<PAGE> 1
FINANCIAL STATEMENTS
MAS FUNDS
ANNUAL REPORT
1995
<PAGE> 2
TABLE OF CONTENTS
Statement of Net Assets
<TABLE>
<S> <C>
Value Portfolio.......................... 1
Equity Portfolio......................... 3
Small Cap Value Portfolio................ 8
Select Equity Portfolio.................. 11
International Equity Portfolio........... 15
Mid Cap Growth Portfolio................. 19
Mid Cap Value Portfolio.................. 21
Emerging Markets Portfolio............... 22
Fixed Income Portfolio................... 25
Domestic Fixed Income Portfolio.......... 30
High Yield Portfolio..................... 34
Cash Reserves Portfolio.................. 37
Fixed Income Portfolio II................ 39
Mortgage-Backed Securities Portfolio..... 43
Limited Duration Portfolio............... 47
Special Purpose Fixed Income Portfolio... 50
Municipal Portfolio...................... 55
PA Municipal Portfolio................... 58
Global Fixed Income Portfolio............ 61
International Fixed Income Portfolio..... 63
Intermediate Duration Portfolio.......... 65
Balanced Portfolio....................... 68
Multi-Asset-Class Portfolio.............. 76
Statement of Operations..................... 86
Statement of Changes in Net Assets.......... 91
Selected Per Share Data and Ratios.......... 99
Notes to Financial Statements............... 107
Report of Independent Accountants........... 121
MAS Investment Services Team................ 123
</TABLE>
THIS ANNUAL REPORT CONTAINS CERTAIN INVESTMENT RETURN INFORMATION. IT SHOULD BE
NOTED THAT PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS AND THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH EITHER MORE OR LESS THAN THEIR
ORIGINAL COST.
<PAGE> 3
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (85.2%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1995 SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
BANKS (8.8%)
Bank of Boston Corp. 283,396 $ 13,497
Boatmen's Bancshares,
Inc. 149,300 5,524
Capital One Financial
Corp. 392,442 11,528
Chemical Banking Corp. 229,800 13,989
Citicorp 114,100 8,072
Crestar Financial Corp. 111,800 6,247
First Fidelity Bancorp 47,100 3,179
First of America Bank
Corp. 230,764 9,923
First Union Corp. 66,700 3,402
Northern Trust Corp. 88,800 4,085
PNC Bank Corp. 333,300 9,291
Shawmut National Corp. 280,800 9,442
Signet Banking Corp. 265,976 6,982
TCF Financial Corp. 114,560 6,673
- - ---------------------------------------------------------
GROUP TOTAL 111,834
- - ---------------------------------------------------------
BASIC RESOURCES (5.8%)
Boise Cascade Corp. 101,000 4,078
Cyprus Amax Minerals Co. 393,100 11,056
Dexter Corp. 338,900 8,642
EI DuPont de
Nemours & Co. 183,500 12,616
Lubrizol Corp. 249,700 8,146
Olin Corp. 202,200 13,901
Rohm & Haas Co. 140,300 8,471
Weyerhaeuser Co. 151,800 6,926
- - ---------------------------------------------------------
GROUP TOTAL 73,836
- - ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.0%)
Anheuser-Busch Cos., Inc. 205,900 12,843
- - ---------------------------------------------------------
CONSUMER DURABLES (7.0%)
Armstrong World
Industries, Inc. 319,300 17,721
Brunswick Corp. 265,800 5,382
Eaton Corp. 268,500 14,231
General Motors Corp. 307,436 14,411
Goodyear Tire &
Rubber Co. 369,020 14,530
Premark International,
Inc. 284,300 14,464
Whirlpool Corp. 131,900 7,617
- - ---------------------------------------------------------
GROUP TOTAL 88,356
- - ---------------------------------------------------------
CONSUMER SERVICES (0.4%)
Standard Register Co. 263,500 5,665
- - ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
CREDIT & FINANCE/INVESTMENT COMPANIES (2.1%)
Federal Home Loan
Mortgage Corporation 106,050 $ 7,331
Federal National Mortgage
Association 105,000 10,867
Great Western Financial
Corp. 372,200 8,840
- - ---------------------------------------------------------
GROUP TOTAL 27,038
- - ---------------------------------------------------------
ENERGY (7.4%)
Amoco Corp. 146,900 9,420
Atlantic Richfield Co. 93,000 9,986
British Petroleum plc ADR 197,200 17,723
Cabot Oil & Gas Corp.,
Class A 123,600 6,566
El Paso Natural Gas Co. 381,400 10,489
MAPCO, Inc. 292,100 15,043
Ultramar Corp. 417,500 9,916
Williams Cos., Inc. 210,300 8,202
YPF SA ADR 369,400 6,649
- - ---------------------------------------------------------
GROUP TOTAL 93,994
- - ---------------------------------------------------------
FOOD, TOBACCO & OTHER (4.2%)
Archer Daniels Midland
Co. 711,585 10,941
Philip Morris Cos., Inc. 287,900 24,040
RJR Nabisco Holdings
Corp. 391,460 12,673
Universal Corp. 143,800 5,015
- - ---------------------------------------------------------
GROUP TOTAL 52,669
- - ---------------------------------------------------------
HEALTH CARE (8.2%)
Bard (C.R.), Inc. 166,300 5,072
Beckman Instruments, Inc. 555,400 16,801
Bergen Brunswig Corp.,
Class A 400,500 8,561
Bristol-Myers Squibb Co. 172,800 12,593
* Foundation Health Corp. 321,200 12,246
Mallinckrodt Group, Inc. 392,000 15,533
* PacifiCare Health
Systems, Inc., Class B 126,300 8,588
Rhone-Poulenc Rorer, Inc. 270,500 12,308
* Tenet Healthcare Corp. 693,500 12,049
- - ---------------------------------------------------------
GROUP TOTAL 103,751
- - ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (16.3%)
Allied Signal, Inc. 163,800 7,228
Burlington Northern, Inc. 204,500 14,826
CSX Corp. 135,615 11,409
Caterpillar, Inc. 151,600 8,622
Cummins Engine Co., Inc. 284,500 10,953
Deere & Co. 147,200 11,978
* Federal Express Corp. 123,900 10,284
* FMC Corp. 113,420 8,620
ITT Corp. 48,600 6,026
Lockheed Martin Corp. 172,667 11,590
PHH Corp. 275,100 12,380
Raytheon Corp. 151,700 12,895
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
1
<PAGE> 4
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
VALUE
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Rockwell International
Corp. 246,200 $ 11,633
Ryder System, Inc. 417,000 10,581
Tecumseh Products Co.,
Class A 246,100 11,813
Tenneco, Inc. 140,000 6,475
Textron, Inc. 262,110 17,889
Trinova Corp. 396,500 13,382
United Technologies Corp. 102,420 9,051
- - ---------------------------------------------------------
GROUP TOTAL 207,635
- - ---------------------------------------------------------
INSURANCE (5.3%)
Allstate Corp. 243,717 8,621
American General Corp. 364,300 13,616
Providian Corp. 529,400 21,970
SAFECO Corp. 156,400 10,264
St. Paul Cos., Inc. 164,040 9,576
Torchmark Corp. 86,300 3,635
- - ---------------------------------------------------------
GROUP TOTAL 67,682
- - ---------------------------------------------------------
RETAIL (5.3%)
Bob Evans Farms, Inc. 186,700 3,594
Dayton-Hudson Corp. 133,000 10,091
Dillard Department
Stores, Inc., Class A 258,100 8,227
Melville Corp. 263,470 9,090
Reebok International Ltd. 127,700 4,390
Sears, Roebuck & Co. 262,900 9,694
Springs Industries, Inc.,
Class A 215,600 8,462
V. F. Corp. 275,940 14,073
- - ---------------------------------------------------------
GROUP TOTAL 67,621
- - ---------------------------------------------------------
TECHNOLOGY (7.1%)
* Compaq Computer Corp. 251,600 12,171
International Business
Machines Corp. 163,300 15,412
* National Semiconductor
Corp. 554,000 15,304
Scitex Corp., Ltd. 607,900 11,474
* Seagate Technology 317,300 13,366
Texas Instruments, Inc. 148,000 11,822
* Western Digital Corp. 684,100 10,860
- - ---------------------------------------------------------
GROUP TOTAL 90,409
- - ---------------------------------------------------------
UTILITIES (6.3%)
Central Maine Power Co. 569,700 7,477
Entergy Corp. 349,866 9,140
General Public Utilities
Corp. 296,360 9,224
Long Island Lighting Co. 422,460 7,288
MCI Communications Corp. 513,000 13,370
New York State Electric &
Gas Corp. 282,582 7,418
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
PECO Energy Co. 474,600 $ 13,585
Sprint Corp. 343,800 12,033
- - ---------------------------------------------------------
GROUP TOTAL 79,535
- - ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $880,578) 1,082,868
- - ---------------------------------------------------------
CASH EQUIVALENTS (17.3%)
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (1.7%) $ 22,320 22,320
- - ---------------------------------------------------------
COMMERCIAL PAPER (11.6%)
Alabama Power Co. 5.73%,
10/13/95 11,000 10,979
American General Corp.,
5.74%, 10/13/95 11,000 10,979
Bell South Corp. 5.71%,
10/10/95 11,000 10,984
Cargill Inc. 5.75%,
10/20/95 12,000 11,964
Commercial Credit Co.
5.70%, 11/10/95 12,000 11,924
Exxon Corp. 5.69%,
10/27/95 11,000 10,955
General Electric Capital
Corp., 5.72%, 11/7/95 12,000 11,930
Household Finance Co.
5.71%, 11/10/95 12,000 11,924
Norwest Financial Corp.
5.72%, 11/3/95 11,000 10,942
PHH Corp. 5.72%, 10/6/95 11,000 10,991
Philip Morris:
5.71%, 10/24/95 11,000 10,960
5.71%, 10/18/95 11,000 10,970
Raytheon 5.73%, 10/5/95 12,000 11,992
- - ---------------------------------------------------------
GROUP TOTAL 147,494
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (4.0%)
Chase Manhattan Bank,
N.A. 6.20%, dated
9/29/95 due 10/2/95, to
be repurchased at
$50,856, collateralized
by $51,051 of various
U.S. Government and
Agency Obligations, due
10/3/95-7/7/97, valued
at $51,338 (Cost
$50,830) 50,830 50,830
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $220,644) 220,644
- - ---------------------------------------------------------
TOTAL INVESTMENTS (102.5%) (Cost $1,101,222)1,303,512
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)+
- - ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-2.5%)
Dividends Receivable $ 1,553
Interest Receivable 18
Receivable for Fund Shares Sold 4,677
Receivable for Investments Sold 10,456
Other Assets 3
Payable for Fund Shares Redeemed (5,692)
Payable for Investments Purchased (18,973)
Payable for Administrative Fees (87)
Payable for Investment Advisory Fees (1,496)
Collateral on Securities Loaned, at
Value (22,320)
Other Liabilities (65)
----------
(31,926)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 85,391,038 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,271,586
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.89
- - ---------------------------------------------------------
</TABLE>
+ See Note A1 to Financial Statements.
* Non-income producing security.
ADR American Depositary Receipt.
EQUITY
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (92.2%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1995 SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
BANKS (4.6%)
Chemical Banking Corp. 357,100 $ 21,738
Citicorp 265,000 18,749
First Fidelity Bancorp 51,300 3,463
First of America Bank
Corp. 85,100 3,659
First Union Corp. 104,300 5,319
NationsBank Corp. 299,535 20,144
- - ---------------------------------------------------------
GROUP TOTAL 73,072
- - ---------------------------------------------------------
BASIC RESOURCES (4.4%)
Champion International
Corp. 29,600 $ 1,595
EI DuPont de
Nemours & Co. 443,500 30,491
Georgia Pacific Corp. 104,200 9,117
Inco, Ltd. 1 --
Scott Paper Co. 216,300 10,491
Temple-Inland, Inc. 148,300 7,897
W R Grace & Co. 159,000 10,613
- - ---------------------------------------------------------
GROUP TOTAL 70,204
- - ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (3.8%)
Anheuser Busch Cos., Inc. 128,800 8,034
Avon Products, Inc. 116,900 8,388
PepsiCo, Inc. 576,950 29,424
Procter & Gamble Co. 186,300 14,345
- - ---------------------------------------------------------
GROUP TOTAL 60,191
- - ---------------------------------------------------------
CONSUMER DURABLES (3.8%)
Armstrong World
Industries, Inc. 41,900 2,325
Chrysler Corp. 114,500 6,069
Eastman Kodak Co. 186,944 11,076
Eaton Corp. 137,800 7,304
General Motors Corp. 461,118 21,615
Goodyear Tire & Rubber Co. 297,600 11,718
- - ---------------------------------------------------------
GROUP TOTAL 60,107
- - ---------------------------------------------------------
CONSUMER SERVICES (2.8%)
Capital Cities ABC, Inc. 73,800 8,681
News Corp. Limited ADR 356,200 7,080
Service Corp.
International 213,300 8,345
* Tele-Communications,
Inc., Class A 392,826 6,874
* Tele-Communications-Liberty
Media Group, Class A 195,107 5,219
Time Warner, Inc. 202,600 8,053
- - ---------------------------------------------------------
GROUP TOTAL 44,252
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
EQUITY
PORTFOLIO
<TABLE>
<CAPTION> VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
CREDIT & FINANCE/INVESTMENT COMPANIES (2.1%)
Federal Home Loan
Mortgage Corp. 101,700 $ 7,030
Federal National Mortgage
Association 160,420 16,604
Transamerica Corp. 141,125 10,055
- - ---------------------------------------------------------
GROUP TOTAL 33,689
- - ---------------------------------------------------------
ENERGY (8.0%)
Amoco Corp. 219,800 14,095
Atlantic Richfield Co. 154,500 16,589
British Petroleum plc ADR 164,600 14,793
Burlington Resources,
Inc. 184,000 7,130
Chevron Corp. 171,088 8,319
Coastal Corp. 280,300 9,425
El Paso Natural Gas Co. 115,900 3,187
Mobil Corp. 192,150 19,143
Norsk Hydro A.S. 102,600 4,425
Royal Dutch Petroleum Co.
ADR 180,190 22,118
Unocal Corp. 302,921 8,634
- - ---------------------------------------------------------
GROUP TOTAL 127,858
- - ---------------------------------------------------------
FOOD, TOBACCO & OTHER (5.1%)
Archer Daniels Midland
Co. 489,340 7,524
Campbell Soup Co. 155,000 7,789
Philip Morris Cos., Inc. 407,290 34,009
RJR Nabisco Holdings
Corp. 474,340 15,356
Unilever N.V. ADR 81,800 10,634
UST, Inc. 222,538 6,370
- - ---------------------------------------------------------
GROUP TOTAL 81,682
- - ---------------------------------------------------------
HEALTH CARE (7.3%)
Allergan, Inc. 196,200 6,548
American Home Products
Corp. 154,300 13,096
Baxter International,
Inc. 241,600 9,936
Becton, Dickinson & Co. 186,200 11,707
Bristol-Myers Squibb Co. 319,786 23,304
Columbia HCA Healthcare
Corp. 317,428 15,435
* Humana, Inc. 258,700 5,206
Johnson & Johnson 175,500 13,009
U.S. Healthcare, Inc. 212,700 7,525
Warner Lambert Co. 123,490 11,763
- - ---------------------------------------------------------
GROUP TOTAL 117,529
- - ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.2%)
* AMR Corp. 107,500 7,753
Burlington Northern, Inc. 177,583 12,875
CSX Corp. 44,625 3,754
Cummins Engine Co., Inc. 183,800 7,076
General Electric Co. 450,755 28,736
ITT Corp. 67,650 8,389
MEDA, Inc. 125 --
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Minnesota Mining &
Manufacturing Co. 56,088 $ 3,169
Tenneco, Inc. 264,400 12,228
Textron, Inc. 132,600 9,050
Union Pacific Corp. 352,450 23,350
United Technologies Corp. 247,500 21,872
WMX Technologies, Inc. 287,300 8,188
- - ---------------------------------------------------------
GROUP TOTAL 146,440
- - ---------------------------------------------------------
INSURANCE (2.1%)
Aetna Life & Casualty Co. 134,700 9,884
AFLAC, Inc. 165,600 6,872
Exel Ltd. 285,900 16,618
- - ---------------------------------------------------------
GROUP TOTAL 33,374
- - ---------------------------------------------------------
MID CAP GROWTH (4.6%)
Adobe Systems, Inc. 21,200 1,097
* Airgas, Inc. 40,700 1,084
* American Mobile Satellite
Corp. 45,000 1,077
* Boca Research, Inc. 14,300 347
* Boston Chicken, Inc. 42,600 1,113
* Broderbund Software, Inc. 17,200 1,309
Cardinal Health, Inc. 23,500 1,301
* Cellstar Corp. 33,700 1,053
* Cellular Communications,
Inc., Class A 17,400 948
* Ceridian Corp. 29,900 1,327
* CIDCO, Inc. 20,600 726
Cintas Corp. 32,200 1,417
Citicasters, Inc. 19,600 654
* CNS, Inc. 33,400 438
Comcast Corp., Class A
Special 49,800 996
* Comcast UK Cable Partners 36,100 564
Computron Software, Inc. 28,800 497
* Cordis Corp. 11,100 941
Cott Corp. 88,700 843
Danaher Corp. 33,500 1,097
* Eckerd Corp. 28,500 1,140
* Electronics for Imaging,
Inc. 12,900 924
Firefox Communications,
Inc. 16,500 408
* Fiserv, Inc. 23,550 680
Frontier Corp. 67,400 1,795
* Gartner Group, Inc.,
Class A 37,800 1,238
General Cable plc ADR 27,100 434
* Glenayre Technologies,
Inc. 21,000 1,512
Globalstar
Telecommunications Ltd. 52,200 1,116
* Health Management
Association, Class A 84,287 2,708
* Healthcare Compare Corp. 16,500 639
HFS, Inc. 25,500 1,336
HighwayMaster
Communications, Inc. 8,300 108
* International Cabletel,
Inc. 51,200 1,434
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
4
<PAGE> 7
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
* Inter-Tel, Inc. 20,300 $ 358
* Kemet Corp. 6,800 233
Kent Electronics Corp. 16,600 728
La Quinta Motor Inns,
Inc. 38,000 1,064
Lin Television Corp. 15,100 468
* Lincare Holdings, Inc. 49,500 1,275
* LSI Logic Corp. 15,400 889
Maxis, Inc. 14,700 647
* McAfee Associates, Inc. 10,200 525
* Millicom International
Cellular S.A. 21,400 687
Mylan Labs, Inc. 27,000 540
* National Education Corp. 40,500 324
Nokia Corp. ADR 14,900 1,039
* North American
Biologicals, Inc. 25,100 207
OfficeMax, Inc. 38,100 924
* OrNda Healthcorp 37,800 803
* Paging Network, Inc. 36,000 1,728
Palmer Wireless, Inc. 32,200 716
PanAmSat Corp. 52,300 798
Papa John's
International, Inc. 22,100 994
Paychex, Inc. 35,650 1,649
P-Com, Inc. 10,500 470
PMI Group, Inc. 12,600 597
Post Properties, Inc. 16,700 518
Project Software &
Development, Inc. 9,300 242
* Qualcomm, Inc. 13,600 624
* Robert Mondavi Corp.,
Class A 34,500 880
* Rotech Medical Corp. 34,000 846
Security Capital
Industrial Trust 28,200 458
Security Capital Pacific
Trust 30,400 578
Sinclair Broadcast
Group, Inc. 20,100 578
Sirrom Capital Corp. 42,700 774
Softkey International,
Inc. 11,300 500
Stewart Enterprises,
Inc., Class A 20,800 754
Stratacom, Inc. 11,700 646
* Sunglass Hut
International, Inc. 16,100 805
Tanger Factory Outlet
Center 19,000 473
* Tele-Communications,
Inc., Class A 135,090 2,364
Tele-Communications
International, Inc.,
Class A 44,800 834
* Tele-Communications-Liberty
Media Group, Class A 40,972 1,096
* Tellabs, Inc. 18,000 758
* Tommy Hilfiger Corp. 36,800 1,196
Transaction Systems
Architect, Inc., Class A 24,400 653
U.S. Robotics Corp. 8,400 716
* United International
Holdings, Inc., Class A 37,000 684
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
* United Video Satellite
Group 22,300 $ 663
USA Detergents, Inc. 38,600 801
Videotron Holdings plc
ADR 15,700 261
* Viking Office Products,
Inc. 34,200 1,428
* Vivra, Inc. 26,200 832
Wolverine World Wide,
Inc. 19,900 545
- - ---------------------------------------------------------
GROUP TOTAL 73,471
- - ---------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (0.6%)
Colonial Properties Trust 41,600 1,035
DeBartolo Realty Corp. 135,500 1,897
Developers Diversified
Realty Corp. 66,400 2,001
Security Capital Pacific
Trust 284,755 5,410
- - ---------------------------------------------------------
GROUP TOTAL 10,343
- - ---------------------------------------------------------
RETAIL (5.3%)
Circuit City Stores, Inc. 201,800 6,382
* Federated Department
Stores, Inc. 296,100 8,402
Home Depot, Inc. 277,126 11,050
* Kroger Co. 249,500 8,514
* Office Depot, Inc. 176,800 5,326
OfficeMax, Inc. 226,100 5,483
Sears, Roebuck & Co. 480,400 17,716
Wal-Mart Stores, Inc. 488,895 12,161
Wendy's International,
Inc. 464,400 9,810
- - ---------------------------------------------------------
GROUP TOTAL 84,844
- - ---------------------------------------------------------
TECHNOLOGY (6.3%)
* Compaq Computer Corp. 291,600 14,106
Intel Corp. 296,800 17,845
International Business
Machines Corp. 144,900 13,675
Motorola, Inc. 95,784 7,316
* National Semiconductor
Corp. 427,700 11,815
* Oracle System Corp. 122,220 4,690
* Seagate Technology 339,600 14,305
Texas Instruments, Inc. 203,100 16,223
- - ---------------------------------------------------------
GROUP TOTAL 99,975
- - ---------------------------------------------------------
UTILITIES (10.3%)
* AirTouch Communications,
Inc. 219,200 6,713
Consolidated Edison Co.
of New York 114,800 3,487
Entergy Corp. 329,500 8,608
Florida Progress Corp. 115,300 3,733
Frontier Corp. 337,300 8,981
GTE Corp. 517,100 20,296
Houston Industries, Inc. 100,500 4,435
MCI Communications Corp. 407,900 10,631
Ohio Edison Co. 328,100 7,464
Pacific Gas & Electric
Co. 256,800 7,672
PECO Energy Co. 232,200 6,647
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
EQUITY
PORTFOLIO
<TABLE>
<CAPTION> VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Public Service Enterprise
Group, Inc. 132,300 $ 3,936
SBC Communications, Inc. 330,600 18,183
Sprint Corp. 411,100 14,389
U.S. West, Inc. 396,900 18,704
Unicom Corp. 336,700 10,184
Vodafone Group plc ADR 275,374 11,290
- - ---------------------------------------------------------
GROUP TOTAL 165,353
- - ---------------------------------------------------------
VALUE (11.9%)
Allied Signal, Inc. 30,000 1,324
Allstate Corp. 37,081 1,312
American General Corp. 72,000 2,691
Amoco Corp. 22,300 1,430
Anheuser Busch Cos., Inc. 34,300 2,139
Archer Daniels Midland
Co. 118,440 1,821
Armstrong World
Industries, Inc. 48,200 2,675
Atlantic Richfield Co. 16,100 1,729
Bank of Boston Corp. 44,033 2,097
Bard (C.R.), Inc. 38,000 1,159
Beckman Instruments, Inc. 90,700 2,744
Bergen Brunswig Corp.,
Class A 63,100 1,349
Boatmen's Bancshares,
Inc. 21,400 792
Boise Cascade Corp. 12,900 521
Bristol-Myers Squibb Co. 36,300 2,645
British Petroleum plc ADR 32,100 2,885
Brunswick Corp. 32,800 664
Burlington Northern, Inc. 44,500 3,226
Cabot Oil & Gas Corp.,
Class A 20,600 1,094
Capital One Financial
Corp. 83,000 2,438
Caterpillar, Inc. 23,500 1,337
Central Maine Power Co. 79,900 1,049
Chemical Banking Corp. 38,200 2,325
Citicorp 32,100 2,271
* Compaq Computer Corp. 41,900 2,027
Crestar Financial Corp. 60,939 3,405
CSX Corp. 26,000 2,188
Cummins Engine Co., Inc. 55,400 2,133
Cyprus Amax Minerals Co. 83,500 2,348
Dayton-Hudson Corp. 33,000 2,504
Deere & Co. 23,200 1,888
Dexter Corp. 54,700 1,395
Dillard Department
Stores, Inc., Class A 65,500 2,088
Eaton Corp. 43,200 2,289
EI DuPont de Nemours Co. 29,300 2,014
El Paso Natural Gas Co. 64,100 1,763
Entergy Corp. 68,067 1,778
* Federal Express Corp. 34,600 2,872
Federal Home Loan
Mortgage Corp. 17,800 1,230
Federal National Mortgage
Association 18,300 1,894
First of America Bank
Corp. 34,358 1,477
* FMC Corp. 19,400 1,474
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
* Foundation Health Corp. 52,700 $ 2,009
General Motors Corp. 53,680 2,516
General Public Utilities
Corp. 73,500 2,288
Goodyear Tire &
Rubber Co. 59,600 2,347
Great Western Financial
Corp. 62,300 1,480
International Business
Machines Corp. 25,400 2,397
ITT Corp. 15,900 1,972
Lockheed Martin Corp. 30,115 2,021
Long Island Lighting Co. 85,900 1,482
Lubrizol Corp. 40,400 1,318
Mallinckrodt Group, Inc. 59,500 2,358
MAPCO, Inc. 37,900 1,952
MCI Communications Corp. 108,700 2,833
Melville Corp. 41,000 1,415
* National Semiconductor
Corp. 107,200 2,961
New York State Electric &
Gas Corp. 26,700 701
Northern Trust Corp. 10,100 465
Olin Corp. 33,700 2,317
* PacifiCare Health
Systems, Inc., Class B 30,700 2,088
PECO Energy Co. 90,300 2,585
PHH Corp. 35,700 1,607
Philip Morris Cos., Inc. 38,100 3,181
PNC Bank Corp. 51,300 1,430
Premark International,
Inc. 59,400 3,022
Providian Corp. 79,800 3,312
Raytheon Corp. 22,600 1,921
Reebok International Ltd. 37,200 1,279
Rhone-Poulenc Rorer, Inc. 39,300 1,788
RJR Nabisco Holdings
Corp. 64,400 2,085
Rockwell International
Corp. 37,500 1,772
Rohm & Haas Co. 38,000 2,294
Ryder Systems, Inc. 64,700 1,642
SAFECO Corp. 10,800 709
Scitex Corp., Ltd. 112,000 2,113
* Seagate Technology 65,600 2,763
Sears, Roebuck & Co. 40,000 1,475
Shawmut National Corp. 28,700 965
Signet Banking Corp. 86,807 2,279
Springs Industries, Inc.,
Class A 55,700 2,185
Sprint Corp. 73,000 2,555
St. Paul Cos., Inc. 41,500 2,423
Standard Register Co. 40,900 879
TCF Financial Corp. 19,000 1,106
Tecumseh Products Co.,
Class A 82,600 3,965
* Tenet Healthcare Corp. 117,900 2,049
Texas Instruments, Inc. 28,400 2,268
Textron, Inc. 27,500 1,876
Torchmark Corp. 15,800 666
Trinova Corp. 62,500 2,109
Ultramar Corp. 64,700 1,537
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
United Technologies Corp. 15,500 $ 1,370
Universal Foods Corp. 4,700 164
V. F. Corp. 48,700 2,484
* Western Digital Corp. 117,600 1,867
Weyerhaeuser Co. 20,800 949
Whirlpool Corp. 20,000 1,155
Williams Cos., Inc. 55,700 2,172
YPF SA ADR 56,600 1,018
- - ---------------------------------------------------------
GROUP TOTAL 190,423
- - ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,204,437) 1,472,807
- - ---------------------------------------------------------
CONVERTIBLE BONDS (0.0%)
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
---------- -------
<S> <C> <C> <C>
Time Warner, Inc.
8.75%, 1/10/15
(Cost $1) BB+ $ 1 1
- - ---------------------------------------------------------
CASH EQUIVALENTS (9.9%)
- - ---------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities (1.3%) 20,343 20,343
- - ---------------------------------------------------------
COMMERCIAL PAPER (4.7%)
American General Corp.
5.74%, 10/13/95 15,000 14,971
Associates Corp.
5.73%, 10/11/95 15,000 14,976
Exxon Corp.
5.69%, 10/27/95 15,000 14,939
Norwest Financial Corp.
5.72%, 11/3/95 15,000 14,921
Raytheon Co.
5.73%, 10/5/95 15,000 14,991
- - ---------------------------------------------------------
GROUP TOTAL 74,798
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- - ---------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (3.9%)
Chase Manhattan Bank,
N.A. 6.20%, dated
9/29/95 due 10/2/95, to
be repurchased at
$62,999, collateralized
by $63,242 of various
U.S. Government and
Agency Obligations, due
10/3/95-7/7/97, valued
at $63,598
(Cost $62,966) $ 62,966 $ 62,966
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $158,107) 158,107
- - ---------------------------------------------------------
TOTAL INVESTMENTS (102.1%) (Cost $1,362,545)1,630,915
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-2.1%)
Dividends Receivable 2,984
Interest Receivable 22
Receivable for Fund Shares Sold 345
Receivable for Investments Sold 19,392
Other Assets 7
Payable for Fund Shares Redeemed (25,551)
Payable for Investments Purchased (7,928)
Payable for Administrative Fees (115)
Payable for Investment Advisory Fees (2,005)
Collateral on Securities Loaned, at
Value (20,343)
Other Liabilities (91)
----------
(33,283)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 65,396,280 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,597,632
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 24.43
- - ---------------------------------------------------------
</TABLE>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security.
ADR American Depositary Receipt.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (92.6%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1995 SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
BANKS (8.0%)
Banco Latinoamericano de
Exportaciones SA ADR 166,300 $ 6,714
California Federal Bank 36,800 580
CENFED Financial Corp. 21,200 503
Center Financial Corp. 94,000 1,786
Commercial Federal Corp. 56,200 2,009
Deposit Guaranty Corp. 46,100 1,948
Eagle Financial Corp. 115,100 2,647
First Essex Bancorp, Inc. 87,400 929
Greater New York Savings
Bank 152,300 1,828
Hibernia Corp., Class A 83,361 844
MLF Bancorp, Inc. 86,000 1,989
* Norwalk Savings Society 65,400 1,234
Reliance Bancorp, Inc. 289,800 4,238
RCSB Financial, Inc. 45,000 1,086
St. Paul Bancorp, Inc. 110,300 2,937
Union Planters Corp. 59,979 1,784
Vermont Financial Services
Corp. 45,500 1,365
- - ---------------------------------------------------------
GROUP TOTAL 34,421
- - ---------------------------------------------------------
BASIC RESOURCES (10.1%)
Allegheny Ludlum Corp. 64,700 1,318
Asarco, Inc. 186,400 5,872
* CasTech Aluminum Group,
Inc. 115,400 1,861
Chesapeake Corp. 83,300 3,009
* Gaylord Container Corp.,
Class A 41,900 395
Geon Co. 45,100 1,150
* Gibraltar Steel Corp. 282,100 3,807
* Jefferson Smurfit Corp. 216,300 3,299
J&L Specialty Steel, Inc. 19,700 414
Longview Fibre Co. 169,300 2,582
Magma Copper Co. 277,100 5,195
Olin Corp. 9,200 633
Quanex Corp. 162,800 3,521
Rouge Steel Co. 83,200 1,933
Schnitzer Steel Industries,
Inc., Class A 84,200 2,400
Terra Industries, Inc. 194,400 2,770
Tri Polyta Indonesia ADR 87,000 1,871
* U.S. Can Corp. 37,500 502
Vigoro Group 13,600 575
* WCI Steel, Inc. 88,700 455
- - ---------------------------------------------------------
GROUP TOTAL 43,562
- - ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
CONSUMER DURABLES (9.2%)
Ameriwood Industries
International Corp. 46,900 $ 287
Borg-Warner Automotive,
Inc. 150,300 4,810
Brewer (C) Homes, Inc.,
Class A 121,300 697
Capco Automotive Products
Corp. 381,400 3,528
Cavalier Homes, Inc. 147,500 2,434
Consorcio G Grupo Dina SA
de CV ADR 282,500 989
Excel Industries, Inc. 253,400 3,548
Falcon Building Products,
Inc., Class A 161,600 1,414
Hayes Wheels International,
Inc. 86,300 2,319
Holson Burnes Group, Inc. 187,300 703
Masland Corp. 536,100 7,974
* Quaker Fabric Corp. 109,000 1,022
* R & B, Inc. 55,000 467
Schult Homes Corp. 112,800 1,636
Simpson Industries, Inc. 206,100 1,984
Smith (A.O.) Corp., Class B 211,100 5,462
Westcast Industries, Inc.,
Class A 50,000 550
- - ---------------------------------------------------------
GROUP TOTAL 39,824
- - ---------------------------------------------------------
CONSUMER SERVICES (1.7%)
American Publishing Co. 354,000 4,425
* Heritage Media Corp.,
Class A 28,900 871
HMG Worldwide Corp. 180,000 427
* John Q. Hammons Hotels,
Inc. 129,600 1,669
- - ---------------------------------------------------------
GROUP TOTAL 7,392
- - ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (6.4%)
Edwards (A.G.), Inc. 85,500 2,276
GATX Corp. 45,700 2,365
Inter-Regional Financial
Group, Inc. 30,000 1,080
* Interpool, Inc. 28,100 485
Legg Mason, Inc. 57,100 1,699
North American Mortgage Co. 28,900 751
Price (T. Rowe) Associates 65,500 3,357
Raymond James Financial,
Inc. 28,200 613
United Asset Management
Corp. 368,300 14,778
- - ---------------------------------------------------------
GROUP TOTAL 27,404
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
8
<PAGE> 11
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
ENERGY (3.9%)
* Basin Exploration, Inc. 193,800 $ 1,017
Belden & Blake Corp. 40,000 760
Cabot Oil & Gas Corp.,
Class A 63,300 862
* Coda Energy, Inc. 145,000 1,078
Energen Corp. 129,100 2,808
* Enterra Corp. 46,100 1,014
International Colin Energy
Corp. 314,200 1,650
* Maverick Tube Corp. 115,000 920
* Newfield Exploration Co. 40,100 1,208
* Nuevo Energy Co. 33,500 754
Southwest Gas Corp. 112,400 1,757
Southwestern Energy Co. 83,500 1,138
* Tide West Oil Co. 69,700 749
Ultramar Corp. 27,700 658
Western Gas Resources, Inc. 29,700 497
- - ---------------------------------------------------------
GROUP TOTAL 16,870
- - ---------------------------------------------------------
FOOD, TOBACCO & OTHER (2.7%)
Dimon, Inc. 321,300 4,820
Grupo Industrial Maseca, SA
de CV ADR 192,500 2,214
Stokely USA, Inc. 561,300 3,928
Universal Foods Corp. 22,500 506
- - ---------------------------------------------------------
GROUP TOTAL 11,468
- - ---------------------------------------------------------
HEALTH CARE (9.7%)
Bergen Brunswig Corp.,
Class A 160,400 3,429
Bindley Western Industries 117,000 2,179
* Datascope Corp. 165,900 3,442
* Haemonetics Corp. 142,500 3,278
* Lincare Holdings, Inc. 30,000 773
* Maxicare Health Plans,
Inc. 148,800 2,771
Medex, Inc. 14,800 157
* Multicare Cos.,Inc. 166,500 3,871
* OrNda Healthcorp 473,443 10,061
* Physicians Health
Services, Inc., Class A 51,500 1,416
Protocol Systems 168,900 1,942
* Regency Health Services,
Inc. 90,200 936
* Sierra Health Services 138,300 3,458
Sterile Concepts Holdings,
Inc. 173,800 2,411
Surgical Care Affiliates,
Inc. 74,200 1,725
- - ---------------------------------------------------------
GROUP TOTAL 41,849
- - ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (12.0%)
* Allied Holdings, Inc. 146,800 1,174
* American Buildings Co. 104,200 2,462
* Career Horizons, Inc. 121,800 3,380
* Centex Construction
Products 25,800 339
Comair Holdings, Inc. 28,500 755
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
* Detroit Diesel Corp. 29,500 $ 620
* Giant Cement Holdings,
Inc. 621,200 7,532
Greenbrier Companies, Inc. 140,800 1,584
* Interim Services, Inc. 73,800 1,993
* Johnstown America
Industries, Inc. 112,500 914
Kelly Services, Inc., Class
A 78,600 2,103
Martin Marietta Materials,
Inc. 239,000 4,690
* Mesa Airlines, Inc. 316,800 3,227
NCI Building Systems, Inc. 142,700 3,353
Old Dominion Freight Lines,
Inc. 124,700 1,309
PST Vans, Inc. 110,000 784
Regal Beloit Corp. 110,500 2,059
Skywest, Inc. 34,700 659
Teekay Shipping Corp. 81,600 1,958
Texas Industries, Inc. 75,500 3,983
TNT Freightways Corp. 51,700 976
* U.S. Xpress Enterprises,
Inc., Class A 46,100 409
York International Corp. 121,900 5,135
- - ---------------------------------------------------------
GROUP TOTAL 51,398
- - ---------------------------------------------------------
INSURANCE (4.2%)
Allied Group, Inc. 70,300 2,302
Allied Life Financial Corp. 67,000 1,173
Financial Security
Assurance Holdings 148,000 3,756
Penncorp Financial Group,
Inc. 35,000 836
PMI Group, Inc. 48,600 2,302
Presidential Life Corp. 195,700 1,688
Protective Life Corp. 39,400 1,152
Sphere Drake Holdings Ltd. 14,400 216
Transnational RE Corp.,
Class A 87,300 2,007
Washington National Corp. 109,500 2,724
- - ---------------------------------------------------------
GROUP TOTAL 18,156
- - ---------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (6.3%)
Associated Estates Realty
Corp. 94,300 1,933
Healthcare Realty Trust,
Inc. 165,200 3,428
Home Properties of N.Y.
Inc. 378,800 6,440
Oasis Residential, Inc. 83,200 1,872
Regency Realty Corp. 47,300 834
ROC Communities, Inc. 180,600 4,176
South West Property Trust 92,200 1,176
Sun Communities, Inc. 118,800 3,088
Tanger Factory Outlet
Center, Inc. 9,400 234
Walden Residential
Properties, Inc. 214,800 4,054
- - ---------------------------------------------------------
GROUP TOTAL 27,235
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
RETAIL (3.9%)
Big B, Inc. 199,000 $ 2,960
Cato Corp., Class A 250,800 1,787
Culp, Inc. 115,500 1,242
* Dress Barn (The), Inc. 122,700 1,273
Farah, Inc. 104,000 767
* Galey & Lord, Inc. 92,600 1,273
Haverty Furniture Co. 123,550 1,683
* Jos. A. Bank Clothiers,
Inc. 222,000 749
Max & Erma's Restaurants,
Inc. 64,020 512
Paul Harris Stores, Inc. 273,000 478
* Welcome Home, Inc. 95,200 286
Westpoint Stevens, Inc. 57,000 1,226
* Wickes Lumber Co. 259,600 2,531
- - ---------------------------------------------------------
GROUP TOTAL 16,767
- - ---------------------------------------------------------
TECHNOLOGY (11.8%)
Align-Rite International,
Inc. 217,400 3,016
* American Management
Systems 50,000 1,338
* Amphenol Corp., Class A 177,000 3,828
* Auspex Systems, Inc. 105,100 1,642
Autoclave Engineers, Inc. 112,000 1,778
Belden, Inc. 137,700 3,615
* C.I.S. Technologies, Inc. 45,000 174
Dallas Semiconductor 78,600 1,611
* Dionex Corp. 102,000 5,330
* Exabyte Corp. 166,900 2,253
* Exar Corp. 53,150 1,900
* IPC Information Systems,
Inc. 101,800 1,731
MacNeal-Schwendler Corp. 4,800 82
Norstan, Inc. 53,300 1,386
* Progress Software Corp. 29,800 1,997
* Quickturn Designs
Systems, Inc. 232,900 2,416
* Read-Rite Corp. 31,500 1,150
Sterling Software, Inc.
(Escrow) 6,951 --
Sterling Software, Inc. 121,062 5,508
Stormmedia, Inc. 59,400 2,687
* Western Digital Corp. 455,000 7,223
- - ---------------------------------------------------------
GROUP TOTAL 50,665
- - ---------------------------------------------------------
UTILITIES (2.7%)
Commonwealth Energy Systems 123,000 5,335
Rochester Gas & Electric
Corp. 263,400 6,223
- - ---------------------------------------------------------
GROUP TOTAL 11,558
- - ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $377,209) 398,569
- - ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCK (0.1%)
- - ---------------------------------------------------------
Allstate Corp.
6.75%, 1998
(Cost $280) 7,100 $ 303
- - ---------------------------------------------------------
CASH EQUIVALENTS (6.5%)
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENT (6.5%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased
at $27,920, collateralized
by $28,027 of various U.S.
Government and Agency
Obligations, due
10/3/95-7/7/97, valued at
$28,185
(Cost $27,906) $27,906 27,906
- - ---------------------------------------------------------
TOTAL INVESTMENTS (99.2%) (Cost $405,395) 426,778
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.8%)
Cash 1
Dividends Receivable 555
Interest Receivable 10
Receivable for Fund Shares Sold 2,721
Receivable for Investments Sold 6,066
Other Assets 1
Payable for Fund Shares Redeemed (1,114)
Payable for Investments Purchased (3,777)
Payable for Administrative Fees (32)
Payable for Investment Advisory Fees (783)
Other Liabilities (58)
--------
3,590
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 23,537,596 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $430,368
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.28
- - ---------------------------------------------------------
+ See Note A1 to Financial Statements.
* Non-income producing security.
ADR American Depositary Receipt.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
SELECT EQUITY
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (89.7%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1995 SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
BANKS (5.4%)
Barnett Banks of Florida, Inc. 1,700 $ 96
Boatmen's Bancshares, Inc. 3,700 137
Chemical Banking Corp. 6,400 390
Citicorp 2,900 205
Comerica, Inc. 3,400 124
First Fidelity Bancorp 800 54
First Union Corp. 1,900 97
NationsBank Corp. 5,520 371
SunTrust Banks, Inc. 1,600 106
U.S. Bancorp, Inc. 100 3
- - ---------------------------------------------------------
GROUP TOTAL 1,583
- - ---------------------------------------------------------
BASIC RESOURCES (3.4%)
Dow Chemical Co. 3,900 291
Georgia Pacific Corp. 1,700 149
Scott Paper Co. 4,300 208
Temple-Inland, Inc. 2,800 149
W R Grace & Co. 2,900 194
- - ---------------------------------------------------------
GROUP TOTAL 991
- - ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (3.8%)
Anheuser Busch Cos, Inc. 2,200 137
Avon Products, Inc. 2,300 165
PepsiCo, Inc. 10,700 546
Procter & Gamble Co. 3,400 262
- - ---------------------------------------------------------
GROUP TOTAL 1,110
- - ---------------------------------------------------------
CONSUMER DURABLES (3.4%)
Armstrong World Industries,
Inc. 900 50
Chrysler Corp. 2,100 111
Eastman Kodak Co. 1,600 95
Eaton Corp. 2,600 138
General Motors Corp. 8,500 398
Goodyear Tire & Rubber Co. 5,500 217
- - ---------------------------------------------------------
GROUP TOTAL 1,009
- - ---------------------------------------------------------
CONSUMER SERVICES (3.2%)
Capital Cities ABC, Inc. 1,400 165
News Corp. Ltd. ADR 7,700 153
Service Corp. International 4,000 156
* Tele-Communications, Inc.,
Class A 7,000 123
* Tele-Communications-Liberty
Media Group, Class A 3,550 95
Time Warner, Inc. 4,200 167
Walt Disney Co. 1,800 103
- - ---------------------------------------------------------
GROUP TOTAL 962
- - ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
CREDIT & FINANCE/INVESTMENT COMPANIES (2.0%)
Federal Home Loan Mortgage
Corp. 1,900 $ 131
Federal National Mortgage
Association 2,900 300
Lehman Brothers Holdings, Inc. 146 3
Transamerica Corp. 2,419 173
- - ---------------------------------------------------------
GROUP TOTAL 607
- - ---------------------------------------------------------
ENERGY (7.4%)
Amoco Corp. 4,000 257
Atlantic Richfield Co. 4,800 515
Burlington Resources, Inc. 2,900 112
Coastal Corp. 4,400 148
El Paso Natural Gas Co. 2,300 63
Kerr-McGee Corp. 5,700 316
Mobil Corp. 5,300 528
Norsk Hydro A.S. 1,900 82
Unocal Corp. 5,771 165
- - ---------------------------------------------------------
GROUP TOTAL 2,186
- - ---------------------------------------------------------
FOOD, TOBACCO & OTHER (5.2%)
American Brands, Inc. 6,300 266
Archer Daniels Midland Co. 9,605 148
Campbell Soup Co. 2,800 141
Philip Morris Cos., Inc. 7,000 584
RJR Nabisco Holdings Corp. 8,800 285
UST, Inc. 3,900 112
- - ---------------------------------------------------------
GROUP TOTAL 1,536
- - ---------------------------------------------------------
HEALTH CARE (9.5%)
American Home Products Corp. 4,200 356
Baxter International, Inc. 4,451 183
Becton, Dickinson & Co. 12,400 780
Columbia HCA Healthcare Corp. 5,680 275
* Humana, Inc. 4,900 99
Merck & Co., Inc. 17,700 991
U.S. Healthcare, Inc. 3,700 131
- - ---------------------------------------------------------
GROUP TOTAL 2,815
- - ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.6%)
* AMR Corp. 2,000 144
Burlington Northern, Inc. 3,091 224
CSX Corp. 800 68
Cooper Industries, Inc. 4,500 159
General Electric Co. 9,000 574
ITT Corp. 1,300 161
Tenneco, Inc. 4,700 217
Textron, Inc. 2,300 157
Union Pacific Corp. 6,100 404
WMX Technologies, Inc. 5,400 154
- - ---------------------------------------------------------
GROUP TOTAL 2,262
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
SELECT EQUITY
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
INSURANCE (2.2%)
Aetna Life & Casualty Co. 2,500 $ 183
AFLAC, Inc. 1,800 75
Exel Ltd. 5,200 302
Marsh & McLennan, Inc. 1,000 88
- - ---------------------------------------------------------
GROUP TOTAL 648
- - ---------------------------------------------------------
MID CAP GROWTH (4.2%)
Adobe Systems, Inc. 300 16
*Airgas, Inc. 600 16
*American Mobile Satellite
Corp. 700 17
*Boca Research, Inc. 200 5
*Boston Chicken, Inc. 600 16
*Broderbund Software, Inc. 200 15
Cardinal Health, Inc. 400 22
*Cellstar Corp. 500 16
*Cellular Communications, Inc.,
Class A 200 11
*Ceridian Corp. 500 22
*CIDCO, Inc. 800 28
Cintas Corp. 550 24
Citicasters, Inc. 300 10
*CNS, Inc. 1,200 16
Comcast Corp., Class A Special 825 17
*Comcast UK Cable Partners 600 9
Computron Software, Inc. 1,000 17
*Cordis Corp. 100 8
Danaher Corp. 550 18
*Eckerd Corp. 500 20
*Electronics for Imaging,
Inc. 200 14
Firefox Communications, Inc. 200 5
*Fiserv, Inc. 350 10
Frontier Corp. 1,200 32
*Gartner Group, Inc., Class A 600 20
General Cable plc ADR 500 8
*Glenayre Technologies, Inc. 350 25
Globalstar Telecommunications,
Ltd. 800 17
*Health Management
Association, Class A 1,275 41
*Healthcare Compare Corp. 300 12
HFS, Inc. 300 16
HighwayMaster Communications,
Inc. 100 1
*Inter-Tel, Inc. 300 5
*International Cabletel, Inc. 933 26
*Kemet Corp. 200 7
Kent Electronics Corp. 600 25
La Quinta Motor Inns, Inc. 650 18
Lin Television Corp. 300 9
*Lincare Holdings, Inc. 900 23
*LSI Logic Corp. 300 17
Maxis, Inc. 200 9
*McAfee Associates, Inc. 200 10
*Millicom International
Cellular S.A. 300 10
Mylan Labs, Inc. 450 9
Nokia Corp., ADR 200 14
*North American Biologicals,
Inc. 500 4
OfficeMax, Inc. 600 15
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
*OrNda Healthcorp 550 $ 12
*Paging Network, Inc. 600 29
Palmer Wireless, Inc. 500 11
PanAmSat Corp. 1,000 15
Papa John's International,
Inc. 300 14
Paychex, Inc. 550 25
P-Com, Inc. 200 9
PMI Group, Inc. 200 9
Post Properties, Inc. 300 9
*Qualcomm, Inc. 400 18
*Robert Mondavi Corp., Class A 500 13
*Rotech Medical Corp. 1,200 30
Security Capital Industrial
Trust 500 8
Security Capital Pacific Trust 500 10
Sinclair Broadcast Group, Inc. 400 12
Sirrom Capital Corp. 700 13
Softkey International, Inc. 400 18
Stewart Enterprises, Inc.,
Class A 400 15
*Sunglass Hut International,
Inc. 300 15
Tanger Factory Outlet Center 300 7
*Tele-Communications, Inc.,
Class A 3,567 62
Tele-Communications
International, Inc., Class A 700 13
*Tele-Communications-Liberty
Media Group, Class A 641 17
*Tellabs, Inc. 400 17
*Tommy Hilfiger Corp. 600 20
Transaction Systems Architect,
Inc., Class A 400 11
*United International
Holdings, Inc., Class A 600 11
*United Video Satellite Group 400 12
Videotron Holdings plc ADR 300 5
*Viking Office Products, Inc. 400 17
*Vivra, Inc. 350 11
Wolverine World Wide, Inc. 600 16
- - ---------------------------------------------------------
GROUP TOTAL 1,229
- - ---------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (0.4%)
DeBartolo Realty Corp. 2,700 38
Developers Diversified Realty
Corp. 1,000 30
Security Capital Pacific Trust 2,055 39
- - ---------------------------------------------------------
GROUP TOTAL 107
- - ---------------------------------------------------------
RETAIL (5.2%)
Circuit City Stores, Inc. 4,000 127
*Federated Department Stores,
Inc. 4,900 139
Home Depot, Inc. 5,500 219
*Kroger Co. 4,500 154
NIKE, Inc., Class B 100 11
*Office Depot, Inc. 3,100 93
OfficeMax, Inc. 4,150 101
Sears, Roebuck & Co. 8,500 313
Wal-Mart Stores, Inc. 8,900 221
Wendy's International, Inc. 8,000 169
- - ---------------------------------------------------------
GROUP TOTAL 1,547
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - -------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (6.1%)
* Compaq Computer Corp. 5,300 $ 256
Intel Corp. 4,700 283
International Business
Machines Corp. 2,700 255
Motorola, Inc. 1,800 137
* National Semiconductor Corp. 7,900 218
* Oracle System Corp. 2,450 94
* Project Software &
Development, Inc. 150 4
* Seagate Technology 6,000 253
Texas Instruments, Inc. 3,700 296
- - ---------------------------------------------------------
GROUP TOTAL 1,796
- - ---------------------------------------------------------
UTILITIES (10.0%)
* AirTouch Communications,
Inc. 4,200 129
Consolidated Edison Co. of
New York 2,300 70
Entergy Corp. 5,700 149
Florida Progress Corp. 2,300 74
Frontier Corp. 6,300 168
GTE Corp. 10,900 428
Houston Industries, Inc. 2,000 88
MCI Communications Corp. 8,100 211
Ohio Edison Co. 6,300 143
Pacific Gas & Electric Co. 4,900 146
PECO Energy Co. 3,800 109
Public Service Enterprise
Group, Inc. 2,700 80
SBC Communications, Inc. 6,000 330
Sprint Corp. 10,100 354
U.S. West, Inc. 6,600 311
Unicom Corp. 5,900 178
- - ---------------------------------------------------------
GROUP TOTAL 2,968
- - ---------------------------------------------------------
VALUE (10.7%)
Allied Signal, Inc. 500 22
Allstate Corp. 648 23
American General Corp. 1,600 60
Amoco Corp. 400 26
Anheuser Busch Cos., Inc. 500 31
Archer Daniels Midland Co. 1,890 29
Armstrong World Industries,
Inc. 800 44
Atlantic Richfield Co. 300 32
Bank of Boston Corp. 820 39
Bard (C.R.), Inc. 600 18
Bergen Brunswig Corp., Class A 1,000 21
Boatmen's Bancshares, Inc. 500 18
Boise Cascade Corp. 200 8
Brunswick Corp. 1,800 36
Burlington Northern, Inc. 700 51
Cabot Oil & Gas Corp., Class A 300 16
Capital One Financial Corp. 1,000 29
Central Maine Power Co. 1,900 25
Chemical Banking Corp. 600 37
Citicorp 300 21
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
* Compaq Computer Corp. 1,400 $ 68
Crestar Financial Corp. 624 35
CSX Corp. 500 42
Cyprus Amax Minerals Co. 1,000 28
Dayton-Hudson Corp. 300 23
Dexter Corp. 900 23
Dillard Department Stores,
Inc., Class A 800 26
Eastman Chemical Co. 175 11
Eaton Corp. 900 48
El Paso Natural Gas Co. 1,100 30
Entergy Corp. 698 18
* Federal Express Corp. 400 33
Federal Home Loan Mortgage
Corp. 400 28
Federal National Mortgage
Association 600 62
First of America Bank Corp. 928 40
* FMC Corp. 300 23
* Foundation Health Corp. 1,600 61
General Motors Corp. 1,566 73
General Public Utilities Corp. 1,600 50
Goodyear Tire & Rubber Co. 2,000 79
Great Western Financial Corp. 2,000 48
International Business
Machines Corp. 400 38
ITT Corp. 300 37
Lockheed Martin Corp. 489 33
Long Island Lighting Co. 1,700 29
Mallinckrodt Group, Inc. 1,000 40
MAPCO, Inc. 900 46
MCI Communications Corp. 1,300 34
Melville Corp. 800 28
* National Semiconductor Corp. 1,800 50
New York State Electric & Gas
Corp. 700 18
Northern Trust Corp. 200 9
* PacifiCare Health Systems
Class B 400 27
PECO Energy Co. 1,500 43
PHH Corp. 700 32
Philip Morris Cos., Inc. 1,200 100
PNC Bank Corp. 800 22
Providian Corp. 1,400 58
RJR Nabisco Holdings Corp. 1,100 36
Rohm & Haas Co. 400 24
Ryder Systems, Inc. 1,500 38
SAFECO Corp. 300 20
Scitex Corp., Ltd. 11,000 208
* Seagate Technology 1,100 46
Sears, Roebuck & Co. 1,400 52
Shawmut National Corp. 600 20
Signet Banking Corp. 513 13
Sprint Corp. 900 32
St. Paul Cos., Inc. 700 41
Standard Register Co. 700 15
TCF Financial Corp. 300 17
Tecumseh Products Co., Class A 600 29
Telefonica de Espana ADR 1,000 41
* Tenet Healthcare Corp. 2,800 49
Texas Instruments, Inc. 400 32
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
SELECT EQUITY PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Textron, Inc. 800 $ 55
Torchmark Corp. 300 13
Trinova Corp. 1,400 47
Ultramar Corp. 2,400 57
Universal Foods Corp. 500 17
V. F. Corp. 700 35
* Western Digital Corp. 2,000 32
Weyerhaeuser Co. 400 18
Whirlpool Corp. 400 23
Williams Cos., Inc. 600 23
YPF SA ADR 3,400 60
- - ---------------------------------------------------------
GROUP TOTAL 3,172
- - ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $22,947) 26,528
- - ---------------------------------------------------------
CONVERTIBLE BONDS (0.0%)
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
--------- ------
<S> <C> <C> <C>
Time Warner, Inc.
8.75%, 1/10/15
(Cost $1) BB+ $ 1 1
- - ---------------------------------------------------------
CASH EQUIVALENTS (18.5%)
- - ---------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(0.3%) 84 84
- - ---------------------------------------------------------
COMMERCIAL PAPER (4.1%)
Raytheon Co.
5.79%, 10/3/95 600 600
Siemens Corp.
5.78%, 10/4/95 600 600
- - ---------------------------------------------------------
GROUP TOTAL 1,200
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- - ---------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (14.1%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95 due
10/2/95, to be repurchased at
$4,186, collateralized by
$4,203 of various U.S.
Government and Agency
Obligations, due 10/3/95-
7/7/97, valued at $4,227
(Cost $4,184) $4,184 $ 4,184
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $5,468) 5,468
- - ---------------------------------------------------------
TOTAL INVESTMENTS (108.2%) (Cost $28,416) 31,997
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-8.2%)
Dividends Receivable 56
Interest Receivable 1
Receivable for Fund Shares Sold 100
Receivable for Investments Sold 160
Payable for Investments Purchased (2,601)
Payable for Administrative Fees (3)
Payable for Investment Advisory Fees (26)
Collateral on Securities Loaned, at
Value (84)
Other Liabilities (19)
-------
(2,416)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 2,507,639 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $29,581
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.80
- - ---------------------------------------------------------
</TABLE>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security.
ADR American Depositary Receipt.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
14
<PAGE> 17
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
INTERNATIONAL EQUITY
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (91.0%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1995 SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
ARGENTINA (1.0%)
Banco Frances del Rio de
la Plata SA ADR 166,300 $ 3,596
* Central Termoelectrica 94,167 108
B.A. SA
CIADEA SA 862,093 3,406
YPF SA ADR 258,300 4,649
- - ---------------------------------------------------------
GROUP TOTAL 11,759
- - ---------------------------------------------------------
AUSTRALIA (2.7%)
Broken Hill Proprietary
Co., Ltd. 318,780 4,392
National Australia
Bank Ltd. 894,400 7,906
Pacific Dunlop Ltd. 3,924,000 9,753
* Qantas Airways Ltd. 2,746,000 4,875
*(+) Qantas Airways Ltd.
ADR 32,000 568
Reinsurance Australia
Corp., Ltd. 2,195,000 4,063
- - ---------------------------------------------------------
GROUP TOTAL 31,557
- - ---------------------------------------------------------
AUSTRIA (0.6%)
Flughafen Wien AG 108,420 6,853
- - ---------------------------------------------------------
BELGIUM (0.2%)
Powerfin SA 24,250 2,711
- - ---------------------------------------------------------
CANADA (1.5%)
Abitibi-Price, Inc. 400,800 6,972
Four Seasons Hotels, Inc. 140,500 1,778
Royal Bank of Canada 392,000 8,607
- - ---------------------------------------------------------
GROUP TOTAL 17,357
- - ---------------------------------------------------------
CHINA (0.2%)
Shanghai Dazhong Taxi,
Class B 2,380,671 1,952
- - ---------------------------------------------------------
COLOMBIA (0.2%)
Banco Ganadero, SA ADR 176,000 2,508
- - ---------------------------------------------------------
FRANCE (5.2%)
Air Liquide 19,300 3,074
Alcatel Alsthom 59,056 4,968
Carrefour SA 10,400 6,105
Christian Dior SA 71,100 6,470
Cie de Saint Gobain 29,152 3,553
Cie Generale Des Eaux 49,519 4,757
Elf Aquitaine 83,500 5,636
(a) Groupe Danone SA 23,900 3,864
L'Oreal SA 5,000 1,275
LVMH Moet Hennessy SA 10,300 1,944
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Michelin, Class B 101,300 $ 4,443
Societe Generale 39,800 4,075
Usinor Sacilor 563,000 10,012
- - ---------------------------------------------------------
GROUP TOTAL 60,176
- - ---------------------------------------------------------
GERMANY (5.2%)
Daimler-Benz AG 9,410 4,646
Degussa AG 10,210 3,188
Deutsche Bank AG 210,800 10,046
Hoechst AG 35,400 8,611
Mannesmann AG 7,840 2,565
(a) Munich Ruekvers AG 5,090 10,369
SGL Carbon AG 123,000 7,999
Siemens AG 8,390 4,220
Veba AG 161,900 6,420
Volkswagen AG 8,370 2,713
- - ---------------------------------------------------------
GROUP TOTAL 60,777
- - ---------------------------------------------------------
HONG KONG (6.1%)
Cheung Kong Holdings Ltd. 1,412,000 7,689
Hang Seng Bank Ltd. 786,000 6,481
* High Fashion
International Ltd. 4,965,946 289
Hong Kong & China Gas Co.
Ltd. 4,352,400 7,009
Hong Kong Land Holdings
Ltd. 4,085,000 7,149
Hong Kong
Telecommunications Ltd. 3,721,600 6,763
Hutchison Whampoa Ltd. 1,403,000 7,604
Johnson Electric Holdings
Ltd. 1,779,300 3,544
Li & Fung Ltd. 2,318,800 1,770
Sun Hung Kai Properties
Ltd. 830,300 6,739
Swire Pacific Ltd., Class
A 804,500 6,374
Varitronix International
Ltd. 1,955,000 3,983
Wharf (Holdings) Ltd. 1,738,000 5,418
- - ---------------------------------------------------------
GROUP TOTAL 70,812
- - ---------------------------------------------------------
INDONESIA (1.6%)
Bank Dagang Nasional
(Foreign) 5,749,250 5,267
Hanajaya Mandala
Sampoerna (Foreign) 146,500 1,365
Indofood Sukses Makmur 763,000 3,680
Kalbe Farma (Foreign) 1,024,080 4,092
Unilever Indonesia
(Foreign) 290,536 4,361
- - ---------------------------------------------------------
GROUP TOTAL 18,765
- - ---------------------------------------------------------
ITALY (0.7%)
Olivetti Group 5,826,000 4,987
Telecom Italia S.p.A. 2,054,500 3,366
- - ---------------------------------------------------------
GROUP TOTAL 8,353
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
PORTFOLIO
VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
JAPAN (24.8%)
Canon, Inc. 635,000 $ 11,350
Chiyoda Fire & Marine
Insurance Co., Ltd. 764,000 4,498
Daiwa House Industry 561,000 8,837
Fuji Photo Film Ltd. 462,000 11,523
Hitachi Ltd. 1,485,000 16,195
(a) Ito-Yokado Co., Ltd. 302,000 16,712
Kansai Electric Power Co. 431,270 10,713
Kao Corp. 1,229,000 15,265
Kirin Brewery Co., Ltd. 1,446,000 15,186
Matsushita Electric
Industries Ltd. 814,000 12,494
Mitsubishi Corp. 309,000 3,463
Mitsubishi Heavy
Industries Ltd. 1,605,000 12,317
* NKK Corp. 2,387,000 6,388
Nichido Fire & Marine
Insurance Co. 1,007,000 8,277
Nippon Oil Co., Ltd. 2,013,000 10,855
Sekisui Chemical Co. 554,000 7,049
Shiseido Co., Ltd. 890,000 9,257
Sumitomo Marine & Fire
Insurance Co. 1,801,000 13,658
Sumitomo Bank 385,000 7,464
Sumitomo Electric
Industries 496,000 6,060
Sumitomo Metal 2,014,000 5,857
Takeda Chemical
Industries 878,000 12,235
Tokio Marine & Fire
Insurance 1,382,000 14,932
Tostem Corp. 224,000 7,216
Toyo Seikan Kaisha 158,000 4,930
(a) Yamanouchi
Pharmaceutical Co. 723,000 15,624
Yasuda Fire & Marine
Insurance 2,183,000 14,108
Yasuda Trust &
Banking Co. 935,000 5,467
- - ---------------------------------------------------------
GROUP TOTAL 287,930
- - ---------------------------------------------------------
KOREA (3.3%)
Hanjin Shipping Co., Ltd. 164,311 10,589
Hyundai Engineering &
Construction Co. 67,518 3,552
Korea Electric Power
Corp. 104,000 3,913
* Korean Air 109,000 3,704
L. G. Chemical Ltd. 197,060 4,336
* Samsung Electronics Co. 30,260 6,520
* Samsung Electronics Co. (New) 90 19
*(+) Samsung Electronics Co. GDR 14 1
*(+) Samsung Electronics
Co. GDR
(New) 1,007 72
*(+) Samsung Electronics
Co. GDS 199 14
Shinhan Bank Co., Ltd. 201,700 4,464
Shinhan Bank Co., Ltd. (New) 34,646 735
- - ---------------------------------------------------------
GROUP TOTAL 37,919
- - ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
MALAYSIA (2.3%)
Genting Bhd. 242,000 $2,091
Leader Universal Cable
Holdings Bhd. 583,000 1,787
Malayan Banking Bhd. 951,000 7,686
Malaysia Airline System
Bhd. 626,000 1,795
Nestle Malaysia Bhd. 419,000 2,970
Resorts World Bhd. 424,000 2,110
United Engineers Bhd. 803,000 5,148
YTL Corp. Bhd. 676,000 3,499
- - ---------------------------------------------------------
GROUP TOTAL 27,086
- - ---------------------------------------------------------
MEXICO (1.4%)
* Desc Sociedad de Fomento
Industrial SA de CV,
Series B 1,302,000 4,902
Grupo Financiero Capital
SA 377,782 2,434
Grupo Radio Centro SA ADR 75,600 624
Grupo Televisa SA GDS 191,000 3,820
Panamerican Beverages,
Inc., Class A 160,900 4,324
- - ---------------------------------------------------------
GROUP TOTAL 16,104
- - ---------------------------------------------------------
NETHERLANDS (4.0%)
DSM N.V. 32,300 2,593
Elsevier N.V. 287,500 3,685
Internationale
Nederlanden N.V. 81,095 4,710
Philips Electronics N.V. 143,000 6,974
Polygram N.V. 36,600 2,380
Royal Dutch Petroleum Co. 84,500 10,387
Royal PTT Nederland N.V. 147,000 5,193
Unilever N.V. 31,300 4,069
Wolters Kluwer 64,774 5,949
- - ---------------------------------------------------------
GROUP TOTAL 45,940
- - ---------------------------------------------------------
PAKISTAN (0.0%)
D.G. Khan Cement Ltd. 120,000 177
Pakistan State Oil Co.,
Ltd. 10,000 114
- - ---------------------------------------------------------
GROUP TOTAL 291
- - ---------------------------------------------------------
PHILIPPINES (0.6%)
Metropolitan Bank &
Trust Co. 8,843 165
Philippine Commercial
International Bank 220,000 1,985
San Miguel, Class B ADR 147,550 5,210
- - ---------------------------------------------------------
GROUP TOTAL 7,360
- - ---------------------------------------------------------
SINGAPORE (2.7%)
DBS Land Ltd. 957,000 2,839
Jardine Matheson Holdings 827,000 5,582
Jardine Strategic
Holdings Ltd. 3,655,750 10,675
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Overseas Union Bank Ltd. 1,339,000 $ 8,565
Singapore Press Holdings
(Foreign) 233,160 3,573
- - ---------------------------------------------------------
GROUP TOTAL 31,234
- - ---------------------------------------------------------
SOUTH AFRICA (0.5%)
Anglovaal Industries Ltd. 38,700 1,420
DeBeers Consolidated
Mines Ltd. ADR 61,800 1,684
Liberty Life Association
of Africa 56,700 1,437
South African Breweries Ltd. 48,845 1,539
- - ---------------------------------------------------------
GROUP TOTAL 6,080
- - ---------------------------------------------------------
SPAIN (1.1%)
Empresa Nacional de
Eletricidad SA 75,500 3,872
Iberdrola SA 346,400 2,617
Repsol SA 73,700 2,316
Telefonica Nacional de
Espana 253,700 3,489
- - ---------------------------------------------------------
GROUP TOTAL 12,294
- - ---------------------------------------------------------
SRI LANKA (0.4%)
Development Finance Corp.
of Ceylon 687,556 3,933
(+) John Keells Holding
Ltd. ADR 40,000 270
- - ---------------------------------------------------------
GROUP TOTAL 4,203
- - ---------------------------------------------------------
SWEDEN (1.6%)
SKF AB, Class B 370,000 8,171
Volvo AB, Class B 427,450 10,488
- - ---------------------------------------------------------
GROUP TOTAL 18,659
- - ---------------------------------------------------------
SWITZERLAND (6.1%)
BBC Brown Boveri Ltd. AG
(Bearer) 10,715 12,414
Ciba-Geigy AG 6,270 5,024
Nestle SA AG 15,310 15,672
Roche Holdings AG 1,800 12,709
Sandoz AG 9,500 7,234
Swiss Bank Corp. (Bearer) 24,776 9,476
Zurich Insurance (Bearer) 29,100 8,158
- - ---------------------------------------------------------
GROUP TOTAL 70,687
- - ---------------------------------------------------------
TAIWAN (1.8%)
Cathay Life Insurance 573,600 2,534
China Steel Corp. ADR 144,000 2,664
Evergreen Marine Corp. 1,868,900 2,701
Formosa Chemicals & Fiber
Corp. 2,034,150 1,970
Formosa Plastics Corp. 1,609,500 2,618
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Taiwan Semiconductor
Manufacturing Co. 1,666,800 $ 6,068
Walsin Lihwa Electric
Wire & Cable Corp. 1,397,760 1,679
- - ---------------------------------------------------------
GROUP TOTAL 20,234
- - ---------------------------------------------------------
THAILAND (1.8%)
Charoen Pokphand Feedmill
Co., Ltd. 586,000 2,804
Finance One Public Co.,
Ltd. (Foreign) 216,000 1,318
International Cosmetic
Co., Ltd. (Foreign) 148,280 2,105
Land & House Co., Ltd. 82,300 1,188
TPI Public Co., Ltd.
(Foreign) 686,900 5,204
* Thai Airways
International, Ltd.
(Foreign) 935,100 1,734
Thai Farmers Bank Ltd. 1,063,000 6,951
- - ---------------------------------------------------------
GROUP TOTAL 21,304
- - ---------------------------------------------------------
TURKEY (0.2%)
(+) Turk Otomobil
Fabrikasi AS ADR 2,480,400 1,939
- - ---------------------------------------------------------
UNITED KINGDOM (12.9%)
Abbey National plc 1,532,800 13,124
Argyll Group plc 2,712,100 14,395
B.A.T. Industries plc 1,558,900 13,027
British Petroleum Co. plc 1,438,000 10,790
British Telecom Co. plc 1,506,700 9,425
East Midlands Electricity
plc 977,200 13,260
Hanson plc 2,831,898 9,059
Imperial Chemical
Industries plc 687,700 8,723
Kingfisher plc 1,500,000 11,943
Redland plc 1,189,200 7,120
Royal Insurance Holdings
plc 2,435,700 13,582
(a) SmithKline Beecham,
Class A 1,484,200 15,006
Unilever plc 536,900 10,721
- - ---------------------------------------------------------
GROUP TOTAL 150,175
- - ---------------------------------------------------------
UNITED STATES (0.3%)
* Millicom International
Cellular SA 113,800 3,656
- - ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $969,488) 1,056,675
- - ---------------------------------------------------------
PREFERRED STOCKS (1.4%)
- - ---------------------------------------------------------
BRAZIL (0.6%)
Telebras SA 91,000,000 4,344
Usinas Siderurgicas de
Minas Gerais ADR 2,650,000 2,920
- - ---------------------------------------------------------
GROUP TOTAL 7,264
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
PORTFOLIO
VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
FINLAND (0.8%)
Nokia AB 124,700 $ 8,755
- - ---------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $10,482) 16,019
- - ---------------------------------------------------------
WARRANTS (0.0%)
- - ---------------------------------------------------------
HONG KONG (0.0%)
* Min Xin Holdings Ltd.,
expiring 12/31/96 480,000 5
- - ---------------------------------------------------------
SINGAPORE (0.0%)
* Jardine Strategic
Holdings Ltd., expiring
5/2/98 101,250 36
- - ---------------------------------------------------------
TOTAL WARRANTS (Cost $0) 41
- - ---------------------------------------------------------
FOREIGN CURRENCY (1.7%)
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
British Pound L 1,203 1,901
Canadian Dollar C$ 34 25
French Franc FF 212 42
German Mark DM 3 2
Hong Kong Dollar HK$ 1,089 141
Indonesian Rupiah IN 383,972 170
Italian Lira IL 327 --
Japanese Yen Y 728,234 7,354
Korean Won KW 1,364,209 1,776
Netherlands Guilder NG 438 274
Singapore Dollar S$ 47 33
Taiwan Dollar T$ 219,924 8,129
- - ---------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $20,043) 19,847
- - ---------------------------------------------------------
CASH EQUIVALENTS (9.8%)
- - ---------------------------------------------------------
Short-term Investments
held
as Collateral for
Loaned Securities (3.7%) $ 42,710 42,710
- - ---------------------------------------------------------
COMMERCIAL PAPER (0.4%)
Ford Motor Credit Corp.,
5.73%, 10/4/95 4,500 4,498
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (5.7%)
Chase Manhattan Bank N.A.
6.20%, dated 9/29/95,
due 10/2/95, to be
repurchased at $66,535,
collateralized by
$66,793 of various U.S.
Government and Agency
Obligations, due
10/3/95-7/7/97, valued
at $67,169 (Cost
$66,501) 66,501 66,501
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $113,709) 113,709
- - ---------------------------------------------------------
TOTAL INVESTMENTS (103.9%) (Cost $1,113,722)1,206,291
- - ---------------------------------------------------------
<CAPTION>
VALUE
(000)+
- - ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-3.9%)
Dividends Receivable $ 2,813
Interest Receivable 23
Receivable for Withholding Tax
Reclaim 854
Receivable for Investments Sold 11,092
Receivable for Fund Shares Sold 3,695
Receivable for Daily Variation on
Futures Contracts 1,336
Unrealized Gain on Forward Foreign
Currency Contracts 1,622
Other Assets 4
Payable for Fund Shares Redeemed (9,477)
Payable for Investments Purchased (12,636)
Payable for Administrative Fees (85)
Payable for Investment Advisory Fees (1,458)
Payable to Custodian Bank (212)
Collateral on Securities Loaned, at
Value (42,710)
Other Liabilities (166)
----------
(45,305)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 92,801,686 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,160,986
- - ---------------------------------------------------------
NET ASSETS PER SHARE $ 12.51
- - ---------------------------------------------------------
+ See Note A1 to Financial Statements.
* Non-income producing security.
(a) A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) 144A security. Certain conditions for public sale
may exist.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
GDS Global Depositary Shares.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (95.4%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1995 SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
BASIC RESOURCES (1.3%)
* Airgas, Inc. 185,700 $ 4,944
- - ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (2.6%)
Cott Corp. 406,200 3,859
* Robert Mondavi Corp.,
Class A 167,600 4,274
USA Detergents, Inc. 80,000 1,660
- - ---------------------------------------------------------
GROUP TOTAL 9,793
- - ---------------------------------------------------------
CONSUMER DURABLES (1.3%)
Danaher Corp. 152,900 5,007
- - ---------------------------------------------------------
CONSUMER SERVICES (20.1%)
Citicasters, Inc. 102,500 3,421
Comcast Corp., Class A
Special 228,373 4,567
* Comcast UK Cable Partners 194,400 3,038
General Cable plc ADR 92,200 1,476
HFS, Inc. 116,600 6,107
* International Cabletel,
Inc. 201,866 5,652
La Quinta Motor Inns, Inc. 213,400 5,975
Lin Television Corp. 86,400 2,678
PanAmSat Corp. 200,000 3,050
Sinclair Broadcast Group,
Inc. 137,700 3,959
Stewart Enterprises, Inc.,
Class A 112,250 4,069
* Tele-Communications, Inc.,
Class A 565,021 9,888
Tele-Communications
International, Inc.,
Class A 203,300 3,786
* Tele-Communications
Liberty Media Group,
Class A 211,255 5,651
Turner Broadcasting
System, Inc., Class B 100,000 2,750
* United International
Holdings, Inc., Class A 193,500 3,580
* United Video Satellite
Group 104,100 3,097
* Videotron Holdings plc ADR 130,900 2,176
- - ---------------------------------------------------------
GROUP TOTAL 74,920
- - ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (1.0%)
Sirrom Capital Corp. 201,900 3,659
- - ---------------------------------------------------------
HEALTH CARE (13.8%)
Cardinal Health, Inc. 128,600 7,121
* CNS, Inc. 167,500 2,198
* Cordis Corp. 50,600 4,288
* Health Management Association,
Class A 389,837 12,524
* Healthcare Compare Corp. 94,600 3,666
* Lincare Holdings, Inc. 245,900 6,332
Mylan Labs, Inc. 152,100 3,042
* North American
Biologicals, Inc. 162,300 1,339
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
* OrNda Healthcorp 165,200 $ 3,511
* Rotech Medical Corp. 168,900 4,201
* Vivra, Inc. 101,600 3,226
- - ---------------------------------------------------------
GROUP TOTAL 51,448
- - ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (5.4%)
Cintas Corp. 150,000 6,600
* Gartner Group, Inc., Class
A 178,700 5,852
Paychex, Inc. 163,800 7,576
- - ---------------------------------------------------------
GROUP TOTAL 20,028
- - ---------------------------------------------------------
INSURANCE (0.7%)
PMI Group, Inc. 56,500 2,677
- - ---------------------------------------------------------
REAL ESTATE INVESTMENT COMPANIES (3.1%)
Post Properties, Inc. 92,500 2,868
Security Capital
Industrial Trust 174,133 2,830
Security Capital Pacific
Trust 169,529 3,221
Tanger Factory Outlet
Center 104,500 2,599
- - ---------------------------------------------------------
GROUP TOTAL 11,518
- - ---------------------------------------------------------
RETAIL (10.6%)
* Boston Chicken, Inc. 194,700 5,087
* Eckerd Corp. 147,100 5,884
OfficeMax, Inc. 201,600 4,889
Papa John's International,
Inc. 100,500 4,522
* Sunglass Hut International,
Inc. 92,700 4,635
* Tommy Hilfiger Corp. 172,900 5,619
* Viking Office Products,
Inc. 145,300 6,066
Wolverine World Wide, Inc. 100,000 2,738
- - ---------------------------------------------------------
GROUP TOTAL 39,440
- - ---------------------------------------------------------
TECHNOLOGY (24.2%)
* Acclaim Entertainment,
Inc. 40,000 1,030
Adobe Systems, Inc. 135,600 7,017
* Boca Research, Inc. 62,600 1,518
* Broderbund Software, Inc. 48,900 3,723
* CellStar Corp. 154,200 4,819
* Ceridian Corp. 160,600 7,127
* CIDCO, Inc. 111,100 3,916
Computron Software, Inc. 145,500 2,510
* Electronics for Imaging,
Inc. 58,800 4,212
Firefox Communications,
Inc. 110,000 2,723
* Fiserv, Inc. 106,900 3,087
* Glenayre Technologies,
Inc. 96,250 6,930
* Inter-Tel, Inc. 80,000 1,410
Kent Electronics Corp. 85,700 3,760
* LSI Logic Corp. 63,900 3,690
Maxis, Inc. 52,100 2,292
* McAfee Associates, Inc. 57,000 2,936
* National Education Corp. 265,700 2,126
Nokia Corp., ADR 78,200 5,453
* Novadigm, Inc. 12,000 202
P-Com, Inc. 50,000 2,238
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP GROWTH
PORTFOLIO VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
* Qualcomm, Inc. 77,400 $ 3,551
Simware, Inc. 20,000 200
Softkey International,
Inc. 50,800 2,248
* Tellabs, Inc. 112,200 4,726
* Transaction Systems
Architect, Inc., Class A 116,500 3,116
U.S. Robotics Corp. 45,200 3,853
- - ---------------------------------------------------------
GROUP TOTAL 90,413
- - ---------------------------------------------------------
UTILITIES (11.3%)
* American Mobile
Satellite Corp. 288,500 6,906
* Cellular Communications,
Inc., Class A 79,300 4,322
Frontier Corp. 330,600 8,802
Globalstar
Telecommunications Ltd. 275,400 5,887
HighwayMaster
Communications, Inc. 135,600 1,763
* Millicom International
Cellular S.A. 108,500 3,485
* Paging Network, Inc. 169,600 8,141
Palmer Wireless, Inc. 141,800 3,155
- - ---------------------------------------------------------
GROUP TOTAL 42,461
- - ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $284,506) 356,308
- - ---------------------------------------------------------
CASH EQUIVALENTS (6.9%)
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
Short-term Investments
Held
as Collateral for Loaned
Securities (4.6%) $ 17,185 17,185
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (2.3%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be
repurchased at $8,581,
collateralized by $8,615
of various U.S. Gov-
ernment and Agency
Obligations, due
10/3/95-7/7/97, valued at
$8,663
(Cost $8,576) 8,576 8,576
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $25,761) 25,761
- - ---------------------------------------------------------
TOTAL INVESTMENTS (102.3%) (Cost $310,267) 382,069
- - ---------------------------------------------------------
<CAPTION>
VALUE
(000)+
- - ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-2.3%)
Cash $ 1
Dividends Receivable 65
Interest Receivable 3
Receivable for Fund Shares Sold 833
Receivable for Investments Sold 13,170
Receivable Due from Custodian 162
Other Assets 1
Payable for Administrative Fees (26)
Payable for Fund Shares Redeemed (2,292)
Payable for Investments Purchased (2,802)
Payable for Investment Advisory Fees (434)
Collateral on Securities Loaned, at
Value (17,185)
Other Liabilities (18)
--------
(8,522)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 20,084,645 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $373,547
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.60
- - ---------------------------------------------------------
</TABLE>
+ See Note A1 to Financial Statements.
* Non-income producing security.
ADR American Depositary Receipt.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
20
<PAGE> 23
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
MID CAP VALUE PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (93.4%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1995 SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
BANKS (11.5%)
American Bank (Conn.) 1,600 $ 38
Banco Latinoamericano de
Exportaciones SA ADR 1,500 61
Central Financial Corp. 5,000 95
First Tennessee National Corp. 1,000 55
Integra Financial Corp. 800 47
Northern Trust Corp. 1,500 69
Reliance Bancorp, Inc. 8,500 124
Vermont Financial Services
Corp. 1,000 30
- - ---------------------------------------------------------
GROUP TOTAL 519
- - ---------------------------------------------------------
BASIC RESOURCES (15.8%)
Abitibi Price, Inc. 2,200 38
* Alumax, Inc. 500 17
Asarco, Inc. 1,400 44
Bowater, Inc. 2,400 112
Chesapeake Corp. 1,000 36
Consolidated Papers, Inc. 2,800 156
* Jefferson Smurfit Corp. 7,000 107
J&L Specialty Steel, Inc. 900 19
Phelps Dodge Corp. 1,100 69
Reynolds Metals Co. 400 23
Sigma-Aldrich Corp. 1,000 48
Tri Polyta Indonesia ADR 1,000 22
Willamette Industries, Inc. 300 20
- - ---------------------------------------------------------
GROUP TOTAL 711
- - ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (10.1%)
Bear Stearns Co., Inc. 1,100 24
Dean Witter Discover & Co. 900 51
Edwards (A.G.), Inc. 2,000 53
North American Mortgage Co. 900 23
Raymond James Financial, Inc. 3,900 85
United Asset Management Corp. 5,500 220
- - ---------------------------------------------------------
GROUP TOTAL 456
- - ---------------------------------------------------------
CONSUMER DURABLES (3.8%)
Republic Gypsum Co. 6,200 73
* R & B, Inc. 6,500 55
Strattec Strategy Corp. 3,060 44
- - ---------------------------------------------------------
GROUP TOTAL 172
- - ---------------------------------------------------------
CONSUMER SERVICES (2.5%)
Harte-Hanks Communications 1,000 30
Interpublic Group of Cos.,
Inc. 300 12
Jostens, Inc. 1,400 33
Lee Enterprises, Inc. 300 13
Tribune Co. 400 26
- - ---------------------------------------------------------
GROUP TOTAL 114
- - ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
ENERGY (1.9%)
El Paso Natural Gas Co. 400 $ 11
* Enterra Corp. 600 13
Kerr-McGee Corp. 300 17
Pacific Enterprises 1,700 43
- - ---------------------------------------------------------
GROUP TOTAL 84
- - ---------------------------------------------------------
FOOD, TOBACCO & OTHER (2.3%)
Empresas La Moderna SA de CV
ADR 2,700 46
Tyson Foods, Inc., Class A 2,000 54
Universal Corp. 100 2
- - ---------------------------------------------------------
GROUP TOTAL 102
- - ---------------------------------------------------------
HEALTH CARE (7.4%)
Bergen Brunswig Corp., Class A 1,400 30
Community Health Systems 100 4
* Datascope Corp. 3,000 62
Foundation Health Corp. 900 34
* Haemonetics Corp. 4,500 104
Integrated Health Services 400 11
* Maxicare Health Plans, Inc. 500 9
McKesson Corp. 900 41
* Sierra Health Services 400 10
Surgical Care Affiliates, Inc. 1,300 30
- - ---------------------------------------------------------
GROUP TOTAL 335
- - ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.3%)
* AMR Corp. 300 22
Case Corp. 300 11
Comair Holdings, Inc. 1,500 40
Dover Corp. 400 15
* Federal Express Corp. 100 8
* Giant Cement Holdings, Inc. 5,600 68
Harris Corp. 900 49
IDEX Corp. 900 32
* Interim Services, Inc. 1,000 27
Teekay Shipping Corp. 1,900 46
True North Communications,
Inc. 500 10
- - ---------------------------------------------------------
GROUP TOTAL 328
- - ---------------------------------------------------------
INSURANCE (3.0%)
American General Corp 4,500 114
Penncorp Financial Group, Inc. 800 19
- - ---------------------------------------------------------
GROUP TOTAL 133
- - ---------------------------------------------------------
RETAIL (2.0%)
* Kroger Co. 500 17
Rite Aid Corp. 1,200 34
Springs Industries, Inc.,
Class A 300 12
* Vons Cos., Inc. 1,100 26
- - ---------------------------------------------------------
GROUP TOTAL 89
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
21
<PAGE> 24
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP VALUE
PORTFOLIO VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (14.7%)
* Amphenol Corp., Class A 1,600 $ 35
Autoclave Engineers, Inc. 5,000 79
Avnet, Inc. 200 10
Belden, Inc. 700 18
* C.I.S. Technologies, Inc. 5,000 19
* Dell Computer Corp. 1,600 136
* Gateway 2000, Inc. 1,000 31
* Integrated Device Technology,
Inc. 1,000 25
* Lattice Semiconductor Corp. 2,600 106
* National Semiconductor Corp. 900 25
* Octel Communications Corp. 1,200 42
Progress Software Corp. 400 27
* Quantum Corp. 1,200 26
Tektronix, Inc. 200 12
Varian Associates, Inc. 700 36
* Western Digital Corp. 2,300 37
- - ---------------------------------------------------------
GROUP TOTAL 664
- - ---------------------------------------------------------
UTILITIES (11.1%)
Atlantic Energy, Inc. 1,300 26
Century Telephone Enterprises 200 6
Commonwealth Energy Systems 200 9
Delmarva Power & Light 3,800 87
Frontier Corp. 2,700 72
PECO Energy 9,800 247
Rochester Gas & Electric Corp. 2,100 50
Telephone & Data Systems, Inc. 100 4
- - ---------------------------------------------------------
GROUP TOTAL 501
- - ---------------------------------------------------------
TOTAL INVESTMENTS (93.4%) (Cost $4,047) 4,208
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES
(6.6%)
Dividends Receivable 85
Receivable for Fund Shares
Sold 87
Receivable for Investments
Sold 834
Receivable from Investment
Adviser 12
Payable for Investments
Purchased (410)
Payable for Administrative
Fees (1)
Payable to Custodian Bank (289)
Other Liabilities (19)
------
299
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 335,171 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $4,507
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $13.45
- - ---------------------------------------------------------
+ See Note A1 to Financial Statements.
* Non-income producing security.
ADR American Depositary Receipt.
</TABLE>
EMERGING MARKETS
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (69.6%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1995 SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
ARGENTINA (6.0%)
Cia Interamericana de Automo 200,446 $ 792
Cia Naviera Perez Co., Series B 133,300 583
Central Puerto SA, Class
B 174,800 568
YPF SA ADR 33,000 594
- - ---------------------------------------------------------
GROUP TOTAL 2,537
- - ---------------------------------------------------------
CHILE (1.2%)
Banco O'Higgins ADR 22,000 498
- - ---------------------------------------------------------
CZECH REPUBLIC (3.0%)
Harvardsky Dividend
Investment Fund 19,005 487
Tabak AS 4,700 793
- - ---------------------------------------------------------
GROUP TOTAL 1,280
- - ---------------------------------------------------------
GREECE (3.0%)
Ergo Bank SA 14,500 703
Nikas SA 42,400 561
- - ---------------------------------------------------------
GROUP TOTAL 1,264
- - ---------------------------------------------------------
HONG KONG (11.3%)
Amoy Properties Ltd. 550,000 519
Liu Chong Hing Bank Ltd. 285,000 354
Liu Chong Hing
Investment Ltd. 206,000 215
Orient Overseas
International Ltd. 1,742,000 1,020
* Orient Telecom &
Technology Holding Ltd. 3,656,800 1,218
Semi-Tech (Global) Ltd. 990,700 1,493
- - ---------------------------------------------------------
GROUP TOTAL 4,819
- - ---------------------------------------------------------
INDIA (4.5%)
Century Textiles &
Industries GDR 3,300 586
Garden Silk Mills Ltd. 100,000 550
Indian Petrochemical 28,000 385
(+) JCT Ltd. GDR 36,000 378
- - ---------------------------------------------------------
GROUP TOTAL 1,899
- - ---------------------------------------------------------
INDONESIA (4.9%)
Aneka Kima Raya (Foreign) 138,000 398
Asia Pacific Resources 41,000 328
Ever Shine Textile
Industry 952,000 346
Jakarta International
Hotel (Foreign) 686,000 765
* Roda Vivatex 316,500 234
- - ---------------------------------------------------------
GROUP TOTAL 2,071
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
22
<PAGE> 25
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
KOREA (11.8%)
Cheil Foods & Chemicals 38,460 $ 1,227
* Chosun Brewery Co. 18,751 669
Doosan Beverages Co. 11,460 548
* Jinro Ltd. 20,000 542
* LG International Corp. 85,399 1,378
* Ssangyong Oil Refining
Co. 23,400 658
- - ---------------------------------------------------------
GROUP TOTAL 5,022
- - ---------------------------------------------------------
MALAYSIA (2.9%)
Boustead Holdings Bhd. 368,000 727
Renong Bhd. 301,000 523
- - ---------------------------------------------------------
GROUP TOTAL 1,250
- - ---------------------------------------------------------
MEXICO (2.9%)
* Desc Sociedad de Fomento
Industrial SA, Series B 130,000 489
Panamerican Beverages,
Inc. 27,000 726
- - ---------------------------------------------------------
GROUP TOTAL 1,215
- - ---------------------------------------------------------
PERU (0.7%)
* Southern Peru Copper, Class T 81,895 307
- - ---------------------------------------------------------
PORTUGAL (3.3%)
Banco Comercial Portugues 20,700 275
(+)Portucel Industrial SA 114,100 846
Sonae Industrial e
Investment 12,800 299
- - ---------------------------------------------------------
GROUP TOTAL 1,420
- - ---------------------------------------------------------
SOUTH AFRICA (4.4%)
DeBeers Consolidated
Mines, Ltd. ADR 33,900 915
Rembrandt Group Ltd. 116,400 973
- - ---------------------------------------------------------
GROUP TOTAL 1,888
- - ---------------------------------------------------------
THAILAND (7.6%)
Ruam Pattana Fund II
(Foreign) 830,600 505
Siam Commercial Bank
Co., Ltd. 78,000 684
Sinpinyo Fund 5 (Foreign) 1,099,900 812
Sub-Thawee Fund 785,400 1,010
Thai Orchid Fund 593,200 234
- - ---------------------------------------------------------
GROUP TOTAL 3,245
- - ---------------------------------------------------------
TURKEY (0.7%)
(+)Turk Otomobil Fabrikasi
A.S. ADR 362,400 283
- - ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
UNITED STATES (1.4%)
* Millicom International
Cellular SA 18,200 $ 584
- - ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $28,305) 29,582
- - ---------------------------------------------------------
PREFERRED STOCKS (9.8%)
- - ---------------------------------------------------------
BRAZIL (9.8%)
Brasmotor SA 3,935,000 1,007
Cia Cervejaria Brahma 1,488,667 607
Iochpe Maxion SA 2,665,909 878
Telebras SA 18,546,600 885
Usinas Siderurgicas de
Minas Gerais 720,255,000 794
- - ---------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $4,804) 4,171
- - ---------------------------------------------------------
WARRANTS (0.1%)
- - ---------------------------------------------------------
MALAYSIA (0.1%)
* Petronas, expiring
8/17/00 (Cost $43) 30 30
- - ---------------------------------------------------------
FIXED INCOME SECURITIES (10.0%)
- - ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
--------- ------
<S> <C> <C> <C>
ARGENTINA (1.9%)
##(b) Central Bank of
Argentina Bocon Pre 2
PIK
3.313%, 4/1/01 B2 $ 350 286
# Republic of
Argentina
5.00%, 3/31/23 BB- 1,075 522
- - ---------------------------------------------------------
GROUP TOTAL 808
- - ---------------------------------------------------------
BRAZIL (2.3%)
##(b) Brazil Par Series
YL4
4.25%, 4/15/24 B1 2,025 982
- - ---------------------------------------------------------
INDIA (1.3%)
(b) Reliance Industries
(Convertible)
3.50%, 11/3/99 Baa3 490 538
- - ---------------------------------------------------------
MALAYSIA (2.0%)
Renong Bhd.
(Convertible)
2.50%, 1/15/05 N/R 365 413
United Engineers
(Convertible)
2.00%, 3/1/04 N/R 380 440
- - ---------------------------------------------------------
GROUP TOTAL 853
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING MARKETS
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
RUSSIA (2.5%
(-)** Bank Of
Vneshconom
(Loan Agreement) N/R $ 3,250 $ 1,070
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $3,932) 4,251
- - ---------------------------------------------------------
STRUCTURED INVESTMENTS (7.4%)-SEE NOTE A7
- - ---------------------------------------------------------
RUSSIA (7.4%)
(-)## Credit Suisse
Notes, 11/4/96, 3.50%
Floating rate coupon
indexed to the
Russian ruble
dividend amount of
LUKoil. Principal is
composed of 70% of
the appreciation/
depreciation
of LUKoil plus the
accreted value of a
zero coupon bond
purchased at 27.13%
which matures at 30%
on the maturity date. N/R 750 542
(-)## Credit Suisse
Notes, 10/20/97,
3.50% Floating rate
coupon indexed to the
Russian ruble
dividend amount of
the underlying Basket
shares consisting of
four Russian stocks.
Principal is composed
of 70% of the
appreciation/
depreciation of the
Basket shares plus
the accreted value of
a zero coupon bond
purchased at 26.68%
which matures at 30%
on the maturity date. N/R 3,000 2,576
- - ---------------------------------------------------------
TOTAL STRUCTURED INVESTMENTS (Cost $3,485) 3,118
- - ---------------------------------------------------------
FOREIGN CURRENCY (1.7%)
- - ---------------------------------------------------------
Argentine Peso AP 26 26
Greek Drachma GD 5,300 23
Hong Kong Dollar HK$ 108 14
Indonesian Rupiah IN 1,464,236 646
Thai Baht TB 182,700 7
- - ---------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $716) 716
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
---------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENT (10.1%)
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (10.1%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased
at $4,299, collateralized
by $4,317 of various U.S.
Government and Agency
Obligations, due 10/3/95-
7/7/97, valued at $4,342
(Cost $4,297) $ 4,297 $ 4,297
- - ---------------------------------------------------------
TOTAL INVESTMENTS (108.7%) (Cost $45,582) 46,165
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-8.7%)
Dividends Receivable 20
Interest Receivable 74
Payable for Investments Purchased (3,701)
Payable for Administrative Fees (4)
Payable for Investment Advisory Fees (30)
Other Liabilities (65)
-------
(3,706)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 3,650,278 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $42,459
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.63
- - ---------------------------------------------------------
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security.
** Non-income producing. Defaulted Security.
(b) Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate is zero or below market for
an initial period and then increases to a higher
coupon rate thereafter.
## Variable or Floating rate security -- rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for public sale
may exist.
(-) Security is subject to delayed delivery. See Note
A8 to Financial Statements.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
N/R Not rated by either Moody's Investor Service, Inc.
or Standard & Poor's Corporation.
PIK Payment-In-Kind Security.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
24
<PAGE> 27
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (99.8%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (9.9%)
## Government National
Mortgage Association II:
Various Pools:
5.50%,
4/20/24-5/20/24 Agy $ 3,429 $ 3,397
6.00%,
8/20/22-9/20/24 Agy 80,774 81,341
6.50%,
3/20/22-3/20/25 Agy 54,984 55,981
7.375%,
6/20/22-6/20/23 Agy 6,006 6,149
- - ---------------------------------------------------------
GROUP TOTAL 146,868
- - ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (23.4%)
Federal Home Loan Mortgage
Corporation:
Gold Pools
10.50%,
10/1/20-4/1/21 Agy 8,425 9,222
November TBA
7.50%,
6/15/24-11/15/25 Agy 70,750 71,089
11.00%, 11/1/17 Agy 3,111 3,446
Conventional Pools:
10.50%,
4/1/11-8/1/19 Agy 1,024 1,122
11.00%,
9/1/15-5/1/20 Agy 1,748 1,937
11.25%,
10/1/11-12/1/15 Agy 2,402 2,661
11.75%, 4/1/19 Agy 328 368
13.00%, 6/1/19 Agy 96 110
14.75%, 3/1/10 Agy 53 61
Federal National
Mortgage Association:
Gold Pools:
11.50%,
7/1/13-11/1/15 Agy 682 767
12.00%, 4/1/15 Agy 114 128
Conventional Pools:
10.50%,
6/1/10-11/1/20 Agy 8,905 9,764
10.75%, 2/1/11 Agy 51 56
11.00%,
1/1/16-11/1/20 Agy 5,488 6,120
October TBA
7.50%, 8/15/23 Agy 21,500 21,634
November TBA
7.00%, 11/15/24 Agy 71,925 70,846
7.50%, 11/15/25 Agy 37,000 37,173
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Government National
Mortgage Association:
Various Pools:
10.50%,
2/15/13-3/15/21 Agy $ 3,102 $ 3,432
11.00%,
12/15/09-11/20/19 Agy 4,319 4,816
11.50%,
7/20/15-9/20/19 Agy 819 904
12.00%,
4/15/12-3/15/16 Agy 2,433 2,755
November TBA
7.50%, 8/15/24 Agy 99,000 99,804
- - ---------------------------------------------------------
GROUP TOTAL 348,215
- - ---------------------------------------------------------
ASSET BACKED CORPORATES (0.6%)
ALPS Series:
94-1 A4 CMO
7.80%, 7/15/99 AA 3,350 3,443
94-1 C CMO
9.35%, 3/15/00 BBB 4,378 4,525
#(+) Equitable Asset
Trust Series 93-A
5.00%, 10/15/08 AAA 1,497 1,492
- - ---------------------------------------------------------
GROUP TOTAL 9,460
- - ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.8%)
Security Pacific Home
Equity Trust Series:
(b) 91-A A2
8.90%, 3/10/06 Aaa 3,559 3,601
91-A B
10.50%, 3/10/06 A+ 7,585 7,915
- - ---------------------------------------------------------
GROUP TOTAL 11,516
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.4%)
(b) Collateralized Mortgage
Obligation Trust Series:
86-14 A1
6.513%, 4/1/09 Aaa 2 2
86-14 A2 Inv Fl
12.00%, 4/1/09 Aaa 6 6
Federal Home Loan
Mortgage Corporation
Series:
92-1398 I Inv Fl
10.612%, 10/15/07 Agy 7,348 7,585
Federal National
Mortgage Association
Series:
90-80 S Inv Fl
17.232%, 7/25/20 Agy 1,013 1,181
90-118 S Inv Fl
27.392%, 9/25/20 Agy 1,953 2,643
92-33 S Inv Fl
12.90%, 3/25/22 Agy 2,230 2,399
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
25
<PAGE> 28
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Goldman Sachs Trust IV
Series:
89-D 2 Inv Fl
17.716%, 5/1/19 AAA $ 3,957 $ 4,818
89-E 2 Inv Fl
12.573%, 10/27/19 AAA 1,985 2,387
- - ---------------------------------------------------------
GROUP TOTAL 21,021
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (11.6%)
American Housing Trust
Series V 1G
9.125%, 4/25/21 AAA 800 829
(b) American Southwest
Financial
Securities Corp.
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 10,000 10,265
(c) sec. BBS 4 B2
8.528%, 5/28/22
(acquired
8/5/92-12/9/93,
cost $4,131) A 4,118 4,169
Citicorp Mortgage
Securities, Inc. Series
90-11 A5
9.50%, 7/25/20 AAA 3,030 3,081
CMC Securities Corp.
IV
Series 94-G A4
7.00%, 9/25/24 AAA 5,822 5,403
(+) Equitable Life Assurance
Society of the U.S.
6.633%, 7/23/03 AA 7,000 6,932
sec. First Boston Mortgage
Securities Corp.
Series:
92-4 B1
8.125%, 10/25/22
(acquired
1/25/93-12/9/93,
cost $4,207) A 4,433 4,324
GE Capital Mortgage
Services, Inc. Series
94-24 A4
7.00%, 7/25/24 AAA 5,144 4,777
J.P. Morgan
Commercial Mortgage
Finance Corp.
Series 95-C1 A1
7.268%, 7/25/10 AAA 7,143 7,266
Mid-State Trust Series
88-2 A4
9.625%, 4/1/03 AAA 1,800 1,977
Mortgage Capital
Funding, Inc. Series
95-MC1 A1B
7.60%, 5/25/27 AAA 10,750 11,148
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
(c) Nomura Asset Securities
Corp. Series:
94-MD1 A1B
7.526%, 3/15/18 AAA $ 200 $ 207
94-MD1 A3
8.026%, 3/15/18 A 4,249 4,483
Prudential Home
Mortgage Securities
Co., Inc. Series:
90-5 A3
9.50%, 5/25/05 AAA 1,866 1,865
90-8 A 5 PAC-1(11)
9.50%, 9/25/20 AAA 3,350 3,350
(+) 92-A 2B4
7.90%, 4/28/22 AA 11,188 9,416
(b)sec. 93-17 B1
6.50%, 3/1/23
(acquired
4/14/93-10/13/94,
cost $6,386) A2 6,677 6,332
(+) 93-B 1B1
7.837%, 4/28/23 AA 8,475 8,456
(+) 93-B B2
7.837%, 4/28/23 A 788 768
(c)(+) 94-A 3B5
6.803%, 4/28/24 A 11,515 10,556
Residential Funding
Mortgage Securities
Co., Inc. Series:
92-S2 M
8.00%, 1/25/22 AA 5,967 6,044
92-S15 A5
8.00%, 5/25/07 AAA 81 82
sec. 93-MZ2 A2
7.47%, 5/30/23
(acquired
5/12/93-12/9/93,
cost $7,032) AA 7,000 6,926
(c) sec. 93-MZ3 A2
6.97%, 8/28/23
(acquired
7/17/95, cost
$7,274) AA 7,821 7,349
sec. 94-S1 A19
6.75%, 1/25/24
(acquired
5/22/95,
cost $4,036) AAA 4,426 4,201
95-S11 A16
7.50%, 9/25/25 AAA 8,794 8,822
Rural Housing Trust
Series:
87-1 D
6.33%, 4/1/26 AAA 10,295 10,025
87-1 M
3.33%, 4/1/26 A- 10,183 9,285
87-2 C
6.83%, 4/1/26 AAA 6,675 6,609
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
26
<PAGE> 29
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Ryland Mortgage
Securities Corp.
Series:
93-A 1A
7.45%, 1/28/23 AAA $ 276 $ 266
94-7B 4A2
7.50%, 8/25/25 AAA 7,500 7,231
Saxon Mortgage
Securities Corp.
Series 93-4A 1B
7.25%, 6/25/24 AAA 250 233
- - ---------------------------------------------------------
GROUP TOTAL 172,677
- - ---------------------------------------------------------
ENERGY (0.8%)
Maxus Energy Corp.
10.83%, 9/1/04 BB- 6,500 6,808
Mobile Energy Services
8.665%, 1/1/17 BBB- 4,900 5,129
- - ---------------------------------------------------------
GROUP TOTAL 11,937
- - ---------------------------------------------------------
FINANCE (10.6%)
## Bank of Hawaii,
Honolulu
5.988%, 11/25/96 A 6,000 6,002
## Caterpillar Financial
Services
5.888%, 6/20/97 A 11,000 10,978
Conseco, Inc.
8.125%, 2/15/03 BB+ 8,875 8,448
(+) Farmers
Insurance Exchange
8.625%, 5/1/24 BBB- 8,775 8,267
Fireman's Fund
Mortgage Corp.
8.875%, 10/15/01 BBB+ 6,325 6,838
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 4,950 4,850
First Union REIT
8.875%, 10/1/03 BB+ 3,325 3,044
(b) FNBC Series 93-A
8.08%, 1/5/18 A1 8,500 8,876
Home Holdings, Inc.
8.625%, 12/15/03 B- 6,200 4,992
John Hancock
7.375%, 2/15/24 AA 10,900 10,116
(+) Mass Mutual
7.625%, 11/15/23 AA- 8,550 8,313
(+) Metropolitan Life
Insurance
7.45%, 11/1/23 AA 10,100 9,324
# Mutual Life Insurance
Co. of New York
0.00%, 8/15/24 BBB 7,325 5,741
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
(+) Nationwide Mutual Life
Insurance
7.50%, 2/15/24 AA- $ 12,975 $ 12,019
(+) New York Life
7.50%, 12/15/23 AA 8,525 8,168
(+) Principal Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 5,950 5,725
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 10,000 10,009
(+) United Savings of Texas
9.05%, 5/15/98 BB+ 6,100 6,045
## Wells Fargo & Co.
5.813%, 8/16/96 A- 13,575 13,572
## World Savings & Loan
Association
5.875%, 3/15/96 A+ 6,900 6,899
- - ---------------------------------------------------------
GROUP TOTAL 158,226
- - ---------------------------------------------------------
FOREIGN GOVERNMENTS (12.8%)
Government of Canada
6.50%, 6/1/04 AA+ C$ 14,350 9,788
8.50%, 4/1/02 AA+ 42,125 32,873
Government of France
O.A.T.
8.50%, 11/25/02 AAA FF 128,650 27,951
8.50%, 10/25/19 AAA 80,230 17,065
8.50%, 4/25/23 AAA 77,000 16,346
9.50%, 1/25/01 AAA 76,150 17,163
Kingdom of Denmark
9.00%, 11/15/00 AAA DK107,500 20,802
Treuhandanstalt
7.125%, 1/29/03 AAA DM 39,480 28,663
7.75%, 10/1/02 AAA 17,795 13,384
United Kingdom
9.125%, 2/21/01 AAA ECU 4,850 6,760
- - ---------------------------------------------------------
GROUP TOTAL 190,795
- - ---------------------------------------------------------
/ / HEDGED MORTGAGES (1.9%)
Federal Home Loan Mortgage
Corporation Series:
1415-S Inv Fl IO CMO
17.563%, 11/15/07 Agy $ 4,265 1,663
1476-S Inv Fl IO
REMIC PAC
4.106%, 2/15/08 Agy 43,139 3,790
1485-S Inv Fl IO
CMO
3.663%, 3/15/08 Agy 45,117 3,375
1600-SA Inv Fl IO
REMIC
2.063%, 10/15/08 Agy 77,800 4,060
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
27
<PAGE> 30
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Federal National
Mortgage Association
Series:
92-186 S Inv Fl IO
3.106%, 10/25/07 Agy $ 75,278 $ 5,093
94-33 S Inv Fl IO
2.225%, 3/25/09 Agy 113,093 5,955
G 94-2 S Inv Fl IO
REMIC
2.225%, 1/25/24 Agy 89,477 4,726
- - ---------------------------------------------------------
GROUP TOTAL 28,662
- - ---------------------------------------------------------
INDUSTRIALS (7.0%)
Alateif Freeport Finance
9.75%, 4/15/01 BBB- 5,030 5,517
## Blue Bell Funding
11.85%, 5/1/99 BB- 593 623
(b) Columbia/HCA
Healthcare
7.69%, 6/15/25 A3 7,050 7,207
Comcast Corp.
9.375%, 5/15/05 B+ 8,200 8,344
DR Structured Finance
Series 94K2
9.35%, 8/15/19 BBB 3,350 3,307
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 5,425 5,619
Federated Department
Stores
10.00%, 2/15/01 BB- 7,425 8,047
Fleming Cos., Inc.
10.625%, 12/15/01 BB- 7,775 8,300
News America
Holdings, Inc.
10.125%, 10/15/12 BBB- 9,805 11,420
Paramount
Communications
8.25%, 8/1/22 BB+ 7,200 7,099
(b) Rhone-Poulenc
Rorer, Inc.
8.62%, 1/5/21 A3 5,500 6,000
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 10,260 10,388
Scotia Pacific
Holding Co.
7.95%, 7/20/15 BBB 4,162 4,261
Southland Corp.
5.00%, 12/15/03 BB+ 10,830 8,407
Time Warner, Inc.
9.15%, 2/1/23 BBB- 8,150 8,855
- - ---------------------------------------------------------
GROUP TOTAL 103,394
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
sec. Household Bank
Series 85-1
7.94%, 5/1/02
(acquired
6/22/94, cost
$444) N/R $ 470 $ 470
sec. Pelican
Homestead Savings
Association Series
84-2
9.143%, 10/1/07
(acquired
5/1/87, cost
$1,037) N/R 1,103 1,126
- - ---------------------------------------------------------
GROUP TOTAL 1,596
- - -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (2.5%)
Bank of America
Series A
8.375%, 5/1/07 AA 26 26
(+) Creekwood
Capital
Corp. Series 95-1A
8.47%, 3/16/15 AA 5,766 6,062
(b)(+) DeBartolo
Capital Corp.
Series A 2
7.48%, 5/1/04 Aaa 6,650 6,903
(+) Lakewood Mall Finance
Co. Series 95-C1 A
7.00%, 8/13/10 AA 7,000 6,964
Marine Midland Bank
NA, Series 91-1 A7
8.50%, 4/25/22 AA 106 106
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 5,897 6,262
Resolution Trust Corp.
Series 92-5C
8.628%, 1/25/26 AA 4,488 4,593
Ryland Acceptance
Corp. IV Series 79-A
6.65%, 7/1/11 AA 6,195 5,945
(b) Town & Country
Funding Corp.
5.85%, 8/15/98 Aa2 550 539
- - ---------------------------------------------------------
GROUP TOTAL 37,400
- - -------------------------------------------------------
TELEPHONES (1.8%)
Comcast Cellular Corp.
Series:
A, Zero Coupon,
3/5/00 B+ 7,800 5,947
B, Zero Coupon,
3/5/00 B+ 165 126
(+) Rogers Cable Systems
10.00%, 3/15/05 BB+ 7,775 8,164
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
28
<PAGE> 31
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- $ 6,900 $ 7,171
9.875%, 6/15/22 BBB- 4,350 5,012
- - ---------------------------------------------------------
GROUP TOTAL 26,420
- - ---------------------------------------------------------
TRANSPORTATION (1.2%)
Delta Airlines Trust
Series 93 B2
10.06%, 1/2/16 BB+ 6,900 7,940
Jet Equipment Trust
Series:
(+) 95-C
10.69%, 5/1/15 BBB- 6,325 7,117
(+) B1
10.91%, 6/15/06 BB+ 1,730 1,961
- - ---------------------------------------------------------
GROUP TOTAL 17,018
- - ---------------------------------------------------------
U.S. TREASURY SECURITIES (10.8%)
U.S. Treasury Bonds
7.875%, 2/15/21 Tsy 97,025 111,261
(a) 8.75%, 8/15/20 Tsy 36,550 45,699
U.S. Treasury Note
7.25%, 8/15/04 Tsy 3,300 3,528
- - ---------------------------------------------------------
GROUP TOTAL 160,488
- - ---------------------------------------------------------
UTILITIES (0.2%)
Long Island Lighting Co.
8.90%, 7/15/19 BB+ 3,450 3,459
- - ---------------------------------------------------------
YANKEE (2.4%)
CFE Petacalco
Topolobamp
8.125%, 12/15/03 BB 4,650 3,602
Hydro-Quebec
9.40%, 2/1/21 A+ 2,350 2,807
PDV America, Inc.
7.875%, 8/1/03 BB- 6,325 5,844
# Republic of Argentina
5.00%, 3/31/23 BB- 32,300 15,665
United Mexican States
6.25%, 12/31/19 BB 13,700 8,220
- - ---------------------------------------------------------
GROUP TOTAL 36,138
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$1,447,400) 1,485,290
- - ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.5%)
- - ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
Unisys Corp.
Series A $3.75
(Cost $7,774) B- 180,450 6,744
- - ---------------------------------------------------------
RIGHTS (0.0%)
- - ---------------------------------------------------------
* Mexico Recovery Rights,
expiring 6/30/03 13,700,000 --
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- - ---------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENTS (22.2%)
- - ---------------------------------------------------------
Short-term Investments Held
as Collateral for Loaned
Securities (0.6%) $ 9,033 $ 9,033
- - ---------------------------------------------------------
COMMERCIAL PAPER (17.1%)
Alabama Power
5.71%, 10/27/95 15,000 14,938
American General Finance
Corp.
5.71%, 11/2/95 15,000 14,924
Bell Atlantic Financial
5.72%, 10/11/95 15,000 14,976
Beneficial Corp.
5.73%, 11/13/95 15,000 14,897
CIT Group Holdings, Inc.
5.74%, 10/10/95 15,000 14,979
E.I. du-Pont de Nemours & Co.
5.69%, 10/24/95 15,000 14,946
Ford Motor Credit Company
5.74%, 10/26/95 15,000 14,940
General Electric Capital
Corp.
5.74%, 10/12/95 15,000 14,974
Heller Financial, Inc.
5.75%, 10/17/95 15,000 14,962
Household Finance Corp.
5.73%, 10/16/95 15,000 14,964
National Rural Utilities
5.71%, 11/9/95 15,000 14,907
PHH Corp.
5.72%, 11/3/95 15,000 14,921
Pitney Bowes, Inc.
5.73%, 10/12/95 15,000 14,974
Prudential Funding Corp.
5.74%, 11/7/95 15,000 14,912
Raytheon Co.
5.72%, 10/4/95 15,000 14,993
Weyerhaeuser Mortgage Co.
5.70%, 11/1/95 15,000 14,926
Xerox Credit Corp.
5.75%, 10/3/95 15,000 14,995
- - --------------------------------------------------------
GROUP TOTAL 254,128
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (4.5%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased
at $66,831, collateralized
by $67,086 of various U.S.
Government and Agency
Obligations, due 10/3/95-
7/7/97, valued at $67,464 66,797 66,797
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $329,958) 329,958
- - ---------------------------------------------------------
TOTAL INVESTMENTS (122.5%) (Cost $1,785,132) 1,821,992
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-22.5%)
Cash 1
Dividends Receivable 169
Interest Receivable 23,549
Receivable for Fund Shares Sold 488
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
29
<PAGE> 32
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
VALUE
(CONT'D) (000)+
- - ---------------------------------------------------------
<S> <C>
Receivable for Investments Sold $ 379
Other Assets 5
Payable for Fund Shares Redeemed (1,063)
Payable for Investments Purchased (301,202)
Payable for Administrative Fees (104)
Payable for Investment Advisory Fees (1,372)
Payable for Daily Variation on Futures
Contracts (772)
Written Interest Rate Floors at Value (44,319)
Unrealized Loss on Forward Foreign
Currency Contracts (570)
Collateral on Securities Loaned, at
Value (9,033)
Other Liabilities (739)
-------
(334,583)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 125,834,387 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,487,409
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.82
- - ---------------------------------------------------------
sec. Restricted Security-Total cost of restricted
securities at September 30, 1995 amounted to
$34,547. Total market value of restricted
securities owned at September 30, 1995 was
$34,897 or 2.3% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-Income Producing Security.
(a) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(b) Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(c) Fitch rating. Security is not rated by Standard
& Poor's Corporation or Moody's Investor
Service, Inc.
/ / Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
# Step Bond-Coupon rate is zero or below market
for an initial period and then increases to a
higher coupon rate thereafter.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for public
sale may exist.
CMO Collateralized Mortgage Obligations.
Inv Fl Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 1995.
IO Interest Only.
N/R Not rated by either Moody's Investor Service,
Inc. or Standard & Poor's Corporation.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
C$ Canadian Dollar.
DK Danish Krone.
DM German Mark.
ECU European Currency Unit.
FF French Franc.
</TABLE>
DOMESTIC FIXED INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (93.9%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (9.3%)
## Government National
Mortgage Association II:
Various Pools:
5.50%, 11/20/24 Agy $ 988 $ 993
6.00%,
4/20/24-11/20/24 Agy 1,732 1,744
6.50%,
10/20/22-2/20/23 Agy 622 632
- - ---------------------------------------------------------
GROUP TOTAL 3,369
- - ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (34.4%)
Federal Home Loan Mortgage
Corporation:
Gold Pools:
11.00%, 5/1/20 Agy 358 396
October TBA
7.50%, 8/15/23 Agy 2,200 2,216
November TBA:
7.00%, 6/15/24 Agy 1,550 1,528
7.50%,
8/15/24-11/15/25 Agy 1,175 1,181
Conventional Pool
12.00%, 11/1/19 Agy 197 223
Federal National
Mortgage Association:
Conventional Pools:
10.00%, 5/1/22 Agy 222 242
11.50%, 9/1/25 Agy 300 338
October TBA
7.50%,
8/15/23-10/15/24 Agy 2,800 2,817
November TBA:
7.00%, 11/15/24 Agy 600 591
7.50%, 11/15/25 Agy 825 829
Government National
Mortgage Association:
Various Pools:
10.50%,
5/15/19-7/15/21 Agy 203 226
12.00%,
12/15/12-7/15/15 Agy 179 204
November TBA
7.50%, 8/15/24 Agy 1,650 1,663
- - ---------------------------------------------------------
GROUP TOTAL 12,454
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
30
<PAGE> 33
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.6%)
ALPS Series 94-1 A4
CMO
7.80%, 7/15/99 AA $ 150 $ 154
#(+) Equitable Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 57 57
- - ---------------------------------------------------------
GROUP TOTAL 211
- - ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.3%)
(b) Security Pacific Home
Equity Trust
Series 91-A A2
8.90%, 3/10/06 Aaa 137 138
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.9%)
(b) Collateralized Mortgage
Obligation Trust Series:
86-14 A2 Inv Fl
12.00%, 4/1/09 Aaa 19 19
86-16 Q Inv Fl
12.00%, 3/20/18 Aaa 202 214
Goldman Sachs Trust IV
Series 89-E 2
12.57%, 10/27/19 AAA 63 76
- - ---------------------------------------------------------
GROUP TOTAL 309
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (16.1%)
(b) American Southwest
Financial Securities Corp.
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 225 231
Asset Securitization
Corp. Series 95-D1 A1
7.59%, 8/11/27 AAA 225 233
Citicorp Mortgage
Securities, Inc. Series:
90-11A-5
9.50%, 7/25/20 AAA 127 129
94-7 A5
6.25%, 4/25/24 AAA 200 172
(+)(c) 95-2 B1
7.50%, 4/25/25 AA 199 196
Countrywide Mortgage
Backed Securities, Inc.
Series 93-C A11
6.50%, 1/25/24 AAA 245 229
(+) Equitable Life Assurance
Society of the U.S.
6.633%, 7/23/03 AA 250 248
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
(c) sec. First Boston Mortgage
Securities Corp.
Series 93-5 B1
7.30%, 7/25/23
(acquired 7/19/95,
cost $233) A $ 245 $ 237
GE Capital Mortgage
Services, Inc. Series:
92-10A F
7.50%, 8/25/22 AAA 250 244
(b) 94-19 M
7.50%, 8/25/24 A2 198 195
94-24 A4
7.00%, 7/25/24 AAA 218 203
94-27 A6
6.50%, 7/25/24 AAA 250 221
J.P. Morgan Commercial
Mortgage Finance Corp.
Series 95-C1 A1
7.268%, 7/25/10 AAA 154 157
Mid-State Trust Series
88-2-A4
9.625%, 4/1/03 AAA 100 110
Mortgage Capital Funding,
Inc. Series 95-MC1 A1B
7.60%, 5/25/27 AAA 225 233
(c) Nomura Asset Securities
Corp. Series:
94-MD1 A 1B
7.526%, 3/15/18 AAA 100 103
94-MD1 A2
7.676%, 3/15/18 AA 125 129
PNC Mortgage Securities Corp.
Series 94-3 A8
7.50%, 7/25/24 AAA 150 147
Prudential Home
Mortgage Securities Co.,
Inc. Series:
90-5 A3
9.50%, 5/25/05 AAA 63 63
sec. 95-2 M
8.50%, 6/25/25
(acquired 4/28/95,
cost $274) AA 275 283
Residential Funding
Mortgage Securities Co.,
Inc. Series:
sec. 93-MZ3 A2
6.97%, 8/28/23
(acquired 7/17/95,
cost $140) N/R 150 141
sec. 93-S27 M2
7.50%, 6/25/23
(acquired 7/21/95,
cost $235) A 244 239
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
31
<PAGE> 34
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC FIXED
INCOME PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
sec. 93-S43 A10
6.50%, 11/25/23
(acquired 6/12/95,
cost $227) AAA $ 245 $ 228
95-S11M
7.50%, 9/25/25 AAA 200 200
(-) 95-S16 A7
7.50%, 10/15/25 AAA 300 300
Rural Housing Trust
Series:
87-1 D
6.33%, 4/1/26 AAA 633 617
87-1 M
3.33%, 4/1/26 A- 265 241
87-2 C
6.83%, 4/1/26 AAA 93 92
- - ---------------------------------------------------------
GROUP TOTAL 5,821
- - ---------------------------------------------------------
FINANCE (10.0%)
## Caterpillar
Financial Services
5.888%, 6/20/97 A 250 250
## Dean Witter Discover
6.075%, 11/15/96 A 325 325
(b) FNBC Series 93-A
8.08%, 1/5/18 A1 325 339
John Hancock
7.375%, 2/15/24 AA 500 464
## Marshall & Ilsley Bank
5.898%, 5/26/97 A+ 325 325
(+) Mass Mutual
7.625%, 11/15/23 AA- 250 243
(+) Metropolitan Life
Insurance
7.45%, 11/1/23 AA 250 231
NationsBank Texas
5.875%, 6/18/97 A+ 250 250
(+) New York Life Insurance
7.50%, 12/15/23 AA 320 307
(+) Principal Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 250 241
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 225 225
## Wells Fargo & Co.
5.813%, 8/16/96 A- 325 325
## World Savings & Loan
Association
5.875%, 3/15/96 A+ 100 100
- - ---------------------------------------------------------
GROUP TOTAL 3,625
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
/ / HEDGED MORTGAGES (0.4%)
Federal Home Loan
Mortgage Corporation
Inv Fl IO
REMIC Series
1699-SD
2.063%, 3/15/24 Agy $2,166 $ 130
- - ---------------------------------------------------------
INDUSTRIALS (0.6%)
(b) Columbia/HCA Healthcare
7.69%, 6/15/25 A3 200 204
- - ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (4.5%)
(+) CVM Finance Corp.
7.19%, 4/1/04 AA 444 446
(+) Creekwood Capital Corp.
Series 95-1 A
8.47%, 3/16/15 AA 249 261
(b)(+) DeBartolo Capital Corp.
Series A 2
7.48%, 5/1/04 Aaa 150 156
sec. Gemsco Mortgage
Pass Through Certificate
Series 83-TX A
8.701%, 11/25/10
(acquired 9/9/88,
cost $361) AA 392 396
(+) Lakewood Mall Finance
Co. Series 95-C1 A
7.00%, 8/13/10 AA 125 124
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 157 167
## Resolution Trust Corp.
Series 92-5C
8.65415%, 1/25/26 AA 66 68
- - ---------------------------------------------------------
GROUP TOTAL 1,618
- - ---------------------------------------------------------
TELEPHONES (0.4%)
AT&T Corp.
8.35%, 1/15/25 AA 125 136
- - ---------------------------------------------------------
TRANSPORTATION (0.9%)
(+) Jet Equipment Trust
Series A11
10.00%, 6/15/12 A 275 317
- - ---------------------------------------------------------
U.S. TREASURY SECURITIES (15.0%)
U.S. Treasury Bond
7.875%, 2/15/21 Tsy 2,100 2,408
(a) 8.75%, 8/15/20 Tsy 1,550 1,938
U.S. Treasury Note
7.25%, 8/15/04 Tsy 1,000 1,069
- - ---------------------------------------------------------
GROUP TOTAL 5,415
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
32
<PAGE> 35
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
YANKEE (0.5%)
Hydro-Quebec
9.40%, 2/1/21 A+ $ 150 $ 179
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$33,307) 33,926
- - ---------------------------------------------------------
CASH EQUIVALENTS (36.8%)
- - ---------------------------------------------------------
COMMERCIAL PAPER (32.8%)
Bell Atlantic
Financial
5.82%, 10/25/95 700 697
Barclays U.S. Funding
5.74%, 10/30/95 700 697
Beneficial Corp.
5.73%, 11/13/95 700 695
E.I. du Pont de
Nemours & Co.
5.80%, 10/16/95 700 698
Ford Motor Credit
Corp.
5.74%, 10/26/95 700 697
McDonald's Corp.
5.72%, 10/11/95 700 699
National Rural
Utilities
5.71%, 11/9/95 700 697
PHH Corp.
6.10%, 10/10/95 700 699
Philip Morris Corp.
5.73%, 10/11/95 700 699
Pitney Bowes, Inc.
5.73%, 10/12/95 700 699
Prudential Funding
Corp.
5.74%, 11/7/95 700 696
Sara Lee Corp.
5.75%, 10/2/95 700 700
Southwestern Bell
5.75%, 10/16/95 700 698
U.S. West, Inc.
5.71%, 11/7/95 700 696
Warner Lambert
5.75%, 10/6/95 700 699
Weyerhaeuser Mortgage Co.
5.80%, 10/17/95 700 698
Xerox Corp.
5.70%, 11/6/95 700 696
- - ---------------------------------------------------------
GROUP TOTAL 11,860
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (4.0%)
Chase Manhattan Bank N.A.,
6.20% dated 9/29/95, due
10/2/95, to be repurchased
at $1,461, collateralized by
$1,467 of various U.S.
Government and Agency
Obligations, due 10/3/95-
7/7/97, valued at $1,476 1,460 1,460
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $13,320) 13,320
- - ---------------------------------------------------------
TOTAL INVESTMENTS (130.7%) (Cost $46,627) 47,246
- - ---------------------------------------------------------
<CAPTION>
VALUE
(000)+
- - ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-30.7%)
Interest Receivable $ 200
Receivable for Investments Sold 10
Payable for Investments Purchased (11,133)
Payable for Administrative Fees (3)
Payable for Investment Advisory Fees (26)
Payable for Daily Variation on Futures
Contracts (19)
Written Interest Rate Floor at Value (112)
Other Liabilities (16)
-------
(11,099)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 3,276,630 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $36,147
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.03
- - ---------------------------------------------------------
sec. Restricted Security-Total cost of restricted
securities at September 30, 1995 amounted to
$1,470. Total market value of restricted
securities owned at September 30, 1995 was
$1,524 or 4.2% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(a) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(b) Moody's Investor Service, Inc. rating.
Security is not rated by Standard & Poor's
Corporation.
(c) Fitch rating. Security is not rated by
Standard & Poor's Corporation or Moody's
Investor Service, Inc.
/ / Securities purchased with proceeds from
written floors. See Note A6 to Financial
Statements.
# Step Bond-Coupon rate is zero or below market
for an initial period and then increases to
a higher coupon rate thereafter.
## Variable or floating rate securities-rate
disclosed is as of September 30,1995.
(+) 144A Security. Certain conditions for public
sale may exist.
(-) Security is subject to delayed delivery. See
Note A8 to Financial Statements.
CMO Collateralized Mortgage Obligations.
IO Interest Only.
Inv Fl Inverse Floating Rate-Interest rate
fluctuates with an inverse relationship to
an associated interest rate. Indicated rate
is the effective rate at September 30, 1995.
N/R Not rated by either Moody's Investor Service
Inc. or Standard & Poor's Corporation.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
33
<PAGE> 36
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (90.6%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
CABLE (9.4%)
(a) Adelphia Communications
Corp. Series B
9.875%, 3/1/05 B $ 5,250 $ 4,883
#(+) Bell Cablemedia
0.00%, 9/15/05 BB- 4,450 2,603
Comcast Corp.
(Convertible)
1.125%, 4/15/07 B+ 5,750 3,033
# Marcus Cable Co.
0.00%, 12/15/05 B 3,700 2,165
Rogers Cable Systems
9.65%, 1/15/14 BB+ C$ 6,150 3,942
(+) 10.00%, 3/15/05 BB+ $ 1,800 1,890
# Telewest Communications
0.00%, 10/1/07 BB 3,700 2,192
- - ---------------------------------------------------------
GROUP TOTAL 20,708
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (11.1%)
CBA Mortgage Corp. Series
93-C1 E
7.154%, 12/25/03 BB 1,675 1,373
(b) Citicorp Mortgage
Securities, Inc.
Series 90-8 A7
9.50%, 6/25/05 Ba1 3,250 2,784
CMC Securities Corp.
III Series:
sec. 94-C B3
6.75%, 3/25/24
(acquired 4/21/95,
cost $431) N/R 652 448
(+) 94-E B3
6.50%, 3/25/24 BB 2,718 1,821
(+) CMC Securities
Corp. IV Series 94-G
B3
7.00%, 9/25/24 N/R 755 522
Countrywide Mortgage
Securities Series:
(+) 93-E B4
6.50%, 1/25/24 BB 1,013 694
94-G B3
6.50%, 2/15/24 N/R 2,205 1,575
(c) sec. DLJ Mortgage
Acceptance Corp.
Series 94-3 B3
6.50%, 4/25/24
(acquired 5/8/95,
cost $944) BB 1,414 985
(b)(+) First Boston
Mortgage Corp. Series
92-4R 2
8.025%, 10/28/22 Ba3 1,375 960
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
G.E. Capital Mortgage
Services, Inc.
Series:
(+) 94-8 B3
6.00%, 2/25/24 N/R $ 397 $ 264
(+) 94-9 B3
6.50%, 2/25/24 N/R 1,082 755
(+) 94-28 B3
8.00%, 8/25/24 N/R 1,406 1,103
Prudential Home
Mortgage Securities
Co., Inc. Series:
(b)(+) 92-A 3B2
7.90%, 4/28/22 Baa3 2,900 2,086
(+) 93-B 4B
7.836%, 4/28/23 BB 4,090 3,231
(+) 95-D B4
7.539%, 10/28/25 BB 1,685 1,389
Residential Funding
Mortgage Securities Co.,
Inc. Series:
95-S10 B1
7.50%, 7/25/25 N/R 622 473
95-S11 B1
7.50%, 9/25/25 N/R 1,300 988
(-) 95-S16 B3
7.50%, 8/15/24 N/R 1,000 763
Ryland Mortgage
Securities Corp.
Series
92-A C1
8.305%, 3/29/30 BB 700 564
Saxon Mortgage
Securities Corp.
Series:
sec. 93-8A B3
7.30%, 9/25/23
(acquired 2/9/94,
cost $754) BB 881 635
(+) 94-2 B3
6.75%, 1/25/24 BB 1,618 1,081
- - ---------------------------------------------------------
GROUP TOTAL 24,494
- - ---------------------------------------------------------
CONSUMER SERVICES/PRODUCTS (8.6%)
Coleman Holdings
Zero Coupon, 5/27/98 B 3,400 2,652
Flagstar Corp.
11.25%, 11/1/04 CCC+ 3,400 2,635
** Heileman Acquisition Co.
9.625%, 1/31/04 CC 2,225 606
(+) Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 3,850 3,744
Marvel Parent
Holdings, Inc.
Zero Coupon, 4/15/98 B- 9,850 7,055
#(+) Six Flags Theme Parks,
Inc.
0.00%, 6/15/05 B 3,025 2,284
- - ---------------------------------------------------------
GROUP TOTAL 18,976
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
34
<PAGE> 37
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
ENERGY (4.5%)
Clark R&M Holdings
Zero Coupon, 2/15/00 B+ $ 5,675 $ 3,632
Maxus Energy Corp
9.50%, 2/15/03 BB- 1,100 1,067
9.875%, 10/15/02 BB- 850 841
10.83%, 9/1/04 BB- 2,125 2,226
# TransAmerican
Refining Corp. Series
1
0.00%, 2/15/02 B- 2,900 2,030
* TransAmerican
Refining Corp.
(Warrants, expiring
2/15/02) (1) 49,570 166
- - ---------------------------------------------------------
GROUP TOTAL 9,962
- - ---------------------------------------------------------
FINANCE (9.4%)
Conseco, Inc.
8.125%, 2/15/03 BB+ 3,075 2,927
First Union REIT
8.875%, 10/1/03 BB+ 1,200 1,099
Home Holdings, Inc.
7.75%, 12/15/98 B- 1,100 996
8.625%, 12/15/03 B- 3,000 2,415
MDC Holdings, Inc.
11.125%, 12/15/03 B 2,550 2,359
# Mutual Life
Insurance Co. of New
York
0.00%, 8/15/24 BBB 6,075 4,762
Reliance Group
Holdings
9.75%, 11/15/03 BB- 4,125 4,104
sec. Riggs National
Corp. Series B
10.75% (Preferred Stock)
(acquired 10/14/93-
8/4/94, cost
$1,837) N/R (1) 73,500 2,021
- - ---------------------------------------------------------
GROUP TOTAL 20,683
- - ---------------------------------------------------------
FOREIGN GOVERNMENTS (1.1%)
Mexican Cetes
Zero Coupon, 1/25/96 BBB+ MP16,709 2,361
* Mexico Recovery (Rights,
expiring 6/30/03) (1) 6,425,000 --
- - ---------------------------------------------------------
GROUP TOTAL 2,361
- - ---------------------------------------------------------
INDUSTRIALS (8.3%)
AK Steel Corp.
10.75%, 4/1/04 B+ 3,000 3,218
## Blue Bell Funding
11.85%, 5/1/99 BB- 525 551
Consolidated Hydro, Inc.
13.50% (Preferred
Stock) N/R (1) 1,500 580
* Consolidated Hydro,
Inc. (Warrants,
expiring 12/31/03) (1) 2,700 --
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Fleming Cos., Inc.
10.625%, 12/15/01 BB- $ 3,500 $ 3,736
G.I. Holdings, Inc.
Zero Coupon, 10/1/98 B+ 8,375 6,082
(+) Terex Corp.
13.75%, 5/15/02 B 1,900 1,539
TLC Beatrice
11.50%, 10/1/05 BB- 2,650 2,670
- - ---------------------------------------------------------
GROUP TOTAL 18,376
- - ---------------------------------------------------------
SUPERMARKETS (4.1%)
Big V Supermarkets, Inc.
11.00%, 2/15/04 B- 2,320 1,856
Grand Union Co.
(Common Stock) (1) 190,881 2,481
Ralph's Grocery Co.
10.45%, 6/15/04 B 2,400 2,334
Southland Corp.
5.00%, 12/15/03 BB+ 3,125 2,426
- - ---------------------------------------------------------
GROUP TOTAL 9,097
- - ---------------------------------------------------------
TECHNOLOGY (3.6%)
Unisys Corp.
9.75%, 9/15/16 BB- 1,450 1,417
Unisys Corp. Series A
$3.75 (Convertible
Preferred Stock) B- (1) 179,500 6,709
- - ---------------------------------------------------------
GROUP TOTAL 8,126
- - ---------------------------------------------------------
TELEPHONES (7.0%)
Comcast Cellular Corp.
Series:
A Zero Coupon,
3/5/00 B+ 2,800 2,135
B Zero Coupon,
3/5/00 B+ 6,375 4,877
# Dial Call
Communications, Inc.
0.00%, 4/15/04 CCC- 4,800 2,520
* Dial Call
Communications, Inc.
(Warrants, expiring
4/25/99) (1) 2,800 --
# Nextel Communications,
Inc.
0.00%, 8/15/04 CCC- 11,825 5,824
- - ---------------------------------------------------------
GROUP TOTAL 15,356
- - ---------------------------------------------------------
TRANSPORTATION (3.6%)
Jet Equipment Trust
Series:
(+) 95-C,
10.69%, 5/1/15 BBB- 2,200 2,475
(+) B1,
10.91%, 6/15/06 BB+ 1,348 1,528
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
35
<PAGE> 38
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
USAir Inc. Series:
93-A3,
10.375%, 3/1/13 B+ $ 3,275 $ 3,095
F
10.55%, 1/15/05 B+ 625 586
10.70%, 1/15/06 B+ 296 278
- - ---------------------------------------------------------
GROUP TOTAL 7,962
- - ---------------------------------------------------------
UTILITIES (3.2%)
Cleveland Electric
Series:
B 9.50%, 5/15/05 BB 2,075 2,090
sec. Q $91.50
(Preferred Stock)
(acquired 5/10/95,
cost $2,397) N/R (1) 2,700 2,395
First PV Funding Corp.
10.15%, 1/15/16 B+ 2,450 2,487
- - ---------------------------------------------------------
GROUP TOTAL 6,972
- - ---------------------------------------------------------
YANKEE (16.7%)
##(b) Brazil Par Series:
YL3
4.25%, 4/15/24 B1 5,625 2,728
YL4
4.25%, 4/15/24 B1 9,725 4,717
##(b) Central Bank of
Argentina Bocon PIK:
Pre 2,
3.313%, 4/1/01 B2 5,425 4,435
Pre 4,
3.313%, 9/1/02 B2 10,200 6,362
CFE Petacalco
Topolobamp
8.125%, 12/15/03 BB 2,975 2,304
Republic of Argentina
# 5.00%, 3/31/23 BB- 9,725 4,717
## 6.813%, 3/31/05 BB- 2,300 1,426
## Republic of Brazil,
Series EI-L
7.25%, 4/15/06 N/R 5,925 3,940
Republic of Ecuador
## (Discount)
6.813%, 2/28/25 N/R 4,115 2,027
# (Past Due
Interest)
6.813%, 2/28/15 N/R 1,225 398
* Republic of
Venezuela Oil
Warrants, expiring
4/15/20 (1) 33,750 --
United Mexican States
6.25%, 12/31/19 BB 6,425 3,855
- - ---------------------------------------------------------
GROUP TOTAL 36,909
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $200,472) 199,982
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (10.5%)
- - ---------------------------------------------------------
U.S. TREASURY SECURITIES (0.1%)
U.S. Treasury Bill
Zero Coupon,
11/16/95 Tsy $ 100 $ 99
- - ---------------------------------------------------------
COMMERCIAL PAPER (5.3%)
Aon Corp.
5.72%, 10/23/95 2,350 2,342
H.J. Heinz Co.
5.73%, 10/12/95 2,350 2,346
Heller Financial, Inc.
5.75%, 10/3/95 2,350 2,349
Southern California
Edison Co.
5.72%, 10/18/95 2,350 2,344
Xerox Corp.
5.72%, 10/27/95 2,350 2,340
- - ---------------------------------------------------------
GROUP TOTAL 11,721
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (5.1%)
Chase Manhattan Bank N.A.,
6.20%, dated 9/29/95, due
10/2/95, to be repurchased
at $11,352, collateralized
by $11,395 of various U.S.
Government and Agency
obligations, due 10/3/95-
7/7/97, valued at $11,459 11,346 11,346
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $23,166) 23,166
- - ---------------------------------------------------------
TOTAL INVESTMENTS (101.1%) (Cost $223,638) 223,148
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.1%)
Cash 1
Dividends Receivable 177
Interest Receivable 3,341
Receivable for Fund Shares Sold 117
Receivable for Investments Sold 4
Other Assets 1
Payable for Fund Shares Redeemed (16)
Payable for Investments Purchased (5,611)
Payable for Administrative Fees (16)
Payable for Investment Advisory Fees (215)
Payable for Daily Variation on Futures
Contracts (88)
Unrealized Loss on Swap Contracts (27)
Other Liabilities (31)
------
(2,363)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 24,304,177 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $220,785
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.08
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
36
<PAGE> 39
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
- - ---------------------------------------------------------
sec. Restricted Security-Total cost of restricted
securities at September 30, 1995 amounted to
$6,363. Total market value of restricted
securities owned at September 30, 1995 was $6,484
or 2.9% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-Income Producing Security.
** Non-Income Producing, Defaulted Security.
(a) A portion of these securities was pledged to cover
margin requirements for futures contracts.
(b) Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
(c) Fitch rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
# Step Bond-Coupon rate is zero or below market for
an initial period and then increases to a higher
coupon rate thereafter.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(-) Security is subject to delayed delivery. See Note
A8 to Financial statements.
(+) 144A security. Certain conditions for public sale
may exist.
(1) Amount represents shares held by the Portfolio.
N/R Not rated by either Moody's Investor Service, Inc.
or Standard & Poor's Corporation.
PIK Payment-In-Kind Security.
C$ Canadian Dollar.
MP Mexican Peso.
</TABLE>
CASH RESERVES
PORTFOLIO
STATEMENT OF NET ASSETS
COMMERCIAL PAPER (91.9%)
<TABLE>
<CAPTION>
- - --------------------------------------------------------
FACE
AMOUNT VALUE
SEPTEMBER 30, 1995 (000) (000)+
- - --------------------------------------------------------
<S> <C> <C>
FINANCE (40.2%)
American General Corp.
5.73%, 10/20/95 $1,000 $ 997
Aon Corp.
5.72%, 10/23/95 1,000 997
Beneficial Corp.
5.73%, 11/10/95 1,000 994
Barclays U.S. Funding
5.74%, 10/30/95 1,000 995
C.I.T. Group Holdings, Inc.
5.73%, 10/12/95 1,000 998
Chevron Oil Finance Co.
5.72%, 10/17/95 1,000 997
Commercial Credit Co.
5.73%, 10/10/95 1,000 999
General Electric Capital Corp.
5.72%, 10/2/95 1,000 1,000
Heller Financial, Inc.
5.72%, 10/5/95 1,000 999
Household Finance Corp.
5.73%, 10/11/95 1,000 998
Metlife Funding, Inc.
5.72%, 10/10/95 1,000 999
Motorola Credit Corp.
5.71%, 10/17/95 1,000 997
National Rural Utilities
Finance Corp.
5.72%, 10/12/95 1,000 998
Norwest Financial, Inc.
5.72%, 10/11/95 1,000 998
PHH Corp.
5.72%, 10/6/95 1,000 999
Prudential Funding Co.
5.74%, 10/13/95 1,000 998
Transamerica Corp.
5.74%, 10/3/95 1,000 1,000
Weyerhaeuser Mortgage Co.
5.74%, 10/5/95 1,000 999
- - --------------------------------------------------------
GROUP TOTAL 17,962
- - --------------------------------------------------------
INDUSTRIALS (22.4%)
Abbott Laboratories
5.70%, 10/3/95 1,000 1,000
Alabama Power Co.
5.73%, 10/13/95 1,000 998
Cargill, Inc.
5.80%, 10/20/95 1,000 997
E.I. du Pont de Nemours & Co.
5.71%, 10/6/95 1,000 999
H.J. Heinz Co.
5.73%, 10/19/95 1,000 997
Pitney Bowes, Inc.
5.75%, 10/12/95 1,000 998
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH RESERVES
PORTFOLIO
FACE
AMOUNT VALUE
(CONT'D) (000) (000)+
- - --------------------------------------------------------
<S> <C> <C>
Raytheon Co.
5.72%, 10/10/95 $1,000 $ 999
Shell Oil Co.
5.70%, 10/3/95 1,000 1,000
Southern California Edison Co.
5.71%, 10/18/95 1,000 997
Texaco, Inc.
5.72%, 10/6/95 1,000 999
- - --------------------------------------------------------
GROUP TOTAL 9,984
- - --------------------------------------------------------
MANUFACTURING AND RETAIL TRADE (18.1%)
Campbell Soup Co.
5.73%, 10/11/95 1,100 1,098
Kellogg Co.
5.70%, 11/3/95 1,000 995
Philip Morris, Inc.
5.71%, 10/20/95 1,000 997
R.R. Donnelley & Sons Co.
5.80%, 10/6/95 1,000 999
Sara Lee Corp.
5.75%, 10/16/95 1,000 998
United Parcel Service of America, Inc.
5.70%, 10/2/95 1,000 1,000
Wal-Mart Stores, Inc.
5.70%, 10/2/95 1,000 1,000
Xerox Corp.
5.72%, 10/4/95 1,000 1,000
- - --------------------------------------------------------
GROUP TOTAL 8,087
- - --------------------------------------------------------
TELECOMMUNICATIONS (11.2%)
AT&T Corp.
5.70%, 10/30/95 1,000 996
Bell Atlantic Corp.
5.72%, 10/6/95 1,000 999
BellSouth Telecommunications, Inc.
5.70%, 10/5/95 1,000 999
Southwestern Bell Telephone Co.
5.72%, 10/10/95 1,000 999
U.S. West Communications, Inc.
5.69%, 10/25/95 1,000 996
- - --------------------------------------------------------
GROUP TOTAL 4,989
- - --------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $41,022) 41,022
- - --------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- - --------------------------------------------------------
<S> <C> <C>
VARIABLE RATE OBLIGATIONS (3.3%)
- - --------------------------------------------------------
AGENCY (0.7%)
## Federal National
Mortgage Association
5.39%, 2/16/96 $ 325 $ 325
- - --------------------------------------------------------
FINANCE (2.6%)
## Wells Fargo & Co.
5.81%, 8/16/96 500 500
## World Savings & Loan Association
5.88%, 3/15/96 650 650
- - --------------------------------------------------------
GROUP TOTAL 1,150
- - --------------------------------------------------------
TOTAL VARIABLE RATE OBLIGATIONS (Cost $1,475) 1,475
- - --------------------------------------------------------
REPURCHASE AGREEMENT (5.9%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased at
$2,640, collateralized by
$2,497 of various U.S.
Government and Agency
Obligations, due
10/3/95-5/15/03, valued at
$2,672(Cost $2,638) 2,638 2,638
- - --------------------------------------------------------
TOTAL INVESTMENTS (101.1%) (Cost $45,135) 45,135
- - --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.1%)
Interest Receivable 6
Receivable for Fund Shares Sold 2
Payable for Fund Shares Redeemed (492)
Payable for Administrative Fees (2)
Payable for Investment Advisory Fees (12)
Other Liabilities (13)
-------
(511)
- - --------------------------------------------------------
NET ASSETS (100%)
- - --------------------------------------------------------
Applicable to 44,623,030 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $44,624
- - --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- - --------------------------------------------------------
+ See Note A1 to Financial Statements.
## Variable or floating rate securities-rate disclosed
is as of September 30, 1995.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
38
<PAGE> 41
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (100.5%)
<TABLE>
<CAPTION>
- - --------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - --------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (10.1%)
## Government National
Mortgage Association II:
Various Pools:
6.00%,
10/20/23-9/20/24 Agy $ 8,276 $ 8,329
6.50%,
1/20/22-1/20/25 Agy 6,923 7,061
7.00%,
4/20/22-5/20/23 Agy 2,371 2,411
- - --------------------------------------------------------
GROUP TOTAL 17,801
- - --------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (34.2%)
Federal Home Loan
Mortgage Corporation:
Gold Pools:
10.00%, 1/1/21 Agy 1,390 1,512
October TBA
7.50%, 8/15/23 Agy 11,250 11,331
November TBA
7.50%,
11/15/25 Agy 6,300 6,336
Conventional Pools:
8.25%, 10/1/06 Agy 148 151
10.25%, 7/1/09 Agy 397 432
11.00%, 1/1/16 Agy 575 638
11.25%,
9/1/10-12/1/14 Agy 775 859
11.50%, 2/1/00 Agy 6 6
Federal National
Mortgage
Association:
Gold Pools:
10.75%, 8/1/13 Agy 108 118
11.25%,
7/1/13-8/1/13 Agy 303 338
Conventional Pools:
10.00%, 5/1/22 Agy 1,333 1,450
10.50%,
11/1/17 Agy 217 238
11.25%,
11/1/00 Agy 85 95
11.50%, 9/1/25 Agy 1,200 1,351
October TBA
7.50%,
8/15/23-10/15/24 Agy 15,050 15,144
November TBA
7.00%,
11/15/24 Agy 5,500 5,418
7.50%,
11/15/25 Agy 4,450 4,471
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Government National
Mortgage Association:
Various Pools:
10.50%,
12/15/00 Agy $ 26 $ 29
11.00%,
2/15/10-2/15/19 Agy 1,450 1,618
November TBA
7.50%, 8/15/24 Agy 8,900 8,972
- - ---------------------------------------------------------
GROUP TOTAL 60,507
- - ---------------------------------------------------------
ASSET BACKED CORPORATES (0.6%)
ALPS Series 94-1 A4
CMO
7.80%, 7/15/99 AA 800 822
#(+) Equitable Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 207 206
- - ---------------------------------------------------------
GROUP TOTAL 1,028
- - ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.7%)
Security Pacific Home
Equity Trust Series:
(b) 91-A A2
8.90%, 3/10/06 Aaa 151 152
91-A B
10.50%, 3/10/06 A+ 1,050 1,096
- - ---------------------------------------------------------
GROUP TOTAL 1,248
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.9%)
Federal Home Loan
Mortgage Corporation
Series:
89-47 F PAC-1 (11)
10.00%, 6/15/20 Agy 400 432
92-1398 I Inv Fl
10.612%,
10/15/07 Agy 650 671
Federal National
Mortgage Association
92-33 S Inv Fl
12.90%, 3/25/22 Agy 185 199
Goldman Sachs Trust IV
Series:
89-D 2 Inv Fl
17.716%, 5/1/19 AAA 134 163
89-E 2 Inv Fl
12.573%,
10/27/19 AAA 50 60
- - ---------------------------------------------------------
GROUP TOTAL 1,525
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
39
<PAGE> 42
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO II
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (17.7%)
American Southwest
Financial Securities
Corp. Series:
(c) 93-2 A1
7.30%, 1/18/09 AA $ 1,222 $ 1,233
(b) 95-C1 A1B
7.40%,
11/17/04 Aaa 1,250 1,283
Asset Securitization Corp.
Series 95-D1 A1
7.59%, 8/11/27 AAA 1,299 1,349
(c) sec. BBS 4 B2
8.528%,
5/28/22
(acquired
8/5/92, cost
$305) A 305 308
(b) Chase Mortgage Finance
Corp. Series:
93-N A8
6.75%,
11/25/24 Aaa 1,287 1,169
94-H A7
7.25%, 6/25/25 Aaa 1,600 1,516
Citicorp Mortgage
Securities, Inc. Series:
90-11 A5
9.50%, 7/25/20 AAA 208 212
(c)(+) 95-2 B1
7.50%, 4/25/25 AA 792 780
(+) Equitable Life Assurance
Society of the U.S.
6.633%,
7/23/03 AA 1,150 1,139
First Boston Mortgage
Securities Corp. Series:
sec. 92-4 B1
8.125%,
10/25/22
(acquired
1/25/93, cost
$334) A 348 340
(c) sec. 93-5 B1
7.30%, 7/25/23
(acquired
7/19/95, cost
$1,384) A 1,456 1,406
(+) FSA Finance,
Inc. Series
95-1A
7.42%, 6/1/07 AA 696 713
GE Capital Mortgage
Services, Inc.
Series 94-24 A4
7.00%, 7/25/24 AAA 582 541
J.P. Morgan Commercial
Mortgage Finance Corp.
Series 95-C1 A1
7.268%,
7/25/10 AAA 862 877
Mid-States Trust
Series 88-2 A4
9.625%, 4/1/03 AAA 1,050 1,153
Mortgage Capital
Funding, Inc.
Series: 95-MC1 A1B
7.60%, 5/25/27 AAA 1,300 1,348
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
(c) Nomura Asset Securities
Corp. Series:
94-MD1 A2
7.676%, 3/15/18 AA $ 750 $ 774
PNC Mortgage Securities
Corp. Series: 94-3 A8
7.50%, 8/15/24 AAA 2,117 2,068
Prudential Home
Mortgage Securities
Co., Inc.
Series:
(b) sec. 92-33 B1
7.50%, 11/15/22
(acquired
9/14/92, cost
$533) A2 561 542
(+) 92A-B2 4
7.90%, 4/28/22 AA 1,000 842
(b) sec. 93-17 B1
6.50%, 3/1/23
(acquired
4/14/93, cost
$585) Aa2 609 584
(c)(+) 94-A 3B3
6.803%, 4/28/24 A 1,450 1,316
Residential
Funding
Mortgage
Securities Co.,
Inc.
Series:
92-S6 M
7.50%, 2/25/22 AA 1,377 1,373
93-MZ1 A2
7.47%, 3/2/23 AA 1,000 980
93-MZ2 A2
7.47%, 5/30/23 AA 650 643
(c) 93-MZ3 A2
6.97%, 8/28/23 AA 700 658
sec. 93-S27 M2
7.50%, 6/25/23
(acquired
7/21/95, cost
$783) A 814 794
sec. 94-S1 A19
6.75%, 1/25/24
(acquired
5/22/95, cost
$716) AAA 785 746
95-S11
7.50%, 9/25/25 AAA 1,149 1,153
Rural Housing
Trust Series:
87-1 M
3.33%, 4/1/26 A- 1,818 1,657
87-2 C
6.83%, 4/1/26 AAA 647 641
## Ryland
Mortgage
Securities Corp.
Series 92-A 1A
8.302%, 3/29/30 A- 632 634
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
40
<PAGE> 43
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
(b) Salomon Brothers
Mortgage Securities
Series 93-3 B1
7.20%, 8/25/23 Aa2 $ 636 $ 615
- - --------------------------------------------------------
GROUP TOTAL 31,387
- - --------------------------------------------------------
FINANCE (10.7%)
## Bank of
Hawaii, Honolulu
5.988%,
11/25/96 A 750 750
## Caterpillar Financial
Services
5.888%,
6/20/97 A 1,350 1,347
Countrywide Funding
6.55%, 4/14/00 A 1,000 996
Fireman's Fund
Mortgage Corp.
8.875%,
10/15/01 BBB+ 950 1,027
## First Chicago Corp.
5.933%,
10/3/97 A 1,525 1,522
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 600 588
(b) FNBC Series 93-A
8.08%, 1/5/18 A1 1,100 1,149
## Household Finance Corp.
6.045%,
8/11/97 A 1,350 1,349
John Hancock
7.375%,
2/15/24 AA 1,350 1,253
(+) Mass Mutual Life
7.625%,
11/15/23 AA- 750 729
(+) Metropolitan Life
Insurance
7.45%, 11/1/23 AA 1,450 1,338
(+) Nationwide Mutual
Life Insurance
7.50%, 2/15/24 AA- 1,250 1,158
(+) New York Life Insurance
7.50%,
12/15/23 AA 1,325 1,270
(+) Principal Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 825 794
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 1,275 1,276
## Wells Fargo & Co.
5.813%,
8/16/96 A- 1,650 1,650
## World Savings & Loan
Association
5.875%,
3/15/96 A+ 750 750
- - --------------------------------------------------------
GROUP TOTAL 18,946
- - --------------------------------------------------------
FOREIGN GOVERNMENTS (12.8%)
Government of Canada
6.50%, 6/1/04 AA+ C$ 825 563
8.50%, 4/1/02 AA+ 5,875 4,585
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Government of France
O.A.T.
8.50%, 11/25/02 AAA FF 18,800 $ 4,084
8.50%, 10/25/19 AAA 11,150 2,372
8.50%, 4/25/23 AAA 6,450 1,369
9.50%, 1/25/01 AAA 6,750 1,521
Kingdom of Denmark
9.00%, 11/15/00 AAA DK 12,400 2,399
Treuhandanstalt
7.125%, 1/29/03 AAA DM 4,620 3,354
7.75%, 10/1/02 AAA 2,130 1,602
United Kingdom
9.125%, 2/21/01 AAA ECU 525 732
- - ---------------------------------------------------------
GROUP TOTAL 22,581
- - ---------------------------------------------------------
/ / HEDGED MORTGAGES (0.4%)
Federal Home Loan
Mortgage Corporation
Series 1699-SD Inv
Fl IO REMIC
2.063%, 3/15/24 Agy $10,993 659
- - ---------------------------------------------------------
INDUSTRIALS (0.9%)
(b) Columbia/HCA
Healthcare
7.69%, 6/15/25 A3 1,075 1,099
(b) Rhone-Poulenc
Rorer, Inc.
8.62%, 1/5/21 A3 450 491
- - ---------------------------------------------------------
GROUP TOTAL 1,590
- - ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (3.6%)
Bank of America
Series A
8.375%, 5/1/07 AA 182 184
Beverly Finance
8.36%, 7/15/04 AA- 675 712
California Federal
Savings & Loan
Series 86-1A
8.80%, 1/1/14 AA 122 122
(+) Creekwood Capital
Corp. Series 95-1 A
8.47%, 3/16/15 AA 746 784
(+) CVM Finance Corp.
7.19%, 4/1/04 AA 592 595
(b)(+) DeBartolo Capital Corp.
Series A 2
7.48%, 5/1/04 Aaa 400 415
First Federal Savings
& Loan Association
Series 92-C
8.75%, 6/1/06 AA 74 75
(+) Lakewood Mall
Finance Co.
Series 95-C1 A
7.00%, 8/13/10 AA 900 895
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
41
<PAGE> 44
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO II
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Marine Midland Bank
Series 91-1A7
8.50%, 4/25/22 AA $ 6 $ 7
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 678 720
Resolution Trust Corp.
Series 92-5C
8.628%,
1/25/26 AA 706 722
Ryland Acceptance
Corp. IV Series 79-A
6.65%, 7/1/11 AA 1,031 990
Security Pacific Home
Equity Trust
Series 87-A1
8.00%, 1/1/02 AA 134 134
- - --------------------------------------------------------
GROUP TOTAL 6,355
- - --------------------------------------------------------
TELEPHONES (0.5%)
AT&T Corp.
8.35%, 1/15/25 AA 900 980
- - --------------------------------------------------------
TRANSPORTATION (0.6%)
(+) Jet Equipment
Trust
Series A11
10.00%,
6/15/12 A 950 1,095
- - --------------------------------------------------------
U.S. TREASURY SECURITIES (6.6%)
U.S. Treasury Bond
7.875%,
2/15/21 Tsy 7,675 8,801
(a) 8.75%,
8/15/20 Tsy 1,325 1,657
U.S. Treasury Note
7.25%, 8/15/04 Tsy 1,300 1,390
- - --------------------------------------------------------
GROUP TOTAL 11,848
- - --------------------------------------------------------
YANKEE (0.2%)
Hydro-Quebec
9.40%, 2/1/21 A+ 225 269
- - --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$174,723) 177,819
- - --------------------------------------------------------
CASH EQUIVALENTS (28.7%)
- - --------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities (0.8%) 1,417 1,417
- - --------------------------------------------------------
COMMERCIAL PAPER (22.7%)
Alabama Power
5.71%, 10/27/95 1,800 1,792
American General Finance
Corp.
5.71%, 11/2/95 1,800 1,791
Barclays U.S. Funding
5.74%, 10/30/95 1,800 1,792
Bell Atlantic Financial
5.72%, 10/11/95 1,800 1,797
CIT Group Holdings, Inc.
5.74%, 10/10/95 1,700 1,697
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Cargill, Inc.
5.72%, 10/6/95 $ 1,800 $ 1,798
E.I. du Pont de Nemours & Co.
5.69%, 10/24/95 1,700 1,694
Ford Motor Credit Corp.
5.74%, 10/2/95 1,700 1,700
General Electric Capital Corp.
5.74%, 10/12/95 1,700 1,697
Hershey Foods
5.70%, 10/27/95 1,800 1,793
Household Finance Corp.
5.73%, 10/16/95 1,700 1,696
Motorola Credit
5.70%, 10/17/95 1,800 1,795
National Rural Utilities
5.80%, 10/11/95 1,800 1,797
Philip Morris Cos., Inc.
5.73%, 10/6/95 1,700 1,699
Prudential Funding Corp.
5.74%, 11/7/95 1,800 1,789
Raytheon Co.
5.72%, 10/4/95 1,800 1,799
Sara Lee Corp.
5.75%, 10/2/95 1,623 1,623
Southwestern Bell
5.75%, 10/16/95 1,800 1,796
Transamerica Corp.
5.74%, 10/5/95 1,700 1,699
U.S. West, Inc.
5.70%, 10/27/95 1,700 1,693
Wal-Mart Stores, Inc.
5.72%, 10/4/95 1,800 1,799
Weyerhaeuser Mortgage Co.
5.71%, 10/25/95 1,700 1,694
Xerox Corp.
5.70%, 11/6/95 1,800 1,790
- - ---------------------------------------------------------
GROUP TOTAL 40,220
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (5.2%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased at
$9,171, collateralized by
$9,206 of various U.S.
Government and Agency
Obligations, due
10/3/95-7/7/97, valued at
$9,258 (Cost $9,166) 9,166 9,166
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $50,803) 50,803
- - ---------------------------------------------------------
TOTAL INVESTMENTS (129.2%) (Cost
$225,526) 228,622
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-29.2%)
Interest Receivable 2,272
Receivable for Investments Sold 68
Other Assets 1
Payable for Fund Shares Redeemed (30)
Payable for Investments Purchased (51,653)
Payable for Administrative Fees (13)
Payable for Investment Advisory Fees (165)
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
42
<PAGE> 45
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)+
- - ---------------------------------------------------------
<S> <C>
Payable for Daily Variation on Futures
Contracts $ (115)
Written Interest Rate Floors at Value (571)
Unrealized Loss on Forward Foreign
Currency Contracts (12)
Collateral on Securities Loaned, at
Value (1,417)
Other Liabilities (42)
-------
(51,677)
- - --------------------------------------------------------
NET ASSETS (100%)
- - --------------------------------------------------------
Applicable to 15,612,663 outstanding
shares of beneficial interest
(unlimited authorization, no par
value) $176,945
- - --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.33
- - --------------------------------------------------------
sec. Restricted Security-Total cost of restricted
securities at September 30, 1995 amounted to
$4,640. Total market value of restricted
securities owned at September 30, 1995 was
$4,720 or 2.7% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(a) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(b) Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(c) Fitch rating. Security is not rated by Standard
& Poor's Corporation or Moody's Investor
Service, Inc.
/ / Securities purchased with proceeds from written
floors. See Note A6.
# Step Bond-Coupon rate is zero or below market
for an initial period and then increases to a
higher coupon rate thereafter.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for public
sale may exist.
Inv Fl Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 1995.
IO Interest Only.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
C$ Canadian Dollar.
DK Danish Krone.
DM German Mark.
ECU European Currency Unit.
FF French Franc.
</TABLE>
MORTGAGE-BACKED SECURITIES PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (105.3%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (12.5%)
## Government National
Mortgage Association II:
Various Pools:
6.00%, 5/20/24 Agy $ 1,534 $ 1,537
6.50%,
1/20/23-2/20/24 Agy 4,601 4,670
- - ---------------------------------------------------------
GROUP TOTAL 6,207
- - ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (46.3%)
Federal Home Loan
Mortgage Corporation:
Gold Pools:
October TBA
7.00%, 2/15/23 Agy 6,500 6,417
November TBA
7.50%, 11/15/25 Agy 1,250 1,257
Federal National Mortgage
Association:
Conventional Pools:
11.50%,
2/1/15-12/1/15 Agy 226 255
12.50%, 9/1/13 Agy 94 107
October TBA
7.50%, 8/15/23 Agy 4,200 4,226
7.50%, 8/15/24 Agy 1,350 1,359
November TBA
7.50%, 11/15/25 Agy 1,250 1,256
Government National Mortgage
Association:
Various Pools:
12.00%,
12/15/12-11/15/15 Agy 1,852 2,103
November TBA
7.50%, 8/15/24 Agy 6,000 6,049
- - ---------------------------------------------------------
GROUP TOTAL 23,029
- - ---------------------------------------------------------
ASSET BACKED MORTGAGES (1.3%)
Security Pacific Home
Equity
Series 91-A B
10.50%, 3/10/06 A+ 645 673
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (5.4%)
(b) Collateralized Mortgage
Obligation Trust Series:
86-14 A2 Inv Fl
12.00%, 4/1/09 Aaa 11 10
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
43
<PAGE> 46
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-BACKED
SECURITIES PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Federal Home Loan
Mortgage Corporation
Series:
90-1007 F Inv Fl
20.708%, 1/15/20 Agy $ 15 $ 17
90-129 H PAC
8.85%, 3/15/21 Agy 265 281
92-1398 I Inv Fl
10.612%, 10/15/07 Agy 330 341
Federal National Mortgage
Association Series:
90-80 S Inv Fl
17.232%, 7/25/20 Agy 108 126
90-85 D
9.50%, 9/25/19 Agy 50 51
90-118 S Inv Fl
27.392%, 9/25/20 Agy 90 122
91-G 20 S Inv Fl
19.238%, 6/25/21 Agy 100 123
92-33 S Inv Fl
12.90%, 3/25/22 Agy 265 285
93-5 M
7.00%, 1/25/08 Agy 366 364
Goldman Sachs Trust IV
Series
89-D 2 Inv Fl
17.716%, 5/1/19 AAA 166 202
Kidder Peabody Mortgage
Assets Trust Series:
87-B Principal Only,
4/22/18 N/R 455 352
87-B IO
9.50%, 4/22/18 N/R 455 117
Morgan Stanley Mortgage Trust
Series
88-28 8 PAC
9.40%, 10/1/18 AAA 244 266
Texas Housing Agency
Series
87-A E Inv Fl
11.513%, 8/1/16 Agy 44 46
- - ---------------------------------------------------------
GROUP TOTAL 2,703
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (28.2%)
American Housing Trust Series
V 1G
9.125%, 4/25/21 AAA 560 581
(c) sec. BBS 4 B2
8.528%, 5/28/22
(acquired
8/5/92-10/27/93,
cost $190) A 187 190
Citicorp Mortgage
Securities, Inc.
Series
93-9 A1
7.00%, 3/25/20 AAA 489 489
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
CMC Securities Corp. IV
Series
94-G A4
7.00%, 9/25/24 AAA $ 365 $ 339
Countrywide Funding Corp.
Series
94-12 A10
7.00%, 5/25/24 AAA 1,645 1,521
DLJ Mortgage Acceptance Corp.
Series
93-MF7 A1
7.40%, 6/18/03 AAA 368 376
(+) Equitable Life Assurance
Society of the U.S.
6.633%, 7/23/03 AA 375 371
sec. First Boston Mortgage
Securities Corp. Series
92-4 B1
8.125%, 10/25/22
(acquired
1/25/93-10/27/93,
cost $155) A 153 149
GE Capital Mortgage
Services, Inc. Series
(+) 94-6 M
6.50%, 4/25/24 AA 516 476
94-23 A16
7.50%, 8/25/24 AAA 550 521
94-24 A4
7.00%, 7/25/24 AAA 502 466
Mid-State Trust Series:
88-2 A4
9.625%, 4/1/03 AAA 855 939
##(c) Nomura Asset Securities
Corp. Series:
94-MD1 A 1B
7.526%, 3/15/18 A 265 274
94-MD1 A2
7.676%, 3/15/18 AA 215 222
Old Stone Credit Corporation
Series
92-3 B1
6.35%, 9/25/07 AAA 96 94
Prudential Home
Mortgage Securities Co.,
Inc. Series:
90-8 A5 PAC-1 (11)
9.50%, 9/25/20 AAA 109 109
(b) sec. 92-33 B1
7.50%, 11/15/22
(acquired
11/30/92, cost
$335) A2 390 377
(c)(+) 94-A 3B3
6.803%, 4/28/24 A 1,320 1,198
Residential Funding
Mortgage Securities Co.,
Inc. Series:
92-S15 A5
8.00%, 5/25/07 AAA 80 81
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
44
<PAGE> 47
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
93-MZ1 A2
7.47%, 3/2/23 AA $ 500 $ 490
sec. 93-S43 A10
6.50%, 11/25/23
(acquired 6/12/95,
cost $545) AAA 589 547
94-S1 A19
6.75%, 1/25/24 AAA 452 429
Rural Housing Trust Series:
87-1 M
3.33%, 4/1/26 A- 1,151 1,049
87-2 C
6.83%, 4/1/26 AAA 769 761
(b) Ryland Mortgage
Securities Corp. Series
93-4 A9
7.50%, 8/25/24 Aaa 1,285 1,243
Saxon Mortgage Securities
Corp. Series
93-8A A6
7.375%, 9/25/23 AAA 752 712
- - ---------------------------------------------------------
GROUP TOTAL 14,004
- - ---------------------------------------------------------
/ / HEDGED MORTGAGES (2.7%)
Federal Home Loan
Mortgage Corporation
Series:
1415-S Inv Fl IO CMO
17.563%, 11/15/07 Agy 287 112
1476-S Inv Fl IO
REMIC PAC
4.106%, 2/15/08 Agy 2,606 229
1485-S Inv Fl IO
REMIC
3.663%, 3/15/08 Agy 3,098 232
1600-SA Inv Fl IO
REMIC
2.063%, 10/15/08 Agy 4,000 209
Federal National Mortgage
Association Series:
92-186 S Inv Fl IO
CMO
3.106%, 10/25/07 Agy 4,517 305
G 94-2 S Inv Fl IO
REMIC
2.225%, 1/25/24 Agy 4,868 257
- - ---------------------------------------------------------
GROUP TOTAL 1,344
- - ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (8.8%)
Bank of America Series
79-3
9.50%, 11/1/08 AA 100 102
Beverly Finance
8.36%, 7/15/04 AA- 410 432
(b)(+) DeBartolo Capital Corp.
Series A 2
7.48%, 5/1/04 Aaa 495 514
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
(+) Lakeside Finance Corp.
6.47%, 12/15/00 AA $ 460 $ 451
Marine Midland Bank NA,
Series
91-1 A7
8.50%, 4/25/22 AA 3 3
Mid-State Trust Series
95-4 A
8.33%, 4/1/30 AAA 516 548
Oakdale Mall
7.95%, 5/01/01 AAA 525 540
Resolution Trust Corp. Series
92-5C
8.628%, 1/25/26 AA 684 700
Ryland Acceptance Corp. IV
Series:
79-A
6.65%, 7/1/11 AA 133 128
Sawgrass Financial
93-A1
6.45%, 1/20/06 AAA 495 490
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 495 477
- - ---------------------------------------------------------
GROUP TOTAL 4,385
- - ---------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.1%)
First Boston Mortgage
Corp. Series
87-B2 IO
8.985%, 4/25/17 AAA 328 76
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $51,726) 52,421
- - ---------------------------------------------------------
CASH EQUIVALENTS (40.4%)
- - ---------------------------------------------------------
U.S. TREASURY SECURITIES (1.5%)
(a) U.S. Treasury Bill
Zero Coupon, 2/1/96 Tsy 750 736
- - ---------------------------------------------------------
COMMERCIAL PAPER (34.1%)
Alabama Power Co.
5.71%, 10/27/95 1,000 996
American General Finance
Corp.
5.71%, 11/2/95 1,000 995
Barclays U.S. Funding
5.74%, 10/30/95 1,000 995
Cargill, Inc.
5.72%, 10/6/95 1,000 999
E.I. du Pont de Nemours & Co.
5.69%, 10/24/95 1,000 996
Ford Motor Credit
Corp.
5.74%, 10/26/95 1,000 996
Hershey Foods
5.70%, 10/27/95 1,000 996
Kellogg Co.
5.70%, 10/31/95 1,000 995
McDonald's Corp.
5.72%, 10/11/95 1,000 998
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
45
<PAGE> 48
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-BACKED
SECURITIES PORTFOLIO
FACE
AMOUNT VALUE
(000) (000)+
- - ---------------------------------------------------------
<S> <C> <C>
National Rural
Utilities Corp.
5.71%, 11/9/95 $ 1,000 $ 994
Norwest Financial,
Inc.
5.75%, 10/3/95 1,000 1,000
Prudential Funding
Corp.
5.74%, 11/7/95 1,000 994
Raytheon Co.
5.72%, 10/4/95 1,000 1,000
Southwestern Bell Telephone
Co.
5.75%, 10/16/95 1,000 998
U.S. West Communications,
Inc.
5.70%, 10/27/95 1,000 996
Weyerhaeuser Mortgage Co.
5.75%, 10/4/95 1,000 1,000
Xerox Corp.
5.73%, 10/12/95 1,000 998
- - ---------------------------------------------------------
GROUP TOTAL 16,946
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (4.8%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased
at $2,393, collateralized by
$2,349 of various U.S.
Government and Agency
Obligations, due
10/3/95-1/31/00, valued at
$2,429 (Cost $2,392) 2,392 2,392
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $20,074) 20,074
- - ---------------------------------------------------------
TOTAL INVESTMENTS (145.7%) (Cost $71,800) 72,495
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-45.7%)
Interest Receivable 281
Receivable for Investments Sold 1,338
Receivable for Daily Variation Margin
on Futures Contracts 10
Written Interest Rate Floors at Value (2,403)
Payable for Investments Purchased (21,835)
Payable for Administrative Fees (4)
Payable for Investment Advisory Fees (61)
Other Liabilities (55)
-------
(22,729)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 4,742,149 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 49,766
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.49
- - ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- - ---------------------------------------------------------
sec. Restricted Security-Total cost of restricted
securities at September 30, 1995 amounted to
$1,225. Total market value of restricted
securities owned at September 30, 1995 was
$1,263 or 2.5% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(a) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(b) Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(c) Fitch rating. Security is not rated by Standard
& Poor's Corporation or Moody's Investor
Service, Inc.
## Variable or Floating rate security-rate
disclosed is as of September 30, 1995.
/ / Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
(+) 144A Security. Certain conditions for public
sale may exist.
Inv Fl Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 1995.
IO Interest Only.
N/R Not rated by either Moody's Investor Service,
Inc. or Standard & Poor's Corporation.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
46
<PAGE> 49
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (89.5%)
<TABLE>
<CAPTION>
---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (9.3%)
## Government National
Mortgage Association II:
Various Pools:
6.00%,
10/20/23-2/20/24 Agy $ 2,615 $ 2,634
6.50%,
11/20/23-10/20/24 Agy 6,551 6,681
- - ---------------------------------------------------------
GROUP TOTAL 9,315
- - ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (6.5%)
Federal Home Loan Mortgage
Corporation:
Gold Pools:
10.50%, 11/1/19 Agy 429 470
11.50%, 8/1/10 Agy 264 297
12.00%,
6/1/15-9/1/15 Agy 886 1,003
Conventional Pools:
11.00%, 5/1/20 Agy 286 317
11.50%,
4/1/11-1/1/19 Agy 1,483 1,660
Federal National Mortgage
Association:
Conventional Pools:
10.00%, 9/1/16 Agy 765 832
10.50%, 4/1/15 Agy 332 364
Government National Mortgage
Association:
Various Pools:
11.00%,
1/15/10-12/15/17 Agy 969 1,082
11.50%,
2/15/13-9/15/14 Agy 417 468
12.00%, 8/15/13 Agy 83 94
- - ---------------------------------------------------------
GROUP TOTAL 6,587
- - ---------------------------------------------------------
ASSET BACKED CORPORATES (8.3%)
ALPS Series 94-1 A2 CMO
7.15%, 11/15/97 AA 483 489
Case Equipment Loan Trust
Series
95-A
7.65%, 3/15/02 A 350 358
95-A A
7.30%, 3/15/02 AAA 409 415
(+) Cityscape Home Equity
Loan Series 95-2 A1
7.29%, 2/25/09 AAA 630 630
## Discover Card Master
Trust I Series 93-1 A
6.145%, 10/16/01 AAA 400 401
#(+) Equitable Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 245 244
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
General Motors Acceptance
Corp. Series:
92-E A
4.75%, 8/15/97 AAA $ 272 $ 270
93-A A Grantor Trust
4.15%, 3/15/98 AAA 59 58
Green Tree Financial Series:
94-5 A1
6.60%, 8/15/98 AA 354 355
94-8 A1
7.75%, 4/15/25 AAA 662 668
IBM Credit Receivables
Lease Asset Master Trust
Series 93-1 A
4.55%, 11/15/00 AAA 343 338
Navistar Financial Corp.
Series:
93-A A2
4.475%, 10/15/98 AAA 474 471
94-B A
6.40%, 1/15/00 AAA 401 402
Olympic Automobile
Receivables Trust Series:
94-A1
5.65%, 1/15/01 AAA 583 579
94-B B
6.95%, 6/15/01 AAA 569 573
Onyx Acceptance Trust
Series
94-1 A
6.90%, 1/17/00 AAA 412 416
Premier Auto Trust Series:
92-2 A
6.375%, 9/15/97 AAA 165 165
92-3 B
6.25%, 11/15/97 A 279 279
94-3 B
6.80%, 12/2/99 AA 399 401
Western Financial Auto
Grantor Trust Series:
93-3 A1
4.25%, 12/1/98 AAA 239 235
94-1 A1
5.10%, 6/1/99 AAA 336 331
Western Financial Series:
93-A1
4.45%, 7/1/98 AAA 133 131
93-A2
4.70%, 10/1/98 AAA 105 104
- - ---------------------------------------------------------
GROUP TOTAL 8,313
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-NON-AGENCY
COLLATERAL SERIES (2.4%)
Citicorp Mortgage
Securities, Inc. REMIC
Series:
93-9 A1
7.00%, 3/25/20 AAA 275 275
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
47
<PAGE> 50
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIMITED DURATION
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
GE Capital Mortgage
Services, Inc. Series
93-14 A2
5.75%, 4/25/11 AAA $ 900 $ 887
Old Stone Credit
Corporation
Series 92-3 B1
6.35%, 9/25/07 AAA 200 195
Residential Funding
Mortgage Securities Co.,
Inc. Series
93-MZ1 A1
7.47%, 3/2/23 AA 270 270
Security Pacific Home
Equity Loan Trust
Series 91-1 B
8.85%, 5/15/98 AAA 750 777
- - ---------------------------------------------------------
GROUP TOTAL 2,404
- - ---------------------------------------------------------
FEDERAL AGENCY (2.2%)
## Federal National Mortgage
Association
6.02%, 2/16/96 AAA 675 675
##(b) Student Loan Marketing
Association
5.64%, 10/30/97 Aaa 1,500 1,500
- - ---------------------------------------------------------
GROUP TOTAL 2,175
- - ---------------------------------------------------------
FINANCE (19.2%)
Allstate Corp.
5.875%, 6/15/98 A 1,125 1,112
## Bankers Trust
New York Corp.
5.48%, 10/30/95 A+ 1,500 1,500
Barclays American Corp.
7.875%, 8/15/98 AA 450 468
## Caterpillar Financial
Services
5.888%, 6/20/97 A 600 599
##(b) Corestates Capital
5.46%, 10/16/96 A1 250 250
Countrywide Funding
7.32%, 8/15/00 A 650 668
## Dean Witter Discover
& Co.
6.075%, 11/15/96 A 700 700
(+) Farmers Insurance
8.50%, 8/1/04 BBB- 700 709
## FNBC
5.49%, 5/10/96 A+ 1,600 1,582
## General Electric
Capital Corp.
5.44%, 6/3/96 AAA 500 499
## General Motors Acceptance
Corp.
6.00%, 12/30/98 BBB+ 600 592
7.125%, 7/1/97 BBB+ 100 101
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Heller Financial, Inc.
7.875%, 11/1/99 A $ 525 $ 550
8.85%, 4/15/96 A 225 228
## Household Finance Corp.
Series 89-2 A
6.04%, 12/20/04 AAA 25 25
Household International
6.00%, 3/15/99 A 400 395
International Lease Finance
5.92%, 1/15/98 A+ 550 546
6.25%, 10/15/97 A+ 700 703
Lehman Bros. Holdings, Inc.
8.375%, 4/1/97 A 800 821
## Marshall & Ilsley Bank
5.898%, 5/26/97 A+ 725 725
##(b) Mercantile Bank
6.066%, 11/18/96 A1 725 726
(+) Metropolitan Life
Insurance Co.
6.30%, 11/1/03 AA 675 642
## NationsBank Texas
5.875%, 6/18/97 A+ 700 700
(+) Nationwide Mutual
Insurance Co.
6.50%, 2/15/04 AA- 675 650
(+) New York Life
6.40%, 12/15/03 AA 675 652
#(+) Prudential Insurance Co.
6.875%, 4/15/03 A2 400 388
## Signet Master Trust 93-2A
6.375%, 2/15/99 AAA 500 500
##(+) Superior Wholesale
Inventory Financing Trust
Series 94-A
6.325%, 1/15/99 A 650 650
## Toyota Motor Credit
5.46%, 6/3/96 AAA 500 499
## Wells Fargo & Co.
5.813%, 8/16/96 A- 700 700
## World Savings & Loan
Association
5.875%, 3/15/96 A+ 350 350
- - ---------------------------------------------------------
GROUP TOTAL 19,230
- - ---------------------------------------------------------
INDUSTRIALS (3.2%)
(b) Columbia/HCA Healthcare
6.87%, 9/15/03 A3 490 492
Ford Motor Co.
Series 93-A4
5.30%, 7/1/97 A+ 750 739
News America
Holdings, Inc.
8.625%, 2/1/03 BBB 500 545
RJR Nabisco, Inc.
8.625%, 12/1/02 BBB- 250 256
Tele-Communications Inc.
8.25%, 1/15/03 BBB- 500 525
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
48
<PAGE> 51
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Time Warner, Inc.
9.625%, 5/1/02 BBB- $ 550 $ 622
- - ---------------------------------------------------------
GROUP TOTAL 3,179
- - ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (1.0%)
(b) Town & Country
Funding Corp.
5.85%, 8/15/98 Aa2 1,000 980
- - ---------------------------------------------------------
U.S. TREASURY SECURITIES (37.4%)
U.S. Treasury Notes
4.375%, 11/15/96 Tsy 8,310 8,183
5.125%, 6/30/98 Tsy 4,500 4,412
5.625%, 1/31/98 Tsy 6,225 6,189
7.625%, 4/30/96 Tsy 2,200 2,224
7.875%, 7/31/96 Tsy 7,650 7,778
8.75%, 10/15/97 Tsy 8,250 8,698
- - ---------------------------------------------------------
GROUP TOTAL 37,484
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $89,355) 89,667
- - ---------------------------------------------------------
CASH EQUIVALENT (10.3%)
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (10.3%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased at
$10,281, collateralized by
$10,321 of various U.S.
Government and Agency
Obligations, due
10/3/95-7/7/97, valued at
$10,379 (Cost $10,275) 10,275 10,275
- - ---------------------------------------------------------
TOTAL INVESTMENTS (99.8%) (Cost $99,630) 99,942
- - ---------------------------------------------------------
<CAPTION>
VALUE
(000)+
---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (0.2%)
Interest Receivable $ 1,399
Receivable for Fund Shares Sold 40
Payable for Investments Purchased (1,096)
Payable for Administrative Fees (7)
Payable for Investment Advisory Fees (67)
Other Liabilities (25)
-------
244
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 9,619,780 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $100,186
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.41
- - ---------------------------------------------------------
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(b) Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate is zero or below market
for an initial period and then increases to a
higher coupon rate thereafter.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for public
sale may exist.
CMO Collateralized Mortgage Obligation.
REMIC Real Estate Mortgage Investment Conduit.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
49
<PAGE> 52
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (105.6%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (9.9%)
## Government National
Mortgage Association II:
Various Pools:
5.50%, 8/20/23 Agy $ 138 $ 137
6.00%,
10/20/23-6/20/25 Agy 17,456 17,599
6.50%,
1/20/22-10/20/24 Agy 20,481 20,816
- - ---------------------------------------------------------
GROUP TOTAL 38,552
- - ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (23.5%)
Federal Home Loan Mortgage
Corporation:
Gold Pools:
10.50%,
11/1/15-4/1/21 Agy 1,268 1,390
November TBA
7.50%,
8/15/24-11/15/25 Agy 22,950 23,079
Conventional Pools:
10.50%,
8/1/15-10/1/20 Agy 694 760
11.00%,
12/1/10-9/1/20 Agy 3,893 4,314
11.75%, 12/1/17 Agy 191 214
Federal National Mortgage
Association:
Conventional Pools:
10.50%,
8/1/15-4/1/22 Agy 3,666 4,018
October TBA
7.50%, 8/15/23 Agy 8,500 8,553
November TBA
7.00%, 11/15/24 Agy 10,000 9,850
7.50%, 11/15/25 Agy 9,750 9,796
Government National Mortgage
Association:
Various Pools:
10.50%,
10/15/15-5/15/18 Agy 952 1,053
11.00%,
1/15/10-12/15/15 Agy 1,855 2,069
12.00%, 4/15/14 Agy 65 73
November TBA
7.50%, 8/15/24 Agy 26,500 26,715
- - ---------------------------------------------------------
GROUP TOTAL 91,884
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.8%)
ALPS Series:
94-1 A4 CMO
7.80%, 7/15/99 AA $ 950 $ 977
94-1 C CMO
9.35%, 3/15/00 BBB 1,617 1,671
#(+) Equitable Asset
Trust Series 93-A
5.00%, 10/15/08 AAA 471 469
- - ---------------------------------------------------------
GROUP TOTAL 3,117
- - ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.8%)
Security Pacific Home
Equity Trust Series:
(b) 1-A A2
8.90%, 3/10/06 Aaa 1,675 1,695
91-A B
10.50%, 3/10/06 A+ 1,298 1,354
- - ---------------------------------------------------------
GROUP TOTAL 3,049
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.8%)
(b) Collateralized
Mortgage Obligation
Trust Series 86-14 A2
Inv Fl
12.00%, 4/1/09 Aaa 38 38
Federal Home Loan
Mortgage Corporation
Series:
88-22 C PAC 11
9.50%, 4/15/20 Agy 46 49
92-1398 I Inv Fl
10.612%, 10/15/07 Agy 2,205 2,276
Federal National Mortgage
Association Series:
90-80 S Inv Fl
17.232%, 7/25/20 Agy 145 170
92-33 S Inv Fl
12.90%, 3/25/22 Agy 610 656
Goldman Sachs Trust IV
Series:
89-D 2 Inv Fl
17.716%, 5/1/19 AAA 2,756 3,356
89-E 2 Inv Fl
12.573%, 10/27/19 AAA 385 463
Texas Housing Agency
Series 87-A E Inv Fl
11.513%, 8/1/16 Agy 30 31
- - ---------------------------------------------------------
GROUP TOTAL 7,039
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
50
<PAGE> 53
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (13.2%)
American Housing
Trust Series:
IV 2
9.553%, 9/25/20 A $ 350 $ 363
V 1G
9.125%, 4/25/21 AAA 1,650 1,711
American Southwest
Financial Securities Corp.
Series:
(b) 95-C1 A1B
7.40%, 11/17/04 Aaa 3,000 3,080
(c) sec.BBS 4 B2
8.528%, 5/28/22
(acquired 8/5/92,
cost $821) A 819 829
(b) Chase Mortgage
Finance Corp. Series
93-N A8
6.75%, 11/25/24 Aaa 2,800 2,544
Chemical Mortgage
Securities, Inc.
Series 93-1M
7.45%, 2/25/23 AA 230 225
Citicorp Mortgage
Securities, Inc.
Series 90-11 A5
9.50%, 7/25/20 AAA 542 551
CMC Securities Corp.
IV Series 94-G A4
7.00%, 9/25/24 AAA 1,800 1,671
(+) Equitable Life
Assurance Society of
the U.S.
6.633%, 7/23/03 AA 2,200 2,179
sec. First Boston
Mortgage Corp. Series
92-4 B1
8.125%, 10/25/22
(acquired 1/26/93,
cost $1,126) A 1,179 1,150
(+) FSA Finance, Inc. Series
95-1A
7.42%, 6/1/07 AA 1,790 1,834
(+) GE Capital
Mortgage Services,
Inc. Series:
94-13 B1
6.50%, 4/25/24 N/R 5,422 4,880
94-24 A4
7.00%, 7/25/24 AAA 1,681 1,561
Mid-State Trust Series
88-2 A4
9.625%, 4/1/03 AAA 725 796
(c) Nomura Asset
Securities Corp.
Series:
94-MD1 A3
8.026%, 3/15/18 A 1,200 1,266
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Prudential Home
Mortgage Securities
Co.,
Inc. Series:
90-5 A3
9.50%, 5/25/05 AAA $ 428 $ 428
90-8 A5 PAC-1 (11)
9.50%, 9/25/20 AAA 2,379 2,379
(+) 92-A 2B4
7.90%, 4/28/22 AA 2,598 2,187
(+) 93-B 1B1
7.837%, 4/28/23 AA 3,055 3,048
(c) (+) 94-A 3B5
6.803%, 4/28/24 A 3,212 2,945
Residential Funding
Mortgage Securities
Co.,
Inc. Series:
sec. 92-S6 M
7.50%, 2/25/22
(acquired
11/18/94, cost
$162) AA 184 183
92-S15 A5
8.00%, 5/25/07 AAA 54 55
93-MZ1 A2
7.47%, 3/2/23 AA 2,800 2,743
sec. 93-MZ2 A2
7.47%, 5/30/23
(acquired 5/12/93,
cost $2,153) AA 2,150 2,127
Rural Housing Trust
Series:
87-1 D
6.33%, 4/1/26 AAA 3,261 3,176
87-1 M
3.33%, 4/1/26 A- 915 834
87-2 C
6.83%, 4/1/26 AAA 2,104 2,083
Ryland Mortgage
Securities Corp.
Series:
92-A 1A
8.302%, 3/29/30 A- 2,107 2,113
94-7B 4A2
7.50%, 8/25/25 AAA 2,700 2,603
- - ---------------------------------------------------------
GROUP TOTAL 51,544
- - ---------------------------------------------------------
ENERGY (1.0%)
Maxus Energy Corp.
10.83%, 9/1/04 BB- 2,375 2,488
Mobile Energy Services
8.665%, 1/1/17 BBB- 1,250 1,308
- - ---------------------------------------------------------
GROUP TOTAL 3,796
- - ---------------------------------------------------------
FINANCE (13.9%)
## Bank of Hawaii
Honolulu
5.988%, 11/25/96 A 2,000 2,001
## Caterpillar
Financial Services
5.888%, 6/20/97 A 3,450 3,443
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
51
<PAGE> 54
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Conseco, Inc.
8.125%, 2/15/03 BB+ $ 2,430 $ 2,313
(+) Farmers Insurance
8.625%, 5/1/24 BBB- 2,200 2,073
Fireman's Fund
Mortgage Corp.
8.875%, 10/15/01 BBB+ 175 189
(+) First Hawaiian
Bank, Series A
6.93%, 12/1/03 A 1,825 1,788
First Union REIT
8.875%, 10/1/03 BB+ 1,050 961
(b) FNBC Series 93-A
8.08%, 1/5/18 A1 3,050 3,185
## Ford Motor Credit
Corp.
6.075%, 11/3/97 A+ 4,050 4,050
Home Holdings, Inc.
8.625%, 12/15/03 B- 2,740 2,206
## Marshall & Ilsley Bank
5.898%, 5/26/97 A+ 3,500 3,499
(+) Mass Mutual
7.625%, 11/15/23 AA- 2,250 2,188
(+) Metropolitan Life
Insurance
7.45%, 11/1/23 AA 2,250 2,077
# Mutual Life
Insurance Co. of New
York
0.00%, 8/15/24 BBB 2,500 1,959
(+) Nationwide Mutual
Life Insurance
7.50%, 2/15/24 AA- 4,525 4,192
(+) New York Life
Insurance
7.50%, 12/15/23 AA 3,650 3,497
(+) Principal Mutual
Life Insurance Co.
7.875%, 3/1/24 AA- 2,450 2,357
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 2,900 2,903
Reliance Group
Holdings
9.00%, 11/15/00 BB+ 1,175 1,175
(+) United Savings of Texas
9.05%, 5/15/98 BB+ 1,100 1,090
## Wells Fargo & Co.
5.813%, 8/16/96 A- 4,600 4,599
## World Savings &
Loan Association
5.875%, 3/15/96 A+ 2,300 2,300
- - ---------------------------------------------------------
GROUP TOTAL 54,045
- - ---------------------------------------------------------
FOREIGN GOVERNMENTS (12.9%)
Government of Canada
6.50%, 6/1/04 AA+ C$ 1,625 1,109
8.50%, 4/1/02 AA+ 14,700 11,471
Government of France
O.A.T.
8.50%, 11/25/02 AAA FF 38,000 8,256
8.50%, 10/25/19 AAA 25,370 5,396
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
8.50%, 4/25/23 AAA FF 23,365 $ 4,960
9.50%, 1/25/01 AAA 15,800 3,561
Kingdom of Denmark
9.00%, 11/15/00 AAA DK 29,250 5,660
Treuhandanstalt
7.125%, 1/29/03 AAA DM 5,800 4,211
7.75%, 10/1/02 AAA 4,735 3,561
United Kingdom
9.125%, 2/21/01 AAA ECU 1,625 2,265
- - ---------------------------------------------------------
GROUP TOTAL 50,450
- - ---------------------------------------------------------
/ / HEDGED MORTGAGES (2.5%)
Federal Home Loan
Mortgage Corporation
Series:
1415-S Inv Fl IO CMO
17.563%, 11/15/07 Agy $ 1,404 547
1476-S Inv Fl IO
REMIC PAC
4.106%, 2/15/08 Agy 13,895 1,221
1485-S Inv Fl IO
REMIC
3.663%, 3/15/08 Agy 14,626 1,094
1600-SA Inv Fl IO
REMIC
2.063%, 10/15/08 Agy 25,650 1,339
Federal National Mortgage
Association Series:
92-186 Inv Fl IO CMO
3.106%, 10/25/07 Agy 24,314 1,645
94-33S Inv Fl IO
2.225%, 3/25/09 Agy 40,221 2,118
G 94-2 S Inv Fl IO
REMIC
2.225%, 1/25/24 Agy 31,451 1,661
- - ---------------------------------------------------------
GROUP TOTAL 9,625
- - ---------------------------------------------------------
INDUSTRIALS (8.3%)
Alateif Freeport Finance
9.75%, 4/15/01 BBB- 1,755 1,925
## Blue Bell Funding
11.85%, 5/1/99 BB- 134 141
(b) Columbia/HCA Healthcare
7.69%, 6/15/25 A3 2,300 2,351
Comcast Corp.
9.375%, 5/15/05 B+ 2,500 2,544
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 1,475 1,528
DR Structured Finance Series
94K2
9.35%, 8/15/19 BBB 1,280 1,263
Federated Department Stores,
Inc.
10.00%, 2/15/01 BB- 2,600 2,818
Fleming Cos., Inc.
10.625%, 12/15/01 BB- 1,925 2,055
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
52
<PAGE> 55
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
News America
Holdings, Inc.
10.125%, 10/15/12 BBB $ 3,312 $ 3,858
Paramount Communications
8.25%, 8/1/22 BB+ 1,750 1,725
(b) Rhone-Poulenc Rorer, Inc.
8.62%, 1/5/21 A3 2,000 2,182
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 3,060 3,098
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 1,633 1,672
Southland Corp.
5.00%, 12/15/03 BB+ 3,955 3,070
Time Warner, Inc.
9.15%, 2/1/23 BBB- 2,215 2,407
- - ---------------------------------------------------------
GROUP TOTAL 32,637
- - ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (4.6%)
Beverly Finance
8.36%, 7/15/04 AA- 2,300 2,427
(+) Creekwood Capital
Corp. Series 95-1 A
8.47%, 3/16/15 AA 1,740 1,829
(b) (+) DeBartolo Capital
Corp. Series A 2
7.48%, 5/1/04 Aaa 2,600 2,699
First Federal Savings
& Loan Association
Series 92-C
8.75%, 6/1/06 AA 85 86
(+) Lakewood Mall
Finance Co. Series
95-C1 A
7.00%, 8/13/10 AA 1,900 1,890
Marine Midland Bank NA
Series 91-1 A7
8.50%, 4/25/22 AA 22 23
Mid-State Trust Series
95-4 A
8.33%, 4/1/30 AAA 2,211 2,348
Resolution Trust Corp.
Series 92-5C
8.628%, 1/25/26 AA 1,985 2,032
Ryland Acceptance
Corp. IV Series 79-A
6.65%, 7/1/11 AA 2,040 1,958
Security Pacific Home
Equity Trust Series
87-A1
8.00%, 1/1/02 AA 85 85
sec. Shearson American
Express Series A
9.625%, 12/1/12
(acquired 8/24/92-
5/25/93, cost
$412) AA 395 403
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 2,300 2,214
- - ---------------------------------------------------------
GROUP TOTAL 17,994
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (1.9%)
AT&T Corp.
8.35%, 1/15/25 AA $ 1,100 $ 1,197
Comcast Cellular Corp.
Series A,
Zero Coupon, 3/5/00 B+ 2,000 1,525
(+) Rogers Cable
Systems Series B
10.00%, 3/15/05 BB+ 1,975 2,074
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- 2,450 2,546
- - ---------------------------------------------------------
GROUP TOTAL 7,342
- - ---------------------------------------------------------
TRANSPORTATION (1.4%)
Delta Airlines Trust
Series 93-B2
10.06%, 1/2/16 BB+ 1,915 2,204
Jet Equipment Trust
Series:
(+) 95-C
10.69%, 5/1/15 BBB- 1,500 1,688
(+) B1
10.91%, 6/15/06 BB+ 599 679
(+) CL-C
9.71%, 2/15/15 BBB 800 839
- - ---------------------------------------------------------
GROUP TOTAL 5,410
- - ---------------------------------------------------------
U.S. TREASURY SECURITIES (6.4%)
(a) U.S. Treasury Bond
7.875%, 2/15/21 Tsy 19,975 22,906
U.S. Treasury Note
7.25%, 8/15/04 Tsy 2,000 2,138
- - ---------------------------------------------------------
GROUP TOTAL 25,044
- - ---------------------------------------------------------
UTILITIES (0.2%)
Long Island Lighting Co.
8.90%, 7/15/19 BB+ 975 978
- - ---------------------------------------------------------
YANKEE (2.5%)
CFE Petacalco
Topolobamp
8.125%, 12/15/03 BB 825 639
PDV America, Inc.
7.875%, 8/1/03 BB- 2,025 1,871
# Republic of
Argentina
5.00%, 3/31/23 BB- 8,510 4,127
United Mexican States
6.25%, 12/31/19 BB 5,050 3,030
- - ---------------------------------------------------------
GROUP TOTAL 9,667
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $399,745) 412,173
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
53
<PAGE> 56
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
++RATINGS
(STANDARD VALUE
(CONT'D) & POOR'S) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
CONVERTIBLE PREFERRED STOCK (0.5%)
- - ---------------------------------------------------------
Unisys Corp. Series A
$3.75 (Cost $2,146) B- 49,750 $ 1,859
- - ---------------------------------------------------------
RIGHTS (0.0%)
- - ---------------------------------------------------------
* Mexico Recovery
Rights, expiring
6/30/03 (Cost $0) 5,050,000 --
- - ---------------------------------------------------------
CASH EQUIVALENTS (16.1%)
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
U.S. TREASURY SECURITY (0.1%)
(a) U.S. Treasury Bill
Zero Coupon, 12/14/95 Tsy $ 500 495
- - ---------------------------------------------------------
COMMERCIAL PAPER (11.3%)
American General
Finance Corp.
5.71%, 11/2/95 4,000 3,980
Barclays U.S. Funding
5.74%, 10/30/95 4,000 3,982
Bell Atlantic Financial
5.72%, 10/11/95 4,000 3,994
Cargill, Inc.
5.72%, 10/6/95 4,000 3,997
E.I. du Pont de Nemours &
Co.
5.69%, 10/24/95 4,000 3,985
Hershey Foods Corp.
5.70%, 10/27/95 4,000 3,984
Household Finance Corp.
5.73%, 10/16/95 4,000 3,990
Prudential Funding Corp.
5.74%, 11/7/95 4,000 3,976
Raytheon Co.
5.72%, 10/4/95 4,000 3,998
Southwestern Bell
5.75%, 10/16/95 4,000 3,990
Weyerhaeuser Mortgage Co.
5.71%, 10/25/95 4,000 3,985
- - ---------------------------------------------------------
GROUP TOTAL 43,861
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- - ---------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (4.7%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased
at $18,417, collateralized
by $18,488 of various U.S.
Government and Agency
Obligations, due 10/3/95-
7/7/97, valued at $18,592 $18,407 $18,407
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $62,763) 62,763
- - ---------------------------------------------------------
TOTAL INVESTMENTS (122.2%) (Cost $464,654) 476,795
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-22.2%)
Dividends Receivable 47
Interest Receivable 6,597
Receivable for Fund Shares Sold 813
Receivable for Investments Sold 124
Other Assets 2
Payable for Fund Shares Redeemed (90)
Payable for Investments Purchased (77,989)
Payable for Administrative Fees (28)
Payable for Investment Advisory Fees (368)
Payable for Daily Variation on Futures
Contracts (164)
Unrealized Loss on Forward Foreign
Currency Contracts (285)
Written Interest Rate Floors at Value (14,963)
Other Liabilities (233)
-------
(86,537)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 31,154,715 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $390,258
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.53
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
54
<PAGE> 57
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
- - ---------------------------------------------------------
sec. Restricted Security-Total cost of restricted
securities at September 30, 1995 amounted to
$4,674. Total market value of restricted
securities owned at September 30, 1995 was
$4,692 or 1.2% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security.
(a) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(b) Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(c) Fitch rating. Security is not rated by Standard
& Poor's Corporation or Moody's Investor
Service, Inc.
/ / Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
# Step Bond-Coupon rate is zero or below market
for an initial period and then increases to a
higher coupon rate thereafter.
## Variable or floating rate security-rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for public
sale may exist.
CMO Collateralized Mortgage Obligation.
Inv Fl Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 1995.
IO Interest Only.
N/R Not rated by either Moody's Investor Service,
Inc. or Standard & Poor's Corporation.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
C$ Canadian Dollar.
DK Danish Krone.
DM German Mark.
ECU European Currency Unit.
FF French Franc.
</TABLE>
MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (99.7%)
<TABLE>
<CAPTION>
---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (96.3%)
Adelanto, CA School
District
Zero Coupon, 9/1/18 AAA $ 4,350 $ 1,024
Aldine, TX Independent
School District
Zero Coupon, 2/15/07 AAA 750 407
Allegheny County, PA
Sanitation Authority
Series B
Zero Coupon, 6/1/10 AAA 1,500 645
Austin, TX Utility
Systems Revenue Bond
Zero Coupon,
11/15/09 AAA 850 380
Benicia, CA School
District
Zero Coupon, 8/1/11 AAA 3,480 1,329
California State
Zero Coupon, 3/1/04 A 375 242
Center Township, PA
Sewer Authority Series
A
Zero Coupon, 4/15/19 AAA 855 206
Central Valley, CA
Finance Authority
5.70%, 7/1/03 BBB- 125 126
Chicago, IL
Metropolitan Water
5.25%, 12/1/04 AA 750 768
Colorado Health Facilities
Zero Coupon, 7/15/20 AAA 1,000 184
Delaware County, PA
Capital Appreciation
Zero Coupon,
11/15/10 AA 750 314
Elizabeth Forward, PA
School District
Zero Coupon
9/1/08 AAA 425 209
9/1/11 AAA 850 338
Fort Bend, TX Independent
School District
Zero Coupon, 2/15/07 AAA 1,250 672
Fort Worth, TX
Independent School
District
Zero Coupon, 2/15/08 AAA 940 471
Grand Prairie, TX
Independent School
District
Zero Coupon, 8/15/07 AAA 750 392
Grapevine Colleyville,
TX School District
Zero Coupon, 8/15/16 AAA 1,250 351
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
55
<PAGE> 58
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
Hamilton Southeastern,
IN
Zero Coupon, 1/1/15 AAA $ 1,000 $ 311
Harris County, TX Toll
Road Series A
Zero Coupon, 8/15/07 AA+ 475 248
Houston, TX Independent
School District
Zero Coupon, 8/15/12 AAA 550 202
Houston, TX Water and
Sewer System
Zero Coupon, 12/1/09 AAA 2,250 1,003
Huron, MI School District
Zero Coupon
5/1/16 AAA 1,120 320
5/1/17 AAA 755 203
Hurst Euless Bedford,
TX Independent School
District
Zero Coupon
8/15/17 AAA 965 255
8/15/18 AAA 1,100 272
Illinois Development
Finance Authority
Revenue
Zero Coupon, 12/1/09 AAA 2,000 902
Indiana Transportation
Finance Authority
Highway Revenue Bond
Zero Coupon, 12/1/16 AAA 1,695 468
Indianapolis Airport
Authority Revenue Bond
7.10%, 1/15/17 BBB 375 396
Intermountain Power
Agency, UT
Zero Coupon, 7/1/17 AA- 1,750 445
(-) 6.50%, 7/1/09 AAA 875 932
Jacksonville, FL Electric
Authority Revenue
Zero Coupon, 10/1/11 AA 325 129
Kane & De Kalb Counties,
IL Unit School District
Zero Coupon, 12/1/09 AAA 525 234
Kansas Utility
Zero Coupon, 3/1/06 AAA 225 130
Katy, TX Independent
School District
Zero Coupon, 8/15/08 AAA 1,155 563
(b) Keller, TX
Independent School
District
Zero Coupon, 8/15/12 Aaa 800 294
Kentucky State Turnpike
Authority
Zero Coupon, 1/1/10 AAA 450 198
La Joya, TX Independent
School District
Zero Coupon, 8/1/12 AAA 645 238
Lakeland, FL Electric &
Water Revenue Bond
Zero Coupon, 10/1/10 AAA 1,100 472
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Maricopa County, AZ
Unified School
District-Chandler
Zero Coupon, 7/1/07 AAA $ 250 $ 133
Maryland Transportation
Authority
Zero Coupon, 7/1/08 AAA 250 127
Mercer County, NJ
Revenue Bond
Zero Coupon, 4/1/06 AA 350 205
Michigan State Trunk Line
Zero Coupon
10/1/05 AAA 750 445
10/1/12 AAA 1,500 548
Midland, TX Independent School
District
Zero Coupon, 8/15/06 AAA 750 420
Millcreek Township, PA
Zero Coupon, 8/15/05 AAA 325 196
Mississippi Housing
Finance Corp.
Zero Coupon, 9/15/16 AA- 5,250 1,428
Mobile, AL Industrial
Development Board
Solid Waste Disposal
Revenue Bonds
6.95%, 1/1/20 BBB- 180 185
Montour, PA School
District
Zero Coupon, 1/1/11 AAA 1,750 723
Nebraska Public Power
District Revenue Bond
5.40%, 1/1/03 A+ 200 207
New Jersey Economic
Development Authority
Zero Coupon, 3/15/09 A+ 275 128
New Jersey State
Zero Coupon, 2/15/06 AA+ 500 297
New York State Dormitory
Authority
5.10%, 5/15/01 BBB+ 250 250
Noblesville, IN High
School Building Corp.
Zero Coupon
2/15/17 AAA 900 245
2/15/19 AAA 1,850 443
Norris, CA School District
Zero Coupon
5/1/15 AAA 785 236
5/1/16 AAA 400 113
North Carolina Eastern
Municipal Power
6.125%, 1/1/09 BBB+ 350 356
North Slope Borough, AK
General Obligation
Series B
Zero Coupon, 6/30/04 AAA 575 363
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
56
<PAGE> 59
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Northern Illinois
University Revenue
Bond
Zero Coupon, 4/1/15 AAA $ 675 $ 204
Okemos, MI Public School
District
Zero Coupon, 5/1/15 AAA 900 274
Oley Valley, PA School
District
Zero Coupon, 5/15/09 AAA 760 353
Orange County, CA
Revenue Bond Series A
6.00%, 6/1/10 AAA 600 603
(-) Penn Hills Township, PA
Zero Coupon, 6/1/12 N/R 1,025 341
# Pennsylvania State General
Obligation
0.00%, 4/15/03 AAA 775 792
Pennsylvania State
Higher Education-La
Salle
University
Zero Coupon, 5/1/14 AAA 1,525 512
Philadelphia, PA
Gas Works
5.80%, 7/1/01 BBB 350 360
Philadelphia, PA General
Obligation Series A
5.125%, 5/15/03 AAA 250 254
5.40%, 11/15/03 AAA 600 620
Philadelphia, PA Municipal
Authority
4.90%, 4/1/03 AAA 500 499
Prairie, TX Independent
School District
Zero Coupon, 8/15/10 AAA 1,300 546
Romulos School
District, MI
Zero Coupon, 5/1/18 AAA 3,375 850
Rosemont, IL
Zero Coupon, 12/1/10 AAA 1,000 409
Round Rock, TX School
District
5.10%, 2/15/03 AAA 300 306
(b) Saline County, KS
Zero Coupon, 12/1/15 Aaa 750 215
San Antonio, TX
Electric & Gas Revenue
Bond
Zero Coupon, 2/1/05 AAA 200 123
Schuylkill County, PA
Redevelopment
Authority
7.125%, 6/1/13 AAA 750 836
Skokie, IL Park
District Series B
Zero Coupon, 12/1/12 AAA 1,750 626
Steel Valley, PA School
District
Zero Coupon
11/1/11 A 740 274
11/1/17 A 650 158
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Washington County, PA
Authority Lease
Zero Coupon, 6/1/12 AAA $ 1,600 $ 604
Washington State Public
Power Supply
Zero Coupon, 7/1/10 AAA 475 197
7.00%, 7/1/07 AA 375 417
Washington State,
Series B
5.50%, 5/1/10 AA 750 743
Westmoreland County, PA
Zero Coupon, 6/1/15 AAA 850 262
- - ---------------------------------------------------------
GROUP TOTAL 34,699
- - ---------------------------------------------------------
INDUSTRIALS (2.4%)
# Building Materials Corp.
0.00%, 7/1/04 BB 400 252
Comcast Corp.
9.375%, 5/15/05 B+ 225 229
G-I Holdings, Inc.
Zero Coupon, 10/1/98 B+ 300 218
(+) Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 175 170
- - ---------------------------------------------------------
GROUP TOTAL 869
- - ---------------------------------------------------------
TELEPHONES (0.7%)
Adelphia Communications
Corp. Series B
9.875%, 3/1/05 B 150 140
(+) Rogers Cable Systems
10.00%, 3/15/05 BB+ 125 131
- - ---------------------------------------------------------
GROUP TOTAL 271
- - ---------------------------------------------------------
TRANSPORTATION (0.3%)
(+) Jet Equipment Trust
Series 95-C
10.69%, 5/1/15 BBB- 100 113
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $34,474) 35,952
- - ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.6%)
- - ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
Unisys Corp.
Series A $3.75
(Cost $244) B- 5,950 222
- - ---------------------------------------------------------
CASH EQUIVALENTS (4.0%)
- - ---------------------------------------------------------
MONEY MARKET INSTRUMENTS (2.8%)
Dreyfus Basic Municipal Money
Market Fund 502,350 502
Vanguard Municipal Fund Money
Market Portfolio 501,960 502
- - ---------------------------------------------------------
GROUP TOTAL 1,004
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
57
<PAGE> 60
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY SECURITIES (0.7%)
(a) U.S. Treasury Bill
Zero Coupon, 2/1/96 Tsy $ 250 $ 245
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (0.5%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased at
$183, collateralized by $184
of various U.S. Government
and Agency Obligations, due
10/3/95-7/7/97, valued at
$185 183 183
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,432) 1,432
- - ---------------------------------------------------------
TOTAL INVESTMENTS (104.3%) (Cost $36,150) 37,606
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-4.3%)
Dividends Receivable 6
Interest Receivable 146
Dividends Payable (61)
Payable for Investments Purchased (1,244)
Payable for Administrative Fees (6)
Payable for Investment Advisory Fees (17)
Payable for Daily Variation on Futures
Contracts (44)
Unrealized Loss on Swap Agreements (259)
Payable to Custodian Bank (9)
Other Liabilities (78)
-------
(1,566)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 3,353,887 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $36,040
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.75
- - ---------------------------------------------------------
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(a) A portion of these securities was pledged to cover
margin requirements for futures contracts.
(b) Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate is zero or below market for
an initial period and then increases to a higher
coupon rate thereafter.
(-) Security is subject to delayed delivery. See Note
A8 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
N/R Not rated by either Moody's Investor Service, Inc.
or Standard & Poor's Corporation.
</TABLE>
PA MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (97.1%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (93.4%)
Aliquippa School District, PA
Zero Coupon, 6/1/12 A $ 685 $ 259
Allegheny County, PA
Zero Coupon, 5/1/03 AAA 325 223
Allegheny County, PA
Sanitation Authority
Zero Coupon, 12/1/16 AAA 750 211
Allegheny County, PA
Sanitation Authority
Series B
Zero Coupon, 6/1/09 AAA 1,210 561
Berks County, PA
Zero Coupon
11/15/18 AAA 1,250 319
5/15/19 AAA 1,250 300
11/15/20 AAA 1,000 225
Bucks County, PA
Water & Sewer
Authority Revenue
Bond
Zero Coupon, 12/1/05 AAA 375 222
(b) 5.50%, 2/1/08 Aaa 285 287
Canon McMillan School
District, PA
Zero Coupon, 3/1/10 AAA 825 360
Center Township, PA
Sewer Authority
Zero Coupon
4/15/17 AAA 615 168
4/15/18 AAA 715 183
Central Valley, CA
Finance Authority
5.70%, 7/1/03 BBB- 100 100
Chartiers Valley, PA
Zero Coupon, 2/1/06 AAA 425 247
Clinton County, PA
Industrial Development
Authority
6.25%, 11/15/06 BBB 150 154
Delaware County, PA
Capital Appreciation
Zero Coupon,
11/15/09 AA 500 226
Elizabeth Forward, PA
School District
Zero Coupon
9/1/06 AAA 400 225
9/1/11 AAA 400 159
Girard Area, PA School
District
Zero Coupon
10/1/18 AAA 700 175
10/1/19 AAA 250 59
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
58
<PAGE> 61
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Huron, MI School District
Zero Coupon, 5/1/18 AAA $ 1,500 $ 378
(-) Intermountain
Power Agency, Utah
6.50%, 7/1/09 AAA 300 320
Kane & De Kalb
Counties, IL
Unit School District
Zero Coupon, 12/1/09 AAA 200 89
Lancaster, PA
Parking Authority
Zero Coupon,
12/15/11 AAA 590 231
Laurel Highlands, PA
Zero Coupon, 9/1/09 AAA 500 229
Lycoming County, PA
Zero Coupon, 11/1/11 AAA 1,000 394
Mars, PA Area School
District
Zero Coupon, 9/1/22 AAA 1,200 234
Millcreek Township, PA
Zero Coupon, 8/15/05 AAA 375 226
Mobile, AL Industrial
Development Board
Solid Waste Disposal
Revenue Bonds
6.95%, 1/1/20 BBB- 80 82
Montour, PA School
District Zero Coupon
1/1/13 AAA 300 109
1/1/18 AAA 1,145 299
North Slope Borough, AK
General Obligation
Series B
Zero Coupon, 6/30/04 AAA 285 180
Northwestern PA
School District
Zero Coupon, 1/15/09 AAA 450 213
Oley Valley, PA
School District
Zero Coupon, 5/15/09 AAA 760 353
(-)Penn Hills
Township, PA
Zero Coupon, 6/1/12 N/R 450 150
Pennsylvania Convention
Center Authority
6.25%, 9/1/04 BBB- 250 259
6.70%, 9/1/16 AAA 500 556
Pennsylvania State
General Obligation
# 0.00%, 4/15/03 AAA 300 307
Zero Coupon, 7/1/05 AAA 375 229
Philadelphia, PA Gas
Works
5.80%, 7/1/01 BBB 200 206
Philadelphia, PA General
Obligation
5.125%, 5/15/03 AAA 100 101
(b) Philadelphia, PA Hospitals
10.875%, 7/1/08 Aaa 150 203
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Philadelphia, PA
School District
5.20%, 7/1/03 AAA $ 200 $ 205
Pittsburgh, PA General
Obligation
Zero Coupon, 9/1/04 AAA 350 223
6.50%, 4/1/11 AAA 300 313
Pittsburgh, PA Water &
Sewer
Zero Coupon, 9/1/05 AAA 375 227
Robinson Township, PA
6.90%, 5/15/18 AAA 120 142
Scranton, PA Health &
Welfare Authority
6.625%, 7/1/09 AAA 130 140
Southeastern Area
Schools, PA
Zero Coupon
10/1/06 A 590 315
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 430 159
Stroud Township, PA
Sewer Authority
Zero Coupon, 11/15/05 AAA 375 223
Upper Darby Township,
PA
Zero Coupon, 7/15/11 AAA 525 210
Washington County, PA
Authority Lease
7.875%, 12/15/18 AAA 300 375
Zero Coupon, 6/1/12 AAA 400 151
Washington County, West
PA Power Co.
4.95%, 3/1/03 A 150 150
Westmoreland County, PA
Zero Coupon
8/1/14 AAA 1,475 482
8/15/18 AAA 3,440 865
Yough, PA School District
Zero Coupon, 10/1/13 AAA 1,445 500
- - ---------------------------------------------------------
GROUP TOTAL 14,691
- - ---------------------------------------------------------
INDUSTRIALS (2.1%)
# Building Materials Corp.
0.00%, 7/1/04 BB 150 94
Comcast Corp.
9.375%, 5/15/05 B+ 75 76
G-I Holdings, Inc.
Zero Coupon, 10/1/98 B+ 125 91
(+) Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 75 73
- - ---------------------------------------------------------
GROUP TOTAL 334
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
59
<PAGE> 62
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PA MUNICIPAL
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C> <C>
TELEPHONES (0.9%)
Adelphia
Communications Corp.
Series B
9.875%, 3/1/05 B $ 100 $ 93
(+) Rogers Cable Systems
10.00%, 3/15/05 BB+ 50 52
- - ---------------------------------------------------------
GROUP TOTAL 145
- - ---------------------------------------------------------
TRANSPORTATION (0.7%)
(+) Jet Equipment
Trust
Series 95-C
10.69%, 5/1/15 BBB- 100 113
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$13,967) 15,283
- - ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.9%)
- - ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
Unisys Corp.
Series A $3.75
(Cost $147) B- 3,700 138
- - ---------------------------------------------------------
CASH EQUIVALENTS (5.7%)
- - ---------------------------------------------------------
MONEY MARKET INSTRUMENTS (4.2%)
Dreyfus PA Municipal
Money Market Fund 331,358 331
Vanguard PA Money
Market Fund 331,676 332
- - ---------------------------------------------------------
GROUP TOTAL 663
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------
<S> <C> <C> <C>
U.S. TREASURY SECURITY (0.8%)
U.S. Treasury Bill
Zero Coupon, 8/22/96 Tsy $ 125 119
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (0.7%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased
at $119, collateralized by
$119 of various U.S.
Government and Agency
Obligations, due
10/3/95-7/7/97, valued at
$120
(Cost $119) 119 119
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $901) 901
- - ---------------------------------------------------------
TOTAL INVESTMENTS (103.7%) (Cost $15,015) 16,322
- - ---------------------------------------------------------
<CAPTION>
VALUE
(000)+
- - ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-3.7%)
Cash $ 1
Dividends Receivable 3
Interest Receivable 59
Payable for Investments Purchased (459)
Payable for Administrative Fees (3)
Payable for Investment Advisory Fees (3)
Unrealized Loss on Swap Agreements (131)
Other Liabilities (55)
-------
(588)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 1,441,849 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $15,734
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.91
- - ---------------------------------------------------------
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(b) Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate is zero or below market for
an initial period and then increases to a higher
coupon rate thereafter.
(-) Security is subject to delayed delivery. See Note
A8 to Financial statements.
(+) 144A security. Certain conditions for public sale
may exist.
N/R Not rated by either Moody's Investor Service,
Inc. or Standard & Poor's Corporation.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
60
<PAGE> 63
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
GLOBAL FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (80.9%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (2.1%)
Commonwealth of
Australia
12.00%, 11/15/01 AAA A$ 1,330 $ 1,182
- - ---------------------------------------------------------
BRITISH POUND (5.1%)
United Kingdom
Treasury Bills
8.00%, 12/7/00 AAA L 1,065 1,710
9.75%, 8/27/02 AAA 635 1,096
- - ---------------------------------------------------------
GROUP TOTAL 2,806
- - ---------------------------------------------------------
CANADIAN DOLLAR (6.3%)
(+) Global Econ2 EI
Zero Coupon,
11/1/98 AAA (1) 600 158
(+) Global Econ2 PIP
Zero Coupon,
11/1/98 AAA (1) 600 52
Government of Canada
6.50%, 8/1/96 AA+ C$ 1,470 1,091
8.50%, 4/1/02 AA+ 1,050 819
9.75%, 6/1/21 AA+ 1,575 1,368
- - ---------------------------------------------------------
GROUP TOTAL 3,488
- - ---------------------------------------------------------
DANISH KRONE (3.9%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DK 5,550 1,011
9.00%, 11/15/00 AAA 5,875 1,137
- - ---------------------------------------------------------
GROUP TOTAL 2,148
- - ---------------------------------------------------------
FRENCH FRANC (6.0%)
Government of France
O.A.T.
8.50%, 3/28/00 AAA FF 8,600 1,860
8.50%, 10/25/19 AAA 6,700 1,425
- - ---------------------------------------------------------
GROUP TOTAL 3,285
- - ---------------------------------------------------------
GERMAN MARK (14.4%)
Government of
Germany
6.75%, 6/21/99 AAA DM 2,000 1,465
8.375%, 5/21/01 AAA 4,995 3,872
Treuhandanstalt
7.125%, 1/29/03 AAA 3,600 2,614
- - ---------------------------------------------------------
GROUP TOTAL 7,951
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
IRISH PUNT (1.9%)
Irish Gilts
8.00%, 10/18/00 AAA IP 655 $ 1,065
- - ---------------------------------------------------------
ITALIAN LIRA (5.4%)
Republic of Italy BTPS
9.50%, 12/1/99 AA IL 3,535,000 2,065
10.00%, 8/1/03 AA 1,550,000 884
- - ---------------------------------------------------------
GROUP TOTAL 2,949
- - ---------------------------------------------------------
JAPANESE YEN (10.0%)
Asian Development
Bank
5.00%, 2/5/03 AAA Y 116,000 1,349
Credit Locale de
France
6.00%, 10/31/01 AAA 87,000 1,053
Export-Import Bank
of Japan
4.38%, 10/1/03 AAA 97,000 1,092
(a) International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA 164,000 2,044
- - ---------------------------------------------------------
GROUP TOTAL 5,538
- - ---------------------------------------------------------
NETHERLANDS GUILDER (3.6%)
Netherlands Government
8.50%, 3/15/01 AAA NG 2,850 1,985
- - ---------------------------------------------------------
SWEDISH KRONA (1.5%)
Government of Sweden
13.00%, 6/15/01 AAA SK 4,875 818
- - ---------------------------------------------------------
U.S. DOLLAR (20.7%)
CORPORATES (1.4%)
## Caterpillar Financial
Services
6.125%, 1/30/96 A- $ 450 450
## Ford Motor Credit
Corp.
6.141%, 6/17/96 A 320 321
- - ---------------------------------------------------------
GROUP TOTAL 771
- - ---------------------------------------------------------
U.S. TREASURY SECURITIES (19.3%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 2,900 3,626
U.S. Treasury Notes
6.25%, 2/15/03 Tsy 2,300 2,313
6.75%, 5/31/99 Tsy 1,750 1,793
7.50%, 5/15/02 Tsy 1,650 1,775
8.50%, 11/15/00 Tsy 1,000 1,107
- - ---------------------------------------------------------
GROUP TOTAL 10,614
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $42,304) 44,600
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
61
<PAGE> 64
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL FIXED
INCOME PORTFOLIO
FACE
AMOUNT VALUE
(CONT'D) (000) (000)+
- - ---------------------------------------------------------
CASH EQUIVALENTS (16.1%)
- - ---------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER (5.0%)
Cargill, Inc.
5.75% 10/20/95 $ 550 $ 548
Pitney-Bowes, Inc.
5.74%, 10/18/95 550 549
R.R. Donnelley & Sons Co.
5.80%, 10/6/95 550 549
Siemens Corp.
5.70%, 10/4/95 550 550
Warner-Lambert Co.
5.75%, 10/6/95 550 549
- - ---------------------------------------------------------
GROUP TOTAL 2,745
- - ---------------------------------------------------------
REPURCHASE AGREEMENTS (11.1%)
Chase Manhattan Bank, N.A. 6.20%
dated 9/29/95, due
10/2/95, to be
repurchased at $2,054,
collateralized by $2,064
of various U.S.
Government and Agency
Obligations, due
10/3/95-7/7/97, valued at
$2,076 2,053 2,053
Goldman Sachs Co. 6.00%,
dated 9/29/95, due
10/2/95, to be
repurchased at $2,053,
collateralized by $1,626
of U.S. Treasury Bonds
9.25%, due 2/15/16,
valued at $2,109 2,052 2,052
Lehman Brothers 6.10%,
dated 9/29/95, due
10/2/95, to be
repurchased at $2,053,
collateralized by $2,022
of U.S. Treasury Notes
4.75%-7.875%, due
8/31/98-11/15/99, valued
at $2,103 2,052 2,052
- - ---------------------------------------------------------
GROUP TOTAL 6,157
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $8,902) 8,902
- - ---------------------------------------------------------
TOTAL INVESTMENTS (97.0%) (Cost $51,206) 53,502
- - ---------------------------------------------------------
<CAPTION>
VALUE
(000)+
- - ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (3.0%)
Cash $ 2
Interest Receivable 1,363
Receivable for Withholding Tax Reclaim 5
Receivable for Fund Shares Sold 5
Receivable for Daily Variation on
Futures Contracts 261
Unrealized Gain on Forward Foreign
Currency Contracts 149
Payable for Administrative Fees (4)
Payable for Investment Advisory Fees (52)
Unrealized Loss on Swap Contracts (48)
Other Liabilities (36)
-------
1,645
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 4,989,676 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $55,147
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.05
- - ---------------------------------------------------------
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(a) A portion of these securities was pledged to
cover margin requirements for futures contracts.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for public sale
may exist.
(1) Amount represents shares held by the Portfolio.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
62
<PAGE> 65
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (74.1%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (1.7%)
Commonwealth of
Australia
12.00%, 11/15/01 AAA A$ 2,445 $ 2,172
- - ---------------------------------------------------------
CANADIAN DOLLAR (5.0%)
(+) Global Econ2 EI
Zero Coupon,
11/1/98 AAA (1) 600 157
(+) Global Econ2 PIP
Zero Coupon,
11/1/98 AAA (1) 600 52
Government of Canada
6.50%, 8/1/96 AA+ C$ 3,855 2,861
9.75%, 6/1/21 AA+ 3,825 3,323
- - ---------------------------------------------------------
GROUP TOTAL 6,393
- - ---------------------------------------------------------
BRITISH POUND (9.0%)
United Kingdom
Treasury Bills
8.00%, 12/7/00 AAA L 5,105 8,198
8.00%, 6/10/03 AAA 475 750
9.75%, 8/27/02 AAA 1,500 2,590
- - ---------------------------------------------------------
GROUP TOTAL 11,538
- - ---------------------------------------------------------
DANISH KRONE (4.2%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DK 16,750 3,053
9.00%, 11/15/00 AAA 11,725 2,269
- - ---------------------------------------------------------
GROUP TOTAL 5,322
- - ---------------------------------------------------------
FRENCH FRANC (4.8%)
(a) Government of France
O.A.T.
8.50%, 10/25/19 AAA FF 28,970 6,162
- - ---------------------------------------------------------
GERMAN MARK (17.1%)
Government of
Germany
6.75%, 6/21/99 AAA DM 9,065 6,642
8.375%, 5/21/01 AAA 10,815 8,383
European Economic
Community
6.50%, 3/10/00 AAA 2,250 1,626
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 3,925 2,797
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Treuhandanstalt
7.125%, 1/29/03 AAA DM 3,330 $ 2,418
- - ---------------------------------------------------------
GROUP TOTAL 21,866
- - ---------------------------------------------------------
IRISH PUNT (1.9%)
Irish Gilts
8.00%, 10/18/00 AAA IP 1,515 2,463
- - ---------------------------------------------------------
ITALIAN LIRA (7.2%)
Republic of Italy BTPS
8.50%, 8/1/99 AA IL 2,450,000 1,391
9.00%, 10/1/03 AA 2,865,000 1,540
9.50%, 12/1/99 AA 7,555,000 4,413
10.00%, 8/1/03 AA 3,180,000 1,814
- - ---------------------------------------------------------
GROUP TOTAL 9,158
- - ---------------------------------------------------------
JAPANESE YEN (15.3%)
Asian Development
Bank
5.00%, 2/5/03 AAA Y 330,000 3,839
(a) Credit Locale de
France
6.00%, 10/31/01 AAA 301,000 3,644
Export-Import Bank
of Japan
4.375%, 10/1/03 AAA 231,000 2,600
Inter-American
Development Bank
6.00%, 10/30/01 AAA 315,000 3,817
(a) International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA 458,000 5,707
- - ---------------------------------------------------------
GROUP TOTAL 19,607
- - ---------------------------------------------------------
NETHERLANDS GUILDER (4.3%)
Netherlands Government
8.50%, 3/15/01 AAA NG 4,600 3,204
8.75%, 9/15/01 AAA 3,250 2,299
- - ---------------------------------------------------------
GROUP TOTAL 5,503
- - ---------------------------------------------------------
SWEDISH KRONA (2.1%)
Government of Sweden
13.00%, 6/15/01 AAA SK 16,025 2,689
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
63
<PAGE> 66
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL FIXED
INCOME PORTFOLIO
++RATINGS FACE
(STANDARD) AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
U.S. DOLLAR (1.5%)
CORPORATES (1.5%)
## Bank of Hawaii,
Honolulu
5.988%, 11/25/96 A $500 $ 500
## Caterpillar Finance
Services
6.125%, 1/30/96 A- 700 700
## Ford Motor Credit
Corp.
6.141%, 6/17/96 A+ 680 681
- - ---------------------------------------------------------
GROUP TOTAL 1,881
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $90,077) 94,754
- - ---------------------------------------------------------
CASH EQUIVALENTS (23.5%)
- - ---------------------------------------------------------
COMMERCIAL PAPER (8.8%)
Cargill, Inc.
5.75%, 10/20/95 1,250 1,246
Philip Morris Cos., Inc.
5.73%, 10/11/95 1,250 1,249
Pitney Bowes, Inc.
5.74%, 10/18/95 1,250 1,247
Prudential Funding Corp.
5.78%, 10/6/95 1,250 1,249
R.R. Donnelley & Sons Co.
5.80%, 10/6/95 1,250 1,249
Sara Lee Corp.
5.75%, 10/6/95 1,250 1,249
Siemens Corp.
5.78%, 10/4/95 1,250 1,249
Warner-Lambert Co.
5.75%, 10/6/95 1,250 1,249
Xerox Corp.
5.72%, 10/19/95 1,250 1,246
- - ---------------------------------------------------------
GROUP TOTAL 11,233
- - ---------------------------------------------------------
REPURCHASE AGREEMENTS (14.7%)
Chase Manhattan Bank, N.A. 6.20%,
dated 9/29/95, due
10/2/95, to be
repurchased at $7,189,
collateralized by
$7,217 of various U.S.
Government and Agency
Obligations, due
10/3/95-7/7/97, valued
at $7,258 7,185 7,185
Goldman Sachs Co. 6.00%,
dated 9/29/95, due
10/2/95, to be
repurchased at $5,803,
collateralized by
$4,597 of U.S.
Treasury Bonds 9.25%,
due 2/15/16, valued at
$5,961 5,800 5,800
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Lehman Brothers 6.10%,
dated 9/29/95, due
10/2/95, to be
repurchased at $5,803,
collateralized by
$5,716 of U.S.
Treasury Notes
4.75%-7.875%, due
8/31/98-11/15/99,
valued at $5,945 $5,800 $ 5,800
- - ---------------------------------------------------------
GROUP TOTAL 18,785
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $30,018) 30,018
- - ---------------------------------------------------------
TOTAL INVESTMENTS (97.6%) (Cost $120,095) 124,772
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (2.4%)
Cash 1,387
Interest Receivable 3,147
Receivable for Withholding Tax Reclaim 13
Receivable for Fund Shares Sold 40
Receivable for Daily Variation on
Futures Contracts 991
Payable for Fund Shares Redeemed (1)
Payable for Investments Purchased (1,392)
Payable for Administrative Fees (10)
Payable for Investment Advisory Fees (123)
Unrealized Loss on Swap Contracts (114)
Unrealized Loss on Forward Foreign
Currency Contracts (777)
Other Liabilities (51)
--------
3,110
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 11,610,604 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $127,882
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.01
- - ---------------------------------------------------------
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(a) A portion of these securities was pledged to
cover margin requirements for futures contracts.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(+) 144A securities. Certain conditions for public
sale may exist.
(1) Amount represents shares held by Portfolio.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
64
<PAGE> 67
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
INTERMEDIATE
DURATION PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (90.5%)
<TABLE>
<CAPTION>
- - --------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - --------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (10.9%)
## Government National
Mortgage Association II:
Various Pools:
5.50%, 9/20/24 Agy $ 257 $ 259
6.00%,
8/20/95-9/20/24 Agy 958 965
6.50%,
1/20/22-11/20/24 Agy 859 875
- - --------------------------------------------------------
GROUP TOTAL 2,099
- - --------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (19.6%)
Federal Home Loan
Mortgage Corporation:
Gold Pools:
November TBA:
7.00%, 11/15/24 Agy 500 493
7.50%,
8/15/24-11/15/25 Agy 1,351 1,357
Conventional
Pools:
11.00%, 7/1/13 Agy 158 175
11.50%, 3/1/13 Agy 258 289
Federal National
Mortgage Association:
Conventional
Pools:
10.00%, 5/1/22 Agy 155 169
10.50%, 12/1/10 Agy 207 227
Government National
Mortgage Association:
November TBA
7.50%, 8/15/24 Agy 1,050 1,059
- - --------------------------------------------------------
GROUP TOTAL 3,769
- - --------------------------------------------------------
ASSET BACKED CORPORATES (9.4%)
ALPS Series 94-1 A4
CMO
7.80%, 7/15/99 AA 125 129
Case Equipment Loan
Trust Series:
95-A A
7.30%, 3/15/02 AAA 91 92
95-A B
7.65%, 3/15/02 A 100 102
(+) Cityscape Home
Equity Loan Series
95-2 A1
7.29%, 2/25/09 AAA 150 150
## Discover Credit Master
Trust I Series
93-1 A
6.145%, 10/16/01 AAA 200 200
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - --------------------------------------------------------
<S> <C> <C> <C>
General Motors
Acceptance Corp.
Series:
92-E A
4.75%, 8/15/97 AAA $ 115 $ 115
93-A A Grantor
Trust
4.15%, 3/15/98 AAA 46 46
Green Tree Financial Series
94-5 A1
6.60%, 11/15/19 AA 87 87
IBM Credit Receivables
Lease Asset Master Trust
Series 93-1 A
4.55%, 11/15/00 AAA 111 109
Olympic Automobile
Receivables Trust Series
94-B B
6.95%, 6/15/01 AAA 175 176
Onyx Acceptance Trust
Series 94-1 A
6.90%, 1/17/00 AAA 165 166
Premier Auto Trust Series
92-2 A
6.375%, 9/15/97 AAA 64 64
92-3 B
6.25%, 11/15/97 A 86 86
Western Financial Auto
Grantor Trust Series:
93-2 A2
4.70%, 10/1/98 AAA 123 121
94-1 A1
5.10%, 6/1/99 AAA 174 172
- - --------------------------------------------------------
GROUP TOTAL 1,815
- - --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (10.4%)
(b) American Southwest
Financial Securities
Corp.
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 150 154
Asset Securitization
Corp.
Series 95-D1 A1
7.59%, 8/11/27 AAA 150 156
Citicorp Mortgage
Securities, Inc.
Series:
93-9 A1
7.00%, 3/25/20 AAA 164 164
(c) (+) 95 2 B2
7.50%, 4/25/25 A 175 169
Countrywide Mortgage
Backed Securities, Inc.
Series 93-C A11
6.50%, 1/25/24 AAA 172 160
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
65
<PAGE> 68
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
DURATION PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- - --------------------------------------------------------
<S> <C> <C> <C>
FBS Mortgage Corporation
Series 92-BB M
8.625%, 7/25/23 AAA $ 171 $ 175
J.P. Morgan Commercial
Mortgage Finance Corp.
Series 95-C1 A1
7.268%, 7/25/10 AAA 105 106
Mortgage Capital
Funding, Inc.
Series: 95-MC1 A1B
7.60%, 5/25/27 AAA 150 156
Old Stone Credit Corp.
Series 92-3 B1
6.35%, 9/25/07 AAA 127 124
Residential Funding
Mortgage Securities Co.,
Inc.
Series:
92-S2 M
8.00%, 1/25/22 AA 93 94
95-S11 A 16
7.50%, 9/25/25 AAA 125 125
Rural Housing Trust
Series:
87-1 D
6.33%, 4/1/26 AAA 195 190
87-1 M
3.33%, 4/1/26 A- 241 219
- - --------------------------------------------------------
GROUP TOTAL 1,992
- - --------------------------------------------------------
FEDERAL AGENCY (5.6%)
Federal National
Mortgage Association
8.70%, 6/10/99 Agy 1,000 1,081
- - --------------------------------------------------------
FINANCE (14.9%)
Allstate Corp.
5.875%, 6/15/98 A 125 123
Barclays American Corp.
7.875%, 8/15/98 AA 125 130
## Caterpillar Financial
Services
5.888%, 6/20/97 A 150 150
Commercial Credit Co.
6.50%, 6/1/05 A+ 100 97
Countrywide Funding
6.55%, 4/14/00 A 200 199
Dean Witter Discover
& Co.
6.875%, 3/1/03 A 100 100
(+) Farmers Insurance
8.625%, 5/1/24 BBB- 250 236
Fireman's Fund
Mortgage Corp.
8.875%, 10/15/01 BBB+ 150 162
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 250 245
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - --------------------------------------------------------
<S> <C> <C> <C>
(b) FNBC Series 93-A
8.08%, 1/5/18 A1 $ 150 $ 157
General Motors
Acceptance Corp.
6.75%, 6/10/02 BBB+ 175 175
Heller Financial, Inc.
6.45%, 2/15/97 A 81 81
8.85%, 4/15/96 A 125 127
## Household Finance
Corp.
Series 89-2 A
6.04%, 12/20/04 AAA 63 63
(+) Metropolitan Life
Insurance
7.45%, 11/1/23 AA 250 231
## NationsBank Texas
5.875%, 6/18/97 A+ 175 175
(+) Principal Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 250 241
## Wells Fargo & Co.
5.813%, 1/28/97 A- 175 175
- - --------------------------------------------------------
GROUP TOTAL 2,867
- - --------------------------------------------------------
FOREIGN GOVERNMENTS (12.5%)
Government of Canada
8.50%, 4/1/02 AA+ C$ 825 643
Government of France
O.A.T.
8.50%, 3/28/00 AAA FF 500 108
8.50%, 11/25/02 AAA 1,500 326
9.50%, 1/25/01 AAA 1,400 316
Kingdom of Denmark
9.00%, 11/15/00 AAA DK 1,595 309
Treuhandanstalt
7.125%, 1/29/03 AAA DM 565 410
7.75%, 10/1/02 AAA 255 192
United Kingdom
9.125%, 2/21/01 AAA ECU 75 105
- - --------------------------------------------------------
GROUP TOTAL 2,409
- - --------------------------------------------------------
INDUSTRIALS (3.9%)
Columbia/HCA Healthcare
7.69%, 6/15/25 BBB+ $ 105 107
Ford Motor Corp.
5.20%, 1/1/97 A+ 200 198
News America
Holdings, Inc.
10.125%, 10/15/12 BBB 100 116
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 125 127
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 91 93
Time Warner, Inc.
8.375%, 3/15/23 BBB- 105 108
- - --------------------------------------------------------
GROUP TOTAL 749
- - --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
66
<PAGE> 69
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - --------------------------------------------------------
<S> <C> <C> <C>
RATED NON-AGENCY FIXED RATE MORTGAGES (1.7%)
(+) Lakewood Mall Finance
Co.
Series 95-C1 A
7.00%, 8/13/10 AA $ 100 $ 100
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 93 99
## Resolution Trust Corp.
Series 92-5C
8.628%, 1/25/26 AA 132 135
- - --------------------------------------------------------
GROUP TOTAL 334
- - --------------------------------------------------------
U.S. TREASURY SECURITY (1.3%)
(a) U.S. Treasury Notes
6.25%, 2/15/03 Tsy 250 251
- - --------------------------------------------------------
YANKEE (0.3%)
Hydro-Quebec
9.40%, 2/1/21 A+ 40 48
- - --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $16,980) 17,414
- - --------------------------------------------------------
CASH EQUIVALENT (17.0%)
- - --------------------------------------------------------
REPURCHASE AGREEMENT (17.0%)
Chase Manhattan Bank, N.A. 6.20%,
dated 9/29/95, due
10/2/95, to be
repurchased at $3,266
collateralized by $3,278
of various U.S.
Government and Agency
Obligations, due
10/3/95-7/7/97, valued at
$3,296
(Cost $3,264) 3,264 3,264
- - --------------------------------------------------------
TOTAL INVESTMENTS (107.5%) (Cost
$20,244) 20,678
- - --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-7.5%)
Interest Receivable 276
Receivable for Investments Sold 1,242
Payable for Investments Purchased (2,907)
Payable for Administrative Fees (2)
Payable for Investment Advisory Fees (18)
Payable for Daily Variation on
Futures Contracts (12)
Unrealized Loss on Forward Foreign
Currency Contracts (1)
Other Liabilities (19)
-------
(1,441)
- - --------------------------------------------------------
<CAPTION>
VALUE
(000)+
- - --------------------------------------------------------
<S> <C>
NET ASSETS (100%)
- - --------------------------------------------------------
Applicable to 1,800,519 outstanding
shares of beneficial interest
(unlimited
authorization, no par value) $19,237
- - --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.68
- - --------------------------------------------------------
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(a) A portion of these securities was pledged to
cover margin requirements for futures contracts.
(b) Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(c) Fitch rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for public sale
may exist.
CMO Collateralized Mortgage Obligation.
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
C$ Canadian Dollar.
DK Danish Krona.
DM German Mark.
ECU European Currency Unit.
FF French Franc.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
67
<PAGE> 70
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (38.7%)
<TABLE>
<CAPTION>
- - ------------------------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - ------------------------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (3.8%)
## Government National
Mortgage Association II:
Various Pools:
6.00%,
2/20/24-9/20/24 Agy $ 6,538 $ 6,590
6.50%,
1/20/22-1/20/25 Agy 3,087 3,132
7.00%, 4/20/22 Agy 1,514 1,540
7.375%, 6/20/23 Agy 1,264 1,290
- - -------------------------------------------------------------------------
GROUP TOTAL 12,552
- - -------------------------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (9.1%)
Federal Home Loan
Mortgage Corporation
Gold Pools:
November TBA
7.50%,
8/15/24-11/15/25 Agy 6,925 6,964
Conventional
Pools:
11.00%,
5/1/20-9/1/20 Agy 1,570 1,740
12.00%, 3/1/15 Agy 624 705
Federal National
Mortgage
Association
Conventional
Pools:
10.50%,
12/1/16-4/1/22 Agy 2,468 2,705
October TBA
7.50%, 8/15/23 Agy 3,000 3,019
November TBA:
7.00%, 11/15/24 Agy 4,100 4,039
7.50%, 11/15/25 Agy 2,875 2,888
Government National
Mortgage Association
November TBA
7.50%, 8/15/24 Agy 8,200 8,267
- - -------------------------------------------------------------------------
GROUP TOTAL 30,327
- - -------------------------------------------------------------------------
ASSET BACKED CORPORATES (0.4%)
ALPS Series:
94-1 A4 CMO
7.80%, 7/15/99 AA 375 385
94-1 C CMO
9.35%, 3/15/00 BBB 622 643
#(+) Equitable Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 184 183
- - -------------------------------------------------------------------------
GROUP TOTAL 1,211
- - -------------------------------------------------------------------------
<CAPTION>
- - -------------------------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)+
- - -------------------------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED MORTGAGES (0.2%)
Security Pacific
Home Equity Trust
Series:
(b) 91-A A2
8.90%, 3/10/06 Aaa $ 597 $ 604
91-A B
10.50%, 3/10/06 A+ 202 211
- - --------------------------------------------------------------------------
GROUP TOTAL 815
- - --------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.7%)
(b) Collateralized Mortgage
Obligation Trust Series
86-14 A2 Inv Fl
12.00%, 4/1/09 Aaa 6 6
Federal Home Loan
Mortgage Corporation
Series
92-1398 I Inv Fl
10.612%, 10/15/07 Agy 745 769
Federal National
Mortgage Association
Series:
90-80 S Inv Fl
17.232%, 7/25/20 Agy 23 27
90-106 J PAC
8.50%, 9/25/20 Agy 745 771
92-33 S Inv Fl
12.90%, 3/25/22 Agy 330 355
Goldman Sachs Trust IV
Series:
89-D 2 Inv Fl
17.716%, 5/1/19 AAA 297 361
89-E-2 Inv Fl
12.573%, 10/27/19 AAA 65 78
- - --------------------------------------------------------------------------
GROUP TOTAL 2,367
- - --------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (6.0%)
American Housing Trust
Series V IG
9.125%, 4/25/21 AAA 305 316
American Southwest
Financial Securities
Corp. Series:
(c) 93-2 A1
7.30%, 1/18/09 AA 1,393 1,406
(b) 95-C1 A1B
7.40%, 11/17/04 Aaa 900 924
(c) sec. BBS 4 B2
8.528%, 5/28/22
(acquired
2/26/93, cost
$118) A 117 119
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
68
<PAGE> 71
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------------------
<S> <C> <C> <C>
Chemical Mortgage
Securities, Inc.
Series 93-1M
7.45%, 2/25/23 AA $ 455 $ 446
Citicorp Mortgage
Securities, Inc. Series:
90-11A 5
9.50%, 7/25/20 AAA 264 268
94-7A 5
6.25%, 4/25/24 AAA 825 711
CMC Securities Corp.
IV Series 94-G A4
7.00%, 9/25/24 AAA 675 626
(+) Equitable Life
Assurance Society
of the U.S.
6.633%, 7/23/03 AA 700 693
#sec. First Boston
Mortgage Corp.
Series 92-4 B1
8.125%, 10/25/22
acquired
1/25/93-2/26/93,
cost $255) A 260 254
(+) FSA Finance,
Inc. Series 95-1A
7.42%, 6/1/07 AA 646 662
GE Capital Mortgage
Services, Inc. Series:
(+) 94-6 M
6.50%, 4/25/24 AA 1,456 1,341
94-24 A4
7.00%, 7/25/24 AAA 858 797
(c) Nomura Asset
Securities Corp.
Series 94-MD1 A3
8.026%, 3/15/18 A 525 554
Prudential Home
Mortgage Securities
Co., Inc. Series:
90-5 A3
9.50%, 5/25/05 AAA 236 236
90-8 A5 PAC-1 (11)
9.50%, 9/25/20 AAA 490 490
(+) 92-A 2B4
7.90%, 4/28/22 AA 370 311
(+) 93-B B 2
7.837%, 4/28/23 A 1,773 1,728
(c) (+) 94-A 3B3
6.803%, 4/28/24 A 1,129 1,025
Residential Funding
Mortgage Securities
Co., Inc. Series:
93-MZ1 A2
7.47%, 3/2/23 AA 1,700 1,666
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------------------
<S> <C> <C> <C>
sec. 93-MZ2 A2
7.47%, 5/30/23
(acquired
5/12/93, cost
$651) AA $ 650 $ 643
Rural Housing Trust
Series:
87-1 D
6.33%, 4/1/26 AAA 1,009 983
87-1 M
3.33%, 4/1/26 A- 1,202 1,096
87-2 C
6.83%, 4/1/26 AAA 566 561
Ryland Mortgage
Securities Corp
Series:
92-A 1A
8.302%, 3/29/30 A- 548 549
93-A1 A
7.45%, 1/28/23 AAA 1,010 976
94-7B 4A2
7.50%, 8/25/25 AAA 850 819
- - ---------------------------------------------------------------------
GROUP TOTAL 20,200
- - ---------------------------------------------------------------------
ENERGY (0.5%)
Clark R&M Holdings
Zero Coupon,
2/15/00 B+ 700 448
Maxus Energy Corp.
10.83%, 9/1/04 BB- 750 785
Mobile Energy Services
8.665%, 1/1/17 BBB- 400 419
- - ---------------------------------------------------------------------
GROUP TOTAL 1,652
- - ---------------------------------------------------------------------
FINANCE (3.6%)
## Bank of Hawaii
Honolulu
5.988%, 11/25/96 A 750 750
Conseco, Inc.
8.125%, 2/15/03 BB+ 870 828
(+) Farmers
Insurance Exchange
8.625%, 5/1/24 BBB- 725 683
Fireman's Fund
Mortgage Corp.
8.875%, 10/15/01 BBB+ 500 541
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 600 588
First Union REIT
8.875%, 10/1/03 BB+ 450 412
(b) FNBC Series 93-A
8.08%, 1/5/18 A1 1,075 1,123
Home Holdings, Inc.
8.625%, 12/15/03 B- 419 337
John Hancock
7.375%, 2/15/24 AA 625 580
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
69
<PAGE> 72
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO (CONT'D)
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ----------------------------------------------------------------
<S> <C> <C> <C>
(+) Mass Mutual
7.625%, 11/15/23 AA- $ 600 $ 583
(+) Metropolitan
Life Insurance
7.45%, 11/1/23 AA 850 785
# Mutual Life
Insurance Co. of
New York
0.00%, 8/15/24 BBB 950 745
(+) Nationwide
Mutual Life
Insurance
7.50%, 2/15/24 AA- 1,325 1,227
(+) Principal Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 775 746
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A 950 951
Reliance Group
Holdings
9.00%, 11/15/00 BB+ 375 375
(+) United Savings
of Texas
9.05%, 5/15/98 BB+ 275 273
## World Savings &
Loan Association
5.875%, 3/15/96 A+ 700 700
- - ----------------------------------------------------------------
GROUP TOTAL 12,227
- - ----------------------------------------------------------------
FOREIGN GOVERNMENTS (4.8%)
Government of Canada
6.50%, 6/1/04 AA+ C$ 975 665
8.50%, 4/1/02 AA+ 4,300 3,356
Government of France
O.A.T.
8.50%, 11/25/02 AAA FF 17,800 3,867
8.50%, 4/25/23 AAA 15,085 3,202
Kingdom of Denmark
9.00%, 11/15/00 AAA DK 10,165 1,967
Treuhandanstalt
7.125%, 1/29/03 AAA DM 1,830 1,329
7.75%, 10/1/02 AAA 1,460 1,098
United Kingdom
9.125%, 2/21/01 AAA ECU 500 697
- - ----------------------------------------------------------------
GROUP TOTAL 16,181
- - ----------------------------------------------------------------
/ / HEDGED MORTGAGES (1.0%)
Federal Home Loan
Mortgage Corporation
Series:
1415-S Inv Fl IO
CMO
17.563%, 11/15/07 Agy $ 522 204
1476-S Inv Fl IO
REMIC PAC
4.106%, 2/15/08 Agy 5,089 447
1485-S Inv Fl IO
REMIC
3.663%, 3/15/08 Agy 5,507 412
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ----------------------------------------------------------------
<S> <C> <C> <C>
1600-SA Inv Fl IO
REMIC
2.063%, 10/15/08 Agy $ 7,950 $ 414
Federal National
Mortgage Association
Series:
92-186 Inv Fl IO
CMO
3.106%, 10/25/07 Agy 8,865 600
94-33 S Inv Fl IO
2.225%, 3/25/09 Agy 13,311 701
G 94-2 S Inv Fl IO
REMIC
2.225%, 1/25/24 Agy 9,827 519
- - ----------------------------------------------------------------
GROUP TOTAL 3,297
- - ----------------------------------------------------------------
INDUSTRIALS (3.7%)
Alateif Freeport
Finance
9.75%, 4/15/01 BBB- 525 576
(b) Columbia/HCA
Healthcare
7.69%, 6/15/25 A3 750 767
Comcast Corp.
9.375%, 5/15/05 B+ 775 789
Digital Equipment
Corp.
8.625%, 11/1/12 BB+ 400 414
DR Structured
Finance Series 94K2
9.35%, 8/15/19 BBB 375 370
Federated Department
Stores
10.00%, 2/15/01 BB- 825 894
(a) Fleming Cos.,
Inc.
10.625%, 12/15/01 BB- 750 801
G.I. Holdings, Inc.
Zero Coupon,
10/1/98 B+ 1,300 944
(+) Host Marriott
Travel Plaza
9.50%, 5/15/05 BB- 650 632
Marvel Parent
Holdings, Inc.
Zero Coupon,
4/15/98 B- 1,250 895
News America
Holdings, Inc.
10.125%, 10/15/12 BBB 890 1,037
Paramount
Communications
8.25%, 8/1/22 BB+ 700 690
(b) Rhone-Poulenc
Rorer, Inc.
8.62%, 1/5/21 A3 400 436
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 975 987
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
70
<PAGE> 73
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
Scotia Pacific
Holding Co.
7.95%, 7/20/15 BBB $ 664 $ 680
Southland Corp.
5.00%, 12/15/03 BB+ 1,115 864
Time Warner, Inc.
9.15%, 2/1/23 BBB- 700 761
- - ---------------------------------------------------------
GROUP TOTAL 12,537
- - ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (1.1%)
(+) Creekwood
Capital Corp.
Series 95-1 A
8.47%, 3/16/15 AA 572 601
(b) (+) DeBartolo
Capital Corp.
Series A 2
7.48%, 5/1/04 Aaa 900 934
First Federal
Savings & Loan
Association
Series 92-C
8.75%, 6/1/06 AA 2 2
Marine Midland Bank
NA, Series
91-1A7
8.50%, 4/25/22 AA 3 3
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 663 705
Resolution Trust
Corp. Series 92-5C
8.628%, 1/25/26 AA 485 497
Ryland Acceptance
Corp. IV Series
79-A
6.65%, 7/1/11 AA 110 105
Security Pacific
Home Equity Trust
Series 87-A1
8.00%, 1/1/02 AA 2 2
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 800 770
- - ---------------------------------------------------------
GROUP TOTAL 3,619
- - ---------------------------------------------------------
TELEPHONES (0.6%)
Comcast Cellular Corp.
Series A,
Zero Coupon,
3/5/00 B+ 1,000 763
(+) Rogers Cable Systems
Series B
10.00%, 3/15/05 BB+ 600 630
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- 700 728
- - ---------------------------------------------------------
GROUP TOTAL 2,121
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.5%)
Delta Airlines Trust
Series
93-B2
10.06%, 1/2/16 BB+ $ 500 $ 575
Jet Equipment Trust
Series:
(+) 95-C
10.69%, 5/1/15 BBB- 500 563
(+) B1
10.91%, 6/15/06 BB+ 200 226
(+) CL-C
9.71%, 2/15/15 BBB 225 236
- - ---------------------------------------------------------
GROUP TOTAL 1,600
- - ---------------------------------------------------------
U.S. TREASURY SECURITY (1.6%)
U.S. Treasury Bond
7.875%, 2/15/21 Tsy 4,550 5,218
- - ---------------------------------------------------------
UTILITIES (0.1%)
Long Island Lighting Co.
8.90%, 7/15/19 BB+ 325 326
- - ---------------------------------------------------------
YANKEE (1.0%)
PDV America, Inc.
7.875%, 8/1/03 BB- 825 762
# Republic of Argentina
5.00%, 3/31/23 BB- 2,950 1,431
United Mexican States
6.25%, 12/31/19 BB 1,700 1,020
- - ---------------------------------------------------------
GROUP TOTAL 3,213
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $127,013) 129,463
- - ---------------------------------------------------------
COMMON STOCKS (56.8%)
- - ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C>
BANKS (2.7%)
Chemical Banking Corp. 44,500 2,709
Citicorp 32,300 2,285
First Fidelity Bancorp 6,100 412
First of America Bank
Corp. 10,800 464
First Union Corp. 12,500 638
NationsBank Corp. 38,826 2,611
- - ---------------------------------------------------------
GROUP TOTAL 9,119
- - ---------------------------------------------------------
BASIC RESOURCES (2.8%)
Champion International
Corp. 5,000 269
EI DuPont de Nemours Co. 61,500 4,228
Georgia Pacific Corp. 12,500 1,094
Scott Paper Co. 30,500 1,479
Temple-Inland, Inc. 19,000 1,012
WR Grace & Co. 20,000 1,335
- - ---------------------------------------------------------
GROUP TOTAL 9,417
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
71
<PAGE> 74
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
BEVERAGE & PERSONAL PRODUCTS (2.4%)
Anheuser Busch, Cos., Inc. 17,100 $ 1,066
Avon Products, Inc. 16,300 1,170
PepsiCo, Inc. 77,500 3,953
Procter & Gamble Co. 24,600 1,894
- - ---------------------------------------------------------
GROUP TOTAL 8,083
- - ---------------------------------------------------------
CONSUMER DURABLES (2.2%)
Armstrong World
Industries, Inc. 6,000 333
Chrysler Corp. 14,600 774
Eastman Kodak Co. 16,900 1,001
Eaton Corp. 17,900 949
General Motors Corp. 58,700 2,752
Goodyear Tire & Rubber Co. 37,900 1,492
- - ---------------------------------------------------------
GROUP TOTAL 7,301
- - ---------------------------------------------------------
CONSUMER SERVICES (1.8%)
Capital Cities ABC, Inc. 11,200 1,317
News Corp. Limited ADR 50,100 996
Service Corp.
International 28,400 1,111
* Tele-Communications,
Inc., Class A 48,200 844
* Tele-Communications-Liberty
Media Group 25,050 670
Time Warner, Inc. 26,600 1,057
- - ---------------------------------------------------------
GROUP TOTAL 5,995
- - ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (1.3%)
Federal Home Loan Mortgage
Corporation 14,100 975
Federal National Mortgage
Association 20,350 2,106
Transamerica Corp. 19,219 1,369
- - ---------------------------------------------------------
GROUP TOTAL 4,450
- - ---------------------------------------------------------
ENERGY (5.2%)
Amoco Corp. 26,900 1,725
Atlantic Richfield Co. 20,700 2,223
British Petroleum plc ADR 20,100 1,806
Burlington Resources, Inc. 22,800 883
Chevron Corp. 21,400 1,041
Coastal Corp. 40,000 1,345
El Paso Natural Gas Co. 16,200 446
Mobil Corp. 24,950 2,486
Norsk Hydro A.S. 13,200 569
Royal Dutch Petroleum Co.
ADR 27,200 3,338
Unocal Corp. 49,046 1,398
- - ---------------------------------------------------------
GROUP TOTAL 17,260
- - ---------------------------------------------------------
FOOD, TOBACCO & OTHER (3.1%)
Archer Daniels Midland Co. 66,255 1,019
Campbell Soup Co. 20,100 1,010
Philip Morris Cos., Inc. 50,800 4,242
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
RJR Nabisco Holdings Corp. 61,420 $ 1,988
UST, Inc. 27,100 776
Unilever N.V. ADR 10,400 1,352
- - ---------------------------------------------------------
GROUP TOTAL 10,387
- - ---------------------------------------------------------
HEALTH CARE (4.7%)
Allergan, Inc. 30,100 1,005
American Home Products
Corp. 18,500 1,570
Baxter International, Inc. 31,100 1,279
Becton Dickinson & Co. 26,100 1,641
Bristol-Myers Squibb Co. 43,700 3,185
Columbia HCA Healthcare
Corp. 42,040 2,044
* Humana, Inc. 33,600 676
Johnson & Johnson 23,550 1,746
U.S. Healthcare, Inc. 25,700 909
Warner Lambert Co. 15,700 1,495
- - ---------------------------------------------------------
GROUP TOTAL 15,550
- - ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (5.8%)
* AMR Corp. 13,600 981
Burlington Northern, Inc. 23,305 1,690
CSX Corp. 6,600 555
Cummins Engine Co., Inc. 24,000 924
General Electric Co. 63,200 4,029
ITT Corp. 8,700 1,079
Minnesota Mining &
Manufacturing Co. 7,200 407
Tenneco, Inc. 34,700 1,605
Textron, Inc. 16,000 1,092
Union Pacific Corp. 45,400 3,008
United Technologies Corp. 33,100 2,925
WMX Technologies, Inc. 36,785 1,048
- - ---------------------------------------------------------
GROUP TOTAL 19,343
- - ---------------------------------------------------------
INSURANCE (1.2%)
Aetna Life & Casualty Co. 17,300 1,269
AFLAC, Inc. 17,600 730
Exel Ltd. 37,300 2,168
- - ---------------------------------------------------------
GROUP TOTAL 4,167
- - ---------------------------------------------------------
MID CAP GROWTH (2.8%)
Adobe Systems, Inc. 4,300 223
* Airgas, Inc. 4,200 112
* American Mobile
Satellite 8,500 203
* Boca Research, Inc. 1,800 44
* Boston Chicken, Inc. 5,200 136
* Broderbund Software,
Inc. 2,100 160
Cardinal Health, Inc. 3,000 166
* Cellstar Corp. 3,600 113
* Cellular Communications,
Inc., Class A 2,100 114
* Ceridian Corp. 3,800 169
* CIDCO, Inc. 2,700 95
Cintas Corp. 4,100 180
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
72
<PAGE> 75
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Citicasters, Inc. 2,500 $ 83
* CNS, Inc. 4,100 54
Comcast Corp., Class A
Special 6,000 120
* Comcast UK Cable
Partners 4,900 77
Computron Software, Inc. 3,600 62
* Cordis Corp. 1,300 110
Cott Corp. 10,700 102
Danaher Corp. 4,100 134
* Eckerd Corp. 3,600 144
* Electronics for Imaging,
Inc. 1,600 115
Firefox Communications,
Inc. 2,200 54
* Fiserv, Inc. 2,800 81
Frontier Corp. 8,400 224
* Gartner Group, Inc.,
Class A 4,400 144
General Cable plc ADR 3,300 53
* Glenayre Technologies,
Inc. 2,550 184
Globalstar
Telecommunications Ltd. 6,600 141
* Health Management
Associates, Class A 10,300 331
* Healthcare Compare Corp. 2,000 78
HighwayMaster
Communications, Inc. 1,000 13
HFS, Inc. 3,100 162
* International Cabletel,
Inc. 7,600 213
* Inter-Tel, Inc. 2,600 46
Kent Electronics Corp. 2,200 97
La Quinta Motor Inns, Inc. 4,800 134
Lin Television Corp. 1,800 56
* Lincare Holdings, Inc. 5,900 152
* LSI Logic Corp. 1,800 104
Maxis, Inc. 1,700 75
* McAfee Associates, Inc. 1,300 67
* Millicom International
Cellular S.A. 2,600 84
Mylan Labs, Inc. 3,150 63
* National Education Corp. 4,800 38
Nokia Corp. ADR 1,800 126
* North American Biologicals, Inc.3,500 29
OfficeMax, Inc. 4,800 116
* OrNda Healthcorp 5,100 108
* Paging Network, Inc. 4,100 197
Palmer Wireless, Inc. 4,300 96
PanAmSat Corp. 6,800 104
Papa John's International, Inc. 2,700 122
Paychex, Inc. 4,300 199
P-Com, Inc. 1,300 58
PMI Group, Inc. 1,700 81
Post Properties, Inc. 2,000 62
Project Software &
Development, Inc. 1,700 44
* Qualcomm, Inc. 1,700 78
* Robert Mondavi Corp.,
Class A 4,200 107
* Rotech Medical Corp. 4,200 104
Security Capital
Industrial Trust 4,600 75
Security Capital Pacific
Trust 3,700 70
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Sinclair Broadcast Group, Inc. 5,300 $ 152
Sirrom Capital Corp. 5,400 98
Softkey International,
Inc. 1,300 58
Stewart Enterprises, Inc.,
Class A 2,550 92
Stratacom, Inc. 1,800 99
* Sunglass Hut International, Inc.2,100 105
Tanger Factory Outlet
Center 2,100 52
* Tele-Communications,
Inc., Class A 16,575 290
* Tele-Communications-Liberty
Media Group, Class A 5,143 138
Tele-Communications
International, Inc. 5,400 101
Telephone & Data Systems, Inc. 5 --
* Tellabs, Inc. 3,700 155
* Tommy Hilfiger Corp. 4,600 150
Transaction Systems
Architect, Inc., Class A 3,300 88
* United International
Holdings, Inc., Class A 4,800 88
* United Video Satellite
Group 2,700 80
U.S. Robotics Corp. 1,000 85
USA Detergents, Inc. 5,000 103
Videotron Holdings plc ADR 1,900 32
* Viking Office Products,
Inc. 4,100 171
* Vivra, Inc. 3,200 102
Wolverine World Wide, Inc. 2,500 68
- - ---------------------------------------------------------
GROUP TOTAL 9,393
- - ---------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (0.3%)
DeBartolo Realty Corp. 21,800 305
Developers Diversified
Realty Corp. 7,700 232
Security Capital Pacific
Trust 18,447 350
- - ---------------------------------------------------------
GROUP TOTAL 887
- - ---------------------------------------------------------
RETAIL (3.3%)
Circuit City Stores, Inc. 29,400 930
* Federated Department
Stores, Inc. 38,100 1,081
Home Depot, Inc. 39,000 1,555
* Kroger Co. 30,900 1,054
* Office Depot, Inc. 24,000 723
OfficeMax, Inc. 28,950 702
Sears Roebuck & Co. 61,600 2,272
Wal-Mart Stores, Inc. 66,700 1,659
Wendy's International,
Inc. 55,700 1,177
- - ---------------------------------------------------------
GROUP TOTAL 11,153
- - ---------------------------------------------------------
TECHNOLOGY (3.9%)
* Compaq Computer 37,300 1,804
Intel Corp. 36,300 2,183
International Business
Machines Corp. 18,500 1,746
Motorola, Inc. 14,300 1,092
* National Semiconductor 54,600 1,508
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
73
<PAGE> 76
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO VALUE
(CONT'D) SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
* Oracle Corporation 18,150 $ 697
* Seagate Technology 43,800 1,845
Texas Instruments, Inc. 26,600 2,125
- - ---------------------------------------------------------
GROUP TOTAL 13,000
- - ---------------------------------------------------------
UTILITIES (6.5%)
* AirTouch Communications, Inc. 30,300 928
Consolidated Edison Co. of
New York 16,800 510
Entergy Corp. 38,400 1,003
Florida Progress Corp. 17,000 550
Frontier Corp. 43,200 1,150
GTE Corp. 71,700 2,814
Houston Industries, Inc. 14,900 657
MCI Communications Corp. 55,200 1,439
Ohio Edison Co. 45,700 1,040
Pacific Gas & Electric Co. 35,800 1,070
PECO Energy Co. 26,000 744
Public Service Enterprise
Group, Inc. 20,300 604
SBC Communications, Inc. 42,400 2,332
Sprint Corp. 51,800 1,813
Unicom Corp. 40,700 1,231
U.S. West, Inc. 46,300 2,182
Vodafone Group plc ADR 41,500 1,702
- - ---------------------------------------------------------
GROUP TOTAL 21,769
- - ---------------------------------------------------------
VALUE (6.8%)
Allied Signal, Inc. 4,100 181
Allstate Corp. 4,727 167
American General Corp. 8,600 321
Amoco Corp. 2,800 180
Anheuser-Busch Cos., Inc. 4,200 262
Archer Daniels Midland
Industries, Inc. 14,490 223
Armstrong World Industries, Inc. 6,500 361
Atlantic Richfield Co. 2,100 225
Bank of Boston Corp. 6,461 308
Bard (C.R.), Inc. 4,700 143
Beckman Instruments, Inc. 10,900 330
Bergen Brunswig Corp.,
Class A 8,000 171
Boatmen's Bancshares, Inc. 3,100 115
Boise Cascade Corp. 1,700 69
Bristol-Myers Squibb Co. 3,400 248
British Petroleum plc ADR 4,100 368
Brunswick Corp. 3,900 80
Burlington Northern, Inc. 5,200 377
Cabot Oil & Gas Corp.,
Class A 2,500 133
Capital One Financial
Corp. 8,600 253
Caterpillar, Inc. 3,000 171
Central Maine Power Co. 12,500 164
Chemical Banking Corp. 4,500 274
Citicorp 1,900 134
* Compaq Computer Corp. 5,100 247
Crestar Financial Corp. 4,570 255
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
CSX Corp. 1,500 $ 126
Cummins Engine Co., Inc. 7,500 289
Cyprus Amax Minerals Co. 8,000 225
Dayton-Hudson Corp. 2,200 167
Deere & Co. 3,100 252
Dexter Corp. 6,700 171
Dillard Department Stores,
Inc., Class A 5,400 172
Eastman Chemical Co. 725 46
Eaton Corp. 6,000 318
EI Du Pont De Nemours & Co. 3,700 254
El Paso Natural Gas Co. 7,800 215
Entergy Corp. 9,400 246
* Federal Express Corp. 4,100 340
Federal Home Loan Mortgage
Corp. 1,900 131
Federal National Mortgage
Association 1,900 197
First of America Bank
Corp. 4,385 189
* FMC Corp. 2,600 198
* Foundation Health Corp. 6,700 255
General Motors Corp. 7,296 342
General Public Utilities
Corp. 11,500 358
Goodyear Tire & Rubber Co. 7,300 287
Great Western Financial 7,300 173
International Business
Machines Corp. 3,200 302
ITT Corp. 2,000 248
Lockheed Martin Corp. 3,845 258
Long Island Lighting Co. 10,500 181
Lubrizol Corp. 5,100 166
Mallinckrodt Group, Inc. 7,800 309
MAPCO, Inc. 5,800 299
MCI Communications Corp. 10,100 263
Melville Corp. 5,900 204
* National Semiconductor
Corp. 13,000 359
New York State Electric &
Gas Corp. 4,500 118
Northern Trust Corp. 1,200 55
Olin Corp. 4,100 282
* PacifiCare Health
Systems, Inc., Class B 3,800 258
PECO Energy Co. 10,400 298
PHH Corp. 3,300 149
Philip Morris Cos., Inc. 6,300 526
PNC Bank Corp. 6,300 176
Premark International,
Inc. 5,600 285
Providian Corp. 8,400 349
Raytheon Corp. 3,000 255
Reebok International Ltd. 5,000 172
Rhone-Poulenc Rorer, Inc. 6,100 278
RJR Nabisco Holdings Corp. 11,100 359
Rockwell International
Corp. 4,700 222
Rohm & Haas Co. 4,600 278
Ryder Systems, Inc. 7,700 195
SAFECO Corp. 1,100 72
Scitex Corp., Ltd. 11,500 217
* Seagate Technology 8,100 341
Sears, Roebuck & Co. 5,100 188
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
74
<PAGE> 77
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
Shawmut National Corp. 4,700 $ 158
Signet Banking Corp. 8,319 218
Springs Industries, Inc.,
Class A 5,300 208
Sprint Corp. 6,300 221
St. Paul Cos., Inc. 4,700 274
Standard Register Co. 12,700 273
TCF Financial Corp. 2,400 140
Tecumseh Products Co.,
Class A 10,200 490
* Tenet Healthcare Corp. 15,100 262
Texas Instruments, Inc. 3,400 272
Textron, Inc. 3,600 246
Torchmark Corp. 2,000 84
Trinova Corp. 4,800 162
Ultramar Corp. 8,900 211
United Technologies Corp. 1,900 168
Universal Corp. 400 9
V.F. Corp. 5,200 265
* Western Digital Corp. 14,600 232
Weyerhaeuser Co. 3,100 141
Whirlpool Corp. 2,700 155
Williams Cos., Inc. 4,600 179
YPF SA ADR 7,100 128
- - ---------------------------------------------------------
GROUP TOTAL 22,869
- - ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $160,136) 190,143
- - ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.2%)
- - ---------------------------------------------------------
<CAPTION>
++RATINGS
(STANDARD
& POOR'S)
---------
<S> <C> <C> <C>
Unisys Corp. Series A
$3.75 (Cost $964) B- 22,200 830
- - ---------------------------------------------------------
RIGHTS (0.0%)
- - ---------------------------------------------------------
* Mexico Recovery Rights,
expiring 6/30/03 (Cost
$0) 1,700 --
- - ---------------------------------------------------------
CASH EQUIVALENTS (13.0%)
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (0.3%) $ 858 858
- - ---------------------------------------------------------
U.S. TREASURY SECURITIES (0.1%)
- - ---------------------------------------------------------
U.S. Treasury Bills
(a) Zero Coupon,
10/19/95 Tsy 150 150
(a) Zero Coupon,
1/11/96 Tsy 350 345
- - ---------------------------------------------------------
GROUP TOTAL 495
- - ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- - ---------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER (5.0%)
Alabama Power
5.71%, 10/27/95 $ 1,200 $ 1,195
American General Finance
Corp.
5.71%, 11/2/95 1,200 1,194
Barclays U.S. Funding
5.74%, 10/30/95 1,200 1,194
Bell Atlantic Financial
5.72%, 10/11/95 1,200 1,198
Cargill
5.72%, 10/6/95 1,200 1,199
General Electric Capital
Corp.
5.74%, 10/12/95 1,200 1,198
Hershey Foods
5.70%, 10/27/95 1,200 1,195
Household Finance Corp.
5.73%, 10/16/95 1,200 1,197
McDonald's Corp.
5.72%, 10/11/95 1,200 1,198
Motorola Credit
5.70%, 10/17/95 1,200 1,197
Raytheon Co.
5.72%, 10/4/95 1,200 1,199
U.S. West, Inc.
5.71%, 11/7/95 1,200 1,193
Weyerhaeuser Mortgage Co.
5.71%, 10/25/95 1,200 1,195
Xerox Credit Corp.
5.75%, 10/3/95 1,200 1,200
- - ---------------------------------------------------------
GROUP TOTAL 16,752
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (7.6%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be
repurchased at $25,290
collateralized by $25,386
of various U.S.
Government and Agency
Obligations, due
10/3/95-7/7/97, valued at
$25,529 25,277 25,277
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $43,382) 43,382
- - ---------------------------------------------------------
TOTAL INVESTMENTS (108.7%) (Cost $331,495) 363,818
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-8.7%)
Dividends Receivable 425
Interest Receivable 2,044
Receivable for Fund Shares Sold 2
Receivable for Investments Sold 1,121
Other Assets 1
Payable for Fund Shares Redeemed (61)
Payable for Investments Purchased (26,142)
Payable for Administrative Fees (25)
Payable for Investment Advisory Fees (362)
Payable for Daily Variation on Futures
Contracts (42)
Written Interest Rate Floors, at Value (5,106)
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
75
<PAGE> 78
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO VALUE
(CONT'D) (000)+
- - ---------------------------------------------------------
<S> <C>
Unrealized Loss on Forward Foreign
Currency Contracts $ (69)
Collateral on Securities Loaned, at
Value (858)
Other Liabilities (116)
--------
(29,188)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 25,626,411 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $334,630
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.06
- - ---------------------------------------------------------
sec. Restricted Security-Total cost of restricted
securities at September 30, 1995 amounted to
$1,024. Total market value of restricted
securities owned at September 30, 1995 was
$1,016 or 0.3% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-Income Producing Security.
(a) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(b) Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(c) Fitch rating. Security is not rated by Standard
& Poor's Corporation or Moody's Investor
Service, Inc.
/ / Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
# Step Bond-Coupon rate is zero or below market
for an initial period and then increases to a
higher coupon rate thereafter.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for public
sale may exist.
ADR American Depositary Receipt.
Inv Fl Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 1995.
IO Interest Only.
CMO Collateralized Mortgage Obligation.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
C$ Canadian Dollar.
DK Danish Krona.
DM German Mark.
ECU European Currency Unit.
FF French Franc.
</TABLE>
MULTI-ASSET-CLASS
PORTFOLIO
STATEMENT OF NET ASSETS
EQUITY (44.2%)
<TABLE>
<CAPTION>
---------------------------------------------------------
VALUE
SEPTEMBER 30, 1995 SHARES (000)+
---------------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (44.2%)
- - ---------------------------------------------------------
BANKS (2.1%)
Chemical Banking Corp. 10,000 $ 609
Citicorp 6,700 474
First Fidelity Bancorp 1,600 108
First of America Bank Corp. 2,441 105
First Union Corp. 2,400 122
NationsBank Corp. 8,802 592
- - ---------------------------------------------------------
GROUP TOTAL 2,010
- - ---------------------------------------------------------
BASIC RESOURCES (2.1%)
EI DuPont de Nemours Co. 13,775 947
Georgia Pacific Corp. 2,900 254
Scott Paper Co. 6,700 325
Temple-Inland, Inc. 4,300 229
W.R. Grace & Co. 4,700 314
- - ---------------------------------------------------------
GROUP TOTAL 2,069
- - ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.9%)
Anheuser Busch Cos., Inc. 4,000 250
Avon Products, Inc. 4,100 294
PepsiCo, Inc. 17,400 887
Procter & Gamble Co. 5,300 408
- - ---------------------------------------------------------
GROUP TOTAL 1,839
- - ---------------------------------------------------------
CONSUMER DURABLES (1.7%)
Armstrong World Industries,
Inc. 1,100 61
Chrysler Corp. 3,200 170
Eastman Kodak Co. 3,800 225
Eaton Corp. 4,000 212
General Motors Corp. 13,421 629
Goodyear Tire & Rubber Co. 8,500 335
- - ---------------------------------------------------------
GROUP TOTAL 1,632
- - ---------------------------------------------------------
CONSUMER SERVICES (1.4%)
Capital Cities ABC, Inc. 2,200 259
News Corp. Limited ADR 12,600 250
Service Corp. International 6,300 246
* Tele-Communications, Inc.,
Class A 11,100 194
* Tele-Communications-Liberty
Media Group, Class A 7,175 192
Time Warner, Inc. 5,700 227
- - ---------------------------------------------------------
GROUP TOTAL 1,368
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
76
<PAGE> 79
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
---------------------------------------------------------
<S> <C> <C>
CREDIT & FINANCE/INVESTMENT COMPANIES (1.1%)
Federal Home Loan Mortgage
Corporation 2,900 $ 200
Federal National Mortgage
Association 5,000 518
Transamerica Corp. 4,100 292
- - ---------------------------------------------------------
GROUP TOTAL 1,010
- - ---------------------------------------------------------
ENERGY (3.9%)
Amoco Corp. 6,200 398
Atlantic Richfield Co. 4,650 499
British Petroleum plc ADR 4,709 423
Burlington Resources, Inc. 4,600 178
Chevron Corp. 4,700 229
Coastal Corp. 8,300 279
El Paso Natural Gas Co. 3,400 94
Mobil Corp. 5,700 568
Norsk Hydro AS ADR 3,000 129
Royal Dutch Petroleum Co.
ADR 5,900 724
Unocal Corp. 9,502 271
- - ---------------------------------------------------------
GROUP TOTAL 3,792
- - ---------------------------------------------------------
FOOD, TOBACCO & OTHER (2.4%)
Archer Daniels Midland Co. 14,595 225
Campbell Soup Co. 4,400 221
Philip Morris Cos., Inc. 11,200 935
RJR Nabisco Holdings Corp. 13,440 435
Unilever N.V. ADR 2,700 351
UST, Inc. 6,000 172
- - ---------------------------------------------------------
GROUP TOTAL 2,339
- - ---------------------------------------------------------
HEALTH CARE (3.6%)
Allergan, Inc. 6,900 230
American Home Products Corp. 4,350 369
Baxter International, Inc. 6,800 280
Becton, Dickinson & Co. 5,600 352
Bristol-Myers Squibb Co. 9,800 714
Columbia HCA Healthcare
Corp. 9,562 465
* Humana, Inc. 7,600 153
Johnson & Johnson 5,300 393
U.S. Healthcare, Inc. 5,900 209
Warner Lambert Co. 3,500 333
- - ---------------------------------------------------------
GROUP TOTAL 3,498
- - ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (4.3%)
* AMR Corp. 3,000 216
Burlington Northern, Inc. 4,443 322
CSX Corp. 1,100 93
Cummins Engine Co., Inc. 5,400 208
General Electric Co. 13,900 886
ITT Corp. 1,800 223
Minnesota Mining &
Manufacturing Co. 2,200 124
Tenneco, Inc. 7,600 352
<CAPTION>
VALUE
SHARES (000)+
---------------------------------------------------------
<S> <C> <C>
Textron, Inc. 3,500 $ 239
Union Pacific Corp. 10,300 682
United Technologies Corp. 6,900 610
WMX Technologies, Inc. 8,600 245
- - ---------------------------------------------------------
GROUP TOTAL 4,200
- - ---------------------------------------------------------
INSURANCE (0.9%)
Aetna Life & Casualty Co. 3,800 278
AFLAC, Inc. 3,000 125
Exel Ltd. 8,500 494
- - ---------------------------------------------------------
GROUP TOTAL 897
- - ---------------------------------------------------------
MID CAP GROWTH (2.2%)
* CIDCO, Inc. 3,200 113
Cott Corp. 10,300 98
* Fiserv, Inc. 6,600 191
Globalstar
Telecommunications Ltd. 4,600 98
* Health Management
Associates, Inc., Class A 4,100 132
* International Cabletel,
Inc. 5,300 148
La Quinta Motor Inns, Inc. 4,800 134
* Lincare Holdings, Inc. 4,500 116
* Paging Network, Inc. 4,700 226
Paychex, Inc. 4,650 215
Security Capital Industrial
Trust 5,000 81
Sirrom Capital Corp. 8,800 160
* Tellabs, Inc. 3,000 126
* Tommy Hilfiger Corp. 4,300 140
* Viking Office Products,
Inc. 3,900 162
- - ---------------------------------------------------------
GROUP TOTAL 2,140
- - ---------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (0.2%)
DeBartolo Realty Corp. 3,700 52
Developers Diversified
Realty Corp. 1,400 42
Security Capital Pacific
Trust 3,000 57
- - ---------------------------------------------------------
GROUP TOTAL 151
- - ---------------------------------------------------------
RETAIL (2.6%)
Circuit City Stores, Inc. 6,300 199
* Federated Department
Stores, Inc. 8,400 238
Home Depot, Inc. 8,700 347
* Kroger Corp. 7,000 239
* Office Depot, Inc. 4,800 145
OfficeMax, Inc. 6,600 160
Sears Roebuck & Co. 13,300 490
Wal-Mart Stores, Inc. 14,200 353
Wendy's International, Inc. 14,100 298
- - ---------------------------------------------------------
GROUP TOTAL 2,469
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
77
<PAGE> 80
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS
PORTFOLIO VALUE
(CONT'D) SHARES (000)+
---------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (2.9%)
* Compaq Computer Corp. 8,500 $ 411
Intel Corp. 7,200 433
International Business
Machines Corp. 4,100 387
Motorola, Inc. 2,700 206
* National Semiconductor 12,200 337
* Oracle System Corp. 4,550 175
* Seagate Technology 9,700 409
Texas Instruments, Inc. 5,900 471
- - ---------------------------------------------------------
GROUP TOTAL 2,829
- - ---------------------------------------------------------
UTILITIES (5.0%)
* Airtouch Communications,
Inc. 6,300 193
Consolidated Edison Co. of
New York 5,200 158
Entergy Corp. 8,600 225
Florida Progress Corp. 4,900 159
Frontier Corp. 9,800 261
GTE Corp. 15,000 589
Houston Industries, Inc. 2,800 124
MCI Communications Corp. 13,000 339
Ohio Edison Co. 9,400 213
Pacific Gas & Electric Co. 7,600 227
PECO Energy Co. 5,900 169
Public Service Enterprise
Group, Inc. 4,900 146
SBC Communications, Inc. 9,400 517
Sprint Corp. 12,100 424
Unicom Corp. 9,000 272
US West, Inc. 10,500 494
Vodafone Group plc ADR 8,400 344
- - ---------------------------------------------------------
GROUP TOTAL 4,854
- - ---------------------------------------------------------
VALUE (5.9%)
Baxter International, Inc. 12,700 522
Chrysler Corp. 16,900 896
Citicorp. 10,700 757
Dillard Department Stores,
Inc., Class A 14,700 469
MAPCO, Inc. 12,700 654
SAFECO Corp. 4,200 276
Sprint Corp. 10,600 371
Texas Instruments, Inc. 12,200 974
Textron, Inc. 5,300 362
Whirlpool Corp. 6,700 386
- - ---------------------------------------------------------
GROUP TOTAL 5,667
- - ---------------------------------------------------------
TOTAL U.S. COMMON STOCKS (Cost $36,564) 42,764
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
U.S. FIXED INCOME (18.4%)
- - ---------------------------------------------------------
FIXED INCOME SECURITIES (18.3%)
- - ---------------------------------------------------------
ADJUSTABLE RATE MORTGAGES (2.0%)
## Government National
Mortgage Association II:
Conventional
Pools:
5.00%, 12/20/24 Agy $ 346 $ 344
6.00%,
10/20/23-5/20/24 Agy 1,270 1,275
6.50%,
10/20/23-7/20/24 Agy 272 277
- - ---------------------------------------------------------
GROUP TOTAL 1,896
- - ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (5.0%)
Federal Home Loan
Mortgage Corporation:
Gold Pools:
November TBA
7.00%, 6/15/24 Agy 800 788
7.50%,
8/15/24-11/15/25 Agy 1,100 1,105
Conventional
Pools:
11.00%, 9/1/16 Agy 185 205
11.50%, 7/1/15 Agy 155 174
Federal National
Mortgage Association:
Conventional
Pools:
November TBA
7.00%, 11/15/24 Agy 625 616
7.50%, 11/15/25 Agy 625 628
Government National
Mortgage Association
Conventional
Pools:
10.50%, 2/15/19 Agy 41 46
11.00%,
7/15/10-7/15/19 Agy 166 185
November TBA
7.50%, 8/15/24 Agy 1,100 1,109
- - ---------------------------------------------------------
GROUP TOTAL 4,856
- - ---------------------------------------------------------
ASSET BACKED CORPORATES (0.2%)
ALPS Series:
94-1 A4 CMO
7.80%, 7/15/99 AA 100 103
94-1 C CMO
9.35%, 3/15/00 BBB 99 103
- - ---------------------------------------------------------
GROUP TOTAL 206
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
78
<PAGE> 81
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.1%)
Federal National
Mortgage
Association Series:
92-33 S Inv Fl
12.90%, 3/25/22 Agy $ 50 $ 54
Goldman Sachs Trust
IV Series
89 D-2 Inv Fl
17.716%, 5/1/19 AAA 49 60
- - ---------------------------------------------------------
GROUP TOTAL 114
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (2.6%)
American Housing
Trust Series V 1G
9.125%, 4/25/21 AAA 170 176
American Southwest
Financial
Securities Corp.
Series:
(c) 93-2 A1
7.30%, 1/18/09 AA 147 148
(b) 95-C1 A1B
7.40%, 11/17/04 Aaa 150 154
Asset Securitization
Corp. Series 95-D1
A1
7.59%, 8/11/27 AAA 125 130
Countrywide Mortgage
Backed Securities,
Inc. Series:
93-C A11
6.50%, 1/25/24 AAA 147 137
GE Capital Mortgage
Services, Inc.
Series:
94-24 A4
7.00%, 7/25/24 AAA 220 204
J.P. Morgan
Commercial Mortgage
Finance Corp.
Series:
95-C1 A1
7.268%, 7/25/10 AAA 85 86
Mid-State Trust
Series
88-2 A4
9.625%, 4/1/03 AAA 188 206
Mortgage Capital
Funding, Inc.
Series
95-MC1 A1B
7.60%, 5/25/27 AAA 125 130
Residential Funding
Mortgage Securities
Co., Inc. Series:
92-S2 M
8.00%, 1/25/22 AA 93 94
(c) sec. 93-MZ3 A2
6.97%, 8/28/23
(acquired
7/17/95, cost
$93) AA 100 94
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
sec. 93-S43 A10
6.50%, 11/25/23
(acquired
6/12/95, cost
$136) AAA $ 147 $ 137
sec. 94-S1 A19
6.75%, 1/25/24
(acquired
5/22/95, cost
$179) AAA 196 186
95-S11 M
7.50%, 9/25/25 AAA 100 100
Rural Housing Trust
Series:
87-1D
6.33%, 4/1/26 AAA 162 158
87-1M
3.33%, 4/1/26 A- 165 151
87-2C
6.83%, 4/1/26 AAA 162 160
sec.(b) Security Asset Sales,
Inc.
Series 95-B M
7.41%, 9/25/24
(acquired
5/16/95, cost
$93) Aa3 100 97
- - ---------------------------------------------------------
GROUP TOTAL 2,548
- - ---------------------------------------------------------
ENERGY (0.2%)
Maxus Energy Corp.
10.83%, 9/1/04 BB- 115 120
Mobile Energy Services
8.665%, 1/1/17 BBB- 100 105
- - ---------------------------------------------------------
GROUP TOTAL 225
- - ---------------------------------------------------------
FINANCE (1.4%)
Conseco, Inc.
8.125%, 2/15/03 BB+ 125 119
First Union REIT
8.875%, 10/1/03 BB+ 100 92
(b) FNBC Series 93-A
8.08%, 1/5/18 A1 100 104
Home Holdings, Inc.
8.625%, 12/15/03 B- 95 76
John Hancock Surplus
Note
7.375%, 2/15/24 AA 250 232
(+) Metropolitan Life
Insurance
7.45%, 11/1/23 AA 250 231
(+) Nationwide Mutual Life
Insurance
7.50%, 2/15/24 AA- 250 232
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 150 150
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
79
<PAGE> 82
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
Reliance Group Holdings
9.00%, 11/15/00 BB+ $ 50 $ 50
(+) United Savings of Texas
9.05%, 5/15/98 BB+ 50 50
- - ---------------------------------------------------------
GROUP TOTAL 1,336
- - ---------------------------------------------------------
INDUSTRIALS (1.7%)
Alateif Freeport Finance
9.75%, 4/15/01 BBB- 70 77
(b) Columbia/HCA
Healthcare
7.69%, 6/15/25 A3 125 128
Comcast Corp.
9.375%, 5/15/05 B+ 105 107
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 100 104
DR Structured
Finance Series 94K2
9.35%, 8/15/19 BBB 30 30
Federated Department
Stores
10.00%, 2/15/01 BB- 120 130
Fleming Cos., Inc.
10.625%, 12/15/01 BB- 100 107
News America
Holdings, Inc.
10.125%, 10/15/12 BBB 125 146
Paramount
Communications
8.25%, 8/1/22 BB+ 95 94
(b) Rhone-Poulenc
Rorer, Inc.
8.62%, 1/5/21 A3 100 109
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 135 137
Scotia Pacific
Holding Co.
7.95%, 7/20/15 BBB 114 116
Southland Corp.
5.00%, 12/15/03 BB+ 165 128
Time Warner, Inc.
9.15%, 2/1/23 BBB- 100 109
Unisys Corp.
9.75%, 9/15/16 BB- 86 84
- - ---------------------------------------------------------
GROUP TOTAL 1,606
- - ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.2%)
Beverly Finance
8.36%, 7/15/04 AA- 100 105
Mid-State Trust
Series 95-4A
8.33%, 4/1/30 AAA 93 99
- - ---------------------------------------------------------
GROUP TOTAL 204
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (0.3%)
AT&T Corp.
8.35%, 1/15/25 AA $ 55 $ 60
Comcast Cellular
Corp. Series A
Zero Coupon,
3/5/00 B+ 75 57
(+) Rogers Cable
Systems, Series B
10.00%, 3/15/05 BB+ 85 89
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- 105 109
- - ---------------------------------------------------------
GROUP TOTAL 315
- - ---------------------------------------------------------
TRANSPORTATION (0.4%)
Delta Airlines Trust
Series 93-B2
10.06%, 1/2/16 BB+ 75 86
Jet Equipment Trust
Series:
(+) 95-C
10.69%, 5/1/15 BBB- 100 113
(+) A11
10.00%, 6/15/12 A 125 144
(+) B1
10.91%, 6/15/06 BB+ 25 28
- - ---------------------------------------------------------
GROUP TOTAL 371
- - ---------------------------------------------------------
U.S. TREASURY SECURITIES (3.9%)
U.S. Treasury Bonds
7.875%, 2/15/21 Tsy 350 401
(a) 8.75%, 8/15/20 Tsy 2,000 2,501
U.S. Treasury Note
7.25%, 8/15/04 Tsy 825 882
- - ---------------------------------------------------------
GROUP TOTAL 3,784
- - ---------------------------------------------------------
UTILITIES (0.0%)
Long Island Lighting
Co.
8.90%, 7/15/19 BB+ 40 40
- - ---------------------------------------------------------
YANKEE (0.3%)
PDV America, Inc.
7.875%, 8/1/03 BB- 75 69
# Republic of
Argentina
5.00%, 3/31/23 BB- 300 146
United Mexican
States
6.25%, 12/31/19 BB 125 75
- - ---------------------------------------------------------
GROUP TOTAL 290
- - ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.1%)
- - ---------------------------------------------------------
Unisys Corp.
Series A $3.75 B- (1)2,000 75
- - ---------------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $17,327) 17,866
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
80
<PAGE> 83
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
INTERNATIONAL FIXED INCOME (6.5%)
- - ---------------------------------------------------------
FIXED INCOME SECURITIES (6.5%)
- - ---------------------------------------------------------
AUSTRALIAN DOLLAR (0.1%)
Australian Government
Bond
12.00%, 11/15/01 AAA A$ 100 $ 89
- - ---------------------------------------------------------
BRITISH POUND (0.8%)
United Kingdom Treasury
Bills
8.00%, 12/7/00 AAA L 295 474
9.75%, 8/27/02 AAA 150 259
- - ---------------------------------------------------------
GROUP TOTAL 733
- - ---------------------------------------------------------
CANADIAN DOLLAR (0.6%)
Government of Canada
8.50%, 4/1/02 AA C$ +550 429
9.75%, 6/1/21 AA+ 225 195
- - ---------------------------------------------------------
GROUP TOTAL 624
- - ---------------------------------------------------------
DANISH KRONE (0.5%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DK 1,700 309
9.00%, 11/15/00 AAA 760 147
- - ---------------------------------------------------------
GROUP TOTAL 456
- - ---------------------------------------------------------
FRENCH FRANC (1.3%)
Government of France
O.A.T.
8.50%, 3/28/00 AAA FF 2,556 553
8.50%, 10/25/19 AAA 3,300 702
- - ---------------------------------------------------------
GROUP TOTAL 1,255
- - ---------------------------------------------------------
GERMAN MARK (1.9%)
Government of Germany
6.75%, 6/21/99 AAA DM 625 458
8.375%, 5/21/01 AAA 920 713
International Bank
for Reconstruction
and Development
7.125%, 4/12/05 N/R 175 125
Treuhandanstalt
7.125%, 1/29/03 AAA 690 501
- - ---------------------------------------------------------
GROUP TOTAL 1,797
- - ---------------------------------------------------------
<CAPTION>
<S> <C> <C> <C>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
IRISH PUNT (0.2%)
Irish Gilts
8.00%, 10/18/00 AAA IP 110 $ 179
- - ---------------------------------------------------------
ITALIAN LIRA (0.7%)
Republic of Italy BTPS
9.50%, 12/1/99 AA IL 870,000 508
10.00%, 8/1/03 AA 255,000 145
- - ---------------------------------------------------------
GROUP TOTAL 653
- - ---------------------------------------------------------
NETHERLANDS GUILDER (0.2%)
Netherlands Government
8.50%, 3/15/01 AAA NG 350 244
- - ---------------------------------------------------------
SWEDISH KRONA (0.1%)
Government of Sweden
13.00%, 6/15/01 AAA SK 800 134
- - ---------------------------------------------------------
UNITED STATES (0.1%)
## Caterpillar
Financial Services
6.125%, 1/30/96 A- $ 150 150
- - ---------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost $6,130) 6,314
- - ---------------------------------------------------------
INTERNATIONAL EQUITY (12.6%)
- - ---------------------------------------------------------
COMMON STOCKS (10.9%)
- - ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C>
ARGENTINA (0.4%)
Banco Frances del Rio de la
Plata SA ADR 10,000 216
YPF SA ADR 10,600 191
- - ---------------------------------------------------------
GROUP TOTAL 407
- - ---------------------------------------------------------
AUSTRALIA (0.6%)
* Qantas Airways Ltd. 154,000 274
(+)* Qantas Airways Ltd. ADR 2,000 35
Western Mining Corp.
Holdings Ltd. 30,600 200
- - ---------------------------------------------------------
GROUP TOTAL 509
- - ---------------------------------------------------------
AUSTRIA (0.0%)
Flughafen Wein AG 2,000 126
- - ---------------------------------------------------------
BRAZIL (0.3%)
Telebras SA ADR 5,600 263
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
81
<PAGE> 84
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS
PORTFOLIO VALUE
(CONT'D) SHARES (000)+
---------------------------------------------------------
<S> <C> <C>
FRANCE (1.0%)
Christian Dior SA 2,400 $ 218
Ecco 1,240 216
Lafarge SA 2,310 152
(a) Michelin, Class B 2,850 125
PSA Peugeot Citroen 700 96
Usinor Sacilor 8,099 144
- - ---------------------------------------------------------
GROUP TOTAL 951
- - ---------------------------------------------------------
GERMANY (1.3%)
Degussa AG 580 181
Deutsche Bank AG 4,300 205
Felten & Guillaume 940 174
(a) Hoechst AG 1,200 292
Munich Ruekvers AG 80 163
Veba AG 5,100 202
- - ---------------------------------------------------------
GROUP TOTAL 1,217
- - ---------------------------------------------------------
HONG KONG (0.5%)
Orient Overseas
International Ltd. 352,000 206
* Orient Telecom &
Technology Holding Ltd. 366,000 122
Semi-Tech (Global) Ltd. 125,000 188
- - ---------------------------------------------------------
GROUP TOTAL 516
- - ---------------------------------------------------------
INDONESIA (0.1%)
Asia Pacific Resources 12,000 96
- - ---------------------------------------------------------
ITALY (0.6%)
Fiat S.p.A. ADR 9,600 178
* Montedison S.p.A. 197,400 137
Telecom Italia Mobile S.p.A. 68,900 115
Telecom Italia S.p.A. 68,900 113
- - ---------------------------------------------------------
GROUP TOTAL 543
- - ---------------------------------------------------------
JAPAN (1.9%)
(a) Ezaki Glico Co. Ltd. 27,000 231
Hibiya Engineering 19,000 207
Hitachi Ltd. 26,000 284
Mikuni Coca Cola Bottling 15,000 171
Orix Corp. 8,000 295
Sonton Food Industry 16,000 207
Uni-Charm 10,000 218
Yurtec Corp. 12,600 261
- - ---------------------------------------------------------
GROUP TOTAL 1,874
- - ---------------------------------------------------------
KOREA (0.4%)
* Cheil Foods & Chemicals 4,750 152
* LG International 14,000 226
- - ---------------------------------------------------------
GROUP TOTAL 378
- - ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)+
- - ---------------------------------------------------------
<S> <C> <C>
MEXICO (0.2%)
Grupo Televisa SA GDS 8,100 $ 162
- - ---------------------------------------------------------
NETHERLANDS (0.8%)
DSM N.V. 2,930 235
Philips Electronics N.V. 6,300 307
Royal Dutch Petroleum Co. 2,050 252
- - ---------------------------------------------------------
GROUP TOTAL 794
- - ---------------------------------------------------------
NORWAY (0.1%)
Norsk Hydro AS 2,600 112
- - ---------------------------------------------------------
PORTUGAL (0.2%)
Portucel Industrial Empresa 27,200 202
- - ---------------------------------------------------------
SINGAPORE (0.1%)
Singapore Press Holdings
(Foreign) 3,600 55
- - ---------------------------------------------------------
SPAIN (0.4%)
Acerinox SA 1,650 188
Iberdrola SA 20,400 154
- - ---------------------------------------------------------
GROUP TOTAL 342
- - ---------------------------------------------------------
SWEDEN (0.2%)
Volvo AB, Class B 9,350 229
- - ---------------------------------------------------------
SWITZERLAND (0.3%)
BBC Brown Boveri Ltd. AG
(Bearer) 130 151
Union Bank of Switzerland 156 160
- - ---------------------------------------------------------
GROUP TOTAL 311
- - ---------------------------------------------------------
TURKEY (0.1%)
Turk Otomobil Fabrikasi
AS ADR 80,000 63
- - ---------------------------------------------------------
UNITED KINGDOM (1.3%)
Abbey National plc 21,400 183
B.A.T Industries plc 17,500 146
British Petroleum Co. plc 22,700 170
(a) Hanson plc 61,000 195
Redland plc 21,600 129
Royal Insurance Holdings plc 26,800 149
South Wales Electricity plc 12,300 179
Unilever plc 6,100 122
- - ---------------------------------------------------------
GROUP TOTAL 1,273
- - ---------------------------------------------------------
UNITED STATES (0.1%)
* Millicom International
Cellular SA 4,500 145
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
82
<PAGE> 85
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
FIXED INCOME SECURITIES (1.7%)
- - ---------------------------------------------------------
UNITED STATES (1.7%)
CORPORATES (1.5%)
## Ford Motor Credit Corp.
6.141%, 6/17/96 A $ 500 $ 501
## Wells Fargo & Co.
5.878%, 11/18/96 A- 500 500
## World Savings & Loan
Association
5.875%, 3/15/96 A+ 450 450
- - ---------------------------------------------------------
GROUP TOTAL 1,451
- - ---------------------------------------------------------
YANKEE (0.2%)
##(b) Central Bank of
Argentina Bocon PIK
Pre 4
3.313%, 9/1/02 B2 325 203
- - ---------------------------------------------------------
TOTAL INTERNATIONAL EQUITY (Cost $11,797) 12,222
- - ---------------------------------------------------------
HIGH YIELD (6.5%)
- - ---------------------------------------------------------
FIXED INCOME SECURITIES (6.5%)
(Unless otherwise noted)
- - ---------------------------------------------------------
CABLE (0.5%)
Adelphia
Communications
Corp., Series B
9.875%, 3/1/05 B+ 160 149
(+)# Bell Cablemedia
0.00%, 9/15/05 BB- 125 73
Comcast Corp.
(Convertible)
1.125%, 4/15/07 B+ 190 100
# Marcus Cable Co.
0.00%, 12/15/05 B 125 73
# Telewest
Communications
0.00%, 10/01/07 BB 125 74
- - ---------------------------------------------------------
GROUP TOTAL 469
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.1%)
(b) Citicorp Mortgage
Securities, Inc. Series
90-8 A7
9.50%, 6/25/05 Ba1 84 72
- - ---------------------------------------------------------
CONSUMER SERVICES/PRODUCT (0.7%)
Coleman Holdings
Zero Coupon,
5/27/98 B 155 121
Flagstar Corp.
11.25%, 11/1/04 CCC+ 96 74
** Heileman Acquisition Co.
9.625%, 1/31/04 CC 50 14
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
(+) Host Marriott
Travel Plaza
9.50%, 5/15/05 BB- $ 205 $ 199
Marvel Parent
Holdings, Inc., Zero
Coupon, 4/15/98 B- 350 251
(+)# Six Flags Theme
Parks, Inc.
0.00%, 6/15/05 B 75 57
- - ---------------------------------------------------------
GROUP TOTAL 716
- - ---------------------------------------------------------
ENERGY (0.3%)
Clark R&M Holdings,
Zero Coupon,
2/15/00 B+ 125 80
Maxus Energy Corp
9.875%, 10/15/02 BB- 150 149
# TransAmerican
Refining Corp.
Series 1
0.00%, 2/15/02 B- 65 45
* TransAmerican Refining
Corp. (Warrants,
expiring 2/15/02) (1) 1,110 4
- - ---------------------------------------------------------
GROUP TOTAL 278
- - ---------------------------------------------------------
FINANCE (0.6%)
Conseco, Inc.
8.125%, 2/15/03 BB+ 100 95
First Union REIT
8.875%, 10/01/03 BB+ 75 69
Home Holdings, Inc.
8.625%, 12/15/03 B- 60 48
MDC Holdings, Inc.
11.125%, 12/15/03 B 75 69
# Mutual Life
Insurance Co. of New
York
0.00%, 8/15/24 BBB 250 196
Reliance Group
Holdings
9.75%, 11/15/03 BB- 75 75
sec. Riggs National Corp.
Series B 10.75%
(Preferred Stock)
(acquired
7/29/94, cost
$37) N/R (1) 1,500 41
- - ---------------------------------------------------------
GROUP TOTAL 593
- - ---------------------------------------------------------
FOREIGN GOVERNMENT (0.1%)
Mexican Cetes
Zero Coupon,
1/25/96 BBB+ MP 528 75
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
83
<PAGE> 86
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS
PORTFOLIO
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
---------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIALS (0.6%)
AK Steel Corp.
10.75%, 4/1/04 B+ $ 90 $ 96
## Blue Bell Funding Notes
11.85%, 5/1/99 BB- 25 26
# Building Materials Corp.
0.00%, 7/1/04 BB 50 31
Fleming Cos., Inc.
10.625%, 12/15/01 BB- 145 155
G.I. Holdings, Inc.
Zero Coupon,
10/1/98 B+ 264 192
(+) Terex Corp.
13.75%, 5/15/02 B 50 41
TLC Beatrice
11.50%, 10/1/05 BB- 75 76
- - ---------------------------------------------------------
GROUP TOTAL 617
- - ---------------------------------------------------------
SUPERMARKETS (0.3%)
Big V Supermarkets, Inc.
11.00%, 2/15/04 B- 55 44
* Grand Union Co.
(Common Stock) (1)4,331 57
Ralph's Grocery Co.
10.45%, 6/15/04 B 60 58
Southland Corp.
5.00%, 12/15/03 BB+ 150 117
- - ---------------------------------------------------------
GROUP TOTAL 276
- - ---------------------------------------------------------
TECHNOLOGY (0.2%)
Unisys Corp.
9.75%, 9/15/16 BB- 55 54
Unisys Corp. Series A
$3.75
(Convertible
Preferred Stock) B- (1) 4,550 171
- - ---------------------------------------------------------
GROUP TOTAL 225
- - ---------------------------------------------------------
TELEPHONES (0.6%)
Comcast Cellular Corp.
Series:
A Zero Coupon,
3/5/00 B+ 50 38
B Zero Coupon,
3/5/00 B+ 125 96
# Dial Call
Communications, Inc.
0.00%, 4/15/04 CCC- 75 39
* Dial Call
Communications
(Warrants, expiring
4/25/99) (1) 75 --
# Nextel Communications
0.00%, 8/15/04 CCC- 440 217
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB 200 208
- - ---------------------------------------------------------
GROUP TOTAL 598
- - ---------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.3%)
Delta Airlines Trust
Series 93 B2
10.06%, 1/2/16 BB+ $ 50 $ 58
Jet Equipment Trust
Series:
(+) 95-C
10.69%, 5/1/15 BBB- 100 113
(+) B1
10.91%, 6/15/06 BB+ 25 28
USAir Inc. Series 93-A3
10.375%, 3/1/13 B+ 110 103
- - ---------------------------------------------------------
GROUP TOTAL 302
- - ---------------------------------------------------------
UTILITIES (0.2%)
Cleveland Electric Series:
B 9.50%, 5/15/05 BB 50 50
sec. Q $91.50 (Preferred
Stock)
(acquired
5/9/95,
cost $50) N/R (1) 60 53
First PV Funding Corp.
10.15%, 1/15/16 B+ 50 51
- - ---------------------------------------------------------
GROUP TOTAL 154
- - ---------------------------------------------------------
YANKEE (2.0%)
## Brazil Par Series YL 4
4.25%, 4/15/24 B1 595 289
Brazil (Eligible Interest)
6.69%, 4/15/06 N/R 525 349
##(b) Central Bank of
Argentina
Bocon PIK:
Pre 2
3.313%, 4/1/01 B2 150 123
Pre 4
3.313%, 9/1/02 B2 375 234
(b) Republic of Argentina
# 5.00%, 3/31/23 B1 425 206
## 6.813%,
3/31/05 B1 250 155
## Republic of Ecuador
(Discount)
6.813%, 2/28/25 N/R 375 184
United Mexican States
6.25%, 12/31/19 BB 625 375
- - ---------------------------------------------------------
GROUP TOTAL 1,915
- - ---------------------------------------------------------
TOTAL HIGH YIELD (Cost $6,170) 6,290
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
84
<PAGE> 87
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- - ---------------------------------------------------------
<S> <C> <C> <C>
FOREIGN CURRENCY (0.1%)
French Franc FF 1 $ --
German Mark DM 3 2
Hong Kong Dollar HK 22 3
Italian Lira IL 142,957 89
Japanese Yen Y 96 1
Netherlands Guilder NG 11 7
- - ---------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $102) 102
- - ---------------------------------------------------------
CASH EQUIVALENT (16.1%)
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (16.1%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased
at $15,569, collateralized
by $15,628 of various U.S.
Government and Agency
Obligations, due 10/3/95-
7/7/97, valued at $15,716
(Cost $15,561) $ 15,561 15,561
- - ---------------------------------------------------------
TOTAL INVESTMENTS (104.4%) (Cost $93,651) 101,119
- - ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-4.4%)
Cash 1
Dividends Receivable 115
Interest Receivable 530
Receivable for Withholding Tax
Reclaims 6
Receivable for Investments Sold 547
Receivable for Fund Shares Sold 249
Receivable for Daily Variation on
Futures Contracts 340
Unrealized Gain on Forward Foreign
Currency Contracts 96
Payable for Investments Purchased (5,401)
Payable for Fund Shares Redeemed (576)
Payable for Administrative Fees (11)
Payable for Investment Advisory Fees (64)
Unrealized Loss on Swap Contracts (42)
Other Liabilities (70)
-------
(4,280)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 8,536,164 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $96,839
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.34
- - ---------------------------------------------------------
- - ---------------------------------------------------------
sec. Restricted Security-Total cost of restricted
securities at September 30, 1995 amounted to
$588. Total market value of restricted
securities owned at September 30, 1995, was
$608 or 0.6% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-Income Producing Security.
** Non-Income Producing, Defaulted Security.
(a) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(b) Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(c) Fitch rating. Security is not rated by Standard
& Poor's Corporation or Moody's Investor
Service, Inc.
# Step Bond-Coupon rate is low or zero for an
initial period and then increases to a higher
coupon rate thereafter.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for public
sale may exist.
(1) Amount represents shares held by the Portfolio.
ADR American Depositary Receipt.
GDS Global Depositary Share.
CMO Collateralized Mortgage Obligation.
Inv Fl Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 1995.
N/R Not rated by Moody's Investor Service, Inc. or
Standard & Poor's Corporation.
PIK Payment-In-Kind Security.
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
MP Mexican Peso.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
85
<PAGE> 88
STATEMENT OF OPERATIONS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
SMALL INTER-
CAP SELECT NATIONAL
VALUE EQUITY VALUE EQUITY EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------
Year Ended September 30, 1995
(In Thousands)
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 26,109 $ 32,158 $ 6,880 $ 539 $ 22,408
Interest 4,589 8,815 508 182 5,415
- - ------------------------------------------------------------------------------------------------------------------------------
Total Income 30,698 40,973 7,388 721 27,823
- - ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 5,078 6,840 2,683 $117 5,437
Less: Waived Fees -- -- -- (31) 86 --
Administrative Fee--Note C 836 1,130 300 27 922
Custodian Fee 110 124 73 14 1,100
Other Expenses 118 194 70 15 156
- - ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 6,142 8,288 3,126 142 7,615
- - ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note H (79) (124) (15) -- (479)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 6,063 8,164 3,111 142 7,136
- - ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 24,635 32,809 4,277 579 20,687
- - ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 118,188 121,671 50,198 431 (33,892)
Foreign Currency Transactions -- -- -- -- (18,899)
Futures and Swaps -- 1,366 -- -- 1,521
- - ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 118,188 123,037 50,198 431 (51,270)
- - ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note D
Investment Securities 145,262 173,454 10,603 4,466 (28,120)
Foreign Currency Transactions -- -- -- -- 20,225
Futures and Swaps -- -- -- -- (3,085)
- - ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 145,262 173,454 10,603 4,466 (10,980)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 263,450 296,491 60,801 4,897 (62,250)
- - ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $288,085 $329,300 $65,078 $5,476 ($41,563)
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $2,675 withholding tax for International Equity Portfolio.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
86
<PAGE> 89
STATEMENT OF OPERATIONS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
DOMESTIC
MID CAP MID CAP EMERGING FIXED FIXED
GROWTH VALUE MARKETS INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------
DECEMBER 30, FEBRUARY 28, YEAR ENDED
YEAR ENDED 1994* TO 1995* TO YEAR ENDED SEPTEMBER
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER SEPTEMBER 30, 30,
(In Thousands) 1995 1995 30, 1995 1995 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends + $ 1,434 $194 $ 334 $ 677 $ --
Interest 1,003 6 250 100,623 1,903
- - ------------------------------------------------------------------------------------------------------------------------------
Total Income 2,437 200 584 101,300 1,903
- - ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory
Services--Note B 1,504 $ 14 $136 4,893 $ 98
Less: Waived Fees -- (14) -- (51) 85 -- (23) 75
Administrative Fee--Note C 247 3 17 1,072 24
Custodian Fee 32 11 74 183 11
Reimbursement from Investment
Adviser -- (25) -- -- --
Other Expenses 50 28 39 235 23
- - ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,833 17 215 6,383 133
- - ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note H (32) (1) (1) (124) (2)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,801 16 214 6,259 131
- - ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 636 184 370 95,041 1,772
- - ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 47,679 331 2,176 11,859 (31)
Foreign Currency Transactions -- -- (72) (8,759) (16)
Futures and Written Floors -- -- -- 92 (20)
- - ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 47,679 331 2,104 3,192 (67)
- - ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note D
Investment Securities 33,071 161 583 88,685 1,636
Foreign Currency Transactions -- -- (2) 991 54
Futures, Written Floors and
Swaps -- -- -- (10,203) 14
- - ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) 33,071 161 581 79,473 1,704
- - ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 80,750 492 2,685 82,665 1,637
- - ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $81,386 $676 $3,055 $177,706 $3,409
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations.
+ Net of $17 withholding tax for the Emerging Markets Portfolio.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
87
<PAGE> 90
STATEMENT OF OPERATIONS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------
MORTGAGE-
HIGH CASH FIXED BACKED LIMITED
YIELD RESERVES INCOME SECURITES DURATION
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------
Year Ended September 30, 1995
(In Thousands)
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 1,850 $ -- $ -- $ -- $ --
Interest 20,896 2,086 10,952 6,455 4,617
- - ------------------------------------------------------------------------------------------------------------------------------
Total Income 22,746 2,086 10,952 6,455 4,617
- - ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 764 $ 90 567 $353 $217
Less: Waived Fees -- (39) 51 -- (5) 348 (11) 206
Administrative Fee--Note C 168 31 126 79 62
Custodian Fee 40 14 32 21 7
Other Expenses 39 22 42 27 36
- - ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,011 118 767 475 311
- - ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note H (14) (2) (18) (4) (7)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 997 116 749 471 304
- - ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 21,749 1,970 10,203 5,984 4,313
- - ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (2,282) -- 2,068 1,761 (402)
Foreign Currency Transactions (243) -- (1,045) -- --
Futures, Written Floors and Swaps (495) -- 103 (1,211) --
- - ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (3,020) -- 1,126 550 (402)
- - ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note D
Investment Securities 9,786 -- 8,795 4,127 1,669
Foreign Currency Transactions 82 -- 205 -- --
Futures, Written Floors and Swaps (317) -- 124 (119) --
- - ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) 9,551 -- 9,124 4,008 1,669
- - ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 6,531 -- 10,250 4,558 1,267
- - ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $28,280 $1,970 $ 20,453 $10,542 $5,580
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
88
<PAGE> 91
STATEMENT OF OPERATIONS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
SPECIAL INTER-
PURPOSE GLOBAL NATIONAL
FIXED PA FIXED FIXED
INCOME MUNICIPAL MUNICIPAL INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------
Year Ended September 30, 1995
(In Thousands)
- - -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 186 $ 28 $ 14 $ -- $ --
Interest + 32,618 2,379 1,004 3,765 7,554
- - -----------------------------------------------------------------------------------------------------------------------------
Total Income 32,804 2,407 1,018 3,765 7,554
- - -----------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 1,574 $147 $ 63 190 395
Less: Waived Fees -- (37) 110 (31) 32 -- --
Administrative Fee--Note C 348 51 30 43 90
Custodian Fee 57 7 4 23 39
Other Expenses 72 28 18 39 53
- - -----------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,051 196 84 295 577
- - -----------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note H (31) -- -- (11) (12)
- - -----------------------------------------------------------------------------------------------------------------------------
Net Expenses 2,020 196 84 284 565
- - -----------------------------------------------------------------------------------------------------------------------------
Net Investment Income 30,784 2,211 934 3,481 6,989
- - -----------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 6,604 (294) (1,207) 513 3,952
Foreign Currency Transactions (3,097) -- -- (176) 309
Futures, Written Floors and Swaps 1,570 (284) (116) 8 577
- - -----------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 5,077 (578) (1,323) 345 4,838
- - -----------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note D
Investment Securities 28,479 3,531 2,456 3,227 4,834
Foreign Currency Transactions 209 -- -- 284 (836)
Futures, Written Floors and Swaps (3,435) (253) (86) 178 649
- - -----------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 25,253 3,278 2,370 3,689 4,647
- - -----------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 30,330 2,700 1,047 4,034 9,485
- - -----------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $61,114 $4,911 $ 1,981 $ 7,515 $16,474
- - -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $212 withholding tax for the International Fixed Income Portfolio.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
89
<PAGE> 92
STATEMENT OF OPERATIONS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------
INTERMEDIATE MULTI-
DURATION BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------
October 3,
1994* to
September 30, Year Ended September 30,
(In Thousands) 1995 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ -- $ 4,235 $ 936
Interest 1,402 11,508 2,721
- - ------------------------------------------------------------------------------------------------------------------------------
Total Income 1,402 15,743 3,657
- - ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $ 74 1,385 $ 320
Less: Waived Fees (17) 57 -- (100) 220
Administrative Fee--Note C 17 263 81
Custodian Fee 7 64 48
Other Expenses 23 60 67
- - ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 104 1,772 416
- - ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note H (1) (20) (3)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 103 1,752 413
- - ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 1,299 13,991 3,244
- - ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 456 9,030 1,185
Foreign Currency Transactions (71) (657) (14)
Futures, Written Floors and Swaps 71 260 313
- - ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 456 8,633 1,484
- - ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)--Note D
Investment Securities 434 38,032 8,004
Foreign Currency Transactions (1) 146 110
Futures, Written Floors and Swaps 10 (1,124) (54)
- - ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 443 37,054 8,060
- - ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 899 45,687 9,544
- - ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $2,198 $59,678 $12,788
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations
+ Net of $32 withholding tax for the Multi-Asset-Class Portfolio
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
90
<PAGE> 93
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------------------------------------------------
SMALL
CAP
VALUE EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
----------------- ------------------- ----------------
(In Thousands) 1994 1995 1994 1995 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 22,904 $ 24,635 $ 24,863 $ 32,809 $ 2,217 $ 4,277
Realized Net Gain (Loss) 86,779 118,188 75,662 123,037 35,717 50,198
Change in Unrealized Appreciation
(Depreciation)--Note D (43,212) 145,262 (52,807) 173,454 (18,220) 10,603
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 66,471 288,085 47,718 329,300 19,714 65,078
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS--Note A:
Net Investment Income (20,513) (23,680) (22,279) (31,719) (2,478) (2,689)
Realized Net Gain (45,422) (79,195) (111,446) (67,107) (9,706) (37,063)
- - ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (65,935) (102,875) (133,725) (98,826) (12,184) (39,752)
- - ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 389,211 302,389 326,442 370,928 146,243 109,087
In Lieu of Cash Distributions 59,886 91,963 126,377 91,153 11,208 38,342
Redeemed (230,471) (289,313) (271,798) (287,940) (31,854) (50,543)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions 218,626 105,039 181,021 174,141 125,597 96,886
- - ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 219,162 290,249 95,014 404,615 133,127 122,212
NET ASSETS:
Beginning of Period 762,175 981,337 1,098,003 1,193,017 175,029 308,156
- - ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $981,337 $1,271,586 $1,193,017 $1,597,632 $308,156 $430,368
- - ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 31,659 22,270 15,339 17,166 8,595 6,533
In Lieu of Cash Distributions 4,951 8,147 6,120 4,623 694 2,674
Shares Redeemed (18,622) (22,729) (12,906) (13,063) (1,829) (3,105)
- - ------------------------------------------------------------------------------------------------------------------------------
17,988 7,688 8,553 8,726 7,460 6,102
- - ------------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $838,712 $ 943,751 $1,029,874 $1,207,235 $264,121 $361,017
Undistributed (Overdistributed) Net
Investment Income 6,840 7,826 7,727 8,769 1,232 2,767
Undistributed (Overdistributed) Realized Net
Gain (Loss) 78,757 117,719 60,500 113,258 32,023 45,201
Unrealized Appreciation (Depreciation) on
Investment Securities 57,028 202,290 94,916 268,370 10,780 21,383
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $981,337 $1,271,586 $1,193,017 $1,597,632 $308,156 $430,368
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
91
<PAGE> 94
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-----------------------------------------------------------------
INTER-
SELECT NATIONAL MID CAP
EQUITY EQUITY GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
---------------- --------------------- ----------------
(In Thousands) 1994 1995 1994 1995 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 3,137 $ 579 $ 9,616 $ 20,687 $ 387 $ 636
Realized Net Gain (Loss) 35,010 431 110,405 (51,270) 32,706 47,679
Change in Unrealized Appreciation
(Depreciation)--Note D (31,227) 4,466 (3,795) (10,980) (45,589) 33,071
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 6,920 5,476 116,226 (41,563) (12,496) 81,386
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS--Note A:
Net Investment Income (4,294) (575) (11,034) -- (172) (541)
Realized Net Gain (17,881) (9,116) (17,292) (104,076) (29,300) (34,250)
In Excess of Realized Net Gain -- -- -- (8,055) -- --
- - ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (22,175) (9,691) (28,326) (112,131) (29,472) (34,791)
- - ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 9,300 4,847 252,739 315,862 102,489 78,991
In Lieu of Cash Distributions 21,599 9,691 25,259 111,406 29,290 33,984
Redeemed (281,539) (9,897) (124,706) (245,455) (96,275) (89,018)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (250,640) 4,641 153,292 181,813 35,504 23,957
- - ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (265,895) 426 241,192 28,119 (6,464) 70,552
NET ASSETS:
Beginning of Period 295,050 29,155 891,675 1,132,867 309,459 302,995
- - ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $ 29,155 $29,581 $1,132,867 $1,160,986 $302,995 $373,547
- - ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 523 411 17,651 25,439 6,060 4,693
In Lieu of Cash Distributions 1,244 1,026 1,762 9,346 1,748 2,527
Shares Redeemed (16,110) (615) (9,083) (19,983) (5,881) (5,734)
- - ------------------------------------------------------------------------------------------------------------------------------
(14,343) 822 10,330 14,802 1,927 1,486
- - ------------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 20,779 $25,226 $ 915,979 $1,095,826 $233,437 $257,408
Undistributed (Overdistributed) Net
Investment Income 160 161 (11,377) 11,109 346 427
Undistributed (Overdistributed) Realized
Net Gain (Loss) 9,101 613 123,212 (40,022) 30,481 43,910
Unrealized Appreciation (Depreciation)
on:
Investment Securities (885) 3,581 120,885 92,765 38,731 71,802
Foreign Currency Transactions -- -- (18,901) 1,324 -- --
Futures, Written Floors and Swaps -- -- 3,069 (16) -- --
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $ 29,155 $29,581 $1,132,867 $1,160,986 $302,995 $373,547
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
92
<PAGE> 95
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------
MID CAP EMERGING FIXED
VALUE MARKETS INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------
DECEMBER 30, FEBRUARY 28, YEAR ENDED
1994* TO 1995* TO SEPTEMBER 30,
SEPTEMBER 30, SEPTEMBER 30, -------------------
In Thousands) 1995 1995 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 184 $ 370 $ 72,402 $ 95,041
Realized Net Gain (Loss) 331 2,104 (18,950) 3,192
Change in Unrealized Appreciation (Depreciation) -- Note D 161 581 (106,555) 79,473
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 676 3,055 (53,103) 177,706
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A
Net Investment Income -- -- (67,194) (69,099)
Realized Net Gain -- -- (35,051) --
In Excess of Realized Net Gain -- -- (9,589) --
- - ------------------------------------------------------------------------------------------------------------------------------
Total Distributions -- -- (111,834) (69,099)
- - ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 4,259 39,405 567,463 431,740
In Lieu of Cash Distributions -- -- 94,187 52,586
Redeemed (428) (1) (211,494) (300,481)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share Transactions 3,831 39,404 450,156 183,845
- - ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 4,507 42,459 285,219 292,452
NET ASSETS:
Beginning of Period -- -- 909,738 1,194,957
- - ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $4,507 $42,459 $1,194,957 $1,487,409
- - ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 373 3,651 49,027 38,850
In Lieu of Cash Distributions -- -- 8,044 4,797
Shares Redeemed (38) (1) (18,469) (27,170)
- - ------------------------------------------------------------------------------------------------------------------------------
335 3,650 38,602 16,477
- - ------------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $3,831 $39,404 $1,252,353 $1,436,198
Undistributed (Overdistributed) Net Investment Income 184 301 9,156 26,685
Undistributed (Overdistributed) Realized Net Gain (Loss) 331 2,173 (13,248) (1,643)
Unrealized Appreciation (Depreciation) on:
Investment Securities 161 583 (51,825) 36,860
Foreign Currency Transactions -- (2) (1,514) (523)
Futures and Written Floors -- -- 35 (10,168)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $4,507 $42,459 $1,194,957 $1,487,409
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
93
<PAGE> 96
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------------------
DOMESTIC
FIXED HIGH CASH
INCOME YIELD RESERVES
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
--------------- ------------------ --------------
(In Thousands) 1994 1995 1994 1995 1994 1995
- - -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 4,074 $ 1,772 $ 11,819 $ 21,749 $ 718 $ 1,970
Realized Net Gain (Loss) 2,347 (67) 1,830 (3,020) -- --
Change in Unrealized Appreciation
(Depreciation)--Note D (7,005) 1,704 (11,989) 9,551 -- --
- - -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations (584) 3,409 1,660 28,280 718 1,970
- - -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS--Note A:
Net Investment Income (5,245) (776) (8,273) (19,609) (718) (1,970)
Realized Net Gain (4,534) -- (1,494) (1,760) -- --
In Excess of Realized Net Gain (924) -- -- (1,069) -- --
- - -----------------------------------------------------------------------------------------------------------------------------
Total Distributions (10,703) (776) (9,767) (22,438) (718) (1,970)
- - -----------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 5,841 39,260 170,574 94,962 101,048 95,030
In Lieu of Cash Distributions 9,301 600 4,372 11,160 525 1,868
Redeemed (57,684) (42,867) (34,266) (74,148) (74,357) (90,207)
- - -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (42,542) (3,007) 140,680 31,974 27,216 6,691
- - -----------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (53,829) (374) 132,573 37,816 27,216 6,691
NET ASSETS:
Beginning of Period 90,350 36,521 50,396 182,969 10,717 37,933
- - -----------------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $ 36,521 $ 36,147 $ 182,969 $ 220,785 $ 37,933 $ 44,624
- - -----------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 564 3,820 18,359 11,056 101,048 95,030
In Lieu of Cash Distributions 874 60 477 1,334 525 1,868
Shares Redeemed (5,271) (4,304) (3,747) (8,485) (74,357) (90,207)
- - -----------------------------------------------------------------------------------------------------------------------------
(3,833) (424) 15,089 3,905 27,216 6,691
- - -----------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 38,847 $ 35,012 $ 186,889 $ 218,863 $ 37,933 $ 44,624
Undistributed (Overdistributed)
Net Investment Income (405) 531 4,535 6,985 -- --
Undistributed (Overdistributed)
Realized Net Gain (Loss) (840) (19) 1,640 (4,519) -- --
Unrealized Appreciation
(Depreciation) on:
Investment Securities (1,017) 619 (10,276) (490) -- --
Foreign Currency Transactions (54) -- (81) 1 -- --
Futures, Written Floors and Swaps (10) 4 262 (55) -- --
- - -----------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $ 36,521 $ 36,147 $ 182,969 $ 220,785 $ 37,933 $ 44,624
- - -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
94
<PAGE> 97
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------
MORTGAGE-
FIXED BACKED LIMITED
INCOME SECURITIES DURATION
PORTFOLIO II PORTFOLIO PORTFOLIO
------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
----------------- ------------------ -----------------
(In Thousands) 1994 1995 1994 1995 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 7,387 $ 10,203 $ 5,197 $ 5,984 $ 4,829 $ 4,313
Realized Net Gain (Loss) (3,146) 1,126 (4,159) 550 (3,989) (402)
Change in Unrealized Appreciation
(Depreciation)--Note D (10,522) 9,124 (3,748) 4,008 (1,834) 1,669
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (6,281) 20,453 (2,710) 10,542 (994) 5,580
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS--Note A:
Net Investment Income (6,702) (6,958) (3,661) (6,794) (5,042) (3,757)
Realized Net Gain (1,897) -- (1,520) -- (392) --
In Excess of Realized Net Gain (1,286) -- (217) -- (237) (62)
- - ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (9,885) (6,958) (5,398) (6,794) (5,671) (3,819)
- - ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 66,086 56,653 82,386 8,451 116,947 60,552
In Lieu of Cash Distributions 6,560 3,751 4,457 3,732 5,282 2,459
Redeemed (21,414) (26,856) (9,466) (85,683) (181,780) (27,361)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions 51,232 33,548 77,377 (73,500) (59,551) 35,650
- - ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 35,066 47,043 69,269 (69,752) (66,216) 37,411
NET ASSETS:
Beginning of Period 94,836 129,902 50,249 119,518 128,991 62,775
- - ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $129,902 $176,945 $119,518 $ 49,766 $ 62,775 $100,186
- - ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 5,973 5,324 7,914 871 11,139 5,907
In Lieu of Cash Distributions 588 357 431 378 509 243
Shares Redeemed (2,016) (2,538) (927) (8,515) (17,521) (2,691)
- - ------------------------------------------------------------------------------------------------------------------------------
4,545 3,143 7,418 (7,266) (5,873) 3,459
- - ------------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $136,969 $170,517 $125,703 $ 52,004 $ 67,491 $103,141
Undistributed (Overdistributed) Net Investment
Income 539 2,756 1,881 1,071 793 1,354
Undistributed (Overdistributed) Realized Net
Gain (Loss) (1,578) 576 (4,258) (3,509) (4,152) (4,621)
Unrealized Appreciation (Depreciation) on:
Investment Securities (5,699) 3,096 (3,432) 695 (1,357) 312
Foreign Currency Transactions (210) (5) -- -- -- --
Futures and Written Floors (119) 5 (376) (495) -- --
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $129,902 $176,945 $119,518 $ 49,766 $ 62,775 $100,186
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
95
<PAGE> 98
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------------------------
SPECIAL
PURPOSE PA
FIXED INCOME MUNICIPAL MUNICIPAL
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
----------------- ---------------- ---------------
(In Thousands) 1994 1995 1994 1995 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 21,886 $ 30,784 $ 1,778 $ 2,211 $ 1,165 $ 934
Realized Net Gain (Loss) (4,362) 5,077 (36) (578) (85) (1,323)
Change in Unrealized Appreciation
(Depreciation)--Note D (30,469) 25,253 (3,542) 3,278 (1,891) 2,370
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Operations (12,945) 61,114 (1,800) 4,911 (811) 1,981
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS--Note A:
Net Investment Income (18,927) (22,759) (1,778) (2,232) (1,273) (922)
In Excess of Net Investment Income -- -- (224) -- (4) --
Realized Net Gain (11,660) -- -- -- -- --
In Excess of Realized Net Gain (2,052) -- -- -- (77) --
- - ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (32,639) (22,759) (2,002) (2,232) (1,354) (922)
- - ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 171,455 107,483 29,621 15,286 20,914 4,150
In Lieu of Cash Distributions 30,681 20,635 1,381 1,281 1,122 803
Redeemed (72,006) (160,946) (15,565) (21,755) (11,989) (13,793)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions 130,130 (32,828) 15,437 (5,188) 10,047 (8,840)
- - ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 84,546 5,527 11,635 (2,509) 7,882 (7,781)
NET ASSETS:
Beginning of Period 300,185 384,731 26,914 38,549 15,633 23,515
- - ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $384,731 $390,258 $38,549 $36,040 $23,515 $15,734
- - ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 14,307 9,436 2,788 1,556 1,939 436
In Lieu of Cash Distributions 2,499 1,768 131 125 105 78
Shares Redeemed (5,832) (13,433) (1,493) (2,167) (1,113) (1,392)
- - ------------------------------------------------------------------------------------------------------------------------------
10,974 (2,229) 1,426 (486) 931 (878)
- - ------------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $399,939 $367,111 $40,773 $35,324 $24,867 $15,340
Undistributed (Overdistributed) Net Investment
Income 3,059 8,633 47 26 (4) 12
Undistributed (Overdistributed) Realized Net Gain
(Loss) (1,481) 6,047 (125) (442) (154) (794)
Unrealized Appreciation (Depreciation) on:
Investment Securities (16,338) 12,141 (2,075) 1,456 (1,149) 1,307
Foreign Currency Transactions (470) (261) -- -- -- --
Futures, Written Floors and Swaps 22 (3,413) (71) (324) (45) (131)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $384,731 $390,258 $38,549 $36,040 $23,515 $15,734
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
96
<PAGE> 99
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
--------------------------------------------------------------------
INTER-
GLOBAL NATIONAL INTERMEDIATE
FIXED INCOME FIXED INCOME DURATION
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------
APRIL 29, OCTOBER 3,
YEAR ENDED 1994* TO YEAR ENDED 1994* TO
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
--------------- -----------
(In Thousands) 1994 1995 1994 1995 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 2,819 $ 3,481 $ 1,377 $ 6,989 $ 1,299
Realized Net Gain (Loss) (1,510) 345 (116) 4,838 456
Change in Unrealized Appreciation
(Depreciation)--Note D (1,391) 3,689 (160) 4,647 443
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations (82) 7,515 1,101 16,474 2,198
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A
Net Investment Income (2,172) (3,155) (328) (5,736) (832)
Realized Net Gain (145) -- -- -- --
In Excess of Realized Net Gain (18) -- -- -- --
- - ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,335) (3,155) (328) (5,736) (832)
- - ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 32,239 14,273 67,417 77,909 22,039
In Lieu of Cash Distributions 2,203 2,953 328 5,364 832
Redeemed (42,123) (9,505) (1,639) (33,008) (5,000)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (7,681) 7,721 66,106 50,265 17,871
- - ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (10,098) 12,081 66,879 61,003 19,237
NET ASSETS:
Beginning of Period 53,164 43,066 -- 66,879 --
- - ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $43,066 $55,147 $66,879 $ 127,882 $ 19,237
- - ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 3,127 1,376 6,785 7,472 2,204
In Lieu of Cash Distributions 212 285 33 511 82
Shares Redeemed (4,098) (893) (165) (3,026) (485)
- - ------------------------------------------------------------------------------------------------------------------------------
(759) 768 6,653 4,957 1,801
- - ------------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $43,943 $51,663 $66,106 $ 116,371 $ 17,871
Undistributed (Overdistributed) Net
Investment Income 658 1,100 1,017 6,077 371
Undistributed (Overdistributed)
Realized Net Gain (Loss) (452) (222) (84) 947 552
Unrealized Appreciation (Depreciation)
on:
Investment Securities (931) 2,296 (157) 4,677 434
Foreign Currency Transactions (134) 150 17 (819) (1)
Futures and Swaps (18) 160 (20) 629 10
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $43,066 $55,147 $66,879 $ 127,882 $ 19,237
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
97
<PAGE> 100
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-----------------------------------------------------
MULTI-ASSET-
BALANCED CLASS
PORTFOLIO PORTFOLIO
-----------------------------------------------------
JULY 29,
YEAR ENDED 1994* TO YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
----------------- -----------
(In Thousands) 1994 1995 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 12,520 $ 13,991 $ 361 $ 3,244
Realized Net Gain (Loss) 781 8,633 5 1,484
Change in Unrealized Appreciation (Depreciation)--Note D (12,966) 37,054 (567) 8,060
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 335 59,678 (201) 12,788
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A
Net Investment Income (11,150) (12,305) -- (2,649)
Realized Net Gain (3,787) (1,872) -- --
- - ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (14,937) (14,177) -- (2,649)
- - ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 88,420 50,017 52,351 52,541
In Lieu of Cash Distributions 14,774 14,014 -- 2,405
Redeemed (70,758) (84,498) (273) (20,123)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions 32,436 (20,467) 52,078 34,823
- - ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 17,834 25,034 51,877 44,962
NET ASSETS:
Beginning of Period 291,762 309,596 -- 51,877
- - ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $309,596 $334,630 $51,877 $96,839
- - ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 7,600 4,108 5,228 5,045
In Lieu of Cash Distributions 1,293 1,234 -- 234
Shares Redeemed (6,086) (7,168) (27) (1,944)
- - ------------------------------------------------------------------------------------------------------------------------------
2,807 (1,826) 5,201 3,335
- - ------------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $312,065 $291,601 $52,078 $86,902
Undistributed (Overdistributed) Net Investment Income 2,632 3,480 359 948
Undistributed (Overdistributed) Realized Net Gain (Loss) 819 8,415 7 1,496
Unrealized Appreciation (Depreciation) on:
Investment Securities (5,709) 32,323 (536) 7,468
Foreign Currency Transactions (207) (61) (29) 81
Futures, Written Floors and Swaps (4) (1,128) (2) (56)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $309,596 $334,630 $51,877 $96,839
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
98
<PAGE> 101
SELECTED PER SHARE DATA AND RATIOS
- - --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
------------------------------------------------------------
VALUE
PORTFOLIO
------------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
------------------------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.29 $ 12.92 $ 12.67 $ 12.76 $ 12.63
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.35 0.30 0.30 0.31
Net Realized and Unrealized Gain (Loss) on
Investments 3.79 1.05 1.92 0.59 3.34
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.23 1.40 2.22 0.89 3.65
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.44) (0.38) (0.31) (0.29) (0.31)
Realized Net Gain (1.16) (1.27) (1.82) (0.73) (1.08)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.60) (1.65) (2.13) (1.02) (1.39)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.92 $ 12.67 $ 12.76 $ 12.63 $ 14.89
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 45.54% 12.83% 19.67% 7.45% 32.58%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $458,117 $448,329 $762,175 $981,337 $1,271,586
Ratio of Expenses to Average Net Assets ## 0.60% 0.60% 0.59% 0.61% 0.60%
Ratio of Net Investment Income to Average Net
Assets 3.67% 2.87% 2.48% 2.40% 2.43%
Portfolio Turnover Rate 64% 55% 43% 54% 56%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Value Portfolio excludes the effect of expense offsets. If
expense offsets were included, the Ratio of Expenses to Average Net Assets
would not significantly differ.
<TABLE>
<CAPTION>
------------------------------------------------------------------
EQUITY
PORTFOLIO
-------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
-------------------------------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.86 $ 20.78 $ 22.04 $ 22.82 $ 21.05
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.43 0.41 0.44 0.52
Net Realized and Unrealized Gain (Loss) on
Investments 5.64 1.86 1.95 0.41 4.55
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 6.08 2.29 2.36 0.85 5.07
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.44) (0.42) (0.43) (0.41) (0.52)
Realized Net Gain (0.72) (0.61) (1.15) (2.21) (1.17)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.16) (1.03) (1.58) (2.62) (1.69)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 20.78 $ 22.04 $ 22.82 $ 21.05 $ 24.43
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 40.18% 11.55% 11.05% 4.11% 26.15%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $675,487 $918,989 $1,098,003 $1,193,017 $1,597,632
Ratio of Expenses to Average Net Assets ## 0.60% 0.59% 0.59% 0.60% 0.61%
Ratio of Net Investment Income to Average Net
Assets 2.36% 2.03% 1.86% 2.10% 2.39%
Portfolio Turnover Rate 33% 21% 51% 41% 67%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Equity Portfolio excludes the effect of expense offsets. If
expense offsets were included, the Ratio of Expenses to Average Net Assets
would be 0.60%.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
99
<PAGE> 102
SELECTED PER SHARE DATA AND RATIOS
- - --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-------------------------------------------------------------
SMALL
CAP
VALUE
PORTFOLIO
-------------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
-------------------------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.20 $ 11.45 $ 12.84 $ 17.55 $ 17.67
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.23 0.10 0.18 0.16 0.19
Net Realized and Unrealized Gain (Loss) on Investments 4.21 1.48 4.64 1.14 2.49
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.44 1.58 4.82 1.30 2.68
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.19) (0.19) (0.11) (0.24) (0.14)
Realized Net Gain -- -- -- (0.94) (1.93)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.19) (0.19) (0.11) (1.18) (2.07)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.45 $ 12.84 $ 17.55 $ 17.67 $ 18.28
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 63.07% 14.12% 37.72% 8.04% 18.39%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $52,182 $105,886 $175,029 $308,156 $430,368
Ratio of Expenses to Average Net Assets ## 0.88% 0.86% 0.88% 0.88% 0.87%
Ratio of Net Investment Income to Average Net Assets 1.70% 1.06% 1.33% 0.91% 1.20%
Portfolio Turnover Rate 53% 50% 93% 162% 119%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Small Cap Value Portfolio excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would not significantly differ.
<TABLE>
<CAPTION>
------------------------------------------------------------
SELECT
EQUITY
PORTFOLIO
------------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
------------------------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.86 $ 16.09 $ 17.65 $ 18.41 $ 17.29
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.34 0.32 0.31 0.71 0.27
Net Realized and Unrealized Gain (Loss) on Investments 4.26 1.76 1.49 0.06 2.07
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.60 2.08 1.80 0.77 2.34
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.33) (0.31) (0.32) (0.70) (0.30)
Realized Net Gain (0.04) (0.21) (0.72) (1.19) (7.53)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.37) (0.52) (1.04) (1.89) (7.83)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 16.09 $ 17.65 $ 18.41 $ 17.29 $ 11.80
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 39.48% 13.26% 10.46% 4.50% 26.22%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $118,557 $205,264 $295,050 $29,155 $ 29,581
Ratio of Expenses to Average Net Assets ## 0.60% 0.60% 0.60% 0.62%++ 0.62%++
Ratio of Net Investment Income to Average Net Assets 2.41% 1.89% 1.78% 1.75% 2.48%
Portfolio Turnover Rate 29% 19% 33% 27% 73%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
++ Select Equity Portfolio expense ratios are net of voluntarily waived expenses
of less than 0.01% and 0.13% for the years ended September 30, 1994 and 1995.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Select Equity Portfolio excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would be 0.61%.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
100
<PAGE> 103
SELECTED PER SHARE DATA AND RATIOS
- - --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-------------------------------------------------------------
INTERNATIONAL
EQUITY
PORTFOLIO
-------------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
-------------------------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.83 $ 11.56 $ 11.03 $ 13.18 $ 14.52
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.22 0.36 0.21 0.12 0.19
Net Realized and Unrealized Gain (Loss) on
Investments 1.83 (0.33) 2.14 1.63 (0.75)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.05 0.03 2.35 1.75 (0.56)
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.23) (0.56) (0.20) (0.16) --
Realized Net Gain (0.09) -- -- (0.25) (1.35)
In Excess of Realized Net Gain -- -- -- -- (0.10)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.32) (0.56) (0.20) (0.41) (1.45)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.56 $ 11.03 $ 13.18 $ 14.52 $ 12.51
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 21.22% 0.37% 21.64% 13.33% (3.36%)
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $274,295 $512,127 $891,675 $1,132,867 $1,160,986
Ratio of Expenses to Average Net Assets ## 0.67% 0.70% 0.66% 0.64% 0.70%
Ratio of Net Investment Income to Average Net Assets 2.08% 1.41% 1.23% 0.89% 1.90%
Portfolio Turnover Rate 51% 42% 43% 69% 112%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the International Equity Portfolio excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would be 0.66%.
<TABLE>
<CAPTION>
--------------------------------------------------------
MID CAP
GROWTH
PORTFOLIO
--------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
--------------------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.00 $ 14.92 $ 14.51 $ 18.56 $ 16.29
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.01 0.01 0.02 0.03
Net Realized and Unrealized Gain (Loss) on Investments 5.91 0.44 4.80 (0.58) 4.21
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 5.95 0.45 4.81 (0.56) 4.24
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.03) (0.03) -- (0.01) (0.03)
Realized Net Gain -- (0.83) (0.76) (1.70) (1.90)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.03) (0.86) (0.76) (1.71) (1.93)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.92 $ 14.51 $ 18.56 $ 16.29 $ 18.60
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 66.26% 2.87% 33.92% (3.28%) 30.56%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $171,163 $192,817 $309,459 $302,995 $373,547
Ratio of Expenses to Average Net Assets ## 0.60% 0.60% 0.59% 0.60% 0.61%
Ratio of Net Investment Income to Average Net Assets 0.29% 0.05% 0.07% 0.12% 0.21%
Portfolio Turnover Rate 46% 39% 69% 55% 129%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Mid Cap Growth Portfolio excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would be 0.60%.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
101
<PAGE> 104
SELECTED PER SHARE DATA AND RATIOS
- - --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
-------------------------------------
MID CAP EMERGING
VALUE MARKETS
PORTFOLIO PORTFOLIO
-------------------------------------
DECEMBER 30, FEBRUARY 28,
1994** TO 1995** TO
SEPTEMBER SEPTEMBER
30, 30,
1995 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.55/ 0.10
Net Realized and Unrealized Gain (Loss) on Investments 2.90 1.53
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 1.63
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.45 $ 11.63
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 16.30%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $42,459
Ratio of Expenses to Average Net Assets ## 0.93%*++ 1.18%*++
Ratio of Net Investment Income to Average Net Assets 10.13%*/ 2.04%*
Portfolio Turnover Rate 639%/ 63%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- - -
* Annualized. ** Commencement of Operations.
++ Mid Cap Value Portfolio expense ratio is net of voluntarily waived and
reimbursed expenses of 2.13%* for the period ended September 30, 1995.
Emerging Markets Portfolio expense ratio is net of voluntarily waived
expenses of 0.29%* for the period ended September 30, 1995.
## For the period ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Mid Cap Value Portfolio excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would be 0.88%.* For the period ended September 30, 1995, the
Ratio of Expenses to Average Net Assets for the Emerging Markets Portfolio
excludes the effect of expense offsets. If expense offsets were included, the
Ratio of Expenses to Average Net Assets would not significantly differ.
/Net Investment Income, the Ratio of Net Investment Income to Average Net Assets
and the Portfolio Turnover Rate reflect activity relating to a nonrecurring
initiative to invest in higher-paying dividend income producing securities.
<TABLE>
<CAPTION>
------------------------------------------------------------
FIXED
INCOME
PORTFOLIO
------------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
------------------------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.94 $ 12.20 $ 12.67 $ 12.86 $ 10.93
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.94 0.90 0.88 0.77 0.80
Net Realized and Unrealized Gain (Loss) on
Investments 1.25 0.74 0.75 (1.28) 0.69
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.19 1.64 1.63 (0.51) 1.49
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.93) (1.02) (0.83) (0.82) (0.60)
Realized Net Gain -- (0.15) (0.61) (0.47) --
In Excess of Realized Net Gain -- -- -- (0.13) --
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.93) (1.17) (1.44) (1.42) (0.60)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.20 $ 12.67 $ 12.86 $ 10.93 $ 11.82
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 21.12% 14.35% 14.26% (4.43%) 14.19%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $831,547 $859,712 $909,738 $1,194,957 $1,487,409
Ratio of Expenses to Average Net Assets ## 0.47% 0.47% 0.47% 0.49% 0.49%
Ratio of Net Investment Income to Average Net Assets 8.25% 7.50% 7.06% 6.79% 7.28%
Portfolio Turnover Rate 143% 137% 144% 100% 140%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Fixed Income Portfolio excludes the effect of expense offsets.
If expense offsets were included, the Ratio of Expenses to Average Net Assets
would be 0.48%.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
102
<PAGE> 105
SELECTED PER SHARE DATA AND RATIOS
- - --------------------------------------------------------------------------------
or a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-------------------------------------------------------
DOMESTIC FIXED INCOME PORTFOLIO
-------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.26 $ 11.34 $ 11.80 $ 11.99 $ 9.87
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.92 0.87 0.84 0.94 0.52
Net Realized and Unrealized Gain (Loss) on Investments 1.10 0.76 0.66 (1.23) 0.87
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.02 1.63 1.50 (0.29) 1.39
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.94) (1.00) (0.78) (0.95) (0.23)
Realized Net Gain -- (0.17) (0.53) (0.73) --
In Excess of Realized Net Gain -- -- -- (0.15) --
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.94) (1.17) (1.31) (1.83) (0.23)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.34 $ 11.80 $ 11.99 $ 9.87 $ 11.03
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 20.99% 15.41% 14.08% (2.87%) 14.33%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $83,200 $98,130 $90,350 $36,521 $36,147
Ratio of Expenses to Average Net Assets ## 0.48% 0.47% 0.50% 0.50%++ 0.51%++
Ratio of Net Investment Income to Average Net Assets 8.18% 7.67% 7.15% 7.65% 6.80%
Portfolio Turnover Rate 131% 136% 96% 78% 313%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
++ Domestic Fixed Income Portfolio expense ratios are net of voluntarily waived
expenses of 0.03% and 0.09% for the years ended September 30, 1994 and 1995,
respectively.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Domestic Fixed Income Portfolio excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would be 0.50%.
<TABLE>
<CAPTION>
------------------------------------------------
HIGH YIELD PORTFOLIO
------------------------------------------------
YEAR ENDED SEPTEMBER 30,
-----------------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.07 $ 7.80 $ 8.58 $ 9.49 $ 8.97
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 1.42 0.74 0.73 0.75 0.90
Net Realized and Unrealized Gain (Loss) on Investments 0.82 0.89 0.90 (0.42) 0.19
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.24 1.63 1.63 0.33 1.09
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (1.51) (0.85) (0.72) (0.69) (0.85)
Realized Net Gain -- -- -- (0.16) (0.08)
In Excess of Realized Net Gain -- -- -- -- (0.05)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.51) (0.85) (0.72) (0.85) (0.98)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 7.80 $ 8.58 $ 9.49 $ 8.97 $ 9.08
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 36.70% 22.49% 20.12% 3.57% 13.58%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 6,453 $20,491 $50,396 $182,969 $220,785
Ratio of Expenses to Average Net Assets ## 0.76% 0.53%++ 0.53%++ 0.50% 0.50%
Ratio of Net Investment Income to Average Net Assets 19.45% 9.74% 8.94% 9.01% 10.68%
Portfolio Turnover Rate 106% 148% 99% 112% 96%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
++ High Yield Portfolio expense ratios are net of voluntarily waived expenses of
0.22% and 0.09% for the years ended September 30, 1992 and 1993,
respectively.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the High Yield Portfolio excludes the effect of expense offsets.
If expense offsets were included, the Ratio of Expenses to Average Net Assets
would be 0.49%.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
103
<PAGE> 106
SELECTED PER SHARE DATA AND RATIOS
- - --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
--------------------------------------------------------
CASH RESERVES PORTFOLIO
--------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
--------------------------------------------------
1991 1992 1993 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.064 0.038 0.028 0.034 0.055
Net Realized and Unrealized Gain (Loss) on
Investments -- -- -- -- --
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.064 0.038 0.028 0.034 0.055
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.064) (0.038) (0.028) (0.034) (0.055)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.63% 3.89% 2.81% 3.40% 5.57%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $24,163 $12,935 $10,717 $37,933 $44,624
Ratio of Expenses to Average Net Assets ## 0.32%++ 0.32%++ 0.32%++ 0.32%++ 0.33%++
Ratio of Net Investment Income to Average Net Assets 6.57% 3.95% 2.78% 3.70% 5.45%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
++ Cash Reserves Portfolio expense ratios are net of voluntarily waived and
reimbursed expenses of 0.05%, 0.08%, 0.24%, 0.14% and 0.11% for the years
ended September 30, 1991, 1992, 1993, 1994 and 1995, respectively.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Cash Reserves Portfolio excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would be 0.32%.
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------
FIXED INCOME MORTGAGE-BACKED
PORTFOLIO II SECURITIES PORTFOLIO
---------------------------------------------------------------------------------
YEAR
JAN. 31, ENDED
1992** TO SEPTEMBER
YEAR ENDED SEPTEMBER 30, SEPT. 30, 30,
---------------------------------------------- -----------------------
1991 1992 1993 1994 1995 1992 1993
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.09 $ 11.34 $ 11.67 $ 11.97 $ 10.42 $ 10.00 $ 10.44
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.81 0.77 0.69 0.63 0.71 0.29 0.63
Net Realized and Unrealized Gain (Loss) on
Investments 1.10 0.61 0.77 (1.16) 0.71 0.28 0.48
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.91 1.38 1.46 (0.53) 1.42 0.57 1.11
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.66) (0.81) (0.61) (0.67) (0.51) (0.13) (0.60)
Realized Net Gain -- (0.24) (0.55) (0.21) -- -- --
In Excess of Realized Net Gain -- -- -- (0.14) -- -- --
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.66) (1.05) (1.16) (1.02) (0.51) (0.13) (0.60)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.34 $ 11.67 $ 11.97 $ 10.42 $ 11.33 $ 10.44 $ 10.95
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 19.59% 13.02% 13.53% (4.76%) 14.13% 5.75% 11.03%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $42,881 $78,302 $94,836 $129,902 $176,945 $13,601 $50,249
Ratio of Expenses to Average Net Assets ## 0.49% 0.49% 0.51% 0.51% 0.51% 0.50%*++ 0.50%++
Ratio of Net Investment Income
to Average Net Assets 7.76% 7.05% 6.17% 6.07% 6.75% 8.11%* 6.92%
Portfolio Turnover Rate 190% 182% 101% 137% 153% 133% 93%
- - ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Year Ended
September 30,
------------------
1994 1995
- - ---------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.95 $ 9.95
- - --------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.52 0.72
Net Realized and Unrealized Gain (Loss) on
Investments (0.83) 0.47
- - --------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.31) 1.19
- - --------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.45) (0.65)
Realized Net Gain (0.21) --
In Excess of Realized Net Gain (0.03) --
- - --------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.69) (0.65)
- - --------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.95 $ 10.49
- - --------------------------------------------------------------------
TOTAL RETURN (2.95%) 12.52%
- - --------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $119,518 $49,766
Ratio of Expenses to Average Net Assets ## 0.50%++ 0.50%++
Ratio of Net Investment Income
to Average Net Assets 5.30% 6.35%
Portfolio Turnover Rate 220% 107%
- - --------------------------------------------------------------------
</TABLE>
- - -
* Annualized. ** Commencement of Operations. + Reflects a 2.5 for 1 share split
effective August 13, 1993.
++ Mortgage-Backed Securities Portfolio expense ratios are net of voluntarily
waived expenses of 0.30%*, 0.06%, 0.01%, and 0.01% for the period ended
September 30, 1992, and the years ended September 30, 1993, 1994 and 1995,
respectively.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Fixed Income Portfolio II excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would be 0.49%. For the year ended September 30, 1995, the Ratio
of Expenses to Average Net Assets for the Mortgage-Backed Securities
Portfolio excludes the effect of expense offsets. If expense offsets were
included, the Ratio of Expenses to Average Net Assets would not significantly
differ.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
104
<PAGE> 107
SELECTED PER SHARE DATA AND RATIOS
- - --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------
LIMITED DURATION SPECIAL PURPOSE
PORTFOLIO FIXED INCOME PORTFOLIO
---------------------------------------------------------------------------------
MAR. 31, MAR. 31,
1992** TO YEAR ENDED 1992** TO YEAR ENDED
SEPT. 30, SEPTEMBER 30, SEPT. 30, SEPTEMBER 30,
--------------------------- -------------------------
1992 1993 1994 1995 1992 1993 1994 1995
- - ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $ 10.58 $ 10.72 $ 10.19 $ 11.80 $ 12.72 $ 13.40 $ 11.52
- - -----------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.19 0.32 0.56 0.56 0.39 0.88 0.80 0.91
Net Realized and Unrealized Gain
(Loss) on Investments 0.49 0.22 (0.52) 0.22 0.72 0.92 (1.28) 0.75
- - -----------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.68 0.54 0.04 0.78 1.11 1.80 (0.48) 1.66
- - -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.10) (0.32) (0.51) (0.55) (0.19) (0.82) (0.78) (0.65)
Realized Net Gain -- (0.08) (0.04) -- -- (0.30) (0.53) --
In Excess of Realized Net Gain -- -- (0.02) (0.01) -- -- (0.09) --
- - -----------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.10) (0.40) (0.57) (0.56) (0.19) (1.12) (1.40) (0.65)
- - -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.58 $ 10.72 $ 10.19 $ 10.41 $ 12.72 $ 13.40 $ 11.52 $ 12.53
- - -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.90% 5.33% 0.40% 7.95% 9.47% 15.19% (4.00%) 14.97%
- - -----------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $13,065 $128,991 $62,775 $100,186 $274,195 $300,185 $384,731 $390,258
Ratio of Expenses to Average Net Assets ## 0.49%* 0.42%++ 0.41% 0.43%++ 0.53%* 0.48% 0.58% 0.49%
Ratio of Net Investment Income to Average
Net Assets 4.99%* 3.92% 4.16% 5.96% 6.94%* 6.84% 6.66% 7.33%
Portfolio Turnover Rate 159% 217% 192% 119% 138% 124% 100% 143%
- - -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized. ** Commencement of Operations. + Reflects a 2.5 for 1 share split
effective August 13, 1993.
++ Limited Duration Portfolio expense ratio is net of voluntarily waived
expenses of 0.03% and 0.02% for the years ended September 30, 1993 and 1995,
respectively.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Limited Duration Portfolio excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would be 0.42%. For the year ended September 30, 1995, the Ratio
of Expenses to Average Net Assets for the Special Purpose Fixed Income
Portfolio excludes the effect of expense offsets. If expense offsets were
included, the Ratio of Expenses to Average Net Assets would be 0.48%.
<TABLE>
<CAPTION>
------------------------------------------------------------------------
MUNICIPAL PORTFOLIO PA MUNICIPAL PORTFOLIO
------------------------------------------------------------------------
OCT. 1, OCT. 1,
1992** TO YEAR ENDED SEPT. 30, 1992** TO YEAR ENDED SEPT. 30,
SEPT. 30, -------------------- SEPT. 30, --------------------
1993 1994 1995 1993 1994 1995
- - -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.15 $ 10.04 $ 10.00 $ 11.26 $ 10.13
- - -----------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.37 0.51 0.59 0.39 0.56 0.58
Net Realized and Unrealized Gain (Loss) on
Investments 1.04 (1.01) 0.71 1.17 (1.00) 0.77
- - -----------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.41 (0.50) 1.30 1.56 (0.44) 1.35
- - -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.26) (0.54) (0.59) (0.30) (0.64) (0.57)
In Excess of Net Investment Income -- (0.07) -- -- -- --
In Excess of Realized Net Gain -- -- -- -- (0.05) --
- - -----------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.26) (0.61) (0.59) (0.30) (0.69) (0.57)
- - -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.15 $ 10.04 $ 10.75 $ 11.26 $ 10.13 $ 10.91
- - -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.20% (4.64%) 13.37% 15.81% (4.08%) 13.74%
- - -----------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $26,914 $38,549 $36,040 $15,633 $23,515 $15,734
Ratio of Expenses to Average Net Assets ## 0.50%*++ 0.50%++ 0.50%++ 0.50%*++ 0.50%++ 0.50%++
Ratio of Net Investment Income to Average Net
Assets 4.65%* 4.98% 5.64% 4.74%* 5.39% 5.56%
Portfolio Turnover Rate 66% 34% 58% 94% 69% 57%
- - -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized. ** Commencement of Operations. + Reflects a 2.5 for 1 share split
effective August 13, 1993.
++ Municipal Portfolio expense ratios are net of voluntarily waived expenses of
0.20%*, 0.06% and 0.09% for the years ended September 30, 1993, 1994 and
1995, respectively. PA Municipal Portfolio expense ratio is net of
voluntarily waived expenses of 0.25%*, 0.09% and 0.19% for the years ended
September 30, 1993, 1994 and 1995, respectively.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Municipal Portfolio excludes the effect of expense offsets. If
expense offsets were included, the Ratio of Expenses to Average Net Assets
would not significantly differ. The PA Municipal Portfolio had no such
expense offsets.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
105
<PAGE> 108
SELECTED PER SHARE DATA AND RATIOS
- - --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
GLOBAL INTERNATIONAL
FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------
APRIL 30, YEAR ENDED APRIL 29, YEAR
1993** TO SEPT. 30, 1994** TO ENDED
SEPT. 30, ------------------ SEPT. 30, SEPT. 30,
1993 1994 1995 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.67 $ 10.20 $ 10.00 $ 10.05
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.58 0.71 0.21 0.67
Net Realized and Unrealized Gain (Loss) on
Investments 0.61 (0.61) 0.81 (0.11) 0.92
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.74 (0.03) 1.52 0.10 1.59
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.07) (0.41) (0.67) (0.05) (0.63)
Realized Net Gain -- (0.03) -- -- --
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.07) (0.44) (0.67) (0.05) (0.63)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.67 $ 10.20 $ 11.05 $ 10.05 $ 11.01
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.43% (0.29%) 15.54% 1.01% 16.36%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $53,164 $43,066 $55,147 $66,879 $127,882
Ratio of Expenses to Average Net Assets ## 0.58%*++ 0.57% 0.58% 0.60%*++ 0.54%
Ratio of Net Investment Income to Average Net
Assets 5.08%* 5.48% 6.34% 5.83%* 6.35%
Portfolio Turnover Rate 30% 117% 118% 31% 140%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- - -
* Annualized. ** Commencement of Operations.
++ Global Fixed Income Portfolio expense ratio is net of voluntarily waived
expenses of 0.18%* for the period ended September 30, 1993. International
Fixed Income Portfolio expense ratio is net of voluntarily waived expenses of
0.11%* for the period ended September 30, 1994.
## For the year ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Global Fixed Income Portfolio excludes the effect of expense
offsets.
If expense offsets were included the Ratio of Expenses to Average Net Assets
would be 0.56%. For the year ended September 30, 1995, the Ratio of Expenses
to Average Net Assets for the International Fixed Income Portfolio excludes
the effect of expense offsets. If expense offsets were included, the Ratio of
Expenses to Average Net Assets would not significantly differ.
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
INTERMEDIATE MULTI-ASSET-
DURATION BALANCED CLASS
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
OCTOBER 3, DEC. 31, YEAR ENDED JULY 29, YEAR
1994** TO 1992** TO SEPT. 30, 1994** TO ENDED
SEPT. 30, SEPT. 30, ---------------------- SEPT. 30, SEPT. 30,
1995 1993 1994 1995 1994 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $ 10.00 $ 11.06 $ 11.84 $ 11.28 $ 10.00 $ 9.97
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income 0.69 0.25 0.47 0.54 0.07 0.44
Net Realized and
Unrealized Gain (Loss)
on Investments 0.42 0.66 (0.45) 1.78 (0.10) 1.33
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 1.11 0.91 0.02 2.32 (0.03) 1.77
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.13) (0.43) (0.47) -- (0.40)
Realized Net Gain -- -- (0.15) (0.07) -- --
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.43) (0.13) (0.58) (0.54) -- (0.40)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 10.68 $ 11.84 $ 11.28 $ 13.06 $ 9.97 $ 11.34
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 8.31% 0.19% 21.37% (0.30%) 18.28%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of
Period (Thousands) $19,237 $291,762 $309,596 $334,630 $51,877 $96,839
Ratio of Expenses to
Average Net Assets ## 0.52%*++ 0.58%* 0.58% 0.58% 0.58%*++ 0.58%++
Ratio of Net Investment
Income to Average Net
Assets 6.56%* 3.99%* 4.06% 4.55% 4.39%* 4.56%
Portfolio Turnover Rate 168% 62% 75% 95% 20% 112%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- - -
* Annualized. ** Commencement of Operations. + Reflects a 2.5 for 1 share split
effective August 13, 1993 except for the Intermediate Duration and
Multi-Asset-Class Portfolios.
++ Intermediate Duration Portfolio expense ratio is net of voluntarily waived
expenses of 0.08%* for the period ended September 30, 1995. Multi-Asset-Class
Portfolio expense ratio is net of voluntarily waived expenses of 0.26%* and
0.14% for the period ended September 30, 1994 and the year ended September
30, 1995, respectively.
## For the period ended September 30, 1995, the Ratio of Expenses to Average Net
Assets for the Intermediate Duration Portfolio excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would not significantly differ. For the year ended September 30,
1995, the Ratio of Expenses to Average Net Assets for the Balanced Portfolio
excludes the effect of expense offsets. If expense offsets were included, the
Ratio of Expenses to Average Net Assets would be 0.57%. For the year ended
September 30, 1995, the Ratio of Expenses to Average Net Assets for the
Multi-Asset-Class Portfolio excludes the effect of expense offsets. If
expense offsets were included, the Ratio of Expenses to Average Net Assets
would not significantly differ.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
106
<PAGE> 109
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940
as an open-end investment company. At September 30, 1995, the Fund was
comprised of twenty-five active portfolios (each referred to as the
"Portfolio"). The financial statements for the Advisory Foreign Fixed Income
Portfolio and the Advisory Mortgage Portfolio are presented separately.
A. SIGNIFICANT ACCOUNTING POLICIES. The following significant accounting
policies are in conformity with generally accepted accounting principles for
investment companies. Such policies are consistently followed by the Fund in
the preparation of its financial statements.
1. SECURITY VALUATION: Market values for equity securities listed on the New
York Stock Exchange ("NYSE") or other U.S. exchanges or NASDAQ are based on
the latest quoted sales prices as of the normal close of the NYSE at 4:00
p.m. Eastern Time on the valuation date; securities not traded on the
valuation date are valued at the mean of the most recent quoted bid and
asked prices. Equity securities not listed are valued at the mean of the
most recent bid and asked prices. Securities listed on foreign exchanges
are valued at the latest quoted sales prices. Bonds, including municipal
bonds, and other fixed income securities are valued using brokers'
quotations or on the basis of prices, provided by a pricing service, which
are based primarily on institutional size trading in similar groups of
securities. Mortgage-backed securities issued by certain government-related
organizations are valued using brokers' quotations which are based on a
matrix system which considers such factors as other security prices, yields
and maturities. Securities in the Cash Reserves Portfolio, and other
Portfolios' short term securities, are valued using the amortized cost
method of valuation, which in the opinion of the Board of Trustees,
reflects fair value. Securities for which no quotations are readily
available (including restricted securities) are valued at their fair value
as determined in good faith using methods approved by the Board of
Trustees.
Each Portfolio may invest up to 15% of its net assets, except Cash Reserves
which may invest up to 10% of net assets, in securities which are not
readily marketable, including those which are restricted as to disposition
under securities law ("restricted securities"). These securities are valued
at fair value as determined in good faith using methods approved by the
Board of Trustees.
2. FEDERAL INCOME TAXES: It is each Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
and tax-exempt income. Accordingly, no provision for Federal income taxes
is required in the financial statements.
Paid in capital, undistributed (overdistributed) net investment income and
undistributed (overdistributed) realized net gain (loss) have been adjusted
for permanent book-tax differences, if any, for the Portfolios.
Reclassifications between paid in capital and undistributed
(overdistributed) realized net gain (loss) arose principally from differing
book and tax treatments for gain (loss) on in-kind redemptions (Note G);
reclassifications between undistributed (overdistributed) net investment
income and undistributed (overdistributed) realized net gain (loss) arose
principally from differing book and tax treatments for foreign currency
transactions and, for the International Equity Portfolio, the
reclassification of gains on certain securities designated as "passive
foreign investment companies" for tax purposes.
3. REPURCHASE AGREEMENTS: Securities pledged as collateral for repurchase
agreements are held by the Portfolios' custodian bank until maturity of the
repurchase agreements. Provisions of the agreements ensure that the market
value of the collateral is at least equal to the repurchase value in the
event of default; however, in the event of default or bankruptcy by the
other party to the agree-
- - --------------------------------------------------------------------------------
107
<PAGE> 110
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
ment, realization and/or retention of the collateral may be subject to
legal proceedings.
Pursuant to an Exemptive Order issued by the Securities and Exchange
Commission, the Portfolios may transfer their uninvested cash balances into
a joint trading account which invests in one or more repurchase agreements.
This joint repurchase agreement is covered by the same collateral
requirements as discussed above.
4. FUTURES: Futures contracts (secured by securities deposited with brokers as
"initial margin") are valued based upon their quoted daily settlement
prices; changes in initial settlement value (represented by cash paid to or
received from brokers as "variation margin") are accounted for as
unrealized appreciation (depreciation). When futures contracts are closed,
the difference between the opening value at the date of purchase and the
value at closing is recorded as realized gains or losses in the Statement
of Operations.
Futures contracts may be used by each Portfolio, except the Cash Reserves
Portfolio, in order to hedge against unfavorable changes in value of
securities or to attempt to realize profits from the value of the
underlying securities. Futures contracts involve market risk in excess of
the amounts recognized in the statement of net assets. Risks arise from the
possible movements in security values underlying these instruments. The
change in value of futures contracts primarily corresponds with the value
of their underlying instruments, which may not correlate with the change in
value of the hedged investments. In addition, there is the risk that a
Portfolio may not be able to enter into a closing transaction because of an
illiquid secondary market.
5. SWAP AGREEMENTS: Each Portfolio, except the Cash Reserves Portfolio, can
enter into swap agreements to exchange the return generated by one
instrument for the return generated by another instrument. The following
summarizes swaps entered into by the Portfolios:
Interest Rate Swaps: Interest rate swaps involve the exchange of
commitments to pay and receive interest based on a notional principal
amount. Net periodic interest payments to be received or paid are accrued
daily and are recorded in the Statement of Operations as an adjustment to
interest income. Interest rate swaps are marked-to-market daily based upon
quotations from market makers and the change, if any, is recorded as
unrealized appreciation or depreciation in the Statement of Operations.
Total Return Swaps: Total return swaps involve commitments to pay interest
in exchange for a market-linked return based on a notional amount. To the
extent the total return of the security or index underlying the transaction
exceeds or falls short of the offsetting interest rate obligation, the
Portfolio will receive a payment from or make a payment to the
counterparty, respectively. Total return swaps are marked-to-market daily
based upon quotations from market makers and the change, if any, is
recorded as unrealized gains or losses in the Statement of Operations.
Periodic payments received or made at the end of each measurement period,
but prior to termination, are recorded as realized gain (loss) in the
Statement of Operations.
Realized gains or losses on maturity or termination of interest rate and
total return swaps are presented in the Statement of Operations. Because
there is no organized market for these agreements, the value reported in
the Statement of Net Assets may differ from that which would be realized in
the event the Portfolio terminated its position in the agreement. Risks may
arise upon entering into these agreements from the potential inability of
the counterparties to meet the terms of the agreements and is generally
limited to the amount of net interest payments and/or any favorable
movements in the value of the underlying
- - --------------------------------------------------------------------------------
108
<PAGE> 111
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
security, if any, to be received at the date of default.
6. WRITTEN INTEREST RATE FLOOR AGREEMENTS: A Portfolio will utilize written
interest rate floors to protect itself against fluctuations in interest
rates. When a Portfolio writes an interest rate floor, it agrees to make
periodic interest payments based on a notional principal amount to the
extent that a specified interest index falls below a specified interest
rate in exchange for the premium received. When a Portfolio writes an
interest rate floor the premium received by the Portfolio is recorded as a
liability and is amortized to interest income over the term of the
agreement. Interest rate floors are marked-to-market daily based on
quotations from market makers and the change, if any, is recorded as
unrealized appreciation or depreciation in the Statement of Operations.
Periodic payments of interest, if any, are reported as reductions to
interest income in the Statement of Operations. Realized gains or losses
from these agreements are disclosed in the Statement of Operations.
Because there is no organized market for these agreements, the value
reported in the Statement of Net Assets may differ from that which would be
realized in the event the Portfolio terminated its position in the
agreement. Entering into these agreements involves, to varying degrees,
elements of interest rate and market risk in excess of the amount
recognized in the Statement of Net Assets. Such risks involve the
possibility that there is no liquid market for these agreements and that
there may be adverse changes in interest rates and unfavorable changes in
the price of the security or index underlying these transactions.
7. STRUCTURED INVESTMENTS: Certain Portfolios may invest in structured
investments whose values are linked either directly or inversely to changes
in foreign currencies, interest rates, commodities, indices, or other
underlying instruments. A Portfolio uses these securities to increase or
decrease its exposure to different underlying instruments and to gain
exposure to markets that might be difficult to invest in through
conventional securities. Structured investments may be more volatile than
their underlying instruments, but any loss is limited to the amount of the
original investment.
8. DELAYED DELIVERY COMMITMENTS: Each Portfolio, except the Cash Reserves
Portfolio, may purchase or sell securities on a when-issued or forward
commitment basis. Payment and delivery may take place a month or more after
the date of the transaction. The price of the underlying securities and the
date when the securities will be delivered and paid for are fixed at the
time the transaction is negotiated. Collateral consisting of liquid,
high-grade debt securities or cash is maintained in an amount at least
equal to these commitments.
9. FOREIGN EXCHANGE AND FORWARD FOREIGN CURRENCY CONTRACTS: The books and
records of the Fund are maintained in U.S. dollars. Foreign currency
amounts are translated into U.S. dollars at the bid prices of such
currencies against U.S. dollars quoted by a bank. Net realized gains
(losses) on foreign currency transactions represent net foreign exchange
gains (losses) from forward foreign currency exchange contracts,
disposition of foreign currencies, currency gains or losses realized
between the trade and settlement dates on securities transactions, and the
difference between the amount of investment income and foreign withholding
taxes recorded on the Portfolio's books and the U.S. dollar equivalent
amounts actually received or paid.
A forward foreign currency contract is an agreement between two parties to
buy or sell currency at a set price on a future date. Each Portfolio
(except Domestic Fixed Income, Cash Reserves, Mortgage-Backed Securities,
and Limited Duration Fixed Income Portfolios) may enter into forward
foreign currency exchange contracts to protect securities and related
receivables and
- - --------------------------------------------------------------------------------
109
<PAGE> 112
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
payables against future changes in foreign exchange rates. Fluctuations in
the value of such contracts are recorded as unrealized appreciation or
depreciation; realized gains or losses, which are disclosed in the
Statement of Operations, include net gains or losses on contracts which
have been terminated by settlements. Risks may arise upon entering into
these contracts from the potential inability of counterparties to meet the
terms of their contracts and are generally limited to the amount of
unrealized gain on the contract (if any) at the date of default. Risks may
also arise from unanticipated movements in the value of the foreign
currency relative to the U.S. dollar.
10. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment
income, if any, are declared and paid quarterly except for the Municipal
and PA Municipal Portfolios which are declared and paid monthly, Small Cap
Value, International Equity, Mid Cap Growth, Mid Cap Value and Emerging
Markets Portfolios which are declared and paid annually, and Cash Reserves
Portfolio which are declared daily and paid monthly. Net realized capital
gains are distributed at least annually. The amount and character of income
and gains to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing book and tax treatments in
the timing of the recognition of gains or losses on securities, forwards
and futures, including "Post October Losses" (Note F), and permanent
differences as presented in Footnote A2.
11. OTHER: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses
on the sale of investment securities are those of specific securities sold.
Interest income is recognized on the accrual basis.
Discounts and premiums on securities purchased are amortized over their
respective lives. Securities classified as Value and Mid Cap Growth in the
Equity, Select Equity, Balanced and Multi-Asset-Class Portfolios are those
acquired on the basis of measures of value and growth, respectively, deemed
appropriate by the Investment Adviser. Most expenses of the Fund can be
directly attributed to a particular Portfolio. Expenses which cannot be
directly attributed are apportioned among the Portfolios on the basis of
their relative net assets. "Other Expenses", as presented in the Statement
of Operations, are mainly comprised of registration and audit fees.
B. INVESTMENT ADVISORY FEE. Under the terms of an Investment Advisory
Agreement, each Portfolio pays Miller Anderson & Sherrerd, LLP (MAS) for
investment advisory services performed at a fee calculated by applying a
quarterly rate based on an annual percentage rate to each Portfolio's average
daily net assets for the quarter. For the year ended September 30, 1995, the
investment advisory fees of each of the Portfolios were:
<TABLE>
<CAPTION>
Investment Advisory
Portfolio Fee
- - ---------------------------- -------------------
<S> <C>
Value 0.500%
Equity 0.500
Small Cap Value 0.750
Select Equity 0.500
International Equity 0.500
Mid Cap Growth 0.500
Mid Cap Value 0.750
Emerging Markets 0.750
Fixed Income 0.375
Domestic Fixed Income 0.375
High Yield 0.375
Cash Reserves 0.250
Fixed Income II 0.375
Mortgage-Backed Securities 0.375
Limited Duration 0.300
Special Purpose Fixed Income 0.375
Municipal 0.375
PA Municipal 0.375
Global Fixed Income 0.375
International Fixed Income 0.375
Intermediate Duration 0.375
Balanced 0.450
Multi-Asset-Class 0.450
</TABLE>
- - --------------------------------------------------------------------------------
110
<PAGE> 113
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
MAS has agreed to reduce the fees payable to it and, if necessary, reimburse the
following Portfolios if annual operating expenses exceed the following
percentages of average daily net assets:
<TABLE>
<CAPTION>
Annual
Portfolio Operating Expenses
- - ---------------------------- -------------------
<S> <C>
Select Equity 0.610%
Mid Cap Value 0.880
Emerging Markets 1.180
Domestic Fixed Income 0.500
High Yield 0.525
Cash Reserves 0.320
Mortgage-Backed Securities 0.500
Limited Duration 0.420
Municipal 0.500
PA Municipal 0.500
Global Fixed Income 0.580
International Fixed Income 0.600
Intermediate Duration 0.520
Multi-Asset-Class 0.580
</TABLE>
On June 29, 1995, Miller Anderson & Sherrerd, LLP announced that it had agreed
to be acquired by Morgan Stanley Asset Management Holdings, Inc. (an indirect
wholly owned subsidiary of Morgan Stanley Group, Inc.) either alone or together
with one or more affiliates. In accordance with the provisions of the Investment
Company Act of 1940, as amended, on October 6, 1995, the shareholders of MAS
Funds, by affirmative vote of the majority of the outstanding shares of each
Portfolio of the Fund, approved a new Investment Advisory Agreement between the
Fund and the restructured MAS effective upon the completion of the transaction.
The acquisition is scheduled to be completed on or about November 30, 1995.
C. ADMINISTRATION FEE. MAS serves as Administrator to the Fund pursuant to an
Administration Agreement. Under the agreement, MAS receives an annual fee
accrued daily and payable monthly, of 0.08% of each of the Portfolio's average
daily net assets. This fee and various miscellaneous administrative expenses not
included in this fee, such as payments to security pricing vendors, are included
as Administrative Fees in the Statement of Operations of each Portfolio.
Effective September 1, 1995, Chase Global Funds Services Company, (until
September 1, 1995 known as Mutual Funds Service Company), serves as Transfer
Agent to the Fund and provides fund accounting and other services pursuant to a
sub-administration agreement with MAS.
D. PORTFOLIO INVESTMENT ACTIVITY.
1. PURCHASES AND SALES OF SECURITIES: For the year ended September 30, 1995,
purchases and sales of investment securities other than temporary cash
investments were:
<TABLE>
<CAPTION>
(000)
------------------------
Portfolio Purchases Sales
- - ----------------------- ----------- -----------
<S> <C> <C>
Value $ 522,676 $ 589,173
Equity 877,624 854,260
Small Cap Value 442,217 416,307
Select Equity 15,014 20,443
International Equity 1,226,812 1,127,626
Mid Cap Growth 371,002 384,764
Mid Cap Value 18,629 14,911
Emerging Markets 55,082 16,729
Fixed Income 1,963,208 1,739,370
Domestic Fixed Income 75,593 78,768
High Yield 193,593 182,659
Cash Reserves -- --
Fixed Income II 258,092 216,772
Mortgage-Backed
Securities 98,941 169,098
Limited Duration 109,278 80,165
Special Purpose Fixed
Income 580,698 581,246
Municipal 22,637 28,817
PA Municipal 9,447 18,473
Global Fixed Income 53,282 53,054
International Fixed
Income 135,066 117,960
Intermediate Duration 46,519 30,133
Balanced 279,986 304,185
Multi-Asset-Class 99,726 71,137
</TABLE>
- - --------------------------------------------------------------------------------
111
<PAGE> 114
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At
September 30, 1995, cost and unrealized appreciation (depreciation) of
securities for Federal income tax purposes were:
<TABLE>
<CAPTION>
(000)
------------------------------------------------
Portfolio Cost Appreciation Depreciation Net
- - ------------------ ---------- ------------ ------------ --------
<S> <C> <C> <C> <C>
Value $1,101,228 $215,564 ($13,280) $202,284
Equity 1,363,413 281,604 (14,102) 267,502
Small Cap Value 406,904 45,214 (25,340) 19,874
Select Equity 28,471 3,947 (421) 3,526
International
Equity 1,096,706 126,153 (36,415) 89,738
Mid Cap Growth 310,269 80,651 (8,851) 71,800
Mid Cap Value 4,052 209 (53) 156
Emerging Markets 44,997 2,124 (1,672) 452
Fixed Income 1,785,978 44,629 (8,615) 36,014
Domestic Fixed
Income 46,628 656 (38) 618
High Yield 224,575 10,532 (11,959) (1,427)
Cash Reserves 45,135 -- -- --
Fixed Income II 225,526 3,602 (506) 3,096
Mortgage-Backed
Securities 71,800 1,204 (509) 695
Limited Duration 99,684 477 (219) 258
Special Purpose
Fixed Income 464,796 14,203 (2,204) 11,999
Municipal 36,150 1,762 (306) 1,456
PA Municipal 15,038 1,333 (49) 1,284
Global Fixed
Income 51,234 2,486 (218) 2,268
International
Fixed Income 120,145 4,874 (247) 4,627
Intermediate
Duration 20,246 447 (15) 432
Balanced 332,262 35,238 (3,682) 31,556
Multi-Asset-Class 93,670 8,229 (882) 7,347
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS. Under the terms of the forward foreign
currency contracts open at September 30, 1995, each Portfolio is obligated
to deliver or receive currency in exchange for U.S. dollars as indicated in
the following table:
<TABLE>
<CAPTION>
(000)
----------------------------------------------------------------
Currency In Net Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- - ------ --------- --------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
Purchases
US$ 252 DM 358 10/2/95 US$ 251 US$ (1)
393 L 248 10/3/95 392 (1)
-----------
US$ (2)
-----------
Sales
DM 50,102 US$ 35,000 12/21/95 US$35,214 US$ (214)
Y 2,007,960 22,000 12/21/95 20,543 1,457
Y 2,380,750 25,000 12/21/95 24,357 643
Y 2,488,587 25,000 12/21/95 25,460 (460)
Y 1,935,604 20,000 12/21/95 19,802 198
-----------
US$ 1,624
-----------
NET US$ 1,622
-----------
<CAPTION>
(000)
----------------------------------------------------------------
Currency In Net Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- - ------ --------- --------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
FIXED INCOME
Purchases
US$ 13,026 SK 95,305 10/26/95 US$13,722 US$ 696
-----------
Sales
DK 38,330 US$ 7,098 10/11/95 US$ 6,917 US$ 181
ECU 5,175 6,905 10/11/95 6,703 202
FF 5,475 1,131 10/12/95 1,112 19
FF 28,500 5,767 10/12/95 5,788 (21)
DM 21,910 15,762 10/19/95 15,351 411
SK 95,305 13,239 10/26/95 13,722 (483)
C$ 17,425 12,820 10/26/95 12,964 (144)
DM 42,160 30,325 11/6/95 29,564 761
DM 19,755 13,923 11/6/95 13,853 70
FF 45,945 9,100 12/5/95 9,324 (224)
FF 78,740 15,583 12/6/95 15,980 (397)
FF 167,825 33,253 12/7/95 34,059 (806)
FF 66,585 13,091 12/12/95 13,512 (421)
FF 18,810 3,694 12/13/95 3,817 (123)
C$ 41,025 30,204 12/14/95 30,495 (291)
-----------
US$ (1,266)
-----------
NET US$ (570)
-----------
FIXED INCOME II
Purchases
US$ 1,476 SK 10,800 10/26/95 US$ 1,555 US$ 79
208 SK 1,520 10/26/95 219 11
-----------
US$ 90
-----------
Sales
ECU 560 US$ 747 10/11/95 US$ 725 US$ 22
DK 4,155 770 10/11/95 750 20
FF 11,560 2,371 10/12/95 2,348 23
DM 2,485 1,788 10/19/95 1,741 47
SK 10,800 1,500 10/26/95 1,555 (55)
SK 1,520 211 10/26/95 219 (8)
C$ 2,200 1,619 10/26/95 1,637 (18)
DM 7,415 5,299 11/6/95 5,199 100
FF 5,430 1,075 12/5/95 1,102 (27)
FF 4,300 851 12/6/95 873 (22)
FF 18,000 3,567 12/7/95 3,653 (86)
FF 3,910 770 12/12/95 793 (23)
FF 3,855 756 12/12/95 782 (26)
FF 2,160 424 12/13/95 438 (14)
C$ 4,880 3,593 12/14/95 3,628 (35)
-----------
US$ (102)
-----------
NET US$ (12)
-----------
SPECIAL PURPOSE FIXED INCOME
Purchases
US$ 4,294 SK 31,420 10/26/95 US$ 4,524 US$ 230
-----------
Sales
DK 5,615 US$ 1,040 10/11/95 US$ 1,013 US$ 27
DK 5,200 964 10/11/95 938 26
ECU 1,735 2,315 10/11/95 2,247 68
FF 3,850 779 10/12/95 782 (3)
SK 31,420 4,365 10/26/95 4,524 (159)
C$ 4,380 3,223 10/26/95 3,259 (36)
C$ 1,165 850 10/26/95 867 (17)
DM 5,335 3,871 11/6/95 3,741 130
DM 5,900 4,210 11/6/95 4,137 73
DM 6,110 4,306 11/6/95 4,284 22
FF 6,525 1,292 12/5/95 1,324 (32)
FF 36,265 7,177 12/6/95 7,360 (183)
FF 63,770 12,636 12/7/95 12,943 (307)
FF 6,060 1,190 12/13/95 1,230 (40)
C$ 11,765 8,662 12/14/95 8,746 (84)
-----------
US$ (515)
-----------
NET US$ (285)
-----------
</TABLE>
- - --------------------------------------------------------------------------------
112
<PAGE> 115
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
----------------------------------------------------------------
Currency In Net Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- - ------ --------- --------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
GLOBAL FIXED INCOME
Purchases
US$ 276 FF 1,355 10/11/95 US$ 275 US$ (1)
407 Y 34,000 10/18/95 344 (63)
1,354 DM 1,865 10/24/95 1,307 (47)
1,722 FF 8,300 10/25/95 1,686 (36)
4,062 Y 392,000 11/21/95 3,990 (72)
2,080 IL 3,430,000 12/6/95 2,109 29
-----------
US$ (190)
-----------
Sales
Y 77,000 US$ 915 10/11/95 US$ 779 US$ 136
IL 1,075,000 655 10/11/95 666 (11)
FF 4,085 843 10/11/95 830 13
DM 1,865 1,356 10/24/95 1,307 49
NG 3,240 2,102 11/1/95 2,029 73
DM 2,755 1,916 11/9/95 1,932 (16)
Y 235,000 2,536 11/15/95 2,390 146
FF 6,065 1,228 11/17/95 1,231 (3)
C$ 1,845 1,360 12/5/95 1,372 (12)
IL 965,000 596 12/6/95 593 3
Y 79,000 769 12/21/95 808 (39)
-----------
US$ 339
-----------
NET US$ 149
-----------
INTERNATIONAL FIXED INCOME
Purchases
US$ 2,735 Y 270,000 10/3/95 US$ 2,726 US$ (9)
6,869 Y 578,000 10/11/95 5,848 (1,021)
2,730 Y 228,000 10/18/95 2,309 (421)
2,255 DM 3,105 10/24/95 2,176 (79)
6,407 FF 31,340 10/25/95 6,364 (43)
6,715 Y 648,000 11/21/95 6,597 (118)
770 C$ 1,045 12/5/95 777 7
5,683 IL 9,370,000 12/6/95 5,762 79
6,715 DM 9,500 12/19/95 6,676 (39)
-----------
US$ (1,644)
-----------
Sales
Y 270,000 US$ 3,226 10/3/95 US$ 2,728 US$ 498
FF 5,800 1,197 10/11/95 1,178 19
L 345 551 10/11/95 545 6
Y 85,000 879 10/11/95 860 19
DM 3,105 2,257 10/24/95 2,176 81
FF 1,555 317 10/25/95 316 1
NG 9,125 5,920 11/1/95 5,715 205
DK 1,840 340 11/13/95 332 8
Y 99,000 1,068 11/15/95 1,007 61
C$ 2,890 2,129 12/5/95 2,148 (19)
IL 4,525,000 2,795 12/6/95 2,782 13
Y 65,000 633 12/21/95 665 (32)
Y 270,000 2,767 12/21/95 2,762 5
Y 140,000 1,426 12/26/95 1,433 (7)
L 715 1,136 12/27/95 1,127 9
-----------
US$ 867
-----------
NET US$ (777)
-----------
<CAPTION>
(000)
----------------------------------------------------------------
Currency In Net Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- - ------ --------- --------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
INTERMEDIATE DURATION
Purchases
US$ 194 SK 1,420 10/26/95 US$ 204 US$ 10
-----------
Sales
DK 560 US$ 104 10/11/95 US$ 101 US$ 3
ECU 80 107 10/11/95 104 3
FF 100 20 10/12/95 20 --
DM 300 216 10/19/95 210 6
SK 1,420 197 10/26/95 204 (7)
C$ 300 220 10/26/95 223 (3)
DM 620 446 11/6/95 435 11
DM 295 208 11/6/95 207 1
FF 2,205 436 12/6/95 447 (11)
FF 1,600 315 12/12/95 325 (10)
C$ 585 431 12/14/95 435 (4)
-----------
US$ (11)
-----------
NET US$ (1)
-----------
BALANCED
Purchases
US$ 1,393 SK 10,195 10/26/95 US$ 1,467 US$ 74
-----------
Sales
DK 3,765 US$ 697 10/11/95 US$ 679 US$ 18
ECU 535 714 10/11/95 693 21
FF 3,770 775 10/12/95 766 9
SK 10,195 1,416 10/26/95 1,468 (52)
C$ 1,770 1,301 10/26/95 1,317 (16)
DM 5,605 4,002 11/6/95 3,930 72
FF 23,470 4,645 12/6/95 4,762 (117)
FF 6,465 1,281 12/7/95 1,312 (31)
FF 3,185 625 12/13/95 646 (21)
C$ 3,755 2,765 12/14/95 2,791 (26)
-----------
US$ (143)
-----------
NET US$ (69)
-----------
MULTI-ASSET-CLASS
Purchases
US$ 36 Y 3,000 10/3/95 US$ 30 US$ (6)
109 DM 150 10/24/95 105 (4)
366 Y 36,680 11/8/95 373 7
247 Y 25,400 11/15/95 258 11
234 IL 385,000 12/6/95 237 3
894 DM 1,305 12/19/95 917 23
-----------
US$ 34
-----------
Sales
Y 3,000 US$ 29 10/3/95 US$ 30 US$ (1)
FF 250 52 10/11/95 51 1
DM 150 109 10/24/95 105 4
DK 2,120 392 10/31/95 383 9
NG 400 259 11/1/95 250 9
Y 36,680 408 11/8/95 373 35
DM 120 85 11/9/95 84 1
DM 1,012 705 11/15/95 710 (5)
Y 50,800 518 11/15/95 516 2
FF 1,780 362 11/17/95 361 1
C$ 480 354 12/5/95 357 (3)
Y 19,530 200 12/8/95 199 1
DM 984 700 12/20/95 692 8
-----------
US$ 62
-----------
NET US$ 96
-----------
L -- British Pound Sterling
C$ -- Canadian Dollar
DK -- Danish Krone
ECU -- European Currency Unit
FF -- French Franc
DM -- German Mark
IL -- Italian Lira
Y -- Japanese Yen
NG -- Netherlands Guilder
SK -- Swedish Krona
</TABLE>
- - --------------------------------------------------------------------------------
113
<PAGE> 116
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
4. FUTURES CONTRACTS: At September 30, 1995, the following Portfolios had
futures contracts open:
<TABLE>
<CAPTION>
Initial Unrealized
Aggregate Appreciation/
Number of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
- - ----------------- --------- ----------- ---------- --------------
<S> <C> <C> <C> <C>
Purchases:
INTERNATIONAL
EQUITY
CAC 40 Index 32 FF 11,428 Oct-95 US$ 9
DAX Index 67 DM 15,387 Dec-95 (374)
FTSE 100 Index 74 L 6,613 Dec-95 (114)
TOPIX Index 240 Y 3,395,960 Dec-95 463
FIXED INCOME
Muni Bond 310 US$ 35,013 Dec-95 353
U.S. Treasury
10 yr. Note 459 US$ 50,066 Dec-95 535
DOMESTIC FIXED
INCOME
Muni Bond 7 US$ 791 Dec-95 8
U.S. Treasury
10 yr. Note 3 US$ 327 Dec-95 4
FIXED INCOME II
Muni Bond 37 US$ 4,179 Dec-95 42
U.S. Treasury
10 yr. Note 14 US$ 1,526 Dec-95 17
MORTGAGE-BACKED
SECURITIES
Muni Bond 16 US$ 1,807 Dec-95 18
U.S. Treasury
10 yr. Note 47 US$ 5,152 Dec-95 29
SPECIAL PURPOSE
FIXED INCOME
Muni Bond 94 US$ 10,617 Dec-95 107
U.S. Treasury
10 yr. Note 124 US$ 13,524 Dec-95 146
MUNICIPAL
Muni Bond 23 US$ 2,596 Dec-95 28
GLOBAL FIXED
INCOME
Japanese 10 yr.
Government
Bond 4 Y 464,000 Dec-95 208
INTERNATIONAL
FIXED INCOME
French 10 yr.
Government
Bond 30 FF 17,466 Dec-95 (40)
Japanese 10 yr.
Government
Bond 15 Y 1,740,000 Dec-95 783
INTERMEDIATE
DURATION
Muni Bond 5 US$ 565 Dec-95 5
U.S. Treasury
10 yr. Note 14 US$ 1,526 Dec-95 17
BALANCED
Muni Bond 30 US$ 3,388 Dec-95 34
U.S. Treasury
10 yr. Note 55 US$ 5,999 Dec-95 64
S&P 500 Index 10 US$ 2,937 Dec-95 4
MULTI-ASSET-CLASS
CAC 40 Index 5 FF 1,824 Dec-95 (6)
DAX Index 3 DM 688 Dec-95 (16)
FTSE 100 Index 2 L 179 Dec-95 (3)
Muni Bond 4 US$ 452 Dec-95 5
S&P 500 Index 9 US$ 2,609 Dec-95 38
TOPIX Index 21 Y 301,650 Dec-95 (5)
<CAPTION>
Initial Unrealized
Aggregate Appreciation/
Number of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
- - ----------------- --------- ----------- ---------- --------------
<S> <C> <C> <C> <C>
Sales:
FIXED INCOME
U.S. Treasury 5
yr. Note 2,681 US$ 287,253 Dec-95 US$ (640)
U.S. Treasury
Long Bond 316 US$ 35,678 Dec-95 (456)
DOMESTIC FIXED
INCOME
U.S. Treasury 5
yr. Note 53 US$ 5,679 Dec-95 (12)
U.S. Treasury
Long Bond 7 US$ 790 Dec-95 (10)
HIGH YIELD
U.S. Treasury
10 yr. Note 128 US$ 14,084 Dec-95 (28)
FIXED INCOME II
U.S. Treasury 5
yr. Note 306 US$ 32,788 Dec-95 (71)
U.S. Treasury
Long Bond 38 US$ 4,290 Dec-95 (55)
MORTGAGE-BACKED
SECURITIES
U.S. Treasury 5
yr. Note 56 US$ 5,993 Dec-95 (20)
U.S. Treasury
Long Bond 16 US$ 1,807 Dec-95 (23)
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 5
yr. Note 615 US$ 65,905 Dec-95 (135)
U.S. Treasury
Long Bond 96 US$ 10,839 Dec-95 (139)
MUNICIPAL
U.S. Treasury 5
yr. Note 84 US$ 8,982 Dec-95 (38)
U.S. Treasury
10 yr. Note 46 US$ 5,025 Dec-95 (46)
U.S. Treasury
Long Bond 8 US$ 907 Dec-95 (9)
INTERMEDIATE
DURATION
U.S. Treasury 5
yr. Note 10 US$ 1,074 Dec-95 --
U.S. Treasury
Long Bond 15 US$ 1,703 Dec-95 (12)
BALANCED
U.S. Treasury 5
yr. Note 185 US$ 19,827 Dec-95 (39)
U.S. Treasury
Long Bond 31 US$ 3,500 Dec-95 (45)
MULTI-ASSET-CLASS
U.S. Treasury 5
yr. Note 65 US$ 6,960 Dec-95 (20)
U.S. Treasury
10 yr. Note 4 US$ 440 Dec-95 (1)
U.S. Treasury
Long Bond 4 US$ 452 Dec-95 (6)
L -- British Pound
FF -- French Franc
DM -- German Mark
Y -- Japanese Yen
</TABLE>
- - --------------------------------------------------------------------------------
114
<PAGE> 117
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
5. SWAP AGREEMENTS: At September 30, 1995, the following Portfolios had open
Swap Agreements:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
- - ---------------------------------------------------------------
<S> <C> <C>
HIGH YIELD
$7,096 Agreement with Bankers Trust ($27)
(1) Company terminating September --------
30, 1996, to pay quarterly 3
month LIBOR plus 75 basis
points times the market value
(expressed as a percentage of
par) of GPA plc's bank debt
(Corporate Credit and Deferred
Amortization Facilities)
multiplied by the notional
amount $7,096 in exchange for
its pro-rata share of the
interest paid by GPA plc under
the terms of its bank debt
adjusted for certain fees and
payments. In addition,
appreciation/depreciation in
the market value of the loan is
either paid to or by the
Portfolio quarterly in an
amount equal to the rate of
appreciation/depreciation
during the quarter times the
notional amount.
MUNICIPAL
$2,000 Agreement with Bankers Trust ($269)
Company terminating May 13,
2024 to pay fixed rate at 8.09%
semiannually and to receive 3
month LIBOR quarterly.
7,500 Agreement with Bankers Trust 10
Company terminating July 11,
2005 to pay fixed rate at 6.64%
semiannually and to receive 3
month LIBOR quarterly.
---------
($259)
---------
PA MUNICIPAL
$1,000 Agreement with Bankers Trust ($135)
Company terminating May 13,
2024 to pay fixed rate at 8.09%
semiannually and to receive 3
month LIBOR quarterly.
3,000 Agreement with Bankers Trust 4
Company terminating July 11,
2005 to pay fixed rate at 6.64%
semiannually and to receive 3
month LIBOR quarterly.
---------
($131)
---------
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
- - ---------------------------------------------------------------
<S> <C> <C>
GLOBAL FIXED INCOME
IL 3,500,000 Agreement with Union Bank of ($48)
Switzerland terminating on --------
November 27, 1995, to pay
quarterly 3 month LIBOR minus
238 basis points times the
notional amount of $1,929 and
to receive semiannually 9.00%
times the local notional amount
times 1 minus withholding tax
rate imposed by Republic of
Italy on coupon payments. In
addition, appreciation/
depreciation in the market
value of the Republic of Italy
9.00% BTPS bonds, due 10/01/03
is either paid to or by the
Portfolio in an amount equal to
the rate of appreciation/
depreciation over the life of
the swap agreement times the
notional amount.
INTERNATIONAL FIXED INCOME
IL 8,400,000 Agreement with Union Bank of ($114)
Switzerland terminating on ---------
November 27, 1995, to pay
quarterly 3 month LIBOR minus
238 basis points times the
notional amount of $4,629 and
to receive semiannually 9.00%
times the local notional amount
times 1 minus withholding tax
rate imposed by Republic of
Italy on coupon payments. In
addition, appreciation/
depreciation in the market
value of the Republic of Italy
9.00% BTPS bonds, due 10/01/03
is either paid to or by the
Portfolio in an amount equal to
the rate of appreciation/
depreciation over the life of
the swap agreement times the
notional amount.
</TABLE>
- - --------------------------------------------------------------------------------
115
<PAGE> 118
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
- - ----------------------------------------------------------------
<S> <C> <C>
MULTI-ASSET-CLASS
IL 600,000 Agreement with Union Bank of ($8)
Switzerland terminating on
November 27, 1995, to pay
quarterly 3 month LIBOR minus
238 basis points times the
notional amount of $331 and to
receive semiannually 9.00%
times the local notional amount
times 1 minus withholding tax
rate imposed by Republic of
Italy on coupon payments. In
addition, appreciation/
depreciation in the market
value of the Republic of Italy
9.00% BTPS bonds, due 10/01/03
is either paid to or by the
Portfolio in an amount equal to
the rate of appreciation/
depreciation over the life of
the swap agreement times the
notional amount.
$133 Agreement with Bankers Trust (1)
(1) Company terminating September
30, 1996, to pay 3 month LIBOR
plus 75 basis points times the
market value (expressed as a
percentage of par) of GPA plc's
bank debt (Corporate Credit and
Deferred Amortization
Facilities) multiplied by the
notional amount $133 in
exchange for its pro-rata share
of the interest paid by GPA plc
under the terms of its bank
debt adjusted for certain fees
and payments. In addition,
appreciation/depreciation in
the market value of the loan is
either paid to or by the
Portfolio in an amount equal to
the rate of
appreciation/depreciation
during the quarter times the
notional amount.
2,500 Agreement with Swiss Bank (33)
(2) Corporation terminating on July
31, 1996 to pay quarterly 3
month LIBOR plus 45 basis
points times the notional
amount. In addition,
appreciation/depreciation in
the value of the MSCI EAFE
Index (with net dividends
reinvested) is either paid to
or by the Portfolio in an
amount equal to the rate of
appreciation/depreciation
during the quarter times the
notional amount.
--------
($42)
--------
</TABLE>
(1) Notional amount is increased/(decreased) by each periodic payment received
or made.
(2) Notional amount is periodically increased/decreased by changes in the value
of the MSCI EAFE Index.
IL -- Italian Lira
6. INTEREST RATE FLOOR AGREEMENTS: At September 30, 1995 the following
Portfolios had open Written Amortizing Interest Rate Floor Agreements:
<TABLE>
<CAPTION>
Notional
Amount Value
(000) Description (000)
- - --------------------------------------------------------------
<S> <C> <C>
FIXED INCOME PORTFOLIO
$44,620 Agreement with Barclays Bank plc $6,740
terminating November 15, 2009, to
pay 9.60% minus 1 month LIBOR on
notional amount amortized monthly
as long as 1 month LIBOR is below
9.60%. (Amortized Premium $5,432)
21,033 Agreement with Bankers Trust 3,094
Company terminating on September
15, 2009 to pay 9.45% minus 1 month
LIBOR on notional amount amortized
monthly as long as 1 month LIBOR is
below 9.45%. (Amortized Premium
$2,417)
39,027 Agreement with Bankers Trust 3,708
Company terminating on November 1,
1999 to pay 9.25% minus 1 month
COFI on notional amount amortized
monthly as long as 1 month COFI is
below 9.25%. (Amortized Premium
$3,159)
66,438 Agreement with Bankers Trust 4,737
Company terminating on November 25,
1999 to pay 8.25% minus 1 month
COFI on notional amount amortized
monthly as long as 1 month COFI is
below 8.25%. (Amortized Premium
$3,932)
113,124 Agreement with Bankers Trust 10,837
Company terminating on January 25,
2009 to pay 8.10% minus 1 month
LIBOR on notional amount amortized
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$7,746)
92,743 Agreement with Bankers Trust 8,681
Company terminating on June 25,
2005 to pay 8.10% minus 1 month
LIBOR on notional amount amortized
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$6,881)
72,706 Agreement with Morgan Guaranty 6,522
Trust Company of New York
terminating on May 15, 2008 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $4,792)
---------
$44,319
---------
</TABLE>
- - --------------------------------------------------------------------------------
116
<PAGE> 119
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Notional
Amount Value
(000) Description (000)
- - --------------------------------------------------------------
<S> <C> <C>
DOMESTIC FIXED INCOME PORTFOLIO
$2,028 Agreement with Morgan Guaranty $112
Trust Company of New York -----
terminating on June 15, 2005 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $126)
FIXED INCOME PORTFOLIO II
$10,312 Agreement with Morgan Guaranty $571
Trust Company of New York -------
terminating on June 15, 2005 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $643)
MORTGAGE-BACKED SECURITIES
$4,614 Agreement with Barclays Bank plc $697
terminating November 15, 2009, to
pay 9.60% minus 1 month LIBOR on
notional amount amortized monthly
as long as 1 month LIBOR is below
9.60%. (Amortized Premium $562)
1,451 Agreement with Bankers Trust 214
Company terminating on September
15, 2009 to pay 9.45% minus 1 month
LIBOR on notional amount amortized
monthly as long as 1 month LIBOR is
below 9.45%. (Amortized Premium
$167)
2,361 Agreement with Bankers Trust 224
Company terminating on November 1,
1999 to pay 9.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 9.25%. (Amortized Premium
$191)
4,020 Agreement with Bankers Trust 287
Company terminating on November 25,
1999 to pay 8.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 8.25%. (Amortized Premium
$238)
5,040 Agreement with Bankers Trust 472
Company terminating on June 25,
2005 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$372)
<CAPTION>
Notional
Amount Value
(000) Description (000)
- - --------------------------------------------------------------
<S> <C> <C>
$5,677 Agreement with Morgan Guaranty $509
Trust Company of New York
terminating on May 15, 2008 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $374)
--------
$2,403
--------
SPECIAL PURPOSE FIXED INCOME
$14,478 Agreement with Barclays Bank plc $2,187
terminating November 15, 2009, to
pay 9.60% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
9.60%. (Amortized Premium $1,762)
6,887 Agreement with Bankers Trust 1,013
Company terminating on September
15, 2009 to pay 9.45% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 9.45%. (Amortized Premium
$792)
12,567 Agreement with Bankers Trust 1,194
Company terminating on November 1,
1999 to pay 9.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 9.25%. (Amortized Premium
$1,018)
21,260 Agreement with Bankers Trust 1,516
Company terminating on November 25,
1999 to pay 8.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 8.25%. (Amortized Premium
$1,258)
40,231 Agreement with Bankers Trust 3,854
Company terminating on January 25,
2009 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$2,755)
32,571 Agreement with Bankers Trust 3,049
Company terminating on June 25,
2005 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$2,406)
23,971 Agreement with Morgan Guaranty 2,150
Trust Company of New York
terminating on May 15, 2008 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $1,580)
---------
$14,963
---------
</TABLE>
- - --------------------------------------------------------------------------------
117
<PAGE> 120
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Notional
Amount Value
(000) Description (000)
- - --------------------------------------------------------------
<S> <C> <C>
BALANCED
$5,419 Agreement with Barclays Bank plc $819
terminating November 15, 2009 to
pay 9.60% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
9.60%. (Amortized Premium $659)
2,615 Agreement with Bankers Trust 385
Company terminating on September
15, 2009 to pay 9.45% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 9.45%. (Amortized Premium
$300)
4,605 Agreement with Bankers Trust 437
Company terminating on November 1,
1999 to pay 9.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 9.25%. (Amortized Premium
$373)
7,973 Agreement with Bankers Trust 568
Company terminating on November 25,
1999 to pay 8.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 8.25%. (Amortized Premium
$472)
13,317 Agreement with Bankers Trust 1,276
Company terminating on January 25,
2009 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$912)
10,199 Agreement with Bankers Trust 955
Company terminating on June 25,
2005 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$754)
7,429 Agreement with Morgan Guaranty 666
Trust Company of New York
terminating on May 15, 2008 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $490)
--------
$5,106
--------
</TABLE>
E. CAPITAL LOSS CARRY FORWARD. At September 30, 1995, the following Portfolios
had available for Federal income tax purposes unused
capital losses, all of which will expire on the indicated dates:
<TABLE>
<CAPTION>
Expiration
Date
September 30,
(000)
--------------
2002 2003
---- -----
<S> <C> <C>
High Yield $ -- $ 141
Mortgage-Backed Securities -- 3,344
Limited Duration -- 4,395
Municipal 120 153
PA Municipal 2 260
</TABLE>
F. POST OCTOBER LOSSES. Under current tax law, certain capital and net foreign
exchange losses realized after October 31 may be deferred and treated as
occurring on the first day of the following fiscal year. For the fiscal year
ended September 30, 1995, the following Portfolios may elect to defer losses
occurring between November 1, 1994 and September 30, 1995 in the following
amounts:
<TABLE>
<CAPTION>
Portfolio (000)
- - ------------------------------------- -------
<S> <C>
International Equity $41,474
Emerging Markets 72
Fixed Income 2,629
Domestic Fixed Income 81
High Yield 2,847
Limited Duration 172
Special Purpose Fixed Income 230
Municipal 159
PA Municipal 463
Global Fixed Income 446
International Fixed Income 16
Intermediate Duration 13
</TABLE>
G. IN-KIND TRANSACTIONS. For the year ended September 30, 1995, the following
Portfolios realized gains (losses) from in-kind redemptions as follows:
<TABLE>
<CAPTION>
Portfolio (000)
- - ------------------------------------- -------
<S> <C>
Equity $3,196
Select Equity (195)
International Equity (1,966)
Domestic Fixed Income (828)
Mortgage-Backed Securities (186)
Municipal (261)
PA Municipal (683)
</TABLE>
- - --------------------------------------------------------------------------------
118
<PAGE> 121
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
H. SECURITIES LENDING. The following Portfolios loaned securities to certain
brokers and received security lending fees. Security lending fees are included
as expense offsets in the Statement of Operations. Fees not included as expense
offsets are included in interest income. During the year ended September 30,
1995, the following Portfolios had security lending fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
- - --------------------------------------- -----
<S> <C>
Value $ 34
Equity 81
Select Equity 1
International Equity 239
Mid Cap Growth 181
Fixed Income 46
Domestic Fixed Income 1
Fixed Income II 10
Special Purpose Fixed Income 20
Balanced 13
</TABLE>
Portfolios that lend securities receive securities issued or guaranteed by the
U.S. Government or its agencies, cash or letters of credit as collateral in an
amount at least equal to 100% of the current market value of loaned securities.
At September 30, 1995, all outstanding collateral received was in cash, which
was subsequently invested in cash equivalents. The value of loaned securities
and related collateral outstanding at September 30, 1995 was as follows:
<TABLE>
<CAPTION>
Value
of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
- - ---------------------------- ------- -------
<S> <C> <C>
Value $21,966 $22,320
Equity 19,633 20,343
Select Equity 83 84
International Equity 40,104 42,710
Mid Cap Growth 16,250 17,185
Fixed Income 8,829 9,033
Fixed Income II 1,387 1,417
Balanced 828 858
</TABLE>
Custodian fees appearing in the Statement of Operations have been adjusted to
include expense offsets for custodian balance credits and security lending fees
totaling $511,000 and $469,000, respectively, for the year ended September 30,
1995.
I. OTHER. Mid Cap Value, Emerging Markets and Intermediate Duration Portfolios
commenced operations on December 30, 1994, February 28, 1995 and October 3,
1994, respectively.
During the year ended September 30, 1995, the following Portfolios changed
their names from Small Capitalization Value, Emerging Growth, Select Fixed
Income, High Yield Securities, Limited Duration Fixed Income, Municipal Fixed
Income, Pennsylvania Municipal Fixed Income and Global Balanced to Small Cap
Value, Mid Cap Growth, Domestic Fixed Income, High Yield, Limited Duration,
Municipal, PA Municipal and Multi-Asset-Class, respectively.
At September 30, 1995, the net assets of certain Portfolios were substantially
comprised of foreign denominated securities and currency. Changes in currency
exchange rates will affect the value of and investment income from such
securities and currency.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of U.S. dollar denominated
transactions as a result of, among other factors, the possibly lower level of
governmental supervision and regulation of foreign securities markets and the
possibility of political or economic instability.
At September 30, 1995, the High Yield Portfolio's net assets were substantially
comprised of high yield fixed income securities. The financial condition of an
issuer of these securities and general economic and industry specific
conditions may affect the issuer's ability to make payments of income and
principal on these securities.
- - --------------------------------------------------------------------------------
119
<PAGE> 122
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
A portion of the securities of the Municipal and PA Municipal Portfolios are
insured by certain companies specializing in the insurance of municipal debt
obligations. At September 30, 1995, approximately 64% and 70% of the net assets
of the Municipal and PA Municipal Portfolios, respectively, are covered by such
insurance. Listed below are the insurer's that insure more than 10% of the
Portfolios' net assets:
<TABLE>
<CAPTION>
MUNICIPAL PA MUNICIPAL
--------- ------------
<S> <C> <C>
FGIC 19.8% 27.9%
MBIA 19.1 16.0
AMBAC 18.9 23.5
</TABLE>
At September 30, 1995, individual partners of Miller Anderson & Sherrerd, LLP
were record owners of approximately 25.2% and 34.1% of the Mid Cap Value and PA
Municipal Portfolios, respectively. In addition, the Fund had Portfolios with
otherwise unaffiliated record owners of 10% or greater. These Portfolios and
the aggregate percentage of such owners was as follows:
<TABLE>
<CAPTION>
Percentage
Portfolios of Ownership
- - ---------------------------------- ------------
<S> <C>
Value 10.0%
Small Cap Value 12.1
Select Equity 96.8
International Equity 37.3
Mid Cap Growth 17.7
Mid Cap Value 24.9
Emerging Markets 89.9
Domestic Fixed Income 75.7
Cash Reserves 40.2
Fixed Income Portfolio II 28.5
Mortgage-Backed 94.8
Limited Duration 26.3
Municipal 31.0
PA Municipal 38.5
Global Fixed Income 51.4
International Fixed Income 70.5
Intermediate Duration 100.0
Balanced 30.3
</TABLE>
- - --------------------------------------------------------------------------------
120
<PAGE> 123
REPORT OF INDEPENDENT ACCOUNTANTS
- - --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
MAS Funds
In our opinion, the accompanying statements of net assets (excluding
Standard & Poor's ratings) and the related statements of operations and of
changes in net assets and the selected per share data and ratios present fairly,
in all material respects, the financial position of each of the twenty three
(23) Portfolios of the MAS Funds listed in the accompanying table of contents,
(hereafter referred to as the "Fund") at September 30, 1995 and the results of
each of their operations, the changes in each of their net assets and their
selected per share data and ratios for the periods presented, in conformity with
generally accepted accounting principles. These financial statements and
selected per share data and ratios (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with generally
accepted auditing standards which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at September 30, 1995 by
correspondence with the custodians and brokers and the application of
alternative procedures where broker confirmations were not received, provide a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
November 21, 1995
- - --------------------------------------------------------------------------------
121
<PAGE> 124
- - --------------------------------------------------------------------------------
SHAREHOLDER MEETING: (UNAUDITED)
At special shareholder meetings held on December 19, 1994 and August 21, 1995,
shareholders of the Domestic Fixed Income and Select Equity Portfolios,
respectively, voted on the following proposals:
<TABLE>
<CAPTION>
VOTED VOTED ABSTAIN
FOR AGAINST VOTES
--------- ------- -------
<S> <C> <C> <C>
1. To amend the investment objective and certain investment
limitations of the Domestic Fixed Income Portfolio. 1,141,543 0 0
========= ======= ========
2. To amend the investment objective and certain investment
limitations of the Select Equity Portfolio. 2,237,214 0 0
========= ======= ========
</TABLE>
FEDERAL INCOME TAX INFORMATION: (UNAUDITED)
Each Portfolio hereby designates the following amount as a long-term capital
gain dividend for the purpose of the dividend paid deduction on its federal
income tax return.
<TABLE>
<CAPTION>
AMOUNT
PORTFOLIO (000)
- - -------------------------- -------
<S> <C>
Value $52,796
Equity 53,915
Small Cap Value 14,787
Select Equity 6,392
International Equity 68,827
Mid Cap Growth 34,250
High Yield 870
Special Purpose Fixed
Income 2
Balanced 1,362
</TABLE>
For the period ended September 30, 1995, the percentage of dividends that
qualify for the 70% dividend received deduction for corporate shareholders for
each Portfolio were:
<TABLE>
<CAPTION>
AMOUNT
PORTFOLIO (000)
- - --------------------------- ------
<S> <C>
Value 43.4%
Equity 52.8
Small Cap Value 16.7
Select Equity 57.9
Mid Cap Growth 48.9
Mid Cap Value 7.7
High Yield 9.2
Municipal 13.0
PA Municipal 17.1
Balanced 23.1
Multi-Asset-Class 27.3
</TABLE>
Foreign taxes accrued during the fiscal year ended September 30, 1995 amounting
to $2,675,000, $17,000 and $212,000 for the International Equity Portfolio,
Emerging Markets Portfolio and International Fixed Income Portfolio,
respectively, are expected to be passed through to shareholders as foreign tax
credits on Form 1099-DIV for the year ending December 31, 1995.
For the fiscal year ended September 30, 1995, the percentage of exempt interest
dividends paid by the Municipal Portfolio and the PA Municipal Portfolio was
92.2% and 91.3%, respectively.
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MAS INVESTMENT SERVICES TEAM
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INVESTMENT
ARDEN C. ARMSTRONG, CFA
Partner
RICHARD M. BEHLER
THOMAS L. BENNETT, CFA
Partner
JOHN D. CONNOLLY, CFA
Partner
TIMOTHY G. CONNORS, CFA
BOYKIN CURRY
BRADLEY S. DANIELS, CFA
KENNETH B. DUNN, PhD
Partner
HASSAN ELMASRY
STEPHEN F. ESSER, CFA
Partner
J. DAVID GERMANY, PhD
Partner
BENJAMIN J. GORD
ELLEN D. HARVEY, CFA
Partner
GARY D. HAUBOLD, CFA
JAMES JOLINGER
ABHI Y. KANITKAR
JAMES L. KICHLINE, CFA
Partner
NICHOLAS J. KOVICH, CFA
Partner
STEVEN K. KREIDER, PhD, CFA
Partner
MICHELE A. KREISLER
ANGELO G. MANIOUDAKIS
ROBERT J. MARCIN, CFA
Partner
JAMES M. OLNESS
SCOTT F. RICHARD, DBA
Partner
CHRISTIAN G. ROTH, CFA
GARY G. SCHLARBAUM, PhD, CFA
Partner
ROBERTO SELLA
HORACIO A. VALEIRAS, CFA
Partner
A. MORRIS WILLIAMS JR., CFA
Partner
DEAN WILLIAMS
Partner
RICHARD B. WORLEY
Partner
CLIENT SERVICE
GLENN E. BECKER
Partner
MARJORIE A. BENNETT
MARI CHAZEN
MARC CRESPI
KATHRYN J. ENGEBRETSON
W. BLAIR GARFF
ROBERT L. HAGIN, PhD
Partner
JOHN D. HEVNER, CFA
TRACEY H. IVEY, CFA
MIMI B. KELLER
YURI KHALIF
LAURA G. KIRKPATRICK
JAMES J. MANLEY
JANET C. MANNING
LISA A. MARLIN
ALEXIS E. McCARTHY
MARY ANN MILIAS
Partner
JAMES A. MORRISSEY
ANGELA TENGA, PhD
MATTHEW TODOROW
ELIZABETH A. VALE, CFA
MARNA C. WHITTINGTON, PhD
KAREN YANCEY
FUND CLIENT SERVICE ADMINISTRATION
JEFFREY L. ALT
ALISA M. ATTARDI
MARK BABIEC
MARY JANE BOBYOCK, CFA
JUSTIN G. BULLION
SCOTT A. BURNEY
SUSAN CLIFFORD
MARION S. FLEISCHER
JEANIE A. KREPFLE
MARGARET M. McDERMOTT
SUSAN M. MISLICK
CAROL N. NEILSON
BARRY A. SIEGEL
STEPHANIE J. SOTTILE
JON K. SPEARE
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MAS FUNDS TRUSTEES AND OFFICERS
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THOMAS L. BENNETT, CFA*
Chairman of the Board of Trustees; Partner, Miller Anderson & Sherrerd, LLP;
Director, MAS Fund Distribution, Inc.
DAVID P. EASTBURN
Trustee; Retired; formerly: Director (Trustee) of each of the investment
companies in The Vanguard Group, except Vanguard Specialized Portfolios;
Director of Penn Mutual Life Insurance Company and General Accident Insurance;
President, Federal Reserve Bank of Philadelphia.
JOSEPH P. HEALY
Trustee; Headmaster, Haverford School; formerly: Dean, Hobart College; Associate
Dean, William & Mary College.
JOSEPH J. KEARNS
Trustee; Vice President and Treasurer, The J. Paul Getty Trust.
C. OSCAR MORONG, JR.
Trustee; Managing Director, Morong Capital Management; Director, Ministers and
Missionaries Benefit Board of American Baptist Churches, The Indonesia Fund, The
Landmark Funds; formerly Senior Vice President and Investment Manager for CREF,
TIAA-CREF Investment Management, Inc.
JAMES D. SCHMID
President; Partner, Miller Anderson & Sherrerd, LLP; Director, MAS Fund
Distribution, Inc.; Chairman of the Board of Directors, The Minerva Fund, Inc.
LORRAINE TRUTEN, CFA
Vice President; Head of Mutual Fund Administration, Miller Anderson & Sherrerd,
LLP; President, MAS Fund Distribution, Inc.
DOUGLAS W. KUGLER
Treasurer; Manager of Mutual Fund Administration, Miller Anderson & Sherrerd,
LLP.
JOHN H. GRADY, JR.
Secretary; Partner, Morgan, Lewis & Bockius.
REMUNERATION OF TRUSTEES AND OFFICERS:
The Fund pays each Trustee, who is not also an officer or affiliated person, an
annual fee plus travel and other expenses incurred in attending Board meetings.
Trustees who are also officers or affiliated persons receive no remuneration for
their service as Trustees.
*Trustee Bennett is deemed to be an "interested person" of the Fund as that term
is defined in the Investment Company Act of 1940, as amended.
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PRINTED IN U.S.A.
THIS REPORT HAS BEEN PREPARED FOR
SHAREHOLDERS AND MAY BE DISTRIBUTED TO
OTHERS ONLY IF PRECEDED OR ACCOMPANIED BY A
CURRENT PROSPECTUS.
MILLER ANDERSON & SHERRERD, LLP
INVESTMENT ADVISER (610) 940-5000
MAS FUNDS (800) 354-8185
ONE TOWER BRIDGE - WEST CONSHOHOCKEN, PA 19428-2899
