PILGRIM
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FUNDS FOR SERIOUS INVESTORS
Semi-Annual Report
Classes: A, B, C, and M
December 31, 1999
U.S. EQUITY FUNDS
Pilgrim MagnaCap
Pilgrim LargeCap Leaders
Pilgrim LargeCap Growth
Pilgrim MidCap Value
Pilgrim MidCap Growth
Pilgrim SmallCap Growth
Pilgrim Bank and Thrift
INTERNATIONAL EQUITY FUNDS
Pilgrim Worldwide Growth
Pilgrim International Core Growth
Pilgrim International SmallCap Growth
Pilgrim Emerging Countries
Pilgrim Asia-Pacific Equity
INCOME FUNDS
Pilgrim Government Securities Income
Pilgrim Strategic Income
Pilgrim High Yield
Pilgrim High Yield II
Pilgrim Money Market
EQUITY & INCOME FUNDS
Pilgrim Balanced
Pilgrim Convertible
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Pilgrim
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TABLE OF CONTENTS
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Chairman's Message ......................................................... 1
Portfolio Managers' Reports:
U.S. Equity Funds......................................................... 2
International Equity Funds................................................ 16
Income Funds.............................................................. 26
Equity & Income Funds..................................................... 36
Index Descriptions.......................................................... 40
Statements of Assets and Liabilities........................................ 42
Statements of Operations.................................................... 50
Statements of Changes in Net Assets......................................... 54
Financial Highlights........................................................ 64
Notes to Financial Statements............................................... 83
Portfolios of Investments................................................... 104
Shareholder Meetings........................................................ 147
Tax Information............................................................. 148
Primary Institutional Fund.................................................. 149
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Pilgrim
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CHAIRMAN'S MESSAGE
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Dear Shareholder:
We are pleased to present the Semi-Annual Report for the Pilgrim Funds. On
October 29, 1999 Reliastar Financial Corporation acquired Pilgrim Investments,
Inc.
Our fund family now has 32 funds of varying types which provide more core
investment choices for the serious investor. There are seven U.S. Equity Funds,
five International Equity Funds, five Income Funds and two Equity & Income Funds
which are included in this Semi-Annual Report. MagnaCap, LargeCap Leaders,
MidCap Value, Bank and Thrift, Government Securities Income, Strategic Income,
High Yield, High Yield II and Balanced Funds are all managed by seasoned
investment successful professionals at Pilgrim Investments, Inc. Money Market
Fund solely invests all of its assets in Class A shares of the Primary Reserve
Institutional Fund, a series of Reserve Institutional Trust. LargeCap Growth,
MidCap Growth, SmallCap Growth, Worldwide Growth, International Core Growth,
International SmallCap Growth, Emerging Countries and Convertible Funds continue
to be managed by Nicholas-Applegate Capital Management who has delivered solid
gains to shareholders in the past. Asia-Pacific Equity Fund is advised by HSBC
Asset Management Americas, Inc. and HSBC Asset Management Hong Kong Limited.
Both of these private money managers typically manage portfolios primarily for
high net worth individuals and institutional investors. Each money manager has
extensive knowledge and proven experience in their specialized market segments.
At Pilgrim, we are dedicated to providing core investments for the serious
investor. We believe that the key to success is matching quality core
investments to the individual needs of investors. Core investments are the
foundation of every portfolio and the basis of other important investment
decisions. Pilgrim prides itself on providing a family of core investments
designed to help you reach your financial goals. Our goal is for every investor
to have a investment experience.(SM)
Sincerely,
Robert W. Stallings
Chairman and Chief Executive Officer
Pilgrim Group, Inc.
February 8, 2000
1
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U.S. Equity
Funds
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Portfolio
PILGRIM MAGNACAP FUND Manager's Report
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Portfolio Management Team: Howard N. Kornblue, Senior Vice President and Senior
Portfolio Manager; G. David Underwood, CFA, Vice President and Director of
Research; Robert M. Kloss, Equity Analyst.
Goal: The MagnaCap Fund seeks growth of capital, with dividend income as a
secondary consideration. As a disciplined investment philosophy fund, MagnaCap
invests in a very select group of companies that have been able to sustain
growth over a 10-year period. In selecting portfolio securities, companies are
generally assessed with reference to the following criteria as ideal:
* A company must pay or had the financial capability from its operations to
pay a dividend in 8 out of the last 10 years.
* A company must have increased its dividend or had the financial capability
from its operations to have increased its dividend at least 100% over the
past 10 years.
* Dividend payout must be less than 65% of current earnings.
* Long-term debt should be no more than 25% of the company's total
capitalization, or a company's bonds must be rated at least A- or A-3.
* The current price should be in the lower half of the stock's price/earnings
ratio range for the past ten years, or the ratio of the price of the
company's stock at the time of purchase to its anticipated future earnings
must be an attractive value in relation to the average for its industry
peer group or that of the S&P 500 Composite Stock Price Index.
Market Overview: For the past half decade, the U.S. stock market has been going
higher helped by low inflation, healthy economic growth, increasing corporate
profits, and falling interest rates. This past year was no exception, although
one of the prime contributors to the extended market rise -- falling interest
rates -- was not a factor in 1999. Interest rates increased during 1999, as
economic growth exceeded expectations, bringing up fears of inflation down the
road. The Federal Reserve increased interest rates three times between June and
November. There was a decoupling of the equity and bond markets, with the major
stock averages rising while bonds, which move in the opposite direction from
interest rates, retreated. Bonds experienced their worst year since 1994. Robust
consumer spending has put the U. S economy on a pace to grow by more than 4% for
the third straight year, continuing its decade long expansion. After a brief
stock market decline in the summer, major stock market averages achieved
double-digit yearly gains and closed the year at record highs. The Dow Jones
Industrial Average went above 10,000 for the first time. The S&P 500 Index
gained over 20% for the fifth straight year. Technology stocks led the market as
investors embraced the potential of e-commerce and the Internet. But 1999 was
not a year in which a rising tide lifted all boats. Many more issues on the New
York Stock Exchange fell in price during the year than rose in price in spite of
the favorable market environment. Many investors were limiting their purchases
to a select group of stocks (most often in technology) and were then bidding up
these stocks to extreme levels that challenged all measures of historical
valuation.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 12.20%, compared to
the Standard & Poor's 500 Index, which gained 21.04% for the same period.
Portfolio Specifics: We believe that the Fund's past success can be attributed
to the very explicit investment criteria which normally determine the kinds of
companies that qualify for inclusion in the portfolio. Out of a universe of
approximately 4,000 publicly traded companies, and based upon both in-house and
external research, we aim to select the 60 to 80 equities which we believe will
be most likely to exhibit a high degree of performance. Among the top performing
holdings were Cisco (computers), Tellabs (telecommunication equipment), Sun
Microsystems (computers), Wal-Mart (retail), and Hewlett Packard (computers). At
the end of December 1999, the top industry groups were oil, pharmaceuticals,
computers, communications, and building products. The top stock holdings were
AFLAC, Automatic Data Processing, Home Depot, McDonalds, and Avery-Dennison.
Market Outlook: Going forward, we will continue to employ a "bottom-up"
approach to stock selection, drawing from the pool of companies that come
closest to meeting the Fund's strict investment criteria given market
2
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Portfolio
Manager's Report PILGRIM MAGNACAP FUND
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conditions, the circumstances of the company and the sector within which it
falls. The bull market in U.S. stocks is in its ninth year. It has been firmly
based on extraordinary changes in the economy that have given us one of the
longest economic expansions in U.S. history. This bull market has been one of
the best in U.S. history and we believe it is likely to continue for several
reasons. First, the economic expansion that has propelled stock prices higher
has been one of the most durable. It has been accompanied by mild inflation, job
creation and high-quality profit growth. Second, the current economic and market
cycles have benefited from several long-term structural changes. This includes a
notable reduction in the government's budget deficit. There has also been a
shift to a more sophisticated, technology driven private sector that has spurred
widespread productivity gains, which offers new opportunities for growth and
jobs. Most bull markets end when stocks are overpriced. However, it has
traditionally been extremely difficult to identify the degree of overpricing at
which any particular bull market will end. We believe stock prices can continue
to rise selectively in 2000 in concert with improvements in corporate earnings
and cash flows. Accordingly, we intend to remain almost fully invested,
selecting stocks on the basis described at the beginning of this paragraph.
Average Annual Total Returns for the
periods ended December 31, 1999
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Since Since
Inception Inception
of Class of
B and M Class C
1 Year 5 Years 10 Years 7/17/95 6/1/99
------ ------- -------- ------- ------
Including Sales Charge:
Class A (1) 5.77% 20.24% 14.13% -- --
Class B (2) 6.46% -- -- 18.74% --
Class C (3) -- -- -- -- 5.04%
Class M (4) 7.74% -- -- 18.32% --
Excluding Sales Charge:
Class A 12.20% 21.67% 14.81% -- --
Class B 11.42% -- -- 18.99% --
Class C -- -- -- -- 5.99
Class M 11.67% -- -- 19.28% --
S&P 500 Index 21.04% 28.54% 18.19% 26.23% 14.34%
The table above illustrates the total return of Pilgrim MagnaCap Fund against
the Standard & Poor's 500 Composite Stock Price Index. The Index has an inherent
performance advantage over the Fund since it has no cash in its portfolio,
imposes no sales charges and incurs no operating expenses. An investor cannot
invest directly in an index. The Fund's performance is shown both with and
without the imposition of the sales charges.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the
since inception return.
(4) Reflects deduction of the maximum Class M sales charge of 3.50%.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities.
See accompanying index descriptions on page 40.
3
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U.S. Equity
Funds
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Portfolio
PILGRIM LARGECAP LEADERS FUND Manager's Report
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Portfolio Management Team: G. David Underwood, CFA, Vice President and Senior
Portfolio Manager; Robert M. Kloss, Equities Research Analyst.
Goal: The LargeCap Leaders Fund seeks long-term capital appreciation by
investing in a portfolio of stocks of U.S. companies with market
capitalizations over $10 billion and believed to be leaders in their industry.
Market Overview: For the six months ending December 31, 1999, the U.S. equity
market was characterized by:
* A narrow advance of primarily large-capitalization technology and
telecommunications stocks
* Continued outperformance of growth stocks versus value stocks
* Outperformance of large-capitalization stocks versus mid-cap and most
small-capitalization stocks
Market returns at the end of the period suggest that it moved sideways since
mid-year. This masks a market buffeted by concerns about rising inflation and
higher interest rates, yet supported by accelerating earnings growth.
Entering the second half of 1999, investor sentiment was still buoyed by the
fact that a global recession did not develop out of the prior year's financial
crisis in Asia, Latin America and Europe. U.S. economic growth remained strong
and evidence continued to emerge that the overseas economies were on the mend.
The broad market S&P 500 Index set a then new peak in July before surrendering
half of its gains over the balance of the third quarter. Interest rates began to
rise due to inflation worries brought on by the surprisingly strong U.S. economy
and the resuscitating global economies, dampening some of the equity market
optimism. The S&P 500 recovered to new highs in the fourth quarter, with the
Index led by a select group of technology and telecommunications stocks,
registering particularly strong gains in October and December.
As inflation worries prompted the Federal Reserve to notch interest rates
upward, investors sought the perceived safety of a small group of mostly
technology/growth stocks. Only five of the twelve market sectors had positive
returns in the last six months: Technology, Conglomerates, Communication
Services, Consumer Cyclicals and Basic Industries; only Technology,
Conglomerates and Communication Services outperformed the Index. For the year,
25 stocks accounted for the entire gain of the S&P 500 Index.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 18.94% versus 21.04%
for the S&P 500 Index and 12.72% for the S&P/BARRA Value Index.
Portfolio Specifics: Timely sector allocation and good stock selection, combined
with a disciplined portfolio management approach, produced the Fund's strong
investment performance. The Consumer Cyclical, Technology, Basic Industries, and
Retailing sectors contributed most. Holdings in Sun Microsystems, Texas
Instruments, Hewlett Packard, Sony, America Online and Nokia gave handsome
returns. The Fund's holdings in Alcoa, and Time Warner were equally strong.
Market Outlook: Though challenged more by interest rates the broadening market
is conducive for equity investment. The global economies are rebounding with
benign inflation, stimulating profitability and revenue growth for a wider
assortment of companies. This should gather momentum now that concerns over the
transition into the new Millennium are history.
4
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Portfolio
Manager's Report PILGRIM LARGECAP LEADERS FUND
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Average Annual Total Returns for the Periods
Ended December 31, 1999
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Since Inception Since Inception
of Class A, B and M of Class C
1 Year 9/1/95 6/17/99
------ ------ -------
Including Sales Charge:
Class A (1) 12.12% 18.68% --
Class B (2) 13.19% 19.18% --
Class C (3) -- -- 7.72%
Class M (4) 14.10% 18.73% --
Excluding Sales Charge:
Class A 18.94% 20.31% --
Class B 18.19% 19.43% --
Class C -- -- 8.68%
Class M 18.27% 19.71% --
S&P 500 Index 21.04% 26.99% 10.37%
S&P/BARRA Value Index 12.72% 20.57% 0.28%
The table above illustrates the total return of Pilgrim LargeCap Leaders Fund
against the S&P 500 Index and the S&P/Barra Value Index. The Indices have an
inherent performance advantage over the Fund since they have no cash in their
portfolios, impose no sales charges and incur no operating expenses. An investor
cannot invest directly in an index. The Fund's performance is shown both with
and without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the
since inception return.
(4) Reflects deduction of the maximum Class M sales charge of 3.50%.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities.
See accompanying index descriptions on page 40.
5
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U.S. Equity
Funds
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Portfolio
PILGRIM LARGECAP GROWTH FUND Manager's Report
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Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment
Officer, Global Equity Management; Andrew B. Gallagher, Partner, Portfolio
Manager; William H. Chenoweth, CFA, Partner, Portfolio Manager; Kenneth H. Lee,
Portfolio Manager; Trisha C. Schuster, CFA, Portfolio Manager; Thomas J. Smith,
CFA, Investment Analyst; Thomas J. Sullivan, Portfolio Manager.
Goal: The Large Cap Growth Fund seeks to maximize long-term capital appreciation
by investing primarily in stocks from a universe of U.S. companies with market
capitalizations corresponding to the upper 90% of the Russell 1000 Growth Index.
Market Overview: During the six-month period ending December 31, 1999, the U.S.
market was characterized by:
* a strong U.S. economy with subdued inflation
* outperformance of growth stocks versus value stocks
* investor preference for technology stocks
Sizzling returns among technology stocks lifted the S&P 500 Index and Nasdaq
Composite to record highs during the period. Large caps, as measured by the S&P
500, delivered their record fifth consecutive year of double-digit percentage
gains. The S&P 500 rose 7.7% in the six-month period while the Nasdaq Composite
gained 51.5%.
Amid continued strength in the US economy, the Federal Reserve Board raised
short-term interest rates by a quarter-percentage point three times since June,
reversing 1998's loose monetary policy. The interest-rate increases were aimed
at combating inflationary pressures.
Throughout 1999, stock selection remained critical as a narrow advance masked
broader market weakness. For example, 58% of NYSE, AMEX and Nasdaq common stocks
underperformed the S&P 500 by 15% or more over the past 12 months ending
December 1999. Disparate returns created an environment conducive to active
managers. In 1999, the average diversified US stock fund gained 27.5% versus
21.0% for the S&P 500 Index, the first time the average manager outpaced the
Index since 1993.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 96.41% compared to
33.16% for the Russell 1000 Growth Index for the same period.
Portfolio Specifics: Stock selection within the technology and health technology
sectors was the primary contributor to the fund's outperformance against the
Russell 1000 Growth Index in the period. Our investment in select issues within
the telecommunications, drugs/pharmaceuticals and biotechnology industries had a
significant contribution to returns. Among the fund's best-performing holdings
during the period were telecommunications equipment providers Qualcomm and
Nokia; computer hardware manufacturers Cisco Systems and Sun Microsystems; and
biotechnology firms Genentech and Amgen.
Market Outlook: The outlook for large-cap growth stocks remains encouraging
given low inflation and steady economic growth. We continue to find attractive
stocks meeting our strict criteria and remain confident that application of our
philosophy will continue to reward investors with long-term capital
appreciation.
6
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Portfolio
Manager's Report PILGRIM LARGECAP GROWTH FUND
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Average Annual Total Returns
for the periods ended
December 31, 1999
----------------------------
Since Inception
1 Year 7/21/97
------ -------
Including Sales Charge:
Class A (1) 85.11% 60.23%
Class B (2) 90.23% 62.51%
Class C (3) 94.18% 63.11%
Excluding Sales Charge:
Class A 96.41% 64.14%
Class B 95.23% 63.11%
Class C 95.18% 63.11%
Russell 1000 Growth Index 33.16% 29.05%
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim LargeCap Growth Fund against the Russell 1000 Growth Index.
The Index has an inherent performance advantage over the Fund since it has no
cash in its portfolio, imposes no sales charges and incurs no operating
expenses. An investor cannot invest directly in an index. The Fund's performance
is shown both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fees and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower has there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%
(2) Reflects deduction of the Class B deferred sales charge of 5% and 3%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1% for the 1
year return.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities.
See accompanying index descriptions on page 40.
7
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U.S. Equity
Funds
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Portfolio
PILGRIM MIDCAP VALUE FUND Manager's Report
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Portfolio Management Team: G. David Underwood, CFA, Vice President and Senior
Portfolio Manager; Robert M. Kloss, Equities Research Analyst.*
Goal: The MidCap Value Fund seeks long-term capital appreciation by investing
in a portfolio of attractively valued stocks of U.S. companies with market
capitalizations between $1.0 billion and $8.0 billion.
Market Overview: For the six-months ending December 31, 1999, the U.S. equity
market was characterized by:
* A narrow advance of primarily large-capitalization technology and
telecommunications stocks
* Continued outperformance of growth stocks versus value stocks
* Outperformance of large-capitalization stocks versus mid-cap and most small
capitalization stocks
Market returns at the end of the period suggest that it moved sideways since mid
year. This masks a market buffeted by concerns about rising inflation and higher
interest rates, yet supported by accelerating earnings growth.
Entering the second half of 1999, investor sentiment was still buoyed by the
fact that a global recession did not develop out of the prior year's financial
crisis in Asia, Latin America and Europe. U.S. economic growth remained strong
and evidence continued to emerge that the overseas economies were on the mend.
The broad market set a then new peak in July before surrendering half of its
gains over the balance of the third quarter. Interest rates began to rise due to
inflation worries brought on by the surprisingly strong U.S. economy and the
resuscitating global economies, dampening some of the equity market optimism.
The market recovered to new highs in the fourth quarter, led by a select group
of technology and telecommunications stocks, registering particularly strong
gains in October and December.
As inflation worries prompted the Federal Reserve to notch interest rates
upward, investors sought the perceived safety of a small group of mostly
technology/growth stocks. Only five of the twelve market sectors had positive
returns in the last six months: Technology, Conglomerates, Communication
Services, Consumer Cyclicals and Basic Industries; only Technology,
Conglomerates and Communication Services outperformed the Index.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, declined 7.32% versus an increase of 18.23% for
the Russell MidCap Index and a decline of 0.11% for the Russell MidCap Value
Index.
Portfolio Specifics: The current team assumed management of the Fund at the
beginning of October and restructured the portfolio consistent with revised
disciplines. Timely sector allocation and stock selections produced a much
improved investment performance. The Technology, Utilities, Basic Industries and
Consumer Noncyclical sectors performed very well. Holdings in General
Instrument, Parametric Technology, Broadwing, Champion International and
Convergys were major contributors.
Market Outlook: Though challenged more by interest rates the broadening market
is conducive for equity investment. The global economies are rebounding with
benign inflation, stimulating profitability and revenue growth for a wider
assortment of companies. This should gather momentum now that concerns over the
transition into the new Millennium are history.
* Effective October 1, 1999, Pilgrim Investments, Inc. began providing
investment advisory services directly for the Fund. Prior to that date the
Fund had been sub-advised by Cramer, Rosenthal, McGlynn LLC.
8
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Portfolio
Manager's Report PILGRIM MIDCAP VALUE FUND
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Average Annual Total Returns for the
Periods Ended December 31, 1999
----------------------------------------------
Since Inception Since Inception
of Class A, B and M of Class C
1 Year 9/1/95 6/2/99
------ ------ ------
Including Sales Charge:
Class A (1) -12.66% 9.77% --
Class B (2) -12.56% 10.11% --
Class C (3) -- -- -9.95%
Class M (4) -10.94% 9.78% --
Excluding Sales Charge:
Class A -7.32% 11.28% --
Class B -7.98% 10.44% --
Class C -- -- -9.04%
Class M -7.74% 10.68% --
Russell MidCap Index 18.23% 18.80% 10.94%
Russell MidCap Value Index -0.11% 14.73% -6.21%
The table above illustrates the total return of Pilgrim MidCap Value Fund
against the Russell Midcap Index and Russell MidCap Value Index. The Indices
have an inherent performance advantage over the Fund since they have no cash in
their portfolio, impose no sales charges and incur no operating expenses. An
investor cannot invest directly in an index. The Fund's performance is shown
both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the
since inception return.
(4) Reflects deduction of the maximum Class M sales charge of 3.50%.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities. To the extent the Fund invests in medium-sized
companies, it may entail greater price variability than investing in larger
companies.
See accompanying index descriptions on page 40.
9
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U.S. Equity
Funds
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Portfolio
PILGRIM MIDCAP GROWTH FUND Manager's Report
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Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment
Officer, Global Equity Management; William H. Chenoweth, CFA, Partner,
Portfolio Manager; Andrew B. Gallagher, Partner, Portfolio Manager; Kenneth H.
Lee, Portfolio Manager; Trisha C. Schuster, CFA, Portfolio Manager; Thomas J.
Smith, CFA, Investment Analyst; Thomas J. Sullivan, Portfolio Manager.
Goal: The Mid Cap Growth Fund seeks to maximize long-term capital appreciation
by investing at least 65% of its total assets in equity securities of
medium-sized U.S. companies, and at least 75% of its total assets in common
stocks.
Market Overview: During the six-month period ending December 31, 1999, the U.S.
stock market was characterized by:
* a strong US economy with subdued inflation
* outperformance of growth stocks versus value stocks
* investor preference for technology stocks
Following the downturn in large- and smaller-cap stocks in the third quarter, US
equity indexes from all market-capitalization segments posted impressive gains
in the fourth quarter. Escalating investor interest in mid cap growth stocks --
especially technology-related issues -- lifted them to double-digit gains that
outdistanced large-cap stocks. The Russell Midcap Growth Index gained 39.5% in
the fourth quarter and 51.3% in 1999 versus 14.9% and 21.0% for the larger-cap
S&P 500 over the same periods. Investors showed greater recognition for mid
caps' strong earnings growth rates and attractive relative valuations.
Amid continued strength in the US economy, the Federal Reserve Board raised
short-term interest rates by a quarter-percentage point three times since June,
reversing 1998's loose monetary policy. The interest-rate increases were aimed
at combating inflationary pressures.
Throughout 1999, stock selection remained critical as a narrow advance masked
broader market weakness. For example, 58% of NYSE, AMEX and Nasdaq common stocks
underperformed the S&P 500 by 15% or more over the 12 months ended December
1999.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 97.56% versus 51.29%
for the Russell Midcap Growth Index for the same period.
Portfolio Specifics: During the period, stock selection in the technology and
commercial/industrial sectors was the primary contributor to the fund's
outperformance versus the benchmark. Within the technology sector, our
investment in select issues within the software, telecommunications and
semiconductor industries had a significant contribution to returns. The Fund's
top-performing holdings in the period included Veritas Software and Verisign, a
provider of digital IDs designed to protect access to data and transactions sent
over the Internet, intranets, and extranets.
Market Outlook: The outlook for growth stocks remains encouraging given low
inflation and steady economic growth. We continue to find attractive stocks
meeting our strict criteria and remain confident that application of our
philosophy will continue to reward investors with long-term capital
appreciation.
10
<PAGE>
Portfolio
Manager's Report PILGRIM MIDCAP GROWTH FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns for
the Periods Ended December 31, 1999
--------------------------------------------------
Since Inception Since Inception
of Class A and C of Class B
1 Year 5 Year 4/19/93 5/31/95
------ ------ ------- -------
Including Sales Charge:
Class A (1) 86.22% 31.47% 22.99% --
Class B (2) 91.31% -- -- 32.47%
Class C (3) 95.29% 32.23% 23.31% --
Excluding Sales Charge:
Class A 97.56% 33.03% 24.08% --
Class B 96.31% -- -- 32.63%
Class C 96.29% 32.23% 23.31% --
Russell MidCap Growth Index 51.29% 28.02% 22.49%(4) 27.12%
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim MidCap Growth Fund against the Russell MidCap Growth Index.
The Index has an inherent performance advantage over the Fund since it has no
cash in its portfolio, imposes no sales charges and incurs no operating
expenses. An investor cannot invest directly in an index. The Fund's performance
is shown both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fees and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
(4) Since inception performance for index is shown from 4/30/93.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities. To the extent the Fund invests in mid-size companies,
stocks of mid-size companies may entail greater price variability than those of
larger companies.
See accompanying index descriptions on page 40.
11
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
Portfolio
PILGRIM SMALLCAP GROWTH FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment
Officer, Global Equity Management; Thomas E. Bleakley, Partner, Portfolio
Manager; John C. McCraw, Partner, Portfolio Manager; Paul E. Cluskey, Portfolio
Manager; Aaron M. Harris, Portfolio Manager; Travis Prentice, Investment
Analyst.
Goal: The SmallCap Growth Fund seeks to maximize long-term capital appreciation
by investing at least 65% of its total assets in equity securities of small
U.S. companies and at least 75% of its total assets in common stock.
Market Overview: During the six-month period ending December 31, 1999, the U.S.
stock market was characterized by:
* a strong U.S. economy with subdued inflation
* outperformance of growth stocks versus value stocks
* investor preference for technology stocks
Following the downturn in large- and smaller-cap stocks in the third quarter,
U.S. equity indices from all market-capitalization segments posted impressive
gains in the fourth quarter. Increased investor recognition of smaller-cap
growth stocks -- especially technology-related issues -- lifted them to
double-digit gains that outdistanced large-cap stocks. For example, the Russell
2000 Growth Index rose 33.4% and 43.1% in the fourth quarter and in 1999,
respectively. Those returns outpaced the S&P 500 Index's gain of 14.9% and 21.0%
for the same time periods. The tech-heavy Nasdaq Composite advanced 85.6% for
the year.
Despite the gains among technology stocks, relative PEs for smaller-cap stocks
versus larger caps reached record lows in 1999. While the discount eroded during
the later part of the year, smaller caps' relative PEs remain attractive.
Amid continued strength in the US economy, the Federal Reserve Board raised
short-term interest rates by a quarter-percentage point three times since June,
reversing 1998's loose monetary policy. The interest-rate increases were aimed
at combating inflationary pressures.
Performance: For the one year ended December 31, 1999 the Fund's Class A shares,
excluding sales charges, provided a total return of 89.97% compared to the
Russell 2000 Growth Index which returned 43.09% for the same period.
Portfolio Specifics: Stock selection in the technology sector was the primary
contributor to the fund's outperformance versus the Russell 2000 Growth Index.
Holdings in the commercial/industrial sector also had a positive impact on
returns. Within the technology sector, stock selection in the software,
telecommunications and semiconductor industries boosted performance in the
period. Among the fund's top-performing holdings included Mercury Interactive, a
manufacturer of computer network and web-based software. Legato Systems, a
software manufacturer and Infospace.com, an Internet and online content
provider, were also significant contributors to the fund's performance during
the period.
Market Outlook: The outlook for small-cap growth stocks remains encouraging
given low inflation and steady economic growth in the United States. We continue
to find attractive stocks meeting our strict investment criteria and remain
confident that the consistent application of our philosophy will continue to
reward investors with long-term capital appreciation. We are encouraged by
robust corporate earnings growth in 1999 and expectations for solid results in
2000.
12
<PAGE>
Portfolio
Manager's Report PILGRIM SMALLCAP GROWTH FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns for the Periods
Ended December 31, 1999
---------------------------------------------------
Since Inception Since Inception
of Class A and C of Class B
1 Year 5 Year 12/27/93 5/31/95
------ ------ -------- -------
Including Sales Charge:
Class A (1) 79.04% 26.94% 21.74% --
Class B (2) 83.85% -- -- 28.04%
Class C (3) 87.89% 27.70% 22.20% --
Excluding Sales Charge:
Class A 89.97% 28.45% 22.94% --
Class B 88.85% -- -- 28.22%
Class C 88.89% 27.70% 22.20% --
Russell 2000 Growth Index 43.09% 18.99% 15.12%(4) 18.76%
The table above illustrates the total return of Pilgrim SmallCap Growth Fund
against the Russell 2000 Growth Index. The Index has an inherent performance
advantage over the Fund since it has no cash in its portfolio, imposes no sales
charges and incurs no operating expenses. An investor cannot invest directly in
an index. The Fund's performance is shown both with and without the imposition
of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
(4) Since inception performance for index is shown form 12/31/93.
Principal Risk Factor(s): In exchange for higher growth potential, stocks of
smaller companies may entail greater price variability than those of larger
companies.
See accompanying index descriptions on page 40.
13
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
Portfolio
PILGRIM BANK AND THRIFT FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management Team: Carl Dorf, Senior Vice President and Senior
Portfolio Manager, Steven L. Rayner, CFA, CPA, Equity Research Analyst; Julia
Hamilton, Junior Research Analyst.
Goal: The Bank and Thrift Fund seeks long-term capital appreciation with income
as a secondary objective. The Fund invests at least 65% of its total assets in
equity securities of national and state-chartered banks (other than money-center
banks), thrifts, or their holding or parent companies, and in savings accounts
of mutual thrifts that may allow the Fund to participate in stock conversions of
the mutual thrift.
Market Overview: Financial stocks continue to underperform the overall market.
This sector has performed poorly for about two years following five excellent
years of performance. Large cap stocks have outperformed the smaller cap names
and in our opinion risk has not been factored into stock price performance but
liquidity has. Big has been beautiful and the momentum style of investing has
been in favor with the value style which we practice being out of favor.
During this twelve-month period of time the following sectors, which we believe
have above average risk, exhibited the strongest price performance in the
financial sector: Money Center Banks, Stock Brokers and Credit Card Companies.
We have little or no exposure to these areas and this has hurt our relative
performance. The financial sectors that have been among the poorest performers
this year were Regional Banks and Thrifts. By charter, we must have at least 65%
of our Fund in these sectors.
A slowdown in bank consolidation and recent concern over rising interest rates
has contributed to the poor performance of the sector.
Performance: For the one year ended December 31, 1999 the Fund's Class A shares,
excluding sales charges, declined 18.84%. The S&P Major Regional Banks Index
declined 14.26% and the NASDAQ 100 Financials Index declined 7.27%. During this
same time frame the S&P 500 rose 21.04% and the Dow Jones Industrials increased
27.20%.
Portfolio Specifics: The last twelve months' performance represents the most
dismal period that I can recall since I started to manage the Fund in January of
1991. Part of this poor performance comes from the sector being out of favor,
part from avoiding what I perceived as risk and part from some weak performance
in our non-bank and thrift holdings. I have substantially increased the Fund's
weighting in smaller cap names in anticipation of a pickup in bank
consolidation. Late in calendar 1998 we started to see net outflows from the
Fund that continued in 1999. This has forced us to be more active on the sell
side and we have had above average success in choosing these candidates.
We have continued to shift throughout the year into smaller cap bank and thrift
names that, in our opinion, offer better value than their large cap brethren do
and should benefit from an inevitable pickup in consolidation activity. This
shifting hurt our performance in 1999 but should benefit us this year when
consolidation picks up.
Market Outlook: The fundamentals that effect the industry are still very good.
The worsening of credit experience is coming from very favorable levels and is
still very low and only being experienced on a selective basis. We have paid
careful attention to credit quality in our stock selection and most of our
holdings are not experiencing any significant deterioration.
The market remains concerned that the Fed is not through raising interest rates.
In fact, prevailing wisdom seems to believe that there might be another 75 basis
point increase in 2000. Following this line of thinking, investors are now
showing increased concern over the impact that this is having and will have on
bank and thrift margins.
Consolidation should pick up again this year and help bank valuations. I believe
that the weakness in bank stock prices is delaying this since acquirers cannot
afford to pay the same valuations that potential sellers saw their peers receive
in the past. However, most deals are done for stock. Therefore, since the
acquirers stock is now selling at lower valuations, boards hopefully will come
to realize that even though the price/book and PE that they are being offered
are lower than they could have received in the past, the real value may not be.
When this comes to pass, consolidation should pick up.
I believe that on a fundamental basis the price reaction has been overdone. As
I have been saying for a long
14
<PAGE>
Portfolio
Manager's Report PILGRIM BANK AND THRIFT FUND
- --------------------------------------------------------------------------------
time, earnings estimates that the street was carrying were too high and had to
come down. They are. However, the banks and thrifts in our fund are still only
selling at about 9.3 times estimated earnings for 2000. How much lower do they
have to go?
We believe that our Fund currently offers exceptional opportunity on both an
absolute and a relative price basis at this time.
Average Annual Returns for the Periods
Ended December 31, 1999
--------------------------------------------
Since Inception
of Class B
1 Year 5 Year 10 Year 10/17/97
------ ------ ------- --------
Including Sales Charge:
Class A (1) -23.50% 21.20% 15.70% --
Class B (2) -23.00% -- -- -6.74%
Excluding Sales Charge:
Class A -18.84% 22.64% 16.39% --
Class B -19.47% -- -- -5.73%
S&P 500 Index 21.04% 28.51% 18.19% 23.94%
S&P Major Regional Banks Index -14.26% 25.08% 17.42% 1.22%
NASDAQ 100 Financial Index -7.27% 20.80% -- 0.78%
The table above illustrates the total return of Pilgrim Bank and Thrift Fund
against the S&P 500 Index and the S&P Major Regional Banks Index. In the table,
the Fund is also compared to the NASDAQ 100 Financial Index. This index does not
have 10 years of total return information available. The Indices have an
inherent performance advantage over the Fund since they have no cash in their
portfolio, impose no sales charges and incur no operating expenses. An investor
cannot invest directly in an index. The Fund's performance is shown both with
and without the imposition of sales charges.
Prior to October 20, 1997, the Fund operated as a closed-end investment company.
All performance information prior to this date reflects the historical expense
levels of the Fund as a closed-end investment company without adjustment for the
higher annual expenses of the Fund's Class A shares. Performance would have been
lower if adjusted for these charges and expenses. Ten-year returns assume no
participation in the 1992 rights offering and full participation in the 1993
rights offering, and reflect an additional investment of $3,639 into the fund. A
simultaneous investment of the same amount is included in each index for
comparative reasons.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 3%,
respectively, for the 1 year and since inception returns.
Principal Risk Factor(s): Because the Fund's portfolio is concentrated in the
banking and thrift industry, it may be subject to greater risk than a portfolio
that is not concentrated in one industry.
See accompanying index descriptions on page 40.
15
<PAGE>
- -------------
International
Equity Funds
- -------------
Portfolio
PILGRIM WORLDWIDE GROWTH FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment
Officer, Global Equity Management; Lawrence S. Speidell, CFA, Partner, Director
of Global/Systematic Portfolio Management and Research; Andrew B. Gallagher,
Partner, Portfolio Manager; Loretta Morris, Partner, Portfolio Manager; Randall
Kahn, CFA, Portfolio Manager; Pedro V. Marcal, Partner, Portfolio Manager; Jason
Campbell, Portfolio Manager; Melisa Grigolite, Portfolio Manager; Jessica
Goncalves, Portfolio Manager; Ernesto Ramos, Portfolio Manager; Christopher
Angioletti, Investment Analyst; Jon Borchardt, Investment Analyst; John Bracken,
Jr., Investment Analyst; Theodora Jamison, Investment Analyst; David Lopez,
Investment Analyst; John Mazur, Investment Analyst; Andrew Parmet, Investment
Analyst; Jacob Pozharny, Investment Analyst; Rolf Schild, Investment Analyst.
Goal: The Worldwide Growth Fund seeks to maximize long-term capital appreciation
by investing at least 65% of its total assets in securities of issuers located
in at least three different countries, one of which may be the U.S.
Market Overview: A favorable mix of themes propelled equity markets worldwide in
the six-month period ending December 31, 1999: a strong U.S. economy with
subdued inflation; global economic recoveries; robust growth in technology and
telecommunications; brisk pace of mergers and acquisitions in Europe; corporate
restructuring and the resurgence of economic growth in Japan; and continued
implementation of structural reforms in non-Japan Asia.
Amid the pick-up in economic growth in many countries, central banks in the
United States and Europe moved to increase interest rates to combat potential
inflationary pressures during the fourth quarter, reversing 1998's loose
monetary policy. In November, the European Central Bank raised interest rates by
50 basis points for the 11-member Economic Monetary Union. Policymakers in the
United Kingdom, Australia, Denmark, Sweden and the United States also hiked
rates in the period. In the United States, strong returns among technology
stocks drove equity prices higher for most of the six-month period ending
December 31. The S&P 500 Index rose 7.7% while the Nasdaq Composite Index rose
51.5%.
Developed non-U.S. markets also posted gains, with the MSCI EAFE Index rising
22.1% in the period. For the first time since 1994, the EAFE Index outperformed
the S&P 500 Index in 1999, rising 27.0% versus 21.0% for the S&P 500. Returns
among emerging markets were even better, with the MSCI Emerging Markets Free
Index rising 66.2% for the year.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 83.52% compared to
23.56% for the MSCI World Index for the same period.
Portfolio Specifics: Stock selection in the United States and Japan was the
primary driver of the fund's outperformance in the period. Significant gains
among holdings in the technology, commercial/industrial and health technology
sectors also contributed to the fund's returns. At year end, our weighting in
the United States was approximately 45.3%, 30.2% in Europe and 17.3% in Japan.
We continued to uncover promising opportunities on a company-by-company basis in
these areas.
Market Outlook: The long-term outlook for worldwide investing remains promising.
In the United States, the potent combination of robust economic growth and tame
inflation creates an ideal investment environment. In Japan and the rest of
Asia, as well as in Europe, significant changes in the areas of structural
reform, corporate restructuring and consolidation are helping companies with a
competitive advantage thrive. Increased distribution capabilities brought on by
the technology revolution, especially with the growth of the Internet, also
contribute to brighter prospects for companies worldwide. These themes present
exciting opportunities for diligent stock pickers.
16
<PAGE>
Portfolio
Manager's Report PILGRIM WORLDWIDE GROWTH FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns for the Periods
Ended December 31, 1999
-----------------------------------------------------
Since Inception Since Inception
of Class A and C of Class B
1 Year 5 Year 4/19/93 5/31/95
------ ------ ------- -------
Including Sales Charge:
Class A (1) 72.95% 30.39% 24.78% --
Class B (2) 77.26% -- -- 32.79%
Class C (3) 81.35% 31.11% 25.09% --
Excluding Sales Charge:
Class A 83.52% 31.95% 25.88% --
Class B 82.26% -- -- 32.95%
Class C 82.35% 31.11% 25.09% --
MSCI World Index 23.56% 18.09% 14.87% 17.77%
The table above illustrates the total return of Pilgrim Worldwide Growth Fund
against the Morgan Stanley Capital International (MSCI) World Index. The Index
has an inherent performance advantage over the Fund since it has no cash in its
portfolio, imposes no sales charges and incurs no operating expenses. An
investor cannot invest directly in an index. The Fund's performance is shown
both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fees and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
Principal Risk Factor(s): International investing does pose special risks,
including currency fluctuation, economic and political risks not found in
investments that are solely domestic.
The Fund may invest in companies located in countries with emerging securities
markets when the sub-advisor believes they present attractive invesment
opportunities. Risks of foreign investing are generally intensified for
investments in emerging markets.
See accompanying index descriptions on page 40.
17
<PAGE>
- -------------
International
Equity Funds
- -------------
PILGRIM INTERNATIONAL Portfolio
CORE GROWTH FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment
Officer, Global Equity Management; Lawrence S. Speidell, CFA, Partner, Portfolio
Manager; Loretta Morris, Partner, Portfolio Manager; Randall Kahn, CFA,
Portfolio Manager; Pedro V. Marcal, Partner, Portfolio Manager; Jason Campbell,
Portfolio Manager; Melisa Grigolite, Portfolio Manager; Jessica Goncalves,
Portfolio Manager; Ernesto Ramos, Portfolio Manager; Christopher Angioletti,
Investment Analyst; Jon Borchardt, Investment Analyst; John Bracken, Jr.,
Investment Analyst; Investment Analyst; Theodora Jamison, Investment Analyst;
David Lopez, Investment Analyst; John Mazur, Investment Analyst; Andrew Parmet,
Investment Analyst; Jacob Pozharny, Investment Analyst; Rolf Schild, Investment
Analyst.
Goal: The International Core Growth Fund seeks maximum long-term capital
appreciation through investments primarily in companies located outside of the
United States and whose capitalizations are in the top 75% of publicly-traded
companies in their countries.
Market Overview: A mixture of themes propelled international equity markets in
the fourth quarter: a strong US economy with subdued inflation; global economic
recoveries; robust growth in technology and telecommunications; brisk pace of
mergers and acquisitions in Europe; corporate restructuring and the resurgence
of economic growth in Japan; and continued implementation of structural reforms
in non-Japan Asia.
Amid the pick-up in economic growth in many countries, central banks in the
United States and Europe moved to increase interest rates to combat potential
inflationary pressures during the fourth quarter, reversing 1998's loose
monetary policy. In November, the European Central Bank raised interest rates by
50 basis points for the 11-member Economic Monetary Union. Policymakers in the
United Kingdom, Australia, Denmark, Sweden and the United States also hiked
rates in November.
Developed non-US markets posted gains, with the MSCI EAFE Index rising 22.1%.
For the first time since 1994, the EAFE Index outperformed the S&P 500 Index in
1999, rising 25.0% versus 21.0% for the S&P 500. Returns among emerging markets
were even better, with the MSCI Emerging Markets Free Index rising 66.2% for the
year.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 66.69% compared to
the MSCI EAFE Index, which returned 25.27% for the same period.
Portfolio Specifics: Stock selection in Japan was the primary contributor to the
fund's outperformance versus the Index in the period. Stock selection in the
United Kingdom, the Netherlands, Finland, Italy and South Korea also boosted
returns. Holdings in technology were the top contributors to performance.
Holdings in the commercial/industrial, retail trade and consumer services
sectors also contributed to returns. At year end, we had an approximate 56.0%
weighting in Europe from 54.7% at the end of June, as we continued to uncover
attractive investment opportunities on a company-by-company basis in the region.
We reduced our weighting in Japan in the period but maintained a slight
overweight position of 28.8% versus 27.4% for the Index.
Market Outlook: The long-term outlook for international investing remains
promising. In Japan and the rest of Asia, as well as in Europe, significant
changes in the areas of structural reform, corporate restructuring and
consolidation are helping companies with a competitive advantage thrive.
Increased distribution capabilities brought on by the technology revolution,
especially with the growth of the Internet, should also contribute to brighter
prospects for companies worldwide. These themes present exciting opportunities
for diligent stock pickers.
18
<PAGE>
Portfolio PILGRIM INTERNATIONAL
Manager's Report CORE GROWTH FUND
- --------------------------------------------------------------------------------
Average Annual Total
Returns for the Periods
Ended December 31, 1999
-------------------------
Since Inception
1 Year 2/28/97
------ -------
Including Sales Charge:
Class A (1) 57.13% 32.97%
Class B (2) 60.45% 34.36%
Class C (3) 64.56% 34.74%
Excluding Sales Charge:
Class A 66.69% 35.76%
Class B 65.45% 34.97%
Class C 65.56% 34.74%
MSCI EAFE Index 25.27% 15.83%
The table above illustrates the total return of Pilgrim International Core
Growth Fund against the Morgan Stanley Capital International Europe, Australia,
Far East Index. The Index has an inherent performance advantage over the Fund
since it has no cash in its portfolio, imposes no sales charges and incurs no
operating expenses. An investor cannot invest directly in an index. The Fund's
performance is shown both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 3%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
Principal Risk Factor(s): International investing does pose special risks,
including currency fluctuation, economic and political risks not found in
investments that are solely domestic.
The Fund may invest in companies located in countries with emerging securities
markets when the sub-advisor believes they present attractive invesment
opportunities. Risks of foreign investing are generally intensified for
investments in emerging markets.
See accompanying index descriptions on page 40.
19
<PAGE>
- -------------
International
Equity Funds
- -------------
PILGRIM INTERNATIONAL Portfolio
SMALLCAP GROWTH FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment
Officer, Global Equity Management; Lawrence S. Speidell, CFA, Partner, Portfolio
Manager; Loretta Morris, Partner, Portfolio Manager; Randall Kahn, CFA,
Portfolio Manager; Pedro V. Marcal, Partner, Portfolio Manager; Jason Campbell,
Portfolio Manager; Jessica Goncalves, Portfolio Manager; Melisa Grigolite,
Portfolio Manager; Ernesto Ramos, Ph.D., Portfolio Manager; Christopher
Angioletti, Investment Analyst; Jon Borchardt, Investment Analyst; John Bracken,
Jr., Investment Analyst; Investment Analyst; Theodora Jamison, Investment
Analyst; David Lopez, Investment Analyst; John Mazur, Investment Analyst; Andrew
Parmet, Investment Analyst; Jacob Pozharny, Investment Analyst; Rolf Schild,
Investment Analyst.
Goal: The International Small Cap Growth Fund seeks to maximize long-term
capital appreciation through investing primarily in companies located outside
the United States corresponding to the lower 25% market capitalization within
each country with a maximum market cap of $5 billion.
Market Overview: A mixture of themes propelled non-US equity markets in the
fourth quarter: a strong US economy with subdued inflation; global economic
recoveries; robust growth in technology and telecommunications; brisk pace of
mergers and acquisitions in Europe; corporate restructuring and the resurgence
of economic growth in Japan; and continued implementation of structural reforms
in non-Japan Asia.
Amid the pick-up in economic growth in many countries, central banks in the
United States, Europe and Australia moved to increase interest rates to combat
potential inflationary pressures in the fourth quarter, reversing 1998's loose
monetary policy.
International small caps benefited from the favorable investment environment
around the world, presenting exciting opportunities for diligent stock pickers.
For example, small caps within the Europe, Australasia, Far East (EAFE) region
advanced 17.6% year to date through December 31, 1999, as measured by the Morgan
Stanley Capital International (MSCI) EAFE Index. Among the biggest gainers for
the year was Singapore, with the MSCI Singapore Small Cap Index rising 68.4% in
1999.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sale charges, gained 121.9% versus 23.2% for the Salomon
EPAC/EMI (Europe Pacific Australasia Composite Extended Market Index).
Portfolio Specifics: Stock selection and overweighting in Japan were major
drivers of the fund's outperformance. Stock selection in the United Kingdom and
France also boosted returns. Our holdings in technology were the most
significant contributors to performance during the period as we continued to
find stocks with strong fundamentals in the sector. Holdings in the
commercial/industrial, utilities and financial services sectors also bolstered
performance.
At year end, we significantly increased our weighting in Europe, from 47.0% at
the end of June to 57.3% at year end. We continued to identify strong investment
candidates in the region based on our bottom-up stock selection approach. We
trimmed our exposure in Japan as we uncovered better opportunities in Europe
during the period. However, we maintained an overweight position in Japan versus
the Salomon EPAC/EMI Index.
Market Outlook: A variety of factors contribute to our optimism regarding the
outlook for international small-cap investing: expectations for a continued
pick-up in economic growth in many countries; corporate restructuring;
privatization and deregulation; and the continued brisk pace of mergers and
acquisitions. In this environment, our bottom-up search for stocks successfully
adapting to change continues to uncover promising investment opportunities
20
<PAGE>
Portfolio PILGRIM INTERNATIONAL
Manager's Report SMALLCAP GROWTH FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns for the Periods
Ended December 31, 1999
--------------------------------------------
Since Inception
of Class B
1 Year 5 Year 5/31/95
------ ------ -------
Including Sales Charge:
Class A (1) 109.14% 31.89% --
Class B (2) 115.22% -- 35.89%
Class C (3) 119.11% 32.30% --
Excluding Sales Charge:
Class A 121.93% 33.46% --
Class B 120.22% -- 36.04%
Class C 120.11% 32.30% --
Salomon EPAC EM Index 23.19% 7.08% 7.64%
The table above illustrates the total return of Pilgrim International SmallCap
Growth Fund against the Salomon EPAC Extended Market Index. The Index has an
inherent performance advantage over the Fund since it has no cash in its
portfolio, imposes no sales charges and incurs no operating expenses. An
investor cannot invest directly in an index. The Fund's performance is shown
both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
Principal Risk Factor(s): International investing does pose special risks,
including currency fluctuation, economic and political risks not found in
investments that are solely domestic. In exchange for higher growth potential,
stocks of smaller companies may entail greater price variability than those of
larger companies. The Fund may invest in companies located in countries with
emerging securities markets when the sub-adviser believes they present
attractive investment opportunities. Risks of foreign investing are generally
intensified for investments in emerging markets.
See accompanying index descriptions on page 40.
21
<PAGE>
- -------------
International
Equity Funds
- -------------
Portfolio
PILGRIM EMERGING COUNTRIES FUND Manager's Report
- --------------------------------------------------------------------------------
Pilgrim Management Team: Catherine Somhegyi, Partner, Chief Investment Officer,
Global Equity Management; Lawrence S. Speidell, CFA, Partner, Director of
Global/Systematic Portfolio Management and Research; Pedro V. Marcal, Partner,
Portfolio Manager; Ernesto Ramos, Ph.D., Portfolio Manager; Jessica Goncalves,
Portfolio Manager; Jason Campbell, Portfolio Manager; Theodora Jamison,
Investment Analyst; John Mazur, Investment Analyst; Andrew Parmet, Investment
Analyst.
Goal: The Emerging Countries Fund seeks to provide long-term capital
appreciation through investing in companies of developing countries around the
world.
Market Overview: Devastating earthquakes in Turkey and Taiwan, as well as fears
of higher interest rates in the United States sent equity markets in many
emerging countries lower in the third quarter. However, investor interest in the
asset class returned in the fourth quarter amid attractive fundamentals.
Evidence of stronger consumer demand, rising exports and continued economic
improvement among the world's emerging countries contributed to strong returns
during the six-month period ending December 31, 1999. Gains among technology
stocks, especially within the telecommunications industry, also bolstered stock
market performance in a number of the world's emerging markets. Stock Exchanges
in Asia, Latin America and the Europe, Middle East and Africa (EMEA) region
delivered spectacular gains in 1999, as measured in U.S. dollars. Improving
economic growth in Japan and Europe and the U.S. economy's continued robust
growth contributed to strong performance among emerging markets.
In Latin America, improving economic fundamentals and increasing earnings growth
in 1999 were somewhat overshadowed by the negative effects of rising U.S.
interest rates on the region and concerns regarding the political environment.
Markets in Emerging European countries benefited from the acceleration in
economic growth in many developed European economies.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 75.80% compared to
63.70% for the MSCI EMF Index for the same period.
Portfolio Specifics: Stock selection in India, South Korea and Mexico
significantly bolstered performance in the period. Holdings in the technology,
commercial/industrial and consumer services sectors were the top contributors to
returns. At year end, we had an approximate 39.3% weighting in Asia, 24.0% in
Latin America and 26.8% in Emerging Europe. We slightly trimmed our weighting in
Asia and increased our positions in Emerging Europe and Latin America. Among the
fund's best-performing holdings were Infosys Technologies and Samsung
Electronics. India-based Infosys is a contract software programmer whose client
list includes blue-chip companies in the United States. Samsung, based in S.
Korea, is the world's largest maker of dynamic random access memory (DRAM)
chips. Both companies are expected to benefit from the robust growth in
technology worldwide.
Market Outlook: The dynamic nature of emerging countries underscores the
importance of individual security selection. With an investment philosophy
focused on identifying individual companies successfully adapting to change, we
believe we are well positioned to distinguish the winners from the laggards and
extend our long-term performance excellence in the world's emerging markets.
22
<PAGE>
Portfolio
Manager's Report PILGRIM EMERGING COUNTRIES FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns for the Periods
Ended December 31, 1999
----------------------------------------------
Since Inception Since Inception
of Class A and C of Class B
1 Year 11/28/94 5/31/95
------ -------- -------
Including Sales Charge:
Class A (1) 65.74% 12.58% --
Class B (2) 69.71% -- 14.66%
Class C (3) 73.71% 12.89% --
Excluding Sales Charge:
Class A 75.80% 13.89% --
Class B 74.71% -- 14.93%
Class C 74.71% 12.89% --
MSCI EMF Index 63.70% -1.77% 0.84%
The table above illustrates the total return of Pilgrim Emerging Countries Fund
against the Morgan Stanley Capital International Emerging Markets Free (MSCI
EMF) Index. The Index has an inherent performance advantage over the Fund since
it has no cash in its portfolio, imposes no sales charges and incurs no
operating expenses. An investor cannot invest directly in an index. The Fund's
performance is shown both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
Principal Risk Factor(s): International investing does pose special risks,
including currency fluctuation, economic and political risks not found in
investments that are solely domestic. Risks of foreign investing are generally
intensified for investments in emerging markets.
See accompanying index descriptions on page 40.
23
<PAGE>
- -------------
International
Equity Funds
- -------------
Portfolio
PILGRIM ASIA-PACIFIC EQUITY FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management Team: David Stuart, Regional Chief Investment Officer; Man
Wing Chung, Chief Investment Officer, Asia ex-Japan; Marcus Pakenham, Director;
Richard Wong, Associate Director; Simon Yap, Associate Director; Seng Keong Wan,
Senior Investment Manager; Leilani Lam, Senior Investment Manager; Vernon Yu,
Investment Manager; Sebestian Chia, Investment Manager; Sherwin Soo, Investment
Manager; Losa Mak, Investment Manager.
Goal: The Asia-Pacific Equity Fund seeks long-term capital appreciation by
investing in equity securities listed on stock exchanges in the Asia-Pacific
region or issued by companies based in this region.
Market Overview: During the review period ending December 31, 1999, the Asian
stock markets put up mixed performances. Most of the gains were reported during
the latter part of year on the back of buoyant liquidity and pre-Y2K optimism.
The larger markets were major beneficiaries of foreign money pouring into Asia,
particularly in sectors/stocks that were telecom, IT or internet-related. Hong
Kong was the best performer, up 25% on the Hang Seng Index in the third and
fourth quarters of 1999, driven by positive news including Hutchinson's sale of
Orange, the confirmation of the Disney Theme Park, and China's entry into the
WTO. Furthermore, Hong Kong was perceived to be a safe haven over the
millennium. Korea also made gains on abundant liquidity, Moody's upgrade of five
banks, success of the W20 trillion Bond Market Stabilization Fund, and S&P's
upgrade of Korea's sovereign rating. Singapore was helped by its GDP upward
revision, successful dual listing of Chartered Semiconductor, regional
acquisition by DBS, and SIA's purchase of a 49% stake in the UK-incorporated
Virgin Airlines. Indonesia eased initially due to political unrest and the
"Baligate" scandal, but the index rebounded on domestic liquidity inflows with
declining interest rates and political stability. MSCI's re-inclusion of
Malaysia offered some hope of new stability. But there was a steady sell-down of
the market as investors took advantage of the tax-free conversion of the
principal sum to exit the market with the lifting of controls. Taiwan was hit by
one of the most serious earthquakes in 100 years, and investors were concerned
over the ramifications. The index was also affected by MSCI's decision to
postpone inclusion of Taiwan's weighting in its global indices from February to
May 31 and in stages. In the third and fourth quarters of 1999, Thailand eased
8% on the SET index on concerns over the weak operating profitability of the
banking system, and unexpected capital-raising plans announced by some companies
despite a strong rally in the fourth quarter. Philippines, down 14% on the
Composite index during the period under review, was the weakest of the Asian
markets as investors' confidence was worsened by disappointing economic numbers
and negative suggestions on the return of cronyism.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 74.41% compared to
59.40% for the Morgan Stanley Capital International All Countries Far East Free
ex-Japan Index (the "MSCI").
Portfolio Specifics: Correct overweight in larger markets such as HK and
Singapore, which benefited from the flush of international liquidity into Y2K
havens, lifted the fund's performance. Correct bias towards high-tech,
electronics, or internet-related concept sectors also helped. Looking ahead,
country allocation will continue bias towards North Asian markets such as Taiwan
and Korea. Taiwan's strong export growth and healthy corporate earnings should
underpin its equity markets, while Korea will benefit from the government's
desire to maintain its currently loose monetary policy. In terms of stock
selection, focus will be on restructuring concepts and new "growth-oriented"
issues such as internet or IT-related companies.
Market Outlook: With Y2K behind us, investors should now be able to re-weigh
their positions in accordance with the fundamental picture, which should augur
well for Asia. In the short term, the markets will be susceptible to profit
taking and interest rate driven volatility, but the long-term outlook remains
positive. Global growth should provide a favorable backdrop to equities, while
domestic restructuring and reinvention will result in better returns to
shareholders. We view Asia as attractive among global equities.
24
<PAGE>
Portfolio
Manager's Report PILGRIM ASIA-PACIFIC EQUITY FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns for the
periods ended December 31, 1999
------------------------------------
Since Inception
1 year 3 year 9/1/95
------ ------ ------
Including Sales Charge:
Class A (1) 64.46% -7.90% -3.80%
Class B (2) 68.00% -7.79% -3.72%
Class M (3) 67.37% -7.78% -3.86%
Excluding Sales Charge:
Class A 74.41% -6.05% -2.48%
Class B 73.00% -6.84% -3.27%
Class M 73.36% -6.68% -3.08%
MSCI Far East Free Ex-Japan Index 59.40% -6.98% -2.14%
The table above illustrates the total return of Pilgrim Asia-Pacific Equity Fund
against the MSCI Far East Ex-Japan Index. The index has an inherent performance
advantage over the Fund since it has no cash in its portfolio, imposes no sales
charge and incurs no operating expenses. An investor cannot invest directly in
an index. The Fund's performance is shown both with and without the imposition
of the maximum sales load.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "foward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%
(2) Reflect deduction of the Class B deferred sales charge of 5%, 3% and 2%,
respectively, for the 1 year, 3 year and since inception returns.
(3) Reflects deduction of the Class M maximum sales charge of 3.50%
Principal Risk Factor(s): Currency fluctuations, economic and political risks of
foreign investing. There are also risks associated with investing in a
specialized regional fund. Currency devaluation in any one country may have a
significant effect on the entire region. Increased political or social unrest in
some or all Asian countries could cause further economic and market uncertainty.
See accompanying index descriptions on page 40.
25
<PAGE>
- ------
Income
Funds
- ------
PILGRIM GOVERNMENT Portfolio
SECURITIES INCOME FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management: Robert K. Kinsey, Vice President and Senior Portfolio
Manager
Goals: The Government Securities Income Fund seeks high current income,
consistent with liquidity and preservation of capital, by investing in
securities issued or guaranteed by the U.S. Government and certain of its
agencies and instrumentalities.
Bond Market Overview: 1999 was a tough year for bonds by any measure: the thirty
year Treasury posted its worse return since 1974 while the Lehman Aggregate
Index experienced returns nearly as bad as 1994. The summer months witnessed a
spread rout nearly as bad as 1998's debacle. Liquidity returned to the
investment grade arena with a vengeance during the 4th Quarter. Spreads
tightened across the board as managers re-discovered an appetite for risk, and
mortgages posted healthy relative returns. However, a very robust domestic
economy and Fed tightenings pushed rates higher. By mid December Y2K concern
drained liquidity from the bond market as both the buy-side and the sell-side
shifted into hibernation.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, declined 1.17%, compared to an increase of
1.93% for the Lehman Government/Mortgage Index and 0.49% for the Lehman
Intermediate Treasury Index.
Portfolio Specifics: The duration of the fund remained short of the Lehman
Mortgage Index, yet longer than the Lehman Intermediate Treasury Index in order
to maintain our dividend. Happily our duration was shorter than many of our
competitors during a period of rising rates. The fund continues to be
concentrated in mortgage backed securities; however, we have added FNMA bonds
collateralized by multi-family properties and non-callable agencies at
compelling levels. Super premium mortgages were reduced to a de minimis position
early in the quarter.
Market Outlook: We are poised to shorten our duration with the onset of the new
year as we anticipate further central bank tightening here and abroad in 2000.
The fund continues to offer a handsome yield advantage over Treasuries. Owing to
our restrictive guidelines, our ongoing strategy is to provide the best dividend
possible within the context of the market and with few, if any negative
surprises. Given the fact that mortgage backed securities offer only fair value,
we will continue to exploit market inefficiencies in the multi-family sector of
the government market while avoiding large duration bets.
26
<PAGE>
Portfolio PILGRIM GOVERNMENT
Manager's Report SECURITIES INCOME FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Returns for the Periods
Ended December 31, 1999
--------------------------------------------------------------
Since Inception Since Inception
of Class B and M of Class C
1 Year 5 Year 10 Year 7/17/95 6/11/99
------ ------ ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Including Sales Charge:
Class A (1) -5.86% 4.73% 5.14% -- --
Class B (2) -6.56% -- -- 3.18% --
Class C (3) -- -- -- -- 0.04%
Class M (4) -4.86% -- -- 3.08% --
Excluding Sales Charge:
Class A -1.17% 5.75% 5.66% -- --
Class B -1.92% -- -- 3.55% --
Class C -- -- -- -- 1.02%
Class M -1.68% -- -- 3.86% --
Lehman Government/Mortgage Index 1.93% 8.08% 7.87% 6.63%(5) 2.27%
Lehman Intermediate Treasury Index 0.49% 6.93% 7.09% 5.77% 1.15%
</TABLE>
The table above illustrates the total return of Pilgrim Government Securities
Income Fund against the Lehman Government/Mortgage Index and the Lehman
Intermediate Treasury Index. The Indices have an inherent performance advantage
over the Fund since they have no cash in their portfolios, impose no sales
charges and incur no operating expenses. An investor cannot invest directly in
an index. The Fund's performance is shown both with and without the imposition
of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 4.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the
since inception return.
(4) Reflects deduction of the maximum Class M sales charge of 3.25%.
(5) Since inception performance is shown from 7/31/95.
Principal Risk Factor(s): Exposure to financial, market and interest rate risks
and prepayment risk on mortgage-related securities. Fluctuations in the value of
the Fund's shares can be expected in response to changes in interest rates. The
value of an investment in the Fund is not guaranteed and will fluctuate.
See accompanying index descriptions on page 40.
27
<PAGE>
- ------
Income
Funds
- ------
Portfolio
PILGRIM STRATEGIC INCOME FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management Team: Robert K. Kinsey, Vice President and Senior Portfolio
Manager; Kevin Mathews, Senior Vice President and Senior Portfolio Manager.
Goals: Pilgrim Strategic Income Fund seeks maximum total return by investing
primarily in debt securities issued by U. S. and foreign entities, as well as
U. S. and foreign governments and their agencies and instrumentalities, that
are rated investment grade by a nationally recognized statistical rating
agency, or of comparable quality if unrated. Up to 40% of the fund's assets may
be invested in high yield securities rated below investment grade.
Bond Market Overview: 1999 was a tough year for bonds by any measure: The summer
months witnessed a spread rout nearly as bad as 1998's debacle. Liquidity
returned to the investment grade arena with a vengeance during the 4th Quarter.
Spreads tightened across the board as managers re-discovered an appetite for
risk, and mortgages posted healthy relative returns. However, a very robust
domestic economy and Fed tightenings pushed rates higher. By mid December Y2K
concern drained liquidity from the bond market as both the buy-side and the
sell-side shifted into hibernation.
At the end of 1999, fixed income managers stepped back to assess the damage. The
thirty year Treasury posted its worst return since 1974 while the Lehman
Aggregate Index experienced returns nearly as bad as 1994. The high yield
market, in contrast, escaped the year in better shape. High yield spreads in the
second half of the year remained relatively unchanged but the higher coupon
helped to offset the decline in prices.
High yield managers were rewarded for being risk adverse in the second half of
1999 as high yield defaults increased. Defaults were driven by company specific
issues and did not reflect upon the overall health of the high yield market. The
Merrill Lynch Triple-C/Double-C/Single-C index underperformed the Single-B index
by 10.6% for the six months ending December 31, 1999.
A total of 119 new issues came to the market in the second half of 1999,
representing $35 billion dollars. Outflows from mutual funds caused high yield
demand and issuance to be below last year's pace. New issuance was dominated by
large deals in benchmark high yield names such as Allied Waste, Nextel,
Nextlink, and Global Crossing to name a few.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, declined 1.16% compared to the Lehman Brothers
Aggregate Index which was down 0.82%.
Portfolio Specifics: The duration of the Fund remained short of the Lehman
Aggregate Index up until December at which time we adopted a neutral stance. As
a rule the last few weeks of any given year are a perilous time to stray too far
away from a benchmark's duration. We exploited the year-end drought in liquidity
by adding collateralized mortgage backed securities, some puttable paper, and
other corporate paper at compelling levels.
In the high yield portion of the Fund we continue to look for smaller positions
to eliminate and consolidate with existing holdings. The focus of the high yield
portfolio has been on the Communications sector, and secondarily on Media and
Cable credits. The average credit rating of the high yield portion is Single-B
which we are comfortable with given our belief that the economy will continue to
grow without overheating, and that inflation will remain subdued. Our efforts in
the coming months will be focused on those issuers that will benefit from the
continuing demand for increased bandwidth in Communications by both consumers
and business. The high yield portion of the Fund will continue to be fully
invested as the market looks attractively priced.
Market Outlook: We are poised to shorten our duration with the onset of the new
year as we anticipate further central bank tightening here and abroad in 2000.
The high grade portion of the Fund is heavily overweighted in spread product and
we have added less-liquid, lower quality names in anticipation of their
outperformance in the first quarter of 2000. Mortgage backed securities appear
to only offer fair value at this juncture, and we are close to neutral to the
Lehman Aggregate Index vis a vis this sector.
The FOMC has worked diligently to maintain steady, non-inflationary growth. In
another month, the U.S. economy will surpass the 106 month record for the
longest economic expansion ever. There is a high
28
<PAGE>
Portfolio
Manager's Report PILGRIM STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
probability that the FOMC will raise the Federal Funds rate further in the first
half of 2000. The purpose of the increase(s) will be to moderate economic growth
and to prevent any rise in inflation. If the FOMC has continued success in
maintaining non-inflationary growth, interest rates should stabilize. An
environment of stable interest rates and moderate inflation should prove
positive for high yield bonds.
Average Annual Total Returns
for the Periods Ended
December 31, 1999
----------------------------
Since Inception
1 Year 7/27/98
Including Sales Charge:
Class A (1) -5.83% -1.74%
Class B (2) -6.15% -1.29%
Class C (3) -2.46% 1.31%
Excluding Sales Charge:
Class A -1.16% 1.65%
Class B -1.50% 1.31%
Class C -1.53% 1.31%
Lehman Brothers Aggregate Index -0.82% 2.37%
The table above illustrates the total return of Pilgrim Strategic Income Fund
against the Lehman Brothers Aggregate Index. The Index has an inherent
performance advantage over the Fund since it has no cash in its portfolio,
imposes no sales charges and incurs no operating expenses. An investor cannot
invest directly in an index. The Fund's performance is shown both with and
without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 4.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 4%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00%.
Principal Risk Factor(s): High yield bonds have exposure to financial, market
and interest rate risks. High yields reflect the higher credit risks associated
with certain lower rated securities in the Fund's portfolio, and in some cases,
the lower market prices for those instruments. The Fund's investments in
mortgage-related securities may entail prepayment risk. The Fund may invest up
to 30% of its total assets in securities payable in foreign currencies.
International investing does pose special risks, including currency fluctuation
and political risks not found in domestic investments.
See accompanying index descriptions on page 40.
29
<PAGE>
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Income
Funds
- ------
Portfolio
PILGRIM HIGH YIELD FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management: Kevin Mathews, Senior Vice President and Senior Portfolio
Manager
Goals: The High Yield Fund seeks to provide a high level of current income, with
capital appreciation as a secondary objective, by investing in high yield debt
securities.
Market Overview: The second half of 1999 was a continuation of the trends
experienced in the first half of the year. The economy continued to show strong
growth, inflation remained subdued and interest rates continued their upward
trend. The Federal Open Market Committee (FOMC) stepped in during the second
half of the year by raising the Federal Funds Rate from 4.75 to 5.50%. The FOMC
acted on the perception that economic growth was too strong and that if left
unchecked, it would ultimately result in rising inflation.
At the end of 1999, fixed income managers stepped back to assess the damage. The
thirty year Treasury posted its worst return since 1974 while the Lehman
Aggregate Index experienced returns nearly as bad as 1994. The high yield
market, in contrast, escaped the year in better shape. High yield spreads in the
second half of the year remained relatively unchanged but the higher coupon
helped to offset the decline in prices. High yield managers were rewarded for
being risk adverse in the second half of 1999 as high yield defaults increased.
Defaults were driven by company specific issues and did not reflect upon the
overall health of the high yield market. The Merrill Lynch
Triple-C/Double-C/Single-C index underperformed the Single-B index by 10.6% for
the six months ending December 31, 1999.
A total of 119 new issues came to the market in the second half of 1999,
representing $35 billion dollars. Outflows from mutual funds caused high yield
demand and issuance to be below last year's pace. New issuance was dominated by
large deals in benchmark high yield names such as Allied Waste, Nextel,
Nextlink, and Global Crossing to name a few.
Performance: For the one year ended December 31, 1999, the Fund Class A shares,
excluding sales charges, declined 1.13% compared to the Lehman Brothers High
Yield Index, an unmanaged index of high yield bonds, which returned 2.39%, and
the First Boston High Yield Index, an unmanaged index of high yield bonds, which
returned 3.28% for the same period.
Portfolio Specifics: The Fund held overweighted positions in the Communications
sector, including the wireless, wireline, and internet subsectors, which helped
performance for the six months. Underperforming issues in the Manufacturing &
Electronics sectors adversely impacted returns for the period. Overall, the
Fund's management feels the credit quality of the portfolio is good and
positioned for outperformance in 2000.
Portfolio cash levels have been held down as we expect the market to perform
well. Consistent with our goal of managing a stable dividend fund with an
emphasis on domestic cash pay issues, the Fund's management has been taking the
opportunity to consolidate positions. Our avoidance of emerging market and
foreign issues, while helping performance in past periods, hurt performance in
the last six months as these markets rebounded significantly. Average credit
quality was held at Single-B as our expectation of continued economic growth
with low inflation in the domestic economy was proven correct.
Market Outlook: The FOMC has worked diligently to maintain steady,
non-inflationary growth. In another month, the U.S. economy will surpass the 106
month record for the longest economic expansion ever. There is a high
probability that the FOMC will raise the Federal Funds rate further in the first
half of 2000. The purpose of the increase(s) will be to moderate economic growth
and to prevent any rise in inflation. If the FOMC has continued success in
maintaining non-inflationary growth, interest rates should stabilize. An
environment of stable interest rates and moderate inflation should prove
positive for high yield bonds.
30
<PAGE>
Portfolio
Manager's Report PILGRIM HIGH YIELD FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Returns for the Periods Ended December 31, 1999
---------------------------------------------------------------------------
Since Inception Since Inception
of Class B and M of Class C
1 Year 5 Year 10 Year 7/17/95 5/27/99
------ ------ ------- ------- -------
<S> <C> <C> <C> <C> <C>
Including Sales Charge:
Class A (1) -5.86% 7.44% 8.56% -- --
Class B (2) -6.35% -- -- 5.72% --
Class C (3) -- -- -- -- -3.14%
Class M (4) -4.92% -- -- 5.51% --
Excluding Sales Charge:
Class A -1.14% 8.49% 9.09% -- --
Class B -1.89% -- -- 6.05% --
Class C -- -- -- -- -2.21%
Class M -1.68% -- -- 6.31% --
First Boston High Yield Index 3.28% 9.07% 11.06% 7.43%(5) 0.05%
Lehman High Yield Index 2.39% 9.31% 10.72% 7.41% -0.02%
</TABLE>
The table above illustrates the total return of Pilgrim High Yield Fund against
the First Boston High Yield Index and the Lehman High Yield Index. The Indices
have an inherent performance advantage over the Fund since they have no cash in
their portfolio, impose no sales charges and incur no operating expenses. An
investor cannot invest directly in an index. The Fund's performance is shown
both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 4.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the
since inception return.
(4) Reflects deduction of the maximum Class M sales charge of 3.25%.
(5) Since inception return from 7/31/95.
Principal Risk Factor(s): Exposure to financial, market and interest rate risks.
Higher yields reflect the higher credit risks associated with certain lower
rated securities in the Fund's portfolio, and in some cases, the lower market
prices for those instruments.
See accompanying index descriptions on page 40.
31
<PAGE>
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Income
Funds
- ------
Portfolio
PILGRIM HIGH YIELD FUND II Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management: Kevin Mathews, Senior Vice President and Senior Portfolio
Manager
Goals: The High Yield Fund II seeks to provide a high level of current income
and capital growth by investing in high yield debt securities.
Market Overview: The second half of 1999 was a continuation of the trends
experienced in the first half of the year. The economy continued to show strong
growth, inflation remained subdued and interest rates continued their upward
trend. The Federal Open Market Committee (FOMC) stepped in during the second
half of the year by raising the Federal Funds Rate from 4.75 to 5.50%. The FOMC
acted on the perception that economic growth was too strong and that if left
unchecked, it would ultimately result in rising inflation.
At the end of 1999, fixed income managers stepped back to assess the damage. The
thirty year Treasury posted its worst return since 1974 while the Lehman
Aggregate Index experienced returns nearly as bad as 1994. The high yield
market, in contrast, escaped the year in better shape. High yield spreads in the
second half of the year remained relatively unchanged but the higher coupon
helped to offset the decline in prices.
High yield managers were rewarded for being risk adverse in the second half of
1999 as high yield defaults increased. Defaults were driven by company specific
issues and did not reflect upon the overall health of the high yield market. The
Merrill Lynch Triple-C/Double-C/Single-C index underperformed the Single-B index
by 10.6% for the six months ending December 31, 1999.
A total of 119 new issues came to the market in the second half of 1999,
representing $35 billion dollars. Outflows from mutual funds caused high yield
demand and issuance to be below last year's pace. New issuance was dominated by
large deals in benchmark high yield names such as Allied Waste, Nextel,
Nextlink, and Global Crossing to name a few.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 5.99% compared to
the Lehman Brothers High Yield Index which returned 2.39%.
Portfolio Specifics: The Fund outperformed due to a large concentration in the
Communications sector. The best performing credits were those on the leading
edge of telecommunication technology. These include issuers that provide digital
subscriber lines, or DSL, (high bandwidth internet access) to offices and homes
throughout the country. Investments have also been made in providers of wireless
voice and internet/data connectivity to office buildings and companies that
provide computer servers and the access technology for internet data sites. All
the aforementioned companies have received strong support from the capital
markets in the last quarter.
The portfolio's cash position increased as the quarter progressed. The fund
received inflows during a time when investment opportunities were low.
Management is looking to deploy this cash into sectors outside of
telecommunications in the first quarter of 2000. Average credit quality was held
at Single-B as our expectation of continued economic growth with low inflation
in the domestic economy was proven correct. Overall, the Fund's management feels
the credit quality of the portfolio is good and positioned for outperformance in
2000.
Market Outlook: The FOMC has work diligently to maintain steady,
non-inflationary growth. In another month, the U.S. economy will surpass the 106
month record for the longest economic expansion ever. There is a high
probability that the FOMC will raise the Federal Funds rate further in the first
half of 2000. The purpose of the increase(s) will be to moderate economic growth
and to prevent any rise in inflation. If the FOMC has continued success in
maintaining non-inflationary growth, interest rates should stabilize. An
environment of stable interest rates and moderate inflation should prove
positive for high yield bonds.
32
<PAGE>
Portfolio
Manager's Report PILGRIM HIGH YIELD FUND II
- --------------------------------------------------------------------------------
Average Annual Total Returns
for the Periods Ended
----------------------------
Since Inception
1 Year 3/27/98
------ -------
Including Sales Charge:
Class A (1) 1.07% -0.18%
Class B (2) 0.53% -0.06%
Class C (3) 4.38% 1.97%
Excluding Sales Charge:
Class A 6.12% 2.58%
Class B 5.34% 1.91%
Class C 5.34% 1.97%
Lehman High Yield Index 2.39% 0.52%
The table above illustrates the total return of Pilgrim High Yield II Fund
against the Lehman Brothers High Yield Index. The Index has an inherent
performance advantage over the Fund since it has no cash in its portfolio,
imposes no sales charges and incurs no operating expenses. An investor cannot
invest directly in an index. The Fund's performance is shown both with and
without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 4.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 4%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the
1-year return.
Principal Risk Factor(s): Exposure to financial, market and interest rate risks.
Higher yields reflect the higher credit risks associated with certain lower
rated securities in the Fund's portfolio and in some cases, the lower market
price for those instruments. Up to 35% of total assets may be invested in
foreign securities. International investing does pose special risks, including
currency fluctuation and political risks not found in investments that are
solely domestic. Risks of foreign investing are generally intensified for
investments in emerging markets.
See accompanying index descriptions on page 40.
33
<PAGE>
- ------
Income
Funds
- ------
Portfolio
PILGRIM MONEY MARKET FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management: Robert K. Kinsey, Vice President.
Goals: The Money Market Fund seeks to provide as high a level of current income
as is consistent with the preservation of capital and liquidity by investing all
of its assets in the Class A shares of the Primary Institutional Fund, a series
of Reserve Institutional Trust, a registered open-end management investment
company.
Money Market Fund Overview: The money market mutual fund industry continued to
expand in 1999 with inflows of $230 billion, a growth of 17% and the fifth year
in a row that net inflows have exceeded $200 billion. Asset growth rates were
highest in the institutional fund classes, rising 25% for the year. Total money
fund assets now exceed $1.6 trillion.
From an investment perspective, money fund shareholders were the beneficiaries
of continued economic expansion. The FOMC tightened monetary policy three times
in 1999, raising Federal Funds from 4.75% in January to 5.50% by year-end. The
Fed was able to raise rates incrementally due to the anti-inflationary effects
of increased productivity, thus creating very little disruption in the market.
The most anticipated non-event in 1999 was Y2K. Buy-side participants, expecting
large redemptions, increased their cash positions and the Fed, fearing a
liquidity crisis, flooded the short-term market with cash. As we approached
year-end, buy-side participants did not experience significant redemptions,
resulting in an explosion on the buy-side. Trades committed to over the calendar
year end (12/31 to 1/3), which traditionally yield as high as 10%, were being
executed at yields as low as 2%.
Performance: The Pilgrim Money Market Fund's Class A shares, excluding sales
charges, provided a since inception total return of 0.36% for the period
November 24, 1999 through December 31, 1999. The Fund's Class B and C shares,
excluding sales charges, provided a since inception total return of 1.41% for
the period July 12, 1999 through December 31, 1999.
Portfolio Specifics: The Reserve Institutional Trust -- Primary Institutional
Fund (the "Fund") grew 22.6% for the year versus an industry average of 25%. The
Primary Institutional Fund -- Class A had a 30-day SEC yield of 5.65% as of
December 31, 1999 and an average maturity of 35 days. The Fund held no
commercial paper nor any instruments rated A2/P2.
Market Outlook: In the coming year, we expect the FOMC to continue raising
rates. On February 2, 2000, Federal Funds were moved 0.25% to 5.75%, the first
two, possibly three, 0.25% moves. We expect a second tightening at the FOMC
meeting scheduled for 3/21/00. Going forward, we will purchase term securities
where we see value versus these potential rate hikes.
An investment in the Pilgrim Money Market Fund is not insured or guaranteed by
the Federal Deposit Insurance Corporation or any other government agency.
Although this Fund seeks to preserve the net asset value at $1.00 per share, it
is possible to lose money by investing in this Fund.
34
<PAGE>
Portfolio
Manager's Report PILGRIM MONEY MARKET FUND
- --------------------------------------------------------------------------------
THIS PAGE INTENTIONALLY LEFT BLANK
35
<PAGE>
- ------------
Equity &
Income Funds
- ------------
Portfolio
PILGRIM BALANCED FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management Team: G. David Underwood, Vice President and Senior
Portfolio Manager; Kevin Mathews, Senior Vice President and Senior Portfolio
Manager; Robert K. Kinsey, Vice President and Senior Portfolio Manager.
Goals: The Balanced Fund seeks a balance of capital appreciation and current
income by investing in a blended portfolio of equity and debt securities with an
emphasis on overall total return.
Equity Market Overview: For the six months ending December 31, 1999, the U.S.
equity market was characterized by:
A narrow advance of primarily large-capitalization technology and
telecommunications stocks
Continued outperformance of growth stocks versus value stocks
Outperformance of large-capitalization stocks versus mid-cap and most
small-capitalization stocks
Market returns at the end of the period suggest that the market moved sideways
since mid year. This masks a market buffeted by concerns about rising inflation
and higher interest rates, yet supported by accelerating earnings growth.
Entering the second half of 1999, investor sentiment was still buoyed by the
fact that a global recession did not develop out of the prior year's financial
crisis in Asia, Latin America and Europe. U.S. economic growth remained strong
and evidence continued to emerge that the overseas economies were on the mend.
The broad market S&P 500 Index set a then new peak in July before surrendering
half of its gains over the balance of the third quarter. Interest rates began to
rise due to inflation worries brought on by the surprisingly strong U.S. economy
and the resuscitating global economies, dampening some of the equity market
optimism. The S&P 500 recovered to new highs in the fourth quarter, with the
Index led by a select group of technology and telecommunications stocks,
registering particularly strong gains in October and December.
As inflation worries prompted the Federal Reserve to notch interest rates
upward, investors sought the perceived safety of a small group of mostly
technology/growth stocks. Only five of the twelve market sectors had positive
returns in the last six months: Technology, Conglomerates, Communication
Services, Consumer Cyclicals and Basic Industries; only Technology,
Conglomerates and Communication Services outperformed the Index. For the year,
25 stocks accounted for the entire gain of the S&P 500.
Bond Market Overview: 1999 was a tough year for bonds by any measure: The
summer months witnessed a credit spread rout nearly as bad as 1998's debacle.
However, liquidity returned to the investment grade fixed income arena with a
vengeance during the fourth quarter. Spreads tightened across the board as
managers re-discovered an appetite for risk. Yet, a very robust domestic economy
and Fed tightenings pushed rates higher. By mid December Y2K nervosa drained
liquidity from the bond market as both the buy-side and the sell-side shifted
into hibernation.
At the end of 1999, fixed income managers stepped back to assess the damage. The
thirty year Treasury posted its worst return since 1974 while the Lehman
Aggregate Index experienced returns nearly as bad as 1994. The high yield
market, in contrast, escaped the year in better shape. High yield spreads in the
second half of the year remained relatively unchanged but the higher coupon
helped to offset the decline in prices.
High yield managers were rewarded for being risk adverse in the second half of
1999 as high yield defaults increased. Defaults were driven by company specific
issues and did not reflect upon the overall health of the high yield market. The
Merrill Lynch Triple-C/Double-C/Single-C index underperformed the Single-B index
by 10.6% for the six months ending December 31, 1999.
A total of 119 new issues came to the market in the second half of 1999,
representing $35 billion dollars. Outflows from mutual funds caused high yield
demand and issuance to be below last year's pace. New issuance was dominated by
large deals in benchmark high yield names such as Allied Waste, Nextel,
Nextlink, and Global Crossing to name a few.
Portfolio Specifics: Timely sector allocation and good stock selection, combined
with a disciplined portfolio management approach, produced the Fund's strong
investment performance. The Consumer Cyclical, Technology, Basic Industries, and
Retailing sectors contributed most. Holdings in Sun Microsystems, Texas
Instruments, Hewlett Packard, Sony, America Online and Nokia gave handsome
returns. The Fund's holdings in Alcoa, and Time Warner were equally strong.
The duration of the fixed income component of the Fund remained short of the
Lehman Aggregate Index up until December at which time we adopted a neutral
stance. As a rule the last few weeks of any given year are a perilous time to
stray too far away from a benchmark's duration. We exploited the year-end
drought in investment grade
36
<PAGE>
Portfolio
Manager's Report PILGRIM BALANCED FUND
- --------------------------------------------------------------------------------
liquidity by adding collateralized mortgage backed securities, some puttable
paper, and other corporate paper at compelling levels.
In the high yield portion of the Fund we continue to look for smaller positions
to eliminate and consolidate with existing holdings. The focus of the high yield
portfolio has been on the Communications sector, and secondarily on Media,
Cable, and Broadcasting credits. The average credit rating of the Fund is
Single-B which we are comfortable with given our belief that the economy will
continue to grow without overheating, and that inflation will remain subdued. In
the growth sector of high yield we feel the Communications industry represents
the best value. Our efforts in the coming months will be focused on those
issuers that will benefit from the continuing demand for increased bandwidth.
The high yield portion of the Fund will continue to be fully invested as we
believe the market looks attractively priced.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 8.48%, compared to a
composite index, consisting of 60% S&P 500 Index and 40% Lehman Brothers
Aggregate Index, which gained 11.77% for the same period.
Market Outlook: Though challenged more by interest rates the broadening market
is conducive for equity investment. The global economies are rebounding with
benign inflation, stimulating profitability and revenue growth for a wider
assortment of companies. This should gather momentum now that concerns over the
transition into the new Millennium are history.
With regards to the fixed income component, we are poised to shorten our
duration with the onset of the new year as we anticipate further central bank
tightening here and abroad in 2000. The high grade portion of the fund is
heavily overweighted in spread product and we have added less-liquid, lower
quality names in anticipation of their outperformance in the first quarter of
2000. Mortgage backed securities appear to only offer fair value at this
juncture, and we are close to neutral to the Lehman Aggregate Index vis a vis
this sector.
The FOMC has work diligently to maintain steady, non-inflationary growth. In
another month, the U.S. economy will surpass the 106 month record for the
longest economic expansion ever. There is a high probability that the FOMC will
raise the Federal Funds rate further in the first half of 2000. The purpose of
the increase(s) will be to moderate economic growth and to prevent any rise in
inflation. If the FOMC has continued success in maintaining non-inflationary
growth, interest rates should stabilize. An environment of stable interest rates
and moderate inflation should prove positive for high yield bonds.
Average Annual Total Returns for the Periods
Ended December 31, 1999
------------------------------------------------------
Since Inception Since Inception
of Class A and C of Class B
1 Year 5 Year 4/19/93 5/31/95
------ ------ ------- -------
Including Sales Charge:
Class A (1) 2.25% 16.91% 13.37% --
Class B (2) 3.51% -- -- 16.42%
Class C (3) 6.89% 17.53% 13.67% --
Excluding Sales Charge:
Class A 8.48% 18.29% 14.38% --
Class B 7.76% -- -- 16.67%
Class C 7.74% 17.53% 13.67% --
60% S&P 500/40% Lehman
Aggregate 11.77% 20.15% 15.48%(4) 18.52%
The table above illustrates the total return of Pilgrim Balanced Fund against
the 60% S&P 500, 40% Lehman Aggregate Index. The Index has an inherent
performance advantage over the Fund since it has no cash in its portfolio,
imposes no sales charges and incurs no operating expenses. An investor cannot
invest directly in an index. The Fund's performance is shown both with and
without the imposition of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fee and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deducton of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the
1-year return.
(4) Since inception return from 4/30/93.
Principal Risk Factor(s): Price volatility and other risks that accompany an
investment in equity securities. Credit, interest rate and other risks that
accompany debt investments. The Fund may invest up to 20% of its total assets in
foreign securities. International investing does pose special risks, including
currency fluctuation, economic and political risks not found in investments that
are solely domestic. Higher yields reflect the higher credit risks associated
with certain lower rated securities in the Fund's portfolio and in some cases,
the lower market prices for those instruments.
See accompanying index descriptions on page 40.
37
<PAGE>
- ------------
Equity &
Income Funds
- ------------
Portfolio
PILGRIM CONVERTIBLE FUND Manager's Report
- --------------------------------------------------------------------------------
Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment
Officer, Global Equity Management; Douglas G. Forsyth, CFA, Partner, Portfolio
Manager; Michael P. Carroll, Portfolio Manager; William L. Stickney, Portfolio
Manager; Michael E. Yee, Portfolio Manager.
Goal: The Convertible Fund seeks to maximize total return by investing
primarily in convertible and equity securities of US companies.
Market Overview: During the third quarter, concerns over rising inflation and
interest rates and their impact on corporate earnings sent stock prices
tumbling. Amid signs of continued strength in the US economy, worries were rife
that higher interest rates were needed to combat inflationary pressures.
However, strong gains among technology stocks in the fourth quarter helped
restore investor confidence. The tech-heavy Nasdaq Composite rose 48.2% from
October to December and climbed 85.6% overall in 1999. Improving returns for
small- and mid-cap stocks also bolstered investor resolve.
Impressive gains among technology stocks throughout the fourth quarter propelled
returns among convertible issues, helping offset the effects of a series of
interest-rate increases by the Federal Reserve Board. In an effort to thwart
potential inflationary pressures amid the US economy's continued expansion, the
Fed hiked short-term interest rates by a quarter-percentage point three times in
June, August and November.
For much of the period, speculative-grade convertible issues tended to deliver
better returns than high-grade issues. Qualcomm, the single largest holding in
the CS First Boston Convertible Index, gained 94% in December and 2,619% for the
year. The second-largest holding in the Index was EMC Corp., which gained 30% in
December.
Performance: For the one year ended December 31, 1999, the Fund's Class A
shares, excluding sales charges, provided a total return of 50.20% compared to
the First Boston Convertible Index which returned 42.28% for the same period.
Portfolio Specifics: Year to date through December 31, the Fund delivered
equity-like returns, outperforming the Russell 2000, Russell Midcap, and S&P 500
Indexes. The Fund also registered greater returns compared to the CS First
Boston Convertible Index year to date, rising 50.2% versus 42.3% for the Index.
A broad-based pullback among blue-chip issues in the third quarter negatively
impacted the fund's performance in July. However, strong gains among
telecommunications and technology holdings led to the fund's outperformance
against the benchmark in the fourth quarter and in 1999.
The Fund's top-performing holdings included telecommunications service provider
Qualcomm, Veritas Software and Exodus Communications.
Market Outlook: Looking ahead, we are encouraged by expectations for continued
strength in corporate profits and global economic recovery. Applying our
bottom-up approach, we continue to find convertible securities meeting our
strict investment criteria.
Recent gains in the equity market have lifted US indices close to or above
record highs. In this environment, convertible issues may benefit from increased
recognition among investors seeking equity market participation with limited
downside exposure.
38
<PAGE>
Portfolio
Manager's Report PILGRIM CONVERTIBLE FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns for the Periods
Ended December 31, 1999
--------------------------------------------
Since Inception Since Inception
of Class A and C of Class B
1 Year 5 Year 4/19/93 5/31/95
Including Sales Charge:
Class A (1) 41.54% 25.14% 20.33% --
Class B (2) 44.19% -- -- 26.67%
Class C (3) 48.20% 25.81% 20.60% --
Excluding Sales Charge:
Class A 50.20% 26.64% 21.40% --
Class B 49.19% -- -- 26.86%
Class C 49.20% 25.81% 20.60% --
First Boston Convertible
Index 42.28% 20.08% 15.60%(4) 19.24%
The table above illustrates the total return of Pilgrim Convertible Fund against
the First Boston Convertible Index. The Index has an inherent performance
advantage over the Fund since it has no cash in its portfolio, imposes no sales
charges and incurs no operating expenses. An investor cannot invest directly in
an index. The Fund's performance is shown both with and without the imposition
of sales charges.
Total returns reflect the fact that the Investment Adviser has contractually
agreed to waive or defer its management fees and to pay other operating expenses
otherwise payable by the Fund, subject to possible later reimbursement during a
three-year period. Total returns would have been lower had there been no
deferral to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This letter contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
(4) Since inception performance for index is shown from 4/20/93.
Principal Risk Factor(s): The credit standing of the issuer and other factors
may affect the investment value of a convertible security. The market value of
convertible debt securities tends to vary inversely with the level of interest
rates. Lower rated securities may be less liquid than higher quality
investments. This fund also has exposure to financial, market and interest rate
risks. Higher yields reflect the higher credit risks associated with certain
lower rated securities in the Fund's portfolio and in some cases, the lower
market prices for those instruments.
See accompanying index descriptions on page 40.
39
<PAGE>
- -------
Pilgrim
Funds
- -------
INDEX DESCRIPTIONS
- --------------------------------------------------------------------------------
The S&P 500 Index is a widely recognized index of 500 common stocks.
The Dow Jones Industrial Average is a price-weighted average of 30 blue-chip
stocks that are generally the leaders in their industry.
The S&P Barra Value Index ia a capitalization-weighted index of all the stocks
in the S&P 500 that have low price-to-book ratios
The Russell 1000 Growth Index is an index that measures the performance of those
Russell 1000 companies with higher price-to-book ratios and higher forecasted
growth values.
The NASDAQ Composite Index is a broad-based capitalization-weighted index of all
NASDAQ National Market & SmallCap stocks.
The Russell MidCap Index is generally representative of the smallest 800 stocks
in the Russell 1000 Index as ranked by total market capitalization.
The Russell MidCap Value Index measures the performance of the 800 smallest
companies in the Russell 1000 Index with lower price-to-book ratios and lower
forecasted growth values.
The Russell MidCap Growth Index consists of securities with capitalizations
between $450 million and $3.8 billion with greater than average growth
orientation.
The Russell 2000 Growth Index measures the performance of those Russell 2000
companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000 Index consists of the smallest 2000 companies in the Russell
3000 Index.
The S&P Major Regional Banks Index is a capitalization-weighted index of all
stocks designed to measure performance of the major regional banks sector of the
S&P 500 Index.
The NASDAQ 100 Financial Index is a capitalization-weighted index of the 100
largest financial companies, as well as foreign issues, including American
Depositary Receipts, traded on the NASDAQ National Market System and SmallCap
Market.
The MSCI EAFE Index consists of more than 1,400 securities in the U.S., Europe,
Canada, Australia, New Zealand, and the Far East. It is a generally accepted
index for major overseas markets.
The MSCI Emerging Markets Free (EMF) Index is comprised of companies
representative of the market structure of 22 emerging countries in Europe, Latin
America and the Pacific Rim Basin.
The MSCI World Index consists of more than 1,400 securities located in the U.S.,
Europe, Canada, Australia, New Zealand and the Far East.
The Salomon EPAC Extended Market Index measures the performance of securities of
smaller-capitalized companies in 22 countries excluding the U.S. and Canada.
The Hang Seng Index is a regional index based on 8 Asian domestic indices
comprising a total of over 2000 listed companies.
The MSCI Far East Free ex-Japan Index measures performance of securities listed
on exchanges in the Far East markets excluding Japan.
40
<PAGE>
- -------
Pilgrim
Funds
- -------
INDEX DESCRIPTIONS(continued)
- --------------------------------------------------------------------------------
The Lehman Brothers Aggregate Bond Index is an index of fixed income securities.
The Lehman Brothers Government/Mortgage Index measures the performance of U.S.
Government agencies and instrumentalities, as well as mortgage pass-through
instruments issued by FNMA, FHLMC and GNMA.
The Lehman Brothers Intermediate Treasury Index is an index that measures the
performance of U.S. Treasuries with maturities of less than ten years.
The Merrill Lynch Triple-C/Double-C/Single-C Index is a sub-index of the Merrill
Lynch High Yield Index, an index which measures the performance of
non-investment grade U.S. domestic bonds.
The Merrill Lynch Single-B Index is a sub-index of the Merrill Lynch High Yield
Index, an index which measures the performance of non-investment grade U.S.
domestic bonds.
The Lehman Brothers High Yield Bond Index is comprised of non-investment grade
bonds with maturities between seven to ten years.
The First Boston High Yield Index is an index of high yield bonds rated BB or
below.
The First Boston Convertible Index is an index representing the universe of
convertible securities.
The SET Index is a capitalization-weighted index of all the stocks traded on the
Stock Exchange of Thailand.
All indices are unmanaged.
An investor cannot invest directly in an index.
41
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
LargeCap LargeCap
MagnaCap Leaders Growth
Fund Fund Fund
---- ---- ----
ASSETS:
Investments in securities
at market value* $ 464,096,916 $ 37,571,545 $ 432,145,351
Short-term investments at
amortized cost 18,125,971 2,036,000 22,913,000
Cash 43,159 8,811 6,574
Receivables:
Fund shares sold 273,765 302,222 8,336,929
Dividends and interest 509,716 35,205 145,577
Due from affiliate -- -- --
Investment securities sold -- 157,041 3,175,965
Other -- -- 503
Prepaid expenses 64,883 36,806 46,149
------------- ------------ -------------
Total Assets 483,114,410 40,147,630 466,770,048
LIABILITIES:
Payable for investment
securities purchased -- -- 16,073,243
Payable for fund shares
redeemed 1,043,903 47,232 409,623
Payable to affiliate 541 5,456 1,446
Payable to custodian -- -- --
Other accrued expenses and
liabilities 1,187,130 93,837 386,272
------------- ------------ -------------
Total Liabilities 2,231,574 146,525 16,870,584
------------- ------------ -------------
NET ASSETS $ 480,882,836 $ 40,001,105 $ 449,899,464
============= ============ =============
NET ASSETS CONSIST OF:
Paid-in capital $ 335,637,562 $ 31,941,240 $ 309,654,824
Undistributed (overdistributed)
net investment income (285,070) (183,723) (1,258,524)
Accumulated net realized
gain (loss) on investments (2,751,702) 1,199,531 6,662,113
Net unrealized appreciation
(depreciation) of investments 148,282,046 7,044,057 134,841,051
------------- ------------ -------------
Net Assets $ 480,882,836 $ 40,001,105 $ 449,899,464
============= ============ =============
* Cost of securities $ 315,814,870 $ 30,527,488 $ 297,304,300
<TABLE>
<CAPTION>
MidCap MidCap SmallCap Bank and
Value Growth Growth Thrift
Fund Fund Fund Fund
---- ---- ---- ----
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities
at market value* $ 37,905,373 $ 424,763,734 $ 446,278,607 $ 460,966,409
Short-term investments at
amortized cost 545,000 10,855,000 -- 1,258,000
Cash 6,399 17,087 -- --
Receivables:
Fund shares sold 67,428 1,585,358 1,405,097 1,442,050
Dividends and interest 40,346 14,803 54,826 1,070,795
Due from affiliate -- 36,524 43,939 --
Investment securities sold 256,191 637,713 5,763,776 5,461,090
Other -- -- 12,950 --
Prepaid expenses 37,052 31,977 48,619 58,471
------------ ------------- ------------- -------------
Total Assets 38,857,789 437,942,196 453,607,814 470,256,815
LIABILITIES:
Payable for investment
securities purchased -- 5,973,222 1,052,907 315,478
Payable for fund shares
redeemed 167,374 558,232 522,048 3,500,223
Payable to affiliate 586 -- -- --
Payable to custodian -- -- 1,257,546 4,701
Other accrued expenses and
liabilities 140,721 524,445 437,972 1,125,666
------------ ------------- ------------- -------------
Total Liabilities 308,681 7,055,899 3,270,473 4,946,068
------------ ------------- ------------- -------------
NET ASSETS $ 38,549,108 $ 430,886,297 $ 450,337,341 $ 465,310,747
============ ============= ============= =============
NET ASSETS CONSIST OF:
Paid-in capital $ 36,838,672 $ 210,919,947 $ 279,553,816 $ 486,593,613
Undistributed (overdistributed)
net investment income (253,178) (2,561,964) (2,946,828) 1,883,755
Accumulated net realized gain
(loss) on investments 93,895 11,374,498 (16,091,465) 16,116,632
Net unrealized appreciation
(depreciation) of investments 1,869,719 211,153,816 189,821,818 (39,283,253)
------------ ------------- ------------- -------------
Net Assets $ 38,549,108 $ 430,886,297 $ 450,337,341 $ 465,310,747
============ ============= ============= =============
* Cost of securities $ 36,035,654 $ 213,609,918 $ 256,456,789 $ 500,249,662
</TABLE>
42
<PAGE>
- --------------------------------------------------------------------------------
LargeCap LargeCap
MagnaCap Leaders Growth
Fund Fund Fund
---- ---- ----
Class A:
Net Assets $ 343,627,580 $ 9,305,383 $ 118,231,647
Shares authorized 80,000,000 28,000,000 unlimited
Par Value $ 1.00 $ 0.10 $ 0.00
Shares outstanding 21,135,630 566,257 2,930,040
Net asset value and redemption
price per share $ 16.26 $ 16.43 $ 40.35
Maximum offering price per
share $ 17.25 $ 17.43 $ 42.81
Class B:
Net Assets $ 109,428,063 $ 24,747,898 $ 227,042,117
Shares authorized 80,000,000 28,000,000 unlimited
Par Value $ 1.00 $ 0.10 $ 0.00
Shares outstanding 6,879,903 1,556,902 5,631,296
Net asset value and redemption
price per share $ 15.91 $ 15.90 $ 40.32
Maximum offering price per
share $ 15.91 $ 15.90 $ 40.32
Class C:
Net Assets $ 2,684,290 $ 353,328 $ 87,228,762
Shares authorized 80,000,000 28,000,000 unlimited
Par Value $ 1.00 $ 0.10 $ 0.00
Shares outstanding 168,736 22,207 2,169,290
Net asset value and redemption
price per share $ 15.91 $ 15.91 $ 40.21
Maximum offering price per
share $ 15.91 $ 15.91 $ 40.21
Class M:
Net Assets $ 15,145,899 $ 5,594,496 n/a
Shares authorized 40,000,000 14,000,000 n/a
Par Value $ 1.00 $ 0.10 n/a
Shares outstanding 942,476 347,648 n/a
Net asset value and redemption
price per share $ 16.07 $ 16.09 n/a
Maximum offering price per
share $ 16.65 $ 16.67 n/a
Class Q:
Net Assets $ 9,997,004 $ 0.00 $ 17,396,938
Shares authorized 40,000,000 28,000,000 unlimited
Par Value $ 1.00 $ 0.10 $ 0.00
Shares outstanding 615,006 0 425,490
Net asset value and redemption
price per share $ 16.26 n/a $ 40.89
Maximum offering price per
share $ 16.26 n/a $ 40.89
<TABLE>
<CAPTION>
MidCap MidCap SmallCap Bank and
Value Growth Growth Thrift
Fund Fund Fund Fund
---- ---- ---- ----
<S> <C> <C> <C> <C>
Class A:
Net Assets $ 11,220,928 $ 110,999,877 $ 148,392,238 $ 258,383,610
Shares authorized 28,000,000 unlimited unlimited 100,000,000
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.10
Shares outstanding 809,398 4,296,452 8,462,791 14,902,351
Net asset value and redemption
price per share $ 13.86 $ 25.84 $ 17.53 $ 17.34
Maximum offering price per
share $ 14.71 $ 27.42 $ 18.60 $ 18.40
Class B:
Net Assets $ 20,593,302 $ 85,200,916 $ 76,896,757 $ 206,927,137
Shares authorized 28,000,000 unlimited unlimited 100,000,000
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.10
Shares outstanding 1,534,790 2,804,402 3,486,799 11,943,222
Net asset value and redemption
price per share $ 13.42 $ 30.38 $ 22.05 $ 17.33
Maximum offering price per
share $ 13.42 $ 30.38 $ 22.05 $ 17.33
Class C:
Net Assets $ 178,918 $ 220,867,071 $ 213,993,524 n/a
Shares authorized 28,000,000 unlimited unlimited n/a
Par Value $ 0.00 $ 0.00 $ 0.00 n/a
Shares outstanding 13,338 9,255,323 12,408,565 n/a
Net asset value and redemption
price per share $ 13.41 $ 23.86 $ 17.25 n/a
Maximum offering price per
share $ 13.41 $ 23.86 $ 17.25 n/a
Class M:
Net Assets $ 6,555,960 n/a n/a n/a
Shares authorized 14,000,000 n/a n/a n/a
Par Value $ 0.00 n/a n/a n/a
Shares outstanding 484,961 n/a n/a n/a
Net asset value and redemption
price per share $ 13.52 n/a n/a n/a
Maximum offering price per
share $ 14.01 n/a n/a n/a
Class Q:
Net Assets $ 0.00 $ 13,818,433 $ 11,054,822 n/a
Shares authorized 28,000,000 unlimited unlimited n/a
Par Value $ 0.00 $ 0.00 $ 0.00 n/a
Shares outstanding 0 422,591 566,739 n/a
Net asset value and redemption
price per share n/a $ 32.70 $ 19.51 n/a
Maximum offering price per
share n/a $ 32.70 $ 19.51 n/a
</TABLE>
- ----------
(1) Maximum offering price is computed at 100/94.25 of net asset value. On
purchases of $50,000 or more, the offering price is reduced.
(2) Redemption price per share is equal to the net asset value per share less
any applicable contingent deferred sales charge.
(3) Maximum offering price is computed at 100/96.50 of net asset value. On
purchases of $50,000 or more, the offering price is reduced.
43
<PAGE>
- -------------
International
Equity Funds
- -------------
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Worldwide International International Emerging Asia-Pacific
Growth Core Growth SmallCap Countries Equity
Fund Fund Growth Fund Fund Fund
---- ---- ----------- ---- ----
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities
at market value* $ 448,254,573 $ 75,611,707 $ 395,921,134 $ 234,069,820 $ 40,243,292
Short-term investments at
amortized cost 17,453,000 292,000 31,803,000 1,379,000 443,000
Foreign Currency** -- 53,117 1,133,073 1,135,371 722,344
Cash 583,402 -- 565,895 -- 10,060
Receivables:
Fund shares sold 6,685,799 345,160 9,287,906 740,549 571,577
Dividends and interest 214,331 75,356 74,296 504,553 6,456
Due from affiliate -- 39,543 -- 61,465 --
Investment securities sold 3,283,216 561,153 2,880,062 1,195,840 --
Other -- 9,229 86,172 8,223 --
Prepaid expenses 53,913 45,352 55,469 57,291 27,556
------------- ------------ ------------- ------------- ------------
Total Assets 476,528,234 77,032,617 441,807,007 239,152,112 42,024,285
------------- ------------ ------------- ------------- ------------
LIABILITIES:
Payable for investment
securities purchased 9,072,436 885,454 5,919,653 1,809,966 --
Payable for fund shares
redeemed 825,436 31,761 1,164,634 663,075 97,143
Payable to affiliate 2,850 -- -- -- 8,029
Payable to custodian -- 27,579 -- 283,204 --
Estimated tax liability on
Indian investments -- -- -- 1,294,392 --
Other accrued expenses and
liabilities 616,667 148,150 520,131 588,207 262,964
------------- ------------ ------------- ------------- ------------
Total Liabilities 10,517,389 1,092,944 7,604,418 4,638,844 368,136
------------- ------------ ------------- ------------- ------------
NET ASSETS $ 466,010,845 $ 75,939,673 $ 434,202,589 $ 234,513,268 $ 41,656,149
============= ============ ============= ============= ============
NET ASSETS CONSIST OF:
Paid-in capital $ 299,830,877 $ 46,624,852 $ 258,562,364 $ 230,008,734 $ 56,419,427
Undistributed (overdistributed)
net investment income (2,245,389) (417,370) (1,216,494) (1,461,149) (177,616)
Accumulated net realized gain
(loss) on investments and
foreign currency transactions
(net of foreign tax on the sale
of Indian investments of $0, $0,
$536,127, $2,217,389 and $0,
respectively -- Note 2) 5,941,174 1,419,523 23,684,833 (73,866,966) (27,307,253)
Net unrealized appreciation of
investments and other assets,
liabilities and forward contracts
denominated in foreign currencies
(net of estimated tax liability
on Indian investments of $0, $0,
$0, $1,294,392 and $0,
respectively -- Note 2) 162,484,183 28,312,668 153,171,886 79,832,649 12,721,591
------------- ------------ ------------- ------------- ------------
Net Assets $ 466,010,845 $ 75,939,673 $ 434,202,589 $ 234,513,268 $ 41,656,149
============= ============ ============= ============= ============
* Cost of securities $ 285,746,310 $ 47,315,847 $ 242,767,278 $ 152,857,038 $ 27,433,240
** Cost of foreign currency $ -- $ 53,070 $ 1,130,289 $ 1,134,720 $ 722,290
</TABLE>
See Accompanying Notes to Financial Statements
44
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Worldwide International International Emerging Asia-Pacific
Growth Core Growth SmallCap Countries Equity
Fund Fund Growth Fund Fund Fund
---- ---- ----------- ---- ----
<S> <C> <C> <C> <C> <C>
Class A:
Net Assets $ 150,384,169 $ 19,460,387 $ 146,056,798 $ 68,448,657 $ 17,308,808
Shares authorized unlimited unlimited unlimited unlimited 24,000,000
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 1.00
Shares outstanding 4,834,640 711,486 3,597,228 3,110,207 1,937,674
Net asset value and
redemption price per
share $ 31.11 $ 27.35 $ 40.60 $ 22.01 $ 8.93
Maximum offering price
per share $ 33.00 $ 29.02 $ 43.08 $ 23.35 $ 9.48
Class B:
Net Assets $ 82,285,716 $ 19,465,336 $ 77,784,490 $ 33,018,778 $ 16,393,325
Shares authorized unlimited unlimited unlimited unlimited 24,000,000
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 1.00
Shares outstanding 2,348,993 708,473 1,808,103 1,484,626 1,895,593
Net asset value and
redemption price per
share $ 35.03 $ 27.48 $ 43.02 $ 22.24 $ 8.65
Maximum offering price
per share $ 35.03 $ 27.48 $ 43.02 $ 22.24 $ 8.65
Class C:
Net Assets $ 190,853,232 $ 21,104,381 $ 72,787,019 $ 30,441,808 n/a
Shares authorized unlimited unlimited unlimited unlimited n/a
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 n/a
Shares outstanding 6,128,111 765,476 1,842,815 1,421,241 n/a
Net asset value and
redemption price per
share $ 31.14 $ 27.57 $ 39.50 $ 21.42 n/a
Maximum offering price
per share $ 31.14 $ 27.57 $ 39.50 $ 21.42 n/a
Class M:
Net Assets n/a n/a n/a n/a $ 7,954,016
Shares authorized n/a n/a n/a n/a 12,000,000
Par Value n/a n/a n/a n/a $ 1.00
Shares outstanding n/a n/a n/a n/a 911,936
Net asset value and
redemption price per
share n/a n/a n/a n/a $ 8.72
Maximum offering price
per share n/a n/a n/a n/a $ 9.04
Class Q:
Net Assets $ 42,487,728 $ 15,909,569 $ 137,574,282 $ 102,604,025 n/a
Shares authorized unlimited unlimited unlimited unlimited n/a
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 n/a
Shares outstanding 1,186,820 559,611 3,208,072 4,536,725 n/a
Net asset value and
redemption price per
share $ 35.80 $ 28.43 $ 42.88 $ 22.62 n/a
Maximum offering price
per share $ 35.80 $ 28.43 $ 42.88 $ 22.62 n/a
</TABLE>
- ----------
(1) Maximum offering price is computed at 100/94.25 of net asset value. On
purchases of $50,000 or more, the offering price is reduced. (2) Redemption
price per share is equal to the net asset value per share less any
applicable contingent deferred sales charge.
(3) Maximum offering price is computed at 100/96.50 of net asset value. On
purchases of $50,000 or more, the offering price is reduced.
45
<PAGE>
- ------
Income
Funds
- ------
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Government Strategic
Securities Income High Yield High Yield Money Market
Income Fund Fund Fund Fund II Fund
----------- ---- ---- ------- ----
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities
at market value* $ 30,939,502 $ 11,655,208 $ 343,432,611 $ 69,397,575 $ --
Short-term investments at
amortized cost 1,550,000 662,000 22,531,603 9,401,000 19,107,700
Cash 10,603 81,916 -- 8,740 13
Receivables:
Fund shares sold 51,866 78,086 1,536,751 103,681 988,811
Interest 248,320 166,530 10,499,490 1,051,376 2,647
Due from affiliate -- 74,913 33,922 19,301 76,689
Investment securities sold -- -- 970,604 970,604 --
Other -- 7,452 -- -- --
Prepaid expenses 20,622 66,043 73,153 66,292 2,088
Deferred organization costs -- -- -- -- 39,452
------------ ------------ ------------- ------------ -----------
Total Assets 32,820,913 12,792,148 379,078,134 81,018,569 20,217,400
------------ ------------ ------------- ------------ -----------
LIABILITIES:
Payable for investment
securities purchased -- 289,431 -- 3,119,391 --
Payable for fund shares
redeemed 150,379 26,596 2,549,790 495,308 233,289
Payable to custodian -- -- 458,244 -- --
Distributions payable -- 883 -- 343,929 40,693
Other accrued expenses
and liabilities 108,321 62,057 573,080 49,036 127,075
------------ ------------ ------------- ------------ -----------
Total Liabilities 258,700 378,967 3,581,114 4,007,664 401,057
------------ ------------ ------------- ------------ -----------
NET ASSETS $ 32,562,213 $ 12,413,181 $ 375,497,020 $ 77,010,905 $19,816,343
============ ============ ============= ============ ===========
NET ASSETS CONSIST OF:
Paid-in capital $ 40,893,318 $ 13,608,322 $ 455,788,834 $ 86,045,494 $19,816,343
Undistributed (overdistributed)
net investment income (81,566) 149,553 (953,951) (213,962) --
Accumulated net realized loss
on investments and foreign
currency transactions (7,311,898) (1,078,089) (58,252,243) (7,372,266) --
Net unrealized depreciation of
investments and other assets,
liabilities and forward
contracts denominated in
foreign currencies (937,641) (266,605) (21,085,620) (1,448,361) --
------------ ------------ ------------- ------------ -----------
Net Assets $ 32,562,213 $ 12,413,181 $ 375,497,020 $ 77,010,905 $19,816,343
============ ============ ============= ============ ===========
* Cost of securities $ 31,877,143 $ 11,921,450 $ 364,518,231 $ 70,845,936 $19,107,700
</TABLE>
46
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Government Strategic
Securities Income High Yield High Yield Money Market
Income Fund Fund Fund Fund II Fund
----------- ---- ---- ------- ----
<S> <C> <C> <C> <C> <C>
Class A:
Net Assets $ 19,303,738 $ 2,453,211 $108,040,533 $ 10,415,208 $ 5,732,378
Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited unlimited
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 1,615,287 201,699 19,617,873 932,799 5,732,378
Net asset value and redemption
price per share $ 11.95 $ 12.16 $ 5.51 $ 11.17 $ 1.00
Maximum offering price per
share $ 12.55 $ 12.77 $ 5.78 $ 11.72 $ 1.00
Class B:
Net Assets $ 12,333,491 $ 5,406,558 $243,074,580 $ 40,553,266 $11,414,054
Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited unlimited
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 1,035,526 454,240 44,228,094 3,632,560 11,414,054
Net asset value and redemption
price per share $ 11.91 $ 11.90 $ 5.50 $ 11.16 $ 1.00
Maximum offering price per
share $ 11.91 $ 11.90 $ 5.50 $ 11.16 $ 1.00
Class C:
Net Assets $ 262,578 $ 4,379,664 $ 5,614,076 $ 16,859,743 $ 2,669,911
Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited unlimited
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 21,819 353,648 1,022,363 1,509,836 2,669,911
Net asset value and redemption
price per share $ 12.03 $ 12.38 $ 5.49 $ 11.17 $ 1.00
Maximum offering price per
share $ 12.03 $ 12.38 $ 5.49 $ 11.17 $ 1.00
Class M:
Net Assets $ 662,406 n/a $ 18,767,801 n/a n/a
Shares authorized 1,000,000,000 n/a 40,000,000 n/a
Par Value $ 0.00 n/a n/a $ 0.00 n/a
Shares outstanding 55,449 n/a 3,411,754 n/a n/a
Net asset value and redemption
price per share $ 11.95 n/a $ 5.50 n/a n/a
Maximum offering price per
share $ 12.35 n/a $ 5.69 n/a n/a
Class Q:
Net Assets $ 0 $ 173,748 $ 30 $ 9,182,688 n/a
Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited n/a
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 n/a
Shares outstanding 0 15,027 5 821,972 n/a
Net asset value and redemption
price per share 0 $ 11.56 $ 5.57 $ 11.17 n/a
Maximum offering price per
share 0 $ 11.56 $ 5.57 $ 11.17 n/a
</TABLE>
- ----------
(1) Maximum offering price is computed at 100/95.25 of net asset value. On
purchases of $50,000 or more, the offering price is reduced.
(2) Redemption price per share is equal to the net asset value per share less
any applicable contingent deferred sales charge.
(3) Maximum offering price is computed at 100/96.75 of net asset value. On
purchases of $50,000 or more, the offering price is reduced.
47
<PAGE>
- ------------
Equity &
Income Funds
- ------------
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Balanced Convertible
Fund Fund
---- ----
ASSETS:
Investments in securities
at market value* $34,942,532 $340,520,062
Short-term investments at
amortized cost 2,284,000 12,348,000
Cash 8,463 4,016,083
Receivables:
Fund shares sold 329,990 5,129,033
Dividends and interest 253,737 1,386,891
Due from affiliate 25,152 --
Investment securities sold 112,993 --
Other 18,898 --
Prepaid expenses 30,384 23,417
---------- ------------
Total Assets 38,006,149 363,423,486
---------- ------------
LIABILITIES:
Payable for investment securities
purchased 289,431 --
Payable for fund shares redeemed 167,071 323,253
Other accrued expenses and liabilities 2,625 467,331
----------- ------------
Total Liabilities 459,127 790,584
----------- ------------
NET ASSETS $37,547,022 $362,632,902
=========== ============
NET ASSETS CONSIST OF:
Paid-in capital $36,048,824 $236,117,741
Undistributed (overdistributed) net
investment income (248,930) 276,833
Accumulated net realized gain (loss) on
investments and foreign currency
transactions (412,731) 15,610,521
Net unrealized appreciation of investments
and other assets, liabilities and forward
contracts denominated in foreign currencies 2,159,859 110,627,807
----------- ------------
Net Assets $37,547,022 $362,632,902
=========== ============
* Cost of securities $32,782,462 $229,892,255
48
<PAGE>
- --------------------------------------------------------------------------------
Balanced Convertible
Fund Fund
---- ----
Class A:
Net Assets $10,140,692 $ 88,816,034
Shares authorized unlimited unlimited
Par Value $ 0.00 $ 0.00
Shares outstanding 650,020 3,384,365
Net asset value and redemption
price per share $ 15.60 $ 26.24
Maximum offering price per share $ 16.55 $ 27.84
Class B:
Net Assets $ 7,716,361 $108,526,626
Shares authorized unlimited unlimited
Par Value $ 0.00 $ 0.00
Shares outstanding 460,985 3,797,345
Net asset value and redemption
price per share $ 16.74 $ 28.58
Maximum offering price per share $ 16.74 $ 28.58
Class C:
Net Assets $19,493,836 $132,755,648
Shares authorized unlimited unlimited
Par Value $ 0.00 $ 0.00
Shares outstanding 1,297,495 4,951,288
Net asset value and redemption
price per share $ 15.02 $ 26.81
Maximum offering price per share $ 15.02 $ 26.81
Class Q:
Net Assets $ 196,133 $ 32,534,594
Shares authorized unlimited unlimited
Par Value $ 0.00 $ 0.00
Shares outstanding 12,702 1,281,758
Net asset value and redemption
price per share $ 15.44 $ 25.38
Maximum offering price per share $ 15.44 $ 25.38
- ----------
(1) Maximum offering price is computed at 100/94.25 of net asset value. On
purchases of $50,000 or more, the offering price is reduced.
(2) Redemption price per share is equal to the net asset value per share less
any applicable contingent deferred sales charge.
49
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
LargeCap LargeCap
MagnaCap Leaders Growth
Fund Fund Fund
---- ---- ----
Six Months Six Months Six Months
Ended Ended Ended
December 31, December 31, December 31,
1999 1999 1999
---- ---- ----
INVESTMENT INCOME:
Dividends, net of foreign taxes $ 3,277,451 $ 212,476 $ 283,411
Interest 843,870 41,449 362,980
Securities lending -- -- --
------------ ----------- -------------
Total investment income 4,121,321 253,925 646,391
------------ ----------- -------------
EXPENSES:
Investment management fees 1,715,475 190,841 835,391
Distribution expenses 1,019,080 121,529 648,466
Transfer agent and registrar fees 556,275 51,772 112,555
Shareholder reporting 143,075 8,796 22,058
Shareholder servicing fee 141,025 29,914 233,258
Registration and filing fees 71,330 21,158 14,512
Professional fees 66,315 2,212 7,381
Recordkeeping and pricing fees 63,825 1,583 8,999
Custodian fees 47,815 1,871 13,367
Directors' fees 27,000 1,080 1,080
Miscellaneous 24,875 740 12,135
Insurance 12,707 825 914
Interest and credit facility fee 4,406 342 1,281
Organization expense -- 15,409 --
------------ ----------- -------------
Total expenses 3,893,203 448,072 1,911,397
------------ ----------- -------------
Less:
Waived and reimbursed fees -- 10,237 --
Earnings credits 865 210 6,054
------------ ----------- -------------
Net expenses 3,892,338 437,625 1,905,343
------------ ----------- -------------
Net investment income (loss) 228,983 (183,700) (1,258,952)
------------ ----------- -------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) from
investments (3,059,907) 2,174,345 2,130,380
Net change in unrealized
appreciation (depreciation)
of investments 12,313,998 384,417 119,317,768
------------ ----------- -------------
Net gain (loss) from investments 9,254,091 2,558,762 121,448,148
------------ ----------- -------------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS $ 9,483,074 $ 2,375,062 $ 120,189,196
============ =========== =============
<TABLE>
<CAPTION>
MidCap MidCap SmallCap Bank and
Value Growth Growth Thrift
Fund Fund Fund Fund
---- ---- ---- ----
Six Months Six Months Six Months Six Months
Ended Ended Ended Ended
December 31, December 31, December 31, December 31,
1999 1999 1999 1999
---- ---- ---- ----
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends, net of foreign taxes $ 221,647 $ 107,595 $ 158,187 $ 7,690,715
Interest 53,471 108,000 338,541 160,134
Securities lending -- -- 11,984 --
----------- ------------- ------------- -------------
Total investment income 275,118 215,595 508,712 7,850,849
----------- ------------- ------------- -------------
EXPENSES:
Investment management fees 236,363 1,159,517 1,717,149 2,202,621
Distribution expenses 141,954 913,391 973,749 1,457,440
Transfer agent and registrar fees 79,884 197,031 229,828 850,625
Shareholder reporting 13,303 80,444 86,323 129,195
Shareholder servicing fee 31,054 327,307 341,605 347,756
Registration and filing fees 36,827 11,663 12,753 84,681
Professional fees 6,783 24,341 24,628 102,487
Recordkeeping and pricing fees 1,289 20,002 23,382 56,575
Custodian fees 5,127 33,572 38,665 51,050
Directors' fees 2,701 5,760 6,300 23,092
Miscellaneous 7,622 45,697 49,316 46,425
Insurance 1,322 4,303 5,149 15,556
Interest and credit facility fee 502 2,161 1,770 6,198
Organization expense 15,409 -- -- --
----------- ------------- ------------- -------------
Total expenses 580,140 2,825,189 3,510,617 5,373,701
----------- ------------- ------------- -------------
Less:
Waived and reimbursed fees 50,821 39,890 49,697 --
Earnings credits 1,023 1,615 -- --
----------- ------------- ------------- -------------
Net expenses 528,296 2,783,684 3,460,920 5,373,701
----------- ------------- ------------- -------------
Net investment income (loss) (253,178) (2,568,089) (2,952,208) 2,477,148
----------- ------------- ------------- -------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) from
investments 892,425 22,451,411 57,341,218 15,257,682
Net change in unrealized
appreciation (depreciation)
of investments (7,867,614) 146,205,625 105,716,659 (138,785,947)
----------- ------------- ------------- -------------
Net gain (loss) from investments (6,975,189) 168,657,036 163,057,877 (123,528,265)
----------- ------------- ------------- -------------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS $(7,228,367) $ 166,088,947 $ 160,105,669 $(121,051,117)
=========== ============= ============= =============
</TABLE>
See Accompanying Notes to Financial Statements
50
<PAGE>
- -------------
International
Equity Funds
- -------------
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International International Emerging Asia-Pacific
Worldwide Core Growth SmallCap Countries Equity
Growth Fund Fund Growth Fund Fund Fund
----------- ---- ----------- ---- ----
Six Months Six Months Six Months Six Months Six Months
Ended Ended Ended Ended Ended
December 31, December 31, December 31, December 31, December 31,
1999 1999 1999 1999 1999
---- ---- ---- ---- ----
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C>
Dividends, net of foreign taxes $ 293,672 $ 34,450 $ 295,394 $ 568,924 $ 213,267
Interest 395,011 48,446 523,579 57,554 35,724
Other investment income 4,335 1,413 16,351 13,841 813
------------- ------------ ------------- ------------ -----------
Total investment income 693,018 84,309 835,324 640,319 249,804
------------- ------------ ------------- ------------ -----------
EXPENSES:
Investment management fees 1,478,047 271,309 1,117,692 1,171,249 209,002
Distribution expenses 783,336 125,408 382,128 259,892 89,667
Shareholder servicing fee 299,482 57,030 224,129 193,132 16,933
Transfer agent and registrar
fees 144,638 62,400 128,825 192,514 87,504
Custodian fees 89,696 74,576 103,114 317,870 71,035
Shareholder reporting 57,133 15,360 17,889 48,505 4,365
Miscellaneous 37,707 11,538 17,023 13,066 6,267
Recordkeeping and pricing fees 20,555 18,464 16,918 41,433 2,290
Professional fees 15,401 4,378 9,546 11,259 312
Registration and filing fees 11,019 10,996 11,975 12,220 14,027
Directors' fees 3,960 1,259 1,980 3,240 1,045
Insurance 2,088 562 6,807 1,948 1,551
Interest and credit facility fee 1,412 7,507 14,067 22,786 4,674
Organization expense -- -- -- -- 15,409
------------- ------------ ------------- ------------ -----------
Total expenses 2,944,474 660,787 2,052,093 2,289,114 524,081
------------- ------------ ------------- ------------ -----------
Less:
Waived and reimbursed fees -- 91,115 -- 187,646 96,661
------------- ------------ ------------- ------------ -----------
Net expenses 2,944,474 569,672 2,052,093 2,101,468 427,420
------------- ------------ ------------- ------------ -----------
Net investment loss (2,251,456) (485,363) (1,216,769) (1,461,149) (177,616)
------------- ------------ ------------- ------------ -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from:
Investments (net of foreign
tax on the sale of Indian
investments of $0, $0, $536,127,
$2,217,389 and $0, respectively
-- Note 2) 12,055,922 3,186,860 30,390,067 21,071,176 4,004,272
Foreign currency transactions (384,274) (197,027) (666,597) (333,811) (37,679)
Net change in unrealized
appreciation (depreciation) of:
Investments (net of change in
estimated tax liability on Indian
investments of $0, $0, $0,
$1,294,392 and $0, respectively
-- Note 2) 129,790,432 23,171,809 125,659,339 36,919,041 4,345,294
Translation of other assets,
liabilities and forward
contracts denominated in
foreign currencies 9,682 43,619 21,921 (14,943) 240,249
------------- ------------ ------------- ------------ -----------
Net gain from investments and
foreign currencies 141,471,762 26,205,261 155,404,730 57,641,463 8,552,136
------------- ------------ ------------- ------------ -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 139,220,306 $ 25,719,898 $ 154,187,961 $ 56,180,314 $ 8,374,520
============= ============ ============= ============ ===========
</TABLE>
See Accompanying Notes to Financial Statements
51
<PAGE>
- ------
Income
Funds
- ------
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Government Strategic
Securities Income High Yield High Yield Money Market
Income Fund Fund Fund Fund II Fund
----------- ---- ---- ------- ----
Six Months Six Months Six Months Six Months Six Months
December 31, December 31, December 31, December 31, December 31,
1999 1999 1999 1999 1999*
---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends, net of foreign taxes $ -- $ 42,655 $ 4,556 $ 5,879 $ --
Interest 1,229,107 571,201 21,966,521 4,283,793 180,467
Other investment income 800 -- 110,009 84,840 --
----------- --------- ------------ ----------- --------
Total investment income 1,229,907 613,856 22,081,086 4,374,512 180,467
----------- --------- ------------ ----------- --------
EXPENSES:
Investment management fees 85,505 33,218 1,203,016 232,379 --
Distribution expenses 76,974 32,757 1,199,762 239,826 25,177
Transfer agent and registrar fees 63,739 41,599 271,468 49,330 8,650
Registration and filing fees 29,512 11,144 59,666 10,689 29,527
Shareholder servicing fee 15,302 16,228 316,858 86,650 865
Custodian fees 14,533 4,339 27,785 11,667 2,993
Shareholder reporting 9,963 4,543 85,522 13,033 3,633
Professional fees 6,226 1,248 37,080 4,877 6,920
Recordkeeping and pricing fees 4,185 5,408 44,626 7,947 --
Miscellaneous 1,671 4,128 14,770 11,603 8,733
Directors' fees 1,304 1,261 20,520 3,960 346
Insurance 948 229 9,000 937 346
Interest and credit facility fee 328 130 18,333 5,317 --
Organization expenses -- -- -- -- 78,548
Administrative fee -- -- -- -- 8,387
----------- --------- ------------ ----------- --------
Total expenses 310,190 156,232 3,308,406 678,215 174,125
----------- --------- ------------ ----------- --------
Less:
Waived and reimbursed fees -- 62,580 270,624 54,172 101,689
Earnings credits 1,003 208 3,580 2,492 225
----------- --------- ------------ ----------- --------
Net expenses 309,187 93,444 3,034,202 621,551 72,211
----------- --------- ------------ ----------- --------
Net investment income 920,720 520,412 19,046,884 3,752,961 108,256
----------- --------- ------------ ----------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized loss from:
Investments (684,289) (633,114) (17,061,749) (3,013,286) --
Foreign currency transactions -- -- -- -- --
Net change in unrealized appreciation
(depreciation) of:
Investments (334,484) 75,528 (11,741,992) 291,900 --
Translation of other assets, liabilities
and forward contracts denominated in
foreign currencies -- 534 -- -- --
----------- --------- ------------ ----------- --------
Net loss from investments and foreign
currencies (1,018,773) (557,052) (28,803,741) (2,721,386) --
----------- --------- ------------ ----------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (98,053) $ (36,640) $ (9,756,857) $ 1,031,575 $108,256
=========== ========= ============ =========== ========
</TABLE>
- ----------
* Fund commenced operations on July 12, 1999.
See Accompanying Notes to Financial Statements
52
<PAGE>
- ------------
Equity &
Income Funds
- ------------
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
Balanced Fund Convertible Fund
Six Months Six Months
Ended Ended
December 31, December 31,
1999 1999
INVESTMENT INCOME:
Dividends, net of foreign taxes $196,157 $ 1,698,167
Interest 701,211 2,549,836
Other investment income 8,975 8,559
-------- -----------
Total investment income 906,343 4,256,562
-------- -----------
EXPENSES:
Investment management fees 141,840 1,025,999
Distribution expenses 116,748 777,027
Transfer agent and registrar fees 55,851 146,378
Shareholder servicing fee 39,975 290,939
Shareholder reporting 9,221 67,962
Miscellaneous 7,477 36,342
Registration and filing fees 6,971 10,968
Custodian fees 5,707 38,531
Recordkeeping and pricing fees 4,164 21,306
Professional fees 2,353 18,207
Directors' fees 720 4,761
Insurance 525 2,636
Interest and credit facility fee 211 8,176
-------- -----------
Total expenses 391,763 2,449,232
-------- -----------
Less:
Waived and reimbursed fees 45,421 --
Earnings credits 383 16,119
-------- -----------
Net expenses 345,959 2,433,113
-------- -----------
Net investment income 560,384 1,823,449
-------- -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain from:
Investments 339,986 22,182,264
Foreign currency transactions -- --
Net change in unrealized appreciation of:
Investments 25,730 60,745,085
Translation of other assets, liabilities
and forward contracts denominated in
foreign currencies 687 --
-------- -----------
Net gain from investments and foreign currencies 366,403 82,927,349
-------- -----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $926,787 $84,750,798
======== ===========
See Accompanying Notes to Financial Statements
53
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MagnaCap Fund LargeCap Leaders Fund
---------------------------- --------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Dec. 31, 1999 June 30, Dec. 31, 1999 June 30,
(Unaudited) 1999 (Unaudited) 1999
----------- ---- ----------- ----
<S> <C> <C> <C> <C>
Increase (decrease) in net
assets from operations:
Net investment income (loss) $ 228,983 $ 1,122,179 $ (183,700) $ (160,435)
Net realized gain (loss) from
investments (3,059,907) 49,186,475 2,174,345 3,547,281
Net change in unrealized
appreciation (depreciation)
of investments 12,313,998 17,754,811 384,417 1,974,289
------------- ------------- ------------ ------------
Net increase (decrease) in net
assets from operations 9,483,074 68,063,465 2,375,062 5,361,135
------------- ------------- ------------ ------------
Distributions to shareholders:
From net investment income:
Retail class (1,050,366) (714,666) -- --
Advisory and institutional classes -- -- -- --
From net realized gains:
Retail class (48,878,271) (45,964,037) (4,377,554) (706,104)
Advisory and institutional classes -- -- -- --
------------- ------------- ------------ ------------
Total distributions (49,928,637) (46,678,703) (4,377,554) (706,104)
------------- ------------- ------------ ------------
Capital Share Transactions:
Net proceeds from sale of shares 92,860,623 272,199,176 6,846,987 16,009,174
Shares resulting from dividend
reinvestments 45,856,781 37,748,339 4,015,050 647,165
Cost of shares redeemed (119,076,470) (270,865,970) (7,238,835) (11,675,377)
Redemption of Class I shares n/a n/a n/a n/a
------------- ------------- ------------ ------------
Net increase (decrease) in net
assets resulting from capital
share transactions 19,640,934 39,081,545 3,623,202 4,980,962
------------- ------------- ------------ ------------
Net increase (decrease) in net assets (20,804,629) 60,466,307 1,620,710 9,635,993
------------- ------------- ------------ ------------
Net assets, beginning of period 501,687,465 441,221,158 38,380,395 28,744,402
------------- ------------- ------------ ------------
Net assets, end of period $ 480,882,836 $ 501,687,465 $ 40,001,105 $ 38,380,395
============= ============= ============ ============
Undistributed net investment
income (loss) $ (285,070) $ 536,313 $ (183,723) $ --
============= ============= ============ ============
</TABLE>
See Accompanying Notes to Financial Statements
54
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LargeCap Growth Fund MidCap Value Fund
- ---------------------------------------------- -----------------------------
Six Months Three Months Year Six Months Year
Ended Ended Ended Ended Ended
Dec. 31, 1999 June 30, March 31, Dec. 31, 1999 June 30,
(Unaudited) 1999 1999 (Unaudited) 1999
----------- ---- ---- ----------- ----
<S> <C> <C> <C> <C>
$ (1,258,952) $ (163,823) $ (196,384) $ (253,178) $ (644,817)
2,130,380 2,418,689 5,409,155 892,425 426,848
119,317,768 6,320,924 9,499,395 (7,867,614) (1,161,622)
- ------------- ------------- ------------ ------------ ------------
120,189,196 8,575,790 14,712,166 (7,228,367) (1,379,591)
- ------------- ------------- ------------ ------------ ------------
- ------------- ------------- ------------ ------------ ------------
- ------------- ------------- ------------ ------------ ------------
(2,952,299) -- (262,973) (275,279) (5,331,934)
(132,325) -- (41,543) -- --
- ------------- ------------- ------------ ------------ ------------
(3,084,624) -- (304,516) (275,279) (5,331,934)
- ------------- ------------- ------------ ------------ ------------
256,187,566 52,500,065 35,925,823 2,884,385 13,030,899
2,520,992 -- 292,849 249,426 4,471,463
(28,877,614) (3,028,700) (11,532,699) (17,476,797) (31,686,611)
n/a (6,420,194) -- n/a n/a
- ------------- ------------- ------------ ------------ ------------
229,830,944 43,051,171 24,685,973 (14,342,986) (14,184,249)
- ------------- ------------- ------------ ------------ ------------
346,935,516 51,626,961 39,093,623 (21,846,632) (20,895,774)
- ------------- ------------- ------------ ------------ ------------
102,963,948 51,336,987 12,243,364 60,395,740 81,291,514
- ------------- ------------- ------------ ------------ ------------
$ 449,899,464 $ 102,963,948 $ 51,336,987 $ 38,549,108 $ 60,395,740
============= ============= ============ ============ ============
$ (1,258,524) $ -- $ (225,010) $ (253,178) $ --
============= ============= ============ ============ ============
</TABLE>
55
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MidCap Growth Fund
------------------------------------------------
Six Months Three Months Year
Ended Ended Ended
Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 1999
----------- ---- ----
<S> <C> <C> <C>
Increase (decrease) in net assets
from operations:
Net investment income (loss) $ (2,568,089) $ (1,221,010) $ (4,514,125)
Net realized gain from
investments 22,451,411 37,699,336 47,761,620
Net change in unrealized
appreciation (depreciation) of
investments 146,205,625 (14,395,996) 8,536,297
------------- ------------- ---------------
Net increase (decrease) in net
assets from operations 166,088,947 22,082,330 51,783,792
------------- ------------- ---------------
Distributions to shareholders:
From net investment income:
Retail class -- -- --
Advisory and institutional
classes -- -- --
From net realized gains:
Retail class (85,719,063) -- (17,157,024)
Advisory and institutional
classes (2,674,725) -- (6,615,537)
------------- ------------- ---------------
Total distributions (88,393,788) -- (23,772,561)
------------- ------------- ---------------
Capital Share Transactions:
Net proceeds from sale of shares 63,746,696 14,162,841 158,133,048
Shares resulting from dividend
reinvestments 78,989,743 -- 12,306,426
Cost of shares redeemed (69,680,686) (21,991,325) (249,866,820)
Redemption of Class I shares n/a (168,592,944) --
------------- ------------- ---------------
Net increase (decrease) in net
assets resulting from capital
share transactions 73,055,753 (176,421,428) (79,427,346)
------------- ------------- ---------------
Net increase (decrease) in net
assets 150,750,912 (154,339,098) (51,416,115)
------------- ------------- ---------------
Net assets, beginning of period 280,135,385 434,474,483 485,890,598
------------- ------------- ---------------
Net assets, end of period $ 430,886,297 $ 280,135,385 $ 434,474,483
============= ============= ===============
Undistributed net investment
income (loss) $ (2,561,964) $ -- $ (21,862,409)
============= ============= ===============
SmallCap Growth Fund
------------------------------------------------
Six Months Three Months Year
Ended Ended Ended
Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 1999
----------- ---- ----
Increase (decrease) in net assets
from operations:
Net investment income (loss) $ (2,952,208) $ (1,566,497) $ (7,200,570)
Net realized gain from
investments 57,341,218 67,438,450 86,043,833
Net change in unrealized
appreciation (depreciation) of
investments 105,716,659 (18,557,187) (93,770,559)
------------- ------------- ---------------
Net increase (decrease) in net
assets from operations 160,105,669 47,314,766 (14,927,296)
------------- ------------- ---------------
Distributions to shareholders:
From net investment income:
Retail class -- -- --
Advisory and institutional
classes -- -- --
From net realized gains:
Retail class (153,336,602) -- (43,179,861)
Advisory and institutional
classes (5,061,980) -- (10,999,123)
------------- ------------- ---------------
Total distributions (158,398,582) -- (54,178,984)
------------- ------------- ---------------
Capital Share Transactions:
Net proceeds from sale of shares 78,093,569 17,931,971 972,155,767
Shares resulting from dividend
reinvestments 136,804,915 -- 42,870,637
Cost of shares redeemed (82,840,952) (33,776,345) (1,191,789,767)
Redemption of Class I shares n/a (221,318,827) n/a
------------- ------------- ---------------
Net increase (decrease) in net
assets resulting from capital
share transactions 132,057,532 (237,163,201) (176,763,363)
------------- ------------- ---------------
Net increase (decrease) in net
assets 133,764,619 (189,848,435) (245,869,643)
------------- ------------- ---------------
Net assets, beginning of period 316,572,722 506,421,157 752,290,800
------------- ------------- ---------------
Net assets, end of period $ 450,337,341 $ 316,572,722 $ 506,421,157
============= ============= ===============
Undistributed net investment
income (loss) $ (2,946,828) $ -- $ (36,692,610)
============= ============= ===============
</TABLE>
See Accompanying Notes to Financial Statements
56
<PAGE>
- --------------------------------------------------------------------------------
Bank and Thrift Fund
- -------------------------------
Six Months Year
Ended Ended
Dec. 31, 1999 June 30,
(Unaudited) 1999
----------- ----
$ 2,477,148 $ 6,195,132
15,257,682 86,792,727
(138,785,947) (179,566,903)
- ------------- -------------
(121,051,117) (86,579,044)
- ------------- -------------
(3,904,766) (4,375,894)
- ------------- -------------
(70,854,727) (19,782,011)
- ------------- -------------
- ------------- -------------
(74,759,493) (24,157,905)
- ------------- -------------
32,346,555 306,625,647
58,397,188 15,433,927
(175,247,341) (374,806,089)
n/a n/a
- ------------- -------------
(84,503,598) (52,746,515)
- ------------- -------------
(280,314,208) (163,483,464)
- ------------- -------------
745,624,955 909,108,419
- ------------- -------------
$ 465,310,747 $ 745,624,955
============= =============
$ 1,883,755 $ 3,311,373
============= =============
57
<PAGE>
- -------------
International
Equity Funds
- -------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Worldwide Growth Fund
------------------------------------------------
Six Months Three Months Year
Ended Ended Ended
Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 1998
----------- ---- ----
<S> <C> <C> <C>
Increase (decrease) in net
assets from operations:
Net investment income (loss) $ (2,251,456) $ (238,891) $ (1,461,258)
Net realized gain (loss)
from investment and foreign
currency transactions (net of
foreign tax on the sale of Indian
investments -- Note 2) 11,671,648 4,825,170 34,449,340
Net change in unrealized
appreciation of investments and
translation of other assets,
liabilities and forward contracts
denominated in foreign currencies
(net of estimated tax liability on
Indian investments -- Note 2) 129,800,114 20,367,556 12,614,021
------------- ------------- -------------
Net increase (decrease) in net assets
from operations 139,220,306 24,953,835 45,602,103
------------- ------------- -------------
Distributions to shareholders:
From net investment income:
Retail class -- -- (136,708)
Advisory and institutional classes -- -- (337,084)
From net realized gains:
Retail class (34,182,894) -- (20,785,812)
Advisory and institutional classes (3,489,639) -- (483,831)
------------- ------------- -------------
Total distributions (37,672,533) -- (21,743,435)
------------- ------------- -------------
Capital Share Transactions:
Net proceeds from sale of shares 180,134,322 53,831,659 242,170,764
Shares resulting from dividend
reinvestments 33,052,950 -- 5,494,245
Cost of shares redeemed (69,026,984) (25,822,612) (168,874,579)
Redemption of Class I shares n/a (80,662,778) --
------------- ------------- -------------
Net increase (decrease) in net assets
resulting from capital share transactions 144,160,288 (52,653,731) 78,790,430
------------- ------------- -------------
Net increase (decrease) in net assets 245,708,061 (27,699,896) 102,649,098
------------- ------------- -------------
Net assets, beginning of period 220,302,784 248,002,680 145,353,582
------------- ------------- -------------
Net assets, end of period $ 466,010,845 $ 220,302,784 $ 248,002,680
============= ============= =============
Undistributed net investment income (loss) $ (2,245,389) $ -- $ (7,189,744)
============= ============= =============
International Core Growth Fund
-----------------------------------------------
Six Months Three Months Year
Ended Ended Ended
Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 1999
----------- ---- ----
Increase (decrease) in net
assets from operations:
Net investment income (loss) $ (485,363) $ 69,633 $ (310,557)
Net realized gain (loss) from
investment and foreign currency
transactions (net of foreign
tax on the sale of Indian
investments -- Note 2) 2,989,833 3,913,039 (528,900)
Net change in unrealized
appreciation of investments and
translation of other assets,
liabilities and forward contract
denominated in foreign currencies
(net of estimated tax liability on
Indian investments -- Note 2) 23,215,428 4,018,188 13,512,294
------------ ------------- -------------
Net increase (decrease) in net assets
from operations 25,719,898 8,000,860 12,672,837
------------ ------------- -------------
Distributions to shareholders:
From net investment income:
Retail class -- -- (205,129)
Advisory and institutional classes -- -- (29,622)
From net realized gains:
Retail class (2,344,213) -- (155,723)
Advisory and institutional classes (593,453) -- (13,021)
------------ ------------- -------------
Total distributions (2,937,666) -- (403,495)
------------ ------------- -------------
Capital Share Transactions:
Net proceeds from sale of shares 49,618,685 35,644,077 173,884,589
Shares resulting from dividend
reinvestments 2,747,513 -- 228,203
Cost of shares redeemed (44,977,289) (47,242,674) (82,311,581)
Redemption of Class I shares n/a (112,851,333) --
------------ ------------- -------------
Net increase (decrease) in net
assets resulting from capital
share transactions 7,388,909 (124,449,930) 91,801,211
------------ ------------- -------------
Net increase (decrease) in net assets 30,171,141 (116,449,070) 104,070,553
------------ ------------- -------------
Net assets, beginning of period 45,768,532 162,217,602 58,147,049
------------ ------------- -------------
Net assets, end of period $ 75,939,673 $ 45,768,532 $ 162,217,602
============ ============= =============
Undistributed net investment income (loss) $ (417,370) $ 69,633 $ (647,924)
============ ============= =============
</TABLE>
See Accompanying Notes to Financial Statements
58
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International SmallCap Growth Fund Emerging Countries Fund
- ------------------------------------------------ -------------------------------------------------
Six Months Three Months Year Six Months Three Months Year
Ended Ended Ended Ended Ended Ended
Dec. 31, 1999 June 30, March 31, Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 1999 (Unaudited) 1999 1999
----------- ---- ---- ----------- ---- ----
<S> <C> <C> <C> <C> <C>
$ (1,216,769) $ (217,461) $ (725,193) $ (1,461,149) $ (30,573) $ (444,466)
29,723,470 5,331,912 8,225,524 20,737,365 11,238,884 (83,823,307)
125,681,260 11,694,205 14,357,916 36,904,098 51,126,351 10,517,870
- ------------- ------------- ------------- ------------- ------------- -------------
154,187,961 16,808,656 21,858,247 56,180,314 62,334,662 (73,749,903)
- ------------- ------------- ------------- ------------- ------------- -------------
-- -- -- -- -- (105,494)
-- -- (76,552) -- -- (676,244)
(11,790,032) -- (2,163,953) -- -- (685,405)
(5,303,390) -- (1,836,179) -- -- (431,659)
- ------------- ------------- ------------- ------------- ------------- -------------
(17,093,422) -- (4,076,684) -- -- (1,898,802)
- ------------- ------------- ------------- ------------- ------------- -------------
281,218,070 48,190,262 194,823,908 57,531,374 38,136,033 234,887,012
15,794,503 -- 3,425,742 -- -- 1,499,434
(117,960,880) (30,396,046) (142,304,879) (62,382,619) (31,982,656) (160,102,083)
n/a (73,163,306) -- n/a (167,510,018) --
- ------------- ------------- ------------- ------------- ------------- -------------
179,051,693 (55,369,090) 55,944,771 (4,851,245) (161,356,641) 76,284,363
- ------------- ------------- ------------- ------------- ------------- -------------
316,146,232 (38,560,434) 73,726,334 51,329,069 (99,021,979) 635,658
- ------------- ------------- ------------- ------------- ------------- -------------
118,056,357 156,616,791 82,890,457 183,184,199 282,206,178 281,570,520
- ------------- ------------- ------------- ------------- ------------- -------------
$ 434,202,589 $ 118,056,357 $ 156,616,791 $ 234,513,268 $ 183,184,199 $ 282,206,178
============= ============= ============= ============= ============= =============
$ (1,216,494) $ -- $ (1,982,021) $ (1,461,149) $ -- $ (2,164,624)
============= ============= ============= ============= ============= =============
</TABLE>
59
<PAGE>
- -------------
International
Equity Funds
- -------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Asia-Pacific Equity Fund
------------------------------
Six Months Year
Ended Ended
Dec. 31, 1999 June 30,
(Unaudited) 1999
----------- ----
Increase (decrease) in net
assets from operations:
Net investment loss $ (177,616) $ (83,355)
Net realized gain (loss)
from investment and foreign
currency transactions 3,966,593 (6,670,421)
Net change in unrealized
appreciation of investments
and translation of other
assets, liabilities and
forward contracts denominated
in foreign currencies 4,585,543 20,223,587
------------ -------------
Net increase in net assets
from operations 8,374,520 13,469,811
------------ -------------
Distributions to shareholders:
From net investment income:
Retail class -- --
Advisory and institutional
classes -- n/a
From net realized gains:
Retail class -- --
Advisory and institutional
classes -- n/a
------------ -------------
Total distributions -- --
------------ -------------
Capital Share Transactions:
Net proceeds from sale of
shares 51,914,161 137,827,549
Shares resulting from dividend
reinvestments -- --
Cost of shares redeemed (51,193,069) (143,882,119)
Redemption of Class I shares n/a n/a
------------ -------------
Net increase (decrease) in net
assets resulting from capital
share transactions 721,092 (6,054,570)
------------ -------------
Net increase in net assets 9,095,612 7,415,241
------------ -------------
Net assets, beginning of period 32,560,537 25,145,296
------------ -------------
Net assets, end of period $ 41,656,149 $ 32,560,537
============ =============
Overdistributed net investment income $ (177,616) $ --
============ =============
See Accompanying Notes to Financial Statements
60
<PAGE>
- ------
Income
Funds
- ------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Government Securities Income Fund
---------------------------------
Six Months Year
Ended Ended
Dec. 31, 1999 June 30,
(Unaudited) 1999
----------- ----
Increase (decrease) in net
assets from operations:
Net investment income $ 920,720 $ 2,202,024
Net realized gain (loss) from
investment and foreign currency
transactions (684,289) (852,058)
Net change in unrealized appreciation
(depreciation) of investments
and translation of other assets,
liabilities and forward contracts
denominated in foreign currencies (334,484) (887,365)
------------ ------------
Net increase (decrease) in net
assets from operations (98,053) 462,601
------------ ------------
Distributions to shareholders:
From net investment income:
Retail class (1,002,286) (2,211,069)
Advisory and institutional classes -- --
From net realized gains:
Retail class -- --
Advisory and institutional classes -- --
------------ ------------
Total distributions (1,002,286) (2,211,069)
------------ ------------
Capital Share Transactions:
Net proceeds from sale of shares 17,579,508 54,413,622
Net proceeds from shares issued
in merger n/a n/a
Shares resulting from dividend
reinvestmests 474,383 1,167,365
Cost of shares redeemed (18,634,159) (46,715,437)
Redemption of Class I shares n/a n/a
------------ ------------
Net increase (decrease) in net
assets resulting from capital
share transactions (580,268) 8,865,550
------------ ------------
Net increase (decrease) in net assets (1,680,607) 7,117,082
------------ ------------
Net assets, beginning of period 34,242,820 27,125,738
------------ ------------
Net capital share transactions $ 32,562,213 $ 34,242,820
============ ============
Undistributed net investment income (loss) $ (81,566) $ --
============ ============
<TABLE>
<CAPTION>
Strategic Income Fund
---------------------------------------------
Six Months Three Months Year
Ended Ended Ended
Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 1999
----------- ---- ----
<S> <C> <C> <C>
Increase (decrease) in net
assets from operations:
Net investment income $ 520,412 $ 388,563 $ 1,615,239
Net realized gain (loss)
from investment and foreign
currency transactions (633,114) (459,604) 330,860
Net change in unrealized
appreciation (depreciation)
of investments and translation
of other assets, liabilities
and forward contracts
denominated in foreign currencies 76,062 (72,404) (372,395)
------------ ------------ ------------
Net increase (decrease) in net
assets from operations (36,640) (143,445) 1,573,704
------------ ------------ ------------
Distributions to shareholders:
From net investment income:
Retail class (502,294) (187,766) (621,335)
Advisory and institutional classes (6,586) (121,982) (934,712)
From net realized gains:
Retail class -- -- (151,772)
Advisory and institutional classes -- -- (442,876)
------------ ------------ ------------
Total distributions (508,880) (309,748) (2,150,695)
------------ ------------ ------------
Capital Share Transactions:
Net proceeds from sale of shares 5,598,746 24,148,535 30,254,792
Net proceeds from shares issued
in merger n/a n/a 10,271,727
Shares resulting from dividend
reinvestmests 262,621 108,053 1,714,149
Cost of shares redeemed (9,432,990) (25,920,629) (20,857,342)
Redemption of Class I shares n/a (17,917,765) n/a
------------ ------------ ------------
Net increase (decrease) in net
assets resulting from capital
share transactions (3,571,623) (19,581,806) 21,383,326
------------ ------------ ------------
Net increase (decrease) in net assets (4,117,143) (20,034,999) 20,806,335
------------ ------------ ------------
Net assets, beginning of period 16,530,324 36,565,323 15,758,988
------------ ------------ ------------
Net capital share transactions $ 12,413,181 $ 16,530,324 $ 36,565,323
============ ============ ============
Undistributed net investment income (loss) $ 149,553 $ 138,021 $ 59,206
============ ============ ============
</TABLE>
See Accompanying Notes to Financial Statements
61
<PAGE>
- ------
Income
Funds
- ------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
High Yield Fund
------------------------------
Six Months Year
Ended Ended
Dec. 31, 1999 June 30,
(Unaudited) 1999
----------- ----
Increase (decrease) in net
assets from operations:
Net investment income $ 19,046,884 $ 32,082,228
Net realized loss from
investment and foreign
currency transactions (17,061,749) (39,880,708)
Net change in unrealized
appreciation (depreciation)
of investments and translation
of other assets, liabilities
and forward contracts
denominated in foreign currencies (11,741,992) (9,008,796)
------------- -------------
Net increase (decrease) in net
assets from operations (9,756,857) (16,807,276)
------------- -------------
Distributions to shareholders:
From net investment income:
Retail class (20,000,833) (33,382,295)
Advisory and institutional
classes (2) --
Tax return of capital
Retail class -- (604,370)
Advisory and institutional
classes -- --
------------- -------------
Total distributions (20,000,835) (33,986,665)
------------- -------------
Capital Share Transactions:
Net proceeds from sale of shares 76,584,151 338,787,788
Net proceeds from shares issued
in merger n/a n/a
Shares resulting from dividend
reinvestments 7,958,487 15,394,375
Cost of shares redeemed (97,091,886) (162,095,950)
Redemption of Class I shares n/a n/a
------------- -------------
Net increase (decrease) in net
assets resulting from capital
share transactions (12,549,248) 192,086,213
------------- -------------
Net increase (decrease) in
net assets (42,306,940) 141,292,272
------------- -------------
Net assets, beginning of period 417,803,960 276,511,688
------------- -------------
Net capital share transactions $ 375,497,020 $ 417,803,960
============= =============
Undistributed net investment
income (loss) $ (953,951) $ --
============= =============
<TABLE>
<CAPTION>
High Yield Fund II
----------------------------------------------
Six Months Three Months Year
Ended Ended Ended
Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 1999
----------- ---- ----
<S> <C> <C> <C>
Increase (decrease) in net
assets from operations:
Net investment income $ 3,752,961 $ 2,117,917 $ 7,088,233
Net realized loss from
investment and foreign
currency transactions (3,013,286) (1,651,059) (2,958,000)
Net change in unrealized
appreciation (depreciation)
of investments and translation
of other assets, liabilities
and forward contracts
denominated in foreign currencies 291,900 1,222,666 (2,908,667)
------------ ------------ -------------
Net increase (decrease) in net
assets from operations 1,031,575 1,689,524 1,221,566
------------ ------------ -------------
Distributions to shareholders:
From net investment income:
Retail class (3,548,741) (1,816,752) (6,010,027)
Advisory and institutional classes (224,262) (243,368) (1,342,628)
Tax return of capital
Retail class -- -- --
Advisory and institutional classes -- -- --
------------ ------------ -------------
Total distributions (3,773,003) (2,060,120) (7,352,655)
------------ ------------ -------------
Capital Share Transactions:
Net proceeds from sale of shares 21,355,286 5,060,774 103,808,906
Net proceeds from shares issued
in merger n/a n/a n/a
Shares resulting from dividend
reinvestments 1,501,404 636,667 3,545,605
Cost of shares redeemed (23,628,556) (12,563,115) (31,561,090)
Redemption of Class I shares n/a (11,636,641) --
------------ ------------ -------------
Net increase (decrease) in net
assets resulting from capital
share transactions (771,866) (18,502,315) 75,793,421
------------ ------------ -------------
Net increase (decrease) in net assets (3,513,294) (18,872,911) 69,662,332
------------ ------------ -------------
Net assets, beginning of period 80,524,199 99,397,110 29,734,778
------------ ------------ -------------
Net capital share transactions $ 77,010,905 $ 80,524,199 $ 99,397,110
============ ============ =============
Undistributed net investment income (loss) $ (213,962) $ (193,920) $ (251,717)
============ ============ =============
</TABLE>
Money Market Fund
-----------------
Period*
Ended
Dec. 31, 1999
(Unaudited)
-----------
Increase (decrease) in net assets from
operations:
Net investment income $ 108,256
Net realized loss from investment and
foreign currency transactions --
Net change in unrealized appreciation
(depreciation) of investments and translation
of other assets, liabilities and forward
contracts denominated in foreign currencies --
------------
Net increase (decrease) in net assets from
operations 108,256
------------
Distributions to shareholders:
From net investment income:
Retail class (108,256)
Advisory and institutional classes --
Tax return of capital
Retail class --
Advisory and institutional classes --
------------
Total distributions (108,256)
------------
Capital Share Transactions:
Net proceeds from sale of shares 51,798,028
Net proceeds from shares issued in merger n/a
Shares resulting from dividend reinvestments 42,285
Cost of shares redeemed (32,023,970)
Redemption of Class I shares n/a
------------
Net increase (decrease) in net assets resulting
from capital share transactions 19,816,343
------------
Net increase (decrease) in net assets 19,816,343
------------
Net assets, beginning of period --
------------
Net capital share transactions $ 19,816,343
============
Undistributed net investment income (loss) --
============
- ----------
* Fund commenced operations on July 12, 1999.
See Accompanying Notes to Financial Statements
62
<PAGE>
- ------------
Equity &
Income Funds
- ------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Balanced Fund
--------------------------------------------
Six Months Three Months Year
Ended Ended Ended
Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 1999
----------- ---- ----
Increase (decrease) in net
assets from operations:
Net investment income $ 560,384 $ 149,349 $ 568,429
Net realized gain from
investment and foreign
currency transactions 339,986 4,490,910 3,763,578
Net change in unrealized
appreciation (depreciation)
of investments and translation
of other assets, liabilities
and forward contracts
denominated in foreign
currencies 26,417 (4,167,142) 1,187,390
------------ ------------ ------------
Net increase in net assets
from operations 926,787 473,117 5,519,397
------------ ------------ ------------
Distributions to shareholders:
From net investment income:
Retail class (788,649) (96,590) (606,434)
Advisory and institutional
classes (4,652) (798) (29,342)
From net realized gains:
Retail class (7,318,123) -- (5,988,621)
Advisory and institutional
classes (37,408) -- (133,020)
------------ ------------ ------------
Total distributions (8,148,832) (97,388) (6,757,417)
------------ ------------ ------------
Capital Share Transactions:
Net proceeds from sale of shares 4,830,273 2,993,582 12,882,116
Shares resulting from dividend
reinvestments 6,970,005 41,034 5,548,500
Cost of shares redeemed (5,327,455) (2,512,012) (12,665,619)
Redemption of Class I shares n/a n/a n/a
------------ ------------ ------------
Net increase (decrease) in net
assets resulting from capital
share transactions 6,472,823 522,604 5,764,997
------------ ------------ ------------
Net increase (decrease) in net
assets (749,222) 898,333 4,526,977
------------ ------------ ------------
Net assets, beginning of period 38,296,244 37,397,911 32,870,934
------------ ------------ ------------
Net assets, end of period $ 37,547,022 $ 38,296,244 $ 37,397,911
============ ============ ============
Undistributed net investment
income (loss) $ (248,930) $ (16,013) $ (67,974)
============ ============ ============
Convertible Fund
---------------------------------------------
Six Months Three Months Year
Ended Ended Ended
Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 1999
----------- ---- ----
Increase (decrease) in net
assets from operations:
Net investment income $ 1,823,449 $ 1,054,881 $ 5,162,409
Net realized gain from
investment and foreign
currency transactions 22,182,264 13,167,798 25,455,864
Net change in unrealized
appreciation (depreciation)
of investments and translation
of other assets, liabilities
and forward contracts
denominated in foreign
currencies 60,745,085 3,889,849 19,262,427
------------- ------------- -------------
Net increase in net assets
from operations 84,750,798 18,112,528 49,880,700
------------- ------------- -------------
Distributions to shareholders:
From net investment income:
Retail class (1,536,909} (742,927) (2,822,214)
Advisory and institutional
classes (205,044) (88,744) (2,357,057)
From net realized gains:
Retail class (38,767,375) -- (3,158,579)
Advisory and institutional
classes (3,361,907) -- (915,964)
------------- ------------- -------------
Total distributions (43,871,235) (831,671) (9,253,814)
------------- ------------- -------------
Capital Share Transactions:
Net proceeds from sale of shares 65,358,045 28,114,039 83,841,725
Shares resulting from dividend
reinvestments 37,665,804 465,422 6,950,787
Cost of shares redeemed (40,307,820) (13,251,963) (66,351,226)
Redemption of Class I shares n/a (91,378,691) --
------------- ------------- -------------
Net increase (decrease) in net
assets resulting from capital
share transactions 62,716,029 (76,051,193) 24,441,286
------------- ------------- -------------
Net increase (decrease) in net
assets 103,595,592 (58,770,336) 65,068,172
------------- ------------- -------------
Net assets, beginning of period 259,037,310 317,807,646 252,739,474
------------- ------------- -------------
Net assets, end of period $ 362,632,902 $ 259,037,310 $ 317,807,646
============= ============= =============
Undistributed net investment
income (loss) $ 276,833 $ 195,337 $ (27,873)
============= ============= =============
See Accompanying Notes to Financial Statements
63
<PAGE>
Financial
PILGRIM MAGNACAP FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
-------------------------------------------------------------------
Six
months
ended Year ended June 30,
Dec. 31, 1999 -------------------------------------------------
(unaudited) 1999 1998 1997 1996 1995(1)
----------- ---- ---- ---- ---- -------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 17.69 17.07 15.92 16.69 14.03 12.36
Income from investment
operations:
Net investment income
(loss) $ 0.02 0.07 0.04 0.10 0.09 0.12
Net realized and
unrealized gains on
investments $ 0.39 2.37 3.02 4.16 2.87 2.29
Total from investment
operations $ 0.41 2.44 3.06 4.26 2.96 2.41
Less distributions from:
Net investment income $ 0.05 0.04 0.06 0.12 0.06 0.14
Net realized gains on
investments $ 1.79 1.78 1.85 4.91 0.24 0.60
Net asset value, end
of period $ 16.26 17.69 17.07 15.92 16.69 14.03
Total Return(3): % 2.28 15.93 20.53 30.82 21.31 20.61
Ratios/Supplemental
Data:
Net assets, end of period
(000's) $ 343,628 368,508 348,759 290,355 235,393 211,330
Ratios to average net
assets:
Expenses(4) % 1.44 1.35 1.37 1.46 1.68 1.59
Net investment income
(loss)(4) % 0.27 0.41 0.29 0.64 0.54 0.98
Portfolio turnover rate % 15 48 53 77 15 6
Class B
--------------------------------------------------------
Six
months July 17,
ended Year ended June 30, 1995(2) to
Dec. 31, 1999 -------------------------- June 30,
(unaudited) 1999 1998 1997 1996
----------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 17.36 16.86 15.81 16.59 14.22
Income from investment
operations:
Net investment income
(loss) $ (0.03) (0.04) (0.04) -- 0.06
Net realized and
unrealized gains on
investments $ 0.37 2.32 2.97 4.13 2.61
Total from investment
operations $ 0.34 2.28 2.93 4.13 2.67
Less distributions from:
Net investment income $ -- -- 0.03 -- 0.06
Net realized gains on
investments $ 1.79 1.78 1.85 4.91 0.24
Net asset value, end of
period $ 15.91 17.36 16.86 15.81 16.59
Total Return(3): % 1.90 15.12 19.76 29.92 18.98
Ratios/Supplemental Data:
Net assets, end of period
(000's) 109,428 116,227 77,787 37,427 10,509
Ratios to average net $
assets:
Expenses(4) 2.14 2.05 2.07 2.16 2.38
Net investment income %
(loss)(4) (0.42) (0.29) (0.41) (0.04) 0.07
Portfolio turnover rate % 15 48 53 77 15
</TABLE> %
Class C
----------------------------
Six
months June 1,
ended 1999(2) to
Dec. 31, 1999 June 30,
(unaudited) 1999
----------- ----
Per Share Operating Performance:
Net asset value, beginning of period $ 17.37 16.69
Income from investment operations:
Net investment income (loss) $ (0.08) --
Net realized and unrealized gains on
investments $ 0.41 0.68
Total from investment operations $ 0.33 0.68
Less distributions from:
Net investment income $ -- --
Net realized gains on investments $ 1.79 --
Net asset value, end of period $ 15.91 17.37
Total Return(3): % 1.84 4.07
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 2,684 601
Ratios to average net assets:
Expenses(4) % 2.14 1.12
Net investment income (loss)(4) % (0.42) 0.42
Portfolio turnover rate % 15 48
Class M
-------------------------------------------------------
Six
months July 17,
ended Year ended June 30, 1995(2) to
Dec. 31, 1999 -------------------------- June 30,
(unaudited) 1999 1998 1997 1996
----------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 17.51 16.95 15.87 16.63 14.22
Income from investment
operations:
Net investment income
(loss) $ (0.01) (0.01) -- 0.02 0.08
Net realized and
unrealized gains on
investments $ 0.37 2.35 2.98 4.16 2.63
Total from investment
operations $ 0.36 2.34 2.98 4.18 2.71
Less distributions from:
Net investment income $ 0.01 -- 0.05 0.03 0.06
Net realized gains on
investments $ 1.79 1.78 1.85 4.91 0.24
Net asset value, end of
period $ 16.07 17.51 16.95 15.87 16.63
Total Return(3): % 2.02 15.41 20.00 30.26 19.26
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 15,146 16,351 14,675 6,748 1,961
Ratios to average net
assets:
Expenses(4) % 1.89 1.80 1.82 1.91 2.13
Net investment income
(loss)(4) % (0.18) (0.04) (0.16) 0.22 0.32
Portfolio turnover rate % 15 48 53 77 15
- ----------
(1) Pilgrim Investments, Inc., the Fund's Investment Manager, acquired certain
assets of Pilgrim Management Corporation, the Fund's former Investment
Manager, in a transaction that closed on April 7, 1995.
(2) Commencement of offering shares.
(3) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(4) Annualized.
64
<PAGE>
Financial
Highlights PILGRIM LARGECAP LEADERS FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
---------------------------------------------------------------
Six months
ended Ten months
Dec. 31, Year ended June 30, ended
1999 ------------------------------ June 30,
(unaudited) 1999 1998(2) 1997 1996(1)
----------- ---- ------- ---- -------
<S> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 17.35 14.70 14.17 11.77 10.00
Income from investment
operations:
Net investment income
(loss) $ (0.04) -- 0.01 0.06 0.07
Net realized and
unrealized gains on
investments $ 1.12 3.00 2.30 2.63 1.87
Total from investment
operations $ 1.08 3.00 2.31 2.69 1.94
Less distributions from:
Net investment income $ -- -- -- 0.05 0.08
Net realized gains on
investments $ 2.00 0.35 1.78 0.24 0.09
Net asset value, end of
period $ 16.43 17.35 14.70 14.17 11.77
Total Return(4): % 6.62 20.66 17.71 23.24 19.56
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 9,305 8,506 7,606 8,961 2,530
Ratios to average net
assets:
Net expenses after
expense reimbursement(5) % 1.75 1.75 1.75 1.75 1.75
Gross expenses prior to
expense reimbursement(5) % 1.80 1.98 2.28 2.33 5.44
Net investment income
(loss) after expense
reimbursement(5) % (0.42) (0.04) 0.03 0.41 0.65
Portfolio turnover rate % 10 87 78 86 59
Class B
---------------------------------------------------
Six months
ended Ten months
Dec. 31, Year ended June 30, ended
1999 ------------------------ June 30,
(unaudited) 1999 1998(2) 1997 1996(1)
----------- ---- ------- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period $ 16.90 14.44 14.04 11.71 10.00
Income from investment
operations:
Net investment income
(loss) $ (0.07) (0.09) (0.10) (0.02) 0.06
Net realized and
unrealized gains on
investments $ 1.07 2.90 2.28 2.59 1.81
Total from investment
operations $ 1.00 2.81 2.18 2.57 1.87
Less distributions from:
Net investment income $ -- -- -- -- 0.07
Net realized gains on
investments $ 2.00 0.35 1.78 0.24 0.09
Net asset value, end of
period $ 15.90 16.90 14.44 14.04 11.71
Total Return(4): % 6.31 19.71 16.91 22.23 18.85
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 24,748 24,213 15,605 13,611 1,424
Ratios to average net
assets:
Net expenses after
expense reimbursement(5) % 2.50 2.50 2.50 2.50 2.50
Gross expenses prior to
expense reimbursement(5) % 2.55 2.73 3.03 3.08 5.79
Net investment income
(loss) after
expense reimbursement(5) % (1.17) (0.79) (0.72) (0.35) (0.25)
Portfolio turnover rate % 10 87 78 86 59
Class C
--------------------------
Six months
ended June 17,
Dec. 31, 1999(3) to
1999 June 30,
(unaudited) 1999
----------- ----
Per Share Operating Performance:
Net asset value, beginning of period $ 16.92 16.54
Income from investment operations:
Net investment income (loss) $ (0.03) --
Net realized and unrealized gains on
investments $ 1.02 0.38
Total from investment operations $ 0.99 0.38
Less distributions from:
Net investment income $ -- --
Net realized gains on investments $ 2.00 --
Net asset value, end of period $ 15.91 16.92
Total Return(4): % 6.24 2.30
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 353 --
Ratios to average net assets:
Net expenses after expense reimbursement(5) % 2.50 --
Gross expenses prior to expense
reimbursement(5) % 2.55 --
Net investment income (loss) after expense
reimbursement(5) % (1.17) --
Portfolio turnover rate % 10 87
Class M
--------------------------------------------------
Six months
ended Ten months
Dec. 31, Year ended June 30, ended
1999 ------------------------ June 30,
(unaudited) 1999 1998(2) 1997 1996(1)
----------- ---- ------- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period $ 17.08 14.55 14.10 11.73 10.00
Income from investment
operations:
Net investment income
(loss) $ (0.07) (0.09) (0.07) -- 0.06
Net realized and
unrealized gains on
investments $ 1.08 2.97 2.30 2.62 1.83
Total from investment
operations $ 1.01 2.88 2.23 2.62 1.89
Less distributions from:
Net investment income $ -- -- -- 0.01 0.07
Net realized gains on
investments $ 2.00 0.35 1.78 0.24 0.09
Net asset value, end of
period $ 16.09 17.08 14.55 14.10 11.73
Total Return(4): % 6.30 20.04 17.20 22.58 19.06
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 5,594 5,661 5,533 4,719 1,240
Ratios to average net
assets:
Net expenses after
expense reimbursement(5) % 2.25 2.25 2.25 2.25 2.25
Gross expenses prior to
expense reimbursement(5) % 2.30 2.48 2.78 2.83 5.90
Net investment income
(loss) after expense
reimbursement(5) % (0.92) (0.54) (0.47) (0.10) 0.06
Portfolio turnover rate % 10 87 78 86 59
- ----------
(1) The Fund commenced options on September 1, 1995.
(2) Effective November 1997, Pilgrim Investments, Inc. assumed the portfolio
investmen responsibilities of the Fund from ARK Asset Management Company,
Inc.
(3) Commencement of offering shares.
(4) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return information for less than one year is not
annualized.
(5) Annualized.
65
<PAGE>
Financial
PILGRIM LARGECAP GROWTH FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
Class A
---------------------------------------------
Six months Three
ended months Year July 21,
Dec. 31, ended ended 1997(1) to
1999 June 30, March 31, March 31,
(unaudited) 1999(2) 1999 1998
----------- ------- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 28.09 24.94 15.73 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.07) (0.02) (0.08) (0.03)
Net realized and
unrealized gains on
investments $ 12.71 3.17 9.77 3.29
Total from investment
operations $ 12.64 3.15 9.69 3.26
Less distributions from:
Net investment income $ -- -- -- --
Net realized gains on
investments $ 0.38 -- 0.48 0.03
Net asset value, end of
period $ 40.35 28.09 24.94 15.73
Total Return(3): % 45.32 12.63 63.06 62.35
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 118,232 30,108 12,445 4,742
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.25 1.43 1.59 1.60
Gross expenses prior to
expense reimbursement(4) % 1.25 1.45 2.24 4.70
Net investment income
(loss) after expense
reimbursement(4) % (0.69) (0.56) (0.65) (0.87)
Portfolio turnover % 84 27 253 306
Class B
-----------------------------------------------
Six months Three
ended months Year July 21,
Dec. 31, ended ended 1997(1) to
1999 June 30, March 31, March 31,
(unaudited) 1999(2) 1999 1998
----------- ------- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 28.15 25.04 15.64 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.13) (0.05) (0.08) (0.07)
Net realized and
unrealized gains on
investments $ 12.68 3.16 9.71 3.24
Total from investment
operations $ 12.55 3.11 9.63 3.17
Less distributions from:
Net investment income $ -- -- -- --
Net realized gains on
investments $ 0.38 -- 0.23 0.03
Net asset value, end of
period $ 40.32 28.15 25.04 15.64
Total Return(3): % 44.90 12.42 62.28 61.08
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 227,042 49,057 20,039 3,187
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.90 2.08 2.24 2.25
Gross expenses prior to
expense reimbursement(4) % 1.90 2.10 2.89 4.78
Net investment income
(loss) after expense
reimbursement(4) % (1.33) (1.21) (1.28) (1.36)
Portfolio turnover % 84 27 253 306
Class C
---------------------------------------------
Six months Three
ended months Year July 21,
Dec. 31, ended ended 1997(1) to
1999 June 30, March 31, March 31,
unaudited) 1999(2) 1999 1998
---------- ------- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 28.07 24.97 15.63 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.13) (0.06) (0.07) (0.05)
Net realized and
unrealized gains on
investments $ 12.65 3.16 9.65 3.24
Total from investment
operations $ 12.52 3.10 9.58 3.19
Less distributions from:
Net investment income $ -- -- -- --
Net realized gains on
investments $ 0.38 -- 0.24 0.06
Net asset value, end of
period $ 40.21 28.07 24.97 15.63
Total Return(3): % 44.92 12.41 61.97 61.38
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 87,229 17,755 8,004 960
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.90 2.08 2.25 2.25
Gross expenses prior to
expense reimbursement(4) % 1.90 2.10 2.90 7.79
Net investment income
(loss) after expense
reimbursement(4) % (1.33) (1.21) (1.26) (1.49)
Portfolio turnover % 84 27 253 306
</TABLE>
- ----------
(1) The Fund commenced operations on July 21, 1997.
(2) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment
Manager of the Fund, concurrently Nicholas-Applegate Capital Management was
appointed as sub-advisor.
(3) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(4) Annualized.
66
<PAGE>
Financial
Highlights PILGRIM MIDCAP VALUE FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
Class A
-------------------------------------------------
Six months Three
ended months
Dec. 31, Year ended June 30, ended
1999 ------------------------ June 30,
(unaudited) 1999 1998 1997 1996(1)
----------- ---- ---- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period $ 15.65 16.79 14.64 11.99 10.00
Income from investment
operations:
Net investment income
(loss) $ (0.09) (0.09) (0.07) (0.02) 0.13
Net realized and
unrealized gains
on investments $ (1.61) 0.12 2.71 2.85 1.91
Total from investment
operations $ (1.70) 0.03 2.64 2.83 2.04
Less distributions from:
Net investment income $ -- -- -- 0.07 0.05
Net realized gains on
investments $ 0.09 1.17 0.49 0.11 --
Net asset value, end of
period $ 13.86 15.65 16.79 14.64 11.99
Total Return(3): % (10.88) 0.95 18.40 23.89 20.48
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 11,221 18,621 27,485 16,985 2,389
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.75 1.75 1.75 1.75 1.75
Gross expenses prior to
expense reimbursement(4) % 1.96 1.79 1.78 1.94 4.91
Net investment income
(loss) after expense
reimbursement(4) % (0.60) (0.48) (0.53) (0.13) 2.00
Portfolio turnover rate % 95 109 85 86 60
Class B
---------------------------------------------------
Six months
ended Ten months
Dec. 31, ended
1999 June 30,
(unaudited) 1999 1998 1997 1996(1)
Per Share Operating
Performance:
Net asset value,
beginning of period $ 15.21 16.47 14.49 11.94 10.00
Income from investment
operations:
Net investment income
(loss) $ (0.18) (0.21) (0.18) (0.05) 0.07
Net realized and
unrealized gains
on investments $ (1.52) 0.12 2.65 2.76 1.90
Total from investment
operations $ (1.70) (0.09) 2.47 2.71 1.97
Less distributions from:
Net investment income $ -- -- -- 0.05 0.03
Net realized gains on
investments $ 0.09 1.17 0.49 0.11 --
Net asset value, end of
period $ 13.42 15.21 16.47 14.49 11.94
Total Return(3): % (11.19) 0.21 17.40 22.95 19.80
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 20,593 31,223 40,575 23,258 2,123
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.50 2.50 2.50 2.50 2.50
Gross expenses prior to
expense reimbursement(4) % 2.71 2.54 2.53 2.69 5.32
Net investment income
(loss) after expense
reimbursement(4) % (1.35) (1.23) (1.28) (0.90) 1.27
Portfolio turnover rate % 95 109 85 86 60
Class C
------------------------
Six months
ended June 2,
Dec. 31, 1999 to
1999 June 30,
(unaudited) 1999(2)
----------- -------
Per Share Operating Performance:
Net asset value, beginning of period $ 15.20 14.84
Income from investment operations:
Net investment income (loss) $ (0.02) (0.02)
Net realized and unrealized gains
on investments $ (1.68) 0.38
Total from investment operations $ (1.70) 0.36
Less distributions from:
Net investment income $ -- --
Net realized gains on investments $ 0.09 --
Net asset value, end of period $ 13.41 15.20
Total Return(3): % (11.20) 2.43
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 179 47
Ratios to average net assets:
Net expenses after expense reimbursement(4): % 2.50 2.50
Gross expenses prior to expense
reimbursement(4): % 2.71 2.54
Net investment income (loss) after expense
reimbursement(4): % (1.35) (1.23)
Portfolio turnover rate % 95 109
Class M
-----------------------------------------------------
Six months
ended Ten months
Dec. 31, ended
1999 June 30,
(unaudited) 1999 1998 1997 1996(1)
----------- ---- ---- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period $ 15.30 16.52 14.49 11.93 10.00
Income from investment
operations:
Net investment income
(loss) $ (0.16) (0.17) (0.15) (0.03) 0.06
Net realized and
unrealized gains
on investments $ (1.53) 0.12 2.67 2.76 1.91
Total from investment
operations $ (1.69) (0.05) 2.52 2.73 1.97
Less distributions from:
Net investment income $ -- -- -- 0.06 0.04
Net realized gains on
investments $ 0.09 1.17 0.49 0.11 --
Net asset value, end of
period $ 13.52 15.30 16.52 14.49 11.93
Total Return(3): % (11.06) 0.46 17.76 23.21 19.82
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 6,556 10,504 13,232 8,378 1,731
Ratios to average net
assets:
Net expenses after
expense reimbursement(4): % 2.25 2.25 2.25 2.25 2.25
Gross expenses prior to
expense reimbursement(4): % 2.46 2.29 2.28 2.44 4.72
Net investment income
(loss) after expense
reimbursement(4): % (1.10) (0.98) (1.03) (0.63) 1.16
Portfolio turnover rate % 95 109 85 86 60
- ----------
(1) The Fund commenced operations on September 1, 1995.
(2) Commencement of offering shares.
(3) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(4) Annualized.
67
<PAGE>
Financial
PILGRIM MIDCAP GROWTH FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
----------------------------------------------------------------------
Six
months Three
ended months
Dec. 31, ended Year ended March 31,
1999 June 30, ----------------------------------------------
(unaudited) 1999(1) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 21.34 19.93 18.63 16.80 18.37 13.61 13.25
Income from investment
operations:
Net investment income
(loss) $ (0.11) (0.06) (0.50) (0.14) (0.17) (0.18) (0.10)
Net realized and
unrealized gains on
investments $ 11.64 1.47 3.17 6.50 0.57 4.94 0.46
Total from investment
operations $ 11.53 1.41 2.67 6.36 0.40 4.76 0.36
Less distributions from:
Net investment income $ -- -- -- -- -- -- --
Net realized gains on
investments $ 7.03 -- 1.37 4.53 1.97 -- --
Net asset value, end of
period $ 25.84 21.34 19.93 18.63 16.80 18.37 13.61
Total Return(3): % 62.66 7.07 15.36 41.81 1.09 35.07 2.72
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 111,000 66,586 67,550 90,619 76,108 77,275 65,292
Ratios to average net
assets:
Net expenses after expense
reimbursement(4) % 1.35 1.49 1.56 1.57 1.60 1.58 1.59
Gross expenses prior to
expense reimbursement(4) % 1.37 1.50 1.64 1.66 1.56 1.56 1.63
Net investment income
(loss) after expense
reimbursement(4) % (1.21) (1.20) (1.04) (1.33) (1.05) (0.91) (0.66)
Portfolio turnover % 154 55 154 200 153 114 98
Class B
-----------------------------------------------------------------
Six
months Three
ended months May 31,
Dec. 31, ended Year ended March 31, 1995(2) to
1999 June 30, -------------------------- March 31,
(unaudited) 1999(1) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 25.18 23.54 21.55 16.33 16.25 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.19) (0.11) (0.42) (0.25) (0.17) (0.09)
Net realized and
unrealized gains on
investments $ 13.67 1.75 3.42 6.74 0.25 3.84
Total from investment
operations $ 13.48 1.64 3.00 6.49 0.08 3.75
Less distributions from:
Net investment income $ -- -- -- -- -- --
Net realized gains on
investments $ 8.28 -- 1.01 1.27 -- --
Net asset value, end of
period $ 30.38 25.18 23.54 21.55 16.33 16.25
Total Return(3): % 62.09 6.97 14.59 40.84 (0.49) 30.00
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 85,201 49,335 45,876 46,806 29,002 11,186
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.00 2.14 2.22 2.22 2.25 2.22
Gross expenses prior to
expense reimbursement(4) % 2.02 2.14 2.29 2.21 2.66 3.39
Net investment income
(loss) after expense
reimbursement(4) % (1.84) (1.85) (1.69) (1.99) (1.69) (1.61)
Portfolio turnover % 154 55 154 200 153 114
Class C
-------------------------------------------------------------------------
Six
months Three
ended months
Dec. 31, ended Year ended March 31,
1999 June 30, -------------------------------------------------
(unaudited) 1999(1) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 19.78 18.49 17.15 16.48 18.06 13.45 13.18
Income from investment
operations:
Net investment income
(loss) $ (0.16) (0.09) (0.61) (0.28) (0.32) (0.27) (0.17)
Net realized and
unrealized gains on
investments $ 10.74 1.38 2.97 6.26 0.62 4.88 0.44
Total from investment
operations $ 10.58 1.29 2.36 5.98 0.30 4.61 0.27
Less distributions from:
Net investment income $ -- -- -- -- -- -- --
Net realized gains on
investments $ 6.50 -- 1.02 5.31 1.88 -- --
Net asset value, end of
period $ 23.86 19.78 18.49 17.15 16.48 18.06 13.45
Total Return(3): % 62.05 6.98 14.60 40.95 0.56 34.28 2.05
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 220,867 144,832 141,685 166,849 157,501 177,461 143,390
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.00 2.14 2.23 2.27 2.14 2.14 2.24
Gross expenses prior to
expense reimbursement(4) % 2.02 2.14 2.30 2.33 2.17 2.14 2.24
Net investment income
(loss) after
expense reimbursement(4) % (1.84) (1.85) (1.70) (2.01) (1.59) (1.47) (1.30)
Portfolio turnover % 154 55 154 200 153 114 98
</TABLE>
- ----------
(1) Effective May 24, 1999, Pilgrim Investment Inc. became the Investment
Manager of the Fund, concurrently Nicholas-Applegate Capital Management was
appointed as sub-advisor.
(2) Commencement of offering shares.
(3) Total return is calculated assuming reinvestment of dividends and capital
gain distributions at net asset value and excluding the deduction of sales
charges. Total return for less than one year is not annualized.
(4) Annualized.
68
<PAGE>
Financial
Highlights PILGRIM SMALLCAP GROWTH FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
-------------------------------------------------------------------------
Six
months Three
ended months
Dec. 31, ended Year ended March 31,
1999 June 30, ------------------------------------------------
(unaudited) 1999(1) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 19.08 16.72 19.75 15.15 17.93 13.06 12.10
Income from investment
operations:
Net investment income
(loss) $ (0.09) (0.06) (0.85) (0.08) (0.22) (0.20) (0.16)
Net realized and
unrealized gains
(loss) on investments $ 8.27 2.42 0.69 6.91 (0.66) 5.09 1.12
Total from investment
operations $ 8.18 2.36 (0.16) 6.83 (0.88) 4.89 0.96
Less distributions from:
Net investment income $ -- -- -- -- -- -- --
Net realized gains on
investments $ 9.73 -- 2.87 2.23 1.90 0.02 --
Net asset value, end of
period $ 17.53 19.08 16.72 19.75 15.15 17.93 13.06
Total Return(3): % 53.23 14.11 0.37 46.32 (6.26) 37.48 7.93
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 148,392 102,641 94,428 201,943 121,742 138,155 106,725
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.59 1.70 1.85 1.89 1.72 1.74 1.86
Gross expenses prior to
expense reimbursement(4) % 1.63 1.74 1.95 1.90 1.72 1.74 1.84
Net investment income
(loss) after expense
reimbursement(4) % (1.31) (1.46) (1.32) (1.85) (1.26) (1.20) (1.27)
Portfolio turnover % 48 32 90 92 113 130 100
Class B
-----------------------------------------------------------------
Six
months Three
ended months May 31,
Dec. 31, ended Year ended March 31, 1995(2) to
1999 June 30, -------------------------- March 31,
(unaudited) 1999(1) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 24.05 21.12 22.53 15.51 16.69 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.16) (0.12) (0.53) (0.27) (0.21) (0.14)
Net realized and
unrealized gains
(loss) on investments $ 10.40 3.05 0.33 7.29 (0.97) 4.33
Total from investment
operations $ 10.24 2.93 (0.20) 7.02 (1.18) 4.19
Less distributions from:
Net investment income $ -- -- -- -- -- --
Net realized gains on
investments $ 12.24 -- 1.21 -- -- --
Net asset value, end of
period $ 22.05 24.05 21.12 22.53 15.51 16.69
Total Return(3): % 52.82 13.87 (0.29) 45.26 (7.07) 33.52
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 76,897 49,448 45,140 55,215 28,030 13,626
Ratios to average net
assets:
Net expenses afte
expense reimbursement(4) % 2.24 2.35 2.57 2.62 2.61 2.58
Gross expenses prior to
expense reimbursement(4) % 2.28 2.39 2.66 2.63 2.73 3.26
Net investment income
(loss) after expense
reimbursement(4) % (1.96) (2.11) (2.03) (2.59) (2.13) (2.09)
Portfolio turnover % 48 32 90 92 113 130
Class C
--------------------------------------------------------------------------
Six
months Three
ended months
Dec. 31, ended Year ended March 31,
1999 June 30, -------------------------------------------------
(unaudited) 1999(1) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 18.81 16.51 18.62 14.69 17.62 12.96 12.07
Income from investment
operations:
Net investment income
(loss) $ (0.13) (0.09) (0.84) (0.38) (0.31) (0.29) (0.22)
Net realized and
unrealized gains
on investments $ 8.14 2.39 0.61 6.84 (0.63) 5.03 1.11
Total from investment
operations $ 8.11 2.30 (0.23) 6.46 (0.94) 4.74 0.89
Less distributions from:
Net investment income $ -- -- -- -- -- -- --
Net realized gains on
investments $ 9.57 -- 1.88 2.53 1.99 0.08 --
Net asset value, end of
period $ 17.25 18.81 16.51 18.62 14.69 17.62 12.96
Total Return(3): % 52.94 13.93 (0.24) 45.40 (6.81) 37.18 7.37
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 213,994 153,471 144,597 225,025 182,907 207,332 157,292
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.24 2.35 2.51 2.57 2.35 2.35 2.44
Gross expenses prior to
expense reimbursement(4) % 2.28 2.39 2.60 2.59 2.35 2.35 2.44
Net investment income
(loss) after expense
reimbursement(4) % (1.96) (2.11) (1.97) (2.53) (1.89) (1.81) (1.85)
Portfolio turnover % 48 32 90 92 113 130 100
</TABLE>
- ----------
(1) Effective May 24, 1999, Pilgrim Investments Inc., became the Investment
Manager of the Fund, concurrently Nicholas-Applegate Capital Management was
appointed as sub-advisor.
(2) Commencement of offering shares.
(3) Total return is calculated assuming reinvestment of dividends and capital
gain distributions at net asset value and excluding the deduction of sales
charges. Total return for less than one year is not annualized.
(4) Annualized.
69
<PAGE>
Financial
PILGRIM BANK AND THRIFT FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
------------------------------------------------------------------
Six
months Six
ended Year months
Dec. 31, ended ended Year ended December 31,
1999 June 30, June 30, -------------------------------
(unaudited) 1999 1998(3) 1997 1996 1995(1) 1994
----------- ---- ------- ---- ---- ------- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of year $ 24.38 27.52 25.87 17.84 14.83 10.73 11.87
Income (loss) from .
investment operations:
Net investment income $ 0.15 0.29 0.11 0.34 0.32 0.31 0.26
Net realized and
unrealized gains (loss)
on investments $ (4.21) (2.70) 1.54 10.83 5.18 4.78 (0.53)
Total from investment
operations $ (4.06) (2.41) 1.65 11.17 5.50 5.09 (0.27)
Less distributions from:
Net investment income $ 0.25 0.18 -- 0.31 0.35 0.34 0.22
Net realized gains on
investments $ 2.73 0.55 -- 2.65 2.14 0.65 0.65
Tax return of capital $ -- -- -- 0.18 -- -- --
Net asset value, end of
year $ 17.34 24.38 27.52 25.87 17.84 14.83 10.73
Closing market price, end
of year -- -- -- -- 15.75 12.88 9.13
Total Investment Return
At Market Value(4) % -- -- -- -- 43.48 52.81 (8.85)
Total Investment Return
At Net Asset Value(5) % (18.04) (8.61) 6.38 64.86 41.10 49.69 (1.89)
Ratios/Supplemental Data:
Net assets, end of year
($millions) $ 258 403 549 383 252 210 152
Ratio to average net
assets:
Expenses(6) % 1.43 1.39 1.20 1.10 1.01 1.05 1.28
Net investment income(6) % 1.15 1.09 0.94 1.39 1.94 2.37 2.13
Portfolio turnover rate % 5 29 2 22 21 13 14
</TABLE>
Class B
---------------------------------------------
Six
months Six
ended Year months Oct. 20,
Dec. 31, ended ended 1997(2) to
1999 June 30, June 30, Dec. 31,
(unaudited) 1999 1998(3) 1997
----------- ---- ------- ----
Per Share Operating
Performance:
Net asset value,
beginning of year $ 24.21 27.40 25.85 25.25
Income (loss) from
investment operations:
Net investment income 0.05 0.08 0.01 0.04
Net realized and $
unrealized gains (loss)
on investments (4.17) (2.66) 1.54 2.92
Total from investment $
operations (4.12) (2.58) 1.55 2.96
Less distributions from: $
Net investment income 0.03 0.06 -- 0.04
Net realized gains on $
investments 2.73 0.55 -- 2.04
Tax return of capital $ -- -- -- 0.28
Net asset value, end of
year $ 17.33 24.21 27.40 25.85
Closing market price, end %
of year -- -- -- --
Total Investment Return
At Market Value(4) $ -- -- -- --
Total Investment Return
At Net Asset Value(5) (18.34) (9.31) 6.00 11.88
Ratios/Supplemental Data:
Net assets, end of year %
($millions) 207 343 360 76
Ratio to average net %
assets:
Expenses(6) 2.18 2.14 1.95 1.89
Net investment income(6) % 0.40 0.34 0.19 0.99
Portfolio turnover rate % 5 29 2 22
- ----------
(1) Pilgrim Investments, Inc., the Fund's Investment Manager, acquired certain
assets of Pilgrim Management Corporation, the Fund's former Investment
Manager, in a transaction that closed on April 7, 1995.
(2) Commencement of offering shares.
(3) Effective June 30, 1998, Bank and Thrift Fund changed its year end to June
30.
(4) Total return was calculated at market value without deduction of sales
commissions and assuming reinvestment of all dividends and distributions
during the period.
(5) Total return is calculated at net asset value without deduction of sales
commissions and assumes reinvestment of all dividends and distributions
during the period. Total investment returns based on net asset value, which
can be higher or lower than market value, may result in substantially
different returns than total return based on market value. For all periods
prior to January 1, 1997, the total returns presented are unaudited.
(6) Annualized.
70
<PAGE>
Financial
Highlights PILGRIM WORLDWIDE GROWTH FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
--------------------------------------------------------------------------
Six
months Three
ended months
Dec. 31, ended Year ended March 31,
1999 June 30, ------------------------------------------------
(unaudited) 1999(1) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 23.58 21.39 19.33 16.88 16.57 14.29 14.94
Income from investment
operations:
Net investment income
(loss) $ (0.11) -- (0.02) 0.04 (0.16) (0.07) (0.05)
Net realized and
unrealized gains (loss)
on investments $ 10.71 2.19 5.78 5.33 2.20 2.86 (0.09)
Total from investment
operations $ 10.60 2.19 5.76 5.37 2.04 2.79 (0.14)
Less distributions from:
Net investment income $ -- -- 0.06 -- -- 0.12 0.02
Net realized gains on
investments $ 3.07 -- 3.64 2.92 1.73 0.39 0.49
Net asset value, end of
period $ 31.11 23.58 21.39 19.33 16.88 16.57 14.29
Total Return(3): % 47.79 10.24 33.56 34.55 12.51 19.79 (0.90)
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 150,384 66,245 49,134 38,647 24,022 23,481 22,208
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.61 1.75 1.86 1.86 1.85 1.85 1.85
Gross expenses prior to
expense reimbursement(4) % 1.61 1.75 2.02 2.21 2.17 2.17 2.18
Net investment income
(loss) after expense
reimbursement(4) % (1.13) (0.03) (0.62) (0.69) (0.93) (0.35) (0.42)
Portfolio turnover % 92 57 247 202 182 132 99
Class B
------------------------------------------------------------------------
Six
months Three
ended months May 31,
Dec. 31, ended Year ended March 31, 1995(2) to
1999 June 30, ----------------------------- March 31,
(unaudited) 1999(1) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 26.64 24.21 20.10 16.02 14.34 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.17) (0.03) (0.08) (0.17) (0.14) (0.05)
Net realized and
unrealized gains
(loss) on investments $ 12.02 2.46 6.25 5.44 1.82 1.89
Total from investment
operations $ 11.85 2.43 6.17 5.27 1.68 1.84
Less distributions from:
Net investment income $ -- -- 0.01 -- -- --
Net realized gains on
investments $ 3.46 -- 2.05 1.19 -- --
Net asset value, end of
period $ 35.03 26.64 24.21 20.10 16.02 14.34
Total Return(3): % 47.25 10.04 32.74 34.03 11.72 14.72
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 82,286 27,938 18,556 10,083 5,942 1,972
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.26 2.40 2.51 2.51 2.50 2.50
Gross expenses prior to
expense reimbursement(4) % 2.26 2.40 2.67 2.70 4.81 9.50
Net investment income
(loss) after expense
reimbursement(4) % (1.78) (0.68) (1.31) (1.37) (1.62) (1.28)
Portfolio turnover % 92 57 247 202 182 132
Class C
--------------------------------------------------------------------------------------
Six
months Three
ended months
Dec. 31, ended Year ended March 31,
1999 June 30, --------------------------------------------
(unaudited) 1999(1) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 23.69 21.52 19.05 16.92 16.76 14.44 14.86
Income from investment
operations:
Net investment income
(loss) $ (0.19) (0.04) (0.20) (0.19) (0.28) (0.21) (0.15)
Net realized and
unrealized gains
(loss) on investments $ 10.72 2.21 5.83 5.41 2.23 2.92 (0.08)
Total from investment
operations $ 10.53 2.17 5.63 5.22 1.95 2.71 (0.23)
Less distributions from:
Net investment income $ -- -- 0.01 -- -- 0.01 --
Net realized gains on
investments $ 3.08 -- 3.15 3.09 1.79 0.38 0.19
Net asset value, end of
period $ 31.14 23.69 21.52 19.05 16.92 16.76 14.44
Total Return(3): % 47.25 10.08 32.73 33.72 11.81 18.95 (1.49)
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 190,853 111,250 98,470 84,292 70,345 71,155 71,201
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.26 2.40 2.51 2.51 2.50 2.50 2.50
Gross expenses prior to
expense reimbursement(4) % 2.26 2.40 2.67 2.77 2.61 2.57 2.57
Net investment income
(loss) after expense
reimbursement(4) % (1.78) (0.68) (1.28) (1.34) (1.57) (0.99) (1.06)
Portfolio turnover % 92 57 247 202 182 132 99
</TABLE>
- ----------
(1) Effective May 24, 1999, Pilgrim Investments Inc., became the Investment
Manager of the Fund, concurrently Nicholas-Applegate Capital Management was
appointed as sub-advisor.
(2) Commencement of offering shares.
(3) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(4) Annualized.
71
<PAGE>
Financial
PILGRIM INTERNATIONAL CORE GROWTH FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
-------------------------------------------------------------
Six months Three
ended months February 28,
Dec. 31, ended Year ended March 31, 1997(1) to
1999 June 30, -------------------- March 31,
(unaudited) 1999(2) 1999 1998 1997
<S> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 18.92 17.71 17.01 12.73 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.15) 0.04 (0.01) (0.02) --
Net realized and
unrealized gains on
investments $ 9.74 1.17 1.02 4.56 0.23
Total from investment
operations $ 9.59 1.21 1.01 4.54 0.23
Less distributions from:
Net investment income $ -- -- 0.18 -- --
Net realized gains on
investments $ 1.16 -- 0.13 0.26 --
Net asset value, end of
period $ 27.35 18.92 17.71 17.01 12.73
Total Return(3): % 52.07 6.83 5.90 36.10 1.76
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 19,460 12,409 21,627 12,664 2
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.75 1.77 1.89 1.96 1.95
Gross expenses prior to
expense reimbursement(4) % 2.11 1.86 2.13 3.02 4,579.78
Net investment income
(loss) after
expense reimbursement(4) % (1.47) 0.50 (0.51) (0.45) 0.00
Portfolio turnover % 103 67 214 274 76
Class B
----------------------------------------------------------
Six months Three
ended months February 28,
Dec. 31, ended Year ended March 31, 1997(1) to
1999 June 30, -------------------- March 31,
(unaudited) 1999(2) 1999 1998 1997
----------- ------- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 19.08 17.89 17.10 12.68 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.20) -- (0.16) (0.11) --
Net realized and
unrealized gains on
investments $ 9.76 1.19 1.05 4.66 0.18
Total from investment
operations $ 9.56 1.19 0.89 4.55 0.18
Less distributions from:
Net investment income $ -- -- 0.03 -- --
Net realized gains on
investments $ 1.16 -- 0.07 0.13 --
Net asset value, end of
period $ 27.48 19.08 17.89 17.10 12.68
Total Return(3): % 51.40 6.65 5.24 35.31 1.44
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 19,465 12,034 11,033 7,942 1
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.40 2.36 2.53 2.61 2.59
Gross expenses prior to
expense reimbursement(4) % 2.76 2.45 2.77 3.04 16,000.25
Net investment income
(loss) after expense
reimbursement(4) % (2.12) (0.09) (1.13) (1.32) 0.00
Portfolio turnover % 103 67 214 274 76
Class C
----------------------------------------------------------
Six Months Three
ended months February 28,
Dec. 31, ended Year ended March 31, 1997(1) to
1999 June 30, ------------------- March 31,
(unaudited) 1999(2) 1999 1998 1997
----------- ------- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 19.14 17.94 17.16 12.68 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.21) -- (0.05) (0.07) --
Net realized and
unrealized gains
on investments $ 9.80 1.20 0.94 4.55 0.18
Total from investment
operations $ 9.59 1.20 0.89 4.48 0.18
Less distributions from:
Net investment income $ -- -- 0.11 -- --
Net realized gains on
investments $ 1.16 -- -- -- --
Net asset value, end of
period $ 27.57 19.14 17.94 17.16 12.68
Total Return(3): % 51.46 6.69 5.22 35.25 1.44
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 21,104 11,936 10,400 3,517 43
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.40 2.36 2.55 2.61 2.41
Gross expenses prior to
expense reimbursement(4) % 2.76 2.45 2.79 5.10 25.55
Net investment income
(loss) after expense
reimbursement(4) % (2.12) (0.09) (1.19) (1.27) (0.07)
Portfolio turnover % 103 67 214 274 76
</TABLE>
- ----------
(1) The Fund commenced operations on February 28, 1997.
(2) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment
Manager of the Fund, concurrently Nicholas-Applegate Capital Management was
appointed as sub-advisor.
(3) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(4) Annualized.
72
<PAGE>
Financial
Highlights PILGRIM INTERNATIONAL SMALLCAP GROWTH FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
--------------------------------------------------------------------------
Six
months Three
ended months August 31,
Dec. 31, ended Year ended March 31, 1994(1) to
1999 June 30, ------------------------------------- March 31,
(unaudited) 1999(3) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 23.80 21.03 19.29 14.92 13.15 11.51 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.14) (0.03) 0.02 (0.15) 0.04 (0.02) --
Net realized and
unrealized gains on
investments $ 19.00 2.80 3.21 5.36 1.88 1.79 (0.98)
Total from investment .
operations $ 18.86 2.77 3.23 5.21 1.92 1.77 (0.98)
Less distributions from:
Net investment income $ -- -- -- -- 0.01 0.13 0.01
Net realized gains on
investments $ 2.06 -- 1.49 0.84 0.14 -- --
Net asset value, end of
period $ 40.60 23.80 21.03 19.29 14.92 13.15 11.51
Total Return(4): % 81.29 13.17 17.26 36.31 14.67 15.46 (7.85)
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 146,057 37,490 25,336 11,183 5,569 1,056 610
Ratios to average net
assets:
Net expenses after
expense reimbursement(5) % 1.65 1.84 1.94 1.96 1.95 1.95 1.95
Gross expenses prior to
expense reimbursement(5) % 1.66 1.86 2.08 2.75 3.76 10.06 9.77
Net investment income
(loss) after expense
reimbursement(5) % (1.40) (0.69) (0.82) (1.56) (1.05) (0.27) (0.07)
Portfolio turnover % 71 44 146 198 206 141 75
Class B
-----------------------------------------------------------------
Six
months Three
ended months May 31,
Dec. 31, ended Year ended March 31, 1995(2) to
1999 June 30, --------------------------- March 31,
(unaudited) 1999(3) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 25.33 22.43 20.16 15.89 13.96 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.24) (0.07) (0.20) (0.15) (0.15) (0.02)
Net realized and
unrealized gains on
investments $ 20.12 2.97 3.46 5.56 2.09 1.48
Total from investment
operations $ 19.88 2.90 3.26 5.41 1.94 1.46
Less distributions from:
Net investment income $ -- -- -- -- 0.01 --
Net realized gains on
investments $ 2.19 -- 0.99 1.14 -- --
Net asset value, end of
period $ 43.02 25.33 22.43 20.16 15.89 13.96
Total Return(4): % 80.57 12.93 16.55 35.73 13.96 11.68
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 77,785 19,331 16,158 12,033 5,080 1,487
Ratios to average net
assets:
Net expenses after
expense reimbursement(5) % 2.30 2.49 2.59 2.61 2.60 2.60
Gross expenses prior to
expense reimbursement(5) % 2.31 2.51 2.73 2.98 4.89 16.15
Net investment income
(loss) after expense
reimbursement(5) % (2.02) (1.34) (1.45) (2.20) (1.66) (0.64)
Portfolio turnover % 71 44 146 198 206 141
Class C
-----------------------------------------------------------------------------
Six months Three
ended months August 31,
Dec. 31, ended Year ended March 31, 1994(1) to
1999 June 30, ------------------------------------- March 31,
(unaudited) 1999(3) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 23.34 20.60 18.53 14.87 13.05 11.32 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.19) (0.06) (0.10) (0.11) (0.16) 0.01 (0.04)
Net realized and
unrealized gains on
investments $ 18.36 2.80 3.09 5.09 1.98 1.72 (1.12)
Total from investment
operations $ 18.17 2.74 2.99 4.98 1.82 1.73 (1.16)
Less distributions from:
Net investment income $ -- -- -- -- -- -- 0.02
Net realized gains on
investments $ 2.01 -- 0.92 1.32 -- -- --
Net asset value, end of
period $ 39.50 23.34 20.60 18.53 14.87 13.05 11.32
Total Return(4): % 80.48 13.31 16.55 35.63 13.98 15.30 (9.25)
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 72,787 18,354 13,226 8,014 3,592 933 24
Ratios to average net
assets:
Net expenses after
expense reimbursement(5) % 2.30 2.49 2.59 2.61 2.60 2.60 2.61
Gross expenses prior to
expense reimbursement(5) % 2.31 2.51 2.73 3.38 3.95 16.15 75.37
Net investment income
(loss) after expense
reimbursement(5) % (2.02) (1.34) (1.45) (2.18) (1.67) (1.02) (0.76)
Portfolio turnover % 71 44 146 198 206 141 75
</TABLE>
- ----------
(1) The Fund commenced operations on August 31, 1994.
(2) Commencement of share offerings.
(3) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment
Manager of the Fund, concurrently Nicholas-Applegate Capital Management was
appointed as sub-advisor.
(4) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(5) Annualized.
73
<PAGE>
Financial
PILGRIM EMERGING COUNTRIES FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
---------------------------------------------------------------------
Six
months Three
ended months Nov. 28,
Dec. 31, ended Year Ended March 31, 1994(1) to
1999 June 30, -------------------------------- Mar. 31,
(unaudited) 1999(3) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 16.74 13.43 17.39 17.20 14.03 11.00 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.12) (0.05) (0.06) 0.03 (0.06) (0.04) 0.04
Net realized and
unrealized gains
(loss) on investments $ 5.39 3.36 (3.81) 1.22 3.51 3.15 (1.54)
Total from investment
operations $ 5.27 3.31 (3.87) 1.25 3.45 3.11 (1.50)
Less distributions from:
Net investment income $ -- -- 0.02 -- -- 0.02 --
Net realized gains on
investments $ -- -- 0.07 1.06 0.28 0.06 --
Net asset value, end of
period $ 22.01 16.74 13.43 17.39 17.20 14.03 11.00
Total Return(4): % 31.64 24.65 (22.23) 8.06 24.79 28.43 (11.98)
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 68,449 53,483 47,180 71,014 38,688 4,718 1,197
Ratio to average net
assets:
Net expenses after
expense reimbursement(5) % 2.07 2.13 2.27 2.26 2.25 2.25 2.25
Gross expenses prior to
expense reimbursement(5) % 2.29 2.66 2.56 2.48 3.08 6.72 6.15
Net investment income
(loss) after expense
reimbursement(5) % (1.40) (1.30) (0.25) 0.55 (1.14) (0.35) 1.09
Portfolio turnover % 110 67 213 243 176 118 61
Class B
-------------------------------------------------------------
Six
months Three
ended months May 31,
Dec. 31, ended Year Ended March 31, 1995(2) to
1999 June 30, ------------------------ March 31,
(unaudited) 1999(3) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 16.98 13.64 17.64 17.29 14.02 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.18) (0.07) (0.22) (0.07) (0.11) (0.04)
Net realized and
unrealized gains
(loss) on investments $ 5.44 3.41 (3.70) 1.26 3.47 1.56
Total from investment
operations $ 5.26 3.34 (3.92) 1.19 3.36 1.52
Less distributions from:
Net investment income $ -- -- -- -- -- --
Net realized gains on
investments $ -- -- 0.08 0.84 0.09 --
Net asset value, end of
period $ 22.24 16.98 13.64 17.64 17.29 14.02
Total Return(4): % 31.21 24.49 (22.23) 7.47 24.00 12.16
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 33,019 26,342 22,338 38,796 24,558 3,557
Ratio to average net
assets:
Net expenses after
expense reimbursement(5) % 2.72 2.75 2.91 2.91 2.90 2.90
Gross expenses prior to
expense reimbursement(5) % 2.94 3.28 3.20 3.06 3.66 7.58
Net investment income
(loss) after expense
reimbursement(5) % (2.07) (1.92) (0.80) (0.20) (1.77) (1.05)
Portfolio turnover % 110 67 213 243 176 118
Class C
-----------------------------------------------------------------------
Six
months Three
ended months Nov. 28,
Dec. 31, ended Year Ended March 31, 1994(1) to
1999 June 30, --------------------------------- Mar. 31,
(unaudited) 1999(3) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 16.35 13.14 16.98 16.81 13.71 10.79 12.50
Income from investment
operations:
Net investment income
(loss) $ (0.17) (0.07) (0.27) (0.12) (0.10) (0.05) --
Net realized and
unrealized gains
(loss) on investments $ 5.24 3.28 (3.49) 1.26 3.37 2.97 (1.70)
Total from investment
operations $ 5.07 3.21 (3.76) 1.14 3.27 2.92 (1.70)
Less distributions from:
Net investment income $ -- -- -- -- -- -- 0.01
Net realized gains on
investments $ -- -- 0.08 0.97 0.17 -- --
Net asset value, end of
period $ 21.42 16.35 13.14 16.98 16.81 13.71 10.79
Total Return(4): % 31.25 24.43 (22.21) 7.47 23.94 27.30 (13.64)
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 30,442 24,230 19,246 36,986 29,376 4,345 59
Ratio to average net
assets:
Net expenses after
expense reimbursement(5) % 2.72 2.75 2.90 2.91 2.90 2.90 2.90
Gross expenses prior to
expense reimbursement(5) % 2.94 3.28 3.19 3.09 3.12 6.23 242.59
Net investment income
(loss) after
expense reimbursement(5) % (2.07) (1.92) (0.77) (0.26) (1.75) (1.06) (0.04)
Portfolio turnover % 110 67 213 243 176 118 61
</TABLE>
- ----------
(1) The Fund commenced operations on November 28, 1994.
(2) Commencement of offering shares.
(3) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment
Manager of the Fund, concurrently Nicholas-Applegate Capital Management was
appointed as sub-advisor.
(4) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(5) Annualized.
74
<PAGE>
Financial
Highlights PILGRIM ASIA-PACIFIC EQUITY FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
Class A
-------------------------------------------------
Six months
ended Ten months
Dec. 31, Year ended June 30, ended
1999 ------------------------ June 30,
(unaudited) 1999 1998 1997 1996(1)
----------- ---- ---- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period $ 7.22 4.46 10.93 10.35 10.00
Income from investment
operations:
Net investment income
(loss) $ (0.02) -- 0.03 0.02 0.03
Net realized and
unrealized gain (loss)
on investments $ 1.73 2.76 (6.50) 0.58 0.34
Total from investment
operations $ 1.71 2.76 (6.47) 0.60 0.37
Less distributions from:
Net investment income $ -- -- -- -- --
In excess of net
investment income $ -- -- -- -- 0.02
Tax return of capital -- -- -- 0.02 --
Net asset value, end of $
period % 8.93 7.22 4.46 10.93 10.35
Total Return(2): 23.68 61.88 (59.29) 5.78 3.76
Ratios/Supplemental Data:
Net assets, end of period $
(000's) 17,309 14,417 11,796 32,485 18,371
Ratios to average net
assets:
Net expenses after %
expense reimbursement(3) 2.00 2.00 2.00 2.00 2.00
Gross expenses prior to %
expense reimbursement(3) 2.88 2.98 2.80 2.54 3.47
Net investment income
(loss) after expense %
reimbursement(3) % (0.65) 0.01 0.38 0.00 0.33
Portfolio turnover rate 66 111 81 38 15
Class B
------------------------------------------------------
Six months
ended Ten months
Dec. 31, Year ended June 30, ended
1999 -------------------------- June 30,
(unaudited) 1999 1998 1997 1996(1)
----------- ---- ---- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period 7.02 4.37 10.83 10.31 10.00
Income from investment
operations:
Net investment income
(loss) (0.05) (0.04) (0.03) (0.07) (0.01)
Net realized and
unrealized gain (loss)
on investments 1.68 2.69 (6.43) 0.59 0.32
Total from investment
operations 1.63 2.65 (6.46) 0.52 0.31
Less distributions from:
Net investment income -- -- -- -- --
In excess of net
investment income -- -- -- -- --
Tax return of capital -- -- -- -- --
Net asset value, end of
period 8.65 7.02 4.37 10.83 10.31
Total Return(2): 23.22 60.64 (59.65) 5.04 3.19
Ratios/Supplemental Data:
Net assets, end of period
(000's) 16,393 12,959 9,084 30,169 17,789
Ratios to average net
assets:
Net expenses after
expense reimbursement(3) 2.75 2.75 2.75 2.75 2.75
Gross expenses prior to
expense reimbursement(3) 3.63 3.73 3.55 3.29 4.10
Net investment income
(loss) after expense
reimbursement(3) (1.40) (0.74) (0.39) (0.79) (0.38)
Portfolio turnover rate 66 111 81 38 15
Class M
---------------------------------------------------
Six months
ended Ten months
Dec. 31, Year ended June 30, ended
1999 -------------------------- June 30,
(unaudited) 1999 1998 1997 1996(1)
----------- ---- ---- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period $ 7.07 4.40 10.86 10.32 10.00
Income from investment
operations:
Net investment income
(loss) $ (0.04) (0.02) -- (0.05) --
Net realized and
unrealized gain (loss)
on investments $ 1.69 2.69 (6.46) 0.59 0.33
Total from investment
operations $ 1.65 2.67 (6.46) 0.54 0.33
Less distributions from:
Net investment income $ -- -- -- -- --
In excess of net
investment income $ -- -- -- -- 0.01
Tax return of capital -- -- -- -- --
Net asset value, end of $
period % 8.72 7.07 4.40 10.86 10.32
Total Return(2): 23.34 60.68 (59.48) 5.26 3.32
Ratios/Supplemental Data:
Net assets, end of period $
(000's) 7,954 5,184 4,265 11,155 6,476
Ratios to average net
assets:
Net expenses after %
expense reimbursement(3) 2.50 2.50 2.50 2.50 2.50
Gross expenses prior to %
expense reimbursement(3) 3.38 3.48 3.30 3.04 3.88
Net investment income
(loss) after expense %
reimbursement(3) % (1.15) (0.49) (0.07) (0.55) (0.16)
Portfolio turnover rate 66 111 81 38 15
- ----------
(1) The Fund commenced operations on September 1, 1995.
(2) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return information for less than one year is not
annualized.
(3) Annualized.
75
<PAGE>
Financial
PILGRIM GOVERNMENT SECURITIES INCOME FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
---------------------------------------------------------
Six months
ended
Dec. 31, Year ended June 30,
1999 -------------------------------------------
(unaudited) 1999 1998 1997 1996 1995(1)
----------- ---- ---- ---- ---- -------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 12.35 12.88 12.71 12.59 12.97 12.73
Income (loss) from
investment operations:
Net investment income $ 0.35 0.76 0.64 0.69 0.75 0.84
Net realized and
unrealized gain (loss)
on investments $ (0.37) (0.52) 0.30 0.20 (0.32) 0.24
Total from investment
operations $ (0.02) 0.24 0.94 0.89 0.43 1.08
Less distributions from:
Net investment income $ 0.38 0.77 0.77 0.73 0.75 0.84
Tax return of capital -- -- -- 0.04 0.06 --
Total distributions $ 0.38 0.77 0.77 0.77 0.81 0.84
Net asset value, end of
period $ 11.95 12.35 12.88 12.71 12.59 12.97
Total Return(3): % (0.20) 1.89 7.63 7.33 3.34 8.96
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 19,304 21,060 23,682 29,900 38,753 43,631
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.52 1.40 1.50 1.42 1.51 1.40
Gross expenses prior to
expense reimbursement(4) % 1.52 1.40 1.58 1.42 1.57 1.54
Net investment income
after expense
reimbursement(4) % 5.69 6.05 5.13 5.78 5.64 6.37
Portfolio turnover rate % 41 58 134 172 170 299
Class B
--------------------------------------------------
Six months
ended July 17,
Dec. 31, Year ended June 30, 1995(2) to
1999 ----------------------- June 30,
(unaudited) 1999 1998 1997 1995(1)
----------- ---- ---- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period 12.30 12.84 12.68 12.59 12.95
Income (loss) from
investment operations:
Net investment income 0.30 0.69 0.60 0.67 0.66
Net realized and
unrealized gain (loss)
on investments (0.36) (0.54) 0.24 0.11 (0.37)
Total from investment
operations (0.06) 0.15 0.84 0.78 0.29
Less distributions from:
Net investment income 0.33 0.69 0.68 0.69 0.65
Tax return of capital -- -- -- -- --
Total distributions 0.33 0.69 0.68 0.69 0.65
Net asset value, end of
period 11.91 12.30 12.84 12.68 12.59
Total Return(3): (0.50) 1.09 6.78 6.38 2.25
Ratios/Supplemental Data:
Net assets, end of period
(000's) 12,333 12,426 3,220 1,534 73
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) 2.27 2.15 2.25 2.17 2.26
Gross expenses prior to
expense reimbursement(4) 2.27 2.15 2.29 2.17 2.41
Net investment income
after expense
reimbursement(4) 4.93 5.30 4.24 4.92 4.98
Portfolio turnover rate 41 58 134 172 170
</TABLE>
Class C
------------------------
Six months
ended June 11,
Dec. 31, 1999(2) to
1999 June 30,
(unaudited) 1999
Per Share Operating
Performance:
Net asset value,
beginning of period $ 12.43 12.24
Income (loss) from
investment operations:
Net investment income $ (1.62) 2.05
Net realized and
unrealized gain (loss)
on investments $ 1.56 (1.86)
Total from investment
operations $ (0.06) 0.19
Less distributions from:
Net investment income $ 0.34 --
Tax return of capital -- --
Total distributions $ 0.34 --
Net asset value, end of
period $ 12.03 12.43
Total Return(3) % (0.52) 1.55
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 263 7
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.27 2.15
Gross expenses prior to
expense reimbursement(4) % 2.27 2.15
Net investment income
after expense
reimbursement(4) % 4.87 5.30
Portfolio turnover rate % 41 58
Class M
---------------------------------------------------
Six months
ended July 17,
Dec. 31, Year Ended June 30, 1995(2) to
1999 ---------------------- June 30,
(unaudited) 1999 1998 1997 1996
----------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 12.34 12.88 12.72 12.59 12.95
Income (loss) from
investment operations:
Net investment income $ 0.36 0.69 0.64 0.70 0.68
Net realized and
unrealized gain (loss)
on investments $ (0.40) (0.52) 0.23 0.14 (0.36)
Total from investment
operations $ (0.04) 0.17 0.87 0.84 0.32
Less distributions from:
Net investment income $ 0.35 0.71 0.71 0.70 0.68
Tax return of capital -- -- -- 0.01 --
Total distributions $ 0.35 0.71 0.71 0.71 0.68
Net asset value, end of
period $ 11.95 12.34 12.88 12.72 12.59
Total Return(3) % (0.36) 1.31 7.02 6.88 2.52
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 662 751 224 61 24
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 2.02 1.90 2.00 1.92 2.01
Gross expenses prior to
expense reimbursement(4) % 2.02 1.90 2.05 1.92 2.16
Net investment income
after expense
reimbursement(4) % 5.19 5.57 4.29 5.25 5.73
Portfolio turnover rate % 41 58 134 172 170
- ----------
(1) Pilgrim Investments, Inc., the Fund's Investment Manager, acquired certain
assets of Pilgrim Management Corporation, the Fund's former Investment
Manager, in a transaction that closed on April 7, 1995.
(2) Commencement of offering shares.
(3) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(4) Annualized.
76
<PAGE>
Financial
Highlights PILGRIM STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A Class B
----------------------------------- ----------------------------------
Six months Three Six months Three
ended months July 27, ended months July 27,
Dec. 31, ended 1998(1) to Dec. 31, ended 1998(1) to
1999 June 30, March 31, 1999 June 30, March 31,
(unaudited) 1999(2) 1999 (unaudited) 1999(2) 1999
----------- ------- ---- ----------- ------- ----
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period 12.59 12.89 13.08 12.33 12.61 12.78
Income from investment
operations:
Net investment income 0.45 0.26 0.53 0.42 0.18 0.45
Net realized and
unrealized gains (loss)
on investments (0.44) (0.42) (0.08) (0.43) (0.33) (0.05)
Total from investment
operations 0.01 (0.16) 0.45 (0.01) (0.15) 0.40
Less distributions from:
Net investment income 0.44 0.14 0.53 0.42 0.13 0.46
Net realized gains on
investments -- -- 0.11 -- -- 0.11
Net asset value, end of
period 12.16 12.59 12.89 11.90 12.33 12.61
Total Return(3): 0.14 (1.23) 5.60 (0.08) (1.20) 5.17
Ratios/Supplemental Data:
Net assets, end of period
(000's) 2,453 2,736 5,751 5,407 5,658 6,637
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) 0.95 0.90 0.96 1.35 1.29 1.37
Gross expenses prior to
expense reimbursement(4) 1.81 1.56 1.98 2.21 1.95 2.42
Net investment income
(loss) after expense
reimbursement(4) 7.42 5.88 5.81 7.00 5.49 5.35
Portfolio turnover 76 69 274 76 69 274
</TABLE>
Class C
----------------------------------
Six months Three
ended months July 27,
Dec. 31, ended 1998(1) to
1999 June 30, March 31,
(unaudited) 1999(2) 1999
----------- ------- ----
Per Share Operating Performance:
Net asset value, beginning of period 12.81 13.10 13.27
Income from investment
operations:
Net investment income 0.44 0.19 0.48
Net realized and unrealized
gains (loss) on investments (0.45) (0.35) (0.06)
Total from investment operations (0.01) (0.16) 0.42
Less distributions from:
Net investment income 0.42 0.13 0.48
Net realized gains on
investments -- -- 0.11
Net asset value, end of period 12.38 12.81 13.10
Total Return(3): (0.08) (1.21) 5.19
Ratios/Supplemental Data:
Net assets, end of period (000's) 4,380 7,965 8,128
Ratios to average net assets:
Net expenses after expense
reimbursement(4) 1.35 1.29 1.36
Gross expenses prior to expense
reimbursement(4) 2.21 1.95 2.41
Net investment income (loss)
after expense reimbursement(4) 7.00 5.49 5.36
Portfolio turnover 76 69 274
- ----------
(1) The Fund commenced operations on July 27, 1998.
(2) Effective May 24, 1999, Pilgrim Investment, Inc., became the Investment
Manager of the Fund.
(3) Total returns are not annualized for periods of less than one year and do
not reflect the impact of sales charges.
(4) Annualized.
77
<PAGE>
Financial
PILGRIM HIGH YIELD FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
---------------------------------------------------------------------------
Six
months Eight
ended months Year
Dec. 31, Year ended June 30, ended ended
1999 ---------------------------------- June 30, October 31,
(unaudited) 1999 1998 1997 1996 1995(1)(3) 1994
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 5.93 6.94 6.80 6.36 6.15 5.95 6.47
Income (loss) from
investment operations:
Net investment income $ 0.28 0.58 0.61 0.61 0.59 0.35 0.54
Net realized and
unrealized gain (loss)
on investments $ (0.40) (0.96) 0.16 0.43 0.16 0.21 (0.51)
Total from investment
operations $ (0.12) (0.38) 0.77 1.04 0.75 0.56 0.03
Less distributions from:
Net investment income $ 0.30 0.62 0.63 0.60 0.54 0.36 0.55
In excess of net
investment income $ -- 0.01 -- -- -- -- --
Total distributions $ 0.30 0.63 0.63 0.60 0.54 0.36 0.55
Net asset value, end of
period $ 5.51 5.93 6.94 6.80 6.36 6.15 5.95
Total Return(4): % (2.09) (5.57) 11.71 17.14 12.72 9.77 0.47
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 108,041 131,535 102,424 35,940 18,691 15,950 16,046
Ratios to average net
assets:
Net expenses after
expense reimbursement(5) % 1.00 1.00 1.00 1.00 1.00 2.25 2.00
Gross expenses prior to
expense reimbursement(5) % 1.15 1.12 1.17 1.42 2.19 2.35 2.07
Net investment income
after expense
reimbursement(5) % 10.03 9.32 9.05 9.54 9.46 8.84 8.73
Portfolio turnover rate % 47 184 209 394 399 166 192
</TABLE>
Class B
-------------------------------------------------
Six
months
ended July 17,
Dec. 31, Year ended June 30, 1995(2) to
1999 ---------------------- June 30,
(unaudited) 1999 1998 1997 1996
----------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 5.92 6.92 6.78 6.36 6.20
Income (loss) from
investment operations:
Net investment income $ 0.27 0.53 0.58 0.57 0.48
Net realized and
unrealized gain (loss)
on investments $ (0.41) (0.96) 0.14 0.41 0.14
Total from investment
operations $ (0.14) (0.43) 0.72 0.98 0.62
Less distributions from:
Net investment income $ 0.28 0.56 0.58 0.56 0.46
In excess of net
investment income $ -- 0.01 -- -- --
Total distributions $ 0.28
Net asset value, end of
period $ 5.50 5.92 6.92 6.78 6.36
Total Return(4): % (2.45) (6.23) 10.90 16.04 10.37
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 243,075 261,589 154,303 40,225 2,374
Ratios to average net
assets:
Net expenses after
expense reimbursement(5) % 1.75 1.75 1.75 1.75 1.75
Gross expenses prior to
expense reimbursement(5) % 1.90 1.87 1.92 2.17 2.94
Net investment income
after expense
reimbursement(5) % 9.27 8.57 8.30 8.64 9.02
Portfolio turnover rate % 47 184 209 394 339
Class C
-------------------------
Six months
ended May 27,
Dec. 31, 1999(2) to
1999 June 30,
(unaudited) 1999
Per Share Operating Performance:
Net asset value, beginning of period $ 5.92 5.91
Income (loss) from investment
operations:
Net investment income $ 0.28 0.05
Net realized and unrealized gain (loss)
on investments $ (0.43) 0.01
Total from investment operations $ (0.15) 0.06
Less distributions from:
Net investment income $ 0.28 0.05
In excess of net investment income $ -- --
Total distributions 0.28
Net asset value, end of period $ 5.49 5.92
Total Return(4): % (2.54) 0.34
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 5,614 551
Ratios to average net assets:
Net expenses after expense
reimbursement(5) % 1.75 1.75
Gross expenses prior to expense
reimbursement(5) % 1.90 1.87
Net investment income after expense
reimbursement(5) % 9.33 8.57
Portfolio turnover rate % 47 184
Class M
------------------------------------------------
Six months
ended July 17,
Dec. 31, Year ended June 30, 1995(2) to
1999 ----------------------- June 30,
(unaudited) 1999 1998 1997 1996
Per Share Operating
Performance:
Net asset value,
beginning of period 5.93 6.92 6.78 6.36 6.20
Income (loss) from
investment operations:
Net investment income 0.27 0.55 0.59 0.58 0.50
Net realized and
unrealized gain (loss)
on investments (0.41) (0.95) 0.14 0.41 0.14
Total from investment
operations (0.14) (0.40) 0.73 0.99 0.64
Less distributions from:
Net investment income 0.29 0.58 0.59 0.57 0.48
In excess of net
investment income -- 0.01 -- -- --
Total distributions 0.29
Net asset value, end of
period 5.50 5.93 6.92 6.78 6.36
Total Return(4): (2.50) (5.85) 11.16 16.29 10.69
Ratios/Supplemental Data:
Net assets, end of period
(000's) 18,768 24,129 19,785 8,848 1,243
Ratios to average net
assets:
Net expenses after
expense reimbursement(5) 1.50 1.50 1.50 1.50 1.50
Gross expenses prior to
expense reimbursement(5) 1.65 1.62 1.67 1.92 2.69
Net investment income
after expense
reimbursement(5) 9.53 8.82 8.55 8.93 9.41
Portfolio turnover rate 47 184 209 394 339
- ----------
(1) Pilgrim Investments, Inc., the Fund's Investment Manager, acquired certain
assets of Pilgrim Management Corporation, the Fund's former Investment
Manager, in a transaction that closed on April 7, 1995.
(2) Commencement of offering shares.
(3) Effective November 1, 1994, High Yield Fund changed its year end to June
30.
(4) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return information for less than one year is not
annualized.
(5) Annualized.
78
<PAGE>
Financial
Highlights PILGRIM HIGH YIELD FUND II
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
Class A
-----------------------------------------------
Six months Three
ended months Year March 27,
Dec. 31, ended ended 1998 to
1999 June 30, March 31, March 31,
(unaudited) 1999(2) 1999 1998(1)
Per Share Operating
Performance:
Net asset value,
beginning of period $ 11.57 11.66 12.72 12.70
Income from investment
operations:
Net investment income $ 0.58 0.28 1.12 0.01
Net realized and
unrealized gains (loss)
on investments $ (0.40) (0.09) (1.00) 0.01
Total from investment
operations $ 0.18 0.19 0.12 0.02
Less distributions from:
Net investment income $ 0.58 0.28 1.18 --
Net asset value, end of
period $ 11.17 11.57 11.66 12.72
Total Return(3): % 1.91 1.60 1.13 0.16
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 10,415 16,795 17,327 4,690
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.10 1.10 1.12 1.06
Gross expenses prior to
expense reimbursement(4) % 1.25 1.37 1.53 1.06
Net investment income
(loss) after
expense reimbursement(4) % 10.28 9.68 9.44 7.22
Portfolio turnover % 55 44 242 484
Class B
------------------------------------------------
Six months Three
ended months Year March 27,
Dec. 31, ended ended 1998 to
1999 June 30, March 31, March 31,
(unaudited) 1999(2) 1999 1998(1)
----------- ------- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period $ 11.58 11.66 12.71 12.69
Income from investment
operations:
Net investment income $ 0.54 0.27 1.04 0.01
Net realized and
unrealized gains (loss)
on investments $ (0.42) (0.09) (0.99) 0.01
Total from investment
operations $ 0.12 0.18 0.05 0.02
Less distributions from:
Net investment income $ 0.54 0.26 1.10 --
Net asset value, end of
period $ 11.16 11.58 11.66 12.71
Total Return(3): % 1.41 1.53 0.55 0.16
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 40,553 41,882 42,960 8,892
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.75 1.75 1.77 1.69
Gross expenses prior to
expense reimbursement(4) % 1.90 2.02 2.18 1.69
Net investment income
(loss) after
expense reimbursement(4) % 9.57 9.03 8.84 6.61
Portfolio turnover % 55 44 242 484
Class C
-----------------------------------------------
Six months Three
ended months Year March 27,
Dec. 31, ended ended 1998 to
1999 June 30, March 31, March 31,
(unaudited) 1999(2) 1999 1998(1)
----------- ------- ---- -------
Per Share Operating
Performance:
Net asset value,
beginning of period $ 11.58 11.66 12.71 12.69
Income from investment
operations:
Net investment income
(loss) $ 0.53 0.27 1.04 0.01
Net realized and
unrealized gains (loss)
on investments $ (0.40) (0.09) (0.99) 0.01
Total from investment
operations $ 0.13 0.18 0.05 0.02
Less distributions from:
Net investment income $ 0.54 0.26 1.10 --
Net asset value, end of
period $ 11.17 11.58 11.66 12.71
Total Return(3): % 1.49 1.53 0.55 0.16
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 16,860 18,618 21,290 4,815
Ratios to average net
assets:
Net expenses after expense
reimbursement(4) % 1.75 1.75 1.77 1.66
Gross expenses prior to
expense reimbursement(4) % 1.90 2.02 2.18 1.66
Net investment income
(loss) after
expense reimbursement(4) % 9.57 9.03 8.79 6.91
Portfolio turnover % 55 44 242 484
- ----------
(1) The Fund commenced operations on March 27, 1998.
(2) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment
Manager of the Fund.
(3) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(4) Annualized.
79
<PAGE>
Financial
PILGRIM MONEY MARKET FUND Highlights
- --------------------------------------------------------------------------------
Class A Class B Class C
------- ------- -------
Period Period Period
ended ended ended
Dec. 31, Dec. 31, Dec. 31,
1999(1) 1999(2) 1999(2)
(unaudited) (unaudited) (unaudited)
Per Share Operating
Performance:
Net asset value,
beginning of period $ 1.00 1.00 1.00
Income from investment
operations:
Net investment income $ 0.01 0.01 0.01
Net realized and
unrealized gains (loss)
on investments $ -- -- --
Total from investment
operations $ 0.01 0.01 0.01
Less distributions from:
Net investment income $ 0.01 0.01 0.01
Net realized gains on
investments $ -- -- --
Net asset value, end of
period $ 1.00 1.00 1.00
Total Return(3): % 0.36 1.41 1.41
Ratios/Supplemental Data:
Net assets, end of period
(000's) $ 5,732 11,414 2,670
Ratios to average net
assets:
Net expenses after
expense reimbursement(4) % 1.50 2.25 2.25
Gross expenses prior to
expense reimbursement(4) % 4.67 5.42 5.42
Net investment income
(loss) after expense
reimbursement(4) % 3.58 3.19 3.19
Portfolio turnover % -- -- --
- ----------
(1) Commenced operations on November 24, 1999.
(2) Commenced operations on July 12, 1999.
(3) Total returns are not annualized for periods of less than one year and do
not reflect the impact of sales charges.
(4) Annualized.
80
<PAGE>
Financial
Highlights
PILGRIM BALANCED FUND
- ----------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
-----------------------------------------------------------
Six
months Three
ended months
Dec 31, ended Year ended March 31,
1999 June 30, ------------------------------------
(unaudited) 1999(2) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 19.23 19.03 19.53 15.54 16.16 13.74 13.52
Income from investment
operations:
Net investment income $ 0.30 0.10 0.36 0.26 0.32 0.34 0.21
Net realized and
unrealized gains on
investments $ 0.17 0.17 2.58 5.70 0.84 2.42 0.22
Total from investment
operations $ 0.47 0.27 2.94 5.96 1.16 2.76 0.43
Less distributions from:
Net investment income $ 0.39 0.07 0.43 0.27 0.32 0.34 0.21
Net realized gains on
investments $ 3.71 -- 3.01 1.70 1.46 -- --
Net asset value, end of
period $ 15.60 19.23 19.03 19.53 15.54 16.16 13.74
Total Return(3): % 2.68 1.42 17.10 39.34 6.74 20.16 3.22
Ratio/Supplemental Data:
Net assets, end of period
(in thousands) $ 10,141 9,619 9,519 6,675 4,898 5,902 4,980
Ratio to average net
assets:
Net expenses after
expense reimbursement(4) % 1.35 1.49 1.59 1.61 1.60 1.60 1.60
Gross expenses prior to
expense reimbursement(4) % 1.59 1.75 1.97 2.56 3.00 3.30 2.78
Net investment income
(loss) after expense
reimbursement(4) % 3.44 2.06 2.08 3.58 1.87 2.16 1.44
Portfolio turnover % 46 63 165 260 213 197 110
Class B
---------------------------------------------------------------
Six
months Three
ended months May 31,
Dec 31, ended Year ended March 31, 1995(1) to
1999 June 30, -------------------------- March 31,
(unaudited) 1999(2) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 20.59 20.38 20.07 14.88 14.18 12.50
Income from investment
operations:
Net investment income $ 0.25 0.07 0.28 0.15 0.17 0.12
Net realized and
unrealized gains on
investments $ 0.20 0.18 2.74 5.58 0.70 1.68
Total from investment
operations $ 0.45 0.25 3.02 5.73 0.87 1.80
Less distributions from:
Net investment income $ 0.33 0.04 0.31 0.15 0.17 0.12
Net realized gains on
investments $ 3.97 -- 2.40 0.39 -- --
Net asset value, end of
period $ 16.74 20.59 20.38 20.07 14.88 14.18
Total Return(3): % 2.39 1.24 16.49 38.79 6.10 14.45
Ratio/Supplemental Data:
Net assets, end of period
(in thousands) $ 7,716 7,157 6,048 4,254 2,133 673
Ratio to average net
assets:
Net expenses after
expense reimbursement(4) % 2.00 2.14 2.24 2.26 2.25 2.25
Gross expenses prior to
expense reimbursement(4) % 2.24 2.40 2.62 2.71 6.44 13.05
Net investment income
(loss) after expense
reimbursement(4) % 2.80 1.41 1.43 2.99 1.25 1.38
Portfolio turnover % 46 63 165 260 213 197
Class C
-------------------------------------------------------------------------------
Six
months Three
ended months
Dec 31, ended Year ended March 31,
1999 June 30, ----------------------------------------------------
(unaudited) 1999(2) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 18.53 18.35 19.90 15.59 16.20 13.76 13.54
Income from investment
operations:
Net investment income $ 0.24 0.06 0.26 0.15 0.21 0.24 0.11
Net realized and
unrealized gains
on investments $ 0.16 0.16 2.52 5.71 0.85 2.44 0.22
Total from investment
operations $ 0.40 0.22 2.78 5.86 1.06 2.68 0.33
Less distributions from:
Net investment income $ 0.34 0.04 0.28 0.15 0.21 0.24 0.11
Net realized gains on
investments $ 3.57 -- 4.05 1.40 1.46 -- --
Net asset value, end of
period $ 15.02 18.53 18.35 19.90 15.59 16.20 13.76
Total Return(3): % 2.35 1.21 16.34 38.35 6.05 19.58 2.47
Ratio/Supplemental Data:
Net assets, end of period
(in thousands) $ 19,494 21,331 21,655 20,784 16,990 16,586 16,470
Ratio to average net
assets:
Net expenses after
expense reimbursement(4) % 2.00 2.14 2.23 2.26 2.25 2.25 2.25
Gross expenses prior to
expense reimbursement(4) % 2.24 2.40 2.61 2.68 2.83 3.01 2.60
Net investment income
(loss) after expense
reimbursement(4) % 2.80 1.41 1.43 2.93 1.23 1.53 0.83
Portfolio turnover % 46 63 165 260 213 197 110
</TABLE>
- ----------
(1) Commencement of offering of shares.
(2) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment
Manager of the Fund.
(3) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(4) Annualized.
81
<PAGE>
Financial
PILGRIM CONVERTIBLE FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
--------------------------------------------------------------------------------
Six
months Three
ended months
Dec 31, ended Year ended March 31,
1999 June 30, ----------------------------------------------------
(unaudited) 1999(2) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value,
beginning of period $ 23.27 21.92 19.12 16.59 15.68 12.86 14.16
Income from investment
operations:
Net investment income
(loss) $ 0.20 0.10 0.40 0.44 0.47 0.48 0.49
Net realized and
unrealized gains
(loss) on investments $ 6.66 1.35 3.17 4.49 1.64 2.82 (0.89)
Total from investment
operations $ 6.86 1.45 3.57 4.93 2.11 3.30 (0.40)
Less distributions from:
Net investment income $ 0.20 0.10 0.41 0.44 0.48 0.48 0.49
Net realized gains on
investments $ 3.69 -- 0.36 1.96 0.72 -- 0.41
Net asset value, end of
period $ 26.24 23.27 21.92 19.12 16.59 15.68 12.86
Total Return(3): % 31.97 6.62 19.17 31.04 13.73 26.00 (2.64)
Ratios/Supplemental Data:
Net assets, end of period
(in thousands) $ 88,816 73,133 65,742 47,290 32,082 31,712 31,150
Ratio to average net
assets:
Net expenses after
expense reimbursement(4) % 1.33 1.45 1.53 1.57 1.60 1.60 1.60
Gross expenses prior to
expense
reimbursement(4) % 1.34 2.10 1.65 1.74 1.75 1.76 1.76
Net investment income
(loss) after
expense reimbursement(4) % 1.75 1.82 2.08 5.64 2.83 3.29 3.71
Portfolio turnover % 68 28 138 160 167 145 126
Class B
----------------------------------------------------------------
Six
months Three
ended months May 31,
Dec 31, ended Year ended March 31, 1995(1) to
1999 June 30, ---------------------- March 31,
(unaudited) 1999(2) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 25.34 23.86 20.56 16.60 14.96 12.50
Income from investment
operations:
Net investment income
(loss) $ 0.12 0.07 0.29 0.32 0.31 0.24
Net realized and
unrealized gains
(loss) on investments $ 7.25 1.47 3.47 4.65 1.64 2.46
Total from investment
operations $ 7.37 1.54 3.76 4.97 1.95 2.70
Less distributions from:
Net investment income $ 0.12 0.06 0.27 0.32 0.31 0.24
Net realized gains on
investments $ 4.01 -- 0.19 0.69 -- --
Net asset value, end of
period $ 28.58 25.34 23.86 20.56 16.60 14.96
Total Return(3): % 31.56 6.47 18.52 30.51 13.01 21.72
Ratios/Supplemental Data:
Net assets, end of period
(in thousands) $ 108,527 68,091 58,736 36,725 12,740 2,125
Ratio to average net
assets:
Net expenses after
expense reimbursement(4) % 1.98 2.10 2.18 2.22 2.25 2.25
Gross expenses prior to
expense reimbursement(4) % 1.99 2.10 2.30 2.33 3.19 7.08
Net investment income
(loss) after
expense reimbursement(4) % 1.10 1.17 1.44 5.04 2.29 2.59
Portfolio turnover % 168 28 138 160 167 145
Class C
-----------------------------------------------------------------------
Six
months Three
ended months
Dec 31, ended Year ended March 31,
1999 June 30, ---------------------------------------------
(unaudited) 1999(2) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
Per Share Operating
Performance:
Net asset value,
beginning of period $ 23.78 22.40 19.55 17.05 15.89 13.03 14.28
Income from investment
operations:
Net investment income
(loss) $ 0.13 0.07 0.28 0.34 0.37 0.40 0.41
Net realized and
unrealized gains
(loss) on investments $ 6.78 1.37 3.25 4.60 1.66 2.86 (0.89)
Total from investment
operations $ 6.91 1.44 3.53 4.94 2.03 3.26 (0.48)
Less distributions from:
Net investment income $ 0.12 0.06 0.25 0.34 0.37 0.40 0.41
Net realized gains on
investments $ 3.76 -- 0.43 2.10 0.50 -- 0.36
Net asset value, end of
period $ 26.81 23.78 22.40 19.55 17.05 15.89 13.03
Total Return(3): % 31.56 6.45 18.45 30.22 12.91 25.24 (3.26)
Ratios/Supplemental Data:
Net assets, end of period
(in thousands) $ 132,756 100,276 95,998 81,561 62,143 58,997 61,792
Ratio to average net assets:
Net expenses after
expense reimbursement(4) % 1.98 2.10 2.18 2.22 2.25 2.25 2.25
Gross expenses prior to
expense reimbursement(4) % 1.99 2.10 2.30 2.31 2.29 2.28 2.29
Net investment income
(loss) after
expense reimbursement(4) % 1.10 1.17 1.44 4.99 2.18 2.64 3.05
Portfolio turnover % 68 28 138 160 167 145 126
</TABLE>
- ----------
(1) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment
Manager of the Fund, concurrently Nicholas-Applegate Capital Management was
appointed as sub-advisor.
(2) Commencement of offering shares.
(3) Total return is calculated assuming reinvestment of all dividends and
capital gain distributions at net asset value and excluding the deduction
of sales charges. Total return for less than one year is not annualized.
(4) Annualized.
82
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
Organization. The Pilgrim Funds are comprised of Pilgrim Mutual Funds ("PMF"),
Pilgrim Bank and Thrift Fund, Inc. ("Bank and Thrift Fund"), Pilgrim Investment
Funds, Inc. ("PIF"), Pilgrim Advisory Funds, Inc. ("PAF") and Pilgrim
Government Securities Income Fund ("Government Securities Income Fund") which
are each open-end investment management companies registered under the
Investment Company Act of 1940, as amended.
PMF, formerly Nicholas-Applegate Mutual Funds, is a Delaware business trust
organized in 1992 with twelve separate series (Portfolios). The "Funds" are
Pilgrim LargeCap Growth Fund, Pilgrim MidCap Growth Fund, Pilgrim SmallCap
Growth Fund, Pilgrim Worldwide Growth Fund, Pilgrim International Core Growth
Fund, Pilgrim International SmallCap Growth Fund, Pilgrim Emerging Countries
Fund, Pilgrim Strategic Income Fund (formerly High Quality Bond Fund), Pilgrim
High Yield Fund II, Pilgrim Money Market Fund, Pilgrim Balanced Fund and Pilgrim
Convertible Fund. In a transaction that closed on May 21, 1999, Pilgrim
Investments, Inc. became the Investment Manager and Pilgrim Securities, Inc.
became the Distributor of the Funds in PMF. While Pilgrim Investments, Inc.
manages all the portfolios of PMF, Nicholas-Applegate Capital Management acts as
sub-advisor to all the PMF portfolios with the exception of Strategic Income
Fund, High Yield Fund II, Money Market Fund and Balanced Fund.
Bank and Thrift Fund was organized as a Maryland Corporation in 1986. PIF, a
Maryland Corporation organized in 1969, consists of Pilgrim MagnaCap Fund and
Pilgrim High Yield Fund. PAF, a Maryland Corporation organized in 1995, consists
of Pilgrim MidCap Value Fund, Pilgrim LargeCap Leaders Fund and Pilgrim
Asia-Pacific Equity Fund. Government Securities Income Fund, a California
Corporation organized in 1984, is the single series of Government Securities
Income Fund. The investment objective of each Fund is described in each Fund's
prospectus.
The Money Market Fund seeks to achieve its investment objective by investing all
its assets in Class A shares of the Primary Reserve Institutional Fund, a series
of Reserve Institutional Trust, a registered open end investment company. The
Primary Reserve Institutional Fund declares dividends of its net investment
income daily, which the Money Market Fund records as dividend income. In
addition, the Money Market Fund incurs its own expenses. The financial
statements of the Primary Reserve Institutional Fund are included in this report
and should be read in conjunction with the financial statements of the Money
Market Fund.
Each Fund offers at least two of the following classes of shares: Class A, Class
B, Class C, Class M and Class Q. The separate classes of shares differ
principally in the applicable sales charges (if any), distribution fees,
shareholder servicing fees and transfer agency fees. Shareholders of each class
also bear certain expenses that pertain to that particular class. All
shareholders bear the common expenses of the Fund and earn income from the
portfolio pro rata based on the average daily net assets of each class, without
distinction between share classes. Dividends are determined separately for each
class based on income and expenses allocable to each class. Realized gains are
allocated to each class pro rata based on the net assets of each class on the
date of distribution. No class has preferential dividend rights. Differences in
per share dividend rates generally result from the relative weighting of pro
rata income and realized gain allocations and from differences in separate class
expenses, including distribution, shareholder servicing and transfer agency
fees. Class B shares, along with their pro rata reinvested dividend shares,
automatically convert to Class A shares approximately eight years after
purchase.
Reorganization. Before a shareholder approved reorganization effective July 24,
1998, the funds comprising PMF invested all of their assets in corresponding
portfolios of Nicholas-Applegate Investment Trust, an arrangement known as a
"master/feeder" structure. Upon the reorganization, the Institutional Portfolio
series of the Trust were renamed Funds and were authorized to issue multiple
classes of shares, and their outstanding shares were classified as Class I
shares. At the same time, the A, B, C and Advisory Portfolios of the Trust
transferred their assets to the corresponding Funds, and their shareholders
received
83
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Class A, B, C and Q shares of the Funds on a tax-free basis. Effective May 7,
1999 and concurrent with the change in investment adviser, the Institutional
Classes of PMF were transferred in a tax free reorganization to new funds being
managed by Nicholas-Applegate Capital Management.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by the
Funds in the preparation of their financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
A. Security Valuation. Investments in equity securities traded on a national
securities exchange or included on the NASDAQ National Market System are
valued at the last reported sale price. Securities traded on an exchange of
NASDAQ for which there has been no sale and securities traded in the
over-the-counter-market are valued at the mean between the last reported
bid and ask prices. All investments quoted in foreign currencies will be
valued daily in U.S. dollars on the basis of the foreign currency exchange
rates prevailing at the time such valuation is determined by each Fund's
custodian. Debt securities in Pilgrim Strategic Income Fund, Pilgrim
Balanced Fund and Pilgrim High Yield Fund II are valued at bid prices
(Pilgrim High Yield Fund is valued at the mean between the bid and ask
prices) obtained from independent services or from one or more dealers
making markets in the securities. U.S. Government obligations are valued by
using market quotations or independent pricing services which uses prices
provided by market-makers or estimates of market values obtained from yield
data relating to instruments or securities with similar characteristics.
Securities for which market quotations are not readily available are valued
at their respective fair values as determined in good faith and in
accordance with policies set by the Board of Directors. Investments in
securities maturing in less than 60 days are valued at cost, which, when
combined with accrued interest, approximates market value.
B. Security Transactions and Revenue Recognition. Securities transactions are
accounted for on the trade date. Realized gains and losses are reported on
the basis of identified cost of securities delivered. Interest income is
recorded on an accrual basis. Dividend income is recorded on the
ex-dividend date, or for certain foreign securities, when the information
becomes available to the funds. Premium amortization and discount accretion
are determined by the effective yield method.
C. Foreign Currency Translation. The books and records of the funds are
maintained in U.S. dollars. Any foreign currency amounts are translated
into U.S. dollars on the following basis:
(1) Market value of investment securities, other assets and liabilities --
at the exchange rates prevailing at the end of the day.
(2) Purchases and sales of investment securities, income and expenses --
at the rates of exchange prevailing on the respective dates of such
transactions.
Although the net assets and the market values are presented at the foreign
exchange rates at the end of the day, the Funds do not isolate the portion
of the results of operations resulting from changes in foreign exchange
rates on investments from the fluctuations arising from changes in market
prices of securities held. Such fluctuations are included with the net
realized and unrealized gains or losses from investments. For securities
which are subject to foreign withholding tax upon disposition, liabilities
are recorded on the statement of assets and liabilities for the estimated
tax withholding based on the securities current market value. Upon
disposition, realized gains or losses on such securities are recorded net
of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales and
maturities of short-term securities, sales of foreign currencies, currency
gains or losses realized between the trade and settlement dates on
securities transactions, the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Fund's
84
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
books, and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes
in the value of assets and liabilities other than investments in securities
at fiscal year end, resulting from changes in the exchange rate. Foreign
security and currency transactions may involve certain considerations and
risks not typically associated with investing in U.S. companies and the
U.S. Government. These risks include but are not limited to re-evaluation
of currencies and future adverse political and economic developments which
could cause securities and their markets to be less liquid and prices more
volatile than those of comparable U.S. companies and the U.S. Government.
D. Foreign Currency Transactions. Certain funds may enter into foreign
currency exchange transactions to convert to and from different foreign
currencies and to and from the U.S. dollar in connection with the planned
purchases or sales of securities. The Funds either enter into these
transactions on a spot basis at the spot rate prevailing in the foreign
currency exchange market or use forward foreign currency contracts to
purchase or sell foreign currencies. When the contract is fulfilled or
closed, gains or losses are realized. Until then, the gain or loss is
included in unrealized appreciation or depreciation. Risks may arise upon
entering into forward contracts from the potential inability of
counterparties to meet the terms of their forward contracts and from the
potential inability of counterparties to meet the terms of their forward
contracts and from unanticipated movements in the value of foreign
currencies relative to the U.S. dollar.
Each Fund may enter into futures contracts involving foreign currency,
interest rates, securities and securities indices, for hedging purposes
only. A futures contract obligates the seller of the contract to deliver
and the purchaser of the contract to take delivery of the type of foreign
currency, financial instrument or security called for in the contract at a
specified future time for a specified price. Upon entering into such a
contract, a Fund is required to deposit and maintain as collateral such
initial margin as required by the exchange on which the contract is traded.
Pursuant to the contract, a Fund agrees to receive from or pay to the
broker an amount equal to the daily fluctuations in the value of the
contract. Such receipts or payments are known as variation margins and are
recorded as unrealized gains or losses by the Fund. When the contract is
closed, the Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value
at the time it was closed. There were no open futures contracts at December
31, 1999.
E. Distributions to Shareholders. The Funds record distributions to their
shareholders on ex-date. Each Fund pays dividends, if any, as follows:
Annually Semi-Annually Quarterly Monthly
LargeCap MagnaCap Balanced Strategic
Leaders Convertible Income
LargeCap Government
Growth Securities
MidCap Income
Value High Yield
MidCap High
Growth Yield II
SmallCap Money
Growth Market
Bank and
Thrift
International
Core
Growth
Worldwide
Growth
Asia-Pacific
Equity
International
SmallCap
Growth
Emerging
Countries
Pilgrim High Yield II and Pilgrim Money Market declare and go ex-dividend
daily and pay dividends monthly. Each Fund distributes capital gains, to
the extent available, annually.
The amount of distributions from net investment income and net realized
capital gains are determined in accordance with federal income tax
regulations,
85
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
which may differ from generally accepted accounting principles. These
"book/tax" differences are either considered temporary or permanent in
nature. Key differences are the treatment of short-term capital gains,
foreign currency transactions, organization costs and other temporary
differences. To the extent that these differences are permanent in nature,
such amounts are reclassified within the capital accounts based on their
federal tax-basis treatment; temporary differences do not require
reclassifications. Distributions which exceed net investment income and net
realized capital gains for financial reporting purposes but not for tax
purposes, are reported as distributions in excess of net investment income
and/or net realized capital gains. To the extent they exceed net investment
income and/or net realized capital gains for tax purposes, they are
reported as distributions of paid-in capital.
F. Federal Income Taxes. It is the policy of the Funds, to comply with the
requirements of the Internal Revenue Code that are applicable to regulated
investment companies and to distribute substantially all of their net
investment income and any net realized capital gains to their shareholders.
Therefore, a federal income tax or excise tax provision is not required. In
addition, by distributing during each calendar year substantially all of
its net investment income and net realized capital gains, each Fund intends
not to be subject to any federal excise tax.
The Board of Directors intends to offset any net capital gains with any
available capital loss carryforward until each carryforward has been fully
utilized or expires. In addition, no capital gain distribution shall be
made until the capital loss carryforward has been fully utilized or
expires.
Capital loss carryforwards were as follows at June 30, 1999:
Amount Expiration Dates
------ ----------------
International Core Growth $ 2,108,292 2005
Emerging Countries 76,846,244 2005
Asia-Pacific Equity 29,974,147 2005 to 2006
Government Securities Income 6,224,461 1999 to 2006
High Yield 9,719,347 2001 to 2002
High Yield II 2,988,771 2007
G. Use of Estimates. Management of the Funds has made certain estimates and
assumptions relating to the reporting of assets, liabilities, income, and
expenses to prepare these financial statements in conformity with generally
accepted accounting principles. Actual results could differ from these
estimates.
H. Repurchase Agreements. Each Fund may invest in repurchase agreements only
with government securities dealers recognized by the Board of Governors of
the Federal Reserve System or with member banks of the Federal Reserve
System. Under such agreements, the seller of the security agrees to
repurchase it at a mutually agreed upon time and price. The resale price is
in excess of the purchase price and reflects an agreed upon interest rate
for the period of time the agreement is outstanding. The period of the
repurchase agreements is usually short, from overnight to one week, while
the underlying securities generally have longer maturities. Each Fund will
always receive as collateral securities acceptable to it whose market value
is equal to at least 100% of the amount being invested by the Fund. If the
seller defaults, a Fund might incur a loss or delay in the realization of
proceeds if the value of the collateral securing the repurchase agreement
declines, and it might incur disposition costs in liquidating the
collateral.
I. Deferred Organization Expenses. Expenses incurred in connection with the
organization and registration of the LargeCap Leaders Fund, MidCap Value
Fund and Asia-Pacific Equity Fund under the Investment
86
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Company Act of 1940 and the Securities Act of 1933 are being amortized by
each Fund equally over a period of five years from the date of commencement
of its operations.
Certain registration costs incurred in the organization of Pilgrim Money
Market Fund were capitalized and are being amortized over a period of one
year.
J. Reclassification. Certain prior period amounts in the accompanying
financial statements have been reclassified to conform with current period
presentation.
K. Securities Lending. Through May 21, 1999, each Fund in PMF had the option
to temporarily loan securities, up to 30% of its total assets, to brokers,
dealers or other financial institutions in exchange for a negotiated
lender's fee. The borrower fully collateralized the loans with cash,
letters of credit or U.S. Government securities.
L. Redemption Fees. During the year ended June 30, 1999, Bank and Thrift
Fund's prospectus allowed that, until October 17, 1998, a 2% redemption fee
would be imposed on redemptions or exchanges of Class A shares acquired
prior to October 17, 1997. Such redemption fee was payable to the Fund and
is reflected as redemption fee income in the accompanying financial
statements.
NOTE 3 -- INVESTMENT TRANSACTIONS
For the six months ended December 31, 1999, the cost of purchases and proceeds
from the sales of securities, excluding short-term securities, were as follows:
Purchases Sales
--------- -----
MagnaCap Fund $ 67,530,146 $ 73,230,365
LargeCap Leaders Fund 3,787,457 5,681,389
LargeCap Growth Fund 394,454,270 181,328,678
MidCap Value Fund 43,159,119 56,741,068
MidCap Growth 193,516,557 215,893,014
SmallCap Growth Fund 159,221,578 185,533,720
Bank and Thrift Fund 28,944,383 182,671,906
Worldwide Growth Fund 366,140,202 262,133,840
International Core Growth Fund 60,119,815 54,302,685
International SmallCap Growth Fund 275,837,780 147,652,194
Emerging Countries Fund 203,638,563 208,179,549
Asia-Pacific Equity Fund 21,865,854 20,686,605
Government Securities Income Fund 13,458,630 13,118,580
Strategic Income Fund 10,297,797 13,360,341
High Yield Fund 177,521,231 210,155,438
High Yield Fund II 46,582,809 55,260,795
Balanced Fund 16,168,740 16,619,337
Convertible Fund 186,887,208 180,044,244
Money Market Fund 840,315,687 821,207,987
NOTE 4 -- INVESTMENTS IN AFFILIATES
Affiliated companies, as defined in Section 2(a)(3) of the Investment Company
Act of 1940, are companies 5% or more of whose outstanding voting shares are
held by a fund. At December 31, 1999, Bank and Thrift Fund has the following
holdings in affiliated companies:
Acquisition Shares Market % of
Date Held Cost Value Net Assets
---- ---- ---- ----- ----------
American February 430,000 $4,914,375 $2,821,875 0.61%
Safety 13, 1998 to
Insurance November
Group, Ltd. 6, 1998
21st Century November 177,000 1,330,875 730,125 0.16%
Holding 5, 1998
Company
International November 375,000 3,281,089 2,343,750 0.50%
Aircraft 5, 1997 to
Investors April 15,
1999
Southwest March 16, 200,000 4,875,938 4,000,000 0.86%
Bancorp. 1999 to
March 17,
1999
During the six months ended December 31, 1999 the Fund received $40,000 in
dividend income from Southwest Bancorp. There was no other dividend income from
affiliates during the period.
NOTE 5 -- INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES
Each of the Funds has entered into an Investment Management Agreement with
Pilgrim Investments, Inc. ("the Manager"), a wholly-owned subsidiary of Pilgrim
Group, Inc. ("PGI"). The investment management agreements compensate the Manager
with a fee, computed daily and payable monthly, based on the average daily net
assets of each Fund, at the following annual rates:
For Emerging Countries and Asia-Pacific Equity -- 1.25%; for LargeCap Leaders,
MidCap Value and SmallCap Growth -- 1.00%; for Worldwide Growth, International
Core Growth and International SmallCap
87
<PAGE>
- -------
Pilgrim
Funds
- ------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Growth -- 1.00% for the first $500 million, 0.90% of the next $500 million and
0.85% in excess of $1.0 billion; for LargeCap Growth, MidCap Growth, Balanced
and Convertible -- 0.75% for the first $500 million, 0.675% of the next $500
million and 0.65% in excess of $1.0 billion; for High Yield and High Yield II --
0.60%; for Strategic Income -- 0.45% for the first $500 million, 0.40% of the
next $250 million and 0.35% in excess of $750 million; for MagnaCap -- 1.00% for
the first $30 million, 0.75% of the next $220 million, 0.625% of the next $250
million and 0.50% in excess of $500 million; for Bank and Thrift -- 1.00% for
the first $30 million, 0.75% of the next $95 million and 0.70% in excess of $125
million; for Government Securities Income -- 0.50% for the first $500 million,
0.45% of the next $500 million and 0.40% in excess of $1.0 billion.
The manager does not charge a management fee for Money Market Fund since the
Fund invests solely in another open-end regulated investment company. However,
the Fund pays the manager an administrative fee of 0.25% computed daily and
payable monthly based on average daily net assets.
NOTE 6 -- DISTRIBUTION FEES
Each share class of the Funds has adopted a Plan pursuant to Rule 12b-1 under
the 1940 Act (the "12b-1 Plans"), whereby Pilgrim Securities, Inc. (the
"Distributor") is reimbursed or compensated (depending on the class of shares)
by the Funds for expenses incurred in the distribution of each Funds' shares.
Pursuant to the 12b-1 Plans, the Distributor is entitled to payment each month
for actual expenses incurred in the distribution and promotion of each Fund's
shares, including the printing of prospectuses and reports used for sales
purposes, expenses of preparation and printing of sales literature and other
such distribution related expenses, including any distribution or service fees
paid to securities dealers who have executed a distribution agreement with the
Distributor. Under the 12b-1 Plans, each class of shares of the Fund pays the
Distributor the following annual fees:
Class A Class B Class C Class M Class Q
------- ------- ------- ------- -------
MagnaCap Fund 0.30% 1.00% 1.00% 0.75% 0.25%
LargeCap Leaders Fund 0.25% 1.00% 1.00% 0.75% N/A
LargeCap Growth Fund 0.35% 1.00% 1.00% N/A 0.25%
MidCap Value Fund 0.25% 1.00% 1.00% 0.75% N/A
MidCap Growth 0.35% 1.00% 1.00% N/A 0.25%
SmallCap Growth Fund 0.35% 1.00% 1.00% N/A 0.25%
Bank and Thrift Fund 0.25% 1.00% N/A N/A N/A
Worldwide Growth Fund 0.35% 1.00% 1.00% N/A 0.25%
International Core
Growth Fund 0.35% 1.00% 1.00% N/A 0.25%
International SmallCap
Growth Fund 0.35% 1.00% 1.00% N/A 0.25%
Emerging Countries Fund 0.35% 1.00% 1.00% N/A 0.25%
Asia-Pacific Equity Fund 0.25% 1.00% N/A 0.75% N/A
Government Securities
Income Fund 0.25% 1.00% 1.00% 0.75% N/A
Strategic Income Fund 0.35% 0.75% 0.75% N/A 0.25%
High Yield Fund 0.25% 1.00% 1.00% 0.75% 0.25%
High Yield Fund II 0.35% 1.00% 1.00% N/A 0.25%
Balanced Fund 0.35% 1.00% 1.00% N/A 0.25%
Convertible Fund 0.35% 1.00% 1.00% N/A 0.25%
Money Market Fund 0.25% 1.00% 1.00% N/A N/A
For the six months ended December 31, 1999 the Funds paid the following
distribution fees by class to the Distributor.
Class A Class B Class C Class M Class Q
------- ------- ------- ------- -------
MagnaCap $526,227 $ 423,690 $ 10,155 $58,266 $ 742
LargeCap Leaders 10,865 89,741 507 20,416 N/A
LargeCap Growth 75,070 421,411 151,981 N/A 3
MidCap Value 17,712 93,172 416 30,653 N/A
MidCap Growth 96,191 216,713 600,354 N/A 133
SmallCap Growth 141,743 212,722 619,308 N/A (24)
Bank and Thrift 414,173 1,043,267 N/A N/A N/A
Worldwide Growth 116,624 172,183 494,529 N/A --
International Core Growth 17,981 52,368 55,056 N/A 3
International SmallCap
Growth 91,640 159,411 130,851 N/A 226
Emerging Countries 68,577 99,499 91,835 N/A (19)
Asia-Pacific Equity 17,877 50,877 N/A 20,914 N/A
Government Securities
Income 25,943 45,891 2,393 2,747 N/A
Strategic Income 3,715 13,775 15,266 N/A --
High Yield 153,559 950,162 13,406 82,635 --
High Yield II 16,957 153,374 69,494 N/A --
Balanced 12,182 28,148 76,418 N/A --
Convertible 85,149 295,845 396,029 N/A 4
Money Market 2,929 18,590 3,657 N/A N/A
For the six months ended December 31, 1999, the Distributor has retained
$482,270 as sales charges from the proceeds of Class A Shares sold, $3,725,448
from the proceeds of Class B Shares redeemed, $62,804 from the proceeds of Class
C Shares redeemed, and $6,441 from the proceeds of Class M Shares sold.
88
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
NOTE 7 -- SHAREHOLDER SERVICING FEES
Each of the Funds has entered into a Service Agreement with PGI whereby PGI will
act as Shareholder Service Agent for each Fund. The agreement provides that PGI
will be compensated for incoming and outgoing shareholder telephone calls and
letters, and all reasonable out-of-pocket expenses incurred in connection with
the performance of such services. Fees accrued during the six months ended
December 31, 1999 are shown in the accompanying Statements of Operations.
At December 31, 1999, the Funds owed the following service fees:
MagnaCap $34,719
LargeCap Leaders 4,047
LargeCap Growth --
MidCap Value 967
MidCap Growth 4,671
SmallCap Growth 5,263
Bank and Thrift 31,123
Worldwide Growth 7,710
International Core Growth 1,155
International SmallCap Growth 4
Emerging Countries 4,298
Asia-Pacific Equity 1,985
Government Securities Income 3,344
Strategic Income --
High Yield 1,890
High Yield II 479
Balanced 650
Convertible 3,245
Money Market Fund 6,855
NOTE 8 -- EXPENSE WAIVERS
For the following Funds, the Investment Manager has voluntarily agreed to limit
expenses, excluding interest, taxes, brokerage and extraordinary expenses to the
levels listed below:
Class A Class B Class C Class M
------- ------- ------- -------
LargeCap Leaders 1.75% 2.50% 2.50% 2.25%
LargeCap Growth 1.60% 2.25% 2.25% --
MidCap Value 1.75% 2.50% 2.50% 2.25%
MidCap Growth 1.60% 2.25% 2.25% --
SmallCap Growth 1.95% 2.60% 2.60% --
Worldwide Growth 1.85% 2.50% 2.50% --
International Core Growth 1.95% 2.60% 2.60% --
International SmallCap Growth 1.95% 2.60% 2.60% --
Emerging Countries 2.25% 2.90% 2.90% --
Asia-Pacific Equity 2.00% 2.75% -- 2.50%
Government Securities Income (1) (1) (1) (1)
Strategic Income 0.95% 1.35% 1.35% --
High Yield 1.00% 1.75% 1.75% 1.50%
High Yield II 1.10% 1.75% 1.75% --
Balanced 1.60% 2.25% 2.25% --
Convertible 1.60% 2.25% 2.25% --
Money Market 1.50% 2.25% 2.25% --
- ----------
(1) The Investment Manager has agreed to reimburse the Government Securities
Income Fund for all gross operating expenses and costs of the Fund,
excluding any interest, taxes, brokerage commissions, amortization of
organizational expenses, extraordinary expenses, and certain distribution
fees which exceed 1.50% of the Fund's daily average net assets on the first
$40 million of net assets and 1.00% of average daily net assets in excess
of $40 million for any one fiscal year. The expense limitations cannot be
changed without shareholder approval.
Amounts receivable from the Investment Advisor at December 31, 1999 for expense
waivers are included in Receivables due from affiliate in the accompanying
Statements of Assets and Liabilities.
NOTE 9 -- CREDIT FACILITY
The Funds have a $75 million credit facility available to fund temporary or
emergency borrowings which expires on May 1, 2000. Each Fund pays its pro rata
share of an annual commitment fee plus interest on its specific borrowings. As
of December 31, 1999 there was no balance outstanding under the credit facility.
89
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
NOTE 10 -- CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
<TABLE>
<CAPTION>
Class A Shares Class B Shares
------------------------------- ------------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
MagnaCap Fund
(Number of Shares)
Shares sold 4,004,488 13,502,711 749,792 2,873,334
Shares issued as
reinvestments of dividends 2,042,316 1,828,625 670,171 516,048
Shares redeemed (5,736,908) (14,934,578) (1,236,263) (1,307,942)
------------ ------------- ------------ ------------
Net increase in shares
outstanding 309,896 396,758 183,700 2,081,440
============ ============= ============ ============
MagnaCap Fund ($)
Shares sold $ 67,621,459 $ 222,180,950 $ 12,460,401 $ 46,072,779
Shares issued as
reinvestments of dividends 33,393,993 28,388,968 10,716,033 7,888,183
Shares redeemed (96,657,386) (246,413,983) (20,236,125) (20,667,305)
------------ ------------- ------------ ------------
Net increase in shares
outstanding $ 4,358,065 $ 4,155,935 $ 2,940,310 $ 33,293,657
============ ============= ============ ============
Class C Shares Class M Shares
------------------------------- -------------------------------
Six Months June 1, 1999 Six Months Year
Ended to Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
MagnaCap Fund
(Number of Shares)
Shares sold 121,516 34,608 44,689 210,689
Shares issued as
reinvestments of dividends 13,431 -- 94,820 95,725
Shares redeemed (818) -- (130,729) (238,673)
----------- -------- ----------- -----------
Net increase in shares
outstanding 134,128 34,608 8,780 67,741
=========== ======== =========== ===========
MagnaCap Fund ($)
Shares sold $ 2,032,925 $588,611 $ 745,838 $ 3,356,295
Shares issued as
reinvestments of dividends 214,754 -- 1,532,001 1,471,188
Shares redeemed (13,529) -- (2,169,430) (3,784,141)
----------- -------- ----------- -----------
Net increase in shares
outstanding $ 2,234,150 $588,611 $ 108,409 $ 1,043,342
=========== ======== =========== ===========
</TABLE>
Class Q Shares
--------------
Nov. 22, 1999
to
Dec. 31, 1999
--------------
MagnaCap Fund
(Number of Shares)
Shares sold 615,006
Shares issued as reinvestments of dividends --
Shares redeemed --
-----------
Net increase in shares outstanding 615,006
===========
MagnaCap Fund ($)
Shares sold $10,000,000
Shares issued as reinvestment of dividends --
Shares redeemed --
-----------
Net increase in shares outstanding $10,000,000
===========
<TABLE>
<CAPTION>
Class A Shares Class B Shares
----------------------------- -----------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
LargeCap Leaders Fund
(Number of Shares)
Shares sold 81,977 251,465 289,561 735,637
Shares issued as reinvestment
of dividends 58,405 9,173 160,941 24,514
Shares redeemed (64,483) (287,552) (326,077) (408,748)
----------- ----------- ----------- ------------
Net increase (decrease) in
shares outstanding 75,899 (26,914) 124,426 351,403
=========== =========== =========== ============
LargeCap Leaders Fund ($)
Shares sold $ 1,382,264 $ 3,946,541 $ 4,676,408 $ 11,541,367
Shares issued as reinvestment
of dividends 929,808 146,637 2,481,716 384,368
Shares redeemed (1,086,859) (4,313,891) (5,333,845) (6,043,904)
----------- ----------- ----------- ------------
Net increase (decrease) in
shares outstanding $ 1,225,213 $ (220,713) $ 1,824,279 $ 5,881,831
=========== =========== =========== ============
Class C Shares Class M Shares
----------------------------- -----------------------------
Six Months June 17, 1999 Six Months Year
Ended to Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- -------------
LargeCap Leaders Fund
(Number of Shares)
Shares sold 24,933 2 24,847 32,969
Shares issued as reinvestment
of dividends 667 -- 38,028 7,380
Shares redeemed (2,725) -- (46,603) (89,184)
----------- ----------- ----------- -----------
Net increase (decrease) in
shares outstanding 22,875 2 16,272 (48,835)
=========== =========== =========== ===========
LargeCap Leaders Fund ($)
Shares sold $ 384,070 $ 30 $ 404,245 $ 521,236
Shares issued as reinvestment
of dividends 10,290 -- 593,236 116,160
Shares redeemed (44,339) -- (773,792) (1,317,582)
----------- ----------- ----------- -----------
Net increase (decrease) in
shares outstanding $ 350,021 $ 30 $ 223,689 $ (680,186)
=========== =========== =========== ===========
</TABLE>
90
<PAGE>
- -------
Pilgrim
Funds
- ------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
-----------------------------------------------------------
Six Months 3 Months Year July 21,
Ended Ended Ended 1997 to
Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
LargeCap Growth Fund
(Number of Shares)
Shares sold 2,369,986 601,704 387,443 314,594
Shares issued as reinvestments
of dividends 21,727 -- 9,412 65
Shares redeemed (533,525) (28,795) (199,495) (13,075)
------------ ------------ ----------- -----------
Net increase in shares
outstanding 1,858,188 572,909 197,360 301,584
============ ============ =========== ===========
LargeCap Growth Fund ($)
Shares sold $ 73,653,042 $ 16,107,475 $ 7,119,334 $ 4,334,894
Shares issued as reinvestments
of dividends 707,412 -- 159,721 871
Shares redeemed (17,544,147) (769,089) (3,328,040) (177,917)
------------ ------------ ----------- -----------
Net increase in shares
outstanding $ 56,816,307 $ 15,338,386 $ 3,951,015 $ 4,157,848
============ ============ =========== ===========
Class B Shares
------------------------------------------------------------
Six Months 3 Months Year July 21,
Ended Ended Ended 1997 to
Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998
------------- ------------ ------------ -----------
LargeCap Growth Fund
(Number of Shares)
Shares sold 4,132,387 1,006,149 722,166 239,436
Shares issued as reinvestments
of dividends 38,999 -- 4,145 224
Shares redeemed (282,818) (63,827) (129,658) (35,907)
------------- ------------ ------------ -----------
Net increase in shares
outstanding 3,888,568 942,322 596,653 203,753
============= ============ ============ ===========
LargeCap Growth Fund ($)
Shares sold $ 126,339,458 $ 27,013,724 $ 13,914,112 $ 3,275,198
Shares issued as reinvestments
of dividends 1,276,981 -- 70,921 3,000
Shares redeemed (8,834,942) (1,716,619) (2,523,553) (493,670)
------------- ------------ ------------ -----------
Net increase in shares
outstanding $ 118,781,497 $ 25,297,105 $ 11,461,480 $ 2,784,528
============= ============ ============ ===========
Class C Shares
-------------------------------------------------------------
Six Months 3 Months Year July 21,
Ended Ended Ended 1997 to
Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998
------------- ------------ ------------ -----------
LargeCap Growth Fund
(Number of Shares)
Shares sold 1,592,198 322,341 293,854 65,178
Shares issued as reinvestments
of dividends 13,490 -- 1,216 55
Shares redeemed (68,817) (10,496) (35,900) (3,829)
------------ ----------- ----------- ---------
Net increase in shares
outstanding 1,536,871 311,845 259,170 61,404
============ =========== =========== =========
LargeCap Growth Fund ($)
Shares sold $ 49,343,883 $ 8,625,780 $ 5,792,910 $ 890,031
Shares issued as reinvestments
of dividends 443,448 -- 20,875 742
Shares redeemed (2,133,106) (279,527) (642,955) (53,621)
------------ ----------- ----------- ---------
Net increase in shares
outstanding $ 47,654,225 $ 8,346,253 $ 5,170,830 $ 837,152
============ =========== =========== =========
Class Q Shares
------------------------------------------------------------
Six Months 3 Months Year Year
Ended Ended Ended Ended
Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998
------------- ------------ ------------ -----------
LargeCap Growth Fund
(Number of Shares)
Shares sold 221,752 27,961 176,779 51,175
Shares issued as reinvestments
of dividends 2,730 -- 1,139 11
Shares redeemed (11,546) (9,901) (34,429) (181)
------------- ------------ ------------ -----------
Net increase in shares
outstanding 212,936 18,060 143,489 51,005
============= ============ ============ ===========
LargeCap Growth Fund ($)
Shares sold $ 6,851,183 $ 753,086 $ 3,396,063 $ 714,785
Shares issued as reinvestments
of dividends 93,151 -- 19,518 153
Shares redeemed (365,419) (263,465) (600,590) (2,705)
------------- ------------ ------------ -----------
Net increase in shares
outstanding $ 6,578,915 $ 489,621 $ 2,814,991 $ 712,233
============= ============ ============ ===========
Class A Shares Class B Shares
------------------------------- -----------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
--------------- --------------- -------------- --------------
MidCap Value Fund
(Number of Shares)
Shares sold 43,276 289,831 109,243 418,549
Shares issued as reinvestment
of dividends 5,045 97,756 10,125 163,266
Shares redeemed (428,890) (834,562) (637,196) (992,708)
------------- ------------ ------------ ------------
Net increase (decrease) in
shares outstanding (380,569) (446,975) (517,828) (410,893)
============= ============ ============ ============
MidCap Value Fund ($)
Shares sold $ 589,575 $ 4,389,745 $ 1,457,832 $ 6,191,601
Shares issued as reinvestment
of dividends 69,464 1,381,287 135,063 2,251,448
Shares redeemed (5,769,059) (12,572,823) (8,270,645) (14,198,024)
------------- ------------ ------------ ------------
Net increase (decrease) in
shares outstanding $ (5,110,020) $ (6,801,791) $ (6,677,750) $ (5,754,975)
============= ============ ============ ============
Class C Shares Class M Shares
------------------------------- -------------------------------
Six Months June 2, 1999 Six Months Year
Ended to Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- -------------
MidCap Value Fund
(Number of Shares)
Shares sold 10,792 3,437 51,147 162,221
Shares issued as reinvestment
of dividends 50 -- 3,293 60,558
Shares redeemed (605) (336) (256,102) (336,945)
------------- ------------ ------------ -----------
Net increase (decrease) in
shares outstanding 10,238 3,101 (201,761) (114,166)
============= ============ ============ ===========
MidCap Value Fund ($)
Shares sold $ 142,663 $ 51,058 $ 694,315 $ 2,398,495
Shares issued as reinvestment
of dividends 669 -- 44,230 838,728
Shares redeemed (7,839) (5,064) (3,429,254) (4,910,700)
------------- ------------ ------------ -----------
Net increase (decrease) in
shares outstanding $ 135,493 $ 45,994 $ (2,690,709) $(1,673,477)
============= ============ ============ ===========
</TABLE>
91
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
-------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ------------------------------
1999 1999 1999 1998
------------ ----------- ------------- -------------
<S> <C> <C> <C> <C>
MidCap Growth Fund
(Number of Shares)
Shares sold 1,887,459 170,704 5,215,189 12,405,504
Shares issued as reinvestments
of dividends 974,325 -- 130,197 1,012,862
Shares redeemed (1,685,482) (440,581) (6,820,248) (13,082,835)
------------ ----------- ------------- -------------
Net increase (decrease) in
shares outstanding 1,176,302 (269,877) (1,474,862) 335,531
============ =========== ============= =============
MidCap Growth Fund ($)
Shares sold $ 42,479,065 $ 3,480,826 $ 93,222,436 $ 224,326,301
Shares issued as reinvestments
of dividends 19,954,182 -- 2,271,935 16,459,004
Shares redeemed (38,462,267) (9,018,100) (120,721,071) (237,096,577)
------------ ----------- ------------- -------------
Net increase (decrease) in
shares outstanding $ 23,970,980 $(5,537,274) $ (25,226,700) $ 3,688,728
============ =========== ============= =============
Class B Shares
-------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ------------------------------
1999 1999 1999 1998
------------ ----------- ------------- --------------
MidCap Growth Fund
(Number of Shares)
Shares sold 443,450 124,529 549,516 1,072,549
Shares issued as reinvestments
of dividends 643,199 -- 69,791 123,360
Shares redeemed (241,664) (113,758) (842,979) (799,428)
------------- ------------ -------------- --------------
Net increase (decrease) in
shares outstanding 844,985 10,771 (223,672) 396,481
============= ============ ============== ==============
MidCap Growth Fund ($)
Shares sold $ 11,751,162 $ 3,003,625 $ 11,154,074 $ 20,188,443
Shares issued as reinvestments
of dividends 15,501,088 -- 1,444,672 2,326,535
Shares redeemed (6,402,391) (2,758,710) (16,826,911) (15,026,369)
------------- ------------ -------------- --------------
Net increase (decrease) in
shares outstanding $ 20,849,859 $ 244,915 $ (4,228,165) $ 7,488,609
============= ============ ============== ==============
Class C Shares
------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, -----------------------------
1999 1999 1999 1998
------------ ----------- ------------- ------------
MidCap Growth Fund
(Number of Shares)
Shares sold 341,928 127,317 1,185,161 1,750,377
Shares issued as reinvestments
of dividends 2,159,366 -- 121,764 2,641,098
Shares redeemed (569,752) (465,369) (3,371,242) (4,220,870)
------------ ----------- ------------ ------------
Net increase (decrease) in
shares outstanding 1,931,542 (338,052) (2,064,317) 170,605
============ =========== ============ ============
MidCap Growth Fund ($)
Shares sold $ 7,157,589 $ 2,416,875 $ 19,063,447 $ 29,917,347
Shares issued as reinvestments
of dividends 40,876,806 -- 1,981,095 39,590,055
Shares redeemed (11,726,905) (8,876,675) (52,212,207) (72,773,773)
------------ ----------- ------------ ------------
Net increase (decrease) in
shares outstanding $ 36,307,490 $(6,459,800) $(31,167,665) $ (3,266,371)
============ =========== ============ ============
Class Q Shares
-----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ---------------------------
1999 1999 1999 1998
------------ ----------- ------------ -----------
MidCap Growth Fund
(Number of Shares)
Shares sold 82,240 201,861 194,537 170,070
Shares issued as reinvestments
of dividends 102,573 -- 37,715 55,785
Shares redeemed (481,792) (52,773) (185,074) (430,179)
------------ ----------- ----------- -----------
Net increase (decrease) in
shares outstanding (296,979) 149,088 47,178 (204,324)
============ =========== =========== ===========
MidCap Growth Fund ($)
Shares sold $ 2,358,880 $ 5,261,515 $ 4,134,744 $ 3,584,125
Shares issued as reinvestments
of dividends 2,657,667 -- 828,224 1,134,102
Shares redeemed (13,089,123) (1,337,840) (3,718,156) (8,868,353)
------------ ----------- ----------- -----------
Net increase (decrease) in
shares outstanding $ (8,072,576) $ 3,923,675 $ 1,244,812 $(4,150,126)
============ =========== =========== ===========
</TABLE>
92
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
----------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, --------------------------------
1999 1999 1999 1998
------------ ------------ ------------- ---------------
<S> <C> <C> <C> <C>
SmallCap Growth Fund
(Number of Shares)
Shares sold 3,283,325 384,655 44,256,415 104,820,578
Shares issued as reinvestments
of dividends 3,070,496 -- 919,060 830,976
Shares redeemed (3,271,622) (652,027) (49,753,506) (103,463,758)
------------ ------------ ------------- ---------------
Net increase (decrease) in
shares outstanding 3,082,199 (267,372) (4,578,031) 2,187,796
============ ============ ============= ===============
SmallCap Growth Fund ($)
Shares sold $ 58,892,478 $ 6,777,887 $ 815,912,790 $ 1,931,764,538
Shares issued as reinvestments
of dividends 44,737,125 -- 14,800,215 15,132,144
Shares redeemed (59,471,338) (11,423,224) (917,280,292) (1,921,657,761)
------------ ------------ ------------- ---------------
Net increase (decrease) in
shares outstanding $ 44,158,265 $ (4,645,337) $ (86,567,287) $ 25,238,921
============ ============ ============= ===============
Class B Shares
-----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ----------------------------
1999 1999 1999 1998
------------ ----------- ------------ ------------
SmallCap Growth Fund
(Number of Shares)
Shares sold 330,273 62,154 1,030,266 1,553,380
Shares issued as reinvestments
of dividends 1,282,942 -- 121,247 --
Shares redeemed (182,179) (144,208) (1,464,484) (909,702)
------------ ----------- ------------ ------------
Net increase (decrease) in
shares outstanding 1,431,036 (82,054) (312,971) 643,678
============ =========== ============ ============
SmallCap Growth Fund ($)
Shares sold $ 7,356,085 $ 1,379,964 $ 19,580,720 $ 30,441,105
Shares issued as reinvestments
of dividends 23,529,153 -- 2,371,732 --
Shares redeemed (4,064,699) (3,209,533) (28,084,966) (17,600,099)
------------ ----------- ------------ ------------
Net increase (decrease) in
shares outstanding $ 26,820,539 $ 1,829,569 $ (6,132,514) $ 12,841,006
============ =========== ============ ============
Class C Shares
-------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, -----------------------------
1999 1999 1999 1998
------------ ------------ ------------ -------------
SmallCap Growth Fund
(Number of Shares)
Shares sold 399,462 82,725 1,806,596 4,136,702
Shares issued as reinvestments
of dividends 4,523,695 -- 926,112 1,443,201
Shares redeemed (672,828) (680,850) (6,061,729) (5,945,903)
------------ ------------ ------------ -------------
Net increase (decrease) in
shares outstanding 4,250,329 (598,125) (3,329,021) (366,000)
============ ============ ============ =============
SmallCap Growth Fund ($)
Shares sold $ 7,049,327 $ 1,433,335 $ 29,105,010 $ 72,644,552
Shares issued as reinvestments
of dividends 64,869,794 -- 14,800,873 24,837,499
Shares redeemed (12,089,939) (11,755,815) (93,185,013) (104,107,897)
------------ ------------ ------------ -------------
Net increase (decrease) in
shares outstanding $ 59,829,182 $(10,322,480) $(49,279,130) $ (6,625,846)
============ ============ ============ =============
Class Q Shares
----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ----------------------------
1999 1999 1999 1998
----------- ----------- ------------ ------------
SmallCap Growth Fund
(Number of Shares)
Shares sold 200,977 421,173 793,286 1,102,868
Shares issued as reinvestments
of dividends 226,472 -- 18,226 997
Shares redeemed (380,535) (392,013) (970,001) (531,507)
----------- ----------- ------------ ------------
Net increase (decrease) in
shares outstanding 46,914 29,160 (158,489) 572,358
=========== =========== ============ ============
SmallCap Growth Fund ($)
Shares sold $ 4,795,679 $ 8,340,785 $ 12,725,287 $ 20,108,210
Shares issued as reinvestments
of dividends 3,668,843 -- 292,442 17,715
Shares redeemed (7,214,976) (7,387,773) (15,962,787) (9,776,365)
----------- ----------- ------------ ------------
Net increase (decrease) in
shares outstanding 1,249,546 $ 953,012 $ (2,945,058) $ 10,349,560
=========== =========== ============ ============
</TABLE>
93
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
--------------------------------------------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Dec. 31, June 30, June 30, December 31,
1999 1999 1998 1997
------------ ------------- ------------- ------------
<S> <C> <C> <C> <C>
Bank and Thrift Fund
(Number of Shares)
Shares sold 887,271 6,842,658 6,598,183 1,562,472
Shares issued as
reinvestment of
dividends 1,461,900 387,793 -- 705,087
Shares redeemed (3,973,297) (10,663,118) (1,439,132) (1,608,708)
------------ ------------- ------------- ------------
Net increase (decrease) in
shares outstanding (1,624,126) (3,432,667) 5,159,051 658,851
============ ============= ============= ============
Bank and Thrift Fund ($)
Shares sold $ 17,155,924 $ 167,184,964 $ 179,351,328 $ 40,159,509
Shares issued as
reinvestment of
dividends 28,609,385 9,012,306 -- 17,958,557
Shares redeemed (83,452,527) (257,239,846) (38,524,439) (41,390,698)
------------ ------------- ------------- ------------
Net increase (decrease) in
shares outstanding $(37,687,218) $ (81,042,576) $ 140,826,889 $ 16,727,368
============ ============= ============= ============
Class B Shares
---------------------------------------------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Dec. 31, June 30, June 30, December 31,
1999 1999 1998 1997
------------ ------------- ------------- ------------
Bank and Thrift Fund
(Number of Shares)
Shares sold 747,302 5,775,191 10,545,101 2,911,186
Shares issued as
reinvestment of
dividends 1,522,115 277,033 -- 111,936
Shares redeemed (4,459,450) (5,028,917) (370,014) (66,661)
------------ ------------- ------------- ------------
Net increase (decrease) in
shares outstanding (2,190,033) 1,023,307 10,175,087 2,956,461
============ ============= ============= ============
Bank and Thrift Fund ($)
Shares sold $ 15,190,631 $ 139,440,683 $ 286,284,458 $ 74,850,403
Shares issued as
reinvestment of
dividends 29,787,803 6,421,621 -- 2,849,887
Shares redeemed (91,794,814) (117,566,243) (9,978,392) (1,756,579)
------------ ------------- ------------- ------------
Net increase (decrease) in
shares outstanding $(46,816,380) $ 28,296,061 $ 276,306,066 $ 75,943,711
============ ============= ============= ============
Class A Shares
--------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ------------------------------
1999 1999 1999 1998
------------ ------------ ------------- -------------
Worldwide Growth Fund
(Number of Shares)
Shares sold 3,657,074 1,172,285 5,575,910 5,937,921
Shares issued as reinvestments
of dividends 422,447 86 96,384 213,726
Shares redeemed (2,054,550) (660,100) (5,374,372) (5,575,601)
------------ ------------ ------------- -------------
Net increase in shares
outstanding 2,024,971 512,271 297,922 576,046
============ ============ ============= =============
Worldwide Growth Fund ($)
Shares sold $ 93,237,876 $ 26,425,907 $ 110,310,826 $ 108,061,899
Shares issued as reinvestments
of dividends 10,797,796 -- 1,739,418 3,565,008
Shares redeemed (53,006,466) 14,957,153 (107,031,318) (102,391,906)
------------ ------------ ------------- -------------
Net increase in shares
outstanding $ 51,029,206 $ 11,468,754 $ 5,018,926 $ 9,235,001
============ ============ ============= =============
Class B Shares
---------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, --------------------------
1999 1999 1999 1998
------------ ----------- ------------ -----------
Worldwide Growth Fund
(Number of Shares)
Shares sold 1,216,539 353,077 544,757 292,727
Shares issued as reinvestments
of dividends 192,101 -- 39,170 25,906
Shares redeemed (108,220) (70,889) (319,228) (187,737)
------------ ----------- ------------ -----------
Net increase in shares
outstanding 1,300,420 282,188 264,699 130,896
============ =========== ============ ===========
Worldwide Growth Fund ($)
Shares sold $ 35,073,982 $ 9,019,106 $ 11,616,885 $ 5,360,286
Shares issued as reinvestments
of dividends 5,534,647 -- 799,305 449,135
Shares redeemed (3,077,123) (1,811,055) (6,778,733) (3,334,259)
------------ ----------- ------------ -----------
Net increase in shares
outstanding $ 37,531,506 $ 7,208,051 $ 5,637,457 $ 2,475,162
============ =========== ============ ===========
Class C Shares
-----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ----------------------------
1999 1999 1999 1998
------------ ----------- ------------ ------------
Worldwide Growth Fund
(Number of Shares)
Shares sold 1,160,423 316,937 1,258,419 435,836
Shares issued as reinvestments
of dividends 554,746 -- 117,737 663,935
Shares redeemed (284,129) (195,915) (1,224,596) (833,591)
------------ ----------- ------------ ------------
Net increase in shares
outstanding 1,431,040 121,022 151,560 266,180
============ =========== ============ ============
Worldwide Growth Fund ($)
Shares sold $ 30,065,213 $ 7,199,228 $ 23,846,842 $ 7,995,043
Shares issued as reinvestments
of dividends 14,207,038 -- 2,145,255 10,934,587
Shares redeemed (7,213,580) (4,443,951) (22,854,997) (15,192,388)
------------ ----------- ------------ ------------
Net increase (decrease) in
shares outstanding $ 37,058,671 $ 2,755,277 $ 3,137,100 $ 3,737,242
============ =========== ============ ============
Class Q Shares
----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ---------------------------
1999 1999 1999 1998
------------ ------------ ----------- -----------
Worldwide Growth Fund
(Number of Shares)
Shares sold 736,604 430,631 350,299 88,591
Shares issued as reinvestments
of dividends 85,463 -- 4,352 1,377
Shares redeemed (183,493) (180,058) (89,828) (99,927)
------------ ------------ ----------- -----------
Net increase in shares
outstanding 638,574 250,573 264,823 (9,959)
============ ============ =========== ===========
Worldwide Growth Fund ($)
Shares sold $ 21,757,251 $ 11,187,418 $ 7,773,616 $ 1,508,613
Shares issued as reinvestments
of dividends 2,513,469 -- 89,521 23,268
Shares redeemed (5,729,815) (4,610,453) (1,884,358) (1,693,395)
------------ ------------ ----------- -----------
Net increase (decrease) in
shares outstanding $ 18,540,905 $ 6,576,965 $ 5,978,779 $ (161,514)
============ ============ =========== ===========
</TABLE>
94
<PAGE>
- ----------
Pilgrim
Funds
- ----------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ----------------------------
1999 1999 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
International Core Growth
Fund (Number of Shares)
Shares sold 1,695,962 1,699,541 4,111,884 2,435,374
Shares issued as reinvestments
of dividends 33,298 -- 5,819 3,344
Shares redeemed (1,673,778) (2,264,636) (3,641,067) (1,694,382)
------------ ------------ ------------ ------------
Net increase in shares
outstanding 55,482 (565,095) 476,636 744,336
============ ============ ============ ============
International Core
Growth Fund ($)
Shares sold $ 36,226,021 $ 30,866,314 $ 72,899,494 $ 38,637,232
Shares issued as reinvestments
of dividends 740,211 -- 109,877 47,981
Shares redeemed (36,257,042) (41,080,307) (65,603,216) (27,349,807)
------------ ------------ ------------ ------------
Net increase (decrease) in
shares outstanding $ 709,190 $(10,213,993) $ 7,406,155 $ 11,335,406
============ ============ ============ ============
Class B Shares
---------------------------------------------------------
Six Months 3 Months Year
Ended Ended Ended
March 31,
Dec. 31, June 30, ---------------------------
1999 1999 1999 1998
------------- ----------- ------------- ----------
International Core Growth
Fund (Number of Shares)
Shares sold 118,265 47,812 317,938 500,774
Shares issued as reinvestments
of dividends 30,807 -- 2,484 2,781
Shares redeemed (71,488) (33,706) (168,120) (39,156)
------------- ----------- ------------- ----------
Net increase in shares
outstanding 77,584 14,106 152,302 464,399
============= =========== ============= ==========
International Core
Growth Fund ($)
Shares sold $ 2,644,212 $ 888,899 $ 5,553,372 $7,549,895
Shares issued as reinvestments
of dividends 689,466 -- 47,437 40,158
Shares redeemed (1,549,039) (610,199) (2,893,130) (593,538)
------------- ----------- ------------- ----------
Net increase (decrease) in
shares outstanding $ 1,784,639 $ 278,700 $ 2,707,679 $6,996,515
============= =========== ============= ==========
Class C Shares
---------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, --------------------------
1999 1999 1999 1998
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
International Core Growth
Fund (Number of Shares)
Shares sold 415,920 113,784 455,651 224,635
Shares issued as reinvestments
of dividends 33,214 -- 1,471 --
Shares redeemed (307,419) (69,740) (82,349) (23,087)
----------- ----------- ----------- -----------
Net increase (decrease) in
shares outstanding 141,715 44,044 374,773 201,548
=========== =========== =========== ===========
International Core
Growth Fund ($)
Shares sold $ 8,623,252 $ 2,117,597 $ 7,964,267 $ 3,488,506
Shares issued as reinvestments
of dividends 745,649 -- 28,148 --
Shares redeemed (6,338,601) (1,298,517) (1,412,367) (347,719)
----------- ----------- ----------- -----------
Net increase (decrease) in
shares outstanding $ 3,030,300 $ 819,080 $ 6,580,048 $ 3,140,787
=========== =========== =========== ===========
Class Q Shares
--------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, --------------------------
1999 1999 1999 1998
----------- ----------- ------------ -----------
International Core Growth
Fund (Number of Shares)
Shares sold 94,817 93,649 581,442 115,512
Shares issued as reinvestments
of dividends 24,738 -- 1,463 --
Shares redeemed (38,194) (228,977) (67,954) (16,966)
----------- ----------- ------------ -----------
Net increase (decrease) in
shares outstanding 81,361 (135,328) 514,951 98,546
=========== =========== ============ ===========
International Core
Growth Fund ($)
Shares sold $ 2,125,200 $ 1,771,267 $ 10,297,873 $ 1,808,824
Shares issued as reinvestments
of dividends 572,187 -- 31,169 --
Shares redeemed (832,607) (4,253,651) (1,185,061) (265,176)
----------- ----------- ------------ -----------
Net increase (decrease) in
shares outstanding $ 1,864,780 $(2,482,384) $ 9,143,981 $ 1,543,648
=========== =========== ============ ===========
</TABLE>
95
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
----------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended
Dec. 31, June 30, ------------------------------
1999 1999 1999 1998
------------- ------------ ------------- -------------
<S> <C> <C> <C> <C>
International SmallCap
Growth Fund
(Number of Shares)
Shares sold 3,952,355 1,367,921 4,953,991 6,608,889
Shares issued as reinvestments
of dividends 168,258 -- 41,096 24,582
Shares redeemed (2,098,673) (997,179) (4,370,199) (6,427,019)
------------- ------------ ------------- -------------
Net increase in shares
outstanding 2,021,940 370,742 624,888 206,452
============= ============ ============= =============
International SmallCap
Growth Fund ($)
Shares sold $ 123,410,410 $ 30,182,958 $ 101,529,799 $ 109,494,069
Shares issued as reinvestments
of dividends 5,490,397 -- 811,876 383,230
Shares redeemed (66,515,786) (22,024,759) (90,418,518) (107,699,737)
------------- ------------ ------------- -------------
Net increase in shares
outstanding $ 62,385,021 $ 8,158,199 $ 11,923,157 $ 2,177,562
============= ============ ============= =============
Class B Shares
---------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ---------------------------
1999 1999 1999 1998
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
International SmallCap
Growth Fund
(Number of Shares)
Shares sold 1,070,463 98,528 574,326 463,887
Shares issued as reinvestments
of dividends 85,395 -- 21,611 31,709
Shares redeemed (111,068) (55,682) (472,298) (218,409)
------------ ----------- ------------ -----------
Net increase in shares
outstanding 1,044,790 42,846 123,639 277,187
============ =========== ============ ===========
International SmallCap
Growth Fund ($)
Shares sold $ 33,779,956 $ 2,333,350 $ 12,177,504 $ 8,303,957
Shares issued as reinvestments
of dividends 2,953,814 -- 452,596 517,182
Shares redeemed (3,843,006) (1,302,925) (9,959,007) (3,838,911)
------------ ----------- ------------ -----------
Net increase in shares
outstanding $ 32,890,764 $ 1,030,425 $ 2,671,093 $ 4,982,228
============ =========== ============ ===========
Class C Shares
----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ---------------------------
1999 1999 1999 1998
------------ ----------- ------------ -----------
International SmallCap
Growth Fund
(Number of Shares)
Shares sold 1,307,255 146,271 660,257 440,799
Shares issued as reinvestments
of dividends 80,887 -- 13,435 23,528
Shares redeemed (331,751) (34,123) (464,252) (273,436)
------------ ----------- ------------ -----------
Net increase in shares
outstanding 1,056,391 112,148 209,440 190,891
============ =========== ============ ===========
International SmallCap
Growth Fund ($)
Shares sold $ 40,224,511 $ 3,168,229 $ 12,933,840 $ 7,326,296
Shares issued as reinvestments
of dividends 2,568,959 -- 258,146 352,544
Shares redeemed (9,871,492) (740,072) (9,055,952) (4,516,362)
------------ ----------- ------------ -----------
Net increase in shares
outstanding $ 32,921,978 $ 2,428,157 $ 4,136,034 $ 3,162,478
============ =========== ============ ===========
Class Q Shares
-----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ---------------------------
1999 1999 1999 1998
------------ ------------ ------------ -----------
International SmallCap
Growth Fund
(Number of Shares)
Shares sold 2,512,797 529,877 1,567,046 458,377
Shares issued as reinvestments
of dividends 138,871 -- 12,918 --
Shares redeemed (1,148,209) (269,090) (563,058) (2,123)
------------ ------------ ------------ -----------
Net increase in shares
outstanding 1,503,459 260,787 1,016,906 456,254
============ ============ ============ ===========
International SmallCap
Growth Fund ($)
Shares sold $ 83,803,193 $ 12,505,725 $ 32,536,160 $ 8,543,873
Shares issued as reinvestments
of dividends 4,781,333 -- 249,737 --
Shares redeemed (37,730,596) (6,328,290) (11,408,948) (34,256)
------------ ------------ ------------ -----------
Net increase in shares
outstanding $ 50,853,930 $ 6,177,435 $ 21,376,949 $ 8,509,617
============ ============ ============ ===========
</TABLE>
96
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ---------------------------
1999 1999 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Emerging Countries Fund
(Number of Shares)
Shares sold 2,062,668 1,064,600 3,262,352 3,249,713
Shares issued as reinvestments
of dividends -- -- 17,479 149,478
Shares redeemed (2,146,513) (1,382,928) (3,852,081) (1,564,308)
------------ ------------ ------------ ------------
Net increase (decrease) in
shares outstanding (83,845) (318,328) (572,250) 1,834,883
============ ============ ============ ============
Emerging Countries Fund ($)
Shares sold $ 35,334,599 $ 16,015,629 $ 45,426,994 $ 56,508,617
Shares issued as reinvestments
of dividends -- -- 277,913 2,308,126
Shares redeemed (36,947,329) (20,693,691) (51,942,286) (27,275,872)
------------ ------------ ------------ ------------
Net increase (decrease) in
shares outstanding $ (1,612,730) $ (4,678,062) $ (6,237,379) $ 31,540,871
============ ============ ============ ============
Class B Shares
----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ----------------------------
1999 1999 1999 1998
----------- ----------- ------------ ------------
Emerging Countries Fund
(Number of Shares)
Shares sold 115,013 82,535 382,174 1,214,038
Shares issued as reinvestments
of dividends -- -- 7,286 101,517
Shares redeemed (182,064) (168,473) (951,609) (535,990)
----------- ----------- ------------ ------------
Net increase (decrease) in
shares outstanding (67,051) (85,938) (562,149) 779,565
=========== =========== ============ ============
Emerging Countries Fund ($)
Shares sold $ 2,020,992 $ 1,322,669 $ 5,698,657 $ 22,259,145
Shares issued as reinvestments
of dividends -- -- 118,138 1,591,405
Shares redeemed (3,190,169) (2,572,889) (12,756,398) (9,195,436)
----------- ----------- ------------ ------------
Net increase (decrease) in
shares outstanding $(1,169,177) $(1,250,220) $ (6,939,603) $ 14,655,114
=========== =========== ============ ============
Class C Shares
----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ----------------------------
1999 1999 1999 1998
----------- ----------- ------------ ------------
Emerging Countries Fund
(Number of Shares)
Shares sold 141,268 116,572 521,678 1,150,487
Shares issued as reinvestments
of dividends -- -- 5,264 139,493
Shares redeemed (202,063) (99,525) (1,239,995) (859,084)
----------- ----------- ------------ ------------
Net increase (decrease) in
shares outstanding (60,795) 17,047 (713,053) 430,896
=========== =========== ============ ============
Emerging Countries Fund ($)
Shares sold $ 2,391,811 $ 1,744,612 $ 7,326,720 $ 20,756,465
Shares issued as reinvestments
of dividends -- -- 82,205 2,109,145
Shares redeeme (3,341,049) (1,481,896) (16,381,157) (13,967,608)
----------- ----------- ------------ ------------
Net increase (decrease) in
shares outstanding $ (949,238) $ 262,716 $ (8,972,232) $ 8,898,002
=========== =========== ============ ============
Class Q Shares
------------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ----------------------------
1999 1999 1999 1998
------------ ------------ ------------ ------------
Emerging Countries Fund
(Number of Shares)
Shares sold 1,001,807 1,208,239 4,616,946 2,910,075
Shares issued as reinvestments
of dividends -- -- 36,438 9,663
Shares redeemed (1,066,379) (459,541) (3,431,547) (814,722)
------------ ------------ ------------ ------------
Net increase (decrease) in
shares outstanding (64,572) 748,698 1,221,837 2,105,016
============ ============ ============ ============
Emerging Countries Fund ($)
Shares sold $ 17,783,972 $ 19,053,123 $ 65,385,070 $ 51,065,387
Shares issued as reinvestments
of dividends -- -- 593,577 151,971
Shares redeeme (18,904,072) (7,234,180) (45,346,860) (13,654,662)
------------ ------------ ------------ ------------
Net increase (decrease) in
shares outstanding $ (1,120,100) $(11,818,943) $ 20,631,787 $ 37,562,696
============ ============ ============ ============
</TABLE>
97
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Class A Shares
-----------------------------
Six Months Year
Ended Ended
Dec. 31, 1999 June 30, 1999
------------ -------------
Asia-Pacific Equity Fund
(Number of Shares)
Shares sold 4,394,879 25,333,718
Shares issued as reinvestment of
dividends -- --
Shares redeemed (4,453,176) (25,985,521)
------------ -------------
Net decrease in shares outstanding (58,297) (651,803)
============ =============
Asia-Pacific Equity Fund ($)
Shares sold $ 32,024,595 $ 120,602,739
Shares issued as reinvestment of
dividends -- --
Shares redeemed (32,836,579) (124,586,962)
------------ -------------
Net increase (decrease) in shares
outstanding $ (811,984) $ (3,984,223)
============ =============
<TABLE>
<CAPTION>
Class B Shares Class M Shares
----------------------------- ------------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Asia-Pacific Equity Fund
(Number of Shares)
Shares sold 1,396,704 2,652,841 1,360,783 692,204
Shares issued as reinvestment of
dividends -- -- -- --
Shares redeemed (1,346,722) (2,886,015) (1,182,162) (927,629)
----------- ------------ ------------ -----------
Net decrease in shares outstanding 49,982 (233,174) 178,621 (235,425)
=========== ============ ============ ===========
Asia-Pacific Equity Fund ($)
Shares sold $ 9,749,898 $ 13,490,585 $ 10,139,668 $ 3,734,225
Shares issued as reinvestment of
dividends -- -- -- --
Shares redeemed (9,444,930) (14,427,377) (8,911,560) (4,867,780)
----------- ------------ ------------ -----------
Net increase (decrease) in shares
outstanding $ 304,968 $ (936,792) $ 1,228,108 $(1,133,555)
=========== ============ ============ ===========
Class A Shares Class B Shares
----------------------------- ------------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- -------------
Government Securities
Income Fund
(Number of Shares)
Shares sold 612,203 1,780,718 391,804 2,303,127
Shares issued as reinvestment
of dividends 25,528 63,214 11,934 26,259
Shares redeemed (727,973) (1,977,689) (378,091) (1,570,331)
----------- ------------ ----------- ------------
Net increase (decrease) in
shares outstanding (90,242) (133,757) 25,647 759,055
=========== ============ =========== ============
Government Securities
Income Fund ($)
Shares sold $ 7,399,563 $ 22,807,064 $ 4,720,454 $ 29,433,691
Shares issued as reinvestment
of dividends 308,787 802,923 143,885 332,080
Shares redeemed (8,800,432) (25,148,449) (4,561,438) (19,941,959)
----------- ------------ ----------- ------------
Net increase (decrease) in
shares outstanding $(1,092,082) $ (1,538,462) $ 302,901 $ 9,823,812
=========== ============ =========== ============
Class C Shares Class M Shares
----------------------------- -----------------------------
Six Months June 1, 1999 Six Months Year
Ended to Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- -------------
Government Securities
Income Fund
(Number of Shares)
Shares sold 424,999 34,375 21,678 136,108
Shares issued as reinvestment
of dividends 559 -- 1,233 2,551
Shares redeemed (404,297) (33,817) (28,288) (95,188)
----------- --------- --------- -----------
Net increase (decrease) in
shares outstanding 21,261 558 (5,378) 43,471
=========== ========= ========= ===========
Government Securities
Income Fund ($)
Shares sold $ 5,197,149 $ 421,428 $ 262,342 $ 1,751,439
Shares issued as reinvestment
of dividends 6,791 -- 14,920 32,362
Shares redeemed (4,931,244) (414,258) (341,045) (1,210,771)
----------- --------- --------- -----------
Net increase (decrease) in
shares outstanding $ 272,696 $ 7,170 $ (63,783) $ 573,030
=========== ========= ========= ===========
Class A Shares Class B Shares
------------------------------------------ -----------------------------------------
Six Months 3 Months Year Six Months 3 Months Year
Ended Ended Ended Ended Ended Ended
Dec. 31, June 30, March 31, Dec. 31, June 30, March 31,
1999 1999 1999(1) 1999 1999 1999(1)
----------- ------------ ----------- ----------- ----------- -----------
Strategic Income Fund
(Number of Shares)
Shares sold 214,882 1,744,498 646,153 144,894 65,960 595,169
Shares issued in merger -- 175,454 -- 259,694
Shares issued as reinvestment of dividends 5,430 1,712 5,664 9,330 3,737 12,860
Shares redeemed (235,892) (1,797,320) (381,014) (158,956) (137,015) (341,358)
----------- ------------ ----------- ----------- ----------- -----------
Net increase (decrease) in shares
outstanding (15,580) (51,110) 446,257 (4,732) (67,318) 526,365
=========== ============ =========== =========== =========== ===========
Strategic Income Fund ($)
Shares sold $ 2,650,559 $ 22,358,564 $ 8,383,952 $ 1,741,069 $ 827,887 $ 7,617,290
Shares issued in merger -- 2,260,055 -- 3,265,737
Shares issued as reinvestment of dividends 66,608 21,991 73,691 112,013 47,004 163,532
Shares redeemed (2,892,336) (23,052,137) (4,961,848) (1,912,030) (1,710,716) (4,353,363)
----------- ------------ ----------- ----------- ----------- -----------
Net increase (decrease) in shares
outstanding $ (175,169) $ (671,582) $ 5,755,850 $ (58,948) $ (835,825) $ 6,693,196
=========== ============ =========== =========== =========== ===========
</TABLE>
98
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class C Shares Class Q Shares
----------------------------------------- ----------------------------------
Six Months 3 Months Year Six Months 3 Months Year
Ended Ended Ended Ended Ended Ended
Dec. 31, June 30, March 31, Dec. 31, June 30, March 31,
1999 1999 1999(1) 1999 1999 1999(1)
----------- ----------- ----------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Strategic Income Fund
(Number of Shares)
Shares sold 95,231 72,888 533,457 1,458 816 1,004
Shares issued in merger -- 342,089 -- 23,390
Shares issued as reinvestment of dividends 6,201 2,829 7,510 564 168 1,220
Shares redeemed (369,672) (77,064) (262,520) (1,293) (12,262) (36)
----------- ----------- ----------- -------- --------- ---------
Net increase in shares outstanding (268,240) (1,347) 620,536 729 (11,278) 25,578
=========== =========== =========== ======== ========= =========
Strategic Income Fund ($)
Shares sold $ 1,190,118 $ 952,054 $ 7,079,809 $ 17,000 $ 10,030 $ 12,500
Shares issued in merger -- 4,459,907 -- 286,028
Shares issued as reinvestment of dividends 77,414 37,021 99,886 6,586 2,037 15,045
Shares redeemed (4,613,634) (1,006,028) (3,482,921) (14,990) (151,748) (399)
----------- ----------- ----------- -------- --------- ---------
Net increase (decrease) in shares
outstanding $(3,346,102) $ (16,953) $ 8,156,681 $ 8,596 $(139,681) $ 313,174
=========== =========== =========== ======== ========= =========
- ----------
(1) Classes commenced operations on 7/27/98.
Class A Shares Class B Shares
----------------------------- ------------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- -------------
High Yield Fund
(Number of Shares)
Shares sold 5,447,267 23,077,399 6,958,178 28,533,861
Shares issued as reinvestment
of dividends 536,725 1,012,788 746,401 1,285,173
Shares redeemed (8,535,774) (16,689,544) (7,649,011) (7,951,333)
------------ ------------- ------------ -------------
Net increase (decrease) in
shares outstanding (2,551,782) 7,400,643 55,568 21,867.701
============ ============= ============ =============
High Yield Fund ($)
Shares sold $ 30,963,451 $ 146,786,361 $ 39,234,960 $ 177,876,596
Shares issued as reinvestment
of dividends 3,062,240 6,265,752 4,242,645 7,911,056
Shares redeemed (48,378,370) (106,793,532) (43,202,515) (48,182,705)
------------ ------------- ------------ -------------
Net increase (decrease) in
shares outstanding $(14,352,679) $ 46,258,581 $ 275,090 $ 137,604,947
============ ============= ============ =============
Class C Shares Class M Shares Class Q Shares
----------------------------- ----------------------------- -------------------------------
Six Months June 1, 1999 Six Months Year Six Months June 17, 1999
Ended to Ended Ended Ended to
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- ------------- ------------- -------------
High Yield Fund
(Number of Shares)
Shares sold 1,062,843 93,124 68,340 2,189,902 -- 30
Shares issued as reinvestment
of dividends 10,887 -- 103,914 196,691 -- --
Shares redeemed (144,492) -- (831,634) (1,173,862) -- --
----------- -------- ----------- ------------ ----- -------
Net increase (decrease) in
shares outstanding 929,238 93,124 (659,380) 1,212,731 -- 30
=========== ======== =========== ============ ===== =======
High Yield Fund ($)
Shares sold $ 5,993,560 $549,513 $ 392,180 $ 13,575,288 -- $ 5
Shares issued as reinvestment
of dividends 61,344 58 592,258 1,217,509 -- --
Shares redeemed (810,025) -- (4,700,976) (7,119,713) -- --
----------- -------- ----------- ------------ ----- -------
Net increase (decrease) in
shares outstanding $ 5,244,879 $549,571 $(3,716,538) $ 7,673,084 -- $ 5
=========== ======== =========== ============ ===== =======
</TABLE>
99
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
------------------------------------------------------
Six Months 3 Months Year March 27,
Ended Ended Ended 1998 to
Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998
----------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
High Yield Fund II
(Number of Shares)
Shares sold 266,067 126,155 2,218,475 173,791
Shares issued in merger -- -- 326,993
Shares issued as reinvestments
of dividends 30,261 13,470 68,528 --
Shares redeemed (814,728) (175,029) (1,169,064) (132,119)
----------- ----------- ------------ -----------
Net increase (decrease) in
shares outstanding (518,400) (35,404) 1,117,939 368,665
=========== =========== ============ ===========
High Yield Fund II ($)
Shares sold $ 3,021,843 $ 1,487,541 $ 27,084,111 $ 2,188,791
Shares issued in merger -- -- 4,153,263
Shares issued as reinvestments
of dividends 342,143 158,555 807,769 --
Shares redeemed (9,163,260) (2,045,836) (14,038,415) (1,658,997)
----------- ----------- ------------ -----------
Net increase (decrease) in
shares outstanding $(5,799,274) $ (399,740) $ 13,853,465 $ 4,683,057
=========== =========== ============ ===========
Class B Shares
------------------------------------------------------
Six Months 3 Months Year March 27,
Ended Ended Ended 1998 to
Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998
----------- ----------- ------------ -----------
High Yield Fund II
(Number of Shares)
Shares sold 418,199 191,304 3,516,788 89,467
Shares issued in merger -- -- 612,536
Shares issued as reinvestments
of dividends 57,958 20,903 90,997 --
Shares redeemed (461,934) (279,006) (622,273) (2,379)
----------- ----------- ------------ -----------
Net increase (decrease) in
shares outstanding 14,223 (66,799) 2,985,512 699,624
=========== =========== ============ ===========
High Yield Fund II ($)
Shares sold $ 4,671,832 $ 2,244,780 $ 42,704,286 $ 1,136,299
Shares issued in merger -- -- 7,772,553
Shares issued as reinvestments
of dividends 651,192 246,357 1,044,170 --
Shares redeemed (5,181,742) (3,269,300) (7,281,798) (30,039)
----------- ----------- ------------ -----------
Net increase (decrease) in
shares outstanding $ 141,282 $ (778,163) $ 36,466,658 $ 8,878,813
=========== =========== ============ ===========
Class C Shares
-------------------------------------------------------
Six Months 3 Months Year March 27,
Ended Ended Ended 1998 to
Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998
----------- ----------- ------------ -----------
High Yield Fund II
(Number of Shares)
Shares sold 521,949 91,597 1,848,332 71,467
Shares issued in merger -- -- 307,307
Shares issued as reinvestments
of dividends 29,683 11,731 67,635 --
Shares redeemed (650,159) (310,405) (468,704) (7)
----------- ----------- ------------ -----------
Net increase (decrease) in
shares outstanding $ (98,527) (207,077) 1,447,263 378,767
=========== =========== ============ ===========
High Yield Fund II ($)
Shares sold $ 5,840,174 $ 1,078,810 $ 22,778,726 $ 907,549
Shares issued in merger -- -- 3,900,531
Shares issued as reinvestments
of dividends 333,684 138,399 775,897 --
Shares redeemed (7,264,459) (3,633,914) (5,466,380) (91)
----------- ----------- ------------ -----------
Net increase (decrease) in
shares outstanding $(1,090,601) $(2,416,705) $ 18,088,243 $ 4,807,989
=========== =========== ============ ===========
Class Q Shares
-------------------------------------------------------
Six Months 3 Months Year March 27,
Ended Ended Ended 1998 to
Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998
----------- ----------- ----------- -------
High Yield Fund II
(Number of Shares)
Shares sold 704,740 21,272 668,988 2,205
Shares issued in merger -- -- --
Shares issued as reinvestments
of dividends 15,520 7,915 23,106 42,382
Shares redeemed (176,910) (307,466) (179,780) --
----------- ----------- ----------- -------
Net increase (decrease) in
shares outstanding 543,350 (278,279) 512,314 44,587
=========== =========== =========== =======
High Yield Fund II ($)
Shares sold $ 7,821,437 $ 249,643 $ 7,770,126 $28,000
Shares issued in merger -- -- --
Shares issued as reinvestments
of dividends 174,385 93,356 271,659 --
Shares redeemed (2,109,095) (3,614,065) (2,101,039) --
----------- ----------- ----------- -------
Net increase (decrease) in
shares outstanding $ 5,976,727 $(3,271,066) $ 5,940,746 $28,000
=========== =========== =========== =======
</TABLE>
100
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares Class B Shares Class C Shares
-------------- -------------- --------------
Period Ended Period Ended Period Ended
December December December
31, 1999(1) 31, 1999(2) 31, 1999(2)
------------ ------------ -----------
<S> <C> <C> <C>
Money Market Fund
(Number of Shares)
Shares sold 15,193,712 26,877,937 9,726,379
Shares issued as reinvestment of dividends 383 35,906 5,996
Shares redeemed (9,461,717) (15,499,789) (7,062,464)
------------ ------------ -----------
Net increase (decrease) in shares outstanding 5,732,378 11,414,054 2,669,911
============ ============ ===========
Money Market Fund ($)
Shares sold $ 15,193,712 $ 26,877,937 $ 9,726,379
Shares issued as reinvestment of dividends 383 35,906 5,996
Shares redeemed (9,461,717) (15,499,789) (7,062,464)
------------ ------------ -----------
Net increase (decrease) in shares outstanding $ 5,732,378 $ 11,414,054 $ 2,669,911
============ ============ ===========
- ----------
(1) Commenced operations on November 24, 1999.
(2) Commenced operations on July 12, 1999.
Class A Shares
--------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, --------------------------
1999 1999 1999 1998
----------- ----------- ----------- -----------
Balanced Fund
(Number of Shares)
Shares sold 100,867 69,501 371,709 305,352
Shares issued as reinvestments of
dividends 120,349 1,015 68,457 29,098
Shares redeemed (71,488) (70,425) (281,697) (307,910)
----------- ----------- ----------- -----------
Net increase in shares outstanding 149,729 91 158,469 26,540
=========== =========== =========== ===========
Balanced Fund ($)
Shares sold $ 1,806,927 $ 1,354,890 $ 7,068,981 $ 5,582,957
Shares issued as reinvestments of
dividends 1,895,475 19,370 1,216,578 526,715
Shares redeemed (1,299,179) (1,361,704) (5,289,069) (5,615,525)
----------- ----------- ----------- -----------
Net increase in shares outstanding $ 2,403,223 $ 12,556 $ 2,996,490 $ 494,147
=========== =========== =========== ===========
Class B Shares
--------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, --------------------------
1999 1999 1999 1998
----------- ----------- ----------- -----------
Balanced Fund
(Number of Shares)
Shares sold 98,832 62,785 128,292 101,305
Shares issued as reinvestments of
dividends 87,940 554 29,941 4,600
Shares redeemed (73,340) (12,468) (73,515) (37,270)
----------- ----------- ----------- -----------
Net increase in shares outstanding 113,433 50,871 84,718 68,635
=========== =========== =========== ===========
Balanced Fund ($)
Shares sold $ 1,912,311 $ 1,288,434 $ 2,447,844 $ 1,865,891
Shares issued as reinvestments of
dividends 1,482,773 11,321 566,865 85,892
Shares redeemed (1,381,961) (256,849) (1,364,447) (681,006)
----------- ----------- ----------- -----------
Net increase in shares outstanding $ 2,013,123 $ 1,042,906 $ 1,650,262 $ 1,270,777
=========== =========== =========== ===========
Class C Shares
------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, --------------------------
1999 1999 1999 1998
----------- --------- ----------- -----------
Balanced Fund
(Number of Shares)
Shares sold 67,688 17,557 184,748 145,671
Shares issued as reinvestments of
dividends 234,571 519 210,474 76,757
Shares redeemed (155,721) (47,391) (259,419) (267,567)
----------- --------- ----------- -----------
Net increase (decrease) in shares
outstanding 146,538 (29,315) 135,803 (45,139)
=========== ========= =========== ===========
Balanced Fund ($)
Shares sold $ 1,100,780 $ 324,318 $ 3,201,753 $ 2,671,793
Shares issued as reinvestments of
dividends 3,549,698 9,545 3,603,550 1,410,891
Shares redeemed (2,637,068) (878,533) (4,681,019) (4,877,213)
----------- --------- ----------- -----------
Net increase (decrease) in shares
outstanding $ 2,013,410 $(544,670) $ 2,124,284 $ (794,529)
=========== ========= =========== ===========
Class Q Shares
---------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, --------------------
1999 1999 1999 1998
-------- -------- -------- --------
Balanced Fund
(Number of Shares)
Shares sold 589 1,351 1,105 3,525
Shares issued as reinvestments of
dividends 2,693 42 1,173 128
Shares redeemed (548) (781) (1,882) (106)
-------- -------- -------- --------
Net increase (decrease) in shares
outstanding 2,734 612 396 3,547
======== ======== ======== ========
Balanced Fund ($)
Shares sold $ 10,255 $ 25,940 $ 19,907 $ 67,581
Shares issued as reinvestments of
dividends 42,059 798 20,611 3,310
Shares redeemed (9,247) (14,926) (34,726) (9,440)
-------- -------- -------- --------
Net increase (decrease) in shares
outstanding $ 43,067 $ 11,812 $ 5,792 $ 61,451
======== ======== ======== ========
</TABLE>
101
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ---------------------------
1999 1999 1999 1998
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
Convertible Fund
(Number of Shares)
Shares sold 803,383 240,854 1,235,038 709,278
Shares issued as reinvestments
of dividends 419,390 8,766 84,764 154,229
Shares redeemed (980,890) (106,071) (795,095) (323,387)
------------ ----------- ------------ ------------
Net increase in shares outstanding 241,882 143,549 524,707 540,120
============ =========== ============ ============
Convertible Fund ($)
Shares sold $ 18,903,406 $ 5,446,752 $ 22,826,352 $ 12,820,279
Shares issued as reinvestments
of dividends 9,675,286 201,806 1,677,136 2,762,320
Shares redeemed (23,219,011) (2,398,688) (14,627,285) (5,890,494)
------------ ----------- ------------ ------------
Net increase in shares outstanding $ 5,359,681 $ 3,249,870 $ 9,876,203 $ 9,692,105
============ =========== ============ ============
Class B Shares
-----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ----------------------------
1999 1999 1999 1998
------------ ----------- ------------ ------------
Convertible Fund
(Number of Shares)
Shares sold 963,696 377,405 1,107,458 1,126,063
Shares issued as reinvestments
of dividends 441,007 4,334 36,617 50,922
Shares redeemed (301,168) (155,682) (468,699) (158,706)
------------ ----------- ------------ ------------
Net increase in shares outstanding 1,103,535 226,057 675,376 1,018,279
============ =========== ============ ============
Convertible Fund ($)
Shares sold $ 24,703,537 $ 9,316,686 $ 22,988,795 $ 21,634,970
Shares issued as reinvestments
of dividends 11,067,194 108,485 774,835 972,857
Shares redeemed (7,597,394) (3,833,777) (9,912,927) (3,026,200)
------------ ----------- ------------ ------------
Net increase in shares outstanding $ 28,173,337 $ 5,591,394 $ 13,850,703 $ 19,581,627
============ =========== ============ ============
Class C Shares
-----------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, ----------------------------
1999 1999 1999 1998
------------ ----------- ------------ ------------
Convertible Fund
(Number of Shares)
Shares sold 457,148 204,264 84,820 791,856
Shares issued as reinvestments
of dividends 589,483 3,236 110,911 407,608
Shares redeemed (325,484) (276,138) (881,082) (672,422)
------------ ----------- ------------ ------------
Net increase (decrease) in shares
outstanding 721,147 (68,638) 114,649 527,042
============ =========== ============ ============
Convertible Fund ($)
Shares sold $ 11,106,850 $ 4,732,365 $ 17,299,957 $ 14,822,064
Shares issued as reinvestments
of dividends 13,877,975 75,700 2,256,244 7,387,102
Shares redeemed (7,529,103) (6,363,756) (17,113,435) (12,484,704)
------------ ----------- ------------ ------------
Net increase (decrease) in shares
outstanding $ 17,455,722 $(1,555,691) $ 2,442,766 $ 9,724,462
============ =========== ============ ============
Class Q Shares
---------------------------------------------------------
Six Months 3 Months Year Ended
Ended Ended March 31,
Dec. 31, June 30, --------------------------
1999 1999 1999 1998
------------ ----------- ------------ -----------
Convertible Fund
(Number of Shares)
Shares sold 451,591 393,267 423,276 111,297
Shares issued as reinvestments
of dividends 136,398 3,568 16,065 28,400
Shares redeemed (86,875) (29,839) (410,737) (59,172)
------------ ----------- ----------- -----------
Net increase (decrease) in shares
outstanding 501,114 366,996 28,604 80,525
============ =========== =========== ===========
Convertible Fund ($)
Shares sold $ 10,644,252 $ 8,618,236 $ 8,043,910 $ 1,905,912
Shares issued as reinvestments
of dividends 3,045,349 79,431 304,178 490,423
Shares redeemed (1,962,312) (655,742) (7,680,884) (1,019,145)
------------ ----------- ----------- -----------
Net increase (decrease) in shares
outstanding $ 11,727,289 $ 8,041,925 $ 667,204 $ 1,377,190
============ =========== =========== ===========
</TABLE>
102
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
NOTE 11 -- CUSTODIAL AGREEMENT
Investors Fiduciary Trust Company ("IFTC") serves as the Funds' custodian and
recordkeeper. Custody fees paid to IFTC are reduced by an earnings credit based
on the cash balances held by IFTC for each of the Funds. For the six months
ended December 31, 1999 the Funds received the following earnings credits:
MagnaCap Fund $ 865
LargeCap Leaders Fund 210
LargeCap Growth Fund 6,054
MidCap Value Fund 1,023
MidCap Growth Fund 1,615
SmallCap Growth Fund --
Bank and Thrift Fund --
Worldwide Growth Fund --
International Core Growth Fund --
International SmallCap Growth Fund --
Emerging Countries Fund --
Asia-Pacific Equity Fund --
Government Securites Income Fund 1,003
Strategic Income Fund 208
High Yield Fund 3,580
High Yield Fund II 2,492
Balanced Fund 383
Convertible 16,119
Money Market Fund 225
NOTE 12 -- SUBSEQUENT EVENTS
On January 28, 2000 Pilgrim Investments, Inc. notified Nicholas-Applegate
Capital Management ("NACM") of its intention to terminate NACM as sub-advisor
to the Pilgrim MidCap Growth Fund and Pilgrim SmallCap Growth Fund, effective
March 31, 2000. Beginning April 1, 2000, Pilgrim Investments, Inc. will advise
the Funds directly.
On November 16, 1999 the Board of Trustees approved the following
reorganizations:
* Pilgrim High Yield III Fund merging into Pilgrim High Yield II Fund
* Pilgrim Government Securities Fund merging into Pilgrim Government
Securities Income fund
* Pilgrim Income & Growth Fund and Pilgrim Balance Sheet Opportunities Fund
merging into Pilgrim Balanced Fund.
Proxy statements dated February 8, 2000 for these reorganizations have been
mailed to the shareholders. Special Meetings of shareholders are to be held on
March 24, 2000 to approve such reorganizations. Upon approval, the
reorganizations will occur after the close of business on March 31, 2000.
Subsequent to December 31, 1999, the following funds declared dividends from net
investment income of:
Per Share
Amount Payable Date Record Date
---------- ------------------ -------------------
High Yield Fund
Class A $0.0500 January 5, 2000 December 31, 1999
Class B $0.0460 January 5, 2000 December 31, 1999
Class C $0.0470 January 5, 2000 December 31, 1999
Class M $0.0470 January 5, 2000 December 31, 1999
Class Q $0.0500 January 5, 2000 December 31, 1999
Class A $0.0500 February 3, 2000 January 31, 2000
Class B $0.0460 February 3, 2000 January 31, 2000
Class C $0.0460 February 3, 2000 January 31, 2000
Class M $0.0470 February 3, 2000 January 31, 2000
Class Q $0.0500 February 3, 2000 January 31, 2000
Government Securities Income Fund
Class A $0.0615 January 5, 2000 December 31, 1999
Class B $0.0540 January 5, 2000 December 31, 1999
Class C $0.0540 January 5, 2000 December 31, 1999
Class M $0.0560 January 5, 2000 December 31, 1999
Class A $0.0615 February 3, 2000 January 31, 2000
Class B $0.0540 February 3, 2000 January 31, 2000
Class C $0.0520 February 3, 2000 January 31, 2000
Class M $0.0570 February 3, 2000 January 31, 2000
Strategic Income Fund
Class A $0.0800 January 5, 2000 December 31, 1999
Class B $0.0760 January 5, 2000 December 31, 1999
Class C $0.0750 January 5, 2000 December 31, 1999
Class Q $0.0810 January 5, 2000 December 31, 1999
Class A $0.0760 February 3, 2000 January 31, 2000
Class B $0.0720 February 3, 2000 January 31, 2000
Class C $0.0720 February 3, 2000 January 31, 2000
Class Q $0.0770 February 3, 2000 January 31, 2000
High Yield Fund II (*)
Class A $0.0870 January 5, 2000 Daily
Class B $0.0810 January 5, 2000 Daily
Class C $0.0810 January 5, 2000 Daily
Class Q $0.0880 January 5, 2000 Daily
Class A $0.0940 February 1, 2000 Daily
Class B $0.0880 February 1, 2000 Daily
Class C $0.0880 February 1, 2000 Daily
Class Q $0.0950 February 1, 2000 Daily
Money Market (*)
Class A $0.0029 January 3, 2000 Daily
Class B $0.0029 January 3, 2000 Daily
Class C $0.0029 January 3, 2000 Daily
Class A $0.0032 February 1, 2000 Daily
Class B $0.0031 February 1, 2000 Daily
Class C $0.0031 February 1, 2000 Daily
- ----------
(*) Per Share Amount Indicates Monthly Cumulative Income.
103
<PAGE>
Pilgrim
MagnaCap
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
COMMON STOCKS: 96.51%
Aerospace/Defense: 1.85%
153,750 Honeywell
International, Inc. $ 8,869,453
-----------
Banks: 4.42%
50,000 Bank of America Corp. 2,509,375
65,000 Chase Manhattan Corp. 5,049,688
99,200 Comerica, Inc. 4,631,400
90,000 Fleet Boston Financial
Corp. 3,133,125
150,000 UnionBanCal Corp. 5,915,625
-----------
21,239,213
-----------
Beverages: 2.57%
75,000 Anheuser-Busch
Companies, Inc. 5,315,625
200,000 Pepsico, Inc. 7,050,000
-----------
12,365,625
-----------
Chemicals: 2.69%
70,030 Du Pont (E.I.) de
Nemours 4,613,226
165,100 Praxair, Inc. 8,306,594
-----------
12,919,820
-----------
Commercial Services: 1.00%
205,000 Equifax, Inc. 4,830,313
-----------
Computers: 7.57%
50,000 @ Cisco Systems, Inc. 5,356,250
180,000 Compaq Computer
Corp. 4,871,250
80,000 @ Computer Sciences
Corp. 7,570,000
85,000 Hewlett-Packard Co. 9,684,688
115,000 @ Sun Microsystems, Inc. 8,905,312
-----------
36,387,500
-----------
Distribution/Wholesale: 1.50%
79,000 @ Costco Wholesale
Corp. 7,208,750
-----------
Diversified Financial Services: 4.02%
230,000 Alliance Capital
Management
Holdings 6,885,625
97,500 Citigroup, Inc. 5,417,344
60,000 Fannie Mae 3,746,250
70,000 Freddie Mac 3,294,375
-----------
19,343,594
-----------
Electric: 1.98%
120,000 Duke Energy Corp. 6,015,000
150,000 Southern Co. 3,525,000
-----------
9,540,000
-----------
Electrical Components &
Equipment: 0.66%
55,000 Emerson Electric Co. $ 3,155,625
-----------
Food: 2.22%
130,000 Heinz (H.J.) Co. 5,175,625
250,000 Sara Lee Corp. 5,515,625
-----------
10,691,250
-----------
Health Care: 3.86%
137,000 Baxter International, Inc. 8,605,313
107,000 Johnson & Johnson 9,964,375
-----------
18,569,688
-----------
Household Products/Wares: 2.22%
146,500 Avery Dennison Corp. 10,676,188
-----------
Insurance: 6.30%
270,000 Aflac, Inc. 12,740,621
65,000 American General Corp. 4,931,875
64,687 American International
Group 6,994,282
58,800 Marsh & McLennan
Cos. 5,626,425
-----------
30,293,203
-----------
Leisure Time: 2.31%
125,000 Carnival Corp. 5,976,563
80,000 Harley-Davidson, Inc. 5,125,000
-----------
11,101,563
-----------
Machinery-Diversified: 2.09%
120,000 Dover Corp. 5,445,000
90,000 Parker Hannifin Corp. 4,618,125
-----------
10,063,125
-----------
Leisure Time: 2.31%
155,000 New York Times Co. 7,614,375
290,000 Walt Disney (Hldgs) Co. 8,482,500
-----------
16,096,875
-----------
Metals-Diversified: 0.43%
25,000 Alcoa, Inc. 2,075,000
-----------
Manufacturing: 3.45%
65,000 General Electric Co. 10,058,750
167,500 Tyco International Ltd. 6,511,563
-----------
16,570,313
-----------
Oil & Gas Producers: 5.90%
98,000 Atlantic Richfield Co. $ 8,477,000
82,000 Chevron Corp. 7,103,250
161,413 Conoco, Inc. 4,015,148
116,933 Total Fina SA ADR 8,097,610
20,134 Transocean Sedco
Forex, Inc. 678,278
-----------
28,371,286
-----------
Oil & Gas Services: 1.80%
69,700 Halliburton Co. 2,805,425
104,000 Schlumberger Ltd. 5,850,000
-----------
8,655,425
-----------
Pharmaceuticals: 5.16%
192,000 Abbott Laboratories 6,972,000
142,000 Bristol-Myers Squibb Co. 9,114,625
61,100 Merck & Co., Inc. 4,097,519
110,000 Schering-Plough Corp. 4,640,625
-----------
24,824,769
-----------
Retail: 10.27%
20,000 Dayton-Hudson Corp. 1,468,750
175,500 Home Depot, Inc. 12,032,719
120,000 Lowe's Companies 7,170,000
290,000 McDonald's Corp. 11,690,625
165,000 @ Tricon Global
Restaurants, Inc. 6,373,125
154,000 Wal-Mart Stores, Inc. 10,645,250
-----------
49,380,469
-----------
Savings & Loans: 2.38%
242,865 Charter One Financial, Inc. 4,644,793
109,200 Golden West Financial
Corp. 3,658,200
120,000 Washington Mutual, Inc. 3,120,000
-----------
11,422,993
-----------
Semiconductors: 2.05%
30,000 @ Altera Corp. 1,486,875
102,000 Intel Corp. 8,395,875
-----------
9,882,750
-----------
Software: 3.42%
224,000 Automatic Data
Processing 12,068,000
55,000 @ BMC Software, Inc. 4,396,563
-----------
16,464,563
-----------
Telecommuncations Equipment: 3.42%
40,000 Nokia OYJ ADR 7,600,000
138,000 @ Tellabs, Inc. 8,857,875
-----------
16,457,875
-----------
See Accompanying Notes to Financial Statements
104
<PAGE>
Pilgrim
MagnaCap
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
Telephone: 6.70%
60,000 Alltel Corp. $ 4,961,250
120,000 AT&T Corp. 6,090,000
90,000 Bell Atlantic Corp. 5,540,625
30,000 GTE Corp. 2,116,875
135,000 @ MCI Worldcom, Inc. 7,163,438
130,500 SBC Communications,
Inc. 6,361,875
------------
32,234,063
------------
Tobacco: 0.92%
190,000 Philip Morris
Companies, Inc. 4,405,625
------------
Total Common Stocks
(Cost $315,814,870) 464,096,916
------------
RIGHTS: 0.00%
192,000 @ Abbott Labs Rights --
Total Long-Term
Investments
(Cost $315,814,870) 464,096,916
------------
Principal
Amount Value
- --------- -----
SHORT-TERM INVESTMENTS: 3.77%
Commercial Paper: 3.77%
$18,130,000 Union Bank of Switzerland
4.00%, due 01/03/2000 $ 18,125,971
Total Short-Term
Investments (Cost
$18,125,971) 18,125,971
------------
Total Investments
in Securities
(Cost $333,940,841)* 100.28% 482,222,887
Other Assets and
Liabilities, Net -0.28% (1,340,051)
------ ------------
Net Assets 100.00% $480,882,836
====== ============
@ -- Non-income producing security
* Cost for federal income tax purposes is the same as for financial statement
purposes. Net unrealized appreciation consists of:
Gross Unrealized
Appreciation $ 160,334,455
Gross Unrealized
Depreciation (12,052,409)
-------------
Net Unrealized Appreciation $ 148,282,046
=============
See Accompanying Notes to Financial Statements
105
<PAGE>
Pilgrim
LargeCap
Leaders
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
COMMON STOCKS: 93.93%
Auto Manufacturers: 2.88%
7,500 DaimlerChrysler AG $ 586,875
10,600 Ford Motor Co. 566,438
-----------
1,153,313
-----------
Banks: 1.42%
7,300 Chase Manhattan Corp. 567,119
-----------
Beverages: 3.95%
7,300 Anheuser-Busch
Companies, Inc. 517,388
9,100 Coca-Cola Co. 530,075
15,100 Pepsico, Inc. 532,275
-----------
1,579,738
-----------
Chemicals: 1.36%
8,294 Du Pont (E.I.) de
Nemours 546,367
-----------
Computers: 8.41%
6,350 @ Cisco Systems, Inc. 680,244
23,600 Compaq Computer
Corp. 638,675
12,900 @ Dell Computer Corp. 657,900
6,200 Hewlett-Packard Co. 706,412
8,800 @ Sun Microsystems, Inc. 681,450
-----------
3,364,681
-----------
Cosmetics/Personal Care: 4.56%
10,500 Colgate-Palmolive Co. 682,500
13,400 Gillette Co. 551,912
5,400 Procter & Gamble Co. 591,638
-----------
1,826,050
-----------
Diversified Financial Services: 6.00%
4,100 American Express Co. 681,625
11,550 Citigroup, Inc. 641,747
9,000 Fannie Mae 561,938
10,900 Freddie Mac 512,981
-----------
2,398,291
-----------
Electric: 2.54%
10,500 Duke Energy Corp. 526,313
20,900 Southern Co. 491,150
-----------
1,017,463
-----------
Food: 2.54%
14,300 @ Safeway, Inc. 508,544
23,000 Sara Lee Corp. 507,437
-----------
1,015,981
-----------
Health Care: 1.35%
5,800 Johnson & Johnson 540,125
-----------
Household Products/Wares: 1.25%
16,482 Unilever PLC ADR $ 499,611
-----------
Insurance: 2.75%
20,200 Allstate Corp. 484,800
5,525 American International
Group 597,391
-----------
1,082,191
-----------
Leisure Time: 3.06%
11,900 Carnival Corp. 568,969
2,300 Sony Corp. ADR 654,925
-----------
1,223,894
-----------
Media: 4.60%
12,100 Comcast Corp. 608,025
7,900 Gannett Co., Inc. 644,344
8,100 Time Warner, Inc. 586,744
-----------
1,839,113
-----------
Metals-Diversified: 1.70%
8,200 Alcoa, Inc. 680,600
-----------
Miscellaneous Manufacturing: 3.31%
4,100 General Electric Co. 634,475
17,700 Tyco International Ltd. 688,088
-----------
1,322,563
-----------
Oil & Gas Producers: 4.01%
5,800 Chevron Corp. 502,425
6,600 Exxon Mobil Corp. 531,713
8,500 Royal Dutch Petroleum
Co. ADR 513,719
1,646 Transocean Sedco
Forex, Inc. 55,436
-----------
1,603,293
-----------
Oil & Gas Services: 4.01%
8,500 Schlumberger Ltd. 478,125
-----------
Pharmaceuticals: 7.86%
13,400 Abbott Laboratories 486,588
8,100 Bristol-Myers Squibb
Co. 519,914
8,100 Merck & Co., Inc. 543,206
6,800 Novartis AG ADR 496,599
16,200 Pfizer, Inc. 525,487
7,000 Warner-Lambert Co. 573,562
-----------
3,145,357
-----------
Pipelines: 1.42%
12,800 Enron Corp. 568,000
-----------
Retail: 10.67%
7,100 @ Costco Wholesale
Corp. $ 647,875
14,300 Gap, Inc. 657,800
10,200 Home Depot, Inc. 699,337
12,600 McDonald's Corp. 507,938
17,100 Sears, Roebuck And Co. 520,481
19,700 Walgreen Co. 576,225
9,500 Wal-Mart Stores, Inc. 656,688
-----------
4,266,344
-----------
Semiconductors: 2.87%
7,000 Intel Corp. 576,188
5,900 Texas Instruments, Inc. 571,562
-----------
1,147,750
-----------
Software: 3.18%
8,200 @ America Online, Inc. 618,588
5,600 @ Microsoft Corp. 653,800
-----------
1,272,388
-----------
Telecommunication Equipment: 3.27%
8,100 Lucent Technologies, Inc. 605,981
3,700 Nokia OYJ ADR 703,000
-----------
1,308,981
-----------
Telephone: 5.11%
10,543 AT&T Corp. 535,057
8,220 Bell Atlantic Corp. 506,044
9,600 @ MCI Worldcom, Inc. 509,400
10,100 SBC Communications, Inc. 492,375
-----------
2,042,876
-----------
Tobacco: 1.32%
22,800 Philip Morris
Companies, Inc. 528,675
-----------
Transportation: 1.38%
13,500 @ FDX Corp. 552,656
-----------
Total Common Stocks
Cost ($30,527,487) 37,571,545
-----------
RIGHTS: 0.00%
12,900 @ Abbott Labs Rights 0
-----------
Total Long-Term
Investments
(Cost $30,527,488) 37,571,545
-----------
See Accompanying Notes to Financial Statements
106
<PAGE>
Pilgrim
LargeCap
Leaders
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal
Amount Value
- --------- -----
SHORT-TERM INVESTMENTS: 5.09%
Repurchase Agreements: 5.09%
$2,036,000 State Street Bank & Trust
Repurchase Agreement,
3.00% due 01/03/2000
(Collateralized by
$1,710,000 U.S. Treasury
Notes, 8.50%, due
02/15/20, Market Value
$2,077,650) $ 2,036,000
------------
Total Short-Term
Investments
(Cost $2,036,000) 2,036,000
------------
Total Investments
In Securities
(cost $32,563,488)* 99.02% 39,607,545
Other Assets and
Liabilities, Net 0.98% 393,560
------- ------------
Net Assets 100.00% $ 40,001,105
======= ============
- ----------
@ -- Non-income producing security
ADR -- American Depository Receipt
* Cost for federal income tax purposes is the same as for financial statement
purposes. Net unrealized appreciation consists of:
Gross Unrealized $ 9,011,756
Appreciation (1,967,699)
------------
$ 7,044,057
============
See Accompanying Notes to Financial Statements
107
<PAGE>
Pilgrim
LargeCap
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Industry/Issuer Value
- ------ --------------- -----
COMMON STOCKS: 96.06%
Biotechnology: 5.76%
202,600 @ Amgen, Inc. $ 12,168,663
102,100 @ Genentech, Inc. 13,732,450
-------------
25,901,113
-------------
Computers: 8.25%
134,400 @ Cisco Systems 14,397,600
79,100 International Business
Machines 8,542,800
182,800 @ Sun Microsystems 14,155,575
-------------
37,095,975
-------------
Diversified Financial Services: 2.97%
240,500 Citigroup, Inc. 13,362,781
-------------
Electronics: 4.56%
265,300 @ Agilent Technologies, Inc. 20,511,006
-------------
Entertainment: 3.19%
285,600 MGM Grand, Inc. 14,369,250
-------------
Home Furnishings: 3.51%
55,400 Sony Corp. ADR 5,775,150
-------------
Media: 5.18%
239,212 @ AT & T Corp. Liberty
Media 13,575,281
444,400 @ Charter Communications,
Inc. 9,721,250
-------------
23,296,531
-------------
Miscellaneous Manufacturing: 3.18%
111,100 Corning, Inc. 14,324,956
-------------
Retail: 6.52%
217,500 Home Depot, Inc. 14,912,344
208,800 Wal-Mart Stores, Inc. 14,433,300
-------------
29,345,644
-------------
Semiconductors: 6.07%
112,800 @ Applied Materials, Inc. 14,290,350
134,300 Texas Instruments, Inc. 13,010,313
-------------
27,300,663
-------------
Software: 11.83%
134,200 @ America Online, Inc. 10,123,713
50,400 @ CMGI, Inc. 13,954,500
120,900 @ Microsoft Corp. 14,115,075
134,200 @ Oracle Corp. 15,038,788
-------------
53,232,076
-------------
Telecommunication Equipment: 13.39%
187,025 Lucent Technologies $ 13,991,809
97,900 Motorola, Inc. 14,415,775
78,200 Nokia Corp. ADR 14,858,000
96,400 @ Qualcomm, Inc. 16,990,500
-------------
60,256,084
-------------
Telecommunications: 12.75%
132,000 @ General Motors Corp. 12,672,000
172,600 @ Infonet Services Corp. 4,530,750
132,300 @ Nextel
Communications, Inc. 13,643,438
340,400 @ Qwest Communications
International 14,637,200
115,800 @ Sprint Corp. 11,869,500
-------------
57,352,888
-------------
Telephone: 6.25%
98,300 Alltel 8,128,181
230,700 AT & T Corp. 11,708,028
155,700 @ MCI Worldcom, Inc. 8,261,831
-------------
28,098,040
-------------
Transportation: 2.65%
172,800 United Parcel Service, Inc. 11,923,200
-------------
Total Common Stocks
(Cost $297,304,300) 432,145,351
-------------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 5.09%
Repurchase Agreements: 5.09%
$22,913,000 State Stree Repurchase
Agreement, 3.00% due
01/03/00 (Collateralized
by $19,240,000 U.S.
Treasury Notes, 8.50%
Market Value
$23,376,600, Due
02/15/2020) $ 22,913,000
Total Short-Term
Investments (Cost
$22,913,000) 22,913,000
-------------
Total Investments
in Securities
(Cost
$320,217,300)* 101.15% 455,058,351
Cash and Other
Assets in
Excess of
Liabilities-Net -1.15% (5,158,887)
------ -------------
Total Net Assets 100.0% $ 449,899,464
====== =============
@ Non-income producing security
ADR -- American Depository Receipt
* Cost for federal income tax purposes is the same as for financial
statement purposes. Net unrealized appreciation consists of:
Gross Unrealized Appreciation $ 136,445,388
Gross Unrealized Depreciation (1,604,337)
-------------
Net Unrealized Appreciation $ 134,841,051
=============
See Accompanying Notes to Financial Statements
108
<PAGE>
- -------
Pilgrim
MidCap
Value
Fund
- -------
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
COMMON STOCKS: 98.33%
Apparel: 1.56%
35,200 @ Polo Ralph Lauren
Corp. $ 600,600
------------
Banks: 4.18%
13,650 Commerce Bancshares,
Inc. 462,394
32,000 North Fork Bancorp 560,000
14,900 UnionBanCal Corp. 587,619
------------
1,610,013
------------
Beverages: 1.63%
12,000 Adolph Coors Co. 630,000
------------
Chemicals: 3.28%
17,000 Rohm & Haas Co. 691,688
19,000 Sigma-Aldrich Corp. 571,187
------------
1,262,875
------------
Commercial Services: 6.95%
14,000 Block H & R, Inc. 612,500
29,000 @ Convergys Corp. 891,750
22,000 Equifax, Inc. 518,375
23,000 @ Robert Half
International, Inc. 656,938
------------
2,679,563
------------
Diversified Financial Services: 1.62%
17,615 Finova Group, Inc. 625,333
------------
Electric: 1.38%
22,000 Cinergy Corp. 530,750
------------
Electrical Components & Equipment: 3.69%
27,400 @ American Power
Conversion Corp. 722,675
19,000 Applied Power, Inc. 698,250
------------
1,420,925
------------
Environmental Control: 2.00%
53,700 @ Republic Services, Inc. 771,938
------------
Forest Products & Paper: 5.48%
11,000 Champion International
Corp. 681,313
18,000 Mead Corp. 781,875
14,000 Willamette Industries, Inc. 650,125
------------
2,113,313
------------
Hand/Machine Tools: 1.32%
19,200 Snap-On, Inc. 510,000
------------
Health Care: 8.88%
9,000 Bausch & Lomb, Inc. 615,938
20,000 Mallinckrodt, Inc. 636,250
69,300 Omnicare, Inc. 831,600
20,000 @ St. Jude Medical, Inc. 613,750
11,000 @ Wellpoint Health
Networks, Inc. 725,312
------------
3,422,850
------------
Home Furnishings: 1.62%
13,000 Maytag Corp. 624,000
------------
Household Products/Wares: 3.44%
26,000 Dial Corp. 632,125
21,000 Fortune Brands, Inc. 694,313
------------
1,326,438
------------
Insurance: 4.94%
27,500 Everest Reinsurance
Holdings, Inc. 613,594
13,000 Hartford Life, Inc. 572,000
10,000 Nationwide Financial
Services, Inc. 279,375
6,000 Progressive Corp.-Ohio 438,750
------------
1,903,719
------------
Lodging: 1.68%
27,600 Starwood Hotels & Resorts 648,600
------------
Media: 1.53%
12,000 New York Times Co. 589,500
------------
Manufacturing: 8.93%
20,500 Donaldson Co., Inc. 493,281
13,000 Fastenal Co. 584,188
12,000 Grainger (W.W.), Inc. 573,756
9,000 Johnson Controls, Inc. 511,875
26,000 Pall Corp. 560,625
14,000 Parker Hannifin Corp. 718,375
------------
3,442,100
------------
Oil & Gas Producers: 4.71%
10,400 Amerada Hess Corp. 590,200
23,000 Helmerich & Payne, Inc. 501,688
28,000 Santa Fe International
Corp. 724,500
------------
1,816,388
------------
Pipelines: 3.35%
11,200 Columbia Energy Group 708,400
15,000 EL Paso Energy Corp. 582,188
------------
1,290,588
------------
Retail: 8.54%
18,000 @ Abercrombie & Fitch Co. 480,375
16,000 @ BJ's Wholesale Club, Inc. 584,000
45,400 Blockbuster, Inc. 607,225
29,000 Ross Stores, Inc. 520,188
22,700 @ Shopko Stores, Inc. 522,100
15,000 @ Tricon Global
Restaurants, Inc. 579,375
------------
3,293,263
------------
Savings & Loans: 2.09%
30,000 Charter One Financial, Inc. 573,750
31,000 Sovereign Bancorp, Inc. 231,047
------------
804,797
------------
Semiconductor: 3.22%
13,300 @ Lattice Semiconductor Corp. 626,763
14,400 @ National
Semiconductor Corp. 616,500
------------
1,243,263
------------
Software: 3.43%
15,300 @ Lernout & Hauspie
Speech Products 707,625
22,700 @ Parametric Technology Corp. 614,319
------------
1,321,944
------------
Telecommunication Equipment: 5.56%
10,000 @ ADC Telecommunications, Inc. 725,625
34,000 @ Andrew Corp. 643,875
9,100 @ General Instrument Corp. 773,500
------------
2,143,000
------------
Telecommunications: 1.72%
18,000 Broadwing, Inc. 663,750
------------
Telephone: 1.60%
13,000 CenturyTel, Inc. 615,875
------------
Total Common Stocks
(Cost $36,035,654) 37,905,373
------------
109
<PAGE>
Pilgrim
MidCap
Value
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 1.41%
Repurchase Agreements: 1.41%
$545,000 State Street Bank & Trust
Repurchase Agreement,
3.00% due 01/03/2000
(Collateralized by
$460,000 U.S. Treasury
Notes, 8.50% due
02/15/20, Market Value
$558,900) $ 545,000
------------
Total Short-Term
Investments (Cost
$545,000) 545,000
------------
Total Investments
in Securities
(cost $36,580,654)* 99.74% 38,450,373
Other Assets and
Liabilities, Net 0.26% 98,735
------ ------------
Net Assets 100.00% $ 38,549,108
====== ============
@ -- Non-income producing security
* Cost for federal income tax purposes is the same as for
financial statement purposes. Net unrealized appreciation
consists of:
Gross Unrealized Appreciation $ 5,076,008
Gross Unrealized Depreciation (3,206,289)
------------
Net Unrealized Appreciation $ 1,869,719
============
See Accompanying Notes to Financial Statements
110
<PAGE>
Pilgrim
MidCap
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Industry/Issuer Value
- ------ --------------- -----
COMMON STOCKS: 98.58%
Advertising: 0.78%
33,800 Omnicom Group $ 3,380,000
-----------
Applications Software: 3.14%
42,700 @ Citrix Systems, Inc. 5,252,100
63,300 @ Peregrine Systems, Inc. 5,230,163
36,300 @ Siebel Systems, Inc. 3,049,200
-----------
13,531,463
-----------
Biotechnology: 4.94%
19,500 @ Affymetrix, Inc. 3,308,906
27,200 @ Biogen, Inc. 2,298,400
46,100 @ Genentech, Inc. 6,200,450
47,900 @ Immunex Corp. 5,245,050
28,300 @ PE Corp.-Celera
Genomics 4,216,700
-----------
21,269,506
-----------
Commercial Services: 1.21%
84,750 @ Concord EFS, Inc. 2,182,313
36,100 @ Medical Manager Corp. 3,041,425
-----------
5,223,738
-----------
Computer Software: 1.67%
38,800 @ Mercury Interactive Corp. 4,187,975
14,600 @ Va Linux, Inc. 3,016,725
-----------
7,204,700
-----------
Computers: 13.21%
83,800 @ 3-Com Corp. 3,938,600
27,200 @ Apple Computer, Inc. 2,796,500
20,800 @ Brocade Communications
System 3,681,600
9,100 @ Foundry Networks, Inc. 2,745,356
101,200 @ Network Appliance, Inc. 8,405,925
18,200 @ Redback Networks 3,230,500
75,000 @ VeriSign, Inc. 14,320,312
105,050 @ Veritas Software Corp. 15,035,281
34,800 @ Visual Networks, Inc. 2,757,900
-----------
56,911,974
-----------
Diversified Financial Services: 1.86%
41,200 Capital One Financial
Corp. 1,985,325
76,700 @ Knight/Trimark Group, Inc. 3,528,200
29,700 Lehman Brothers
Holdings, Inc. 2,515,219
-----------
8,028,744
-----------
Electric: 1.29%
46,600 @ AES Corp. $ 3,483,350
32,200 @ Calpine Corp. 2,060,800
-----------
5,544,150
-----------
Electronics: 5.66%
66,200 @ Analog Devices 6,156,600
79,400 @ Maxim Integrated Products 3,746,687
47,800 PE Corp.-PE Biosystems
Group 5,750,938
24,700 @ Sanmina Corp. 2,466,913
48,700 @ Teradyne, Inc. 3,214,200
58,300 @ Vitesse Semiconductor Corp. 3,057,106
-----------
24,392,444
-----------
Enterprise Software/Service: 2.39%
50,700 @ BMC Software, Inc. 4,052,831
36,700 @ BroadVision, Inc. 6,241,294
-----------
10,294,125
-----------
Internet Content: 8.31%
42,800 @ CMGI, Inc. 11,850,250
13,500 @ Doubleclick, Inc. 3,416,344
55,800 @ Internet Capital Group
LLC 9,486,000
50,800 @ Network Solutions, Inc. 11,052,175
-----------
35,804,769
-----------
Internet Software: 10.71%
8,250 @ Akamai Technologies, Inc. 2,702,906
26,000 @ Ariba, Inc. 4,611,752
22,900 @ Cacheflow, Inc. 2,992,744
50,800 @ Covad Communications
Group, Inc. 2,841,625
42,100 @ Espeed, Inc. 1,497,181
91,400 @ Exodus Communications, Inc. 8,117,462
23,500 @ F5 Networks, Inc. 2,679,000
30,500 @ Internap Network Services 5,276,500
54,200 @ RealNetworks, Inc. 6,520,938
63,100 @ Verio, Inc. 2,914,431
36,800 @ Vignette Corp. 5,998,400
-----------
46,152,939
-----------
Media: 4.56%
0 @ Clear Channel
Communications $ 15
30,900 @ Hispanic Broadcasting
Corp. 2,849,559
48,700 @ Spanish Broadcasting
System 1,960,175
80,600 @ TV Guide, Inc. 3,465,800
35,800 @ Univision Communications,
Inc. 3,658,313
63,300 @ USA Networks, Inc. 3,497,325
55,500 @ Westwood One, Inc. 4,218,000
-----------
19,649,187
-----------
Oil & Gas Producers: 1.71%
56,000 Apache Corp. 2,068,500
136,000 Ensco International,
Inc. 3,111,000
101,500 @ Rowan Cos., Inc. 2,201,281
-----------
7,380,781
-----------
Oil & Gas Services: 2.07%
82,400 @ BJ Services Co. 3,445,350
54,400 @ Smith International,
Inc. 2,703,000
69,100 @ Weatherford
International, Inc. 2,759,681
-----------
8,908,031
-----------
Packaging & Containers: 0.68%
119,500 @ Smurfit-Stone
Container Corp. 2,927,750
-----------
Pharmaceuticals: 3.49%
61,000 @ Forest Laboratories --
Class A 3,747,687
53,400 @ Medimmune, Inc. 8,857,725
67,900 @ Watson Pharmaceutical, Inc. 2,431,669
-----------
15,037,081
-----------
Retail: 2.90%
34,100 @ American Eagle Outfitters 1,534,500
7,100 @ Freemarkets, Inc. 2,423,319
37,500 @ Kohls Corp. 2,707,031
97,650 @ Pacific Sunwear Of
California 3,143,109
110,800 @ Starbucks Corp. 2,686,900
-----------
12,494,859
-----------
See Accompanying Notes to Financial Statements
111
<PAGE>
Pilgrim
MidCap
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Industry/Issuer Value
- ------ --------------- -----
Semiconductor: 7.79%
35,100 @ Applied Micro Circuits
Corp. $ 4,466,475
14,200 @ Broadcom Corp. 3,867,725
102,200 @ Conexant Systems, Inc. 6,783,525
32,500 @ Lam Research Corp. 3,625,781
79,800 @ LSI Logic Corp. 5,386,500
25,900 @ Qlogic Corp. 4,140,762
116,600 @ Xilinx, Inc. 5,301,656
------------
33,572,424
------------
Telecommunication Equipment: 8.68%
148,600 @ Ciena Corp. 8,544,500
25,800 @ Comverse Technology,
Inc. 3,734,550
69,000 @ JDS Uniphase Corp. 11,130,563
80,500 @ Metromedia Fiber
Network, Inc. 3,858,969
37,600 @ Next Level
Communications,
Inc. 2,815,300
68,700 @ RF Micro Devices, Inc. 4,701,656
8,500 @ Sycamore Networks,
Inc. 2,618,000
------------
37,403,538
------------
Telecommunications: 10.74%
114,200 @ Crown Castle
International Corp 3,668,675
47,800 @ Echostar Communications
Corp. 4,660,500
60,100 @ McLeodUSA, Inc. 3,538,387
71,800 @ Nextel Communications,
Inc. 7,404,375
97,200 @ Time Warner Telecom, Inc. 4,853,925
118,300 @ Voicestream Wireless
Corporation 16,835,569
70,800 @ Winstar Communications,
Inc. 5,301,150
------------
46,262,581
------------
Telephone: 0.79%
40,800 @ Nextlink
Communications 3,388,950
------------
Total Common Stocks
(Cost $213,609,918) 424,763,734
------------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 2.52%
Repurchase Agreements: 2.52%
$10,855,000 State Stree Repurchase
Agreement, 3.00% due
01/03/00 (Collateralized
by $9,115,000 U.S.
Treasury Notes, 8.50%
Market Value
$11,074,725, Due
02/15/2020) $ 10,855,000
-------------
Total Short-Term
Investments (Cost
$10,855,000) 10,855,000
-------------
Total Investments
in Securities
(Cost $224,464,918)* 101.10% 435,618,734
Cash and Other
Assets in
Excess of
Liabilities --
Net -1.10% (4,732,437)
------- -------------
Total Net
Assets 100.0% $ 430,886,297
====== =============
@ Non-income producing security
* Cost for federal income tax purposes is the same as
for financial statement purposes. Net unrealized
appreciation consists of:
Gross Unrealized
Appreciation $ 213,832,492
Gross Unrealized
Depreciation (2,678,676)
-------------
Net Unrealized
Appreciation $ 211,153,816
=============
See Accompanying Notes to Financial Statements
112
<PAGE>
Pilgrim
SmallCap
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Industry/Issuer Value
- ------ --------------- -----
COMMON STOCKS: 99.10%
Advertising: 1.17%
40,600 @ Getty Images, Inc. $ 1,984,325
57,300 @ Valuevision
International, Inc. --
Class A 3,284,006
-----------
5,268,331
-----------
Airlines: 0.12%
10,600 @ Mesaba Holdings, Inc. 121,238
14,200 Skywest, Inc. 397,600
-----------
518,838
-----------
Apparel: 0.60%
1,800 @ Cutter & Buck, Inc. 27,225
51,000 @ Timberland Co. --
Class A 2,696,625
-----------
2,723,850
-----------
Applications Software: 2.05%
16,500 @ Exchange Applications 921,937
24,600 @ Hnc Software, Inc. 2,601,450
9,200 @ Inso Corp. 296,700
32,250 @ National Instruments
Corp. 1,233,563
5,000 @ Ondisplay, Inc. 454,375
42,400 @ Peregrine Systems, Inc. 3,503,300
2,200 @ Quest Software, Inc. 224,400
-----------
9,235,725
-----------
Auto Manufacturers: 0.09%
14,400 Oshkosh Truck Corp. 422,100
-----------
Banks: 0.38%
20,200 City National Corp. 665,337
30,800 Peoples Heritage
Financial Group 463,925
33,173 Provident Bank 574,308
-----------
1,703,570
-----------
Beverage: 0.28%
25,100 @ Canandaigua Brands, Inc. 1,280,100
-----------
Biotechnology: 2.47%
9,450 @ Affymetrix, Inc. $ 1,603,546
17,800 @ Cell Genesys, Inc. 228,062
12,800 @ Curagen Corp. 892,800
40,600 @ Idec Pharmaceuticals 3,988,950
900 @ Invitrogen Corp. 54,000
5,800 @ Maxygen, Inc. 411,800
24,450 @ Millennium
Pharmaceuticals 2,982,900
500 @ Myriad Genetics, Inc. 23,000
13,300 @ Protein Design Labs, Inc. 931,001
-----------
11,116,059
-----------
Building Materials: 0.23%
36,300 @ Dal-tile Int'l, Inc. 367,538
8,500 Elcor Corp. 256,062
9,400 @ Simpson Manufacturing
Co, Inc. 411,250
-----------
1,034,850
-----------
Chemicals: 0.55%
37,300 Georgia Gulf Corp. 1,135,319
20,100 Macdermid, Inc. 825,356
16,700 Spartech Corp. 538,575
-----------
2,499,250
-----------
Commercial Services: 4.84%
8,100 @ Agency.com, Ltd. 413,100
13,000 @ Forrester Research, Inc. 895,375
17,000 Hooper Holmes Inc. 437,750
9,800 @ Hotjobs.com, Ltd. 428,137
43,600 @ Korn/Ferry International 1,585,950
4,400 @ Luminant Worldwide Corp. 200,200
112,200 @ Mail-Well, Inc. 1,514,700
13,400 @ Management Network Group,
Inc. 437,175
14,200 @ National Equipment Services 88,750
25,200 @ Navisite, Inc. 2,520,000
34,500 @ NCO Group, Inc. 1,039,312
2,200 @ Newgen Results 23,238
59,410 @ Nova Corp./Georgia 1,875,128
18,300 @ On Assignment, Inc. 546,713
6,300 @ Personnel Group Of
America, Inc. 63,788
32,700 @ Razorfish, Inc. 3,110,587
4,600 @ Scient Corp. 397,613
30,600 Sotheby's Holdings --
Class A 918,000
19,800 @ Startek, Inc. 717,750
22,800 @ Teletech Holdings, Inc. 768,431
17,550 @ Tickets.com, Inc. 251,184
62,600 @ Usweb Corp. 2,781,788
18,700 @ Xceed, Inc. 776,050
-----------
21,790,719
-----------
Computer Software: 8.09%
27,100 @ Aspect Development, Inc. $ 1,856,350
32,700 @ AVT Corp. 1,536,900
42,600 @ Bindview Development 2,116,688
18,700 @ Brio Technology, Inc. 785,400
20,800 @ Broadbase Software, Inc. 2,340,000
4,900 @ Bsquare Corp. 205,494
34,300 @ Business Objects 4,583,338
19,900 @ Daleen Technologies, Inc. 435,313
4,900 @ E.piphany, Inc. 1,093,313
4,900 @ Jacada, Ltd. 136,588
4,400 @ Kana Communications, Inc. 902,000
-----------
36,800 @ Macromedia, Inc. 2,691,000
-----------
74,900 @ Mercury Interactive Corp. 8,084,519
6,900 @ Metasolv Software, Inc. 564,075
22,900 @ Mission Crtical Software 1,603,000
9,400 @ OpenTV Corp. 754,349
18,800 @ Pinnacle Systems, Inc. 764,925
7,500 @ Pivotal Corp. 316,875
27,400 @ Puma Technology, Inc. 3,579,125
13,800 @ Quintus Corp. 633,074
6,200 @ Vitria Technology, Inc. 1,450,800
-----------
36,433,126
-----------
See Accompanying Notes to Financial Statements
113
<PAGE>
Pilgrim
SmallCap
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
Computers: 8.23%
30,000 @ Advanced Digital Info Corp. $ 1,458,750
35,200 @ Affiliated Computer Services 1,619,200
48,500 @ Ancor Communications, Inc. 3,291,938
20,600 @ Black Box Corp. 1,380,200
3,600 @ Cobalt Networks, Inc. 390,150
36,500 @ Concurrent Computer Corp. 682,094
3,300 @ Crossroads Systems, Inc. 278,850
27,000 Elbit, Ltd. 477,563
19,800 @ Emulex Corp. 2,227,500
13,500 Factset Research Systems 1,074,938
9,400 @ Gadzoox Networks, Inc. 409,488
68,800 @ ISS Group, Inc. 4,893,400
24,200 @ IXL Enterprises, Inc. 1,343,100
7,200 @ McAfee.com Corp. 324,000
25,100 @ M-Systems Flash Disk Pioneer 825,163
18,700 @ Netegrity, Inc. 1,064,731
4,900 @ Netsolve, Inc. 154,350
8,700 @ Paradyne Networks, Inc. 237,075
4,900 @ Predictive Systems, Inc. 320,950
17,800 @ QRS Corp. 1,856,763
2,200 @ Rainmaker Systems, Inc. 44,550
53,500 @ S3, Inc. 618,593
8,900 @ Silicon Storage Technology 367,125
11,600 @ Sonicwall, Inc. 466,900
35,600 @ Sykes Enterprises, Inc. 1,561,950
46,800 @ Technology Solutions Co. 1,532,700
44,100 @ Visual Networks, Inc. 3,494,924
20,100 @ Whittman-Hart, Inc. 1,077,863
48,000 @ Xircom 3,600,000
-----------
37,074,808
-----------
Data Processing/Mgmt: 1.18%
50,000 @ Documentum, Inc. 2,993,750
53,300 Reynolds & Reynolds 1,199,250
9,400 SEI Investments Co. 1,118,747
-----------
5,311,747
-----------
Distribution/Wholesale: 0.13%
44,500 @ Brightpoint, Inc. 584,063
-----------
Diversified Financial Services: 0.50%
16,000 @ Affiliated Managers Group 647,000
8,900 London Pacific Group 320,400
35,500 Metris Companies, Inc. 1,266,906
-----------
2,234,306
-----------
Educational Software: 0.45%
60,600 @ CBT Group
Plc-sponsored ADR 2,030,100
-----------
Educational Components &
Equipment: 0.85%
39,900 @ C-Cube Microsystems 2,483,775
29,700 @ Power-one, Inc. 1,360,631
-----------
3,844,406
-----------
Electronics: 5.65%
9,700 @ Amphenol Corp. 645,656
25,500 @ Credence Systems Corp. 2,205,750
15,900 CTS Corp. 1,198,463
42,100 @ Cymer, Inc. 1,936,600
18,400 @ DII Group, Inc. 1,305,825
24,700 @ DSP Group, Inc. 2,297,100
40,000 @ Electro Scientific
Industries 2,920,000
35,500 @ Integrated Device
Technology, Inc. 1,029,500
18,800 @ LTX Corp. 420,650
30,900 Methode Electronics, Inc. 992,663
44,000 @ Micrel, Inc. 2,505,250
28,200 @ Microchip Technology, Inc. 1,929,938
37,300 @ Molecular Devices Corp. 1,939,600
66,000 @ Power Integrations, Inc. 3,163,874
42,900 @ Varian, Inc. 965,250
-----------
25,456,119
-----------
Engineering & Construction: 0.23%
23,350 @ Dycom Industries 1,028,859
-----------
Enterprise Software/Services: 1.96%
50,100 @ Genesys Telecomm Labs, Inc. 2,705,400
22,000 @ JDA Software Group, Inc. 360,250
35,700 @ Manugistics Group, Inc. 1,153,556
49,800 @ Symantec Corp. 2,919,525
29,700 @ TSI International
Software, Inc. 1,681,763
-----------
8,820,494
-----------
Entertainment: 1.19%
28,100 @ Cinar Corp. $ 688,450
46,300 @ Macrovision Corp. 3,426,200
20,400 @ SFX Entertainment, Inc. 738,225
42,100 @ Sunterra Corp. 484,150
-----------
5,337,025
-----------
Environmental Control: 0.20%
19,600 @ Casella Waste Systems 369,950
33,445 @ Tetra Tech, Inc. 514,217
-----------
884,167
-----------
Food: 0.26%
29,800 @ Hain Food Group, Inc. 666,775
15,900 Michael Foods, Inc. 391,538
3,600 @ Symyx Technologies, Inc. 108,000
-----------
1,166,313
-----------
Health Care: 0.27%
19,800 @ Resmed, Inc. 826,650
10,000 @ Zoll Medical Corp. 381,875
-----------
1,208,525
-----------
Home Builders: 0.64%
26,500 M/I Schottenstein
Homes, Inc. 412,406
23,500 MDC Holdings, Inc. 368,656
17,700 @ Monaco Coach Corp. 452,456
25,850 @ National R.V. Holdings, Inc. 497,613
18,500 Ryland Corp. 426,656
35,700 Winnebago Industries 716,231
-----------
2,874,018
-----------
See Accompanying Notes to Financial Statements
114
<PAGE>
Pilgrim
SmallCap
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
Home Furnishings: 0.75%
56,150 Ethan Allen Interiors, Inc. $ 1,800,309
24,900 @ Polycom, Inc. 1,585,819
-----------
3,386,128
-----------
Insurance: 0.06%
13,500 @ Healthextras, Inc. 162,000
8,200 @ Quotesmith.com, Inc. 93,275
-----------
255,275
-----------
Internet Content: 3.11%
9,200 @ 24/7 Media, Inc. 517,500
16,300 @ About.com, Inc. 1,462,925
14,900 @ Ask Jeeves, Inc. 1,682,769
6,400 @ Backweb Technologies, Ltd. 269,600
5,900 @ Digital Insight Corp. 214,613
8,200 @ Earthweb, Inc. 412,563
21,400 @ Flycast Communications Corp. 2,780,663
4,500 @ GetThere.com, Inc. 181,125
7,800 @ Medicalogic, Inc. 163,800
13,300 @ Mypoints.com, Inc. 984,200
41,900 @ S1 Corp. 3,273,438
19,900 @ Sportsline Usa, Inc. 997,488
42,300 @ Telescan, Inc. 1,044,281
-----------
13,984,965
-----------
Internet Software: 9.74%
3,000 @ Agile Software Corp. 651,703
17,000 @ Allaire Corp. 2,465,000
2,700 @ Alteon Websystems, Inc. 236,925
42,700 @ Appnet, Inc. 1,868,125
15,500 @ Art Technology Group, Inc. 1,985,938
15,100 @ Be Free, Inc. 1,085,313
9,500 @ Cacheflow, Inc. 1,241,531
25,900 @ Clarent Corp. 2,013,725
8,900 @ Commtouch Software, Ltd. 432,206
36,300 @ Concentric Network Corp. 1,118,494
10,000 @ Cybersource Corp. 517,500
7,200 @ Digital Impact, Inc. 360,900
10,400 @ Digital Island, Inc. 989,300
8,800 @ Digital River, Inc. 293,150
7,400 @ E-Stamp Corp. 164,650
15,700 @ F5 Networks, Inc. 1,789,800
11,400 @ Globix Corp. 684,000
96,600 @ Harbinger Corp. 3,073,088
8,200 @ Interliant, Inc. 213,200
25,100 @ Intervu, Inc. 2,635,500
13,500 @ Interworld Corp. 1,152,563
19,700 @ ITXC Corp. 662,413
11,700 @ Keynote Systems, Inc. 862,875
27,100 @ Liquid Audio $ 711,375
28,500 @ Mail.com, Inc. 534,375
4,500 @ Mediaplex, Inc. 282,375
39,700 @ Mpath Interactive, Inc. 1,057,013
8,900 @ N2H2, Inc. 209,150
9,000 @ National Info Consortium,
Inc. 288,000
10,900 @ Netobjects 179,850
37,300 @ Netopia 2,025,856
18,600 @ Pcorder.com, Inc. 948,600
6,400 @ Preview Systmes, Inc. 415,200
19,100 @ Proxicom, Inc. 2,374,368
7,300 @ Retek, Inc. 549,325
18,700 @ Silknet Software, Inc. 3,099,525
22,000 @ Software.com, Inc. 2,112,000
31,900 @ Verio, Inc. 1,473,380
9,100 @ Viant Corp. 900,900
6,750 @ Xpedior, Inc. 194,062
-----------
43,853,253
-----------
Investment Companies: 0.11%
21,100 @ American Capital
Strategies, LTD. 480,025
-----------
Leisure Time: 0.46%
22,500 @ American Classic Voyages 787,500
24,600 @ Bally Total Fitness Holdings 656,513
49,500 WMS Industries, Inc. 649,687
-----------
2,093,700
-----------
Machinery-Constructing &
Mining: 0.44%
72,100 Terex Corp. 2,000,775
-----------
Machinery-Diversified: 0.63%
37,200 @ Kulicke & Soffa Industries 1,583,325
18,700 @ PRI Automation, Inc. 1,255,238
-----------
2,838,563
-----------
Media: 5.16%
5,900 @ ACME Communications, Inc. $ 196,175
40,000 @ Citadel Communications 2,595,000
18,000 @ Classic Communications, Inc. 658,125
26,900 @ Cumulus Media, Inc.
-- Class A 1,365,175
44,700 @ Emmis Communications 5,571,436
45,800 @ Entercom Communications 3,022,800
34,600 @ Pegasus Communications Corp. 3,382,150
29,500 @ Playboy Enterprises --
Class B 717,218
15,800 @ Radio One, Inc. 1,453,600
53,870 @ Saga Communications,
Inc. -- Class A 1,090,868
21,050 @ Salem Communications
-- Class A 476,256
30,700 @ SBS Broadcasting 1,494,706
14,900 @ Sirius Satellite Radio, Inc. 663,050
14,900 @ XM Satellite Radio
Holdings, Inc. -- Class A 568,063
-----------
23,254,622
-----------
Medical Information Systems: 0.41%
59,800 @ Infocure Corp. 1,865,012
-----------
Metal Fabricate/Hardware: 0.48%
8,612 @ Maverick Tube Corp. 212,609
33,100 @ Mueller Industries, Inc. 1,199,875
42,200 @ Transportation Technologies 762,237
-----------
2,174,721
-----------
Network Software: 1.20%
54,300 @ Legato Systems, Inc. 3,736,518
8,200 @ Packeteer, Inc. 582,200
35,400 @ Santa Cruz Operation, Inc. 1,075,275
-----------
5,393,993
-----------
See Accompanying Notes to Financial Statements
115
<PAGE>
Pilgrim
SmallCap
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
Oil & Gas Producers: 1.76%
11,300 @ Atwood Oceanics, Inc. $ 436,463
39,900 @ Barrett Resources Corp. 1,174,556
9,200 @ Chieftain Intl, Inc. 158,700
23,000 @ Forest Oil Corp. 303,313
18,400 @ Louis Dreyfus Natural Gas 333,500
82,600 @ Marine Drilling Co. 1,853,338
36,647 @ Nabors Industries, Inc. 1,133,776
22,900 @ Precision Drilling Corp. 588,244
97,000 @ Pride International, Inc. 1,418,625
10,500 @ Stone Energy Corp. 374,062
19,500 @ Unit Corp. 149,906
-----------
7,924,483
-----------
Oil & Gas Services: 1.35%
41,600 @ BJ Services Co. 1,739,400
29,800 @ Cal Dive Intl, Inc. 987,124
85,800 @ Global Industries, Ltd. 740,025
18,600 @ Seitel, Inc. 125,550
20,900 @ Smith International, Inc. 1,038,469
49,400 @ Tuboscope, Inc. 784,225
18,600 @ UTI Energy Corp. 428,963
21,000 Varco International 213,938
-----------
6,057,694
-----------
Optimal Recognition Software: 0.13%
15,600 @ Optimal Robotics Corp. 581,100
-----------
Pharmaceuticals: 3.60%
8,800 @ Abgenix, Inc. 1,166,000
25,400 @ Advance Paradigm, Inc. 547,687
33,350 @ Alkermes, Inc. 1,638,319
38,500 Alpharma, Inc. 1,183,875
65,950 @ Cephalon, Inc. 2,279,397
4,900 @ Chirex, Inc. 71,663
18,250 @ Cor Therapeutics, Inc. 490,468
17,900 @ Imclone Systems 709,288
96,750 Jones Pharmaceuticals, Inc. 4,202,578
65,350 @ Medics Pharmaceutical
-- Class A 2,781,459
34,700 @ NBTY, Inc. 401,219
8,900 @ Supergen, Inc. 261,437
19,500 @ Trimeris, Inc. 460,688
-----------
16,194,078
-----------
Pipelines: 0.08%
27,500 Western Gas
Resources, Inc. 362,656
-----------
REITS: 0.21%
42,825 Kilroy Realty Corp. 942,150
-----------
Retail: 4.76%
39,200 @ Ames Dept. Stores $ 1,129,450
17,200 @ Bebe Stores, Inc. 464,400
26,400 @ CDW Computer
Centers, Inc. 2,075,700
39,400 @ Creative Computers, Inc. 288,113
7,600 @ Expedia, Inc. 266,000
9,900 @ Factory 2-U Stores, Inc. 280,913
20,000 @ Fatbrain.com, Inc. 501,250
4,800 @ Fogdog, Inc. 45,600
30,200 @ Genesco 392,600
30,800 @ Hollywood
Entertainment Corp. 446,600
37,525 @ Insight Enterprises 1,524,453
18,600 @ Intertan, Inc. 485,925
37,900 @ Jack In The Box, Inc. 784,056
20,300 @ Kenneth Cole
Productions -- Class A 928,725
33,000 @ Linens 'n Things, Inc. 977,625
71,200 @ O'reilly Automotive, Inc. 1,530,800
52,550 @ Pacific Sunwear Of
California 1,691,453
6,900 @ Purchasepro.com, Inc. 948,750
13,700 @ Rowecom, Inc. 621,638
6,000 @ Sciquest.com, Inc. 477,000
22,300 @ Shopnow.com, Inc. 422,306
23,500 @ Sonic Automotive, Inc. 229,125
9,700 @ Stamps.com, Inc. 403,763
47,460 @ Sunglass Hut
International 533,924
18,000 @ The Buckle, Inc. 266,625
46,000 @ The Men's Wearhouse, Inc. 1,351,250
27,772 @ UBid, Inc. 735,958
23,000 @ Urban Outfitters, Inc. 669,875
21,300 @ Williams Sonoma, Inc. 979,800
-----------
21,453,677
-----------
Savings & Loans: 0.18%
19,050 First Washington Bancorp. 280,987
25,925 MAF Bancorp, Inc. 542,805
-----------
823,792
-----------
Semiconductor: 7.34%
14,900 @ Act Manufacturing, Inc. $ 558,750
37,800 Alpha Industries, Inc. 2,166,413
37,950 @ Burr-Brown Corp. 1,370,944
48,300 @ Cypress Semiconductor Corp. 1,563,713
27,500 @ Etec Systems, Inc. 1,234,063
24,900 @ Fairchild Semicon Intl
-- Class A 740,775
13,100 @ Globespan, Inc. 853,138
2,900 @ Integrated Silicon Solution 48,031
40,300 @ Intl Rectifier Corp. 1,047,800
60,200 @ Kopin Corp. 2,528,400
30,300 @ Lam Research Group 3,380,343
30,200 @ MEMC Electronics
Materials 369,950
24,900 @ MIPS Technology, Inc.
-- Class A 1,294,800
27,300 @ Phototronics, Inc. 781,462
34,000 @ Qlogic Corp. 5,435,750
6,300 @ Rambus, Inc. 424,856
9,000 @ Rudolph Technologies, Inc. 301,500
28,600 @ Semtech Corp. 1,490,774
30,900 @ Transwitch Corp. 2,242,181
22,250 @ Triquint
Semiconductor, Inc. 2,475,313
55,100 @ Varian Semiconductor
Equipment 1,873,400
28,600 @ Virata Corp. 854,425
-----------
33,036,781
-----------
See Accompanying Notes to Financial Statements
116
<PAGE>
Pilgrim
SmallCap
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
Telecommunication Equipment: 7.45%
37,400 @ Advanced Fibre
Communications, Inc. $ 1,671,313
7,700 @ Aether Systems 551,513
7,700 @ Airnet Communications Corp. 280,088
51,700 American Tower Corp. 1,580,081
16,300 @ Antec Corp. 594,950
26,200 @ Audiocodes, Ltd. 2,410,400
14,800 @ Aware, Inc. 538,350
14,300 @ C-Cor.net Corp. 1,095,738
36,800 @ Commscope, Inc. 1,483,500
43,900 @ Digital Lightwave, Inc. 2,809,600
50,100 @ Digital Microwave Corp. 1,174,219
16,400 @ Ditech Communications Corp. 1,533,400
19,300 @ Efficient Networks, Inc. 1,312,400
6,300 @ Finisar Corp. 566,212
10,100 @ Harmonic, Inc. 958,869
13,400 @ MRV Communications, Inc. 842,524
26,800 @ Netoptix Corp. 1,788,900
8,600 @ Northeast Optic Network,
Inc. 538,037
34,700 @ Orckit Communications, Ltd. 1,190,644
8,900 @ Ortel Corp. 1,068,000
54,100 @ Pairgain Technologies 767,544
48,500 @ Pinnacle Holdings, Inc. 2,055,187
53,000 @ Powerwave
Technologies, Inc. 3,093,875
20,200 @ Proxim, Inc. 2,222,000
27,200 @ Tut Systems, Inc. 1,458,600
------------
33,585,944
------------
Telecommunications: 4.86%
20,100 @ Adaptive Broadband Corp. $ 1,483,631
30,300 @ Adelphia Business
Solutions, Inc. 1,454,400
81,100 @ Aspect Communications Corp. 3,173,033
23,600 @ Caprock Communications Corp. 765,525
49,500 @ Clearnet Communications --
Class A 1,701,563
9,900 @ Ectel, Ltd. 180,675
79,400 @ GST Telecommunications 719,563
6,800 @ Ibasis, Inc. 195,500
19,900 @ ICG Communications, Inc. 373,125
24,700 @ Inet Technologies, Inc. 1,725,913
16,100 @ Leap Wireless
International, Inc. 1,263,850
11,250 @ Pac-west Telecom, Inc. 298,124
50,400 @ Price Communications Corp. 1,401,750
61,900 @ Talk.com, Inc. 1,098,725
24,700 @ US LEC Corp. Class A 796,574
8,800 @ Viasat, Inc. 438,900
32,000 @ Western Wireless Corp.
-- Class A 2,136,000
30,400 @ Winstar Communications 2,276,200
10,000 @ Z-Tel Technologies, Inc. 403,750
------------
21,886,801
------------
38,900 @ Focal Communications Corp. 938,463
15,600 @ Intermedia Communications 605,475
56,500 @ Viatel, Inc. 3,029,813
------------
4,573,751
------------
34,800 @ American Freightways Corp. 563,325
41,800 Expeditors International 1,831,362
15,300 @ Forward Air Corp. 663,637
31,700 @ Swift Transportation
Co, Inc. 558,713
37,100 Us Freightways Corp. 1,776,163
------------
5,393,200
------------
Total Common Stocks
(Cost $256,456,789) 446,278,607
------------
Principal
Amount Value
- ------ -----
Total Investments
in Securities
(Cost $256,456,789)* 99.10% 446,278,607
Cash and Other
Assets in
Excess of
Liabilities-Net 0.90% 4,058,734
------ -------------
Total Net Assets 100.00% $ 450,337,341
====== =============
@ Non-income producing security
* Cost for federal income tax purposes is the same as for
financial statement purposes. Net unrealized appreciation
consists of:
Gross Unrealized Appreciation $ 196,701,265
Gross Unrealized Depreciation (6,879,447)
-------------
Net Unrealized Appreciation $ 189,821,818
=============
See Accompanying Notes to Financial Statements
117
<PAGE>
Pilgrim
Bank and
Thrift
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Industry/Issuer Value
- ------ --------------- -----
COMMON STOCKS: 99.07%
Automotive: 0.82%
648,000 @ Keystone Automotive
Industries, Inc. $ 3,807,000
------------
Banks: 54.02%
173,500 Alabama National Bancorp
(AL) 3,274,812
165,300 Bank of The Ozarks (AR) 3,223,350
176,000 Banknorth Group, Inc. (VT) 4,708,000
98,500 Bay Bancshares, Inc. (TX) 1,760,687
280,675 BSB Bancorp, Inc. (NY) 5,402,994
108,600 CNBT Bancshares, Inc.
(TX) 1,167,450
290,000 Colonial Bancgroup,
Inc. (AL) 3,008,750
165,000 Columbia Bancorp (MD) 1,866,562
558,500 Comerica, Inc. (MI) 26,074,969
122,749 Commerce Bancshares,
Inc. (MO) 4,158,122
211,500 Community Bank
System, Inc. (NY) 4,890,937
337,474 Community First
Bankshares (ND) 5,315,215
44,300 Compass Bancshares,
Inc. (AL) 988,444
172,400 Financial Institutions,
Inc. (NY) 2,090,350
2,192 First National
Bank/Anchorage (AK) 2,082,400
333,187 First Union Corp. (NC) 10,932,698
115,000 First United
Bancshares/Arkansas (AR) 1,538,125
589,360 Fleet Boston Financial
Corp. (MA) 20,517,095
38,500 @ Hamilton Bancorp, Inc.
(FL) 683,375
322,647 Hudson United
Bancorp (NJ) 8,247,664
188,604 Independent Bank
Corp. -- Michigan (MI) 2,758,333
525,800 Keycorp (OH) 11,633,325
200,000 Lamar Capital Corp. (MS) 2,225,000
209,100 National City Bancorp (MN) 3,502,425
771,400 National City Corp. (OH) 18,272,537
90,134 North Dallas Bank &
Trust (TX) 3,244,824
305,600 North Fork Bancorp (NY) 5,348,000
75,300 North Valley Bancorp (CA) 800,062
41,500 OAK Hill Financial,
Inc. (OH) 606,938
953,000 Pacific Century
Financial Corp. (HI) $ 17,809,188
829,000 Peoples Heritage
Financial Group (ME) 12,486,813
240,000 Prosperity Bancshares,
Inc. (TX) 3,840,000
26,500 Regions Financial
Corp. (AL) 665,813
20,400 @ SIX Rivers National
Bank/Eureka (CA) 271,575
200,000 ! Southwest Bancorp,
Inc./Oklahoma (OK) 4,000,000
125,300 Summit Bancorp (NJ) 3,837,313
176,900 Summit Bancshares,
Inc./Texas (TX) 3,272,650
355,000 @ UCBH Holdings Inc. (CA) 7,299,688
793,800 UnionBanCal Corp. (CA) 31,305,488
143,110 @ United Security
Bancorp (WA) 1,788,875
209,400 US Bancorp, Inc.-Pa
(PA) 2,460,450
146,885 West Coast
Bancorp-Oregon (OR) 1,982,948
------------
251,344,244
------------
655,375 D.R. Horton, Inc. 9,052,367
342,500 @ Schuff Steel Co. 1,370,000
------------
10,422,367
------------
375,000 @! International Aircraft
Investor 2,343,750
215,000 Liberty Financial Co.,
Inc. 4,931,562
440,000 Sea Containers Ltd. 11,715,000
413,000 @ Ugly Duckling Corp. 2,839,375
1,738,900 @ UniCapital Corp. 6,412,194
-------------
28,241,881
-------------
177,000 @! 21st Century Holding Co. 730,125
430,000 @! American Safety
Insurance Group 2,821,875
756,500 Reliance Group Holdings 5,059,094
-------------
8,611,094
-------------
955,160 @ Applied Graphics
Technologies 8,238,255
-------------
323,106 @ Cons Stores Corp. $ 5,250,472
69,100 @ Jo-Ann Stores, Inc.
Class B 695,319
15,000 @ Jo-Ann Stores, Inc.
Class A 168,750
40,200 @ Michaels Stores Inc. 1,145,700
3,700 @ United Auto Group
Inc. 33,069
------------
7,293,310
------------
633,700 Alliance Capital
Management
Holdings 18,971,394
573,400 Freedom Securities
Corp. 6,450,750
------------
25,422,144
------------
245,000 Astoria Financial Corp.
(NY) 7,457,188
1,833,657 Charter One Financial,
Inc. (OH) 35,068,690
1,261,238 Commercial Federal
Corp. (NE) 22,465,792
166,100 First Mutual
Bancshares, Inc.
(WA) 1,993,200
429,200 Golden West Financial
Corp. (CA) 14,378,200
198,000 Highland Bancorp, Inc. (CA) 3,762,000
84,400 Interwest Bancorp, Inc.
(WA) 1,624,700
63,655 Laurel Capital Group,
Inc. (PA) 954,825
612,500 Seacoast Financial
Services Corp. (MA) 6,239,844
137,500 Timberland Bancorp,
Inc. (WA) 1,546,875
849,800 Washington Mutual,
Inc. (WA) 22,094,800
------------
117,586,114
------------
Total Common Stocks
(Cost $500,249,662) 460,966,409
------------
118
<PAGE>
Pilgrim
Bank and
Thrift
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 0.27%
Repurchase Agreements: 0.27%
$1,258,000 State Stree Repurchase
Agreement, 3.00% due
01/03/00 (Collateralized
by $1,060,000 U.S.
Treasury Bonds, 8.500%
Market Value $1,287,900,
Due 02/15/20) $ 1,258,000
------------
Total Short-Term
Investments (Cost
$1,258,000) 1,258,000
Total Investments
in Securities
(Cost
$501,507,662)* 99.34% 462,224,409
Cash and Other
Assets in
Excess of
Liabilities-Net 0.66% 3,086,338
------ ------------
Total Net
Assets 100.0% $465,310,747
====== ============
@ Non-income producing security
! Company in which there is any direct or indirect ownership of
5% or more of the outstanding voting securities.
* Cost for federal income tax purposes is the same as for
financial statement purposes. Net unrealized depreciation
consists of:
Gross Unrealized Appreciation $ 52,888,250
Gross Unrealized Depreciation (92,171,503)
-------------
Net Unrealized Depreciation $ (39,283,253
=============
See Accompanying Notes to Financial Statements
119
<PAGE>
Pilgrim
Worldwide
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
COMMON STOCKS: 95.85%
BELGIUM: 0.39%
49,800 Fortis $ 1,797,215
-----------
Total Belgium 1,797,215
-----------
BRAZIL: 0.79%
37,700 Aracruz Celulose S.A.
ADR 989,625
20,697 Cia Siderurgica
Nacional 803,099
47,800 Petroleo Brasileiro S.A.
ADR 1,225,974
25,800 Tele Norte Leste
Participacoes ADR 657,900
-----------
Total Brazil 3,676,598
-----------
CANADA: 1.66%
81,000 @ Anderson Exploration 966,955
17,500 @ Biovail Corp. Int'l 1,640,625
54,400 Falconbridge, Ltd. 971,294
31,500 Nortel Networks Corp. 3,181,500
38,300 @ Precision Drilling
Corp. 983,831
-----------
Total Canada 7,744,205
-----------
CHINA: 0.24%
2,948,400 @ China Shipping
Development Co. 584,104
1,866,300 @ Yizheng Chemical
Fibre Co. 522,185
-----------
Total China 1,106,289
-----------
DENMARK: 0.48%
30,000 Tele Danmark A/S 2,228,145
-----------
Total Denmark 2,228,145
-----------
FINLAND: 3.61%
67,200 Nokia OYJ ADR 12,768,000
42,300 Sonera OYJ 2,900,104
65,300 Stora Enso OYJ 1,138,819
-----------
Total Finland 16,806,923
-----------
FRANCE: 4.30%
14,100 Axa 1,966,076
2,300 Bouygues 1,462,185
14,000 Carrefour Supermarche 2,582,626
24,600 @ Credit Lyonnais S.A. 1,125,216
27,000 Pechiney S.A. Class A 1,930,017
83,800 Rhodia S.A. 1,894,574
15,570 Total Fina S.A. 2,078,498
9,100 TV Francaise 4,767,490
24,500 Vivendi (EX --
Generale des Eaux) 2,212,898
-----------
Total France 20,019,580
-----------
GERMANY: 4.41%
63,400 Bayerische Motoren
Werke AG $ 1,945,009
32,100 Deutsche Bank AG 2,718,240
33,900 Deutsche Telekom AG 2,385,674
23,100 EM.TV &
Merchandising AG 1,524,398
22,200 @ Epcos AG 1,655,121
18,000 Fresenius Medical Care 1,527,874
25,400 HypoVereinsbank 1,735,036
4,900 @ Intershop
Communications AG 1,402,037
18,900 Mannesmann AG 4,577,637
35,400 Thyssen Krupp AG 1,096,714
-----------
Total Germany 20,567,740
-----------
GREECE: 0.13%
10,200 Titan Cement Co. 603,411
-----------
Total Greece 603,411
-----------
HONG KONG: 0.84%
14,000 @ China Telecom, Ltd. 1,799,875
904,000 @ Pacific Century
Cyberworks, Ltd. 2,104,895
-----------
Total Hong Kong 3,904,770
-----------
HUNGARY: 0.16%
21,100 Matav RT ADR 759,600
-----------
Total Hungary 759,600
-----------
ISRAEL: 0.11%
19,000 @ Partner Communications 491,625
-----------
Total Israel 491,625
-----------
ITALY: 2.48%
172,000 Alleanza Assicurazioni 2,098,542
131,100 ENI SpA 721,174
132,600 Mediaset SpA 2,062,699
949,900 Seat-Pagine Gialle SpA 3,119,899
318,000 Telecom Italia Mobile
SpA 3,553,070
-----------
Total Italy 11,555,384
-----------
JAPAN: 17.10%
28,300 Asatsu-DK Inc. $ 1,909,545
101,000 Dai-ichi Kangyo Bank 943,235
33,500 Fanuc, Ltd. 4,262,028
9,200 Fuji Soft ABC, Inc. 719,734
29,200 Fujitsu, Ltd. 1,330,647
600 Hikari Tsushin, Inc. 1,202,816
68,000 Hitachi, Ltd. 1,090,553
22,200 KDD Corp. 3,074,047
7,100 Keyence Corp. 2,881,381
17,400 Kyocera Corp. 4,509,094
10,600 Matsushita Communication
Industrial Co., Ltd. 2,798,748
22,000 Murata Manufacturing
Co., Ltd. 5,163,309
190 Nippon Telegraph &
Telephone Corp. 3,251,516
121,000 Nomura Securites Co., Ltd. 2,183,112
154 NTT Data Corp. 3,539,018
98 NITT Mobile Communications
Network, Inc. 3,766,282
155,000 Oki Electric Industry
Co., Ltd. 912,478
33,000 Omron Corporation 759,975
17,400 Orix Corp. ADR 1,973,813
66 Round One Corp. 890,671
12,000 Ryohin Keikaku Co., Ltd. 2,406,806
83,000 Sakura Bank, Ltd. 480,501
21,400 Seven Eleven 3,390,182
7,800 Softbank Corp. 7,459,808
18,600 Sony Corp. 5,511,246
28,800 Sony Corp. ADR 8,200,879
30,700 THK Co., Ltd. 1,239,888
11,000 Tokyo Electron, Ltd. 1,505,964
60,000 Yamato Transport Co.,
Ltd. 2,323,488
-----------
Total Japan 79,680,684
-----------
10,000 @ Grupo Televisa S.A.
GDR 682,500
19,700 Telefonos de Mexico 2,216,250
-----------
Total Mexico 2,898,750
-----------
See Accompanying Notes to Financial Statements
120
<PAGE>
Pilgrim
Worldwide
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
NETHERLANDS: 5.09%
18,500 Aegon N.V. $ 1,787,456
24,200 @ ASM Lithography
Holding N.V. 2,752,750
21,700 @ Equant N.V. 2,463,932
11,200 @ Equant N.V. 1,254,400
22,400 Koninklijke Phillips
Electronics N.V. 3,024,000
33,500 KPN N.V. 3,270,496
20,500 @ KPNQwest N.V. 1,365,213
22,800 STMicroelectronics
N.V. 3,452,775
63,700 TNT Post Group N.V. 1,825,857
19,800 @ United Pan-Europe
Communications 2,533,460
------------
Total Netherlands 23,730,339
------------
SINGAPORE: 0.32%
275,000 @ Chartered
Semiconductor 1,502,552
------------
Total Singapore 1,502,552
------------
SOUTH KOREA: 1.32%
4,500 @ Dacom Corp. 2,318,362
38,100 Korea Telecom ADR 2,847,975
4,120 Samsung Electronics
Co. 965,143
------------
Total South Korea 6,131,480
------------
SPAIN: 0.94%
170,000 Banco Santander
Central 1,925,131
501 Telefonica S.A. 39,551
97,300 Telefonica S.A. ADR 2,431,138
------------
Total Spain 4,395,820
------------
SWEDEN: 1.57%
77,000 Skandia Forsakrings AB 2,325,409
75,900 Telefonaktiebolaget LM
Ericsson 4,985,681
------------
Total Sweden 7,311,090
------------
TAIWAN: 0.34%
35,255 @ Taiwan Semiconductor ADR 1,586,475
------------
Total Taiwan 1,586,475
------------
UNITED KINGDOM: 5.70%
26,760 @ ARM Holdings PLC ADR $ 5,124,540
362,500 Billiton PLC 2,123,352
42,493 British Aerospace PLC 281,566
46,800 British Telecom PLC 1,135,906
19,600 CMG PLC 1,454,439
31,600 @ Colt Telecom Group PLC 1,633,666
1,035,900 Corus Group PLC 2,707,047
125,800 Hanson PLC 1,042,212
414,600 Invensys PLC 2,247,395
99,100 Marconi PLC 1,754,270
236,200 Saatchi & Saatchi PLC 1,423,677
286,000 Shell Transport &
Trading Co. 2,379,829
25,000 @ Shire Pharmaceuticals PLC 728,125
250,000 Smith & Newphew PLC 849,503
122,000 @ Thus PLC 765,944
190,400 Vodafone AirTouch PLC 940,433
------------
Total United Kingdom 26,591,904
------------
UNITED STATES: 43.25%
118,100 @ Agilent Technologies, Inc. 9,130,606
37,400 Alltel Corp. 3,092,513
70,200 @ America Online, Inc. 5,295,713
100,000 @ Amgen, Inc. 6,006,250
55,400 @ Applied Materials, Inc. 7,018,488
114,700 AT&T Corp. 5,821,025
123,340 @ AT&T Corp. Liberty
Media 6,999,545
230,300 @ Charter Communications,
Inc. 5,037,813
66,100 @ Cisco Systems, Inc. 7,080,963
118,500 Citigroup, Inc. 6,584,156
24,800 @ CMGI, Inc. 6,866,500
55,100 Corning, Inc. 7,104,456
26,000 @ Flextronics Int'l, Ltd. 1,196,000
50,200 @ Genentech, Inc. 6,751,900
42,300 General Motors Corp.
Class H 4,060,800
94,400 @ Global Telesystems
Group, Inc. 3,268,600
110,850 Home Depot, Inc. 7,600,153
85,300 @ Infonet Services Corp. 2,239,125
40,300 International Business
Machines 4,352,400
90,575 Lucent Technologies 6,776,142
82,650 @ MCI Worldcom, Inc. 4,385,616
136,200 MGM Grand, Inc. 6,852,563
59,700 @ Microsoft Corp. 6,969,975
47,400 Motorola, Inc. 6,979,650
65,200 @ Nextel Communications, Inc. 6,723,750
9,700 @ NTL, Inc. 1,210,075
65,900 @ Oracle Corp. 7,384,919
46,800 @ Qualcomm, Inc. 8,248,500
129,900 @ Qwest Communications Int'l 5,585,700
38,100 Schlumberger, Ltd. 2,143,125
59,000 @ Sprint Corp. -- PCS
Group 6,047,500
88,500 @ Sun Microsystems, Inc. 6,853,219
65,000 Texas Instruments, Inc. 6,296,875
7,376 Transocean Sedco
Forex, Inc. 248,484
87,200 United Parcel Service, Inc. 6,016,800
106,300 Wal-Mart Stores, Inc. 7,347,988
------------
Total United States 201,577,887
------------
Total Common Stocks
(Cost $284,196,790) 446,668,466
------------
PREFERRED STOCKS: 0.33%
Germany: 0.33%
2,600 Sap AG 1,586,107
------------
Total Preferred Stocks
(Cost $1,549,520) 1,586,107
-------------
Total Long-Term
Investments
(Cost $285,746,310) 448,254,573
-------------
See Accompanying Notes to Financial Statements
121
<PAGE>
Pilgrim
Worldwide
Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 3.75%
Repurchase Agreement: 3.75%
$17,453,000 State Street Bank & Trust
Repurchase Agreement,
3.00% due 01/03/00
(Collateralized by
$15,500,000 U.S.
Treasury Bonds, 7.875%
due 02/15/21 Market
Value $17,805,625) $ 17,453,000
------------
Total Short-Term
Investments (Cost
$17,453,000) 17,453,000
------------
Total Investments
(Cost $303,199,310)* 99.93% 465,707,573
Other Assets and
Liabilities, Net 0.07% 303,272
------- ------------
Net Assets 100.00% $466,010,845
======= ============
Principal
Amount Value
- ------ -----
@ Non-income producing security
* Cost for federal income tax purposes is the same as for
financial statement purposes. Net unrealized appreciation
consists of:
Gross Unrealized Appreciation $164,457,150
Gross Unrealized Depreciation (1,948,887)
------------
$162,508,263
============
Percentage of
Industry Net Assets
- -------- ----------
Advertising 0.71%
Aerospace/Defense 0.06%
Auto Manufacturers 0.42%
Banks 1.92%
Biotechnology 2.74%
Building Materials 0.35%
Chemicals 0.52%
Commercial Services 0.47%
Computers 5.91%
Diversified Financial Services 2.69%
Electrical Components & Equipment 0.44%
Electronics 6.99%
Engineering & Construction 0.31%
Entertainment 1.47%
Food 0.55%
Forest Products & Paper 0.46%
Hand/Machine Tools 0.27%
Health Care 0.51%
Home Furnishings 2.94%
Insurance 1.75%
Iron/Steel 0.75%
Leisure Time 0.19%
Machinery-Diversified 0.98%
Media 5.74%
Metal Fabricate/Hardware 0.41%
Metals-Diversified 0.21%
Mining 0.46%
Miscellaneous Manufacturing 2.24%
Oil & Gas Producers 1.85%
Oil & Gas Services 0.46%
Pharmaceuticals 0.51%
Retail 4.45%
Semiconductors 5.68%
Software 8.54%
Telecommunication Equipment 10.65%
Telecommunications 12.47%
Telephone 6.80%
Transportation 2.31%
Short-term Investments 3.75%
Other Assets and Liabilities, Net 0.07%
------
NET ASSETS 100.00%
======
See Accompanying Notes to Financial Statements
122
<PAGE>
- -------------
Pilgrim
International
Core Growth
Fund
- -------------
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
COMMON STOCKS: 98.93%
BELGIUM: 0.77%
16,300 Fortis $ 588,245
-----------
Total Belgium 588,245
-----------
BRAZIL: 1.48%
6,200 Aracruz Celulose S.A. ADR 162,750
7,968,000 CIA Siderurgica Nacional 309,180
17,400 Petroleo Brasileiro S.A.
ADR 446,275
8,100 Tele Norte Leste
Participacoes ADR 206,550
-----------
Total Brazil 1,124,755
-----------
CANADA: 3.50%
23,400 @ Anderson Exploration 279,343
6,600 @ Biovail Corp. Int'l 618,750
17,700 Falconbridge, Ltd. 316,028
11,100 Nortel Networks 1,121,100
12,600 @ Precision Drilling Corp. 323,663
-----------
Total Canada 2,658,884
-----------
CHINA: 0.47%
958,700 @ China Shipping Development 189,927
606,800 @ Yizheng Chemical Fibre 169,781
-----------
Total China 359,708
-----------
DENMARK: 1.08%
11,000 Tele Danmark A/S 816,986
-----------
Total Denmark 816,986
-----------
FINLAND: 3.85%
8,600 Nokia Corp. ADR 1,634,000
13,400 Sonera Group OYJ 918,709
21,200 Stora Enso OYJ Class R 369,724
-----------
Total Finland 2,922,433
-----------
FRANCE: 7.96%
4,500 AXA 627,471
800 Bouygues 508,586
4,200 Carrefour Supermarche 774,788
10,400 @ Credit Lyonnais SA 475,701
8,000 Pechiney SA Class A 571,857
27,400 Rhodia SA 619,467
5,074 Total Fina S.A. 677,347
2,400 TV Francaise 1,257,360
5,900 Vivendi (EX -- Generale
des Eaux) 532,902
-----------
Total France 6,045,479
-----------
GERMANY: 9.22%
20,800 Bayerische Motoren Werke AG $ 638,110
10,100 Deutsche Bank AG 855,272
10,800 Deutsche Telekom AG 760,038
7,500 EM.TV & Merchandising AG 494,934
7,300 @ Epcos AG 544,252
9,600 Fresenius Medical Care AG 814,866
8,500 HypoVereinsbank 580,622
1,600 @ Intershop Communications 457,808
6,200 Mannesmann AG 1,501,659
11,500 Thyssen Krupp 356,277
-----------
Total Germany 7,003,838
-----------
GREECE: 0.33%
4,300 Titan Cement Co. S.A. 254,379
-----------
Total Greece 254,379
-----------
HONG KONG: 0.68%
4,000 @ China Telecom 514,250
-----------
Total Hong Kong 514,250
-----------
HUNGARY: 0.41%
8,700 Matav RT ADR 313,200
-----------
Total Hungary 313,200
-----------
INDONESIA: 0.00%
100 @ PT Hanjaya Mandala
Sampoerna 254
-----------
Total Indonesia 254
-----------
ISRAEL: 0.21%
6,200 @ Partner Communications 160,425
-----------
Total Israel 160,425
-----------
ITALY: 4.15%
36,000 Alleanza Assicurazioni 439,230
42,500 ENI SPA 233,790
39,800 Mediaset SPA 619,121
301,305 Seat-Pagine Gialle SPA 989,621
77,700 Telecom Italia Mobile SPA 868,156
-----------
Total Italy 3,149,918
-----------
JAPAN: 28.59%
9,200 Asatsu-DK Inc. $ 620,771
33,000 Dai-ichi Kangyo Bank 308,185
10,800 Fanuc, Ltd. 1,374,027
3,000 Fuji Soft ABC, Inc. 234,696
9,200 Fujitsu, Ltd. 419,245
200 Hikari Tsushin, Inc. 400,939
22,000 Hitachi, Ltd. 352,826
7,300 KDD Corp. 1,010,835
1,000 Keyence Corp. 405,828
5,500 Kyocera Corp. 1,425,288
3,400 Matsushita
Communication 897,712
7,000 Murata Manufacturing
Co., Ltd. 1,642,871
35 Nippon Telegraph &
Telephone Corp. 598,963
38,000 Nomura Securites Co., Ltd. 685,605
50 NTT Data Corp. 1,149,032
32 NTT Mobile Communications
Network, Inc. 1,229,806
51,000 Oki Electric Industry
Co., Ltd. 300,235
12,000 Omron Corp. 276,354
6,300 Orix Corp. ADR 714,656
21 Round One Corp. 283,395
3,700 Ryohin Keikaku Co., Ltd. 742,099
26,000 Sakura Bank, Ltd. 150,518
6,200 Seven Eleven Japan 982,202
2,400 Softbank Corp. 2,295,326
5,500 Sony Corp. 1,629,669
9,600 THK Co., Ltd. 387,718
3,000 Tokyo Electron, Ltd. 410,718
20,000 Yamato Transport Co., Ltd. 774,497
-----------
Total Japan 21,704,016
-----------
MEXICO: 1.22%
3,200 @ Grupo Televisa SA GDR 218,400
6,300 Telefonos de Mexico 708,750
-----------
Total Mexico 927,150
-----------
See Accompanying Notes to Financial Statements
123
<PAGE>
Pilgrim
International
Core Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
NETHERLANDS: 9.47%
6,000 Aegon N.V. $ 579,716
9,600 @ ASM Lithography Holdings N.V. 1,092,000
7,000 @ Equant N.V. 794,817
3,700 @ Equant N.V. 414,400
7,300 Koninklijke Phillips
Electronics N.V. 985,500
7,600 KPN N.V. 741,963
6,500 @ KPNQwest N.V. 432,872
7,400 STMicroelectronics N.V. 1,120,638
21,600 TNT Post Group N.V. 619,129
3,200 @ United Pan-Europe
Communications N.V. 409,448
-----------
Total Netherlands 7,190,483
-----------
SINGAPORE: 1.55%
90,000 @ Chartered Semiconductor 491,744
9,400 @ Chartered
Semiconductor ADR 686,200
-----------
Total Singapore 1,177,944
-----------
SOUTH KOREA: 2.25%
1,500 @ Dacom Corp. 772,787
7,600 Korea Telecom Corp. ADR 568,100
1,560 Samsung Electronics Co. 365,443
-----------
Total South Korea 1,706,330
-----------
SPAIN: 1.87%
55,000 Banco Santander
Central Hispano S.A. 622,837
32,000 Telefonica S.A. 799,552
-----------
Total Spain 1,422,389
-----------
SWEDEN: 2.94%
19,000 Skandia Forsakrings AB 573,802
25,300 Telefonaktiebolaget LM
Ericsson 1,661,894
-----------
Total Sweden 2,235,696
-----------
TAIWAN: 0.76%
12,820 @ Taiwan Semiconductor ADR 576,900
-----------
Total Taiwan 576,900
-----------
UNITED KINGDOM: 12.67%
25,200 @ ARM Holdings PLC $ 1,688,131
113,300 Billiton PLC 663,657
17,452 British Aerospace PLC 115,638
17,400 British Telecom PLC 422,324
7,400 CMG PLC 549,125
10,300 @ Colt Telecom Group PLC 532,492
330,000 Corus Group PLC 862,366
6,700 @ Eidos PLC 590,849
40,900 Hanson PLC 338,843
133,800 Invensys PLC 725,281
40,700 Marconi PLC 720,472
76,300 Saatchi & Saatchi PLC 459,892
92,300 Shell Transportation 768,036
9,000 @ Shire Pharmaceuticals PLC 262,125
106,700 Smith & Newphew PLC 362,568
39,600 @ Thus PLC 248,618
61,900 Vodafone Airtouch PLC 305,740
-----------
Total United Kingdom 9,616,157
-----------
UNITED STATES: 3.50%
9,800 @ Flextronics Int'l., Ltd. 450,800
30,700 @ Global Telesystems
Group, Inc. 1,062,988
3,000 @ NTL, Inc. 374,250
12,200 Schlumberger, Ltd. 686,250
2,362 Transocean Sedco Forex, Inc. 79,567
-----------
Total United States 2,653,855
-----------
Total Common Stocks
(Cost $46,839,072) 75,123,674
-----------
PREFERRED STOCKS: 0.64%
Germany: 0.64%
800 Sap AG 488,033
-----------
Total Preferred Stocks
(Cost $476,775) 488,033
-----------
Total Long-Term
Investments
(Cost $47,315,847) 75,611,707
-----------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 0.38%
Repurchase Agreement: 0.38%
$ 292,000 State Street Bank & Trust
Repurchase Agreement,
3.00% due 01/03/00
(Collateralized by
$230,000 U.S. Treasury
Bonds, 12.750% Market
Value $300,438, Due
11/15/10) $ 292,000
------------
Total Short-Term
Investments (Cost
$292,000) 292,000
------------
Total Investments
in Securities
(Cost $47,607,847)* 99.95% 75,903,707
Other Assets and
Liabilities, Net 0.05% 35,966
------ ------------
Net Assets 100.00% $ 75,939,673
====== ============
@ Non-income producing security
* Cost for federal income tax purposes is the same as
for financial statement purposes. Net unrealized
appreciation consists of:
Gross Unrealized
Appreciation $ 28,677,764
Gross Unrealized
Depreciation (381,904)
------------
Net Unrealized
Appreciation $ 28,295,860
============
See Accompanying Notes to Financial Statements
124
<PAGE>
Pilgrim
International
Core Growth
Fund
PORTFOLIO OF INVESTMENTS BY INDUSTRY as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Percentage of
Industry Net Assets
- -------- ----------
Advertising 1.42%
Aerospace/Defense 0.15%
Auto Manufacturers 0.84%
Banks 3.94%
Building Materials 0.78%
Chemicals 1.04%
Commercial Services 0.70%
Computers 4.31%
Diversified Financial Services 2.62%
Electrical Components & Equipment 0.95%
Electronics 9.36%
Engineering & Construction 0.67%
Food 1.02%
Forest Products & Paper 0.70%
Hand/Machine Tools 0.51%
Health Care 1.55%
Home Furnishings 2.15%
Insurance 2.92%
Iron/Steel 1.54%
Leisure Time 0.37%
Machinery-Diversified 1.98%
Media 5.25%
Metal Fabricate/Hardware 0.75%
Metals-Diversified 0.42%
Mining 0.87%
Manufacturing 1.43%
Oil & Gas Producers 3.70%
Oil & Gas Services 0.90%
Pharmaceuticals 1.16%
Retail 2.27%
Semiconductors 6.55%
Software 5.36%
Telecommunication Equipment 8.87%
Telecommunications 13.36%
Telephone 7.07%
Tobacco 0.00%
Transportation 2.09%
Short-term Investments 0.38%
Other Assets and Liabilities, Net 0.05%
-------
NET ASSETS 100.00%
=======
See Accompanying Notes to Financial Statements
125
<PAGE>
Pilgrim
International
SmallCap Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
COMMON STOCKS: 90.43%
AUSTRALIA: 1.40%
556,400 @ Solution 6 Holdings, Ltd. $ 6,064,977
-----------
Total Australia 6,064,977
-----------
BRAZIL: 0.24%
26,936 Cia Siderurgica Nacional 1,045,186
-----------
Total Brazil 1,045,186
-----------
CANADA: 2.48%
127,300 @ Anderson Exploration 1,519,671
33,600 @ Celestica, Inc. 1,864,800
51,200 @ Certicom Corp. 3,118,062
113,200 @ Clearnet
Communications
Class A 3,891,250
17,400 @ Descartes Systems Group 382,318
-----------
Total Canada 10,776,101
-----------
CHINA: 0.08%
12,300 @ Qiao Xing Universal
Telephone, Inc. 345,938
-----------
Total China 345,938
-----------
DENMARK: 0.82%
20,150 @ Vestas Wind Systems 3,571,052
-----------
Total Denmark 3,571,052
-----------
FINLAND: 1.22%
150,000 @ Perlos OYJ 5,289,375
-----------
Total Finland 5,289,375
-----------
FRANCE: 13.47%
6,100 Altran Technologies SA 3,687,450
6,200 Bouygues 3,941,542
28,000 @ Business Objects 3,741,500
33,000 Compagnie Generale 2,161,088
16,000 FI System 4,868,240
20,600 Galeries Lafayette 3,420,342
14,484 Havas Advertising 6,172,682
30,400 Hermes Int'l 4,588,074
32,300 @ Infogrames Entertainment 5,336,929
13,300 Metropole Television 6,592,677
41,200 Pechiney SA-A SHS 2,945,064
175,100 Rhodia SA 3,958,713
192,000 Usinor Sacilor 3,607,656
36,600 @ Wavecom SA ADR 3,467,850
-----------
Total France 58,489,807
-----------
GERMANY: 12.43%
40,300 Aixtron $ 5,676,195
63,400 EM.TV &
Merchandising AG 4,183,845
68,800 @ Epcos AG 5,129,384
190,000 FAG Kugelfischer
Georg Schaefer AG 1,741,968
47,450 Heideleberger Zement AG 3,681,052
43,400 Hochtief AG 1,622,216
15,400 @ Intershop Communications 4,406,402
61,840 Kamps AG 4,298,962
11,900 @ Kamps AG New 797,285
32,800 Kinowelt Medien AG 2,015,806
38,500 @ Primacom AG 2,342,841
53,000 @ Ricardo de AG 6,274,206
34,100 SGL Carbon AG 2,250,302
54,100 @ Singulus Technologies 3,406,609
28,100 @ Software AG 1,712,800
75,900 @ Telegate AG 4,419,923
-----------
Total Germany 53,959,796
-----------
GREECE: 0.15%
10,900 Titan Cement Co. 644,822
-----------
Total Greece 644,822
-----------
HONG KONG: 4.91%
2,848,000 @ Computer & Technologies 3,517,180
1,310,200 Dickson Concepts Int'l 1,651,760
3,135,000 Founder Hong Kong, Ltd. 3,831,286
1,205,000 Global Tech Holdings, Ltd. 1,395,124
32,300 @ I-cable Communications ADR 809,519
476,500 Johnson Electric Holdings 3,058,770
2,042,000 Legend Holdings, Ltd. 5,069,866
3,708,000 Shun Tak Holdings, Ltd. 705,968
2,224,000 Timeless Software, Ltd. 1,287,451
-----------
Total Hong Kong 21,326,924
-----------
INDIA: 0.08%
25,000 @ HCL Technologies, Ltd. 333,333
-----------
Total India 333,333
-----------
INDONESIA: 0.00%
500 @ PT Jaya Real Property 73
-----------
Total Indonesia 73
-----------
ISRAEL: 1.53%
59,800 BATM Advanced
Communications, Ltd. $ 4,934,881
34,400 Nice Systems, Ltd. 1,692,050
-----------
Total Israel 6,626,931
-----------
ITALY: 0.72%
183,733 Gruppo Editoriale
L'Espresso 2,126,929
282,200 Saipem SpA 1,020,696
-----------
Total Italy 3,147,625
-----------
JAPAN: 21.51%
16,000 Alpha Systems, Inc. 3,363,974
2,800 Bellsystem 24, Inc. 3,066,693
9,000 Benesse Corp. 2,165,069
7,500 Disco Corp. 1,738,216
12,900 Drake Beam Morin Japan, Inc. 4,200,763
7,000 Fancl Corp. 1,875,611
18,000 Fast Retailing Co., Ltd. 7,322,511
384,000 Fukuyama Transporting Co. 2,760,023
5,500 Funai Electric Co. 3,237,825
22,000 Gulliver Int'l Co. 1,979,269
18,700 Hirose Electric Co., Ltd. 4,189,488
29,000 Jafco Co., Ltd. 10,351,066
39,800 Justsystems Corp. 2,413,065
10,650 Nichii Gakkan Co. 2,081,884
30,100 Nippon System
Development 4,385,781
109,000 Nitto Denko Corp. 5,446,802
35,000 Q'sai Co., Ltd. 2,190,495
12,000 Ryohin Keikaku Co., Ltd. 2,406,806
500 Softbank Technology Corp. 1,153,921
21,700 Sunkus & Associates 950,675
32,000 Toyo Information Systems 2,253,081
35,000 Trans Cosmos 14,922,746
10,800 Tsuruha Co., Ltd. 1,425,778
248,000 Uchida Yoko Co. 1,515,744
659,000 Yaskawa Electric Corp. 4,678,604
34,600 Zuken, Inc. 1,322,961
-----------
Total Japan 93,398,851
-----------
MEXICO: 0.34%
202,138 @ Corp. Interamericana
de Entretenmiento
S.A. Class B 804,979
168,784 @ Corp. Interamericana
de Entretenmiento
S.A. Class L 657,058
-----------
Total Mexico 1,462,037
-----------
See Accompanying Notes to Financial Statements
126
<PAGE>
Pilgrim
International
SmallCap Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
NETHERLANDS: 2.43%
143,900 @ ASM Int'l N.V. $ 3,309,700
100,000 @ BE Semiconductor
Industries N.V. 1,435,688
164,600 @ VersaTel Telecom Int'l N.V. 5,804,208
------------
Total Netherlands 10,549,596
------------
NORWAY: 0.77%
67,000 @ Netcom Asa 3,335,200
------------
Total Norway 3,335,200
------------
SINGAPORE: 0.59%
309,900 Datacraft Asia, Ltd. 2,572,170
------------
Total Singapore 2,572,170
------------
SOUTH KOREA: 0.97%
61,900 @ Korea Thrunet Co., Ltd.
Class A 4,201,463
------------
Total South Korea 4,201,463
------------
SPAIN: 2.07%
44,000 Acerinox SA 1,755,468
115,000 @ Amadeus Global Travel
Distribution SA 1,824,834
53,800 @ Sogecable 3,436,502
36,000 @ Terra Networks SA 1,967,648
------------
Total Spain 8,984,452
------------
SWEDEN: 4.63%
119,000 Allgon AB Class B 2,363,248
127,300 @ Cell Network AB 3,545,294
39,500 Enea Data AB 3,040,282
25,000 @ Framtidsfabriken AB 4,524,142
87,400 @ Modern Times Group
Class B 4,334,105
72,100 @ Ortivus AB Class B 354,997
1,471,900 Rottneros AB 1,954,485
------------
Total Sweden 20,116,553
------------
SWITZERLAND: 2.38%
420 @ Kudelski SA 2,508,330
1,200 Publigroupe SA 1,188,156
3,200 Sez Holdings AG 1,792,418
5,100 Straumann Holdings 2,988,118
4,020 @ Synthes-Stratec, Inc. 1,842,321
------------
Total Switzerland 10,319,343
------------
UNITED KINGDOM: 14.87%
60,500 @ Arm Holdings PLC $ 4,052,855
27,700 @ Arm Holdings PLC ADR 5,304,550
40,700 @ Autonomy Corp. 1,973,950
70,600 @ Baltimore Technologies 5,854,690
122,500 Capital Radio PLC 2,966,321
155,100 @ Celltech Chiroscience 1,333,891
31,300 CMG PLC 2,322,650
897,500 Cookson Group 3,761,314
77,400 @ Dialog Semiconductor PLC 5,614,596
26,200 @ Eidos PLC 2,310,485
53,000 Filtronic PLC 1,809,521
233,500 @ Future Network PLC 3,220,970
58,000 @ Independent Energy
Holdings ADR 1,932,125
46,700 @ Jazztel PLC ADR 3,041,338
351,200 @ Kingston
Communication PLC 4,333,110
330,000 Pace Micro Technology PLC 2,816,708
526,100 Photo-Me Int'l 2,787,950
168,074 @ Powderject
Pharmaceuticals PLC 2,236,875
57,700 Psion PLC 2,416,270
395,700 Saatchi & Saatchi PLC 2,385,051
72,400 @ Shire Pharmaceuticals 2,108,650
------------
Total United Kingdom 64,583,870
------------
18,400 @ Opentv Corp. 1,476,600
------------
Total United States 1,476,600
------------
Total Common Stock
(Cost $240,500,284) 392,622,075
------------
PREFERRED STOCKS: 0.76%
Germany: 0.76%
11,100 Marschollek Lautenschla 3,299,059
------------
Total Preferred Stocks
(Cost $2,266,994) 3,299,059
------------
Total Long-Term
Investments (Cost
$242,767,278) 395,921,134
------------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 7.32%
Repurchase Agreement: 7.32%
$31,803,000 State Street Bank & Trust
Repurchase Agreement,
3.00% due 01/03/00
(Collateralized by
$32,480,000 U.S.
Treasury Notes, 6.125%
Market Value
$32,439,400, Due
08/15/07) $ 31,803,000
-------------
Total Short-Term
Investments (Cost
$31,803,000) 31,803,000
-------------
Total Investments
in Securities
(Cost
$274,570,278)* 98.51% 427,724,134
Other Assets and
Liabilities, Net 1.49% 6,478,455
------ -------------
Net Assets 100.00% $ 434,202,589
====== =============
@ Non-income producing security
* Cost for federal income tax purposes is the same as
for financial statement purposes. Net unrealized
appreciation consists of:
Gross Unrealized Appreciation $ 157,982,142
Gross Unrealized Depreciation (4,828,286)
-------------
Net Unrealized Appreciation $ 153,153,856
=============
See Accompanying Notes to Financial Statements
127
<PAGE>
Pilgrim
International
SmallCap Growth
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Percentage of
Industry Net Assets
- -------- ----------
Advertising 2.24%
Apparel 1.06%
Building Materials 1.00%
Chemicals 1.43%
Commercial Services 3.17%
Computers 8.86%
Cosmetics/Personal Care 0.43%
Distribution/Wholesale 0.38%
Diversified Financial Services 0.76%
Electric 0.44%
Electrical Components & Equipment 2.22%
Electronics 7.37%
Engineering & Construction 2.13%
Entertainment 0.34%
Food 1.68%
Forest Products & Paper 0.45%
Hand/Machine Tools 0.40%
Health Care 1.19%
Iron/Steel 1.47%
Machinery-Diversified 0.78%
Media 7.19%
Metal Fabricate/Hardware 1.18%
Manufacturing 1.91%
Office/Business Equipment 0.35%
Oil & Gas Producers 0.35%
Oil & Gas Services 0.24%
Pharmaceuticals 1.31%
Real Estate 0.00%
Retail 5.80%
Semiconductors 7.07%
Software 15.38%
Technology 0.08%
Telecommunication Equipment 1.64%
Telecommunications 5.95%
Telephone 1.34%
Transportation 1.22%
Venture Capital 2.38%
Short-term Investments 7.32%
Other Assets and Liabilities, Net 1.49%
-------
NET ASSETS 100.00%
=======
See Accompanying Notes to Financial Statements
128
<PAGE>
Pilgrim
Emerging
Countries
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
COMMON STOCK: 96.19%
BRAZIL: 9.10%
86,300 Aracruz Celulose SA ADR $ 2,265,375
50,622 Cia Siderurgica Nacional 1,964,268
269,900 Embratel Participacoes
ADR 7,354,775
139,300 Globo Cabo S.A. 2,507,400
38,400 Tele Centro Sul
Participacoes ADR 3,484,800
147,300 Tele Norte Leste
Participacoes 3,756,150
-----------
Total Brazil 21,332,768
-----------
CHINA: 0.89%
2,116,000 @ China Southern Airlines 462,752
5,801,000 @ Yizheng Chemical Fibre 1,623,101
-----------
Total China 2,085,853
-----------
CZECH REPUBLIC: 0.79%
36,480 @ Ceske Radiokomunikace GDR 1,331,520
91,000 @ Komercni Banka AS GDR 516,835
-----------
Total Czech Republic 1,848,355
-----------
EGYPT: 2.11%
67,000 @# Al-Ahram Beverages GDR 1,336,750
88,600 Commercial Int'l Bank 1,298,146
50,300 @ Mobinil-Egyptian
Mobile 2,323,292
-----------
Total Egypt 4,958,188
-----------
GREECE: 2.55%
31,900 Alpha Credit Bank 2,507,109
31,728 Intracom S.A. 1,454,273
34,000 Titan Cement Co. 2,011,371
-----------
Total Greece 5,972,753
-----------
HONG KONG: 1.47%
936,000 China Merchants Holdings 770,618
429,400 @ China Telecom, Ltd. 2,684,613
-----------
Total Hong Kong 3,455,231
-----------
HUNGARY: 1.41%
48,700 Matav Rt ADR 1,753,200
81,000 Tiszai Vegyi Kombinat Rt 1,546,340
-----------
Total Hungary 3,299,540
-----------
INDIA: 9.75%
40,000 @ HCL Technologies, Ltd. 533,333
21,300 Hindalco Industries GDR 503,745
48,900 Hindalco Industries, Ltd. 904,931
43,800 @ Hindustan Lever, Ltd. 2,265,517
36,840 @ Infosys Technologies, Ltd. 12,293,762
645,800 @ Reliance Industries, Ltd. 3,469,505
44,300 Satyam Computer Services 2,239,442
26,500 # Videsh Snachar Nigam, Ltd. 657,200
-----------
Total India 22,867,435
-----------
ISRAEL: 5.44%
671,900 Bank Hapoalim, Ltd. 2,095,740
500,200 Bank Leumi Le-Israel 1,053,788
30,600 @ Ectel, Ltd. 558,450
20,100 @ Gilat Satellite Networks 2,386,875
48,000 @ Matav Cable
Communications 1,389,577
30,900 @ Nice Systems, Ltd. 1,519,894
14,300 @ Orckit Communications, Ltd. 490,669
74,200 @ Partner
Communications 1,919,925
31,200 @ Radware, Ltd. 1,345,500
-----------
Total Israel 12,760,418
-----------
MEXICO: 11.20%
398,000 @ Corp. Interamericana
de Entretenmiento
S.A. Class L 1,549,371
1,055,430 @ Corp. Interamericana
de Entretenmiento
S.A. Class B 4,203,064
624,900 @ Grupo Carso Global
Telecom S.A. 5,851,555
366,000 @ Grupo Financiero
Inbursa 1,494,113
244,000 Grupo Mexico S.A. 1,205,303
562,000 @ Grupo Sanborns S.A. 1,241,728
5,000 @ Grupo Televisa S.A. 168,341
25,400 @ Grupo Televisa S.A.
GDR 1,733,550
61,000 Telefonos de Mexico 6,862,500
13,000 Tubos de Acero de
Mexico ADR 176,313
199,000 TV Azteca S.A. de CV 1,791,000
-----------
Total Mexico 26,276,838
-----------
POLAND: 0.34%
23,800 Softbank S.A. GDR 793,337
-----------
Total Poland 793,337
-----------
RUSSIA: 3.21%
41,500 Lukoil Holding ADR $ 2,158,000
191,100 Surgutneftegaz ADR 3,248,700
47,500 @ Vimpel-
Communications ADR 2,119,688
-----------
Total Russia 7,526,388
-----------
SINGAPORE: 5.43%
460,100 Datacraft Asia, Ltd. 3,818,830
83,736 DBS Group Holdings, Ltd. 1,372,556
1,973,000 @ International Press
Softcom, Ltd. 1,036,551
293,000 Natsteel Electronics, Ltd. 1,548,124
161,000 @ Pacific Century Regional
Developments, Ltd. 2,310,357
230,700 Venture Manufacturing, Ltd. 2,645,674
-----------
Total Singapore 12,732,092
-----------
SOUTH AFRICA: 4.90%
141,000 Datatec, Ltd. 2,490,866
376,565 @ Dimension Data
Holdings, Ltd. 2,364,442
50,500 Impala Platinum Holdings 2,045,466
257,600 @ Ixchange Technology 1,089,484
178,200 Sappi, Ltd. 1,762,434
212,100 Sasol, Ltd. 1,742,342
-----------
Total South Africa 11,495,034
-----------
SOUTH KOREA: 15.78%
9,050 @ Dacom Corp. 4,662,483
69,210 Housing & Commercial
Bank Korea 2,194,240
133,724 Hyundai Motor 2,119,799
50,580 @ Hyundai Motor Co., Ltd. GDR 547,276
108,870 Kookmin Bank 1,706,637
37,800 Korea Telecom Corp. ADR 2,825,550
1,350 Korea Telecom Corp. 212,814
44,330 LG Chemical 1,401,538
101,130 LG Electronics 4,185,918
40,700 Pohang Iron & Steel Co. ADR 1,424,500
123,030 Samsung Corp. 1,841,929
38,261 Samsung Electronics Co. 8,962,947
1,370 SK Telecom Co., Ltd. 4,910,524
-----------
Total South Korea 36,996,155
-----------
See Accompanying Notes to Financial Statements
129
<PAGE>
Pilgrim
Emerging
Countries
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
TAIWAN: 11.64%
345,000 @ Accton Technology Corp. $ 1,170,703
199,900 @ Accton Technology
Corp. GDR 1,454,273
135,000 Ambit Microsystems Corp. 1,002,230
75,200 @ ASE Test, Ltd. 1,833,000
166,000 Asustek Computer, Inc. 1,750,709
23,250 Cathay Life Insurance 55,930
1,143,000 China Steel 844,913
64,200 China Steel Corp. GDR 961,395
583,600 @ Hon Hai Precision Industry 4,351,200
323,000 @ Systex Corp. 2,202,390
1,537,000 @ Taiwan Semiconductor ADR 8,178,397
257,000 @ United Microelectronics 917,126
108,600 @# Winbound Electronics
Corp. GDR 2,580,770
------------
Total Taiwan 27,303,036
------------
TURKEY: 4.82%
1,824,800 Arcelik A.S. 1,194,329
6,440,500 Haci Omer Sabanci Holdings 3,740,335
7,660,100 Hurriyet Gazetecilic ve
Matbaacilik A.S. 1,412,260
12,259,600 Turkiye Garanti
Bankasi A.S. 1,853,406
10,021,700 Yapi ve Kredi Bankasi A.S. 3,094,828
------------
Total Turkey 11,295,158
------------
34,400 Anglo American PLC $ 2,221,521
287,900 Antofagasta Holdings PLC 2,019,464
775,100 Billiton PLC 4,540,165
------------
Total United Kingdom 8,781,150
------------
15,800 @ Comverse Technology, Inc. 2,287,050
25,500 @ MIH, Ltd. 1,504,500
------------
Total United States 3,791,550
------------
Total Common Stock
(Cost $148,045,646) 225,571,279
------------
PREFERRED STOCKS: 3.62%
BRAZIL: 3.62%
54,499 @ Eletropaulo
Metropolitan 3,534,570
19,467 Petroleo Brasileiro S.A. 4,963,971
------------
Total Preferred Stocks
(Cost $4,811,392) 8,498,541
------------
Total Long-Term
Investments (Cost
$152,857,038) $234,069,820
------------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 0.59%
Repurchase Agreement: 0.59%
$1,379,000 State Street Bank & Trust
Repurchase Agreement,
3.00% due 01/03/00
(Collateralized by
$1,125,000 U.S. Treasury
Bonds, 8.875% Market
Value $1,407,656, Due
02/15/19) $ 1,379,000
------------
Total Short-Term
Investments (Cost
$1,379,000) 1,379,000
------------
Total Investments
in Securities
(Cost $154,236,038)* 100.40% 235,448,820
Other Assets and
Liabilties, Net -0.40% (935,552)
------ ------------
Net Assets 100.00% $234,513,268
====== ============
@ Non-income producing security
# Securities with purchases pursuant to Rule 144A, under the
Securities Act of 1933 may not be resold subject to that
rule except to qualified institutional buyers.
* Cost for federal income tax purposes is the same as
for financial statement purposes. Net unrealized
appreciation consists of:
Gross Unrealized Appreciation $84,391,246
Gross Unrealized Depreciation (3,178,464)
-----------
Net Unrealized Appreciation $81,212,782
===========
See Accompanying Notes to Financial Statements
130
<PAGE>
Pilgrim
Emerging
Countries
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Percentage of
Industry Net Assets
- -------- ----------
Airlines 0.20%
Auto - Cars/Light Trucks 0.23%
Auto Manufacturers 0.90%
Banks 7.32%
Basic Materials 1.79%
Building Materials 0.86%
Chemicals 3.76%
Computers 4.13%
Consumer - Cyclical 3.21%
Consumer - Non-cyclical 0.57%
Diversified Financial Services 0.64%
Electric 1.51%
Electrical Components & Equipment 6.03%
Electronic Components -- Semiconductors 1.10%
Electronics 5.17%
Energy 2.30%
Entertainment 2.45%
Financial 0.22%
Forest Products & Paper 0.75%
Holding Companies - Diversified 1.59%
Home Furnishings 0.51%
Household Products/Wares 0.97%
Industrial 0.07%
Insurance 0.02%
Investment Companies 0.95%
Iron/Steel 1.20%
Media 1.27%
Metals-Diversified 1.77%
Mining 2.80%
Oil & Gas Producers 2.86%
Real Estate 0.99%
Retail 0.53%
Semiconductors 3.88%
Software 7.10%
Steel - Producers 0.41%
Technology 8.22%
Telecommunication Equipment 2.25%
Telecommunications 6.31%
Telephone 2.50%
Utilities 10.47%
Short-term Investments 0.59%
Other Assets and Liabilities, Net -0.40%
-------
NET ASSETS 100.00%
=======
See Accompanying Notes to Financial Statements
131
<PAGE>
Pilgrim
Asia-Pacific
Equity
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
COMMON STOCKS: 92.55%
CHINA: 3.95%
2,000,000 @ China Shipping Development $ 396,218
1,000,000 @ Great Wall Technology
Co. Class H 971,248
1,000,000 Yanzhou Coal Mining Co. 276,581
-----------
Total China 1,644,047
-----------
HONG KONG: 34.58%
6,200,000 @ AWT Holdings Co., Ltd. 171,480
150,000 Bank Of East Asia 416,801
280,000 Cable & Wireless Hong
Kong Telecom, Ltd. 808,645
250,000 Cathay Pacific Airways 445,424
1,200,000 @ CCT Telecom
Holdings, Ltd. 887,631
160,000 Cheung Kong
Holdings, Ltd. 2,032,546
300,000 @ China Telecom 1,875,603
150,000 Citic Pacific, Ltd. 564,418
150,000 Dah Sing Financial 598,186
152,000 Hutchison Whampoa, Ltd. 2,209,558
750,000 JCG Holdings, Ltd. 422,107
900,000 @ Pacific Century
Cyberworks, Ltd. 2,095,581
180,000 Sun Hung Kai
Properties, Ltd. 1,875,603
-----------
Total Hong Kong 14,403,583
-----------
INDONESIA: 1.52%
90,000 PT Gudang Garam 242,147
85,000 @ PT Indofood Sukses
Makmur TBK 106,440
1,700,000 @ PT Matahari Putra Prima 285,868
-----------
Total Indonesia 634,455
-----------
PHILIPPINES: 0.95%
40,000 Bank of Philippine Island 115,136
5,000 Philippine Long
Distance Telephone Co. ADR 129,375
800,000 SM Prime Holdings, Inc. 150,868
-----------
Total Philippines 395,379
-----------
SINGAPORE: 16.11%
60,000 City Developments, Ltd. $ 351,246
90,335 DBS Group Holdings, Ltd. 1,480,724
30,000 Natsteel Electronics, Ltd. 158,511
270,000 Neptune Orient Lines, Ltd. 361,513
75,600 Overseas-Chinese Bank 694,494
70,000 @ Pacific Century Regional
Developments, Ltd. 1,004,503
63,000 Singapore Airlines, Ltd. 714,920
26,000 Singapore Press
Holdings, Ltd. 563,554
200,000 Singapore Technologies
Engineering, Ltd. 309,817
250,000 Singapore Telecommunication 516,361
36,960 United Overseas Bank 326,216
20,000 Venture Manufacturing 229,361
-----------
Total Singapore 6,711,220
-----------
35,000 H&CB 1,109,643
30,000 Korea Electric Power 929,987
32,000 Korea Technology
Banking Co. 309,996
17,500 Korea Telecom Corp. ADR 1,308,125
16,000 L.G. Chemical, Ltd. 505,856
10,000 L.G. Electronics, Inc. 413,915
6,950 Pohang Iron & Steel Co. 765,081
10,000 Samsung Electronics Co. 2,342,580
-----------
Total South Korea 7,685,183
-----------
TAIWAN: 15.01%
53,884 @ Acer Inc. GDR 767,847
66,500 Asustek Computer, Inc.
GDR 926,012
44,455 China Steel Corp. GDR 665,714
21,420 @ Far Eastern Textile, Ltd.
GDR 514,080
25,900 @ Hon Hai Precision
Industry Co., Ltd. GDR 500,518
18,380 @ Ritek Corp. GDR 212,749
22,390 Synnex Technology GDR 588,857
42,230 @ Taiwan Semiconductor ADR 1,900,350
22,802 # Uni-President
Enterprises Co. GDR 176,716
-----------
Total Taiwan 6,252,843
-----------
THAILAND: 1.98%
25,000 Advanced IFO Services $ 421,333
-----------
5,000 Siam Cement Public Co. 166,933
141,200 Thai Farmers Bank Public Co. 237,216
-----------
Total Thailand 825,482
-----------
Total Common Stocks
(Cost $26,404,972) 38,552,192
-----------
PREFERRED STOCKS: 1.21%
THAILAND: 1.21%
410,000 @ Siam Commercial Bank 502,933
-----------
Total Preferred Stocks
(Cost $332,368) 502,933
-----------
See Accompanying Notes to Financial Statements
132
<PAGE>
Pilgrim
Asia-Pacific
Equity
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Number of
Warrants Value
-------- -----
WARRANTS: 0.31%
THAILAND: 0.31%
274,000 @ Siam Commercial Bank
Warrants $ 127,867
---------
Total Warrants
(Cost $0) 127,867
---------
Principal
Amount Value
- ------ -----
CONVERTIBLE BONDS: 2.54%
TAIWAN: 2.54%
$ 460,000 United Microelectronics,
0.25%, due 05/16/04 1,060,300
-----------
Total Convertible Bonds
(Cost $695,900) 1,060,300
-----------
Total Long-Term Investments
(Cost $27,433,240) 40,243,292
-----------
SHORT-TERM INVESTMENTS: 1.06%
Repurchase Agreement: 1.06%
$ 443,000 State Street Bank & Trust
Repurchase Agreement,
3.00% due 01/03/00
(Collateralized by
$375,000 U.S. Treasury
Bonds, 8.500% due
02/15/20, Market Value
$455,625) $ 443,000
-----------
Total Short-Term Investments
(Cost $443,000) 443,000
-----------
Total Investments
(Cost $27,876,240)* 97.67% 40,686,292
Other Assets and
Liabilities, Net 2.33% 969,857
------ -----------
Net Assets 100.00% $41,656,149
====== ===========
@ Non-income producing security
# Securities with purchases pursuant to Rule 144A, under the Securities Act
of 1933 may not be resold subject to that rule except to qualified
institutional buyers.
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
* Cost for federal income tax purposes is the same as for financial statement
purposes. Net unrealized appreciation consists of:
Gross Unrealized Appreciation $13,205,676
Gross Unrealized Depreciation (395,624)
-----------
Net Unrealized Appreciation $12,810,052
Percentage of
Industry Net Assets
- ---------- -------------
Airlines 2.79%
Banks 13.47%
Building Materials 0.40%
Chemicals 1.22%
Commercial Services 0.66%
Computers 3.77%
Diversified Finan Serv 1.01%
Electric 2.23%
Electrical Components & Equipment 6.62%
Electronic Connectors 1.20%
Electronics 5.49%
Engineering & Construction 0.74%
Food 0.68%
Holding Companies-Diversified 6.66%
Iron/Steel 3.43%
Media 1.35%
Real Estate 13.00%
Retail 0.69%
Semiconductors 7.11%
Software 5.03%
Telecommunication Equip 2.13%
Telecommunications 11.84%
Telephone 0.31%
Textile - Products 1.23%
Tobacco 0.58%
Transportation 2.23%
Venture Capital 0.74%
Short-term Investment 1.06%
Other Assets and Liabilities, Net 2.33%
-------
NET ASSETS 100.00%
=======
See Accompanying Notes to Financial Statements
133
<PAGE>
Pilgrim
Government
Securities Income
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Principal Market
Amount Rate Maturity Value
- ------ ---- -------- -----
U.S. GOVERNMENT SECURITIES: 95.02%
U.S. Government Agency
Notes: 6.00%
$ 2,000,000 FHLMC 5.50% 2002 $ 1,951,880
-----------
1,951,880
-----------
Federal Home Loan Mortgage
Corporation: 8.95%
1,983,857 FHLMC 7.00% 2005 1,922,476
135,829 FHLMC 8.50% 2005 138,927
179,160 FHLMC 9.00% 2006- 185,013
2021
580,220 FHLMC 9.50% 2005- 603,325
2014
60,039 FHLMC 9.91% 2020 63,021
-----------
2,912,762
-----------
Federal National Mortgage
Association: 51.66%
1,000,000 FNMA 5.64% 2008 895,370
1,534,102 FNMA 6.16% 2006 1,459,075
6,650,966 FNMA 6.50% 2014- 6,332,342
2028
2,574,843 FNMA 6.95% 2006 2,548,692
2,288,026 FNMA 7.50% 2028 2,262,286
296,758 FNMA 8.00% 2023 299,168
439,678 FNMA 8.50% 2017- 454,093
2021
96,442 FNMA 9.00% 2017 100,390
289,949 FNMA 9.25% 2009- 302,362
2016
97,572 FNMA 9.75% 2008 103,077
712,252 FNMA 10.00% 2007- 759,897
2020
351,343 FNMA 11.00% 2017 373,467
449,087 FNMA 11.50% 2019 493,587
38,568 FNMA 12.00% 2007 41,093
79,110 FNMA 12.50% 2007 84,190
280,525 FNMA 13.50% 2007- 312,519
2012
-----------
16,821,608
-----------
Government National Mortgage
Association: 22.35%
4,170,366 GNMA 6.50% 2026 3,935,149
918,561 GNMA 7.00% 2016- 892,900
2017
500,990 GNMA 7.50% 2023 495,354
778,067 GNMA 8.00% 2023- 791,868
2024
690,507 GNMA 9.00% 2013- 728,522
2022
351,312 GNMA 9.25% 2016- 369,311
2021
57,164 GNMA 13.00% 2014 65,148
-----------
7,278,252
-----------
$1,000,000 FFCB 5.88% 2001 $ 991,250
1,000,000 TEN. 6.00% 2002 983,750
-----------
VALLEY AUTHORITY
1,975,000
-----------
Total U.S. Government
Securities (Cost
$31,877,143) 30,939,502
-----------
SHORT-TERM INVESTMENTS: 4.76%
Repurchase Agreement: 4.76%
$1,550,000 State Street Bank & Trust
Repurchase Agreement,
3.0% due 01/03/00
(Collateralized by
$1,305,000 U.S. Treasury
Notes, 8.50% due
02/15/20 Market Value
$1,585,575) $ 1,550,000
Total Short-Term
Investments (Cost
$1,550,000) 1,550,000
Total Investments
in Securities
(Cost $33,427,143)* 99.78% 32,489,502
Other Assets and
Liabilities, Net 0.22% 72,711
------- ------------
Net Assets 100.00% $ 32,562,213
======= ============
* Cost for federal income tax purposes is the same as
for financial statement purposes. Net unrealized
depreciation consists of:
Gross Unrealized Appreciation $ 42,600
Gross Unrealized Depreciation (980,241)
------------
Net Unrealized Depreciation $ (937,641)
============
See Accompanying Notes to Financial Statements
134
<PAGE>
Pilgrim
Strategic
Income
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Principal Market
Amount Value
- ------ -----
CORPORATE BONDS: 48.88%
Broadcast, Radio & Television: 2.54%
$220,000 CD Radio, Inc., 0/15.000%,
due 12/1/2007 $ 109,725
195,000 News America Holdings,
8.875%, due 04/26/23 205,512
----------
315,237
----------
Cable Television: 2.05%
450,000 # United Pan-Europe
Communications, 0/12.500%
due 8/01/09 254,250
----------
Communications -- Wireline: 6.85%
250,000 # Globenet Communications
Group, Ltd. 13.000%,
due 07/15/07 255,000
100,000 Global Telesystems Group,
Inc., 9.875%, due 02/15/05 94,750
500,000 ICG Services, Inc.,
0/10.000%, due 2/15/08 249,375
250,000 MGC Communications, Inc.,
13.000%, due 10/01/04 251,875
----------
851,000
----------
Communications -- Internet: 4.60%
500,000 Covad Communications Group,
0/13.500%, due 03/15/08 312,500
250,000 # Psinet Inc., 11.000%,
due 8/01/09 258,125
----------
570,625
----------
Communications -- Wireless: 7.25%
500,000 Pinnacle Holdings, Inc.,
0/10.000% due 03/15/08 326,875
250,000 Winstar Communications,
Inc., 15.000%, due 03/01/07 336,875
375,000 Crown Castle International
Corp. 0/11.250%, due
8/01/11 235,781
----------
899,531
----------
Entertainment & Leisure: 2.13%
$350,000 Ascent Entertainment
Group, 0/11.875%,
due 12/15/04 $ 263,813
----------
Financial - Other Services: 3.96%
500,000 Caterpillar Financial
Services Corp.
6.875%, due 8/01/04 491,575
----------
Food Stores: 2.31%
300,000 Albertson's, Inc. 286,827
----------
Gaming & Lottery: 1.96%
250,000 Majestic Star Casino,
LLC, 10.875%, due
07/01/06 243,125
----------
Metals - Diversified: 1.51%
199,304 Scotia Pacific Co. LLC,
6.550% due 01/20/07 187,892
----------
Oil: 4.40%
60,000 # Cerro Negro Finance, Ltd.,
7.330%, due 12/01/09 47,201
500,000 Occidental Petroleum,
7.650%, due 2/15/06 499,215
----------
546,416
----------
Semiconductor/Electronic
Components: 1.54%
200,000 Motorola, Inc.,
6.500%, due 9/1/25 191,156
----------
Telephone - Integrated: 3.19%
400,000 Sprint Capital Corp. 396,316
----------
Transportation
(Air, Bus, Rail): 3.72%
250,000 Atlas Air, Inc., 9.250%,
due 4/15/08 235,000
249,893 Continental Airlines, Inc.,
6.545%, due 02/02/19 227,118
----------
462,118
----------
Utilities: 0.87%
100,000 # East Coast Power LLC,
7.536%, due 06/30/17 88,780
20,000 Enersis S.A., 6.600%,
due 12/1/26 19,017
----------
107,797
----------
Total Corporate Bonds
(Cost $6,152,721) 6,067,678
----------
U.S. TREASURY OBLIGATIONS: 8.37%
Governments: 8.37%
$700,000 U.S. Treasury Note,
5.250%, due 2/15/29 $ 578,809
----------
500,000 Federal Home Loan Bank,
5.863%, due 4/22/09 459,955
----------
Total Governments
(Cost $1,066,442) 1,038,764
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS: 15.80%
Federal Home Loan Mortgage
Corporation: 6.80%
195,874 5.500%, due 01/01/14 182,284
100,565 5.500%, due 02/01/14 93,462
487,744 7.000%, due 06/01/29 472,653
20,967 9.000%, due 06/01/06 21,871
50,428 9.500%, due 11/01/05 52,933
19,564 10.000%, due 10/01/03 20,572
----------
843,775
----------
Federal National Mortgage
Association: 8.96%
97,848 6.500%, due 02/01/09 95,402
940,702 6.500%, due 06/01/14 913,356
27,124 9.500%, due 05/01/07 28,472
24,479 9.500%, due 06/01/05 25,695
23,395 9.500%, due 07/01/06 24,557
23,100 10.000%, due 10/01/05 24,400
----------
1,111,882
----------
Government National Mortgage
Association: 0.04%
3,692 8.500%, due 02/15/21 3,831
441 11.500%, due 02/15/13 467
1,099 11.500%, due 07/15/13 1,228
----------
5,527
----------
Total U.S. Government
Agency Obligations
(Cost $1,992,299) 1,961,184
----------
See Accompanying Notes to Financial Statements
135
<PAGE>
Pilgrim
Strategic
Income
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal Market
Amount Value
- ------ -----
COLLATERALIZED MORTGAGE OBLIGATIONS AND
ASSET-BACKED SECURITIES: 14.58%
Mortgage -- Commercial: 11.46%
$210,000 # Allied Capital Commercial
Mortgage 1998 1 C, 6.710%,
due 12/25/04 $ 199,341
260,000 Commercial Mortgage
Asset Trust 1999 C1
A2, 6.585%, due
7/17/08 245,309
200,000 First Union National
Bank Commercial
Mortgage, 7.390%,
due 11/15/09 198,748
297,502 GMCC 1999 C-3 A1A
6.974%, due 5/15/08 292,896
500,000 MBNA Master Credit
Card Trust 6.350%,
due 12/15/06 487,030
------------
1,423,324
------------
Mortgage -- Residential: 3.12%
300,000 Emergent Home Equity
Loan Trust 7.080%,
due 12/15/28 289,254
100,000 Saxon Asset Securities
Trust 1999 1 AF3,
6.170%, due 8/25/21
97,631
------------
386,885
------------
Total CMO's and
Asset-Backed
Securities (Cost
$1,858,492) 1,810,209
------------
PREFERRED STOCK: 2.11%
$2,667 Concentric Network $ 261,373
------------
Total Preferred Stock
(Cost $240,842) 261,373
------------
MUTUAL FUNDS: 4.16%
64,500 ++ Pilgrim Prime Rate
Trust 516,000
------------
Total Mutual Funds
(Cost $610,654) 516,000
------------
Total Long-Term
Investments: 91.90%
(Cost $11,921,450) $ 11,655,208
------------
SHORT-TERM INVESTMENTS: 5.33%
Repurchase Agreement: 5.33%
$ 662,000 State Street Bank & Trust
Repurchase Agreement,
3.000% due 01/03/00
(Collateralized by
$1,870,000 U.S. Treasury
Notes, 8.500% due
02/15/20, Market Value
$680,400) $ 662,000
------------
Total Short-Term
Investments (Cost
$662,000) 662,000
------------
Total Investments
(Cost $12,583,450)* 99.23% 12,317,208
Other Assets and
Liabilities, Net 0.77% 95,973
------ ------------
Net Assets 100.00% $ 12,413,181
====== ============
@ Non-income producing security
# Securities with purchases pursuant to Rule 144A, under the
Securities Act of 1933 and may not be resold subject to that
rule except to qualified institutional buyers.
++ Related party
* Cost for federal income tax purposes is the same as for financial
statement purposes. Net unrealized depreciation consists of:
Gross Unrealized
Appreciation $ 117,499
Gross Unrealized
Depreciation (383,741)
------------
Net Unrealized
Depreciation $ (266,242)
============
See Accompanying Notes to Financial Statements
136
<PAGE>
Pilgrim
High Yield
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Principal Value
- --------- -----
CORPORATE BONDS: 90.73%
Automotive: 1.96%
$1,000,000 # Holley Performance,
12.250%, due 09/15/07 $ 955,000
7,000,000 JH Heafner Co.,
10.000%, due
05/15/08 6,405,000
-----------
7,360,000
-----------
Business Services: 4.49%
7,000,000 # Allied Waste North
America, 10.000%,
due 08/01/09 6,265,000
5,000,000 Group Maintenance
America, 9.750%,
due 01/15/09 4,975,000
6,000,000 Primark Corp., 9.250%,
due 12/15/08 5,617,500
-----------
16,857,500
-----------
Cable & DBS: 6.04%
4,000,000 Charter Communications
Holdings, 8.625%,
due 04/01/09 3,710,000
6,000,000 Coaxial Communication,
Inc., 10.000%, due
08/15/06 5,910,000
7,000,000 Pegasus Communications,
9.750%, due 12/01/06 7,000,000
6,000,000 Star Choice
Communications,
13.000%, due
12/15/05 6,052,500
-----------
22,672,500
-----------
Chemicals, Plastics, Rubber: 0.70%
7,000,000 Moll Industries,
10.500%, due 07/01/08 2,625,000
-----------
Communications - Internet: 7.84%
7,000,000 Exodus Communications,
Inc., 11.250%, due
07/01/08 7,280,000
8,000,000 Globix Corp.,
13.000%, due 05/01/05 8,100,000
7,500,000 PSINet, Inc., 11.000%,
due 08/01/09 7,762,500
6,500,000 Rhythms Netconnections,
12.750%, due 04/15/09 6,305,000
-----------
29,447,500
-----------
Communications - Wireless: 5.82%
$3,000,000 Crown Castle Int'l
Corp., 9.250%, due
08/01/11 $ 3,007,500
9,000,000 # Nextel Communications,
9.375%, due 11/15/09 8,865,000
6,000,000 Teligent, Inc.,
11.500%, due
12/01/07 5,850,000
4,000,000 # Voicestream Wire Co.,
10.375%, due
11/15/09 4,120,000
-----------
21,842,500
-----------
Communications - Wireline: 15.62%
8,000,000 # Global Crossing
Holdgings, Ltd.,
9.500%, due 11/15/09 7,960,000
5,500,000 # Globenet Communications
Group, Ltd.,
13.000%, due
07/15/07 5,623,750
5,000,000 Hyperion Telecommunication,
12.000%, due 11/01/07 5,287,500
7,000,000 Level 3 Communications,
Inc., 9.125%, due
05/01/08 6,597,500
7,000,000 Metromedia Fiber
Network, 10.000%,
due 11/15/08 7,192,500
7,000,000 MGC Communications,
Inc., 13.000%, due
10/01/04 7,070,000
6,000,000 Nextlink Communications,
10.750%, due
06/01/09 6,210,000
5,000,000 Northeast Optic
Network, 12.750%,
due 08/15/08 5,350,000
7,000,000 Williams Communication
Group, Inc., 10.875%,
due 10/01/09 7,350,000
-----------
58,641,250
-----------
Consumer Products: 2.75%
4,000,000 Bell Sports, Inc.,
11.000%, due 08/15/08 3,960,000
6,000,000 Drypers Corp., 10.250%,
due 06/15/07 4,905,000
4,000,000 Styling Technology
Corp., 10.875%, due
07/01/08 1,480,000
-----------
10,345,000
-----------
Containers, Packaging, Glass: 1.66%
$7,000,000 Russell-Stanley Holding,
Inc., 10.875%, due
02/15/09 $ 6,230,000
-----------
Electronics: 1.80%
3,000,000 Fairchild Semiconductor,
10.375%, due 10/01/07 3,075,000
9,000,000 Merisel, Inc., 12.500%,
due 12/31/04 3,690,000
-----------
6,765,000
-----------
Entertainment & Leisure: 3.94%
5,000,000 Bally Total Fitness
Holdings, 9.875%,
due 10/15/07 4,850,000
5,000,000 Epic Resorts LLC/CAP,
13.000%, due 06/15/05 3,700,000
6,750,000 Hollywood Entertainment,
10.625%, due 08/15/04 6,243,750
-----------
14,793,750
-----------
Finance, Insurance, Banking: 0.75%
3,000,000 MFN Financial Corp.,
10.000%, due 03/23/01 2,831,250
-----------
Food, Beverage & Tobacco: 3.47%
3,000,000 Imperial Holly,
9.750%, due 12/15/07 2,175,000
5,000,000 Luigino's, Inc.,
10.000%, due 02/01/06 4,450,000
7,000,000 Packaged Ice, Inc.,
9.750%, due 02/01/05 6,405,000
-----------
13,030,000
-----------
Gaming & Lottery: 2.59%
6,000,000 International Game
Technology, 8.375%,
due 05/15/09 5,805,000
4,000,000 Majestic Star LLC/CAP,
10.875%, due 07/01/06 3,900,000
-----------
9,705,000
-----------
Health Care: 2.65%
6,000,000 Biovail Corp. Int'l,
10.875%, due 11/15/05 6,300,000
6,000,000 Global Health
Sciences, 11.000%,
due 05/01/08 3,660,000
-----------
9,960,000
-----------
See Accompanying Notes to Financial Statements
137
<PAGE>
Pilgrim
High Yield
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market
Principal Value
- --------- -----
Homebuilding, Building
Materials: 1.47%
$6,000,000 Juno Lighting, Inc.,
11.875%, due
07/01/09 $ 5,535,000
------------
Machinery: 0.61%
4,000,000 Aqua Chem, Inc.
11.250%, due
07/01/09 2,280,000
------------
Manufacturing: 2.41%
5,000,000 Jordan Industries,
10.375%, due 08/01/07 4,950,000
4,000,000 Transportation
Manufacturing Operations,
11.750%, due 05/01/09 4,100,000
------------
9,050,000
------------
Metals & Mining: 1.16%
4,000,000 # Anker Coal Group,
Inc., 14.250%, due
09/01/07 2,200,000
4,250,000 Lodestar Holdings,
Inc., 11.500%, due
05/15/05 2,167,500
------------
4,367,500
------------
Paper & Forest Products: 1.22%
4,500,000 # American Tissue, Inc.,
12.500%, due 07/15/06 4,567,500
------------
Restaurants: 0.60%
3,000,000 Avado Brands, Inc.,
11.750%, due 06/15/09 2,265,000
------------
Retail: 9.04%
6,000,000 Advance Stores Co.,
Inc., 10.250%, due
04/15/08 5,220,000
5,000,000 Ames Department
Stores, 10.000%,
due 04/15/06 4,950,000
6,000,000 Big 5 Corp., 10.875%,
due 11/15/07 5,910,000
8,000,000 CSK Auto, Inc.,
11.000%, due 11/01/06 8,160,000
5,000,000 Jo-Ann Stores, Inc.,
10.375%, due 05/01/07 4,900,000
5,000,000 Tuesday Morning Corp.,
11.000%, due 12/15/07 4,800,000
------------
33,940,000
------------
Retail - Automotive: 3.45%
$6,000,000 Sonic Automotive, Inc.,
11.000%, due 08/01/08 $ 5,760,000
8,000,000 United Auto Group,
Inc., 11.000%, due
07/15/07 7,200,000
------------
12,960,000
------------
Textile & Apparel: 1.14%
5,000,000 Norton McNaughton Group,
12.500%, due 06/01/05 4,275,000
------------
Transportation
(Air, Bus, Rail): 7.55%
7,000,000 # Amtran, Inc., 10.500%,
due 08/01/04 7,000,000
5,000,000 Atlas Air, Inc., 9.250%,
due 04/15/08 4,712,500
6,000,000 Budget Group, Inc.,
9.125%, due
04/01/06 5,580,000
6,000,000 # Railworks Corp.,
11.500%, due
04/15/09 6,090,000
5,000,000 # Worldwide Flight
Service, 12.250%,
due 08/15/07 4,950,000
------------
28,332,500
------------
Total Corporate Bonds
(Cost $363,745,006) 340,678,750
------------
Shares
- ----------------------------------------------------------
COMMON STOCK: 0.14%
Communication -- Wireline: 0.14%
10,778 @ MGC Communications,
Inc. (Cost $70,000) $ 540,921
------------
MUTUAL FUNDS: 0.15%
Finance, Insurance, Banking: 0.15%
68,000 Van Kampen Senior
Income Trust (Cost
$575,705) $ 552,500
------------
Number of
Warrants
- ----------------------------------------------------------
WARRANTS: 0.44%
Cable & DBS: 0.05%
115,800 NatWest - Star Choice
Communications
Warrants $ 208,440
------------
Communications - Internet: 0.39%
5,500 Bell Technology Group
Warrants 1,452,000
------------
Entertainment & Leisure: 0.00%
5,000 Epic Resorts Warrants 0
------------
Metals & Mining: 0.00%
94 @ Anker Coal Group
Warrants 0
Total Warrants (Cost
$ 127,520) 1,660,440
------------
Total Long-Term
Investments (Cost
$364,518,231) 343,432,611
------------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 6.00%
Commercial Paper: 6.00%
$3,665,796 Ford Motor Credit Corp.,
1.000%, due 01/03/00 $ 3,665,796
18,865,807 Union Bank of Switzerland,
4.000%, due 01/03/00 18,865,807
-------------
Total Short-Term
Investments (Cost
$22,531,603) 22,531,603
-------------
Total Investments
in Securities
(Cost $387,049,834)* 97.46% 365,964,214
Other Assets and
Liabilities, Net 2.54% 9,532,806
------ -------------
Total Net Assets 100.00% $ 375,497,020
====== =============
@ Non-income producing security
# Securities with purchases pursuant to Rule 144A, under the
Securities Act of 1933 and may noty be resold subject to that
rule, except to qualified institutional buyers.
* Cost for federal income tax purposes is the same as
for financial statement purposes. Net unrealized
depreciation consists of:
Gross Unrealized Appreciation $ 6,002,365
Gross Unrealized Depreciation (27,087,985)
-------------
Net Unrealized Depreciation $ (21,085,620)
=============
See Accompanying Notes to Financial Statements
138
<PAGE>
Pilgrim
High Yield
Fund II
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Principal Value
- --------- -----
CORPORATE BONDS: 85.60%
Broadcasting, Radio & Television: 4.41%
$3,240,000 CD Radio, Inc.,
0/15.000%, due
12/01/07 $ 1,615,950
2,000,000 Allied Waste North
America, 10.000%,
due 08/01/09 1,785,000
-----------
3,400,950
-----------
Cable & DBS: 9.91%
3,000,000 Charter Communications
Holdings, 0/9.920%,
due 04/01/11 1,766,250
2,000,000 NTL, Inc., 0/9.750%,
due 04/01/08 1,392,500
1,110,000 Pegasus Communications
Corp., 9.625%, due
10/15/05 1,123,875
1,000,000 # Star Choice Communications,
13.000%, due 12/15/05 1,006,250
1,340,000 # United Int'l Holdings,
0/12.500%, due
02/15/08 1,491,750
2,600,000 United Pan-Europe
Communications,
0/10.750%, due
08/01/09 854,250
-----------
7,634,875
-----------
Chemicals, Plastics, Rubber: 1.75%
4,550,000 # Huntsman ICI
Chemicals, 0.000%,
due 12/31/09 1,347,937
-----------
Communications -- Internet: 9.82%
3,000,000 Covad Communications
Group, 0.13.500%,
due 03/15/08 1,875,000
2,000,000 Globix Corp., 13.000%, due
05/01/05 2,020,000
2,000,000 Psinet Inc., 11.000%,
due 08/01/09 2,065,000
3,000,000 # Rhythms Netconnections,
0/13.500%, due 05/15/08 1,601,250
-----------
7,561,250
-----------
Communication - Wireless: 11.56%
$2,250,000 Crown Castle Int'l
Corp., 0/11.250%,
due 08/01/11 $ 1,414,688
2,000,000 # Nextel Communications,
9.375%, due 11/15/09 1,965,000
3,000,000 Pinnacle Holdings,
Inc., 0/10.000%, due
03/15/08 1,961,250
915,000 Telesystem Int'l
Wireless, 0/13.250%,
due 06/30/07 557,006
2,230,000 # Winstar Communications,
Inc., 15.000%, due
03/01/07 3,004,925
-----------
8,902,869
-----------
Communications - Wireline: 20.91%
1,870,000 Colt Telecom Group
PLC, 0/12.000%,
due 12/15/06 1,598,850
1,780,000 Completel Europe NV,
0/14.000%, due
02/15/09 932,275
1,535,000 Global Telesystems
Group, Inc., 9.875%,
due 02/15/05 1,454,413
2,000,000 Globenet Communications
Group, Ltd.,
13.000%, due
07/15/07 2,040,000
3,000,000 ICG Services, Inc.,
0/10.000%, due
02/15/08 1,496,250
2,000,000 # ITC Deltacom, 9.750%, due
11/15/08 2,015,000
2,000,000 Metromedia Fiber
Network, 10.000%,
due 11/15/08 2,050,000
1,500,000 MGC Communications,
Inc., 13.000%, due
10/01/04 1,511,250
1,960,000 Viatel, Inc., 11.250%,
due 04/15/08 1,955,100
1,000,000 Williams Communications
Group, Inc., 10.875%,
due 10/01/09 1,047,500
-----------
16,100,638
-----------
Consumer Products: 0.48%
1,000,000 Styling Technology
Corp., 10.875%, due
07/01/08 367,500
-----------
Electronics: 2.54%
$2,000,000 Amkor Technology,
Inc., 9.250%, due
05/01/06 $ 1,960,000
-----------
Entertainment & Leisure: 6.94%
2,800,000 Ascent Entertainment
Group, 0/11.875%,
due 12/15/04 2,110,500
2,000,000 Hollywood
Entertainment Corp.,
10.625%, due
08/15/04 1,845,000
1,470,000 SFX Entertainment,
9.125%, due
02/01/08 1,389,150
-----------
5,344,650
-----------
Finance, Insurance, Banking: 1.22%
1,000,000 # MFN Financial Corp.,
10.000%, due 03/23/01 941,250
-----------
Gaming & Lottery: 3.90%
3,000,000 Lady Luck Gaming,
11.875%, due 03/01/01 3,000,000
-----------
Health Care: 1.34%
1,300,000 Global Health
Sciences, 11.000%,
due 05/01/08 789,750
229,000 Twin Laboratories,
10.250%, due 05/15/06 240,736
-----------
1,030,486
-----------
Paper & Forest Products: 2.23%
2,000,000 Doman Industries,
8.750%, due 03/15/04 1,715,000
-----------
Retail: 1.07%
862,000 Tuesday Morning
Corp., 11.000%, due
12/15/07 825,365
-----------
2,000,000 AK Steel Corp., 7.875%,
due 02/15/09 1,900,000
-----------
1,000,000 Amtran, Inc., 10.500%,
due 08/01/04 997,500
2,000,000 Atlas Air, Inc., 9.250%,
due 04/15/08 1,880,000
1,000,000 Railworks Corp., 11.500%,
due 04/15/09 1,012,500
-----------
3,890,000
-----------
Total Corporate Bonds
(Cost $68,007,696) 65,922,770
-----------
See Accompanying Notes to Financial Statements
139
<PAGE>
Pilgrim
High Yield
Fund II
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Shares
- ---------------------------------------------------------
COMMON STOCK: 0.23%
Communications -- Wireline: 0.23%
17,800 @# Completel Holdings
LLC $ 178
3,288 @ Viatel, Inc. 176,313
----------
Total Common Stock
(Cost $2,330) 176,491
----------
MUTUAL FUNDS: 1.01%
Finance, Insurance, Banking: 1.01%
8,719 ++ Pilgrim Prime Rate
Trust 69,752
87,750 Van Kampen Senior
Income Trust 712,969
----------
Total Mutual Funds
(Cost $801,800) 782,721
----------
PREFERRED STOCK: 2.72%
Communications -- Internet: 2.72%
21,359 @& Concentric Network,
13.500%, 06/01/10
(Cost $2,034,110) 2,093,193
----------
Number of
Warrants
- ---------------------------------------------------------
WARRANTS: 0.55%
Warrants Communications -- Internet:
0.55%
1,600 @ Bell Technology Group
Warrants Cost ($0) 422,400
----------
Total Long-Term
Investments
(Cost $70,845,936) 69,397,575
----------
Principal
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 12.21%
Repurchase Agreement: 12.21%
$9,401,000 State Street Repurchase
Agreement, 3.000%, due
01/03/00 (Collateralized
by $7,895,000 U.S.
Treasury Bonds, 8.500%
Market Value $9,592,425,
Due 02/15/20) $ 9,401,000
Total Short-Term
Investments (Cost
$9,401,000) 9,401,000
------------
Total Investments
in Securities
(Cost $80,246,936)* 102.32% 78,798,575
Liabilities in
Excess of Cash
and Other
Assets-Net -2.32% (1,787,670)
------ ------------
Total Net Assets 100.00% $ 77,010,905
====== ============
@ Non-income producing security
# Securities with purchases pursuant to Rule 144A, under the
Securities Act of 1933 and may noty be resold subject to that
rule, except to qualified institutional buyers.
++ Related party & Payment-in-kind
* Cost for federal income tax purposes is the same as
for financial statement purposes. Net unrealized
depreciation consists of:
Gross Unrealized Appreciation $ 1,744,347
Gross Unrealized Depreciation (3,192,708)
------------
Net Unrealized Depreciation $ (1,448,361)
============
See Accompanying Notes to Financial Statements
140
<PAGE>
Pilgrim
Balanced
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Market
Shares Value
- ------ -----
COMMON STOCKS: 51.51%
Auto Manufacturers: 1.48%
3,400 DaimlerChrysler $ 266,050
5,400 Ford Motor Co. 288,563
-----------
554,613
-----------
Banks: 0.74%
3,600 Chase Manhattan Corp. 279,675
-----------
Beverages: 2.06%
3,500 Anheuser-Busch
Companies, Inc. 248,063
4,500 Coca-Cola Co. 262,125
7,400 PepsiCo, Inc. 260,850
-----------
771,038
-----------
Chemicals: 0.78%
4,459 Dupont 293,737
-----------
Computers: 4.04%
2,800 Cisco Systems, Inc. 299,950
11,800 Compaq Computer Corp. 319,338
6,000 Dell Computer Corp. 306,000
2,600 Hewlett-Packard Co. 296,238
3,800 Sun Microsystems, Inc. 294,262
-----------
1,515,788
-----------
Cosmetics/Personal Care: 2.26%
5,100 Colgate-Palmolive Co. 331,500
6,700 The Gillette Co. 275,956
2,200 Procter & Gamble 241,038
-----------
848,494
-----------
Distribution/Wholesale: 0.82%
3,400 @ Costco Wholesale Corp. 310,250
-----------
Diversified Financial Services: 2.89%
1,600 American Express Co. 266,000
5,700 Citigroup, Inc. 316,706
4,200 Fannie Mae 262,238
5,100 Freddie Mac 240,019
-----------
1,084,963
-----------
Electric: 1.28%
4,800 Duke Energy Corp. 240,600
10,200 Southern Co. 239,700
-----------
480,300
-----------
Food: 2.03%
7,200 @ Safeway, Inc. 256,050
11,900 Sara Lee Corp. 262,540
8,000 Unilever PLC ADR 242,500
-----------
761,090
-----------
Health Care: 0.62%
2,500 Johnson & Johnson $ 232,813
-----------
Home Furnishings: 0.83%
1,100 @@ Sony Corp. ADR 313,225
-----------
1,707 American Int'l Group, Inc. 184,569
9,800 Allstate Corp. 235,200
-----------
419,769
-----------
190,000 ++ Pilgrim Prime Rate Trust 1,520,000
-----------
5,500 Carnival Corp. 262,969
-----------
Media: 2.44%
5,400 Comcast Corp. Class A 271,350
3,900 Gannett Co., Inc. 318,094
4,500 Time Warner, Inc. 325,969
-----------
915,413
-----------
Metals - Diversified: 0.86%
3,900 Alcoa, Inc. 323,700
-----------
Manufacturing: 1.67%
2,000 General Electric Co. 309,500
8,200 Tyco Int'l, Ltd. 318,775
-----------
628,275
-----------
Oil & Gas: 2.82%
2,800 Chevron Corp. 242,550
3,600 Exxon Mobil Corp. 290,025
4,200 @@ Royal Dutch Petroleum
Co. ADR 253,838
832 Transocean Sedco
Forex, Inc. 28,044
4,300 Schlumberger, Ltd. 241,875
-----------
1,056,332
-----------
Pipelines: 0.75%
6,400 Enron Corp. 284,000
-----------
Pharmaceuticals: 3.98%
13,100 Abbott Laboratories 243,293
3,700 Bristol-Myers Squibb Co. 237,493
3,400 Merck & Co., Inc. 228,013
3,900 @@ Novartis AG ADR 284,814
8,100 Pfizer, Inc. 262,744
2,900 Warner Lambert Co. 237,619
-----------
1,493,976
-----------
Retail: 4.55%
7,050 Gap, Inc. $ 324,300
4,200 The Home Depot, Inc. 287,963
6,400 McDonalds Corp. 258,000
8,800 Sears, Roebuck & Co. 267,850
10,100 Walgreen Co. 295,425
4,000 Wal-Mart Stores, Inc. 276,500
-----------
1,710,038
-----------
Semiconductors: 1.56%
3,700 Intel Corp. 304,556
2,900 Texas Instruments, Inc. 280,938
-----------
585,494
-----------
Software: 1.57%
3,600 America Online, Inc. 271,575
2,700 Microsoft Corp. 315,225
-----------
586,800
-----------
4,000 Lucent Technologies, Inc. 299,250
1,500 @@ Nokia Corp. ADR 285,000
-----------
584,250
-----------
5,200 AT&T Corp. 263,900
4,200 Bell Atlantic Corp. 258,562
4,800 MCI WorldCom, Inc. 254,700
5,258 SBC Communications, Inc. 256,328
-----------
1,033,490
-----------
Tobacco: 0.66%
10,700 Philip Morris
Companies, Inc. 248,106
-----------
Transportation: 0.64%
5,900 @ FDX Corp. 241,531
-----------
(Cost $16,756,788) 19,340,129
-----------
PREFERRED STOCKS: 0.70%
31,800 Concentric Network,
13.500%, 06/01/10 261,373
-----------
Total Preferred Stocks
(Cost $241,250) 261,373
-----------
See Accompanying Notes to Financial Statements
141
<PAGE>
Pilgrim
Balanced
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal Market
Amount Value
- ------ -----
CORPORATE BONDS: 19.80%
Airlines: 1.41%
$250,000 Atlas Air, Inc., 9.250%,
due 04/15/08 $ 235,000
66,068 Continental Airlines,
Inc., 6.465%, due
10/15/04 62,722
250,892 Continental Airlines,
Inc., 6.545%, due
02/02/19 228,026
----------
525,748
----------
Banks: 0.31%
125,000 # Bank Of Scotland,
7.000%, due 11/29/49 115,046
----------
Computers: 0.71%
500,000 Rhythms
Netconnections,
0/13.500%, due
05/15/08 266,875
----------
Diversified Financial Services: 1.49%
160,000 Amvescap PLC,
6.375%, due
05/15/03 153,493
100,000 # Cerro Negro Finance,
Ltd., 7.330%, due
12/01/09 78,668
500,000 Pinnacle Holdings,
Inc., 0/10.000%, due
03/15/08 326,875
----------
559,036
----------
Entertainment: 0.70%
350,000 Ascent Entertainment
Group, 0/11.875%,
due 12/15/04 263,813
----------
Food: 0.76%
300,000 Albertson's, Inc. 286,827
----------
Machinery -- Construction/
Mining: 1.30%
500,000 Caterpillar Financial
Services Corp.,
6.875%, due 08/01/04 491,575
----------
Media: 1.91%
335,000 News America Holdings,
8.875%, due 04/26/23 353,060
220,000 CD Radio, Inc.,
0/15.000%, due 12/01/07 109,725
450,000 # United Pan-Europe
Communications, 0/12.500%,
due 08/01/09 254,250
----------
717,035
----------
Oil & Gas: 1.33%
$500,000 Occidental Petroleum,
7.650%, due 02/15/06 $ 499,215
----------
Retail: 0.61%
250,000 Hollywood Entertainment
Corp., 10.625%, due
08/15/04 230,625
----------
Semiconductors: 0.89%
350,000 Motorola, Inc.,
6.500%, due 09/01/25 334,523
----------
Software: 0.68%
250,000 Psinet Inc., 11.000%,
due 08/01/09 258,125
----------
Telecommunications: 2.87%
500,000 ICG Services, Inc.,
0/10.000% due 02/15/08 249,375
375,000 Crown Castle Int'l
Corp., 0/11.250%,
due 08/01/11 235,781
250,000 # Globenet Communications
Group, Ltd., 13.000%, due
07/15/07 255,000
250,000 Winstar Communications,
Inc., 15.000%, due 03/01/07 336,875
----------
1,077,031
----------
50,000 Global Telesystems Group,
Inc., 9.875%, due 02/15/05 47,375
500,000 Covad Communications
Group, 0/13.500%,
due 03/15/08 312,500
----------
359,875
----------
250,000 MGC Communications,
Inc., 13.000%, due
10/01/04 251,875
600,000 Sprint Capital Corp. 594,474
----------
846,349
----------
$139,650 Federal Express Corp.,
6.720%, due 01/15/22 $ 127,256
300,000 Global Health Sciences,
11.000%, due 05/01/08 182,250
300,000 Railcar Leasing, 7.125%,
due 01/15/13 294,573
----------
604,079
----------
Total Corporate Bonds
(Cost $7,655,708) 7,435,777
----------
GOVERNMENTS: 6.45%
500,000 Federal Home Loan
Bank, 5.863%, due
04/22/09 459,955
1,900,000 U.S. Treasury Note,
5.250%, due 02/15/29 1,571,053
400,000 U.S. Treasury Note,
5.750%, due 08/15/03 391,688
----------
2,422,696
----------
Total Governments
(Cost $2,488,153) 2,422,696
----------
FEDERAL HOME LOAN MORTGAGE CORPORATION: 5.44%
1,119,280 FHLMC, 5.500%, due 01/01/14 1,041,624
552,272 FHLMC, 6.000%, due 04/01/14 525,001
487,744 FHLMC, 7.000%, due 06/01/29 472,653
----------
2,039,278
----------
Total Federal Home
Loan Mortgage Corporation
(Cost $2,134,462) 2,039,278
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION: 2.43%
940,702 FNCI, 6.500%, due 06/01/14 913,356
----------
Total Federal National
Mortgage Association
(Cost $922,991) 913,356
----------
See Accompanying Notes to Financial Statements
142
<PAGE>
Pilgrim
Balanced
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal Market
Amount Value
- ------ -----
MORTGAGES: 6.13%
$570,971 # CRIIMI Mae 1998 1
A1, 5.697%, due
10/20/01 $ 534,274
300,000 Emergent Home Equity
Loan Trust, 7.080%,
due 12/15/28 289,254
400,000 First Union National
Bank Commercial
Mortgage, 7.390%,
due 11/15/09 397,496
495,836 GMCC 1999-C3 A1A,
6.974%, due 5/15/08 488,161
500,000 MBNA Master Credit
Card Trust, 6.350%,
due 12/15/06 487,030
105,780 # SLCMT 1997 C1,
6.875%, due 07/25/04 104,686
-----------
2,300,901
-----------
Total Mortgages
(Cost $2,343,111) 2,300,901
-----------
COLLATERAL MORTGAGE OBLIGATIONS: 0.61%
240,000 SAST 1999 2 AF4,
6.445%, due 08/25/26 229,022
-----------
Total Collateral
Mortgage Obligations
(Cost $239,999) 229,022
-----------
Total Long-Term
Investments (cost
$32,782,462) 34,942,532
-----------
SHORT-TERM INVESTMENTS: 6.08%
Repurchase Agreement: 6.08%
$2,284,000 State Street Bank & Trust
Repurchase Agreement,
3.000% due 01/03/00
(Collateralized by $1,920,000
U.S. Treasury Notes, 8.500%
due 02/15/20, Market Value
$2,332,800) $ 2,284,000
------------
Total Short-Term Investments
(Cost $2,284,000) 2,284,000
------------
Total Investments
in Securities
(Cost $35,066,462)* 99.15% 37,226,532
Cash and Other
Assets in Excess
of Liabilities-Net 0.85% 320,490
------ ------------
Net Assets 100.00% $ 37,547,022
====== ============
@ Non-income producing security
# Securities with purchases pursuant to Rule 144A,
under the Securities Act of 1933 and may not be resold subject to that
rule except to qualified institutional buyers.
++ Related party
& Payment in-kind security
@@ Foreign issuer
ADR -- American Depository Receipt
* Cost for federal income tax purposes is the same as for financial
statement purposes. Net unrealized appreciation consists of:
Gross Unrealized Appreciation $ 3,937,826
Gross Unrealized Depreciation (1,777,756)
------------
Net Unrealized Appreciation $ 2,160,070
============
See Accompanying Notes to Financial Statements
143
<PAGE>
Pilgrim
Convertible
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Pricipal Market
Amount Value
- ------ -----
CONVERTIBLE CORPORATE BONDS: 63.54%
Advertising: 4.45%
$4,328,000 # Interpublic Group, Inc.,
1.870%, due 06/01/06 $ 4,988,020
3,188,000 Omnicom Group, Inc.,
2.250%, due 01/16/13 6,523,445
3,168,000 Lamar Advertising,
5.250%, due 09/15/06 4,633,200
-----------
16,144,665
Applications Software: 4.68%
6,484,000 #@ Citrix Systems, Inc.,
0.000%, due 03/22/19 5,754,550
2,083,000 HNC Software, Inc.,
4.750%, due 3/01/03 5,038,256
3,201,000 # Siebel Systems, Inc.,
5.500%, due 09/15/06 6,209,940
-----------
17,002,746
-----------
Broadcasting, Radio & Television: 3.43%
3,113,000 Clear Channel
Communications,
1.500%, due 12/01/02 3,194,716
3,669,000 Clear Channel
Communications,
2.625%, due 04/01/03 5,443,879
3,040,000 # Liberty Media Group,
4.000%, due 11/15/29 3,830,400
-----------
12,468,995
-----------
Computer Services: 0.82%
2,448,000 # Affiliated Computer
Services, Inc.
4.000%, due 03/15/05 2,971,260
-----------
Computer Software: 1.68%
328,000 # Bea Systems, Inc.,
4.000%, due 06/15/05 1,741,680
3,702,000 Bea Systems, Inc.,
4.000%, due 12/15/06 4,335,968
-----------
6,077,648
-----------
Computers -- Integrated Systems: 1.91%
2,023,000 # Comverse Technology,
Inc., 4.500%, due
07/01/05 6,900,959
-----------
Computers - Memory Devices: 4.10%
$686,000 # EMC Corp., 3.250%,
due 03/15/02 $ 6,625,045
817,000 # Veritas Software Corp.,
5.250%, due 11/01/04 8,257,935
-----------
14,882,980
-----------
Data Processing/Management: 1.45%
3,752,000 Automatic Data Processing,
0.000%,due 02/20/12 5,234,040
-----------
Electric -- Generation: 1.35%
3,318,000 AES Corp., 4.500%,
due 08/15/05 4,887,829
-----------
Electronic Components/
Semiconductors: 15.01%
3,700,000 # ASM Lithography
@@ Holding, 4.250%,
due 11/30/04 4,430,750
6,702,000 # Atmel Corp., 0.000%,
due 04/21/18 5,705,077
1,664,000 # Conexant Systems,
Inc., 4.250%, due
05/01/06 4,881,760
3,829,000 Credence Systems
Corp., 5.250%, due
09/15/02 5,403,676
3,700,000 Cypress Semiconductor,
6.000%, due 10/01/02 5,439,000
3,564,000 LAM Research Corp.,
5.000%, due 09/01/02 5,007,420
1,197,000 # Lattice Semiconductor,
4.750%, due 11/01/06 1,569,566
2,056,000 # LSI Logic Corp.,
4.250%, due 03/15/04 4,669,690
1,006,000 Oak Industries, Inc.,
4.875, due 03/01/08 2,814,285
3,320,000 # Sanmina Corp.,
4.500%, due 05/01/04 4,390,700
6,552,000 #@ Solectron Corp.,
0.000%, due 01/27/19 4,954,950
947,000 @@ Stmicroelectronics NV,
0.000%, due 06/10/08 2,611,353
1,804,000 @@ Stmicroelectronics NV,
0.000%, due 09/22/09 2,527,855
-----------
54,406,082
-----------
Financial - Credit Card: 1.24%
3,140,000 American Express
Credit, 1.250%, due
02/19/03 4,474,500
-----------
Internet Content: 2.10%
2,446,000 # Doubleclick, Inc.,
4.750%, due 03/15/06 $ 7,600,946
-----------
Internet Software: 3.93%
6,600,000 America Online,
0.000%, due 12/6/19 3,645,724
244,000 America Online, Inc.,
4.000%, due 11/15/02 2,821,860
4,380,000 # Exodus Communications,
4.750%, due 07/15/08 6,071,775
223,000 # Exodus Communications,
5.000%, due 03/15/06 1,736,055
-----------
14,275,414
-----------
Laser Systems - Components: 1.36%
4,417,000 Cymer Inc., 3.500%,
due 08/06/04 4,913,913
-----------
Medical - Biomedical/Gene: 2.13%
3,190,000 Centocor, Inc.,
4.750%, due 02/15/05 4,262,638
2,900,000 # Human Genome,
5.000%, due 12/15/06 3,494,500
-----------
7,757,138
-----------
Medical - Generic Drugs: 0.99%
3,018,000 # Alpharma, Inc.
5.750%, due 04/01/05 3,597,079
-----------
Multimedia: 1.17%
5,345,000 News America Holdings,
0.000%, due 03/11/13 4,242,460
-----------
Oil & Gas: 1.64%
3,012,000 Devon Energy Corp.,
4.900%, due 08/15/08 2,932,935
2,979,000 Diamond Offshore Drilling,
3.750%, due 02/15/07 3,023,685
-----------
5,956,620
-----------
Printing -- Commercial: 1.34%
1,532,000 Mail-Well, Inc.,
5.000%, due 11/01/02 1,441,995
3,447,000 World Color Pres,
6.000%, due 10/01/07 3,421,148
-----------
4,863,143
-----------
See Accompanying Notes to Financial Statements
144
<PAGE>
Pilgrim
Convertible
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Pricipal Market
Amount Value
- ------ -----
Retail -- Apparel/Shoe: 1.01%
$6,851,000 # Ann Taylor Stores
Corp., 0.550%, due
06/18/19 $ 3,673,849
------------
Retail -- Hypermarkets: 1.59%
5,399,000 #@ Costco Wholesale
Corp., 0.000%, due
08/19/17 5,773,556
------------
Retail -- Internet: 0.57%
1,831,000 Amazon.com, Inc.,
4.750%, due
02/01/09 2,080,474
------------
Satellite Telecommunications: 1.62%
4,755,000 # Echostar Communications,
4.875%, due 01/01/07 5,854,591
------------
Telecommunications Services: 2.02%
970,000 # Global Telesystems
Group, Inc., 5.750%,
due 07/01/10 1,302,224
2,270,000 # NTL Inc., 7.000%, due
12/15/08 6,004,150
------------
7,306,374
------------
Telecommunications Equipment: 0.60%
2,013,000 # Commscope, Inc.,
4.000%, due 12/15/06 2,184,105
------------
Wireless Equipment: 1.35%
2,159,000 # Nextel Communications,
Inc., 4.750%, due
07/01/07 4,898,231
------------
Total Convertible
Corporate Bonds
(Cost $158,380,913) 230,429,597
------------
CONVERTIBLE PREFERRED STOCKS: 25.34%
Broadcasting, Radio &
Television: 2.19%
58,137 # United Global Com, 7.000% 5,179,803
31,800 Emmis Communications
Corp., 6.250% 2,738,775
------------
7,918,578
------------
Cable Television: 1.31%
78,644 Cox Communications,
Inc., 0.250% $ 4,748,132
------------
Containers -- Paper/Plastic: 0.70%
50,145 Sealed Air Corp., A 2,532,323
------------
Cosmetics & Toiletries: 0.51%
19,540 Estee Lauder TRT II
6.250%, (ACES) 1,851,415
------------
Diversified Financial Services: 10.77%
$74,996 Calpine Capital Trust,
5.750% $ 4,921,613
56,900 # Cephalon, Inc., 7.250% 5,725,563
177,736 DECS Trust V, 7.250%,
due 08/15/02 5,109,910
26,165 Morgan Stanley Group,
Inc., 6.000%, (CSCO) 3,847,890
12,937 Qualcomm Financial
Trust, 5.750% 12,718,688
67,565 Qwest Trends Trust, 5.750% 4,847,789
57,693 United Rentals, Trust I,
6.500% 1,895,671
------------
39,067,124
------------
Electric - Integrated: 0.30%
8,920 Houston Industries,
Inc., 7.000% (ACES) 1,074,860
------------
Internet Software: 1.22%
74,947 Psinet, Inc. C, 6.750% 4,440,610
------------
Life/Health Insurance: 0.97%
37,275 American General Delaware
LLC, 6.000%, Series A 3,508,509
------------
Oil & Gas: 2.33%
40,140 Apache Corp., 6.500% 1,424,970
175,805 Coastal Corp., 5.580% 3,906,959
77,947 EVI, Inc., 5.000% 3,127,623
------------
8,459,552
------------
Telecommunications Services: 5.04%
6,059 @& Winstar Communications,
Inc., 6.000%, Series A 472,602
61,765 Winstar Communications,
Inc., 7.000%, Series D 4,891,015
9,759 McLeodusa, Inc., 6.750% 5,175,320
22,327 Omnipoint Communications,
Inc., 7.000% 4,409,582
58,550 Global Telesystems
Group, Inc., 7.250% 3,337,350
------------
18,285,869
------------
Total Convertible
Preferred Stocks
(Cost $60,316,921) 91,886,972
------------
Market
Shares Value
- ------ -----
COMMON STOCKS: 5.02%
Cable Television: 0.79%
37,236 Mediaone Group, Inc. $ 2,860,190
------------
Diversified Financial Services: 2.43%
102,800 DECS Trust VI,
6.250%, due 11/15/02 4,703,100
517,117 Morgan Stanley Group,
Inc. 4,136,935
------------
8,840,035
------------
Retail -- Building Products: 1.78%
94,002 The Home Depot, Inc. 6,445,012
------------
Telecommunication Services: 0.02%
989 McLeodUSA, Inc. 58,254
------------
Total Common Stocks
(Cost $11,194,421) 18,203,493
------------
Total Long-Term
Investments (cost
$229,892,255) 340,520,062
------------
See Accompanying Notes to Financial Statements
145
<PAGE>
Pilgrim
Convertible
Fund
PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Pricipal Market
Amount Value
- ------ -----
SHORT-TERM INVESTMENTS: 3.41%
Repurchase Agreement: 3.41%
$12,348,000 State Street Bank &
Trust Repurchase
Agreement, 3.000%
due 01/03/00
(Collateralized by
$10,370,000
U.S. Treasury Notes,
8.500% due
02/15/20, Market
Value $12,599,550) $ 12,348,000
-------------
Total Short-Term
Investments (Cost
$12,348,000) 12,348,000
-------------
Total Investments
in Securities
(Cost
$242,240,255): 97.31% 352,868,062
Cash and Other
Assets in
Excess of
Liabilities-Net 2.69% 9,764,840
------- -------------
Net Assets 100.00% $ 362,632,902
======= =============
@ Non-income producing security
# Securities with purchases pursuant to Rule 144A,
under the Securities Act of 1933 and may not be
resold subject to that rule except to qualified
institutional buyers.
& Payment in-kind security
@@ Foreign issuer
* Cost for federal income tax purposes is the same
as for financial statement purposes. Net unrealized
appreciation consists of:
Gross Unrealized Appreciation $113,127,804
Gross Unrealized Depreciation (2,499,997)
------------
Net Unrealized Appreciation $110,627,807
============
See Accompanying Notes to Financial Statements
146
<PAGE>
SHAREHOLDER MEETINGS
- --------------------------------------------------------------------------------
I. A special meeting of the shareholders of the Pilgrim Mutual Funds was held in
San Diego, California on October 26, 1999. A brief description of each matter
voted upon as well as the results are outlined below:
<TABLE>
<CAPTION>
Shares
Shares voted against Shares Broker
voted for or withheld abstained non-vote Total
--------- ----------- --------- -------- -----
<S> <C> <C> <C> <C> <C>
1. Election of Trustees to serve until the election and qualifications of their successors:
Name
- ----
Mary A. Baldwin 173,566,928 3,019,701 -- -- 176,586,629
Al Burton 173,526,092 3,110,537 -- -- 176,536,629
Paul S. Doherty 173,562,130 3,024,499 -- -- 176,586,629
Robert B. Goode, Jr. 173,524,538 3,062,091 -- -- 176,586,629
Alan L. Gosule 173,601,730 2,984,899 -- -- 176,586,629
Mark Lipson 173,603,955 2,982,674 -- -- 176,586,629
Walter H. May 173,589,664 2,966,965 -- -- 176,586,629
Jock Patton 173,607,208 2,979,421 -- -- 176,586,629
David W.C. Putnam 173,596,791 2,989,838 -- -- 176,586,629
John R. Smith 173,440,576 3,146,053 -- -- 176,586,629
Robert W. Stallings 173,605,732 2,980,897 -- -- 176,586,629
John G. Turner 173,594,721 2,991,908 -- -- 176,586,629
David W. Wallace 173,459,812 3,125,817 -- -- 176,586,629
2. Approval of the selection of independent public accountants, KPMG LLP, for the fiscal year ended June 30, 2000
Fund
- ----
Pilgrim Bank & Thrift Fund, Inc. 22,631,201 506,895 -- -- 23,138,096
Pilgrim Advisory Funds, Inc. 7,158,402 124,438 -- -- 7,282,840
Pilgrim Investment Funds, Inc. 72,087,236 2,071,003 -- -- 74,158,239
Pilgrim Mutual Funds 68,230,426 1,675,090 -- -- 69,905,516
3. a. Approval of the management agreement between Pilgrim Mutual Funds and Nicholas Applegate
Fund
- ----
Pilgrim Convertible Fund 7,745,962 390,963 -- -- 8,137,925
Pilgrim Emerging Countries Fund 7,742,317 153,510 -- -- 7,895,827
Pilgrim Int'l Core Growth Fund 1,572,037 41,967 -- -- 1,614,004
Pilgrim Int'l SmallCap Growth Fund 3,481,258 94,125 -- -- 3,575,383
Pilgrim LargeCap Growth Fund 4,102,660 150,348 -- -- 4,253,008
Pilgrim MidCap Growth Fund 10,912,221 629,116 -- -- 11,541,337
Pilgrim SmallCap Growth Fund 13,534,326 717,130 -- -- 14,251,456
Pilgrim Worldwide Growth Fund 8,123,819 618,136 -- -- 8,741,955
3. b. Approval of the management agreement between Pilgrim Mutual Funds and HSBC
Fund
- ----
Pilgrim Asia-Pacific Equity Fund 2,788,432 130,823 -- -- 2,919,255
4. Approval of sub-advisory between Pilgrim Investments, Inc. and the Funds
Fund
- ----
Pilgrim Bank & Thrift Fund, Inc. 22,043,033 1,095,063 -- -- 23,138,095
Pilgrim LargeCap Leaders Fund 1,667,693 38,937 -- -- 1,706,630
Pilgrim MidCap Value Fund 2,586,750 70,205 -- -- 2,656,955
Pilgrim Asia-Pacific Equity Fund 2,877,917 41,338 -- -- 2,919,255
Pilgrim MagnaCap Fund 16,433,186 953,331 -- -- 17,386,517
Pilgrim High Yield Fund 54,078,191 2,693,531 -- -- 56,771,722
Pilgrim Balanced Fund 1,573,739 58,095 -- -- 1,631,834
Pilgrim Convertible Fund 7,702,985 434,940 -- -- 8,137,925
Pilgrim Emerging Countries Fund 7,735,262 160,565 -- -- 7,895,827
Pilgrim High Yield II Fund 5,259,680 201,342 -- -- 5,461,022
Pilgrim Strategic Income Fund 998,479 41,275 -- -- 1,039,754
Pilgrim Int'l Core Growth Fund 1,576,276 37,728 -- -- 1,614,004
Pilgrim Int'l SmallCap Growth Fund 3,483,148 92,235 -- -- 3,575,383
Pilgrim LargeCap Growth Fund 4,116,432 136,576 -- -- 4,253,008
Pilgrim MidCap Growth Fund 10,794,994 746,343 -- -- 11,541,337
Pilgrim SmallCap Growth Fund 13,511,955 739,501 -- -- 14,251,456
Pilgrim Worldwide Growth Fund 8,086,550 655,405 -- -- 8,741,955
Pilgrim Money Market Fund 1,762,011 0 -- -- 1,762,011
</TABLE>
147
<PAGE>
TAX INFORMATION (unaudited)
- --------------------------------------------------------------------------------
Corporate shareholders are generally entitled to take the dividend received
deduction on the portion of the Funds' dividend distribution that qualifies
under tax law. The percentage of calendar year 1999 net investment income
dividends that qualify for the corporate dividends received deduction are as
follows:
MagnaCap Fund 99.89%
Bank and Thrift Fund 100%
Strategic Income Fund 7.39%
Shareholders are strongly advised to consult their own tax advisers with respect
to the tax consequences of their investments in the Funds. In January 2000,
shareholders, excluding corporate shareholders, should have received an IRS Form
1099 DIV regarding their federal tax status of the dividends and distributions
received from them in calendar 1999.
148
<PAGE>
RESERVE INSTITUTIONAL TRUST
PRIMARY INSTITUTIONAL FUND
STATEMENT OF NET ASSETS -- DECEMBER 31, 1999
- --------------------------------------------------------------------------------
Principal Value
Amount (Note 1)
- ------ --------
NEGOTIABLE BANK CERTIFICATES OF DEPOSIT: 67.63%
Domestic: 13.17%
$5,000,000 Chase Manh Bank,
DE, 5.85%, 2/14/00 $ 5,000,000
5,000,000 Wilmington Trust Co.,
DE, 5.88%, 2/22/00 5,000,000
16,000,000 Bankboston, MA,
5.85%, 2/14/00 16,000,000
18,000,000 Morgan Guarnty Trust
Company, NY,
5.65%, 2/03/00 18,000,000
------------
44,000,000
------------
Euro: 7.18%
12,000,000 Bank of Scotland,
6.14%, 1/31/00 12,000,000
12,000,000 International
Nederlanden ING
Bank, 5.87%, 3/27/00 12,000,000
------------
24,000,000
------------
Yankee: 47.28%
15,000,000 Banque National,
Paris, 6.00%, 2/29/00 15,000,000
12,000,000 Bayerische Landesbk,
GIR, 6.01%, 2/07/00 12,000,057
17,000,000 Commerzbank, Frankfurt,
5.79%, 2/10/00 17,000,000
12,000,000 Bank Austria, 6.08%,
2/22/00 12,000,000
$17,000,000 Credit Suisse First
Bost, 5.73%, 2/07/00 17,000,161
15,000,000 Deutsche Bank, AG,
6.00%, 3/02/00 15,000,000
15,000,000 KBC Bank NV, Brussels,
6.375%, 1/18/00 15,000,031
10,000,000 Lloyd's TSB Bank,
PLC, 5.90%, 2/15/00 10,000,000
15,000,000 National Westminster
Bank, 6.4112%, 11/22/00 14,990,865
15,000,000 Toronto-Dominion
Bank, 6.30%, 1/13/00 15,000,000
15,000,000 Westdeutsche Landesbk, GI,
6.00%, 3/01/00 15,000,000
------------
157,991,114
------------
Total Negotiable Bank
Certificates of Deposit
(Cost $157,991,114) 225,991,114
------------
COLLATERALIZED PROMISSORY NOTES: 4.49% (b)
15,000,000 ABN/AMRO, 5.73%, 2/23/00 15,000,000
------------
Total Collateralized
Promissory Notes
(Cost $15,000,000)
15,000,000
------------
REPURCHASE AGREEMENTS: 28.05%
$93,724,524 Bear, Stearns & Co.
Inc., 3.50%, 1/03/00
(collateralized by
FNMA 0% to 8.5%
due from 12/15/07
to 05/18/28 valued
at $93,724,524) $ 93,724,524
------------
Total Repurchase
Agreements (Cost
$93,724,524)
$ 93,724,524
------------
Total Investments
(Cost $334,715,638) 100.17% $334,715,638
Liabilities, Less
Other Assets -0.17% $ (573,224)
------------
Net Assets 100.00% $334,142,414
============
Net asset value, offering and redemption price per share of each class based on
shares of beneficial interest $.001 par value outstanding and equivalent to the
Net Assets of each Class:
50,944,848.520 shares Class A $1.00
15,135,283.510 shares Class B $1.00
45,890,601.630 shares Class C $1.00
222,171,678.350 shares Treasurer's Trust $1.00
See Accompanying Notes to Financial Statements
149
<PAGE>
RESERVE INSTITUTIONAL TRUST
PRIMARY INSTITUTIONAL FUND
STATEMENT OF NET ASSETS -- NOVEMBER 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Principal Value
Amount (Note 1)
- ------ --------
NEGOTIABLE BANK CERTIFICATES OF DEPOSIT: 54.6%
Domestic: 12.3%
$ 16,000,000 BankBoston, NA,
5.85%, 2/14/00 $ 16,000,000
5,000,000 Chase Manhattan
Bank, 5.85%,
2/14/00 5,000,000
18,000,000 Morgan Guaranty
Trust Co., N.Y.,
5.65%, 2/3/00 18,000,000
5,000,000 Wilmington Trust Co.,
5.88%, 2/22/00 5,000,000
------------
44,000,000
------------
Euro: 6.7%
12,000,000 ING Bank, NV,
5.87%, 3/27/00 12,000,000
12,000,000 Bank of Scotland,
6.14%, 1/31/00 12,000,000
------------
24,000,000
------------
Yankee: 35.6%
12,000,000 Bank Austria, 6.08%,
2/22/00 12,000,000
15,000,000 Banque National de
Paris, 6.00%, 2/29/00 15,000,000
12,000,000 Bayerische Landesbank
Girozentrale, 6.01%,
2/7/00 12,000,111
17,000,000 Commerzbank, AG,
5.79%, 2/10/00 17,000,000
17,000,000 Credit Suisse First
Boston, 5.73%, 2/7/00 17,000,312
15,000,000 Deutsche Bank AG,
6.00%, 3/2/00 15,000,000
10,000,000 Lloyds TSB Bank PLC,
5.90%, 2/15/00 10,000,000
15,000,000 National Westminster
Bank, PLC,
5.5425%, 11/22/00 14,989,934
15,000,000 Westdeutsche Landesbank
Girozentrale, 6.00%,
3/1/00 15,000,000
------------
127,990,357
------------
Total Negotiable Bank
Certificates of Deposit
(Cost $195,990,357) 195,990,357
------------
COLLATERALIZED PROMISSORY NOTES: 4.1% (a)
15,000,000 ABN/AMRO, N.A.,
5.73%, 2/23/00
(Cost $14,799,450) 14,799,450
------------
REPURCHASE AGREEMENTS: 44.6%
$85,000,000 Bear, Stearns & Co.
Inc., 5.74%,12/1/99
(collateralized by
FNMA 0% due
4/18/27 valued at
$7,722,949, FGRA
0% due 8/15/28 to
8/15/29 valued at
$5,967,361, FGRM
6.50% to 7.00%
due 5/15/24 to
3/15/26 valued at
$44,363,501,
FNRM 0% due
7/25/08 to 3/25/23
valued at
$9,696,443, FNRA
0% due 11/25/10 to
11/25/29 valued at
$10,988,532,
FNRM 0% due
12/25/26 valued at
$9,014,558) 85,000,000
75,000,000 Prudential Securities,
Inc., 5.65 to
5.71%, 12/1/99
(collateralized by
FNRM 6.50% due
1/29/25 valued at
$23,966,480,
FGRM 6.00% due
8/19/15 valued at
$9,797,358, FHLB
0% due 1/4/06
valued at
$43,068,561) 75,000,000
------------
Total Repurchase
Agreements (Cost
$160,000,000) 160,000,000
------------
Total Investments
(Cost $370,789,807) 103.3% 370,789,807
Liabilities, Less
Other Assets (3.3) (11,667,135)
----- ------------
Net Assets 100.0% $359,122,672
===== ============
Net asset value, offering and redemption price per share of each Class based on
shares of beneficial interest $.001 par value outstanding and equivalent to the
Net Assets of each Class:
48,400,150 shares Class A $1.00
16,542,038 shares Class B $1.00
50,760,643 shares Class C $1.00
243,419,841 shares Treasurer's Trust $1.00
See Accompanying Notes to Financial Statements
150
<PAGE>
RESERVE INSTITUTIONAL TRUST
PRIMARY INSTITUTIONAL FUND
STATEMENT OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
For the
Six Months Ended
November 30,
1999
----------------
Interest Income (Note 1) $8,458,918
----------
Expenses (Note 2)
Comprehensive fees 397,356
12b-1 fees (Class C) 79,729
Shareholder services fees:
Class B 9,076
Class C 79,729
Treasurer's Trust 229,799
Other operating expenses 91,919
----------
Total Expenses before waivers 887,608
Less: expenses waived --
----------
Net Expenses 887,608
----------
Net Investment Income, representing
Net Increase in Net Assets from
Investment Operations $7,571,310
==========
See Accompanying Notes to Financial Statements
151
<PAGE>
RESERVE INSTITUTIONAL TRUST
PRIMARY INSTITUTIONAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months
Ended Year Ended
November 30, May 31,
1999* 1999
--------------- ---------------
Increase in Net Assets From Investment
Operations:
Net investment income $ 7,571,310 $ 8,723,962
--------------- ---------------
Distributions to Shareholders From Net
Investment Income (Note 1):
Class A (1,579,989) (1,858,597)
Class B (227,147) (206,486)
Class C (1,452,930) (137,927)
Treasurer's Trust (4,311,244) (6,520,952)
--------------- ---------------
Total Dividends to Shareholders (7,571,310) (8,723,962)
--------------- ---------------
From Capital Share Transactions (at net
asset value of $1.00 per share):
Net proceeds from sale of shares 1,036,132,449 1,544,713,374
Dividends reinvested 7,571,311 8,723,962
Cost of shares redeemed (977,126,261) (1,447,380,639)
--------------- ---------------
Net increase derived from capital share
transactions and from investment
operations 66,577,499 106,056,697
Net Assets:
Beginning of period 292,545,173 186,488,476
--------------- ---------------
End of period $ 359,122,672 $ 292,545,173
=============== ===============
- ----------
* Unaudited
See Accompanying Notes to Financial Statements
152
<PAGE>
RESERVE INSTITUTIONAL TRUST
PRIMARY INSTITUTIONAL FUND
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
(1) Significant Accounting Policies:
The Primary Institutional Fund (the "Fund") which is a part of the Reserve
Institutional Trust (the "Trust") is registered under the Investment Company Act
of 1940 as a non diversified, open end investment company. The policies
summarized below are consistently followed in the preparation of its financial
statements in conformity with generally accepted accounting principles.
A. The Trust's authorized shares of beneficial interest are unlimited, and
currently are divided into four series (funds): Primary Institutional, which is
included in this report, U.S. Government Institutional, U.S. Treasury
Institutional and Interstate Tax Exempt Institutional Funds (collectively the
"Funds"). Additionally, each Fund is divided into five classes of shares with
similar investment objectives, but with different expense ratios.
B. Securities are valued at amortized cost, which approximates market value. The
amortized cost method values a security at cost at the time of purchase, and
thereafter assumes a constant amortization to maturity of any discount or
premium, irrespective of intervening changes in interest rates or market values.
The maturity of floating or variable rate instruments in which the Fund may
invest will be deemed to be, for floating rate instruments (1) the notice period
required before the Fund is entitled to receive payment of the principal amount
of the instrument; and for variable rate instruments the longer of (1) above or
(2) the period remaining until the instrument's next interest rate adjustment,
for purposes of Rule 2a-7 and for computing the portfolio's average weighted
life to maturity.
C. It is the policy of each Fund within the Trust to comply with Subchapter M of
the Internal Revenue Code and to distribute all of its taxable income to its
shareholders. Accordingly, no Federal income tax provision is required.
D. Security transactions are recorded on a trade date basis; interest income is
accrued daily and security premium or discount is amortized or accreted daily.
Net investment income is distributed to shareholders daily and automatically
reinvested in additional Fund shares.
E. Expenses are allocated based on the Fund's net assets and/or number of
shareholder accounts. Those expenses recognized as directly attributable to a
specific Fund within the Trust are charged to that Fund directly.
F. The Funds within the Trust may enter into repurchase agreements with
financial institutions and securities dealers who are deemed credit worthy
pursuant to guidelines established by the Funds' Board of Trustees. The Funds'
Investment Adviser will follow procedures intended to provide that all
repurchase agreements are at least 100% collateralized as to principal and
interest. The Fund custodian holds the underlying securities subject to
repurchase agreements.
(2) Management Fee and Other Transactions With Affiliates:
Pursuant to an Investment Management Agreement (the "Agreement") between Reserve
Management Company, Inc. ("RMCI") and the Funds, RMCI serves as the Fund's
Investment Adviser subject to the policies adopted by the Board of Trustees.
Under the Agreement, RMCI will furnish continuous investment advisory and
management services to the Funds.
RMCI receives a fee of 0.25% per year of the average daily net assets of the
Fund. RMCI pays all employee and customary operating expenses of the Fund.
Excluded from the definition of customary operating expenses are interest,
taxes, brokerage fees, extraordinary legal and accounting fees and expenses, and
the fees of the disinterested Trustees, for which the Fund pays its direct or
allocated share. The Fund's operating expenses are limited to an annual rate of
.25% for Class A, .45% for Class B and .60% for Treasurer's Trust of each Class'
average daily net assets.
Distribution Assistance and Shareholder Services:
Pursuant to a Plan of Distribution, the Fund makes payments to firms for
distribution assistance and administrative services provided to shareholders of
Class C and D at an annual rate of .25% and .50%, respectively. To date, no
payments have been made by Class D since it has yet to begin operations. In
addition, under the Plan, shareholders of Class B, C, D and Treasurer's Trust
may make payments to firms (including RMCI) providing shareholder services,
including maintaining shareholder
153
<PAGE>
RESERVE INSTITUTIONAL TRUST
PRIMARY INSTITUTIONAL FUND
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
- --------------------------------------------------------------------------------
accounts, responding to shareholder inquiries and providing certain other
services, at an annual rate of .20%, .25%, .25% and .25%, respectively.
(3) Management's Use of Estimates:
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the dates of the
financial statements and the reported amounts of income and expenses during the
reporting periods. Actual results could differ from those estimates.
(4) Composition of Net Assets:
At November 30, 1999, the composition of the Fund's net assets was as follows:
Par Value $ 359,123
Paid-in-Capital 358,763,549
-------------
Net Assets $ 359,122,672
=============
(5) Capital Share Transactions:
For the six months ended November 30, 1999 and the year ended May 31, 1999, the
capital share transactions of the Fund was as follows:
Six months ended November 30, 1999:
--------------------------------------------------------
Treasurer's
Class A Class B Trust Class C
------------ ----------- ------------ ------------
Sold 267,949,422 21,959,308 629,301,443 116,922,276
Reinvested 1,579,990 227,147 4,311,244 1,452,930
Redeemed (296,930,623) (9,867,780) (544,272,694) (126,055,164)
------------ ----------- ------------ ------------
Net Increase
(Decrease) (27,401,211) 12,318,675 89,339,993 (7,679,958)
============ =========== ============ ============
Year ended May 31, 1999:
--------------------------------------------------------
Treasurer's
Class A Class B Trust Class C
------------ ----------- ------------ ------------
Sold 591,162,085 10,331,062 876,047,357 67,172,870
Reinvested 1,858,597 206,486 6,520,952 137,928
Redeemed (521,631,338) (16,690,430) (900,188,675) (8,870,196)
------------ ----------- ------------ -----------
Net Increase
(Decrease) 71,389,344 (6,152,882) (17,620,366) 58,440,602
============ =========== ============ ===========
154
<PAGE>
RESERVE INSTITUTIONAL TRUST
PRIMARY INSTITUTIONAL FUND
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
- --------------------------------------------------------------------------------
(6) Financial Highlights:
Contained below is per share operating performance data for a share of
beneficial interest outstanding for the periods as indicated.
<TABLE>
<CAPTION>
Class A Class B
-------------------------------------- ----------------------------------------------------
Six Months Fiscal Year Six Months Fiscal Year
Ended Ended May 31, Ended Ended May 31,
Nov. 30, ------------------------ Nov. 30, --------------------------------------
1999* 1999 1998(a) 1999* 1999 1998 1997(b)
---------- --------- ------------ ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value at beginning of
period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
Net investment income from investment
operations .0256 .0509 .0332 .0246 .0488 .0529 .0179
Less dividends from net investment
income (.0256) (.0509) (.0332) (.0246) (.0488) (.0529) (.0179)
-------- -------- -------- -------- -------- -------- --------
Net asset value at end of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
======== ======== ======== ======== ======== ======== ========
Total Return 5.12%(d) 5.09% 5.49%(d) 4.92%(d) 4.88% 5.29% 4.95%(d)
RATIOS/SUPPLEMENTAL DATA
Net assets end of period (millions) $ 48.4 $ 75.8 $ 4.4 $ 16.5 $ 4.2 $ 10.4 $ 2.0
Ratio of expenses to average net
assets .25%(d) .25% .25%(d) .45%(d) .45% .45% .50%(d)(e)
Ratio of net investment income to
average net assets 5.05%(d) 4.79% 5.35%(d) 4.85%(d) 4.79% 5.16% 4.81%(d)(e)
Treasurer's Trust Class C
-------------------------------------- ------------------------
Six Months Fiscal Year Six Months Period
Ended Ended May 31, Ended Ended
Nov. 30, ------------------------ Nov. 30, May 31,
1999* 1999 1998(c) 1999* 1999(f)
---------- --------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value at beginning
of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
Net investment income from
investment operations .0239 .0470 .0322 .0231 .0036
Less dividends from net
investment income (.0239) (.0470) (.0322) (.0231) (.0036)
-------- -------- -------- -------- --------
Net asset value at end of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
======== ======== ======== ======== ========
Total Return 4.77%(d) 4.70% 5.13%(d) 4.61%(d) 4.11%(d)
RATIOS/SUPPLEMENTAL DATA
Net assets end of period (millions) $ 243.4 $ 154.1 $ 171.7
Ratio of expenses to average net assets .60%(d) .60% .60%(d) $ 50.8 $ 58.4
Ratio of net investment income to .75%(d) .75%(d)
average net assets 4.70%(d) 4.59% 5.00%(d) 4.55%(d) 4.12%(d)
</TABLE>
(a) From October 23, 1997 (Commencement of Operations) to May 31, 1998.
(b) From January 21, 1997 (Commencement of Operations) to May 31, 1997.
(c) From October 15, 1997 (Commencement of Operations) to May 31, 1998.
(d) Annualized.
(e) Due to the voluntary waiver of certain expenses by RMCI, the net expense
ratio and net investment income amounted to 48% and 4.83%, respectively, for
the period ended May 31, 1997.
(f) From April 30, 1999 (Commencement of Operations) to May 31, 1999.
* Unaudited.
155
<PAGE>
Investment Manager
Pilgrim Investments, Inc.
40 North Central Avenue, Suite 1200
Phoenix, Arizona 85004-4408
Administrator
Pilgrim Group, Inc.
40 North Central Avenue, Suite 1200
Phoenix, Arizona 85004-4408
Transfer Agent
DST Systems, Inc.
P.O. Box 419368
Kansas City, Missouri 64141-6368
Custodian
Investors Fiduciary Trust Company
801 Pennsylvania
Kansas City, Missouri 64105
Legal Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006
Independent Auditors
KPMG LLP
725 South Figueroa Street
Los Angeles, California 90017
Prospectus containing more complete information regarding the Funds,
including charges and expenses, may be obtained by calling Pilgrim
Securities, Inc. Distributor at 1-800-334-3444. Please read the prospectus
carefully before you invest or send money.
ABCMSEMI1299-022900
