MARCH 31, 2000
SEMI-ANNUAL
REPORT
CALVERT SOCIAL
INVESTMENT FUND
<PAGE>
TABLE
OF
CONTENTS
PRESIDENT'S LETTER
1
CHAIRMAN'S LETTER
2
PORTFOLIO
MANAGER REMARKS
4
PORTFOLIO
OF INVESTMENTS
20
STATEMENTS
OF ASSETS AND LIABILITIES
47
STATEMENTS
OF OPERATIONS
50
STATEMENTS
OF CHANGES IN
NET ASSETS
52
NOTES TO
FINANCIAL STATEMENTS
61
FINANCIAL HIGHLIGHTS
66
DEAR SHAREHOLDERS:
IN A QUARTER WHERE FEARS OVER A DISRUPTING Y2K BUG SUBSIDED JUST DAYS INTO THE
START OF THE NEW YEAR, THE SPECTER OF INCREASED MARKET VOLATILITY TOOK EVEN
GREATER SUBSTANCE - WITH LARGE UPWARD SWINGS ONE DAY - ESPECIALLY IN THE
TECHNOLOGY-LADEN NASDAQ - FOLLOWED BY DROPS OF 100 (OR EVEN 487) POINTS, THE
NEXT.
AT THE SAME TIME THE FEDERAL RESERVE, FRETTING OVER AN OVERHEATING ECONOMY,
CONTINUED TO PUSH UP SHORT-TERM INTEREST RATES.
AS IN PAST QUARTERS, YOU COULD PICK THE TOP PERFORMERS BY CAPITALIZATION RANGE
AND INDUSTRY GROUP. JUST AS TECHNOLOGY AND BIOTECH PLAYS FUELED MUCH OF THE
ADVANCE EARLIER IN THE QUARTER, THE INITIAL MICROSOFT JUDGMENT, ALONG WITH WORDS
OF WARNING FROM PRESIDENT BILL CLINTON AND BRITISH PRIME MINISTER TONY BLAIR
OVER GENETIC RESEARCH PROPERTY RIGHTS, SIGNALED A SHARP DECLINE IN BOTH "NEW
ECONOMY" SECTORS. AND ALL THIS DURING A QUARTER WHEN, ON MARCH 16, THE DOW
JONES INDUSTRIAL AVERAGE POSTED A 499-POINT GAIN!
MARKET VOLATILITY - IF NOT DOWNRIGHT TURMOIL - IS, WE BELIEVE, A CURRENT
CONDITION, NOT A CONSTANT. STILL, THIS CHALLENGING ENVIRONMENT UNDERSCORES THE
VALUE OF PROFESSIONAL MONEY MANAGEMENT. REMEMBER TO MAKE DECISIONS BASED ON
YOUR FINANCIAL OBJECTIVES AND TOLERANCE FOR RISK. REEVALUATE YOUR ASSET
ALLOCATION TO BE SURE YOU ARE POSITIONED AT A COMFORTABLE LEVEL. IF YOU THINK
CHANGE IS IN ORDER, YOUR FINANCIAL PROFESSIONAL CAN SUGGEST STRATEGIES THAT KEEP
YOU ON TRACK TO MEET YOUR LONG-TERM FINANCIAL OBJECTIVES WITHOUT EXPOSING YOU TO
UNDUE LEVELS OF RISK.
WE APPRECIATE YOUR INVESTMENT IN CALVERT GROUP FUNDS AND LOOK FORWARD TO WORKING
WITH YOU TO ACHIEVE YOUR FINANCIAL GOALS.
SINCERELY,
BARBARA J. KRUMSIEK
PRESIDENT AND CEO
APRIL 28, 2000
<PAGE>
DEAR INVESTOR:
THE NEW ECONOMY REACHED AN HISTORIC FRENZY DURING THE PERIOD. "DOTCOM" MANIA
CONTINUED. JOBS HAVE BEEN PLENTIFUL AND REAL INCOMES, INCLUDING THOSE OF THE
LESS FORTUNATE, HAVE INCREASED. WE EXPECT CONTINUED GROWTH IN THE ECONOMY AS
THE "OLD ECONOMY" COMPANIES ADOPT THE NEW TECHNOLOGIES FOR CONTINUED
PRODUCTIVITY. INVESTORS MIGHT BE WELL ADVISED TO STOP CHASING THE TECHNOLOGY
COMPANIES WITH UNREALISTIC EXPECTATIONS AND CONCENTRATE ON THOSE ESTABLISHED
COMPANIES THAT CAN BEST LEVERAGE THE NEW TECHNOLOGIES.
THE FED HAS BEEN SKEPTICAL OF THE PRODUCTIVITY CLAIMS AND CONTINUES TO DRAIN
MONEY FROM THE SYSTEM THROUGH HIGHER INTEREST RATES. THIS ACTION, COMBINED
WITH THE INTENSE DEARTH OF AVAILABLE TALENT, MAY PUT PRESSURE ON PROFITS OF
COMPANIES THAT CANNOT INNOVATE. MORE CONSERVATIVE EXPECTATIONS OF OVERALL
FINANCIAL MARKET PERFORMANCE MAY BE IN ORDER AS STOCK SELECTION BECOMES
INCREASINGLY IMPORTANT.
CALVERT-HENDERSON QUALITY OF LIFE INDICATORS
RECOGNIZING THAT ECONOMIC GROWTH OR GDP IS ONLY ONE ASPECT OF OUR SOCIETY,
CALVERT HAS RECENTLY INTRODUCED THE CALVERT-HENDERSON QUALITY OF LIFE
INDICATORS. YOU MAY CALL CALVERT TO ORDER A COPY. THESE INDICATORS EXAMINE
SOCIETAL TRENDS AND PRESENT A COMPREHENSIVE PICTURE OF THE OVERALL WELL-BEING OF
THE NATION, INCLUDING STATISTICAL DATA IN 12 AREAS OF THE US ECONOMY. THE
PURPOSE OF THE INDICATORS IS TO EDUCATE THE PUBLIC, BROADEN THE DEBATE ABOUT THE
QUALITY OF OUR LIFE, HOLD GOVERNMENT AND BUSINESS ACCOUNTABLE, AND CLARIFY THE
IMPACT OF THE MULTIPLE CHOICES WE MAKE IN OUR WORK, LEISURE, AND CIVIC LIVES.
ADVISORY COUNCIL
THE ADVISORY COUNCIL HAS BEEN FOCUSED ON ISSUES OF GLOBALIZATION. A NEW SCREEN
WAS ADDED, THE FIRST IN MANY YEARS, THAT FOCUSED ON CORPORATE ACTIVITIES IN
RELATIONSHIP TO THE RIGHTS OF INDIGENOUS PEOPLES. THIS POSITION, AND OTHERS
TAKEN BY CALVERT SUCH AS REFLECTIONS ON THE WORLD TRADE ORGANIZATION (WTO) FOR
SOCIAL INVESTORS, CAN BE FOUND AT THE CALVERT WEB SITE: WWW.CALVERT.COM.
CLEARLY THERE IS A CALL IN THIS COUNTRY AS WITNESSED BY THE RECENT IMF
DEMONSTRATIONS IN WASHINGTON, D.C. FOR A RETHINKING OF THE MENTALITY APPLIED TO
THE ROLE OF THE DEVELOPING WORLD: PART COMPASSION AND PART BEST LONG-TERM SELF
INTERESTS. WE DARE NOT ALLOW AMERICA'S CURRENT LARGESSE TO BECOME INDIFFERENT
ARROGANCE.
SPECIAL EQUITIES
THE FUND CONTINUES TO PUT A SMALL AMOUNT OF MONEY INTO PRIVATE SMALL -COMPANIES
THAT HAVE A CHANCE TO MAKE A DIFFERENCE AS WELL AS EARN VENTURE CAPITAL RETURNS.
RECENTLY, THE FUND MADE AN INVESTMENT INTO WATER MANAGEMENT SERVICES, INC. OF
SAN DIEGO. THIS COMPANY IS EMERGING AS A LEADER IN THE RAPIDLY GROWING MARKET
FOR WATER CONSERVATION SERVICES AND NEW TECHNOLOGIES. WATER MANAGEMENT IS NOW A
BOTTOM LINE ISSUE FOR PEOPLE IN MANY PARTS OF THE COUNTRY.
HIGH SOCIAL IMPACT INVESTMENTS
THE FUND ALSO PUTS A SMALL AMOUNT OF MONEY INTO COMMUNITY FINANCIAL
INTERMEDIARIES WHERE IT EXPECTS A BELOW-MARKET RETURN IN EXCHANGE FOR A HIGH
SOCIAL IMPACT. CALVERT WAS HONORED BY AN AWARD FROM BUSINESS ETHICS MAGAZINE FOR
ITS LEADERSHIP IN CREATING A NEW ASSET CLASS: COMMUNITY INVESTMENT. ALTHOUGH
THE AMOUNTS OF MONEY HAVE BEEN SMALL (LESS THAN 1% OF ASSETS), THE PROGRAM HAS
BEEN VERY SUCCESSFUL BOTH IN TERMS OF FINANCIAL SUCCESS - ALMOST NO LOSSES - AND
<PAGE>
LEGITIMIZING THE "TITHING" OF INVESTMENT ASSETS AS PART OF A SOCIALLY
RESPONSIBLE INVESTOR'S PORTFOLIO.
HERE'S AN EXAMPLE OF A RECENT INVESTMENT:
IRENE WAS A CONSTRUCTION ENGINEER IN NOVGOROD, RUSSIA, BUT LOST HER JOB WHEN THE
PRIVATIZED COMPANY SHE WORKED FOR WENT BANKRUPT. HER ONLY OPTION FOR LIVING WAS
TO START HER OWN BUSINESS. WITH A LOAN FROM OPPORTUNITY INTERNATIONAL (PARTLY
FUNDED BY CALVERT) SHE OPENED A SECOND HAND CLOTHING SHOP. IN AN AREA OF SUDDEN,
SEVERE UNEMPLOYMENT FURTHER COMPLICATED BY THE RUBLE COLLAPSE, USED CLOTHES ARE
IN DEMAND. NOW IRENE BUYS USED CLOTHING BY THE POUND, SELLS BY THE PIECE, AND IS
EARNING ENOUGH MONEY TO MEET HER FAMILY'S BASIC NEEDS WHILE PROVIDING A PRODUCT
FOR PEOPLE WHO CAN NO LONGER AFFORD NEW CLOTHING.
THANK YOU AGAIN FOR BEING A PART OF AND SUPPORTING THIS MODEL OF BEING A
RESPONSIBLE INVESTOR IN THE NEW MILLENNIUM. THE WORLD, INCLUDING SOME OF THE
NEW ECONOMY MILLIONAIRES, IS TAKING NOTICE AND THE WORK IS HAVING AN IMPACT.
SINCERELY,
D. WAYNE SILBY,
CHAIRMAN
APRIL 28, 2000
<PAGE>
MONEY MARKET PORTFOLIO STATISTICS
MARCH 31, 2000
INVESTMENT PERFORMANCE
6 MONTHS 12 MONTHS
ENDED ENDED
3/31/00 3/31/00
MONEY
MARKET PORTFOLIO 2.55% 4.82%
LIPPER MONEY
MARKET INSTRUMENT
FUNDS AVERAGE 2.50% 4.72%
MATURITY SCHEDULE
WEIGHTED AVERAGE
3/31/00 9/30/99
47 DAYS 46 DAYS
TOM DAILEY
OF CALVERT ASSET MANAGEMENT COMPANY
HOW DID THE PORTFOLIO PERFORM RELATIVE TO ITS BENCHMARK?
FOR THE PAST 6 MONTHS ENDED MARCH 31, 2000, THE FUND RETURNED 2.55%, AHEAD OF
THE LIPPER MONEY MARKET INSTRUMENT FUNDS AVERAGE OF 2.50%.
HOW HAS THE TIGHTENING MONEY STANCE BY THE FED AFFECTED THE MARKET?
DURING THE SIX-MONTH PERIOD ENDED MARCH 31, 2000, THE FEDERAL OPEN MARKET
COMMITTEE (FOMC) RAISED THE FEDERAL FUNDS RATE THREE TIMES FROM 5.25% TO 6.00%.
THEIR INTENTION WAS TO KEEP THE ECONOMY GROWING, BUT AT A SLOWER PACE IN ORDER
TO KEEP INFLATION IN CHECK. THE U.S. ECONOMY HAS SHOWN SOME SIGNS OF INFLATION
IN MANUFACTURING AND COMMODITY PRICES. IN ADDITION, LABOR MARKETS REMAIN
EXTREMELY TIGHT WITH UNEMPLOYMENT HOVERING AROUND 4%. THEREFORE, THE FED IS
STILL IN A TIGHTENING MODE WITH MORE RATE INCREASES EXPECTED IN THE NEAR FUTURE.
WITH FED FUNDS INCREASING, SHORT-TERM MONEY MARKET RATES SPIKE HIGHER AS WELL.
THE WEIGHTED AVERAGE MATURITY OF THE PORTFOLIO WAS 46 DAYS AT THE END OF
SEPTEMBER, AND WE HAVE KEPT THE MATURITY BASICALLY THE SAME SINCE THEN. WHEN
ISSUES IN THE PORTFOLIO MATURED, WE PURCHASED HIGHER YIELDING SECURITIES
MATURING ONE-TO-NINE MONTHS LATER. SINCE WE EXPECTED THE FED TO CONTINUE TO
RAISE RATES, WE DID NOT BUY LONGER MATURITY ISSUES BECAUSE WE WEREN'T BEING
COMPENSATED ENOUGH TO DO SO.
<PAGE>
Y2K WAS A NON-EVENT AS FAR AS THE GENERAL PUBLIC AND THE ECONOMY WERE CONCERNED.
HOWEVER, FEARS OF DISRUPTION AT THE END OF THE YEAR CAUSED SOME SHORT TERM RATES
TO SPIKE HIGHER FOR A SHORT PERIOD OF TIME. IN PARTICULAR, THE LONDON INTERBANK
OFFERED RATE (LIBOR) ROSE MUCH HIGHER AT YEAR-END. SINCE SOME OF THE SECURITIES
IN THE PORTFOLIO USE LIBOR AS A BENCHMARK, THE FUND BENEFITED FROM THE INCREASE
IN THESE RATES.
WHAT IS YOUR OUTLOOK FOR THE COMING MONTHS?
THE U. S. ECONOMY CONTINUES TO EXPAND AT A BLISTERING PACE. WITH THE EXTREMELY
TIGHT LABOR MARKET AND CONSUMER PURCHASING POWER STILL IN HIGH GEAR, WE EXPECT
THE FED WILL CONTINUE TO RAISE RATES UNTIL THE ECONOMY SLOWS TO A MORE
ACCEPTABLE LEVEL OF GROWTH. ACCORDINGLY, WE WILL KEEP THE AVERAGE MATURITY OF
THE FUND JUST SHORT OF THE INDUSTRY AVERAGE TO TAKE ADVANTAGE OF STILL HIGHER
RATES AS SECURITIES IN THE PORTFOLIO MATURE. WE WILL ALSO WAIT FOR SIGNS THAT
THE ECONOMY IS SLOWING BEFORE WE LENGTHEN THE MATURITY OF THE FUND ANY FURTHER.
APRIL 28, 2000
MONEY MARKET PORTFOLIO STATISTICS
MARCH 31, 2000
AVERAGE ANNUAL TOTAL RETURNS
ONE YEAR 4.82%
FIVE YEAR 4.92%
TEN YEAR 4.67%
TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS. PAST PERFORMANCE IS NO GUARANTEE
OF FUTURE RESULTS.
<PAGE>
BALANCED PORTFOLIO STATISTICS
MARCH 31, 2000
INVESTMENT PERFORMANCE
6 MONTHS 12 MONTHS
ENDED ENDED
3/31/00 3/31/00
CLASS A 10.36% 7.39%
CLASS B 9.79% 6.23%
CLASS C 9.83% 6.32%
CLASS I 10.60% 7.85%
LEHMAN AGGREGATE
BOND INDEX TR 2.08% 1.87%
S&P 500 INDEX
MTHLY. REINVESTED 17.50% 17.93%
LIPPER BALANCED
FUNDS AVERAGE 10.51% 10.50%
TEN LARGEST LONG-TERM HOLDINGS
% OF NET ASSETS
XEROX CAPITAL TRUST I,
8.00%, 2/1/27 2.60%
SKANDINAVISKA ENSKILDA BANKEN,
6.50%, 12/29/49 2.46%
GOLDEN STATES HOLDINGS ESCROW
CORP., 7.00%, 8/1/03 1.82%
COX ENTERPRISES, INC.
8.00%, 12/15/07 1.52%
ERAC USA FINANCE COMPANY,
7.95%, 12/15/09 1.39%
MICROSOFT CORP. 1.37%
MCI WORLDCOM, INC. 1.34%
CARDINAL HEALTH, INC. 1.27%
CHASE MANHATTAN CORP. 1.27%
ATLANTIC MUTUAL INSURANCE CO.,
8.15%, 2/15/28 1.24%
TOTAL 16.28%
INVESTMENT PERFORMANCE DOES NOT REFLECT THE DEDUCTION OF ANY FRONT-END OR
DEFERRED SALES CHARGE. TR REPRESENTS TOTAL RETURN.
SOURCE: LIPPER ANALYTICAL SERVICES, INC.
NEW SUBADVISORS ASSUMED MANAGEMENT OF THE EQUITY PORTION OF THE PORTFOLIO
EFFECTIVE JULY 1995.
CAMCO
VICE PRESIDENT
OF EQUITIES, JOHN NICHOLS
HOW DID THE PORTFOLIO PERFORM?
AS A WHOLE THE CSIF BALANCED PORTFOLIO'S CLASS A SHARES PERFORMED 10.36% FOR THE
SIX MONTHS ENDING MARCH 31, 2000, COMPARED TO THE LIPPER BALANCED FUNDS AVERAGE
OF 10.51%.
WHAT WAS THE STRATEGY FOR THE FIXED INCOME PORTION OF THE PORTFOLIO?
OUR STRATEGY HAS NOT VARIED. WE ARE OVERALLOCATED IN NON-TREASURIES, AND
UNDERALLOCATED IN HIGH YIELD BONDS AND MORTGAGES. BECAUSE OF THE WEAKENING OF
NON-TREASURIES, OUR PERFORMANCE HAS SUFFERED AS EVEN THE HIGHEST QUALITY CREDITS
SUCH AS AGENCIES HAVE HAD SEVERE DECLINES IN PRICES RELATIVE TO TREASURY BONDS.
WHAT STRATEGIES DID THE EQUITY MANAGERS UTILIZE?
BROWN CAPITAL MANAGEMENT (BCM)
BY DESIGN, THE PORTFOLIO WAS OVERWEIGHT IN THE TECHNOLOGY SECTOR, AND THERE WAS
A POSITIVE EFFECT DURING THE PERIOD FOR HAVING AN OVERWEIGHT ALLOCATION. STILL,
OUR OVERALL UNDERPERFORMANCE COMPARED TO THE S&P 500 BENCHMARK CAN BE ATTRIBUTED
BOTH TO THE TECHNOLOGY COMPANIES THAT WE OWNED AS WELL AS THOSE THAT WE DO NOT
OWN. TWO COMPANIES THAT WE DO OWN, BMC SOFTWARE AND COMPUWARE, NEGATIVELY
IMPACTED PERFORMANCE. MORE SIGNIFICANT, HOWEVER, WAS THE NEGATIVE CONTRIBUTION
FROM NOT OWNING NORTEL NETWORKS, ORACLE, CISCO SYSTEMS, QUALCOMM, AND SUN
MICROSYSTEMS, BECAUSE WE FELT THEY WERE TOO RISKY DUE TO HIGH VALUATIONS.
<PAGE>
THE SIX-MONTH PERIOD ENDED MARCH 31, CONTINUED TO BE DOMINATED BY GROWTH VERSUS
VALUE. WHILE LARGE COMPANIES UNDER-PERFORMED SMALLER STOCKS, GROWTH CONTINUED
TO LEAD THE CHARGE IN BOTH ASSET CLASSES. THE MAJORITY OF THE GAINS CONTINUE TO
BE CENTERED WITHIN THE TECHNOLOGY SECTOR. ACCORDING TO DLJ RESEARCH, EXCLUDING
TECHNOLOGY, THE AVERAGE S&P 500 STOCK FELL 5%. CISCO SYSTEMS AND INTEL
ACCOUNTED FOR THE ENTIRE INCREASE IN THE S&P 500'S MARKET CAPITALIZATION. ABOUT
60% OF THE STOCKS WITHIN THE INDEX DECLINED IN PRICE AND ONLY 34% OUTPERFORMED.
NCM CAPITAL MANAGEMENT GROUP, INC. (NCM)
LOOKING AT THE PORTFOLIO OVER THE LAST SIX-MONTH PERIOD, THE TECHNOLOGY GROUP
CONTRIBUTED ALMOST ALL OF THE RETURN FROM OUR PORTION OF THE EQUITIES HOLDINGS,
ALTHOUGH STOCK SELECTION WAS GOOD ACROSS A NUMBER OF SECTORS INCLUDING
FINANCIALS, CONSUMER CYCLICALS, ENERGY, AND TRANSPORTATION.
IT IS IMPOSSIBLE TO IGNORE THE TREMENDOUS RUN IN THE HIGH TECH SECTOR.
VALUATIONS OF THESE
BALANCED PORTFOLIO STATISTICS
MARCH 31, 2000
AVERAGE ANNUAL TOTAL RETURNS
CLASS A SHARES
ONE YEAR 2.30%
FIVE YEAR 13.36%
TEN YEAR 10.39%
SINCE INCEPTION 11.52%
(10/21/82)
CLASS B SHARES
ONE YEAR 1.23%
SINCE INCEPTION 5.23%
(4/1/98)
CLASS C SHARES
ONE YEAR 5.32%
FIVE YEAR 13.18%
SINCE INCEPTION 10.79%
(3/1/94)
CLASS I SHARES
ONE YEAR 7.85%
SINCE INCEPTION 10.15%
(3/1/99)
PERFORMANCE COMPARISON
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT. (SOURCE: LIPPER ANALYTICAL
SERVICES, INC.)
[INSERT LINE GRAPH HERE]
TOTAL RETURNS ASSUME REINVESTMENT OF DIVIDENDS AND REFLECT THE DEDUCTION OF THE
FUND'S MAXIMUM FRONT-END OR DEFERRED SALES CHARGE. NO SALES CHARGE HAS BEEN
APPLIED TO THE INDEX USED FOR COMPARISON. PAST PERFORMANCE IS NO GUARANTEE OF
FUTURE RESULTS.THE VALUE OF AN INVESTMENT IN CLASS A SHARES IS PLOTTED IN THE
LINE GRAPH. THE VALUE OF AN INVESTMENT IN ANOTHER CLASS OF SHARES WOULD BE
DIFFERENT.
<PAGE>
BALANCED PORTFOLIO STATISTICS
MARCH 31, 2000
ASSET ALLOCATION
STOCKS 62%
BONDS 36%
CASH & CASH EQUIVALENTS 2%
100%
NEW ECONOMY STOCKS HAVE BECOME INCREASINGLY DIFFICULT TO JUSTIFY, AND A
CORRECTION FROM RECENT HIGHS IS PLAUSIBLE. SHOULD THE MARKET REPEAT THE ACTION
OF LAST YEAR, TECHNOLOGY STOCKS MAY EXPERIENCE A DRAMATIC MELTDOWN IN FAVOR OF
MORE ATTRACTIVELY PRICED INDUSTRIES. HOWEVER, WE WOULD EXPECT ANY ROTATION AWAY
FROM TECHNOLOGY TO BE SHORT LIVED. WHILE MANY SECTORS ARE ATTRACTIVELY VALUED
AND COULD BENEFIT FROM A BREAKDOWN IN THE TECHNOLOGY SECTOR, FEW GROUPS OFFER
THEIR ROBUST GROWTH.
WHAT IS YOUR OUTLOOK FOR THE FIXED INCOME SIDE OF THE PORTFOLIO IN THE MONTHS
AHEAD?
WE WOULD EXPECT THE CONTINUING TURMOIL IN THE FIXED INCOME MARKETS TO END OVER
THE NEXT SIX MONTHS, PERHAPS AFTER THE PRESIDENTIAL ELECTION, HOPEFULLY SOONER.
GENERALLY, SUCH DISTURBANCES AS THIS DON'T LAST LONG, AND WE WOULD EXPECT
EQUILIBRIUM TO ENTER INTO THE FIXED INCOME MARKETS BY THE END OF SUMMER.
WHAT IS THE OUTLOOK FOR EQUITIES?
BCM
BCM BELIEVES THAT THE VALUATIONS OF SELECTED TMT (TECHNOLOGY, MEDIA, AND
TELECOMMUNICATIONS) COMPANIES ARE RETURNING TO MORE RATIONAL LEVELS. RECOGNIZING
THAT A HIGH DEGREE OF IRRATIONAL EUPHORIA HAS SURROUNDED TMT "NEW ECONOMY"
STOCKS, THEY MAINTAIN A WATCHFUL EYE TOWARDS THE NON-TMT "OLD ECONOMY"
COMPANIES, AND CONTINUE TO CONSTRUCT THE PORTFOLIO BASED ON SOLID FUNDAMENTALS
-- REGARDLESS OF THEIR "NEW" OR "OLD" ECONOMY DESIGNATION.
BCM CONTINUES TO STRIVE TOWARDS PROVIDING SUPERIOR SERVICE AND COMPETITIVE
PERFORMANCE. WE RECOGNIZE THE CHALLENGE WE FACE GIVEN THE IRRATIONAL ENVIRONMENT
IN WHICH WE ARE COMPETING, BUT WE BELIEVE THE GARP INVESTMENT STYLE WILL PROVE
ITS MERIT OVER THE LONG-TERM.
<PAGE>
NCM
NCM REPORTS THAT THEY HAVE THE FLEXIBILITY TO OFFSET THE EXPOSURE TO THE HIGHER
RISK NEW ECONOMY STOCKS WITH THAT OF THE MORE DEFENSIVE AND ATTRACTIVELY VALUED
OLD ECONOMY NAMES. LOOKING FORWARD, A SHIFT FROM THE NEW ECONOMY TO FINANCIALS,
CONSUMER STAPLES AND HEALTHCARE COULD PROFIT THE FUND. FINANCIALS MAY BE POISED
FOR GOOD PERFORMANCE IF WE ARE APPROACHING THE LATTER INNINGS OF THE FED'S RATE
INCREASES. A SLOWING ECONOMY WILL ALSO BODE WELL FOR DEFENSIVE GROUPS SUCH AS
STAPLES AND HEALTHCARE. NCM HAS BEGUN TO ADD TO THESE POSITIONS ON THE BELIEF
THAT THE ECONOMY WILL SLOW BY THE SECOND HALF OF THIS YEAR AND INTENDS TO
CONTINUE TO FOLLOW THE SAME SUCCESSFUL STRATEGY OF EMPHASIZING HIGH GROWTH
COMPANIES TRADING AT REASONABLE VALUATIONS IN 2000.
APRIL 28, 2000
BALANCED PORTFOLIO STATISTICS
MARCH 31, 2000
PORTFOLIO CHARACTERISTICS
(EQUITY HOLDINGS, EXCLUDING SPECIAL EQUITIES)
CSIF S&P
BALANCED 500
PORTFOLIO INDEX
NUMBER OF STOCKS 93 500
MEDIAN MARKET
CAPITALIZATION ($BIL) 29.43 94.43
(BY PORTFOLIO WEIGHT)
PRICE/EARNINGS
RATIO 37.21 31.27
EARNINGS PER SHARE
GROWTH 27.59% 22.09%
YIELD 0.53% 1.11%
(RETURN ON CAPITAL INVESTMENT)
VOLATILITY MEASURES
CSIF S&P
BALANCED 500
PORTFOLIO* INDEX
BETA1 1.05 1.00
R-SQUARED2 0.94 1.00
* EQUITY PORTION OF PORTFOLIO
1MEASURE OF VOLATILITY COMPARED TO THE S&P 500 STOCK INDEX (S&P 500) BETA OF 1.
THE HIGHER THE BETA, THE HIGHER THE RISK AND POTENTIAL REWARD.
2MEASURE OF CORRELATION BETWEEN THE FUND'S RETURNS AND THE OVERALL MARKET'S (S&P
500) RETURNS. AN R-SQUARED OF 0 WOULD MEAN NO CORRELATION, AN R-SQUARED OF 1
WOULD MEAN TOTAL CORRELATION.
SOURCE: VESTEK
<PAGE>
BOND PORTFOLIO STATISTICS
MARCH 31, 2000
INVESTMENT PERFORMANCE
6 MONTHS 12 MONTHS
ENDED ENDED
3/31/00 3/31/00
CLASS A 3.03% 3.50%
CLASS B 2.57% 2.19%
CLASS C 2.48% 2.10%
LEHMAN AGGREGATE
BOND INDEX TR 2.08% 1.87%
LIPPER CORPORATE
DEBT FUNDS
A-RATED AVERAGE 1.63% 0.36%
MATURITY SCHEDULE
WEIGHTED AVERAGE
3/31/00 9/30/99
19 YEARS 17 YEARS
SEC YIELDS
30 DAYS ENDED
3/31/00 9/30/99
CLASS A 5.94% 6.07%
CLASS B 5.21% 4.90%
CLASS C 5.04% 4.90%
PORTFOLIO QUALITY STRUCTURE
AAA 16%
AA 7%
A 34%
BBB 28%
BB 8%
B -
NR -
CASH & CASH EQUIVALENTS 7%
100%
INVESTMENT PERFORMANCE DOES NOT REFLECT THE DEDUCTION OF ANY FRONT-END OR
DEFERRED SALES CHARGE.
TR REPRESENTS TOTAL RETURN.
SOURCE: LIPPER ANALYTICAL SERVICES, INC.
GREG HABEEB
OF CALVERT ASSET MANAGEMENT COMPANY
HOW DID THE FUND PERFORM RELATIVE TO ITS PEER GROUP?
THE CSIF BOND PORTFOLIO'S CLASS A SHARES RETURNED 3.03% IN THE SIX MONTHS ENDED
MARCH 31, 2000, CONTINUING TO OUTPERFORM ALL ITS MAJOR BENCHMARKS, INCLUDING THE
LIPPER CORPORATE DEBT FUNDS A-RATED AVERAGE AT 1.63% AND THE LEHMAN AGGREGATE
BOND INDEX AT 2.08% - AS IT HAD DONE OVER ALL SIGNIFICANT PERIODS INCLUDING 1,
3, AND 5-YEARS.
WHAT WERE THE DRIVING FORCES IN THE CREDIT MARKETS?
THE LAST QUARTER OF 1999 WAS CHARACTERIZED BY DECLINING TREASURY BOND PRICES AS
FEARS OF Y2K RESULTED IN A DEARTH OF BUYERS OF FIXED INCOME PRODUCT. BUYING OF
NON-TREASURIES COMMENCED AT THE BEGINNING OF THE NEW MILLENNIUM AS ACTIVITY
PICKED UP IN THE MONTH OF JANUARY.
A MAJOR EVENT OCCURRED AT THE END OF JANUARY THAT HAS CAUSED TREMENDOUS DISORDER
IN THE FIXED INCOME MARKETS. THE U.S. TREASURY ANNOUNCED A TREASURY BUY-BACK
PROGRAM THAT WOULD BE CHARACTERIZED BY REGULAR PURCHASES OF GOVERNMENT BONDS BY
THE TREASURY AND SMALLER BOND AUCTIONS. THIS RESULTED IN A STARTLING RUN ON
TREASURIES WHERE TREASURY YIELDS DROPPED BETWEEN 50 TO 100 BASIS POINTS IN SHORT
ORDER. IN LIEU OF A FED THAT HAS MADE IT CLEAR THAT IT INTENDS TO RAISE INTEREST
RATES TO "COOL OFF" A ROBUST ECONOMY, THIS RALLY WAS UNEXPECTED.
UNFORTUNATELY OTHER SECTORS OF THE FIXED INCOME MARKET (CORPORATES, MORTGAGES,
ASSET BACKED, AGENCIES, ETC.) DID NOT PARTICIPATE IN THIS RALLY AND THUS
SIGNIFICANTLY UNDERPER-
<PAGE>
FORMED THE TREASURY MARKETS. NON-TREASURIES CHEAPENED TO LEVELS NOT EVEN SEEN IN
THE WORST OF THE WORLD CRISIS OF 1998 WHEN THE WORLD WAS FUNDAMENTALLY IN MUCH
WORSE SHAPE THAN IT IS NOW. IN FACT, WORLD ECONOMIES IN GENERAL ARE CONSIDERED
QUITE STRONG AS A GROUP.
WHAT WAS YOUR STRATEGY?
OUR STRATEGY HAS NOT VARIED. WE ARE OVERALLOCATED IN NON-TREASURIES, AND
UNDERALLOCATED IN HIGH YIELD BONDS AND MORTGAGES. BECAUSE OF THE WEAKENING OF
NON-TREASURIES OUR PERFORMANCE HAS SUFFERED RECENTLY AS EVEN THE HIGHEST QUALITY
CREDITS SUCH AS AGENCIES HAVE HAD SEVERE DECLINES IN PRICES RELATIVE TO TREASURY
BONDS.
WHAT SHOULD INVESTORS EXPECT IN THE COMING MONTHS?
WE WOULD EXPECT THE CONTINUING TURMOIL IN THE FIXED INCOME MARKETS TO END OVER
THE NEXT SIX MONTHS, PERHAPS AFTER THE PRESIDENTIAL ELECTION, HOPEFULLY SOONER.
GENERALLY, SUCH DISTURBANCES AS THIS DON'T LAST LONG. WE WOULD EXPECT
EQUILIBRIUM TO ENTER INTO THE FIXED INCOME MARKETS BY THE END OF SUMMER.
APRIL 28, 2000
BOND PORTFOLIO
STATISTICS
MARCH 31, 2000
AVERAGE ANNUAL TOTAL RETURNS
CLASS A SHARES
ONE YEAR (0.36%)
FIVE YEAR 6.03%
TEN YEAR 7.23%
SINCE INCEPTION 7.65%
(8/24/87)
CLASS B SHARES
ONE YEAR (1.81%)
SINCE INCEPTION 1.87%
(4/1/98)
CLASS C SHARES
ONE YEAR 1.10%
SINCE INCEPTION 2.22%
(6/1/98)
PERFORMANCE COMPARISON
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT. (SOURCE: LIPPER ANALYTICAL
SERVICES, INC.)
[INSERT LINE GRAPH HERE]
TOTAL RETURNS ASSUME REINVESTMENT OF DIVIDENDS AND REFLECT THE DEDUCTION OF THE
FUND'S MAXIMUM FRONT-END OR DEFERRED SALES CHARGE. NO SALES CHARGE HAS BEEN
APPLIED TO THE INDEX USED FOR COMPARISON. PAST PERFORMANCE IS NO GUARANTEE OF
FUTURE RESULTS. THE VALUE OF AN INVESTMENT IN CLASS A SHARES IS PLOTTED IN THE
LINE GRAPH. THE VALUE OF AN INVESTMENT IN ANOTHER CLASS OF SHARES WOULD BE
DIFFERENT.
<PAGE>
EQUITY
PORTFOLIO STATISTICS
MARCH 31, 2000
INVESTMENT PERFORMANCE
6 MONTHS 12 MONTHS
ENDED ENDED
3/31/00 3/31/00
CLASS A 30.49% 27.37%
CLASS B 29.91% 26.11%
CLASS C 29.94% 26.30%
S&P 500 INDEX
MTHLY. REINVESTED 17.50% 17.93%
LIPPER MULTI-CAP CORE
FUNDS AVERAGE 23.41% 25.51%
TEN LARGEST STOCK HOLDINGS
% OF NET ASSETS
CISCO SYSTEMS, INC. 4.1%
EOG RESOURCES, INC. 3.6%
ORACLE CORP. 3.4%
TYCO INT'L, LTD. 3.2%
INTEL CORP. 3.0%
SCIENTIFIC ATLANTA, INC. 2.9%
SUN MICROSYSTEMS, INC. 2.9%
DOVER CORP. 2.7%
LOWE'S COMPANIES, INC. 2.7%
GAP, INC. 2.7%
TOTAL 31.2%
INVESTMENT PERFORMANCE DOES NOT REFLECT THE DEDUCTION OF ANY FRONT-END OR
DEFERRED SALES CHARGE.
SOURCE: LIPPER ANALYTICAL SERVICES, INC.
NEW SUBADVISOR ASSUMED MANAGEMENT OF THE PORTFOLIO EFFECTIVE SEPTEMBER 1998
DAN BOONE
OF ATLANTA CAPITAL
MANAGEMENT
HOW DID THE PORTFOLIO PERFORM?
ATLANTA CAPITAL IS PLEASED TO REPORT THAT THE FUND HAS CONTINUED TO BUILD ON THE
GOOD START WE ACHIEVED DURING THE FIRST YEAR. FOR THE SIX-MONTH PERIOD ENDED
MARCH 31, 2000, THE CSIF EQUITY PORTFOLIO'S CLASS A SHARES INCREASED 30.49%
COMPARED TO OUR BENCHMARK, THE S&P 500, WHICH INCREASED 17.50%. THE GENERAL
MARKET ENVIRONMENT HAS NOT BEEN NEARLY AS FAVORABLE AS THE
CAPITALIZATION-WEIGHTED S&P 500 INDICATES BECAUSE NEARLY 60% OF THE WEIGHT OF
THE S&P 500 IS NOW REPRESENTED BY ONLY 50 MEGA-COMPANIES - MANY OF WHICH RESIDE
WITHIN THE TECHNOLOGY SECTOR.
MARKET ENVIRONMENT
IN MANY WAYS, THE MARKET AVERAGES DID NOT REFLECT THE STRONG CROSSCURRENTS AND
VOLATILITY WITHIN. DEPENDING ON THE CHARACTERISTICS OF THE INDIVIDUAL STOCKS,
PERFORMANCE WAS VASTLY DIFFERENT OVER THE SIX-MONTH PERIOD. LOWER GROWTH AND
LOWER VALUED COMPANIES GENERALLY UNDERPERFORMED THE AVERAGES BY 20 PERCENTAGE
POINTS, WHILE HIGH GROWTH, HIGHLY VALUED STOCKS OUTPERFORMED. RETURNS BY SECTOR
SHOWED AN AMAZING DIVERGENCE: TECHNOLOGY STOCKS ROSE BY 52%, WHILE BASIC
MATERIALS, CONSUMER STAPLES AND TRANSPORTATION STOCKS DECLINED 1% TO 5% OVER THE
SAME PERIOD. THE NEXT BEST SECTORS WERE THE CAPITAL GOODS, FINANCIALS, AND
CONSUMER CYCLICALS, WITH RETURNS IN THE 10% TO 12% RANGE; WHILE HEALTH CARE,
ENERGY, AND UTILITIES LIMPED ALONG WITH GAINS OF 2% TO 4%. IN SHORT, IF YOU
DIDN'T HAVE TECHNOLOGY, YOU DIDN'T FARE WELL.
<PAGE>
HOW HAVE ECONOMIC FACTORS AND THE ACTIONS OF THE FED AFFECTED MARKETS?
THE ECONOMIC BACKDROP FOR THE MARKETS WAS FAVORABLE. GROWTH IN THE ECONOMY
SURPRISED ALL FORECASTERS WITH THE REAL-GROSS DOMESTIC PRODUCT RISING CLOSE TO
7%. THIS IS A RECORD RATE OF INCREASE, EXTRAORDINARY CONSIDERING WE ARE NOW
ENTERING THE TENTH YEAR OF EXPANSION AND WITH NO END IN SIGHT. THE RISE IN
ECONOMIC ACTIVITY WAS ACCOMPANIED BY SHARP RISES IN PRODUCTIVITY, WHICH HELD
DOWN UNIT LABOR COSTS AND PRODUCED PROFIT GROWTH OF OVER 20% IN EACH OF THE LAST
TWO QUARTERS. DESPITE THREE INCREASES IN THE FEDERAL FUNDS RATE, LONG-TERM
INTEREST RATES, AS MEASURED BY THE 30-YEAR TREASURY ACTUALLY DECLINED BY 20
BASIS POINTS.
THE UNDERLYING INFLATION AND INTEREST RATE PICTURE HOWEVER, WAS MIXED. THE
SURGE IN OIL PRICES TO OVER $30 PER BARREL CAUSED THE CONSUMER PRICE INDEX (CPI)
TO SURGE TO A 3.7% YEAR-OVER-YEAR INCREASE. THE "CORE" RATE OF INFLATION, THAT
IS, THE CPI EX-FOOD AND ENERGY, SHOWED A MUCH MORE MODERATE INCREASE OF 2.4%
YEAR-OVER-YEAR. THE CURRENT TREND IS NEGATIVE, HOWEVER, IN THAT SIX MONTHS AGO,
THE CORE CPI SHOWED A GAIN OF ONLY 1.8%. THESE
EQUITY
PORTFOLIO STATISTICS
MARCH 31, 2000
AVERAGE ANNUAL TOTAL RETURNS
CLASS A SHARES
ONE YEAR 21.34%
FIVE YEAR 19.79%
TEN YEAR 11.49%
SINCE INCEPTION 10.65%
(8/24/87)
CLASS B SHARES
ONE YEAR 21.11%
SINCE INCEPTION 13.51%
(4/1/98)
CLASS C SHARES
ONE YEAR 5.32%
FIVE YEAR 19.62%
SINCE INCEPTION 13.31%
(3/1/94)
PERFORMANCE COMPARISON
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT. (SOURCE: LIPPER ANALYTICAL
SERVICES, INC.)
[INSERT LINE GRAPH HERE]
TOTAL RETURNS ASSUME REINVESTMENT OF DIVIDENDS AND REFLECT THE DEDUCTION OF THE
FUND'S MAXIMUM FRONT-END OR DEFERRED SALES CHARGE. NO SALES CHARGE HAS BEEN
APPLIED TO THE INDEX USED FOR COMPARISON. PAST PERFORMANCE IS NO GUARANTEE OF
FUTURE RESULTS. THE VALUE OF AN INVESTMENT IN CLASS A SHARES IS PLOTTED IN THE
LINE GRAPH.THE VALUE OF AN INVESTMENT IN ANOTHER CLASS OF SHARES WOULD BE
DIFFERENT.
<PAGE>
EQUITY PORTFOLIO STATISTICS
MARCH 31, 2000
ASSET ALLOCATION
STOCKS 95%
NOTES 3%
CASH & CASH EQUIVALENTS 2%
100%
INCREASES IN INFLATION AND IN SHORT-TERM RATES BY THE FEDERAL RESERVE CAUSED
INTERMEDIATE-TERM INTEREST RATES TO INCREASE SUBSTANTIALLY. THE ONE AND
TWO-YEAR TREASURIES ROSE ABOUT 1% AND FIVE-YEAR MATURITIES ROSE 0.6%.
OUR HOPE IS THAT THESE INTEREST-RATE INCREASES WILL SLOW THE ECONOMY BACK TO
SUSTAINABLE RATES OF GROWTH IN THE 3% TO 4% RANGE AND PREVENT IMBALANCES IN
DEMAND AND SUPPLY THAT COULD LEAD TO FURTHER INFLATION INCREASES. WE EXPECT A
FURTHER 50 BASIS POINT INCREASE IN SHORT-TERM RATES.
WHAT IS YOUR OUTLOOK FOR THE NEXT FEW MONTHS?
WE REMAIN CAUTIOUS ON THE OUTLOOK FOR THE STOCK MARKET AS WE EXPECT INTEREST
RATES TO RISE AND FOR GROWTH AND PROFITS TO SLOW. MORE THAN ANYTHING, WE NEED
TIME TO HAVE EARNINGS GROW UP UNDER THE VALUATIONS, ESPECIALLY IN THE TECHNOLOGY
SECTOR, WHERE THE HIGH PRICE-EARNINGS RATIOS ARE PRICING UNINTERRUPTED GROWTH AT
VERY HIGH RATES FOR MANY YEARS INTO THE FUTURE. SOME OF THESE COMPANIES ARE
LIKELY TO ACHIEVE THESE UNPRECEDENTED GROWTH RATES AS THE REVOLUTION OF THE
INTERNET CHANGES THE FUNDAMENTAL COMPETITIVE ENVIRONMENT FOR MANY BUSINESSES.
BUT THERE WILL BE MANY CASUALTIES. THE KEY IS THE IMPLEMENTATION OF COMPETITIVE
BARRIERS IN TECHNOLOGY OR SERVICE IF WE ARE TO SUSTAIN OR ACHIEVE HIGH
PROFITABILITY. OPENNESS OF THE INTERNET AND EASE OF ENTRY WILL UNDERMINE THE
PROFITABILITY OF MANY BUSINESS MODELS, ESPECIALLY THE DIRECT INTERNET COMPANIES.
STILL, THERE ARE MANY VERY REASONABLY PRICED GROWING COMPANIES WHICH ARE
CURRENTLY OUT OF FAVOR AND WHICH ARE ATTRACTIVE FOR PURCHASE.
FOLLOWING OUR LONG ESTABLISHED DISCIPLINES, WE HAVE CONTINUED TO HARVEST PROFITS
OUT OF OUR BIG WINNING STOCKS AND RE-DEPLOY THE PROCEEDS INTO GROWING, BUT MORE
REASONABLY PRICED STOCKS. TURNOVER REMAINS LOW COM-
<PAGE>
PARED TO OTHER GROWTH MANAGERS BUT WE HAVE BEEN MORE ACTIVE IN TAKING ADVANTAGE
OF SOME GLARING OPPORTUNITIES ARISING OUT OF THE INCREASED VOLATILITY. OUR
HIGH-QUALITY DISCIPLINE HAS HELPED, ESPECIALLY IN THE TECHNOLOGY SECTOR, AND THE
CONTRIBUTION FROM BOTH THE THEME-WEIGHTING AND STOCK SELECTION HAVE BEEN
POSITIVE. WE ARE WELL DIVERSIFIED ACROSS SECTORS, AND THE HIGH-QUALITY STOCKS
WITH SUBSTANTIAL EARNINGS AND CONSISTENT GROWTH IN THOSE EARNINGS SHOULD
POSITION US TO PERFORM WELL RELATIVE TO THE BROAD MARKET.
WE APPRECIATE THE CONFIDENCE EXPRESSED BY YOUR INVESTMENT IN THE FUND. WE ARE
PROUD OF OUR RECORD SO FAR AND LOOK FORWARD TO BUILDING THE RECORD OVER THE LONG
TERM. WE BELIEVE WE CAN CONTINUE TO ADD SUBSTANTIAL VALUE BY INVESTING IN
HIGH-QUALITY, SOCIALLY RESPONSIBLE GROWTH COMPANIES.
APRIL 28, 2000
EQUITY PORTFOLIO STATISTICS
MARCH 31, 2000
PORTFOLIO CHARACTERISTICS
CSIF S&P
EQUITY 500
PORTFOLIO INDEX
NUMBER OF STOCKS 48 500
MEDIAN MARKET
CAPITALIZATION ($BIL)
(BY PORTFOLIO WEIGHT) 13.19 94.43
PRICE/EARNINGS
RATIO 25.46 31.27
EARNINGS PER SHARE
GROWTH 19.59% 22.09%
YIELD 0.76% 1.11%
(RETURN ON CAPITAL INVESTMENT)
VOLATILITY MEASURES
CSIF S&P
EQUITY 500
PORTFOLIO INDEX
BETA1 0.91 1.00
R-SQUARED2 0.82 1.00
1MEASURE OF VOLATILITY COMPARED TO THE S&P 500 STOCK INDEX (S&P 500) BETA OF 1.
THE HIGHER THE BETA, THE HIGHER THE RISK AND POTENTIAL REWARD.
2MEASURE OF CORRELATION BETWEEN THE FUND'S RETURNS AND THE OVERALL MARKET'S (S&P
500) RETURNS. AN R-SQUARED OF 0 WOULD MEAN NO CORRELATION, AN R-SQUARED OF 1
WOULD MEAN TOTAL CORRELATION.
SOURCE: VESTEK
<PAGE>
MANAGED INDEX
PORTFOLIO STATISTICS
MARCH 31, 2000
INVESTMENT PERFORMANCE
6 MONTHS 12 MONTHS
ENDED ENDED
3/31/00 3/31/00
CLASS A 20.35% 20.50%
CLASS B 19.66% 19.02%
CLASS C 19.74% 19.09%
CLASS I 20.66% 21.09%
RUSSELL 1000
INDEX 21.13% 21.19%
LIPPER LARGE-CAP CORE
FUNDS AVERAGE 21.66% 21.70%
INVESTMENT PERFORMANCE DOES NOT REFLECT THE DEDUCTION OF ANY FRONT-END OR
DEFERRED SALES CHARGE.
SOURCE: LIPPER ANALYTICAL SERVICES, INC.
ASSET ALLOCATION
STOCKS 98%
CASH & CASH EQUIVALENTS 2%
TOTAL 100%
ARLENE ROCKEFELLAR OF STATE STREET GLOBAL ADVISORS
HOW DID THE PORTFOLIO PERFORM COMPARED TO ITS BENCHMARK?
THE MANAGED INDEX PORTFOLIO A SHARES ROSE 20.35% FOR THE OCTOBER-MARCH PERIOD
VERSUS A RISE OF 21.13% FOR THE RUSSELL 1000 INDEX. THE FUND LOST GROUND TO THE
INDEX IN Q4-1999 AMIDST A SURGE IN SMALLER-CAP TECHNOLOGY STOCKS, BUT HAS SLOWLY
REGAINED GROUND SINCE. THE FUND WAS ABLE TO BOOST ITS EXPOSURE TO THIS SECTOR
DURING Q1 2000, REDUCING THE STRATEGY'S UNDERWEIGHT TO THESE VOLATILE "NEW
ECONOMY" STOCKS.
MARKET ENVIRONMENT
THE STRENGTH IN THE U.S. EQUITY MARKET HAS CAUGHT MANY PROGNOSTICATORS OFF-GUARD
(INCLUDING THE FEDERAL OPEN MARKET COMMITTEE) WITH ITS RAPID ASCENT OVER THE
PAST SIX MONTHS, PROPELLED HIGHER BY THE SURGING TECHNOLOGY SECTOR. THE RUSSELL
1000 TECHNOLOGY SECTOR ROSE OVER 61% DURING THIS TIME PERIOD, HELPING TO PUSH
THE RUSSELL 1000 INDEX UP 21.13%. THE TECHNOLOGY SURGE ALSO HELPED THE RUSSELL
1000 GROWTH INDEX OUTPACE THE RUSSELL 1000 VALUE INDEX BY NEARLY 30% OVER THESE
SIX MONTHS.
CALVERT ASSET MANAGEMENT COMPANY HAS ANALYZED THE IMPACT ON EXPECTED PORTFOLIO
PERFORMANCE OF EXTENDING THE LEVEL OF RISK RELATIVE TO THE RUSSELL 1000 INDEX
(I.E., THE TRACKING ERROR) THAT THE PORTFOLIO MAY TAKE IN SEEKING TO ACHIEVE ITS
OBJECTIVE. THEY FOUND THAT A MODEST INCREASE FROM 2.5% TO 3% IN THE LEVEL OF
TRACKING ERROR COULD LEAD TO POTENTIALLY IMPROVED RETURNS. THIS INCREASE HAS NOW
BEEN APPROVED BY THE FUND'S BOARD OF TRUSTEES.
<PAGE>
HOW HAS THE TIGHTER MONEY STANCE BY THE FED AFFECTED MARKETS AND THE PORTFOLIO?
ON JUNE 30, 1999, THE FEDERAL RESERVE EMBARKED ON A SERIES OF TIGHTENING MOVES.
SINCE THAT TIME, AND ON FIVE DIFFERENT OCCASIONS, THE FED HAS PUSHED THE FED
FUNDS RATE UP, 25 BPS AT A TIME, FROM 4.75% TO ITS CURRENT LEVEL OF 6.00%. THE
MARKET HAS HARDLY NOTICED.
TODAY, 30-YEAR RATES ARE ABOUT WHERE THEY WERE WHEN THE FED BEGAN TIGHTENING
BACK IN JUNE. FED TIGHTENING OVER THE PAST YEAR HAS COINCIDED WITH A SURGING
STOCK MARKET, AND THE FED IS LIKELY TO PUSH THE FUNDS RATE UP AT LEAST ONE MORE
TIME. BUT IF THE YIELD CURVE CONTINUES ITS INVERSION, THE END OF FED TIGHTENING
IS NEAR.
TODAY'S FLAT YIELD CURVE LIMITS THE FED'S ABILITY TO CONTINUE RAISING THE FUNDS
RATE. A FLAT YIELD CURVE INDICATES THAT THE MARKET IS EXPECTING LITTLE TO NO
INFLATION. IF THE MARKET THINKS INFLATION IS NOT A PROBLEM, THIS DIMINISHES THE
NEED FOR RAISING RATES.
MANAGED INDEX
PORTFOLIO STATISTICS
MARCH 31, 2000
AVERAGE ANNUAL TOTAL RETURNS
CLASS A SHARES
ONE YEAR 14.76%
SINCE INCEPTION 13.84%
(4/15/98)
CLASS B SHARES
ONE YEAR 14.02%
SINCE INCEPTION 13.51%
(4/15/98)
CLASS C SHARES
ONE YEAR 18.09%
SINCE INCEPTION 18.73%
(6/1/98)
CLASS I SHARES
ONE YEAR 21.09%
SINCE INCEPTION 17.05%
(4/15/98)
PERFORMANCE COMPARISON
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT. (SOURCE: LIPPER ANALYTICAL
SERVICES, INC.)
[INSERT LINE GRAPH HERE]
TOTAL RETURNS ASSUME REINVESTMENT OF DIVIDENDS AND REFLECT THE DEDUCTION OF THE
FUND'S MAXIMUM FRONT-END OR DEFERRED SALES CHARGE. NO SALES CHARGE HAS BEEN
APPLIED TO THE INDEX USED FOR COMPARISON. PAST PERFORMANCE IS NO GUARANTEE OF
FUTURE RESULTS. THE VALUE OF AN INVESTMENT IN CLASS A, B AND I SHARES IS PLOTTED
IN THE LINE GRAPH.THE VALUE OF AN INVESTMENT IN ANOTHER CLASS OF SHARES WOULD BE
DIFFERENT.
<PAGE>
MANAGED INDEX
PORTFOLIO STATISTICS
MARCH 31, 2000
TEN LARGEST STOCK HOLDINGS
% OF NET ASSETS
INTEL CORP. 4.7%
CISCO SYSTEMS, INC. 4.6%
MICROSOFT CORP. 3.5%
TIME WARNER, INC. 2.1%
INTERNATIONAL BUSINESS
MACHINES CORP. 2.1%
ORACLE 2.0%
AMERICAN INT'L GROUP, INC. 1.9%
SUN MICROSYSTEMS 1.9%
MERCK & CO., INC. 1.8%
PFIZER, INC. 1.8%
TOTAL 26.4%
IN ADDITION, A FLAT YIELD CURVE CAN HARM THE BANKING INDUSTRY. BANKS BORROW AT
SHORT-RATES AND LEND LONG-TERM. A FLAT YIELD CURVE COMPROMISES BANK PROFITS,
REDUCING THEIR INCENTIVE TO EXPAND THEIR BALANCE SHEET, WHICH CAN IMPEDE
ECONOMIC GROWTH.
OUR STRATEGY FACES SEVERAL TRADEOFFS THAT MUST BE BALANCED. THE SURGE IN
SMALL-CAP TECHNOLOGY SHARES RAISES THE IMPORTANCE OF THESE TRADEOFFS.
TO MAINTAIN NEUTRALITY TO MARKET CAP, THE STRATEGY WILL TYPICALLY OVERWEIGHT
LARGE-CAP TECH STOCKS. THIS FORCES THE STRATEGY TO UNDERWEIGHT SMALLER CAP
TECHNOLOGY SHARES TO THEN MAINTAIN NEUTRALITY TO THE OVERALL TECHNOLOGY SECTOR.
UNFORTUNATELY, THIS TRADEOFF HAS BEEN HARMFUL TO PORTFOLIO PERFORMANCE OVER THE
PAST SIX MONTHS.
WE ARE CONSTANTLY MONITORING THIS TRADEOFF. OUR MODEL HAS FAVORED MANY OF THE
SMALLER CAP TECH STOCKS FOR SOME TIME NOW. AS A RESULT OF THIS AND THE
CONTINUED VOLATILITY IN THE SECTOR, WE REDUCED THIS UNDERWEIGHT DURING THE FIRST
QUARTER.
GOING FORWARD, THE TWO-TIERED MARKET RAISES THE IMPORTANCE OF BROAD PORTFOLIO
DIVERSIFICATION. THERE ARE NO GUARANTEES THAT TECH STOCKS WILL CONTINUE TO
OUTPACE MORE VALUE-ORIENTED SECTORS. A BROAD EXPOSURE TO EACH AREA IS PRUDENT.
IN ADDITION "OLD ECONOMY" STOCKS WILL BENEFIT FROM "NEW ECONOMY" TECHNOLOGY IN
THE FUTURE. COMPANIES IN EVERY MAJOR ECONOMIC SECTOR WILL HAVE SOME TYPE OF
INTERNET PRESENCE, AND WILL BENEFIT AS TECHNOLOGICAL ADVANCES SPUR PRODUCTIVITY
IMPROVEMENTS.
<PAGE>
MARKET OUTLOOK
WE REMAIN POSITIVE ON THE OUTLOOK FOR THE U.S. EQUITY MARKET. THE ECONOMIC
CLIMATE OF STRONG PRODUCTIVITY GROWTH AND LOW INFLATION BODES WELL FOR PROFITS.
PROFITS ULTIMATELY DRIVE EQUITY PRICES.
THE MAJOR RISK IS FURTHER AGGRESSIVE FED TIGHTENING. THE FED IS LIKELY TO
RAISE THE FED FUNDS RATE AT ITS NEXT FOMC MEETING ON MAY 16. ANY TIGHTENING
BEYOND THAT MAY DEPEND ON THE BOND MARKET'S REACTION. FURTHER FLATTENING OF THE
YIELD CURVE WILL IMPEDE MONETARY POLICY GOING FORWARD.
THE MARKET IS LIKELY TO REMAIN VOLATILE. THE UNCERTAINTY SURROUNDING THE
LONG-TERM PROFITABILITY OF SMALLER TECHNOLOGY COMPANIES WILL BE THE DRIVER. AS
SUCH, THE STRATEGY WILL MAINTAIN A BROAD DIVERSIFICATION TO THIS SECTOR,
MINIMIZING THE ACTIVE EXPOSURE TO SPECIFIC COMPANIES VERSUS THE INDEX.
APRIL 30, 2000
MANAGED INDEX
PORTFOLIO STATISTICS
MARCH 31, 2000
PORTFOLIO CHARACTERISTICS
CSIF RUSSELL
MANAGED INDEX 1000
PORTFOLIO INDEX
NUMBER OF STOCKS 209 962
MEDIAN MARKET
CAPITALIZATION ($BIL) 54.54 69.00
(BY PORTFOLIO WEIGHT)
PRICE/EARNINGS
RATIO 28.75 31.52
EARNINGS PER SHARE
GROWTH 23.65% 20.69%
YIELD 1.08% 1.13%
(RETURN ON CAPITAL INVESTMENT)
VOLATILITY MEASURES
CSIF RUSSELL
MANAGED INDEX 1000
PORTFOLIO INDEX
BETA1 1.01 0.98
R-SQUARED2 0.97 0.99
1MEASURE OF VOLATILITY COMPARED TO THE S&P 500 STOCK INDEX (S&P 500) BETA OF 1.
THE HIGHER THE BETA, THE HIGHER THE RISK AND POTENTIAL REWARD.
2MEASURE OF CORRELATION BETWEEN THE FUND'S RETURNS AND THE OVERALL MARKET'S (S&P
500) RETURNS. AN R-SQUARED OF 0 WOULD MEAN NO CORRELATION, AN R-SQUARED OF 1
WOULD MEAN TOTAL CORRELATION.
SOURCE: VESTEK
<PAGE>
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
U.S. GOVERNMENT AGENCY PRINCIPAL
OBLIGATIONS - 10.4% AMOUNT VALUE
FEDERAL HOME LOAN BANK:
4.98%, 4/14/00 $2,000,000 $1,999,986
5.24%, 6/2/00 5,000,000 4,954,878
6.56%, 2/15/01 5,000,000 4,995,902
FEDERAL HOME LOAN MORTGAGE CORP., 6.50%, 1/12/01 5,000,000 5,000,000
FEDERAL NATIONAL MORTGAGE ASSN., 6.52%, 3/16/01 5,000,000 5,000,411
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST $21,951,177) 21,951,177
DEPOSITORY RECEIPTS FOR U.S. GOVERNMENT
GUARANTEED LOANS - 5.0%
COLSON SERVICES CORPORATION LOAN SETS:
7.375%, 9/9/06( )() 158,660 159,204
7.09375%, 4/26/09( )() 180,093 180,361
8.59375%, 1/17/10( )() 37,877 38,440
7.34375%, 7/26/10( )() 223,570 224,126
7.50%, 1/22/11( )() 729,400 729,400
7.75%, 3/23/12( )() 631,584 639,212
7.375%, 5/29/12( )() 1,613,966 1,626,423
7.50%, 8/10/12( )() 5,184,500 5,235,414
7.25%, 9/2/12( )() 1,799,198 1,816,069
TOTAL DEPOSITORY RECEIPTS FOR U.S. GOVERNMENT
GUARANTEED LOANS (COST $10,648,649) 10,648,649
VARIABLE RATE LOANS GUARANTEED BY
AGENCIES OF THE U.S. GOVERNMENT - 1.1%
LOAN POOLS:
6.25%, 3/1/07( ) 722,745 721,219
7.25%, 8/15/12( ) 1,493,087 1,496,441
TOTAL VARIABLE RATE LOANS GUARANTEED BY AGENCIES OF THE
U.S. GOVERNMENT (COST $2,217,660) 2,217,660
CERTIFICATES OF DEPOSIT - 0.6%
BANK OF CHEROKEE COUNTY, 4.70%, 4/22/00 (^) 100,000 100,000
BROADWAY FEDERAL SAVINGS & LOAN, 4.50%, 9/14/00 (^) 100,000 100,000
COMMUNITY BANK OF BAY, 5.02%, 10/7/00 (^) 100,000 100,000
COMMUNITY CAPITAL BANK, 5.50%, 1/20/01 (^) 100,000 100,000
ELK HORN BANK & TRUST, 4.00%, 12/18/00 (^) 100,000 100,000
FAMILY SAVINGS BANK, 4.50%, 8/23/00 (^) 100,000 100,000
FOUNDERS NATIONAL BANK, 4.90%, 8/28/00 (^) 100,000 100,000
NOW BANK OF BOSTON, 4.40%, 4/22/00 (^) 100,000 100,000
SEAWAY NATIONAL BANK CHICAGO, IL, 4.40%, 1/27/01 (^) 100,000 100,000
SELF HELP CREDIT UNION, 4.98%, 7/15/00 (^) 100,000 100,000
<PAGE>
PRINCIPAL
CERTIFICATES OF DEPOSIT - CONT'D AMOUNT VALUE
SOUTH SHORE BANK:
5.30%, 12/18/00 (^) $100,000 $100,000
5.90%, 11/1/00 (^) 100,000 100,000
TOTAL CERTIFICATES OF DEPOSIT (COST $1,200,000) 1,200,000
COMMERCIAL PAPER - 0.9%
DUKE UNIVERSITY, 5.92%, 4/3/00 2,000,000 1,999,341
TOTAL COMMERCIAL PAPER (COST $1,999,341) 1,999,341
CORPORATE TAXABLE NOTES - 15.8%
ABBEY NATIONAL TREASURY SERVICES, 5.22%, 5/11/00 5,000,000 4,995,867
BOONE COUNTY AR. HOSPITAL REVENUE, 6.97%, 5/1/00 4,875,000 4,878,222
CANADIAN IMPERIAL, 6.67%, 2/12/01 3,000,000 2,998,764
FIRST CHICAGO NDB CORP., 6.25%, 7/21/00 2,275,000 2,278,263
JOHN DEERE CAPITAL CORP., 6.20%, 7/14/00 4,000,000 4,005,493
LOWER COLORADO RIVER AUTHORITY, 6.22%, 4/5/00 3,000,000 3,000,000
MISSOURI HIGHER EDUCATIONAL STUDENT LOAN, 6.80%, 2/15/01
1,000,000 998,788
NEW YORK STATE DORM AUTHORITY PENSION OBLIGATION BONDS,
6.63%, 10/1/00 5,000,000 4,996,950
PENNSYLVANIA ECONOMIC DEVELOPMENT, 6.40%, 4/5/00 5,000,000 5,000,000
TOTAL CORPORATE TAXABLE NOTES (COST $33,152,347) 33,152,347
TAXABLE VARIABLE RATE DEMAND NOTES -53.4%
ABAG FINANCING AUTHORITY FOR NONPROFIT CORPORATIONS CA COPS
6.25%, 10/1/27, LOC: BANQUE NATIONAL PARIS 3,668,000 3,668,000
ALABAMA INCENTIVES FINANCING AUTHORITY, 6.125%, 10/1/29,
BPA: SOUTHTRUST BANK, INSUR: AMBAC 5,000,000 5,000,000
ALABAMA ST. IDA:
6.20%, 12/1/19, LOC: BANK OF AMERICA 5,540,000 5,540,000
6.20%, 5/1/10, LOC: REGIONS BANK 115,000 115,000
ARKANSAS ST. DEVELOPMENT FINANCIAL AUTHORITY,
6.20%, 8/1/30, LOC: FNB CHICAGO 1,500,000 1,500,000
BALTIMORE COUNTY MD REVENUE, 6.15%, 1/1/29,
LOC: FIRST UNION BANK, NC 5,200,000 5,200,000
BARTON HEALTHCARE LLC, 6.20%, 2/15/25,
LOC: AMERICAN NATIONAL BANK & TRUST 685,000 685,000
BERKS COUNTY PA IDA REVENUE NOTES, 6.24%, 6/1/15,
LOC: FIRST UNION 2,055,000 2,055,000
BETTERS GROUP LP, 6.20%, 2/1/12, LOC: CENTURY NATIONAL
BANK & TRUST, CONFIRMING LOC: MELLON BANK 1,990,000 1,990,000
BOTSFORD GENERAL HOSPITAL MI REVENUE, 6.15%, 2/15/27,
LOC: MICHIGAN NATIONAL BANK 7,650,000 7,650,000
CALIFORNIA HOUSING FINANCE AGENCY:
6.15%, 2/1/23, BPA: CALSTRS, INSUR: FSA 5,000,000 5,000,000
5.70%, 8/1/31 (MANDATORY PUT TENDER ON 8/1/2000) 6,600,000 6,600,000
<PAGE>
TAXABLE VARIABLE RATE PRINCIPAL
DEMAND NOTES - CONT'D AMOUNT VALUE
CALIFORNIA STATEWIDE COMMUNITY DEVELOPMENT, 6.40%, 7/1/27,
CONFIRMING LOC: CALSTERNS, LOC: SANWA BANK CALIFORNIA
$345,000 $345,000
CHICAGO IL GO, 6.18%, 1/1/19,
BPA: LASALLE BANK, INSUR: FGIC 3,600,000 3,600,000
COLUMBUS GA DEVELOPMENT AUTHORITY REVENUE,
6.20%, 12/1/19, LOC: BANK OF NOVA SCOTIA 3,800,000 3,800,000
HEALTH MIDWEST VENTURES GROUP, 6.15%, 8/1/19,
LOC: BANK OF AMERICA 2,800,000 2,800,000
IPC INDUSTRIES, INC., 6.20%, 10/1/11,
LOC: NATIONAL BANK OF CANADA 3,120,000 3,120,000
LA MIRANDA CA IDA 6.20%, 12/1/26, LOC: BANK OF OHIO 3,750,000 3,750,000
MARYLAND STATE HEALTH AND HIGHER EDUCATIONAL FACILITIES,
6.35%, 7/1/22, LOC: ALLFIRST BANK 1,200,000 1,200,000
MEMPHIS CENTER FINANCE CORP. MFH REVENUE,
6.30%, 11/1/23, LOC: NATIONAL BANK OF COMMERCE TN
155,000 155,000
MERITER HOSPITAL, INC., 6.20%, 12/1/16,
LOC: FIRSTAR BANK, MILWAUKEE 4,200,000 4,200,000
MONTGOMERY COUNTY CANCER CENTER LLC, 6.20%, 10/1/12,
LOC: SOUTHTRUST BANK OF ALABAMA 125,000 125,000
MONTGOMERY COUNTY KY INDUSTRIAL BUILDING REVENUE,
6.20%, 8/1/06, LOC: FLEET BANK 1,661,000 1,661,000
MONTGOMERY ENGELSIDE MEDICAL CLINIC REVENUE,
6.25%, 3/1/24, LOC: SUNTRUST BANK 2,000,000 2,000,000
NEVADA HOUSING DIVISION MFH:
6.13%, 4/1/31 LOC: EAST-WEST BANK, CONFIRMING LOC: FHLB
3,075,000 3,075,000
6.13%, 4/1/31 LOC: U.S. BANK N.A. 2,050,000 2,050,000
6.13%, 10/15/32, BPA: FNMA 2,240,000 2,240,000
6.13%, 10/15/32, BPA: FNMA 2,085,000 2,085,000
PLEASANT HILL CA REDEVELOPMENT AGENECY, 6.20%, 8/1/26,
LOC: HELLER FINANCIAL, CONFIRMING LOC: COMMERZE BANK, AG
5,000 5,000
PHYSICIANS PLUS MEDICAL GROUP, 6.30%, 8/1/16, LOC: LASALLE BANK
600,000 600,000
RICHMOND VA REDEVELOPMENT AND HOUSING AUTHORITY,
5.90%, 12/1/25, LOC: WACHOVIA BANK AND TRUST 4,235,000 4,235,000
SACRAMENTO COUNTY CA REVENUE, 6.15%, 7/1/22,
LOC: BAYER LANDSBANK 5,900,000 5,900,000
SAN JOSE FINANCING AUTHORITY REVENUE, 6.15%, 12/1/25,
BPA: BANK OF NOVA SCOTIA, INSUR: AMBAC 1,870,000 1,870,000
SOUTH CENTRAL COMMUNICATIONS CORP., 6.15%, 6/1/13,
LOC: CITIZENS NATIONAL BANK OF EVANSVILLE,
CONFIRMING LOC: SUNTRUST BANK 3,900,000 3,900,000
ST. PAUL MN HOUSING AND REDEVELOPMENT AUTHORITY,
6.20%, 6/1/15, LOC: CREDIT LOCAL DE FRANCE 1,730,000 1,730,000
6.20%, 3/1/18, LOC: CREDIT LOCAL DE FRANCE 1,800,000 1,800,000
<PAGE>
TAXABLE VARIABLE RATE PRINCIPAL
DEMAND NOTES - CONT'D AMOUNT VALUE
ST. PAUL MN PORT AUTHORITY INDUSTRIAL REVENUE,
6.25%, 6/1/11, LOC: U.S. BANK, N.A. $480,000 $480,000
VIRGINIA ST. HOUSING DEVELOPMENT AUTHORITY,
6.20%, 1/1/47 300,000 300,000
WASHINGTON ST. HOUSING FINANCE COMMISSION,
6.15%, 6/15/32, LOC: FNMA 2,250,000 2,250,000
WASHINGTON ST. HOUSING FINANCE COMMISSION,
6.25%, 1/1/30, LOC: WELLS FARGO BANK 5,163,000 5,163,000
WENATCHEE VALLEY CLINIC, 6.20%, 11/23/24,
LOC: US BANK NATIONAL ASSOCIATION 2,955,000 2,955,000
TOTAL TAXABLE VARIABLE RATE DEMAND NOTES (COST $112,397,000)
112,397,000
REPURCHASE AGREEMENTS - 11.2%
DONALDSON, LUFKIN & JENRETTE, 6.15%, DATED 3/31/00, DUE 4/3/00
(COLLATERAL: $24,055,314 FNMA MEDIUM
TERM NOTE, 7.147%, 8/14/03) 23,500,000 23,500,000
TOTAL REPURCHASE AGREEMENTS (COST $23,500,000) 23,500,000
TOTAL INVESTMENTSS (COST $207,066,174) 98.4 207,066,174
OTHER ASSETS AND LIABILITIES, NET - 1.6% 3,330,052
NET ASSETS - 100% $210,396,226
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
#BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
PRINCIPAL
CERTIFICATES OF DEPOSIT - 0.1% AMOUNT VALUE
ALTERNATIVE FEDERAL CREDIT UNION, 5.50%, 11/30/00 (^)(+)
$50,000 $49,836
BLACKFEET NATIONAL BANK, 4.75%, 11/13/00 (^)(+) 92,000 91,565
D. EDWARD WELLS FEDERAL CREDIT UNION, 5.00%, 11/20/00 (^)(+)
50,000 48,889
FIRST AMERICAN CREDIT UNION, 4.70%, 12/23/00 (^)(+) 92,000 92,000
MISSION AREA FEDERAL CREDIT UNION, 4.95%, 11/18/00 (^)(+)
50,000 49,797
NORTHEAST COMMUNITY FEDERAL CREDIT UNION, 4.75%, 11/24/00 (^)(+)
50,000 49,815
SOUTH SHORE BANK OF CHICAGO:
5.75%, 12/6/00 (^)(+) 100,000 98,631
6.30%, 2/8/01 (+) 350,000 348,475
TOTAL CERTIFICATES OF DEPOSIT (COST $834,000) 829,008
CONVERTIBLE DEBENTURE BONDS - 0.0%
WORLDWATER, INC., 9.00%, 3/31/00 (#)(+)(*)(B) 135,000 40,500
TOTAL CONVERTIBLE DEBENTURE BONDS (COST $135,000) 40,500
HIGH SOCIAL IMPACT INVESTMENTS - 0.6%
ACCION INTERNATIONAL CORP., 4.00%, 9/30/04 250,000 241,500
ACCION US BRIDGE FUND, 4.00%, 1/12/01 100,000 95,144
BOSTON COMMUNITY LOAN FUND, 4.50%, 1/12/01 500,000 477,320
COASTAL ENTERPRISES, INC., 4.00%, 7/15/01 200,000 195,366
COMMUNITY REINVESTMENT FUND, 4.00%, 4/5/00 100,000 100,000
CO-OP FUND OF NEW ENGLAND, INC., 4.00%, 12/31/00 125,000 118,930
EASTSIDE COMMUNITY INVESTMENT, 4.07%, 10/5/00 (B) 100,000 33,000
ECUMENICAL DEVELOPMENT CORP., 5.00%, 12/31/01 100,000 95,785
ENVIRONMENTAL ENTERPRISES ASSISTANCE FUND, 4.50%, 6/30/00
125,000 122,741
FIRST STATE COMMUNITY LOAN FUND, 4.00%, 1/13/02 25,000 23,786
FOUNDATION FOR INTERNATIONAL COMMUNITY ASST., 3.50%, 4/30/00
133,333 33,072
HOUSING ASSISTANCE COUNCIL, 4.50%, 6/30/02 75,000 73,723
INSTITUTE FOR COMMUNITY ECONOMICS, 4.00%, 10/1/02 400,000 386,400
LOW INCOME HOUSING FUND, 4.00%, 9/30/04 500,000 483,000
MANNA, INC., 4.50%, 9/30/02 250,000 242,042
MICHIGAN HOUSING TRUST, 4.50%, 6/30/00 100,000 98,159
MICRO INDUSTRY CREDIT RURAL CORP., 4.50%, 1/13/01 100,000 95,464
MINNESOTA NON PROFIT ASSISTANCE FUND, 4.07%, 1/1/01 200,000 200,000
NATIONAL FEDERATION OF COMMUNITY DEVELOPMENT CREDIT UNION,
4.00%, 4/7/01 400,000 375,236
NEW HAMPSHIRE COMMUNITY LOAN FUND, 4.00%, 7/15/01 400,000 392,728
NONPROFIT FACILITIES FUND, 4.50%, 6/30/04 100,000 98,297
NORTH COUNTRY CO-OP DEVELOPMENT FUND, 4.50%, 1/12/01 100,000 95,464
NORTHEAST SOUTH DAKOTA ENERGY CONSERVATION CORP.,
4.50%, 1/13/03 25,000 23,866
OPPORTUNITY INTERNATIONAL, 3.50%, 9/30/04 100,000 96,382
SAINT AMBROSE HOUSING CENTER, 4.50%, 9/30/00 25,000 25,000
VERMONT COMMUNITY LOAN FUND, 4.50%, 4/30/01 200,000 198,618
<PAGE>
PRINCIPAL
HIGH SOCIAL IMPACT INVESTMENTS - 0.6% AMOUNT VALUE
WASHINGTON AREA COMMUNITY INVESTMENT FUND, 4.50%, 12/31/01
$299,954 $286,348
WESTERN MASSACHUSETTS ENTERPRISE FUND, 4.50%, 9/30/03 50,000 48,409
WOMEN'S SELF-EMPLOYMENT LOAN FUND, 4.50%, 3/31/00 50,000 50,000
TOTAL HIGH SOCIAL IMPACT INVESTMENTS (#)(+)(COST $5,033,287)
4,805,780
CORPORATE BONDS - 33.4%
ABBEY NATIONAL CAPITAL TRUST I , 8.963%, 12/29/49 8,250,000 8,399,663
ACE CAPITAL TRUST II, 9.70%, 4/1/30 2,000,000 2,015,980
AGL CAPITAL TRUST, 8.17%, 6/1/37 4,000,000 3,538,920
ATLANTIC MUTUAL INSURANCE CO., 8.15%, 2/15/28 10,500,000 7,771,890
BCI US FUNDING TRUST I, 8.01%, 12/29/49 3,600,000 3,277,022
BANK OF OKLAHOMA NA, 7.125%, 8/15/07 3,000,000 2,780,880
BANK UNITED CORP., 8.00%, 3/15/09 3,000,000 2,723,160
BLYTH INDUSTRIES, INC., 7.90%, 10/1/09 2,500,000 2,394,800
CABLE & WIRELESS COMMUNICATIONS, 6.625%, 3/6/05 4,000,000 3,968,120
CASCADE CHRISTIAN SCHOOL, 7.65%, 12/1/09 1,000,000 950,000
CLECO CORP., 6.52%, 5/15/09 2,000,000 1,846,740
COLUMBIA UNIVERSITY, 6.83%, 12/15/20 3,000,000 2,839,863
COMMUNITY REINVESTMENT FUND, 6.35%, 6/1/15 58,386 49,236
COMPUTER ASSOCIATES INTERNATIONAL, INC., 6.375%, 4/15/05
7,000,000 6,553,750
CONSECO FINANCING TRUST II, 8.70%, 11/15/26 3,000,000 2,310,330
CONSECO, INC.:
9.00%, 10/15/06 1,000,000 981,800
6.80%, 6/15/05 8,775,000 7,939,796
COVAD COMMERCIAL GROUP, 12.00%, 2/15/10 1,000,000 880,000
COX ENTERPRISES, INC., 8.00%, 12/15/07 12,000,000 12,040,680
CREDIT-BASED ASSET SERVICING AND SECURITIES, LTD., 8.20%, 9/25/30
2,000,000 1,866,400
CREDIT SUISSE FIRST BOSTON, 7.90%, 5/1/07 4,000,000 3,798,368
CRESCENT REAL ESTATE EQUITIES, 7.00%, 9/15/02 5,000,000 4,541,100
CRESCENT REAL ESTATE EQUITIES, 7.50%, 9/15/07 1,000,000 820,420
DIME CAPITAL TRUST I, 9.33%, 5/6/27 5,100,000 4,770,387
ERAC USA FINANCE COMPANY, 7.95%, 12/15/09 11,000,000 10,869,320
EVEREST REINSURANCE HOLDINGS, 8.50%, 3/15/05 5,000,000 5,012,150
FINOVA CAPITAL CORP., 6.125%, 3/15/04 6,000,000 5,542,320
FIRST DATA CORP, 6.375%, 12/15/07 3,250,000 3,052,010
FUSION CAPITAL, 10.00%, 1/16/02 5,092,365 779,185
GOLDEN STATES HOLDINGS ESCROW CORP, 7.00%, 8/1/03 15,450,000 14,239,029
GOLDMAN SACHS GROUP LP, 7.80%, 1/28/10 5,000,000 4,990,400
GREENPOINT CAPITAL TRUST I, 9.10%, 6/1/27 8,500,000 7,805,125
HSB CAPITAL I, 6.95%, 7/15/27 6,000,000 5,474,100
IMPERIAL BANK, 8.50%, 4/1/09 5,970,000 5,633,113
INTERPOOL CAPITAL TRUST, 9.875%, 2/15/27 4,500,000 3,441,645
KMD DEVELOPMENT CORP, 2.409%, 12/31/07 746,900 600,000
LG & E CAPITAL CORP., 6.205%, 5/1/04 1,500,000 1,407,840
LG & G CAPITAL CORP., 5.75%, 11/1/01 1,500,000 1,460,550
LIMESTONE ELECTRON TRUST, 8.625%, 9/30/04 2,000,000 2,009,520
LUMBERMENS MUTUAL CASUALTY INSURANCE, 8.30%, 12/1/37
2,630,000 2,330,048
MARK IV INDUSTRIES, INC., 7.50%, 9/1/07 4,750,000 4,363,778
MCN INVESTMENT CORP., 6.30%, 4/2/11 2,000,000 1,964,420
NATIONAL RURAL UTILITIES, 6.20%, 2/1/08 3,500,000 3,258,150
<PAGE>
PRINCIPAL
CORPORATE BONDS - CONT'D AMOUNT VALUE
NCB AFFORDABLE HOUSING / MARKET RATE COOPERATIVE FIRST
MORTGAGE CERTIFICATES SERIES 1993-3 B, 5.86%, 7/1/12 (#)
$2,011,900 $2,006,267
NEW HOLLAND EQUIPMENT, 6.80%, 12/15/07 2,000,000 1,967,580
NORDBANKEN AB, 8.95%, 11/29/49 1,500,000 1,516,745
PIONEER HUMAN SERVICES, 8.75%, 5/27/01 (#)(+) 500,000 495,208
PITNEY BOWES CREDIT CORP., 9.25%, 6/15/08 2,490,000 2,797,166
POLAND PARTNERS, 5.875%, 4/13/04 (#)(+) 553,326 417,771
PUGET SOUND ENERGY, 6.23%, 7/11/02 1,786,671 1,764,499
RIGGS CAPITAL TRUST, 8.625%, 12/31/26 7,000,000 6,238,610
ROYAL BANK OF SCOTLAND GROUP PLC, 9.118%, 3/31/49 5,000,000 5,146,525
RUSSELL FRANK CO., 5.625%, 1/15/09 1,000,000 882,270
SAGE BRUNO, 6.00%, 12/31/00 (#)(+) 100,000 10
SAXON ASSETS SECURITIES TRUST,:
8.075%, 2/2/22 5,000,000 5,036,900
8.305%, 3/25/30 1,914,000 1,940,796
SEVENTH GENERATION, 10.85%, 6/30/02 (#)(+) 100,000 100,000
SKANDINAVISKA ENSKILDA BANKEN, 6.50%, 12/29/49 20,485,000 19,310,779
SOVEREIGN BANCORP, INC.:
6.75%, 9/1/00 3,650,000 3,602,477
10.50%, 11/15/06 1,500,000 1,530,780
SWEDBANK SPARBANK SVENGE AB, 9.00%, 3/17/2099 2,000,000 2,009,732
TYCO INTERNATIONAL GROUP, 6.375%, 6/15/05 2,000,000 1,884,920
12TH STREET HISTORIC REHABILITATION ASSOCIATES MORTGAGE,
10.75%, 4/15/04 (*)(B)(#)(+) 350,919 70,184
UNION BANK NORWAY, 7.35%, 12/31/49 4,000,000 3,864,000
UNITED DOMINION REALTY TRUST, 8.625%, 3/15/03 3,000,000 2,988,060
US WEST CAPITAL FUNDING, INC.:
5.625%, 11/15/08 3,880,000 3,384,834
6.25%, 7/15/05 1,000,000 944,620
XEROX CAPITAL TRUST I, 8.00%, 2/1/27 21,360,000 19,555,080
TOTAL CORPORATE BONDS (COST $270,944,351) 262,747,821
MUNICIPAL OBLIGATIONS - 1.7%
AMERICAN PUBLIC ENERGY AGENCY NEBRASKA GAS SUPPLY REVENUE BONDS,
6.875%, 12/1/04 5,852,000 5,774,695
CHICKASAW NATION CERTIFICATES OF PARTICIPATION, 10.00%, 8/1/03 (+)
219,721 208,735
MARYLAND STATE ECONOMIC DEVELOPMENT CORP. REVENUE BONDS:
8.00%, 10/1/05 3,215,000 3,168,093
8.625%, 10/1/19 3,750,000 4,113,000
SAN MATEO REDEVELOPMENT AGENCY TAX ALLOCATION REFUNDING BONDS,
7.125%, 8/1/08 415,000 403,338
TOTAL MUNICIPAL OBLIGATIONS (COST $$13,344,533) 13,667,861
REPURCHASE AGREEMENTS - 2.0%
STATE STREET BANK, 6.00%, DATED 3/31/00, DUE 4/1/00
( COLLATERAL: $16,172,925 FHLMC, 6.35%, 1/5/01) 15,500,000 15,500,000
TOTAL REPURCHASES AGREEMENTS (COST $15,500,000) 15,500,000
<PAGE>
ADJUSTED
LIMITED PARTNERSHIP INTEREST - 0.5% BASIS VALUE
COASTAL VENTURE PARTNERS (*) $140,000 $136,801
ENVIRONMENTAL ALLIES INVESTMENT TRUST (*) 8,109 9,404
ENVIRONMENTAL PRIVATE EQUITY FUND II 91,532 152,871
GLOBAL ENVIRONMENT EMERGING MARKETS FUND (*) 814,997 0
GEEMF PARTNERS 185,003 130,384
HAMBRECHT & QUIST ENVIRONMENTAL TECHNOLOGY FUND (*) 341,080 94,115
HFG EXPANSION FUND I (*) 125,000 0
IEPF EQUITY FUND III (*) 800,000 955,205
LABRADOR VENTURES III (*) 363,256 386,102
LABRADOR VENTURES IV (*) 200,000 200,000
LIBERTY ENVIRONMENTAL PARTNERS (*) 350,000 277,940
POLAND PARTNERS (*) 381,600 512,870
UKRAINE FUND (*) 75,028 58,329
UTAH VENTURES (*) 397,380 440,504
VENTURE STRATEGY PARTNERS (*) 200,000 183,862
VIRIDIAN CAPITAL (*) 311,279 241,376
TOTAL LIMITED PARTNERSHIP INTEREST (#)(+)(COST $4,784,264)
3,779,763
EQUITY SECURITIES - 61.5% SHARES
BANKS - MAJOR REGIONAL - 2.8%
FIFTH THIRD BANCORP. 76,700 4,832,100
FIRSTAR CORP. 111,200 2,550,650
MELLON FINANCIAL CORP. 155,400 4,584,300
STATE STREET CORP. 64,400 6,238,750
WELLS FARGO & CO. 97,800 4,003,687
22,209,487
BANKS - MONEY CENTER - 1.6%
CHASE MANHATTAN CORP. 140,200 12,223,688
BIOTECHNOLOGY - 0.6%
AMGEN, INC. (*) 56,500 3,467,687
MEDIMMUNE, INC. (*) 7,900 1,375,588
4,843,275
BROADCAST - TELEVISION, RADIO, CABLE - 0.6%
CLEAR CHANNEL COMMUNICATIONS (*) 68,300 4,716,969
CHEMICALS - 0.4%
PRAXAIR, INC. 67,900 2,826,337
COMMUNICATIONS EQUIPMENT - 5.1%
ADC TELECOMMUNICATIONS, INC. (*) 68,000 3,663,500
LUCENT TECHNOLOGIES, INC. 120,200 7,302,150
NOKIA CORP. 36,400 7,907,900
NORTEL NETWORKS CORP. 62,800 7,912,800
SCIENTIFIC-ATLANTA, INC. 24,800 1,573,250
TELLABS, INC. (*) 192,100 12,099,298
40,458,898
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
COMPUTERS - HARDWARE - 7.3%
CISCO SYSTEMS, INC. (*) 167,200 $12,926,650
DELL COMPUTER CORP. (*) 47,000 2,535,062
EMC CORP. (*) 130,740 16,342,500
INTERNATIONAL BUSINESS MACHINES CORP. 115,400 13,617,200
SUN MICROSYSTEMS, INC. (*) 130,800 12,256,369
57,677,781
COMPUTERS - SOFTWARE & SERVICES - 4.7%
AMERICA ONLINE, INC. (*) 51,400 3,456,650
COMPUTER ASSOCIATES INTERNATIONAL, INC. 50,875 3,011,165
COMPUWARE CORP. (*) 137,000 2,885,563
MICROSOFT CORP. (*) 146,480 15,563,500
ORACLE CORP. (*) 130,000 10,148,125
PARAMETRIC TECHNOLOGY CORP. (*) 82,000 1,727,125
36,792,128
CONSUMER CYCLICALS - 0.1%
REAL GOODS TRADING CORP. (*) 125,000 468,750
CONSUMER FINANCE - 0.2%
PROVIDIAN FINANCIAL CORP. 20,600 1,784,475
DISTRIBUTORS - FOOD & HEALTH - 1.2%
CARDINAL HEALTH, INC. 208,875 9,582,141
ELECTRICAL EQUIPMENT - 2.0%
AMERICAN POWER CONVERSION (*) 92,100 3,948,788
SOLECTRON CORP. (*) 234,600 9,398,662
VISHAY INTERTECHNOLOGY, INC. (*) 48,100 2,675,563
16,023,013
ELECTRONICS - INSTRUMENT - 0.2%
PE CORP-PE BIOSYSTEMS GROUP 14,800 1,428,200
ELECTRONICS - SEMICONDUCTORS - 3.1%
ALTERA CORP. (*) 51,400 4,587,450
CREE, INC. (*) 8,400 948,150
INTEL CORP. 72,000 9,499,500
JDS UNIPHASE CORP. (*) 32,000 3,858,000
LINEAR TECHNOLOGY CORP. 53,200 2,926,000
XILINX, INC. (*) 30,400 2,517,500
24,336,600
ENTERTAINMENT - 0.8%
TIME WARNER, INC. 61,500 6,150,000
FINANCIAL - DIVERSIFIED - 2.1%
FEDERAL HOME LOAN MORTGAGE CORP. 45 1,988
FEDERAL NATIONAL MORTGAGE ASSN. 59,420 3,353,516
FUSION CAPITAL (*)(A) 19,872,196 3,040,655
HIGHWOOD PROPERTIES, INC. 6,900 4,707,111
SLM HOLDING CORP. 159,900 5,326,669
16,429,939
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
FOODS - 0.0%
HEINZ (H.J.) CO. 20 $697
HARDWARE & TOOLS - 0.0%
BLACK & DECKER CORP. 45 1,690
HEALTHCARE - DIVERSIFIED - 0.9%
JOHNSON & JOHNSON 93,900 6,578,869
HAYES MEDICAL SERVICES (+) (*) (#) 326,797 359,477
QUADRANT HEALTHCARE PLC. (*) 305,263 227,209
7,165,555
HEALTHCARE - DRUGS - 2.6%
ALZA CORP. (*) 46,200 1,735,387
AVIRON (*) 37,074 1,031,121
MERCK & CO., INC. 104,724 6,505,978
PFIZER, INC. 254,000 9,286,875
WATSON PHARMACEUTICAL, INC. (*) 45,600 1,809,750
20,369,111
HEALTHCARE - HOSPITAL MANAGEMENT - 0.5%
HEALTH MANAGEMENT ASSOCIATES, INC. (*) 274,300 3,908,775
HEALTHCARE - MEDICAL PRODUCTS & SUPPLIES - 0.8%
GUIDANT CORP. (*) 110,816 6,517,366
HOUSEHOLD PRODUCTS NON-DURABLES - 0.5%
COLGATE-PALMOLIVE COMPANY 74,800 4,216,850
HOUSEWARES - 0.4%
NEWELL RUBBERMAID, INC. 132,160 3,279,220
INSURANCE - MULTI-LINE - 1.0%
AMERICAN INTERNATIONAL GROUP, INC. 75,433 8,259,914
INSURANCE - LIFE & HEALTH - 0.9%
AFLAC, INC. 150,100 6,838,931
INSURANCE BROKERS - 0.6%
MARSH & MCLENNAN COMPANIES 42,600 4,699,313
INVESTMENT BANKING & BROKERS - 1.2%
AXA FINANCIAL, INC. 123,200 4,419,800
SCHWAB (CHARLES) CORP. 86,900 4,937,006
9,356,806
INVESTMENT MANAGEMENT - 1.2%
FRANKLIN RESOURCES, INC. 95,200 3,183,250
PRICE (T. ROWE) ASSOCIATES 155,100 6,126,450
9,309,700
LEISURE TIME - PRODUCTS - 0.6%
HARLEY-DAVIDSON, INC. 54,600 4,333,875
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
MACHINERY - DIVERSIFIED - 0.9%
ILLINOIS TOOL WORKS 84,600 $4,674,150
TYCO INTERNATIONAL, LTD. 46,500 2,319,188
6,993,338
MANUFACTURING - SPECIALIZED - 0.4%
AVERY DENNISON CORP. 53,300 3,254,631
NATURAL GAS - 0.3%
EL PASO ENERGY CORP. 58,100 2,345,788
OFFICE EQUIPMENT & SUPPLIES - 0.3%
PITNEY BOWES, INC. 57,000 2,547,188
OIL & GAS - EXPLORATION & PRODUCTION - 0.5%
ANADARKO PETROLEUM CORP. 100,300 3,880,356
PERSONAL CARE - 0.5%
ESTEE LAUDER COMPANIES, INC. 79,000 3,954,938
POWER PRODUCERS - INDEPENDENT - 0.8%
AES CORP. (*) 53,700 4,228,875
CALPINE CORP. (*) 21,900 2,058,600
6,287,475
RAILROADS - 0.3%
KANSAS CITY SOUTHERN INDUSTRIES 30,200 2,595,312
RETAIL - BUILDING SUPPLIES - 2.0%
FASTENAL CO. 92,500 4,428,438
HOME DEPOT, INC. 136,460 8,801,670
LOWE'S COMPANIES 41,300 2,410,887
15,640,995
RETAIL - DISCOUNTERS - 0.8%
DOLLAR GENERAL CORP. 248,162 6,669,354
RETAIL - DRUG STORES - 0.4%
CVS CORP. 82,700 3,106,419
RETAIL - FOOD CHAINS - 0.7%
SAFEWAY, INC. (*) 115,300 5,217,325
RETAIL - GENERAL MERCHANDISE - 0.4%
TARGET CORP. 45,700 3,416,075
RETAIL - SPECIALTY - 0.5%
STAPLES, INC. (*) 180,300 3,606,000
RETAIL - SPECIALTY APPAREL - 0.5%
GAP, INC. 77,900 3,880,394
SERVICES - EMPLOYMENT - 0.6%
ROBERT HALF INTERNATIONAL, INC. (*) 92,700 4,397,456
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
SERVICES - ADVERTISING & MARKETING - 0.9%
OMNICOM GROUP 74,000 $6,914,375
SERVICES - DATA PROCESS - 2.0%
FIRST DATA CORP. 70,500 3,119,625
FISERV, INC. (*) 112,600 4,187,312
PAYCHEX, INC. 159,450 8,351,194
15,658,131
TELECOMMUNICATIONS - CELLULAR & WIRELESS - 0.4%
CELLNET DATA SYSTEM, INC. (*) 33,093 331
VODAFONE AIRTOUCH PLC 55,200 3,067,050
3,067,381
TELECOMMUNICATIONS - LONG DISTANCE - 1.6%
MCI WORLDCOM, INC. (*) 227,227 10,296,223
NEXTLINK COMMUNICATIONS (*) 18,900 2,337,694
12,633,917
TELEPHONE - 1.0%
ALLTEL CORP. 51,100 3,222,494
SBC COMMUNICATIONS, INC. 110,440 4,638,480
7,860,974
VENTURE CAPITAL - 1.6%
AGRAQUEST, INC., SERIES B PREFERRED (*)(#)(+) 190,477 447,621
AGRAQUEST, INC., SERIES C CONVERTIBLE PREFERRED (*)(#)(+)
117,647 276,470
ALL MEDIA SOLUTIONS, INC.(*)(#)(+) 479,652 155,887
ALLOS THERAPEUTICS (*)(#)(+) 171,271 1,838,487
CALYPTE BIOMED (*)(#)(+) 100,000 307,813
COMMUNITY BANK OF THE BAY (*)(#)(+) 4,000 100,000
COMMUNITY GROWTH FUND (#) 1,366,671 462,017
ECO TIMBER INTERNATIONAL, INC.(*)(#)(+) 12,468 99,993
ENERGIA GLOBAL, INC., SERIES A, CONVERTIBLE PREFERRED (*)(#)(+)
80,129 580,935
ENERGIA GLOBAL, INC., SERIES B, CONVERTIBLE PREFERRED (*)(#)(+)
33,571 243,390
ENVIROLUTIONS, INC. (*)(#)(+) 814 26,185
EVERGREEN SOLAR, SERIES B (*)(#)(+) 100,000 250,000
EVERGREEN SOLAR, SERIES C (*)(#)(+) 76,972 192,430
EVERGREEN SOLAR, SERIES D (*)(#)(+) 80,000 200,000
EVERGREEN SOLAR (WARRANTS)(*)(#)(+) 30,789 15,394
FIRST REPUBLIC PREFERRED CAPITAL CORP (*) (#) (+) 2,000 1,860,000
FOUNTAINHEAD TECHNOLOGIES, INC., PREFERRED (*)(#)(+) 3,295 0
FRANS HEALTH HELPINGS (*)(#)(+) 505,051 200,000
KNOWASTE LLC (*)(#)(+) 814 81,400
LEXMARK INTERNATIONAL GROUP, INC. (*)(#)(+) 21,900 2,315,925
LIVING TECHNOLOGIES, INC. (*)(#)(+) 25,000 100,000
NEIGHBORHOOD BANCORP (*)(#)(+) 10,000 100,000
PARADIGM BIOSCIENCES (*)(#)(+) 125,000 302,500
PARADIGM, INC. (*)(#)(+) 113,636 274,999
PHARMADIGM, INC. (WARRANTS) (*)(#)(+) 7,955 0
PRO FUND INTERNATIONAL (*)(#)(+) 7,501 7,501
PRO FUND INTERNATIONAL, PREFERRED (*)(#)(+) 742,499 742,499
TAKE THE LEAD (*)(#)(+) 23,630 0
ULTRAFEM, INC. (*)(#)(+) 25,000 0
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
VENTURE CAPITAL - CONT'D
VCAMPUS CORP.(*)(#)(+) 25,080 $269,610
WATER MANAGEMENT SERVICES., SERIES A, PREFERRED (*)(#)(+)
129,032 200,038
WILD PLANET TOYS, INC., SERIES B, PREFERRED (*)(#)(+) 476,190 666,666
WILD PLANET TOYS, INC., SERIES E, PREFERRED (*)(#)(+) 129,089 180,725
WIND HARVEST CO., INC., SERIES A, PREFERRED (*)(#)(+) 8,696 50,000
12,548,485
TOTAL EQUITY SECURITIES (COST $374,682,423) 486,465,554
TOTAL INVESTMENTS (COST $685,257,858) 99.8% 784,056,524
OTHER ASSETS AND LIABILITIES, NET - 0.2% 1,839,617
NET ASSETS - 100% 785,896,141
UNDERLYING UNREALIZED
# OF EXPIRATION FACE AMOUNT APPRECIATION INITIAL
FUTURES CONTRACTS DATE AT VALUE (DEPRECIATION) MARGIN
PURCHASED:
10 YEAR U.S. TREASURY
53 6/00 $5,261,906 $265,444 $40,500
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
PRINCIPAL
CORPORATE BONDS - 85.4% AMOUNT VALUE
ABBEY NATIONAL CAPITAL TRUST I, 8.963%, 12/29/49 $2,200,000 $2,239,910
ACE CAPITAL TRUST II, 9.70%, 4/1/30 1,500,000 1,511,985
AGL CAPITAL TRUST, 8.17%, 6/1/37 1,000,000 884,730
ATLANTIC MUTUAL INSURANCE CO., 8.15%, 2/15/28 1,600,000 1,184,288
BANK OF OKLAHOMA NA, 7.125%, 8/15/07 1,000,000 926,960
BCI US FUNDING TRUST I, 8.01%, 12/29/49 2,000,000 1,820,568
BELLSOUTH SAVINGS & EMPLOYEE ESOP, 9.125%, 7/1/03 113,928 118,341
BLYTH INDS, INC., 7.90%, 10/1/09 1,000,000 957,920
BOMBARDIER CAPITAL, LTD., 8.29%, 6/15/30 1,000,000 1,027,280
CLECO CORP., 6.52%, 5/15/09 1,000,000 923,370
COLUMBIA UNIVERSITY, 6.83%, 12/15/20 3,000,000 2,839,863
COMPUTER ASSOCIATES INTERNATIONAL, INC., 6.375%, 4/15/05
3,250,000 3,042,813
CONSECO, INC.:
6.80%, 6/15/05 3,250,000 2,940,665
9.00%, 10/15/06 1,000,000 981,800
COX ENTERPRISES, INC., 8.00%, 2/15/07 1,500,000 1,505,085
CREDIT-BASED ASSET SERVICING AND SECURITIES, LTD., 8.20%, 6/15/30
500,000 466,600
CRESCENT REAL ESTATE EQUITIES LP, 7.50%, 9/15/07 500,000 410,210
FIRST DATA CORP, 6.375%, 12/15/07 2,000,000 1,878,160
GREENPOINT CAPITAL TRUST I, 9.10%, 6/1/27 300,000 275,475
GREENPOINT CREDIT, LLC, 7.59%, 11/15/28 1,500,000 1,501,395
GOLDEN STATE HOLDINGS ESCROW CORP:
7.00%, 8/1/03 2,000,000 1,843,240
7.125%, 8/1/05 1,500,000 1,342,170
HSB CAPITAL SECURITIES, SERIES B, 6.95%, 7/15/27 2,000,000 1,824,700
INTERPOOL CAPITAL TRUST, 9.875%, 2/15/27 750,000 573,607
LG & E CAPITAL CORP:
5.75%, 11/1/01 1,500,000 1,460,550
6.205%, 5/1/04 1,500,000 1,407,840
LIMESTONE ELECTRON TRUST, 8.625%, 3/15/03 1,000,000 1,004,760
LUMBERMENS MUTUAL CASUALTY CO., 8.30%, 12/1/37 1,500,000 1,328,925
NATIONAL RURAL UTILITIES, 6.20%, 2/1/08 1,500,000 1,396,350
NCB AFFORDABLE HOUSING / MARKET RATE COOPERATIVE FIRST MORTGAGE
CERTIFICATES SERIES 1993-3 B, 5.86%, 7/1/12 (*) 777,731 769,798
NORDBANKEN AB, 8.95%, 11/29/49 1,750,000 1,769,535
RIGGS CAPITAL TRUST, 8.625%, 12/31/26 1,250,000 1,114,038
ROYAL BANK OF SCOTLAND GROUP PLC, 9.118%, 3/31/49 3,500,000 3,602,567
RUSSELL FRANK CO., 5.625%, 1/15/09 1,500,000 1,323,405
SAXON ASSET SECURITIES TRUST, 8.305%, 3/25/30 2,000,000 2,028,000
SKANDINAVISKA ENSKILDA BANKEN:
8.125%, 9/06/49 2,000,000 1,923,026
6.50%, 12/29/49 1,000,000 942,679
SWEDBANK FORENINGS SPARBANK SVENGE AB, 9.00%, 3/17/99
2,500,000 2,512,165
TYCO INTERNATIONAL GROUP SA, 6.375%, 6/15/05 2,000,000 1,884,920
UNION BANK NORWAY, 7.35%, 12/31/49 1,000,000 966,000
XEROX CAPITAL TRUST I, 8.00%, 2/1/27 4,000,000 3,662,000
TOTAL CORPORATE BONDS (COST $63,163,652) 62,117,693
<PAGE>
U.S. GOVERNMENT AGENCIES PRINCIPAL
AND INSTRUMENTALITIES - 3.8% AMOUNT VALUE
FEDERAL HOME LOAN MORTGAGE CORP., 7.12%, 6/25/28 $2,750,000 $2,734,133
TOTAL U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES
(COST $2,851,505)
CERTIFICATES OF DEPOSIT - 0.1%
SOUTH SHORE BANK, 6.30%, 2/8/01 100,000 100,000
TOTAL CERTIFICATES OF DEPOSIT (+)(^) (COST $100,000)
REPURCHASE AGREEMENTS - 5.8%
STATE STREET BANK, 6.00%, DATED 3/31/00, DUE 4/3/00
(COLLATERAL: $4,336,268 FHLMC DISCOUNT, 6.43204%, 8/1/00)
4,200,000 4,200,000
TOTAL REPURCHASE AGREEMENTS (COST $4,200,000)
HIGH SOCIAL IMPACT INVESTMENTS - 0.6%
D.C. HABITAT FOR HUMANITY, 4.50%, 2/17/01 150,000 141,928
NORTHEAST ENTREPRENEUR FUND, 4.50%, 6/30/03 100,000 98,297
ST. VINCENT DE PAUL SOCIETY, 4.50%, 7/29/01 200,000 195,666
TOTAL HIGH SOCIAL IMPACT INVESTMENTS (+)(#) (COST $450,000) 435,891
EQUITY SECURITIES - 1.3% SHARES
FIRST REPUBLIC PREFERRED CAPITAL CORP., SERIES A, PREFERRED
500 465,000
HIGHWOODS PROPERTIES, INC., SERIES A, PREFERRED 600 409,314
NORTHERN BORDERS PARTNERS, LP (#) 3,500 94,938
TOTAL EQUITY SECURITIES (COST $1,179,122) 969,252
TOTAL INVESTMENTS (COST $71,944,279) 97.0% 70,556,969
OTHER ASSETS AND LIABILITIES, NET - 3.0% 2,201,637
NET ASSETS - 100% $72,758,606
UNDERLYING UNREALIZED
# OF EXPIRATION FACE AMOUNT APPRECIATION INITIAL
FUTURES CONTRACTS DATE AT VALUE (DEPRECIATION) MARGIN
PURCHASED:
10 YEAR U.S. TREASURY
16 6/00 $1,569,250 $21,638 $19,200
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
EQUITY SECURITIES - 94.9% SHARES VALUE
BANKS - MAJOR REGIONAL - 1.0%
SOUTHTRUST CORP. 100,000 $2,543,750
BANKS - MONEY CENTER - 1.0%
BANK OF AMERICA CORP. 50,343 2,639,861
COMMUNICATIONS EQUIPMENT - 2.9%
SCIENTIFIC-ATLANTA, INC. 120,000 7,612,500
COMPUTERS - HARDWARE - 5.4%
HEWLETT-PACKARD CO. 50,000 6,628,125
SUN MICROSYSTEMS, INC.* 80,000 7,496,250
14,124,375
COMPUTERS - NETWORKING - 4.1%
CISCO SYSTEMS, INC.* 140,000 10,823,750
COMPUTERS - SOFTWARE & SERVICES - 5.1%
ADOBE SYSTEMS, INC. 40,000 4,452,500
ORACLE CORP.* 115,000 8,977,212
13,429,712
ELECTRICAL EQUIPMENT - 4.2%
SOLECTRON CORP.* 120,000 4,807,500
SYMBOL TECHNOLOGIES, INC. 75,000 6,173,438
10,980,938
ELECTRONICS - COMPONENT DISTRIBUTION - 5.1%
GRAINGER (W.W.), INC. 100,000 5,425,000
INTEL CORP. 60,000 7,916,250
13,341,250
FINANCIAL - DIVERSIFIED - 1.4%
FEDERAL NATIONAL MORTGAGE ASSN. 85,000 3,755,937
FOOTWEAR - 0.0%
REEBOK INTERNATIONAL LTD.* 600 5,550
HEALTHCARE - DRUGS - 7.5%
MERCK & CO., INC. 90,000 5,591,250
MYLAN LABORATORIES, INC. 80,000 2,200,000
PFIZER, INC. 175,000 6,398,438
SCHERING-PLOUGH CORP. 150,000 5,512,500
19,702,188
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
HEALTHCARE - MEDICAL PRODUCTS & SUPPLIES - 5.1%
BIOMET, INC. 100,000 $3,637,500
DENTSPLY INTERNATIONAL, INC. 180,000 5,107,500
STRYKER CORP. 65,000 4,533,750
13,278,750
HOUSEHOLD PRODUCTS NON-DURABLES - 2.4%
COLGATE-PALMOLIVE CO. 110,000 6,201,250
HOUSEWARES - 0.9%
NEWELL RUBBERMAID, INC. 100,000 2,481,250
INSURANCE - MULTI-LINE - 1.8%
AMERICAN INTERNATIONAL GROUP, INC. 43,750 4,790,625
INSURANCE - PROPERTY & CASUALTY - 0.9%
PROGRESSIVE CORP-OHIO 30,000 2,281,875
INSURANCE - LIFE & HEALTH - 4.7%
AFLAC, INC. 130,000 5,923,125
PROTECTIVE LIFE CORP. 200,000 6,350,000
12,273,125
LEISURE TIME PRODUCTS - 2.6%
HARLEY-DAVIDSON, INC. 85,000 6,746,875
MACHINERY - DIVERSIFIED - 2.7%
DOVER CORP. 150,000 7,181,250
MANUFACTURING - DIVERSIFIED - 3.2%
TYCO INTERNATIONAL LTD. 170,000 8,478,750
MANUFACTURING - SPECIALIZED - 4.1%
CTS CORP. 100,000 5,700,000
DIEBOLD, INC. 100,000 2,750,000
ROPER INDUSTRIES, INC. 68,800 2,334,900
10,784,900
OFFICE EQUIPMENT & SUPPLIES - 0.7%
PITNEY BOWES, INC. 40,000 1,787,500
OIL & GAS - EXPLORATION & PRODUCTION - 3.6%
EOG RESOURCES, INC. 450,000 9,534,375
PERSONAL CARE - 1.4%
AVON PRODUCTS, INC. 130,000 3,778,125
PHOTOGRAPHY & IMAGING - 1.9%
ZEBRA TECHNOLOGIES CORP.(*) 100,000 5,000,000
RETAIL - BUILDING SUPPLIES - 2.7%
LOWE'S COMPANIES, INC. 120,000 7,005,000
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
RETAIL - DISCOUNTERS - 2.4%
FAMILY DOLLAR STORES, INC. 300,000 $6,243,750
RETAIL - GENERAL MERCHANDISE - 2.6%
TARGET CORP. 90,000 6,727,500
RETAIL - SPECIALTY - 1.6%
AUTOZONE, INC.(*) 150,000 4,162,500
RETAIL - SPECIALTY APPAREL - 2.7%
GAP, INC. 140,000 6,973,750
SERVICES - COMMERCIAL & CONSUMER - 1.4%
BLOCK H & R, INC. 80,000 3,580,000
SERVICES - COMPUTER SYSTEMS - 4.0%
CIBER, INC.(*) 204,000 4,182,000
ELECTRONIC DATA SYSTEMS CORP. 100,000 6,418,750
10,600,750
SERVICES - FACILITY - 1.9%
ABM INDUSTRIES, INC. 220,000 5,170,000
TELEPHONE - 1.9%
ALLTEL CORP. 80,000 5,045,000
TEXTILES - APPAREL - 0.0%
LIZ CLAIBORNE, INC. 500 22,906
TOTAL EQUITY SECURITIES (COST $174,913,517) 249,089,617
PRINCIPAL
CERTIFICATES OF DEPOSIT - 0.0% AMOUNT
SOUTH SHORE BANK, 6.30%, 2/08/01 (+) (^) $100,000 99,564
TOTAL CERTIFICATES OF DEPOSIT (COST $100,000) 99,564
VARIABLE RATE DEMAND NOTES - 1.5%
HEALTH MIDWEST VENTURES GROUP, 6.15%, 8/01/19 4,000,000 4,000,000
TOTAL VARIABLE RATE DEMAND NOTES (COST $4,000,000) 4,000,000
<PAGE>
PRINCIPAL
HIGH SOCIAL IMPACT INVESTMENTS - 0.5% AMOUNT VALUE
CHICAGO COMMUNITY LOAN FUND, 4.50%, 6/30/03 (+)(#) $150,000 $147,446
COMMUNITY LOAN FUND OF SW PENNSYLVANIA, 4.50%, 4/15/01 (+)(#)
100,000 99,309
DELAWARE VALLEY REINVESTMENT FUND, 4.50%, 7/15/03 (+)(#)
250,000 244,582
ENTERPRISE CORP. OF DELTA, 4.50%, 7/29/01 (+)(#) 300,000 293,499
MIDWEST MINNESOTA CDC, 4.50%, 9/30/01 (+)(#) 300,000 290,451
PRIMARY CARE DEVELOPMENT CORP., 4.50%, 2/17/01 (+)(#) 200,000 189,238
TOTAL HIGH SOCIAL IMPACT INVESTMENTS (COST $1,300,000) 1,264,525
TOTAL INVESTMENTS (COST $180,313,517) 96.9% 254,453,706
OTHER ASSETS AND LIABILITIES, NET - 3.1% 8,026,844
NET ASSETS - 100% $262,480,550
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
MANAGED INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
EQUITY SECURITIES - 98.4% SHARES VALUE
AIRLINES - 0.4%
UAL CORP.(*) 3,100 $185,612
AUTO PARTS & EQUIPMENT - 0.6%
GENUINE PARTS CO. 7,000 167,125
SNAP-ON, INC. 4,700 123,081
290,206
BANKS - MAJOR REGIONAL - 3.2%
BANK ONE CORP. 4,858 166,994
BB&T CORP. 1,500 42,094
COMERICA, INC. 500 20,938
FIFTH THIRD BANCORP 1,400 88,200
FIRSTAR CORP. 11,100 254,606
FLEET BOSTON FINANCIAL CORP. 5,500 200,750
KEYCORP 8,900 169,100
NATIONAL CITY CORP. 4,400 90,750
NORTHERN TRUST CORP. 700 47,294
STATE STREET CORP. 1,300 125,937
SUNTRUST BANKS, INC. 800 46,200
WELLS FARGO & CO. 9,500 388,906
1,641,769
BANKS - MONEY CENTER - 2.2%
BANK OF AMERICA CORP. 7,647 400,989
CHASE MANHATTAN CORP. 8,500 741,094
1,142,083
BIOTECHNOLOGY - 1.5%
AMGEN, INC.(*) 8,400 515,550
BIOGEN, INC.(*) 2,400 167,700
GENZYME CORP.(*) 1,600 80,200
GENZYME MOLECULAR ONCOLOGY(*) 1 8
763,458
BROADCAST - TELEVISION, RADIO, CABLE - 1.3%
ADELPHIA COMMUNICATIONS(*) 200 9,800
CABLEVISION SYSTEMS CORP.(*) 200 12,150
CLEAR CHANNEL COMMUNICATIONS(*) 1,400 96,688
COMCAST CORP. 10,900 472,787
MEDIAONE GROUP, INC.(*) 400 32,400
UNITED GLOBAL COMMUNICATIONS, INC.(*) 300 22,519
646,344
CHEMICALS - 0.4%
PRAXAIR, INC. 5,300 220,613
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
COMMUNICATIONS EQUIPMENT - 3.5%
CIENA CORP.(*) 600 $75,675
COMVERSE TECHNOLOGY, INC.(*) 500 94,500
LUCENT TECHNOLOGIES, INC. 14,400 874,800
QUALCOMM, INC.(*) 2,800 418,075
SCIENTIFIC-ATLANTA, INC. 2,800 177,625
TELLABS, INC.(*) 2,700 170,058
1,810,733
COMPUTERS - HARDWARE - 6.8%
APPLE COMPUTER, INC.(*) 2,200 298,788
COMPAQ COMPUTER CORP. 1,500 39,937
DELL COMPUTER CORP.(*) 9,600 517,800
GATEWAY, INC.(*) 700 37,100
HEWLETT-PACKARD CO. 4,200 556,762
INTERNATIONAL BUSINESS MACHINES CORP. 9,000 1,062,000
SUN MICROSYSTEMS, INC.(*) 10,200 955,772
3,468,159
COMPUTERS - NETWORKING - 4.8%
3COM CORP.(*) 1,300 72,313
CISCO SYSTEMS, INC.(*) 30,400 2,350,300
NETWORK APPLIANCE, INC.(*) 400 33,100
2,455,713
COMPUTERS - PERIPHERALS - 1.0%
EMC CORP.(*) 4,200 525,000
COMPUTERS - SOFTWARE & SERVICES - 9.0%
ADOBE SYSTEMS, INC. 2,800 311,675
AMERICA ONLINE, INC.(*) 10,400 699,400
BMC SOFTWARE, INC.(*) 1,200 59,250
CITRIX SYSTEMS, INC.(*) 400 26,500
COMPUTER ASSOCIATES INTERNATIONAL, INC. 1,600 94,700
COMPUWARE CORP.(*) 700 14,744
INFOSPACE.COM, INC.(*) 900 130,894
MICROSOFT CORP.(*) 16,800 1,785,000
NOVELL, INC.(*) 1,300 37,212
ORACLE CORP.(*) 13,100 1,022,619
VERITAS SOFTWARE CORP.(*) 1,650 216,150
YAHOO, INC.(*) 1,400 239,925
4,638,069
CONSUMER FINANCE - 1.2%
CAPITAL ONE FINANCIAL CORP. 1,900 91,081
COUNTRYWIDE CREDIT IND, INC. 500 13,625
HOUSEHOLD INTERNATIONAL, INC. 6,600 246,263
MBNA CORP. 5,200 132,600
THE PMI GROUP, INC. 1,600 75,900
PROVIDIAN FINANCIAL CORP. 700 60,637
620,106
CONSUMER JEWELERY, NOVELTIES AND GIFTS - 0.1%
LANCASTER COLONY CORP. 900 27,506
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
DISTRIBUTORS - FOOD & HEALTH - 0.7%
CARDINAL HEALTH, INC. 1,131 $51,884
SUPERVALU, INC. 16,100 304,894
356,778
ELECTRIC COMPANIES - 1.8%
OGE ENERGY CORP. 23,300 447,069
PUGET SOUND ENERGY, INC. 22,300 494,781
941,850
ELECTRICAL EQUIPMENT - 0.9%
AMERICAN POWER CONVERSION(*) 4,600 197,225
BROCADE COMMUNICATIONS SYSTEM(*) 200 35,863
SOLECTRON CORP.(*) 5,200 208,325
441,413
ELECTRONICS - SEMICONDUCTORS - 7.6%
ADAPTEC, INC.(*) 2,400 92,700
ALTERA CORP.(*) 1,600 142,800
INTEL CORP. 18,200 2,401,263
JDS UNIPHASE CORP.(*) 2,400 289,350
LINEAR TECHNOLOGY CORP. 2,000 110,000
LSI LOGIC CORP.(*) 3,000 217,875
MAXIM INTEGRATED PRODUCTS(*) 2,200 156,337
MICRON TECHNOLOGY, INC.(*) 1,300 163,800
XILINX, INC.(*) 3,700 306,406
3,880,531
ENTERTAINMENT - 2.1%
TIME WARNER, INC. 10,700 1,070,000
EQUIPMENT - SEMICONDUCTORS - 2.6%
APPLIED MATERIALS, INC.(*) 8,000 754,000
KLA-TENCOR CORP.(*) 2,000 168,500
NOVELLUS SYSTEMS, INC.(*) 4,500 252,563
TERADYNE, INC.(*) 2,100 172,725
1,347,788
FINANCIAL - DIVERSIFIED - 3.1%
AMB PROPERTY CORP. 3,200 68,800
AMBAC FINANCIAL GROUP, INC. 2,000 100,750
BOSTON PROPERTIES, INC. 800 25,450
EQUITY OFFICE PROPERTIES TRUST 10,700 268,838
EQUITY RESIDENTIAL PROPERTIES TRUST 700 28,131
FEDERAL HOME LOAN MORTGAGE CORP. 8,400 371,175
FEDERAL NATIONAL MORTGAGE ASSOCIATION 11,500 649,031
FINOVA GROUP, INC. 400 6,725
PROLOGIS TRUST 3,700 71,225
1,590,125
FOODS - 2.9%
BESTFOODS 3,800 177,888
GENERAL MILLS, INC. 7,800 282,262
HEINZ (H.J.) CO. 10,500 366,188
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
FOODS - CONT'D
KELLOGG CO. 4,500 $115,312
MCCORMICK & CO. 6,000 193,500
QUAKER OATS CO. 4,700 284,937
TOOTSIE ROLL INDUSTRY 1,751 55,157
1,475,244
HEALTHCARE - DIVERSIFIED - 1.4%
IVAX CORP.(*) 1,500 40,875
JOHNSON & JOHNSON 10,000 700,625
741,500
HEALTHCARE - DRUGS - 4.6%
FOREST LABORATORIES - CLASS A(*) 800 67,600
MERCK & CO., INC. 15,200 944,300
MYLAN LABORATORIES 700 19,250
PFIZER, INC. 25,300 925,031
SCHERING-PLOUGH CORP. 11,000 404,250
2,360,431
HEALTHCARE - MANAGED CARE - 0.4%
FOUNDATION HEALTH SYSTEMS(*) 1,200 9,600
PACIFICARE HEALTH SYSTEMS(*) 1,000 49,875
WELLPOINT HEALTH NETWORKS(*) 2,100 146,738
206,213
HEALTHCARE - MEDICAL PRODUCTS & SUPPLIES - 0.9%
BIOMET, INC. 3,000 109,125
DENTSPLY INTERNATIONAL, INC. 1,700 48,237
GUIDANT CORP.(*) 1,000 58,813
MEDTRONIC, INC. 3,200 164,600
SYBRON INTERNATIONAL CORP.(*) 2,800 81,200
VISX, INC.(*) 200 3,650
465,625
HOMEBUILDING - 0.2%
ROUSE CO. 4,600 97,175
HOUSEHOLD FURNITURE & APPLIANCES - 0.3%
LEGGETT & PLATT, INC. 6,500 139,750
MAYTAG CORP. 300 9,938
149,688
HOUSEHOLD PRODUCTS NON-DURABLES - 1.0%
COLGATE-PALMOLIVE CO. 9,200 518,650
INSURANCE - MULTI-LINE - 2.3%
AMERICAN INTERNATIONAL GROUP 8,883 972,688
CIGNA CORP. 2,900 219,675
1,192,363
INSURANCE - PROPERTY & CASUALTY - 0.3%
CINCINNATI FINANCIAL CORP. 1,000 37,625
FREMONT GENERAL CORP. 1,200 7,125
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
INSURANCE - PROPERTY & CASUALTY - CONT'D
MBIA, INC. 1,000 $52,063
MGIC INVESTMENT CORP. 1,500 65,437
162,250
INSURANCE - LIFE & HEALTH - 1.5%
AFLAC, INC. 3,400 154,912
AMERICAN GENERAL CORP. 5,800 325,525
JEFFERSON-PILOT CORP. 1,900 126,469
LINCOLN NATIONAL CORP. 4,300 144,050
750,956
INSURANCE BROKERS - 1.0%
AON CORP. 1,800 58,050
MARSH & MCLENNAN CO.'S 4,100 452,281
510,331
INVESTMENT BANKING/BROKERS - 1.5%
A.G. EDWARDS, INC. 3,600 144,000
CHARLES SCHWAB CORP. 5,300 301,106
E*TRADE GROUP, INC.(*) 500 15,063
GOLDMAN SACHS GROUP, INC. 3,100 325,887
786,056
INVESTMENT MANAGEMENT - 0.2%
FRANKLIN RESOURCES, INC. 2,400 80,250
LEISURE TIME PRODUCTS - 0.2%
HARLEY-DAVIDSON, INC. 1,500 119,062
MACHINERY - DIVERSIFIED - 0.3%
DOVER CORP. 1,700 81,387
TECUMSEH PRODUCTS CO. 2,100 92,400
173,787
MANUFACTURING - DIVERSIFIED - 1.4%
DANAHER CORP. 2,800 142,800
ILLINOIS TOOL WORKS 6,270 346,429
NATIONAL SERVICE INDUSTRIES, INC. 3,100 65,294
PARKER HANNIFIN CORP. 3,900 161,119
715,642
MANUFACTURING - SPECIALIZED - 0.5%
AVERY DENNISON CORP. 4,300 262,569
NATURAL GAS - 1.6%
COLUMBIA ENERGY GROUP 4,000 237,000
EL PASO ENERGY CORP. 4,000 161,500
KEYSPAN CORP. 4,600 127,075
KINDER MORGAN, INC. 4,200 144,900
MCN ENERGY GROUP, INC. 5,800 145,000
815,475
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
OFFICE EQUIPMENT & SUPPLIES - 0.1%
PITNEY BOWES, INC. 700 $31,281
OIL & GAS - DRILLING & EQUIPMENT - 1.0%
COOPER CAMERON CORP.(*) 3,500 234,063
SMITH INTERNATIONAL, INC.(*) 3,900 302,250
536,313
OIL & GAS - EXPLORATION & PRODUCTION - 1.7%
ANADARKO PETROLEUM CORP. 7,500 290,156
EOG RESOURCES, INC. 11,600 245,775
UNION PACIFIC RESOURCES GROUP 22,700 329,150
865,081
PERSONAL CARE - 0.8%
ALBERTO-CULVER CO. 700 16,669
ESTEE LAUDER CO.'S, INC. 1,600 80,100
GILLETTE COMPANY 8,300 312,806
409,575
PUBLISHING - 0.3%
MCGRAW-HILL COMPANIES, INC. 3,300 150,150
PUBLISHING - NEWSPAPERS - 0.6%
CENTRAL NEWSPAPERS, INC. 800 26,900
NEW YORK TIMES CO. 4,500 193,219
TIMES MIRROR CO. 1,100 102,231
322,350
RAILROADS - 0.6%
KANSAS CITY SOUTHERN INDUSTRIES 2,400 206,250
NORFOLK SOUTHERN CORP. 5,500 79,063
285,313
RESTAURANTS - 0.4%
DARDEN RESTAURANTS, INC. 12,500 222,656
RETAIL - BUILDING SUPPLIES - 1.8%
HOME DEPOT, INC. 12,300 793,350
LOWE'S CO.'S 2,300 134,263
927,613
RETAIL - COMPUTERS & ELECTRONICS - 0.0%
BEST BUY CO., INC.(*) 100 8,600
RETAIL - DEPARTMENT STORES - 1.0%
FEDERATED DEPARTMENT STORES(*) 4,000 167,000
MAY DEPARTMENT STORES CO. 12,150 346,275
513,275
RETAIL - DISCOUNTERS - 0.4%
CVS CORP. 800 30,050
ROSS STORES, INC. 1,900 45,719
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
RETAIL - DISCOUNTERS - CONT'D
WALGREEN CO. 5,100 $131,325
207,094
RETAIL - FOOD CHAINS - 0.1%
SAFEWAY, INC.(*) 1,300 58,825
RETAIL - GENERAL MERCHANDISE - 1.1%
BJ'S WHOLESALE CLUB, INC.(*) 1,000 38,625
COSTCO WHOLESALE CORP.(*) 4,200 220,763
TARGET CORP. 3,800 284,050
543,438
RETAIL - HOME SHOPPING - 0.1%
AMAZON.COM, INC.(*) 400 26,800
RETAIL - SPECIALTY - 0.1%
TIFFANY & CO. 900 75,262
RETAIL - SPECIALTY APPAREL - 0.4%
GAP, INC. 3,725 185,552
SERVICES - EMPLOYMENT - 0.2%
MANPOWER, INC. 3,000 106,500
SERVICES - ADVERTISING & MARKETING - 0.7%
CATALINA MARKETING CORP.(*) 200 20,250
CMGI, INC.(*) 1,200 135,975
DOUBLECLICK, INC.(*) 400 37,450
OMNICOM GROUP 1,900 177,531
371,206
SERVICES - COMMERCIAL & CONSUMER - 0.5%
DUN & BRADSTREET CORP. 2,000 57,250
H&R BLOCK, INC. 2,200 98,450
VIAD CORP. 3,600 82,350
238,050
SERVICES - COMPUTER SYSTEMS - 0.7%
COMDISCO, INC. 1,900 83,838
ELECTRONIC DATA SYSTEMS 4,300 276,006
359,844
SERVICES - DATA PROCESS - 1.1%
AUTOMATIC DATA PROCESSING 1,700 82,025
FIRST DATA CORP. 4,600 203,550
FISERV, INC.(*) 600 22,312
PAYCHEX, INC. 5,400 282,825
590,712
SPECIALTY PRINTING - 0.3%
R.R. DONNELLEY & SONS CO. 6,600 138,187
VALASSIS COMMUNICATIONS, INC.(*) 1,200 39,975
178,162
<PAGE>
EQUITY SECURITIES - CONT'D SHARES VALUE
TELECOMMUNICATIONS - CELLULAR & WIRELESS - 0.8%
NEXTEL COMMUNICATIONS, INC.(*) 2,700 $400,275
TELECOMMUNICATIONS - LONG DISTANCE - 1.8%
LEVEL 3 COMMUNICATIONS, INC.(*) 500 52,875
MCI WORLDCOM, INC.(*) 16,950 768,047
NTL, INC.(*) 1,250 116,016
936,938
TELEPHONE - 3.7%
BELLSOUTH CORP. 14,700 690,900
SBC COMMUNICATIONS, INC. 20,738 870,996
US WEST, INC. 4,600 334,075
1,895,971
TEXTILES - APPAREL - 0.3%
JONES APPAREL GROUP, INC.(*) 2,800 89,250
LIZ CLAIBORNE, INC. 1,200 54,975
144,225
TRUCKS & PARTS - 0.4%
CUMMINS ENGINE 700 26,294
PACCAR, INC. 3,200 160,000
186,294
WATER UTILITIES - 0.1%
AMERICAN WATER WORKS, INC. 2,700 64,125
TOTAL INVESTMENTS (COST $38,816,102) - 98.4% 50,488,603
OTHER ASSETS AND LIABILITIES, NET - 1.6% 814,854
NET ASSETS - 100% $51,303,457
(+) THIS SECURITY WAS VALUED BY THE BOARD OF TRUSTEES. SEE NOTE A.
() COLSON SERVICES CORPORATION IS THE COLLECTION, AND TRANSFER AGENT FOR CERTAIN
OF THE FUND'S U.S. GOVERNMENT GUARANTEED VARIABLE RATE LOANS. EACH DEPOSITORY
RECEIPT PERTAINS TO A SET, GROUPED BY INTEREST RATE, OF THESE LOANS.
(*) NON-INCOME PRODUCING.
( ) REPRESENTS RATES IN EFFECT AT MARCH 31, 2000, AFTER REGULARLY SCHEDULED
ADJUSTMENTS ON SUCH DATE. INTEREST RATES ADJUST MONTHLY AND OR QUARTERLY,
GENERALLY AT THE BEGINNING OF THE MONTH OR CALENDAR QUARTER, OR SEMIANNUALLY
BASED ON PRIME PLUS CONTRACTED ADJUSTMENTS. AS OF MARCH 31, 2000, THE PRIME RATE
WAS 9.00%.
(#) RESTRICTED SECURITIES REPRESENTS, 3.1% OF NET ASSETS FOR BALANCED, 0.7% FOR
BOND, AND 0.5% FOR EQUITY.
(^) THESE CERTIFICATES OF DEPOSIT ARE FULLY INSURED BY AGENCIES OF THE FEDERAL
GOVERNMENT.
(A) SEE NOTE B.
(B) THIS SECURITY IS IN DEFAULT.
EXPLANATION OF GUARANTEES: ABBREVIATIONS:
BPA: BOND PURCHASE AGREEMENT AMBAC: AMERICAN MUNICIPAL BOND ASSURANCE
CORP.
GA: GUARANTEE AGREEMENT COPS: CERTIFICATES OF PARTICIPATION
INSUR: INSURANCE FGIC: FINANCIAL GUARANTY INSURANCE COMPANY
LOC: LETTER OF CREDIT MFH: MULTI-FAMILY HOUSING
TOA: TENDER OPTION AGREEMENT VRDN: VARIABLE RATE DEMAND NOTES
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2000
MONEY
MARKET BALANCED BOND
ASSETS PORTFOLIO PORTFOLIO PORTFOLIO
INVESTMENTS IN SECURITIES, AT VALUE -
SEE ACCOMPANYING PORTFOLIOS $207,066,174 $784,056,524 $70,556,969
CASH 254,694 32,000 291,781
RECEIVABLE FOR SECURITIES SOLD - 9,734,245 7,942,388
RECEIVABLE FOR SHARES SOLD 2,661,010 322,106 1,052,121
INTEREST & DIVIDENDS RECEIVABLE 1,836,058 5,608,688 1,076,776
OTHER ASSETS 13,959 471,212 19,200
TOTAL ASSETS 211,831,895 800,224,775 80,939,235
LIABILITIES
PAYABLE TO BANK - 254,507 -
PAYABLE FOR SECURITIES PURCHASED - 12,415,979 8,035,988
PAYABLE FOR SHARES REDEEMED 1,174,078 634,125 31,370
PAYABLE TO CALVERT ASSET MANAGEMENT, INC.
103,033 430,736 51,708
PAYABLE TO CALVERT ADMINISTRATIVE SERVICES CO.
35,371 181,319 18,483
PAYABLE TO CALVERT SHAREHOLDERS SERVICES, INC.
19,034 20,075 2,929
PAYABLE TO CALVERT DISTRIBUTORS, INC. - 170,400 15,245
ACCRUED EXPENSES AND OTHER LIABILITIES
104,153 221,493 24,906
TOTAL LIABILITIES 1,435,669 14,328,634 8,180,629
NET ASSETS 210,396,226 785,896,141 72,758,606
NET ASSETS CONSIST OF:
PAID-IN CAPITAL APPLICABLE TO THE FOLLOWING SHARES OF BENEFICIAL
INTEREST, UNLIMITED NUMBER OF NO PAR VALUE SHARES AUTHORIZED:
MONEY MARKET PORTFOLIO:
210,487,132 SHARES OUTSTANDING $210,443,799
BALANCED PORTFOLIO:
CLASS A: 22,573,065 SHARES OUTSTANDING $610,632,238
CLASS B: 382,668 SHARES OUTSTANDING 12,659,799
CLASS C: 457,174 SHARES OUTSTANDING 14,174,879
CLASS I: 457,643 SHARES OUTSTANDING 15,498,048
BOND PORTFOLIO:
CLASS A: 4,317,132 SHARES OUTSTANDING $69,967,414
CLASS B: 190,760 SHARES OUTSTANDING 3,086,274
CLASS C: 111,535 SHARES OUTSTANDING 1,812,038
CLASS I: 64,267 SHARES OUTSTANDING 1,000,000
UNDISTRIBUTED NET INVESTMENT INCOME 7,675 1,460,631 5,154
ACCUMULATED NET REALIZED GAIN (LOSS) ON INVESTMENTS
(55,248) 32,407,487 (1,746,601)
NET UNREALIZED APPRECIATION (DEPRECIATION)
ON INVESTMENTS AND ASSETS AND LIABILITIES
IN FOREIGN CURRENCIES - 99,063,059 (1,365,673)
NET ASSETS $210,396,226 $785,896,141 $72,758,606
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
NET ASSET VALUE PER SHARE
MONEY MARKET PORTFOLIO $1.00
BALANCED PORTFOLIO:
CLASS A: (BASED ON NET ASSETS OF $743,455,302) $32.94
CLASS B: (BASED ON NET ASSETS OF $12,529,397) $32.74
CLASS C: (BASED ON NET ASSETS OF $14,839,608) $32.46
CLASS I: (BASED ON NET ASSETS OF $15,071,834) $32.93
BOND PORTFOLIO:
CLASS A: (BASED ON NET ASSETS OF $67,076,729) $15.54
CLASS B: (BASED ON NET ASSETS OF $2,956,106) $15.50
CLASS C: (BASED ON NET ASSETS OF $1,725,794) $15.47
CLASS I: (BASED ON NET ASSETS OF $999,977) $15.56
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2000
MANAGED
EQUITY INDEX
ASSETS PORTFOLIO PORTFOLIO
INVESTMENTS IN SECURITIES, AT VALUE - SEE ACCOMPANYING PORTFOLIOS
$254,453,706 $50,488,603
CASH 7,782,546 905,728
RECEIVABLE FOR SECURITIES SOLD 3,613,341 52,529
RECEIVABLE FOR SHARES SOLD 402,051 93,253
INTEREST & DIVIDENDS RECEIVABLE 165,803 34,153
OTHER ASSETS 32,511 27,309
TOTAL ASSETS 266,449,958 51,601,575
LIABILITIES
PAYABLE FOR SECURITIES PURCHASED 3,496,711 213,963
PAYABLE FOR SHARES REDEEMED 134,162 13,700
PAYABLE TO CALVERT ASSET MANAGEMENT, INC. 160,633 37,464
PAYABLE TO CALVERT ADMINISTRATIVE SERVICES COMPANY 43,021 3,459
PAYABLE TO CALVERT SHAREHOLDERS SERVICES, INC. 13,339 1,461
PAYABLE TO CALVERT DISTRIBUTORS, INC. 66,912 13,461
ACCRUED EXPENSES AND OTHER LIABILITIES 54,630 14,610
TOTAL LIABILITIES 3,969,408 298,118
NET ASSETS $262,480,550 $51,303,457
NET ASSETS CONSIST OF:
PAID-IN CAPITAL APPLICABLE TO THE FOLLOWING SHARES OF BENEFICIAL
INTEREST, UNLIMITED NUMBER OF NO PAR VALUE SHARES AUTHORIZED:
EQUITY PORTFOLIO
CLASS A: 6,883,039 SHARES OUTSTANDING $145,809,044
CLASS B: 450,497 SHARES OUTSTANDING 12,220,911
CLASS C: 542,457 SHARES OUTSTANDING 12,728,801
CLASS I: 85,235 SHARES OUTSTANDING 2,440,450
MANAGED INDEX PORTFOLIO
CLASS A: 937,750 SHARES OUTSTANDING $15,336,091
CLASS B: 286,336 SHARES OUTSTANDING 4,632,989
CLASS C: 205,489 SHARES OUTSTANDING 3,467,761
CLASS I: 1,109,528 SHARES OUTSTANDING 16,670,039
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) (336,390) (26,214)
ACCUMULATED NET REALIZED GAIN (LOSS) ON INVESTMENTS
15,477,545 (449,710)
NET UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS
74,140,189 11,672,501
NET ASSETS $262,480,550 $51,303,457
NET ASSET VALUE PER SHARE
EQUITY PORTFOLIO:
CLASS A (BASED ON NET ASSETS OF $228,545,948) $33.20
CLASS B (BASED ON NET ASSETS OF $14,619,820) $32.45
CLASS C (BASED ON NET ASSETS OF $16,480,509) $30.38
CLASS I (BASED ON NET ASSETS OF $2,834,273) $33.25
MANAGED INDEX PORTFOLIO:
CLASS A (BASED ON NET ASSETS OF $18,979,542) $20.24
CLASS B (BASED ON NET ASSETS OF $5,681,605) $19.84
CLASS C (BASED ON NET ASSETS OF $4,089,857) $19.90
CLASS I (BASED ON NET ASSETS OF $22,552,453) $20.33
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2000
MONEY
MARKET BALANCED BOND
NET INVESTMENT INCOME PORTFOLIO PORTFOLIO PORTFOLIO
INVESTMENT INCOME:
INTEREST INCOME $6,114,558 $11,837,450 $2,651,531
DIVIDEND INCOME - 1,788,851 56,535
TOTAL INVESTMENT INCOME 6,114,558 13,626,301 2,708,066
EXPENSES:
INVESTMENT ADVISORY FEE 312,564 1,595,148 124,653
TRANSFER AGENCY FEES AND EXPENSES 228,872 557,222 95,814
ADMINISTRATIVE FEES 208,376 1,067,271 79,453
DISTRIBUTION PLAN EXPENSES:
CLASS A - 870,901 66,538
CLASS B - 56,606 14,509
CLASS C - 70,686 8,924
TRUSTEES' FEES AND EXPENSES 28,444 53,897 10,046
CUSTODIAN FEES 17,070 63,906 12,565
REGISTRATION FEES 12,486 31,044 13,558
REPORTS TO SHAREHOLDERS 47,393 113,341 12,404
PROFESSIONAL FEES 12,006 39,613 5,554
MISCELLANEOUS 14,898 108,324 3,583
TOTAL EXPENSES 882,109 4,627,959 447,601
REIMBURSEMENT FROM ADVISOR:
CLASS I - - (355)
FEES PAID INDIRECTLY (17,164) (61,460) (12,565)
NET EXPENSES 864,945 4,566,499 434,681
NET INVESTMENT INCOME 5,249,613 9,059,802 2,273,385
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
NET REALIZED GAIN (LOSS) ON:
INVESTMENTS (7,155) 35,482,278 (288,118)
FOREIGN CURRENCY TRANSACTIONS - (16,514) -
FUTURES - - (37,868)
(7,155) 35,465,764 (325,986)
CHANGE IN UNREALIZED APPRECIATION OR (DEPRECIATION):
SECURITIES - 30,817,378 151,865
ASSETS AND LIABILITIES DENOMINATED
IN FOREIGN CURRENCIES - (2,097) -
- 30,815,281 151,865
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (7,155) 66,281,045 (174,121)
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $5,242,458 $75,340,847 $2,099,264
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2000
EQUITY MANAGED INDEX
NET INVESTMENT INCOME PORTFOLIO PORTFOLIO
INVESTMENT INCOME:
INTEREST INCOME $188,656 -
DIVIDEND INCOME 858,127 245,939
TOTAL INVESTMENT INCOME 1,046,783 245,939
EXPENSES:
INVESTMENT ADVISORY FEE 552,085 132,396
TRANSFER AGENCY FEES AND EXPENSES 280,864 35,111
ADMINISTRATIVE FEES 226,083 27,973
DISTRIBUTION PLAN EXPENSES:
CLASS A 224,232 19,458
CLASS B 53,934 23,692
CLASS C 64,978 16,610
TRUSTEES' FEES AND EXPENSES 29,402 7,093
CUSTODIAN FEES 11,257 18,050
REGISTRATION FEES 27,848 16,051
REPORTS TO SHAREHOLDERS 39,110 3,128
PROFESSIONAL FEES 12,758 4,250
MISCELLANEOUS 10,654 1,884
TOTAL EXPENSES 1,533,205 305,696
REIMBURSEMENT FROM ADVISOR:
CLASS A - (14,225)
CLASS I (3,208) (9,488)
FEES PAID INDIRECTLY (146,824) (14,534)
NET EXPENSES 1,383,173 267,449
NET INVESTMENT INCOME (LOSS) (336,390) (21,510)
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
NET REALIZED GAIN (LOSS) 18,571,152 83,877
CHANGE IN UNREALIZED APPRECIATION OR (DEPRECIATION)
41,296,145 8,149,527
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS 59,867,297 8,233,404
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $59,530,907 $8,211,894
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30,
INCREASE (DECREASE) IN NET ASSETS 2000 1999
OPERATIONS:
NET INVESTMENT INCOME $5,249,613 $8,325,906
NET REALIZED GAIN (LOSS) (7,155) (40,476)
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 5,242,458 8,285,430
DISTRIBUTIONS TO SHAREHOLDERS FROM
NET INVESTMENT INCOME (5,242,974) (8,337,453)
CAPITAL SHARE TRANSACTIONS:
SHARES SOLD 169,703,289 210,031,383
REINVESTMENT OF DISTRIBUTIONS 4,526,914 7,715,268
SHARES REDEEMED (157,774,195) (196,454,418)
TOTAL CAPITAL SHARE TRANSACTIONS 16,456,008 21,292,233
TOTAL INCREASE (DECREASE) IN NET ASSETS 16,455,492 21,240,210
NET ASSETS
BEGINNING OF PERIOD 193,940,734 172,700,524
END OF PERIOD (INCLUDING UNDISTRIBUTED NET INVESTMENT
INCOME OF $7,675 AND $1,036, RESPECTIVELY) $210,396,226 $193,940,734
CAPITAL SHARE ACTIVITY
SHARES SOLD 169,703,289 210,031,383
REINVESTMENT OF DISTRIBUTIONS 4,526,914 7,715,268
SHARES REDEEMED (157,774,195) (196,454,418)
TOTAL CAPITAL SHARE ACTIVITY 16,456,008 21,292,233
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
BALANCED PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30,
INCREASE (DECREASE) IN NET ASSETS 2000 1999
OPERATIONS:
NET INVESTMENT INCOME $9,059,802 $15,298,571
NET REALIZED GAIN (LOSS) 35,465,764 45,309,467
CHANGE IN NET UNREALIZED APPRECIATION OR (DEPRECIATION)
30,815,281 18,694,553
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 75,340,847 79,302,591
DISTRIBUTIONS TO SHAREHOLDERS FROM
NET INVESTMENT INCOME:
CLASS A SHARES (8,629,270) (14,415,933)
CLASS B SHARES (81,079) (73,369)
CLASS C SHARES (99,132) (132,117)
CLASS I SHARES (201,577) (172,938)
NET REALIZED GAIN:
CLASS A SHARES (44,500,009) (69,564,483)
CLASS B SHARES (707,628) (412,084)
CLASS C SHARES (867,033) (1,218,576)
CLASS I SHARES (856,443) -
TOTAL DISTRIBUTIONS (55,942,171) (85,989,500)
CAPITAL SHARE TRANSACTIONS:
SHARES SOLD:
CLASS A SHARES 25,539,746 91,353,892
CLASS B SHARES 2,846,279 7,831,875
CLASS C SHARES 1,783,443 3,839,839
CLASS I SHARES 793,064 14,958,479
REINVESTMENT OF DISTRIBUTIONS:
CLASS A SHARES 49,440,257 77,715,083
CLASS B SHARES 674,526 442,318
CLASS C SHARES 922,345 1,313,120
CLASS I SHARES 1,058,126 172,938
SHARES REDEEMED:
CLASS A SHARES (58,586,162) (128,868,511)
CLASS B SHARES (1,158,171) (637,645)
CLASS C SHARES (1,872,742) (2,823,028)
CLASS I SHARES (612,683) (871,876)
TOTAL CAPITAL SHARE TRANSACTIONS 20,828,028 64,426,484
TOTAL INCREASE (DECREASE) IN NET ASSETS 40,226,704 57,739,575
NET ASSETS
BEGINNING OF PERIOD 745,669,437 687,929,862
END OF PERIOD (INCLUDING UNDISTRIBUTED NET INVESTMENT
INCOME OF $1,460,631 AND $1,411,887, RESPECTIVELY)
$785,896,141 $745,669,437
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
BALANCED PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
BALANCED PORTFOLIO (CONT'D)
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30,
CAPITAL SHARE ACTIVITY 2000 1999
SHARES SOLD:
CLASS A SHARES 789,410 2,754,181
CLASS B SHARES 87,520 237,115
CLASS C SHARES 55,944 117,332
CLASS I SHARES 24,735 439,482
REINVESTMENT OF DISTRIBUTIONS:
CLASS A SHARES 1,550,802 2,401,960
CLASS B SHARES 21,295 13,727
CLASS C SHARES 29,372 41,161
CLASS I SHARES 33,183 5,340
SHARES REDEEMED:
CLASS A SHARES (1,815,703) (3,875,939)
CLASS B SHARES (36,135) (19,294)
CLASS C SHARES (58,615) (86,273)
CLASS I SHARES (19,121) (25,976)
TOTAL CAPITAL SHARE ACTIVITY 662,687 2,002,816
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30,
INCREASE (DECREASE) IN NET ASSETS 2000 1999
OPERATIONS:
NET INVESTMENT INCOME $2,273,385 $4,000,958
NET REALIZED GAIN (LOSS) (325,986) (1,206,656)
CHANGE IN NET UNREALIZED APPRECIATION OR (DEPRECIATION)
151,865 (2,006,821)
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 2,099,264 787,481
DISTRIBUTIONS TO SHAREHOLDERS FROM
NET INVESTMENT INCOME:
CLASS A SHARES (2,168,347) (3,857,771)
CLASS B SHARES (77,710) (82,794)
CLASS C SHARES (47,537) (56,844)
NET REALIZED GAIN:
CLASS A SHARES (31,269) (2,196,195)
CLASS B SHARES (1,372) (46,303)
CLASS C SHARES (907) (21,407)
TOTAL DISTRIBUTIONS (2,327,142) (6,261,314)
CAPITAL SHARE TRANSACTIONS:
SHARES SOLD:
CLASS A SHARES 5,773,224 18,457,885
CLASS B SHARES 636,935 2,587,501
CLASS C SHARES 432,921 1,707,478
CLASS I SHARES 1,000,000 --
REINVESTMENT OF DISTRIBUTIONS:
CLASS A SHARES 1,777,547 4,916,147
CLASS B SHARES 63,911 106,520
CLASS C SHARES 45,070 73,545
SHARES REDEEMED:
CLASS A SHARES (7,205,304) (16,966,539)
CLASS B SHARES (509,958) (353,418)
CLASS C SHARES (523,953) (321,828)
TOTAL CAPITAL SHARE TRANSACTIONS 1,490,393 10,207,291
TOTAL INCREASE (DECREASE) IN NET ASSETS 1,262,515 4,733,458
NET ASSETS
BEGINNING OF PERIOD 71,496,091 66,762,633
END OF PERIOD (INCLUDING UNDISTRIBUTED NET INVESTMENT
INCOME OF $5,154 AND $ 25,363, RESPECTIVELY) $72,758,606 $71,496,091
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
BOND PORTFOLIO (CONT'D)
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30,
CAPITAL SHARE ACTIVITY 2000 1999
SHARES SOLD:
CLASS A SHARES 373,177 1,150,952
CLASS B SHARES 41,278 160,849
CLASS C SHARES 28,046 106,537
CLASS I SHARES 64,267 -
REINVESTMENT OF DISTRIBUTIONS:
CLASS A SHARES 115,193 307,125
CLASS B SHARES 4,154 6,698
CLASS C SHARES 2,932 4,630
SHARES REDEEMED:
CLASS A SHARES (466,486) (1,060,295)
CLASS B SHARES (33,168) (22,132)
CLASS C SHARES (34,142) (20,165)
TOTAL CAPITAL SHARE ACTIVITY 95,251 634,199
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30,
INCREASE (DECREASE) IN NET ASSETS 2000 1999
OPERATIONS:
NET INVESTMENT INCOME (LOSS) ($336,390) ($618,147)
NET REALIZED GAIN (LOSS) 18,571,152 13,652,242
CHANGE IN NET UNREALIZED APPRECIATION OR (DEPRECIATION)
41,296,145 30,148,335
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 59,530,907 43,182,430
DISTRIBUTIONS TO SHAREHOLDERS FROM
NET REALIZED GAIN:
CLASS A SHARES (11,666,015) (83,481)
CLASS B SHARES (628,710) (1,579)
CLASS C SHARES (832,634) (4,329)
CLASS I SHARES (146,750) -
TOTAL DISTRIBUTIONS (13,274,109) (89,389)
CAPITAL SHARE TRANSACTIONS:
SHARES SOLD:
CLASS A SHARES 31,489,405 31,878,104
CLASS B SHARES 4,494,436 6,514,656
CLASS C SHARES 4,142,601 4,358,040
CLASS I SHARES 2,293,700
REINVESTMENT OF DISTRIBUTIONS:
CLASS A SHARES 10,635,181 81,223
CLASS B SHARES 502,661 1,161
CLASS C SHARES 751,124 4,064
CLASS I SHARES 146,750 -
SHARES REDEEMED:
CLASS A SHARES (21,195,546) (34,955,133)
CLASS B SHARES (709,027) (512,194)
CLASS C SHARES (1,494,528) (1,630,469)
CLASS I SHARES - -
TOTAL CAPITAL SHARE TRANSACTIONS 31,056,757 5,739,452
TOTAL INCREASE (DECREASE) IN NET ASSETS 77,313,555 48,832,493
NET ASSETS
BEGINNING OF PERIOD 185,166,995 136,334,502
END OF PERIOD (INCLUDING UNDISTRIBUTED NET INVESTMENT INCOME
(LOSS) OF ($336,390) AND $0, RESPECTIVELY) $262,480,550 $185,166,995
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
EQUITY PORTFOLIO (CONT'D)
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30,
CAPITAL SHARE ACTIVITY 2000 1999
SHARES SOLD:
CLASS A SHARES 1,066,443 1,170,174
CLASS B SHARES 155,114 238,209
CLASS C SHARES 152,089 169,101
CLASS I SHARES 80,143 -
REINVESTMENT OF DISTRIBUTIONS:
CLASS A SHARES 369,149 3,247
CLASS B SHARES 17,806 47
CLASS C SHARES 28,430 174
CLASS I SHARES 5,092 -
SHARES REDEEMED:
CLASS A SHARES (712,629) (1,333,181)
CLASS B SHARES (24,580) (18,546)
CLASS C SHARES (54,614) (67,591)
CLASS I SHARES - -
TOTAL CAPITAL SHARE ACTIVITY 1,082,443 161,634
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
MANAGED INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30,
INCREASE (DECREASE) IN NET ASSETS 2000 1999
OPERATIONS:
NET INVESTMENT INCOME (LOSS) ($21,510) $85,019
NET REALIZED GAIN (LOSS) 83,877 (429,247)
CHANGE IN NET UNREALIZED APPRECIATION OR (DEPRECIATION)
8,149,527 5,589,849
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 8,211,894 5,245,621
DISTRIBUTIONS TO SHAREHOLDERS FROM
NET INVESTMENT INCOME:
CLASS A SHARES (11,951) (20,045)
CLASS I SHARES (50,070) (49,962)
TOTAL DISTRIBUTIONS (62,021) (70,007)
CAPITAL SHARE TRANSACTIONS:
SHARES SOLD:
CLASS A SHARES 4,898,167 8,471,192
CLASS B SHARES 1,240,988 3,161,704
CLASS C SHARES 1,202,562 2,218,849
CLASS I SHARES 56,056 36,679
REINVESTMENT OF DISTRIBUTIONS:
CLASS A SHARES 11,418 18,852
CLASS I SHARES 50,069 49,962
SHARES REDEEMED:
CLASS A SHARES (1,072,612) (1,802,845)
CLASS B SHARES (504,111) (325,223)
CLASS C SHARES (160,766) (219,616)
CLASS I SHARES (7,979) (14,552)
TOTAL CAPITAL SHARE TRANSACTIONS 5,713,792 11,595,002
TOTAL INCREASE (DECREASE) IN NET ASSETS 13,863,665 16,770,616
NET ASSETS
BEGINNING OF PERIOD 37,439,792 20,669,176
END OF PERIOD (INCLUDING UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS) OF ($26,214) AND $57,317, RESPECTIVELY)
51,303,457 $37,439,792
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
MANAGED INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
MANAGED INDEX PORTFOLIO (CONT'D)
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30,
CAPITAL SHARE ACTIVITY 2000 1999
SHARES SOLD:
CLASS A SHARES 265,862 510,134
CLASS B SHARES 68,664 192,698
CLASS C SHARES 66,687 131,088
CLASS I SHARES 2,967 2,095
REINVESTMENT OF DISTRIBUTIONS:
CLASS A SHARES 608 1,166
CLASS I SHARES 2,659 3,084
SHARES REDEEMED:
CLASS A SHARES (57,111) (107,827)
CLASS B SHARES (28,222) (19,076)
CLASS C SHARES (8,796) (12,853)
CLASS I SHARES (428) (856)
TOTAL CAPITAL SHARE ACTIVITY 312,890 699,653
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
NOTES TO FINANCIAL STATEMENTS
NOTE A - SIGNIFICANT ACCOUNTING POLICIES
GENERAL: THE CALVERT SOCIAL INVESTMENT FUND (THE "FUND") IS REGISTERED UNDER THE
INVESTMENT COMPANY ACT OF 1940 AS AN OPEN-END MANAGEMENT INVESTMENT COMPANY. THE
FUND OPERATES AS A SERIES FUND WITH FIVE SEPARATE PORTFOLIOS: MONEY MARKET,
BALANCED, BOND, EQUITY AND MANAGED INDEX. MONEY MARKET, BALANCED, EQUITY AND
MANAGED INDEX ARE REGISTERED AS DIVERSIFIED PORTFOLIOS AND BOND AS A
NON-DIVERSIFIED PORTFOLIO. MONEY MARKET SHARES ARE SOLD WITHOUT SALES CHARGE.
BALANCED, BOND, EQUITY AND MANAGED INDEX HAVE CLASS A, CLASS B, CLASS C AND
CLASS I SHARES. CLASS A SHARES ARE SOLD WITH A MAXIMUM FRONT-END SALES CHARGE OF
4.75% (3.75% FOR BOND). CLASS B SHARES ARE SOLD WITHOUT A FRONT-END SALES
CHARGE. WITH CERTAIN EXCEPTIONS, THE FUND WILL IMPOSE A DEFERRED SALES CHARGE AT
THE TIME OF REDEMPTION, DEPENDING ON HOW LONG YOU HAVE OWNED THE SHARES. CLASS C
SHARES ARE SOLD WITHOUT A FRONT-END SALES CHARGE. WITH CERTAIN EXCEPTIONS, THE
FUND WILL IMPOSE A DEFERRED SALES CHARGE ON SHARES SOLD WITHIN ONE YEAR OF
PURCHASE. CLASS B AND CLASS C SHARES HAVE HIGHER LEVEL OF EXPENSES THAN CLASS A
SHARES. EFFECTIVE NOVEMBER 1, 1999 AND MARCH 31, 2000, EQUITY AND BOND
PORTFOLIOS, RESPECTIVELY BEGAN TO OFFER CLASS I SHARES. CLASS I SHARES REQUIRE A
MINIMUM ACCOUNT BALANCE OF $1,000,000. CLASS I SHARES HAVE NO FRONT-END OR
DEFERRED SALES CHARGE. EACH CLASS HAS DIFFERENT: (A) DIVIDEND RATES, DUE TO
DISTRIBUTION PLAN EXPENSES AND OTHER CLASS-SPECIFIC EXPENSES, (B) EXCHANGE
PRIVILEGES AND (C) CLASS-SPECIFIC VOTING RIGHTS.
SECURITY VALUATION: SECURITIES LISTED OR TRADED ON A NATIONAL SECURITIES
EXCHANGE ARE VALUED AT THE LAST REPORTED SALE PRICE. UNLISTED SECURITIES AND
LISTED SECURITIES FOR WHICH THE LAST SALE PRICE IS NOT AVAILABLE ARE VALUED AT
THE MOST RECENT BID PRICE OR BASED ON A YIELD EQUIVALENT OBTAINED FROM THE
SECURITIES' MARKET MAKER. MUNICIPAL SECURITIES ARE VALUED UTILIZING THE AVERAGE
OF BID PRICES OR AT BID PRICES BASED ON A MATRIX SYSTEM (WHICH CONSIDERS SUCH
FACTORS AS SECURITY PRICES, YIELDS, MATURITIES AND RATINGS) FURNISHED BY DEALERS
THROUGH AN INDEPENDENT PRICING SERVICE. FOREIGN SECURITY PRICES, FURNISHED BY
QUOTATION SERVICES IN THE SECURITY'S LOCAL CURRENCY, ARE TRANSLATED USING THE
CURRENT U.S. DOLLAR EXCHANGE RATE. ALL SECURITIES HELD BY MONEY MARKET ARE
VALUED AT AMORTIZED COST WHICH APPROXIMATES MARKET. THE FUND MAY INVEST IN
SECURITIES WHOSE RESALE IS SUBJECT TO RESTRICTIONS. RESTRICTED SECURITIES AND
OTHER SECURITIES AND ASSETS FOR WHICH MARKET QUOTATIONS ARE NOT AVAILABLE OR
DEEMED INAPPROPRIATE ARE VALUED IN GOOD FAITH UNDER THE DIRECTION OF THE BOARD
OF TRUSTEES.
IN DETERMINING FAIR VALUE, THE BOARD CONSIDERS ALL RELEVANT QUALITATIVE AND
QUANTITATIVE INFORMATION AVAILABLE. THESE FACTORS ARE SUBJECT TO CHANGE OVER
TIME AND ARE REVIEWED PERIODICALLY. THE VALUES ASSIGNED TO FAIR VALUE
INVESTMENTS ARE BASED ON AVAILABLE INFORMATION AND DO NOT NECESSARILY REPRESENT
AMOUNTS THAT MIGHT ULTIMATELY BE REALIZED, SINCE SUCH AMOUNTS DEPEND ON FUTURE
DEVELOPMENTS INHERENT IN LONG-TERM INVESTMENTS. FURTHER, BECAUSE OF THE INHERENT
UNCERTAINTY OF VALUATION, THOSE ESTIMATED VALUES MAY DIFFER SIGNIFICANTLY FROM
THE VALUES THAT WOULD HAVE BEEN USED HAD A READY MARKET OF THE INVESTMENTS
EXISTED, AND THE DIFFERENCES COULD BE MATERIAL.
THE FOLLOWING SECURITIES WERE VALUED BY THE BOARD OF TRUSTEES AS OF MARCH 31,
2000:
TOTAL INVESTMENTS % OF NET ASSETS
BALANCED $23,192,904 3.0%
BOND 535,891 0.7%
EQUITY 1,264,525 0.5%
<PAGE>
REPURCHASE AGREEMENTS: THE FUND MAY ENTER INTO REPURCHASE AGREEMENTS WITH
RECOGNIZED FINANCIAL INSTITUTIONS OR REGISTERED BROKER/DEALERS AND, IN ALL
INSTANCES, HOLDS UNDERLYING SECURITIES WITH A VALUE EXCEEDING THE TOTAL
REPURCHASE PRICE, INCLUDING ACCRUED INTEREST. ALTHOUGH RISK IS MITIGATED BY THE
COLLATERAL, THE FUND COULD EXPERIENCE A DELAY IN RECOVERING ITS VALUE AND A
POSSIBLE LOSS OF INCOME OR VALUE IF THE COUNTERPARTY FAILS TO PERFORM IN
ACCORDANCE WITH THE TERMS OF THE AGREEMENT.
OPTIONS: THE FUND MAY WRITE OR PURCHASE OPTION SECURITIES. THE OPTION PREMIUM IS
THE BASIS FOR RECOGNITION OF UNREALIZED OR REALIZED GAIN OR LOSS ON THE OPTION.
THE COST OF SECURITIES ACQUIRED OR THE PROCEEDS FROM SECURITIES SOLD THROUGH THE
EXERCISE OF THE OPTION IS ADJUSTED BY THE AMOUNT OF THE PREMIUM. RISKS FROM
WRITING OR PURCHASING OPTION SECURITIES ARISE FROM POSSIBLE ILLIQUIDITY OF THE
OPTIONS MARKET AND THE MOVEMENT IN THE VALUE OF THE INVESTMENT OR IN INTEREST
RATES. THE RISK ASSOCIATED WITH PURCHASING OPTIONS IS LIMITED TO THE PREMIUM
ORIGINALLY PAID.
FUTURES CONTRACTS: THE FUND MAY ENTER INTO FUTURES CONTRACTS AGREEING TO BUY OR
SELL A FINANCIAL INSTRUMENT FOR A SET PRICE AT A FUTURE DATE. THE FUND MAINTAINS
SECURITIES WITH
A VALUE EQUAL TO ITS OBLIGATION UNDER EACH CONTRACT. INITIAL MARGIN DEPOSITS OF
EITHER CASH
OR SECURITIES ARE MADE UPON ENTERING INTO FUTURES CONTRACTS; THEREAFTER,
VARIATION MARGIN PAYMENTS ARE MADE OR RECEIVED DAILY REFLECTING THE CHANGE IN
MARKET VALUE. UNREALIZED
OR REALIZED GAINS AND LOSSES ARE RECOGNIZED BASED ON THE CHANGE IN MARKET VALUE.
RISKS
OF FUTURES CONTRACTS ARISE FROM THE POSSIBLE ILLIQUIDITY OF THE FUTURES MARKETS
AND THE MOVEMENT IN THE VALUE OF THE INVESTMENT OR IN INTEREST RATES.
SECURITY TRANSACTIONS AND INVESTMENT INCOME: SECURITY TRANSACTIONS ARE ACCOUNTED
FOR ON TRADE DATE. REALIZED GAINS AND LOSSES ARE RECORDED ON AN IDENTIFIED COST
BASIS. DIVIDEND INCOME IS RECORDED ON THE EX-DIVIDEND DATE OR, IN THE CASE OF
DIVIDENDS ON CERTAIN FOREIGN SECURITIES, AS SOON AS THE FUND IS INFORMED OF THE
EX-DIVIDEND DATE. INTEREST INCOME, ACCRETION OF DISCOUNT AND AMORTIZATION OF
PREMIUM ARE RECORDED ON AN ACCRUAL BASIS. INVESTMENT INCOME AND REALIZED AND
UNREALIZED GAINS AND LOSSES ARE ALLOCATED TO SEPARATE CLASSES OF SHARES BASED
UPON THE RELATIVE NET ASSETS OF EACH CLASS. EXPENSES ARISING IN CONNECTION WITH
A CLASS ARE CHARGED DIRECTLY TO THAT CLASS. EXPENSES COMMON TO THE CLASSES ARE
ALLOCATED TO EACH CLASS IN PROPORTION TO THEIR RELATIVE NET ASSETS.
FOREIGN CURRENCY TRANSACTIONS: THE FUND'S ACCOUNTING RECORDS ARE MAINTAINED IN
U.S. DOLLARS. FOR VALUATION OF ASSETS AND LIABILITIES ON EACH DATE OF NET ASSET
VALUE DETERMINATION, FOREIGN DENOMINATIONS ARE TRANSLATED INTO U.S. DOLLARS
USING THE CURRENT EXCHANGE RATE. SECURITY TRANSACTIONS, INCOME AND EXPENSES ARE
TRANSLATED AT THE PREVAILING RATE OF EXCHANGE ON THE DATE OF THE EVENT. THE
EFFECT OF CHANGES IN FOREIGN EXCHANGE RATES ON SECURITIES IS INCLUDED IN THE NET
REALIZED AND UNREALIZED GAIN OR LOSS ON SECURITIES.
DISTRIBUTIONS TO SHAREHOLDERS: DISTRIBUTIONS TO SHAREHOLDERS ARE RECORDED BY THE
FUND ON EX-DIVIDEND DATE. DIVIDENDS FROM NET INVESTMENT INCOME ARE ACCRUED DAILY
AND PAID MONTHLY BY MONEY MARKET AND BOND, QUARTERLY BY BALANCED AND ANNUALLY
BY EQUITY AND MANAGED INDEX. DISTRIBUTIONS FROM NET REALIZED CAPITAL GAINS, IF
ANY, ARE PAID AT LEAST ANNUALLY. DISTRIBUTIONS ARE DETERMINED IN ACCORDANCE WITH
INCOME TAX REGULATIONS WHICH MAY DIFFER FROM GENERALLY ACCEPTED ACCOUNTING
PRINCIPLES; ACCORDINGLY, PERIODIC RECLASSIFICATIONS ARE MADE WITHIN THE FUND'S
CAPITAL ACCOUNTS TO REFLECT INCOME AND GAINS AVAILABLE FOR DISTRIBUTION UNDER
INCOME TAX REGULATIONS.
<PAGE>
ESTIMATES: THE PREPARATION OF THE FINANCIAL STATEMENTS IN CONFORMITY WITH
GENERALLY ACCEPTED ACCOUNTING PRINCIPLES REQUIRES MANAGEMENT TO MAKE ESTIMATES
AND ASSUMPTIONS THAT AFFECT THE REPORTED AMOUNT OF ASSETS AND LIABILITIES AND
DISCLOSURE OF CONTINGENT ASSETS AND LIABILITIES AT THE DATE OF THE FINANCIAL
STATEMENTS AND THE REPORTED AMOUNTS OF INCOME AND EXPENSES DURING THE REPORTED
PERIOD. ACTUAL RESULTS COULD DIFFER FROM THOSE ESTIMATES.
EXPENSE OFFSET ARRANGEMENTS: THE FUND HAS AN ARRANGEMENT WITH ITS CUSTODIAN BANK
WHEREBY THE CUSTODIAN'S AND TRANSFER AGENT'S FEES ARE PAID INDIRECTLY BY CREDITS
EARNED ON EACH PORTFOLIO'S CASH ON DEPOSIT WITH THE BANK. SUCH A DEPOSIT
ARRANGEMENT IS AN ALTERNATIVE TO OVERNIGHT INVESTMENTS.
FEDERAL INCOME TAXES: NO PROVISION FOR FEDERAL INCOME OR EXCISE TAX IS REQUIRED
SINCE THE FUND INTENDS TO CONTINUE TO QUALIFY AS A REGULATED INVESTMENT COMPANY
UNDER THE INTERNAL REVENUE CODE AND TO DISTRIBUTE SUBSTANTIALLY ALL OF ITS
TAXABLE EARNINGS.
NOTE B - RELATED PARTY TRANSACTIONS
CALVERT ASSET MANAGEMENT COMPANY, INC. (THE "ADVISOR") IS WHOLLY-OWNED BY
CALVERT GROUP, LTD. ("CALVERT"), WHICH IS INDIRECTLY WHOLLY OWNED BY AMERITAS
ACACIA MUTUAL HOLDING COMPANY. THE ADVISOR PROVIDES INVESTMENT ADVISORY SERVICES
AND PAYS THE SALARIES AND FEES OF OFFICERS AND AFFILIATED TRUSTEES OF THE FUND.
FOR ITS SERVICES, THE ADVISOR RECEIVES MONTHLY FEES BASED ON THE FOLLOWING
ANNUAL RATES OF AVERAGE DAILY NET ASSETS:
MONEY MARKET .30%
BOND .35%
BALANCED:
FIRST $500 MILLION .425%
NEXT $500 MILLION .40%
OVER $1 BILLION .375%
EQUITY .50%
MANAGED INDEX .60%
THE ADVISOR CONTRACTUALLY REIMBURSED, BOND AND INDEX FOR EXPENSES OF $355 AND
$23,713, RESPECTIVELY.
CALVERT DISTRIBUTORS, INC., AN AFFILIATE OF THE ADVISOR, IS THE DISTRIBUTOR AND
PRINCIPAL UNDERWRITER FOR THE FUND. DISTRIBUTION PLANS, ADOPTED BY CLASS A,
CLASS B, AND CLASS C SHARES, ALLOW THE PORTFOLIOS TO PAY THE DISTRIBUTOR FOR
EXPENSES AND SERVICES ASSOCIATED WITH DISTRIBUTION OF SHARES. THE EXPENSES OF
MONEY MARKET ARE LIMITED TO .25% ANNUALLY OF AVERAGE DAILY NET ASSETS. THE
EXPENSES PAID MAY NOT EXCEED .35%, 1.0%, AND 1.0% ANNUALLY OF AVERAGE DAILY NET
ASSETS OF EACH CLASS A, CLASS B, AND CLASS C FOR BALANCED, BOND AND EQUITY,
RESPECTIVELY. THE EXPENSES PAID MAY NOT EXCEED .25%, 1.0%, AND 1.0% ANNUALLY OF
AVERAGE DAILY NET ASSETS OF EACH CLASS A, CLASS B, AND CLASS C FOR MANAGED
INDEX. CLASS I FOR BALANCED, BOND, EQUITY, AND MANAGED INDEX DOES NOT HAVE
DISTRIBUTION PLAN EXPENSES.
THE DISTRIBUTOR RECEIVED THE FOLLOWING FRONT-END SALES CHARGES (NET OF DEALER
REALLOWANCES AND CONTINGENT DEFERRED SALES CHARGES): $127,066 FOR BALANCED,
21,402 FOR BOND, $77,743 FOR EQUITY, AND $9,075 FOR MANAGED INDEX.
CALVERT SHAREHOLDER SERVICES, INC. (CSSI), AN AFFILIATE OF THE ADVISOR, IS THE
SHAREHOLDER SERVICING AGENT FOR THE FUND. FOR ITS SERVICES, CSSI RECEIVED FEES
OF $113,966, $125,684,
<PAGE>
$17,567, $74,691, AND $7,851 FOR THE PERIOD ENDED MARCH 31, 2000 FOR MONEY
MARKET, BALANCED, BOND, EQUITY AND MANAGED INDEX, RESPECTIVELY. NATIONAL
FINANCIAL DATA SERVICES, INC., IS THE TRANSFER AND DIVIDEND DISBURSING AGENT.
CALVERT ADMINISTRATIVE SERVICES COMPANY (CASC), AND AFFILIATE OF THE ADVISOR,
PROVIDES ADMINISTRATIVE SERVICES FOR THE FUND. FOR PROVIDING SUCH SERVICES, CASC
RECEIVES AN ANNUAL FEE, PAYABLE MONTHLY, BASED ON THE FOLLOWING ANNUAL RATES OF
AVERAGE DAILY NET ASSETS:
MONEY MARKET .20%
BALANCED (CLASS A, B, & C) .275%
BALANCED (CLASS I) .125%
BOND (CLASS A, B, & C) .30%
BOND (CLASS I) .10%
EQUITY (CLASS A, B, & C) .20%
EQUITY (CLASS I) .10%
MANAGED INDEX (CLASS A, B, & C) .15%
MANAGED INDEX (CLASS I) .10%
THE CALVERT SOCIAL INVESTMENT FOUNDATION ("CSI FOUNDATION") PROVIDES CERTAIN
ADMINISTRATIVE SERVICES TO THE FUND. THESE SERVICES INCLUDE A DUE DILIGENCE
REVIEW FOR EACH POTENTIAL ORGANIZATION WHICH IS BEING CONSIDERED FOR A HIGH
SOCIAL IMPACT INVESTMENT ("HSI INVESTMENT"). THE SERVICES ALSO INCLUDE AN ANNUAL
REVIEW THEREAFTER, INVESTMENT MONITORING, QUARTERLY REPORTING TO THE FUND BOARD,
NOTIFICATION OF ANY EVENT OF INFORMATION THAT MAY AFFECT THE VALUE OF AN
INVESTMENT, AND OTHER INCIDENTAL SERVICES. FOR PROVIDING SUCH SERVICES, THE CSI
FOUNDATION RECEIVES AN ANNUAL FEE, PAID QUARTERLY OF 1.00% OF THE FUND'S AVERAGE
DAILY NET ASSETS INVESTED IN HSI INVESTMENTS.
EACH TRUSTEE OF THE FUNDS WHO IS NOT AFFILIATED WITH THE ADVISOR RECEIVES AN
ANNUAL FEE OF $15,430 PLUS $600 FOR EACH BOARD AND COMMITTEE MEETING ATTENDED.
ADDITIONAL FEES OF UP TO $10,000 ANNUALLY MAY BE PAID TO THE CHAIRPERSON OF
SPECIAL COMMITTEES OF THE BOARD. TRUSTEE'S FEES ARE ALLOCATED TO EACH OF THE
FUNDS IN THE SERIES SERVED.
FUSION CAPITAL (FORMERLY UMBONO), AN AFFILIATE OF BALANCED DUE TO A 25%
OWNERSHIP OF THE VOTING SECURITIES, WAS PURCHASED AT A COST OF $5,488,708 FOR
19,872,196 SHARES.
NOTE C - INVESTMENT ACTIVITY
DURING THE PERIOD, PURCHASES AND SALES OF INVESTMENTS, OTHER THAN SHORT-TERM
SECURITIES, WERE:
MANAGED
BALANCED BOND EQUITY INDEX
PURCHASES: 763,514,986 298,128,508 70,372,139 13,925,025
SALES: 785,521,921 301,309,647 56,473,446 8,736,615
MONEY MARKET HELD ONLY SHORT-TERM INVESTMENTS.
<PAGE>
THE COST OF INVESTMENTS OWNED AT MARCH 31, 2000 WAS SUBSTANTIALLY THE SAME FOR
FEDERAL INCOME TAX AND FINANCIAL REPORTING PURPOSES FOR EACH PORTFOLIO. THE
FOLLOWING
TABLE PRESENTS THE COMPONENTS OF NET UNREALIZED APPRECIATION (DEPRECIATION) AS
OF
MARCH 31, 2000 AND THE NET REALIZED CAPITAL LOSS CARRYFORWARDS AS OF SEPTEMBER
30, 1999 WITH EXPIRATION DATES:
MONEY MANAGED
MARKET BALANCED BOND EQUITY INDEX
UNREALIZED APPRECIATION - 129,765,650 451,349 83,952,053 14,311,525
UNREALIZED DEPRECIATION - (30,701,540) (1,817,021) (9,811,864) (2,639,024)
NET APPRECIATION/(DEPRECIATION)
- 99,064,110 (1,365,673) 74,140,189 11,672,501
CAPITAL LOSS CARRYFORWARD
$6,959 - - - 492,447
EXPIRATION DATES 2002-2004 - - - 2007
CAPITAL LOSSES MAY BE UTILIZED TO OFFSET CURRENT AND FUTURE CAPITAL GAINS UNTIL
EXPIRATION.
AS A CASH MANAGEMENT PRACTICE, PORTFOLIOS MAY SELL OR PURCHASE SHORT-TERM
VARIABLE RATE DEMAND NOTES FROM OTHER PORTFOLIOS MANAGED BY THE ADVISOR.
FOR THE PERIOD ENDED MARCH 31, 2000, THE FUND EFFECTED TRANSACTIONS WITH OTHER
CALVERT PORTFOLIOS, WHICH RESULTED IN NET REALIZED GAINS (LOSSES) ON SALES OF
SECURITIES OF ($2,164) FOR BALANCED AND $17,018 FOR BOND.
THE PURCHASES AND SALES TRANSACTIONS, EXECUTED AT INDEPENDENTLY DERIVED PRICES
PURSUANT TO RULE 17A-7 UNDER THE INVESTMENT COMPANY ACT OF 1940, WERE:
BALANCED BOND
PURCHASES $167,261,645 $9,207,010
SALES 155,358,770 15,591,415
NOTE D - LINE OF CREDIT
A FINANCING AGREEMENT IS IN PLACE WITH ALL CALVERT GROUP FUNDS (EXCEPT FOR THE
CALVERT SOCIAL INVESTMENT FUND MANAGED INDEX AND CVS AMERITAS INDEX 500
PORTFOLIOS) AND STATE STREET BANK AND TRUST COMPANY ("THE BANK"). UNDER THE
AGREEMENT, THE BANK IS PROVIDING AN UNSECURED LINE OF CREDIT FACILITY, IN THE
AGGREGATE AMOUNT OF $50 MILLION ($25 MILLION COMMITTED AND $25 MILLION
UNCOMMITTED), TO BE ACCESSED BY THE FUNDS FOR TEMPORARY OR EMERGENCY PURPOSES
ONLY. BORROWINGS UNDER THIS FACILITY BEAR INTEREST AT THE OVERNIGHT FEDERAL
FUNDS RATE PLUS .50% PER ANNUM. A COMMITMENT FEE OF .10% PER ANNUM WILL BE
INCURRED ON THE UNUSED PORTION OF THE COMMITTED FACILITY WHICH WILL BE ALLOCATED
TO ALL PARTICIPATING FUNDS. THE FUND HAD NO LOANS OUTSTANDING PURSUANT TO THIS
LINE OF CREDIT AT MARCH 31, 2000.
<PAGE>
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
2000 1999 1998
NET ASSET VALUE, BEGINNING $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .025 .045 .049
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.025) (.045) (.049)
NET ASSET VALUE, ENDING $1.00 $1.00 $1.00
TOTAL RETURN* 2.55% 4.54% 5.02%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 5.04% (A) 4.43% 4.92%
TOTAL EXPENSES .85% (A) .90% .94%
EXPENSES BEFORE OFFSETS .85% (A) .89% .89%
NET EXPENSES .83% (A) .87% .87%
NET ASSETS, ENDING (IN THOUSANDS) $210,396 $193,941 $172,701
YEARS ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
1997 1996 1995
NET ASSET VALUE, BEGINNING $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .048 .048 .050
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.048) (.048) (.050)
NET ASSET VALUE, ENDING $1.00 $1.00 $1.00
TOTAL RETURN* 4.89% 4.88% 5.13%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 4.79% 4.77% 5.03%
TOTAL EXPENSES 1.00% 1.10% 1.07%
EXPENSES BEFORE OFFSETS .89% .89% .89%
NET EXPENSES .87% .87% .87%
NET ASSETS, ENDING (IN THOUSANDS) $166,111 $166,516 $153,996
<PAGE>
BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS A SHARES 2000 1999 1998
NET ASSET VALUE, BEGINNING $32.14 $32.45 $34.88
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .39 .68 .77
NET REALIZED AND UNREALIZED GAIN (LOSS) 2.85 3.03 .92
TOTAL FROM INVESTMENT OPERATIONS 3.24 3.71 1.69
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.39) (.66) (.76)
NET REALIZED GAIN (2.05) (3.36) (3.36)
TOTAL DISTRIBUTIONS (2.44) (4.02) (4.12)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
.80 (.31) (2.43)
NET ASSET VALUE, ENDING 32.94 $32.14 $32.45
TOTAL RETURN* 10.36% 11.52% 5.50%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 2.39% (A) 2.05% 2.27%
TOTAL EXPENSES 1.18% (A) 1.17% 1.13%
EXPENSES BEFORE OFFSETS 1.18% (A) 1.17% 1.13%
NET EXPENSES 1.17% (A) 1.15% 1.11%
PORTFOLIO TURNOVER 105% 175% 185%
NET ASSETS, ENDING (IN THOUSANDS) 743,455 $708,655 $673,907
YEARS ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
CLASS A SHARES 1997 1996 1995
NET ASSET VALUE, BEGINNING $31.35 $32.81 $28.77
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .83 .78 .87
NET REALIZED AND UNREALIZED GAIN (LOSS) 5.61 2.28 4.25
TOTAL FROM INVESTMENT OPERATIONS 6.44 3.06 5.12
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.81) (.77) (.87)
NET REALIZED GAIN (2.10) (3.75) (.21)
TOTAL DISTRIBUTIONS (2.91) (4.52) (1.08)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
3.53 (1.46) 4.04
NET ASSET VALUE, ENDING $34.88 $31.35 $32.81
TOTAL RETURN* 21.94% 10.27% 18.21%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 2.57% 2.58% 2.89%
TOTAL EXPENSES 1.14% 1.29% 1.30%
EXPENSES BEFORE OFFSETS 1.14% 1.28% 1.28%
NET EXPENSES 1.12% 1.26% 1.26%
PORTFOLIO TURNOVER 215% 111% 114%
NET ASSETS, ENDING (IN THOUSANDS) $675,306 $594,482 $560,981
<PAGE>
BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS B SHARES 2000 1999 1998 #
NET ASSET VALUE, BEGINNING $31.97 $32.38 $34.37
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .24 .35 0.15
NET REALIZED AND UNREALIZED GAIN (LOSS) 2.80 2.94 (1.90)
TOTAL FROM INVESTMENT OPERATIONS 3.04 3.29 (1.75)
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.22) (.34) (0.24)
NET REALIZED GAIN (2.05) (3.36) -
TOTAL DISTRIBUTIONS (2.27) (3.70) (0.24)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
.77 (.41) (1.99)
NET ASSET VALUE, ENDING 32.74 $31.97 $32.38
TOTAL RETURN* 9.79% 10.15% (5.10%)
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 1.37% (A) .85% 1.22% (A)
TOTAL EXPENSES 2.21% (A) 2.40% 3.59% (A)
EXPENSES BEFORE OFFSETS 2.21% (A) 2.40% 2.43% (A)
NET EXPENSES 2.20% (A) 2.38% 2.41% (A)
PORTFOLIO TURNOVER 105% 175% 185%
NET ASSETS, ENDING (IN THOUSANDS) $12,529 $9,910 $2,540
<PAGE>
BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS C SHARES 2000` 1999 1998
NET ASSET VALUE, BEGINNING $31.70 $32.05 $34.52
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .23 .36 .41
NET REALIZED AND UNREALIZED GAIN (LOSS)
2.80 2.98 .89
TOTAL FROM INVESTMENT OPERATIONS 3.03 3.34 1.30
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.22) (.33) (.41)
NET REALIZED GAIN (2.05) (3.36) (3.36)
TOTAL DISTRIBUTIONS (2.27) (3.69) (3.77)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
.76 (.35) (2.47)
NET ASSET VALUE, ENDING $32.46 $31.70 $32.05
TOTAL RETURN* 9.83% 10.43% 4.35%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 1.41% (A) 1.04% 1.16%
TOTAL EXPENSES 2.17% (A) 2.19% 2.25%
EXPENSES BEFORE OFFSETS 2.17% (A) 2.19% 2.25%
NET EXPENSES 2.15% (A) 2.17% 2.23%
PORTFOLIO TURNOVER 105% 175% 185%
NET ASSETS, ENDING (IN THOUSANDS)
$14,840 $13,646 $11,483
YEARS ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
CLASS C SHARES 1997 1996 1995
NET ASSET VALUE, BEGINNING $31.05 $32.60 $28.65
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .47 .46 .54
NET REALIZED AND UNREALIZED GAIN (LOSS)
5.54 2.17 4.20
TOTAL FROM INVESTMENT OPERATIONS 6.01 2.63 4.74
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.44) (.43) (.58)
NET REALIZED GAIN (2.10) (3.75) (.21)
TOTAL DISTRIBUTIONS (2.54) (4.18) (.79)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
3.47 (1.55) 3.95
NET ASSET VALUE, ENDING $34.52 $31.05 $32.60
TOTAL RETURN* 20.56% 8.85% 16.85%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 1.42% 1.34% 1.61%
TOTAL EXPENSES 2.29% 2.66% 2.93%
EXPENSES BEFORE OFFSETS 2.29% 2.52% 2.51%
NET EXPENSES 2.27% 2.50% 2.50%
PORTFOLIO TURNOVER 215% 111% 114%
NET ASSETS, ENDING (IN THOUSANDS)
$8,898 $6,715 $4,065
<PAGE>
BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30,
CLASS I SHARES 2000 1999###
NET ASSET VALUE, BEGINNING $32.13 $32.52
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .46 .52
NET REALIZED AND UNREALIZED GAIN (LOSS) 2.85 (.35)
TOTAL FROM INVESTMENT OPERATIONS 3.31 .17
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.46) (.56)
NET REALIZED GAIN (2.05) -
TOTAL DISTRIBUTIONS (2.51) (.56)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE .80 (.39)
NET ASSET VALUE, ENDING $32.93 $32.13
TOTAL RETURN* 10.60% .52%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 2.82% (A) 2.54% (A)
TOTAL EXPENSES .76% (A) .74% (A)
EXPENSES BEFORE OFFSETS .76% (A) .74% (A)
NET EXPENSES .74% (A) .73% (A)
PORTFOLIO TURNOVER 105% 175%
NET ASSETS, ENDING (IN THOUSANDS) 15,072 $13,458
<PAGE>
BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS A SHARES 2000 1999 1998
NET ASSET VALUE, BEGINNING 15.59 $16.88 $16.64
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .50 .93 .95
NET REALIZED AND UNREALIZED GAIN (LOSS) (.04) (.74) .41
TOTAL FROM INVESTMENT OPERATIONS .46 .19 1.36
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.50) (.93) (.96)
NET REALIZED GAIN (.01) (.55) (.16)
TOTAL DISTRIBUTIONS (0.51) (1.48) (1.12)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
(0.05) (1.29) .24
NET ASSET VALUE, ENDING $15.54 $15.59 $16.88
TOTAL RETURN* 3.03% 1.18% 8.46%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 6.45% (A) 5.79% 5.69%
TOTAL EXPENSES 1.18% (A) 1.13% 1.14%
EXPENSES BEFORE OFFSETS 1.18% (A) 1.13% 1.14%
NET EXPENSES 1.15% (A) 1.09% 1.07%
PORTFOLIO TURNOVER 453% 570% 620%
NET ASSETS, ENDING (IN THOUSANDS) $67,077 $66,944 $65,807
YEARS ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
CLASS A SHARES 1997 1996 1995
NET ASSET VALUE, BEGINNING $16.06 $16.34 $15.49
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .96 .92 .96
NET REALIZED AND UNREALIZED GAIN (LOSS)
.58 (.29) .91
TOTAL FROM INVESTMENT OPERATIONS 1.54 .63 1.87
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.96) (.91) (.93)
NET REALIZED GAIN - - (.06)
TAX RETURN OF CAPITAL - - (.03)
TOTAL DISTRIBUTIONS (.96) (.91) (1.02)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
.58 (.28) .85
NET ASSET VALUE, ENDING $16.64 $16.06 $16.34
TOTAL RETURN* 9.89% 3.96% 12.57%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 5.85% 5.60% 6.04%
TOTAL EXPENSES 1.23% 1.29% 1.24%
EXPENSES BEFORE OFFSETS 1.23% 1.29% 1.24%
NET EXPENSES 1.19% 1.26% 1.22%
PORTFOLIO TURNOVER 319% 22% 29%
NET ASSETS, ENDING (IN THOUSANDS) $59,656 $62,259 $62,929
<PAGE>
BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30
CLASS B SHARES 2000 1999 1998#
NET ASSET VALUE, BEGINNING $15.53 $16.84 $16.69
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .42 .74 .36
NET REALIZED AND UNREALIZED GAIN (LOSS)
(.03) (.79) .19
TOTAL FROM INVESTMENT OPERATIONS .39 (.05) .55
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.41) (.71) (.40)
NET REALIZED GAIN (.01) (.55) -
TOTAL DISTRIBUTIONS (0.42) (1.26) (.40)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
(0.03) (1.31) .15
NET ASSET VALUE, ENDING $15.50 $15.53 $16.84
TOTAL RETURN* 2.57% (.29%) 3.36%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 5.46% (A) 4.43% 4.14% (A)
TOTAL EXPENSES 2.21% (A) 2.72% 8.08% (A)
EXPENSES BEFORE OFFSETS 2.21% (A) 2.56% 2.55% (A)
NET EXPENSES 2.17% (A) 2.50% 2.50% (A)
PORTFOLIO TURNOVER 453% 570% 620%
NET ASSETS, ENDING (IN THOUSANDS) $2,956 $2,773 $557
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS C SHARES 2000 1999 1998^^
NET ASSET VALUE, BEGINNING $15.51 $16.84 $16.81
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .42 .74 .21
NET REALIZED AND UNREALIZED GAIN (LOSS)
(.04) (.80) .08
TOTAL FROM INVESTMENT OPERATIONS .38 (.06) .29
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.41) (.72) (.26)
NET REALIZED GAIN (.01) (.55)
TOTAL DISTRIBUTIONS (.42) (1.27)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
(0.04) (1.33) .03
NET ASSET VALUE, ENDING $15.47 $15.51 $16.84
TOTAL RETURN* 2.48% (.40%) 1.75%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME 5.27% (A) 4.41% 4.06% (A)
TOTAL EXPENSES 2.36% (A) 2.85% 7.09% (A)
EXPENSES BEFORE OFFSETS 2.36% (A) 2.55% 2.74% (A)
NET EXPENSES 2.33% (A) 2.50% 2.50% (A)
PORTFOLIO TURNOVER 453% 570% 620%
NET ASSETS, ENDING (IN THOUSANDS) $1,725 $1,779 $399
<PAGE>
BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIOD ENDED
MARCH 31,
CLASS I SHARES 2000####
NET ASSET VALUE, BEGINNING $15.56
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .00
NET REALIZED AND UNREALIZED GAIN (LOSS) .00
TOTAL FROM INVESTMENT OPERATIONS .00
DISTRIBUTIONS FROM
NET INVESTMENT INCOME .00
TOTAL DISTRIBUTIONS .00
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE 0.00
NET ASSET VALUE, ENDING $15.56
TOTAL RETURN* .00%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME (.60%) (A)
TOTAL EXPENSES 13.63% (A)
EXPENSES BEFORE OFFSETS .64% (A)
NET EXPENSES .60% (A)
PORTFOLIO TURNOVER 453%
NET ASSETS, ENDING (IN THOUSANDS) $1,000
<PAGE>
EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS A SHARES 2000 1999 1998
NET ASSET VALUE, BEGINNING $27.06 $20.36 $27.77
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME (.03) (.07) (.04)
NET REALIZED AND UNREALIZED GAIN (LOSS) 8.00 6.78 (4.01)
TOTAL FROM INVESTMENT OPERATIONS 7.97 6.71 (4.05)
DISTRIBUTIONS FROM
NET INVESTMENT INCOME - - -
NET REALIZED GAIN (1.83) (.01) (3.36)
TOTAL DISTRIBUTIONS (1.83) (.01) (3.36)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
6.14 6.70 (7.41)
NET ASSET VALUE, ENDING $33.20 $27.06 $20.36
TOTAL RETURN* 30.49% 32.98% (15.70%)
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME (.22%) (A) (.28%) (.14%)
TOTAL EXPENSES 1.29% (A) 1.22% 1.16%
EXPENSES BEFORE OFFSETS 1.29% (A) 1.22% 1.16%
NET EXPENSES 1.16% (A) 1.10% 1.07%
PORTFOLIO TURNOVER 27% 51% 110%
NET ASSETS, ENDING (IN THOUSANDS) $228,546 $166,716 $128,683
YEARS ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
CLASS A SHARES 1997 1996 1995
NET ASSET VALUE, BEGINNING $22.54 $21.12 $20.13
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME - .03 .06
NET REALIZED AND UNREALIZED GAIN (LOSS) 6.73 3.26 2.22
TOTAL FROM INVESTMENT OPERATIONS 6.73 3.29 2.28
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.01) (.06) (.04)
NET REALIZED GAIN (1.49) (1.81) (1.25)
TOTAL DISTRIBUTIONS (1.50) (1.87) (1.29)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
$5.23 1.42 .99
NET ASSET VALUE, ENDING $27.77 $22.54 $21.12
TOTAL RETURN* 31.34% 16.62% 12.43%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME .03% .15% .32%
TOTAL EXPENSES 1.21% 1.29% 1.38%
EXPENSES BEFORE OFFSETS 1.21% 1.29% 1.38%
NET EXPENSES 1.20% 1.27% 1.36%
PORTFOLIO TURNOVER 93% 118% 35%
NET ASSETS, ENDING (IN THOUSANDS) $147,002 $101,344 $90,951
<PAGE>
EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS B SHARES 2000 1999 1998 #
NET ASSET VALUE, BEGINNING $26.60 $20.26 $26.01
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME (.13) (.15) (.09)
NET REALIZED AND UNREALIZED GAIN (LOSS) 7.81 6.50 (5.66)
TOTAL FROM INVESTMENT OPERATIONS 7.68 6.35 (5.75)
DISTRIBUTIONS FROM
NET REALIZED GAIN (1.83) (.01) --
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
5.85 6.34 (5.75)
NET ASSET VALUE, ENDING $32.45 $26.60 $20.26
TOTAL RETURN* 29.91% 31.37% (22.11%)
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME (1.09%) (A) (1.41%) (1.55%) (A)
TOTAL EXPENSES 2.27% (A) 2.43% 4.12% (A)
EXPENSES BEFORE OFFSETS 2.27% (A) 2.43% 3.19% (A)
NET EXPENSES 2.05% (A) 2.21% 2.56% (A)
PORTFOLIO TURNOVER 27% 51% 110%
NET ASSETS, ENDING (IN THOUSANDS) $14,620 $8,038 $1,670
<PAGE>
EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS C SHARES 2000 1999 1998
NET ASSET VALUE, BEGINNING $25.00 $19.00 $26.37
INCOME FROM INVESTMENT OPERATIONS.
NET INVESTMENT INCOME (LOSS) (.13) (.11) (.16)
NET REALIZED AND UNREALIZED GAIN (LOSS) 7.34 6.12 (3.85)
TOTAL FROM INVESTMENT OPERATIONS 7.21 6.01 (4.01)
DISTRIBUTIONS FROM
NET REALIZED GAIN (1.83) (.01) (3.36)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
5.38 6.00 (7.37)
NET ASSET VALUE, ENDING $30.38 $25.00 $19.00
TOTAL RETURN* 29.94% 31.66% (16.47%)
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME (LOSS) (1.05%) (A) (1.21%) (1.17%)
TOTAL EXPENSES 2.20% (A) 2.22% 2.21%
EXPENSES BEFORE OFFSETS 2.20% (A) 2.22% 2.21%
NET EXPENSES 2.00% (A) 2.01% 2.09%
PORTFOLIO TURNOVER 27% 51% 110%
NET ASSETS, ENDING (IN THOUSANDS) $16,481 $10,413 $5,981
YEARS ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
CLASS C SHARES 1997 1996 1995
NET ASSET VALUE, BEGINNING $21.71 $20.66 $19.98
INCOME FROM INVESTMENT OPERATIONS.
NET INVESTMENT INCOME (.05) (.16) (.03)
NET REALIZED AND UNREALIZED GAIN (LOSS) 6.21 3.04 2.05
TOTAL FROM INVESTMENT OPERATIONS 6.16 2.88 2.02
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.01) (.02) (.09)
NET REALIZED GAIN (1.49) (1.81) (1.25)
TOTAL DISTRIBUTIONS (1.50) (1.83) (1.34)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
4.66 1.05 .68
NET ASSET VALUE, ENDING $26.37 $21.71 $20.66
TOTAL RETURN* 29.84% 14.85% 11.16%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME (LOSS) (1.08%) (1.42%) (.84%)
TOTAL EXPENSES 2.31% 2.86% 3.58%
EXPENSES BEFORE OFFSETS 2.31% 2.86% 2.51%
NET EXPENSES 2.30% 2.85% 2.50%
PORTFOLIO TURNOVER 93% 118% 35%
NET ASSETS, ENDING (IN THOUSANDS) $6,249 $2,996 $1,802
<PAGE>
EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIOD ENDED
MARCH 31,
CLASS I SHARES 2000#####
NET ASSET VALUE, BEGINNING $28.64
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME (.07)
NET REALIZED AND UNREALIZED GAIN (LOSS) 6.51
TOTAL FROM INVESTMENT OPERATIONS 6.44
DISTRIBUTIONS FROM
NET REALIZED GAIN (1.83)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE 4.61
NET ASSET VALUE, ENDING $33.25
TOTAL RETURN* 22.24%
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME .23% (A)
TOTAL EXPENSES 1.15% (A)
EXPENSES BEFORE OFFSETS .84% (A)
NET EXPENSES .80% (A)
PORTFOLIO TURNOVER 27%
NET ASSETS, ENDING (IN THOUSANDS) 2,834
<PAGE>
MANAGED INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS A SHARES 2000 1999 1998 ##
NET ASSET VALUE, BEGINNING $16.83 $13.54 $15.00
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME (.01) .03 .02
NET REALIZED AND UNREALIZED GAIN (LOSS) 3.43 3.31 (1.48)
TOTAL FROM INVESTMENT OPERATIONS 3.42 3.34 (1.46)
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.01) (.05) --
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
3.41 3.29 (1.46)
NET ASSET VALUE, ENDING $20.24 $16.83 $13.54
TOTAL RETURN* 20.35% 24.68% (9.73%)
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME (.14%) (A) .14% .42% (A)
TOTAL EXPENSES 1.37% (A) 1.59% 1.86% (A)
EXPENSES BEFORE OFFSETS 1.32% (A) 1.31% 1.01% (A)
NET EXPENSES 1.25% (A) 1.25% .95% (A)
PORTFOLIO TURNOVER 20% 56% 27%
NET ASSETS, ENDING (IN THOUSANDS) $18,980 $12,257 $4,401
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS B SHARES 2000 1999 1998 ##
NET ASSET VALUE, BEGINNING $16.58 $13.48 $15.00
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME (.08) (.11) (.03)
NET REALIZED AND UNREALIZED GAIN (LOSS) 3.34 3.21 (1.49)
TOTAL FROM INVESTMENT OPERATIONS 3.26 3.10 (1.52)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
3.26 3.10 (1.52)
NET ASSET VALUE, ENDING $19.84 $16.58 $13.48
TOTAL RETURN* 19.66% 23.00% (10.13%)
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME (1.23%) (A) (1.11%) (.98%) (A)
TOTAL EXPENSES 2.41% (A) 2.67% 5.61% (A)
EXPENSES BEFORE OFFSETS 2.41% (A) 2.56% 2.56% (A)
NET EXPENSES 2.34% (A) 2.50% 2.50% (A)
PORTFOLIO TURNOVER 20% 56% 27%
NET ASSETS, ENDING (IN THOUSANDS) $5,682 $4,078 $975
<PAGE>
MANAGED INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS C SHARES 2000 1999 1998 ^^
NET ASSET VALUE, BEGINNING $16.62 $13.52 $14.52
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME (.06) (.09) (.02)
NET REALIZED AND UNREALIZED GAIN (LOSS) 3.34 3.19 (.98)
TOTAL FROM INVESTMENT OPERATIONS 3.28 3.10 (1.00)
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
3.28 3.10 (1.00)
NET ASSET VALUE, ENDING $19.90 $16.62 $13.52
TOTAL RETURN* 19.74% 22.93% (6.89%)
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME (1.16%) (A) (1.12%) (.96%) (A)
TOTAL EXPENSES 2.34% (A) 2.68% 4.82% (A)
EXPENSES BEFORE OFFSETS 2.34% (A) 2.56% 2.56% (A)
NET EXPENSES 2.27% (A) 2.50% 2.50% (A)
PORTFOLIO TURNOVER 20% 56% 27%
NET ASSETS, ENDING (IN THOUSANDS) $4,090 $2,454 $397
PERIODS ENDED
MARCH 31, SEPTEMBER 30, SEPTEMBER 30,
CLASS I SHARES 2000 1999 1998 ##
NET ASSET VALUE, BEGINNING $16.89 $13.54 $15.00
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME .03 .11 .04
NET REALIZED AND UNREALIZED GAIN (LOSS) 3.46 3.29 (1.50)
TOTAL FROM INVESTMENT OPERATIONS 3.49 3.40 (1.46)
DISTRIBUTIONS FROM
NET INVESTMENT INCOME (.05) (.05) --
TOTAL INCREASE (DECREASE) IN NET ASSET VALUE
3.44 3.35 (1.46)
NET ASSET VALUE, ENDING $20.33 $16.89 $13.54
TOTAL RETURN* 20.66% 25.09% (9.73%)
RATIOS TO AVERAGE NET ASSETS:
NET INVESTMENT INCOME .37% (A) .65% .54% (A)
TOTAL EXPENSES .91% (A) .91% 1.03% (A)
EXPENSES BEFORE OFFSETS .82% (A) .81% .81% (A)
NET EXPENSES .75% (A) .75% .75% (A)
PORTFOLIO TURNOVER 20% 56% 27%
NET ASSETS, ENDING (IN THOUSANDS) $22,552 $18,652 $14,897
(A) ANNUALIZED
* TOTAL RETURN IS NOT ANNUALIZED FOR PERIODS LESS THAN ONE YEAR AND DOES NOT
REFLECT DEDUCTION OF ANY FRONT-END OR DEFERRED SALES CHARGE.
# FROM APRIL 1, 1998 INCEPTION.
^ FROM MARCH 1, 1994 INCEPTION.
^^ FROM JUNE 1, 1998 INCEPTION.
## FROM APRIL 15, 1998 INCEPTION.
### FROM MARCH 1, 1999 INCEPTION.
#### FROM MARCH 31, 2000 INCEPTION.
##### FROM NOVEMBER 1, 1999 INCEPTION.
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
<PAGE>
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