PILGRIM(SM)
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FUNDS FOR SERIOUS INVESTORS
Semi-Annual Report
Class: Q
December 31, 1999
U.S. EQUITY FUNDS
Pilgrim MagnaCap
Pilgrim LargeCap Growth
Pilgrim MidCap Growth
Pilgrim SmallCap Growth
INTERNATIONAL EQUITY FUNDS
Pilgrim Worldwide Growth
Pilgrim International Core Growth
Pilgrim International SmallCap Growth
Pilgrim Emerging Countries
INCOME FUNDS
Pilgrim Strategic Income
Pilgrim High Yield
Pilgrim High Yield II
EQUITY & INCOME FUNDS
Pilgrim Balanced
Pilgrim Convertible
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Pilgrim
Funds
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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................................................. 10
Income Funds............................................................... 18
Equity & Income Funds...................................................... 24
Index Descriptions......................................................... 28
Statements of Assets and Liabilities....................................... 30
Statements of Operations................................................... 38
Statements of Changes in Net Assets........................................ 42
Financial Highlights....................................................... 49
Notes to Financial Statements.............................................. 62
Portfolios of Investments.................................................. 82
Tax Information............................................................ 116
Shareholder Meetings....................................................... 117
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Pilgrim
Funds
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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 which
offered Q classes as of December 31, 1999(1). 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 four U.S. Equity Funds, four International Equity Funds, three Income
Funds and two Equity & Income Funds which are included in this Semi-Annual
Report. MagnaCap, Strategic Income, High Yield, High Yield II and Balanced Funds
are all managed by seasoned investment professionals at Pilgrim Investments,
Inc. 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. 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 successful investment experience.(SM)
Sincerely,
/s/ Robert W. Stallings
Robert W. Stallings
Chairman and Chief Executive Officer
Pilgrim Group, Inc.
February 8, 2000
(1) The Semi-Annual Report for other Pilgrim Fund classes has been issued
separately.
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 period November 22, 1999 (the class inception date),
through December 31, 1999, the Fund's Class Q shares, excluding sales charges,
provided a total return of 0.81%, compared to the Standard & Poor's 500 Index,
which gained 8.08% 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 conditions, the
circumstances of the company and the sector within which it falls. The bull
2
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Portfolio
Manager's Report PILGRIM MAGNACAP FUND
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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 period ended December 31, 1999
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Since Inception
11/22/99
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Class 0.81%
S&P 50 8.08%
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.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities.
See accompanying index descriptions on page 28.
3
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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 U.S. 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 Q
shares, excluding sales charges, provided a total return of 96.93% 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.
4
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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
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Since Inception
1 Year 7/21/97
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Class Q 96.93% 64.48%
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.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities.
See accompanying index descriptions on page 28.
5
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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
through investments in U.S. securities corresponding to the middle 90% of the
Russell Midcap Growth Index at the time of purchase.
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 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 U.S. 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 Q
shares, excluding sales charges, provided a total return of 98.50% 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.
6
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Portfolio
Manager's Report PILGRIM MIDCAP GROWTH FUND
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Average Annual Total Returns for
the Periods Ended December 31, 1999
-------------------------------------
Since Inception
1 Year 5 Year 6/30/94
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Class Q 98.50% 33.44% 30.35%
Russell MidCap Growth Index 51.29% 28.02% 26.43%
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.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities. To the extent the Fund invests in smallcap companies,
stocks of smaller companies may entail greater price variability than those of
larger companies.
See accompanying index descriptions on page 28.
7
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U.S. Equity
Funds
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Portfolio
PILGRIM SMALLCAP GROWTH FUND Manager's Report
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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 Small Cap Growth Fund seeks to maximize long-term capital appreciation
through investments primarily in U.S. companies with market capitalizations
corresponding to the middle 90% of the Russell 2000 Growth Index at time of
purchase.
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 indexes 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 U.S. 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 Q shares,
excluding sales charges, provided a total return of 90.58% 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.
8
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Portfolio
Manager's Report PILGRIM SMALLCAP GROWTH FUND
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Average Annual Total Returns
for the Periods Ended
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Since Inception
1 Year 8/31/95
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Class Q 90.58% 26.47%
Russell 2000 Growth Index 43.09% 15.76%
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.
Principal Risk Factor(s): In exchange for higher growth potential, stocks of
smaller companies may entail greater price variability than those of larger
companies. International investing does pose special risks, including currrency
fluctuation and political risks not found in investments that are solely
domestic.
See accompanying index descriptions on page 28.
9
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International
Equity Funds
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Portfolio
PILGRIM WORLDWIDE GROWTH FUND Manager's Report
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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
through investments in growth-oriented companies around the world, regardless of
geographic location.
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 Q
shares, excluding sales charges, provided a total return of 83.79% 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.
10
<PAGE>
Portfolio
Manager's Report PILGRIM WORLDWIDE GROWTH FUND
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Average Annual Total Returns
for the Periods Ended
--------------------------
Since Inception
1 Year 8/31/95
------ ---------------
Class Q 83.79% 33.83%
MSCI World Index 23.56% 20.42%
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.
Principal Risk Factor(s): International investing does pose special risks,
including currency fluctuation 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 28.
11
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International
Equity Funds
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PILGRIM INTERNATIONAL Portfolio
CORE GROWTH FUND Manager's Report
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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 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 November.
Developed non-U.S. 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 Q
shares, excluding sales charges, provided a total return of 66.97% 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.
12
<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
------ ---------------
Class Q 66.97% 36.19%
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.
Principal Risk Factor(s): International investing does pose special risks,
including fluctuation and political risks not found in investments that are
solely domestic.
See accompanying index descriptions on page 28.
13
<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-U.S. equity markets in the
fourth quarter: 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, 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 Q
shares, excluding sales charges, provided a total return of 121.97% compared to
the Salomon EPAC/EMI (Europe Pacific Australasia Composite Extended Market
Index), which returned 23.19% for the same period.
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
14
<PAGE>
Portfolio PILGRIM INTERNATIONAL
Manager's Report SMALLCAP GROWTH FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns for
the Periods Ended December 31,
----------------------------
Since Inception
1 Year 8/31/95
------ ---------------
Class Q 121.97% 38.48%
Salomon EPAC EMI Index 23.19% 7.65%
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.
Principal Risk Factor(s): International investing does pose special risks,
including currency fluctuation 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 subadviser believes they present attractive investment
opportunities. Risks of foreign investing are generally intensified for
investments in emerging markets.
See accompanying index descriptions on page 28.
15
<PAGE>
- -------------
International
Equity Funds
- -------------
Portfolio
PILGRIM EMERGING COUNTRIES 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; 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 Q
shares, excluding sales charges, provided a total return of 76.30% 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.
16
<PAGE>
Portfolio
Manager's Report PILGRIM EMERGING COUNTRIES FUND
- --------------------------------------------------------------------------------
Average Annual Total
Returns for the Periods
-------------------------
Since Inception
1 Year 8/31/95
------ ---------------
Class Q 76.30% 15.20%
MSCI EMF Index 63.70% 0.97%
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.
Principal Risk Factor(s): International investing does pose special risks,
including currency fluctuation 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 subadviser believes they present attractive
investment opportunities. Risks of foreign investing are generally intensified
for investments in emerging markets.
See accompanying index descriptions on page 28.
17
<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 Q
shares, excluding sales charges, declined 0.97% 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 probability that the FOMC will
18
<PAGE>
Portfolio
Manager's Report PILGRIM STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
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
------ ---------------
Class Q -0.97% 1.90%
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.
Principal Risk Factor(s): 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.
See accompanying index descriptions on page 28.
19
<PAGE>
- ------
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 period June 17, 1999 to December 31, 1999, the Fund Class Q
shares, excluding sales charges, declined 0.73% compared to the Lehman Brothers
High Yield Index, an unmanaged index of high yield bonds, which returned 0.19%,
and the First Boston High Yield Index, an unmanaged index of high yield bonds,
which returned 0.45% 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.
20
<PAGE>
Portfolio
Manager's Report PILGRIM HIGH YIELD FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns for
the Period Ended December 31,
--------------------------------
Since Inception
6/17/99
-------
Class Q -0.73%
Figh Yield Index 0.45%
Leld Index 0.19%
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.
Principal Risk Factor(s): Exposure to financial market and interest rate risk.
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 28.
21
<PAGE>
- ------
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 Q
shares, excluding sales charges, provided a total return of 6.03% 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.
22
<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
------ ---------------
Class Q 6.03% 2.68%
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.
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.
See accompanying index descriptions on page 28.
23
<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 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.
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.
24
<PAGE>
Portfolio
Manager's Report PILGRIM BALANCED FUND
- --------------------------------------------------------------------------------
We exploited the year-end drought in investment grade 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 Q
shares, excluding sales charges, provided a total return of 8.69%, 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
--------------------------
Since Inception
1 Year 8/31/95
------ ---------------
Class Q 8.69% 15.91%
60% S&P 500/40% Lehman Aggregate 11.77% 18.57%
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.
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, and economic and political risks not found in investments
that are solely domestic. Higher yields reflect 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 28.
25
<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 U.S. 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 U.S. 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 U.S. 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 Q
shares, excluding sales charges, provided a total return of 50.44% 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 U.S. 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.
26
<PAGE>
Portfolio
Manager's Report PILGRIM CONVERTIBLE FUND
- --------------------------------------------------------------------------------
Average Annual Total Returns
for the Periods Ended
--------------------------
Since Inception
1 Year 8/31/95
------ ---------------
Class Q 50.44% 26.88%
First Boston Convertible Index 42.28% 17.38%
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.
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 28.
27
<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 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 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 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 Lehman Brothers Aggregate Bond Index is an index of fixed income securities.
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.
28
<PAGE>
- -------
Pilgrim
Funds
- -------
INDEX DESCRIPTIONS (Continued)
- --------------------------------------------------------------------------------
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.
All indices are unmanaged.
An investor cannot invest directly in an index.
29
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LargeCap MidCap SmallCap
MagnaCap Growth Growth Growth
Fund Fund Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities at market value* $464,096,916 $432,145,351 $424,763,734 $446,278,607
Short-term investments at amortized cost 18,125,971 22,913,000 10,855,000 --
Cash 43,159 6,574 17,087 --
Receivables:
Fund shares sold 273,765 8,336,929 1,585,358 1,405,097
Dividends and interest 509,716 145,577 14,803 54,826
Due from affiliate -- -- 36,524 43,939
Investment securities sold -- 3,175,965 637,713 5,763,776
Other -- 503 -- 12,950
Prepaid expenses 64,883 46,149 31,977 48,619
------------ ------------ ------------ ------------
Total Assets 483,114,410 466,770,048 437,942,196 453,607,814
LIABILITIES:
Payable for investment securities purchased -- 16,073,243 5,973,222 1,052,907
Payable for fund shares redeemed 1,043,903 409,623 558,232 522,048
Payable to affiliate 541 1,446 -- --
Payable to custodian -- -- -- 1,257,546
Other accrued expenses and liabilities 1,187,130 386,272 524,445 437,972
------------ ------------ ------------ ------------
Total Liabilities 2,231,574 16,870,584 7,055,899 3,270,473
------------ ------------ ------------ ------------
NET ASSETS $480,882,836 $449,899,464 $430,886,297 $450,337,341
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital $335,637,562 $309,654,824 $210,919,947 $279,553,816
Undistributed (overdistributed) net investment income (285,070) (1,258,524) (2,561,964) (2,946,828)
Accumulated net realized gain (loss) on investments (2,751,702) 6,662,113 11,374,498 (16,091,465)
Net unrealized appreciation (depreciation) of investments 148,282,046 134,841,051 211,153,816 189,821,818
------------ ------------ ------------ ------------
Net Assets $480,882,836 $449,899,464 $430,886,297 $450,337,341
============ ============ ============ ============
* Cost of securities $315,814,870 $297,304,300 $213,609,918 $256,456,789
</TABLE>
30
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LargeCap MidCap SmallCap
MagnaCap Growth Growth Growth
Fund Fund Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Class A:
Net Assets $343,627,580 $118,231,647 $110,999,877 $148,392,238
Shares authorized 80,000,000 unlimited unlimited unlimited
Par Value $ 1.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 21,135,630 2,930,040 4,296,452 8,462,791
Net asset value and redemption price per share $ 16.26 $ 40.35 $ 25.84 $ 17.53
Maximum offering price per share $ 17.25 $ 42.81 $ 27.42 $ 18.60
Class B:
Net Assets $109,428,063 $227,042,117 $ 85,200,916 $ 76,896,757
Shares authorized 80,000,000 unlimited unlimited unlimited
Par Value $ 1.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 6,879,903 5,631,296 2,804,402 3,486,799
Net asset value and redemption price per share $ 15.91 $ 40.32 $ 30.38 $ 22.05
Maximum offering price per share $ 15.91 $ 40.32 $ 30.38 $ 22.05
Class C:
Net Assets $ 2,684,290 $ 87,228,762 $220,867,071 $213,993,524
Shares authorized 80,000,000 unlimited unlimited unlimited
Par Value $ 1.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 168,736 2,169,290 9,255,323 12,408,565
Net asset value and redemption price per share $ 15.91 $ 40.21 $ 23.86 $ 17.25
Maximum offering price per share $ 15.91 $ 40.21 $ 23.86 $ 17.25
Class M:
Net Assets $ 15,145,899 n/a n/a n/a
Shares authorized 40,000,000 n/a n/a n/a
Par Value $ 1.00 n/a n/a n/a
Shares outstanding 942,476 n/a n/a n/a
Net asset value and redemption price per share $ 16.07 n/a n/a n/a
Maximum offering price per share $ 16.65 n/a n/a n/a
Class Q:
Net Assets $ 9,997,004 $ 17,396,938 $ 13,818,433 $ 11,054,822
Shares authorized 40,000,000 unlimited unlimited unlimited
Par Value $ 1.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 615,006 425,490 422,591 566,739
Net asset value and redemption price per share $ 16.26 $ 40.89 $ 32.70 $ 19.51
Maximum offering price per share $ 16.26 $ 40.89 $ 32.70 $ 19.51
</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.
See Accompanying Notes to Financial Statements
31
<PAGE>
- -------------
International
Equity Funds
- -------------
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Worldwide International International Emerging
Growth Core Growth SmallCap Countries
Fund Fund Growth Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities at market value* $448,254,573 $ 75,611,707 $395,921,134 $234,069,820
Short-term investments at amortized cost 17,453,000 292,000 31,803,000 1,379,000
Foreign currency** -- 53,117 1,133,073 1,135,371
Cash 583,402 -- 565,895 --
Receivables:
Fund shares sold 6,685,799 345,160 9,287,906 740,549
Dividends and interest 214,331 75,356 74,296 504,553
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
------------ ------------ ------------ ------------
Total Assets 476,528,234 77,032,617 441,807,007 239,152,112
------------ ------------ ------------ ------------
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
Payable to affiliate 2,850 -- -- --
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
------------ ------------ ------------ ------------
Total Liabilities 10,517,389 1,092,944 7,604,418 4,638,844
------------ ------------ ------------ ------------
NET ASSETS $466,010,845 $ 75,939,673 $434,202,589 $234,513,268
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital $299,830,877 $ 46,624,852 $258,562,364 $230,008,734
Undistributed (overdistributed) net investment income (2,245,389) (417,370) (1,216,494) (1,461,149)
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)
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
------------ ------------ ------------ ------------
Net Assets $466,010,845 $ 75,939,673 $434,202,589 $234,513,268
============ ============ ============ ============
* Cost of securities $285,746,310 $ 47,315,847 $242,767,278 $152,857,038
** Cost of foreign currency $ -- $ 53,070 $ 1,130,289 $ 1,134,720
</TABLE>
See Accompanying Notes to Financial Statements
32
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Worldwide International International Emerging
Growth Core Growth SmallCap Countries
Fund Fund Growth Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Class A:
Net Assets $150,384,169 $ 19,460,387 $146,056,798 $ 68,448,657
Shares authorized unlimited unlimited unlimited unlimited
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 4,834,640 711,486 3,597,228 3,110,207
Net asset value and redemption price per share $ 31.11 $ 27.35 $ 40.60 $ 22.01
Maximum offering price per share $ 33.00 $ 29.02 $ 43.08 $ 23.35
Class B:
Net Assets $ 82,285,716 $ 19,465,336 $ 77,784,490 $ 33,018,778
Shares authorized unlimited unlimited unlimited unlimited
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 2,348,993 708,473 1,808,103 1,484,626
Net asset value and redemption price per share $ 35.03 $ 27.48 $ 43.02 $ 22.24
Maximum offering price per share $ 35.03 $ 27.48 $ 43.02 $ 22.24
Class C:
Net Assets $190,853,232 $ 21,104,381 $ 72,787,019 $ 30,441,808
Shares authorized unlimited unlimited unlimited unlimited
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 6,128,111 765,476 1,842,815 1,421,241
Net asset value and redemption price per share $ 31.14 $ 27.57 $ 39.50 $ 21.42
Maximum offering price per share $ 31.14 $ 27.57 $ 39.50 $ 21.42
Class M:
Net Assets n/a n/a n/a n/a
Shares authorized n/a n/a n/a n/a
Par Value n/a n/a n/a n/a
Shares outstanding n/a n/a n/a n/a
Net asset value and redemption price per share n/a n/a n/a n/a
Maximum offering price per share n/a n/a n/a n/a
Class Q:
Net Assets $ 42,487,728 $ 15,909,569 $137,574,282 $102,604,025
Shares authorized unlimited unlimited unlimited unlimited
Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00
Shares outstanding 1,186,820 559,611 3,208,072 4,536,725
Net asset value and redemption price per share $ 35.80 $ 28.43 $ 42.88 $ 22.62
Maximum offering price per share $ 35.80 $ 28.43 $ 42.88 $ 22.62
</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.
See Accompanying Notes to Financial Statements
33
<PAGE>
- ------
Income
Funds
- ------
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Strategic
Income High Yield High Yield
Fund Fund Fund II
----------- ------------ ------------
<S> <C> <C> <C>
ASSETS:
Investments in securities at market value* $11,655,208 $343,432,611 $ 69,397,575
Short-term investments at amortized cost 662,000 22,531,603 9,401,000
Cash 81,916 -- 8,740
Receivables:
Fund shares sold 78,086 1,536,751 103,681
Interest 166,530 10,499,490 1,051,376
Due from affiliate 74,913 33,922 19,301
Investment securities sold -- 970,604 970,604
Other 7,452 -- --
Prepaid expenses 66,043 73,153 66,292
Deferred organization costs -- -- --
----------- ------------ ------------
Total Assets 12,792,148 379,078,134 81,018,569
----------- ------------ ------------
LIABILITIES:
Payable for investment securities purchased 289,431 -- 3,119,391
Payable for fund shares redeemed 26,596 2,549,790 495,308
Payable to custodian -- 458,244 --
Distributions payable 883 -- 343,929
Other accrued expenses and liabilities 62,057 573,080 49,036
----------- ------------ ------------
Total Liabilities 378,967 3,581,114 4,007,664
----------- ------------ ------------
NET ASSETS $12,413,181 $375,497,020 $ 77,010,905
=========== ============ ============
NET ASSETS CONSIST OF:
Paid-in capital $13,608,322 $455,788,834 $ 86,045,494
Undistributed (overdistributed) net investment income 149,553 (953,951) (213,962)
Accumulated net realized loss on investments and
foreign currency transactions (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 (266,605) (21,085,620) (1,448,361)
----------- ------------ ------------
Net Assets $12,413,181 $375,497,020 $ 77,010,905
=========== ============ ============
* Cost of securities $11,921,450 $364,518,231 $ 70,845,936
</TABLE>
34
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Strategic
Income High Yield High Yield
Fund Fund Fund II
----------- ------------ -----------
<S> <C> <C> <C>
Class A:
Net Assets $ 2,453,211 $108,040,533 $10,415,208
Shares authorized unlimited 80,000,000 unlimited
Par Value $ 0.00 $ 0.00 $ 0.00
Shares outstanding 201,699 19,617,873 932,799
Net asset value and redemption price per share $ 12.16 $ 5.51 $ 11.17
Maximum offering price per share $ 12.77 $ 5.78 $ 11.72
Class B:
Net Assets $ 5,406,558 $243,074,580 $40,553,266
Shares authorized unlimited 80,000,000 unlimited
Par Value $ 0.00 $ 0.00 $ 0.00
Shares outstanding 454,240 44,228,094 3,632,560
Net asset value and redemption price per share $ 11.90 $ 5.50 $ 11.16
Maximum offering price per share $ 11.90 $ 5.50 $ 11.16
Class C:
Net Assets $ 4,379,664 $ 5,614,076 $16,859,743
Shares authorized unlimited 80,000,000 unlimited
Par Value $ 0.00 $ 0.00 $ 0.00
Shares outstanding 353,648 1,022,363 1,509,836
Net asset value and redemption price per share $ 12.38 $ 5.49 $ 11.17
Maximum offering price per share $ 12.38 $ 5.49 $ 11.17
Class M:
Net Assets n/a $ 18,767,801 n/a
Shares authorized n/a 40,000,000 n/a
Par Value n/a n/a $ 0.00
Shares outstanding n/a 3,411,754 n/a
Net asset value and redemption price per share n/a $ 5.50 n/a
Maximum offering price per share n/a $ 5.69 n/a
Class Q:
Net Assets $ 173,748 $ 30 $ 9,182,688
Shares authorized unlimited 80,000,000 unlimited
Par Value $ 0.00 $ 0.00 $ 0.00
Shares outstanding 15,027 5 821,972
Net asset value and redemption price per share $ 11.56 $ 5.57 $ 11.17
Maximum offering price per share $ 11.56 $ 5.57 $ 11.17
</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.
See Accompanying Notes to Financial Statements
35
<PAGE>
- ------------
Equity &
Income Funds
- ------------
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Balanced Convertible
Fund Fund
------------ ------------
<S> <C> <C>
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
</TABLE>
36
<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.
See Accompanying Notes to Financial Statements
37
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LargeCap MidCap SmallCap
MagnaCap Growth Growth Growth
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 $ 3,277,451 $ 283,411 $ 107,595 $ 158,187
Interest 843,870 362,980 108,000 338,541
Securities lending -- -- -- 11,984
----------- ------------ ------------ ------------
Total investment income 4,121,321 646,391 215,595 508,712
----------- ------------ ------------ ------------
EXPENSES:
Investment management fees 1,715,475 835,391 1,159,517 1,717,149
Distribution expenses 1,019,080 648,466 913,391 973,749
Transfer agent and registrar fees 556,275 112,555 197,031 229,828
Shareholder reporting 143,075 22,058 80,444 86,323
Shareholder servicing fee 141,025 233,258 327,307 341,605
Registration and filing fees 71,330 14,512 11,663 12,753
Professional fees 66,315 7,381 24,341 24,628
Recordkeeping and pricing fees 63,825 8,999 20,002 23,382
Custodian fees 47,815 13,367 33,572 38,665
Directors' fees 27,000 1,080 5,760 6,300
Miscellaneous 24,875 12,135 45,697 49,316
Insurance 12,707 914 4,303 5,149
Interest and credit facility fee 4,406 1,281 2,161 1,770
Organization expense -- -- -- --
----------- ------------ ------------ ------------
Total expenses 3,893,203 1,911,397 2,825,189 3,510,617
----------- ------------ ------------ ------------
Less:
Waived and reimbursed fees -- -- 39,890 49,697
Earnings credits 865 6,054 1,615 --
----------- ------------ ------------ ------------
Net expenses 3,892,338 1,905,343 2,783,684 3,460,920
----------- ------------ ------------ ------------
Net investment income (loss) 228,983 (1,258,952) (2,568,089) (2,952,208)
----------- ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) from investments (3,059,907) 2,130,380 22,451,411 57,341,218
Net change in unrealized appreciation
(depreciation) of investments 12,313,998 119,317,768 146,205,625 105,716,659
----------- ------------ ------------ ------------
Net gain (loss) from investments 9,254,091 121,448,148 168,657,036 163,057,877
----------- ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 9,483,074 $120,189,196 $166,088,947 $160,105,669
=========== ============ ============ ============
</TABLE>
See Accompanying Notes to Financial Statements
38
<PAGE>
- -------------
International
Equity Funds
- -------------
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Worldwide International International Emerging
Growth Core Growth SmallCap Countries
Fund Fund Growth Fund Fund
------------ ------------ ------------ ------------
Six Months Ended Six Months Ended Six Months Ended Six Months 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 $ 293,672 $ 34,450 $ 295,394 $ 568,924
Interest 395,011 48,446 523,579 57,554
Other investment income 4,335 1,413 16,351 13,841
------------ ------------ ------------ ------------
Total investment income 693,018 84,309 835,324 640,319
------------ ------------ ------------ ------------
EXPENSES:
Investment management fees 1,478,047 271,309 1,117,692 1,171,249
Distribution expenses 783,336 125,408 382,128 259,892
Shareholder servicing fee 299,482 57,030 224,129 193,132
Transfer agent and registrar fees 144,638 62,400 128,825 192,514
Custodian fees 89,696 74,576 103,114 317,870
Shareholder reporting 57,133 15,360 17,889 48,505
Miscellaneous 37,707 11,538 17,023 13,066
Recordkeeping and pricing fees 20,555 18,464 16,918 41,433
Professional fees 15,401 4,378 9,546 11,259
Registration and filing fees 11,019 10,996 11,975 12,220
Directors' fees 3,960 1,259 1,980 3,240
Insurance 2,088 562 6,807 1,948
Interest and credit facility fee 1,412 7,507 14,067 22,786
Organization expense -- -- -- --
------------ ------------ ------------ ------------
Total expenses 2,944,474 660,787 2,052,093 2,289,114
------------ ------------ ------------ ------------
Less:
Waived and reimbursed fees -- 91,115 -- 187,646
------------ ------------ ------------ ------------
Net expenses 2,944,474 569,672 2,052,093 2,101,468
------------ ------------ ------------ ------------
Net investment loss (2,251,456) (485,363) (1,216,769) (1,461,149)
------------ ------------ ------------ ------------
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
Foreign currency transactions (384,274) (197,027) (666,597) (333,811)
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
Translation of other assets, liabilities and
forward contracts denominated in foreign
currencies 9,682 43,619 21,921 (14,943)
------------ ------------ ------------ ------------
Net gain from investments and foreign currencies 141,471,762 26,205,261 155,404,730 57,641,463
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $139,220,306 $ 25,719,898 $154,187,961 $ 56,180,314
============ ============ ============ ============
</TABLE>
See Accompanying Notes to Financial Statements
39
<PAGE>
- ------
Income
Funds
- ------
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Strategic
Income High Yield High Yield
Fund Fund Fund II
---------- ------------ -----------
Six Months Six Months Six Months
Ended Ended Ended
December 31, December 31, December 31,
1999 1999 1999
---------- ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends, net of foreign taxes $ 42,655 $ 4,556 $ 5,879
Interest 571,201 21,966,521 4,283,793
Other investment income -- 110,009 84,840
---------- ------------ -----------
Total investment income 613,856 22,081,086 4,374,512
---------- ------------ -----------
EXPENSES:
Investment management fees 33,218 1,203,016 232,379
Distribution expenses 32,757 1,199,762 239,826
Transfer agent and registrar fees 41,599 271,468 49,330
Registration and filing fees 11,144 59,666 10,689
Shareholder servicing fee 16,228 316,858 86,650
Custodian fees 4,339 27,785 11,667
Shareholder reporting 4,543 85,522 13,033
Professional fees 1,248 37,080 4,877
Recordkeeping and pricing fees 5,408 44,626 7,947
Miscellaneous 4,128 14,770 11,603
Directors' fees 1,261 20,520 3,960
Insurance 229 9,000 937
Interest and credit facility fee 130 18,333 5,317
Organization expenses -- -- --
Administrative fee -- -- --
---------- ------------ -----------
Total expenses 156,232 3,308,406 678,215
---------- ------------ -----------
Less:
Waived and reimbursed fees 62,580 270,624 54,172
Earnings credits 208 3,580 2,492
---------- ------------ -----------
Net expenses 93,444 3,034,202 621,551
---------- ------------ -----------
Net investment income 520,412 19,046,884 3,752,961
---------- ------------ -----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized loss from:
Investments (633,114) (17,061,749) (3,013,286)
Foreign currency transactions -- -- --
Net change in unrealized appreciation (depreciation) of:
Investments 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 (557,052) (28,803,741) (2,721,386)
---------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (36,640) $ (9,756,857) $ 1,031,575
========== ============= ===========
</TABLE>
See Accompanying Notes to Financial Statements
40
<PAGE>
- ------------
Equity &
Income Funds
- ------------
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Balanced Fund Convertible Fund
--------- -----------
Six Months Six Months
Ended Ended
December 31, December 31,
1999 1999
--------- -----------
<S> <C> <C>
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
========= ===========
</TABLE>
See Accompanying Notes to Financial Statements
41
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MagnaCap Fund LargeCap Growth Fund
----------------------------- ---------------------------------------------
Six Months Year Six Months Three Months Year
Ended Ended Ended Ended Ended
Dec. 31, 1999 June 30, Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 (Unaudited) 1999 1999
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Increase (decrease) in net assets from operations:
Net investment income (loss) $ 228,983 $ 1,122,179 $ (1,258,952) $ (163,823) $ (196,384)
Net realized gain (loss) from investments (3,059,907) 49,186,475 2,130,380 2,418,689 5,409,155
Net change in unrealized appreciation
(depreciation) of investments 12,313,998 17,754,811 119,317,768 6,320,924 9,499,395
------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net assets from
operations 9,483,074 68,063,465 120,189,196 8,575,790 14,712,166
------------- ------------- ------------- ------------- -------------
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) (2,952,299) -- (262,973)
Advisory and institutional classes -- -- (132,325) -- (41,543)
------------- ------------- ------------- ------------- -------------
Total distributions (49,928,637) (46,678,703) (3,084,624) -- (304,516)
------------- ------------- ------------- ------------- -------------
Capital Share Transactions:
Net proceeds from sale of shares 92,860,623 272,199,176 256,187,566 52,500,065 35,925,823
Shares resulting from dividend reinvestments 45,856,781 37,748,339 2,520,992 -- 292,849
Cost of shares redeemed (119,076,470) (270,865,970) (28,877,614) (3,028,700) (11,532,699)
Redemption of Class I shares n/a n/a n/a (6,420,194) --
------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from capital share transactions 19,640,934 39,081,545 229,830,944 43,051,171 24,685,973
------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net assets (20,804,629) 60,466,307 346,935,516 51,626,961 39,093,623
------------- ------------- ------------- ------------- -------------
Net assets, beginning of period 501,687,465 441,221,158 102,963,948 51,336,987 12,243,364
------------- ------------- ------------- ------------- -------------
Net assets, end of period $ 480,882,836 $ 501,687,465 $ 449,899,464 $ 102,963,948 $ 51,336,987
============= ============= ============= ============= =============
Undistributed net investment income (loss) $ (285,070) $ 536,313 $ (1,258,524) $ -- $ (225,010)
============= ============= ============= ============= =============
</TABLE>
See Accompanying Notes to Financial Statements
42
<PAGE>
- -----------
U.S. Equity
Funds
- -----------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MidCap Growth Fund SmallCap Growth 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> <C>
Increase (decrease) in net assets
from operations:
Net investment income (loss) $ (2,568,089) $ (1,221,010) $ (4,514,125) $ (2,952,208) $ (1,566,497) $ (7,200,570)
Net realized gain from
investments 22,451,411 37,699,336 47,761,620 57,341,218 67,438,450 86,043,833
Net change in unrealized
appreciation (depreciation) of
investments 146,205,625 (14,395,996) 8,536,297 105,716,659 (18,557,187) (93,770,559)
------------ ------------- ------------- ------------- ------------- ---------------
Net increase (decrease) in net
assets from operations 166,088,947 22,082,330 51,783,792 160,105,669 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 (85,719,063) -- (17,157,024) (153,336,602) -- (43,179,861)
Advisory and institutional
classes (2,674,725) -- (6,615,537) (5,061,980) -- (10,999,123)
------------ ------------- ------------- ------------- ------------- ---------------
Total distributions (88,393,788) -- (23,772,561) (158,398,582) -- (54,178,984)
------------ ------------- ------------- ------------- ------------- ---------------
Capital Share Transactions:
Net proceeds from sale of shares 63,746,696 14,162,841 158,133,048 78,093,569 17,931,971 972,155,767
Shares resulting from dividend
reinvestments 78,989,743 -- 12,306,426 136,804,915 -- 42,870,637
Cost of shares redeemed (69,680,686) (21,991,325) (249,866,820) (82,840,952) (33,776,345) (1,191,789,767)
Redemption of Class I shares n/a (168,592,944) -- n/a (221,318,827) n/a
------------ ------------- ------------- ------------- ------------- ---------------
Net increase (decrease) in net
assets resulting from capital
share transactions 73,055,753 (176,421,428) (79,427,346) 132,057,532 (237,163,201) (176,763,363)
------------ ------------- ------------- ------------- ------------- ---------------
Net increase (decrease) in net
assets 150,750,912 (154,339,098) (51,416,115) 133,764,619 (189,848,435) (245,869,643)
------------ ------------- ------------- ------------- ------------- ---------------
Net assets, beginning of period 280,135,385 434,474,483 485,890,598 316,572,722 506,421,157 752,290,800
------------ ------------- ------------- ------------- ------------- ---------------
Net assets, end of period $430,886,297 $ 280,135,385 $ 434,474,483 $ 450,337,341 $ 316,572,722 $ 506,421,157
============ ============= ============= ============= ============= ===============
Undistributed net investment
income (loss) $ (2,561,964) $ -- $ (21,862,409) $ (2,946,828) $ -- $ (36,692,610)
============ ============= ============= ============= ============= ===============
</TABLE>
See Accompanying Notes to Financial Statements
43
<PAGE>
- -------------
International
Equity Funds
- -------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Worldwide Growth Fund International Core Growth 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 1998 (Unaudited) 1999 1999
------------- ------------- ------------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets
from operations:
Net investment income (loss) $ (2,251,456) $ (238,891) $ (1,461,258) $ (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) 11,671,648 4,825,170 34,449,340 2,989,833 3,913,039 (528,900)
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 23,215,428 4,018,188 13,512,294
------------- ------------- ------------- ------------ ------------- -------------
Net increase (decrease) in net
assets from operations 139,220,306 24,953,835 45,602,103 25,719,898 8,000,860 12,672,837
------------- ------------- ------------- ------------ ------------- -------------
Distributions to shareholders:
From net investment income:
Retail class -- -- (136,708) -- -- (205,129)
Advisory and institutional classes -- -- (337,084) -- -- (29,622)
From net realized gains:
Retail class (34,182,894) -- (20,785,812) (2,344,213) -- (155,723)
Advisory and institutional classes (3,489,639) -- (483,831) (593,453) -- (13,021)
------------- ------------- ------------- ------------ ------------- -------------
Total distributions (37,672,533) -- (21,743,435) (2,937,666) -- (403,495)
------------- ------------- ------------- ------------ ------------- -------------
Capital Share Transactions:
Net proceeds from sale of shares 180,134,322 53,831,659 242,170,764 49,618,685 35,644,077 173,884,589
Shares resulting from dividend
reinvestments 33,052,950 -- 5,494,245 2,747,513 -- 228,203
Cost of shares redeemed (69,026,984) (25,822,612) (168,874,579) (44,977,289) (47,242,674) (82,311,581)
Redemption of Class I shares n/a (80,662,778) -- n/a (112,851,333) --
------------- ------------- ------------- ------------ ------------- -------------
Net increase (decrease) in net
assets resulting from capital
share transactions 144,160,288 (52,653,731) 78,790,430 7,388,909 (124,449,930) 91,801,211
------------- ------------- ------------- ------------ ------------- -------------
Net increase (decrease) in
net assets 245,708,061 (27,699,896) 102,649,098 30,171,141 (116,449,070) 104,070,553
------------- ------------- ------------- ------------ ------------- -------------
Net assets, beginning of period 220,302,784 248,002,680 145,353,582 45,768,532 162,217,602 58,147,049
------------- ------------- ------------- ------------ ------------- -------------
Net assets, end of period $ 466,010,845 $ 220,302,784 $ 248,002,680 $ 75,939,673 $ 45,768,532 $ 162,217,602
============= ============= ============= ============ ============= =============
Undistributed net investment
income (loss) $ (2,245,389) $ -- $ (7,189,744) $ (417,370) $ 69,633 $ (647,924)
============= ============= ============= ============ ============= =============
</TABLE>
See Accompanying Notes to Financial Statements
44
<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>
See Accompanying Notes to Financial Statements
45
<PAGE>
- ------
Income
Funds
- ------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<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
46
<PAGE>
- ------
Income
Funds
- ------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
High Yield Fund High Yield Fund II
------------------------------ -----------------------------------------------
Six Months Year Six Months Three Months Year
Ended Ended Ended Ended Ended
Dec. 31, 1999 June 30, Dec. 31, 1999 June 30, March 31,
(Unaudited) 1999 (Unaudited) 1999 1999
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Increase (decrease) in net assets from
operations:
Net investment income $ 19,046,884 $ 32,082,228 $ 3,752,961 $ 2,117,917 $ 7,088,233
Net realized loss from investment and
foreign currency transactions (17,061,749) (39,880,708) (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 (11,741,992) (9,008,796) 291,900 1,222,666 (2,908,667)
------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net assets from
operations (9,756,857) (16,807,276) 1,031,575 1,689,524 1,221,566
------------- ------------- ------------- ------------- -------------
Distributions to shareholders:
From net investment income:
Retail class (20,000,833) (33,382,295) (3,548,741) (1,816,752) (6,010,027)
Advisory and institutional classes (2) -- (224,262) (243,368) (1,342,628)
Tax return of capital
Retail class -- (604,370) -- -- --
Advisory and institutional classes -- -- -- -- --
------------- ------------- ------------- ------------- -------------
Total distributions (20,000,835) (33,986,665) (3,773,003) (2,060,120) (7,352,655)
------------- ------------- ------------- ------------- -------------
Capital Share Transactions:
Net proceeds from sale of shares 76,584,151 338,787,788 21,355,286 5,060,774 103,808,906
Net proceeds from shares issued in merger n/a n/a n/a n/a n/a
Shares resulting from dividend reinvestments 7,958,487 15,394,375 1,501,404 636,667 3,545,605
Cost of shares redeemed (97,091,886) (162,095,950) (23,628,556) (12,563,115) (31,561,090)
Redemption of Class I shares n/a n/a n/a (11,636,641) --
------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from capital share transactions (12,549,248) 192,086,213 (771,866) (18,502,315) 75,793,421
------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net assets (42,306,940) 141,292,272 (3,513,294) (18,872,911) 69,662,332
------------- ------------- ------------- ------------- -------------
Net assets, beginning of period 417,803,960 276,511,688 80,524,199 99,397,110 29,734,778
------------- ------------- ------------- ------------- -------------
Net capital share transactions $ 375,497,020 $ 417,803,960 $ 77,010,905 $ 80,524,199 $ 99,397,110
============= ============= ============= ============= =============
Undistributed net investment income (loss) $ (953,951) $ -- $ (213,962) $ (193,920) $ (251,717)
============= ============= ============= ============= =============
</TABLE>
- ----------
* Fund commenced operations on July 12, 1999.
See Accompanying Notes to Financial Statements
47
<PAGE>
- ------------
Equity &
Income Funds
- ------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Balanced Fund Convertible 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> <C>
Increase (decrease) in net assets
from operations:
Net investment income $ 560,384 $ 149,349 $ 568,429 $ 1,823,449 $ 1,054,881 $ 5,162,409
Net realized gain from investment
and foreign currency transactions 339,986 4,490,910 3,763,578 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 26,417 (4,167,142) 1,187,390 60,745,085 3,889,849 19,262,427
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets
from operations 926,787 473,117 5,519,397 84,750,798 18,112,528 49,880,700
------------- ------------- ------------- ------------- ------------- -------------
Distributions to shareholders:
From net investment income:
Retail class (788,649) (96,590) (606,434) (1,536,909} (742,927) (2,822,214)
Advisory and institutional classes (4,652) (798) (29,342) (205,044) (88,744) (2,357,057)
From net realized gains:
Retail class (7,318,123) -- (5,988,621) (38,767,375) -- (3,158,579)
Advisory and institutional classes (37,408) -- (133,020) (3,361,907) -- (915,964)
------------- ------------- ------------- ------------- ------------- -------------
Total distributions (8,148,832) (97,388) (6,757,417) (43,871,235) (831,671) (9,253,814)
------------- ------------- ------------- ------------- ------------- -------------
Capital Share Transactions:
Net proceeds from sale of shares 4,830,273 2,993,582 12,882,116 65,358,045 28,114,039 83,841,725
Shares resulting from dividend
reinvestments 6,970,005 41,034 5,548,500 37,665,804 465,422 6,950,787
Cost of shares redeemed (5,327,455) (2,512,012) (12,665,619) (40,307,820) (13,251,963) (66,351,226)
Redemption of Class I shares n/a n/a n/a n/a (91,378,691) --
------------- ------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from capital
share transactions 6,472,823 522,604 5,764,997 62,716,029 (76,051,193) 24,441,286
------------- ------------- ------------- ------------- ------------- -------------
Net increase (decrease) in
net assets (749,222) 898,333 4,526,977 103,595,592 (58,770,336) 65,068,172
------------- ------------- ------------- ------------- ------------- -------------
Net assets, beginning of period 38,296,244 37,397,911 32,870,934 259,037,310 317,807,646 252,739,474
------------- ------------- ------------- ------------- ------------- -------------
Net assets, end of period $ 37,547,022 $ 38,296,244 $ 37,397,911 $ 362,632,902 $ 259,037,310 $ 317,807,646
============= ============= ============= ============= ============= =============
Undistributed net investment
income (loss) $ (248,930) $ (16,013) $ (67,974) $ 276,833 $ 195,337 $ (27,873)
============= ============= ============= ============= ============= =============
</TABLE>
See Accompanying Notes to Financial Statements
48
<PAGE>
Financial
Highlights PILGRIM MAGNACAP FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
Nov. 22,
1999(5) to
Dec. 31, 1999
(unaudited)
-------------
Per Share Operating Performance:
Net asset value, beginning of period $ 16.13
Income from investment operations:
Net investment income (loss) $ --
Net realized and unrealized gains on investments $ 0.13
Total from investment operations $ 0.13
Less distributions from:
Net investment income $ --
Net realized gains on investments $ --
Net asset value, end of period $ 16.26
Total Return(3): % 0.81
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 9,997
Ratios to average net assets:
Expenses(4) % 1.51
Net investment income (loss)(4) % 0.09
Portfolio turnover % 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.
(5) Commencement of offering shares.
49
<PAGE>
Financial
PILGRIM LARGECAP GROWTH FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months
ended Three months Year July 21,
December 31, ended ended 1997(1) to
1999 June 30, March 31, March 31,
(unaudited) 1999(2) 1999 1998
----------- ------- ---- ----
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 28.43 25.24 15.66 12.50
Income from investment operations:
Net investment income (loss) $ (0.05) (0.03) (0.02) (0.01)
Net realized and unrealized gains on investments $ 12.89 3.22 9.87 3.26
Total from investment operations $ 12.84 3.19 9.85 3.25
Less distributions from:
Net investment income $ -- -- -- 0.01
Net realized gains on investments $ (0.38) -- 0.27 0.08
Net asset value, end of period $ 40.89 28.43 25.24 15.66
Total Return(3): % 45.48 12.64 63.76 62.47
Ratios/Supplemental Data:
Net assets, end of period ($000's) $ 17,397 6,044 4,908 799
Ratios to average net assets:
Net expenses after expense reimbursement(4) % 1.15 1.23 1.26 1.25
Gross expenses prior to expense reimbursement(4) % 1.15 1.25 1.91 10.45
Net investment income (loss) after expense reimbursement(4) % (0.58) (0.36) (0.28) (0.62)
Portfolio turnover % 84 27 253 306
</TABLE>
- ----------
(1) The Fund commenced operations on July 21, 1997.
(2) Effective May 24, 1999, Pilgrim Investments 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.
50
<PAGE>
Financial
Highlights PILGRIM MIDCAP GROWTH FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months
ended Three months June 30,
December 31, ended 1994(2) to
1999 June 30, Year ended March 31, March 31,
(unaudited) 1999(1) 1999 1998 1997 1996 1995
----------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 26.94 25.14 23.30 18.01 17.99 13.66 12.50
Income from investment operations:
Net investment income (loss) $ (0.19) (0.06) (0.12) (0.21) (0.04) (0.07) (0.02)
Net realized and unrealized gains on investments $ 14.85 1.86 3.56 7.48 0.32 4.86 1.18
Total from investment operations $ 14.66 1.80 3.44 7.27 0.28 4.79 1.16
Less distributions from:
Net realized gains on investments $ 8.90 -- 1.60 1.98 0.26 0.46 --
Net asset value, end of period $ 32.70 26.94 25.14 23.30 18.01 17.99 13.66
Total Return(3): % 63.06 7.16 15.77 42.00 1.39 35.37 9.28
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 13,818 19,383 14,350 12,204 13,115 4,274 2,121
Ratios to average net assets:
Net expenses after expense reimbursement(4) % 1.24 1.24 1.23 1.22 1.25 1.23 1.24
Gross expenses prior to expense reimbursement(4) % 1.27 1.25 1.31 1.95 1.84 2.84 3.52
Net investment income (loss) after expense reimbursement(4) % (1.10) (0.95) (0.71) (0.97) (0.69) (0.57) (0.33)
Portfolio turnover % 154 55 154 200 153 114 98
</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.
51
<PAGE>
Financial
PILGRIM SMALLCAP GROWTH FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months
ended Three months August 31,
December 31, ended 1995(2) to
1999 June 30, Year ended March 31, March 31,
(unaudited) 1999(1) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 21.19 18.56 19.27 13.19 14.16 12.50
Income from investment operations:
Net investment income (loss) $ (0.09) (0.06) (0.15) 0.03 (0.07) (0.03)
Net realized and unrealized gains (loss) on investments $ 9.22 2.69 0.22 6.16 (0.77) 1.69
Total from investment operations $ 9.13 2.63 0.07 6.19 (0.84) 1.66
Less distributions from:
Net realized gains on investments $ 10.81 -- 0.78 0.11 0.13 --
Net asset value, end of period $ 19.51 21.19 18.56 19.27 13.19 14.16
Total Return(3): % 53.53 14.17 0.96 47.01 (6.03) 13.28
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 11,055 11,013 9,107 12,508 1,013 314
Ratios to average net assets:
Net expenses after expense reimbursement(4) % 1.49 1.45 1.53 1.52 1.51 1.49
Gross expenses prior to expense reimbursement(4) % 1.53 1.49 1.63 2.39 10.79 37.86
Net investment income (loss) after expense reimbursement(4) % (1.21) (1.21) (0.97) (1.52) (1.02) (1.05)
Portfolio turnover % 48 32 90 92 113 130
</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.
52
<PAGE>
Financial
Highlights PILGRIM WORLDWIDE GROWTH FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months
Ended Three months August 31,
December 31, ended 1995(2) to
1999 June 30, Year ended March 31, March 31,
(unaudited) 1999(1) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 27.12 24.59 19.63 15.00 13.27 12.50
Income from investment operations:
Net investment income (loss) $ (0.11) 0.01 0.22 (0.11) 0.01 (0.04)
Net realized and unrealized gains (loss) on investments $ 12.33 2.52 6.15 5.29 1.72 0.81
Total from investment operations $ 12.22 2.53 6.37 5.18 1.73 0.77
Less distributions from:
Net investment income $ -- -- 0.15 -- -- --
Net realized gains on investments $ 3.54 -- 1.26 0.55 -- --
Net asset value, end of period $ 35.80 27.12 24.59 19.63 15.00 13.27
Total Return(3): % 47.88 10.29 33.97 35.11 12.87 6.32
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 42,488 14,870 7,320 645 642 1
Ratios to average net assets:
Net expenses after expense reimbursement(4) % 1.51 1.55 1.59 1.61 1.61 1.60
Gross expenses prior to expense reimbursement(4) % 1.51 1.55 1.76 3.75 34.99 3,232.53
Net investment income (loss) after expense reimbursement(4) % (1.03) 0.17 0.17 (0.47) (0.91) (0.50)
Portfolio turnover % 92 57 247 202 182 132
</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.
53
<PAGE>
Financial
PILGRIM INTERNATIONAL CORE GROWTH FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months
ended Three months February 28,
December 31, ended 1997(1) to
1999 June 30, Year ended March 31, March 31,
(unaudited) 1999(2) 1999 1998 1997
----------- ------- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 19.63 18.36 17.43 12.75 12.50
Income from investment operations:
Net investment income (loss) $ 0.14 0.04 0.09 (0.04) --
Net realized and unrealized gains on investments $ 10.10 1.23 0.97 4.72 0.25
Total from investment operations $ 9.96 1.27 1.06 4.68 0.25
Less distributions from:
Net investment income $ -- -- 0.13 -- --
Net realized gains on investments $ 1.16 -- -- -- --
Net asset value, end of period $ 28.43 19.63 18.36 17.43 12.75
Total Return(3): % 52.00 6.92 6.11 36.63 2.00
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 15,910 9,390 11,268 1,719 1
Ratios to average net assets:
Net expenses after expense reimbursement(4) % 1.65 1.54 1.63 1.66 0.00
Gross expenses prior to expense reimbursement(4) % 2.01 1.63 1.87 3.18 2,667.07
Net investment income (loss) after expense reimbursement(4) % (1.37) 0.73 (0.27) (0.47) 0.00
Portfolio turnover % 103 67 214 274 76
</TABLE>
- ----------
(1) The Fund commenced operations on February 28, 1997.
(2) Effective May 24, 1999, Pilgrim Investments, 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.
54
<PAGE>
Financial
Highlights PILGRIM INTERNATIONAL SMALLCAP GROWTH FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months
ended Three months August 31,
December 31, ended 1995(1) to
1999 June 30, Year ended March 31, March 31,
(unaudited) 1999(2) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 25.16 22.23 19.18 14.01 13.52 12.50
Income from investment operations:
Net investment income (loss) $ (0.14) (0.03) (0.02) 0.05 (0.06) 0.01
Net realized and unrealized gains on investments $ 20.04 2.96 3.36 5.12 2.01 1.01
Total from investment operations $ 19.90 2.93 3.34 5.17 1.95 1.02
Less distributions from:
Net investment income $ -- -- 0.09 -- -- --
Net realized gains on investments $ 2.18 -- 0.20 -- 1.46 --
Net asset value, end of period $ 42.88 25.16 22.23 19.18 14.01 13.52
Total Return(3): % 81.21 13.18 17.61 36.90 15.03 8.16
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 137,574 42,881 32,819 8,810 42 19
Ratios to average net assets:
Net expenses after expense reimbursement(4) % 2.00 1.65 1.65 1.66 1.66 1.65
Gross expenses prior to expense reimbursement(4) % 2.00 1.67 1.80 6.15 151.33 531.72
Net investment income (loss) after expense reimbursement(4) % (1.23) (0.50) (0.50) (0.43) (0.64) 0.33
Portfolio turnover % 71 44 146 198 206 141
</TABLE>
- ----------
(1) Commencement of offering shares.
(2) Effective May 24, 1999, Pilgrim Investments, 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.
55
<PAGE>
Financial
PILGRIM EMERGING COUNTRIES FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months Three months August 31,
ended ended 1995(1) to
Dec. 31, June 30, Year Ended March 31, March 31,
1999 1999(2) 1999 1998 1997 1996
---- ------- ---- ---- ---- ----
(unaudited)
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 17.20 13.79 17.76 16.47 13.18 12.50
Income from investment operations:
Net investment income (loss) $ (0.12) (0.04) (0.01) 0.07 (0.04) 0.01
Net realized and unrealized gains (loss) on
investments $ 5.54 3.45 (3.78) 1.33 3.37 0.67
Total from investment operations $ 5.42 3.41 (3.79) 1.40 3.33 0.68
Less distributions from:
Net investment income $ -- -- 0.18 -- -- --
Net realized gains on investments $ -- -- -- 0.11 0.04 --
Net asset value, end of $ 22.62 17.20 13.79 17.76 16.47 13.18
Total Return(3): % 31.74 24.73 (21.42) 8.60 25.29 5.44
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 103,604 79,130 53,125 46,711 8,660 350
Ratio to average net assets:
Net expenses after expense reimbursement(4) % 2.00 1.90 1.94 1.91 1.91 1.90
Gross expenses prior to expense
reimbursement(4) % 2.22 2.43 2.23 2.43 4.20 44.24
Net investment income (loss) after expense
reimbursement(4) % (1.35) (1.07) (0.01) 1.06 (0.87) 0.47
Portfolio turnover % 110 67 213 243 176 118
</TABLE>
- ----------
(1) Commencement of offering shares.
(2) Effective May 24, 1999, Pilgrim Investments, 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.
56
<PAGE>
Financial
Highlights PILGRIM STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months Three months July 27
ended ended 1998(1) to
Dec. 31, June 30, March 31,
1999 1999(2) 1999
---- ------- ----
(unaudited)
<S> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 11.99 12.26 12.43
Income from investment operations:
Net investment income $ 0.45 0.25 0.48
Net realized and unrealized (loss) on investments $ (0.43) (0.38) (0.04)
Total from investment operations $ 0.02 (0.13) 0.44
Less distributions from:
Net investment income $ 0.45 0.14 0.50
Net realized gains on investments $ -- -- 0.11
Net asset value, end of period $ 11.56 11.99 12.26
Total Return(3): % 0.19 1.16 5.78
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 173 171 314
Ratios to average net assets:
Net expenses after expense reimbursement(4) % 0.85 0.71 0.69
Gross expenses prior to expense reimbursement(4) % 1.71 1.37 1.74
Net investment income (loss) after expense reimbursement(4) % 7.50 6.07 6.03
Portfolio turnover % 76 69 274
</TABLE>
- ----------
(1) The Fund commenced operations on July 27, 1998.
(2) Effective May 24, 1999, Pilgrim Investments, 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.
57
<PAGE>
Financial
PILGRIM HIGH YIELD FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
Six months
ended From June 17
December 31, thru
1999 June 30,
(unaudited) 1999(1)
----------- -------
Per Share Operating Performance:
Net asset value, beginning of period $ 5.93 5.91
Income (loss) from investment operations:
Net investment income $ 0.36 0.02
Net realized and unrealized gain (loss) on
investments $ (0.42) --
Total from investment operation $ (0.06) 0.02
Less distributions from:
Net investment income $ 0.30 --
Realized capital gains $ -- --
Total distributions $ 0.30 --
Net asset value, end of period $ 5.57 5.93
Total Return(2): % (1.06) 0.34
Ratios/Supplemental Data:
Net assets, end of period (000's) $ -- --
Ratios to average net assets:
Gross expenses prior to expense
reimbursement(3) % -- --
Net expenses after expense reimbursement(3) % -- --
Net investment income (loss) after expense
reimbursement(3) % -- --
Portfolio turnover rate % 47 184
- ----------
(1) Commencement of offering shares.
(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.
58
<PAGE>
Financial
Highlights PILGRIM HIGH YIELD FUND II
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months
ended Three months Year March 27,
December 31, ended ended 1998(1) to
1999 June 30, March 31, March 31,
(unaudited) 1999(2) 1999 1998
----------- ------- ---- ----
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 11.59 11.68 12.72 12.70
Income from investment operations:
Net investment income (loss) $ 0.57 0.30 1.16 0.01
Net realized and unrealized gains (loss) on securities and
foreign currency $ (0.41) (0.11) (1.01) 0.01
Total from investment operations $ 0.16 0.19 0.15 0.02
Less distributions from:
Net investment income $ 0.58 0.28 1.19 --
Net asset value, end of period $ 11.17 11.59 11.68 12.72
Total Return(3): % 1.78 1.63 1.40 0.16
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 9,183 3,229 6,502 567
Ratios to average net assets:
Net expenses after expense reimbursement(4) % 1.00 0.90 0.87 0.97
Gross expenses prior to expense reimbursement(4) % 1.15 1.17 1.28 0.97
Net investment income (loss) after expense reimbursement(4) % 9.89 9.88 10.01 7.53
Portfolio turnover % 55 44 242 484
</TABLE>
- ----------
(1) The Fund commenced operations on March 27, 1998.
(2) Effective May 24, 1999, Pilgrim Investments, 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.
59
<PAGE>
Financial
PILGRIM BALANCED FUND Highlights
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months
ended Three months August 31,
December 31, ended 1995(1) to
1999 June 30, Year ended March 31, March 31,
(unaudited) 1999(2) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 19.04 18.85 18.48 13.42 12.69 12.50
Income from investment operations:
Net investment income $ 0.30 0.11 0.44 0.30 0.24 0.15
Net realized and unrealized gains on investments $ 0.17 0.16 2.50 5.07 0.73 0.19
Total from investment operations $ 0.47 0.27 2.94 5.37 0.97 0.34
Less distributions from:
Net investment income $ 0.40 0.08 0.50 0.31 0.24 0.15
Net realized gains on investments $ 3.67 -- 2.07 -- -- --
Net asset value, end of period $ 15.44 19.04 18.85 18.48 13.42 12.69
Total Return(3): % 2.72 1.44 17.49 40.21 7.60 2.77
Ratio/Supplemental Data:
Net assets, end of period (in thousands) $ 196 190 176 166 73 1
Ratio to average net assets:
Net expenses after expense reimbursement(4) % 1.25 1.25 1.25 1.26 1.26 1.25
Gross expenses prior to expense reimbursement(4) % 1.49 1.51 1.63 11.28 126.75 3,094.48
Net investment income (loss) after expense reimbursement(4) % 3.54 2.30 2.41 4.09 2.15 2.16
Portfolio turnover % 46 63 165 260 213 197
</TABLE>
- ----------
(1) Commencement of offering of shares.
(2) Effective May 24, 1999, Pilgrim Investments, 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.
60
<PAGE>
Financial
Highlights PILGRIM CONVERTIBLE FUND
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Six months
ended Three months August 31,
December 31, ended 1995(2) to
1999 June 30, Year ended March 31, March 31,
(unaudited) 1999(1) 1999 1998 1997 1996
----------- ------- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 22.51 21.22 18.47 15.19 13.72 12.50
Income from investment operations:
Net investment income (loss) $ 0.20 0.09 0.43 0.48 0.42 0.17
Net realized and unrealized gains (loss) on investments $ 6.45 1.31 3.09 4.19 1.50 1.22
Total from investment operations $ 6.65 1.40 3.52 4.67 1.92 1.39
Less distributions from:
Net investment income $ 0.21 0.11 0.46 0.48 0.42 0.17
Net realized gains on investments $ 3.57 -- 0.31 0.91 0.03 --
Net asset value, end of period $ 25.38 22.51 21.22 18.47 15.19 13.72
Total Return(3): % 32.07 6.62 19.66 31.54 14.13 11.13
Ratios/Supplemental Data:
Net assets, end of period (in thousands) $ 32,534 17,537 8,741 7,080 4,599 1,085
Ratio to average net assets:
Net expenses after expense reimbursement(4) % 32.07 1.23 1.23 1.22 1.25 1.25
Gross expenses prior to expense reimbursement(4) % 1.23 1.23 1.35 2.35 2.90 9.21
Net investment income (loss) after expense reimbursement(4) % 1.25 2.04 2.37 5.99 3.29 3.59
Portfolio turnover % 68 28 138 160 167 145
</TABLE>
- ----------
(1) Effective May 24, 1999, Pilgrim Investments, Inc., became the Investment
Manager of the Fund.
(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.
61
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
Organization. The Pilgrim Funds in this report are comprised of Pilgrim Mutual
Funds ("PMF"), Pilgrim Investment Funds, Inc. ("PIF"), and Pilgrim Advisory
Funds, Inc. ("PAF") 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 eleven 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 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 and
Balanced Fund.
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. The investment objective of each Fund is described in
each Fund's prospectus.
Each Fund offers at least two of the following classes of shares: Class A, Class
B, Class C, Class M and Class Q. This report covers only the Funds that offer
Class Q shares. 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.
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 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.
62
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
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. 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 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.
63
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
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 Growth MagnaCap Balanced Strategic
MidCap Growth Convertible Income
SmallCap Growth High Yield
International Core High Yield II
Growth
Worldwide Growth
International
SmallCap Growth
Emerging Countries
Pilgrim High Yield II declares and goes ex-dividend daily and pays
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, 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.
64
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
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
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. Reclassification. Certain prior period amounts in the accompanying
financial statements have been reclassified to conform with current period
presentation.
J. 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. The funds currently do not
lend securities.
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 Growth Fund 394,454,270 181,328,678
MidCap Growth Fund 193,516,557 215,893,014
SmallCap Growth Fund 159,221,578 185,533,720
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
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
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, the Funds covered by this report had no
affiliated company holdings.
65
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
NOTE 5 -- INVESTMENT MANAGEMENT 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 -- 1.25%; for SmallCap Growth -- 1.00%; for Worldwide
Growth, International Core Growth and International SmallCap 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.
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 Growth Fund 0.35% 1.00% 1.00% n/a 0.25%
MidCap Growth Fund 0.35% 1.00% 1.00% n/a 0.25%
SmallCap Growth Fund 0.35% 1.00% 1.00% n/a 0.25%
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%
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%
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 Growth 75,070 421,411 151,981 n/a 3
MidCap Growth 96,191 216,713 600,354 n/a 133
SmallCap Growth 141,743 212,722 619,284 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 91,816 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
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 sold, and $6,441 from the proceeds of Class M Shares sold.
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.
66
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
At December 31, 1999, the Funds owed the following service fees:
MagnaCap $34,719
LargeCap Growth --
MidCap Growth 4,671
SmallCap Growth 5,263
Worldwide Growth 7,710
International Core Growth 1,155
International SmallCap Growth 4
Emerging Countries 4,298
Strategic Income --
High Yield 1,890
High Yield II 479
Balanced 650
Convertible 3,245
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 Class Q
------- ------- ------- ------- -------
LargeCap Growth 1.60% 2.25% 2.25% n/a 1.25%
MidCap Growth 1.60% 2.25% 2.25% n/a 1.25%
SmallCap Growth 1.95% 2.60% 2.60% n/a 1.50%
Worldwide Growth 1.85% 2.50% 2.50% n/a 1.60%
International Core
Growth 1.95% 2.60% 2.60% n/a 1.65%
International
SmallCap Growth 1.95% 2.60% 2.60% n/a 1.65%
Emerging Countries 2.25% 2.90% 2.90% n/a 1.90%
Strategic Income 0.95% 1.35% 1.35% n/a 0.85%
High Yield 1.00% 1.75% 1.75% 1.50% 1.00%
High Yield II 1.10% 1.75% 1.75% n/a 1.00%
Balanced 1.60% 2.25% 2.25% n/a 1.25%
Convertible 1.60% 2.25% 2.25% n/a 1.25%
Amounts receivable from the Investment Manager 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 $75 million credit facility available to fund temporary or
emergency borrowings which expires on May 1, 2000. Each Fund pays its pro rata
share of an annual commitment fee plus interest on its specific borrowings. As
of December 31, 1999 there was no balance outstanding under the credit facility.
67
<PAGE>
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Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
NOTE 10 -- CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
<TABLE>
<CAPTION>
Class A Shares Class B Shares Class C Shares
----------------------------- ----------------------------- -----------------------------
Six Months Year Six Months Year Six Months June 1, 1999
Ended Ended Ended Ended Ended to
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
MagnaCap Fund
(Number of Shares)
Shares sold 4,004,488 13,502,711 749,792 2,873,334 121,516 34,608
Shares issued as
reinvestments of dividends 2,042,316 1,828,625 670,171 516,048 13,431 --
Shares redeemed (5,736,908) (14,934,578) (1,236,263) (1,307,942) (818) --
------------- ------------- ------------- ------------- ------------- -------------
Net increase in shares
outstanding 309,896 396,758 183,700 2,081,440 134,128 34,608
============= ============= ============= ============= ============= =============
MagnaCap Fund ($)
Shares sold $ 67,621,459 $ 222,180,950 $ 12,460,401 $ 46,072,779 $ 2,032,925 $ 588,611
Shares issued as
reinvestments of dividends 33,393,993 28,388,968 10,716,033 7,888,183 214,754 --
Shares redeemed (96,657,386) (246,413,983) (20,236,125) (20,667,305) (13,529) --
------------- ------------- ------------- ------------- ------------- -------------
Net increase in shares
outstanding $ 4,358,065 $ 4,155,935 $ 2,940,310 $ 33,293,657 $ 2,234,150 $ 588,611
============= ============= ============= ============= ============= =============
Class M Shares Class Q Shares
-------------------------- -----------
Six Months Year Nov. 22, 1999
Ended Ended to
Dec. 31, 1999 June 30, 1999 Dec. 31, 1999
----------- ----------- -----------
MagnaCap Fund (Number of Shares)
Shares sold 44,689 210,689 615,006
Shares issued as reinvestments of dividends 94,820 95,725 --
Shares redeemed (130,729) (238,673) --
----------- ----------- -----------
Net increase in shares outstanding 8,780 67,741 615,006
=========== =========== ===========
MagnaCap Fund ($)
Shares sold $ 745,838 $ 3,356,295 $10,000,000
Shares issued as reinvestment of dividends 1,532,001 1,471,188 --
Shares redeemed (2,169,430) (3,784,141) --
----------- ----------- -----------
Net increase in shares outstanding $ 108,409 $ 1,043,342 $10,000,000
=========== =========== ===========
</TABLE>
68
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares Class B Shares
----------------------------------------------------- -----------------------------------------------------
Six Months 3 Months Year July 21, Six Months 3 Months Year July 21,
Ended Ended Ended 1997 to Ended Ended Ended 1997 to
Dec. 31, June 30, March 31, March 31, Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998 1999 1999 1999 1998
------------ ----------- ----------- ---------- ------------ ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
LargeCap Growth Fund
(Number of Shares)
Shares sold 2,369,986 601,704 387,443 314,594 4,132,387 1,006,149 722,166 239,436
Shares issued as
reinvestments of
dividends 21,727 -- 9,412 65 38,999 -- 4,145 224
Shares redeemed (533,525) (28,795) (199,495) (13,075) (282,818) (63,827) (129,658) (35,907)
------------ ----------- ----------- ---------- ------------ ----------- ----------- ----------
Net increase in
shares outstanding 1,858,188 572,909 197,360 301,584 3,888,568 942,322 596,653 203,753
============ =========== =========== ========== ============ =========== =========== ==========
LargeCap Growth
Fund ($)
Shares sold $ 73,653,042 $16,107,475 $ 7,119,334 $4,334,894 $126,339,458 $27,013,724 $13,914,112 $3,275,198
Shares issued as
reinvestments of
dividends 707,412 -- 159,721 871 1,276,981 -- 70,921 3,000
Shares redeemed (17,544,147) (769,089) (3,328,040) (177,917) (8,834,942) (1,716,619) (2,523,553) (493,670)
------------ ----------- ----------- ---------- ------------ ----------- ----------- ----------
Net increase in
shares outstanding $ 56,816,307 $15,338,386 $ 3,951,015 $4,157,848 $118,781,497 $25,297,105 $11,461,480 $2,784,528
============ =========== =========== ========== ============ =========== =========== ==========
Class C Shares Class Q Shares
---------------------------------------------------- -------------------------------------------------
Six Months 3 Months Year July 21, Six Months 3 Months Year Year
Ended Ended Ended 1997 to Ended Ended Ended Ended
Dec. 31, June 30, March 31, March 31, Dec. 31, June 30, March 31, March 31,
1999 1999 1999 1998 1999 1999 1999 1998
------------ ----------- ----------- --------- ----------- --------- ----------- ---------
LargeCap Growth Fund
(Number of Shares)
Shares sold 1,592,198 322,341 293,854 65,178 221,752 27,961 176,779 51,175
Shares issued as
reinvestments of
dividends 13,490 -- 1,216 55 2,730 -- 1,139 11
Shares redeemed (68,817) (10,496) (35,900) (3,829) (11,546) (9,901) (34,429) (181)
------------ ----------- ----------- --------- ----------- --------- ----------- ---------
Net increase in
shares outstanding 1,536,871 311,845 259,170 61,404 212,936 18,060 143,489 51,005
============ =========== =========== ========= =========== ========= =========== =========
LargeCap Growth Fund ($)
Shares sold $ 49,343,883 $ 8,625,780 $ 5,792,910 $ 890,031 $ 6,851,183 $ 753,086 $ 3,396,063 $ 714,785
Shares issued as
reinvestments of
dividends 443,448 -- 20,875 742 93,151 -- 19,518 153
Shares redeemed (2,133,106) (279,527) (642,955) (53,621) (365,419) (263,465) (600,590) (2,705)
------------ ----------- ----------- --------- ----------- --------- ----------- ---------
Net increase in
shares outstanding $ 47,654,225 $ 8,346,253 $ 5,170,830 $ 837,152 $ 6,578,915 $ 489,621 $ 2,814,991 $ 712,233
============ =========== =========== ========= =========== ========= =========== =========
</TABLE>
69
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares Class B Shares
------------------------------------------------------- -----------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, ---------------------------- Dec. 31, June 30, --------------------------
1999 1999 1999 1998 1999 1999 1999 1998
------------ ----------- ------------- ------------- ------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
MidCap Growth Fund
(Number of Shares)
Shares sold 1,887,459 170,704 5,215,189 12,405,504 443,450 124,529 549,516 1,072,549
Shares issued as
reinvestments
of dividends 974,325 -- 130,197 1,012,862 643,199 -- 69,791 123,360
Shares redeemed (1,685,482) (440,581) (6,820,248) (13,082,835) (241,664) (113,758) (842,979) (799,428)
------------ ----------- ------------- ------------- ------------ ----------- ------------ ------------
Net increase
(decrease)
in shares
outstanding 1,176,302 (269,877) (1,474,862) 335,531 844,985 10,771 (223,672) 396,481
============ =========== ============= ============= ============ =========== ============ ============
MidCap Growth
Fund ($)
Shares sold $ 42,479,065 $ 3,480,826 $ 93,222,436 $ 224,326,301 $ 11,751,162 $ 3,003,625 $ 11,154,074 $ 20,188,443
Shares issued as
reinvestments
of dividends 19,954,182 -- 2,271,935 16,459,004 15,501,088 -- 1,444,672 2,326,535
Shares redeemed (38,462,267) (9,018,100) (120,721,071) (237,096,577) (6,402,391) (2,758,710) (16,826,911) (15,026,369)
------------ ----------- ------------- ------------- ------------ ----------- ------------ ------------
Net increase
(decrease)
in shares
outstanding $ 23,970,980 $(5,537,274) $ (25,226,700) $ 3,688,728 $ 20,849,859 $ 244,915 $ (4,228,165) $ 7,488,609
============ =========== ============= ============= ============ =========== ============ ============
Class C Shares Class Q Shares
----------------------------------------------------- ---------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, -------------------------- Dec. 31, June 30, ------------------------
1999 1999 1999 1998 1999 1999 1999 1998
------------ ----------- ------------ ------------ ------------ ----------- ----------- -----------
MidCap Growth Fund
(Number of Shares)
Shares sold 341,928 127,317 1,185,161 1,750,377 82,240 201,861 194,537 170,070
Shares issued as
reinvestments
of dividends 2,159,366 -- 121,764 2,641,098 102,573 -- 37,715 55,785
Shares redeemed (569,752) (465,369) (3,371,242) (4,220,870) (481,792) (52,773) (185,074) (430,179)
------------ ----------- ------------ ------------ ------------ ----------- ----------- -----------
Net increase
(decrease) in shares
outstanding 1,931,542 (338,052) (2,064,317) 170,605 (296,979) 149,088 47,178 (204,324)
============ =========== ============ ============ ============ =========== =========== ===========
MidCap Growth Fund ($)
Shares sold $ 7,157,589 $ 2,416,875 $ 19,063,447 $ 29,917,347 $ 2,358,880 $ 5,261,515 $ 4,134,744 $ 3,584,125
Shares issued as
reinvestments
of dividends 40,876,806 -- 1,981,095 39,590,055 2,657,667 -- 828,224 1,134,102
Shares redeemed (11,726,905) (8,876,675) (52,212,207) (72,773,773) (13,089,123) (1,337,840) (3,718,156) (8,868,353)
------------ ----------- ------------ ------------ ------------ ----------- ----------- -----------
Net increase
(decrease) in shares
outstanding $ 36,307,490 $(6,459,800) $(31,167,665) $ (3,266,371) $ (8,072,576) $ 3,923,675 $ 1,244,812 $(4,150,126)
============ =========== ============ ============ ============ =========== =========== ===========
</TABLE>
70
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares Class B Shares
------------------------------------------------------ --------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, ---------------------------- Dec. 31, June 30, ------------------------
1999 1999 1999 1998 1999 1999 1999 1998
----------- ----------- ------------ -------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SmallCap Growth Fund
(Number of Shares)
Shares sold 3,283,325 384,655 44,256,415 104,820,578 330,273 62,154 1,030,266 1,553,380
Shares issued as
reinvestments
of dividends 3,070,496 -- 919,060 830,976 1,282,942 -- 121,247 --
Shares redeemed (3,271,622) (652,027) (49,753,506) (103,463,758) (182,179) (144,208) (1,464,484) (909,702)
----------- ----------- ------------ -------------- ----------- ----------- ----------- -----------
Net increase
(decrease)
in shares
outstanding 3,082,199 (267,372) (4,578,031) 2,187,796 1,431,036 (82,054) (312,971) 643,678
=========== =========== ============ ============== =========== =========== =========== ===========
SmallCap Growth Fund ($)
Shares sold $58,892,478 $ 6,777,887 $815,912,790 $1,931,764,538 $ 7,356,085 $ 1,379,964 $19,580,720 $30,441,105
Shares issued as
reinvestments
of dividends 44,737,125 -- 14,800,215 15,132,144 23,529,153 -- 2,371,732 --
Shares redeemed (59,471,338) (11,423,224) (917,280,292) (1,921,657,761) (4,064,699) (3,209,533) (28,084,966) (17,600,099)
----------- ----------- ------------ -------------- ----------- ----------- ----------- -----------
Net increase
(decrease)
in shares
outstanding $44,158,265 $(4,645,337) $(86,567,287) $ 25,238,921 $26,820,539 $ 1,829,569 $(6,132,514) $12,841,006
=========== =========== ============ ============== =========== =========== =========== ===========
Class C Shares Class Q Shares
----------------------------------------------------- --------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, -------------------------- Dec. 31, June 30, ------------------------
1999 1999 1999 1998 1999 1999 1999 1998
----------- ------------ ------------ ------------ ----------- ----------- ----------- -----------
SmallCap Growth Fund
(Number of Shares)
Shares sold 399,462 82,725 1,806,596 4,136,702 200,977 421,173 793,286 1,102,868
Shares issued as
reinvestments
of dividends 4,523,695 -- 926,112 1,443,201 226,472 -- 18,226 997
Shares redeemed (672,828) (680,850) (6,061,729) (5,945,903) (380,535) (392,013) (970,001) (531,507)
----------- ------------ ------------ ------------ ----------- ----------- ----------- -----------
Net increase
(decrease)
in shares
outstanding 4,250,329 (598,125) (3,329,021) (366,000) 46,914 29,160 (158,489) 572,358
=========== ============ ============ ============ =========== =========== =========== ===========
SmallCap Growth Fund ($)
Shares sold $ 7,049,327 $ 1,433,335 $ 29,105,010 $ 72,644,552 $ 4,795,679 $ 8,340,785 $12,725,287 $20,108,210
Shares issued as
reinvestments
of dividends 64,869,794 -- 14,800,873 24,837,499 3,668,843 -- 292,442 17,715
Shares redeemed (12,089,939) (11,755,815) (93,185,013) (104,107,897) (7,214,976) (7,387,773) (15,962,787) (9,776,365)
----------- ------------ ------------ ------------ ----------- ----------- ----------- -----------
Net increase
(decrease)
in shares
outstanding $59,829,182 $(10,322,480) $(49,279,130) $ (6,625,846) 1,249,546 $ 953,012 $(2,945,058) $10,349,560
=========== ============ ============ ============ =========== =========== =========== ===========
</TABLE>
71
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares Class B Shares
----------------------------------------------------- --------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, -------------------------- Dec. 31, June 30, ------------------------
1999 1999 1999 1998 1999 1999 1999 1998
------------ ----------- ------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Worldwide Growth Fund
(Number of Shares)
Shares sold 3,657,074 1,172,285 5,575,910 5,937,921 1,216,539 353,077 544,757 292,727
Shares issued as
reinvestments
of dividends 422,447 86 96,384 213,726 192,101 -- 39,170 25,906
Shares redeemed (2,054,550) (660,100) (5,374,372) (5,575,601) (108,220) (70,889) (319,228) (187,737)
------------ ----------- ------------ ------------ ----------- ----------- ----------- -----------
Net increase in
shares outstanding 2,024,971 512,271 297,922 576,046 1,300,420 282,188 264,699 130,896
============ =========== ============ ============ =========== =========== =========== ===========
Worldwide Growth Fund ($)
Shares sold $ 93,237,876 $26,425,907 $110,310,826 $108,061,899 $35,073,982 $ 9,019,106 $11,616,885 $ 5,360,286
Shares issued as
reinvestments
of dividends 10,797,796 -- 1,739,418 3,565,008 5,534,647 -- 799,305 449,135
Shares redeemed (53,006,466) 14,957,153 (107,031,318) (102,391,906) (3,077,123) (1,811,055) (6,778,733) (3,334,259)
------------ ----------- ------------ ------------ ----------- ----------- ----------- -----------
Net increase in
shares outstanding $ 51,029,206 $11,468,754 $ 5,018,926 $ 9,235,001 $37,531,506 $ 7,208,051 $ 5,637,457 $ 2,475,162
============ =========== ============ ============ =========== =========== =========== ===========
Class C Shares Class Q Shares
------------------------------------------------- --------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, ------------------------ Dec. 31, June 30, ------------------------
1999 1999 1999 1998 1999 1999 1999 1998
----------- ---------- ----------- ----------- ----------- ----------- ----------- -----------
Worldwide Growth Fund
(Number of Shares)
Shares sold 1,160,423 316,937 1,258,419 435,836 736,604 430,631 350,299 88,591
Shares issued as
reinvestments
of dividends 554,746 -- 117,737 663,935 85,463 -- 4,352 1,377
Shares redeemed (284,129) (195,915) (1,224,596) (833,591) (183,493) (180,058) (89,828) (99,927)
----------- ---------- ----------- ----------- ----------- ----------- ----------- -----------
Net increase in
shares outstanding 1,431,040 121,022 151,560 266,180 638,574 250,573 264,823 (9,959)
=========== ========== =========== =========== =========== =========== =========== ===========
Worldwide Growth Fund ($)
Shares sold $30,065,213 $7,199,228 $23,846,842 $ 7,995,043 $21,757,251 $11,187,418 $ 7,773,616 $ 1,508,613
Shares issued as
reinvestments
of dividends 14,207,038 -- 2,145,255 10,934,587 2,513,469 -- 89,521 23,268
Shares redeemed (7,213,580) (4,443,951) (22,854,997) (15,192,388) (5,729,815) (4,610,453) (1,884,358) (1,693,395)
----------- ---------- ----------- ----------- ----------- ----------- ----------- -----------
Net increase
(decrease)
in shares
outstanding $37,058,671 $2,755,277 $ 3,137,100 $ 3,737,242 $18,540,905 $ 6,576,965 $ 5,978,779 $ (161,514)
=========== ========== =========== =========== =========== =========== =========== ===========
</TABLE>
72
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares Class B Shares
--------------------------------------------------------- --------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, --------------------------- Dec. 31, June 30, ------------------------
1999 1999 1999 1998 1999 1999 1999 1998
------------ ------------ ------------ ------------ ----------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
International Core
Growth Fund
(Number of Shares)
Shares sold 1,695,962 1,699,541 4,111,884 2,435,374 118,265 47,812 317,938 500,774
Shares issued as
reinvestments
of dividends 33,298 -- 5,819 3,344 30,807 -- 2,484 2,781
Shares redeemed (1,673,778) (2,264,636) (3,641,067) (1,694,382) (71,488) (33,706) (168,120) (39,156)
------------ ------------ ------------ ------------ ----------- --------- ----------- ----------
Net increase in
shares outstanding 55,482 (565,095) 476,636 744,336 77,584 14,106 152,302 464,399
============ ============ ============ ============ =========== ========= =========== ==========
International Core
Growth Fund ($)
Shares sold $ 36,226,021 $ 30,866,314 $ 72,899,494 $ 38,637,232 $ 2,644,212 $ 888,899 $ 5,553,372 $7,549,895
Shares issued as
reinvestments
of dividends 740,211 -- 109,877 47,981 689,466 -- 47,437 40,158
Shares redeemed (36,257,042) (41,080,307) (65,603,216) (27,349,807) (1,549,039) (610,199) (2,893,130) (593,538)
------------ ------------ ------------ ------------ ----------- --------- ----------- ----------
Net increase
(decrease) in
shares outstanding $ 709,190 $(10,213,993) $ 7,406,155 $ 11,335,406 $ 1,784,639 $ 278,700 $ 2,707,679 $6,996,515
============ ============ ============ ============ =========== ========= =========== ==========
Class C Shares Class Q Shares
----------------------------------------------------- ------------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, ------------------------- Dec. 31, June 30, --------------------------
1999 1999 1999 1998 1999 1999 1999 1998
----------- ----------- ----------- ----------- ----------- ----------- ------------ -----------
International Core
Growth Fund
(Number of Shares)
Shares sold 415,920 113,784 455,651 224,635 94,817 93,649 581,442 115,512
Shares issued as
reinvestments
of dividends 33,214 -- 1,471 -- 24,738 -- 1,463 --
Shares redeemed (307,419) (69,740) (82,349) (23,087) (38,194) (228,977) (67,954) (16,966)
----------- ----------- ----------- ----------- ----------- ----------- ------------ -----------
Net increase
(decrease) in
shares outstanding 141,715 44,044 374,773 201,548 81,361 (135,328) 514,951 98,546
=========== =========== =========== =========== =========== =========== ============ ===========
International Core
Growth Fund ($)
Shares sold $ 8,623,252 $ 2,117,597 $ 7,964,267 $ 3,488,506 $ 2,125,200 $ 1,771,267 $ 10,297,873 $ 1,808,824
Shares issued as
reinvestments
of dividends 745,649 -- 28,148 -- 572,187 -- 31,169 --
Shares redeemed (6,338,601) (1,298,517) (1,412,367) (347,719) (832,607) (4,253,651) (1,185,061) (265,176)
----------- ----------- ----------- ----------- ----------- ----------- ------------ -----------
Net increase
(decrease) in
shares outstanding $ 3,030,300 $ 819,080 $ 6,580,048 $ 3,140,787 $ 1,864,780 $(2,482,384) $ 9,143,981 $ 1,543,648
=========== =========== =========== =========== =========== =========== ============ ===========
</TABLE>
73
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares Class B Shares
---------------------------------------------------------- ------------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, ---------------------------- Dec. 31, June 30, -------------------------
1999 1999 1999 1998 1999 1999 1999 1998
------------ ------------ ------------ ------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <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 1,070,463 98,528 574,326 463,887
Shares issued as
reinvestments
of dividends 168,258 -- 41,096 24,582 85,395 -- 21,611 31,709
Shares redeemed (2,098,673) (997,179) (4,370,199) (6,427,019) (111,068) (55,682) (472,298) (218,409)
------------ ------------ ------------ ------------- ----------- ----------- ----------- -----------
Net increase in
shares
outstanding 2,021,940 370,742 624,888 206,452 1,044,790 42,846 123,639 277,187
============ ============ ============ ============= =========== =========== =========== ===========
International
SmallCap Growth
Fund ($)
Shares sold $123,410,410 $ 30,182,958 $101,529,799 $ 109,494,069 $33,779,956 $ 2,333,350 $12,177,504 $ 8,303,957
Shares issued as
reinvestments
of dividends 5,490,397 -- 811,876 383,230 2,953,814 -- 452,596 517,182
Shares redeemed (66,515,786) (22,024,759) (90,418,518) (107,699,737) (3,843,006) (1,302,925) (9,959,007) (3,838,911)
------------ ------------ ------------ ------------- ----------- ----------- ----------- -----------
Net increase in
shares
outstanding $ 62,385,021 $ 8,158,199 $ 11,923,157 $ 2,177,562 $32,890,764 $ 1,030,425 $ 2,671,093 $ 4,982,228
============ ============ ============ ============= =========== =========== =========== ===========
Class C Shares Class Q Shares
---------------------------------------------------------- ------------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, ---------------------------- Dec. 31, June 30, -------------------------
1999 1999 1999 1998 1999 1999 1999 1998
------------ ------------ ------------ ------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
International
SmallCap Growth
Fund (Number of
Shares)
Shares sold 1,307,255 146,271 660,257 440,799 2,512,797 529,877 1,567,046 458,377
Shares issued as
reinvestments
of dividends 80,887 -- 13,435 23,528 138,871 -- 12,918 --
Shares redeemed (331,751) (34,123) (464,252) (273,436) (1,148,209) (269,090) (563,058) (2,123)
----------- ----------- ------------ ----------- ------------ ------------ ------------ -----------
Net increase in
shares
outstanding 1,056,391 112,148 209,440 190,891 1,503,459 260,787 1,016,906 456,254
=========== =========== ============ =========== ============ ============ ============ ===========
International
SmallCap Growth
Fund ($)
Shares sold $40,224,511 $ 3,168,229 $ 12,933,840 $ 7,326,296 $ 83,803,193 $ 12,505,725 $ 32,536,160 $ 8,543,873
Shares issued as
reinvestments
of dividends 2,568,959 -- 258,146 352,544 4,781,333 -- 249,737 --
Shares redeemed (9,871,492) (740,072) (9,055,952) (4,516,362) (37,730,596) (6,328,290) (11,408,948) (34,256)
----------- ----------- ------------ ----------- ------------ ------------ ------------ -----------
Net increase in
shares
outstanding $32,921,978 $ 2,428,157 $ 4,136,034 $ 3,162,478 $ 50,853,930 $ 6,177,435 $ 21,376,949 $ 8,509,617
=========== =========== ============ =========== ============ ============ ============ ===========
</TABLE>
74
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
----------------------------------------------------------
Year
Six Months 3 Months 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
----------------------------------------------------------
Year
Six Months 3 Months 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 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
----------------------------------------------------------
Year
Six Months 3 Months 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 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
------------------------------------------------------------
Year
Six Months 3 Months 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 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 redeemed (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>
75
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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)
----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
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
=========== ============ =========== =========== =========== ===========
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
=========== =========== =========== ========= ========= =========
</TABLE>
- ----------
(1) Classes commenced operations on 7/27/98.
76
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<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>
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
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
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>
77
<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 $28,000
=========== =========== =========== =======
</TABLE>
78
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares Class B Shares
----------------------------------------------------- ------------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, ------------------------- Dec. 31, June 30, -------------------------
1999 1999 1999 1998 1999 1999 1999 1998
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Balanced Fund
(Number of Shares)
Shares sold 100,867 69,501 371,709 305,352 98,832 62,785 128,292 101,305
Shares issued as
reinvestments
of dividends 120,349 1,015 68,457 29,098 87,940 554 29,941 4,600
Shares redeemed (71,488) (70,425) (281,697) (307,910) (73,340) (12,468) (73,515) (37,270)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Net increase in
shares outstanding 149,729 91 158,469 26,540 113,433 50,871 84,718 68,635
=========== =========== =========== =========== =========== =========== =========== ===========
Balanced Fund ($)
Shares sold $ 1,806,927 $ 1,354,890 $ 7,068,981 $ 5,582,957 $ 1,912,311 $ 1,288,434 $ 2,447,844 $ 1,865,891
Shares issued as
reinvestments
of dividends 1,895,475 19,370 1,216,578 526,715 1,482,773 11,321 566,865 85,892
Shares redeemed (1,299,179) (1,361,704) (5,289,069) (5,615,525) (1,381,961) (256,849) (1,364,447) (681,006)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Net increase in
shares outstanding $ 2,403,223 $ 12,556 $ 2,996,490 $ 494,147 $ 2,013,123 $ 1,042,906 $ 1,650,262 $ 1,270,777
=========== =========== =========== =========== =========== =========== =========== ===========
Class C Shares Class Q Shares
----------------------------------------------------- -----------------------------------------------------
Year Year
Six Months 3 Months Ended Six Months 3 Months Ended
Ended Ended March 31, Ended Ended March 31,
Dec. 31, June 30, ------------------------- Dec. 31, June 30, -------------------------
1999 1999 1999 1998 1999 1999 1999 1998
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Balanced Fund
(Number of Shares)
Shares sold 67,688 17,557 184,748 145,671 589 1,351 1,105 3,525
Shares issued as
reinvestments of
dividends 234,571 519 210,474 76,757 2,693 42 1,173 128
Shares redeemed (155,721) (47,391) (259,419) (267,567) (548) (781) (1,882) (106)
----------- --------- ----------- ----------- -------- -------- -------- --------
Net increase
(decrease) in
shares outstanding 146,538 (29,315) 135,803 (45,139) 2,734 612 396 3,547
=========== ========= =========== =========== ======== ======== ======== ========
Balanced Fund ($)
Shares sold $ 1,100,780 $ 324,318 $ 3,201,753 $ 2,671,793 $ 10,255 $ 25,940 $ 19,907 $ 67,581
Shares issued as
reinvestments of
dividends 3,549,698 9,545 3,603,550 1,410,891 42,059 798 20,611 3,310
Shares redeemed (2,637,068) (878,533) (4,681,019) (4,877,213) (9,247) (14,926) (34,726) (9,440)
----------- --------- ----------- ----------- -------- -------- -------- --------
Net increase
(decrease) in
shares outstanding $ 2,013,410 $(544,670) $ 2,124,284 $ (794,529) $ 43,067 $ 11,812 $ 5,792 $ 61,451
=========== ========= =========== =========== ======== ======== ======== ========
</TABLE>
79
<PAGE>
- -------
Pilgrim
Funds
- -------
NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Shares
-----------------------------------------------------------
Year
Six Months 3 Months 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
-----------------------------------------------------------
Year
Six Months 3 Months 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 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
-----------------------------------------------------------
Year
Six Months 3 Months 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 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 C Shares
----------------------------------------------------------
Year
Six Months 3 Months 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 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>
80
<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 Growth Fund 6,054
MidCap Growth Fund 1,615
SmallCap Growth Fund --
Worldwide Growth Fund --
International Core Growth Fund --
International SmallCap Growth Fund --
Emerging Countries Fund --
Strategic Income Fund 208
High Yield Fund 3,580
High Yield Fund II 2,492
Balanced Fund 383
Convertible 16,119
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
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
- ----------
(*) Per share amount indicates monthly cumulative income.
81
<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
-----------
Media: 3.35%
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
-----------
40,000 Nokia OYJ ADR 7,600,000
138,000 @ Tellabs, Inc. 8,857,875
-----------
16,457,875
-----------
See Accompanying Notes to Financial Statements
82
<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
83
<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 15,775,150
------------
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
$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
84
<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
85
<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
86
<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 Manufactoring
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 @ Managemtent 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
87
<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
88
<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
-----------
Machine-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
89
<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
90
<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
------------
Telephone: 1.02%
38,900 @ Focal Communications
Corp. 938,463
15,600 @ Intermedia
Communications 605,475
56,500 @ Viatel, Inc. 3,029,813
------------
4,573,751
------------
Transportation: 1.20%
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
91
<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
-----------
MEXICO: 0.62%
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
92
<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
93
<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
======= ============
@ 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
94
<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
95
<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
96
<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
97
<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
98
<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
------------
UNITED STATES: 0.34%
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
99
<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
100
<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
101
<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
102
<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%
=======
103
<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
----------
104
<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%
Communications - Internet: 2.06%
$2,667 Concentric Network $ 261,373
------------
Total Preferred Stock
(Cost $240,842) 261,373
------------
MUTUAL FUNDS: 4.16%
Investment Companies: 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
105
<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
106
<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
107
<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
-----------
Communications - 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
-----------
Steel: 2.47%
2,000,000 AK Steel Corp.,
7.875%, due
02/15/09 1,900,000
-----------
Tranportation (Air, Bus, Rail): 5.05%
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
108
<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
109
<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
-----------
Insurance: 1.12%
1,707 American Int'l Group,
Inc. 184,569
9,800 Allstate Corp. 235,200
-----------
419,769
-----------
Investment Trusts: 4.05%
190,000 ++ Pilgrim Prime Rate
Trust 1,520,000
-----------
Leisure/Entertainment: 0.70%
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
-----------
Metal - 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
-----------
Telecommunication Equipment: 1.56%
4,000 Lucent Technologies,
Inc. 299,250
1,500 @@ Nokia Corp. ADR 285,000
-----------
584,250
-----------
Telephone: 2.75%
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%
Communications - Internet: 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
110
<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
----------
Telecommuncations Equipment: 0.96%
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
----------
Telephone: 2.26%
250,000 MGC Communications,
Inc., 13.000%, due
10/01/04 251,875
600,000 Sprint Capital Corp. 594,474
----------
846,349
----------
Transportation: 1.61%
$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
111
<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
112
<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
113
<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
------------
Electronic - 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
------------
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
------------
114
<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
115
<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.
116
<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 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. 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
4. Approval of sub-advisory between Pilgrim Investments, Inc. and the Funds
Fund
- ----
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
</TABLE>
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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.
QSEMI1299-022900
