUTH AFRICA: 0.9%
De Beers Centenary 120,000 4,432,683
SOUTH KOREA: 0.7%
Korea International Investment Fund III 14,901 1,247,810
Korea International Investment Fund IV 31,550 2,005,634
-------------
3,253,444
SPAIN: 3.4%
Banco Central Hispanoamer SA 135,000 4,937,236
Endesa 45,000 3,776,970
Repsol SA 86,000 3,635,364
Telefonica de Espana 171,000 4,942,732
-------------
17,292,302
SWEDEN: 2.7%
Enator AB 25,000 447,123
Incentive AB-B Shares 40,000 3,665,111
Skandia Forsakrings AB 149,800 5,533,048
Telefonaktiebolaget LM Ericsson 98,800 3,898,989
-------------
13,544,271
Number Market
of Shares Value
---------------------------------
SWITZERLAND: 5.2%
Ares-Serono Group 2,420 $3,503,166
Novartis 3,000 4,792,444
Roche Holding AG 490 4,428,630
Schweizerische Bankgesellschaft 3,230 3,691,934
Schw Rueckversicherungs 3,900 5,578,864
Winterthur Schweiz Vers 4,260 3,749,605
-------------
25,744,643
TAIWAN: 0.4%
R.O.C. Taiwan Fund 189,800 2,218,288
UNITED KINGDOM: 10.3%
Abbey National plc 241,400 3,295,537
Cable & Wireless plc 516,400 4,750,000
Corporate Services Group plc 550,000 1,712,298
Elan plc * 136,000 6,154,000
Electra Investment Trust plc 410,000 3,194,514
Electrocomponents plc 418,600 3,115,171
GKN plc 224,000 3,857,924
Lloyds TSB Group plc 542,000 5,567,491
Misys plc 209,600 4,714,349
Monument Oil and Gas plc * 1,400,000 2,027,787
Norwich Union plc * 198,000 1,048,256
Rentokil Group 1,154,400 4,047,527
SEMA Group plc 150,000 3,096,621
Standard Chartered plc 304,500 4,643,633
-------------
51,225,108
TOTAL COMMON STOCKS: 97.5%
(Cost $397,954,065) 487,340,164
-------------
Maturity
REPURCHASE AGREEMENT: Amount
----------------
State Street Bank and Trust Co, repurchase
agreement, dated 6/30/97, 5.12%, maturing
7/1/97, collateralized by U.S. Treasury
Notes 6.00%, 9/30/98 $2,489,000 2,489,000
-------------
TOTAL REPURCHASE AGREEMENT: 0.5%
(Cost $2,489,000) 2,489,000
-------------
TOTAL INVESTMENTS: 98.0%
(Cost $400,443,065) 489,829,164
-------------
Other Assets Over Liabilities: 2.0% 9,831,598
-------------
NET ASSETS: 100.0%
(Equivalent to $15.453 per share based on
32,334,429 shares issued and outstanding) $499,660,762
-------------
MANAGED FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1997
INVESTMENTS:
Par Market
LONG-TERM DEBT INVESTMENTS: Amount Value
---------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 18.3%
Federal Home Loan Mortgage Corp.
6.3%, 4/8/99 $9,320,000 $9,311,146
6.43%, 10/15/06 2,000,000 1,964,063
7.3%, 12/1/12 2,962,350 2,990,122
8.5%, 1/1/17 881,245 922,828
-------------
<PAGE>
Par Market
Value Value
---------------------------------
FNMA
7.6%, 7/25/05 $732,776 $735,981
6.73%, 8/1/05 2,113,802 2,104,554
7.18%, 10/1/05 3,945,513 4,056,460
6.66%, 11/1/05 985,726 979,257
6.66%, 12/1/05 1,971,869 1,958,929
7.043%, 7/1/06 2,477,799 2,504,559
7.15%, 10/1/15 2,886,474 2,855,805
7.5%, 5/25/20 4,000,000 4,045,763
7.0%, 10/1/25 2,777,423 2,729,686
FNMA Strips
0.0%, 8/7/01 7,000,000 5,410,859
0.0%, 7/24/06 11,500,000 6,307,059
0.0%, 7/5/14 2,500,000 744,375
GNMA
6.5%, 12/15/23 1,249,545 1,204,640
U.S. Treasury Bonds
10.75%, 8/15/05 15,000,000 18,926,249
12.75%, 11/15/10 28,125,000 39,037,772
6.625%, 2/15/27 5,700,000 5,580,072
U.S. Treasury Notes
5.375%, 5/31/98 13,325,000 13,193,881
6.5%, 8/31/01 11,400,000 11,456,202
6.125%, 12/31/01 2,000,000 1,993,660
-------------
141,013,922
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.1%
Mid State Trust III
7.625%, 4/1/22 233,995 236,906
AUTOMOBILE AND AUTO EQUIPMENT: 0.3%
Chrysler Corp.
7.45%, 2/1/97 1,000,000 977,500
Goodyear Tire & Rubber Co.
6.625%, 12/1/06 1,250,000 1,210,938
-------------
2,188,438
BANKING, FINANCE AND INSURANCE: 9.1%
Ahmanson H F & Co.
8.25%, 10/1/02 2,000,000 2,112,500
Aristar Finance
7.5% Senior Subordinated Note, 7/1/99 1,500,000 1,528,125
Banc One Corp.
9.875%, 3/1/09 500,000 601,875
Barnett Banks Inc.
6.9%, 9/1/05 1,500,000 1,479,375
Barnett Capital Trust Inc.
8.06%, 12/1/26 1,900,000 1,897,625
BT Capital Trust-Series B
7.9%, 1/15/27 1,500,000 1,453,125
Champion International
7.7%, 12/15/99 1,500,000 1,545,000
CIT Group Holdings Inc.
5.875%, 10/15/08 1,500,000 1,368,750
Citicorp Notes
6.33%, 1/5/06 1,600,000 1,524,000
Den Norske Bank
5.75%, 11/29/49 1,500,000 1,339,725
Dow Capital B V
9.0%, 5/15/10 3,000,000 3,375,000
Finova Capital
6.12% Med. Term Note, 5/28/02 1,000,000 973,750
First of America Capital Trust I
8.12%, 1/31/27 2,000,000 1,985,000
First Union Corp.
8.0%, 8/15/09 2,000,000 2,085,000
First USA Bank
5.75%, 1/15/99 2,000,000 1,985,000
Fleet Financial Group Inc.
7.25%, 9/1/99 1,000,000 1,016,250
Ford Motor Credit Co.
7.95%, 5/17/99 2,000,000 2,057,500
Par Market
Value Value
---------------------------------
GE Capital Corp.
8.3%, 9/20/09 $3,000,000 $3,341,250
General Motors Acceptance Corp.
7.875% Med. Term Note, 3/7/01 1,500,000 1,554,375
8.875% Debenture, 6/1/10 1,500,000 1,732,500
Household Finance Corp.
9.625% Senior Subordinated Note, 7/15/0 875,000 946,094
International Lease Finance Co.
8.25%, 1/15/00 2,000,000 2,080,000
John Deere Capital Corp.
8.625%, 8/1/19 2,000,000 2,120,000
Lehman Brothers Holdings Inc.
8.875%, 3/1/02 1,000,000 1,072,500
Lloyd's Bank
5.8295%, 8/29/49 1,500,000 1,357,950
Mellon Capital Corp.
7.72%, 12/1/26 1,500,000 1,449,375
Mercantile Bancorp
7.3%, 6/15/07 1,325,000 1,328,313
Morgan Stanley Group
6.875%, 3/1/07 2,250,000 2,221,875
National Westminister Bank plc
9.45% Debentures, 5/1/01 500,000 545,625
NationsBank Corp.
8.125% Subordinated Debenture, 6/15/02 1,000,000 1,053,750
Nynex Capital Funding
7.63%, 10/15/09 3,000,000 3,198,660
Salomon Inc.
7.25%, 1/15/00 1,000,000 1,012,500
Simon Debartolo Group Notes
7.125%, 6/24/05 1,500,000 1,492,500
Smith Barney Holdings
7.875%, 10/1/99 3,000,000 3,093,750
Southtrust Bank Birmingham Alabama
7.69%, 5/15/25 2,750,000 2,921,875
Spiegel Charge Account Trust II
6.95%, 2/15/01 285,714 286,299
State Street Capital-B
8.035%, 3/15/27 1,400,000 1,398,250
Student Loan Marketing Association - Global
6.161%, 12/2/99 3,500,000 3,486,665
Union Bank Switzerland
7.25%, 7/15/06 2,250,000 2,278,125
Wachovia Capital Trust I
7.64%, 1/15/27 1,900,000 1,838,250
-------------
70,138,081
CABLE, MEDIA, AND PUBLISHING: 0.6%
News America Holdings
8.45%, 8/1/34 1,500,000 1,633,125
Time Warner Inc.
9.125%, 1/15/13 2,000,000 2,200,000
Viacom Inc.
8.75%, 5/15/01 500,000 511,250
-------------
4,344,375
CONSUMER PRODUCTS: 0.3%
Westvaco Corp.
8.3%, 8/1/22 2,500,000 2,571,875
ENERGY: 0.6%
Enron Corp.
9.5%, 6/15/01 1,000,000 1,093,750
National Power plc
7.125%, 7/11/01 1,750,000 1,760,938
Petro Canada - Debentures
8.6%, 10/15/01 1,500,000 1,590,000
-------------
4,444,688
FOOD, BEVERAGE AND TOBACCO: 0.1%
Nabisco Inc.
7.55%, 6/15/15 750,000 735,938
<PAGE>
Par Market
Value Value
---------------------------------
FOREIGN GOVERNMENT: 0.6%
Hydro-Quebec
7.2% Med. Term Note, 10/5/09 $3,000,000 $2,996,430
Manitoba (Province of)
7.75%, 7/17/16 1,500,000 1,569,375
-------------
4,565,805
HEALTHCARE AND PHARMACEUTICALS: 0.4%
Allegiance Corp.
7.3%, 10/15/06 1,000,000 1,000,000
Glaxo Wellcome plc
6.125%, 1/25/06 2,250,000 2,140,313
-------------
3,140,313
LEISURE, LODGING AND ENTERTAINMENT: 0.2%
Darden Restaurants
6.375%, 2/1/06 1,500,000 1,398,750
METALS AND MINING: 0.9%
Cyprus Amax Minerals Co.
7.375%, 5/15/07 2,500,000 2,506,250
Inco Ltd.
9.6% Debenture, 6/15/22 1,300,000 1,441,375
Newmont Gold Co.
8.91%, 1/5/09 724,132 773,916
Placer Dome Inc.
7.31%, 1/26/21 1,000,000 932,500
7.37%, 6/3/26 1,000,000 1,015,000
-------------
6,669,041
MISCELLANEOUS: 0.2%
Duquesne II Funding Corp.
8.7%, 6/1/16 2,475,000 2,666,813
RETAIL: 0.5%
Sears Roebuck & Co.
9.05%, 2/6/12 2,500,000 2,850,000
Service Corp International
7.0%, 6/1/15 1,000,000 1,011,250
-------------
3,861,250
TELECOMMUNICATIONS: 0.7%
Litton Industries
6.98%, 3/15/36 1,000,000 990,000
Pacificorp
9.15%, 8/9/11 1,500,000 1,725,000
Southwestern Bell Capital
7.13%, 6/1/05 2,000,000 2,007,500
U.S. West Capital Funding
6.95%, 1/15/37 1,000,000 1,001,250
-------------
5,723,750
TRANSPORTATION AND SHIPPING: 1.5%
American Airlines Equipment Trust
10.18%, 1/2/13 1,500,000 1,797,060
Burlington Northern Railroad
6.94%, 1/2/14 491,849 484,876
Chicago & Northwestern Holdings
6.25%, 7/30/12 1,415,614 1,337,755
CSX Notes
7.25%, 5/1/27 1,000,000 1,008,750
Federal Express Corp.
7.96%, 3/28/17 2,000,000 1,992,500
General American Transportation
7.5%, 2/28/15 1,481,898 1,481,898
Norfolk Southern Corp.
7.05%, 5/1/37 2,000,000 2,030,000
United Airline Inc. Equipment Trust
9.35%, 4/7/16 1,500,000 1,664,441
-------------
11,797,280
Par Market
Value Value
---------------------------------
UTILITIES: 4.0%
Baltimore Gas & Electric Co.
8.92% Med. Term Note, 7/16/98 $1,000,000 $1,028,750
Central Maine Power Co.
6.5%, 7/22/97 1,500,000 1,500,000
Colonial Gas-Series A
6.81%, 5/19/27 1,500,000 1,509,375
Commonwealth Edison Co.
9.375%, 2/15/00 500,000 530,000
Detriot Edison Co.
6.56%, 5/1/01 2,000,000 1,987,500
Great Lakes Power Inc.
9.0%, 8/1/04 1,500,000 1,618,125
Houston Light & Power Capital Trust II
8.257%, 2/1/37 1,900,000 1,923,750
MidAmerican Energy
6.5%, 12/15/01 1,250,000 1,235,938
National Rural Utilities Cooperative Finance
Corp. 8.5%, 2/15/98 1,000,000 1,016,250
Nevada Power Co.
7.06%, 5/1/00 1,500,000 1,516,875
Noble Affiliates
7.25%, 10/15/23 600,000 566,250
Old Dominion Electric Co-op SE
7.48%, 12/1/13 1,500,000 1,522,500
Pacific Gas & Electric Co.
6.25%, 8/1/03 2,000,000 1,940,000
Pennsylvania Power & Light
7.7%, 10/1/09 3,000,000 3,108,750
PSI Energy Inc.
8.57%, 12/27/11 500,000 557,500
Public Service Co. of Colorado
6.375%, 11/1/05 1,500,000 1,443,750
South Carolina Electric
9.0%, 7/15/06 2,500,000 2,818,750
Texas Gas Transmission Corp.
8.625%, 4/1/04 2,000,000 2,172,500
Texas Utilities Co.
7.375%, 8/1/01 1,500,000 1,531,875
Washington Water & Power Co.
8.01%, 12/17/01 1,000,000 1,042,500
-------------
30,570,938
TOTAL LONG-TERM DEBT INVESTMENTS: 38.4%
(Cost $293,023,338) 296,068,163
-------------
Number
COMMON STOCKS: of Shares
----------------
AEROSPACE AND DEFENSE: 1.1%
GenCorp Inc. 33,000 763,125
McDonnell Douglas Corp. 22,200 1,520,700
United Technologies Corp. 67,300 5,585,900
-------------
7,869,725
AUTOMOBILES AND AUTO PARTS: 1.6%
BF Goodrich 53,000 2,295,563
Cooper Industries Inc. 35,900 1,786,025
Ford Motor Co. 130,900 4,941,475
General Motors Corp. 46,900 2,611,744
Simpson Industries 55,800 596,363
-------------
12,231,170
BANKING, FINANCE AND INSURANCE: 8.3%
Allstate Corp. 11,310 825,630
AmSouth Bancorporation 54,000 2,041,875
Bank of Boston Corp. 61,600 4,439,050
Bank of New York Co. Inc. 18,800 817,800
BankAmerica Corp. 25,000 1,614,063
Bear Stearns Co., Inc. 131,969 4,511,690
Chase Manhattan Corp. 65,100 6,318,769
Cigna Corp. 29,400 5,218,500
Comerica Inc. 15,400 1,047,200
<PAGE>
Number Market
of Shares Value
---------------------------------
Deposit Guaranty* 19,500 $614,250
First Chicago NBD Corp. 96,835 5,858,518
Fremont General Corp. 17,200 692,300
Imperial Credit Mortgage Holdings 37,400 770,206
Magna Group Inc. 18,400 639,400
Marsh & McLennan Cos., Inc. 69,800 4,981,975
MBIA Inc. 3,700 417,406
NationsBank Corp. 57,400 3,702,300
Onbancorp Inc. 13,100 667,281
One Valley Bancorp Inc. 18,250 766,500
Paine Webber Group Inc. 49,800 1,743,000
Peoples Heritage Financial Group 19,100 721,025
Renaissancere Holdings Ltd. 16,200 616,613
Salomon Inc. 16,200 901,125
Selective Insurance Group 13,700 663,594
Student Loan Marketing Association 34,500 4,381,500
Torchmark Corp. 56,500 4,025,625
Travelers Group Inc. 92,033 5,803,831
-------------
64,801,026
BUILDINGS AND MATERIALS: 0.4%
Armstrong World Industries Inc. 13,400 983,225
Centex Construction Products 32,500 633,750
Champion Enterprises Inc.* 28,400 422,450
USG Corp.* 28,900 1,054,850
-------------
3,094,275
CABLE, MEDIA AND PUBLISHING: 1.4%
Bowne & Co. 20,000 696,250
Carmike Cinemas Inc.* 20,400 668,100
Dun & Bradstreet Corp.* 91,400 2,399,250
HBO & Co. 42,800 2,947,850
Hollinger International Inc. 62,600 700,338
McClatchy Newspapers 24,200 710,875
Moore Corp. Ltd. 141 2,776
New York Times Co. 36,300 1,833,150
Pulitzer Publishing 13,066 692,498
-------------
10,651,087
CHEMICALS: 1.3%
Dow Chemical 66,000 5,750,250
Fuller (H.B.) Co. 11,100 610,847
International Specialty Products* 47,300 665,156
Learonal Inc. 27,100 772,350
Olin Corp. 24,200 945,313
Quaker Chemical Corp. 35,000 608,125
Tredegar Industries 12,300 682,650
-------------
10,034,691
COMPUTERS AND TECHNOLOGY: 4.0%
American Power Conversion* 114,400 2,162,875
Cadence Design Systems Inc.* 80,525 2,697,588
Compaq Computer Corp.* 57,300 5,687,025
Gateway 2000 Inc.* 17,400 564,413
Hutchinson Technology* 24,600 597,319
Hyperion Software Corp.* 35,400 792,075
Jabil Circuit Inc.* 8,900 744,263
Merisel Inc.* 336,200 672,400
MicroAge Inc.* 33,700 625,556
Micron Electronics Inc.* 32,100 573,788
Microsoft Corp.* 16,700 2,112,028
Read-Rite Corp.* 52,300 1,090,128
Shared Medical Systems Corp. 14,400 775,800
Smart Modular Technologies* 17,400 591,600
Sun Microsystems Inc.* 139,100 5,177,128
Viewlogic Systems* 43,200 634,500
Wall Data Inc.* 26,500 700,594
Western Digital Corp.* 132,400 4,187,150
Xircom Inc.* 38,600 481,294
-------------
30,867,524
Number Market
of Shares Value
---------------------------------
CONSUMER PRODUCTS: 4.1%
Clorox Co. 21,400 $2,824,800
Damark International Inc.* 46,300 711,863
General Electric Co. 156,200 10,211,575
Maytag Corp. 47,200 1,233,100
Philip Morris Cos., Inc. 231,000 10,250,625
Procter & Gamble Co. 50,900 7,189,625
-------------
32,421,588
ELECTRONICS AND ELECTRICAL: 0.8%
Alliant Techsystems Inc.* 13,300 731,500
American Residential Services* 28,900 671,925
CDI Corp.* 15,800 658,663
Helix Technology Corp. 16,300 658,113
Kuhlman Corp. 21,100 680,475
MascoTech Inc. 28,000 584,500
Rexel Inc.* 36,100 667,850
Tektronix Inc. 11,600 696,000
Veeco Instruments Inc.* 16,800 652,050
-------------
6,001,076
ENERGY: 5.0%
Atlantic Richfield Co. 75,800 5,343,900
EVI Inc.* 16,600 697,200
Exxon Corp. 119,400 7,343,100
Halliburton Co. 38,800 3,074,900
Louis Dreyfus Natural Gas* 34,500 560,625
Mesa Inc. 111,100 638,825
Mitchell Energy & Development 28,900 628,575
Northwest Natural Gas Co. 26,400 691,350
Occidental Petroleum Corp. 132,500 3,320,781
Ocean Energy Inc. 12,600 582,750
Oryx Energy Co. 91,500 1,932,938
Royal Dutch Petroleum 94,000 5,111,250
Texaco Inc. 51,900 5,644,125
Unocal Corp. 86,300 3,349,519
-------------
38,919,838
ENVIRONMENTAL SERVICES: 0.4%
Honeywell Inc. 35,900 2,723,913
FOOD, BEVERAGE AND TOBACCO: 3.6%
Boston Chicken Inc. 84,300 1,177,566
Campbell Soup Co. 47,600 2,380,000
CKE Restaurants Inc. 21,950 694,169
Coca Cola Co. 81,200 5,663,700
ConAgra Inc. 66,900 4,289,963
Dekalb Genetics Corp. 8,300 661,925
Foodmaker Inc.* 45,800 749,975
Fortune Brands Inc. 11,800 440,288
Gallagher Group* 11,800 217,563
Heinz (H.J.) Co. 72,050 3,323,306
Hershey Foods Corp. 40,900 2,262,281
Lance Inc. 33,900 648,338
RJR Nabisco Holdings Corp. 102,580 3,385,140
ShowBiz Pizza Time Inc.* 26,200 692,663
Smithfield Foods Inc. 12,400 763,375
-------------
27,350,252
HEALTHCARE AND PHARMACEUTICALS: 5.8%
ADAC Laboratories 27,400 647,325
Amgen Inc.* 80,900 4,699,784
Bristol-Myers Squibb Co. 106,400 8,618,400
Gensia Pharmaceuticals* 144,500 636,703
Healthsouth Corp.* 53,400 1,331,663
Herbalife International Inc. 41,600 673,400
Johnson & Johnson 73,400 4,725,125
Lincare Holdings Inc.* 47,400 2,039,681
Merck & Company Inc. 76,400 7,907,400
Oxford Health Plans 38,100 2,734,866
Protein Design Labs Inc.* 19,600 553,700
RoTech Medical Corp.* 39,400 791,694
Safeskin Corp.* 27,000 795,656
Schering-Plough Corp. 144,200 6,903,575
<PAGE>
Number Market
of Shares Value
---------------------------------
Somatogen 138,800 $650,625
Sybron International Corp.* 19,500 777,563
Universal Health Services 15,200 585,200
-------------
45,072,360
INDUSTRIAL MACHINERY: 2.4%
Caterpillar Inc. 57,500 6,174,063
Graco Inc. 21,100 635,638
Harris Corp. Delaware 34,700 2,914,800
Ingersoll-Rand Co. 47,800 2,951,650
Intermet Corp. 40,000 643,750
Johnson Controls Inc. 101,200 4,155,525
Manitowoc Co., Inc. 16,200 757,350
-------------
18,232,776
LEISURE, LODGING AND ENTERTAINMENT: 1.0%
Brunswick Corp. 16,200 506,250
Callaway Golf Co. 87,600 3,109,800
HFS Inc.* 35,145 2,038,410
King World Productions Inc.* 56,700 1,984,500
-------------
7,638,960
METALS AND MINING: 0.8%
Asarco Inc. 66,200 2,027,375
Phelps Dodge Corp. 35,500 3,024,156
Valmont Industries 29,400 564,113
Zeigler Coal Holding Co. 25,700 600,738
-------------
6,216,382
MISCELLANEOUS: 0.6%
Barnes Group Inc. 25,000 737,500
CDW Computer Centers Inc.* 12,650 671,241
Corestaff Inc.* 30,100 814,581
Figgie International 53,800 733,025
Personnel Group of America Inc.* 20,800 599,300
Plantronics Inc.* 14,000 701,750
Robert Half International Inc.* 15100 710,644
-------------
4,968,041
PAPER AND FOREST PRODUCTS: 0.8%
Avery Dennison Corp. 111,900 4,489,988
James River Corp. of Virginia 23,500 869,500
Republic Group 37,290 750,461
-------------
6,109,949
REAL ESTATE: 0.1%
U.S. Home Corp.* 22,300 592,344
RETAIL: 3.2%
Burlington Coat Factory Warehouse 33,300 649,350
Carson Pirie Scott & Co.* 20,000 635,000
CVS Corporation 22,200 1,137,750
Fabri-Centers of America* 27,100 738,475
Family Dollar Stores 123,400 3,362,650
Filene's Basement Corp.* 102,000 672,562
The Gap Inc. 18,000 699,750
Genesco Inc.* 50,900 722,144
Jostens Inc. 84,500 2,228,688
Lands' End Inc.* 19,800 586,575
Proffitt's Inc.* 16,400 718,525
Russ Berrie & Co. Inc. 26,600 583,538
Safeway Inc.* 60,800 2,804,400
Sanmina Corp.* 11,000 688,875
Sears Roebuck & Co. 68,000 3,655,000
TJX Cos. Inc. 193,000 5,090,375
-------------
24,973,657
TELECOMMUNICATIONS: 4.5%
ADC Telecommunications 97,700 3,266,844
Ameritech Corp. 89,800 6,100,767
Ascend Communications Inc.* 24,600 966,319
BellSouth Corp. 65,800 3,051,475
Comnet Cellular Inc.* 22,600 788,175
GTE Corp. 58,300 2,557,913
Number Market
of Shares Value
---------------------------------
LCI International Inc. 20,000 $437,500
Nynex Corp. 63,300 3,647,663
Pairgain Technologies Inc.* 102,500 1,591,953
SBC Communications Inc. 47,032 2,910,105
Tellabs Inc.* 66,800 3,728,275
U.S. West Communications Group 140,900 5,310,169
-------------
34,357,158
TEXTILES AND APPAREL: 0.7%
Fruit of the Loom Inc.* 20,200 626,200
Miller (Herman) Inc. 6,700 240,363
Nautica Enterprises Inc. 25,100 664,366
Nike Inc. 41,900 2,445,913
Tommy Hilfiger Corp.* 1,000 40,188
Westpoint Stevens Inc.* 15,100 589,844
Williams Sonoma Inc.* 16,300 697,844
-------------
5,304,718
TRANSPORTATION AND SHIPPING: 0.9%
American West Holding Corp.* 39,100 566,950
AMR Corp.* 22,800 2,109,000
Comair Holdings Inc. 25,000 692,969
Continental Airlines* 19,500 681,281
Tidewater Inc. 29,400 1,293,600
UAL Corp.* 17,000 1,216,563
-------------
6,560,363
UTILITIES: 1.8%
Black Hills Corp. 21,100 601,350
Consolidated Edison of NY 27,700 815,419
Edison International 142,100 3,534,738
General Public Utilities Inc. 40,100 1,438,588
Green Mountain Power Corp. 25,600 606,400
Laclede Gas Co. 29,400 639,450
Northwestern Public Service Co. 35,000 752,500
Ohio Edison Co. 24,200 527,863
Texas Utilities Co. 101,700 3,502,294
TNP Enterprises 24,800 575,050
Unicom Corp. 45,400 1,010,150
-------------
14,003,802
TOTAL COMMON STOCKS: 54.6%
(Cost $283,554,669) 420,996,675
-------------
Par
MONEY MARKET INSTRUMENTS: Amount
----------------
Corporate Asset Funding
5.0%, 7/30/97 $9,300,000 9,258,421
Dupont E I De Nemours & Co.
5.58%, 7/8/97 11,100,000 11,087,805
General Electric Capital Corp.
5.6%, 7/3/97 4,000,000 3,998,762
Hertz Corp.
5.58%, 7/7/97 7,500,000 7,493,138
Merrill Lynch and Co.
5.5%, 7/2/97 15,300,000 15,297,644
5.59%, 7/23/97 1,200,000 1,195,915
-------------
TOTAL MONEY MARKET INSTRUMENTS: 6.3%
(Cost $48,331,685) 48,331,685
-------------
TOTAL INVESTMENTS: 99.3%
(Cost $624,909,692) 765,396,523
-------------
Other Assets Over Liabilities: 0.7% 5,358,688
-------------
NET ASSETS: 100.0%
(Equivalent to $17.510 per share based on
44,017,708 shares issued and outstanding) $770,755,211
-------------
<PAGE>
MONEY MARKET FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1997
INVESTMENTS:
Par Market
MONEY MARKET INSTRUMENTS: Amount Value
--------------------------------
AUTOMOBILE AND AUTO PARTS: 2.4%
Daimler-Benz NA Corp.
5.59%,8/05/97 $1,000,000 $994,604
5.75%,8/19/97 1,400,000 1,389,196
2,383,800
BANKING, FINANCE AND INSURANCE: 66.7%
American Express Centurion Bank
5.6575%,4/20/98 4,500,000 4,500,000
Associates Corp. North America
5.68%,8/11/97 3,600,000 3,577,040
Bankers Trust Company
5.32%,7/21/97 4,500,000 4,486,700
Cargill Financial Services
5.45%,7/03/97 4,000,000 3,998,789
Chase Manhattan Bank
5.61%,7/07/97 4,400,000 4,395,915
Corporate Asset Funding
5.58%,8/14/97 3,000,000 2,979,687
First Bank North America
5.6075%,4/10/98 4,500,000 4,497,649
International Lease Finance
5.53%,7/18/97 4,400,000 4,388,572
J.P. Morgan & Co. Inc.
5.51%,7/21/97 3,300,000 3,289,898
5.51%,7/21/97 1,200,000 1,196,327
Merrill Lynch & Co. Inc.
6.2%,7/01/97 2,700,000 2,700,000
5.55%,7/02/97 1,500,000 1,499,770
5.3%, 7/10/97 3,000,000 2,996,025
Met-Life Funding Corp.
5.59%,7/28/97 4,500,000 4,481,303
PNC Bank
5.69%,6/05/98 3,000,000 3,001,365
Private Export Funding
5.6%,7/14/97 4,800,000 4,790,380
Smith Barney Inc.
5.57%,7/09/97 3,300,000 3,295,937
5.59%,8/07/97 1,300,000 1,292,585
Sun Trust Bank Inc.
5.56%,8/01/97 4,000,000 3,980,849
-------------
65,348,791
CABLE, MEDIA AND PUBLISHING: 1.4%
Donnelly (RR) & Sons
5.57%,7/28/97 1,400,000 1,394,204
CHEMICALS: 7.9%
Dupont EI De Nemours & Co.
5.65%,8/18/97 4,800,000 4,764,352
Monsanto
5.26%,7/17/97 3,000,000 2,992,987
-------------
7,757,339
CONSUMER PRODUCTS AND SERVICES: 5.0%
PHH Corp.
5.68%,5/26/98 4,900,000 4,900,000
INDUSTRIAL MACHINERY: 4.6%
Caterpillar Financial
5.63%,7/28/97 4,500,000 4,500,000
PAPER: 4.6%
Weyerhauser Co.
5.61%,7/31/97 4,500,000 4,479,150
Par Market
Amount Value
---------------------------------
TELECOMMUNICATIONS: 10.2%
Ameritech Corp.
5.63%,8/25/97 $4,200,000 $4,164,388
AT&T Corp.
5.6%,8/05/97 4,000,000 3,978,494
Motorola Inc.
5.53%,7/23/97 1,900,000 1,893,612
-------------
10,036,494
TOTAL MONEY MARKET INSTRUMENTS: 102.8%
(Cost $100,799,778) 100,799,778
-------------
TOTAL INVESTMENTS: 102.8%
(Cost $100,799,778) 100,799,778
-------------
Other Assets Under Liabilities: (2.8%) (2,800,726)
-------------
NET ASSETS: 100.0%
(Equivalent to $10.00 per share based on
9,799,905 shares issued and outstanding) $97,999,052
=============
SOCIAL AWARENESS FUND
STATEMENT OF NET ASSETS-UNAUDITED
June 30, 1997
INVESTMENTS:
Number Market
COMMON STOCKS: of Shares Value
---------------------------------
BANKING, FINANCE AND INSURANCE: 30.2%
Ahmanson (H.F.) & Co. 268,900 $11,562,700
Allstate Corp. 120,634 8,806,282
AmSouth Bancorporation 262,350 9,920,109
Bank of Boston Corp. 119,700 8,625,881
Bank of New York Inc. 177,200 7,708,200
BankAmerica Corp. 212,400 13,713,075
Bear,Stearns & Co., Inc. 286,694 9,801,351
Chase Manhattan Corp. 115,500 11,210,719
Cigna Corp. 75,300 13,365,750
City National Corp. 329,500 7,928,594
Comdisco Inc. 85,100 2,212,600
Comerica Corp. 166,200 11,301,600
Edwards (A.G.) Inc. 229,500 9,897,188
First Chicago NBD Corp. 107,311 6,492,316
First of America Bank Corp. 204,450 9,353,588
First Union Corp. 62,100 5,744,250
Marsh & McLennan Cos. Inc. 197,200 14,075,150
Mellon Bank Corp. 294,200 13,275,775
Mercury General Corp. 81,300 5,914,575
Mid Ocean Ltd. 51,000 2,674,313
NationsBank Corp. 218,600 14,099,700
Old Republic International Corp. 224,550 6,806,672
Paine Webber Group Inc. 290,300 10,160,500
Reliance Group Holdings 599,200 7,115,500
Republic New York Corp. 57,200 6,149,000
Student Loan Marketing Association 84,900 10,782,300
SunAmerica Inc. 215,600 10,510,500
Travelers Group Inc. 354,633 22,364,044
-------------
271,572,232
BUILDING AND MATERIALS: 0.7%
Oakwood Homes 274,600 6,590,400
CABLE, MEDIA AND PUBLISHING: 3.9%
Deluxe Corp. 218,300 7,449,488
Ennis Business Forms Inc. 176,800 1,701,700
Harland John H. Co. 209,900 4,788,344
HBO & Co. 176,700 12,170,213
New York Times Co. 182,300 9,206,150
-------------
35,315,895
CHEMICALS: 0.3%
International Flavors & Fragrances Inc. 44,700 2,257,350
<PAGE>
Number Market
of Shares Value
---------------------------------
COMPUTERS AND TECHNOLOGY: 9.5%
American Power Conversion Corp.* 484,700 $9,163,859
Cadence Design Systems Inc.* 281,200 9,420,200
Cisco Systems Inc.* 41,600 2,793,700
Compaq Computer Corp.* 173,000 17,170,250
Gartner Group Inc.Class A* 237,100 8,513,372
Micron Electronics Inc.* 66,600 1,190,475
Microsoft Corp.* 133,000 16,820,344
Quantum Corp.* 529,200 10,765,913
Western Digital Corp.* 298,600 9,443,225
-------------
85,281,338
CONSUMER PRODUCTS: 3.3%
Avon Products Inc. 156,100 11,014,806
Clorox Co. 67,600 8,923,200
Omnicom Group Inc. 161,700 9,964,763
-------------
29,902,769
ELECTRONICS AND ELECTRICAL: 1.9%
Anixter International Inc.* 137,700 2,366,719
Tellabs Inc.* 265,600 14,823,800
-------------
17,190,519
ENERGY: 2.4%
Global Marine Inc.* 227,500 5,289,375
Helmerich & Payne Inc. 70,000 4,033,750
Oryx Energy Co.* 299,200 6,320,600
Union Texas Petroleum Holdings Inc. 286,000 5,988,125
-------------
21,631,850
FOOD, BEVERAGE AND TOBACCO: 9.1%
Boston Chicken Inc.* 326,400 4,559,400
Campbell Soup Co. 180,200 9,010,000
Coca Cola Co. 233,000 16,251,750
Flowers Industries Inc. 496,050 8,339,841
Hershey Foods Corp. 205,500 11,366,719
Hormel Foods Corp. 80,400 2,160,750
International Multifoods Corp. 74,000 1,859,250
Interstate Bakeries 185,000 10,972,813
Quaker Oats Co. 224,100 10,056,488
Ralston-Purina Co. 72,600 5,966,813
Universal Foods Corp. 34,500 1,315,313
-------------
81,859,137
HEALTHCARE AND PHARMACEUTICALS: 8.5%
Amgen Inc.* 173,200 10,061,837
Healthsouth Rehabilitation Corp.* 359,000 8,952,563
Johnson & Johnson 269,400 17,342,625
Lincare Holdings Inc.* 134,100 5,770,491
Oxford Health Plans Inc.* 147,900 10,616,447
Phycor Inc.* 138,800 4,775,587
Schering-Plough Corp. 380,000 18,192,500
-------------
75,712,050
LEISURE AND ENTERTAINMENT : 1.5%
Callaway Golf Co. 215,200 7,639,600
Fleetwood Enterprises Inc. 64,000 1,908,000
King World Productions Inc.* 95,300 3,335,500
-------------
12,883,100
METALS AND MINING: 0.3%
Cleveland-Cliffs Inc. 62,900 2,563,175
PACKAGING AND CONTAINERS: 0.5%
Sealed Air Corp.* 99,000 4,702,500
PAPER AND FOREST PRODUCTS: 0.3%
Avery Dennison Corp. 67,000 2,688,375
RETAIL: 9.4%
CVS Corporation 73,200 3,751,500
The Gap Inc. 218,000 8,474,750
Number Market
of Shares Value
---------------------------------
Jostens Inc. 83,300 $2,197,038
Ross Stores Inc. 356,075 11,628,074
Safeway Inc.* 261,512 12,062,241
Sears,Roebuck & Co. 266,100 14,302,875
Staples Inc.* 41,000 950,687
Tiffany & Co.. 247,700 11,440,644
TJX Cos. Inc. 472,200 12,454,275
Wal-Mart Stores 27,800 939,988
Woolworth Corp* 265,000 6,360,000
-------------
84,562,072
TELECOMMUNICATIONS: 10.2%
ADC Telecommunications Inc.* 244,100 8,162,094
Ameritech Corp. 281,600 19,131,200
Ascend Communications Corp.* 70,400 2,765,400
Bell Atlantic Corp. 171,800 13,035,325
Nynex Corp. 196,500 11,323,313
PairGain Technologies Inc.* 415,900 6,459,447
Picturetel Corp.* 214,300 2,039,190
SBC Communications Inc. 307,932 19,053,292
U.S. West Communications Group 249,000 9,384,188
-------------
91,353,449
TEXTILES AND APPAREL : 1.0%
Miller (Herman) Inc. 18,200 652,925
Nike Inc. 52,100 3,041,338
Tommy Hilfiger Corp.* 129,500 5,204,281
-------------
8,898,544
TRANSPORTATION AND SHIPPING: 1.2%
AMR Corp.* 58,500 5,411,250
Paccar 51,200 2,377,600
Tidewater Inc. 17,800 783,200
UAL Corp.* 34,400 2,461,750
-------------
11,033,800
TOTAL COMMON STOCKS: 94.2%
(cost $629,340,171) 845,998,555
-------------
Par
MONEY MARKET INSTRUMENTS: Amount
----------------
Bell Atlantic Financial
5.55%, 7/21/97 $11,100,000 11,065,775
Cargill Financial Services
5.51%, 7/10/97 5,600,000 5,592,300
Dun & Bradstreet Corp.
5.67%, 7/23/97 3,600,000 3,587,570
Merrill Lynch & Co.
5.55%, 7/1/97 6,500,000 6,500,000
5.54%, 7/2/97 2,000,000 1,999,693
5.55%, 7/7/97 3,800,000 3,796,478
5.59%, 7/23/97 1,900,000 1,893,533
Mitsui & Co.
5.60%, 7/8/97 2,300,000 2,297,505
5.62%,7/9/97 6,500,000 6,491,954
5.61%,7/15/97 2,000,000 1,995,660
5.63%,7/17/97 1,400,000 1,396,516
Novartis Finance Corp.
5.65%, 7/8/97 1,000,000 998,901
Smith Barney
5.55%, 7/14/97 4,100,000 4,091,813
United States Treasury Bill (+)
5.55%, 4/30/98 2,000,000 1,906,659
-------------
TOTAL MONEY MARKET INSTRUMENTS: 6.0%
(cost $53,614,357 ) 53,614,357
-------------
TOTAL INVESTMENTS: 100.2%
(cost $682,954,528 ) 899,612,912
-------------
<PAGE>
Market
Value
-------------------
Other Assets Under Liabilities: (0.2%) ($1,655,943)
-------------
NET ASSETS: 100.0%
(equivalent to $30.083 per share based on
29,849,273 shares issued and outstanding) $897,956,969
-------------
SPECIAL OPPORTUNITIES FUND
STATEMENT OF NET ASSETS- UNAUDITED
June 30, 1997
INVESTMENTS:
Number Market
COMMON STOCKS: of Shares Value
---------------------------------
AEROSOPACE: 1.0%
McDonnell Douglas Corp. 100,700 $6,897,950
AUTOMOBILE AND AUTO PARTS: 2.9%
BF Goodrich 145,000 6,280,313
Cooper Industries Inc. 143,500 7,139,125
Dana Corp. 190,300 7,231,400
-------------
20,650,838
BANKING, FINANCE AND INSURANCE: 13.7%
AmSouth Bancorporation 175,000 6,617,188
Bank of Boston Corp. 88,800 6,399,150
Bear,Stearns & Co., Inc. 202,999 6,940,028
Cigna Corp. 42,400 7,526,000
Edwards (A.G.) Inc. 182,700 7,878,938
Equifax Inc. 209,800 7,801,938
Marsh & McLennan Cos. Inc. 105,200 7,508,650
MBIA Inc. 62,000 6,994,375
Mercury General Corp. 103,800 7,551,450
Mid Ocean Ltd. 125,700 6,591,394
Old Republic International Corp. 225,500 6,835,469
Pacific Century Financial Corp. 155,000 7,168,750
Star Banc Corp. 160,000 6,760,000
Student Loan Marketing Association 53,500 6,794,500
-------------
99,367,830
BUILDINGS AND MATERIALS: 3.0%
Carpenter Technology 154,900 7,086,675
Centex Corp. 182,900 7,430,313
USG Corp. 190,000 6,935,000
-------------
21,451,988
CABLE, MEDIA & PUBLISHING: 5.5%
Deluxe Corp. 207,600 7,084,350
Harland (John H.) 232,700 5,308,469
HBO & Co. 105,800 7,286,975
Moore Corp., Ltd. 319,000 6,280,313
New England Business Services Inc. 241,800 6,362,363
New York Times Co. 146,500 7,398,250
-------------
39,720,720
CHEMICALS: 2.5%
Cytec Industries 168,000 6,279,000
Dexter Corp. 215,800 6,905,600
International Flavors & Fragrances Inc. 94,000 4,747,000
-------------
17,931,600
COMPUTERS AND TECHNOLOGY: 6.9%
American Power Conversion Corp.* 343,300 6,490,516
BMC Software Inc.* 135,300 7,500,694
Cadence Design Systems Inc.* 198,375 6,645,563
PeopleSoft Inc.* 140,000 7,376,250
Quantum Corp.* 357,200 7,266,788
Sun Microsystems * 207,500 7,722,891
Western Digital Corp.* 215,100 6,802,538
-------------
49,805,240
Number Market
of Shares Value
---------------------------------
CONSUMER PRODUCTS: 1.9%
Clorox Co. 52,200 $6,890,400
Masco Corp. 170,000 7,097,500
-------------
13,987,900
ELECTRONICS AND ELECTRICAL: 2.9%
Hubbell-Class B 166,800 7,339,200
SCI Systems* 114,500 7,299,375
Ucar International Inc.* 141,500 6,473,625
-------------
21,112,200
ENERGY: 7.7%
National Fuel & Gas Co. 152,700 6,403,856
Occidental Petroleum Corp. 269,000 6,741,813
Oryx Energy Co.* 325,300 6,871,963
Peoples Energy Corp. 190,000 7,113,125
Phillips Petroleum Co. 158,400 6,930,000
Smith International Inc.* 121,600 7,387,200
Union Texas Petroleum Holdings, Inc. 352,500 7,380,469
USX - Maraton Group Inc. 249,500 7,204,313
-------------
56,032,739
ENVIROMENTAL SERVICES: 1.0%
Honeywell Corp. 93,200 7,071,550
FOOD, BEVERAGE AND TOBACCO: 5.2%
Dean Foods Co. 180,200 7,275,575
Fortune Brands Inc. 194,600 7,261,013
Gallagher Group Plc 127,200 2,345,250
International Multifoods Corp. 266,500 6,695,813
Interstate Bakeries 128,900 7,645,381
Universal Food Corp. 204,100 6,480,175
-------------
37,703,207
HEALTHCARE AND PHARMACEUTICALS: 2.9%
Health Management Associates Class A * 240,400 6,851,400
Lincare Holdings Inc.* 167,500 7,207,734
U.S. Surgical Corp. 195,900 7,297,275
-------------
21,356,409
INDUSTRIAL MACHINERY: 4.7%
American Standard Co. * 151,200 6,766,200
Durco International Inc. 253,700 7,468,294
Ingersoll-Rand Co. 116,500 7,193,875
Johnson Controls Inc. 154,600 6,348,263
Snap-On Tools Inc. 166,700 6,563,813
-------------
34,340,445
LEISURE AND ENTERTAINMENT: 2.9%
Callaway Golf Co. 209,900 7,451,450
Fleetwood Enterprises 217,200 6,475,275
MGM Grand Inc.* 196,800 7,281,600
-------------
21,208,325
METALS AND MINING: 5.0%
Asarco Inc. 234,200 7,172,375
Ball Corp. 245,500 7,380,344
Bethlehem Steel Corp.* 669,700 6,989,994
Nucor Corp.* 127,200 7,282,200
Phelps Dodge Corp. 88,200 7,513,538
-------------
36,338,451
MISCELLANEOUS: 1.0%
Corrections Corporation of America* 189,300 7,524,675
PAPER AND FOREST PRODUCTS: 1.7%
Avery- Dennison Corp. 154,900 6,215,363
Chesapeake Corp. 185,400 6,257,250
-------------
12,472,613
<PAGE>
Number Market
of Shares Value
---------------------------------
RETAIL: 8.8%
CVS Corporation 136,200 $6,980,250
Harsco Corp. 177,000 7,168,500
Liz Claiborne Inc. 151,200 7,049,700
Neiman-Marcus Group* 240,600 6,315,750
Ross Stores Inc. 223,200 7,288,875
Safeway Inc.* 146,812 6,771,703
Staples Inc.* 300,775 6,974,220
Tiffany & Co. 160,900 7,431,569
TJX Cos. Inc. 288,000 7,596,000
-------------
63,576,567
TELECOMMUNICATIONS: 3.2%
ADC Telecommunications Inc.* 204,400 6,834,625
Ascend Communications Inc.* 132,200 5,192,981
Cincinnati Bell Inc. 228,800 7,207,200
PairGain Technologies Inc.* 271,700 4,219,841
-------------
23,454,647
TEXTILES AND APPAREL: 1.7%
Fruit of the Loom Inc.* 189,800 5,883,800
Tommy Hilfiger Corp.* 166,900 6,707,294
-------------
12,591,094
TRANSPORTATION AND SHIPPING: 2.7%
AMR Corp.* 69,400 6,419,500
Northwest Airlines Corp.* 154,500 5,648,906
Tidewater Inc. 169,900 7,475,600
-------------
19,544,006
UTILITIES: 6.2%
Baltimore Gas & Electric Co. 246,700 6,583,806
General Public Utilities Corp. 192,500 6,905,938
Rochester Gas & Electric Corp. 283,100 5,962,794
Sierra Pacific Resources 236,300 7,561,600
Southwestern Public Service Co. 178,500 7,017,281
Texas Utilities Co. 172,900 5,954,233
Unicom Corp. 207,900 4,625,775
-------------
44,611,427
TOTAL COMMON STOCKS: 94.9%
(Cost $548,466,040) 688,752,421
-------------
Par
MONEY MARKET INSTRUMENTS: Amount
----------------
AT&T Corp.
5.5%, 7/2/1997 $1,000,000 999,847
Cargill Financial Services
5.5%, 7/10/1997 10,300,000 10,285,838
General Electric Capital Corp.
5.6%, 7/22/1997 3,000,000 2,990,200
Merrill Lynch & Co.
5.5%, 7/2/1997 16,000,000 15,997,533
5.58%, 7/7/1997 1,200,000 1,198,886
5.55%, 7/9/1997 1,100,000 1,098,636
Mitsui & Co.
5.62%, 7/15/1997 1,600,000 1,596,516
Nalco Chemical Corp.
5.58%, 7/8/1997 1,500,000 1,498,378
United States Treasury Bill (+)
5.55%, 4/30/98 500,000 476,665
-------------
TOTAL MONEY MARKET INSTRUMENTS: 5.0%
(Cost $36,142,499) 36,142,499
-------------
TOTAL INVESTMENTS: 99.9%
(Cost $584,608,539 ) 724,894,920
-------------
Market
Value
-----------------
Other Assets Over Liabilities: 0.1% $833,223
NET ASSETS: 100.0%
(Equivalent to $30.498 per share based on 23,796,038
shares issued and outstanding) $725,728,143
=============
(+) Fully or Partially pledged as collateral for Financial Futures
* Non-income producing
** Par amounts for foreign debt are expressed in local currency
See accompanying notes to financial statements
<PAGE>
STATEMENT OF OPERATIONS - UNAUDITED
Six months ended June 30, 1997
<TABLE>
<CAPTION>
AGGRESSIVE CAPITAL EQUITY GLOBAL ASSET GROWTH
GROWTH BOND APPRECIATION INCOME ALLOCATION AND INCOME
FUND FUND FUND FUND FUND FUND
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $810,060 $9,245,168 $776,679 $654,450 $4,817,097 $67,797
- -------------------------------------------------------------------------------------------------------------------------
Dividends 363,888 - 2,891,040 6,736,923 2,004,623 29,877,677
- -------------------------------------------------------------------------------------------------------------------------
Less: Dividend Tax - - (74,018) (58,889) (28,974) -
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 1,173,948 9,245,168 3,593,701 7,332,484 6,792,746 29,945,474
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 931,540 595,474 1,233,647 2,540,748 1,242,084 4,375,161
- -------------------------------------------------------------------------------------------------------------------------
Accounting Fees 59,741 63,409 62,130 101,980 94,064 356,315
- -------------------------------------------------------------------------------------------------------------------------
Custodial fees 8,432 - 43,975 29,762 127,144 -
- -------------------------------------------------------------------------------------------------------------------------
Directors fees 1,500 1,500 1,500 1,500 1,500 1,500
- -------------------------------------------------------------------------------------------------------------------------
Printing and Postage 13,743 24,383 12,076 15,111 21,223 98,968
- -------------------------------------------------------------------------------------------------------------------------
Other 4,189 35,757 4,819 19,788 9,632 128,255
- -------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 1,019,145 720,523 1,358,147 2,708,889 1,495,647 4,960,199
- -------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 154,803 8,524,645 2,235,554 4,623,595 5,297,099 24,985,275
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain(loss) on:
Investment transactions 5,832,670 86,677 19,358,224 6,630,182 19,128,450 80,085,930
- -------------------------------------------------------------------------------------------------------------------------
Foreign currency transactions - - 836,893 (8,338) 1,263,709 -
- -------------------------------------------------------------------------------------------------------------------------
Options written - - - - 8,710 -
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN ON INVESTMENTS 5,832,670 86,677 20,195,117 6,621,844 20,400,869 80,085,930
- -------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
or depreciation on:
Investments 7,330,268 (1,952,268) 22,219,011 80,426,906 21,295,980 318,507,894
- -------------------------------------------------------------------------------------------------------------------------
Translation of assets and
liabilities in foreign
currencies - - (313,823) (163) (3,781,617) -
- -------------------------------------------------------------------------------------------------------------------------
Options written - - - - - -
- -------------------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION OR DEPRECIATION
ON INVESTMENTS 7,330,268 (1,952,268) 21,905,188 80,426,743 17,514,363 318,507,894
- -------------------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 13,162,938 (1,865,591) 42,100,305 87,048,587 37,915,232 398,593,824
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $13,317,741 $6,659,054 $44,335,859 $91,672,182 $43,212,331 $423,579,099
=========================================================================================================================
</TABLE>
See accompanying notes to financial statements.
<PAGE>
STATEMENT OF OPERATIONS - UNAUDITED (Continued)
Six months ended June 30, 1997
<TABLE>
<CAPTION>
MONEY SOCIAL SPECIAL
INTERNATIONAL MANAGED MARKET AWARENESS OPPORTUNITIES
FUND FUND FUND FUND FUND
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $149,735 $11,662,964 $2,612,640 $1,343,283 $1,100,534
- -----------------------------------------------------------------------------------------------------------
Dividends 4,659,933 3,857,458 - 5,656,625 6,037,477
- -----------------------------------------------------------------------------------------------------------
Less: Dividend Tax (227,253) - - - -
- -----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 4,582,415 15,520,422 2,612,640 6,999,908 7,138,011
- -----------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 1,798,308 1,352,412 225,544 1,414,523 1,293,181
- -----------------------------------------------------------------------------------------------------------
Accounting Fees 136,994 145,843 33,650 147,064 137,325
- -----------------------------------------------------------------------------------------------------------
Custodial fees 116,541 - - - -
- -----------------------------------------------------------------------------------------------------------
Directors fees 1,500 1,500 1,500 1,500 1,500
- -----------------------------------------------------------------------------------------------------------
Printing and Postage 17,884 41,531 12,706 22,515 30,673
- -----------------------------------------------------------------------------------------------------------
Other 39,110 63,300 23,549 56,865 50,905
- -----------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 2,110,337 1,604,586 296,949 1,642,467 1,513,584
- -----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 2,472,078 13,915,836 2,315,691 5,357,441 5,624,427
- -----------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain(loss) on:
Investment transactions 12,817,851 28,318,087 - 25,911,101 27,100,762
- -----------------------------------------------------------------------------------------------------------
Foreign currency transactions (717,996) - - - -
- -----------------------------------------------------------------------------------------------------------
NET REALIZED GAIN ON INVESTMENTS 12,099,855 28,318,087 - 25,911,101 27,100,762
- -----------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
or depreciation on:
Investments 37,327,428 30,054,995 - 83,550,692 41,031,496
- -----------------------------------------------------------------------------------------------------------
Translation of assets and
liabilities in foreign
currencies (189,041) - - - -
- -----------------------------------------------------------------------------------------------------------
Options written - - - - -
- -----------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION OR DEPRECIATION
ON INVESTMENTS 37,138,387 30,054,995 - 83,550,692 41,031,496
- -----------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 49,238,242 58,373,082 - 109,461,793 68,132,258
- -----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $51,710,320 $72,288,918 $2,315,691 $114,819,234 $73,756,685
===========================================================================================================
</TABLE>
See accompanying notes to financial statements.
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS - UNAUDITED
Year Ended December 31, 1996 and Six Month Period Ended June 30, 1997
<TABLE>
<CAPTION>
AGGRESSIVE CAPITAL EQUITY GLOBAL ASSET GROWTH
GROWTH BOND APPRECIATION INCOME ALLOCATION AND INCOME
FUND FUND FUND FUND FUND FUND
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS AT JANUARY 1, 1996 $138,470,624 $250,816,054 $127,935,784 $238,770,876 $248,772,262 $1,833,450,457
- ----------------------------------------------------------------------------------------------------------------------------------
Changes from operations:
Net investment income 57,076 16,821,434 1,919,672 6,935,436 8,285,181 48,237,783
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments 11,900,740 (3,454,651) 10,296,305 12,117,083 26,677,086 85,813,991
- ----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
or depreciation on investments 16,841,039 (7,435,059) 19,506,786 48,767,044 7,148,121 261,545,447
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 28,798,855 5,931,724 31,722,763 67,819,563 42,110,388 395,597,221
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholder from:
Net investment income (57,076) (16,821,434) (1,919,672) (6,935,436) (8,285,181) (48,237,783)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments (2,790,157) - (6,563,477) (4,278,448) (14,516,993) (112,217,388)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL DIVIDENDS TO SHAREHOLDER (2,847,233) (16,821,434) (8,483,149) (11,213,884) (22,802,174) (160,455,171)
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 78,186,517 13,401,561 116,066,459 161,776,782 47,970,999 396,630,995
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 104,138,139 2,511,851 139,306,073 218,382,461 67,279,213 631,773,045
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS AT DECEMBER 31, 1996 $242,608,763 $253,327,905 $267,241,857 $457,153,337 $316,051,475 $2,465,223,502
Changes from operations:
Net investment income 154,803 8,524,645 2,235,554 4,623,595 5,297,099 24,985,275
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments 5,832,670 86,677 20,195,117 6,621,844 20,400,869 80,085,930
- ----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
or depreciation on investments 7,330,268 (1,952,268) 21,905,188 80,426,743 17,514,363 318,507,894
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 13,317,741 6,659,054 44,335,859 91,672,182 43,212,331 423,579,099
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholder from:
Net investment income - - - - - -
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments (11,900,740) - (10,296,305) (12,117,083) (26,677,086) (85,813,991)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL DIVIDENDS TO SHAREHOLDER (11,900,740) - (10,296,305) (12,117,083) (26,677,086) (85,813,991)
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 30,727,219 5,791,184 63,952,291 102,939,302 58,735,610 239,992,971
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 32,144,220 12,450,238 97,991,845 182,494,401 75,270,855 577,758,079
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS AT JUNE 30, 1997 $274,752,983 $265,778,143 $365,233,702 $639,647,738 $391,322,330 $3,042,981,581
==================================================================================================================================
</TABLE>
See accompanying notes to financial statements.
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS - UNAUDITED (Continued)
Year Ended December 31, 1996 and Six Month Period Ended June 30, 1997
<TABLE>
<CAPTION>
MONEY SOCIAL SPECIAL
INTERNATIONAL MANAGED MARKET AWARENESS OPPORTUNITIES
FUND FUND FUND FUND FUND
-------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
NET ASSETS AT JANUARY 1, 1996 $358,390,603 $589,164,601 $75,319,387 $297,982,902 $505,754,680
- --------------------------------------------------------------------------------------------------------------------------
Changes from operations:
Net investment income 2,066,271 25,904,853 4,381,291 7,063,379 11,444,983
- --------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments 21,685,866 18,028,760 - 36,341,047 47,162,977
- --------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
or depreciation on investments 14,664,589 33,901,393 - 73,057,957 32,939,003
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 38,416,726 77,835,006 4,381,291 116,462,383 91,546,963
- --------------------------------------------------------------------------------------------------------------------------
Dividends to shareholder from:
Net investment income (2,066,271) (25,904,853) (4,381,291) (7,063,379) (11,444,983)
- --------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments (2,498,696) (37,948,391) - (18,559,957) (38,158,400)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL DIVIDENDS TO SHAREHOLDER (4,564,967) (63,853,244) (4,381,291) (25,623,336) (49,603,383)
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 48,132,300 72,594,054 15,038,221 247,772,594 100,893,476
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 81,984,059 86,575,816 15,038,221 338,611,641 142,837,056
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS AT DECEMBER 31, 1996 $440,374,662 $675,740,417 $90,357,608 $636,594,543 $648,591,736
Changes from operations:
Net investment income 2,472,078 13,915,836 2,315,691 5,357,441 5,624,427
- --------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments 12,099,855 28,318,087 - 25,911,101 27,100,762
- --------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
or depreciation on investments 37,138,387 30,054,995 - 83,550,692 41,031,496
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 51,710,320 72,288,918 2,315,691 114,819,234 73,756,685
- --------------------------------------------------------------------------------------------------------------------------
Dividends to shareholder from:
Net investment income - - (2,315,691) - -
- --------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments (21,685,866) (18,028,760) - (36,341,047) (47,162,977)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL DIVIDENDS TO SHAREHOLDER (21,685,866) (18,028,760) (2,315,691) (36,341,047) (47,162,977)
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 29,261,646 40,754,636 7,641,444 182,884,239 50,542,699
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 59,286,100 95,014,794 7,641,444 261,362,426 77,136,407
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS AT JUNE 30, 1997 $499,660,762 $770,755,211 $97,999,052 $897,956,969 $725,728,143
==========================================================================================================================
</TABLE>
See accompanying notes to financial statements.
<PAGE>
NOTES TO FINANCIAL STATEMENTS - UNAUDITED
June 30, 1997
1. SIGNIFICANT ACCOUNTING POLICIES
THE FUNDS: Aggressive Growth Fund., Bond Fund, Capital Appreciation Fund,
Equity Income Fund, Global Asset Allocation Fund, Growth and Income Fund,
International Fund, Managed Fund, Money Market Fund, and Social Awareness
Fund are registered as open-end, diversified management investment companies
and Special Opportunities Fund is registered as an open-end, non-diversified
management investment company under the Investment Company Act of 1940, as
amended. The Funds' shares are sold only to The Lincoln National Life
Insurance Company (the Company) for allocation to its Variable Annuity Account
C, which was established for the purpose of funding variable annuity
contracts, and to its Flexible Premium Variable Life Accounts D, G, and K,
which were established for the purpose of funding variable universal life
contracts.
The Funds' investment objectives are as follows:
FUND INVESTMENT OBJECTIVE
---- --------------------
Aggressive The investment objective is to maximize capital appreciation.
Growth Fund The Fund invests in stocks of smaller, lesser known companies
which have a chance to grow significantly in a short time.
Bond Fund The investment objective is to maximize current income
consistent with prudent investment strategy. The Fund invests
primarily in medium and long-term corporate and government
bonds.
Capital The investment objective is to maximize long-term growth
Appreciation of capital in a manner consistent with preservation of
Fund capital. The Fund primarily buys stocks in a large number of
companies of all sizes if the companies are competing well and
if their products or services are in high demand. It may also
buy some money market securities and bonds, including junk
(high-risk) bonds.
Equity The investment objective is to achieve reasonable income by
Income Fund investing primarily in income-producing equity securities.
The Fund invests mostly in high-income stocks and some
high-yielding bonds (including junk bonds).
Global Asset The investment objective is to maximize long-term total return
Allocation Fund consistent with preservation of capital. The Fund allocates
its assets among several categories of equity and fixed-income
securities, both of U.S. and foreign issuers.
Growth and The investment objective is to maximize long-term
Income Fund capital appreciation. The Fund buys stocks of established
companies.
International The investment objective is to maximize long-term capital
Fund appreciation. The Fund trades in securities issued outside
the U.S.--mostly stocks, with an occasional bond or money
market security.
Managed Fund The investment objective is to maximize long-term total
return (capital gains plus income) consistent with prudent
investment strategy. The Fund invests in a mix of stocks,
bonds, and money market securities, as determined by an
investment committee.
Money The investment objective is to maximize current income
Market Fund consistent with the preservation of capital. The Fund invests
in short-term obligations issued by U.S. corporations, the
U.S. Government, and federally- chartered banks and U.S.
branches of foreign banks.
Social The investment objective is to maximize long-term capital
Awareness Fund appreciation. The Fund buys stocks of established companies
which adhere to certain specific social criteria.
Special The investment objective is to maximize capital appreciation.
Opportunities The Fund primarily invests in mid-size companies whose stocks
Fund have significant growth potential. Current income is a
secondary consideration.
<PAGE>
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
INVESTMENT VALUATION: Investments are stated at value. Portfolio securities
which are traded on stock exchanges are valued at the last reported sale price
on the exchange or market where primarily traded or listed or, in the absence
of recent sales, at the mean between the last reported bid and asked prices.
Long-term debt investments are valued at their bid quotations. The Funds
hedge certain portions of their exposure to fluctuations in interest, market,
and foreign exchange risks by entering into derivative transactions. These
hedges include options, financial futures, and forward foreign currency
contracts. Options traded on exchanges are valued at the last bid price for
options purchased and the last sale price for options written. Options traded
in the over-the-counter market are valued at the last asked price for options
written and the last bid price for options purchased. Financial futures are
valued at the settlement price established each day by the board of trade or
exchange on which they are traded. Forward foreign currency contracts are
valued at the forward exchange rates prevailing on the day of valuation.
Other securities and assets for which market quotations are not readily
available are valued at fair value as determined in good faith by or under the
direction of the Funds' Board of Directors. Money market instruments in
securities are stated at amortized cost, which approximates market value.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME: Investment transactions are
accounted for on the trade date. Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis.
Interest income includes premium and discount amortization on money market
instruments and mortgage-backed securities; it also includes original issue
and market discount amortization on long-term debt investments. Realized
gains or losses from investment transactions are reported on an identified
cost basis. Gains and losses on premiums from expired options are recognized
on the date of expiration.
SECURITIES SOLD SHORT: Short-selling of securities obligate the Funds to
replace the security borrowed by purchasing it at market value at the
replacement date. The Funds would realize a gain (loss) if the price of the
security declines (increases) between the sale and replacement date.
FOREIGN CURRENCY TRANSACTIONS: The books and records of the Funds are
maintained in U.S. dollars. All assets and liabilities denominated in a
foreign currency are translated into U.S. dollars based upon foreign exchange
rates prevailing at the end of the period. Income and expenses and purchases
and sales of investments are translated into U.S. dollars at the rate of
exchange prevailing on the respective dates of such transactions. The effects
of changes in foreign currency exchange rates on investments in securities are
not segregated from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment in securities.
Reported net realized gains and losses on foreign currency transactions arise
from sales and maturities of forward foreign currency contracts, currency
gains and losses between the trade and settlement dates on securities
transactions, and the differences 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 change in unrealized
appreciation or depreciation on translation of assets and liability in foreign
currencies arise from changes in the value of other assets and liabilities at
the end of the period resulting from changes in the exchange rates.
USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates.
EXPENSES: The custodian bank of the Bond Fund, Growth and Income Fund, Managed
Fund, Money Market Fund, Social Awareness Fund and Special Opportunities Fund
has agreed to waive its custodial fees when the Funds maintain a prescribed
amount of cash on deposit in certain non-interest bearing accounts. For the
six months ended June 30, 1997, the custodial fees offset arrangements were
not material to either total expenses or the calculation of average net assets
and the ratio of expenses to average net assets.
TAXES: Each Fund has complied with the special provisions of the Internal
Revenue Code for regulated investment companies. As such, each Fund is not
subject to U.S. federal income taxes to the extent that it distributes all of
its taxable income for its fiscal year.
Withholding taxes on foreign interest have been provided for in accordance
with the applicable country's tax rates.
<PAGE>
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
2. OTHER ASSETS OVER (UNDER) LIABILITIES
The statement of net assets accounts "Other Assets Over(Under) Liabilities" at
June 30, 1997 consisted of the following assets (liabilities):
<TABLE>
<CAPTION>
AGGRESSIVE CAPITAL EQUITY GLOBAL ASSET GROWTH
GROWTH BOND APPRECIATION INCOME ALLOCATION AND INCOME
FUND FUND FUND FUND FUND FUND
---------- ---- ------------ ------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Cash $ - $ 327,331 $ 20,003 $ - $ 6,019,320 $ 93,826
- -----------------------------------------------------------------------------------------------------------------------
Foreign currency - - 977,163 208,465 6,681,198 -
- -----------------------------------------------------------------------------------------------------------------------
Receivable for dividends earned 26,289 - 1,223,534 1,320,053 454,922 5,663,039
- -----------------------------------------------------------------------------------------------------------------------
Receivable for interest earned 4,730 4,133,510 - 167,399 1,631,237 -
- -----------------------------------------------------------------------------------------------------------------------
Receivable for securities sold 2,226,011 - 1,436,793 926,040 11,128,468 1,734,011
- -----------------------------------------------------------------------------------------------------------------------
Receivable for capital shares sold 449,588 120,250 519,219 692,253 450,376 1,404,741
- -----------------------------------------------------------------------------------------------------------------------
Payable for securities purchased (1,971,395) - (10,098,160) (1,971,510) (16,483,812) (8,034,557)
- -----------------------------------------------------------------------------------------------------------------------
Management fees payable (163,880) (100,344) (234,754) (488,046) (229,873) (789,916)
- -----------------------------------------------------------------------------------------------------------------------
Other, net (44,487) (73,952) (372,320) (96,971) (209,427) (256,214)
- -----------------------------------------------------------------------------------------------------------------------
$ 526,856 $4,406,795 $ (6,528,522) $ 757,683 $ 9,442,409 $ (185,070)
==================================================================================
</TABLE>
<TABLE>
<CAPTION>
MONEY SOCIAL SPECIAL
INTERNATIONAL MANAGED MARKET AWARENESS OPPORTUNITIES
FUND FUND FUND FUND FUND
------------- ------- ------ --------- -------------
<S> <C> <C> <C> <C> <C>
Cash $ 2,509 $ 87,884 $ 102,758 $ 24,648 $ 483,922
- ----------------------------------------------------------------------------------------------------------
Foreign currency 8,580,760 - - - -
- ----------------------------------------------------------------------------------------------------------
Receivable for dividends earned 1,568,053 741,480 - 844,052 1,260,180
- ----------------------------------------------------------------------------------------------------------
Receivable for interest earned 354 5,039,391 31,318 - -
- ----------------------------------------------------------------------------------------------------------
Receivable for securities sold 14,796,764 3,502,982 - 10,362,644 1,128,489
- ----------------------------------------------------------------------------------------------------------
Receivable for capital shares sold - 1,005 164,090 1,385,011 434,877
- ----------------------------------------------------------------------------------------------------------
Payable for securities purchased (14,550,784) (3,616,807) (3,013,689) (13,676,335) (2,134,943)
- ----------------------------------------------------------------------------------------------------------
Management fees payable (317,085) (234,813) (46,527) (263,457) (224,247)
- ----------------------------------------------------------------------------------------------------------
Other, net (248,973) (162,434) (38,676) (332,506) (115,055)
- ----------------------------------------------------------------------------------------------------------
$ 9,831,598 $ 5,358,688 $(2,800,726) $(1,655,943) $ 833,223
====================================================================
</TABLE>
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Lincoln Investment Management Company (the Advisor) and it's affiliates manage
the Funds' investment portfolios and maintains their accounts and records. In
return for these services, the Advisor receives a management fee at an annual
rate of .48% of the first $200,000,000 of the average daily net asset value of
the Funds, .40% of the next $200,000,000, and .30% of the average daily net
asset value of the Funds in excess of $400,000,000 for all the Funds except
for the Global Asset Allocation Fund, which has management fee annual rates of
.75%, .70%, and .68%, respectively, the International Fund which has
management fee annual rates of .90%, .75%, and .60%, respectively, and the
Aggressive Growth Fund, which has management fee annual rates of .75%, .70%,
and .65%, respectively. The Capital Appreciation Fund, and the Equity Income
Fund, have management fees of .80% and .95%, respectively, with no
breakpoints. In addition, Delaware which is an affiliate of Lincoln
Investment Management Company, provides accounting services and other
administration support to the funds. In return for these services, the
company receives a minimum fee of $65,000 and $87,000 annually for the first
$100,000,000 of the average daily net asset value of the Domestic and
International Funds respectively, .0375% and .060% of the next $400,000,000,
.035% and .060% of the next $250,000,000, .030% and .060% of the next
$250,000,000, and .020% and .050% of the daily net asset value of the Funds in
excess of $1 billion dollars.
If the aggregate annual expenses of the Funds, including the management fee,
but excluding taxes, interest, brokerage commissions relating to the purchase
or sale of portfolio securities and extraordinary non-recurring expenses,
exceeds 1 1/2% of the average daily net asset value of the Fund, the Advisor
will reimburse the Funds in the amount of such excess. No reimbursement was
due for the six months ended June 30, 1997
Certain officers and directors of the Funds are also officers or directors of
the Company. The compensation of unaffiliated directors of the Funds is borne
by the Funds.
<PAGE>
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
4. ANALYSIS OF NET ASSETS
The analysis of net assets at June 30,1997 consisted of the following:
<TABLE>
<CAPTION>
AGGRESSIVE CAPITAL EQUITY GLOBAL ASSET GROWTH
GROWTH BOND APPRECIATION INCOME ALLOCATION AND INCOME
FUND FUND FUND FUND FUND FUND
---------- ---- ------------ ------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Common Stock, par value
$.01 per share ** $ 196,238 $ 220,078 $ 227,285 $ 352,272 $ 264,898 $ 814,002
- ----------------------------------------------------------------------------------------------------------------------------
Paid-in capital in excess of par
value of shares issued 220,345,149 261,026,239 285,356,208 463,081,042 311,975,726 1,983,391,318
- ----------------------------------------------------------------------------------------------------------------------------
Undistributed net realized gain (loss)
on investments 5,832,670 (7,720,011) 20,195,117 6,621,844 20,400,869 80,085,930
- ----------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income 154,803 8,524,645 2,235,554 4,623,595 5,297,099 24,985,275
- ----------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation or
depreciation on investments and
other assets 48,224,123 3,727,192 57,219,538 164,968,985 53,383,738 953,705,056
- ----------------------------------------------------------------------------------------------------------------------------
$274,752,983 $265,778,143 $365,233,702 $639,647,738 $391,322,330 $3,042,981,581
====================================================================================
</TABLE>
<TABLE>
<CAPTION>
MONEY SOCIAL SPECIAL
INTERNATIONAL MANAGED MARKET AWARENESS OPPORTUNITIES
FUND FUND FUND FUND FUND
------------- ------- ------ --------- -------------
<S> <C> <C> <C> <C> <C>
Common Stock, par value
$.01 per share ** $ 323,344 $ 440,177 $ 97,999 $ 298,493 $ 237,960
- -----------------------------------------------------------------------------------------------------------------
Paid-in capital in excess of par
value of shares issued 395,522,346 587,594,280 97,901,053 649,152,850 552,455,298
- -----------------------------------------------------------------------------------------------------------------
Undistributed net realized gain (loss)
on investments 12,099,855 28,318,087 - 25,911,101 27,100,762
- -----------------------------------------------------------------------------------------------------------------
Undistributed net Investment Income 2,472,078 13,915,836 - 5,357,441 5,624,427
- -----------------------------------------------------------------------------------------------------------------
Net unrealized appreciation or
depreciation on investments and
other assets 89,243,139 140,486,831 - 217,237,084 140,309,696
- -----------------------------------------------------------------------------------------------------------------
$499,660,762 $770,755,211 $97,999,052 $897,956,969 $725,728,143
============================================================================
</TABLE>
** Each Fund has 50,000,000 authorized shares except for the
Growth and Income Fund, which has 150,000,000, and the
Managed , International , and Equity Income Funds, which each
have 100,000,000 authorized shares.
5. INVESTMENTS
The cost of investments for federal income tax purposes is the same as for
book purposes. The aggregate cost of investments purchased, the aggregate
proceeds from investments sold, the aggregate gross unrealized appreciation,
the aggregate gross unrealized depreciation and the net unrealized
appreciation at June 30, 1997 are as follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE GROSS GROSS NET
COST OF PROCEEDS UNREALIZED UNREALIZED UNREALIZED
PURCHASES FROM SALES APPRECIATION DEPRECIATION APPRECIATION
--------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Aggressive Growth Fund $124,853,923 $104,345,424 $ 53,110,822 $ (4,886,699) $ 48,224,123
Bond Fund 61,295,986 85,619,358 5,719,320 (1,992,128) 3,727,192
Capital Appreciation Fund 273,986,155 194,772,241 60,043,333 (2,823,795) 57,219,538
Equity Income Fund 148,959,804 53,581,967 168,208,356 (3,239,371) 164,968,985
Global Asset Allocation Fund 286,255,995 265,636,515 58,715,009 (5,331,271) 53,383,738
Growth and Income Fund 592,672,320 498,867,355 1,010,651,736 (56,946,680) 953,705,056
International Fund 199,054,335 190,577,408 98,600,670 (9,357,531) 89,243,139
Managed Fund 186,146,087 219,894,990 150,581,416 (10,094,585) 140,486,831
Social Awareness Fund 287,000,292 135,874,478 236,809,431 (19,572,347) 217,237,084
Special Opportunities Fund 226,525,875 211,618,195 156,362,014 (16,052,318) 140,309,696
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
6. SUPPLEMENTAL FINANCIAL INSTRUMENT INFORMATION
OPTIONS: The Funds purchase or write options which are exchange traded to
hedge fluctuation risks in the price of certain securities. When the Funds
write a call or put option, an amount equal to the premium received is
reflected as a liability. The amount of the liability is subsequently
"marked-to-market" to reflect the current market value of the option written.
The premium paid by the Funds for the purchase of a call or put option is
recorded as an investment and subsequently "marked-to-market" to reflect the
current market value of the option purchased. The Funds are subject to the
risk of an imperfect correlation between movement in the price of the
instrument and the price of the underlying security or transaction. Risks may
also arise due to illiquid secondary markets for the instruments. Written
call option activity for the six months ended June 30, 1997 is summarized as
follows:
Global
Asset Allocation Fund
---------------------
Par Premiums
Amount Received
------ --------
Options outstanding at January 1, 1997 - $ -
Options written 3,225,800 49,516
Options exercised - -
Options expired - -
Options closed (1,612,900) (24,758)
-----------------------
Options outstanding at June 30, 1997 1,612,900 $ 24,758
=======================
FORWARD FOREIGN CURRENCY CONTRACTS: The Funds may purchase or sell forward
foreign currency contracts to hedge risks of fluctuations in specific
transactions or portfolio positions. Forward foreign currency contracts
obligate the Funds to take or deliver a financial instrument of foreign
currency at a future date at a specified price. The unrealized gain or loss on
the contracts are reflected in the accompanying financial statements. The
Funds are subject to the credit risks that the counter parties to these
contracts will fail to perform; although this risk is minimized by purchasing
such agreements from financial institutions with long standing, superior
performance records. In addition, the Funds are subject to the market risks
associated with unanticipated movements in the value of a foreign currency
relative to the U.S. dollar; however, such changes in the value generally are
offset by changes in the value of the items being hedged by such contracts.
The purchase and sale of forward foreign currency contracts that were open at
June 30, 1997 were as follows:
<TABLE>
<CAPTION>
FOREIGN AGGREGATE UNREALIZED
FUND CURRENCY FACE VALUE SETTLEMENT DATE(S) GAIN (LOSS)
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Capital Appreciation $ 4,200,000 French Francs $ 737,554 October 1997 $18,020
Fund 9,500,000 Great Britain Pound 15,446,798 July, August, November 1997 (337,217)
---------
$(319,197)
=========
Global Asset $ 1,617,912 Australian Dollar $ 1,236,580 September 1997 $16,286
Allocation Fund 1,446,900 Canadian Dollar 1,061,404 September 1997 (8,140)
6,347,272 Deutschemark 3,686,870 July, September 1997 (23,045)
6,405,924 Danish Krone 987,264 September 1997 18,064
18,524,400 French Franc 3,227,513 August, September 1997 65,253
2,720,100 Great Britain Pound 4,434,843 September 1997 (82,839)
1,335,440,170 Italian Lira 819,984 September 1997 36,196
825,766,130 Japanese Yen 7,595,115 July, September, November 1997 (311,492)
777,900 Polish Zloty 212,279 June, 1998 (3,368)
149,620,815 Spanish Peseta 1,015,901 July, September 1997 1,112
220,900 Swedish Krona 28,828 September 1997 107
823,650 Swiss Franc 550,228 August, September 1997 (15,102)
---------
$(306,968)
=========
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
FINANCIAL FUTURES CONTRACTS: The Funds may purchase or sell financial futures
contracts, which are exchange traded, to hedge fluctuation risks of adverse
changes in exchange markets or interest rates. Financial futures contracts
obligate the Funds to take delivery or deliver a financial instrument at a
future date at a specified price. The Funds deposit with its custodian a
specified amount of cash or eligible securities called "initial margin" or
"variation margin". The market value of investments pledged to cover margin
requirements for open positions at June 30, 1997 were $476,665 for the
Special Opportunities Fund, $6,348,875 for Global Asset Allocation Fund, and
$1,906,659 for Social Awareness Fund. The unrealized gain or loss on the
contracts are reflected in the accompanying financial statements. The Funds
are subject to the market risks of unexpected changes in the underlying
markets and interest rates; however, such changes in the value generally are
offset by changes in the value of the items being hedged by such contracts.
Purchased financial futures contracts open at June 30, 1997 were as follows:
<TABLE>
<CAPTION>
NOTIONAL EXPIRATION UNREALIZED
FUND CONTRACTS COST AMOUNT DATE GAIN (LOSS)
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Global Asset 71 S&P 500 contracts $30,269,075 September 1997 $(1,334,800)
Allocation Fund 216 U.S. 10 Year Treasury contracts 23,144,063 September 1997 (156,937)
177 U.S. 5 Year Treasury contracts 18,658,219 September 1997 (84,422)
46 Gilt contracts 4,263,721 September 1997 (99,122)
179 Ftse contracts 34,823,800 September 1997 (508,162)
22,700 German 10 Year contracts 33,151,408 September 1997 (131,156)
194 Nikkei 225 contracts 17,700,359 September 1997 (298,347)
47 Dax Index contracts 10,073,368 September 1997 149,822
-----------
$(2,463,124)
===========
Special
Opportunities
Fund 17 S&P 400 midcap stock index $ 2,003,876 September 1997 $ 23,315
Social
Awareness Fund 75 S&P 500 Future $32,805,675 September 1997 $ 578,700
</TABLE>
INDEXED SECURITIES: The Funds may invest in indexed securities whose value is
linked either directly or inversely to changes in foreign currencies, interest
rates, commodities, indices, or other reference instruments. Indexed
securities may be more volatile than the reference instrument itself, but any
loss is limited to the amount of the original investment.
REPURCHASE AGREEMENTS: The Funds, through their respective custodians,
receive delivery of the underlying securities, whose market value is required
to be at least 102% of the repurchase price. The advisor is responsible for
determining that the value of the collateral is at least equal to the
repurchase price. Repurchase agreements are subject to the risk of the
default or insolvency of the counterparty.
7. CONCENTRATION OF CREDIT RISK
The Money Market Fund had investments in securities issued by banks, including
foreign banks, foreign branches of domestic banks, and other financial
institutions representing 66.7% of net assets at June 30, 1997. The ability
of these entities to meet their obligations may be affected by economic
conditions related to the industry.
The Capital Appreciation Fund, Equity Income Fund, Global Asset Allocation
Fund, and International Fund invest in foreign securities. As a result, there
may be additional risks, such as the investments being subject to restrictions
as to repatriation of cash back to the United States and to political or
economic uncertainties. None of these Funds had investments in excess of 5% in
any individual foreign country except the International Fund. Distribution of
investments for the International Fund, by industry, as a percentage of total
investments, consisted of the following at June 30, 1997:
Banking, Finance and Insurance...... 19.3%
Industrial.......................... 12.5
Consumer Products and Services...... 11.3
Electrical and Electronics.......... 10.5
Broadcasting and Publishing......... 8.9
Energy.............................. 8.8
Healthcare and Pharmaceuticals...... 8.1
Telecommunications.................. 7.2
Building and Materials.............. 6.2
Others (individually less than 4%).. 7.2
-----
100.0%
=====
<PAGE>
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
8. SUMMARY OF CHANGES FROM CAPITAL SHARE TRANSACTIONS
<TABLE>
<CAPTION>
SHARES ISSUED UPON NET INCREASE (DECREASE)
CAPITAL REINVESTMENT OF CAPITAL SHARES
SHARES SOLD DIVIDENDS REDEEMED
-----------------------------------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------ ------ -------
Year Ended December 31, 1996:
<S> <C> <C> <C> <C> <C> <C>
Aggressive Growth Fund 6,078,765 $79,416,717 227,830 $ 2,850,545 (318,939) $ (4,080,745)
Bond Fund 1,788,727 21,267,708 1,275,537 15,554,772 (2,013,517) (23,420,919)
Capital Appreciation Fund 8,060,307 109,806,931 545,394 7,469,658 (85,813) (1,210,130)
Equity Income Fund 10,947,919 157,067,481 549,558 7,755,394 (203,395) (3,046,093)
Global Asset Allocation Fund 2,499,623 32,553,085 1,632,543 22,006,756 (492,722) (6,588,842)
Growth and Income Fund 9,033,760 275,921,904 4,811,213 151,848,698 (1,005,429) (31,139,607)
International Fund 4,484,198 62,185,534 338,158 4,436,376 (1,318,363) (18,489,610)
Managed Fund 2,263,623 35,399,848 3,696,097 60,383,859 (1,483,351) (23,189,653)
Money Market Fund 7,448,642 72,720,559 278,649 4,552,350 (6,223,469) (62,234,688)
Social Awareness Fund 9,212,323 226,248,315 978,353 23,475,634 (76,562) (1,951,355)
Special Opportunities Fund 3,401,045 93,400,233 1,695,200 48,288,651 (1,522,103) (40,795,408)
Six Months Ended June 30, 1997:
Aggressive Growth Fund 1,670,606 $22,819,080 892,895 $11,957,816 (293,710) $ (4,049,677)
Bond Fund 367,184 4,352,379 1,416,753 16,821,434 (1,307,206) (15,382,629)
Capital Appreciation Fund 3,539,476 52,809,108 836,415 12,215,979 (72,368) (1,072,796)
Equity Income Fund 5,109,026 84,488,030 1,183,804 19,052,519 (36,726) (601,247)
Global Asset Allocation Fund 1,815,260 25,474,989 2,577,537 34,962,268 (120,187) (1,701,647)
Growth and Income Fund 3,371,854 117,870,496 3,927,100 134,051,775 (353,575) (11,929,300)
International Fund 1,496,339 21,564,521 1,702,170 23,752,137 (1,118,411) (16,055,012)
Managed Fund 529,959 8,870,759 2,677,655 43,933,612 (733,069) (12,049,735)
Money Market Fund 3,441,868 34,418,680 669,698 6,696,982 (3,347,422) (33,474,218)
Social Awareness Fund 5,008,544 140,710,471 1,581,459 43,404,427 (45,729) (1,230,659)
Special Opportunities Fund 899,631 26,334,712 2,072,674 58,607,959 (1,220,070) (34,399,972)
</TABLE>
<TABLE>
<CAPTION>
RESULTING FROM CAPITAL
SHARE TRANSACTIONS
----------------------------
SHARES AMOUNT
Year Ended December 31, 1996:
<S> <C> <C>
Aggressive Growth Fund 5,987,656 $ 78,186,517
Bond Fund 1,050,747 13,401,561
Capital Appreciation Fund 8,519,888 116,066,459
Equity Income Fund 11,294,082 161,776,782
Global Asset Allocation Fund 3,639,444 47,970,999
Growth and Income Fund 12,839,544 396,630,995
International Fund 3,503,993 48,132,300
Managed Fund 4,476,369 72,594,054
Money Market Fund 1,503,822 15,038,221
Social Awareness Fund 10,114,114 247,772,594
Special Opportunities Fund 3,574,142 100,893,476
Six Months Ended June 30, 1997:
Aggressive Growth Fund 2,269,791 $30,727,219
Bond Fund 476,731 5,791,184
Capital Appreciation Fund 4,303,523 63,952,291
Equity Income Fund 6,256,104 102,939,302
Global Asset Allocation Fund 4,272,610 58,735,610
Growth and Income Fund 6,945,379 239,992,971
International Fund 2,080,098 29,261,646
eeeeeManaged Fund 2,474,545 40,754,636
Money Market Fund 764,144 7,641,444
Social Awareness Fund 6,544,274 182,884,239
Special Opportunities Fund 1,752,235 50,542,699
</TABLE>
9. DISTRIBUTION TO SHAREHOLDER
All of the Funds except for the Money Market Fund declare and distribute
dividends on net investment income annually. The Money Market Fund declares
and distributes dividends on net investment income daily. Distributions, if
any, on net realized gains are declared and distributed annually.
10. CAPITAL LOSS CARRYFORWARD
As of December 31, 1996, the Lincoln National Bond Fund, Inc. had $7,876,109
of unused capital loss carryforward for federal tax purposes. The loss
carryforward expires in the years 2002 to 2004.
11. CHANGE IN MANAGEMENT:
Effective August 29, 1996, Clay Finlay Inc., Subadvisor of the Lincoln
National International Fund Inc., accepted an offer to sell their ownership
interest in the firm to United Asset Management, a New York Stock Exchange
("NYSE") listed company, which buys the common stock of investment advisory
companies as permanent holdings. The management of Clay Finlay remains with
the company and has complete autonomy to run the business as they were prior
to the purchase. In October 1996, variable contractholders, via proxy
solicitation, instructed Lincoln Life to vote to retain Clay Finlay as the
Subadvisor of the Lincoln National International Fund. The shares were voted
as follows:
- 91.56% for retaining Clay Finlay,
- 3.26% against retaining Clay Finlay,
- 5.18% abstained
<PAGE>
FINANCIAL HIGHLIGHTS - UNAUDITED
(Selected data for each capital share outstanding throughout the year)
<TABLE>
<CAPTION>
Income from Investment Operation Less Dividends From:
-------------------------------------- -----------------------------------
Net Net Net
Asset Realized and Total Asset Ratio of
Value Net Unrealized From Net Net Realized Value Expenses
Period Beginning Investment Gain(Loss) on Investment Investment Gain on Total End Total To Average
Ended of Period Income(Loss) Investments Operations Income Investment Dividends of Period Return** Net Assets
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AGGRESSIVE GROWTH FUND
1993 $10.000 $ - $ - $ - $ - $ - $ - $10.000 - -
1994 10.000 0.019 (0.952) (0.933) (0.019) - (0.019) 9.048 (9.52%) 1.11%
1995 9.048 0.007 3.135 3.142 (0.007) - (0.007) 12.183 34.78% 0.94%
1996 12.183 0.004 1.989 1.993 (0.004) (0.192) (0.196) 13.980 16.96% 0.82%
1997+ 13.980 0.008 0.686 0.694 - (0.673) (0.673) 14.001 5.18% 0.81%
BOND FUND
1987 $12.448 $1.055 ($0.873) $0.182 ($1.055) ($0.434) ($1.489) $11.141 (.470%) 0.56%
1988 11.141 1.053 (0.131) 0.922 (1.053) - (1.053) 11.010 9.24% 0.57%
1989 11.010 1.027 0.428 1.455 (1.027) - (1.027) 11.438 13.23% 0.53%
1990 11.438 0.998 (0.240) 0.758 (0.998) - (0.998) 11.198 5.45% 0.53%
1991 11.198 0.956 0.990 1.946 (0.956) - (0.956) 12.188 17.96% 0.52%
1992 12.188 0.903 0.052 0.955 (0.903) - (0.903) 12.240 7.68% 0.52%
1993 12.240 0.758 0.703 1.461 (0.758) (0.250) (1.008) 12.693 13.39% 0.50%
1994 12.693 0.741 (1.233) (0.492) (0.741) (0.519) (1.260) 10.941 (5.01%) 0.50%
1995 10.941 0.803 1.306 2.109 (0.803) - (0.803) 12.247 19.59% 0.49%
1996 12.247 0.767 (0.481) 0.286 (0.767) - (0.767) 11.766 1.91% 0.51%
1997+ 11.766 0.388 (0.077) 0.311 - - - 12.077 2.64% 0.56%
CAPITAL APPRECIATION FUND
1993 $10.000 $ - $ - $ - $ - $ - $ - $10.000 - -
1994 10.000 0.134 0.152 0.286 (0.134) - (0.134) 10.152 1.52% 1.18%
1995 10.152 0.116 2.764 2.880 (0.116) - (0.116) 12.916 27.95% 1.07%
1996 12.916 0.135 2.051 2.186 (0.135) (0.463) (0.598) 14.504 18.38% 0.93%
1997+ 14.504 0.098 2.001 2.099 - (0.534) (0.534) 16.069 14.85% 0.87%
EQUITY INCOME FUND
1993 $10.000 $ - $ - $ - $ - $ - $ - $10.000 - -
1994 10.000 0.258 0.335 0.593 (0.258) - (0.258) 10.335 3.35% 1.26%
1995 10.335 0.275 3.218 3.493 (0.275) (0.046) (0.321) 13.507 32.84% 1.15%
1996 13.507 0.288 2.451 2.739 (0.288) (0.178) (0.466) 15.780 20.20% 1.08%
1997+ 15.780 0.131 2.649 2.780 - (0.402) (0.402) 18.158 17.94% 1.01%
GLOBAL ASSET ALLOCATION FUND
1987* $10.000 $0.146 ($0.973) ($0.827) ($0.146) $ - ($0.146) $9.027 (9.73)% 0.45%
1988 9.027 0.405 0.589 0.994 (0.405) - (0.405) 9.616 7.56% 1.16%
1989 9.616 0.573 1.165 1.738 (0.573) - (0.573) 10.781 16.74% 1.33%
1990 10.781 0.549 (0.516) 0.033 (0.549) (0.279) (0.828) 9.986 (0.12)% 1.14%
1991 9.986 0.426 1.391 1.817 (0.426) (0.138) (0.564) 11.239 20.17% 1.04%
1992 11.239 0.404 0.271 0.675 (0.404) (0.306) (0.710) 11.204 6.39% 1.07%
1993 11.204 0.362 1.522 1.884 (0.362) (0.224) (0.586) 12.502 17.88% 1.05%
1994 12.502 0.349 (0.702) (0.353) (0.349) (0.656) (1.005) 11.144 (2.43)% 1.06%
1995 11.144 0.412 2.247 2.659 (0.412) - (0.412) 13.391 23.58% 0.92%
1996 13.391 0.392 1.522 1.914 (0.392) (0.687) (1.079) 14.226 15.96% 1.00%
1997+ 14.226 0.200 1.533 1.733 - (1.186) (1.186) 14.773 12.92% 0.86%
GROWTH AND INCOME FUND
1987 $18.031 $0.587 $2.148 $2.735 ($0.587) ($0.539) ($1.126) $19.640 14.75% 0.52%
1988 19.640 0.540 0.729 1.269 (0.540) (2.997) (3.537) 17.372 8.06% 0.54%
1989 17.372 0.793 2.859 3.652 (0.793) - (0.793) 20.231 19.86% 0.50%
1990 20.231 0.512 (0.539) (0.027) (0.512) (1.068) (1.580) 18.624 1.68% 0.48%
1991 18.624 0.617 5.142 5.759 (0.617) - (0.617) 23.766 30.83% 0.44%
1992 23.766 0.663 (0.336) 0.327 (0.663) (0.503) (1.166) 22.927 1.24% 0.41%
1993 22.927 0.610 2.285 2.895 (0.610) (0.519) (1.129) 24.693 13.31% 0.38%
1994 24.693 0.668 (0.428) 0.240 (0.668) (0.968) (1.636) 23.297 0.65% 0.37%
1995 23.297 0.701 7.680 8.380 (0.701) (1.221) (1.922) 29.756 39.06% 0.35%
1996 29.756 0.683 4.943 5.626 (0.683) (1.589) (2.272) 33.110 19.90% 0.36%
1997+ 33.110 0.307 5.107 5.414 - (1.141) (1.141) 37.383 16.68% 0.36%
INTERNATIONAL FUND
1991* $10.000 ($0.030) $0.047 $0.017 ($0.059) $ - ($0.059) $9.958 (0.42)% 1.06%
1992 9.958 0.037 (0.867) (0.830) (0.037) - (0.037) 9.091 (8.41)% 1.46%
1993 9.091 0.010 3.551 3.561 (0.010) - (0.010) 12.642 39.46% 1.24%
1994 12.642 0.033 0.385 0.418 (0.033) - (0.033) 13.027 3.09% 1.24%
1995 13.027 0.069 0.892 0.961 (0.069) (0.521) (0.590) 13.398 8.34% 1.27%
1996 13.398 0.071 1.244 1.315 (0.071) (0.086) (0.157) 14.556 9.97% 1.19%
1997+ 14.556 0.076 1.541 1.617 - (0.720) (0.720) 15.453 11.63% 0.94%
</TABLE>
<TABLE>
<CAPTION>
Ratio of Net
Investment Net Assets
Income Portfolio At End Average
Period To Average Turnover of Period Commission
Ended Net Assets Rate (000's) Rate
- --------------------------------------------------------
AGGRESSIVE GROWTH FUND
<S> <C> <C> <C> <C>
1993 - - $ 110 $ -
1994 0.21% 100.31% 60,697 -
1995 0.06% 85.82% 138,471 -
1996 0.03% 77.51% 242,609 0.0332
1997+ 0.12% 47.23% 274,753 0.0361
BOND FUND
1987 9.17% 176.75% $ 50,795 $ -
1988 9.41% 183.79% 59,947 -
1989 9.13% 121.19% 91,152 -
1990 9.00% 76.67% 103,845 -
1991 8.32% 72.80% 139,854 -
1992 7.45% 257.27% 168,636 -
1993 6.05% 324.90% 226,150 -
1994 6.40% 213.26% 195,010 -
1995 6.90% 139.61% 250,816 -
1996 6.56% 142.19% 253,328 N/A
1997+ 6.56% 26.18% 265,778 N/A ***
CAPITAL APPRECIATION FUND
1993 - - $ 110 $ -
1994 1.33% 185.28% 52,904 -
1995 1.00% 195.63% 127,936 -
1996 0.99% 92.73% 267,242 0.0374
1997+ 1.44% 67.88% 365,234 0.0419
EQUITY INCOME FUND
1993 - - $ 110 $ -
1994 2.48% 33.40% 78,861 -
1995 2.27% 27.81% 238,771 -
1996 1.99% 22.17% 457,153 0.0292
1997+ 1.73% 10.20% 639,648 0.0386
GLOBAL ASSET ALLOCATION FUND
1987* 1.42% 12.92% $ 21,084 $ -
1988 4.36% 136.79% 26,885 -
1989 5.59% 79.11% 44,913 -
1990 5.49% 56.28% 56,088 -
1991 4.01% 101.41% 76,269 -
1992 3.70% 128.53% 95,607 -
1993 3.04% 208.55% 153,500 -
1994 3.07% 134.33% 195,697 -
1995 3.36% 146.49% 248,772 -
1996 2.93% 167.33% 316,051 0.0321
1997+ 3.04% 82.36% 391,322 0.0345
GROWTH AND INCOME FUND
1987 2.78% 142.01% $ 177,354 $ -
1988 3.08% 179.88% 209,513 -
1989 4.06% 208.98% 295,399 -
1990 2.79% 59.47% 356,239 -
1991 2.86% 33.59% 581,297 -
1992 2.97% 74.50% 765,457 -
1993 2.58% 60.76% 1,034,105 -
1994 2.85% 76.34% 1,161,324 -
1995 2.64% 51.76% 1,833,450 -
1996 2.23% 46.70% 2,465,224 0.0459
1997+ 1.82% 18.84% 3,042,982 0.0448
INTERNATIONAL FUND
1991* (0.30)% 25.18% $ 20,935 $ -
1992 0.39% 22.86% 45,627 -
1993 0.09% 61.44% 161,470 -
1994 0.25% 52.78% 316,350 -
1995 0.59% 63.15% 358,391 -
1996 0.51% 68.67% 440,375 0.0196
1997+ 1.10% 43.22% 499,661 0.0190
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS - UNAUDITED (Continued)
(Selected data for each capital share outstanding throughout the year)
<TABLE>
<CAPTION>
Income from Investment Operation Less Dividends From:
-------------------------------------- -----------------------------------
Net Net Net
Asset Realized and Total Asset Ratio of
Value Net Unrealized From Net Net Realized Value Expenses
Period Beginning Investment Gain(Loss) on Investment Investment Gain on Total End Total To Average
Ended of Period Income(Loss) Investments Operations Income Investment Dividends of Period Return** Net Assets
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
MANAGED FUND
1987 $12.248 $0.674 $0.352 $1.026 ($0.674) ($0.317) ($0.991) $12.283 7.35% 0.53%
1988 12.283 0.666 0.352 1.018 (0.666) (1.108) (1.774) 11.527 8.17% 0.55%
1989 11.527 0.798 1.186 1.984 (0.798) - (0.798) 12.713 16.00% 0.52%
1990 12.713 0.705 (0.334) 0.371 (0.705) (0.438) (1.143) 11.941 3.41% 0.52%
1991 11.941 0.710 1.906 2.616 (0.710) - (0.710) 13.847 22.59% 0.50%
1992 13.847 0.653 (0.158) 0.495 (0.653) (0.036) (0.689) 13.653 3.69% 0.49%
1993 13.653 0.584 0.908 1.492 (0.584) (0.409) (0.993) 14.152 11.91% 0.45%
1994 14.152 0.628 (0.814) (0.186) (0.628) (0.555) (1.183) 12.783 (2.42)% 0.44%
1995 12.783 0.623 3.132 3.755 (0.623) (0.020) (0.643) 15.895 30.11% 0.43%
1996 15.895 0.628 1.291 1.919 (0.628) (0.920) (1.548) 16.266 12.66% 0.43%
1997+ 16.266 0.316 1.362 1.678 - (0.434) (0.434) 17.510 10.50% 0.44%
MONEY MARKET FUND
1987 $10.000 $0.658 $ - $0.658 ($0.658) $ - ($0.658) $10.000 8.02% 0.56%
1988 10.000 0.744 - 0.744 (0.744) - (0.744) 10.000 5.45% 0.55%
1989 10.000 0.909 - 0.909 (0.909) - (0.909) 10.000 7.20% 0.54%
1990 10.000 0.802 - 0.802 (0.802) - (0.802) 10.000 7.61% 0.53%
1991 10.000 0.571 - 0.571 (0.571) - (0.571) 10.000 7.48% 0.53%
1992 10.000 0.354 - 0.354 (0.354) - (0.354) 10.000 4.70% 0.53%
1993 10.000 0.276 - 0.276 (0.276) - (0.276) 10.000 4.46% 0.50%
1994 10.000 0.381 - 0.381 (0.381) - (0.381) 10.000 3.20% 0.52%
1995 10.000 0.570 - 0.570 (0.570) - (0.570) 10.000 4.22% 0.52%
1996 10.000 0.505 - 0.505 (0.505) - (0.505) 10.000 6.40% 0.57%
1997+ 10.000 0.236 - 0.236 (0.236) - (0.236) 10.000 2.44% 0.62%
SOCIAL AWARENESS FUND
1988 $10.000 $0.032 $0.454 $0.486 ($0.032) $ - ($0.032) $10.454 4.54% 1.64%
1989 10.454 0.309 2.920 3.229 (0.309) (0.024) (0.333) 13.350 28.51% 0.99%
1990 13.350 0.289 (0.989) (0.700) (0.289) (0.154) (0.443) 12.207 (5.54)% 0.65%
1991 12.207 0.348 4.242 4.590 (0.348) - (0.348) 16.449 36.98% 0.56%
1992 16.449 0.399 0.179 0.578 (0.399) (0.051) (0.450) 16.577 2.87% 0.55%
1993 16.577 0.326 1.792 2.118 (0.326) (0.454) (0.780) 17.915 13.77% 0.51%
1994 17.915 0.377 (0.461) (0.084) (0.377) (0.812) (1.189) 16.642 (0.39)% 0.53%
1995 16.642 0.432 6.491 6.923 (0.432) (0.543) (0.975) 22.590 43.50% 0.50%
1996 22.590 0.389 5.748 6.137 (0.389) (1.022) (1.411) 27.316 29.53% 0.46%
1997+ 27.316 0.188 4.049 4.237 - (1.470) (1.470) 30.083 16.03% 0.42%
SPECIAL OPPORTUNITIES FUND
1987 $16.617 $0.064 $1.316 $1.380 ($0.064) $ - ($0.064) $17.933 8.77% 0.56%
1988 17.933 0.060 0.327 0.387 (0.060) (2.659) (2.719) 15.601 3.73% 0.59%
1989 15.601 0.276 4.904 5.180 (0.276) - (0.276) 20.505 31.92% 0.55%
1990 20.505 0.236 (1.931) (1.695) (0.236) (1.208) (1.444) 17.366 (7.28)% 0.55%
1991 17.366 0.323 7.195 7.518 (0.323) - (0.323) 24.561 43.14% 0.53%
1992 24.561 0.546 1.106 1.652 (0.546) (0.955) (1.501) 24.712 6.24% 0.53%
1993 24.712 0.530 2.703 3.233 (0.530) (2.937) (3.467) 24.478 18.31% 0.49%
1994 24.478 0.565 (0.942) (0.377) (0.565) (1.372) (1.937) 22.164 (1.55)% 0.48%
1995 22.164 0.616 6.131 6.747 (0.616) (0.912) (1.528) 27.383 32.05% 0.45%
1996 27.383 0.548 3.867 4.414 (0.548) (1.827) 2.374 29.423 17.27% 0.44%
1997+ 29.423 0.236 2.976 3.212 - (2.137) (2.137) 30.498 11.48% 0.44%
</TABLE>
<TABLE>
<CAPTION>
Ratio of Net
Investment Net Assets
Income Portfolio At End Average
Period To Average Turnover of Period Commission
Ended Net Assets Rate (000's) Rate
- --------------------------------------------------------
<S> <C> <C> <C> <C>
MANAGED FUND
1987 5.23% 121.98% $121,167 $ -
1988 5.71% 166.57% 140,135 -
1989 6.47% 158.73% 182,576 -
1990 5.96% 93.38% 204,310 -
1991 5.53% 22.70% 276,899 -
1992 4.86% 226.66% 343,439 -
1993 4.24% 235.59% 445,040 -
1994 4.45% 160.79% 442,140 -
1995 4.37% 112.52% 589,165 -
1996 4.05% 108.86% 675,740 0.0441
1997+ 3.86% 28.06% 770,755 0.0438
MONEY MARKET FUND
1987 6.50% - $ 55,093 $ -
1988 7.21% - 59,160 -
1989 9.09% - 88,551 -
1990 7.94% - 102,399 -
1991 5.79% - 149,555 -
1992 3.48% - 92,472 -
1993 2.76% - 81,042 -
1994 3.82% - 77,177 -
1995 5.67% - 75,319 -
1996 5.07% - 90,358 N/A
1997+ 4.88% - 97,999 N/A ***
SOCIAL AWARENESS FUND
1988 0.30% 10.07% $ 2,067 $ -
1989 2.43% 63.37% 9,565 -
1990 2.34% 29.39% 24,674 -
1991 2.33% 45.00% 52,959 -
1992 2.50% 84.32% 89,669 -
1993 1.90% 84.43% 137,606 -
1994 2.22% 64.97% 163,514 -
1995 2.21% 54.02% 297,983 -
1996 1.58% 45.90% 636,595 0.0440
1997+ 1.40% 18.39% 897,957 0.0448
SPECIAL OPPORTUNITIES FUND
1987 0.31% 110.80% $ 58,866 $ -
1988 0.39% 73.91% 63,982 -
1989 1.50% 92.56% 75,245 -
1990 1.33% 37.50% 83,762 -
1991 1.49% 111.60% 132,753 -
1992 2.35% 128.49% 189,867 -
1993 2.29% 74.11% 273,998 -
1994 2.49% 74.63% 318,417 -
1995 2.39% 90.12% 505,755 -
1996 2.00% 88.17% 648,592 0.0429
1997+ 1.64% 33.13% 725,728 0.0415
</TABLE>
* The per share data, total return, ratios and portfolio turnover are
calculated for the period from commencement of investment activity on
August 3, 1987 through December 31, 1987 for the Global Asset
Allocation Fund, May 2, 1988 through December 31, 1988 for the Social
Awareness Fund ., and May 1, 1991 through December 31, 1991 for the
International Fund . Accordingly, the total return, ratios, and
portfolio turnover have NOT been calculated on an annualized basis.
** Total return percentages in this table are calculated on the basis
prescribed by the Securities and Exchange Commission. These
percentages are based on the underlying mutual fund shares in which
Separate Account C, D, G, and K may invest. The total return
percentages in the table are NOT calculated on the same basis as the
performance percentages in the letter at the front of this booklet
(those percentages are based upon the change in unit value).
*** The Average Commission rate is calculated on funds holding long term
equity securities. These funds do not hold long term equity
securities; thus, an average commission rate has not been calculated.
+ For the six month period ended June 30, 1997. Total return and
portfolio turnover have NOT been calculated on an annualized basis
Ratios of expenses and net investment income to average net assets
have been calculated on an annualized basis.
