<PAGE> 1
Financial
Direction
[THE PILOT FUNDS LOGO]
Pilot Growth and
Income Fund
Pilot Equity
Income Fund
Pilot Small
Capitalization
Equity Fund
Pilot U.S. Government
Securities Fund
Pilot Intermediate
U.S. Government
Securities Fund
Pilot Municipal
Bond Fund
Pilot Intermediate
Municipal Bond Fund
Semi-Annual Report
February 29, 1996
The
Pilot
Funds
NOT
FDIC
INSURED
May Lose Value
No Bank Guarantee
Distributor: Pilot Funds Distributors, Inc. 4/96
<PAGE> 2
LETTER FROM THE FUNDS' MANAGEMENT 1
Dear Shareholder:
We are pleased to present you with the Semi-Annual Report of the Pilot domestic
equity and fixed income funds for the six months ended February 29, 1996.
The Pilot domestic equity and fixed income funds registered strong
performance during the period. Overall, the Funds benefited from strong results
of the stock and bond markets throughout 1995 and the beginning of 1996.
Inflation for 1995 was again below 3.0%. Though the economy slowed somewhat,
the stock market rose due to, among other factors, the continued strength of
corporate earnings. Investors seemed to believe that interest rates would trend
lower over the long term, which rallied bond prices.
Following the well-received introduction of the PILOT SMALL
CAPITALIZATION EQUITY FUND in December, we continue to expand the Pilot Fund
family. The new PILOT GROWTH EQUITY FUND and PILOT DIVERSIFIED INCOME BOND FUND
are scheduled to become available later this year.* Boatmen's Trust Company
will manage the new Funds, drawing on expertise gained from more than 100 years
of investing in equity and fixed income securities. The Funds' portfolio
managers will utilize Boatmen's disciplined processes for equity and fixed
income security selection. These two new Funds have distinct objectives and
investing styles that make them appropriate for portions of a balanced
portfolio.
In the coming months we will be streamlining internal operations at The
Pilot Funds. If you are a shareholder of other Pilot Funds,
* Information contained herein is subject to completion or amendment.
Registration statements relating to these securities have been filed with the
Securities and Exchange Commission. These securities may not be sold nor may
offers to buy be accepted prior to the time the registration statements become
effective. This communication shall not constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of these securities
in any State in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of any such state.
For more information and a prospectus please call 1-800-71-PILOT (717-4568).
Please read the prospectus carefully before investing or sending money.
_______________________________________________________________________________
THE FUNDS ARE ADVISED BY BOATMEN'S TRUST COMPANY, A NON-BANK SUBSIDIARY OF
BOATMEN'S BANCSHARES, INC., AND ARE DISTRIBUTED BY PILOT FUNDS DISTRIBUTORS,
INC., WHICH IS NOT AFFILIATED WITH BOATMEN'S TRUST COMPANY. BOATMEN'S TRUST
COMPANY RECEIVES FEES FOR PROVIDING INVESTMENT ADVISORY SERVICES TO THE FUNDS.
This report is not authorized for distribution to prospective investors unless
preceded or accompanied by a current prospectus.
<PAGE> 3
2
you may have received more than one statement in the past. By consolidating
certain operational functions, we will be able to detail all of your Pilot
stock and bond positions on a single statement. We continually strive for
excellence, not only in performance, but in shareholder service as well.
Thank you for choosing The Pilot Funds to help meet your long-term
investment needs. Should you have any questions or wish to learn more about any
of The Pilot Funds, please call your local Boatmen's Representative or The
Pilot Funds at 1-800-71-PILOT (717-4568).
Sincerely,
David F. Toth
SENIOR VICE PRESIDENT
Boatmen's Trust Company
<PAGE> 4
FUND HIGHLIGHTS 3
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
Total Returns
as of February 29, 1996 Pilot Shares Class A Shares Class B Shares
NAV NAV POP NAV CDSC
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Pilot Growth & Income Fund
Since Inception 23.82% 24.00% 18.75% 22.13% 18.86%
1 Year 24.94% 24.34% 18.71% 23.76% 19.26%
Inception Date and Maximum Sales Load or CDSC 11/7/94 2/7/95 4.5% 11/11/94 4.5%
- ------------------------------------------------------------------------------------------------------
Pilot Equity Income Fund
Since Inception 24.75% 27.20% 21.82% 29.48% 25.63%
1 Year 27.43% 27.18% 21.46% 26.51% 22.01%
Inception Date and Maximum Sales Load or CDSC 11/7/94 2/7/95 4.5% 1/12/95 4.5%
- ------------------------------------------------------------------------------------------------------
Pilot Small Capitalization Equity Fund*
Aggregate Since Inception 2.17% 1.95% -2.63% 2.05% -2.45%
Inception Date and Maximum Sales Load or CDSC 12/12/95 12/12/95 4.5% 12/12/95 4.5%
- ------------------------------------------------------------------------------------------------------
Pilot U.S. Government Securities Fund
Since Inception 16.81% 13.80% 9.00% 15.16% 11.84%
1 Year 12.98% 12.75% 7.69% 11.86% 7.36%
Inception Date and Maximum Sales Load or CDSC 11/7/94 2/7/95 4.5% 11/10/94 4.5%
- ------------------------------------------------------------------------------------------------------
Pilot Intermediate U.S. Government Securities Fund
Since Inception 10.42% 10.69% 6.93% N/A N/A
1 Year 9.29% 9.12% 4.71% N/A N/A
Inception Date and Maximum Sales Load or CDSC 11/7/94 12/21/94 4.0%
- ------------------------------------------------------------------------------------------------------
Pilot Municipal Bond Fund
Since Inception 13.59% 11.50% 6.75% 12.74% 8.98%
1 Year 10.13% 10.05% 5.06% 8.55% 4.05%
Inception Date and Maximum Sales Load or CDSC 11/7/94 2/7/95 4.5% 12/27/94 4.5%
- ------------------------------------------------------------------------------------------------------
Pilot Intermediate Municipal Bond Fund
Since Inception 9.37% 10.14% 6.70% N/A N/A
1 Year 8.33% 8.18% 3.81% N/A N/A
Inception Date and Maximum Sales Load or CDSC 11/7/94 11/18/94 4.0%
- ------------------------------------------------------------------------------------------------------
<FN>
* Small capitalization funds typically carry additional risks since smaller
companies generally have a higher risk of failure and by definition are not as
well established as "blue chip" companies. Historically, smaller companies'
stocks have experienced a greater degree of market volatility than average.
Past performance is not a guarantee of future results. Investment returns and
principal values will fluctuate, so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
Note: This table reflects the fact that Class A and Class B Shares are subject
to different fees and expenses. Class A Shares are subject to a front-end sales
load of up to 4.5% of the offering price and a Rule 12b-1 fee of up to .25 of
1%. Class B Shares are subject to Contingent Deferred Sales Charges for
redemptions before the periods outlined in the Funds' prospectuses and a Rule
12b-1 fee of up to 1%. All other Fund expenses related to Class A and B Shares
are the same as for Pilot Shares.
</TABLE>
<PAGE> 5
LETTERS FROM THE PORTFOLIO MANAGERS 4
Pilot Growth and Income Fund
DEAR SHAREHOLDER:
The Fund produced a strong return of 12.44% (Pilot Shares) for the six-month
period ended February 29, 1996. Since the Fund's inception on November 7, 1994,
Pilot Shares of the Fund, which are available to trust customers, returned
23.82%.
Investment Philosophy
Our investment discipline is geared toward removing the emotion from investment
decisions. We invest in mid to large-sized "good businesses" on the basis of
their long-term relative value, not their current popularity. An emphasis on
"good businesses" first, and on valuations second, is central to our approach.
Many factors determine whether a business is good: a competitive strategy, a
sustainable product or service mix, and a management team that can adapt to its
environment. Our research analysts focus on assessing these and other
characteristics to identify competitive advantages.
PORTFOLIO AND S&P 500(R) INDEX
COMPOSITION BY SECTOR*
as of 2/29/96
<TABLE>
<CAPTION>
Pilot Growth S&P 500
and Income Fund Index**
- ---------------------------------------------------------------
<S> <C> <C>
Finance 16.3% 13.2%
- ---------------------------------------------------------------
Materials & Processing 7.0 7.1
- ---------------------------------------------------------------
Industrial Goods & Services 10.0 10.3
- ---------------------------------------------------------------
Retailing 6.0 6.2
- ---------------------------------------------------------------
Consumer Staples 11.7 12.2
- ---------------------------------------------------------------
Consumer Cyclicals 8.1 8.1
- ---------------------------------------------------------------
Health Care 11.3 10.4
- ---------------------------------------------------------------
Energy 9.9 9.8
- ---------------------------------------------------------------
Technology 6.9 10.9
- ---------------------------------------------------------------
Utilities 12.8 11.8
- ---------------------------------------------------------------
<FN>
* Portfolio holdings are subject to change.
** The Standard & Poor's 500 Stock Index (S&P 500) is an unmanaged index
typically used as a standard for common stock performance.
</TABLE>
<PAGE> 6
5
Investment Environment
During the past six months, the stock market responded positively to the
low-inflation, moderate-growth environment. The strong performance continued
throughout the fourth quarter of 1995, despite a growing number of
weaker-than-expected earnings forecasts. With numerous indicators pointing to
continued moderate growth and relatively subdued inflation, the underlying
fundamentals of the equity market remain supportive. Given the remarkable
strength of the market over the last year, some degree of profit-taking is
possible in the near term, however, such periods are likely to be mild and
short-lived.
- -------------------------------------------
TOP TEN HOLDINGS*
as of 2/29/96
<TABLE>
<CAPTION>
Company % of Portfolio
- -------------------------------------------
<S> <C>
Royal Dutch Petroleum Co. 3.8%
- -------------------------------------------
AT&T Co. 3.6
- -------------------------------------------
Chemical Banking Corp. 3.3
- -------------------------------------------
U.S. Healthcare Inc. 3.2
- -------------------------------------------
Crown Cork & Seal Inc. 3.1
- -------------------------------------------
Raytheon Co. 3.1
- -------------------------------------------
MCI Communications Corp. 3.1
- -------------------------------------------
Marsh & McLennan Companies Inc. 3.0
- -------------------------------------------
Ford Motor Co. 3.0
- -------------------------------------------
SmithKline Beecham 2.9
- -------------------------------------------
<FN>
*Portfolio holdings are subject to change.
</TABLE>
Portfolio Positioning
The Pilot Growth and Income Fund benefited during this period from an
overweighted position in the finance sector. The Fund reduced this position by
taking profits throughout the year, though it still remains overweighted. The
Fund underweighted its technology holdings, and therefore underperformed
relative to the S&P(R) 500 Index. Our fundamental analysis continues to view
particular "stand-out" technology stocks as overvalued, and therefore they have
not been considered for purchase. As long-term investors, we continue to
emphasize our time-proven formula: purchasing stock in good businesses at
attractive valuations.
Sincerely,
Randall L. Yoakum, CFA
SENIOR VICE PRESIDENT,
DIRECTOR OF EQUITY AND BALANCED
PORTFOLIO MANAGEMENT
Boatmen's Trust Company
<PAGE> 7
LETTERS FROM THE PORTFOLIO MANAGERS 6
Pilot Equity Income Fund
DEAR SHAREHOLDER:
For the six-month period ending February 29, 1996, the Pilot Equity Income Fund
had a total return of 14.55% (Pilot Shares) which compared to 11.79% for the
Lipper Equity Income Fund(R) Index (a composite index of the top 30 largest
equity income funds) and the total return of 15.30% for the S&P 500(R) Index.
Investment Philosophy
We follow a disciplined valuation approach to identify companies that represent
superior long-term investment values. We generally invest in larger,
established companies, selecting those which offer what we believe are the best
relative values. We also emphasize companies which offer high current dividend
yields. This approach seeks to provide competitive long-term results with
controlled risk exposure.
- ------------------------------------------------------------
AVERAGE PORTFOLIO COMPOSITION*
9/1/95 - 2/29/96
[graph inserted here]
<TABLE>
Caption>
Convertible Bonds & Preferred Stock Cash Equity Securities
- ----------------------------------- ----- -----------------
<S> <C> <C>
15% 3% 82%
</TABLE>
- -------------------------------------------------------------
PORTFOLIO AND S&P 500(R) INDEX
COMPOSITION BY SECTOR*
as of 2/29/96
<TABLE>
<CAPTION>
Pilot Equity S&P 500
Income Fund Index**
- -------------------------------------------------------------
<S> <C> <C>
Finance 13.8% 13.2%
- -------------------------------------------------------------
Materials & Processing 9.8 7.1
- -------------------------------------------------------------
Industrial Goods & Services 6.1 10.3
- -------------------------------------------------------------
Retailing 2.8 6.2
- -------------------------------------------------------------
Consumer Staples 16.4 12.2
- -------------------------------------------------------------
Consumer Cyclicals 3.0 8.1
- -------------------------------------------------------------
Health Care 7.4 10.4
- -------------------------------------------------------------
Energy 15.9 9.8
- -------------------------------------------------------------
Technology 0.0 10.9
- -------------------------------------------------------------
Utilities 24.8 11.8
- -------------------------------------------------------------
<FN>
* Portfolio holdings are subject to change.
** The Standard & Poor's 500 Stock Index (S&P 500) is an unmanaged index
typically used as a standard for common stock performance.
</TABLE>
<PAGE> 8
- -------------------------------------------------- 7
TOP TEN HOLDINGS* as of 2/29/96
<TABLE>
<CAPTION>
Company % of Portfolio
- --------------------------------------------------
<S> <C>
Philip Morris 4.1%
- --------------------------------------------------
Oklahoma Gas & Electric Company 3.8
- --------------------------------------------------
Unicom Corporation 3.8
- --------------------------------------------------
ConAgra Inc. 3.5
- --------------------------------------------------
Cooper Industries Inc. 3.4
- --------------------------------------------------
Aetna Life & Casualty Company 3.4
- --------------------------------------------------
Dow Chemical Company 3.2
- --------------------------------------------------
Kimberly Clark Corporation 3.2
- --------------------------------------------------
Ashland Inc. (Pfd.) 3.2
- --------------------------------------------------
Consolidated Edison 3.2
- --------------------------------------------------
<FN>
*Portfolio holdings are subject to change.
</TABLE>
General Discussion
Over the past six months there has been a steady shift out of convertible bonds
and preferred stock into common stock. This was partially due to several of the
convertibles being called and the reduction in attractive new investments in
this portion of the market.
The portfolio remains diversified with exposure to most industry
sectors. The single exception is technology where we have no holdings at this
time. The weightings in the various sectors shifted marginally, with the
reductions in finance, health care and utilities offset by increases in
materials, consumer staples and energy. The new year brings with it new
opportunities, and as seen so far, increased volatility over the near term. As
always, we remain positioned in the higher yielding sectors of the market.
Sincerely,
David W. Papendick, CFA
SENIOR VICE PRESIDENT,
SENIOR PORTFOLIO MANAGER
Boatmen's Trust Company
<PAGE> 9
LETTERS FROM THE PORTFOLIO MANAGERS 8
Small Capitalization Equity Fund
DEAR SHAREHOLDER:
Since its inception on December 22, 1995, the Fund has returned 2.17% (Pilot
Shares) for the period ended February 29, 1996.
Investment Objective
The Fund's objective is to provide shareholders with long-term capital growth
by investing primarily in equity securities of smaller domestic companies. The
Fund invests a minimum of 65% of its total assets in equity securities of
companies with a market capitalization of $1 billion or less.
Investment Environment
During the period since the Fund's inception, the market for small company
stocks has cooled from its torrid pace of 1995. The beginning of 1996 saw a
bottoming out of interest rates in the expectation that the economy was headed
for continued gradual growth. Earnings expectations for many rapidly growing
companies peaked in 1996, with some profit taking occurring at year-end.
Prospects for 1996 look favorable for the small company market with continued
growth in the economy and many sectors performing beyond expectations.
- -------------------------------------------------------------------
PORTFOLIO AND RUSSELL 2000(R) INDEX
COMPOSITION BY SECTOR*
as of 2/29/96
<TABLE>
<CAPTION>
Pilot Small Russell
Capitalization 2000(R)
Equity Fund Index**
- -------------------------------------------------------------------
<S> <C> <C>
Finance 15.8% 23.5%
- -------------------------------------------------------------------
Materials & Processing 10.5 9.8
- -------------------------------------------------------------------
Producer Durables 13.2 7.8
- -------------------------------------------------------------------
Consumer Discretionary 15.9 15.5
- -------------------------------------------------------------------
Consumer Staples 3.0 2.9
- -------------------------------------------------------------------
Health Care 5.8 12.1
- -------------------------------------------------------------------
Energy 7.8 4.4
- -------------------------------------------------------------------
Technology 13.9 12.6
- -------------------------------------------------------------------
Utilities 11.1 5.8
- -------------------------------------------------------------------
Transportation 3.0 4.0
- -------------------------------------------------------------------
Other 0.0 1.5
- -------------------------------------------------------------------
<FN>
* Portfolio holdings are subject to change.
** The Russell 2000(R) Index is an unmanaged index representing 2000
small capitalized companies and is typically used as a measure of
small cap stocks.
</TABLE>
<PAGE> 10
- ------------------------------------------------- 9
TOP TEN HOLDINGS* as of 2/29/96
<TABLE>
<CAPTION>
Company % of Portfolio
- -------------------------------------------------
<S> <C>
Chronimed 1.7%
- -------------------------------------------------
Paragon Trade Brands, Inc. 1.7
- -------------------------------------------------
Sbarro 1.6
- -------------------------------------------------
TNP Enterprises 1.6
- -------------------------------------------------
Conn. Natural Gas 1.5
- -------------------------------------------------
Advanta 1.5
- -------------------------------------------------
California Energy 1.5
- -------------------------------------------------
Inacom Corporation 1.5
- -------------------------------------------------
Logicon 1.4
- -------------------------------------------------
NU Horizons Electronics Corp. 1.4
- -------------------------------------------------
<FN>
* Portfolio holdings are subject to change.
</TABLE>
Portfolio Positioning
While the roaring markets of 1995 were a boon to financial companies, the
market outlook for 1996 shows signs of slackening, particularly on the fixed
income side. For this reason, financial stocks look less attractive, and we are
beginning to underweight them in the Fund. Prospects for smaller companies in
the retail sector, which is a sub-component of the consumer discretionary
sector, continue to improve. Many companies in the industry addressed
operational issues and consumer sales were stronger than expected despite
January's inclement weather. As prospects for the Spring appear strong, we will
continue to overweight this sector. Energy companies enjoyed strong results as
oil prices rallied off strong global demand, and prospects for Iraqi oil coming
to the world market faded. Last year proved to be a strong period for
interest-sensitive utilities as interest rates steadily declined over the
course of 1995. Against a background of strong market demand for utility
services and limited overcapacity, this environment helped utilities produce
solid dividends throughout the year. As rates show signs of bottoming, however,
we will look to reduce our overweighting in this sector.
Sincerely,
Daniel Ginsparg
SENIOR PORTFOLIO MANAGER
Boatmen's Trust Company
Michael Kenneally
SENIOR VICE PRESIDENT
Boatmen's Trust Company
<PAGE> 11
LETTERS FROM THE PORTFOLIO MANAGERS 10
Pilot U.S. Government Securities Fund
Pilot Intermediate U.S. Government Securities Fund
DEAR SHAREHOLDER:
Following an unsettling 1994 characterized by sharply higher interest rates,
fixed income investors were richly rewarded in 1995. The dramatic declines in
long-term interest rates during the past year reflected four principal factors:
news of slower economic growth, a sharp inflow of foreign investment in U.S.
bonds, a resurgence of speculative leveraged bond trading, and heightened
optimism regarding the budget deficit reduction efforts in Washington. Yields
on intermediate and long-term U.S. Treasury bonds generally declined by 2% or
more during 1995. As a result, the broad U.S. bond market posted its single
best year since 1985, and its fifth best year since the 1930s, in terms of
total return from income and price appreciation. More importantly, outstanding
returns for shareholders characterized the first full year of operations for
the Pilot U.S. Government Securities Funds.
Pilot U.S. Government Securities Fund
At the beginning of 1995, the Pilot U.S. Government Securities Fund was
aggressively positioned to benefit from declining interest rates. When market
yields declined, as we anticipated, the Fund gradually adopted a much more
neutral structure. Our strategy of
<TABLE>
<CAPTION>
- --------------------------------------------------------
PILOT U.S. GOVERNMENT SECURITIES FUND
MATURITY DISTRIBUTION OF SECURITIES*
as of 2/29/96
<S> <C> <C>
0-5 Years 5-10 Years 10-20 Years
[graph inserted here]
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------
PILOT U.S. GOVERNMENT SECURITIES FUND
SECURITY HOLDINGS*
as of 2/29/96
U.S. Treasury Bonds Repurchase Agreements and Other U.S Treasury Notes
- ------------------- ------------------------------- ------------------
<S> <C> <C>
33.1% 2.0% 64.9%
[graph inserted here]
<FN>
*Portfolio holdings are subject to change.
</TABLE>
<PAGE> 12
11
actively managing the maturity structure of the Fund based on the level of
"real" inflation-adjusted yields is the key to our efforts to provide
shareholders with favorable long-term results. The aggressive posture of the
Fund during 1995 resulted in strong gains from income and price appreciation.
The more conservative structure currently in place has helped preserve those
gains as interest rates edged somewhat higher in the first two months of 1996.
Pilot Intermediate U.S. Government Securities Fund
Consistent with its objectives, the Pilot Intermediate U.S. Government
Securities Fund maintains a conservative stance with regard to its average
maturity and portfolio structure. To provide stability of principal and to
limit potential volatility in performance, the Fund targets investments solely
in fixed income securities maturing in 10 years or less. Despite this
conservative stance, the Fund generated solid double-digit returns from income
and market appreciation during 1995. Perhaps more importantly, the conservative
structure of the Fund has safeguarded those results as market rates have risen
in early 1996. The Fund remains ideally suited to clients seeking a competitive
level of income with relative stability in the value of invested principal.
- --------------------------------------------------------
PILOT INTERMEDIATE U.S. GOVERNMENT
SECURITIES FUND
MATURITY DISTRIBUTION OF SECURITIES*
as of 2/29/96
[graph inserted here]
<TABLE>
<CAPTION>
0-3 Years 3-5 Years 5-10 Years
- --------- --------- -----------
<S> <C> <C>
% % %
</TABLE>
- --------------------------------------------------------
PILOT INTERMEDIATE U.S. GOVERNMENT
SECURITIES FUND
SECURITY HOLDINGS*
as of 2/29/96
[graph inserted here]
<TABLE>
<S> <C>
U.S. Treasury Notes 79.8%
Corporate Obligations 12.0%
Asset Backed Obligations 6.8%
Repurchase Agreements 1.4%
<FN>
*Portfolio holdings are subject to change.
</TABLE>
<PAGE> 13
LETTERS FROM THE PORTFOLIO MANAGERS 12
Looking Ahead
We do not anticipate a recession during 1996. The presence of ample credit
availability and rising personal income, combined with the favorable wealth
effects of 1995's roaring financial markets and the strong competitive position
of U.S. products and services in world markets, should all contribute to
relative economic stability going forward. For these same reasons, we also
believe that Federal Reserve policy is not excessively restrictive. A healthy
supply of credit, strong wage growth, soaring stock and bond prices, rising
real estate values, and weak exchange rates for the dollar are not
characteristics of overly "tight" monetary policy. As such, we do not believe
that the Federal Reserve will reduce short-term rates from current levels in
the near future.
Investors should recognize that bond returns in 1996 are likely to be
much more moderate than those of 1995. While the long-term outlook for Federal
Reserve policy, inflation and interest rates seems very favorable,
opportunities for further near-term gains seem limited. In particular, the
developments of 1995 have left "real" inflation-adjusted bond yields near the
lower end of ranges that have prevailed throughout the past decade. While we
continue to advise clients to maintain a core position in bonds, we do
recommend a moderate stance in terms of average maturity and portfolio
structure. We have positioned the Pilot Government Securities Funds
accordingly.
Sincerely,
Frank J. Aten, CFA
SENIOR VICE PRESIDENT
DIRECTOR OF TAXABLE FIXED INCOME
Boatmen's Trust Company
Scott P. Leiberton, CFA
PORTFOLIO MANAGER
TAXABLE FIXED INCOME
Boatmen's Trust Company
<PAGE> 14
13
Pilot Municipal Bond Fund
Pilot Intermediate Municipal Bond Fund
DEAR SHAREHOLDER:
Against the backdrop of slower economic growth and lower interest rates, the
municipal market was able to turn in a strong performance for the six-month
period ending February 29, 1996. However, unlike other fixed income markets,
the ride was far from smooth. Flat-tax proposals, which would eliminate
municipal bonds' tax-advantaged position, caused investors to flee the
municipal market through most of the summer of 1995. Investors who stayed in
the market chose to invest in shorter maturities. Longer maturity municipals
naturally suffered. The stronger performance exhibited by shorter maturities
was short-lived, however, as the cheapness of longer maturities finally
attracted investors despite tax reform fears. During the fourth quarter of
1995, long municipal bonds appreciated in price close to 1% while short and
intermediate municipal bonds were unchanged. For all of 1995, the Pilot
Municipal Bond Fund and the Pilot Intermediate Municipal Bond Fund turned in
competitive performances of 16.99% and 10.89%, respectively, for the Pilot
shares. The price appreciation that municipals enjoyed during 1995 continued
into 1996. The seasonal reduction in tax-exempt supply allowed municipals to
substantially outperform their taxable counterparts.
Pilot Municipal Bond Fund
The Pilot Municipal Bond Fund maintained a duration modestly longer than the
Lehman Brothers Municipal Bond(R) Index ( a representative index of municipal
bonds with maturities longer than one year) during 1995. This reflected our
positive outlook for interest rates and our focus of providing competitive
tax-free income. During the last half of the year the Fund continued to take
advantage of opportunities to improve call protection and increase the tax-free
income to our shareholders by purchasing high quality revenue bonds that offer
essential services to communities. Limiting taxable capital gains also
continued to be a central focus.
[graph inserted here]
- ------------------------------------------
PILOT MUNICIPAL BOND FUND
MATURITY DISTRIBUTION OF SECURITIES*
as of 2/29/96
<TABLE>
<CAPTION>
0-10 Years 10-20 Years 20-30 Years
- ---------- ----------- -----------
<S> <C> <C>
% % %
<FN>
*Portfolio holdings are subject to change.
</TABLE>
<PAGE> 15
LETTERS FROM THE PORTFOLIO MANAGERS 14
- -----------------------------------------
PILOT MUNICIPAL BOND FUND
PORTFOLIO SECTOR ALLOCATION*
as of 2/29/96
[graph inserted here]
<TABLE>
<S> <C>
Insured 35.8%
Government-Backed 10.4%
Electric Utility 10.0%
Water/Sewer 7.1%
Transportation 2.2%
Hospital 1.4%
IDR 1.8%
Miscellaneous 4.7%
General Obligation 26.6%
- -----------------------------------------
</TABLE>
PILOT MUNICIPAL BOND FUND
PORTFOLIO ALLOCATION BY STATE*
as of 2/29/96
[graph inserted here]
<TABLE>
<S> <C>
Other 23.4%
Arizona 3.4%
California 10.4%
Florida 6.7%
Georgia 3.6%
Illinois 7.6%
Michigan 5.3%
Missouri 19.1%
Texas 9.2%
Washington 11.3%
</TABLE>
- -----------------------------------------
PILOT MUNICIPAL BOND FUND
INVESTMENT RATINGS OF SECURITIES*
as of 2/29/96
[graph inserted here]
<TABLE>
<CAPTION>
Other A AA AAA
- ------ ----- ----- -----
<S> <C> <C> <C>
0.3% 19.6% 31.6% 48.5%
<FN>
*Portfolio holdings are subject to change.
</TABLE>
Pilot Intermediate Municipal Bond Fund
During the last half of 1995, the Pilot Intermediate Municipal Bond Fund
maintained a duration consistent with the Lehman Brothers 5-Year Municipal
Bond(R) Index (a representative index of municipal bonds with maturities
between 4 and 6 years). This conservative stance reflected not only our
feelings that short-term interest rates were overvalued based on
inflation-adjusted yields, but also our desire to limit the potential
volatility of the Fund. We continued to consolidate smaller holdings by
selectively selling low-coupon bonds and by purchasing high-quality revenue
bonds that offered more income to our shareholders.
Our Parameters for Investing
Our philosophy for the two Pilot Municipal Bond Funds centers on a conservative
approach to investing. We believe credit quality is of the utmost importance
and consequently invest only in high-quality bonds. Our internal investment
guidelines limit the average maturity on the Pilot Intermediate Municipal Bond
Fund to three to seven years, shorter than the average intermediate municipal
bond fund. In managing both Pilot Municipal Bond Funds, we attempt to maximize
after-tax returns by limiting realized capital gains.
Looking Ahead
Although we remain positive on the longer-term outlook for interest rates, we
feel that the potential for near-term gains in the bond
<PAGE> 16
PILOT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<S> <C>
- ---------------------------------------------------------------
COMMON STOCKS--94.7%
CONSUMER CYCLICAL--7.6%
AUTOMOTIVE--3.0%
155,000 Ford Motor Co. $ 4,843,750
-------------
HOUSING & FURNISHING--1.8%
70,000 Owens Corning Fiberglass Corp.* 2,843,750
-------------
MEDIA--2.8%
215,000 Tele-Communications, Inc.,
Class A 4,515,000
-------------
CONSUMER STAPLES--8.4%
BEVERAGE & TOBACCO--5.5%
65,000 Anheuser Busch Cos., Inc. 4,379,375
45,000 Philip Morris Cos., Inc. 4,455,000
-------------
8,834,375
-------------
FOOD PROCESSING--2.9%
240,000 Archer Daniels Midland Co. 4,620,000
-------------
ENERGY--9.3%
INTEGRATED OIL--9.3%
40,000 Atlantic Richfield Co. 4,380,000
80,000 Chevron Corp. 4,450,000
44,000 Royal Dutch Petroleum Co. (ADR) 6,061,000
-------------
14,891,000
-------------
FINANCE--17.2%
BANKING--6.2%
65,000 BankAmerica Corp. 4,631,250
75,000 Chemical Banking Corp. 5,371,875
-------------
10,003,125
-------------
FINANCIAL SERVICES--2.7%
52,000 Federal Home Loan Mortgage Corp. 4,290,000
-------------
HOLDING COMPANIES--1.8%
70,000 Temple Inland, Inc. 2,817,500
-------------
<CAPTION>
Value
Shares (Note 2)
- ---------------------------------------------------------------
<S> <C>
INSURANCE--6.5%
20,000 Aetna Life and Casualty Co. $ 1,512,500
28,000 General RE Corp. 4,028,500
50,000 Marsh & McClennan Companies, Inc. 4,856,250
-------------
10,397,250
-------------
HEALTH CARE--10.7%
MEDICAL SUPPLIES & SERVICES--3.2%
105,000 U.S. Healthcare, Inc. 5,118,750
-------------
PHARMACEUTICALS--7.5%
64,576 Merck & Co., Inc. 4,278,160
54,000 Schering-Plough Corp. 3,030,750
85,000 Smithkline Beecham 4,653,750
-------------
11,962,660
-------------
INDUSTRIAL GOODS & SERVICES--12.5%
AEROSPACE--5.0%
40,000 Lockheed Martin Corp. 3,050,000
100,000 Raytheon Co. 5,012,500
-------------
8,062,500
-------------
COMMERCIAL SERVICES--2.6%
145,000 WMX Technologies, Inc. 4,132,500
-------------
METAL & PLASTIC--4.9%
75,000 Cooper Industries, Inc. 2,896,875
107,000 Crown Cork & Seal, Inc. 5,042,375
-------------
7,939,250
-------------
MANUFACTURING--2.7%
CONSUMER PRODUCTS--2.7%
57,000 Kimberly Clark Corp. 4,353,375
-------------
MATERIALS & PROCESSING--1.7%
PAPER & FOREST PRODUCTS--1.7%
77,000 International Paper Co. 2,743,125
-------------
</TABLE>
- ----------------------------------------------------------
- ----------------------------------------------------------
See Notes to Financial Statements.
16
<PAGE> 17
PILOT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<S> <C>
- --------------------------------------------------------------
RETAILING--6.0%
DEPARTMENT STORES--3.8%
56,000 Dayton Hudson Corp. $ 4,165,000
42,380 May Department Stores Co. 1,975,968
-------------
6,140,968
-------------
SPECIALTY STORES--2.2%
145,000 Toys R Us* 3,461,875
-------------
TECHNOLOGY--4.5%
COMPUTERS & OFFICE EQUIPMENT--1.7%
100,000 Apple Computer 2,750,000
-------------
SOFTWARE & SERVICES--2.8%
117,000 Automatic Data Processing, Inc. 4,533,750
-------------
UTILITIES--14.1%
COMMUNICATION--8.7%
92,000 AT & T Corp. 5,854,768
170,000 MCI Communications Corp. 4,972,500
57,000 Motorola Inc. 3,092,250
-------------
13,919,518
-------------
ELECTRIC POWER--5.4%
215,000 PacificCorp 4,461,250
130,000 Unicom Corp. 4,160,000
-------------
8,621,250
- --------------------------------------------------------------
TOTAL COMMON STOCKS (cost $129,847,775) 151,795,271
- --------------------------------------------------------------
<CAPTION>
Principal
Amount Value
(000) (Note 2)
- --------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENT--5.8%
$ 9,241 Repurchase agreement with State
Street Bank and Trust, 5.35%,
dated 2/29/96, due 3/1/96 (cost
$9,241,000) (see Footnote A) 9,241,000
- --------------------------------------------------------------
TOTAL INVESTMENTS--100.5% (cost $139,088,775) 161,036,271
LIABILITIES IN EXCESS OF OTHER ASSETS--(0.5%) (758,231)
- --------------------------------------------------------------
NET ASSETS--100.0% $160,278,040
- --------------------------------------------------------------
</TABLE>
ADR--American Depository Receipt.
* Non-income producing security.
Footnote A
Collateralized by $9,490,000 U.S. Treasury Note, 5.13%, due 2/28/98 with a
value of $9,430,688.
- ----------------------------------------------------------
- ----------------------------------------------------------
See Notes to Financial Statements.
17
<PAGE> 18
PILOT EQUITY INCOME FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<S> <C>
- --------------------------------------------------------------
COMMON STOCKS--84.8%
CONSUMER CYCLICAL--2.9%
AUTOMOTIVE--2.9%
115,271 Ford Motor Co. $ 3,602,219
-------------
CONSUMER STAPLES--12.6%
BEVERAGES AND TOBACCO--6.5%
49,404 Philip Morris Companies Inc. 4,890,996
90,000 UST Inc. 3,195,000
-------------
8,085,996
-------------
FOOD PROCESSING--6.1%
98,763 Con Agra Inc. 4,160,391
60,000 General Mills, Inc. 3,450,000
-------------
7,610,391
-------------
ENERGY--10.0%
INTEGRATED OIL--10.0%
33,524 AMOCO Corp. 2,329,918
19,409 Atlantic Richfield Co. 2,125,285
27,645 Exxon Corp. 2,197,778
20,000 Royal Dutch Petroleum Co. 2,755,000
37,645 Texaco Inc. 3,002,189
-------------
12,410,170
-------------
FINANCE--15.1%
BANKING--4.9%
46,000 BankAmerica Corp. 3,277,500
43,288 Bankers Trust New York Corp. 2,797,487
89 Chase Manhattan Corp., Warrants Exp.
6/30/96* 3,582
-------------
6,078,569
-------------
INSURANCE--5.6%
53,991 Aetna Life and Casualty Company 4,083,069
30,000 Marsh & Mclennan Co., Inc. 2,913,750
-------------
6,996,819
-------------
MISCELLANEOUS FINANCE--4.6%
41,000 J. P. Morgan & Co. 3,356,875
60,000 Temple-Inland, Inc. 2,415,000
-------------
5,771,875
-------------
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------
<S> <C>
HEALTHCARE--7.1%
PHARMACEUTICALS--7.1%
35,147 American Home Products Corp. $ 3,461,980
35,359 Bristol-Myers Squibb Co. 3,009,935
35,288 Merck & Co., Inc. 2,337,830
-------------
8,809,745
-------------
MANUFACTURING--2.6%
AUTO PARTS--2.6%
55,000 Eaton Corp. 3,183,125
-------------
MATERIALS AND PROCESSING--8.0%
CHEMICALS (BASIC)--3.1%
48,000 Dow Chemical Co. 3,852,000
-------------
PAPER AND FOREST PRODUCTS--4.9%
50,000 Kimberly Clark Corp. 3,818,750
50,000 Union Camp Corp. 2,331,250
-------------
6,150,000
-------------
RETAILING--2.7%
DEPARTMENT AND DISCOUNT STORES--2.7%
70,000 J. C. Penney 3,325,000
-------------
UTILITIES--23.8%
COMMUNICATIONS--5.2%
73,519 GTE Corp. 3,152,127
24,702 NYNEX Corp. 1,272,153
63,000 U. S. West, Inc. 2,063,250
-------------
6,487,530
-------------
ELECTRIC POWER--15.9%
115,000 Consolidated Edison Company New
York, Inc. 3,751,875
110,000 Oklahoma Gas & Electric Co. 4,537,500
179,660 PacificCorp 3,727,945
141,154 UNICOM Corp. 4,516,928
100,000 Western Resources, Inc. 3,200,000
-------------
19,734,248
-------------
</TABLE>
- ----------------------------------------------------------
See Notes to Financial Statements.
18
<PAGE> 19
PILOT EQUITY INCOME FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<S> <C>
- --------------------------------------------------------------
NATURAL GAS AND WATER--2.7%
123,800 NICOR, Inc. $ 3,327,125
- --------------------------------------------------------------
TOTAL COMMON STOCKS (cost $86,333,816) 105,424,812
- --------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS--7.8%
ENERGY--5.3%
INTEGRATED OIL--3.0%
61,288 Ashland Inc., $3.125 3,792,195
-------------
OIL & GAS--2.3%
52,000 UNOCAL Corp., 144A 2,814,500
-------------
MATERIALS AND PROCESSING--2.5%
PAPER AND FOREST PRODUCTS--2.5%
70,000 International Paper Co., 5.25%, 144A 3,132,500
- --------------------------------------------------------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $9,847,722) 9,739,195
- --------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity
(000) Rate Date
<S> <C> <C> <C>
- -----------------------------------------------------------------
CONVERTIBLE BONDS--3.3%
INDUSTRIAL GOODS & SERVICES--3.3%
MANUFACTURING--3.3%
$ 3,922 Cooper Industries,
Inc. 7.05% 1/01/15 $ 4,083,783
- -----------------------------------------------------------------
TOTAL CONVERTIBLE BONDS (cost $3,909,040) 4,083,783
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000) (Note 2)
- -----------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENT--3.9%
$ 4,800 Repurchase agreement with State Street
Bank and Trust, 5.35%, dated
2/29/96, due 3/1/96 (cost $4,800,000) $ 4,800,000
- -----------------------------------------------------------------
TOTAL INVESTMENTS--99.8% (cost $104,890,578) 124,047,790
OTHER ASSETS IN EXCESS OF LIABILITIES--0.2% 304,400
- -----------------------------------------------------------------
NET ASSETS--100.0% $ 124,352,190
- -----------------------------------------------------------------
<FN>
ADR--American Depository Receipt.
* Non-income producing security.
Footnote A
Collateralized by $4,930,000 U.S. Treasury Note, 5.13%, due 2/28/98, with a
market value of $4,899,188.
- -----------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
19
<PAGE> 20
PILOT SMALL CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<S> <C>
- -------------------------------------------------------------
COMMON STOCKS--79.3%
CONSUMER CYCLICAL--7.4%
AUTOMOTIVE--1.0%
10,000 Champion Enterprises, Inc.* $ 302,500
------------
HOUSING & FURNISHING--5.9%
6,400 Blount International, Inc. 195,200
12,100 Bush Industries, Inc. 266,200
7,100 Continental Homes Holding Corp. 146,437
15,400 Kaufman & Broad Home Corp. 236,775
11,500 NCI Building Systems, Inc.* 333,500
7,300 Oakwood Homes Corp. 325,762
7,500 Pulte Corp. 224,062
------------
1,727,936
------------
MEDIA--0.5%
2,625 International Family
Entertainment-- Class B* 40,031
2,400 Pulitzer Publishing Co. 121,200
------------
161,231
------------
CONSUMER GOODS & STAPLES--2.8%
BEAUTY & HEALTH PRODUCTS--0.7%
2,900 Alberto Culver Co.--Class B 102,587
4,700 Church & Dwight, Inc. 95,175
------------
197,762
------------
BEVERAGE & TOBACCO--0.9%
8,500 Robert Mondavi Corp.* 250,750
------------
FOOD PRODUCTS & PROCESSING--1.2%
15,600 Ben & Jerry's Homemade, Inc.--
Class A* 243,750
2,900 Eskimo Pie Corp. 54,194
8,500 John B. Sanfilippo & Sons, Inc. 63,750
------------
361,694
------------
ENERGY--6.2%
DRILLING--1.7%
33,200 Parker Drilling Co.* 199,200
15,600 Reading & Bates Corp. 298,350
------------
497,550
------------
GEOTHERMAL--1.2%
15,300 California Energy, Inc.* 340,425
------------
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C>
INTEGRATED OIL & GAS--3.3%
20,900 Tom Brown, Inc.* $ 271,700
45,150 Comstock Resources, Inc.* 214,462
9,100 Diamond Shamrock, Inc. 277,550
2,646 Forest Oil Corp.* 29,767
14,800 Texas Meridian Resources Corp. 183,150
------------
976,629
------------
FINANCE--12.5%
BANKING--3.7%
4,900 Brenton Banks, Inc. 112,700
6,900 Commercial Federal Corp. 259,612
5,400 Deposit Guarantee Corp. 255,150
19,300 National City Corp. 265,375
5,900 ONBANCorp, Inc. 199,125
------------
1,091,962
------------
BROKERAGE--1.1%
4,700 Morgan Keegan, Inc. 57,575
24,500 Southwest Securities Group, Inc. 272,562
------------
330,137
------------
FINANCIAL SERVICES--4.1%
8,300 Aames Financial Corp. 272,862
7,200 Advanta Corp.--Class A 343,800
7,300 Capstead Mortgage Corp.--REIT* 166,988
10,900 Downey Financial Corp. 238,438
9,400 North American Mortgage Co. 193,875
------------
1,215,963
------------
INSURANCE--3.6%
4,600 Berkley W.R. Corp. 208,150
5,600 Equitable Iowa Cos. 216,300
10,600 First American Financial Corp. 299,450
2,100 Frontier Insurance Group, Inc. 64,575
6,600 Arthur J. Gallagher & Co. 258,225
------------
1,046,700
------------
HEALTH CARE--5.2%
MEDICAL SUPPLIES & SERVICES--3.6%
6,000 Ballard Medical Products 99,000
11,100 Bergen Brunswig Corp. 267,787
5,000 Bio-Rad Laboratories, Inc.* 193,125
4,800 Coherent, Inc.* 218,400
9,100 Vital Signs, Inc. 268,450
------------
1,046,762
------------
</TABLE>
- -------------------------------------------------------------
See Notes to Financial Statements.
20
<PAGE> 21
PILOT SMALL CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<S> <C>
- -------------------------------------------------------------
PHARMACEUTICALS--1.6%
18,800 Chronimed, Inc.* $ 392,450
12,000 Syncor International Corp. 76,500
------------
468,950
------------
INDUSTRIAL GOODS & SERVICES--12.8%
CHEMICALS--1.3%
26,600 International Specialty Products,
Inc.* 329,175
4,100 NL Industries, Inc. 56,887
------------
386,062
------------
COMMERCIAL SERVICES--1.1%
14,400 Applied Bioscience International,
Inc.* 102,600
20,600 Calgon Carbon Corp.* 231,750
------------
334,350
------------
CONSTRUCTION--0.6%
6,500 Granite Construction, Inc. 180,375
------------
ELECTRONICS--7.6%
13,600 Core Industries, Inc. 188,700
3,600 Electro Scientific Industries,
Inc.* 77,400
9,700 Komag, Inc.* 304,337
10,600 Logicon, Inc. 336,550
21,300 Nu Horizon Electronics Corp.* 332,812
13,300 Pioneer Standard Electronics, Inc. 186,200
9,930 Sterling Electronics Corp. 156,397
17,500 TNP Enterprise, Inc. 365,313
7,900 Watkins Johnson Co.* 290,325
------------
2,238,034
------------
ENVIRONMENT--1.1%
14,700 Zurn Industries, Inc. 317,888
------------
METAL & PLASTIC--1.1%
17,760 Wyman-Gordon Co.* 315,240
------------
LEISURE--0.3%
GAMING RESORTS & HOTELS--0.3%
3,900 Rio Hotel & Casino, Inc. 53,625
2,300 WMS Industries, Inc.* 41,400
------------
95,025
------------
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C>
MANUFACTURING--11.1%
COMMUNICATIONS EQUIPMENTS--1.1%
4,700 Communications Systems, Inc. $ 70,500
8,000 Network Equipment Technologies* 238,000
------------
308,500
------------
CONSUMER PRODUCTS--1.3%
15,200 Paragon Trade Brands, Inc.* 383,800
------------
MACHINERY--2.8%
10,900 Credence Systems Corp.* 207,100
4,200 DT Industries, Inc.* 64,050
12,200 Gardner Denver Machinery, Inc.* 247,050
15,200 Standard Products Co. 315,400
------------
833,600
------------
MANUFACTURING--MISC.--5.6%
4,200 Amsco International, Inc.* 65,625
3,700 Applied Power, Inc. 112,388
5,400 Charter Power Systems, Inc. 157,275
5,400 Dionex Corp.* 202,500
12,900 Esterline Technologies Corp.* 287,025
10,300 Photronic, Inc.* 226,600
17,900 Proxim, Inc.* 333,388
9,400 Tuscarora, Inc. 225,600
6,500 Worldtex, Inc.* 30,875
------------
1,641,276
------------
TEXTILE--0.3%
4,400 Culp, Inc. 47,300
1,100 Springs Industries, Inc. 47,575
------------
94,875
------------
MATERIALS & PROCESSING--0.7%
PAPER & FOREST PRODUCTS--0.7%
4,200 Albany International Corp.-- Class
A* 81,375
2,300 Chesapeake Corp. 59,225
3,900 Glatfelter P. H. Co. 64,838
------------
205,438
------------
RETAILING--7.2%
DEPARTMENT STORES--0.7%
7,000 Neiman Marcus Group, Inc.* 139,125
3,000 Proffitt's, Inc.* 78,750
------------
217,875
------------
</TABLE>
- -------------------------------------------------------------
See Notes to Financial Statements.
21
<PAGE> 22
PILOT SMALL CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<S> <C>
- --------------------------------------------------------------
GROCERY STORES--0.5%
8,600 Riser Foods, Inc. $ 154,800
------------
SPECIALTY STORES--5.1%
8,100 Catherine's Stores Corp.* 59,738
31,770 Eagle Hardware & Garden, Inc.* 324,650
6,400 Fabri Centers of America, Inc.* 78,400
18,700 Inacom Corp.* 338,938
9,000 Pacific Sunwear of California* 74,250
11,400 Quiksilver, Inc. 330,600
11,900 Ross Stores, Inc. 291,550
------------
1,498,126
------------
WAREHOUSE--0.9%
11,400 Waban, Inc.* 256,500
------------
SERVICES--4.6%
AIRLINES--1.1%
19,200 USAir Group, Inc.* 324,000
------------
RESTAURANT--1.3%
15,300 Sbarro, Inc.* 380,588
------------
SERVICES--MISC.--2.0%
5,300 Corrections Corp. of America* 251,750
5,100 Filenet Corp.* 323,850
------------
575,600
------------
WHOLESALING--0.2%
2,600 Custom Chrome, Inc.* 65,000
------------
TECHNOLOGY--2.2%
COMPUTERS & OFFICE EQUIPMENT--0.5%
6,600 American Business Products, Inc.* 155,100
------------
<CAPTION>
Value
Shares (Note 2)
- -----------
<S> <C>
SEMICONDUCTOR--1.0%
14,200 International Semiconductor Co.* $ 291,100
------------
SOFTWARE & SERVICES--0.7%
5,750 Marcam Corp.* 74,031
1,900 Sterling Commerce* 126,588
------------
200,619
------------
UTILITIES--6.3%
ELECTRIC POWER--4.6%
5,400 Central Hudson Gas & Electric Co. 157,950
11,900 Central Maine Power Co. 174,038
17,800 Central Vermont Public Services 255,875
3,700 Commonwealth Energy Systems 174,825
2,000 IES Industries, Inc.* 58,000
10,100 Northwestern Public Service Co. 301,738
3,600 St. Joseph Light & Power Co. 117,000
35,000 Tuscon Electric Power Co.* 113,750
------------
1,353,176
------------
NATURAL GAS--1.7%
15,100 Connecticut Natural Gas Corp. 356,738
2,700 Piedmont Natural Gas, Inc. 60,750
2,200 Southeastern Michigan Gas 37,950
2,200 Washington Energy Co. 44,000
------------
499,438
- -------------------------------------------------------------
TOTAL COMMON STOCKS (cost $22,951,582) 23,323,336
- -------------------------------------------------------------
</TABLE>
- -------------------------------------------------------------
See Notes to Financial Statements.
22
<PAGE> 23
PILOT SMALL CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
(000) (Note 2)
- -------------------------------------------------------------
<S> <C>
U.S. TREASURY BILLS--1.3%
$ 200 U.S. Treasury Bill, 4.76%,
12/12/96** $ 192,437
200 U.S. Treasury Bill, 5.06%,
12/12/96** 192,023
- -------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (cost $384,460) 384,460
- -------------------------------------------------------------
REPURCHASE AGREEMENT--18.9%
$ 5,571 Repurchase agreement with State
Street Bank and Trust, 5.35%,
dated 2/29/96, due 3/1/96 (cost
$5,571,000) (see Footnote A) 5,571,000
- -------------------------------------------------------------
TOTAL INVESTMENTS--99.5% (cost $28,907,042) 29,278,796
OTHER ASSETS IN EXCESS OF LIABILITIES--0.5% 157,301
- -------------------------------------------------------------
NET ASSETS--100.0% $ 29,436,097
- -------------------------------------------------------------
</TABLE>
Footnote A
Collateralized by $5,720,000 U.S. Treasury Note, 5.13%, due 2/28/98 with a
value of $5,684,250.
* Non-income producing security.
** Securities deposited into a segregated custodial account for futures margin
requirements.
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS SETTLEMENT UNREALIZED
TYPE LONG(B) MONTH GAIN
<S> <C> <C> <C>
- --------------------------------------------------------------
FUTURES CONTRACTS
S & P MIDCAP 400 46 Mar-96 $189,734
S & P MIDCAP 400 10 Jun-96 --
- -------------------------------------------------------------
$189,734
- -------------------------------------------------------------
</TABLE>
(b) Each S&P MIDCAP Contract represents $50,000 in notional par value. The total
net notional amount and net market value for the futures contracts shown
above are $2,800,000 and $6,372,700, respectively. The determination of
notional amounts does not consider market risk factors and therefore
notional amounts as presented here are indicative only of volume of activity
and not a measure of market risk.
- ----------------------------------------------------------
See Notes to Financial Statements.
23
<PAGE> 24
PILOT U.S. GOVERNMENT SECURITIES FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
(000) Rate Date (Note 2)
<S> <C> <C> <C>
- ---------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--96.8%
U.S. TREASURY BONDS--32.6%
$ 38,000 U.S. Treasury Bond 7.50 % 11/15/16 $ 41,811,780
2,500 U.S. Treasury Bond 7.13 2/15/23 2,651,175
------------
44,462,955
------------
U.S. TREASURY NOTES--64.2%
15,000 U.S. Treasury Note 6.50 9/30/96 15,107,850
5,500 U.S. Treasury Note 6.88 10/31/96 5,557,585
14,800 U.S. Treasury Note 7.25 11/30/96 15,005,868
13,000 U.S. Treasury Note 6.88 2/28/97 13,195,000
10,000 U.S. Treasury Note 6.50 4/30/97 10,129,700
9,900 U.S. Treasury Note 5.63 11/30/00 9,845,847
9,300 U.S. Treasury Note 5.75 8/15/03 9,145,992
9,300 U.S. Treasury Note 6.50 8/15/05 9,513,621
------------
87,501,463
- ---------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(cost $126,975,623) 131,964,418
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000) (Note 2)
<S> <C>
- ---------------------------------------------------------------
REPURCHASE AGREEMENT--2.1%
$ 2,795 Repurchase agreement with State
Street Bank and Trust, dated
2/29/96, 5.35% due 3/01/96 (Cost
$2,795,000)
(See Footnote A)
$ 2,795,000
- ---------------------------------------------------------------
TOTAL INVESTMENTS--98.9% (cost $129,770,623) 134,759,418
OTHER ASSETS IN EXCESS OF LIABILITIES--1.1% 1,496,170
- ---------------------------------------------------------------
NET ASSETS--100.0% $136,255,588
</TABLE>
- ---------------------------------------------------------------
Footnote A
Collateralized by $2,870,000 U.S. Treasury Notes, 5.13%, due 2/28/98 with a
value of $2,852,063.
- ----------------------------------------------------------
See Notes to Financial Statements.
24
<PAGE> 25
PILOT INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
(000) Rate Date (Note 2)
<S> <C> <C> <C>
- -----------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--79.4%
U.S. TREASURY NOTES--79.4%
$ 27,000 U.S. Treasury Note 6.50% 8/15/97 $ 27,426,060
11,000 U.S. Treasury Note 8.13 2/15/98 11,536,250
9,500 U.S. Treasury Note 6.13 5/15/98 9,624,640
52,000 U.S. Treasury Note 7.13 2/29/00 54,607,044
18,500 U.S. Treasury Note 5.63 11/30/00 18,398,805
28,500 U.S. Treasury Note 6.25 2/15/03 28,917,255
9,500 U.S. Treasury Note 7.88 11/15/04 10,596,965
8,000 U.S. Treasury Note 6.50 5/15/05 8,187,520
- -----------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(cost $168,291,787) 169,294,539
- -----------------------------------------------------------------
CORPORATE OBLIGATIONS--11.8%
BEVERAGES--0.5%
1,000 PepsiCo., Inc. 7.63 11/01/98 1,042,182
-------------
ELECTRIC UTILITIES--0.9%
2,000 Southern California
Edison Co. 5.45 6/15/98 1,978,900
-------------
FINANCE AND BANKING--5.6%
1,000 American General
Finance Corp. 7.25 4/15/00 1,041,630
2,650 Ford Motor Credit
Co. 6.25 2/26/98 2,675,546
2,500 NBD Bank N.A.,
Indiana 7.50 2/28/98 2,582,925
2,500 Norwest Corp. 7.88 1/30/97 2,556,100
2,000 Transamerica
Financial Corp. 6.80 3/15/99 2,042,160
1,000 USAA Capital Corp.,
Medium Term Note 4.76 1/28/97 995,440
-------------
11,893,801
-------------
HEALTH CARE PRODUCTS--0.5%
1,000 American Home
Products 7.70 2/15/00 1,055,460
-------------
<CAPTION>
Principal
Amount Maturity Value
(000) Rate Date (Note 2)
<S> <C> <C> <C>
- -----------------------------------------------------------------
INDUSTRIALS--2.8%
$ 3,000 J.C. Penney, Inc. 5.38% 11/15/98 $ 2,964,750
3,000 Wal Mart Stores,
Inc. 5.50 9/15/97 2,989,440
-------------
5,954,190
-------------
TOBACCO--1.5%
3,000 Phillip Morris
Cos., Inc. 9.25 12/01/97 3,169,290
- -----------------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS (cost $24,374,711) 25,093,823
- -----------------------------------------------------------------
ASSET BACKED OBLIGATIONS--6.8%
2,565 Banc One Credit
Card Master Trust
94-BA 7.55 12/15/99 2,641,950
3,700 Discover Card
Master Trust
93-2A 5.40 11/16/01 3,661,816
2,900 Peoples Bank Credit
Card Master Trust
94-1A 5.10 8/15/97 2,888,197
2,800 Standard Credit
Card Master Trust
93-3A 5.50 2/07/00 2,771,104
2,400 Standard Credit
Card Master Trust
95-3A 7.85 2/07/02 2,546,232
- -----------------------------------------------------------------
TOTAL ASSET BACKED OBLIGATIONS (cost $14,008,342) 14,509,299
- -----------------------------------------------------------------
REPURCHASE AGREEMENT--4.1%
8,714 Repurchase agreement with State Street
Bank and Trust, dated 2/29/96, 5.35%
due 3/01/96, (cost $8,714,000)
(See Footnote A) 8,714,000
- -----------------------------------------------------------------
TOTAL INVESTMENTS--102.1% (cost $ 215,388,840) 217,611,661
LIABILITIES IN EXCESS OF OTHER ASSETS--(2.1%) (4,364,776)
- -----------------------------------------------------------------
NET ASSETS--100.0% $ 213,246,885
- -----------------------------------------------------------------
</TABLE>
Footnote A
Collateralized by $8,945,000 U.S. Treasury Notes, 5.13%, due 2/28/98, with a
market value of $8,889,094.
- ----------------------------------------------------------
See Notes to Financial Statements.
25
<PAGE> 26
PILOT MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS--96.4%
ARIZONA--3.3%
$2,000 Maricopa County, Scottsdale School District Aa/AA 5.00% 7/01/01 $ 1,914,220
400 Pima County University School District, Series D, G.O.
(FGIC Insured) Aaa/AAA 6.10 7/01/11 422,096
2,000 Salt River Project, Agriculture Improvement & Power
District Electric Systems Revenue, Series C Aa/AA 6.25 1/01/19 2,108,400
900 Tucson, Series 1984-G, G.O. (FGIC Insured) Aaa/AAA 6.25 7/01/16 959,544
------------
5,404,260
------------
CALIFORNIA--10.0%
400 California State, G.O. A1/A 9.10 11/01/01 491,832
200 California State, G.O. A1/A 9.00 6/01/02 248,336
500 California State, Series AM, G.O. A1/A+ 9.00 10/01/02 626,435
200 California State, Series-AQ, G.O. A1/A+ 9.10 10/01/02 251,700
1,000 California State, Non-Callable A1/A 7.10 9/01/02 1,147,320
200 California State, Series AM, G.O. A1/A+ 9.00 10/01/03 255,574
1,000 California State, G.O. A1/A 7.00 8/01/04 1,161,150
200 California State, Series AN, G.O. A1/A+ 9.00 4/01/05 261,012
200 California State, G.O. A1/A 7.20 4/01/05 235,604
700 California State, G.O. A1/A 7.00 8/01/05 817,733
400 California State, G.O. A1/A 7.10 3/01/07 475,588
400 California State University Revenue Bonds Aaa/AAA 6.00 11/01/10 424,016
500 Long Beach Water Revenue Bonds Aa/AA 6.00 5/01/14 521,980
200 Los Angeles, Water & Power Waterworks Revenue Aa/AA 7.70 5/15/07 217,718
1,000 Los Angeles Wastewater Systems Revenue, Series C,
(MBIA Insured) Aaa/AAA 5.50 6/01/14 994,210
500 Los Angeles County, Metropolitan Transportation Authority
Sales Tax Revenue Prop A-Series A, (MBIA Insured) Aaa/AAA 5.63 7/01/18 495,250
400 Los Angeles County Sanitation District Authority Revenue,
Capital Project, Series A Aa/AA 5.38 10/1/13 387,392
2,000 Metropolitan Water District Southern, Revenue Bonds Aaa/AAA 5.75 7/01/15 2,033,100
500 San Francisco Rapid Transit District Sales Tax Revenue
(AMBAC Insured) Aaa/AAA 6.75 7/01/11 578,230
700 San Francisco City & County Sewer Revenue, (AMBAC
Insured) Aaa/AAA 5.50 10/01/15 687,624
600 San Francisco City & County Public Utilities Common Water
Revenue, Series A Aa/AA 6.00 11/01/15 613,794
2,595 San Francisco International Airport Revenue Bond, Series
9B Aaa/AAA 5.25 5/01/13 2,523,326
500 University Revenue, Project-Series C, (AMBAC Insured) Aaa/AAA 5.25 9/01/16 475,900
500 University Revenue, Project-Series C, (AMBAC Insured) Aaa/AAA 5.00 9/01/14 471,210
------------
16,396,034
------------
COLORADO--0.1%
200 Colorado Springs Utilities, Series A Aa/AA 6.50 11/15/15 217,812
------------
FLORIDA--6.4%
2,500 Broward County School District, G.O. A1/AA- 5.60 2/15/07 2,619,875
500 Florida State Board Education Capital Outlay, G.O. Aa/AA 6.13 6/01/10 529,410
1,000 Florida State Board Education Capital Outlay, G.O. Aa/AA 5.50 6/01/14 996,480
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
26
<PAGE> 27
PILOT MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
FLORIDA (continued)
$ 700 Florida State Board Education Capital Outlay, G.O.,
Series D Aa/AA 5.00% 6/01/15 $ 660,296
200 Florida State Board Education Capital Outlay, G.O.,
Series A Aa/AA 7.25 6/01/23 222,414
300 Florida State Board Education Public Education, G.O.,
Series B1 Aaa /AAA 7.88 6/01/19 331,830
400 Jacksonville Electric Authority Revenue-St Johns River
Power Park Systems, Series 10 Aa1/AA 5.50 10/01/13 399,532
2,000 Jacksonville Electric Authority Revenue-St Johns River
Power Park Systems Aaa/AAA 5.38 10/01/15 1,956,100
600 Jacksonville Transportation, Series 1985 Aaa/AAA 9.00 1/01/04 666,708
1,200 Orlando Utilities Common Water & Electric Revenue, Series
D Aa/AA- 6.75 10/01/17 1,406,580
700 Orlando Utilities Common Water & Electric Revenue, Series
A Aa/AA- 5.50 10/01/12 702,030
------------
10,491,255
------------
GEORGIA--3.5%
1,100 Atlanta, G.O. Aa/AA 5.60 12/01/11 1,143,857
600 Atlanta, G.O. Aa/AA 5.60 12/01/15 604,944
800 De Kalb County, G.O. Aa1/AA+ 5.25 1/01/20 773,552
200 Fulton County Water & Sewer Revenue, (FGIC Insured) Aaa/AAA 6.38 1/01/14 223,344
300 Municipal Electric Authority Revenue, Series V A/A 6.50 1/01/12 328,062
1,000 Municipal Electric Authority Revenue, Series V A/A 6.60 1/01/18 1,111,470
1,000 Municipal Electric Authority Revenue, Series B A/A 6.25 1/01/12 1,067,530
400 Henry County School District, G.O., (MBIA Insured) Aaa/AAA 6.00 8/01/14 421,168
------------
5,673,927
------------
HAWAII--0.1%
200 Hawaii State, Series BW, G.O. Aa/AA 6.25 3/01/12 223,304
------------
ILLINOIS--7.3%
400 Chicago, Series 1993, G.O., (FGIC Insured) Aaa/AAA 5.38 1/01/13 392,372
600 Chicago Metro Water-Capital Improvement, G.O. Aa/AA 5.50 12/01/12 614,496
400 Chicago Park District-Capital Improvement, G.O., (FGIC
Insured) Aaa/AAA 6.05 1/01/13 413,764
600 Du Page County, Ref. Jail Project, G.O. Aaa/AAA 5.50 1/01/13 602,028
600 Du Page County, Ref. Jail Project, G.O. Aaa/AAA 5.60 1/01/21 608,016
600 Du Page, Common Water Revenue Aa/AA 5.25 5/01/14 584,880
200 Illinois State, G.O. A1/AA- 9.50 11/01/03 220,154
400 Illinois State, G.O. NR/AA- 8.00 10/01/04 433,248
2,340 Illinois State, G.O. A1/AA- 5.88 6/01/11 2,427,071
2,000 Illinois State, G.O. Aaa/AAA 6.00 2/01/16 2,069,460
800 Illinois State, G.O. A1/AA- 5.50 8/01/18 776,896
600 Illinois State, G.O. A1/AA- 5.80 4/01/19 603,150
700 Illinois State Sales Tax Revenue, Series S A1/AAA 5.25 6/15/18 664,699
1,550 Northwest Suburban Municipal Joint Action Water Supply
Systems Revenue, Series A, (MBIA Insured) Aaa/AAA 5.90 5/01/15 1,578,365
------------
11,988,599
------------
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
27
<PAGE> 28
PILOT MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
KANSAS--1.8%
$2,000 Kansas State Department Transportation Highway Revenue,
Series A Aa/AA 6.00% 9/01/07 $ 2,170,020
700 Kansas State Department Transportation Highway Revenue Aa/AA 5.38 3/01/13 691,173
------------
2,861,193
------------
KENTUCKY--0.6%
1,000 Kentucky State Turnpike Authority Economic Development
Revenue Aaa/AAA 5.63 7/01/15 1,012,020
------------
LOUISIANA--0.3%
400 Louisiana State, Series B, G.O. Aaa/A- 8.00 5/01/03 427,156
------------
MAINE--0.4%
700 Turnpike Authority Revenue, (MBIA Insured) Aaa/AAA 6.00 7/01/14 724,990
------------
MASSACHUSETTS--1.9%
2,500 Massachusetts, Series A, G.O. (MBIA Insured) Aaa/AAA 5.75 2/01/13 2,567,100
500 Massachusetts, Series A, G.O. (MBIA Insured) Aaa/AAA 5.90 8/01/16 515,255
------------
3,082,355
------------
MICHIGAN--5.1%
1,750 Byron Center Public Schools Aaa/AAA 5.97 5/01/15 1,814,575
1,000 Environmental Protection Project, G.O. Aa/AA 6.25 11/01/12 1,110,030
1,400 Ferndale School District Refunding Bond Aaa/AAA 5.38 5/01/16 1,373,708
300 Hudsonville Public Schools, Series B, G.O., (FGIC
Insured) Aaa/AAA 6.00 5/01/14 312,000
1,000 Lakeshore Public Schools Aaa/AAA 5.75 5/01/15 1,014,720
1,000 Michigan State Trunk Line Aaa/AAA 5.63 11/15/14 1,004,290
1,700 Oxford Community School District Aaa/AAA 5.30 5/01/11 1,705,916
------------
8,335,239
------------
MISSOURI--18.5%
300 Board Public Building State Office Building Special
Obligation Aa/AA 6.40 12/01/10 321,627
400 Environment Improvement & Energy Resource Authority,
Water Pollution Control-Revolving FD-Multipart-Series A Aa/NR 6.45 7/01/08 441,976
500 Environment Improvement & Energy Resource Authority,
Water Pollution Control-Revolving FD-Springfield PJ-A Aa/NR 7.00 10/01/10 559,275
300 Environment Improvement & Energy Resource Authority,
Water Pollution Control-Revolving FD-Multipart-A Aa/NR 6.88 6/01/14 331,299
400 Environment Improvement & Energy Resource Authority,
Water Pollution Control-Revolving FD-Multipart-Series A Aa/NR 6.55 7/01/14 431,824
200 Environment Improvement & Energy Resource Authority,
Water Pollution Control-Revolving FD-Multipart-Series A Aa/NR 6.05 7/01/15 210,166
1,100 Environment Improvement & Energy Resource Authority,
Environment Improvement Revenue-Union Electric Co.
(AMBAC-TCRS) Aaa/AAA 7.40 5/01/20 1,215,764
200 Environment Improvement & Energy Resource Authority,
Environment Improvement Revenue-Union Electric Co.,
Series A A1/A+ 7.40 5/01/20 220,810
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
28
<PAGE> 29
PILOT MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
MISSOURI (continued)
$ 200 Health & Educational Facilities Authority Revenue-General
Tuition-St. Louis University, (AMBAC Insured) Aaa/AAA 6.50% 8/01/16 $ 217,108
200 Health & Educational Facilities Authority Revenue-General
Tuition-St. Louis University, (AMBAC Insured) Aaa/AAA 6.50 8/01/16 217,108
400 Health & Educational Facilities Authority Revenue-St.
Louis University, Series A, (AMBAC Insured) Aaa/AAA 7.75 6/01/07 424,476
1,500 Health & Educational Facilities Authority, HFR-Barnes
Horp NR/AAA 7.13 12/15/09 1,716,120
400 Health & Educational Facilities Authority, HFR-Children's
Mercy Hosp. Proj. (MBIA Insured) Aaa/AAA 5.63 5/15/12 402,960
500 Health & Educational Facilities Authority, HFR-Deacnes
Health Services Corp., (FGIC Insured) Aaa/AAA 6.75 4/01/15 519,390
500 Health & Educational Facilities Authority, HFR-Deacnes
Hlth Svcs Corp., (FGIC) Aaa/AAA 6.75 4/01/07 518,910
200 Health & Educational Facilities Authority, HFR-Health
Care Project, Series B, (MBIA Insured) Aaa/AAA 7.00 6/01/15 225,080
290 Health & Educational Facilities Authority, HFR-Jewish
Hospital
St Louis, (FGIC Insured) Aaa/AAA 7.25 7/01/15 304,598
500 Health & Educational Facilities Authority, HFR-Sisters Of
Mercy Health-A Aa/AA 6.25 6/01/15 527,570
900 Health & Educational Facilities Authority, HFR-SSM Health
Care Project, (BIG Insured) Aaa/AAA 7.75 6/01/16 993,105
700 Health & Educational Facilities Authority, HFR-St. Louis
University, (AMBAC Insured) Aaa/AAA 5.00 10/01/10 672,651
900 Health & Educational Facilities Authority, HFR-St Lukes
Episcopl-Presbyterian, (FGIC Insured) Aaa/AAA 6.88 12/01/07 950,742
200 Health & Educational Facilities Authority, HFR-St Lukes
Episcopal Hospital, (FGIC Insured) Aaa/AAA 6.80 12/01/03 219,252
1,000 Independence School District, G.O. A1/NR 6.25 3/01/11 1,101,770
200 Jackson County Industrial Development Authority Health
Care Corp. Revenue-St Joseph Health Center Project (BIG
Insured) Aaa/AAA 8.25 7/01/07 215,974
300 Jefferson City School District, Series A Aa/NR 6.70 3/01/11 348,153
400 Kansas City Airport Revenue, Series B, (MBIA Insured) Aaa/AAA 7.20 9/01/08 447,564
500 Kansas City Airport Revenue, Series B, (MBIA Insured) Aaa/AAA 7.20 9/01/09 559,455
400 Kansas City, G.O. Aa/AA 5.75 10/01/07 418,888
400 Kansas City, G.O. Aa/AA 5.75 10/01/11 410,084
1,000 Kansas City-Various Purpose, G.O. Aa/AA 6.00 3/01/08 1,043,660
400 Mehlville School District 09, G.O., (MBIA Insured) Aaa/AAA 6.00 2/15/13 417,408
1,625 Missouri State Aaa/AAA 5.60 4/01/15 1,657,175
4,000 Missouri State-Third State Building, G.O. Aaa/AAA 7.50 8/01/07 4,150,800
1,750 Missouri State Housing Development Commission Aaa/AAA 6.10 9/01/14 1,777,423
400 Ritenour Cons School District, Series A, G.O., (FGIC
Insured) Aaa/AAA 6.00 2/01/10 416,928
400 Rolla School District No 31, G.O. A/NR 6.38 3/01/14 425,564
400 Springfield School District No R-12, Series A, G.O.,
(MBIA Insured) Aaa/AAA 5.25 3/01/11 399,172
800 Springfield Waterworks Revenue, Series A Aa/A+ 5.50 5/01/19 806,224
500 St Louis County Pattonville R-3 School District, G.O.,
(FGIC Insured) Aaa/AAA 6.25 2/01/10 548,980
200 St Louis County Parkway School, Series A, G.O. Aa/NR 6.00 7/01/10 211,242
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
29
<PAGE> 30
PILOT MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
MISSOURI (continued)
$ 500 St Louis County-Refunding & Improvement, Series B, G.O. Aa1/NR 5.40% 2/01/10 $ 505,135
200 St Louis Industrial Development Authority-Anheuser-Busch
Co. Project A1/AA- 6.65 5/01/16 223,862
500 University City School District, G.O., (MBIA Insured) Aaa/AAA 6.20 2/15/14 530,845
800 University Revenue, Hospital & Clinics Improvement Aaa/AAA 7.38 11/01/10 921,352
500 University Revenue, Refunding & Improvement-Systems
Facilities Aa/AA+ 5.38 11/01/13 493,510
400 University Revenue, Series A, (AMBAC Insured) Aaa/AAA 6.50 11/01/11 434,800
200 University Revenue, Series B, (AMBAC Insured) Aaa/AAA 6.50 11/01/11 217,400
------------
30,108,071
------------
NEBRASKA--1.0%
800 Public Power District Revenue-Power Supply Systems A1/A+ 6.13 1/01/15 831,664
400 Public Power District Revenue-Power Supply Systems A1/A+ 5.75 1/01/20 404,096
400 Omaha Public Power District Electric Revenue, Series B Aa/AA 6.20 2/01/17 439,780
------------
1,675,540
------------
NEVADA--2.7%
1,400 Clark County-Refunding & Improvement Transportation,
Series A, G.O., (MBIA Insured) Aaa/AAA 6.00 6/01/12 1,481,200
1,000 Las Vegas-Clark County Library District, G.O., (FGIC
Insured) Aaa/AAA 6.00 2/01/12 1,042,820
800 Nevada State-Municipal Bond Bank Project No 42, G.O. Aa/AA 5.88 9/01/12 830,120
1,000 Nevada State-Municipal Bond Bank Project No 42, G.O. Aa/AA 5.50 11/01/17 981,310
------------
4,335,450
------------
NEW JERSEY--0.3%
500 New Jersey State, Series A, G.O. Aa1/AA+ 6.25 1/15/05 550,655
------------
NEW MEXICO--0.4%
400 New Mexico State University Revenue, Refunding &
Improvement A1/AA 5.75 4/01/16 411,412
200 Santa Fe Revenue (AMBAC Insured) Aaa/AAA 6.25 6/01/15 222,400
------------
633,812
------------
NEW YORK--3.1%
2,000 New York State Energy Resh A1/AA 6.10 8/15/20 2,045,900
3,000 New York State Local Government Assistance A/A 6.00 4/01/16 3,100,350
------------
5,146,250
------------
NORTH CAROLINA--1.9%
2,000 Eastern Municipal Power, Series A, (FGIC Insured) Aaa/AAA 6.20 1/01/12 2,099,480
1,000 Municipal Power Agency-Catawba Electric Revenue, (MBIA
Insured) Aaa/AAA 6.00 1/01/10 1,084,260
------------
3,183,740
------------
OHIO--0.5%
700 Lakota Loc School District, G.O., (AMBAC Insured) Aaa/AAA 6.25 12/01/14 745,626
------------
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
30
<PAGE> 31
PILOT MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
OREGON--2.2%
$ 200 Oregon State, G.O. Aa/AA- 8.75% 10/01/97 $ 215,820
200 Oregon State, G.O. Aa/AA- 11.00 12/01/99 247,988
2,900 Portland Sewer Systems Revenue, Series A A1/A+ 6.25 6/01/15 3,100,535
------------
3,564,343
------------
PENNSYLVANIA--0.3%
500 Pennsylvania State Higher Education, Series J, (AMBAC
Insured) Aaa/AAA 5.63 6/15/19 497,700
------------
SOUTH CAROLINA--0.9%
1,000 Piedmont Municipal Power Agency Electric , Series A,
(FGIC Insured) Aaa/AAA 6.50 1/01/16 1,127,500
400 Public Service Authority, Series C Aa/AA- 7.30 7/01/21 413,228
------------
1,540,728
------------
TEXAS--8.9%
700 Austin Utilities Systems Revenue, Series A Aaa/AAA 8.00 11/15/16 815,815
500 Austin Utilities Systems Revenue, Combined-Series A Aaa/AAA 9.50 5/15/15 598,760
400 Austin Utilities Systems Revenue, Combined, (BIG Insured) Aaa/AAA 8.63 11/15/12 488,292
1,000 Austin Utilities Systems Revenue NR/AAA 7.30 5/15/17 1,147,290
10 Austin Water Sewer & Electric Refunding Revenue A/A- 14.00 11/15/01 13,393
385 Austin Water Sewer & Electric Refunding Revenue A/A- 14.00 11/15/01 524,193
3,610 Bexar Metropolitan Water District Waterworks Aaa/AAA 6.00 5/01/15 3,749,527
400 Cypress-Fairbanks Independent School District, G.O.,
(PSFG Insured) Aaa/AAA 5.75 2/01/08 413,708
1,000 Dallas Independent School District Aaa/AAA 5.70 8/15/12 1,021,180
200 Harris County-Road Bonds Aaa/NR 7.80 1/01/03 237,736
700 Harris County Toll Road-Sub Lien Revenue, G.O. Aa/AA 6.75 8/01/14 770,525
500 Houston Water Systems Revenue, Prior Lien Aaa/AAA 7.40 12/01/17 540,660
1,000 San Antonio Electric & Gas Aaa/AAA 5.38 2/01/16 973,140
2,000 San Antonio Electric & Gas Aaa/AAA 5.38 2/01/18 1,947,238
1,100 San Antonio Water Revenue, (MBIA Insured) Aaa/AAA 6.50 5/15/10 1,196,305
------------
14,437,762
------------
UTAH--2.7%
500 Intermountain Power Agency Power Supply Revenue, Series B Aa/AA 5.25 7/01/17 473,570
800 Intermountain Power Agency Power Supply Revenue, Series A Aa/AA- 5.50 7/01/20 770,864
2,000 Intermountain Power Agency Power Supply Revenue, Series A Aa/AA- 5.00 7/01/16 1,879,465
1,300 Salt Lake City Water & Sewer, (AMBAC Insured) Aaa/AAA 6.10 2/01/14 1,345,162
------------
4,469,061
------------
VIRGINIA--0.5%
400 Norfolk Water Revenue, (AMBAC Insured) Aaa/AAA 5.38 11/01/23 384,668
500 Transportation Board Contract Revenue-Northern District
PG, Series C Aa/AA 5.50 5/15/15 494,695
------------
879,363
------------
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
31
<PAGE> 32
PILOT MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
WASHINGTON--11.0%
$ 900 King & Snohomish Counties School District No 417
Northshore, G.O., (MBIA Insured) Aaa/AAA 6.30% 6/01/13 $ 941,022
1,035 King County Library Systems, G.O. Aa/AA- 6.15 12/01/10 1,115,906
300 Seattle Metropolitan Municipality, G.O. Aa/A+ 5.65 1/01/20 301,005
2,000 Seattle Metropolitan Municipality, Series X Aaa/AAA 5.50 1/01/16 1,973,700
2,000 Seattle Municipal Light & Power Revenue Aa/AA 6.63 7/01/16 2,165,380
500 Seattle Municipal Light & Power Revenue, Series B Aa/AA 5.75 8/01/08 519,540
1,400 Seattle Water Systems Revenue Aa/AA 5.50 6/01/18 1,382,178
500 Tacoma Electric Systems Revenue, Series B, (AMBAC
Insured) Aaa/AAA 5.90 1/01/05 534,665
500 Washington State, G.O. Aaa/AAA 8.90 10/01/03 539,330
400 Washington State, G.O. Aaa/AAA 9.40 5/01/05 403,804
200 Washington State, G.O., Refunding-Series 86D Aaa/AAA 8.00 9/01/05 204,666
200 Washington State-Motor Vehicle Fuel Tax, Series E, G.O. Aaa/AAA 8.00 9/01/05 204,666
300 Washington State, G.O. Aaa/AAA 7.75 12/01/07 329,700
5,000 Washington State, G.O., Series A Aa/AA 6.75 2/01/15 5,799,650
300 Washington State, G.O., Series A & AT-6 Aa/AA 6.25 2/01/11 331,717
200 Public Power Supply Systems Nuclear Project No 1 Revenue Aaa/AAA 14.38 7/01/01 259,786
400 Public Power Supply Systems Nuclear Project No 1 Revenue,
Series A Project 11 Aa/AA 7.25 7/01/06 460,324
300 Public Power Supply Systems Nuclear Project No 1 Revenue,
Series B Aa/AA 7.25 7/01/09 345,516
------------
17,812,555
------------
WISCONSIN--0.7%
1,000 Wisconsin State, Series A, G.O. Aa/AA 5.80 11/01/08 1,087,010
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS (cost $145,407,963) 157,505,810
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Shares
(000)
- ------
<S> <C>
TAX-EXEMPT MONEY MARKET MUTAL FUND--2.3%
3,848 Federated Tax-Exempt Obligation Fund (Cost $3,848,202) 3,848,202
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS--98.7% (cost $149,256,165) 161,354,012
OTHER ASSETS IN EXCESS OF LIABILITIES--1.3% 2,053,316
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS--100.0% $163,407,328
- ---------------------------------------------------------------------------------------------------------------------------------
<FN>
AMBAC -- AMBAC Indemnity Corporation
BIG -- Bond Investors Guaranty
FGIC -- Financial Guaranty Insurance Corporation
G.O. -- General Obligation
HFR -- Health Facilities Revenue
MBIA -- Municipal Bond Insurance Association
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
32
<PAGE> 33
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS--96.1%
ARIZONA--6.8%
$2,000 Arizona State Transportation Board Excise Tax Aaa/AAA 5.50 % 7/01/02 $ 2,119,000
600 Arizona State Transportation Board Highway Revenue
Refunding Bonds Aa/AAA 4.25 7/01/98 604,590
300 Flagstaff, Series 1991A (FGIC Insured) Aaa/AAA 8.50 7/01/98 329,277
1,100 Glendale G.O. Refunding Bonds (FGIC Insured) Aaa/AAA 4.95 7/01/01 1,135,200
600 Maricopa County High School District 210, G.O. Refunding
Bonds Aa/AA 4.40 7/01/98 606,702
300 Maricopa County High School District 210, G.O. Refunding
Bonds, Series D Aa/AA 6.70 7/01/03 333,873
300 Maricopa County School District 48, G.O. Refunding Bonds,
Series 1991 Aa/AA- 6.00 7/01/00 314,259
3,000 Mesa G.O. Refunding Bonds (FGIC Insured) Aaa/AAA 5.35 7/01/00 3,145,740
900 Mesa G.O. Refunding Bonds (MBIA Insured) Aaa/AAA 5.00 7/01/03 932,859
900 Phoenix G.O. Refunding Bonds Aa/AA+ 5.40 7/01/97 920,565
300 Pima County G.O. NR/NR 7.10 7/01/99 319,545
900 Pima County G.O. Refunding Bonds Aa/A+ 5.35 7/01/00 939,735
400 Pima County School District No. 1, G.O., Refunding Bonds,
Prerefunded 7/01/01 @ 101 (MBIA Insured) Aaa/AAA 6.70 7/01/04 449,408
600 Salt River Project, Agriculture Improvement & Power
District Revenue Bonds, Series D Aa/AA 5.10 1/01/99 615,636
800 Salt River Project, Agriculture Revenue Refunding Bonds,
Series C Aa/AA 4.30 1/01/02 795,480
400 Tempe, Series 1992 Aa/AA+ 5.60 7/01/00 421,288
600 Tucson Water Revenue Refunding Bonds, Series A (AMBAC
Insured) A1/A+ 4.90 7/01/98 612,492
------------
14,595,649
------------
CALIFORNIA--5.2%
300 California State A1/A 5.70 10/01/00 318,402
400 California State A1/A 7.00 8/01/04 464,460
2,000 California State, Public Improvements A1/A 5.25 3/01/00 2,075,620
1,100 California State, School & Public Improvements A1/A 4.80 3/01/00 1,123,594
900 Contra Costa Water District Revenue Bonds, Series G (MBIA
Insured) Aaa/AAA 5.40 10/01/03 948,501
700 Los Angeles County Flood Control G.O. Refunding Bonds Aa1/AA 4.50 5/01/00 709,226
900 Los Angeles G.O. Bonds, Series A (MBIA Insured) Aaa/AAA 5.40 9/01/03 951,003
1,100 Metropolitan Water District Southern Revenue Bonds,
Series 1992 Aa/AA 4.85 7/01/99 1,129,788
1,400 Metropolitan Water District Southern Revenue Bonds,
Series B Aaa/AAA 4.10 7/01/02 1,374,894
700 Riverside Sewer Revenue Refunding Bonds (FGIC Insured) Aaa/AAA 4.80 8/01/01 715,001
600 San Diego Open Space Park Facilities, District No. 1,
G.O. Refunding Bonds Aaa/AA+ 5.13 1/01/00 623,670
600 University of California, Multi. Purpose Projects--C,
Revenue Refunding Bonds (AMBAC Insured) Aaa/AAA 4.80 9/01/04 606,246
------------
11,040,405
------------
COLORADO--1.1%
300 Colorado Springs Utilities Revenue, Series A Aa/AA 6.63 11/15/04 335,538
300 Denver City & County, G.O. Bonds Aa/AA 6.38 8/01/03 329,067
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
33
<PAGE> 34
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
COLORADO (continued)
$ 300 Denver City & County, G.O. Bonds Aa/AA 6.50 % 8/01/04 $ 329,334
400 Denver City & County, Various Purpose G.O. Bonds, Series A Aa/AA 5.50 8/01/99 416,708
900 Platte River Power Authority Revenue Bonds, Series CC Aa/A+ 4.63 6/01/00 915,705
------------
2,326,352
------------
CONNECTICUT--1.7%
600 Connecticut State G.O. Refunding Bonds, Series B Aa/AA- 5.65 11/15/98 627,822
900 Connecticut State G.O. Refunding Bonds, Series C Aa/AA- 4.50 3/15/97 909,477
700 Connecticut State Public Improvements G.O. Bonds, Series D Aa/AA- 4.60 8/01/00 712,250
1,000 Connecticut State Public Improvements G.O. Refunding
Bonds, Series B Aa/AA- 4.80 3/15/01 1,024,190
300 Connecticut State, Series A Aa/AA- 6.60 3/01/04 331,965
------------
3,605,704
------------
DELAWARE--1.0%
600 Delaware State G.O. Refunding Bonds, Series C Aa1/AA+ 4.50 7/01/97 608,046
700 Delaware State Public Improvements G.O. Bonds, Series A Aa1/AA+ 4.30 3/01/99 706,839
800 Delaware State School Improvements G.O. Bonds, Series A Aa1/AA+ 4.60 3/01/00 814,576
------------
2,129,461
------------
DISTRICT OF COLUMBIA--0.5%
1,100 District of Columbia G.O. Bonds, Series A (AMBAC Insured) Aaa/AAA 7.00 6/01/98 1,163,855
------------
FLORIDA--2.4%
1,000 Broward County School District, G.O. Refunding Bonds A1/AA- 5.10 2/15/02 1,034,650
500 Florida State Board Education Capital Outlay, G.O.
Refunding Bonds, Series 1992A Aa/AA 5.70 6/01/03 538,900
1,500 Jacksonville Electric Authority, St. Johns River, Revenue
Refunding Bonds, Series 10 Aa1/AA 4.60 10/01/00 1,528,425
300 Jacksonville Electric Authority, St. Johns River, Special
Obligation Bonds Aa1/AA 6.40 10/01/00 327,966
1,000 Orlando Utilities Community Water & Electric Revenue
Refunding Bonds Aa1/AA 5.20 10/01/00 1,043,710
600 Tampa Guaranteed Entitlement Revenue Refunding Bonds
(AMBAC Insured) Aaa/AAA 6.50 10/01/99 650,070
------------
5,123,721
------------
GEORGIA--2.1%
900 De Kalb County G.O. Refunding Bonds Aa1/AA+ 4.90 1/01/99 921,843
300 Georgia Municipal Electric Authority Power Revenue
Refunding Bonds, Series Q A/A+ 7.40 1/01/98 315,783
300 Georgia Municipal Electric Authority Power Revenue
Refunding Bonds, Series U A/A+ 6.80 1/01/03 330,165
200 Georgia State Public Improvements, Series C Aaa/AA+ 6.50 4/01/04 227,104
300 Georgia State, School & Public Improvements, Series D Aaa/AA+ 7.00 11/01/00 336,105
700 Gwinnett County G.O. Refunding Bonds, Series 1992 Aa1/AA+ 4.88 1/01/99 716,527
1,615 Gwinnett County School District, Series A Aa1/AA 5.10 2/01/01 1,677,307
------------
4,524,834
------------
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
34
<PAGE> 35
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
HAWAII--4.3%
$ 700 Hawaii County, Series 1993A (FGIC Insured) Aaa/AAA 4.80 % 5/01/00 $ 715,820
600 Hawaii State, G.O. Refunding Bonds, Series 1992BW Aa/AA 5.50 3/01/99 622,884
900 Hawaii State, G.O. Refunding Bonds, Series CC Aa/AA 4.60 2/01/00 907,317
1,000 Hawaii State, School & Public Improvements, Series BU Aa/AA 5.85 11/01/01 1,073,380
300 Hawaii State, Series BZ Aa/AA 5.40 10/01/01 315,729
2,000 Hawaii State, Series CJ Aa/AA 5.63 1/01/02 2,115,020
600 Honolulu City & County, G.O. Refunding Bonds,
Series B Aa/AA 4.60 10/01/99 610,254
900 Honolulu City & County, G.O. Refunding Bonds,
Series 1992 One Aa/AA 5.38 6/01/99 934,965
500 Honolulu City & County, Public Improvements, Series 1994A Aa/AA 5.00 4/01/99 513,140
1,300 Honolulu City & County, Public Improvements, Series A Aa/AA 5.25 1/01/01 1,345,734
------------
9,154,243
------------
ILLINOIS--5.7%
2,165 Chicago Metropolitan Water Reclamation. District Aa/AA 5.75 12/01/01 2,325,253
1,100 Chicago Metropolitan Water Reclamation. District Aa/AA 5.00 12/01/02 1,136,102
600 Chicago Water Revenue Refunding Bonds (AMBAC Insured) Aaa/AAA 5.60 11/01/04 631,020
100 Du Page County Jail Project, G.O. Revenue Bonds Aaa/AAA 9.00 1/01/00 116,393
300 Du Page County Stormwater Project, G.O. Revenue Bonds Aaa/AAA 9.00 1/01/00 349,179
900 Du Page Water Community Revenue Refunding Bonds Aa/AA 5.00 5/01/02 928,791
1,100 Illinois State G.O. Bonds A1/AA- 5.50 8/01/03 1,162,194
1,100 Illinois State Public & School Improvements G.O. Bonds A1/AA- 4.50 8/01/99 1,113,111
1,900 Illinois State Sales Tax Revenue Bonds, Series Q A1/AAA 5.30 6/15/00 1,970,376
1,300 Illinois State Toll Highway Priority Revenue Refunding,
Series A A1/A 4.50 1/01/00 1,303,094
600 Northwest Suburban Municipal Water Agency Revenue
Refunding Bonds (MBIA Insured) Aaa/AAA 5.40 5/01/99 620,316
500 Waukegan G.O. Refunding Bonds (FGIC Insured) Aaa/AAA 5.40 1/01/00 520,235
------------
12,176,064
------------
INDIANA--0.4%
900 Indiana Municipal Power Supply Systems Revenue Refunding
Bonds, Series B (MBIA Insured) Aaa/AAA 5.38 1/01/03 940,383
------------
KANSAS--0.5%
100 Johnson County University School District No. 229, G.O.
Refunding Bonds (FGIC Insured) Aaa/AAA 7.10 3/01/99 104,437
300 Kansas State Department Transportation Highway Revenue
Bonds, Series A Aa/AA 4.10 9/01/00 292,671
700 Topeka G.O. Refunding Bonds, Series C Aa/NR 4.40 8/15/97 708,288
------------
1,105,396
------------
KENTUCKY--0.3%
700 Kentucky State Turnpike Authority Economic Development
Revitalization Projects (AMBAC Insured) Aaa/AAA 4.90 7/01/00 716,086
------------
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
35
<PAGE> 36
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
LOUISIANA--0.7%
$ 500 Louisiana State General Purpose Public Improvement
(MBIA Insured) Aaa/AAA 4.50 % 8/01/97 $ 504,795
300 Louisiana State, G.O. Refunding Bonds, Series A Baa1/A- 6.60 8/01/97 310,167
700 Louisiana State, Series A (MBIA Insured) Aaa/AAA 6.70 8/01/98 739,879
------------
1,554,841
------------
MAINE--0.5%
1,000 Maine Muni Bond Bank, Series E Aaa/AAA 5.25 11/01/04 1,048,100
------------
MARYLAND--0.6%
600 Anne Arundel County Cons. General Improvement Bonds Aa/AA+ 4.40 2/01/00 603,612
600 Maryland State Department Transportation Revenue
Refunding Bonds Aa/AA 4.00 12/15/97 604,482
------------
1,208,094
------------
MASSACHUSETTS--2.3%
1,000 Massachusetts State G.O. Refunding, Series B A1/A+ 5.00 11/01/01 1,034,240
300 Massachusetts State G.O., Series B A1/A+ 7.25 4/01/99 328,638
300 Massachusetts State G.O., Series C A1/A+ 7.00 12/01/97 317,592
400 Massachusetts State G.O., Series D A1/A+ 6.38 7/01/00 434,524
1,260 Massachusetts State G.O., Series D A1/A+ 5.13 11/01/01 1,316,121
1,500 Massachusetts State Turnpike Authority, Series A A1/A+ 5.00 6/01/99 1,550,311
------------
4,981,426
------------
MICHIGAN--1.0%
900 Michigan State Recreation Program, Series 1992 A1/AA 5.50 11/01/99 943,875
600 Michigan State Trunk Line, Series 1994A A1/AA- 5.25 11/15/00 615,492
600 University Mi., University Revenue Refunding, Student Fee Aa1/AA+ 4.60 4/01/99 606,312
------------
2,165,679
------------
MINNESOTA--1.6%
900 Metro Council, Minneapolis-St. Paul, Series A Aaa/AAA 5.00 12/01/04 920,070
300 Minnesota State Various Purpose Bonds Aa1/AA+ 6.40 8/01/99 322,893
900 Minnesota State, G.O. Refunding Bonds Aa1/AA+ 4.88 8/01/00 926,721
300 Ramsey County, Refunding Capital Improvement, Series C Aaa/AA+ 5.15 12/01/00 313,422
900 St. Paul Sewer Revenue Refunding Bonds (AMBAC Insured) Aaa/AAA 5.10 12/01/01 925,146
------------
3,408,252
------------
MISSOURI--13.2%
300 Clay County Public School District 53, Series B (MBIA
Insured) Aaa/AAA 5.00 3/01/03 308,001
400 Columbia Refunding Aa/AA 5.20 10/01/00 417,820
100 Independence School District G.O. Bonds A1/NR 6.10 3/01/01 108,004
300 Kansas City Airport Revenue Bonds A/A 7.40 9/01/98 322,296
1,000 Kansas City Municipal Assistance Corporate Bonds Aaa/AAA 4.80 4/15/03 1,014,390
200 Kansas City Public Safety G.O. Bonds Aa/AA 6.20 9/01/97 202,534
1,300 Kansas City School District Building, Leasehold Revenue
Series A Prerefunded 2/01/98 @ 102 (FGIC Insured) Aaa/AAA 7.90 2/01/08 1,425,008
300 Kansas City Various Purpose G.O. Bonds Aa/AA 6.30 3/01/03 322,779
300 Kansas City Various Purpose G.O. Bonds Aa/AA 6.40 3/01/04 322,719
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
36
<PAGE> 37
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
MISSOURI (continued)
$ 600 Kansas City Various Purpose G.O. Bonds Aa/AA 6.00 % 3/01/07 $ 628,890
200 Kansas City Water Revenue Bonds, Series B (AMBAC Insured) Aa/AA 6.60 12/01/02 209,158
300 Mehlville School District No. 9 (MBIA Insured) Aaa/AAA 5.00 2/15/00 308,631
400 Metro St. Louis Sewer District, Mississippi River
Subdivision, G.O. Refunding Bonds (FGIC Insured) Aaa/AAA 6.30 2/15/01 428,372
400 Metro St. Louis Sewer District, Mississippi River
Subdivision, G.O. Refunding Bonds (FGIC Insured) Aaa/AAA 6.40 2/15/02 428,316
200 Missouri State Environmental Improvement & Energy
Resource Authority, Water Pollution Control Revenue
Bonds, Series A Aa/NR 5.40 7/01/97 204,258
300 Missouri State Health & Educational Facilities Authority
Revenue, General Tuition, State Louis University
(AMBAC Insured) Aaa/AAA 6.10 8/01/99 317,799
600 Missouri State Health & Educational Facilities Authority,
Revenue Refunding, State Louis University (AMBAC
Insured) Aaa/AAA 4.10 10/01/00 593,574
100 Missouri State Health & Educational Facilities Authority,
Revenue Refunding, State Lukes Hospital, Kansas City
(MBIA Insured) Aaa/AAA 6.50 11/15/02 112,191
300 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue Insured St. Lukes
Episcopal/Presbyterian (FGIC Insured) Aaa/AAA 4.70 12/01/98 307,335
200 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue Insured--St. Lukes Episcopal
Hospital (FGIC Insured) Aaa/AAA 6.60 12/01/00 217,876
300 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue Refunding & Improvement
Christian Health, A (FGIC Insured) Aaa/AAA 6.40 2/15/00 324,885
300 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue Refunding & Improvement
Sisters of Mercy, Series E Aa/AA 7.00 6/01/98 317,217
300 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue Refunding & Improvement
Christian Health, A (FGIC Insured) Aaa/AAA 6.25 2/15/98 314,505
700 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue Refunding & Improvement
Sisters of Mercy, Series E Aa/AA 7.00 6/01/99 754,754
600 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue Refunding &
Improvement--Christian Health, A, Prerefunded 2/15/01 @
102 Aaa/AAA 6.60 2/15/02 672,012
1,500 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue Refunding, SSM Health Care,
Series AA
(MBIA Insured) Aaa/AAA 5.40 6/01/00 1,562,610
600 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, BJC Health Systems, Series A Aa/AA 5.90 5/15/04 637,134
1,300 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, Barnes-Jewish Inc.
Christian, A Aa/AA 3.90 5/15/97 1,297,829
1,200 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, Barnes-Jewish Inc.
Christian, A Aa/AA 4.00 5/15/98 1,195,200
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
37
<PAGE> 38
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
MISSOURI (continued)
$ 200 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, Barnes Hospital NR/AAA 6.55 % 12/15/97 $ 210,234
200 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, Barnes Hospital NR/AAA 6.65 12/15/98 214,876
200 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, Barnes Hospital NR/AAA 6.75 12/15/99 218,724
300 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, Insured--St. Lukes
Episcopal-Presbyterian, Series B (FGIC Insured) Aaa/AAA 4.50 12/01/97 305,004
300 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, Mo. Baptist Medical Center,
Series 1990A NR/NR 7.30 7/01/99 330,489
200 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, SSM Health Care Projects,
Series B
(MBIA Insured) Aaa/AAA 6.50 6/01/98 211,690
400 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, SSM Health Care Project
(MBIA Insured) Aaa/AAA 7.00 6/01/97 417,044
200 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, SSM Health Care Projects,
Series B
(MBIA Insured) Aaa/AAA 6.40 6/01/97 207,082
1,000 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, St. Louis Childrens Hospital
(MBIA Insured) Aaa/AAA 5.40 5/15/99 1,043,050
600 Missouri State Health & Educational Facilities Authority,
Health Facilities Revenue, St. Lukes Health Systems
(MBIA Insured) Aaa/AAA 4.25 11/15/01 595,176
400 Missouri State Office Building Special Obligation, Series
A 1991 Aa/AA 5.90 12/01/01 434,328
200 Missouri State Series 1989A Water Pollution Control Aaa/AAA 7.75 9/01/96 204,360
200 Missouri State Water Pollution Control. B, Prerefunded.
11/01/01 @ 100 Aaa/AAA 5.70 11/01/02 214,430
300 Missouri State Water Pollution Control B, Prerefunded
11/01/01 @ 100 Aaa/AAA 5.80 11/01/03 323,139
900 Missouri State, Third State Building, G.O. Prerefunding
Bonds, Series A Aaa/AAA 5.00 8/01/01 937,107
300 Missouri State, Third State Building, G.O. Prerefunding
Bonds, Series B Aaa/AAA 5.50 11/01/01 320,367
300 Springfield School District No. R12, School Building,
G.O. Refunding Bonds, Series A (FGIC Insured) Aaa/AAA 6.40 3/01/03 324,657
300 Springfield School District No. R12, School Building,
G.O. Refunding Bonds, Series A (FGIC Insured) Aaa/AAA 6.40 3/01/04 323,964
300 Springfield School District No. R12, School Building,
G.O. Refunding Bonds, Series A (FGIC Insured) Aaa/AAA 6.25 3/01/05 321,978
400 Springfield Waterworks Revenue Refunding Bonds, Series B Aa/A+ 4.75 5/01/02 415,984
1,300 St. Louis County Refunding & Improvement, Series A Aa1/NR 4.80 2/01/03 1,321,333
200 St. Louis County Regional Convention & Sports Complex,
Series B A/BBB+ 6.20 8/15/98 208,392
100 St. Louis County Regional Convention & Sports Complex,
Series B A/BBB+ 6.30 8/15/99 105,550
600 St. Louis County, Pattonville School District No. R-3
(FGIC Insured) Aaa/AAA 5.70 2/01/01 637,584
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
38
<PAGE> 39
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
MISSOURI (continued)
$ 500 St. Louis County, Rockwood School District No. R-6,
Prerefunded 2/01/99 @ 100 Aaa/NR 6.00 % 2/01/01 $ 528,555
400 St. Louis County, Rockwood School District No. R-6,
Prerefunded 2/01/99 @ 100 Aaa/NR 6.00 2/01/02 422,844
700 St. Louis County, Rockwood School District No. R-6,
Refunding Bonds Aa/NR 5.00 2/01/03 716,786
300 St. Louis School District (FGIC Insured) Aaa/AAA 6.50 4/01/03 337,911
100 University Mo., University Revenue Refunding Bonds,
Series A (AMBAC Insured) Aaa/AAA 6.05 11/01/96 101,833
200 University Mo., University Revenue Refunding Bonds,
Series A (AMBAC Insured) Aaa/AAA 6.10 11/01/97 207,170
200 University Mo., University Revenue Refunding Bonds,
Series A (AMBAC Insured) Aaa/AAA 6.20 11/01/98 210,760
200 University Mo., University Revenue Refunding Bonds,
Series B (AMBAC Insured) Aaa/AAA 6.05 11/01/96 203,666
200 University Mo.,University Revenue Refunding Bonds, Series
B (AMBAC Insured) Aaa/AAA 6.10 11/01/97 207,170
100 University Mo., University Revenue Refunding Bonds,
Series B (AMBAC Insured) Aaa/AAA 6.20 11/01/98 105,380
------------
28,164,714
------------
NEBRASKA--1.2%
1,000 Nebraska Public Power District Revenue, Power Supply
Systems A1/A+ 5.30 1/01/02 1,039,470
900 Omaha Public Power District Electric Revenue, Series A NR/AAA 5.40 2/01/98 931,221
600 Omaha Public Power District Electric Revenue, Series D Aa/AA 4.75 2/01/04 605,088
------------
2,575,779
------------
NEVADA--2.1%
400 Clark County G.O. Revenue Bonds, Series A (AMBAC Insured) Aaa/AAA 5.50 6/01/98 414,436
300 Clark County School District, Series A (MBIA Insured) Aaa/AAA 6.50 6/01/02 330,813
1,000 Nevada State Municipal Bond Bank No. 38-39-A NR/NR 6.00 7/01/01 1,075,110
1,000 Nevada State, Series A Aa/AA 5.80 5/01/00 1,059,970
1,500 Washoe County G.O. Refunding Bonds (AMBAC Insured) Aaa/AAA 5.00 9/01/01 1,552,320
------------
4,432,649
------------
NEW JERSEY--3.5%
1,100 Bergen County Utilities Authority, Water Pollution
Control Revenue, Series B (FGIC Insured) Aaa/AAA 5.50 12/15/02 1,168,178
3,000 New Jersey G.O. Bonds Aa1/AA+ 5.125 1/01/02 3,105,780
1,100 New Jersey State Transportation Authority, Series A
(AMBAC Insured) Aaa/AAA 5.20 12/15/00 1,144,682
2,000 New Jersey State Transportation Authority, Series B
(MBIA Insured) Aaa/AAA 5.00 6/15/02 2,062,840
------------
7,481,480
------------
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
39
<PAGE> 40
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
NEW MEXICO--1.9%
$1,400 Albuquerque G.O. Bonds, Series A & B Aa/AA 4.70 % 7/01/00 $ 1,431,766
2,000 New Mexico State Capital Projects G.O. Bonds Aa1/AA+ 5.25 9/01/03 2,052,160
600 New Mexico State Severance Tax, Series B Aa/AA 5.10 7/01/00 616,356
------------
4,100,282
------------
NEW YORK--1.5%
300 New York State G.O. A/A- 6.75 6/15/99 323,361
600 New York State Various Purpose G.O. Bonds A/A- 6.60 11/15/98 642,120
1,100 New York State Various Purpose G.O. Bonds A/A- 6.70 11/15/99 1,193,896
1,000 New York State Tollway Authority Bonds, Series B Aaa/AAA 5.00 4/01/00 1,028,870
------------
3,188,247
------------
NORTH CAROLINA--0.1%
300 North Carolina State G.O. Aaa/AAA 5.60 4/01/00 316,707
------------
OHIO--0.9%
700 Columbus City School District Refunding (FGIC Insured) Aaa/AAA 4.00 12/01/96 702,093
900 Columbus G.O. Refunding Bonds, Series D Aaa/AAA 4.75 9/15/00 923,562
300 Ohio State Water Development Authority Revenue, Pure
Water Series I (MBIA Insured) Aaa/AAA 7.00 6/01/99 327,537
------------
1,953,192
------------
OREGON--1.3%
1,300 Portland Sewer Systems Revenue, Series A A1/A+ 5.45 6/01/03 1,376,297
1,300 Washington County University Sewer Agency (AMBAC Insured) Aaa/AAA 5.30 10/01/01 1,368,367
------------
2,744,664
------------
RHODE ISLAND--0.4%
800 Pawtucket G.O. Bonds (FGIC Insured) Aaa/AAA 5.25 4/15/01 833,752
------------
TENNESSEE--0.9%
300 Hamilton County, Series 1994 Aa/NR 5.00 7/01/00 308,781
600 Metropolitan Government, Nashville & Davidson County,
Tn., Electric Revenue, Series B Aa/AA 5.625 5/15/03 642,192
900 Shelby County G.O. Refunding Bonds, Series A Aa/AA+ 5.30 3/01/98 924,570
------------
1,875,543
------------
TEXAS--12.8%
700 Arlington Permanent Improvement Refunding Bonds Aa/AA 4.80 8/15/01 717,493
500 Austin Public Improvement Refunding Bonds Aa/AA 4.50 9/01/98 508,590
1,100 Austin Utilities Systems Revenue Refunding Combination,
Series A A/A 5.00 5/15/01 1,120,042
500 Austin Utilities Systems Revenue Refunding Combination,
Series A
(AMBAC Insured) Aaa/AAA 6.50 11/15/03 554,260
900 Colorado River Municipal Water District (AMBAC Insured) Aaa/AAA 5.00 1/01/04 912,393
2,000 Dallas-Fort Worth Regional Airport Revenue Bonds (MBIA
Insured) Aaa/AAA 4.75 11/01/01 2,033,580
1,000 Dallas G.O. Refunding Bonds Aa1/AAA 5.20 2/15/98 1,025,970
900 Dallas Refunding, Dallas Denton & Collin Company Aa1/AAA 4.45 2/15/99 911,124
2,400 Dallas Waterworks & Sewer Systems Revenue Refunding Bonds Aa/AA 4.50 4/01/00 2,426,616
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
40
<PAGE> 41
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
TEXAS (continued)
$ 900 Garland G.O. Refunding Bonds Aa/AA 5.50 % 8/15/99 $ 940,950
900 Houston Refunding, Series 1993D Aa/AA- 4.70 3/01/01 916,002
2,500 Houston Water & Sewer Systems Revenue, Series A (MBIA
Insured) Aaa/AAA 5.80 12/01/04 2,685,750
400 Lower Company River Authority Revenue Refunding Bonds A1/AA- 6.90 1/01/01 415,044
400 Lower Company River Authority Revenue, Prerefunded
1/01/97 @ 102 NR/AA- 7.00 1/01/03 418,996
1,100 San Antonio Electric & Gas Revenue Refunding Bonds Aa1/AA 4.00 2/01/00 1,091,332
1,000 San Antonio Electric & Gas Revenue Refunding, Libor
Reserve 2 Aa1/AA 5.20 2/01/01 1,038,480
1,100 San Antonio Electric & Gas Revenue Refunding, Libor
Reserve 2 Aa1/AA 5.20 2/01/01 1,138,401
900 San Antonio Water Revenue Refunding Bonds (FGIC Insured) Aaa/AAA 5.40 5/15/97 918,504
2,200 Texas A & M University Revenue Refunding Bonds Aa/AA 5.95 5/15/05 2,410,078
900 Texas State Public Finance Authority, Series B Aa/AA 5.00 10/01/01 926,847
900 Texas State Refunding, Series A Aa/AA 5.70 10/01/03 974,016
1,100 Texas State Superconducting, 1992 C Aa/AA 5.35 4/01/01 1,147,509
300 Texas Water Development Board Revenue Bonds Aa/AAA 4.00 7/15/98 301,533
300 University of Texas., Permanent Fund, Revenue Refunding
Bond Aa1/AA+ 6.70 7/01/05 337,158
1,100 University of Texas., Revenue Refunding Bond Aa1/AA 5.10 8/15/99 1,133,902
300 University of Texas., Revenue Refunding Bond Aa1/AA 5.20 8/15/00 311,670
------------
27,316,240
------------
UTAH--2.1%
300 Davis County School District G.O. Bonds, Prerefunded
12/01/01 @ 100 (FGIC Insured) Aaa/AAA 6.45 6/01/02 331,665
2,000 Intermountain Power Agency Obligation Aaa/AAA 5.05 7/01/01 2,056,180
900 Intermountain Power Agency, Power Supply Revenue
Refunding, Series B Aa/AA 5.20 7/01/98 924,273
1,100 Utah State G.O. Bonds, Series A & B Aaa/AAA 4.40 7/01/99 1,115,213
------------
4,427,331
------------
VIRGINIA--3.2%
1,620 Chesapeake Bay Bridge & Tunnel Revenue Bonds (FGIC
Insured) Aaa/AAA 5.10 7/01/01 1,676,279
1,100 Fairfax County Refunding, Series A Aaa/AAA 4.70 6/01/00 1,123,650
1,000 Norfolk G.O. Bonds Aa/AA 5.25 6/01/01 1,043,590
1,100 Norfolk G.O. Refunding Bonds Aa/AA 4.30 6/01/98 1,110,230
700 Norfolk G.O. Refunding Bonds, Series A Aa/AA 4.60 6/01/01 709,380
1,100 Prince William County Refunding, Series C Aa/AA 4.50 8/01/01 1,113,112
------------
6,776,241
------------
WASHINGTON--9.7%
700 King County Refunding, Series 1993C Aa1/AA+ 4.00 6/01/98 704,438
600 King County Refunding, Series A Aa1/AA+ 5.25 12/01/01 630,540
2,500 King County Refunding, Series C Aa1/AA+ 5.625 6/01/02 2,670,925
3,000 Pierce County School District Refunding Aaa/AAA 5.00 12/01/03 3,100,860
300 Snohomish County School District 2, Series A (MBIA
Insured) Aaa/AAA 6.80 6/01/03 333,780
400 Spokane G.O. Aa/AA 8.50 1/01/00 458,592
800 Tacoma Electric System Revenue Refunding Bonds (FGIC
Insured) Aaa/AAA 5.50 1/01/01 837,096
2,500 Tacoma Electric System Revenue Refunding, Series B
(AMBAC Insured) Aaa/AAA 5.90 1/01/05 2,673,325
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
41
<PAGE> 42
PILOT INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Value
(000) (unaudited) Rate Date (Note 2)
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
WASHINGTON (continued)
$ 600 Tacoma Sewer Revenue Refunding, Series B (FGIC Insured) Aaa/AAA 5.50 % 12/01/03 $ 634,380
1,000 Tacoma, Series A A1/A+ 5.75 7/01/02 1,065,210
400 Washington State Public Power Supply, Nuclear Project No.
1, Series A Aa/AA 7.00 7/01/96 404,664
700 Washington State Public Power Supply, Nuclear Project No.
1, Series C Aa/AA 7.25 7/01/97 726,845
600 Washington State Public Power Supply, Nuclear Project No.
1, Series C Aa/AA 7.30 7/01/98 637,548
400 Washington State Public Power Supply, Nuclear Project No.
3, Series A Aa/AA 7.00 7/01/96 403,376
300 Washington State Public Power Supply, Nuclear Project No.
3, Series B Aa/AA 7.10 7/01/98 317,466
600 Washington State Refunding Aa/AA 4.80 9/01/98 612,972
900 Washington State Refunding, Series R 92C Aa/AA 5.60 9/01/01 957,564
900 Washington State Refunding, Series R 94A Aa/AA 3.90 8/01/97 903,888
600 Washington State, Prerefunded 6/01/98 @ 100 Aaa/AAA 7.30 6/01/00 643,944
900 Washington State, Series 93A Aa/AA 5.25 10/01/00 939,672
500 Washington State, Series B Aa/AA 6.30 6/01/02 542,760
600 Yakima County School District No. 7 (MBIA Insured) Aaa/AAA 5.50 12/01/03 640,818
------------
20,840,663
------------
WISCONSIN--2.6%
800 Milwaukee County, Series 1994A A1/AA- 5.00 12/01/00 825,800
300 Milwaukee Metropolitan Sewer District, Series A Aa/AA 7.00 9/01/00 333,261
400 Milwaukee Metropolitan Sewer District, Series A Aa/AA 6.70 10/01/00 440,144
600 Milwaukee Refunding, Series 1992 Aa1/AA+ 5.70 6/01/99 629,910
300 Milwaukee, Series BZ Aa1/AA+ 6.375 6/15/03 324,528
600 Wisconsin State G.O., Series A Aa/AA 5.75 5/01/00 637,434
300 Wisconsin State G.O., Series D Aa/AA 6.00 5/01/00 322,149
900 Wisconsin State Refunding, Series 1 Aa/AA 5.10 11/01/01 940,347
1,100 Wisconsin State Refunding, Series 3 Aa/AA 4.25 11/01/99 1,109,207
------------
5,562,780
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS (cost $195,603,338) 205,558,809
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares
(000)
- ------
<S> <C> <C> <C> <C> <C>
TAX-EXEMPT MONEY MARKET MUTUAL FUND--3.0%
6,227 Federated Tax Exempt Obligation Fund (cost $6,227,234) $ 6,227,234
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS--99.1% (cost $201,830,572) 211,786,043
OTHER ASSETS IN EXCESS OF LIABILITIES--0.9% 2,012,251
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS--100.0% $213,798,294
- ---------------------------------------------------------------------------------------------------------------------------------
AMBAC -- AMBAC Indemnity Corporation
FGIC -- Financial Guaranty Insurance Corporation
GO -- General Obligation
MBIA -- Municipal Bond Insurance Association
- ---------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
42
<PAGE> 43
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
GROWTH AND EQUITY CAPITALIZATION
INCOME FUND INCOME FUND EQUITY FUND
------------ ------------ -------------------
<S> <C> <C> <C>
ASSETS:
Investment in securities, at value (cost $129,847,775; $100,090,578; and
$23,336,042; respectively)............................................. $151,795,271 $119,247,790 $23,707,796
Repurchase agreements, at cost.......................................... 9,241,000 4,800,000 5,571,000
- -----------------------------------------------------------------------------------------------------------------------------
161,036,271 124,047,790 29,278,796
Cash.................................................................... 233 723 366
Dividends receivable.................................................... 297,705 467,807 9,866
Interest receivable..................................................... 1,373 46,290 828
Receivable for Portfolio shares issued.................................. 574,237 282,727 194,040
Receivable from investment advisor...................................... -- -- 30,471
Deferred organization costs and other assets............................ 72,694 73,527 39,174
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS............................................................ 161,982,513 124,918,864 29,553,541
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Advisory fees payable................................................... 62,732 49,607 30,323
Administration fees payable............................................. 13,860 9,662 --
Distribution expenses payable (Class A Shares).......................... 1,198 540 49
Distribution expenses payable (Class B Shares).......................... 2,967 2,628 206
Payable to brokers for investments purchased............................ 1,292,275 -- --
Dividends payable....................................................... 190,958 358,936 10,839
Payable for Portfolio shares redeemed................................... 69,361 64,146 --
Net variation margin on open futures contracts.......................... -- -- 59,800
Other accrued expenses.................................................. 71,122 81,155 16,227
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES....................................................... 1,704,473 566,674 117,444
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS.............................................................. $160,278,040 $124,352,190 $29,436,097
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE: ($1.00
PAR VALUE PER SHARE, UNLIMITED NUMBER OF SHARES AUTHORIZED)
PILOT SHARES:
Net assets.............................................................. $156,537,553 $122,071,653 $28,678,786
Shares of beneficial interest issued and outstanding.................... 12,384,869 9,848,845 2,817,098
Net asset value......................................................... $12.64 $12.39 $10.18
- -----------------------------------------------------------------------------------------------------------------------------
CLASS A SHARES:
Net assets.............................................................. $ 1,762,540 $ 656,587 $ 349,484
Shares of beneficial interest issued and outstanding.................... 139,471 52,604 34,332
Net asset value......................................................... $12.64 $12.48 $10.18
- -----------------------------------------------------------------------------------------------------------------------------
Sales charge--4.50%, 4.50%, and 4.50%, respectively, of offering
price.................................................................. 0.60 0.59 0.48
- -----------------------------------------------------------------------------------------------------------------------------
Maximum offering price.................................................. $13.24 $13.07 $10.66
- -----------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Net assets.............................................................. $ 1,977,947 $ 1,623,950 $ 407,827
Shares of beneficial interest issued and outstanding.................... 156,394 130,274 39,998
Net asset value......................................................... $12.65 $12.47 $10.20
- -----------------------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Shares of beneficial interest, at par................................... $ 12,680,734 $ 10,031,723 $ 2,891,428
Additional paid-in capital.............................................. 121,140,882 92,819,415 25,840,545
Accumulated undistributed net realized gains from investment and futures
transactions........................................................... 4,508,928 2,343,840 142,636
Net unrealized appreciation from investments and futures................ 21,947,496 19,157,212 561,488
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, FEBRUARY 29, 1996........................................... $160,278,040 $124,352,190 $29,436,097
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
43
<PAGE> 44
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE INTERMEDIATE
U.S. GOVERNMENT U.S. GOVERNMENT MUNICIPAL MUNICIPAL
SECURITIES FUND SECURITIES FUND BOND FUND BOND FUND
---------------- ---------------- ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investment in securities, at value (cost $126,975,623;
$206,674,840; $149,256,165; and $201,830,572,
respectively)........................................ $131,964,418 $208,897,661 $161,354,012 $211,786,043
Repurchase agreements, at cost........................ 2,795,000 8,714,000 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
134,759,418 217,611,661 161,354,012 211,786,043
Cash.................................................. 837 71 -- --
Interest receivable................................... 2,056,755 1,453,775 2,326,325 2,668,538
Receivable for Portfolio shares issued................ 211,402 956,650 188,000 305,860
Receivable from brokers for investments sold.......... -- -- 369,956 --
Deferred organization costs and other assets.......... 72,550 72,887 73,092 73,406
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS.......................................... 137,100,962 220,095,044 164,311,385 214,833,847
- ---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Advisory fees payable................................. 43,738 57,486 58,649 67,670
Administration fees payable........................... 12,883 18,098 14,304 18,648
Distribution expenses payable (Class A Shares)........ 223 431 586 346
Distribution expenses payable (Class B Shares)........ 1,029 -- 1,106 --
Payable to brokers for investments purchased.......... -- 5,724,638 -- --
Dividends payable..................................... 581,421 907,293 655,893 760,666
Payable for Portfolio shares redeemed................. 120,610 81,818 86,017 108,726
Other accrued expenses................................ 85,470 58,395 87,502 79,497
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES..................................... 845,374 6,848,159 904,057 1,035,553
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS............................................ $136,255,588 $213,246,885 $163,407,328 $213,798,294
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE: ($1.00 PAR VALUE PER SHARE, UNLIMITED
NUMBER OF SHARES AUTHORIZED)
PILOT SHARES:
Net assets............................................ $135,226,402 $212,565,215 $161,797,518 $213,538,155
Shares of beneficial interest issued and
outstanding.......................................... 12,423,556 20,394,789 14,748,797 20,255,693
Net asset value....................................... $10.88 $10.42 $10.97 $10.54
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS A SHARES:
Net assets............................................ $ 234,253 $ 681,670 $ 712,959 $ 260,139
Shares of beneficial interest issued and
outstanding.......................................... 21,526 65,444 65,031 24,696
Net asset value....................................... $10.88 $10.42 $10.96 $10.53
- ---------------------------------------------------------------------------------------------------------------------------------
Sales charge--4.50%, 4.00%, 4.50%, and 4.00%,
respectively,
of offering price.................................... 0.51 0.43 0.52 0.44
- ---------------------------------------------------------------------------------------------------------------------------------
Maximum offering price................................ $11.39 $10.85 $11.48 $10.97
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Net assets............................................ $ 794,933 -- $ 896,851 --
Shares of beneficial interest issued and
outstanding.......................................... 73,068 -- 82,141 --
Net asset value....................................... $10.88 -- $10.92 --
- ---------------------------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Shares of beneficial interest, at par................. $ 12,518,150 $ 20,460,233 $ 14,895,969 $ 20,280,389
Additional paid-in capital............................ 113,651,199 187,847,005 135,399,854 183,418,692
Accumulated undistributed net realized gains from
investment transactions.............................. 5,097,444 2,716,826 1,013,658 143,742
Net unrealized appreciation from investments.......... 4,988,795 2,222,821 12,097,847 9,955,471
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, FEBRUARY 29, 1996......................... $136,255,588 $213,246,885 $163,407,328 $213,798,294
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
44
<PAGE> 45
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Operations
For the six months ended February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY
GROWTH AND INCOME SMALL CAPITALIZATION
INCOME FUND FUND EQUITY FUND(A)
----------- ----------- --------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign taxes of $9,510 on Growth and Income Fund and
$2,742 on Equity Income Fund)........................................ $1,514,332 $2,304,433 $ 37,155
Interest............................................................... 162,363 282,445 76,010
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME........................................................... 1,676,695 2,586,878 113,165
- ----------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Advisory fees.......................................................... 514,954 418,140 40,431
Administration fees.................................................... 75,815 61,556 4,460
Distribution expenses (Class A Shares)................................. 1,422 559 68
Distribution expenses (Class B Shares)................................. 6,661 5,661 277
Audit fees............................................................. 16,580 18,820 3,600
Transfer agent fees and expenses....................................... 15,720 14,120 419
Custodian fees and expenses............................................ 31,992 33,810 12,880
Reports to shareholders................................................ 8,160 8,160 3,120
Registration fees...................................................... 25,610 25,629 17,840
Amortization of organization expenses.................................. 9,340 9,420 880
Legal fees............................................................. 2,780 2,526 1,600
Trustees' fees......................................................... 1,393 1,153
Other expenses......................................................... 4,402 4,289 240
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES......................................................... 714,829 603,843 85,815
- ----------------------------------------------------------------------------------------------------------------------------
Less: Fee waivers and expense reimbursements by advisor, administrator,
and distributor...................................................... (199,897 ) (179,480 ) (45,039)
- ----------------------------------------------------------------------------------------------------------------------------
NET EXPENSES........................................................... 514,932 424,363 40,776
- ----------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME.................................................. 1,161,763 2,162,515 72,389
- ----------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS FROM INVESTMENTS:
Net realized gains from investment and futures transactions............ 5,138,879 4,019,759 142,636
Net change in unrealized appreciation from investments and futures..... 9,134,963 8,658,320 561,488
- ----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS FROM INVESTMENTS..................... 14,273,842 12,678,079 704,124
- ----------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $15,435,605 $14,840,594 $776,513
- ----------------------------------------------------------------------------------------------------------------------------
(a) For the period from December 12, 1995 (commencement of operations) through
February 29, 1996.
- ----------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
45
<PAGE> 46
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Operations
For the six months ended February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE INTERMEDIATE
U.S. GOVERNMENT U.S. GOVERNMENT MUNICIPAL MUNICIPAL
SECURITIES FUND SECURITIES FUND BOND FUND BOND FUND
--------------- --------------- ---------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest................................................... $ 4,306,731 $ 6,170,371 $4,666,896 $5,358,391
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME............................................... 4,306,731 6,170,371 4,666,896 5,358,391
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Advisory fees.............................................. 382,624 513,938 432,695 560,694
Administration fees........................................ 76,816 103,172 86,866 112,562
Distribution expenses (Class A Shares)..................... 193 755 567 293
Distribution expenses (Class B Shares)..................... 2,329 -- 2,827 --
Audit fees................................................. 16,980 18,420 17,540 22,260
Transfer agent fees and expenses........................... 14,680 14,440 14,440 16,040
Custodian fees and expenses................................ 29,250 24,780 30,990 25,370
Reports to shareholders.................................... 8,160 8,160 8,160 9,120
Registration fees.......................................... 30,755 33,652 33,205 42,579
Amortization of organization expenses...................... 9,740 9,340 9,420 9,260
Legal fees................................................. 2,810 4,490 4,120 4,840
Trustees' fees............................................. 1,518 2,079 1,700 2,465
Other expenses............................................. 4,631 4,802 4,816 5,214
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................. 580,486 738,028 647,346 810,697
- ------------------------------------------------------------------------------------------------------------------------------
Less: Fee waivers and expense reimbursements by advisor,
administrator, and distributor........................... (126,382) (197,886) (99,117) (163,421)
- ------------------------------------------------------------------------------------------------------------------------------
NET EXPENSES............................................... 454,104 540,142 548,229 647,276
- ------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME...................................... 3,852,627 5,630,229 4,118,667 4,711,115
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENTS:
Net realized gains from investment transactions............ 5,097,444 3,036,878 1,161,675 268,499
Net change in unrealized appreciation from investments..... (3,451,414) (2,963,524) 3,106,415 1,120,660
- ------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS FROM INVESTMENTS......... 1,646,030 73,354 4,268,090 1,389,159
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... $ 5,498,657 $ 5,703,583 $8,386,757 $6,100,274
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
46
<PAGE> 47
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND INCOME FUND
-----------------------------------------
FOR THE PERIOD
FOR THE SIX MONTHS NOVEMBER 7, 1994
ENDED FEBRUARY 29, THROUGH AUGUST 31,
1996 1995(a)
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income....................... $ 1,161,763 $ 1,410,693
Net realized gains from investment and
futures transactions...................... 5,138,879 2,531,612
Net change in unrealized appreciation from
investments and futures................... 9,134,963 12,812,533
- -----------------------------------------------------------------------------------------------
Net increase in net assets resulting from
operations.................................... 15,435,605 16,754,838
- -----------------------------------------------------------------------------------------------
Dividends to shareholders from net investment
income:
Pilot Shares................................ (1,149,233) (1,405,927)
Class A Shares.............................. (8,102) (2,695)
Class B Shares.............................. (4,428) (2,071)
- -----------------------------------------------------------------------------------------------
Total dividends to shareholders from net
investment income............................. (1,161,763) (1,410,693)
- -----------------------------------------------------------------------------------------------
Dividends to shareholders from net realized
gains:
Pilot Shares................................ (3,103,049) --
Class A Shares.............................. (26,472) --
Class B Shares.............................. (32,042) --
- -----------------------------------------------------------------------------------------------
Total dividends to shareholders from net
realized gains................................ (3,161,563) --
- -----------------------------------------------------------------------------------------------
Portfolio share transactions:
Proceeds from shares issued................. 45,167,587 108,627,918
Dividends reinvested........................ 911,880 29,706
Cost of shares redeemed..................... (7,695,020) (13,220,455)
- -----------------------------------------------------------------------------------------------
Net increase in net assets from Portfolio share
transactions.................................. 38,384,447 95,437,169
- -----------------------------------------------------------------------------------------------
Total increase................................. 49,496,726 110,781,314
- -----------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period............................ 110,781,314 --
- -----------------------------------------------------------------------------------------------
End of period.................................. $160,278,040 $ 110,781,314
- -----------------------------------------------------------------------------------------------
<CAPTION>
SMALL CAPITALIZATION
EQUITY INCOME FUND EQUITY FUND
---------------------------------------------- --------------------
FOR THE PERIOD FOR THE PERIOD
FOR THE SIX MONTHS NOVEMBER 7, 1994 DECEMBER 12, 1995
ENDED FEBRUARY 29, THROUGH AUGUST 31, THROUGH FEBRUARY 29,
1996 1995(a) 1996(a)
------------------ ------------------- --------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income....................... $ 2,162,515 $ 2,906,445 $ 72,389
Net realized gains from investment and
futures transactions...................... 4,019,759 1,025,148 142,636
Net change in unrealized appreciation from
investments and futures................... 8,658,320 10,498,892 561,488
- -------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from
operations.................................... 14,840,594 14,430,485 776,513
- -------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net investment
income:
Pilot Shares................................ (2,138,238) (2,899,282) (72,029)
Class A Shares.............................. (8,070) (2,859) (291)
Class B Shares.............................. (16,207) (4,304) (69)
- -------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders from net
investment income............................. (2,162,515) (2,906,445) (72,389)
- -------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net realized
gains:
Pilot Shares................................ (2,661,530) -- --
Class A Shares.............................. (10,717) -- --
Class B Shares.............................. (28,820) -- --
- -------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders from net
realized gains................................ (2,701,067) -- --
- -------------------------------------------------------------------------------------------------------------------------
Portfolio share transactions:
Proceeds from shares issued................. 19,015,929 97,830,026 28,873,041
Dividends reinvested........................ 342,525 11,124 45,037
Cost of shares redeemed..................... (4,614,282) (9,734,184) (186,105)
- -------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from Portfolio share
transactions.................................. 14,744,172 88,106,966 28,731,973
- -------------------------------------------------------------------------------------------------------------------------
Total increase................................. 24,721,184 99,631,006 29,436,097
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period............................ 99,631,006 -- --
- -------------------------------------------------------------------------------------------------------------------------
End of period.................................. $124,352,190 $99,631,006 $ 29,436,097
- -------------------------------------------------------------------------------------------------------------------------
<FN>
(a) Period from commencement of operations.
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
47
<PAGE> 48
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
U.S. GOVERNMENT SECURITIES FUND U.S. GOVERNMENT SECURITIES FUND
----------------------------------------- -----------------------------------------
FOR THE PERIOD FOR THE PERIOD
FOR THE SIX MONTHS NOVEMBER 7, 1994 FOR THE SIX MONTHS NOVEMBER 7, 1994
ENDED THROUGH ENDED THROUGH
FEBRUARY 29, 1996 AUGUST 31, 1995(a) FEBRUARY 29, 1996 AUGUST 31, 1995(a)
------------------ ------------------- ------------------ -------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income............... $ 3,852,627 $ 6,679,639 $ 5,630,229 $ 6,702,977
Net realized gains from investment
transactions...................... 5,097,444 5,611,049 3,036,878 603,070
Net change in unrealized
appreciation from investments..... (3,451,414) 8,440,209 (2,963,524) 5,186,345
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations....................... 5,498,657 20,730,897 5,703,583 12,492,392
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net
investment income:
Pilot Shares........................ (3,838,029) (6,676,446) (5,612,516) (6,696,515)
Class A Shares...................... (4,170) (1,568) (17,713) (6,462)
Class B Shares...................... (10,428) (1,625) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders from net
investment income..................... (3,852,627) (6,679,639) (5,630,229) (6,702,977)
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net
realized gains:
Pilot Shares........................ (5,585,839) -- (920,212) --
Class A Shares...................... (6,785) -- (2,910) --
Class B Shares...................... (18,425) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders from net
realized gains........................ (5,611,049) -- (923,122) --
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio share transactions:
Proceeds from shares issued......... 11,934,049 132,691,392 63,929,456 175,708,067
Proceeds from shares issued to
shareholders in reinvestment of
dividends......................... 272,307 6,753 354,730 37,493
Cost of shares redeemed............. (9,479,358) (9,255,794) (16,127,661) (15,594,847)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
Portfolio share transactions.......... 2,726,998 123,442,351 48,156,525 160,150,713
- ---------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease)............... (1,238,021) 137,493,609 47,306,757 165,940,128
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period..................... 137,493,609 -- 165,940,128 --
- ---------------------------------------------------------------------------------------------------------------------------------
End of period........................... $136,255,588 $ 137,493,609 $213,246,885 $ 165,940,128
- ---------------------------------------------------------------------------------------------------------------------------------
(a) Period from commencement of operations.
- ---------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
48
<PAGE> 49
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
MUNICIPAL BOND FUND MUNICIPAL BOND FUND
----------------------------------------- -----------------------------------------
FOR THE PERIOD FOR THE PERIOD
FOR THE SIX MONTHS NOVEMBER 7, 1994 FOR THE SIX MONTHS NOVEMBER 7, 1994
ENDED THROUGH ENDED THROUGH
FEBRUARY 29, 1996 AUGUST 31, 1995(a) FEBRUARY 29, 1996 AUGUST 31, 1995(a)
------------------ ------------------- ------------------ -------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income............... $ 4,118,667 $ 6,200,580 $ 4,711,115 $ 6,846,081
Net realized gains from investment
transactions...................... 1,161,675 333,880 268,499 333,078
Net change in unrealized
appreciation from investments..... 3,106,415 8,991,432 1,120,660 8,834,811
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations....................... 8,386,757 15,525,892 6,100,274 16,013,970
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net
investment income:
Pilot Shares........................ (4,095,297) (6,191,471) (4,705,873) (6,841,198)
Class A Shares...................... (11,418) (5,179) (5,242) (4,883)
Class B Shares...................... (11,952) (3,930) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders from net
investment income..................... (4,118,667) (6,200,580) (4,711,115) (6,846,081)
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net
realized gains:
Pilot Shares........................ (478,674) -- (457,443) --
Class A Shares...................... (1,491) -- (392) --
Class B Shares...................... (1,732) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders from net
realized gains........................ (481,897) -- (457,835) --
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio share transactions:
Proceeds from shares issued......... 16,975,116 152,916,334 29,105,172 218,287,220
Proceeds from shares issued to
shareholders in reinvestment of
dividends......................... 56,771 11,041 85,669 9,603
Cost of shares redeemed............. (9,131,918) (10,531,521) (12,765,301) (31,023,282)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
Portfolio transactions................ 7,899,969 142,395,854 16,425,540 187,273,541
- ---------------------------------------------------------------------------------------------------------------------------------
Total increase.......................... 11,686,162 151,721,166 17,356,864 196,441,430
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period..................... 151,721,166 -- 196,441,430 --
- ---------------------------------------------------------------------------------------------------------------------------------
End of period........................... $163,407,328 $ 151,721,166 $213,798,294 $ 196,441,430
- ---------------------------------------------------------------------------------------------------------------------------------
(a) Period from commencement of operations.
- ---------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
49
<PAGE> 50
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
1. GENERAL
The Pilot Growth and Income Fund, the Pilot Equity Income Fund, the Pilot Small
Capitalization Equity Fund, the Pilot U.S. Government Securities Fund, the Pilot
Intermediate U.S. Government Securities Fund, the Pilot Municipal Bond Fund, and
the Pilot Intermediate Municipal Bond Fund are separate portfolios (individually
a "Portfolio"; collectively, the "Portfolios") of The Pilot Funds (the "Fund").
The Fund is a Massachusetts business trust registered under the Investment
Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company. All of the Portfolios are diversified. The Fund currently
offers twelve portfolios. The accompanying financial statements are those of the
seven Portfolios only.
The Portfolios each offer three classes of shares: Pilot Shares, Class A Shares,
and Class B Shares. Each class of shares is substantially the same, except that
Class A Shares and Class B Shares bear the fees payable under the Fund's
Distribution Plan.
The Small Capitalization Equity Fund commenced operations on December 12, 1995,
by offering Pilot Shares, Class A Shares, and Class B Shares. Class B Shares of
Intermediate U.S. Government Securities Fund and Intermediate Municipal Bond
Fund have not been sold as of February 29, 1996.
The Growth and Income Fund seeks capital appreciation and current income through
investments primarily in common stocks of U.S. Companies. The Equity Income Fund
seeks current income and, secondarily, capital appreciation through investments
primarily in common stocks of above-average financial quality and securities
convertible into common stock. The Small Capitalization Equity Fund seeks
long-term capital growth by investing primarily in equity securities of
companies with market capitalizations of $1 billion or less. The Municipal Bond
Fund and Intermediate Municipal Bond Fund seek current income free of federal
income tax as is consistent with preservation of capital through investments
primarily in investment grade municipal obligations.
At a meeting of the Board of Trustees on February 20, 1996, the Trustees of the
Fund approved a change in investment objectives and policies of the U.S.
Government Securities Fund and the Intermediate U.S. Government Securities Fund.
Effective June 1, 1996, these Portfolios will seek total return and preservation
of capital by investing primarily in U.S. Government Securities and repurchase
agreements secured by such securities. These Portfolios will emphasize the
capital appreciation component of total return.
Boatmen's Trust Company ("Boatmen's") serves as the Fund's investment adviser.
Concord Holding Corporation ("Concord") serves as the Fund's administrator and
Pilot Funds Distributor Inc. (the "Distributor"), a wholly-owned subsidiary of
Concord, serves as the distributor of the Fund's shares. Concord is a
wholly-owned subsidiary of The BISYS Group, Inc.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Portfolios in the preparation of their financial statements. The policies
are in conformity with generally accepted accounting principles. The preparation
of financial statements requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
A. Investment Valuation
Portfolio securities are valued as follows: (a) securities that are traded on
any U.S. or foreign stock exchange or the National Association of Securities
Dealers Automated Quotation System ("NASDAQ") are valued at the last sale price
on that exchange or NASDAQ prior to the Portfolio's valuation time; if no sale
occurs, securities traded on a U.S. exchange or NASDAQ are valued at the mean
between
- ----------------------------------------------------------
- ----------------------------------------------------------
50
<PAGE> 51
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
the closing bid and closing asked price and securities traded on a foreign
exchange will be valued at the official bid price; (b) over-the-counter stocks
not quoted on NASDAQ are valued at the last sale price prior to the Portfolio's
valuation time or, if no sale occurs, at the mean between the last bid and asked
price; (c) debt securities are valued by a pricing service selected by Boatmen's
and approved by the Trustees of the Fund; these prices reflect broker/dealer
supplied valuations and electronic data processing techniques if those prices
are deemed by Boatmen's to be representative of market values at the Portfolio's
valuation time; and (d) all other securities and assets, for which quotations
supplied are not representative of current market values or for which quotations
are not readily available, are valued at fair value as determined in good faith
pursuant to procedures established by the Trustees of the Fund. Money market
instruments held by a Portfolio with a remaining maturity of sixty days or less
are valued at amortized cost which approximates market value.
B. Securities Transactions and Investment Income
Securities transactions are recorded on the trade date. Realized gains and
losses on sales of investments are calculated on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, including
accretion of discounts and amortization of premiums on investments, is accrued
daily.
The investment income of each Portfolio is allocated to the separate classes of
shares based upon their relative net asset values.
C. Repurchase Agreements
The custodian for the Portfolios and other banks acting in a subcustodian
capacity take possession of the collateral pledged for investments in repurchase
agreements. The underlying collateral is valued daily on a mark-to-market basis
to determine that the value, including accrued interest, is not less than 102%
of the repurchase price, including accrued interest. In the event of the
seller's default of the obligation to repurchase, the Portfolios have the right
to liquidate the collateral and apply the proceeds in satisfaction of the
obligation. Under certain circumstances, in the event of default or bankruptcy
by the other party to the agreement, realization and/or retention of the
collateral may be subject to legal proceedings.
D. Futures Contracts
The Small Capitalization Equity Fund may enter into futures contracts on
securities and futures based on securities indices. The Portfolio will do so to
hedge against anticipated changes in securities values that would otherwise have
an adverse effect upon the value of portfolio securities or upon securities to
be acquired.
Futures contracts involve brokerage costs, which may be less than 1% of the
contract price, and require the Portfolio to deposit as margin into a segregated
custodial account an amount of cash or liquid securities equal to approximately
2% to 5% of the value of each futures contract. The Portfolio's position in the
futures market will be marked-to-market on a daily basis; the Portfolio may
subsequently be required to make "variation" margin payments depending upon
whether its futures position declines or rises in value.
Positions taken in the futures markets are not usually held until the expiration
of the contract but, instead, are normally liquidated through offsetting
transactions, which may result in a profit or a loss. Nevertheless, the
Portfolio may instead make or take delivery of the underlying securities
whenever it appears economically advantageous for it to do so.
Futures contracts on securities indices do not require the physical delivery of
securities, but merely provide for gains and losses resulting from changes in
the market value of a contract. On the contract's expiration date a final cash
settlement occurs and the futures positions are simply closed out. Changes in
the market value of a particular futures contract reflect changes in the value
of the securities
- ----------------------------------------------------------
- ----------------------------------------------------------
51
<PAGE> 52
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
comprising the index on which the futures contract is based.
E. Dividends to Shareholders
Dividends of the U.S. Government Securities Fund, the Intermediate U.S.
Government Securities Fund, the Municipal Bond Fund and the Intermediate
Municipal Bond Fund are declared daily to shareholders of record at the close of
business on the day of declaration and paid monthly. Dividends of the Growth and
Income Fund, the Equity Income Fund, and the Small Capitalization Equity Fund
are declared and paid monthly to shareholders of record at the close of business
on the day of declaration. Distributions of net realized gains, if any, will be
paid at least annually. However, to the extent that net realized gains of a
Portfolio can be offset by capital loss carryovers, such gains will not be
distributed. Dividends and distributions are recorded by the Portfolios on the
ex-dividend date.
F. Federal Taxes
It is each Portfolio's policy to comply or continue to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute each year substantially all of its investment
company taxable and tax-exempt income to its shareholders. Accordingly, no
federal tax provisions are required.
G. Organizational Expenses
Costs incurred by the Fund in connection with its organization and registration
of shares have been deferred and are amortized using the straight line method
over a period not to exceed five years from the commencement of the public
offering of shares of the Portfolios.
H. Expenses
Expenses incurred by the Fund that do not specifically relate to an individual
portfolio are allocated to the portfolios based on each portfolio's relative net
assets.
The expenses (other than expenses incurred under the Distribution Plans) of each
Portfolio are allocated to the separate classes of shares based upon their
relative net asset values.
3. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
A. Advisory Agreement
Boatmen's is the investment adviser for each Portfolio pursuant to separate
Investment Advisory Agreements and is responsible for managing the investment
operations of the Portfolios. For its services, Boatmen's is entitled to a fee,
accrued daily and paid monthly, at an annual rate equal to 1.00% of the average
daily net assets of the Small Capitalization Equity Fund; 0.75% of the average
daily net assets of each of the Growth and Income Fund and the Equity Income
Fund; and 0.55% of the average daily net assets of each of the U.S. Government
Securities Fund, the Intermediate U.S. Government Securities Fund, the Municipal
Bond Fund and the Intermediate Municipal Bond Fund.
Boatmen's has voluntarily agreed to limit the fees it receives from each
Portfolio to the following annual rates: 0.75% of the average daily net assets
of the Small Capitalization Equity Fund; 0.50% of the average daily net assets
of each of the Growth and Income Fund and the Equity Income Fund; 0.45% of the
average daily net assets of the Municipal Bond Fund; 0.40% of the average daily
net assets of each of the U.S. Government Securities Fund and the Intermediate
Municipal Bond Fund; and 0.35% of the average daily net assets of the
Intermediate U.S. Government Securities Fund.
Additionally, Boatmen's has voluntarily agreed to reimburse each of the
Portfolio's expenses to the extent that such expenses exceed the following
limits as percentages of average daily net assets (excluding distribution fees
for Class A Shares and Class B Shares): 1.00% of the Small Capitalization Equity
Fund; 0.75% of the Growth and Income Fund and Equity Income Fund; 0.70% of the
- ----------------------------------------------------------
- ----------------------------------------------------------
52
<PAGE> 53
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
Municipal Bond Fund; 0.65% of the U.S. Government Securities Fund and the
Intermediate Municipal Bond Fund; and 0.60% of the Intermediate U.S. Government
Securities Fund. For the period ended February 29, 1996, Boatmen's waived fees
and/or reimbursed expenses in the following amounts:
<TABLE>
<S> <C>
Growth and Income Fund.......................... $ 171,694
Equity Income Fund.............................. 141,204
Small Capitalization Equity Fund................ 40,579
U.S. Government Securities Fund................. 104,352
Intermediate U.S. Government Securities Fund.... 186,886
Municipal Bond Fund............................. 78,672
Intermediate Municipal Bond Fund................ 152,917
</TABLE>
B. ADMINISTRATION AGREEMENT
The Portfolios have entered into an Administration Agreement with Concord.
Pursuant to the terms of this agreement, Concord is responsible for assisting in
all aspects of the operations of each of the Portfolios. For its services,
Concord is entitled to a fee, accrued daily and paid monthly, at an annual rate
of 0.115% of the first $1.5 billion of the aggregate average net assets of all
of the portfolios constituting the Fund, plus 0.11% of the next $1.5 billion of
such assets, plus 0.1075% of such assets in excess of $3.0 billion. For the
period ended February 29, 1996, Concord voluntarily waived a portion of its fees
as administrator. The fee waivers were equal to the following amounts:
<TABLE>
<S> <C>
Growth and Income Fund........................... $ 28,203
Equity Income Fund............................... 38,276
Small Capitalization Equity Fund................. 4,460
U.S. Government Securities Fund.................. 22,030
Intermediate U.S. Government Securities Fund..... 10,698
Municipal Bond Fund.............................. 20,332
Intermediate Municipal Bond Fund................. 10,387
</TABLE>
C. Transfer Agent Agreement
Concord Financial Services ("CFS"), a wholly-owned subsidiary of Concord, is the
transfer agent for the Pilot Share Class of the Portfolios. The Portfolios
incurred fees and expenses of $89,859 for the transfer agent services provided.
D. Distribution Agreements
The Portfolios adopted Distribution Plans pursuant to Rule 12b-1 under the 1940
Act for its Class A and Class B Shares. Under these Plans, the Distributor
receives payments for distribution and support services. The Distribution Plan
for Class A Shares authorizes payments to the Distributor and service
organizations for personal services provided to Class A shareholders and/or the
maintenance of shareholder accounts.
Payments under the Distribution Plan for Class A Shares may not exceed .25% (on
an annual basis) of the average daily net asset value of the shares to which
such Plan relates. If more money is due the Distributor than it can collect in
any month because of this limitation, the unpaid amount may be carried forward
until it can be paid. Similarly, if in any month the Distributor does not expend
the entire amount to which it would otherwise be entitled, this amount may be
used as a credit and drawn upon to permit the payment of expenses in the future.
Neither of these amounts, however, is payable beyond the fiscal year in which
they accrue.
Distribution payments under the Distribution Plan for Class B Shares may not
exceed 1.00% (on an annual basis) of the average daily net asset value of the
Class B Shares. Not more than 0.25% of such value will be used to compensate
service organizations for personal services provided to Class B shareholders
and/or the maintenance of shareholder accounts. Not more than 0.75% of such
value will be paid to the Distributor as reimbursement for commissions and
transaction fees as well as expenses related to other promotional and
distribution activities.
Actual distribution expenses paid by the Distributor with respect to Class B
Shares for any given year may exceed the distribution fees and contingent
deferred sales charges received with respect to those Shares. These excess
expenses
- ----------------------------------------------------------
- ----------------------------------------------------------
53
<PAGE> 54
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
may be reimbursed by a Portfolio or its Class B Shareholders out of contingent
deferred sales charges and distribution payments in future years as long as the
Distribution Plan for Class B Shares is in effect.
The Distributor has voluntarily agreed to limit the fees it receives on Class A
Shares from the following Portfolios to the following annual rates: .20 of 1% of
the average daily net asset value of the U.S. Government Securities Fund and the
Municipal Bond Fund; and .15 of 1% of the average daily net asset value of the
Intermediate U.S. Government Securities Fund and the Intermediate Municipal Bond
Fund.
4. SECURITIES TRANSACTIONS
For the period ended February 29, 1996, the cost of purchases and the proceeds
from sales of portfolio securities (excluding short-term investments) were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------- -------------
<S> <C> <C>
Growth and Income Fund......... $ 64,334,764 $ 33,039,992
Equity Income Fund............. 43,443,800 32,821,185
Small Capitalization Equity
Fund......................... 23,302,355 310,550
U.S. Government Securities
Fund*........................ 50,837,945 54,452,145
Intermediate U.S. Government
Securities Fund**............ 126,822,312 79,405,814
Municipal Bond Fund............ 19,347,778 13,164,221
Intermediate Municipal Bond
Fund......................... 19,485,762 6,769,117
</TABLE>
- ---------------
* 100% of purchases and sales are of U.S. Government securities.
** Includes purchases and sales of U.S. Government securities of $116,874,023
and $77,896,484, respectively.
At February 29, 1996, the cost of each Portfolio's securities for federal income
tax purposes was substantially the same as for financial reporting purposes.
Accordingly, the Portfolio's had the following amounts of net unrealized
appreciation and depreciation:
<TABLE>
<CAPTION>
APPRECIATION DEPRECIATION NET
------------ ----------- ------------
<S> <C> <C> <C>
Growth and Income
Fund................ $ 24,224,628 $ 2,277,132 $ 21,947,496
Equity Income Fund.... 20,004,322 847,110 19,157,212
Small Capitalization
Equity Fund......... 1,144,279 772,525 371,754
U.S. Government
Securities Fund..... 5,538,783 549,988 4,988,795
Intermediate U.S.
Government
Securities Fund..... 3,291,618 1,081,168 2,210,450
Municipal Bond Fund... 12,378,891 281,044 12,097,847
Intermediate Municipal
Bond Fund........... 9,979,428 23,957 9,955,471
</TABLE>
- ----------------------------------------------------------
- ----------------------------------------------------------
54
<PAGE> 55
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
5. CAPITAL SHARE TRANSACTIONS
Transactions in shares of the Portfolios are as follows (000 omitted):
<TABLE>
<CAPTION>
GROWTH AND INCOME FUND
----------------------------------
SIX MONTHS NOVEMBER 7, 1994
ENDED THROUGH
FEBRUARY 29, AUGUST 31,
1996 1995(a)
------------ -----------------
<S> <C> <C>
CAPITAL TRANSACTIONS:
Pilot Shares:
Proceeds from shares issued........................... $ 42,925 $ 107,297
Dividends reinvested.................................. 841 25
Cost of shares redeemed............................... (7,592) (13,174)
-------- ---------
Change in net assets from Pilot share transactions.... $ 36,174 $ 94,148
======== =========
Class A Shares(b):
Proceeds from shares issued........................... $ 1,007 $ 695
Dividends reinvested.................................. 34 3
Cost of shares redeemed............................... (54) (29)
-------- ---------
Change in net assets from Class A share
transactions........................................ $ 987 $ 669
======== =========
Class B Shares(c):
Proceeds from shares issued........................... $ 1,236 $ 636
Dividends reinvested.................................. 37 2
Cost of shares redeemed............................... (49) (18)
-------- ---------
Change in net assets from Class B share
transactions........................................ $ 1,224 $ 620
======== =========
SHARE TRANSACTIONS:
Pilot Shares:
Issued................................................ 3,489 10,643
Reinvested............................................ 68 2
Redeemed.............................................. (615) (1,202)
-------- ---------
Change in Pilot Shares................................ 2,942 9,443
======== =========
Class A Shares(b):
Issued................................................ 80 62
Reinvested............................................ 3 --
Redeemed.............................................. (4) (2)
-------- ---------
Change in Class A Shares.............................. 79 60
======== =========
Class B Shares(c):
Issued................................................ 100 58
Reinvested............................................ 3 --
Redeemed.............................................. (4) (1)
-------- ---------
Change in Class B Shares.............................. 99 57
======== =========
<CAPTION>
SMALL
CAPITALIZATION
EQUITY INCOME FUND EQUITY FUND
-------------------------------------- -----------------
SIX MONTHS NOVEMBER 7, 1994 DECEMBER 12, 1995
ENDED THROUGH THROUGH
FEBRUARY 29, AUGUST 31, FEBRUARY 29,
1996 1995(a) 1996(a)
------------ ----------------- -----------------
<S> <C> <C> <C>
CAPITAL TRANSACTIONS:
Pilot Shares:
Proceeds from shares issued........................... $ 17,884 $96,783 $28,130
Dividends reinvested.................................. 281 5 45
Cost of shares redeemed............................... (4,556) (9,671) (186)
-------- ------- -------
Change in net assets from Pilot share transactions.... $ 13,609 $87,117 $27,989
======== ======= =======
Class A Shares(b):
Proceeds from shares issued........................... $ 333 $ 300 $ 342
Dividends reinvested.................................. 17 3 --
Cost of shares redeemed............................... (41) (3) --
-------- ------- -------
Change in net assets from Class A share
transactions........................................ $ 310 $ 300 $ 342
======== ======= =======
Class B Shares(c):
Proceeds from shares issued........................... $ 799 $ 746 $ 401
Dividends reinvested.................................. 44 4 --
Cost of shares redeemed............................... (18) (60) --
-------- ------- -------
Change in net assets from Class B share
transactions........................................ $ 825 $ 690 $ 401
======== ======= =======
SHARE TRANSACTIONS:
Pilot Shares:
Issued................................................ 1,465 9,631 2,832
Reinvested............................................ 23 -- 4
Redeemed.............................................. (375) (895) (19)
-------- ------- -------
Change in Pilot Shares................................ 1,113 8,736 2,817
======== ======= =======
Class A Shares(b):
Issued................................................ 27 27 34
Reinvested............................................ 1 -- --
Redeemed.............................................. (3) -- --
-------- ------- -------
Change in Class A Shares.............................. 25 27 34
======== ======= =======
Class B Shares(c):
Issued................................................ 64 68 40
Reinvested............................................ 4 -- --
Redeemed.............................................. (1) (5) --
-------- ------- -------
Change in Class B Shares.............................. 67 63 40
======== ======= =======
<FN>
- ---------------
(a) Period from commencement of operations.
(b) Class A Shares commenced operations February 7, 1995 for the Growth and
Income Fund and Equity Income Fund.
(c) Class B Shares commenced operations November 11, 1994 and January 12, 1995
for the Growth and Income Fund and Equity Income Fund, respectively.
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
55
<PAGE> 56
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
U.S. GOVERNMENT U.S. GOVERNMENT
SECURITIES FUND SECURITIES FUND
------------------------------- -------------------------------
SIX MONTHS NOVEMBER 7, 1994 SIX MONTHS NOVEMBER 7, 1994
ENDED THROUGH ENDED THROUGH
FEBRUARY 29, AUGUST 31, FEBRUARY 29, AUGUST 31,
1996 1995(a) 1996 1995(a)
------------ ---------------- ------------ ----------------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
Pilot Shares:
Proceeds from shares issued... $ 11,068 $132,462 $ 63,686 $175,132
Dividends reinvested.......... 238 3 345 34
Cost of shares redeemed....... (9,405) (9,250) (16,060) (15,511)
-------- -------- -------- --------
Change in net assets from
Pilot share transactions.... $ 1,901 $123,215 $ 47,971 $159,655
======== ======== ======== ========
Class A Shares(b):
Proceeds from shares issued... $ 222 $ 88 $ 243 $ 577
Dividends reinvested.......... 6 2 10 3
Cost of shares redeemed....... (74) (6) (68) (84)
-------- -------- -------- --------
Change in net assets from
Class A share
transactions................ $ 154 $ 84 $ 185 $ 496
======== ======== ======== ========
Class B Shares(c):
Proceeds from shares issued... $ 644 $ 141 $ -- $ --
Dividends reinvested.......... 28 2 -- --
Cost of shares redeemed....... -- -- -- --
-------- -------- -------- --------
Change in net assets from
Class B share
transactions................ $ 672 $ 143 $ -- $ --
======== ======== ======== ========
SHARE TRANSACTIONS:
Pilot Shares:
Issued........................ 969 13,109 6,044 17,349
Reinvested.................... 21 -- 33 3
Redeemed...................... (823) (852) (1,522) (1,512)
-------- -------- -------- --------
Change in Pilot Shares........ 167 12,257 4,555 15,840
======== ======== ======== ========
Class A Shares(b):
Issued........................ 19 8 23 56
Reinvested.................... 1 -- 1 --
Redeemed...................... (6) -- (6) (8)
-------- -------- -------- --------
Change in Class A Shares...... 14 8 18 48
======== ======== ======== ========
Class B Shares(c):
Issued........................ 58 13 -- --
Reinvested.................... 2 -- -- --
Redeemed...................... -- -- -- --
-------- -------- -------- --------
Change in Class B Shares...... 60 13 -- --
======== ======== ======== ========
<CAPTION>
MUNICIPAL MUNICIPAL INTERMEDIATE
BOND FUND BOND FUND MUNICIPAL BOND FUND
------------ ------------ ------------------------------
SIX MONTHS NOVEMBER 7, 1994 SIX MONTHS NOVEMBER 7, 1994
ENDED THROUGH ENDED THROUGH
FEBRUARY 29, AUGUST 31, FEBRUARY 29, AUGUST 31,
1996 1995(a) 1996 1995(a)
------------ ---------------- ------------ ----------------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
Pilot Shares:
Proceeds from shares issued... $ 16,165 $152,081 $ 28,854 $218,063
Dividends reinvested.......... 34 4 83 9
Cost of shares redeemed....... (9,104) (10,476) (12,538) (31,023)
-------- -------- ------- --------
Change in net assets from
Pilot share transactions.... $ 7,095 $141,609 $ 16,399 $187,049
======== ======== ======= ========
Class A Shares(b):
Proceeds from shares issued... $ 378 $ 334 $ 251 $ 225
Dividends reinvested.......... 12 5 3 --
Cost of shares redeemed....... (25) -- (228) --
-------- -------- ------- --------
Change in net assets from
Class A share
transactions................ $ 365 $ 339 $ 26 $ 225
======== ======== ======= ========
Class B Shares(c):
Proceeds from shares issued... $ 432 $ 501 $ -- $ --
Dividends reinvested.......... 11 2 -- --
Cost of shares redeemed....... (3) (55) -- --
-------- -------- ------- --------
Change in net assets from
Class B share
transactions................ $ 440 $ 448 $ -- $ --
======== ======== ======= ========
SHARE TRANSACTIONS:
Pilot Shares:
Issued........................ 1,478 15,116 2,734 21,735
Reinvested.................... 3 -- 8 1
Redeemed...................... (835) (1,013) (1,189) (3,033)
-------- -------- ------- --------
Change in Pilot Shares........ 646 14,103 1,553 18,703
======== ======== ======= ========
Class A Shares(b):
Issued........................ 34 32 25 22
Reinvested.................... 1 -- -- --
Redeemed...................... (2) -- (22) --
-------- -------- ------- --------
Change in Class A Shares...... 33 32 3 22
======== ======== ======= ========
Class B Shares(c):
Issued........................ 39 47 -- --
Reinvested.................... 1 -- -- --
Redeemed...................... -- (5) -- --
-------- -------- ------- --------
Change in Class B Shares...... 40 42 -- --
======== ======== ======= ========
<FN>
- ---------------
(a) Period from commencement of operations.
(b) Class A Shares commenced operations February 7, 1995, December 21, 1994,
February 7, 1995 and November 18, 1994 for the U.S. Government Securities
Fund, Intermediate U.S. Government Securities Fund, Municipal Bond Fund, and
Intermediate Municipal Bond Fund, respectively.
(c) Class B Shares commenced operations November 10, 1994 and December 27, 1994
for the U.S. Government Securities Fund and Municipal Bond Fund,
respectively. Class B Shares of the Intermediate U.S. Government Securities
Fund and Intermediate Municipal Bond Fund have not been sold as of February
29, 1996.
</TABLE>
56
<PAGE> 57
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Pilot Growth and Income Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED FEBRUARY 29,
1996 PERIOD ENDED AUGUST 31, 1995
------------------------------- ------------------------------------
PILOT CLASS A CLASS B PILOT CLASS A CLASS B
SHARES SHARES SHARES SHARES(a) SHARES(b) SHARES(c)
------- ------- ------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period.............................. $ 11.59 $ 11.58 $ 11.59 $ 10.00 $10.44 $10.08
------- ------- ------- -------- ------ ------
Investment Activities
Net investment income............. 0.10 0.09 0.04 0.17 0.09 0.08
Net realized and unrealized gains
from investments................ 1.33 1.34 1.34 1.59 1.14 1.51
------- ------- ------- -------- ------ ------
Total from Investment
Activities...................... 1.43 1.43 1.38 1.76 1.23 1.59
Distributions
From net investment income........ (0.10) (0.09) (0.04) (0.17) (0.09) (0.08)
From net realized gains........... (0.28) (0.28) (0.28) -- -- --
------- ------- ------- -------- ------ ------
Total distributions............... (0.38) (0.37) (0.32) (0.17) (0.09) (0.08)
------- ------- ------- -------- ------ ------
Net Asset Value, End of Period........ $ 12.64 $ 12.64 $ 12.65 $ 11.59 $ 11.58 $ 11.59
======== ======= ======= ======== ======= =======
Total Return(d)....................... 12.44% 12.38% 11.97% 17.72% 11.78% 15.85%
Ratios/Supplemental Data:
Net Assets at end of period
(000)........................... $156,538 $ 1,763 $ 1,978 $109,423 $ 697 $ 661
Ratio of expenses to average net
assets.......................... 0.74%(e) 0.99%(e) 1.74%(e) 0.75%(e) 1.00%(e) 1.75%(e)
Ratio of net investment income to
average net assets.............. 1.70%(e) 1.43%(e) 0.66%(e) 1.98%(e) 1.65%(e) 0.94%(e)
Ratio of expenses to average net
assets assuming no waiver or
expense reimbursement........... 1.03%(e) 1.27%(e) 2.02%(e) 1.15%(e) 1.40%(e) 2.15%(e)
Ratio of net investment income to
average net assets assuming no
waiver or expense
reimbursement................... 1.41%(e) 1.15%(e) 0.38%(e) 1.58%(e) 1.25%(e) 0.54%(e)
Portfolio turnover rate(f)........ 26.13% 26.13% 26.13% 28.00% 28.00% 28.00%
<FN>
- ---------------
(a) Pilot Shares commenced activity November 7, 1994.
(b) Class A Shares commenced activity February 7, 1995.
(c) Class B Shares commenced activity November 11, 1994.
(d) Total return excludes sales charge of Class A Shares and Class B Shares,
would have been lower had certain expenses not been reduced during the
periods presented, and is not annualized.
(e) Annualized.
(f) Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing among the classes of shares issued.
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
57
<PAGE> 58
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Pilot Equity Income Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED FEBRUARY 29,
1996 PERIOD ENDED AUGUST 31, 1995
------------------------------- --------------------------------------
PILOT CLASS A CLASS B PILOT CLASS A CLASS B
SHARES SHARES SHARES SHARES(a) SHARES(b) SHARES(c)
--------- ------- ------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 11.29 $ 11.36 $ 11.34 $ 10.00 $ 10.24 $ 9.85
-------- ------- ------- -------- ------- -------
Investment Activities
Net investment income............... 0.23 0.21 0.17 0.35 0.18 0.18
Net realized and unrealized gains
from investments.................. 1.40 1.42 1.43 1.29 1.12 1.49
-------- ------- ------- -------- ------- -------
Total from Investment Activities.... 1.63 1.63 1.60 1.64 1.30 1.67
Distributions
From net investment income.......... (0.23) (0.21) (0.17) (0.35) (0.18) (0.18)
From net realized gains............. (0.30) (0.30) (0.30) -- -- --
-------- ------- ------- -------- ------- -------
Total distributions................. (0.53) (0.51) (0.47) (0.35) (0.18) (0.18)
-------- ------- ------- -------- ------- -------
Net Asset Value, End of Period.......... $ 12.39 $ 12.48 $ 12.47 $ 11.29 $ 11.36 $ 11.34
======== ======= ======= ======== ======= =======
Total Return(d)......................... 14.55% 14.44% 14.14% 16.69% 12.78% 17.36%
Ratios/Supplemental Data:
Net Assets at end of period (000)... $122,072 $ 657 $ 1,624 $ 98,607 $ 311 $ 713
Ratio of expenses to average net
assets............................ 0.75%(e) 1.00%(e) 1.75%(e) 0.75%(e) 1.00%(e) 1.75%(e)
Ratio of net investment income to
average net assets................ 3.89%(e) 3.62%(e) 2.88%(e) 4.12%(e) 3.70%(e) 2.88%(e)
Ratio of expenses to average net
assets assuming no waiver or
expense reimbursement............. 1.07%(e) 1.32%(e) 2.07%(e) 1.14%(e) 1.39%(e) 2.14%(e)
Ratio of net investment income to
average net assets assuming no
waiver or expense reimbursement... 3.57%(e) 3.30%(e) 2.56%(e) 3.73%(e) 3.31%(e) 2.49%(e)
Portfolio turnover rate(f).......... 31.23% 31.23% 31.23% 37.00% 37.00% 37.00%
<FN>
- ---------------
(a) Pilot Shares commenced activity November 7, 1994.
(b) Class A Shares commenced activity February 7, 1995.
(c) Class B Shares commenced activity January 12, 1995.
(d) Total return excludes sales charge of Class A Shares and Class B Shares,
would have been lower had certain expenses not been reduced during the
periods presented, and is not annualized.
(e) Annualized.
(f) Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing among the classes of shares issued.
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
58
<PAGE> 59
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Pilot Small Capitalization Equity Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD FROM DECEMBER 12, 1995 THROUGH
FEBRUARY 29, 1996(a)
--------------------------------------
PILOT CLASS A CLASS B
SHARES SHARES SHARES
---------- ---------- ----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period.................................... $ 10.00 $10.00 $10.00
--------- ------ ------
Investment Activities
Net investment income............................................... 0.04 0.01 0.01
Net realized and unrealized gains from investments and futures...... 0.18 0.18 0.20
--------- ------ ------
Total from Investment Activities.................................... 0.22 0.19 0.21
Distributions
From net investment income.......................................... (0.04) (0.01) (0.01)
From net realized gains............................................. -- -- --
--------- ------ ------
Total distributions................................................. (0.04) (0.01) (0.01)
--------- ------ ------
Net Asset Value, End of Period.......................................... $ 10.18 $10.18 $10.20
========= ====== ======
Total Return(b)......................................................... 2.17% 1.95% 2.05%
Ratios/Supplemental Data:
Net Assets at end of period (000)................................... $ 28,679 $ 349 $ 408
Ratio of expenses to average net assets............................. 0.97%(c) 1.23%(c) 2.01%(c)
Ratio of net investment income to average net assets................ 1.75%(c) 1.07%(c) 0.25%(c)
Ratio of expenses to average net assets assuming no waiver or
expense reimbursement............................................. 2.05%(c) 2.13%(c) 2.91%(c)
Ratio of net investment income (loss) to average net assets assuming
no waiver or expense reimbursement................................ 0.67%(c) 0.17%(c) (0.65%)(c)
Portfolio turnover rate(d).......................................... 2.27% 2.27% 2.27%
<FN>
- ---------------
(a) Period from commencement of operations.
(b) Total return from date of inception excludes sales charge of Class A Shares
and Class B Shares, would have been lower had certain expenses not been
reduced during the periods presented, and is not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing among the classes of shares issued.
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
59
<PAGE> 60
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Pilot U.S. Government Securities Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED FEBRUARY 29,
1996 PERIOD ENDED AUGUST 31, 1995
------------------------------- ------------------------------------
PILOT CLASS A CLASS B PILOT CLASS A CLASS B
SHARES SHARES SHARES SHARES(a) SHARES(b) SHARES(c)
--------- ------- ------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 11.20 $ 11.19 $ 11.19 $ 10.00 $ 10.48 $ 10.05
--------- ------- ------- -------- --------- ---------
Investment Activities
Net investment income........... 0.31 0.30 0.26 0.56 0.37 0.46
Net realized and unrealized
gains from investments........ 0.13 0.14 0.14 1.20 0.71 1.14
--------- ------- ------- -------- --------- ---------
Total from Investment
Activities.................... 0.44 0.44 0.40 1.76 1.08 1.60
Distributions
From net investment income...... (0.31) (0.30) (0.26) (0.56) (0.37) (0.46)
From net realized gains......... (0.45) (0.45) (0.45) -- -- --
--------- ------- ------- -------- --------- ---------
Total distributions............. (0.76) (0.75) (0.71) (0.56) (0.37) (0.46)
--------- ------- ------- -------- --------- ---------
Net Asset Value, End of Period...... $ 10.88 $ 10.88 $ 10.88 $ 11.20 $ 11.19 $ 11.19
======== ======= ======= ======== ========= =========
Total Return(d)..................... 3.89% 3.88% 3.47% 18.03% 10.41% 16.19%
Ratios/Supplemental Data:
Net Assets at end of period
(000)......................... $ 135,226 $ 234 $ 795 $137,261 $ 87 $ 146
Ratio of expenses to average net
assets........................ 0.65%(e) 0.82%(e) 1.65%(e) 0.62%(e) 0.82%(e) 1.62%(e)
Ratio of net investment income
to average net assets......... 5.54%(e) 5.35%(e) 4.50%(e) 6.45%(e) 5.76%(e) 5.19%(e)
Ratio of expenses to average net
assets assuming no waiver or
expense reimbursement......... 0.83%(e) 1.05%(e) 1.82%(e) 0.87%(e) 1.12%(e) 1.87%(e)
Ratio of net investment income
to average net assets assuming
no waiver or expense
reimbursement................. 5.36%(e) 5.12%(e) 4.33%(e) 6.20%(e) 5.46%(e) 4.94%(e)
Portfolio turnover rate(f)...... 37.64% 37.64% 37.64% 132.00% 132.00% 132.00%
<FN>
- ---------------
(a) Pilot Shares commenced activity November 7, 1994.
(b) Class A Shares commenced activity February 7, 1995.
(c) Class B Shares commenced activity November 10, 1994.
(d) Total return excludes sales charge of Class A Shares and Class B Shares,
would have been lower had certain expenses not been reduced during the
periods presented, and is not annualized.
(e) Annualized.
(f) Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing among the classes of shares issued.
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
60
<PAGE> 61
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Pilot Intermediate U.S. Government Securities Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED
FEBRUARY 29, 1996 AUGUST 31, 1995
-------------------- ----------------------
PILOT CLASS A PILOT CLASS A
SHARES SHARES SHARES(A) SHARES(B)
--------- ------- -------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.................... $ 10.44 $ 10.44 $ 10.00 $ 9.98
--------- ------- -------- ------
Investment Activities
Net investment income............................... 0.32 0.31 0.56 0.45
Net realized and unrealized gains from
investments....................................... 0.03 0.03 0.44 0.46
--------- ------- -------- ------
Total from Investment Activities.................... 0.35 0.34 1.00 0.91
Distributions
From net investment income.......................... (0.32) (0.31) (0.56) (0.45)
From net realized gains............................. (0.05) (0.05) -- --
--------- ------- -------- ------
Total distributions................................. (0.37) (0.36) (0.56) (0.45)
--------- ------- -------- ------
Net Asset Value, End of Period.......................... $ 10.42 $ 10.42 $ 10.44 $10.44
========= ======= ======== ======
Total Return(c)......................................... 3.34% 3.26% 10.21% 9.31%
Ratios/Supplemental Data:
Net Assets at end of period (000)................... $ 212,565 $ 682 $165,441 $ 499
Ratio of expenses to average net assets............. 0.58%(d) 0.73%(d) 0.57%(d) 0.72%(d)
Ratio of net investment income to average net
assets............................................ 6.01%(d) 5.86%(d) 6.65%(d) 6.27%(d)
Ratio of expenses to average net assets assuming no
waiver or expense reimbursement................... 0.79%(d) 1.04%(d) 0.87%(d) 1.12%(d)
Ratio of net investment income to average net assets
assuming no waiver or expense reimbursement....... 5.80%(d) 5.55%(d) 6.35%(d) 5.87%(d)
Portfolio turnover rate(e).......................... 43.61% 43.61% 87.00% 87.00%
<FN>
- ---------------
(a) Pilot Shares commenced activity November 7, 1994.
(b) Class A Shares commenced activity December 21, 1994.
(c) Total return excludes sales charge of Class A Shares, would have been lower
had certain expenses not been reduced during the periods presented, and is
not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
61
<PAGE> 62
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Pilot Municipal Bond Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED FEBRUARY 29,
1996 PERIOD ENDED AUGUST 31, 1995
------------------------------- ------------------------------------
PILOT CLASS A CLASS B PILOT CLASS A CLASS B
SHARES SHARES SHARES SHARES(a) SHARES(b) SHARES(c)
--------- ------- ------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 10.70 $ 10.70 $ 10.65 $ 10.00 $10.37 $10.02
--------- ------- ------- -------- ------ ------
Investment Activities
Net investment income............... 0.29 0.27 0.23 0.48 0.34 0.33
Net realized and unrealized gains
from investments.................. 0.30 0.29 0.30 0.70 0.33 0.63
--------- ------- ------- -------- ------ ------
Total from Investment Activities.... 0.59 0.56 0.53 1.18 0.67 0.96
Distributions
From net investment income.......... (0.29) (0.27) (0.23) (0.48) (0.34) (0.33)
From net realized gains............. (0.03) (0.03) (0.03) -- -- --
--------- ------- ------- -------- ------ ------
Total distributions................. (0.32) (0.30) (0.26) (0.48) (0.34) (0.33)
--------- ------- ------- -------- ------ ------
Net Asset Value, End of Period.......... $ 10.97 $ 10.96 $ 10.92 $ 10.70 $10.70 $10.65
========= ====== ======= ======== ====== ======
Total Return(d)......................... 5.54% 5.34% 5.03% 12.00% 6.54% 9.62%
Ratios/Supplemental Data:
Net Assets at end of period (000)... $ 161,798 $ 713 $ 897 $150,934 $ 340 $ 448
Ratio of expenses to average net
assets............................ 0.69%(e) 0.89%(e) 1.69%(e) 0.67%(e) 0.87%(e) 1.67%(e)
Ratio of net investment income to
average net assets................ 5.24%(e) 5.03%(e) 4.23%(e) 5.63%(e) 5.26%(e) 4.48%(e)
Ratio of expenses to average net
assets assuming no waiver or
expense reimbursement............. 0.82%(e) 1.06%(e) 1.82%(e) 0.86%(e) 1.11%(e) 1.86%(e)
Ratio of net investment income to
average net assets assuming no
waiver or expense reimbursement... 5.11%(e) 4.86%(e) 4.10%(e) 5.44%(e) 5.02%(e) 4.29%(e)
Portfolio turnover rate(f).......... 8.75% 8.75% 8.75% 10.00% 10.00% 10.00%
<FN>
- ---------------
(a) Pilot Shares commenced activity November 7, 1994.
(b) Class A Shares commenced activity February 7, 1995.
(c) Class B Shares commenced activity December 27, 1994.
(d) Total return excludes sales charge of Class A Shares and Class B Shares,
would have been lower had certain expenses not been reduced during the
periods presented, and is not annualized.
(e) Annualized.
(f) Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing among the classes of shares issued.
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
62
<PAGE> 63
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Pilot Intermediate Municipal Bond Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED
FEBRUARY 29, 1996 AUGUST 31, 1995
-------------------- ----------------------
PILOT CLASS A PILOT CLASS A
SHARES SHARES SHARES(a) SHARES(b)
--------- ------- -------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period........................ $ 10.49 $ 10.49 $ 10.00 $ 9.88
--------- ------- -------- --------
Investment Activities
Net investment income................................... 0.24 0.23 0.41 0.37
Net realized and unrealized gains from investments...... 0.07 0.06 0.49 0.61
--------- ------- -------- --------
Total from Investment Activities........................ 0.31 0.29 0.90 0.98
Distributions
From net investment income.............................. (0.24) (0.23) (0.41) (0.37)
From net realized gains................................. (0.02) (0.02) -- --
--------- ------- -------- --------
Total distributions..................................... (0.26) (0.25) (0.41) (0.37)
--------- ------- -------- --------
Net Asset Value, End of Period.............................. $ 10.54 $ 10.53 $ 10.49 $10.49
======== ====== ======== =======
Total Return(c)............................................. 3.03% 2.86% 9.16% 10.03%
Ratios/Supplemental Data:
Net Assets at end of period (000)....................... $ 213,538 $ 260 $196,209 $ 232
Ratio of expenses to average net assets................. 0.63%(d) 0.78%(d) 0.58%(d) 0.73%(d)
Ratio of net investment income to average net assets.... 4.62%(d) 4.47%(d) 4.90%(d) 4.60%(d)
Ratio of expenses to average net assets assuming no
waiver or expense reimbursement....................... 0.79%(d) 1.03%(d) 0.81%(d) 1.06%(d)
Ratio of net investment income to average net assets
assuming no waiver or expense reimbursement........... 4.46%(d) 4.22%(d) 4.67%(d) 4.27%(d)
Portfolio turnover rate(e).............................. 3.51% 3.51% 8.00% 8.00%
<FN>
- ---------------
(a) Pilot Shares commenced activity November 7, 1994.
(b) Class A Shares commenced activity November 18, 1994.
(c) Total return excludes sales charge of Class A Shares and Class B Shares,
would have been lower had certain expenses not been reduced during the
periods presented, and is not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
- ---------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
63
<PAGE> 64
- --------------------------------------------------------------------------------
Report of Independent Public Accountants
- --------------------------------------------------------------------------------
To the Shareholders and Trustees of the Pilot Growth and Income Fund, Pilot
Equity Income Fund, Pilot Small Capitalization Equity Fund, Pilot U.S.
Government Securities Fund, Pilot Intermediate U.S. Government Securities Fund,
Pilot Municipal Bond Fund and Pilot Intermediate Municipal Bond Fund of The
Pilot Funds:
We have audited the accompanying statements of assets and liabilities of the
Pilot Growth and Income Fund, Pilot Equity Income Fund, Pilot Small
Capitalization Equity Fund, Pilot U.S. Government Securities Fund, Pilot
Intermediate U.S. Government Securities Fund, Pilot Municipal Bond Fund and
Pilot Intermediate Municipal Bond Fund (the "Funds") of The Pilot Funds (a
Massachusetts business trust), including the portfolios of investments as of
February 29, 1996, and the related statements of operations for the period then
ended and the statements of changes in net assets and financial highlights for
the periods presented. These financial statements and financial highlights are
the responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
February 29, 1996 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and the financial highlights
referred to above present fairly, in all material respects, the financial
position of the Funds as of February 29, 1996, the results of their operations
for the period then ended, the changes in their net assets and the financial
highlights for the periods presented in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Boston, Massachusetts
April 12, 1996
64
<PAGE> 65
15
market is limited. Although the municipal market has continued to appreciate so
far in 1996 based on reduced supply, as supply returns to more normal levels,
the market is at risk of correction due to the relative outperformance versus
taxable bonds. The presidential election should add further volatility to the
market as various tax reform proposals are brought to light. Therefore, we will
maintain a conservative stance in both Pilot Municipal Bond Funds. Our focus
will continue to be adding incremental income for our shareholders without
sacrificing quality.
Sincerely,
Jennifer R. Wacker, CFA
Vice President,
Director of Tax-Exempt Fixed Income
Boatmen's Trust Company
- --------------------------------------------------
PILOT INTERMEDIATE MUNICIPAL BOND FUND
MATURITY DISTRIBUTION OF SECURITIES*as of 2/29/96
[graph inserted here]
<TABLE>
<S> <C> <C> <C>
0-3 Years 3-5 Years 5-10 Years 10-20 Years
</TABLE>
- --------------------------------------------------
PILOT INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO SECTOR ALLOCATION*as of 2/29/96
[graph inserted here]
<TABLE>
<S> <C>
General Obligation 44.9%
Insured 29.5%
Government-Backed 2.2%
Electric Utility 7.1%
Water/Sewer 6.6%
Transportation 1.8%
Hospital 2.1%
Miscellaneous 5.8%
</TABLE>
- --------------------------------------------------
PILOT INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO ALLOCATION BY STATE*as of 2/29/96
[graph inserted here]
<TABLE>
<S> <C>
Other 33.7%
Arizona 7.1%
California 5.4%
Hawaii 4.5%
Illinois 5.9%
Missouri 13.7%
New Jersey 3.6%
Texas 13.3%
Washington 10.1%
Wisconsin 2.7%
</TABLE>
- --------------------------------------------------
PILOT INTERMEDIATE MUNICIPAL BOND FUND
INVESTMENT RATINGS OF SECURITIES*as of 2/29/96
<TABLE>
<CAPTION>
Other A AA AAA
- ----- ----- ----- -----
<S> <C> <C> <C>
0.2% 12.5% 49.3% 38.0%
<FN>
*Portfolio holdings are subject to change.
</TABLE>
<PAGE> 66
PILVAR96MID
<PAGE> 67
LETTER FROM THE FUNDS' MANAGEMENT 1
Dear Shareholder:
We are pleased to provide you with the Semi-Annual Report of the Pilot
International Equity Fund for the six months ended February 29, 1996.
Fund performance was strong, as most international markets rebounded
from their relatively weak performance of the previous twelve months. Your
Fund has benefited from favorable trends in global economic conditions and
selected investment markets, including signs of an economic recovery in Japan
and strong performance in Asian markets. The Fund's positive results, when
compared with the turbulence of 1994, serve to highlight the normal fluctuations
of international investing. We encourage all shareholders to take a long-term
view regarding their investments.
Fund assets also surpassed the $450 million mark as strong market
performance and additional monies from new and existing shareholders combined to
boost the Fund's market value.
You'll notice that your Fund has simplified its name, as of February 14,
1996, to align it more closely with the rest of The Pilot Funds family. In
addition, in the coming months we will be streamlining the internal operations
at The Pilot Funds. If you are a shareholder of other Pilot Funds, you may have
received more than one statement in the past. By consolidating certain
operational functions, we will be able to detail all of your Pilot stock and
bond fund positions on a single statement. We continually strive for excellence,
not only in performance, but in shareholder service as well.
Thank you for choosing The Pilot Funds to help meet your investment needs.
Should you have any questions or wish to learn more about any of The Pilot
Funds, please call your local Boatmen's Representative or The Pilot Funds at
1-800-71-PILOT (717-4568).
Sincerely,
David F. Toth
Senior Vice President
Boatmen's Trust Company
<PAGE> 68
FUND HIGHLIGHTS 2
Average Annual Total Returns for The Pilot International Equity Fund
as of February 29, 1996
<TABLE>
<CAPTION>
1-Year 5-Year* 10-Year*
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Pilot Shares 24.08% 7.97% 12.09%
- ------------------------------------------------------------------------------------------------------------------
Class A Shares at NAV** 23.76% 7.70% 11.81%
- ------------------------------------------------------------------------------------------------------------------
Class A Shares at Offer** 18.20% 6.72% 11.29%
- ------------------------------------------------------------------------------------------------------------------
<FN>
* Periods of more than one year are annualized.
**Effective August 21, 1995 the Administration Class Shares of the Fund were
redesignated as the Class A Shares of the Fund.
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate, so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
Pilot Shares and Class A Shares are subject to different fees and expenses.
Class A Shares pay a Rule 12b-1 fee of up to 0.25 of 1% of average daily net
assets. All other Fund expenses related to Class A Shares are the same as for
Pilot Shares. Performance figures for Class A Shares at Offer reflect the
maximum 4.5% sales load.
For periods prior to July 12, 1993, the performance information for the Pilot
Shares of the Pilot International Equity Fund is actually the performance for
the Kleinwort Benson International Equity Fund of Investment Strategies, all of
the assets of which were acquired by the Pilot International Equity Fund in
exchange for Pilot Investor Shares in a reorganization effective July 12, 1993.
The Pilot International Equity Fund did not commence operations until that date.
The Kleinwort Benson International Equity Fund was advised solely by Kleinwort
Benson prior to that date. For the period prior to July 12, 1993, the
information reflects the performance of the Kleinwort Benson International
Equity Fund. As of the date hereof, no Pilot Investor Shares of this Fund have
been issued.
International funds are subject to special risks such as currency fluctuations
and differences in accounting and taxation standards.
- -------------------------------------------------------------------------------
THE FUNDS ARE ADVISED BY BOATMEN'S TRUST COMPANY, A NON-BANK SUBSIDIARY OF
BOATMEN'S BANCSHARES, INC., AND ARE DISTRIBUTED BY PILOT FUNDS DISTRIBUTORS,
INC., WHICH IS NOT AFFILIATED WITH BOATMEN'S TRUST COMPANY. BOATMEN'S TRUST
COMPANY RECEIVES FEES FOR PROVIDING INVESTMENT ADVISORY SERVICES TO THE FUNDS.
This report is not authorized for distribution to prospective investors unless
preceded or accompanied by a current prospectus.
<PAGE> 69
FUND HIGHLIGHTS 3
Portfolio Composition by Sector*
as of 2/29/96
Finance 13.5%
Utilities 11.4%
Health and Personal Care 8.5%
Autos & Appliances 3.0%
Technology 12.8%
Capital Goods & Construction 7.5%
Metals 4.0%
Energy 3.1%
Multi Industry 3.6%
*Portfolio holdings are subject to change.
<TABLE>
<CAPTION>
Ten Largest Holdings*
as of 2/29/96
Percentage
Security Description Country of Portfolio
- -------------------------------------------------------
<S> <C> <C>
Roche Holdings Genusscheine Switzerland 1.5%
- -------------------------------------------------------
Tokio Marine & Fire Japan 1.5
- -------------------------------------------------------
Gas Naturale Spain 1.4
- -------------------------------------------------------
Hoya Corporation Japan 1.4
- -------------------------------------------------------
Mitsubishi Heavy Ind. Japan 1.3
- -------------------------------------------------------
Secom Company Japan 1.3
- -------------------------------------------------------
Sharp Corporation Japan 1.3
- -------------------------------------------------------
Hitachi Japan 1.2
- -------------------------------------------------------
Promodes France 1.2
- -------------------------------------------------------
Ahold Netherlands 1.2
- -------------------------------------------------------
<FN>
*Portfolio holdings are subject to change.
</TABLE>
<PAGE> 70
LETTER FROM THE PORTFOLIO MANAGERS 4
Pilot International Equity Fund
Note: All performance figures are for the six-month period ended
February 29, 1996.
Dear Shareholder:
The Pilot International Equity Fund returned 6.0% for the six-month period
ending February 29, 1996 compared to the MSCI Europe Australia Far East(R) Index
(an unmanaged index representing major European, Australian and Far East common
stocks) which returned 6.9%. We significantly increased the exposure to Japan as
signs of a modest economic recovery began to emerge and the outlook for
corporate earnings improved. However, the Fund is still underweighted in Japan
compared to the index, since we believe other countries offer better investment
potential. The MSCI Japan(R) Index (an unmanaged portfolio containing a broad
selection of companies listed on Japanese exchanges) returned only 2.4% over
this period. We reduced exposure in Europe as economic data indicated a sharp
slowdown in growth, raising concerns about corporate earnings expectations. The
Fund's underweighting in the UK and Ireland helped boost performance with the
MSCI UK(R) Index (an unmanaged portfolio containing a broad selection of
companies listed on UK exchanges) returning a relatively modest 5.3%. Our
overweighted stance in the main Asian markets, with Hong Kong and Singapore
performing particularly well, enhanced Fund performance. Overall, stock
selection was positive, with the regional portfolios in the UK, Continental
Europe, Mature Pacific and Latin America performing well.
<TABLE>
<CAPTION>
Portfolio Composition by Region as of 2/29/96
<S> <C>
Japan 32.0
Continental Europe 29.5
Emerging Markets 13.7
UK and Ireland 11.4
Far East 10.1
Cash 3.3
</TABLE>
Europe
Europe underperformed the Pacific Region but outperformed the UK, despite
concerns over an economic slowdown and political concerns in France and Italy.
This was largely due to the region's more benign interest rate environment as
the Bundesbank cut rates to stimulate the German economy. The MSCI European(R)
Index (an unmanaged portfolio containing a broad selection of companies listed
on European exchanges) rose 9.4%, with Sweden and Switzerland contributing to a
particularly strong performance.
<PAGE> 71
5
Japan
Japan began to show tentative signs of a recovery as economic indicators
showed a slight pick-up and investors perceived the worst of the recession
to be over. The dollar strengthened 8.0% against the yen, thereby boosting
Japanese export earnings. However, concerns persisted over the banks' bad loan
write-offs and the housing loan corporation bail-out.
Asia
Asian markets had a very strong six months with the MSCI Pacific Ex-Japan(R)
Index (an unmanaged portfolio containing a broad selection of companies listed
on Pacific exchanges excluding Japan) rising 11.4% in U.S. dollar terms.
Following the strong performance of the U.S. markets in 1995, investors turned
their attention to the Asian markets which had underperformed. As the
performance of the main Asian economies are closely tied to U.S. interest rates,
declines in U.S. rates supported valuations in the region, with the property and
bank sectors benefiting in particular. Foreign fund flows into the region
accelerated significantly in December and exerted considerable influence on the
main markets, with the Hang Seng(R) Index (depicts major stocks traded on the
Hong Kong stock exchange) rising by 21.2% in local terms.
Emerging Markets
After an exceptionally weak 1995 fourth quarter due to political concerns,
volatile interest rates and exchange rates, Latin America rallied strongly in
January to end the six-month period down 3.2%. Despite the flow of foreign money
into the Pacific region, the emerging markets remained relatively subdued due to
concerns about overheating and the current account deficits in Thailand,
Malaysia and Indonesia.
Sincerely,
Michael E. Kenneally
SENIOR VICE PRESIDENT
Boatmen's Trust Company
Sally Godley Maynard
SENIOR PORTFOLIO MANAGER
Kleinwort Benson Investment Management Americas Inc.
Please place broker/dealer information here.
<PAGE> 72
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
COMMON STOCKS--94.0%
ARGENTINA PESO--0.3%
Telecommunications--0.3%
339,966 Naviera Pereza Comp "A" $ 1,693,708
-------------
AUSTRALIAN DOLLAR--3.1%
Broadcasting and Publishing--0.5%
420,000 News Corp. 2,388,808
-------------
Business and Public Service--0.4%
140,000 Brambles Industries, Ltd. 1,744,515
-------------
Energy Sources--1.1%
209,000 Broken Hill Proprietary Co. 3,027,712
452,000 Woodside Petroleum 2,505,160
-------------
5,532,872
-------------
Metals-Non Ferrous--0.7%
501,250 Western Mining Corp. 3,222,623
-------------
Transportation-Road/Rail--0.4%
400,000 Mayne Nickless 2,070,178
-------------
14,958,996
-------------
BRAZILIAN CRUZEIRO--0.3%
Telecommunications--0.3%
38,800,000 Telebras 1,635,053
-------------
BRITISH POUND STERLING--11.0%
Banking--1.2%
402,220 Standard Chartered Bank 3,895,235
235,281 Royal Bank of Scotland 1,990,118
-------------
5,885,353
-------------
Broadcasting and Publishing--1.5%
1,425,000 WPP Group PLC 3,941,350
400,000 EMAP 3,579,528
-------------
7,520,878
-------------
Building Materials and Components--0.5%
307,755 CRH PLC (London Registered) 2,593,706
-------------
- -------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
Business and Public Services--1.6%
349,000 Reuters Holdings PLC $ 3,748,835
270,000 Security Services PLC 3,889,059
-------------
7,637,894
-------------
Chemicals--1.5%
200,000 Zeneca Group 3,850,751
250,000 BOC Group 3,543,518
-------------
7,394,269
-------------
Electrical Components and Instruments--0.7%
350,000 Farnell Electronic PLC 3,309,071
-------------
Energy Sources--0.7%
443,255 British Petroleum PLC 3,667,755
-------------
Financial Services--0.6%
165,789 Farnell Finance 167,669
700,000 Invesco PLC* 2,874,655
-------------
3,042,324
-------------
Food and Household Products--0.7%
336,000 Reckitt & Coleman 3,387,803
-------------
Leisure and Tourism--0.7%
328,352 Granada Group PLC 3,657,865
-------------
Multi-Industry--0.7%
567,638 Morgan Crucible Co., PLC 3,505,334
-------------
Transportation-Airlines--0.6%
402,000 BAA 3,012,228
-------------
54,614,480
-------------
DANISH KRONE--0.4%
Telecommunications--0.4%
32,000 Tele Danmark "B" 1,881,094
-------------
FINNISH MARKKA--0.5%
Forest Products and Paper--0.5%
370,000 Enso Gutzeit 2,588,608
-------------
- -------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
6
<PAGE> 73
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
FRENCH FRANC--8.3%
Beverages and Tobacco--0.9%
20,000 LVMH Moet Hennessy $ 4,555,827
-------------
Broadcasting and Publishing--0.7%
33,000 TV Francaise 3,529,377
-------------
Building Materials and Components--0.6%
46,000 Lafarge 3,164,514
-------------
Business and Public Service--0.4%
20,054 Lyonnaise Des Eaux-Dumez 1,857,891
-------------
Energy Sources--0.5%
38,000 Elf Aquitaine 2,622,458
-------------
Food and Household Products--0.6%
17,058 Danone 2,728,089
-------------
Health and Personal Care--1.2%
7,000 L'Oreal, S.A. 1,983,451
18,500 Roussel-UCLAF 3,927,813
-------------
5,911,264
-------------
Leisure and Tourism--0.9%
31,106 Accor 4,382,257
-------------
Merchandising--2.0%
20,000 Castorama Dubois Investments 3,742,286
22,000 Promodes, S.A. 5,997,976
-------------
9,740,262
-------------
Metals-Iron/Steel--0.5%
150,000 Usinor Sacilor* 2,345,378
-------------
40,837,317
-------------
- -------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
GERMAN DEUTSCHEMARK--3.6%
Banking--1.5%
74,000 Deutsche Bank, A.G. $ 3,728,187
87,900 Deutsche Pfandbrief and Hypo
Bank, A.G.* 3,401,925
-------------
7,130,112
-------------
Construction and Housing--0.6%
3,826 Hochtief, A.G. 1,733,176
4,000 Weru, A.G. 1,365,801
-------------
3,098,977
-------------
Health and Personal Care--1.1%
2,000 Gehe, A.G. Non-voting* 1,095,089
8,000 Gehe, A.G.* 4,478,302
-------------
5,573,391
-------------
Insurance--0.4%
1,000 Muenchener Rueckversich 2,054,142
-------------
17,856,622
-------------
HONG KONG DOLLAR--4.4%
Banking--0.8%
229,800 HSBC Holdings 3,685,884
-------------
Broadcasting and Publishing--0.2%
290,000 Television Broadcasts, Ltd. 1,102,847
-------------
Business and Public Services--0.3%
420,000 Wharf Holdings 1,627,107
-------------
Chemicals--0.4%
1,500,000 Shangri-La Asia, Ltd. 2,046,980
-------------
Merchandising--0.4%
2,000,000 Giordano International, Ltd. 2,134,292
-------------
Multi-Industry--1.4%
500,000 Hutchison Whampoa 3,169,101
250,000 Swire Pacific "A" 2,182,799
2,500,000 Guangdong Investment 1,608,804
-------------
6,960,704
-------------
- -------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE> 74
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
Real Estate--0.4%
215,800 Sun Hung Kai Properties, Ltd. $ 1,926,063
-------------
Utilities-Electric and Gas--0.5%
500,000 China Light & Power Co. 2,341,254
-------------
21,825,131
-------------
HUNGARIAN FORINT--0.3%
Health and Personal Care--0.3%
48,000 Gedeon Richter 1,566,240
-------------
INDONESIAN RUPIAH--0.6%
Beverages and Tobacco--0.0%
9,500 Gudang Garam 116,115
-------------
Forest Products and Paper--0.1%
336,500 PT Inti Indorayon Utama 303,424
-------------
Multi-Industry--0.3%
820,500 PT Astra International 1,366,820
-------------
Textiles and Apparel--0.2%
273,700 Indorama Synthetic 1,027,299
-------------
2,813,658
-------------
IRISH PUNT--0.2%
Building Materials and Components--0.2%
96,801 CRH PLC (Dublin Registered) 810,101
-------------
ITALIAN LIRA--1.9%
Energy Sources--0.2%
200,000 Edison 1,004,974
-------------
Machinery and Engineering--0.6%
660,000 SASIB 2,689,556
-------------
Telecommunications--0.8%
1,300,000 Societe Fiananziaria Telefonica 3,971,121
-------------
- -------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
Utilities-Electric and Gas--0.3%
500,000 Italienne Gas (Societa Italiene) $ 1,549,816
-------------
9,215,467
-------------
JAPANESE YEN--31.9%
Appliances and Household Durables--2.3%
400,000 Sharp Corp. 6,241,972
800,000 Sanyo Electric Co. 4,810,885
-------------
11,052,857
-------------
Automobiles--1.1%
250,000 Toyota Motor Corp. 5,399,876
-------------
Banking--2.9%
240,000 Sanwa Bank 4,407,441
200,000 Fuji Bank 4,015,415
269,000 Mitsubishi Bank 5,503,116
-------------
13,925,972
-------------
Building Materials and Components--0.4%
200,000 INAX Corp. 1,941,101
-------------
Business and Public Services--3.4%
199,000 Canon Sales Co., Inc. 4,901,820
100,000 Secom Co., Ltd. 6,241,972
400,000 Toppan Printing Co. 5,214,330
-------------
16,358,122
-------------
Chemicals--1.8%
900,000 Dainippon Ink and Chemicals,
Inc. 4,093,439
650,000 Asahi Chemical Industries 4,688,139
-------------
8,781,578
-------------
Construction and Housing--1.3%
800,000 Mitsubishi Heavy Industries 6,477,949
-------------
Electrical and Electronic--3.3%
500,000 Fujitsu 5,138,208
600,000 Hitachi 6,051,668
300,000 Matsushita Electric Industries 4,795,661
-------------
15,985,537
-------------
- -------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
8
<PAGE> 75
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
Electrical Components and Instruments--3.0%
100,000 TDK Corp. $ 5,043,056
63,000 Kyocera Corp. 4,316,095
44,000 Keyence Corp. 5,191,493
-------------
14,550,644
-------------
Food and Household Products--1.0%
400,000 KAO Corp. 5,024,026
-------------
Health and Personal Care--2.1%
200,000 Hoya Corp. 6,660,640
250,000 Daiichi Pharmaceutical Co., Ltd. 3,853,656
-------------
10,514,296
-------------
Industrial Components--0.9%
400,000 NGK Spark Plug Co. 4,453,114
-------------
Insurance--1.5%
600,000 Tokio Marine and Fire 7,250,583
-------------
Merchandising--1.6%
96,500 York-Benimaru Co. 3,222,941
250,000 Marui Co., Ltd. 4,805,176
-------------
8,028,117
-------------
Recreation and Other Consumer Goods--1.9%
500,000 Citizen Watch Co. 3,915,505
400,000 Nikon Corp. 5,480,756
-------------
9,396,261
-------------
Telecommunications--0.9%
400,000 Nippon Comsys Corp. 4,415,053
-------------
Tools-Hand/Machine--0.9%
210,000 Mori Seiki Co. 4,376,041
-------------
Transportation-Road/Rail--1.6%
500,000 Nippon Express Co. 4,591,084
200,000 Shimano, Inc. 3,444,503
-------------
8,035,587
-------------
155,966,714
-------------
- -------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
MALAYSIAN RINGGIT--0.6%
Machinery and Engineering--0.3%
240,000 UTD Engineers $ 1,544,559
-------------
Telecommunications--0.3%
160,000 Telekom Malaysia Berhad 1,375,034
-------------
2,919,593
-------------
NETHERLANDS GUILDER--4.9%
Appliances and Household Durables--1.0%
115,760 Philips Electronics, N.V. 4,816,595
-------------
Broadcasting and Publishing--1.1%
50,000 Wolters Kluwer, N.V. 5,375,691
-------------
Business and Public Services--1.6%
61,447 Getronics 3,508,484
92,000 Randstad Holdings 4,470,631
-------------
7,979,115
-------------
Merchandising--1.2%
135,453 Ahold, N.V. 5,677,129
-------------
23,848,530
-------------
NORWEGIAN KRONE--0.3%
Machinery and Engineering--0.3%
28,000 Kvaerner Industries, A.S. "B" 811,233
25,074 Kvaerner Industries, A.S. "A" 802,825
-------------
1,614,058
-------------
PHILIPPINE PESO--0.1%
Utilities-Electric and Gas--0.1%
35,000 Manila Electric Co. 325,177
-------------
POLISH ZLOTY--0.2%
280,000 Mostostal-Export, S.A.* 842,517
-------------
- -------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
9
<PAGE> 76
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
PORTUGUESE ESCUDO--0.8%
Building Materials and Components--0.3%
27,000 BCO Totta E Acores $ 521,850
32,000 Cimentos de Portugal, S.A. 584,944
28,000 Corticeira Amorim Gestora 371,670
-------------
1,478,464
-------------
Financial Services--0.1%
40,000 Espirito Santo Financial
Holding, S.A. 628,710
-------------
Food and Household Products--0.1%
9,100 Estabelev Jeronimo Martins 605,156
-------------
Forest Products and Paper--0.1%
22,000 Sonae Investmentos 495,119
-------------
Telecommunications--0.2%
29,000 Portugal Telecom* 672,607
-------------
3,880,056
-------------
SINGAPOREAN DOLLAR--3.2%
Banking--0.8%
290,687 Development Bank of
Singapore, Ltd. 4,137,967
-------------
Food and Household Products--0.6%
36,000 Fraser and Neave, Warrants,
5/7/98* 254,958
216,000 Fraser and Neave 2,891,218
-------------
3,146,176
-------------
Leisure and Tourism--0.3%
185,000 Genting Berhad 1,624,646
-------------
Machinery and Engineering--0.7%
300,000 Keppel 3,038,244
-------------
Multi-Industry--0.2%
400,000 Singapore Technologies
Industrial Corp. 934,844
-------------
- -------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
Real Estate--0.6%
325,000 City Developments $ 2,646,955
-------------
15,528,832
-------------
SPANISH PESETA--2.7%
Energy Sources--0.4%
58,000 Respol 2,118,379
-------------
Utilities-Electric and Gas--2.3%
41,000 Gas Natural SDG, S.A. 6,910,913
76,000 Empresa Nacional de
Electricidad, S.A. 4,329,522
-------------
11,240,435
-------------
13,358,814
-------------
SWEDISH KRONA--0.7%
Machine Construction and Manufacturing--0.7%
200,000 Atlas Copco Atiebolag "A" 3,495,054
-------------
SWISS FRANC--4.0%
Business and Consumer Services--0.6%
1,500 SGS Holdings 2,877,638
-------------
Electrical and Electronics--1.0%
4,000 Brown Boveri CIE, A.G. 4,791,058
-------------
Food and Household Products--0.9%
3,856 Nestle, S.A. 4,219,761
-------------
Health and Personal Care--1.5%
970 Roche Holdings, A.G. 7,540,579
-------------
19,429,036
-------------
THAI BAHT--1.0%
Banking--0.4%
160,000 Bangkok Bank 2,081,714
-------------
Building Materials and Components--0.2%
168,000 T.P.I. Polene 932,963
-------------
- -------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE> 77
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
Utilities-Electric and Gas--0.4%
440,000 Electricity Generating $ 1,745,339
-------------
4,760,016
-------------
TURKISH LIRE--0.4%
Appliances and Household Durables--0.1%
3,212,217 PT Arcelik 356,371
-------------
Building Materials and Components--0.2%
6,380,400 Trakya Cam 852,182
-------------
Food and Household Products--0.1%
469,800 Migros 528,347
-------------
1,736,900
-------------
UNITED STATES DOLLAR--8.3%
Automobiles--0.3%
109,160 Tata Engineering and Locomotion
Co. (GDR) 1,542,431
-------------
Banking--0.7%
88,000 Banco Industrial, S.A. (ADR) 1,595,000
83,900 Sociedad Anonima (ADR) 1,625,563
-------------
3,220,563
-------------
Beverages and Tobacco--0.4%
63,500 Coca Cola (ADR) 1,404,938
11,000 South African Breweries (ADR) 393,250
-------------
1,798,188
-------------
Closed End Mutual Funds--0.4%
120,000 ROC Taiwan Fund 1,155,000
37,000 Korea Fund 818,625
-------------
1,973,625
-------------
Electrical and Electronics--0.9%
110,000 Advanced Semiconductor (GDR)* 1,292,500
10,924 Samsung Electric Co. (GDS) 579,006
29,500 Manila Electric Co. (GDS) 1,327,500
190,000 Elektrim, S.A. (ADR) 1,195,389
-------------
4,394,395
-------------
- -------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
Financial Services--0.4%
171,920 Corporacion Financiera (ADR) $ 2,020,060
-------------
Food and Household Products--0.1%
148,625 Mavesa, S.A. (ADR) 594,500
-------------
Forest Products and Paper--0.2%
131,450 Grupo Industrial Durango (ADR)* 887,288
-------------
Health and Personal Care--0.1%
38,000 Barlow, Ltd. (ADR) 512,050
-------------
Merchandising--0.2%
1,030,000 Cifra, S.A. de C.V. (ADR)* 1,210,250
-------------
Metal-Non Ferrous--0.5%
47,000 Hindalco Industries (GDR)* 1,662,860
513,000 Siderurgica Venezolana (ADR) 1,001,953
-------------
2,664,813
-------------
Metals-Iron/Steel--0.2%
35,000 Pohang Iron and Steel, Ltd.
(ADR) 875,000
-------------
Mining--0.4%
25,000 Driefontein Consolidated, Ltd.
(ADR) 381,250
23,710 Impala Platinum Holdings (ADR) 428,914
34,147 De Beers Consolidated Mines,
Ltd. (ADR) 1,088,436
-------------
1,898,600
-------------
Multi-Industry--0.9%
113,000 Gencor, Ltd. (ADR) 430,813
750,000 Five Arrows Chile Investment
Trust 2,175,000
72,000 Corimon CASACA (ADR) 90,000
108,300 Desc, S.A. de C.V. (ADR)* 1,665,113
-------------
4,360,926
-------------
Recreation and Consumer Goods--0.7%
50,000 Luxottica Group (ADR) 3,512,500
-------------
- -------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
11
<PAGE> 78
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
Telecommunications--0.9%
53,238 Telefonica de Argentina
(ADR "L") $ 1,390,843
24,700 Philippine Long Distance
Telephone (ADR) 1,460,388
47,250 Telefonos de Mexico (ADR "L") 1,441,125
-------------
4,292,356
-------------
Utilities-Electric and Gas--1.0%
52,000 Enersis, S.A. (ADR) 1,475,500
65,220 Empresa Nacional de
Electricidad, S.A. (ADR) 1,304,400
10,000 Empresa Nacional de
Electricidad, S.A. (ADR) 563,750
39,694 Companhia Energetica de Mi, N.V.
(ADR)* 1,082,282
11,306 Companhia Energetica de Mi,
Preferred (ADR) 308,265
-------------
4,734,197
-------------
40,491,742
- -------------------------------------------------------------
TOTAL COMMON STOCKS (cost $401,215,041) 460,493,514
- -------------------------------------------------------------
PREFERRED STOCKS--2.3%
AUSTRALIAN DOLLAR--0.5%
Recreation and Other Consumer Goods--0.5%
1,494,000 Sydney Harbour 2,215,702
-------------
BRAZILIAN CRUZEIRO--0.7%
Banking--0.3%
140,429,720 Banco Bradesco, S.A. 1,589,959
-------------
Appliances and Household Durables--0.2%
4,000,000 Brasmotor, S.A. 1,051,990
-------------
Metals-Non Ferrous--0.2%
731,800 Sider Paulista* 1,047,764
-------------
3,689,713
-------------
GERMAN DEUTSCHEMARK--1.1%
Machinery and Engineering--0.5%
6,875 GEA, A.G. 2,286,679
-------------
- -------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Value
Shares Description (Note 2)
=============================================================
<S> <C> <C>
Health and Personal Care--0.6%
50,000 Fielmann, A.G. $ 2,873,759
-------------
5,160,438
- -------------------------------------------------------------
TOTAL PREFERRED STOCKS (cost $10,258,047) 11,065,853
- -------------------------------------------------------------
TOTAL INVESTMENTS (cost $411,473,088) 471,559,367
- -------------------------------------------------------------
<CAPTION>
Principal
Amount
=============================================================
<S> <C> <C>
SHORT-TERM INVESTMENTS--3.4%
16,722,000 State Street Bank Eurodollar
Time Deposit, 5.13%, dated
2/29/96, due 3/1/96 16,722,000
- -------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (cost $16,722,000) 16,722,000
- -------------------------------------------------------------
TOTAL--99.7% (cost $428,195,088**) 488,281,367
OTHER ASSETS IN EXCESS OF LIABILITIES--0.3% 1,445,609
- -------------------------------------------------------------
NET ASSETS--100.0% $ 489,726,976
=============================================================
* Non-income producing security.
** Represents cost for financial reporting purposes and
differs from cost basis for federal income tax purposes by
the amount of losses recognized for financial reporting
purposes in excess of federal income tax reporting of
approximately $423,000. Cost for federal income tax
purposes differs from value by net unrealized appreciation
of investments as follows:
Gross unrealized appreciation of investments $ 79,153,016
Gross unrealized depreciation of investments (19,489,393)
- -------------------------------------------------------------
Net unrealized appreciation of investments $ 59,663,623
=============================================================
</TABLE>
ADR--American Depository Receipt.
GDR--Global Depository Receipt.
GDS--Global Depository Shares.
- -------------------------------------------------------------
See Notes to Financial Statements.
12
<PAGE> 79
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Value on Appreciation
Forward Foreign Currency Exchange Contracts Expiring Settlement Date Current Value (Depreciation)
<S> <C> <C> <C> <C>
===============================================================================================================================
CURRENCY SOLD:
Deutschemark 3/21/96 $17,320,667 $17,569,044 $ (248,377)
Indonesian Rupiah 3/7/96 237,232 236,566 666
Japanese Yen 3/21/96 32,190,552 30,819,493 1,371,059
Netherlands Guilder 3/21/96 17,299,586 17,546,153 (246,567)
------------- ------------ ------------
$67,048,037 $66,171,256 $ 876,781
- ------------------------------------------------------------------------------------------------------------------------------
CURRENCY PURCHASED:
Indonesian Rupiah 3/25/96 $ 404,274 $ 403,140 $ (1,134)
------------- ------------ ------------
$ 404,274 $ 403,140 $ (1,134)
===============================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
13
<PAGE> 80
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investment in securities, at value (cost $411,473,088)................................................... $471,559,367
Short-term investments, at cost.......................................................................... 16,722,000
- ------------------------------------------------------------------------------------------------------------------------
Total Investments........................................................................................ 488,281,367
Cash and foreign currency................................................................................ 480,984
Receivable for forward foreign currency exchange contracts............................................... 1,371,725
Receivable from brokers for investments sold............................................................. 248,803
Dividends receivable..................................................................................... 311,389
Interest receivable...................................................................................... 2,381
Foreign taxes receivable................................................................................. 549,966
Receivable for Portfolio shares sold..................................................................... 802,067
Deferred organization costs and other assets............................................................. 244,550
- ------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS............................................................................................. 492,293,232
- ------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable to brokers for investments purchased............................................................. 1,590,338
Payable for Portfolio shares redeemed.................................................................... 39,963
Payable for forward foreign currency exchange contracts.................................................. 496,078
Advisory fees payable.................................................................................... 306,108
Administration fees payable.............................................................................. 42,191
Administration Service fees payable (Class A Shares)..................................................... 5,161
Other accrued expenses................................................................................... 86,417
- ------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES........................................................................................ 2,566,256
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS............................................................................................... $489,726,976
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE
($0.001 PAR VALUE PER SHARE, UNLIMITED NUMBER OF SHARES AUTHORIZED):
PILOT SHARES:
Net assets............................................................................................. $463,233,280
Shares of beneficial interest issued and outstanding................................................... 28,370,957
Net asset value........................................................................................ $16.33
- ------------------------------------------------------------------------------------------------------------------------
CLASS A SHARES:
Net assets............................................................................................. $ 26,493,696
Shares of beneficial interest issued and outstanding................................................... 1,634,662
Net asset value........................................................................................ $16.21
- ------------------------------------------------------------------------------------------------------------------------
SALES CHARGE--4.50% OF OFFERING PRICE.................................................................... 0.76
- ------------------------------------------------------------------------------------------------------------------------
MAXIMUM OFFERING PRICE................................................................................... $16.97
- ------------------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Shares of beneficial interest, at par.................................................................... $ 30,006
Additional paid-in capital............................................................................... 427,286,269
Distributions in excess of net investment income......................................................... (7,175,269)
Accumulated undistributed net realized losses from investment transactions............................... (2,027,116)
Accumulated undistributed net realized gains from foreign currency transactions.......................... 10,642,808
Net unrealized appreciation from investments............................................................. 54,872,621
Net unrealized appreciation from translation of assets and liabilities denominated in foreign
currencies............................................................................................. 6,097,657
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS, FEBRUARY 29, 1996............................................................................ $489,726,976
========================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
14
<PAGE> 81
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Statement of Operations
For the six months ended February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign taxes of $207,556)............................ $ 1,932,260
Interest................................................................ 570,797
- ---------------------------------------------------------------------------------------------------
TOTAL INCOME............................................................ 2,503,057
- ---------------------------------------------------------------------------------------------------
EXPENSES:
Advisory fees........................................................... $1,667,958
Administration fees..................................................... 230,201
Administration Service fees (Class A Shares)............................ 33,521
Audit fees.............................................................. 43,520
Transfer agent fees and expenses........................................ 24,190
Custodian fees and expenses............................................. 237,800
Registration fees....................................................... 21,550
Amortization of organization expenses................................... 11,920
Legal fees.............................................................. 5,180
Trustees' fees.......................................................... 3,918
Reports to shareholders................................................. 33,020
Other expenses.......................................................... 12,629
- ---------------------------------------------------------------------------------------------------
TOTAL EXPENSES.......................................................... 2,325,407
- ---------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME................................................... 177,650
- ---------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gains from investment transactions......................... 230,096
Net realized gains from foreign currency transactions................... 10,642,808
Net change in unrealized appreciation from investments.................. 28,149,377
Net change in unrealized appreciation from translation of assets and
liabilities denominated in foreign currencies......................... (14,218,248)
- ---------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS FROM INVESTMENTS AND FOREIGN
CURRENCIES............................................................ 24,804,033
- ---------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $ 24,981,683
===================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
15
<PAGE> 82
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
FEBRUARY 29, AUGUST 31,
1996 1995
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income........................................... $ 177,650 $ 2,760,153
Net realized gains from investment transactions................. 230,096 7,897,049
Net realized gains from foreign currency transactions........... 10,642,808 2,930,897
Net change in unrealized appreciation from investments.......... 28,149,377 (15,002,978)
Net change in unrealized appreciation from translation of assets
and liabilities denominated in foreign currencies............ (14,218,248) 9,613,918
- ---------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations............ 24,981,683 8,199,039
- ---------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Pilot Shares.................................................... (2,489,640) (2,165,488)
Class A Shares.................................................. (171,517) (248,680)
- ---------------------------------------------------------------------------------------------------
Total dividends to shareholders from net investment income........ (2,661,157) (2,414,168)
- ---------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS IN EXCESS OF NET INVESTMENT INCOME:
Pilot Shares.................................................... (8,623,288) --
Class A Shares.................................................. (594,079) --
- ---------------------------------------------------------------------------------------------------
Total dividends to shareholders in excess of net investment
income.......................................................... (9,217,367) --
- ---------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM NET REALIZED GAINS:
Pilot Shares.................................................... (9,018,759) (5,727,080)
Class A Shares.................................................. (648,034) (657,682)
- ---------------------------------------------------------------------------------------------------
Total dividends to shareholders from net realized gains........... (9,666,793) (6,384,762)
- ---------------------------------------------------------------------------------------------------
PORTFOLIO SHARE TRANSACTIONS:
Proceeds from shares issued..................................... 95,808,102 93,286,629
Dividends reinvested............................................ 16,367,712 7,173,468
Cost of shares redeemed......................................... (16,721,716) (61,574,895)
- ---------------------------------------------------------------------------------------------------
Net increase in net assets from Portfolio share transactions.... 95,454,098 38,885,202
- ---------------------------------------------------------------------------------------------------
Total Increase in Net Assets...................................... 98,890,464 38,285,311
- ---------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period............................................... 390,836,512 352,551,201
- ---------------------------------------------------------------------------------------------------
End of period (includes undistributed (distributions in excess of)
net investment income of ($7,175,269) and $2,488,507,
respectively)................................................... $ 489,726,976 $ 390,836,512
===================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
16
<PAGE> 83
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Notes to Financial Statements
February 29, 1996
- --------------------------------------------------------------------------------
1. GENERAL
The Pilot International Equity Fund, formerly Pilot Kleinwort Benson
International Equity Fund, (the "Portfolio") is a separate diversified portfolio
of The Pilot Funds (the "Fund"). The Fund is a Massachusetts business trust
registered under the Investment Company Act of 1940, as amended (the "1940
Act"), as an open-end management investment company. The investment objective of
the Portfolio is to provide long-term capital growth by investing primarily in
equity securities of companies domiciled in countries outside the United States
and listed on major stock exchanges primarily in Europe and the Pacific Basin.
The Portfolio offers three classes of shares: Pilot Shares, Class A Shares and
Class B Shares. Pilot Shares, Class A Shares and Class B Shares are
substantially the same except that Class A Shares bear the fees payable under
the Portfolio's Administration Plan and Class B Shares bear the fees payable
under the Portfolio's Distribution Plan. As of February 29, 1996, the Class B
Shares have not been sold by the Portfolio.
Boatmen's Trust Company ("Boatmen's") serves as the Fund's investment adviser.
Kleinwort Benson Investment Management Americas, Inc. ("Kleinwort Benson")
serves as the Portfolio's investment manager. Concord Holding Corporation
("Concord") serves as the Portfolio's administrator. Pilot Funds Distributor,
Inc. (the "Distributor"), a wholly-owned subsidiary of Concord, is the Fund's
distributor. Concord is a wholly-owned subsidiary of The BISYS Group, Inc.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Portfolio which are in conformity with those generally accepted in the
investment company industry. The preparation of financial statements requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities at the date of the financial statements and the reported
amounts of income and expenses for the period. Actual results could differ from
those estimates.
A. Investment Valuation
Investments in securities traded on a U.S. or foreign securities exchange or the
NASDAQ system are valued at their last sale or closing price on the principal
exchange on which they are traded or NASDAQ, on the valuation day; if no sale
occurs, securities traded on a U.S. exchange or NASDAQ are valued at the mean
between the closing bid and asked price, and securities traded on a foreign
exchange will be valued at the official bid price. Unlisted equity securities
for which market quotations are available are valued at the mean between the
most recent bid and asked prices.
Debt securities are valued at prices supplied by an independent pricing service,
which reflect broker/dealer-supplied valuations and matrix pricing systems.
Short-term debt obligations maturing in sixty days or less are valued at
amortized cost, which approximates market value. The amortized cost method
involves valuing a security at its cost on the date of purchase or, in the case
of securities purchased with more than 60 days until maturity, at their market
value each day until the 61st day prior to maturity, and thereafter assuming a
constant amortization to maturity of the difference between the principal amount
due at maturity and such valuation. Restricted securities, and other securities
for which quotations are not readily available, are valued at fair value using
methods approved by the Board of Trustees of the Fund.
B. Foreign Currency Translations
The books and records of the Portfolio are maintained in U.S. dollars. Amounts
denominated in foreign currencies are translated into U.S. dollars on the
following basis: (i) investment securities, other assets and liabilities
initially
- --------------------------------------------------------------------------------
17
<PAGE> 84
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- --------------------------------------------------------------------------------
expressed in foreign currencies are converted each business day into U.S.
dollars based upon current exchange rates; (ii) purchases and sales of foreign
securities, income and expenses are converted into U.S. dollars based upon
currency exchange rates prevailing on the respective dates of such transactions.
Net realized and unrealized gains (losses) from foreign currency translations
will represent: (i) foreign exchange gains and losses from the sale and holdings
of foreign currencies and securities; (ii) gains and losses between trade date
and settlement date on investment securities transactions and forward exchange
contracts; and (iii) gains and losses from the difference between amounts of
dividends and interest recorded and the amounts actually received.
C. Forward Foreign Currency Exchange Contracts
The Portfolio is authorized to enter into forward foreign exchange contracts for
the purchase of a specific foreign currency at a fixed price on a future date as
a hedge or cross-hedge against either specific transactions or portfolio
positions. The aggregate principal amounts of the contracts are reflected net in
the Portfolio's Statement of Assets and Liabilities. All commitments are
"marked-to-market" daily at the applicable translation rates and any resulting
unrealized appreciation or depreciation is recorded in the Portfolio's financial
statements. The Portfolio records realized gains or losses at the time the
forward contract is offset by entry into a closing transaction or extinguished
by delivery of the currency. Risks may arise upon entering these contracts from
the potential inability of counterparties to meet the terms of their contracts
and from unanticipated movements in the value of a foreign currency relative to
the U.S. dollar.
The contractual amounts of forward foreign currency exchange contracts do not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these instruments is meaningful only when all
related and offsetting transactions are considered. At February 29, 1996, the
Fund had sufficient cash and/or securities to cover any commitments under these
contracts.
D. Securities Transactions and Investment Income
Securities transactions are recorded on the trade date. Realized gains and
losses from sales of investments are calculated on the identified cost basis.
Dividend income is recorded on the ex-dividend date, except that certain
dividends from foreign securities which are not known on the ex-dividend date
are recorded as soon as the Portfolio is informed of the dividend. Interest
income, including accretion of discounts and amortization of premiums on
investments, is accrued daily.
The income of the Portfolio is allocated to the separate classes of shares based
upon their relative net assets.
E. Dividends to Shareholders
Dividends of the Portfolio are declared and paid annually to shareholders of
record at the close of business on the day of declaration. Distributions of net
realized gains, if any, will be paid at least annually. However, to the extent
that net realized gains of the Portfolio can be offset by capital loss
carryovers, such gains will not be distributed. Dividends and distributions are
recorded by the Portfolio on the ex-dividend date.
In accordance with Statement of Position 93-2, the Portfolio has reclassified
approximately $2,037,000, $311,000; and $2,418,000 between paid-in capital and
accumulated net investment income, accumulated undistributed net realized gain
on investment transactions and accumulated net realized foreign currency loss,
respectively. These reclassifications have no impact on the net asset value of
the Portfolio and are designed to present the Portfolio's capital accounts on a
tax basis.
- --------------------------------------------------------------------------------
18
<PAGE> 85
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- --------------------------------------------------------------------------------
F. Federal Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code (the "Code") applicable to regulated investment companies and to
distribute substantially all of its investment company taxable income and
capital gains to its shareholders. Accordingly, no federal tax provision is
required.
G. Deferred Organization Expenses
Organization related costs incurred by the Portfolio are being amortized on a
straight-line basis over a period of five years.
H. Expenses
Expenses incurred by the Fund that do not specifically relate to an individual
portfolio of the Fund are allocated to the portfolios based on each portfolio's
relative net assets. The expenses of the Portfolio (other than expenses incurred
pursuant to the Administration Plan) are allocated to the separate classes of
shares based upon their relative net assets.
3. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
A. Advisory Agreement
Boatmen's is the Portfolio's investment adviser under an Advisory Agreement.
Under the Advisory Agreement, Boatmen's supervises the activities of Kleinwort
Benson, the Portfolio's investment manager. As compensation for the services
rendered under the Advisory Agreement and the assumption of the expenses related
thereto, Boatmen's is entitled to a fee, computed daily and payable monthly, at
an annual rate equal to 0.80% of the Portfolio's average daily net assets.
B. Investment Management Agreement
The Portfolio has entered into an Investment Management Agreement with Kleinwort
Benson and Boatmen's. Under the Investment Management Agreement, Kleinwort
Benson, subject to the general supervision of the Portfolio's Board of Trustees
and Boatmen's, manages the investment operations of the Portfolio. As
compensation for the services rendered pursuant to the Investment Management
Agreement, Kleinwort Benson is entitled to a fee, paid by Boatmen's directly out
of Boatmen's advisory fee, computed daily and payable monthly, at an annual rate
equal to 0.40% of the Portfolio's average daily net assets up to $325,000,000
and 0.25% of such assets in excess of $325,000,000.
At a special meeting of stockholders of the Portfolio, held on November 30,
1995, shareholders approved a new Investment Management Agreement between the
Trust, on behalf of the Portfolio, Kleinwort Benson and Boatmen's. Such approval
was necessary because of the merger of Kleinwort Benson Group PLC and Dresdner
Bank AG.
C. Administration Agreement
The Portfolio has entered into an Administration Agreement with Concord.
Pursuant to the terms of this agreement, Concord is responsible for assisting in
all aspects of the operations of the Portfolio. For its services, Concord is
entitled to a fee, accrued daily and paid monthly, at an annual rate of 0.115%
of the first $1.5 billion of the aggregate average net assets of all of the
portfolios constituting the Fund, plus 0.11% of the next $1.5 billion of such
assets, plus 0.1075% of such assets in excess of $3.0 billion.
- --------------------------------------------------------------------------------
19
<PAGE> 86
PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- --------------------------------------------------------------------------------
D. Transfer Agent Agreement
Concord Financial Services ("CFS"), a wholly-owned subsidiary of Concord, is the
transfer agent for the Pilot shares of Portfolio. CFS does not receive a fee for
the transfer agent services it provides.
E. Distribution Agreement
The Distributor does not receive a fee under its Distribution Agreement.
F. Administration Plan
The Portfolio has adopted an Administration Plan (the "Plan"). The Plan allows
for Class A shares to compensate service organizations for providing varying
levels of account administration and shareholder liaison services to customers
who are beneficial owners of such shares. The Plan provides for compensation to
the service organizations in an amount up to 0.25% (on an annualized basis) of
the average daily net asset value of the outstanding Class A Shares. For the six
months ended February 29, 1996, the Portfolio paid fees of $33,521 to various
affiliates of Boatmen's pursuant to the Administration Plan.
4. SECURITIES TRANSACTIONS
Purchases and proceeds of sales or maturities of securities (excluding
short-term investments) for the six months ended February 29, 1996, were
$134,125,437 and $49,097,347, respectively.
5. CAPITAL SHARE TRANSACTIONS
Transactions in shares of the Portfolio are as follows
(000 omitted):
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 29, AUGUST 31,
1996 1995
------------ ----------
<S> <C> <C>
CAPITAL TRANSACTIONS:
Pilot Shares:
Proceeds from shares issued... $ 95,639 $ 92,626
Dividends reinvested.......... 15,491 6,608
Cost of shares redeemed....... (14,437) (44,103)
------- ---------
Change in net assets from
Pilot share transactions.... $ 96,693 $ 55,131
======= =========
Class A Shares:
Proceeds from shares issued... $ 169 $ 659
Dividends reinvested.......... 877 566
Cost of shares redeemed....... (2,284) (17,471)
------- ---------
Change in net assets from
Class A share
transactions................ $ (1,238) $(16,246)
======= =========
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 29, AUGUST 31,
1996 1995
------- ---------
<S> <C> <C>
SHARE TRANSACTIONS:
Pilot Shares:
Issued........................ 5,925 6,037
Reinvested.................... 967 451
Redeemed...................... (892) (2,937)
------- ---------
Change in Pilot Shares........ 6,000 3,551
======= =========
Class A Shares:
Issued........................ 11 44
Reinvested.................... 55 39
Redeemed...................... (142) (1,133)
------- ---------
Change in Class A Shares...... (76) (1,050)
======= =========
</TABLE>
- --------------------------------------------------------------------------------
20
<PAGE> 87
[THIS PAGE INTENTIONALLY LEFT BLANK]
21
<PAGE> 88
THE PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PILOT INTERNATIONAL
EQUITY FUND(a) PILOT KLEINWORT BENSON INTERNATIONAL EQUITY FUND
-----------------------------
SIX MONTHS ENDED YEAR ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, 1995 AUGUST 31, 1994
-------------------- ------------------- ----------------------------
PILOT
PILOT CLASS A PILOT CLASS A PILOT ADMINISTRATION
SHARES SHARES SHARES SHARES(b) SHARES SHARES
--------- ------- -------- ------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period....... $ 16.24 $ 16.14 $ 16.34 $ 16.29 $ 14.14 $ 14.13
--------- ------- -------- ------- ---------- --------------
Investment Activities
Net investment income (loss)........... 0.05 (0.02) 0.13(f) 0.08(f) 0.11(f) 0.07(f)
Net realized and unrealized gains
(losses) from investments............ 1.01 1.06 (0.22)(f) (0.22)(f) 1.65(f) 1.65(f)
Net realized and unrealized gains
(losses) from foreign currencies..... (0.12) (0.12) 0.39(f) 0.39(f) 0.59(f) 0.59(f)
--------- ------- -------- ------- ---------- --------------
Total from Investment Activities....... 0.94 0.92 0.30 0.25 2.35 2.31
Distributions
From net investment income............. (0.08) (0.08) (0.11) (0.11) -- --
In excess of net investment income..... (0.38) (0.38) -- -- -- --
From net realized gains from
investments and foreign currencies... (0.39) (0.39) (0.29) (0.29) (0.15) (0.15)
--------- ------- -------- ------- ---------- --------------
Total distributions.................... (0.85) (0.85) (0.40) (0.40) (0.15) (0.15)
--------- ------- -------- ------- ---------- --------------
Net Asset Value, End of Period............. $ 16.33 $ 16.21 $ 16.24 $ 16.14 $ 16.34 $ 16.29
========= ======= ========= ======= ========= =============
Total Return(h)............................ 5.97% 5.89% 2.08% 1.77% 16.75% 16.48%
Ratios/Supplemental Data:
Net Assets at end of period (000)...... $ 463,233 $26,494 $363,212 $27,625 $ 307,561 $ 44,990
Ratio of expenses to average net
assets............................... 1.10%(i) 1.35%(i) 1.18% 1.42% 1.12% 1.37%
Ratio of net investment income (loss)
to average net assets................ 0.06%(i) (0.02)%(i) 0.82% 0.50% 0.75% 0.48%
Portfolio turnover rate(j)............. 12.36% 12.36% 35.91% 35.91% 35.40% 35.40%
</TABLE>
- ---------------
(a) The Pilot Kleinwort Benson International Equity Fund has been renamed the
Pilot International Equity Fund effective November 30, 1995.
(b) The Pilot Administration Shares were redesignated the Class A Shares.
(c) Pilot Shares were initially issued on July 26, 1993.
(d) Prior to July 12, 1993, the Pilot Administration Shares were not subject to
an Administration plan.
(e) Prior to a tax-free reorganization into Pilot Administration Shares
effective July 12, 1993, the Pilot Kleinwort Benson International Equity
Portfolio was a separate portfolio of Kleinwort Benson Investment
Strategies known as Kleinwort Benson International Equity Fund. The
predecessor portfolio was advised by Kleinwort Benson International
Investment Limited and had a December 31 year end.
(f) Calculated based on the average shares outstanding methodology.
(g) For years preceding the fiscal period ended August 31, 1993, net realized
and unrealized gains (losses) from investments included net realized and
unrealized gains (losses) from foreign currencies.
(h) Total return excludes sales charge which would have reduced performance of
Class A Shares and is not annualized.
(i) Annualized.
(j) Portfolio turnover is calculated on the basis of the portfolio as a whole
without distinguishing between the classes of shares issued and is not
annualized.
(k) Excludes transfer of assets effective August 6, 1993 from a collective
trust for which Boatmen's served as Trustee.
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
22
<PAGE> 89
THE PILOT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
KLEINWORT BENSON
PILOT KLEINWORT BENSON INTERNATIONAL EQUITY
INTERNATIONAL EQUITY FUND FUND
--------------------------- --------------------
EIGHT MONTHS ENDED YEAR ENDED
AUGUST 31, 1993 DECEMBER 31, 1992
--------------------------- --------------------
PILOT PILOT
PILOT ADMINISTRATION ADMINISTRATION
SHARES(c) SHARES SHARES(d)(e)
--------- -------------- --------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period....... $ 13.15 $ 11.85 $ 12.29
--------- ----------- --------
Investment Activities
Net investment income (loss)........... (0.01)(f) 0.02 (f) 0.04 (f)
Net realized and unrealized gains
(losses) from investments............ 1.10 (f) 2.51 (f) (0.46)(f)(g)
Net realized and unrealized gains
(losses) from foreign currencies..... (0.10)(f) (0.25)(f) --
--------- -------- --------
Total from Investment Activities....... 0.99 2.28 (0.42)
Distributions
From net investment income............. -- -- (0.02)
In excess of net investment income..... -- -- --
From net realized gains from
investments and foreign currencies... -- -- --
--------- -------- --------
Total distributions.................... -- -- (0.02)
--------- -------- --------
Net Asset Value, End of Period............. $ 14.14 $ 14.13 $ 11.85
========= ======== ========
Total Return(h)............................ 7.53% 19.24% (3.42)%
Ratios/Supplemental Data:
Net Assets at end of period (000)...... $ 195,548 $ 55,816 $ 56,358
Ratio of expenses to average net
assets............................... 1.31% (i) 2.17%(i) 1.78%
Ratio of net investment income (loss)
to average net assets................ (0.56)%(i) 0.25%(i) 0.35%
Portfolio turnover rate(j)............. 26.65% (k) 26.65%(k) 58.55%
</TABLE>
23
<PAGE> 90
- --------------------------------------------------------------------------------
Report of Independent Public Accountants
- --------------------------------------------------------------------------------
To the Shareholders and Trustees of the Pilot International Equity Fund:
We have audited the accompanying statement of assets and liabilities of the
Pilot International Equity Fund (formerly Pilot Kleinwort Benson International
Equity Fund) of The Pilot Funds (a Massachusetts business trust), including the
portfolio of investments as of February 29, 1996, and the related statement of
operations for the period then ended, the statement of changes in net assets for
the periods presented, and the financial highlights for the periods ended
February 29, 1996, August 31, 1995, 1994 and 1993. These financial statements
and financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights for the
period ended December 31, 1992, was audited by other auditors whose report dated
January 29, 1993, expressed an unqualified opinion on those financial
highlights.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
February 29, 1996 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of the
Pilot International Equity Fund as of February 29, 1996, the results of its
operations and the changes in its net assets for the periods presented and the
financial highlights for the periods ended February 29, 1996, August 31, 1995,
1994 and 1993 in conformity with generally accepted accounting principles.
Arthur Andersen LLP
Boston, Massachusetts
April 12, 1996
24
<PAGE> 91
PILINT96MID
FINANCIAL PILOT INTERNATIONAL
DIRECTION EQUITY FUND
[PILOT FUNDS LOGO]
Semi-Annual Report
February 29, 1996
THE
PILOT
FUNDS
NOT
FDIC May Lose Value
INSURED No Bank Guarantee
Distributor: Pilot Funds Distributors, Inc. 4/96
<PAGE> 92
ANNUAL HIGHLIGHTS 1
- --------------------------------------------------------------------------------
Pilot Money Market Funds
7-Day Current Yields as of February 29, 1996
<TABLE>
<CAPTION>
Pilot Shares Pilot Administration Shares Pilot Investor Shares
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Pilot Short-Term U.S. Treasury Fund 5.07% 4.82% 4.57%
- ---------------------------------------------------------------------------------------------------------------------------------
Pilot Short-Term Diversified Assets Fund 5.19% 4.94% 4.69%
- ---------------------------------------------------------------------------------------------------------------------------------
Pilot Missouri Short-Term Tax-Exempt Fund* 3.00% 2.75% 2.50%
- ---------------------------------------------------------------------------------------------------------------------------------
Pilot Short-Term Tax-Exempt Diversified Fund* 3.07% 2.82% 2.57%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. Yields will fluctuate as
market conditions change. An investment in the Funds is neither insured nor
guaranteed by the U.S. Government, and there can be no assurance that the Funds
will be able to maintain a stable net asset value of $1.00 per share.
* A portion of the income from these Funds may be subject to the federal
alternative minimum tax and to certain state and local taxes.
- --------------------------------------------------------------------------------
Pilot Short-Term U.S. Treasury Fund
Pilot Shares** 7-Day Yield at Month-End
<TABLE>
<CAPTION>
<S> <C>
March '95 5.8
April '95 5.7
May '95 5.8
June '95 5.6
July '95 5.5
August '95 5.6
September '95 5.7
October '95 5.5
November '95 5.5
December '95 5.4
January '96 5.3
February '96 5.1
</TABLE>
Pilot Short-Term Diversified Assets Fund
Pilot Shares** 7-Day Yield at Month-End
<TABLE>
<CAPTION>
<S> <C>
March '95 5.8
April '95 5.8
May '95 5.8
June '95 5.7
July '95 5.6
August '95 5.5
September '95 5.7
October '95 5.6
November '95 5.6
December '95 5.6
January '96 5.4
February '96 5.2
</TABLE>
Pilot Missouri Short-Term Tax-Exempt Fund
Pilot Shares** 7-Day Yield at Month-End
<TABLE>
<CAPTION>
<S> <C>
March '95 3.6
April '95 4.0
May '95 3.7
June '95 3.6
July '95 3.4
August '95 3.3
September '95 3.7
October '95 3.4
November '95 3.4
December '95 4.2
January '96 3.0
February '96 3.0
</TABLE>
Pilot Short-Term Tax-Exempt Diversified Fund
Pilot Shares** 7-Day Yield at Month-End
<TABLE>
<CAPTION>
<S> <C>
March '95 3.8
April '95 4.2
May '95 3.8
June '95 3.7
July '95 3.5
August '95 3.4
September '95 3.8
October '95 3.5
November '95 3.5
December '95 4.2
January '96 3.1
February '96 3.1
<FN>
** Pilot Administration Shares and Pilot Investor Shares pay administration
and investor service fees of 0.25% and 0.50%, respectively. Consequently,
yields on these shares would have been lower for the periods shown.
</TABLE>
<PAGE> 93
LETTER FROM THE FUNDS' MANAGEMENT 2
Dear Shareholder:
We are pleased to present you with the Semi-Annual Report for the Pilot Money
Market Funds for the six months ended February 29, 1996.
Two developments during this period deserve mention. The Federal Reserve
twice lowered the Federal Funds rate. In addition, political debate surrounding
tax reform and the flat tax weakened municipal bond yields slightly, though we
expect this to be temporary.
This Semi-Annual Report marks the first full period for which Boatmen's
Trust Company has served as investment manager for all the Pilot Money Market
Funds. We are gratified with the response of investors, who have now increased
their total net assets in the four Pilot Money Market Funds to $4.1 billion, a
17% increase from six months ago.
Thank you for choosing The Pilot Funds to help meet your investment needs.
Should you have any questions or wish to learn more about any of The Pilot
Funds, please call your local Boatmen's Representative or The Pilot Funds at
1-800-71-PILOT (717-4568).
Sincerely,
David F. Toth
Senior Vice President
Boatmen's Trust Company
- --------------------------------------------------------------------------------
The Funds are advised by Boatmen's Trust Company, a non-bank subsidiary of
Boatmen's Bancshares, Inc., and are distributed by Pilot Funds Distributors,
Inc., which is not affiliated with Boatmen's Trust Company. Boatmen's Trust
Company receives fees for providing investment advisory services to the Funds.
This report is not authorized for distribution to prospective investors unless
preceded or accompanied by a current prospectus.
<PAGE> 94
LETTERS FROM THE PORTFOLIO MANAGERS 3
Pilot Short-Term U.S. Treasury Fund
Pilot Short-Term Diversified Assets Fund
Dear Shareholder:
During the six months ending February 29, 1996, the Federal Reserve Board twice
decreased the level of short-term interest rates in its ongoing effort to
balance economic growth and inflation. As a result, yields on taxable money
market investments declined substantially during the period. The conservative
investment strategies of the Pilot Short-Term U.S. Treasury Fund and the Pilot
Short-Term Diversified Assets Fund were ideally suited to investors seeking
stability of principal. The Funds employed defensive tactics during the year in
order to provide competitive yields.
<TABLE>
<CAPTION>
Pilot Short-Term Pilot Short-Term Diversified
U.S. Treasury Fund Assets Fund
------------------ ----------------------------
<S> <C> <C>
Mar '95 29 27
Apr '95 32 22
May '95 29 32
Jun '95 47 28
Jul '95 42 30
Aug '95 15 36
Sep '95 19 36
Oct '95 42 44
Nov '95 42 43
Dec '95 43 38
Jan '96 38 34
Feb '96 41 31
</TABLE>
Pilot Short-Term U.S. Treasury Fund
To provide shareholders with attractive yields, the Pilot Short-Term U.S.
Treasury Fund extended its weighted average days to maturity (WAM) in an effort
to preserve current interest rates for a longer period of time. Recently, the
Fund's WAM extended to 41 days, which is consistent with competing funds with
similar objectives and guidelines. We have concentrated our purchases of U.S.
Treasury bills and notes with a maturity structure that we feel should
outperform other investments given our assessment of the current state of the
economy. The key to this strategy is emphasizing U.S. Treasury bills and notes
with slightly longer maturities and reducing our exposure to repurchase
agreements. As a result, the Fund has been able to provide liquidity and
preserve shareholders' principal without sacrificing yield to the extent
short-term rates have declined.
Pilot Short-Term Diversified Assets Fund
Most recently, the Fund maintained its weighted average days to maturity at
approximately 31 days. While the Fund's average is consistent with competing
funds with similar objectives and guidelines, we have concentrated our
investments in securities that should outperform alternative investments given
our assessment of the current state of the economy. Our purpose is to insulate
investors from an overly
<PAGE> 95
LETERS FROM THE PORTFOLIO MANGERS 4
optimistic view of declining rates by purchasing securities with longer
maturities. The Fund's emphasis on floating rate securities has shifted to
reflect a weaker fourth quarter in 1995, while the maturity structure reflects
our belief that the economy will remain steady with stronger growth emerging
early next year.
Looking Ahead
We do not anticipate a recession during 1996. The presence of ample credit
availability and rising personal income, combined with the favorable wealth
effects of 1995's roaring financial markets and the strong competitive position
of U.S. products and services in world markets, should all contribute to
relative economic stability going forward. For these same reasons, we also
believe that Federal Reserve policy is not excessively restrictive. A healthy
supply of credit, strong wage growth, soaring stock and bond prices, rising real
estate values, and weak exchange rates for the dollar are simply not
characteristics of overly "tight" monetary policy. As such, we do not believe
the Federal Reserve will reduce short-term rates from current levels in the near
future and we see short-term rates actually rising over the course of 1996.
Sincerely,
Frank J. Aten, CFA
Senior Vice President
Director of Taxable Fixed Income
Boatmen's Trust Company
David W. Brooks
Portfolio Manager
Taxable Fixed Income
Boatmen's Trust Company
- --------------------------------------------------------------------------------
Pilot Short-Term U.S. Treasury Fund
Portfolio Composition as of 2/29/96*
<TABLE>
<CAPTION>
<S> <C>
U.S. Treasury Bills and Notes 43%
Repurchase Agreements 57%
<FN>
* Portfolio holdings are subject to change.
</TABLE>
- --------------------------------------------------------------------------------
Pilot Short-Term Diversified Assets Fund
Portfolio Composition as of 2/29/96*
<TABLE>
<CAPTION>
<S> <C>
Tier 1 Commercial Paper 40%
Repurchase Agreements 20%
Foreign Bank Obligations 15%
Corporate Obligations 5%
Floating Rate Notes-Agencies 11%
Floating Rate Notes-Corporates 8%
Floating Rate Notes-Certificates of Deposit 1%
</TABLE>
<PAGE> 96
5
Pilot Missouri Short-Term Tax-Exempt Fund
Pilot Short-Term Tax-Exempt Diversified Fund
Dear Shareholder:
The fixed income markets experienced a sensational year in 1995. The municipal
market posted strong returns, but lagged other sectors due to increased
uncertainties with respect to municipal securities. Municipal yields were held
back primarily by prospects for tax reform, particularly the "flat tax" issue.
In addition to the tax reform issue, there was concern over the impact a slowing
economy would have on state finances, combined with Washington's attempts to
reduce aid to state and local governments.
Pilot Missouri Short-Term Tax-Exempt Fund
For the majority of 1995, the Pilot Missouri Short-Term Tax-Exempt Fund remained
neutral with its peer group by targeting a weighted average maturity of plus or
minus five days to the IBC/Donoghue's(R) Tax-Exempt Money Fund Average (a
composite index of short-term tax-exempt money market instruments). During the
fourth quarter, however, the Fund offset year-end technicals that affect the
short-term municipal market by shifting from a strictly neutral posture to a
slightly longer stance. This was accomplished by targeting five days longer than
the IBC/ Donoghue's(R) Fund Average Days to Maturity. As the short end of the
municipal curve traded up in lock-step with the treasury market, the Fund
performed slightly better than the IBC/ Donoghue's(R) Average for the quarter.
By the end of January, 1996, the Fund shifted back to a neutral stance as
year-end technicals abated. The Fund had net assets of approximately $253
million, an average maturity of 42 days, and a 7-day yield of 3.00% (Pilot
Shares) as of February 29, 1996. The Fund also continued to maintain its
allocation of Missouri issues, which stood at approximately 85%.
- --------------------------------------------------------------------------------
Average Days to Maturity
<TABLE>
<CAPTION>
Pilot Missouri Short-Term Pilot Short-Term Tax-Exempt
Tax-Exempt Fund Diversified Fund
<S> <C> <C>
Mar '95 39 35
Apr '95 34 35
May '95 32 33
Jun '95 31 42
Jul '95 44 38
Aug '95 60 58
Sep '95 51 49
Oct '95 50 50
Nov '95 57 53
Dec '95 54 57
Jan '96 45 42
Feb '96 42 42
</TABLE>
<PAGE> 97
LETTERS FROM THE PORTFOLIO MANAGERS 6
Pilot Short-Term Tax-Exempt Diversified Fund
In 1995, the Pilot Short-Term Tax-Exempt Diversified Fund remained neutral to
the IBC/Donoghue's(R) Tax-Exempt Money Fund Average by targeting a weighted
average maturity comparable to that average. In order to offset year-end
technicals, the Fund shifted from a strictly neutral posture to a slightly
longer stance by targeting five days longer than the IBC/Donoghue's(R)
Tax-Exempt Fund Average Days to Maturity. After the year-end technicals
diminished in late January, the Fund moved back to a neutral position versus its
peer group. This strategy worked well as the short end of the municipal market
continued to trade in tandem with the treasury market, which declined in yield
by roughly 100 basis points for the year. The Fund had approximately $385
million in assets, an average maturity of 42 days, and a 7-day yield of 3.07%
(Pilot Shares) as of February 29, 1996.
- --------------------------------------------------------------------------------
Pilot Missouri Short-Term Tax-Exempt Fund
Portfolio Composition as of 2/29/96*
<TABLE>
<CAPTION>
<S> <C>
Missouri 85%
Other 15%
</TABLE>
- --------------------------------------------------------------------------------
Pilot Short-Term Tax-Exempt Diversified Fund
Portfolio Composition as of 2/29/96*
<TABLE>
<CAPTION>
<S> <C>
Other 40%
Florida 6%
Georgia 11%
Illinois 4%
Missouri 25%
New York 1%
Texas 13%
<FN>
*Portfolio holdings are subject to change.
</TABLE>
<PAGE> 98
Looking Ahead
In 1996 we believe the municipal market will be affected by the issues prevalent
last year, although to a lesser degree, because the market perceives as remote
the passage of major tax reform eliminating preferential treatment of state and
local securities. The objective of a flat tax is to have a single low rate of
taxation without many of the current exemptions, most notably: employer
purchased medical insurance, mortgage interest, and preferential treatment of
interest on municipal bonds. The flat tax issue is unlikely to be passed in
1996, if at all, and will most likely become an issue for debate during the
election process.Therefore, even if some form of flat tax were passed in 1997,
it probably would not affect taxes until 1998 and beyond.
Sincerely,
Jennifer R. Wacker, CFA
Vice President, Director of
Tax-Exempt Fixed Income
Boatmen's Trust Company
Dawn Daggy-Mangerson
Portfolio Manager
Boatmen's Trust Company
Please place broker/dealer information here.
<PAGE> 99
PILOT SHORT-TERM U.S. TREASURY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Amortized
(000) Description Rate Date Cost
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--39.5%
U.S. TREASURY BILLS--22.0%
$ 100,000 U.S. Treasury Bill 5.34%* 3/07/96 $ 99,911,083
50,000 U.S. Treasury Bill 5.32* 4/04/96 49,748,778
275,000 U.S. Treasury Bill 5.00* 4/18/96 273,168,500
--------------
422,828,361
--------------
U.S. TREASURY NOTES--17.5%
50,000 U.S. Treasury Note 7.75 3/31/96 50,085,186
24,605 U.S. Treasury Note 7.63 4/30/96 24,681,536
75,000 U.S. Treasury Note 4.25 5/15/96 74,814,517
25,000 U.S. Treasury Note 5.13 3/31/96 24,989,682
85,000 U.S. Treasury Note 5.88 5/31/96 85,041,800
50,000 U.S. Treasury Note 6.88 2/28/97 50,765,625
25,000 U.S. Treasury Note 9.38 4/15/96 25,114,497
--------------
335,492,843
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (cost $758,321,204) 758,321,204
- -----------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--53.4%
78,618 Repurchase agreement with Lehman Brothers, dated 2/29/96, 5.42%, due
3/01/96
(See Footnote A) 78,617,566
435,700 Repurchase agreement with Merrill Lynch, dated 2/29/96, 5.39%, due
3/01/96
(See Footnote B) 435,699,830
426,770 Repurchase agreement with J.P. Morgan, dated 2/29/96, 5.42%, due
3/01/96
(See Footnote C) 426,770,308
85,000 Repurchase agreement with State Street Bank and Trust, dated 2/29/96,
5.35%, due 3/01/96
(See Footnote D) 85,000,000
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (cost $1,026,087,704) 1,026,087,704
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS--92.9% (cost $1,784,408,908) 1,784,408,908
OTHER ASSETS IN EXCESS OF LIABILITIES--7.1% 136,286,638
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS--100.0% $1,920,695,546
- -----------------------------------------------------------------------------------------------------------------------------
<FN>
* Effective yield.
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
8
<PAGE> 100
PILOT SHORT-TERM U.S. TREASURY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
Footnote A
Collateralized by $78,330,000 U.S. Treasury Notes, with coupon rates and
maturities ranging from 5.62% to 8.62% and 5/31/97 through 8/31/97,
respectively with an aggregate value of $80,184,089.
Footnote B
Collateralized by $323,927,000 U.S. Treasury Bonds, with coupon rates and
maturities ranging from 9.25% to 11.25% and 2/15/15 through 2/15/16,
respectively with an aggregate value of $444,416,190.
Footnote C
Collateralized by $420,106,000 U.S. Treasury Notes, with coupon rates and
maturities ranging from 5.63% to 9.38% and 4/15/96 through 10/15/97,
respectively with an aggregate value of $435,309,442.
Footnote D
Collateralized by $67,035,000 U.S. Treasury Bonds, 9.25%, due 2/15/16 with a
value of $86,703,136.
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
9
<PAGE> 101
PILOT SHORT-TERM DIVERSIFIED ASSETS FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER--35.8%
$ 20,000 AKZO America, Inc. P1/A1 5.17% 4/22/96 $ 19,850,645
15,000 Bear Stearns Co., Inc. P1/A1+ 5.64 3/15/96 14,967,100
25,000 Browning Ferris Industries, Inc. P1/A1+ 5.21 3/11/96 24,963,820
20,000 Ciesco, Inc. P1/A1 5.30 4/04/96 19,899,889
50,000 CIT Group Holdings, Inc. P1/A1 5.15 4/26/96 49,599,444
25,000 CPC International, Inc. P1/A1+ 5.66 4/04/96 24,866,361
30,000 Ciesco LP P1/A1+ 5.19 4/24/96 29,768,700
25,000 CommerzBank P1/A1 5.66 3/14/96 25,001,007
50,000 Eiger Capital Corp. P1/A1+ 5.25 4/03/96 49,759,375
25,000 Fleet Funding Corp. P1/A1 5.25 4/11/96 24,850,521
25,000 Ford Motor Credit Corp. P1/A1+ 5.46 3/20/96 24,927,958
1,900 General Electric Capital Corp. P1/A1 5.45 4/04/96 1,890,220
10,000 Hanson Finance UK PLC P1/A1 5.65 3/04/96 9,995,292
35,000 Hanson Finance UK PLC P1/A1 5.20 4/30/96 34,696,667
50,000 IBM Credit Corp. P1/A1+ 5.27 3/06/96 49,963,403
25,000 Merrill Lynch & Co., Inc. P1/A1+ 5.17 4/26/96 24,798,944
50,000 Morgan Stanley Group, Inc. P1/A1 5.32 4/22/96 49,615,778
20,000 NBD Bancorp., Inc. P1/A1+ 5.20 4/02/96 19,907,484
4,000 NationsBank, Corp. P1/A1+ 4.75 8/15/96 3,980,298
25,000 PNC Funding Corp. P1/A1+ 5.19 5/03/96 25,000,735
26,756 Southern California Gas Co. P1/A1+ 5.56 5/03/96 26,495,664
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (cost $554,799,305) 554,799,305
- ------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--12.3%
25,000 Federal Farm Credit Banks Aaa/AAA** 4.95 3/03/97 24,951,172
50,000 Federal National Mortgage Association* Aaa/AAA** 5.15 3/01/96 49,947,223
20,000 Federal National Mortgage Association* Aaa/AAA** 4.99 3/05/96 20,000,000
25,000 Federal National Mortgage Association* Aaa/AAA** 4.99 3/05/96 24,990,205
40,700 Student Loan Marketing Association* Aaa/AAA** 5.34 3/05/96 40,810,662
30,000 Student Loan Marketing Association* Aaa/AAA** 5.20 3/05/96 30,000,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATION NOTES (cost $190,699,262) 190,699,262
- ------------------------------------------------------------------------------------------------------------------------------
MASTER NOTES--9.7%
50,000 Anchor National Life Insurance Co. P1/A1+ 5.53 8/01/96 50,000,000
35,000 Bear Stearns Co., Inc. P1/A1+ 5.69 5/22/96 35,000,000
15,000 IBM Credit Corp. P1/A1+ 6.40 4/29/96 15,021,799
50,000 NationsBank, Dallas NA P1/A1+ 5.65 11/01/96 50,040,147
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL MASTER NOTES (cost $150,061,946) 150,061,946
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE> 102
PILOT SHORT-TERM DIVERSIFIED ASSETS FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--6.1%
$ 25,000 Dean Witter Discover Co. A2/A 5.00% 4/01/96 $ 24,981,383
23,000 Glaxo Welcome PLC A1/A 5.15 4/22/96 22,828,906
2,300 Phillip Morris Co., Inc. A3/A 8.75 12/01/96 2,360,954
45,000 USL Capital Corp. A1/A 6.02 10/31/96 45,037,422
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS (cost $95,208,665) 95,208,665
- ------------------------------------------------------------------------------------------------------------------------------
TIME DEPOSITS--11.6%
FOREIGN--8.4%
40,000 Bayerische Vereinsbank N/R 5.45 4/09/96 39,763,833
40,000 Banque Nationale De Paris A1 5.20 4/15/96 40,000,496
25,000 Societe Generale P1/A1+ 5.25 4/05/96 25,000,000
25,000 Toronto Dominion Bank P1/A1+ 5.44 4/29/96 25,000,000
--------------
129,764,329
--------------
DOMESTIC--3.2%
50,000 UBS Finance, Inc. P1/A1 5.45 3/01/96 50,000,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL TIME DEPOSITS (cost $179,764,329) 179,764,329
- ------------------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT--6.1%
20,000 Abbey National PLC London P1/A1+ 5.47 4/09/96 19,999,891
20,000 Royal Bank of Canada P1/A1+ 6.32 12/13/96 19,987,190
35,000 Societe Generale P1/A1+ 5.40 4/05/96 35,000,820
20,000 National Westminster Bank PLC P1/A1+ 5.50 3/12/96 20,000,121
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT (cost $94,988,022) 94,988,022
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
11
<PAGE> 103
PILOT SHORT-TERM DIVERSIFIED ASSETS FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Amortized
(000) Description Cost
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--20.0%
$ 50,000 Repurchase agreement with Lehman Brothers, dated $ 50,000,000
2/23/96, 5.22%, due 3/01/96
(See Footnote A)
15,683 Repurchase agreement with Lehman Brothers, dated 15,682,759
2/29/96, 5.43%, due 3/01/96
(See Footnote B)
101,411 Repurchase agreement with J. P. Morgan, dated 101,411,039
2/29/96, 5.42%, due 3/01/96
(See Footnote C)
118,223 Repurchase agreement with Merrill Lynch, dated 118,222,617
2/29/96, 5.43%, due 3/01/96
(See Footnote D)
25,000 Repurchase agreement with State Street Bank and 25,000,000
Trust, dated 2/29/96, 5.35%, due 3/01/96
(See Footnote E)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (cost $310,316,415) 310,316,415
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS--101.7% (cost $1,575,837,944) 1,575,837,944
LIABILITIES IN EXCESS OF OTHER ASSETS--(1.7%) (25,671,569)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS--100.0% $1,550,166,375
- ------------------------------------------------------------------------------------------------------------------------------
<FN>
* Variable rate security.
** Implied Rating.
Footnote A
Collateralized by $62,730,000 Federal National Mortgage Association Bonds,
0.00%, with maturity dates ranging from 12/1/22 through 7/1/24, with an
aggregate value of $51,001,639.
Footnote B
Collateralized by $13,205,000 and $2,590,000 U.S. Treasury Notes, 6.00% and
5.50%, with maturity dates of 8/31/97 and 9/30/97, respectively, with an
aggregate value of $15,996,457.
Footnote C
Collateralized by $104,945,000 U.S. Treasury Bills, with maturity date of
6/13/96, with a value of $103,443,237.
Footnote D
Collateralized by $211,512,452 U.S. Government Agency Securities, with
various coupon rates ranging from 0.0% to 7.5% and maturity dates ranging
from 3/01/00 to 2/01/31 with an aggregate value of $120,589,037.
Footnote E
Collateralized by $19,720,000 U.S. Treasury Bonds, 9.25%, with maturity date
of 2/15/16, with a value of $25,505,870.
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
12
<PAGE> 104
PILOT MISSOURI SHORT-TERM TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL SECURITIES--97.8%
COLORADO--0.5%
$ 250 Adams Arapahoe Counties School District 28 (Aa2)(NR) 10.00% 12/01/96 $ 260,015
1,065 Adams County School District (Aa2)(NR) 5.25 12/01/96 1,077,838
------------
1,337,853
------------
FLORIDA--1.9%
2,600 Manatee County PCR, Florida Power & Light
Co.* (A1/VMIG1)(AA-/A-1+) 3.45 9/01/24 2,600,000
1,000 Martin County PCR, Florida Power & Light Co.* (A1/VMIG1)(AA-/A-1+) 3.45 9/01/24 1,000,000
1,300 St. Lucie County PCR, Florida Power & Light
Co.* (A1/VMIG1)(AA-/A-1+) 3.45 1/01/26 1,300,000
------------
4,900,000
------------
GEORGIA--1.0%
1,000 Burke County Development Authority, PCR
Series 8* (A1/VMIG1)(A+/A-1) 3.45 10/01/24 1,000,000
1,600 Burke County Development Authority, PCR
Series 5* (A1/VMIG1)(A+/A-1) 3.45 9/01/25 1,600,000
------------
2,600,000
------------
KENTUCKY--0.4%
1,000 University of Louisville Revenue,
Consolidated Educational Building Series K (Aa2)(NR) 4.50 5/01/96 1,001,937
------------
MICHIGAN--0.4%
1,100 University of Michigan Revenue, Hospital
Series A* (NR)(NR) 3.45 12/01/27 1,100,000
------------
MINNESOTA--0.7%
1,700 Minneapolis, St. Paul Children's Health Care,
Series B* (A)(NR) 3.45 8/15/25 1,700,000
------------
MISSOURI--84.2%
5,000 Berkeley IDR Bonds, Wetterau Project* (Aa3)(NR) 3.30 9/01/04 5,000,000
5,000 Berkeley IDR Bonds, Flight Safety
International Inc. Project* (Aa2)(NR) 3.35 7/01/08 5,000,000
4,500 Columbia School District, TAN (MIG1)(NR) 4.00 4/01/96 4,502,047
10,800 Columbia Water & Electric Revenue Bonds,
Series B (LC-Toronto Dominion Bank)* (Aa2/VMIG1)(AA/A-1+) 3.15 12/01/15 10,800,000
450 Columbia (AA)(NR) 6.90 4/01/96 451,202
4,100 Columbia Special Obligation, (LC-Toronto
Dominion Bank) (AA)(NR) 3.15 6/01/08 4,100,000
2,900 Independence Water Utility Revenue Bonds
(LC-National Westminster)* (Aa2/VMIG1)(NR/NR) 3.20 3/05/96 2,900,000
5,350 Independence Water Utility Revenue Bonds
(LC-National Westminster)* (Aa2/VMIG1)(NR/NR) 3.65 3/07/96 5,350,000
1,000 Independence IDR, Resthaven Project* (AAA)(A-1+) 3.30 2/01/25 1,000,000
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
13
<PAGE> 105
PILOT MISSOURI SHORT-TERM TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
MISSOURI (continued)
$ 2,400 Kansas City IDR, Multi-Family Housing Revenue
Bonds, Timblane Village Apartments Project
(LC-Security Pacific National Bank)* (Aa3/VMIG1)(NR/NR) 3.30% 6/01/08 $ 2,400,000
4,000 Kansas City IDR Hosp.* (Aa3/VMIG1)(NR/NR) 3.13 12/31/08 4,000,000
445 Kansas City Municipal Assistance Corp.
Leasehold H ROE Bartle A (Aa3)(NR) 3.70 4/15/96 445,000
1,385 Kansas City School District Building, Capital
Improvement Project (Aa3)(NR) 3.65 2/01/97 1,387,471
810 Mexico IDR Bonds, Wetterau Inc. Project A* (Aa3)(NR) 3.35 12/01/98 810,000
815 Mexico IDR Bonds, Wetterau Inc. Project B* (Aa3)(NR) 3.35 12/01/98 815,000
11,100 Missouri Environment Improvement & Energy
Resources Authority, Environment
Improvement Revenue, Kansas City Power* (A2/VMIG1)(A-/A-1) 3.30 9/01/17 11,100,000
5,020 Missouri Environment Improvement & Energy
Resources Authority, PCR, Monsanto Co.
Project* (A1/P-1)(NR/NR) 3.20 6/01/23 5,020,000
6,795 Missouri Environment Improvement & Energy
Resources Authority, PCR (Aaa/P-1)(AAA/A-1+) 3.50 10/01/02 6,795,000
6,500 Missouri Environment Improvement & Energy
Resources Authority, PCR, Union Electric
Co. Project, Series A (LC-Union Bank of
Switzerland) (Aaa/P-1)(AAA/A-1+) 3.20 4/08/96 6,500,000
13,500 Missouri Environment Improvement & Energy
Resources Authority, PCR, Union Electric
Co. Project, Series B (LC-Westdeutsche
Landesbank) (Aa1/P-1)(AA+/A-1+) 3.80 3/07/96 13,500,000
3,600 Missouri Environment Improvement & Energy
Resources Authority, PCR, Kansas City Power (Aa1/P-1)(AA+/A-1+) 3.30 7/01/17 3,600,000
4,000 Missouri Health & Educational Facilities
Authority Revenue, Series A* (Aa1/VMIG1)(AA-/A-1+) 3.15 12/01/16 4,000,000
500 Missouri Health & Educational Facilities
Authority Revenue, Washington University,
Freeman Hospital Project (Aa/VMIG1)(AA-/A-1+) 7.30 9/01/96 519,851
5,000 Missouri Health & Educational Facilities
Authority, Educational Facilities Revenue,
Washington University Project* (Aa/VMIG1)(AA-/A-1+) 3.45 3/01/17 5,000,000
900 Missouri Health & Educational Facilities
Authority, Educational Facilities Revenue,
Washington University Project, Series C* (Aa/VMIG1)(AA-/A-1+) 3.35 9/01/30 900,000
4,800 Missouri Health & Educational Facilities
Authority, Educational Facilities Revenue,
Series B (Aa/VMIG1)(AA-/A-1+) 3.45 3/01/17 4,800,000
4,990 Missouri Health & Educational Facilities
Authority, Health Facilities Revenue,
Barnes, Hospital Project* (Aa1/VMIG1)(AAA/A-1+) 3.20 12/01/15 4,990,000
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
14
<PAGE> 106
PILOT MISSOURI SHORT-TERM TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
MISSOURI (continued)
$ 1,300 Missouri Health & Educational Facilities
Authority, Health Facilities Revenue,
Sisters Mercy Ref., A (Aa/VMIG1)(AA/A-1+) 3.60% 12/01/96 $ 1,300,000
8,600 Missouri Health & Educational Facilities
Authority, Health Facilities Revenue, SSM
Health Care, Series C (LC-Mitsubishi Ltd.) (Aa3/VMIG1)(NR/NR) 3.35 3/05/96 8,600,000
2,000 Missouri Health & Educational Facilities
Authority Revenue* (Aa3/VMIG1)(AA/A-1+) 3.20 11/01/19 2,000,000
2,500 Missouri Health & Educational Facilities
Authority, Health Facilities Revenue* (Aa3/VMIG1)(AA/A-1+) 3.20 12/01/19 2,500,000
5,800 Missouri Health & Educational Facilities
Authority Revenue, Series C* (Aa3/VMIG1)(AA/A-1+) 3.15 6/01/19 5,800,000
1,900 Missouri Health & Educational Facilities
Authority Revenue* (Aa3/VMIG1)(AA/A-1+) 3.15 6/01/19 1,900,000
5,200 Missouri Health & Educational Facilities
Authority Revenue* (Aa3/VMIG1)(AA/A-1+) 3.15 6/01/14 5,200,000
2,200 Missouri Health & Educational Facilities
Authority Revenue* (Aa3/VMIG1)(AA/A-1+) 3.45 9/01/09 2,200,000
1,000 Missouri Health & Educational Facilities
Authority Revenue, Louis University* (Aa3/VMIG1)(AA/A-1+) 3.55 12/20/98 1,000,000
2,800 Missouri Health & Educational Facilities
Authority Revenue* (Aa3/VMIG1)(AA/A-1+) 3.45 9/01/10 2,800,000
2,400 Missouri Health & Educational Facilities
Authority Revenue, Series B* (Aa3/VMIG1)(AA/A-1+) 3.45 9/01/10 2,400,000
3,000 Missouri Health & Educational Facilities
Authority Revenue* (Aa3/VMIG1)(AA/A-1+) 3.30 11/29/00 3,000,000
2,000 Missouri Health & Educational Facilities
Authority Revenue* (Aa3/VMIG1)(AA/A-1+) 3.30 11/01/25 2,000,000
2,000 Missouri Health & Educational Facilities
Authority Revenue, School District Notes,
Series C (Aa3/VMIG1)(AA/A-1+) 4.50 8/19/96 2,011,200
470 Missouri Health & Educational Facilities
Authority Revenue, School District Notes,
Series E (Aa3/VMIG1)(AA/A-1+) 4.50 8/01/96 471,107
1,000 Missouri Health & Educational Facilities
Authority Revenue, School District Notes,
Series E (Aa3/VMIG1)(AA/A-1+) 4.50 8/19/96 1,005,145
3,000 Missouri Health & Educational Facilities
Authority Revenue, School District Notes,
Series G (Aa3/VMIG1)(AA/A-1+) 4.50 8/19/96 3,018,692
3,000 Missouri Health & Educational Facilities
Authority Revenue, School District Notes,
Series H (Aa3/VMIG1)(AA/A-1+) 4.50 8/19/96 3,015,094
1,000 Missouri, GO (Aaa/P-1)(AAA/A-1+) 7.50 8/01/96 1,035,835
400 Missouri, GO* (Aaa/P-1)(AAA/A-1+) 7.40 8/01/03 417,086
1,100 Missouri Fourth State Building, Series A (Aaa/P-1)(AAA/A-1+) 8.00 4/01/96 1,104,065
600 Missouri Water Pollution Control, Series B (Aaa/P-1)(AAA/A-1+) 7.75 11/01/96 618,103
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
15
<PAGE> 107
PILOT MISSOURI SHORT-TERM TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
MISSOURI (continued)
$ 585 Missouri Water Pollution Control, Revolving
Fund PG, Series E (Aaa/P-1)(AAA/A-1+) 3.75% 7/01/96 $ 585,000
3,070 St. Charles County IDR, Casalon Apartments
Project* (Aa3)(NR) 3.25 9/01/25 3,070,000
8,000 St. Louis County IDR* (Aa3)(NR) 3.35 12/01/03 8,000,000
785 St. Louis County IDR, Rockwood School (Aa3)(NR) 7.30 2/01/97 814,280
4,000 St. Louis County IDR* (Aa3)(NR) 3.35 5/01/09 4,000,000
5,500 St. Louis Planned Industrial Expansion
Authority, Alumax Foils Project (LC-PNC
Bank)* (Aa3)(NR) 3.35 12/01/05 5,500,000
9,750 St. Louis TAN (MIG1)(Sp1+) 4.50 6/20/96 9,768,961
11,750 University of Missouri, Capital Projects
Notes, Series FY 1995-96 (MIG1)(Sp1+) 4.75 6/28/96 11,786,004
------------
212,606,143
------------
NEW MEXICO--0.4%
900 Farmington Utility Systems Revenue,
Prerefunded 5/15/96 @ 102 (FGIC Insured) (Aaa)(AAA) 9.63 5/15/96 928,252
------------
NEW YORK--1.6%
4,000 Municipal Water Finance Authority, Water &
Sewer Systems Revenue, Series A (FGIC
Insured)* (Aaa/VMIG1)(AAA/A-1+) 3.35 6/15/25 4,000,000
------------
NORTH CAROLINA--2.7%
4,100 Raleigh Durham Airport Authority, American
Airlines, Series A (Aaa/AAA) 3.45 11/01/15 4,100,000
2,600 Raleigh Durham Airport Authority, American
Airlines, Series B (Aaa/AAA) 3.45 11/01/15 2,600,000
------------
6,700,000
------------
PENNSYLVANIA--1.2%
1,000 Bethel Park School District (A1/A+) 6.75 2/01/97 1,031,137
1,000 Carnegie Mellon University, High Educational
Revenue* (Aaa/AAA) 3.45 11/01/27 1,000,000
1,000 State Turnpike Commission Revenue, Series L (Aaa/AAA) 5.80 12/01/96 1,018,523
------------
3,049,660
------------
TEXAS--2.8%
1,000 San Antonio, GO (Aaa/AAA) 5.10 8/01/96 1,006,807
6,000 Texas TAN, Series A (Aa/AA) 4.75 8/30/96 6,019,625
------------
7,026,432
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL SECURITIES (cost $246,950,277) 246,950,277
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
16
<PAGE> 108
PILOT MISSOURI SHORT-TERM TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Amortized
(000) Description Rate Date Cost
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
TAX-EXEMPT MONEY MARKET MUTUAL FUND--1.7%
$ 4,205 Federated Tax-Exempt Obligation Fund
(cost $4,205,000) 3.29% 1/24/00 $ 4,205,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS--99.5% (cost $251,155,277) 251,155,277
OTHER ASSETS IN EXCESS OF LIABILITIES--0.5% 1,390,844
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS--100.0% $252,546,121
- ------------------------------------------------------------------------------------------------------------------------------
<FN>
* Variable Rate Security.
FGIC -- Financial Guaranty Insurance Corporation.
GO -- General Obligation.
IDR -- Industrial Development Revenue.
LC -- Letter of Credit.
PCR -- Pollution Control Revenue.
TAN -- Tax Anticipation Notes.
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
17
<PAGE> 109
PILOT SHORT-TERM TAX-EXEMPT DIVERSIFIED FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
MUNICIPAL SECURITIES--100.3%
COLORADO--1.3%
$ 3,000 Colorado General Fund Revenue, TAN, Series A (NR/SP1+) 4.50% 6/27/96 $ 3,007,907
2,000 Lower Colorado River Authority* (NR/NR)(NR/NR) 3.25 4/08/96 2,000,000
------------
5,007,907
------------
CONNECTICUT--3.2%
12,300 Connecticut Special Assessment Unemployment
Compensation, Series B, (LC-Mitsubishi
Bank Ltd) (Aa3/VMIG1)(AA-/A-1+) 3.50 11/01/01 12,300,000
------------
DISTRICT OF COLUMBIA--3.6%
5,700 District of Columbia Revenue,
ACES-Georgetown University, Series C* (A1/NR)(A+/A-1+) 3.75 4/01/12 5,700,000
7,300 District of Colombia Revenue,
ACES-Georgetown University, Series D* (A1/NR)(A+/A-1+) 3.75 4/01/17 7,300,000
1,100 District of Colombia Revenue,
ACES-Georgetown University, Series E* (A1/NR)(A+/A-1+) 3.75 4/01/18 1,100,000
------------
14,100,000
------------
FLORIDA--6.3%
1,300 Manatee County PCR, Florida Power & Light
Co. Project (Aa/AA) 3.45 9/01/24 1,300,000
380 Putnam County Development Authority, PCR,
Florida Power & Light Co.* (A1/VMIG1)(AA-/A-1+) 3.45 9/01/24 380,000
7,900 St. Lucie County PCR, Florida Power & Light
Co. (NR/A-) 3.45 1/01/26 7,900,000
13,950 Sunshine State Government Finance Authority,
(LC-Union Bank of Switzerland & National
Westminster Bank)* (Aa2/VMIG1)(NR/NR) 3.25 3/27/96 13,950,000
800 Volusia County Health Facilities Authority,
Alliance Community* (LC-Rabobank
Nederland) (NR/NR)(AAA/A-1+) 3.40 9/01/20 800,000
------------
24,330,000
------------
GEORGIA--10.5%
7,000 Albany Dougherty Payroll, Development
Authority, PCR, Philip Morris Co., Inc.* (A2/P1)(A/A-1) 3.30 10/01/05 7,000,000
1,000 Burke County Development Authority, PCR,
Georgia Power Plant Project, 4th Series* (A1/VMIG1)(A+/A-1) 3.45 9/01/25 1,000,000
6,000 Cobb County Development Authority, PCR,
Georgia Power Co. Plant Project (LC-Trust
Co. Bank)* (A1/VMIG1)(NR/NR) 3.30 7/01/11 6,000,000
6,600 Fulco Hospital Authority Revenue, Piedmont
Hospital Project, (LC-Trust Co. Bank)* (NR/NR)(AA-/A-1+) 3.30 2/01/07 6,600,000
15,000 Municipal Electric Authority Revenue,
Project One, Series E* (A/A) 3.25 3/15/96 15,000,000
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
18
<PAGE> 110
PILOT SHORT-TERM TAX-EXEMPT DIVERSIFIED FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
GEORGIA (continued)
$ 2,000 Municipal Gas Authority Revenue, Southern
Portfolio I, Project D (A/A) 3.15% 5/23/96 $ 2,000,000
2,400 Georgia State, Series A (Aaa/AA+) 6.50 12/01/96 2,453,131
510 Walton County, School District (Aa1/AA+) 5.00 1/01/97 514,553
------------
40,567,684
------------
ILLINOIS--4.0%
3,350 Cook County (Aaa/AAA) 3.20 4/03/96 3,350,000
12,000 Illinois State, Revenue Anticipation
Certificates (MIG1/Sp1+) 4.50 5/10/96 12,015,635
------------
15,365,635
------------
INDIANA--2.3%
6,700 Indiana Health Facilities Finance Authority,
Hospital Revenue, ACES-Methodist Hospital,
Series B* (Aa/VMIG1)(AA-/A-1+) 3.15 9/01/22 6,700,000
2,000 Indianapolis Public Improvement Bond Bank (Aaa/AAA) 4.50 7/11/96 2,005,657
------------
8,705,657
------------
KANSAS--0.5%
2,000 Burlington Kansas PCR, Kansas City Power &
Light Project A, (LC-Toronto Dominion
Bank)* (NR/NR)(AA/A-1+) 3.10 3/05/96 2,000,000
------------
KENTUCKY--1.5%
5,900 Mason County PCR, Eastern Kentucky Power
Co.* (NR/NR)(AA-/A-1+) 3.30 10/15/14 5,900,000
------------
LOUISIANA--1.9%
3,050 Louisiana State GO, Series A, (LC-Credit
Local De France)* (Aaa/VMIG1)(AAA+/A-1+) 3.10 3/05/96 3,050,000
1,000 Louisiana State Offshore Term, Deepwater
Port Revenue 3.45 9/01/08 1,000,000
3,100 East Baton Rouge Parish PCR, Exxon Project* (Aaa/P1)(AAA/A-1+) 3.40 3/01/22 3,100,000
------------
7,150,000
------------
MARYLAND--0.9%
3,300 Anne Arundel County Port Facilities Revenue,
Baltimore Gas & Electric Co.* (A2/VMIG1)(A/A-1) 3.30 5/13/96 3,300,000
------------
MICHIGAN--9.5%
5,000 Grenada County Revenue, Georgia Pacific
Corp. Project, (LC-Sumitomo Bank, Ltd)* (A1/NR)(NR/NR) 3.30 12/01/14 5,000,000
8,000 Michigan (Aaa/AAA) 4.00 9/30/96 8,041,055
15,200 Michigan Underground, Var Series I
(LC-Canadian Imperial Bank)* (Aa3/VMIG1)(AA-/A-1+) 3.20 12/01/04 15,200,000
5,600 University of Michigan Revenue, Hospital,
Series A (Aa1/AA+) 3.45 12/01/27 5,600,000
2,700 University of Michigan Revenue, Medical
Services Plan, Series A (Aa1/AA+) 3.45 12/01/27 2,700,000
------------
36,541,055
------------
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
19
<PAGE> 111
PILOT SHORT-TERM TAX-EXEMPT DIVERSIFIED FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
MINNESOTA--0.8%
$ 3,000 Minnesota School District Tax & AID, TAN,
Series B** (Aa1/AA+) 3.25% 3/14/97 $ 3,021,780
------------
MISSOURI--25.0%
14,700 Kansas City Multi-Family Housing Revenue,
Timblane Village Apartments Project
(LC-Security Pacific National Bank)* (Aa3/VMIG1)(NR/NR) 3.30 6/01/08 14,700,000
10,975 Missouri Environment Improvement & Energy
Resources Authority, PCR, Union Electric
Co Project-Series B (LC-Westdeutsche
Landesbank)* (Aa1/P-1)(AA+/A-1+) 3.80 3/07/96 10,975,000
4,000 Missouri Environment Improvement & Energy
Resources Authority, PCR, Monsanto Co
Project* (A1/P-1)(NR/NR) 3.20 6/01/23 4,000,000
2,000 Missouri Environment Improvement & Energy
Resources Authority, PCR, Kansas City
Power & Light* (A2/VMIG1)(A-/A-1) 3.30 7/01/17 2,000,000
800 Missouri Environment Improvement & Energy
Resources Authority, PCR, Kansas City
Power & Light* (A2/VMIG1)(A-/A-1) 3.30 9/01/17 800,000
2,000 Missouri Environment Improvement & Energy
Resources Authority, Series B (A2/VMIG1)(A-/A-1) 3.15 5/16/96 2,000,000
3,000 Missouri Environment Improvement & Energy
Resources Authority, PCR (A2/VMIG1)(A-/A-1) 3.50 10/01/20 3,000,000
6,500 Missouri Health & Educational Facilities
Authority, Educational Facilities Revenue,
Sisters Mercy Health, Series B (SPA-Amro
Bank)* (Aa/VMIG1)(AA-/A-1+) 3.45 3/01/17 6,500,000
5,800 Missouri Health & Educational Facilities
Authority, Educational Facilities Revenue,
Washington University Project, Series B* (Aa/VMIG1)(AA-/A-1+) 3.45 3/01/17 5,800,000
4,000 Missouri Health & Educational Facilities
Authority, Educational Facilities Revenue,
ACES-SSM Health Care Project, Series A
(LC-Industrial Bank of Japan)* (A1/VMIG1)(NR/NR) 3.20 11/01/19 4,000,000
9,600 Missouri Health & Educational Facilities
Authority, Educational Facilities Revenue,
Christian Health Services, Series B
(LC-Morgan Guaranty Trust)* (NR/NR)(AA-/A-1+) 3.15 6/01/19 9,600,000
6,100 Missouri Health & Educational Facilities (Aaa/AAA) 3.15 6/01/19 6,100,000
1,600 Missouri Health & Educational Facilities (Aaa/AAA) 3.35 6/01/06 1,600,000
3,000 Missouri Health & Educational Facilities (Aaa/AAA) 3.45 9/01/10 3,000,000
10,500 Missouri Health & Educational Facilities,
Barnes Hospital Project (Aaa/AAA) 3.20 12/01/15 10,500,000
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
20
<PAGE> 112
PILOT SHORT-TERM TAX-EXEMPT DIVERSIFIED FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
MISSOURI (continued)
$ 1,000 St. Louis Industrial Development Authority* (NR/NR)(NR/NR) 3.35% 5/01/09 $ 1,000,000
2,800 St. Louis, Tax & Revenue, Anticipated notes (Aa1/NR) 4.50 6/20/96 2,808,995
8,000 University of Missouri Capital Project
Notes, Series FY 1995-96 (MIG1/Sp1+) 4.75% 6/28/96 8,023,135
------------
96,407,130
------------
MONTANA--3.2%
10,800 Montana State Board of Investments, Payroll
Tax Workers Compensation* (A/VMIG1)(NR/NR) 3.35 6/01/20 10,800,000
1,400 Montana Health Facilities Authority Revenue,
Healthcare Pooled Loan Project, Series A
(FGIC Insured)* (Aaa/VMIG1)(AAA/A-1+) 3.25 12/01/15 1,400,000
------------
12,200,000
------------
NEW YORK--1.4%
5,300 New York City Municipal Water Financing
Authority, Water & Sewer System Revenue,
Series A (FGIC Insured)* (Aaa/VMIG1)(AAA/A-1+) 3.35 6/15/25 5,300,000
------------
NORTH CAROLINA--3.6%
5,400 Raleigh Durham Airport Authority, American
Airline, Series A (Aaa/AAA) 3.45 11/01/15 5,400,000
5,200 Raleigh Durham Airport Authority, American
Airline, Series B (Aaa/AAA) 3.45 11/01/05 5,200,000
3,200 Raleigh Durham Airport Authority, American
Airline, Series B (Aaa/AAA) 3.45 11/01/15 3,200,000
------------
13,800,000
------------
OHIO--0.4%
1,500 Ohio, Series S (Aaa/AAA) 3.75 5/15/96 1,501,189
------------
RHODE ISLAND--0.8%
3,000 Rhode Island TAN, (LC-Union Bank of
Switzerland) (MIG1/Sp1+) 4.50 6/28/96 3,007,969
------------
SOUTH CAROLINA--0.5%
2,100 York County PCR, Electric Project NRU-84N-1* (Aa3/MIG1)(AA-/A-1) 3.30 9/15/14 2,100,000
------------
TEXAS--12.0%
2,500 Fort Worth* (NR/NR)(NR/NR) 3.30 5/15/96 2,500,000
3,400 Harris County Health Facilities Development
Corp., Hospital Revenue, St. Lukes
Episcopal, Series C, (SPA-Morgan Guaranty
Trust)* (NR/NR)(AA/A-1+) 3.45 2/15/16 3,400,000
5,700 Harris County Health Facilities Development
Corp., Hospital Revenue, St. Lukes
Episcopal, Series D, (SPA-Morgan Guaranty
Trust)* (NR/NR)(AA/A-1+) 3.45 2/15/16 5,700,000
3,700 Harris County Health Facilities Development
Corp., Hospital Revenue, Texas Children,
Series B2, (SPA-NationsBank of Texas)* (Aa/VMIG1)(NR/NR) 3.30 10/01/19 3,700,000
335 Lewisville Water & Sewer Revenue 8.05 2/15/97 348,910
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
21
<PAGE> 113
PILOT SHORT-TERM TAX-EXEMPT DIVERSIFIED FUND
- --------------------------------------------------------------------------------
Portfolio of Investments (continued)
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Moody's/S&P
Amount Ratings Maturity Amortized
(000) Description (Unaudited) Rate Date Cost
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
TEXAS (continued)
$ 6,100 San Antonio Electric & Gas System (NR/NR)(NR/NR) 3.80% 3/14/96 $ 6,100,000
1,000 Texas, Series A (P-1/A-1+) 6.00 10/01/96 1,012,514
20,000 Texas TAN, Series A (MIG1/Sp1+) 4.75 8/30/96 20,064,600
2,230 Travis County, CTFS Obligation, Series B (Aa1/AA) 6.85 3/01/96 2,230,000
1,300 Trinity River Authority (Aa1/AA) 7.50 8/01/96 1,321,241
------------
46,377,265
------------
WASHINGTON--3.8%
5,300 Washington Public Power Supply System,
Nuclear Project No. 3, Series 3A-1
(LC-Bank of America)* (Aa3/VMIG1)(A+/A-1) 3.20 7/01/18 5,300,000
7,500 Washington Public Power Supply System,
Nuclear Project No. 3, Series 3A-2,
(LC-Industrial Bank of Japan Ltd.)* (A1/VMIG1)(A+/A-1) 3.20 7/01/18 7,500,000
2,000 Washington Refunded Motor Vehicle Fuel,
Series R 93C (Aa/AA) 3.85 9/01/96 2,001,905
------------
14,801,905
------------
WISCONSIN--3.0%
5,000 Milwaukee Revenue, School Order Note, Series
B (MIG1/Sp1+) 4.50 8/22/96 5,011,414
5,000 Milwaukee Revenue, School Order Note, Series
B (MIG1/Sp1+) 4.75 8/22/96 5,018,296
1,565 Wisconsin, Series 1 (Aa/AA) 4.00 5/01/96 1,567,066
------------
11,596,776
------------
WYOMING--0.3%
1,000 Lincoln County PCR, Exxon Project B (Aa/AA) 3.35 11/01/14 1,000,000
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL SECURITIES--100.3% (cost $386,381,952) 386,381,952
- -----------------------------------------------------------------------------------------------------------------------------
TAX-EXEMPT MONEY MARKET FUND--0.4%
1,787 Federated Tax-Exempt Obligation Fund
(cost $1,787,070) 1,787,070
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS--100.7% (cost $388,169,022) 388,169,022
LIABILITIES IN EXCESS OF OTHER ASSETS--(0.7%) (2,850,829)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS--100.0% $385,318,193
- -----------------------------------------------------------------------------------------------------------------------------
<FN>
* Variable rate security.
** Represents security purchased on a when-issued basis.
ACES -- Adjustable Convertible Extendible Securities.
FGIC -- Financial Guaranty Insurance Company.
GO -- General Obligation.
LC -- Letter of credit.
MBIA -- Municipal Bond Insurance Association.
PCR -- Pollution Control Revenue.
TAN -- Tax Anticipation Notes.
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
22
<PAGE> 114
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MISSOURI SHORT-TERM
SHORT-TERM SHORT-TERM SHORT-TERM TAX-EXEMPT
U.S. TREASURY DIVERSIFIED TAX-EXEMPT DIVERSIFIED
FUND ASSETS FUND FUND FUND
-------------- -------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investment in securities, at amortized cost............. $ 758,321,204 $1,265,521,529 $ 251,155,277 $ 388,169,022
Repurchase agreements, at cost.......................... 1,026,087,704 310,316,415 -- --
Receivable from brokers for investments sold............ 188,274,202 -- -- --
Cash.................................................... -- 697,353 196 --
Interest receivable..................................... 6,023,544 5,242,638 2,009,481 2,696,057
Deferred organization costs and other assets............ 245,190 125,372 35,085 115,654
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS............................................ 1,978,951,844 1,581,903,307 253,200,039 390,980,733
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Advisory fees payable................................... 164,078 144,619 38,633 48,108
Administration fees payable............................. 154,126 138,859 21,299 33,618
Service fees payable (Pilot Administration Shares)...... 37,372 43,124 2,405 2,921
Service fees payable (Pilot Investor Shares)............ 60,334 15,660 4,696 13
Payable to brokers for investments purchased............ 50,774,966 24,951,172 -- 4,592,324
Dividends payable....................................... 6,983,740 6,201,977 564,054 912,389
Other accrued expenses.................................. 81,682 241,521, 22,831 73,167
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES....................................... 58,256,298 31,736,932 653,918 5,662,540
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS.............................................. $1,920,695,546 $1,550,166,375 $ 252,546,121 $ 385,318,193
- -----------------------------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING ($0.001 PAR VALUE, UNLIMITED NUMBER
OF SHARES AUTHORIZED):
Pilot Shares............................................ 1,577,003,353 1,276,305,999 224,437,605 370,729,073
Pilot Administration Shares............................. 191,908,233 235,407,954 15,495,466 14,590,295
Pilot Investor Shares................................... 151,978,421 38,326,681 12,630,338 5,170
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL SHARES OUTSTANDING................................ 1,920,890,007 1,550,040,634 252,563,409 385,324,538
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering Price and Redemption Price per
Share................................................. $1.00 $1.00 $1.00 $1.00
- -----------------------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Shares of beneficial interest, at par................... $ 1,920,890 $ 1,550,041 $ 252,563 $ 385,325
Additional paid-in capital.............................. 1,918,969,117 1,548,490,593 252,310,846 384,939,213
Accumulated undistributed net realized gains (losses)
from investment transactions.......................... (194,461) 125,741 (17,288) (6,345)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, FEBRUARY 29, 1996........................... $1,920,695,546 $1,550,166,375 $ 252,546,121 $ 385,318,193
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
23
<PAGE> 115
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Operations
For the six months ended February 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT-TERM MISSOURI SHORT-TERM
U.S. SHORT-TERM SHORT-TERM TAX-EXEMPT
TREASURY DIVERSIFIED TAX-EXEMPT DIVERSIFIED
FUND ASSETS FUND FUND FUND
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.............................................. $ 47,925,791 $ 41,300,313 $ 4,355,555 $ 7,478,561
- -------------------------------------------------------------------------------------------------------------------
EXPENSES
Advisory fees......................................... 1,272,398 1,074,170 232,888 397,230
Administration fees................................... 936,607 790,676 128,573 219,288
Administration Service Fees (Pilot Administration
Shares)............................................. 272,386 285,592 9,122 17,262
Investor Service Fees (Pilot Investor Shares)......... 369,338 96,514 28,064 13
Audit fees............................................ 30,583 19,304 31,940 29,478
Transfer agent fees and expenses...................... 1,236 4,896 1,530 720
Custodian fees and expenses........................... 76,440 81,572 53,384 18,995
Reports to shareholders............................... 40,384 37,946 5,146 10,589
Registration fees..................................... 77,578 34,216 15,756 19,233
Amortization of organization expenses................. 4,388 17,293 21,069 7,099
Legal fees............................................ 31,850 53,152 6,146 7,824
Trustees' fees........................................ 12,066 18,243 2,052 3,017
Other expenses........................................ 27,702 9,466 3,144 89,084
- -------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES........................................ 3,152,956 2,523,040 538,814 819,832
- -------------------------------------------------------------------------------------------------------------------
Less fee waived by adviser............................ (370,613) (310,996) -- (87,762)
- -------------------------------------------------------------------------------------------------------------------
NET EXPENSES.......................................... 2,782,343 2,212,044 538,814 732,070
- -------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME................................. 45,143,448 39,088,269 3,816,741 6,746,491
- -------------------------------------------------------------------------------------------------------------------
NET REALIZED GAINS (LOSSES) FROM INVESTMENT
TRANSACTIONS........................................ (47,505) 47,091 19,842 21,157
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... $ 45,095,943 $ 39,135,360 $ 3,836,583 $ 6,767,648
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
24
<PAGE> 116
[THIS PAGE INTENTIONALLY LEFT BLANK]
25
<PAGE> 117
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT-TERM SHORT-TERM
U.S. TREASURY FUND DIVERSIFIED ASSETS FUND
---------------------------------- ----------------------------------
FOR THE FOR THE
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
FEBRUARY 29, YEAR ENDED FEBRUARY 29, YEAR ENDED
1996 AUGUST 31, 1995 1996 AUGUST 31, 1995
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income......................... $ 45,143,448 $ 64,324,193 $ 39,088,269 $ 72,518,156
Net realized gains (losses) from investment
transactions................................ (47,505) (99,326) 47,091 (126,776)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from
operations...................................... 45,095,943 64,224,867 39,135,360 72,391,380
- -----------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net investment
income:
Pilot Shares.................................. (35,911,213) (50,061,109) (32,105,902) (56,135,624)
Pilot Administration Shares................... (5,617,920) (7,236,770) (6,015,952) (14,769,836)
Pilot Investor Shares......................... (3,614,321) (7,049,513) (966,415) (1,730,773)
- -----------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders from net
investment income............................... (45,143,454) (64,347,392) (39,088,269) (72,636,233)
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio share transactions:
Proceeds from shares issued................... 5,034,259,007 7,633,890,413 2,780,364,572 6,079,682,781
Dividends reinvested.......................... 8,898,701 12,508,935 6,406,322 13,612,333
Cost of shares redeemed....................... (4,660,528,506) (7,206,228,934) (2,558,911,454) (5,969,699,418)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
Portfolio share transactions.................... 382,629,202 440,170,414 227,859,440 123,595,696
- -----------------------------------------------------------------------------------------------------------------------------
Total increase (decrease)......................... 382,581,691 440,047,889 227,906,531 123,350,843
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period............................... 1,538,113,855 1,098,065,966 1,322,259,844 1,198,909,001
- -----------------------------------------------------------------------------------------------------------------------------
End of period..................................... $ 1,920,695,546 $ 1,538,113,855 $ 1,550,166,375 $ 1,322,259,844
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
26
<PAGE> 118
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MISSOURI SHORT-TERM SHORT-TERM
TAX-EXEMPT FUND TAX-EXEMPT DIVERSIFIED FUND
--------------------------------------- ---------------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, 1995 FEBRUARY 29, 1996 AUGUST 31, 1995
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
$ 3,816,741 $ 8,685,370 $ 6,746,491 $ 14,249,567
19,842 (26,998) 21,157 (17,838)
- ---------------------------------------------------------------------------------------
3,836,583 8,658,372 6,767,648 14,231,729
- ---------------------------------------------------------------------------------------
(3,548,499) (8,297,281) (6,532,951) (13,962,657)
(110,647) (89,381) (213,467) (287,100)
(157,595) (299,924) (73) (98)
- ---------------------------------------------------------------------------------------
(3,816,741) (8,686,586) (6,746,491) (14,249,855)
- ---------------------------------------------------------------------------------------
274,481,908 1,021,732,285 229,607,249 601,226,465
1,049,411 2,892,628 213,294 262,723
(249,615,627) (1,047,146,227) (256,754,361) (580,327,778)
- ---------------------------------------------------------------------------------------
25,915,692 (22,521,314) (26,933,818) 21,161,410
- ---------------------------------------------------------------------------------------
25,935,534 (22,549,528) (26,912,661) 21,143,284
- ---------------------------------------------------------------------------------------
226,610,587 249,160,115 412,230,854 391,087,570
- ---------------------------------------------------------------------------------------
$ 252,546,121 $ 226,610,587 $ 385,318,193 $ 412,230,854
- ---------------------------------------------------------------------------------------
</TABLE>
27
<PAGE> 119
[THIS PAGE INTENTIONALLY LEFT BLANK]
28
<PAGE> 120
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
1. GENERAL
The Pilot Short-Term U.S. Treasury Fund, the Pilot Short-Term Diversified Assets
Fund, the Pilot Missouri Short-Term Tax-Exempt Fund, and the Pilot Short-Term
Tax-Exempt Diversified Fund are separate money market portfolios (individually,
a "Portfolio"; collectively, the "Portfolios") of The Pilot Funds (the "Fund").
The Fund is a Massachusetts business trust registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. All of the Portfolios are diversified except for the
Missouri Short-Term Tax-Exempt Fund. Shares of the Fund are offered exclusively
to customers of Boatmen's Trust Company ("Boatmen's"), its affiliates and to
customers of other participating service organizations. The Fund currently
offers twelve portfolios. The accompanying financial statements are those of the
four Portfolios only.
The Short-Term U.S. Treasury Fund and Short-Term Diversified Assets Fund seek to
maximize current income to the extent consistent with the preservation of
capital and the maintenance of liquidity by investing exclusively in
high-quality money market instruments. The Missouri Short-Term Tax-Exempt Fund
and Short-Term Tax-Exempt Diversified Fund seek as high a level of current
income which is exempt from federal income tax as is consistent with the
preservation of capital.
The Portfolios each offer three classes of shares: Pilot Shares, Pilot
Administration Shares and Pilot Investor Shares. Each class of shares is
substantially the same, except that Pilot Administration Shares bear the fees
payable under the Portfolios' Administration Plan, and Pilot Investor Shares
bear the fees payable under the Portfolios' Service Plan.
Boatmen's serves as the Fund's investment adviser. Concord Holding Corporation
("Concord") serves as the Fund's administrator and Pilot Funds Distributor Inc.
(the "Distributor"), a wholly-owned subsidiary of Concord, serves as the
distributor of the Fund's shares. Concord is a wholly-owned subsidiary of The
BISYS Group, Inc.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolios in the preparation of the financial statements. The
policies are in conformity with generally accepted accounting principles. The
preparation of financial statements requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and expenses
for the period. Actual results could differ from those estimates.
A. Investment Valuation
The Portfolios use the amortized cost method for valuing portfolio securities.
Under this method, all investments purchased at a discount or premium are valued
by amortizing the difference between the original purchase price and maturity
value of the issue over the period to maturity. In addition, the Portfolios may
not (a) purchase any instrument with a remaining maturity greater than thirteen
months unless such instrument is subject to a demand feature, or (b) maintain a
dollar-weighted-average maturity which exceeds 90 days.
B. Securities Transactions and Investment Income
Securities transactions are recorded on a trade date basis. Interest income is
determined on the basis of interest accrued, premium amortized and discount
accreted.
The investment income of each Portfolio is allocated to the separate classes of
shares based upon their relative net asset values.
- ----------------------------------------------------------
- ----------------------------------------------------------
29
<PAGE> 121
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
C. Repurchase Agreements
The custodian for the Portfolios and other banks acting in a subcustodian
capacity take possession of the collateral pledged for investments in repurchase
agreements. The underlying collateral is valued daily on a mark-to-market basis
to determine that the value, including accrued interest, is not less than 102%
of the repurchase price, including accrued interest. In the event of the
seller's default of the obligation to repurchase, the Portfolios have the right
to liquidate the collateral and apply the proceeds in satisfaction of the
obligation. Under certain circumstances, in the event of default or bankruptcy
by the other party to the agreement, realization and/or retention of the
collateral may be subject to legal proceedings.
D. Dividends to Shareholders
Dividends are declared daily to shareholders of record at the close of business
on the day of declaration and paid monthly. Distributions of net realized gains,
if any, will be paid at least annually. However, to the extent that net realized
gains of a Portfolio can be offset by capital loss carryovers, such gains will
not be distributed. Dividends and distributions are recorded by the Portfolios
on the ex-dividend date.
E. Federal Taxes
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute each
year substantially all of its investment company taxable and tax-exempt income
to its shareholders. Accordingly, no federal tax provisions are required.
Amortized cost of investments is substantially the same for federal income tax
purposes and financial reporting purposes.
F. Organizational Expenses
Costs incurred by the Fund in connection with its organization and registration
of shares have been deferred and are amortized using the straight-line method
over a period not to exceed five years from the commencement of the public
offering of shares of the Portfolios.
G. Expenses
Expenses incurred by the Fund that do not specifically relate to an individual
portfolio are allocated to the portfolios based on each portfolio's relative net
assets.
The expenses (other than expenses incurred under the Administration and Service
Plans) of each Portfolio are allocated to the separate classes of shares based
upon their relative net asset values.
3. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
A. Advisory Agreements
Boatmen's is the investment adviser for each Portfolio pursuant to separate
Investment Advisory Agreements and is responsible for managing the investment
operations of the Portfolios. For its services, Boatmen's is entitled to a fee,
accrued daily and paid monthly, at an annual rate equal to 0.15% of the average
daily net assets of each of the Short-Term U.S. Treasury Fund and the Short-Term
Diversified Assets Fund and 0.20% of the average daily net assets of each of the
Missouri Short-Term Tax-Exempt Fund and the Short-Term Tax-Exempt Diversified
Fund.
Boatmen's currently intends to waive voluntarily 0.05% from its contractual fee
rates for the Short-Term U.S. Treasury Fund, the Short-Term Diversified Assets
Fund, and the Short-Term Tax-Exempt Diversified Assets Fund, based on each
Portfolios average daily net assets on an annualized basis, for each such
Portfolio for the period
- ----------------------------------------------------------
- ----------------------------------------------------------
30
<PAGE> 122
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
July 1, 1995 until January 1, 1996, and 0.03% from its contractual fee rates,
based on each Portfolios average daily net assets on an annualized basis, for
the period January 1, 1996 until July 1, 1996. For the six months ended February
29, 1996 Boatmen's waived fees in the following amounts:
<TABLE>
<S> <C>
Short-Term U.S. Treasury Fund................... $ 370,613
Short-Term Diversified Assets Fund.............. 310,996
Short-Term Tax-Exempt Diversified Fund.......... 87,762
</TABLE>
B. Administration Agreement
The Portfolios have entered into an Administration Agreement with Concord.
Pursuant to the terms of this agreement, Concord is responsible for assisting in
all aspects of the operations of each of the Portfolios. For its services,
Concord is entitled to a fee, accrued daily and paid monthly, at an annual rate
of 0.115% of the first $1.5 billion of the aggregate average daily net assets of
all of the portfolios constituting the Fund, plus 0.11% of the next $1.5 billion
of such net assets, plus 0.1075% of such net assets in excess of $3.0 billion.
C. Transfer Agent Agreement
Concord Financial Services ("CFS"), a wholly-owned subsidiary of Concord, is the
transfer agent for the Portfolios. CFS does not receive a fee for the transfer
agent services it provides.
D. Administration and Investor Plans
The Fund has adopted Administration and Investor Plans which allow for Pilot
Administration Shares and Pilot Investor Shares, respectively, to compensate
service organizations, which may include Boatmen's, Concord and their affiliates
for providing varying levels of account administration and shareholder liaison
services to customers who are beneficial owners of such shares. The
Administration and Investor Plans provide for compensation to the service
organizations in an amount up to 0.25% and 0.50% (on an annualized basis),
respectively, of the average daily net asset value of the respective shares.
During the six months ended February 29, 1996, affiliates of the Fund received
the following fees pursuant to the Administration and Investor Plans:
<TABLE>
<CAPTION>
ADMINISTRATION INVESTOR
FUND PLAN PLAN
- --------------------------------- -------------- --------
<S> <C> <C>
Short-Term U.S. Treasury Fund.... $272,386 $369,338
Short-Term Diversified Assets
Fund........................... 285,592 96,514
Missouri Short-Term Tax-Exempt
Fund........................... 9,122 28,064
Short-Term Tax-Exempt Diversified
Fund........................... 17,262 13
</TABLE>
E. Distribution Agreement
The Distributor does not receive a fee under its Distribution Agreement.
- ----------------------------------------------------------
- ----------------------------------------------------------
31
<PAGE> 123
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
4. CAPITAL SHARE TRANSACTIONS
Transactions in shares of the
Portfolios are as follows (000 omitted)
(at $1.00 per share):
PILOT SHORT-TERM U.S. TREASURY FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
FEBRUARY 29, AUGUST 31,
1996 1995
------------ ----------
<S> <C> <C>
Pilot Shares:
Proceeds from shares
issued.................... 1,735,613 2,313,451
Dividends reinvested........ 88 151
Cost of shares redeemed..... (1,350,254) (1,965,257)
-------- --------
Change in net assets from Pilot
share transactions............ 385,447 348,345
======== ========
Pilot Administration Shares:
Proceeds from shares
issued.................... 2,071,048 2,834,858
Dividends reinvested........ 5,187 5,415
Cost of shares redeemed..... (2,099,939) (2,723,506)
-------- --------
Change in net assets from Pilot
Administration share
transactions.................. (23,704) 116,767
======== ========
Pilot Investor Shares:
Proceeds from shares
issued.................... 1,227,597 2,485,581
Dividends reinvested........ 3,624 6,943
Cost of shares redeemed..... (1,210,335) (2,517,466)
-------- --------
Change in net assets from Pilot
Investor share transactions... 20,886 (24,942)
======== ========
</TABLE>
PILOT SHORT-TERM DIVERSIFIED ASSETS FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
FEBRUARY 29, AUGUST 31,
1996 1995
------------ ----------
<S> <C> <C>
Pilot Shares:
Proceeds from shares issued... 914,972 1,554,497
Dividends reinvested.......... 26 152
Cost of shares redeemed....... (695,258) (1,355,685)
-------- --------
Change in net assets from Pilot
share transactions.............. 219,740 198,964
======== ========
Pilot Administration Shares:
Proceeds from shares issued... 1,554,386 3,925,718
Dividends reinvested.......... 5,425 11,755
Cost of shares redeemed....... (1,556,073) (4,008,968)
-------- --------
Change in net assets from Pilot
Administration share
transactions.................... 3,738 (71,495)
======== ========
Pilot Investor Shares:
Proceeds from shares issued... 311,005 599,468
Dividends reinvested.......... 956 1,705
Cost of shares redeemed....... (307,580) (605,046)
-------- --------
Change in net assets from Pilot
Investor share transactions..... 4,381 (3,873)
======== ========
</TABLE>
- ----------------------------------------------------------
- ----------------------------------------------------------
32
<PAGE> 124
THE PILOT FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
February 29, 1996
- ----------------------------------------------------------
- ----------------------------------------------------------
PILOT MISSOURI SHORT-TERM TAX-EXEMPT FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
FEBRUARY 29, AUGUST 31,
1996 1995
------------ ----------
<S> <C> <C>
Pilot Shares:
Proceeds from shares issued.... 190,129 839,422
Dividends reinvested........... 791 2,540
Cost of shares redeemed........ (177,350) (870,898)
-------- --------
Change in net assets from Pilot
share transactions............... 13,570 (28,936)
======== ========
Pilot Administration Shares:
Proceeds from shares issued.... 46,172 62,333
Dividends reinvested........... 97 69
Cost of shares redeemed........ (35,330) (57,846)
-------- --------
Change in net assets from Pilot
Administration share
transactions..................... 10,939 4,556
======== ========
Pilot Investor Shares:
Proceeds from shares issued.... 38,180 119,978
Dividends reinvested........... 162 283
Cost of shares redeemed........ (36,936) (118,402)
-------- --------
Change in net assets from Pilot
Investor share transactions...... 1,406 1,859
======== ========
</TABLE>
PILOT SHORT-TERM TAX-EXEMPT DIVERSIFIED FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
FEBRUARY 29, AUGUST 31,
1996 1995
------------ ----------
<S> <C> <C>
Pilot Shares:
Proceeds from shares issued.... 224,105 504,042
Dividends reinvested........... -- --
Cost of shares redeemed........ (251,186) (494,289)
-------- --------
Change in net assets from Pilot
share transactions............... (27,081) 9,753
======== ========
Pilot Administration Shares:
Proceeds from shares issued.... 5,502 97,179
Dividends reinvested........... 213 263
Cost of shares redeemed........ (5,568) (86,039)
-------- --------
Change in net assets from Pilot
Administration share
transactions..................... 147 11,403
======== ========
Pilot Investor Shares*:
Proceeds from shares issued.... -- 5
Dividends reinvested........... -- --
Cost of shares redeemed........ -- --
-------- --------
Change in net assets from Pilot
Investor share
transactions................. -- 5
======== ========
<FN>
* The Short-Term Tax-Exempt Diversified Fund Pilot Investor Shares commenced
offering January of 1995.
- ----------------------------------------------------------
- ----------------------------------------------------------
</TABLE>
33
<PAGE> 125
PILOT SHORT-TERM U.S. TREASURY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED FEBRUARY 29, 1996 YEAR ENDED AUGUST 31, 1995
---------------------------------------- ----------------------------------------
PILOT ADMINISTRATION INVESTOR PILOT ADMINISTRATION INVESTOR
SHARES SHARES SHARES SHARES SHARES SHARES
---------- -------------- -------- ---------- -------------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period........ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- -------- -------- ---------- -------- --------
Investment Activities
Net investment income................... 0.0269 0.0256 0.0244 0.0534 0.0509 0.0484
Net realized gains from investment
transactions.......................... -- -- -- -- -- --
---------- -------- -------- ---------- -------- --------
Total from Investment Activities........ 0.0269 0.0256 0.0244 0.0534 0.0509 0.0484
Distributions to shareholders............... (0.0269) (0.0256) (0.0244) (0.0534) (0.0509) (0.0484)
---------- -------- -------- ---------- -------- --------
Net Asset Value, End of Period.............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ======== ======== ========== ======== ========
Total Return(c)............................. 2.72% 2.59% 2.46% 5.47% 5.21% 4.94%
Ratios/Supplemental Data:
Net Assets at end of period (000)....... $1,576,844 $191,889 $151,963 $1,191,447 $215,593 $131,074
Ratio of expenses to average net
assets(d)............................. 0.25%(e) 0.50%(e) 0.75%(e) 0.23% 0.48% 0.73%
Ratio of net investment income
to average net assets(d).............. 5.42%(e) 5.17%(e) 4.92%(e) 5.36% 5.12% 4.82%
Ratio of expenses to average net
assets assuming no waiver or expense
reimbursement(d)...................... 0.29%(e) 0.54%(e) 0.79%(e) 0.24% 0.49% 0.74%
Ratio of net investment income to
average net assets assuming no waiver
or
expense reimbursement(d).............. 5.38%(e) 5.13%(e) 4.88%(e) 5.35% 5.11% 4.81%
<FN>
- ---------------
(a) Pilot Investor Shares commenced offering during July 1992.
(b) Prior to June 1, 1994, Goldman Sachs Asset Management served the Portfolio
as investment adviser.
(c) Total return would have been lower had certain expenses not been reduced
during the periods presented and is not annualized.
(d) Does not reflect the fee which may be charged by Boatmen's directly to its
customers' accounts at an annual rate not to exceed 0.25% of the average
daily balance of Pilot Shares in the customers' accounts.
(e) Annualized.
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
34
<PAGE> 126
PILOT SHORT-TERM U.S. TREASURY FUND
- --------------------------------------------------------------------------------
Financial Highlights (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31, 1994(b) YEAR ENDED AUGUST 31, 1993(b) YEAR ENDED AUGUST 31, 1992(b)
-------------------------------------- -------------------------------------- --------------------------------------
PILOT ADMINISTRATION INVESTOR PILOT ADMINISTRATION INVESTOR PILOT ADMINISTRATION INVESTOR
SHARES SHARES SHARES SHARES SHARES SHARES SHARES SHARES SHARES(A)
-------- -------------- -------- -------- -------------- -------- -------- -------------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- ------- -------- -------- ------- -------- -------- ------- --------
0.0334 0.0309 0.0284 0.0294 0.0269 0.0244 0.0400 0.0362 0.0048
0.0002 0.0002 0.0002 0.0006 0.0006 0.0007 0.0014 0.0014 0.0002
-------- ------- -------- -------- ------- -------- -------- ------- --------
0.0336 0.0311 0.0286 0.0300 0.0275 0.0251 0.0414 0.0376 0.0050
(0.0336) (0.0311) (0.0286) (0.0300) (0.0275) (0.0250) (0.0414) (0.0378) (0.0050)
-------- ------- -------- -------- ------- -------- -------- ------- --------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======= ======== ======== ======= ======== ======== ======= ========
3.40% 3.15% 2.90% 3.04% 2.79% 2.53% 4.30% 4.04% 2.92%(e)
$843,111 $ 98,823 $156,132 $942,109 $ 65,570 $193,764 $887,321 $ 91,152 $212,920
0.16% 0.41% 0.66% 0.14% 0.39% 0.64% 0.24% 0.49% 0.71%(e)
3.34% 3.09% 2.84% 2.94% 2.69% 2.44% 4.00% 3.62% 2.83%(e)
0.28% 0.53% 0.78% 0.30% 0.55% 0.80% 0.30% 0.56% 0.81%(e)
3.24% 2.99% 2.74% 2.78% 2.53% 2.28% 3.94% 3.55% 2.73%(e)
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
35
<PAGE> 127
PILOT SHORT-TERM DIVERSIFIED ASSETS FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED FEBRUARY 29, 1996 YEAR ENDED AUGUST 31, 1995
---------------------------------------- ----------------------------------------
PILOT ADMINISTRATION INVESTOR PILOT ADMINISTRATION INVESTOR
SHARES SHARES SHARES SHARES SHARES SHARES
---------- -------------- -------- ---------- -------------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period.............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- -------- -------- ---------- -------- --------
Investment Activities
Net investment income............. 0.0274 0.0262 0.0249 0.0554 0.0529 0.0504
Net realized gains from investment
transactions.................... -- -- -- -- -- --
---------- -------- -------- ---------- -------- --------
Total from Investment
Activities...................... 0.0274 0.0262 0.0249 0.0554 0.0529 0.0504
Distributions to shareholders......... (0.0274) (0.0262) (0.0249) (0.0554) (0.0529) (0.0504)
---------- -------- -------- ---------- -------- --------
Net Asset Value, End of Period........ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ======== ======== ========== ======== ========
Total Return(c)....................... 2.78% 2.65% 2.52% 5.68% 5.42% 5.15%
Ratios/Supplemental Data:
Net Assets at end of period
(000)........................... $1,276,403 $235,433 $ 38,330 $1,056,624 $231,688 $ 33,948
Ratio of expenses to average net
assets(d)....................... 0.26%(e) 0.51%(e) 0.76%(e) 0.23% 0.48% 0.73%
Ratio of net investment income to
average net assets(d)........... 5.51%(e) 5.26%(e) 5.01%(e) 5.56% 5.22% 5.00%
Ratio of expenses to average net
assets assuming no waiver or
expense reimbursement(d)........ 0.30%(e) 0.55%(e) 0.80%(e) 0.24% 0.49% 0.74%
Ratio of net investment income to
average net assets assuming
no waiver or expense
reimbursement(d)................ 5.47%(e) 5.22%(e) 4.97%(e) 5.55% 5.21% 4.99%
</TABLE>
- ---------------
(a) Pilot Investor Shares commenced offering during July 1992.
(b) Prior to June 1, 1994, Goldman Sachs Asset Management served the Portfolio
as investment adviser.
(c) Total return would have been lower had certain expenses not been reduced
during the periods presented and is not annualized.
(d) Does not reflect the fee which may be charged by Boatmen's directly to its
customers' accounts at an annual rate not to exceed 0.25% of the average
daily balance of Pilot Shares in the customers' accounts.
(e) Annualized.
-----------------------------------------------------------------------------
See Notes to Financial Statements.
36
<PAGE> 128
PILOT SHORT-TERM DIVERSIFIED ASSETS FUND
- --------------------------------------------------------------------------------
Financial Highlights (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31, 1994(b) YEAR ENDED AUGUST 31, 1993(b) YEAR ENDED AUGUST 31, 1992(b)
-------------------------------------- ---------------------------------------- ----------------------------------------
PILOT ADMINISTRATION INVESTOR PILOT ADMINISTRATION INVESTOR PILOT ADMINISTRATION INVESTOR
SHARES SHARES SHARES SHARES SHARES SHARES SHARES SHARES SHARES(A)
-------- -------------- -------- ---------- -------------- -------- ---------- -------------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- ---------- -------- -------- ---------- -------- --------
0.0353 0.0328 0.0303 0.0325 0.0298 0.0274 0.0452 0.0396 0.0043
0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 -- 0.0001 --
-------- -------- -------- ---------- -------- -------- ---------- -------- --------
0.0354 0.0329 0.0304 0.0326 0.0299 0.0275 0.0452 0.0397 0.0043
(0.0354) (0.0329) (0.0304) (0.0326) (0.0299) (0.0274) (0.0452) (0.0397) (0.0043)
-------- -------- -------- ---------- -------- -------- ---------- -------- --------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========== ======== ======== ========== ======== ========
3.60% 3.35% 3.10% 3.29% 3.04% 2.78% 4.68% 4.42% 3.24%(e)
$857,795 $303,288 $ 37,896 $1,293,667 $378,262 $ 36,814 $1,939,568 $271,606 $ 27,880
0.15% 0.40% 0.65% 0.12% 0.37% 0.62% 0.12% 0.37% 0.62%(e)
3.53% 3.28% 3.03% 3.25% 2.98% 2.74% 4.52% 3.95% 3.14%(e)
0.29% 0.54% 0.79% 0.29% 0.54% 0.79% 0.29% 0.54% 0.80%(e)
3.40% 3.15% 2.90% 3.08% 2.81% 2.57% 4.35% 3.78% 2.96%(e)
</TABLE>
37
<PAGE> 129
PILOT MISSOURI SHORT-TERM TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED FEBRUARY 29, 1996 YEAR ENDED AUGUST 31, 1995(b)
-------------------------------------- --------------------------------------
PILOT ADMINISTRATION INVESTOR PILOT ADMINISTRATION INVESTOR
SHARES SHARES SHARES SHARES SHARES SHARES
-------- -------------- -------- -------- -------------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period.................................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Investment Activities
Net investment income................. 0.0165 0.0152 0.0140 0.0332 0.0300 0.0282
Net realized gains (losses) from
investment transactions............. -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total from Investment
Activities.......................... 0.0165 0.0152 0.0140 0.0332 0.0300 0.0282
Distributions to shareholders............. (0.0165) (0.0152) (0.0140) (0.0332) (0.0300) (0.0282)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period............ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return(c)........................... 1.66% 1.53% 1.41% 3.37% 3.05% 2.86%
Ratios/Supplemental Data:
Net Assets at end of
period (000)........................ $224,422 $ 15,495 $ 12,629 $210,834 $ 4,555 $ 11,222
Ratio of expenses to average net
assets(d)........................... 0.43%(e) 0.68%(e) 0.93%(e) 0.44% 0.69% 0.94%
Ratio of net investment income to
average net assets(d)............... 3.31%(e) 3.03%(e) 2.82%(e) 3.31% 3.06% 2.83%
Ratio of expenses to average net
assets assuming no waiver or expense
reimbursement(d).................... 0.43%(e) 0.68%(e) 0.93%(e) 0.44% 0.69% 0.94%
Ratio of net investment income to
average net assets assuming
no waiver or expense
reimbursement(d).................... 3.31%(e) 3.03%(e) 2.82%(e) 3.31% 3.06% 2.83%
- ---------------
<FN>
(a) Pilot Investor Shares commenced offering during July 1992.
(b) Prior to July 1, 1995, Goldman Sachs Asset Management served the Portfolio
as investment adviser.
(c) Total return would have been lower had certain expenses not been reduced
during the periods presented and is not annualized.
(d) Does not reflect the fee which may be charged by Boatmen's directly to its
customers' accounts at an annual rate not to exceed 0.25% of the average
daily balance of Pilot Shares in the customers' accounts.
(e) Annualized.
(f) Pilot Administration Shares commenced offering during March of 1994.
</TABLE>
------------------------------------------------------------------------------
See Notes to Financial Statements.
38
<PAGE> 130
PILOT MISSOURI SHORT-TERM TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
Financial Highlights (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
YEAR ENDED AUGUST 31, 1994(b) AUGUST 31, 1993(b) AUGUST 31, 1992(b)
-------------------------------------------- ----------------------- ------------------------
PILOT ADMINISTRATION INVESTOR PILOT INVESTOR PILOT INVESTOR
SHARES SHARES(F) SHARES SHARES SHARES SHARES SHARES(A)
-------- -------------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- -------- ---------
0.220 0.0103 0.0170 0.0221 0.0171 0.0324 0.0030
-- -- -- -- -- (0.0001) --
-------- -------- -------- -------- -------- -------- ---------
0.220 0.0103 0.0170 0.0221 0.0171 0.0323 0.0030
(0.0220) (0.0103) (0.0170) (0.0221) (0.0172) (0.0324) (0.0030)
-------- -------- -------- -------- -------- -------- ---------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======== =========
2.23% 2.04%(e) 1.73% 2.24% 1.73% 3.29% 1.74%(e)
$239,796 $ -- $ 9,364 $228,075 $ 7,819 $202,304 $ 10,696
0.37% 0.67%(e) 0.87% 0.36% 0.86% 0.37% 0.87%(e)
2.20% 2.03%(e) 1.70% 2.21% 1.71% 3.24% 1.75%(e)
0.37% 0.67%(e) 0.87% 0.36% 0.86% 0.37% 0.87%(e)
2.20% 2.03%(e) 1.70% 2.21% 1.71% 3.24% 1.75%(e)
</TABLE>
39
<PAGE> 131
PILOT SHORT-TERM TAX-EXEMPT DIVERSIFIED FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, 1995(B)
-------------------------------------- --------------------------------------
PILOT ADMINISTRATION INVESTOR PILOT ADMINISTRATION INVESTOR
SHARES SHARES SHARES SHARES SHARES SHARES(A)
-------- -------------- -------- -------- -------------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Investment Activities
Net investment income................ 0.0169 0.0157 0.0144 0.0353 0.0328 0.0195
Net realized gains from investment
transactions....................... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total from Investment Activities..... 0.0169 0.0157 0.0144 0.0353 0.0328 0.0195
Distributions to shareholders............ (0.0169) (0.0157) (0.0144) (0.0353) (0.0328) (0.0195)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return(c).......................... 1.70% 1.58% 1.45% 3.59% 3.33% 1.96%
Ratios/Supplemental Data:
Net Assets at end of period (000).... $370,723 $ 14,590 $ 5 $397,783 $ 14,443 $ 5
Ratio of expenses to average net
assets(d).......................... 0.36%(e) 0.61%(e) 0.86%(e) 0.28% 0.53% 0.78%(e)
Ratio of net investment income to
average net assets(d).............. 3.41%(e) 3.09%(e) 2.85%(e) 3.54% 3.36% 3.15%(e)
Ratio of expenses to average net
assets assuming no waiver or
expense reimbursement(d)........... 0.40%(e) 0.65%(e) 0.90%(e) 0.29% 0.54% 0.79%(e)
Ratio of net investment income to
average net assets assuming no
waiver or expense
reimbursement(d)................... 3.37%(e) 3.05%(e) 2.81%(e) 3.53% 3.35% 3.14%(e)
- ---------------
<FN>
(a) Pilot Investor Shares commenced offering during January 1995.
(b) Prior to July 1, 1995, Goldman Sachs Asset Management served the Portfolio
as investment adviser.
(c) Total return would have been lower had certain expenses not been reduced
during the periods presented and is not annualized.
(d) Does not reflect the fee which may be charged by Boatmen's directly to its
customers' accounts at an annual rate not to exceed 0.25% of the average
daily balance of Pilot Shares in the customers' accounts.
(e) Annualized.
(f) Pilot Administration Shares commenced offering during September 1993.
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
40
<PAGE> 132
PILOT SHORT-TERM TAX-EXEMPT DIVERSIFIED FUND
- --------------------------------------------------------------------------------
Financial Highlights (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 16, 1993
(COMMENCEMENT OF
OPERATIONS)
YEAR ENDED AUGUST 31, THROUGH
1994(b) AUGUST 31, 1993(b)
-------------------------- ------------------
PILOT ADMINISTRATION PILOT
SHARES SHARES(f) SHARES
-------- -------------- ------------------
<S> <C> <C>
$ 1.00 $ 1.00 $ 1.00
-------- -------- --------
0.0240 0.0208 0.0121
-- -- --
-------- -------- --------
0.0240 0.0208 0.0121
(0.0240) (0.0208) (0.0121)
-------- -------- --------
$ 1.00 $ 1.00 $ 1.00
======== ======== ========
2.43% 2.18%(e) 2.23%(e)
$388,048 $ 3,040 $428,843
0.20% 0.45%(e) 0.15%(e)
2.40% 2.15%(e) 2.21%(e)
0.20% 0.45%(e) 0.20%(e)
2.40% 2.15%(e) 2.16%(e)
</TABLE>
41
<PAGE> 133
- --------------------------------------------------------------------------------
Report of Independent Public Accountants
- --------------------------------------------------------------------------------
To the Shareholders and Trustees of the Pilot Short-Term U.S. Treasury Fund,
Pilot Short-Term Diversified Assets Fund, Pilot Missouri Short-Term Tax-Exempt
Fund, and Pilot Short-Term Tax-Exempt Diversified Fund of The Pilot Funds:
We have audited the accompanying statements of assets and liabilities of the
Pilot Short-Term U.S. Treasury Fund, Pilot Short-Term Diversified Assets Fund,
Pilot Missouri Short-Term Tax-Exempt Fund (formerly Pilot Short-Term Tax-Exempt
Fund) and Pilot Short-Term Tax-Exempt Diversified Fund (the Pilot Money Market
Funds) of The Pilot Funds (a Massachusetts business trust), including the
portfolios of investments as of February 29, 1996, and the related statements of
operations for the period then ended, and the statements of changes in net
assets and financial highlights for the periods presented. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
February 29, 1996 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of the
Pilot Money Market Funds as of February 29, 1996, the results of their
operations, the changes in their net assets and the financial highlights for the
periods presented in conformity with generally accepted accounting principles.
Arthur Andersen LLP
Boston, Massachusetts
April 12, 1996
42
<PAGE> 134
PILMMF96MID
Bulk Rate
U.S. Postage
PAID
Cleveland, Oh
Permit No. 1
FINANCIAL Pilot Short-Term
DIRECTION U.S. Treasury Fund
Pilot Short-Term
Diversified Assets Fund
[THE
PILOT Pilot Missouri
FUNDS Short-Term
LOGO] Tax-Exempt Fund
Pilot Short-Term
Tax-Exempt
Diversified Fund
SEMI-ANNUAL REPORT
February 29, 1996
THE
PILOT
FUNDS
NOT
FDIC May Lose Value
INSURED No Bank Guarantee
Distributor: Pilot Funds Distributors, Inc. 4/96
